0001752724-20-252243.txt : 20201130 0001752724-20-252243.hdr.sgml : 20201130 20201130145503 ACCESSION NUMBER: 0001752724-20-252243 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200930 FILED AS OF DATE: 20201130 PERIOD START: 20210630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Bridge Builder Trust CENTRAL INDEX KEY: 0001567101 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22811 FILM NUMBER: 201357849 BUSINESS ADDRESS: STREET 1: P.O. BOX 1920 CITY: DENVER STATE: CO ZIP: 80201 BUSINESS PHONE: 414-287-3700 MAIL ADDRESS: STREET 1: P.O. 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B/E 0.00000000 74529JQB4 6650000.00000000 NS USD 6140078.00000000 0.085868684276 Long DBT MUN PR N 2 2024-07-01 Fixed 0.00000000 N N N N N N CUYAHOGA CNTY OH C 5% 12/01/26 549300GHDK9DGLUNJU89 CUYAHOGA CNTY OH COPS REGD B/E 5.00000000 23225PAK1 2500000.00000000 NS USD 2792225.00000000 0.039049127218 Long DBT MUN US N 2 2026-12-01 Fixed 5.00000000 N N N N N N AUSTIN-BERGSTROM L 5% 10/01/34 N/A AUSTIN-BERGSTROM LANDHOST ENTE REGD B/E 5.00000000 052193AU3 2000000.00000000 NS USD 2236200.00000000 0.031273145353 Long DBT MUN US N 2 2034-10-01 Fixed 5.00000000 N N N N N N COLUMBUS OH 5% 04/01/33 N/A COLUMBUS OH REGD B/E 5.00000000 199492YR4 1345000.00000000 NS USD 1763335.35000000 0.024660156832 Long DBT MUN US N 2 2033-04-01 Fixed 5.00000000 N N N N N N BUTLER CNTY PA GE V/R 09/01/27 549300TSJ3NDU9FG0667 BUTLER CNTY PA GEN AUTH REVENU REGD V/R B/E AGM ST 0.15000000 123574AL9 1000000.00000000 NS USD 1000000.00000000 0.013984950073 Long DBT MUN US N 2 2027-09-01 Variable 0.15000000 N N N N N N MONTGOMERY CNTY 5.25% 01/01/40 N/A MONTGOMERY CNTY PA INDL DEV AU REGD B/E 5.25000000 613609B88 1510000.00000000 NS USD 1531653.40000000 0.021420096328 Long DBT MUN US N 2 2040-01-01 Fixed 5.25000000 N N N N N N SOUTH CAROLINA ST 5% 12/01/32 EMBXY64GWKA9MZGFUD26 SOUTH CAROLINA ST PUBLIC SVC A REGD B/E 5.00000000 837151PZ6 1500000.00000000 NS USD 1787220.00000000 0.024994182470 Long DBT MUN US N 2 2032-12-01 Fixed 5.00000000 N N N N N N 2020-10-30 Bridge Builder Trust Aaron Masek Aaron Masek Principal Financial Officer XXXX NPORT-EX 2 d14662d8k.htm SOI HTML

Bridge Builder Core Bond Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Principal
Amount		      Value  

BONDS & NOTES – 97.34%

      

Asset-Backed Obligations – 11.68%

      

ABFC 2005-AQ1 Trust

      

4.63%, 01/25/2034(1)

    $ 114,556      $ 116,450  

ABFC 2006-OPT1 Trust

      

0.30% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 09/25/2036(2)

      2,646,863        2,607,925  

Academic Loan Funding Trust 2013-1

      

0.95% (1 Month LIBOR USD + 0.80%), 12/26/2044(2)(3)

      729,678        712,820  

Allegro CLO VII Ltd.

      

1.38% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031(2)(3)

      12,000,000        11,853,000  

Ally Auto Receivables Trust 2019-4

      

1.84%, 06/17/2024

      6,027,000        6,132,007  

1.92%, 01/15/2025

      1,987,000        2,038,648  

1.93%, 10/17/2022

      4,923,380        4,944,527  

American Credit Acceptance Receivables Trust 2017-2

      

3.69%, 06/12/2023(3)

      2,522,374        2,547,999  

American Credit Acceptance Receivables Trust 2019-4

      

2.18%, 02/13/2023(3)

      4,998,406        5,018,974  

American Credit Acceptance Receivables Trust 2020-2 SER 2020-2

      

1.65%, 12/13/2023(3)

      2,724,518        2,744,178  

American Express Credit Account Master Trust

      

0.39% (1 Month LIBOR USD + 0.24%), 04/15/2024(2)

      8,760,000        8,771,907  

American Homes 4 Rent 2014-SFR2 Trust

      

3.79%, 10/17/2036(3)

      3,722,440        4,019,193  

4.29%, 10/17/2036(3)

      300,000        323,922  

6.23%, 10/17/2036(3)

      1,000,000        1,127,397  

American Homes 4 Rent 2014-SFR3 Trust

      

4.60%, 12/17/2036(3)

      600,000        650,573  

6.42%, 12/17/2036(3)

      1,000,000        1,126,790  

American Homes 4 Rent 2015-SFR1

      

3.47%, 04/17/2052(3)

      2,027,336        2,164,955  

5.64%, 04/17/2052(3)

      3,900,000        4,309,564  

American Homes 4 Rent 2015-SFR2 Trust

      

3.73%, 10/17/2052(3)

      1,763,859        1,919,430  

AmeriCredit Automobile Receivables Trust 2017-1

      

2.71%, 08/18/2022

      559,858        564,600  

3.13%, 01/18/2023

      1,387,000        1,423,356  

AmeriCredit Automobile Receivables Trust 2017-2

      

3.42%, 04/18/2023

      6,000,000        6,154,214  

AmeriCredit Automobile Receivables Trust 2017-4

      

2.36%, 12/19/2022

      5,355,000        5,394,321  

AmeriCredit Automobile Receivables Trust 2018-1

      

3.50%, 01/18/2024

      6,000,000        6,241,294  

AmeriCredit Automobile Receivables Trust 2018-2

      

3.45%, 06/18/2024

      7,636,000        7,887,053  

AmeriCredit Automobile Receivables Trust 2019-1

      

3.13%, 02/18/2025

      3,400,000        3,529,175  

3.36%, 02/18/2025

      3,500,000        3,693,495  

AmeriCredit Automobile Receivables Trust 2019-2

      

2.43%, 09/19/2022

      875,684        879,297  

AmeriCredit Automobile Receivables Trust 2019-3

      

2.17%, 01/18/2023

      913,759        920,679  

AmeriCredit Automobile Receivables Trust 2020-1

      

1.48%, 01/21/2025

      6,100,000        6,203,560  

AmeriCredit Automobile Receivables Trust 2020-2 SER 2020-2 CL A3 REGD

      

0.66%, 12/18/2024

      3,286,000        3,297,264  

AmeriCredit Automobile Receivables Trust 2020-2 SER 2020-2 CL B REGD

      

0.97%, 02/18/2026

      1,443,000        1,447,369  

AmeriCredit Automobile Receivables Trust 2020-2 SER 2020-2 CL C REGD

      

1.48%, 02/18/2026

      1,663,000        1,684,792  

Amortizing Residential Collateral Trust 2002-BC5

      

1.18% (1 Month LIBOR USD + 1.04%, 0.69% Floor), 07/25/2032(2)

      1,567,715        1,561,953  

AMSR 2020-SFR3 Trust SER 2020-SFR3 CL E1 REGD 144A P/P

      

2.56%, 09/17/2037(3)

      6,000,000        5,999,668  

AMSR 2020-SFR4 Trust

      

1.86%, 11/17/2037(3)

      9,000,000        8,995,286  

Anchorage Capital CLO 2013-1 Ltd.

      

1.52% (3 Month LIBOR USD + 1.25%), 10/13/2030(2)(3)

      2,500,000        2,489,887  

Ares LVI CLO Ltd.

      

0.00% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/25/2031(2)(3)

      5,000,000        5,000,000  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3

      

0.49% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 11/25/2035(2)

      993,490        990,495  

Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6

      

0.83% (1 Month LIBOR USD + 0.68%, 0.34% Floor), 11/25/2033(2)

      1,862,969        1,791,117  

Asset Backed Securities Corp. Home Equity Loan Trust Series AEG 2006-HE1

      

0.36% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(2)

      1,315,248        1,309,229  

Asset-Backed Pass-Through Certificates Series 2004-R2

      

0.93% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 04/25/2034(2)

      157,171        156,789  

Atlas Senior Loan Fund III Ltd.

      

1.11% (3 Month LIBOR USD + 0.83%), 11/17/2027(2)(3)

      5,522,497        5,469,652  

Avis Budget Rental Car Funding AESOP LLC

      

2.33%, 08/20/2026(3)

      6,100,000        6,281,376  

2.36%, 03/20/2026(3)

      12,000,000        12,252,979  

3.70%, 09/20/2024(3)

      6,200,000        6,512,562  

4.00%, 03/20/2025(3)

      5,800,000        6,203,058  

B2R Mortgage Trust 2015-2

      

3.34%, 11/15/2048(3)

      63,354        63,320  

Barings Clo Ltd. 2020-II

      

0.00% (3 Month LIBOR USD + 1.29%, 1.29% Floor), 10/15/2033(2)(3)

      15,000,000        15,000,000  

Bayview Financial Mortgage Pass-Through Trust 2007-B

      

6.83%, 08/28/2047(1)

      150,195        149,604  

Bayview Opportunity Master Fund V Trust 2020-RPL1

      

3.10%, 09/25/2035(1)(3)

      2,137,000        2,138,069  

Bear Stearns Asset Backed Securities Trust 2003-2

      

1.65% (1 Month LIBOR USD + 1.50%, 0.75% Floor, 11.00% Cap), 03/25/2043(2)

      3,368,152        3,365,410  

BMW Floorplan Master Owner Trust

      

0.47% (1 Month LIBOR USD + 0.32%), 05/15/2023(2)(3)

      6,407,000        6,412,642  

BMW Vehicle Owner Trust 2020-A SER 2020-A CL A4 REGD

      

0.62%, 04/26/2027

      3,009,000        3,025,605  

Business Jet Securities 2019-1 LLC

      

4.21%, 07/15/2034(3)

      8,192,525        8,210,653  

Business Jet Securities LLC

      

4.34%, 02/15/2033(3)

      2,232,267        2,236,210  

Business Jet Securities LLC 2018-2

      

4.45%, 06/15/2033(3)

      5,110,560        5,109,634  

BXG Receivables Note Trust 2012-A

      

2.66%, 12/02/2027(3)

      56,732        56,941  

Camillo Issuer LLC 2016-SFR1 A

      

5.00%, 12/05/2023(3)(14)

      4,915,405        4,904,653  

Capital Auto Receivables Asset Trust 2018-1

      

2.79%, 01/20/2022(3)

      746,100        747,457  

Capital One Multi-Asset Execution Trust

      

1.72%, 08/15/2024

      2,808,000        2,884,467  

Capital One Prime Auto Receivables Trust 2019-2

      

1.92%, 05/15/2024

      3,455,000        3,530,117  

Carlyle US Clo 2017-1 Ltd.

      

1.50% (3 Month LIBOR USD + 1.23%), 04/20/2031(2)(3)

      5,468,425        5,397,380  

Carlyle US Clo 2017-2 Ltd.

      

1.49% (3 Month LIBOR USD + 1.22%), 07/20/2031(2)(3)

      3,000,000        2,978,550  

CarMax Auto Owner Trust

      

1.89%, 12/16/2024

      3,601,000        3,696,099  

2.03%, 06/16/2025

      2,415,000        2,508,863  

CarMax Auto Owner Trust 2020-3

      

0.77%, 03/16/2026

      2,901,000        2,930,031  

CarMax Auto Owner Trust 2018-2

      

3.16%, 07/17/2023

      2,635,000        2,737,197  

CarMax Auto Owner Trust 2019-1

      

3.26%, 08/15/2024

      1,614,000        1,711,128  

Carnow Auto Receivables Trust 2019-1

      

3.36%, 06/17/2024(3)

      3,710,000        3,755,839  

Carvana Auto Receivables Trust 2019-3

      

3.04%, 04/15/2025(3)

      11,005,000        11,253,696  

Catamaran CLO 2014-2 Ltd.

      

1.67% (3 Month LIBOR USD + 1.40%), 10/18/2026(2)(3)

      249,535        249,240  

CBAM 2019-11 Ltd.

      

1.63% (3 Month LIBOR USD + 1.36%, 1.36% Floor), 10/20/2032(2)(3)

      22,000,000        21,896,534  

Chase Funding Trust Series 2003-4

      

5.08%, 05/25/2033(1)

      112,770        117,618  

Chase Funding Trust Series 2003-6

      

5.00%, 11/25/2034(1)

      144,662        151,819  

5.00%, 11/25/2034(1)

      246,306        258,142  

CIFC Funding 2018-II Ltd.

      

1.31% (3 Month LIBOR USD + 1.04%), 04/20/2031(2)(3)

      10,000,000        9,873,770  

CIG Auto Receivables Trust 2020-1

      

2.35%, 01/12/2026(3)

      6,200,000        6,198,470  

CLUB Credit Trust

      

3.82%, 01/15/2026(3)

      1,152,261        1,160,074  

Colony American Finance 2016-2 Ltd.

      

2.55%, 11/15/2048(3)

      777,987        779,460  

Commonbond Student Loan Trust 2017-B-GS

      

2.68%, 09/25/2042(3)

      5,400,569        5,556,075  

Commonbond Student Loan Trust 2018-A-GS

      

3.21%, 02/25/2044(3)

      4,558,308        4,715,194  

Commonbond Student Loan Trust 2018-C-GS

      

3.87%, 02/25/2046(3)

      1,585,923        1,651,640  

Conseco Finance Corp.

      

6.18%, 04/01/2030

      7,936        8,115  

6.22%, 03/01/2030

      19,734        20,089  

Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-HP1

      

2.59%, 12/15/2026(3)

      2,772,774        2,804,185  

Consumer Loan Underlying Bond Credit Trust 2019-P1

      

2.94%, 07/15/2026(3)

      1,369,558        1,379,868  

COOF Securitization Trust 2014-1 Ltd.

      

3.07%, 06/25/2040(3)(4)

      669,666        69,271  

Corevest American Finance 2019-1 Trust

      

3.88%, 03/15/2052(3)

      4,860,000        5,228,595  

Corevest American Finance 2019-3 Trust

      

2.71%, 10/15/2052(3)

      5,538,001        5,742,884  

3.16%, 10/15/2052(3)

      2,250,000        2,279,910  

3.27%, 10/15/2052(3)

      5,862,000        5,918,057  

CoreVest American Finance 2020-3 Trust

      

2.20%, 08/15/2053(3)

      6,314,000        6,299,735  

Countrywide Asset-Backed Certificates

      

4.29%, 02/25/2036(4)

      38,527        39,764  

5.12%, 02/25/2035(1)

      15,037        15,018  

5.43%, 02/25/2033(4)

      33,898        32,290  

5.97%, 09/25/2046(4)

      46,612        44,596  

CPS Auto Receivables Trust 2015-B

      

4.20%, 05/17/2021(3)

      206,949        207,296  

CPS Auto Receivables Trust 2015-C

      

4.63%, 08/16/2021(3)

      250,611        251,530  

CPS Auto Receivables Trust 2017-B

      

3.95%, 03/15/2023(3)

      3,072,549        3,095,246  

CPS Auto Receivables Trust 2017-C

      

2.86%, 06/15/2023(3)

      81,932        81,995  

3.79%, 06/15/2023(3)

      791,000        803,864  

CPS Auto Receivables Trust 2019-B

      

2.89%, 05/16/2022(3)

      77,204        77,279  

CPS Auto Receivables Trust 2019-C

      

2.55%, 09/15/2022(3)

      1,426,328        1,430,472  

CPS Auto Receivables Trust 2019-D

      

2.17%, 12/15/2022(3)

      1,528,507        1,536,091  

CPS Auto Receivables Trust 2020-A

      

2.09%, 05/15/2023(3)

      5,956,138        6,002,738  

CPS Auto Receivables Trust 2020-B

      

1.15%, 07/17/2023(3)

      1,758,108        1,763,840  

2.11%, 04/15/2026(3)

      1,303,000        1,322,497  

Credit Acceptance Auto Loan Trust 2017-2

      

3.35%, 06/15/2026(3)

      811,000        813,196  

Credit Acceptance Auto Loan Trust 2018-1

      

3.01%, 02/16/2027(3)

      2,058,971        2,067,054  

Credit Acceptance Auto Loan Trust 2018-3

      

3.55%, 08/15/2027(3)

      2,737,472        2,776,286  

Credit Acceptance Auto Loan Trust 2019-1

      

3.33%, 02/15/2028(3)

      7,351,000        7,530,606  

Credit Acceptance Auto Loan Trust 2020-1

      

2.39%, 04/16/2029(3)

      6,680,000        6,781,838  

Credit Acceptance Auto Loan Trust 2020-2 SER 2020-2A CL A REGD 144A P/P

      

1.37%, 07/16/2029(3)

      2,850,000        2,883,576  

Credit Acceptance Auto Loan Trust 2020-2 SER 2020-2A CL C REGD 144A P/P

      

2.73%, 11/15/2029(3)

      3,500,000        3,552,301  

CSMC 2018-RPL8 Trust

      

4.13%, 07/25/2058(3)(4)

      5,764,947        5,787,679  

CWABS Asset-Backed Certificates Trust 2004-15

      

4.61%, 04/25/2035(4)

      779        785  

CWABS Asset-Backed Certificates Trust 2005-1

      

5.03%, 07/25/2035(4)

      2,066        2,099  

CWABS Asset-Backed Certificates Trust 2005-17

      

5.56%, 05/25/2036(4)

      15,758        16,186  

CWABS, Inc. Asset-Backed Certificates Series 2004-1

      

0.71% (1 Month LIBOR USD + 0.56%, 0.28% Floor), 04/25/2034(2)

      1,112        988  

0.90% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 03/25/2034(2)

      18,121        18,036  

0.97% (1 Month LIBOR USD + 0.83%, 0.55% Floor), 03/25/2034(2)

      6,315        6,262  

CWABS, Inc. Asset-Backed Certificates Trust 2004-6

      

0.93% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 11/25/2034(2)

      567,326        540,202  

1.05% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 10/25/2034(2)

      9,424        8,862  

Delta Air Lines 2015-1 Class AA Pass Through Trust

      

3.63%, 07/30/2027

      1,017,839        1,020,074  

Diamond Resorts Owner Trust

      

3.27%, 10/22/2029(3)

      1,096,212        1,112,037  

Diamond Resorts Owner Trust 2018-1

      

3.70%, 01/21/2031(3)

      2,546,560        2,642,090  

Diamond Resorts Owner Trust 2019-1

      

3.53%, 02/20/2032(3)

      6,111,196        6,180,471  

Discover Card Execution Note Trust

      

0.42% (1 Month LIBOR USD + 0.27%), 12/15/2023(2)

      4,368,000        4,374,881  

3.04%, 07/15/2024

      3,302,000        3,421,277  

Drive Auto Receivables Trust

      

3.66%, 11/15/2024

      4,824,688        4,884,899  

Drive Auto Receivables Trust 2016-C

      

4.18%, 03/15/2024(3)

      1,734,849        1,766,444  

Drive Auto Receivables Trust 2017-1

      

3.84%, 03/15/2023

      2,772,114        2,806,455  

Drive Auto Receivables Trust 2017-3

      

3.53%, 12/15/2023(3)

      7,813,850        7,940,599  

Drive Auto Receivables Trust 2017-A

      

4.16%, 05/15/2024(3)

      1,124,420        1,137,151  

Drive Auto Receivables Trust 2017-B

      

3.72%, 10/17/2022(3)

      511,051        513,527  

Drive Auto Receivables Trust 2019-1

      

4.09%, 06/15/2026

      2,645,000        2,776,486  

Drive Auto Receivables Trust 2019-2

      

3.17%, 11/15/2023

      4,747,000        4,808,844  

Drive Auto Receivables Trust 2019-3

      

2.65%, 02/15/2024

      4,200,000        4,276,086  

Drive Auto Receivables Trust 2019-4

      

2.23%, 01/16/2024

      6,016,000        6,100,097  

Drive Auto Receivables Trust 2020-1

      

1.99%, 12/15/2022

      3,054,186        3,067,075  

2.02%, 11/15/2023

      7,361,000        7,457,378  

Drive Auto Receivables Trust 2020-2

      

1.42%, 03/17/2025

      2,260,000        2,286,044  

2.28%, 08/17/2026

      1,611,000        1,656,414  

DT Auto Owner Trust 2017-1

      

3.55%, 11/15/2022(3)

      883,925        887,029  

DT Auto Owner Trust 2017-3

      

3.58%, 05/15/2023(3)

      812,184        817,924  

DT Auto Owner Trust 2018-2

      

3.67%, 03/15/2024(3)

      3,985,501        4,011,950  

DT Auto Owner Trust 2019-1

      

3.08%, 09/15/2022(3)

      142,895        143,055  

DT Auto Owner Trust 2019-2

      

2.85%, 09/15/2022(3)

      580,430        582,648  

DT Auto Owner Trust 2019-3

      

2.55%, 08/15/2022(3)

      840,146        843,745  

DT Auto Owner Trust 2019-4

      

2.73%, 07/15/2025(3)

      7,080,000        7,272,282  

DT Auto Owner Trust 2020-1

      

1.94%, 09/15/2023(3)

      3,989,378        4,014,264  

DT Auto Owner Trust 2020-2

      

1.14%, 01/16/2024(3)

      3,156,761        3,168,246  

2.08%, 03/16/2026(3)

      951,000        971,342  

DT Auto Owner Trust 2020-3

      

1.47%, 06/15/2026(3)

      2,192,000        2,197,872  

DTAT Asset Trust 2017-B

      

5.84%, 12/16/2020(3)(14)

      3,400,000        3,404,080  

Exeter Automobile Receivables Trust 2017-1

      

3.95%, 12/15/2022(3)

      385,069        388,684  

Exeter Automobile Receivables Trust 2017-3

      

3.68%, 07/17/2023(3)

      3,836,000        3,912,107  

Exeter Automobile Receivables Trust 2018-4

      

3.64%, 11/15/2022(3)

      273,694        274,041  

Exeter Automobile Receivables Trust 2019-4

      

2.18%, 01/17/2023(3)

      1,633,251        1,640,268  

Exeter Automobile Receivables Trust 2020-1

      

2.05%, 06/15/2023(3)

      2,471,274        2,488,399  

Exeter Automobile Receivables Trust 2020-2

      

1.13%, 08/15/2023(3)

      7,710,927        7,734,884  

2.08%, 07/15/2024(3)

      2,615,000        2,653,984  

Exeter Automobile Receivables Trust 2020-3

      

1.32%, 07/15/2025

      2,384,000        2,389,562  

First Investors Auto Owner Trust 2017-1

      

3.60%, 04/17/2023(3)

      2,847,000        2,894,203  

First Investors Auto Owner Trust 2019-2

      

2.21%, 09/16/2024(3)

      3,593,068        3,641,328  

Flagship Credit Auto Trust 2015-3

      

4.65%, 03/15/2022(3)

      148,799        149,022  

Flagship Credit Auto Trust 2016-1

      

6.22%, 06/15/2022(3)

      1,667,346        1,687,071  

Flagship Credit Auto Trust 2016-4

      

2.71%, 11/15/2022(3)

      634,626        637,395  

Flagship Credit Auto Trust 2017-2

      

2.96%, 07/15/2023(3)

      4,812,021        4,851,339  

3.62%, 07/15/2023(3)

      2,995,000        3,068,732  

Flagship Credit Auto Trust 2018-3

      

3.79%, 12/16/2024(3)

      7,710,000        7,960,307  

Flagship Credit Auto Trust 2019-1

      

3.11%, 08/15/2023(3)

      3,754,783        3,807,895  

Flagship Credit Auto Trust 2019-2

      

2.83%, 10/16/2023(3)

      6,559,174        6,655,216  

Flagship Credit Auto Trust 2019-4

      

2.17%, 06/17/2024(3)

      9,206,387        9,345,395  

3.12%, 01/15/2026(3)

      9,275,000        9,623,491  

Flagship Credit Auto Trust 2020-1

      

1.90%, 08/15/2024(3)

      8,900,429        9,027,296  

Flagship Credit Auto Trust 2020-2 SER 2020-2 CL A REGD 144A P/P

      

1.49%, 07/15/2024(3)

      4,385,194        4,425,581  

FLAGSHIP CREDIT AUTO TRUST 2020-3 SER 2020-3 CL A REGD 144A P/P

      

0.70%, 04/15/2025(3)

      2,811,379        2,815,669  

Ford Credit Auto Owner Trust 2016-REV1

      

2.31%, 08/15/2027(3)

      7,000,000        7,049,690  

Ford Credit Auto Owner Trust 2016-REV2

      

2.03%, 12/15/2027(3)

      10,000,000        10,115,476  

Ford Credit Auto Owner Trust 2017-C

      

2.01%, 03/15/2022

      812,834        815,502  

Ford Credit Auto Owner Trust 2018-REV1

      

3.19%, 07/15/2031(3)

      24,024,000        26,462,621  

Ford Credit Auto Owner Trust 2019-REV1

      

3.52%, 07/15/2030(3)

      2,150,000        2,350,258  

Ford Credit Auto Owner Trust 2020-A SER 2020-A CL A2 REGD

      

1.03%, 10/15/2022

      347,643        348,770  

Ford Credit Auto Owner Trust 2020-A SER 2020-A CL A3 REGD

      

1.04%, 08/15/2024

      3,124,000        3,162,528  

Ford Credit Auto Owner Trust 2020-A SER 2020-A CL A4 REGD

      

1.35%, 07/15/2025

      2,163,000        2,222,382  

Ford Credit Auto Owner Trust 2020-B

      

0.79%, 11/15/2025

      3,711,000        3,757,526  

Ford Credit Auto Owner Trust 2020-REV1

      

2.04%, 08/15/2031(3)

      12,300,000        12,885,895  

Ford Credit Floorplan Master Owner Trust A

      

1.06%, 09/15/2027

      19,581,000        19,615,371  

FORT CRE 2018-1 LLC

      

2.98% (1 Month LIBOR USD + 2.83%, 2.83% Floor), 11/16/2035(2)(3)

      11,800,000        10,873,794  

Foundation Finance Trust 2017-1

      

3.30%, 07/15/2033(3)

      1,330,674        1,353,082  

Foundation Finance Trust 2019-1

      

3.86%, 11/15/2034(3)

      2,701,573        2,787,016  

Foursight Capital Automobile Receivables Trust 2017-1

      

3.05%, 12/15/2022(3)

      3,033,872        3,048,880  

FREED ABS TRUST 2018-1

      

3.61%, 07/18/2024(3)

      158,647        158,771  

FREED ABS TRUST 2018-2

      

3.99%, 10/20/2025(3)

      845,858        846,794  

FREED ABS TRUST 2019-2

      

2.62%, 11/18/2026(3)

      2,098,173        2,100,257  

FTF 2019-1 A FRN

      

5.50%, 08/15/2024(4)(14)

      3,904,690        2,869,947  

Galaxy XXIX CLO Ltd.

      

1.07% (3 Month LIBOR USD + 0.79%), 11/15/2026(2)(3)

      4,341,830        4,309,305  

GE Capital Mortgage Services, Inc. 1999-HE1 Trust

      

6.27%, 04/25/2029

      11        11  

6.71%, 04/25/2029(4)

      17,096        15,200  

GM Financial Automobile Leasing Trust 2020-2

      

0.80%, 07/20/2023

      3,688,000        3,717,700  

1.01%, 07/22/2024

      1,000,000        1,012,811  

GM Financial Consumer Automobile Receivables Trust 2018-1

      

2.32%, 07/18/2022

      2,109,788        2,124,216  

GM Financial Consumer Automobile Receivables Trust 2018-4

      

3.62%, 06/17/2024

      1,400,000        1,480,259  

GM Financial Consumer Automobile Receivables Trust 2020-1

      

1.84%, 09/16/2024

      8,369,000        8,571,941  

GM Financial Consumer Automobile Receivables Trust 2020-2 SER 2020-2 CL A3 REGD

      

1.49%, 12/16/2024

      3,095,000        3,156,552  

GM Financial Consumer Automobile Receivables Trust 2020-3

      

0.45%, 04/16/2025

      3,775,000        3,777,444  

GMF Floorplan Owner Revolving Trust

      

0.68%, 08/15/2025(3)

      4,031,000        4,038,505  

2.90%, 04/15/2026(3)

      17,200,000        18,455,817  

Gold Key Resorts 2014-A LLC

      

3.22%, 03/17/2031(3)

      201,039        202,073  

Golden Bear 2016-R LLC

      

5.65%, 09/20/2047(3)

      836,057        825,725  

Goodgreen 2017-1 Trust

      

3.74%, 10/15/2052(3)

      1,224,437        1,291,189  

Goodgreen 2017-2 Trust

      

3.26%, 10/15/2053(3)

      3,378,826        3,490,367  

Goodgreen 2017-R1 Trust

      

5.00%, 10/20/2051(3)(4)(14)

      5,915,653        5,963,423  

Goodgreen 2019-2 Trust

      

2.76%, 10/15/2054(3)

      5,019,972        5,086,723  

Greenwood Park CLO Ltd.

      

1.29% (3 Month LIBOR USD + 1.01%), 04/15/2031(2)(3)

      23,000,000        22,713,121  

GSAMP Trust 2005-WMC2

      

0.77% (1 Month LIBOR USD + 0.62%, 0.31% Floor), 11/25/2035(2)

      676,183        675,370  

GSAMP Trust 2006-HE7

      

0.38% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2046(2)

      821,031        807,859  

Headlands Residential 2018-RPL1 LLC

      

3.88%, 08/25/2024(1)(3)

      8,245,000        8,439,912  

HERO Funding 2017-3

      

3.95%, 09/20/2048(3)

      2,664,852        2,794,463  

HERO Funding II 2016-3B

      

5.24%, 09/20/2042(3)

      396,039        400,328  

HERO Funding Trust 2016-2

      

3.75%, 09/20/2041(3)

      1,468,891        1,520,462  

HERO Funding Trust 2016-3

      

3.08%, 09/20/2042(3)

      647,825        656,773  

HERO Funding Trust 2016-4A

      

3.57%, 09/20/2047(3)

      2,056,704        2,139,837  

HERO Funding Trust 2017-1A

      

4.46%, 09/20/2047(3)

      3,666,199        3,946,506  

HERO Funding Trust 2017-2

      

3.28%, 09/20/2048(3)

      3,395,262        3,512,276  

Hilton Grand Vacations Trust 2017-A

      

2.66%, 12/26/2028(3)

      995,102        1,015,809  

HIN Timeshare Trust 2020-A

      

2.23%, 10/09/2039(3)

      4,000,000        4,014,979  

Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A

      

0.35% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 03/25/2036(2)

      18,463        18,316  

Honda Auto Receivables 2017-4 Owner Trust

      

2.05%, 11/22/2021

      719,421        721,972  

Honda Auto Receivables 2020-2 Owner Trust SER 2020-2 CL A2 REGD

      

0.74%, 11/15/2022

      1,140,000        1,143,140  

Honda Auto Receivables 2020-2 Owner Trust SER 2020-2 CL A3 REGD

      

0.82%, 07/15/2024

      3,810,000        3,844,884  

Honda Auto Receivables 2020-2 Owner Trust SER 2020-2 CL A4 REGD

      

1.09%, 10/15/2026

      1,022,000        1,041,136  

Honda Auto Receivables 2020-3 Owner Trust

      

0.46%, 04/19/2027

      5,701,000        5,694,268  

Hyundai Auto Receivables Trust 2020-A SER 2020-A CL A3 REGD

      

1.41%, 11/15/2024

      4,157,000        4,246,074  

Hyundai Auto Receivables Trust 2020-A SER 2020-A CL A4 REGD

      

1.72%, 06/15/2026

      3,308,000        3,404,152  

Imc Home Equity Loan Trust 1997-5

      

6.88%, 11/20/2028

      26        26  

Kabbage Funding LLC

      

3.83%, 03/15/2024(3)

      795,887        789,055  

4.07%, 03/15/2024(3)

      7,519,000        7,426,621  

KGS-Alpha SBA COOF Trust

      

0.57%, 05/25/2039(3)(4)

      2,030,956        30,032  

KGS-Alpha SBA COOF Trust 2012-2

      

0.77%, 08/25/2038(3)(4)

      2,174,659        33,207  

KGS-Alpha SBA COOF Trust 2014-2

      

3.20%, 04/25/2040(3)(4)

      705,643        41,252  

KKR CLO 11 Ltd.

      

1.46% (3 Month LIBOR USD + 1.18%), 01/15/2031(2)(3)

      6,250,000        6,177,931  

KVK CLO 2018-1 Ltd.

      

1.18% (3 Month LIBOR USD + 0.93%), 05/20/2029(2)(3)

      23,928,339        23,678,623  

Laurel Road Prime Student Loan Trust 2017-C

      

2.81%, 11/25/2042(3)

      3,114,173        3,193,837  

Laurel Road Prime Student Loan Trust 2018-B

      

3.54%, 05/26/2043(3)

      6,116,533        6,296,569  

Legacy Mortgage Asset Trust 2019-GS4

      

3.44%, 05/25/2059(1)(3)

      3,993,541        4,002,144  

Lendingpoint 2019-2 Asset Securitization Trust

      

3.07%, 11/10/2025(3)

      2,124,193        2,128,057  

Lendmark Funding Trust 2018-1

      

5.03%, 12/21/2026(3)

      1,900,000        1,953,369  

LL ABS Trust 2019-1

      

2.87%, 03/15/2027(3)

      2,371,014        2,381,149  

LL ABS Trust 2020-1

      

2.33%, 01/17/2028(3)

      7,500,000        7,500,914  

Long Beach Mortgage Loan Trust 2004-1

      

0.90% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 02/25/2034(2)

      135,691        132,262  

Long Beach Mortgage Loan Trust 2004-3

      

1.00% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034(2)

      34,110        32,562  

LV Tower 52 Issuer 2013-1

      

5.75%, 02/15/2023(3)(14)

      2,489,074        2,510,455  

7.75%, 02/15/2023(3)(14)

      949,345        957,500  

Man GLG US CLO 2018-2 Ltd.

      

1.52% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 10/15/2028(2)(3)

      8,000,000        7,960,256  

Mariner Finance Issuance Trust 2019-A

      

3.51%, 07/20/2032(3)

      5,235,000        5,268,039  

MASTR Asset Backed Securities Trust 2006-NC1

      

0.75% (1 Month LIBOR USD + 0.60%, 0.30% Floor), 01/25/2036(2)

      333,173        332,951  

MidOcean Credit CLO III

      

1.39% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031(2)(3)

      15,324,276        15,046,784  

MidOcean Credit CLO IX

      

1.42% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/20/2031(2)(3)

      4,000,000        3,970,520  

Mid-State Capital Corp. 2006-1 Trust

      

6.08%, 10/15/2040(3)

      629,558        678,079  

Mid-State Capital Trust 2010-1

      

3.50%, 12/15/2045(3)

      134,237        136,909  

5.25%, 12/15/2045(3)

      241,554        250,199  

MMAF Equipment Finance LLC 2019-B

      

2.29%, 11/12/2041(3)

      7,200,000        7,712,727  

Mountain View CLO 2015-9 Ltd.

      

1.40% (3 Month LIBOR USD + 1.12%), 07/15/2031(2)(3)

      20,000,000        19,708,220  

MRA Issuance Trust 2020-8

      

1.91% (1 Month LIBOR USD + 1.75%), 09/23/2021(3)

      12,220,000        12,220,000  

3.16% (1 Month LIBOR USD + 3.00%), 09/23/2021(3)

      7,140,000        7,140,000  

Nationstar HECM Loan Trust 2020-1

      

1.27%, 09/25/2030(3)

      8,900,000        8,898,220  

Navient Private Education Refi Loan Trust 2018-A

      

3.19%, 02/18/2042(3)

      12,263,184        12,531,501  

Navient Private Education Refi Loan Trust 2018-C

      

3.52%, 06/16/2042(3)

      5,320,621        5,470,440  

Navient Private Education Refi Loan Trust 2019-C

      

3.13%, 02/15/2068(3)

      6,600,000        6,814,907  

Navient Private Education Refi Loan Trust 2020-B

      

2.12%, 01/15/2069(3)

      5,400,000        5,544,837  

Navient Student Loan Trust 2018-EA

      

4.00%, 12/15/2059(3)

      6,200,000        6,443,341  

New Century Home Equity Loan Trust Series 2003-5

      

5.03%, 11/25/2033(1)

      139,313        144,087  

New Residential Mortgage Loan Trust 2018-1

      

4.00%, 12/25/2057(3)(4)

      7,170,975        7,740,383  

Nissan Auto Receivables 2019-A Owner Trust

      

2.82%, 01/18/2022

      1,207,916        1,210,687  

Nissan Auto Receivables 2020-A Owner Trust

      

1.38%, 12/16/2024

      3,974,000        4,053,082  

Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-FM1

      

0.38% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 11/25/2035(2)

      7,116,345        7,053,309  

Oakwood Mortgage Investors, Inc.

      

6.45%, 12/15/2023

      1,124        1,143  

OL SP 2018-B LLC

      

4.16%, 02/09/2030

      2,177,734        2,249,271  

4.61%, 02/09/2030

      473,421        476,946  

OnDeck Asset Securitization Trust LLC

      

3.50%, 04/18/2022(3)

      625,342        625,997  

OneMain Direct Auto Receivables Trust 2018-1

      

3.43%, 12/16/2024(3)

      16,242,249        16,446,994  

OneMain Financial Issuance Trust 2017-1

      

0.95% (1 Month LIBOR USD + 0.80%), 09/14/2032(2)(3)

      3,463,755        3,466,515  

OneMain Financial Issuance Trust 2020-2

      

1.75%, 09/14/2035(3)

      6,100,000        6,144,476  

OneMain Financial Issuance Trust 2020-A

      

3.84%, 05/14/2032(3)

      3,400,000        3,575,754  

Oportun Funding VIII LLC

      

3.61%, 03/08/2024(3)

      2,978,000        2,985,720  

Oportun Funding X LLC

      

4.10%, 10/08/2024(3)

      5,900,000        6,003,225  

Oportun Funding XII LLC

      

4.15%, 12/09/2024(3)

      4,200,000        4,278,125  

Option One Mortgage Loan Trust 2004-3

      

1.05% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 11/25/2034(2)

      1,691,802        1,538,416  

OZLM Funding IV Ltd.

      

1.51% (3 Month LIBOR USD + 1.25%), 10/22/2030(2)(3)

      9,871,920        9,787,021  

OZLM XXII Ltd.

      

1.34% (3 Month LIBOR USD + 1.07%), 01/17/2031(2)(3)

      6,991,130        6,870,778  

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.

      

1.40% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031(2)(3)

      4,000,000        3,963,456  

Palmer Square CLO 2018-2 Ltd.

      

1.37% (3 Month LIBOR USD + 1.10%), 07/16/2031(2)(3)

      20,000,000        19,797,960  

Park Avenue Institutional Advisers CLO Ltd. 2018-1

      

1.55% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/20/2031(2)(3)

      21,500,000        21,478,242  

Progress Residential 2017-SFR1 Trust

      

3.02%, 08/17/2034(3)

      2,000,000        2,023,205  

Progress Residential 2018-SFR2 Trust

      

4.34%, 08/17/2035(3)

      2,390,000        2,444,115  

4.66%, 08/17/2035(3)

      3,853,000        3,950,045  

Progress Residential 2020-SFR3 Trust

      

2.30%, 10/17/2027(3)

      6,000,000        6,000,612  

PRPM 2019-4 LLC

      

3.35%, 11/25/2024(1)(3)

      5,758,498        5,772,636  

PRPM 2020-1 LLC

      

2.98%, 02/25/2025(1)(3)

      5,352,408        5,332,787  

Purchasing Power Funding 2018-A LLC

      

3.34%, 08/15/2022(3)

      640,433        640,680  

RAMP Series 2005-RS1 Trust

      

4.71%, 11/25/2034

      256        259  

Regional Management Issuance Trust 2020-1

      

3.23%, 10/15/2030(3)

      2,590,000        2,589,542  

Renaissance Home Equity Loan Trust

      

5.61%, 04/25/2037(1)

      298,832        124,914  

Renew 2017-1

      

3.67%, 09/20/2052(3)

      1,533,065        1,591,489  

Rice Park Financing Trust 2016-A

      

4.63%, 10/31/2041(3)

      2,088,945        2,068,757  

Santander Consumer Auto Receivables Trust 2020-B

      

0.46%, 08/15/2024(3)

      7,527,000        7,534,443  

1.29%, 04/15/2026(3)

      1,028,000        1,031,107  

Santander Drive Auto Receivables Trust 2017-1

      

3.17%, 04/17/2023

      4,159,645        4,203,942  

Santander Drive Auto Receivables Trust 2017-2

      

3.49%, 07/17/2023

      1,547,185        1,571,484  

Santander Drive Auto Receivables Trust 2019-1

      

3.21%, 09/15/2023

      4,767,113        4,799,414  

Santander Drive Auto Receivables Trust 2019-3

      

2.49%, 10/15/2025

      5,800,000        5,922,117  

Santander Drive Auto Receivables Trust 2020-1 SER 2020-1 CL A2A REGD

      

2.07%, 01/17/2023

      5,258,969        5,295,730  

Santander Drive Auto Receivables Trust 2020-1 SER 2020-1 CL A3 REGD

      

2.03%, 02/15/2024

      2,239,000        2,282,547  

Santander Drive Auto Receivables Trust 2020-2 SER 2020-2 CL A3 REGD

      

0.67%, 04/15/2024

      3,726,000        3,736,741  

Santander Drive Auto Receivables Trust 2020-2 SER 2020-2 CL B REGD

      

0.96%, 11/15/2024

      2,573,000        2,581,270  

Santander Drive Auto Receivables Trust 2020-2 SER 2020-2 CL C REGD

      

1.46%, 09/15/2025

      2,425,000        2,454,425  

Santander Drive Auto Receivables Trust 2020-3

      

1.12%, 01/15/2026

      8,000,000        8,007,096  

SART 2017-1

      

4.75%, 07/15/2024(14)

      6,153,140        6,183,905  

SART 2018-1

      

4.76%, 06/15/2025(14)

      7,200,272        7,308,276  

Securitized Asset Backed Receivables LLC Trust 2006-CB1

      

3.20%, 01/25/2036(1)

      56,015        55,052  

Sierra Timeshare 2019-3 Receivables Funding LLC

      

2.75%, 08/20/2036(3)

      3,398,855        3,438,466  

Sierra Timeshare 2020-2 Receivables Funding LLC

      

1.33%, 07/20/2037(3)

      3,680,426        3,681,443  

SoFi Consumer Loan Program 2018-1 Trust

      

3.14%, 02/25/2027(3)

      2,520,015        2,536,531  

SoFi Consumer Loan Program 2019-3 Trust

      

2.90%, 05/25/2028(3)

      2,377,235        2,404,871  

SoFi Consumer Loan Program 2020-1 Trust

      

2.02%, 01/25/2029(3)

      8,420,033        8,509,793  

SoFi Professional Loan Program 2017-F LLC

      

2.84%, 01/25/2041(3)

      13,966,747        14,352,344  

SoFi Professional Loan Program 2018-B Trust

      

3.34%, 08/25/2047(3)

      6,198,682        6,387,699  

SoFi Professional Loan Program 2019-C LLC

      

2.37%, 11/16/2048(3)

      7,800,000        8,016,721  

SoFi Professional Loan Program 2020-ATrust

      

2.54%, 05/15/2046(3)

      7,800,000        8,097,595  

Sound Point CLO II Ltd.

      

1.31% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031(2)(3)

      9,000,000        8,894,088  

Specialty Underwriting & Residential Finance Trust Series 2004-BC4

      

0.82% (1 Month LIBOR USD + 0.67%, 0.34% Floor), 10/25/2035(2)

      131,132        130,617  

Springleaf Funding Trust 2017-A

      

2.68%, 07/15/2030(3)

      8,133,965        8,144,547  

Station Place Securitization Trust Series 2020-10

      

1.65% (1 Month LIBOR USD + 1.50%), 05/20/2021(2)(3)(14)

      11,520,000        11,520,000  

Structured Asset Securities Corp. Mortgage Loan Trust 2005-7XS

      

5.44%, 04/25/2035(1)

      629        652  

Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2004-6XS

      

6.03%, 03/25/2034(1)

      64,745        65,975  

6.05%, 03/25/2034(1)

      51,779        52,762  

Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1

      

3.45%, 02/25/2032

      17,869        17,267  

3.45%, 02/25/2032

      47,302        46,053  

Synchrony Card Funding LLC

      

2.95%, 03/15/2025

      12,384,000        12,812,117  

Synchrony Card Issuance Trust

      

3.38%, 09/15/2024

      5,500,000        5,657,356  

Towd Point Mortgage Trust 2017-2

      

2.75%, 04/25/2057(3)(4)

      4,566,412        4,694,159  

Towd Point Mortgage Trust 2017-6

      

2.75%, 10/25/2057(3)(4)

      4,303,473        4,474,754  

Towd Point Mortgage Trust 2018-1

      

3.00%, 01/25/2058(3)(4)

      6,157,234        6,422,049  

Towd Point Mortgage Trust 2019-1

      

3.75%, 03/25/2058(3)(4)

      7,347,343        7,958,168  

Towd Point Mortgage Trust 2019-HY3

      

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2059(2)(3)

      2,088,324        2,088,324  

Towd Point Mortgage Trust 2020-MH1

      

2.25%, 02/25/2060(3)(4)

      7,832,621        7,988,006  

Toyota Auto Loan Extended Note Trust 2019-1

      

2.56%, 11/25/2031(3)

      14,775,000        15,764,270  

Toyota Auto Loan Extended Note Trust 2020-1

      

1.35%, 05/25/2033(3)

      14,933,000        15,324,578  

Toyota Auto Receivables 2020-A Owner Trust

      

1.68%, 05/15/2025

      1,196,000        1,235,674  

Toyota Auto Receivables 2020-B Owner Trust SER 2020-B CL A3 REGD

      

1.36%, 08/15/2024

      3,481,000        3,545,999  

Toyota Auto Receivables 2020-B Owner Trust SER 2020-B CL A4 REGD

      

1.66%, 09/15/2025

      3,189,000        3,285,140  

Trafigura Securitisation Finance Plc 2018-1

      

3.73%, 03/15/2022(3)

      12,666,667        12,819,028  

Tricolor Auto Securitization Trust

      

4.88%, 11/15/2026(3)(14)

      9,900,000        9,900,000  

Tricolor Auto Securitization Trust 2018-1

      

5.05%, 12/15/2020(3)

      306,307        305,708  

Trinitas CLO IV Ltd.

      

1.45% (3 Month LIBOR USD + 1.18%), 10/18/2031(2)(3)

      7,483,063        7,452,217  

US Auto Funding 2018-1 LLC

      

5.50%, 07/15/2023(3)

      1,823,000        1,866,568  

USAA Auto Owner Trust 2019-1

      

2.14%, 11/15/2024

      4,004,000        4,112,112  

VCAT 2020-NPL1 LLC

      

3.67%, 08/25/2050(1)(3)

      5,397,256        5,395,390  

Venture 32 CLO Ltd.

      

1.37% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031(2)(3)

      6,000,000        5,893,014  

Vericrest Opportunity Loan Trust 2019-NPL5

      

3.35%, 09/25/2049(1)(3)

      4,386,371        4,391,362  

Vericrest Opportunity Loan Trust 2019-NPL8

      

3.28%, 11/25/2049(1)(3)

      12,249,118        12,260,035  

Vericrest Opportunity Loan Trust 2020-NPL2

      

2.98%, 02/25/2050(1)(3)

      5,977,691        5,978,082  

Verizon Owner Trust 2017-3

      

2.06%, 04/20/2022(3)

      572,831        573,796  

Verizon Owner Trust 2018-A SER 2018-A CL A1A REGD

      

3.23%, 04/20/2023

      9,117,000        9,258,217  

Verizon Owner Trust 2019-A

      

2.93%, 09/20/2023

      5,473,000        5,607,935  

Verizon Owner Trust 2019-B

      

2.33%, 12/20/2023

      10,525,000        10,776,733  

Verizon Owner Trust 2020-A

      

1.85%, 07/22/2024

      9,704,000        9,951,986  

VM DEBT 2019-1 TR

      

7.50%, 06/15/2024(14)

      6,598,828        6,479,506  

Volkswagen Auto Loan Enhanced Trust 2020-1 SER 2020-1 CL A3 REGD

      

0.98%, 11/20/2024

      5,114,000        5,177,922  

Volkswagen Auto Loan Enhanced Trust 2020-1 SER 2020-1 CL A4 REGD

      

1.26%, 08/20/2026

      1,923,000        1,971,832  

VOLT 2020 FT 1 TRUST VARIABLE REGD

      

3.17%, 07/27/2023(14)

      9,006,172        8,830,873  

VOLT LXXXIII LLC

      

3.33%, 11/26/2049(1)(3)

      9,368,447        9,391,724  

VOLT LXXXV LLC

      

3.23%, 01/25/2050(1)(3)

      7,781,776        7,796,459  

VOLT LXXXVII LLC

      

2.98%, 02/25/2050(1)(3)

      13,565,770        13,565,618  

VOLT LXXXVIII LLC

      

2.98%, 03/25/2050(1)(3)

      8,080,254        8,063,237  

Voya CLO 2015-1 Ltd.

      

1.17% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029(2)(3)

      6,000,000        5,933,196  

VSE 2018-A Voi Mortgage LLC

      

3.56%, 02/20/2036(3)

      1,912,277        1,990,629  

Westgate Resorts 2017-1 LLC

      

3.05%, 12/20/2030(3)

      562,729        564,809  

4.05%, 12/20/2030(3)

      1,001,535        990,750  

Westgate Resorts 2020-1 LLC SER 2020-1A CL B REGD 144A P/P

      

3.96%, 03/20/2034(3)

      6,045,354        6,201,381  

Westlake Automobile Receivables Trust 2019-1

      

3.06%, 05/16/2022(3)

      1,957,252        1,963,133  

Westlake Automobile Receivables Trust 2019-3

      

2.15%, 02/15/2023(3)

      6,854,343        6,904,712  

World Financial Network Credit Card Master Trust

      

3.14%, 12/15/2025

      5,660,000        5,846,782  

World Omni Auto Receivables Trust 2018-D

      

3.33%, 04/15/2024

      15,916,000        16,310,551  

World Omni Auto Receivables Trust 2019-B

      

2.59%, 07/15/2024

      6,018,000        6,162,093  

World Omni Auto Receivables Trust 2019-C

      

1.96%, 12/16/2024

      5,525,000        5,668,596  

World Omni Auto Receivables Trust 2020-C

      

0.48%, 11/17/2025

      2,227,000        2,228,776  

0.61%, 10/15/2026

      3,043,000        3,060,282  

World Omni Select Auto Trust 2020-A

      

0.47%, 06/17/2024

      7,901,000        7,902,022  

0.55%, 07/15/2025

      3,022,000        3,028,084  

Zais CLO 7 Ltd.

      

1.57% (3 Month LIBOR USD + 1.29%), 04/15/2030(2)(3)

      9,450,705        9,421,531  

Zais CLO 8 Ltd.

      

1.23% (3 Month LIBOR USD + 0.95%), 04/15/2029(2)(3)

      39,162,076        38,216,312  
     

 

 

  

Total Asset-Backed Obligations (Cost: $1,722,142,931)

         1,742,080,337  
     

 

 

  

Corporate Bonds – 34.18%

      

Basic Materials – 1.15%

      

Air Liquide Finance SA

      

2.25%, 09/27/2023(3)

    $ 550,000      $ 575,247  

Albemarle Corp.

      

5.45%, 12/01/2044

      600,000        657,590  

Anglo American Capital Plc

      

2.63%, 09/10/2030(3)

      1,287,000        1,276,575  

3.63%, 09/11/2024(3)

      630,000        677,287  

4.00%, 09/11/2027(3)

      1,020,000        1,125,524  

Barrick Gold Corp.

      

6.45%, 10/15/2035

      203,000        282,732  

Barrick North America Finance LLC

      

5.75%, 05/01/2043

      4,480,000        6,511,483  

BHP Billiton Finance USA Ltd.

      

6.25% (5 Year Swap Rate USD + 4.97%), 10/19/2075(2)(3)

      985,000        983,611  

Braskem Netherlands Finance BV

      

5.88%, 01/31/2050(3)

      1,575,000        1,449,016  

CF Industries, Inc.

      

5.38%, 03/15/2044

      2,040,000        2,454,895  

Chevron Phillips Chemical Co. LLC

      

5.13%, 04/01/2025(3)

      1,705,000        2,004,971  

CNAC HK Finbridge Co. Ltd.

      

4.13%, 03/14/2021

      4,255,000        4,304,443  

Dow Chemical Co.

      

4.55%, 11/30/2025

      6,660,000        7,751,368  

5.55%, 11/30/2048

      3,005,000        3,957,185  

DuPont de Nemours, Inc.

      

5.32%, 11/15/2038

      5,665,000        7,202,914  

5.42%, 11/15/2048

      1,200,000        1,604,733  

Eastman Chemical Co.

      

4.50%, 01/15/2021

      352,000        352,500  

Ecolab, Inc.

      

3.25%, 01/14/2023

      452,000        478,483  

FMC Corp.

      

3.95%, 02/01/2022

      1,725,000        1,782,733  

Glencore Finance Canada Ltd.

      

4.25%, 10/25/2022(3)

      5,000,000        5,308,715  

4.95%, 11/15/2021(3)

      2,030,000        2,119,095  

Glencore Funding LLC

      

1.63%, 09/01/2025(3)

      5,200,000        5,142,231  

2.50%, 09/01/2030(3)

      5,040,000        4,898,871  

3.88%, 10/27/2027(3)

      875,000        954,082  

4.00%, 03/27/2027(3)

      6,300,000        6,876,374  

4.13%, 05/30/2023(3)

      1,055,000        1,131,055  

4.63%, 04/29/2024(3)

      1,500,000        1,652,218  

Indonesia Asahan Alumini

      

4.75%, 05/15/2025(3)

      2,727,000        2,999,700  

5.45%, 05/15/2030(3)

      937,000        1,078,018  

5.80%, 05/15/2050(3)

      505,000        588,573  

International Flavors & Fragrances, Inc.

      

4.45%, 09/26/2028

      720,000        844,523  

International Paper Co.

      

6.00%, 11/15/2041

      3,150,000        4,339,715  

8.70%, 06/15/2038

      350,000        540,569  

LYB International Finance BV

      

4.88%, 03/15/2044

      610,000        721,451  

LYB International Finance III REGD

      

4.20%, 05/01/2050

      2,829,000        3,141,409  

LyondellBasell Industries NV

      

5.75%, 04/15/2024

      2,550,000        2,926,369  

6.00%, 11/15/2021

      2,628,000        2,750,076  

Mosaic Co.

      

4.25%, 11/15/2023

      8,533,000        9,260,643  

5.63%, 11/15/2043

      2,055,000        2,414,976  

Newmont Goldcorp Corp.

      

3.63%, 06/09/2021

      1,810,000        1,838,858  

Nucor Corp.

      

6.40%, 12/01/2037

      800,000        1,156,798  

Nutrien Ltd.

      

3.15%, 10/01/2022

      875,000        913,998  

4.13%, 03/15/2035

      1,960,000        2,274,128  

4.20%, 04/01/2029

      420,000        499,232  

5.25%, 01/15/2045

      1,900,000        2,421,233  

6.13%, 01/15/2041

      2,850,000        3,782,671  

Nutrition & Biosciences, Inc.

      

1.83%, 10/15/2027(3)

      9,643,000        9,684,064  

3.27%, 11/15/2040(3)

      1,205,000        1,211,792  

3.47%, 12/01/2050(3)

      930,000        931,778  

Orbia Advance Corp. SAB de CV

      

4.88%, 09/19/2022(3)

      3,425,000        3,632,281  

Reliance Steel & Aluminum Co.

      

2.15%, 08/15/2030

      3,100,000        3,030,481  

Rio Tinto Alcan, Inc.

      

5.75%, 06/01/2035

      54,000        77,217  

Samarco Mineracao SA

      

5.75%, 10/24/2023(3)(5)

      537,000        289,985  

SASOL Financing USA LLC

      

5.88%, 03/27/2024

      3,249,000        3,127,162  

6.50%, 09/27/2028

      1,555,000        1,469,164  

Sherwin-Williams Co.

      

3.13%, 06/01/2024

      401,000        433,270  

Solvay Finance America LLC

      

4.45%, 12/03/2025(3)

      7,000,000        7,878,098  

Southern Copper Corp.

      

5.25%, 11/08/2042

      1,000,000        1,258,940  

Steel Dynamics, Inc.

      

3.45%, 04/15/2030

      823,000        906,797  

Syngenta Finance NV

      

4.89%, 04/24/2025(3)

      7,180,000        7,783,128  

Union Carbide Corp.

      

7.75%, 10/01/2096

      681,000        929,725  

Vale Overseas Ltd.

      

3.75%, 07/08/2030

      1,165,000        1,198,785  

6.25%, 08/10/2026

      5,000,000        5,912,500  

6.88%, 11/21/2036

      167,000        216,891  

6.88%, 11/10/2039

      2,107,000        2,771,653  

8.25%, 01/17/2034

      984,000        1,386,948  
     

 

 

  

Total Basic Materials

 

      172,139,530  
     

 

 

  

Communications – 2.75%

      

Amazon.com, Inc.

      

2.50%, 06/03/2050

      8,494,000        8,621,703  

2.70%, 06/03/2060

      670,000        688,918  

3.88%, 08/22/2037

      1,700,000        2,113,890  

America Movil SAB de CV

      

3.13%, 07/16/2022

      374,000        389,548  

3.63%, 04/22/2029

      1,935,000        2,188,408  

4.38%, 04/22/2049

      1,214,000        1,512,280  

AT&T, Inc.

      

1.65%, 02/01/2028

      2,075,000        2,077,236  

2.25%, 02/01/2032

      3,510,000        3,505,915  

2.30%, 06/01/2027

      9,115,000        9,561,553  

2.75%, 06/01/2031

      7,819,000        8,221,623  

2.95%, 07/15/2026

      2,000,000        2,183,894  

3.10%, 02/01/2043

      11,622,000        11,337,937  

3.50%, 06/01/2041

      1,353,000        1,422,949  

3.50%, 09/15/2053(3)

      21,165,535        20,620,221  

3.55%, 09/15/2055(3)

      7,332,960        7,014,695  

3.65%, 09/15/2059(3)

      3,645,999        3,520,833  

3.80%, 02/15/2027

      2,850,000        3,212,802  

4.30%, 02/15/2030

      1,702,000        2,015,083  

4.30%, 12/15/2042

      444,000        500,352  

4.50%, 05/15/2035

      6,175,000        7,283,687  

4.65%, 06/01/2044

      2,145,000        2,438,394  

4.80%, 06/15/2044

      389,000        462,151  

6.00%, 08/15/2040

      2,275,000        3,100,180  

6.38%, 03/01/2041

      7,828,000        11,165,171  

Booking Holdings, Inc.

      

2.75%, 03/15/2023

      857,000        899,549  

CBS Corp.

      

3.70%, 06/01/2028

      870,000        966,013  

4.00%, 01/15/2026

      1,000,000        1,122,335  

4.90%, 08/15/2044

      315,000        357,820  

Charter Communications Operating LLC

      

3.70%, 04/01/2051

      2,580,000        2,549,884  

3.75%, 02/15/2028

      2,215,000        2,447,648  

4.91%, 07/23/2025

      16,855,000        19,482,189  

5.05%, 03/30/2029

      2,560,000        3,066,633  

5.38%, 04/01/2038

      835,000        1,014,780  

5.38%, 05/01/2047

      4,610,000        5,463,280  

6.38%, 10/23/2035

      5,867,000        7,999,397  

6.48%, 10/23/2045

      1,275,000        1,699,590  

6.83%, 10/23/2055

      690,000        953,676  

Comcast Cable Holdings LLC

      

10.13%, 04/15/2022

      186,000        212,150  

Comcast Corp.

      

1.50%, 02/15/2031

      9,465,000        9,314,093  

1.95%, 01/15/2031

      5,376,000        5,519,929  

3.15%, 03/01/2026

      1,716,000        1,907,029  

3.15%, 02/15/2028

      1,500,000        1,685,990  

3.25%, 11/01/2039

      1,595,000        1,765,178  

3.45%, 02/01/2050

      914,000        1,037,872  

3.55%, 05/01/2028

      886,000        1,026,357  

3.60%, 03/01/2024

      542,000        596,164  

3.75%, 04/01/2040

      2,195,000        2,560,521  

3.90%, 03/01/2038

      455,000        538,713  

3.95%, 10/15/2025

      1,614,000        1,850,885  

3.97%, 11/01/2047

      154,000        182,412  

4.00%, 11/01/2049

      638,000        771,758  

4.05%, 11/01/2052

      300,000        367,534  

4.20%, 08/15/2034

      555,000        692,612  

4.25%, 01/15/2033

      3,107,000        3,863,052  

4.60%, 10/15/2038

      4,314,000        5,492,440  

4.70%, 10/15/2048

      2,712,000        3,588,938  

4.95%, 10/15/2058

      2,000,000        2,862,810  

Corning, Inc.

      

5.35%, 11/15/2048

      960,000        1,298,964  

Cox Communications, Inc.

      

1.80%, 10/01/2030(3)

      1,770,000        1,745,560  

2.95%, 10/01/2050(3)

      1,275,000        1,223,860  

3.25%, 12/15/2022(3)

      348,000        366,791  

3.35%, 09/15/2026(3)

      369,000        410,237  

3.50%, 08/15/2027(3)

      8,245,000        9,229,867  

3.85%, 02/01/2025(3)

      1,250,000        1,387,127  

4.60%, 08/15/2047(3)

      588,000        733,707  

4.80%, 02/01/2035(3)

      6,000,000        7,539,623  

8.38%, 03/01/2039(3)

      1,500,000        2,444,558  

Crown Castle Towers LLC

      

3.22%, 05/15/2022(3)

      589,000        597,561  

3.66%, 05/15/2025(3)

      955,000        1,022,188  

Deutsche Telekom AG

      

3.63%, 01/21/2050(3)

      1,926,000        2,130,069  

Deutsche Telekom International Finance BV

      

3.60%, 01/19/2027(3)

      508,000        568,972  

4.88%, 03/06/2042(3)

      240,000        309,386  

8.75%, 06/15/2030

      49,000        76,087  

Discovery Communications LLC

      

5.20%, 09/20/2047

      1,375,000        1,648,431  

Fox Corp.

      

5.58%, 01/25/2049

      1,450,000        2,003,619  

Grupo Televisa SAB

      

6.13%, 01/31/2046

      382,000        502,723  

Level 3 Financing, Inc.

      

3.40%, 03/01/2027(3)

      7,000,000        7,537,447  

NBCUniversal Media LLC

      

4.45%, 01/15/2043

      15,000        18,894  

5.95%, 04/01/2041

      527,000        784,883  

Qwest Corp.

      

6.75%, 12/01/2021

      3,866,000        4,078,862  

Rogers Communications, Inc.

      

4.35%, 05/01/2049

      1,335,000        1,625,566  

Sky Ltd.

      

3.75%, 09/16/2024(3)

      287,000        320,030  

TCI Communications, Inc.

      

7.13%, 02/15/2028

      138,000        191,990  

Telecom Italia Capital SA

      

7.20%, 07/18/2036

      1,644,000        2,073,413  

Telefonica Emisiones SA

      

4.10%, 03/08/2027

      4,775,000        5,428,764  

4.67%, 03/06/2038

      1,175,000        1,352,104  

4.90%, 03/06/2048

      1,075,000        1,236,722  

5.46%, 02/16/2021

      233,000        237,306  

Time Warner Cable LLC

      

5.50%, 09/01/2041

      6,815,000        8,241,900  

5.88%, 11/15/2040

      1,275,000        1,586,217  

6.55%, 05/01/2037

      375,000        497,848  

6.75%, 06/15/2039

      539,000        735,212  

7.30%, 07/01/2038

      1,418,000        2,004,038  

Time Warner Entertainment Co. LP

      

8.38%, 07/15/2033

      529,000        809,629  

T-Mobile USA, Inc.

      

1.50%, 02/15/2026(3)

      4,345,000        4,354,472  

2.05%, 02/15/2028(3)

      5,330,000        5,447,473  

3.00%, 02/15/2041(3)

      1,300,000        1,283,412  

3.30%, 02/15/2051(3)

      445,000        438,614  

3.75%, 04/15/2027(3)

      3,500,000        3,918,390  

3.88%, 04/15/2030(3)

      27,685,000        31,478,676  

TWDC Enterprises 18 Corp.

      

3.00%, 07/30/2046

      160,000        163,445  

Verizon Communications, Inc.

      

3.15%, 03/22/2030

      5,000,000        5,646,392  

3.88%, 02/08/2029

      765,000        904,017  

4.02%, 12/03/2029

      712,000        852,803  

4.13%, 03/16/2027

      2,800,000        3,303,649  

4.27%, 01/15/2036

      5,624,000        6,926,831  

4.40%, 11/01/2034

      4,843,000        6,042,209  

4.50%, 08/10/2033

      7,079,000        8,939,185  

4.52%, 09/15/2048

      1,065,000        1,395,159  

4.81%, 03/15/2039

      7,941,000        10,409,522  

4.86%, 08/21/2046

      10,285,000        14,069,279  

5.25%, 03/16/2037

      731,000        1,010,790  

ViacomCBS, Inc.

      

3.70%, 08/15/2024

      848,000        928,160  

4.20%, 05/19/2032

      1,804,000        2,059,210  

4.38%, 03/15/2043

      718,000        760,992  

Vodafone Group Plc

      

4.88%, 06/19/2049

      4,584,000        5,683,237  

5.25%, 05/30/2048

      938,000        1,209,260  

6.15%, 02/27/2037

      4,600,000        6,362,738  

Walt Disney Co.

      

3.70%, 10/15/2025

      380,000        430,812  

6.20%, 12/15/2034

      150,000        220,664  

6.40%, 12/15/2035

      1,703,000        2,568,210  

7.63%, 11/30/2028

      310,000        443,212  

8.88%, 04/26/2023

      108,000        129,465  

9.50%, 07/15/2024

      175,000        228,465  
     

 

 

  

Total Communications

 

      410,627,552  
     

 

 

  

Consumer, Cyclical – 1.49%

      

Air Canada 2013-1 Class A Pass Through Trust

      

4.13%, 05/15/2025(3)

      1,568,340        1,407,272  

Air Canada 2015-1 Class A Pass Through Trust

      

3.60%, 03/15/2027(3)

      690,523        652,373  

Air Canada 2015-2 Class AA Pass Through Trust

      

3.75%, 12/15/2027(3)

      1,150,136        1,105,292  

Air Canada 2017-1 Class A Pass Through Trust

      

3.55%, 01/15/2030(3)

      2,650,613        2,183,919  

Air Canada 2017-1 Class AA Pass Through Trust

      

3.30%, 01/15/2030(3)

      1,513,354        1,438,214  

Alimentation Couche-Tard, Inc.

      

2.95%, 01/25/2030(3)

      1,100,000        1,185,394  

American Airlines 2011-1 Class A Pass Through Trust

      

5.25%, 01/31/2021

      50,587        46,574  

American Airlines 2014-1 Class A Pass Through Trust

      

3.70%, 10/01/2026

      350,786        291,372  

American Airlines 2015-1 Class A Pass Through Trust

      

3.38%, 05/01/2027

      3,186,320        2,620,060  

American Airlines 2015-2 Class AA Pass Through Trust

      

3.60%, 09/22/2027

      558,668        535,596  

American Airlines 2016-2 Class AA Pass Through Trust

      

3.20%, 06/15/2028

      1,264,640        1,188,402  

American Airlines 2016-3 Class AA Pass Through Trust

      

3.00%, 10/15/2028

      2,360,934        2,205,387  

American Airlines 2017-1 Class AA Pass Through Trust

      

3.65%, 02/15/2029

      1,928,501        1,854,363  

American Honda Finance Corp.

      

0.65%, 09/08/2023

      1,276,000        1,275,556  

2.30%, 09/09/2026

      185,000        197,240  

2.90%, 02/16/2024

      300,000        320,891  

AutoZone, Inc.

      

1.65%, 01/15/2031

      3,800,000        3,734,047  

BMW US Capital LLC

      

0.68% (3 Month LIBOR USD + 0.41%), 04/12/2021(2)(3)

      1,675,000        1,677,325  

2.25%, 09/15/2023(3)

      894,000        933,379  

British Airways 2018-1 Class A Pass Through Trust

      

4.13%, 09/20/2031(3)

      2,413,969        1,982,255  

British Airways 2018-1 Class AA Pass Through Trust

      

3.80%, 09/20/2031(3)

      1,141,136        1,118,284  

British Airways 2019-1 Class AA Pass Through Trust

      

3.30%, 12/15/2032(3)

      1,556,370        1,458,674  

CK Hutchison International 19 Ltd.

      

3.63%, 04/11/2029(3)

      1,615,000        1,829,633  

Continental Airlines 2007-1 Class A Pass Through Trust

      

5.98%, 04/19/2022

      4,583,289        4,494,888  

Continental Airlines 2012-1 Class A Pass Through Trust

      

4.15%, 04/11/2024

      1,081,523        1,059,615  

Continental Airlines 2012-2 Class A Pass Through Trust

      

4.00%, 10/29/2024

      4,482,784        4,302,079  

Cummins, Inc.

      

2.60%, 09/01/2050

      3,845,000        3,761,909  

Daimler Finance North America LLC

      

2.88%, 03/10/2021(3)

      700,000        707,192  

3.35%, 02/22/2023(3)

      1,000,000        1,058,602  

8.50%, 01/18/2031

      155,000        239,923  

Delta Air Lines 2007-1 Class A Pass Through Trust

      

6.82%, 08/10/2022

      3,184,654        3,184,774  

Dollar General Corp.

      

4.13%, 05/01/2028

      835,000        978,112  

Dollar Tree, Inc.

      

4.20%, 05/15/2028

      3,695,000        4,353,061  

Ford Motor Co.

      

5.29%, 12/08/2046

      280,000        262,675  

Ford Motor Credit Co. LLC

      

3.34%, 03/18/2021

      4,321,000        4,323,377  

3.34%, 03/28/2022

      3,000,000        2,988,300  

3.35%, 11/01/2022

      620,000        610,700  

3.81%, 10/12/2021

      6,200,000        6,215,500  

4.25%, 09/20/2022

      3,800,000        3,832,908  

5.88%, 08/02/2021

      4,100,000        4,176,875  

General Motors Co.

      

5.95%, 04/01/2049

      1,671,000        1,954,318  

6.60%, 04/01/2036

      685,000        832,619  

General Motors Financial Co., Inc.

      

1.12% (3 Month LIBOR USD + 0.85%), 04/09/2021(2)

      3,590,000        3,588,293  

2.45%, 11/06/2020

      9,004,000        9,018,425  

3.15%, 06/30/2022

      2,750,000        2,824,758  

3.25%, 01/05/2023

      708,000        731,668  

3.45%, 01/14/2022

      6,500,000        6,666,184  

3.45%, 04/10/2022

      4,820,000        4,955,300  

3.55%, 04/09/2021

      2,725,000        2,762,307  

3.70%, 05/09/2023

      8,820,000        9,216,279  

3.95%, 04/13/2024

      5,535,000        5,855,449  

4.30%, 07/13/2025

      1,765,000        1,920,464  

4.38%, 09/25/2021

      5,000,000        5,158,268  

Home Depot, Inc.

      

3.35%, 04/15/2050

      1,405,000        1,619,129  

4.40%, 03/15/2045

      268,000        345,744  

Hyundai Capital America

      

1.25%, 09/18/2023(3)

      8,840,000        8,819,609  

1.80%, 10/15/2025(3)

      5,013,000        4,985,355  

2.38%, 10/15/2027(3)

      4,335,000        4,332,501  

3.10%, 04/05/2022(3)

      2,500,000        2,571,620  

3.40%, 06/20/2024(3)

      1,500,000        1,589,156  

3.45%, 03/12/2021(3)

      4,170,000        4,218,400  

Hyundai Capital Services, Inc.

      

3.00%, 03/06/2022(3)

      3,725,000        3,818,869  

Lowe’s Cos, Inc.

      

3.65%, 04/05/2029

      1,701,000        1,963,267  

4.55%, 04/05/2049

      1,450,000        1,864,993  

4.65%, 04/15/2042

      449,000        565,680  

5.13%, 04/15/2050

      3,422,000        4,682,372  

Magna International, Inc.

      

3.63%, 06/15/2024

      1,658,000        1,825,766  

McDonald’s Corp.

      

4.45%, 03/01/2047

      360,000        446,162  

4.70%, 12/09/2035

      216,000        275,971  

6.30%, 10/15/2037

      394,000        587,642  

O’Reilly Automotive, Inc.

      

1.75%, 03/15/2031

      700,000        691,341  

3.55%, 03/15/2026

      500,000        564,784  

3.60%, 09/01/2027

      802,000        911,855  

Spirit Airlines Pass Through Trust 2017-1AA

      

3.38%, 02/15/2030

      850,157        795,821  

Starbucks Corp.

      

2.55%, 11/15/2030

      1,480,000        1,565,236  

Toyota Motor Credit Corp.

      

1.15%, 08/13/2027

      1,432,000        1,429,652  

United Airlines 2013-1 Class A Pass Through Trust

      

4.30%, 08/15/2025

      562,244        542,421  

United Airlines 2014-1 Class A Pass Through Trust

      

4.00%, 04/11/2026

      812,815        797,131  

United Airlines 2016-1 Class AA Pass Through Trust

      

3.10%, 07/07/2028

      6,725,193        6,583,900  

United Airlines 2016-1 Class B Pass Through Trust

      

3.65%, 01/07/2026

      386,653        294,397  

United Airlines 2016-2 Class AA Pass Through Trust

      

2.88%, 10/07/2028

      1,562,121        1,483,374  

United Airlines 2018-1 Class AA Pass Through Trust

      

3.50%, 03/01/2030

      2,296,041        2,174,353  

United Airlines 2018-1 Class B Pass Through Trust

      

4.60%, 03/01/2026

      483,380        374,762  

United Airlines 2019-1 Class A Pass Through Trust

      

4.55%, 08/25/2031

      1,992,697        1,678,620  

United Airlines 2019-1 Class AA Pass Through Trust

      

4.15%, 08/25/2031

      2,281,136        2,274,583  

United Airlines 2019-2 Class AA Pass Through Trust

      

2.70%, 05/01/2032

      2,904,000        2,745,491  

Volkswagen Group of America Finance LLC

      

3.88%, 11/13/2020(3)

      3,795,000        3,809,628  

4.00%, 11/12/2021(3)

      5,045,000        5,232,764  

Walgreens Boots Alliance, Inc.

      

4.50%, 11/18/2034

      5,323,000        6,068,642  

Walmart, Inc.

      

4.05%, 06/29/2048

      3,858,000        5,021,812  
     

 

 

  

Total Consumer, Cyclical

 

      222,829,127  
     

 

 

  

Consumer, Non-cyclical – 5.28%

      

Abbott Laboratories

      

1.15%, 01/30/2028

      1,390,000        1,401,028  

1.40%, 06/30/2030

      1,460,000        1,465,760  

4.75%, 11/30/2036

      5,000,000        6,682,545  

AbbVie, Inc.

      

2.60%, 11/21/2024(3)

      8,919,000        9,458,510  

2.80%, 03/15/2023(3)

      971,000        1,014,962  

2.85%, 05/14/2023

      4,900,000        5,154,201  

3.25%, 10/01/2022(3)

      4,000,000        4,182,467  

3.45%, 03/15/2022(3)

      1,238,000        1,282,548  

3.60%, 05/14/2025

      12,060,000        13,364,260  

3.80%, 03/15/2025(3)

      3,000,000        3,328,907  

3.85%, 06/15/2024(3)

      1,198,000        1,312,316  

4.05%, 11/21/2039(3)

      6,902,000        7,882,756  

4.25%, 11/21/2049(3)

      11,691,000        13,808,839  

4.40%, 11/06/2042

      3,083,000        3,663,124  

4.45%, 05/14/2046

      425,000        505,098  

4.55%, 03/15/2035(3)

      6,025,000        7,364,279  

4.70%, 05/14/2045

      4,415,000        5,417,288  

4.88%, 11/14/2048

      2,641,000        3,347,671  

5.00%, 12/15/2021(3)

      3,500,000        3,648,268  

Advocate Health & Hospitals Corp.

      

3.39%, 10/15/2049

      792,000        881,792  

Aetna, Inc.

      

4.50%, 05/15/2042

      4,205,000        4,997,426  

4.75%, 03/15/2044

      1,800,000        2,219,154  

6.75%, 12/15/2037

      341,000        493,801  

Ahold Finance USA LLC

      

6.88%, 05/01/2029

      3,280,000        4,640,763  

AmerisourceBergen Corp.

      

4.30%, 12/15/2047

      1,080,000        1,254,107  

Amgen, Inc.

      

2.20%, 02/21/2027

      1,155,000        1,218,415  

2.70%, 05/01/2022

      5,600,000        5,791,106  

3.15%, 02/21/2040

      2,000,000        2,122,073  

Anheuser-Busch InBev Finance, Inc.

      

4.63%, 02/01/2044

      455,000        536,744  

Anheuser-Busch InBev Worldwide, Inc.

      

4.35%, 06/01/2040

      4,110,000        4,795,572  

4.38%, 04/15/2038

      2,240,000        2,605,644  

4.44%, 10/06/2048

      590,000        687,408  

4.50%, 06/01/2050

      5,390,000        6,461,050  

4.60%, 04/15/2048

      2,939,000        3,497,253  

4.60%, 06/01/2060

      1,910,000        2,309,776  

4.70%, 02/01/2036

      8,132,000        9,809,804  

4.75%, 01/23/2029

      1,150,000        1,397,930  

4.75%, 04/15/2058

      93,000        113,109  

4.90%, 02/01/2046

      8,232,000        10,204,288  

4.95%, 01/15/2042

      2,735,000        3,364,045  

5.45%, 01/23/2039

      7,035,000        9,093,582  

Anthem, Inc.

      

3.13%, 05/15/2022

      484,000        504,736  

3.30%, 01/15/2023

      271,000        287,005  

3.50%, 08/15/2024

      694,000        758,617  

4.10%, 03/01/2028

      920,000        1,069,320  

4.38%, 12/01/2047

      4,500,000        5,499,895  

4.63%, 05/15/2042

      400,000        500,525  

4.65%, 01/15/2043

      391,000        491,675  

4.65%, 08/15/2044

      395,000        494,573  

5.10%, 01/15/2044

      1,690,000        2,245,998  

Ascension Health

      

2.53%, 11/15/2029

      1,740,000        1,885,435  

3.11%, 11/15/2039

      2,670,000        2,860,780  

AstraZeneca Plc

      

1.38%, 08/06/2030

      1,070,000        1,040,807  

2.13%, 08/06/2050

      1,040,000        942,622  

4.00%, 09/18/2042

      540,000        658,894  

6.45%, 09/15/2037

      500,000        756,454  

BAT Capital Corp.

      

2.26%, 03/25/2028

      2,000,000        2,004,876  

2.73%, 03/25/2031

      6,820,000        6,754,700  

3.22%, 09/06/2026

      9,224,000        9,924,664  

3.22%, 08/15/2024

      7,145,000        7,645,448  

3.73%, 09/25/2040

      1,240,000        1,230,391  

3.98%, 09/25/2050

      2,500,000        2,442,285  

4.39%, 08/15/2037

      1,986,000        2,144,211  

4.54%, 08/15/2047

      635,000        678,645  

BAT International Finance Plc

      

1.67%, 03/25/2026

      5,767,000        5,785,201  

Baxalta, Inc.

      

3.60%, 06/23/2022

      110,000        114,567  

5.25%, 06/23/2045

      50,000        68,007  

Bayer US Finance II LLC

      

0.86% (3 Month LIBOR USD + 0.63%), 06/25/2021(2)(3)

      4,135,000        4,143,231  

3.50%, 06/25/2021(3)

      1,650,000        1,683,089  

Becton Dickinson & Co.

      

3.73%, 12/15/2024

      1,972,000        2,179,633  

Biogen, Inc.

      

2.25%, 05/01/2030

      2,577,000        2,628,388  

3.15%, 05/01/2050

      650,000        639,877  

Bon Secours Mercy Health Inc

      

3.46%, 06/01/2030

      2,220,000        2,492,240  

Boston Scientific Corp.

      

3.75%, 03/01/2026

      483,000        550,291  

4.00%, 03/01/2029

      1,834,000        2,132,326  

4.55%, 03/01/2039

      725,000        906,427  

Bristol-Myers Squibb Co.

      

3.20%, 06/15/2026

      2,246,000        2,531,684  

3.25%, 02/20/2023

      2,000,000        2,127,066  

4.13%, 06/15/2039

      5,151,000        6,471,753  

4.25%, 10/26/2049

      870,000        1,142,576  

4.35%, 11/15/2047

      7,950,000        10,492,551  

4.55%, 02/20/2048

      1,770,000        2,391,053  

4.63%, 05/15/2044

      2,640,000        3,536,667  

5.00%, 08/15/2045

      860,000        1,200,680  

5.70%, 10/15/2040

      302,000        442,820  

Bunge Ltd. Finance Corp.

      

3.50%, 11/24/2020

      283,000        284,239  

Campbell Soup Co.

      

2.38%, 04/24/2030

      895,000        930,032  

3.13%, 04/24/2050

      494,000        498,132  

Cargill, Inc.

      

2.13%, 04/23/2030(3)

      2,783,000        2,913,183  

3.25%, 03/01/2023(3)

      345,000        364,938  

3.30%, 03/01/2022(3)

      800,000        826,621  

Children’s Hospital Corp.

      

2.51%, 08/15/2050

      2,270,000        2,150,762  

2.59%, 02/01/2050

      1,290,000        1,265,550  

2.93%, 07/15/2050

      1,340,000        1,303,408  

Cigna Corp.

      

2.40%, 03/15/2030

      8,935,000        9,238,714  

3.05%, 11/30/2022

      9,105,000        9,576,391  

3.25%, 04/15/2025

      970,000        1,066,119  

3.40%, 09/17/2021

      7,505,000        7,723,495  

3.75%, 07/15/2023

      1,850,000        2,004,656  

4.38%, 10/15/2028

      30,325,000        36,015,570  

4.50%, 02/25/2026

      755,000        880,404  

4.80%, 07/15/2046

      218,000        273,610  

4.90%, 12/15/2048

      753,000        979,619  

Coca-Cola Femsa SAB de CV

      

1.85%, 09/01/2032

      1,500,000        1,503,300  

2.75%, 01/22/2030

      1,370,000        1,474,477  

Conagra Brands, Inc.

      

5.40%, 11/01/2048

      1,275,000        1,720,139  

7.00%, 10/01/2028

      3,250,000        4,349,444  

9.75%, 03/01/2021

      1,750,000        1,809,129  

Constellation Brands, Inc.

      

2.88%, 05/01/2030

      3,620,000        3,905,985  

4.40%, 11/15/2025

      760,000        883,371  

4.65%, 11/15/2028

      4,780,000        5,752,447  

Cottage Health Obligated Group

      

3.30%, 11/01/2049

      4,046,000        4,480,665  

CVS Health Corp.

      

2.70%, 08/21/2040

      7,943,000        7,597,453  

4.30%, 03/25/2028

      3,575,000        4,182,107  

4.78%, 03/25/2038

      550,000        665,606  

4.88%, 07/20/2035

      2,515,000        3,194,653  

5.05%, 03/25/2048

      5,645,000        7,178,792  

5.13%, 07/20/2045

      4,430,000        5,576,585  

5.30%, 12/05/2043

      3,260,000        4,161,568  

CVS Pass-Through Trust

      

5.77%, 01/10/2033(3)

      749,206        864,810  

5.93%, 01/10/2034(3)

      558,947        646,539  

7.51%, 01/10/2032(3)

      830,737        1,036,958  

CVS Pass-Through Trust Series 2009

      

8.35%, 07/10/2031(3)

      838,791        1,057,807  

CVS Pass-Through Trust Series 2014

      

4.16%, 08/11/2036(3)

      2,547,960        2,666,787  

Danaher Corp.

      

2.60%, 10/01/2050

      4,913,000        4,786,269  

DH Europe Finance II Sarl

      

3.25%, 11/15/2039

      431,000        477,578  

Diageo Investment Corp.

      

8.00%, 09/15/2022

      516,000        590,040  

Element Fleet Management Corp.

      

3.85%, 06/15/2025(3)

      3,000,000        3,156,919  

Eli Lilly and Co

      

2.25%, 05/15/2050

      1,075,000        1,013,147  

Emory University

      

2.14%, 09/01/2030

      2,220,000        2,324,630  

ERAC USA Finance LLC

      

4.50%, 08/16/2021(3)

      400,000        413,414  

4.50%, 02/15/2045(3)

      300,000        354,617  

5.63%, 03/15/2042(3)

      357,000        466,482  

Experian Finance Plc

      

2.75%, 03/08/2030(3)

      9,240,000        10,007,791  

Fomento Economico Mexicano SAB de CV

      

3.50%, 01/16/2050

      2,290,000        2,430,288  

4.38%, 05/10/2043

      526,000        638,622  

Ford Foundation

      

2.82%, 06/01/2070

      4,835,000        5,027,351  

General Mills, Inc.

      

4.00%, 04/17/2025

      925,000        1,050,065  

4.55%, 04/17/2038

      3,250,000        4,129,578  

Gilead Sciences, Inc.

      

0.75%, 09/29/2023

      7,164,000        7,178,579  

1.65%, 10/01/2030

      1,700,000        1,696,645  

2.60%, 10/01/2040

      4,452,000        4,441,855  

4.60%, 09/01/2035

      4,225,000        5,426,507  

Grupo Bimbo SAB de CV

      

3.88%, 06/27/2024(3)

      5,000,000        5,432,000  

4.70%, 11/10/2047(3)

      4,500,000        5,239,935  

Hackensack Meridian Health, Inc.

      

2.88%, 09/01/2050

      2,000,000        1,959,171  

Hartford HealthCare Corp.

      

3.45%, 07/01/2054

      3,370,000        3,295,720  

HCA, Inc.

      

5.13%, 06/15/2039

      1,715,000        2,077,955  

5.25%, 06/15/2026

      4,200,000        4,899,019  

Highmark, Inc.

      

4.75%, 05/15/2021(3)

      3,322,000        3,407,112  

JM Smucker Co.

      

3.00%, 03/15/2022

      4,750,000        4,925,268  

Johnson & Johnson

      

2.10%, 09/01/2040

      4,113,000        4,092,391  

2.45%, 09/01/2060

      1,392,000        1,390,325  

4.38%, 12/05/2033

      1,070,000        1,413,845  

Kellogg Co.

      

2.10%, 06/01/2030

      1,240,000        1,269,344  

Keurig Dr Pepper, Inc.

      

3.13%, 12/15/2023

      925,000        994,650  

3.43%, 06/15/2027

      1,802,000        2,005,425  

4.06%, 05/25/2023

      4,575,000        4,974,154  

4.42%, 05/25/2025

      447,000        514,819  

4.42%, 12/15/2046

      4,032,000        4,955,985  

4.99%, 05/25/2038

      646,000        838,184  

5.09%, 05/25/2048

      500,000        667,777  

Kraft Heinz Foods Co.

      

3.00%, 06/01/2026

      3,625,000        3,732,521  

4.38%, 06/01/2046

      4,425,000        4,542,344  

4.88%, 10/01/2049(3)

      3,375,000        3,554,581  

Kroger Co.

      

3.95%, 01/15/2050

      1,600,000        1,863,353  

4.45%, 02/01/2047

      1,010,000        1,241,300  

5.40%, 07/15/2040

      95,000        122,369  

Laboratory Corp. of America Holdings

      

2.95%, 12/01/2029

      7,795,000        8,569,262  

3.20%, 02/01/2022

      1,127,000        1,166,076  

Leland Stanford Junior University

      

2.41%, 06/01/2050

      1,527,000        1,541,097  

MARS INC REGD 144A P/P

      

1.63%, 07/16/2032(3)

      3,470,000        3,439,574  

Mars, Inc.

      

3.95%, 04/01/2049(3)

      5,320,000        6,425,532  

Massachusetts Institute of Technology

      

3.89%, 07/01/2116

      2,906,000        3,646,600  

4.68%, 07/01/2114

      1,645,000        2,368,745  

Mead Johnson Nutrition Co.

      

4.13%, 11/15/2025

      891,000        1,029,442  

Medtronic, Inc.

      

3.50%, 03/15/2025

      5,546,000        6,247,022  

Memorial Health Services

      

3.45%, 11/01/2049

      3,040,000        3,178,939  

Mondelez International

      

2.63%, 09/04/2050

      2,677,000        2,579,035  

Mondelez International, Inc.

      

1.50%, 05/04/2025

      700,000        718,501  

1.50%, 02/04/2031

      3,281,000        3,196,539  

2.75%, 04/13/2030

      636,000        692,140  

Moody’s Corp.

      

2.55%, 08/18/2060

      795,000        732,953  

Mount Sinai Hospitals Group, Inc.

      

3.98%, 07/01/2048

      999,000        1,138,040  

Multicare Health System

      

2.80%, 08/15/2050

      1,045,000        1,027,174  

Mylan NV

      

3.95%, 06/15/2026

      532,000        597,663  

Mylan, Inc.

      

3.13%, 01/15/2023(3)

      5,000,000        5,261,991  

4.55%, 04/15/2028

      700,000        815,012  

5.20%, 04/15/2048

      7,550,000        9,342,341  

5.40%, 11/29/2043

      1,145,000        1,447,860  

New York & Presbyterian Hospital

      

4.02%, 08/01/2045

      125,000        156,334  

NYU Langone Hospitals

      

3.38%, 07/01/2055

      1,270,000        1,280,653  

Orlando Health Obligated Group

      

4.09%, 10/01/2048

      2,605,000        2,931,200  

Partners Healthcare System, Inc.

      

3.34%, 07/01/2060

      5,470,000        5,990,289  

Pepperdine University

      

3.30%, 12/01/2059

      1,440,000        1,574,754  

Pfizer, Inc.

      

2.55%, 05/28/2040

      4,650,000        4,797,036  

2.70%, 05/28/2050

      785,000        817,257  

4.40%, 05/15/2044

      1,655,000        2,175,269  

5.80%, 08/12/2023

      4,000,000        4,595,486  

Philip Morris International, Inc.

      

2.50%, 11/02/2022

      1,300,000        1,353,293  

President & Fellows of Harvard College

      

2.52%, 10/15/2050

      3,480,000        3,603,686  

3.30%, 07/15/2056

      5,599,000        6,770,620  

Procter & Gamble - Esop

      

9.36%, 01/01/2021

      18,345        18,732  

Providence St Joseph Health Obligated Group

      

2.75%, 10/01/2026

      1,200,000        1,317,980  

Quest Diagnostics, Inc.

      

3.45%, 06/01/2026

      223,000        252,488  

3.50%, 03/30/2025

      4,820,000        5,339,337  

Reckitt Benckiser Treasury Services Plc

      

2.38%, 06/24/2022(3)

      1,200,000        1,235,864  

Regeneron Pharmaceuticals, Inc.

      

1.75%, 09/15/2030

      2,800,000        2,726,180  

2.80%, 09/15/2050

      1,655,000        1,540,267  

Reynolds American, Inc.

      

4.45%, 06/12/2025

      5,000,000        5,625,608  

Royalty Pharma Plc

      

0.75%, 09/02/2023(3)

      7,105,000        7,085,603  

1.20%, 09/02/2025(3)

      2,080,000        2,073,417  

1.75%, 09/02/2027(3)

      2,080,000        2,078,190  

3.30%, 09/02/2040(3)

      1,720,000        1,685,161  

3.55%, 09/02/2050(3)

      1,765,000        1,703,211  

Rush Obligated Group

      

3.92%, 11/15/2029

      2,316,000        2,691,345  

S&P Global, Inc.

      

2.30%, 08/15/2060

      570,000        510,443  

Shire Acquisitions Investments Ireland DAC

      

2.40%, 09/23/2021

      3,549,000        3,613,064  

2.88%, 09/23/2023

      668,000        709,038  

3.20%, 09/23/2026

      3,626,000        4,030,828  

Smithfield Foods, Inc.

      

3.35%, 02/01/2022(3)

      14,000,000        14,147,783  

Takeda Pharmaceutical Co. Ltd.

      

3.03%, 07/09/2040

      1,785,000        1,843,740  

3.18%, 07/09/2050

      1,920,000        1,965,315  

3.38%, 07/09/2060

      1,210,000        1,245,475  

Texas Health Resources

      

2.33%, 11/15/2050

      970,000        902,906  

4.33%, 11/15/2055

      1,000,000        1,337,127  

Thermo Fisher Scientific, Inc.

      

2.95%, 09/19/2026

      476,000        529,759  

3.00%, 04/15/2023

      227,000        240,083  

Transurban Finance Co. Pty Ltd.

      

2.45%, 03/16/2031(3)

      1,220,000        1,244,532  

Tyson Foods, Inc.

      

4.50%, 06/15/2022

      2,485,000        2,631,384  

4.88%, 08/15/2034

      400,000        521,789  

5.15%, 08/15/2044

      588,000        778,740  

Unilever Capital Corp.

      

3.38%, 03/22/2025

      800,000        893,820  

UnitedHealth Group, Inc.

      

2.75%, 05/15/2040

      4,421,000        4,642,691  

3.10%, 03/15/2026

      550,000        613,803  

3.50%, 08/15/2039

      1,675,000        1,920,865  

4.63%, 07/15/2035

      427,000        560,938  

Universal Health Services, Inc.

      

2.65%, 10/15/2030(3)

      1,520,000        1,513,190  

University of Chicago

      

2.76%, 04/01/2045

      1,575,000        1,607,183  

University of Southern California

      

3.23%, 10/01/2120

      1,370,000        1,455,970  

Upjohn, Inc.

      

2.30%, 06/22/2027(3)

      3,525,000        3,637,933  

3.85%, 06/22/2040(3)

      4,820,000        5,189,297  

4.00%, 06/22/2050(3)

      2,000,000        2,129,229  

Verisk Analytics, Inc.

      

4.00%, 06/15/2025

      7,000,000        7,985,272  

Yale University

      

0.87%, 04/15/2025

      7,538,000        7,593,363  

1.48%, 04/15/2030

      2,745,000        2,775,769  

Yale-New Haven Health Services Corp.

      

2.50%, 07/01/2050

      1,530,000        1,491,439  

Zimmer Biomet Holdings, Inc.

      

3.38%, 11/30/2021

      3,650,000        3,746,324  

3.55%, 04/01/2025

      6,000,000        6,631,685  

3.55%, 03/20/2030

      5,000,000        5,602,055  

3.70%, 03/19/2023

      407,000        434,503  

Zoetis, Inc.

      

2.00%, 05/15/2030

      1,590,000        1,636,492  

3.00%, 09/12/2027

      4,685,000        5,176,858  
     

 

 

  

Total Consumer, Non-cyclical

 

      787,357,824  
     

 

 

  

Diversified – 0.03%

      

CK Hutchison International 16 Ltd.

      

1.88%, 10/03/2021(3)

      402,000        405,067  

2.75%, 10/03/2026(3)

      600,000        645,463  

CK Hutchison International 17 II Ltd.

      

2.75%, 03/29/2023(3)

      500,000        517,760  

CK Hutchison International 17 Ltd.

      

2.88%, 04/05/2022(3)

      800,000        821,088  

CVS Pass-Through Trust Series 2013

      

4.70%, 01/10/2036(3)

      876,541        948,615  

Hutchison Whampoa International 12 II Ltd.

      

3.25%, 11/08/2022(3)

      450,000        469,953  
     

 

 

  

Total Diversified

 

      3,807,946  
     

 

 

  

Energy – 3.78%

      

Abu Dhabi Crude Oil Pipeline LLC

      

4.60%, 11/02/2047(3)

      4,428,000        5,420,226  

ANR Pipeline Co.

      

9.63%, 11/01/2021

      337,000        365,820  

APT Pipelines Ltd.

      

4.20%, 03/23/2025(3)

      2,100,000        2,317,280  

Baker Hughes a GE Co. LLC

      

4.49%, 05/01/2030

      1,365,000        1,553,051  

5.13%, 09/15/2040

      600,000        710,010  

Boardwalk Pipelines LP

      

3.40%, 02/15/2031

      1,145,000        1,121,481  

4.80%, 05/03/2029

      960,000        1,045,540  

BP Capital Markets America, Inc.

      

1.75%, 08/10/2030

      1,415,000        1,403,230  

3.02%, 01/16/2027

      1,052,000        1,155,352  

3.25%, 05/06/2022

      262,000        273,504  

3.79%, 02/06/2024

      9,145,000        10,027,214  

BP Capital Markets Plc

      

3.28%, 09/19/2027

      2,309,000        2,562,091  

3.51%, 03/17/2025

      45,000        50,119  

3.54%, 11/04/2024

      700,000        772,848  

Buckeye Partners LP

      

5.60%, 10/15/2044

      2,000,000        1,773,930  

5.85%, 11/15/2043

      591,000        547,470  

Canadian Natural Resources Ltd.

      

6.50%, 02/15/2037

      118,000        139,533  

Cenovus Energy, Inc.

      

5.25%, 06/15/2037

      5,270,000        4,570,950  

5.40%, 06/15/2047

      322,000        271,592  

Chevron Corp

      

2.24%, 05/11/2030

      1,280,000        1,357,335  

CNOOC Finance 2013 Ltd.

      

2.88%, 09/30/2029

      3,960,000        4,219,550  

3.00%, 05/09/2023

      2,000,000        2,095,938  

Columbia Pipeline Group, Inc.

      

5.80%, 06/01/2045

      2,700,000        3,513,622  

Concho Resources, Inc.

      

2.40%, 02/15/2031

      1,310,000        1,251,774  

3.75%, 10/01/2027

      1,000,000        1,078,026  

ConocoPhillips Co.

      

4.95%, 03/15/2026

      598,000        713,992  

Diamondback Energy, Inc.

      

3.25%, 12/01/2026

      1,280,000        1,281,593  

4.75%, 05/31/2025

      2,000,000        2,157,055  

Ecopetrol SA

      

4.13%, 01/16/2025

      383,000        401,675  

5.38%, 06/26/2026

      537,000        593,385  

5.88%, 09/18/2023

      395,000        434,500  

Enable Midstream Partners LP

      

4.40%, 03/15/2027

      900,000        864,195  

4.95%, 05/15/2028

      615,000        602,721  

Enbridge Energy Partners LP

      

7.50%, 04/15/2038

      1,000,000        1,394,550  

Enbridge, Inc.

      

3.70%, 07/15/2027

      538,000        598,244  

4.50%, 06/10/2044

      500,000        563,935  

6.25% (3 Month LIBOR USD + 3.64%), 03/01/2078(2)

      950,000        964,250  

Encana Corp.

      

6.50%, 08/15/2034

      268,000        249,826  

7.20%, 11/01/2031

      500,000        495,150  

7.38%, 11/01/2031

      274,000        273,654  

8.13%, 09/15/2030

      400,000        408,141  

Energy Transfer Operating LP

      

4.05%, 03/15/2025

      2,250,000        2,364,220  

4.75%, 01/15/2026

      2,367,000        2,522,170  

5.00%, 05/15/2050

      5,545,000        5,090,151  

5.25%, 04/15/2029

      2,631,000        2,829,124  

6.05%, 06/01/2041

      500,000        501,272  

6.13%, 12/15/2045

      810,000        811,502  

6.25%, 04/15/2049

      3,179,000        3,271,323  

6.50%, 02/01/2042

      200,000        207,253  

Energy Transfer Partners LP

      

5.00%, 10/01/2022

      3,300,000        3,469,017  

5.88%, 03/01/2022

      5,000,000        5,218,630  

ENI SpA

      

4.25%, 05/09/2029(3)

      2,825,000        3,178,459  

5.70%, 10/01/2040(3)

      557,000        667,668  

ENI USA, Inc.

      

7.30%, 11/15/2027

      400,000        517,865  

EnLink Midstream Partners LP

      

4.15%, 06/01/2025

      1,000,000        861,030  

Enterprise Products Operating LLC

      

3.20%, 02/15/2052

      5,556,000        5,022,588  

3.70%, 02/15/2026

      304,000        340,876  

3.70%, 01/31/2051

      514,000        506,240  

3.90%, 02/15/2024

      3,400,000        3,708,227  

3.95%, 01/31/2060

      870,000        854,250  

4.20%, 01/31/2050

      1,335,000        1,417,395  

4.85%, 08/15/2042

      4,000,000        4,525,030  

4.95%, 10/15/2054

      177,000        206,526  

5.75%, 03/01/2035

      1,075,000        1,318,278  

5.75% (5 Year CMT Index + 5.31%), 07/15/2080

      1,090,000        1,127,934  

5.95%, 02/01/2041

      201,000        253,170  

EOG Resources, Inc.

      

2.63%, 03/15/2023

      249,000        259,377  

EQM Midstream Partners LP

      

4.00%, 08/01/2024

      2,000,000        1,958,560  

4.75%, 07/15/2023

      5,000,000        4,993,750  

EQT Corp.

      

3.90%, 10/01/2027

      805,000        733,556  

Equinor ASA

      

1.75%, 01/22/2026

      17,673,000        18,329,870  

2.88%, 04/06/2025

      5,790,000        6,292,845  

3.25%, 11/10/2024

      508,000        558,773  

Exxon Mobil Corp.

      

2.61%, 10/15/2030

      2,510,000        2,707,338  

2.99%, 03/19/2025

      2,800,000        3,066,468  

3.00%, 08/16/2039

      2,035,000        2,148,933  

3.10%, 08/16/2049

      2,040,000        2,081,079  

3.45%, 04/15/2051

      6,813,000        7,466,201  

3.48%, 03/19/2030

      2,250,000        2,595,584  

Gazprom OAO Via Gaz Capital SA

      

4.95%, 07/19/2022(3)

      610,000        640,256  

6.51%, 03/07/2022(3)

      1,140,000        1,211,168  

Gray Oak Pipeline LLC

      

2.00%, 09/15/2023(3)

      1,220,000        1,226,636  

2.60%, 10/15/2025(3)

      1,480,000        1,484,771  

Halliburton Co.

      

3.25%, 11/15/2021

      12,079,000        12,327,696  

4.75%, 08/01/2043

      565,000        555,318  

4.85%, 11/15/2035

      200,000        211,357  

7.60%, 08/15/2096(3)

      258,000        278,123  

Helmerich & Payne, Inc.

      

4.65%, 03/15/2025

      4,710,000        5,185,279  

Hess Corp.

      

6.00%, 01/15/2040

      513,000        567,215  

7.88%, 10/01/2029

      1,328,000        1,660,984  

Husky Energy, Inc.

      

6.80%, 09/15/2037

      2,100,000        2,600,522  

KazMunayGas National Co. JSC

      

4.75%, 04/24/2025(3)

      1,590,000        1,746,093  

Kinder Morgan Energy Partners LP

      

4.30%, 05/01/2024

      3,700,000        4,077,460  

5.00%, 10/01/2021

      4,875,000        5,032,698  

6.95%, 01/15/2038

      2,242,000        2,929,899  

7.30%, 08/15/2033

      1,650,000        2,244,329  

7.50%, 11/15/2040

      483,000        649,979  

Kinder Morgan, Inc.

      

2.00%, 02/15/2031

      1,290,000        1,238,912  

3.25%, 08/01/2050

      1,430,000        1,291,410  

5.05%, 02/15/2046

      600,000        679,649  

7.80%, 08/01/2031

      4,600,000        6,356,995  

Magellan Midstream Partners LP

      

3.20%, 03/15/2025

      386,000        410,673  

4.20%, 12/01/2042

      417,000        416,494  

4.20%, 03/15/2045

      5,725,000        5,682,602  

4.20%, 10/03/2047

      1,050,000        1,091,267  

5.15%, 10/15/2043

      441,000        513,305  

Marathon Oil Corp.

      

2.80%, 11/01/2022

      700,000        717,003  

Marathon Petroleum Corp.

      

3.40%, 12/15/2020

      2,544,000        2,551,919  

3.63%, 09/15/2024

      1,241,000        1,328,992  

4.50%, 05/01/2023

      3,070,000        3,314,894  

4.50%, 04/01/2048

      3,000,000        3,034,307  

4.70%, 05/01/2025

      12,378,000        13,971,595  

4.75%, 12/15/2023

      5,537,000        6,068,154  

5.13%, 12/15/2026

      5,379,000        6,234,577  

5.38%, 10/01/2022

      4,640,000        4,640,000  

MPLX LP

      

1.75%, 03/01/2026

      7,159,000        7,142,728  

2.65%, 08/15/2030

      9,160,000        8,975,368  

4.13%, 03/01/2027

      622,000        686,744  

4.50%, 04/15/2038

      8,016,000        8,193,921  

4.70%, 04/15/2048

      210,000        212,374  

4.88%, 06/01/2025

      3,000,000        3,400,489  

5.20%, 03/01/2047

      1,573,000        1,686,949  

5.25%, 01/15/2025

      5,103,000        5,290,362  

5.50%, 02/15/2049

      1,665,000        1,860,324  

Newfield Exploration Co.

      

5.75%, 01/30/2022

      3,820,000        3,841,742  

Noble Energy, Inc.

      

3.25%, 10/15/2029

      1,155,000        1,276,303  

5.05%, 11/15/2044

      3,740,000        4,843,998  

5.25%, 11/15/2043

      3,975,000        5,260,237  

6.00%, 03/01/2041

      1,240,000        1,717,393  

Occidental Petroleum Corp.

      

0.00%, 10/10/2036

      4,000,000        1,760,000  

3.20%, 08/15/2026

      3,000,000        2,379,375  

6.45%, 09/15/2036

      2,685,000        2,282,304  

ONEOK Partners LP

      

3.38%, 10/01/2022

      151,000        156,861  

5.00%, 09/15/2023

      3,923,000        4,251,582  

6.20%, 09/15/2043

      2,500,000        2,637,160  

6.65%, 10/01/2036

      1,050,000        1,180,832  

ONEOK, Inc.

      

3.10%, 03/15/2030

      13,970,000        13,440,479  

3.40%, 09/01/2029

      925,000        907,341  

4.50%, 03/15/2050

      915,000        808,302  

4.95%, 07/13/2047

      1,850,000        1,756,124  

5.20%, 07/15/2048

      1,400,000        1,347,218  

Petroleos Mexicanos

      

5.50%, 01/21/2021

      810,000        817,088  

6.35%, 02/12/2048

      5,187,000        3,883,766  

6.49%, 01/23/2027(3)

      1,185,000        1,110,345  

6.50%, 03/13/2027

      1,090,000        1,016,425  

6.50%, 01/23/2029

      970,000        868,150  

6.75%, 09/21/2047

      9,337,000        7,189,490  

6.88%, 08/04/2026

      2,390,000        2,293,575  

7.69%, 01/23/2050(3)

      4,534,000        3,742,817  

Phillips 66

      

4.88%, 11/15/2044

      70,000        83,052  

5.88%, 05/01/2042

      3,000,000        3,945,454  

Phillips 66 Partners LP

      

3.15%, 12/15/2029

      655,000        645,973  

3.55%, 10/01/2026

      190,000        200,407  

3.61%, 02/15/2025

      560,000        594,654  

4.90%, 10/01/2046

      412,000        427,258  

Pioneer Natural Resources Co.

      

1.90%, 08/15/2030

      2,330,000        2,186,038  

Plains All American Pipeline

      

3.65%, 06/01/2022

      5,672,000        5,808,425  

Plains All American Pipeline LP

      

3.55%, 12/15/2029

      2,800,000        2,707,236  

3.80%, 09/15/2030

      838,000        811,879  

4.65%, 10/15/2025

      10,312,000        11,077,494  

4.70%, 06/15/2044

      3,880,000        3,465,670  

5.15%, 06/01/2042

      1,540,000        1,451,119  

Reliance Industries Ltd.

      

5.40%, 02/14/2022(3)

      1,115,000        1,174,705  

Sabal Trail Transmission LLC

      

4.68%, 05/01/2038(3)

      10,000,000        11,511,820  

Sabine Pass Liquefaction LLC

      

5.88%, 06/30/2026

      10,000,000        11,822,369  

Schlumberger Finance Canada Ltd.

      

1.40%, 09/17/2025

      2,640,000        2,653,782  

Schlumberger Holdings Corp.

      

3.75%, 05/01/2024(3)

      780,000        846,462  

3.90%, 05/17/2028(3)

      852,000        917,201  

Shell International Finance BV

      

2.75%, 04/06/2030

      3,300,000        3,606,078  

Sinopec Group Overseas Development 2018 Ltd.

      

3.68%, 08/08/2049(3)

      4,318,000        4,973,429  

Southern Natural Gas Co. LLC

      

4.80%, 03/15/2047(3)

      428,000        470,459  

8.00%, 03/01/2032

      446,000        632,287  

Spectra Energy Partners LP

      

3.50%, 03/15/2025

      787,000        859,479  

4.50%, 03/15/2045

      3,000,000        3,403,443  

5.95%, 09/25/2043

      207,000        257,875  

Suncor Energy, Inc.

      

5.95%, 12/01/2034

      1,048,000        1,281,894  

5.95%, 05/15/2035

      350,000        432,373  

6.80%, 05/15/2038

      423,000        552,574  

7.88%, 06/15/2026

      543,000        688,118  

Sunoco Logistics Partners Operations LP

      

4.95%, 01/15/2043

      1,482,000        1,306,359  

5.30%, 04/01/2044

      200,000        185,382  

5.40%, 10/01/2047

      1,500,000        1,413,864  

TC PipeLines LP

      

3.90%, 05/25/2027

      5,457,000        5,846,226  

4.38%, 03/13/2025

      8,465,000        9,263,932  

Tennessee Gas Pipeline Co. LLC

      

2.90%, 03/01/2030(3)

      1,705,000        1,764,771  

Texas Eastern Transmission LP

      

2.80%, 10/15/2022(3)

      714,000        734,635  

3.50%, 01/15/2028(3)

      450,000        486,807  

Total Capital International SA

      

2.99%, 06/29/2041

      2,600,000        2,708,509  

3.13%, 05/29/2050

      2,465,000        2,546,017  

3.46%, 07/12/2049

      1,905,000        2,075,938  

TransCanada PipeLines Ltd.

      

4.75%, 05/15/2038

      1,000,000        1,178,178  

4.88%, 01/15/2026

      792,000        931,696  

6.20%, 10/15/2037

      573,000        774,022  

Valero Energy Corp.

      

1.20%, 03/15/2024

      4,208,000        4,190,140  

2.15%, 09/15/2027

      9,421,000        9,357,664  

2.70%, 04/15/2023

      1,455,000        1,509,625  

2.85%, 04/15/2025

      9,154,000        9,588,620  

3.40%, 09/15/2026

      10,326,000        11,093,489  

6.63%, 06/15/2037

      5,000,000        6,280,745  

7.50%, 04/15/2032

      175,000        237,281  

Williams Cos, Inc.

      

3.50%, 11/15/2030

      5,039,000        5,475,376  

3.90%, 01/15/2025

      700,000        765,317  

4.30%, 03/04/2024

      2,500,000        2,734,867  

4.85%, 03/01/2048

      3,000,000        3,367,365  

4.90%, 01/15/2045

      7,000,000        7,472,296  

5.40%, 03/04/2044

      2,750,000        3,082,502  

5.75%, 06/24/2044

      2,500,000        2,943,562  

6.30%, 04/15/2040

      333,000        411,121  

8.75%, 03/15/2032

      2,359,000        3,360,305  

Woodside Finance Ltd.

      

3.65%, 03/05/2025(3)

      3,300,000        3,490,722  
     

 

 

  

Total Energy

 

      564,033,921  
     

 

 

  

Financials – 12.95%

      

ABN AMRO Bank NV

      

2.65%, 01/19/2021(3)

      1,000,000        1,006,923  

4.75%, 07/28/2025(3)

      6,031,000        6,791,509  

AerCap Ireland Capital DAC

      

2.88%, 08/14/2024

      1,060,000        1,020,648  

3.15%, 02/15/2024

      5,315,000        5,270,278  

3.30%, 01/23/2023

      3,051,000        3,061,314  

3.50%, 01/15/2025

      1,500,000        1,460,916  

4.13%, 07/03/2023

      1,050,000        1,071,307  

4.45%, 12/16/2021

      1,260,000        1,287,348  

4.50%, 09/15/2023

      5,280,000        5,439,650  

4.63%, 10/15/2027

      2,500,000        2,424,554  

6.50%, 07/15/2025

      770,000        831,106  

AIA Group Ltd.

      

3.20%, 03/11/2025(3)

      5,545,000        5,987,706  

3.20%, 09/16/2040(3)

      915,000        944,856  

3.60%, 04/09/2029(3)

      795,000        893,890  

3.90%, 04/06/2028(3)

      1,000,000        1,136,290  

AIB Group Plc

      

4.75%, 10/12/2023(3)

      3,500,000        3,804,686  

AIG SunAmerica Global Financing X

      

6.90%, 03/15/2032(3)

      955,000        1,433,044  

Air Lease Corp.

      

2.88%, 01/15/2026

      1,300,000        1,277,227  

3.25%, 03/01/2025

      710,000        722,591  

3.25%, 10/01/2029

      3,950,000        3,750,161  

3.38%, 07/01/2025

      2,430,000        2,480,862  

3.88%, 07/03/2023

      2,500,000        2,604,036  

Alexandria Real Estate Equities, Inc.

      

1.88%, 02/01/2033

      1,190,000        1,161,217  

3.80%, 04/15/2026

      338,000        387,491  

4.00%, 02/01/2050

      1,451,000        1,733,238  

American Express Co.

      

4.20%, 11/06/2025

      1,400,000        1,620,619  

American Financial Group, Inc.

      

3.50%, 08/15/2026

      1,435,000        1,553,168  

American International Group, Inc.

      

3.40%, 06/30/2030

      4,791,000        5,284,955  

3.88%, 01/15/2035

      376,000        432,146  

3.90%, 04/01/2026

      1,370,000        1,561,853  

4.13%, 02/15/2024

      107,000        118,718  

6.40%, 12/15/2020

      4,009,000        4,057,592  

American Tower Corp.

      

1.88%, 10/15/2030

      2,485,000        2,447,409  

2.10%, 06/15/2030

      1,300,000        1,312,603  

2.25%, 01/15/2022

      600,000        613,736  

2.90%, 01/15/2030

      120,000        129,524  

3.38%, 10/15/2026

      506,000        560,200  

3.70%, 10/15/2049

      2,065,000        2,258,747  

3.80%, 08/15/2029

      2,500,000        2,861,672  

American Tower Trust

      

3.07%, 03/15/2023(3)

      2,900,000        2,959,201  

AmSouth Bancorp

      

6.75%, 11/01/2025

      527,000        644,007  

ANZ New Zealand Int’l Ltd.

      

3.45%, 01/21/2028(3)

      500,000        570,468  

Aon Corp.

      

2.80%, 05/15/2030

      4,451,000        4,805,440  

Aon Plc

      

3.50%, 06/14/2024

      815,000        887,847  

4.00%, 11/27/2023

      5,000,000        5,465,296  

ASB Bank Ltd.

      

3.13%, 05/23/2024(3)

      2,050,000        2,207,785  

Assurant, Inc.

      

4.20%, 09/27/2023

      1,210,000        1,295,094  

Athene Global Funding

      

2.95%, 11/12/2026(3)

      8,370,000        8,812,971  

Australia & New Zealand Banking Group Ltd.

      

4.40%, 05/19/2026(3)

      1,816,000        2,045,342  

4.50%, 03/19/2024(3)

      9,000,000        9,892,692  

Avolon Holdings Funding Ltd.

      

2.88%, 02/15/2025(3)

      1,000,000        916,427  

4.38%, 05/01/2026(3)

      790,000        749,307  

5.25%, 05/15/2024(3)

      2,790,000        2,802,375  

5.50%, 01/15/2023(3)

      2,240,000        2,261,108  

5.50%, 01/15/2026(3)

      3,000,000        3,011,581  

Banco Bilbao Vizcaya Argentaria SA

      

0.88%, 09/18/2023

      8,600,000        8,589,790  

Banco del Estado de Chile

      

2.67%, 01/08/2021(3)

      6,202,000        6,217,505  

Banco Nacional de Panama

      

2.50%, 08/11/2030(3)

      2,750,000        2,721,125  

Banco Santander SA

      

1.39% (3 Month LIBOR USD + 1.12%), 04/12/2023(2)

      1,000,000        1,004,466  

2.75%, 05/28/2025

      1,600,000        1,681,328  

3.13%, 02/23/2023

      2,200,000        2,304,370  

3.50%, 04/11/2022

      5,000,000        5,186,079  

3.85%, 04/12/2023

      2,400,000        2,562,701  

5.18%, 11/19/2025

      1,500,000        1,704,944  

Bank of America Corp.

      

1.90% (Secured Overnight Financing Rate + 1.53%), 07/23/2031

      1,285,000        1,279,346  

2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(2)

      2,000,000        2,109,027  

2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(2)

      2,965,000        3,090,683  

2.59% (Secured Overnight Financing Rate + 2.15%), 04/29/2031(2)

      11,321,000        11,954,823  

2.63%, 04/19/2021

      2,500,000        2,531,622  

2.68% (Secured Overnight Financing Rate + 1.93%), 06/19/2041(2)

      13,874,000        14,150,363  

2.88% (3 Month LIBOR USD + 1.02%), 04/24/2023(2)

      1,640,000        1,695,886  

2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(2)

      5,130,000        5,537,228  

3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2)

      18,031,000        18,931,210  

3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2)

      5,000,000        5,390,537  

3.12% (3 Month LIBOR USD + 1.16%), 01/20/2023(2)

      951,000        981,814  

3.25%, 10/21/2027

      5,800,000        6,405,562  

3.30%, 01/11/2023

      3,800,000        4,034,422  

3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(2)

      1,500,000        1,634,371  

3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2)

      1,985,000        2,114,317  

3.56% (3 Month LIBOR USD + 1.06%), 04/23/2027(2)

      14,440,000        16,130,791  

3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2)

      7,800,000        8,741,643  

3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2)

      4,500,000        5,081,046  

3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(2)

      10,000,000        11,330,236  

3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(2)

      8,174,000        8,851,674  

3.95%, 04/21/2025

      5,201,000        5,775,404  

3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(2)

      2,820,000        3,277,314  

4.00%, 01/22/2025

      5,349,000        5,957,331  

4.20%, 08/26/2024

      4,140,000        4,609,705  

4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2)

      1,500,000        1,757,684  

4.30% (3 Month LIBOR USD + 2.66%), 07/28/2168(2)

      3,075,000        2,982,750  

4.45%, 03/03/2026

      7,140,000        8,197,859  

6.11%, 01/29/2037

      3,580,000        5,050,871  

7.75%, 05/14/2038

      137,000        226,728  

Bank of Montreal

      

1.85%, 05/01/2025

      1,950,000        2,033,466  

3.30%, 02/05/2024

      1,200,000        1,299,827  

3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(2)

      7,167,000        7,984,068  

Bank of New York Mellon Corp.

      

2.95%, 01/29/2023

      1,000,000        1,053,309  

3.00%, 02/24/2025

      5,360,000        5,876,214  

3.25%, 09/11/2024

      650,000        712,541  

Bank of New Zealand

      

3.50%, 02/20/2024(3)

      950,000        1,034,534  

Bank of Nova Scotia

      

1.63%, 05/01/2023

      6,570,000        6,738,470  

Banque Federative du Credit Mutuel SA

      

3.75%, 07/20/2023(3)

      1,650,000        1,789,734  

Barclays Plc

      

2.65% (1 Year CMT Index + 1.90%), 06/24/2031

      3,220,000        3,211,533  

3.65%, 03/16/2025

      2,522,000        2,720,187  

3.68%, 01/10/2023

      10,650,000        10,978,585  

3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(2)

      4,500,000        4,845,416  

4.34%, 01/10/2028

      2,360,000        2,626,806  

4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(2)

      2,300,000        2,407,370  

4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2)

      2,450,000        2,863,064  

5.20%, 05/12/2026

      500,000        554,375  

BB&T Corp.

      

2.85%, 10/26/2024

      1,000,000        1,083,456  

BBVA USA

      

2.50%, 08/27/2024

      1,615,000        1,679,492  

Berkshire Hathaway Finance Corp.

      

4.30%, 05/15/2043

      322,000        412,077  

4.40%, 05/15/2042

      1,524,000        1,938,675  

Berkshire Hathaway, Inc.

      

3.13%, 03/15/2026

      8,130,000        9,074,150  

BlackRock, Inc.

      

1.90%, 01/28/2031

      1,261,000        1,307,575  

Blackstone Holdings Finance Co. LLC

      

4.45%, 07/15/2045(3)

      170,000        212,194  

Blackstone Secured

      

3.65%, 07/14/2023(3)

      2,110,000        2,126,232  

BNP Paribas SA

      

1.90% (Secured Overnight Financing Rate + 1.61%), 09/30/2028(3)

      6,280,000        6,251,212  

2.22% (Secured Overnight Financing Rate + 2.07%), 06/09/2026(3)

      1,400,000        1,443,775  

2.59% (5 Year CMT Index + 2.05%), 08/12/2035(3)

      2,000,000        1,940,810  

2.82% (3 Month LIBOR USD + 1.11%), 11/19/2025(2)(3)

      4,000,000        4,219,580  

3.38%, 01/09/2025(3)

      10,725,000        11,630,910  

3.50%, 03/01/2023(3)

      430,000        455,761  

3.80%, 01/10/2024(3)

      1,600,000        1,731,605  

4.40%, 08/14/2028(3)

      725,000        849,803  

BNZ International Funding Ltd.

      

2.65%, 11/03/2022(3)

      1,516,000        1,581,478  

3.38%, 03/01/2023(3)

      6,000,000        6,406,403  

BOC Aviation Ltd.

      

2.38%, 09/15/2021(3)

      3,550,000        3,574,530  

2.75%, 09/18/2022(3)

      780,000        794,714  

Boston Properties LP

      

3.13%, 09/01/2023

      300,000        317,293  

3.20%, 01/15/2025

      1,139,000        1,233,264  

3.65%, 02/01/2026

      557,000        618,918  

BPCE SA

      

1.65% (Secured Overnight Financing Rate + 1.52%), 10/06/2026(3)

      1,566,000        1,566,265  

2.75%, 01/11/2023(3)

      1,000,000        1,047,180  

3.25%, 01/11/2028(3)

      7,815,000        8,621,869  

4.50%, 03/15/2025(3)

      2,000,000        2,211,331  

4.63%, 07/11/2024(3)

      1,300,000        1,431,454  

5.15%, 07/21/2024(3)

      2,800,000        3,135,222  

5.70%, 10/22/2023(3)

      3,645,000        4,084,638  

Brixmor Operating Partnership LP

      

3.85%, 02/01/2025

      1,100,000        1,177,653  

4.05%, 07/01/2030

      5,956,000        6,389,900  

Brookfield Finance, Inc.

      

3.90%, 01/25/2028

      770,000        857,036  

4.70%, 09/20/2047

      769,000        896,904  

4.85%, 03/29/2029

      875,000        1,041,216  

Brown & Brown, Inc.

      

2.38%, 03/15/2031

      4,150,000        4,187,064  

Capital One Bank USA N.A.

      

3.38%, 02/15/2023

      6,000,000        6,340,728  

Capital One Financial Corp.

      

3.20%, 02/05/2025

      726,000        784,172  

3.65%, 05/11/2027

      2,039,000        2,249,366  

3.75%, 04/24/2024

      824,000        896,592  

3.75%, 07/28/2026

      960,000        1,043,623  

3.90%, 01/29/2024

      13,708,000        14,918,729  

4.20%, 10/29/2025

      400,000        443,367  

Charles Schwab Corp.

      

3.20%, 03/02/2027

      1,700,000        1,904,956  

3.23%, 09/01/2022

      165,000        173,691  

Citigroup, Inc.

      

2.57% (Secured Overnight Financing Rate + 2.11%), 06/03/2031(2)

      5,149,000        5,412,049  

2.75%, 04/25/2022

      13,420,000        13,867,832  

2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2)

      12,165,000        12,622,423  

3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2)

      3,387,000        3,494,347  

3.20%, 10/21/2026

      905,000        997,880  

3.40%, 05/01/2026

      1,000,000        1,111,470  

3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2)

      7,000,000        7,777,865  

3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2)

      4,625,000        5,191,435  

3.70%, 01/12/2026

      9,150,000        10,277,815  

3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2)

      11,355,000        12,843,262  

4.30%, 11/20/2026

      5,442,000        6,229,002  

4.40%, 06/10/2025

      12,181,000        13,698,394  

4.41% (Secured Overnight Financing Rate + 3.91%), 03/31/2031(2)

      5,940,000        7,124,096  

4.45%, 09/29/2027

      7,467,000        8,649,191  

6.63%, 01/15/2028

      387,000        503,569  

Citizens Bank N.A.

      

3.70%, 03/29/2023

      1,370,000        1,467,533  

Citizens Financial Group, Inc.

      

2.38%, 07/28/2021

      188,000        190,718  

2.64%, 09/30/2032(3)

      343,000        341,740  

3.25%, 04/30/2030

      5,000,000        5,515,559  

CNA Financial Corp.

      

3.45%, 08/15/2027

      820,000        920,815  

3.95%, 05/15/2024

      303,000        335,689  

7.25%, 11/15/2023

      7,470,000        8,830,874  

Comerica, Inc.

      

4.00%, 02/01/2029

      1,900,000        2,165,630  

Commonwealth Bank of Australia

      

2.50%, 09/18/2022(3)

      800,000        835,011  

2.85%, 05/18/2026(3)

      1,300,000        1,434,460  

3.45%, 03/16/2023(3)

      1,300,000        1,392,174  

3.74%, 09/12/2039(3)

      6,585,000        7,268,708  

4.50%, 12/09/2025(3)

      778,000        877,842  

Compass Bank

      

3.88%, 04/10/2025

      7,840,000        8,410,318  

Cooperatieve Rabobank UA

      

3.88%, 02/08/2022

      4,000,000        4,189,902  

4.38%, 08/04/2025

      570,000        645,897  

4.63%, 12/01/2023

      7,216,000        8,025,130  

5.80%, 09/30/2110(3)

      361,000        587,417  

Credit Agricole SA

      

1.91% (Secured Overnight Financing Rate + 1.68%), 06/16/2026(2)(3)

      1,450,000        1,482,603  

3.75%, 04/24/2023(3)

      575,000        617,061  

4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(2)(3)

      5,000,000        5,483,050  

4.38%, 03/17/2025(3)

      305,000        336,531  

Credit Suisse AG/New York

      

1.00%, 05/05/2023

      3,241,000        3,274,642  

2.80%, 04/08/2022

      3,000,000        3,106,407  

Credit Suisse Group AG

      

2.19% (Secured Overnight Financing Rate + 2.04%), 06/05/2026(2)(3)

      1,020,000        1,053,207  

2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(2)(3)

      1,450,000        1,513,053  

3.57%, 01/09/2023(3)

      3,216,000        3,326,483  

3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(2)(3)

      2,000,000        2,230,926  

4.28%, 01/09/2028(3)

      3,973,000        4,507,822  

Credit Suisse Group Funding Guernsey Ltd.

      

3.80%, 06/09/2023

      8,500,000        9,140,737  

4.55%, 04/17/2026

      1,500,000        1,747,689  

Crown Castle International Corp.

      

2.25%, 01/15/2031

      2,585,000        2,604,047  

4.00%, 03/01/2027

      261,000        296,312  

5.25%, 01/15/2023

      400,000        439,506  

Dai-ichi Life Insurance Co. Ltd.

      

4.00% (3 Month LIBOR USD + 3.66%), 01/24/2168(2)(3)

      1,179,000        1,270,373  

Daiwa Securities Group, Inc.

      

3.13%, 04/19/2022(3)

      854,000        882,238  

Danske Bank

      

1.17% (1 Year CMT Index + 1.03%), 12/08/2023(3)

      4,448,000        4,448,311  

2.00%, 09/08/2021(3)

      558,000        566,210  

2.70%, 03/02/2022(3)

      542,000        558,243  

Deutsche Bank AG

      

3.15%, 01/22/2021

      5,000,000        5,030,467  

3.30%, 11/16/2022

      3,000,000        3,102,213  

3.70%, 05/30/2024

      850,000        890,438  

3.70%, 05/30/2024

      2,063,000        2,167,424  

4.25%, 10/14/2021

      4,165,000        4,281,674  

Deutsche Bank AG/New York NY

      

2.22% (Secured Overnight Financing Rate + 2.16%), 09/18/2024

      2,835,000        2,853,608  

3.95%, 02/27/2023

      5,000,000        5,251,473  

Dexia Credit Local SA

      

3.25%, 09/26/2023(3)

      500,000        541,584  

Digital Realty Trust LP

      

3.70%, 08/15/2027

      462,000        519,734  

Discover Bank

      

3.35%, 02/06/2023

      2,000,000        2,115,517  

3.45%, 07/27/2026

      3,951,000        4,324,108  

4.20%, 08/08/2023

      7,156,000        7,830,010  

4.65%, 09/13/2028

      4,000,000        4,705,181  

Discover Financial Services

      

3.75%, 03/04/2025

      2,920,000        3,170,223  

DNB Bank ASA

      

1.13% (5 Year CMT Index + 0.85%), 09/16/2026(3)

      4,000,000        3,992,880  

Duke Realty LP

      

2.88%, 11/15/2029

      800,000        872,109  

3.25%, 06/30/2026

      203,000        225,040  

3.63%, 04/15/2023

      7,744,000        8,224,700  

Equinix, Inc.

      

1.55%, 03/15/2028

      2,580,000        2,577,461  

Essex Portfolio LP

      

1.65%, 01/15/2031

      910,000        885,990  

2.65%, 03/15/2032

      1,740,000        1,835,980  

Federal Realty Investment Trust

      

3.50%, 06/01/2030

      3,243,000        3,506,171  

3.95%, 01/15/2024

      2,978,000        3,225,312  

Federation des Caisses Desjardins du Quebec

      

2.05%, 02/10/2025(3)

      5,000,000        5,219,777  

Fifth Third Bancorp

      

3.65%, 01/25/2024

      1,420,000        1,547,678  

FMR LLC

      

4.95%, 02/01/2033(3)

      250,000        338,266  

6.45%, 11/15/2039(3)

      258,000        393,248  

GAIF Bond Issuer Pty Ltd.

      

3.40%, 09/30/2026(3)

      1,000,000        1,058,982  

GE Capital Funding LLC

      

4.05%, 05/15/2027(3)

      4,000,000        4,308,563  

4.40%, 05/15/2030(3)

      5,346,000        5,746,415  

GE Capital International Funding Co. Unlimited Co.

      

4.42%, 11/15/2035

      10,853,000        11,469,900  

Globe Life, Inc.

      

4.55%, 09/15/2028

      3,000,000        3,580,114  

Goldman Sachs Capital I

      

6.35%, 02/15/2034

      127,000        176,950  

Goldman Sachs Group, Inc.

      

2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2)

      10,097,000        10,338,320  

2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(2)

      8,773,000        9,095,927  

2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023(2)

      3,076,000        3,185,773  

3.00%, 04/26/2022

      1,653,000        1,676,837  

3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2)

      5,590,000        6,050,944  

3.50%, 01/23/2025

      6,509,000        7,140,404  

3.50%, 11/16/2026

      1,700,000        1,878,479  

3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2)

      3,488,000        3,910,534  

3.75%, 05/22/2025

      1,305,000        1,450,100  

3.75%, 02/25/2026

      9,005,000        10,132,957  

4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2)

      5,000,000        5,823,384  

4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(2)

      6,303,000        7,672,134  

5.15%, 05/22/2045

      4,000,000        5,197,161  

6.75%, 10/01/2037

      2,170,000        3,139,895  

Goodman US Finance Four LLC

      

4.50%, 10/15/2037(3)

      200,000        229,906  

Goodman US Finance Three LLC

      

3.70%, 03/15/2028(3)

      862,000        942,759  

Great-West Lifeco Finance 2018 LP

      

4.58%, 05/17/2048(3)

      650,000        833,602  

GTP Acquisition Partners I LLC

      

3.48%, 06/16/2025(3)

      1,824,000        1,968,022  

Guardian Life Insurance Co. of America

      

4.85%, 01/24/2077(3)

      5,610,000        7,260,727  

Hanover Insurance Group, Inc.

      

2.50%, 09/01/2030

      5,610,000        5,756,487  

Hartford Financial Services Group, Inc.

      

3.60%, 08/19/2049

      1,000,000        1,107,951  

4.30%, 04/15/2043

      1,080,000        1,266,046  

HCP, Inc.

      

3.40%, 02/01/2025

      662,000        724,364  

3.50%, 07/15/2029

      1,742,000        1,938,954  

3.88%, 08/15/2024

      1,981,000        2,195,778  

4.20%, 03/01/2024

      241,000        265,305  

Healthcare Trust of America Holdings LP

      

2.00%, 03/15/2031

      1,380,000        1,350,903  

3.75%, 07/01/2027

      1,734,000        1,927,987  

HSBC Holdings Plc

      

1.65% (Secured Overnight Financing Rate + 1.54%), 04/18/2026

      9,613,000        9,585,905  

2.01% (Secured Overnight Financing Rate + 1.73%), 09/22/2028

      7,470,000        7,390,118  

2.36% (Secured Overnight Financing Rate + 1.95%), 08/18/2031

      2,975,000        2,944,476  

3.03% (3 Month LIBOR USD + 0.92%), 11/22/2023(2)

      1,784,000        1,860,839  

3.60%, 05/25/2023

      1,000,000        1,067,052  

3.80% (3 Month LIBOR USD + 1.21%), 03/11/2025(2)

      12,328,000        13,317,629  

3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2)

      1,301,000        1,393,946  

3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(2)

      1,000,000        1,118,830  

4.00%, 03/30/2022

      780,000        819,033  

4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(2)

      1,533,000        1,693,449  

4.25%, 03/14/2024

      1,000,000        1,072,594  

4.25%, 08/18/2025

      1,009,000        1,096,236  

4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2)

      7,000,000        7,794,695  

4.30%, 03/08/2026

      1,000,000        1,128,118  

6.10%, 01/14/2042

      1,060,000        1,517,308  

HSBC USA, Inc.

      

9.13%, 05/15/2021

      75,000        78,784  

Huntington Bancshares, Inc.

      

2.30%, 01/14/2022

      3,000,000        3,065,224  

2.55%, 02/04/2030

      1,650,000        1,723,084  

Industrial & Commercial Bank of China Ltd.

      

2.45%, 10/20/2021

      1,150,000        1,167,055  

ING Bank NV

      

5.80%, 09/25/2023(3)

      503,000        564,693  

ING Groep NV

      

1.40% (1 Year CMT Index + 1.10%), 07/01/2026(3)

      1,940,000        1,961,697  

3.15%, 03/29/2022

      4,000,000        4,150,815  

4.10%, 10/02/2023

      3,175,000        3,481,417  

International Lease Finance Corp.

      

5.88%, 08/15/2022

      438,000        468,657  

8.63%, 01/15/2022

      1,200,000        1,290,212  

Intesa Sanpaolo SpA

      

4.00%, 09/23/2029(3)

      10,590,000        11,534,440  

Invesco Finance Plc

      

3.75%, 01/15/2026

      4,249,000        4,775,196  

4.00%, 01/30/2024

      2,889,000        3,158,340  

Jackson National Life Global Funding

      

2.50%, 06/27/2022(3)

      800,000        826,351  

3.05%, 04/29/2026(3)

      473,000        520,717  

3.25%, 01/30/2024(3)

      460,000        493,373  

Jefferies Group LLC

      

5.13%, 01/20/2023

      2,600,000        2,830,516  

6.25%, 01/15/2036

      155,000        191,832  

6.45%, 06/08/2027

      428,000        521,544  

John Hancock Life Insurance Co.

      

7.38%, 02/15/2024(3)

      731,000        865,871  

JPMorgan Chase & Co.

      

2.18% (Secured Overnight Financing Rate + 1.89%), 06/01/2028(2)

      18,322,000        19,108,330  

2.95%, 10/01/2026

      5,000,000        5,500,961  

3.11% (Secured Overnight Financing Rate + 2.44%), 04/22/2051(2)

      1,474,000        1,559,887  

3.13%, 01/23/2025

      13,475,000        14,696,624  

3.20%, 06/15/2026

      3,989,000        4,423,409  

3.30%, 04/01/2026

      1,870,000        2,071,799  

3.38%, 05/01/2023

      3,800,000        4,055,916  

3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(2)

      8,000,000        8,581,424  

3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(2)

      5,796,000        6,985,748  

4.00% (Secured Overnight Financing Rate + 2.75%), 10/01/2168(2)

      4,275,000        4,039,875  

4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(2)

      2,320,000        2,685,933  

4.02% (3 Month LIBOR USD + 1.00%), 12/05/2024

      1,742,000        1,915,704  

4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(2)

      5,140,000        6,454,332  

4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(2)

      9,660,000        11,610,919  

4.60% (Secured Overnight Financing Rate + 3.13%), 08/01/2168(2)

      1,985,000        1,945,300  

5.00% (Secured Overnight Financing Rate + 3.38%), 02/01/2168(2)

      5,010,000        5,001,364  

KeyBank N.A.

      

3.18%, 05/22/2022

      567,000        590,514  

KeyCorp

      

4.15%, 10/29/2025

      950,000        1,092,307  

Kimco Realty Corp.

      

2.70%, 10/01/2030

      2,770,000        2,811,339  

Liberty Mutual Group, Inc.

      

3.95%, 10/15/2050(3)

      6,769,000        7,539,249  

4.25%, 06/15/2023(3)

      72,000        78,703  

4.57%, 02/01/2029(3)

      2,301,000        2,781,072  

Liberty Mutual Insurance Co.

      

7.70%, 10/15/2097(3)

      100,000        153,957  

8.50%, 05/15/2025(3)

      700,000        879,453  

Life Storage LP

      

2.20%, 10/15/2030

      2,630,000        2,625,243  

4.00%, 06/15/2029

      1,831,000        2,078,202  

Lincoln National Corp.

      

4.20%, 03/15/2022

      873,000        922,849  

7.00%, 06/15/2040

      1,715,000        2,509,850  

Lloyds Banking Group Plc

      

2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2)

      8,950,000        9,302,060  

3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2)

      1,000,000        1,095,015  

3.75%, 01/11/2027

      2,000,000        2,224,795  

4.05%, 08/16/2023

      3,000,000        3,254,110  

4.38%, 03/22/2028

      949,000        1,100,309  

4.45%, 05/08/2025

      855,000        966,894  

4.50%, 11/04/2024

      2,010,000        2,194,207  

4.58%, 12/10/2025

      550,000        605,051  

Macquarie Bank Ltd.

      

4.00%, 07/29/2025(3)

      500,000        569,737  

Macquarie Group Ltd.

      

3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(2)(3)

      6,000,000        6,273,822  

3.76% (3 Month LIBOR USD + 1.37%), 11/28/2028(2)(3)

      2,565,000        2,796,466  

4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(2)(3)

      2,000,000        2,143,799  

5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(2)(3)

      4,445,000        5,298,071  

6.25%, 01/14/2021(3)

      1,111,000        1,129,018  

Manulife Financial Corp.

      

4.06% (5 Year 1100 Run ICE Swap Rate USD + 1.65%), 02/24/2032(2)

      1,910,000        2,066,596  

Markel Corp.

      

3.63%, 03/30/2023

      400,000        424,232  

4.15%, 09/17/2050

      655,000        783,407  

5.00%, 04/05/2046

      1,265,000        1,674,061  

Marsh & McLennan Cos, Inc.

      

4.80%, 07/15/2021

      5,000,000        5,125,493  

Massachusetts Mutual Life Insurance Co.

      

3.73%, 10/15/2070(3)

      2,690,000        2,765,667  

4.90%, 04/01/2077(3)

      5,000,000        6,534,345  

7.63%, 11/15/2023(3)

      550,000        626,544  

MassMutual Global Funding II

      

2.75%, 06/22/2024(3)

      700,000        752,323  

Mastercard, Inc.

      

3.85%, 03/26/2050

      4,200,000        5,283,808  

MBIA Insurance Corp.

      

11.54% (3 Month LIBOR USD + 11.26%), 01/15/2033(3)

      86,000        30,100  

MetLife, Inc.

      

4.88%, 11/13/2043

      3,000,000        4,016,667  

6.40%, 12/15/2036

      3,530,000        4,387,207  

Metropolitan Life Global Funding I

      

3.00%, 01/10/2023(3)

      407,000        429,097  

3.00%, 09/19/2027(3)

      1,180,000        1,307,680  

3.88%, 04/11/2022(3)

      1,480,000        1,554,863  

Mid-America Apartments LP

      

1.70%, 02/15/2031

      1,330,000        1,308,522  

4.00%, 11/15/2025

      1,500,000        1,693,044  

Mitsubishi UFJ Financial Group, Inc.

      

0.85% (1 Year CMT Index + 0.68%), 09/15/2024

      14,354,000        14,358,340  

2.05%, 07/17/2030

      4,760,000        4,806,220  

2.19%, 02/25/2025

      5,000,000        5,235,754  

2.53%, 09/13/2023

      481,000        508,773  

2.67%, 07/25/2022

      800,000        829,947  

3.00%, 02/22/2022

      206,000        212,873  

3.41%, 03/07/2024

      2,520,000        2,737,749  

3.46%, 03/02/2023

      4,000,000        4,258,248  

3.75%, 07/18/2039

      1,615,000        1,862,586  

Mitsubishi UFJ Lease & Finance Co. Ltd.

      

2.65%, 09/19/2022(3)

      764,000        786,341  

3.96%, 09/19/2023(3)

      2,730,000        2,947,062  

Mizuho Bank Ltd.

      

3.60%, 09/25/2024(3)

      1,250,000        1,378,188  

Mizuho Financial Group

      

1.24% (3 Month LIBOR USD + 0.99%), 07/10/2024

      1,480,000        1,491,515  

Mizuho Financial Group, Inc.

      

2.23% (3 Month LIBOR USD + 0.83%), 05/25/2026(2)

      1,740,000        1,808,344  

2.60%, 09/11/2022

      3,500,000        3,633,757  

2.87% (3 Month LIBOR USD + 1.31%), 09/13/2030(2)

      1,620,000        1,736,769  

2.95%, 02/28/2022

      2,000,000        2,066,904  

Morgan Stanley

      

2.19% (Secured Overnight Financing Rate + 1.99%), 04/28/2026

      9,020,000        9,441,921  

2.50%, 04/21/2021

      2,000,000        2,024,208  

2.63%, 11/17/2021

      3,860,000        3,956,250  

2.72%, 07/22/2025

      873,000        927,353  

2.75%, 05/19/2022

      7,480,000        7,751,479  

3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(2)

      5,882,000        6,612,116  

3.63%, 01/20/2027

      9,804,000        11,074,750  

3.70%, 10/23/2024

      2,029,000        2,248,844  

3.74% (3 Month LIBOR USD + 0.85%), 04/24/2024(2)

      1,468,000        1,579,709  

3.75%, 02/25/2023

      1,882,000        2,020,090  

3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(2)

      4,371,000        4,977,437  

3.88%, 04/29/2024

      2,050,000        2,259,028  

3.88%, 01/27/2026

      3,125,000        3,561,766  

3.95%, 04/23/2027

      14,190,000        16,030,640  

4.10%, 05/22/2023

      3,460,000        3,739,761  

4.35%, 09/08/2026

      930,000        1,074,941  

5.00%, 11/24/2025

      4,959,000        5,816,733  

5.50%, 07/28/2021

      1,437,000        1,497,391  

MUFG Bank Ltd.

      

3.75%, 03/10/2024(3)

      3,215,000        3,520,235  

4.10%, 09/09/2023(3)

      239,000        262,251  

National Australia Bank Ltd.

      

2.33%, 08/21/2030(3)

      7,300,000        7,215,847  

3.93% (5 Year CMT Index + 1.88%), 08/02/2034(2)(3)

      2,330,000        2,588,252  

National Retail Properties, Inc.

      

3.50%, 10/15/2027

      400,000        425,972  

3.60%, 12/15/2026

      700,000        756,560  

3.90%, 06/15/2024

      1,310,000        1,417,396  

Nationwide Building Society

      

1.00%, 08/28/2025(3)

      1,085,000        1,070,005  

4.00%, 09/14/2026(3)

      7,250,000        7,850,508  

Nationwide Financial Services, Inc.

      

5.38%, 03/25/2021(3)

      2,000,000        2,044,304  

Nationwide Mutual Insurance Co.

      

9.38%, 08/15/2039(3)

      7,150,000        12,057,712  

NatWest Markets Plc

      

2.38%, 05/21/2023(3)

      4,188,000        4,311,546  

3.63%, 09/29/2022(3)

      3,360,000        3,526,623  

New York Life Global Funding

      

3.00%, 01/10/2028(3)

      2,022,000        2,261,900  

New York Life Insurance Co.

      

4.45%, 05/15/2069(3)

      4,225,000        5,170,069  

Nomura Holdings, Inc.

      

1.85%, 07/16/2025

      5,000,000        5,090,266  

2.65%, 01/16/2025

      2,597,000        2,734,280  

2.68%, 07/16/2030

      1,550,000        1,595,334  

Nordea Bank Abp

      

3.75%, 08/30/2023(3)

      4,000,000        4,313,507  

4.25%, 09/21/2022(3)

      12,865,000        13,671,131  

Northern Trust Corp.

      

1.95%, 05/01/2030

      3,650,000        3,797,068  

3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(2)

      411,000        449,260  

Office Properties Income Trust

      

4.00%, 07/15/2022

      1,255,000        1,269,805  

OneBeacon US Holdings, Inc.

      

4.60%, 11/09/2022

      1,500,000        1,575,248  

Ontario Teachers’ Cadillac Fairview Properties Trust

      

3.13%, 03/20/2022(3)

      1,003,000        1,026,725  

3.88%, 03/20/2027(3)

      1,044,000        1,139,668  

ORIX Corp.

      

3.25%, 12/04/2024

      1,500,000        1,625,953  

Pacific Life Global Funding II

      

1.20%, 06/24/2025(3)

      7,551,000        7,634,641  

Pacific Life Insurance Co.

      

4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(2)(3)

      743,000        797,296  

Park Aerospace Holdings Ltd.

      

5.25%, 08/15/2022(3)

      9,135,000        9,171,322  

5.50%, 02/15/2024(3)

      1,960,000        1,972,250  

People’s United Bank N.A.

      

4.00%, 07/15/2024

      4,350,000        4,647,940  

PNC Bank N.A.

      

2.95%, 01/30/2023

      6,500,000        6,843,164  

4.20%, 11/01/2025

      322,000        373,048  

Pricoa Global Funding I

      

0.80%, 09/01/2025(3)

      12,814,000        12,781,947  

Principal Life Global Funding II

      

3.00%, 04/18/2026(3)

      2,000,000        2,216,393  

Private Export Funding Corp.

      

2.65%, 02/16/2021(3)

      5,905,000        5,959,046  

2.80%, 05/15/2022

      1,200,000        1,247,348  

3.25%, 06/15/2025

      1,280,000        1,430,348  

3.55%, 01/15/2024

      2,489,000        2,699,310  

Progressive Corp.

      

5.38% (3 Month LIBOR USD + 2.54%), 09/15/2167(2)

      780,000        780,000  

Prologis LP

      

1.25%, 10/15/2030

      11,480,000        11,195,183  

3.25%, 10/01/2026

      303,000        342,499  

Protective Life Corp.

      

1.17%, 07/15/2025(3)

      2,721,000        2,742,024  

4.30%, 09/30/2028(3)

      4,500,000        4,970,950  

Prudential Financial, Inc.

      

3.91%, 12/07/2047

      1,231,000        1,366,493  

6.63%, 06/21/2040

      5,995,000        9,051,954  

Prudential Insurance Co. of America

      

8.30%, 07/01/2025(3)

      1,691,000        2,204,263  

Realty Income Corp.

      

3.25%, 10/15/2022

      1,490,000        1,562,806  

3.25%, 01/15/2031

      1,740,000        1,917,684  

Regency Centers LP

      

2.95%, 09/15/2029

      2,200,000        2,277,726  

Regions Financial Corp.

      

2.75%, 08/14/2022

      326,000        338,931  

Royal Bank of Canada

      

2.25%, 11/01/2024

      10,288,000        10,902,851  

Royal Bank of Scotland Group Plc

      

3.75% (5 Year CMT Index + 2.10%), 11/01/2029(2)

      1,833,000        1,897,791  

4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(2)

      1,500,000        1,734,817  

4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2)

      555,000        598,153  

4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2)

      5,490,000        6,382,358  

5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2)

      7,000,000        8,342,468  

Santander Holdings USA, Inc.

      

3.45%, 06/02/2025

      6,330,000        6,755,092  

Santander UK Group Holdings Plc

      

3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2)

      800,000        887,374  

4.75%, 09/15/2025(3)

      1,810,000        1,979,316  

Santander UK Plc

      

5.00%, 11/07/2023(3)

      4,150,000        4,525,783  

Scentre Group Trust 1

      

3.50%, 02/12/2025(3)

      1,390,000        1,473,163  

Scentre Group Trust 2

      

4.75% (5 Year CMT Index + 4.38%), 09/24/2080(3)

      1,865,000        1,843,532  

SITE Centers Corp.

      

4.70%, 06/01/2027

      368,000        388,073  

Societe Generale SA

      

2.63%, 10/16/2024(3)

      2,485,000        2,573,950  

2.63%, 01/22/2025(3)

      9,554,000        9,857,202  

3.00%, 01/22/2030(3)

      4,062,000        4,201,477  

3.25%, 01/12/2022(3)

      7,000,000        7,199,965  

3.88%, 03/28/2024(3)

      1,000,000        1,074,660  

4.25%, 04/14/2025(3)

      800,000        853,124  

SouthTrust Bank

      

7.69%, 05/15/2025

      253,000        308,302  

Standard Chartered Plc

      

2.74% (3 Month LIBOR USD + 1.20%), 09/10/2022(2)(3)

      800,000        812,651  

2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(2)(3)

      1,360,000        1,408,750  

4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(2)(3)

      3,230,000        3,350,942  

4.31% (3 Month LIBOR USD + 1.91%), 05/21/2030(2)(3)

      700,000        779,503  

4.87% (5 Year 1100 Run ICE Swap Rate USD + 1.97%), 03/15/2033(2)(3)

      800,000        871,916  

5.20%, 01/26/2024(3)

      609,000        660,666  

State Bank of India

      

4.38%, 01/24/2024(3)

      6,475,000        6,909,673  

State Street Corp.

      

2.90% (Secured Overnight Financing Rate + 2.60%), 03/30/2026(2)(3)

      2,274,000        2,471,297  

Stifel Financial Corp.

      

3.50%, 12/01/2020

      5,000,000        5,016,756  

Sumitomo Life Insurance Co.

      

4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(2)(3)

      1,000,000        1,107,500  

Sumitomo Mitsui Banking Corp.

      

3.95%, 07/19/2023

      250,000        272,489  

Sumitomo Mitsui Financial Group, Inc.

      

1.47%, 07/08/2025

      11,687,000        11,899,337  

2.13%, 07/08/2030

      5,149,000        5,228,278  

2.14%, 09/23/2030

      4,403,000        4,334,062  

2.44%, 10/19/2021

      531,000        542,455  

2.63%, 07/14/2026

      644,000        693,859  

2.78%, 10/18/2022

      6,718,000        7,015,870  

2.78%, 07/12/2022

      1,500,000        1,558,732  

2.85%, 01/11/2022

      1,100,000        1,132,769  

3.04%, 07/16/2029

      5,005,000        5,449,016  

3.10%, 01/17/2023

      1,033,000        1,090,551  

SunTrust Bank

      

3.30%, 05/15/2026

      1,000,000        1,121,199  

SunTrust Banks, Inc.

      

2.70%, 01/27/2022

      4,210,000        4,332,977  

4.00%, 05/01/2025

      424,000        481,984  

Synchrony Financial

      

3.75%, 08/15/2021

      6,000,000        6,123,449  

3.95%, 12/01/2027

      1,500,000        1,613,378  

4.50%, 07/23/2025

      4,000,000        4,414,711  

Teachers Insurance & Annuity Association of America

      

4.27%, 05/15/2047(3)

      3,360,000        3,927,472  

4.90%, 09/15/2044(3)

      200,000        251,874  

6.85%, 12/16/2039(3)

      218,000        324,825  

Toronto-Dominion Bank

      

0.75%, 09/11/2025

      15,075,000        15,029,952  

Trinity Acquisition Plc

      

4.40%, 03/15/2026

      2,300,000        2,655,370  

6.13%, 08/15/2043

      5,000,000        7,230,809  

Truist Financial Corp.

      

1.95%, 06/05/2030

      1,190,000        1,222,956  

4.80% (5 Year CMT Index + 3.00%), 12/31/2099(2)

      5,630,000        5,651,113  

UBS AG

      

1.75%, 04/21/2022(3)

      1,710,000        1,740,941  

UBS Group Funding Switzerland AG

      

1.36% (1 Year CMT Index + 1.08%), 01/30/2027(3)

      1,850,000        1,848,578  

2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(2)(3)

      7,367,000        7,648,882  

3.49%, 05/23/2023(3)

      9,790,000        10,209,672  

4.13%, 09/24/2025(3)

      800,000        911,661  

4.25%, 03/23/2028(3)

      3,000,000        3,478,955  

UDR, Inc.

      

2.10%, 08/01/2032

      7,089,000        7,043,762  

2.95%, 09/01/2026

      276,000        300,188  

3.00%, 08/15/2031

      415,000        448,715  

3.20%, 01/15/2030

      1,565,000        1,732,835  

UniCredit SpA

      

2.57% (1 Year CMT Index + 2.30%), 09/22/2026(3)

      2,330,000        2,301,306  

6.57%, 01/14/2022(3)

      2,500,000        2,652,916  

United Overseas Bank Ltd.

      

3.20%, 04/23/2021(3)

      765,000        776,156  

Ventas Realty LP

      

3.10%, 01/15/2023

      13,500,000        14,036,025  

3.50%, 02/01/2025

      251,000        271,741  

3.75%, 05/01/2024

      382,000        409,230  

3.85%, 04/01/2027

      677,000        737,354  

4.13%, 01/15/2026

      449,000        504,381  

Visa, Inc.

      

1.10%, 02/15/2031

      9,861,000        9,648,022  

2.05%, 04/15/2030

      1,130,000        1,207,674  

Vornado Realty LP

      

3.50%, 01/15/2025

      800,000        832,307  

WEA Finance LLC

      

3.15%, 04/05/2022(3)

      1,243,000        1,262,933  

WEA Finance LLC / Westfield UK & Europe Finance Plc

      

3.25%, 10/05/2020(3)

      5,130,000        5,131,122  

Wells Fargo & Co.

      

2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(2)

      17,945,000        18,627,517  

2.19% (Secured Overnight Financing Rate + 2.00%), 04/30/2026(2)

      1,365,000        1,417,639  

2.39% (Secured Overnight Financing Rate + 2.10%), 06/02/2028(2)

      2,342,000        2,442,426  

2.57% (3 Month LIBOR USD + 1.00%), 02/11/2031(2)

      12,110,000        12,661,583  

3.00%, 04/22/2026

      5,000,000        5,438,368  

3.07% (Secured Overnight Financing Rate + 2.53%), 04/30/2041(2)

      3,900,000        4,046,434  

3.07%, 01/24/2023

      2,655,000        2,738,333  

3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(2)

      3,145,000        3,413,744  

3.30%, 09/09/2024

      1,900,000        2,071,339  

3.50%, 03/08/2022

      1,929,000        2,010,534  

3.55%, 09/29/2025

      700,000        778,316  

3.75%, 01/24/2024

      1,690,000        1,835,955  

4.10%, 06/03/2026

      3,749,000        4,220,967  

4.30%, 07/22/2027

      729,000        833,578  

4.40%, 06/14/2046

      626,000        744,271  

4.65%, 11/04/2044

      675,000        818,964  

4.75%, 12/07/2046

      1,343,000        1,675,217  

4.90%, 11/17/2045

      2,117,000        2,680,607  

5.38%, 11/02/2043

      317,000        418,092  

Welltower, Inc.

      

2.70%, 02/15/2027

      497,000        524,500  

3.10%, 01/15/2030

      1,085,000        1,150,143  

6.50%, 03/15/2041

      700,000        920,436  

Western Union Co.

      

3.60%, 03/15/2022

      1,300,000        1,347,483  

Westpac Banking Corp.

      

4.42%, 07/24/2039

      1,010,000        1,237,687  

Weyerhaeuser Co.

      

7.38%, 03/15/2032

      500,000        728,453  

Willis North America, Inc.

      

5.05%, 09/15/2048

      7,500,000        10,062,304  

WP Carey, Inc.

      

4.25%, 10/01/2026

      1,949,000        2,199,869  

WR Berkley Corp.

      

4.75%, 08/01/2044

      3,445,000        4,233,203  

XLIT Ltd.

      

5.25%, 12/15/2043

      2,700,000        3,752,983  
     

 

 

  

Total Financials

 

      1,930,843,966  
     

 

 

  

Industrials – 1.62%

      

Airbus Finance BV

      

2.70%, 04/17/2023(3)

      376,000        392,924  

Airbus SE

      

3.15%, 04/10/2027(3)

      736,000        776,293  

3.95%, 04/10/2047(3)

      150,000        166,496  

Allegion US Holding Co., Inc.

      

3.20%, 10/01/2024

      2,000,000        2,119,519  

Amphenol Corp.

      

3.20%, 04/01/2024

      8,135,000        8,777,093  

Arrow Electronics, Inc.

      

3.25%, 09/08/2024

      219,000        236,439  

3.50%, 04/01/2022

      965,000        997,717  

3.88%, 01/12/2028

      221,000        245,872  

4.50%, 03/01/2023

      183,000        195,496  

Aviation Capital Group LLC

      

3.50%, 11/01/2027(3)

      700,000        626,879  

3.88%, 05/01/2023(3)

      780,000        771,861  

5.50%, 12/15/2024(3)

      2,500,000        2,578,892  

BAE Systems Plc

      

1.90%, 02/15/2031(3)

      6,886,000        6,815,096  

3.00%, 09/15/2050(3)

      754,000        755,877  

5.80%, 10/11/2041(3)

      400,000        560,531  

Boeing Co.

      

3.10%, 05/01/2026

      1,274,000        1,270,542  

3.30%, 03/01/2035

      1,410,000        1,324,762  

3.95%, 08/01/2059

      4,825,000        4,357,427  

4.51%, 05/01/2023

      4,899,000        5,157,417  

4.88%, 05/01/2025

      5,582,000        6,089,183  

5.15%, 05/01/2030

      8,139,000        9,117,678  

5.71%, 05/01/2040

      1,555,000        1,815,105  

5.81%, 05/01/2050

      505,000        609,135  

Burlington Northern Santa Fe LLC

      

3.55%, 02/15/2050

      725,000        846,398  

4.38%, 09/01/2042

      462,000        580,107  

5.15%, 09/01/2043

      389,000        534,726  

5.40%, 06/01/2041

      542,000        755,348  

5.75%, 05/01/2040

      373,000        533,773  

6.15%, 05/01/2037

      320,000        478,221  

7.29%, 06/01/2036

      134,000        209,115  

Canadian Pacific Railway Co.

      

2.90%, 02/01/2025

      644,000        697,129  

Carlisle Cos, Inc.

      

3.50%, 12/01/2024

      3,025,000        3,315,446  

Caterpillar Financial Services Corp.

      

0.45%, 09/14/2023

      6,026,000        6,025,814  

0.65%, 07/07/2023

      705,000        707,859  

2.75%, 08/20/2021

      420,000        428,808  

3.25%, 12/01/2024

      1,429,000        1,574,523  

3.75%, 11/24/2023

      2,175,000        2,392,553  

Caterpillar, Inc.

      

2.60%, 06/26/2022

      220,000        227,284  

CH Robinson Worldwide, Inc.

      

4.20%, 04/15/2028

      6,000,000        6,997,211  

CNH Industrial Capital LLC

      

1.88%, 01/15/2026

      5,511,000        5,502,197  

CRH America, Inc.

      

3.40%, 05/09/2027(3)

      200,000        217,557  

3.88%, 05/18/2025(3)

      354,000        397,715  

5.13%, 05/18/2045(3)

      230,000        286,784  

CSX Corp.

      

3.35%, 09/15/2049

      305,000        336,513  

4.65%, 03/01/2068

      2,000,000        2,613,868  

4.75%, 05/30/2042

      175,000        223,852  

4.75%, 11/15/2048

      1,280,000        1,695,619  

5.50%, 04/15/2041

      402,000        547,751  

Deere & Co.

      

2.88%, 09/07/2049

      3,745,000        4,006,410  

Eaton Corp.

      

4.00%, 11/02/2032

      143,000        172,618  

5.80%, 03/15/2037

      500,000        687,863  

7.63%, 04/01/2024

      206,000        241,208  

Embraer Netherlands Finance BV

      

5.05%, 06/15/2025

      2,202,000        2,113,920  

Embraer Overseas Ltd.

      

5.70%, 09/16/2023(3)

      4,000,000        4,050,000  

Empresa de Transporte de Pasajeros Metro SA

      

4.70%, 05/07/2050(3)

      744,000        914,562  

FedEx Corp.

      

4.95%, 10/17/2048

      3,000,000        3,829,832  

General Electric Co.

      

3.15%, 09/07/2022

      7,800,000        8,145,693  

3.63%, 05/01/2030

      1,535,000        1,591,864  

5.55%, 01/05/2026

      1,384,000        1,613,982  

5.88%, 01/14/2038

      289,000        336,835  

JB Hunt Transport Services, Inc.

      

3.85%, 03/15/2024

      650,000        709,614  

3.88%, 03/01/2026

      1,380,000        1,593,484  

John Deere Capital Corp.

      

2.25%, 09/14/2026

      970,000        1,053,146  

2.80%, 09/08/2027

      700,000        777,169  

Johnson Controls International Plc

      

3.75%, 12/01/2021

      12,000        12,291  

4.95%, 07/02/2064(1)

      928,000        1,197,276  

Keysight Technologies, Inc.

      

4.60%, 04/06/2027

      8,000,000        9,346,865  

L3Harris Technologies, Inc.

      

3.83%, 04/27/2025

      1,820,000        2,033,594  

4.85%, 04/27/2035

      1,000,000        1,315,983  

Lennox International, Inc.

      

1.70%, 08/01/2027

      2,000,000        1,998,573  

Lockheed Martin Corp.

      

3.10%, 01/15/2023

      346,000        366,874  

Martin Marietta Materials, Inc.

      

3.45%, 06/01/2027

      811,000        899,206  

3.50%, 12/15/2027

      6,165,000        6,925,561  

4.25%, 07/02/2024

      1,705,000        1,886,507  

6.25%, 05/01/2037

      107,000        130,888  

Masco Corp.

      

2.00%, 10/01/2030

      760,000        758,899  

6.50%, 08/15/2032

      1,240,000        1,605,730  

Mexico City Airport Trust

      

3.88%, 04/30/2028(3)

      3,950,000        3,377,290  

5.50%, 07/31/2047(3)

      3,902,000        3,182,276  

Norfolk Southern Corp.

      

2.90%, 02/15/2023

      294,000        309,463  

3.95%, 10/01/2042

      332,000        390,573  

4.05%, 08/15/2052

      1,100,000        1,344,023  

4.80%, 08/15/2043

      1,273,000        1,571,990  

5.59%, 05/17/2025

      6,000        7,157  

7.80%, 05/15/2027

      1,705,000        2,332,875  

Northrop Grumman Corp.

      

3.20%, 02/01/2027

      849,000        948,482  

3.25%, 01/15/2028

      250,000        280,754  

3.85%, 04/15/2045

      195,000        227,489  

nVent Finance Sarl

      

4.55%, 04/15/2028

      3,625,000        3,910,019  

Otis Worldwide Corp.

      

2.57%, 02/15/2030

      3,430,000        3,683,854  

Pactiv LLC

      

7.95%, 12/15/2025

      34,000        37,060  

Parker-Hannifin Corp.

      

4.10%, 03/01/2047

      583,000        699,653  

4.45%, 11/21/2044

      333,000        407,526  

Penske Truck Leasing Co. LP

      

2.70%, 03/14/2023(3)

      220,000        229,006  

3.95%, 03/10/2025(3)

      7,000,000        7,784,323  

Precision Castparts Corp.

      

4.20%, 06/15/2035

      75,000        93,604  

4.38%, 06/15/2045

      415,000        515,369  

Raytheon Technologies Corp.

      

3.20%, 03/15/2024(3)

      409,000        438,982  

4.35%, 04/15/2047(3)

      970,000        1,210,544  

Republic Services, Inc.

      

1.45%, 02/15/2031

      1,970,000        1,941,283  

Roper Technologies, Inc.

      

1.40%, 09/15/2027

      3,050,000        3,079,268  

2.00%, 06/30/2030

      1,150,000        1,172,296  

3.00%, 12/15/2020

      208,000        208,628  

Siemens Financieringsmaatschappij NV

      

2.35%, 10/15/2026(3)

      700,000        750,846  

3.13%, 03/16/2024(3)

      800,000        865,303  

4.40%, 05/27/2045(3)

      513,000        670,490  

Textron, Inc.

      

3.65%, 03/01/2021

      11,600,000        11,738,474  

3.65%, 03/15/2027

      4,975,000        5,428,270  

Timken Co.

      

3.88%, 09/01/2024

      1,000,000        1,063,880  

TTX Co.

      

3.60%, 01/15/2025(3)

      2,000,000        2,216,223  

Union Pacific Corp.

      

4.10%, 09/15/2067

      200,000        235,197  

United Technologies Corp.

      

3.75%, 11/01/2046

      1,130,000        1,291,502  

4.15%, 05/15/2045

      785,000        937,916  

4.50%, 06/01/2042

      1,823,000        2,297,253  

4.63%, 11/16/2048

      3,913,000        5,087,972  

Vulcan Materials Co.

      

4.70%, 03/01/2048

      2,054,000        2,503,837  

Wabtec Corp.

      

3.45%, 11/15/2026

      5,000,000        5,307,430  

4.38%, 08/15/2023

      322,000        340,456  

WestRock MWV LLC

      

8.20%, 01/15/2030

      537,000        758,133  

WRKCo, Inc.

      

3.75%, 03/15/2025

      1,300,000        1,452,886  

Xylem, Inc.

      

1.95%, 01/30/2028

      2,170,000        2,259,667  

2.25%, 01/30/2031

      960,000        1,017,089  

3.25%, 11/01/2026

      1,192,000        1,329,230  
     

 

 

  

Total Industrials

 

      241,136,693  
     

 

 

  

Technology – 1.41%

      

Analog Devices, Inc.

      

3.13%, 12/05/2023

      476,000        511,855  

4.50%, 12/05/2036

      1,020,000        1,221,560  

Apple, Inc.

      

1.65%, 05/11/2030

      3,030,000        3,132,165  

2.45%, 08/04/2026

      1,111,000        1,210,389  

2.55%, 08/20/2060

      1,890,000        1,880,372  

2.90%, 09/12/2027

      1,643,000        1,843,999  

3.00%, 06/20/2027

      1,462,000        1,648,558  

3.20%, 05/13/2025

      1,010,000        1,125,925  

3.20%, 05/11/2027

      743,000        844,842  

3.45%, 02/09/2045

      1,357,000        1,607,886  

3.85%, 05/04/2043

      4,000,000        4,979,592  

3.85%, 08/04/2046

      776,000        968,675  

Broadcom Cayman Finance Ltd.

      

3.13%, 01/15/2025

      7,000,000        7,466,024  

Broadcom, Inc.

      

3.46%, 09/15/2026

      4,111,000        4,504,044  

4.11%, 09/15/2028

      2,092,000        2,339,406  

4.15%, 11/15/2030

      7,349,000        8,250,618  

4.25%, 04/15/2026

      2,300,000        2,591,626  

4.75%, 04/15/2029

      17,915,000        20,805,596  

Dell International LLC / EMC Corp.

      

5.30%, 10/01/2029(3)

      1,100,000        1,260,056  

5.45%, 06/15/2023(3)

      6,070,000        6,654,787  

6.02%, 06/15/2026(3)

      5,936,000        6,971,584  

DXC Technology Co.

      

4.25%, 04/15/2024

      9,435,000        10,194,000  

4.75%, 04/15/2027

      4,500,000        5,012,451  

Fidelity National Information Services, Inc.

      

3.00%, 08/15/2026

      1,300,000        1,442,854  

3.50%, 04/15/2023

      1,281,000        1,363,975  

3.88%, 06/05/2024

      582,000        642,082  

Fiserv, Inc.

      

3.20%, 07/01/2026

      890,000        988,594  

3.85%, 06/01/2025

      5,000,000        5,632,411  

4.40%, 07/01/2049

      2,850,000        3,555,314  

4.75%, 06/15/2021

      5,231,000        5,385,008  

Genpact Luxembourg Sarl

      

3.38%, 12/01/2024

      2,000,000        2,094,106  

Hewlett Packard Enterprise Co

      

1.45%, 04/01/2024

      2,355,000        2,384,941  

Hewlett Packard Enterprise Co.

      

4.40%, 10/15/2022

      7,500,000        8,014,105  

HP, Inc.

      

3.00%, 06/17/2027

      1,380,000        1,491,101  

International Business Machines Corp.

      

1.70%, 05/15/2027

      5,180,000        5,349,273  

3.30%, 05/15/2026

      3,690,000        4,157,766  

6.50%, 01/15/2028

      120,000        161,499  

Lam Research Corp

      

3.13%, 06/15/2060

      3,818,000        4,076,880  

Leidos, Inc.

      

3.63%, 05/15/2025(3)

      3,500,000        3,882,025  

Microchip Technology, Inc.

      

2.67%, 09/01/2023(3)

      8,839,000        9,150,015  

Microsoft Corp.

      

2.40%, 08/08/2026

      600,000        653,579  

2.53%, 06/01/2050

      9,330,000        9,732,854  

2.68%, 06/01/2060

      1,637,000        1,714,094  

3.13%, 11/03/2025

      3,539,000        3,956,298  

3.50%, 02/12/2035

      318,000        393,182  

3.95%, 08/08/2056

      589,000        776,903  

4.20%, 11/03/2035

      231,000        303,328  

NXP BV

      

4.30%, 06/18/2029(3)

      2,065,000        2,381,386  

5.35%, 03/01/2026(3)

      3,538,000        4,182,738  

Oracle Corp.

      

2.40%, 09/15/2023

      757,000        796,557  

2.80%, 07/08/2021

      766,000        780,771  

2.95%, 11/15/2024

      1,500,000        1,626,570  

3.60%, 04/01/2040

      2,500,000        2,851,127  

3.60%, 04/01/2050

      4,108,000        4,580,514  

3.80%, 11/15/2037

      600,000        702,787  

3.85%, 07/15/2036

      1,065,000        1,256,426  

3.90%, 05/15/2035

      936,000        1,137,177  

4.30%, 07/08/2034

      221,000        276,638  

4.38%, 05/15/2055

      400,000        501,879  

Seagate HDD Cayman

      

4.75%, 06/01/2023

      1,500,000        1,630,545  

ServiceNow, Inc.

      

1.40%, 09/01/2030

      6,530,000        6,346,444  

TSMC Global Ltd.

      

1.38%, 09/28/2030(3)

      5,007,000        4,912,121  

VMware, Inc.

      

2.95%, 08/21/2022

      2,321,000        2,416,340  
     

 

 

  

Total Technology

 

      210,708,217  
     

 

 

  

Utilities – 3.72%

      

AEP Texas, Inc.

      

3.80%, 10/01/2047

      3,715,000        4,245,780  

AEP Transmission Co. LLC

      

3.15%, 09/15/2049

      580,000        623,252  

3.75%, 12/01/2047

      2,600,000        3,039,118  

4.00%, 12/01/2046

      2,020,000        2,445,504  

4.25%, 09/15/2048

      4,790,000        6,073,422  

Alabama Power Co.

      

2.80%, 04/01/2025

      2,025,000        2,180,649  

3.75%, 03/01/2045

      182,000        209,942  

4.10%, 01/15/2042

      233,000        272,564  

4.15%, 08/15/2044

      205,000        249,892  

6.13%, 05/15/2038

      219,000        317,855  

Ameren Corp.

      

2.50%, 09/15/2024

      3,468,000        3,672,684  

Ameren Illinois Co.

      

3.25%, 03/15/2050

      2,007,000        2,252,368  

American Water Capital Corp.

      

3.45%, 06/01/2029

      590,000        676,489  

3.85%, 03/01/2024

      500,000        545,486  

4.00%, 12/01/2046

      2,350,000        2,836,647  

6.59%, 10/15/2037

      386,000        586,017  

Appalachian Power Co.

      

6.70%, 08/15/2037

      430,000        595,942  

APT Pipelines Ltd.

      

4.25%, 07/15/2027(3)

      1,098,000        1,240,838  

Arizona Public Service Co.

      

3.35%, 06/15/2024

      676,000        724,991  

3.75%, 05/15/2046

      2,290,000        2,607,319  

5.05%, 09/01/2041

      349,000        458,221  

Atmos Energy Corp.

      

1.50%, 01/15/2031

      5,845,000        5,817,779  

4.13%, 10/15/2044

      1,860,000        2,300,419  

4.15%, 01/15/2043

      830,000        1,031,154  

Ausgrid Finance Pty Ltd.

      

4.35%, 08/01/2028(3)

      10,275,000        11,747,540  

Avangrid, Inc.

      

3.15%, 12/01/2024

      610,000        664,997  

Baltimore Gas & Electric Co.

      

2.80%, 08/15/2022

      509,000        528,477  

2.90%, 06/15/2050

      950,000        970,626  

3.20%, 09/15/2049

      1,105,000        1,186,893  

3.50%, 08/15/2046

      375,000        426,395  

Berkshire Hathaway Energy Co.

      

3.50%, 02/01/2025

      625,000        692,186  

6.13%, 04/01/2036

      366,000        521,755  

Boston Gas Co.

      

4.49%, 02/15/2042(3)

      253,000        313,838  

Brooklyn Union Gas Co.

      

3.87%, 03/04/2029(3)

      1,125,000        1,306,792  

4.27%, 03/15/2048(3)

      1,100,000        1,372,213  

4.50%, 03/10/2046(3)

      2,000,000        2,546,572  

CenterPoint Energy Houston Electric LLC

      

3.95%, 03/01/2048

      151,000        186,657  

CenterPoint Energy Resources Corp.

      

4.50%, 01/15/2021

      158,000        158,244  

China Southern Power Grid International Finance BVI Co. Ltd.

      

3.50%, 05/08/2027(3)

      1,910,000        2,094,563  

Cleveland Electric Illuminating Co.

      

3.50%, 04/01/2028(3)

      1,333,000        1,439,741  

CMS Energy Corp.

      

2.95%, 02/15/2027

      348,000        370,483  

3.00%, 05/15/2026

      110,000        120,888  

3.45%, 08/15/2027

      350,000        391,926  

Comision Federal de Electricidad

      

4.88%, 05/26/2021(3)

      551,000        563,403  

4.88%, 01/15/2024(3)

      322,000        346,153  

Commonwealth Edison Co.

      

3.65%, 06/15/2046

      364,000        428,772  

3.75%, 08/15/2047

      1,000,000        1,194,344  

4.00%, 03/01/2048

      4,615,000        5,664,957  

Connecticut Light & Power Co.

      

3.20%, 03/15/2027

      600,000        669,218  

Consolidated Edison Co. of New York, Inc.

      

3.85%, 06/15/2046

      2,940,000        3,445,635  

4.30%, 12/01/2056

      3,050,000        3,816,019  

4.50%, 05/15/2058

      538,000        695,706  

4.65%, 12/01/2048

      5,900,000        7,654,430  

5.70%, 06/15/2040

      318,000        444,595  

Consumers Energy Co.

      

3.25%, 08/15/2046

      190,000        211,211  

4.35%, 08/31/2064

      191,000        254,062  

Delmarva Power & Light Co.

      

4.00%, 06/01/2042

      170,000        198,102  

Dominion Energy Gas Holdings LLC

      

2.80%, 11/15/2020

      264,000        264,289  

4.60%, 12/15/2044

      1,300,000        1,611,054  

Dominion Energy Inc.

      

2.85%, 08/15/2026

      304,000        333,195  

4.90%, 08/01/2041

      212,000        271,893  

5.25%, 08/01/2033

      1,161,000        1,478,242  

5.95%, 06/15/2035

      3,389,000        4,610,213  

7.00%, 06/15/2038

      124,000        189,377  

Dominion Energy, Inc.

      

2.45%, 01/15/2023(3)

      7,054,000        7,347,787  

DTE Electric Co.

      

2.65%, 06/15/2022

      194,000        200,038  

DTE Energy Co.

      

1.05%, 06/01/2025

      5,372,000        5,379,621  

2.53%, 10/01/2024

      6,316,000        6,713,079  

Duke Energy Carolinas LLC

      

4.25%, 12/15/2041

      141,000        174,882  

6.00%, 12/01/2028

      235,000        307,023  

Duke Energy Corp.

      

3.55%, 09/15/2021

      306,000        312,753  

3.75%, 09/01/2046

      10,300,000        11,721,952  

3.95%, 08/15/2047

      1,740,000        2,048,987  

Duke Energy Florida LLC

      

1.75%, 06/15/2030

      3,061,000        3,115,918  

4.20%, 07/15/2048

      3,396,000        4,320,617  

Duke Energy Indiana LLC

      

3.75%, 05/15/2046

      600,000        700,792  

Duke Energy Progress LLC

      

3.70%, 10/15/2046

      506,000        594,261  

4.10%, 05/15/2042

      217,000        262,906  

4.10%, 03/15/2043

      181,000        220,602  

4.15%, 12/01/2044

      129,000        160,397  

4.20%, 08/15/2045

      325,000        403,743  

4.38%, 03/30/2044

      132,000        167,473  

Duquesne Light Holdings, Inc.

      

2.53%, 10/01/2030(3)

      2,500,000        2,506,040  

3.62%, 08/01/2027(3)

      1,675,000        1,788,315  

Edison International

      

3.55%, 11/15/2024

      3,606,000        3,801,174  

5.75%, 06/15/2027

      7,787,000        8,593,856  

EDP Finance BV

      

3.63%, 07/15/2024(3)

      700,000        761,181  

Electricite de France SA

      

4.75%, 10/13/2035(3)

      5,000,000        6,169,081  

Emera US Finance LP

      

2.70%, 06/15/2021

      3,799,000        3,851,336  

3.55%, 06/15/2026

      3,895,000        4,345,278  

4.75%, 06/15/2046

      900,000        1,082,567  

Enel Finance International NV

      

2.65%, 09/10/2024(3)

      1,440,000        1,526,521  

3.50%, 04/06/2028(3)

      5,845,000        6,509,635  

3.63%, 05/25/2027(3)

      12,505,000        13,898,342  

4.63%, 09/14/2025(3)

      1,787,000        2,070,085  

4.75%, 05/25/2047(3)

      5,575,000        6,900,214  

4.88%, 06/14/2029(3)

      215,000        263,535  

6.00%, 10/07/2039(3)

      307,000        416,686  

Engie Energia Chile SA

      

3.40%, 01/28/2030(3)

      1,600,000        1,728,000  

Entergy Arkansas LLC

      

2.65%, 06/15/2051

      960,000        966,272  

3.50%, 04/01/2026

      307,000        347,349  

Entergy Corp.

      

0.90%, 09/15/2025

      1,588,000        1,585,795  

2.95%, 09/01/2026

      310,000        342,224  

Entergy Louisiana LLC

      

2.40%, 10/01/2026

      650,000        699,091  

3.05%, 06/01/2031

      440,000        503,388  

3.12%, 09/01/2027

      370,000        413,168  

4.00%, 03/15/2033

      2,610,000        3,265,432  

Entergy Texas, Inc.

      

4.50%, 03/30/2039

      11,000,000        13,684,599  

Evergy, Inc.

      

2.90%, 09/15/2029

      2,190,000        2,349,070  

Exelon Corp.

      

3.50%, 06/01/2022

      10,180,000        10,647,652  

4.95%, 06/15/2035

      1,500,000        1,854,802  

Exelon Generation Co. LLC

      

3.40%, 03/15/2022

      1,180,000        1,223,056  

4.25%, 06/15/2022

      313,000        330,471  

5.75%, 10/01/2041

      192,000        220,957  

6.25%, 10/01/2039

      300,000        373,132  

FirstEnergy Corp.

      

2.85%, 07/15/2022

      1,124,000        1,152,043  

3.40%, 03/01/2050

      3,305,000        3,203,240  

3.90%, 07/15/2027

      4,137,000        4,546,293  

4.25%, 03/15/2023

      3,893,000        4,133,198  

4.85%, 07/15/2047

      263,000        316,182  

FirstEnergy Transmission LLC

      

4.55%, 04/01/2049(3)

      1,126,000        1,320,860  

5.45%, 07/15/2044(3)

      4,430,000        5,713,565  

Florida Power & Light Co.

      

3.70%, 12/01/2047

      2,598,000        3,153,729  

5.40%, 09/01/2035

      700,000        985,116  

Fortis, Inc.

      

3.06%, 10/04/2026

      2,291,000        2,503,244  

Indiana Michigan Power Co.

      

3.20%, 03/15/2023

      991,000        1,044,828  

Interstate Power and Light Co

      

2.30%, 06/01/2030

      2,975,000        3,145,260  

Israel Electric Corp. Ltd.

      

5.00%, 11/12/2024(3)

      3,288,000        3,699,000  

6.88%, 06/21/2023(3)

      2,340,000        2,679,126  

ITC Holdings Corp.

      

2.70%, 11/15/2022

      10,512,000        10,963,273  

2.95%, 05/14/2030(3)

      890,000        956,405  

Jersey Central Power & Light Co.

      

4.30%, 01/15/2026(3)

      740,000        845,798  

6.15%, 06/01/2037

      400,000        532,741  

John Sevier Combined Cycle Generation LLC

      

4.63%, 01/15/2042

      424,268        542,018  

Kansas City Power & Light Co.

      

3.15%, 03/15/2023

      375,000        396,736  

4.20%, 03/15/2048

      500,000        628,224  

5.30%, 10/01/2041

      1,032,000        1,373,032  

KeySpan Gas East Corp.

      

2.74%, 08/15/2026(3)

      538,000        591,560  

Massachusetts Electric Co.

      

4.00%, 08/15/2046(3)

      624,000        744,291  

Mega Advance Investments Ltd.

      

5.00%, 05/12/2021(3)

      591,000        602,513  

MidAmerican Energy Co.

      

3.50%, 10/15/2024

      317,000        350,536  

Mid-Atlantic Interstate Transmission LLC

      

4.10%, 05/15/2028(3)

      9,900,000        11,181,659  

National Rural Utilities Cooperative Finance Corp.

      

2.95%, 02/07/2024

      341,000        366,440  

3.05%, 04/25/2027

      462,000        515,041  

8.00%, 03/01/2032

      791,000        1,263,342  

Nevada Power Co.

      

2.40%, 05/01/2030

      3,306,000        3,548,851  

5.38%, 09/15/2040

      261,000        350,922  

5.45%, 05/15/2041

      386,000        520,245  

New England Power Co.

      

3.80%, 12/05/2047(3)

      6,995,000        8,160,984  

New York State Electric & Gas Corp.

      

3.25%, 12/01/2026(3)

      804,000        903,827  

NextEra Energy Capital Holdings, Inc.

      

2.25%, 06/01/2030

      7,955,000        8,278,763  

2.80%, 01/15/2023

      3,671,000        3,854,620  

Niagara Mohawk Power Corp.

      

1.96%, 06/27/2030(3)

      2,150,000        2,210,597  

3.51%, 10/01/2024(3)

      258,000        282,671  

NiSource, Inc.

      

0.95%, 08/15/2025

      11,176,000        11,162,036  

1.70%, 02/15/2031

      7,899,000        7,754,129  

2.95%, 09/01/2029

      1,520,000        1,648,314  

3.60%, 05/01/2030

      5,934,000        6,757,167  

3.95%, 03/30/2048

      4,480,000        5,198,295  

5.80%, 02/01/2042

      774,000        1,051,905  

Northern States Power Co.

      

3.60%, 09/15/2047

      2,395,000        2,836,744  

4.13%, 05/15/2044

      1,480,000        1,860,211  

NRG Energy, Inc.

      

4.45%, 06/15/2029(3)

      1,155,000        1,273,906  

Ohio Power Co.

      

4.15%, 04/01/2048

      1,190,000        1,478,539  

Oncor Electric Delivery Co. LLC

      

3.10%, 09/15/2049

      1,895,000        2,076,605  

5.75%, 03/15/2029

      124,000        162,869  

Pacific Gas & Electric Co.

      

1.75%, 06/16/2022

      8,056,000        8,063,784  

3.15%, 01/01/2026

      4,886,000        5,012,602  

4.00%, 12/01/2046

      1,573,000        1,472,180  

4.25%, 08/01/2023

      2,482,000        2,643,509  

4.45%, 04/15/2042

      1,905,000        1,902,758  

PECO Energy Co.

      

2.38%, 09/15/2022

      578,000        597,245  

2.80%, 06/15/2050

      860,000        889,672  

3.70%, 09/15/2047

      2,120,000        2,561,963  

3.90%, 03/01/2048

      5,235,000        6,482,340  

4.15%, 10/01/2044

      353,000        440,076  

Pennsylvania Electric Co.

      

3.25%, 03/15/2028(3)

      2,386,000        2,589,726  

Pepco Holdings LLC

      

7.45%, 08/15/2032

      222,000        315,241  

Perusahaan Listrik Negara PT

      

4.88%, 07/17/2049(3)

      1,541,000        1,691,248  

5.50%, 11/22/2021(3)

      1,959,000        2,051,563  

PNM Resources, Inc.

      

3.25%, 03/09/2021

      165,000        166,875  

Potomac Electric Power Co.

      

6.50%, 11/15/2037

      136,000        205,071  

PPL Capital Funding, Inc.

      

4.00%, 09/15/2047

      200,000        229,612  

4.13%, 04/15/2030

      2,767,000        3,265,389  

4.20%, 06/15/2022

      1,082,000        1,140,555  

PPL Electric Utilities Corp.

      

2.50%, 09/01/2022

      178,000        184,457  

3.00%, 10/01/2049

      2,105,000        2,262,457  

4.13%, 06/15/2044

      208,000        254,106  

Progress Energy, Inc.

      

3.15%, 04/01/2022

      389,000        401,654  

4.40%, 01/15/2021

      390,000        391,318  

7.75%, 03/01/2031

      3,031,000        4,422,688  

PSEG Power LLC

      

3.00%, 06/15/2021

      2,310,000        2,347,485  

Public Service Co. of Colorado

      

3.55%, 06/15/2046

      353,000        400,472  

4.10%, 06/15/2048

      2,515,000        3,224,929  

Public Service Co. of Oklahoma

      

4.40%, 02/01/2021

      203,000        205,523  

6.63%, 11/15/2037

      649,000        934,699  

Public Service Electric & Gas Co.

      

3.15%, 08/15/2024

      1,000,000        1,082,051  

3.60%, 12/01/2047

      1,605,000        1,894,463  

5.38%, 11/01/2039

      117,000        163,157  

Public Service Enterprise Group, Inc.

      

0.80%, 08/15/2025

      4,041,000        4,013,393  

1.60%, 08/15/2030

      8,395,000        8,255,911  

Puget Energy, Inc.

      

3.65%, 05/15/2025

      1,200,000        1,288,119  

RGS I&M Funding Corp.

      

9.82%, 06/07/2022

      63,213        65,089  

San Diego Gas & Electric Co.

      

1.70%, 10/01/2030

      7,632,000        7,569,910  

3.75%, 06/01/2047

      1,737,000        1,996,323  

3.95%, 11/15/2041

      310,000        349,489  

4.15%, 05/15/2048

      1,693,000        2,056,505  

5.35%, 05/15/2040

      3,430,000        4,499,662  

6.00%, 06/01/2026

      213,000        260,165  

Sempra Energy

      

4.05%, 12/01/2023

      10,325,000        11,298,390  

6.00%, 10/15/2039

      752,000        1,035,488  

Southern California Edison Co.

      

1.85%, 02/01/2022

      72,000        72,083  

3.50%, 10/01/2023

      328,000        351,514  

3.65%, 03/01/2028

      1,200,000        1,320,435  

3.65%, 02/01/2050

      2,793,000        2,901,692  

3.70%, 08/01/2025

      1,086,000        1,207,766  

3.90%, 12/01/2041

      392,000        400,944  

4.05%, 03/15/2042

      800,000        861,723  

4.13%, 03/01/2048

      1,880,000        2,055,079  

6.05%, 03/15/2039

      253,000        325,993  

Southern California Gas Co.

      

2.55%, 02/01/2030

      2,621,000        2,825,689  

Southern Co.

      

3.25%, 07/01/2026

      218,000        243,154  

Southern Co. Gas Capital Corp.

      

2.45%, 10/01/2023

      230,000        241,744  

3.25%, 06/15/2026

      225,000        247,460  

3.50%, 09/15/2021

      530,000        541,314  

3.95%, 10/01/2046

      282,000        314,849  

4.40%, 06/01/2043

      160,000        189,922  

5.88%, 03/15/2041

      1,210,000        1,664,899  

Southern Power Co.

      

5.15%, 09/15/2041

      746,000        877,642  

Southwest Gas Corp.

      

3.80%, 09/29/2046

      508,000        560,045  

Southwestern Public Service Co.

      

4.50%, 08/15/2041

      350,000        439,653  

Talent Yield Investments Ltd.

      

4.50%, 04/25/2022(3)

      715,000        745,070  

Toledo Edison Co.

      

6.15%, 05/15/2037

      680,000        970,085  

Tri-State Generation & Transmission Association, Inc.

      

4.25%, 06/01/2046

      371,000        427,539  

Union Electric Co.

      

2.95%, 06/15/2027

      715,000        788,075  

3.65%, 04/15/2045

      1,370,000        1,599,740  

Virginia Electric & Power Co.

      

3.45%, 02/15/2024

      191,000        207,062  

3.50%, 03/15/2027

      4,955,000        5,636,768  

4.45%, 02/15/2044

      126,000        163,962  

4.60%, 12/01/2048

      1,705,000        2,322,650  

4.65%, 08/15/2043

      3,500,000        4,599,248  

Vistra Operations Co. LLC

      

3.55%, 07/15/2024(3)

      8,460,000        9,010,890  

WEC Energy Group, Inc.

      

3.55%, 06/15/2025

      865,000        970,573  

Westar Energy, Inc.

      

4.13%, 03/01/2042

      4,175,000        5,032,680  

Wisconsin Electric Power Co.

      

3.10%, 06/01/2025

      285,000        311,190  

Xcel Energy, Inc.

      

2.40%, 03/15/2021

      250,000        251,929  

3.35%, 12/01/2026

      5,105,000        5,749,488  
     

 

 

  

Total Utilities

 

      555,392,477  
     

 

 

  

Total Corporate Bonds (Cost: $4,735,299,424)

         5,098,877,253  
     

 

 

  

Government Related – 16.08%

      

Other Government Related – 2.25%

      

Abu Dhabi Government International Bond

      

0.75%, 09/02/2023(3)

      7,424,000        7,414,720  

1.70%, 03/02/2031(3)

      4,559,000        4,509,827  

Alabama Economic Settlement Authority

      

4.26%, 09/15/2032

      610,000        727,895  

American Municipal Power, Inc.

      

7.50%, 02/15/2050

      1,350,000        2,272,293  

Atlanta Independent School System

      

5.56%, 03/01/2026

      535,000        659,227  

Bay Area Toll Authority

      

2.57%, 04/01/2031

      6,700,000        7,268,562  

6.26%, 04/01/2049

      1,650,000        2,811,105  

Bermuda Government International Bond

      

2.38%, 08/20/2030(3)

      1,765,000        1,784,856  

California Qualified School Bond Joint Powers Authority

      

7.16%, 03/01/2027

      805,000        964,470  

City of Houston TX Combined Utility System Revenue

      

3.83%, 05/15/2028

      1,850,000        2,116,659  

City of Los Angeles Department of Airports

      

6.58%, 05/15/2039

      1,650,000        2,257,101  

Clark County School District

      

5.51%, 06/15/2024

      3,000,000        3,212,280  

Colombia Government International Bond

      

3.88%, 04/25/2027

      4,746,000        5,118,608  

4.00%, 02/26/2024

      737,000        785,826  

4.13%, 05/15/2051

      1,050,000        1,090,950  

4.38%, 07/12/2021

      1,000,000        1,027,500  

4.50%, 01/28/2026

      1,192,000        1,318,650  

5.00%, 06/15/2045

      2,872,000        3,345,880  

5.63%, 02/26/2044

      200,000        247,800  

7.38%, 09/18/2037

      2,150,000        3,023,438  

Corp. Andina de Fomento

      

2.13%, 09/27/2021

      2,630,000        2,662,901  

2.75%, 01/06/2023

      1,125,000        1,171,328  

3.25%, 02/11/2022

      1,230,000        1,268,622  

4.38%, 06/15/2022

      2,735,000        2,888,871  

County of Cuyahoga OH

      

9.13%, 10/01/2023

      105,000        115,919  

District of Columbia Water & Sewer Authority

      

4.81%, 10/01/2114

      875,000        1,309,893  

Eaton Community City School District

      

5.39%, 08/25/2027

      275,000        275,602  

Export-Import Bank of India

      

3.88%, 02/01/2028(3)

      3,480,000        3,654,493  

Fannie Mae

      

0.88%, 08/05/2030

      3,585,000        3,525,682  

1.63%, 01/07/2025

      6,247,000        6,581,630  

1.88%, 09/24/2026

      520,000        562,257  

2.25%, 04/12/2022

      6,542,000        6,753,400  

2.63%, 09/06/2024

      5,221,000        5,699,714  

6.25%, 05/15/2029

      630,000        911,235  

6.63%, 11/15/2030(6)

      2,300,000        3,531,516  

7.13%, 01/15/2030(4)(6)

      1,500,000        2,320,641  

Fannie Mae Principal Strip

      

0.00%, 05/15/2030

      929,000        827,003  

Federal Home Loan Banks

      

4.00%, 10/24/2029(4)

      2,000,000        2,538,008  

Federal Home Loan Mortgage Corp.

      

6.25%, 07/15/2032

      3,709,000        5,810,639  

6.75%, 09/15/2029

      625,000        944,573  

Finnvera OYJ

      

2.38%, 06/04/2025(3)

      600,000        649,290  

Hydro-Quebec

      

8.05%, 07/07/2024

      638,000        809,340  

8.40%, 01/15/2022

      826,000        908,898  

9.40%, 02/01/2021

      186,000        191,485  

Indonesia Government International Bond

      

4.13%, 01/15/2025(3)

      1,325,000        1,478,682  

4.45%, 02/11/2024

      1,130,000        1,250,916  

5.88%, 01/15/2024(3)

      1,300,000        1,495,775  

Iowa Tobacco Settlement Authority

      

6.50%, 06/01/2023

      645,000        651,431  

Israel Government AID Bond

      

0.00%, 09/15/2023

      1,837,000        1,805,757  

0.00%, 11/01/2024

      1,000,000        973,744  

5.50%, 09/18/2033

      619,000        926,863  

Japan Finance Organization for Municipalities

      

1.75%, 09/05/2024(3)

      200,000        208,649  

2.13%, 04/13/2021(3)

      400,000        403,507  

2.13%, 10/25/2023(3)

      3,400,000        3,560,569  

2.63%, 04/20/2022(3)

      6,000,000        6,198,600  

3.25%, 04/24/2023(3)

      1,000,000        1,068,806  

Korea Gas Corp.

      

4.25%, 11/02/2020(3)

      279,000        279,840  

Los Angeles Department of Water & Power Power System Revenue

      

6.60%, 07/01/2050

      2,400,000        4,295,136  

Mexico Government International Bond

      

3.60%, 01/30/2025

      868,000        933,673  

3.75%, 01/11/2028

      3,517,000        3,781,232  

4.13%, 01/21/2026

      1,014,000        1,126,808  

4.35%, 01/15/2047

      42,000        43,386  

4.50%, 01/31/2050

      1,275,000        1,345,125  

4.60%, 01/23/2046

      1,494,000        1,601,224  

4.60%, 02/10/2048

      1,482,000        1,573,158  

4.75%, 03/08/2044

      450,000        490,950  

5.00%, 04/27/2051

      5,568,000        6,213,888  

5.75%, 10/12/2110

      588,000        677,970  

New Hampshire Housing Finance Authority

      

3.05%, 01/01/2021

      95,000        95,391  

3.75%, 07/01/2034

      65,000        66,152  

New Jersey Transportation Trust Fund Authority

      

4.13%, 06/15/2042

      1,100,000        1,048,366  

5.75%, 12/15/2028

      5,100,000        5,761,470  

New Jersey Turnpike Authority

      

7.10%, 01/01/2041

      5,870,000        9,642,003  

New York State Dormitory Authority

      

3.19%, 02/15/2043

      6,730,000        7,326,749  

5.60%, 03/15/2040

      260,000        374,187  

New York State Urban Development Corp.

      

5.84%, 03/15/2040

      2,000,000        2,701,400  

North American Development Bank

      

2.40%, 10/26/2022

      684,000        707,458  

North Carolina Housing Finance Agency

      

3.00%, 01/01/2033

      1,410,000        1,424,523  

North Carolina State Education Assistance Authority

      

1.04% (3 Month LIBOR USD + 0.80%), 07/25/2036(2)

      8,600,000        8,466,012  

Ohio State University

      

4.05%, 12/01/2056

      406,000        539,968  

4.80%, 06/01/2111

      1,102,000        1,613,482  

Panama Government International Bond

      

2.25%, 09/29/2032

      3,201,000        3,233,010  

3.87%, 07/23/2060

      859,000        983,555  

4.50%, 04/16/2050

      1,610,000        2,014,513  

Peruvian Government International Bond

      

2.39%, 01/23/2026

      3,967,000        4,155,433  

5.63%, 11/18/2050

      190,000        302,575  

Port Authority of New York & New Jersey

      

1.09%, 07/01/2023

      4,715,000        4,782,566  

4.46%, 10/01/2062

      2,065,000        2,641,445  

5.65%, 11/01/2040

      435,000        608,730  

5.65%, 11/01/2040

      1,260,000        1,763,219  

Province of Manitoba Canada

      

2.13%, 06/22/2026

      400,000        430,862  

2.60%, 04/16/2024

      110,000        118,064  

Qatar Government International Bond

      

2.38%, 06/02/2021(3)

      829,000        837,290  

3.40%, 04/16/2025(3)

      6,388,000        7,001,120  

4.40%, 04/16/2050(3)

      1,241,000        1,596,795  

4.82%, 03/14/2049(3)

      1,200,000        1,615,740  

5.10%, 04/23/2048(3)

      3,140,000        4,362,025  

Regents of the University of California Medical Center Pooled Revenue

      

3.71%, 05/15/2120

      3,270,000        3,467,116  

Republic of South Africa Government International Bond

      

5.88%, 09/16/2025

      403,000        430,718  

Resolution Funding Corp. Interest Strip

      

0.00%, 10/15/2027

      1,295,000        1,233,779  

Rhode Island Housing & Mortgage Finance Corp.

      

4.00%, 10/01/2023

      2,865,000        2,985,874  

Romanian Government International Bond

      

5.13%, 06/15/2048(3)

      5,000,000        6,091,600  

6.75%, 02/07/2022

      250,000        269,113  

Saudi Government International Bond

      

2.88%, 03/04/2023(3)

      5,560,000        5,804,529  

4.00%, 04/17/2025(3)

      3,200,000        3,555,200  

St Johns County Industrial Development Authority

      

2.54%, 10/01/2030

      10,000,000        10,181,400  

State of California

      

7.30%, 10/01/2039

      275,000        451,622  

7.50%, 04/01/2034

      5,540,000        9,207,203  

State of Illinois

      

5.00%, 10/01/2022

      685,000        717,339  

5.00%, 11/01/2022

      10,340,000        10,766,628  

5.10%, 06/01/2033

      5,450,000        5,507,716  

Tennessee Valley Authority

      

0.75%, 05/15/2025

      5,562,000        5,662,360  

2.88%, 02/01/2027

      1,000,000        1,136,007  

4.25%, 09/15/2065

      1,720,000        2,608,487  

4.63%, 09/15/2060

      1,308,000        2,056,159  

5.50%, 06/15/2038

      57,000        89,012  

5.88%, 04/01/2036

      2,967,000        4,638,487  

7.13%, 05/01/2030

      1,615,000        2,508,297  

Tennessee Valley Authority Generic Strip

      

0.00%, 07/15/2028

      2,000,000        1,826,217  

0.00%, 03/15/2032

      1,514,000        1,281,666  

Tennessee Valley Authority Principal Strip

      

0.00%, 11/01/2025

      1,847,000        1,781,900  

0.00%, 06/15/2035

      258,000        200,101  

Texas Private Activity Bond Surface Transportation Corp.

      

3.92%, 12/31/2049

      1,810,000        2,048,811  

Three Rivers Local School District

      

5.21%, 09/15/2027

      285,000        286,721  

Tokyo Metropolitan Government

      

2.00%, 05/17/2021(3)

      2,400,000        2,418,984  

2.50%, 06/08/2022(3)

      5,000,000        5,159,684  

3.25%, 06/01/2023(3)

      1,200,000        1,283,377  

University of Missouri

      

5.96%, 11/01/2039

      3,445,000        4,887,008  

University of Virginia

      

4.18%, 09/01/2117

      1,540,000        2,157,663  

Uruguay Government International Bond

      

4.98%, 04/20/2055

      2,590,000        3,444,700  

5.10%, 06/18/2050

      1,150,000        1,542,438  

West Contra Costa Unified School District

      

6.25%, 08/01/2030

      215,000        291,519  

Westlake City School District

      

5.23%, 12/01/2026

      430,000        432,408  
     

 

 

  

Total Other Government Related

 

      334,882,222  
     

 

 

  

U.S. Treasury Obligations – 13.83%

      

U.S. Treasury Inflation Indexed Bonds

      

0.13%, 01/15/2022(7)

      2,543,679        2,583,672  

1.75%, 01/15/2028(7)

      742,068        903,448  

2.50%, 01/15/2029(7)

      498,413        650,740  

3.63%, 04/15/2028(7)

      1,670,844        2,289,970  

U.S. Treasury Note/Bond

      

0.13%, 07/31/2022

      1,697,000        1,696,669  

0.13%, 08/31/2022

      35,753,000        35,743,224  

0.13%, 09/30/2022

      60,000        59,993  

0.13%, 08/15/2023

      23,491,000        23,467,142  

0.13%, 09/15/2023

      19,887,000        19,868,356  

0.25%, 05/31/2025

      3,089,000        3,088,517  

0.25%, 06/30/2025

      3,339,000        3,336,913  

0.25%, 07/31/2025

      23,299,000        23,277,157  

0.25%, 08/31/2025

      15,405,000        15,389,354  

0.25%, 09/30/2025

      32,465,000        32,421,883  

0.38%, 09/30/2027

      16,162,000        16,053,412  

0.63%, 08/15/2030

      4,790,000        4,762,308  

1.13%, 02/28/2021

      8,000,000        8,031,250  

1.13%, 05/15/2040

      6,910,000        6,800,952  

1.13%, 08/15/2040

      9,650,000        9,469,062  

1.25%, 05/15/2050

      57,123,000        54,132,968  

1.38%, 10/31/2020

      1,050,000        1,051,091  

1.38%, 08/31/2023

      12,000,000        12,424,687  

1.50%, 01/31/2022

      1,250,000        1,272,559  

1.63%, 10/31/2023

      25,000,000        26,125,000  

1.63%, 08/15/2029

      56,230,000        61,202,841  

1.75%, 02/28/2022

      37,900,000        38,760,152  

1.75%, 03/31/2022

      53,000,000        54,275,312  

1.75%, 01/31/2023

      12,000,000        12,447,656  

1.75%, 05/15/2023

      17,221,000        17,938,766  

1.75%, 12/31/2024

      36,232,800        38,556,794  

1.75%, 12/31/2026

      2,230,000        2,416,588  

1.88%, 11/30/2021

      11,500,000        11,730,898  

1.88%, 04/30/2022

      2,000,000        2,054,844  

2.00%, 11/30/2020

      1,000,000        1,003,097  

2.00%, 06/30/2024

      543,000        579,483  

2.00%, 08/15/2025

      150,100        162,618  

2.00%, 11/15/2026

      42,225,000        46,341,938  

2.00%, 02/15/2050

      42,044,000        47,555,706  

2.13%, 08/15/2021

      2,805,000        2,853,320  

2.13%, 12/31/2022

      20,450,000        21,359,865  

2.13%, 02/29/2024

      10,842,000        11,559,012  

2.25%, 04/30/2021

      1,800,000        1,821,938  

2.25%, 11/15/2024

      20,529,000        22,229,058  

2.25%, 11/15/2025

      81,096,000        89,126,405  

2.25%, 11/15/2027

      35,300,000        39,682,164  

2.25%, 08/15/2046

      26,502,100        31,296,289  

2.25%, 08/15/2049

      9,259,000        11,010,615  

2.38%, 11/15/2049

      8,832,000        10,782,975  

2.50%, 05/15/2024

      34,388,000        37,247,846  

2.50%, 02/15/2045

      87,800,000        108,059,164  

2.63%, 11/15/2020

      4,596,000        4,610,127  

2.63%, 05/15/2021

      5,277,800        5,359,235  

2.63%, 01/31/2026

      25,000,000        28,051,758  

2.75%, 05/31/2023

      1,737,000        1,856,826  

2.75%, 02/15/2024

      1,000,000        1,086,523  

2.75%, 11/15/2042

      1,200,000        1,536,516  

2.75%, 08/15/2047

      6,887,000        8,938,842  

2.75%, 11/15/2047

      6,648,000        8,639,024  

2.88%, 04/30/2025

      840,000        940,341  

2.88%, 05/31/2025

      5,392,000        6,045,780  

2.88%, 05/15/2043

      97,710,000        127,580,252  

2.88%, 08/15/2045

      7,800,000        10,247,555  

2.88%, 05/15/2049

      55,336,000        74,087,555  

3.00%, 11/15/2044

      44,590,000        59,578,162  

3.00%, 05/15/2047

      3,861,000        5,230,599  

3.00%, 02/15/2048

      870,000        1,182,282  

3.00%, 02/15/2049

      2,144,000        2,930,747  

3.13%, 05/15/2021

      4,592,000        4,677,382  

3.13%, 11/15/2028

      52,350,000        63,055,166  

3.13%, 02/15/2043

      27,100,000        36,719,441  

3.13%, 05/15/2048

      24,938,000        34,669,665  

3.38%, 05/15/2044

      49,980,000        70,524,513  

3.38%, 11/15/2048

      30,280,000        44,056,217  

3.63%, 08/15/2043

      16,350,000        23,837,789  

3.63%, 02/15/2044

      32,750,000        47,854,658  

3.75%, 11/15/2043

      51,815,000        76,969,563  

4.38%, 11/15/2039

      11,454,000        17,895,533  

4.38%, 05/15/2041

      1,500,000        2,373,867  

4.75%, 02/15/2037

      23,248,000        36,631,038  

5.00%, 05/15/2037

      8,604,000        13,939,488  

8.00%, 11/15/2021

      4,414,000        4,801,604  

8.13%, 05/15/2021

      1,718,000        1,802,960  

U.S. Treasury Strip Coupon

      

0.00%, 08/15/2021

      9,469,000        9,456,852  

0.00%, 11/15/2021

      4,679,000        4,670,124  

0.00%, 02/15/2022

      25,367,000        25,305,775  

0.00%, 05/15/2022

      18,154,000        18,112,128  

0.00%, 08/15/2022

      4,975,000        4,961,180  

0.00%, 11/15/2022

      25,950,000        25,860,654  

0.00%, 08/15/2023

      22,550,000        22,416,115  

0.00%, 11/15/2023

      23,218,000        23,046,229  

0.00%, 02/15/2024

      12,206,000        12,104,879  

0.00%, 05/15/2024

      21,322,000        21,108,819  

0.00%, 08/15/2024

      1,834,000        1,813,208  

0.00%, 11/15/2024

      6,105,000        6,029,124  

0.00%, 02/15/2025

      799,000        787,259  

0.00%, 05/15/2025

      3,279,000        3,223,544  

0.00%, 08/15/2027

      4,314,000        4,152,073  

0.00%, 11/15/2027

      4,607,000        4,415,581  

0.00%, 02/15/2031

      12,590,000        11,476,681  

0.00%, 11/15/2034

      2,487,000        2,120,172  

0.00%, 02/15/2035

      1,824,000        1,549,709  

0.00%, 05/15/2035

      1,920,000        1,623,559  

0.00%, 08/15/2035

      175,000        147,108  

0.00%, 05/15/2036

      121,000        100,329  

0.00%, 05/15/2039

      455,000        355,724  

0.00%, 08/15/2041

      1,225,000        911,715  

0.00%, 11/15/2043

      4,090,000        2,886,473  
     

 

 

  

Total U.S. Treasury Obligations

 

      2,063,301,693  
     

 

 

  

Total Government Related (Cost: $2,172,943,643)

         2,398,183,915  
     

 

 

  

Mortgage-Backed Obligations – 35.40%

      

20 Times Square Trust 2018-20TS

      

3.20%, 05/15/2035(3)(4)

      5,204,000        4,979,854  

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

      1,847,489        1,901,722  

Alternative Loan Trust 2004-2CB

      

5.75%, 03/25/2034

      469,316        474,570  

Alternative Loan Trust 2004-8CB

      

0.42% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2034(2)

      93,083        93,037  

Alternative Loan Trust 2005-1CB

      

6.95% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035(2)(8)

      140,733        23,338  

Alternative Loan Trust 2005-20CB

      

4.60% (1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035(2)(8)

      473,899        71,501  

Alternative Loan Trust 2005-22T1

      

4.92% (1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035(2)(8)

      538,465        95,156  

Alternative Loan Trust 2005-28CB

      

5.50%, 08/25/2035

      195,564        193,871  

6.00%, 08/25/2035

      6,903        4,642  

Alternative Loan Trust 2005-37T1

      

4.90% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035(2)(8)

      1,864,087        318,165  

Alternative Loan Trust 2005-50CB

      

5.00%, 11/25/2020

      2,377        2,242  

Alternative Loan Trust 2005-54CB

      

4.70% (1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035(2)(8)

      724,612        121,392  

5.50%, 11/25/2035

      2,558        2,532  

5.50%, 11/25/2035

      183,404        175,814  

Alternative Loan Trust 2005-64CB

      

5.50%, 12/25/2035

      77,026        75,186  

Alternative Loan Trust 2006-28CB

      

6.00%, 10/25/2036

      63,209        46,103  

Alternative Loan Trust 2006-43CB

      

6.00%, 02/25/2022

      3,365        3,364  

American General Mortgage Loan Trust 2006-1

      

5.75%, 12/25/2035(3)(4)

      2,312        2,417  

Antler Mortgage Trust 2018-RTL1

      

4.34%, 07/25/2022(3)

      7,871,920        7,888,573  

ASG Resecuritization Trust 2011-1

      

6.00%, 09/28/2036(3)

      146,141        140,234  

Assurant Commercial Mortgage Trust 2016-1

      

3.17%, 05/15/2049(3)

      9,100,000        9,639,685  

BAMLL Commercial Mortgage Securities Trust 2012-PARK

      

2.96%, 12/10/2030(3)

      809,000        844,576  

BAMLL Commercial Mortgage Securities Trust 2014-520M

      

4.35%, 08/15/2046(3)(4)

      1,200,000        1,290,304  

BAMLL Re-REMIC Trust 2013-FRR2

      

0.00%, 09/26/2022(3)

      4,000,000        3,693,507  

BAMLL Re-REMIC Trust 2014-FRR5

      

0.00%, 06/27/2045(3)

      6,300,000        5,808,885  

Banc of America Alternative Loan Trust 2004-6

      

0.00%, 07/25/2049

      964        762  

Banc of America Alternative Loan Trust 2005-10

      

5.25%, 11/25/2020

      47        47  

Banc of America Alternative Loan Trust 2005-11

      

5.50%, 12/25/2035

      8,395        8,407  

Banc of America Alternative Loan Trust 2005-5

      

5.50%, 06/25/2035

      28,084        28,374  

Banc of America Alternative Loan Trust 2005-9

      

5.50%, 10/25/2035

      13,491        13,365  

Banc of America Alternative Loan Trust 2006-5

      

6.00%, 06/25/2046

      30,697        29,736  

Banc of America Alternative Loan Trust 2007-1

      

4.67%, 04/25/2022(4)

      15,263        14,528  

Banc of America Commercial Mortgage Trust 2006-5

      

0.88%, 09/10/2047(3)(4)

      115,528        562  

Banc of America Funding 2004-1 Trust

      

0.00%, 03/25/2034

      21,544        17,204  

Banc of America Funding 2004-2 Trust

      

5.75%, 09/20/2034

      1,559,210        1,684,139  

Banc of America Funding 2004-C Trust

      

4.41%, 12/20/2034(4)

      33,849        33,709  

Banc of America Funding 2005-6 Trust

      

5.50%, 10/25/2035

      21,708        21,041  

Banc of America Funding 2005-7 Trust

      

0.00%, 11/25/2035

      20,356        18,613  

Banc of America Funding 2005-8 Trust

      

0.00%, 01/25/2036

      8,669        6,492  

Banc of America Funding 2005-C Trust

      

0.40% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035(2)

      1,571,996        1,567,137  

Banc of America Funding 2005-E Trust

      

3.77%, 03/20/2035(4)

      5,933        6,030  

Banc of America Funding 2006-1 Trust

      

0.00%, 01/25/2036

      12,156        8,812  

Banc of America Mortgage 2003-C Trust

      

4.00%, 04/25/2033(4)

      11,223        11,071  

BANK 2017-BNK4

      

3.63%, 05/15/2050

      6,790,000        7,722,721  

BANK 2017-BNK8

      

3.49%, 11/15/2050

      12,745,000        14,564,751  

BANK 2017-BNK9

      

3.54%, 11/15/2054

      6,100,000        6,950,250  

BANK 2019-BNK21

      

2.85%, 10/17/2052

      2,742,000        3,031,605  

BANK 2020-BNK27

      

2.14%, 04/15/2063

      1,538,000        1,613,906  

BANK 2020-BNK28

      

1.84%, 03/15/2063

      2,047,000        2,100,545  

BBCMS Mortgage Trust 2018-C2

      

4.05%, 12/15/2051

      20,000,000        23,176,072  

BB-UBS Trust

      

2.89%, 06/05/2030(3)

      568,000        538,703  

BB-UBS Trust 2012-SHOW

      

3.43%, 11/05/2036(3)

      4,602,000        4,457,669  

BCAP LLC 2009-RR5 Trust

      

5.50%, 11/26/2034(3)(4)

      29,827        30,027  

Bear Stearns ALT-A Trust 2005-7

      

0.69% (1 Month LIBOR USD + 0.54%, 0.27% Floor, 11.50% Cap), 08/25/2035(2)

      174,200        173,792  

Bear Stearns ARM Trust 2003-2

      

3.95%, 01/25/2033(3)(4)

      100,211        99,493  

Bear Stearns ARM Trust 2003-7

      

3.31%, 10/25/2033(4)

      5,579        5,320  

Bear Stearns ARM Trust 2004-2

      

3.68%, 05/25/2034(4)

      43,261        41,349  

Bear Stearns ARM Trust 2006-1

      

3.84% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036(2)

      124,706        125,668  

Bear Stearns Asset Backed Securities I Trust 2004-AC2

      

5.00%, 05/25/2034

      19,072        18,904  

Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14

      

0.75%, 12/11/2038(3)(4)

      316,552        5  

Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26

      

0.01%, 01/12/2045(3)(4)

      10,620,476        3,217  

Bellemeade Re 2018-1 Ltd.

      

1.75% (1 Month LIBOR USD + 1.60%), 04/25/2028(2)(3)

      1,650,270        1,634,032  

Bellemeade Re 2018-2 Ltd.

      

1.50% (1 Month LIBOR USD + 1.35%), 08/25/2028(2)(3)

      171,432        171,279  

1.75% (1 Month LIBOR USD + 1.60%), 08/25/2028(2)(3)

      1,350,000        1,327,429  

Bellemeade Re 2018-3 Ltd.

      

2.00% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028(2)(3)

      1,833,624        1,820,536  

Bellemeade Re 2019-3 Ltd.

      

1.25% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 07/25/2029(2)(3)

      1,211,147        1,208,708  

1.75% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 07/25/2029(2)(3)

      3,600,000        3,520,290  

Bellemeade Re 2020-1 Ltd.

      

2.80% (1 Month LIBOR USD + 2.65%), 06/25/2030(2)(3)

      2,650,000        2,655,447  

3.55% (1 Month LIBOR USD + 3.40%), 06/25/2030(2)(3)

      690,000        699,406  

Bellemeade Re 2020-2 Ltd.

      

2.45% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 08/26/2030(2)(3)

      785,000        785,916  

3.35% (1 Month LIBOR USD + 3.20%, 3.20% Floor), 08/26/2030(2)(3)

      625,000        629,625  

Benchmark 2018-B1 Mortgage Trust

      

2.67%, 12/15/2072

      30,000,000        32,769,894  

Benchmark 2020-B16 Mortgage Trust

      

2.73%, 02/15/2053

      511,000        561,042  

Benchmark 2020-B17 Mortgage Trust

      

2.29%, 03/15/2053

      3,637,000        3,855,643  

Benchmark 2020-B19 Mortgage Trust

      

1.55%, 09/15/2053

      21,500,000        21,656,318  

1.85%, 09/15/2053

      7,572,000        7,776,365  

BX Commercial Mortgage Trust 2020-BXLP

      

0.95% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 12/15/2036(2)(3)

      13,487,655        13,471,393  

CD 2006-CD3 Mortgage Trust

      

0.86%, 10/15/2048(3)(4)

      2,061,189        7,841  

CD 2007-CD4 Commercial Mortgage Trust

      

1.38%, 12/11/2049(3)(4)

      15,632        491  

CD 2019-CD8 Mortgage Trust

      

2.66%, 08/15/2057

      20,000,000        21,747,794  

Chase Mortgage Finance Trust Series 2006-A1

      

3.25%, 09/25/2036(4)

      102,898        92,649  

Chase Mortgage Finance Trust Series 2007-A1

      

3.17%, 02/25/2037(4)

      52,876        52,443  

3.36%, 02/25/2037(4)

      7,916        7,849  

3.50%, 02/25/2037(4)

      29,611        29,310  

3.77%, 02/25/2037(4)

      27,724        27,231  

Chase Mortgage Finance Trust Series 2007-A2

      

3.52%, 06/25/2035(4)

      22,194        21,307  

3.53%, 06/25/2035(4)

      42,087        41,718  

CHL Mortgage Pass-Through Trust 2002-18

      

0.00%, 11/25/2032

      6,266        5,704  

CHL Mortgage Pass-Through Trust 2004-3

      

5.50%, 04/25/2034

      24,638        25,117  

5.75%, 04/25/2034

      16,786        17,151  

CHL Mortgage Pass-Through Trust 2004-5

      

5.50%, 06/25/2034

      105,849        109,520  

CHL Mortgage Pass-Through Trust 2004-7

      

3.56%, 06/25/2034(4)

      6,148        6,373  

CHL Mortgage Pass-Through Trust 2004-8

      

4.50%, 06/25/2021

      1,517        1,562  

CHL Mortgage Pass-Through Trust 2004-HYB1

      

3.27%, 05/20/2034(4)

      8,824        8,684  

CHL Mortgage Pass-Through Trust 2004-HYB3

      

3.00%, 06/20/2034(4)

      57,205        56,042  

CHL Mortgage Pass-Through Trust 2004-HYB6

      

3.18%, 11/20/2034(4)

      32,623        32,765  

CHL Mortgage Pass-Through Trust 2005-14

      

5.50%, 07/25/2035

      19,949        17,086  

CHL Mortgage Pass-Through Trust 2005-16

      

5.50%, 09/25/2035

      7,590        6,829  

CHL Mortgage Pass-Through Trust 2005-22

      

3.35%, 11/25/2035(4)

      137,339        127,205  

CIM Trust 2017-6

      

3.02%, 06/25/2057(3)(4)

      3,842,643        3,879,599  

CIM Trust 2017-8

      

3.00%, 12/25/2065(3)(4)

      6,889,891        6,911,291  

Citicorp Mortgage Securities Trust Series 2006-1

      

5.00%, 02/25/2021

      1,495        1,509  

Citicorp Mortgage Securities Trust Series 2006-4

      

6.00%, 08/25/2036

      44,459        45,583  

Citigroup Commercial Mortgage Trust 2014-GC19

      

3.75%, 03/10/2047

      3,833,033        4,130,439  

Citigroup Commercial Mortgage Trust 2014-GC21

      

3.58%, 05/10/2047

      3,225,515        3,458,524  

Citigroup Commercial Mortgage Trust 2014-GC23

      

3.36%, 07/10/2047

      9,634,692        10,358,029  

Citigroup Commercial Mortgage Trust 2015-GC29

      

2.94%, 04/10/2048

      10,000,000        10,565,007  

Citigroup Commercial Mortgage Trust 2015-GC33

      

3.78%, 09/10/2058

      717,000        802,359  

Citigroup Commercial Mortgage Trust 2016-C1

      

2.94%, 05/10/2049

      10,100,000        10,790,707  

Citigroup Commercial Mortgage Trust 2016-C3

      

3.15%, 11/15/2049

      2,764,000        3,064,590  

Citigroup Commercial Mortgage Trust 2016-GC37

      

3.05%, 04/10/2049

      13,750,000        14,711,822  

Citigroup Commercial Mortgage Trust 2016-P6

      

3.72%, 12/10/2049(4)

      2,783,000        3,174,503  

Citigroup Commercial Mortgage Trust 2017-P7

      

3.44%, 04/14/2050

      16,000,000        17,938,688  

Citigroup Commercial Mortgage Trust 2017-P8

      

3.20%, 09/15/2050

      21,000,000        23,072,998  

Citigroup Commercial Mortgage Trust 2018-B2

      

3.74%, 03/10/2051

      22,000,000        25,202,903  

Citigroup Commercial Mortgage Trust 2019-C7

      

2.86%, 12/15/2072

      10,000,000        11,089,219  

3.10%, 12/15/2072

      5,196,000        5,861,969  

Citigroup Commercial Mortgage Trust 2020-GC46

      

2.72%, 02/15/2053

      13,520,000        14,791,035  

Citigroup Global Markets Mortgage Securities VII, Inc.

      

0.00%, 06/25/2033

      142        129  

2.86%, 09/25/2033(4)

      47,430        47,575  

7.00%, 06/25/2033(1)

      12,923        13,415  

Citigroup Mortgage Loan Trust 2009-10

      

2.79%, 09/25/2033(3)(4)

      152,822        151,721  

Citigroup Mortgage Loan Trust 2015-A

      

4.50%, 06/25/2058(3)(4)

      411,676        414,719  

Citigroup Mortgage Loan Trust 2018-A

      

4.00%, 01/25/2068(3)(4)

      2,189,003        2,198,757  

Citigroup Mortgage Loan Trust, Inc.

      

0.00%, 09/25/2033

      3,914        3,594  

0.00%, 10/25/2033

      2,265        1,968  

2.51%, 02/25/2035(4)

      21,184        18,094  

2.95%, 08/25/2034(4)

      9,287        8,770  

3.00%, 08/25/2035(4)

      60,423        47,620  

5.25%, 10/25/2033

      14,432        14,794  

5.50%, 05/25/2035

      94,880        98,315  

5.50%, 11/25/2035

      1,213        1,209  

6.00%, 11/25/2035

      2,004,149        2,048,771  

7.00%, 09/25/2033

      2,850        2,906  

COBALT CMBS Commercial Mortgage Trust 2006-C1

      

1.09%, 08/15/2048(4)

      443,608        386  

COMM 2012-CCRE1 Mortgage Trust

      

3.39%, 05/15/2045

      3,783,014        3,862,010  

COMM 2012-CCRE2 Mortgage Trust

      

1.79%, 08/15/2045(4)

      2,639,079        58,281  

3.15%, 08/15/2045

      9,614,464        9,930,718  

COMM 2013-300P Mortgage Trust

      

4.35%, 08/10/2030(3)

      516,000        551,580  

COMM 2013-CCRE10 Mortgage Trust

      

3.92%, 08/10/2046

      4,113,981        4,414,446  

COMM 2013-CCRE11 Mortgage Trust

      

4.26%, 08/10/2050

      8,100,000        8,818,620  

COMM 2013-CCRE12 Mortgage Trust

      

3.77%, 10/10/2046

      9,308,032        10,017,677  

COMM 2013-CCRE7 Mortgage Trust

      

3.21%, 03/10/2046

      1,225,913        1,282,217  

COMM 2013-CCRE9 Mortgage Trust

      

4.02%, 07/10/2045

      3,059,736        3,257,051  

COMM 2013-SFS Mortgage Trust

      

3.09%, 04/12/2035(3)(4)

      708,000        697,350  

COMM 2014-CCRE15 Mortgage Trust

      

2.93%, 02/10/2047

      1,799,555        1,822,373  

COMM 2014-CCRE19 Mortgage Trust

      

3.80%, 08/10/2047

      17,769,300        19,507,742  

COMM 2014-CCRE20 Mortgage Trust

      

3.33%, 11/10/2047

      12,000,000        12,814,498  

COMM 2014-UBS4 Mortgage Trust

      

2.96%, 08/10/2047

      417,521        419,811  

COMM 2015-CCRE24 Mortgage Trust

      

3.43%, 08/10/2048

      7,246,822        7,981,120  

3.70%, 08/10/2048

      770,833        862,370  

COMM 2015-CCRE25 Mortgage Trust

      

3.51%, 08/10/2048

      10,685,803        11,575,906  

3.76%, 08/10/2048

      2,437,000        2,725,882  

COMM 2015-LC23 Mortgage Trust

      

3.77%, 10/10/2048

      4,039,090        4,535,033  

COMM 2018-HOME Mortgage Trust

      

3.94%, 04/10/2033(3)(4)

      10,975,000        12,244,124  

COMM 2020-CBM Mortgage Trust

      

3.40%, 02/10/2037(3)

      6,090,000        5,933,153  

Credit Suisse Commercial Mortgage Trust Series 2007-C2

      

0.00%, 01/15/2049(3)(4)

      1,912,407        1  

Credit Suisse First Boston Mortgage Securities Corp.

      

0.00%, 10/25/2033

      35,656        30,001  

3.43%, 03/25/2034(4)

      804,568        859,072  

3.49%, 06/25/2033(4)

      22,909        22,769  

5.25%, 07/25/2033

      912,392        945,789  

5.25%, 09/25/2033

      39,038        40,410  

5.25%, 09/25/2034

      9,388        8,608  

6.72%, 02/25/2033(4)

      65,203        66,430  

CSAIL 2015-C4 Commercial Mortgage Trust

      

3.54%, 11/15/2048

      7,499,370        8,221,637  

CSAIL 2016-C7 Commercial Mortgage Trust

      

3.50%, 11/15/2049

      1,882,000        2,085,656  

CSAIL 2017-C8 Commercial Mortgage Trust

      

3.13%, 06/15/2050

      15,525,000        17,037,990  

CSAIL 2019-C16 Commercial Mortgage Trust

      

3.33%, 06/15/2052

      1,299,000        1,452,479  

CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27

      

5.25%, 11/25/2033

      19,169        19,429  

5.25%, 11/25/2033

      22,079        22,600  

5.75%, 11/25/2033

      233,020        245,270  

CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4

      

5.50%, 09/25/2034

      32,772        34,045  

CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8

      

5.50%, 12/25/2034

      75,334        78,663  

CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10

      

0.00%, 11/25/2035

      7,025        4,977  

CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9

      

0.00%, 10/25/2035

      13,943        11,551  

5.50%, 10/25/2035

      169,500        2,000  

CSMA SFR Holdings II A-1

      

3.50%, 07/25/2023(14)

      6,424,177        6,417,752  

CSMC 2014-USA OA LLC

      

4.37%, 09/15/2037(3)

      3,000,000        2,280,778  

CSMC 2018-RPL7 Trust

      

4.00%, 08/26/2058(3)

      3,270,640        3,321,508  

CSMC 2018-RPL9 Trust

      

3.85%, 09/25/2057(3)(4)

      7,206,971        7,903,349  

CSMC 2020-RPL3 Trust

      

2.69%, 03/25/2060(3)

      3,489,850        3,489,742  

CSMC 2020-WL1 TR Variable REGD 144A

      

2.35% (1 Month LIBOR USD + 1.40%), 12/26/2059(2)(3)(14)

      11,144,027        11,032,586  

CSMC Series 2019-11R

      

1.50% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 09/25/2045(2)(3)

      6,363,473        6,331,638  

CSMCM 2018-RPL4 Trust

      

3.75%, 05/25/2058(3)

      3,522,389        3,581,391  

CSMCM 2018-RPL9 Trust

      

3.93%, 09/25/2057(3)(14)

      2,929,036        2,820,662  

DBJPM 16-C1 Mortgage Trust

      

3.02%, 05/10/2049

      15,000,000        16,351,366  

DBJPM 20-C9 Mortgage Trust

      

1.64%, 09/15/2053

      20,600,000        20,932,402  

DBUBS 2011-LC2 Mortgage Trust

      

1.15%, 07/10/2044(3)(4)

      2,003,255        4,774  

Deephaven Residential Mortgage Trust 2017-1

      

3.49%, 12/26/2046(3)(4)

      158,043        158,804  

Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-1

      

4.92%, 02/25/2021(4)

      10,770        10,707  

Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-3

      

4.27%, 06/25/2021(4)

      16,222        16,160  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4

      

6.15%, 04/25/2034(1)

      90        92  

Eagle RE 2018-1 Ltd.

      

1.88% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/25/2028(2)(3)

      1,514,166        1,511,039  

Eagle RE 2019-1 Ltd.

      

1.95% (1 Month LIBOR USD + 1.80%), 04/25/2029(2)(3)

      866,253        860,545  

Fannie Mae

      

2.00%(9)

      102,841,812        106,058,610  

2.00%, 10/01/2035(9)

      7,075,000        7,351,367  

2.00%, 10/01/2050(9)

      81,075,000        83,811,281  

2.50%, 10/01/2050(9)

      3,899,001        4,089,382  

3.00%, 11/01/2048(9)

      9,000,000        9,429,961  

3.00%, 10/01/2050(9)

      12,690,000        13,293,271  

3.50%, 10/01/2049(9)

      5,635,000        5,940,743  

4.00%, 10/01/2050(9)

      17,300,000        18,448,828  

4.50%, 10/01/2050(9)

      6,945,000        7,512,808  

5.00%, 10/01/2049(9)

      4,970,000        5,445,839  

Fannie Mae Grantor Trust 1999-T2

      

7.50%, 01/19/2039(4)

      57,446        62,817  

Fannie Mae Grantor Trust 2001-T3

      

7.50%, 11/25/2040

      93,451        106,147  

Fannie Mae Grantor Trust 2002-T16

      

7.00%, 07/25/2042

      105,912        129,073  

Fannie Mae Grantor Trust 2004-T1

      

6.50%, 01/25/2044

      20,558        24,299  

Fannie Mae Grantor Trust 2004-T2

      

4.13%, 07/25/2043(4)

      88,743        93,783  

7.50%, 11/25/2043

      176,110        208,811  

Fannie Mae Grantor Trust 2004-T3

      

6.50%, 02/25/2044

      263,883        313,060  

7.00%, 02/25/2044

      110,052        132,416  

10.31%, 01/25/2044(4)

      21,392        26,247  

Fannie Mae Grantor Trust 2017-T1

      

2.90%, 06/25/2027

      6,526,734        7,213,983  

Fannie Mae Interest Strip

      

0.00%, 09/25/2024

      32,812        32,030  

0.00%, 01/25/2033

      7,316        6,926  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042(2)

      549,238        554,987  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042(2)

      1,297,775        1,306,058  

5.00%, 12/25/2033(4)

      9,805        1,432  

5.50%, 05/25/2036

      37,701        7,856  

5.50%, 08/25/2036

      25,016        4,618  

5.50%, 04/25/2037

      11,337        1,767  

6.00%, 01/25/2038

      25,024        4,966  

7.50%, 04/25/2023

      348        25  

9.00%, 03/25/2024

      292        318  

Fannie Mae Pool

      

0.51% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 97.76% Cap), 01/01/2023(2)

      1,381,923        1,380,014  

0.64% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(2)

      3,422,071        3,415,160  

0.96% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 98.04% Cap), 03/01/2022(2)

      856,874        855,525  

1.95% (6 Month LIBOR USD + 1.30%, 1.30% Floor, 11.97% Cap), 07/01/2037(2)

      44,143        45,439  

1.96% (6 Month LIBOR USD + 1.48%, 1.48% Floor, 12.67% Cap), 02/01/2037(2)

      45,867        47,516  

2.00%, 12/01/2020

      1,548,000        1,547,459  

2.00%, 08/01/2031

      2,267,810        2,368,200  

2.00% (6 Month LIBOR USD + 1.54%, 1.54% Floor, 10.94% Cap), 02/01/2035(2)

      4,138        4,280  

2.07% (6 Month LIBOR USD + 1.20%, 1.20% Floor, 10.38% Cap), 08/01/2034(2)

      27,672        27,944  

2.11% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 11.86% Cap), 09/01/2037(2)

      3,533        3,516  

2.11% (1 Year LIBOR USD + 1.61%, 1.62% Floor, 9.98% Cap), 08/01/2034(2)

      12,757        12,957  

2.14% (1 Year LIBOR USD + 1.26%, 1.27% Floor, 9.89% Cap), 05/01/2035(2)

      11,088        11,137  

2.22% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 10.72% Cap), 07/01/2037(2)

      7,810        7,851  

2.27% (6 Month LIBOR USD + 1.45%, 1.45% Floor, 12.56% Cap), 01/01/2037(2)

      39,431        40,755  

2.27% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.97% Cap), 09/01/2034(2)

      785        791  

2.28%, 12/01/2022

      942,355        969,088  

2.29%, 10/01/2026

      9,950,143        10,657,025  

2.31% (1 Year LIBOR USD + 1.68%, 1.68% Floor, 11.09% Cap), 09/01/2036(2)

      77,866        80,855  

2.32%, 12/01/2022

      344,714        354,656  

2.34%, 12/01/2022

      2,175,572        2,239,295  

2.34%, 01/01/2023

      1,255,775        1,294,445  

2.35% (6 Month LIBOR USD + 1.41%, 1.41% Floor, 9.28% Cap), 09/01/2033(2)

      28,429        28,606  

2.37%, 11/01/2022

      434,851        447,196  

2.37%, 01/01/2023

      1,001,175        1,031,792  

2.38%, 11/01/2022

      792,944        815,616  

2.39% (1 Year LIBOR USD + 1.41%, 1.38% Floor, 11.31% Cap), 11/01/2037(2)

      96,431        100,017  

2.39% (1 Year LIBOR USD + 1.46%, 1.46% Floor, 10.53% Cap), 09/01/2037(2)

      23,923        24,333  

2.41%, 11/01/2022

      142,963        147,119  

2.42%, 12/01/2022

      1,075,977        1,109,103  

2.42%, 06/01/2023

      823,900        857,161  

2.42% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 10.00% Cap), 08/01/2034(2)

      6,049        6,134  

2.42% (1 Year LIBOR USD + 1.55%, 1.55% Floor, 11.17% Cap), 06/01/2036(2)

      7,314        7,343  

2.45%, 11/01/2022

      1,378,404        1,420,415  

2.45%, 02/01/2023

      1,290,000        1,335,220  

2.48% (1 Year LIBOR USD + 1.85%, 1.85% Floor, 12.02% Cap), 09/01/2037(2)

      12,068        12,143  

2.49% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 10.75% Cap), 08/01/2036(2)

      54,042        56,945  

2.49%, 03/01/2023

      740,211        768,763  

2.50%, 04/01/2023

      1,445,000        1,506,711  

2.50%, 09/01/2027

      313,272        327,415  

2.50%, 04/01/2028

      3,051,244        3,190,407  

2.50%, 04/01/2030

      1,672,315        1,781,001  

2.50%, 05/01/2030

      2,041,184        2,161,558  

2.50%, 11/01/2031

      2,778,275        2,952,842  

2.50%, 12/01/2034

      16,963,239        17,924,477  

2.50%, 08/01/2035

      6,085,956        6,434,641  

2.50%, 09/01/2035

      7,583,640        8,018,140  

2.50%, 12/01/2036

      3,318,842        3,497,780  

2.50%, 01/01/2043

      2,193,094        2,336,096  

2.50%, 02/01/2043

      981,165        1,045,143  

2.50%, 10/01/2043

      2,059,262        2,193,546  

2.50%, 05/01/2046

      1,160,932        1,227,225  

2.50%, 07/01/2046

      2,447,705        2,588,636  

2.50%, 10/01/2046

      879,185        934,729  

2.50%, 09/01/2050

      3,844,006        4,067,282  

2.50%, 09/01/2050

      8,032,677        8,439,822  

2.50% (1 Year LIBOR USD + 1.61%, 1.61% Floor, 9.37% Cap), 08/01/2033(2)

      21,244        22,108  

2.52% (11th District Cost of Funds Index + 1.25%, 1.92% Floor, 12.65% Cap), 09/01/2027(2)

      2,693        2,710  

2.52%, 05/01/2023

      3,302,000        3,444,761  

2.52%, 11/01/2029

      14,750,000        16,027,958  

2.52% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.03% Cap), 07/01/2036(2)

      29,806        30,410  

2.53% (1 Year CMT Index + 2.12%, 2.12% Floor, 10.49% Cap), 08/01/2036(2)

      10,270        10,368  

2.53% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.53% Cap), 08/01/2036(2)

      16,236        16,424  

2.53% (6 Month LIBOR USD + 1.23%, 1.23% Floor, 12.61% Cap), 09/01/2036(2)

      79,168        80,778  

2.55%, 11/01/2022

      367,249        378,776  

2.55%, 11/01/2022

      1,149,687        1,185,773  

2.55%, 10/01/2028

      9,300,000        10,274,248  

2.57% (6 Month LIBOR USD + 1.51%, 1.51% Floor, 10.85% Cap), 01/01/2035(2)

      140,189        144,894  

2.58%, 09/01/2028

      3,830,000        4,240,348  

2.59%, 09/01/2028

      7,552,000        8,370,605  

2.60%, 06/01/2022

      759,833        778,273  

2.62%, 10/01/2028

      9,264,517        10,256,710  

2.64%, 04/01/2023

      328,602        342,902  

2.64%, 07/01/2023

      413,000        433,336  

2.65%, 08/01/2022

      1,032,000        1,061,626  

2.67%, 07/01/2022

      624,000        641,130  

2.68%, 05/01/2025

      1,808,446        1,945,676  

2.70%, 04/01/2023(4)

      381,357        398,459  

2.70%, 04/01/2025

      4,773,210        5,140,825  

2.75%, 03/01/2022

      156,362        160,455  

2.76%, 06/01/2022

      1,568,272        1,593,144  

2.77% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 10.98% Cap), 07/01/2037(2)

      115,367        120,615  

2.77%, 06/01/2023

      894,330        939,571  

2.79%, 05/01/2027

      1,988,725        2,205,625  

2.79%, 06/01/2023(4)

      1,430,859        1,500,865  

2.81%, 04/01/2025

      2,900,000        3,144,774  

2.81%, 05/01/2027

      1,915,898        2,122,593  

2.81% (1 Year LIBOR USD + 1.83%, 1.83% Floor, 11.11% Cap), 06/01/2036(2)

      86,008        90,462  

2.82%, 07/01/2022

      980,537        1,008,801  

2.83%, 05/01/2027

      8,000,000        8,903,689  

2.85% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 10.50% Cap), 06/01/2036(2)

      25,005        25,618  

2.87% (1 Year CMT Index + 1.88%, 1.88% Floor, 9.99% Cap), 07/01/2035(2)

      7,259        7,260  

2.88% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.89% Cap), 05/01/2035(2)

      5,601        5,684  

2.90%, 12/01/2024

      2,000,000        2,165,783  

2.90%, 10/01/2029

      3,410,539        3,863,847  

2.90% (1 Year CMT Index + 2.30%, 2.30% Floor, 9.20% Cap), 06/01/2034(2)

      31,933        33,684  

2.91% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.57% Cap), 09/01/2035(2)

      16,096        16,471  

2.91%, 03/01/2027

      9,742,520        10,828,709  

2.91%, 12/01/2027

      9,285,804        10,404,244  

2.92% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 10.21% Cap), 07/01/2037(2)

      33,157        33,434  

2.92%, 12/01/2024

      987,442        1,069,424  

2.93%, 01/01/2025

      1,848,323        2,001,101  

2.94%, 05/01/2022

      955,091        979,935  

2.94% (6 Month LIBOR USD + 2.03%, 2.03% Floor, 10.81% Cap), 02/01/2037(2)

      41,219        43,601  

2.95% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 9.16% Cap), 09/01/2033(2)

      8,842        9,252  

2.97%, 01/01/2022

      685,914        698,798  

3.00%, 06/01/2027

      2,000,000        2,244,696  

3.00%, 10/01/2027

      2,033,991        2,136,504  

3.00%, 08/01/2028

      994,278        1,044,621  

3.00%, 09/01/2028

      1,612,668        1,717,877  

3.00%, 12/01/2028

      587,191        616,651  

3.00%, 05/01/2030

      1,557,900        1,648,859  

3.00%, 09/01/2030

      6,491,930        6,928,649  

3.00%, 04/01/2032

      10,718,654        11,310,494  

3.00%, 02/01/2034

      5,740,316        6,030,676  

3.00%, 08/01/2036

      1,239,769        1,298,375  

3.00%, 05/01/2042

      456,803        485,949  

3.00%, 09/01/2042

      11,029,075        11,420,532  

3.00%, 10/01/2042

      354,317        366,824  

3.00%, 10/01/2042

      4,237,654        4,508,671  

3.00%, 11/01/2042

      1,884,337        2,008,576  

3.00%, 12/01/2042

      91,285        97,222  

3.00%, 12/01/2042

      956,960        1,017,780  

3.00%, 01/01/2043

      871,749        928,871  

3.00%, 01/01/2043

      1,360,217        1,449,007  

3.00%, 01/01/2043

      1,380,566        1,467,171  

3.00%, 01/01/2043

      1,469,337        1,563,860  

3.00%, 02/01/2043

      740,728        787,247  

3.00%, 04/01/2043

      1,817,437        1,936,422  

3.00%, 04/01/2043

      1,871,840        2,000,087  

3.00%, 04/01/2043

      3,019,398        3,216,424  

3.00%, 05/01/2043

      94,111        99,671  

3.00%, 05/01/2043

      295,832        314,755  

3.00%, 05/01/2043

      690,817        736,688  

3.00%, 05/01/2043

      8,707,020        9,274,371  

3.00%, 06/01/2043

      82,794        88,141  

3.00%, 06/01/2043

      273,040        291,062  

3.00%, 06/01/2043

      508,783        540,735  

3.00%, 06/01/2043

      2,216,917        2,406,704  

3.00%, 06/01/2043

      5,972,991        6,359,794  

3.00%, 07/01/2043

      67,213        71,582  

3.00%, 07/01/2043

      287,239        304,531  

3.00%, 07/01/2043

      338,062        359,923  

3.00%, 07/01/2043

      783,885        825,099  

3.00%, 07/01/2043

      1,342,256        1,429,236  

3.00%, 07/01/2043

      6,605,433        7,056,819  

3.00%, 08/01/2043

      944,215        1,006,316  

3.00%, 08/01/2043

      3,413,220        3,637,297  

3.00%, 08/01/2043

      5,448,936        5,797,567  

3.00%, 10/01/2043

      84,562        89,984  

3.00%, 10/01/2043

      11,787,737        12,592,819  

3.00%, 02/01/2044

      5,999,402        6,391,166  

3.00%, 04/01/2045

      6,603,577        7,077,393  

3.00%, 05/01/2046

      7,364,269        7,741,306  

3.00%, 09/01/2046

      890,206        949,112  

3.00%, 11/01/2046

      2,378,030        2,493,855  

3.00%, 11/01/2046

      5,925,666        6,311,948  

3.00%, 11/01/2046

      8,245,930        8,667,848  

3.00%, 01/01/2047

      4,730,329        4,972,436  

3.00%, 02/01/2047

      1,042,165        1,109,799  

3.00%, 02/01/2047

      1,623,974        1,729,635  

3.00%, 03/01/2047

      745,964        784,002  

3.00%, 10/01/2047

      1,882,099        1,938,008  

3.00%, 09/01/2049

      2,708,413        2,909,417  

3.00%, 11/01/2049

      4,308,446        4,637,273  

3.00%, 11/01/2049

      6,696,141        7,207,194  

3.00%, 12/01/2049

      1,370,555        1,461,495  

3.00%, 12/01/2049

      1,726,330        1,858,087  

3.00%, 12/01/2049

      8,949,641        9,449,923  

3.00%, 02/01/2050

      2,712,597        2,921,083  

3.00%, 02/01/2050

      3,676,119        3,946,944  

3.00%, 03/01/2050

      799,245        856,717  

3.00%, 03/01/2050

      1,177,358        1,268,088  

3.00%, 03/01/2050

      4,809,098        5,091,378  

3.00%, 04/01/2050

      4,658,331        4,883,362  

3.00%, 06/01/2050

      1,715,752        1,797,560  

3.00%, 06/01/2050

      8,151,860        8,753,162  

3.00%, 09/01/2050

      8,236,519        8,743,924  

3.02%, 05/01/2022

      608,194        624,598  

3.02%, 07/01/2029

      8,200,000        9,388,192  

3.03%, 12/01/2021

      853,811        868,557  

3.03%, 01/01/2022

      750,895        765,274  

3.03%, 04/01/2027

      1,489,966        1,670,562  

3.07%, 02/01/2025

      4,995,000        5,435,458  

3.07% (1 Year CMT Index + 2.21%, 2.21% Floor, 9.60% Cap), 04/01/2035(2)

      26,088        26,497  

3.08%, 04/01/2022

      937,580        961,878  

3.08%, 12/01/2024

      1,835,639        1,994,477  

3.08%, 01/01/2028

      8,000,000        8,941,309  

3.09%, 01/01/2022

      1,199,984        1,223,727  

3.09%, 09/01/2029

      7,484,000        8,567,985  

3.10%, 09/01/2025

      4,850,828        5,360,163  

3.10%, 01/01/2028

      6,750,000        7,665,011  

3.11%, 12/01/2024

      2,468,908        2,693,179  

3.12%, 11/01/2026

      952,652        1,064,968  

3.12%, 06/01/2035

      3,400,000        3,950,011  

3.13%, 03/01/2027

      6,835,000        7,703,349  

3.13% (1 Year CMT Index + 2.38%, 2.38% Floor, 10.18% Cap), 10/01/2034(2)

      27,411        28,974  

3.14%, 03/01/2022

      268,674        275,203  

3.14%, 12/01/2026

      1,783,820        1,991,193  

3.15% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.62% Cap), 10/01/2036(2)

      27,974        28,126  

3.15% (12 Month U.S. Treasury Average + 1.98%, 1.98% Floor, 8.60% Cap), 01/01/2036(2)

      82,338        84,971  

3.16% (1 Year CMT Index + 2.08%, 2.05% Floor, 10.67% Cap), 11/01/2037(2)

      50,711        53,048  

3.18% (1 Year CMT Index + 2.47%, 2.47% Floor, 10.46% Cap), 10/01/2035(2)

      42,898        43,308  

3.19%, 01/01/2033

      4,417,106        4,928,450  

3.19%, 03/01/2036

      2,494,009        2,839,843  

3.20%, 01/01/2022

      775,484        791,632  

3.20%, 06/01/2029

      3,432,442        3,964,802  

3.20%, 06/01/2030

      979,771        1,127,339  

3.20% (1 Year LIBOR USD + 2.37%, 2.37% Floor, 11.23% Cap), 08/01/2037(2)

      50,564        51,893  

3.21%, 03/01/2022

      310,000        317,873  

3.22%, 09/01/2032

      6,000,000        6,260,913  

3.23%, 01/01/2030

      4,448,184        5,116,463  

3.24%, 10/01/2026

      1,787,020        2,000,400  

3.24%, 12/01/2026

      1,500,000        1,695,394  

3.25%, 09/01/2026

      1,448,431        1,626,411  

3.25%, 02/01/2027

      5,613,668        6,306,180  

3.25% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 9.96% Cap), 10/01/2034(2)

      7,864        8,143  

3.26%, 12/01/2026

      935,490        1,048,592  

3.26%, 10/01/2030

      4,787,044        5,512,300  

3.28%, 02/01/2029

      8,130,850        9,424,658  

3.29%, 08/01/2026

      2,995,994        3,356,565  

3.31%, 12/01/2021

      349,791        356,575  

3.32%, 03/01/2029

      2,832,281        3,264,089  

3.34%, 02/01/2027

      1,500,000        1,689,919  

3.35% (6 Month LIBOR USD + 1.60%, 1.60% Floor, 10.27% Cap), 09/01/2036(2)

      27,411        28,486  

3.38%, 12/01/2023

      2,387,977        2,583,040  

3.39%, 09/01/2030

      1,825,931        2,121,374  

3.40%, 10/01/2021

      315,499        320,386  

3.43%, 11/01/2021

      906,896        923,293  

3.45%, 01/01/2024

      1,696,113        1,826,498  

3.45%, 04/01/2035

      1,823,774        2,162,598  

3.49% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 10.29% Cap), 11/01/2033(2)

      29,467        29,643  

3.50% (1 Year LIBOR USD + 1.50%, 1.50% Floor, 10.35% Cap), 01/01/2035(2)

      9,512        9,549  

3.50%, 12/01/2023

      2,177,173        2,346,526  

3.50%, 03/01/2027

      1,087,487        1,154,973  

3.50%, 12/01/2029

      2,434,268        2,615,405  

3.50%, 05/01/2030

      457,268        490,884  

3.50%, 08/01/2030

      2,740,671        2,898,756  

3.50%, 12/01/2030

      1,568,204        1,667,550  

3.50%, 07/01/2032

      108,387        117,097  

3.50%, 09/01/2032

      3,446,687        3,646,482  

3.50%, 11/01/2032

      760,358        830,658  

3.50%, 12/01/2032

      245,221        263,585  

3.50%, 12/01/2032

      11,219,710        12,371,022  

3.50%, 02/01/2033

      457,197        491,487  

3.50%, 02/01/2033

      468,234        495,579  

3.50%, 03/01/2033

      2,562,213        2,768,500  

3.50%, 04/01/2033

      2,260,861        2,392,235  

3.50%, 06/01/2033

      182,413        196,076  

3.50%, 10/01/2033

      8,066,112        8,716,215  

3.50%, 06/01/2040

      2,405,074        2,580,937  

3.50%, 12/01/2040

      88,038        95,209  

3.50%, 02/01/2041

      7,275,671        7,871,436  

3.50%, 11/01/2041

      296,744        321,008  

3.50%, 11/01/2041

      2,927,377        3,153,635  

3.50%, 12/01/2041

      216,579        234,423  

3.50%, 12/01/2041

      614,571        665,130  

3.50%, 12/01/2041

      5,702,334        6,164,969  

3.50%, 02/01/2042

      7,794        8,429  

3.50%, 02/01/2042

      228,833        251,063  

3.50%, 02/01/2042

      380,836        411,953  

3.50%, 04/01/2042

      217,584        234,668  

3.50%, 05/01/2042

      6,197,190        6,702,360  

3.50%, 06/01/2042

      1,424,277        1,543,948  

3.50%, 07/01/2042

      559,937        606,971  

3.50%, 07/01/2042

      1,048,089        1,136,167  

3.50%, 07/01/2042

      3,386,672        3,673,873  

3.50%, 07/01/2042

      16,007,083        17,654,809  

3.50%, 08/01/2042

      606,544        657,836  

3.50%, 09/01/2042

      545,159        590,328  

3.50%, 09/01/2042

      699,033        753,366  

3.50%, 09/01/2042

      745,479        809,680  

3.50%, 09/01/2042

      4,284,164        4,636,608  

3.50%, 10/01/2042

      316,800        342,555  

3.50%, 10/01/2042

      368,055        397,714  

3.50%, 10/01/2042

      521,741        565,227  

3.50%, 10/01/2042

      1,051,870        1,137,973  

3.50%, 11/01/2042

      2,323,876        2,521,227  

3.50%, 11/01/2042

      6,474,290        7,024,198  

3.50%, 01/01/2043

      619,745        673,194  

3.50%, 01/01/2043

      814,773        879,717  

3.50%, 02/01/2043

      52,163        56,592  

3.50%, 02/01/2043

      60,314        65,436  

3.50%, 03/01/2043

      461,541        501,414  

3.50%, 03/01/2043

      1,302,923        1,422,396  

3.50%, 03/01/2043

      3,756,845        4,075,231  

3.50%, 04/01/2043

      1,611,394        1,745,759  

3.50%, 04/01/2043

      3,495,406        3,785,479  

3.50%, 05/01/2043

      68,637        75,723  

3.50%, 05/01/2043

      316,450        342,522  

3.50%, 05/01/2043

      574,210        623,911  

3.50%, 05/01/2043

      1,320,394        1,435,212  

3.50%, 05/01/2043

      1,627,165        1,767,556  

3.50%, 07/01/2043

      7,514,467        8,207,616  

3.50%, 06/01/2044

      4,920,792        5,344,639  

3.50%, 06/01/2044

      6,067,833        6,538,254  

3.50%, 02/01/2045

      6,459,849        7,001,850  

3.50%, 04/01/2045

      10,201,024        10,933,530  

3.50%, 06/01/2045

      2,058,979        2,196,785  

3.50%, 06/01/2045

      7,587,958        8,095,631  

3.50%, 11/01/2045

      2,652,497        2,841,272  

3.50%, 12/01/2045

      323,764        346,894  

3.50%, 12/01/2045

      521,443        555,639  

3.50%, 01/01/2046

      8,443,222        9,049,785  

3.50%, 04/01/2046

      1,045,028        1,134,028  

3.50%, 08/01/2046

      5,281,879        5,639,106  

3.50%, 09/01/2046

      2,915,608        3,155,466  

3.50%, 11/01/2046

      830,007        899,184  

3.50%, 11/01/2046

      11,314,886        12,097,921  

3.50%, 12/01/2046

      3,483,248        3,711,349  

3.50%, 12/01/2046

      7,090,346        7,682,900  

3.50%, 01/01/2047

      3,974,376        4,217,374  

3.50%, 02/01/2047

      6,844,155        7,354,767  

3.50%, 02/01/2047

      7,468,992        7,984,788  

3.50%, 06/01/2047

      628,891        677,159  

3.50%, 11/01/2047

      7,999,974        8,458,026  

3.50%, 10/01/2048

      5,340,045        5,752,976  

3.50%, 05/01/2049

      13,652,402        14,736,283  

3.50%, 01/01/2050

      13,810,743        15,070,614  

3.54% (1 Year LIBOR USD + 1.63%, 1.63% Floor, 11.27% Cap), 09/01/2036(2)

      36,543        38,102  

3.55%, 02/01/2030

      1,500,000        1,752,104  

3.55% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 11.10% Cap), 05/01/2036(2)

      10,470        10,612  

3.57%, 06/01/2028

      8,361,000        9,765,690  

3.57% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 9.70% Cap), 03/01/2035(2)

      15,117        15,174  

3.59%, 08/01/2023

      1,135,000        1,218,117  

3.59%, 01/01/2021(4)

      182,026        181,979  

3.61% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 9.88% Cap), 11/01/2034(2)

      5,831        5,849  

3.61%, 04/01/2028

      2,949,781        3,420,809  

3.64% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 11.18% Cap), 04/01/2037(2)

      27,789        28,202  

3.64% (1 Year CMT Index + 2.32%, 2.32% Floor, 11.02% Cap), 09/01/2037(2)

      14,386        15,240  

3.64%, 01/01/2025

      532,803        588,575  

3.65% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 11.26% Cap), 03/01/2036(2)

      232,631        249,450  

3.66%, 03/01/2027

      2,285,875        2,611,736  

3.67% (1 Year CMT Index + 2.26%, 2.26% Floor, 10.74% Cap), 12/01/2037(2)

      79,274        83,789  

3.67%, 07/01/2023

      4,850,000        5,205,426  

3.68%, 12/01/2020(4)

      347,732        347,633  

3.68%, 09/01/2026

      3,407,970        3,881,102  

3.70%, 12/01/2020

      336,502        336,376  

3.71% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 8.85% Cap), 01/01/2034(2)

      9,473        9,641  

3.72%, 07/01/2033

      11,178,000        13,181,762  

3.74%, 07/01/2023

      534,632        573,981  

3.75% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 12.47% Cap), 11/01/2036(2)

      6,600        6,617  

3.76%, 03/01/2024

      1,265,000        1,375,244  

3.77%, 12/01/2025

      3,403,952        3,852,931  

3.79% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.19% Cap), 01/01/2038(2)

      17,349        17,417  

3.80% (1 Year CMT Index + 2.05%, 2.05% Floor, 9.06% Cap), 07/01/2034(2)

      1,466        1,467  

3.81%, 12/01/2028

      7,000,000        8,359,084  

3.82% (1 Year CMT Index + 2.00%, 2.00% Floor, 9.12% Cap), 11/01/2034(2)

      4,222        4,238  

3.82% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.63% Cap), 01/01/2036(2)

      24,140        25,391  

3.85%, 09/01/2021

      783,526        795,683  

3.86% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.98% Cap), 12/01/2036(2)

      50,886        51,714  

3.86%, 07/01/2021

      867,380        876,446  

3.92%, 09/01/2021

      599,299        608,812  

3.94%, 07/01/2021

      1,032,000        1,051,430  

3.94% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.72% Cap), 12/01/2036(2)

      21,536        21,647  

3.97%, 06/01/2021

      580,276        584,932  

3.99% (1 Year LIBOR USD + 1.90%, 1.90% Floor, 10.87% Cap), 01/01/2037(2)

      17,154        17,472  

4.00% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 10.93% Cap), 02/01/2036(2)

      7,781        7,848  

4.00% (11th District Cost of Funds Index + 1.25%, 3.87% Floor, 13.49% Cap), 03/01/2029(2)

      1,819        1,841  

4.00%, 11/01/2031

      3,651,573        3,981,796  

4.00%, 06/01/2033

      914,081        980,818  

4.00%, 12/01/2033

      45,826        49,310  

4.00%, 05/01/2037

      8,303,600        8,966,468  

4.00%, 10/01/2037

      1,585,542        1,711,469  

4.00%, 08/01/2039

      334,367        368,810  

4.00%, 10/01/2039

      479,317        528,922  

4.00%, 07/01/2040

      3,980,735        4,389,175  

4.00%, 08/01/2040

      131,177        144,381  

4.00%, 09/01/2040

      996,881        1,097,572  

4.00%, 10/01/2040

      1,127,623        1,241,597  

4.00%, 12/01/2040

      214,266        236,527  

4.00%, 12/01/2040

      263,833        290,597  

4.00%, 12/01/2040

      322,665        353,767  

4.00%, 12/01/2040

      506,065        557,245  

4.00%, 12/01/2040

      1,010,284        1,112,591  

4.00%, 01/01/2041

      207,734        229,264  

4.00%, 01/01/2041

      413,460        455,484  

4.00%, 01/01/2041

      673,310        743,127  

4.00%, 01/01/2041

      816,321        899,232  

4.00%, 01/01/2041

      1,191,093        1,306,766  

4.00%, 01/01/2041

      1,320,266        1,449,087  

4.00%, 01/01/2041

      1,379,544        1,519,730  

4.00%, 02/01/2041

      57,449        63,353  

4.00%, 02/01/2041

      1,129,296        1,243,740  

4.00%, 02/01/2041

      1,797,532        1,977,948  

4.00%, 03/01/2041

      6,247,346        6,895,464  

4.00%, 04/01/2041

      348,294        381,249  

4.00%, 05/01/2041

      283,268        309,885  

4.00%, 09/01/2041

      201,646        221,172  

4.00%, 10/01/2041

      57,593        63,233  

4.00%, 10/01/2041

      468,275        517,009  

4.00%, 10/01/2041

      948,265        1,047,278  

4.00%, 12/01/2041

      1,183,510        1,307,465  

4.00%, 12/01/2041

      1,725,210        1,900,427  

4.00%, 01/01/2042

      1,310,789        1,443,439  

4.00%, 01/01/2042

      2,269,413        2,501,033  

4.00%, 03/01/2042

      86,436        90,629  

4.00%, 07/01/2042

      343,909        376,893  

4.00%, 07/01/2042

      380,799        417,519  

4.00%, 07/01/2042

      388,272        425,842  

4.00%, 07/01/2042

      519,983        566,226  

4.00%, 08/01/2042

      5,423,928        5,993,969  

4.00%, 11/01/2042

      654,810        721,518  

4.00%, 12/01/2042

      412,894        456,296  

4.00%, 04/01/2043

      5,650,752        6,464,090  

4.00%, 07/01/2043

      833,933        913,610  

4.00%, 08/01/2043

      64,362        70,739  

4.00%, 10/01/2043

      91,178        101,575  

4.00%, 11/01/2043

      2,758,372        3,026,028  

4.00%, 12/01/2043

      118,581        130,273  

4.00%, 12/01/2043

      1,313,457        1,463,236  

4.00%, 02/01/2044

      755,350        832,575  

4.00%, 05/01/2044

      498,572        552,150  

4.00%, 06/01/2044

      3,785,225        4,178,630  

4.00%, 07/01/2044

      1,940,499        2,138,936  

4.00%, 08/01/2044

      4,008,300        4,424,853  

4.00%, 09/01/2044

      986,139        1,071,965  

4.00%, 01/01/2045

      7,568,962        8,280,025  

4.00%, 07/01/2045

      5,976,612        6,529,037  

4.00%, 10/01/2045

      739,221        804,400  

4.00%, 11/01/2045

      1,411,297        1,534,842  

4.00%, 12/01/2045

      1,079,773        1,172,385  

4.00%, 12/01/2045

      4,833,422        5,252,254  

4.00%, 01/01/2046

      2,895,746        3,135,864  

4.00%, 08/01/2046

      3,885,773        4,183,856  

4.00%, 09/01/2046

      2,142,358        2,360,222  

4.00%, 03/01/2047

      690,904        751,725  

4.00%, 03/01/2047

      6,479,982        7,110,845  

4.00%, 03/01/2047

      6,830,627        7,420,786  

4.00%, 05/01/2047

      813,325        889,511  

4.00%, 05/01/2047

      1,349,171        1,468,771  

4.00%, 05/01/2047

      2,525,181        2,744,308  

4.00%, 06/01/2047

      2,919,013        3,226,309  

4.00%, 08/01/2047

      8,161,354        8,846,093  

4.00%, 11/01/2047

      7,718,485        8,286,167  

4.00%, 01/01/2048

      7,052,621        7,557,080  

4.00%, 01/01/2048

      7,910,491        8,740,357  

4.00%, 02/01/2048

      1,110,471        1,211,204  

4.00%, 03/01/2048

      2,796,275        2,989,711  

4.00%, 03/01/2048

      9,357,217        10,453,924  

4.00%, 10/01/2048

      2,466,959        2,706,525  

4.00%, 07/01/2049

      3,823,323        4,116,608  

4.00%, 10/01/2049

      7,274,029        7,868,632  

4.02%, 06/01/2021

      691,000        696,656  

4.03%, 09/01/2022

      1,138,729        1,193,934  

4.04% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 11.39% Cap), 10/01/2036(2)

      62,203        63,690  

4.05%, 08/01/2021

      152,158        154,234  

4.06%, 07/01/2021

      932,318        942,649  

4.07% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 10.99% Cap), 09/01/2036(2)

      30,310        30,435  

4.10%, 06/01/2021

      619,442        624,617  

4.15% (1 Year LIBOR USD + 2.28%, 2.28% Floor, 10.53% Cap), 11/01/2036(2)

      8,500        8,596  

4.17%, 09/01/2021(4)

      349,536        354,963  

4.19%, 06/01/2021

      502,020        506,095  

4.21%, 07/01/2021(4)

      447,963        450,527  

4.26% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.94% Cap), 10/01/2036(2)

      50,390        53,451  

4.26%, 07/01/2021

      2,112,275        2,136,027  

4.30%, 06/01/2021

      1,153,687        1,173,187  

4.30%, 01/01/2021(4)

      216,391        216,316  

4.31%, 06/01/2021(4)

      281,294        283,110  

4.34%, 06/01/2021

      1,858,000        1,873,849  

4.50%, 08/01/2029

      115,069        125,427  

4.50%, 09/01/2029

      134,084        146,475  

4.50%, 01/01/2030

      206,432        227,625  

4.50%, 10/01/2033

      3,592,729        3,961,182  

4.50%, 11/01/2033

      10,642        11,713  

4.50%, 09/01/2034

      22,595        24,810  

4.50%, 04/01/2039

      5,426,920        6,074,844  

4.50%, 11/01/2039

      18,251        20,459  

4.50%, 08/01/2040

      2,809,501        3,152,498  

4.50%, 08/01/2040

      2,907,097        3,266,702  

4.50%, 12/01/2040

      1,288,247        1,448,413  

4.50%, 12/01/2040

      4,268,728        4,797,914  

4.50%, 02/01/2041

      446,765        501,392  

4.50%, 02/01/2041

      3,547,664        3,994,159  

4.50%, 03/01/2041

      1,044,824        1,174,868  

4.50%, 04/01/2041

      682,793        755,665  

4.50%, 05/01/2041

      1,326,868        1,488,361  

4.50%, 05/01/2041

      5,439,158        6,124,021  

4.50%, 07/01/2041

      300,285        336,042  

4.50%, 08/01/2041

      2,033,341        2,287,228  

4.50%, 01/01/2042

      1,965,033        2,205,935  

4.50%, 11/01/2042

      6,431,612        7,217,369  

4.50%, 02/01/2046

      6,860,049        7,693,763  

4.50%, 08/01/2047

      976,099        1,060,988  

4.50%, 05/01/2048

      2,544,065        2,775,872  

4.50%, 07/01/2048

      61,556        66,912  

4.50%, 07/01/2048

      525,924        568,957  

4.50%, 08/01/2048

      5,259,434        5,687,146  

4.50%, 03/01/2049

      6,164,043        6,803,371  

4.50%, 07/01/2049

      10,220,074        11,262,191  

4.50%, 09/01/2050

      3,039,529        3,296,299  

4.55%, 08/01/2026

      842,057        959,637  

4.63%, 12/01/2026(4)

      927,741        1,066,629  

4.76%, 08/01/2026

      969,022        1,123,687  

4.77%, 08/01/2026

      616,478        714,929  

5.00%, 11/01/2021

      40        42  

5.00%, 05/01/2023

      3,276        3,451  

5.00%, 08/01/2024

      17,381        18,329  

5.00%, 05/01/2028

      14,466        15,946  

5.00%, 04/01/2031

      107,053        117,875  

5.00%, 12/01/2032

      574        595  

5.00%, 06/01/2033

      11,906        13,446  

5.00%, 07/01/2033

      12,807        14,590  

5.00%, 07/01/2033

      13,698        15,729  

5.00%, 11/01/2033

      3,905        4,488  

5.00%, 11/01/2033

      33,592        38,613  

5.00%, 11/01/2033

      2,668,891        3,068,303  

5.00%, 04/01/2034

      88,212        101,517  

5.00%, 05/01/2034

      28,069        32,308  

5.00%, 12/01/2034

      21,667        24,902  

5.00%, 01/01/2035

      13,979        15,343  

5.00%, 02/01/2035

      467,065        536,501  

5.00%, 02/01/2035

      2,346,132        2,695,213  

5.00%, 06/01/2035

      411,156        472,630  

5.00%, 07/01/2035

      11,969        13,744  

5.00%, 07/01/2035

      1,946,763        2,236,664  

5.00%, 07/01/2035

      2,206,889        2,536,682  

5.00%, 09/01/2035

      49,265        56,655  

5.00%, 10/01/2035

      199,741        229,891  

5.00%, 11/01/2035

      452,777        521,234  

5.00%, 01/01/2036

      38,694        44,527  

5.00%, 02/01/2036

      30,025        34,538  

5.00%, 07/01/2037

      577,279        663,390  

5.00%, 01/01/2039

      1,779,993        2,040,648  

5.00%, 09/01/2039

      103,443        118,999  

5.00%, 04/01/2040

      228,566        263,022  

5.00%, 08/01/2040

      235,133        269,573  

5.00%, 05/01/2041

      109,597        126,239  

5.00%, 05/01/2042

      1,717,815        1,975,737  

5.00%, 09/01/2043

      866,579        956,869  

5.00%, 01/01/2048

      1,086,429        1,203,747  

5.00%, 05/01/2048

      3,244,888        3,582,129  

5.00%, 01/01/2049

      7,884,341        8,937,289  

5.50%, 07/01/2025

      25,360        28,119  

5.50%, 11/01/2032

      45,091        53,020  

5.50%, 02/01/2033

      1,476        1,727  

5.50%, 03/01/2033

      61,478        72,096  

5.50%, 04/01/2033

      41,250        48,373  

5.50%, 07/01/2033

      8,531        9,876  

5.50%, 09/01/2033

      158,296        183,155  

5.50%, 11/01/2033

      3,109        3,573  

5.50%, 12/01/2033

      67,881        79,766  

5.50%, 01/01/2034

      6,431        7,571  

5.50%, 03/01/2034

      6,374        7,216  

5.50%, 09/01/2034

      14,232        16,754  

5.50%, 10/01/2034

      13,121        13,647  

5.50%, 02/01/2035

      48,351        56,927  

5.50%, 12/01/2035

      20,053        22,948  

5.50%, 04/01/2036

      53,900        63,060  

5.50%, 05/01/2036

      46,067        54,120  

5.50%, 05/01/2036

      73,291        86,371  

5.50%, 11/01/2036

      17,883        20,845  

5.50%, 03/01/2037

      339,089        393,303  

5.50%, 04/01/2037

      117,202        137,499  

5.50%, 05/01/2037

      143,776        166,918  

5.50%, 01/01/2038

      99,888        117,663  

5.50%, 05/01/2038

      13,860        15,689  

5.50%, 06/01/2038

      1,372        1,594  

5.50%, 06/01/2038

      100,773        117,066  

5.50%, 06/01/2038

      757,779        877,306  

5.50%, 09/01/2038

      632,407        743,415  

5.50%, 06/01/2039

      17,304        18,816  

5.50%, 09/01/2039

      91,881        105,568  

5.50%, 12/01/2039

      73,272        84,124  

5.50%, 01/01/2040

      499,229        574,117  

6.00%, 03/01/2021

      512        515  

6.00%, 04/01/2021

      184        185  

6.00%, 04/01/2021

      241        242  

6.00%, 08/01/2021

      3,291        3,332  

6.00%, 12/01/2021

      1,250        1,267  

6.00%, 02/01/2023

      40,920        42,230  

6.00%, 01/01/2024

      15,029        15,727  

6.00%, 01/01/2024

      40,820        42,584  

6.00%, 07/01/2024

      11,168        11,718  

6.00%, 07/01/2026

      20,389        22,748  

6.00%, 07/01/2027

      29,771        33,223  

6.00%, 11/01/2027

      13,303        14,843  

6.00%, 12/01/2027

      40,288        44,947  

6.00%, 01/01/2028

      71,534        79,822  

6.00%, 10/01/2028

      51,398        57,356  

6.00%, 12/01/2028

      2,172        2,423  

6.00%, 01/01/2029

      2,635        2,988  

6.00%, 09/01/2029

      34,371        38,307  

6.00%, 12/01/2032

      20,093        22,866  

6.00%, 12/01/2032

      110,873        129,674  

6.00%, 03/01/2033

      916        1,022  

6.00%, 03/01/2033

      2,280        2,552  

6.00%, 03/01/2033

      3,174        3,619  

6.00%, 03/01/2033

      3,913        4,593  

6.00%, 03/01/2033

      5,391        6,028  

6.00%, 05/01/2033

      15,470        18,246  

6.00%, 08/01/2033

      4,033        4,513  

6.00%, 09/01/2033

      8,111        9,358  

6.00%, 09/01/2033

      13,336        14,896  

6.00%, 11/01/2034

      3,902        4,620  

6.00%, 04/01/2035

      73,114        86,586  

6.00%, 02/01/2036

      4,328        4,943  

6.00%, 09/01/2036

      252,482        298,914  

6.00%, 11/01/2036

      36,815        42,512  

6.00%, 03/01/2037

      79,483        92,503  

6.00%, 09/01/2037

      63,816        75,260  

6.00%, 04/01/2038

      10,490        11,694  

6.00%, 05/01/2038

      182,015        214,440  

6.00%, 11/01/2038

      51,048        60,428  

6.00%, 12/01/2039

      896,945        1,052,852  

6.00%, 10/01/2040

      1,190,689        1,402,376  

6.00%, 07/01/2041

      3,118,167        3,687,511  

6.00%, 11/01/2048

      31,366        33,921  

6.50%, 04/01/2022

      2,028        2,050  

6.50%, 05/01/2022

      880        985  

6.50%, 12/01/2022

      2,803        3,135  

6.50%, 02/01/2024

      23,021        24,186  

6.50%, 07/01/2024

      7,379        8,252  

6.50%, 04/01/2025

      1,127        1,260  

6.50%, 08/01/2026

      38,784        43,377  

6.50%, 03/01/2029

      11,056        12,421  

6.50%, 11/01/2029

      359,908        403,375  

6.50%, 08/01/2031

      9,316        11,164  

6.50%, 02/01/2032

      46,680        52,208  

6.50%, 01/01/2036

      219,432        248,542  

6.50%, 04/01/2036

      955        967  

6.50%, 07/01/2036

      4,113        4,801  

6.50%, 08/01/2036

      135,137        154,242  

6.50%, 10/01/2036

      29,785        34,879  

6.50%, 01/01/2037

      67,666        81,560  

6.50%, 08/01/2037

      25,412        29,342  

6.50%, 08/01/2037

      27,549        31,573  

6.50%, 10/01/2037

      52,431        62,816  

6.50%, 10/01/2038

      63,912        73,591  

6.50%, 10/01/2038

      257,104        296,684  

7.00%, 01/01/2024

      157        169  

7.00%, 04/01/2026

      3,788        3,933  

7.00%, 09/01/2027

      502        561  

7.00%, 01/01/2029

      883        884  

7.00%, 06/01/2032

      4,650        5,037  

7.00%, 02/01/2033

      1,260        1,341  

7.00%, 06/01/2033

      70,096        83,315  

7.00%, 02/01/2036

      41,545        50,303  

7.00%, 03/01/2036

      1,493        1,710  

7.00%, 12/01/2036

      7,366        8,455  

7.00%, 03/01/2037

      5,211        5,779  

7.00%, 04/01/2037

      7,667        8,849  

7.00%, 09/01/2037

      43,366        52,531  

7.00%, 09/01/2038

      44,824        55,779  

7.00%, 10/01/2038

      65,777        82,925  

7.00%, 11/01/2038

      48,141        57,889  

7.00%, 12/01/2038

      138,245        163,909  

7.00%, 01/01/2039

      207,396        248,470  

7.50%, 11/01/2022

      306        307  

7.50%, 10/01/2024

      249        268  

7.50%, 01/01/2035

      30,475        35,923  

7.50%, 03/01/2035

      31,981        38,832  

7.50%, 05/01/2037

      26,659        33,837  

7.50%, 10/01/2037

      129,014        154,896  

7.50%, 11/01/2037

      45,041        53,074  

7.50%, 11/01/2038

      40,089        48,941  

7.50%, 04/01/2039

      137,793        183,989  

8.00%, 03/01/2021

      5        5  

8.00%, 05/01/2024

      108        116  

8.00%, 03/01/2027

      5,064        5,622  

8.00%, 06/01/2027

      4,310        4,810  

8.00%, 06/01/2028

      2,078        2,271  

8.00%, 09/01/2028

      6,289        7,031  

8.00%, 11/01/2028

      17,565        20,339  

8.00%, 11/01/2037

      9,234        10,188  

8.00%, 01/01/2038

      4,053        4,905  

8.50%, 07/01/2024

      596        648  

8.50%, 05/01/2025

      50        50  

Fannie Mae Pool UMBS P#BA4733

      

3.50%, 12/01/2045

      991,682        1,083,919  

Fannie Mae Pool UMBS P#BO5032

      

3.00%, 12/01/2049

      391,187        417,143  

Fannie Mae Pool UMBS P#BP5474

      

2.50%, 06/01/2050

      3,336,507        3,530,177  

Fannie Mae Pool UMBS P#BP5482

      

2.50%, 06/01/2050

      5,503,267        5,822,718  

Fannie Mae Pool UMBS P#BP5502

      

2.50%, 06/01/2050

      1,410,892        1,489,896  

Fannie Mae Pool UMBS P#BP8762

      

2.50%, 07/01/2050

      2,983,664        3,156,863  

Fannie Mae Pool UMBS P#BP9537

      

2.50%, 07/01/2050

      8,439,674        8,929,626  

Fannie Mae Pool UMBS P#BQ0212

      

2.50%, 08/01/2050

      3,566,768        3,773,825  

Fannie Mae Pool UMBS P#MA2248

      

3.00%, 04/01/2045

      97,119        100,369  

Fannie Mae REMIC Trust 2003-W1

      

5.21%, 12/25/2042(4)

      91,179        100,996  

5.70%, 12/25/2042(4)

      24,188        27,169  

Fannie Mae REMIC Trust 2003-W4

      

5.76%, 10/25/2042(4)

      12,322        14,210  

Fannie Mae REMIC Trust 2004-W10

      

5.75%, 08/25/2034

      479,861        551,949  

Fannie Mae REMIC Trust 2004-W11

      

6.00%, 05/25/2044

      70,547        85,781  

Fannie Mae REMIC Trust 2005-W1

      

6.50%, 10/25/2044

      130,918        157,797  

Fannie Mae REMIC Trust 2006-W3

      

6.00%, 09/25/2046

      99,612        113,676  

Fannie Mae REMIC Trust 2007-W1

      

6.30%, 08/25/2047(4)

      11,219        12,961  

Fannie Mae REMIC Trust 2007-W3

      

6.75%, 04/25/2037

      26,417        29,794  

Fannie Mae REMIC Trust 2007-W5

      

0.00%, 06/25/2037

      20,166        19,029  

Fannie Mae REMIC Trust 2007-W7

      

38.29% (1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037(2)(8)

      15,568        29,745  

Fannie Mae REMIC Trust 2009-W1

      

6.00%, 12/25/2049

      434,523        503,667  

Fannie Mae REMICS

      

0.00%, 03/25/2022

      3,723        3,716  

0.00%, 10/25/2022

      463        462  

0.00%, 04/25/2023

      515        514  

0.00%, 09/25/2023

      310        308  

0.00%, 09/25/2023

      1,077        1,066  

0.00%, 11/25/2023

      114        113  

0.00%, 01/25/2032

      1,596        1,561  

0.00%, 04/25/2032

      1,352        1,336  

0.00%, 12/25/2032

      8,407        7,984  

0.00%, 05/25/2033

      4,909        4,639  

0.00%, 08/25/2033

      3,104        3,024  

0.00%, 12/25/2033

      71,819        68,182  

0.00%, 03/25/2034

      74,940        74,192  

0.00%, 04/25/2035

      1,647        1,645  

0.00%, 09/25/2035

      8,641        8,547  

0.00%, 10/25/2035

      18,992        18,521  

0.00%, 01/25/2036

      131        131  

0.00%, 03/25/2036

      14,775        13,999  

0.00%, 03/25/2036

      154,126        141,187  

0.00%, 04/25/2036

      17,518        17,293  

0.00%, 04/25/2036

      35,291        33,554  

0.00%, 04/25/2036

      51,192        48,657  

0.00%, 06/25/2036

      13,766        13,472  

0.00%, 06/25/2036

      27,033        25,520  

0.00%, 06/25/2036

      42,690        39,879  

0.00%, 06/25/2036

      95,945        90,165  

0.00%, 06/25/2036

      116,532        113,904  

0.00%, 07/25/2036

      4,378        4,368  

0.00%, 07/25/2036

      8,948        8,377  

0.00%, 07/25/2036

      16,181        15,339  

0.00%, 07/25/2036

      31,337        29,766  

0.00%, 08/25/2036

      10,527        9,778  

0.00%, 08/25/2036

      22,228        21,724  

0.00%, 08/25/2036

      32,728        30,369  

0.00%, 08/25/2036

      55,817        54,249  

0.00%, 09/25/2036

      12,148        11,329  

0.00%, 09/25/2036

      25,139        24,027  

0.00%, 09/25/2036

      32,864        31,311  

0.00%, 11/25/2036

      8,077        7,591  

0.00%, 11/25/2036

      22,512        20,869  

0.00%, 11/25/2036

      49,742        46,912  

0.00%, 12/25/2036

      11,675        11,214  

0.00%, 12/25/2036

      27,198        25,322  

0.00%, 01/25/2037

      28,095        26,391  

0.00%, 01/25/2037

      72,436        67,507  

0.00%, 03/25/2037

      21,289        20,413  

0.00%, 04/25/2037

      71,983        67,061  

0.00%, 05/25/2037

      7,167        6,698  

0.00%, 07/25/2037

      50,182        46,979  

0.00%, 10/25/2037

      463,928        431,326  

0.00%, 05/25/2038

      1,547        1,403  

0.00%, 01/25/2040

      39,852        35,862  

0.00%, 06/25/2040

      65,090        61,190  

0.00%, 09/25/2043

      1,094,604        1,007,282  

0.00%, 10/25/2043

      817,439        754,819  

0.00%, 12/25/2043

      2,081,561        1,914,946  

0.20% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022(2)

      204        203  

0.24% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2)

      50,115        49,823  

0.24% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2)

      219,272        217,243  

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034(2)

      36,129        36,217  

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036(2)

      78,252        78,162  

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037(2)

      62,152        62,189  

0.44% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036(2)

      259,432        259,853  

0.44% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036(2)

      327,114        322,005  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037(2)

      39,165        39,197  

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035(2)

      91,469        91,829  

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036(2)

      93,777        94,062  

0.52% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037(2)

      51,551        52,023  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034(2)

      68,734        68,946  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034(2)

      197,448        198,498  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036(2)

      30,045        30,117  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037(2)

      194,798        196,790  

0.60% (1 Month LIBOR USD + 0.45%, 6.50% Cap), 06/25/2037(2)

      18,947        19,779  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2037(2)

      292,493        293,050  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039(2)

      110,896        111,129  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042(2)

      334,799        336,596  

0.61% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036(2)

      26,123        26,337  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037(2)

      55,784        56,367  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037(2)

      29,656        29,977  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041(2)

      52,871        53,213  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041(2)

      192,878        194,216  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2)

      153,163        153,601  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2)

      1,197,345        1,208,718  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042(2)

      452,287        455,632  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041(2)

      76,708        77,252  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041(2)

      124,496        125,349  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040(2)

      41,244        41,570  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040(2)

      67,908        68,812  

0.78% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023(2)

      638        635  

0.90% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034(2)

      108,139        109,864  

0.90% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037(2)

      35,010        36,422  

0.95% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032(2)

      222,362        225,807  

1.03% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023(2)

      1,402        1,400  

1.05% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038(2)

      32,141        32,839  

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023(2)

      1,596        1,608  

1.35% (11th District Cost of Funds Index + 0.70%, 0.70% Floor, 10.00% Cap), 10/25/2022(2)

      192        192  

1.60% (1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032(2)(8)

      40,564        1,453  

1.84%, 03/25/2027(4)

      1,713        35  

1.84%, 03/25/2027(4)

      4,840        97  

2.16%, 06/25/2038(4)

      120,617        6,967  

2.31%, 01/25/2038(4)

      302,249        12,083  

2.98%, 04/25/2041(4)

      520,910        34,074  

3.00%, 12/25/2028

      1,237,521        1,331,394  

3.00%, 10/25/2033

      908,000        984,597  

3.00%, 02/25/2043

      1,000,000        1,051,288  

3.00%, 01/25/2046

      1,705,290        1,838,343  

3.00%, 02/25/2047

      2,134,655        2,275,220  

3.03%, 12/25/2039(4)

      153,184        159,666  

3.50%, 04/25/2031

      783,031        847,944  

3.50%, 09/25/2033

      1,500,000        1,741,761  

3.50%, 03/25/2042

      1,000,000        1,112,883  

3.50%, 02/25/2043

      330,474        369,097  

4.00%, 04/25/2033

      171,375        191,302  

4.00%, 05/25/2033

      9,740        10,900  

4.00%, 02/25/2039

      14,160        14,176  

4.29% (1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040(2)(8)

      477,770        59,718  

4.50%, 07/25/2023

      27,881        28,795  

4.50%, 10/25/2036

      140,843        159,410  

4.50%, 02/25/2039

      5,478        6,080  

4.50%, 12/25/2040

      5,359,402        6,425,373  

4.50%, 01/25/2042

      2,425,985        2,718,500  

4.50%, 04/25/2042

      1,500,000        1,750,797  

5.00%, 03/25/2021

      8        8  

5.00%, 02/25/2024(10)

      49        0  

5.00%, 03/25/2024(10)

      2        —    

5.00%, 11/25/2024

      107,287        112,943  

5.00%, 03/25/2029

      134,541        143,234  

5.00%, 11/25/2032

      10,115        11,134  

5.00%, 03/25/2033

      16,839        1,165  

5.00%, 03/25/2037

      4,713        5,342  

5.00%, 07/25/2038

      33,370        37,769  

5.00%, 07/25/2038

      39,244        45,119  

5.00%, 07/25/2039

      71,485        11,328  

5.00%, 08/25/2039

      258,719        296,698  

5.00%, 09/25/2039

      136,147        148,398  

5.00%, 06/25/2040

      454,636        514,167  

5.00%, 09/25/2040

      206,000        241,485  

5.43%, 07/25/2051(4)

      30,084        35,008  

5.50%, 09/25/2022

      325        334  

5.50%, 03/25/2023

      46,498        48,409  

5.50%, 04/25/2023

      3,069        3,191  

5.50%, 04/25/2023

      90,489        94,326  

5.50%, 05/25/2023

      21,074        21,910  

5.50%, 07/25/2024

      6,053        6,341  

5.50%, 08/25/2024

      66,914        70,422  

5.50%, 08/25/2025

      77,979        84,027  

5.50%, 01/25/2026

      48,411        51,733  

5.50%, 04/18/2029

      7,373        8,034  

5.50%, 12/25/2032

      99,569        115,856  

5.50%, 08/25/2033

      182,294        32,674  

5.50%, 08/25/2033

      82,766        96,519  

5.50%, 10/25/2033

      608,551        709,558  

5.50%, 04/25/2034

      191,761        226,551  

5.50%, 07/25/2034

      312,513        358,165  

5.50%, 08/25/2035

      78,784        90,116  

5.50%, 08/25/2035

      567,265        661,065  

5.50%, 12/25/2035

      34,474        37,213  

5.50%, 12/25/2035

      417,123        488,818  

5.50%, 01/25/2036

      22,873        24,904  

5.50%, 03/25/2036

      50,176        58,186  

5.50%, 03/25/2036

      182,385        208,872  

5.50%, 03/25/2036

      210,245        248,850  

5.50%, 01/25/2037

      16,520        18,075  

5.50%, 07/25/2037

      128,253        147,281  

5.50%, 08/25/2037

      36,193        41,215  

5.50%, 07/25/2038

      157,239        182,993  

5.50%, 10/25/2039

      162,265        28,907  

5.50%, 06/25/2040

      755,078        857,837  

5.50%, 07/25/2040

      290,429        339,661  

5.50%, 10/25/2040

      1,054,109        1,259,508  

5.63% (1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037(2)(8)

      36,654        7,347  

5.70% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(8)

      126,652        21,475  

5.70% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(8)

      156,687        30,526  

5.75%, 06/25/2033

      49,670        55,970  

5.75%, 07/25/2035

      1,418,022        1,705,841  

5.75%, 10/25/2035

      66,485        75,536  

5.75% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039(2)(8)

      39,688        6,121  

5.76% (1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038(2)(8)

      139,434        27,488  

5.85%, 02/25/2051(4)

      87,483        100,652  

5.85% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038(2)(8)

      350,096        65,224  

5.93% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037(2)(8)

      3,209        146  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037(2)(8)

      52,969        5,832  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(8)

      40,544        8,356  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(8)

      111,224        19,138  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049(2)(8)

      77,442        7,847  

6.00%, 02/25/2022

      12,202        12,467  

6.00%, 08/25/2022

      721        747  

6.00%, 09/25/2022

      22,660        23,400  

6.00% (1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023(2)(8)

      1,808        1,911  

6.00%, 07/25/2023(4)

      12,874        13,635  

6.00%, 07/18/2028

      6,361        7,151  

6.00%, 12/25/2028

      2,616        2,772  

6.00%, 07/25/2031

      23,747        3,870  

6.00%, 11/25/2031

      42,373        49,298  

6.00%, 04/25/2032

      106,717        120,533  

6.00%, 11/25/2032

      315,102        367,135  

6.00%, 05/25/2033(4)

      7,729        1,387  

6.00%, 05/25/2033

      29,782        35,153  

6.00%, 05/25/2033

      64,183        73,800  

6.00%, 05/25/2033

      135,434        159,099  

6.00%, 12/25/2035

      11,486        12,930  

6.00%, 12/25/2035

      213,101        217,840  

6.00%, 07/25/2036

      354,626        419,329  

6.00%, 03/25/2037

      248,355        280,858  

6.00%, 05/25/2037

      109,528        128,236  

6.00%, 08/25/2037

      11,552        13,635  

6.00%, 08/25/2037

      47,324        55,492  

6.00%, 08/25/2037

      54,849        63,825  

6.00%, 08/25/2037

      60,488        69,405  

6.00%, 08/25/2039

      326,513        387,946  

6.03%, 09/25/2039(4)

      120,384        138,045  

6.03% (1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039(2)(8)

      52,424        8,177  

6.05% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038(2)(8)

      41,429        6,621  

6.08% (1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038(2)(8)

      54,004        10,353  

6.10% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040(2)(8)

      117,625        25,049  

6.21%, 10/25/2037(4)

      50,949        58,811  

6.21% (1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037(2)(8)

      6,529        1,006  

6.21%, 03/25/2040(4)

      185,921        215,512  

6.22%, 02/25/2040(4)

      51,839        59,263  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037(2)(8)

      330,096        66,847  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037(2)(8)

      158,979        25,178  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040(2)(8)

      49,626        9,453  

6.27% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040(2)(8)

      85,895        14,944  

6.29% (1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037(2)(8)

      200,066        37,685  

6.30%, 12/25/2039(4)

      265,698        306,724  

6.30% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037(2)(8)

      131,264        26,785  

6.30% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037(2)(8)

      169,458        39,063  

6.31% (1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037(2)(8)

      185,583        40,834  

6.35%, 04/25/2029

      3,700        4,154  

6.35% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/25/2023(2)(8)

      4,172        94  

6.35% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036(2)(8)

      93,197        32,321  

6.37% (1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036(2)(8)

      50,410        9,171  

6.38% (1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041(2)(8)

      571,613        134,082  

6.39% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037(2)(8)

      166,996        36,874  

6.40% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039(2)(8)

      105,190        23,893  

6.43% (1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036(2)(8)

      116,026        22,718  

6.44%, 03/25/2040(4)

      188,021        215,598  

6.47% (1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037(2)(8)

      117,713        21,468  

6.50%, 07/25/2021

      51        52  

6.50%, 09/25/2021

      8,486        8,621  

6.50%, 02/25/2022

      2,042        2,082  

6.50%, 08/25/2022

      768        798  

6.50%, 02/25/2023

      1,132        1,182  

6.50%, 03/25/2023

      783        818  

6.50%, 07/25/2023

      589        623  

6.50%, 09/25/2023

      1,280        1,360  

6.50%, 10/25/2023

      6,950        7,405  

6.50%, 10/25/2023

      19,730        21,027  

6.50%, 11/25/2023

      7,628        8,158  

6.50%, 12/25/2023

      2,062        2,208  

6.50%, 03/25/2024

      6,232        6,655  

6.50%, 03/25/2024

      39,169        42,109  

6.50%, 04/25/2027

      11,697        13,077  

6.50%, 07/18/2027

      972        1,087  

6.50%, 09/25/2031

      5,745        6,739  

6.50%, 10/25/2031

      4,328        4,937  

6.50%, 04/25/2032

      19,016        22,378  

6.50%, 05/25/2032

      39,228        46,124  

6.50%, 06/25/2032

      16,499        18,797  

6.50%, 07/25/2032

      71,821        11,874  

6.50%, 08/25/2032

      50,290        60,113  

6.50%, 02/25/2033

      17,332        20,142  

6.50%, 05/25/2033

      72,178        15,697  

6.50%, 07/25/2036

      155,812        186,590  

6.50%, 07/25/2036

      206,515        250,765  

6.50%, 08/25/2036

      19,504        22,916  

6.50%, 08/25/2036

      95,546        109,951  

6.50%, 09/25/2036

      9,948        11,659  

6.50%, 06/25/2037

      21,985        25,708  

6.50%, 12/25/2037

      137,098        166,564  

6.50%, 04/25/2038

      9,930        10,051  

6.50%, 06/25/2042

      51,539        60,844  

6.50% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036(2)(8)

      85,652        14,764  

6.50% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039(2)(8)

      41,789        7,562  

6.55% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036(2)(8)

      565,129        137,515  

6.56% (1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035(2)(8)

      59,033        13,808  

6.70% (1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038(2)(8)

      38,450        7,419  

6.75% (1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038(2)(8)

      60,921        12,004  

6.84% (1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038(2)(8)

      77,800        16,790  

6.88%, 08/25/2023

      13,987        14,760  

6.95% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033(2)(8)

      32,832        1,793  

7.00%, 01/25/2021

      7        7  

7.00%, 03/25/2021

      294        295  

7.00%, 07/25/2022

      140        143  

7.00%, 10/25/2022

      464        482  

7.00%, 02/25/2023

      11,336        11,890  

7.00%, 03/25/2023

      8,300        8,675  

7.00%, 04/25/2023

      2,481        2,594  

7.00%, 05/25/2023

      29,030        30,745  

7.00%, 07/25/2023

      9,643        10,161  

7.00%, 07/25/2023

      14,327        15,157  

7.00%, 08/25/2023

      23,705        25,059  

7.00%, 04/25/2024

      24,830        26,795  

7.00%, 04/25/2024

      58,689        62,571  

7.00%, 11/25/2026

      15,459        16,867  

7.00%, 12/18/2027

      5,388        472  

7.00%, 03/25/2031

      3,946        4,734  

7.00%, 07/25/2031

      13,765        16,577  

7.00%, 08/25/2031

      25,251        29,930  

7.00%, 09/25/2031

      4,113        4,942  

7.00%, 09/25/2031

      6,873        8,181  

7.00%, 09/25/2031

      33,845        40,640  

7.00%, 11/25/2031

      46,659        56,156  

7.00%, 05/25/2033

      125,503        14,299  

7.00%, 07/25/2039

      2,236        2,658  

7.00%, 11/25/2041

      859,437        1,062,343  

7.00%, 11/25/2041

      900,296        1,080,752  

7.00%, 11/25/2041

      1,024,632        1,260,920  

7.00% (1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037(2)(8)

      530,073        136,407  

7.05% (1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038(2)(8)

      44,721        8,273  

7.26% (1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033(2)(8)

      79,146        93,392  

7.45% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028(2)(8)

      178,677        23,595  

7.45% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033(2)(8)

      91,597        19,433  

7.50%, 06/25/2022

      34        36  

7.50%, 07/25/2022

      2,029        2,101  

7.50%, 09/25/2022

      1,167        1,200  

7.50%, 10/25/2022

      2,547        2,667  

7.50%, 03/25/2023

      2,600        2,749  

7.50%, 04/18/2027

      3,529        4,089  

7.50%, 04/20/2027

      5,309        6,140  

7.50%, 05/20/2027

      19,454        22,194  

7.50%, 12/18/2029

      6,003        6,940  

7.50%, 02/25/2030

      31,232        36,665  

7.70%, 03/25/2023

      1,161        1,226  

7.75%, 09/25/2022

      1,149        1,203  

7.90%, 01/25/2023

      2,026        2,132  

7.90% (1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023(2)(8)

      462        33  

8.00%, 07/25/2022

      112        116  

8.00%, 07/25/2022

      3,816        3,996  

8.00%, 09/25/2022

      4,165        4,355  

8.00% (1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028(2)(8)

      3,209        199  

8.50%, 06/25/2021

      3        3  

8.50%, 01/25/2025

      1,196        1,329  

8.50%, 01/25/2031

      1,751        347  

8.50% (1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032(2)(8)

      14,518        17,472  

8.75%, 06/25/2021

      15        15  

8.80%, 01/25/2025

      2,500        2,831  

8.95% (1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030(2)(8)

      9,158        1,272  

9.90% (1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033(2)(8)

      9,385        11,724  

10.00% (10 year CMT Index + 10.75%, 10.00% Cap), 08/25/2023(2)(8)

      12,702        1,279  

10.00% (1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032(2)(8)

      566        708  

10.50% (11th District Cost of Funds Index + 63.39%, 10.50% Cap), 10/25/2023(2)(8)

      408        457  

11.30% (1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034(2)(8)

      2,562        3,005  

12.25% (1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033(2)(8)

      12,701        16,110  

12.30% (11th District Cost of Funds Index + 12.95%, 4.00% Floor, 12.95% Cap), 12/25/2023(2)(8)

      743        827  

12.36% (1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040(2)(8)

      234,872        319,429  

13.36% (1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033(2)(8)

      19,952        25,621  

13.47% (11th District Cost of Funds Index + 14.86%, 14.86% Cap), 09/25/2023(2)(8)

      711        773  

13.70% (1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038(2)(8)

      19,612        24,980  

13.80% (1 Month LIBOR USD + 14.10%, 14.10% Cap), 12/25/2033(2)(8)

      764        780  

13.90% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033(2)(8)

      24,423        26,844  

13.94% (1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034(2)(8)

      11,909        15,192  

14.21% (1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032(2)(8)

      6,902        9,192  

15.20% (1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031(2)(8)

      13,641        18,893  

15.50% (1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023(2)(8)

      400        471  

15.78% (1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037(2)(8)

      10,292        14,639  

15.90% (1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034(2)(8)

      7,808        9,104  

16.09% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034(2)(8)

      10,374        14,370  

16.13% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037(2)(8)

      28,095        37,934  

16.33% (1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035(2)(8)

      30,758        42,641  

16.50% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035(2)(8)

      25,963        36,204  

16.50% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035(2)(8)

      31,293        44,861  

16.63% (1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035(2)(8)

      4,339        5,633  

17.00% (1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035(2)(8)

      25,101        37,374  

17.12% (1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031(2)(8)

      1,302        1,835  

17.17% (1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040(2)(8)

      115,205        162,127  

17.42% (1 Month LIBOR USD + 17.68%, 17.68% Cap), 05/25/2021(2)(8)

      13        13  

17.71% (1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033(2)(8)

      23,227        28,924  

19.01% (11th District Cost of Funds Index + 20.53%, 20.53% Cap), 04/25/2023(2)(8)

      1,190        1,350  

19.12% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034(2)(8)

      37,894        56,787  

19.12% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034(2)(8)

      84,419        130,041  

19.39% (1 Month LIBOR USD + 19.80%, 19.80% Cap), 11/25/2034(2)(8)

      2,897        2,993  

19.61% (1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035(2)(8)

      75,770        98,576  

19.72% (1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035(2)(8)

      52,089        68,112  

20.26% (1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038(2)(8)

      23,141        36,013  

21.20% (7 year CMT Index + 22.30%, 21.83% Cap), 04/25/2023(2)(8)

      2,242        423  

22.17% (1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037(2)(8)

      36,452        60,990  

22.51% (1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031(2)(8)

      10,824        17,791  

22.97% (1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023(2)(8)

      1,139        1,456  

23.41% (1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034(2)(8)

      15,973        25,472  

23.47% (1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037(2)(8)

      46,769        75,682  

23.61% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035(2)(8)

      7,055        10,733  

23.66% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036(2)(8)

      4,798        7,865  

23.98% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023(2)(8)

      1,596        2,064  

23.98% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031(2)(8)

      17,639        26,318  

24.02% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035(2)(8)

      144,561        220,911  

24.02% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036(2)(8)

      14,265        23,872  

24.21% (1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035(2)(8)

      17,394        23,202  

24.71% (1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032(2)(8)

      3,301        4,856  

24.76% (1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035(2)(8)

      25,258        43,125  

25.61% (1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036(2)(8)

      18,466        30,544  

25.97% (1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036(2)(8)

      3,844        6,216  

26.89% (11th District Cost of Funds Index + 29.75%, 29.75% Cap), 10/25/2023(2)(8)

      613        724  

28.12% (11th District Cost of Funds Index + 31.01%, 31.01% Cap), 12/25/2023(2)(8)

      1,962        2,345  

28.21% (1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036(2)(8)

      15,777        25,529  

28.60% (7 year CMT Index + 30.01%, 29.59% Cap), 12/25/2021(2)(8)

      9        10  

29.48% (1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036(2)(8)

      16,182        28,124  

32.51% (1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026(2)(8)

      10,957        16,624  

38.11% (1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037(2)(8)

      8,374        29,805  

39.01% (1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036(2)(8)

      11,891        25,879  

Fannie Mae REMICS SER 1990-140 CL K

      

652.15%, 12/25/2020

      3        4  

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)

      883        958  

Fannie Mae REMICS SER 2019 CL BA

      

1.99%, 12/25/2029

      25,524,725        26,582,158  

Fannie Mae REMICS SER G92-35 CL G

      

1184.78%, 07/25/2022

      2        14  

Fannie Mae Trust 2003-W2

      

5.90%, 07/25/2042

      48,920        57,256  

6.50%, 07/25/2042

      81,613        96,748  

Fannie Mae Trust 2003-W6

      

5.20%, 09/25/2042

      307,850        350,311  

6.50%, 09/25/2042

      112,828        133,077  

Fannie Mae Trust 2003-W8

      

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042(2)

      26,089        25,996  

7.00%, 10/25/2042

      123,764        148,724  

Fannie Mae Trust 2004-W1

      

7.00%, 12/25/2033

      195,395        232,245  

Fannie Mae Trust 2004-W15

      

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044(2)

      117,995        117,329  

Fannie Mae Trust 2004-W2

      

7.00%, 02/25/2044

      38,879        45,873  

Fannie Mae Trust 2004-W8

      

7.50%, 06/25/2044

      38,887        46,734  

Fannie Mae Trust 2005-W3

      

0.37% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045(2)

      943,052        939,480  

Fannie Mae Trust 2005-W4

      

6.00%, 08/25/2045

      50,799        59,007  

Fannie Mae Trust 2006-W2

      

0.37% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046(2)

      418,159        418,139  

3.58%, 11/25/2045(4)

      120,970        128,836  

Fannie Mae Whole Loan

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046(2)

      983,803        971,769  

Fannie Mae-Aces

      

0.75%, 09/25/2028

      35,760,000        35,410,117  

1.11% (1 Month LIBOR USD + 0.93%), 11/25/2022(2)

      587,618        588,013  

1.59%, 11/25/2028

      2,970,000        3,042,227  

2.10%, 08/25/2029

      20,384,428        21,611,758  

2.11%, 11/25/2028

      12,600,000        1,690,620  

2.15%, 07/25/2030

      122,861,915        17,276,830  

2.28%, 12/27/2022

      712,119        733,881  

2.39%, 01/25/2023(4)

      585,892        607,154  

2.50%, 10/25/2026(4)

      5,335,000        5,800,679  

2.53%, 09/25/2024

      1,320,831        1,401,554  

2.57%, 12/25/2026(4)

      1,512,023        1,649,662  

2.59%, 12/25/2024

      1,415,806        1,510,007  

2.67%, 12/25/2026(4)

      9,307,000        10,129,826  

2.83%, 01/25/2025(4)

      587,027        628,109  

2.90%, 01/25/2025(4)

      2,000,000        2,159,856  

2.92%, 08/25/2021

      287,948        292,231  

2.96%, 02/25/2027(4)

      3,535,000        3,953,326  

2.98%, 08/25/2029

      2,200,000        2,521,917  

3.01%, 11/25/2025(4)

      8,196,599        8,981,657  

3.02%, 08/25/2024(4)

      1,207,358        1,299,865  

3.06%, 05/25/2027(4)

      29,130,000        32,879,028  

3.09%, 04/25/2027(4)

      23,211,000        25,963,119  

3.10%, 07/25/2024(4)

      1,020,560        1,108,273  

3.15%, 03/25/2028(4)

      3,891,000        4,435,814  

3.18%, 06/25/2027(4)

      5,513,000        6,204,367  

3.19%, 02/25/2030(4)

      2,791,000        3,211,509  

3.29%, 04/25/2029(4)

      4,540,000        5,211,688  

3.44%, 06/25/2028(4)

      5,160,000        5,975,512  

3.48%, 07/25/2028(4)

      4,813,615        5,301,324  

3.48%, 07/25/2028(4)

      35,477,000        41,234,328  

3.50%, 01/25/2024(4)

      11,505,237        12,485,412  

3.51%, 12/25/2023(4)

      1,961,708        2,100,434  

3.66%, 11/25/2020

      2,691        2,689  

3.67%, 09/25/2028(4)

      7,310,000        8,665,219  

3.76%, 06/25/2021

      354,500        358,347  

3.78%, 08/25/2030(4)

      7,611,341        9,218,751  

FHLMC-Ginnie Mae

      

6.25%, 11/25/2023

      3,063        3,253  

7.00%, 03/25/2023

      3,394        3,526  

7.50%, 04/25/2024

      21,277        22,868  

First Horizon Alternative Mortgage Securities Trust 2005-FA8

      

5.50%, 11/25/2035

      82,310        62,694  

First Horizon Alternative Mortgage Securities Trust 2006-FA6

      

5.75%, 11/25/2021

      2,431        2,290  

First Horizon Alternative Mortgage Securities Trust 2006-FA8

      

5.75%, 02/25/2037

      13,627        9,844  

First Horizon Alternative Mortgage Securities Trust 2007-FA4

      

5.50% (1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037(2)(8)

      719,759        188,943  

FNCL TBA 30 YR 1.5% NOV 20

      

1.50%, 11/01/2050(9)

      1,899,658        1,908,381  

Freddie Mac Gold Pool

      

2.00%, 01/01/2032

      4,926,908        5,145,957  

2.50%, 04/01/2028

      1,582,456        1,656,908  

2.50%, 06/01/2028

      603,917        639,930  

2.50%, 03/01/2030

      1,228,647        1,305,227  

2.50%, 07/01/2030

      2,793,204        2,977,787  

2.50%, 07/01/2031

      2,490,320        2,658,516  

2.50%, 08/01/2031

      1,467,238        1,564,328  

2.50%, 11/01/2046

      2,503,545        2,666,490  

3.00%, 07/01/2028

      1,221,078        1,298,830  

3.00%, 08/01/2028

      713,673        765,079  

3.00%, 09/01/2028

      2,506,051        2,671,330  

3.00%, 10/01/2028

      1,059,041        1,138,025  

3.00%, 05/01/2029

      949,208        1,010,506  

3.00%, 04/01/2031

      4,866,518        5,219,278  

3.00%, 09/01/2031

      1,034,532        1,113,482  

3.00%, 02/01/2032

      5,345,891        5,733,297  

3.00%, 02/01/2032

      7,718,663        8,313,061  

3.00%, 08/01/2042

      1,548,393        1,647,611  

3.00%, 10/01/2042

      3,950,735        4,204,763  

3.00%, 11/01/2042

      569,397        605,814  

3.00%, 11/01/2042

      5,235,534        5,652,745  

3.00%, 02/01/2043

      341,592        363,908  

3.00%, 03/01/2043

      2,187,861        2,331,174  

3.00%, 03/01/2043

      4,394,398        4,681,906  

3.00%, 04/01/2043

      80,148        85,375  

3.00%, 04/01/2043

      10,552,890        11,319,114  

3.00%, 06/01/2043

      29,837        31,737  

3.00%, 07/01/2043

      22,955        24,450  

3.00%, 07/01/2043

      302,192        321,912  

3.00%, 08/01/2043

      443,507        472,150  

3.00%, 08/01/2043

      5,865,304        6,248,305  

3.00%, 01/01/2045

      181,587        187,864  

3.00%, 05/01/2045

      1,025,135        1,112,714  

3.00%, 05/01/2045

      2,135,102        2,304,300  

3.00%, 06/01/2045

      530,293        562,116  

3.00%, 10/01/2045

      4,116,240        4,385,877  

3.00%, 10/01/2046

      6,706,237        7,053,989  

3.00%, 10/01/2046

      18,304,486        19,736,025  

3.00%, 03/01/2047

      1,355,576        1,423,724  

3.00%, 05/01/2047

      13,900,167        14,901,719  

3.50%, 01/01/2027

      129,978        137,690  

3.50%, 01/01/2032

      432,344        467,313  

3.50%, 03/01/2032

      172,966        186,829  

3.50%, 02/01/2033

      148,623        159,773  

3.50%, 05/01/2033

      194,957        209,570  

3.50%, 05/01/2033

      571,389        613,090  

3.50%, 01/01/2034

      6,262,896        6,767,162  

3.50%, 11/01/2037

      2,217,517        2,352,809  

3.50%, 05/01/2042

      750,560        813,536  

3.50%, 06/01/2042

      360,095        389,687  

3.50%, 06/01/2042

      2,271,338        2,466,953  

3.50%, 08/01/2042

      630,415        680,869  

3.50%, 09/01/2042

      2,691,508        2,920,891  

3.50%, 09/01/2042

      4,524,452        4,894,430  

3.50%, 10/01/2042

      2,177,274        2,362,398  

3.50%, 10/01/2042

      9,543,839        10,425,443  

3.50%, 11/01/2042

      91,349        99,281  

3.50%, 11/01/2042

      927,154        1,005,699  

3.50%, 11/01/2042

      2,518,014        2,730,087  

3.50%, 12/01/2042

      2,758,984        2,986,127  

3.50%, 01/01/2043

      6,308,955        6,829,394  

3.50%, 03/01/2043

      659,064        714,208  

3.50%, 05/01/2043

      254,402        276,364  

3.50%, 05/01/2043

      3,628,481        3,927,587  

3.50%, 06/01/2043

      765,162        830,967  

3.50%, 06/01/2043

      1,331,124        1,441,476  

3.50%, 07/01/2043

      467,098        506,896  

3.50%, 10/01/2043

      192,247        208,039  

3.50%, 05/01/2044

      12,822,533        14,143,820  

3.50%, 01/01/2045

      10,916,401        11,917,497  

3.50%, 06/01/2045

      1,238,089        1,340,703  

3.50%, 08/01/2045

      3,889,249        4,178,031  

3.50%, 12/01/2045

      4,022,712        4,293,514  

3.50%, 01/01/2046

      686,361        742,063  

3.50%, 01/01/2046

      7,603,174        8,272,948  

3.50%, 05/01/2046

      2,614,402        2,788,146  

3.50%, 07/01/2046

      1,727,506        1,846,842  

3.50%, 07/01/2046

      3,329,903        3,554,467  

3.50%, 08/01/2046

      6,288,984        6,929,985  

3.50%, 08/01/2046

      7,798,859        8,441,773  

3.50%, 12/01/2046

      456,221        485,392  

3.50%, 12/01/2046

      7,062,264        7,652,793  

3.50%, 01/01/2047

      3,033,999        3,229,023  

3.50%, 10/01/2047

      9,275,326        9,817,041  

3.50%, 01/01/2048

      5,591,229        5,944,612  

3.50%, 03/01/2048

      5,299,933        5,690,592  

4.00%, 08/01/2040

      434,057        473,986  

4.00%, 09/01/2040

      547,382        600,882  

4.00%, 11/01/2040

      31,317        34,581  

4.00%, 11/01/2040

      1,451,787        1,579,794  

4.00%, 12/01/2040

      340,875        376,347  

4.00%, 12/01/2040

      743,540        819,546  

4.00%, 12/01/2040

      912,698        1,007,211  

4.00%, 12/01/2040

      1,060,474        1,168,248  

4.00%, 12/01/2040

      1,110,095        1,222,407  

4.00%, 01/01/2041

      621,995        682,328  

4.00%, 01/01/2041

      1,243,616        1,372,133  

4.00%, 10/01/2041

      3,369,672        3,714,909  

4.00%, 11/01/2041

      9,622        10,568  

4.00%, 01/01/2042

      181,710        200,447  

4.00%, 05/01/2042

      12,576        13,876  

4.00%, 06/01/2042

      1,584,363        1,736,277  

4.00%, 10/01/2042

      41,951        44,007  

4.00%, 01/01/2043

      209,048        229,142  

4.00%, 06/01/2043

      15,591        16,738  

4.00%, 09/01/2043

      132,401        146,317  

4.00%, 09/01/2043

      5,629,177        6,216,916  

4.00%, 11/01/2043

      65,893        72,438  

4.00%, 11/01/2043

      133,299        146,332  

4.00%, 12/01/2043

      184,111        203,109  

4.00%, 12/01/2043

      678,107        736,495  

4.00%, 12/01/2043

      1,273,201        1,397,358  

4.00%, 01/01/2044

      111,137        121,537  

4.00%, 01/01/2044

      398,404        437,512  

4.00%, 03/01/2044

      2,132,455        2,341,412  

4.00%, 05/01/2044

      88,067        96,134  

4.00%, 10/01/2044

      6,000,743        6,593,217  

4.00%, 01/01/2045

      346,414        378,349  

4.00%, 10/01/2045

      480,228        520,618  

4.00%, 10/01/2045

      6,434,776        7,001,817  

4.00%, 11/01/2045

      9,654,578        10,503,872  

4.00%, 12/01/2045

      1,114,365        1,217,151  

4.00%, 01/01/2046

      3,239,501        3,550,661  

4.00%, 02/01/2046

      1,903,304        2,090,082  

4.00%, 05/01/2046

      255,426        277,013  

4.00%, 06/01/2046

      8,795,197        9,592,176  

4.00%, 08/01/2046

      2,285,041        2,491,934  

4.00%, 01/01/2047

      11,421,106        12,716,011  

4.00%, 04/01/2047

      441,810        484,944  

4.00%, 06/01/2047

      4,254,988        4,565,309  

4.00%, 09/01/2047

      6,080,779        6,686,438  

4.50%, 11/01/2035

      10,174        11,322  

4.50%, 07/01/2039

      162,526        182,450  

4.50%, 10/01/2039

      1,255,209        1,408,350  

4.50%, 11/01/2039

      1,434,612        1,609,916  

4.50%, 11/01/2039

      1,949,654        2,187,296  

4.50%, 05/01/2040

      684,980        768,524  

4.50%, 08/01/2040

      311,900        350,240  

4.50%, 09/01/2040

      249,623        280,934  

4.50%, 09/01/2040

      985,483        1,101,642  

4.50%, 03/01/2041

      198,987        223,431  

4.50%, 05/01/2041

      1,552,277        1,747,166  

4.50%, 08/01/2041

      530,014        596,918  

4.50%, 12/01/2043

      5,655,835        6,362,287  

4.50%, 03/01/2044

      495,812        554,737  

4.50%, 05/01/2044

      751,404        840,497  

4.50%, 07/01/2044

      23,460        25,436  

4.50%, 07/01/2044

      233,087        259,327  

4.50%, 09/01/2044

      1,522,086        1,698,283  

4.50%, 09/01/2046

      3,220,946        3,538,117  

4.50%, 10/01/2046

      2,639,780        2,898,814  

4.50%, 11/01/2046

      10,445,906        11,746,390  

4.50%, 03/01/2047

      881,920        979,177  

4.50%, 07/01/2047

      1,339,492        1,458,380  

4.50%, 07/01/2047

      2,571,981        2,816,502  

4.50%, 11/01/2047

      1,006,813        1,094,913  

4.50%, 09/01/2048

      294,311        318,911  

5.00%, 01/01/2034

      23,183        26,689  

5.00%, 06/01/2034

      66,712        76,565  

5.00%, 09/01/2034

      71,345        82,215  

5.00%, 03/01/2035

      19,652        21,661  

5.00%, 08/01/2035

      1,001,610        1,145,157  

5.00%, 03/01/2036

      2,138,384        2,460,027  

5.00%, 07/01/2036

      2,021        2,325  

5.00%, 11/01/2036

      58,792        67,619  

5.00%, 03/01/2037

      161,100        185,674  

5.00%, 06/01/2037

      176,285        202,926  

5.00%, 08/01/2037

      168,375        193,881  

5.00%, 02/01/2038

      220,411        253,249  

5.00%, 03/01/2038

      53,071        61,087  

5.00%, 03/01/2038

      187,816        216,290  

5.00%, 03/01/2038

      207,394        238,568  

5.00%, 03/01/2038

      235,488        270,990  

5.00%, 04/01/2038

      132,138        151,883  

5.00%, 09/01/2038

      25,402        29,217  

5.00%, 09/01/2038

      147,113        169,212  

5.00%, 11/01/2038

      1,091        1,255  

5.00%, 11/01/2038

      53,803        61,708  

5.00%, 12/01/2038

      548        629  

5.00%, 12/01/2038

      174,975        201,293  

5.00%, 02/01/2039

      362,118        416,555  

5.00%, 05/01/2039

      6,735        7,779  

5.00%, 10/01/2039

      401,093        461,463  

5.00%, 01/01/2040

      101,567        116,947  

5.00%, 03/01/2040

      164,728        189,046  

5.00%, 03/01/2040

      1,860,474        2,143,997  

5.00%, 08/01/2040

      257,441        296,704  

5.00%, 04/01/2041

      681,353        779,516  

5.00%, 06/01/2041

      339,311        390,108  

5.00%, 12/01/2047

      4,121,459        4,546,866  

5.00%, 02/01/2048

      1,574,476        1,742,715  

5.50%, 02/01/2024

      2,471        2,554  

5.50%, 01/01/2033

      38,664        44,322  

5.50%, 10/01/2033

      33,821        39,817  

5.50%, 07/01/2035

      64,731        75,877  

5.50%, 01/01/2036

      15,046        17,645  

5.50%, 12/01/2036

      29,145        33,914  

5.50%, 05/01/2038

      46,921        54,337  

5.50%, 08/01/2038

      59,884        69,648  

5.50%, 01/01/2039

      2,239,727        2,637,617  

5.50%, 03/01/2040

      21,431        24,735  

5.50%, 05/01/2040

      1,497,256        1,736,614  

5.50%, 08/01/2040

      617,080        714,492  

6.00%, 07/01/2021

      9        9  

6.00%, 07/01/2021

      282        283  

6.00%, 03/01/2022

      7        7  

6.00%, 10/01/2029

      8,862        9,981  

6.00%, 12/01/2033

      11,090        12,412  

6.00%, 01/01/2034

      6,071        6,391  

6.00%, 01/01/2034

      24,519        28,993  

6.00%, 11/01/2036

      8,760        9,763  

6.00%, 12/01/2036

      5,813        6,799  

6.00%, 12/01/2036

      13,963        16,537  

6.50%, 03/01/2022

      366        369  

6.50%, 01/01/2028

      26,789        29,397  

6.50%, 06/01/2029

      9,608        10,769  

6.50%, 08/01/2029

      75,956        88,260  

6.50%, 11/01/2034

      6,058        7,196  

6.50%, 01/01/2035

      81,792        92,385  

6.50%, 12/01/2035

      11,233        11,774  

6.50%, 12/01/2035

      50,337        57,921  

6.50%, 11/01/2036

      16,524        19,123  

6.50%, 11/01/2036

      104,766        118,476  

6.50%, 11/01/2036

      166,656        195,037  

6.50%, 12/01/2036

      85,970        102,562  

6.50%, 12/01/2036

      197,438        229,387  

6.50%, 01/01/2037

      6,037        6,258  

6.50%, 01/01/2037

      16,595        18,872  

6.50%, 02/01/2037

      8,294        8,647  

6.50%, 06/01/2037

      5,350        5,600  

6.50%, 11/01/2037

      39,743        48,758  

6.50%, 03/01/2038

      44,794        52,353  

7.00%, 04/01/2026

      800        891  

7.00%, 12/01/2028

      31,463        35,701  

7.00%, 07/01/2029

      845        950  

7.00%, 01/01/2031

      27,434        31,224  

7.00%, 07/01/2032

      2,978        3,412  

7.00%, 08/01/2032

      4,090        4,830  

7.00%, 02/01/2037

      6,637        7,933  

7.50%, 08/01/2025

      696        760  

7.50%, 01/01/2032

      69,153        78,350  

7.50%, 12/01/2036

      226,303        257,423  

7.50%, 01/01/2038

      34,105        42,350  

7.50%, 01/01/2038

      58,277        67,547  

7.50%, 09/01/2038

      26,085        30,797  

8.00%, 08/01/2024

      348        380  

8.00%, 11/01/2024

      245        264  

8.50%, 07/01/2028

      1,886        2,157  

10.00%, 03/17/2026

      46        46  

10.00%, 10/01/2030

      7,146        7,729  

Freddie Mac Multifamily Structured Pass Through Certificates

      

0.86% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 09/25/2022(2)

      127,729        127,878  

0.93%, 10/25/2022(4)

      20,643,297        278,092  

1.49%, 05/25/2022(4)

      48,781,058        875,986  

1.50%, 03/25/2026(4)

      27,271,218        1,753,100  

1.64%, 01/25/2030

      1,890,000        1,977,088  

2.31%, 12/25/2022

      4,183,790        4,338,722  

2.36%, 08/25/2022

      1,766,679        1,801,114  

2.52%, 01/25/2023

      1,887,036        1,946,415  

2.57%, 07/25/2026

      10,075,000        11,059,972  

2.77%, 05/25/2025

      4,250,000        4,609,085  

2.81%, 09/25/2024

      6,287,000        6,721,278  

2.84%, 09/25/2022

      1,516,581        1,570,855  

2.86%, 08/25/2022

      4,195,605        4,327,787  

2.91%, 04/25/2024

      9,211,440        9,853,881  

3.04%, 07/25/2024

      10,000,000        10,855,102  

3.07%, 08/25/2022

      1,665,380        1,714,485  

3.08%, 01/25/2031

      4,126,000        4,734,439  

3.10%, 02/25/2024(4)

      11,250,000        12,122,788  

3.11%, 02/25/2023

      13,450,000        14,180,907  

3.12%, 06/25/2027

      4,263,000        4,830,512  

3.17%, 09/25/2026(4)

      9,915,000        11,145,739  

3.19%, 09/25/2027(4)

      17,996,000        20,656,934  

3.22%, 03/25/2027

      8,625,000        9,845,214  

3.24%, 04/25/2027

      7,030,000        8,037,593  

3.24%, 08/25/2027

      2,846,000        3,272,214  

3.25%, 09/25/2027(4)

      4,900,000        5,597,550  

3.30%, 11/25/2027(4)

      4,589,000        5,278,637  

3.32%, 02/25/2023

      5,550,000        5,884,512  

3.33%, 05/25/2027

      1,779,000        2,038,807  

3.33%, 08/25/2025(4)

      10,000,000        11,214,809  

3.34%, 04/25/2028(4)

      3,315,000        3,752,011  

3.35%, 01/25/2028

      5,167,000        5,975,185  

3.36%, 11/25/2027(4)

      18,922,000        21,801,211  

3.36%, 12/25/2026(4)

      27,000,000        30,385,503  

3.39%, 03/25/2024

      4,286,000        4,664,729  

3.41%, 12/25/2026

      15,125,000        17,402,435  

3.49%, 01/25/2024

      18,300,000        19,877,074  

3.51%, 03/25/2029

      2,527,000        2,984,480  

3.51%, 01/25/2027(4)

      23,250,000        26,873,622  

3.76%, 01/25/2029(4)

      11,600,000        13,855,063  

3.85%, 05/25/2028(4)

      3,550,000        4,229,394  

3.85%, 05/25/2028(4)

      6,340,000        7,556,792  

3.85%, 06/25/2028

      7,875,000        9,393,649  

3.90%, 04/25/2028

      8,575,000        10,266,429  

3.90%, 10/25/2033(4)

      6,500,000        8,173,070  

3.92%, 12/25/2028(4)

      4,100,000        4,938,906  

3.92%, 09/25/2028(4)

      10,000,000        12,067,822  

3.99%, 05/25/2033(4)

      16,700,000        20,752,529  

4.03%, 10/25/2028(4)

      5,600,000        6,817,452  

4.06%, 10/25/2028

      9,600,000        11,582,512  

Freddie Mac Non Gold Pool

      

2.06% (6 Month LIBOR USD + 1.68%, 1.68% Floor, 13.14% Cap), 08/01/2036(2)

      124,258        129,319  

2.15% (6 Month LIBOR USD + 1.71%, 1.71% Floor, 12.78% Cap), 08/01/2036(2)

      38,604        40,236  

2.29% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.29% Cap), 08/01/2035(2)

      5,807        5,825  

2.38% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.75% Cap), 11/01/2037(2)

      5,300        5,316  

2.48% (6 Month LIBOR USD + 1.75%, 1.76% Floor, 12.56% Cap), 07/01/2036(2)

      33,580        35,081  

2.50% (1 Year CMT Index + 2.13%, 2.13% Floor, 12.13% Cap), 07/01/2026(2)

      2,897        2,908  

2.50% (6 Month LIBOR USD + 1.63%, 1.63% Floor, 11.75% Cap), 08/01/2036(2)

      1,786        1,796  

2.55% (6 Month LIBOR USD + 1.93%, 1.94% Floor, 12.42% Cap), 03/01/2037(2)

      94,078        98,966  

2.57% (6 Month LIBOR USD + 2.11%, 2.11% Floor, 12.44% Cap), 02/01/2037(2)

      27,950        28,601  

2.64% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.86% Cap), 07/01/2036(2)

      18,235        19,242  

2.65% (1 Year LIBOR USD + 1.75%, 1.74% Floor, 11.44% Cap), 09/01/2036(2)

      49,464        51,981  

2.71% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 11.71% Cap), 07/01/2037(2)

      11,850        11,999  

2.76% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.34% Cap), 10/01/2036(2)

      39,518        40,209  

2.81% (6 Month LIBOR USD + 2.14%, 2.14% Floor, 11.85% Cap), 12/01/2035(2)

      18,278        18,584  

3.00% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.98% Cap), 12/01/2036(2)

      147,208        154,505  

3.01% (6 Month LIBOR USD + 1.54%, 1.54% Floor, 11.81% Cap), 05/01/2037(2)

      60,802        63,066  

3.04% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 10.68% Cap), 01/01/2037(2)

      14,090        14,187  

3.11% (6 Month LIBOR USD + 1.73%, 1.73% Floor, 13.10% Cap), 10/01/2036(2)

      72,563        75,786  

3.16% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 11.32% Cap), 10/01/2036(2)

      13,561        13,648  

3.21% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.20% Cap), 07/01/2036(2)

      29,341        30,966  

3.22% (6 Month LIBOR USD + 1.81%, 1.81% Floor, 12.46% Cap), 10/01/2036(2)

      34,653        36,305  

3.23% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.66% Cap), 05/01/2036(2)

      46,224        48,957  

3.24% (1 Year CMT Index + 2.25%, 2.25% Floor, 11.19% Cap), 11/01/2036(2)

      94,741        100,156  

3.24% (1 Year LIBOR USD + 1.84%, 1.84% Floor, 9.09% Cap), 07/01/2040(2)

      31,189        32,589  

3.25% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.42% Cap), 11/01/2036(2)

      35,489        36,108  

3.33% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 11.11% Cap), 12/01/2036(2)

      158,726        165,731  

3.34% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.04% Cap), 09/01/2036(2)

      102,223        108,151  

3.37% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.46% Cap), 05/01/2037(2)

      47,876        48,272  

3.47% (1 Year LIBOR USD + 1.71%, 1.71% Floor, 10.10% Cap), 02/01/2036(2)

      10,762        11,296  

3.47% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.14% Cap), 05/01/2037(2)

      20,769        21,946  

3.51% (1 Year LIBOR USD + 1.93%, 1.93% Floor, 10.94% Cap), 06/01/2036(2)

      156,627        166,096  

3.54% (1 Year LIBOR USD + 1.99%, 1.99% Floor, 10.89% Cap), 06/01/2036(2)

      61,100        61,505  

3.57% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.64% Cap), 09/01/2034(2)

      70,594        74,655  

3.58% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.97% Cap), 02/01/2036(2)

      44,096        46,548  

3.60% (1 Year LIBOR USD + 2.20%, 2.20% Floor, 10.78% Cap), 10/01/2036(2)

      23,897        24,140  

3.64% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 9.14% Cap), 04/01/2034(2)

      16,273        16,676  

3.68% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.05% Cap), 11/01/2036(2)

      12,621        12,874  

3.70% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.06% Cap), 02/01/2037(2)

      9,041        9,493  

3.70% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.29% Cap), 05/01/2033(2)

      83,356        87,768  

3.71% (6 Month LIBOR USD + 2.12%, 2.12% Floor, 10.89% Cap), 05/01/2037(2)

      3,288        3,321  

3.74% (1 Year CMT Index + 2.26%, 2.26% Floor, 11.83% Cap), 04/01/2030(2)

      1,004        1,007  

3.75% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.83% Cap), 11/01/2036(2)

      28,249        29,638  

3.75% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.55% Cap), 05/01/2036(2)

      38,722        41,102  

3.77% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.95% Cap), 11/01/2036(2)

      42,975        44,931  

3.77% (1 Year CMT Index + 2.11%, 2.11% Floor, 12.18% Cap), 01/01/2027(2)

      2,939        2,949  

3.78% (1 Year LIBOR USD + 1.87%, 1.86% Floor, 10.67% Cap), 05/01/2038(2)

      16,558        16,681  

3.82% (1 Year LIBOR USD + 1.69%, 1.69% Floor, 11.32% Cap), 12/01/2036(2)

      4,260        4,281  

3.88% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.03% Cap), 01/01/2035(2)

      38,697        40,895  

3.88% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.09% Cap), 01/01/2035(2)

      98,533        104,092  

3.88% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 10.80% Cap), 02/01/2037(2)

      4,380        4,405  

3.89% (1 Year LIBOR USD + 1.89%, 1.89% Floor, 10.97% Cap), 02/01/2037(2)

      31,276        31,446  

3.91% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 11.12% Cap), 12/01/2036(2)

      45,443        47,609  

3.91% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 10.91% Cap), 04/01/2037(2)

      1,701        1,708  

3.92% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 10.89% Cap), 01/01/2037(2)

      31,573        32,240  

3.93% (1 Year LIBOR USD + 2.18%, 2.18% Floor, 11.07% Cap), 05/01/2037(2)

      38,388        41,159  

3.95% (1 Year LIBOR USD + 2.05%, 2.05% Floor, 10.98% Cap), 04/01/2038(2)

      37,410        39,837  

3.98% (1 Year LIBOR USD + 1.98%, 1.98% Floor, 10.62% Cap), 04/01/2037(2)

      27,300        27,589  

3.98% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.36% Cap), 12/01/2033(2)

      20,383        20,771  

4.03% (1 Year LIBOR USD + 2.04%, 2.05% Floor, 11.04% Cap), 05/01/2037(2)

      66,037        67,065  

4.04% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.71% Cap), 03/01/2036(2)

      55,515        59,135  

4.07% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.25% Cap), 09/01/2032(2)

      3,476        3,491  

4.10% (1 Year LIBOR USD + 2.13%, 2.13% Floor, 11.19% Cap), 12/01/2036(2)

      1,901        1,916  

4.13% (1 Year LIBOR USD + 2.33%, 2.33% Floor, 11.01% Cap), 05/01/2036(2)

      9,620        10,376  

4.20% (1 Year LIBOR USD + 2.47%, 2.47% Floor, 11.85% Cap), 03/01/2036(2)

      38,876        41,506  

4.36% (1 Year CMT Index + 2.36%, 2.36% Floor, 11.18% Cap), 10/01/2036(2)

      40,046        40,543  

4.36% (1 Year LIBOR USD + 2.36%, 2.36% Floor, 10.68% Cap), 02/01/2037(2)

      5,576        5,597  

4.52% (1 Year LIBOR USD + 2.44%, 2.45% Floor, 11.79% Cap), 03/01/2037(2)

      6,943        7,061  

Freddie Mac Pool

      

2.50%, 09/01/2050

      1,018,304        1,075,394  

2.50%, 10/01/2050

      9,470,000        9,961,051  

3.00%, 12/01/2034

      299,201        320,979  

3.00%, 01/01/2046

      12,383,005        13,585,886  

3.00%, 02/01/2047

      2,122,472        2,285,313  

3.00%, 08/01/2048

      3,719,288        3,950,961  

3.00%, 10/01/2049

      3,296,961        3,496,232  

3.00%, 12/01/2049

      793,386        846,030  

3.00%, 01/01/2050

      2,236,543        2,386,382  

3.00%, 01/01/2050

      3,831,039        4,064,818  

3.00%, 03/01/2050

      6,172,926        6,648,601  

3.00%, 06/01/2050

      1,164,506        1,220,031  

3.00%, 06/01/2050

      10,742,213        11,496,525  

3.50%, 02/01/2042

      2,048,100        2,214,452  

3.50%, 08/01/2042

      1,839,653        1,994,179  

3.50%, 07/01/2045

      8,822,178        9,548,024  

3.50%, 07/01/2046

      417,474        446,169  

3.50%, 10/01/2046

      9,848,536        10,669,347  

3.50%, 06/01/2047

      424,508        458,903  

3.50%, 10/01/2047

      394,285        424,035  

3.50%, 01/01/2048

      1,345,366        1,430,014  

3.50%, 03/01/2048

      395,627        425,828  

3.50%, 03/01/2048

      7,819,515        8,393,687  

3.50%, 10/01/2049

      3,358,149        3,538,611  

4.00%, 12/01/2044

      3,495,671        3,857,681  

4.00%, 12/01/2045

      376,913        411,598  

4.00%, 02/01/2046

      8,862,297        9,760,536  

4.00%, 04/01/2047

      683,496        743,780  

4.00%, 05/01/2047

      4,384,311        4,796,874  

4.00%, 01/01/2048

      236,406        256,620  

4.00%, 06/01/2048

      202,251        223,466  

4.50%, 12/01/2045

      1,030,862        1,154,188  

4.50%, 06/01/2048

      6,682,924        7,408,176  

4.50%, 09/01/2048

      319,948        346,602  

4.50%, 11/01/2048

      4,691,629        5,075,399  

5.00%, 12/01/2049

      5,180,970        5,872,906  

Freddie Mac Pool UMBS P#QA4675

      

3.00%, 11/01/2049

      2,030,523        2,153,246  

Freddie Mac Pool UMBS P#QA9949

      

3.00%, 04/01/2050

      762,290        818,271  

Freddie Mac Pool UMBS P#RB5085

      

2.00%, 11/01/2040

      11,930,000        12,339,674  

Freddie Mac Pool UMBS P#SD0268

      

4.00%, 03/01/2046

      2,799,875        3,075,521  

Freddie Mac Pool UMBS P#ZM2487

      

3.50%, 01/01/2047

      3,793,106        4,142,244  

Freddie Mac PoolL UMBS P#QA6370

      

3.00%, 01/01/2050

      2,555,393        2,701,821  

Freddie Mac Reference REMIC

      

6.00%, 04/15/2036

      262,480        314,831  

6.00%, 05/15/2036

      349,539        417,633  

Freddie Mac REMICS

      

0.00% (10 year CMT Index + -0.70%, 10.00% Cap), 07/15/2023(2)

      3,143        3,094  

0.00%, 02/15/2024

      1,309        1,293  

0.00%, 02/15/2024

      5,776        5,743  

0.00% (10 year CMT Index + -0.85%, 10.00% Cap), 03/15/2024(2)

      206        203  

0.00%, 05/15/2024

      2,472        2,451  

0.00%, 09/15/2032

      905,573        850,912  

0.00%, 12/15/2032

      17,113        16,226  

0.00%, 07/15/2034

      92,915        88,641  

0.00%, 02/15/2035

      28,630        26,649  

0.00%, 04/15/2035

      38,384        37,428  

0.00%, 08/15/2035

      6,687        6,078  

0.00%, 09/15/2035

      18,076        17,849  

0.00%, 02/15/2036

      19,565        18,609  

0.00%, 02/15/2036

      20,800        19,692  

0.00%, 02/15/2036

      23,781        22,424  

0.00%, 02/15/2036

      60,886        60,231  

0.00%, 03/15/2036

      5,567        5,378  

0.00%, 03/15/2036

      34,909        34,534  

0.00%, 03/15/2036

      37,562        35,375  

0.00%, 04/15/2036

      28,969        28,376  

0.00%, 04/15/2036

      56,886        52,550  

0.00%, 04/15/2036

      71,901        71,132  

0.00%, 04/15/2036

      104,371        99,294  

0.00%, 05/15/2036

      8,271        7,775  

0.00%, 05/15/2036

      13,689        11,761  

0.00%, 05/15/2036

      32,012        30,321  

0.00%, 05/15/2036

      45,069        41,542  

0.00%, 06/15/2036

      74,592        73,606  

0.00%, 07/15/2036

      21,161        20,159  

0.00%, 08/15/2036

      29,719        28,401  

0.00%, 09/15/2036

      13,924        12,083  

0.00%, 09/15/2036

      17,595        16,259  

0.00%, 10/15/2036

      35,334        33,566  

0.00%, 12/15/2036

      17,849        16,782  

0.00%, 01/15/2037

      18,682        17,498  

0.00%, 02/15/2037

      4,987        4,819  

0.00%, 02/15/2037

      51,737        50,904  

0.00%, 03/15/2037

      7,444        6,944  

0.00%, 04/15/2037

      19,248        18,000  

0.00%, 05/15/2037

      1,171        1,113  

0.00%, 05/15/2037

      34,496        31,650  

0.00%, 05/15/2037

      194,820        182,234  

0.00%, 06/15/2037

      3,624        3,384  

0.00%, 06/15/2037

      19,309        18,445  

0.00%, 07/15/2037

      269,247        247,000  

0.00%, 09/15/2037

      27,036        24,955  

0.00%, 10/15/2039

      95,559        89,202  

0.00%, 01/15/2040

      84,460        80,222  

0.00%, 10/15/2049

      306,811        300,990  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035(2)

      63,503        63,548  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035(2)

      47,018        47,293  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039(2)

      212,304        212,774  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041(2)

      531,765        533,352  

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042(2)

      571,815        571,945  

0.56% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9999.00% Cap), 07/15/2037(2)

      586,735        586,751  

0.59% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037(2)

      36,903        37,138  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036(2)

      211,397        211,883  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 05/15/2039(2)

      106,876        107,001  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 08/15/2039(2)

      23,855        23,885  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042(2)

      1,731,396        1,741,783  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040(2)

      88,669        89,012  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042(2)

      685,187        690,392  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042(2)

      320,082        322,759  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040(2)

      946,199        950,749  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041(2)

      749,798        753,783  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029(2)

      10,540        10,606  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033(2)

      145,125        145,456  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037(2)

      13,616        13,787  

0.76% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024(2)

      546        547  

0.83% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037(2)

      525,676        534,630  

0.85% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027(2)

      372        374  

0.90% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032(2)

      35,113        35,687  

0.95% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035(2)

      46,272        47,124  

1.05% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032(2)

      53,622        54,222  

1.10% (1 Month LIBOR USD + 0.95%, 0.95% Floor, 11.00% Cap), 05/15/2021(2)

      2        2  

1.30% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022(2)

      662        662  

1.30% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023(2)

      4,268        4,302  

1.35% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039(2)

      22,043        22,314  

1.68% (11th District Cost of Funds Index + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023(2)

      117        118  

2.15% (11th District Cost of Funds Index + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023(2)

      172        175  

2.37% (1 Month LIBOR USD + 2.22%, 8.32% Cap), 07/15/2034(2)

      36,431        39,253  

2.63%, 02/15/2039(4)

      53,014        54,906  

2.86%, 01/15/2040(4)

      497,321        25,488  

3.00%, 08/15/2033

      495,000        538,594  

3.00%, 06/15/2043

      206,000        230,334  

3.00%, 12/15/2047

      2,527,874        2,669,822  

3.50%, 01/15/2026

      1,207,450        1,269,348  

3.50%, 08/15/2039

      251,255        256,834  

3.50%, 01/15/2042

      1,700,000        1,910,564  

3.50%, 06/15/2048

      2,328,354        2,370,255  

3.50%, 10/15/2053

      5,259,557        5,547,974  

3.75%, 02/15/2046(1)

      80,949        81,102  

4.00%, 12/15/2024

      121,566        127,468  

4.00%, 11/15/2029

      39,401        560  

4.00%, 11/15/2041

      434,755        484,753  

4.00%, 12/15/2041

      269,071        301,348  

4.00%, 12/15/2043

      1,500,000        1,521,297  

4.50%, 06/15/2025

      416,400        441,421  

4.50%, 07/15/2039

      338,863        359,119  

4.50%, 12/15/2039

      2,789,379        3,129,319  

4.50%, 05/15/2041

      838,036        943,405  

4.50%, 09/15/2043

      1,000,000        1,278,010  

4.59% (1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022(2)(8)

      739        766  

5.00%, 03/15/2022

      16        16  

5.00%, 05/15/2023

      6,633        6,873  

5.00%, 11/15/2023

      95,248        99,706  

5.00%, 12/15/2023

      9,890        10,349  

5.00%, 12/15/2024

      29,336        31,464  

5.00%, 04/15/2030

      702,000        817,724  

5.00%, 07/15/2033

      371,952        414,518  

5.00%, 01/15/2034

      225,059        260,634  

5.00%, 10/15/2039

      177,467        12,765  

5.00%, 12/15/2040

      1,058,543        1,166,888  

5.00%, 05/15/2041

      1,352,563        1,641,221  

5.50%, 10/15/2022

      17,442        18,066  

5.50%, 12/15/2022

      5,284        5,427  

5.50%, 03/15/2023

      67,506        70,576  

5.50%, 04/15/2023

      79,388        83,172  

5.50%, 11/15/2023

      19,755        20,529  

5.50%, 02/15/2034

      2,366        2,513  

5.50%, 08/15/2036

      48,170        56,284  

5.50%, 08/15/2036

      135,098        158,612  

5.50%, 03/15/2038

      372,385        435,607  

5.50%, 05/15/2038

      23,699        27,047  

5.50%, 01/15/2039

      151,548        176,715  

5.50% (1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041(2)(8)

      193,175        215,711  

5.50% (1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041(2)(8)

      534,105        591,254  

5.60%, 06/15/2023

      14,791        15,469  

5.69%, 10/15/2038(4)

      91,885        105,128  

5.70% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038(2)(8)

      194,629        38,623  

5.85% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038(2)(8)

      258,464        53,366  

5.85% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039(2)(8)

      78,177        14,430  

5.85% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(8)

      263,314        48,597  

5.85% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(8)

      344,607        53,968  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039(2)(8)

      14,613        2,540  

5.99% (1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037(2)(8)

      30,284        6,111  

6.00%, 11/15/2023

      8,488        8,986  

6.00%, 06/15/2024

      10,215        10,941  

6.00%, 05/15/2027

      11,015        12,043  

6.00%, 07/15/2028

      7,317        8,238  

6.00%, 09/15/2028

      5,027        5,694  

6.00%, 11/15/2028

      23,575        26,662  

6.00%, 12/15/2028

      44,056        49,877  

6.00%, 01/15/2029

      61,435        69,832  

6.00%, 02/15/2029

      13,511        14,845  

6.00%, 07/15/2031

      9,010        10,506  

6.00%, 09/15/2032

      32,254        37,823  

6.00%, 12/15/2032

      35,118        40,823  

6.00%, 12/15/2032

      66,109        75,760  

6.00%, 01/15/2033

      40,913        48,272  

6.00%, 02/15/2033

      38,488        45,597  

6.00%, 02/15/2033

      164,213        191,702  

6.00%, 03/15/2033

      27,178        30,570  

6.00%, 05/15/2034

      109,668        122,969  

6.00%, 04/15/2035

      1,057,000        1,222,354  

6.00%, 01/15/2036

      104,117        124,744  

6.00%, 03/15/2036

      2,663        4,065  

6.00%, 04/15/2036

      56,825        12,160  

6.00%, 04/15/2036

      67,970        81,092  

6.00%, 04/15/2036

      569,595        680,036  

6.00%, 06/15/2036

      13,823        15,124  

6.00%, 02/15/2037

      32,343        36,581  

6.00%, 04/15/2037

      52,478        62,101  

6.00%, 05/15/2037

      53,583        61,373  

6.00%, 06/15/2038

      13,050        15,277  

6.00%, 06/15/2038

      303,847        351,698  

6.05% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038(2)(8)

      107,034        19,558  

6.10% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039(2)(8)

      80,680        15,357  

6.15% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039(2)(8)

      93,064        8,548  

6.25%, 10/15/2023

      3,080        3,265  

6.25%, 08/15/2028

      27,495        30,729  

6.25%, 02/15/2029

      63,817        71,313  

6.27% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037(2)(8)

      200,809        38,554  

6.30% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037(2)(8)

      52,551        10,693  

6.30% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037(2)(8)

      127,967        28,162  

6.38%, 02/15/2032

      13,093        14,336  

6.45% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037(2)(8)

      37,419        7,326  

6.50% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036(2)(8)

      448,071        98,164  

6.50%, 09/15/2023

      21,087        22,531  

6.50%, 12/15/2023

      5,320        5,686  

6.50%, 12/15/2023

      6,339        6,740  

6.50%, 03/15/2026

      1,387        1,483  

6.50%, 07/15/2026

      10,666        11,401  

6.50%, 01/15/2027

      8,593        9,601  

6.50%, 12/15/2027

      6,561        7,399  

6.50%, 06/15/2028

      12,942        14,616  

6.50%, 08/15/2028

      25,683        29,341  

6.50%, 05/15/2031

      4,221        4,867  

6.50%, 08/15/2031

      9,969        11,747  

6.50%, 08/15/2031

      12,413        14,211  

6.50%, 08/15/2031

      14,536        17,348  

6.50%, 08/15/2031

      138,373        161,170  

6.50%, 10/15/2031

      13,271        14,941  

6.50%, 01/15/2032

      17,441        20,536  

6.50%, 01/15/2032

      20,086        23,694  

6.50%, 02/15/2032

      23,000        27,138  

6.50%, 02/15/2032

      27,682        32,628  

6.50%, 03/15/2032

      36,842        41,707  

6.50%, 03/15/2032

      35,981        42,894  

6.50%, 04/15/2032

      8,446        9,965  

6.50%, 04/15/2032

      60,978        71,782  

6.50%, 04/15/2032

      75,476        85,148  

6.50%, 05/15/2032

      25,431        29,855  

6.50%, 06/15/2032

      15,792        17,817  

6.50%, 06/15/2032

      22,955        26,149  

6.50%, 06/15/2032

      29,567        34,846  

6.50%, 07/15/2032

      29,703        33,901  

6.50%, 07/15/2032

      35,864        43,259  

6.50%, 03/15/2033

      17,786        3,508  

6.50%, 07/15/2036

      61,733        71,545  

6.50%, 07/15/2036

      80,201        94,205  

6.55% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036(2)(8)

      46,290        9,756  

6.65% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038(2)(8)

      123,512        29,325  

6.72% (1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033(2)(8)

      462        552  

6.91%, 11/15/2021(4)

      3,665        3,710  

6.95% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036(2)(8)

      7,207        1,310  

7.00%, 05/15/2021

      295        298  

7.00%, 03/15/2022

      138        142  

7.00%, 05/15/2022

      249        257  

7.00%, 04/15/2023

      6,755        7,114  

7.00%, 05/15/2023

      786        833  

7.00%, 09/15/2023

      5,245        5,589  

7.00%, 01/15/2024

      3,004        3,215  

7.00%, 02/15/2024

      1,605        1,696  

7.00%, 03/15/2024

      2,699        2,887  

7.00%, 03/15/2024

      15,787        16,859  

7.00%, 03/15/2028

      8,137        1,220  

7.00%, 06/15/2028

      1,590        1,848  

7.00%, 10/15/2028

      10,405        1,054  

7.00%, 04/15/2029

      882        87  

7.00%, 06/15/2029

      54,213        62,808  

7.00%, 07/15/2029

      30,741        36,169  

7.00%, 08/15/2029

      13,503        15,824  

7.00%, 01/15/2030

      27,144        32,163  

7.00%, 10/15/2030

      19,096        22,677  

7.00%, 03/15/2031

      11,393        13,521  

7.00%, 06/15/2031

      9,556        11,429  

7.00%, 07/15/2031

      22,831        27,226  

7.00%, 03/15/2032

      20,792        24,843  

7.00%, 03/15/2032

      25,459        30,569  

7.00%, 04/15/2032

      12,978        14,930  

7.00%, 04/15/2032

      44,741        53,378  

7.00%, 05/15/2032

      24,085        29,153  

7.00%, 12/15/2036

      1,073,782        1,311,919  

7.25%, 07/15/2027

      625        718  

7.25%, 09/15/2030

      14,802        17,812  

7.25%, 12/15/2030

      19,382        23,162  

7.39%, 11/15/2046(4)

      518,918        618,145  

7.50%, 08/15/2022

      376        394  

7.50%, 02/15/2023

      6,422        6,778  

7.50%, 04/15/2023

      1,310        1,387  

7.50%, 04/15/2024

      9,346        9,983  

7.50%, 08/15/2024

      3,756        4,110  

7.50%, 09/15/2026

      1,979        2,234  

7.50%, 01/15/2027

      5,214        6,000  

7.50%, 01/15/2027

      14,151        16,197  

7.50%, 09/15/2027

      4,766        5,580  

7.50%, 03/15/2028

      24,331        28,392  

7.50%, 05/15/2028

      8,665        10,020  

7.50%, 06/15/2029

      4,280        459  

7.50%, 11/15/2029

      73        87  

7.50%, 05/15/2030

      6,344        7,627  

7.50%, 08/15/2030

      6,096        7,229  

7.50%, 10/15/2030

      1,694        2,052  

7.50%, 11/15/2036

      463,112        570,131  

7.50%, 12/15/2036

      383,399        478,346  

7.80% (1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032(2)(8)

      23,232        4,786  

7.85% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032(2)(8)

      55,368        11,280  

7.85% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032(2)(8)

      15,155        3,070  

7.87% (1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033(2)(8)

      480,028        569,239  

8.00%, 08/15/2022

      944        989  

8.00%, 09/15/2026

      5,373        6,218  

8.00%, 11/15/2029

      11,144        12,839  

8.00%, 01/15/2030

      7,302        8,739  

8.00%, 01/15/2030

      26,164        31,723  

8.00%, 03/15/2030

      6,085        7,355  

8.00%, 04/15/2030

      8,623        10,324  

8.45% (1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023(2)(8)

      4,806        5,096  

8.50% (1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032(2)(8)

      11,944        2,561  

8.50%, 09/15/2021

      385        397  

8.50%, 06/15/2031

      23,105        28,355  

8.78% (3 Month CMT Index + 8.90%, 8.90% Cap), 05/15/2023(2)(8)

      2,937        3,174  

9.00%, 04/15/2021

      11        11  

9.93% (10 year CMT Index + 10.60%, 10.00% Cap), 05/15/2024(2)(8)

      5,918        734  

10.00% (11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024(2)(8)

      2,098        2,347  

12.98% (1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033(2)(8)

      21,819        29,268  

14.48% (1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033(2)(8)

      17,107        24,035  

14.57% (1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033(2)(8)

      63,226        84,864  

15.80% (1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032(2)(8)

      31,241        41,078  

16.16% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033(2)(8)

      8,618        12,094  

16.49% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025(2)(8)

      3,853        4,754  

16.61% (1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035(2)(8)

      1,313        1,810  

16.99% (1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040(2)(8)

      273,412        403,127  

17.07% (1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038(2)(8)

      9,979        13,107  

18.23% (1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032(2)(8)

      20,701        30,416  

18.87% (1 Month LIBOR USD + 10.13%, 19.24% Cap), 02/15/2024(2)

      339        405  

19.10% (1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032(2)(8)

      28,679        45,502  

19.24% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036(2)(8)

      18,026        25,341  

19.49% (1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035(2)(8)

      29,712        45,672  

22.22% (1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023(2)(8)

      2,626        3,203  

23.93% (1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034(2)(8)

      31,737        40,284  

24.01% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036(2)(8)

      6,282        9,333  

24.79% (11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023(2)(8)

      660        772  

27.36% (1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025(2)(8)

      11,831        16,763  

27.49% (1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035(2)(8)

      35,702        55,212  

28.50% (11th District Cost of Funds Index + 31.43%, 31.43% Cap), 03/15/2024(2)(8)

      1,769        322  

29.88% (1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029(2)(8)

      1,624        2,683  

32.99% (1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025(2)(8)

      9,133        12,024  

33.84% (1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023(2)(8)

      2,321        3,162  

44.54% (1 Month LIBOR USD + 45.23%, 45.23% Cap), 05/15/2021(2)(8)

      1        1  

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)

      17,227        21,531  

Freddie Mac Strips

      

0.00%, 04/01/2028

      45,539        44,248  

0.00%, 09/15/2043

      745,020        679,045  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042(2)

      1,096,939        1,113,754  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042(2)

      1,807,958        1,819,248  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042(2)

      934,268        951,147  

3.00%, 08/15/2042

      1,373,404        1,446,225  

3.00%, 01/15/2043

      332,067        351,719  

3.50%, 07/15/2042

      4,488,385        5,002,686  

4.50%, 11/15/2020(10)

      2        –    

5.00%, 09/15/2035

      84,875        15,836  

5.00%, 09/15/2035

      100,030        17,443  

5.00%, 09/15/2035

      160,140        27,622  

7.55% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036(2)(8)

      291,754        73,735  

Freddie Mac Structured Pass-Through Certificates

      

0.00%, 07/25/2043

      18,278        16,182  

0.00%, 09/25/2043

      19,951        17,432  

0.00%, 10/25/2043

      23,520        18,542  

1.77%, 10/25/2037(4)

      1,055,319        1,134,158  

2.22% (12 Month U.S. Treasury Average + 1.20%, 1.20% Floor), 10/25/2044(2)

      413,347        425,148  

4.82%, 07/25/2033(4)

      152,981        171,900  

5.23%, 05/25/2043

      486,701        565,067  

5.26%, 07/25/2032(4)

      51,324        58,401  

6.50%, 02/25/2043

      217,008        266,974  

7.00%, 02/25/2043

      70,428        87,328  

7.00%, 10/25/2043

      273,008        330,795  

7.50%, 02/25/2042

      207,191        256,339  

7.50%, 08/25/2042(4)

      36,460        48,994  

7.50%, 07/25/2043

      48,251        62,345  

7.50%, 09/25/2043

      261,002        312,970  

FREMF 2013-K25 Mortgage Trust

      

3.74%, 11/25/2045(3)(4)

      2,000,000        2,073,974  

FREMF 2013-K35 Mortgage Trust

      

4.07%, 12/25/2046(3)(4)

      2,951,000        3,136,844  

FREMF 2014-K40 Mortgage Trust

      

4.21%, 11/25/2047(3)(4)

      2,273,000        2,467,062  

FREMF 2014-K41 Mortgage Trust

      

3.96%, 11/25/2047(3)(4)

      6,000,000        6,475,408  

FREMF 2015-K44 Mortgage Trust

      

3.81%, 01/25/2048(3)(4)

      3,510,000        3,805,172  

FREMF 2015-K45 Mortgage Trust

      

3.71%, 04/25/2048(3)(4)

      2,135,000        2,303,497  

FREMF 2015-K49 Mortgage Trust

      

3.85%, 10/25/2048(3)(4)

      4,000,000        4,188,597  

FREMF 2015-K51 Mortgage Trust

      

4.09%, 10/25/2048(3)(4)

      1,500,000        1,590,090  

FREMF 2015-K720 Mortgage Trust

      

3.51%, 07/25/2022(3)(4)

      4,000,000        4,085,400  

FREMF 2016-K52 Mortgage Trust

      

4.06%, 01/25/2049(3)(4)

      4,750,000        5,247,768  

FREMF 2016-K59 Mortgage Trust

      

3.70%, 11/25/2049(3)(4)

      2,450,000        2,673,782  

FREMF 2016-K722 Mortgage Trust

      

3.98%, 07/25/2049(3)(4)

      1,845,000        1,945,498  

GCAT 2020-1 LLC

      

2.98%, 01/26/2060(1)(3)

      2,075,582        2,041,473  

Ginnie Mae

      

0.00%, 12/20/2032

      3,361        3,360  

0.00%, 02/17/2033

      4,459        4,438  

0.00%, 03/16/2033

      5,972        5,905  

0.00%, 06/16/2033

      32,785        31,252  

0.00%, 10/20/2033

      4,859        4,720  

0.00%, 06/20/2034

      55,454        55,038  

0.00%, 08/20/2035

      129,941        123,142  

0.00%, 10/20/2035

      29,113        26,532  

0.00%, 11/20/2035

      40,679        38,673  

0.00%, 03/20/2036

      35,483        33,558  

0.00%, 05/20/2036

      49,968        49,428  

0.00%, 07/20/2036

      6,901        6,700  

0.00%, 03/20/2037

      107,584        103,919  

0.00%, 04/16/2037

      67,092        61,378  

0.00%, 05/20/2037

      10,362        9,777  

0.00%, 06/16/2037

      18,187        16,998  

0.00%, 06/16/2037

      177,830        170,389  

0.00%, 09/20/2037

      12,647        12,585  

0.00%, 11/16/2037

      185,488        177,616  

0.00%, 01/20/2038

      7,147        6,769  

0.00%, 12/20/2040

      460,513        438,639  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037(2)

      51,104        51,056  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060(2)

      959        956  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062(2)

      4,531        4,514  

0.47% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063(2)

      905,872        903,837  

0.49% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062(2)

      1,782,014        1,777,968  

0.56% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063(2)

      778,060        777,763  

0.57% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063(2)

      207,605        207,552  

0.58% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060(2)

      10,240        10,233  

0.59% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065(2)

      3,048,261        3,049,665  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060(2)

      18,957        18,952  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062(2)

      377        378  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065(2)

      1,381,389        1,382,240  

0.60% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067(2)

      2,632,678        2,633,897  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061(2)

      442,135        442,572  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063(2)

      236,890        237,119  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063(2)

      1,947,595        1,949,341  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064(2)

      2,852,798        2,855,629  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064(2)

      3,503,702        3,508,693  

0.62% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065(2)

      510,513        511,315  

0.63% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065(2)

      1,589,429        1,589,878  

0.63% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065(2)

      3,330,847        3,325,105  

0.63% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065(2)

      6,570,009        6,582,168  

0.63% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065(2)

      4,905,377        4,914,912  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061(2)

      1,470,788        1,473,511  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063(2)

      12,404        12,421  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064(2)

      2,048,220        2,053,842  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2)

      1,604,496        1,608,817  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2)

      2,050,428        2,055,989  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064(2)

      2,487,286        2,491,369  

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067(2)

      5,537,109        5,551,311  

0.67% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062(2)

      1,676,589        1,679,578  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061(2)

      5,908        5,914  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062(2)

      1,199        1,201  

0.70% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062(2)

      19,459        19,479  

0.71% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067(2)

      5,558,436        5,586,436  

0.73% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062(2)

      33,660        33,713  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062(2)

      9,838        9,886  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064(2)

      2,640,371        2,653,219  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064(2)

      3,020,634        3,032,744  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064(2)

      4,835,479        4,866,948  

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064(2)

      1,249,222        1,256,066  

0.80% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061(2)

      23,897        24,025  

0.80% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064(2)

      2,397,438        2,409,861  

0.80% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064(2)

      4,685,392        4,711,163  

0.80% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064(2)

      2,027,705        2,038,204  

0.84% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064(2)

      2,481,722        2,505,806  

0.85% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061(2)

      23,435        23,589  

0.85% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062(2)

      825,810        832,880  

0.98% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038(2)

      298,623        303,852  

1.65%, 01/20/2063

      312,616        313,227  

1.65%, 02/20/2063

      307,581        308,284  

1.65%, 04/20/2063

      200,223        200,937  

1.81% (1 Year LIBOR USD + 0.00%), 06/20/2067(2)

      12,998,163        1,090,546  

2.35% (1 Year LIBOR USD + 0.00%), 05/20/2067(2)

      12,969,576        1,493,710  

2.50%, 07/20/2047

      3,861,171        4,053,743  

2.50%, 10/01/2050(9)

      60,560,000        63,583,268  

2.50%, 11/01/2050(9)

      27,000,000        28,298,320  

3.00%, 12/20/2041

      1,000,000        1,100,928  

3.00%, 10/20/2045

      1,200,345        1,290,237  

3.00%, 02/20/2047

      2,913,858        3,011,531  

3.00%, 09/20/2047

      1,848,802        1,978,783  

3.00%, 11/20/2047

      7,002,826        7,422,356  

3.00%, 10/01/2049(9)

      6,500,000        6,805,703  

3.00%, 11/01/2049(9)

      30,760,000        32,192,263  

3.50%, 07/20/2046

      3,693,903        3,844,112  

3.50%, 09/20/2046

      1,266,381        1,388,487  

3.50%, 11/01/2049(9)

      17,895,000        18,854,763  

3.69%, 01/20/2042(4)

      284,422        315,346  

3.99%, 09/16/2042(4)

      174,136        196,528  

4.00%, 10/01/2050(9)

      625,000        664,062  

4.48%, 04/20/2043(4)

      189,144        209,681  

4.54%, 11/16/2041(4)

      297,647        332,647  

4.61%, 10/20/2041(4)

      492,968        549,246  

4.69%, 09/20/2041(4)

      281,687        321,976  

4.70%, 10/20/2042(4)

      955,873        1,077,150  

4.76%, 03/20/2048(4)

      11,130,356        12,666,415  

4.83%, 11/20/2042(4)

      168,797        193,237  

5.15%, 06/20/2040(4)

      130,366        150,201  

5.29%, 07/20/2060(4)

      25,041        26,993  

5.40%, 01/20/2039(4)

      578,647        667,630  

5.50%, 01/16/2033

      309,582        335,947  

5.50%, 04/20/2033

      170,149        183,496  

5.50%, 03/16/2034

      2,453,502        2,716,631  

5.50%, 07/20/2035

      22,040        3,899  

5.50%, 09/20/2035

      120,185        136,646  

5.50%, 10/16/2037

      110,040        6,772  

5.50%, 02/20/2038

      24,518        2,002  

5.50%, 05/20/2039

      28,595        4,090  

5.50%, 09/20/2039

      317,000        391,376  

5.50%, 10/20/2039

      716,517        826,282  

5.50%, 01/20/2038(4)

      550,039        648,601  

5.54% (1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038(2)(8)

      173,302        23,918  

5.56%, 10/20/2036

      125,096        138,330  

5.57%, 07/20/2040(4)

      199,611        235,208  

5.58%, 08/20/2038(4)

      188,721        219,104  

5.71%, 08/20/2034(4)

      63,236        72,962  

5.74% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038(2)(8)

      163,065        29,380  

5.75%, 02/20/2036

      17,798        18,830  

5.75%, 07/20/2038

      110,436        119,168  

5.79% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039(2)(8)

      133,653        20,100  

5.79% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039(2)(8)

      128,435        18,634  

5.82%, 10/20/2033(4)

      116,927        132,255  

5.84% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037(2)(8)

      119,236        15,859  

5.84% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038(2)(8)

      999,721        177,108  

5.84% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038(2)(8)

      47,809        6,872  

5.84% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038(2)(8)

      97,087        9,096  

5.86%, 02/20/2037(4)

      42,446        49,197  

5.87%, 12/20/2038(4)

      464,915        543,337  

5.88% (1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039(2)(8)

      81,869        9,402  

5.92% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034(2)(8)

      173,046        856  

5.92% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039(2)(8)

      182,607        26,957  

5.93% (1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039(2)(8)

      334,266        68,476  

5.94% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034(2)(8)

      323,541        55,087  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039(2)(8)

      76,463        9,605  

5.95% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039(2)(8)

      204,893        30,677  

5.95%, 04/20/2037(4)

      81,345        93,858  

5.99% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038(2)(8)

      133,817        17,561  

6.00% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039(2)(8)

      105,117        10,148  

6.00%, 02/20/2029

      67,871        67,865  

6.00%, 11/20/2032

      110,031        114,490  

6.00%, 09/16/2033

      97,985        112,025  

6.00%, 06/20/2034

      209,482        239,873  

6.00%, 12/20/2035

      43,755        6,937  

6.00%, 06/20/2038

      81,456        95,545  

6.00%, 12/20/2038

      24,965        1,243  

6.00%, 05/20/2039

      39,065        7,345  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037(2)(8)

      120,705        20,828  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037(2)(8)

      66,353        7,065  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(8)

      129,501        20,577  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(8)

      122,234        21,373  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038(2)(8)

      38,764        6,552  

6.04% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038(2)(8)

      337,169        33,536  

6.09% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037(2)(8)

      103,135        11,030  

6.10% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039(2)(8)

      199,255        36,557  

6.11%, 11/20/2038(4)

      129,201        151,632  

6.11% (1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039(2)(8)

      237,994        39,364  

6.14% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035(2)(8)

      451,410        96,917  

6.14% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038(2)(8)

      161,223        549  

6.14% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039(2)(8)

      118,169        9,017  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038(2)(8)

      519,115        100,752  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 06/16/2039(2)(8)

      12,573        81  

6.25% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039(2)(8)

      258,643        48,904  

6.32% (1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037(2)(8)

      77,988        11,464  

6.34% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036(2)(8)

      4,891        317  

6.34% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037(2)(8)

      229,285        25,520  

6.35% (1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037(2)(8)

      131,490        26,103  

6.39% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037(2)(8)

      117,002        18,734  

6.39% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037(2)(8)

      109,654        16,173  

6.39% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037(2)(8)

      103,813        14,709  

6.39% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037(2)(8)

      155,822        23,634  

6.40% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033(2)(8)

      62,911        6,802  

6.40% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033(2)(8)

      63,065        7,760  

6.40% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034(2)(8)

      218,892        45,072  

6.44% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041(2)(8)

      250,735        45,386  

6.48% (1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037(2)(8)

      147,838        22,850  

6.50%, 07/20/2032

      55,655        55,651  

6.50%, 01/20/2033

      81,351        88,902  

6.50%, 03/20/2033

      45,675        50,815  

6.50%, 03/20/2033

      155,653        170,619  

6.50%, 05/20/2033

      60,598        69,327  

6.50%, 07/20/2036

      211,395        247,081  

6.50%, 08/20/2036

      281,896        322,551  

6.50%, 03/20/2039

      44,152        7,710  

6.50%, 03/20/2039

      98,860        21,372  

6.52% (1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037(2)(8)

      144,732        28,725  

6.54% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036(2)(8)

      63,345        10,075  

6.59% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035(2)(8)

      214,764        51,675  

6.59% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037(2)(8)

      101,348        17,664  

6.62% (1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037(2)(8)

      35,792        3,012  

6.64% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035(2)(8)

      111,609        123,792  

6.64% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036(2)(8)

      110,935        15,726  

6.66% (1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037(2)(8)

      172,909        39,047  

7.00% (1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034(2)(8)

      23,503        25,765  

7.00%, 08/16/2039

      93,712        104,123  

7.00%, 10/16/2040

      362,911        437,444  

7.14% (1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038(2)(8)

      304,231        59,731  

7.44% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038(2)(8)

      70,632        11,732  

7.54% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033(2)(8)

      18,028        2,529  

7.55% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/16/2033(2)(8)

      26,626        89  

7.55% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038(2)(8)

      66,208        12,376  

8.10% (1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031(2)(8)

      12,084        43  

13.09% (1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037(2)(8)

      18,351        21,583  

13.93% (1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034(2)(8)

      1,729        1,949  

14.42% (1 Month LIBOR USD + 14.70%, 14.70% Cap), 11/17/2032(2)(8)

      9,914        11,114  

14.54% (1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034(2)(8)

      9,874        10,397  

16.07% (1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035(2)(8)

      71,124        92,601  

16.39% (1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034(2)(8)

      2,055        2,583  

19.24% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034(2)(8)

      32,016        48,340  

19.48% (1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037(2)(8)

      12,787        16,943  

19.74% (1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037(2)(8)

      25,186        34,210  

20.33% (1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035(2)(8)

      12,174        19,617  

22.14% (1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035(2)(8)

      3,093        5,604  

23.83% (1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034(2)(8)

      19,414        31,573  

28.70% (1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034(2)(8)

      23,503        38,375  

Ginnie Mae I Pool

      

3.00%, 05/15/2043

      421,153        450,054  

3.00%, 07/15/2045

      1,367,532        1,423,051  

3.50%, 01/15/2042

      3,703,254        4,005,170  

3.50%, 03/15/2043

      1,129,579        1,263,235  

3.50%, 04/15/2043

      2,876,781        3,027,907  

3.50%, 06/15/2043

      1,454,730        1,565,302  

3.50%, 07/15/2043

      579,279        648,033  

4.00%, 06/15/2039

      343,872        369,459  

4.00%, 10/15/2040

      184,395        199,169  

4.50%, 04/15/2040

      1,666,469        1,845,691  

5.50%, 04/15/2033

      239,296        280,780  

5.50%, 06/15/2033

      2,150        2,441  

5.50%, 12/15/2033

      9,241        10,830  

5.50%, 07/15/2034

      2,838        3,145  

5.50%, 09/15/2034

      8,287        9,149  

6.00%, 11/15/2028

      8,393        9,353  

6.50%, 01/15/2024

      2,070        2,288  

6.50%, 03/15/2028

      6,352        7,033  

6.50%, 09/15/2028

      13,510        15,016  

6.50%, 10/15/2028

      722        807  

6.50%, 01/15/2032

      52,013        60,687  

6.50%, 07/15/2032

      2,177        2,406  

6.50%, 02/15/2033

      8,461        9,681  

6.50%, 04/15/2033

      5,691        6,536  

6.50%, 12/15/2035

      55,192        65,513  

7.00%, 08/15/2023

      133        135  

7.00%, 09/15/2023

      4,725        4,964  

7.00%, 11/15/2023

      281        297  

7.00%, 02/15/2024

      933        937  

7.00%, 09/15/2031

      61,865        74,653  

7.00%, 02/15/2033

      5,332        6,170  

7.00%, 06/15/2033

      16,316        20,081  

7.00%, 06/15/2035

      154,659        183,325  

7.00%, 04/15/2037

      26,252        30,981  

7.50%, 11/15/2022

      3        3  

7.50%, 03/15/2023

      127        128  

7.50%, 11/15/2026

      329        329  

7.50%, 07/15/2027

      773        776  

7.50%, 07/15/2028

      565        575  

7.50%, 09/15/2028

      2,409        2,654  

7.50%, 10/15/2037

      30,144        35,675  

8.00%, 08/15/2028

      922        926  

9.00%, 11/15/2024

      40        40  

9.50%, 10/15/2024

      620        641  

9.50%, 12/15/2025

      189        189  

Ginnie Mae II Pool

      

2.50%, 12/20/2046

      2,402,781        2,530,960  

2.50%, 09/20/2050

      4,295,508        4,514,462  

2.50%, 09/20/2050

      6,400,000        6,789,905  

3.00%, 06/20/2042

      265,877        280,602  

3.00%, 08/20/2042

      3,592,763        3,790,347  

3.00%, 11/20/2042

      1,987,595        2,096,131  

3.00%, 12/20/2042

      1,018,167        1,077,087  

3.00%, 01/20/2043

      1,022,546        1,078,434  

3.00%, 04/20/2043

      2,555,373        2,695,302  

3.00%, 09/20/2043

      791,626        834,941  

3.00%, 10/20/2043

      119,544        126,091  

3.00%, 01/20/2044

      646,568        680,643  

3.00%, 07/20/2044

      287,114        302,166  

3.00%, 12/20/2044

      546,931        576,610  

3.00%, 04/20/2045

      5,071,811        5,375,988  

3.00%, 05/20/2045

      895,033        950,175  

3.00%, 07/20/2045

      2,092,054        2,210,716  

3.00%, 10/20/2045

      2,369,090        2,488,441  

3.00%, 11/20/2045

      563,218        591,452  

3.00%, 02/20/2046

      827,246        869,063  

3.00%, 04/20/2046

      5,491,188        5,813,005  

3.00%, 05/20/2046

      229,364        242,618  

3.00%, 07/20/2046

      4,437,899        4,688,050  

3.00%, 08/20/2046

      5,125,397        5,424,274  

3.00%, 09/20/2046

      1,526,381        1,614,842  

3.00%, 01/20/2047

      3,434,238        3,616,158  

3.00%, 02/20/2047

      4,806,619        5,037,219  

3.00%, 03/20/2047

      519,082        547,259  

3.00%, 09/20/2050

      3,564,911        3,772,699  

3.00%, 09/20/2050

      9,718,138        10,563,696  

3.06%, 06/20/2070

      5,726,611        6,363,997  

3.50%, 10/20/2042

      4,019,463        4,362,645  

3.50%, 11/20/2042

      1,372,622        1,489,819  

3.50%, 05/20/2043

      935,527        1,014,085  

3.50%, 03/20/2045

      1,234,759        1,318,512  

3.50%, 04/20/2045

      9,671,766        10,328,224  

3.50%, 10/20/2045

      8,152,687        8,728,475  

3.50%, 03/20/2046

      747,263        798,149  

3.50%, 04/20/2046

      17,188,883        18,389,400  

3.50%, 05/20/2046

      9,444,622        10,082,555  

3.50%, 06/20/2046

      3,534,602        3,774,330  

3.50%, 07/20/2046(4)(6)

      9,452,458        10,094,067  

3.50%, 09/20/2046

      1,056,929        1,130,370  

3.50%, 12/20/2046

      6,763,448        7,193,786  

3.50%, 01/20/2047

      524,952        560,480  

3.50%, 02/20/2047

      5,910,853        6,280,169  

3.50%, 03/20/2047

      4,744,259        5,062,709  

3.50%, 05/20/2047

      4,248,692        4,512,164  

3.50%, 06/20/2047

      4,411,308        4,672,726  

3.50%, 11/20/2047

      14,105,881        15,053,937  

3.50%, 12/20/2047

      2,560,716        2,728,986  

3.50%, 04/20/2048

      7,184,656        7,633,186  

3.50%, 06/20/2049

      2,999,903        3,156,739  

3.50%, 11/20/2049

      4,720,949        4,983,049  

3.50%, 11/20/2049

      6,133,449        6,523,085  

3.50%, 08/20/2050

      9,885,035        10,889,390  

4.00%, 10/20/2040

      1,737,032        1,896,073  

4.00%, 06/20/2042

      2,254,153        2,474,958  

4.00%, 10/20/2042

      4,923,035        5,409,791  

4.00%, 12/20/2042

      2,387,162        2,623,417  

4.00%, 02/20/2043

      1,078,812        1,190,173  

4.00%, 10/20/2043

      3,365,729        3,659,905  

4.00%, 11/20/2044

      1,874,235        2,038,996  

4.00%, 12/20/2044

      1,332,101        1,449,070  

4.00%, 03/20/2045

      339,544        367,603  

4.00%, 05/20/2045

      4,417,872        4,786,272  

4.00%, 06/20/2045

      887,777        964,537  

4.00%, 08/20/2045

      11,482,335        12,382,338  

4.00%, 11/20/2045

      4,251,755        4,583,426  

4.00%, 01/20/2046

      1,409,833        1,523,688  

4.00%, 03/20/2046

      896,169        965,767  

4.00%, 04/20/2046

      2,406,895        2,590,791  

4.00%, 05/20/2046

      4,046,569        4,355,569  

4.00%, 06/20/2046

      1,907,133        2,052,434  

4.00%, 11/20/2046

      1,735,785        1,867,943  

4.00%, 02/20/2047

      2,969,746        3,186,723  

4.00%, 03/20/2047

      6,203,006        6,670,951  

4.00%, 05/20/2047

      525,210        565,008  

4.00%, 06/20/2047

      1,884,542        2,026,737  

4.00%, 07/20/2047

      7,616,813        8,201,447  

4.00%, 09/20/2047

      2,892,049        3,103,595  

4.00%, 12/20/2047

      4,127,747        4,426,131  

4.00%, 01/20/2048

      2,370,577        2,539,746  

4.17%, 05/20/2063(4)

      69,338        70,115  

4.25%, 12/20/2047

      1,504,866        1,670,454  

4.50%, 06/20/2040

      595,705        661,438  

4.50%, 01/20/2041

      490,867        552,101  

4.50%, 03/20/2041

      451,209        500,793  

4.50%, 05/20/2041

      224,998        249,799  

4.50%, 06/20/2041

      1,587,047        1,761,783  

4.50%, 09/20/2041

      509,831        566,121  

4.50%, 09/20/2043

      1,312,701        1,458,542  

4.50%, 10/20/2043

      2,510,177        2,788,520  

4.50%, 12/20/2043

      1,341,145        1,490,252  

4.50%, 01/20/2046

      2,120,541        2,354,476  

4.50%, 07/20/2046

      1,134,041        1,259,232  

4.50%, 09/20/2046

      1,847,790        2,036,145  

4.50%, 11/20/2046

      3,191,973        3,542,741  

4.50%, 03/20/2047

      651,553        708,900  

4.50%, 07/20/2047

      6,766,312        7,350,852  

4.50%, 08/20/2047

      1,759,239        1,920,182  

4.50%, 09/20/2047

      9,214,765        10,038,519  

4.50%, 01/20/2048

      1,370,054        1,482,993  

4.50%, 02/20/2048

      6,644,428        7,195,514  

4.50%, 03/20/2048

      722,084        778,486  

4.50%, 04/20/2048

      648,153        701,470  

4.50%, 04/20/2048

      1,971,406        2,152,828  

4.50%, 04/20/2048

      2,819,380        3,048,752  

4.50%, 04/20/2048

      3,403,036        3,706,352  

4.50%, 05/20/2048

      2,295,469        2,468,960  

4.50%, 05/20/2048

      5,144,291        5,692,946  

4.50%, 05/20/2048

      7,823,960        8,444,052  

4.50%, 09/20/2048

      1,653,966        1,788,332  

4.50%, 11/20/2049

      10,669,824        11,723,298  

5.00%, 10/20/2037

      219,666        247,972  

5.00%, 07/20/2040

      149,994        171,165  

5.00%, 06/20/2044

      640,077        730,871  

5.00%, 07/20/2044

      543,905        621,205  

5.00%, 08/20/2045

      725,436        818,566  

5.00%, 09/20/2046

      1,644,238        1,851,707  

5.00%, 10/20/2047

      341,777        378,447  

5.00%, 11/20/2047

      1,691,610        1,873,433  

5.00%, 06/20/2048

      3,101,279        3,430,000  

5.00%, 07/20/2048

      903,147        1,006,657  

5.00%, 07/20/2048

      4,488,054        4,910,834  

5.00%, 07/20/2049

      982,317        1,101,964  

5.00%, 08/20/2049

      8,722,869        9,723,096  

5.50%, 09/20/2039

      97,154        111,976  

6.00%, 03/20/2028

      4,536        5,105  

6.00%, 11/20/2033

      3,723        4,280  

6.00%, 09/20/2038

      368,995        424,318  

6.00%, 11/20/2038

      3,096        3,451  

6.00%, 08/20/2039

      172,416        196,523  

6.50%, 07/20/2029

      54,182        62,425  

7.00%, 08/20/2038

      17,467        20,225  

7.50%, 02/20/2028

      936        1,052  

7.50%, 09/20/2028

      2,952        3,354  

8.00%, 12/20/2025

      356        390  

8.00%, 06/20/2026

      858        952  

8.00%, 08/20/2026

      682        784  

8.00%, 09/20/2026

      821        949  

8.00%, 11/20/2026

      669        765  

8.00%, 10/20/2027

      1,535        1,732  

8.00%, 11/20/2027

      1,612        1,812  

8.00%, 12/20/2027

      822        934  

8.00%, 06/20/2028

      466        471  

8.00%, 08/20/2028

      103        107  

8.00%, 09/20/2028

      242        247  

8.50%, 03/20/2025

      177        181  

8.50%, 04/20/2025

      974        1,068  

8.50%, 05/20/2025

      2,158        2,360  

Ginnie Mae II Pool P#MA3455

      

4.00%, 02/20/2046

      467,861        503,913  

GMACM Mortgage Loan Trust 2005-AR3

      

3.50%, 06/19/2035(4)

      54,129        51,094  

GS Mortgage Securities Corp. II

      

4.26%, 07/10/2051(4)

      28,521,000        31,788,029  

GS Mortgage Securities Corp. Trust 2012-ALOHA

      

3.55%, 04/10/2034(3)

      4,200,000        4,233,809  

GS Mortgage Securities Trust 2006-GG8

      

1.27%, 11/10/2039(3)(4)

      1,200,464        1,991  

GS Mortgage Securities Trust 2012-GCJ9

      

2.77%, 11/10/2045

      12,926,324        13,252,733  

GS Mortgage Securities Trust 2013-GC13

      

3.87%, 07/10/2046(4)

      5,880,000        6,191,978  

GS Mortgage Securities Trust 2013-GC16

      

1.20%, 11/10/2046(4)

      16,193,120        435,459  

GS Mortgage Securities Trust 2013-GCJ12

      

3.14%, 06/10/2046

      1,260,000        1,315,905  

GS Mortgage Securities Trust 2014-GC18

      

3.80%, 01/10/2047

      4,458,693        4,742,999  

4.07%, 01/10/2047

      4,338,000        4,699,393  

GS Mortgage Securities Trust 2014-GC26

      

3.36%, 11/10/2047

      8,000,000        8,575,151  

GS Mortgage Securities Trust 2015-GC28

      

3.14%, 02/10/2048

      9,000,000        9,734,172  

GS Mortgage Securities Trust 2016-GS4

      

3.18%, 11/10/2049

      12,000,000        13,129,603  

3.44%, 11/10/2049(4)

      1,317,000        1,466,857  

GS Mortgage Securities Trust 2020-GC45

      

2.91%, 02/13/2053

      2,550,000        2,849,946  

GSMPS Mortgage Loan Trust 2004-4

      

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034(2)(3)

      49,956        41,892  

GSMPS Mortgage Loan Trust 2005-RP2

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035(2)(3)

      85,821        77,176  

GSMPS Mortgage Loan Trust 2005-RP3

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035(2)(3)

      560,025        463,133  

4.24%, 09/25/2035(3)(4)

      412,886        58,979  

GSR Mortgage Loan Trust 2003-3F

      

5.75%, 04/25/2033

      19,286        20,125  

GSR Mortgage Loan Trust 2003-6F

      

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 09/25/2032(2)

      552        551  

GSR Mortgage Loan Trust 2004-13F

      

6.00%, 11/25/2034

      53,512        56,066  

GSR Mortgage Loan Trust 2004-6F

      

5.50%, 05/25/2034

      63,345        65,951  

6.50%, 05/25/2034

      44,368        48,047  

GSR Mortgage Loan Trust 2005-5F

      

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035(2)

      17,762        16,540  

GSR Mortgage Loan Trust 2005-7F

      

6.00%, 09/25/2035

      81,824        84,902  

GSR Mortgage Loan Trust 2005-AR6

      

3.68%, 09/25/2035(4)

      5,237        5,237  

GSR Mortgage Loan Trust 2006-1F

      

5.50%, 02/25/2036

      41,430        54,134  

6.00%, 02/25/2036

      268,054        199,326  

Headlands Residential 2019-RPL1 LLC

      

3.97%, 06/25/2024(1)(3)

      9,000,000        9,053,086  

Headlands Residential LLC

      

3.88%, 11/25/2024(1)(3)

      6,170,000        6,322,046  

Home Re 2018-1 Ltd.

      

1.75% (1 Month LIBOR USD + 1.60%), 10/25/2028(2)(3)

      556,358        549,258  

Home RE 2019-1 Ltd.

      

1.80% (1 Month LIBOR USD + 1.65%), 05/25/2029(2)(3)

      513,119        507,076  

HomeBanc Mortgage Trust 2005-3

      

0.39% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap), 07/25/2035(2)

      155,351        155,478  

Impac CMB Trust Series 2004-4

      

4.94%, 09/25/2034(1)

      8,085        8,625  

Impac CMB Trust Series 2004-7

      

0.89% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034(2)

      662,947        654,921  

Impac CMB Trust Series 2005-4

      

0.75% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 10.25% Cap), 05/25/2035(2)

      91,352        86,359  

Impac Secured Assets CMN Owner Trust

      

5.50%, 08/25/2033

      61,064        62,084  

Impac Secured Assets Trust 2006-1

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 05/25/2036(2)

      209,547        199,069  

Impac Secured Assets Trust 2006-2

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 08/25/2036(2)

      100,926        100,497  

Independence Plaza Trust 2018-INDP

      

3.76%, 07/10/2035(3)

      5,445,000        5,806,590  

JP Morgan Alternative Loan Trust

      

3.71%, 03/25/2036(4)

      25,274        23,270  

JP Morgan Chase Commercial Mortgage Securities Corp.

      

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 09/15/2029(2)(3)

      9,200,000        8,978,462  

JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11

      

0.19%, 08/12/2037(3)(4)

      973,708        157  

JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15

      

0.39%, 06/12/2043(4)

      1,816,897        1,606  

JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12

      

0.00%, 02/15/2051(4)

      921,744        9  

JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11

      

2.96%, 04/15/2046

      7,152,087        7,471,287  

JP Morgan Mortgage Trust 2004-A3

      

3.26%, 07/25/2034(4)

      4,204        4,260  

JP Morgan Mortgage Trust 2004-A4

      

2.88%, 09/25/2034(4)

      22,899        22,164  

JP Morgan Mortgage Trust 2004-S1

      

5.00%, 09/25/2034

      4,197        4,269  

JP Morgan Mortgage Trust 2005-A1

      

3.56%, 02/25/2035(4)

      61,196        59,117  

JP Morgan Mortgage Trust 2005-A4

      

3.04%, 07/25/2035(4)

      61,117        61,300  

JP Morgan Mortgage Trust 2006-A2

      

3.08%, 08/25/2034(4)

      339,849        346,615  

3.47%, 11/25/2033(4)

      201,334        203,642  

JP Morgan Mortgage Trust 2006-A3

      

2.97%, 08/25/2034(4)

      47,541        45,878  

JP Morgan Mortgage Trust 2006-A7

      

3.63%, 01/25/2037(4)

      51,241        47,014  

3.63%, 01/25/2037(4)

      89,883        82,470  

JP Morgan Mortgage Trust 2007-A1

      

3.60%, 07/25/2035(4)

      45,200        44,241  

3.60%, 07/25/2035(4)

      689,495        675,550  

JP Morgan Mortgage Trust 2007-A2

      

3.68%, 04/25/2037(4)

      185,702        167,181  

JPMBB Commercial Mortgage Securities Trust 2013-C17

      

3.93%, 01/15/2047

      2,288,937        2,454,365  

JPMBB Commercial Mortgage Securities Trust 2014-C19

      

3.67%, 04/15/2047

      2,010,000        2,032,854  

JPMBB Commercial Mortgage Securities Trust 2014-C25

      

3.41%, 11/15/2047

      7,826,823        8,431,227  

JPMCC Commercial Mortgage Securities Trust 2017-JP5

      

3.46%, 03/15/2050

      12,460,000        13,987,535  

JPMCC Commercial Mortgage Securities Trust 2017-JP7

      

3.19%, 09/15/2050

      20,000,000        22,351,166  

Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust

      

3.99%, 02/15/2036(3)

      1,027,000        1,148,591  

LB-UBS Commercial Mortgage Trust 2007-C2

      

0.36%, 02/15/2040(4)

      306,199        16  

LCCM 2017-LC26

      

3.29%, 07/12/2050(3)

      20,300,000        22,046,295  

Legacy Mortgage Asset Trust 2019-GS6

      

3.00%, 06/25/2059(1)(3)

      915,400        918,528  

Legacy Mortgage Asset Trust 2019-PR1

      

3.86%, 09/25/2059(1)(3)

      8,785,568        9,225,611  

Legacy Mortgage Asset Trust 2020-GS1

      

2.88%, 10/25/2059(1)(3)

      5,645,414        5,659,656  

Lehman Mortgage Trust 2006-2

      

5.95%, 04/25/2036(4)

      47,683        41,733  

Lehman Mortgage Trust 2007-6

      

6.00%, 07/25/2037

      23,832        23,735  

Lehman Mortgage Trust 2008-2

      

6.00%, 03/25/2038

      272,724        159,463  

LHOME Mortgage Trust 2019-RTL3

      

3.87%, 07/25/2024(3)

      9,210,000        9,285,770  

Luminent Mortgage Trust 2005-1

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap), 11/25/2035(2)

      1,151,127        1,090,435  

MASTR Adjustable Rate Mortgages Trust 2004-13

      

3.74%, 04/21/2034(4)

      92,640        92,898  

MASTR Adjustable Rate Mortgages Trust 2004-15

      

4.16%, 12/25/2034(4)

      26,387        24,493  

MASTR Adjustable Rate Mortgages Trust 2004-3

      

2.71%, 04/25/2034(4)

      24,839        22,410  

MASTR Alternative Loan Trust 2003-9

      

6.00%, 12/25/2033

      24,518        25,573  

6.00%, 01/25/2034

      18,665        19,436  

MASTR Alternative Loan Trust 2004-13

      

5.50%, 01/25/2025

      17,046        18,040  

MASTR Alternative Loan Trust 2004-3

      

6.00%, 04/25/2034

      172,431        176,238  

6.25%, 04/25/2034

      34,120        34,954  

MASTR Alternative Loan Trust 2004-6

      

0.00%, 07/25/2034

      24,010        20,547  

6.00%, 07/25/2034

      16,271        17,278  

MASTR Alternative Loan Trust 2004-7

      

0.00%, 08/25/2034

      16,698        14,096  

MASTR Alternative Loan Trust 2005-6

      

5.50%, 11/25/2020

      13,646        12,996  

MASTR Asset Securitization Trust 2003-12

      

0.00%, 12/25/2033

      1,805        1,630  

5.00%, 12/25/2033

      9,748        9,956  

MASTR Asset Securitization Trust 2004-1

      

0.00%, 02/25/2034

      1,618        1,344  

MASTR Asset Securitization Trust 2004-4

      

5.25%, 12/26/2033

      48,219        48,731  

MASTR Asset Securitization Trust 2004-6

      

0.00%, 07/25/2021

      37        37  

MASTR Reperforming Loan Trust 2005-2

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035(2)(3)

      799,771        436,406  

MASTR Reperforming Loan Trust 2006-2

      

4.34%, 05/25/2036(3)(4)

      93,069        88,129  

MASTR Resecuritization Trust 2005-PO

      

0.00%, 05/28/2035(3)

      18,663        13,713  

Merrill Lynch Mortgage Backed Securities Trust Series 2007-3

      

1.32%, 06/25/2037(4)

      59,346        54,812  

Merrill Lynch Mortgage Investors Trust Series 2003-A5

      

2.88%, 08/25/2033(4)

      30,216        29,624  

Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E

      

0.77% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.75% Cap), 10/25/2028(2)

      59,575        58,770  

Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F

      

0.79% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.75% Cap), 10/25/2028(2)

      71,003        69,741  

Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1

      

2.89%, 12/25/2034(4)

      58,592        58,071  

Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A

      

0.61% (1 Month LIBOR USD + 0.46%, 0.23% Floor, 11.75% Cap), 04/25/2029(2)

      24,207        23,292  

Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C

      

0.98% (6 Month LIBOR USD + 0.60%, 0.30% Floor, 11.75% Cap), 07/25/2029(2)

      44,471        43,076  

Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4

      

3.17%, 08/25/2034(4)

      57,986        59,810  

Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2

      

3.78%, 02/25/2035(4)

      93,050        95,143  

ML-CFC Commercial Mortgage Trust 2006-4

      

0.74%, 12/12/2049(3)(4)

      565,475        8  

Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6

      

2.86%, 11/15/2045

      7,404,156        7,611,997  

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14

      

3.67%, 02/15/2047

      1,739,147        1,744,669  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20

      

3.25%, 02/15/2048

      3,652,000        3,954,747  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23

      

3.45%, 07/15/2050

      17,606,533        19,263,662  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24

      

3.48%, 05/15/2048

      5,000,000        5,503,624  

3.73%, 05/15/2048

      6,507,000        7,260,278  

Morgan Stanley Capital I Trust 2006-IQ12

      

0.29%, 12/15/2043(3)(4)

      198,069        2  

Morgan Stanley Capital I Trust 2007-HQ11

      

0.37%, 02/12/2044(3)(4)

      215,457        62  

Morgan Stanley Capital I Trust 2007-HQ13

      

0.00%, 12/15/2044(3)(4)

      164,156        2  

Morgan Stanley Capital I Trust 2007-IQ13

      

0.66%, 03/15/2044(3)(4)

      447,044        1,309  

Morgan Stanley Capital I Trust 2012-C4

      

2.99%, 03/15/2045

      90,133        90,409  

Morgan Stanley Capital I Trust 2014-CPT

      

3.35%, 07/13/2029(3)

      4,241,000        4,298,329  

Morgan Stanley Capital I Trust 2016-UB11

      

2.53%, 08/15/2049

      20,000,000        21,207,322  

Morgan Stanley Capital I Trust 2018-H4

      

4.31%, 12/15/2051

      2,552,000        3,044,454  

Morgan Stanley Capital I Trust 2019-H7

      

3.01%, 07/15/2052

      1,372,854        1,519,977  

Morgan Stanley Mortgage Loan Trust 2004-3

      

5.62%, 04/25/2034(4)

      148,613        161,043  

Morgan Stanley Mortgage Loan Trust 2004-9

      

3.44%, 10/25/2020(4)

      12,933        12,856  

Mortgage Insurance-Linked Notes Series 2020-1

      

1.10% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 02/25/2030(2)(3)

      1,100,000        1,095,936  

Mortgage Repurchase Agreement Financing SER 2020-3

      

1.41% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 01/23/2023(2)(3)

      1,690,000        1,690,063  

Mortgage Repurchase Agreement Financing SER 2020-4

      

1.51% (1 Month LIBOR USD + 1.35%), 04/23/2023(2)(3)

      1,605,000        1,605,254  

MortgageIT Trust 2005-2

      

0.67% (1 Month LIBOR USD + 0.52%, 0.26% Floor, 11.50% Cap), 05/25/2035(2)

      463,256        466,026  

MRA Issuance Trust 2020-1

      

1.56% (1 Month LIBOR USD + 1.40%), 12/08/2020(2)(3)

      16,888,302        16,906,298  

MRA Issuance Trust 2020-7

      

1.60% (1 Month LIBOR USD + 1.60%), 12/11/2021(2)(3)

      30,440,000        30,440,000  

MRAFT 20-4 A2 REGD

      

1.51% (1 Month LIBOR USD + 1.35%), 04/23/2023(2)(3)

      3,110,000        3,110,492  

MRCD 2019-MARK Mortgage Trust

      

2.72%, 12/15/2036(3)

      6,108,000        6,085,436  

2.72%, 12/15/2036(3)

      9,990,000        10,271,828  

MRFC Mortgage Pass-Through Trust Series 1999-TBC2

      

0.63% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030(2)

      157,831        154,954  

MRFC Mortgage Pass-Through Trust Series 2000-TBC3

      

0.59% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030(2)

      35,244        33,969  

NACC Reperforming Loan REMIC Trust 2004-R2

      

6.50%, 10/25/2034(3)(4)

      48,735        48,509  

NCUA Guaranteed Notes Trust 2010-R3

      

0.71% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 8.00% Cap), 12/08/2020(2)

      989,348        989,585  

2.40%, 12/08/2020

      1,088        1,088  

New Residential Mortgage Loan Trust 2017-2

      

4.00%, 03/25/2057(3)(4)

      2,862,621        3,096,414  

New Residential Mortgage Loan Trust 2017-3

      

4.00%, 04/25/2057(3)(4)

      4,800,948        5,186,409  

New Residential Mortgage Loan Trust 2017-4

      

4.00%, 05/25/2057(3)(4)

      3,120,056        3,410,116  

New Residential Mortgage Loan Trust 2020-NPL2

      

3.23%, 08/25/2060(1)(3)

      7,865,357        7,866,159  

New Residential Mortgage Loan Trust 2020-RPL2

      

3.58%, 08/25/2025(3)

      342,210        342,081  

Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A1

      

5.50%, 05/25/2033

      8,511        8,769  

6.00%, 05/25/2033

      13,883        14,176  

7.00%, 04/25/2033

      7,947        8,210  

Oaktown Re II Ltd.

      

1.70% (1 Month LIBOR USD + 1.55%), 07/25/2028(2)(3)

      547,366        545,742  

Oaktown Re III Ltd.

      

1.55% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/25/2029(2)(3)

      145,680        145,617  

Oaktown Re IV Ltd SER 2020-1A

      

3.35% (1 Month LIBOR USD + 3.20%, 3.20% Floor), 07/25/2030(2)(3)

      1,500,000        1,510,979  

Prime Mortgage Trust 2004-CL1

      

6.00%, 02/25/2034

      54,386        57,952  

PRPM 2020-3 LLC SER 2020-3 CL A1 V/R REGD 144A P/P

      

2.86%, 09/25/2025(3)

      2,650,000        2,649,955  

Radnor Re 2018-1 Ltd.

      

1.55% (1 Month LIBOR USD + 1.40%), 03/25/2028(2)(3)

      191,943        191,591  

RALI Series 2002-QS16 Trust

      

16.31% (1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2049(2)(8)

      102        70  

RALI Series 2003-QS14 Trust

      

5.00%, 07/25/2021

      1,005        999  

RALI Series 2003-QS9 Trust

      

7.40% (1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2049(2)(8)(10)

      1,019        0  

RALI Series 2004-QS6 Trust

      

5.00%, 05/25/2023

      956        921  

RALI Series 2005-QA6 Trust

      

4.41%, 05/25/2035(4)

      101,458        71,001  

RALI Series 2007-QS1 Trust

      

6.00%, 01/25/2037

      13,611        13,226  

RBS Commercial Funding, Inc. 2013-SMV Trust

      

3.26%, 03/11/2031(3)

      512,000        502,434  

RBSSP Resecuritization Trust 2009-1

      

6.50%, 02/26/2036(3)(4)

      110,547        113,437  

RBSSP Resecuritization Trust 2009-12

      

5.36%, 11/25/2033(3)(4)

      104,504        104,840  

RCO V Mortgage LLC 2020-1

      

3.10%, 09/25/2025(1)(3)

      11,200,000        11,200,800  

Reperforming Loan REMIC Trust 2005-R1

      

0.00%, 03/25/2035(3)

      5,818        4,319  

Residential Asset Securitization Trust 2003-A8

      

4.25%, 10/25/2021

      1,399        1,438  

Residential Asset Securitization Trust 2004-A7

      

5.50%, 10/25/2034

      1,670,083        1,739,746  

Residential Asset Securitization Trust 2005-A2

      

4.90% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035(2)(8)

      607,507        125,392  

Residential Asset Securitization Trust 2006-A4IP

      

6.00%, 05/25/2036

      53,620        52,473  

RFMSI Series 2005-SA4 Trust

      

2.86%, 09/25/2035(4)

      31,796        28,221  

Seasoned Credit Risk Transfer Trust 2017-4

      

3.50%, 06/25/2057

      4,048,345        4,555,506  

Seasoned Credit Risk Transfer Trust Series 2018-4

      

3.50%, 03/25/2058

      8,554,241        10,501,055  

Seasoned Credit Risk Transfer Trust Series 2019-1

      

3.50%, 07/25/2058

      10,220,920        11,524,525  

Seasoned Credit Risk Transfer Trust Series 2019-3

      

3.50%, 10/25/2058

      3,880,000        4,647,044  

Seasoned Credit Risk Transfer Trust Series 2019-4

      

4.00%, 02/25/2059

      7,563,453        8,402,438  

Seasoned Credit Risk Transfer Trust Series 2020-1

      

3.00%, 08/25/2059

      8,573,341        9,167,411  

Sequoia Mortgage Trust 2004-10

      

0.78% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.50% Cap), 11/20/2034(2)

      34,213        32,478  

Sequoia Mortgage Trust 2004-11

      

0.76% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 12/20/2034(2)

      103,232        101,297  

Sequoia Mortgage Trust 2004-12

      

0.74% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035(2)

      84,455        78,575  

Sequoia Mortgage Trust 2004-8

      

0.86% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 11.50% Cap), 09/20/2034(2)

      681,102        654,552  

1.06% (6 Month LIBOR USD + 0.74%, 0.37% Floor, 11.50% Cap), 09/20/2034(2)

      96,894        94,885  

Series RR 2014-1 Trust

      

0.00%, 05/25/2047(3)

      1,603,000        1,464,886  

Structured Asset Mortgage Investments II Trust 2004-AR5

      

0.82% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.00% Cap), 10/19/2034(2)

      99,884        98,836  

Structured Asset Mortgage Investments II Trust 2005-AR5

      

0.41% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 11.00% Cap), 07/19/2035(2)

      348,532        339,222  

Structured Asset Mortgage Investments Trust 2003-CL1

      

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032(2)

      220,990        215,109  

Structured Asset Securities Corp.

      

0.50% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035(2)(3)

      63,636        54,879  

2.95%, 12/25/2033(4)

      109,030        105,163  

3.48%, 12/25/2033(4)

      1,000,228        974,775  

5.19%, 02/25/2034(1)

      165,789        171,239  

Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2003-34A

      

3.35%, 11/25/2033(4)

      24,115        23,941  

Thornburg Mortgage Securities Trust 2003-4

      

0.79% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.50% Cap), 09/25/2043(2)

      405,806        400,333  

Thornburg Mortgage Securities Trust 2003-5

      

2.84%, 10/25/2043(4)

      1,941,056        1,893,789  

Thornburg Mortgage Securities Trust 2004-4

      

3.35%, 12/25/2044(4)

      183,847        180,470  

Thornburg Mortgage Securities Trust 2005-1

      

3.58%, 04/25/2045(4)

      514,704        492,582  

Toorak Mortgage Corp. 2019-2 Ltd.

      

3.72%, 09/25/2022(1)

      6,665,000        6,790,838  

UBS Commercial Mortgage Trust 2012-C1

      

2.25%, 05/10/2045(3)(4)

      1,442,040        30,121  

UBS Commercial Mortgage Trust 2017-C2

      

3.26%, 08/15/2050

      10,114,000        11,065,724  

UBS Commercial Mortgage Trust 2017-C5

      

3.21%, 11/15/2050

      21,500,000        23,739,730  

UBS Commercial Mortgage Trust 2018-C9

      

3.85%, 03/15/2051

      9,650,000        11,026,663  

UBS-BAMLL Trust

      

3.66%, 06/10/2030(3)

      1,787,000        1,809,822  

UBS-Barclays Commercial Mortgage Trust 2012-C2

      

1.45%, 05/10/2063(3)(4)

      5,120,218        94,162  

3.53%, 05/10/2063

      1,073,000        1,105,804  

UBS-Barclays Commercial Mortgage Trust 2013-C6

      

3.24%, 04/10/2046

      271,000        283,791  

Vendee Mortgage Trust 1993-1

      

7.25%, 02/15/2023

      93,426        98,914  

Vendee Mortgage Trust 1994-1

      

5.26%, 02/15/2024(4)

      32,783        34,702  

6.50%, 02/15/2024

      96,441        103,409  

Vendee Mortgage Trust 1996-1

      

6.75%, 02/15/2026

      71,668        81,480  

Vendee Mortgage Trust 1996-2

      

6.75%, 06/15/2026

      32,482        36,741  

Vendee Mortgage Trust 1997-1

      

7.50%, 02/15/2027

      107,894        123,316  

Vendee Mortgage Trust 1998-1

      

7.00%, 03/15/2028

      72,820        81,958  

VNDO 2012-6AVE Mortgage Trust

      

3.00%, 11/15/2030(3)

      2,283,000        2,355,367  

VNDO 2013-PENN Mortgage Trust

      

3.81%, 12/13/2029(3)

      2,500,000        2,498,352  

Wachovia Bank Commercial Mortgage Trust Series 2006-C24

      

0.00%, 03/15/2045(3)(4)

      353,028        4  

WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust

      

2.88%, 10/25/2033(4)

      164,280        163,095  

WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust

      

2.69%, 08/25/2033(4)

      47,922        46,954  

WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust

      

2.77%, 09/25/2033(4)

      49,544        46,988  

2.79%, 09/25/2033(4)

      305,098        299,377  

WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust

      

5.50%, 04/25/2033

      48,168        49,646  

WaMu Mortgage Pass-Through Certificates Series 2003-S4

      

17.06% (1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033(2)(8)

      19,556        24,569  

WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust

      

0.00%, 10/25/2033

      2,967        2,619  

5.25%, 10/25/2033

      201,261        207,239  

WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust

      

3.82%, 01/25/2035(4)

      1,642,435        1,654,218  

WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust

      

3.67%, 06/25/2034(4)

      91,288        91,579  

3.67%, 06/25/2034(4)

      1,620,043        1,629,570  

WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust

      

6.00%, 08/25/2034

      623,355        678,244  

WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust

      

6.50%, 10/25/2034

      1,798,620        1,879,258  

WaMu Mortgage Pass-Through Certificates Series 2004-RS2

      

5.00%, 11/25/2033

      33,077        34,307  

WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust

      

5.50%, 06/25/2034

      228,632        236,270  

WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust

      

5.00%, 07/25/2034

      22,384        22,780  

WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust

      

3.07%, 09/25/2036(4)

      6,353        5,221  

WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust

      

3.14%, 08/25/2046(4)

      44,613        42,054  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust

      

0.00%, 03/25/2035

      8,202        6,518  

5.50%, 03/25/2035

      73,359        73,787  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust

      

4.85% (1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035(2)(8)

      177,927        29,738  

4.90% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035(2)(8)

      562,311        84,923  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust

      

5.50%, 06/25/2035

      194,574        34,424  

5.50%, 06/25/2035

      202,949        193,397  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust

      

5.50%, 08/25/2035

      32,573        32,036  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust

      

5.75%, 02/25/2036

      15,186        14,051  

Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust

      

0.00%, 03/25/2033

      98        86  

Wells Fargo Alternative Loan 2003-1 Trust

      

0.00%, 09/25/2033

      4,260        3,668  

Wells Fargo Alternative Loan 2007-PA3 Trust

      

5.75%, 07/25/2037

      16,980        16,108  

Wells Fargo Commercial Mortgage Trust 2015-C26

      

2.99%, 02/15/2048

      8,255,531        8,615,336  

Wells Fargo Commercial Mortgage Trust 2015-C29

      

3.37%, 06/15/2048

      9,481,249        10,386,674  

Wells Fargo Commercial Mortgage Trust 2015-C30

      

3.66%, 09/15/2058

      729,000        812,853  

Wells Fargo Commercial Mortgage Trust 2015-C31

      

3.70%, 11/15/2048

      3,280,000        3,668,018  

Wells Fargo Commercial Mortgage Trust 2015-NXS2

      

3.50%, 07/15/2058

      15,000,000        16,437,867  

Wells Fargo Commercial Mortgage Trust 2015-P2

      

3.81%, 12/15/2048

      7,272,631        8,169,291  

Wells Fargo Commercial Mortgage Trust 2016-C34

      

3.10%, 06/15/2049

      3,698,000        3,995,888  

Wells Fargo Commercial Mortgage Trust 2016-NXS6

      

2.64%, 11/15/2049

      20,000,000        21,298,354  

Wells Fargo Commercial Mortgage Trust 2017-C38

      

3.19%, 07/15/2050

      13,800,000        15,356,448  

Wells Fargo Commercial Mortgage Trust 2017-RC1

      

3.63%, 01/15/2060

      10,000,000        11,362,399  

Wells Fargo Commercial Mortgage Trust 2019-C49

      

3.76%, 03/15/2052

      1,085,000        1,242,763  

Wells Fargo Commercial Mortgage Trust 2019-C54

      

3.15%, 12/15/2052

      3,079,000        3,469,214  

Wells Fargo Commercial Mortgage Trust 2020-C55

      

2.73%, 02/15/2053

      3,380,000        3,707,067  

Wells Fargo Commercial Mortgage Trust 2020-C57

      

1.86%, 08/15/2053

      19,500,000        19,716,479  

2.12%, 08/15/2053

      3,518,000        3,651,483  

Wells Fargo Mortgage Backed Securities 2007-7 Trust

      

6.00%, 06/25/2037

      13,101        12,260  

WFRBS Commercial Mortgage Trust 2011-C3

      

4.38%, 03/15/2044(3)

      976,133        982,807  

WFRBS Commercial Mortgage Trust 2012-C6

      

3.44%, 04/15/2045

      9,037,236        9,169,260  

WFRBS Commercial Mortgage Trust 2013-C11

      

4.40%, 03/15/2045(3)(4)

      300,000        267,062  

WFRBS Commercial Mortgage Trust 2013-C14

      

3.34%, 06/15/2046

      229,750        242,456  

WFRBS Commercial Mortgage Trust 2014-C21

     

3.68%, 08/15/2047

      7,000,000       7,653,882  

WFRBS Commercial Mortgage Trust 2014-C23

     

3.64%, 10/15/2057

      2,879,201       3,029,597  

WFRBS Commercial Mortgage Trust 2014-C25

     

3.63%, 11/15/2047

      3,846,000       4,180,566  

WFRBS Commercial Mortgage Trust 2014-LC14

     

3.77%, 03/15/2047

      10,000,000       10,709,918  
    

 

 

  

Total Mortgage-Backed Obligations (Cost: $4,991,571,254)

        5,279,581,452  
    

 

 

  

Total Bonds & Notes (Cost: $13,621,957,252)

 

     14,518,722,957  
    

 

 

  
     Shares     Value  

PREFERRED STOCKS – 0.02%

     

Financials – 0.02%

     

State Street Corp., 5.35%(2)

      95,000     $ 2,634,350  
    

 

 

  

Total Financials

 

     2,634,350  
    

 

 

  

Total Preferred Stocks (Cost: $2,375,000)

 

     2,634,350  
    

 

 

  
     Shares     Value  

SHORT-TERM INVESTMENTS – 5.80%

     

Money Market Funds – 5.47%

     

Fidelity Institutional Money Market Government Fund - Class I, 0.03%(11)(12)

      816,435,508       816,435,508  
    

 

 

  

Total Money Market Funds (Cost: $816,435,508)

        816,435,508  
    

 

 

  
     Principal
Amount		     Value  

U.S. Treasury Bills – 0.02%

     

U.S. Treasury Bill, 0.00%, 01/28/2021

      2,000,000       1,999,314  
    

 

 

  

Total U.S. Treasury Bills (Cost: $1,990,546)

        1,999,314  
    

 

 

  

Time Deposits – 0.31%

     

Barclays Bank, London, 0.01% due 10/01/2020

      46,308,606       46,308,605  

Brown Brothers Harriman, 0.01% due 10/01/2020

      4       4  
    

 

 

  

Total Time Deposits (Cost: $46,308,609)

        46,308,609  
    

 

 

  

Total Short-Term Investments (Cost: $864,734,663)

 

     864,743,431  
    

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 103.16%

     

(Cost: $14,489,066,915)

        15,386,100,738  
    

 

 

  

TBA SALES COMMITMENTS – (0.05)%

     

Mortgage-Backed Obligations – (0.05)%

     

Fannie Mae

     

3.00%, 10/01/2050(13)

      (7,500,000 )      (7,856,543 ) 
    

 

 

  

Total TBA Sales Commitments (Proceeds Received: $7,852,734)

        (7,856,543 ) 
    

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS – (3.11)%

        (462,634,266 ) 
    

 

 

  

TOTAL NET ASSETS – 100.00%

      $ 14,915,609,929  
    

 

 

  

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 September 30, 2020.

(2)

Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of September 30, 2020.

(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 $2,917,979,905, which represents 19.56% 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 September 30, 2020.

(5)

Security in default as of September 30, 2020. The value of these securities total $289,985, which represents 0.00% of total net assets.

(6)

Partially assigned as collateral for certain future contracts. The value of these pledged issues totals $15,508,903, which represents 0.10% of total net assets.

(7)

Inflation protected security. The value of these securities total $6,427,830, which represents 0.04% 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)

Delayed delivery purchase commitment security. The value of these securities total $413,688,850, which represents 2.77% of total net assets.

(10)

Amount calculated is less than $0.5.

(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)

Delayed delivery sales commitment security. The value of this security totals $(7,856,543), which represents (0.05)% of total net assets.

(14)

Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $103,318,618 or 0.69% of the Fund’s net assets.

The accompanying notes are an integral part of this Schedule of Investments.

Open Futures Contracts

 

Number of Contracts
Purchased		     

Reference Entity

   

Counterparty

   

Expiration Date

    Notional
Amount		     Value     Unrealized
Appreciation/
(Depreciation)		  
  1,813     

U.S. 5 Year Note Future

   

J.P. Morgan

   

Dec. 2020

    $ 228,229,391     $ 228,494,656     $ 265,265  
  40     

U.S. Long Bond Future

   

J.P. Morgan

   

Dec. 2020

      7,051,802       7,051,250       (552 ) 
  1,775     

U.S. 2 Year Note Future

   

J.P. Morgan

   

Dec. 2020

      392,077,422       392,205,665       128,243  
  834     

U.S. Ultra Bond Future

   

J.P. Morgan

   

Dec. 2020

      185,598,599       184,991,625       (606,974 ) 
               

 

 

  
                  (214,018 ) 
               

 

 

  

Number of Contracts Sold

     

Reference Entity

   

Counterparty

   

Expiration Date

    Notional
Amount		     Value     Unrealized
Appreciation/
(Depreciation)		  
  (521)     

U.S. 10 Year Note Future

    J.P. Morgan   

Dec. 2020

    $ (72,731,164 )    $ (72,695,781 )    $ 35,383  
  (67)     

U.S. Ultra 10 Year Note Future

    J.P. Morgan   

Dec. 2020

      (10,728,899 )      (10,714,766 )      14,133  
               

 

 

  
                  49,516  
               

 

 

  
                $ (164,502 ) 
               

 

 

  

Bridge Builder Core Plus Bond Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Principal
Amount		      Value  

BONDS & NOTES – 93.57%

      

Asset-Backed Obligations – 10.88%

      

ABFC 2005-WMC1 Trust

      

0.88% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 06/25/2035(1)

    $ 7,005,762      $ 6,830,621  

ABFC 2007-NC1 Trust

      

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037(1)(2)

      6,322,059        6,003,734  

Accredited Mortgage Loan Trust 2003-2

      

0.85% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 13.00% Cap), 10/25/2033(1)

      1,311,293        1,300,145  

Accredited Mortgage Loan Trust 2006-2

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 09/25/2036(1)

      498,613        485,227  

ACE Securities Corp. Home Equity Loan Trust Series 2004-HE3

      

1.08% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 11/25/2034(1)

      2,800,881        2,773,816  

ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3

      

0.85% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 05/25/2035(1)

      7,185,000        7,114,011  

Adams Outdoor Advertising LP

      

5.65%, 11/15/2048(2)

      1,475,000        1,491,954  

Aegis Asset Backed Securities Trust 2005-5

      

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 12/25/2035(1)

      1,722,258        1,717,106  

Aimco CLO 11 Ltd.

      

0.00% (3 Month LIBOR USD + 1.38%, 1.38% Floor), 10/15/2031(1)(2)(3)

      2,900,000        2,900,000  

Ajax Mortgage Loan Trust 2019-F

      

2.86%, 07/25/2059(2)(4)

      24,938,581        25,518,752  

Ally Auto Receivables Trust 2018-2

      

2.92%, 11/15/2022

      2,680,942        2,712,095  

Ally Auto Receivables Trust 2019-2

      

2.23%, 01/16/2024

      12,460,000        12,701,237  

ALME Loan Funding II DAC

      

0.75% (3 Month EURIBOR + 0.75%, 0.75% Floor), 01/15/2031(1)(2)

    EUR     23,900,000        27,888,144  

Ambac LSNI LLC

      

6.00% (3 Month LIBOR USD + 5.00%), 02/12/2023(1)(2)

    $ 4,248,186        4,248,186  

American Credit Acceptance Receivables Trust 2019-3

      

2.89%, 09/12/2025(2)

      3,810,000        3,898,013  

American Express Credit Account Master Trust

      

2.04%, 05/15/2023

      100,000        100,070  

2.87%, 10/15/2024

      805,000        835,952  

3.18%, 04/15/2024

      2,420,000        2,487,893  

American Homes 4 Rent 2014-SFR2 Trust

      

6.23%, 10/17/2036(2)

      515,000        580,610  

American Homes 4 Rent 2015-SFR1

      

5.64%, 04/17/2052(2)

      6,400,000        7,072,104  

5.89%, 04/17/2052(2)

      2,378,000        2,610,374  

AmeriCredit Automobile Receivables 2016-1

      

3.59%, 02/08/2022

      665,308        665,797  

AmeriCredit Automobile Receivables Trust 2016-2

      

3.65%, 05/09/2022

      530,960        531,251  

AmeriCredit Automobile Receivables Trust 2016-3

      

2.24%, 04/08/2022

      669,002        670,528  

Americredit Automobile Receivables Trust 2016-4

      

2.74%, 12/08/2022

      1,795,000        1,821,374  

Americredit Automobile Receivables Trust 2018-2

      

3.59%, 06/18/2024

      5,970,000        6,273,263  

4.01%, 07/18/2024

      2,940,000        3,123,328  

Americredit Automobile Receivables Trust 2018-3

      

4.04%, 11/18/2024

      4,310,000        4,556,071  

AmeriCredit Automobile Receivables Trust 2019-3

      

2.58%, 09/18/2025

      1,330,000        1,354,174  

AmeriCredit Automobile Receivables Trust 2020-1

      

1.59%, 10/20/2025

      5,410,000        5,484,702  

1.80%, 12/18/2025

      5,410,000        5,450,833  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2004-R9

      

1.12% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 10/25/2034(1)

      27,865        27,864  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2005-R5

      

0.88% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 07/25/2035(1)

      3,166,061        3,154,844  

Ammc Clo 19 Ltd.

      

1.42% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 10/16/2028(1)(2)

      7,275,000        7,210,056  

Applebee’s Funding LLC / IHOP Funding LLC

      

4.19%, 06/07/2049(2)

      6,740,000        6,245,082  

Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd.

      

1.30% (1 Month LIBOR USD + 1.15%), 05/15/2037(1)(2)

      5,000,000        4,943,750  

Arbour CLO IV DAC

      

0.87% (3 Month EURIBOR + 0.87%, 0.87% Floor), 01/15/2030(1)(2)

    EUR 2,400,000        2,795,244  

Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC 2006-HE3

      

0.32% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036(1)

    $ 907,203        903,854  

Aurium CLO III DAC

      

0.67% (3 Month EURIBOR + 0.67%, 0.67% Floor), 04/16/2030(1)(2)

    EUR 900,000        1,041,891  

Avis Budget Rental Car Funding AESOP LLC

      

2.33%, 08/20/2026(2)

    $ 2,585,000        2,661,862  

2.72%, 11/20/2022(2)

      1,545,000        1,568,023  

2.97%, 03/20/2024(2)

      19,773,000        20,403,875  

Ayresome CDO I Ltd.

      

0.52% (3 Month LIBOR USD + 0.27%), 12/08/2045(1)(2)

      396,467        390,163  

Barings BDC Static CLO Ltd. 2019-1

      

1.30% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/15/2027(1)(2)

      5,200,724        5,190,510  

Barings CLO Ltd. 2013-I

      

1.07% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028(1)(2)

      4,805,641        4,762,626  

Barings CLO Ltd. 2016-II

      

1.35% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 07/20/2028(1)(2)

      3,710,000        3,698,054  

Bayview Opportunity Master Fund IVa Trust 2017-RT1

      

3.00%, 03/28/2057(2)(5)

      122,051        125,159  

Bayview Opportunity Master Fund IVb Trust 2017-RT2

      

3.50%, 08/28/2057(2)(5)

      831,551        847,161  

Bayview Opportunity Master Fund IVb Trust 2017-SPL4

      

4.75%, 01/28/2055(2)(5)

      655,000        700,738  

Bayview Opportunity Master Fund IVb Trust 2019-RN4

      

3.28%, 10/28/2034(2)(4)

      1,422,576        1,417,924  

Bayview Opportunity Master Fund V Trust 2020-RPL1

      

3.10%, 09/25/2035(2)(4)

      2,125,000        2,126,062  

BCMSC Trust 1999-B

      

6.61%, 12/15/2029(5)

      3,594,315        819,947  

Bear Stearns Asset Backed Securities I Trust 2005-EC1

      

0.93% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 11/25/2035(1)

      12,157,000        12,065,284  

Bear Stearns Asset Backed Securities I Trust 2007-HE2

      

0.31% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037(1)

      16,556,489        16,835,283  

Betony CLO 2 Ltd.

      

1.35% (3 Month LIBOR USD + 1.08%), 04/30/2031(1)(2)

      1,000,000        988,108  

Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1

      

4.21%, 12/16/2041(2)(4)

      1,148,542        1,021,932  

BlueMountain CLO 2012-2 Ltd.

      

1.30% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 11/20/2028(1)(2)

      6,900,000        6,864,410  

BlueMountain CLO 2013-1 Ltd.

      

1.50% (3 Month LIBOR USD + 1.23%, 1.23% Floor), 01/20/2029(1)(2)

      3,467,340        3,462,791  

BlueMountain CLO 2015-2 Ltd.

      

1.20% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/18/2027(1)(2)

      3,355,247        3,328,723  

1.77% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/18/2027(1)(2)

      1,915,000        1,877,855  

BMW Canada Auto Trust

      

2.15%, 10/20/2021(2)

    CAD 578,734        435,932  

BMW Vehicle Owner Trust 2018-A

      

2.51%, 06/25/2024

    $ 4,020,000        4,097,391  

BRE Grand Islander Timeshare Issuer 2019-A LLC

      

3.28%, 09/26/2033(2)

      2,412,540        2,474,236  

California Republic Auto Receivables Trust 2017-1

      

3.76%, 12/15/2023

      1,300,000        1,320,642  

California Republic Auto Receivables Trust 2018-1

      

4.33%, 04/15/2025

      2,050,000        2,125,784  

Capital One Multi-Asset Execution Trust

      

2.43%, 01/15/2025

      8,440,000        8,707,855  

2.84%, 12/15/2024

      1,290,000        1,335,330  

Capitalsource Real Estate Loan Trust

      

2.24% (3 Month LIBOR USD + 0.39%), 01/20/2037(1)(2)

      230,063        228,986  

2.50% (3 Month LIBOR USD + 0.65%), 01/20/2037(1)(2)

      3,400,000        3,254,677  

2.60% (3 Month LIBOR USD + 0.75%), 01/20/2037(1)(2)

      1,200,000        1,128,510  

2.70% (3 Month LIBOR USD + 0.85%), 01/20/2037(1)(2)

      700,000        658,995  

Carlyle Euro CLO 2019-2

      

1.11% (3 Month EURIBOR + 1.11%, 1.11% Floor), 08/15/2032(1)(2)

    EUR 2,000,000        2,339,127  

Carlyle Global Market Strategies CLO 2015-3 Ltd.

      

1.25% (3 Month LIBOR USD + 1.00%), 07/28/2028(1)(2)

    $ 11,615,000        11,526,691  

Carlyle Global Market Strategies Euro CLO 2016-2 DAC

      

0.87% (3 Month EURIBOR + 0.87%, 0.87% Floor), 01/18/2030(1)(2)

    EUR 3,900,000        4,526,601  

Carmax Auto Owner Trust 2019-2

      

3.41%, 10/15/2025

    $ 2,055,000        2,102,269  

Carmax Auto Owner Trust 2019-3

      

2.85%, 01/15/2026

      1,120,000        1,157,881  

Carmax Auto Owner Trust 2020-1

      

2.64%, 07/15/2026

      2,622,000        2,672,796  

CarMax Auto Owner Trust 2020-3

      

2.53%, 01/15/2027

      1,510,000        1,540,478  

Castlelake Aircraft Securitization Trust

      

3.97%, 07/15/2042

      797,982        718,429  

Castlelake Aircraft Securitization Trust 2018-1

      

4.13%, 06/15/2043(2)

      5,695,480        5,316,255  

CBAM 2017-3 Ltd.

      

1.50% (3 Month LIBOR USD + 1.23%), 10/17/2029(1)(2)

      8,900,000        8,871,858  

CBAM 2019-9 Ltd.

      

1.56% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 02/12/2030(1)(2)

      9,410,000        9,392,657  

Cent CLO 24 Ltd.

      

1.35% (3 Month LIBOR USD + 1.07%), 10/15/2026(1)(2)

      18,517,898        18,492,843  

Centex Home Equity Loan Trust 2005-B

      

0.79% (1 Month LIBOR USD + 0.65%, 0.43% Floor), 03/25/2035(1)

      5,182,714        5,072,825  

CHEC Loan Trust 2004-2

      

0.79% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 06/25/2034(1)

      1,144,705        1,106,993  

CIFC Funding 2015-IV Ltd.

      

1.42% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2027(1)(2)

      3,920,000        3,900,749  

CIFC Funding 2015-V Ltd.

      

1.10% (3 Month LIBOR USD + 0.86%), 10/25/2027(1)(2)

      2,951,370        2,916,285  

CIFC Funding 2020-III Ltd.

      

0.00% (3 Month LIBOR USD + 1.35%, 1.35% Floor), 10/20/2031(1)(2)(3)

      5,945,000        5,945,000  

Citibank Credit Card Issuance Trust

      

2.19%, 11/20/2023

      3,010,000        3,076,613  

Citigroup Mortgage Loan Trust 2007-AHL1

      

0.29% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036(1)

      2,283,083        2,259,394  

Citigroup Mortgage Loan Trust, Inc.

      

0.75% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 10/25/2035(1)

      14,327,000        12,943,906  

0.78% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 02/25/2035(1)

      2,434,193        2,363,538  

1.05% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2035(1)

      7,900,000        7,357,035  

CNH Equipment Trust 2017-C

      

2.54%, 05/15/2025

      60,000        61,026  

Coinstar Funding LLC Series 2017-1

      

5.22%, 04/25/2047(2)

      11,247,188        10,669,976  

Cole Park CLO Ltd. 2015-1

      

1.32% (3 Month LIBOR USD + 1.05%), 10/20/2028(1)(2)

      6,820,000        6,779,939  

College Avenue Student Loans 2018-A LLC

      

1.35% (1 Month LIBOR USD + 1.20%), 12/26/2047(1)(2)

      1,996,344        1,911,205  

4.13%, 12/26/2047(2)

      2,722,287        2,872,273  

College Avenue Student Loans LLC

      

1.80% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046(1)(2)

      4,118,640        4,131,245  

Colony American Finance 2015-1 Ltd.

      

4.83%, 10/15/2047(2)

      725,000        726,945  

Conseco Finance Securitizations Corp.

      

7.97%, 05/01/2032

      733,953        249,863  

8.06%, 09/01/2029(5)

      13,034,752        4,664,961  

8.31%, 05/01/2032(5)

      8,504,715        3,018,810  

Conseco Financial Corp.

      

7.70%, 05/15/2027

      5,927,548        5,773,550  

Continental Airlines 2000-1 Class A-1 Pass Through Trust

      

8.05%, 11/01/2020

      43        41  

CoreVest American Finance 2018-1 Trust

      

3.80%, 06/15/2051(2)

      1,422,460        1,494,609  

Corevest American Finance 2019-3 Trust

      

2.71%, 10/15/2052(2)

      2,736,889        2,838,143  

3.16%, 10/15/2052(2)

      1,470,000        1,489,541  

Countrywide Asset-Backed Certificates

      

0.32% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2037(1)

      2,897,041        2,759,475  

0.33% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 06/25/2047(1)

      38,829,414        36,482,125  

0.37% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 05/25/2047(1)

      10,884,730        10,065,908  

0.39% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 03/25/2036(1)

      2,564,921        2,381,865  

0.40% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/25/2036(1)

      990,000        912,342  

0.44% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 06/25/2037(1)

      8,448,500        8,045,528  

0.54% (1 Month LIBOR USD + 0.39%, 0.39% Floor), 04/25/2036(1)

      1,000,000        820,489  

0.57% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 06/25/2036(1)

      2,000,000        1,821,247  

0.64% (1 Month LIBOR USD + 0.49%, 0.49% Floor), 02/25/2036(1)

      4,405,433        4,386,891  

1.57% (1 Month LIBOR USD + 1.43%, 0.95% Floor), 06/25/2035(1)

      6,448,610        6,450,669  

CPS Auto Receivables Trust 2016-C

      

5.92%, 06/15/2022(2)

      1,190,214        1,205,355  

CPS Auto Receivables Trust 2017-C

      

3.79%, 06/15/2023(2)

      1,530,000        1,554,882  

CPS Auto Receivables Trust 2017-D

      

3.73%, 09/15/2023(2)

      645,000        656,643  

CPS Auto Receivables Trust 2018-B

      

4.26%, 03/15/2024(2)

      1,715,000        1,777,874  

CPS Auto Receivables Trust 2020-C

      

1.71%, 08/17/2026(2)

      1,070,000        1,072,065  

CPS Auto Trust

      

4.53%, 01/17/2023(2)

      1,345,583        1,359,761  

Credit Acceptance Auto Loan Trust 2017-3

      

3.48%, 10/15/2026(2)

      1,980,000        2,001,096  

Credit Acceptance Auto Loan Trust 2018-1

      

3.77%, 06/15/2027(2)

      2,255,000        2,301,383  

Credit Acceptance Auto Loan Trust 2018-2

      

4.16%, 09/15/2027(2)

      3,045,000        3,145,598  

Credit Acceptance Auto Loan Trust 2018-3

      

4.04%, 12/15/2027(2)

      3,110,000        3,230,824  

Credit Acceptance Auto Loan Trust 2019-1

      

3.94%, 06/15/2028(2)

      9,810,000        10,256,424  

CVS Pass-Through Trust

      

6.94%, 01/10/2030

      967,548        1,153,856  

CWABS Asset-Backed Certificates Trust 2005-7

      

0.85% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 11/25/2035(1)

      615,870        614,508  

CWABS Asset-Backed Certificates Trust 2007-12

      

0.89% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 08/25/2047(1)

      5,434,601        5,279,495  

CWABS Revolving Home Equity Loan Trust Series 2004-T

      

0.39% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 16.00% Cap), 02/15/2030(1)

      6,614,307        6,510,551  

DB Master Finance LLC

      

4.03%, 11/20/2047(2)

      1,574,625        1,668,425  

4.35%, 05/20/2049(2)

      3,286,800        3,576,531  

Dell Equipment Finance Trust 2020-2

      

1.37%, 01/22/2024(2)

      500,000        499,918  

1.92%, 03/23/2026(2)

      500,000        499,847  

Delta Air Lines 2002-1 Class G-1 Pass Through Trust

      

6.72%, 01/02/2023

      1,400,259        1,348,955  

Denali Capital CLO X LLC

      

1.29% (3 Month LIBOR USD + 1.05%), 10/26/2027(1)(2)

      6,283,229        6,248,545  

Domino’s Pizza Master Issuer LLC

      

3.67%, 10/25/2049(2)

      2,077,303        2,208,027  

4.12%, 07/25/2047(2)

      3,501,000        3,776,179  

4.33%, 07/25/2048(2)

      2,440,200        2,655,230  

Drive Auto Receivables Trust

      

4.30%, 09/16/2024

      3,195,000        3,337,642  

Drive Auto Receivables Trust 2018-2

      

4.14%, 08/15/2024

      1,715,000        1,780,705  

Drive Auto Receivables Trust 2018-5

      

4.30%, 04/15/2026

      2,685,000        2,849,109  

Drive Auto Receivables Trust 2019-1

      

4.09%, 06/15/2026

      3,590,000        3,768,462  

Driven Brands Funding LLC

      

4.64%, 04/20/2049(2)

      2,275,350        2,406,706  

Dryden 30 Senior Loan Fund

      

1.10% (3 Month LIBOR USD + 0.82%), 11/15/2028(1)(2)

      1,200,000        1,187,803  

Dryden 46 Euro CLO 2016 BV

      

0.88% (3 Month EURIBOR + 0.88%, 0.88% Floor), 01/15/2030(1)(2)

    EUR 3,700,000        4,295,574  

Dryden 86 CLO Ltd.

      

1.88% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 07/17/2030(1)(2)

    $ 12,585,000        12,575,159  

Dryden XXVI Senior Loan Fund

      

1.18% (3 Month LIBOR USD + 0.90%), 04/15/2029(1)(2)

      4,500,000        4,451,184  

DT Auto Owner Trust 2017-2

      

3.89%, 01/15/2023(2)

      1,251,710        1,260,453  

DT Auto Owner Trust 2018-2

      

4.15%, 03/15/2024(2)

      1,435,000        1,481,359  

DT Auto Owner Trust 2019-3

      

2.96%, 04/15/2025(2)

      1,635,000        1,674,547  

DT Auto Owner Trust 2020-2

      

4.73%, 03/16/2026(2)

      450,000        484,338  

DT Auto Owner Trust 2020-3

      

1.47%, 06/15/2026(2)

      1,650,000        1,654,420  

Earnest Student Loan Program 2017-A LLC

      

2.65%, 01/25/2041(2)

      2,299,340        2,331,361  

Eaton Vance CLO 2013-1 Ltd.

      

2.13% (3 Month LIBOR USD + 1.85%), 01/15/2028(1)(2)

      6,855,000        6,837,835  

ECAF I Ltd.

      

3.47%, 06/15/2040(2)

      428,635        393,008  

ECMC Group Student Loan Trust

      

1.15% (1 Month LIBOR USD + 1.00%), 07/25/2069(1)(2)

      1,009,570        999,323  

ECMC Group Student Loan Trust 2017-2

      

1.20% (1 Month LIBOR USD + 1.05%), 05/25/2067(1)(2)

      7,907,508        7,830,665  

ELFI Graduate Loan Program 2019-A LLC

      

2.54%, 03/25/2044(2)

      4,005,299        4,115,448  

Ellington Loan Acquisition Trust 2007-1

      

1.25% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 05/25/2037(1)(2)

      944,241        936,443  

Euro Galaxy III CLO BV

      

0.75% (3 Month EURIBOR + 0.75%, 0.75% Floor), 01/17/2031(1)(2)

    EUR 600,000        702,081  

Exeter Automobile Receivables Trust 2020-2

      

4.73%, 04/15/2026(2)

    $ 3,090,000        3,333,550  

Exeter Automobile Receivables Trust 2020-3

      

1.73%, 07/15/2026

      1,175,000        1,177,986  

Fairstone Financial Issuance Trust I

      

3.95%, 03/21/2033(2)

    CAD     9,840,000        7,396,461  

Fieldstone Mortgage Investment Trust Series 2005-1

      

1.27% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 12.25% Cap), 03/25/2035(1)

    $ 2,646,919        2,628,313  

Fieldstone Mortgage Investment Trust Series 2006-3

      

0.46% (1 Month LIBOR USD + 0.14%, 0.14% Floor, 12.25% Cap), 11/25/2036(1)

      7,121,929        6,541,320  

First Franklin Mortgage Loan Trust 2004-FF7

      

2.32% (1 Month LIBOR USD + 2.18%, 1.45% Floor), 09/25/2034(1)

      854,074        865,716  

First Franklin Mortgage Loan Trust 2006-FF16

      

0.36% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036(1)

      6,421,681        4,028,248  

First Franklin Mortgage Loan Trust 2006-FF17

      

0.30% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036(1)

      4,805,400        4,377,964  

First Investors Auto Owner Trust 2016-2

      

3.35%, 11/15/2022(2)

      850,000        860,474  

First Investors Auto Owner Trust 2017-2

      

3.56%, 09/15/2023(2)

      975,000        1,002,872  

First Investors Auto Owner Trust 2018-1

      

4.11%, 06/17/2024(2)

      605,000        625,737  

First Investors Auto Owner Trust 2019-2

      

2.71%, 12/15/2025(2)

      1,254,000        1,293,296  

FirstKey Homes 2020-SFR1 Trust

      

2.24%, 09/17/2025(2)

      1,590,000        1,599,943  

2.79%, 08/17/2037(2)

      805,000        823,086  

Flagship Credit Auto Trust 2016-3

      

3.89%, 11/15/2022(2)

      810,000        824,390  

Flagship Credit Auto Trust 2017-1

      

4.23%, 05/15/2023(2)

      260,000        266,480  

Flagship Credit Auto Trust 2018-1

      

3.86%, 04/15/2024(2)

      1,285,000        1,323,160  

Flagship Credit Auto Trust 2018-2

      

4.23%, 09/16/2024(2)

      1,580,000        1,660,900  

Flagship Credit Auto Trust 2019-3

      

2.86%, 12/15/2025(2)

      2,235,000        2,286,797  

Flatiron CLO 2015-1 Ltd.

      

1.17% (3 Month LIBOR USD + 0.89%), 04/15/2027(1)(2)

      3,088,096        3,079,987  

Ford Auto Securitization Trust

      

2.47%, 02/15/2025(2)

    CAD 4,925,000        3,813,505  

2.55%, 09/15/2024(2)

      5,725,000        4,427,712  

Ford Credit Auto Owner Trust 2017-B

      

1.69%, 11/15/2021

    $ 221,875        222,037  

Ford Credit Auto Owner Trust 2017-C

      

2.01%, 03/15/2022

      292,869        293,831  

Ford Credit Auto Owner Trust 2018-A

      

3.16%, 10/15/2023

      8,225,000        8,506,587  

Ford Credit Auto Owner Trust 2019-REV1

      

3.52%, 07/15/2030(2)

      9,385,000        10,259,150  

Ford Credit Auto Owner Trust 2020-B

      

0.56%, 10/15/2024

      10,520,000        10,569,601  

Fremont Home Loan Trust 2004-C

      

1.12% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 08/25/2034(1)

      4,896,645        4,677,803  

Fremont Home Loan Trust 2005-2

      

0.90% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 06/25/2035(1)

      4,782,254        4,734,995  

Fremont Home Loan Trust 2005-C

      

1.08% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035(1)

      6,220,773        5,107,288  

Gallatin CLO IX 2018-1 Ltd.

      

1.32% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028(1)(2)

      11,778,609        11,693,485  

GCAT 2019-3 LLC

      

3.35%, 10/25/2049(2)(4)

      1,664,818        1,629,939  

GLS Auto Receivables Issuer Trust 2019-3

      

2.58%, 07/17/2023(2)

      7,704,456        7,780,078  

GLS Auto Receivables Issuer Trust 2020-1

      

2.17%, 02/15/2024(2)

      8,976,354        9,080,522  

GM Financial Automobile Leasing Trust 2020-3

      

1.11%, 10/21/2024

      2,675,000        2,674,900  

GM Financial Consumer Automobile 2017-1

      

2.45%, 07/17/2023(2)

      100,000        100,404  

GM Financial Consumer Automobile Receivables Trust 2017-3

      

1.97%, 05/16/2022(2)

      1,708,149        1,713,813  

2.33%, 03/16/2023(2)

      155,000        157,096  

GM Financial Consumer Automobile Receivables Trust 2018-2

      

3.31%, 12/18/2023

      1,615,000        1,669,588  

GM Financial Consumer Automobile Receivables Trust 2019-4

      

1.75%, 07/16/2024

      5,540,000        5,642,480  

2.04%, 02/18/2025

      2,645,000        2,744,472  

GMF Floorplan Owner Revolving Trust

      

1.48%, 08/15/2025(2)

      735,000        734,818  

3.06%, 04/15/2024(2)

      3,180,000        3,261,105  

3.30%, 04/15/2026(2)

      6,875,000        7,263,094  

GoldenTree Loan Opportunities IX Ltd.

      

1.38% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029(1)(2)

      11,000,000        10,971,653  

GoldentTree Loan Management US CLO 1 Ltd.

      

1.22% (3 Month LIBOR USD + 0.95%, 0.95% Floor), 04/20/2029(1)(2)

      9,600,000        9,517,114  

Golub Capital Partners CLO 39B Ltd.

      

1.42% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2028(1)(2)

      5,295,000        5,270,002  

GreatAmerica Leasing Receivables Funding LLC Series 2018-1

      

2.99%, 06/17/2024(2)

      1,685,000        1,723,179  

Greystone Commercial Real Estate Notes 2019-FL2 Ltd.

      

1.33% (1 Month LIBOR USD + 1.18%, 1.18% Floor), 09/15/2037(1)(2)

      1,900,000        1,853,687  

GSAMP Trust 2005-AHL

      

1.12% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 04/25/2035(1)

      5,781,567        5,644,045  

GSAMP Trust 2007-FM2

      

0.21% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2037(1)

      1,956,775        1,417,151  

Hardee’s Funding LLC

      

4.25%, 06/20/2048(2)

      8,217,300        8,257,811  

4.96%, 06/20/2048(2)

      4,223,800        4,367,071  

Harley Marine Financing LLC

      

5.68%, 05/15/2043(2)

      924,473        836,055  

Harvest SBA Loan Trust 2018-1

      

2.41% (1 Month LIBOR USD + 2.25%), 08/25/2044(1)(2)

      7,695,592        7,424,577  

Hilton Grand Vacations Trust 2017-A

      

2.66%, 12/26/2028(2)

      145,948        148,985  

2.96%, 12/26/2028(2)

      66,340        66,719  

Home Equity Asset Trust 2006-3

      

0.35% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 07/25/2036(1)

      594,904        594,426  

Home Equity Asset Trust 2007-1

      

0.26% (1 Month LIBOR USD + 0.11%, 0.11% Floor), 05/25/2037(1)

      1,524,579        1,521,431  

Home Partners of America 2019-1 Trust

      

3.41%, 09/17/2039(2)

      1,367,920        1,386,890  

Home Partners of America 2019-2 Trust

      

3.12%, 10/19/2039(2)

      1,267,765        1,318,699  

Honda Auto Receivables 2017-4 Owner Trust

      

2.05%, 11/22/2021

      1,422,870        1,427,916  

Honda Auto Receivables 2018-1 Owner Trust

      

2.64%, 02/15/2022

      1,707,510        1,721,964  

Honda Auto Receivables 2020-1 Owner Trust

      

1.61%, 04/22/2024

      9,675,000        9,902,237  

Honda Auto Receivables 2020-3 Owner Trust

      

0.37%, 10/18/2024

      7,490,000        7,488,223  

Horizon Aircraft Finance I Ltd.

      

4.46%, 12/15/2038(2)

      4,966,314        4,690,771  

Horizon Aircraft Finance II Ltd.

      

3.72%, 07/15/2039(2)

      1,353,079        1,263,124  

HPEFS Equipment Trust

      

2.00%, 07/22/2030(2)

      1,030,000        1,041,787  

HPEFS Equipment Trust 2019-1

      

2.49%, 09/20/2029(2)

      970,000        991,220  

HPEFS Equipment Trust 2020-1

      

2.26%, 02/20/2030(2)

      1,900,000        1,910,353  

Invitation Homes 2018-SFR1 Trust

      

2.15% (1 Month LIBOR USD + 2.00%), 03/17/2037(1)(2)

      2,811,616        2,814,685  

Invitation Homes 2018-SFR2 Trust

      

2.15% (1 Month LIBOR USD + 2.00%, 2.10% Floor), 06/17/2037(1)(2)

      5,355,000        5,360,865  

Invitation Homes 2018-SFR3 Trust

      

2.15% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 07/17/2037(1)(2)

      2,645,000        2,646,757  

Invitation Homes 2018-SFR4 Trust

      

1.80% (1 Month LIBOR USD + 1.65%, 1.60% Floor), 01/17/2038(1)(2)

      615,000        615,000  

IXIS Real Estate Capital Trust 2005-HE2

      

1.12% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 09/25/2035(1)

      7,500,000        6,927,564  

Jack In The Box Funding LLC

      

3.98%, 08/25/2049(2)

      4,992,275        5,117,631  

Jamestown CLO IV Ltd.

      

0.97% (3 Month LIBOR USD + 0.69%), 07/15/2026(1)(2)

      2,197,137        2,190,447  

Jimmy Johns Funding LLC

      

3.61%, 07/30/2047(2)

      392,850        397,808  

JP Morgan Mortgage Acquisition Corp. 2005-FRE1

      

0.58% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 10/25/2035(1)

      7,044,106        6,138,333  

JP Morgan Mortgage Acquisition Corp. 2006-FRE2

      

0.51% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 02/25/2036(1)

      8,467,499        7,054,198  

JP Morgan Mortgage Acquisition Trust 2006-CW1

      

0.44% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 05/25/2036(1)

      11,322,000        9,157,324  

JP Morgan Mortgage Acquisition Trust 2006-WMC4

      

0.27% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036(1)

      23,355,927        15,099,338  

0.30% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036(1)

      21,271,336        13,842,035  

JP Morgan Mortgage Acquisition Trust 2007-CH3

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037(1)

      29,375,922        28,874,730  

Kestrel Aircraft Funding Ltd.

      

4.25%, 12/15/2038(2)

      3,143,810        2,728,599  

KKR CLO 13 Ltd.

      

1.07% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028(1)(2)

      2,561,591        2,536,433  

Laurel Road Prime Student Loan Trust 2020-A

      

1.40%, 11/25/2050(2)

      4,680,000        4,675,056  

Legacy Mortgage Asset Trust 2019-GS3

      

3.75%, 04/25/2059(2)(4)

      2,551,653        2,596,539  

Legacy Mortgage Asset Trust 2019-GS4

      

3.44%, 05/25/2059(2)(4)

      217,040        217,508  

Lehman XS Trust 2007-6

      

0.36% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 05/25/2037(1)

      11,380,514        9,625,664  

Lendmark Funding Trust 2018-1

      

3.81%, 12/21/2026(2)

      1,655,000        1,694,349  

LoanCore 2019-CRE2 Issuer Ltd.

      

1.28% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 05/15/2036(1)(2)

      3,600,000        3,555,000  

Long Beach Mortgage Loan Trust 2005-WL2

      

0.93% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 08/25/2035(1)

      10,000,000        9,463,580  

Long Beach Mortgage Loan Trust 2006-WL1

      

0.78% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 01/25/2046(1)

      15,000,000        14,164,079  

LP Credit Card ABS Master Trust

      

1.74% (1 Month LIBOR USD + 1.55%), 08/20/2024(1)(2)

      4,125,105        4,224,189  

Madison Park Funding XVIII Ltd.

      

1.46% (3 Month LIBOR USD + 1.19%), 10/21/2030(1)(2)

      4,815,000        4,782,017  

Madison Park Funding XXXIII Ltd.

      

1.61% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 10/15/2032(1)(2)

      4,180,000        4,179,110  

Madison Park Funding XXXVII Ltd.

      

1.58% (3 Month LIBOR USD + 1.30%), 07/15/2032(1)(2)

      2,965,000        2,961,288  

Magnetite XVI Ltd.

      

1.47% (3 Month LIBOR USD + 1.20%), 01/18/2028(1)(2)

      2,760,000        2,707,052  

Magnetite XXI Ltd.

      

1.55% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 04/20/2030(1)(2)

      6,500,000        6,487,761  

Magnetite XXIII Ltd.

      

1.54% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 10/25/2032(1)(2)

      1,255,000        1,253,696  

MAPS 2018-1 Ltd.

      

4.21%, 05/15/2043(2)

      6,413,352        5,900,568  

MAPS 2019-1 Ltd.

      

4.46%, 03/15/2044(2)

      1,638,112        1,516,243  

Mariner Finance Issuance Trust 2018-A

      

4.20%, 11/20/2030(2)

      5,575,000        5,602,562  

Marlette Funding Trust 2019-4

      

2.39%, 12/17/2029(2)

      1,921,715        1,939,810  

MASTR Asset Backed Securities Trust 2004-WMC1

      

0.93% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 02/25/2034(1)

      1,526,956        1,516,956  

MASTR Specialized Loan Trust

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2036(1)(2)

      803,631        771,462  

Merlin Aviation Holdings DAC

      

4.50%, 12/15/2032(2)(4)

      236,496        210,399  

Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2

      

0.39% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037(1)

      2,675,229        2,011,658  

METAL 2017-1 LLC

      

4.58%, 10/15/2042(2)

      3,212,691        2,377,921  

Mill City Mortgage Loan Trust 2016-1

      

2.50%, 04/25/2057(2)(5)

      148,626        150,652  

Mill City Mortgage Loan Trust 2017-2

      

2.75%, 07/25/2059(2)(5)

      358,862        366,056  

Mill City Mortgage Loan Trust 2018-1

      

3.25%, 05/25/2062(2)(5)

      4,268,427        4,440,769  

Mill City Mortgage Loan Trust 2018-2

      

3.75%, 05/25/2058(2)(5)

      494,254        528,261  

Mill City Mortgage Loan Trust 2018-3

      

3.50%, 08/25/2058(2)(5)

      2,268,085        2,416,816  

MMAF Equipment Finance LLC 2018-A

      

3.39%, 01/10/2025(2)

      1,180,000        1,229,283  

Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC2

      

1.08% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 02/25/2035(1)

      1,568,504        1,458,069  

Morgan Stanley ABS Capital I, Inc. Trust 2006-HE8

      

0.28% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036(1)

      644,747        595,203  

Morgan Stanley Capital I, Inc. Trust 2006-HE1

      

0.44% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 01/25/2036(1)

      9,931,983        9,683,425  

Morgan Stanley Mortgage Loan Trust 2006-15XS

      

6.20%, 11/25/2036(4)

      13,787,377        5,086,507  

Morgan Stanley Mortgage Loan Trust 2007-8XS

      

0.68% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037(1)

      23,030,127        10,170,528  

0.69% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037(1)

      2,223,887        982,931  

Mountain View CLO 2014-1 Ltd.

      

1.08% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026(1)(2)

      4,737,439        4,706,840  

Mountain View CLO 2017-1 LLC

      

1.36% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 10/16/2029(1)(2)

      11,100,000        11,064,491  

Mountain View CLO X Ltd.

      

1.09% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 10/13/2027(1)(2)

      1,094,938        1,086,523  

MVW Owner Trust 2015-1

      

2.52%, 12/20/2032(2)

      305,841        307,233  

MVW Owner Trust 2017-1

      

2.75%, 12/20/2034(2)

      80,437        81,390  

Nassau 2017-I Ltd.

      

1.43% (3 Month LIBOR USD + 1.15%), 10/15/2029(1)(2)

      15,200,000        15,123,544  

National Collegiate Student Loan Trust 2004-2

      

0.63% (1 Month LIBOR USD + 0.48%), 12/26/2033(1)

      5,655,573        5,581,083  

National Collegiate Student Loan Trust 2005-3

      

0.55% (1 Month LIBOR USD + 0.29%), 10/25/2033(1)(2)

      10,124,680        9,747,731  

Navient Private Education Loan Trust 2017-A

      

2.88%, 12/16/2058(2)

      503,171        510,799  

3.91%, 12/16/2058(2)

      440,000        448,381  

Navient Private Education Loan Trust 2018-B

      

3.61%, 12/15/2059(2)

      1,939,569        2,012,507  

Navient Private Education Refi Loan Trust 2018-A

      

3.19%, 02/18/2042(2)

      3,469,190        3,545,096  

Navient Private Education Refi Loan Trust 2018-C

      

3.52%, 06/16/2042(2)

      1,213,475        1,247,644  

Navient Private Education Refi Loan Trust 2019-F

      

2.60%, 08/15/2068(2)

      6,965,000        7,207,962  

Navient Private Education Refi Loan Trust 2019-G

      

2.40%, 10/15/2068(2)

      1,774,201        1,816,132  

Navient Private Education Refi Loan Trust 2020-B

      

2.12%, 01/15/2069(2)

      5,635,000        5,786,140  

Navient Private Education Refi Loan Trust 2020-C

      

2.15%, 11/15/2068(2)

      4,795,000        4,953,033  

2.83%, 11/15/2068(2)

      4,665,000        4,550,847  

Navient Private Education Refi Loan Trust 2020-D

      

1.69%, 05/15/2069(2)

      14,999,739        15,190,185  

Navient Private Education Refi Loan Trust 2020-G

      

1.17%, 09/16/2069(2)

      10,900,000        10,917,503  

Navient Student Loan Trust 2014-3

      

0.77% (1 Month LIBOR USD + 0.62%), 03/25/2083(1)

      277,923        268,466  

Navient Student Loan Trust 2016-2

      

1.65% (1 Month LIBOR USD + 1.50%), 06/25/2065(1)(2)

      6,200,000        6,258,687  

Navient Student Loan Trust 2017-3

      

1.20% (1 Month LIBOR USD + 1.05%), 07/26/2066(1)(2)

      5,000,000        5,001,514  

Navient Student Loan Trust 2018-2

      

0.90% (1 Month LIBOR USD + 0.75%), 03/25/2067(1)(2)

      15,000,000        14,650,190  

Navient Student Loan Trust 2018-4

      

0.40% (1 Month LIBOR USD + 0.25%), 06/27/2067(1)(2)

      95,068        95,029  

Nelnet Student Loan Trust 2014-2

      

1.03% (1 Month LIBOR USD + 0.85%), 07/27/2037(1)(2)

      4,250,000        4,137,157  

Nelnet Student Loan Trust 2020-1

      

0.89% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 03/26/2068(1)(2)

      2,469,620        2,441,657  

Neuberger Berman CLO XIX Ltd.

      

1.43% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2027(1)(2)

      3,010,000        2,924,754  

Neuberger Berman Loan Advisers CLO 38 Ltd.

      

0.00% (3 Month LIBOR USD + 1.30%), 10/20/2032(1)(2)(3)

      6,440,000        6,440,000  

New Century Home Equity Loan Trust 2005-1

      

0.82% (1 Month LIBOR USD + 0.68%, 0.45% Floor, 12.50% Cap), 03/25/2035(1)

      11,689,265        11,556,039  

New Century Home Equity Loan Trust 2005-3

      

0.91% (1 Month LIBOR USD + 0.77%, 0.51% Floor, 12.50% Cap), 07/25/2035(1)

      2,553,254        2,549,863  

Nissan Auto Receivables 2017-B Owner Trust

      

1.75%, 10/15/2021

      285,404        285,872  

Nissan Auto Receivables 2017-C Owner Trust

      

2.12%, 04/18/2022

      2,238,410        2,248,552  

Nissan Auto Receivables 2018-A Owner Trust

      

2.65%, 05/16/2022

      1,283,675        1,292,075  

Nissan Auto Receivables 2018-B Owner Trust

      

3.06%, 03/15/2023

      4,328,223        4,401,100  

Nissan Auto Receivables 2019-C Owner Trust

      

1.93%, 07/15/2024

      5,940,000        6,086,703  

Nissan Auto Receivables 2020-A Owner Trust

      

1.38%, 12/16/2024

      7,765,000        7,919,522  

Nissan Auto Receivables 2020-B Owner Trust

      

0.55%, 07/15/2024

      5,470,000        5,491,900  

Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1

      

0.56% (1 Month LIBOR USD + 0.41%, 0.41% Floor), 02/25/2036(1)

      3,325,445        3,302,911  

OAK Hill European Credit Partners V Designated Activity Co

      

0.72% (3 Month EURIBOR + 0.72%, 0.72% Floor), 02/21/2030(1)(2)

    EUR     34,900,000        40,694,598  

Ocean Trails CLO VI

      

1.43% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2028(1)(2)

    $ 494,927        492,189  

OCP CLO 2014-7 Ltd.

      

1.39% (3 Month LIBOR USD + 1.12%), 07/20/2029(1)(2)

      14,635,000        14,481,976  

OCP CLO 2020-19 Ltd.

      

2.07% (3 Month LIBOR USD + 1.75%, 1.75% Floor), 07/20/2031(1)(2)

      3,735,000        3,748,341  

Octagon Investment Partners 29 Ltd.

      

1.44% (3 Month LIBOR USD + 1.18%), 01/24/2033(1)(2)

      7,880,000        7,829,623  

Octagon Investment Partners XXIII Ltd.

      

1.13% (3 Month LIBOR USD + 0.85%), 07/15/2027(1)(2)

      3,115,497        3,090,159  

1.48% (3 Month LIBOR USD + 1.20%), 07/15/2027(1)(2)

      1,685,000        1,642,098  

OFSI Fund VII Ltd.

      

1.17% (3 Month LIBOR USD + 0.90%), 10/18/2026(1)(2)

      195,485        195,194  

OneMain Financial Issuance Trust 2015-3

      

4.16%, 11/20/2028(2)

      710,000        717,539  

OneMain Financial Issuance Trust 2017-1

      

3.35%, 09/14/2032(2)

      1,645,000        1,649,910  

Onemain Financial Issuance Trust 2018-1

      

4.08%, 03/14/2029(2)

      1,220,000        1,246,807  

OneMain Financial Issuance Trust 2019-1

      

4.22%, 02/14/2031(2)

      3,360,000        3,453,739  

OneMain Financial Issuance Trust 2020-2

      

1.75%, 09/14/2035(2)

      3,465,000        3,490,264  

OneMain Financial Issuance Trust 2020-A

      

4.83%, 05/14/2032(2)

      2,425,000        2,608,667  

Option One Mortgage Loan Trust 2005-2

      

0.81% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 05/25/2035(1)

      462,838        462,030  

Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4

      

0.81% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 11/25/2035(1)

      1,855,840        1,852,549  

Option One Mortgage Loan Trust 2006-1

      

0.37% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(1)

      5,044,400        5,002,311  

0.45% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 01/25/2036(1)

      15,996,921        15,757,151  

Option One Mortgage Loan Trust 2006-3

      

0.29% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037(1)

      20,693,513        15,610,551  

OSAT 2020-RPL1 Trust

      

3.07%, 12/26/2059(2)(4)

      2,874,639        2,917,666  

OSCAR US Funding Trust V

      

2.99%, 12/15/2023(2)

      209,245        210,764  

Oscar US Funding XI LLC

      

2.49%, 08/10/2022(2)

      387,680        390,300  

OZLM VII Ltd.

      

1.28% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029(1)(2)

      7,272,016        7,175,967  

OZLM VIII Ltd.

      

1.44% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/17/2029(1)(2)

      2,893,095        2,879,503  

2.07% (3 Month LIBOR USD + 1.80%, 1.80% Floor), 10/17/2029(1)(2)

      2,955,000        2,924,794  

OZLM XXIII Ltd.

      

1.75% (3 Month LIBOR USD + 1.47%, 1.47% Floor), 04/15/2032(1)(2)

      29,112,000        29,130,748  

Ozlme BV

      

0.82% (3 Month EURIBOR + 0.82%, 0.82% Floor), 01/18/2030(1)(2)

    EUR 1,200,000        1,404,400  

Palmer Square CLO 2015-1 Ltd.

      

2.50% (3 Month LIBOR USD + 2.25%), 05/21/2029(1)(2)

    $ 4,975,000        4,848,376  

Palmer Square CLO 2020-2 Ltd.

      

1.90% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/15/2031(1)(2)

      2,380,000        2,379,807  

Palmer Square Loan Funding 2019-4 Ltd.

      

1.16% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 10/24/2027(1)(2)

      1,530,562        1,517,169  

Planet Fitness Master Issuer LLC

      

3.86%, 12/05/2049(2)

      387,075        363,065  

4.26%, 09/05/2048(2)

      5,581,100        5,582,160  

Prestige Auto Receivables Trust 2018-1

      

3.75%, 10/15/2024(2)

      2,765,000        2,838,154  

Progress Residential 2018-SFR3 Trust

      

4.43%, 10/17/2035(2)

      2,430,000        2,503,991  

4.87%, 10/17/2035(2)

      1,340,000        1,377,642  

Progress Residential 2019-SFR1 Trust

      

4.17%, 08/17/2035(2)

      1,190,000        1,223,757  

Progress Residential 2019-SFR2 Trust

      

3.79%, 05/17/2036(2)

      2,165,000        2,236,562  

Progress Residential 2019-SFR4 Trust

      

3.14%, 10/17/2036(2)

      1,915,000        1,964,538  

Progress Residential 2020-SFR3 Trust

      

2.30%, 10/17/2027(2)

      545,000        545,056  

PRPM 2019-3 LLC

      

3.35%, 07/25/2024(2)(4)

      1,404,479        1,400,300  

PRPM 2019-4 LLC

      

3.35%, 11/25/2024(2)(4)

      2,519,287        2,525,472  

PRPM 2020-1 LLC

      

2.98%, 02/25/2025(2)(4)

      4,955,438        4,937,272  

RASC Series 2005-KS10 Trust

      

0.59% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 14.00% Cap), 11/25/2035(1)

      8,919,385        8,850,810  

RASC Series 2006-KS9 Trust

      

0.31% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036(1)

      3,156,048        3,190,208  

RASC Series 2007-KS3 Trust

      

0.49% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037(1)

      31,155,046        29,165,989  

Rockford Tower CLO 2019-2 Ltd.

      

1.58% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 08/20/2032(1)(2)

      13,850,000        13,818,699  

Santander Drive Auto Receivables Trust 2018-2

      

3.88%, 02/15/2024

      1,160,000        1,200,950  

Santander Drive Auto Receivables Trust 2018-3

      

4.07%, 08/15/2024

      3,770,000        3,928,042  

Santander Drive Auto Receivables Trust 2018-4

      

3.98%, 12/15/2025

      3,390,000        3,552,166  

Santander Drive Auto Receivables Trust 2018-5

      

4.19%, 12/16/2024

      3,070,000        3,195,150  

Santander Drive Auto Receivables Trust 2019-1

      

3.65%, 04/15/2025

      11,435,000        11,887,052  

Santander Drive Auto Receivables Trust 2019-3

      

2.68%, 10/15/2025

      4,095,000        4,212,341  

Santander Drive Auto Receivables Trust 2020-1

      

5.35%, 03/15/2028

      6,795,000        7,341,737  

Santander Retail Auto Lease Trust 2019-B

      

3.31%, 06/20/2024(2)

      6,610,000        6,799,183  

Santander Retail Auto Lease Trust 2019-C

      

2.88%, 06/20/2024(2)

      10,280,000        10,450,573  

Saxon Asset Securities Trust 2006-1

      

0.61% (1 Month LIBOR USD + 0.47%, 0.31% Floor, 12.25% Cap), 03/25/2036(1)

      1,839,878        1,794,087  

Saxon Asset Securities Trust 2007-2

      

0.35% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2047(1)

      24,865,674        22,434,651  

Saxon Asset Securities Trust 2007-3

      

0.46% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2037(1)

      26,544,187        25,613,590  

Securitized Asset Backed Receivables LLC Trust 2004-OP1

      

0.91% (1 Month LIBOR USD + 0.77%, 0.51% Floor), 02/25/2034(1)

      5,384,716        5,279,258  

Securitized Asset Backed Receivables LLC Trust 2006-CB5

      

0.29% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 06/25/2036(1)

      5,166,183        3,940,534  

Shackleton 2016-IX CLO Ltd.

      

1.40% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 10/20/2028(1)(2)

      1,497,605        1,489,207  

Sierra Timeshare 2016-2 Receivables Funding LLC

      

2.33%, 07/20/2033(2)

      121,637        122,225  

Sierra Timeshare 2019-1 Receivables Funding LLC

      

3.20%, 01/20/2036(2)

      1,545,096        1,598,318  

Sierra Timeshare Conduit Receivables Funding LLC

      

2.91%, 03/20/2034(2)

      84,967        86,411  

S-Jets 2017-1 Ltd.

      

3.97%, 08/15/2042(2)

      14,009,979        12,685,872  

SLC Student Loan Trust 2005-2

      

0.41% (3 Month LIBOR USD + 0.16%), 12/15/2039(1)

      4,900,000        4,623,759  

SLM Private Credit Student Loan Trust 2003-B

      

0.00%, 03/15/2033(5)

      2,354,000        2,252,825  

SLM Student Loan Trust 2003-7

      

1.45% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033(1)(2)

      8,809,779        8,556,613  

SLM Student Loan Trust 2004-3

      

0.79% (3 Month LIBOR USD + 0.55%, 0.55% Floor), 10/25/2064(1)(2)

      16,324,578        15,781,556  

SLM Student Loan Trust 2005-4

      

0.41% (3 Month LIBOR USD + 0.17%), 07/25/2040(1)

      11,000,000        10,302,049  

SLM Student Loan Trust 2006-10

      

0.46% (3 Month LIBOR USD + 0.22%), 03/25/2044(1)

      1,997,668        1,774,727  

SLM Student Loan Trust 2007-2

      

0.41% (3 Month LIBOR USD + 0.17%), 07/25/2025(1)

      6,950,000        5,959,642  

SLM Student Loan Trust 2007-3

      

0.30% (3 Month LIBOR USD + 0.06%), 01/25/2022(1)

      3,314,102        3,126,932  

SLM Student Loan Trust 2007-7

      

0.57% (3 Month LIBOR USD + 0.33%), 01/25/2022(1)

      2,440,568        2,323,510  

SLM Student Loan Trust 2008-2

      

0.99% (3 Month LIBOR USD + 0.75%), 04/25/2023(1)

      8,014,545        7,555,879  

SLM Student Loan Trust 2008-5

      

1.94% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023(1)

      4,110,999        4,058,597  

2.09% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073(1)

      7,350,000        6,705,393  

SLM Student Loan Trust 2008-6

      

1.34% (3 Month LIBOR USD + 1.10%), 07/25/2023(1)

      12,359,420        11,917,616  

SLM Student Loan Trust 2008-7

      

1.14% (3 Month LIBOR USD + 0.90%), 07/25/2023(1)

      9,632,595        9,165,069  

SLM Student Loan Trust 2012-1

      

1.10% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028(1)

      11,773,208        11,271,984  

SLM Student Loan Trust 2012-2

      

0.85% (1 Month LIBOR USD + 0.70%), 01/25/2029(1)

      13,772,734        12,967,282  

SLM Student Loan Trust 2012-7

      

0.80% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026(1)

      4,616,345        4,362,812  

1.95% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043(1)

      2,220,000        2,100,090  

SLM Student Loan Trust 2014-1

      

0.75% (1 Month LIBOR USD + 0.60%), 02/26/2029(1)

      2,871,602        2,690,949  

SMART ABS Series 2016-2US Trust

      

2.05%, 12/14/2022

      1,421,581        1,424,765  

SMB Private Education Loan Trust 2014-A

      

3.05%, 05/15/2026(2)

      117,870        119,055  

SMB Private Education Loan Trust 2015-B

      

1.90% (1 Month LIBOR USD + 1.75%), 05/17/2032(1)(2)

      1,685,000        1,714,629  

2.98%, 07/15/2027(2)

      102,915        104,588  

SMB Private Education Loan Trust 2015-C

      

3.50%, 09/15/2043(2)

      1,295,000        1,356,645  

SMB Private Education Loan Trust 2016-A

      

2.70%, 05/15/2031(2)

      259,207        265,422  

SMB Private Education Loan Trust 2016-B

      

2.43%, 02/17/2032(2)

      1,456,246        1,490,468  

SMB Private Education Loan Trust 2016-C

      

2.34%, 09/15/2034(2)

      453,206        461,616  

SMB Private Education Loan Trust 2017-A

      

2.88%, 09/15/2034(2)

      1,277,054        1,321,691  

SMB Private Education Loan Trust 2017-B

      

2.82%, 10/15/2035(2)

      2,524,788        2,609,346  

SMB Private Education Loan Trust 2018-B

      

0.87% (1 Month LIBOR USD + 0.72%), 01/15/2037(1)(2)

      1,763,166        1,748,237  

3.60%, 01/15/2037(2)

      5,345,955        5,685,578  

4.00%, 07/15/2042(2)

      285,000        284,929  

SMB Private Education Loan Trust 2018-C

      

3.63%, 11/15/2035(2)

      6,232,697        6,584,464  

4.00%, 11/17/2042(2)

      770,000        781,049  

SMB Private Education Loan Trust 2019-A

      

3.44%, 07/15/2036(2)

      2,190,000        2,306,182  

SMB Private Education Loan Trust 2019-B

      

2.84%, 06/15/2037(2)

      7,675,000        8,085,701  

SMB Private Education Loan Trust 2020-A

      

2.23%, 09/15/2037(2)

      3,090,000        3,202,750  

SoFi Consumer Loan Program 2017-3 LLC

      

2.77%, 05/25/2026(2)

      1,100,087        1,106,170  

SoFi Consumer Loan Program 2017-4 LLC

      

2.50%, 05/26/2026(2)

      1,531,584        1,542,867  

SoFi Consumer Loan Program 2017-6 LLC

      

3.52%, 11/25/2026(2)

      1,765,000        1,809,401  

SoFi Consumer Loan Program 2018-2 Trust

      

3.79%, 04/26/2027(2)

      2,210,000        2,266,399  

SoFi Consumer Loan Program 2018-3 Trust

      

4.02%, 08/25/2027(2)

      1,375,000        1,396,820  

SoFi Consumer Loan Program 2018-4 Trust

      

4.17%, 11/26/2027(2)

      2,745,000        2,811,827  

SoFi Consumer Loan Program 2019-1 Trust

      

3.73%, 02/25/2028(2)

      5,690,000        5,752,801  

SoFi Consumer Loan Program 2019-2 Trust

      

3.01%, 04/25/2028(2)

      3,703,529        3,745,684  

3.46%, 04/25/2028(2)

      3,145,000        3,214,652  

SoFi Consumer Loan Program 2019-3 Trust

      

3.35%, 05/25/2028(2)

      5,965,000        6,147,926  

SoFi Consumer Loan Program 2020-1 Trust

      

2.02%, 01/25/2029(2)

      5,352,269        5,409,326  

SoFi Professional Loan Program 2015-B LLC

      

3.52%, 03/25/2036(2)

      190,569        190,991  

SoFi Professional Loan Program 2015-C LLC

      

2.51%, 08/25/2033(2)

      267,924        269,925  

3.58%, 08/25/2036(2)

      233,818        235,824  

SoFi Professional Loan Program 2015-D LLC

      

3.59%, 10/26/2037(2)

      505,449        512,422  

SoFi Professional Loan Program 2016-B LLC

      

3.80%, 04/25/2037(2)

      195,000        201,908  

SoFi Professional Loan Program 2016-C LLC

      

3.35%, 05/25/2037(2)(5)

      310,000        316,469  

SoFi Professional Loan Program 2016-D LLC

      

3.23%, 01/25/2039(2)(5)

      490,000        503,731  

SoFi Professional Loan Program 2016-E LLC

      

3.44%, 07/25/2040(2)(5)

      1,600,000        1,686,237  

SoFi Professional Loan Program 2017-A LLC

      

4.43%, 03/26/2040(2)(5)

      165,000        173,239  

SoFi Professional Loan Program 2017-C LLC

      

0.75% (1 Month LIBOR USD + 0.60%), 07/25/2040(1)(2)

      1,828,441        1,822,483  

SoFi Professional Loan Program 2017-D LLC

      

2.65%, 09/25/2040(2)

      2,898,310        2,972,558  

SoFi Professional Loan Program 2017-E LLC

      

4.16%, 11/26/2040(2)

      695,000        729,493  

SoFi Professional Loan Program 2017-F LLC

      

3.62%, 01/25/2041(2)

      1,405,000        1,462,042  

SoFi Professional Loan Program 2018-C Trust

      

4.13%, 01/25/2048(2)

      1,875,000        1,991,408  

SoFi Professional Loan Program 2018-D Trust

      

3.12%, 02/25/2048(2)

      1,201,851        1,205,504  

SoFi Professional Loan Program 2019-B LLC

      

2.78%, 08/17/2048(2)

      297,143        298,817  

Sound Point Clo XIV Ltd.

      

1.41% (3 Month LIBOR USD + 1.15%), 01/23/2029(1)(2)

      3,400,000        3,381,994  

Southwick Park CLO LLC

      

1.57% (3 Month LIBOR USD + 1.30%), 07/20/2032(1)(2)

      11,400,000        11,393,035  

Specialty Underwriting & Residential Finance Trust Series 2006-BC2

      

3.79%, 02/25/2037(4)

      12,920,102        6,850,983  

Springleaf Funding Trust 2017-A

      

2.68%, 07/15/2030(2)

      6,490,740        6,499,184  

3.86%, 07/15/2030(2)

      1,270,000        1,271,401  

Sprite 2017-1 Ltd.

      

4.25%, 12/15/2037(2)

      913,731        831,237  

St Paul’s CLO VI DAC

      

0.85% (3 Month EURIBOR + 0.85%, 0.85% Floor), 08/20/2030(1)(2)

    EUR     38,000,000        44,143,790  

Stack Infrastructure Issuer LLC Series 2019-1

      

4.54%, 02/25/2044(2)

    $ 7,327,121        7,894,249  

Structured Adjustable Rate Mortgage Loan Trust

      

3.07%, 02/25/2035(5)

      5,957,849        5,817,990  

Structured Asset Investment Loan Trust 2004-8

      

1.05% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2034(1)

      846,202        821,386  

Structured Asset Mortgage Investments II Trust 2007-AR3

      

0.34% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047(1)

      25,485,346        23,613,595  

Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2

      

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037(1)

      511,104        512,084  

STWD 2019-FL1 Ltd.

      

1.23% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038(1)(2)

      3,600,000        3,552,750  

Symphony CLO XVII Ltd.

      

1.16% (3 Month LIBOR USD + 0.88%), 04/15/2028(1)(2)

      4,004,983        3,976,063  

Synchrony Credit Card Master Note Trust

      

3.36%, 03/15/2024

      2,835,000        2,849,638  

Taco Bell Funding LLC

      

4.32%, 11/25/2048(2)

      5,133,563        5,241,932  

TCI-Flatiron CLO 2016-1 Ltd.

      

1.49% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 07/17/2028(1)(2)

      1,800,000        1,792,471  

THL Credit Wind River 2016-1 CLO Ltd.

      

1.93% (3 Month LIBOR USD + 1.65%), 07/15/2028(1)(2)

      1,320,000        1,304,411  

2.38% (3 Month LIBOR USD + 2.10%), 07/15/2028(1)(2)

      1,395,000        1,354,034  

Tikehau CLO II BV

      

0.88% (3 Month EURIBOR + 0.88%, 0.88% Floor), 12/07/2029(1)(2)

    EUR 2,300,000        2,666,888  

Towd Point Mortgage Trust 2015-2

      

2.50%, 11/25/2060(2)(5)

    $ 1,015,721        1,025,179  

Towd Point Mortgage Trust 2015-3

      

3.00%, 03/25/2054(2)(5)

      57,359        57,741  

Towd Point Mortgage Trust 2015-4

      

2.75%, 04/25/2055(2)(5)

      84,624        85,128  

3.75%, 04/25/2055(2)(5)

      960,000        1,024,107  

Towd Point Mortgage Trust 2015-5

      

2.75%, 05/25/2055(2)(5)

      97,360        98,213  

Towd Point Mortgage Trust 2016-1

      

2.75%, 02/25/2055(2)(5)

      491,272        498,695  

3.00%, 02/25/2055(2)(5)

      169,264        173,541  

Towd Point Mortgage Trust 2016-2

      

2.75%, 08/25/2055(2)(5)

      117,742        120,686  

Towd Point Mortgage Trust 2016-3

      

2.25%, 04/25/2056(2)(5)

      165,900        167,895  

Towd Point Mortgage Trust 2016-4

      

2.25%, 07/25/2056(2)(5)

      378,791        384,872  

Towd Point Mortgage Trust 2017-1

      

2.75%, 10/25/2056(2)(5)

      331,749        340,257  

3.75%, 10/25/2056(2)(5)

      6,315,000        6,887,120  

Towd Point Mortgage Trust 2017-2

      

2.75%, 04/25/2057(2)(5)

      158,108        162,531  

Towd Point Mortgage Trust 2017-4

      

3.25%, 06/25/2057(2)(5)

      2,465,000        2,585,042  

Towd Point Mortgage Trust 2017-5

      

0.75% (1 Month LIBOR USD + 0.60%), 02/25/2057(1)(2)

      456,877        456,031  

1.65% (1 Month LIBOR USD + 1.50%), 02/25/2057(1)(2)

      3,310,000        3,252,962  

Towd Point Mortgage Trust 2018-3

      

3.75%, 05/25/2058(2)(5)

      6,003,740        6,492,411  

Towd Point Mortgage Trust 2018-4

      

3.00%, 06/25/2058(2)(5)

      1,015,000        1,069,120  

Towd Point Mortgage Trust 2018-5

      

3.25%, 07/25/2058(2)(5)

      1,515,000        1,541,588  

Towd Point Mortgage Trust 2018-SJ1

      

4.00%, 10/25/2058(2)(5)

      1,569,483        1,585,033  

Towd Point Mortgage Trust 2019-1

      

3.75%, 03/25/2058(2)(5)

      10,579,413        11,458,937  

Towd Point Mortgage Trust 2019-2

      

3.75%, 12/25/2058(2)(5)

      9,810,000        10,541,637  

Towd Point Mortgage Trust 2019-MH1

      

3.00%, 11/25/2058(2)(5)

      501,426        513,999  

Towd Point Mortgage Trust 2019-SJ1

      

4.17%, 11/25/2058(2)(5)

      6,100,000        6,280,417  

Towd Point Mortgage Trust 2019-SJ2

      

4.50%, 11/25/2058(2)(5)

      12,971,000        13,502,303  

Towd Point Mortgage Trust 2019-SJ3

      

3.00%, 11/25/2059(2)(5)

      5,225,064        5,314,097  

Toyota Auto Receivables 2017-B Owner Trust

      

1.76%, 07/15/2021

      103,391        103,443  

Toyota Auto Receivables 2017-C Owner Trust

      

1.78%, 11/15/2021

      710,215        711,533  

Toyota Auto Receivables 2020-C Owner Trust

      

0.44%, 10/15/2024

      9,070,000        9,089,894  

Tralee CLO V Ltd.

      

1.38% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/20/2028(1)(2)

      2,000,000        1,990,914  

Tricon American Homes 2019-SFR1 Trust

      

3.20%, 03/17/2038(2)

      1,270,000        1,325,266  

Tricon American Homes 2020-SFR1

      

2.55%, 07/17/2038(2)

      1,220,000        1,245,211  

Upstart Securitization Trust 2019-2

      

2.90%, 09/20/2029(2)

      255,503        257,601  

Upstart Securitization Trust 2019-3

      

2.68%, 01/21/2030(2)

      4,210,751        4,246,002  

Upstart Securitization Trust 2020-1

      

2.32%, 04/22/2030(2)

      2,421,130        2,438,695  

Venture XIV CLO Ltd.

      

1.29% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 08/28/2029(1)(2)

      15,300,000        15,179,543  

Venture Xxv Clo Ltd.

      

1.50% (3 Month LIBOR USD + 1.23%), 04/20/2029(1)(2)

      25,570,000        25,375,566  

Vericrest Opportunity Loan Trust 2019-NPL5

      

3.35%, 09/25/2049(2)(4)

      4,913,443        4,919,034  

Vericrest Opportunity Loan Trust 2019-NPL8

      

3.28%, 11/25/2049(2)(4)

      4,893,333        4,897,694  

Vericrest Opportunity Loan Trust 2020-NPL2

      

2.98%, 02/25/2050(2)(4)

      2,564,084        2,564,252  

Verizon Owner Trust 2017-3

      

2.53%, 04/20/2022(2)

      1,360,000        1,369,202  

Verizon Owner Trust 2018-1

      

3.20%, 09/20/2022(2)

      1,105,000        1,127,418  

VOLT LXXXIII LLC

      

3.33%, 11/26/2049(2)(4)

      1,878,551        1,883,218  

VOLT LXXXV LLC

      

3.23%, 01/25/2050(2)(4)

      4,371,245        4,379,492  

VOLT LXXXVII LLC

      

2.98%, 02/25/2050(2)(4)

      132,643        132,642  

WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust

      

3.55%, 02/25/2037(5)

      8,830,844        8,407,433  

WAVE 2017-1 Trust

      

3.84%, 11/15/2042(2)

      2,151,092        1,946,111  

Wellfleet CLO 2017-2A Ltd.

      

1.33% (3 Month LIBOR USD + 1.06%), 10/20/2029(1)(2)

      6,900,000        6,806,960  

Westlake Automobile Receivables Trust 2018-2

      

4.00%, 01/16/2024(2)

      1,540,000        1,574,752  

Westlake Automobile Receivables Trust 2018-3

      

4.00%, 10/16/2023(2)

      1,215,000        1,254,162  

Westlake Automobile Receivables Trust 2019-1

      

3.67%, 03/15/2024(2)

      6,545,000        6,778,937  

World Omni Auto Receivables Trust

      

1.64%, 08/17/2026

      3,190,000        3,239,339  

World Omni Select Auto Trust 2019-A

      

2.17%, 12/15/2025

      4,785,000        4,920,544  

Zais CLO 1 Ltd.

      

1.43% (3 Month LIBOR USD + 1.15%), 04/15/2028(1)(2)

      13,644,972        13,603,041  
     

 

 

  

Total Asset-Backed Obligations (Cost: $2,309,765,442)

         2,296,525,197  
     

 

 

  

Corporate Bonds – 36.48%

      

Basic Materials – 1.08%

      

ABJA Investment Co. Pte Ltd.

      

5.45%, 01/24/2028

      4,800,000        4,634,501  

Alcoa Nederland Holding BV

      

5.50%, 12/15/2027(2)

      2,745,000        2,860,839  

Anglo American Capital Plc

      

2.63%, 09/10/2030(2)

      2,270,000        2,251,613  

4.00%, 09/11/2027(2)

      1,000,000        1,103,455  

4.13%, 09/27/2022(2)

      3,883,000        4,083,579  

4.50%, 03/15/2028(2)

      19,220,000        21,975,460  

5.38%, 04/01/2025(2)

      450,000        517,180  

ArcelorMittal SA

      

4.55%, 03/11/2026

      5,950,000        6,424,531  

6.13%, 06/01/2025

      565,000        651,321  

Arconic Corp.

      

6.00%, 05/15/2025(2)

      463,000        494,449  

6.13%, 02/15/2028(2)

      1,275,000        1,309,266  

Ashland Services BV

      

2.00%, 01/30/2028(2)

    EUR 625,000        696,142  

Braskem Netherlands Finance BV

      

4.50%, 01/31/2030(2)

    $ 3,735,000        3,487,556  

Celulosa Arauco y Constitucion SA

      

3.88%, 11/02/2027

      860,000        911,927  

CF Industries, Inc.

      

4.50%, 12/01/2026(2)

      5,145,000        5,968,753  

CNAC HK Finbridge Co. Ltd.

      

4.88%, 03/14/2025

      2,880,000        3,178,696  

Corp. Nacional del Cobre de Chile

      

3.15%, 01/14/2030

      2,456,000        2,610,040  

3.63%, 08/01/2027

      300,000        327,866  

DuPont de Nemours, Inc.

      

3.77%, 11/15/2020

      6,165,000        6,190,300  

Equate Petrochemical BV

      

4.25%, 11/03/2026

      1,060,000        1,111,675  

First Quantum Minerals Ltd.

      

6.50%, 03/01/2024(2)

      200,000        191,750  

6.88%, 03/01/2026(2)

      200,000        192,750  

6.88%, 10/15/2027(2)

      3,130,000        3,015,129  

FMC Corp.

      

3.45%, 10/01/2029

      1,850,000        2,069,317  

4.50%, 10/01/2049

      1,025,000        1,280,724  

Freeport-McMoRan, Inc.

      

4.38%, 08/01/2028

      1,505,000        1,556,102  

4.63%, 08/01/2030

      1,010,000        1,061,964  

Glencore Finance Canada Ltd.

      

4.95%, 11/15/2021(2)

      1,170,000        1,221,350  

Glencore Funding LLC

      

3.88%, 10/27/2027(2)

      11,555,000        12,599,341  

4.00%, 04/16/2025(2)

      4,450,000        4,884,275  

4.00%, 03/27/2027(2)

      1,000,000        1,091,488  

4.13%, 03/12/2024(2)

      4,920,000        5,330,468  

4.88%, 03/12/2029(2)

      8,160,000        9,539,477  

Hudbay Minerals, Inc.

      

6.13%, 04/01/2029(2)

      1,890,000        1,871,100  

Huntsman International LLC

      

5.13%, 11/15/2022

      1,797,000        1,932,174  

ICL Group Ltd.

      

6.38%, 05/31/2038(2)

      10,200,000        12,796,025  

Indonesia Asahan Aluminium Persero PT

      

6.53%, 11/15/2028

      200,000        243,376  

6.53%, 11/15/2028(2)

      1,200,000        1,460,254  

6.76%, 11/15/2048

      834,000        1,069,207  

International Flavors & Fragrances, Inc.

      

5.00%, 09/26/2048

      9,965,000        12,305,194  

LYB International Finance III LLC

      

4.20%, 10/15/2049

      4,050,000        4,508,408  

Methanex Corp.

      

5.13%, 10/15/2027

      4,150,000        4,129,250  

Newcrest Finance Pty Ltd.

      

3.25%, 05/13/2030(2)

      2,260,000        2,463,556  

Newmont Corp.

      

3.70%, 03/15/2023

      430,000        452,216  

Nutrition & Biosciences, Inc.

      

1.83%, 10/15/2027(2)

      5,600,000        5,623,847  

2.30%, 11/01/2030(2)

      17,045,000        17,154,751  

3.47%, 12/01/2050(2)

      5,860,000        5,871,204  

Orbia Advance Corp. SAB de CV

      

4.00%, 10/04/2027(2)

      1,255,000        1,352,262  

Reliance Steel & Aluminum Co.

      

2.15%, 08/15/2030

      960,000        938,471  

Steel Dynamics, Inc.

      

3.25%, 01/15/2031

      200,000        213,852  

3.45%, 04/15/2030

      7,590,000        8,362,804  

Suzano Austria GmbH

      

5.00%, 01/15/2030

      3,465,000        3,733,538  

6.00%, 01/15/2029

      5,035,000        5,739,900  

Syngenta Finance NV

      

3.93%, 04/23/2021(2)

      7,942,000        8,044,409  

4.44%, 04/24/2023(2)

      200,000        211,215  

4.89%, 04/24/2025(2)

      550,000        596,201  

5.18%, 04/24/2028(2)

      500,000        550,324  

Vale Overseas Ltd.

      

6.25%, 08/10/2026

      1,299,000        1,536,068  

6.88%, 11/21/2036

      1,132,000        1,470,185  

6.88%, 11/10/2039

      316,000        415,682  

Vale SA

      

3.75%, 01/10/2023

    EUR 400,000        490,788  

Westlake Chemical Corp.

      

1.63%, 07/17/2029

      2,025,000        2,332,947  

3.60%, 08/15/2026

    $ 1,925,000        2,114,081  

Yara International ASA

      

3.15%, 06/04/2030(2)

      2,130,000        2,277,755  
     

 

 

  

Total Basic Materials

 

      227,084,328  
     

 

 

  

Communications – 4.95%

      

Alibaba Group Holding Ltd.

      

3.40%, 12/06/2027

      1,935,000        2,168,477  

Altice Financing SA

      

2.25%, 01/15/2025(2)

    EUR 2,700,000        3,029,177  

3.00%, 01/15/2028

      4,700,000        5,107,277  

5.00%, 01/15/2028(2)

    $ 2,700,000        2,622,375  

Altice France SA

      

5.50%, 01/15/2028(2)

      3,615,000        3,660,187  

7.38%, 05/01/2026(2)

      1,400,000        1,467,060  

8.13%, 02/01/2027(2)

      700,000        762,797  

Amazon.com, Inc.

      

2.50%, 06/03/2050

      10,675,000        10,835,494  

AT&T, Inc.

      

1.65%, 02/01/2028

      1,610,000        1,611,735  

2.25%, 02/01/2032

      8,753,000        8,742,812  

2.30%, 06/01/2027

      4,475,000        4,694,235  

2.75%, 06/01/2031

      34,179,000        35,938,974  

3.10%, 02/01/2043

      5,980,000        5,833,838  

3.30%, 02/01/2052

      10,300,000        9,584,277  

3.50%, 06/01/2041

      6,608,000        6,949,630  

3.50%, 09/15/2053(2)

      19,831,498        19,320,555  

3.50%, 02/01/2061

      7,324,000        6,954,183  

3.55%, 09/15/2055(2)

      1,992,033        1,905,575  

3.65%, 06/01/2051

      10,820,000        10,920,503  

3.65%, 09/15/2059(2)

      9,300,152        8,980,881  

3.80%, 02/15/2027

      2,235,000        2,519,513  

3.85%, 06/01/2060

      6,797,000        6,898,541  

4.30%, 02/15/2030

      9,820,000        11,626,390  

4.35%, 03/01/2029

      12,237,000        14,363,300  

4.35%, 06/15/2045

      12,099,000        13,554,341  

4.50%, 05/15/2035

      1,637,000        1,930,914  

4.50%, 03/09/2048

      33,035,000        37,714,363  

4.75%, 05/15/2046

      10,425,000        12,199,342  

4.80%, 06/15/2044

      14,210,000        16,882,175  

5.25%, 03/01/2037

      6,052,000        7,572,830  

Baidu, Inc.

      

2.88%, 07/06/2022

      5,105,000        5,251,327  

3.88%, 09/29/2023

      11,655,000        12,501,149  

Booking Holdings, Inc.

      

4.10%, 04/13/2025

      1,940,000        2,185,191  

4.50%, 04/13/2027

      7,250,000        8,508,171  

4.63%, 04/13/2030

      10,865,000        12,984,889  

British Telecommunications Plc

      

3.25%, 11/08/2029(2)

      4,870,000        5,224,495  

C&W Senior Financing DAC

      

6.88%, 09/15/2027(2)

      200,000        207,750  

CCO Holdings LLC / CCO Holdings Capital Corp.

      

4.25%, 02/01/2031(2)

      12,025,000        12,456,713  

4.50%, 08/15/2030(2)

      12,407,000        13,027,908  

4.50%, 05/01/2032(2)

      185,000        193,094  

5.38%, 06/01/2029(2)

      2,466,000        2,672,527  

CenturyLink, Inc.

      

4.00%, 02/15/2027(2)

      1,158,000        1,176,424  

Charter Communications Operating LLC

      

3.70%, 04/01/2051

      4,980,000        4,921,868  

3.75%, 02/15/2028

      5,855,000        6,469,967  

4.91%, 07/23/2025

      1,000,000        1,155,870  

5.38%, 04/01/2038

      980,000        1,190,999  

6.48%, 10/23/2045

      1,515,000        2,019,513  

Charter Communications Operating LLC / Charter Communications Operating Capital

      

1.90% (3 Month LIBOR USD + 1.65%), 02/01/2024(1)

      402,000        411,268  

2.80%, 04/01/2031

      7,940,000        8,235,619  

4.80%, 03/01/2050

      7,125,000        8,143,479  

5.75%, 04/01/2048

      4,240,000        5,243,498  

Clear Channel Worldwide Holdings, Inc.

      

9.25%, 02/15/2024

      1,730,000        1,677,062  

Comcast Corp.

      

2.45%, 08/15/2052

      2,335,000        2,182,888  

2.80%, 01/15/2051

      9,160,000        9,178,906  

3.25%, 11/01/2039

      5,115,000        5,660,742  

3.30%, 02/01/2027

      12,230,000        13,788,225  

3.38%, 08/15/2025

      4,345,000        4,843,267  

4.70%, 10/15/2048

      9,000,000        11,910,191  

CommScope Technologies LLC

      

5.00%, 03/15/2027(2)

      530,000        508,800  

CommScope, Inc.

      

6.00%, 03/01/2026(2)

      2,205,000        2,298,492  

7.13%, 07/01/2028(2)

      2,050,000        2,106,375  

Connect Finco SARL / Connect US Finco LLC

      

6.75%, 10/01/2026(2)

      646,000        648,035  

Cox Communications, Inc.

      

4.50%, 06/30/2043(2)

      950,000        1,145,211  

4.70%, 12/15/2042(2)

      810,000        1,000,765  

4.80%, 02/01/2035(2)

      8,725,000        10,963,868  

Crown Castle Towers LLC

      

3.22%, 05/15/2022(2)

      700,000        710,174  

3.66%, 05/15/2025(2)

      1,300,000        1,391,461  

CSC Holdings LLC

      

4.13%, 12/01/2030(2)

      200,000        203,850  

4.63%, 12/01/2030(2)

      200,000        200,946  

5.38%, 02/01/2028(2)

      530,000        559,812  

5.50%, 04/15/2027(2)

      2,300,000        2,420,980  

6.50%, 02/01/2029(2)

      1,060,000        1,181,900  

Discovery Communications LLC

      

3.95%, 03/20/2028

      8,250,000        9,380,293  

5.00%, 09/20/2037

      5,630,000        6,700,612  

DISH DBS Corp.

      

6.75%, 06/01/2021

      4,250,000        4,356,250  

eBay, Inc.

      

2.70%, 03/11/2030

      2,400,000        2,543,650  

4.00%, 07/15/2042

      720,000        807,713  

Expedia Group, Inc.

      

3.25%, 02/15/2030

      19,675,000        18,909,948  

3.60%, 12/15/2023(2)

      1,700,000        1,736,774  

4.63%, 08/01/2027(2)

      6,930,000        7,278,111  

5.00%, 02/15/2026

      4,395,000        4,693,099  

6.25%, 05/01/2025(2)

      5,885,000        6,485,035  

7.00%, 05/01/2025(2)

      2,729,000        2,951,388  

Fox Corp.

      

4.71%, 01/25/2029

      1,505,000        1,802,400  

Frontier Communications Corp.

      

8.00%, 04/01/2027(2)(6)

      864,000        861,015  

Globo Comunicacao e Participacoes SA

      

4.88%, 01/22/2030(2)

      5,800,000        5,713,870  

HKT Capital No 4 Ltd.

      

3.00%, 07/14/2026

      3,135,000        3,330,964  

iHeartCommunications, Inc.

      

5.25%, 08/15/2027(2)

      1,710,000        1,667,250  

6.38%, 05/01/2026

      5,266,000        5,485,987  

8.38%, 05/01/2027

      6,299,000        6,204,515  

Intelsat Connect Finance SA

      

9.50%, 02/15/2023(2)(6)

      710,000        234,300  

Intelsat Jackson Holdings SA

      

5.50%, 08/01/2023(6)

      960,000        602,400  

8.00%, 02/15/2024(2)(6)

      10,156,000        10,308,340  

8.50%, 10/15/2024(2)(6)

      11,280,000        7,275,600  

9.75%, 07/15/2025(2)(6)

      15,687,000        10,274,985  

Intelsat Luxembourg SA

      

7.75%, 06/01/2021(6)

      8,455,000        338,200  

Interpublic Group of Companies, Inc.

      

3.50%, 10/01/2020

      1,130,000        1,130,000  

4.00%, 03/15/2022

      216,000        225,352  

Koninklijke KPN NV

      

8.38%, 10/01/2030

      2,750,000        4,000,669  

Level 3 Financing, Inc.

      

3.88%, 11/15/2029(2)

      3,000,000        3,247,172  

4.63%, 09/15/2027(2)

      2,216,000        2,276,940  

5.38%, 01/15/2024

      600,000        605,520  

5.38%, 05/01/2025

      1,474,000        1,518,404  

Motorola Solutions, Inc.

      

2.30%, 11/15/2030

      7,753,000        7,690,881  

Netflix, Inc.

      

3.63%, 05/15/2027

    EUR     15,245,000        19,298,558  

3.63%, 06/15/2030

      12,461,000        15,815,216  

3.88%, 11/15/2029

      2,000,000        2,585,252  

4.63%, 05/15/2029

      5,400,000        7,312,571  

4.88%, 04/15/2028

    $ 145,000        162,037  

4.88%, 06/15/2030(2)

      1,005,000        1,145,700  

5.38%, 11/15/2029(2)

      481,000        566,931  

5.50%, 02/15/2022

      300,000        314,250  

Nokia OYJ

      

3.38%, 06/12/2022

      280,000        286,132  

4.38%, 06/12/2027

      4,255,000        4,518,278  

Sirius XM Radio, Inc.

      

4.63%, 07/15/2024(2)

      275,000        284,453  

5.00%, 08/01/2027(2)

      1,385,000        1,446,729  

5.38%, 07/15/2026(2)

      510,000        530,757  

5.50%, 07/01/2029(2)

      115,000        123,648  

Sprint Capital Corp.

      

6.88%, 11/15/2028

      150,000        186,800  

Sprint Communications, Inc.

      

6.00%, 11/15/2022

      4,570,000        4,924,175  

11.50%, 11/15/2021

      700,000        767,690  

Sprint Corp.

      

7.13%, 06/15/2024

      200,000        230,122  

7.25%, 09/15/2021

      19,338,000        20,232,382  

7.63%, 03/01/2026

      137,000        165,549  

7.88%, 09/15/2023

      9,883,000        11,323,447  

Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC

      

3.36%, 09/20/2021(2)

      4,451,750        4,501,610  

4.74%, 03/20/2025(2)

      27,610,000        29,853,312  

5.15%, 03/20/2028(2)

      17,736,000        20,884,140  

Telefonica Emisiones SA

      

5.52%, 03/01/2049

      10,675,000        13,267,903  

Tencent Holdings Ltd.

      

1.81%, 01/26/2026

      5,757,000        5,869,423  

3.58%, 04/11/2026

      6,583,000        7,285,726  

Time Warner Cable LLC

      

4.00%, 09/01/2021

      370,000        377,926  

4.50%, 09/15/2042

      13,975,000        15,153,392  

5.50%, 09/01/2041

      11,204,000        13,549,854  

5.88%, 11/15/2040

      6,491,000        8,075,400  

T-Mobile USA, Inc.

      

2.05%, 02/15/2028(2)

      2,720,000        2,779,949  

2.55%, 02/15/2031(2)

      13,701,000        14,195,332  

3.75%, 04/15/2027(2)

      22,255,000        24,915,363  

3.88%, 04/15/2030(2)

      39,568,000        44,990,003  

4.50%, 02/01/2026

      1,238,000        1,275,635  

4.50%, 04/15/2050(2)

      2,613,000        3,140,721  

4.75%, 02/01/2028

      3,143,000        3,362,193  

6.00%, 03/01/2023

      876,000        878,278  

6.00%, 04/15/2024

      329,000        335,889  

Uber Technologies, Inc.

      

6.25%, 01/15/2028(2)

      3,200,000        3,284,000  

United Group BV

      

4.88%, 07/01/2024(2)

    EUR 200,000        236,835  

4.88%, 07/01/2024

      8,300,000        9,828,648  

Univision Communications, Inc.

      

5.13%, 02/15/2025(2)

    $ 7,686,000        7,282,485  

6.63%, 06/01/2027(2)

      6,678,000        6,519,398  

Verizon Communications, Inc.

      

4.75%, 11/01/2041

      685,000        913,701  

ViacomCBS, Inc.

      

3.70%, 08/15/2024

      1,500,000        1,641,793  

4.20%, 05/19/2032

      2,355,000        2,688,159  

4.95%, 01/15/2031

      10,430,000        12,472,849  

ViaSat, Inc.

      

5.63%, 09/15/2025(2)

      175,000        171,500  

5.63%, 04/15/2027(2)

      105,000        108,019  

Virgin Media Secured Finance Plc

      

5.50%, 08/15/2026(2)

      1,285,000        1,339,613  

5.50%, 05/15/2029(2)

      6,899,000        7,405,732  

Vodafone Group Plc

      

4.25%, 09/17/2050

      6,885,000        7,967,126  

4.38%, 05/30/2028

      8,820,000        10,437,993  

4.88%, 06/19/2049

      6,963,000        8,632,718  

5.00%, 05/30/2038

      5,045,000        6,278,666  

5.25%, 05/30/2048

      15,065,000        19,421,649  

Walt Disney Co.

      

2.65%, 01/13/2031

      5,465,000        5,883,241  

3.60%, 01/13/2051

      11,500,000        12,949,633  

Windstream Escrow LLC / Windstream Escrow Finance Corp.

      

7.75%, 08/15/2028(2)

      222,000        218,115  

Ziggo BV

      

5.50%, 01/15/2027(2)

      6,005,000        6,290,238  
     

 

 

  

Total Communications

 

      1,044,637,894  
     

 

 

  

Consumer, Cyclical – 2.90%

      

1011778 BC ULC / New Red Finance, Inc.

      

4.25%, 05/15/2024(2)

      132,000        134,435  

Air Canada 2013-1 Class B Pass Through Trust

      

5.38%, 05/15/2021(2)

      212,770        194,769  

Air Canada 2015-2 Class B Pass Through Trust

      

5.00%, 12/15/2023(2)

      1,538,463        1,276,436  

Air Canada 2017-1 Class B Pass Through Trust

      

3.70%, 01/15/2026(2)

      11,894,603        9,701,752  

Alaska Airlines 2020-1 Class A Pass Through Trust

      

4.80%, 08/15/2027(2)

      1,545,000        1,617,773  

Alimentation Couche-Tard, Inc.

      

2.70%, 07/26/2022(2)

      995,000        1,027,254  

3.55%, 07/26/2027(2)

      3,000,000        3,356,133  

3.80%, 01/25/2050(2)

      4,513,000        4,948,856  

America West Airlines 2001-1 Pass Through Trust

      

7.10%, 04/02/2021

      742,423        723,812  

American Airlines 2013-1 Class A Pass Through Trust

      

4.00%, 07/15/2025

      1,307,378        1,086,509  

American Airlines 2015-2 Class B Pass Through Trust

      

4.40%, 09/22/2023

      7,893,648        5,680,830  

American Airlines 2016-1 Class AA Pass Through Trust

      

3.58%, 01/15/2028

      493,715        473,697  

American Airlines 2016-1 Class B Pass Through Trust

      

5.25%, 01/15/2024

      395,969        273,498  

American Airlines 2016-2 Class B Pass Through Trust

      

4.38%, 06/15/2024(2)

      3,329,100        2,253,686  

American Airlines 2016-3 Class B Pass Through Trust

      

3.75%, 10/15/2025

      4,615,819        3,224,853  

American Airlines 2017-2 Class AA Pass Through Trust

      

3.35%, 10/15/2029

      731,240        692,468  

American Airlines 2017-2 Class B Pass Through Trust

      

3.70%, 10/15/2025

      6,726,147        4,278,406  

American Airlines 2019-1 Class B Pass Through Trust

      

3.85%, 02/15/2028

      10,959,574        7,241,050  

AutoNation, Inc.

      

3.35%, 01/15/2021

      770,000        773,367  

4.75%, 06/01/2030

      1,030,000        1,218,960  

AutoZone, Inc.

      

3.63%, 04/15/2025

      5,645,000        6,293,485  

4.00%, 04/15/2030

      8,465,000        10,033,336  

BMW US Capital LLC

      

3.10%, 04/12/2021(2)

      5,495,000        5,573,396  

British Airways 2019-1 Class A Pass Through Trust

      

3.35%, 06/15/2029(2)

      3,224,590        2,679,633  

Caesars Entertainment, Inc.

      

6.25%, 07/01/2025(2)

      7,328,000        7,639,440  

Churchill Downs, Inc.

      

4.75%, 01/15/2028(2)

      2,652,000        2,665,260  

5.50%, 04/01/2027(2)

      4,997,000        5,215,869  

Continental Airlines 2007-1 Class A Pass Through Trust

      

5.98%, 04/19/2022

      3,760,009        3,687,487  

Continental Airlines 2012-2 Class A Pass Through Trust

      

4.00%, 10/29/2024

      1,547,997        1,485,596  

Daimler Finance North America LLC

      

1.18% (3 Month LIBOR USD + 0.90%), 02/15/2022(1)(2)

      8,420,000        8,450,171  

2.70%, 06/14/2024(2)

      500,000        528,985  

3.00%, 02/22/2021(2)

      2,210,000        2,231,221  

Delta Air Lines 2007-1 Class A Pass Through Trust

      

6.82%, 08/10/2022

      21,991        21,992  

Delta Air Lines, Inc.

      

3.40%, 04/19/2021

      350,000        348,654  

3.63%, 03/15/2022

      3,757,000        3,694,347  

7.00%, 05/01/2025(2)

      6,960,000        7,640,827  

Delta Air Lines, Inc. / SkyMiles IP Ltd.

      

4.50%, 10/20/2025(2)

      80,000        82,100  

Diamond Resorts International, Inc.

      

7.75%, 09/01/2023(2)

      4,234,000        4,064,640  

Dillard’s, Inc.

      

7.00%, 12/01/2028

      380,000        392,510  

7.75%, 07/15/2026

      135,000        140,300  

7.75%, 05/15/2027

      85,000        91,613  

Dollar General Corp.

      

3.50%, 04/03/2030

      3,125,000        3,554,409  

DR Horton, Inc.

      

4.38%, 09/15/2022

      10,658,000        11,304,771  

FCE Bank Plc

      

1.88%, 06/24/2021

    EUR 300,000        348,168  

Ferguson Finance Plc

      

3.25%, 06/02/2030(2)

    $ 5,220,000        5,667,784  

Ford Motor Credit Co. LLC

      

0.00% (3 Month EURIBOR + 0.43%), 05/14/2021(1)(3)

    EUR 220,000        252,527  

0.00% (3 Month EURIBOR + 0.37%), 12/01/2021(1)(3)

      610,000        687,871  

0.68% (3 Month LIBOR USD + 0.43%), 11/02/2020(1)

    $ 3,110,000        3,100,303  

1.11% (3 Month LIBOR USD + 0.81%), 04/05/2021(1)

      400,000        394,152  

1.15% (3 Month LIBOR USD + 0.88%), 10/12/2021(1)

      3,390,000        3,256,851  

1.50% (3 Month LIBOR USD + 1.27%), 03/28/2022(1)

      350,000        334,308  

1.52% (3 Month LIBOR USD + 1.24%), 02/15/2023(1)

      500,000        460,095  

1.74%, 07/19/2024

    EUR 1,200,000        1,308,792  

2.34%, 11/02/2020

    $ 7,795,000        7,785,256  

3.20%, 01/15/2021

      3,750,000        3,742,078  

3.22%, 01/09/2022

      3,950,000        3,944,865  

3.34%, 03/18/2021

      12,400,000        12,406,820  

3.34%, 03/28/2022

      6,489,000        6,463,693  

3.55%, 10/07/2022

      4,200,000        4,147,500  

3.81%, 10/12/2021

      4,810,000        4,822,025  

5.75%, 02/01/2021

      2,865,000        2,887,548  

5.88%, 08/02/2021

      3,600,000        3,667,500  

Gap, Inc.

      

8.38%, 05/15/2023(2)

      1,225,000        1,353,625  

8.63%, 05/15/2025(2)

      5,413,000        5,927,235  

8.88%, 05/15/2027(2)

      2,759,000        3,138,362  

General Motors Co.

      

1.15% (3 Month LIBOR USD + 0.90%), 09/10/2021(1)

      3,000,000        2,999,979  

5.20%, 04/01/2045

      8,720,000        9,379,063  

5.40%, 04/01/2048

      17,865,000        19,739,246  

6.25%, 10/02/2043

      65,000        76,897  

6.60%, 04/01/2036

      975,000        1,185,114  

6.80%, 10/01/2027(14)

      516,000        627,081  

General Motors Financial Co., Inc.

      

0.06% (3 Month EURIBOR + 0.55%), 03/26/2022(1)(3)

    EUR 450,000        521,193  

1.12% (3 Month LIBOR USD + 0.85%), 04/09/2021(1)

    $ 290,000        289,862  

3.15%, 06/30/2022

      3,715,000        3,815,991  

3.20%, 07/06/2021

      3,525,000        3,578,300  

3.45%, 04/10/2022

      1,470,000        1,511,264  

3.55%, 04/09/2021

      11,000,000        11,150,598  

4.00%, 10/06/2026

      1,590,000        1,706,249  

4.20%, 03/01/2021

      1,655,000        1,675,251  

4.20%, 11/06/2021

      2,110,000        2,178,607  

4.30%, 07/13/2025

      540,000        587,564  

4.35%, 04/09/2025

      1,530,000        1,659,468  

4.38%, 09/25/2021

      8,020,000        8,273,862  

5.10%, 01/17/2024

      13,185,000        14,419,211  

Harley-Davidson Financial Services, Inc.

      

2.85%, 01/15/2021(2)

      3,287,000        3,298,921  

Hasbro, Inc.

      

3.00%, 11/19/2024

      4,910,000        5,201,509  

3.55%, 11/19/2026

      2,270,000        2,412,283  

Hyatt Hotels Corp.

      

3.25% (3 Month LIBOR USD + 3.00%), 09/01/2022(1)

      5,000,000        5,006,716  

Hyundai Capital America

      

1.80%, 10/15/2025(2)

      2,695,000        2,680,138  

2.38%, 02/10/2023(2)

      4,575,000        4,696,597  

InterContinental Hotels Group Plc

      

2.13%, 08/24/2026

    GBP 400,000        484,922  

2.13%, 05/15/2027

    EUR 200,000        232,811  

JetBlue 2020-1 Class A Pass Through Trust

      

4.00%, 11/15/2032

    $ 3,500,000        3,619,806  

L Brands, Inc.

      

6.63%, 10/01/2030(2)

      3,790,000        3,856,325  

Las Vegas Sands Corp.

      

3.20%, 08/08/2024

      1,200,000        1,215,529  

3.50%, 08/18/2026

      1,965,000        1,990,768  

Latam Airlines 2015-1 Pass Through Trust A

      

4.20%, 11/15/2027

      2,647,488        2,197,415  

Lennar Corp.

      

4.75%, 11/29/2027

      4,275,000        4,880,981  

4.88%, 12/15/2023

      510,000        548,314  

Live Nation Entertainment, Inc.

      

4.75%, 10/15/2027(2)

      1,819,000        1,703,603  

Magna International, Inc.

      

4.15%, 10/01/2025

      665,000        758,674  

Marriott International, Inc.

      

4.63%, 06/15/2030

      1,174,000        1,256,295  

5.75%, 05/01/2025

      4,300,000        4,794,454  

Marriott Ownership Resorts, Inc.

      

6.13%, 09/15/2025(2)

      590,000        615,978  

Melco Resorts Finance Ltd.

      

5.38%, 12/04/2029(2)

      2,900,000        2,880,857  

5.63%, 07/17/2027(2)

      400,000        414,715  

MGM China Holdings Ltd.

      

5.25%, 06/18/2025(2)

      2,100,000        2,126,250  

5.88%, 05/15/2026(2)

      700,000        721,000  

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.

      

6.50%, 06/20/2027(2)

      4,860,000        5,060,475  

Mitchells & Butlers Finance Plc

      

0.70% (3 Month LIBOR USD + 0.45%), 12/15/2030(1)

      8,880,277        7,459,433  

6.01%, 12/15/2028

    GBP 306,614        403,549  

Nissan Motor Acceptance Corp.

      

1.16% (3 Month LIBOR USD + 0.89%), 01/13/2022(1)(2)

    $ 791,000        781,818  

1.90%, 09/14/2021(2)

      650,000        652,628  

3.15%, 03/15/2021(2)

      400,000        403,243  

3.65%, 09/21/2021(2)

      300,000        305,949  

Nissan Motor Co. Ltd.

      

4.81%, 09/17/2030(2)

      42,000,000        42,116,592  

NVR, Inc.

      

3.00%, 05/15/2030

      6,227,000        6,719,653  

Panasonic Corp.

      

2.54%, 07/19/2022(2)

      985,000        1,016,408  

PetSmart, Inc.

      

5.88%, 06/01/2025(2)

      172,000        176,059  

QVC, Inc.

      

4.38%, 03/15/2023

      4,322,000        4,493,238  

4.45%, 02/15/2025

      482,000        495,255  

4.85%, 04/01/2024

      3,107,000        3,247,126  

Rite Aid Corp.

      

8.00%, 11/15/2026(2)

      1,528,000        1,526,090  

Ross Stores, Inc.

      

4.80%, 04/15/2030

      2,215,000        2,684,760  

5.45%, 04/15/2050

      3,575,000        4,657,624  

Royal Caribbean Cruises Ltd.

      

10.88%, 06/01/2023(2)

      3,439,000        3,847,105  

11.50%, 06/01/2025(2)

      5,306,000        6,166,891  

Sands China Ltd.

      

3.80%, 01/08/2026(2)

      1,200,000        1,252,788  

4.38%, 06/18/2030(2)

      1,000,000        1,054,900  

4.60%, 08/08/2023

      4,200,000        4,477,662  

5.13%, 08/08/2025

      9,223,000        10,062,016  

5.40%, 08/08/2028

      2,000,000        2,224,840  

Shea Homes LP / Shea Homes Funding Corp.

      

4.75%, 04/01/2029(2)

      1,415,000        1,409,694  

Southwest Airlines Co.

      

4.75%, 05/04/2023

      611,000        652,462  

5.13%, 06/15/2027

      1,458,000        1,588,048  

5.25%, 05/04/2025

      516,000        568,193  

Southwest Airlines Co. 2007-1 Pass Through Trust

      

6.65%, 08/01/2022

      55,531        54,885  

Staples, Inc.

      

7.50%, 04/15/2026(2)

      111,000        102,282  

Starbucks Corp.

      

2.25%, 03/12/2030

      310,000        321,729  

3.80%, 08/15/2025

      5,465,000        6,174,649  

Toyota Motor Credit Corp.

      

2.65%, 04/12/2022

      17,580,000        18,182,207  

2.95%, 04/13/2021

      14,545,000        14,748,802  

Toyota Motor Finance Netherlands BV

      

2.76%, 04/26/2021

      1,500,000        1,514,163  

United Airlines 2018-1 Class A Pass Through Trust

      

3.70%, 03/01/2030

      581,276        481,323  

United Airlines 2018-1 Class B Pass Through Trust

      

4.60%, 03/01/2026

      5,607,870        4,347,745  

United Airlines 2019-2 Class A Pass Through Trust

      

2.90%, 05/01/2028

      1,495,000        1,299,283  

United Airlines 2019-2 Class AA Pass Through Trust

      

2.70%, 05/01/2032

      930,000        879,238  

US Airways 2011-1 Class A Pass Through Trust

      

7.13%, 10/22/2023

      1,408,374        1,199,929  

US Airways 2013-1 Class A Pass Through Trust

      

3.95%, 11/15/2025

      1,396,963        1,149,142  

Vail Resorts, Inc.

      

6.25%, 05/15/2025(2)

      330,000        350,213  

Volkswagen Bank GmbH

      

0.00% (3 Month EURIBOR + 0.42%), 06/15/2021(1)(3)

    EUR     1,400,000        1,640,668  

0.63%, 09/08/2021

      7,500,000        8,845,185  

1.88%, 01/31/2024

      300,000        366,019  

Volkswagen Group of America Finance LLC

      

1.02% (3 Month LIBOR USD + 0.77%), 11/13/2020(1)(2)

    $ 8,300,000        8,305,367  

1.08% (3 Month LIBOR USD + 0.86%), 09/24/2021(1)(2)

      4,300,000        4,316,236  

1.20% (3 Month LIBOR USD + 0.94%), 11/12/2021(1)(2)

      8,300,000        8,340,603  

2.50%, 09/24/2021(2)

      2,350,000        2,393,566  

2.70%, 09/26/2022(2)

      6,040,000        6,260,887  

2.85%, 09/26/2024(2)

      2,640,000        2,805,502  

3.20%, 09/26/2026(2)

      2,970,000        3,245,793  

3.35%, 05/13/2025(2)

      9,230,000        10,076,611  

4.63%, 11/13/2025(2)

      6,525,000        7,580,740  

Volkswagen Leasing GmbH

      

0.02% (3 Month EURIBOR + 0.45%), 07/06/2021(1)(3)

    EUR 400,000        468,566  

1.63%, 08/15/2025

      3,095,000        3,768,940  

Walgreens Boots Alliance, Inc.

      

3.80%, 11/18/2024

    $ 2,550,000        2,807,773  

4.80%, 11/18/2044

      926,000        1,011,478  

Wyndham Destinations, Inc.

      

3.90%, 03/01/2023

      1,170,000        1,146,600  

4.25%, 03/01/2022

      40,000        39,760  

5.65%, 04/01/2024

      72,000        73,080  

6.00%, 04/01/2027

      6,035,000        6,189,647  

6.60%, 10/01/2025

      1,120,000        1,173,435  

Wynn Macau Ltd.

      

5.13%, 12/15/2029(2)

      600,000        575,685  

5.50%, 01/15/2026(2)

      2,600,000        2,562,300  

5.50%, 10/01/2027(2)

      2,000,000        1,940,000  

Yum! Brands, Inc.

      

4.75%, 01/15/2030(2)

      750,000        808,125  

7.75%, 04/01/2025(2)

      1,050,000        1,160,250  
     

 

 

  

Total Consumer, Cyclical

 

      611,278,510  
     

 

 

  

Consumer, Non-cyclical – 5.53%

      

AA Bond Co. Ltd.

      

2.88%, 01/31/2022

    GBP 5,547,000        7,101,170  

AbbVie, Inc.

      

2.85%, 05/14/2023

    $ 1,000,000        1,051,878  

2.95%, 11/21/2026(2)

      10,520,000        11,459,747  

3.20%, 11/21/2029(2)

      1,270,000        1,396,411  

3.45%, 03/15/2022(2)

      29,820,000        30,893,033  

3.60%, 05/14/2025

      2,850,000        3,158,221  

3.80%, 03/15/2025(2)

      3,618,000        4,014,662  

4.05%, 11/21/2039(2)

      6,934,000        7,919,303  

4.25%, 11/14/2028

      4,500,000        5,347,156  

4.25%, 11/21/2049(2)

      15,370,000        18,154,295  

4.40%, 11/06/2042

      1,994,000        2,369,208  

4.45%, 05/14/2046

      5,880,000        6,988,175  

4.70%, 05/14/2045

      5,020,000        6,159,634  

4.88%, 11/14/2048

      10,355,000        13,125,762  

Adani Ports & Special Economic Zone Ltd.

      

4.20%, 08/04/2027(2)

      4,985,000        5,001,743  

Aetna, Inc.

      

2.80%, 06/15/2023

      2,000,000        2,107,475  

3.50%, 11/15/2024

      3,370,000        3,692,260  

Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC

      

7.50%, 03/15/2026(2)

      1,640,000        1,799,146  

Alcon Finance Corp.

      

2.60%, 05/27/2030(2)

      3,200,000        3,386,495  

Amgen, Inc.

      

2.60%, 08/19/2026

      3,200,000        3,473,958  

4.40%, 05/01/2045

      6,151,000        7,624,694  

Anheuser-Busch InBev Worldwide, Inc.

      

4.50%, 06/01/2050

      5,425,000        6,503,004  

4.60%, 04/15/2048

      5,200,000        6,187,721  

4.90%, 02/01/2046

      2,455,000        3,043,188  

Anthem, Inc.

      

2.25%, 05/15/2030

      2,945,000        3,022,416  

2.50%, 11/21/2020

      15,420,000        15,465,915  

3.65%, 12/01/2027

      2,580,000        2,937,617  

4.38%, 12/01/2047

      1,000,000        1,222,199  

Ascension Health

      

3.95%, 11/15/2046

      825,000        1,024,714  

Ashtead Capital, Inc.

      

5.25%, 08/01/2026(2)

      4,585,000        4,831,444  

Avantor Funding, Inc.

      

4.63%, 07/15/2028(2)

      1,025,000        1,063,437  

Avon International Capital Plc

      

6.50%, 08/15/2022(2)

      184,000        184,460  

B&G Foods, Inc.

      

5.25%, 09/15/2027

      1,390,000        1,450,215  

Bacardi Ltd.

      

4.70%, 05/15/2028(2)

      2,047,000        2,377,637  

5.30%, 05/15/2048(2)

      2,730,000        3,414,950  

Banner Health

      

2.34%, 01/01/2030

      781,000        810,581  

3.18%, 01/01/2050

      543,000        589,857  

BAT Capital Corp.

      

2.26%, 03/25/2028

      13,100,000        13,131,938  

2.73%, 03/25/2031

      29,370,000        29,088,790  

3.56%, 08/15/2027

      7,240,000        7,822,560  

4.54%, 08/15/2047

      10,555,000        11,280,474  

BAT International Finance Plc

      

1.67%, 03/25/2026

      1,870,000        1,875,902  

3.25%, 06/07/2022(2)

      2,200,000        2,293,072  

Bausch Health Americas, Inc.

      

8.50%, 01/31/2027(2)

      1,395,000        1,532,756  

Bayer US Finance II LLC

      

2.75%, 07/15/2021(2)

      3,100,000        3,151,378  

3.38%, 07/15/2024(2)

      915,000        991,356  

4.25%, 12/15/2025(2)

      5,060,000        5,784,426  

4.38%, 12/15/2028(2)

      6,085,000        7,140,942  

4.40%, 07/15/2044(2)

      4,200,000        4,747,938  

4.88%, 06/25/2048(2)

      11,025,000        13,652,073  

Bayer US Finance LLC

      

3.38%, 10/08/2024(2)

      5,000,000        5,438,419  

Becton Dickinson & Co.

      

2.82%, 05/20/2030

      5,385,000        5,803,292  

3.36%, 06/06/2024

      10,060,000        10,882,908  

3.70%, 06/06/2027

      13,027,000        14,763,524  

3.73%, 12/15/2024

      1,560,000        1,724,253  

3.79%, 05/20/2050

      5,285,000        5,897,615  

4.67%, 06/06/2047

      3,490,000        4,300,534  

7.00%, 08/01/2027

      361,000        454,716  

Bristol-Myers Squibb Co.

      

5.25%, 08/15/2043

      1,940,000        2,737,316  

Cardinal Health, Inc.

      

3.75%, 09/15/2025

      3,935,000        4,402,212  

4.50%, 11/15/2044

      905,000        984,378  

4.90%, 09/15/2045

      960,000        1,108,559  

Centene Corp.

      

3.00%, 10/15/2030

      17,298,000        17,622,338  

3.38%, 02/15/2030

      8,485,000        8,803,188  

4.25%, 12/15/2027

      14,005,000        14,655,252  

4.63%, 12/15/2029

      4,275,000        4,611,272  

4.75%, 05/15/2022

      383,000        387,788  

5.38%, 06/01/2026(2)

      3,100,000        3,271,957  

5.38%, 08/15/2026(2)

      5,000,000        5,295,875  

CHS/Community Health Systems, Inc.

      

6.25%, 03/31/2023

      28,091,000        27,458,952  

6.63%, 02/15/2025(2)

      3,869,000        3,742,871  

8.00%, 03/15/2026(2)

      4,312,000        4,233,899  

8.63%, 01/15/2024(2)

      8,172,000        8,131,140  

Cigna Corp.

      

3.40%, 03/01/2027

      6,858,000        7,686,285  

4.38%, 10/15/2028

      15,030,000        17,850,421  

4.50%, 02/25/2026

      16,415,000        19,141,502  

4.80%, 08/15/2038

      3,350,000        4,152,005  

4.90%, 12/15/2048

      8,640,000        11,240,253  

Cintas Corp. No 2

      

4.30%, 06/01/2021

      165,000        169,338  

Constellation Brands, Inc.

      

3.75%, 05/01/2050

      5,000,000        5,570,816  

CoStar Group, Inc.

      

2.80%, 07/15/2030(2)

      1,000,000        1,035,470  

CVS Health Corp.

      

1.30%, 08/21/2027

      4,125,000        4,060,664  

2.70%, 08/21/2040

      1,640,000        1,568,655  

3.25%, 08/15/2029

      6,270,000        6,936,918  

4.10%, 03/25/2025

      2,002,000        2,261,955  

4.25%, 04/01/2050

      5,265,000        6,174,523  

4.75%, 12/01/2022(2)

      56,000        60,380  

5.05%, 03/25/2048

      32,635,000        41,502,193  

5.13%, 07/20/2045

      3,735,000        4,701,703  

CVS Pass-Through Trust

      

5.77%, 01/10/2033(2)

      63,612        73,427  

5.77%, 01/10/2033

      2,335,952        2,696,393  

6.04%, 12/10/2028

      1,288,176        1,464,281  

CVS Pass-Through Trust Series 2014

      

4.16%, 08/11/2036(2)

      10,341,245        10,823,522  

DP World Crescent Ltd.

      

4.85%, 09/26/2028

      1,050,000        1,162,455  

Duke University

      

2.83%, 10/01/2055

      3,000,000        3,171,510  

Elanco Animal Health, Inc.

      

5.27%, 08/28/2023

      2,840,000        3,042,350  

5.90%, 08/28/2028

      4,195,000        4,845,225  

Encompass Health Corp.

      

4.75%, 02/01/2030

      2,977,000        3,020,286  

Equifax, Inc.

      

3.10%, 05/15/2030

      1,380,000        1,502,445  

3.60%, 08/15/2021

      2,285,000        2,344,960  

ERAC USA Finance LLC

      

2.60%, 12/01/2021(2)

      1,180,000        1,200,483  

3.80%, 11/01/2025(2)

      4,605,000        5,129,074  

Fomento Economico Mexicano SAB de CV

      

3.50%, 01/16/2050

      8,105,000        8,601,521  

Ford Foundation

      

2.82%, 06/01/2070

      880,000        915,009  

Fresenius Medical Care US Finance III, Inc.

      

2.38%, 02/16/2031(2)

      20,000,000        19,771,835  

Fresenius Medical Care US Finance, Inc.

      

5.75%, 02/15/2021(2)

      570,000        580,326  

G4S International Finance Plc

      

1.50%, 01/09/2023

    EUR 100,000        117,665  

General Mills, Inc.

      

3.20%, 04/16/2021

    $ 1,645,000        1,669,416  

George Washington University

      

3.55%, 09/15/2046

      740,000        812,198  

Gilead Sciences, Inc.

      

4.60%, 09/01/2035

      3,961,000        5,087,431  

GlaxoSmithKline Capital Plc

      

0.53%, 10/01/2023

      16,375,000        16,387,108  

Greene King Finance Plc

      

4.06%, 03/15/2035

    GBP 3,650,985        4,787,235  

5.11%, 03/15/2034

      450,000        627,572  

Hackensack Meridian Health, Inc.

      

2.88%, 09/01/2050

    $ 6,060,000        5,936,288  

HCA, Inc.

      

4.13%, 06/15/2029

      1,540,000        1,740,051  

4.50%, 02/15/2027

      4,000,000        4,490,850  

5.00%, 03/15/2024

      7,416,000        8,310,345  

5.13%, 06/15/2039

      3,000,000        3,634,906  

5.25%, 04/15/2025

      5,314,000        6,133,078  

5.25%, 06/15/2049

      29,105,000        35,387,174  

5.88%, 05/01/2023

      844,000        918,732  

7.50%, 11/06/2033

      1,035,000        1,376,550  

Hologic, Inc.

      

4.63%, 02/01/2028(2)

      3,215,000        3,376,972  

Humana, Inc.

      

3.15%, 12/01/2022

      3,503,000        3,678,110  

3.85%, 10/01/2024

      4,014,000        4,435,826  

4.88%, 04/01/2030

      7,665,000        9,573,889  

IHS Markit Ltd.

      

4.00%, 03/01/2026(2)

      1,500,000        1,672,500  

4.25%, 05/01/2029

      2,585,000        2,998,807  

4.75%, 02/15/2025(2)

      3,900,000        4,418,544  

4.75%, 08/01/2028

      3,425,000        4,074,346  

5.00%, 11/01/2022(2)

      5,186,000        5,565,352  

Imperial Brands Finance Plc

      

3.75%, 07/21/2022(2)

      3,710,000        3,876,208  

IQVIA, Inc.

      

2.88%, 09/15/2025(2)

    EUR 100,000        117,840  

2.88%, 06/15/2028

      4,000,000        4,736,698  

Japan Tobacco, Inc.

      

2.00%, 04/13/2021

    $ 5,230,000        5,267,192  

JBS USA LUX SA / JBS USA Finance, Inc.

      

5.75%, 06/15/2025(2)

      3,530,000        3,638,724  

6.75%, 02/15/2028(2)

      2,130,000        2,316,205  

JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.

      

5.50%, 01/15/2030(2)

      5,675,000        6,185,750  

6.50%, 04/15/2029(2)

      735,000        815,828  

Kimberly-Clark de Mexico SAB de CV

      

2.43%, 07/01/2031(2)

      2,380,000        2,422,293  

Kraft Heinz Foods Co.

      

3.00%, 06/01/2026

      2,108,000        2,170,525  

3.88%, 05/15/2027(2)

      16,583,000        17,664,212  

3.95%, 07/15/2025

      64,000        69,496  

4.25%, 03/01/2031(2)

      11,316,000        12,406,866  

4.38%, 06/01/2046

      20,816,000        21,368,008  

4.88%, 10/01/2049(2)

      13,110,000        13,807,572  

5.00%, 06/04/2042

      8,171,000        8,937,154  

5.50%, 06/01/2050(2)

      1,086,000        1,242,171  

Kroger Co.

      

5.40%, 01/15/2049

      3,561,000        4,904,956  

Merck & Co., Inc.

      

2.45%, 06/24/2050

      4,355,000        4,331,808  

Methodist Hospital

      

2.71%, 12/01/2050

      6,060,000        6,047,895  

Molina Healthcare, Inc.

      

4.38%, 06/15/2028(2)

      4,418,000        4,508,569  

5.38%, 11/15/2022

      1,913,000        1,999,085  

Moody’s Corp.

      

3.25%, 05/20/2050

      52,000        55,536  

Mylan NV

      

5.25%, 06/15/2046

      5,065,000        6,274,072  

Mylan, Inc.

      

5.20%, 04/15/2048

      1,145,000        1,416,819  

5.40%, 11/29/2043

      1,290,000        1,631,213  

NBM US Holdings, Inc.

      

7.00%, 05/14/2026(2)

      2,980,000        3,160,350  

Nestle Holdings, Inc.

      

0.38%, 01/15/2024(2)

      19,580,000        19,499,165  

New York & Presbyterian Hospital

      

3.56%, 08/01/2036

      2,630,000        2,968,375  

NYU Langone Hospitals

      

4.43%, 07/01/2042

      2,000,000        2,344,339  

Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA

      

7.25%, 02/01/2028(2)

      944,000        981,760  

7.38%, 06/01/2025(2)

      386,000        391,790  

Par Pharmaceutical, Inc.

      

7.50%, 04/01/2027(2)

      879,000        920,911  

Partners Healthcare System, Inc.

      

3.34%, 07/01/2060

      4,375,000        4,791,136  

Perrigo Finance Unlimited Co.

      

3.15%, 06/15/2030

      9,205,000        9,539,238  

3.90%, 12/15/2024

      3,800,000        4,109,398  

4.38%, 03/15/2026

      5,490,000        6,134,017  

Pilgrim’s Pride Corp.

      

5.88%, 09/30/2027(2)

      530,000        547,225  

Post Holdings, Inc.

      

4.63%, 04/15/2030(2)

      2,260,000        2,324,975  

5.00%, 08/15/2026(2)

      1,570,000        1,609,250  

5.75%, 03/01/2027(2)

      3,220,000        3,385,025  

Refinitiv US Holdings, Inc.

      

4.50%, 05/15/2026

    EUR 1,200,000        1,470,449  

Regeneron Pharmaceuticals, Inc.

      

1.75%, 09/15/2030

    $ 6,480,000        6,309,160  

2.80%, 09/15/2050

      1,900,000        1,768,282  

RELX Capital, Inc.

      

3.00%, 05/22/2030

      1,142,000        1,248,804  

Reynolds American, Inc.

      

3.25%, 11/01/2022

      1,215,000        1,254,041  

4.45%, 06/12/2025

      10,905,000        12,269,450  

5.70%, 08/15/2035

      3,650,000        4,552,695  

5.85%, 08/15/2045

      9,235,000        11,193,517  

Royalty Pharma Plc

      

1.75%, 09/02/2027(2)

      4,500,000        4,496,085  

2.20%, 09/02/2030(2)

      7,500,000        7,456,162  

Sigma Alimentos SA de CV

      

4.13%, 05/02/2026

      3,300,000        3,512,850  

Sigma Finance Netherlands BV

      

4.88%, 03/27/2028

      2,500,000        2,756,275  

Smithfield Foods, Inc.

      

3.00%, 10/15/2030(2)

      925,000        934,324  

4.25%, 02/01/2027(2)

      1,290,000        1,408,919  

Spectrum Brands, Inc.

      

6.13%, 12/15/2024

      500,000        513,750  

Suntory Holdings Ltd.

      

2.55%, 06/28/2022(2)

      810,000        834,010  

Tenet Healthcare Corp.

      

4.63%, 07/15/2024

      61,000        61,153  

4.63%, 09/01/2024(2)

      4,500,000        4,536,540  

4.88%, 01/01/2026(2)

      4,987,000        5,061,805  

7.50%, 04/01/2025(2)

      2,325,000        2,505,188  

Teva Pharmaceutical Finance Co. BV

      

2.95%, 12/18/2022

      1,350,000        1,312,376  

Teva Pharmaceutical Finance Netherlands II BV

      

1.25%, 03/31/2023

    EUR 300,000        324,447  

3.25%, 04/15/2022

      1,300,000        1,517,326  

Teva Pharmaceutical Finance Netherlands III BV

      

2.20%, 07/21/2021

    $ 11,174,000        11,079,021  

2.80%, 07/21/2023

      4,490,000        4,293,563  

3.15%, 10/01/2026

      8,710,000        7,686,575  

4.10%, 10/01/2046

      2,340,000        1,946,178  

Transurban Finance Co. Pty Ltd.

      

2.45%, 03/16/2031(2)

      2,915,000        2,973,615  

3.38%, 03/22/2027(2)

      2,635,000        2,847,364  

Unilever Capital Corp.

      

3.00%, 03/07/2022

      5,625,000        5,839,668  

UnitedHealth Group, Inc.

      

2.00%, 05/15/2030

      2,695,000        2,815,895  

2.75%, 05/15/2040

      5,320,000        5,586,772  

3.50%, 08/15/2039

      1,430,000        1,639,903  

3.70%, 08/15/2049

      475,000        566,955  

3.88%, 12/15/2028

      1,070,000        1,269,888  

3.88%, 08/15/2059

      1,367,000        1,653,185  

4.20%, 01/15/2047

      1,288,000        1,625,253  

4.25%, 06/15/2048

      5,000,000        6,360,738  

4.75%, 07/15/2045

      1,712,000        2,309,620  

Universal Health Services, Inc.

      

5.00%, 06/01/2026(2)

      7,497,000        7,759,395  

Upjohn, Inc.

      

4.00%, 06/22/2050(2)

      8,745,000        9,310,054  

US Renal Care, Inc.

      

10.63%, 07/15/2027(2)

      558,000        591,480  

Verisk Analytics, Inc.

      

4.13%, 03/15/2029

      3,835,000        4,519,949  

William Marsh Rice University

      

3.77%, 05/15/2055

      2,100,000        2,671,744  

Zimmer Biomet Holdings, Inc.

      

0.98% (3 Month LIBOR USD + 0.75%), 03/19/2021(1)

      970,000        970,167  

1.16%, 11/15/2027

    EUR  1,200,000        1,415,901  

Zoetis, Inc.

      

3.45%, 11/13/2020

    $ 600,000        600,558  
     

 

 

  

Total Consumer, Non-cyclical

         1,167,779,470  
     

 

 

  

Diversified – 0.02%

      

CVS Pass-Through Trust Series 2013

      

4.70%, 01/10/2036(2)

      4,215,368        4,561,977  
     

 

 

  

Total Diversified

         4,561,977  
     

 

 

  

Energy – 3.00%

      

Aker BP ASA

      

2.88%, 01/15/2026(2)

      1,685,000        1,668,339  

3.00%, 01/15/2025(2)

      1,645,000        1,649,774  

3.75%, 01/15/2030(2)

      5,720,000        5,543,798  

4.00%, 01/15/2031(2)

      3,590,000        3,540,076  

5.88%, 03/31/2025(2)

      4,870,000        5,063,805  

Antero Resources Corp.

      

5.00%, 03/01/2025

      5,461,000        3,413,125  

5.13%, 12/01/2022

      1,893,000        1,542,795  

5.63%, 06/01/2023

      1,250,000        906,250  

BG Energy Capital Plc

      

4.00%, 10/15/2021(2)

      1,100,000        1,138,359  

Boardwalk Pipelines LP

      

3.38%, 02/01/2023

      330,000        338,809  

3.40%, 02/15/2031

      5,475,000        5,362,538  

4.95%, 12/15/2024

      2,655,000        2,914,546  

5.95%, 06/01/2026

      8,415,000        9,795,164  

BP Capital Markets America, Inc.

      

2.11%, 09/16/2021

      5,210,000        5,288,716  

3.00%, 02/24/2050

      1,280,000        1,217,333  

3.63%, 04/06/2030

      11,060,000        12,696,738  

4.74%, 03/11/2021

      3,025,000        3,082,622  

Cameron LNG LLC

      

2.90%, 07/15/2031(2)

      1,630,000        1,794,748  

3.30%, 01/15/2035(2)

      1,785,000        2,012,057  

3.70%, 01/15/2039(2)

      1,330,000        1,490,986  

Canadian Natural Resources Ltd.

      

3.45%, 11/15/2021

      1,320,000        1,349,981  

3.85%, 06/01/2027

      890,000        958,757  

6.25%, 03/15/2038

      1,345,000        1,595,067  

Cheniere Corpus Christi Holdings LLC

      

3.70%, 11/15/2029(2)

      16,815,000        17,466,636  

5.13%, 06/30/2027

      2,500,000        2,783,511  

5.88%, 03/31/2025

      3,220,000        3,669,689  

Cheniere Energy Partners LP

      

5.25%, 10/01/2025

      510,000        521,730  

Cheniere Energy, Inc.

      

4.63%, 10/15/2028(2)

      5,005,000        5,136,381  

Chevron Corp.

      

2.42%, 11/17/2020

      1,550,000        1,552,464  

CNOOC Finance 2015 USA LLC

      

3.50%, 05/05/2025

      8,650,000        9,493,634  

CNOOC Nexen Finance 2014 ULC

      

4.25%, 04/30/2024

      2,750,000        3,033,073  

Concho Resources, Inc.

      

2.40%, 02/15/2031

      960,000        917,331  

Continental Resources, Inc.

      

3.80%, 06/01/2024

      4,910,000        4,552,110  

DCP Midstream Operating LP

      

6.75%, 09/15/2037(2)

      1,830,000        1,756,800  

8.13%, 08/16/2030

      205,000        231,750  

Diamondback Energy, Inc.

      

2.88%, 12/01/2024

      4,750,000        4,808,540  

3.25%, 12/01/2026

      4,940,000        4,946,148  

3.50%, 12/01/2029

      11,250,000        10,846,687  

5.38%, 05/31/2025

      7,025,000        7,294,146  

Energy Transfer Operating LP

      

2.90%, 05/15/2025

      6,950,000        6,986,156  

4.05%, 03/15/2025

      415,000        436,067  

4.50%, 04/15/2024

      985,000        1,043,191  

4.65%, 06/01/2021

      860,000        873,477  

4.75%, 01/15/2026

      4,720,000        5,029,422  

4.95%, 06/15/2028

      3,235,000        3,424,169  

5.00%, 05/15/2050

      4,179,000        3,836,202  

5.15%, 03/15/2045

      700,000        632,707  

5.25%, 04/15/2029

      2,155,000        2,317,279  

5.50%, 06/01/2027

      4,105,000        4,476,988  

5.88%, 01/15/2024

      3,180,000        3,497,454  

6.00%, 06/15/2048

      3,990,000        4,006,259  

6.25%, 04/15/2049

      5,275,000        5,428,193  

6.50%, 02/01/2042

      1,000,000        1,036,264  

Energy Transfer Partners LP

      

4.50%, 11/01/2023

      2,385,000        2,534,366  

5.00%, 10/01/2022

      1,600,000        1,681,948  

5.88%, 03/01/2022

      1,521,000        1,587,507  

ENI SpA

      

4.75%, 09/12/2028(2)

      4,075,000        4,736,683  

EnLink Midstream Partners LP

      

4.15%, 06/01/2025

      3,885,000        3,345,102  

5.05%, 04/01/2045

      3,141,000        2,000,597  

5.60%, 04/01/2044

      3,568,000        2,292,440  

EQT Corp.

      

3.90%, 10/01/2027

      2,023,000        1,843,459  

7.88%, 02/01/2025

      1,770,000        1,961,956  

8.75%, 02/01/2030

      1,175,000        1,388,345  

Equinor ASA

      

3.70%, 04/06/2050

      4,490,000        5,138,548  

Exxon Mobil Corp.

      

2.61%, 10/15/2030

      2,895,000        3,122,607  

3.48%, 03/19/2030

      2,765,000        3,189,685  

4.23%, 03/19/2040

      2,505,000        3,063,897  

4.33%, 03/19/2050

      12,045,000        14,970,347  

Gazprom Neft OAO Via GPN Capital SA

      

4.38%, 09/19/2022

      3,400,000        3,551,314  

Gazprom PJSC Via Gaz Capital SA

      

4.95%, 07/19/2022

      3,000,000        3,148,800  

6.51%, 03/07/2022

      4,045,000        4,297,521  

Gray Oak Pipeline LLC

      

2.00%, 09/15/2023(2)

      510,000        512,774  

2.60%, 10/15/2025(2)

      1,575,000        1,580,077  

3.45%, 10/15/2027(2)

      1,420,000        1,452,944  

Gulfport Energy Corp.

      

6.38%, 05/15/2025

      215,000        131,150  

Hess Corp.

      

4.30%, 04/01/2027

      4,305,000        4,491,197  

5.60%, 02/15/2041

      4,660,000        5,034,278  

KazMunayGas National Co. JSC

      

5.38%, 04/24/2030

      1,367,000        1,595,726  

5.75%, 04/19/2047

      1,187,000        1,406,263  

Kinder Morgan Energy Partners LP

      

4.25%, 09/01/2024

      150,000        165,833  

5.00%, 08/15/2042

      30,000        33,294  

Kinder Morgan, Inc.

      

4.30%, 06/01/2025

      14,500,000        16,314,440  

5.05%, 02/15/2046

      150,000        169,912  

5.30%, 12/01/2034

      2,450,000        2,886,017  

Leviathan Bond Ltd.

      

6.13%, 06/30/2025(2)

      2,440,000        2,516,250  

MPLX LP

      

4.25%, 12/01/2027

      5,655,000        6,354,229  

5.25%, 01/15/2025

      390,000        404,319  

Newfield Exploration Co.

      

5.63%, 07/01/2024

      6,390,000        6,215,062  

NGL Energy Partners LP / NGL Energy Finance Corp.

      

7.50%, 04/15/2026

      1,850,000        1,147,130  

Noble Holding International Ltd.

      

7.88%, 02/01/2026(2)(6)

      306,000        73,881  

NuStar Logistics LP

      

5.75%, 10/01/2025

      2,345,000        2,421,916  

Occidental Petroleum Corp.

      

1.73% (3 Month LIBOR USD + 1.45%), 08/15/2022(1)

      313,000        285,613  

2.90%, 08/15/2024

      8,795,000        7,461,942  

5.55%, 03/15/2026

      2,820,000        2,554,666  

Odebrecht Drilling Norbe VIII/IX Ltd.

      

6.35%, 12/01/2021

      77,708        71,103  

Odebrecht Offshore Drilling Finance Ltd.

      

6.72%, 12/01/2022

      37,092        33,383  

ONEOK Partners LP

      

3.38%, 10/01/2022

      1,100,000        1,142,697  

ONEOK, Inc.

      

4.25%, 02/01/2022

      470,000        486,469  

Pan American Energy LLC/Argentina

      

29.68% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 11/20/2020(1)

    ARS    94,653,000        1,259,919  

Pertamina Persero PT

      

3.10%, 08/27/2030(2)

    $ 3,063,000        3,155,339  

6.00%, 05/03/2042

      480,000        580,880  

Petrobras Global Finance BV

      

5.09%, 01/15/2030

      7,528,000        7,910,799  

6.25%, 12/14/2026

    GBP 4,359,000        6,203,725  

6.90%, 03/19/2049

    $ 1,445,000        1,606,985  

Petroleos de Venezuela SA

      

5.38%, 04/12/2027(6)

      2,052,000        51,300  

5.50%, 04/12/2037(6)

      2,500,000        62,500  

6.00%, 05/16/2024(6)

      2,312,000        57,800  

6.00%, 11/15/2026(6)

      4,600,000        115,000  

9.00%, 11/17/2021(6)

      200,000        5,000  

9.75%, 05/17/2035(6)

      830,000        20,750  

Petroleos del Peru SA

      

4.75%, 06/19/2032

      2,378,000        2,575,374  

Petroleos Mexicanos

      

5.35%, 02/12/2028

      274,000        234,536  

5.95%, 01/28/2031(2)

      8,650,000        7,193,513  

6.49%, 01/23/2027(2)

      1,540,000        1,442,980  

6.50%, 03/13/2027

      1,566,000        1,460,295  

6.50%, 01/23/2029

      21,083,000        18,869,285  

6.63%, 06/15/2035

      940,000        780,618  

6.75%, 09/21/2047

      13,741,000        10,580,570  

6.84%, 01/23/2030(2)

      7,010,000        6,238,900  

6.95%, 01/28/2060(2)

      3,895,000        2,979,675  

7.69%, 01/23/2050(2)

      3,502,000        2,890,901  

Petronas Capital Ltd.

      

3.50%, 04/21/2030(2)

      2,000,000        2,235,155  

4.55%, 04/21/2050(2)

      1,400,000        1,778,575  

4.80%, 04/21/2060(2)

      1,200,000        1,632,432  

Plains All American Pipeline LP

      

3.55%, 12/15/2029

      800,000        773,496  

4.65%, 10/15/2025

      1,500,000        1,611,350  

Plains All American Pipeline LP / PAA Finance Corp.

      

4.50%, 12/15/2026

      1,168,000        1,246,018  

PTTEP Treasury Center Co. Ltd.

      

2.59%, 06/10/2027

      765,000        789,723  

Range Resources Corp.

      

4.88%, 05/15/2025

      1,008,000        909,821  

Reliance Industries Ltd.

      

3.67%, 11/30/2027

      2,900,000        3,181,424  

Rio Oil Finance Trust Series 2014-1

      

9.25%, 07/06/2024

      255,493        276,573  

Rio Oil Finance Trust Series 2014-3

      

9.75%, 01/06/2027

      224,298        252,336  

Rio Oil Finance Trust Series 2018-1

      

8.20%, 04/06/2028(2)

      495,000        529,655  

Rockies Express Pipeline LLC

      

4.95%, 07/15/2029(2)

      2,700,000        2,622,375  

6.88%, 04/15/2040(2)

      2,535,000        2,638,251  

Ruby Pipeline LLC

      

7.75%, 04/01/2022(2)

      3,409,091        2,866,577  

Sabine Pass Liquefaction LLC

      

4.20%, 03/15/2028

      1,700,000        1,844,306  

4.50%, 05/15/2030(2)

      10,555,000        11,879,430  

5.00%, 03/15/2027

      6,865,000        7,723,947  

5.63%, 03/01/2025

      18,735,000        21,418,630  

5.75%, 05/15/2024

      2,982,000        3,375,727  

5.88%, 06/30/2026

      6,040,000        7,140,711  

6.25%, 03/15/2022

      3,725,000        3,952,811  

Saudi Arabian Oil Co.

      

3.50%, 04/16/2029(2)

      6,300,000        6,933,391  

4.25%, 04/16/2039

      200,000        229,510  

4.38%, 04/16/2049(2)

      4,200,000        5,049,326  

Seven Generations Energy Ltd.

      

5.38%, 09/30/2025(2)

      3,110,000        2,942,900  

Shell International Finance BV

      

4.38%, 05/11/2045

      1,000,000        1,217,821  

Southern Gas Corridor CJSC

      

6.88%, 03/24/2026

      1,684,000        1,912,350  

Southern Natural Gas Co. LLC

      

4.80%, 03/15/2047(2)

      1,000,000        1,099,204  

Suncor Energy, Inc.

      

3.10%, 05/15/2025

      810,000        869,974  

Sunoco Logistics Partners Operations LP

      

4.00%, 10/01/2027

      17,750,000        18,122,185  

5.35%, 05/15/2045

      2,250,000        2,088,341  

5.40%, 10/01/2047

      17,719,000        16,701,508  

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.

      

7.50%, 10/01/2025(2)

      2,785,000        2,796,279  

Targa Resources Partners LP / Targa Resources Partners Finance Corp.

      

6.88%, 01/15/2029

      3,163,000        3,391,369  

TC PipeLines LP

      

3.90%, 05/25/2027

      3,325,000        3,562,159  

4.38%, 03/13/2025

      6,000,000        6,566,284  

Texas Eastern Transmission LP

      

2.80%, 10/15/2022(2)

      6,320,000        6,502,652  

Thaioil Treasury Center Co. Ltd.

      

4.63%, 11/20/2028

      610,000        705,666  

Topaz Solar Farms LLC

      

4.88%, 09/30/2039(2)

      360,232        398,249  

5.75%, 09/30/2039(2)

      2,826,325        3,292,997  

Transcontinental Gas Pipe Line Co. LLC

      

3.25%, 05/15/2030(2)

      1,610,000        1,739,043  

4.00%, 03/15/2028

      5,410,000        6,028,502  

4.60%, 03/15/2048

      3,995,000        4,544,400  

TransMontaigne Partners LP / TLP Finance Corp.

      

6.13%, 02/15/2026

      540,000        558,900  

Transocean Phoenix 2 Ltd.

      

7.75%, 10/15/2024(2)

      1,361,100        1,252,212  

Transocean Pontus Ltd.

      

6.13%, 08/01/2025(2)

      1,939,080        1,735,477  

Transocean Poseidon Ltd.

      

6.88%, 02/01/2027(2)

      2,280,000        1,824,000  

Transocean Proteus Ltd.

      

6.25%, 12/01/2024(2)

      503,100        445,872  

Transocean Sentry Ltd.

      

5.38%, 05/15/2023(2)

      500,000        340,000  

Transocean, Inc.

      

7.25%, 11/01/2025(2)

      100,000        28,000  

8.00%, 02/01/2027(2)

      70,000        19,600  

USA Compression Partners LP / USA Compression Finance Corp.

      

6.88%, 04/01/2026

      495,000        490,669  

6.88%, 09/01/2027

      1,310,000        1,299,022  

Valero Energy Corp.

      

2.15%, 09/15/2027

      1,915,000        1,902,126  

Valero Energy Partners LP

      

4.50%, 03/15/2028

      5,370,000        6,011,776  

Williams Companies, Inc.

      

3.35%, 08/15/2022

      1,000,000        1,038,379  

3.70%, 01/15/2023

      1,728,000        1,826,115  

3.90%, 01/15/2025

      3,071,000        3,357,557  

4.00%, 09/15/2025

      420,000        464,819  

4.30%, 03/04/2024

      175,000        191,441  

4.50%, 11/15/2023

      2,595,000        2,841,255  

4.55%, 06/24/2024

      6,990,000        7,744,984  

5.10%, 09/15/2045

      960,000        1,076,550  

6.30%, 04/15/2040

      1,323,000        1,633,372  

Woodside Finance Ltd.

      

3.65%, 03/05/2025(2)

      5,610,000        5,934,227  

3.70%, 09/15/2026(2)

      2,885,000        3,100,537  

3.70%, 03/15/2028(2)

      2,659,000        2,829,104  

4.50%, 03/04/2029(2)

      3,845,000        4,308,693  

YPF Sociedad Anonima

      

35.64% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 6.00%), 03/04/2021(1)

    ARS    62,240,000        790,485  
     

 

 

  

Total Energy

 

      633,891,777  
     

 

 

  

Financials – 12.87%

      

AerCap Ireland Capital DAC

      

3.50%, 01/15/2025

    $ 2,837,000        2,763,079  

4.13%, 07/03/2023

      8,300,000        8,468,430  

6.50%, 07/15/2025

      740,000        798,725  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

      

3.50%, 05/26/2022

      2,440,000        2,464,046  

3.65%, 07/21/2027

      4,920,000        4,504,491  

3.88%, 01/23/2028

      925,000        852,161  

3.95%, 02/01/2022

      12,762,000        12,919,946  

4.50%, 05/15/2021

      8,325,000        8,483,518  

4.63%, 07/01/2022

      450,000        461,933  

4.88%, 01/16/2024

      3,800,000        3,934,800  

5.00%, 10/01/2021

      2,200,000        2,267,506  

Aflac, Inc.

      

3.60%, 04/01/2030

      1,615,000        1,890,800  

AIA Group Ltd.

      

3.90%, 04/06/2028(2)

      2,945,000        3,346,374  

AIB Group Plc

      

4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(2)

      8,720,000        9,376,772  

4.75%, 10/12/2023(2)

      2,219,000        2,412,171  

Air Lease Corp.

      

2.25%, 01/15/2023

      735,000        736,532  

2.50%, 03/01/2021

      648,000        651,900  

3.00%, 02/01/2030

      4,635,000        4,314,143  

3.25%, 10/01/2029

      1,250,000        1,186,760  

3.38%, 07/01/2025

      5,360,000        5,472,189  

3.50%, 01/15/2022

      6,690,000        6,863,070  

3.88%, 04/01/2021

      2,540,000        2,564,780  

3.88%, 07/03/2023

      4,000,000        4,166,457  

4.63%, 10/01/2028

      30,000        31,092  

Aircastle Ltd.

      

4.13%, 05/01/2024

      5,440,000        5,360,866  

5.00%, 04/01/2023

      5,090,000        5,101,155  

5.13%, 03/15/2021

      1,060,000        1,075,478  

Alexandria Real Estate Equities, Inc.

      

3.38%, 08/15/2031

      7,175,000        8,090,237  

3.80%, 04/15/2026

      2,215,000        2,539,330  

3.95%, 01/15/2027

      3,440,000        3,913,289  

4.30%, 01/15/2026

      5,995,000        6,922,767  

4.70%, 07/01/2030

      575,000        708,931  

Allied World Assurance Co. Holdings Ltd.

      

4.35%, 10/29/2025

      2,490,000        2,695,370  

Allstate Corp.

      

4.20%, 12/15/2046

      1,430,000        1,781,954  

Ally Financial, Inc.

      

3.88%, 05/21/2024

      15,000        15,983  

4.13%, 02/13/2022

      105,000        108,938  

4.25%, 04/15/2021

      568,000        577,679  

4.63%, 05/19/2022

      100,000        105,045  

4.63%, 03/30/2025

      16,915,000        18,576,636  

5.13%, 09/30/2024

      400,000        446,032  

5.75%, 11/20/2025

      1,315,000        1,476,191  

5.80%, 05/01/2025

      9,805,000        11,289,392  

8.00%, 11/01/2031

      5,000        6,654  

8.00%, 11/01/2031

      3,663,000        5,011,823  

American Campus Communities Operating Partnership LP

      

2.85%, 02/01/2030

      7,225,000        7,313,040  

3.30%, 07/15/2026

      2,950,000        3,156,636  

3.63%, 11/15/2027

      3,733,000        3,972,716  

3.75%, 04/15/2023

      2,000,000        2,103,320  

4.13%, 07/01/2024

      2,750,000        2,963,769  

American Homes 4 Rent LP

      

4.25%, 02/15/2028

      73,000        82,705  

American International Group, Inc.

      

3.90%, 04/01/2026

      5,715,000        6,515,319  

4.20%, 04/01/2028

      2,522,000        2,919,720  

American Tower Corp.

      

2.10%, 06/15/2030

      4,100,000        4,139,747  

Aon Corp.

      

2.80%, 05/15/2030

      1,104,000        1,191,913  

Athene Holding Ltd.

      

4.13%, 01/12/2028

      11,630,000        12,599,501  

Avolon Holdings Funding Ltd.

      

2.88%, 02/15/2025(2)

      8,154,000        7,472,548  

3.95%, 07/01/2024(2)

      3,119,000        2,962,746  

4.38%, 05/01/2026(2)

      3,202,000        3,037,065  

5.13%, 10/01/2023(2)

      19,938,000        19,987,845  

5.25%, 05/15/2024(2)

      480,000        482,129  

5.50%, 01/15/2023(2)

      6,425,000        6,485,544  

5.50%, 01/15/2026(2)

      3,165,000        3,177,218  

Banco Bilbao Vizcaya Argentaria SA

      

8.88% (5 Year Swap Rate EUR + 9.18%), 07/14/2169(1)(3)

    EUR  4,000,000        4,841,749  

Banco Bradesco SA

      

3.20%, 01/27/2025(2)

    $ 1,600,000        1,630,016  

Banco de Bogota SA

      

4.38%, 08/03/2027

      4,700,000        4,931,710  

Banco Nacional de Comercio Exterior SNC/Cayman Islands

      

3.80% (5 Year CMT Index + 3.00%), 08/11/2026(1)(2)

      500,000        498,755  

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand

      

5.38%, 04/17/2025(2)

      5,395,000        5,999,240  

Banco Santander SA

      

3.49%, 05/28/2030

      2,000,000        2,175,529  

3.85%, 04/12/2023

      200,000        213,558  

5.18%, 11/19/2025

      2,400,000        2,727,910  

6.75% (5 Year Swap Rate EUR + 6.80%), 07/25/2169(1)(3)

    EUR 500,000        611,652  

Bangkok Bank PCL/Hong Kong

      

3.73% (5 Year CMT Index + 1.90%), 09/25/2034(1)

    $ 5,000,000        4,900,868  

4.45%, 09/19/2028

      1,260,000        1,458,223  

Bank of America Corp.

      

1.32% (Secured Overnight Financing Rate + 1.15%), 06/19/2026(1)

      5,000,000        5,030,127  

1.90% (Secured Overnight Financing Rate + 1.53%), 07/23/2031(1)

      12,435,000        12,380,286  

2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(1)

      11,215,000        11,690,392  

2.59% (Secured Overnight Financing Rate + 2.15%), 04/29/2031(1)

      6,285,000        6,636,875  

2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(1)

      2,600,000        2,806,393  

4.08% (3 Month LIBOR USD + 3.15%), 03/20/2051(1)

      8,595,000        10,620,080  

4.18%, 11/25/2027

      16,659,000        19,105,576  

4.25%, 10/22/2026

      17,295,000        20,015,184  

4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(1)

      16,470,000        19,299,366  

4.45%, 03/03/2026

      855,000        981,676  

Bank of Ireland Group Plc

      

4.50%, 11/25/2023(2)

      19,613,000        21,193,473  

Bank of New York Mellon Corp.

      

4.70% (5 Year CMT Index + 4.36%), 09/20/2169(1)

      451,000        478,511  

Barclays Bank Plc

      

5.14%, 10/14/2020

      665,000        665,939  

7.63%, 11/21/2022

      13,576,000        14,933,059  

Barclays Plc

      

1.66% (3 Month LIBOR USD + 1.38%), 05/16/2024(1)

      200,000        200,545  

1.71% (3 Month LIBOR USD + 1.43%), 02/15/2023(1)

      1,000,000        1,004,977  

2.85% (3 Month LIBOR USD + 2.45%), 05/07/2026(1)

      5,450,000        5,658,183  

3.25%, 02/12/2027

    GBP  6,200,000        8,543,381  

3.25%, 01/17/2033

      600,000        824,766  

3.38% (1 Year Swap Rate EUR + 3.70%), 04/02/2025(1)(3)

    EUR 1,600,000        2,035,433  

3.56% (5 Year CMT Index + 2.90%), 09/23/2035(1)

    $ 8,040,000        7,908,868  

3.68%, 01/10/2023

      4,200,000        4,329,583  

3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(1)

      3,615,000        3,892,484  

4.38%, 01/12/2026

      2,670,000        2,990,572  

4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(1)

      6,845,000        7,164,542  

4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(1)

      3,700,000        4,323,811  

5.09% (3 Month LIBOR USD + 3.05%), 06/20/2030(1)

      1,570,000        1,769,233  

5.88% (5 Year Swap Rate GBP + 4.91%), 12/15/2168(1)

    GBP 2,400,000        2,973,090  

6.13% (5 Year CMT Index + 5.87%), 12/15/2168(1)

    $ 3,800,000        3,852,250  

6.38% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 03/15/2169(1)

    GBP 4,100,000        5,231,394  

7.13% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 09/15/2169(1)

      3,200,000        4,296,349  

7.25% (5 Year Swap Rate GBP + 6.46%), 06/15/2169(1)

      18,283,000        24,006,678  

7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2168(1)

    $ 4,450,000        4,598,185  

7.88% (5 Year Swap Rate USD + 6.77%), 12/15/2168(1)

      600,000        617,250  

7.88% (5 Year Swap Rate GBP + 6.10%), 12/15/2168(1)

    GBP 1,200,000        1,577,066  

8.00% (5 Year Swap Rate EUR + 6.75%), 03/15/2169(1)

    EUR     12,100,000        14,310,778  

BBVA Bancomer SA

      

4.38%, 04/10/2024(2)

    $ 2,800,000        3,013,528  

5.13% (5 Year CMT Index + 2.65%), 01/18/2033(1)

      10,200,000        9,817,500  

BBVA Bancomer SA/Texas

      

1.88%, 09/18/2025(2)

      1,775,000        1,734,175  

Berkshire Hathaway Finance Corp.

      

4.20%, 08/15/2048

      2,000,000        2,566,065  

4.25%, 01/15/2049

      2,595,000        3,376,950  

4.40%, 05/15/2042

      1,000,000        1,272,096  

BGC Partners, Inc.

      

5.38%, 07/24/2023

      380,000        403,539  

BNP Paribas SA

      

4.40%, 08/14/2028(2)

      400,000        468,857  

7.63% (5 Year Swap Rate USD + 6.31%), 09/30/2169(1)(2)

      200,000        203,500  

BOC Aviation Ltd.

      

1.30% (3 Month LIBOR USD + 1.05%), 05/02/2021(1)(2)

      600,000        598,392  

1.36% (3 Month LIBOR USD + 1.13%), 09/26/2023(1)(2)

      500,000        488,330  

2.75%, 09/18/2022(2)

      300,000        305,659  

Boston Properties LP

      

2.75%, 10/01/2026

      2,660,000        2,849,336  

3.20%, 01/15/2025

      5,555,000        6,014,733  

3.25%, 01/30/2031

      2,245,000        2,417,899  

3.85%, 02/01/2023

      3,245,000        3,455,381  

Brixmor Operating Partnership LP

      

1.30% (3 Month LIBOR USD + 1.05%), 02/01/2022(1)

      4,860,000        4,799,255  

3.65%, 06/15/2024

      3,624,000        3,813,317  

3.85%, 02/01/2025

      1,680,000        1,798,598  

3.90%, 03/15/2027

      7,198,000        7,613,409  

4.05%, 07/01/2030

      3,735,000        4,007,098  

4.13%, 06/15/2026

      2,980,000        3,244,128  

4.13%, 05/15/2029

      10,235,000        11,097,325  

Brookfield Finance, Inc.

      

3.90%, 01/25/2028

      38,000        42,295  

4.70%, 09/20/2047

      408,000        475,861  

Brown & Brown, Inc.

      

2.38%, 03/15/2031

      1,400,000        1,412,504  

Capital One Bank USA N.A.

      

3.38%, 02/15/2023

      7,443,000        7,865,674  

Capital One Financial Corp.

      

0.80%, 06/12/2024

    EUR  2,940,000        3,449,071  

3.65%, 05/11/2027

    $ 9,310,000        10,270,524  

3.80%, 01/31/2028

      8,795,000        9,824,283  

3.90%, 01/29/2024

      2,845,000        3,096,278  

4.20%, 10/29/2025

      195,000        216,141  

4.25%, 04/30/2025

      2,880,000        3,266,701  

Carlyle Holdings Finance LLC

      

3.88%, 02/01/2023(2)

      428,000        458,769  

CBL & Associates LP

      

5.95%, 12/15/2026

      708,000        265,500  

CBRE Services, Inc.

      

4.88%, 03/01/2026

      445,000        521,231  

CDBL Funding 2

      

3.00%, 08/01/2022

      1,700,000        1,742,041  

Charles Schwab Corp.

      

5.38% (5 Year CMT Index + 4.97%), 09/01/2169(1)

      1,049,000        1,136,644  

China Construction Bank New Zealand Ltd.

      

0.98% (3 Month LIBOR USD + 0.75%), 12/20/2021(1)

      7,100,000        7,099,834  

CIT Bank N.A.

      

2.97% (Secured Overnight Financing Rate + 1.72%), 09/27/2025(1)

      1,700,000        1,686,706  

CIT Group, Inc.

      

4.13%, 03/09/2021

      148,000        148,000  

5.00%, 08/15/2022

      250,000        257,812  

Citigroup, Inc.

      

2.57% (Secured Overnight Financing Rate + 2.11%), 06/03/2031(1)

      8,975,000        9,433,510  

2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(1)

      1,290,000        1,338,506  

3.11% (Secured Overnight Financing Rate + 2.75%), 04/08/2026(1)

      5,200,000        5,590,870  

4.13%, 07/25/2028

      1,675,000        1,925,450  

4.41% (Secured Overnight Financing Rate + 3.91%), 03/31/2031(1)

      6,395,000        7,669,797  

CNA Financial Corp.

      

2.05%, 08/15/2030

      1,900,000        1,882,903  

CNO Financial Group, Inc.

      

5.25%, 05/30/2025

      6,110,000        7,006,629  

5.25%, 05/30/2029

      3,840,000        4,438,517  

Cooperatieve Rabobank UA

      

4.38%, 08/04/2025

      1,225,000        1,388,111  

6.63% (5 Year Swap Rate EUR + 6.70%), 06/29/2169(1)(3)

    EUR 6,000,000        7,245,741  

Corporate Office Properties LP

      

2.25%, 03/15/2026

    $ 3,300,000        3,337,022  

CPI Property Group SA

      

1.63%, 04/23/2027

    EUR  100,000        113,282  

Credit Agricole SA

      

1.28% (3 Month LIBOR USD + 1.02%), 04/24/2023(1)(2)

    $ 250,000        251,958  

1.91% (Secured Overnight Financing Rate + 1.68%), 06/16/2026(1)(2)

      16,700,000        17,075,501  

4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2)

      21,168,000        23,213,042  

4.38%, 03/17/2025(2)

      1,717,000        1,894,505  

Credit Suisse AG

      

6.50%, 08/08/2023(2)

      1,400,000        1,585,500  

Credit Suisse Group AG

      

2.19% (Secured Overnight Financing Rate + 2.04%), 06/05/2026(1)(2)

      9,700,000        10,015,788  

2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(1)(2)

      8,255,000        8,613,968  

4.19% (Secured Overnight Financing Rate + 3.73%), 04/01/2031(1)(2)

      14,455,000        16,677,230  

6.25% (5 Year Swap Rate USD + 3.46%), 12/18/2168(1)(2)

      700,000        749,797  

7.13% (5 Year Swap Rate USD + 5.11%), 07/29/2169(1)

      900,000        937,125  

7.25% (5 Year CMT Index + 4.33%), 03/12/2169(1)(2)

      400,000        433,500  

7.50% (5 Year Swap Rate USD + 4.60%), 01/17/2169(1)(2)

      1,400,000        1,477,434  

7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2169(1)(2)

      800,000        872,000  

7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2169(1)

      1,400,000        1,526,000  

Credit Suisse Group Funding Guernsey Ltd.

      

3.75%, 03/26/2025

      5,500,000        6,093,395  

Crown Castle International Corp.

      

3.30%, 07/01/2030

      1,085,000        1,184,722  

3.65%, 09/01/2027

      7,580,000        8,477,672  

3.80%, 02/15/2028

      3,220,000        3,645,935  

4.15%, 07/01/2050

      215,000        245,194  

4.30%, 02/15/2029

      11,875,000        13,841,871  

4.45%, 02/15/2026

      7,275,000        8,333,147  

CTR Partnership LP / CareTrust Capital Corp.

      

5.25%, 06/01/2025

      194,000        198,850  

CubeSmart LP

      

4.80%, 07/15/2022

      1,783,000        1,891,541  

CyrusOne LP / CyrusOne Finance Corp.

      

1.45%, 01/22/2027

    EUR  1,300,000        1,511,940  

2.15%, 11/01/2030

    $ 10,250,000        10,015,275  

Danske Bank

      

1.62% (1 Year CMT Index + 1.35%), 09/11/2026(1)(2)

      20,000,000        19,827,523  

3.00% (3 Month LIBOR USD + 1.25%), 09/20/2022(1)(2)

      8,535,000        8,700,758  

3.24% (3 Month LIBOR USD + 1.59%), 12/20/2025(1)(2)

      4,210,000        4,479,850  

3.88%, 09/12/2023(2)

      2,003,000        2,156,393  

5.00%, 01/12/2022(2)

      7,540,000        7,920,749  

5.38%, 01/12/2024(2)

      9,455,000        10,633,491  

Deutsche Bank AG

      

0.02% (3 Month EURIBOR + 0.50%), 12/07/2020(1)(3)

    EUR 4,600,000        5,393,270  

0.16% (3 Month EURIBOR + 0.65%), 09/10/2021(1)(3)

      2,800,000        3,274,561  

0.32% (3 Month EURIBOR + 0.80%), 05/16/2022(1)(3)

      700,000        813,575  

1.63%, 01/20/2027

      4,000,000        4,688,431  

1.75%, 01/17/2028

      6,000,000        7,063,528  

2.63%, 02/12/2026

      15,100,000        18,586,503  

4.25%, 10/14/2021

    $ 3,000,000        3,084,039  

Deutsche Bank AG/New York NY

      

1.07% (3 Month LIBOR USD + 0.82%), 01/22/2021(1)

      21,400,000        21,399,719  

1.47% (3 Month LIBOR USD + 1.19%), 11/16/2022(1)

      100,000        98,492  

1.54% (3 Month LIBOR USD + 1.29%), 02/04/2021(1)

      31,460,000        31,494,472  

2.22% (Secured Overnight Financing Rate + 2.16%), 09/18/2024(1)

      4,895,000        4,927,130  

3.55% (Secured Overnight Financing Rate + 3.04%), 09/18/2031(1)

      4,790,000        4,813,368  

3.95%, 02/27/2023

      200,000        210,059  

3.96% (Secured Overnight Financing Rate + 2.58%), 11/26/2025(1)

      15,420,000        16,387,132  

Digital Realty Trust LP

      

2.75%, 02/01/2023

      1,445,000        1,511,344  

4.75%, 10/01/2025

      1,640,000        1,918,062  

Discover Bank

      

4.65%, 09/13/2028

      2,640,000        3,105,419  

Discover Financial Services

      

3.75%, 03/04/2025

      8,845,000        9,602,953  

4.10%, 02/09/2027

      2,625,000        2,909,741  

Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust

      

5.13%, 11/30/2022(2)

      2,468,092        2,204,387  

EPR Properties

      

4.75%, 12/15/2026

      140,000        133,970  

4.95%, 04/15/2028

      414,000        399,737  

Equinix, Inc.

      

2.15%, 07/15/2030

      5,445,000        5,512,141  

2.88%, 02/01/2026

    EUR  200,000        238,741  

2.90%, 11/18/2026

    $ 2,700,000        2,911,274  

3.20%, 11/18/2029

      8,645,000        9,524,160  

Equitable Holdings, Inc.

      

3.90%, 04/20/2023

      6,474,000        6,956,367  

4.35%, 04/20/2028

      1,820,000        2,072,335  

5.00%, 04/20/2048

      30,000        35,390  

Erste Group Bank AG

      

8.88% (5 Year Swap Rate EUR + 9.02%), 10/15/2168(1)(3)

    EUR 1,000,000        1,251,079  

ESH Hospitality, Inc.

      

4.63%, 10/01/2027(2)

    $ 223,000        218,823  

Essex Portfolio LP

      

3.63%, 05/01/2027

      2,785,000        3,109,427  

3.88%, 05/01/2024

      4,200,000        4,591,946  

Fairfax Financial Holdings Ltd.

      

4.63%, 04/29/2030(2)

      4,361,000        4,727,964  

4.85%, 04/17/2028

      138,000        151,151  

Farmers Exchange Capital II

      

6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2)

      280,000        342,936  

Farmers Exchange Capital III

      

5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2)

      4,000,000        4,832,239  

Farmers Insurance Exchange

      

4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2)

      3,000,000        3,052,191  

Fidelity & Guaranty Life Holdings, Inc.

      

5.50%, 05/01/2025(2)

      2,360,000        2,646,150  

Fidelity National Financial, Inc.

      

2.45%, 03/15/2031

      7,270,000        7,204,294  

3.40%, 06/15/2030

      5,874,000        6,307,893  

4.50%, 08/15/2028

      15,455,000        17,934,632  

Fifth Third Bancorp

      

2.55%, 05/05/2027

      8,760,000        9,427,572  

GE Capital Funding LLC

      

4.40%, 05/15/2030(2)

      22,270,000        23,938,023  

GE Capital International Funding Co. Unlimited Co.

      

3.37%, 11/15/2025

      8,985,000        9,581,929  

4.42%, 11/15/2035

      40,925,000        43,251,236  

GE Capital UK Funding Unlimited Co.

      

4.13%, 09/13/2023

    GBP 200,000        274,121  

Genworth Holdings, Inc.

      

7.20%, 02/15/2021

    $ 2,535,000        2,547,675  

Global Atlantic Finance Co.

      

4.40%, 10/15/2029(2)

      1,667,000        1,735,745  

Global Bank Corp.

      

5.25% (3 Month LIBOR USD + 3.30%), 04/16/2029(1)

      550,000        576,125  

Globe Life, Inc.

      

2.15%, 08/15/2030

      5,700,000        5,729,641  

GLP Capital LP / GLP Financing II, Inc.

      

3.35%, 09/01/2024

      3,795,000        3,849,306  

4.00%, 01/15/2030

      2,100,000        2,173,374  

4.00%, 01/15/2031

      565,000        588,182  

5.25%, 06/01/2025

      2,239,000        2,431,151  

5.30%, 01/15/2029

      5,325,000        5,930,293  

5.38%, 04/15/2026

      4,285,000        4,749,066  

5.75%, 06/01/2028

      4,034,000        4,605,577  

Goldman Sachs Group, Inc.

      

2.60%, 02/07/2030

      360,000        379,864  

Goodman US Finance Three LLC

      

3.70%, 03/15/2028(2)

      463,000        506,378  

Growthpoint Properties International Pty Ltd.

      

5.87%, 05/02/2023(2)

      200,000        206,892  

Hanover Insurance Group, Inc.

      

2.50%, 09/01/2030

      2,300,000        2,360,057  

Healthcare Realty Trust, Inc.

      

2.05%, 03/15/2031

      7,195,000        7,098,525  

3.63%, 01/15/2028

      4,375,000        4,792,584  

3.75%, 04/15/2023

      3,356,000        3,601,991  

Healthcare Trust of America Holdings LP

      

2.00%, 03/15/2031

      8,200,000        8,027,106  

Healthpeak Properties, Inc.

      

2.88%, 01/15/2031

      5,865,000        6,208,623  

3.00%, 01/15/2030

      70,000        75,544  

3.25%, 07/15/2026

      610,000        680,816  

3.40%, 02/01/2025

      2,625,000        2,872,289  

3.50%, 07/15/2029

      685,000        762,448  

4.00%, 06/01/2025

      4,375,000        4,919,350  

4.20%, 03/01/2024

      1,175,000        1,293,497  

4.25%, 11/15/2023

      16,000        17,509  

Highwoods Realty LP

      

3.05%, 02/15/2030

      200,000        206,655  

4.13%, 03/15/2028

      4,875,000        5,375,657  

4.20%, 04/15/2029

      1,148,000        1,288,184  

Host Hotels & Resorts LP

      

3.75%, 10/15/2023

      2,175,000        2,243,742  

4.50%, 02/01/2026

      1,600,000        1,693,846  

Howard Hughes Corp.

      

5.38%, 03/15/2025(2)

      1,777,000        1,805,610  

HSBC Holdings Plc

      

1.27% (3 Month LIBOR USD + 1.00%), 05/18/2024(1)

      400,000        398,482  

2.01% (Secured Overnight Financing Rate + 1.73%), 09/22/2028(1)

      12,965,000        12,826,356  

2.10% (Secured Overnight Financing Rate + 1.93%), 06/04/2026(1)

      12,870,000        13,021,210  

2.36% (Secured Overnight Financing Rate + 1.95%), 08/18/2031(1)

      3,805,000        3,765,960  

2.85% (Secured Overnight Financing Rate + 2.39%), 06/04/2031(1)

      34,320,000        35,510,300  

3.00% (1 Year Swap Rate GBP + 1.77%), 05/29/2030(1)

    GBP 2,400,000        3,299,156  

3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023(1)

    $ 1,585,000        1,638,864  

3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(1)

      7,615,000        8,159,032  

3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(1)

      13,200,000        14,768,556  

4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(1)

      10,000,000        11,135,278  

4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(1)

      3,200,000        3,678,099  

4.95%, 03/31/2030

      9,500,000        11,433,612  

5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2169(1)

    GBP  6,400,000        8,324,041  

6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2169(1)

    EUR 600,000        740,495  

6.50% (5 Year 1100 Run ICE Swap Rate USD + 3.61%), 09/23/2169(1)

    $ 3,420,000        3,631,595  

6.88% (5 Year 1100 Run ICE Swap Rate USD + 5.51%), 12/01/2168(1)

      200,000        204,000  

Hudson Pacific Properties LP

      

3.95%, 11/01/2027

      2,399,000        2,579,407  

Hunt Companies, Inc.

      

6.25%, 02/15/2026(2)

      82,000        78,720  

Icahn Enterprises LP / Icahn Enterprises Finance Corp.

      

5.25%, 05/15/2027

      1,870,000        1,948,166  

ICICI Bank Ltd./Hong Kong

      

5.75%, 11/16/2020(2)

      200,000        200,822  

5.75%, 11/16/2020

      200,000        200,822  

Industrial & Commercial Bank of China Ltd.

      

0.98% (3 Month LIBOR USD + 0.75%), 12/21/2021(1)

      3,500,000        3,495,288  

0.99% (3 Month LIBOR USD + 0.75%), 11/08/2020(1)

      25,826,000        25,830,667  

ING Bank NV

      

5.80%, 09/25/2023(2)

      1,026,000        1,151,839  

ING Groep NV

      

6.88% (5 Year Swap Rate USD + 5.12%), 04/16/2169(1)

      300,000        312,375  

Intercontinental Exchange, Inc.

      

1.85%, 09/15/2032

      15,265,000        15,185,027  

2.65%, 09/15/2040

      7,600,000        7,561,514  

3.00%, 09/15/2060

      9,700,000        9,804,566  

International Lease Finance Corp.

      

8.63%, 01/15/2022

      1,056,000        1,135,387  

Intesa Sanpaolo SpA

      

7.00% (5 Year Swap Rate EUR + 6.88%), 07/19/2169(1)

    EUR 5,570,000        6,595,852  

Itau Unibanco Holding SA

      

2.90%, 01/24/2023(2)

    $ 5,500,000        5,562,590  

3.25%, 01/24/2025(2)

      3,800,000        3,864,600  

Jefferies Group LLC

      

6.25%, 01/15/2036

      1,430,000        1,769,802  

6.45%, 06/08/2027

      3,660,000        4,459,933  

Jefferies Group LLC / Jefferies Group Capital Finance, Inc.

      

4.15%, 01/23/2030

      7,180,000        8,084,577  

4.85%, 01/15/2027

      1,500,000        1,703,640  

Jones Lang LaSalle, Inc.

      

4.40%, 11/15/2022

      1,270,000        1,343,039  

JPMorgan Chase & Co.

      

2.18% (Secured Overnight Financing Rate + 1.89%), 06/01/2028(1)

      7,115,000        7,420,356  

2.52% (Secured Overnight Financing Rate + 2.04%), 04/22/2031(1)

      13,005,000        13,842,430  

2.74% (Secured Overnight Financing Rate + 1.51%), 10/15/2030(1)

      4,350,000        4,683,030  

2.95%, 10/01/2026

      2,340,000        2,574,450  

2.96% (Secured Overnight Financing Rate + 2.52%), 05/13/2031(1)

      13,240,000        14,152,365  

3.11% (Secured Overnight Financing Rate + 2.44%), 04/22/2051(1)

      8,590,000        9,090,523  

3.20%, 06/15/2026

      6,585,000        7,302,119  

4.49% (Secured Overnight Financing Rate + 3.79%), 03/24/2031(1)

      13,825,000        16,846,270  

Kennedy-Wilson, Inc.

      

5.88%, 04/01/2024

      224,000        222,880  

Kilroy Realty LP

      

2.50%, 11/15/2032

      3,600,000        3,502,328  

3.05%, 02/15/2030

      200,000        209,258  

3.45%, 12/15/2024

      1,845,000        1,946,525  

4.38%, 10/01/2025

      2,345,000        2,588,477  

KKR Group Finance Co. VIII LLC

      

3.50%, 08/25/2050(2)

      6,500,000        6,608,222  

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.

      

4.25%, 02/01/2027(2)

      6,245,000        5,401,925  

5.25%, 10/01/2025(2)

      4,265,000        3,950,456  

5.88%, 08/01/2021(2)

      1,025,000        1,023,719  

LeasePlan Corp. NV

      

2.88%, 10/24/2024(2)

      300,000        309,549  

Life Storage LP

      

2.20%, 10/15/2030

      1,200,000        1,197,830  

Lloyds Banking Group Plc

      

2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(1)

      12,390,000        12,877,377  

3.50% (1 Year Swap Rate EUR + 3.75%), 04/01/2026(1)(3)

    EUR     35,567,000        46,824,732  

3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(1)

    $ 420,000        459,906  

3.87% (1 Year CMT Index + 3.50%), 07/09/2025(1)

      1,675,000        1,823,905  

4.38%, 03/22/2028

      400,000        463,776  

4.45%, 05/08/2025

      3,665,000        4,144,638  

4.55%, 08/16/2028

      1,600,000        1,885,035  

4.95% (CMS 5 Year Rate EUR + 5.29%), 06/27/2169(1)(3)

    EUR  7,781,000        9,008,798  

7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2168(1)

    $ 3,100,000        3,301,500  

7.50% (5 Year Swap Rate USD + 4.76%), 06/27/2169(1)

      3,330,000        3,492,338  

7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2169(1)

    GBP 1,900,000        2,543,161  

7.88% (5 Year Swap Rate GBP + 4.83%), 06/27/2169(1)

      900,000        1,333,875  

Logicor Financing SARL

      

3.25%, 11/13/2028

    EUR 265,000        352,058  

Marsh & McLennan Companies, Inc.

      

2.25%, 11/15/2030

    $ 1,965,000        2,055,441  

Massachusetts Mutual Life Insurance Co.

      

3.38%, 04/15/2050(2)

      5,745,000        5,851,024  

MGIC Investment Corp.

      

5.25%, 08/15/2028

      875,000        905,363  

MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc.

      

5.63%, 05/01/2024

      1,079,000        1,144,042  

Mid-America Apartments LP

      

3.95%, 03/15/2029

      700,000        810,018  

Mitsubishi UFJ Financial Group, Inc.

      

2.05%, 07/17/2030

      18,600,000        18,780,609  

Mitsubishi UFJ Lease & Finance Co. Ltd.

      

2.65%, 09/19/2022(2)

      600,000        617,546  

3.41%, 02/28/2022(2)

      200,000        206,232  

3.96%, 09/19/2023(2)

      300,000        323,853  

Mizuho Financial Group, Inc.

      

2.20% (3 Month LIBOR USD + 1.51%), 07/10/2031(1)

      24,000,000        24,257,391  

Morgan Stanley

      

2.70% (Secured Overnight Financing Rate + 1.14%), 01/22/2031(1)

      10,000,000        10,676,000  

3.13%, 07/27/2026

      2,030,000        2,240,971  

3.95%, 04/23/2027

      10,130,000        11,444,001  

4.00%, 07/23/2025

      8,000,000        9,026,831  

4.35%, 09/08/2026

      8,350,000        9,651,353  

5.00%, 11/24/2025

      10,320,000        12,104,998  

7.50%, 04/02/2032(4)(14)

      14,800,000        13,184,385  

National Retail Properties, Inc.

      

2.50%, 04/15/2030

      200,000        199,433  

Nationwide Building Society

      

3.62% (3 Month LIBOR USD + 1.18%), 04/26/2023(1)(2)

      4,250,000        4,415,547  

3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2)

      6,600,000        7,013,121  

3.96% (3 Month LIBOR USD + 1.86%), 07/18/2030(1)(2)

      5,650,000        6,375,656  

4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2)

      8,600,000        9,710,129  

4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2)

      4,600,000        4,987,016  

Nationwide Mutual Insurance Co.

      

2.54% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2)

      1,790,000        1,789,993  

Natwest Group Plc

      

0.75% (3 Month EURIBOR + 1.08%), 11/15/2025(1)(3)

    EUR  4,000,000        4,657,846  

1.75% (3 Month EURIBOR + 1.08%), 03/02/2026(1)

      23,579,000        28,561,305  

1.75% (3 Month LIBOR USD + 1.47%), 05/15/2023(1)

    $ 3,217,000        3,230,808  

1.78% (3 Month LIBOR USD + 1.55%), 06/25/2024(1)

      5,845,000        5,871,904  

2.00% (3 Month EURIBOR + 2.04%), 03/08/2023(1)(3)

    EUR 1,100,000        1,317,697  

2.00% (3 Month EURIBOR + 1.74%), 03/04/2025(1)

      400,000        487,214  

2.50%, 03/22/2023

      3,600,000        4,430,907  

3.50% (3 Month LIBOR USD + 1.48%), 05/15/2023(1)

    $ 855,000        885,470  

3.88%, 09/12/2023

      10,543,000        11,322,760  

4.27% (3 Month LIBOR USD + 1.76%), 03/22/2025(1)

      16,200,000        17,607,643  

4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(1)

      4,390,000        5,077,231  

4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(1)

      1,600,000        1,724,404  

4.80%, 04/05/2026

      200,000        231,164  

4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(1)

      2,900,000        3,371,373  

5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(1)

      6,600,000        7,865,755  

5.13%, 05/28/2024

      3,650,000        4,006,844  

6.00% (5 Year CMT Index + 5.63%), 09/30/2169(1)

      8,300,000        8,445,250  

8.00% (5 Year Swap Rate USD + 5.72%), 09/30/2169(1)

      7,151,000        7,937,610  

8.63% (5 Year Swap Rate USD + 7.60%), 09/30/2169(1)

      3,500,000        3,587,500  

NatWest Markets Plc

      

0.63%, 03/02/2022

    EUR  4,750,000        5,594,577  

3.63%, 09/29/2022(2)

    $ 12,800,000        13,434,755  

Navient Corp.

      

5.00%, 10/26/2020

      300,000        300,000  

5.00%, 03/15/2027

      1,997,000        1,875,243  

5.50%, 01/25/2023

      3,000,000        3,027,480  

5.88%, 03/25/2021

      9,693,000        9,753,581  

5.88%, 10/25/2024

      30,000        29,831  

6.13%, 03/25/2024

      14,000        14,140  

6.50%, 06/15/2022

      3,941,000        4,019,820  

6.63%, 07/26/2021

      2,969,000        3,013,535  

6.75%, 06/15/2026

      5,089,000        5,089,000  

7.25%, 01/25/2022

      15,500,000        15,921,135  

7.25%, 09/25/2023

      221,000        228,735  

New York Life Global Funding

      

1.70%, 09/14/2021(2)

      6,775,000        6,869,636  

2.35%, 07/14/2026(2)

      1,000,000        1,076,999  

New York Life Insurance Co.

      

3.75%, 05/15/2050(2)

      11,846,000        13,324,168  

Newmark Group, Inc.

      

6.13%, 11/15/2023

      602,000        625,988  

Nomura Holdings, Inc.

      

1.85%, 07/16/2025

      16,000,000        16,288,851  

2.68%, 07/16/2030

      16,300,000        16,776,743  

Old Republic International Corp.

      

3.88%, 08/26/2026

      5,155,000        5,859,080  

4.88%, 10/01/2024

      335,000        380,213  

Omega Healthcare Investors, Inc.

      

4.50%, 01/15/2025

      5,050,000        5,361,850  

OneAmerica Financial Partners, Inc.

      

4.25%, 10/15/2050(2)

      1,000,000        1,012,155  

OneMain Finance Corp.

      

5.63%, 03/15/2023

      3,658,000        3,795,193  

6.13%, 05/15/2022

      3,548,000        3,681,050  

6.13%, 03/15/2024

      2,400,000        2,514,000  

6.88%, 03/15/2025

      363,000        402,812  

7.75%, 10/01/2021

      5,960,000        6,233,713  

Pacific LifeCorp

      

3.35%, 09/15/2050(2)

      2,500,000        2,505,468  

Park Aerospace Holdings Ltd.

      

3.63%, 03/15/2021(2)

      451,000        449,050  

4.50%, 03/15/2023(2)

      9,484,000        9,408,479  

5.25%, 08/15/2022(2)

      6,248,000        6,272,843  

5.50%, 02/15/2024(2)

      4,459,000        4,486,869  

Physicians Realty LP

      

3.95%, 01/15/2028

      177,000        184,310  

Prologis LP

      

1.25%, 10/15/2030

      1,985,000        1,935,752  

3.75%, 11/01/2025

      1,325,000        1,511,654  

QNB Finance Ltd.

      

1.70% (3 Month LIBOR USD + 1.45%), 08/11/2021(1)

      3,400,000        3,408,464  

1.84% (3 Month LIBOR USD + 1.57%), 07/18/2021(1)

      2,400,000        2,407,056  

2.63%, 05/12/2025

      2,450,000        2,531,487  

2.75%, 02/12/2027

      4,950,000        5,160,323  

Quicken Loans LLC

      

5.25%, 01/15/2028(2)

      3,595,000        3,787,908  

Quicken Loans LLC / Quicken Loans Co.-Issuer, Inc.

      

3.63%, 03/01/2029(2)

      1,825,000        1,809,031  

3.88%, 03/01/2031(2)

      1,830,000        1,807,125  

Raymond James Financial, Inc.

      

4.95%, 07/15/2046

      4,420,000        5,704,712  

5.63%, 04/01/2024

      1,617,000        1,865,615  

Realty Income Corp.

      

3.25%, 06/15/2029

      300,000        331,595  

Regency Centers LP

      

2.95%, 09/15/2029

      200,000        207,066  

3.60%, 02/01/2027

      4,271,000        4,619,632  

3.70%, 06/15/2030

      4,801,000        5,266,534  

4.13%, 03/15/2028

      970,000        1,084,485  

Retail Opportunity Investments Partnership LP

      

4.00%, 12/15/2024

      895,000        895,994  

Sabra Health Care LP

      

3.90%, 10/15/2029

      200,000        194,707  

Santander Holdings USA, Inc.

      

3.24%, 10/05/2026

      6,342,000        6,784,735  

3.40%, 01/18/2023

      184,000        192,630  

3.50%, 06/07/2024

      50,000        53,622  

4.40%, 07/13/2027

      153,000        168,445  

Santander UK Group Holdings Plc

      

0.30% (3 Month EURIBOR + 0.78%), 05/18/2023(1)(3)

    EUR  200,000        232,888  

0.36% (3 Month EURIBOR + 0.85%), 03/27/2024(1)(3)

      1,200,000        1,390,563  

1.13%, 09/08/2023

      400,000        476,706  

1.53% (1 Year CMT Index + 1.25%), 08/21/2026(1)

    $ 6,315,000        6,211,707  

2.88%, 10/16/2020

      2,800,000        2,802,690  

2.92% (1 Year Swap Rate GBP + 1.38%), 05/08/2026(1)

    GBP 520,000        708,124  

3.37% (3 Month LIBOR USD + 1.08%), 01/05/2024(1)

    $ 1,000,000        1,045,061  

3.57%, 01/10/2023

      6,395,000        6,597,146  

3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(1)

      4,990,000        5,534,997  

4.75%, 09/15/2025(2)

      1,025,000        1,120,883  

4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(1)

      18,285,000        20,141,546  

6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2169(1)

    GBP 5,800,000        7,863,994  

7.38% (5 Year Swap Rate GBP + 5.54%), 09/24/2169(1)

      5,647,000        7,566,324  

SBA Tower Trust

      

2.33%, 01/15/2028(2)

    $ 1,555,000        1,578,362  

2.84%, 01/15/2025(2)

      3,250,000        3,477,590  

3.17%, 04/11/2022(2)

      2,825,000        2,859,155  

3.45%, 03/15/2023(2)

      600,000        632,609  

3.72%, 04/11/2023(2)

      3,515,000        3,635,288  

3.87%, 10/08/2024(2)

      10,376,000        10,922,729  

Sberbank of Russia Via SB Capital SA

      

5.13%, 10/29/2022

      1,300,000        1,363,346  

5.72%, 06/16/2021

      3,720,000        3,834,219  

Shimao Group Holdings Ltd.

      

4.75%, 07/03/2022

      8,900,000        9,124,504  

Shinhan Bank Co. Ltd.

      

3.88%, 03/24/2026

      1,385,000        1,525,214  

Simon Property Group LP

      

2.65%, 07/15/2030

      7,550,000        7,585,749  

3.30%, 01/15/2026

      1,515,000        1,640,914  

3.50%, 09/01/2025

      3,535,000        3,874,167  

3.80%, 07/15/2050

      2,570,000        2,597,525  

Sirius International Group Ltd.

      

4.60%, 11/01/2026(2)

      2,520,000        2,426,760  

SITE Centers Corp.

      

3.63%, 02/01/2025

      1,914,000        1,955,426  

4.25%, 02/01/2026

      2,500,000        2,676,156  

4.70%, 06/01/2027

      8,000,000        8,436,365  

SL Green Operating Partnership LP

      

3.25%, 10/15/2022

      6,000,000        6,122,140  

SL Green Realty Corp.

      

4.50%, 12/01/2022

      850,000        886,445  

Societe Generale SA

      

4.25%, 04/14/2025(2)

      2,340,000        2,495,388  

4.75%, 11/24/2025(2)

      9,285,000        10,184,240  

6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2169(1)(2)

      400,000        418,500  

6.75% (5 Year Swap Rate EUR + 5.54%), 10/07/2169(1)

    EUR 300,000        355,692  

7.38% (5 Year Swap Rate USD + 6.24%), 03/13/2169(1)(2)

    $ 2,100,000        2,152,500  

7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2169(1)(2)

      3,700,000        3,806,375  

Spirit Realty LP

      

3.40%, 01/15/2030

      200,000        198,720  

Standard Chartered Plc

      

1.42% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2)

      6,475,000        6,498,924  

1.45% (3 Month LIBOR USD + 1.20%), 09/10/2022(1)(2)

      3,900,000        3,912,833  

4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2)

      1,730,000        1,794,777  

4.64% (5 Year CMT Index + 3.85%), 04/01/2031(1)(2)

      15,280,000        17,577,237  

Starwood Property Trust, Inc.

      

4.75%, 03/15/2025

      133,000        127,348  

Stichting AK Rabobank Certificaten

      

6.50%, 03/29/2169(5)

    EUR 3,690,000        5,146,243  

STORE Capital Corp.

      

4.50%, 03/15/2028

    $ 128,000        137,095  

4.63%, 03/15/2029

      200,000        214,340  

Synchrony Financial

      

2.85%, 07/25/2022

      3,720,000        3,831,593  

4.25%, 08/15/2024

      955,000        1,037,585  

4.38%, 03/19/2024

      2,923,000        3,162,933  

4.50%, 07/23/2025

      2,778,000        3,066,017  

Teachers Insurance & Annuity Association of America

      

3.30%, 05/15/2050(2)

      7,205,000        7,418,115  

4.27%, 05/15/2047(2)

      515,000        601,979  

4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2)

      4,500,000        4,769,654  

4.90%, 09/15/2044(2)

      1,505,000        1,895,349  

TP ICAP Plc

      

5.25%, 01/26/2024

    GBP 100,000        138,391  

Travelers Companies, Inc.

      

2.55%, 04/27/2050

    $ 850,000        831,968  

UBS AG

      

4.75% (5 Year Swap Rate EUR + 3.40%), 02/12/2026(1)

    EUR 5,400,000        6,402,456  

5.13%, 05/15/2024

    $ 200,000        220,000  

UBS Group AG

      

5.75% (5 Year Swap Rate EUR + 5.29%), 02/19/2169(1)

    EUR 600,000        731,609  

6.88% (5 Year Swap Rate USD + 5.50%), 03/22/2169(1)

    $ 300,000        303,817  

7.00% (5 Year Swap Rate USD + 4.87%), 02/19/2169(1)

      200,000        222,250  

7.13% (5 Year Swap Rate USD + 5.88%), 08/10/2169(1)

      300,000        307,500  

UDR, Inc.

      

2.10%, 08/01/2032

      1,300,000        1,291,704  

UniCredit SpA

      

6.75% (5 Year Swap Rate EUR + 6.10%), 03/10/2169(1)

    EUR 4,200,000        4,928,170  

7.83%, 12/04/2023(2)

    $ 13,400,000        15,688,404  

Unique Pub Finance Co. Plc

      

5.66%, 06/30/2027

    GBP 3,156,584        4,182,472  

7.40%, 03/28/2024

      3,107,000        4,169,465  

Ventas Realty LP

      

3.00%, 01/15/2030

    $ 1,765,000        1,798,476  

3.25%, 10/15/2026

      7,052,000        7,484,356  

3.85%, 04/01/2027

      1,485,000        1,617,386  

4.40%, 01/15/2029

      3,000,000        3,406,245  

VEREIT Operating Partnership LP

      

3.40%, 01/15/2028

      2,855,000        2,973,464  

3.95%, 08/15/2027

      4,155,000        4,423,125  

4.60%, 02/06/2024

      6,215,000        6,666,536  

4.63%, 11/01/2025

      14,740,000        16,282,894  

4.88%, 06/01/2026

      4,800,000        5,350,909  

VIVAT NV

      

2.38%, 05/17/2024

    EUR 500,000        600,574  

Voyager Aviation Holdings LLC / Voyager Finance Co.

      

8.50%, 08/15/2021(2)

    $ 186,000        92,535  

WEA Finance LLC

      

3.15%, 04/05/2022(2)

      3,000,000        3,048,108  

Weingarten Realty Investors

      

3.25%, 08/15/2026

      1,665,000        1,723,992  

Wells Fargo & Co.

      

1.65% (Secured Overnight Financing Rate + 1.60%), 06/02/2024(1)

      7,275,000        7,408,721  

2.19% (Secured Overnight Financing Rate + 2.00%), 04/30/2026(1)

      3,600,000        3,738,829  

2.39% (Secured Overnight Financing Rate + 2.10%), 06/02/2028(1)

      10,650,000        11,106,675  

2.88% (3 Month LIBOR USD + 1.17%), 10/30/2030(1)

      30,992,000        33,056,408  

3.07% (Secured Overnight Financing Rate + 2.53%), 04/30/2041(1)

      19,485,000        20,216,605  

3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(1)

      7,000,000        7,598,159  

3.58% (3 Month LIBOR USD + 1.31%), 05/22/2028(1)

      9,455,000        10,579,129  

3.75%, 01/24/2024

      2,905,000        3,155,887  

4.30%, 07/22/2027

      3,980,000        4,550,945  

Welltower, Inc.

      

3.95%, 09/01/2023

      13,500,000        14,608,537  

4.00%, 06/01/2025

      4,690,000        5,241,850  

4.25%, 04/15/2028

      111,000        125,640  

4.50%, 01/15/2024

      650,000        715,330  

Weyerhaeuser Co.

      

4.00%, 04/15/2030

      9,630,000        11,315,390  

Willis North America, Inc.

      

3.60%, 05/15/2024

      9,380,000        10,240,590  

WPC Eurobond BV

      

1.35%, 04/15/2028

    EUR 3,425,000        4,058,424  

2.13%, 04/15/2027

      400,000        497,147  

2.25%, 04/09/2026

      1,300,000        1,630,701  
     

 

 

  

Total Financials

 

      2,716,230,104  
     

 

 

  

Government – 0.15%

      

European Investment Bank

      

0.25%, 09/15/2023

    $ 30,865,000        30,850,622  
     

 

 

  

Total Government

 

      30,850,622  
     

 

 

  

Industrials – 2.19%

      

Amcor Finance USA, Inc.

      

3.63%, 04/28/2026

      2,990,000        3,330,001  

4.50%, 05/15/2028

      4,100,000        4,803,368  

Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc.

      

5.25%, 04/30/2025(2)

      2,410,000        2,518,450  

Arrow Electronics, Inc.

      

3.50%, 04/01/2022

      480,000        496,274  

4.00%, 04/01/2025

      3,622,000        3,938,885  

4.50%, 03/01/2023

      380,000        405,947  

Associated Materials LLC / AMH New Finance, Inc.

      

9.00%, 09/01/2025(2)

      540,000        564,300  

Aviation Capital Group LLC

      

2.88%, 01/20/2022(2)

      8,869,000        8,801,378  

3.88%, 05/01/2023(2)

      100,000        98,957  

4.13%, 08/01/2025(2)

      168,000        160,914  

4.88%, 10/01/2025(2)

      3,007,000        2,959,233  

5.50%, 12/15/2024(2)

      3,900,000        4,023,071  

Avnet, Inc.

      

3.75%, 12/01/2021

      2,210,000        2,273,340  

4.63%, 04/15/2026

      10,485,000        11,724,793  

4.88%, 12/01/2022

      5,855,000        6,273,133  

BAE Systems Plc

      

3.40%, 04/15/2030(2)

      8,145,000        9,114,263  

Ball Corp.

      

4.00%, 11/15/2023

      750,000        796,125  

Boeing Co.

      

2.25%, 06/15/2026

      2,170,000        2,111,643  

2.95%, 02/01/2030

      2,790,000        2,698,093  

3.10%, 05/01/2026

      370,000        368,996  

3.20%, 03/01/2029

      1,855,000        1,825,786  

3.25%, 02/01/2035

      1,109,000        1,041,461  

3.38%, 06/15/2046

      4,940,000        4,225,028  

3.50%, 03/01/2039

      735,000        666,763  

3.55%, 03/01/2038

      375,000        341,052  

3.63%, 03/01/2048

      1,941,000        1,702,166  

3.65%, 03/01/2047

      1,140,000        1,004,470  

3.75%, 02/01/2050

      6,354,000        5,813,613  

3.83%, 03/01/2059

      1,023,000        899,833  

3.85%, 11/01/2048

      1,840,000        1,682,496  

3.90%, 05/01/2049

      3,893,000        3,580,525  

3.95%, 08/01/2059

      2,715,000        2,451,899  

4.51%, 05/01/2023

      1,439,000        1,514,906  

4.88%, 05/01/2025

      1,977,000        2,156,631  

5.04%, 05/01/2027

      2,860,000        3,139,752  

5.15%, 05/01/2030

      8,833,000        9,895,129  

5.71%, 05/01/2040

      10,110,000        11,801,101  

5.81%, 05/01/2050

      25,499,000        30,757,110  

5.93%, 05/01/2060

      13,022,000        16,081,124  

Bombardier, Inc.

      

6.00%, 10/15/2022(2)

      248,000        229,400  

6.13%, 01/15/2023(2)

      100,000        85,500  

7.88%, 04/15/2027(2)

      1,492,000        1,131,592  

Boral Finance Pty Ltd.

      

3.00%, 11/01/2022(2)

      4,439,000        4,534,595  

3.75%, 05/01/2028(2)

      3,520,000        3,646,961  

Canadian Pacific Railway Co.

      

4.50%, 01/15/2022

      110,000        115,347  

Carrier Global Corp.

      

2.72%, 02/15/2030(2)

      7,345,000        7,669,762  

3.58%, 04/05/2050(2)

      940,000        991,787  

Caterpillar, Inc.

      

3.90%, 05/27/2021

      3,110,000        3,183,613  

CEMEX Finance LLC

      

6.00%, 04/01/2024(2)

      450,000        459,810  

Cemex SAB de CV

      

5.20%, 09/17/2030(2)

      8,900,000        8,943,610  

5.45%, 11/19/2029(2)

      3,460,000        3,498,925  

5.70%, 01/11/2025(2)

      900,000        918,868  

7.75%, 04/16/2026(2)

      250,000        263,437  

Clean Harbors, Inc.

      

4.88%, 07/15/2027(2)

      1,639,000        1,700,463  

5.13%, 07/15/2029(2)

      680,000        737,712  

DAE Funding LLC

      

4.50%, 08/01/2022(2)

      183,000        180,941  

5.00%, 08/01/2024(2)

      8,307,000        8,348,535  

5.25%, 11/15/2021(2)

      6,844,000        6,912,440  

5.75%, 11/15/2023(2)

      2,501,000        2,526,010  

Embraer Netherlands Finance BV

      

5.05%, 06/15/2025

      1,795,000        1,723,200  

5.40%, 02/01/2027

      1,190,000        1,127,537  

Empresa de los Ferrocarriles del Estado

      

3.07%, 08/18/2050(2)

      2,075,000        2,033,500  

Empresa de Transporte de Pasajeros Metro SA

      

3.65%, 05/07/2030(2)

      600,000        664,500  

4.70%, 05/07/2050(2)

      1,400,000        1,720,950  

Fortress Transportation & Infrastructure Investors LLC

      

6.50%, 10/01/2025(2)

      1,561,000        1,533,683  

6.75%, 03/15/2022(2)

      4,576,000        4,507,360  

General Dynamics Corp.

      

3.00%, 05/11/2021

      5,585,000        5,678,320  

General Electric Co.

      

3.45%, 05/15/2024

      915,000        981,734  

3.63%, 05/01/2030

      3,370,000        3,494,842  

4.35%, 05/01/2050

      13,905,000        14,147,801  

5.00% (3 Month LIBOR USD + 3.33%), 06/15/2169(1)

      7,944,000        6,329,488  

5.50%, 06/07/2021

    GBP 100,000        132,293  

5.55%, 01/05/2026

    $ 4,748,000        5,536,984  

6.15%, 08/07/2037

      36,000        43,211  

6.75%, 03/15/2032

      5,231,000        6,575,681  

6.88%, 01/10/2039

      27,000        34,540  

Graphic Packaging International LLC

      

4.13%, 08/15/2024

      50,000        52,375  

4.75%, 07/15/2027(2)

      1,500,000        1,623,750  

Heathrow Funding Ltd.

      

4.88%, 07/15/2021(2)

      7,220,000        7,388,355  

Huntington Ingalls Industries, Inc.

      

3.84%, 05/01/2025(2)

      3,995,000        4,388,822  

4.20%, 05/01/2030(2)

      3,565,000        4,087,981  

Jabil, Inc.

      

3.00%, 01/15/2031

      2,470,000        2,519,988  

4.70%, 09/15/2022

      3,685,000        3,950,442  

John Deere Capital Corp.

      

0.73% (3 Month LIBOR USD + 0.48%), 09/08/2022(1)

      10,000,000        10,045,152  

2.95%, 04/01/2022

      7,475,000        7,767,507  

Keysight Technologies, Inc.

      

3.00%, 10/30/2029

      5,800,000        6,336,239  

4.55%, 10/30/2024

      1,374,000        1,551,562  

4.60%, 04/06/2027

      1,695,000        1,980,367  

Komatsu Finance America, Inc.

      

2.44%, 09/11/2022

      860,000        884,061  

Matthews International Corp.

      

5.25%, 12/01/2025(2)

      1,064,000        1,005,480  

Mauser Packaging Solutions Holding Co.

      

5.50%, 04/15/2024(2)

      510,000        511,805  

OI European Group BV

      

4.00%, 03/15/2023(2)

      216,000        219,240  

Pelabuhan Indonesia III Persero PT

      

4.50%, 05/02/2023

      200,000        211,700  

PerkinElmer, Inc.

      

3.30%, 09/15/2029

      4,070,000        4,516,777  

PowerTeam Services LLC

      

9.03%, 12/04/2025(2)

      5,121,000        5,396,254  

Roper Technologies, Inc.

      

2.00%, 06/30/2030

      1,015,000        1,034,678  

2.95%, 09/15/2029

      1,930,000        2,123,059  

Sealed Air Corp.

      

4.00%, 12/01/2027(2)

      505,000        527,624  

5.25%, 04/01/2023(2)

      1,000,000        1,055,000  

5.50%, 09/15/2025(2)

      1,545,000        1,714,950  

Siemens Financieringsmaatschappij NV

      

0.85% (3 Month LIBOR USD + 0.61%), 03/16/2022(1)(2)

      13,690,000        13,762,969  

SIG Combibloc PurchaseCo SARL

      

1.88%, 06/18/2023(2)

    EUR 9,357,000        11,159,309  

2.13%, 06/18/2025(2)

      7,592,000        9,135,040  

SMBC Aviation Capital Finance DAC

      

2.65%, 07/15/2021(2)

    $ 200,000        201,678  

4.13%, 07/15/2023(2)

      13,215,000        13,967,786  

Spirit AeroSystems, Inc.

      

1.05% (3 Month LIBOR USD + 0.80%), 06/15/2021(1)

      3,080,000        2,913,558  

4.60%, 06/15/2028

      695,000        570,498  

Textron, Inc.

      

0.79% (3 Month LIBOR USD + 0.55%), 11/10/2020(1)

      830,000        830,022  

3.00%, 06/01/2030

      23,695,000        24,940,036  

TransDigm, Inc.

      

6.25%, 03/15/2026(2)

      2,115,000        2,217,683  

8.00%, 12/15/2025(2)

      1,470,000        1,598,625  

Triumph Group, Inc.

      

5.25%, 06/01/2022

      482,000        395,240  

6.25%, 09/15/2024(2)

      751,000        639,131  

Trivium Packaging Finance BV

      

3.75%, 08/15/2026(2)

    EUR 340,000        393,578  

5.50%, 08/15/2026(2)

    $ 6,909,000        7,154,097  

Vertical US Newco, Inc.

      

5.25%, 07/15/2027(2)

      3,445,000        3,580,268  

Vulcan Materials Co.

      

3.50%, 06/01/2030

      1,400,000        1,566,846  

Waste Pro USA, Inc.

      

5.50%, 02/15/2026(2)

      2,121,000        2,146,431  

Weekley Homes LLC / Weekley Finance Corp.

      

4.88%, 09/15/2028(2)

      1,115,000        1,126,150  

Westinghouse Air Brake Technologies Corp.

      

3.20%, 06/15/2025

      5,200,000        5,478,565  

WRKCo, Inc.

      

3.00%, 09/15/2024

      4,000,000        4,292,823  

3.00%, 06/15/2033

      1,445,000        1,570,511  

3.75%, 03/15/2025

      815,000        910,848  
     

 

 

  

Total Industrials

 

      461,831,801  
     

 

 

  

Technology – 1.61%

      

Amdocs Ltd.

      

2.54%, 06/15/2030

      15,503,000        16,089,927  

Apple, Inc.

      

1.65%, 05/11/2030

      4,685,000        4,842,968  

3.85%, 05/04/2043

      2,805,000        3,491,939  

4.65%, 02/23/2046

      1,250,000        1,740,594  

Broadcom Corp. / Broadcom Cayman Finance Ltd.

      

3.50%, 01/15/2028

      685,000        741,800  

3.63%, 01/15/2024

      5,935,000        6,382,440  

3.88%, 01/15/2027

      9,150,000        10,146,099  

Broadcom, Inc.

      

3.13%, 10/15/2022

      3,000,000        3,139,404  

3.15%, 11/15/2025

      1,721,000        1,856,221  

3.46%, 09/15/2026

      21,327,000        23,366,028  

3.63%, 10/15/2024

      4,875,000        5,320,770  

4.11%, 09/15/2028

      3,068,000        3,430,830  

4.15%, 11/15/2030

      15,072,000        16,921,121  

4.30%, 11/15/2032

      23,727,000        27,050,428  

4.75%, 04/15/2029

      16,122,000        18,723,295  

5.00%, 04/15/2030

      15,567,000        18,361,129  

Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.

      

5.75%, 03/01/2025(2)

      248,000        251,100  

Citrix Systems, Inc.

      

3.30%, 03/01/2030

      400,000        426,911  

4.50%, 12/01/2027

      600,000        687,186  

Dell International LLC / EMC Corp.

      

4.42%, 06/15/2021(2)

      1,890,000        1,934,647  

4.90%, 10/01/2026(2)

      2,400,000        2,712,357  

5.30%, 10/01/2029(2)

      3,695,000        4,232,641  

5.85%, 07/15/2025(2)

      4,300,000        5,017,353  

6.02%, 06/15/2026(2)

      4,200,000        4,932,725  

6.10%, 07/15/2027(2)

      1,600,000        1,888,749  

6.20%, 07/15/2030(2)

      1,900,000        2,278,217  

Exela Intermediate LLC / Exela Finance, Inc.

      

10.00%, 07/15/2023(2)

      300,000        91,500  

Fiserv, Inc.

      

1.13%, 07/01/2027

    EUR 1,465,000        1,782,188  

3.20%, 07/01/2026

    $ 2,995,000        3,326,785  

Hewlett Packard Enterprise Co.

      

1.02% (3 Month LIBOR USD + 0.72%), 10/05/2021(1)

      2,500,000        2,500,346  

Leidos, Inc.

      

4.38%, 05/15/2030(2)

      212,000        248,099  

Microchip Technology, Inc.

      

3.92%, 06/01/2021

      1,670,000        1,706,319  

4.33%, 06/01/2023

      17,400,000        18,740,318  

Micron Technology, Inc.

      

4.19%, 02/15/2027

      3,800,000        4,316,451  

4.64%, 02/06/2024

      6,512,000        7,260,936  

4.66%, 02/15/2030

      9,500,000        11,149,925  

5.33%, 02/06/2029

      7,324,000        8,803,358  

NetApp, Inc.

      

2.70%, 06/22/2030

      3,500,000        3,621,494  

NXP BV

      

4.30%, 06/18/2029(2)

      566,000        652,719  

5.35%, 03/01/2026(2)

      1,945,000        2,299,442  

NXP BV / NXP Funding LLC

      

3.88%, 09/01/2022(2)

      6,840,000        7,228,810  

4.63%, 06/01/2023(2)

      460,000        503,687  

4.88%, 03/01/2024(2)

      5,935,000        6,673,028  

NXP BV / NXP Funding LLC / NXP USA, Inc.

      

2.70%, 05/01/2025(2)

      500,000        529,234  

3.15%, 05/01/2027(2)

      5,863,000        6,349,312  

3.40%, 05/01/2030(2)

      212,000        231,911  

Open Text Corp.

      

3.88%, 02/15/2028(2)

      445,000        450,144  

Oracle Corp.

      

2.80%, 04/01/2027

      4,565,000        5,008,361  

2.95%, 04/01/2030

      7,480,000        8,359,495  

3.60%, 04/01/2050

      14,135,000        15,760,847  

3.85%, 04/01/2060

      5,663,000        6,645,432  

4.00%, 07/15/2046

      1,909,000        2,256,340  

Seagate HDD Cayman

      

4.09%, 06/01/2029(2)

      4,079,000        4,408,642  

4.13%, 01/15/2031(2)

      3,500,000        3,774,608  

4.88%, 06/01/2027

      431,000        482,583  

5.75%, 12/01/2034

      1,022,000        1,160,394  

TSMC Global Ltd.

      

1.00%, 09/28/2027(2)

      5,575,000        5,475,605  

VMware, Inc.

      

3.90%, 08/21/2027

      160,000        178,609  

4.65%, 05/15/2027

      3,290,000        3,833,382  

4.70%, 05/15/2030

      6,036,000        7,140,953  

Western Digital Corp.

      

4.75%, 02/15/2026

      744,000        803,520  
     

 

 

  

Total Technology

 

      339,721,656  
     

 

 

  

Utilities – 2.18%

      

AEP Texas, Inc.

      

3.85%, 10/01/2025(2)

      1,500,000        1,627,004  

AEP Transmission Co. LLC

      

3.10%, 12/01/2026

      1,575,000        1,771,923  

AES Corp.

      

3.95%, 07/15/2030(2)

      2,040,000        2,254,118  

5.13%, 09/01/2027

      60,000        63,906  

5.50%, 04/15/2025

      345,000        355,719  

6.00%, 05/15/2026

      120,000        126,228  

AES Gener SA

      

7.13% (5 Year Swap Rate USD + 4.64%), 03/26/2079(1)

      4,500,000        4,598,145  

American Electric Power Co., Inc.

      

2.15%, 11/13/2020

      330,000        330,617  

American Transmission Systems, Inc.

      

5.25%, 01/15/2022(2)

      100,000        105,199  

American Water Capital Corp.

      

4.15%, 06/01/2049

      1,425,000        1,785,891  

APT Pipelines Ltd.

      

3.88%, 10/11/2022(2)

      1,360,000        1,428,204  

4.25%, 07/15/2027(2)

      11,420,000        12,905,616  

Ausgrid Finance Pty Ltd.

      

3.85%, 05/01/2023(2)

      9,410,000        9,962,455  

Black Hills Corp.

      

4.35%, 05/01/2033

      6,250,000        7,504,799  

Cleco Power LLC

      

6.00%, 12/01/2040

      1,000,000        1,318,964  

DPL, Inc.

      

4.13%, 07/01/2025(2)

      1,525,000        1,595,836  

Duke Energy Carolinas LLC

      

3.70%, 12/01/2047

      2,500,000        2,952,955  

3.88%, 03/15/2046

      2,750,000        3,320,669  

4.25%, 12/15/2041

      1,650,000        2,046,490  

Duke Energy Progress LLC

      

4.10%, 03/15/2043

      900,000        1,096,917  

4.20%, 08/15/2045

      1,000,000        1,242,287  

Duquesne Light Holdings, Inc.

      

5.90%, 12/01/2021(2)

      1,500,000        1,575,797  

Edison International

      

4.95%, 04/15/2025

      315,000        344,733  

Enel Finance International NV

      

2.75%, 04/06/2023(2)

      8,060,000        8,421,353  

3.63%, 05/25/2027(2)

      7,675,000        8,530,170  

FirstEnergy Corp.

      

1.60%, 01/15/2026

      1,385,000        1,376,068  

2.25%, 09/01/2030

      1,090,000        1,065,285  

2.85%, 07/15/2022

      2,075,000        2,126,769  

3.40%, 03/01/2050

      11,050,000        10,709,774  

3.90%, 07/15/2027

      5,035,000        5,533,137  

FirstEnergy Transmission LLC

      

4.35%, 01/15/2025(2)

      7,535,000        8,408,295  

IPALCO Enterprises, Inc.

      

4.25%, 05/01/2030(2)

      1,245,000        1,407,756  

ITC Holdings Corp.

      

3.25%, 06/30/2026

      2,000,000        2,232,541  

4.05%, 07/01/2023

      3,812,000        4,121,292  

Jersey Central Power & Light Co.

      

4.30%, 01/15/2026(2)

      1,000,000        1,142,970  

4.70%, 04/01/2024(2)

      150,000        166,414  

KeySpan Gas East Corp.

      

2.74%, 08/15/2026(2)

      4,500,000        4,947,996  

LG&E & KU Energy LLC

      

4.38%, 10/01/2021

      700,000        720,076  

Metropolitan Edison Co.

      

4.00%, 04/15/2025(2)

      4,000,000        4,434,790  

4.30%, 01/15/2029(2)

      5,000,000        5,870,711  

Mong Duong Finance Holdings BV

      

5.13%, 05/07/2029

      1,150,000        1,171,646  

NiSource, Inc.

      

0.95%, 08/15/2025

      545,000        544,319  

1.70%, 02/15/2031

      3,395,000        3,332,734  

3.60%, 05/01/2030

      3,820,000        4,349,912  

Northern States Power Co.

      

3.60%, 09/15/2047

      1,800,000        2,132,000  

4.00%, 08/15/2045

      1,000,000        1,250,530  

NRG Energy, Inc.

      

3.75%, 06/15/2024(2)

      700,000        746,918  

4.45%, 06/15/2029(2)

      7,405,000        8,167,336  

5.25%, 06/15/2029(2)

      850,000        924,375  

5.75%, 01/15/2028

      1,990,000        2,146,712  

Pacific Gas & Electric Co.

      

2.10%, 08/01/2027

      18,609,000        18,084,044  

2.50%, 02/01/2031

      6,150,000        5,855,643  

2.95%, 03/01/2026

      3,312,000        3,374,848  

3.15%, 01/01/2026

      10,609,000        10,883,891  

3.25%, 06/15/2023

      2,670,000        2,765,225  

3.30%, 03/15/2027

      2,052,000        2,090,544  

3.30%, 12/01/2027

      3,700,000        3,802,795  

3.30%, 08/01/2040

      4,970,000        4,539,279  

3.40%, 08/15/2024

      2,476,000        2,587,551  

3.45%, 07/01/2025

      7,759,500        8,118,428  

3.50%, 06/15/2025

      10,754,000        11,317,404  

3.50%, 08/01/2050

      5,748,000        5,178,108  

3.75%, 02/15/2024

      2,914,000        3,051,628  

3.75%, 07/01/2028

      18,443,500        19,157,524  

3.75%, 08/15/2042

      1,883,000        1,745,728  

3.85%, 11/15/2023

      1,559,000        1,644,864  

3.95%, 12/01/2047

      4,606,000        4,251,976  

4.00%, 12/01/2046

      3,182,000        2,978,053  

4.25%, 08/01/2023

      15,600,000        16,615,127  

4.25%, 03/15/2046

      309,000        297,836  

4.30%, 03/15/2045

      1,254,000        1,223,221  

4.45%, 04/15/2042

      1,206,000        1,204,581  

4.50%, 07/01/2040

      6,103,000        6,196,405  

4.50%, 12/15/2041

      203,000        199,472  

4.55%, 07/01/2030

      30,339,500        32,867,796  

4.60%, 06/15/2043

      1,248,000        1,251,645  

4.65%, 08/01/2028

      100,000        108,514  

4.75%, 02/15/2044

      2,811,000        2,870,222  

4.95%, 07/01/2050

      4,087,500        4,362,608  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara

      

5.45%, 05/21/2028(2)

      11,800,000        13,806,000  

PPL WEM Ltd. / Western Power Distribution Plc

      

5.38%, 05/01/2021(2)

      2,615,000        2,652,757  

Public Service Co. of New Mexico

      

3.85%, 08/01/2025

      7,000,000        7,692,636  

San Diego Gas & Electric Co.

      

3.75%, 06/01/2047

      24,000        27,583  

Sempra Energy

      

3.25%, 06/15/2027

      8,634,000        9,483,280  

3.40%, 02/01/2028

      3,037,000        3,338,396  

Southern California Edison Co.

      

3.65%, 03/01/2028

      40,000        44,014  

5.75%, 04/01/2035

      70,000        94,815  

6.00%, 01/15/2034

      20,000        26,370  

6.65%, 04/01/2029

      192,000        238,068  

Southern California Gas Co.

      

5.13%, 11/15/2040

      12,000        15,473  

Southern Co.

      

3.25%, 07/01/2026

      8,000,000        8,923,094  

Southern Co. Gas Capital Corp.

      

4.40%, 05/30/2047

      1,915,000        2,311,865  

5.88%, 03/15/2041

      1,920,000        2,641,823  

Southern Power Co.

      

0.78% (3 Month LIBOR USD + 0.55%), 12/20/2020(1)(2)

      600,000        600,069  

Southwestern Electric Power Co.

      

4.10%, 09/15/2028

      10,000,000        11,652,237  

Spire, Inc.

      

3.54%, 02/27/2024

      5,000,000        5,276,988  

State Grid Overseas Investment 2016 Ltd.

      

2.75%, 05/04/2022(2)

      404,000        414,916  

3.50%, 05/04/2027

      5,330,000        5,955,325  

3.75%, 05/02/2023(2)

      4,235,000        4,522,514  

Talen Energy Supply LLC

      

6.63%, 01/15/2028(2)

      250,000        242,187  

Tucson Electric Power Co.

      

3.05%, 03/15/2025

      3,000,000        3,271,453  

5.15%, 11/15/2021

      678,000        702,992  

Vistra Operations Co. LLC

      

3.55%, 07/15/2024(2)

      8,385,000        8,931,006  

3.70%, 01/30/2027(2)

      26,455,000        27,809,164  

4.30%, 07/15/2029(2)

      4,415,000        4,810,208  
     

 

 

  

Total Utilities

 

      460,406,544  
     

 

 

  

Total Corporate Bonds (Cost: $7,337,685,226)

         7,698,274,683  
     

 

 

  

Convertible Securities – 0.11%

      

Communications – 0.05%

      

DISH Network Corp.

      

2.38%, 03/15/2024

      7,520,000        6,767,622  

3.38%, 08/15/2026

      4,385,000        4,025,415  
     

 

 

  

Total Communications

 

      10,793,037  
     

 

 

  

Consumer, Non-cyclical – 0.04%

      

BioMarin Pharmaceutical, Inc.

      

0.60%, 08/01/2024

      3,155,000        3,310,709  

1.25%, 05/15/2027(2)

      5,715,000        5,589,220  
     

 

 

  

Total Consumer, Non-cyclical

 

      8,899,929  
     

 

 

  

Energy – 0.00%(7)

      

Chesapeake Energy Corp.

      

5.50%, 09/15/2026(6)

      3,940,000        128,444  
     

 

 

  

Total Energy

 

      128,444  
     

 

 

  

Industrials – 0.01%

      

Greenbrier Companies, Inc.

      

2.88%, 02/01/2024

      1,993,000        1,823,080  
     

 

 

  

Total Industrials

 

      1,823,080  
     

 

 

  

Utilities – 0.01%

      

NRG Energy, Inc.

      

2.75%, 06/01/2048

      1,860,000        1,926,469  
     

 

 

  

Total Utilities

 

      1,926,469  
     

 

 

  

Total Convertible Securities (Cost: $27,339,306)

         23,570,959  
     

 

 

  

Government Related – 17.09%

      

Other Government Related – 1.69%

      

Abu Dhabi Government International Bond

      

1.70%, 03/02/2031(2)

      4,295,000        4,248,674  

2.50%, 09/30/2029

      1,891,000        2,020,412  

2.70%, 09/02/2070(2)

      6,469,000        6,250,671  

3.13%, 10/11/2027(2)

      1,200,000        1,333,505  

3.88%, 04/16/2050

      200,000        244,000  

3.88%, 04/16/2050(2)

      5,400,000        6,588,000  

Africa Finance Corp.

      

3.88%, 04/13/2024(2)

      1,085,000        1,144,762  

Argentina Bocon

      

29.41% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(1)

    ARS 3,900,000        65,224  

Argentina Treasury Bond BONCER

      

1.00%, 08/05/2021

      8,690,000        135,978  

1.50%, 03/25/2024

      9,677,000        130,018  

Argentine Bonos del Tesoro

      

15.50%, 10/17/2026

      110,804,000        721,457  

Argentine Republic Government International Bond

      

0.13%, 07/09/2030(4)

    $ 29,002,672        12,094,114  

0.13%, 07/09/2035(4)

      4,446,707        1,669,783  

0.13%, 01/09/2038(4)

      261,019        112,108  

0.13%, 07/09/2041(4)

      8,908,204        3,536,557  

0.13%, 07/09/2046(4)

      114,993        44,215  

1.00%, 07/09/2029

      1,108,815        505,076  

Autonomous Community of Catalonia

      

4.90%, 09/15/2021

    EUR 50,000        61,175  

Bonos del Tesoro Nacional en Pesos Badlar

      

31.64% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022(1)

    ARS 219,181,000        3,049,875  

City of New York NY

      

3.55%, 12/01/2028

    $ 3,645,000        4,143,417  

Ciudad Autonoma de Buenos Aires/Government Bonds

      

32.86% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/29/2024(1)

    ARS 314,346,000        3,724,161  

33.40% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 02/22/2028(1)

      401,380,000        4,742,109  

34.63% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 5.00%), 01/23/2022(1)

      566,081,000        7,936,392  

Colombia Government International Bond

      

3.00%, 01/30/2030

    $ 1,400,000        1,422,400  

3.88%, 04/25/2027

      364,000        392,578  

4.50%, 01/28/2026

      525,000        580,781  

5.00%, 06/15/2045

      874,000        1,018,210  

5.20%, 05/15/2049

      700,000        839,916  

Commonwealth of Massachusetts

      

3.00%, 03/01/2049

      10,015,000        10,695,619  

Commonwealth of Puerto Rico

      

4.13%, 07/01/2022(6)

      100,000        62,000  

5.00%, 07/01/2021(6)

      240,000        157,200  

5.00%, 07/01/2028(6)

      20,000        14,225  

5.00%, 07/01/2041(6)

      395,000        248,850  

5.13%, 07/01/2028(6)

      30,000        21,263  

5.13%, 07/01/2031(6)

      2,590,000        1,848,612  

5.13%, 07/01/2037(6)

      190,000        123,025  

5.25%, 07/01/2026(6)

      200,000        143,250  

5.25%, 07/01/2037(6)

      100,000        71,625  

5.38%, 07/01/2030(6)

      165,000        111,581  

5.50%, 07/01/2032(6)

      1,610,000        1,137,063  

5.50%, 07/01/2039(6)

      520,000        344,500  

5.70%, 07/01/2023(6)

      170,000        115,600  

5.75%, 07/01/2038(6)

      80,000        56,200  

5.75%, 07/01/2041(6)

      100,000        67,875  

6.00%, 07/01/2038(6)

      610,000        438,438  

6.00%, 07/01/2039(6)

      55,000        38,775  

6.50%, 07/01/2040(6)

      30,000        20,250  

8.00%, 07/01/2035(6)

      800,000        508,000  

Croatia Government International Bond

      

6.00%, 01/26/2024

      1,253,000        1,450,097  

Dominican Republic International Bond

      

4.50%, 01/30/2030(2)

      300,000        294,750  

5.50%, 01/27/2025

      1,250,000        1,329,688  

6.00%, 07/19/2028

      1,665,000        1,789,892  

Egypt Government International Bond

      

5.58%, 02/21/2023(2)

      400,000        410,508  

7.60%, 03/01/2029(2)

      250,000        256,095  

Export Credit Bank of Turkey

      

8.25%, 01/24/2024(2)

      1,000,000        1,016,032  

Export-Import Bank of India

      

1.25% (3 Month LIBOR USD + 1.02%), 03/28/2022(1)(14)

      9,600,000        9,588,480  

Guatemala Government Bond

      

5.38%, 04/24/2032(2)

      600,000        688,200  

6.13%, 06/01/2050(2)

      800,000        954,000  

Hazine Mustesarligi Varlik Kiralama AS

      

5.80%, 02/21/2022(2)

      7,960,000        7,919,404  

Health & Educational Facilities Authority of the State of Missouri

      

3.65%, 08/15/2057

      2,735,000        3,373,185  

Hungary Government International Bond

      

5.38%, 03/25/2024

      1,596,000        1,828,537  

Indonesia Government International Bond

      

2.85%, 02/14/2030

      1,200,000        1,260,188  

4.20%, 10/15/2050

      200,000        230,991  

Korea National Oil Corp.

      

1.63%, 10/05/2030(2)

      4,180,000        4,118,750  

Korea South-East Power Co. Ltd.

      

1.00%, 02/03/2026

      1,260,000        1,260,009  

Los Angeles Department of Water

      

6.01%, 07/01/2039

      675,000        944,568  

Metropolitan Transportation Authority

      

5.18%, 11/15/2049

      2,720,000        2,969,723  

Mexico Government International Bond

      

3.25%, 04/16/2030

      3,731,000        3,807,523  

3.75%, 01/11/2028

      726,000        780,544  

3.90%, 04/27/2025

      900,000        983,700  

4.50%, 04/22/2029

      773,000        865,374  

4.60%, 01/23/2046

      713,000        764,172  

4.75%, 04/27/2032

      2,400,000        2,712,000  

4.75%, 03/08/2044

      1,000,000        1,091,000  

5.00%, 04/27/2051

      2,400,000        2,678,400  

New York City Transitional Finance Authority Future Tax Secured Revenue

      

2.80%, 02/01/2026

      1,850,000        2,018,720  

3.95%, 08/01/2032

      1,900,000        2,170,123  

5.27%, 05/01/2027

      3,500,000        4,237,695  

New York City Water & Sewer System

      

5.75%, 06/15/2041

      240,000        370,440  

New York State Dormitory Authority

      

4.00%, 07/01/2050

      1,855,000        2,070,922  

5.05%, 09/15/2027

      1,800,000        2,187,792  

Panama Government International Bond

      

3.16%, 01/23/2030

      5,109,000        5,556,037  

3.88%, 03/17/2028

      600,000        679,500  

Paraguay Government International Bond

      

4.70%, 03/27/2027

      1,380,000        1,564,244  

4.95%, 04/28/2031(2)

      932,000        1,073,198  

Peru Government Bond

      

5.94%, 02/12/2029

    PEN 21,282,000        6,928,201  

6.15%, 08/12/2032

      17,826,000        5,675,514  

6.95%, 08/12/2031

      5,192,000        1,763,604  

Perusahaan Penerbit SBSN Indonesia III

      

2.30%, 06/23/2025(2)

    $ 4,200,000        4,364,010  

2.80%, 06/23/2030(2)

      4,800,000        4,943,040  

3.80%, 06/23/2050(2)

      3,100,000        3,311,265  

Peruvian Government International Bond

      

2.39%, 01/23/2026

      758,000        794,005  

2.78%, 01/23/2031

      1,503,000        1,625,510  

2.84%, 06/20/2030

      1,270,000        1,381,125  

4.13%, 08/25/2027

      2,141,000        2,496,941  

5.94%, 02/12/2029

    PEN 11,140,000        3,619,223  

5.94%, 02/12/2029(2)

      11,637,000        3,788,341  

6.15%, 08/12/2032(2)

      2,151,000        690,199  

6.35%, 08/12/2028(2)

      12,544,000        4,202,624  

6.90%, 08/12/2037(2)

      879,000        290,700  

6.95%, 08/12/2031

      1,183,000        401,838  

6.95%, 08/12/2031(2)

      11,230,000        3,814,575  

8.20%, 08/12/2026(2)

      15,908,000        5,863,325  

Province of Quebec Canada

      

0.60%, 07/23/2025

    $ 7,535,000        7,546,909  

Provincia de Buenos Aires/Government Bonds

      

33.38% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 04/12/2025(1)(2)

    ARS 1,284,476,000        15,192,319  

33.48% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.83%), 05/31/2022(1)

      52,056,000        621,850  

Puerto Rico Electric Power Authority

      

6.05%, 07/01/2032(6)

    $ 100,000        70,875  

Qatar Government International Bond

      

3.88%, 04/23/2023

      700,000        751,100  

4.50%, 04/23/2028

      2,059,000        2,460,505  

4.63%, 06/02/2046

      1,257,000        1,648,480  

5.10%, 04/23/2048

      600,000        833,508  

Regents of the University of California Medical Center Pooled Revenue

      

3.01%, 05/15/2050

      1,395,000        1,507,590  

3.26%, 05/15/2060

      15,790,000        17,222,469  

Republic of South Africa Government International Bond

      

4.30%, 10/12/2028

      3,234,000        3,012,277  

4.85%, 09/30/2029

      7,600,000        7,241,310  

4.88%, 04/14/2026

      700,000        706,975  

5.75%, 09/30/2049

      5,200,000        4,402,736  

Russian Foreign Bond - Eurobond

      

4.25%, 06/23/2027

      400,000        450,240  

4.38%, 03/21/2029

      1,200,000        1,376,827  

4.75%, 05/27/2026

      600,000        687,606  

San Francisco City & County Airport Comm-San Francisco International Airport

      

5.00%, 05/01/2037

      1,220,000        1,511,055  

5.00%, 05/01/2044

      1,460,000        1,741,430  

Saudi Government International Bond

      

2.75%, 02/03/2032(2)

      300,000        312,024  

3.25%, 10/22/2030

      700,000        760,186  

3.63%, 03/04/2028

      2,500,000        2,769,400  

3.75%, 01/21/2055(2)

      200,000        216,440  

4.00%, 04/17/2025

      16,200,000        17,998,200  

4.50%, 10/26/2046

      750,000        900,090  

4.63%, 10/04/2047

      800,000        977,840  

5.00%, 04/17/2049

      1,400,000        1,810,060  

Serbia International Bond

      

3.13%, 05/15/2027(2)

    EUR 1,998,000        2,501,380  

State of California

      

7.95%, 03/01/2036

    $ 429        398  

State of Illinois

      

5.10%, 06/01/2033

      225,000        227,383  

6.73%, 04/01/2035

      70,000        77,559  

7.35%, 07/01/2035

      55,000        62,312  

State of Israel

      

3.80%, 05/13/2060

      3,300,000        3,927,000  

Texas Public Finance Authority

      

8.25%, 07/01/2024

      3,300,000        3,312,639  

Turkey Government International Bond

      

4.63%, 03/31/2025

    EUR 6,300,000        7,183,899  

5.63%, 03/30/2021

    $ 800,000        803,016  

5.75%, 03/22/2024

      600,000        588,780  

5.75%, 05/11/2047

      2,800,000        2,213,960  

6.35%, 08/10/2024

      1,782,000        1,775,246  

7.25%, 12/23/2023

      4,000,000        4,119,840  

7.63%, 04/26/2029

      11,900,000        12,245,695  

Uruguay Government International Bond

      

4.38%, 10/27/2027

      2,000,000        2,310,000  

4.38%, 01/23/2031

      1,100,000        1,307,625  

Venezuela Government International Bond

      

6.00%, 12/09/2020(6)

      30,000        2,250  

7.00%, 03/31/2038(6)

      187,000        14,025  

7.65%, 04/21/2025(6)

      534,000        40,050  

7.75%, 04/13/2022(6)

      100,000        7,500  

8.25%, 10/13/2024(6)

      7,294,000        547,050  

9.00%, 05/07/2023(6)

      110,000        8,250  

9.00%, 05/07/2023(6)

      7,405,000        555,375  

9.25%, 09/15/2027(6)

      1,049,000        78,675  

9.25%, 05/07/2028(6)

      420,000        31,500  

11.75%, 10/21/2026(6)

      120,000        9,000  

11.95%, 08/05/2031(6)

      3,200,000        240,000  
     

 

 

  

Total Other Government Related

 

      357,148,748  
     

 

 

  

U.S. Treasury Obligations – 15.40%

      

U.S. Treasury Inflation Indexed Bonds

      

0.13%, 04/15/2025(8)

      14,325,272        15,242,797  

0.13%, 07/15/2030(8)

      31,723,813        35,246,066  

0.25%, 07/15/2029(8)(9)

      44,366,334        49,600,175  

0.25%, 02/15/2050(8)

      23,364,835        27,480,149  

0.75%, 02/15/2042(8)

      573,330        719,544  

0.75%, 02/15/2045(8)

      220,060        279,387  

0.88%, 02/15/2047(8)

      1,824,712        2,419,906  

1.00%, 02/15/2046(8)

      437,404        588,382  

1.00%, 02/15/2048(8)

      2,521,704        3,466,949  

1.00%, 02/15/2049(8)

      1,750,439        2,434,181  

1.38%, 02/15/2044(8)

      111,174        157,695  

2.13%, 02/15/2040(8)

      239,754        366,649  

U.S. Treasury Note/Bond

      

0.13%, 04/30/2022

      140,350,000        140,333,552  

0.13%, 05/31/2022

      57,150,000        57,136,605  

0.13%, 07/31/2022

      58,815,000        58,803,513  

0.13%, 08/31/2022

      319,905,000        319,817,525  

0.13%, 09/30/2022

      363,345,000        363,302,420  

0.25%, 05/31/2025

      17,200,000        17,197,313  

0.25%, 06/30/2025

      85,400,000        85,346,625  

0.25%, 08/31/2025

      122,735,000        122,610,348  

0.25%, 09/30/2025

      139,825,000        139,639,296  

0.38%, 03/31/2022

      83,370,000        83,650,072  

0.38%, 09/30/2027

      85,075,000        84,503,402  

0.63%, 08/15/2030

      235,233,000        233,873,059  

1.25%, 05/15/2050

      112,370,000        106,488,133  

1.38%, 08/15/2050

      224,755,000        219,908,720  

1.50%, 11/30/2021

      43,085,000        43,754,837  

1.50%, 09/15/2022(9)

      34,990,000        35,920,789  

1.50%, 01/15/2023(9)

      229,835,000        236,927,566  

1.63%, 11/15/2022

      205,170,000        211,589,577  

1.63%, 12/15/2022

      44,950,000        46,419,654  

2.00%, 02/15/2050

      29,775,000        33,678,316  

2.25%, 08/15/2049

      116,300,000        138,301,598  

2.38%, 11/15/2049

      53,640,000        65,488,992  

2.50%, 02/15/2045

      49,400,000        60,798,664  

2.75%, 11/15/2047

      250,000        324,873  

3.00%, 05/15/2045

      30,000,000        40,164,844  

3.00%, 02/15/2048

      15,800,000        21,471,336  

3.00%, 08/15/2048(9)

      10,405,000        14,181,283  

3.00%, 02/15/2049

      82,878,400        113,290,888  

3.13%, 05/15/2048(9)

      12,780,000        17,767,195  
     

 

 

  

Total U.S. Treasury Obligations

 

      3,250,692,875  
     

 

 

  

Total Government Related (Cost: $3,488,756,814)

         3,607,841,623  
     

 

 

  

Mortgage-Backed Obligations – 29.01%

      

280 Park Avenue 2017-280P Mortgage Trust

      

1.03% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034(1)(2)

      1,315,633        1,313,160  

Alternative Loan Trust 2003-22CB

      

5.75%, 12/25/2033

      531,947        553,151  

6.00%, 12/25/2033

      167,220        172,128  

Alternative Loan Trust 2004-16CB

      

5.50%, 07/25/2034

      352,061        363,638  

5.50%, 08/25/2034

      379,867        392,722  

Alternative Loan Trust 2005-56

      

0.88% (1 Month LIBOR USD + 0.73%, 0.73% Floor), 11/25/2035(1)

      4,724,395        4,644,129  

Alternative Loan Trust 2005-74T1

      

6.00%, 01/25/2036

      10,496,162        8,253,787  

Alternative Loan Trust 2006-HY12

      

3.23%, 08/25/2036(5)

      247,419        255,649  

Alternative Loan Trust 2006-OA17

      

0.35% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046(1)

      15,579,201        12,857,475  

Alternative Loan Trust 2006-OA22

      

0.36% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/25/2047(1)

      14,291,259        12,705,070  

Alternative Loan Trust 2006-OA3

      

0.35% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2036(1)

      5,745,552        4,840,813  

Alternative Loan Trust 2006-OA7

      

1.96% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046(1)

      11,120,304        9,547,978  

Alternative Loan Trust 2006-OC5

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 06/25/2046(1)

      8,092,566        7,136,533  

Alternative Loan Trust 2007-HY7C

      

0.29% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2037(1)

      2,842,838        2,676,048  

Alternative Loan Trust 2007-OA2

      

0.28% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047(1)

      12,156,889        9,827,624  

1.86% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047(1)

      26,405,036        22,022,291  

Alternative Loan Trust 2007-OA4

      

0.32% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 05/25/2047(1)

      1,935,126        1,764,659  

Angel Oak Mortgage Trust 2019-3

      

3.24%, 05/25/2059(2)(5)

      3,288,448        3,325,454  

Angel Oak Mortgage Trust I LLC 2019-1

      

3.92%, 11/25/2048(2)(5)

      5,057,683        5,167,464  

4.02%, 11/25/2048(2)(5)

      1,136,819        1,160,379  

Angel Oak Mortgage Trust I LLC 2019-2

      

3.63%, 03/25/2049(2)(5)

      1,993,058        2,037,495  

3.78%, 03/25/2049(2)(5)

      2,167,842        2,212,377  

4.07%, 03/25/2049(2)(5)

      3,460,000        3,577,760  

Angel Oak Mortgage Trust LLC

      

1.69%, 04/25/2065(2)(5)

      5,065,964        5,095,469  

Angel Oak Mortgage Trust LLC 2020-5

      

2.04%, 05/25/2065(2)(5)

      2,795,000        2,796,463  

2.97%, 05/25/2065(2)(5)

      2,480,000        2,492,760  

Ashford Hospitality Trust 2018-ASHF

      

1.05% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/15/2035(1)(2)

      1,061,043        1,011,014  

1.40% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/15/2035(1)(2)

      1,530,000        1,426,381  

1.55% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 04/15/2035(1)(2)

      715,000        645,555  

Atrium Hotel Portfolio Trust 2017-ATRM

      

1.08% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 12/15/2036(1)(2)

      3,120,000        2,994,824  

1.65% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 12/15/2036(1)(2)

      1,095,000        1,015,102  

Austin Fairmont Hotel Trust 2019-FAIR

      

1.40% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 09/15/2032(1)(2)

      2,155,000        2,040,706  

1.60% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 09/15/2032(1)(2)

      5,500,000        5,149,319  

Aventura Mall Trust

      

4.25%, 07/05/2040(2)(5)

      5,325,000        5,663,138  

BAMLL Commercial Mortgage Securities Trust 2018-PARK

      

4.23%, 08/10/2038(2)(5)

      6,575,000        7,720,520  

BAMLL Re-REMIC Trust 2016-RRLD11

      

6.01%, 06/17/2050(2)(5)

      100,000        47,000  

6.01%, 06/17/2050(2)(5)

      231,753        231,782  

Banc of America Commercial Mortgage Trust 2007-5

      

6.02%, 02/10/2051(5)

      5,899,605        6,241,777  

Banc of America Funding 2015-R7 Trust

      

2.24% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046(1)(2)

      1,055,758        1,059,204  

Banc of America Funding 2015-R8 Trust

      

2.16%, 11/26/2046(2)(5)

      1,450,324        1,466,288  

Banc of America Funding 2015-R9 Trust

      

0.35% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/26/2037(1)(2)

      12,762,160        12,359,145  

Bank 2019-BNK21

      

3.52%, 10/17/2052

      1,960,000        1,890,066  

Bank 2019-BNK22

      

2.50%, 11/15/2062(2)

      3,945,000        3,059,214  

Bank 2020-BNK25

      

2.84%, 01/15/2063

      1,890,000        2,040,870  

BBCCRE Trust 2015-GTP

      

4.70%, 08/10/2033(2)(5)

      2,715,000        2,750,640  

BBCMS 2019-BWAY Mortgage Trust

      

2.31% (1 Month LIBOR USD + 2.16%, 2.16% Floor), 11/25/2034(1)(2)

      2,025,000        1,873,748  

BBCMS Trust 2018-CBM

      

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/15/2037(1)(2)

      2,305,000        2,201,803  

BCAP LLC 2014-RR2

      

0.41% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/26/2036(1)(2)

      16,382,834        15,569,849  

Bear Stearns ALT-A Trust 2005-1

      

1.27% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 11.50% Cap), 01/25/2035(1)

      6,131,301        5,979,124  

Bear Stearns ARM Trust 2003-3

      

4.08%, 05/25/2033(5)

      500,555        491,959  

Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24

      

5.66%, 10/12/2041(2)(5)

      8,610,885        8,795,158  

Benchmark 2018-B1 Mortgage Trust

      

3.88%, 01/15/2051(5)

      3,095,000        3,524,511  

Benchmark 2019-B13 Mortgage Trust

      

2.70%, 08/15/2057

      7,750,000        8,469,946  

3.18%, 08/15/2057

      2,902,000        3,201,267  

Benchmark 2020-B16 Mortgage Trust

      

3.66%, 02/15/2053(5)

      3,051,000        3,019,945  

BFLD 2019-DPLO

      

1.69% (1 Month LIBOR USD + 1.54%, 1.54% Floor), 10/15/2034(1)(2)

      4,650,000        4,288,487  

Braemar Hotels & Resorts Trust 2018-Prime

      

1.20% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 06/15/2035(1)(2)

      3,000,000        2,790,631  

Brass NO 8 Plc

      

0.98% (3 Month LIBOR USD + 0.70%), 11/16/2066(1)(2)

      2,370,760        2,326,206  

BX Commercial Mortgage Trust 2019-IMC

      

1.45% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 04/15/2034(1)(2)

      4,870,000        4,591,536  

2.30% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 04/15/2034(1)(2)

      4,215,000        3,743,336  

BX Trust 2018-GW

      

0.95% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/15/2035(1)(2)

      2,485,000        2,397,742  

BX Trust 2019-OC11

      

3.20%, 12/09/2041(2)

      2,755,000        2,914,331  

BXP Trust 2017-GM

      

3.38%, 06/13/2039(2)

      3,800,000        4,226,842  

CALI Mortgage Trust 2019-101C

      

3.96%, 03/10/2039(2)

      5,010,000        5,862,455  

Cantor Commercial Real Estate Lending 2019-CF1

      

4.35%, 05/15/2052(5)

      3,220,000        3,492,694  

Cantor Commercial Real Estate Lending 2019-CF2

      

2.50%, 11/15/2052(2)

      7,935,000        6,614,428  

3.27%, 11/15/2052(5)

      2,780,000        2,894,502  

CD 2018-CD7 Mortgage Trust

      

5.01%, 08/15/2051(5)

      8,190,000        8,772,196  

Century Plaza Towers 2019-CPT

      

2.87%, 11/13/2039(2)

      5,185,000        5,643,970  

CHL Mortgage Pass-Through Trust Resecuritization 2008-3R

      

6.00%, 08/25/2037(2)

      6,467,597        5,190,736  

CIM Trust 2017-8

      

4.00%, 12/25/2065(2)(5)

      27,000,000        27,394,983  

CIM Trust 2018-R4

      

4.07%, 12/26/2057(2)(5)

      15,947,930        16,468,327  

CIM Trust 2018-R5

      

3.75%, 07/25/2058(2)(5)

      11,774,210        11,975,307  

CIM Trust 2018-R6

      

1.23% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058(1)(2)

      14,518,171        14,336,163  

CIM Trust 2019-R3

      

2.63%, 06/25/2058(2)(5)

      21,260,249        20,748,961  

CIM Trust 2019-R4

      

3.00%, 10/25/2059(2)(5)

      24,859,441        23,154,347  

CIM Trust 2020-R1

      

2.85%, 10/27/2059(2)(5)

      29,601,682        25,725,354  

Citigroup Commercial Mortgage Trust 2013-375P

      

3.63%, 05/10/2035(2)(5)

      3,120,000        3,098,149  

Citigroup Commercial Mortgage Trust 2015-GC27

      

2.69%, 02/10/2048

      91,997        91,975  

3.57%, 02/10/2048

      430,000        462,824  

Citigroup Commercial Mortgage Trust 2015-GC33

      

4.11%, 09/10/2058

      1,350,000        1,500,432  

Citigroup Commercial Mortgage Trust 2016-P3

      

3.06%, 04/15/2049

      1,225,000        1,327,989  

Citigroup Commercial Mortgage Trust 2017-P7

      

3.92%, 04/14/2050

      2,140,000        2,433,164  

Citigroup Commercial Mortgage Trust 2018-B2

      

4.83%, 03/10/2051(5)

      1,195,000        1,167,255  

Citigroup Commercial Mortgage Trust 2020-555

      

2.83%, 12/10/2041(2)

      2,150,000        2,162,941  

3.03%, 12/10/2041(2)

      1,530,000        1,509,403  

Citigroup Mortgage Loan Trust 2018-A

      

4.00%, 01/25/2068(2)(5)

      1,425,403        1,431,755  

Citigroup Mortgage Loan Trust 2018-C

      

4.13%, 03/25/2059(2)(4)

      4,245,470        4,315,895  

Citigroup Mortgage Loan Trust 2019-B

      

3.26%, 04/25/2066(2)(5)

      3,176,018        3,211,482  

Citigroup Mortgage Loan Trust 2019-RP1

      

3.50%, 01/25/2066(2)(5)

      3,120,432        3,334,391  

Clavis Securities Plc

      

0.23% (3 Month LIBOR GBP + 0.17%), 12/15/2032(1)

    GBP  984,169        1,222,358  

COLT 2018-4 Mortgage Loan Trust

      

4.01%, 12/28/2048(2)(5)

    $ 1,556,819        1,577,181  

4.11%, 12/28/2048(2)(5)

      1,291,601        1,308,657  

COLT 2019-1 Mortgage Loan Trust

      

3.71%, 03/25/2049(2)(5)

      4,167,986        4,202,715  

COLT 2019-2 Mortgage Loan Trust

      

3.34%, 05/25/2049(2)(5)

      3,377,917        3,408,835  

3.54%, 05/25/2049(2)(5)

      2,318,340        2,339,362  

COLT 2019-3 Mortgage Loan Trust

      

2.76%, 08/25/2049(2)(5)

      1,882,758        1,904,096  

COLT 2020-3 Mortgage Loan Trust

      

1.51%, 04/27/2065(2)(5)

      3,079,460        3,094,965  

COMM 2014-CCRE20 Mortgage Trust

      

3.94%, 11/10/2047

      1,115,000        1,211,805  

COMM 2014-CR14 Mortgage Trust

      

4.77%, 02/10/2047(5)

      6,770,000        6,876,283  

COMM 2014-UBS2 Mortgage Trust

      

5.13%, 03/10/2047(5)

      800,000        786,357  

COMM 2015-CCRE24 Mortgage Trust

      

3.70%, 08/10/2048

      1,990,000        2,226,315  

COMM 2015-DC1 Mortgage Trust

      

3.72%, 02/10/2048

      2,495,000        2,697,865  

COMM 2015-PC1 Mortgage Trust

      

3.90%, 07/10/2050

      515,000        572,179  

4.58%, 07/10/2050(5)

      440,000        467,673  

COMM 2017-COR2 Mortgage Trust

      

3.51%, 09/10/2050

      3,110,000        3,477,819  

COMM 2017-PANW Mortgage Trust

      

3.53%, 10/10/2029(2)(5)

      1,285,000        1,352,480  

COMM 2020-CBM Mortgage Trust

      

3.40%, 02/10/2037(2)

      5,150,000        5,017,362  

Connecticut Avenue Securities Trust 2020-R02

      

0.90% (1 Month LIBOR USD + 0.75%), 01/25/2040(1)(2)

      2,044,932        2,039,738  

Credit Suisse Mortgage Capital Certificates 19-RPL4

      

3.51%, 08/26/2058(2)

      689,994        694,532  

Credit Suisse Mortgage Capital Certificates 2019-ICE4

      

1.75% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 05/15/2036(1)(2)

      5,465,000        5,410,142  

2.30% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 05/15/2036(1)(2)

      2,375,000        2,342,222  

Csail 2015-C2 Commercial Mortgage Trust

      

3.85%, 06/15/2057(5)

      8,560,000        9,013,522  

CSAIL 2016-C6 Commercial Mortgage Trust

      

3.09%, 01/15/2049

      840,000        914,361  

CSAIL 2016-C7 Commercial Mortgage Trust

      

3.96%, 11/15/2049(5)

      6,160,000        6,915,057  

CSAIL 2019-C17 Commercial Mortgage Trust

      

2.76%, 09/15/2052

      6,050,000        6,577,889  

3.28%, 09/15/2052

      2,625,000        2,888,046  

3.48%, 09/15/2052

      3,015,000        3,165,907  

CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27

      

5.75%, 11/25/2033

      102,318        107,697  

CSMC 2014-USA OA LLC

      

4.37%, 09/15/2037(2)

      6,175,000        4,694,601  

CSMC 2018-RPL2 Trust

      

4.31%, 08/25/2062(2)(4)

      2,385,067        2,403,324  

CSMC 2018-RPL7 Trust

      

4.00%, 08/26/2058(2)

      1,546,752        1,570,809  

CSMC 2020-NET

      

2.26%, 08/15/2037(2)

      2,800,000        2,887,000  

3.53%, 08/15/2037(2)

      4,405,000        4,551,715  

CSMC 2020-RPL3 Trust

      

2.69%, 03/25/2060(2)(5)

      12,400,000        12,399,616  

CSMC Trust 2013-5R

      

0.68% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036(1)(2)

      4,898,010        4,953,539  

DBCG 2017-BBG Mortgage Trust

      

0.85% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034(1)(2)

      2,645,000        2,628,440  

DBJPM 17-C6 Mortgage Trust

      

3.79%, 06/10/2050(5)

      2,750,000        2,911,776  

DBUBS 2017-BRBK Mortgage Trust

      

3.65%, 10/10/2034(2)(5)

      2,540,000        2,620,730  

DC Office Trust 2019-MTC

      

2.97%, 09/15/2045(2)

      5,545,000        6,103,647  

3.17%, 09/15/2045(2)(5)

      4,450,000        4,353,892  

Deephaven Residential Mortgage Trust 2018-1

      

2.98%, 12/25/2057(2)(5)

      210,366        211,656  

Deephaven Residential Mortgage Trust 2018-2

      

3.48%, 04/25/2058(2)(5)

      1,335,193        1,360,266  

Deephaven Residential Mortgage Trust 2019-1

      

3.74%, 01/25/2059(2)(5)

      1,852,587        1,871,641  

Deephaven Residential Mortgage Trust 2019-2

      

3.56%, 04/25/2059(2)(5)

      2,460,642        2,489,225  

Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-2

      

0.55% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035(1)

      4,627,313        4,030,383  

Durham Mortgages Plc

      

0.62% (3 Month LIBOR GBP + 0.55%), 03/31/2053(1)

    GBP  23,529,077        30,286,785  

0.67% (3 Month LIBOR GBP + 0.60%), 03/31/2054(1)

      20,011,332        25,695,328  

Eleven Madison Trust 2015-11MD Mortgage Trust

      

3.67%, 09/10/2035(2)(5)

    $ 3,110,000        3,389,931  

Ellington Financial Mortgage Trust 2019-2

      

2.74%, 11/25/2059(2)(5)

      4,964,493        5,059,312  

EOS European Loan Conduit No 35 DAC

      

1.00% (3 Month EURIBOR + 1.00%, 1.00% Floor, 6.00% Cap), 04/23/2029(1)(2)

    EUR 780,523        908,835  

Eurosail-UK 2007-5np Plc

      

0.83% (3 Month LIBOR GBP + 0.77%), 09/13/2045(1)

    GBP 9,633,470        11,571,584  

Eurosail-UK 2007-6nc Plc

      

0.76% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045(1)

      241,830        299,527  

Fannie Mae

      

1.50%, 10/01/2035(10)

    $ 27,975,000        28,615,365  

2.00%, 10/01/2035(10)

      90,200,000        93,723,438  

2.00%, 10/01/2050(10)

      512,440,000        529,734,850  

2.00%, 12/01/2050(10)

      916,000,000        942,948,729  

2.50%, 10/01/2050(10)

      161,800,000        169,700,390  

2.50%, 11/01/2050(10)

      89,375,000        93,546,105  

3.00%, 10/01/2050(10)

      17,355,000        18,180,040  

3.50%, 10/01/2035(10)

      6,180,000        6,535,229  

4.00%, 10/01/2050(10)

      3,280,000        3,497,813  

4.50%, 10/01/2050(10)

      9,890,000        10,698,585  

Fannie Mae Connecticut Avenue Securities

      

1.00% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 07/25/2030(1)

      5,951,759        5,848,799  

1.05% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 08/25/2030(1)

      2,986,692        2,899,676  

1.15% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 02/25/2030(1)

      3,723,302        3,664,989  

1.25% (1 Month LIBOR USD + 1.10%), 11/25/2029(1)

      6,972,997        6,892,753  

1.50% (1 Month LIBOR USD + 1.35%), 09/25/2029(1)

      6,117,752        6,059,977  

3.70% (1 Month LIBOR USD + 3.55%), 07/25/2029(1)

      2,320,362        2,386,973  

4.70% (1 Month LIBOR USD + 4.55%), 02/25/2025(1)

      437,418        441,810  

Fannie Mae Pool

      

2.00%, 10/01/2040

      8,750,000        9,050,472  

2.00%, 10/01/2040

      25,910,000        26,799,740  

2.00%, 08/01/2050

      11,479,806        11,869,482  

2.46%, 04/01/2040

      8,775,000        9,313,527  

2.50%, 07/01/2030

      483,547        514,422  

2.50%, 07/01/2030

      636,008        676,028  

2.50%, 08/01/2030

      1,168,924        1,243,466  

2.50%, 11/01/2031

      1,605,711        1,714,135  

2.50%, 01/01/2032

      1,872,945        1,959,049  

2.50%, 08/01/2035

      6,627,479        6,940,533  

3.00%, 10/01/2028

      282,864        297,152  

3.00%, 02/01/2030

      8,378,686        8,785,373  

3.00%, 03/01/2030

      8,623,198        9,041,752  

3.00%, 05/01/2030

      157,250        165,347  

3.00%, 09/01/2030

      1,716,653        1,838,321  

3.00%, 12/01/2030

      736,368        774,218  

3.00%, 09/01/2031

      595,773        625,412  

3.00%, 06/01/2032

      1,327,004        1,391,780  

3.00%, 09/01/2032

      2,686,702        2,821,433  

3.00%, 06/01/2033

      9,453        9,914  

3.00%, 10/01/2033

      1,824,175        1,933,648  

3.00%, 11/01/2033

      1,154,744        1,242,909  

3.00%, 02/01/2034

      4,410,276        4,633,359  

3.00%, 12/01/2034

      4,991,512        5,424,602  

3.00%, 01/01/2035

      1,610,119        1,734,019  

3.00%, 01/01/2035

      3,517,702        3,788,304  

3.00%, 02/01/2035

      2,666,540        2,897,921  

3.00%, 11/01/2036

      208,671        224,908  

3.00%, 11/01/2036

      1,406,089        1,501,804  

3.00%, 11/01/2036

      1,644,504        1,770,541  

3.00%, 12/01/2036

      242,855        261,752  

3.00%, 12/01/2036

      1,848,480        1,974,315  

3.00%, 10/01/2037

      32,841        34,387  

3.00%, 03/01/2038

      2,489,611        2,612,608  

3.00%, 04/01/2040

      4,204,161        4,532,814  

3.00%, 04/01/2040

      4,607,409        4,945,045  

3.00%, 04/01/2040

      5,333,054        5,697,776  

3.00%, 01/01/2043

      2,275,543        2,424,337  

3.00%, 02/01/2043

      3,442,104        3,667,004  

3.00%, 04/01/2043

      2,341,779        2,512,143  

3.00%, 05/01/2043

      1,101,027        1,169,875  

3.00%, 06/01/2043

      2,751,750        2,931,264  

3.00%, 07/01/2043

      279,224        298,305  

3.00%, 08/01/2043

      141,054        148,489  

3.00%, 08/01/2043

      7,069,378        7,582,557  

3.00%, 09/01/2043

      1,152,402        1,255,299  

3.00%, 02/01/2044

      36,782        38,719  

3.00%, 05/01/2045

      537,886        573,076  

3.00%, 05/01/2045

      1,108,652        1,188,382  

3.00%, 07/01/2045

      5,103,163        5,537,871  

3.00%, 05/01/2046

      9,921,369        10,425,533  

3.00%, 06/01/2046

      339,111        363,582  

3.00%, 07/01/2046

      2,111,070        2,217,182  

3.00%, 08/01/2046

      107,902        113,571  

3.00%, 11/01/2046

      470,531        507,790  

3.00%, 11/01/2046

      509,059        535,106  

3.00%, 11/01/2046

      779,598        836,021  

3.00%, 11/01/2046

      1,594,840        1,678,826  

3.00%, 11/01/2046

      1,721,572        1,836,349  

3.00%, 11/01/2046

      1,762,897        1,885,133  

3.00%, 11/01/2046

      1,906,725        2,044,922  

3.00%, 11/01/2046

      4,515,868        4,815,912  

3.00%, 12/01/2046

      42,966        45,201  

3.00%, 01/01/2047

      2,980,478        3,132,773  

3.00%, 01/01/2047

      17,374,815        18,264,088  

3.00%, 06/01/2047

      2,153,324        2,343,808  

3.00%, 08/01/2047

      10,652,238        11,491,166  

3.00%, 09/01/2048

      918,444        963,706  

3.00%, 09/01/2048

      1,771,640        1,864,319  

3.00%, 08/01/2049

      1,777,616        1,934,852  

3.00%, 03/01/2050

      11,958,286        12,791,635  

3.00%, 07/01/2050

      3,672,594        3,898,836  

3.21%, 11/01/2037

      10,996,994        12,882,583  

3.22%, 01/01/2027

      3,565,000        4,029,743  

3.45%, 05/01/2034

      10,464,000        12,543,512  

3.48%, 07/01/2042

      4,031,118        4,745,045  

3.50%, 01/01/2030

      794,120        844,893  

3.50%, 12/01/2030

      2,475,104        2,630,853  

3.50%, 04/01/2031

      1,254,486        1,331,598  

3.50%, 11/01/2031

      1,991,899        2,115,307  

3.50%, 08/01/2032

      897,362        954,891  

3.50%, 08/01/2032

      4,059,473        4,306,873  

3.50%, 11/01/2032

      1,472,447        1,602,508  

3.50%, 12/01/2033

      2,456,584        2,612,345  

3.50%, 02/01/2035

      109,200        117,400  

3.50%, 01/01/2036

      1,093,888        1,181,013  

3.50%, 01/01/2038

      5,527,219        5,835,753  

3.50%, 12/01/2041

      61,043        67,921  

3.50%, 06/01/2042

      50,272        54,572  

3.50%, 06/01/2042

      81,176        88,172  

3.50%, 07/01/2042

      64,810        70,334  

3.50%, 07/01/2042

      481,803        522,513  

3.50%, 08/01/2042

      133,047        144,449  

3.50%, 09/01/2042

      156,551        170,033  

3.50%, 09/01/2042

      205,374        222,941  

3.50%, 12/01/2042

      1,007,200        1,094,268  

3.50%, 12/01/2042

      1,733,387        1,883,886  

3.50%, 01/01/2043

      89,085        96,756  

3.50%, 01/01/2043

      234,234        254,543  

3.50%, 03/01/2043

      980,328        1,065,019  

3.50%, 04/01/2043

      92,323        100,021  

3.50%, 06/01/2043

      126,467        139,834  

3.50%, 06/01/2043

      825,883        896,011  

3.50%, 06/01/2043

      1,507,832        1,635,860  

3.50%, 06/01/2043

      2,050,612        2,227,892  

3.50%, 07/01/2043

      103,918        112,425  

3.50%, 07/01/2043

      155,583        172,026  

3.50%, 08/01/2043

      94,506        102,668  

3.50%, 08/01/2043

      110,582        119,668  

3.50%, 09/01/2043

      439,971        485,184  

3.50%, 01/01/2044

      462,208        502,101  

3.50%, 01/01/2044

      650,026        706,277  

3.50%, 01/01/2044

      944,521        1,041,132  

3.50%, 01/01/2044

      4,787,825        5,200,342  

3.50%, 03/01/2044

      197,447        219,661  

3.50%, 07/01/2044

      623,615        674,467  

3.50%, 12/01/2044

      333,228        361,924  

3.50%, 02/01/2045

      407,263        442,213  

3.50%, 04/01/2045

      52,970        57,820  

3.50%, 04/01/2045

      1,107,131        1,180,816  

3.50%, 05/01/2045

      1,519,540        1,621,164  

3.50%, 06/01/2045

      1,898,049        2,071,916  

3.50%, 06/01/2045

      1,979,477        2,110,016  

3.50%, 07/01/2045

      2,220,942        2,397,960  

3.50%, 08/01/2045

      45,799        49,190  

3.50%, 09/01/2045

      3,725,689        4,019,082  

3.50%, 10/01/2045

      307,893        332,821  

3.50%, 11/01/2045

      312,237        336,661  

3.50%, 11/01/2045

      5,325,869        5,675,686  

3.50%, 12/01/2045

      1,060,099        1,132,123  

3.50%, 01/01/2046

      27,994        30,556  

3.50%, 01/01/2046

      72,371        77,209  

3.50%, 04/01/2046

      460,633        491,411  

3.50%, 05/01/2046

      544,492        591,324  

3.50%, 06/01/2046

      540,331        576,718  

3.50%, 06/01/2046

      1,177,422        1,253,665  

3.50%, 06/01/2046

      2,282,786        2,523,038  

3.50%, 06/01/2046

      2,925,006        3,192,854  

3.50%, 06/01/2046

      4,031,868        4,311,881  

3.50%, 07/01/2046

      1,046,065        1,111,920  

3.50%, 09/01/2046

      4,944,163        5,258,190  

3.50%, 12/01/2046

      1,631,951        1,735,413  

3.50%, 01/01/2047

      796,868        849,480  

3.50%, 01/01/2047

      1,276,979        1,355,055  

3.50%, 01/01/2047

      3,947,275        4,309,883  

3.50%, 01/01/2047

      17,555,612        18,635,913  

3.50%, 02/01/2047

      858,485        909,731  

3.50%, 02/01/2047

      1,124,694        1,195,786  

3.50%, 03/01/2047

      159,717        169,222  

3.50%, 08/01/2047

      12,544,900        13,665,486  

3.50%, 11/01/2047

      8,679,821        9,176,798  

3.50%, 12/01/2047

      3,656,453        3,990,626  

3.50%, 12/01/2047

      4,049,688        4,285,698  

3.50%, 12/01/2047

      4,045,383        4,403,777  

3.50%, 01/01/2048

      3,307,168        3,644,838  

3.50%, 01/01/2048

      7,603,295        8,304,059  

3.50%, 02/01/2048

      1,872,041        1,995,618  

3.50%, 02/01/2048

      13,400,271        14,171,131  

3.50%, 06/01/2049

      11,269,372        12,270,514  

3.50%, 08/01/2049

      525,440        553,685  

3.50%, 09/01/2049

      4,245,159        4,473,315  

3.50%, 09/01/2049

      4,923,739        5,317,474  

3.50%, 10/01/2049

      2,564,397        2,702,222  

3.50%, 10/01/2049

      4,082,665        4,302,088  

3.50%, 02/01/2050

      857,607        903,614  

3.50%, 05/01/2050

      10,074,424        10,636,939  

3.50%, 07/01/2050

      5,564,178        5,936,755  

4.00%, 11/01/2040

      76,250        83,969  

4.00%, 11/01/2040

      285,706        315,284  

4.00%, 11/01/2040

      2,274,534        2,477,723  

4.00%, 12/01/2040

      186,911        205,814  

4.00%, 01/01/2041

      141,770        156,169  

4.00%, 02/01/2041

      145,665        160,798  

4.00%, 02/01/2041

      452,787        498,695  

4.00%, 02/01/2041

      618,259        680,914  

4.00%, 09/01/2041

      277,375        305,904  

4.00%, 01/01/2042

      40,746        44,871  

4.00%, 01/01/2042

      2,490,177        2,743,383  

4.00%, 02/01/2042

      65,416        72,057  

4.00%, 03/01/2042

      2,653,815        2,972,333  

4.00%, 06/01/2042

      9,560,176        10,559,999  

4.00%, 08/01/2042

      2,466,477        2,700,564  

4.00%, 09/01/2043

      1,368,484        1,500,915  

4.00%, 12/01/2043

      2,712,506        2,976,553  

4.00%, 06/01/2045

      5,499,564        6,007,638  

4.00%, 07/01/2045

      743,168        805,914  

4.00%, 09/01/2045

      89,199        96,707  

4.00%, 09/01/2045

      121,189        132,280  

4.00%, 10/01/2045

      2,573,237        2,808,403  

4.00%, 12/01/2045

      394,304        425,668  

4.00%, 12/01/2045

      4,266,004        4,638,077  

4.00%, 03/01/2046

      1,172,892        1,273,277  

4.00%, 09/01/2046

      66,965        72,890  

4.00%, 09/01/2046

      1,655,693        1,790,910  

4.00%, 12/01/2046

      4,422,031        4,781,952  

4.00%, 02/01/2047

      1,710,347        1,848,456  

4.00%, 02/01/2047

      3,745,897        4,054,992  

4.00%, 03/01/2047

      1,898,843        2,039,079  

4.00%, 04/01/2047

      2,002,862        2,149,967  

4.00%, 05/01/2047

      2,477,938        2,655,792  

4.00%, 06/01/2047

      1,117,462        1,199,945  

4.00%, 06/01/2047

      2,758,009        2,954,956  

4.00%, 07/01/2047

      2,532,641        2,711,939  

4.00%, 08/01/2047

      2,037,654        2,184,878  

4.00%, 08/01/2047

      2,838,544        3,076,698  

4.00%, 06/01/2048

      1,923,861        2,055,191  

4.00%, 09/01/2048

      21,467,094        23,890,347  

4.00%, 10/01/2048

      351,056        390,008  

4.00%, 12/01/2048

      2,224,274        2,369,922  

4.00%, 01/01/2049

      7,272,518        7,945,447  

4.00%, 02/01/2049

      996,581        1,061,963  

4.00%, 02/01/2049

      7,711,547        8,327,672  

4.00%, 11/01/2049

      2,202,042        2,352,359  

4.00%, 12/01/2049

      412,368        440,163  

4.00%, 01/01/2050

      9,726,777        10,365,856  

4.50%, 11/01/2035

      283,834        312,633  

4.50%, 08/01/2040

      77,085        86,419  

4.50%, 09/01/2040

      30,474        34,193  

4.50%, 11/01/2040

      2,085,870        2,346,922  

4.50%, 01/01/2041

      21,566        24,245  

4.50%, 02/01/2041

      277,065        311,737  

4.50%, 05/01/2041

      2,935,384        3,302,136  

4.50%, 05/01/2041

      5,037,710        5,663,864  

4.50%, 08/01/2041

      34,466        38,693  

4.50%, 11/01/2041

      561,005        631,114  

4.50%, 02/01/2045

      456,821        510,879  

4.50%, 06/01/2045

      315,761        352,459  

4.50%, 02/01/2046

      2,110,545        2,330,892  

4.50%, 03/01/2046

      1,619,292        1,814,311  

4.50%, 09/01/2046

      1,924,290        2,152,915  

4.50%, 11/01/2047

      2,728,010        3,064,339  

4.50%, 04/01/2048

      3,116,822        3,376,459  

4.50%, 05/01/2048

      5,885,048        6,373,530  

4.50%, 05/01/2048

      14,014,114        15,150,350  

4.50%, 08/01/2048

      989,661        1,070,083  

4.50%, 08/01/2048

      1,853,106        2,003,205  

4.50%, 08/01/2048

      10,176,633        11,009,167  

4.50%, 09/01/2048

      4,007,241        4,336,210  

4.50%, 11/01/2048

      2,169,867        2,353,262  

4.50%, 12/01/2048

      5,309,110        5,737,927  

4.50%, 05/01/2049

      6,884,119        7,481,723  

4.50%, 01/01/2050

      704,366        761,587  

4.50%, 05/01/2050

      3,273,747        3,566,179  

5.00%, 07/01/2035

      686,848        789,793  

5.00%, 02/01/2036

      1,090,159        1,254,031  

5.00%, 05/01/2040

      25,422        29,242  

5.00%, 06/01/2040

      8,615        9,910  

5.00%, 06/01/2040

      730,512        834,998  

5.00%, 02/01/2041

      623,841        718,680  

5.00%, 07/01/2041

      805,257        924,872  

5.00%, 08/01/2041

      255,058        293,148  

5.00%, 03/01/2042

      432,016        494,613  

5.00%, 11/01/2044

      2,662,690        3,060,100  

5.00%, 02/01/2045

      969,446        1,074,510  

5.00%, 07/01/2045

      544,955        626,892  

5.00%, 12/01/2047

      990,228        1,126,914  

5.50%, 05/01/2034

      1,407,559        1,657,166  

5.50%, 07/01/2034

      339,374        399,562  

5.50%, 07/01/2036

      132,788        156,350  

5.50%, 12/01/2039

      288,209        332,767  

5.50%, 03/01/2040

      1,592,117        1,873,534  

5.50%, 06/01/2041

      297,485        345,217  

5.50%, 02/01/2042

      673,922        775,395  

5.50%, 02/01/2042

      1,116,232        1,283,697  

5.50%, 10/01/2043

      541,008        633,129  

5.50%, 05/01/2044

      374,313        440,596  

5.50%, 05/01/2044

      5,749,927        6,769,406  

6.00%, 03/01/2034

      1,669,198        1,957,056  

6.00%, 06/01/2036

      11,136        13,198  

6.00%, 07/01/2038

      1,155,121        1,369,144  

6.00%, 10/01/2038

      64,989        76,858  

6.00%, 07/01/2041

      5,375,099        6,370,068  

6.50%, 05/01/2040

      387,560        450,543  

Fannie Mae REMICS

      

0.65% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 01/25/2050(1)

      4,304,699        4,338,219  

3.00%, 09/25/2049

      1,702,823        1,752,387  

3.50%, 03/25/2042

      4,373,452        4,809,945  

3.50%, 01/25/2047

      13,106,865        13,593,060  

3.50%, 06/25/2047

      12,323,479        12,919,642  

4.00%, 06/25/2044

      852,665        872,560  

4.00%, 05/25/2047

      5,642,807        5,906,200  

Fannie Mae-Aces

      

3.48%, 07/25/2028(5)

      5,305,000        6,165,913  

Feldspar 2016-1 Plc

      

0.76% (3 Month LIBOR GBP + 0.70%), 09/15/2045(1)

    GBP  772,474        996,523  

Finsbury Square 2018-2 Plc

      

1.01% (3 Month LIBOR GBP + 0.95%), 09/12/2068(1)

      2,109,362        2,725,759  

Finsbury Square 2019-1 Plc

      

1.02% (3 Month LIBOR GBP + 0.97%), 06/16/2069(1)

      4,118,657        5,322,976  

Flagstar Mortgage Trust 2017-2

      

4.10%, 10/25/2047(2)(5)

    $ 1,281,253        1,355,157  

Flagstar Mortgage Trust 2018-6RR

      

4.00%, 09/25/2048(2)(5)

      1,411,050        1,510,601  

Flagstar Mortgage Trust 2020-1NV

      

1.00% (1 Month LIBOR USD + 0.85%), 03/25/2050(1)(2)

      2,183,137        2,175,050  

Fontainebleau Miami Beach Trust 2019-FBLU

      

3.75%, 12/10/2036(2)

      7,500,000        7,387,974  

Freddie Mac Gold Pool

      

2.50%, 07/01/2030

      1,011,033        1,058,484  

2.50%, 09/01/2031

      3,679,240        3,943,070  

2.50%, 12/01/2031

      5,203,311        5,555,589  

2.50%, 12/01/2031

      10,207,583        10,687,845  

2.50%, 02/01/2032

      7,261,717        7,802,741  

3.00%, 03/01/2031

      601,887        632,441  

3.00%, 12/01/2032

      2,180,000        2,291,116  

3.00%, 06/01/2033

      978,510        1,027,231  

3.00%, 02/01/2038

      3,621,565        3,793,009  

3.00%, 02/01/2043

      654,672        697,839  

3.00%, 04/01/2046

      159,668        167,882  

3.00%, 06/01/2046

      5,686,668        5,986,389  

3.00%, 08/01/2046

      6,831,101        7,185,890  

3.00%, 09/01/2046

      20,790,201        21,866,002  

3.00%, 10/01/2046

      6,716,955        7,065,419  

3.00%, 11/01/2046

      7,361,741        7,742,586  

3.00%, 12/01/2046

      4,598,320        4,843,350  

3.00%, 01/01/2047

      8,637,258        9,096,701  

3.00%, 02/01/2047

      8,094,082        8,489,614  

3.00%, 03/01/2047

      4,801,005        5,042,361  

3.00%, 04/01/2047

      2,964,702        3,109,337  

3.50%, 05/01/2033

      472,166        500,521  

3.50%, 08/01/2033

      4,445,123        4,702,635  

3.50%, 08/01/2033

      12,523,522        13,260,453  

3.50%, 11/01/2033

      8,574,874        9,067,353  

3.50%, 09/01/2042

      304,554        327,371  

3.50%, 11/01/2042

      37,711        40,949  

3.50%, 07/01/2043

      320,294        348,152  

3.50%, 10/01/2043

      657,599        710,726  

3.50%, 01/01/2044

      842,876        913,944  

3.50%, 10/01/2045

      9,535,940        10,518,730  

3.50%, 03/01/2046

      867,035        947,227  

3.50%, 06/01/2046

      5,298,688        5,611,497  

3.50%, 08/01/2046

      8,335,546        8,924,750  

3.50%, 08/01/2046

      16,794,286        18,506,031  

3.50%, 11/01/2046

      1,875,839        2,000,487  

3.50%, 02/01/2047

      955,158        1,014,109  

3.50%, 04/01/2047

      4,250,791        4,503,030  

3.50%, 04/01/2047

      13,109,845        14,455,833  

3.50%, 09/01/2047

      15,052,236        15,944,368  

3.50%, 10/01/2047

      3,260,811        3,448,187  

3.50%, 11/01/2047

      2,286,887        2,421,492  

3.50%, 11/01/2047

      3,327,489        3,519,635  

3.50%, 12/01/2047

      32,060,338        35,128,343  

3.50%, 01/01/2048

      2,677,114        2,833,884  

3.50%, 01/01/2048

      19,607,771        21,806,390  

3.50%, 02/01/2048

      2,456,164        2,599,933  

3.50%, 03/01/2048

      30,228,968        32,546,254  

3.50%, 03/01/2048

      30,096,778        32,607,574  

3.50%, 03/01/2048

      33,111,279        36,201,764  

4.00%, 01/01/2045

      1,601,840        1,798,134  

4.00%, 07/01/2045

      448,224        488,221  

4.00%, 12/01/2045

      3,371,969        3,747,258  

4.00%, 03/01/2048

      8,357,941        9,302,366  

4.00%, 07/01/2048

      9,763,712        10,743,139  

4.00%, 11/01/2048

      38,520,974        42,477,496  

4.50%, 07/01/2042

      537,655        604,512  

4.50%, 05/01/2044

      320,007        357,154  

4.50%, 06/01/2045

      628,199        730,503  

4.50%, 02/01/2046

      664,624        772,424  

4.50%, 05/01/2046

      694,043        806,621  

4.50%, 06/01/2046

      800,259        916,408  

4.50%, 02/01/2047

      624,282        725,228  

4.50%, 12/01/2047

      3,205,602        3,482,673  

4.50%, 10/01/2048

      8,930,400        9,671,228  

5.00%, 11/01/2041

      855,099        983,190  

5.00%, 07/01/2048

      1,851,187        2,037,188  

5.00%, 08/01/2048

      914,239        1,004,524  

5.00%, 09/01/2048

      508,435        558,566  

5.00%, 10/01/2048

      2,493,470        2,736,393  

5.00%, 11/01/2048

      3,878,038        4,253,943  

5.50%, 08/01/2041

      5,591,195        6,545,379  

8.00%, 04/01/2032

      176,866        218,565  

Freddie Mac Multifamily Structured Pass Through Certificates

      

0.86%, 01/25/2031(5)

      293,159,355        9,813,275  

1.06%, 04/25/2034(5)

      18,961,066        1,690,948  

2.86%, 10/25/2034

      22,150,000        25,378,004  

2.98%, 12/25/2047(5)

      521,286        546,279  

3.03%, 10/25/2046(5)

      512,036        557,852  

3.75%, 04/25/2033

      5,505,000        6,733,488  

Freddie Mac Pool

      

2.00%, 09/01/2040

      14,911,768        15,423,837  

2.00%, 10/01/2040

      10,925,000        11,300,163  

3.00%, 05/01/2031

      6,964,768        7,460,640  

3.00%, 11/01/2034

      1,770,545        1,924,759  

3.00%, 09/01/2046

      17,206,658        18,161,992  

3.00%, 09/01/2049

      1,991,069        2,167,180  

3.00%, 01/01/2050

      12,289,065        13,071,433  

3.00%, 02/01/2050

      16,957,005        17,381,128  

3.00%, 03/01/2050

      2,535,427        2,658,617  

3.00%, 04/01/2050

      11,008,494        11,538,699  

3.50%, 06/01/2033

      1,161,949        1,234,013  

3.50%, 06/01/2046

      705,022        761,482  

3.50%, 12/01/2047

      589,846        624,103  

3.50%, 01/01/2050

      950,586        1,028,296  

3.98%, 04/01/2034

      9,206,749        11,033,955  

4.00%, 12/01/2049

      3,514,587        3,845,348  

4.00%, 01/01/2050

      7,307,516        7,787,640  

4.00%, 02/01/2050

      3,782,670        4,053,493  

4.50%, 04/01/2049

      1,006,091        1,119,478  

4.50%, 05/01/2050

      2,128,905        2,313,913  

5.00%, 12/01/2041

      1,284,562        1,477,682  

5.00%, 03/01/2042

      315,151        369,972  

Freddie Mac REMICS

      

3.00%, 01/15/2049

      2,756,877        2,910,232  

3.00%, 04/15/2049

      11,483,197        11,832,718  

4.50%, 05/25/2050

      5,047,735        784,186  

Freddie Mac STACR Remic Trust 2019-HQA4

      

2.20% (1 Month LIBOR USD + 2.05%), 11/25/2049(1)(2)

      1,143,107        1,128,160  

Freddie Mac STACR Remic Trust 2020-DNA3

      

1.65% (1 Month LIBOR USD + 1.50%), 06/25/2050(1)(2)

      3,260,000        3,266,689  

Freddie Mac STACR REMIC Trust 2020-DNA4

      

1.65% (1 Month LIBOR USD + 1.50%), 08/25/2050(1)(2)

      6,890,000        6,907,221  

Freddie Mac STACR Remic Trust 2020-HQA2

      

1.25% (1 Month LIBOR USD + 1.10%), 03/25/2050(1)(2)

      9,436,771        9,427,340  

Freddie Mac STACR REMIC Trust 2020-HQA3

      

1.70% (1 Month LIBOR USD + 1.55%), 07/25/2050(1)(2)

      7,220,000        7,235,575  

Freddie Mac STACR Trust 2018-HQA2

      

0.90% (1 Month LIBOR USD + 0.75%), 10/25/2048(1)(2)

      257,540        256,905  

Freddie Mac STACR Trust 2019-HQA2

      

2.20% (1 Month LIBOR USD + 2.05%), 04/25/2049(1)(2)

      1,039,799        1,023,186  

Freddie Mac STACR Trust 2019-HRP1

      

1.55% (1 Month LIBOR USD + 1.40%), 02/25/2049(1)(2)

      3,730,536        3,469,097  

Freddie Mac Strips

      

3.00%, 09/15/2044

      76,805,076        83,294,575  

Freddie Mac Structured Agency Credit Risk Debt Notes

      

0.90% (1 Month LIBOR USD + 0.75%), 03/25/2030(1)

      222,251        221,987  

1.20% (1 Month LIBOR USD + 1.05%), 07/25/2030(1)

      4,437,901        4,347,267  

1.35% (1 Month LIBOR USD + 1.20%), 10/25/2029(1)

      1,087,120        1,087,120  

3.81%, 05/25/2048(2)(5)

      356,006        353,010  

4.14%, 08/25/2048(2)(5)

      2,275,892        2,255,963  

4.85% (1 Month LIBOR USD + 4.70%, 4.70% Floor), 04/25/2028(1)

      4,078,430        4,241,963  

Freddie Mac Whole Loan Securities Trust

      

3.59%, 12/25/2046(2)(5)

      2,607,753        2,604,201  

FREMF 2018-K731 Mortgage Trust

      

4.06%, 02/25/2025(2)(5)

      4,525,000        4,940,900  

FREMF 2019-K736 Mortgage Trust

      

3.88%, 07/25/2026(2)(5)

      5,440,000        5,995,774  

FREMF 2019-K94 Mortgage Trust

      

4.10%, 07/25/2052(2)(5)

      2,800,000        3,193,320  

FREMF 2019-K98 Mortgage Trust

      

3.86%, 10/25/2052(2)(5)

      2,895,000        3,238,678  

FREMF K-100 Mortgage Trust

      

3.61%, 11/25/2052(2)(5)

      6,980,000        7,673,746  

Galton Funding Mortgage Trust 2017-1

      

3.50%, 11/25/2057(2)(5)

      1,331,327        1,370,718  

Galton Funding Mortgage Trust 2018-2

      

4.00%, 10/25/2058(2)(5)

      3,241,429        3,352,452  

Galton Funding Mortgage Trust 2019-1

      

4.00%, 02/25/2059(2)(5)

      565,898        572,437  

4.00%, 02/25/2059(2)(5)

      832,189        858,458  

Galton Funding Mortgage Trust 2019-2

      

3.50%, 06/25/2059(2)(5)

      1,648,156        1,665,781  

Galton Funding Mortgage Trust 2019-H1

      

2.66%, 10/25/2059(2)(5)

      4,026,589        4,106,067  

2.96%, 10/25/2059(2)(5)

      4,332,573        4,381,677  

Galton Funding Mortgage Trust 2020-H1

      

2.31%, 01/25/2060(2)(5)

      5,413,278        5,515,690  

GCAT 2019-RPL1 Trust

      

2.65%, 10/25/2068(2)(5)

      3,871,864        4,026,430  

GCAT 2020-1 LLC

      

2.98%, 01/26/2060(2)(4)

      2,007,689        1,974,696  

Ginnie Mae

      

2.00%, 10/01/2050(10)

      112,305,000        116,656,819  

2.50%, 10/01/2050(10)

      83,325,000        87,484,740  

3.00%, 11/20/2047

      597,342        630,964  

3.00%, 12/20/2047

      428,659        444,317  

3.00%, 07/20/2049

      859,601        898,158  

3.00%, 09/20/2049

      8,022,699        8,310,648  

3.50%, 05/20/2043

      211,584        30,186  

3.50%, 08/20/2048

      6,498,392        6,936,223  

3.50%, 09/20/2048

      4,256,785        4,600,792  

3.50%, 12/20/2048

      703,483        734,972  

4.00%, 10/01/2050(10)

      4,775,000        5,073,438  

Ginnie Mae I Pool

      

3.00%, 10/15/2042

      152,942        159,887  

3.00%, 12/15/2042

      27,206        29,221  

3.00%, 05/15/2043

      85,222        91,536  

3.00%, 06/15/2043

      6,322        6,589  

3.00%, 06/15/2043

      6,571        6,850  

3.50%, 12/15/2042

      7,623        8,224  

3.50%, 01/15/2043

      10,870        11,608  

3.50%, 10/15/2043

      62,647        67,966  

4.50%, 05/15/2041

      441,940        491,989  

4.50%, 09/15/2045

      161,680        179,775  

5.00%, 09/15/2039

      30,017        34,019  

5.00%, 10/15/2039

      205,976        230,944  

5.00%, 12/15/2039

      394,279        448,808  

5.00%, 02/15/2040

      56,297        64,444  

5.00%, 02/15/2040

      56,297        64,444  

5.00%, 06/15/2040

      151,967        172,968  

5.00%, 09/15/2041

      145,563        166,788  

5.00%, 07/15/2044

      141,627        157,890  

7.50%, 08/15/2033

      207,140        239,527  

Ginnie Mae II Pool

      

3.00%, 12/20/2044

      452,130        476,664  

3.00%, 06/20/2045

      20,357,434        21,585,438  

3.00%, 05/20/2046

      28,756        31,299  

3.00%, 05/20/2046

      76,371        83,978  

3.00%, 05/20/2046

      10,859,561        11,487,113  

3.00%, 06/20/2046

      166,849        178,465  

3.00%, 07/20/2046

      44,922        48,889  

3.00%, 07/20/2046

      75,240        82,735  

3.00%, 07/20/2046

      109,328        118,016  

3.00%, 07/20/2046

      138,862        151,141  

3.00%, 07/20/2046

      213,215        230,161  

3.00%, 07/20/2046

      229,677        249,868  

3.00%, 07/20/2046

      1,536,202        1,622,793  

3.00%, 08/20/2046

      66,458        71,986  

3.00%, 08/20/2046

      100,077        109,657  

3.00%, 08/20/2046

      106,936        117,589  

3.00%, 09/20/2046

      54,089        58,584  

3.00%, 09/20/2046

      66,707        73,069  

3.00%, 10/20/2046

      2,049,748        2,160,940  

3.00%, 12/20/2046

      4,890,228        5,171,504  

3.00%, 03/20/2047

      1,241,844        1,309,256  

3.00%, 09/20/2047

      13,854,992        14,599,826  

3.00%, 11/20/2047

      5,122,529        5,411,560  

3.00%, 01/20/2048

      6,396,533        6,755,673  

3.00%, 09/20/2049

      808,520        830,299  

3.00%, 10/20/2049

      26,200,574        26,707,115  

3.00%, 03/20/2050

      13,350,002        13,714,010  

3.50%, 08/20/2042

      14,564        15,807  

3.50%, 12/20/2042

      6,238        6,771  

3.50%, 02/20/2043

      17,208        18,847  

3.50%, 05/20/2043

      8,044        8,720  

3.50%, 06/20/2043

      2,330,227        2,526,427  

3.50%, 07/20/2043

      1,569,481        1,701,704  

3.50%, 09/20/2043

      110,892        120,496  

3.50%, 10/20/2044

      59,134        66,633  

3.50%, 10/20/2044

      350,770        378,715  

3.50%, 12/20/2044

      8,010        8,586  

3.50%, 01/20/2045

      1,918,017        2,073,054  

3.50%, 03/20/2045

      322,828        344,725  

3.50%, 05/20/2045

      9,406        10,029  

3.50%, 07/20/2045

      438,645        468,502  

3.50%, 10/20/2045

      74,751        80,918  

3.50%, 10/20/2045

      105,631        114,336  

3.50%, 12/20/2045

      2,330,691        2,489,271  

3.50%, 01/20/2046

      1,643,212        1,754,700  

3.50%, 02/20/2046

      567,941        612,378  

3.50%, 03/20/2046

      6,160,625        6,580,141  

3.50%, 04/20/2046

      4,176,258        4,467,938  

3.50%, 05/20/2046

      7,322        7,899  

3.50%, 05/20/2046

      21,098        23,178  

3.50%, 05/20/2046

      73,710        80,484  

3.50%, 05/20/2046

      2,839,075        3,030,839  

3.50%, 06/20/2046

      82,070        90,164  

3.50%, 06/20/2046

      1,765,773        1,903,068  

3.50%, 07/20/2046

      579,277        618,597  

3.50%, 09/20/2046

      1,049,601        1,122,533  

3.50%, 12/20/2046

      3,930,147        4,180,210  

3.50%, 01/20/2047

      5,185,592        5,536,544  

3.50%, 04/20/2047

      7,510,435        8,010,099  

3.50%, 05/20/2047

      333,519        354,202  

3.50%, 06/20/2047

      11,414,229        12,090,645  

3.50%, 08/20/2047

      5,282,641        5,637,795  

3.50%, 09/20/2047

      13,971,017        14,915,213  

3.50%, 10/20/2047

      1,103,809        1,178,107  

3.50%, 11/20/2047

      18,859,853        20,127,423  

3.50%, 01/20/2048

      18,961,089        20,171,127  

3.50%, 02/20/2048

      2,933,929        3,170,941  

3.50%, 02/20/2048

      7,238,247        7,815,971  

3.50%, 04/20/2048

      394,095        424,323  

3.50%, 06/20/2049

      2,399,891        2,488,087  

3.50%, 07/20/2049

      11,162,693        11,572,928  

4.00%, 09/20/2045

      1,767,692        1,905,915  

4.00%, 05/20/2046

      904,988        974,094  

4.00%, 03/20/2047

      2,329,819        2,505,578  

4.00%, 04/20/2047

      4,978,307        5,368,205  

4.00%, 05/20/2047

      3,890,793        4,185,619  

4.00%, 06/20/2047

      1,874,803        2,016,264  

4.00%, 07/20/2047

      951,187        1,024,196  

4.00%, 08/20/2047

      791,893        852,750  

4.00%, 09/20/2047

      4,101,748        4,401,779  

4.00%, 11/20/2047

      2,945,472        3,153,650  

4.00%, 12/20/2047

      2,801,002        3,003,480  

4.00%, 01/20/2048

      764,407        840,995  

4.00%, 01/20/2048

      3,995,718        4,280,861  

4.00%, 08/20/2048

      4,628,889        4,947,414  

4.00%, 09/20/2048

      3,497,835        3,742,306  

4.00%, 10/20/2048

      1,386,659        1,479,125  

4.50%, 07/20/2045

      3,320,725        3,687,986  

4.50%, 12/20/2045

      64,197        71,314  

4.50%, 01/20/2046

      545,375        605,540  

4.50%, 01/20/2047

      2,820,292        3,104,736  

4.50%, 05/20/2047

      5,741,615        6,251,472  

4.50%, 06/20/2047

      7,915,070        8,610,501  

4.50%, 07/20/2047

      943,128        1,024,605  

4.50%, 09/20/2047

      2,396,267        2,610,482  

4.50%, 11/20/2047

      870,624        951,544  

4.50%, 01/20/2048

      288,644        312,439  

4.50%, 08/20/2048

      12,216,842        13,162,767  

4.50%, 09/20/2048

      1,352,534        1,462,411  

4.50%, 09/20/2048

      1,463,041        1,573,610  

4.50%, 01/20/2049

      1,361,679        1,463,100  

4.50%, 12/20/2049

      3,041,294        3,257,303  

5.00%, 05/20/2040

      144,363        164,763  

5.00%, 06/20/2040

      78,470        89,555  

5.00%, 08/20/2040

      60,086        68,571  

5.00%, 09/20/2040

      52,789        60,242  

5.00%, 12/20/2044

      266,454        297,796  

5.00%, 06/20/2047

      4,141,199        4,586,357  

5.00%, 07/20/2047

      589,855        653,244  

5.00%, 08/20/2047

      402,441        445,513  

5.00%, 09/20/2047

      4,066,850        4,502,524  

5.00%, 10/20/2047

      374,444        414,619  

5.00%, 11/20/2047

      838,805        928,963  

5.00%, 12/20/2047

      1,539,859        1,696,858  

5.00%, 01/20/2048

      1,962,226        2,153,390  

5.00%, 02/20/2048

      1,734,670        1,900,843  

5.00%, 06/20/2048

      1,776,069        1,956,124  

5.00%, 08/20/2048

      4,723,864        5,146,052  

5.00%, 10/20/2048

      4,347,459        4,757,910  

5.00%, 11/20/2048

      5,183,863        5,645,292  

5.50%, 07/20/2036

      79,561        94,362  

5.50%, 01/20/2040

      173,665        203,135  

5.50%, 06/20/2045

      202,233        239,909  

5.50%, 10/20/2047

      728,819        824,736  

5.50%, 05/20/2048

      2,356,270        2,603,898  

5.50%, 12/20/2048

      1,563,655        1,713,816  

5.50%, 01/20/2049

      446,683        490,612  

5.50%, 03/20/2049

      2,679,851        2,937,204  

Gosforth Funding 2018-1 Plc

      

0.70% (3 Month LIBOR USD + 0.45%), 08/25/2060(1)(2)

      1,245,785        1,243,910  

Grand Avenue Mortgage Loan Trust 2017-RPL1

      

3.25%, 08/25/2064(2)

      2,324,912        2,277,325  

Great Wolf Trust 2019-WOLF

      

1.19% (1 Month LIBOR USD + 1.03%, 1.03% Floor), 12/15/2036(1)(2)

      13,655,000        13,167,290  

2.09% (1 Month LIBOR USD + 1.93%, 1.93% Floor), 12/15/2036(1)(2)

      3,400,000        3,112,326  

GS Mortgage Securities Corp. Trust 2013-PEMB

      

3.67%, 03/05/2033(2)(5)

      4,860,000        3,852,265  

GS Mortgage Securities Corp. Trust 2017-SLP

      

3.92%, 10/10/2032(2)

      8,029,000        7,828,808  

GS Mortgage Securities Corp. Trust 2019-SOHO

      

1.45% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 06/15/2036(1)(2)

      7,090,000        6,812,882  

GS Mortgage Securities Trust 2011-GC3

      

5.75%, 03/10/2044(2)(5)

      340,000        335,396  

GS Mortgage Securities Trust 2011-GC5

      

5.55%, 08/10/2044(2)(5)

      220,000        175,141  

GS Mortgage Securities Trust 2013-GC16

      

5.16%, 11/10/2046(5)

      7,561,000        7,970,605  

GS Mortgage Securities Trust 2017-GS8

      

4.48%, 11/10/2050(5)

      5,365,000        5,379,752  

GS Mortgage Securities Trust 2019-GC40

      

3.16%, 07/10/2052

      9,560,000        10,772,631  

GS Mortgage-Backed Securities Corp. Trust 2019-PJ1

      

4.00%, 08/25/2049(2)(5)

      3,855,000        3,981,639  

GS Mortgage-Backed Securities Trust 2020-INV1

      

3.00%, 08/25/2050(2)(5)

      11,101,126        11,363,890  

HarborView Mortgage Loan Trust 2005-9

      

0.61% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2035(1)

      7,023,331        6,699,748  

HarborView Mortgage Loan Trust 2006-7

      

0.36% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 09/19/2046(1)

      4,111,253        3,606,768  

HarborView Mortgage Loan Trust 2006-10

      

0.36% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036(1)

      9,611,327        8,386,067  

HarborView Mortgage Loan Trust 2006-12

      

0.36% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/19/2036(1)

      32,067,829        27,999,204  

HarborView Mortgage Loan Trust 2007-6

      

0.36% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037(1)

      8,819,499        7,716,998  

Harvest Commercial Capital Loan Trust 2019-1

      

3.29%, 09/25/2046(2)(5)

      9,361,833        9,433,003  

Hawksmoor Mortgages

      

1.11% (3 Month Sterling Overnight Interbank Average Rate + 1.05%), 05/25/2053(1)(2)

    GBP  20,324,205        26,269,973  

Hilton Orlando Trust 2018-ORL

      

0.92% (1 Month LIBOR USD + 0.77%, 0.77% Floor), 12/15/2034(1)(2)

    $ 2,085,000        2,007,342  

1.20% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 12/15/2034(1)(2)

      350,000        329,849  

Homeward Opportunities Fund I Trust 2018-1

      

3.77%, 06/25/2048(2)(5)

      3,732,350        3,745,085  

4.00%, 06/25/2048(2)(5)

      3,551,257        3,531,844  

Homeward Opportunities Fund I Trust 2019-1

      

3.45%, 01/25/2059(2)(5)

      2,264,205        2,302,481  

3.61%, 01/25/2059(2)(5)

      3,539,839        3,590,828  

3.95%, 01/25/2059(2)(5)

      4,495,000        4,565,087  

Homeward Opportunities Fund I Trust 2019-2

      

2.70%, 09/25/2059(2)(5)

      5,464,343        5,519,202  

Homeward Opportunities Fund I Trust 2019-3

      

2.68%, 11/25/2059(2)(5)

      2,796,059        2,835,368  

3.03%, 11/25/2059(2)(5)

      3,277,761        3,274,495  

Homeward Opportunities Fund I Trust 2020-2

      

1.66%, 05/25/2065(2)(5)

      4,438,059        4,470,426  

HSI Asset Securitization Corp. Trust 2005-NC1

      

1.11% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 07/25/2035(1)

      6,336,000        5,939,820  

Hudson Yards 2019-30HY Mortgage Trust

      

3.23%, 07/10/2039(2)

      6,570,000        7,355,799  

3.38%, 07/10/2039(2)(5)

      3,905,000        4,264,800  

3.56%, 07/10/2039(2)(5)

      4,500,000        4,626,846  

Hudson Yards 2019-55HY Mortgage Trust

      

3.04%, 12/10/2041(2)(5)

      5,545,000        6,119,600  

Hudsons Bay Simon JV Trust 2015-HBS

      

4.15%, 08/05/2034(2)

      3,540,000        2,819,967  

ILPT Trust 2019-SURF

      

4.15%, 02/11/2041(2)

      7,575,000        8,632,971  

Impac CMB Trust Series 2004-7

      

0.79% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034(1)

      5,021,367        4,982,195  

Independence Plaza Trust 2018-INDP

      

3.76%, 07/10/2035(2)

      3,265,000        3,481,821  

3.91%, 07/10/2035(2)

      2,780,000        2,931,874  

IndyMac INDX Mortgage Loan Trust 2006-AR19

      

3.30%, 08/25/2036(5)

      10,236,986        8,965,399  

IndyMac INDX Mortgage Loan Trust 2007-AR15

      

3.26%, 08/25/2037(5)

      4,664,908        4,092,932  

InTown Hotel Portfolio Trust 2018-STAY

      

1.20% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 01/15/2033(1)(2)

      430,000        418,210  

JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2

      

3.06%, 08/15/2049

      1,993,000        2,131,523  

JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3

      

3.40%, 08/15/2049(5)

      565,000        568,821  

JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE

      

2.95%, 09/06/2038(2)(5)

      910,000        957,312  

2.95%, 09/06/2038(2)(5)

      3,597,500        3,867,661  

JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT

      

4.25%, 07/05/2033(2)

      965,000        1,019,251  

JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB

      

3.40%, 06/05/2039(2)

      8,012,500        9,057,779  

JP Morgan Mortgage Trust 2019-INV3

      

3.50%, 05/25/2050(2)(5)

      3,338,097        3,416,034  

3.50%, 05/25/2050(2)(5)

      3,907,188        4,020,324  

JP Morgan Mortgage Trust 2020-INV1

      

1.01% (1 Month LIBOR USD + 0.83%, 6.00% Cap), 08/25/2050(1)(2)

      1,979,201        1,971,858  

3.50%, 08/25/2050(2)(5)

      3,286,078        3,383,418  

JP Morgan Mortgage Trust 2020-INV2

      

3.00%, 10/25/2050(2)(5)

      4,218,310        4,295,589  

JP Morgan Resecuritization Trust Series 2014-6

      

0.75% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 07/27/2046(1)(2)

      302,014        301,437  

JP Morgan Seasoned Mortgage Trust 2010-1

      

0.00%, 03/25/2050(2)(5)

      12,268,970        10,576,936  

JPMBB Commercial Mortgage Securities Trust 2014-C24

      

2.94%, 11/15/2047

      674,188        673,852  

JPMBB Commercial Mortgage Securities Trust 2015-C30

      

3.82%, 07/15/2048

      2,780,000        3,121,044  

JPMBB Commercial Mortgage Securities Trust 2015-C31

      

3.80%, 08/15/2048

      5,065,000        5,670,936  

JPMCC Commercial Mortgage Securities Trust 2017-JP5

      

3.88%, 03/15/2050(5)

      4,990,000        5,618,501  

JPMDB Commercial Mortgage Securities Trust 2016-C4

      

3.38%, 12/15/2049

      4,040,000        4,454,370  

Lanark Master Issuer Plc

      

1.03% (3 Month LIBOR USD + 0.77%), 12/22/2069(1)(2)

      7,770,000        7,719,406  

2.28%, 12/22/2069(2)(5)

      695,000        722,618  

2.71%, 12/22/2069(2)(4)

      3,285,000        3,415,735  

Legacy Mortgage Asset Trust 2019-GS7

      

3.25%, 11/25/2059(2)(4)

      5,618,477        5,618,138  

Legacy Mortgage Asset Trust 2020-GS1

      

2.88%, 10/25/2059(2)(4)

      4,219,707        4,230,353  

Legacy Mortgage Asset Trust 2020-GS5

      

3.25%, 06/25/2060(2)

      1,077,221        1,084,092  

Legacy Mortgage Asset Trust 2020-SL1

      

2.73%, 01/25/2060(2)(4)

      2,800,000        2,799,983  

Mansard Mortgages 2007-1 Plc

      

0.38% (3 Month LIBOR GBP + 0.30%), 04/15/2049(1)

    GBP  5,835,638        6,908,872  

Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1

      

2.61%, 04/25/2029(5)

    $ 646,433        622,485  

Metlife Securitization Trust 2018-1

      

3.75%, 03/25/2057(2)(5)

      14,229,285        15,299,581  

Mill City Mortgage Loan Trust 2019-1

      

3.25%, 10/25/2069(2)(5)

      2,069,719        2,198,684  

3.50%, 10/25/2069(2)(5)

      1,187,812        1,303,774  

Mill City Mortgage Loan Trust 2019-GS1

      

2.75%, 07/25/2059(2)(5)

      5,438,133        5,681,150  

Mill City Mortgage Loan Trust 2019-GS2

      

2.75%, 08/25/2059(2)(5)

      13,297,995        13,916,855  

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15

      

4.26%, 04/15/2047

      1,940,000        2,104,080  

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17

      

3.74%, 08/15/2047

      974,000        1,058,637  

4.46%, 08/15/2047(5)

      1,655,000        1,745,459  

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18

      

4.00%, 08/15/2031

      310,000        322,531  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24

      

3.73%, 05/15/2048

      6,000,000        6,694,585  

4.04%, 05/15/2048(5)

      190,000        210,574  

Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30

      

2.86%, 09/15/2049

      3,220,000        3,466,570  

Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34

      

4.32%, 11/15/2052(5)

      845,000        819,949  

Morgan Stanley Capital I Trust 2011-C2

      

5.66%, 06/15/2044(2)(5)

      1,415,000        814,889  

Morgan Stanley Capital I Trust 2017-H1

      

4.28%, 06/15/2050(5)

      1,490,089        1,512,897  

Morgan Stanley Capital I Trust 2018-H4

      

4.31%, 12/15/2051

      4,030,000        4,807,660  

Morgan Stanley Resecuritization Trust 2013-R7

      

0.72% (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap), 12/26/2046(1)(2)

      6,897,669        6,807,773  

Motel 6 Trust 2017-MTL6

      

1.07% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 08/15/2034(1)(2)

      1,788,959        1,757,524  

1.34% (1 Month LIBOR USD + 1.19%, 1.19% Floor), 08/15/2034(1)(2)

      6,178,848        6,031,526  

2.30% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034(1)(2)

      641,958        623,435  

MSCG Trust 2018-SELF

      

1.05% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037(1)(2)

      4,110,000        4,109,344  

Natixis Commercial Mortgage Securities Trust 2020-2PAC

      

2.97%, 12/15/2038(2)

      6,668,500        6,954,188  

New Orleans Hotel Trust 2019-HNLA

      

1.14% (1 Month LIBOR USD + 0.99%, 0.99% Floor), 04/15/2032(1)(2)

      5,000,000        4,799,256  

1.44% (1 Month LIBOR USD + 1.29%, 1.29% Floor), 04/15/2032(1)(2)

      6,425,000        5,945,734  

New Residential Mortgage Loan Trust 2019-NQM1

      

3.67%, 01/25/2049(2)(5)

      2,889,788        2,942,602  

3.93%, 01/25/2049(2)(5)

      2,915,580        2,938,256  

New Residential Mortgage Loan Trust 2019-NQM2

      

3.60%, 04/25/2049(2)(5)

      4,207,217        4,256,102  

3.70%, 04/25/2049(2)(5)

      1,482,688        1,498,481  

New Residential Mortgage Loan Trust 2019-NQM3

      

2.80%, 07/25/2049(2)(5)

      5,476,918        5,577,467  

3.09%, 07/25/2049(2)(5)

      2,389,006        2,417,753  

New Residential Mortgage Loan Trust 2019-NQM5

      

2.71%, 11/25/2059(2)(5)

      3,295,161        3,379,406  

New Residential Mortgage Loan Trust 2019-RPL3

      

2.75%, 07/25/2059(2)(5)

      34,208,893        35,969,002  

New Residential Mortgage Loan Trust 2020-NPL2

      

3.23%, 08/25/2060(2)(4)

      879,903        879,993  

New Residential Mortgage Loan Trust 2020-NQM1

      

2.46%, 01/26/2060(2)(5)

      4,246,308        4,296,272  

Nomura Resecuritization Trust 2015-7R

      

3.49%, 08/26/2036(2)(5)

      245,637        246,962  

OBX 2018-EXP1 Trust

      

1.00% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/25/2048(1)(2)

      2,065,375        2,068,001  

4.00%, 04/25/2048(2)(5)

      1,135,861        1,181,220  

OBX 2019-EXP2 Trust

      

4.00%, 06/25/2059(2)(5)

      3,152,470        3,284,353  

OBX 2019-EXP3 Trust

      

3.50%, 10/25/2059(2)(5)

      2,252,974        2,312,794  

OBX 2020-EXP1 Trust

      

0.90% (1 Month LIBOR USD + 0.75%), 02/25/2060(1)(2)

      1,026,892        1,026,173  

3.50%, 02/25/2060(2)(5)

      2,929,401        3,016,283  

OBX 2020-EXP2 Trust

      

3.00%, 05/25/2060(2)(5)

      9,006,805        9,245,618  

OBX 2020-INV1 Trust

      

3.50%, 12/25/2049(2)(5)

      5,157,843        5,323,054  

One Bryant Park Trust 2019-OBP

      

2.52%, 09/15/2054(2)

      7,390,000        7,858,200  

Precise Mortgage Funding 2018-2B Plc

      

0.74% (3 Month LIBOR GBP + 0.68%), 03/12/2055(1)

    GBP 3,606,374        4,621,054  

PRPM 2020-2 LLC

      

3.67%, 08/25/2025(2)(4)

    $ 1,141,251        1,141,340  

PRPM 2020-3 LLC

      

2.86%, 09/25/2025(2)(4)

      3,871,000        3,870,935  

Queens Center Mortgage Trust 2013-QC

      

3.28%, 01/11/2037(2)

      3,915,000        3,925,768  

RALI Series 2006-QS9 Trust

      

6.00%, 07/25/2036

      4,167,675        3,985,886  

RALI Series 2007-QH8 Trust

      

2.03%, 10/25/2037(5)

      1,264,562        1,138,634  

RBS Commercial Funding, Inc. 2013-GSP Trust

      

3.96%, 01/15/2032(2)(5)

      765,000        798,092  

RCO V Mortgage LLC 2019-1

      

3.72%, 05/24/2024(2)(4)

      23,717        23,717  

RCO V Mortgage LLC 2020-1

      

3.10%, 09/25/2025(2)(4)

      1,985,000        1,985,142  

Real Estate Asset Liquidity Trust

      

2.42%, 06/12/2054(2)(5)

    CAD     10,548,977        8,029,914  

RESIMAC Bastille Trust Series 2018-1NC

      

1.00% (1 Month LIBOR USD + 0.85%), 12/05/2059(1)(2)

    $ 1,263,251        1,248,946  

RETL 2019-RVP

      

1.30% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 03/15/2036(1)(2)

      316,453        316,465  

Rosslyn Portfolio Trust 2017-ROSS

      

1.94% (1 Month LIBOR USD + 0.95%, 1.94% Floor), 06/15/2033(1)(2)

      13,479,987        13,257,653  

Seasoned Credit Risk Transfer Trust Series 2016-1

      

3.00%, 09/25/2055(2)(5)

      328,313        327,483  

Seasoned Credit Risk Transfer Trust Series 2017-2

      

4.00%, 08/25/2056(2)(5)

      910,000        912,864  

Sequoia Mortgage Trust 2003-2

      

0.82% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.50% Cap), 06/20/2033(1)

      479,603        464,025  

Sequoia Mortgage Trust 2004-9

      

1.00% (6 Month LIBOR USD + 0.72%, 0.36% Floor, 11.50% Cap), 10/20/2034(1)

      1,035,276        1,022,560  

Sequoia Mortgage Trust 2013-4

      

3.48%, 04/25/2043(5)

      2,161,074        2,206,936  

Sequoia Mortgage Trust 2017-CH2

      

4.00%, 12/25/2047(2)(5)

      1,103,524        1,134,374  

4.00%, 12/25/2047(2)(5)

      1,143,613        1,169,807  

Sequoia Mortgage Trust 2018-CH1

      

3.50%, 02/25/2048(2)(5)

      350,636        359,177  

Sequoia Mortgage Trust 2018-CH2

      

4.00%, 06/25/2048(2)(5)

      1,105,311        1,131,462  

Sequoia Mortgage Trust 2018-CH3

      

4.00%, 08/25/2048(2)(5)

      3,367,156        3,461,664  

4.50%, 08/25/2048(2)(5)

      1,411,062        1,471,875  

4.50%, 08/25/2048(2)(5)

      5,000,000        5,204,019  

Sequoia Mortgage Trust 2018-CH4

      

4.00%, 10/25/2048(2)(5)

      1,156,409        1,183,860  

Sequoia Mortgage Trust 2019-CH2

      

4.50%, 08/25/2049(2)(5)

      1,916,632        1,971,592  

SFAVE Commercial Mortgage Securities Trust 2015-5AVE

      

4.14%, 01/05/2043(2)(5)

      780,000        720,677  

SG Residential Mortgage Trust 2019-3

      

2.70%, 09/25/2059(2)(5)

      3,064,891        3,099,067  

SLM Student Loan Trust 2008-9

      

1.74% (3 Month LIBOR USD + 1.50%), 04/25/2023(1)

      7,595,264        7,453,751  

Southern Pacific Securities 06-1 Plc

      

0.36% (3 Month LIBOR GBP + 0.30%), 03/10/2044(1)

    GBP     1,436,239        1,848,753  

STACR Trust 2018-DNA2

      

0.95% (1 Month LIBOR USD + 0.80%), 12/25/2030(1)(2)

    $ 497,685        496,433  

1.10% (1 Month LIBOR USD + 0.95%), 12/25/2030(1)(2)

      6,800,000        6,741,222  

STACR Trust 2018-DNA3

      

1.05% (1 Month LIBOR USD + 0.90%), 09/25/2048(1)(2)

      4,965,000        4,933,181  

STACR Trust 2018-HRP2

      

1.40% (1 Month LIBOR USD + 1.25%), 02/25/2047(1)(2)

      2,653,673        2,579,408  

Starwood Mortgage Residential Trust 2018-IMC2

      

4.12%, 10/25/2048(2)(5)

      4,101,175        4,242,049  

Starwood Mortgage Residential Trust 2019-1

      

2.94%, 06/25/2049(2)(5)

      5,126,798        5,208,940  

Starwood Mortgage Residential Trust 2019-IMC1

      

3.47%, 02/25/2049(2)(5)

      2,189,716        2,243,414  

3.75%, 02/25/2049(2)(5)

      1,431,289        1,423,924  

4.09%, 02/25/2049(2)(5)

      2,160,000        2,142,297  

Starwood Mortgage Residential Trust 2019-INV1

      

2.61%, 09/27/2049(2)(5)

      4,644,767        4,712,666  

Sutherland Commercial Mortgage Loans 2017-SBC6

      

3.19%, 05/25/2037(2)(5)

      2,951,832        2,932,632  

Towd Point Mortgage Funding

      

0.97% (3 Month Sterling Overnight Interbank Average Rate + 0.90%), 07/20/2045(1)(2)

    GBP     92,162,870        118,623,741  

Towd Point Mortgage Funding 2018 - Auburn 12 Plc

      

0.87% (3 Month LIBOR GBP + 0.80%), 02/20/2045(1)

      2,529,436        3,252,665  

Towd Point Mortgage Funding 2019 - Granite4 Plc

      

1.10% (3 Month LIBOR GBP + 1.03%), 10/20/2051(1)(2)

      27,334,255        35,170,815  

Towd Point Mortgage Trust 2019-4

      

2.90%, 10/25/2059(2)(5)

    $ 99,823,478        105,733,068  

UBS Commercial Mortgage Trust 2018-C9

      

4.32%, 03/15/2051(5)

      1,718,000        2,003,842  

UBS-Barclays Commercial Mortgage Trust 2012-C2

      

5.05%, 05/10/2063(2)(5)

      1,135,000        586,060  

5.05%, 05/10/2063(2)(5)

      2,750,000        1,118,051  

Verus Securitization Trust 2018-2

      

3.68%, 06/01/2058(2)(5)

      1,136,186        1,152,014  

3.78%, 06/01/2058(2)(5)

      721,915        728,946  

Verus Securitization Trust 2018-3

      

4.11%, 10/25/2058(2)(5)

      2,968,270        3,040,966  

4.18%, 10/25/2058(2)(5)

      2,739,915        2,749,207  

Verus Securitization Trust 2018-INV1

      

3.63%, 03/25/2058(2)(5)

      596,661        600,495  

Verus Securitization Trust 2018-INV2

      

4.15%, 10/25/2058(2)(5)

      2,899,158        2,939,785  

Verus Securitization Trust 2019-1

      

3.84%, 02/25/2059(2)(5)

      3,924,944        3,978,253  

Verus Securitization Trust 2019-2

      

3.78%, 05/25/2059(2)(5)

      12,360,000        12,610,751  

Verus Securitization Trust 2019-3

      

3.04%, 07/25/2059(2)(4)

      2,302,370        2,337,377  

Verus Securitization Trust 2019-4

      

2.64%, 11/25/2059(2)(4)

      3,502,885        3,571,186  

Verus Securitization Trust 2019-INV1

      

3.40%, 12/25/2059(2)(5)

      3,888,386        3,990,072  

3.66%, 12/25/2059(2)(5)

      1,286,394        1,313,584  

Verus Securitization Trust 2019-INV2

      

3.12%, 07/25/2059(2)(5)

      4,954,854        5,057,328  

Verus Securitization Trust 2019-INV3

      

2.69%, 11/25/2059(2)(5)

      7,595,106        7,784,117  

Verus Securitization Trust 2020-1

      

2.72%, 01/25/2060(2)(4)

      4,383,330        4,469,551  

Verus Securitization Trust 2020-INV1

      

3.89%, 03/25/2060(2)(5)

      805,000        837,635  

Vista Point Securitization Trust 2020-1

      

1.76%, 03/25/2065(2)(5)

      3,731,852        3,751,279  

3.20%, 03/25/2065(2)(5)

      3,765,000        3,803,043  

Vista Point Securitization Trust 2020-2

      

1.48%, 04/25/2065(2)(5)

      3,800,072        3,802,526  

Wachovia Bank Commercial Mortgage Trust Series 2006-C29

      

5.44%, 11/15/2048(5)

      2,083,674        2,088,775  

Wachovia Bank Commercial Mortgage Trust Series 2007-C33

      

5.84%, 02/15/2051(5)

      3,205,066        2,461,902  

WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust

      

0.48% (1 Month LIBOR USD + 0.33%, 0.33% Floor, 10.50% Cap), 01/25/2045(1)

      4,946,152        4,721,680  

WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust

      

0.47% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 08/25/2045(1)

      2,463,627        2,517,226  

WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust

      

0.44% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 10.50% Cap), 10/25/2045(1)

      3,822,032        3,769,176  

WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust

      

0.41% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap), 11/25/2045(1)

      5,026,494        4,849,873  

WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust

      

1.77% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047(1)

      12,413,449        11,379,156  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust

      

5.50%, 04/25/2037

      9,103,213        9,503,489  

Wells Fargo Commercial Mortgage Trust 2015-C30

      

3.66%, 09/15/2058

      1,280,000        1,427,232  

Wells Fargo Commercial Mortgage Trust 2016-C33

      

3.16%, 03/15/2059

      1,225,000        1,310,674  

4.51%, 03/15/2059(5)

      4,317,000        4,721,345  

Wells Fargo Commercial Mortgage Trust 2016-C35

      

3.18%, 07/15/2048

      3,155,000        3,394,643  

Wells Fargo Commercial Mortgage Trust 2016-LC24

      

3.37%, 10/15/2049

      6,000,000        6,524,629  

Wells Fargo Commercial Mortgage Trust 2017-C38

      

3.45%, 07/15/2050

      1,695,000        1,918,196  

Wells Fargo Commercial Mortgage Trust 2017-HSDB

      

1.00% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031(1)(2)

      8,100,000        7,777,993  

1.25% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031(1)(2)

      6,700,000        6,175,059  

2.00% (1 Month LIBOR USD + 1.84%, 1.85% Floor), 12/13/2031(1)(2)

      100,000        82,852  

Wells Fargo Commercial Mortgage Trust 2019-C50

      

4.19%, 05/15/2052

      2,085,000        2,173,834  

Wells Fargo Commercial Mortgage Trust 2019-C51

      

3.31%, 06/15/2052

      3,181,131        3,614,876  

Wells Fargo Commercial Mortgage Trust 2019-C54

      

3.67%, 12/15/2052

      4,420,000        4,789,182  

Wells Fargo Commercial Mortgage Trust 2019-JWDR

      

2.58%, 09/15/2031(2)(5)

      6,560,000        6,546,688  

2.79%, 09/15/2031(2)(5)

      1,880,000        1,811,138  

Wells Fargo Commercial Mortgage Trust 2020-C55

      

2.73%, 02/15/2053

      11,075,000        12,146,676  

3.14%, 02/15/2053

      2,375,000        2,437,541  

WFRBS Commercial Mortgage Trust 2011-C2

      

5.86%, 02/15/2044(2)(5)

      3,500,000        3,471,310  

WFRBS Commercial Mortgage Trust 2011-C5

      

5.84%, 11/15/2044(2)(5)

      115,000        111,298  

WFRBS Commercial Mortgage Trust 2012-C7

      

4.97%, 06/15/2045(2)(5)

      690,000        243,276  

WFRBS Commercial Mortgage Trust 2014-C19

      

4.72%, 03/15/2047(5)

      329,000        351,449  

WFRBS Commercial Mortgage Trust 2014-C22

      

4.07%, 09/15/2057(5)

      4,250,000        4,606,541  

Worldwide Plaza Trust 2017-WWP

      

3.53%, 11/10/2036(2)

      1,740,000        1,908,074  

3.72%, 11/10/2036(2)(5)

      320,000        330,044  
     

 

 

  

Total Mortgage-Backed Obligations (Cost: $6,001,907,654)

         6,122,528,537  
     

 

 

  

Total Bonds & Notes (Cost: $19,165,454,442)

 

      19,748,740,999  
     

 

 

  

BANK LOANS – 2.23%

      

1011778 BC ULC

      

1.90% (LIBOR + 1.75%), 11/19/2026(1)

      1,579,380        1,511,594  

ABG Intermediate Holdings 2 LLC

      

3.72% (LIBOR + 3.50%), 09/27/2024(1)

      2,347,139        2,296,418  

Acrisure LLC

      

3.65% (LIBOR + 3.50%), 02/15/2027(1)

      2,487,499        2,397,328  

Advanced Drainage Systems, Inc.

      

2.44% (LIBOR + 2.25%), 07/31/2026(1)

      404,671        403,324  

Advanz Pharma Corp.

      

6.50% (LIBOR + 5.50%), 09/06/2024(1)

      1,750,904        1,696,188  

AI Alpine U.S. Bidco, Inc.

      

4.21% (LIBOR + 3.00%), 10/31/2025(1)

      1,600,463        1,472,426  

AI Convoy SARL

      

3.75% (EURIBOR + 3.75%), 01/18/2027(1)

    EUR     1,000,000        1,149,658  

Aldevron LLC

      

5.25% (LIBOR + 4.25%), 10/12/2026(1)

    $ 4,359,733        4,357,902  

Alliant Holdings Intermediate LLC

      

2.90% (LIBOR + 2.75%), 05/09/2025(1)

      2,936,290        2,847,849  

Alphabet Holding Company, Inc.

      

3.65% (LIBOR + 3.50%), 09/26/2024(1)

      97,000        94,107  

Altice France SA

      

4.15% (LIBOR + 4.00%), 08/14/2026(1)

      1,375,500        1,333,492  

American Airlines, Inc.

      

1.90% (LIBOR + 1.75%), 01/29/2027(1)

      500,000        362,815  

Applied Systems, Inc.

      

4.25% (LIBOR + 3.25%), 09/19/2024(1)

      4,301,130        4,270,204  

Aramark Intermediate HoldCo Corp.

      

1.90% (LIBOR + 1.75%), 03/28/2024(1)

      1,631,808        1,564,496  

1.90% (LIBOR + 1.75%), 03/11/2025(1)

      186,533        177,999  

Ascend Learning LLC

      

4.00% (LIBOR + 3.00%), 07/12/2024(1)

      4,577,013        4,508,358  

Asurion LLC

      

3.15% (LIBOR + 3.00%), 11/03/2023(1)

      436,481        429,572  

3.15% (LIBOR + 3.00%), 11/03/2024(1)

      6,793,016        6,669,927  

6.65% (LIBOR + 6.50%), 08/04/2025(1)

      807,879        808,048  

ATI Holdings Acquisition, Inc.

      

0.00%, 05/10/2023

      1,651,365        1,561,581  

Avantor Funding, Inc.

      

3.25% (LIBOR + 2.25%), 11/21/2024(1)

      2,232,544        2,199,994  

Avolon TLB Borrower 1 U.S. LLC

      

2.25% (LIBOR + 1.50%), 02/12/2027(1)

      707,445        677,881  

2.50% (LIBOR + 1.75%), 01/15/2025(1)

      281,300        273,055  

Axalta Coating Systems Dutch Holding B BV

      

1.97% (LIBOR + 1.75%), 06/01/2024(1)

      68,123        66,433  

Azalea TopCo, Inc.

      

3.76% (LIBOR + 3.50%), 07/24/2026(1)

      2,777,389        2,668,043  

B&G Foods, Inc.

      

2.65% (LIBOR + 2.50%), 10/10/2026(1)

      631,763        629,198  

Bausch Health Companies, Inc.

      

2.90% (LIBOR + 2.75%), 11/27/2025(1)

      1,359,579        1,325,589  

3.15% (LIBOR + 3.00%), 06/02/2025(1)

      7,835,143        7,670,292  

Beacon Roofing Supply, Inc.

      

2.40% (LIBOR + 2.25%), 01/02/2025(1)

      117,000        113,155  

Berry Global, Inc.

      

2.16% (LIBOR + 2.00%), 07/01/2026(1)

      1,602,213        1,552,352  

Brookfield WEC Holdings, Inc.

      

3.75% (LIBOR + 3.00%), 08/01/2025(1)

      3,016,375        2,936,653  

Buckeye Partners, LP

      

2.90% (LIBOR + 2.75%), 11/01/2026(1)

      3,596,925        3,524,986  

Caesars Resort Collection LLC

      

2.90% (LIBOR + 2.75%), 12/23/2024(1)

      7,600,476        7,102,037  

4.69% (LIBOR + 4.50%), 07/21/2025(1)

      3,485,000        3,367,869  

Calpine Corp.

      

2.40% (LIBOR + 2.25%), 04/05/2026(1)

      4,542,500        4,415,673  

Camelot U.S. Acquisition 1 Co.

      

3.15% (LIBOR + 3.00%), 10/30/2026(1)

      3,920,375        3,840,752  

Carnival Corp.

      

7.50% (EURIBOR + 7.50%), 06/30/2025(1)

    EUR 4,987,500        5,774,499  

8.50% (LIBOR + 7.50%), 06/30/2025(1)

    $ 10,773,000        10,883,746  

Catalent Pharma Solutions, Inc.

      

3.25% (LIBOR + 2.25%), 05/18/2026(1)

      3,851,350        3,827,279  

CCC Information Services, Inc.

      

4.00% (LIBOR + 3.00%), 04/29/2024(1)

      3,433,572        3,404,249  

CenturyLink, Inc.

      

2.15% (LIBOR + 2.00%), 01/31/2025(1)

      1,443,750        1,393,219  

2.40% (LIBOR + 2.25%), 03/15/2027(1)

      2,077,203        1,992,266  

Ceridian HCM Holding, Inc.

      

2.60% (LIBOR + 2.50%), 04/30/2025(1)

      2,924,829        2,830,678  

Change Healthcare Holdings LLC

      

3.50% (LIBOR + 2.50%), 03/01/2024(1)

      1,941,420        1,898,048  

Charter Communications Operating LLC

      

1.90% (LIBOR + 1.75%), 02/01/2027(1)

      7,440,262        7,260,878  

Charter NEX US, Inc.

      

3.40% (LIBOR + 3.25%), 05/16/2024(1)

      6,410,407        6,243,480  

Churchill Downs, Inc.

      

2.15% (LIBOR + 2.00%), 12/27/2024(1)

      488,693        471,741  

Clarios Global, LP

      

3.65% (LIBOR + 3.50%), 04/30/2026(1)

      4,690,113        4,562,588  

Clean Harbors, Inc.

      

1.90% (LIBOR + 1.75%), 06/28/2024(1)

      488,636        486,926  

Clear Channel Outdoor Holdings, Inc.

      

3.76% (LIBOR + 3.50%), 08/21/2026(1)

      2,243,011        2,036,093  

CommScope, Inc.

      

3.40% (LIBOR + 3.25%), 04/06/2026(1)

      2,871,000        2,792,564  

Core & Main, LP

      

3.75% (LIBOR + 2.75%), 08/01/2024(1)

      97,250        95,092  

CPI Holdco LLC

      

4.40% (LIBOR + 4.25%), 11/04/2026(1)

      5,196,877        5,157,901  

CSC Holdings LLC

      

2.40% (LIBOR + 2.25%), 07/17/2025(1)

      3,920,088        3,785,668  

2.40% (LIBOR + 2.25%), 01/15/2026(1)

      5,812,435        5,607,779  

2.65% (LIBOR + 2.50%), 04/15/2027(1)

      3,130,509        3,029,425  

Dell International LLC

      

2.75% (LIBOR + 2.00%), 09/19/2025(1)

      93,813        93,318  

Delos Finance SARL

      

1.97% (LIBOR + 1.75%), 10/06/2023(1)

      1,690,000        1,648,595  

Delta Air Lines, Inc.

      

5.75% (LIBOR + 4.75%), 04/29/2023(1)

      1,908,218        1,903,447  

Diamond Resorts International, Inc.

      

4.75% (LIBOR + 3.75%), 09/02/2023(1)

      6,302,734        5,572,688  

Dun & Bradstreet Corp.

      

3.89% (LIBOR + 3.75%), 02/06/2026(1)

      2,686,500        2,655,605  

Dynasty Acquisition Co., Inc.

      

3.72% (LIBOR + 3.50%), 04/06/2026(1)

      1,049,500        922,815  

3.72% (LIBOR + 3.50%), 04/06/2026(1)

      1,952,070        1,716,436  

Eastern Power LLC

      

4.75% (LIBOR + 3.75%), 10/02/2025(1)

      4,643,005        4,599,500  

Elanco Animal Health, Inc.

      

1.91% (LIBOR + 1.75%), 08/01/2027(1)

      6,592,105        6,399,814  

Envision Healthcare Corp.

      

3.90% (LIBOR + 3.75%), 10/10/2025(1)

      4,707,064        3,384,897  

ExamWorks Group, Inc.

      

4.25% (LIBOR + 3.25%), 07/27/2023(1)

      2,397,707        2,377,926  

Filtration Group Corp.

      

3.15% (LIBOR + 3.00%), 03/31/2025(1)

      6,940,136        6,793,769  

Flutter Entertainment Plc

      

3.72% (LIBOR + 3.50%), 07/10/2025(1)

      1,209,137        1,205,026  

Forest City Enterprises, LP

      

3.65% (LIBOR + 3.50%), 12/08/2025(1)

      786,000        766,845  

Four Seasons Holdings, Inc.

      

2.15% (LIBOR + 2.00%), 11/30/2023(1)

      625,129        607,156  

Frontier Communications Corp.

      

0.00%, 06/15/2024

      4,898,376        4,807,903  

Gentiva Health Services, Inc.

      

3.44% (LIBOR + 3.25%), 07/02/2025(1)

      314,420        307,544  

GFL Environmental, Inc.

      

4.00% (LIBOR + 3.00%), 05/30/2025(1)

      4,142,559        4,119,775  

Gray Television, Inc.

      

2.66% (LIBOR + 2.50%), 01/02/2026(1)

      509,786        500,171  

Grifols Worldwide Operations Ltd.

      

2.10% (LIBOR + 2.00%), 11/15/2027(1)

      496,250        485,397  

HCA, Inc.

      

1.90% (LIBOR + 1.75%), 03/13/2025(1)

      3,179,618        3,162,003  

Hilton Worldwide Finance LLC

      

1.90% (LIBOR + 1.75%), 06/22/2026(1)

      7,631,741        7,354,174  

Hostess Brands LLC

      

3.00% (LIBOR + 2.25%), 08/03/2025(1)

      1,687,218        1,656,747  

HUB International Ltd.

      

3.26% (LIBOR + 3.00%), 04/25/2025(1)

      3,975,570        3,837,181  

5.00% (LIBOR + 4.00%), 04/25/2025(1)

      2,367,113        2,356,011  

Hyland Software, Inc.

      

4.00% (LIBOR + 3.25%), 07/01/2024(1)

      4,705,514        4,680,998  

Ineos Finance Plc

      

2.50% (EURIBOR + 2.00%), 04/01/2024(1)

    EUR 5,938,931        6,806,430  

Intelsat Jackson Holdings SA

      

5.05% (LIBOR + 5.50%), 07/13/2022(1)(3)

    $ 2,647,518        2,689,428  

8.00% (LIBOR + 5.75%), 11/27/2023(1)

      13,900,000        13,948,233  

IPS Acquisition LLC

      

4.25% (LIBOR + 3.25%), 11/07/2024(1)

      540,608        529,795  

IQVIA, Inc.

      

1.90% (LIBOR + 1.75%), 01/17/2025(1)

      732,997        722,156  

1.97% (LIBOR + 1.75%), 06/11/2025(1)

      1,240,482        1,221,565  

IRB Holding Corp.

      

3.75% (LIBOR + 2.75%), 02/05/2025(1)

      97,500        92,936  

Iridium Satellite LLC

      

4.75% (LIBOR + 3.75%), 11/04/2026(1)

      3,756,125        3,744,068  

Jaguar Holding Co. I LLC

      

3.50% (LIBOR + 2.50%), 08/18/2022(1)

      2,524,309        2,512,824  

KAR Auction Services, Inc.

      

2.44% (LIBOR + 2.25%), 09/19/2026(1)

      544,500        524,081  

KFC Holding Co.

      

1.90% (LIBOR + 1.75%), 04/03/2025(1)

      13,776,507        13,429,201  

Lamar Media Corp.

      

1.66% (LIBOR + 1.50%), 02/05/2027(1)

      3,160,000        3,087,573  

Lealand Finance Company BV

      

3.15% (LIBOR + 3.00%), 06/28/2024(1)

      148,837        128,000  

4.15% (LIBOR + 3.00%), 06/30/2025(1)

      590,937        441,235  

Level 3 Financing, Inc.

      

1.90% (LIBOR + 1.75%), 03/01/2027(1)

      11,790,353        11,410,822  

LifePoint Health, Inc.

      

3.90% (LIBOR + 3.75%), 11/16/2025(1)

      4,651,741        4,512,189  

Marriott Ownership Resorts, Inc.

      

1.90% (LIBOR + 1.75%), 08/29/2025(1)

      2,627,892        2,506,352  

Meredith Corp.

      

2.65% (LIBOR + 2.50%), 01/31/2025(1)

      57,874        55,668  

Messer Industries GmbH

      

2.72% (LIBOR + 2.50%), 03/02/2026(1)

      2,674,875        2,614,690  

MH Sub I LLC

      

3.65% (LIBOR + 3.50%), 09/13/2024(1)

      300,700        292,055  

Mileage Plus Holdings LLC

      

6.25% (LIBOR + 5.25%), 06/21/2027(1)

      2,515,000        2,554,133  

MPH Acquisition Holdings LLC

      

3.75% (LIBOR + 2.75%), 06/07/2023(1)

      1,242,681        1,221,381  

Nascar Holdings, Inc.

      

2.89% (LIBOR + 2.75%), 10/19/2026(1)

      726,490        707,724  

Neiman Marcus Group LLC Ltd.

      

0.00%, 09/25/2025

      710,421        726,995  

Nexstar Broadcasting, Inc.

      

2.39% (LIBOR + 2.25%), 01/17/2024(1)

      1,156,689        1,126,326  

Nouryon Finance BV

      

3.15% (LIBOR + 3.00%), 10/01/2025(1)

      1,544,827        1,493,523  

PAREXEL International Corp.

      

2.90% (LIBOR + 2.75%), 09/27/2024(1)

      10,288,065        9,857,303  

Penn National Gaming, Inc.

      

3.00% (LIBOR + 2.25%), 10/15/2025(1)

      491,250        476,689  

PetSmart, Inc.

      

4.50% (LIBOR + 3.50%), 03/11/2022(1)

      36,090,447        35,980,732  

Pike Corp.

      

3.15% (LIBOR + 3.00%), 07/24/2026(1)

      1,250,000        1,237,500  

Ply Gem Midco, Inc.

      

3.90% (LIBOR + 3.75%), 04/12/2025(1)

      1,144,626        1,121,379  

PODS LLC

      

3.75% (LIBOR + 2.75%), 12/06/2024(1)

      738,162        721,864  

PQ Corp.

      

2.51% (LIBOR + 2.25%), 02/07/2027(1)

      3,314,926        3,227,909  

Qatar National Bank SAQ

      

1.15% (LIBOR + 0.90%), 12/22/2020(1)

      2,650,000        2,583,750  

Refinitiv U.S. Holdings, Inc.

      

3.40% (LIBOR + 3.25%), 10/01/2025(1)

      9,056,241        8,957,618  

Reynolds Consumer Products LLC

      

1.90% (LIBOR + 1.75%), 02/04/2027(1)

      4,677,520        4,613,204  

Reynolds Group Holdings, Inc.

      

3.98% (LIBOR + 2.75%), 02/05/2023(1)

      2,925,061        2,885,953  

SBA Senior Finance II LLC

      

1.90% (LIBOR + 1.75%), 04/11/2025(1)

      1,564,000        1,521,522  

Sequa Mezzanine Holdings LLC

      

5.00% (LIBOR + 4.00%), 04/28/2024(1)

      676,500        527,670  

7.75% (LIBOR + 6.75%), 11/28/2023(1)

      8,845,590        8,370,139  

Servicemaster Company LLC

      

1.94% (LIBOR + 1.75%), 11/05/2026(1)

      1,288,525        1,266,672  

Sigma Holdco BV

      

3.50% (EURIBOR + 3.50%), 07/02/2025(1)

    EUR 7,690,000        8,738,443  

Simply Good Foods USA, Inc.

      

4.75% (LIBOR + 3.75%), 07/07/2024(1)

    $ 1,101,045        1,101,739  

Sinclair Television Group, Inc.

      

2.65% (LIBOR + 2.50%), 09/30/2026(1)

      630,630        613,603  

Solera LLC

      

2.94% (LIBOR + 2.75%), 03/03/2023(1)

      4,540,569        4,440,948  

SS&C Technologies Holdings, Inc.

      

1.90% (LIBOR + 1.75%), 04/16/2025(1)

      413,726        399,937  

1.90% (LIBOR + 1.75%), 04/16/2025(1)

      578,616        559,331  

Sunshine Luxembourg VII SARL

      

3.75% (EURIBOR + 3.75%), 10/01/2026(1)

    EUR 1,000,000        1,149,669  

4.47% (LIBOR + 4.25%), 10/01/2026(1)

    $ 5,173,935        5,139,166  

Syniverse Holdings, Inc.

      

6.00% (LIBOR + 5.00%), 03/09/2023(1)

      459,820        352,912  

Telenet Financing USD LLC

      

2.15% (LIBOR + 2.00%), 04/30/2028(1)

      1,250,000        1,204,888  

T-Mobile USA, Inc.

      

3.15% (LIBOR + 3.00%), 04/01/2027(1)

      6,633,375        6,623,292  

Trans Union LLC

      

1.90% (LIBOR + 1.75%), 11/16/2026(1)

      2,350,472        2,288,396  

TransDigm, Inc.

      

2.40% (LIBOR + 2.25%), 08/22/2024(1)

      2,653,317        2,507,092  

2.40% (LIBOR + 2.25%), 05/30/2025(1)

      1,233,125        1,163,614  

Uber Technologies, Inc.

      

5.00% (LIBOR + 4.00%), 04/04/2025(1)

      2,788,985        2,763,578  

UFC Holdings LLC

      

4.25% (LIBOR + 3.25%), 04/29/2026(1)

      5,997,347        5,884,897  

Ultimate Software Group, Inc.

      

4.75% (LIBOR + 4.00%), 05/04/2026(1)

      9,185,000        9,151,750  

7.50% (LIBOR + 6.75%), 05/03/2027(1)

      450,000        457,502  

Univision Communications, Inc.

      

3.75% (LIBOR + 2.75%), 03/15/2024(1)

      3,829,674        3,678,555  

USI, Inc.

      

4.22% (LIBOR + 4.00%), 12/02/2026(1)

      605,425        598,360  

Vertical Midco GmbH

      

4.57% (LIBOR + 4.25%), 07/30/2027(1)

      2,210,000        2,189,093  

VICI Properties 1 LLC

      

1.91% (LIBOR + 1.75%), 12/20/2024(1)

      500,000        482,445  

Wand Newco 3, Inc.

      

3.15% (LIBOR + 3.00%), 02/05/2026(1)

      1,852,005        1,784,296  

Weight Watchers International, Inc.

      

5.50% (LIBOR + 4.75%), 11/29/2024(1)

      861,022        856,932  

Western Digital Corp.

      

1.66% (LIBOR + 1.50%), 02/27/2023(1)

      4,071,154        3,965,996  

1.91% (LIBOR + 1.75%), 04/29/2023(1)

      2,982,653        2,953,900  

Whatabrands LLC

      

2.91% (LIBOR + 2.75%), 07/31/2026(1)

      230,674        225,304  

Windstream Services LLC

      

0.00%, 03/29/2021

      195,661        117,788  

0.00%, 02/17/2024

      23,189        13,914  

7.25% (LIBOR + 6.25%), 08/24/2027(1)

      73,815        71,262  

Wink Holdco, Inc.

      

4.00% (LIBOR + 3.00%), 12/02/2024(1)

      1,960,549        1,953,197  

Wyndham Hotels & Resorts, Inc.

      

1.90% (LIBOR + 1.75%), 05/30/2025(1)

      196,000        188,711  

Zayo Group Holdings, Inc.

      

3.15% (LIBOR + 3.00%), 03/09/2027(1)

      4,596,900        4,454,902  
     

 

 

  

Total Bank Loans (Cost: $476,491,392)

 

      470,251,807  
     

 

 

  
     Shares      Value  

COMMON STOCKS – 0.03%

      

Communications – 0.01%

      

Clear Channel Outdoor Holdings, Inc. - Class A(11)

      2,064,946        2,064,946  

iHeartMedia, Inc. - Class A(11)

      139,553        1,133,170  

iHeartMedia, Inc. - Class B(11)(15)

      1,787        13,060  
     

 

 

  

Total Communications

 

      3,211,176  
     

 

 

  

Consumer Discretionary – 0.01%

      

Neiman Marcus Group, Inc.(11)(14)(15)

      62,326        2,006,897  
     

 

 

  

Total Consumer Discretionary

 

      2,006,897  
     

 

 

  

Industrials – 0.01%

      

AMI Investments LLC(11)(14)(15)

      206,310        1,180,093  

Mcdermott International Ltd.(11)

      261,298        627,115  
     

 

 

  

Total Industrials

 

      1,807,208  
     

 

 

  

Total Common Stocks (Cost: $18,119,536)

 

      7,025,281  
     

 

 

  

CONVERTIBLE PREFERRED STOCKS – 0.12%

      

Consumer, Non-cyclical – 0.04%

      

Bunge Ltd., 4.88%

      82,720        8,127,240  
     

 

 

  

Total Consumer, Non-cyclical

 

      8,127,240  
     

 

 

  

Financials – 0.07%

      

Bank of America Corp., 7.25%

      4,827        7,182,576  

Wells Fargo & Co., 7.50%

      5,600        7,515,480  
     

 

 

  

Total Financials

 

      14,698,056  
     

 

 

  

Utilities – 0.01%

      

NextEra Energy, Inc., 5.28%

      34,441        1,607,706  
     

 

 

  

Total Utilities

 

      1,607,706  
     

 

 

  

Total Convertible Preferred Stocks (Cost: $23,987,057)

 

      24,433,002  
     

 

 

  

PREFERRED STOCKS – 0.13%

      

Communications – 0.13%

      

AT&T Mobility II LLC, 7.00%(11)(14)

      1,036,052        28,023,049  
     

 

 

  

Total Communications

 

      28,023,049  
     

 

 

  

Total Preferred Stocks (Cost: $28,023,048)

 

      28,023,049  
     

 

 

  

WARRANTS – 0.03%

      

Communications – 0.03%

      

iHeartMedia, Inc., expires 05/01/2039(11)(15)

      723,037        5,283,954  
     

 

 

  

Total Communications

 

      5,283,954  
     

 

 

  

Total Warrants (Cost: $14,531,679)

 

      5,283,954  
     

 

 

  

SHORT-TERM INVESTMENTS – 16.50%

      

Money Market Funds – 2.48%

      

Fidelity Institutional Money Market Government Fund - Class I, 0.03%(12)

      522,791,506        522,791,506  
     

 

 

  

Total Money Market Funds (Cost: $522,791,506)

         522,791,506  
     

 

 

  
     Principal
Amount		      Value  

Government Related – 0.04%

      

Argentina Treasury Bond BONCER, 1.10%, 04/17/2021

    ARS 86,830,000        1,285,737  

Republic of Argentina, 0.00%, 10/13/2020

      471,161,000        6,845,542  
     

 

 

  

Total Government Related (Cost: $8,087,634)

         8,131,279  
     

 

 

  

Commercial Paper – 0.08%

      

Ford Motor Credit Co. LLC, 3.20%, 10/14/2020(14)

    $ 17,380,000        17,370,957  
     

 

 

  

Total Commercial Paper (Cost: $17,360,544)

         17,370,957  
     

 

 

  

Repurchase Agreements – 7.51%

      

Bank of America Securities, Inc., 0.11% dated 09/29/2020, due 10/01/2020, repurchase price $449,402,746 (collateralized by U.S. Treasury Note, value $458,549,603, 1.75%, 06/15/2022)

      449,400,000        449,400,000  

Bank of America Securities, Inc., 0.12% dated 09/16/2020, due 10/01/2020, repurchase price $170,006,233 (collateralized by U.S. Treasury Bond, value $173,335,991, 3.00%, 05/15/2047)

      170,000,000        170,000,000  

J.P. Morgan Securities, 0.11% dated 09/30/2020, due 10/01/2020, repurchase price $404,601,236 (collateralized by U.S. Treasury Bond, value $410,692,857, 3.38%, 11/15/2048)

      404,600,000        404,600,000  

J.P. Morgan Securities, 0.11% dated 09/30/2020, due 10/02/2020, repurchase price $561,703,433 (collateralized by U.S. Treasury Bond, value $568,027,469, 3.00%, 11/15/2044)

      561,700,000        561,700,000  
     

 

 

  

Total Repurchase Agreements (Cost: $1,585,700,000)

         1,585,700,000  
     

 

 

  

U.S. Treasury Bills – 6.18%

     

U.S. Cash Management Bill, 0.00%, 01/19/2021

      72,775,000       72,751,652  

U.S. Cash Management Bill, 0.00%, 01/26/2021

      31,060,000       31,047,382  

U.S. Cash Management Bill, 0.00%, 02/16/2021

      227,900,000       227,808,270  

U.S. Treasury Bill, 0.00%, 10/27/2020

      203,275,000       203,263,255  

U.S. Treasury Bill, 0.00%, 11/03/2020

      53,685,000       53,680,433  

U.S. Treasury Bill, 0.00%, 11/24/2020

      30,095,000       30,090,824  

U.S. Treasury Bill, 0.00%, 11/27/2020

      250,000,000       249,960,418  

U.S. Treasury Bill, 0.00%, 12/03/2020

      37,200,000       37,193,490  

U.S. Treasury Bill, 0.00%, 12/10/2020(9)

      12,100,000       12,097,647  

U.S. Treasury Bill, 0.00%, 01/07/2021

      99,195,000       99,168,335  

U.S. Treasury Bill, 0.00%, 01/14/2021

      132,560,000       132,518,437  

U.S. Treasury Bill, 0.00%, 01/21/2021

      66,125,000       66,103,399  

U.S. Treasury Bill, 0.00%, 02/04/2021

      48,465,000       48,447,189  

U.S. Treasury Bill, 0.00%, 02/11/2021

      40,530,000       40,513,529  
    

 

 

  

Total U.S. Treasury Bills (Cost: $1,304,569,536)

        1,304,644,260  
    

 

 

  

Time Deposits – 0.21%

     

ANZ, London, 0.01% due 10/01/2020

      53,985       53,985  

BNP Paribas, Paris, -1.49% due 10/01/2020

    CHF 119,526       129,772  

Brown Brothers Harriman, -0.69% due 10/01/2020

    EUR 3,021       3,542  

Brown Brothers Harriman, -0.28% due 10/01/2020

    SEK 387       43  

Brown Brothers Harriman, 0.00% due 10/01/2020

    AUD 2,109,092       1,510,637  

Brown Brothers Harriman, 0.03% due 10/01/2020

    CAD 120,720       90,662  

Citibank, London, -0.69% due 10/01/2020

    EUR 468,759       549,596  

Citibank, London, 0.01% due 10/01/2020

    GBP 1,272,717       1,642,250  

Citibank, New York, 0.01% due 10/01/2020

    $ 26,006,952       26,006,952  

Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 10/01/2020

      14,255,647       14,255,647  
    

 

 

  

Total Time Deposits (Cost: $44,243,086)

        44,243,086  
    

 

 

  

Total Short-Term Investments (Cost: $3,482,752,306)

 

     3,482,881,088  
    

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 112.61%

(Cost: $23,209,359,460)

        23,766,639,180  
    

 

 

  

TBA SALES COMMITMENTS – (0.79)%

     

Mortgage-Backed Obligations – (0.79)%

     

Fannie Mae

     

2.00%, 10/01/2050(13)

      (120,000,000 )      (124,050,000 ) 

2.50%, 10/01/2050(13)

      (34,720,000 )      (36,415,312 ) 

3.50%, 10/01/2035(13)

      (6,180,000 )      (6,535,229 ) 
    

 

 

  

Total TBA Sales Commitments (Proceeds Received: $166,482,934)

        (167,000,541 ) 
    

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS – (11.82)%

        (2,494,537,903 ) 
    

 

 

  

TOTAL NET ASSETS – 100.00%

      $ 21,105,100,736  
    

 

 

  

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

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

GBP British Pound

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 September 30, 2020.

(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 totals $5,030,001,730, which represents 23.83% of total net assets.

(3)

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.

(4)

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 September 30, 2020.

(5)

Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of September 30, 2020.

(6)

Security in default as of September 30, 2020. The value of these securities totals $37,542,397, which represents 0.18% of total net assets.

(7)

Amount calculated is less than 0.005%.

(8)

Inflation protected security. The value of these securities totals $138,001,880, which represents 0.65% of total net assets.

(9)

Partially assigned as collateral for certain future contracts, swap contracts and repurchase agreements. The value of these pledged issues totals $58,880,812, which represents 0.28% of total net assets.

(10)

Delayed delivery purchase commitment security. The value of these securities totals $2,106,395,541, which represents 9.98% of total net assets.

(11)

Non-income producing security.

(12)

Represents annualized seven-day yield as of the close of the reporting period.

(13)

Delayed delivery sales commitment security. The value of these securities totals $(167,000,541), which represents (0.79)% of total net assets.

(14)

Security that is restricted at September 30, 2020. The value of the restricted securities totals $71,980,942, which represents 0.34% of total net assets.

(15)

Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $8,484,004 or 0.04% of the Fund’s net assets.

The accompanying notes are an integral part of this Schedule of Investments.

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      Dec. 2020      AUD 40,715,046     $ 29,425,716     $ 263,566  
  641      Euro-Btp Future    Goldman Sachs      Dec. 2020      EUR 93,213,770       110,912,338       1,623,855  
  9,808      U.S. 10 Year Note Future    Goldman Sachs      Dec. 2020      $ 1,365,727,526       1,368,522,500       2,794,974  
  4,193      U.S. 5 Year Note Future    Citigroup Global Markets      Dec. 2020        528,120,147       528,449,032       328,885  
  2,070      U.S. Long Bond    Goldman Sachs      Dec. 2020        367,007,345       364,902,188       (2,105,157 ) 
  605      U.S. Treasury 2-Year Notes    Goldman Sachs      Dec. 2020        133,653,008       133,681,368       28,360  
  41      U.S. Ultra Bond    Citigroup Global Markets      Dec. 2020        9,153,664       9,094,313       (59,351 ) 
  1,303      U.S. Ultra Bond    Goldman Sachs      Dec. 2020        291,111,543       289,021,687       (2,089,856 ) 
               

 

 

  
                $ 785,276  
               

 

 

  

Number of Contracts Sold

     

Reference Entity

   

Counterparty

    Expiration Date      Notional
Amount		     Value     Unrealized
Appreciation/
(Depreciation)		  
  (2,080)      U.S. 5 Year Note Future    Goldman Sachs      Dec. 2020      $ (261,901,251 )    $ (262,145,000 )    $ (243,749 ) 
  (118)      U.S. Ultra 10-Year Notes    Citigroup Global Markets      Dec. 2020        (18,849,953 )      (18,870,781 )      (20,828 ) 
  (1,513)      U.S. Ultra 10-Year Notes    Goldman Sachs      Dec. 2020        (241,465,356 )      (241,961,797 )      (496,441 ) 
  (78)      U.S. Ultra Bond    Goldman Sachs      Dec. 2020        (17,423,762 )      (17,301,375 )      122,387  
               

 

 

  
                $ (638,631 ) 
               

 

 

  
                $ 146,645  
               

 

 

  

Over-the-Counter Forward Foreign Currency Exchange Contracts

 

Currency Purchased

      Currency Sold      Settlement
Date		     

Counterparty

    Unrealized
Appreciation/
(Depreciation)		  

AUD

      13,995,000      USD     9,876,252        10/23/20      Citibank    $ 148,080  

BRL*

      156,049,575      USD     27,664,931        10/02/20      Deutsche Bank      122,169  

CAD

      13,275,000      USD     9,859,361        10/23/20      HSBC      110,890  

CHF

      5,035,000      USD     5,382,177        10/23/20      Credit Suisse International      87,670  

CHF

      4,160,000      USD     4,489,134        10/23/20      J.P. Morgan      30,144  

EUR

      875,000      USD     1,025,064        10/02/20      Morgan Stanley      829  

GBP

      14,205,000      USD     18,083,478        10/02/20      BNP Paribas      245,933  

GBP

      863,000      USD     1,110,021        10/02/20      J.P. Morgan      3,551  

GBP

      4,270,000      USD     5,408,475        10/23/20      Barclays Bank      101,920  

GBP

      3,495,000      USD     4,451,987        10/23/20      J.P. Morgan      58,278  

IDR*

      402,636,139,000      USD     26,771,732        12/16/20      Bank Of America      79,180  

INR*

      2,063,547,450      USD     27,426,494        12/16/20      BNP Paribas      399,119  

JPY

      475,950,000      USD     4,446,572        10/23/20      Barclays Bank      67,365  

JPY

      577,920,000      USD     5,397,333        10/23/20      J.P. Morgan      83,694  

JPY

      740,705,000      USD     7,000,511        10/23/20      UBS      24,378  

MXN

      33,876,000      USD     1,489,317        10/21/20      J.P. Morgan      39,186  

MXN

      142,098,000      USD     6,374,708        12/09/20      BNP Paribas      783  

NOK

      50,610,000      USD     5,402,599        10/23/20      J.P. Morgan      23,418  

NZD

      8,200,000      USD     5,399,700        10/23/20      HSBC      25,016  

USD

      1,688,129      EUR     1,427,000        10/02/20      Bank Of America      15,043  

USD

      5,726,702      GBP     4,308,000        10/02/20      Bank Of America      167,878  

USD

      389,218,671      EUR     325,232,000        10/02/20      BNP Paribas      7,900,485  

USD

      28,086,677      BRL*     156,049,575        10/02/20      Deutsche Bank      299,577  

USD

      76,826,848      EUR     64,674,000        10/02/20      J.P. Morgan      999,831  

USD

      15,893,188      EUR     13,434,000        10/02/20      Morgan Stanley      142,497  

USD

      413,974,798      GBP     309,520,000        10/02/20      Morgan Stanley      14,585,907  

USD

      1,585,984      MXN     33,876,000        10/21/20      Goldman Sachs      57,482  

USD

      6,446,693      NZD     9,720,000        10/23/20      Bank Of America      16,420  

USD

      10,152,592      AUD     14,090,000        10/23/20      Barclays Bank      60,213  

USD

      6,539,600      CAD     8,625,000        10/23/20      Canadian Imperial Bank      61,754  

USD

      6,351,432      AUD     8,795,000        10/23/20      Citibank      51,753  

USD

      6,370,399      CHF     5,845,000        10/23/20      Credit Suisse International      20,596  

USD

      10,204,108      NZD     15,330,000        10/23/20      Credit Suisse International      62,536  

USD

      10,103,518      CAD     13,430,000        10/23/20      HSBC      16,854  

USD

      6,113,224      NOK     55,440,000        10/23/20      J.P. Morgan      169,371  

USD

      6,330,344      GBP     4,860,000        10/23/20      Morgan Stanley      58,559  

USD

      9,818,479      NOK     91,480,000        10/23/20      Morgan Stanley      10,693  

USD

      10,224,637      CHF     9,375,000        10/23/20      UBS      39,965  

USD

      10,406,795      JPY     1,090,690,000        10/23/20      UBS      62,627  

USD

      480,292,068      EUR     409,311,000        11/03/20      BNP Paribas      70,607  

USD

      9,462,451      CAD     12,524,000        11/17/20      BNP Paribas      55,557  

USD

      8,327,347      EUR     7,007,698        11/20/20      Citibank      102,716  

USD

      5,383,815      EUR     4,565,000        11/20/20      HSBC      26,073  

USD

      10,401,048      EUR     8,855,000        11/20/20      J.P. Morgan      8,319  

USD

      10,089,624      SEK     89,750,000        11/20/20      J.P. Morgan      63,099  

USD

      6,371,729      SEK     56,155,000        11/20/20      UBS      98,308  

USD

      13,385,462      CAD     17,615,000        12/16/20      BNP Paribas      151,897  

USD

      7,998,957      PEN*     28,785,047        02/26/21      Deutsche Bank      19,086  
                

 

 

  
      Total Unrealized Appreciation      27,047,306  
                

 

 

  

AUD

      6,715,000      USD     4,949,660        10/23/20      Goldman Sachs      (139,843 ) 

AUD

      2,175,000      USD     1,566,283        10/23/20      UBS      (8,375 ) 

BRL*

      156,049,575      USD     27,827,236        10/02/20      Morgan Stanley      (40,136 ) 

BRL*

      156,049,575      USD     28,064,956        11/04/20      Deutsche Bank      (302,549 ) 

CAD

      2,185,000      USD     1,644,576        10/23/20      Goldman Sachs      (3,522 ) 

CAD

      6,595,000      USD     5,045,096        10/23/20      HSBC      (91,890 ) 

CAD

      1,389,000      USD     1,055,945        11/17/20      BNP Paribas      (12,654 ) 

CHF

      4,650,000      USD     5,120,581        10/23/20      Credit Suisse International      (68,984 ) 

CHF

      1,375,000      USD     1,518,570        10/23/20      Goldman Sachs      (24,818 ) 

EUR

      9,882,000      USD     11,728,034        10/02/20      J.P. Morgan      (141,885 ) 

EUR

      1,975,886      USD     2,351,140        11/20/20      Bank Of America      (32,128 ) 

EUR

      1,296,232      USD     1,537,317        11/20/20      HSBC      (15,986 ) 

EUR

      3,285,000      USD     3,918,401        11/20/20      J.P. Morgan      (62,939 ) 

GBP

      2,397,000      USD     3,104,326        10/02/20      J.P. Morgan      (11,359 ) 

GBP

      3,775,000      USD     5,052,015        10/23/20      J.P. Morgan      (180,412 ) 

GBP

      1,100,000      USD     1,443,855        10/23/20      UBS      (24,315 ) 

MXN

      931,395,152      USD     42,125,516        12/09/20      Goldman Sachs      (336,743 ) 

MXN

      33,876,000      USD     1,560,739        03/10/21      Goldman Sachs      (57,146 ) 

NOK

      54,870,000      USD     6,042,608        10/23/20      Citibank      (159,866 ) 

NOK

      41,440,000      USD     4,718,615        10/23/20      J.P. Morgan      (275,735 ) 

NZD

      10,125,000      USD     6,806,240        10/23/20      HSBC      (108,039 ) 

NZD

      6,725,000      USD     4,483,275        10/23/20      J.P. Morgan      (34,347 ) 

RUB*

      2,490,255,417      USD     34,852,145        10/13/20      Goldman Sachs      (2,836,340 ) 

RUB*

      485,190,814      USD     6,794,961        10/16/20      BNP Paribas      (558,555 ) 

RUB*

      341,447,018      USD     4,732,355        10/16/20      Goldman Sachs      (343,562 ) 

SEK

      101,205,000      USD     11,671,979        11/20/20      Citibank      (365,746 ) 

SEK

      44,700,000      USD     5,150,901        11/20/20      J.P. Morgan      (157,189 ) 

TRY

      4,979,000      USD     655,400        10/20/20      J.P. Morgan      (13,388 ) 

TRY

      5,430,000      USD     716,289        10/26/20      BNP Paribas      (17,433 ) 

USD

      83,529      JPY     8,855,584        10/02/20      BNP Paribas      (438 ) 

USD

      27,664,931      BRL*     156,049,575        10/02/20      Morgan Stanley      (122,169 ) 

USD

      17,896,259      EUR     15,301,000        10/02/20      Morgan Stanley      (43,395 ) 

USD

      55,112      JPY     5,844,416        10/02/20      Morgan Stanley      (304 ) 

USD

      9,931,909      GBP     7,780,000        10/23/20      Barclays Bank      (108,109 ) 

USD

      6,644,140      JPY     703,885,000        10/23/20      Barclays Bank      (31,546 ) 

USD

      380,245,880      GBP     296,363,000        11/03/20      Goldman Sachs      (2,230,538 ) 

USD

      21,813,062      NZD     33,217,000        11/17/20      BNP Paribas      (161,027 ) 
                

 

 

  
      Total Unrealized Depreciation      (9,123,410 ) 
                

 

 

  
      Net Unrealized Appreciation    $ 17,923,896  
                

 

 

  

 

*

Non-deliverable forward

AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CHF    Swiss Franc
EUR    Euro
GBP    British Pound
IDR    Indonesian Rupiah
INR    Indian Rupee
JPY    Japanese Yen
MXN    Mexican Peso
NOK    Norwegian Krone
NZD    New Zealand Dollar
PEN    Peruvian Sol
RUB    Russian Ruble
SEK    Swedish Krona
TRY    Turkish Lira
USD    United States Dollar

Centrally Cleared Credit Default Swaps – Sell Protection

 

Reference Entity

    Fixed Annual
Rate Received
by Fund		     Maturity
Date		      Implied Credit
Spread at
September 30, 2020		      Notional
Amount		      Upfront Premium
Paid/ (Received)		     Unrealized
Appreciation/
(Depreciation)		      Value  

AT&T Inc.

      1.00 %      12/20/2020        0.34      $ 34,600,000      $ 22,648     $ 39,279      $ 61,927  

CDX.EM.28

      1.00       12/20/2022        1.54        9,588,000        (237,472 )      126,437        (111,035 ) 

CDX.EM.29

      1.00       6/20/2023        1.59        1,880,000        (31,920 )      2,693        (29,227 ) 

CDX.EM.30

      1.00       12/20/2023        1.74        7,708,000        (274,168 )      97,315        (176,853 ) 

CDX.EM.31

      1.00       6/20/2024        1.68        8,178,000        (291,531 )      94,928        (196,603 ) 

CDX.EM.32

      1.00       12/20/2024        1.75        12,090,000        (572,907 )      207,656        (365,251 ) 

AT&T Inc.

      1.00       12/20/2024        0.68        12,100,000        102,371       45,866        148,237  

CDX.EM.33

      1.00       6/20/2025        1.88        4,560,000        (480,126 )      302,367        (177,759 ) 

CDX.NA.IG.34

      1.00       6/20/2025        0.85        256,249,000        (735,577 )      2,550,002        1,814,425  

CDX.EM.34

      1.00       12/20/2025        2.31        2,800,000        (181,550 )      4,198        (177,352 ) 

CDX.NA.IG.35

      1.00       12/20/2025        0.59        76,342,000        (28,008,930 )      19,751        (27,989,179 ) 

CDX.NA.HY.35

      5.00       12/20/2025        4.09        131,200,000        5,535,350       67,950        5,603,300  

General Electric Co.

      1.00       12/20/2023        1.07        700,000        (23,753 )      22,402        (1,351 ) 
             

 

 

    

 

 

     

 

 

  
              $ (25,177,565 )    $ 3,580,844      $ (21,596,721 ) 
             

 

 

    

 

 

     

 

 

  

Over-the-Counter Credit Default Swaps – Sell Protection

 

Counterparty

   

Reference Entity

    Fixed Annual Rate
Received by Fund		     Payment
Frequency		      Maturity Date      Implied
Credit
Spread at
September 30,
2020		     Notional Amount      Upfront Premium
Paid/(Received)		     Unrealized
Appreciation/
(Depreciation)		     Value  

Deutsche Bank

    CMBX.NA.AAA.10      0.50 %      Monthly        11/17/2059        0.00 %    $ 16,450,000      $ (269,224 )    $ 376,191     $ 106,967  

J.P. Morgan

    Barclays Bank Plc      1.00       Quarterly        6/20/2024        0.53       1,000,000        10,163       10,790       20,953  

Bank of America

    Boeing Co.      1.00       Quarterly        12/20/2021        2.81       12,300,000        60,829       (324,949 )      (264,120 ) 

Goldman Sachs

    Brazilian Government International      1.00       Quarterly        12/20/2024        2.18       3,200,000        (42,762 )      (109,411 )      (152,173 ) 

Morgan Stanley

    Chile Government International      1.00       Quarterly        12/20/2025        0.68       31,000,000        543,842       (25,127 )      518,715  

Morgan Stanley

    Colombia Government International      1.00       Quarterly        12/20/2025        1.49       26,000,000        (386,231 )      (251,014 )      (637,245 ) 

Barclays Bank

    Devon Energy Corp.      1.00       Quarterly        12/20/2024        1.73       455,000        186       (13,472 )      (13,286 ) 

Morgan Stanley

    Devon Energy Corp.      1.00       Quarterly        12/20/2024        1.73       525,000        —         (15,330 )      (15,330 ) 

Morgan Stanley

    Devon Energy Corp.      1.00       Quarterly        12/20/2024        1.73       1,170,000        (6,219 )      (27,944 )      (34,163 ) 

Goldman Sachs

    Federative Republic of Brazil      1.00       Quarterly        6/20/2024        2.05       300,000        (7,505 )      (3,736 )      (11,241 ) 

Barclays Bank

    General Electric Co.      1.00       Quarterly        12/20/2020        0.57       1,860,000        181       2,131       2,312  

Barclays Bank

    General Electric Co.      1.00       Quarterly        12/20/2020        0.57       3,415,000        (930 )      5,175       4,245  

Goldman Sachs

    General Electric Co.      1.00       Quarterly        12/20/2020        0.57       2,640,000        261       3,020       3,281  

Goldman Sachs

    General Electric Co.      1.00       Quarterly        12/20/2020        0.57       1,685,000        (444 )      2,539       2,095  

Barclays Bank

    Indonesia Government International      1.00       Quarterly        12/20/2025        1.16       18,000,000        (7,380 )      (130,150 )      (137,530 ) 

Goldman Sachs

    Indonesia Government International      1.00       Quarterly        12/20/2025        1.16       10,161,000        (17,260 )      (60,376 )      (77,636 ) 

Morgan Stanley

    Indonesia Government International      1.00       Quarterly        12/20/2025        1.16       23,839,000        (40,615 )      (141,528 )      (182,143 ) 

Morgan Stanley

    Mexico Government International      1.00       Quarterly        12/20/2024        1.23       1,600,000        (10,165 )      (4,768 )      (14,933 ) 

Morgan Stanley

    Mexico Government International      1.00       Quarterly        12/20/2025        1.49       1,000,000        (13,770 )      (10,920 )      (24,690 ) 

Goldman Sachs

    Republic of South Africa      1.00       Quarterly        6/20/2024        2.76       4,700,000        (154,393 )      (137,653 )      (292,046 ) 

J.P. Morgan

    Republic of South Africa      1.00       Quarterly        6/20/2023        2.47       9,400,000        (412,143 )      49,071       (363,072 ) 

Goldman Sachs

    Russia Emerging Markets SPMYC      1.00       Quarterly        12/20/2022        0.74       1,500,000        (17,736 )      26,834       9,098  

J.P. Morgan

    Russia Emerging Markets SPMYC      1.00       Quarterly        6/20/2023        0.83       18,200,000        (336,203 )      426,430       90,227  

Goldman Sachs

    Russian Foreign Bond - Eurobon      1.00       Quarterly        12/20/2024        1.06       16,400,000        84,457       (122,196 )      (37,739 ) 

Goldman Sachs

    Teva Pharmaceutical Finance Ne      1.00       Quarterly        6/20/2022        2.99       210,000        (9,437 )      2,494       (6,943 ) 

Goldman Sachs

    United Mexican States      1.00       Quarterly        6/20/2023        0.89       29,900,000        (150,396 )      246,035       95,639  

Goldman Sachs

    United Mexican States      1.00       Quarterly        12/20/2023        0.98       9,100,000        (136,435 )      145,289       8,854  

J.P. Morgan

    United Mexican States      1.00       Quarterly        12/20/2023        0.98       5,400,000        (81,798 )      87,052       5,254  

J.P. Morgan

    United Mexican States      1.00       Quarterly        6/20/2024        1.12       300,000        (3,739 )      2,476       (1,263 ) 

Morgan Stanley

    United Mexican States      1.00       Quarterly        12/20/2022        0.77       3,800,000        2,499       18,160       20,659  
                  

 

 

    

 

 

    

 

 

  
                   $ (1,402,367 )    $ 25,113     $ (1,377,254 ) 
                  

 

 

    

 

 

    

 

 

  

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  
  (0.15) %    6 Month EURIBOR    Received      Semi-Annual        3/18/2030      EUR 16,100,000      $ 274,419     $ (449,855 )    $ (175,436 ) 
  0.50     6 Month EURIBOR    Received      Semi-Annual        6/17/2050        9,000,000        (283,674 )      (1,384,550 )      (1,668,224 ) 
  0.75     6 Month GBP LIBOR    Received      Semi-Annual        3/18/2030      GBP 18,700,000        179,861       (1,034,537 )      (854,676 ) 
  0.75     6 Month GBP LIBOR    Received      Semi-Annual        3/18/2050        6,000,000        142,394       (528,173 )      (385,779 ) 
  1.25     3 Month USD LIBOR    Paid      Quarterly        6/17/2027      USD 283,200,000        (7,436,653 )      23,179,055       15,742,402  
  1.25     3 Month USD LIBOR    Received      Quarterly        6/17/2030        —          (452,910 )      398,417       (54,493 ) 
  1.50     3 Month USD LIBOR    Received      Quarterly        6/17/2050        81,200,000        (15,012,714 )      6,234,131       (8,778,583 ) 
  2.25     3 Month USD LIBOR    Received      Quarterly        3/12/2050        3,200,000        (9,885 )      (952,636 )      (962,521 ) 
  2.50     3 Month USD LIBOR    Paid      Quarterly        12/20/2027        107,900,000        (1,107,549 )      17,250,421       16,142,872  
  2.50     3 Month USD LIBOR    Paid      Quarterly        12/20/2027        94,300,000        1,744,029       12,364,153       14,108,182  
  3.00     6 Month Australian Bank Bill    Paid      Semi-Annual        3/21/2027      AUD 109,400,000        625,604       12,271,854       12,897,458  
  3.00     3 Month USD LIBOR    Paid      Quarterly        6/19/2029      USD 47,200,000        3,382,167       6,705,729       10,087,896  
  4.58     Mexico Interbank TIIE 28 Day    Received      Lunar        6/10/2022      MXN 4,000,000        —         (203 )      (203 ) 
  4.65     Mexico Interbank TIIE 28 Day    Received      Lunar        5/10/2022        15,400,000        208       (1,897 )      (1,689 ) 
  4.74     Mexico Interbank TIIE 28 Day    Received      Lunar        6/3/2022        3,900,000        —         (668 )      (668 ) 
  4.83    

Mexico Interbank TIIE 28 Day

    Received      Lunar        5/27/2022        1,600,000        —         (376 )      (376 ) 
  5.12    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        5/6/2025        2,000,000        (134 )      613       479  
  5.16    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        6/6/2025        1,700,000        —         513       513  
  5.28    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        5/23/2025        700,000        —         375       375  
  5.28    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        5/30/2025        1,600,000        —         839       839  
  5.54    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        5/4/2027        3,400,000        1       1,185       1,186  
  7.15    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        6/11/2027        25,800,000        (17,507 )      136,023       118,516  
  7.36    

Mexico Interbank TIIE 28 Day

    Received      Lunar        8/21/2037        900,000        3,247       (7,347 )      (4,100 ) 
  7.37    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        10/11/2027        40,300,000        (1,906 )      211,256       209,350  
  7.38    

Mexico Interbank TIIE 28 Day

    Received      Lunar        8/14/2037        1,300,000        4,578       (10,665 )      (6,087 ) 
  7.61    

Mexico Interbank TIIE 28 Day

    Received      Lunar        1/23/2023        222,400,000        126,021       (826,022 )      (700,001 ) 
  7.75    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        1/5/2023        1,400,000        —         4,465       4,465  
  7.81    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        2/6/2023        2,800,000        —         9,353       9,353  
  7.82    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        2/6/2023        2,800,000        (341 )      9,738       9,397  
  7.87    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        12/27/2022        3,400,000        —         11,273       11,273  
  7.88    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        12/16/2022        2,000,000        —         6,436       6,436  
  7.88    

Mexico Interbank TIIE 28 Day

    Paid      Lunar        12/27/2022        36,000,000        9,174       110,734       119,908  
  7.91    

Mexico Interbank TIIE 28 Day

    Received      Lunar        12/30/2027        800,000        —         (5,408 )      (5,408 ) 
  7.98    

Mexico Interbank TIIE 28 Day

    Received      Lunar        12/10/2027        3,300,000        (21 )      (22,803 )      (22,824 ) 
  7.99    

Mexico Interbank TIIE 28 Day

    Received      Lunar        12/21/2027        100,000        —         (702 )      (702 ) 
  8.01    

Mexico Interbank TIIE 28 Day

    Received      Lunar        12/21/2027        20,200,000        (8,874 )      (133,701 )      (142,575 ) 
  8.03    

Mexico Interbank TIIE 28 Day

    Received      Lunar        1/31/2028        1,600,000        12       (11,391 )      (11,379 ) 
  8.05    

Mexico Interbank TIIE 28 Day

    Received      Lunar        1/31/2028        2,400,000        585       (17,789 )      (17,204 ) 
                

 

 

    

 

 

    

 

 

  
   $ (17,839,868 )    $ 73,517,840     $ 55,677,972  
                

 

 

    

 

 

    

 

 

  

Lunar - payment frequency equal periods of 28 days (a lunar month).

Bridge Builder Municipal Bond Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Principal
Amount		      Value  

MUNICIPAL BONDS – 97.84%

      

Alabama – 1.32%

      

Alabama Federal Aid Highway Finance Authority

      

5.00%, 09/01/2031

    $ 4,845,000      $ 5,641,615  

5.00%, 09/01/2036

      10,000,000        12,226,800  

Alabama Public School & College Authority

      

5.00%, 06/01/2035

      4,000,000        4,651,440  

Birmingham Airport Authority

      

5.00%, 07/01/2028

      700,000        885,493  

5.00%, 07/01/2030

      1,000,000        1,303,810  

5.00%, 07/01/2031

      350,000        453,050  

5.00%, 07/01/2032

      300,000        385,500  

5.00%, 07/01/2034

      800,000        1,018,080  

Black Belt Energy Gas District

      

4.00%, 07/01/2046(1)

      1,705,000        1,739,646  

4.00%, 10/01/2049(1)

      2,000,000        2,325,920  

Columbia Industrial Development Board

      

0.16%, 06/01/2028(1)

      3,900,000        3,900,000  

County of Jefferson AL

      

5.00%, 04/01/2021

      1,085,000        1,110,595  

5.00%, 04/01/2023

      1,550,000        1,724,794  

County of Jefferson AL Sewer Revenue

      

5.00%, 10/01/2044

      1,500,000        1,651,800  

5.25%, 10/01/2048

      1,650,000        1,825,197  

5.50%, 10/01/2053

      715,000        794,687  

Homewood Educational Building Authority

      

4.00%, 12/01/2038

      1,385,000        1,507,960  

Industrial Development Board of the City of Mobile Alabama

      

1.00%, 06/01/2034(1)

      3,870,000        3,880,991  

Lower Alabama Gas District

      

4.00%, 12/01/2050(1)

      15,610,000        17,877,509  

Mobile County Board of School Commissioners

      

5.00%, 03/01/2028

      1,030,000        1,244,312  

Montgomery Medical Clinic Board

      

5.00%, 03/01/2029

      1,000,000        1,145,390  

Southeast Alabama Gas Supply District

      

0.95% (1 Month LIBOR USD + 0.85%), 06/01/2049(2)

      5,365,000        5,348,529  

4.00%, 06/01/2049(1)

      11,010,000        12,192,254  

Tuscaloosa County Industrial Development Authority

      

4.50%, 05/01/2032(3)

      500,000        537,540  

5.25%, 05/01/2044(3)

      6,700,000        7,389,966  

University of Alabama

      

4.00%, 06/01/2033

      1,070,000        1,289,125  

Water Works Board of the City of Birmingham

      

5.00%, 01/01/2023

      430,000        475,253  
     

 

 

  

Total Alabama

 

      94,527,256  
     

 

 

  

Alaska – 0.08%

      

Alaska Industrial Development & Export Authority

      

5.00%, 10/01/2030

      1,385,000        1,783,561  

City of Valdez AK

      

5.00%, 01/01/2021

      4,000,000        4,047,320  
     

 

 

  

Total Alaska

 

      5,830,881  
     

 

 

  

Arizona – 2.51%

      

Apache County Industrial Development Authority

      

4.50%, 03/01/2030

      1,000,000        1,035,240  

Arizona Health Facilities Authority

      

4.00%, 01/01/2043

      24,000,000        24,602,400  

5.00%, 02/01/2042

      2,000,000        2,086,120  

Arizona Industrial Development Authority

      

4.00%, 07/15/2050(3)

      1,500,000        1,409,625  

5.00%, 07/01/2049(3)

      650,000        689,643  

5.00%, 07/15/2049(3)

      500,000        520,345  

5.50%, 07/01/2052(3)

      655,000        703,955  

Chandler Industrial Development Authority

      

5.00%, 06/01/2049(1)

      18,960,000        21,881,546  

City of Glendale AZ

      

5.00%, 07/01/2030

      1,780,000        2,182,405  

City of Mesa AZ

      

4.00%, 07/01/2028

      1,265,000        1,522,870  

City of Phoenix AZ

      

4.00%, 07/01/2022

      900,000        960,606  

City of Phoenix Civic Improvement Corp.

      

4.00%, 07/01/2045

      5,000,000        5,105,800  

5.00%, 07/01/2026

      1,675,000        2,021,541  

5.00%, 07/01/2027

      4,600,000        5,690,154  

5.00%, 07/01/2028

      4,440,000        5,538,944  

5.00%, 07/01/2029

      12,865,000        14,193,183  

5.00%, 07/01/2030

      1,000,000        1,163,860  

5.00%, 07/01/2030

      1,500,000        1,651,845  

5.00%, 07/01/2032

      800,000        953,040  

5.00%, 07/01/2036

      3,000,000        3,550,620  

5.00%, 07/01/2042

      540,000        624,910  

County of Pima AZ Sewer System Revenue

      

5.00%, 07/01/2022

      10,000,000        10,844,100  

Glendale Industrial Development Authority

      

4.00%, 07/01/2028

      300,000        303,882  

5.00%, 07/01/2033

      435,000        457,059  

5.00%, 07/01/2038

      450,000        466,114  

5.00%, 07/01/2048

      915,000        933,300  

Industrial Development Authority of the City of Phoenix

      

5.00%, 07/01/2030

      700,000        771,176  

5.00%, 07/01/2033

      415,000        450,777  

5.00%, 07/01/2034

      765,000        827,998  

5.00%, 07/01/2037

      4,750,000        5,092,902  

5.00%, 07/01/2038

      1,295,000        1,383,798  

5.00%, 07/01/2049

      525,000        548,793  

Industrial Development Authority of the County of Pima

      

4.75%, 06/15/2037(3)

      2,250,000        2,270,363  

Industrial Development Authority of the County of Yavapai

      

0.25%, 04/01/2029(1)

      3,200,000        3,200,416  

2.20%, 03/01/2028(1)

      2,100,000        2,194,437  

Maricopa County Industrial Development Authority

      

5.00%, 01/01/2046(1)

      3,175,000        3,892,550  

5.00%, 07/01/2047

      1,000,000        1,182,280  

5.00%, 01/01/2048(1)

      1,000,000        1,172,550  

5.00%, 01/01/2048(1)

      1,300,000        1,418,261  

5.75%, 01/01/2036(3)

      500,000        504,645  

6.00%, 01/01/2048(3)

      635,000        612,667  

Maricopa County Special Health Care District

      

5.00%, 07/01/2025

      5,000,000        6,004,850  

5.00%, 07/01/2026

      7,000,000        8,622,950  

McAllister Academic Village LLC

      

5.00%, 07/01/2021

      200,000        207,226  

Salt River Project Agricultural Improvement & Power District

      

5.00%, 01/01/2022

      1,200,000        1,272,804  

5.00%, 01/01/2024

      1,600,000        1,849,536  

5.00%, 01/01/2033

      1,000,000        1,273,320  

Salt Verde Financial Corp.

      

5.00%, 12/01/2032

      5,020,000        6,553,811  

5.00%, 12/01/2037

      3,500,000        4,722,270  

State of Arizona

      

5.00%, 10/01/2020

      840,000        840,000  

5.00%, 10/01/2021

      740,000        775,594  

5.00%, 10/01/2024

      1,075,000        1,276,788  

Tempe Industrial Development Authority

      

4.00%, 10/01/2023(3)

      1,250,000        1,246,513  

5.00%, 12/01/2050

      500,000        492,725  

5.00%, 12/01/2054

      750,000        734,310  

University of Arizona

      

5.00%, 06/01/2038

      1,955,000        2,501,833  

5.00%, 06/01/2039

      860,000        1,097,248  

Western Maricopa Education Center District No 402

      

5.00%, 07/01/2022

      2,000,000        2,167,720  

5.00%, 07/01/2024

      320,000        376,128  

5.00%, 07/01/2025

      1,410,000        1,715,477  
     

 

 

  

Total Arizona

 

      180,347,823  
     

 

 

  

Arkansas – 0.15%

      

Arkansas Development Finance Authority

      

1.20%, 03/01/2024(1)

      5,000,000        5,072,300  

4.50%, 09/01/2049(3)

      2,900,000        2,929,000  

4.75%, 09/01/2049(3)

      2,500,000        2,504,600  
     

 

 

  

Total Arkansas

 

      10,505,900  
     

 

 

  

California – 4.71%

      

Abag Finance Authority for Nonprofit Corps

      

5.00%, 08/01/2033

      1,300,000        1,433,185  

Alameda Corridor Transportation Authority

      

5.00%, 10/01/2036

      2,500,000        2,888,975  

5.00%, 10/01/2037

      2,000,000        2,305,680  

Alisal Union School District

      

5.25%, 08/01/2042

      740,000        898,123  

Anaheim Public Financing Authority

      

5.00%, 09/01/2029

      1,860,000        2,384,092  

Bay Area Toll Authority

      

1.37% (SIFMA Municipal Swap Index Yield + 1.25%), 04/01/2036(2)

      1,000,000        1,006,830  

2.10%, 04/01/2045(1)

      2,790,000        2,842,508  

2.85%, 04/01/2047(1)

      1,000,000        1,085,640  

2.95%, 04/01/2047(1)

      1,170,000        1,298,595  

California County Tobacco Securitization Agency

      

4.00%, 06/01/2034

      400,000        474,996  

4.00%, 06/01/2036

      275,000        321,263  

4.00%, 06/01/2037

      275,000        320,218  

4.00%, 06/01/2038

      275,000        319,173  

California Health Facilities Financing Authority

      

1.25%, 10/01/2036(1)

      2,500,000        2,500,000  

5.00%, 11/01/2032(1)

      1,400,000        1,537,186  

5.00%, 07/01/2034(1)

      1,710,000        1,872,176  

5.00%, 08/15/2034

      125,000        151,729  

5.63%, 07/01/2025

      2,130,000        2,138,158  

California Housing Finance

      

4.00%, 03/20/2033

      3,460,523        3,827,546  

4.25%, 01/15/2035

      521,890        588,844  

California Infrastructure & Economic Development Bank

      

0.45%, 01/01/2050(1)(3)

      16,000,000        16,000,000  

California Municipal Finance Authority

      

0.38%, 09/01/2021(1)

      10,700,000        10,700,000  

4.00%, 08/15/2037

      1,560,000        1,683,287  

4.00%, 08/15/2042

      1,635,000        1,743,090  

5.00%, 08/15/2029

      1,000,000        1,251,170  

5.00%, 12/31/2029

      2,300,000        2,775,272  

5.00%, 08/15/2034

      1,065,000        1,300,099  

5.00%, 12/31/2043

      10,835,000        12,371,078  

5.00%, 12/31/2047

      555,000        630,391  

5.00%, 05/15/2049

      1,000,000        1,166,320  

5.00%, 10/01/2049(3)

      515,000        532,592  

5.00%, 10/01/2057(3)

      1,000,000        1,029,120  

California Public Finance Authority

      

5.00%, 07/01/2027(3)

      180,000        151,200  

5.00%, 07/01/2047(3)

      140,000        117,600  

5.00%, 10/15/2047

      1,775,000        1,963,807  

California State Public Works Board

      

5.00%, 03/01/2024

      2,500,000        2,897,800  

5.00%, 03/01/2025

      3,280,000        3,943,413  

5.00%, 11/01/2037

      235,000        255,053  

5.00%, 09/01/2039

      10,705,000        12,357,852  

California Statewide Communities Development Authority

      

0.08%, 09/01/2038(1)

      5,610,000        5,610,000  

4.00%, 09/02/2029

      200,000        220,410  

4.00%, 04/01/2036

      675,000        784,505  

4.00%, 04/01/2037

      700,000        810,201  

5.00%, 10/01/2028

      1,100,000        1,162,293  

5.00%, 11/01/2032(3)

      1,135,000        1,215,914  

5.00%, 04/01/2035

      1,300,000        1,663,207  

5.00%, 01/01/2038

      750,000        880,552  

5.00%, 09/02/2039

      745,000        857,622  

5.00%, 05/15/2040

      400,000        438,688  

5.00%, 11/01/2041(3)

      875,000        913,106  

5.00%, 04/01/2042

      2,000,000        2,099,080  

5.00%, 01/01/2043

      1,000,000        1,154,590  

5.00%, 09/02/2044

      500,000        564,665  

5.00%, 09/02/2044

      700,000        792,841  

5.00%, 09/02/2044

      1,350,000        1,559,533  

5.00%, 02/01/2045

      1,175,000        1,172,709  

5.00%, 04/01/2046(1)

      4,300,000        5,692,770  

5.00%, 01/01/2048

      2,840,000        3,243,308  

5.00%, 09/02/2049

      700,000        788,501  

5.25%, 12/01/2048(3)

      800,000        894,992  

5.25%, 12/01/2056(3)

      6,635,000        7,180,397  

5.38%, 11/01/2049(3)

      100,000        103,300  

5.50%, 12/01/2054

      1,960,000        2,119,877  

5.50%, 12/01/2058(3)

      4,845,000        5,421,991  

City of Long Beach CA Harbor Revenue

      

4.00%, 07/15/2021

      6,000,000        6,180,900  

City of Los Angeles Department of Airports

      

4.75%, 05/15/2035

      8,340,000        9,493,172  

5.00%, 05/15/2033

      1,325,000        1,617,534  

5.00%, 05/15/2037

      9,795,000        12,254,035  

5.00%, 05/15/2040

      1,095,000        1,258,013  

5.25%, 05/15/2031

      4,805,000        6,016,004  

5.25%, 05/15/2032

      3,210,000        3,995,969  

County of Sacramento CA Airport System Revenue

      

5.00%, 07/01/2034

      3,000,000        3,621,390  

Cucamonga Valley Water District

      

5.38%, 09/01/2035

      3,320,000        3,468,636  

Foothill-de Anza Community College District

      

5.00%, 04/01/2035

      250,000        290,422  

5.00%, 04/01/2036

      200,000        231,824  

Golden State Tobacco Securitization Corp.

      

0.00%, 06/01/2024

      1,000,000        970,630  

5.00%, 06/01/2021

      285,000        293,604  

5.00%, 06/01/2022

      400,000        429,300  

5.00%, 06/01/2023

      455,000        506,925  

5.00%, 06/01/2024

      255,000        294,293  

5.00%, 06/01/2047

      925,000        953,564  

5.25%, 06/01/2047

      2,500,000        2,581,875  

5.30%, 06/01/2037

      1,000,000        1,034,380  

Irvine Unified School District

      

5.00%, 03/01/2057

      800,000        919,664  

Los Angeles County Public Works Financing Authority

      

5.00%, 12/01/2029

      1,200,000        1,455,144  

5.00%, 12/01/2030

      2,520,000        3,051,544  

Los Angeles Unified School District

      

4.00%, 07/01/2037

      3,000,000        3,596,730  

Mendocino-Lake Community College District

      

5.00%, 08/01/2027

      1,700,000        2,051,509  

5.00%, 08/01/2028

      1,000,000        1,205,180  

5.00%, 08/01/2029

      775,000        932,379  

5.00%, 08/01/2030

      2,530,000        3,038,429  

Metropolitan Water District of Southern California

      

0.37% (SIFMA Municipal Swap Index Yield + 0.25%), 07/01/2037(2)

      3,000,000        3,000,000  

0.37% (SIFMA Municipal Swap Index Yield + 0.25%), 07/01/2037(2)

      3,000,000        3,001,380  

0.37% (SIFMA Municipal Swap Index Yield + 0.25%), 07/01/2047(2)

      3,000,000        3,001,380  

Mizuho Floater/Residual Trust

      

0.47%, 12/01/2039(1)(3)(6)

      8,800,000        8,800,000  

Natomas Unified School District

      

4.00%, 08/01/2045

      4,000,000        4,481,200  

4.00%, 08/01/2049

      2,915,000        3,253,694  

Norman Y Mineta San Jose International Airport SJC

      

5.00%, 03/01/2022

      1,675,000        1,766,874  

5.00%, 03/01/2028

      1,340,000        1,636,060  

5.00%, 03/01/2030

      1,700,000        2,044,165  

Orange County Community Facilities District

      

5.25%, 08/15/2045

      975,000        1,095,432  

Orchard School District

      

0.00%, 08/01/2022

      2,940,000        2,914,892  

Port of Oakland

      

5.00%, 05/01/2026

      4,450,000        4,765,950  

Sacramento City Financing Authority

      

5.00%, 12/01/2033

      875,000        1,057,595  

San Diego County Regional Airport Authority

      

5.00%, 07/01/2030

      205,000        265,352  

San Francisco City & County Airport Comm-San Francisco International Airport

      

5.00%, 05/01/2027

      3,000,000        3,204,540  

5.00%, 05/01/2037

      945,000        1,149,082  

State of California

      

0.87% (1 Month LIBOR USD + 0.76%), 12/01/2031(2)

      750,000        750,187  

4.00%, 03/01/2025

      3,500,000        4,061,540  

4.00%, 03/01/2026

      375,000        446,501  

4.00%, 11/01/2035

      1,750,000        2,139,130  

4.00%, 03/01/2036

      2,385,000        2,864,552  

4.00%, 11/01/2036

      2,735,000        3,310,143  

4.00%, 11/01/2037

      1,625,000        1,959,197  

4.00%, 11/01/2041

      2,000,000        2,263,340  

5.00%, 08/01/2022

      1,535,000        1,671,630  

5.00%, 08/01/2023

      3,000,000        3,405,150  

5.00%, 09/01/2026

      2,000,000        2,523,940  

5.00%, 08/01/2027

      620,000        751,490  

5.00%, 08/01/2029

      935,000        1,160,195  

5.00%, 09/01/2029

      370,000        460,335  

5.00%, 11/01/2029

      3,170,000        4,059,407  

5.00%, 04/01/2030

      5,130,000        6,920,473  

5.00%, 08/01/2030

      3,500,000        4,331,705  

5.00%, 08/01/2030

      3,910,000        4,962,181  

5.00%, 11/01/2032

      11,555,000        15,609,881  

Tender Option Bond Trust Receipts/Certificates

      

0.22%, 10/01/2049(1)(3)

      1,060,000        1,060,000  

Tobacco Securitization Authority of Northern California

      

4.75%, 06/01/2023

      3,910,000        3,916,373  

Transbay Joint Powers Authority

      

5.00%, 10/01/2033

      250,000        303,898  

5.00%, 10/01/2034

      250,000        302,575  

5.00%, 10/01/2035

      240,000        289,150  

5.00%, 10/01/2038

      600,000        712,542  
     

 

 

  

Total California

 

      337,825,273  
     

 

 

  

Colorado – 2.51%

      

Adams 12 Five Star Schools

      

5.00%, 12/15/2028

      2,050,000        2,593,906  

Amber Creek Metropolitan District

      

5.00%, 12/01/2037

      750,000        764,490  

5.13%, 12/01/2047

      1,075,000        1,087,782  

Arapahoe County School District No 6 Littleton

      

5.50%, 12/01/2033

      1,150,000        1,529,362  

Aurora Crossroads Metropolitan District No 2

      

5.00%, 12/01/2040

      500,000        513,935  

5.00%, 12/01/2050

      1,000,000        1,011,290  

Belleview Station Metropolitan District No 2

      

5.00%, 12/01/2036

      500,000        509,110  

Berthoud-Heritage Metropolitan District No 1

      

5.63%, 12/01/2048

      1,400,000        1,462,678  

Brighton Crossing Metropolitan District No 4

      

5.00%, 12/01/2037

      525,000        545,769  

Broadway Station Metropolitan District No 2

      

5.00%, 12/01/2035

      730,000        766,945  

5.13%, 12/01/2048

      1,450,000        1,503,867  

Canyons Metropolitan District No 5

      

6.00%, 12/01/2037

      500,000        522,005  

City & County of Denver CO

      

5.00%, 10/01/2032

      9,405,000        9,450,238  

City & County of Denver CO Airport System Revenue

      

4.00%, 11/15/2023

      4,465,000        4,897,971  

5.00%, 11/15/2029

      3,105,000        3,816,356  

5.00%, 12/01/2031

      7,045,000        8,681,201  

5.00%, 12/01/2032

      385,000        470,797  

5.00%, 12/01/2035

      5,520,000        6,670,368  

City of Colorado Springs CO Utilities System Revenue

      

5.00%, 11/15/2035

      1,500,000        2,023,845  

Colorado Health Facilities Authority

      

0.00%, 07/15/2022

      980,000        974,071  

1.36% (1 Month LIBOR USD + 1.25%), 10/01/2039(2)

      2,000,000        1,998,460  

2.80%, 05/15/2042(1)

      3,800,000        3,968,036  

4.00%, 11/01/2039

      3,775,000        4,302,519  

5.00%, 12/01/2022

      1,855,000        2,001,359  

5.00%, 11/01/2023

      1,350,000        1,532,317  

5.00%, 11/01/2024

      1,125,000        1,319,715  

5.00%, 11/01/2025

      1,715,000        2,072,080  

5.00%, 11/01/2026

      1,330,000        1,644,093  

5.00%, 01/01/2031

      100,000        102,260  

5.00%, 11/15/2036(1)

      6,770,000        7,729,106  

5.00%, 01/01/2037

      250,000        250,895  

5.00%, 10/01/2038(1)

      630,000        658,633  

5.00%, 02/01/2041

      500,000        507,925  

5.00%, 08/01/2044

      2,200,000        2,631,486  

5.00%, 09/01/2046

      1,000,000        1,125,350  

5.00%, 08/01/2049(1)

      3,830,000        4,564,900  

5.00%, 11/15/2049(1)

      2,585,000        3,239,574  

5.25%, 01/01/2040

      540,000        599,432  

6.13%, 12/01/2045(3)

      375,000        375,045  

6.25%, 12/01/2050(3)

      205,000        205,695  

Colorado High Performance Transportation Enterprise

      

5.00%, 12/31/2047

      645,000        697,755  

5.00%, 12/31/2051

      2,150,000        2,320,989  

5.00%, 12/31/2056

      4,790,000        5,149,106  

Colorado Housing & Finance Authority

      

4.25%, 11/01/2049

      565,000        637,162  

4.25%, 11/01/2049

      1,075,000        1,210,160  

Colorado International Center Metropolitan District No 14

      

5.88%, 12/01/2046

      635,000        670,795  

Copperleaf Metropolitan District No 4

      

5.00%, 12/01/2039

      775,000        799,661  

5.00%, 12/01/2049

      1,500,000        1,518,870  

Cornerstar Metropolitan District

      

5.13%, 12/01/2037

      500,000        512,505  

Cottonwood Highlands Metropolitan District No 1

      

5.00%, 12/01/2049

      900,000        914,724  

County of El Paso CO

      

4.00%, 12/01/2033

      800,000        967,680  

4.00%, 12/01/2035

      910,000        1,087,996  

5.00%, 12/01/2031

      600,000        792,210  

Denver City & County School District No 1

      

5.25%, 12/01/2038

      3,595,000        3,661,400  

Denver Convention Center Hotel Authority

      

5.00%, 12/01/2022

      4,950,000        5,201,955  

Denver Gateway Center Metropolitan District

      

5.50%, 12/01/2038

      1,360,000        1,416,794  

5.63%, 12/01/2048

      2,130,000        2,211,153  

Denver Health & Hospital Authority

      

5.00%, 12/01/2048

      1,800,000        2,048,922  

Denver International Business Center Metropolitan District No 1

      

6.00%, 12/01/2048

      500,000        518,690  

Denver Urban Renewal Authority

      

5.25%, 12/01/2039(3)

      1,000,000        1,029,070  

E-470 Public Highway Authority

      

1.15% (1 Month LIBOR USD + 1.05%), 09/01/2039(2)

      275,000        275,776  

5.00%, 09/01/2040

      5,165,000        5,881,489  

Eagle County Airport Terminal Corp.

      

5.00%, 05/01/2033

      2,000,000        2,268,680  

Mesa County Valley School District No 51 Grand Junction CO

      

5.25%, 12/01/2033

      2,000,000        2,604,080  

Mirabelle Metropolitan District No 2

      

5.00%, 12/01/2039

      700,000        717,962  

Painted Prairie Metropolitan District No 2

      

5.25%, 12/01/2048

      500,000        511,985  

Park Creek Metropolitan District

      

5.00%, 12/01/2045

      1,775,000        2,040,647  

Rampart Range Metropolitan District No 1

      

5.00%, 12/01/2047

      650,000        774,365  

Regional Transportation District

      

5.00%, 06/01/2031

      1,315,000        1,713,511  

Serenity Ridge Metropolitan District No 2

      

5.13%, 12/01/2037

      1,290,000        1,336,943  

Sierra Ridge Metropolitan District No 2

      

4.50%, 12/01/2031

      750,000        763,350  

5.50%, 12/01/2046

      1,500,000        1,547,925  

Solaris Metropolitan District No 3

      

5.00%, 12/01/2036

      850,000        876,333  

5.00%, 12/01/2046

      1,880,000        1,928,128  

Southglenn Metropolitan District

      

5.00%, 12/01/2046

      500,000        507,090  

Southlands Metropolitan District No 1

      

3.00%, 12/01/2022

      232,000        232,986  

3.50%, 12/01/2027

      500,000        511,255  

St Vrain Lakes Metropolitan District No 2

      

5.00%, 12/01/2037

      500,000        512,790  

STC Metropolitan District No 2

      

3.00%, 12/01/2025

      555,000        540,936  

5.00%, 12/01/2038

      500,000        513,275  

University of Colorado

      

2.00%, 06/01/2054(1)

      11,455,000        12,108,622  

5.00%, 06/01/2047

      500,000        631,555  

University of Colorado Hospital Authority

      

5.00%, 11/15/2038(1)

      1,020,000        1,058,729  

5.00%, 11/15/2047(1)

      9,495,000        11,002,331  

Vauxmont Metropolitan District

      

5.00%, 12/15/2021

      100,000        105,029  

5.00%, 12/01/2024

      200,000        233,552  

5.00%, 12/15/2024

      135,000        157,784  

5.00%, 12/01/2025

      180,000        216,452  

5.00%, 12/15/2025

      85,000        101,663  

5.00%, 12/01/2026

      195,000        240,236  

5.00%, 12/01/2027

      205,000        258,239  

5.00%, 12/01/2028

      210,000        269,457  

5.00%, 12/15/2028

      130,000        153,342  

5.00%, 12/01/2029

      210,000        274,428  

5.00%, 12/15/2029

      5,000        5,877  

5.00%, 12/15/2030

      500,000        585,830  

5.00%, 12/01/2031

      230,000        296,785  

5.00%, 12/01/2032

      250,000        320,355  

5.00%, 12/01/2035

      100,000        126,562  

Willow Bend Metropolitan District

      

5.00%, 12/01/2039

      600,000        617,994  

5.00%, 12/01/2049

      1,000,000        1,021,040  
     

 

 

  

Total Colorado

 

      179,837,831  
     

 

 

  

Connecticut – 2.51%

      

City of Bridgeport CT

      

4.00%, 06/01/2037

      2,460,000        2,694,094  

5.00%, 09/15/2029

      2,600,000        3,334,656  

5.00%, 09/15/2030

      2,250,000        2,867,197  

5.00%, 06/01/2033

      1,985,000        2,387,955  

City of Hartford CT

      

5.00%, 07/15/2021

      3,300,000        3,416,886  

5.00%, 07/15/2022

      2,250,000        2,426,018  

5.00%, 07/15/2023

      2,000,000        2,256,960  

5.00%, 07/15/2026

      2,430,000        2,901,663  

City of New Britain CT

      

5.00%, 03/01/2027

      1,260,000        1,575,643  

5.00%, 03/01/2028

      1,490,000        1,852,279  

5.00%, 03/01/2033

      1,900,000        2,303,636  

City of New Haven CT

      

5.00%, 08/15/2023

      900,000        1,022,427  

5.00%, 08/15/2029

      2,000,000        2,386,480  

5.00%, 08/15/2031

      1,000,000        1,187,070  

5.25%, 08/01/2023

      1,115,000        1,244,853  

City of West Haven CT

      

5.00%, 08/01/2021

      2,495,000        2,582,175  

Connecticut Housing Finance Authority

      

2.25%, 11/15/2023

      1,250,000        1,302,825  

3.40%, 11/15/2042

      815,000        823,590  

Connecticut State Health & Educational Facilities Authority

      

0.55%, 07/01/2037(1)

      4,500,000        4,513,635  

1.10%, 07/01/2048(1)

      9,000,000        9,163,980  

1.80%, 07/01/2049(1)

      2,005,000        2,084,839  

1.80%, 07/01/2049(1)

      5,280,000        5,310,149  

2.00%, 07/01/2042(1)

      4,370,000        4,708,194  

2.05%, 07/01/2035(1)

      6,570,000        6,665,462  

4.00%, 07/01/2021(3)

      875,000        880,933  

4.00%, 07/01/2022(3)

      1,010,000        1,025,473  

4.00%, 07/01/2044

      710,000        689,105  

4.00%, 07/01/2046

      880,000        928,558  

4.00%, 07/01/2049

      645,000        615,872  

5.00%, 11/01/2023

      695,000        790,000  

5.00%, 11/01/2024

      475,000        559,521  

5.00%, 07/01/2025(3)

      435,000        468,826  

5.00%, 06/01/2027

      200,000        250,002  

5.00%, 06/01/2028

      400,000        507,608  

5.00%, 11/01/2028

      1,245,000        1,604,830  

5.00%, 06/01/2029

      250,000        321,690  

5.00%, 07/01/2029(3)

      440,000        483,388  

5.00%, 07/01/2029

      1,000,000        1,259,140  

5.00%, 06/01/2031

      600,000        778,146  

5.00%, 07/01/2032

      700,000        897,337  

5.00%, 07/01/2032

      2,000,000        2,545,060  

5.00%, 07/01/2033

      600,000        764,448  

5.00%, 07/01/2034

      700,000        887,971  

5.00%, 07/01/2035

      525,000        663,154  

5.00%, 07/01/2036

      1,000,000        1,256,310  

5.00%, 07/01/2043

      1,750,000        1,838,952  

5.00%, 07/01/2049(3)

      1,550,000        1,597,043  

5.00%, 07/01/2053(1)

      2,625,000        3,270,173  

5.00%, 07/01/2053(1)

      3,445,000        4,062,826  

Mohegan Tribe of Indians of Connecticut

      

5.25%, 02/01/2022(3)

      955,000        967,415  

State of Connecticut

      

5.00%, 09/01/2022

      5,725,000        6,248,494  

5.00%, 11/01/2022

      315,000        331,096  

5.00%, 04/15/2023

      3,200,000        3,581,024  

5.00%, 01/15/2026

      850,000        1,038,547  

5.00%, 04/15/2026

      1,500,000        1,845,120  

5.00%, 06/15/2027

      1,680,000        2,000,460  

5.00%, 09/15/2027

      1,000,000        1,275,040  

5.00%, 03/01/2029

      1,500,000        1,700,805  

5.00%, 04/15/2030

      565,000        737,624  

5.00%, 06/15/2032

      710,000        829,280  

5.00%, 11/15/2032

      200,000        236,082  

5.00%, 04/15/2034

      645,000        820,956  

5.00%, 04/15/2035

      225,000        285,385  

State of Connecticut Special Tax Revenue

      

4.00%, 05/01/2036

      3,260,000        3,806,930  

5.00%, 09/01/2023

      900,000        1,021,950  

5.00%, 05/01/2030

      2,000,000        2,663,760  

5.00%, 10/01/2031

      26,000,000        29,255,720  

5.00%, 05/01/2033

      3,000,000        3,886,080  

5.00%, 01/01/2038

      4,400,000        5,338,828  

Town of Hamden CT

      

5.00%, 08/15/2026

      500,000        567,405  

5.00%, 08/15/2026

      1,335,000        1,601,266  

5.00%, 08/01/2028

      500,000        622,885  

5.00%, 08/01/2030

      500,000        631,965  

5.00%, 08/01/2032

      500,000        623,300  

5.00%, 01/01/2040

      1,875,000        1,890,281  

University of Connecticut

      

5.00%, 11/01/2028

      1,290,000        1,662,836  

5.25%, 11/15/2034

      3,705,000        4,693,309  
     

 

 

  

Total Connecticut

 

      180,122,875  
     

 

 

  

Delaware – 0.36%

      

County of Kent DE

      

5.00%, 07/01/2040

      645,000        626,818  

5.00%, 07/01/2048

      2,305,000        2,211,371  

County of Sussex DE

      

5.00%, 01/01/2036

      2,425,000        2,585,074  

Delaware State Economic Development Authority

      

1.05%, 01/01/2031(1)

      4,630,000        4,662,410  

4.00%, 09/01/2030

      180,000        207,023  

5.00%, 09/01/2036

      1,225,000        1,381,567  

5.00%, 08/01/2039

      715,000        808,193  

5.00%, 09/01/2040

      250,000        296,868  

5.00%, 09/01/2046

      700,000        774,431  

5.00%, 11/15/2048

      2,000,000        2,267,700  

5.00%, 08/01/2049

      900,000        997,713  

5.00%, 09/01/2050

      250,000        291,213  

5.00%, 08/01/2054

      835,000        923,477  

Delaware State Health Facilities Authority

      

5.00%, 06/01/2037

      1,385,000        1,626,336  

5.00%, 06/01/2043

      1,000,000        1,154,630  

5.00%, 06/01/2048

      500,000        572,935  

Delaware Transportation Authority

      

5.00%, 07/01/2032

      3,210,000        4,346,789  
     

 

 

  

Total Delaware

 

      25,734,548  
     

 

 

  

District of Columbia – 1.76%

      

District of Columbia

      

5.00%, 10/01/2022

      3,730,000        4,091,437  

5.00%, 03/01/2024

      400,000        465,280  

5.00%, 10/01/2029

      5,000,000        6,802,200  

5.00%, 12/01/2033

      5,000,000        6,503,600  

5.00%, 06/01/2034

      1,000,000        1,192,230  

5.00%, 06/01/2034

      2,100,000        2,629,914  

5.00%, 06/01/2035

      3,000,000        3,466,350  

5.00%, 12/01/2036

      250,000        263,912  

5.00%, 12/01/2036

      420,000        441,340  

5.00%, 07/01/2042

      730,000        682,214  

5.00%, 06/01/2046

      3,370,000        3,673,367  

5.00%, 07/01/2052

      915,000        831,351  

District of Columbia Housing Finance Agency

      

0.70%, 06/01/2024(1)

      10,000,000        10,023,600  

2.45%, 11/01/2021(1)

      13,750,000        13,773,375  

District of Columbia Tobacco Settlement Financing Corp.

      

0.00%, 06/15/2046

      2,000,000        256,120  

0.00%, 06/15/2046

      10,000,000        2,060,700  

District of Columbia Water & Sewer Authority

      

1.75%, 10/01/2054(1)

      9,340,000        9,698,469  

Metropolitan Washington Airports Authority

      

5.00%, 10/01/2022

      1,000,000        1,090,580  

5.00%, 10/01/2023

      850,000        960,220  

5.00%, 10/01/2024

      1,325,000        1,548,342  

5.00%, 10/01/2024

      1,500,000        1,763,220  

5.00%, 10/01/2025

      1,185,000        1,438,211  

5.00%, 10/01/2027

      500,000        629,705  

5.00%, 10/01/2030

      1,735,000        1,866,478  

5.00%, 10/01/2030

      5,280,000        6,471,907  

5.00%, 10/01/2031

      5,335,000        6,633,912  

5.00%, 10/01/2032

      5,000,000        5,939,300  

5.00%, 10/01/2037

      1,000,000        1,190,640  

5.00%, 10/01/2043

      8,000,000        9,511,440  

Metropolitan Washington Airports Authority Dulles Toll Road Revenue

      

0.00%, 10/01/2037

      1,000,000        616,050  

4.00%, 10/01/2038

      415,000        465,120  

5.00%, 10/01/2033

      1,250,000        1,547,775  

5.00%, 10/01/2034

      1,500,000        1,852,335  

5.00%, 10/01/2053

      4,890,000        5,118,608  

6.50%, 10/01/2041

      2,000,000        2,511,400  

Tender Option Bond Trust Receipts/Certificates

      

0.37%, 07/01/2042(1)(3)

      1,765,000        1,765,000  

Washington Convention & Sports Authority

      

5.00%, 10/01/2023

      1,330,000        1,418,844  

5.00%, 10/01/2024

      1,030,000        1,118,178  

Washington Metropolitan Area Transit Authority

      

5.00%, 07/01/2032

      3,250,000        4,034,063  
     

 

 

  

Total District of Columbia

 

      126,346,787  
     

 

 

  

Florida – 6.60%

      

Alachua County Health Facilities Authority

      

4.00%, 12/01/2049

      5,000,000        5,592,800  

5.00%, 12/01/2036

      1,000,000        1,144,110  

5.00%, 12/01/2044

      3,350,000        3,811,429  

6.00%, 11/15/2034

      35,000        34,701  

6.38%, 11/15/2049

      300,000        297,423  

Alachua County School Board

      

5.00%, 07/01/2021

      1,000,000        1,035,740  

5.00%, 07/01/2027

      1,155,000        1,446,499  

5.00%, 07/01/2030

      2,140,000        2,812,709  

Brevard County Health Facilities Authority

      

5.00%, 04/01/2039

      1,335,000        1,466,618  

Celebration Pointe Community Development District

      

4.00%, 05/01/2022(3)

      170,000        172,360  

Central Florida Expressway Authority

      

5.00%, 07/01/2035

      5,000,000        6,381,050  

Citizens Property Insurance, Inc.

      

5.00%, 06/01/2021

      355,000        365,788  

5.00%, 06/01/2022

      2,150,000        2,313,099  

City of Jacksonville FL

      

5.00%, 08/15/2028

      3,045,000        3,885,816  

5.00%, 08/15/2029

      2,500,000        3,250,075  

5.00%, 08/15/2030

      1,700,000        2,195,856  

5.00%, 08/15/2031

      2,250,000        2,889,292  

5.00%, 08/15/2032

      1,200,000        1,530,324  

5.00%, 08/15/2033

      1,200,000        1,522,020  

5.00%, 06/01/2053(3)

      1,015,000        988,163  

City of Miami Gardens FL

      

5.00%, 07/01/2034

      1,725,000        2,029,704  

City of Orlando FL

      

5.00%, 10/01/2031

      1,120,000        1,456,773  

5.00%, 10/01/2032

      1,300,000        1,616,511  

5.00%, 10/01/2032

      1,680,000        2,170,946  

5.00%, 10/01/2035

      1,200,000        1,533,324  

5.00%, 10/01/2036

      1,000,000        1,272,760  

City of Orlando FL Tourist Development Tax Revenue

      

5.00%, 11/01/2029

      2,000,000        2,498,900  

City Of South Miami Health Facilities Authority, Inc.

      

5.00%, 08/15/2023

      250,000        281,528  

5.00%, 08/15/2024

      400,000        465,252  

5.00%, 08/15/2025

      700,000        840,560  

City of Tallahassee FL

      

5.00%, 12/01/2026

      1,380,000        1,615,580  

City of Tampa FL

      

0.00%, 09/01/2036

      800,000        488,000  

0.00%, 09/01/2037

      800,000        465,560  

5.00%, 04/01/2040

      1,115,000        1,253,940  

County of Broward FL

      

5.00%, 04/01/2028

      560,000        616,666  

County of Broward FL Airport System Revenue

      

5.00%, 10/01/2022

      1,185,000        1,284,647  

5.00%, 10/01/2022

      1,500,000        1,630,830  

5.00%, 10/01/2023

      3,620,000        4,069,821  

5.00%, 10/01/2025

      2,125,000        2,538,589  

5.00%, 10/01/2026

      1,000,000        1,221,200  

5.00%, 10/01/2026

      2,915,000        3,559,798  

5.00%, 10/01/2027

      1,650,000        2,054,167  

5.00%, 10/01/2027

      3,500,000        4,357,325  

5.00%, 10/01/2028

      1,500,000        1,895,070  

5.00%, 10/01/2029

      500,000        585,590  

5.00%, 10/01/2029

      1,150,000        1,474,932  

5.00%, 10/01/2030

      405,000        493,132  

5.00%, 10/01/2031

      1,525,000        1,924,733  

5.00%, 10/01/2036

      1,350,000        1,663,834  

5.00%, 10/01/2036

      1,500,000        1,780,080  

5.00%, 10/01/2040

      10,000,000        11,385,400  

5.00%, 10/01/2042

      110,000        120,565  

County of Broward FL Port Facilities Revenue

      

4.00%, 09/01/2037

      11,250,000        12,136,162  

5.00%, 09/01/2030

      310,000        394,797  

5.00%, 09/01/2030

      1,780,000        2,198,852  

5.00%, 09/01/2032

      265,000        333,184  

5.00%, 09/01/2034

      1,925,000        2,311,501  

5.00%, 09/01/2035

      2,000,000        2,391,520  

County of Clay FL Sales Surtax Revenue

      

5.00%, 10/01/2026

      1,170,000        1,470,456  

5.00%, 10/01/2030

      1,680,000        2,222,993  

5.00%, 10/01/2031

      1,375,000        1,800,576  

5.00%, 10/01/2035

      1,805,000        2,300,436  

County of Hillsborough FL Community Investment Tax Revenue

      

5.00%, 11/01/2025

      1,800,000        2,186,784  

County of Lee FL Solid Waste System Revenue

      

5.00%, 10/01/2025

      3,045,000        3,585,548  

County of Miami-Dade FL

      

5.00%, 07/01/2023

      1,000,000        1,130,850  

5.00%, 07/01/2023

      7,135,000        8,049,707  

5.00%, 10/01/2024

      1,785,000        2,085,112  

County of Miami-Dade FL Aviation Revenue

      

5.00%, 10/01/2020

      1,000,000        1,000,000  

5.00%, 10/01/2021

      690,000        720,988  

5.00%, 10/01/2022

      485,000        486,605  

5.00%, 10/01/2029

      200,000        227,352  

5.00%, 10/01/2031

      3,000,000        3,278,670  

5.00%, 10/01/2031

      7,500,000        8,478,900  

5.00%, 10/01/2033

      7,000,000        7,867,370  

5.00%, 10/01/2034

      5,520,000        6,199,457  

5.00%, 10/01/2035

      1,000,000        1,120,630  

5.00%, 10/01/2037

      2,990,000        3,383,992  

County of Miami-Dade FL Transit System

      

4.00%, 07/01/2036

      1,755,000        1,978,096  

County of Miami-Dade FL Water & Sewer System Revenue

      

5.00%, 10/01/2031

      4,000,000        4,789,320  

5.00%, 10/01/2032

      1,275,000        1,525,219  

County of Miami-Dade Seaport Department

      

6.00%, 10/01/2038

      7,000,000        7,933,940  

6.25%, 10/01/2038

      2,000,000        2,270,720  

County of Palm Beach FL

      

5.00%, 05/01/2029

      1,915,000        2,364,316  

County of St Lucie FL

      

0.15%, 09/01/2028(1)

      5,000,000        5,000,000  

0.17%, 05/01/2024(1)

      2,500,000        2,500,000  

Crossings At Fleming Island Community Development District

      

4.50%, 05/01/2030

      190,000        195,797  

Escambia County Health Facilities Authority

      

4.00%, 08/15/2045

      1,305,000        1,426,835  

Esplanade Lake Club Community Development District

      

3.25%, 11/01/2025

      250,000        254,602  

3.25%, 11/01/2025

      250,000        254,605  

Florida Development Finance Corp.

      

5.00%, 04/01/2028

      315,000        386,675  

5.00%, 04/01/2029

      250,000        309,915  

5.00%, 05/01/2029(3)

      2,625,000        2,804,104  

5.00%, 02/15/2031

      750,000        828,825  

5.00%, 02/15/2038

      600,000        655,308  

5.00%, 02/15/2048

      1,600,000        1,735,568  

Florida Higher Educational Facilities Financial Authority

      

5.00%, 10/01/2029

      1,000,000        1,136,410  

5.00%, 10/01/2033

      1,000,000        1,110,840  

5.00%, 06/01/2048(3)

      2,310,000        2,269,067  

Florida Housing Finance Corp.

      

3.50%, 07/01/2051

      2,750,000        3,072,905  

Florida Municipal Power Agency

      

5.00%, 10/01/2025

      3,475,000        4,192,796  

Greater Orlando Aviation Authority

      

5.00%, 10/01/2022

      1,000,000        1,084,720  

5.00%, 10/01/2024

      8,935,000        10,375,858  

5.00%, 10/01/2026

      500,000        609,305  

5.00%, 10/01/2030

      1,000,000        1,211,000  

5.00%, 10/01/2031

      2,000,000        2,347,640  

5.00%, 10/01/2033

      2,020,000        2,355,179  

5.00%, 10/01/2033

      6,705,000        8,327,141  

Halifax Hospital Medical Center

      

5.00%, 06/01/2036

      3,000,000        3,438,750  

Harbor Bay Community Development District

      

3.10%, 05/01/2024

      95,000        96,346  

3.10%, 05/01/2024

      400,000        405,636  

3.10%, 05/01/2024

      455,000        461,438  

Hernando County School District

      

5.00%, 07/01/2024

      805,000        939,298  

Highlands County Health Facilities Authority

      

0.12%, 11/15/2035(1)

      1,000,000        1,000,000  

Hillsborough County Aviation Authority

      

5.00%, 10/01/2032

      375,000        468,352  

5.00%, 10/01/2033

      465,000        578,000  

5.00%, 10/01/2034

      2,150,000        2,665,935  

5.00%, 10/01/2035

      2,275,000        2,809,739  

5.00%, 10/01/2036

      2,650,000        3,260,109  

5.00%, 10/01/2040

      12,500,000        14,141,875  

Hillsborough County Port District

      

5.00%, 06/01/2038

      900,000        1,054,035  

Hillsborough County School Board

      

5.00%, 07/01/2029

      1,795,000        2,382,342  

JEA Electric System Revenue

      

5.00%, 10/01/2026

      1,120,000        1,383,827  

5.00%, 10/01/2031

      1,360,000        1,773,250  

5.00%, 10/01/2033

      2,130,000        2,741,310  

5.00%, 10/01/2034

      1,215,000        1,559,270  

JEA Water & Sewer System Revenue

      

0.16%, 10/01/2036(1)

      530,000        530,000  

Lakewood Ranch Stewardship District

      

3.13%, 05/01/2025

      315,000        320,043  

3.13%, 05/01/2030(3)

      310,000        310,518  

3.40%, 05/01/2030

      370,000        377,448  

3.50%, 05/01/2024

      120,000        122,466  

4.00%, 05/01/2022

      260,000        263,887  

4.00%, 05/01/2040

      600,000        617,856  

4.00%, 05/01/2050

      1,000,000        1,013,500  

4.35%, 05/01/2024

      1,275,000        1,307,347  

4.55%, 05/01/2024(3)

      775,000        794,561  

Lee County Industrial Development Authority

      

5.00%, 11/15/2039

      1,850,000        2,028,118  

5.63%, 12/01/2037(3)

      250,000        252,398  

5.75%, 12/01/2052(3)

      750,000        744,495  

Lee County School Board

      

5.00%, 08/01/2028

      3,275,000        4,247,217  

Lee Memorial Health System

      

5.00%, 04/01/2033(1)

      2,850,000        3,306,485  

5.00%, 04/01/2035

      6,575,000        8,221,117  

5.00%, 04/01/2037

      2,060,000        2,548,385  

LT Ranch Community Development District

      

3.00%, 05/01/2025

      835,000        839,208  

Manatee County School District

      

5.00%, 10/01/2025

      520,000        622,892  

Marion County School Board

      

5.00%, 06/01/2026

      1,455,000        1,733,953  

Martin County Health Facilities Authority

      

5.00%, 11/15/2023

      800,000        918,000  

Miami-Dade County Educational Facilities Authority

      

5.00%, 04/01/2040

      2,855,000        3,184,753  

5.00%, 04/01/2045

      1,010,000        1,118,696  

Miami-Dade County Expressway Authority

      

5.00%, 07/01/2030

      1,225,000        1,476,934  

Miami-Dade County Health Facilities Authority

      

5.00%, 08/01/2025

      110,000        131,067  

5.00%, 08/01/2026

      155,000        189,458  

5.00%, 08/01/2027

      345,000        430,315  

5.00%, 08/01/2028

      400,000        493,716  

5.00%, 08/01/2029

      480,000        589,075  

5.00%, 08/01/2030

      680,000        827,784  

5.00%, 08/01/2032

      750,000        903,758  

Miami-Dade County Industrial Development Authority

      

1.50%, 09/01/2027(1)

      6,500,000        6,506,500  

Monroe County School District

      

5.00%, 06/01/2033

      540,000        664,443  

5.00%, 06/01/2035

      500,000        611,360  

Orange County Convention Center

      

5.00%, 10/01/2023

      1,510,000        1,685,236  

Orange County Health Facilities Authority

      

0.11%, 01/01/2037(1)

      900,000        900,000  

5.00%, 10/01/2039

      750,000        875,933  

Orange County School Board

      

5.00%, 08/01/2029

      1,000,000        1,198,860  

Palm Beach County Health Facilities Authority

      

5.00%, 12/01/2023

      50,000        57,394  

5.00%, 05/15/2024

      615,000        668,321  

5.00%, 12/01/2024

      105,000        125,213  

5.00%, 06/01/2055

      2,500,000        2,581,750  

7.50%, 06/01/2049

      100,000        109,441  

7.50%, 06/01/2049

      1,875,000        2,052,581  

Palm Beach County School District

      

5.00%, 08/01/2023

      500,000        565,550  

5.00%, 08/01/2024

      220,000        258,936  

5.00%, 08/01/2026

      1,065,000        1,338,098  

5.00%, 08/01/2026

      3,750,000        4,711,613  

5.00%, 08/01/2030

      4,520,000        5,433,130  

5.00%, 08/01/2032

      3,000,000        3,576,150  

Pasco County School Board

      

5.00%, 08/01/2030

      450,000        601,938  

5.00%, 08/01/2033

      1,000,000        1,311,180  

Pinellas County Industrial Development Authority

      

5.00%, 07/01/2039

      375,000        420,353  

Portico Community Development District

      

2.80%, 05/01/2025

      1,000,000        1,001,730  

Sarasota County Health Facilities Authority

      

5.00%, 01/01/2042

      750,000        796,163  

5.00%, 01/01/2047

      875,000        925,873  

School Board of Miami-Dade County

      

5.00%, 05/01/2025

      3,000,000        3,614,010  

5.00%, 05/01/2026

      1,000,000        1,195,640  

5.00%, 05/01/2028

      2,785,000        3,310,418  

5.00%, 02/01/2030

      500,000        604,665  

5.00%, 05/01/2031(1)

      5,000,000        5,789,650  

5.00%, 05/01/2031

      5,000,000        5,925,950  

School District of Broward County

      

5.00%, 07/01/2022

      1,000,000        1,083,310  

5.00%, 07/01/2028

      1,500,000        1,881,480  

5.00%, 07/01/2029

      2,545,000        3,173,488  

5.00%, 07/01/2030

      3,955,000        5,282,812  

5.00%, 07/01/2030

      5,500,000        6,481,200  

5.00%, 07/01/2031

      1,000,000        1,327,150  

5.00%, 07/01/2033

      5,000,000        6,546,800  

Seminole County Industrial Development Authority

      

3.75%, 11/15/2025

      2,690,000        2,513,079  

St Johns County School Board

      

5.00%, 07/01/2029

      1,250,000        1,645,588  

5.00%, 07/01/2030

      1,500,000        1,954,845  

5.00%, 07/01/2031

      1,000,000        1,295,590  

State of Florida

      

5.00%, 06/01/2023

      2,425,000        2,734,939  

5.00%, 06/01/2024

      2,415,000        2,834,534  

5.00%, 07/01/2024

      2,460,000        2,895,518  

State of Florida Lottery Revenue

      

5.00%, 07/01/2024

      1,400,000        1,644,986  

5.00%, 07/01/2024

      4,000,000        4,699,960  

Sunshine Skyway Bridge

      

4.00%, 07/01/2037

      2,355,000        2,774,802  

Tampa Bay Water

      

5.50%, 10/01/2022

      1,000,000        1,105,800  

Tender Option Bond Trust Receipts/Certificates

      

0.27%, 01/01/2028(1)(3)

      6,300,000        6,300,000  

0.39%, 10/01/2023(1)(3)

      2,700,000        2,700,000  

Tolomato Community Development District

      

2.00%, 05/01/2021

      580,000        584,936  

2.00%, 05/01/2022

      605,000        618,885  

2.00%, 05/01/2023

      1,250,000        1,295,863  

2.00%, 05/01/2024

      1,300,000        1,361,516  

2.10%, 05/01/2025

      1,345,000        1,424,274  

3.50%, 05/01/2024

      465,000        478,745  

Town of Davie FL

      

5.00%, 04/01/2048

      1,440,000        1,637,050  

Village Community Development District No 13

      

3.00%, 05/01/2029

      1,000,000        1,034,040  

3.38%, 05/01/2034

      1,000,000        1,039,780  

Volusia County Educational Facility Authority

      

4.00%, 10/15/2037

      740,000        848,469  

5.00%, 10/15/2044

      390,000        475,601  

5.00%, 10/15/2049

      730,000        884,015  

Volusia County School Board

      

5.00%, 08/01/2024

      2,100,000        2,439,381  

West Villages Improvement District

      

4.00%, 05/01/2024

      400,000        409,748  

Westside Community Development District

      

3.50%, 05/01/2024(3)

      470,000        475,664  
     

 

 

  

Total Florida

 

      473,377,626  
     

 

 

  

Georgia – 3.61%

      

Atlanta Development Authority

      

6.75%, 01/01/2035

      2,200,000        1,834,228  

7.00%, 01/01/2040

      985,000        820,761  

Augusta GA Airport Revenue

      

5.00%, 01/01/2027

      370,000        400,580  

Bartow County Development Authority

      

1.55%, 08/01/2043(1)

      3,000,000        3,036,840  

Brookhaven Development Authority

      

5.00%, 07/01/2025

      1,400,000        1,693,034  

5.00%, 07/01/2031

      650,000        848,360  

5.00%, 07/01/2032

      1,000,000        1,294,540  

5.00%, 07/01/2033

      1,135,000        1,458,918  

5.00%, 07/01/2037

      1,800,000        2,277,666  

Burke County Development Authority

      

0.16%, 11/01/2052(1)

      5,195,000        5,195,000  

2.25%, 10/01/2032(1)

      2,800,000        2,901,836  

2.93%, 11/01/2053(1)

      2,940,000        3,138,097  

3.25%, 11/01/2045(1)

      3,000,000        3,237,960  

City of Atlanta GA Department of Aviation

      

5.00%, 01/07/2024

      1,400,000        1,636,502  

5.00%, 01/07/2024

      1,530,000        1,772,429  

5.00%, 01/07/2025

      2,580,000        3,084,751  

5.00%, 01/07/2025

      5,735,000        6,940,210  

5.00%, 01/07/2026

      6,945,000        8,642,983  

5.00%, 01/07/2027

      2,635,000        3,355,304  

City of Atlanta GA Water & Wastewater Revenue

      

5.00%, 11/01/2040

      14,595,000        17,255,377  

City of East Point GA

      

5.00%, 08/01/2021

      250,000        259,182  

Cobb County Kennestone Hospital Authority

      

4.00%, 04/01/2033

      500,000        590,005  

5.00%, 04/01/2047

      1,150,000        1,345,442  

Columbus Medical Center Hospital Authority

      

5.00%, 07/01/2054(1)

      2,700,000        3,409,857  

5.00%, 07/01/2054(1)

      3,330,000        4,028,035  

DeKalb Private Hospital Authority

      

5.00%, 07/01/2027

      1,235,000        1,575,267  

Development Authority for Fulton County

      

5.00%, 04/01/2023

      300,000        333,354  

5.00%, 06/15/2044

      580,000        716,497  

5.00%, 04/01/2047

      1,750,000        2,047,412  

Development Authority of Burke County

      

1.50%, 01/01/2040(1)

      4,000,000        4,023,520  

1.70%, 12/01/2049(1)

      2,400,000        2,469,624  

Development Authority of Monroe County

      

0.15%, 09/01/2037(1)

      3,000,000        3,000,000  

Development Authority Of The City Of Marietta

      

5.00%, 11/01/2037(3)

      625,000        651,581  

5.00%, 11/01/2047(3)

      500,000        513,165  

Fayette County Hospital Authority

      

5.00%, 07/01/2054(1)

      1,300,000        1,483,625  

Fulton County Residential Care Facilities for the Elderly Authority

      

5.00%, 04/01/2047(3)

      700,000        689,885  

5.00%, 04/01/2054(3)

      550,000        535,183  

Gainesville & Hall County Hospital Authority

      

5.50%, 02/15/2042

      650,000        790,049  

Griffin-Spalding County Hospital Authority

      

3.00%, 04/01/2027

      635,000        711,232  

LaGrange-Troup County Hospital Authority

      

5.00%, 04/01/2024

      500,000        576,110  

Macon-Bibb County Urban Development Authority

      

5.75%, 06/15/2037(3)

      1,000,000        1,037,570  

Main Street Natural Gas, Inc.

      

0.85% (1 Month LIBOR USD + 0.75%), 04/01/2048(2)

      6,400,000        6,392,896  

0.93% (1 Month LIBOR USD + 0.83%), 08/01/2048(2)

      1,700,000        1,701,122  

4.00%, 04/01/2048(1)

      3,600,000        3,937,824  

4.00%, 08/01/2048(1)

      7,975,000        8,780,395  

4.00%, 08/01/2049(1)

      52,070,000        59,070,291  

4.00%, 03/01/2050(1)

      20,000,000        23,228,800  

5.00%, 05/15/2027

      3,000,000        3,639,390  

5.00%, 05/15/2028

      2,500,000        3,080,250  

5.00%, 05/15/2043

      4,520,000        5,318,006  

Monroe County Development Authority

      

2.35%, 10/01/2048(1)

      500,000        501,785  

Municipal Electric Authority of Georgia

      

5.00%, 01/01/2024

      830,000        945,793  

5.00%, 01/01/2025

      350,000        412,174  

5.00%, 01/01/2025

      900,000        1,059,876  

5.00%, 01/01/2026

      300,000        364,089  

5.00%, 01/01/2026

      320,000        388,362  

5.00%, 01/01/2027

      300,000        373,404  

5.00%, 01/01/2028

      25,000        31,842  

5.00%, 01/01/2028

      750,000        955,245  

5.00%, 01/01/2030

      1,000,000        1,273,940  

5.00%, 01/01/2031

      685,000        878,951  

5.00%, 01/01/2049

      3,610,000        4,316,838  

Private Colleges & Universities Authority

      

4.00%, 09/01/2037

      8,350,000        10,055,905  

4.00%, 09/01/2038

      4,665,000        5,597,860  

5.00%, 09/01/2025

      1,810,000        2,223,513  

5.00%, 04/01/2027

      1,900,000        2,135,315  

5.00%, 04/01/2044

      1,000,000        1,084,690  

Savannah Economic Development Authority

      

7.25%, 01/01/2049

      120,000        130,612  

State of Georgia

      

4.00%, 08/01/2034

      6,455,000        8,076,754  

5.00%, 07/01/2023

      1,000,000        1,132,920  
     

 

 

  

Total Georgia

 

      258,700,813  
     

 

 

  

Guam – 0.06%

      

Guam Government Waterworks Authority

      

5.00%, 07/01/2035

      1,550,000        1,709,774  

Territory of Guam

      

5.00%, 11/15/2031

      2,410,000        2,526,475  
     

 

 

  

Total Guam

 

      4,236,249  
     

 

 

  

Hawaii – 0.62%

      

City & County of Honolulu HI

      

5.00%, 09/01/2024

      1,275,000        1,511,283  

5.00%, 10/01/2029

      2,000,000        2,425,160  

5.00%, 07/01/2034

      810,000        1,079,179  

5.00%, 07/01/2035

      1,345,000        1,784,304  

State of Hawaii

      

5.00%, 08/01/2023

      1,925,000        2,184,971  

5.00%, 01/01/2030

      2,330,000        3,067,072  

5.00%, 01/01/2032

      12,800,000        16,653,568  

5.00%, 01/01/2033

      9,500,000        12,283,120  

State of Hawaii Airports System Revenue

      

5.00%, 07/01/2031

      1,275,000        1,559,708  

5.00%, 07/01/2032

      1,500,000        1,821,555  
     

 

 

  

Total Hawaii

 

      44,369,920  
     

 

 

  

Idaho – 0.05%

      

Idaho Health Facilities Authority

      

5.00%, 03/01/2034

      3,155,000        3,510,221  

Idaho Housing & Finance Association

      

4.00%, 01/01/2050

      265,000        296,143  
     

 

 

  

Total Idaho

 

      3,806,364  
     

 

 

  

Illinois – 9.05%

      

Champaign County Community Unit School District No 4 Champaign

      

0.00%, 01/01/2025

      485,000        469,562  

Chicago Board of Education

      

0.00%, 12/01/2025

      265,000        232,503  

0.00%, 12/01/2025

      345,000        297,645  

5.00%, 12/01/2021

      1,000,000        1,034,900  

5.00%, 12/01/2023

      2,000,000        2,160,800  

5.00%, 12/01/2024

      130,000        142,629  

5.00%, 12/01/2024

      2,175,000        2,386,301  

5.00%, 12/01/2025

      475,000        528,884  

5.00%, 12/01/2025

      1,160,000        1,291,590  

5.00%, 12/01/2025

      2,500,000        2,967,400  

5.00%, 12/01/2026

      145,000        162,968  

5.00%, 12/01/2026

      3,660,000        4,113,547  

5.00%, 12/01/2027

      850,000        958,910  

5.00%, 12/01/2028

      310,000        351,531  

5.00%, 12/01/2028

      1,270,000        1,440,142  

5.00%, 12/01/2029

      385,000        436,782  

5.00%, 12/01/2029

      540,000        612,630  

5.00%, 12/01/2030

      2,000,000        2,246,420  

5.00%, 12/01/2030

      2,430,000        2,729,400  

5.00%, 12/01/2031

      2,185,000        2,439,531  

5.00%, 12/01/2033

      300,000        329,346  

5.00%, 12/01/2034

      250,000        303,527  

5.00%, 12/01/2041

      785,000        792,677  

5.00%, 12/01/2042

      200,000        203,018  

5.00%, 12/01/2046

      1,455,000        1,549,284  

5.25%, 12/01/2041

      3,000,000        3,041,190  

6.50%, 12/01/2046

      100,000        116,892  

6.75%, 12/01/2030(3)

      1,500,000        1,865,970  

7.00%, 12/01/2046(3)

      400,000        493,464  

Chicago Midway International Airport

      

5.00%, 01/01/2021

      5,000,000        5,048,650  

5.00%, 01/01/2027

      1,800,000        2,116,152  

5.00%, 01/01/2032

      2,000,000        2,198,220  

5.00%, 01/01/2034

      1,000,000        1,094,470  

5.00%, 01/01/2041

      835,000        954,063  

5.00%, 01/01/2046

      300,000        340,986  

5.50%, 01/01/2028

      5,000,000        5,466,150  

Chicago O’Hare International Airport

      

4.00%, 01/01/2035

      4,060,000        4,640,742  

4.00%, 01/01/2036

      3,285,000        3,737,739  

5.00%, 01/01/2021

      1,535,000        1,549,982  

5.00%, 01/01/2022

      520,000        545,511  

5.00%, 01/01/2023

      1,000,000        1,103,100  

5.00%, 01/01/2024

      500,000        572,580  

5.00%, 01/01/2024

      1,865,000        2,106,517  

5.00%, 01/01/2025

      415,000        484,927  

5.00%, 01/01/2026

      1,500,000        1,828,215  

5.00%, 01/01/2027

      385,000        468,761  

5.00%, 01/01/2028

      1,000,000        1,207,560  

5.00%, 01/01/2028

      1,500,000        1,901,370  

5.00%, 01/01/2030

      520,000        649,022  

5.00%, 01/01/2030

      2,000,000        2,327,000  

5.00%, 01/01/2030

      3,105,000        3,580,500  

5.00%, 01/01/2031

      660,000        782,146  

5.00%, 01/01/2031

      700,000        805,322  

5.00%, 01/01/2031

      835,000        1,035,375  

5.00%, 01/01/2032

      1,140,000        1,405,506  

5.00%, 01/01/2032

      1,300,000        1,490,957  

5.00%, 01/01/2032

      11,555,000        13,376,530  

5.00%, 01/01/2033

      345,000        399,279  

5.00%, 01/01/2033

      1,200,000        1,470,348  

5.00%, 01/01/2033

      2,520,000        2,909,315  

5.00%, 07/01/2033

      550,000        640,161  

5.00%, 01/01/2034

      400,000        461,600  

5.00%, 01/01/2035

      1,285,000        1,563,254  

5.00%, 01/01/2036

      430,000        493,898  

5.00%, 01/01/2042

      500,000        572,540  

5.00%, 01/01/2048

      1,025,000        1,201,607  

5.00%, 01/01/2053

      615,000        722,268  

Chicago Park District

      

4.00%, 01/01/2022

      500,000        515,945  

5.00%, 01/01/2025

      500,000        505,990  

5.00%, 01/01/2029

      3,000,000        3,327,870  

5.00%, 01/01/2036

      480,000        494,976  

Chicago Transit Authority

      

5.00%, 06/01/2022

      265,000        283,860  

5.00%, 06/01/2023

      240,000        266,798  

5.00%, 06/01/2024

      200,000        229,836  

5.00%, 06/01/2025

      200,000        237,134  

5.00%, 06/01/2026

      160,000        194,309  

5.00%, 06/01/2026

      8,275,000        10,049,408  

5.25%, 06/01/2024

      2,000,000        2,062,320  

City of Chicago IL

      

5.00%, 01/01/2022

      460,000        487,430  

5.00%, 01/01/2027

      500,000        598,865  

5.00%, 01/01/2027

      2,000,000        2,150,680  

5.00%, 01/01/2031

      1,000,000        1,066,510  

5.00%, 01/01/2035

      750,000        772,672  

5.00%, 01/01/2035

      2,650,000        2,705,729  

5.00%, 01/01/2039

      1,200,000        1,233,084  

5.25%, 01/01/2027

      2,435,000        2,585,897  

5.50%, 01/01/2035

      1,000,000        1,049,980  

5.75%, 01/01/2034

      2,000,000        2,164,500  

City of Chicago IL Motor Fuel Tax Revenue

      

5.00%, 01/01/2025

      2,000,000        2,107,480  

City of Chicago IL Wastewater Transmission Revenue

      

5.00%, 01/01/2023

      450,000        491,080  

5.00%, 01/01/2024

      500,000        565,095  

5.00%, 01/01/2028

      3,000,000        3,129,090  

5.00%, 01/01/2028

      2,900,000        3,211,605  

5.00%, 01/01/2029

      1,300,000        1,447,563  

5.00%, 01/01/2030

      1,000,000        1,216,940  

5.00%, 01/01/2030

      1,310,000        1,518,866  

5.00%, 01/01/2033

      2,000,000        2,276,060  

5.00%, 01/01/2039

      1,000,000        1,139,790  

City of Chicago IL Waterworks Revenue

      

4.00%, 11/01/2023

      1,025,000        1,080,514  

5.00%, 11/01/2020

      1,030,000        1,033,626  

5.00%, 11/01/2021

      1,525,000        1,596,812  

5.00%, 11/01/2022

      1,000,000        1,083,590  

5.00%, 11/01/2023

      650,000        729,709  

5.00%, 11/01/2024

      250,000        289,765  

5.00%, 11/01/2024

      1,000,000        1,159,060  

5.00%, 11/01/2024

      1,150,000        1,332,919  

5.00%, 11/01/2025

      1,000,000        1,154,820  

5.00%, 11/01/2026

      1,000,000        1,144,920  

5.00%, 11/01/2033

      500,000        563,600  

City of Springfield IL

      

5.00%, 12/01/2024

      340,000        395,825  

5.00%, 12/01/2025

      395,000        473,226  

5.00%, 12/01/2026

      160,000        188,061  

City of Waukegan IL

      

4.00%, 12/30/2024

      540,000        610,929  

City of Waukegan IL Water & Sewer System Revenue

      

4.00%, 12/30/2036

      500,000        569,585  

5.00%, 12/30/2031

      635,000        799,643  

Cook County Community College District No 508

      

5.25%, 12/01/2028

      1,150,000        1,225,474  

Cook Kane Lake & McHenry Counties Community College District No 512

      

5.00%, 12/01/2024

      850,000        1,010,242  

County of Cook IL

      

5.00%, 11/15/2023

      3,090,000        3,501,990  

5.00%, 11/15/2026

      1,000,000        1,004,510  

5.00%, 11/15/2026

      1,450,000        1,765,273  

5.00%, 11/15/2029

      1,000,000        1,196,510  

5.00%, 11/15/2030

      500,000        595,525  

5.00%, 11/15/2034

      1,200,000        1,406,640  

5.25%, 11/15/2022

      405,000        407,146  

5.25%, 11/15/2028

      1,035,000        1,078,791  

County of Cook IL Sales Tax Revenue

      

5.00%, 11/15/2029

      1,085,000        1,180,947  

5.00%, 11/15/2033

      2,795,000        3,355,509  

5.25%, 11/15/2035

      3,000,000        3,629,610  

County of Kankakee IL

      

4.00%, 12/01/2020

      515,000        517,596  

County of Kendall IL

      

5.00%, 12/15/2024

      2,190,000        2,583,302  

Illinois Development Finance Authority

      

0.10%, 10/01/2029(1)

      5,415,000        5,415,000  

Illinois Finance Authority

      

1.75%, 11/15/2042(1)

      1,770,000        1,782,833  

2.25%, 11/15/2042(1)

      500,000        515,310  

3.00%, 07/01/2035

      2,250,000        2,414,430  

3.63%, 02/15/2032

      355,000        390,376  

3.75%, 02/15/2034

      200,000        221,254  

4.00%, 05/15/2023

      35,000        38,347  

4.00%, 05/15/2023

      245,000        253,815  

4.00%, 11/01/2030

      2,500,000        2,851,850  

4.00%, 09/01/2032

      40,000        41,644  

4.00%, 02/15/2036

      800,000        895,776  

4.00%, 02/15/2041

      5,000        6,085  

4.00%, 02/15/2041

      130,000        158,215  

4.13%, 08/15/2037

      1,090,000        1,165,810  

4.75%, 05/15/2033

      125,000        139,398  

4.75%, 05/15/2033

      835,000        858,347  

4.75%, 10/15/2040(1)(3)

      2,625,000        2,666,081  

5.00%, 08/01/2021

      445,000        458,248  

5.00%, 02/15/2022

      215,000        227,943  

5.00%, 07/01/2022

      1,000,000        1,083,860  

5.00%, 12/01/2022

      325,000        343,086  

5.00%, 11/15/2023

      1,680,000        1,890,101  

5.00%, 12/01/2023

      1,880,000        2,121,392  

5.00%, 01/01/2024

      250,000        283,753  

5.00%, 02/15/2024

      215,000        246,988  

5.00%, 05/15/2024

      350,000        400,274  

5.00%, 02/15/2025

      695,000        816,736  

5.00%, 07/15/2025

      230,000        277,286  

5.00%, 08/01/2025

      1,605,000        1,814,132  

5.00%, 02/15/2026

      360,000        441,482  

5.00%, 02/15/2026

      1,345,000        1,625,742  

5.00%, 08/15/2026

      1,500,000        1,869,930  

5.00%, 08/15/2027

      2,000,000        2,549,600  

5.00%, 03/01/2028

      15,000        18,183  

5.00%, 05/15/2028

      12,620,000        15,866,747  

5.00%, 09/01/2028

      500,000        569,215  

5.00%, 01/01/2029

      1,650,000        2,089,131  

5.00%, 02/15/2029

      1,445,000        1,785,948  

5.00%, 10/01/2029

      505,000        643,319  

5.00%, 12/01/2029

      340,000        401,183  

5.00%, 02/15/2030

      1,240,000        1,525,014  

5.00%, 07/01/2030

      275,000        325,839  

5.00%, 07/15/2030

      710,000        891,959  

5.00%, 08/01/2030

      870,000        989,651  

5.00%, 09/01/2030

      430,000        488,889  

5.00%, 10/01/2030

      565,000        714,584  

5.00%, 11/15/2030

      2,000,000        2,306,480  

5.00%, 01/01/2031

      3,545,000        4,240,387  

5.00%, 02/15/2031

      300,000        367,248  

5.00%, 05/15/2031

      5,000,000        6,212,900  

5.00%, 07/01/2031

      1,420,000        1,783,903  

5.00%, 08/15/2031

      1,525,000        2,026,512  

5.00%, 05/15/2033

      795,000        745,352  

5.00%, 08/15/2033

      250,000        315,650  

5.00%, 10/01/2033

      500,000        626,415  

5.00%, 10/01/2033

      700,000        866,754  

5.00%, 01/01/2034

      605,000        712,170  

5.00%, 02/15/2034

      1,890,000        2,284,462  

5.00%, 07/01/2034

      300,000        350,226  

5.00%, 08/15/2034

      2,500,000        3,037,375  

5.00%, 10/01/2034

      430,000        536,696  

5.00%, 11/15/2034

      300,000        341,991  

5.00%, 11/15/2034

      3,000,000        3,419,910  

5.00%, 08/15/2035

      100,000        113,205  

5.00%, 08/15/2035

      600,000        757,560  

5.00%, 10/01/2035

      400,000        496,876  

5.00%, 02/15/2036

      905,000        1,087,620  

5.00%, 07/01/2036

      830,000        963,514  

5.00%, 08/15/2036

      1,000,000        1,262,600  

5.00%, 10/01/2036

      620,000        757,882  

5.00%, 01/01/2037

      2,785,000        3,297,189  

5.00%, 05/15/2037

      395,000        421,781  

5.00%, 05/15/2037

      1,050,000        1,075,588  

5.00%, 08/15/2037

      1,000,000        1,262,600  

5.00%, 11/15/2038

      3,795,000        4,289,830  

5.00%, 02/15/2041

      1,075,000        1,272,596  

5.00%, 08/01/2042

      120,000        131,081  

5.00%, 01/01/2044

      4,145,000        4,837,049  

5.00%, 08/15/2044

      200,000        221,614  

5.00%, 12/01/2046

      5,950,000        6,732,009  

5.00%, 05/15/2047

      100,000        104,989  

5.00%, 08/01/2049

      140,000        151,805  

5.00%, 05/15/2050(1)

      1,625,000        1,870,960  

5.00%, 05/15/2050(1)

      2,170,000        2,637,809  

5.00%, 07/15/2057(1)

      11,305,000        12,442,622  

5.13%, 05/15/2038

      1,000,000        910,630  

5.25%, 08/15/2031

      500,000        638,530  

5.25%, 07/01/2035

      20,085,000        26,775,113  

5.25%, 02/15/2037

      380,000        353,514  

5.25%, 05/15/2047

      35,000        39,487  

5.25%, 05/15/2047

      245,000        251,735  

5.25%, 05/15/2054

      1,000,000        850,300  

Illinois Municipal Electric Agency

      

5.00%, 02/01/2022

      1,280,000        1,358,054  

5.00%, 02/01/2023

      275,000        304,318  

5.00%, 02/01/2031

      470,000        555,380  

Illinois Sports Facilities Authority

      

5.25%, 06/15/2032

      1,735,000        1,926,197  

Illinois State Toll Highway Authority

      

5.00%, 01/01/2024

      935,000        1,067,387  

5.00%, 01/01/2028

      3,000,000        3,820,980  

5.00%, 12/01/2031

      235,000        280,531  

5.00%, 12/01/2032

      425,000        505,436  

5.00%, 01/01/2034

      1,300,000        1,603,108  

5.00%, 01/01/2037

      1,260,000        1,473,973  

Illinois State University

      

5.00%, 04/01/2032

      1,745,000        2,123,368  

Kane & DeKalb Counties Community Unit School District No 302 Kaneland

      

5.00%, 02/01/2025

      4,125,000        4,870,759  

5.00%, 02/01/2026

      1,930,000        2,347,459  

Lake County Community Unit School District No 60 Waukegan

      

5.00%, 01/01/2026

      1,000,000        1,158,190  

5.00%, 01/01/2027

      100,000        119,539  

5.00%, 01/01/2027

      2,100,000        2,419,473  

Macon County School District No 61 Decatur

      

4.00%, 01/01/2029

      1,240,000        1,426,484  

4.00%, 01/01/2033

      1,950,000        2,200,595  

4.00%, 01/01/2034

      1,750,000        1,968,120  

McHenry County Community Unit School District No 12 Johnsburg

      

5.00%, 01/01/2026

      925,000        1,053,723  

McHenry County Community Unit School District No 200 Woodstock

      

0.00%, 01/15/2024

      1,000,000        971,770  

0.00%, 01/15/2025

      1,000,000        958,720  

0.00%, 01/15/2026

      1,000,000        941,870  

Metropolitan Pier & Exposition Authority

      

0.00%, 12/15/2023

      165,000        156,153  

0.00%, 06/15/2028

      14,270,000        11,645,747  

0.00%, 06/15/2029

      2,540,000        1,984,273  

0.00%, 12/15/2030

      11,000,000        8,064,650  

0.00%, 12/15/2034

      550,000        338,784  

0.00%, 12/15/2035

      10,000,000        5,901,300  

5.00%, 12/15/2026

      2,000,000        2,088,360  

5.00%, 12/15/2028

      1,000,000        1,154,030  

5.00%, 12/15/2028

      2,815,000        2,937,734  

5.00%, 12/15/2032

      550,000        621,649  

5.00%, 06/15/2042

      4,500,000        5,098,770  

5.00%, 06/15/2050

      16,465,000        18,247,007  

5.00%, 06/15/2057

      3,275,000        3,557,141  

Metropolitan Water Reclamation District of Greater Chicago

      

5.00%, 12/01/2031

      5,700,000        5,974,569  

5.25%, 12/01/2032

      1,800,000        2,522,484  

Peoria Metropolitan Airport Authority

      

5.00%, 12/01/2026

      1,375,000        1,662,966  

Peoria Public Building Commission

      

5.00%, 12/01/2022

      1,500,000        1,644,555  

Railsplitter Tobacco Settlement Authority

      

5.00%, 06/01/2023

      2,265,000        2,524,275  

5.00%, 06/01/2024

      5,275,000        6,086,717  

5.50%, 06/01/2023

      1,240,000        1,284,342  

Regional Transportation Authority

      

5.00%, 07/01/2021

      400,000        413,008  

Sales Tax Securitization Corp.

      

5.00%, 01/01/2025

      1,000,000        1,148,230  

5.00%, 01/01/2025

      4,000,000        4,592,920  

5.00%, 01/01/2026

      2,000,000        2,348,520  

5.00%, 01/01/2029

      1,000,000        1,236,770  

Sangamon Logan & Menard Counties Community Unit School Distributors No 15 Williamsville

      

5.00%, 12/01/2027

      325,000        403,855  

5.00%, 12/01/2029

      710,000        903,340  

5.00%, 12/01/2031

      600,000        750,402  

5.00%, 12/01/2032

      400,000        497,572  

5.00%, 12/01/2033

      375,000        463,148  

State of Illinois

      

4.00%, 01/01/2023

      330,000        335,069  

5.00%, 11/01/2020

      610,000        611,421  

5.00%, 02/01/2021

      6,000,000        6,056,760  

5.00%, 09/01/2021

      1,365,000        1,400,872  

5.00%, 10/01/2021

      2,000,000        2,057,340  

5.00%, 11/01/2021

      12,555,000        12,892,730  

5.00%, 08/01/2022

      3,000,000        3,178,170  

5.00%, 09/01/2022

      1,340,000        1,403,730  

5.00%, 11/01/2022

      570,000        593,518  

5.00%, 02/01/2023

      200,000        209,720  

5.00%, 02/01/2023

      235,000        246,421  

5.00%, 09/01/2023

      1,365,000        1,444,893  

5.00%, 11/01/2023

      4,160,000        4,387,926  

5.00%, 06/15/2024

      2,305,000        2,488,824  

5.00%, 09/01/2024

      1,365,000        1,464,167  

5.00%, 02/01/2025

      455,000        482,819  

5.00%, 05/01/2025

      3,050,000        3,248,006  

5.00%, 06/01/2025

      880,000        952,996  

5.00%, 06/15/2025

      4,190,000        4,522,099  

5.00%, 10/01/2025

      355,000        386,009  

5.00%, 11/01/2025

      2,040,000        2,219,806  

5.00%, 11/01/2025

      13,700,000        14,727,774  

5.00%, 06/01/2026

      125,000        136,655  

5.00%, 10/01/2026

      2,270,000        2,487,489  

5.00%, 11/01/2026

      9,230,000        9,966,369  

5.00%, 02/01/2027

      1,635,000        1,796,064  

5.00%, 11/01/2027

      1,040,000        1,128,234  

5.00%, 02/01/2028

      1,000,000        1,090,990  

5.00%, 05/01/2028

      265,000        278,807  

5.00%, 11/01/2028

      3,000,000        3,225,420  

5.00%, 02/01/2029

      1,000,000        1,081,570  

5.00%, 04/01/2029

      605,000        633,163  

5.00%, 01/01/2031

      11,000,000        11,184,690  

5.00%, 10/01/2031

      7,300,000        7,870,422  

5.00%, 05/01/2032

      800,000        828,296  

5.00%, 05/01/2034

      2,500,000        2,572,525  

5.13%, 05/01/2022

      325,000        339,216  

5.25%, 02/01/2029

      3,720,000        3,916,937  

5.25%, 02/01/2030

      100,000        104,904  

5.25%, 12/01/2030

      11,685,000        12,768,550  

5.25%, 02/01/2031

      760,000        794,534  

5.50%, 07/01/2024

      1,000,000        1,065,150  

5.50%, 05/01/2025

      840,000        926,554  

5.50%, 07/01/2025

      400,000        425,816  

5.50%, 07/01/2038

      1,500,000        1,551,780  

Tender Option Bond Trust Receipts/Certificates

      

0.32%, 12/01/2049(1)(3)

      1,900,000        1,900,000  

0.47%, 06/15/2036(1)(3)

      1,400,000        1,400,000  

University of Illinois

      

4.00%, 04/01/2036

      1,500,000        1,668,525  

Upper Illinois River Valley Development Authority

      

5.25%, 12/01/2037(3)

      2,005,000        2,067,596  

Village of Bedford Park IL

      

4.00%, 12/01/2020

      1,180,000        1,185,452  

Village of Bolingbrook IL

      

4.00%, 03/01/2023

      500,000        542,295  

4.00%, 03/01/2025

      500,000        572,405  

4.00%, 03/01/2027

      1,000,000        1,187,770  

Village of Hillside IL

      

5.00%, 01/01/2024

      725,000        740,537  

Will County Community Unit School District No 365 Valley View

      

0.00%, 11/01/2025

      1,520,000        1,444,988  

0.00%, 11/01/2026

      905,000        853,877  

5.00%, 11/01/2023

      420,000        477,137  

5.00%, 11/01/2024

      2,390,000        2,811,046  

5.00%, 11/01/2026

      1,800,000        2,241,918  
     

 

 

  

Total Illinois

 

      648,749,558  
     

 

 

  

Indiana – 1.78%

      

Ball State University

      

5.00%, 07/01/2033

      955,000        1,172,473  

City of Whiting IN

      

5.00%, 12/01/2044(1)

      19,260,000        23,547,276  

5.00%, 11/01/2045(1)

      3,000,000        3,271,200  

5.25%, 01/01/2021

      1,745,000        1,766,725  

County of St Joseph IN

      

5.00%, 04/01/2033

      1,245,000        1,517,045  

Indiana Finance Authority

      

0.25%, 05/01/2028(1)

      3,000,000        3,001,140  

1.65%, 12/01/2042(1)

      2,145,000        2,179,663  

2.25%, 12/01/2058(1)

      1,285,000        1,362,640  

5.00%, 12/01/2024

      3,000,000        3,582,030  

5.00%, 05/01/2026

      1,100,000        1,359,446  

5.00%, 11/01/2026

      1,200,000        1,502,700  

5.00%, 05/01/2027

      700,000        887,061  

5.00%, 05/01/2029

      685,000        902,768  

5.00%, 11/01/2029

      2,350,000        2,916,468  

5.00%, 09/01/2031

      440,000        526,262  

5.00%, 06/01/2032

      2,750,000        2,857,112  

5.00%, 03/01/2036

      4,000,000        4,547,720  

5.00%, 09/01/2036

      1,000,000        1,176,270  

5.00%, 06/01/2039

      1,200,000        1,239,216  

5.00%, 07/01/2048

      3,600,000        3,824,100  

5.25%, 02/01/2033

      2,500,000        2,894,000  

5.25%, 10/01/2038

      15,010,000        15,718,322  

5.25%, 01/01/2051

      5,450,000        5,817,930  

6.00%, 12/01/2026

      2,035,000        1,934,288  

Indiana Health & Educational Facilities Financing Authority

      

1.75%, 11/15/2031(1)

      45,000        45,695  

1.75%, 11/15/2031(1)

      2,955,000        3,001,630  

Indiana Health Facility Financing Authority

      

2.00%, 11/15/2036(1)

      2,070,000        2,148,246  

Indiana Housing & Community Development Authority

      

1.65%, 04/01/2022(1)

      7,500,000        7,547,250  

3.50%, 01/01/2049

      1,210,000        1,332,355  

Indianapolis Local Public Improvement Bond Bank

      

5.00%, 01/01/2021

      370,000        373,704  

5.00%, 01/01/2022

      755,000        793,007  

5.00%, 01/01/2023

      285,000        309,883  

5.00%, 07/15/2023

      300,000        338,994  

5.00%, 07/15/2024

      1,000,000        1,171,740  

5.00%, 01/01/2025

      1,195,000        1,384,455  

5.00%, 07/15/2025

      750,000        907,740  

5.00%, 01/15/2026

      720,000        883,908  

5.00%, 01/15/2027

      700,000        880,866  

5.00%, 01/15/2028

      500,000        641,770  

5.00%, 01/01/2029

      1,000,000        1,183,770  

5.00%, 01/01/2030

      3,000,000        3,307,320  

5.00%, 01/01/2031

      1,000,000        1,173,410  

5.00%, 01/01/2032

      5,000,000        5,626,600  

Lebanon Middle School Building Corp.

      

5.00%, 01/10/2023

      1,065,000        1,177,283  

5.00%, 07/10/2023

      1,740,000        1,961,432  

Westfield-Washington Multi-School Building Corp.

      

5.00%, 01/15/2028

      390,000        475,488  

5.00%, 01/15/2029

      540,000        655,290  

5.00%, 01/15/2030

      700,000        846,279  
     

 

 

  

Total Indiana

 

      127,671,970  
     

 

 

  

Iowa – 0.48%

      

City of Coralville IA

      

4.00%, 05/01/2030

      1,005,000        1,043,934  

Iowa Finance Authority

      

2.88%, 05/15/2049

      895,000        898,634  

3.13%, 12/01/2022

      6,770,000        6,861,327  

4.75%, 08/01/2042

      1,180,000        1,204,402  

5.00%, 05/15/2043

      270,000        286,845  

5.00%, 05/15/2048

      335,000        353,104  

5.25%, 12/01/2025

      3,000,000        3,164,100  

Iowa Student Loan Liquidity Corp.

      

5.00%, 12/01/2025

      1,000,000        1,141,730  

5.00%, 12/01/2025

      1,775,000        2,026,571  

5.00%, 12/01/2028

      1,640,000        1,953,207  

PEFA, Inc.

      

5.00%, 09/01/2049(1)

      13,000,000        15,773,810  
     

 

 

  

Total Iowa

 

      34,707,664  
     

 

 

  

Kansas – 0.13%

      

City of Lenexa KS

      

5.00%, 05/15/2021

      500,000        505,920  

5.00%, 05/15/2039

      325,000        348,121  

Johnson County Unified School District No 232 de Soto

      

5.00%, 09/01/2022

      350,000        382,357  

Kansas Development Finance Authority

      

5.00%, 11/15/2032

      7,325,000        7,796,730  
     

 

 

  

Total Kansas

 

      9,033,128  
     

 

 

  

Kentucky – 2.23%

      

City of Ashland KY

      

4.00%, 02/01/2034

      500,000        533,080  

4.00%, 02/01/2038

      620,000        652,314  

5.00%, 02/01/2028

      255,000        301,821  

5.00%, 02/01/2032

      395,000        470,947  

City of Russell KY

      

5.00%, 11/01/2022

      3,200,000        3,509,600  

County of Carroll KY

      

1.55%, 09/01/2042(1)

      10,750,000        10,754,622  

1.75%, 10/01/2034(1)

      1,045,000        1,048,574  

County of Trimble KY

      

1.30%, 09/01/2044(1)

      3,000,000        2,989,650  

2.55%, 11/01/2027(1)

      6,730,000        6,801,876  

Kentucky Asset Liability Commission

      

5.00%, 09/01/2024

      1,000,000        1,148,580  

5.00%, 09/01/2025

      1,250,000        1,477,212  

Kentucky Economic Development Finance Authority

      

0.25%, 04/01/2031(1)

      3,500,000        3,501,330  

5.00%, 08/01/2030

      2,160,000        2,728,944  

5.00%, 05/15/2031

      100,000        102,403  

5.00%, 06/01/2037

      325,000        358,504  

5.00%, 06/01/2041

      225,000        246,245  

5.00%, 06/01/2045

      1,000,000        1,088,320  

5.00%, 12/01/2045

      300,000        351,177  

5.00%, 05/15/2046

      500,000        487,285  

5.00%, 12/01/2047

      375,000        397,646  

5.00%, 05/15/2051

      325,000        313,628  

5.25%, 06/01/2041

      725,000        809,673  

6.25%, 11/15/2046

      750,000        636,870  

Kentucky Higher Education Student Loan Corp.

      

5.00%, 06/01/2021

      610,000        623,713  

Kentucky Housing Corp.

      

1.16%, 02/01/2023(1)

      3,000,000        3,040,110  

Kentucky Public Energy Authority

      

4.00%, 04/01/2048(1)

      5,000,000        5,519,950  

4.00%, 01/01/2049(1)

      12,500,000        14,009,000  

4.00%, 12/01/2049(1)

      10,000,000        11,318,500  

4.00%, 12/01/2049(1)

      11,270,000        12,766,769  

4.00%, 02/01/2050(1)

      6,500,000        7,637,695  

4.00%, 12/01/2050(1)

      16,560,000        19,155,449  

Kentucky Public Transportation Infrastructure Authority

      

5.75%, 07/01/2049

      1,000,000        1,087,120  

6.00%, 07/01/2053

      970,000        1,059,550  

Kentucky State Property & Building Commission

      

5.00%, 05/01/2021

      500,000        513,440  

5.00%, 11/01/2026

      1,495,000        1,849,046  

5.00%, 04/01/2027

      1,000,000        1,245,920  

5.00%, 11/01/2027

      2,435,000        2,986,576  

5.00%, 05/01/2029

      1,000,000        1,225,120  

5.00%, 05/01/2029

      1,025,000        1,288,989  

5.00%, 11/01/2031

      1,685,000        2,109,603  

5.00%, 05/01/2032

      270,000        337,846  

Louisville & Jefferson County Metropolitan Government

      

1.85%, 10/01/2033(1)

      15,900,000        15,989,040  

5.00%, 10/01/2020

      1,140,000        1,140,000  

5.00%, 10/01/2023

      1,565,000        1,765,946  

5.00%, 12/01/2028

      430,000        463,742  

5.00%, 12/01/2029

      1,250,000        1,348,088  

5.00%, 10/01/2030

      2,500,000        2,985,875  

5.00%, 10/01/2032

      430,000        508,892  

Louisville/Jefferson County Metropolitan Government

      

5.00%, 10/01/2037

      1,200,000        1,486,128  

5.00%, 10/01/2047(1)

      740,000        903,385  

5.00%, 10/01/2047(1)

      1,100,000        1,396,043  

5.00%, 10/01/2047(1)

      2,165,000        2,437,335  

University of Louisville

      

3.00%, 09/01/2021

      1,230,000        1,259,249  
     

 

 

  

Total Kentucky

 

      160,168,420  
     

 

 

  

Louisiana – 1.83%

      

East Baton Rouge Sewerage Commission

      

5.00%, 02/01/2029

      900,000        1,187,586  

5.00%, 02/01/2030

      800,000        1,077,440  

5.00%, 02/01/2031

      1,000,000        1,338,070  

Greater New Orleans Expressway Commission

      

5.00%, 11/01/2034

      1,000,000        1,171,990  

Greater Ouachita Water Co.

      

5.00%, 09/01/2027

      1,000,000        1,260,880  

5.00%, 09/01/2028

      960,000        1,232,698  

5.00%, 09/01/2029

      365,000        477,029  

Jefferson Parish Economic Development & Port District

      

5.50%, 06/15/2038(3)

      600,000        648,786  

5.63%, 06/15/2048(3)

      700,000        749,791  

Jefferson Parish Hospital Service District No 1

      

5.50%, 01/01/2026

      3,000,000        3,039,270  

Louisiana Local Government Environmental Facilities & Community Development Auth

      

0.88%, 02/01/2046(1)

      4,420,000        4,385,789  

3.50%, 11/01/2032

      6,000,000        6,403,140  

5.00%, 10/01/2028

      1,045,000        1,347,517  

Louisiana Offshore Terminal Authority

      

1.65%, 09/01/2027(1)

      2,500,000        2,511,075  

1.65%, 09/01/2034(1)

      4,500,000        4,519,935  

Louisiana Public Facilities Authority

      

0.00%, 10/01/2027

      2,000,000        1,915,500  

5.00%, 06/01/2021

      7,695,000        7,933,622  

5.00%, 12/15/2022

      230,000        253,251  

5.00%, 12/15/2023

      335,000        383,779  

5.00%, 12/15/2024

      330,000        391,076  

5.00%, 12/15/2025

      275,000        335,703  

5.00%, 12/15/2026

      300,000        375,039  

5.00%, 12/15/2028

      250,000        314,725  

5.00%, 12/15/2029

      200,000        251,168  

5.00%, 12/15/2030

      150,000        187,974  

5.00%, 05/15/2031

      1,250,000        1,511,712  

5.00%, 12/15/2031

      390,000        486,260  

5.00%, 05/15/2032

      1,000,000        1,203,200  

Louisiana State Citizens Property Insurance Corp.

      

5.00%, 06/01/2021

      4,000,000        4,121,560  

New Orleans Aviation Board

      

5.00%, 01/01/2023

      50,000        54,284  

5.00%, 01/01/2024

      55,000        61,671  

5.00%, 01/01/2024

      1,400,000        1,569,820  

5.00%, 01/01/2027

      850,000        977,134  

5.00%, 01/01/2028

      155,000        185,537  

5.00%, 01/01/2029

      810,000        923,951  

5.00%, 01/01/2030

      275,000        324,541  

5.00%, 01/01/2033

      740,000        860,761  

5.00%, 01/01/2033

      2,600,000        3,137,316  

5.00%, 01/01/2034

      170,000        196,758  

5.00%, 01/01/2034

      750,000        868,050  

5.00%, 01/01/2034

      2,750,000        3,305,638  

5.00%, 01/01/2036

      500,000        575,550  

5.00%, 01/01/2037

      500,000        573,845  

5.00%, 01/01/2040

      1,540,000        1,736,350  

5.00%, 01/01/2040

      8,375,000        9,344,741  

Parish of St James LA

      

0.20%, 11/01/2040(1)

      3,600,000        3,600,000  

6.10%, 06/01/2038(1)(3)

      1,000,000        1,180,970  

6.10%, 12/01/2040(1)(3)

      1,930,000        2,279,272  

6.35%, 07/01/2040(3)

      3,015,000        3,580,735  

6.35%, 10/01/2040(3)

      440,000        522,562  

Parish of St John the Baptist LA

      

2.00%, 06/01/2037(1)

      5,035,000        5,050,911  

2.10%, 06/01/2037(1)

      5,995,000        6,027,253  

2.13%, 06/01/2037(1)

      8,175,000        8,226,339  

2.20%, 06/01/2037(1)

      2,475,000        2,482,945  

2.38%, 06/01/2037(1)

      1,000,000        1,012,630  

Port New Orleans Board of Commissioners

      

5.00%, 04/01/2034

      750,000        918,960  

5.00%, 04/01/2035

      420,000        513,517  

5.00%, 04/01/2037

      500,000        608,030  

State of Louisiana

      

4.00%, 05/01/2032

      5,000,000        5,592,950  

4.00%, 05/01/2034

      10,685,000        11,871,249  

5.00%, 07/15/2021

      1,695,000        1,759,563  
     

 

 

  

Total Louisiana

 

      130,939,398  
     

 

 

  

Maine – 0.14%

      

Maine Health & Higher Educational Facilities Authority

      

4.00%, 07/01/2041

      1,480,000        1,512,160  

4.00%, 07/01/2046

      330,000        333,901  

5.00%, 07/01/2034

      1,000,000        1,283,880  

5.00%, 07/01/2041

      1,235,000        1,334,800  

5.00%, 07/01/2043

      610,000        635,297  

5.00%, 07/01/2046

      1,735,000        1,861,065  

Maine Municipal Bond Bank

      

5.00%, 11/01/2033

      650,000        818,903  

Tender Option Bond Trust Receipts/Certificates

      

0.27%, 07/01/2028(1)(3)

      1,900,000        1,900,000  
     

 

 

  

Total Maine

 

      9,680,006  
     

 

 

  

Maryland – 1.80%

      

City of Baltimore MD

      

5.00%, 09/01/2023

      1,000,000        940,430  

5.00%, 07/01/2026

      720,000        898,841  

5.00%, 07/01/2029

      4,770,000        5,912,510  

5.00%, 09/01/2030

      3,000,000        2,684,340  

5.00%, 09/01/2032

      1,000,000        892,550  

5.00%, 09/01/2036

      1,770,000        1,566,751  

5.00%, 09/01/2046

      2,500,000        2,193,250  

City of Gaithersburg MD

      

5.00%, 01/01/2027

      1,335,000        1,476,069  

5.00%, 01/01/2033

      130,000        141,379  

5.00%, 01/01/2036

      85,000        92,218  

City of Rockville MD

      

3.00%, 11/01/2025

      220,000        220,000  

5.00%, 11/01/2042

      1,250,000        1,231,875  

5.00%, 11/01/2047

      1,230,000        1,184,047  

City of Westminster MD

      

6.25%, 07/01/2044

      1,100,000        1,189,628  

County of Anne Arundel MD

      

4.00%, 10/01/2033

      2,325,000        2,866,888  

County of Baltimore MD

      

5.00%, 10/01/2023

      2,495,000        2,844,949  

County of Howard MD

      

4.00%, 08/15/2031

      1,665,000        2,045,269  

County of Montgomery MD

      

5.00%, 10/01/2024

      1,210,000        1,440,324  

5.38%, 07/01/2048

      625,000        613,894  

County of Prince George’s MD

      

4.00%, 08/01/2029

      4,035,000        4,468,763  

5.13%, 07/01/2039(3)

      1,500,000        1,580,700  

Maryland Community Development Administration

      

2.06%, 09/01/2021

      3,000,000        3,027,480  

2.60%, 09/01/2022

      2,630,000        2,732,991  

2.70%, 03/01/2023

      3,195,000        3,355,421  

2.75%, 09/01/2023

      1,010,000        1,071,307  

2.85%, 03/01/2024

      2,560,000        2,741,709  

2.95%, 03/01/2025

      3,025,000        3,298,914  

3.10%, 03/01/2026

      1,445,000        1,608,328  

3.25%, 03/01/2027

      2,325,000        2,637,898  

3.50%, 03/01/2050

      1,300,000        1,434,641  

4.00%, 09/01/2049

      1,530,000        1,710,265  

Maryland Community Development Administration Multi-Family Mortgage Revenue

      

2.34%, 04/01/2021(3)

      10,000,000        10,061,300  

Maryland Economic Development Corp.

      

5.00%, 07/01/2021

      500,000        513,360  

5.00%, 06/01/2023

      215,000        232,299  

5.00%, 03/31/2024

      3,305,000        3,287,219  

5.00%, 09/30/2027

      50,000        49,603  

5.00%, 06/01/2028

      2,000,000        2,346,640  

5.00%, 09/30/2030

      905,000        896,511  

5.00%, 06/01/2035

      1,415,000        1,587,036  

5.00%, 03/31/2046

      1,680,000        1,659,974  

5.00%, 06/01/2049

      1,000,000        1,074,660  

5.00%, 03/31/2051

      2,600,000        2,567,916  

5.00%, 06/01/2058

      600,000        629,940  

Maryland Health & Higher Educational Facilities Authority

      

4.00%, 07/01/2042

      120,000        126,767  

5.00%, 07/01/2024

      535,000        627,309  

5.00%, 07/01/2024

      745,000        855,498  

5.00%, 07/01/2030

      600,000        667,194  

5.00%, 07/01/2032

      750,000        858,457  

5.00%, 07/01/2035

      75,000        85,093  

5.00%, 08/15/2038

      1,945,000        2,212,593  

5.00%, 07/01/2043

      500,000        546,165  

5.00%, 07/01/2045

      2,000,000        2,225,860  

5.00%, 07/01/2048

      1,000,000        1,087,710  

5.50%, 01/01/2029

      1,500,000        1,764,765  

5.50%, 01/01/2030

      1,750,000        2,046,870  

5.50%, 01/01/2046

      1,290,000        1,445,393  

Maryland Stadium Authority

      

5.00%, 06/15/2021

      900,000        930,384  

5.00%, 05/01/2032

      765,000        911,291  

5.00%, 05/01/2041

      5,000,000        6,299,550  

Maryland State Transportation Authority

      

5.00%, 07/01/2030

      4,655,000        5,877,962  

5.00%, 07/01/2034

      1,550,000        2,073,451  

Prince George’s County Revenue Authority

      

5.00%, 05/01/2030

      1,085,000        1,400,724  

Rib Floater Trust Various States

      

0.42%, 02/01/2021(1)(3)(6)

      4,400,000        4,400,000  

State of Maryland

      

5.00%, 08/01/2024

      1,450,000        1,714,523  

Washington Suburban Sanitary Commission

      

3.00%, 06/01/2026

      5,000,000        5,671,450  
     

 

 

  

Total Maryland

 

      128,839,096  
     

 

 

  

Massachusetts – 2.50%

      

Boston Water & Sewer Commission

      

3.75%, 11/01/2037

      13,450,000        14,072,062  

City of Boston MA

      

5.00%, 04/01/2023

      2,095,000        2,350,213  

City of Worcester MA

      

2.00%, 02/16/2021

      4,000,000        4,026,960  

Commonwealth of Massachusetts

      

1.70%, 08/01/2043(1)

      1,750,000        1,793,068  

5.00%, 07/01/2022

      485,000        526,206  

5.00%, 12/01/2030

      1,500,000        1,883,025  

5.00%, 07/01/2036

      12,630,000        15,082,493  

5.00%, 03/01/2046

      205,000        233,489  

5.25%, 09/01/2043

      1,250,000        1,592,300  

5.50%, 12/01/2022

      1,195,000        1,333,190  

Commonwealth of Massachusetts Transportation Fund Revenue

      

3.75%, 06/01/2040

      45,000,000        45,608,850  

Massachusetts Bay Transportation Authority

      

5.25%, 07/01/2031

      5,440,000        7,764,458  

Massachusetts Development Finance Agency

      

4.00%, 10/01/2038

      495,000        536,006  

5.00%, 07/15/2022

      355,000        386,034  

5.00%, 07/01/2023

      900,000        1,010,097  

5.00%, 10/01/2024

      2,020,000        2,355,280  

5.00%, 07/01/2025

      1,090,000        1,291,116  

5.00%, 10/01/2025

      905,000        1,046,198  

5.00%, 07/01/2026

      1,140,000        1,385,032  

5.00%, 10/01/2026

      955,000        1,120,874  

5.00%, 10/01/2028

      475,000        607,511  

5.00%, 10/01/2029

      405,000        527,711  

5.00%, 07/01/2030

      590,000        739,665  

5.00%, 01/01/2031

      475,000        549,247  

5.00%, 10/01/2031

      355,000        467,354  

5.00%, 01/01/2032

      635,000        729,386  

5.00%, 07/01/2032

      500,000        600,740  

5.00%, 01/01/2033

      540,000        616,934  

5.00%, 07/15/2033(3)

      315,000        365,803  

5.00%, 01/01/2034

      710,000        807,568  

5.00%, 07/01/2034

      500,000        592,475  

5.00%, 07/15/2034(3)

      270,000        312,236  

5.00%, 01/01/2035

      745,000        845,001  

5.00%, 07/15/2035(3)

      275,000        316,665  

5.00%, 01/01/2036

      1,100,000        1,245,728  

5.00%, 07/15/2036(3)

      465,000        533,857  

5.00%, 07/15/2037(3)

      490,000        560,442  

5.00%, 10/01/2037(3)

      500,000        536,960  

5.00%, 07/01/2038(1)

      8,525,000        9,819,266  

5.00%, 01/01/2040

      755,000        859,877  

5.00%, 07/15/2046(3)

      1,000,000        1,139,390  

5.00%, 10/01/2047(3)

      1,375,000        1,468,266  

5.00%, 10/01/2048

      1,750,000        1,914,955  

5.00%, 10/01/2057(3)

      1,000,000        1,062,390  

5.13%, 11/15/2046(3)

      800,000        828,152  

Massachusetts Educational Financing Authority

      

5.00%, 07/01/2024

      2,190,000        2,476,780  

5.00%, 07/01/2026

      5,000,000        5,894,600  

Massachusetts Housing Finance Agency

      

0.67% (SIFMA Municipal Swap Index Yield + 0.55%), 11/01/2048(2)

      9,800,000        9,800,000  

Massachusetts Port Authority

      

5.00%, 07/01/2024

      800,000        928,608  

Massachusetts School Building Authority

      

5.00%, 01/15/2028

      1,500,000        1,787,895  

5.00%, 08/15/2030

      2,000,000        2,180,220  

5.00%, 10/15/2032

      1,000,000        1,050,090  

5.00%, 08/15/2037

      10,000,000        11,941,200  

Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue

      

5.00%, 01/01/2039(1)

      4,055,000        4,460,541  

Metropolitan Boston Transit Parking Corp.

      

5.00%, 07/01/2041

      5,000,000        5,135,600  
     

 

 

  

Total Massachusetts

 

      179,100,064  
     

 

 

  

Michigan – 2.78%

      

Avondale School District

      

5.00%, 11/01/2022

      600,000        659,322  

5.00%, 11/01/2023

      680,000        777,451  

5.00%, 11/01/2024

      800,000        949,472  

5.00%, 11/01/2025

      785,000        963,823  

5.00%, 11/01/2026

      765,000        966,279  

Calhoun County Hospital Finance Authority

      

5.00%, 02/15/2037

      1,695,000        1,884,738  

City of Detroit MI

      

5.00%, 04/01/2021

      1,000,000        1,009,300  

5.00%, 04/01/2022

      835,000        857,962  

5.00%, 04/01/2023

      750,000        782,640  

5.00%, 04/01/2024

      900,000        952,722  

5.00%, 04/01/2025

      900,000        964,188  

5.00%, 04/01/2034

      1,000,000        1,054,900  

City of Detroit MI Sewage Disposal System Revenue

      

5.25%, 07/01/2039

      4,050,000        4,408,789  

City of Detroit MI Water Supply System Revenue

      

5.25%, 07/01/2041

      1,000,000        1,038,220  

City of Royal Oak MI

      

5.00%, 04/01/2029

      500,000        650,040  

5.00%, 04/01/2031

      1,045,000        1,343,724  

City of Wyandotte MI Electric System Revenue

      

5.00%, 10/01/2021

      750,000        781,688  

5.00%, 10/01/2022

      800,000        867,776  

5.00%, 10/01/2023

      500,000        563,400  

5.00%, 10/01/2024

      765,000        889,022  

Clarkston Community Schools

      

5.00%, 05/01/2022

      445,000        478,028  

County of Kent MI

      

5.00%, 06/01/2028

      700,000        878,542  

Detroit City School District

      

5.25%, 05/01/2030

      3,345,000        4,526,621  

Detroit Downtown Development Authority

      

5.00%, 07/01/2037

      540,000        608,812  

5.00%, 07/01/2038

      1,000,000        1,125,870  

Grand Rapids Public Schools

      

5.00%, 05/01/2025

      1,075,000        1,296,654  

5.00%, 11/01/2037

      1,750,000        2,232,667  

5.00%, 11/01/2038

      1,000,000        1,271,890  

Great Lakes Water Authority Sewage Disposal System Revenue

      

5.00%, 07/01/2030

      3,000,000        3,669,120  

5.00%, 07/01/2036

      1,000,000        1,200,130  

Great Lakes Water Authority Water Supply System Revenue

      

5.00%, 07/01/2023

      1,000,000        1,126,430  

Karegnondi Water Authority

      

5.25%, 11/01/2040

      130,000        147,053  

Lake Orion Community School District

      

5.00%, 05/01/2021

      1,385,000        1,422,894  

5.00%, 05/01/2025

      3,275,000        3,955,217  

Michigan Finance Authority

      

3.50%, 11/01/2023

      5,500,000        5,683,095  

3.75%, 11/01/2024

      5,500,000        5,705,260  

3.75%, 11/15/2049(1)

      3,600,000        4,139,604  

4.00%, 12/01/2035

      1,500,000        1,758,645  

5.00%, 07/01/2022

      1,235,000        1,337,653  

5.00%, 11/15/2022

      275,000        300,723  

5.00%, 10/01/2023

      1,000,000        1,093,180  

5.00%, 10/01/2024

      3,000,000        3,565,770  

5.00%, 11/01/2024

      750,000        887,452  

5.00%, 11/01/2025

      1,000,000        1,221,040  

5.00%, 12/01/2026

      1,190,000        1,494,307  

5.00%, 12/01/2029

      500,000        630,520  

5.00%, 07/01/2030

      600,000        709,482  

5.00%, 10/01/2030

      800,000        931,248  

5.00%, 11/15/2032

      1,445,000        1,737,627  

5.00%, 07/01/2033

      350,000        411,022  

5.00%, 12/01/2044(1)

      2,550,000        3,014,610  

Michigan State Building Authority

      

5.00%, 10/15/2021

      1,750,000        1,837,832  

5.00%, 04/15/2022

      1,250,000        1,342,787  

5.00%, 04/15/2035

      1,250,000        1,629,387  

Michigan State Hospital Finance Authority

      

1.90%, 11/15/2047(1)

      3,850,000        3,880,761  

2.40%, 11/15/2047(1)

      850,000        892,041  

4.00%, 11/15/2047(1)

      4,505,000        5,096,732  

4.00%, 11/15/2047(1)

      9,750,000        10,685,123  

5.00%, 12/01/2022

      125,000        137,246  

5.00%, 12/01/2023

      1,150,000        1,313,174  

5.00%, 12/01/2024

      275,000        325,468  

5.00%, 12/01/2025

      700,000        855,589  

5.00%, 12/01/2027

      415,000        533,615  

Michigan State Housing Development Authority

      

3.50%, 12/01/2050

      8,100,000        9,041,868  

Michigan Strategic Fund

      

1.45%, 09/01/2030(1)

      1,260,000        1,265,834  

1.80%, 10/01/2049(1)

      2,075,000        2,146,546  

5.00%, 06/30/2025

      2,000,000        2,320,440  

5.00%, 12/31/2025

      2,595,000        3,045,777  

5.00%, 06/30/2026

      2,800,000        3,317,580  

5.00%, 12/31/2026

      355,000        424,711  

5.00%, 06/30/2032

      150,000        180,525  

Michigan Tobacco Settlement Finance Authority

      

0.00%, 06/01/2052

      12,780,000        1,274,933  

6.00%, 06/01/2048

      8,025,000        8,064,644  

Oakland University

      

5.00%, 03/01/2041

      2,190,000        2,492,702  

Portage Public Schools

      

5.00%, 11/01/2028

      1,000,000        1,222,970  

Royal Oak Hospital Finance Authority

      

5.00%, 09/01/2039

      10,320,000        11,412,062  

Royal Oak School District

      

5.00%, 05/01/2023

      600,000        671,844  

5.00%, 05/01/2024

      600,000        697,080  

Saginaw Hospital Finance Authority

      

5.00%, 07/01/2027

      825,000        1,033,214  

5.00%, 07/01/2028

      435,000        553,938  

State of Michigan

      

5.00%, 03/15/2021

      1,000,000        1,020,420  

5.00%, 03/15/2022

      1,170,000        1,246,471  

5.00%, 03/15/2023

      2,000,000        2,222,100  

State of Michigan Trunk Line Revenue

      

5.00%, 11/15/2036

      7,550,000        10,013,339  

Tender Option Bond Trust Receipts/Certificates

      

0.27%, 11/15/2024(1)(3)

      1,400,000        1,400,000  

University of Michigan

      

5.00%, 04/01/2024

      1,670,000        1,946,318  

Wayne County Airport Authority

      

5.00%, 12/01/2022

      200,000        218,004  

5.00%, 12/01/2023

      250,000        282,018  

5.00%, 12/01/2023

      400,000        451,896  

5.00%, 12/01/2023

      550,000        617,865  

5.00%, 12/01/2024

      375,000        437,573  

5.00%, 12/01/2024

      500,000        578,770  

5.00%, 12/01/2025

      600,000        712,842  

5.00%, 12/01/2025

      1,000,000        1,190,830  

5.00%, 12/01/2027

      4,055,000        4,815,394  

5.00%, 12/01/2031

      350,000        425,919  

5.00%, 12/01/2032

      1,400,000        1,583,302  

5.00%, 12/01/2033

      325,000        392,932  

5.00%, 12/01/2040

      4,000,000        4,647,760  

5.00%, 12/01/2042

      900,000        1,039,086  

5.00%, 12/01/2042

      1,000,000        1,073,890  

5.00%, 12/01/2047

      1,000,000        1,146,200  

Wayne-Westland Community Schools

      

5.00%, 11/01/2022

      190,000        208,160  

5.00%, 11/01/2023

      80,000        91,120  

5.00%, 11/01/2024

      185,000        217,919  

5.00%, 11/01/2025

      95,000        115,414  

5.00%, 11/01/2026

      1,000,000        1,247,530  

5.00%, 11/01/2027

      600,000        766,290  

5.00%, 11/01/2029

      585,000        767,924  
     

 

 

  

Total Michigan

 

      199,500,331  
     

 

 

  

Minnesota – 0.35%

      

City of Deephaven MN

      

5.00%, 10/01/2037

      1,250,000        1,275,837  

5.00%, 10/01/2049

      2,200,000        2,226,994  

City of Minneapolis MN/St Paul Housing & Redevelopment Authority

      

5.00%, 11/15/2022

      1,100,000        1,203,631  

City of Moorhead MN

      

5.00%, 12/01/2025

      775,000        857,282  

City of Rochester MN

      

5.00%, 12/01/2025

      900,000        952,740  

5.25%, 12/01/2038

      1,000,000        1,019,360  

Duluth Economic Development Authority

      

5.00%, 02/15/2033

      500,000        598,915  

5.00%, 02/15/2034

      750,000        895,147  

5.00%, 02/15/2037

      1,250,000        1,477,337  

Roseville Independent School District No 623

      

5.00%, 02/01/2025

      3,895,000        4,632,168  

5.00%, 02/01/2026

      2,315,000        2,840,135  

Shakopee Independent School District No 720

      

5.00%, 02/01/2024

      3,185,000        3,650,297  

State of Minnesota

      

5.00%, 08/01/2023

      1,465,000        1,664,636  

Tender Option Bond Trust Receipts/Certificates

      

0.35%, 11/15/2026(1)(3)

      2,025,000        2,025,000  
     

 

 

  

Total Minnesota

 

      25,319,479  
     

 

 

  

Mississippi – 0.55%

      

Mississippi Business Finance Corp.

      

0.13%, 11/01/2035(1)

      22,500,000        22,500,000  

Mississippi Hospital Equipment & Facilities Authority

      

0.65%, 09/01/2036(1)

      1,720,000        1,720,310  

5.00%, 01/01/2021

      350,000        353,769  

5.00%, 01/01/2029

      910,000        1,161,360  

5.00%, 01/01/2033

      1,750,000        2,219,875  

5.00%, 10/01/2035

      700,000        880,166  

5.00%, 10/01/2036

      2,000,000        2,503,940  

5.00%, 10/01/2040(1)

      3,865,000        4,671,896  

5.00%, 09/01/2044(1)

      2,000,000        2,315,260  

State of Mississippi

      

5.00%, 10/01/2030

      1,000,000        1,274,360  
     

 

 

  

Total Mississippi

 

      39,600,936  
     

 

 

  

Missouri – 0.87%

      

Belton School District No 124

      

5.00%, 03/01/2028

      250,000        328,637  

5.50%, 03/01/2030

      500,000        645,575  

5.50%, 03/01/2033

      500,000        637,585  

5.50%, 03/01/2036

      500,000        632,990  

Cape Girardeau County Industrial Development Authority

      

5.00%, 03/01/2032

      500,000        547,635  

City of Kansas City MO Sanitary Sewer System Revenue

      

5.00%, 01/01/2026

      285,000        350,493  

5.00%, 01/01/2031

      135,000        171,804  

City of St Louis MO Airport Revenue

      

5.00%, 07/01/2025

      400,000        469,336  

Hannibal Industrial Development Authority

      

5.00%, 10/01/2047

      1,580,000        1,815,041  

Health & Educational Facilities Authority of the State of Missouri

      

4.00%, 02/01/2040

      100,000        108,555  

5.00%, 06/01/2025

      7,000,000        8,327,900  

5.00%, 04/01/2027

      1,705,000        1,868,032  

5.00%, 02/01/2029

      1,000,000        1,192,140  

5.00%, 02/01/2035

      1,000,000        1,113,970  

5.00%, 02/01/2036

      200,000        232,226  

5.00%, 08/01/2040

      1,145,000        1,195,151  

5.00%, 10/01/2042

      6,370,000        7,590,810  

5.00%, 10/01/2046

      6,000,000        7,149,660  

Industrial Development Authority of the City of St Louis Missouri

      

3.88%, 11/15/2029

      90,000        82,741  

4.38%, 11/15/2035

      230,000        200,438  

4.75%, 11/15/2047

      250,000        222,115  

Kirkwood Industrial Development Authority

      

5.00%, 05/15/2021

      1,500,000        1,519,245  

Missouri Development Finance Board

      

0.12%, 06/01/2037(1)

      16,775,000        16,775,000  

Missouri Housing Development Commission

      

4.00%, 05/01/2050

      325,000        363,831  

St Louis County Industrial Development Authority

      

5.00%, 12/01/2025

      875,000        890,523  

5.00%, 09/01/2038

      500,000        537,005  

5.13%, 08/15/2045

      200,000        200,800  

5.13%, 09/01/2048

      2,345,000        2,497,800  

5.50%, 09/01/2033

      1,000,000        1,057,190  

St Louis Land Clearance for Redevelopment Authority

      

5.00%, 06/01/2029

      1,000,000        1,147,280  

5.38%, 06/01/2043

      2,000,000        2,256,760  

Tender Option Bond Trust Receipts/Certificates

      

0.37%, 05/15/2041(1)(3)

      300,000        300,000  
     

 

 

  

Total Missouri

 

      62,428,268  
     

 

 

  

Montana – 0.03%

      

City of Kalispell MT

      

5.25%, 05/15/2037

      765,000        773,048  

5.25%, 05/15/2047

      500,000        497,130  

Montana Board of Housing

      

4.00%, 12/01/2047

      375,000        396,495  

4.00%, 06/01/2050

      165,000        188,544  
     

 

 

  

Total Montana

 

      1,855,217  
     

 

 

  

Nebraska – 0.73%

      

Central Plains Energy Project

      

4.00%, 12/01/2049(1)

      32,420,000        37,261,603  

5.00%, 09/01/2033

      1,500,000        1,978,410  

5.00%, 09/01/2035

      930,000        1,249,306  

5.00%, 03/01/2050(1)

      5,000,000        5,623,750  

City of Omaha NE

      

5.00%, 01/15/2026

      1,700,000        2,110,023  

Douglas County Hospital Authority No 2

      

4.00%, 11/15/2036

      425,000        498,652  

Nebraska Investment Finance Authority

      

3.50%, 09/01/2050

      1,000,000        1,115,430  

3.75%, 09/01/2049

      1,090,000        1,181,255  

4.00%, 09/01/2049

      880,000        970,394  

Omaha Airport Authority

      

5.00%, 12/15/2031

      515,000        613,396  
     

 

 

  

Total Nebraska

 

      52,602,219  
     

 

 

  

Nevada – 1.64%

      

City of Carson City NV

      

5.00%, 09/01/2026

      550,000        657,888  

City of Henderson NV

      

4.00%, 06/01/2035

      900,000        1,096,461  

4.00%, 06/01/2036

      925,000        1,121,562  

4.00%, 06/01/2038

      3,540,000        4,259,576  

5.00%, 06/01/2036

      1,755,000        2,284,361  

5.00%, 06/01/2037

      3,230,000        4,187,727  

City of Las Vegas NV Special Improvement District No 814

      

4.00%, 06/01/2039

      450,000        459,310  

4.00%, 06/01/2049

      1,100,000        1,103,476  

City of Las Vegas NV Special Improvement District No 815

      

4.75%, 12/01/2040

      900,000        952,020  

City of Reno NV

      

0.00%, 07/01/2058(3)

      2,000,000        273,980  

5.00%, 06/01/2038

      150,000        178,033  

City of Sparks NV

      

2.50%, 06/15/2024(3)

      1,700,000        1,689,256  

Clark County School District

      

4.00%, 06/15/2034

      5,000,000        5,671,850  

4.00%, 06/15/2038

      775,000        906,541  

5.00%, 06/15/2021

      420,000        433,453  

5.00%, 06/15/2023

      370,000        412,428  

5.00%, 06/15/2023

      1,665,000        1,855,925  

5.00%, 06/15/2024

      4,500,000        5,186,745  

5.00%, 06/15/2025

      25,000        29,676  

5.00%, 06/15/2025

      6,060,000        7,193,402  

5.00%, 06/15/2026

      3,670,000        4,472,299  

5.00%, 06/15/2029

      4,080,000        5,122,685  

5.00%, 06/15/2035

      500,000        641,315  

County of Clark Department of Aviation

      

5.00%, 07/01/2021

      830,000        857,307  

5.00%, 07/01/2021

      1,000,000        1,032,130  

5.00%, 07/01/2024

      3,320,000        3,809,800  

County of Clark NV

      

1.65%, 01/01/2036(1)

      1,560,000        1,573,307  

5.00%, 11/01/2028

      3,000,000        3,732,510  

5.00%, 06/01/2032

      3,000,000        3,774,510  

5.00%, 12/01/2032

      5,385,000        6,840,135  

County of Clark NV Passenger Facility Charge Revenue

      

5.00%, 07/01/2024

      1,250,000        1,429,437  

5.00%, 07/01/2025

      2,220,000        2,613,806  

County of Washoe NV

      

2.05%, 03/01/2036(1)

      4,500,000        4,597,875  

2.05%, 03/01/2036(1)

      5,000,000        5,108,750  

3.00%, 03/01/2036(1)

      700,000        728,658  

Las Vegas Convention & Visitors Authority

      

5.00%, 07/01/2031

      600,000        696,708  

Las Vegas Redevelopment Agency

      

5.00%, 06/15/2030

      1,000,000        1,154,220  

5.00%, 06/15/2040

      685,000        767,693  

Las Vegas Valley Water District

      

4.00%, 06/01/2028

      1,000,000        1,145,200  

5.00%, 06/01/2039

      2,815,000        3,257,208  

Nevada Housing Division

      

4.00%, 10/01/2049

      525,000        588,478  

State of Nevada Department of Business & Industry

      

0.50%, 01/01/2050(1)(3)

      22,500,000        22,500,000  

0.88%, 12/01/2026(1)(3)

      1,300,000        1,301,391  
     

 

 

  

Total Nevada

 

      117,699,092  
     

 

 

  

New Hampshire – 0.48%

      

New Hampshire Business Finance Authority

      

0.40%, 09/01/2021(1)

      4,000,000        4,000,120  

0.87% (SIFMA Municipal Swap Index Yield + 0.75%), 10/01/2033(2)

      9,500,000        9,501,045  

3.75%, 07/01/2045(1)(3)

      1,000,000        988,940  

4.13%, 01/20/2034

      5,075,166        5,480,875  

5.00%, 01/01/2024

      720,000        824,227  

5.25%, 07/01/2039(3)

      240,000        243,487  

5.63%, 07/01/2046(3)

      125,000        128,181  

5.75%, 07/01/2054(3)

      315,000        323,883  

New Hampshire Health & Education Facilities Authority Act

      

4.00%, 10/01/2038

      115,000        124,398  

4.13%, 07/01/2024(3)

      100,000        91,088  

5.00%, 07/01/2023

      500,000        561,165  

5.00%, 08/01/2027

      1,575,000        1,964,482  

5.00%, 10/01/2028

      1,580,000        1,894,657  

5.00%, 07/01/2030

      390,000        488,931  

5.00%, 08/01/2030

      305,000        377,041  

5.00%, 10/01/2032

      2,825,000        3,308,216  

5.00%, 10/01/2038

      425,000        489,630  

5.00%, 07/01/2044

      2,445,000        2,715,295  

5.25%, 07/01/2027(3)

      550,000        494,401  

6.13%, 07/01/2052(3)

      245,000        188,194  

6.25%, 07/01/2042(3)

      700,000        574,658  
     

 

 

  

Total New Hampshire

 

      34,762,914  
     

 

 

  

New Jersey – 3.33%

      

Camden County Improvement Authority

      

5.00%, 01/15/2028

      500,000        627,055  

5.00%, 01/15/2029

      1,000,000        1,243,110  

5.00%, 01/15/2033

      500,000        608,510  

City of Newark NJ

      

5.00%, 10/01/2026

      700,000        861,679  

5.00%, 10/01/2027

      750,000        941,115  

County of Union NJ

      

3.00%, 03/01/2026

      3,000,000        3,358,500  

Garden State Preservation Trust

      

5.75%, 11/01/2028

      2,000,000        2,515,840  

Hudson County Improvement Authority

      

4.00%, 01/01/2036

      1,125,000        1,324,069  

4.00%, 01/01/2037

      855,000        1,002,376  

New Brunswick Parking Authority

      

5.00%, 09/01/2039

      2,000,000        2,330,740  

New Jersey Economic Development Authority

      

1.15%, 06/01/2023

      2,550,000        2,587,842  

1.20%, 11/01/2034(1)

      3,000,000        3,044,490  

2.20%, 10/01/2039(1)

      1,400,000        1,480,738  

3.13%, 07/01/2029

      445,000        445,659  

4.00%, 11/01/2038

      825,000        868,931  

4.00%, 11/01/2044

      1,000,000        1,034,530  

4.00%, 08/01/2059

      355,000        393,677  

5.00%, 01/01/2023

      400,000        433,260  

5.00%, 03/01/2023

      4,160,000        4,514,016  

5.00%, 03/01/2024

      2,405,000        2,564,812  

5.00%, 06/15/2024

      2,000,000        2,244,800  

5.00%, 06/15/2025

      5,190,000        5,954,695  

5.00%, 06/01/2026

      900,000        1,084,752  

5.00%, 06/15/2028

      605,000        619,683  

5.00%, 06/15/2029

      1,000,000        1,021,750  

5.00%, 06/15/2030

      4,000,000        4,716,760  

5.00%, 11/01/2030

      1,000,000        1,193,440  

5.00%, 01/01/2031

      500,000        560,325  

5.00%, 11/01/2031

      2,200,000        2,611,642  

5.00%, 06/15/2033

      5,000,000        5,867,500  

5.00%, 06/15/2034

      1,000,000        1,166,560  

5.00%, 06/15/2035

      1,595,000        1,832,464  

5.00%, 10/01/2037

      3,185,000        3,510,380  

5.00%, 06/15/2038

      10,200,000        11,510,190  

5.00%, 10/01/2039(3)

      355,000        340,292  

5.00%, 01/01/2040(3)

      540,000        514,053  

5.00%, 10/01/2047

      3,450,000        3,733,107  

5.00%, 06/15/2054(3)

      2,900,000        3,000,021  

5.00%, 08/01/2059

      1,000,000        1,210,160  

5.13%, 01/01/2034

      705,000        775,077  

5.13%, 06/15/2043

      2,450,000        2,573,970  

5.25%, 01/01/2044

      190,000        175,822  

5.50%, 01/01/2027

      500,000        561,880  

5.50%, 06/15/2030

      2,000,000        2,354,460  

5.63%, 11/15/2030

      2,095,000        2,172,285  

5.63%, 01/01/2052

      2,000,000        2,204,860  

New Jersey Educational Facilities Authority

      

5.00%, 06/01/2023

      930,000        1,017,011  

5.00%, 07/01/2023

      3,390,000        3,736,085  

5.00%, 07/01/2029

      1,500,000        1,744,815  

5.00%, 07/01/2032

      4,920,000        5,672,170  

New Jersey Health Care Facilities Financing Authority

      

5.00%, 07/01/2021

      40,000        41,200  

5.00%, 07/01/2022

      540,000        577,211  

5.00%, 07/01/2023

      140,000        154,935  

5.00%, 07/01/2023

      530,000        595,148  

5.00%, 07/01/2024

      110,000        125,573  

5.00%, 07/01/2024

      2,500,000        2,700,925  

5.00%, 07/01/2025

      120,000        140,801  

5.00%, 07/01/2026

      40,000        47,981  

5.00%, 07/01/2027

      60,000        71,713  

5.00%, 07/01/2028

      155,000        189,627  

5.00%, 07/01/2030

      165,000        193,327  

5.00%, 07/01/2033

      500,000        594,025  

5.00%, 07/01/2041

      815,000        914,715  

5.00%, 07/01/2042(1)

      2,755,000        3,295,641  

5.00%, 07/01/2043(1)

      2,250,000        2,604,825  

5.00%, 07/01/2045(1)

      2,795,000        3,438,074  

5.00%, 07/01/2046

      2,375,000        2,628,056  

New Jersey Higher Education Student Assistance Authority

      

3.35%, 12/01/2029

      2,970,000        3,099,047  

5.00%, 12/01/2021

      660,000        689,581  

5.00%, 12/01/2023

      460,000        514,772  

5.00%, 12/01/2024

      265,000        305,577  

5.00%, 12/01/2024

      1,000,000        1,140,440  

5.00%, 12/01/2025

      490,000        580,263  

5.00%, 12/01/2025

      2,600,000        3,029,442  

5.00%, 12/01/2026

      1,330,000        1,574,906  

5.00%, 12/01/2026

      1,550,000        1,835,417  

5.00%, 12/01/2027

      1,455,000        1,746,567  

5.00%, 12/01/2027

      1,470,000        1,764,573  

5.00%, 12/01/2044

      1,000,000        1,054,350  

5.50%, 12/01/2021

      2,260,000        2,375,147  

New Jersey Housing & Mortgage Finance Agency

      

2.41%, 10/01/2021(1)

      5,000,000        5,000,000  

3.50%, 04/01/2051

      5,000,000        5,607,350  

3.55%, 04/01/2027

      2,045,000        2,312,875  

3.65%, 04/01/2028

      1,480,000        1,685,498  

New Jersey Transportation Trust Fund Authority

      

0.00%, 12/15/2026

      2,600,000        2,231,216  

0.00%, 12/15/2027

      3,260,000        2,698,791  

0.00%, 12/15/2028

      770,000        612,350  

0.00%, 12/15/2028

      780,000        620,303  

0.00%, 12/15/2030

      2,000,000        1,461,880  

0.00%, 12/15/2030

      2,000,000        1,491,580  

0.00%, 12/15/2031

      2,000,000        1,431,580  

5.00%, 12/15/2023

      2,720,000        3,023,008  

5.00%, 12/15/2024

      1,335,000        1,517,962  

5.00%, 06/15/2025

      450,000        488,754  

5.00%, 12/15/2025

      1,255,000        1,455,223  

5.00%, 12/15/2026

      2,000,000        2,356,160  

5.00%, 06/15/2027

      235,000        276,233  

5.00%, 12/15/2028

      5,510,000        6,635,307  

5.00%, 06/15/2029

      665,000        698,456  

5.00%, 06/15/2029

      1,200,000        1,389,756  

5.00%, 12/15/2029

      820,000        992,085  

5.00%, 12/15/2030

      2,000,000        2,351,680  

5.00%, 06/15/2031

      3,545,000        4,060,939  

5.00%, 06/15/2032

      235,000        257,790  

5.00%, 06/15/2032

      1,860,000        1,945,486  

5.00%, 06/15/2032

      2,725,000        3,171,927  

5.00%, 12/15/2032

      1,340,000        1,555,351  

5.00%, 12/15/2033

      2,200,000        2,540,208  

5.25%, 12/15/2022

      1,760,000        1,907,629  

5.25%, 12/15/2023

      3,940,000        4,410,948  

5.25%, 06/15/2036

      10,180,000        10,391,235  

5.25%, 06/15/2043

      3,000,000        3,395,280  

5.50%, 12/15/2023

      190,000        214,193  

5.50%, 06/15/2031

      1,000,000        1,024,750  

New Jersey Turnpike Authority

      

5.00%, 01/01/2033

      5,000,000        5,765,700  

Tender Option Bond Trust Receipts/Certificates

      

0.32%, 01/01/2024(1)(3)

      2,800,000        2,800,000  

0.47%, 12/15/2034(1)(3)

      1,600,000        1,600,000  

Tobacco Settlement Financing Corp.

      

5.00%, 06/01/2023

      570,000        632,808  

Township of Montclair NJ

      

4.00%, 03/01/2023

      800,000        873,952  

4.00%, 03/01/2027

      325,000        395,957  
     

 

 

  

Total New Jersey

 

      239,168,017  
     

 

 

  

New Mexico – 0.45%

      

Albuquerque Bernalillo County Water Utility Authority

      

5.00%, 07/01/2027

      2,400,000        3,014,664  

5.00%, 07/01/2028

      1,700,000        2,128,808  

Albuquerque Municipal School District No 12

      

5.00%, 08/01/2025

      800,000        970,088  

City of Farmington NM

      

1.88%, 04/01/2033(1)

      10,500,000        10,619,280  

City of Santa Fe NM

      

2.25%, 05/15/2024

      555,000        538,955  

2.63%, 05/15/2025

      995,000        971,428  

Farmington Municipal School District No 5

      

5.00%, 09/01/2024

      490,000        579,543  

New Mexico Hospital Equipment Loan Council

      

5.00%, 08/01/2049(1)

      2,360,000        2,763,300  

New Mexico Mortgage Finance Authority

      

3.75%, 01/01/2050

      735,000        817,717  

New Mexico Municipal Energy Acquisition Authority

      

5.00%, 11/01/2039(1)

      5,140,000        6,116,035  

Town of Clayton NM

      

4.00%, 11/01/2020

      3,545,000        3,554,181  
     

 

 

  

Total New Mexico

 

      32,073,999  
     

 

 

  

New York – 8.94%

      

Albany County Airport Authority

      

5.00%, 12/15/2021

      800,000        838,448  

Broome County Local Development Corp.

      

4.00%, 04/01/2034

      1,000,000        1,188,310  

Build NYC Resource Corp.

      

4.88%, 05/01/2031(3)

      750,000        808,800  

5.00%, 08/01/2022

      200,000        213,528  

5.00%, 08/01/2023

      515,000        565,331  

5.00%, 01/01/2035(3)

      3,900,000        4,270,617  

5.50%, 05/01/2048(3)

      1,350,000        1,452,897  

City of Long Beach NY

      

5.00%, 09/01/2028

      2,000,000        2,428,480  

5.00%, 09/01/2029

      2,800,000        3,376,464  

City of New York NY

      

0.13%, 04/01/2042(1)

      900,000        900,000  

0.14%, 04/01/2035(1)

      41,695,000        41,695,000  

5.00%, 08/01/2025

      1,600,000        1,935,920  

5.00%, 08/01/2027

      400,000        472,504  

5.00%, 08/01/2027

      2,975,000        3,576,010  

5.00%, 08/01/2028

      400,000        482,576  

5.00%, 08/01/2028

      700,000        857,836  

5.00%, 08/01/2028

      3,975,000        4,755,014  

5.00%, 08/01/2029

      1,305,000        1,631,354  

5.00%, 08/01/2029

      1,500,000        1,875,120  

5.00%, 08/01/2031

      1,000,000        1,233,940  

5.00%, 08/01/2032

      1,745,000        2,139,196  

5.00%, 11/01/2032

      2,200,000        2,863,168  

City of Yonkers NY

      

5.00%, 09/01/2022

      2,350,000        2,537,554  

5.00%, 09/01/2025

      1,015,000        1,212,895  

County of Erie NY

      

5.00%, 06/01/2021

      750,000        774,180  

5.00%, 09/15/2021

      225,000        235,408  

5.00%, 06/01/2025

      1,000,000        1,210,620  

County of Nassau NY

      

5.00%, 10/01/2024

      3,000,000        3,491,490  

County of Rockland NY

      

4.00%, 01/01/2021

      1,100,000        1,110,384  

County of Suffolk NY

      

4.00%, 02/01/2028

      1,865,000        2,242,439  

5.00%, 03/19/2021

      4,000,000        4,074,840  

Erie County Fiscal Stability Authority

      

5.00%, 09/01/2033

      525,000        662,266  

Glen Cove Local Economic Assistance Corp.

      

0.00%, 01/01/2045

      3,550,000        1,089,601  

0.00%, 01/01/2055

      710,000        661,883  

5.00%, 01/01/2056

      485,000        499,904  

Hempstead Town Local Development Corp.

      

5.53%, 02/01/2040

      3,500,000        3,586,870  

5.89%, 02/01/2032

      1,250,000        1,334,062  

6.24%, 02/01/2047

      1,000,000        1,058,160  

6.47%, 02/01/2033

      1,000,000        1,106,000  

Hudson Yards Infrastructure Corp.

      

5.00%, 02/15/2032

      2,325,000        2,781,118  

5.00%, 02/15/2035

      1,700,000        2,010,114  

Long Island Power Authority

      

0.85%, 09/01/2050(1)

      6,125,000        6,155,502  

1.65%, 09/01/2049(1)

      4,395,000        4,532,476  

5.00%, 09/01/2023

      550,000        626,252  

5.00%, 09/01/2024

      565,000        668,734  

5.00%, 09/01/2025

      1,000,000        1,225,720  

5.00%, 09/01/2026

      2,000,000        2,519,940  

5.00%, 09/01/2027

      6,500,000        8,380,840  

5.00%, 09/01/2039

      1,725,000        2,150,557  

Metropolitan Transportation Authority

      

0.00%, 11/15/2033

      1,600,000        968,016  

0.57% (SIFMA Municipal Swap Index Yield + 0.45%), 11/01/2026(2)

      2,530,000        2,507,913  

0.75% (1 Month LIBOR USD + 0.65%), 11/01/2035(2)

      8,305,000        8,157,171  

4.00%, 02/01/2022

      4,370,000        4,415,972  

5.00%, 09/01/2021

      25,000,000        25,483,250  

5.00%, 11/15/2021

      500,000        510,290  

5.00%, 11/15/2021

      640,000        653,171  

5.00%, 11/15/2022

      1,430,000        1,482,753  

5.00%, 11/15/2024

      1,885,000        2,104,112  

5.00%, 11/15/2025

      1,155,000        1,231,057  

5.00%, 11/15/2026

      1,600,000        1,710,192  

5.00%, 11/15/2026

      2,350,000        2,511,844  

5.00%, 11/15/2029

      2,220,000        2,318,146  

5.00%, 11/15/2031

      1,055,000        1,105,418  

5.00%, 11/15/2033

      1,025,000        1,065,518  

5.00%, 11/15/2033

      1,715,000        1,811,606  

5.00%, 11/15/2033

      3,645,000        3,849,266  

5.00%, 11/15/2034

      4,000,000        4,219,960  

5.00%, 11/15/2035

      1,750,000        1,817,900  

5.00%, 11/15/2036

      1,865,000        2,168,212  

5.00%, 11/15/2039

      2,000,000        2,065,140  

5.00%, 11/15/2045(1)

      4,470,000        4,478,448  

5.25%, 11/15/2030

      1,570,000        1,659,961  

5.25%, 11/15/2036

      1,015,000        1,195,244  

MTA Hudson Rail Yards Trust Obligations

      

5.00%, 11/15/2051

      1,500,000        1,565,385  

5.00%, 11/15/2056

      4,380,000        4,795,750  

Nassau County Industrial Development Agency

      

6.50%, 01/01/2034

      672,500        553,629  

6.70%, 01/01/2049

      793,750        588,105  

New York City Housing Development Corp.

      

1.13%, 05/01/2060(1)

      7,500,000        7,555,125  

2.75%, 05/01/2050(1)

      6,500,000        6,791,265  

5.00%, 05/01/2026

      110,000        133,658  

5.00%, 05/01/2027

      600,000        744,270  

5.00%, 11/01/2027

      855,000        1,071,999  

5.00%, 05/01/2028

      875,000        1,103,708  

5.00%, 11/01/2028

      600,000        763,362  

5.00%, 05/01/2029

      300,000        385,182  

5.00%, 11/01/2029

      875,000        1,133,151  

5.00%, 11/01/2030

      500,000        655,175  

New York City Industrial Development Agency

      

4.00%, 03/01/2045

      3,500,000        3,972,570  

5.00%, 03/01/2028

      850,000        1,067,337  

New York City Transitional Finance Authority Building Aid Revenue

      

5.00%, 07/15/2024

      200,000        234,780  

5.00%, 07/15/2032

      2,000,000        2,469,940  

New York City Transitional Finance Authority Future Tax Secured Revenue

      

0.14%, 08/01/2041(1)

      6,000,000        6,000,000  

4.00%, 05/01/2036

      2,000,000        2,365,280  

4.00%, 11/01/2038

      4,000,000        4,676,680  

5.00%, 11/01/2028

      1,500,000        1,814,820  

5.00%, 11/01/2029

      2,000,000        2,373,360  

5.00%, 02/01/2030

      4,480,000        5,430,790  

5.00%, 02/01/2031

      2,720,000        3,004,621  

5.00%, 05/01/2032

      3,500,000        4,648,595  

5.00%, 05/01/2033

      2,535,000        3,159,523  

5.00%, 08/01/2034

      700,000        873,747  

5.00%, 08/01/2035

      1,600,000        1,989,824  

5.00%, 08/01/2038

      1,975,000        2,432,015  

5.00%, 02/01/2041

      200,000        230,338  

New York City Water & Sewer System

      

4.00%, 06/15/2039

      5,290,000        6,213,105  

5.00%, 06/15/2031

      6,075,000        7,291,883  

5.00%, 06/15/2032

      5,000,000        5,165,900  

5.00%, 06/15/2033

      2,525,000        2,608,426  

5.00%, 06/15/2034

      4,800,000        5,162,496  

5.00%, 06/15/2035

      9,025,000        10,934,780  

5.00%, 06/15/2036

      5,000,000        6,046,700  

5.00%, 06/15/2037

      6,000,000        7,128,240  

5.00%, 06/15/2039

      8,320,000        9,867,603  

5.00%, 06/15/2046

      9,785,000        10,890,216  

5.00%, 06/15/2048

      20,000        24,344  

New York Convention Center Development Corp.

      

5.00%, 11/15/2033

      3,000,000        3,395,640  

5.00%, 11/15/2040

      1,085,000        1,210,242  

New York Liberty Development Corp.

      

2.63%, 09/15/2069

      400,000        402,696  

2.80%, 09/15/2069

      1,025,000        990,939  

5.00%, 09/15/2031

      4,000,000        4,241,240  

5.00%, 11/15/2044(3)

      1,100,000        1,127,654  

5.25%, 10/01/2035

      2,285,000        3,168,495  

5.38%, 11/15/2040(3)

      6,200,000        6,415,698  

5.75%, 11/15/2051

      2,000,000        2,102,660  

New York State Dormitory Authority

      

4.00%, 02/15/2037

      5,000,000        5,835,450  

5.00%, 03/31/2021

      13,750,000        14,080,413  

5.00%, 12/01/2022(3)

      900,000        971,910  

5.00%, 07/01/2023

      5,000        5,642  

5.00%, 07/01/2023

      245,000        277,132  

5.00%, 12/15/2023

      1,000,000        1,105,060  

5.00%, 03/15/2024

      3,700,000        4,292,629  

5.00%, 05/01/2024

      4,870,000        5,581,166  

5.00%, 07/01/2024

      5,000        5,869  

5.00%, 07/01/2024

      345,000        405,513  

5.00%, 07/01/2025

      5,000        6,086  

5.00%, 07/01/2025

      255,000        310,113  

5.00%, 03/15/2027

      2,500,000        2,977,975  

5.00%, 10/01/2028

      1,000,000        1,172,020  

5.00%, 10/01/2028

      1,735,000        2,163,857  

5.00%, 03/15/2029

      3,700,000        4,252,336  

5.00%, 10/01/2029

      1,430,000        1,771,627  

5.00%, 10/01/2030

      1,910,000        2,351,115  

5.00%, 02/15/2032

      8,610,000        9,108,261  

5.00%, 12/01/2033(3)

      700,000        813,372  

5.00%, 05/01/2048(1)

      1,145,000        1,200,452  

5.00%, 05/01/2048(1)

      1,040,000        1,231,464  

5.00%, 05/01/2048(1)

      5,695,000        6,447,253  

5.25%, 03/15/2033

      6,000,000        7,201,980  

5.25%, 03/15/2038

      1,930,000        2,414,816  

New York State Environmental Facilities Corp.

      

5.00%, 06/15/2033

      500,000        661,775  

New York State Thruway Authority

      

5.00%, 01/01/2032

      2,835,000        3,295,971  

New York State Urban Development Corp.

      

4.00%, 03/15/2037

      2,500,000        2,947,750  

5.00%, 03/15/2022

      360,000        385,330  

5.00%, 03/15/2023

      700,000        781,228  

5.00%, 03/15/2024

      400,000        463,920  

5.00%, 03/15/2035

      2,800,000        3,205,580  

5.00%, 03/15/2035

      3,000,000        3,878,880  

5.00%, 03/15/2036

      8,560,000        11,015,265  

New York Transportation Development Corp.

      

4.00%, 10/01/2030

      3,860,000        3,943,067  

5.00%, 01/01/2023

      270,000        286,799  

5.00%, 08/01/2026

      1,000,000        1,002,340  

5.00%, 01/01/2031

      1,015,000        1,097,763  

5.00%, 08/01/2031

      5,105,000        5,089,430  

5.00%, 01/01/2033

      5,500,000        5,887,090  

5.00%, 10/01/2035

      9,000,000        9,710,010  

5.00%, 10/01/2040

      2,200,000        2,342,472  

5.00%, 07/01/2041

      2,300,000        2,467,072  

5.00%, 07/01/2046

      800,000        852,224  

5.25%, 08/01/2031

      500,000        515,630  

5.38%, 08/01/2036

      800,000        829,248  

Oneida County Local Development Corp.

      

5.00%, 12/01/2025

      320,000        364,387  

5.00%, 12/01/2027

      1,425,000        1,608,497  

5.00%, 12/01/2028

      1,000,000        1,123,630  

Onondaga Civic Development Corp.

      

5.00%, 12/01/2033

      1,000,000        1,327,640  

Port Authority of New York & New Jersey

      

4.00%, 07/15/2037

      2,500,000        2,832,750  

5.00%, 09/15/2024

      5,115,000        5,979,179  

5.00%, 09/15/2025

      1,000,000        1,019,590  

5.00%, 09/15/2026

      1,000,000        1,231,610  

5.00%, 10/15/2028

      4,000,000        4,729,280  

5.00%, 07/15/2031

      5,000,000        5,059,800  

5.00%, 10/15/2033

      3,500,000        3,973,900  

5.00%, 12/01/2033

      5,070,000        5,655,230  

5.00%, 10/15/2037

      4,665,000        5,259,554  

5.25%, 07/15/2030

      9,705,000        9,830,874  

5.25%, 07/15/2036

      6,000,000        6,074,820  

State of New York Mortgage Agency

      

2.20%, 10/01/2029

      1,000,000        1,052,300  

3.45%, 04/01/2026

      2,185,000        2,444,075  

Suffolk County Economic Development Corp.

      

5.00%, 07/01/2028

      300,000        310,629  

5.00%, 07/01/2028

      1,750,000        1,798,878  

Tender Option Bond Trust Receipts/Certificates

      

0.22%, 11/15/2026(1)(3)

      1,600,000        1,600,000  

0.22%, 11/15/2044(1)(3)

      1,700,000        1,700,000  

0.32%, 01/01/2028(1)(3)

      2,900,000        2,900,000  

0.38%, 01/01/2028(1)(3)

      500,000        500,000  

Tompkins County Development Corp.

      

5.00%, 07/01/2044

      115,000        119,323  

Town of Hempstead NY

      

4.00%, 06/15/2028

      3,665,000        4,291,642  

Triborough Bridge & Tunnel Authority

      

0.55% (Secured Overnight Financing Rate + 0.50%), 11/15/2038(2)

      20,000,000        20,000,000  

5.00%, 11/15/2030

      4,000,000        5,394,880  

5.00%, 11/15/2033

      6,000,000        7,848,360  

Utility Debt Securitization Authority

      

5.00%, 12/15/2032

      640,000        732,525  

5.00%, 12/15/2041

      9,385,000        11,650,821  

Westchester County Local Development Corp.

      

5.50%, 05/01/2042

      150,000        162,107  
     

 

 

  

Total New York

 

      641,182,459  
     

 

 

  

North Carolina – 0.88%

      

Charlotte-Mecklenburg Hospital Authority

      

5.00%, 01/15/2031

      1,500,000        1,573,245  

5.00%, 01/15/2048(1)

      5,000,000        5,317,450  

County of New Hanover NC

      

5.00%, 10/01/2023

      1,125,000        1,273,039  

5.00%, 10/01/2027

      100,000        125,941  

5.00%, 10/01/2034

      1,000,000        1,208,120  

5.00%, 10/01/2047

      840,000        985,446  

Mecklenburg County Public Facilities Corp.

      

5.00%, 02/01/2023

      2,160,000        2,399,890  

North Carolina Capital Facilities Finance Agency

      

0.25%, 07/01/2034(1)

      3,800,000        3,800,494  

0.28%, 06/01/2038(1)

      5,000,000        5,000,600  

5.00%, 06/01/2021

      500,000        514,890  

North Carolina Eastern Municipal Power Agency

      

5.00%, 01/01/2021

      1,965,000        1,988,541  

North Carolina Medical Care Commission

      

2.20%, 12/01/2048(1)

      2,285,000        2,316,921  

2.55%, 06/01/2048(1)

      3,955,000        4,158,603  

3.55%, 10/01/2024

      220,000        220,000  

4.88%, 07/01/2040

      550,000        551,232  

5.00%, 10/01/2023

      110,000        118,158  

5.00%, 10/01/2024

      300,000        328,362  

5.00%, 10/01/2025

      250,000        266,168  

5.00%, 10/01/2030

      420,000        446,695  

5.00%, 10/01/2030

      2,100,000        2,253,930  

5.00%, 10/01/2031

      2,950,000        3,102,692  

5.00%, 09/01/2037

      3,000,000        3,038,130  

5.00%, 10/01/2037

      250,000        257,832  

5.00%, 01/01/2039

      1,225,000        1,280,260  

5.00%, 07/01/2039

      800,000        860,344  

5.00%, 10/01/2040

      900,000        1,058,004  

5.00%, 09/01/2041

      440,000        444,466  

5.00%, 10/01/2043

      2,000,000        2,120,280  

5.00%, 07/01/2049

      900,000        952,875  

6.25%, 07/01/2035

      1,000,000        1,048,350  

North Carolina Turnpike Authority

      

4.00%, 01/01/2055

      1,000,000        1,093,490  

5.00%, 01/01/2027

      530,000        656,050  

5.00%, 01/01/2032

      1,000,000        1,177,180  

5.00%, 07/01/2051

      1,700,000        1,896,452  

Raleigh Durham Airport Authority

      

5.00%, 05/01/2024

      2,000,000        2,283,680  

5.00%, 05/01/2025

      3,000,000        3,530,460  

State of North Carolina

      

5.00%, 03/01/2022

      1,000,000        1,067,290  

5.00%, 03/01/2023

      2,335,000        2,598,668  
     

 

 

  

Total North Carolina

 

      63,314,228  
     

 

 

  

North Dakota – 0.07%

      

North Dakota Housing Finance Agency

      

0.12%, 07/01/2036(1)

      5,000,000        5,000,000  
     

 

 

  

Total North Dakota

 

      5,000,000  
     

 

 

  

Ohio – 2.56%

      

Akron Bath Copley Joint Township Hospital District

      

4.00%, 11/15/2033

      425,000        485,703  

4.00%, 11/15/2034

      500,000        569,540  

4.00%, 11/15/2036

      2,000,000        2,260,100  

4.00%, 11/15/2037

      1,600,000        1,805,792  

5.25%, 11/15/2031

      530,000        639,609  

5.25%, 11/15/2032

      645,000        774,561  

5.25%, 11/15/2033

      1,770,000        2,118,088  

5.25%, 11/15/2046

      1,255,000        1,463,142  

American Municipal Power, Inc.

      

2.30%, 02/15/2038(1)

      2,900,000        2,936,743  

Buckeye Tobacco Settlement Financing Authority

      

4.00%, 06/01/2038

      1,000,000        1,169,380  

5.00%, 06/01/2055

      28,350,000        30,157,879  

City of Cleveland OH Airport System Revenue

      

5.00%, 01/01/2024

      2,450,000        2,786,703  

5.00%, 01/01/2048

      2,000,000        2,357,960  

City of Columbus OH

      

5.00%, 04/01/2033

      1,345,000        1,763,335  

City of Dayton OH Airport Revenue

      

5.00%, 12/01/2021

      1,050,000        1,097,460  

City of Hamilton OH Electric System Revenue

      

4.00%, 10/01/2037

      1,000,000        1,152,340  

Clermont County Port Authority

      

5.00%, 12/01/2029

      750,000        903,135  

5.00%, 12/01/2030

      850,000        1,022,133  

5.00%, 12/01/2031

      650,000        780,175  

Cleveland-Cuyahoga County Port Authority

      

5.50%, 12/01/2043

      125,000        131,880  

5.50%, 12/01/2053

      900,000        934,074  

County of Allen OH Hospital Facilities Revenue

      

4.00%, 05/01/2033

      9,620,000        9,955,353  

5.00%, 12/01/2029

      585,000        778,085  

5.00%, 12/01/2030

      585,000        778,302  

5.00%, 08/01/2047(1)

      500,000        532,815  

County of Cuyahoga OH

      

5.00%, 12/01/2026

      2,500,000        2,792,225  

5.00%, 02/15/2042

      525,000        592,494  

5.50%, 02/15/2052

      1,790,000        2,074,162  

5.50%, 02/15/2057

      1,245,000        1,438,224  

County of Fairfield OH

      

4.25%, 06/15/2024

      1,470,000        1,572,297  

County of Franklin OH

      

0.12%, 12/01/2028(1)

      900,000        900,000  

5.00%, 11/15/2033(1)

      12,780,000        14,243,949  

County of Hamilton OH

      

4.00%, 01/01/2021

      450,000        451,854  

5.00%, 01/01/2022

      465,000        479,927  

5.00%, 09/15/2034

      1,050,000        1,310,096  

5.25%, 06/01/2026

      660,000        704,392  

County of Marion OH

      

5.13%, 12/01/2049

      575,000        586,546  

County of Muskingum OH

      

4.00%, 02/15/2023

      1,700,000        1,798,515  

5.00%, 02/15/2048

      2,080,000        2,144,979  

County of Scioto OH

      

5.00%, 02/15/2029

      1,500,000        1,722,450  

County of Wood OH

      

5.00%, 12/01/2032

      115,000        117,969  

5.00%, 12/01/2042

      145,000        146,443  

Franklin County Convention Facilities Authority

      

5.00%, 12/01/2044

      1,550,000        1,524,394  

5.00%, 12/01/2051

      2,135,000        2,094,542  

Lancaster Port Authority

      

5.00%, 08/01/2049(1)

      2,000,000        2,359,740  

Miami University/Oxford OH

      

5.00%, 09/01/2030

      475,000        640,471  

5.00%, 09/01/2032

      1,000,000        1,326,180  

5.00%, 09/01/2034

      700,000        844,494  

Ohio Air Quality Development Authority

      

2.10%, 12/01/2027(1)

      5,000,000        5,180,100  

2.10%, 07/01/2028(1)

      12,500,000        12,952,125  

2.88%, 02/01/2026

      5,400,000        5,505,300  

3.25%, 09/01/2029

      2,995,000        3,077,722  

5.00%, 07/01/2049(3)

      2,800,000        2,857,456  

Ohio Higher Educational Facility Commission

      

5.00%, 05/01/2028

      1,535,000        1,946,334  

5.00%, 10/01/2032

      1,000,000        1,213,540  

5.00%, 05/01/2033

      995,000        1,272,655  

Ohio Housing Finance Agency

      

2.45%, 11/01/2021(1)

      2,385,000        2,389,055  

2.50%, 10/01/2021(1)

      2,850,000        2,850,000  

4.50%, 03/01/2050

      230,000        261,867  

Ohio Water Development Authority Water Pollution Control Loan Fund

      

5.00%, 12/01/2037

      3,000,000        3,973,740  

Southeastern Ohio Port Authority

      

5.50%, 12/01/2043

      1,000,000        1,038,820  

5.75%, 12/01/2032

      445,000        466,858  

6.00%, 12/01/2042

      550,000        569,668  

State of Ohio

      

0.09%, 12/01/2040(1)

      5,000,000        5,000,000  

4.00%, 11/15/2037

      1,340,000        1,466,496  

4.00%, 01/15/2050

      450,000        501,957  

5.00%, 08/01/2024

      2,500,000        2,953,975  

5.00%, 01/01/2030

      1,170,000        1,487,456  

5.00%, 10/01/2035

      1,410,000        1,744,297  

5.00%, 01/15/2050

      1,000,000        1,211,290  

Tender Option Bond Trust Receipts/Certificates

      

0.22%, 12/01/2043(1)(3)

      600,000        600,000  

University of Akron

      

4.00%, 01/01/2027

      2,780,000        3,246,067  

5.00%, 01/01/2037

      6,675,000        7,758,286  

University of Cincinnati

      

5.00%, 06/01/2028

      250,000        314,303  

5.00%, 06/01/2029

      400,000        499,864  
     

 

 

  

Total Ohio

 

      183,559,861  
     

 

 

  

Oklahoma – 0.79%

      

Cache Educational Facilities Authority

      

5.00%, 09/01/2023

      500,000        563,235  

5.00%, 09/01/2026

      3,220,000        3,985,136  

Canadian County Educational Facilities Authority

      

4.00%, 09/01/2025

      1,500,000        1,743,300  

5.00%, 09/01/2026

      1,725,000        2,150,678  

5.00%, 09/01/2028

      1,120,000        1,379,302  

Cleveland County Educational Facilities Authority

      

5.00%, 09/01/2024

      440,000        510,695  

5.00%, 09/01/2025

      300,000        359,130  

5.00%, 09/01/2026

      375,000        460,466  

Dewey County Educational Facilities Authority

      

5.00%, 09/01/2030

      2,470,000        2,944,759  

Garvin County Educational Facilities Authority

      

5.00%, 12/01/2024

      515,000        603,704  

5.00%, 12/01/2025

      545,000        657,810  

5.00%, 12/01/2026

      820,000        1,013,528  

Grady County School Finance Authority

      

5.00%, 09/01/2028

      375,000        483,810  

5.00%, 09/01/2030

      1,235,000        1,579,454  

Grand River Dam Authority

      

5.00%, 06/01/2023

      1,000,000        1,125,810  

Muskogee Industrial Trust

      

4.00%, 09/01/2030

      2,000,000        2,376,720  

Norman Regional Hospital Authority

      

4.00%, 09/01/2045

      750,000        811,447  

Oklahoma City Airport Trust

      

5.00%, 07/01/2025

      2,040,000        2,404,976  

5.00%, 07/01/2026

      2,195,000        2,650,484  

5.00%, 07/01/2030

      1,350,000        1,668,965  

5.00%, 07/01/2032

      2,960,000        3,613,538  

5.00%, 07/01/2035

      3,240,000        3,910,324  

5.00%, 07/01/2043

      1,065,000        1,256,018  

Oklahoma County Finance Authority

      

5.13%, 04/01/2042

      1,900,000        1,607,438  

5.70%, 04/01/2025

      410,000        410,090  

Oklahoma Department of Transportation

      

5.00%, 09/01/2030

      1,015,000        1,303,372  

Oklahoma Development Finance Authority

      

3.00%, 06/01/2022

      1,015,000        1,060,624  

4.00%, 12/01/2022

      530,000        568,971  

4.00%, 06/01/2023

      1,305,000        1,422,515  

5.00%, 08/01/2023

      515,000        557,122  

5.00%, 08/01/2026

      75,000        85,821  

5.00%, 08/15/2029

      420,000        509,200  

5.00%, 08/01/2030

      1,010,000        1,175,418  

5.25%, 08/15/2048

      1,500,000        1,742,235  

5.50%, 08/15/2052

      830,000        968,187  

5.50%, 08/15/2057

      1,000,000        1,164,120  

Oklahoma State University

      

5.00%, 09/01/2031

      1,500,000        2,019,480  

Tulsa Airports Improvement Trust

      

5.00%, 06/01/2031

      1,120,000        1,362,816  

5.00%, 06/01/2033

      1,240,000        1,491,410  

Tulsa County Industrial Authority

      

5.00%, 11/15/2023

      230,000        242,471  

5.00%, 11/15/2029

      400,000        432,620  
     

 

 

  

Total Oklahoma

 

      56,377,199  
     

 

 

  

Oregon – 0.65%

      

City of Eugene OR Electric Utility System Revenue

      

4.00%, 08/01/2036

      300,000        367,524  

Hillsboro School District No 1J

      

5.00%, 06/15/2028

      1,525,000        1,952,976  

Klamath Falls Intercommunity Hospital Authority

      

5.00%, 09/01/2031

      200,000        234,146  

5.00%, 09/01/2032

      270,000        314,555  

5.00%, 09/01/2046

      1,000,000        1,127,090  

Medford Hospital Facilities Authority

      

5.00%, 08/15/2036

      1,145,000        1,471,611  

Oregon State Business Development Commission

      

5.00%, 03/01/2049(1)

      10,000,000        10,586,300  

Oregon State Lottery

      

5.00%, 04/01/2036

      2,500,000        3,099,775  

Port of Portland OR Airport Revenue

      

4.00%, 07/01/2040

      5,800,000        6,483,066  

5.00%, 07/01/2026

      1,700,000        2,075,989  

5.00%, 07/01/2027

      1,000,000        1,234,080  

5.00%, 07/01/2027

      2,000,000        2,491,520  

5.00%, 07/01/2028

      2,000,000        2,529,980  

5.00%, 07/01/2028

      2,190,000        2,742,931  

5.00%, 07/01/2029

      750,000        942,938  

5.00%, 07/01/2031

      1,000,000        1,185,150  

5.00%, 07/01/2032

      1,000,000        1,124,700  

5.00%, 07/01/2033

      3,485,000        3,908,776  

State of Oregon Housing & Community Services Department

      

3.50%, 01/01/2051

      1,385,000        1,544,954  

Yamhill County Hospital Authority

      

5.00%, 11/15/2051

      1,005,000        1,032,648  
     

 

 

  

Total Oregon

 

      46,450,709  
     

 

 

  

Pennsylvania – 5.04%

      

Allegheny County Hospital Development Authority

      

5.00%, 07/15/2025

      2,370,000        2,851,015  

5.00%, 07/15/2034

      5,100,000        6,434,262  

Allentown City School District

      

2.38%, 03/31/2021

      1,400,000        1,400,070  

5.00%, 02/01/2031

      500,000        641,105  

5.00%, 02/01/2033

      470,000        595,081  

Allentown Neighborhood Improvement Zone Development Authority

      

5.00%, 05/01/2022(3)

      2,550,000        2,637,465  

5.00%, 05/01/2025

      1,000,000        1,053,850  

5.00%, 05/01/2027(3)

      1,250,000        1,395,800  

5.00%, 05/01/2032(3)

      2,025,000        2,154,337  

5.00%, 05/01/2042(3)

      1,750,000        1,835,400  

5.00%, 05/01/2042(3)

      1,845,000        1,924,722  

Berks County Municipal Authority

      

5.00%, 02/01/2040(1)

      500,000        564,060  

5.00%, 02/01/2040(1)

      875,000        972,169  

5.00%, 02/01/2040(1)

      6,510,000        7,060,551  

Butler County General Authority

      

0.15%, 09/01/2027(1)

      1,000,000        1,000,000  

Capital Region Water Revenue

      

5.00%, 07/15/2023

      1,750,000        1,964,445  

5.00%, 07/15/2025

      1,000,000        1,192,550  

Capital Region Water Sewer Revenue

      

5.00%, 07/15/2024

      430,000        496,994  

5.00%, 07/15/2028

      350,000        439,106  

Chester County Industrial Development Authority

      

4.38%, 03/01/2028(3)

      175,000        175,901  

5.00%, 03/01/2038(3)

      425,000        429,705  

5.13%, 03/01/2048(3)

      1,049,000        1,053,773  

City of Philadelphia PA

      

5.00%, 08/01/2022

      2,940,000        3,175,141  

5.00%, 08/01/2023

      4,000,000        4,489,360  

5.00%, 07/15/2026

      2,475,000        2,838,132  

5.00%, 08/01/2027

      1,500,000        1,895,640  

5.00%, 08/01/2028

      6,000,000        7,183,680  

5.00%, 02/01/2029

      3,175,000        4,136,422  

5.00%, 08/01/2031

      500,000        683,040  

5.00%, 08/01/2031

      8,000,000        9,967,440  

5.00%, 08/01/2033

      2,000,000        2,443,920  

City of Philadelphia PA Airport Revenue

      

5.00%, 06/15/2027

      2,315,000        2,380,815  

5.00%, 07/01/2030

      1,000,000        1,198,350  

5.00%, 07/01/2031

      2,000,000        2,385,540  

5.00%, 07/01/2032

      1,745,000        2,070,338  

5.00%, 07/01/2033

      1,000,000        1,181,160  

City of Philadelphia PA Water & Wastewater Revenue

      

5.00%, 11/01/2026

      1,165,000        1,464,393  

5.00%, 11/01/2027

      1,540,000        1,977,760  

5.00%, 11/01/2032

      1,000,000        1,252,690  

City of Reading PA

      

5.00%, 11/01/2027

      2,330,000        2,914,178  

Coatesville School District

      

5.00%, 08/01/2025

      875,000        1,048,539  

Commonwealth Financing Authority

      

5.00%, 06/01/2023

      750,000        838,395  

5.00%, 06/01/2027

      750,000        943,545  

5.00%, 06/01/2027

      1,500,000        1,894,815  

5.00%, 06/01/2027

      2,165,000        2,723,700  

5.00%, 06/01/2028

      2,555,000        3,291,836  

5.00%, 06/01/2030

      1,750,000        2,332,295  

Commonwealth of Pennsylvania

      

4.00%, 11/15/2028

      6,325,000        6,561,998  

4.00%, 04/01/2033

      20,000,000        21,461,800  

5.00%, 11/01/2020

      2,800,000        2,810,220  

5.00%, 08/15/2021

      1,015,000        1,057,112  

5.00%, 11/01/2021

      2,000,000        2,097,520  

5.00%, 02/01/2023

      895,000        993,960  

5.00%, 01/01/2024

      5,800,000        6,682,064  

5.00%, 01/01/2027

      2,095,000        2,648,248  

County of Lancaster PA

      

4.00%, 11/01/2029

      625,000        745,906  

4.00%, 11/01/2030

      560,000        664,541  

County of Luzerne PA

      

5.00%, 12/15/2029

      750,000        936,030  

Cumberland County Municipal Authority

      

4.00%, 01/01/2033

      1,500,000        1,531,080  

Dauphin County General Authority

      

5.00%, 06/01/2035

      1,000,000        1,164,640  

Delaware County Authority

      

5.00%, 08/01/2030

      1,150,000        1,347,087  

Delaware River Joint Toll Bridge Commission

      

5.00%, 07/01/2042

      1,100,000        1,333,871  

Doylestown Hospital Authority

      

4.00%, 07/01/2045

      750,000        787,027  

5.00%, 07/01/2046

      3,700,000        3,996,777  

5.00%, 07/01/2049

      3,620,000        3,998,905  

Easton Area School District

      

5.00%, 04/01/2029

      1,000,000        1,233,080  

5.00%, 04/01/2030

      2,805,000        3,453,684  

Franklin County Industrial Development Authority

      

5.00%, 12/01/2053

      500,000        516,880  

Geisinger Authority

      

5.00%, 04/01/2035

      3,000,000        3,838,170  

5.00%, 02/15/2039

      1,500,000        1,788,750  

General Authority of Southcentral Pennsylvania

      

5.00%, 06/01/2038

      1,970,000        2,457,654  

5.00%, 06/01/2044

      1,085,000        1,326,901  

Hospitals & Higher Education Facilities Authority of Philadelphia

      

5.00%, 07/01/2021

      275,000        282,285  

5.00%, 07/01/2023

      325,000        355,222  

5.00%, 07/01/2030

      780,000        905,713  

5.00%, 07/01/2034

      2,000,000        2,280,640  

Lancaster City Parking Authority

      

4.00%, 09/01/2035

      1,100,000        1,251,085  

Lancaster County Hospital Authority

      

5.00%, 07/01/2023

      775,000        807,635  

5.00%, 12/01/2032

      250,000        259,445  

5.00%, 12/01/2037

      820,000        832,480  

5.00%, 07/01/2045

      1,970,000        2,054,296  

5.00%, 12/01/2047

      2,010,000        1,974,684  

Lehigh County Industrial Development Authority

      

1.80%, 02/15/2027(1)

      1,025,000        1,038,192  

1.80%, 09/01/2029(1)

      1,925,000        1,948,389  

Luzerne County Industrial Development Authority

      

5.00%, 12/15/2027

      1,000,000        1,204,820  

Montgomery County Higher Education & Health Authority

      

5.00%, 09/01/2023

      460,000        518,034  

5.00%, 10/01/2023

      50,000        54,470  

5.00%, 09/01/2024

      410,000        475,530  

5.00%, 10/01/2028

      1,000,000        1,137,610  

5.00%, 09/01/2032

      1,000,000        1,238,760  

5.00%, 09/01/2033

      305,000        375,806  

5.00%, 10/01/2036

      1,320,000        1,457,425  

5.00%, 10/01/2040

      1,595,000        1,748,519  

Montgomery County Industrial Development Authority

      

5.25%, 01/15/2036

      2,500,000        2,650,700  

5.25%, 01/01/2040

      1,510,000        1,531,653  

5.38%, 01/01/2050

      500,000        505,720  

North Allegheny School District

      

4.00%, 05/01/2035

      1,000,000        1,182,630  

4.00%, 05/01/2036

      705,000        830,180  

Northampton County General Purpose Authority

      

1.15% (1 Month LIBOR USD + 1.04%), 08/15/2048(2)

      1,625,000        1,619,150  

5.00%, 08/15/2036

      455,000        525,379  

Pennsylvania Economic Development Financing Authority

      

0.40%, 10/01/2023

      10,000,000        10,001,100  

0.40%, 12/01/2030(1)

      1,800,000        1,800,000  

1.75%, 08/01/2038(1)

      10,000,000        10,280,900  

2.15%, 11/01/2021(1)

      2,405,000        2,442,999  

3.25%, 08/01/2039(3)

      625,000        580,638  

4.00%, 04/15/2037

      1,000,000        1,153,180  

5.00%, 04/15/2026

      2,500,000        3,069,100  

5.00%, 04/15/2027

      4,600,000        5,785,926  

5.00%, 04/15/2031

      2,095,000        2,724,443  

Pennsylvania Higher Educational Facilities Authority

      

5.00%, 06/15/2022

      2,000,000        2,158,100  

5.00%, 06/15/2024

      3,005,000        3,485,109  

5.00%, 06/15/2025

      1,855,000        2,223,718  

5.00%, 08/15/2029

      1,600,000        2,017,520  

Pennsylvania Housing Finance Agency

      

3.50%, 04/01/2051

      800,000        875,688  

Pennsylvania State University

      

5.00%, 09/01/2021

      1,400,000        1,461,194  

5.00%, 09/01/2022

      2,295,000        2,504,396  

Pennsylvania Turnpike Commission

      

0.11%, 12/01/2050(1)

      5,000,000        5,000,000  

0.12%, 12/01/2039(1)

      9,000,000        9,000,000  

5.00%, 06/01/2028

      2,085,000        2,507,379  

5.00%, 06/01/2032

      2,000,000        2,411,180  

5.00%, 06/01/2033

      3,155,000        3,792,973  

5.00%, 12/01/2034

      1,240,000        1,525,336  

5.25%, 07/15/2029

      410,000        572,729  

Philadelphia Authority for Industrial Development

      

0.35%, 09/01/2050(1)

      1,500,000        1,500,000  

5.00%, 07/01/2031

      205,000        211,496  

5.00%, 07/01/2032

      600,000        615,144  

5.00%, 07/01/2037

      150,000        151,185  

5.00%, 06/15/2039

      500,000        521,890  

5.00%, 08/01/2040

      620,000        713,143  

5.00%, 06/15/2050

      1,375,000        1,416,264  

5.00%, 08/01/2050

      1,050,000        1,196,076  

Philadelphia Gas Works Co.

      

5.00%, 08/01/2022

      750,000        811,133  

Pittsburgh Water & Sewer Authority

      

5.00%, 09/01/2038

      1,000,000        1,270,010  

Reading School District

      

5.00%, 02/01/2021

      1,000,000        1,015,010  

5.00%, 02/01/2022

      1,920,000        2,035,757  

5.00%, 03/01/2035

      1,100,000        1,329,845  

5.00%, 03/01/2036

      1,250,000        1,500,350  

Redevelopment Authority of the City of Philadelphia

      

5.00%, 04/15/2023

      1,335,000        1,452,427  

School District of Philadelphia

      

5.00%, 09/01/2026

      1,625,000        1,990,121  

5.00%, 09/01/2029

      1,500,000        1,953,075  

5.00%, 09/01/2030

      15,000        19,009  

5.00%, 09/01/2030

      3,985,000        4,844,684  

5.00%, 09/01/2031

      1,000,000        1,210,640  

5.00%, 09/01/2031

      1,200,000        1,509,156  

5.00%, 09/01/2032

      1,200,000        1,499,628  

5.00%, 09/01/2032

      2,200,000        2,774,288  

5.00%, 09/01/2033

      960,000        1,223,098  

5.00%, 09/01/2033

      1,500,000        1,874,460  

Scranton School District

      

5.00%, 06/01/2033

      530,000        657,338  

5.00%, 06/01/2035

      515,000        634,629  

Southeastern Pennsylvania Transportation Authority

      

5.00%, 03/01/2026

      875,000        1,081,211  

St Mary Hospital Authority

      

5.00%, 11/15/2022

      1,900,000        2,069,708  

State Public School Building Authority

      

4.00%, 12/01/2020

      1,590,000        1,599,302  

5.00%, 12/01/2022

      7,370,000        8,035,069  

5.00%, 04/01/2023

      2,500,000        2,678,925  

5.00%, 12/01/2024

      1,250,000        1,459,700  

5.00%, 06/15/2025

      3,000,000        3,472,590  

5.00%, 12/01/2025

      1,570,000        1,825,690  

5.00%, 06/01/2026

      180,000        212,607  

5.00%, 12/01/2026

      1,250,000        1,447,475  

5.00%, 06/01/2029

      665,000        861,335  

5.00%, 12/01/2032

      3,060,000        3,686,810  

5.25%, 09/15/2030

      1,000,000        1,248,510  

Susquehanna Area Regional Airport Authority

      

5.00%, 01/01/2035

      1,000,000        1,051,170  

5.00%, 01/01/2038

      2,125,000        2,205,771  

Upper Merion Area School District

      

5.00%, 01/15/2030

      600,000        734,142  

Waverly Township Municipal Authority

      

4.00%, 02/15/2029

      1,030,000        1,203,977  

York County School of Technology Authority

      

5.00%, 02/15/2023

      1,200,000        1,330,020  

5.00%, 02/15/2028

      400,000        464,088  
     

 

 

  

Total Pennsylvania

 

      361,435,406  
     

 

 

  

Puerto Rico – 1.89%

      

Commonwealth of Puerto Rico

      

5.50%, 07/01/2039(4)

      1,000,000        662,500  

8.00%, 07/01/2035(4)

      8,750,000        5,556,250  

Puerto Rico Commonwealth Aqueduct & Sewer Authority

      

4.00%, 07/01/2022

      140,000        140,900  

4.50%, 07/01/2027

      1,195,000        1,193,506  

5.00%, 07/01/2022

      300,000        309,126  

5.00%, 07/01/2030

      260,000        264,550  

5.00%, 07/01/2033

      4,020,000        4,080,300  

5.13%, 07/01/2037

      1,770,000        1,796,550  

5.13%, 07/01/2047

      1,425,000        1,443,169  

5.25%, 07/01/2029

      1,560,000        1,599,000  

5.25%, 07/01/2042

      3,040,000        3,085,600  

5.75%, 07/01/2037

      4,730,000        4,854,163  

6.00%, 07/01/2044

      2,005,000        2,025,050  

6.13%, 07/01/2024

      230,000        242,362  

Puerto Rico Electric Power Authority

      

3.70%, 07/01/2050(4)

      20,000        13,750  

5.00%, 07/01/2024(4)

      340,000        241,400  

5.00%, 07/01/2026(4)

      30,000        21,300  

5.00%, 07/01/2027(4)

      15,000        10,650  

5.00%, 07/01/2027(4)

      25,000        17,750  

5.00%, 07/01/2028(4)

      30,000        21,300  

5.00%, 07/01/2028(4)

      50,000        35,500  

5.00%, 07/01/2032(4)

      650,000        461,500  

5.00%, 07/01/2037(4)

      3,105,000        2,204,550  

5.05%, 07/01/2042(4)

      120,000        85,200  

5.25%, 07/01/2023(4)

      3,495,000        2,477,081  

5.25%, 07/01/2024(4)

      25,000        17,750  

5.25%, 07/01/2026(4)

      555,000        394,050  

5.25%, 07/01/2027(4)

      30,000        21,300  

5.25%, 07/01/2027(4)

      650,000        461,500  

5.25%, 07/01/2028(4)

      60,000        42,600  

5.25%, 07/01/2033(4)

      95,000        67,450  

5.25%, 07/01/2040(4)

      3,075,000        2,183,250  

5.25%, 07/01/2050(4)

      270,000        190,688  

5.75%, 07/01/2036(4)

      1,300,000        932,750  

6.75%, 07/01/2036(4)

      1,560,000        1,129,050  

7.25%, 07/01/2030(4)

      265,000        192,788  

Puerto Rico Housing Finance Authority

      

5.00%, 01/12/2020

      9,980,000        10,042,475  

5.00%, 01/12/2021

      9,560,000        10,038,574  

5.00%, 01/12/2022

      5,735,000        6,265,774  

5.00%, 01/12/2023

      4,300,000        4,875,469  

5.00%, 01/12/2024

      9,270,000        10,855,077  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue

      

0.00%, 07/01/2024

      2,400,000        2,215,968  

0.00%, 07/01/2024

      6,650,000        6,140,078  

0.00%, 07/01/2027

      407,000        345,494  

0.00%, 07/01/2027

      2,061,000        1,749,542  

0.00%, 07/01/2029

      2,569,000        2,021,597  

0.00%, 07/01/2031

      5,167,000        3,771,807  

0.00%, 07/01/2033

      4,466,000        2,989,049  

0.00%, 07/01/2046

      8,706,000        2,457,791  

4.33%, 07/01/2040

      1,052,000        1,072,167  

4.33%, 07/01/2040

      1,500,000        1,528,755  

4.50%, 07/01/2034

      2,582,000        2,693,904  

4.75%, 07/01/2053

      5,529,000        5,750,215  

4.78%, 07/01/2058

      500,000        521,425  

5.00%, 07/01/2058

      20,235,000        21,390,216  
     

 

 

  

Total Puerto Rico

 

      135,201,560  
     

 

 

  

Rhode Island – 0.17%

      

Providence Redevelopment Agency

      

5.00%, 04/01/2028

      1,200,000        1,316,220  

Rhode Island Health & Educational Building Corp.

      

5.00%, 09/01/2031

      710,000        737,910  

5.00%, 09/01/2036

      100,000        101,734  

5.00%, 05/15/2039

      700,000        768,523  

Rhode Island Housing & Mortgage Finance Corp.

      

3.50%, 10/01/2050

      1,195,000        1,333,489  

4.00%, 10/01/2049

      610,000        680,992  

Rhode Island Student Loan Authority

      

3.50%, 12/01/2034

      510,000        520,909  

5.00%, 12/01/2024

      600,000        675,984  

5.00%, 12/01/2025

      750,000        863,040  

5.00%, 12/01/2026

      1,000,000        1,165,740  

5.00%, 12/01/2027

      800,000        945,080  

5.00%, 12/01/2027

      1,000,000        1,180,620  

Tobacco Settlement Financing Corp.

      

5.00%, 06/01/2024

      1,455,000        1,650,959  
     

 

 

  

Total Rhode Island

 

      11,941,200  
     

 

 

  

South Carolina – 1.22%

      

Aiken County Consolidated School District

      

4.00%, 04/01/2034

      2,415,000        2,929,129  

Connector 2000 Association, Inc.

      

0.00%, 01/01/2032

      3,500,000        1,603,840  

0.00%, 01/01/2042

      2,790,222        625,903  

0.00%, 07/22/2051

      19,902,537        1,815,509  

Lancaster County School District

      

5.00%, 03/01/2023

      445,000        496,393  

Lexington County Health Services District, Inc.

      

5.00%, 11/01/2022

      250,000        273,017  

5.00%, 11/01/2023

      300,000        340,515  

5.00%, 11/01/2024

      780,000        913,622  

Patriots Energy Group Financing Agency

      

4.00%, 10/01/2048(1)

      31,075,000        34,358,074  

Scago Educational Facilities Corp. for Sumter County School 17

      

4.00%, 12/01/2021

      1,895,000        1,955,678  

Scago Educational Facilities Corp. for Union School District

      

5.00%, 12/01/2023

      1,060,000        1,203,227  

South Carolina Jobs-Economic Development Authority

      

5.00%, 11/01/2028

      700,000        769,265  

5.00%, 04/01/2031

      510,000        613,622  

5.00%, 05/01/2037

      500,000        488,955  

5.00%, 05/01/2042

      500,000        475,280  

5.00%, 11/15/2042

      585,000        602,298  

5.00%, 05/01/2043

      4,675,000        5,442,401  

5.00%, 04/01/2047

      2,000,000        2,112,260  

5.00%, 04/01/2052

      1,750,000        1,845,165  

5.00%, 11/15/2054

      1,000,000        1,015,830  

6.00%, 02/01/2035(3)

      525,000        416,026  

6.25%, 02/01/2045(3)

      995,000        737,106  

South Carolina Ports Authority

      

5.00%, 07/01/2026

      1,940,000        2,365,423  

5.00%, 07/01/2027

      3,120,000        3,882,185  

5.00%, 07/01/2028

      1,100,000        1,395,185  

South Carolina Public Service Authority

      

5.00%, 12/01/2022

      1,185,000        1,297,848  

5.00%, 12/01/2032

      1,500,000        1,787,220  

5.00%, 12/01/2035

      1,500,000        1,795,545  

5.00%, 12/01/2041

      3,000,000        3,539,370  

5.00%, 12/01/2049

      1,900,000        2,098,854  

5.75%, 12/01/2043

      2,000,000        2,346,440  

South Carolina State Housing Finance & Development Authority

      

4.00%, 01/01/2050

      865,000        979,984  

4.00%, 07/01/2050

      775,000        884,988  

South Carolina Transportation Infrastructure Bank

      

5.00%, 10/01/2025

      305,000        369,334  

Tender Option Bond Trust Receipts/Certificates

      

0.37%, 05/30/2022(1)(3)

      3,220,000        3,220,000  

0.38%, 07/01/2021(1)(3)

      795,000        795,000  
     

 

 

  

Total South Carolina

 

      87,790,491  
     

 

 

  

South Dakota – 0.11%

      

City of Sioux Falls SD

      

5.00%, 11/01/2042

      750,000        764,137  

South Dakota Health & Educational Facilities Authority

      

5.00%, 11/01/2029

      800,000        956,344  

5.00%, 11/01/2030

      1,000,000        1,190,760  

5.00%, 07/01/2033(1)

      2,630,000        2,924,849  

5.00%, 11/01/2042

      145,000        154,933  

5.00%, 11/01/2045

      1,500,000        1,727,940  
     

 

 

  

Total South Dakota

 

      7,718,963  
     

 

 

  

Tennessee – 1.24%

      

Blount County Health & Educational Facilities Board

      

5.00%, 01/01/2037

      1,240,000        937,155  

Chattanooga Health Educational & Housing Facility Board

      

5.00%, 10/01/2021

      1,000,000        1,018,220  

5.00%, 10/01/2022

      325,000        334,958  

5.00%, 10/01/2030

      500,000        517,860  

5.00%, 10/01/2032

      1,215,000        1,247,926  

5.00%, 10/01/2035

      2,260,000        2,302,985  

Greeneville Health & Educational Facilities Board

      

5.00%, 07/01/2025

      1,850,000        2,028,876  

5.00%, 07/01/2035

      1,275,000        1,536,758  

Johnson City Health & Educational Facilities Board

      

5.00%, 08/15/2042

      2,000,000        2,088,820  

Knox County Health Educational & Housing Facility Board

      

5.00%, 04/01/2023

      1,825,000        1,990,217  

5.00%, 04/01/2024

      1,000,000        1,124,440  

5.00%, 04/01/2027

      1,740,000        2,093,986  

Memphis-Shelby County Airport Authority

      

5.00%, 07/01/2022

      1,000,000        1,076,170  

Memphis-Shelby County Industrial Development Board

      

4.75%, 07/01/2027

      200,000        179,158  

5.50%, 07/01/2037

      600,000        534,036  

Nashville Metropolitan Development & Housing Agency

      

4.50%, 06/01/2028(3)

      1,050,000        1,094,667  

5.13%, 06/01/2036(3)

      3,290,000        3,452,625  

Shelby County Health Educational & Housing Facilities Board

      

5.00%, 09/01/2037(3)

      1,590,000        1,427,089  

Tennergy Corp.

      

5.00%, 02/01/2050(1)

      11,590,000        13,517,069  

Tennessee Energy Acquisition Corp.

      

4.00%, 05/01/2048(1)

      8,885,000        9,568,790  

4.00%, 11/01/2049(1)

      7,070,000        8,061,002  

5.00%, 02/01/2027

      2,725,000        3,342,403  

Tennessee State School Bond Authority

      

5.00%, 11/01/2040

      25,000,000        29,738,250  
     

 

 

  

Total Tennessee

 

      89,213,460  
     

 

 

  

Texas – 8.89%

      

Alamito Public Facility Corp.

      

1.51%, 05/01/2037(1)

      5,000,000        5,050,200  

1.95%, 04/01/2036(1)

      7,000,000        7,004,830  

2.50%, 11/01/2021(1)

      15,000,000        15,184,200  

Alamo Community College District

      

4.00%, 02/15/2021

      715,000        725,024  

4.00%, 02/15/2022

      665,000        699,540  

4.00%, 02/15/2023

      1,000,000        1,088,770  

Atascosa County Industrial Development Corp.

      

5.00%, 12/15/2025

      600,000        719,850  

5.00%, 12/15/2026

      600,000        733,824  

5.00%, 12/15/2028

      1,505,000        1,896,556  

5.00%, 12/15/2030

      1,550,000        2,006,087  

5.00%, 12/15/2032

      2,700,000        3,416,445  

5.00%, 12/15/2034

      2,600,000        3,258,996  

5.00%, 12/15/2036

      2,780,000        3,460,627  

5.00%, 12/15/2037

      1,435,000        1,785,628  

Austin Community College District Public Facility Corp.

      

5.00%, 08/01/2024

      430,000        505,383  

5.00%, 08/01/2028

      310,000        395,380  

5.00%, 08/01/2031

      300,000        376,683  

5.00%, 08/01/2031

      580,000        728,254  

Austin Convention Enterprises, Inc.

      

5.00%, 01/01/2023

      250,000        244,910  

5.00%, 01/01/2025

      150,000        145,674  

5.00%, 01/01/2028

      400,000        410,848  

5.00%, 01/01/2029

      425,000        433,734  

5.00%, 01/01/2030

      720,000        695,383  

5.00%, 01/01/2032

      1,700,000        1,734,476  

5.00%, 01/01/2034

      730,000        703,786  

Austin-Bergstrom Landhost Enterprises, Inc.

      

5.00%, 10/01/2023

      1,425,000        1,574,354  

5.00%, 10/01/2025

      1,780,000        2,055,882  

5.00%, 10/01/2026

      1,400,000        1,637,986  

5.00%, 10/01/2028

      1,925,000        2,243,761  

5.00%, 10/01/2030

      2,175,000        2,493,572  

5.00%, 10/01/2033

      2,000,000        2,243,700  

5.00%, 10/01/2034

      2,000,000        2,236,200  

5.00%, 10/01/2036

      1,000,000        1,110,380  

Baytown Area Water Authority

      

5.00%, 05/01/2023

      1,000,000        1,116,990  

5.00%, 05/01/2024

      1,000,000        1,160,250  

5.00%, 05/01/2025

      1,000,000        1,201,150  

Board of Managers Joint Guadalupe County-City of Seguin Hospital

      

5.00%, 12/01/2045

      290,000        299,376  

5.25%, 12/01/2035

      525,000        576,954  

Board of Regents of the University of Texas System

      

2.50%, 08/15/2036(1)

      2,630,000        2,663,401  

4.00%, 08/15/2036

      10,785,000        11,791,456  

5.00%, 08/15/2021

      505,000        526,362  

Central Texas Regional Mobility Authority

      

4.00%, 01/01/2022

      5,000,000        5,117,750  

4.00%, 01/01/2036

      500,000        577,095  

4.00%, 01/01/2037

      620,000        713,099  

5.00%, 01/01/2022

      500,000        528,000  

5.00%, 01/01/2024

      175,000        199,475  

5.00%, 01/01/2025

      225,000        264,865  

5.00%, 01/01/2028

      300,000        356,526  

5.00%, 01/01/2031

      500,000        641,665  

5.00%, 01/01/2032

      500,000        638,110  

5.00%, 01/01/2034

      1,475,000        1,698,108  

5.00%, 01/01/2040

      2,250,000        2,592,675  

5.00%, 01/01/2046

      1,600,000        1,830,528  

Central Texas Turnpike System

      

5.00%, 08/15/2037

      2,500,000        2,810,175  

5.00%, 08/15/2042

      1,400,000        1,561,098  

City of Arlington TX

      

4.00%, 08/15/2029

      960,000        1,214,803  

City of Arlington TX Special Tax Revenue

      

5.00%, 02/15/2045

      530,000        537,770  

City of Austin TX Airport System Revenue

      

5.00%, 11/15/2026

      1,140,000        1,399,156  

5.00%, 11/15/2044

      255,000        284,736  

City of Dallas TX

      

5.00%, 02/15/2023

      1,000,000        1,061,270  

5.00%, 02/15/2024

      1,055,000        1,220,403  

City of Dallas TX Waterworks & Sewer System Revenue

      

5.00%, 10/01/2027

      530,000        645,418  

5.00%, 10/01/2031

      800,000        986,480  

City of El Paso TX

      

5.00%, 08/15/2025

      2,245,000        2,746,353  

City of Fort Worth TX

      

5.00%, 03/01/2023

      1,000,000        1,115,490  

City of Garland TX Water & Sewer System Revenue

      

5.00%, 03/01/2028

      700,000        877,100  

City of Houston TX

      

5.00%, 03/01/2023

      1,975,000        2,200,031  

5.00%, 03/01/2025

      750,000        898,785  

5.00%, 03/01/2029

      1,000,000        1,255,590  

City of Houston TX Airport System Revenue

      

4.75%, 07/01/2024

      2,000,000        2,022,040  

5.00%, 07/01/2027

      1,625,000        1,687,497  

5.00%, 07/01/2027

      3,000,000        3,795,030  

5.00%, 07/15/2027

      2,325,000        2,414,326  

5.00%, 07/01/2029

      1,000,000        1,250,000  

5.00%, 07/01/2031

      1,750,000        2,152,097  

5.00%, 07/01/2032

      1,750,000        2,136,382  

5.00%, 07/15/2035

      800,000        803,384  

City of Houston TX Combined Utility System Revenue

      

5.00%, 11/15/2022

      200,000        220,318  

5.00%, 11/15/2023

      225,000        258,390  

5.00%, 05/15/2028

      410,000        476,371  

5.00%, 11/15/2030

      2,005,000        2,641,868  

5.00%, 11/15/2033

      400,000        493,328  

City of Houston TX Hotel Occupancy Tax & Special Revenue

      

5.00%, 09/01/2036

      2,100,000        2,233,812  

City of San Antonio TX Airport System

      

5.00%, 07/01/2027

      2,000,000        2,462,360  

5.00%, 07/01/2028

      1,750,000        2,170,193  

5.00%, 07/01/2030

      1,000,000        1,247,070  

City of San Antonio TX Electric & Gas Systems Revenue

      

1.75%, 02/01/2049(1)

      4,000,000        4,177,440  

2.00%, 02/01/2033(1)

      1,115,000        1,126,741  

3.00%, 12/01/2045(1)

      5,150,000        5,171,888  

5.00%, 02/01/2030

      1,000,000        1,277,700  

City of Waco TX

      

5.00%, 02/01/2025

      1,710,000        1,972,707  

Clifton Higher Education Finance Corp.

      

6.13%, 08/15/2048

      4,750,000        5,424,595  

Coppell Independent School District

      

4.00%, 08/15/2034

      2,310,000        2,760,935  

4.00%, 08/15/2036

      2,580,000        3,051,185  

5.00%, 08/15/2033

      2,985,000        3,825,546  

County of Comal TX

      

4.00%, 02/01/2023

      1,000,000        1,084,650  

County of El Paso TX

      

5.00%, 02/15/2029

      1,500,000        1,895,340  

5.00%, 02/15/2031

      1,280,000        1,564,429  

County of Harris TX

      

5.00%, 10/01/2027

      5,000,000        6,477,850  

County of Williamson TX

      

5.00%, 02/15/2021

      1,000,000        1,017,980  

Cypress-Fairbanks Independent School District

      

1.25%, 02/15/2036(1)

      390,000        397,047  

1.25%, 02/15/2036(1)

      1,190,000        1,211,503  

2.13%, 02/15/2040(1)

      10,000,000        10,161,500  

5.00%, 02/15/2027

      470,000        577,216  

Dallas Area Rapid Transit

      

5.00%, 12/01/2024

      550,000        655,952  

Dallas County Utility & Reclamation District

      

5.00%, 02/15/2024

      1,125,000        1,292,377  

Dallas Fort Worth International Airport

      

4.00%, 11/01/2034

      1,930,000        2,289,752  

4.00%, 11/01/2035

      3,870,000        4,572,482  

5.00%, 11/01/2031

      2,310,000        3,059,872  

5.00%, 11/01/2032

      1,600,000        1,768,400  

5.00%, 11/01/2037

      10,100,000        10,610,555  

5.00%, 11/01/2038

      3,110,000        3,267,210  

5.00%, 11/01/2042

      8,710,000        9,150,290  

5.00%, 11/01/2044

      300,000        320,637  

Dallas Independent School District

      

5.00%, 02/15/2036(1)

      85,000        90,565  

5.00%, 02/15/2036

      1,045,000        1,113,416  

5.00%, 02/15/2036(1)

      2,175,000        2,317,397  

5.00%, 02/15/2036(1)

      2,180,000        2,320,545  

Denton Independent School District

      

0.00%, 08/15/2025

      500,000        488,740  

2.00%, 08/01/2044(1)

      5,275,000        5,575,833  

El Paso County Hospital District

      

5.00%, 08/15/2027

      1,260,000        1,335,159  

5.00%, 08/15/2029

      50,000        52,654  

Forney Independent School District

      

5.00%, 02/15/2030

      710,000        938,400  

5.00%, 02/15/2031

      1,000,000        1,314,840  

5.00%, 02/15/2032

      1,345,000        1,755,386  

Fort Bend Independent School District

      

0.88%, 08/01/2050(1)

      1,875,000        1,890,075  

1.50%, 08/01/2042(1)

      940,000        949,588  

Fort Worth Independent School District

      

5.00%, 02/15/2022

      450,000        479,911  

5.00%, 02/15/2026

      1,365,000        1,697,582  

Grand Parkway Transportation Corp.

      

5.00%, 02/01/2023

      1,580,000        1,732,928  

5.00%, 10/01/2031

      2,630,000        3,379,866  

5.00%, 10/01/2033

      1,205,000        1,532,097  

5.00%, 10/01/2034

      1,500,000        1,902,735  

5.00%, 10/01/2052(1)

      9,610,000        10,795,009  

Gregg County Health Facilities Development Corp.

      

4.50%, 07/01/2032

      635,000        680,631  

5.00%, 07/01/2042

      25,000        27,014  

Gulf Coast Industrial Development Authority

      

4.88%, 05/01/2025

      2,250,000        2,271,937  

Harlandale Independent School District

      

5.00%, 08/01/2030

      1,305,000        1,618,122  

Harris County Cultural Education Facilities Finance Corp.

      

5.00%, 06/01/2021

      1,100,000        1,132,538  

5.00%, 01/01/2043

      180,000        183,627  

5.00%, 07/01/2049(1)

      1,290,000        1,418,523  

5.00%, 07/01/2049(1)

      1,480,000        1,746,844  

5.00%, 07/01/2049(1)

      5,000,000        6,244,850  

Hays Consolidated Independent School District

      

2.70%, 08/15/2042(1)

      2,900,000        3,016,348  

Houston Independent School District

      

2.25%, 06/01/2039(1)

      5,000,000        5,163,400  

2.40%, 06/01/2030(1)

      7,000,000        7,098,840  

4.00%, 06/01/2039(1)

      4,415,000        4,827,361  

5.00%, 02/15/2030

      1,000,000        1,226,340  

Irving Hospital Authority

      

5.00%, 10/15/2035

      625,000        730,700  

Love Field Airport Modernization Corp.

      

5.00%, 11/01/2028

      1,250,000        1,296,200  

5.00%, 11/01/2035

      1,000,000        1,152,240  

5.25%, 11/01/2040

      3,015,000        3,021,422  

Lower Colorado River Authority

      

5.00%, 05/15/2021

      800,000        823,504  

5.00%, 05/15/2022

      565,000        608,251  

5.00%, 05/15/2022

      1,025,000        1,103,464  

5.00%, 05/15/2026

      1,000,000        1,237,140  

5.00%, 05/15/2036

      1,425,000        1,800,074  

Midlothian Independent School District

      

2.00%, 08/01/2051(1)

      1,065,000        1,124,491  

Mission Economic Development Corp.

      

0.50%, 01/01/2026(1)

      1,105,000        1,105,254  

0.50%, 05/01/2050(1)

      1,955,000        1,955,450  

4.63%, 10/01/2031(3)

      3,955,000        4,182,848  

Montgomery County Toll Road Authority

      

5.00%, 09/15/2032

      50,000        55,989  

5.00%, 09/15/2033

      270,000        301,126  

5.00%, 09/15/2034

      55,000        61,212  

5.00%, 09/15/2035

      1,145,000        1,270,503  

5.00%, 09/15/2036

      75,000        82,973  

5.00%, 09/15/2037

      1,245,000        1,374,555  

5.00%, 09/15/2038

      125,000        137,748  

5.00%, 09/15/2043

      380,000        415,108  

5.00%, 09/15/2048

      1,070,000        1,163,315  

New Hope Cultural Education Facilities Finance Corp.

      

5.00%, 08/15/2024

      730,000        852,136  

5.00%, 08/15/2026

      200,000        247,248  

5.00%, 08/15/2027

      375,000        475,474  

5.00%, 04/01/2029

      1,000,000        1,009,570  

5.00%, 08/15/2030

      3,500,000        4,346,090  

5.00%, 04/01/2031

      335,000        321,493  

5.00%, 10/01/2031

      160,000        167,070  

5.00%, 11/01/2031

      1,750,000        1,939,473  

5.00%, 10/01/2034

      185,000        189,407  

5.00%, 07/01/2035

      2,100,000        1,743,000  

5.00%, 04/01/2036

      820,000        765,601  

5.00%, 04/01/2037

      1,310,000        1,278,141  

5.00%, 10/01/2039

      250,000        252,460  

5.00%, 11/01/2040

      1,100,000        1,192,268  

5.00%, 07/01/2047

      1,075,000        892,250  

5.00%, 04/01/2048

      1,250,000        1,118,100  

5.00%, 07/01/2058

      275,000        308,531  

5.25%, 10/01/2049

      575,000        581,360  

5.50%, 11/15/2052

      250,000        202,823  

Newark Higher Education Finance Corp.

      

5.00%, 04/01/2029

      505,000        578,437  

North East Independent School District

      

1.42%, 08/01/2040(1)

      440,000        441,672  

North Texas Municipal Water District Upper East Fork Wastewater Interceptor System

      

5.00%, 06/01/2027

      1,025,000        1,320,046  

5.00%, 06/01/2028

      1,050,000        1,339,506  

5.00%, 06/01/2029

      600,000        760,818  

North Texas Tollway Authority

      

5.00%, 01/01/2023

      235,000        259,395  

5.00%, 01/01/2025

      860,000        1,014,748  

5.00%, 01/01/2030

      75,000        89,682  

5.00%, 01/01/2030

      6,250,000        7,080,875  

5.00%, 01/01/2031

      105,000        125,000  

5.00%, 01/01/2031

      500,000        599,180  

5.00%, 01/01/2031

      1,100,000        1,371,216  

5.00%, 01/01/2031

      1,900,000        2,148,007  

5.00%, 01/01/2032

      1,100,000        1,364,176  

5.00%, 01/01/2033

      500,000        601,325  

5.00%, 01/01/2033

      1,250,000        1,541,600  

5.00%, 01/01/2033

      3,150,000        3,660,773  

5.00%, 01/01/2034

      1,400,000        1,719,970  

5.00%, 01/01/2035

      1,500,000        1,838,025  

5.00%, 01/01/2036

      550,000        647,323  

5.00%, 01/01/2039

      170,000        198,665  

5.00%, 01/01/2040

      2,000,000        2,160,660  

5.50%, 09/01/2041

      5,840,000        6,125,226  

Northside Independent School District

      

0.70%, 01/06/2050(1)

      23,475,000        23,446,361  

1.60%, 08/01/2049(1)

      15,030,000        15,618,575  

Old Spanish Trail-Alemda Corridors Redevelopment Authority

      

4.00%, 09/01/2033

      1,360,000        1,592,111  

Pasadena Independent School District

      

1.50%, 02/15/2044(1)

      4,295,000        4,454,774  

Permanent University Fund - University of Texas System

      

5.00%, 07/01/2029

      235,000        289,485  

Pflugerville Independent School District

      

2.50%, 02/15/2039(1)

      7,500,000        7,910,700  

Plano Independent School District

      

5.00%, 02/15/2022

      1,000,000        1,066,470  

Port Beaumont Navigation District

      

4.00%, 01/01/2050(3)

      1,035,000        1,036,149  

Port of Port Arthur Navigation District

      

0.19%, 04/01/2040(1)

      700,000        700,000  

0.40%, 11/01/2040(1)

      15,000,000        15,000,000  

Rockwall Independent School District

      

0.00%, 02/15/2024

      1,005,000        986,629  

San Antonio Water System

      

5.00%, 05/15/2032

      3,000,000        3,356,160  

Southwest Houston Redevelopment Authority

      

4.00%, 09/01/2031

      400,000        469,224  

4.00%, 09/01/2032

      400,000        464,788  

4.00%, 09/01/2033

      425,000        489,247  

4.00%, 09/01/2034

      355,000        407,348  

4.00%, 09/01/2035

      225,000        256,961  

4.00%, 09/01/2036

      700,000        796,271  

5.00%, 09/01/2028

      350,000        434,217  

5.00%, 09/01/2029

      345,000        434,051  

5.00%, 09/01/2030

      300,000        382,041  

State of Texas

      

1.85%, 08/01/2029(1)

      1,155,000        1,156,086  

2.25%, 08/01/2029(1)

      2,435,000        2,438,945  

4.00%, 08/01/2021

      1,240,000        1,278,552  

4.00%, 10/01/2032

      1,200,000        1,342,080  

5.00%, 08/01/2025

      2,035,000        2,306,734  

5.00%, 08/01/2026

      1,000,000        1,178,230  

5.00%, 04/01/2027

      5,000,000        6,198,950  

5.00%, 04/01/2039

      10,000,000        11,672,000  

5.50%, 08/01/2026

      1,000,000        1,279,150  

5.50%, 08/01/2032

      1,000,000        1,271,920  

Tarrant County Cultural Education Facilities Finance Corp.

      

5.00%, 11/15/2022

      300,000        320,973  

5.00%, 07/01/2026

      1,775,000        2,176,470  

5.00%, 11/15/2035

      1,015,000        895,606  

5.00%, 11/15/2035

      1,750,000        1,834,333  

5.00%, 11/15/2037

      4,400,000        5,132,380  

5.00%, 11/15/2040

      1,650,000        1,851,812  

5.00%, 11/15/2040

      1,800,000        1,868,994  

5.00%, 11/15/2045

      1,175,000        951,950  

5.00%, 11/15/2046

      1,615,000        1,797,156  

5.75%, 12/01/2054

      530,708        537,963  

Tender Option Bond Trust Receipts/Certificates

      

0.47%, 04/01/2059(1)(3)

      3,300,000        3,300,000  

Texas A&M University

      

3.00%, 05/15/2028

      2,300,000        2,575,517  

Texas Department of Housing & Community Affairs

      

2.95%, 07/01/2036

      1,652,723        1,779,239  

3.50%, 03/01/2051

      6,765,000        7,648,644  

4.00%, 03/01/2050

      1,755,000        2,007,615  

Texas Municipal Gas Acquisition & Supply Corp. I

      

5.25%, 12/15/2022

      450,000        494,609  

5.25%, 12/15/2025

      3,000,000        3,642,240  

6.25%, 12/15/2026

      7,385,000        8,710,238  

Texas Municipal Gas Acquisition & Supply Corp. III

      

5.00%, 12/15/2029

      5,000,000        5,375,250  

5.00%, 12/15/2032

      3,000,000        3,203,850  

Texas Municipal Power Agency

      

5.00%, 09/01/2033

      920,000        923,330  

5.00%, 09/01/2034

      945,000        948,421  

5.00%, 09/01/2035

      1,200,000        1,204,344  

Texas Private Activity Bond Surface Transportation Corp.

      

4.00%, 12/31/2032

      2,500,000        2,890,850  

4.00%, 12/31/2033

      2,040,000        2,342,532  

4.00%, 06/30/2036

      1,175,000        1,333,343  

5.00%, 12/31/2050

      2,410,000        2,569,566  

5.00%, 12/31/2055

      2,755,000        2,932,312  

Texas Public Finance Authority

      

5.00%, 02/01/2028

      2,300,000        2,994,646  

Texas State University System

      

5.00%, 03/15/2026

      800,000        992,528  

5.00%, 03/15/2029

      610,000        764,934  

5.00%, 03/15/2032

      1,325,000        1,635,713  

Texas Transportation Commission

      

0.00%, 08/01/2034

      1,060,000        660,762  

0.00%, 08/01/2037

      725,000        382,735  

0.00%, 08/01/2038

      800,000        399,600  

0.00%, 08/01/2039

      710,000        335,851  

0.00%, 08/01/2040

      1,500,000        669,900  

5.00%, 08/01/2057

      2,930,000        3,342,720  

Texas Transportation Commission State Highway Fund

      

5.00%, 10/01/2023

      5,020,000        5,737,057  

Texas Water Development Board

      

4.00%, 08/01/2034

      5,090,000        6,299,944  

4.00%, 08/01/2035

      5,400,000        6,653,016  

5.00%, 04/15/2028

      1,500,000        1,963,455  

5.00%, 10/15/2028

      2,370,000        3,142,265  

5.00%, 04/15/2029

      2,000,000        2,664,780  

5.00%, 10/15/2029

      4,100,000        5,529,096  

5.00%, 04/15/2030

      2,000,000        2,716,020  

5.00%, 10/15/2030

      3,060,000        4,205,725  

Travis County Health Facilities Development Corp.

      

7.00%, 11/01/2030

      55,000        55,189  

University of Houston

      

5.00%, 02/15/2030

      860,000        1,041,090  

Uptown Development Authority

      

5.00%, 09/01/2033

      715,000        822,572  

Viridian Municipal Management District

      

4.00%, 12/01/2029

      520,000        580,596  

4.00%, 12/01/2031

      560,000        621,393  

4.00%, 12/01/2032

      580,000        641,352  

4.00%, 12/01/2033

      605,000        666,928  
     

 

 

  

Total Texas

 

      637,612,762  
     

 

 

  

Utah – 0.29%

      

Salt Lake City Corp. Airport Revenue

      

5.00%, 07/01/2025

      1,000,000        1,182,980  

5.00%, 07/01/2026

      1,700,000        2,059,057  

5.00%, 07/01/2026

      3,000,000        3,633,630  

5.00%, 07/01/2030

      1,000,000        1,232,190  

5.00%, 07/01/2042

      2,500,000        2,888,050  

5.25%, 07/01/2048

      3,000,000        3,548,730  

State of Utah

      

5.00%, 07/01/2023

      1,760,000        1,993,939  

Utah Charter School Finance Authority

      

4.50%, 06/15/2027(3)

      1,000,000        1,086,000  

Utah Transit Authority

      

4.00%, 12/15/2031

      2,880,000        3,207,485  
     

 

 

  

Total Utah

 

      20,832,061  
     

 

 

  

Vermont – 0.06%

      

Vermont Educational & Health Buildings Financing Agency

      

5.00%, 10/15/2027

      1,000,000        1,117,950  

5.00%, 10/15/2029

      890,000        976,419  

Vermont Student Assistance Corp.

      

5.00%, 06/15/2025

      800,000        916,232  

5.00%, 06/15/2026

      500,000        582,755  

5.00%, 06/15/2027

      700,000        809,641  
     

 

 

  

Total Vermont

 

      4,402,997  
     

 

 

  

Virgin Islands – 0.05%

      

Virgin Islands Public Finance Authority

      

5.00%, 10/01/2032

      3,000,000        3,220,440  
     

 

 

  

Total Virgin Islands

 

      3,220,440  
     

 

 

  

Virginia – 1.51%

      

Arlington County Industrial Development Authority

      

5.00%, 07/01/2027

      905,000        1,141,458  

Chesapeake Bay Bridge & Tunnel District

      

5.00%, 11/01/2023

      7,700,000        8,636,705  

5.00%, 07/01/2046

      3,985,000        4,513,172  

5.00%, 07/01/2051

      1,345,000        1,514,887  

City of Norfolk VA Water Revenue

      

5.00%, 11/01/2022

      1,645,000        1,810,915  

County of Botetourt VA

      

4.75%, 07/01/2023

      60,000        61,721  

6.00%, 07/01/2034

      1,500,000        1,631,085  

County of Loudoun VA

      

5.00%, 12/01/2023

      825,000        950,796  

Fairfax County Economic Development Authority

      

5.00%, 12/01/2042

      1,290,000        1,347,418  

Fairfax County Industrial Development Authority

      

5.00%, 05/15/2035

      1,175,000        1,246,275  

5.00%, 05/15/2044

      975,000        1,091,756  

Franklin County Industrial Development Authority

      

3.00%, 10/15/2023

      2,000,000        2,004,080  

Fredericksburg Economic Development Authority

      

5.00%, 06/15/2031

      500,000        554,875  

Hanover County Economic Development Authority

      

5.00%, 07/01/2042

      1,120,000        1,126,608  

5.00%, 07/01/2047

      2,080,000        2,090,546  

Mizuho Floater/Residual Trust

      

0.67%, 09/01/2033(1)(3)(6)

      1,335,000        1,335,000  

Norfolk Redevelopment & Housing Authority

      

4.00%, 01/01/2025

      3,870,000        3,870,464  

5.00%, 01/01/2046

      240,000        244,298  

5.00%, 01/01/2049

      500,000        513,415  

Salem Economic Development Authority

      

5.00%, 04/01/2030

      710,000        837,104  

5.00%, 04/01/2031

      400,000        467,184  

5.00%, 04/01/2032

      700,000        810,873  

5.00%, 04/01/2033

      350,000        402,552  

5.00%, 04/01/2034

      925,000        1,057,932  

Stafford County Economic Development Authority

      

4.00%, 06/15/2037

      50,000        54,414  

5.00%, 06/15/2030

      150,000        176,038  

5.00%, 06/15/2033

      150,000        173,414  

5.00%, 06/15/2034

      500,000        576,710  

Tender Option Bond Trust Receipts/Certificates

      

0.47%, 10/01/2059(1)(3)

      3,400,000        3,400,000  

Tobacco Settlement Financing Corp.

      

0.00%, 06/01/2047

      3,000,000        595,050  

Virginia College Building Authority

      

5.00%, 02/01/2023

      700,000        778,960  

5.00%, 09/01/2023

      1,000,000        1,138,320  

5.00%, 02/01/2024

      2,475,000        2,869,540  

5.00%, 02/01/2026

      1,000,000        1,242,860  

5.00%, 02/01/2030

      1,500,000        1,936,275  

5.00%, 07/01/2030(3)

      500,000        515,285  

5.00%, 02/01/2034

      1,000,000        1,329,820  

5.00%, 07/01/2045(3)

      500,000        501,240  

5.00%, 07/01/2045(3)

      1,000,000        1,002,480  

5.25%, 07/01/2035(3)

      1,000,000        1,028,220  

Virginia Commonwealth Transportation Board

      

5.00%, 09/15/2022

      1,000,000        1,070,200  

5.00%, 09/15/2023

      2,500,000        2,852,700  

Virginia Port Authority

      

5.00%, 07/01/2023

      1,000,000        1,123,500  

Virginia Public Building Authority

      

5.00%, 08/01/2022

      1,050,000        1,143,261  

5.00%, 08/01/2022

      1,490,000        1,622,342  

Virginia Public School Authority

      

5.00%, 08/01/2022

      2,505,000        2,726,993  

5.00%, 08/01/2022

      3,275,000        3,565,231  

Virginia Small Business Financing Authority

      

5.00%, 07/01/2034

      1,000,000        1,035,230  

5.00%, 01/01/2040

      3,540,000        3,653,138  

5.00%, 01/01/2040

      4,135,000        4,267,155  

5.00%, 01/01/2044

      1,000,000        1,030,050  

5.00%, 01/01/2048(1)(3)

      500,000        508,945  

5.00%, 07/01/2049

      3,970,000        4,084,217  

5.00%, 12/31/2049

      3,105,000        3,477,414  

5.00%, 12/31/2052

      880,000        986,075  

5.00%, 12/31/2056

      4,455,000        4,983,630  

5.50%, 01/01/2042

      6,590,000        6,898,873  

Wise County Industrial Development Authority

      

0.75%, 10/01/2040(1)

      3,000,000        2,995,350  

1.20%, 11/01/2040(1)

      3,285,000        3,342,356  

York County Economic Development Authority

      

1.90%, 05/01/2033(1)

      600,000        621,816  
     

 

 

  

Total Virginia

 

      108,568,221  
     

 

 

  

Washington – 3.57%

      

Adams County Public Hospital District No 2

      

5.13%, 12/01/2044

      1,000,000        1,098,200  

Auburn School District No 408 of King & Pierce Counties

      

5.00%, 12/01/2033

      2,000,000        2,521,940  

Central Puget Sound Regional Transit Authority

      

5.00%, 11/01/2035

      960,000        1,149,821  

Chelan County Public Utility District No 1

      

4.00%, 07/01/2035

      750,000        922,260  

City of Kent WA

      

5.00%, 12/01/2027

      695,000        868,291  

City of Seattle WA Municipal Light & Power Revenue

      

0.61% (SIFMA Municipal Swap Index Yield + 0.49%), 11/01/2046(2)

      5,000,000        5,016,750  

4.00%, 01/01/2032

      3,385,000        4,050,999  

City of Tacoma WA Electric System Revenue

      

5.00%, 01/01/2039

      675,000        820,611  

City of Tacoma WA Solid Waste Utility Revenue

      

5.00%, 12/01/2031

      460,000        565,740  

Clark County Public Utility District No 1

      

5.00%, 01/01/2022

      425,000        450,674  

5.00%, 01/01/2023

      375,000        415,361  

5.00%, 01/01/2023

      750,000        830,722  

5.00%, 01/01/2024

      395,000        455,767  

County of King WA Sewer Revenue

      

5.00%, 01/01/2047

      29,000,000        33,359,280  

East Pierce Fire & Rescue

      

5.00%, 12/01/2029

      635,000        835,508  

5.00%, 12/01/2031

      925,000        1,203,138  

Energy Northwest

      

4.00%, 07/01/2044

      8,000,000        8,310,160  

5.00%, 07/01/2028

      15,000,000        19,814,100  

5.00%, 07/01/2034

      6,890,000        9,246,656  

King & Snohomish Counties School District No 417 Northshore

      

4.00%, 12/01/2033

      5,500,000        6,054,730  

King County Housing Authority

      

4.00%, 06/01/2026

      450,000        521,842  

4.00%, 06/01/2027

      620,000        730,906  

4.00%, 06/01/2028

      1,115,000        1,327,608  

4.00%, 06/01/2029

      840,000        1,012,007  

4.00%, 06/01/2030

      400,000        485,200  

4.00%, 06/01/2031

      650,000        783,256  

4.00%, 11/01/2031

      1,640,000        1,998,438  

4.00%, 06/01/2032

      625,000        747,619  

4.00%, 11/01/2032

      1,705,000        2,062,590  

4.00%, 06/01/2033

      500,000        594,260  

4.00%, 06/01/2034

      525,000        621,563  

4.00%, 06/01/2035

      735,000        863,015  

5.00%, 11/01/2027

      1,000,000        1,273,220  

5.00%, 11/01/2028

      1,430,000        1,857,341  

5.00%, 11/01/2029

      750,000        993,682  

King County Public Hospital District No 1

      

5.00%, 12/01/2032

      4,500,000        5,300,685  

King County School District No 414 Lake Washington

      

5.00%, 12/01/2035

      1,600,000        2,025,520  

5.00%, 12/01/2036

      3,205,000        4,042,595  

5.00%, 12/01/2037

      1,425,000        1,792,123  

5.00%, 12/01/2038

      865,000        1,084,822  

Pierce County School District No 10 Tacoma

      

5.00%, 12/01/2034

      2,800,000        3,345,440  

Port of Seattle WA

      

5.00%, 07/01/2024

      595,000        660,527  

5.00%, 04/01/2029

      5,050,000        6,382,240  

5.00%, 04/01/2030

      2,000,000        2,262,700  

5.00%, 04/01/2034

      1,000,000        1,118,990  

5.00%, 04/01/2036

      3,130,000        3,804,139  

5.00%, 01/01/2037

      3,500,000        4,251,940  

Seattle Housing Authority

      

0.28%, 06/01/2040(1)

      650,000        650,000  

Skagit County Public Hospital District No 1

      

5.00%, 12/01/2020

      1,750,000        1,760,413  

Snohomish County Housing Authority

      

5.00%, 04/01/2031

      1,135,000        1,432,393  

State of Washington

      

5.00%, 09/01/2021

      2,670,000        2,787,453  

5.00%, 08/01/2027

      235,000        296,648  

5.00%, 08/01/2027

      550,000        673,123  

5.00%, 08/01/2028

      235,000        296,648  

5.00%, 08/01/2030

      235,000        295,108  

5.00%, 08/01/2030

      1,830,000        2,330,798  

5.00%, 06/01/2034

      660,000        842,728  

5.00%, 07/01/2036

      1,505,000        1,935,159  

Tender Option Bond Trust Receipts/Certificates

      

0.27%, 03/01/2028(1)(3)

      3,000,000        3,000,000  

Thurston & Pierce Counties Community Schools

      

5.00%, 12/01/2029

      675,000        891,243  

5.00%, 12/01/2031

      1,100,000        1,432,750  

Tobacco Settlement Authority

      

5.00%, 06/01/2023

      500,000        557,910  

5.00%, 06/01/2024

      1,000,000        1,115,250  

Washington Health Care Facilities Authority

      

1.17% (SIFMA Municipal Swap Index Yield + 1.05%), 01/01/2042(2)

      5,000,000        5,049,100  

5.00%, 08/15/2022

      1,200,000        1,299,408  

5.00%, 08/15/2023

      650,000        734,760  

5.00%, 10/01/2024

      465,000        504,344  

5.00%, 07/01/2025

      360,000        427,896  

5.00%, 08/01/2028

      1,005,000        1,261,235  

5.00%, 07/01/2029

      115,000        142,709  

5.00%, 07/01/2030

      410,000        504,452  

5.00%, 08/01/2030

      3,500,000        4,421,900  

5.00%, 08/15/2030

      1,000,000        1,138,010  

5.00%, 08/15/2031

      845,000        957,165  

5.00%, 09/01/2031

      185,000        241,447  

5.00%, 08/15/2032

      480,000        540,744  

5.00%, 09/01/2032

      180,000        233,127  

5.00%, 09/01/2033

      225,000        289,703  

5.00%, 07/01/2034

      105,000        126,860  

5.00%, 09/01/2034

      450,000        577,580  

5.00%, 09/01/2035

      365,000        466,320  

5.00%, 10/01/2038

      11,320,000        12,663,118  

5.00%, 07/01/2042

      2,415,000        2,852,091  

5.00%, 08/01/2049(1)

      10,000,000        11,619,000  

Washington Higher Education Facilities Authority

      

4.00%, 05/01/2045

      1,000,000        1,098,470  

4.00%, 05/01/2050

      950,000        1,035,538  

5.00%, 05/01/2025

      100,000        115,834  

5.00%, 05/01/2026

      375,000        444,458  

5.00%, 05/01/2028

      420,000        516,188  

5.00%, 05/01/2029

      180,000        224,532  

5.00%, 10/01/2029

      1,855,000        2,077,396  

5.00%, 10/01/2033

      735,000        804,884  

Washington State Housing Finance Commission

      

0.67% (SIFMA Municipal Swap Index Yield + 0.55%), 12/01/2048(2)

      10,000,000        10,021,800  

1.55%, 07/01/2022(1)

      10,000,000        10,151,400  

2.38%, 01/01/2026(3)

      600,000        578,790  

3.70%, 07/01/2030

      5,000,000        5,729,950  

4.00%, 07/01/2026(3)

      1,055,000        1,074,602  

5.00%, 01/01/2024(3)

      180,000        191,545  

5.00%, 01/01/2025(3)

      375,000        405,188  

5.00%, 01/01/2026(3)

      300,000        327,243  

5.00%, 07/01/2031(3)

      1,000,000        1,058,860  

5.00%, 07/01/2053(3)

      400,000        398,052  

5.00%, 01/01/2055(3)

      775,000        803,861  

Washington State University

      

5.00%, 04/01/2029

      1,285,000        1,462,716  

Yakima County School District No 208 West Valley

      

5.00%, 12/01/2030

      1,000,000        1,312,590  
     

 

 

  

Total Washington

 

      256,117,466  
     

 

 

  

West Virginia – 0.17%

      

County of Putnam WV

      

0.33%, 05/01/2021(1)

      355,000        355,000  

Monongalia County Commission Special District

      

5.50%, 06/01/2037(3)

      200,000        205,970  

5.75%, 06/01/2043(3)

      200,000        206,680  

Ohio County Board of Education

      

3.00%, 06/01/2028

      2,150,000        2,457,880  

State of West Virginia

      

5.00%, 12/01/2036

      2,910,000        3,689,851  

West Virginia Economic Development Authority

      

5.00%, 07/01/2045(1)

      900,000        926,982  

5.38%, 12/01/2038

      885,000        891,487  

West Virginia Hospital Finance Authority

      

5.00%, 01/01/2031

      620,000        768,248  

West Virginia State School Building Authority Lottery Revenue

      

5.00%, 07/01/2022

      695,000        753,283  

5.00%, 07/01/2024

      500,000        586,675  

5.00%, 07/01/2032

      940,000        1,153,201  
     

 

 

  

Total West Virginia

 

      11,995,257  
     

 

 

  

Wisconsin – 1.74%

      

Milwaukee Redevelopment Authority

      

5.00%, 11/15/2031

      570,000        699,202  

5.00%, 11/15/2032

      500,000        612,010  

Public Finance Authority

      

0.45%, 10/01/2025(1)

      7,000,000        7,000,420  

3.00%, 04/01/2025(3)

      425,000        421,464  

4.00%, 08/01/2035(6)

      6,250,000        5,959,813  

4.13%, 05/01/2026(3)

      750,000        758,595  

5.00%, 06/01/2022

      175,000        188,244  

5.00%, 06/01/2023

      195,000        218,258  

5.00%, 06/01/2024

      200,000        231,958  

5.00%, 06/01/2025

      450,000        538,785  

5.00%, 12/01/2025

      1,000,000        1,154,960  

5.00%, 06/01/2026

      385,000        472,068  

5.00%, 06/01/2027

      410,000        511,606  

5.00%, 05/15/2028(3)

      200,000        214,404  

5.00%, 05/01/2029(3)

      2,330,000        2,161,331  

5.00%, 06/15/2034

      500,000        585,755  

5.00%, 07/01/2035

      5,000,000        6,236,850  

5.00%, 01/01/2037

      500,000        619,075  

5.00%, 06/15/2037(3)

      1,130,000        1,158,679  

5.00%, 07/01/2037

      825,000        883,971  

5.00%, 01/01/2038

      350,000        431,876  

5.00%, 06/15/2039(3)

      410,000        422,886  

5.00%, 06/15/2039

      500,000        574,345  

5.00%, 04/01/2040(3)

      400,000        428,736  

5.00%, 01/01/2042

      600,000        555,546  

5.00%, 10/01/2043(3)

      170,000        174,163  

5.00%, 10/01/2048(3)

      735,000        748,575  

5.00%, 06/15/2049(3)

      420,000        428,102  

5.00%, 06/15/2049(3)

      750,000        765,982  

5.00%, 06/15/2049

      1,100,000        1,240,129  

5.00%, 04/01/2050(3)

      550,000        580,640  

5.00%, 10/01/2053(3)

      1,305,000        1,324,758  

5.00%, 06/15/2054(3)

      455,000        462,639  

5.00%, 05/01/2055(3)

      3,400,000        2,899,282  

5.00%, 07/01/2055

      550,000        565,972  

5.20%, 06/01/2037

      500,000        494,700  

5.25%, 05/15/2037(3)

      500,000        531,590  

5.25%, 05/15/2042(3)

      60,000        63,356  

5.25%, 10/01/2043

      2,105,000        2,215,765  

5.25%, 05/15/2047(3)

      60,000        63,004  

5.25%, 10/01/2048

      2,105,000        2,200,314  

5.25%, 05/15/2052(3)

      115,000        120,420  

5.30%, 06/01/2047

      500,000        483,330  

State of Wisconsin

      

5.00%, 05/01/2023

      2,000,000        2,249,420  

5.00%, 05/01/2023

      4,000,000        4,492,200  

5.00%, 05/01/2024

      7,470,000        8,730,936  

5.00%, 05/01/2025

      5,335,000        6,462,019  

5.00%, 05/01/2034

      2,400,000        2,921,976  

Tender Option Bond Trust Receipts/Certificates

      

0.32%, 01/01/2026(1)(3)

      9,000,000        9,000,000  

Village of Mukwonago WI Waterworks System & Sewer System Revenue

      

3.38%, 06/01/2021

      3,190,000        3,197,592  

Wisconsin Health & Educational Facilities Authority

      

0.37%, 02/15/2053(1)

      3,500,000        3,500,000  

0.77% (SIFMA Municipal Swap Index Yield + 0.65%), 08/15/2054(2)

      4,000,000        4,005,160  

2.55%, 11/01/2027

      390,000        385,999  

2.83%, 11/01/2028

      605,000        605,278  

4.00%, 02/15/2025

      270,000        311,931  

4.00%, 02/15/2026

      510,000        597,909  

4.00%, 02/15/2031

      460,000        539,290  

4.00%, 02/15/2033

      550,000        644,804  

5.00%, 05/01/2022

      550,000        585,398  

5.00%, 10/01/2022

      330,000        355,763  

5.00%, 12/01/2022

      560,000        613,586  

5.00%, 11/01/2024

      155,000        164,046  

5.00%, 04/01/2025

      2,000,000        2,377,040  

5.00%, 04/01/2026

      1,000,000        1,223,400  

5.00%, 02/15/2027

      300,000        366,156  

5.00%, 04/01/2027

      1,700,000        2,133,840  

5.00%, 10/01/2027

      580,000        714,659  

5.00%, 04/01/2028

      900,000        1,155,771  

5.00%, 10/01/2028

      700,000        876,575  

5.00%, 11/01/2029

      760,000        822,844  

5.00%, 04/01/2030

      1,670,000        2,123,856  

5.00%, 12/15/2033

      1,450,000        1,843,240  

5.00%, 09/01/2036

      400,000        454,948  

5.00%, 09/15/2037

      650,000        664,164  

5.00%, 09/15/2050

      645,000        658,997  

5.00%, 08/15/2054(1)

      1,260,000        1,336,898  

Wisconsin Housing & Economic Development Authority

      

1.55%, 11/01/2038(1)

      1,750,000        1,751,680  

1.60%, 11/01/2048(1)

      6,000,000        6,071,460  

3.50%, 09/01/2050

      2,490,000        2,771,569  
     

 

 

  

Total Wisconsin

 

      125,113,962  
     

 

 

  

Total Municipal Bonds (Cost: $6,775,169,100)

 

      7,016,518,624  
     

 

 

  

     Shares      Value  

SHORT-TERM INVESTMENTS – 3.58%

      

Money Market Funds – 3.50%

      

Fidelity Institutional Money Market Government Fund - Class I, 0.03%(5)

      250,962,090        250,962,090  
     

 

 

  

Total Money Market Funds (Cost: $250,962,090)

         250,962,090  
     

 

 

  
     Principal
Amount		      Value  

Time Deposits – 0.08%

      

Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 10/01/2020

    $ 5,480,504        5,480,504  

Sumitomo, Tokyo, 0.01% due 10/01/2020

      504,099        504,099  
     

 

 

  

Total Time Deposits (Cost: $5,984,603)

         5,984,603  
     

 

 

  

Total Short-Term Investments (Cost: $256,946,693)

 

      256,946,693  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 101.42%

(Cost: $7,032,115,793)

         7,273,465,317  
     

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS – (1.42)%

         (101,725,465 ) 
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 7,171,739,852  
     

 

 

  

Percentages are stated as a percent of net assets.

 

(1)

Adjustable rate security. The rate reported is the rate in effect as of September 30, 2020.

(2)

Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of September 30, 2020.

(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 totals $278,198,111, which represents 3.88% of total net assets.

(4)

Security in default as of September 30, 2020. The value of these securities totals $17,441,907, which represents 0.24% of total net assets.

(5)

Represents annualized seven-day yield as of the close of the reporting period.

(6)

Security that is restricted at September 30, 2020. The value of the restricted security totals $20,494,813, which represents 0.29% of total net assets.

The accompanying notes are an integral part of this Schedule of Investments.

MUNICIPAL BONDS    % of Net Assets  

Education

      8.22 % 

General Obligation

      16.74 % 

General Revenue

      28 % 

Healthcare

      14.46 % 

Housing

      4.44 % 

Transportation

      16.69 % 

Utilities

      9.29 % 
  

 

 

  

Total Municipal Bonds

      97.84 % 
  

 

 

  

SHORT-TERM INVESTMENTS

      3.58 % 
  

 

 

  

TOTAL INVESTMENTS

      101.42 % 

Liabilities In Excess Of Other Assets

      -1.42 % 
  

 

 

  

TOTAL NET ASSETS

      100 % 
  

 

 

  

The accompanying notes are an integral part of this Schedule of Investments.

Bridge Builder Large Cap Growth Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Shares      Value  

COMMON STOCKS – 99.14%

      

Communication Services – 10.59%

      

Activision Blizzard, Inc.

      26,151      $ 2,116,923  

Alphabet, Inc. - Class A(1)

      245,733        360,146,285  

Alphabet, Inc. - Class C(1)

      193,307        284,083,967  

Altice USA, Inc. - Class A(1)

      26,450        687,700  

Cable One, Inc.

      461        869,183  

Charter Communications, Inc. - Class A(1)

      11,786        7,358,471  

Electronic Arts, Inc.(1)

      452,788        59,048,083  

Facebook, Inc. - Class A(1)

      1,513,011        396,257,581  

IAC/InterActiveCorp(1)

      6,637        794,980  

Liberty Media Corp.-Liberty SiriusXM - Class A(1)

      880        29,190  

Liberty Media Corp.-Liberty SiriusXM - Class C(1)

      1,839        60,834  

Live Nation Entertainment, Inc.(1)

      12,432        669,836  

Match Group, Inc.(1)

      1,412,886        156,335,836  

Netflix, Inc.(1)

      256,460        128,237,694  

Nexstar Media Group, Inc. - Class A

      2,408        216,551  

Pinterest, Inc. - Class A(1)

      29,223        1,213,047  

Roku, Inc. - Class A(1)

      9,186        1,734,317  

Sirius XM Holdings, Inc.

      64,873        347,719  

Spotify Technology SA(1)

      149,212        36,194,355  

Take-Two Interactive Software, Inc.(1)

      8,986        1,484,667  

Tencent Holdings Ltd.

      588,675        39,761,105  

Walt Disney Co.

      358,893        44,531,443  

World Wrestling Entertainment, Inc. - Class A

      4,195        169,772  

Zillow Group, Inc. - Class A(1)

      578        58,690  

Zillow Group, Inc. - Class C(1)

      1,362        138,366  

Zynga, Inc. - Class A(1)

      63,346        577,716  
     

 

 

  

Total Communication Services

 

      1,523,124,311  
     

 

 

  

Consumer Discretionary – 15.84%

      

Alibaba Group Holding Ltd. - ADR(1)

      102,603        30,163,230  

Amazon.com, Inc.(1)

      178,791        562,964,585  

Aptiv Plc

      361,412        33,134,252  

AutoZone, Inc.(1)

      1,198        1,410,813  

Best Buy Co., Inc.

      3,621        402,981  

Booking Holdings, Inc.(1)

      3,545        6,064,361  

Bright Horizons Family Solutions, Inc.(1)

      3,576        543,695  

Burlington Stores, Inc.(1)

      5,094        1,049,823  

CarMax, Inc.(1)

      1,115        102,480  

Carvana Co. - Class A(1)

      4,777        1,065,558  

Chegg, Inc.(1)

      10,502        750,263  

Chewy, Inc. - Class A(1)

      381,394        20,911,833  

Chipotle Mexican Grill, Inc. - Class A(1)

      2,425        3,015,997  

Dollar General Corp.

      420,703        88,187,763  

Dollar Tree, Inc.(1)

      809,742        73,961,834  

Domino’s Pizza, Inc.

      3,412        1,451,055  

Dunkin’ Brands Group, Inc.

      5,975        489,412  

eBay, Inc.

      52,931        2,757,705  

Etsy, Inc.(1)

      10,335        1,257,046  

Expedia Group, Inc.

      1,384        126,899  

Five Below, Inc.(1)

      4,714        598,678  

Floor & Decor Holdings, Inc. - Class A(1)

      8,088        604,982  

Frontdoor, Inc.(1)

      1,314        51,128  

GrubHub, Inc.(1)

      807        58,370  

H&R Block, Inc.

      12,395        201,915  

Home Depot, Inc.

      492,956        136,898,811  

Kering SA

      61,459        40,768,382  

Las Vegas Sands Corp.

      12,289        573,405  

Lowe’s Companies, Inc.

      648,666        107,587,743  

Lululemon Athletica, Inc.(1)

      219,800        72,395,526  

Mattel, Inc.(1)

      16,766        196,162  

McDonald’s Corp.

      789,176        173,216,240  

MercadoLibre, Inc.(1)

      51,015        55,222,717  

NIKE, Inc. - Class B

      2,070,494        259,929,817  

NVR, Inc.(1)

      31        126,577  

Ollie’s Bargain Outlet Holdings, Inc.(1)

      4,272        373,159  

O’Reilly Automotive, Inc.(1)

      6,361        2,932,930  

Peloton Interactive, Inc. - Class A(1)

      218,114        21,645,633  

Planet Fitness, Inc. - Class A(1)

      4,160        256,339  

Polaris Industries, Inc.

      547        51,604  

Pool Corp.

      3,409        1,140,447  

Ross Stores, Inc.

      640,420        59,763,994  

Starbucks Corp.

      1,024,550        88,029,336  

Tempur Sealy International, Inc.(1)

      3,122        278,451  

Tesla, Inc.(1)

      552,323        236,952,090  

TJX Companies, Inc.

      84,535        4,704,373  

Tractor Supply Co.

      10,015        1,435,550  

Ulta Beauty, Inc.(1)

      4,374        979,689  

Vail Resorts, Inc.

      292        62,479  

VF Corp.

      1,732        121,673  

Vroom, Inc.(1)

      1,605        83,107  

Wayfair, Inc. - Class A(1)

      5,304        1,543,517  

Wendy’s Co.

      15,068        335,941  

Williams-Sonoma, Inc.

      953        86,189  

Wynn Resorts Ltd.

      2,210        158,700  

Yum China Holdings, Inc.

      2,274        120,408  

Yum! Brands, Inc.

      1,948,995        177,943,244  
     

 

 

  

Total Consumer Discretionary

 

      2,277,240,891  
     

 

 

  

Consumer Staples – 3.54%

      

Altria Group, Inc.

      70,549        2,726,013  

Beyond Meat, Inc.(1)

      3,614        600,141  

Boston Beer, Inc. - Class A(1)

      771        681,071  

Brown-Forman Corp. - Class A

      3,295        226,301  

Brown-Forman Corp. - Class B

      13,555        1,020,963  

Campbell Soup Co.

      7,800        377,286  

Church & Dwight Co., Inc.

      21,495        2,014,297  

Clorox Co.

      7,730        1,624,614  

Coca-Cola Co.

      2,480,711        122,472,702  

Costco Wholesale Corp.

      33,956        12,054,380  

Energizer Holdings, Inc.

      4,499        176,091  

Estee Lauder Companies, Inc. - Class A

      17,304        3,776,598  

Grocery Outlet Holding Corp.(1)

      3,394        133,452  

Herbalife Nutrition Ltd.(1)

      1,078        50,289  

Hershey Co.

      9,806        1,405,592  

Kellogg Co.

      7,299        471,443  

Kimberly-Clark Corp.

      382,288        56,448,646  

Lamb Weston Holdings, Inc.

      3,080        204,112  

McCormick & Co., Inc.

      6,064        1,177,022  

Mondelez International, Inc. - Class A

      1,491,845        85,706,495  

Monster Beverage Corp.(1)

      32,257        2,587,011  

PepsiCo, Inc.

      349,939        48,501,545  

Pilgrim’s Pride Corp.(1)

      749        11,209  

Procter & Gamble Co.

      1,166,867        162,182,844  

Reynolds Consumer Products, Inc.

      1,218        37,295  

Sprouts Farmers Market, Inc.(1)

      9,080        190,044  

Sysco Corp.

      30,024        1,868,093  
     

 

 

  

Total Consumer Staples

 

      508,725,549  
     

 

 

  

Energy – 0.44%

      

Cheniere Energy, Inc.(1)

      20,209        935,070  

ConocoPhillips

      1,896,721        62,288,318  

Equitrans Midstream Corp.

      4,197        35,507  
     

 

 

  

Total Energy

 

      63,258,895  
     

 

 

  

Financials – 5.16%

      

Alleghany Corp.

      60        31,227  

American Express Co.

      756,104        75,799,426  

Aon Plc - Class A

      20,046        4,135,490  

Apollo Global Management, Inc. - Class A

      7,098        317,635  

Ares Management Corp. - Class A

      8,963        362,284  

Axis Capital Holdings Ltd.

      708        31,180  

Bank of America Corp.

      5,950,971        143,358,891  

Brown & Brown, Inc.

      936        42,373  

Carlyle Group, Inc.

      1,116        27,532  

CBOE Global Markets, Inc.

      2,121        186,097  

Charles Schwab Corp.

      1,170,416        42,404,172  

Commerce Bancshares, Inc.

      691,236        38,909,674  

Credit Acceptance Corp.(1)

      61        20,657  

Erie Indemnity Co. - Class A

      1,221        256,752  

FactSet Research Systems, Inc.

      3,267        1,094,053  

Goldman Sachs Group, Inc.

      70,988        14,266,458  

Intercontinental Exchange, Inc.

      1,958,237        195,921,612  

JPMorgan Chase & Co.

      902,893        86,921,509  

LendingTree, Inc.(1)

      657        201,627  

Lincoln National Corp.

      2,183        68,393  

LPL Financial Holdings, Inc.

      567        43,472  

MarketAxess Holdings, Inc.

      3,237        1,558,907  

Marsh & McLennan Companies, Inc.

      687,864        78,898,001  

Moody’s Corp.

      14,158        4,103,696  

Morningstar, Inc.

      1,523        244,609  

MSCI, Inc. - Class A

      7,087        2,528,500  

Primerica, Inc.

      2,183        246,985  

Progressive Corp.

      14,667        1,388,525  

RenaissanceRe Holdings Ltd.

      1,466        248,839  

Rocket Cos, Inc. - Class A(1)

      2,684        53,492  

S&P Global, Inc.

      130,937        47,215,882  

SLM Corp.

      7,900        63,911  

T Rowe Price Group, Inc.

      4,937        633,022  

Tradeweb Markets, Inc. - Class A

      6,377        369,866  

Virtu Financial, Inc. - Class A

      5,101        117,374  
     

 

 

  

Total Financials

 

      742,072,123  
     

 

 

  

Healthcare – 18.18%

      

10X Genomics, Inc. - Class A(1)

      4,958        618,163  

Abbott Laboratories

      1,904,757        207,294,704  

AbbVie, Inc.

      144,328        12,641,689  

ABIOMED, Inc.(1)

      3,802        1,053,382  

ACADIA Pharmaceuticals, Inc.(1)

      9,995        412,294  

Acceleron Pharma, Inc.(1)

      3,944        443,818  

Adaptive Biotechnologies Corp.(1)

      6,500        316,095  

Agilent Technologies, Inc.

      2,333        235,493  

Agios Pharmaceuticals, Inc.(1)

      793        27,755  

Alexion Pharmaceuticals, Inc.(1)

      2,746        314,225  

Align Technology, Inc.(1)

      6,771        2,216,555  

Alnylam Pharmaceuticals, Inc.(1)

      10,050        1,463,280  

Amedisys, Inc.(1)

      2,763        653,256  

AmerisourceBergen Corp. - Class A

      6,084        589,661  

Amgen, Inc.

      51,276        13,032,308  

Anthem, Inc.

      5,613        1,507,596  

AstraZeneca Plc - ADR

      919,549        50,391,285  

Avantor, Inc.(1)

      38,485        865,528  

Baxter International, Inc.

      18,461        1,484,634  

Becton Dickinson & Co.

      593,487        138,092,555  

Berkeley Lights, Inc.(1)

      467        35,660  

Biogen, Inc.(1)

      4,151        1,177,556  

BioMarin Pharmaceutical, Inc.(1)

      14,379        1,093,954  

Bio-Techne Corp.

      3,095        766,724  

Bluebird Bio, Inc.(1)

      2,646        142,752  

Boston Scientific Corp.(1)

      1,507,196        57,589,959  

Bristol-Myers Squibb Co.

      71,634        4,318,814  

Bruker Corp.

      4,010        159,397  

Cardinal Health, Inc.

      25,603        1,202,061  

Centene Corp.(1)

      14,820        864,451  

Cerner Corp.

      26,679        1,928,625  

Change Healthcare, Inc.(1)

      16,279        236,208  

Charles River Laboratories International, Inc.(1)

      3,770        853,716  

Chemed Corp.

      1,356        651,355  

Cigna Corp.

      8,560        1,450,150  

Cooper Companies, Inc.

      555        187,102  

Danaher Corp.

      1,450,926        312,427,896  

DaVita, Inc.(1)

      1,265        108,347  

DexCom, Inc.(1)

      8,026        3,308,558  

Edwards Lifesciences Corp.(1)

      53,752        4,290,485  

Eli Lilly & Co.

      73,440        10,870,589  

Encompass Health Corp.

      3,515        228,405  

Exact Sciences Corp.(1)

      11,285        1,150,506  

Exelixis, Inc.(1)

      9,536        233,155  

Global Blood Therapeutics, Inc.(1)

      5,349        294,944  

Guardant Health, Inc.(1)

      6,540        731,041  

Haemonetics Corp.(1)

      3,913        341,409  

HCA Healthcare, Inc.

      12,036        1,500,648  

Hill-Rom Holdings, Inc.

      713        59,543  

Hologic, Inc.(1)

      15,713        1,044,443  

Horizon Therapeutics Plc(1)

      15,545        1,207,536  

Humana, Inc.

      166,797        69,035,610  

ICU Medical, Inc.(1)

      532        97,228  

IDEXX Laboratories, Inc.(1)

      7,351        2,889,752  

Illumina, Inc.(1)

      454,185        140,379,500  

Immunomedics, Inc.(1)

      18,079        1,537,257  

Incyte Corp.(1)

      15,632        1,402,816  

Insulet Corp.(1)

      5,681        1,344,068  

Intuitive Surgical, Inc.(1)

      235,938        167,407,449  

Ionis Pharmaceuticals, Inc.(1)

      5,874        278,721  

Iovance Biotherapeutics, Inc.(1)

      12,362        406,957  

IQVIA Holdings, Inc.(1)

      270,533        42,644,117  

Johnson & Johnson

      1,581,275        235,420,222  

Laboratory Corp. of America Holdings(1)

      240,335        45,247,870  

Livongo Health, Inc.(1)

      4,832        676,722  

Masimo Corp.(1)

      4,197        990,744  

McKesson Corp.

      10,394        1,547,978  

Medtronic Plc

      1,565,587        162,695,801  

Merck & Co., Inc.

      192,366        15,956,760  

Mettler-Toledo International, Inc.(1)

      1,913        1,847,480  

Moderna, Inc.(1)

      24,807        1,755,095  

Molina Healthcare, Inc.(1)

      3,316        606,961  

Neurocrine Biosciences, Inc.(1)

      8,091        778,031  

Novocure Ltd.(1)

      8,711        969,621  

Oak Street Health, Inc.(1)

      696        37,194  

Penumbra, Inc.(1)

      2,790        542,320  

PerkinElmer, Inc.

      1,923        241,356  

Pfizer, Inc.

      2,886,935        105,950,514  

PPD, Inc.(1)

      8,797        325,401  

PRA Health Sciences, Inc.(1)

      4,624        469,059  

Quidel Corp.(1)

      3,215        705,307  

Reata Pharmaceuticals, Inc. - Class A(1)

      1,939        188,897  

Regeneron Pharmaceuticals, Inc.(1)

      180,988        101,313,463  

Repligen Corp.(1)

      4,569        674,110  

ResMed, Inc.

      12,420        2,129,161  

Royalty Pharma Plc - Class A

      2,940        123,686  

Sage Therapeutics, Inc.(1)

      346        21,147  

Sarepta Therapeutics, Inc.(1)

      109,746        15,411,631  

Seattle Genetics, Inc.(1)

      10,528        2,060,224  

STERIS Plc

      364        64,133  

Stryker Corp.

      9,816        2,045,360  

Syneos Health, Inc. - Class A(1)

      612        32,534  

Tandem Diabetes Care, Inc.(1)

      4,622        524,597  

Teladoc Health, Inc.(1)

      70,418        15,438,442  

Teleflex, Inc.

      2,552        868,752  

Thermo Fisher Scientific, Inc.

      568,412        250,965,266  

UnitedHealth Group, Inc.

      693,186        216,114,599  

Varian Medical Systems, Inc.(1)

      1,045        179,740  

Veeva Systems, Inc. - Class A(1)

      11,650        3,275,863  

Vertex Pharmaceuticals, Inc.(1)

      144,844        39,414,949  

Waters Corp.(1)

      414        81,012  

West Pharmaceutical Services, Inc.

      6,385        1,755,236  

Zoetis, Inc. - Class A

      684,996        113,277,789  
     

 

 

  

Total Healthcare

 

      2,614,258,767  
     

 

 

  

Industrials – 5.36%

      

3M Co.

      32,391        5,188,390  

Allegion Plc

      5,107        505,133  

Allison Transmission Holdings, Inc.

      6,671        234,419  

Armstrong World Industries, Inc.

      1,611        110,853  

Axon Enterprise, Inc.(1)

      5,391        488,964  

BWX Technologies, Inc.

      5,492        309,255  

Carrier Global Corp.

      27,502        839,911  

Caterpillar, Inc.

      186,822        27,864,501  

CH Robinson Worldwide, Inc.

      1,902        194,365  

Cintas Corp.

      6,758        2,249,265  

Copart, Inc.(1)

      17,810        1,872,900  

CoreLogic, Inc.

      223        15,090  

CoStar Group, Inc.(1)

      3,387        2,873,903  

Donaldson Co., Inc.

      1,195        55,472  

Dun & Bradstreet Holdings, Inc.(1)

      3,257        83,575  

Equifax, Inc.

      7,700        1,208,130  

Expeditors International of Washington, Inc.

      8,800        796,576  

Fastenal Co.

      40,270        1,815,774  

Generac Holdings, Inc.(1)

      4,927        954,064  

Graco, Inc.

      7,246        444,542  

HEICO Corp.

      3,170        331,772  

HEICO Corp. - Class A

      5,367        475,838  

Honeywell International, Inc.

      1,000,605        164,709,589  

Huntington Ingalls Industries, Inc.

      344        48,418  

IAA, Inc.(1)

      2,920        152,044  

IHS Markit Ltd.

      2,300,367        180,601,813  

Illinois Tool Works, Inc.

      12,119        2,341,512  

JB Hunt Transport Services, Inc.

      2,045        258,447  

Landstar System, Inc.

      2,669        334,933  

Lincoln Electric Holdings, Inc.

      2,221        204,421  

Lockheed Martin Corp.

      21,574        8,268,883  

Mercury Systems, Inc.(1)

      4,062        314,643  

MSA Safety, Inc.

      738        99,017  

Nordson Corp.

      3,999        767,088  

Norfolk Southern Corp.

      396,538        84,855,167  

Northrop Grumman Corp.

      12,512        3,947,411  

Old Dominion Freight Line, Inc.

      7,270        1,315,288  

Quanta Services, Inc.

      2,336        123,481  

Rockwell Automation, Inc.

      4,900        1,081,332  

Rollins, Inc.

      11,468        621,451  

Roper Technologies, Inc.

      1,233        487,171  

Toro Co.

      8,312        697,792  

TransDigm Group, Inc.

      999        474,645  

TransUnion

      14,861        1,250,256  

Trex Co., Inc.(1)

      9,980        714,568  

Uber Technologies, Inc.(1)

      1,114,374        40,652,364  

Union Pacific Corp.

      886,394        174,504,387  

United Parcel Service, Inc. - Class B

      40,508        6,749,848  

Verisk Analytics, Inc. - Class A

      13,764        2,550,607  

Vertiv Holdings Co. - Class A(1)

      18,211        315,415  

Virgin Galactic Holdings, Inc.(1)

      4,731        90,977  

Waste Management, Inc.

      367,972        41,643,391  

WW Grainger, Inc.

      2,862        1,021,076  

XPO Logistics, Inc.(1)

      415        35,134  
     

 

 

  

Total Industrials

 

      770,145,261  
     

 

 

  

Information Technology – 34.13%

      

2U, Inc.(1)

      1,583        53,600  

Accenture Plc - Class A

      283,699        64,113,137  

Adobe, Inc.(1)

      242,512        118,935,160  

Advanced Micro Devices, Inc.(1)

      94,395        7,739,446  

Adyen NV(1)(2)

      39,590        73,023,130  

Akamai Technologies, Inc.(1)

      11,363        1,256,066  

Alteryx, Inc. - Class A(1)

      4,661        529,257  

Amphenol Corp. - Class A

      477,600        51,709,752  

Analog Devices, Inc.

      980,112        114,418,275  

Anaplan, Inc.(1)

      11,420        714,664  

ANSYS, Inc.(1)

      7,444        2,435,900  

Apple, Inc.

      4,926,804        570,573,171  

Applied Materials, Inc.

      335,767        19,961,348  

Arista Networks, Inc.(1)

      4,205        870,141  

Aspen Technology, Inc.(1)

      5,518        698,524  

Atlassian Corp. Plc - Class A(1)

      173,290        31,502,389  

Autodesk, Inc.(1)

      658,863        152,203,942  

Automatic Data Processing, Inc.

      32,179        4,488,649  

Avalara, Inc.(1)

      7,030        895,200  

BigCommerce Holdings, Inc.(1)

      574        47,814  

Bill.com Holdings, Inc.(1)

      4,723        473,764  

Black Knight, Inc.(1)

      13,149        1,144,620  

Booz Allen Hamilton Holding Corp. - Class A

      11,719        972,443  

Broadcom, Inc.

      32,253        11,750,413  

Broadridge Financial Solutions, Inc.

      9,862        1,301,784  

CACI International, Inc. - Class A(1)

      365        77,803  

Cadence Design Systems, Inc.(1)

      23,973        2,556,241  

CDK Global, Inc.

      1,413        61,593  

CDW Corp.

      221,419        26,466,213  

Ceridian HCM Holding, Inc.(1)

      6,564        542,515  

Cisco Systems, Inc.

      1,840,767        72,507,812  

Citrix Systems, Inc.

      2,852        392,749  

Cloudflare, Inc. - Class A(1)

      9,168        376,438  

Cognex Corp.

      14,413        938,286  

Cognizant Technology Solutions Corp. - Class A

      3,159        219,298  

Coherent, Inc.(1)

      1,821        202,004  

Coupa Software, Inc.(1)

      203,895        55,916,165  

Crowdstrike Holdings, Inc. - Class A(1)

      263,943        36,244,653  

Datadog, Inc. - Class A(1)

      13,407        1,369,659  

Dell Technologies, Inc. - Class C(1)

      1,288        87,185  

DocuSign, Inc. - Class A(1)

      15,495        3,335,144  

Dolby Laboratories, Inc. - Class A

      586        38,840  

Dropbox, Inc. - Class A(1)

      21,014        404,730  

Duck Creek Technologies, Inc.(1)

      954        43,340  

Dynatrace, Inc.(1)

      15,767        646,762  

Elastic NV(1)

      5,604        604,616  

Enphase Energy, Inc.(1)

      9,052        747,605  

Entegris, Inc.

      10,939        813,205  

EPAM Systems, Inc.(1)

      4,625        1,495,170  

Everbridge, Inc.(1)

      3,061        384,860  

Fair Isaac Corp.(1)

      2,455        1,044,308  

Fastly, Inc. - Class A(1)

      6,845        641,240  

Fidelity National Information Services, Inc.

      271,723        40,000,343  

FireEye, Inc.(1)

      4,526        55,873  

Fiserv, Inc.(1)

      14,217        1,465,062  

Five9, Inc.(1)

      5,485        711,295  

FleetCor Technologies, Inc.(1)

      847,895        201,883,799  

Fortinet, Inc.(1)

      11,470        1,351,281  

Gartner, Inc.(1)

      7,563        944,997  

Genpact Ltd.

      6,669        259,758  

Globant SA(1)

      3,328        596,444  

GoDaddy, Inc. - Class A(1)

      14,443        1,097,235  

Guidewire Software, Inc.(1)

      1,442        150,357  

HubSpot, Inc.(1)

      3,634        1,061,964  

Inphi Corp.(1)

      4,247        476,726  

Intuit, Inc.

      347,177        113,252,609  

IPG Photonics Corp.(1)

      119        20,226  

Jabil, Inc.

      2,260        77,428  

Jack Henry & Associates, Inc.

      5,229        850,183  

Jamf Holding Corp.(1)

      891        33,511  

Keysight Technologies, Inc.(1)

      5,316        525,114  

KLA Corp.

      13,442        2,604,253  

Lam Research Corp.

      12,638        4,192,656  

Leidos Holdings, Inc.

      1,193        106,356  

Lumentum Holdings, Inc.(1)

      731        54,920  

Manhattan Associates, Inc.(1)

      4,762        454,723  

Mastercard, Inc. - Class A

      337,401        114,098,896  

Maxim Integrated Products, Inc.

      7,511        507,819  

Medallia, Inc.(1)

      7,484        205,211  

Microchip Technology, Inc.

      15,778        1,621,347  

Microsoft Corp.

      4,397,200        924,863,076  

MKS Instruments, Inc.

      3,485        380,667  

MongoDB, Inc. - Class A(1)

      4,337        1,004,059  

Monolithic Power Systems, Inc.

      3,821        1,068,390  

Motorola Solutions, Inc.

      1,586        248,701  

nCino, Inc.(1)

      492        39,203  

NetApp, Inc.

      10,276        450,500  

New Relic, Inc.(1)

      4,602        259,369  

NortonLifeLock, Inc.

      47,652        993,068  

Nutanix, Inc. - Class A(1)

      16,286        361,223  

NVIDIA Corp.

      258,689        140,007,661  

Okta, Inc. - Class A(1)

      9,968        2,131,657  

Oracle Corp.

      147,290        8,793,213  

PagerDuty, Inc.(1)

      6,260        169,709  

Palo Alto Networks, Inc.(1)

      109,888        26,895,088  

Paychex, Inc.

      21,984        1,753,664  

Paycom Software, Inc.(1)

      4,308        1,341,080  

Paylocity Holding Corp.(1)

      2,949        476,028  

PayPal Holdings, Inc.(1)

      1,311,680        258,440,310  

Pegasystems, Inc.

      3,056        369,898  

Pluralsight, Inc. - Class A(1)

      8,581        146,993  

Proofpoint, Inc.(1)

      4,775        504,001  

PTC, Inc.(1)

      9,027        746,713  

Pure Storage, Inc. - Class A(1)

      12,647        194,637  

QUALCOMM, Inc.

      98,123        11,547,115  

RealPage, Inc.(1)

      6,642        382,845  

RingCentral, Inc. - Class A(1)

      98,493        27,047,163  

Salesforce.com, Inc.(1)

      1,398,792        351,544,405  

Science Applications International Corp.

      684        53,639  

ServiceNow, Inc.(1)

      108,676        52,707,860  

Shopify, Inc. - Class A(1)

      108,435        110,925,752  

Slack Technologies, Inc. - Class A(1)

      32,722        878,913  

Smartsheet, Inc. - Class A(1)

      9,317        460,446  

SolarEdge Technologies, Inc.(1)

      4,264        1,016,324  

Splunk, Inc.(1)

      13,896        2,614,254  

Square, Inc. - Class A(1)

      32,156        5,226,958  

SS&C Technologies Holdings, Inc.

      4,292        259,752  

StoneCo Ltd. - Class A(1)

      15,486        819,055  

Switch, Inc. - Class A

      8,068        125,941  

Synopsys, Inc.(1)

      12,128        2,595,149  

Teradata Corp.(1)

      7,242        164,393  

Teradyne, Inc.

      14,263        1,133,338  

Texas Instruments, Inc.

      630,673        90,053,798  

Trade Desk, Inc. - Class A(1)

      65,713        34,090,590  

Twilio, Inc. - Class A(1)

      9,905        2,447,426  

Tyler Technologies, Inc.(1)

      3,452        1,203,229  

Ubiquiti, Inc.

      582        96,996  

Universal Display Corp.

      3,752        678,136  

VeriSign, Inc.(1)

      5,331        1,092,055  

Visa, Inc. - Class A

      2,441,899        488,306,543  

VMware, Inc. - Class A(1)

      6,905        992,041  

Western Union Co.

      7,233        155,003  

WEX, Inc.(1)

      340        47,250  

Workday, Inc. - Class A(1)

      1,176,850        253,175,740  

Xilinx, Inc.

      1,484,577        154,752,306  

Zebra Technologies Corp. - Class A(1)

      4,218        1,064,876  

Zendesk, Inc.(1)

      10,016        1,030,847  

Zoom Video Communications, Inc. - Class A(1)

      14,576        6,852,323  

Zscaler, Inc.(1)

      6,087        856,380  
     

 

 

  

Total Information Technology

 

      4,906,669,158  
     

 

 

  

Materials – 3.69%

      

Air Products & Chemicals, Inc.

      2,424        722,013  

Amcor Plc

      22,001        243,111  

Avery Dennison Corp.

      414,077        52,935,604  

Ball Corp.

      2,002,192        166,422,199  

Berry Global Group, Inc.(1)

      4,169        201,446  

Crown Holdings, Inc.(1)

      1,220        93,769  

Ecolab, Inc.

      636,253        127,148,799  

FMC Corp.

      2,332        246,982  

Graphic Packaging Holding Co.

      5,537        78,016  

Linde Plc

      615,977        146,682,603  

NewMarket Corp.

      499        170,818  

Royal Gold, Inc.

      4,063        488,251  

RPM International, Inc.

      9,321        772,152  

Scotts Miracle-Gro Co.

      3,287        502,615  

Sherwin-Williams Co.

      7,158        4,987,265  

Vulcan Materials Co.

      210,704        28,558,820  

WR Grace & Co.

      1,838        74,053  
     

 

 

  

Total Materials

 

      530,328,516  
     

 

 

  

Real Estate – 2.21%

      

American Tower Corp.

      38,383        9,278,323  

Americold Realty Trust

      1,812        64,779  

Brookfield Property REIT, Inc. - Class A

      3,999        48,948  

CoreSite Realty Corp.

      2,266        269,382  

Crown Castle International Corp.

      231,740        38,584,710  

Equinix, Inc.

      216,597        164,641,878  

Equity LifeStyle Properties, Inc.

      6,251        383,186  

Extra Space Storage, Inc.

      7,834        838,160  

Iron Mountain, Inc.

      14,318        383,579  

Prologis, Inc.

      993,242        99,940,010  

Public Storage

      8,609        1,917,396  

SBA Communications Corp. - Class A

      1,265        402,877  

Simon Property Group, Inc.

      20,713        1,339,717  
     

 

 

  

Total Real Estate

 

      318,092,945  
     

 

 

  

Utilities – 0.00%(3)

      

NRG Energy, Inc.

      7,713        237,097  
     

 

 

  

Total Utilities

 

      237,097  
     

 

 

  

Total Common Stocks (Cost: $10,019,804,083)

 

      14,254,153,513  
     

 

 

  

SHORT-TERM INVESTMENTS – 0.84%

      

Money Market Funds – 0.36%

      

Goldman Sachs Financial Square Government Fund - Class I, 0.00%(4)

      51,750,753        51,750,753  
     

 

 

  

Total Money Market Funds (Cost: $51,750,753)

         51,750,753  
     

 

 

  
     Principal
Amount		      Value  

Time Deposits – 0.48%

      

Bank of Montreal, London, 0.01% due 10/01/2020

    $ 42,444,683        42,444,683  

BBVA, Madrid, 0.01% due 10/01/2020

      8,506,496        8,506,496  

JP Morgan, New York, 0.01% due 10/01/2020

      18,079,630        18,079,630  
     

 

 

  

Total Time Deposits (Cost: $69,030,809)

         69,030,809  
     

 

 

  

Total Short-Term Investments (Cost: $120,781,562)

 

      120,781,562  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 99.98%

(Cost: $10,140,585,645)

         14,374,935,075  
     

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES – 0.02%

         2,771,151  
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 14,377,706,226  
     

 

 

  

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

REIT Real Estate Investment Trust

 

(1)

Non-income producing security.

(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 the security totals $73,023,130, which represents 0.51% of total net assets.

(3)

Amount calculated is less than 0.005%.

(4)

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

September 30, 2020 (Unaudited)

 

     Shares      Value  

COMMON STOCKS – 96.82%

      

Communication Services – 6.12%

      

Activision Blizzard, Inc.

      16,670      $ 1,349,437  

Alphabet, Inc. - Class A(1)

      2,418        3,543,821  

Alphabet, Inc. - Class C(1)

      115,940        170,385,424  

Altice USA, Inc. - Class A(1)

      1,688,882        43,910,932  

AT&T, Inc.

      1,270,103        36,210,637  

CenturyLink, Inc.

      480,992        4,853,209  

Charter Communications, Inc. - Class A(1)

      519        324,032  

Comcast Corp. - Class A

      6,083,529        281,424,052  

Discovery, Inc. - Class A(1)

      5,577        121,411  

Discovery, Inc. - Class C(1)

      11,638        228,105  

DISH Network Corp. - Class A(1)

      8,782        254,941  

Electronic Arts, Inc.(1)

      371,210        48,409,496  

Facebook, Inc. - Class A(1)

      191,011        50,025,781  

Fox Corp. - Class A

      219,393        6,105,707  

Fox Corp. - Class B

      859,697        24,045,725  

GCI Liberty, Inc. - Class A(1)

      85,473        7,005,367  

Interpublic Group of Companies, Inc.

      13,886        231,480  

John Wiley & Sons, Inc. - Class A

      1,542        48,897  

Liberty Broadband Corp. - Class A(1)

      884        125,360  

Liberty Broadband Corp. - Class C(1)

      3,830        547,192  

Liberty Media Corp.-Liberty Formula One - Class A(1)

      893        29,924  

Liberty Media Corp.-Liberty Formula One - Class C(1)

      7,083        256,900  

Liberty Media Corp.-Liberty SiriusXM - Class A(1)

      2,621        86,939  

Liberty Media Corp.-Liberty SiriusXM - Class C(1)

      5,481        181,311  

Lions Gate Entertainment Corp. - Class A(1)

      2,180        20,666  

Lions Gate Entertainment Corp. - Class B(1)

      4,090        35,665  

Madison Square Garden Sports Corp. - Class A(1)

      670        100,822  

Madison Square Garden Entertainment Corp.(1)

      730        49,998  

New York Times Co. - Class A

      5,818        248,952  

News Corp. - Class A

      1,744,632        24,459,741  

News Corp. - Class B

      4,334        60,589  

Nexstar Media Group, Inc. - Class A

      519        46,674  

Omnicom Group, Inc.

      7,731        382,685  

Pinterest, Inc. - Class A(1)

      2,442        101,367  

Sirius XM Holdings, Inc.

      16,772        89,898  

Take-Two Interactive Software, Inc.(1)

      301        49,731  

TEGNA, Inc.

      274,622        3,226,809  

Telephone & Data Systems, Inc.

      3,595        66,292  

T-Mobile US, Inc.(1)

      19,852        2,270,275  

TripAdvisor, Inc.

      3,592        70,367  

Twitter, Inc.(1)

      27,776        1,236,032  

United States Cellular Corp.(1)

      651        19,224  

Verizon Communications, Inc.

      913,973        54,372,254  

ViacomCBS, Inc. - Class A

      401        12,146  

ViacomCBS, Inc. - Class B

      274,634        7,692,498  

Walt Disney Co.

      204,218        25,339,369  

Zillow Group, Inc. - Class A(1)

      1,830        185,818  

Zillow Group, Inc. - Class C(1)

      4,520        459,187  

Zynga, Inc. - Class A(1)

      5,612        51,181  
     

 

 

  

Total Communication Services

 

      800,354,320  
     

 

 

  

Consumer Discretionary – 11.83%

      

Aaron’s, Inc.

      1,126,326        63,806,368  

Advance Auto Parts, Inc.

      312,360        47,947,260  

Aptiv Plc

      9,578        878,111  

Aramark

      2,109,850        55,805,533  

AutoNation, Inc.(1)

      1,771,491        93,765,019  

AutoZone, Inc.(1)

      351        413,352  

Best Buy Co., Inc.

      54,542        6,069,979  

Booking Holdings, Inc.(1)

      66,361        113,522,436  

BorgWarner, Inc.

      151,209        5,857,837  

Bright Horizons Family Solutions, Inc.(1)

      631        95,937  

Brunswick Corp.

      2,819        166,067  

Burlington Stores, Inc.(1)

      246        50,698  

Capri Holdings Ltd.(1)

      5,071        91,278  

CarMax, Inc.(1)

      5,482        503,851  

Carnival Corp.

      16,822        255,358  

Carter’s, Inc.

      1,531        132,554  

Choice Hotels International, Inc.

      1,243        106,848  

Cie Generale des Etablissements Michelin SCA

      433,489        46,533,995  

Columbia Sportswear Co.

      1,029        89,502  

Compass Group Plc

      833,581        12,521,864  

Compass Group Plc - ADR

      4,014,946        60,585,535  

Darden Restaurants, Inc.

      4,649        468,340  

Dick’s Sporting Goods, Inc.

      94,334        5,460,052  

Dollar General Corp.

      89,725        18,808,155  

Dollar Tree, Inc.(1)

      4,380        400,069  

DR Horton, Inc.

      12,002        907,711  

Dunkin’ Brands Group, Inc.

      434        35,549  

eBay, Inc.

      157,952        8,229,299  

Expedia Group, Inc.

      4,292        393,533  

Extended Stay America, Inc.

      6,323        75,560  

Foot Locker, Inc.

      129,314        4,271,241  

Ford Motor Co.

      141,056        939,433  

Frontdoor, Inc.(1)

      2,545        99,026  

Gap, Inc.

      6,523        111,087  

Garmin Ltd.

      5,444        516,418  

General Motors Co.

      461,893        13,667,414  

Gentex Corp.

      8,766        225,725  

Genuine Parts Co.

      5,113        486,604  

Graham Holdings Co. - Class B

      148        59,808  

Grand Canyon Education, Inc.(1)

      1,667        133,260  

GrubHub, Inc.(1)

      2,971        214,892  

H&R Block, Inc.

      2,048        33,362  

Hanesbrands, Inc.

      458,974        7,228,841  

Harley-Davidson, Inc.

      179,572        4,406,697  

Hasbro, Inc.

      4,546        376,045  

Hilton Worldwide Holdings, Inc.

      9,882        843,132  

Home Depot, Inc.

      286,406        79,537,810  

Hyatt Hotels Corp. - Class A

      1,249        66,659  

Kohl’s Corp.

      504,774        9,353,462  

L Brands, Inc.

      8,227        261,701  

Las Vegas Sands Corp.

      1,538,778        71,799,381  

La-Z-Boy, Inc.

      116,724        3,691,980  

Lear Corp.

      41,379        4,512,380  

Leggett & Platt, Inc.

      4,718        194,240  

Lennar Corp. - Class A

      870,113        71,070,830  

Lennar Corp. - Class B

      561        36,835  

LKQ Corp.(1)

      10,824        300,150  

Lowe’s Companies, Inc.

      317,273        52,622,900  

Magna International, Inc.

      36,000        1,647,000  

Marriott International, Inc. - Class A

      1,016,953        94,149,509  

Marriott Vacations Worldwide Corp.

      594,277        53,966,294  

Mattel, Inc.(1)

      1,037,849        12,142,833  

McDonald’s Corp.

      640,010        140,475,795  

MGM Resorts International

      2,520,122        54,812,654  

Mohawk Industries, Inc.(1)

      2,076        202,597  

Newell Brands, Inc.

      355,066        6,092,933  

NIKE, Inc. - Class B

      921,062        115,630,124  

Nordstrom, Inc.

      93,300        1,112,136  

Norwegian Cruise Line Holdings Ltd.(1)

      10,064        172,195  

NVR, Inc.(1)

      107        436,894  

Ollie’s Bargain Outlet Holdings, Inc.(1)

      218        19,042  

Peloton Interactive, Inc. - Class A(1)

      2,645        262,490  

Penske Automotive Group, Inc.

      92,211        4,394,776  

Planet Fitness, Inc. - Class A(1)

      1,237        76,224  

Polaris, Inc.

      1,862        175,661  

PulteGroup, Inc.

      167,535        7,755,195  

PVH Corp.

      50,957        3,039,075  

Qurate Retail, Inc.

      13,606        97,691  

Ralph Lauren Corp. - Class A

      54,498        3,704,229  

Ross Stores, Inc.

      2,386        222,662  

Royal Caribbean Cruises Ltd.

      6,391        413,689  

SeaWorld Entertainment, Inc.(1)

      2,513,506        49,566,338  

Service Corp. International

      6,215        262,149  

ServiceMaster Global Holdings, Inc.(1)

      4,727        188,513  

Six Flags Entertainment Corp.

      2,728        55,378  

Skechers USA, Inc. - Class A(1)

      4,779        144,421  

Sleep Number Corp.(1)

      55,824        2,730,352  

Starbucks Corp.

      17,849        1,533,586  

Tapestry, Inc.

      9,882        154,456  

Target Corp.

      72,910        11,477,492  

Tempur Sealy International, Inc.(1)

      437        38,976  

Thor Industries, Inc.

      1,971        187,757  

Tiffany & Co.

      4,329        501,515  

TJX Companies, Inc.

      1,691,070        94,108,046  

Toll Brothers, Inc.

      4,137        201,306  

Ulta Beauty, Inc.(1)

      135        30,237  

Under Armour, Inc. - Class A(1)

      6,728        75,555  

Under Armour, Inc. - Class C(1)

      6,773        66,646  

Vail Resorts, Inc.

      1,313        280,943  

VF Corp.

      11,020        774,155  

Vroom, Inc.(1)

      213        11,029  

Wayfair, Inc. - Class A(1)

      207        60,239  

Whirlpool Corp.

      57,205        10,519,427  

Williams-Sonoma, Inc.

      2,298        207,831  

Wyndham Destinations, Inc.

      3,002        92,342  

Wyndham Hotels & Resorts, Inc.

      3,277        165,489  

Wynn Resorts Ltd.

      2,634        189,148  

Yum China Holdings, Inc.

      13,441        711,701  

Yum! Brands, Inc.

      10,146        926,330  
     

 

 

  

Total Consumer Discretionary

 

      1,547,302,018  
     

 

 

  

Consumer Staples – 8.21%

      

Albertsons Companies, Inc. - Class A(1)

      1,240        17,174  

Altria Group, Inc.

      2,071,879        80,057,405  

Archer-Daniels-Midland Co.

      19,993        929,475  

Beyond Meat, Inc.(1)

      372        61,774  

Brown-Forman Corp. - Class A

      239        16,415  

Brown-Forman Corp. - Class B

      956        72,006  

Bunge Ltd.

      230,518        10,534,673  

Campbell Soup Co.

      3,161        152,898  

Casey’s General Stores, Inc.

      1,316        233,787  

Clorox Co.

      1,313        275,953  

Coca-Cola Co.

      2,516,281        124,228,793  

Coca-Cola European Partners Plc

      1,422,288        55,198,997  

Colgate-Palmolive Co.

      1,274,587        98,334,387  

Conagra Brands, Inc.

      1,028,733        36,736,055  

Constellation Brands, Inc. - Class A

      5,767        1,092,904  

Costco Wholesale Corp.

      134,360        47,697,800  

Coty, Inc. - Class A

      10,297        27,802  

Diageo Plc - ADR

      511,389        70,397,810  

Edgewell Personal Care Co.(1)

      88,016        2,453,886  

Energizer Holdings, Inc.

      456        17,848  

Estee Lauder Companies, Inc. - Class A

      841        183,548  

Flowers Foods, Inc.

      6,964        169,434  

General Mills, Inc.

      21,894        1,350,422  

Grocery Outlet Holding Corp.(1)

      1,158        45,533  

Hain Celestial Group, Inc.(1)

      2,907        99,710  

Herbalife Nutrition Ltd.(1)

      2,865        133,652  

Hershey Co.

      1,203        172,438  

Hormel Foods Corp.

      9,977        487,776  

Ingredion, Inc.

      70,709        5,351,257  

J.M. Smucker Co.

      87,848        10,148,201  

Kellogg Co.

      5,932        383,148  

Keurig Dr Pepper, Inc.

      13,936        384,634  

Kimberly-Clark Corp.

      205,172        30,295,698  

Kraft Heinz Co.

      320,185        9,589,541  

Kroger Co.

      341,891        11,593,524  

Lamb Weston Holdings, Inc.

      4,021        266,472  

McCormick & Co., Inc.

      1,955        379,465  

Molson Coors Brewing Co. - Class B

      128,449        4,310,748  

Mondelez International, Inc. - Class A

      79,509        4,567,792  

Nu Skin Enterprises, Inc. - Class A

      1,833        91,815  

PepsiCo, Inc.

      576,112        79,849,123  

Philip Morris International, Inc.

      1,809,970        135,729,650  

Pilgrim’s Pride Corp.(1)

      139,883        2,093,349  

Post Holdings, Inc.(1)

      2,277        195,822  

Procter & Gamble Co.

      823,080        114,399,889  

Reynolds Consumer Products, Inc.

      1,202        36,805  

Seaboard Corp.

      9        25,530  

Spectrum Brands Holdings, Inc.

      1,515        86,597  

Sprouts Farmers Market, Inc.(1)

      129,237        2,704,930  

Swedish Match AB

      297,803        24,350,380  

Swedish Match AB - ADR

      765,752        31,357,544  

Sysco Corp.

      4,994        310,727  

TreeHouse Foods, Inc.(1)

      1,975        80,047  

Tyson Foods, Inc. - Class A

      729,423        43,386,080  

US Foods Holding Corp.(1)

      7,851        174,449  

Walgreens Boots Alliance, Inc.

      293,883        10,556,277  

Walmart, Inc.

      137,344        19,215,799  
     

 

 

  

Total Consumer Staples

 

      1,073,095,648  
     

 

 

  

Energy – 2.75%

      

Antero Midstream Corp.

      10,356        55,612  

Apache Corp.

      13,494        127,788  

Baker Hughes a GE Co. - Class A

      23,464        311,837  

Cabot Oil & Gas Corp.

      14,011        243,231  

Chevron Corp.

      542,004        39,024,288  

Cimarex Energy Co.

      3,589        87,320  

Concho Resources, Inc.

      6,975        307,737  

ConocoPhillips

      178,671        5,867,556  

Continental Resources, Inc.

      2,672        32,812  

Devon Energy Corp.

      13,644        129,072  

Diamondback Energy, Inc.

      5,630        169,576  

Enbridge, Inc.

      693,720        20,256,624  

EOG Resources, Inc.

      1,318,959        47,403,387  

EQT Corp.

      9,110        117,792  

Equitrans Midstream Corp.

      13,240        112,010  

Exxon Mobil Corp.

      601,195        20,639,024  

Halliburton Co.

      886,295        10,679,855  

Helmerich & Payne, Inc.

      3,733        54,688  

Hess Corp.

      1,103,388        45,161,671  

HollyFrontier Corp.

      128,019        2,523,255  

Kinder Morgan, Inc.

      429,134        5,291,222  

Marathon Oil Corp.

      28,159        115,170  

Marathon Petroleum Corp.

      188,633        5,534,492  

Murphy Oil Corp.

      5,195        46,339  

National Oilwell Varco, Inc.

      13,866        125,626  

Noble Energy, Inc.

      17,016        145,487  

Occidental Petroleum Corp.

      318,040        3,183,580  

ONEOK, Inc.

      15,682        407,418  

Parsley Energy, Inc. - Class A

      10,755        100,667  

Phillips 66

      766,958        39,759,103  

Pioneer Natural Resources Co.

      42,644        3,666,958  

Schlumberger Ltd.

      121,833        1,895,722  

Targa Resources Corp.

      724,342        10,162,518  

TC Energy Corp.

      568,596        23,892,404  

TOTAL SA - ADR

      97,869        3,356,907  

TOTAL SA

      1,096,226        37,647,207  

Valero Energy Corp.

      681,260        29,512,183  

Williams Companies, Inc.

      44,005        864,698  

WPX Energy, Inc.(1)

      14,368        70,403  
     

 

 

  

Total Energy

 

      359,083,239  
     

 

 

  

Financials – 16.99%

      

Affiliated Managers Group, Inc.

      36,397        2,488,827  

Aflac, Inc.

      25,826        938,775  

AGNC Investment Corp.

      20,294        282,290  

Alleghany Corp.

      451        234,723  

Allstate Corp.

      102,451        9,644,737  

Ally Financial, Inc.

      13,353        334,760  

American Express Co.

      1,444,919        144,853,130  

American Financial Group, Inc.

      55,445        3,713,706  

American International Group, Inc.

      3,083,428        84,886,773  

American National Group, Inc.

      317        21,407  

Ameriprise Financial, Inc.

      73,221        11,284,088  

Annaly Capital Management, Inc.

      561,101        3,995,039  

Apollo Global Management, Inc. - Class A

      3,073        137,517  

Arch Capital Group Ltd.(1)

      2,624,152        76,756,446  

Arthur J. Gallagher & Co.

      6,728        710,342  

Associated Banc-Corp.

      5,416        68,350  

Assurant, Inc.

      2,130        258,390  

Assured Guaranty Ltd.

      101,243        2,174,700  

Athene Holding Ltd. - Class A(1)

      4,128        140,682  

Axis Capital Holdings Ltd.

      397,202        17,492,776  

Bank of America Corp.

      1,465,552        35,305,148  

Bank of Hawaii Corp.

      1,409        71,183  

Bank of New York Mellon Corp.

      1,181,015        40,556,055  

Bank OZK

      4,363        93,019  

Berkshire Hathaway, Inc. - Class B(1)

      841,937        179,282,065  

BlackRock, Inc. - Class A

      5,313        2,994,141  

Blackstone Group, Inc.

      271,134        14,153,195  

BOK Financial Corp.

      1,121        57,743  

Brighthouse Financial, Inc.(1)

      3,513        94,535  

Brown & Brown, Inc.

      7,977        361,119  

Capital One Financial Corp.

      142,366        10,230,421  

Carlyle Group, Inc.

      3,770        93,006  

CBOE Global Markets, Inc.

      3,060        268,484  

Charles Schwab Corp.

      195,690        7,089,849  

Chubb Ltd.

      1,279,250        148,546,510  

Cincinnati Financial Corp.

      5,352        417,295  

Citigroup, Inc.

      2,095,088        90,319,244  

Citizens Financial Group, Inc.

      389,563        9,848,153  

CME Group, Inc. - Class A

      12,811        2,143,408  

CNA Financial Corp.

      139,339        4,178,777  

Comerica, Inc.

      4,972        190,179  

Commerce Bancshares, Inc.

      3,594        202,306  

Credit Acceptance Corp.(1)

      337        114,122  

Cullen/Frost Bankers, Inc.

      2,001        127,964  

Discover Financial Services

      126,535        7,311,192  

E*TRADE Financial Corp.

      1,712,685        85,719,884  

East West Bancorp, Inc.

      5,038        164,944  

Eaton Vance Corp.

      3,957        150,960  

Equitable Holdings, Inc.

      776,435        14,162,174  

Erie Indemnity Co. - Class A

      384        80,748  

Essent Group Ltd.

      99,290        3,674,723  

Evercore, Inc. - Class A

      1,411        92,364  

Everest Re Group Ltd.

      33,379        6,593,688  

Fidelity National Financial, Inc.

      1,365,571        42,756,028  

Fifth Third Bancorp

      1,890,226        40,299,618  

First American Financial Corp.

      3,877        197,378  

First Citizens BancShares, Inc. - Class A

      241        76,826  

First Hawaiian, Inc.

      4,631        67,011  

First Horizon National Corp.

      19,532        184,187  

First Republic Bank

      6,088        663,957  

FNB Corp.

      512,476        3,474,587  

Franklin Resources, Inc.

      362,118        7,369,101  

Globe Life, Inc.

      3,749        299,545  

GoHealth, Inc. - Class A(1)

      1,565        20,384  

Goldman Sachs Group, Inc.

      712,673        143,225,893  

Hanover Insurance Group, Inc.

      1,353        126,073  

Hartford Financial Services Group, Inc.

      220,411        8,124,349  

Huntington Bancshares, Inc.

      36,102        331,055  

Interactive Brokers Group, Inc. - Class A

      2,577        124,546  

Intercontinental Exchange, Inc.

      12,630        1,263,631  

Invesco Ltd.

      13,475        153,750  

Jefferies Financial Group, Inc.

      3,386,463        60,956,334  

JPMorgan Chase & Co.

      858,241        82,622,861  

Kemper Corp.

      2,192        146,491  

KeyCorp

      631,138        7,529,476  

KKR & Co., Inc. - Class Miscella

      19,061        654,555  

Lazard Ltd. - Class A

      3,604        119,112  

Lemonade, Inc.(1)

      514        25,556  

LendingTree, Inc.(1)

      36        11,048  

Lincoln National Corp.

      147,565        4,623,211  

Loews Corp.

      803,053        27,906,092  

LPL Financial Holdings, Inc.

      2,584        198,115  

M&T Bank Corp.

      4,577        421,496  

Markel Corp.(1)

      493        480,034  

Marsh & McLennan Companies, Inc.

      789,875        90,598,663  

Mercury General Corp.

      976        40,377  

MetLife, Inc.

      1,193,134        44,348,791  

MGIC Investment Corp.

      12,068        106,922  

Morgan Stanley

      1,064,058        51,447,204  

Morningstar, Inc.

      124        19,916  

Nasdaq, Inc.

      4,090        501,884  

Navient Corp.

      2,506,803        21,182,485  

New Residential Investment Corp.

      14,806        117,708  

New York Community Bancorp, Inc.

      4,008,904        33,153,636  

Northern Trust Corp.

      431,834        33,670,097  

Old Republic International Corp.

      11,056        162,965  

OneMain Holdings, Inc. - Class A

      2,322        72,563  

PacWest Bancorp

      4,170        71,224  

People’s United Financial, Inc.

      15,114        155,825  

Pinnacle Financial Partners, Inc.

      2,640        93,958  

PNC Financial Services Group, Inc.

      681,371        74,889,487  

Popular, Inc.

      3,102        112,510  

Primerica, Inc.

      539        60,982  

Principal Financial Group, Inc.

      9,709        390,981  

Progressive Corp.

      15,020        1,421,943  

Prospect Capital Corp.

      522,995        2,630,665  

Prosperity Bancshares, Inc.

      3,190        165,338  

Prudential Financial, Inc.

      93,825        5,959,764  

Radian Group, Inc.

      223,750        3,268,988  

Raymond James Financial, Inc.

      179,435        13,055,691  

Regions Financial Corp.

      670,018        7,725,308  

Reinsurance Group of America, Inc. - Class A

      2,421        230,455  

RenaissanceRe Holdings Ltd.

      1,218        206,743  

Rocket Companies, Inc. - Class A(1)

      2,177        43,388  

S&P Global, Inc.

      3,561        1,284,097  

Santander Consumer USA Holdings, Inc.

      2,697        49,058  

SEI Investments Co.

      4,121        209,017  

Signature Bank

      1,859        154,278  

SLM Corp.

      4,029,722        32,600,451  

Starwood Property Trust, Inc.

      292,848        4,419,076  

State Street Corp.

      598,909        35,533,271  

Sterling Bancorp

      6,907        72,662  

SVB Financial Group(1)

      1,837        442,019  

Synchrony Financial

      2,359,219        61,740,761  

Synovus Financial Corp.

      5,225        110,613  

T Rowe Price Group, Inc.

      6,115        784,065  

TCF Financial Corp.

      5,391        125,934  

TD Ameritrade Holding Corp.

      9,280        363,312  

TFS Financial Corp.

      2,082        30,585  

Tradeweb Markets, Inc. - Class A

      440        25,520  

Travelers Companies, Inc.

      9,101        984,637  

Truist Financial Corp.

      48,612        1,849,687  

Umpqua Holdings Corp.

      7,860        83,473  

Unum Group

      7,265        122,270  

US Bancorp

      1,428,165        51,199,715  

Virtu Financial, Inc. - Class A

      239        5,499  

Voya Financial, Inc.

      72,047        3,453,213  

Webster Financial Corp.

      3,199        84,486  

Wells Fargo & Co.

      4,487,497        105,501,054  

Western Alliance Bancorp

      130,633        4,130,615  

White Mountains Insurance Group Ltd.

      108        84,132  

Willis Towers Watson Plc

      313,342        65,432,076  

Wintrust Financial Corp.

      2,040        81,702  

WR Berkley Corp.

      4,976        304,282  

Zions Bancorp N.A.

      201,217        5,879,561  
     

 

 

  

Total Financials

 

      2,222,605,938  
     

 

 

  

Healthcare – 13.13%

      

Abbott Laboratories

      38,447        4,184,187  

AbbVie, Inc.

      931,312        81,573,618  

Acadia Healthcare Co., Inc.(1)

      3,140        92,567  

Acceleron Pharma, Inc.(1)

      98        11,028  

Agilent Technologies, Inc.

      10,223        1,031,910  

Agios Pharmaceuticals, Inc.(1)

      1,984        69,440  

Alexion Pharmaceuticals, Inc.(1)

      116,843        13,370,344  

Alkermes Plc(1)

      5,640        93,455  

AmerisourceBergen Corp. - Class A

      2,709        262,556  

Amgen, Inc.

      247,320        62,858,851  

Anthem, Inc.

      337,754        90,717,347  

Baxter International, Inc.

      683,164        54,940,049  

Becton Dickinson & Co.

      127,752        29,725,335  

Berkeley Lights, Inc.(1)

      202        15,425  

Biogen, Inc.(1)

      24,077        6,830,163  

BioMarin Pharmaceutical, Inc.(1)

      600        45,648  

Bio-Rad Laboratories, Inc. - Class A(1)

      755        389,172  

Bio-Techne Corp.

      81        20,066  

Bluebird Bio, Inc.(1)

      1,275        68,786  

Boston Scientific Corp.(1)

      51,580        1,970,872  

Bristol Myers Squibb Co.

      425,974        25,681,972  

Bruker Corp.

      2,122        84,349  

Cardinal Health, Inc.

      106,452        4,997,921  

Catalent, Inc.(1)

      5,895        504,966  

Centene Corp.(1)

      14,678        856,168  

Change Healthcare, Inc.(1)

      2,295        33,300  

Charles River Laboratories International, Inc.(1)

      199        45,064  

Cigna Corp.

      9,576        1,622,270  

Cooper Companies, Inc.

      1,566        527,930  

CVS Health Corp.

      1,579,647        92,251,385  

Danaher Corp.

      367,157        79,059,917  

DaVita, Inc.(1)

      73,270        6,275,576  

Dentsply Sirona, Inc.

      7,814        341,706  

Elanco Animal Health, Inc.(1)

      14,288        399,064  

Encompass Health Corp.

      1,908        123,982  

Envista Holdings Corp.(1)

      1,707,763        42,147,591  

Exact Sciences Corp.(1)

      696        70,957  

Exelixis, Inc.(1)

      6,916        169,096  

Fresenius Medical Care AG & Co. KGaA

      965,919        81,655,646  

Gilead Sciences, Inc.

      421,195        26,615,312  

GlaxoSmithKline Plc - ADR

      136,841        5,150,695  

GlaxoSmithKline Plc

      460,587        8,634,857  

Globus Medical, Inc. - Class A(1)

      2,648        131,129  

Haemonetics Corp.(1)

      119        10,383  

HCA Healthcare, Inc.

      72,060        8,984,441  

Henry Schein, Inc.(1)

      5,095        299,484  

Hill-Rom Holdings, Inc.

      2,104        175,705  

Hologic, Inc.(1)

      487,979        32,435,964  

Horizon Therapeutics Plc(1)

      486        37,752  

Humana, Inc.

      95,634        39,581,956  

ICU Medical, Inc.(1)

      508        92,842  

Integra LifeSciences Holdings Corp.(1)

      2,550        120,411  

Ionis Pharmaceuticals, Inc.(1)

      2,372        112,551  

IQVIA Holdings, Inc.(1)

      4,222        665,514  

Jazz Pharmaceuticals Plc(1)

      76,503        10,908,563  

Johnson & Johnson

      1,178,635        175,475,179  

Laboratory Corp. of America Holdings(1)

      3,340        628,822  

LivaNova Plc(1)

      495,617        22,406,845  

McKesson Corp.

      41,382        6,163,021  

Medtronic Plc

      2,324,543        241,566,509  

Merck & Co., Inc.

      1,334,697        110,713,116  

Mettler-Toledo International, Inc.(1)

      51        49,253  

Molina Healthcare, Inc.(1)

      694        127,030  

Mylan NV(1)

      18,430        273,317  

Nektar Therapeutics - Class A(1)

      6,087        100,983  

Oak Street Health, Inc.(1)

      348        18,597  

PerkinElmer, Inc.

      3,207        402,511  

Perrigo Co. Plc

      4,882        224,133  

Pfizer, Inc.

      1,678,547        61,602,675  

PPD, Inc.(1)

      725        26,818  

PRA Health Sciences, Inc.(1)

      336        34,084  

Premier, Inc. - Class A

      2,199        72,193  

QIAGEN NV(1)

      8,038        420,066  

Quest Diagnostics, Inc.

      4,779        547,148  

Reata Pharmaceuticals, Inc. - Class A(1)

      89        8,670  

Regeneron Pharmaceuticals, Inc.(1)

      7,572        4,238,654  

Royalty Pharma Plc - Class A

      1,894        79,681  

Sage Therapeutics, Inc.(1)

      1,693        103,476  

Sanofi - ADR

      1,450,669        72,780,064  

Sanofi SA

      22,321        2,236,829  

Select Medical Holdings Corp.(1)

      99,900        2,079,918  

STERIS Plc

      2,845        501,261  

Stryker Corp.

      8,444        1,759,476  

Syneos Health, Inc. - Class A(1)

      1,996        106,107  

Tandem Diabetes Care, Inc.(1)

      228        25,878  

Teladoc Health, Inc.(1)

      253        55,468  

Teleflex, Inc.

      616        209,699  

Thermo Fisher Scientific, Inc.

      5,876        2,594,372  

United Therapeutics Corp.(1)

      1,551        156,651  

UnitedHealth Group, Inc.

      545,520        170,076,770  

Universal Health Services, Inc. - Class B

      56,113        6,005,213  

Varian Medical Systems, Inc.(1)

      2,835        487,620  

Waters Corp.(1)

      2,025        396,252  

Zimmer Biomet Holdings, Inc.

      96,015        13,071,482  

Zoetis, Inc. - Class A

      1,617        267,403  
     

 

 

  

Total Healthcare

 

      1,717,170,482  
     

 

 

  

Industrials – 16.43%

      

3M Co.

      6,908        1,106,523  

Acuity Brands, Inc.

      1,405        143,802  

ADT, Inc.

      3,999        32,672  

AECOM(1)

      1,278,783        53,504,281  

AGCO Corp.

      84,953        6,309,459  

Air Lease Corp. - Class A

      2,445,123        71,935,519  

Airbus SE

      116,674        8,461,855  

Airbus SE - ADR

      2,767,911        50,182,226  

Alaska Air Group, Inc.

      166,098        6,084,170  

Allegion Plc

      1,153        114,043  

Allison Transmission Holdings, Inc.

      92,691        3,257,162  

AMERCO

      319        113,558  

American Airlines Group, Inc.

      17,986        221,048  

AMETEK, Inc.

      8,285        823,529  

AO Smith Corp.

      4,742        250,378  

Armstrong World Industries, Inc.

      1,073        73,833  

Atkore International Group, Inc.(1)

      113,180        2,572,581  

AZEK Co., Inc. - Class A(1)

      1,304        45,392  

Boeing Co.

      186,787        30,868,420  

BWX Technologies, Inc.

      787,428        44,340,071  

Canadian National Railway Co.

      795,715        84,711,819  

Carlisle Companies, Inc.

      1,931        236,296  

Carrier Global Corp.

      20,268        618,985  

Caterpillar, Inc.

      68,447        10,208,870  

CH Robinson Worldwide, Inc.

      3,994        408,147  

Cintas Corp.

      360        119,819  

Clean Harbors, Inc.(1)

      1,839        103,039  

Colfax Corp.(1)

      3,540        111,014  

Copa Holdings SA - Class A

      1,120        56,381  

CoreLogic, Inc.

      2,685        181,694  

Crane Co.

      89,028        4,462,974  

CSX Corp.

      27,527        2,138,022  

Cummins, Inc.

      53,712        11,341,826  

Curtiss-Wright Corp.

      54,179        5,052,734  

Deere & Co.

      653,861        144,915,213  

Delta Air Lines, Inc.

      168,152        5,142,088  

Donaldson Co., Inc.

      4,069        188,883  

Dover Corp.

      5,254        569,218  

Dun & Bradstreet Holdings, Inc.(1)

      1,645        42,211  

Eaton Corp. Plc

      14,417        1,470,966  

Emerson Electric Co.

      954,486        62,585,647  

Equifax, Inc.

      1,116        175,100  

Expeditors International of Washington, Inc.

      2,296        207,834  

Fastenal Co.

      3,869        174,453  

FedEx Corp.

      631,267        158,776,276  

Flowserve Corp.

      83,269        2,272,411  

Fortive Corp.

      10,636        810,570  

Fortune Brands Home & Security, Inc.

      4,922        425,851  

FTI Consulting, Inc.(1)

      1,305        138,291  

Gates Industrial Corp. Plc(1)

      1,963        21,829  

Generac Holdings, Inc.(1)

      192        37,179  

General Dynamics Corp.

      861,652        119,278,486  

General Electric Co.

      6,223,646        38,773,315  

Graco, Inc.

      2,951        181,044  

GrafTech International Ltd.

      2,442        16,703  

Greenbrier Companies, Inc.

      88,286        2,595,608  

HD Supply Holdings, Inc.(1)

      180,688        7,451,573  

HEICO Corp.

      313        32,759  

HEICO Corp. - Class A

      545        48,320  

Hexcel Corp.

      2,979        99,945  

Hillenbrand, Inc.

      94,708        2,685,919  

Honeywell International, Inc.

      496,359        81,705,655  

Howmet Aerospace, Inc.

      14,108        235,886  

Hubbell, Inc. - Class B

      1,931        264,238  

Huntington Ingalls Industries, Inc.

      35,680        5,021,960  

IAA, Inc.(1)

      3,656        190,368  

IDEX Corp.

      2,754        502,357  

IHS Markit Ltd.

      6,596        517,852  

Illinois Tool Works, Inc.

      6,332        1,223,406  

Ingersoll Rand, Inc.(1)

      12,386        440,942  

ITT, Inc.

      3,089        182,405  

Jacobs Engineering Group, Inc.

      522,742        48,494,775  

JB Hunt Transport Services, Inc.

      473,478        59,838,150  

JetBlue Airways Corp.(1)

      380,885        4,315,427  

Johnson Controls International Plc

      322,037        13,155,211  

Kansas City Southern

      3,390        613,014  

Kirby Corp.(1)

      2,129        77,006  

Knight-Swift Transportation Holdings, Inc. - Class A

      4,467        181,807  

L3Harris Technologies, Inc.

      190,148        32,294,736  

Landstar System, Inc.

      256        32,125  

Lennox International, Inc.

      1,236        336,946  

Lincoln Electric Holdings, Inc.

      1,170        107,687  

Lockheed Martin Corp.

      166,093        63,660,125  

Lyft, Inc. - Class A(1)

      8,888        244,864  

Macquarie Infrastructure Corp.

      2,624        70,559  

ManpowerGroup, Inc.

      2,069        151,720  

Masco Corp.

      9,583        528,311  

MasTec, Inc.(1)

      69,111        2,916,484  

Mercury Systems, Inc.(1)

      363        28,118  

Middleby Corp.(1)

      1,968        176,549  

Moog, Inc. - Class A

      49,588        3,150,326  

MSA Safety, Inc.

      1,012        135,780  

MSC Industrial Direct Co., Inc. - Class A

      1,596        100,995  

Nielsen Holdings Plc

      1,003,079        14,223,660  

Nordson Corp.

      376        72,124  

Norfolk Southern Corp.

      9,268        1,983,259  

Northrop Grumman Corp.

      267,047        84,250,658  

nVent Electric Plc

      126,749        2,242,190  

Old Dominion Freight Line, Inc.

      481        87,023  

Oshkosh Corp.

      74,987        5,511,544  

Otis Worldwide Corp.

      421,462        26,307,658  

Owens Corning

      1,099,977        75,689,417  

PACCAR, Inc.

      124,478        10,615,484  

Parker-Hannifin Corp.

      4,630        936,834  

Pentair Plc

      5,899        269,997  

Quanta Services, Inc.

      1,254,606        66,318,473  

Raytheon Technologies Corp.

      2,634,165        151,569,854  

Regal Beloit Corp.

      1,511        141,838  

Republic Services, Inc. - Class A

      7,624        711,700  

Robert Half International, Inc.

      3,990        211,231  

Rockwell Automation, Inc.

      2,131        470,269  

Rollins, Inc.

      662        35,874  

Roper Technologies, Inc.

      3,238        1,279,366  

Ryder System, Inc.

      1,872        79,073  

Schneider National, Inc. - Class B

      2,107        52,106  

Sensata Technologies Holding Plc(1)

      5,514        237,874  

Snap-on, Inc.

      120,874        17,784,192  

Southwest Airlines Co.

      21,366        801,225  

Spirit AeroSystems Holdings, Inc. - Class A

      3,746        70,837  

Stanley Black & Decker, Inc.

      451,623        73,253,251  

Stericycle, Inc.(1)

      297,647        18,769,620  

Teledyne Technologies, Inc.(1)

      1,311        406,685  

Textron, Inc.

      104,740        3,780,067  

Timken Co.

      2,405        130,399  

Toro Co.

      378        31,733  

Trane Technologies Plc

      8,635        1,046,994  

TransDigm Group, Inc.

      1,453        690,349  

TransUnion

      604        50,815  

Trinity Industries, Inc.

      138,127        2,693,476  

Uber Technologies, Inc.(1)

      11,569        422,037  

Union Pacific Corp.

      523,772        103,114,994  

United Airlines Holdings, Inc.(1)

      10,372        360,427  

United Parcel Service, Inc. - Class B

      892,170        148,662,287  

United Rentals, Inc.(1)

      42,090        7,344,705  

Univar Solutions, Inc.(1)

      243,484        4,110,010  

Valmont Industries, Inc.

      749        93,011  

Virgin Galactic Holdings, Inc.(1)

      301        5,788  

Wabtec Corp.

      787,419        48,725,488  

Waste Management, Inc.

      13,271        1,501,879  

Watsco, Inc.

      1,164        271,084  

Woodward, Inc.

      1,988        159,358  

WW Grainger, Inc.

      423        150,914  

XPO Logistics, Inc.(1)

      3,083        261,007  

Xylem, Inc.

      6,394        537,863  
     

 

 

  

Total Industrials

 

      2,148,733,619  
     

 

 

  

Information Technology – 10.53%

      

2U, Inc.(1)

      1,773        60,034  

Accenture Plc - Class A

      315,868        71,383,009  

Advanced Micro Devices, Inc.(1)

      2,923        239,657  

Akamai Technologies, Inc.(1)

      1,006        111,203  

Alliance Data Systems Corp.

      1,672        70,191  

Amdocs Ltd.

      73,473        4,218,085  

Amphenol Corp. - Class A

      4,202        454,950  

Analog Devices, Inc.

      11,668        1,362,122  

Apple, Inc.

      333,776        38,654,599  

Applied Materials, Inc.

      535,013        31,806,523  

Arista Networks, Inc.(1)

      373        77,185  

Arrow Electronics, Inc.(1)

      77,287        6,079,395  

Aspen Technology, Inc.(1)

      164        20,761  

Autodesk, Inc.(1)

      2,668        616,335  

Automatic Data Processing, Inc.

      344,340        48,031,987  

Avnet, Inc.

      3,503        90,517  

Broadcom, Inc.

      209,824        76,443,080  

CACI International, Inc. - Class A(1)

      744        158,591  

CDK Global, Inc.

      3,800        165,642  

Ceridian HCM Holding, Inc.(1)

      1,127        93,147  

Ciena Corp.(1)

      63,342        2,514,044  

Cirrus Logic, Inc.(1)

      2,087        140,768  

Cisco Systems, Inc.

      3,068,546        120,870,027  

Citrix Systems, Inc.

      3,207        441,636  

Cognizant Technology Solutions Corp. - Class A

      852,038        59,148,478  

Coherent, Inc.(1)

      150        16,639  

CommScope Holding Co., Inc.(1)

      6,476        58,284  

Corning, Inc.

      156,729        5,079,587  

Cree, Inc.(1)

      3,868        246,546  

Crowdstrike Holdings, Inc. - Class A(1)

      1,508        207,079  

Dell Technologies, Inc. - Class C(1)

      84,384        5,711,953  

Dolby Laboratories, Inc. - Class A

      1,986        131,632  

DXC Technology Co.

      175,886        3,139,565  

EchoStar Corp. - Class A(1)

      1,718        42,761  

Entegris, Inc.

      306        22,748  

Euronet Worldwide, Inc.(1)

      1,796        163,616  

F5 Networks, Inc.(1)

      2,178        267,393  

Fidelity National Information Services, Inc.

      22,322        3,286,022  

FireEye, Inc.(1)

      6,062        74,835  

First Solar, Inc.(1)

      2,971        196,680  

Fiserv, Inc.(1)

      14,281        1,471,657  

FLIR Systems, Inc.

      4,661        167,097  

Genpact Ltd.

      4,096        159,539  

Global Payments, Inc.

      10,743        1,907,742  

Guidewire Software, Inc.(1)

      2,404        250,665  

Hewlett Packard Enterprise Co.

      518,137        4,854,944  

HP, Inc.

      349,021        6,627,909  

Intel Corp.

      660,624        34,207,111  

International Business Machines Corp.

      75,830        9,226,236  

IPG Photonics Corp.(1)

      1,185        201,414  

J2 Global, Inc.(1)

      53,680        3,715,730  

Jabil, Inc.

      4,255        145,776  

Jack Henry & Associates, Inc.

      591        96,091  

Jamf Holding Corp.(1)

      455        17,113  

Juniper Networks, Inc.

      11,749        252,603  

Keysight Technologies, Inc.(1)

      4,441        438,682  

Lam Research Corp.

      17,852        5,922,401  

Leidos Holdings, Inc.

      4,343        387,178  

Littelfuse, Inc.

      841        149,143  

Lumentum Holdings, Inc.(1)

      2,387        179,335  

Manhattan Associates, Inc.(1)

      244        23,300  

Marvell Technology Group Ltd.

      1,441,639        57,233,068  

Maxim Integrated Products, Inc.

      6,341        428,715  

Methode Electronics, Inc.

      96,320        2,745,120  

Microchip Technology, Inc.

      531,635        54,630,813  

Micron Technology, Inc.(1)

      40,147        1,885,303  

Microsoft Corp.

      613,287        128,992,655  

MKS Instruments, Inc.

      482        52,649  

Motorola Solutions, Inc.

      5,534        867,787  

National Instruments Corp.

      4,605        164,398  

NCR Corp.(1)

      4,543        100,582  

NetApp, Inc.

      3,624        158,876  

Nuance Communications, Inc.(1)

      10,047        333,460  

NXP Semiconductors NV

      570,223        71,169,533  

ON Semiconductor Corp.(1)

      14,502        314,548  

Oracle Corp.

      2,010,972        120,055,028  

Paychex, Inc.

      2,410        192,246  

Pegasystems, Inc.

      142        17,188  

Pure Storage, Inc. - Class A(1)

      3,685        56,712  

Qorvo, Inc.(1)

      4,136        533,585  

QUALCOMM, Inc.

      1,083,361        127,489,922  

RealPage, Inc.(1)

      396        22,825  

Sabre Corp.

      9,856        64,163  

Salesforce.com, Inc.(1)

      2,261        568,234  

Samsung Electronics Co. Ltd.

      1,597,279        79,295,578  

Science Applications International Corp.

      41,049        3,219,063  

Seagate Technology Plc

      119,013        5,863,770  

Skyworks Solutions, Inc.

      6,054        880,857  

SolarWinds Corp.(1)

      1,664        33,846  

SS&C Technologies Holdings, Inc.

      6,353        384,484  

SYNNEX Corp.

      1,484        207,849  

Synopsys, Inc.(1)

      385        82,382  

TE Connectivity Ltd.

      46,800        4,574,232  

Teradata Corp.(1)

      919        20,861  

Texas Instruments, Inc.

      572,564        81,756,414  

Trimble, Inc.(1)

      9,057        441,076  

Twilio, Inc. - Class A(1)

      815        201,378  

Ubiquiti, Inc.

      57        9,500  

VeriSign, Inc.(1)

      1,488        304,817  

ViaSat, Inc.(1)

      2,059        70,809  

Visa, Inc. - Class A

      369,450        73,878,916  

Western Digital Corp.

      55,388        2,024,431  

Western Union Co.

      171,904        3,683,903  

WEX, Inc.(1)

      1,414        196,504  

Xerox Holdings Corp.

      6,463        121,310  

Zebra Technologies Corp. - Class A(1)

      161        40,646  
     

 

 

  

Total Information Technology

 

      1,377,669,008  
     

 

 

  

Materials – 5.13%

      

Air Products & Chemicals, Inc.

      208,913        62,226,826  

Akzo Nobel NV

      48,671        4,919,203  

Albemarle Corp.

      3,772        336,764  

Amcor Plc

      48,682        537,936  

AptarGroup, Inc.

      2,295        259,794  

Ardagh Group SA - Class A

      788        11,071  

Ashland Global Holdings, Inc.

      1,977        140,209  

Avery Dennison Corp.

      1,749        223,592  

Axalta Coating Systems Ltd.(1)

      7,527        166,874  

Ball Corp.

      730        60,678  

Berry Global Group, Inc.(1)

      91,432        4,417,994  

Cabot Corp.

      1,990        71,700  

Celanese Corp. - Class A

      518,767        55,741,514  

CF Industries Holdings, Inc.

      946,543        29,068,336  

Chemours Co.

      5,836        122,031  

Corteva, Inc.

      1,667,394        48,037,621  

Crown Holdings, Inc.(1)

      4,156        319,430  

Dow, Inc.

      26,795        1,260,705  

DowDuPont, Inc.

      2,427,562        134,681,140  

Eagle Materials, Inc.

      1,475        127,322  

Eastman Chemical Co.

      102,067        7,973,474  

Ecolab, Inc.

      396,774        79,291,316  

Element Solutions, Inc.(1)

      4,583,194        48,169,369  

FMC Corp.

      3,717        393,667  

Freeport-McMoRan, Inc.

      52,583        822,398  

Graphic Packaging Holding Co.

      456,714        6,435,100  

Huntsman Corp.

      129,999        2,887,278  

Ingevity Corp.(1)

      71,312        3,525,665  

International Flavors & Fragrances, Inc.

      3,824        468,249  

International Paper Co.

      839,200        34,021,168  

Linde Plc

      452,464        107,745,252  

LyondellBasell Industries NV - Class A

      125,983        8,880,542  

Martin Marietta Materials, Inc.

      2,222        522,970  

Mosaic Co.

      12,343        225,507  

NewMarket Corp.

      42        14,377  

Newmont Goldcorp Corp.

      28,972        1,838,273  

Nucor Corp.

      10,772        483,232  

Olin Corp.

      5,095        63,076  

Packaging Corp. of America

      3,348        365,099  

PPG Industries, Inc.

      48,100        5,872,048  

Reliance Steel & Aluminum Co.

      47,507        4,847,614  

Royal Gold, Inc.

      665        79,913  

RPM International, Inc.

      749        62,047  

Scotts Miracle-Gro Co.

      91        13,915  

Sealed Air Corp.

      106,293        4,125,231  

Silgan Holdings, Inc.

      2,810        103,324  

Sonoco Products Co.

      3,579        182,780  

Southern Copper Corp.

      2,948        133,456  

Steel Dynamics, Inc.

      7,243        207,367  

Valvoline, Inc.

      6,622        126,083  

Vulcan Materials Co.

      4,814        652,490  

Westlake Chemical Corp.

      1,211        76,559  

Westrock Co.

      222,391        7,725,863  

WR Grace & Co.

      1,289        51,934  
     

 

 

  

Total Materials

 

      671,117,376  
     

 

 

  

Real Estate – 3.34%

      

Alexandria Real Estate Equities, Inc.

      4,477        716,320  

American Campus Communities, Inc.

      1,666,249        58,185,415  

American Homes 4 Rent - Class A

      9,276        264,180  

American Tower Corp.

      215,073        51,989,596  

Americold Realty Trust

      6,448        230,516  

Apartment Investment & Management Co. - Class A

      5,290        178,379  

Apple Hospitality REIT, Inc.

      7,490        71,979  

AvalonBay Communities, Inc.

      5,102        761,933  

Boston Properties, Inc.

      5,728        459,958  

Brandywine Realty Trust

      336,440        3,478,790  

Brixmor Property Group, Inc.

      10,586        123,750  

Camden Property Trust

      3,372        300,041  

CBRE Group, Inc. - Class A(1)

      12,159        571,108  

CoreSite Realty Corp.

      468        55,636  

Corporate Office Properties Trust

      4,012        95,165  

Cousins Properties, Inc.

      89,775        2,566,667  

Crown Castle International Corp.

      997        166,000  

CubeSmart

      6,903        223,036  

CyrusOne, Inc.

      4,250        297,627  

Digital Realty Trust, Inc.

      9,639        1,414,620  

Douglas Emmett, Inc.

      6,486        162,799  

Duke Realty Corp.

      13,168        485,899  

Empire State Realty Trust, Inc. - Class A

      5,226        31,983  

EPR Properties

      2,785        76,587  

Equity Commonwealth

      4,170        111,047  

Equity LifeStyle Properties, Inc.

      3,667        224,787  

Equity Residential

      429,684        22,055,680  

Essex Property Trust, Inc.

      2,347        471,254  

Extra Space Storage, Inc.

      1,334        142,725  

Federal Realty Investment Trust

      2,689        197,480  

First Industrial Realty Trust, Inc.

      4,510        179,498  

Gaming & Leisure Properties, Inc.

      91,338        3,373,112  

Healthcare Trust of America, Inc. - Class A

      7,767        201,942  

Healthpeak Properties, Inc.

      19,704        534,964  

Highwoods Properties, Inc.

      3,836        128,775  

Host Hotels & Resorts, Inc.

      247,163        2,666,889  

Howard Hughes Corp.(1)

      1,394        80,294  

Hudson Pacific Properties, Inc.

      5,367        117,698  

Invitation Homes, Inc.

      20,194        565,230  

Iron Mountain, Inc.

      139,685        3,742,161  

JBG SMITH Properties

      4,352        116,372  

Jones Lang LaSalle, Inc.

      1,840        176,014  

Kilroy Realty Corp.

      4,105        213,296  

Kimco Realty Corp.

      14,760        166,198  

Lamar Advertising Co. - Class A

      3,071        203,208  

Life Storage, Inc.

      1,666        175,380  

Medical Properties Trust, Inc.

      224,396        3,956,101  

MGM Growth Properties LLC - Class A

      2,491,611        69,715,276  

Mid-America Apartment Communities, Inc.

      4,071        472,032  

National Retail Properties, Inc.

      6,120        211,201  

Office Properties Income Trust

      104,183        2,158,672  

Omega Healthcare Investors, Inc.

      8,040        240,718  

Outfront Media, Inc.

      5,166        75,165  

Paramount Group, Inc.

      6,761        47,868  

Park Hotels & Resorts, Inc.

      8,555        85,464  

Prologis, Inc.

      26,569        2,673,373  

Public Storage

      281,098        62,606,147  

Rayonier, Inc.

      683,775        18,079,011  

Realty Income Corp.

      12,474        757,795  

Regency Centers Corp.

      6,022        228,956  

Rexford Industrial Realty, Inc.

      4,456        203,907  

SBA Communications Corp. - Class A

      3,456        1,100,667  

Simon Property Group, Inc.

      2,317        149,864  

SL Green Realty Corp.

      292,369        13,557,151  

Spirit Realty Capital, Inc.

      3,675        124,031  

STORE Capital Corp.

      8,465        232,195  

Sun Communities, Inc.

      3,455        485,808  

Taubman Centers, Inc.

      2,144        71,374  

UDR, Inc.

      10,723        349,677  

Ventas, Inc.

      13,344        559,914  

VEREIT, Inc.

      556,061        3,614,397  

VICI Properties, Inc.

      2,321,804        54,260,559  

Vornado Realty Trust

      6,270        211,362  

Weingarten Realty Investors

      4,334        73,505  

Welltower, Inc.

      40,931        2,254,889  

Weyerhaeuser Co.

      1,384,133        39,475,473  

WP Carey, Inc.

      6,204        404,253  
     

 

 

  

Total Real Estate

 

      437,188,793  
     

 

 

  

Utilities – 2.36%

      

AES Corp.

      23,631        427,957  

Alliant Energy Corp.

      8,929        461,183  

Ameren Corp.

      115,382        9,124,409  

American Electric Power Co., Inc.

      17,916        1,464,275  

American Water Works Co., Inc.

      6,557        949,978  

Atmos Energy Corp.

      4,444        424,802  

Avangrid, Inc.

      2,025        102,181  

CenterPoint Energy, Inc.

      18,005        348,397  

CMS Energy Corp.

      10,213        627,180  

Consolidated Edison, Inc.

      11,980        932,044  

Dominion Energy, Inc.

      30,267        2,388,974  

DTE Energy Co.

      6,956        800,218  

Duke Energy Corp.

      57,709        5,110,709  

Edison International

      1,150,810        58,507,180  

Entergy Corp.

      7,182        707,642  

Essential Utilities, Inc.

      7,994        321,758  

Evergy, Inc.

      8,091        411,185  

Eversource Energy

      12,317        1,029,085  

Exelon Corp.

      1,364,216        48,784,364  

FirstEnergy Corp.

      19,379        556,371  

Hawaiian Electric Industries, Inc.

      3,823        127,077  

IDACORP, Inc.

      1,800        143,820  

MDU Resources Group, Inc.

      240,495        5,411,138  

National Fuel Gas Co.

      102,227        4,149,394  

NextEra Energy, Inc.

      78,466        21,779,023  

NiSource, Inc.

      1,739,511        38,269,242  

NRG Energy, Inc.

      191,624        5,890,522  

OGE Energy Corp.

      7,141        214,159  

PG&E Corp.(1)

      46,695        438,466  

Pinnacle West Capital Corp.

      4,022        299,840  

PPL Corp.

      254,352        6,920,918  

Public Service Enterprise Group, Inc.

      114,621        6,293,839  

Sempra Energy

      154,214        18,252,769  

Southern Co.

      1,107,526        60,050,060  

UGI Corp.

      7,433        245,140  

Vistra Corp.

      244,317        4,607,819  

WEC Energy Group, Inc.

      11,415        1,106,114  

Xcel Energy, Inc.

      18,957        1,308,223  
     

 

 

  

Total Utilities

 

      308,987,455  
     

 

 

  

Total Common Stocks (Cost: $10,829,140,555)

 

      12,663,307,896  
     

 

 

  

CONVERTIBLE PREFERRED STOCKS – 0.32%

      

Healthcare – 0.07%

      

Becton Dickinson & Co., 6.00%

      183,415        9,656,800  
     

 

 

  

Total Healthcare

 

      9,656,800  
     

 

 

  

Utilities – 0.25%

      

NextEra Energy, Inc., 5.28%

      152,671        7,126,682  

Sempra Energy, 6.00%

      120,261        11,839,696  

Sempra Energy, 6.75%

      35,061        3,436,329  

Southern Co., 6.75%

      205,147        9,547,541  
     

 

 

  

Total Utilities

 

      31,950,248  
     

 

 

  

Total Convertible Preferred Stocks (Cost: $41,164,617)

 

      41,607,048  
     

 

 

  

PREFERRED STOCKS – 0.09%

      

Consumer Discretionary – 0.09%

      

Volkswagen AG

      76,830        12,362,810  
     

 

 

  

Total Consumer Discretionary

 

      12,362,810  
     

 

 

  

Total Preferred Stocks (Cost: $12,320,680)

 

      12,362,810  
     

 

 

  

WARRANTS – 0.00%(2)

      

Energy – 0.00%(2)

      

Occidental Petroleum Corp., expires 08/03/2027(1)

      54,746        164,238  
     

 

 

  

Total Energy

 

      164,238  
     

 

 

  

Total Warrants (Cost: $270,993)

 

      164,238  
     

 

 

  
     Principal
Amount		      Value  

BONDS & NOTES – 0.04%

      

Convertible Securities – 0.04%

      

Financials – 0.04%

      

AXA SA

      

7.25%, 05/15/2021(3)

      5,500,000        4,798,750  
     

 

 

  

Total Financials

 

      4,798,750  
     

 

 

  

Total Convertible Securities (Cost: $5,153,132)

         4,798,750  
     

 

 

  

Total Bonds & Notes (Cost: $5,153,132)

 

      4,798,750  
     

 

 

  
     Shares      Value  

SHORT-TERM INVESTMENTS – 2.83%

      

Money Market Funds – 2.54%

      

Goldman Sachs Financial Square Government Fund - Class I, 0.00%(4)

      331,780,881        331,780,881  
     

 

 

  

Total Money Market Funds (Cost: $331,780,881)

         331,780,881  
     

 

 

  

     Principal
Amount		      Value  

Time Deposits – 0.29%

      

ANZ, London, 0.01% due 10/01/2020

    $ 14,069,027        14,069,027  

BNP Paribas, Paris, 0.01% due 10/01/2020

      2,065,452        2,065,452  

Citibank, London, -0.69% due 10/01/2020

    EUR 623,023        730,464  

Citibank, London, 0.01% due 10/01/2020

    GBP 48,365        62,408  

Citibank, New York, 0.01% due 10/01/2020

    $ 2,814,510        2,814,510  

Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 10/01/2020

      18,885,535        18,885,535  
     

 

 

  

Total Time Deposits (Cost: $38,627,396)

         38,627,396  
     

 

 

  

Total Short-Term Investments (Cost: $370,408,277)

 

      370,408,277  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 100.10%

(Cost: $11,258,458,254)

         13,092,649,019  
     

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.10)%

         (13,352,851 ) 
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 13,079,296,168  
     

 

 

  

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

REIT Real Estate Investment Trust

EUR Euro

GBP Pound sterling

 

(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 the security totals $4,798,750, which represents 0.04% of total net assets.

(4)

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 Small/Mid Cap Growth Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Shares      Value  

COMMON STOCKS – 97.95%

      

Communication Services – 4.24%

      

Altice USA, Inc. - Class A(1)

      26,025      $ 676,650  

AMC Networks, Inc. - Class A(1)

      7,725        190,885  

Anterix, Inc.(1)

      5,218        170,681  

ATN International, Inc.

      325        16,295  

Bandwidth, Inc. - Class A(1)

      9,239        1,612,852  

Boingo Wireless, Inc.(1)

      21,428        218,458  

Cable One, Inc.

      455        857,871  

Cardlytics, Inc.(1)

      12,598        889,041  

Cargurus, Inc. - Class A(1)

      41,539        898,489  

Central European Media Enterprises Ltd. - Class A(1)

      20,195        84,617  

Cincinnati Bell, Inc.(1)

      7,659        114,885  

Cogent Communications Holdings, Inc.

      20,445        1,227,722  

Consolidated Communications Holdings, Inc.(1)

      3,750        21,337  

Daily Journal Corp.(1)

      434        105,028  

Electronic Arts, Inc.(1)

      34,952        4,558,090  

Eventbrite, Inc. - Class A(1)

      30,139        327,008  

EverQuote, Inc. - Class A(1)

      6,889        266,191  

Glu Mobile, Inc.(1)

      70,363        540,036  

Gogo, Inc.(1)

      25,574        236,304  

Gray Television, Inc.(1)

      12,361        170,211  

IAC/InterActiveCorp(1)

      44,001        5,270,440  

IDT Corp. - Class B(1)

      5,336        35,111  

Iridium Communications, Inc.(1)

      289,303        7,400,371  

John Wiley & Sons, Inc. - Class A

      515,936        16,360,331  

Liberty Media Corp.-Liberty Braves - Class A(1)

      3,206        66,941  

Liberty Media Corp.-Liberty Braves - Class C(1)

      10,682        224,429  

Liberty Media Corp.-Liberty SiriusXM - Class A(1)

      727        24,115  

Liberty Media Corp.-Liberty SiriusXM - Class C(1)

      1,751        57,923  

Live Nation Entertainment, Inc.(1)

      107,067        5,768,770  

LiveXLive Media, Inc.(1)

      2,538        6,586  

Loral Space & Communications, Inc.

      1,455        26,627  

Match Group, Inc.(1)

      332,548        36,796,436  

Meredith Corp.

      9,453        124,023  

New York Times Co. - Class A

      595,191        25,468,223  

Nexstar Media Group, Inc. - Class A

      2,517        226,354  

Ooma, Inc.(1)

      10,439        136,229  

ORBCOMM, Inc.(1)

      5,267        17,908  

Pinterest, Inc. - Class A(1)

      28,382        1,178,137  

QuinStreet, Inc.(1)

      7,265        115,078  

Roku, Inc. - Class A(1)

      114,708        21,656,870  

Shenandoah Telecommunications Co.

      23,191        1,030,492  

Sirius XM Holdings, Inc.

      60,118        322,232  

Spotify Technology SA(1)

      11,147        2,703,928  

Take-Two Interactive Software, Inc.(1)

      148,833        24,590,188  

TechTarget, Inc.(1)

      11,270        495,429  

Vonage Holdings Corp.(1)

      62,466        639,027  

WideOpenWest, Inc.(1)

      11,780        61,138  

World Wrestling Entertainment, Inc. - Class A

      3,858        156,133  

Yelp, Inc. - Class A(1)

      6,576        132,112  

Zillow Group, Inc. - Class A(1)

      588        59,706  

Zillow Group, Inc. - Class C(1)

      1,257        127,699  

Zynga, Inc. - Class A(1)

      4,799,387        43,770,409  
     

 

 

  

Total Communication Services

 

      208,232,046  
     

 

 

  

Consumer Discretionary – 10.90%

      

1-800-Flowers.com, Inc. - Class A(1)

      11,928        297,484  

Aaron’s, Inc.

      135,719        7,688,481  

Accel Entertainment, Inc. - Class A(1)

      21,148        226,495  

Acushnet Holdings Corp.

      3,906        131,281  

Advance Auto Parts, Inc.

      224,000        34,384,000  

America’s Car-Mart, Inc.(1)

      2,369        201,081  

Aptiv Plc

      194,046        17,790,137  

Asbury Automotive Group, Inc.(1)

      3,582        349,066  

Aspen Group, Inc.(1)

      9,028        100,843  

AutoZone, Inc.(1)

      1,175        1,383,727  

Best Buy Co., Inc.

      3,510        390,628  

Big Lots, Inc.

      1,404        62,618  

Bloomin’ Brands, Inc.

      42,145        643,554  

Boot Barn Holdings, Inc.(1)

      12,471        350,934  

Bright Horizons Family Solutions, Inc.(1)

      78,796        11,980,144  

Brinker International, Inc.

      14,318        611,665  

Burlington Stores, Inc.(1)

      134,972        27,816,379  

Caesars Entertainment, Inc.(1)

      39,291        2,202,653  

Camping World Holdings, Inc. - Class A

      15,801        470,080  

CarMax, Inc.(1)

      1,036        95,219  

CarParts.com, Inc.(1)

      9,648        104,295  

Carvana Co. - Class A(1)

      4,640        1,034,998  

Casper Sleep, Inc.(1)

      2,735        19,665  

Cavco Industries, Inc.(1)

      4,412        795,528  

Chegg, Inc.(1)

      425,877        30,424,653  

Chewy, Inc. - Class A(1)

      136,144        7,464,776  

Children’s Place, Inc.

      4,727        134,010  

Chipotle Mexican Grill, Inc. - Class A(1)

      23,764        29,555,524  

Churchill Downs, Inc.

      18,309        2,999,380  

Clarus Corp.

      985        13,908  

Collectors Universe, Inc.

      3,957        195,832  

Core-Mark Holding Co., Inc.

      20,026        579,352  

Cracker Barrel Old Country Store, Inc.

      4,870        558,394  

Crocs, Inc.(1)

      32,146        1,373,599  

Dave & Buster’s Entertainment, Inc.

      7,589        115,049  

Deckers Outdoor Corp.(1)

      13,470        2,963,535  

Denny’s Corp.(1)

      19,340        193,400  

Dine Brands Global, Inc.

      527        28,769  

Dollar Tree, Inc.(1)

      55,398        5,060,053  

Domino’s Pizza, Inc.

      20,400        8,675,712  

Dorman Products, Inc.(1)

      12,829        1,159,485  

Dunkin’ Brands Group, Inc.

      273,446        22,397,962  

El Pollo Loco Holdings, Inc.(1)

      747        12,101  

Envela Corp.(1)

      3,890        16,688  

Etsy, Inc.(1)

      10,048        1,222,138  

Everi Holdings, Inc.(1)

      13,611        112,291  

Expedia Group, Inc.

      1,265        115,988  

Five Below, Inc.(1)

      4,648        590,296  

Floor & Decor Holdings, Inc. - Class A(1)

      86,434        6,465,263  

Fox Factory Holding Corp.(1)

      96,467        7,170,392  

Franchise Group, Inc.

      1,301        32,993  

Frontdoor, Inc.(1)

      1,281        49,844  

GAN Ltd.(1)

      2,650        44,785  

Garmin Ltd.

      24,920        2,363,911  

Gentherm, Inc.(1)

      310,891        12,715,442  

Golden Entertainment, Inc.(1)

      3,413        47,202  

GoPro, Inc. - Class A(1)

      55,490        251,370  

Greenlane Holdings, Inc. - Class A(1)

      4,966        11,124  

GrowGeneration Corp.(1)

      17,270        275,975  

GrubHub, Inc.(1)

      772        55,839  

H&R Block, Inc.

      11,422        186,064  

Hamilton Beach Brands Holding Co. - Class A

      1,122        21,823  

Helen of Troy Ltd.(1)

      96,006        18,579,081  

Hilton Grand Vacations, Inc.(1)

      40,973        859,614  

Hooker Furniture Corp.

      331        8,550  

Installed Building Products, Inc.(1)

      11,001        1,119,352  

iRobot Corp.(1)

      13,287        1,008,483  

Jack in the Box, Inc.

      1,192        94,538  

Johnson Outdoors, Inc. - Class A

      1,242        101,707  

KB Home

      6,261        240,360  

LCI Industries

      11,857        1,260,281  

Legacy Housing Corp.(1)

      842        11,519  

LGI Homes, Inc.(1)

      10,733        1,246,853  

Lindblad Expeditions Holdings, Inc.(1)

      12,277        104,477  

Lithia Motors, Inc. - Class A

      5,252        1,197,141  

Lovesac Co.(1)

      4,727        130,985  

Lululemon Athletica, Inc.(1)

      40,305        13,275,258  

Lumber Liquidators Holdings, Inc.(1)

      1,618        35,677  

Magnite, Inc.(1)

      29,148        202,433  

Malibu Boats, Inc. - Class A(1)

      9,885        489,901  

Marine Products Corp.

      3,199        50,032  

Marriott Vacations Worldwide Corp.

      2,529        229,658  

MasterCraft Boat Holdings, Inc.(1)

      8,626        150,869  

Mattel, Inc.(1)

      17,377        203,311  

MercadoLibre, Inc.(1)

      3,997        4,326,673  

Meritage Homes Corp.(1)

      986        108,845  

Monarch Casino & Resort, Inc.(1)

      4,267        190,308  

Monro, Inc.

      7,783        315,756  

Motorcar Parts of America, Inc.(1)

      1,214        18,890  

Murphy USA, Inc.(1)

      13,274        1,702,656  

National Vision Holdings, Inc.(1)

      287,972        11,012,049  

Noodles & Co. - Class A(1)

      6,834        46,950  

NVR, Inc.(1)

      29        118,410  

Ollie’s Bargain Outlet Holdings, Inc.(1)

      466,824        40,777,076  

OneWater Marine, Inc. - Class A(1)

      2,501        51,245  

O’Reilly Automotive, Inc.(1)

      6,232        2,873,451  

Overstock.com, Inc.(1)

      16,811        1,221,319  

Papa John’s International, Inc.

      13,402        1,102,717  

Peloton Interactive, Inc. - Class A(1)

      232,153        23,038,864  

Penn National Gaming, Inc.(1)

      36,714        2,669,108  

Perdoceo Education Corp.(1)

      32,988        403,773  

PetMed Express, Inc.

      9,309        294,351  

Planet Fitness, Inc. - Class A(1)

      3,904        240,564  

PlayAGS, Inc.(1)

      3,057        10,822  

Polaris Industries, Inc.

      526        49,623  

Pool Corp.

      13,095        4,380,801  

Purple Innovation, Inc. - Class A(1)

      10,643        264,585  

Quotient Technology, Inc.(1)

      24,017        177,245  

RealReal, Inc.(1)

      30,005        434,172  

Red Rock Resorts, Inc. - Class A

      23,520        402,192  

Rent-A-Center, Inc.

      20,692        618,484  

RH(1)

      7,486        2,864,293  

Ruth’s Hospitality Group, Inc.

      15,573        172,237  

Scientific Games Corp.(1)

      19,717        688,320  

SeaWorld Entertainment, Inc.(1)

      10,626        209,545  

Shake Shack, Inc. - Class A(1)

      16,904        1,089,970  

Shutterstock, Inc.

      10,521        547,513  

Skyline Champion Corp.(1)

      25,296        677,174  

Sleep Number Corp.(1)

      4,997        244,403  

Sonos, Inc.(1)

      38,811        589,151  

Sportsman’s Warehouse Holdings, Inc.(1)

      20,589        294,629  

Stamps.com, Inc.(1)

      8,159        1,965,911  

Standard Motor Products, Inc.

      1,491        66,573  

Steven Madden Ltd.

      570,501        11,124,770  

Stitch Fix, Inc. - Class A(1)

      22,900        621,277  

Strategic Education, Inc.

      11,600        1,061,052  

Sturm Ruger & Co., Inc.

      7,138        436,560  

Superior Group of Companies, Inc.

      1,138        26,436  

Taylor Morrison Home Corp. - Class A(1)

      5,835        143,483  

Tempur Sealy International, Inc.(1)

      2,953        263,378  

Texas Roadhouse, Inc. - Class A

      200,269        12,174,353  

TopBuild Corp.(1)

      15,927        2,718,580  

Tractor Supply Co.

      252,839        36,241,942  

Twin River Worldwide Holdings, Inc.

      8,616        226,342  

Ulta Beauty, Inc.(1)

      186,306        41,728,818  

Universal Electronics, Inc.(1)

      5,633        212,589  

Universal Technical Institute, Inc.(1)

      13,066        66,375  

Vail Resorts, Inc.

      260        55,632  

VF Corp.

      1,631        114,578  

Visteon Corp.(1)

      13,337        923,187  

Vivint Smart Home, Inc.(1)

      7,255        123,915  

Vroom, Inc.(1)

      1,658        85,851  

Waitr Holdings, Inc.(1)

      41,313        133,028  

Wayfair, Inc. - Class A(1)

      50,026        14,558,066  

Wendy’s Co.

      15,172        338,260  

Williams-Sonoma, Inc.

      1,076        97,313  

Wingstop, Inc.

      55,007        7,516,707  

Winmark Corp.

      373        64,223  

Winnebago Industries, Inc.

      14,987        774,378  

WW International, Inc.(1)

      5,545        104,634  

Wynn Resorts Ltd.

      2,033        145,990  

XPEL, Inc.(1)

      8,085        210,857  

YETI Holdings, Inc.(1)

      38,500        1,744,820  

Yum China Holdings, Inc.

      2,355        124,697  
     

 

 

  

Total Consumer Discretionary

 

      535,808,696  
     

 

 

  

Consumer Staples – 4.34%

      

Albertsons Companies, Inc. - Class A(1)

      1,450        20,083  

B&G Foods, Inc.

      26,970        748,957  

Beyond Meat Inc.(1)

      49,054        8,145,907  

BJ’s Wholesale Club Holdings, Inc.(1)

      65,920        2,738,976  

Boston Beer, Inc. - Class A(1)

      5,671        5,009,535  

Bridgford Foods Corp.(1)

      749        13,714  

Brown-Forman Corp. - Class A

      3,291        226,026  

Brown-Forman Corp. - Class B

      138,081        10,400,261  

Calavo Growers, Inc.

      172,918        11,459,276  

Cal-Maine Foods, Inc.(1)

      5,043        193,500  

Campbell Soup Co.

      207,404        10,032,131  

Celsius Holdings, Inc.(1)

      16,576        376,441  

Central Garden & Pet Co. - Class A(1)

      1,508        60,214  

Central Garden & Pet Co. - Class A(1)

      5,735        207,263  

Church & Dwight Co., Inc.

      110,938        10,396,000  

Clorox Co.

      7,616        1,600,655  

Coca-Cola Consolidated, Inc.

      2,262        544,418  

Craft Brew Alliance, Inc.(1)

      363        5,990  

elf Beauty, Inc.(1)

      21,666        398,004  

Energizer Holdings, Inc.

      4,202        164,466  

Freshpet, Inc.(1)

      18,664        2,083,836  

Grocery Outlet Holding Corp.(1)

      3,261        128,223  

Herbalife Nutrition Ltd.(1)

      1,030        48,050  

Hershey Co.

      251,698        36,078,391  

Hostess Brands, Inc. - Class A(1)

      26,668        328,816  

Inter Parfums, Inc.

      8,654        323,227  

J&J Snack Foods Corp.

      1,920        250,349  

J.M. Smucker Co.

      296,500        34,251,680  

John B Sanfilippo & Son, Inc.

      4,209        317,274  

Kellogg Co.

      7,242        467,761  

Lamb Weston Holdings, Inc.

      464,327        30,770,950  

Lancaster Colony Corp.

      9,138        1,633,874  

LifeVantage Corp.(1)

      6,463        78,008  

Limoneira Co.

      1,961        28,042  

McCormick & Co., Inc.

      5,905        1,146,161  

Medifast, Inc.

      5,440        894,608  

MGP Ingredients, Inc.

      4,511        179,267  

Molson Coors Brewing Co. - Class B

      317,500        10,655,300  

Monster Beverage Corp.(1)

      56,739        4,550,468  

National Beverage Corp.(1)

      5,715        388,677  

Natural Grocers by Vitamin Cottage, Inc.

      3,085        30,418  

NewAge, Inc.(1)

      20,811        36,003  

Pilgrim’s Pride Corp.(1)

      1,262        18,886  

PriceSmart, Inc.

      746        49,572  

Revlon, Inc. - Class A(1)

      114        720  

Reynolds Consumer Products, Inc.

      1,174        35,948  

Sanderson Farms, Inc.

      7,526        887,842  

Sprouts Farmers Market, Inc.(1)

      8,396        175,728  

Tootsie Roll Industries, Inc.

      6,403        197,853  

TreeHouse Foods, Inc.(1)

      336,000        13,618,080  

Turning Point Brands, Inc.

      5,680        158,472  

USANA Health Sciences, Inc.(1)

      5,550        408,758  

Vector Group Ltd.

      7,204        69,807  

Veru, Inc.(1)

      27,192        71,243  

Vital Farms, Inc.(1)

      2,063        83,613  

WD-40 Co.

      54,267        10,273,286  
     

 

 

  

Total Consumer Staples

 

      213,461,008  
     

 

 

  

Energy – 0.25%

      

Ardmore Shipping Corp.

      2,471        8,797  

Aspen Aerogels, Inc.(1)

      1,296        14,191  

Cabot Oil & Gas Corp.

      132,514        2,300,443  

Cactus, Inc. - Class A

      10,409        199,749  

ChampionX Corp.(1)

      980,773        7,836,376  

Cheniere Energy, Inc.(1)

      19,684        910,779  

Contango Oil & Gas Co.(1)

      8,334        11,168  

DMC Global, Inc.

      3,201        105,441  

Dorian LPG Ltd.(1)

      2,643        21,170  

Equitrans Midstream Corp.

      3,200        27,072  

Goodrich Petroleum Corp.(1)

      2,717        20,894  

Magnolia Oil & Gas Corp. - Class A(1)

      53,883        278,575  

NextDecade Corp.(1)

      828        2,468  

Parsley Energy, Inc. - Class A

      79,212        741,424  

Uranium Energy Corp.(1)

      36,141        36,025  
     

 

 

  

Total Energy

 

      12,514,572  
     

 

 

  

Financials – 7.90%

      

Alleghany Corp.

      112        58,290  

Altabancorp

      548        11,026  

Apollo Global Management, Inc. - Class A

      7,162        320,499  

Ares Management Corp. - Class A

      8,313        336,011  

Argo Group International Holdings Ltd.

      278,137        9,576,257  

Arthur J. Gallagher & Co.

      370,500        39,117,390  

Artisan Partners Asset Management, Inc. - Class A

      10,870        423,821  

Assetmark Financial Holdings, Inc.(1)

      3,242        70,481  

Atlanticus Holdings Corp.(1)

      2,795        33,261  

Axis Capital Holdings Ltd.

      640        28,186  

Axos Financial, Inc.(1)

      2,096        48,858  

Bank First Corp.

      2,851        167,354  

Bank7 Corp.

      211        1,983  

BayCom Corp.(1)

      1,580        16,274  

Brightsphere Investment Group, Inc.

      29,524        380,860  

Brown & Brown, Inc.

      1,034        46,809  

BRP Group, Inc. - Class A(1)

      16,240        404,538  

Bryn Mawr Bank Corp.

      206,365        5,132,298  

Cambridge Bancorp

      736        39,126  

Camden National Corp.

      132,935        4,017,960  

Carlyle Group, Inc.

      832        20,525  

CBOE Global Markets, Inc.

      2,036        178,639  

Century Bancorp, Inc. - Class A

      205        13,477  

Coastal Financial Corp.(1)

      735        9,004  

Cohen & Steers, Inc.

      232,864        12,979,839  

Columbia Banking System, Inc.

      626,612        14,944,696  

Columbia Financial, Inc.(1)

      7,117        78,999  

Commerce Bancshares, Inc.

      126,000        7,092,540  

Cowen, Inc. - Class A

      4,385        71,344  

Crawford & Co. - Class A

      1,328        8,685  

Credit Acceptance Corp.(1)

      56        18,964  

Cullen/Frost Bankers, Inc.

      256,000        16,371,200  

Curo Group Holdings Corp.

      8,162        57,542  

Customers Bancorp, Inc.(1)

      863        9,666  

eHealth, Inc.(1)

      12,264        968,856  

Encore Capital Group, Inc.(1)

      107,496        4,148,271  

Erie Indemnity Co. - Class A

      1,212        254,859  

Esquire Financial Holdings, Inc.(1)

      1,131        16,965  

Everest Re Group Ltd.

      183,000        36,149,820  

FactSet Research Systems, Inc.

      3,160        1,058,221  

Federal Agricultural Mortgage Corp. - Class C

      958        60,986  

Federated Hermes, Inc. - Class B

      13,321        286,535  

FedNat Holding Co.

      546        3,451  

First Financial Bankshares, Inc.

      62,060        1,732,095  

First Foundation, Inc.

      4,379        57,234  

First Merchants Corp.

      350,884        8,126,473  

FirstCash, Inc.

      91,211        5,218,181  

Focus Financial Partners, Inc. - Class A(1)

      15,093        494,899  

FS Bancorp, Inc.

      161        6,601  

GAMCO Investors, Inc. - Class A

      1,838        21,266  

Glacier Bancorp, Inc.

      4,984        159,737  

GoHealth, Inc. - Class A(1)

      472        6,148  

Goosehead Insurance, Inc. - Class A

      823        71,264  

Great Western Bancorp, Inc.

      318,849        3,969,670  

Green Dot Corp. - Class A(1)

      2,128        107,698  

Greene County Bancorp, Inc.

      312        6,767  

Greenhill & Co., Inc.

      6,677        75,784  

GWG Holdings, Inc.(1)

      1,722        14,809  

Hamilton Lane, Inc. - Class A

      14,447        933,132  

Hanmi Financial Corp.

      645        5,295  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

      1,722        72,789  

HCI Group, Inc.

      592        29,180  

Heritage Insurance Holdings, Inc.

      1,110        11,233  

Hingham Institution for Savings

      63        11,592  

Houlihan Lokey, Inc. - Class A

      315,079        18,605,415  

Independent Bank Corp.

      994        52,066  

Investors Bancorp, Inc.

      31,420        228,109  

Investors Title Co.

      86        11,185  

James River Group Holdings Ltd.

      12,588        560,544  

Kearny Financial Corp.

      8,923        64,335  

Kinsale Capital Group, Inc.

      10,186        1,937,173  

Lakeland Financial Corp.

      614        25,297  

LendingTree, Inc.(1)

      641        196,716  

Lincoln National Corp.

      1,954        61,219  

LPL Financial Holdings, Inc.

      541        41,478  

MarketAxess Holdings, Inc.

      18,422        8,871,851  

Meridian Corp.

      567        9,146  

Moelis & Co. - Class A

      25,487        895,613  

Morningstar, Inc.

      47,564        7,639,254  

MSCI, Inc. - Class A

      50,735        18,101,233  

National Bank Holdings Corp. - Class A

      3,274        85,943  

National General Holdings Corp.

      15,493        522,889  

NMI Holdings, Inc. - Class A(1)

      2,093        37,255  

Northeast Bank

      244        4,490  

Northern Trust Corp.

      296,000        23,079,120  

PacWest Bancorp

      291,916        4,985,925  

Palomar Holdings, Inc. - Class A(1)

      65,435        6,820,944  

PennyMac Financial Services, Inc.

      2,480        144,138  

Piper Sandler Companies

      42,867        3,129,291  

PJT Partners, Inc. - Class A

      11,341        687,378  

PRA Group, Inc.(1)

      144,592        5,776,450  

Primerica, Inc.

      2,087        236,123  

Prosperity Bancshares, Inc.

      287,000        14,875,210  

Pzena Investment Management, Inc. - Class A

      9,129        48,931  

Reliant Bancorp, Inc.

      377        5,467  

RenaissanceRe Holdings Ltd.

      1,459        247,651  

RLI Corp.

      16,654        1,394,439  

Selectquote, Inc.(1)

      4,051        82,033  

ServisFirst Bancshares, Inc.

      17,372        591,169  

Siebert Financial Corp.(1)

      6,475        20,914  

Silvercrest Asset Management Group, Inc. - Class A

      2,614        27,342  

SLM Corp.

      7,529        60,910  

Stock Yards Bancorp, Inc.

      1,280        43,571  

StoneX Group, Inc.(1)

      662        33,868  

SVB Financial Group(1)

      84,574        20,350,196  

T Rowe Price Group, Inc.

      4,896        627,765  

Tradeweb Markets, Inc. - Class A

      986,665        57,226,570  

Trean Insurance Group, Inc.(1)

      899        13,710  

Trupanion, Inc.(1)

      14,312        1,129,217  

UMB Financial Corp.

      250,962        12,299,648  

Unity Bancorp, Inc.

      290        3,358  

Universal Insurance Holdings, Inc.

      3,139        43,444  

Value Line, Inc.

      302        7,459  

Virtu Financial, Inc. - Class A

      4,914        113,071  

Virtus Investment Partners, Inc.

      341        47,280  

Walker & Dunlop, Inc.

      1,121        59,413  

Waterstone Financial, Inc.

      950        14,716  

West Bancorporation, Inc.

      1,469        23,269  

Westamerica Bancorporation

      1,641        89,188  
     

 

 

  

Total Financials

 

      388,456,602  
     

 

 

  

Healthcare – 25.69%

      

10X Genomics, Inc. - Class A(1)

      4,889        609,561  

1Life Healthcare, Inc.(1)

      37,799        1,071,980  

89bio, Inc.(1)

      3,125        80,188  

Abeona Therapeutics, Inc.(1)

      9,872        10,069  

ABIOMED, Inc.(1)

      3,769        1,044,239  

Acadia Healthcare Co., Inc.(1)

      139,402        4,109,571  

ACADIA Pharmaceuticals, Inc.(1)

      9,423        388,699  

Accelerate Diagnostics, Inc.(1)

      15,442        164,612  

Acceleron Pharma, Inc.(1)

      4,057        456,534  

Accolade, Inc.(1)

      4,540        176,470  

Accuray, Inc.(1)

      42,578        102,187  

AcelRx Pharmaceuticals, Inc.(1)

      11,414        16,208  

Acutus Medical, Inc.(1)

      3,765        112,197  

AdaptHealth Corp. - Class A(1)

      11,972        261,109  

Adaptive Biotechnologies Corp.(1)

      141,358        6,874,240  

Addus HomeCare Corp.(1)

      6,640        627,546  

ADMA Biologics, Inc.(1)

      23,596        56,394  

Aduro Biotech, Inc.(1)

      26,274        63,846  

Adverum Biotechnologies, Inc.(1)

      35,881        369,574  

Aeglea BioTherapeutics, Inc. - Class Savings(1)

      16,984        120,417  

Aerie Pharmaceuticals, Inc.(1)

      17,599        207,140  

Affimed NV(1)

      39,113        132,593  

Agenus, Inc.(1)

      72,983        291,932  

Agile Therapeutics, Inc.(1)

      29,629        90,072  

Agilent Technologies, Inc.

      164,680        16,622,799  

Agios Pharmaceuticals, Inc.(1)

      490        17,150  

Aimmune Therapeutics, Inc.(1)

      22,388        771,267  

Akcea Therapeutics, Inc.(1)

      3,304        59,935  

Akebia Therapeutics, Inc.(1)

      69,919        175,497  

Akero Therapeutics, Inc.(1)

      6,500        200,135  

Akouos, Inc.(1)

      5,502        125,831  

Albireo Pharma, Inc.(1)

      4,495        149,998  

Alector, Inc.(1)

      22,262        234,530  

Alexion Pharmaceuticals, Inc.(1)

      2,772        317,200  

Align Technology, Inc.(1)

      97,079        31,779,781  

Allakos, Inc.(1)

      11,724        954,920  

Allogene Therapeutics, Inc.(1)

      25,926        977,669  

Allovir, Inc.(1)

      6,740        185,350  

Allscripts Healthcare Solutions, Inc.(1)

      4,173        33,968  

Alnylam Pharmaceuticals, Inc.(1)

      9,837        1,432,267  

Alphatec Holdings, Inc.(1)

      18,384        122,070  

ALX Oncology Holdings, Inc.(1)

      3,625        136,807  

Amedisys, Inc.(1)

      2,692        636,470  

American Renal Associates Holdings, Inc.(1)

      2,395        16,525  

AmerisourceBergen Corp. - Class A

      5,956        577,256  

Amicus Therapeutics, Inc.(1)

      122,339        1,727,427  

AMN Healthcare Services, Inc.(1)

      22,447        1,312,252  

Amneal Pharmaceuticals, Inc.(1)

      47,157        182,969  

Amphastar Pharmaceuticals, Inc.(1)

      17,704        331,950  

Anavex Life Sciences Corp.(1)

      24,298        110,556  

ANI Pharmaceuticals, Inc.(1)

      2,216        62,513  

Annexon, Inc.(1)

      5,593        169,076  

Antares Pharma, Inc.(1)

      78,882        212,981  

Apellis Pharmaceuticals, Inc.(1)

      28,911        872,245  

Apollo Medical Holdings, Inc.(1)

      9,381        168,295  

Applied Molecular Transport, Inc.(1)

      4,719        150,159  

Applied Therapeutics, Inc.(1)

      6,645        137,950  

Aprea Therapeutics, Inc.(1)

      3,317        79,807  

Apyx Medical Corp.(1)

      1,864        8,779  

Aquestive Therapeutics, Inc.(1)

      9,378        45,530  

Aravive, Inc.(1)

      6,586        30,954  

Arcturus Therapeutics Holdings, Inc.(1)

      7,688        329,815  

Arcus Biosciences, Inc.(1)

      20,255        347,171  

Arcutis Biotherapeutics, Inc.(1)

      8,655        253,591  

Ardelyx, Inc.(1)

      34,985        183,671  

Arena Pharmaceuticals, Inc.(1)

      2,317        173,288  

Argenx SE - ADR(1)

      115,896        30,425,018  

Arrowhead Pharmaceuticals, Inc.(1)

      48,298        2,079,712  

Arvinas, Inc.(1)

      14,059        331,933  

Ascendis Pharma - ADR(1)

      241,186        37,219,824  

Aspira Women’s Health, Inc.(1)

      35,592        109,801  

Assembly Biosciences, Inc.(1)

      7,991        131,372  

Atara Biotherapeutics, Inc.(1)

      25,782        334,135  

Athenex, Inc.(1)

      29,858        361,282  

Athersys, Inc.(1)

      82,418        160,715  

Atreca, Inc. - Class A(1)

      12,490        174,485  

AtriCure, Inc.(1)

      21,034        839,257  

Atrion Corp.

      679        425,054  

Avalon GloboCare Corp.(1)

      7,063        8,829  

Avantor, Inc.(1)

      38,233        859,860  

Avenue Therapeutics, Inc.(1)

      3,695        40,017  

AVEO Pharmaceuticals, Inc.(1)

      6,314        37,505  

Avid Bioservices, Inc.(1)

      24,381        185,783  

Avidity Biosciences, Inc.(1)

      6,345        178,612  

Avrobio, Inc.(1)

      15,038        195,795  

Axcella Health, Inc.(1)

      7,590        35,066  

Axogen, Inc.(1)

      17,161        199,582  

Axonics Modulation Technologies, Inc.(1)

      14,557        742,989  

Axsome Therapeutics, Inc.(1)

      13,334        950,048  

Beam Therapeutics, Inc.(1)

      16,977        417,974  

Bellerophon Therapeutics, Inc.(1)

      1,876        19,098  

Berkeley Lights, Inc.(1)

      437        33,369  

Beyond Air, Inc.(1)

      6,668        34,607  

BeyondSpring, Inc.(1)

      6,825        90,841  

BioCryst Pharmaceuticals, Inc.(1)

      66,720        229,183  

BioDelivery Sciences International, Inc.(1)

      44,604        166,373  

Biohaven Pharmaceutical Holding Co. Ltd.(1)

      23,156        1,505,372  

BioLife Solutions, Inc.(1)

      6,594        190,830  

BioMarin Pharmaceutical, Inc.(1)

      13,944        1,060,860  

BioNTech SE - ADR(1)

      176,928        12,248,725  

Bio-Rad Laboratories, Inc. - Class A(1)

      32,000        16,494,720  

BioSig Technologies, Inc.(1)

      11,456        56,478  

BioSpecifics Technologies Corp.(1)

      2,911        153,788  

Bio-Techne Corp.

      211,350        52,357,736  

BioTelemetry, Inc.(1)

      110,843        5,052,224  

BioXcel Therapeutics, Inc.(1)

      5,641        244,594  

Black Diamond Therapeutics, Inc.(1)

      8,664        261,913  

Bluebird Bio, Inc.(1)

      2,491        134,389  

Blueprint Medicines Corp.(1)

      26,625        2,468,138  

BrainStorm Cell Therapeutics, Inc.(1)

      13,346        225,814  

Bridgebio Pharma, Inc.(1)

      35,059        1,315,414  

Bruker Corp.

      3,674        146,042  

Calithera Biosciences, Inc.(1)

      31,960        110,262  

Calyxt, Inc.(1)

      4,315        23,689  

Cantel Medical Corp.

      326,248        14,335,337  

Cara Therapeutics, Inc.(1)

      19,511        248,277  

Cardinal Health, Inc.

      24,916        1,169,806  

Cardiovascular Systems, Inc.(1)

      209,404        8,240,047  

CareDx, Inc.(1)

      23,043        874,251  

CASI Pharmaceuticals, Inc.(1)

      29,061        44,463  

Cassava Sciences, Inc.(1)

      4,469        51,438  

Castle Biosciences, Inc.(1)

      5,644        290,384  

Catabasis Pharmaceuticals, Inc.(1)

      6,881        42,593  

Catalent, Inc.(1)

      1,037,632        88,883,557  

Catalyst Pharmaceuticals, Inc.(1)

      48,451        143,899  

Cellular Biomedicine Group, Inc.(1)

      3,516        64,483  

CEL-SCI Corp.(1)

      13,966        178,067  

Centene Corp.(1)

      394,842        23,031,134  

Centogene NV(1)

      3,944        37,310  

Cerecor, Inc.(1)

      19,381        44,092  

Cerner Corp.

      81,166        5,867,490  

Cerus Corp.(1)

      78,937        494,146  

Champions Oncology, Inc.(1)

      3,813        35,270  

Change Healthcare, Inc.(1)

      15,237        221,089  

Charles River Laboratories International, Inc.(1)

      3,685        834,468  

Checkmate Pharmaceuticals, Inc.(1)

      1,777        20,453  

Checkpoint Therapeutics, Inc.(1)

      21,080        56,494  

Chembio Diagnostics, Inc.(1)

      9,494        46,141  

Chemed Corp.

      1,322        635,023  

ChemoCentryx, Inc.(1)

      23,852        1,307,090  

Chiasma, Inc.(1)

      24,010        103,243  

ChromaDex Corp.(1)

      19,764        79,254  

Cidara Therapeutics, Inc.(1)

      14,276        40,687  

Clovis Oncology, Inc.(1)

      39,775        231,888  

Co.-Diagnostics, Inc.(1)

      12,468        169,440  

Codexis, Inc.(1)

      26,131        306,778  

Cohbar, Inc.(1)

      12,590        11,955  

Coherus Biosciences, Inc.(1)

      27,845        510,677  

Collegium Pharmaceutical, Inc.(1)

      16,242        338,158  

CONMED Corp.

      191,616        15,074,431  

Constellation Pharmaceuticals, Inc.(1)

      14,729        298,410  

ContraFect Corp.(1)

      11,524        60,847  

Cooper Companies, Inc.

      84,496        28,485,292  

Corbus Pharmaceuticals Holdings, Inc.(1)

      33,261        59,870  

Corcept Therapeutics, Inc.(1)

      46,250        804,981  

CorMedix, Inc.(1)

      13,644        82,273  

Cortexyme, Inc.(1)

      6,973        348,650  

CorVel Corp.(1)

      4,268        364,615  

Crinetics Pharmaceuticals, Inc.(1)

      13,420        210,291  

Cross Country Healthcare, Inc.(1)

      2,265        14,700  

CryoLife, Inc.(1)

      14,513        268,055  

CryoPort, Inc.(1)

      16,434        778,972  

Cue Biopharma, Inc.(1)

      13,391        201,535  

Cutera, Inc.(1)

      8,619        163,502  

Cytokinetics, Inc.(1)

      28,019        606,611  

CytomX Therapeutics, Inc.(1)

      22,182        147,510  

CytoSorbents Corp.(1)

      19,615        156,430  

DaVita, Inc.(1)

      1,147        98,241  

Deciphera Pharmaceuticals, Inc.(1)

      18,007        923,759  

Denali Therapeutics, Inc.(1)

      30,266        1,084,431  

Dentsply Sirona, Inc.

      723,340        31,631,658  

DermTech, Inc.(1)

      4,398        52,556  

DexCom, Inc.(1)

      129,352        53,322,775  

Dicerna Pharmaceuticals, Inc.(1)

      31,257        562,313  

Durect Corp.(1)

      100,558        171,954  

Dyadic International, Inc.(1)

      7,124        53,929  

Dynavax Technologies Corp. - Class A(1)

      42,944        185,518  

Eagle Pharmaceuticals, Inc.(1)

      5,194        220,641  

Editas Medicine, Inc.(1)

      30,179        846,823  

Edwards Lifesciences Corp.(1)

      438,000        34,961,160  

Eidos Therapeutics, Inc.(1)

      5,277        266,647  

Eiger BioPharmaceuticals, Inc.(1)

      13,100        106,634  

Electromed, Inc.(1)

      3,923        40,838  

Eloxx Pharmaceuticals, Inc.(1)

      13,495        35,492  

Emergent BioSolutions, Inc.(1)

      21,478        2,219,322  

Enanta Pharmaceuticals, Inc.(1)

      880        40,286  

Encompass Health Corp.

      3,779        245,559  

Endo International Plc(1)

      46,950        154,935  

Ensign Group, Inc.

      24,614        1,404,475  

Envista Holdings Corp.(1)

      391,000        9,649,880  

Epizyme, Inc.(1)

      27,413        327,037  

Esperion Therapeutics, Inc.(1)

      12,459        463,101  

Eton Pharmaceuticals, Inc.(1)

      7,765        61,344  

Evelo Biosciences, Inc.(1)

      9,317        49,101  

Evofem Biosciences, Inc.(1)

      34,016        80,278  

Evolent Health, Inc. - Class A(1)

      5,644        70,042  

Evolus, Inc.(1)

      4,856        18,987  

Exact Sciences Corp.(1)

      304,100        31,002,995  

Exagen, Inc.(1)

      2,615        28,347  

Exelixis, Inc.(1)

      128,030        3,130,334  

Exicure, Inc.(1)

      27,191        47,584  

Fate Therapeutics, Inc.(1)

      34,449        1,376,927  

Fennec Pharmaceuticals, Inc.(1)

      9,724        58,927  

FibroGen, Inc.(1)

      34,768        1,429,660  

Flexion Therapeutics, Inc.(1)

      20,974        218,339  

Fluidigm Corp.(1)

      3,124        23,211  

Forma Therapeutics Holdings, Inc.(1)

      6,112        304,622  

Fortress Biotech, Inc.(1)

      30,498        123,212  

Frequency Therapeutics, Inc.(1)

      12,090        232,249  

Fulcrum Therapeutics, Inc.(1)

      6,788        53,829  

Fulgent Genetics, Inc.(1)

      4,622        185,065  

G1 Therapeutics, Inc.(1)

      7,714        89,097  

Galectin Therapeutics, Inc.(1)

      16,456        43,938  

Galera Therapeutics, Inc.(1)

      4,635        41,900  

Generation Bio Co.(1)

      4,655        143,886  

Genmab - ADR(1)

      1,031,889        37,777,456  

GenMark Diagnostics, Inc.(1)

      33,375        473,925  

Genprex, Inc.(1)

      15,406        51,764  

Glaukos Corp.(1)

      20,563        1,018,280  

Global Blood Therapeutics, Inc.(1)

      4,933        272,006  

Globus Medical, Inc. - Class A(1)

      253,746        12,565,502  

GoodRx Holdings, Inc. - Class A(1)

      72,815        4,048,514  

Gossamer Bio, Inc.(1)

      11,716        145,396  

Gritstone Oncology, Inc.(1)

      2,299        6,092  

Guardant Health, Inc.(1)

      6,401        715,504  

Haemonetics Corp.(1)

      66,525        5,804,306  

Halozyme Therapeutics, Inc.(1)

      568,066        14,928,774  

Hanger, Inc.(1)

      2,401        37,984  

Harpoon Therapeutics, Inc.(1)

      5,017        85,239  

Harrow Health, Inc.(1)

      10,008        55,945  

Health Catalyst, Inc.(1)

      16,222        593,725  

HealthEquity, Inc.(1)

      100,801        5,178,147  

Heron Therapeutics, Inc.(1)

      42,074        623,537  

Heska Corp.(1)

      1,239        122,401  

Hill-Rom Holdings, Inc.

      698        58,290  

HMS Holdings Corp.(1)

      168,133        4,026,785  

Hologic, Inc.(1)

      107,637        7,154,631  

Homology Medicines, Inc.(1)

      16,690        178,583  

Hookipa Pharma, Inc.(1)

      5,220        49,433  

Horizon Therapeutics Plc(1)

      15,375        1,194,330  

iBio, Inc.(1)

      22,839        46,363  

iCAD, Inc.(1)

      9,569        84,303  

ICON Plc(1)

      40,125        7,667,486  

ICU Medical, Inc.(1)

      75,025        13,711,569  

Ideaya Biosciences, Inc.(1)

      1,205        15,135  

IDEXX Laboratories, Inc.(1)

      34,200        13,444,362  

IGM Biosciences, Inc.(1)

      3,369        248,666  

Illumina, Inc.(1)

      9,717        3,003,330  

IMARA, Inc.(1)

      2,679        54,491  

Immunic, Inc.(1)

      1,827        33,927  

ImmunoGen, Inc.(1)

      36,271        130,576  

Immunomedics, Inc.(1)

      17,533        1,490,831  

Immunovant, Inc.(1)

      16,800        591,192  

Inari Medical, Inc.(1)

      2,933        202,436  

Incyte Corp.(1)

      15,513        1,392,137  

InfuSystem Holdings, Inc.(1)

      6,969        89,343  

Innoviva, Inc.(1)

      30,503        318,756  

Inogen, Inc.(1)

      5,756        166,924  

Inovalon Holdings, Inc. - Class A(1)

      35,592        941,408  

Inovio Pharmaceuticals, Inc.(1)

      75,371        874,304  

Inozyme Pharma, Inc.(1)

      3,061        80,474  

Insmed, Inc.(1)

      48,720        1,565,861  

Inspire Medical Systems, Inc.(1)

      12,607        1,626,933  

Insulet Corp.(1)

      5,583        1,320,882  

Integer Holdings Corp.(1)

      9,926        585,733  

Integra LifeSciences Holdings Corp.(1)

      807,928        38,150,360  

Intellia Therapeutics, Inc.(1)

      24,068        478,472  

Intercept Pharmaceuticals, Inc.(1)

      12,452        516,260  

Intersect ENT, Inc.(1)

      15,978        260,601  

Intra-Cellular Therapies, Inc.(1)

      11,971        307,176  

Intuitive Surgical, Inc.(1)

      3,135        2,224,408  

Invitae Corp.(1)

      55,556        2,408,353  

Ionis Pharmaceuticals, Inc.(1)

      5,534        262,588  

Iovance Biotherapeutics, Inc.(1)

      11,657        383,748  

IQVIA Holdings, Inc.(1)

      6,132        966,587  

iRadimed Corp.(1)

      2,628        56,187  

iRhythm Technologies, Inc.(1)

      13,200        3,143,052  

Ironwood Pharmaceuticals, Inc. - Class A(1)

      76,708        689,988  

iTeos Therapeutics, Inc.(1)

      4,044        99,765  

Joint Corp.(1)

      6,335        110,166  

Kadmon Holdings, Inc.(1)

      82,866        324,835  

Kala Pharmaceuticals, Inc.(1)

      19,746        148,095  

Kaleido BioSciences, Inc.(1)

      5,096        56,413  

KalVista Pharmaceuticals, Inc.(1)

      1,416        17,827  

Karuna Therapeutics, Inc.(1)

      7,600        587,632  

Karyopharm Therapeutics, Inc.(1)

      33,753        492,794  

Keros Therapeutics, Inc.(1)

      3,147        121,380  

Kindred Biosciences, Inc.(1)

      15,151        64,998  

Kiniksa Pharmaceuticals Ltd. - Class A(1)

      11,755        180,087  

Kodiak Sciences, Inc.(1)

      13,898        822,901  

Krystal Biotech, Inc.(1)

      6,502        279,911  

Kura Oncology, Inc.(1)

      25,563        783,250  

La Jolla Pharmaceutical Co.(1)

      7,506        30,249  

Laboratory Corp. of America Holdings(1)

      441        83,027  

Lantheus Holdings, Inc.(1)

      31,551        399,751  

LeMaitre Vascular, Inc.

      6,312        205,329  

Lexicon Pharmaceuticals, Inc.(1)

      22,770        32,789  

LHC Group, Inc.(1)

      88,415        18,793,492  

Ligand Pharmaceuticals, Inc.(1)

      60,455        5,762,571  

Liquidia Technologies, Inc.(1)

      13,307        65,470  

LivaNova Plc(1)

      16,573        749,265  

Livongo Health, Inc.(1)

      4,704        658,795  

LogicBio Therapeutics, Inc.(1)

      6,353        57,685  

Luminex Corp.

      20,519        538,624  

Lyra Therapeutics, Inc.(1)

      2,035        22,751  

MacroGenics, Inc.(1)

      9,148        230,438  

Madrigal Pharmaceuticals, Inc.(1)

      4,174        495,579  

Magellan Health, Inc.(1)

      5,038        381,780  

Magenta Therapeutics, Inc.(1)

      7,588        51,598  

MannKind Corp.(1)

      105,761        198,831  

Marinus Pharmaceuticals, Inc.(1)

      12,408        159,443  

Marker Therapeutics, Inc.(1)

      10,772        16,158  

Masimo Corp.(1)

      86,159        20,338,694  

McKesson Corp.

      10,254        1,527,128  

MediciNova, Inc.(1)

      20,206        105,879  

Medpace Holdings, Inc.(1)

      114,610        12,807,668  

MEI Pharma, Inc.(1)

      41,290        128,825  

MeiraGTx Holdings Plc(1)

      8,702        115,214  

Meridian Bioscience, Inc.(1)

      18,148        308,153  

Merit Medical Systems, Inc.(1)

      26,097        1,135,220  

Mersana Therapeutics, Inc.(1)

      25,590        476,486  

Mesa Laboratories, Inc.

      48,621        12,386,686  

Mettler-Toledo International, Inc.(1)

      1,888        1,823,336  

Milestone Scientific, Inc.(1)

      17,952        24,953  

Minerva Neurosciences, Inc.(1)

      18,030        57,335  

Mirati Therapeutics, Inc.(1)

      18,062        2,999,195  

Mirum Pharmaceuticals, Inc.(1)

      1,187        22,873  

Misonix, Inc.(1)

      2,447        28,703  

Moderna, Inc.(1)

      24,309        1,719,862  

Molecular Templates, Inc.(1)

      11,881        129,741  

Molina Healthcare, Inc.(1)

      3,362        615,380  

Momenta Pharmaceuticals, Inc.(1)

      53,233        2,793,668  

Morphic Holding, Inc.(1)

      6,530        178,530  

Mustang Bio, Inc.(1)

      15,174        47,798  

MyoKardia, Inc.(1)

      21,364        2,912,554  

NanoString Technologies, Inc.(1)

      15,786        705,634  

NantHealth, Inc.(1)

      15,099        35,332  

NantKwest, Inc.(1)

      13,287        92,145  

Natera, Inc.(1)

      32,009        2,312,330  

National Research Corp.

      6,399        314,895  

Natus Medical, Inc.(1)

      5,089        87,175  

Nemaura Medical, Inc.(1)

      3,576        12,695  

Neogen Corp.(1)

      70,835        5,542,839  

NeoGenomics, Inc.(1)

      49,866        1,839,557  

Neoleukin Therapeutics, Inc.(1)

      14,876        178,512  

Neubase Therapeutics, Inc.(1)

      7,991        60,652  

NeuroBo Pharmaceuticals, Inc.(1)

      2,001        11,246  

Neurocrine Biosciences, Inc.(1)

      7,859        755,721  

Nevro Corp.(1)

      16,162        2,251,367  

NextCure, Inc.(1)

      7,422        65,314  

NGM Biopharmaceuticals, Inc.(1)

      10,440        166,100  

Nkarta, Inc.(1)

      6,163        185,260  

Novavax, Inc.(1)

      8,003        867,125  

Novocure Ltd.(1)

      8,462        941,905  

Nurix Therapeutics, Inc.(1)

      4,222        147,390  

NuVasive, Inc.(1)

      67,018        3,255,064  

Nymox Pharmaceutical Corp.(1)

      18,620        45,805  

Oak Street Health, Inc.(1)

      791        42,271  

Ocular Therapeutix, Inc.(1)

      29,027        220,895  

Odonate Therapeutics, Inc.(1)

      6,624        88,960  

Omeros Corp.(1)

      28,309        286,062  

Omnicell, Inc.(1)

      204,927        15,299,850  

OncoCyte Corp.(1)

      31,584        43,902  

Oncternal Therapeutics, Inc. - CVR(1)(3)

      207        382  

Ontrak, Inc.(1)

      3,812        228,720  

OptimizeRx Corp.(1)

      7,113        148,306  

Optinose, Inc.(1)

      16,668        65,005  

Option Care Health, Inc.(1)

      19,643        262,627  

OraSure Technologies, Inc.(1)

      20,715        252,102  

Organogenesis Holdings, Inc. - Class A(1)

      10,557        40,539  

Orgenesis, Inc.(1)

      1,862        9,384  

ORIC Pharmaceuticals, Inc.(1)

      3,820        95,538  

OrthoPediatrics Corp.(1)

      6,292        288,929  

Osmotica Pharmaceuticals Plc(1)

      4,695        25,400  

Ovid therapeutics, Inc.(1)

      21,308        122,308  

Oyster Point Pharma, Inc.(1)

      2,747        57,989  

Pacific Biosciences of California, Inc.(1)

      70,340        694,256  

Pacira BioSciences, Inc.(1)

      102,866        6,184,304  

Pandion Therapeutics, Inc.(1)

      2,780        31,859  

Paratek Pharmaceuticals, Inc.(1)

      20,584        111,359  

Passage Bio, Inc.(1)

      3,833        50,251  

PAVmed, Inc.(1)

      20,137        35,844  

Pennant Group, Inc.(1)

      12,292        473,980  

Penumbra, Inc.(1)

      27,570        5,359,057  

PerkinElmer, Inc.

      1,836        230,436  

Personalis, Inc.(1)

      11,371        246,410  

PetIQ, Inc. - Class A(1)

      10,216        336,311  

PhaseBio Pharmaceuticals, Inc.(1)

      7,924        27,813  

Phathom Pharmaceuticals, Inc.(1)

      5,095        186,834  

Phibro Animal Health Corp. - Class A

      9,280        161,472  

Phreesia, Inc.(1)

      13,817        443,940  

Pieris Pharmaceuticals, Inc.(1)

      23,246        48,119  

Pliant Therapeutics, Inc.(1)

      3,886        88,018  

Poseida Therapeutics, Inc.(1)

      4,965        44,040  

PPD, Inc.(1)

      11,502        425,459  

PRA Health Sciences, Inc.(1)

      45,954        4,661,574  

Precigen, Inc.(1)

      25,296        88,536  

Precision BioSciences, Inc.(1)

      20,707        127,555  

Prestige Consumer Healthcare, Inc.(1)

      281,885        10,266,252  

Prevail Therapeutics, Inc.(1)

      6,677        67,972  

Progenity, Inc.(1)

      1,555        14,026  

Progyny, Inc.(1)

      12,800        376,704  

Protagonist Therapeutics, Inc.(1)

      14,573        284,902  

Protara Therapeutics, Inc.(1)

      1,092        18,378  

Provention Bio, Inc.(1)

      22,867        293,384  

Providence Service Corp.(1)

      5,812        539,993  

PTC Therapeutics, Inc.(1)

      29,741        1,390,392  

Pulse Biosciences, Inc.(1)

      6,481        76,411  

Puma Biotechnology, Inc.(1)

      14,984        151,189  

Quanterix Corp.(1)

      10,102        340,841  

Quidel Corp.(1)

      3,163        693,899  

Quotient Ltd.(1)

      27,541        141,561  

R1 RCM, Inc.(1)

      51,464        882,608  

Radius Health, Inc.(1)

      21,807        247,291  

RadNet, Inc.(1)

      20,972        321,920  

RAPT Therapeutics, Inc.(1)

      5,295        170,499  

Reata Pharmaceuticals, Inc. - Class A(1)

      1,851        180,324  

Recro Pharma, Inc.(1)

      10,915        22,922  

REGENXBIO, Inc.(1)

      16,336        449,567  

Relay Therapeutics, Inc.(1)

      12,182        518,831  

Relmada Therapeutics, Inc.(1)

      6,867        258,337  

Repligen Corp.(1)

      100,655        14,850,639  

Replimune Group, Inc.(1)

      10,028        230,845  

Repro-Med Systems, Inc.(1)

      13,192        95,246  

ResMed, Inc.

      45,984        7,883,037  

Retractable Technologies, Inc.(1)

      5,078        33,819  

Retrophin, Inc. - Class Preferre(1)

      23,462        433,109  

Revance Therapeutics, Inc.(1)

      23,270        585,008  

REVOLUTION Medicines, Inc.(1)

      18,528        644,774  

Rhythm Pharmaceuticals, Inc.(1)

      16,196        350,967  

Rigel Pharmaceuticals, Inc.(1)

      81,434        195,442  

Rocket Pharmaceuticals, Inc.(1)

      16,389        374,653  

Rockwell Medical, Inc.(1)

      29,351        31,406  

Royalty Pharma Plc - Class A

      3,089        129,954  

Rubius Therapeutics, Inc.(1)

      3,449        17,279  

Sage Therapeutics, Inc.(1)

      113,522        6,938,465  

Sangamo Therapeutics, Inc.(1)

      55,369        523,237  

Sarepta Therapeutics, Inc.(1)

      59,856        8,405,578  

Satsuma Pharmaceuticals, Inc.(1)

      4,326        16,828  

Scholar Rock Holding Corp.(1)

      11,214        198,376  

Schrodinger, Inc.(1)

      14,043        667,183  

scPharmaceuticals, Inc.(1)

      2,912        21,694  

Seattle Genetics, Inc.(1)

      10,364        2,028,131  

Select Medical Holdings Corp.(1)

      52,184        1,086,471  

Selecta Biosciences, Inc.(1)

      17,338        42,998  

Seres Therapeutics, Inc.(1)

      25,545        723,179  

Sharps Compliance Corp.(1)

      6,326        39,664  

Shockwave Medical, Inc.(1)

      13,702        1,038,612  

SI-BONE, Inc.(1)

      12,219        289,835  

Sientra, Inc.(1)

      16,533        56,212  

SIGA Technologies, Inc.(1)

      25,077        172,279  

Silk Road Medical, Inc.(1)

      12,971        871,781  

Simulations Plus, Inc.

      6,785        511,318  

Soleno Therapeutics, Inc.(1)

      24,587        61,713  

Solid Biosciences, Inc.(1)

      1,265        2,568  

Soliton, Inc.(1)

      3,215        24,563  

Sorrento Therapeutics, Inc.(1)

      106,322        1,185,490  

Spero Therapeutics, Inc.(1)

      6,967        77,752  

SpringWorks Therapeutics, Inc.(1)

      10,131        482,945  

STAAR Surgical Co.(1)

      22,053        1,247,318  

Stereotaxis, Inc.(1)

      21,340        76,397  

STERIS Plc

      393        69,243  

Stoke Therapeutics, Inc.(1)

      6,037        202,179  

Strongbridge Biopharma Plc(1)

      17,653        37,071  

Supernus Pharmaceuticals, Inc.(1)

      5,300        110,452  

Surgery Partners, Inc.(1)

      10,821        236,980  

Surmodics, Inc.(1)

      6,412        249,491  

Sutro Biopharma, Inc.(1)

      10,677        107,304  

Syndax Pharmaceuticals, Inc.(1)

      12,989        191,718  

Syneos Health, Inc. - Class A(1)

      587        31,205  

Syros Pharmaceuticals, Inc.(1)

      20,219        178,736  

Tabula Rasa HealthCare, Inc.(1)

      9,804        399,709  

Tactile Systems Technology, Inc.(1)

      8,951        327,517  

Tandem Diabetes Care, Inc.(1)

      60,289        6,842,802  

TCR2 Therapeutics, Inc.(1)

      469        9,530  

Tela Bio, Inc.(1)

      2,958        48,925  

Teladoc Health, Inc.(1)

      14,295        3,134,036  

Teleflex, Inc.

      2,484        845,603  

Tenet Healthcare Corp.(1)

      5,125        125,614  

TG Therapeutics, Inc.(1)

      45,656        1,221,755  

TherapeuticsMD, Inc.(1)

      98,466        155,576  

Theravance Biopharma, Inc.(1)

      19,018        281,181  

Tivity Health, Inc.(1)

      9,906        138,882  

Translate Bio, Inc.(1)

      32,735        445,523  

TransMedics Group, Inc.(1)

      12,002        165,388  

Tricida, Inc.(1)

      13,273        120,253  

Triple-S Management Corp. - Class B(1)

      987        17,638  

Turning Point Therapeutics, Inc.(1)

      15,336        1,339,753  

Twist Bioscience Corp.(1)

      15,754        1,196,831  

Tyme Technologies, Inc.(1)

      31,879        31,241  

Ultragenyx Pharmaceutical, Inc.(1)

      27,676        2,274,690  

UNITY Biotechnology, Inc.(1)

      17,790        61,553  

UroGen Pharma Ltd.(1)

      5,690        109,760  

US Physical Therapy, Inc.

      6,099        529,881  

Utah Medical Products, Inc.

      1,294        103,352  

Vapotherm, Inc.(1)

      9,454        274,166  

Varian Medical Systems, Inc.(1)

      964        165,808  

Vaxart, Inc.(1)

      21,296        141,618  

Vaxcyte, Inc.(1)

      6,893        340,376  

VBI Vaccines, Inc.(1)

      68,004        194,491  

Veeva Systems, Inc. - Class A(1)

      356,144        100,144,131  

Venus Concept, Inc.(1)

      5,753        13,347  

Veracyte, Inc.(1)

      27,531        894,482  

Verastem, Inc.(1)

      36,284        43,904  

Vericel Corp.(1)

      19,309        357,796  

Verrica Pharmaceuticals, Inc.(1)

      5,389        41,711  

Viela Bio, Inc.(1)

      10,390        291,751  

Viemed Healthcare, Inc.(1)

      17,362        150,008  

ViewRay, Inc.(1)

      18,430        64,505  

Viking Therapeutics, Inc.(1)

      2,397        13,951  

Vir Biotechnology, Inc.(1)

      25,755        884,169  

Vocera Communications, Inc.(1)

      15,305        445,069  

VolitionRX Ltd.(1)

      12,133        38,947  

Voyager Therapeutics, Inc.(1)

      12,538        133,780  

vTv Therapeutics, Inc. - Class A(1)

      4,994        8,839  

VYNE Therapeutics, Inc.(1)

      7,090        11,769  

Waters Corp.(1)

      128,891        25,221,391  

WaVe Life Sciences Ltd.(1)

      11,787        100,072  

West Pharmaceutical Services, Inc.

      222,634        61,202,087  

Wright Medical Group NV(1)

      61,923        1,891,128  

Xencor, Inc.(1)

      25,225        978,478  

Xeris Pharmaceuticals, Inc.(1)

      20,688        122,680  

XOMA Corp.(1)

      2,712        51,094  

Y-mAbs Therapeutics, Inc.(1)

      14,432        554,044  

Zentalis Pharmaceuticals, Inc.(1)

      4,781        156,291  

ZIOPHARM Oncology, Inc.(1)

      68,482        172,575  

Zogenix, Inc.(1)

      26,726        479,197  

Zynex, Inc.(1)

      8,956        156,282  
     

 

 

  

Total Healthcare

 

      1,263,280,831  
     

 

 

  

Industrials – 14.02%

      

AAON, Inc.

      167,390        10,085,247  

Advanced Disposal Services, Inc.(1)

      32,646        986,889  

Advanced Drainage Systems, Inc.

      26,726        1,668,771  

Aerojet Rocketdyne Holdings, Inc.(1)

      35,288        1,407,638  

AeroVironment, Inc.(1)

      10,413        624,884  

Air Transport Services Group, Inc.(1)

      28,259        708,171  

Akerna Corp.(1)

      4,586        16,693  

Alamo Group, Inc.

      3,808        411,378  

Albany International Corp. - Class A

      186,935        9,255,152  

Allegiant Travel Co. - Class A

      732        87,694  

Allegion Plc

      5,102        504,639  

Allied Motion Technologies, Inc.

      3,252        134,243  

Allison Transmission Holdings, Inc.

      6,255        219,801  

Alpha Pro Tech Ltd.(1)

      5,903        87,246  

Altra Industrial Motion Corp.

      441,002        16,303,844  

Ameresco, Inc. - Class A(1)

      11,802        394,187  

AMETEK, Inc.

      456,000        45,326,400  

Apogee Enterprises, Inc.

      2,041        43,616  

Applied Industrial Technologies, Inc.

      7,253        399,640  

Armstrong World Industries, Inc.

      1,541        106,036  

ASGN, Inc.(1)

      20,248        1,286,963  

Atkore International Group, Inc.(1)

      22,685        515,630  

Atlas Air Worldwide Holdings, Inc.(1)

      894        54,445  

Avis Budget Group, Inc.(1)

      25,323        666,501  

Axon Enterprise, Inc.(1)

      70,772        6,419,020  

AZEK Co., Inc. - Class A(1)

      102,299        3,561,028  

Barrett Business Services, Inc.

      320        16,781  

Beacon Roofing Supply, Inc.(1)

      257,041        7,986,264  

Bloom Energy Corp. - Class A(1)

      40,423        726,401  

Blue Bird Corp.(1)

      3,220        39,155  

Brady Corp. - Class A

      16,978        679,460  

Brink’s Co.

      24,144        992,077  

Builders FirstSource, Inc.(1)

      50,462        1,646,070  

BWX Technologies, Inc.

      5,151        290,053  

CAI International, Inc.

      1,408        38,762  

Carrier Global Corp.

      26,565        811,295  

Casella Waste Systems, Inc. - Class A(1)

      19,208        1,072,767  

CBIZ, Inc.(1)

      3,978        90,977  

CH Robinson Worldwide, Inc.

      1,760        179,854  

Cimpress Plc(1)

      2,822        212,102  

Cintas Corp.

      48,876        16,267,399  

Clarivate Plc(1)

      1,195,000        37,033,050  

Comfort Systems USA, Inc.

      5,136        264,555  

Construction Partners, Inc. - Class A(1)

      5,599        101,902  

Copart, Inc.(1)

      17,293        1,818,532  

CoreLogic, Inc.

      379        25,647  

Cornerstone Building Brands, Inc.(1)

      9,295        74,174  

CoStar Group, Inc.(1)

      9,511        8,070,179  

Covanta Holding Corp.

      22,104        171,306  

CRA International, Inc.

      2,703        101,281  

CSW Industrials, Inc.

      6,594        509,386  

Cubic Corp.

      1,660        96,562  

Daseke, Inc.(1)

      21,625        116,126  

Donaldson Co., Inc.

      1,064        49,391  

Douglas Dynamics, Inc.

      9,873        337,657  

Dun & Bradstreet Holdings, Inc.(1)

      3,570        91,606  

Dycom Industries, Inc.(1)

      10,620        560,948  

EMCOR Group, Inc.

      2,228        150,858  

Energy Recovery, Inc.(1)

      19,580        160,556  

Enerpac Tool Group Corp. - Class A(1)

      9,951        187,178  

EnerSys

      1,923        129,072  

Equifax, Inc.

      7,642        1,199,030  

ESCO Technologies, Inc.

      11,355        914,759  

EVI Industries, Inc.(1)

      2,506        66,685  

Evoqua Water Technologies Corp.(1)

      43,840        930,285  

ExOne Co.(1)

      4,670        57,067  

Expeditors International of Washington, Inc.

      8,667        784,537  

Exponent, Inc.

      24,714        1,780,149  

Fastenal Co.

      39,549        1,783,264  

Federal Signal Corp.

      26,508        775,359  

Forrester Research, Inc.(1)

      5,300        173,787  

Fortive Corp.

      1,003,427        76,471,172  

Forward Air Corp.

      8,234        472,467  

Foundation Building Materials, Inc.(1)

      2,403        37,775  

Franklin Covey Co.(1)

      5,952        105,588  

Franklin Electric Co., Inc.

      20,582        1,210,839  

FuelCell Energy, Inc.(1)

      66,418        142,135  

Gencor Industries, Inc.(1)

      565        6,232  

Generac Holdings, Inc.(1)

      57,002        11,037,867  

Gibraltar Industries, Inc.(1)

      3,537        230,400  

Gorman-Rupp Co.

      1,479        43,571  

Graco, Inc.

      7,031        431,352  

Granite Construction, Inc.

      2,652        46,702  

HC2 Holdings, Inc.(1)

      17,871        43,248  

Healthcare Services Group, Inc.

      35,881        772,518  

HEICO Corp.

      3,087        323,085  

HEICO Corp. - Class A

      51,083        4,529,019  

Helios Technologies, Inc.

      6,671        242,824  

Herc Holdings, Inc.(1)

      764        30,262  

Huntington Ingalls Industries, Inc.

      332        46,729  

Huron Consulting Group, Inc.(1)

      1,118        43,971  

IAA, Inc.(1)

      2,764        143,921  

IBEX Ltd.(1)

      1,219        18,748  

ICF International, Inc.

      4,427        272,393  

IDEX Corp.

      216,023        39,404,755  

IES Holdings, Inc.(1)

      1,249        39,681  

IHS Markit Ltd.

      349,141        27,411,060  

Ingersoll Rand, Inc.(1)

      537,628        19,139,557  

Insperity, Inc.

      8,680        568,453  

Interface, Inc. - Class A

      5,361        32,809  

JB Hunt Transport Services, Inc.

      22,087        2,791,355  

John Bean Technologies Corp.

      15,052        1,383,128  

Kadant, Inc.

      5,496        602,472  

Kaman Corp.

      1,426        55,571  

Kforce, Inc.

      9,663        310,859  

Kornit Digital Ltd.(1)

      91,300        5,922,631  

Kratos Defense & Security Solutions, Inc.(1)

      337,184        6,500,908  

L3Harris Technologies, Inc.

      83,766        14,226,817  

Landstar System, Inc.

      74,572        9,358,040  

Lawson Products, Inc.(1)

      1,232        50,549  

Lincoln Electric Holdings, Inc.

      2,054        189,050  

Lindsay Corp.

      5,207        503,413  

Luxfer Holdings Plc

      913        11,458  

Marten Transport Ltd.

      14,047        229,247  

Masonite International Corp.(1)

      11,723        1,153,543  

MasTec, Inc.(1)

      1,786        75,369  

Mastech Digital, Inc.(1)

      2,236        40,270  

McGrath RentCorp

      6,579        392,043  

Mercury Systems, Inc.(1)

      63,693        4,933,660  

Meritor, Inc.(1)

      25,544        534,891  

Montrose Environmental Group, Inc.(1)

      2,021        48,140  

MSA Safety, Inc.

      682        91,504  

MSC Industrial Direct Co., Inc. - Class A

      167,270        10,584,846  

Mueller Water Products, Inc. - Class A

      3,951        41,051  

MYR Group, Inc.(1)

      4,915        182,740  

National Presto Industries, Inc.

      169        13,834  

Nordson Corp.

      51,496        9,877,963  

NV5 Global, Inc.(1)

      4,780        252,241  

Old Dominion Freight Line, Inc.

      7,164        1,296,111  

Omega Flex, Inc.

      1,368        214,393  

Orion Energy Systems, Inc.(1)

      12,718        96,275  

PAE, Inc.(1)

      28,442        241,757  

PAM Transportation Services, Inc.(1)

      135        5,076  

Parsons Corp.(1)

      7,967        267,213  

Patrick Industries, Inc.

      10,129        582,620  

PGT Innovations, Inc.(1)

      10,227        179,177  

Pitney Bowes, Inc.

      30,961        164,403  

Plug Power, Inc.(1)

      164,069        2,200,165  

Primoris Services Corp.

      395,115        7,127,875  

Proto Labs, Inc.(1)

      55,275        7,158,113  

Quanta Services, Inc.

      2,344        123,904  

Raven Industries, Inc.

      1,660        35,723  

RBC Bearings, Inc.(1)

      142,896        17,320,424  

Red Violet, Inc.(1)

      3,589        66,253  

REV Group, Inc.

      1,792        14,139  

Rexnord Corp.

      4,373        130,490  

Rockwell Automation, Inc.

      132,160        29,165,069  

Rollins, Inc.

      11,039        598,203  

Roper Technologies, Inc.

      52,939        20,916,728  

Saia, Inc.(1)

      12,657        1,596,554  

Shyft Group, Inc.

      16,385        309,349  

Simpson Manufacturing Co., Inc.

      134,029        13,022,258  

SiteOne Landscape Supply, Inc.(1)

      69,731        8,503,695  

SPX Corp.(1)

      15,261        707,805  

Sterling Construction Co., Inc.(1)

      2,318        32,823  

Sunrun, Inc.(1)

      57,264        4,413,336  

Systemax, Inc.

      3,749        89,751  

Teledyne Technologies, Inc.(1)

      55,767        17,299,481  

Tennant Co.

      8,745        527,848  

Tetra Tech, Inc.

      25,935        2,476,793  

Toro Co.

      384,409        32,271,136  

TPI Composites, Inc.(1)

      14,584        422,353  

Transcat, Inc.(1)

      3,317        97,188  

TransDigm Group, Inc.

      987        468,943  

TransUnion

      169,655        14,273,075  

Trex Co., Inc.(1)

      72,071        5,160,284  

TriNet Group, Inc.(1)

      19,800        1,174,536  

UFP Industries, Inc.

      24,237        1,369,633  

UniFirst Corp.

      66,556        12,603,710  

Universal Logistics Holdings, Inc.

      2,388        49,814  

Upwork, Inc.(1)

      44,654        778,766  

Vectrus, Inc.(1)

      1,977        75,126  

Verisk Analytics, Inc. - Class A

      144,283        26,737,083  

Vertiv Holdings Co. - Class A(1)

      18,576        321,736  

Vicor Corp.(1)

      9,285        721,723  

Virgin Galactic Holdings, Inc.(1)

      4,907        94,362  

Vivint Solar, Inc.(1)

      23,690        1,003,272  

Watsco, Inc.

      30,304        7,057,499  

Watts Water Technologies, Inc. - Class A

      5,847        585,577  

Welbilt, Inc.(1)

      17,587        108,336  

Werner Enterprises, Inc.

      26,005        1,091,950  

Willdan Group, Inc.(1)

      3,290        83,928  

WillScot Mobile Mini Holdings Corp. - Class A(1)

      26,972        449,893  

WW Grainger, Inc.

      2,780        991,821  

XPO Logistics, Inc.(1)

      368        31,155  
     

 

 

  

Total Industrials

 

      689,403,490  
     

 

 

  

Information Technology – 26.20%

      

2U, Inc.(1)

      1,967        66,603  

8x8, Inc.(1)

      155,738        2,421,726  

A10 Networks, Inc.(1)

      30,318        193,126  

Acacia Communications, Inc.(1)

      18,740        1,263,076  

ACI Worldwide, Inc.(1)

      55,037        1,438,117  

Advanced Energy Industries, Inc.(1)

      18,265        1,149,599  

Advanced Micro Devices, Inc.(1)

      183,794        15,069,270  

Agilysys, Inc.(1)

      8,649        208,960  

Akamai Technologies, Inc.(1)

      11,216        1,239,817  

Akoustis Technologies, Inc.(1)

      14,995        122,359  

Alarm.com Holdings, Inc.(1)

      22,890        1,264,672  

Altair Engineering, Inc. - Class A(1)

      230,165        9,662,327  

Alteryx, Inc. - Class A(1)

      4,484        509,158  

Ambarella, Inc.(1)

      4,797        250,307  

American Software, Inc. - Class A

      14,448        202,850  

Amkor Technology, Inc.(1)

      7,796        87,315  

Amphenol Corp. - Class A

      14,589        1,579,551  

Anaplan, Inc.(1)

      11,097        694,450  

ANSYS, Inc.(1)

      19,441        6,361,678  

Appfolio, Inc. - Class A(1)

      7,863        1,115,052  

Appian Corp. - Class A(1)

      17,150        1,110,462  

Arista Networks, Inc.(1)

      97,378        20,150,430  

Aspen Technology, Inc.(1)

      38,431        4,864,980  

Atlassian Corp. Plc - Class A(1)

      284,352        51,692,350  

Atomera, Inc.(1)

      7,686        80,319  

Avalara, Inc.(1)

      7,020        893,927  

Avaya Holdings Corp.(1)

      39,802        604,990  

Avid Technology, Inc.(1)

      15,108        129,324  

Axcelis Technologies, Inc.(1)

      14,925        328,350  

Badger Meter, Inc.

      108,708        7,106,242  

Benefitfocus, Inc.(1)

      13,583        152,130  

BigCommerce Holdings, Inc.(1)

      626        52,146  

Bill.Com Holdings, Inc.(1)

      4,638        465,238  

Black Knight, Inc.(1)

      12,870        1,120,333  

Blackbaud, Inc.

      177,059        9,885,204  

Blackline, Inc.(1)

      24,199        2,168,956  

Booz Allen Hamilton Holding Corp. - Class A

      11,509        955,017  

Bottomline Technologies DE, Inc.(1)

      20,852        879,120  

Box, Inc. - Class A(1)

      66,866        1,160,794  

Brightcove, Inc.(1)

      18,790        192,410  

Broadridge Financial Solutions, Inc.

      9,741        1,285,812  

Brooks Automation, Inc.

      34,944        1,616,509  

Cabot Microelectronics Corp.

      13,968        1,994,770  

CACI International, Inc. - Class A(1)

      338        72,048  

Cadence Design Systems, Inc.(1)

      106,860        11,394,482  

CalAmp Corp.(1)

      10,244        73,654  

Calix, Inc.(1)

      25,334        450,438  

Cambium Networks Corp.(1)

      3,057        51,572  

Cardtronics Plc - Class A(1)

      12,480        247,104  

Casa Systems, Inc.(1)

      14,583        58,769  

Cass Information Systems, Inc.

      6,865        276,248  

CDK Global, Inc.

      1,364        59,457  

CDW Corp.

      12,075        1,443,325  

Ceridian HCM Holding, Inc.(1)

      286,193        23,653,851  

CEVA, Inc.(1)

      10,334        406,850  

ChannelAdvisor Corp.(1)

      13,151        190,295  

Ciena Corp.(1)

      44,901        1,782,121  

Citrix Systems, Inc.

      2,846        391,923  

Clearfield, Inc.(1)

      5,153        103,936  

Cloudera, Inc.(1)

      48,053        523,297  

Cloudflare, Inc. - Class A(1)

      9,231        379,025  

Cognex Corp.

      370,694        24,132,179  

Coherent, Inc.(1)

      1,699        188,470  

Cohu, Inc.

      1,383        23,760  

CommScope Holding Co., Inc.(1)

      1,075        9,675  

CommVault Systems, Inc.(1)

      20,143        821,834  

Cornerstone OnDemand, Inc.(1)

      29,221        1,062,476  

Coupa Software, Inc.(1)

      14,588        4,000,613  

Crowdstrike Holdings, Inc. - Class A(1)

      9,376        1,287,512  

CSG Systems International, Inc.

      15,708        643,243  

CyberArk Software Ltd.(1)

      25,782        2,666,374  

CyberOptics Corp.(1)

      3,503        111,536  

Datadog, Inc. - Class A(1)

      207,125        21,159,890  

Diebold Nixdorf, Inc.(1)

      13,457        102,811  

Digimarc Corp.(1)

      5,275        117,791  

Digital Turbine, Inc.(1)

      39,693        1,299,549  

Diodes, Inc.(1)

      3,543        200,002  

DocuSign, Inc. - Class A(1)

      55,229        11,887,490  

Dolby Laboratories, Inc. - Class A

      645        42,751  

Domo, Inc. - Class B(1)

      12,303        471,574  

Dropbox, Inc. - Class A(1)

      20,854        401,648  

DSP Group, Inc.(1)

      9,730        128,241  

Duck Creek Technologies, Inc.(1)

      1,009        45,839  

Dynatrace, Inc.(1)

      15,573        638,804  

Ebix, Inc.

      7,265        149,659  

eGain Corp.(1)

      3,586        50,814  

Elastic NV(1)

      5,552        599,005  

Endava Plc - ADR(1)

      111,919        7,067,685  

Endurance International Group Holdings, Inc.(1)

      30,798        176,781  

Enphase Energy, Inc.(1)

      8,994        742,814  

Entegris, Inc.

      10,680        793,951  

Envestnet, Inc.(1)

      111,397        8,595,393  

EPAM Systems, Inc.(1)

      4,524        1,462,519  

ePlus, Inc.(1)

      5,428        397,330  

Everbridge, Inc.(1)

      2,906        365,371  

EVERTEC, Inc.

      29,001        1,006,625  

Evo Payments, Inc. - Class A(1)

      19,626        487,706  

ExlService Holdings, Inc.(1)

      210,296        13,873,227  

Extreme Networks, Inc.(1)

      56,810        228,376  

Fabrinet(1)

      17,670        1,113,740  

Fair Isaac Corp.(1)

      2,380        1,012,404  

FARO Technologies, Inc.(1)

      7,909        482,291  

Fastly, Inc. - Class A(1)

      6,712        628,780  

Fidelity National Information Services, Inc.

      218,438        32,156,258  

FireEye, Inc.(1)

      4,474        55,232  

Fitbit, Inc. - Class A(1)

      78,878        548,991  

Five9, Inc.(1)

      30,723        3,984,159  

FleetCor Technologies, Inc.(1)

      7,021        1,671,700  

FormFactor, Inc.(1)

      37,130        925,651  

Fortinet, Inc.(1)

      36,004        4,241,631  

Gartner, Inc.(1)

      7,359        919,507  

Genasys, Inc.(1)

      15,233        93,683  

Genpact Ltd.

      6,290        244,995  

Global Payments, Inc.

      366,197        65,029,263  

Globant SA(1)

      3,276        587,125  

GoDaddy, Inc. - Class A(1)

      14,093        1,070,645  

GreenSky, Inc. - Class A(1)

      29,806        132,339  

Grid Dynamics Holdings, Inc.(1)

      10,019        77,447  

GTT Communications, Inc.(1)

      15,326        79,082  

Guidewire Software, Inc.(1)

      231,868        24,176,876  

Hackett Group, Inc.

      10,370        115,937  

HubSpot, Inc.(1)

      129,533        37,853,429  

I3 Verticals, Inc. - Class A(1)

      7,035        177,634  

Ichor Holdings Ltd.(1)

      10,758        232,050  

II-VI, Inc.(1)

      42,725        1,732,926  

Immersion Corp.(1)

      5,700        40,185  

Impinj, Inc.(1)

      8,073        212,724  

Infinera Corp.(1)

      38,853        239,334  

Inphi Corp.(1)

      4,065        456,296  

Inseego Corp.(1)

      32,582        336,246  

Insight Enterprises, Inc.(1)

      4,554        257,665  

Intellicheck, Inc.(1)

      8,787        58,609  

Intelligent Systems Corp.(1)

      3,506        136,664  

InterDigital, Inc.

      4,628        264,074  

International Money Express, Inc.(1)

      11,299        162,310  

Intevac, Inc.(1)

      2,791        15,378  

IPG Photonics Corp.(1)

      85,477        14,528,526  

Iteris, Inc.(1)

      18,908        77,523  

Itron, Inc.(1)

      19,278        1,170,946  

J2 Global, Inc.(1)

      21,807        1,509,481  

Jabil, Inc.

      2,330        79,826  

Jack Henry & Associates, Inc.

      5,080        825,957  

Jamf Holding Corp.(1)

      834        31,367  

KBR, Inc.

      8,295        185,476  

Keysight Technologies, Inc.(1)

      5,357        529,164  

KLA Corp.

      13,221        2,561,437  

Lattice Semiconductor Corp.(1)

      619,973        17,954,418  

Leidos Holdings, Inc.

      1,129        100,650  

Limelight Networks, Inc.(1)

      57,800        332,928  

Littelfuse, Inc.

      57,228        10,148,814  

LivePerson, Inc.(1)

      29,684        1,543,271  

LiveRamp Holdings, Inc.(1)

      24,909        1,289,539  

Lumentum Holdings, Inc.(1)

      710        53,342  

Luna Innovations, Inc.(1)

      13,693        81,884  

MACOM Technology Solutions Holdings, Inc.(1)

      22,579        767,912  

Manhattan Associates, Inc.(1)

      162,727        15,538,801  

ManTech International Corp. - Class A

      5,564        383,248  

Maxeon Solar Technologies Ltd.(1)

      3,458        58,648  

Maxim Integrated Products, Inc.

      7,514        508,022  

MAXIMUS, Inc.

      29,415        2,012,280  

MaxLinear, Inc. - Class A(1)

      19,637        456,364  

Medallia, Inc.(1)

      1,102,526        30,231,263  

Methode Electronics, Inc.

      2,985        85,072  

Microchip Technology, Inc.

      70,563        7,251,054  

MicroStrategy, Inc. - Class A(1)

      2,355        354,569  

Mimecast Ltd.(1)

      27,536        1,291,989  

Mitek Systems, Inc.(1)

      10,557        134,496  

MKS Instruments, Inc.

      3,487        380,885  

MobileIron, Inc.(1)

      47,392        332,218  

Model N, Inc.(1)

      16,462        580,779  

MongoDB, Inc. - Class A(1)

      4,281        991,094  

Monolithic Power Systems, Inc.

      3,702        1,035,116  

Motorola Solutions, Inc.

      1,481        232,236  

Napco Security Technologies, Inc.(1)

      5,808        136,488  

National Instruments Corp.

      78,523        2,803,271  

nCino, Inc.(1)

      544        43,346  

NeoPhotonics Corp.(1)

      16,319        99,383  

NetApp, Inc.

      10,217        447,913  

New Relic, Inc.(1)

      263,336        14,841,617  

NIC, Inc.

      31,689        624,273  

Nice Ltd. - ADR(1)

      51,080        11,596,692  

nLight, Inc.(1)

      16,773        393,830  

NortonLifeLock, Inc.

      46,742        974,103  

Novanta, Inc.(1)

      16,477        1,735,687  

Nutanix, Inc. - Class A(1)

      345,100        7,654,318  

NVE Corp.

      2,071        101,645  

Okta, Inc. - Class A(1)

      132,793        28,397,783  

OneSpan, Inc.(1)

      16,052        336,450  

Onto Innovation, Inc.(1)

      245,690        7,316,648  

OSI Systems, Inc.(1)

      8,149        632,444  

PagerDuty, Inc.(1)

      5,808        157,455  

Pagseguro Digital Ltd. - Class A(1)

      500,587        18,877,136  

Palo Alto Networks, Inc.(1)

      152,985        37,443,079  

PAR Technology Corp.(1)

      7,637        309,375  

Park City Group, Inc.(1)

      1,887        9,303  

Paychex, Inc.

      21,587        1,721,995  

Paycom Software, Inc.(1)

      4,195        1,305,903  

Paylocity Holding Corp.(1)

      2,942        474,898  

PaySign, Inc.(1)

      14,532        82,542  

PC Connection, Inc.

      467        19,175  

PDF Solutions, Inc.(1)

      12,966        242,594  

Pegasystems, Inc.

      3,007        363,967  

Perficient, Inc.(1)

      15,690        670,591  

Perspecta, Inc.

      55,353        1,076,616  

PFSweb, Inc.(1)

      5,806        38,842  

Ping Identity Holding Corp.(1)

      17,594        549,109  

Pixelworks, Inc.(1)

      17,563        36,004  

Plantronics, Inc.

      5,144        60,905  

Plexus Corp.(1)

      11,249        794,517  

Pluralsight, Inc. - Class A(1)

      8,884        152,183  

Power Integrations, Inc.

      99,857        5,532,078  

Priority Technology Holdings, Inc.(1)

      2,478        7,818  

Progress Software Corp.

      21,691        795,626  

Proofpoint, Inc.(1)

      206,559        21,802,302  

PROS Holdings, Inc.(1)

      92,737        2,962,020  

PTC, Inc.(1)

      57,816        4,782,540  

Pure Storage, Inc. - Class A(1)

      1,549,238        23,842,773  

Q2 Holdings, Inc.(1)

      167,785        15,312,059  

QAD, Inc. - Class A

      5,611        236,784  

Qualys, Inc.(1)

      161,763        15,854,392  

Quantum Corp.(1)

      3,251        14,955  

Rackspace Technology, Inc.(1)

      13,502        260,454  

Rapid7, Inc.(1)

      74,301        4,550,193  

RealPage, Inc.(1)

      6,509        375,179  

Repay Holdings Corp. - Class A(1)

      137,508        3,231,438  

Research Frontiers, Inc.(1)

      14,527        39,223  

Resonant, Inc.(1)

      22,074        52,536  

Rimini Street, Inc.(1)

      11,078        35,671  

RingCentral, Inc. - Class A(1)

      30,740        8,441,511  

Rogers Corp.(1)

      1,532        150,228  

Rosetta Stone, Inc.(1)

      1,116        33,458  

SailPoint Technologies Holding, Inc.(1)

      42,433        1,679,074  

Sapiens International Corp. NV

      12,238        374,238  

Science Applications International Corp.

      658        51,600  

SecureWorks Corp. - Class A(1)

      391        4,453  

Semtech Corp.(1)

      141,342        7,485,472  

ServiceNow, Inc.(1)

      47,000        22,795,000  

ShotSpotter, Inc.(1)

      3,841        119,225  

Silicon Laboratories, Inc.(1)

      154,723        15,139,646  

SiTime Corp.(1)

      4,392        369,060  

Skyworks Solutions, Inc.

      162,917        23,704,423  

Slack Technologies, Inc. - Class A(1)

      473,880        12,728,417  

SMART Global Holdings, Inc.(1)

      6,547        178,995  

Smartsheet, Inc. - Class A(1)

      591,395        29,226,741  

Smith Micro Software, Inc.(1)

      18,201        67,890  

SolarEdge Technologies, Inc.(1)

      4,159        991,298  

Splunk, Inc.(1)

      193,540        36,410,680  

Sprout Social, Inc. - Class A(1)

      13,135        505,697  

SPS Commerce, Inc.(1)

      265,965        20,710,695  

SS&C Technologies Holdings, Inc.

      4,039        244,440  

StoneCo Ltd. - Class A(1)

      15,224        805,197  

SunPower Corp. - Class A(1)

      25,301        316,515  

Super Micro Computer, Inc.(1)

      6,084        160,618  

SVMK, Inc.(1)

      58,355        1,290,229  

Switch, Inc. - Class A

      7,518        117,356  

Sykes Enterprises, Inc.(1)

      1,160        39,684  

Synaptics, Inc.(1)

      15,485        1,245,304  

Synopsys, Inc.(1)

      162,773        34,830,167  

Telenav, Inc.(1)

      7,175        25,830  

Tenable Holdings, Inc.(1)

      33,709        1,272,515  

Teradata Corp.(1)

      6,992        158,718  

Teradyne, Inc.

      14,085        1,119,194  

Trade Desk, Inc. - Class A(1)

      3,519        1,825,587  

Trimble, Inc.(1)

      429,856        20,933,987  

TTEC Holdings, Inc.

      8,750        477,312  

Tucows, Inc. - Class A(1)

      4,460        307,294  

Twilio, Inc. - Class A(1)

      9,704        2,397,761  

Tyler Technologies, Inc.(1)

      61,584        21,465,719  

Ubiquiti, Inc.

      580        96,663  

Ultra Clean Holdings, Inc.(1)

      19,261        413,341  

Unisys Corp.(1)

      3,392        36,193  

Unity Software, Inc.(1)

      8,872        774,348  

Universal Display Corp.

      3,656        660,785  

Upland Software, Inc.(1)

      12,512        471,702  

Varonis Systems, Inc.(1)

      15,036        1,735,455  

Verint Systems, Inc.(1)

      13,840        666,811  

VeriSign, Inc.(1)

      5,158        1,056,616  

Veritone, Inc.(1)

      11,168        102,299  

Verra Mobility Corp. - Class A(1)

      64,357        621,689  

Viavi Solutions, Inc.(1)

      109,906        1,289,197  

VirnetX Holding Corp.

      15,126        79,714  

Virtusa Corp.(1)

      14,027        689,567  

Western Union Co.

      6,653        142,574  

WEX, Inc.(1)

      25,038        3,479,531  

Wix.com Ltd.(1)

      11,071        2,821,444  

Workday, Inc. - Class A(1)

      227,000        48,834,510  

Workiva, Inc. - Class A(1)

      18,842        1,050,630  

Wrap Technologies, Inc.(1)

      4,835        32,733  

Xilinx, Inc.

      20,804        2,168,609  

Xperi Holding Corp.

      3,933        45,190  

Yext, Inc.(1)

      48,859        741,680  

Zebra Technologies Corp. - Class A(1)

      4,085        1,031,299  

Zendesk, Inc.(1)

      134,730        13,866,412  

Zix Corp.(1)

      27,164        158,638  

Zoom Video Communications, Inc. - Class A(1)

      85,439        40,165,728  

Zscaler, Inc.(1)

      371,597        52,279,982  

Zuora, Inc. - Class A(1)

      49,079        507,477  
     

 

 

  

Total Information Technology

 

      1,288,375,560  
     

 

 

  

Materials – 2.09%

      

Amcor Plc

      20,084        221,928  

American Vanguard Corp.

      2,821        37,068  

Amyris, Inc.(1)

      4,190        12,235  

AptarGroup, Inc.

      245,000        27,734,000  

Avery Dennison Corp.

      2,904        371,247  

Balchem Corp.

      39,757        3,881,476  

Ball Corp.

      169,083        14,054,179  

Berry Global Group, Inc.(1)

      186,664        9,019,605  

Boise Cascade Co.

      3,083        123,073  

Caledonia Mining Corp. Plc

      1,448        24,602  

Chase Corp.

      49,566        4,728,596  

Compass Minerals International, Inc.

      16,415        974,230  

Crown Holdings, Inc.(1)

      1,166        89,619  

Ferro Corp.(1)

      29,049        360,208  

FMC Corp.

      2,198        232,790  

Forterra, Inc.(1)

      9,461        111,829  

GCP Applied Technologies, Inc.(1)

      18,294        383,259  

Graphic Packaging Holding Co.

      915,163        12,894,647  

Hawkins, Inc.

      2,554        117,739  

HB Fuller Co.

      16,030        733,853  

Ingevity Corp.(1)

      134,858        6,667,380  

Innospec, Inc.

      103,102        6,528,419  

Koppers Holdings, Inc.(1)

      6,264        130,980  

Louisiana-Pacific Corp.

      54,286        1,601,980  

Marrone Bio Innovations, Inc.(1)

      33,065        40,339  

Materion Corp.

      3,074        159,940  

Myers Industries, Inc.

      6,354        84,063  

NewMarket Corp.

      483        165,341  

Novagold Resources, Inc.(1)

      106,678        1,268,401  

O-I Glass, Inc.

      58,226        616,613  

Orion Engineered Carbons SA

      16,128        201,761  

PQ Group Holdings, Inc.(1)

      3,195        32,781  

Quaker Chemical Corp.

      6,395        1,149,245  

Reliance Steel & Aluminum Co.

      50,836        5,187,305  

Royal Gold, Inc.

      3,998        480,440  

RPM International, Inc.

      9,071        751,442  

Scotts Miracle-Gro Co.

      3,234        494,511  

Sensient Technologies Corp.

      8,331        481,032  

Stepan Co.

      816        88,944  

Trinseo SA

      5,791        148,481  

Tronox Holdings Plc - Class A

      15,203        119,648  

UFP Technologies, Inc.(1)

      320        13,254  

United States Lime & Minerals, Inc.

      55        4,956  

WR Grace & Co.

      1,643        66,197  
     

 

 

  

Total Materials

 

      102,589,636  
     

 

 

  

Real Estate – 1.31%

      

Alexander’s, Inc.

      961        235,656  

Altisource Portfolio Solutions SA(1)

      222        2,813  

Americold Realty Trust

      1,777        63,528  

Bluerock Residential Growth REIT, Inc. - Class A

      4,504        34,140  

Brookfield Property REIT, Inc. - Class A

      3,579        43,807  

CareTrust REIT, Inc.

      6,404        113,959  

CatchMark Timber Trust, Inc. - Class A

      2,592        23,147  

CIM Commercial Trust Corp.

      5,597        55,186  

Clipper Realty, Inc.

      6,363        38,496  

Community Healthcare Trust, Inc.

      10,498        490,886  

CoreSite Realty Corp.

      72,842        8,659,457  

Corporate Office Properties Trust

      301,448        7,150,347  

Cushman & Wakefield Plc(1)

      17,849        187,593  

Easterly Government Properties, Inc.

      38,480        862,337  

EastGroup Properties, Inc.

      17,642        2,281,640  

Equity LifeStyle Properties, Inc.

      6,035        369,946  

eXp World Holdings, Inc.(1)

      11,731        473,229  

Extra Space Storage, Inc.

      7,581        811,091  

Fathom Holdings, Inc.(1)

      780        12,277  

FirstService Corp.

      87,366        11,522,702  

Four Corners Property Trust, Inc.

      33,888        867,194  

Gladstone Commercial Corp.

      3,260        54,931  

Gladstone Land Corp.

      3,940        59,179  

Griffin Industrial Realty, Inc.

      946        50,564  

Hudson Pacific Properties, Inc.

      175,561        3,850,053  

Innovative Industrial Properties, Inc. - Class A

      4,237        525,854  

Iron Mountain, Inc.

      14,236        381,382  

LTC Properties, Inc.

      7,192        250,713  

Marcus & Millichap, Inc.(1)

      1,219        33,547  

Maui Land & Pineapple Co., Inc.(1)

      1,513        16,371  

Monmouth Real Estate Investment Corp.

      40,392        559,429  

National Health Investors, Inc.

      6,675        402,302  

National Storage Affiliates Trust

      30,136        985,749  

NETSTREIT Corp.

      659        12,033  

NexPoint Residential Trust, Inc.

      1,551        68,787  

Plymouth Industrial REIT, Inc.

      7,839        96,733  

PS Business Parks, Inc.

      9,629        1,178,493  

QTS Realty Trust, Inc. - Class A

      27,800        1,751,956  

Redfin Corp.(1)

      46,660        2,329,734  

RMR Group, Inc. - Class A

      6,504        178,665  

Ryman Hospitality Properties, Inc.

      20,998        772,726  

Safehold, Inc.

      4,592        285,163  

Saul Centers, Inc.

      4,723        125,537  

Simon Property Group, Inc.

      20,392        1,318,955  

St Joe Co.(1)

      8,081        166,711  

STAG Industrial, Inc.

      5,722        174,464  

Terreno Realty Corp.

      238,210        13,044,380  

UMH Properties, Inc.

      14,044        190,156  

Uniti Group, Inc.

      92,997        979,723  

Universal Health Realty Income Trust

      5,458        311,051  
     

 

 

  

Total Real Estate

 

      64,454,772  
     

 

 

  

Utilities – 1.01%

      

Ameren Corp.

      287,083        22,702,524  

American States Water Co.

      17,754        1,330,662  

Artesian Resources Corp. - Class A

      279        9,617  

Atlantic Power Corp.(1)

      4,183        8,199  

Brookfield Infrastructure Corp. - Class A

      7,775        430,657  

Brookfield Renewable Corp. - Class A

      2,835        166,131  

Cadiz, Inc.(1)

      4,896        48,617  

California Water Service Group

      21,943        953,423  

Chesapeake Utilities Corp.

      7,300        615,390  

Clearway Energy, Inc. - Class A

      2,762        68,221  

Clearway Energy, Inc. - Class C

      8,335        224,712  

CMS Energy Corp.

      307,073        18,857,353  

Genie Energy Ltd. - Class B

      6,990        55,920  

Global Water Resources, Inc.

      5,857        63,138  

MGE Energy, Inc.

      4,633        290,304  

Middlesex Water Co.

      8,205        509,941  

Northwest Natural Holding Co.

      1,462        66,360  

NRG Energy, Inc.

      7,254        222,988  

ONE Gas, Inc.

      2,862        197,507  

Ormat Technologies, Inc.

      19,260        1,138,459  

Otter Tail Corp.

      6,454        233,441  

Pure Cycle Corp.(1)

      9,273        83,550  

RGC Resources, Inc.

      1,933        45,329  

SJW Group

      6,632        403,624  

South Jersey Industries, Inc.

      28,242        544,223  

Southwest Gas Holdings, Inc.

      2,194        138,441  

Spark Energy, Inc. - Class A

      6,048        50,319  

Sunnova Energy International, Inc.(1)

      3,069        93,328  

York Water Co.

      6,199        262,032  
     

 

 

  

Total Utilities

 

      49,814,410  
     

 

 

  

Total Common Stocks (Cost: $3,717,738,055)

 

      4,816,391,623  
     

 

 

  

SHORT-TERM INVESTMENTS – 2.19%

      

Money Market Funds – 1.88%

      

Goldman Sachs Financial Square Government Fund - Class I, 0.00%(2)

      92,400,138        92,400,138  
     

 

 

  

Total Money Market Funds (Cost: $92,400,138)

         92,400,138  
     

 

 

  
     Principal
Amount		      Value  

Time Deposits – 0.31%

      

Barclays Bank, London, 0.01% due 10/01/2020

    $ 567,529        567,529  

BNP Paribas, Paris, 0.01% due 10/01/2020

      2,007,494        2,007,494  

JP Morgan, New York, 0.01% due 10/01/2020

      2,820,239        2,820,239  

Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 10/01/2020

      9,749,935        9,749,935  
     

 

 

  

Total Time Deposits (Cost: $15,145,197)

         15,145,197  
     

 

 

  

Total Short-Term Investments (Cost: $107,545,335)

 

      107,545,335  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 100.14%

(Cost: $3,825,283,390)

         4,923,936,958  
     

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.14)%

         (6,857,321 ) 
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 4,917,079,637  
     

 

 

  

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)

Represents annualized seven-day yield as of the close of the reporting period.

(3)

Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $382, 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

September 30, 2020 (Unaudited)

 

     Shares      Value  

COMMON STOCKS – 98.07%

      

Communication Services – 1.66%

      

Activision Blizzard, Inc.

      36,914      $ 2,988,188  

Alaska Communications Systems Group, Inc.

      18,363        36,726  

Altice USA, Inc. - Class A(1)

      340,405        8,850,530  

AMC Entertainment Holdings, Inc. - Class A

      21,469        101,119  

AMC Networks, Inc. - Class A(1)

      75,168        1,857,401  

ATN International, Inc.

      4,294        215,301  

Boston Omaha Corp. - Class A(1)

      5,117        81,872  

Cars.com, Inc.(1)

      26,349        212,900  

Central European Media Enterprises Ltd. - Class A(1)

      17,866        74,859  

CenturyLink, Inc.

      33,131        334,292  

Cincinnati Bell, Inc.(1)

      12,967        194,505  

Cinemark Holdings, Inc.

      42,988        429,880  

comScore, Inc.(1)

      24,386        49,747  

Consolidated Communications Holdings, Inc.(1)

      25,655        145,977  

Daily Journal Corp.(1)

      82        19,844  

DHI Group, Inc.(1)

      19,246        43,496  

Discovery, Inc. - Class A(1)

      4,839        105,345  

Discovery, Inc. - Class C(1)

      9,581        187,788  

DISH Network Corp. - Class A(1)

      7,415        215,257  

Electronic Arts, Inc.(1)

      26,202        3,417,003  

Emerald Holding, Inc.

      10,244        20,898  

Entercom Communications Corp. - Class A

      49,585        79,832  

Entravision Communications Corp. - Class A

      26,197        39,819  

Eros STX Global Corp.(1)

      60,269        133,195  

EW Scripps Co. - Class A

      22,184        253,785  

Fluent, Inc.(1)

      18,400        45,632  

Fox Corp. - Class A

      10,311        286,955  

Fox Corp. - Class B

      4,757        133,053  

Gaia, Inc. - Class A(1)

      4,295        42,220  

Gannett Co., Inc.

      55,641        72,333  

GCI Liberty, Inc. - Class A(1)

      2,978        244,077  

Gogo, Inc.(1)

      1,267        11,707  

Gray Television, Inc.(1)

      24,074        331,499  

Hemisphere Media Group, Inc. - Class A(1)

      5,814        50,524  

IDT Corp. - Class B(1)

      2,596        17,082  

iHeartMedia, Inc. - Class A(1)

      23,398        189,992  

IMAX Corp.(1)

      418,947        5,010,606  

Interpublic Group of Companies, Inc.

      11,706        195,139  

Iridium Communications, Inc.(1)

      16,920        432,814  

John Wiley & Sons, Inc. - Class A

      1,296        41,096  

Liberty Broadband Corp. - Class A(1)

      777        110,186  

Liberty Broadband Corp. - Class C(1)

      3,147        449,612  

Liberty Latin America Ltd. - Class A(1)

      18,098        149,309  

Liberty Latin America Ltd. - Class C(1)

      62,960        512,494  

Liberty Media Corp.-Liberty Braves - Class A(1)

      1,406        29,357  

Liberty Media Corp.-Liberty Braves - Class C(1)

      5,589        117,425  

Liberty Media Corp.-Liberty Formula One - Class A(1)

      786        26,339  

Liberty Media Corp.-Liberty Formula One - Class C(1)

      164,111        5,952,306  

Liberty Media Corp.-Liberty SiriusXM - Class A(1)

      2,187        72,543  

Liberty Media Corp.-Liberty SiriusXM - Class C(1)

      4,583        151,606  

Liberty TripAdvisor Holdings, Inc. - Class A(1)

      29,933        51,784  

Lions Gate Entertainment Corp. - Class A(1)

      1,910        18,107  

Lions Gate Entertainment Corp. - Class B(1)

      3,274        28,549  

Live Nation Entertainment, Inc.(1)

      108,353        5,838,060  

LiveXLive Media, Inc.(1)

      15,708        40,762  

Loral Space & Communications, Inc.

      4,033        73,804  

Madison Square Garden Co. - Class A(1)

      565        85,021  

Madison Square Garden Entertainment Corp.(1)

      552        37,807  

Marcus Corp.

      8,870        68,565  

Meredith Corp.

      8,047        105,577  

MSG Networks, Inc. - Class A(1)

      15,917        152,326  

National CineMedia, Inc.

      26,395        71,662  

New York Times Co. - Class A

      4,908        210,013  

News Corp. - Class A

      11,952        167,567  

News Corp. - Class B

      3,451        48,245  

Nexstar Media Group, Inc. - Class A

      303,206        27,267,316  

Omnicom Group, Inc.

      6,421        317,840  

ORBCOMM, Inc.(1)

      25,789        87,683  

Pinterest, Inc. - Class A(1)

      2,038        84,597  

QuinStreet, Inc.(1)

      12,825        203,148  

Saga Communications, Inc. - Class A

      1,696        33,716  

Scholastic Corp.

      11,568        242,812  

Sinclair Broadcast Group, Inc. - Class A

      17,473        336,006  

Sirius XM Holdings, Inc.

      14,023        75,163  

Spok Holdings, Inc.

      6,700        63,717  

Take-Two Interactive Software, Inc.(1)

      254        41,966  

TEGNA, Inc.

      304,234        3,574,750  

Telephone & Data Systems, Inc.

      2,948        54,361  

Tribune Publishing Co.

      6,756        78,775  

TripAdvisor, Inc.

      2,905        56,909  

TrueCar, Inc.(1)

      41,055        205,275  

Twitter, Inc.(1)

      23,194        1,032,133  

United States Cellular Corp.(1)

      480        14,174  

ViacomCBS, Inc. - Class A

      331        10,026  

ViacomCBS, Inc. - Class B

      225,133        6,305,975  

Vonage Holdings Corp.(1)

      41,027        419,706  

WideOpenWest, Inc.(1)

      11,097        57,593  

Yelp, Inc. - Class A(1)

      173,520        3,486,017  

Zillow Group, Inc. - Class A(1)

      1,536        155,965  

Zillow Group, Inc. - Class C(1)

      3,777        383,705  

Zynga, Inc. - Class A(1)

      4,759        43,402  
     

 

 

  

Total Communication Services

 

      86,396,044  
     

 

 

  

Consumer Discretionary – 11.32%

      

Aaron’s, Inc.

      163,174        9,243,807  

Abercrombie & Fitch Co. - Class A

      24,977        347,930  

Acushnet Holdings Corp.

      10,537        354,149  

Adient Plc(1)

      35,191        609,860  

Adtalem Global Education, Inc.(1)

      20,807        510,604  

Advance Auto Parts, Inc.

      34,803        5,342,260  

American Axle & Manufacturing Holdings, Inc.(1)

      184,030        1,061,853  

American Eagle Outfitters, Inc.

      59,943        887,756  

American Outdoor Brands, Inc.(1)

      5,480        71,404  

American Public Education, Inc.(1)

      5,825        164,207  

America’s Car-Mart, Inc.(1)

      585        49,655  

Aptiv Plc

      8,101        742,700  

Aramark

      328,694        8,693,956  

Asbury Automotive Group, Inc.(1)

      4,695        457,528  

At Home Group, Inc.(1)

      21,464        318,955  

AutoNation, Inc.(1)

      1,731        91,622  

AutoZone, Inc.(1)

      12,962        15,264,570  

BBX Capital Corp. - Class A

      4,961        66,428  

Beazer Homes USA, Inc.(1)

      11,506        151,879  

Bed Bath & Beyond, Inc.

      50,660        758,887  

Best Buy Co., Inc.

      148,886        16,569,523  

Big Lots, Inc.

      58,533        2,610,572  

Biglari Holdings, Inc. - Class A(1)

      40        19,512  

Biglari Holdings, Inc. - Class B(1)

      321        28,572  

BJ’s Restaurants, Inc.

      8,800        259,072  

Bloomin’ Brands, Inc.

      143,600        2,192,772  

Bluegreen Vacations Corp.

      2,892        14,171  

Boot Barn Holdings, Inc.(1)

      1,008        28,365  

BorgWarner, Inc.

      436,120        16,895,289  

Boyd Gaming Corp.

      32,426        995,154  

Bright Horizons Family Solutions, Inc.(1)

      42,473        6,457,595  

Brinker International, Inc.

      5,927        253,201  

Brunswick Corp.

      245,332        14,452,508  

Buckle, Inc.

      117,172        2,389,137  

Burlington Stores, Inc.(1)

      207        42,661  

Caesars Entertainment, Inc.(1)

      22,893        1,283,382  

Caleres, Inc.

      15,168        145,006  

Callaway Golf Co.

      37,237        712,716  

Capri Holdings Ltd.(1)

      4,207        75,726  

CarMax, Inc.(1)

      4,525        415,893  

Carnival Corp.

      14,166        215,040  

CarParts.com, Inc.(1)

      927        10,021  

Carriage Services, Inc. - Class A

      6,301        140,575  

Carrols Restaurant Group, Inc.(1)

      14,342        92,506  

Carter’s, Inc.

      139,668        12,092,455  

Casper Sleep, Inc.(1)

      7,954        57,189  

Cato Corp. - Class A

      8,752        68,441  

Century Casinos, Inc.(1)

      10,717        58,729  

Century Communities, Inc.(1)

      11,568        489,673  

Cheesecake Factory, Inc.

      16,945        470,054  

Chico’s FAS, Inc.

      46,596        45,315  

Children’s Place, Inc.

      1,544        43,772  

Choice Hotels International, Inc.

      1,059        91,032  

Chuy’s Holdings, Inc.(1)

      7,820        153,116  

Citi Trends, Inc.

      4,059        101,394  

Clarus Corp.

      8,781        123,988  

Collectors Universe, Inc.

      293        14,501  

Columbia Sportswear Co.

      896        77,934  

Conn’s, Inc.(1)

      7,635        80,778  

Container Store Group, Inc.(1)

      8,198        50,910  

Cooper Tire & Rubber Co.

      20,241        641,640  

Cooper-Standard Holdings, Inc.(1)

      6,988        92,311  

Core-Mark Holding Co., Inc.

      1,339        38,737  

Cracker Barrel Old Country Store, Inc.

      5,429        622,489  

Dana, Inc.

      212,600        2,619,232  

Darden Restaurants, Inc.

      57,573        5,799,904  

Dave & Buster’s Entertainment, Inc.

      11,224        170,156  

Del Taco Restaurants, Inc.(1)

      12,539        102,820  

Denny’s Corp.(1)

      8,970        89,700  

Designer Brands, Inc. - Class A

      24,488        132,970  

Dick’s Sporting Goods, Inc.

      113,051        6,543,392  

Dillard’s, Inc. - Class A

      3,168        115,695  

Dine Brands Global, Inc.

      30,901        1,686,886  

Dollar General Corp.

      32,675        6,849,333  

Dollar Tree, Inc.(1)

      48,997        4,475,386  

DR Horton, Inc.

      10,000        756,300  

Duluth Holdings, Inc. - Class B(1)

      4,354        53,206  

Dunkin’ Brands Group, Inc.

      392        32,109  

eBay, Inc.

      226,576        11,804,610  

El Pollo Loco Holdings, Inc.(1)

      7,020        113,724  

Escalade, Inc.

      4,292        78,501  

Ethan Allen Interiors, Inc.

      8,821        119,436  

Everi Holdings, Inc.(1)

      21,511        177,466  

Expedia Group, Inc.

      83,374        7,644,562  

Express, Inc.(1)

      32,329        19,721  

Extended Stay America, Inc.

      5,253        62,773  

Fiesta Restaurant Group, Inc.(1)

      7,317        68,560  

Foot Locker, Inc.

      252,861        8,351,999  

Ford Motor Co.

      117,666        783,656  

Fossil Group, Inc.(1)

      18,834        108,107  

Franchise Group, Inc.

      7,736        196,185  

Frontdoor, Inc.(1)

      2,165        84,240  

Funko, Inc. - Class A(1)

      308,860        1,788,299  

GameStop Corp. - Class A(1)

      23,687        241,607  

GAN Ltd.(1)

      540        9,126  

Gap, Inc.

      5,450        92,813  

Garmin Ltd.

      4,500        426,870  

Genesco, Inc.(1)

      5,689        122,541  

Gentex Corp.

      249,560        6,426,170  

Genuine Parts Co.

      4,225        402,093  

G-III Apparel Group Ltd.(1)

      17,550        230,080  

Golden Entertainment, Inc.(1)

      4,044        55,929  

Goodyear Tire & Rubber Co.

      237,445        1,821,203  

GoPro, Inc. - Class A(1)

      4,765        21,585  

Graham Holdings Co. - Class B

      126        50,918  

Grand Canyon Education, Inc.(1)

      196,669        15,721,720  

Green Brick Partners, Inc.(1)

      9,756        157,072  

Group 1 Automotive, Inc.

      40,975        3,621,780  

Groupon, Inc. - Class A(1)

      9,147        186,599  

GrubHub, Inc.(1)

      2,497        180,608  

Guess, Inc.

      16,908        196,471  

H&R Block, Inc.

      1,647        26,830  

Hamilton Beach Brands Holding Co. - Class A

      1,770        34,426  

Hanesbrands, Inc.

      706,558        11,128,288  

Harley-Davidson, Inc.

      469,076        11,511,125  

Hasbro, Inc.

      3,850        318,472  

Haverty Furniture Companies, Inc.

      6,528        136,696  

Hibbett Sports, Inc.(1)

      6,499        254,891  

Hilton Worldwide Holdings, Inc.

      8,241        703,122  

Hooker Furniture Corp.

      4,417        114,091  

Houghton Mifflin Harcourt Co.(1)

      44,013        76,142  

Hudson Ltd. - Class A(1)

      15,890        120,764  

Hyatt Hotels Corp. - Class A

      1,048        55,932  

International Game Technology Plc

      286,683        3,190,782  

Jack in the Box, Inc.

      8,069        639,952  

Johnson Outdoors, Inc. - Class A

      1,049        85,903  

K12, Inc.(1)

      15,886        418,437  

KB Home

      30,073        1,154,502  

Kohl’s Corp.

      85,249        1,579,664  

Kontoor Brands, Inc.

      20,456        495,035  

Kura Sushi USA, Inc. - Class A(1)

      1,230        16,113  

L Brands, Inc.

      6,889        219,139  

Lakeland Industries, Inc.(1)

      2,937        58,153  

Lands’ End, Inc.(1)

      4,767        62,114  

Las Vegas Sands Corp.

      132,175        6,167,286  

Laureate Education, Inc. - Class A(1)

      761,958        10,118,802  

La-Z-Boy, Inc.

      606,592        19,186,505  

Lear Corp.

      82,143        8,957,694  

Legacy Housing Corp.(1)

      2,176        29,768  

Leggett & Platt, Inc.

      3,961        163,074  

Lennar Corp. - Class A

      8,211        670,674  

Lennar Corp. - Class B

      416        27,315  

Lifetime Brands, Inc.

      4,500        42,525  

Liquidity Services, Inc.(1)

      10,793        80,516  

Lithia Motors, Inc. - Class A

      4,562        1,039,862  

LKQ Corp.(1)

      547,187        15,173,496  

Lumber Liquidators Holdings, Inc.(1)

      9,972        219,883  

M/I Homes, Inc.(1)

      11,137        512,859  

Macy’s, Inc.

      125,158        713,401  

Magnite, Inc.(1)

      19,469        135,212  

MarineMax, Inc.(1)

      8,148        209,159  

Marriott International, Inc. - Class A

      63,641        5,891,884  

Marriott Vacations Worldwide Corp.

      14,101        1,280,512  

Mattel, Inc.(1)

      4,219        49,362  

MDC Holdings, Inc.

      133,533        6,289,404  

Meritage Homes Corp.(1)

      14,057        1,551,752  

MGM Resorts International

      14,250        309,938  

Modine Manufacturing Co.(1)

      20,401        127,506  

Mohawk Industries, Inc.(1)

      101,158        9,872,009  

Monarch Casino & Resort, Inc.(1)

      1,359        60,611  

Monro, Inc.

      6,662        270,277  

Motorcar Parts of America, Inc.(1)

      6,651        103,490  

Movado Group, Inc.

      6,541        65,018  

Nathan’s Famous, Inc.

      1,205        61,756  

National Vision Holdings, Inc.(1)

      5,469        209,135  

Nautilus, Inc.(1)

      11,898        204,170  

Newell Brands, Inc.

      345,951        5,936,519  

Noodles & Co. - Class A(1)

      6,127        42,092  

Nordstrom, Inc.

      95,834        1,142,341  

Norwegian Cruise Line Holdings Ltd.(1)

      253,630        4,339,609  

NVR, Inc.(1)

      3,436        14,029,600  

ODP CORP/THE

      89,810        1,746,805  

Ollie’s Bargain Outlet Holdings, Inc.(1)

      171        14,937  

OneSpaWorld Holdings Ltd.

      17,602        114,413  

Overstock.com, Inc.(1)

      3,088        224,343  

Oxford Industries, Inc.

      177,814        7,176,573  

Papa John’s International, Inc.

      1,904        156,661  

Peloton Interactive, Inc. - Class A(1)

      2,229        221,206  

Penn National Gaming, Inc.(1)

      30,189        2,194,740  

Penske Automotive Group, Inc.

      44,066        2,100,186  

Planet Fitness, Inc. - Class A(1)

      1,070        65,933  

PlayAGS, Inc.(1)

      8,090        28,639  

Polaris Industries, Inc.

      1,552        146,416  

PulteGroup, Inc.

      118,674        5,493,419  

PVH Corp.

      179,206        10,687,846  

Quotient Technology, Inc.(1)

      15,610        115,202  

Qurate Retail, Inc.

      11,349        81,486  

Ralph Lauren Corp. - Class A

      1,414        96,110  

RCI Hospitality Holdings, Inc.

      3,541        72,236  

Red Robin Gourmet Burgers, Inc.(1)

      5,903        77,683  

Red Rock Resorts, Inc. - Class A

      690,782        11,812,372  

Regis Corp.(1)

      454,910        2,793,147  

Rent-A-Center, Inc.

      2,374        70,959  

Rocky Brands, Inc.

      2,872        71,312  

Ross Stores, Inc.

      65,728        6,133,737  

Royal Caribbean Cruises Ltd.

      30,587        1,979,897  

Sally Beauty Holdings, Inc.(1)

      45,414        394,648  

Scientific Games Corp.(1)

      6,460        225,519  

SeaWorld Entertainment, Inc.(1)

      11,244        221,732  

Service Corp. International

      5,170        218,071  

ServiceMaster Global Holdings, Inc.(1)

      416,768        16,620,708  

Shoe Carnival, Inc.

      3,603        120,989  

Signet Jewelers Ltd.

      20,627        385,725  

Six Flags Entertainment Corp.

      231,627        4,702,028  

Skechers USA, Inc. - Class A(1)

      202,660        6,124,385  

Sleep Number Corp.(1)

      76,152        3,724,594  

Smith & Wesson Brands, Inc.

      21,922        340,229  

Sonic Automotive, Inc. - Class A

      9,568        384,251  

Stamps.com, Inc.(1)

      11,638        2,804,176  

Standard Motor Products, Inc.

      7,076        315,943  

Steven Madden Ltd.

      18,349        357,806  

Stitch Fix, Inc. - Class A(1)

      3,426        92,947  

Stoneridge, Inc.(1)

      158,813        2,917,395  

Sturm Ruger & Co., Inc.

      787        48,133  

Superior Group of Companies, Inc.

      3,749        87,089  

Tapestry, Inc.

      8,254        129,010  

Target Hospitality Corp.(1)

      7,519        9,173  

Taylor Morrison Home Corp. - Class A(1)

      45,434        1,117,222  

Tempur Sealy International, Inc.(1)

      353        31,484  

Tenneco, Inc. - Class A(1)

      20,080        139,355  

The Michaels Companies, Inc.(1)

      30,247        292,035  

Thor Industries, Inc.

      1,683        160,323  

Tiffany & Co.

      3,651        422,968  

Tilly’s, Inc. - Class A

      8,741        52,708  

Toll Brothers, Inc.

      291,062        14,163,077  

TRI Pointe Group, Inc.(1)

      51,551        935,135  

Tupperware Brands Corp.(1)

      19,583        394,793  

Turtle Beach Corp.(1)

      5,328        96,970  

Ulta Beauty, Inc.(1)

      15,748        3,527,237  

Under Armour, Inc. - Class A(1)

      5,807        65,213  

Under Armour, Inc. - Class C(1)

      5,799        57,062  

Unifi, Inc.(1)

      5,438        69,824  

Universal Electronics, Inc.(1)

      733        27,663  

Urban Outfitters, Inc.(1)

      494,037        10,280,910  

Vail Resorts, Inc.

      54,333        11,625,632  

Vera Bradley, Inc.(1)

      8,154        49,821  

VF Corp.

      96,337        6,767,674  

Vista Outdoor, Inc.(1)

      23,480        473,826  

Visteon Corp.(1)

      65,549        4,537,302  

Vivint Smart Home, Inc.(1)

      22,977        392,447  

VOXX International Corp. - Class A(1)

      7,992        61,458  

Vroom, Inc.(1)

      136        7,042  

Wayfair, Inc. - Class A(1)

      178        51,800  

Weyco Group, Inc.

      2,512        40,619  

Whirlpool Corp.

      128,626        23,653,035  

Williams-Sonoma, Inc.

      55,143        4,987,133  

Winmark Corp.

      892        153,585  

Wolverine World Wide, Inc.

      488,609        12,625,657  

Workhorse Group, Inc.(1)

      37,607        950,705  

WW International, Inc.(1)

      14,330        270,407  

Wyndham Destinations, Inc.

      196,595        6,047,262  

Wyndham Hotels & Resorts, Inc.

      245,478        12,396,639  

Wynn Resorts Ltd.

      65,362        4,693,645  

Yum China Holdings, Inc.

      11,260        596,217  

Zumiez, Inc.(1)

      287,387        7,995,106  
     

 

 

  

Total Consumer Discretionary

 

      589,494,939  
     

 

 

  

Consumer Staples – 4.33%

      

Albertsons Companies, Inc. - Class A(1)

      842        11,662  

Alico, Inc.

      1,973        56,467  

Archer-Daniels-Midland Co.

      256,525        11,925,847  

B&G Foods, Inc.

      3,088        85,754  

BellRing Brands, Inc. - Class A(1)

      15,879        329,330  

Beyond Meat, Inc.(1)

      309        51,313  

Bridgford Foods Corp.(1)

      418        7,654  

Brown-Forman Corp. - Class A

      192        13,187  

Brown-Forman Corp. - Class B

      806        60,708  

Bunge Ltd.

      4,088        186,822  

Cal-Maine Foods, Inc.(1)

      8,264        317,090  

Campbell Soup Co.

      2,654        128,374  

Casey’s General Stores, Inc.

      1,105        196,303  

Central Garden & Pet Co. - Class A(1)

      2,854        113,960  

Central Garden & Pet Co. - Class A(1)

      318,359        11,505,494  

Clorox Co.

      1,112        233,709  

Coca-Cola European Partners Plc

      145,146        5,633,116  

Conagra Brands, Inc.

      218,329        7,796,529  

Constellation Brands, Inc. - Class A

      100,860        19,113,979  

Coty, Inc. - Class A

      8,396        22,669  

Craft Brew Alliance, Inc.(1)

      4,576        75,504  

Darling Ingredients, Inc.(1)

      64,181        2,312,441  

Edgewell Personal Care Co.(1)

      21,830        608,620  

Energizer Holdings, Inc.

      106,777        4,179,252  

Farmer Brothers Co.(1)

      6,480        28,642  

Flowers Foods, Inc.

      196,062        4,770,188  

Fresh Del Monte Produce, Inc.

      12,528        287,142  

Grocery Outlet Holding Corp.(1)

      970        38,140  

Hain Celestial Group, Inc.(1)

      2,427        83,246  

Herbalife Nutrition Ltd.(1)

      2,352        109,721  

Hershey Co.

      1,012        145,060  

HF Foods Group, Inc.(1)

      14,134        93,426  

Hormel Foods Corp.

      8,454        413,316  

Hostess Brands, Inc. - Class A(1)

      632,813        7,802,584  

Ingles Markets, Inc. - Class A

      5,760        219,110  

Ingredion, Inc.

      72,651        5,498,228  

J&J Snack Foods Corp.

      4,364        569,022  

Kellogg Co.

      4,984        321,917  

Kroger Co.

      394,059        13,362,541  

Lamb Weston Holdings, Inc.

      3,372        223,462  

Lancaster Colony Corp.

      66,350        11,863,380  

Landec Corp.(1)

      10,440        101,477  

Limoneira Co.

      5,032        71,958  

McCormick & Co., Inc.

      1,642        318,712  

MGP Ingredients, Inc.

      54,234        2,155,259  

Molson Coors Brewing Co. - Class B

      283,239        9,505,501  

Natural Grocers by Vitamin Cottage, Inc.

      1,135        11,191  

Nature’s Sunshine Products, Inc.(1)

      3,336        38,597  

NewAge, Inc.(1)

      20,044        34,676  

Nomad Foods Ltd.(1)

      611,653        15,584,918  

Nu Skin Enterprises, Inc. - Class A

      1,512        75,736  

Oil-Dri Corp. of America

      1,956        69,966  

Performance Food Group Co.(1)

      532,478        18,434,388  

Pilgrim’s Pride Corp.(1)

      133,713        2,001,015  

Post Holdings, Inc.(1)

      222,845        19,164,670  

PriceSmart, Inc.

      8,476        563,230  

Primo Water Corp.

      62,713        890,525  

Revlon, Inc. - Class A(1)

      2,608        16,483  

Reynolds Consumer Products, Inc.

      1,034        31,661  

Rite Aid Corp.(1)

      22,002        208,799  

Sanderson Farms, Inc.

      51,016        6,018,357  

Seaboard Corp.

      8        22,694  

Seneca Foods Corp. - Class A(1)

      2,678        95,685  

Simply Good Foods Co.(1)

      635,497        14,012,709  

SpartanNash Co.

      14,331        234,312  

Spectrum Brands Holdings, Inc.

      1,250        71,450  

Sprouts Farmers Market, Inc.(1)

      628        13,144  

The Andersons, Inc.

      12,424        238,168  

The Chefs’ Warehouse, Inc.(1)

      11,980        174,189  

The J.M. Smucker Co.

      58,919        6,806,323  

Tootsie Roll Industries, Inc.

      1,008        31,147  

TreeHouse Foods, Inc.(1)

      1,729        70,076  

Tyson Foods, Inc. - Class A

      229,670        13,660,772  

United Natural Foods, Inc.(1)

      50,479        750,623  

Universal Corp.

      53,904        2,257,500  

US Foods Holding Corp.(1)

      6,560        145,763  

Vector Group Ltd.

      49,217        476,913  

Village Super Market, Inc. - Class A

      3,461        85,175  

Vital Farms, Inc.(1)

      2,336        94,678  

WD-40 Co.

      323        61,147  

Weis Markets, Inc.

      3,882        186,336  
     

 

 

  

Total Consumer Staples

 

      225,580,832  
     

 

 

  

Energy – 2.55%

      

Adams Resources & Energy, Inc.

      875        17,413  

Antero Midstream Corp.

      8,862        47,589  

Antero Resources Corp.(1)

      98,735        271,521  

Apache Corp.

      11,366        107,636  

Arch Resources, Inc.

      23,750        1,008,900  

Archrock, Inc.

      51,524        277,199  

Ardmore Shipping Corp.

      12,856        45,767  

Aspen Aerogels, Inc.(1)

      7,297        79,902  

Baker Hughes a GE Co. - Class A

      19,917        264,697  

Berry Petroleum Corp.

      27,075        85,828  

Bonanza Creek Energy, Inc.(1)

      7,303        137,296  

Brigham Minerals, Inc. - Class A

      14,537        129,670  

Bristow Group, Inc.(1)

      2,391        50,809  

Cabot Oil & Gas Corp.

      11,855        205,803  

Cactus, Inc. - Class A

      10,080        193,435  

Callon Petroleum Co.(1)

      109,684        528,677  

ChampionX Corp.(1)

      930,486        7,434,583  

Cimarex Energy Co.

      178,775        4,349,596  

Clean Energy Fuels Corp.(1)

      50,361        124,895  

CNX Resources Corp.(1)

      88,681        837,149  

Comstock Resources, Inc.(1)

      9,761        42,753  

Concho Resources, Inc.

      5,850        258,102  

ConocoPhillips

      244,421        8,026,786  

CONSOL Energy, Inc.(1)

      11,054        48,969  

Contango Oil & Gas Co.(1)

      28,394        38,048  

Continental Resources, Inc.

      2,237        27,470  

CVR Energy, Inc.

      11,392        141,033  

Delek US Holdings, Inc.

      24,879        276,903  

Devon Energy Corp.

      11,679        110,483  

DHT Holdings, Inc.

      44,277        228,469  

Diamond S Shipping, Inc.(1)

      11,295        77,597  

Diamondback Energy, Inc.

      4,811        144,907  

DMC Global, Inc.

      3,059        100,764  

Dorian LPG Ltd.(1)

      12,344        98,875  

Dril-Quip, Inc.(1)

      14,029        347,358  

Earthstone Energy, Inc. - Class A(1)

      10,289        26,649  

Energy Fuels, Inc.(1)

      46,561        78,223  

EQT Corp.

      7,612        98,423  

Equitrans Midstream Corp.

      11,015        93,187  

Evolution Petroleum Corp.

      12,930        28,963  

Exterran Corp.(1)

      10,494        43,655  

Falcon Minerals Corp.

      14,139        34,499  

Frank’s International NV(1)

      1,763,319        2,715,511  

Frontline Ltd./Bermuda

      46,874        304,681  

Golar LNG Ltd.(1)

      36,620        221,734  

Goodrich Petroleum Corp.(1)

      1,131        8,697  

Green Plains, Inc.(1)

      13,558        209,878  

Gulfport Energy Corp.(1)

      64,127        33,801  

Halliburton Co.

      26,370        317,759  

Helix Energy Solutions Group, Inc.(1)

      58,223        140,317  

Helmerich & Payne, Inc.

      3,206        46,968  

Hess Corp.

      8,311        340,169  

HollyFrontier Corp.

      108,183        2,132,287  

International Seaways, Inc.

      9,278        135,552  

Kosmos Energy Ltd.

      164,146        160,141  

Liberty Oilfield Services, Inc. - Class A

      25,678        205,167  

Magnolia Oil & Gas Corp. - Class A(1)

      2,229,796        11,528,045  

Marathon Oil Corp.

      24,204        98,994  

Marathon Petroleum Corp.

      319,171        9,364,477  

Matador Resources Co.(1)

      944,932        7,805,138  

Matrix Service Co.(1)

      10,286        85,888  

Montage Resources Corp.(1)

      7,727        33,922  

Murphy Oil Corp.

      4,215        37,598  

Nabors Industries Ltd.

      2,870        70,143  

NACCO Industries, Inc. - Class A

      1,329        24,201  

National Energy Services Reunited, Inc.(1)

      8,321        53,088  

National Oilwell Varco, Inc.

      11,624        105,314  

Newpark Resources, Inc.(1)

      37,231        39,093  

NextDecade Corp.(1)

      7,837        23,354  

NexTier Oilfield Solutions, Inc.(1)

      61,601        113,962  

Noble Energy, Inc.

      14,484        123,838  

Nordic American Tankers Ltd.

      58,690        204,828  

Occidental Petroleum Corp.

      25,289        253,143  

Oceaneering International, Inc.(1)

      40,763        143,486  

Oil States International, Inc.(1)

      24,270        66,257  

ONEOK, Inc.

      13,177        342,339  

Overseas Shipholding Group, Inc. - Class A(1)

      27,535        58,925  

Ovintiv, Inc.

      103,919        847,979  

Par Pacific Holdings, Inc.(1)

      16,773        113,553  

Parsley Energy, Inc. - Class A

      1,274,335        11,927,776  

Patterson-UTI Energy, Inc.

      73,578        209,697  

PBF Energy, Inc. - Class A

      39,297        223,600  

PDC Energy, Inc.(1)

      40,072        496,692  

Peabody Energy Corp.

      26,799        61,638  

Penn Virginia Corp.(1)

      5,017        49,418  

Pioneer Natural Resources Co.

      130,816        11,248,868  

Plains GP Holdings LP - Class A(1)

      1,240,023        7,551,740  

PrimeEnergy Resources Corp.(1)

      192        12,710  

ProPetro Holding Corp.(1)

      31,778        129,019  

Range Resources Corp.

      85,217        564,137  

Renewable Energy Group, Inc.(1)

      15,204        812,198  

REX American Resources Corp.(1)

      2,164        141,980  

RPC, Inc.(1)

      22,688        59,896  

Schlumberger Ltd.

      502,934        7,825,653  

Scorpio Tankers, Inc.

      20,157        223,138  

SEACOR Holdings, Inc.(1)

      7,513        218,478  

Select Energy Services, Inc. - Class A(1)

      23,781        91,319  

SFL Corp. Ltd.

      38,620        289,264  

SM Energy Co.

      45,987        73,119  

Solaris Oilfield Infrastructure, Inc. - Class A

      11,117        70,482  

Southwestern Energy Co.(1)

      239,490        562,802  

Talos Energy, Inc.(1)

      5,792        37,358  

Targa Resources Corp.

      6,927        97,186  

Tellurian, Inc.(1)

      58,716        46,785  

Tidewater, Inc.(1)

      16,158        108,420  

Transocean Ltd.(1)

      231,838        187,070  

Uranium Energy Corp.(1)

      42,777        42,640  

US Silica Holdings, Inc.

      29,871        89,613  

Valero Energy Corp.

      221,435        9,592,564  

W&T Offshore, Inc.(1)

      36,883        66,389  

Whiting Petroleum Corp.(1)

      484        8,368  

Williams Companies, Inc.

      36,701        721,175  

World Fuel Services Corp.

      89,826        1,903,413  

WPX Energy, Inc.(1)

      2,419,346        11,854,795  
     

 

 

  

Total Energy

 

      132,680,108  
     

 

 

  

Financials – 19.38%

      

1st Constitution Bancorp

      3,471        41,305  

1st Source Corp.

      6,518        201,015  

ACNB Corp.

      3,369        70,075  

Affiliated Managers Group, Inc.

      1,371        93,749  

Aflac, Inc.

      167,132        6,075,248  

AGNC Investment Corp.

      16,796        233,632  

Alerus Financial Corp.

      5,882        115,287  

Alleghany Corp.

      22,442        11,679,939  

Allegiance Bancshares, Inc.

      7,108        166,114  

Allstate Corp.

      272,094        25,614,929  

Ally Financial, Inc.

      192,505        4,826,100  

Altabancorp

      6,254        125,830  

Amalgamated Bank - Class A

      5,037        53,291  

A-Mark Precious Metals, Inc.

      2,102        70,879  

Ambac Financial Group, Inc.(1)

      18,435        235,415  

Amerant Bancorp, Inc. - Class A(1)

      9,566        89,059  

American Equity Investment Life Holding Co.

      35,960        790,760  

American Financial Group, Inc.

      47,630        3,190,257  

American International Group, Inc.

      540,031        14,867,053  

American National Bankshares, Inc.

      4,199        87,843  

American National Group, Inc.

      245        16,545  

Ameriprise Financial, Inc.

      199,242        30,705,185  

Ameris Bancorp

      26,475        603,100  

AMERISAFE, Inc.

      7,742        444,081  

Ames National Corp.

      3,328        56,210  

Annaly Capital Management, Inc.

      330,554        2,353,544  

Anworth Mortgage Asset Corp.

      40,246        66,003  

Aon Plc - Class A

      60,791        12,541,183  

Apollo Commercial Real Estate Finance, Inc.

      59,730        538,167  

Apollo Global Management, Inc. - Class A

      2,559        114,515  

Arbor Realty Trust, Inc.

      41,675        478,012  

Arch Capital Group Ltd.(1)

      11,822        345,794  

Ares Commercial Real Estate Corp.

      12,190        111,417  

Ares Management Corp. - Class A

      214,325        8,663,016  

Argo Group International Holdings Ltd.

      13,029        448,588  

Arlington Asset Investment Corp. - Class A

      15,203        43,177  

ARMOUR Residential REIT, Inc.

      25,539        242,876  

Arrow Financial Corp.

      5,464        137,092  

Arthur J. Gallagher & Co.

      152,274        16,077,089  

Artisan Partners Asset Management, Inc. - Class A

      12,848        500,944  

Assetmark Financial Holdings, Inc.(1)

      3,569        77,590  

Associated Banc-Corp.

      310,481        3,918,270  

Associated Capital Group, Inc. - Class A

      626        22,617  

Assurant, Inc.

      1,794        217,630  

Assured Guaranty Ltd.

      121,289        2,605,288  

Athene Holding Ltd. - Class A(1)

      502,999        17,142,206  

Atlantic Capital Bancshares, Inc.(1)

      8,363        94,920  

Atlantic Union Bankshares Corp.

      31,408        671,189  

Auburn National Bancorporation, Inc.

      894        32,416  

Axis Capital Holdings Ltd.

      91,808        4,043,224  

Axos Financial, Inc.(1)

      21,136        492,680  

B. Riley Financial, Inc.

      7,354        184,291  

Banc of California, Inc.

      17,641        178,527  

BancFirst Corp.

      7,477        305,361  

Banco Latinoamericano de Comercio Exterior SA - Class E

      38,418        466,779  

BancorpSouth Bank

      855,112        16,572,071  

Bank First Corp.

      121        7,103  

Bank of Commerce Holdings

      6,310        43,981  

Bank of Hawaii Corp.

      127,277        6,430,034  

Bank of Marin Bancorp

      5,445        157,687  

Bank of NT Butterfield & Son Ltd.

      433,331        9,654,615  

Bank of Princeton

      2,083        37,848  

Bank OZK

      287,294        6,125,108  

BankFinancial Corp.

      5,796        41,847  

BankUnited, Inc.

      287,573        6,300,724  

Bankwell Financial Group, Inc.

      2,534        35,856  

Banner Corp.

      10,631        342,956  

Bar Harbor Bankshares

      6,025        123,814  

BayCom Corp.(1)

      3,471        35,751  

BCB Bancorp, Inc.

      5,513        44,104  

Berkshire Hills Bancorp, Inc.

      17,401        175,924  

BGC Partners, Inc. - Class A

      122,506        294,014  

Blackstone Mortgage Trust, Inc. - Class A

      54,933        1,206,878  

Blucora, Inc.(1)

      19,030        179,263  

Bogota Financial Corp.(1)

      2,680        20,422  

BOK Financial Corp.

      99,774        5,139,359  

Boston Private Financial Holdings, Inc.

      33,990        187,625  

Bridge Bancorp, Inc.

      6,530        113,818  

Bridgewater Bancshares, Inc.(1)

      7,865        74,639  

Brighthouse Financial, Inc.(1)

      155,627        4,187,923  

Brightsphere Investment Group, Inc.

      666,625        8,599,462  

Broadmark Realty Capital, Inc.

      51,753        510,285  

Brookline Bancorp, Inc.

      687,174        5,940,619  

Brown & Brown, Inc.

      6,759        305,980  

Bryn Mawr Bank Corp.

      8,078        200,900  

Business First Bancshares, Inc.

      7,611        114,165  

Byline Bancorp, Inc.

      9,914        111,830  

C&F Financial Corp.

      1,336        39,679  

Cadence BanCorp - Class A

      49,876        428,435  

California Bancorp, Inc.(1)

      2,691        30,489  

Cambridge Bancorp

      1,954        103,875  

Camden National Corp.

      6,033        182,347  

Cannae Holdings, Inc.(1)

      34,281        1,277,310  

Capital Bancorp, Inc.(1)

      2,921        27,633  

Capital City Bank Group, Inc.

      5,632        105,825  

Capitol Federal Financial, Inc.

      52,980        490,860  

Capstar Financial Holdings, Inc.

      6,840        67,100  

Capstead Mortgage Corp.

      39,135        219,939  

Carlyle Group, Inc.

      3,114        76,822  

Carter Bank & Trust

      8,327        55,375  

Cathay General Bancorp

      514,778        11,160,387  

CB Financial Services, Inc.

      1,860        35,489  

CBOE Global Markets, Inc.

      2,569        225,404  

CBTX, Inc.

      7,437        121,521  

Central Pacific Financial Corp.

      8,489        115,196  

Central Valley Community Bancorp

      4,680        57,798  

Century Bancorp, Inc. - Class A

      931        61,204  

Chemung Financial Corp.

      1,510        43,594  

Cherry Hill Mortgage Investment Corp.

      5,547        49,812  

Chimera Investment Corp.

      225,048        1,845,394  

ChoiceOne Financial Services, Inc.

      2,944        76,603  

Cincinnati Financial Corp.

      4,537        353,750  

CIT Group, Inc.

      118,720        2,102,531  

Citizens & Northern Corp.

      5,434        88,248  

Citizens Financial Group, Inc.

      271,906        6,873,784  

Citizens Holding Co.

      1,731        38,809  

Citizens, Inc. - Class A(1)

      18,865        104,512  

City Holding Co.

      6,147        354,129  

Civista Bancshares, Inc.

      6,543        81,918  

CNA Financial Corp.

      105,975        3,178,190  

CNB Financial Corporation, Inc.

      6,214        92,402  

CNO Financial Group, Inc.

      537,595        8,623,024  

Coastal Financial Corp.(1)

      3,151        38,600  

Codorus Valley Bancorp, Inc.

      3,991        52,282  

Colony Bankcorp, Inc.

      2,921        31,401  

Colony Credit Real Estate, Inc.

      32,834        161,215  

Columbia Banking System, Inc.

      28,329        675,647  

Columbia Financial, Inc.(1)

      13,898        154,268  

Comerica, Inc.

      4,185        160,076  

Commerce Bancshares, Inc.

      3,007        169,264  

Community Bank System, Inc.

      21,092        1,148,670  

Community Bankers Trust Corp.

      8,439        42,870  

Community Financial Corp.

      2,122        45,305  

Community Trust Bancorp, Inc.

      6,358        179,677  

ConnectOne Bancorp, Inc.

      14,709        206,956  

County Bancorp, Inc.

      1,778        33,426  

Cowen, Inc. - Class A

      7,192        117,014  

Crawford & Co. - Class A

      5,461        35,715  

Credit Acceptance Corp.(1)

      273        92,449  

CrossFirst Bankshares, Inc.(1)

      19,519        169,620  

Cullen/Frost Bankers, Inc.

      108,050        6,909,798  

Customers Bancorp, Inc.(1)

      10,227        114,542  

CVB Financial Corp.

      930,625        15,476,294  

Diamond Hill Investment Group, Inc.

      1,249        157,774  

Dime Community Bancshares, Inc.

      10,975        124,127  

Discover Financial Services

      375,787        21,712,973  

Donegal Group, Inc. - Class A

      4,096        57,631  

Donnelley Financial Solutions, Inc.(1)

      11,972        159,946  

Dynex Capital, Inc.

      8,982        136,616  

E*TRADE Financial Corp.

      6,713        335,986  

Eagle Bancorp Montana, Inc.

      2,741        48,296  

Eagle Bancorp, Inc.

      12,898        345,537  

East West Bancorp, Inc.

      432,527        14,160,934  

Eaton Vance Corp.

      3,315        126,467  

Element Fleet Management Corp.

      980,471        8,158,626  

Ellington Financial, Inc.

      16,090        197,263  

Ellington Residential Mortgage REIT

      3,435        38,129  

Employers Holdings, Inc.

      10,653        322,253  

Encore Capital Group, Inc.(1)

      253,105        9,767,322  

Enova International, Inc.(1)

      11,444        187,567  

Enstar Group Ltd.(1)

      25,073        4,049,290  

Enterprise Bancorp, Inc.

      3,441        72,330  

Enterprise Financial Services Corp.

      9,805        267,382  

Equitable Holdings, Inc.

      12,321        224,735  

Equity Bancshares, Inc. - Class A(1)

      5,670        87,885  

Erie Indemnity Co. - Class A

      333        70,023  

Esquire Financial Holdings, Inc.(1)

      1,770        26,550  

ESSA Bancorp, Inc.

      3,628        44,733  

Essent Group Ltd.

      343,269        12,704,386  

Evans Bancorp, Inc.

      1,895        42,164  

Evercore, Inc. - Class A

      1,176        76,981  

Everest Re Group Ltd.

      89,762        17,731,585  

EZCORP, Inc. - Class A(1)

      18,477        92,939  

Farmers & Merchants Bancorp, Inc.

      3,900        78,039  

Farmers National Banc Corp.

      10,814        118,089  

FB Financial Corp.

      12,447        312,669  

FBL Financial Group, Inc. - Class A

      3,874        186,727  

Federal Agricultural Mortgage Corp. - Class C

      2,912        185,378  

Federated Hermes, Inc. - Class B

      27,277        586,728  

FedNat Holding Co.

      4,321        27,309  

Ferroglobe Representation & Warranty Insurance Trust(1)(2)(6)

      11,189        –  

Fidelity D&D Bancorp, Inc.

      1,574        76,670  

Fidelity National Financial, Inc.

      8,343        261,219  

Fifth Third Bancorp

      1,098,667        23,423,580  

Financial Institutions, Inc.

      6,375        98,175  

First American Financial Corp.

      389,760        19,842,682  

First Bancorp NC

      11,651        243,855  

First BanCorp PR

      85,828        448,022  

First Bancorp, Inc.

      4,106        86,554  

First Bancshares, Inc.

      8,079        169,417  

First Bank/Hamilton NJ

      7,169        44,448  

First Busey Corp.

      20,515        325,983  

First Business Financial Services, Inc.

      3,312        47,328  

First Capital, Inc.

      1,257        70,455  

First Choice Bancorp

      4,419        58,729  

First Citizens BancShares, Inc. - Class A

      188        59,931  

First Commonwealth Financial Corp.

      40,033        309,855  

First Community Bankshares, Inc.

      7,235        130,592  

First Community Corp/SC

      2,578        35,138  

First Financial Bancorp

      38,141        457,883  

First Financial Corp.

      5,490        172,386  

First Foundation, Inc.

      12,124        158,461  

First Guaranty Bancshares, Inc.

      1,454        17,608  

First Hawaiian, Inc.

      492,941        7,132,856  

First Horizon National Corp.

      1,097,809        10,352,339  

First Internet Bancorp

      3,811        56,136  

First Interstate BancSystem, Inc. - Class A

      16,910        538,584  

First Merchants Corp.

      21,726        503,174  

First Mid Bancshares, Inc.

      6,056        151,097  

First Midwest Bancorp, Inc.

      45,568        491,223  

First Northwest Bancorp

      3,187        31,551  

First of Long Island Corp.

      9,505        140,769  

First Republic Bank

      118,170        12,887,620  

First Savings Financial Group, Inc.

      687        37,332  

First United Corp.

      2,313        27,085  

First Western Financial, Inc.(1)

      2,898        37,529  

Flagstar Bancorp, Inc.

      17,072        505,843  

Flushing Financial Corp.

      10,884        114,500  

FNB Corp.

      9,605        65,122  

FNCB Bancorp, Inc.

      6,604        35,133  

Franklin Financial Services Corp.

      1,649        35,256  

Franklin Resources, Inc.

      115,501        2,350,445  

FS Bancorp, Inc.

      1,391        57,031  

FS KKR Capital Corp.

      122,125        1,936,903  

Fulton Financial Corp.

      63,491        592,371  

FVCBankcorp, Inc.(1)

      4,255        42,550  

GAMCO Investors, Inc. - Class A

      485        5,611  

Genworth Financial, Inc. - Class A(1)

      201,090        673,652  

German American Bancorp, Inc.

      9,675        262,580  

Glacier Bancorp, Inc.

      554,056        17,757,495  

Globe Life, Inc.

      97,867        7,819,573  

GoHealth, Inc. - Class A(1)

      1,091        14,210  

Goosehead Insurance, Inc. - Class A

      4,499        389,568  

Granite Point Mortgage Trust, Inc.

      21,116        149,712  

Great Ajax Corp.

      7,896        65,458  

Great Southern Bancorp, Inc.

      4,397        159,259  

Great Western Bancorp, Inc.

      21,666        269,742  

Green Dot Corp. - Class A(1)

      18,549        938,765  

Greene County Bancorp, Inc.

      1,087        23,577  

Greenlight Capital Re Ltd. - Class A(1)

      11,363        76,473  

Guaranty Bancshares, Inc.

      3,076        76,562  

Hancock Whitney Corp.

      34,274        644,694  

Hanmi Financial Corp.

      427,893        3,513,002  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

      27,438        1,159,804  

Hanover Insurance Group, Inc.

      70,265        6,547,293  

HarborOne Bancorp, Inc.

      21,274        171,681  

Hartford Financial Services Group, Inc.

      304,658        11,229,694  

Hawthorn Bancshares, Inc.

      2,310        43,751  

HBT Financial, Inc.

      4,147        46,529  

HCI Group, Inc.

      1,963        96,756  

Heartland Financial USA, Inc.

      14,057        421,640  

Heritage Commerce Corp.

      24,544        163,340  

Heritage Financial Corp.

      13,700        251,943  

Heritage Insurance Holdings, Inc.

      8,929        90,361  

Hilltop Holdings, Inc.

      28,809        592,889  

Hingham Institution for Savings

      533        98,072  

Home Bancorp, Inc.

      3,171        76,580  

Home Bancshares, Inc.

      61,528        932,764  

HomeStreet, Inc.

      8,581        221,047  

HomeTrust Bancshares, Inc.

      6,298        85,527  

Hope Bancorp, Inc.

      47,316        358,892  

Horace Mann Educators Corp.

      314,648        10,509,243  

Horizon Bancorp

      17,217        173,720  

Howard Bancorp, Inc.(1)

      4,568        41,021  

Huntington Bancshares, Inc.

      1,981,727        18,172,437  

Independence Holding Co.

      1,751        66,030  

Independent Bank Corp.

      311,171        16,299,137  

Independent Bank Corp. MI

      8,487        106,682  

Independent Bank Group, Inc.

      14,845        655,852  

Interactive Brokers Group, Inc. - Class A

      2,215        107,051  

International Bancshares Corp.

      21,420        558,205  

Invesco Ltd.

      11,590        132,242  

Invesco Mortgage Capital, Inc.

      73,255        198,521  

Investar Holding Corp.

      4,076        52,254  

Investors Bancorp, Inc.

      66,767        484,728  

Investors Title Co.

      443        57,617  

James River Group Holdings Ltd.

      1,554        69,200  

Jefferies Financial Group, Inc.

      6,751        121,518  

Kearny Financial Corp.

      23,925        172,499  

Kemper Corp.

      1,880        125,640  

KeyCorp

      1,439,372        17,171,708  

KKR & Co., Inc. - Class Miscella

      16,147        554,488  

KKR Real Estate Finance Trust, Inc.

      11,327        187,235  

Ladder Capital Corp. - Class A

      42,731        304,245  

Lakeland Bancorp, Inc.

      19,437        193,398  

Lakeland Financial Corp.

      418,371        17,236,885  

Landmark Bancorp, Inc./Manhattan KS

      1,732        36,978  

Lazard Ltd. - Class A

      2,996        99,018  

LCNB Corp.

      4,759        64,960  

Lemonade, Inc.(1)

      371        18,446  

LendingClub Corp.(1)

      26,988        127,113  

LendingTree, Inc.(1)

      13        3,990  

Level One Bancorp, Inc.

      1,906        29,734  

Limestone Bancorp, Inc.(1)

      1,890        19,883  

Lincoln National Corp.

      102,041        3,196,945  

Live Oak Bancshares, Inc.

      11,391        288,534  

Loews Corp.

      518,038        18,001,821  

LPL Financial Holdings, Inc.

      2,167        166,144  

Luther Burbank Corp.

      6,127        51,160  

M&T Bank Corp.

      3,844        353,994  

Macatawa Bank Corp.

      10,922        71,321  

Mackinac Financial Corp.

      3,926        37,886  

MainStreet Bancshares, Inc.(1)

      2,492        30,502  

Markel Corp.(1)

      407        396,296  

Marlin Business Services Corp.

      2,673        18,845  

MBIA, Inc.(1)

      21,656        131,235  

Mercantile Bank Corp.

      6,673        120,247  

Merchants Bancorp

      3,271        64,471  

Mercury General Corp.

      797        32,972  

Meridian Bancorp, Inc.

      19,096        197,644  

Meridian Corp.

      1,418        22,872  

Meta Financial Group, Inc.

      12,951        248,918  

Metrocity Bankshares, Inc.

      7,023        92,493  

Metropolitan Bank Holding Corp.(1)

      2,866        80,248  

MFA Financial, Inc.

      179,532        481,146  

MGIC Investment Corp.

      220,064        1,949,767  

Mid Penn Bancorp, Inc.

      2,643        45,750  

Middlefield Banc Corp.

      2,322        44,815  

Midland States Bancorp, Inc.

      8,639        111,011  

MidWestOne Financial Group, Inc.

      6,157        110,026  

MMA Capital Holdings, Inc.(1)

      1,561        35,138  

Morningstar, Inc.

      115        18,470  

Mr Cooper Group, Inc.(1)

      300,189        6,700,218  

MVB Financial Corp.

      3,898        62,251  

Nasdaq, Inc.

      86,300        10,589,873  

National Bank Holdings Corp. - Class A

      8,538        224,123  

National Bankshares, Inc.

      2,530        64,085  

National General Holdings Corp.

      37,338        1,260,158  

National Western Life Group, Inc. - Class A

      999        182,587  

Navient Corp.

      300,019        2,535,161  

NBT Bancorp, Inc.

      17,096        458,515  

Nelnet, Inc. - Class A

      6,909        416,267  

New Residential Investment Corp.

      787,854        6,263,439  

New York Community Bancorp, Inc.

      13,546        112,025  

New York Mortgage Trust, Inc.

      430,623        1,098,089  

NI Holdings, Inc.(1)

      3,926        66,310  

Nicolet Bankshares, Inc.(1)

      3,687        201,347  

NMI Holdings, Inc. - Class A(1)

      30,974        551,337  

Northeast Bank

      2,716        49,974  

Northern Trust Corp.

      5,789        451,368  

Northfield Bancorp, Inc.

      19,201        175,113  

Northrim BanCorp, Inc.

      2,484        63,317  

Northwest Bancshares, Inc.

      47,230        434,516  

Norwood Financial Corp.

      2,249        54,696  

Oak Valley Bancorp

      2,625        30,083  

OceanFirst Financial Corp.

      24,230        331,709  

Oconee Federal Financial Corp.

      425        9,265  

OFG Bancorp

      20,239        252,178  

Ohio Valley Banc Corp.

      1,638        33,841  

Old National Bancorp

      65,858        827,176  

Old Republic International Corp.

      141,556        2,086,535  

Old Second Bancorp, Inc.

      11,440        85,743  

OneMain Holdings, Inc. - Class A

      2,009        62,781  

OP Bancorp

      4,818        27,559  

Oportun Financial Corp.(1)

      7,517        88,625  

Oppenheimer Holdings, Inc. - Class A

      3,760        83,923  

Orchid Island Capital, Inc. - Class A

      26,155        131,037  

Origin Bancorp, Inc.

      9,006        192,368  

Orrstown Financial Services, Inc.

      4,635        59,328  

Pacific Premier Bancorp, Inc.

      32,073        645,950  

PacWest Bancorp

      310,972        5,311,402  

Park National Corp.

      5,724        469,139  

Parke Bancorp, Inc.

      4,743        56,631  

Partners Bancorp

      2,980        16,777  

PCB Bancorp

      5,072        44,583  

PCSB Financial Corp.

      5,966        72,010  

PDL Community Bancorp(1)

      2,922        25,772  

Peapack Gladstone Financial Corp.

      7,199        109,065  

PennantPark Investment Corp.

      163,500        521,565  

Penns Woods Bancorp, Inc.

      2,795        55,481  

PennyMac Financial Services, Inc.

      14,889        865,349  

PennyMac Mortgage Investment Trust

      39,296        631,487  

Peoples Bancorp of North Carolina, Inc.

      1,943        29,980  

Peoples Bancorp, Inc.

      7,427        141,781  

Peoples Financial Services Corp.

      2,673        92,913  

People’s United Financial, Inc.

      12,761        131,566  

Pinnacle Financial Partners, Inc.

      2,242        79,793  

Pioneer Bancorp, Inc.(1)

      4,579        40,662  

Piper Sandler Companies

      6,987        510,051  

Plumas Bancorp

      1,884        37,077  

Popular, Inc.

      43,017        1,560,227  

PRA Group, Inc.(1)

      18,068        721,817  

Preferred Bank Los Angeles

      5,639        181,125  

Premier Financial Bancorp, Inc.

      5,386        58,169  

Premier Financial Corp.

      14,849        231,273  

Primerica, Inc.

      444        50,234  

Principal Financial Group, Inc.

      80,958        3,260,179  

ProAssurance Corp.

      21,127        330,426  

Professional Holding Corp. - Class A(1)

      4,426        59,353  

ProSight Global, Inc.(1)

      3,662        41,527  

Prospect Capital Corp.

      295,600        1,486,868  

Prosperity Bancshares, Inc.

      145,402        7,536,186  

Protective Insurance Corp. - Class B

      3,527        46,310  

Provident Bancorp, Inc.

      3,628        28,262  

Provident Financial Holdings, Inc.

      2,612        31,083  

Provident Financial Services, Inc.

      28,637        349,371  

Prudential Bancorp, Inc.

      3,122        32,906  

Prudential Financial, Inc.

      54,761        3,478,419  

QCR Holdings, Inc.

      5,735        157,196  

Radian Group, Inc.

      76,542        1,118,279  

Raymond James Financial, Inc.

      245,908        17,892,266  

RBB Bancorp

      6,808        77,203  

Ready Capital Corp.

      16,893        189,202  

Red River Bancshares, Inc.

      1,857        79,851  

Redwood Trust, Inc.

      46,564        350,161  

Regional Management Corp.(1)

      3,252        54,178  

Regions Financial Corp.

      409,584        4,722,504  

Reinsurance Group of America, Inc. - Class A

      317,748        30,246,432  

Reliant Bancorp, Inc.

      5,819        84,376  

RenaissanceRe Holdings Ltd.

      66,356        11,263,267  

Renasant Corp.

      21,980        499,386  

Republic Bancorp, Inc. - Class A

      3,913        110,190  

Republic First Bancorp, Inc.(1)

      18,033        35,705  

Richmond Mutual Bancorporation, Inc.

      4,608        48,753  

Riverview Bancorp, Inc.

      8,199        34,026  

RLI Corp.

      1,941        162,520  

S&T Bancorp, Inc.

      15,383        272,125  

Safeguard Scientifics, Inc.

      9,054        49,616  

Safety Insurance Group, Inc.

      5,727        395,678  

Salisbury Bancorp, Inc.

      993        31,389  

Sandy Spring Bancorp, Inc.

      145,478        3,357,632  

Santander Consumer USA Holdings, Inc.

      141,263        2,569,574  

SB Financial Group, Inc.

      3,240        43,708  

Sculptor Capital Management, Inc. - Class A

      7,542        88,543  

Seacoast Banking Corp. of Florida(1)

      20,611        371,616  

Security National Financial Corp. - Class A(1)

      3,171        20,294  

SEI Investments Co.

      3,530        179,042  

Select Bancorp, Inc.(1)

      6,303        45,319  

Selective Insurance Group, Inc.

      396,724        20,427,319  

Selectquote, Inc.(1)

      9,113        184,538  

ServisFirst Bancshares, Inc.

      5,184        176,412  

Shore Bancshares, Inc.

      4,792        52,616  

Sierra Bancorp

      5,803        97,432  

Signature Bank

      66,538        5,521,989  

Silvercrest Asset Management Group, Inc. - Class A

      1,933        20,219  

Silvergate Capital Corp. - Class A(1)

      5,949        85,666  

Simmons First National Corp. - Class A

      41,474        657,570  

SLM Corp.

      1,330,218        10,761,464  

SmartFinancial, Inc.

      5,237        71,171  

South Plains Financial, Inc.

      4,225        52,432  

South State Corp.

      227,211        10,940,210  

Southern First Bancshares, Inc.(1)

      3,207        77,449  

Southern Missouri Bancorp, Inc.

      3,006        70,881  

Southern National Bancorp of Virginia, Inc.

      8,494        73,728  

Southside Bancshares, Inc.

      12,691        310,041  

Spirit of Texas Bancshares, Inc.(1)

      5,020        56,023  

Standard AVB Financial Corp.

      1,762        57,529  

Starwood Property Trust, Inc.

      8,184        123,497  

State Auto Financial Corp.

      6,774        93,210  

State Street Corp.

      194,385        11,532,862  

Sterling Bancorp

      744,953        7,836,906  

Sterling Bancorp, Inc.

      5,373        16,173  

Stewart Information Services Corp.

      10,583        462,795  

Stifel Financial Corp.

      26,661        1,347,980  

Stock Yards Bancorp, Inc.

      7,115        242,195  

StoneX Group, Inc.(1)

      6,143        314,276  

Summit Financial Group, Inc.

      4,507        66,749  

SVB Financial Group(1)

      36,807        8,856,500  

SWK Holdings Corp.(1)

      1,171        16,394  

Synchrony Financial

      242,360        6,342,561  

Synovus Financial Corp.

      4,420        93,571  

T Rowe Price Group, Inc.

      5,087        652,255  

TCF Financial Corp.

      1,068,526        24,960,767  

TD Ameritrade Holding Corp.

      215,391        8,432,558  

Territorial Bancorp, Inc.

      2,880        58,262  

Texas Capital Bancshares, Inc.(1)

      20,306        632,126  

TFS Financial Corp.

      1,326        19,479  

The Bancorp, Inc.(1)

      20,405        176,299  

Third Point Reinsurance Ltd.(1)

      829,499        5,765,018  

Timberland Bancorp, Inc.

      2,956        53,208  

Tiptree, Inc.

      9,859        48,802  

Tompkins Financial Corp.

      5,660        321,545  

Towne Bank/Portsmouth VA

      27,005        442,882  

TPG RE Finance Trust, Inc.

      23,540        199,148  

Tradeweb Markets, Inc. - Class A

      350        20,300  

Travelers Companies, Inc.

      43,412        4,696,744  

Trean Insurance Group, Inc.(1)

      3,998        60,970  

TriCo Bancshares

      10,717        262,459  

TriState Capital Holdings, Inc.(1)

      10,727        142,025  

Triumph Bancorp, Inc.(1)

      8,902        277,208  

Truist Financial Corp.

      365,528        13,908,340  

TrustCo Bank Corp. NY

      37,623        196,392  

Trustmark Corp.

      25,288        541,416  

Two Harbors Investment Corp.

      1,517,453        7,723,836  

UMB Financial Corp.

      227,456        11,147,619  

Umpqua Holdings Corp.

      969,340        10,294,391  

United Bankshares, Inc.

      49,444        1,061,563  

United Community Banks, Inc.

      31,428        532,076  

United Fire Group, Inc.

      8,353        169,733  

United Insurance Holdings Corp.

      7,549        45,747  

United Security Bancshares

      5,410        33,055  

Unity Bancorp, Inc.

      2,894        33,513  

Universal Insurance Holdings, Inc.

      98,265        1,359,988  

Univest Financial Corp.

      12,075        173,518  

Unum Group

      103,630        1,744,093  

Valley National Bancorp

      159,817        1,094,746  

Vericity, Inc.

      626        6,385  

Veritex Holdings, Inc.

      18,713        318,682  

Virtu Financial, Inc. - Class A

      227        5,223  

Virtus Investment Partners, Inc.

      2,669        370,057  

Voya Financial, Inc.

      73,997        3,546,676  

Waddell & Reed Financial, Inc. - Class A

      26,028        386,516  

Walker & Dunlop, Inc.

      10,291        545,423  

Washington Federal, Inc.

      30,294        631,933  

Washington Trust Bancorp, Inc.

      6,814        208,917  

Waterstone Financial, Inc.

      8,787        136,111  

Watford Holdings Ltd.(1)

      6,901        158,309  

Webster Financial Corp.

      2,646        69,881  

WesBanco, Inc.

      25,801        551,109  

West Bancorporation, Inc.

      5,753        91,128  

Westamerica Bancorporation

      8,923        484,965  

Western Alliance Bancorp

      3,008        95,113  

Western Asset Mortgage Capital Corp.

      22,440        45,778  

Western New England Bancorp, Inc.

      9,114        51,312  

Westwood Holdings Group, Inc.

      2,813        31,337  

White Mountains Insurance Group Ltd.

      90        70,110  

Willis Towers Watson Plc

      41,291        8,622,387  

Wintrust Financial Corp.

      164,182        6,575,489  

WisdomTree Investments, Inc.

      54,841        175,491  

World Acceptance Corp.(1)

      1,896        200,123  

WR Berkley Corp.

      4,169        254,934  

WSFS Financial Corp.

      20,222        545,387  

Zions Bancorp N.A.

      161,618        4,722,478  
     

 

 

  

Total Financials

 

      1,008,817,435  
     

 

 

  

Healthcare – 7.57%

      

Abeona Therapeutics, Inc.(1)

      16,327        16,654  

Acadia Healthcare Co., Inc.(1)

      2,623        77,326  

Acceleron Pharma, Inc.(1)

      92        10,353  

Accolade, Inc.(1)

      824        32,029  

AcelRx Pharmaceuticals, Inc.(1)

      23,036        32,711  

Acutus Medical, Inc.(1)

      793        23,631  

ADMA Biologics, Inc.(1)

      2,070        4,947  

Aduro Biotech, Inc.(1)

      4,952        12,033  

Adverum Biotechnologies, Inc.(1)

      4,860        50,058  

Aeglea BioTherapeutics, Inc. - Class Savings(1)

      2,726        19,327  

Agile Therapeutics, Inc.(1)

      2,979        9,056  

Agilent Technologies, Inc.

      75,473        7,618,245  

Agios Pharmaceuticals, Inc.(1)

      1,714        59,990  

Akcea Therapeutics, Inc.(1)

      3,458        62,728  

Akouos, Inc.(1)

      1,229        28,107  

Albireo Pharma, Inc.(1)

      1,551        51,757  

Alexion Pharmaceuticals, Inc.(1)

      104,324        11,937,795  

Alkermes Plc(1)

      4,669        77,365  

Allovir, Inc.(1)

      1,489        40,947  

Allscripts Healthcare Solutions, Inc.(1)

      773,471        6,296,054  

Alphatec Holdings, Inc.(1)

      2,437        16,182  

ALX Oncology Holdings, Inc.(1)

      806        30,418  

AMAG Pharmaceuticals, Inc.(1)

      12,084        113,590  

American Renal Associates Holdings, Inc.(1)

      4,647        32,064  

AmerisourceBergen Corp. - Class A

      100,003        9,692,291  

AMN Healthcare Services, Inc.(1)

      248,070        14,502,172  

AnaptysBio, Inc.(1)

      8,764        129,269  

AngioDynamics, Inc.(1)

      14,271        172,108  

ANI Pharmaceuticals, Inc.(1)

      1,712        48,296  

Anika Therapeutics, Inc.(1)

      5,421        191,849  

Annexon, Inc.(1)

      1,259        38,060  

Applied Genetic Technologies Corp./DE(1)

      9,549        46,408  

Applied Molecular Transport, Inc.(1)

      1,059        33,697  

Aptinyx, Inc.(1)

      9,676        32,705  

Apyx Medical Corp.(1)

      11,553        54,415  

Arena Pharmaceuticals, Inc.(1)

      21,287        1,592,055  

Aspira Women’s Health, Inc.(1)

      1,460        4,504  

Assembly Biosciences, Inc.(1)

      6,091        100,136  

Atara Biotherapeutics, Inc.(1)

      7,476        96,889  

Atreca, Inc. - Class A(1)

      580        8,103  

Avanos Medical, Inc.(1)

      19,129        635,465  

Avantor, Inc.(1)

      471,645        10,607,296  

AVEO Pharmaceuticals, Inc.(1)

      3,886        23,083  

Avid Bioservices, Inc.(1)

      1,680        12,802  

Avidity Biosciences, Inc.(1)

      1,410        39,691  

Axcella Health, Inc.(1)

      1,249        5,770  

Aytu BioScience, Inc.(1)

      8,435        10,038  

Berkeley Lights, Inc.(1)

      121        9,240  

BeyondSpring, Inc.(1)

      256        3,407  

BioCryst Pharmaceuticals, Inc.(1)

      14,951        51,357  

BioMarin Pharmaceutical, Inc.(1)

      520        39,562  

Bio-Rad Laboratories, Inc. - Class A(1)

      638        328,863  

Bio-Techne Corp.

      59        14,616  

Bluebird Bio, Inc.(1)

      1,110        59,884  

Boston Scientific Corp.(1)

      409,368        15,641,951  

Brookdale Senior Living, Inc.(1)

      75,121        190,807  

Bruker Corp.

      1,762        70,039  

Cabaletta Bio, Inc.(1)

      4,931        53,452  

Calyxt, Inc.(1)

      1,193        6,550  

Cardinal Health, Inc.

      77,100        3,619,845  

CASI Pharmaceuticals, Inc.(1)

      4,349        6,654  

Cassava Sciences, Inc.(1)

      5,770        66,413  

Catabasis Pharmaceuticals, Inc.(1)

      2,151        13,315  

Catalent, Inc.(1)

      4,897        419,477  

Catalyst Biosciences, Inc.(1)

      9,355        40,226  

Cellular Biomedicine Group, Inc.(1)

      1,807        33,140  

CEL-SCI Corp.(1)

      1,609        20,515  

Centene Corp.(1)

      296,970        17,322,260  

Change Healthcare, Inc.(1)

      485,806        7,049,045  

Charles River Laboratories International, Inc.(1)

      165        37,364  

Chembio Diagnostics, Inc.(1)

      2,431        11,815  

Chimerix, Inc.(1)

      18,981        47,263  

Cidara Therapeutics, Inc.(1)

      2,739        7,806  

Community Health Systems, Inc.(1)

      33,199        140,100  

Computer Programs & Systems, Inc.

      5,273        145,588  

Concert Pharmaceuticals, Inc.(1)

      10,988        107,902  

CorMedix, Inc.(1)

      1,295        7,809  

Cortexyme, Inc.(1)

      369        18,450  

Covetrus, Inc.(1)

      38,907        949,331  

Cross Country Healthcare, Inc.(1)

      12,211        79,249  

CryoLife, Inc.(1)

      2,797        51,661  

Cyclerion Therapeutics, Inc.(1)

      8,810        53,565  

Cymabay Therapeutics, Inc.(1)

      27,743        200,859  

Cytokinetics, Inc.(1)

      3,286        71,142  

DaVita, Inc.(1)

      67,065        5,744,117  

Dentsply Sirona, Inc.

      6,630        289,930  

Dyadic International, Inc.(1)

      1,455        11,014  

Dynavax Technologies Corp. - Class A(1)

      5,537        23,920  

Elanco Animal Health, Inc.(1)

      12,094        337,785  

Enanta Pharmaceuticals, Inc.(1)

      7,003        320,597  

Encompass Health Corp.

      1,645        106,892  

Endo International Plc(1)

      50,168        165,554  

Enochian Biosciences, Inc.(1)

      4,964        17,771  

Envista Holdings Corp.(1)

      538,908        13,300,249  

Enzo Biochem, Inc.(1)

      16,736        35,313  

Epizyme, Inc.(1)

      13,409        159,969  

Evofem Biosciences, Inc.(1)

      3,946        9,313  

Evolent Health, Inc. - Class A(1)

      25,653        318,354  

Evolus, Inc.(1)

      5,349        20,915  

Exact Sciences Corp.(1)

      595        60,660  

Exelixis, Inc.(1)

      5,803        141,883  

Exicure, Inc.(1)

      3,103        5,430  

FibroGen, Inc.(1)

      4,880        200,666  

Five Prime Therapeutics, Inc.(1)

      10,879        51,131  

Five Star Senior Living, Inc.(1)

      7,741        39,247  

Fluidigm Corp.(1)

      26,674        198,188  

FONAR Corp.(1)

      2,343        48,922  

Forma Therapeutics Holdings, Inc.(1)

      1,362        67,882  

G1 Therapeutics, Inc.(1)

      7,580        87,549  

Generation Bio Co.(1)

      1,048        32,394  

Geron Corp.(1)

      114,771        199,702  

Globus Medical, Inc. - Class A(1)

      2,208        109,340  

GlycoMimetics, Inc.(1)

      13,718        42,114  

Gossamer Bio, Inc.(1)

      13,130        162,943  

Gritstone Oncology, Inc.(1)

      9,709        25,729  

Haemonetics Corp.(1)

      114        9,946  

Hanger, Inc.(1)

      13,123        207,606  

Harvard Bioscience, Inc.(1)

      14,226        42,820  

HCA Healthcare, Inc.

      121,093        15,097,875  

HealthStream, Inc.(1)

      10,644        213,625  

Henry Schein, Inc.(1)

      4,324        254,165  

Heska Corp.(1)

      1,735        171,401  

Hill-Rom Holdings, Inc.

      1,798        150,151  

HMS Holdings Corp.(1)

      169,676        4,063,740  

Hologic, Inc.(1)

      103,543        6,882,503  

Hookipa Pharma, Inc.(1)

      257        2,434  

Horizon Therapeutics Plc(1)

      425        33,014  

Humana, Inc.

      36,104        14,943,085  

iBio, Inc.(1)

      4,566        9,269  

ICON Plc(1)

      54,962        10,502,689  

ICU Medical, Inc.(1)

      69,022        12,614,461  

Ideaya Biosciences, Inc.(1)

      5,126        64,383  

Immunic, Inc.(1)

      680        12,628  

ImmunoGen, Inc.(1)

      37,923        136,523  

Inari Medical, Inc.(1)

      617        42,585  

Innoviva, Inc.(1)

      147,300        1,539,285  

Inogen, Inc.(1)

      2,617        75,893  

Inozyme Pharma, Inc.(1)

      693        18,219  

Integer Holdings Corp.(1)

      204,136        12,046,065  

Integra LifeSciences Holdings Corp.(1)

      2,104        99,351  

Intra-Cellular Therapies, Inc.(1)

      16,183        415,256  

IntriCon Corp.(1)

      3,320        40,438  

Invacare Corp.

      12,992        97,700  

Ionis Pharmaceuticals, Inc.(1)

      2,032        96,418  

IQVIA Holdings, Inc.(1)

      163,975        25,847,379  

iTeos Therapeutics, Inc.(1)

      901        22,228  

IVERIC bio, Inc.(1)

      32,031        180,655  

Jazz Pharmaceuticals Plc(1)

      130,906        18,665,887  

Jounce Therapeutics, Inc.(1)

      7,111        58,026  

KalVista Pharmaceuticals, Inc.(1)

      4,253        53,545  

Keros Therapeutics, Inc.(1)

      176        6,788  

Kezar Life Sciences, Inc.(1)

      12,605        61,008  

Kindred Biosciences, Inc.(1)

      2,580        11,068  

Kiniksa Pharmaceuticals Ltd. - Class A(1)

      613        9,391  

Laboratory Corp. of America Holdings(1)

      92,083        17,336,466  

Lannett Co., Inc.(1)

      69,768        426,282  

LeMaitre Vascular, Inc.

      1,431        46,550  

LivaNova Plc(1)

      5,794        261,947  

Lyra Therapeutics, Inc.(1)

      915        10,230  

MacroGenics, Inc.(1)

      13,574        341,929  

Magellan Health, Inc.(1)

      5,331        403,983  

Magenta Therapeutics, Inc.(1)

      1,191        8,099  

Mallinckrodt Plc(1)

      33,048        32,166  

Marker Therapeutics, Inc.(1)

      3,310        4,965  

McKesson Corp.

      82,192        12,240,855  

MEDNAX, Inc.(1)

      29,730        484,004  

MEI Pharma, Inc.(1)

      6,543        20,414  

MeiraGTx Holdings Plc(1)

      695        9,202  

Meridian Bioscience, Inc.(1)

      2,074        35,217  

Mettler-Toledo International, Inc.(1)

      42        40,561  

Milestone Scientific, Inc.(1)

      2,805        3,899  

Mirum Pharmaceuticals, Inc.(1)

      1,198        23,085  

Misonix, Inc.(1)

      3,173        37,219  

Molina Healthcare, Inc.(1)

      34,824        6,374,185  

Momenta Pharmaceuticals, Inc.(1)

      2,901        152,244  

Mylan NV(1)

      15,637        231,897  

MyoKardia, Inc.(1)

      2,504        341,370  

Myriad Genetics, Inc.(1)

      28,617        373,166  

NanoString Technologies, Inc.(1)

      2,123        94,898  

NantKwest, Inc.(1)

      1,642        11,387  

Natera, Inc.(1)

      1,796        129,743  

National HealthCare Corp.

      5,058        315,164  

Natus Medical, Inc.(1)

      9,178        157,219  

Nektar Therapeutics - Class A(1)

      5,283        87,645  

NextCure, Inc.(1)

      700        6,160  

NextGen Healthcare, Inc.(1)

      22,484        286,446  

NGM Biopharmaceuticals, Inc.(1)

      708        11,264  

Nkarta, Inc.(1)

      1,359        40,852  

Novavax, Inc.(1)

      17,943        1,944,124  

Nurix Therapeutics, Inc.(1)

      949        33,130  

Nymox Pharmaceutical Corp.(1)

      1,959        4,819  

Oak Street Health, Inc.(1)

      238        12,719  

OPKO Health, Inc.(1)

      159,698        589,286  

Option Care Health, Inc.(1)

      741        9,907  

OraSure Technologies, Inc.(1)

      11,105        135,148  

Orgenesis, Inc.(1)

      5,221        26,314  

ORIC Pharmaceuticals, Inc.(1)

      220        5,502  

Orthofix Medical, Inc.(1)

      7,516        234,048  

Osmotica Pharmaceuticals Plc(1)

      1,486        8,039  

Owens & Minor, Inc.

      25,015        628,127  

Pacific Biosciences of California, Inc.(1)

      7,516        74,183  

Pandion Therapeutics, Inc.(1)

      748        8,572  

Paratek Pharmaceuticals, Inc.(1)

      1,896        10,257  

Passage Bio, Inc.(1)

      2,059        26,993  

Patterson Companies, Inc.

      33,691        812,122  

PDL BioPharma, Inc.(1)

      43,320        136,458  

PerkinElmer, Inc.

      2,713        340,509  

Perrigo Co. Plc

      4,116        188,966  

Phibro Animal Health Corp. - Class A

      430        7,482  

Pliant Therapeutics, Inc.(1)

      841        19,049  

Poseida Therapeutics, Inc.(1)

      1,114        9,881  

PPD, Inc.(1)

      175,232        6,481,832  

PRA Health Sciences, Inc.(1)

      77,091        7,820,111  

Precigen, Inc.(1)

      6,277        21,969  

Precision BioSciences, Inc.(1)

      1,166        7,183  

Premier, Inc. - Class A

      276,218        9,068,237  

Prestige Consumer Healthcare, Inc.(1)

      238,578        8,689,011  

Prothena Corp. Plc(1)

      11,847        118,352  

QIAGEN NV(1)

      6,818        356,309  

Quest Diagnostics, Inc.

      4,023        460,593  

Reata Pharmaceuticals, Inc. - Class A(1)

      83        8,086  

Relay Therapeutics, Inc.(1)

      2,693        114,695  

Revance Therapeutics, Inc.(1)

      5,852        147,119  

Rockwell Medical, Inc.(1)

      5,129        5,488  

Royalty Pharma Plc - Class A

      1,456        61,254  

Rubius Therapeutics, Inc.(1)

      11,732        58,777  

Sage Therapeutics, Inc.(1)

      1,398        85,446  

Savara, Inc.(1)

      18,647        20,325  

SeaSpine Holdings Corp.(1)

      10,318        147,547  

Select Medical Holdings Corp.(1)

      185,400        3,860,028  

Selecta Biosciences, Inc.(1)

      13,560        33,629  

Sientra, Inc.(1)

      4,179        14,209  

Soleno Therapeutics, Inc.(1)

      3,719        9,335  

Solid Biosciences, Inc.(1)

      10,100        20,503  

Spectrum Pharmaceuticals, Inc.(1)

      57,542        234,771  

Spero Therapeutics, Inc.(1)

      530        5,915  

STERIS Plc

      2,413        425,146  

Strongbridge Biopharma Plc(1)

      1,411        2,963  

Supernus Pharmaceuticals, Inc.(1)

      15,246        317,727  

Surgalign Holdings, Inc.(1)

      22,550        40,815  

Sutro Biopharma, Inc.(1)

      996        10,010  

Syneos Health, Inc. - Class A(1)

      1,707        90,744  

Tandem Diabetes Care, Inc.(1)

      179        20,316  

TCR2 Therapeutics, Inc.(1)

      9,476        192,552  

Teladoc Health, Inc.(1)

      212        46,479  

Teleflex, Inc.

      519        176,678  

Tenet Healthcare Corp.(1)

      37,501        919,150  

TG Therapeutics, Inc.(1)

      6,514        174,315  

The Cooper Companies, Inc.

      46,863        15,798,455  

TherapeuticsMD, Inc.(1)

      13,730        21,693  

Theravance Biopharma, Inc.(1)

      2,866        42,374  

Tivity Health, Inc.(1)

      8,974        125,815  

Triple-S Management Corp. - Class B(1)

      8,099        144,729  

Turning Point Therapeutics, Inc.(1)

      924        80,721  

United Therapeutics Corp.(1)

      23,808        2,404,608  

Universal Health Services, Inc. - Class B

      136,839        14,644,510  

UroGen Pharma Ltd.(1)

      2,991        57,696  

Utah Medical Products, Inc.

      301        24,041  

Vanda Pharmaceuticals, Inc.(1)

      21,645        209,091  

Varex Imaging Corp.(1)

      15,725        200,022  

Varian Medical Systems, Inc.(1)

      2,386        410,392  

Vaxart, Inc.(1)

      2,530        16,825  

Vaxcyte, Inc.(1)

      1,533        75,700  

VBI Vaccines, Inc.(1)

      13,670        39,096  

Venus Concept, Inc.(1)

      3,048        7,071  

Verastem, Inc.(1)

      41,750        50,518  

Vericel Corp.(1)

      2,011        37,264  

ViewRay, Inc.(1)

      27,722        97,027  

Viking Therapeutics, Inc.(1)

      23,828        138,679  

VYNE Therapeutics, Inc.(1)

      49,712        82,522  

Waters Corp.(1)

      1,718        336,178  

X4 Pharmaceuticals, Inc.(1)

      6,204        42,001  

XBiotech, Inc.(1)

      5,432        103,697  

Xencor, Inc.(1)

      1,135        44,027  

Xeris Pharmaceuticals, Inc.(1)

      1,737        10,300  

XOMA Corp.(1)

      387        7,291  

Zentalis Pharmaceuticals, Inc.(1)

      261        8,532  

Zimmer Biomet Holdings, Inc.

      102,711        13,983,076  

ZIOPHARM Oncology, Inc.(1)

      27,852        70,187  
     

 

 

  

Total Healthcare

 

      394,084,072  
     

 

 

  

Industrials – 19.73%

      

AAR Corp.

      13,236        248,837  

ABM Industries, Inc.

      372,219        13,645,549  

Acacia Research Corp.(1)

      2,169        7,526  

ACCO Brands Corp.

      36,718        212,964  

Acuity Brands, Inc.

      19,172        1,962,254  

ADT, Inc.

      3,340        27,288  

Advanced Disposal Services, Inc.(1)

      2,521        76,210  

AECOM(1)

      4,577        191,502  

Aegion Corp. - Class A(1)

      11,770        166,310  

AGCO Corp.

      126,970        9,430,062  

Air Lease Corp. - Class A

      142,466        4,191,350  

Alamo Group, Inc.

      721        77,890  

Alaska Air Group, Inc.

      226,481        8,295,999  

Albany International Corp. - Class A

      2,230        110,407  

Allegiant Travel Co. - Class A

      4,616        552,997  

Allegion Plc

      79,854        7,898,359  

Allied Motion Technologies, Inc.

      229        9,453  

Allison Transmission Holdings, Inc.

      110,789        3,893,125  

Alta Equipment Group, Inc.(1)

      6,722        52,633  

Altra Industrial Motion Corp.

      539,375        19,940,694  

AMERCO

      270        96,115  

American Airlines Group, Inc.

      127,356        1,565,205  

American Superconductor Corp.(1)

      8,767        126,946  

American Woodmark Corp.(1)

      6,741        529,438  

AMETEK, Inc.

      411,046        40,857,972  

AO Smith Corp.

      4,006        211,517  

API Group Corp.(1)(3)

      343,607        4,889,528  

Apogee Enterprises, Inc.

      8,979        191,881  

Applied Industrial Technologies, Inc.

      9,341        514,689  

ArcBest Corp.

      9,984        310,103  

Arcosa, Inc.

      215,197        9,488,036  

Argan, Inc.

      5,993        251,167  

Armstrong World Industries, Inc.

      45,916        3,159,480  

ASGN, Inc.(1)

      101,746        6,466,976  

Astec Industries, Inc.

      8,908        483,259  

Astronics Corp.(1)

      9,338        72,089  

Atlas Air Worldwide Holdings, Inc.(1)

      71,524        4,355,812  

AZEK Co., Inc. - Class A(1)

      1,013        35,263  

AZZ, Inc.

      10,356        353,347  

Barnes Group, Inc.

      18,751        670,161  

Barrett Business Services, Inc.

      2,831        148,458  

Beacon Roofing Supply, Inc.(1)

      21,757        675,990  

BG Staffing, Inc.

      4,200        35,574  

Bloom Energy Corp. - Class A(1)

      2,004        36,012  

Blue Bird Corp.(1)

      3,839        46,682  

BMC Stock Holdings, Inc.(1)

      359,177        15,383,551  

Brady Corp. - Class A

      4,714        188,654  

BrightView Holdings, Inc.(1)

      325,827        3,714,428  

Brink’s Co.

      246,180        10,115,536  

Builders FirstSource, Inc.(1)

      4,425        144,343  

BWX Technologies, Inc.

      80,256        4,519,215  

Caesarstone Ltd.

      8,784        86,083  

CAI International, Inc.

      5,141        141,532  

Carlisle Companies, Inc.

      1,625        198,851  

Carrier Global Corp.

      16,798        513,011  

Casella Waste Systems, Inc. - Class A(1)

      293,266        16,378,906  

CBIZ, Inc.(1)

      385,797        8,823,177  

CECO Environmental Corp.(1)

      13,099        95,492  

CH Robinson Worldwide, Inc.

      3,380        345,402  

Chart Industries, Inc.(1)

      14,362        1,009,218  

Cimpress Plc(1)

      4,797        360,543  

Cintas Corp.

      304        101,180  

CIRCOR International, Inc.(1)

      7,953        217,515  

Clean Harbors, Inc.(1)

      1,568        87,855  

Colfax Corp.(1)

      395,962        12,417,368  

Columbus McKinnon Corp.

      9,154        302,997  

Comfort Systems USA, Inc.

      10,185        524,629  

CompX International, Inc.

      512        7,654  

Concrete Pumping Holdings, Inc.(1)

      11,399        40,694  

Construction Partners, Inc. - Class A(1)

      265,031        4,823,564  

Copa Holdings SA - Class A

      958        48,226  

CoreLogic, Inc.

      2,283        154,491  

Cornerstone Building Brands, Inc.(1)

      10,126        80,805  

Costamare, Inc.

      20,046        121,679  

Covanta Holding Corp.

      28,314        219,433  

Covenant Logistics Group, Inc. - Class A(1)

      4,714        82,448  

CRA International, Inc.

      708        26,529  

Crane Co.

      421,121        21,110,796  

Cubic Corp.

      11,156        648,945  

Cummins, Inc.

      108,595        22,930,920  

Curtiss-Wright Corp.

      91,896        8,570,221  

Delta Air Lines, Inc.

      19,274        589,399  

Deluxe Corp.

      76,371        1,965,026  

Donaldson Co., Inc.

      3,425        158,988  

Douglas Dynamics, Inc.

      832        28,454  

Dover Corp.

      170,833        18,508,047  

Ducommun, Inc.(1)

      4,253        140,009  

Dun & Bradstreet Holdings, Inc.(1)

      1,307        33,538  

DXP Enterprises, Inc.(1)

      6,846        110,426  

Dycom Industries, Inc.(1)

      3,435        181,437  

Eagle Bulk Shipping, Inc.(1)

      2,735        44,772  

Eastern Co.

      1,903        37,147  

Eaton Corp. Plc

      157,410        16,060,542  

Echo Global Logistics, Inc.(1)

      10,310        265,689  

EMCOR Group, Inc.

      60,035        4,064,970  

Encore Wire Corp.

      8,008        371,731  

Enerpac Tool Group Corp. - Class A(1)

      242,245        4,556,628  

EnerSys

      71,867        4,823,713  

Ennis, Inc.

      10,106        176,249  

EnPro Industries, Inc.

      8,295        467,921  

Equifax, Inc.

      951        149,212  

ESCO Technologies, Inc.

      204,753        16,494,902  

ExOne Co.(1)

      1,193        14,578  

Expeditors International of Washington, Inc.

      66,470        6,016,864  

Fastenal Co.

      3,300        148,797  

Federal Signal Corp.

      1,757        51,392  

Flowserve Corp.

      3,882        105,940  

Fluor Corp.

      56,871        501,034  

Fortive Corp.

      8,991        685,204  

Fortune Brands Home & Security, Inc.

      4,178        361,481  

Forward Air Corp.

      208,901        11,986,739  

Foundation Building Materials, Inc.(1)

      6,766        106,362  

Franklin Electric Co., Inc.

      1,358        79,891  

FTI Consulting, Inc.(1)

      1,095        116,037  

FuelCell Energy, Inc.(1)

      27,923        59,755  

Gates Industrial Corp. Plc(1)

      1,221        13,578  

GATX Corp.

      13,882        884,977  

Genco Shipping & Trading Ltd.

      6,753        46,596  

Gencor Industries, Inc.(1)

      3,426        37,789  

Generac Holdings, Inc.(1)

      154        29,821  

General Finance Corp.(1)

      3,608        22,839  

Gibraltar Industries, Inc.(1)

      307,337        20,019,932  

GMS, Inc.(1)

      225,185        5,426,958  

Gorman-Rupp Co.

      5,842        172,105  

GP Strategies Corp.(1)

      4,784        46,118  

Graco, Inc.

      2,490        152,761  

GrafTech International Ltd.

      2,291        15,670  

Graham Corp.

      4,297        54,873  

Granite Construction, Inc.

      16,528        291,058  

Great Lakes Dredge & Dock Corp.(1)

      25,810        245,453  

Greenbrier Companies, Inc.

      13,016        382,670  

Griffon Corp.

      17,167        335,443  

H&E Equipment Services, Inc.

      12,657        248,837  

Harsco Corp.(1)

      644,910        8,970,698  

Hawaiian Holdings, Inc.

      18,374        236,841  

HD Supply Holdings, Inc.(1)

      523,325        21,581,923  

Heartland Express, Inc.

      19,365        360,189  

HEICO Corp.

      292        30,561  

HEICO Corp. - Class A

      447        39,631  

Heidrick & Struggles International, Inc.

      7,928        155,785  

Helios Technologies, Inc.

      6,908        251,451  

Herc Holdings, Inc.(1)

      9,201        364,452  

Heritage-Crystal Clean, Inc.(1)

      5,966        79,646  

Herman Miller, Inc.

      108,794        3,281,227  

Hertz Global Holdings, Inc.(1)

      61,666        68,449  

Hexcel Corp.

      126,945        4,259,005  

Hillenbrand, Inc.

      29,542        837,811  

HNI Corp.

      17,144        537,979  

Howmet Aerospace, Inc.

      447,726        7,485,979  

Hub Group, Inc. - Class A(1)

      101,475        5,093,538  

Hubbell, Inc. - Class B

      181,717        24,866,154  

Huntington Ingalls Industries, Inc.

      66,675        9,384,506  

Hurco Companies, Inc.

      2,610        74,124  

Huron Consulting Group, Inc.(1)

      8,251        324,512  

Hyster-Yale Materials Handling, Inc.

      3,990        148,228  

IAA, Inc.(1)

      381,520        19,865,746  

IBEX Ltd.(1)

      1,117        17,179  

ICF International, Inc.

      194,982        11,997,242  

IDEX Corp.

      2,285        416,807  

IES Holdings, Inc.(1)

      2,166        68,814  

IHS Markit Ltd.

      5,441        427,173  

Ingersoll Rand, Inc.(1)

      146,442        5,213,335  

Insperity, Inc.

      7,190        470,873  

Insteel Industries, Inc.

      7,208        134,790  

Interface, Inc. - Class A

      19,068        116,696  

ITT, Inc.

      221,211        13,062,510  

Jacobs Engineering Group, Inc.

      3,800        352,526  

JB Hunt Transport Services, Inc.

      1,853        234,182  

JELD-WEN Holding, Inc.(1)

      27,091        612,257  

JetBlue Airways Corp.(1)

      252,799        2,864,213  

Johnson Controls International Plc

      22,500        919,125  

Kaman Corp.

      9,886        385,257  

Kansas City Southern

      63,683        11,515,797  

KAR Auction Services, Inc.

      51,357        739,541  

Kelly Services, Inc. - Class A

      13,574        231,301  

Kennametal, Inc.

      264,190        7,645,659  

Kimball International, Inc. - Class B

      14,210        149,773  

Kirby Corp.(1)

      240,543        8,700,440  

Knight-Swift Transportation Holdings, Inc. - Class A

      3,791        154,294  

Knoll, Inc.

      491,192        5,923,776  

Korn Ferry

      22,321        647,309  

L3Harris Technologies, Inc.

      79,063        13,428,060  

Landstar System, Inc.

      207        25,976  

Lawson Products, Inc.(1)

      614        25,192  

LB Foster Co. - Class A(1)

      4,275        57,370  

Lennox International, Inc.

      1,045        284,877  

Lincoln Electric Holdings, Inc.

      987        90,843  

LSI Industries, Inc.

      9,977        67,345  

Luxfer Holdings Plc

      10,575        132,716  

Lydall, Inc.(1)

      6,737        111,430  

Lyft, Inc. - Class A(1)

      7,287        200,757  

Macquarie Infrastructure Corp.

      2,284        61,417  

Manitowoc Co., Inc.(1)

      13,622        114,561  

ManpowerGroup, Inc.

      44,239        3,244,046  

Marten Transport Ltd.

      12,351        201,568  

Masco Corp.

      184,460        10,169,280  

MasTec, Inc.(1)

      194,688        8,215,834  

Matson, Inc.

      16,954        679,686  

Matthews International Corp. - Class A

      12,318        275,430  

Maxar Technologies, Inc.

      24,316        606,441  

Mayville Engineering Co., Inc.(1)

      2,694        24,758  

McGrath RentCorp

      4,234        252,304  

Mercury Systems, Inc.(1)

      337        26,104  

Meritor, Inc.(1)

      6,568        137,534  

Mesa Air Group, Inc.(1)

      11,979        35,338  

Middleby Corp.(1)

      1,650        148,021  

Miller Industries, Inc.

      4,417        135,028  

Mistras Group, Inc.(1)

      7,037        27,515  

Montrose Environmental Group, Inc.(1)

      2,715        64,671  

Moog, Inc. - Class A

      63,033        4,004,486  

MRC Global, Inc.(1)

      30,574        130,857  

MSA Safety, Inc.

      864        115,923  

MSC Industrial Direct Co., Inc. - Class A

      1,351        85,491  

Mueller Industries, Inc.

      22,306        603,600  

Mueller Water Products, Inc. - Class A

      59,161        614,683  

MYR Group, Inc.(1)

      2,327        86,518  

National Presto Industries, Inc.

      1,910        156,353  

Navistar International Corp.(1)

      19,799        862,048  

Nesco Holdings, Inc.(1)

      5,304        22,012  

Nielsen Holdings Plc

      10,876        154,222  

NL Industries, Inc.

      2,716        11,543  

NN, Inc.(1)

      17,327        89,407  

Nordson Corp.

      327        62,725  

Northwest Pipe Co.(1)

      3,945        104,385  

NOW, Inc.(1)

      216,396        982,438  

NV5 Global, Inc.(1)

      300        15,831  

nVent Electric Plc

      1,132,089        20,026,654  

Old Dominion Freight Line, Inc.

      408        73,815  

Oshkosh Corp.

      432,646        31,799,481  

Otis Worldwide Corp.

      382,487        23,874,839  

Owens Corning

      328,696        22,617,572  

PACCAR, Inc.

      98,674        8,414,919  

PAE, Inc.(1)

      1,255,892        10,675,082  

PAM Transportation Services, Inc.(1)

      580        21,808  

Pangaea Logistics Solutions Ltd.

      4,391        11,373  

Park Aerospace Corp.

      7,541        82,348  

Parker-Hannifin Corp.

      118,588        23,995,096  

Park-Ohio Holdings Corp.

      3,732        59,973  

Parsons Corp.(1)

      2,549        85,493  

Patrick Industries, Inc.

      524        30,140  

Pentair Plc

      4,957        226,882  

PGT Innovations, Inc.(1)

      14,183        248,486  

PICO Holdings, Inc.(1)

      4,448        39,854  

Pitney Bowes, Inc.

      41,486        220,291  

Powell Industries, Inc.

      3,577        86,313  

Preformed Line Products Co.

      1,221        59,487  

Primoris Services Corp.

      8,495        153,250  

Quad/Graphics, Inc.

      11,726        35,530  

Quanex Building Products Corp.

      13,239        244,127  

Quanta Services, Inc.

      222,930        11,784,080  

Radiant Logistics, Inc.(1)

      15,622        80,297  

Raven Industries, Inc.

      12,980        279,330  

Regal Beloit Corp.

      154,038        14,459,547  

Republic Services, Inc. - Class A

      6,357        593,426  

Resideo Technologies, Inc.(1)

      49,145        540,595  

Resources Connection, Inc.

      12,060        139,293  

REV Group, Inc.

      9,465        74,679  

Rexnord Corp.

      44,870        1,338,921  

Robert Half International, Inc.

      147,975        7,833,796  

Rockwell Automation, Inc.

      1,790        395,017  

Rollins, Inc.

      530        28,721  

Rush Enterprises, Inc. - Class A

      10,722        541,890  

Rush Enterprises, Inc. - Class B

      2,110        93,473  

Ryder System, Inc.

      1,620        68,429  

Safe Bulkers, Inc.(1)

      18,803        19,367  

Schneider National, Inc. - Class B

      354,583        8,768,838  

Scorpio Bulkers, Inc.

      3,473        49,178  

Sensata Technologies Holding Plc(1)

      277,795        11,984,076  

SkyWest, Inc.

      19,525        583,017  

Snap-on, Inc.

      1,624        238,939  

Southwest Airlines Co.

      340,950        12,785,625  

SP Plus Corp.(1)

      8,996        161,478  

Spirit AeroSystems Holdings, Inc. - Class A

      74,230        1,403,689  

Spirit Airlines, Inc.(1)

      35,583        572,886  

SPX Corp.(1)

      4,377        203,005  

SPX FLOW, Inc.(1)

      16,960        726,227  

Standex International Corp.

      156,297        9,252,782  

Stanley Black & Decker, Inc.

      4,655        755,041  

Steelcase, Inc. - Class A

      213,221        2,155,664  

Stericycle, Inc.(1)

      132,530        8,357,342  

Sterling Construction Co., Inc.(1)

      9,575        135,582  

Systemax, Inc.

      1,884        45,103  

Team, Inc.(1)

      12,129        66,710  

Teledyne Technologies, Inc.(1)

      1,095        339,680  

Terex Corp.

      101,557        1,966,144  

Textainer Group Holdings Ltd.(1)

      562,935        7,971,160  

Textron, Inc.

      387,390        13,980,905  

Thermon Group Holdings, Inc.(1)

      13,343        149,842  

Timken Co.

      505,128        27,388,040  

Titan Machinery, Inc.(1)

      7,414        98,087  

Toro Co.

      350        29,383  

Trane Technologies Plc

      58,954        7,148,173  

TransDigm Group, Inc.

      1,227        582,972  

TransUnion

      509        42,822  

TriMas Corp.(1)

      338,783        7,724,252  

Trinity Industries, Inc.

      139,800        2,726,100  

Triton International Ltd.

      19,974        812,343  

Triumph Group, Inc.

      20,719        134,881  

TrueBlue, Inc.(1)

      14,486        224,388  

Tutor Perini Corp.(1)

      16,216        180,484  

UFP Industries, Inc.

      3,785        213,890  

Ultralife Corp.(1)

      2,811        16,585  

UniFirst Corp.

      5,676        1,074,864  

United Continental Holdings, Inc.(1)

      107,571        3,738,092  

United Rentals, Inc.(1)

      38,982        6,802,359  

Univar, Inc.(1)

      460,626        7,775,367  

Universal Logistics Holdings, Inc.

      1,036        21,611  

US Ecology, Inc.

      442,800        14,466,276  

US Xpress Enterprises, Inc. - Class A(1)

      9,139        75,488  

Valmont Industries, Inc.

      624        77,488  

Vectrus, Inc.(1)

      2,990        113,620  

Veritiv Corp.(1)

      5,127        64,908  

Viad Corp.

      8,082        168,348  

Virgin Galactic Holdings, Inc.(1)

      276        5,307  

VSE Corp.

      3,681        112,786  

Wabash National Corp.

      88,467        1,058,065  

Wabtec Corp.

      5,451        337,308  

Watsco, Inc.

      986        229,630  

Watts Water Technologies, Inc. - Class A

      6,096        610,514  

Welbilt, Inc.(1)

      37,998        234,068  

Werner Enterprises, Inc.

      2,845        119,462  

WESCO International, Inc.(1)

      338,287        14,891,394  

Willdan Group, Inc.(1)

      1,397        35,637  

Willis Lease Finance Corp.(1)

      1,048        19,336  

WillScot Mobile Mini Holdings Corp. - Class A(1)

      2,127,564        35,487,768  

Woodward, Inc.

      1,663        133,306  

WW Grainger, Inc.

      352        125,583  

XPO Logistics, Inc.(1)

      2,603        220,370  

Xylem, Inc.

      5,382        452,734  
     

 

 

  

Total Industrials

 

      1,027,015,956  
     

 

 

  

Information Technology – 11.98%

      

2U, Inc.(1)

      1,377        46,625  

3D Systems Corp.(1)

      46,782        229,700  

8x8, Inc.(1)

      425,552        6,617,334  

ACI Worldwide, Inc.(1)

      578,255        15,109,803  

ADTRAN, Inc.

      18,827        193,071  

Akamai Technologies, Inc.(1)

      837        92,522  

Alliance Data Systems Corp.

      1,453        60,997  

Alpha & Omega Semiconductor Ltd.(1)

      7,772        99,637  

Ambarella, Inc.(1)

      9,251        482,717  

Amdocs Ltd.

      158,354        9,091,103  

Amkor Technology, Inc.(1)

      363,268        4,068,602  

Amphenol Corp. - Class A

      3,560        385,441  

Analog Devices, Inc.

      69,325        8,093,001  

Applied Optoelectronics, Inc.(1)

      8,729        98,201  

Arista Networks, Inc.(1)

      305        63,114  

Arlo Technologies, Inc.(1)

      31,312        164,701  

Arrow Electronics, Inc.(1)

      64,227        5,052,096  

Aspen Technology, Inc.(1)

      126        15,950  

Asure Software, Inc.(1)

      3,839        28,984  

Avaya Holdings Corp.(1)

      150,300        2,284,560  

Avnet, Inc.

      101,988        2,635,370  

Axcelis Technologies, Inc.(1)

      992        21,824  

AXT, Inc.(1)

      14,980        91,678  

Bel Fuse, Inc. - Class B

      3,815        40,744  

Belden, Inc.

      17,589        547,370  

Benchmark Electronics, Inc.

      14,359        289,334  

BigCommerce Holdings, Inc.(1)

      46        3,832  

Booz Allen Hamilton Holding Corp. - Class A

      51,800        4,298,364  

Brooks Automation, Inc.

      435,808        20,160,478  

Cabot Microelectronics Corp.

      62,925        8,986,319  

CACI International, Inc. - Class A(1)

      81,069        17,280,668  

CalAmp Corp.(1)

      4,970        35,734  

Cardtronics Plc - Class A(1)

      3,834        75,913  

CDK Global, Inc.

      3,177        138,485  

CDW Corp.

      54,175        6,475,538  

Cerence, Inc.(1)

      236,560        11,560,687  

Ceridian HCM Holding, Inc.(1)

      971        80,253  

Check Point Software Technologies Ltd.(1)

      132,784        15,979,227  

Ciena Corp.(1)

      50,038        1,986,008  

Cirrus Logic, Inc.(1)

      33,833        2,282,036  

Citrix Systems, Inc.

      2,702        372,092  

Cloudera, Inc.(1)

      42,269        460,309  

Cognizant Technology Solutions Corp. - Class A

      124,027        8,609,954  

Coherent, Inc.(1)

      138        15,308  

Cohu, Inc.

      15,682        269,417  

CommScope Holding Co., Inc.(1)

      5,592        50,328  

Comtech Telecommunications Corp.

      9,523        133,322  

Conduent, Inc.(1)

      64,980        206,636  

Corning, Inc.

      183,874        5,959,356  

Cree, Inc.(1)

      3,263        207,984  

Crowdstrike Holdings, Inc. - Class A(1)

      1,253        172,062  

CTS Corp.

      12,713        280,067  

Daktronics, Inc.

      16,034        63,495  

Diebold Nixdorf, Inc.(1)

      16,700        127,588  

Digi International, Inc.(1)

      11,820        184,747  

Digimarc Corp.(1)

      583        13,018  

Diodes, Inc.(1)

      76,366        4,310,861  

Dolby Laboratories, Inc. - Class A

      1,695        112,345  

DSP Group, Inc.(1)

      1,338        17,635  

Duck Creek Technologies, Inc.(1)

      92        4,180  

DXC Technology Co.

      122,221        2,181,645  

DZS, Inc.(1)

      4,880        45,726  

Eastman Kodak Co.(1)

      6,268        55,284  

Ebix, Inc.

      4,874        100,404  

EchoStar Corp. - Class A(1)

      1,452        36,140  

eGain Corp.(1)

      5,602        79,380  

Entegris, Inc.

      210,628        15,658,086  

ePlus, Inc.(1)

      809        59,219  

Euronet Worldwide, Inc.(1)

      1,529        139,292  

EVERTEC, Inc.

      199,210        6,914,579  

F5 Networks, Inc.(1)

      22,646        2,780,249  

FARO Technologies, Inc.(1)

      622        37,930  

Fidelity National Information Services, Inc.

      75,525        11,118,035  

FireEye, Inc.(1)

      5,255        64,873  

First Solar, Inc.(1)

      2,770        183,374  

Fiserv, Inc.(1)

      115,950        11,948,648  

Fitbit, Inc. - Class A(1)

      31,801        221,335  

Flex Ltd.(1)

      487,038        5,425,603  

FLIR Systems, Inc.

      3,926        140,747  

Genpact Ltd.

      3,466        135,001  

Global Payments, Inc.

      65,490        11,629,714  

GSI Technology, Inc.(1)

      5,783        32,616  

GTY Technology Holdings, Inc.(1)

      17,581        46,590  

Guidewire Software, Inc.(1)

      2,032        211,877  

Hackett Group, Inc.

      1,362        15,227  

Harmonic, Inc.(1)

      38,264        213,513  

Hewlett Packard Enterprise Co.

      471,615        4,419,033  

HP, Inc.

      286,159        5,434,159  

II-VI, Inc.(1)

      4,837        196,189  

Immersion Corp.(1)

      1,476        10,406  

Infinera Corp.(1)

      31,896        196,479  

Information Services Group, Inc.(1)

      12,957        27,339  

Insight Enterprises, Inc.(1)

      10,102        571,571  

InterDigital, Inc.

      8,400        479,304  

Intevac, Inc.(1)

      6,736        37,115  

IPG Photonics Corp.(1)

      991        168,440  

Jabil, Inc.

      125,460        4,298,260  

Jack Henry & Associates, Inc.

      501        81,458  

Jamf Holding Corp.(1)

      284        10,681  

Juniper Networks, Inc.

      342,432        7,362,288  

KBR, Inc.

      701,003        15,674,427  

Keysight Technologies, Inc.(1)

      129,646        12,806,432  

Kimball Electronics, Inc.(1)

      10,036        116,016  

KLA-Tencor Corp.

      38,120        7,385,369  

Knowles Corp.(1)

      35,771        532,988  

KVH Industries, Inc.(1)

      6,769        60,989  

Lam Research Corp.

      32,619        10,821,353  

Leidos Holdings, Inc.

      115,914        10,333,733  

Littelfuse, Inc.

      25,659        4,550,367  

LiveRamp Holdings, Inc.(1)

      4,968        257,193  

Lumentum Holdings, Inc.(1)

      1,998        150,110  

Manhattan Associates, Inc.(1)

      188        17,952  

ManTech International Corp. - Class A

      6,211        427,814  

Marvell Technology Group Ltd.

      19,957        792,293  

Maxeon Solar Technologies Ltd.(1)

      1,158        19,640  

Maxim Integrated Products, Inc.

      5,334        360,632  

MAXIMUS, Inc.

      205,550        14,061,676  

MaxLinear, Inc. - Class A(1)

      10,669        247,948  

Methode Electronics, Inc.

      724,862        20,658,567  

Microchip Technology, Inc.

      1,826        187,640  

MicroStrategy, Inc. - Class A(1)

      1,162        174,951  

MKS Instruments, Inc.

      415        45,330  

MoneyGram International, Inc.(1)

      24,651        69,639  

Motorola Solutions, Inc.

      180,685        28,333,215  

MTS Systems Corp.

      7,898        150,931  

National Instruments Corp.

      3,839        137,052  

nCino, Inc.(1)

      50        3,984  

NCR Corp.(1)

      109,357        2,421,164  

NeoPhotonics Corp.(1)

      5,807        35,365  

NetApp, Inc.

      68,039        2,982,830  

NETGEAR, Inc.(1)

      11,723        361,303  

NetScout Systems, Inc.(1)

      27,798        606,830  

nLight, Inc.(1)

      180,528        4,238,797  

Nuance Communications, Inc.(1)

      8,507        282,347  

NVE Corp.

      123        6,037  

NXP Semiconductors NV

      157,509        19,658,698  

ON Semiconductor Corp.(1)

      386,331        8,379,519  

Onto Innovation, Inc.(1)

      14,357        427,551  

Park City Group, Inc.(1)

      3,568        17,590  

Paychex, Inc.

      2,012        160,497  

PC Connection, Inc.

      4,149        170,358  

PCTEL, Inc.(1)

      6,756        38,239  

PDF Solutions, Inc.(1)

      775        14,500  

Pegasystems, Inc.

      128        15,493  

Perspecta, Inc.

      9,692        188,509  

PFSweb, Inc.(1)

      1,466        9,808  

Photronics, Inc.(1)

      25,518        254,159  

Pixelworks, Inc.(1)

      2,021        4,143  

Plantronics, Inc.

      9,137        108,182  

Plexus Corp.(1)

      288,566        20,381,417  

Powerfleet, Inc.(1)

      12,240        68,911  

Pure Storage, Inc. - Class A(1)

      3,123        48,063  

Qorvo, Inc.(1)

      137,291        17,711,912  

Quantum Corp.(1)

      9,534        43,856  

Rackspace Technology, Inc.(1)

      267,528        5,160,615  

Rambus, Inc.(1)

      683,931        9,363,015  

RealPage, Inc.(1)

      298        17,177  

Ribbon Communications, Inc.(1)

      26,774        103,615  

RingCentral, Inc. - Class A(1)

      18,640        5,118,730  

Rogers Corp.(1)

      73,881        7,244,771  

Rosetta Stone, Inc.(1)

      8,106        243,018  

Sabre Corp.

      8,562        55,739  

Sanmina Corp.(1)

      82,254        2,224,971  

ScanSource, Inc.(1)

      9,867        195,663  

Science Applications International Corp.

      120,750        9,469,215  

SeaChange International, Inc.(1)

      8,987        7,822  

Seagate Technology Plc

      101,600        5,005,832  

SecureWorks Corp. - Class A(1)

      3,256        37,086  

Semtech Corp.(1)

      180,819        9,576,174  

ServiceSource International, Inc.(1)

      32,690        48,054  

Skyworks Solutions, Inc.

      23,632        3,438,456  

SMART Global Holdings, Inc.(1)

      237        6,480  

SolarWinds Corp.(1)

      436,471        8,877,820  

SS&C Technologies Holdings, Inc.

      5,381        325,658  

StarTek, Inc.(1)

      6,203        32,566  

SunPower Corp. - Class A(1)

      9,265        115,905  

Super Micro Computer, Inc.(1)

      12,877        339,953  

Sykes Enterprises, Inc.(1)

      80,705        2,760,918  

Synaptics, Inc.(1)

      711        57,179  

Synchronoss Technologies, Inc.(1)

      16,412        49,400  

SYNNEX Corp.

      137,884        19,312,033  

Synopsys, Inc.(1)

      321        68,688  

TE Connectivity Ltd.

      183,792        17,963,830  

Telenav, Inc.(1)

      7,594        27,338  

Teradata Corp.(1)

      842        19,113  

Trimble, Inc.(1)

      7,565        368,416  

TTM Technologies, Inc.(1)

      215,631        2,460,350  

Twilio, Inc. - Class A(1)

      692        170,986  

Ubiquiti, Inc.

      53        8,833  

Unisys Corp.(1)

      22,696        242,166  

Veeco Instruments, Inc.(1)

      19,796        231,019  

Verint Systems, Inc.(1)

      215,398        10,377,876  

VeriSign, Inc.(1)

      1,263        258,726  

Verra Mobility Corp. - Class A(1)

      728,249        7,034,885  

ViaSat, Inc.(1)

      1,776        61,077  

VirnetX Holding Corp.

      13,131        69,200  

Vishay Intertechnology, Inc.

      151,590        2,360,256  

Vishay Precision Group, Inc.(1)

      4,847        122,726  

Western Digital Corp.

      268,602        9,817,403  

Western Union Co.

      194,898        4,176,664  

WEX, Inc.(1)

      1,217        169,127  

WNS Holdings Ltd. - ADR(1)

      52,959        3,387,258  

Xerox Corp.

      417,537        7,837,170  

Xperi Holding Corp.

      38,931        447,317  

Zebra Technologies Corp. - Class A(1)

      133        33,577  
     

 

 

  

Total Information Technology

 

      623,502,719  
     

 

 

  

Materials – 6.86%

      

Advanced Emissions Solutions, Inc.

      7,028        28,534  

AdvanSix, Inc.(1)

      10,790        138,975  

AgroFresh Solutions, Inc.(1)

      10,516        25,554  

Albemarle Corp.

      3,192        284,982  

Alcoa Corp.(1)

      74,556        867,086  

Allegheny Technologies, Inc.(1)

      50,535        440,665  

Amcor Plc

      40,479        447,293  

American Vanguard Corp.

      9,544        125,408  

Amyris, Inc.(1)

      38,030        111,048  

AptarGroup, Inc.

      1,930        218,476  

Arconic Corp.(1)

      74,524        1,419,682  

Ardagh Group SA - Class A

      644        9,048  

Ashland Global Holdings, Inc.

      148,969        10,564,881  

Avery Dennison Corp.

      115,813        14,805,534  

Avient Corp.

      36,408        963,356  

Axalta Coating Systems Ltd.(1)

      250,730        5,558,684  

Balchem Corp.

      1,105        107,881  

Ball Corp.

      616        51,202  

Berry Global Group, Inc.(1)

      215,033        10,390,395  

Boise Cascade Co.

      103,699        4,139,664  

Cabot Corp.

      63,632        2,292,661  

Caledonia Mining Corp. Plc

      3,249        55,200  

Carpenter Technology Corp.

      18,761        340,700  

Celanese Corp. - Class A

      58,848        6,323,218  

Century Aluminum Co.(1)

      19,832        141,204  

CF Industries Holdings, Inc.

      6,447        197,987  

Chemours Co.

      125,184        2,617,597  

Clearwater Paper Corp.(1)

      6,539        248,090  

Cleveland-Cliffs, Inc.

      157,373        1,010,335  

Coeur Mining, Inc.(1)

      96,505        712,207  

Commercial Metals Co.

      47,426        947,571  

Compass Minerals International, Inc.

      153,595        9,115,863  

Constellium SE - Class A(1)

      1,992,925        15,644,461  

Corteva, Inc.

      303,074        8,731,562  

Crown Holdings, Inc.(1)

      246,515        18,947,143  

Domtar Corp.

      21,944        576,469  

DowDuPont, Inc.

      145,427        8,068,290  

Eagle Materials, Inc.

      68,530        5,915,510  

Eastman Chemical Co.

      74,002        5,781,036  

Element Solutions, Inc.(1)

      1,052,741        11,064,308  

Ferro Corp.(1)

      775,169        9,612,096  

Ferroglobe Plc(1)

      642,169        429,611  

FMC Corp.

      343,019        36,329,142  

Freeport-McMoRan, Inc.

      43,702        683,499  

FutureFuel Corp.

      10,567        120,147  

GCP Applied Technologies, Inc.(1)

      4,008        83,968  

Gold Resource Corp.

      26,954        91,913  

Graphic Packaging Holding Co.

      933,890        13,158,510  

Greif, Inc. - Class A

      113,812        4,121,132  

Greif, Inc. - Class B

      2,250        88,830  

Hawkins, Inc.

      1,742        80,306  

Haynes International, Inc.

      4,710        80,494  

HB Fuller Co.

      325,257        14,890,265  

Hecla Mining Co.

      208,049        1,056,889  

Huntsman Corp.

      214,319        4,760,025  

Ingevity Corp.(1)

      149,590        7,395,730  

Innospec, Inc.

      1,804        114,229  

International Flavors & Fragrances, Inc.

      3,215        393,677  

International Paper Co.

      91,457        3,707,667  

Intrepid Potash, Inc.(1)

      4,119        34,764  

Kaiser Aluminum Corp.

      102,747        5,506,212  

Koppers Holdings, Inc.(1)

      3,326        69,547  

Kraton Corp.(1)

      12,273        218,705  

Kronos Worldwide, Inc.

      209,710        2,696,871  

Livent Corp.(1)

      59,108        530,199  

LyondellBasell Industries NV - Class A

      292,189        20,596,403  

Martin Marietta Materials, Inc.

      1,871        440,359  

Materion Corp.

      5,707        296,935  

Minerals Technologies, Inc.

      13,566        693,223  

Mosaic Co.

      437,232        7,988,229  

Myers Industries, Inc.

      9,075        120,062  

Neenah, Inc.

      6,792        254,496  

NewMarket Corp.

      36        12,323  

Novagold Resources, Inc.(1)

      6,779        80,602  

Nucor Corp.

      9,097        408,091  

O-I Glass, Inc.

      192,793        2,041,678  

Olin Corp.

      4,323        53,519  

Olympic Steel, Inc.

      3,568        40,532  

Orion Engineered Carbons SA

      10,346        129,428  

Packaging Corp. of America

      2,832        308,830  

Pactiv Evergreen, Inc.(1)

      422,948        5,371,440  

PH Glatfelter Co.

      515,307        7,095,777  

PPG Industries, Inc.

      59,855        7,307,098  

PQ Group Holdings, Inc.(1)

      12,544        128,701  

Ranpak Holdings Corp. - Class A(1)

      11,920        113,478  

Rayonier Advanced Materials, Inc.(1)

      25,721        82,307  

Reliance Steel & Aluminum Co.

      45,980        4,691,799  

Royal Gold, Inc.

      551        66,214  

RPM International, Inc.

      649        53,763  

Ryerson Holding Corp.(1)

      6,549        37,526  

Schnitzer Steel Industries, Inc. - Class A

      10,396        199,915  

Schweitzer-Mauduit International, Inc.

      61,558        1,870,748  

Scotts Miracle-Gro Co.

      85        12,997  

Sealed Air Corp.

      116,365        4,516,126  

Sensient Technologies Corp.

      10,023        578,728  

Silgan Holdings, Inc.

      283,919        10,439,702  

Sonoco Products Co.

      3,061        156,325  

Steel Dynamics, Inc.

      381,209        10,914,014  

Stepan Co.

      7,914        862,626  

Summit Materials, Inc. - Class A(1)

      45,698        755,845  

SunCoke Energy, Inc.

      33,003        112,870  

TimkenSteel Corp.(1)

      17,783        63,130  

Trecora Resources(1)

      9,303        57,120  

Tredegar Corp.

      10,177        151,332  

Trinseo SA

      49,933        1,280,282  

Tronox Holdings Plc - Class A

      23,095        181,758  

UFP Technologies, Inc.(1)

      2,652        109,846  

United States Lime & Minerals, Inc.

      701        63,160  

United States Steel Corp.

      87,635        643,241  

US Concrete, Inc.(1)

      6,336        183,997  

Valvoline, Inc.

      5,516        105,025  

Verso Corp. - Class A

      12,656        99,856  

Vulcan Materials Co.

      3,989        540,669  

Warrior Met Coal, Inc.

      20,647        352,651  

Westlake Chemical Corp.

      1,050        66,381  

Westrock Co.

      77,137        2,679,739  

Worthington Industries, Inc.

      14,629        596,571  

WR Grace & Co.

      132,246        5,328,191  
     

 

 

  

Total Materials

 

      357,019,846  
     

 

 

  

Real Estate – 7.06%

      

Acadia Realty Trust

      33,819        355,099  

Agree Realty Corp.

      21,199        1,349,104  

Alexander & Baldwin, Inc.

      28,842        323,319  

Alexander’s, Inc.

      50        12,261  

Alexandria Real Estate Equities, Inc.

      3,770        603,200  

Alpine Income Property Trust, Inc.

      2,696        41,923  

Altisource Portfolio Solutions SA(1)

      1,897        24,035  

American Assets Trust, Inc.

      19,957        480,764  

American Campus Communities, Inc.

      139,970        4,887,752  

American Finance Trust, Inc.

      43,676        273,849  

American Homes 4 Rent - Class A

      323,039        9,200,151  

American Realty Investors, Inc.(1)

      828        7,510  

Americold Realty Trust

      5,508        196,911  

Apartment Investment & Management Co. - Class A

      4,439        149,683  

Apple Hospitality REIT, Inc.

      6,498        62,446  

Armada Hoffler Properties, Inc.

      22,668        209,906  

AvalonBay Communities, Inc.

      4,239        633,052  

Bluerock Residential Growth REIT, Inc. - Class A

      6,025        45,669  

Boston Properties, Inc.

      98,210        7,886,263  

Brandywine Realty Trust

      313,037        3,236,803  

Brixmor Property Group, Inc.

      714,190        8,348,881  

Broadstone Net Lease, Inc. - Class A

      342,428        5,745,942  

Brookfield Property REIT, Inc. - Class A

      295        3,611  

BRT Apartments Corp.

      4,330        51,007  

Camden Property Trust

      2,847        253,326  

CareTrust REIT, Inc.

      32,876        585,028  

CatchMark Timber Trust, Inc. - Class A

      17,100        152,703  

CBRE Group, Inc. - Class A(1)

      10,034        471,297  

Chatham Lodging Trust

      123,147        938,380  

City Office REIT, Inc.

      133,252        1,002,055  

Clipper Realty, Inc.

      1,244        7,526  

Colony Capital, Inc.

      191,670        523,259  

Columbia Property Trust, Inc.

      45,771        499,362  

CoreCivic, Inc.

      205,071        1,640,568  

CorEnergy Infrastructure Trust, Inc.

      5,505        32,149  

CorePoint Lodging, Inc.

      16,801        91,565  

CoreSite Realty Corp.

      397        47,195  

Corporate Office Properties Trust

      426,998        10,128,393  

Cousins Properties, Inc.

      254,681        7,281,330  

CTO Realty Growth, Inc.

      1,712        75,499  

CubeSmart

      508,612        16,433,254  

Cushman & Wakefield Plc(1)

      28,911        303,855  

CyrusOne, Inc.

      183,602        12,857,648  

DiamondRock Hospitality Co.

      469,144        2,378,560  

Diversified Healthcare Trust

      356,081        1,253,405  

Douglas Emmett, Inc.

      217,976        5,471,198  

Duke Realty Corp.

      317,314        11,708,887  

EastGroup Properties, Inc.

      47,435        6,134,769  

Empire State Realty Trust, Inc. - Class A

      747,624        4,575,459  

EPR Properties

      2,295        63,112  

Equity Commonwealth

      3,589        95,575  

Equity LifeStyle Properties, Inc.

      3,079        188,743  

Equity Residential

      168,775        8,663,221  

Essential Properties Realty Trust, Inc.

      36,886        675,752  

Essex Property Trust, Inc.

      25,323        5,084,605  

Extra Space Storage, Inc.

      1,141        122,076  

Farmland Partners, Inc.

      11,038        73,513  

Fathom Holdings, Inc.(1)

      1,268        19,958  

Federal Realty Investment Trust

      2,256        165,681  

First Industrial Realty Trust, Inc.

      3,804        151,399  

Forestar Group, Inc.(1)

      6,375        112,837  

Franklin Street Properties Corp.

      250,417        916,526  

Front Yard Residential Corp.

      19,625        171,522  

FRP Holdings, Inc.(1)

      2,486        103,592  

Gaming & Leisure Properties, Inc.

      95,407        3,523,381  

Getty Realty Corp.

      13,575        353,086  

Gladstone Commercial Corp.

      10,626        179,048  

Gladstone Land Corp.

      4,182        62,814  

Global Medical REIT, Inc.

      16,868        227,718  

Global Net Lease, Inc.

      145,577        2,314,674  

Griffin Industrial Realty, Inc.

      309        16,516  

Healthcare Realty Trust, Inc.

      53,989        1,626,149  

Healthcare Trust of America, Inc. - Class A

      6,506        169,156  

Healthpeak Properties, Inc.

      274,131        7,442,657  

Hersha Hospitality Trust - Class A

      14,351        79,505  

Highwoods Properties, Inc.

      3,126        104,940  

Host Hotels & Resorts, Inc.

      216,231        2,333,132  

Hudson Pacific Properties, Inc.

      4,603        100,944  

Independence Realty Trust, Inc.

      38,209        442,842  

Industrial Logistics Properties Trust

      629,871        13,775,279  

Innovative Industrial Properties, Inc. - Class A

      4,967        616,454  

Investors Real Estate Trust

      5,145        335,300  

Invitation Homes, Inc.

      155,883        4,363,165  

Iron Mountain, Inc.

      96,125        2,575,189  

iStar, Inc.

      29,106        343,742  

JBG SMITH Properties

      3,718        99,419  

Jernigan Capital, Inc.

      9,040        154,946  

Jones Lang LaSalle, Inc.

      31,073        2,972,443  

Kennedy-Wilson Holdings, Inc.

      48,927        710,420  

Kilroy Realty Corp.

      127,513        6,625,575  

Kimco Realty Corp.

      12,436        140,029  

Kite Realty Group Trust

      33,139        383,750  

Lamar Advertising Co. - Class A

      114,467        7,574,281  

Lexington Realty Trust

      1,007,865        10,532,189  

Life Storage, Inc.

      64,101        6,747,912  

LTC Properties, Inc.

      9,585        334,133  

Macerich Co.

      59,679        405,220  

Mack-Cali Realty Corp.

      34,805        439,239  

Marcus & Millichap, Inc.(1)

      8,515        234,333  

Maui Land & Pineapple Co., Inc.(1)

      1,050        11,361  

Medical Properties Trust, Inc.

      15,743        277,549  

Mid-America Apartment Communities, Inc.

      43,598        5,055,188  

Monmouth Real Estate Investment Corp.

      4,131        57,214  

National Health Investors, Inc.

      11,546        695,877  

National Retail Properties, Inc.

      5,125        176,864  

NETSTREIT Corp.

      4,251        77,623  

New Senior Investment Group, Inc.

      31,670        126,680  

Newmark Group, Inc. - Class A

      56,861        245,640  

NexPoint Residential Trust, Inc.

      7,297        323,622  

Office Properties Income Trust

      434,507        9,002,985  

Omega Healthcare Investors, Inc.

      166,651        4,989,531  

One Liberty Properties, Inc.

      6,416        104,966  

Outfront Media, Inc.

      309,512        4,503,400  

Paramount Group, Inc.

      400,545        2,835,859  

Park Hotels & Resorts, Inc.

      7,101        70,939  

Pebblebrook Hotel Trust

      422,470        5,293,549  

Physicians Realty Trust

      901,251        16,141,405  

Piedmont Office Realty Trust, Inc. - Class A

      243,682        3,306,765  

PotlatchDeltic Corp.

      26,041        1,096,326  

Preferred Apartment Communities, Inc. - Class A

      19,676        106,250  

QTS Realty Trust, Inc. - Class A

      328,190        20,682,534  

Rafael Holdings, Inc. - Class B(1)

      3,535        54,792  

Rayonier, Inc.

      3,987        105,416  

Re/Max Holdings, Inc. - Class A

      7,024        229,896  

Realogy Holdings Corp.(1)

      45,498        429,501  

Realty Income Corp.

      10,369        629,917  

Regency Centers Corp.

      218,986        8,325,848  

Retail Opportunity Investments Corp.

      45,823        477,247  

Retail Properties of America, Inc. - Class A

      85,568        497,150  

Retail Value, Inc.

      20,180        253,663  

Rexford Industrial Realty, Inc.

      3,719        170,181  

RLJ Lodging Trust

      65,114        563,887  

RMR Group, Inc. - Class A

      593        16,290  

RPT Realty

      32,289        175,652  

Ryman Hospitality Properties, Inc.

      2,732        100,538  

Sabra Health Care REIT, Inc.

      209,427        2,886,951  

Safehold, Inc.

      3,191        198,161  

Saul Centers, Inc.

      828        22,008  

Seritage Growth Properties(1)

      13,631        183,337  

Service Properties Trust

      182,535        1,451,153  

Simon Property Group, Inc.

      1,939        125,415  

SITE Centers Corp.

      311,342        2,241,662  

SL Green Realty Corp.

      2,198        101,921  

Spirit Realty Capital, Inc.

      3,160        106,650  

St Joe Co.(1)

      6,590        135,952  

STAG Industrial, Inc.

      283,795        8,652,910  

STORE Capital Corp.

      126,030        3,457,003  

Stratus Properties, Inc.(1)

      2,194        47,303  

Summit Hotel Properties, Inc.

      209,378        1,084,578  

Sun Communities, Inc.

      2,911        409,316  

Sunstone Hotel Investors, Inc.

      85,950        682,443  

Tanger Factory Outlet Centers, Inc.

      145,510        877,425  

Taubman Centers, Inc.

      1,762        58,657  

Tejon Ranch Co.(1)

      8,486        120,077  

Terreno Realty Corp.

      15,245        834,816  

The GEO Group, Inc.

      46,634        528,830  

The Howard Hughes Corp.(1)

      1,152        66,355  

Transcontinental Realty Investors, Inc.(1)

      548        13,662  

UDR, Inc.

      8,801        287,001  

UMH Properties, Inc.

      3,275        44,343  

Uniti Group, Inc.

      179,700        1,893,139  

Universal Health Realty Income Trust

      734        41,831  

Urban Edge Properties

      560,814        5,451,112  

Urstadt Biddle Properties, Inc. - Class A

      12,028        110,658  

Ventas, Inc.

      11,250        472,050  

VEREIT, Inc.

      643,161        4,180,546  

VICI Properties, Inc.

      16,127        376,888  

Vornado Realty Trust

      5,371        181,056  

Washington Prime Group, Inc.

      278,400        180,236  

Washington Real Estate Investment Trust

      32,940        663,082  

Weingarten Realty Investors

      3,577        60,666  

Welltower, Inc.

      206,602        11,381,704  

Weyerhaeuser Co.

      148,618        4,238,585  

Whitestone REIT - Class B

      15,288        91,728  

WP Carey, Inc.

      5,173        337,073  

Xenia Hotels & Resorts, Inc.

      214,457        1,882,932  
     

 

 

  

Total Real Estate

 

      367,296,823  
     

 

 

  

Utilities – 5.63%

      

AES Corp.

      19,854        359,556  

ALLETE, Inc.

      89,037        4,606,774  

Alliant Energy Corp.

      224,304        11,585,302  

Ameren Corp.

      198,569        15,702,837  

American Water Works Co., Inc.

      5,464        791,624  

Artesian Resources Corp. - Class A

      3,086        106,374  

Atlantic Power Corp.(1)

      33,063        64,803  

Atlantica Yield Plc

      213,525        6,108,950  

Atmos Energy Corp.

      3,677        351,484  

Avangrid, Inc.

      1,684        84,975  

Avista Corp.

      26,913        918,272  

Black Hills Corp.

      218,944        11,711,315  

Brookfield Infrastructure Corp. - Class A

      6,525        361,420  

Brookfield Renewable Corp. - Class A

      24,941        1,461,543  

Cadiz, Inc.(1)

      2,953        29,323  

California Water Service Group

      1,589        69,042  

CenterPoint Energy, Inc.

      600,271        11,615,244  

Chesapeake Utilities Corp.

      452        38,104  

Clearway Energy, Inc. - Class A

      11,084        273,775  

Clearway Energy, Inc. - Class C

      26,090        703,386  

CMS Energy Corp.

      85,150        5,229,061  

Consolidated Edison, Inc.

      10,119        787,258  

Consolidated Water Co. Ltd.

      5,232        54,465  

DTE Energy Co.

      50,211        5,776,273  

Edison International

      236,570        12,027,219  

Entergy Corp.

      154,897        15,262,001  

Essential Utilities, Inc.

      6,763        272,211  

Evergy, Inc.

      409,593        20,815,516  

Eversource Energy

      10,357        865,327  

Exelon Corp.

      131,200        4,691,712  

FirstEnergy Corp.

      366,136        10,511,765  

Hawaiian Electric Industries, Inc.

      3,249        107,997  

IDACORP, Inc.

      1,491        119,131  

MDU Resources Group, Inc.

      199,114        4,480,065  

MGE Energy, Inc.

      133,105        8,340,359  

National Fuel Gas Co.

      136,626        5,545,649  

New Jersey Resources Corp.

      348,347        9,412,336  

NiSource, Inc.

      11,576        254,672  

Northwest Natural Holding Co.

      10,829        491,528  

NorthWestern Corp.

      20,275        986,176  

NRG Energy, Inc.

      180,616        5,552,136  

OGE Energy Corp.

      6,007        180,150  

ONE Gas, Inc.

      221,399        15,278,745  

Otter Tail Corp.

      10,627        384,379  

PG&E Corp.(1)

      39,092        367,074  

Pinnacle West Capital Corp.

      3,408        254,066  

PNM Resources, Inc.

      31,690        1,309,748  

Portland General Electric Co.

      309,096        10,972,908  

PPL Corp.

      301,536        8,204,795  

Public Service Enterprise Group, Inc.

      91,688        5,034,588  

RGC Resources, Inc.

      1,695        39,748  

SJW Group

      4,954        301,500  

South Jersey Industries, Inc.

      806,572        15,542,642  

Southwest Gas Holdings, Inc.

      20,437        1,289,575  

Spire, Inc.

      19,995        1,063,734  

Sunnova Energy International, Inc.(1)

      18,624        566,356  

UGI Corp.

      407,784        13,448,716  

Unitil Corp.

      5,709        220,596  

Vistra Energy Corp.

      2,030,699        38,298,983  

WEC Energy Group, Inc.

      9,540        924,426  

Xcel Energy, Inc.

      15,869        1,095,120  
     

 

 

  

Total Utilities

 

      293,304,809  
     

 

 

  

Total Common Stocks (Cost: $4,830,472,162)

 

      5,105,193,583  
     

 

 

  

WARRANTS – 0.00%(4)

      

Energy – 0.00%(4)

      

Whiting Petroleum Corp., expires 09/01/2024(1)

      281        688  
     

 

 

  

Total Energy

 

      688  
     

 

 

  

Total Warrants (Cost: $–)

 

      688  
     

 

 

  

SHORT-TERM INVESTMENTS – 1.68%

      

Money Market Funds – 0.87%

      

Goldman Sachs Financial Square Government Fund - Class I, 0.00%(5)

      45,148,065        45,148,065  
     

 

 

  

Total Money Market Funds (Cost: $45,148,065)

         45,148,065  
     

 

 

  

     Principal
Amount		      Value  

Time Deposits – 0.81%

      

ANZ, London, 0.01% due 10/01/2020

    $ 6,551,472        6,551,471  

BBVA, Madrid, 0.01% due 10/01/2020

      12,339,846        12,339,846  

Brown Brothers Harriman, 0.03% due 10/01/2020

    CAD 17        13  

Citibank, New York, 0.01% due 10/01/2020

    $ 14,662,008        14,662,008  

JP Morgan, New York, 0.01% due 10/01/2020

      8,931,516        8,931,516  
     

 

 

  

Total Time Deposits (Cost: $42,484,854)

         42,484,854  
     

 

 

  

Total Short-Term Investments (Cost: $87,632,919)

 

      87,632,919  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 99.75%

(Cost: $4,918,105,081)

         5,192,827,190  
     

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES – 0.25%

         12,963,811  
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 5,205,791,001  
     

 

 

  

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

REIT Real Estate Investment Trust

CAD Canadian Dollar

 

(1)

Non-income producing security.

(2)

Amount calculated is less than $0.5.

(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 the security totals $4,889,528, which represents 0.09% of total net assets.

(4)

Amount calculated is less than 0.005%.

(5)

Represents annualized seven-day yield as of the close of the reporting period.

(6)

Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $0, which represents 0.00% of total net assets.

The accompanying notes are an integral part of this Schedule of Investments.

Bridge Builder International Equity Fund

Schedule of Investments

September 30, 2020 (Unaudited)

 

     Shares      Value  

COMMON STOCKS – 95.99%

      

Argentina – 1.06%

      

MercadoLibre, Inc.(1)

      115,099      $ 124,592,366  
     

 

 

  

Total Argentina

 

      124,592,366  
     

 

 

  

Australia – 2.03%

      

Afterpay Ltd.(1)

      9,339        550,484  

AGL Energy Ltd.

      26,311        256,909  

AMP Ltd.

      133,809        126,004  

Ampol Ltd.

      10,306        177,868  

APA Group

      52,310        388,856  

Aristocrat Leisure Ltd.

      24,409        532,325  

ASX Ltd.

      8,406        491,462  

Aurizon Holdings Ltd.

      85,135        261,907  

AusNet Services - Class Miscella

      71,038        95,897  

Australia & New Zealand Banking Group Ltd.

      116,263        1,450,497  

BHP Group Ltd.

      121,071        3,127,700  

BHP Group Plc

      86,599        1,847,516  

BlueScope Steel Ltd.

      19,806        182,489  

Brambles Ltd.

      66,049        501,513  

CIMIC Group Ltd.(1)

      4,536        60,759  

Coca-Cola Amatil Ltd.

      21,646        148,165  

Cochlear Ltd.

      334,923        47,849,981  

Coles Group Ltd.

      57,781        703,933  

Commonwealth Bank of Australia

      72,755        3,347,915  

Computershare Ltd.

      19,928        176,297  

Crown Resorts Ltd.

      16,488        104,739  

CSL Ltd.

      407,161        84,105,949  

Dexus

      48,538        310,882  

Evolution Mining Ltd.

      69,016        288,310  

Fortescue Metals Group Ltd.

      69,728        819,167  

Goodman Group

      71,677        928,033  

GPT Group

      78,976        222,175  

Insurance Australia Group Ltd.

      102,610        324,701  

Lendlease Corp. Ltd.

      29,659        236,930  

Macquarie Group Ltd.

      13,862        1,201,618  

Magellan Financial Group Ltd.

      5,310        219,006  

Medibank Pvt Ltd.

      123,427        222,711  

Mirvac Group

      161,298        252,850  

National Australia Bank Ltd.

      131,359        1,687,562  

Newcrest Mining Ltd.

      35,096        795,834  

Northern Star Resources Ltd.

      31,765        314,761  

Oil Search Ltd.

      78,461        150,075  

Orica Ltd.

      16,820        187,271  

Origin Energy Ltd.

      72,519        224,585  

Qantas Airways Ltd.

      39,642        116,256  

QBE Insurance Group Ltd.

      4,948,401        30,779,231  

Ramsay Health Care Ltd.

      7,901        376,710  

REA Group Ltd.

      2,418        192,542  

Santos Ltd.

      78,249        276,672  

Scentre Group

      215,709        343,441  

Seek Ltd.

      1,781,306        27,479,242  

Sonic Healthcare Ltd.

      19,983        474,540  

South32 Ltd.

      201,749        299,407  

Stockland

      97,445        266,203  

Suncorp Group Ltd.

      51,920        316,947  

Sydney Airport - Stapled Security

      55,112        234,031  

Tabcorp Holdings Ltd.

      93,302        224,682  

Telstra Corp. Ltd.

      171,399        343,184  

TPG Telecom Ltd.(1)

      15,038        79,355  

Transurban Group

      118,205        1,206,979  

Treasury Wine Estates Ltd.

      2,382,295        15,306,868  

Vicinity Centres

      159,169        158,947  

Washington H Soul Pattinson & Co. Ltd.

      5,392        91,590  

Wesfarmers Ltd.

      48,593        1,553,240  

Westpac Banking Corp.

      148,665        1,807,663  

WiseTech Global Ltd.

      6,677        125,058  

Woodside Petroleum Ltd.

      38,799        492,440  

Woolworths Group Ltd.

      54,783        1,432,503  
     

 

 

  

Total Australia

 

      238,853,367  
     

 

 

  

Austria – 0.01%

      

Andritz AG

      3,341        103,122  

Erste Group Bank AG(1)

      11,503        240,878  

OMV AG(1)

      5,920        161,978  

Raiffeisen Bank International AG(1)

      5,974        91,438  

Verbund AG

      2,690        146,907  

Voestalpine AG

      5,138        135,416  
     

 

 

  

Total Austria

 

      879,739  
     

 

 

  

Belgium – 0.11%

      

Ageas

      7,327        299,814  

Anheuser-Busch InBev SA

      31,316        1,686,068  

Colruyt SA(1)

      2,185        141,799  

Elia Group SA

      1,418        141,755  

Galapagos NV(1)

      1,846        261,707  

Groupe Bruxelles Lambert SA

      4,863        438,409  

KBC Group NV

      154,256        7,735,336  

Proximus

      5,745        104,806  

Sofina SA

      707        193,016  

Solvay SA

      3,016        259,474  

Telenet Group Holding NV

      1,740        67,537  

UCB SA

      5,430        616,705  

Umicore SA

      8,729        363,079  
     

 

 

  

Total Belgium

 

      12,309,505  
     

 

 

  

Brazil – 0.27%

      

Raia Drogasil SA

      7,735,355        32,258,768  
     

 

 

  

Total Brazil

 

      32,258,768  
     

 

 

  

Canada – 2.87%

      

Canadian Pacific Railway Ltd.

      249,171        75,855,128  

Fairfax Financial Holdings Ltd.

      48,432        14,261,715  

Lululemon Athletica, Inc.(1)

      186,831        61,536,526  

Shopify, Inc. - Class A(1)

      181,470        185,638,366  
     

 

 

  

Total Canada

 

      337,291,735  
     

 

 

  

Chile – 0.57%

      

Antofagasta Plc

      5,109,520        67,431,535  
     

 

 

  

Total Chile

 

      67,431,535  
     

 

 

  

China – 3.94%

      

Alibaba Group Holding Ltd. - ADR(1)

      356,056        104,673,343  

Baidu, Inc. - ADR(1)

      168,126        21,283,070  

BeiGene Ltd. - ADR(1)

      1,709        489,526  

Lenovo Group Ltd.

      24,816,000        16,407,420  

Li Ning Co. Ltd.

      5,589,500        26,300,270  

Meituan Dianping - Class B(1)

      1,715,200        54,031,037  

Microport Scientific Corp.

      31,000        123,963  

Ping An Insurance Group Co. of China Ltd. - Class H

      2,728,500        28,324,144  

Shanghai Fosun Pharmaceutical Group Co. Ltd. - Class H

      17,517,500        73,333,706  

Tencent Holdings Ltd.

      1,076,956        72,741,259  

Trip.com Group Ltd. - ADR(1)

      609,965        18,994,310  

Tsingtao Brewery Co. Ltd. - Class H

      5,671,000        46,405,328  

Yangzijiang Shipbuilding Holdings Ltd.

      113,800        83,129  
     

 

 

  

Total China

 

      463,190,505  
     

 

 

  

Denmark – 1.35%

      

Ambu - Class B

      6,811        191,794  

AP Moller - Maersk - Class A

      146        213,713  

AP Moller - Maersk - Class B

      31,342        49,547,986  

Carlsberg - Class B

      4,634        624,303  

Chr Hansen Holding

      4,608        511,516  

Coloplast - Class B

      5,196        823,509  

Danske Bank

      707,456        9,569,124  

Demant(1)

      4,491        140,843  

DSV Panalpina

      536,681        87,051,365  

Genmab(1)

      2,829        1,026,660  

GN Store Nord

      5,457        411,113  

H Lundbeck

      2,828        93,144  

Novo Nordisk - Class B

      74,757        5,179,508  

Novozymes - Class B

      9,386        589,932  

Orsted(2)

      8,042        1,108,674  

Pandora

      4,466        322,167  

Tryg

      4,769        150,140  

Vestas Wind Systems

      8,646        1,397,250  
     

 

 

  

Total Denmark

 

      158,952,741  
     

 

 

  

Finland – 1.15%

      

Elisa OYJ

      6,107        359,038  

Fortum OYJ

      19,344        391,100  

Kone OYJ - Class B

      536,998        47,150,308  

Neste OYJ

      18,418        969,887  

Nokia OYJ

      21,055,018        82,406,360  

Nordea Bank Abp

      133,407        1,013,724  

Orion OYJ - Class B

      4,826        218,650  

Sampo OYJ - Class A

      19,395        768,098  

Stora Enso OYJ - Class R

      23,922        374,429  

UPM-Kymmene OYJ

      21,977        668,912  

Wartsila OYJ Abp

      19,105        150,034  
     

 

 

  

Total Finland

 

      134,470,540  
     

 

 

  

France – 8.36%

      

Accor SA(1)

      7,975        223,221  

Aeroports de Paris

      1,256        124,601  

Air Liquide SA

      20,566        3,259,911  

Airbus SE

      25,533        1,851,797  

Alstom SA(1)

      8,488        424,001  

Amundi SA(2)

      287,159        20,240,304  

Arkema SA

      2,813        298,246  

Atos SE(1)

      4,034        324,157  

AXA SA

      79,286        1,467,423  

BioMerieux

      1,723        269,702  

BNP Paribas SA

      46,229        1,672,313  

Bollore SA

      39,067        145,517  

Bouygues SA

      308,296        10,653,582  

Bureau Veritas SA

      12,797        288,461  

Capgemini SE

      6,624        849,829  

Carrefour SA

      24,930        398,359  

Cie de Saint-Gobain

      2,343,250        98,152,135  

Cie Generale des Etablissements Michelin SCA

      281,304        30,197,303  

CNP Assurances

      6,542        82,045  

Covivio

      2,163        151,884  

Credit Agricole SA(1)

      47,511        414,528  

Danone SA

      26,266        1,701,382  

Dassault Aviation SA(1)

      115        97,008  

Dassault Systemes

      5,725        1,068,183  

Edenred

      10,357        464,990  

Eiffage SA(1)

      3,430        279,939  

Electricite de France SA

      25,109        265,238  

Engie SA(1)

      75,206        1,005,017  

EssilorLuxottica SA(1)

      93,238        12,693,088  

EssilorLuxottica SA(1)

      172,788        23,630,759  

Eurazeo SE(1)

      1,711        92,634  

Faurecia SE(1)

      3,173        136,770  

Gecina SA

      1,860        245,196  

Getlink SE(1)

      18,735        253,790  

Hermes International

      1,366        1,176,472  

ICADE

      1,320        73,960  

Iliad SA

      610        111,895  

Ingenico Group SA

      2,673        414,135  

Ipsen SA

      1,731        180,948  

JCDecaux SA(1)

      3,769        65,159  

Kering SA

      54,477        36,136,923  

Klepierre SA

      7,744        108,400  

La Francaise des Jeux SAEM(2)

      3,945        144,728  

Legrand SA

      203,975        16,246,470  

L’Oreal SA

      10,917        3,552,710  

LVMH Moet Hennessy Louis Vuitton SE

      214,233        100,239,777  

Natixis SA(1)

      36,791        82,680  

Orange SA

      5,781,688        60,219,513  

Orpea(1)

      2,177        247,344  

Pernod Ricard SA

      233,805        37,276,925  

Peugeot SA

      24,641        446,851  

Publicis Groupe SA

      517,472        16,678,106  

Remy Cointreau SA

      266,425        48,631,060  

Renault SA

      8,203        212,793  

Rexel SA

      3,459,225        43,371,883  

Safran SA(1)

      13,929        1,370,434  

Sanofi SA

      2,043,310        204,763,858  

Sartorius Stedim Biotech

      219,402        75,729,441  

Schneider Electric SE

      130,846        16,264,018  

SCOR SE(1)

      201,109        5,599,267  

SEB SA

      887        144,289  

Societe Generale SA

      33,373        442,991  

Sodexo SA

      3,621        258,119  

Suez SA

      13,964        258,013  

Teleperformance

      2,541        783,396  

Thales SA

      4,387        328,796  

TOTAL SA

      1,666,550        57,233,593  

Ubisoft Entertainment SA(1)

      400,372        36,084,743  

Unibail-Rodamco-Westfield

      5,698        210,141  

Valeo SA

      9,283        285,064  

Veolia Environnement SA

      22,190        478,773  

Vinci SA

      21,279        1,778,000  

Vivendi SA

      36,232        1,011,919  

Wendel SA

      1,202        109,035  

Worldline SA(1)(2)

      6,096        499,160  
     

 

 

  

Total France

 

      982,675,095  
     

 

 

  

Germany – 6.60%

      

Adidas AG(1)

      146,192        47,211,570  

Allianz SE

      346,157        66,437,852  

BASF SE

      544,747        33,172,953  

Bayer AG

      880,248        54,305,786  

Bayerische Motoren Werke AG

      13,633        989,444  

Bechtle AG

      341,773        69,155,539  

Beiersdorf AG

      4,289        486,962  

Brenntag AG

      6,362        404,508  

Carl Zeiss Meditec AG

      1,847        233,277  

Commerzbank AG

      11,136,026        54,764,074  

Continental AG

      878,733        95,226,821  

Covestro AG(2)

      688,906        34,162,885  

Daimler AG - Class REGISTERED

      35,370        1,908,039  

Delivery Hero SE(1)(2)

      5,489        629,804  

Deutsche Bank AG(1)

      82,694        697,062  

Deutsche Boerse AG

      8,259        1,447,971  

Deutsche Lufthansa AG(1)

      12,283        106,393  

Deutsche Post AG

      40,731        1,848,192  

Deutsche Telekom AG

      394,575        6,569,692  

Deutsche Wohnen SE

      14,483        723,850  

E.ON SE

      5,525,268        60,901,807  

Evonik Industries AG

      8,454        218,696  

Fraport AG Frankfurt Airport Services Worldwide(1)

      1,671        65,790  

Fresenius Medical Care AG & Co. KGaA

      861,023        72,788,080  

Fresenius SE & Co. KGaA

      17,213        782,750  

GEA Group AG

      6,282        220,110  

Hannover Rueck SE

      2,483        384,395  

HeidelbergCement AG

      6,127        374,396  

Henkel AG & Co. KGaA

      4,279        400,207  

HOCHTIEF AG

      1,076        83,529  

Infineon Technologies AG

      54,088        1,524,513  

KION Group AG

      2,708        231,234  

Knorr-Bremse AG

      3,148        370,713  

LANXESS AG

      3,504        200,486  

LEG Immobilien AG

      3,050        434,744  

Merck KGaA

      5,609        817,749  

METRO AG

      7,818        77,858  

MTU Aero Engines AG

      2,186        362,375  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

      5,767        1,466,072  

Nemetschek SE

      327,445        23,933,377  

Puma SE

      3,490        313,734  

Rational AG

      23,154        18,101,221  

RWE AG

      26,393        988,401  

SAP SE

      45,392        7,068,361  

Scout24 AG(2)

      4,748        414,154  

Siemens AG

      151,755        19,165,003  

Siemens Energy AG(1)

      75,877        2,046,126  

Siemens Healthineers AG(2)

      11,660        523,399  

Symrise AG - Class A

      5,560        767,961  

TeamViewer AG(1)(2)

      5,507        271,605  

Telefonica Deutschland Holding AG

      46,944        119,977  

ThyssenKrupp AG(1)

      18,573        93,454  

Uniper SE

      8,201        264,721  

United Internet AG - Class REG

      4,345        166,165  

Volkswagen AG

      11,174        1,953,038  

Vonovia SE

      21,172        1,451,404  

Zalando SE(1)(2)

      911,789        85,188,360  
     

 

 

  

Total Germany

 

      775,018,639  
     

 

 

  

Hong Kong – 4.67%

      

AIA Group Ltd.

      12,222,884        121,496,659  

ASM Pacific Technology Ltd.

      13,300        136,154  

Bank of East Asia Ltd.

      53,600        98,949  

BOC Hong Kong Holdings Ltd.

      152,500        404,275  

Budweiser Brewing Co. APAC Ltd.(2)

      71,900        210,296  

China Mobile Ltd.

      19,624,000        125,972,065  

China Resources Power Holdings Co. Ltd.

      17,028,000        18,885,908  

CK Asset Holdings Ltd.

      106,500        523,313  

CK Hutchison Holdings Ltd.

      18,119,000        109,796,693  

CK Infrastructure Holdings Ltd.

      29,000        136,091  

CLP Holdings Ltd.

      67,500        630,265  

Dairy Farm International Holdings Ltd.

      14,100        53,292  

Galaxy Entertainment Group Ltd.

      1,195,000        8,079,036  

Hang Lung Properties Ltd.

      85,000        216,628  

Hang Seng Bank Ltd.

      31,500        466,666  

Henderson Land Development Co. Ltd.

      60,758        225,602  

HK Electric Investments & HK Electric Investments Ltd.

      117,500        121,480  

HKT Trust & HKT Ltd. - Class Miscella

      152,000        201,751  

Hong Kong & China Gas Co. Ltd.

      463,791        673,442  

Hong Kong Exchanges & Clearing Ltd.

      52,099        2,452,482  

Hongkong Land Holdings Ltd.

      50,300        187,400  

Jardine Matheson Holdings Ltd.

      62,900        2,500,375  

Jardine Strategic Holdings Ltd.

      994,000        19,707,866  

Kerry Properties Ltd.

      23,500        60,438  

Link Real Estate Investment Trust

      89,800        735,856  

Melco Resorts & Entertainment Ltd. - ADR

      8,413        140,076  

MTR Corp. Ltd.

      63,500        315,145  

New World Development Co. Ltd.

      62,853        306,830  

Pacific Century Premium Developments Ltd.(1)

      17,712        4,671  

PCCW Ltd.

      164,000        98,109  

Power Assets Holdings Ltd.

      57,000        300,433  

Sino Land Co. Ltd.

      136,490        159,790  

SJM Holdings Ltd.

      73,000        86,539  

Sun Hung Kai Properties Ltd.

      53,500        689,429  

Swire Pacific Ltd. - Class A

      4,729,000        22,895,357  

Swire Properties Ltd.

      51,800        137,248  

Techtronic Industries Co. Ltd.

      3,580,000        47,598,631  

WH Group Ltd.(2)

      75,083,000        61,245,728  

Wharf Real Estate Investment Co. Ltd.

      68,000        278,736  
     

 

 

  

Total Hong Kong

 

      548,229,704  
     

 

 

  

India – 1.41%

      

Asian Paints Ltd.

      1,858,840        49,964,533  

HDFC Bank Ltd. - ADR(1)

      835,422        41,737,683  

Housing Development Finance Corp. Ltd.

      1,578,250        37,257,217  

ICICI Lombard General Insurance Co. Ltd.(2)

      925,084        16,172,829  

MakeMyTrip Ltd.(1)

      410,600        6,306,816  

United Spirits Ltd.(1)

      1,943,978        13,597,205  
     

 

 

  

Total India

 

      165,036,283  
     

 

 

  

Ireland – 2.01%

      

Accenture Plc - Class A

      312,044        70,518,824  

AerCap Holdings NV(1)

      5,046        127,109  

CRH Plc

      32,333        1,172,438  

DCC Plc

      4,052        313,676  

Experian Plc

      1,931,965        72,592,383  

Flutter Entertainment Plc

      3,101        488,474  

Flutter Entertainment Plc

      3,401        539,767  

ICON Plc(1)

      154,923        29,604,236  

James Hardie Industries Plc

      19,535        468,289  

Kerry Group Plc - Class A

      6,906        884,560  

Kingspan Group Plc

      644,294        58,634,816  

Smurfit Kappa Group Plc

      9,292        364,599  
     

 

 

  

Total Ireland

 

      235,709,171  
     

 

 

  

Isle of Man – 0.00%(3)

      

GVC Holdings Plc

      24,513        307,007  
     

 

 

  

Total Isle of Man

 

      307,007  
     

 

 

  

Israel – 0.03%

      

Azrieli Group Ltd.

      1,610        71,879  

Bank Hapoalim BM

      47,993        256,425  

Bank Leumi Le-Israel BM

      60,380        265,815  

Check Point Software Technologies Ltd.(1)

      5,002        601,941  

CyberArk Software Ltd.(1)

      1,739        179,847  

Elbit Systems Ltd.

      1,178        142,993  

ICL Group Ltd.

      31,328        110,699  

Israel Discount Bank Ltd. - Class A

      52,528        141,705  

Mizrahi Tefahot Bank Ltd.

      5,583        99,030  

Nice Ltd.(1)

      2,659        602,861  

Teva Pharmaceutical Industries Ltd. - ADR(1)

      44,653        402,324  

Wix.com Ltd.(1)

      2,245        572,138  
     

 

 

  

Total Israel

 

      3,447,657  
     

 

 

  

Italy – 2.03%

      

Assicurazioni Generali SpA

      45,245        637,702  

Atlantia SpA(1)

      20,401        319,505  

Davide Campari-Milano NV

      24,920        271,988  

DiaSorin SpA

      1,030        207,228  

Enel SpA

      11,375,836        98,695,790  

ENI SpA

      11,307,017        88,376,447  

Ferrari NV

      201,263        36,935,576  

FinecoBank Banca Fineco SpA

      26,113        359,673  

Infrastrutture Wireless Italiane SpA(2)

      11,016        121,532  

Intesa Sanpaolo SpA

      679,284        1,278,018  

Leonardo SpA

      14,608        85,320  

Mediobanca Banca di Credito Finanziario SpA

      26,483        207,519  

Moncler SpA

      8,523        348,774  

Nexi SpA(1)(2)

      15,902        318,711  

Pirelli & C SpA(2)

      16,012        68,748  

Poste Italiane SpA(2)

      20,768        184,042  

Prysmian SpA

      9,687        281,191  

Recordati Industria Chimica e Farmaceutica SpA

      4,799        245,829  

Snam SpA

      83,871        431,330  

Telecom Italia SpA

      351,101        140,723  

Telecom Italia SpA Savings Share

      237,549        95,916  

Terna Rete Elettrica Nazionale SpA

      57,934        405,353  

UniCredit SpA

      951,983        7,865,498  
     

 

 

  

Total Italy

 

      237,882,413  
     

 

 

  

Japan – 19.07%

      

ABC-Mart, Inc.

      1,300        67,686  

Acom Co. Ltd.

      18,100        78,733  

Advantest Corp.

      8,400        408,581  

Aeon Co. Ltd.

      28,200        758,604  

Aeon Mall Co. Ltd.

      4,500        63,256  

AGC, Inc.

      8,000        235,116  

Air Water, Inc.

      8,100        109,550  

Aisin Seiki Co. Ltd.

      6,500        207,962  

Ajinomoto Co., Inc.

      20,565        421,480  

Alfresa Holdings Corp.

      8,300        181,793  

Amada Co. Ltd.

      12,200        114,128  

ANA Holdings, Inc.

      5,100        117,966  

Aozora Bank Ltd.

      4,400        73,060  

Asahi Group Holdings Ltd.

      18,700        651,744  

Asahi Intecc Co. Ltd.

      8,100        254,572  

Asahi Kasei Corp.

      51,700        451,012  

Astellas Pharma, Inc.

      4,260,300        63,506,575  

Bandai Namco Holdings, Inc.

      8,900        652,104  

Bank of Kyoto Ltd.

      2,000        96,700  

Benesse Holdings, Inc.

      2,800        72,069  

Bridgestone Corp.

      22,000        695,401  

Brother Industries Ltd.

      8,700        138,394  

Calbee, Inc.

      4,000        131,752  

Canon, Inc.

      41,200        683,366  

Casio Computer Co. Ltd.

      8,800        142,492  

Central Japan Railway Co.

      6,000        860,038  

Chiba Bank Ltd.

      21,700        119,735  

Chubu Electric Power Co., Inc.

      26,500        322,332  

Chugai Pharmaceutical Co. Ltd.

      28,800        1,292,414  

Chugoku Electric Power Co., Inc.

      11,100        138,781  

Coca-Cola Bottlers Japan Holdings, Inc.

      5,000        83,700  

Concordia Financial Group Ltd.

      46,900        163,126  

Cosmos Pharmaceutical Corp.

      900        156,843  

CyberAgent, Inc.

      4,600        284,057  

Dai Nippon Printing Co. Ltd.

      9,800        198,643  

Daicel Corp.

      11,000        79,283  

Daifuku Co. Ltd.

      4,300        434,031  

Dai-ichi Life Holdings, Inc.

      44,400        626,500  

Daiichi Sankyo Co. Ltd.

      74,100        2,274,704  

Daikin Industries Ltd.

      10,800        1,995,563  

Daito Trust Construction Co. Ltd.

      2,700        239,341  

Daiwa House Industry Co. Ltd.

      2,305,100        59,119,627  

Daiwa House REIT Investment Corp.

      77        196,479  

Daiwa Securities Group, Inc.

      58,700        246,887  

Denso Corp.

      1,221,400        53,536,095  

Dentsu Group, Inc.

      8,700        256,794  

Disco Corp.

      1,300        317,856  

East Japan Railway Co.

      724,500        44,555,825  

Eisai Co. Ltd.

      11,000        1,004,656  

Electric Power Development Co. Ltd.

      6,100        94,088  

ENEOS Holdings, Inc.

      4,452,650        15,886,464  

FANUC Corp.

      8,200        1,573,708  

Fast Retailing Co. Ltd.

      2,500        1,571,054  

Fuji Electric Co. Ltd.

      5,600        177,524  

FUJIFILM Holdings Corp.

      1,635,300        80,606,979  

Fujitsu Ltd.

      8,100        1,106,603  

Fukuoka Financial Group, Inc.

      358,300        6,022,280  

GLP J-REIT

      143        220,090  

GMO Payment Gateway, Inc.

      1,700        182,109  

Hakuhodo DY Holdings, Inc.

      9,800        126,727  

Hamamatsu Photonics KK

      5,800        293,112  

Hankyu Hanshin Holdings, Inc.

      9,410        302,523  

Hikari Tsushin, Inc.

      900        214,730  

Hino Motors Ltd.

      12,800        83,056  

Hirose Electric Co. Ltd.

      1,415        182,826  

Hisamitsu Pharmaceutical Co., Inc.

      2,200        112,474  

Hitachi Construction Machinery Co. Ltd.

      4,100        148,575  

Hitachi Ltd.

      40,900        1,384,852  

Hitachi Metals Ltd.

      2,340,100        36,084,553  

Honda Motor Co. Ltd.

      3,951,199        93,830,254  

Hoshizaki Corp.

      2,300        183,532  

Hoya Corp.

      16,400        1,851,828  

Hulic Co. Ltd.

      13,900        130,426  

Idemitsu Kosan Co. Ltd.

      7,565        161,519  

Iida Group Holdings Co. Ltd.

      766,100        15,505,606  

Inpex Corp.

      3,188,100        17,107,953  

Isetan Mitsukoshi Holdings Ltd.

      14,900        79,102  

Isuzu Motors Ltd.

      2,188,200        19,137,497  

Ito En Ltd.

      2,200        156,900  

ITOCHU Corp.

      56,800        1,454,412  

Itochu Techno-Solutions Corp.

      4,000        151,742  

Japan Airlines Co. Ltd.

      4,500        83,933  

Japan Airport Terminal Co. Ltd.

      2,200        97,465  

Japan Exchange Group, Inc.

      21,300        597,002  

Japan Post Bank Co. Ltd.

      17,100        133,377  

Japan Post Holdings Co. Ltd.

      64,900        442,557  

Japan Post Insurance Co. Ltd.

      8,800        138,559  

Japan Prime Realty Investment Corp.

      34        105,489  

Japan Real Estate Investment Corp.

      53        270,965  

Japan Retail Fund Investment Corp.

      116        179,454  

Japan Tobacco, Inc.

      2,563,600        46,769,776  

JFE Holdings, Inc.

      19,000        133,034  

JGC Holdings Corp.

      9,800        101,647  

JSR Corp.

      9,000        213,913  

JTEKT Corp.

      8,400        65,888  

Kajima Corp.

      18,000        216,868  

Kakaku.com, Inc.

      1,068,500        28,169,832  

Kamigumi Co. Ltd.

      4,000        78,821  

Kansai Electric Power Co., Inc.

      29,000        281,065  

Kansai Paint Co. Ltd.

      7,500        186,412  

Kao Corp.

      364,900        27,393,322  

Kawasaki Heavy Industries Ltd.

      4,975        67,208  

KDDI Corp.

      66,400        1,670,063  

Keihan Holdings Co. Ltd.

      4,400        182,695  

Keikyu Corp.

      10,100        155,457  

Keio Corp.

      4,300        266,195  

Keisei Electric Railway Co. Ltd.

      5,900        166,640  

Keyence Corp.

      221,208        103,410,162  

Kikkoman Corp.

      6,200        343,938  

Kintetsu Group Holdings Co. Ltd.

      7,600        324,340  

Kirin Holdings Co. Ltd.

      35,800        672,417  

Kobayashi Pharmaceutical Co. Ltd.

      2,200        212,577  

Kobe Bussan Co. Ltd.

      2,800        154,199  

Koito Manufacturing Co. Ltd.

      4,000        204,103  

Komatsu Ltd.

      1,405,100        30,860,285  

Konami Holdings Corp.

      4,300        186,011  

Kose Corp.

      1,500        183,656  

Kubota Corp.

      44,400        795,525  

Kuraray Co. Ltd.

      14,400        139,717  

Kurita Water Industries Ltd.

      4,400        145,502  

Kyocera Corp.

      1,423,800        81,521,902  

Kyowa Kirin Co. Ltd.

      11,100        315,871  

Kyushu Electric Power Co., Inc.

      15,800        143,355  

Kyushu Railway Co.

      5,800        124,007  

Lasertec Corp.

      3,300        271,256  

Lawson, Inc.

      2,300        109,670  

LINE Corp.(1)

      1,600        81,442  

Lion Corp.

      10,300        211,450  

LIXIL Group Corp.

      10,300        208,187  

M3, Inc.

      19,200        1,187,640  

Makita Corp.

      9,400        449,877  

Marubeni Corp.

      68,000        386,064  

Marui Group Co. Ltd.

      7,800        149,676  

Maruichi Steel Tube Ltd.

      2,000        50,071  

Mazda Motor Corp.

      22,100        129,633  

McDonald’s Holdings Co. Japan Ltd.

      3,050        148,346  

Mebuki Financial Group, Inc.

      35,840        81,328  

Medipal Holdings Corp.

      7,340        147,184  

MEIJI Holdings Co. Ltd.

      5,100        389,567  

Mercari, Inc.(1)

      3,900        180,232  

Minebea Mitsumi, Inc.

      15,400        293,343  

MISUMI Group, Inc.

      12,100        339,247  

Mitsubishi Chemical Holdings Corp.

      52,750        304,493  

Mitsubishi Corp.

      57,200        1,369,103  

Mitsubishi Electric Corp.

      6,047,500        82,059,784  

Mitsubishi Estate Co. Ltd.

      49,900        755,866  

Mitsubishi Gas Chemical Co., Inc.

      7,200        133,945  

Mitsubishi Heavy Industries Ltd.

      13,240        293,143  

Mitsubishi Materials Corp.

      4,600        90,651  

Mitsubishi Motors Corp.

      29,700        65,581  

Mitsubishi UFJ Financial Group, Inc.

      502,400        2,005,017  

Mitsubishi UFJ Lease & Finance Co. Ltd.

      18,300        85,028  

Mitsui & Co. Ltd.

      807,400        13,873,409  

Mitsui Chemicals, Inc.

      7,100        171,605  

Mitsui Fudosan Co. Ltd.

      40,400        703,028  

Miura Co. Ltd.

      4,000        196,196  

Mizuho Financial Group, Inc.

      98,890        1,234,313  

Monotaro Co. Ltd.

      5,100        253,322  

MS&AD Insurance Group Holdings, Inc.

      174,340        4,697,280  

Murata Manufacturing Co. Ltd.

      1,688,600        109,804,880  

Nabtesco Corp.

      5,200        188,793  

Nagoya Railroad Co. Ltd.

      8,500        233,021  

NEC Corp.

      11,000        643,432  

Nexon Co. Ltd.

      21,400        533,797  

NGK Insulators Ltd.

      10,100        144,212  

NGK Spark Plug Co. Ltd.

      6,900        120,476  

NH Foods Ltd.

      3,400        151,976  

Nidec Corp.

      554,700        52,018,625  

Nihon M&A Center, Inc.

      6,300        360,419  

Nikon Corp.

      13,300        89,744  

Nintendo Co. Ltd.

      4,900        2,776,787  

Nippon Building Fund, Inc.

      52        294,319  

Nippon Express Co. Ltd.

      2,800        163,389  

Nippon Paint Holdings Co. Ltd.

      6,100        627,973  

Nippon Prologis Real Estate Investment Trust, Inc.

      89        300,132  

Nippon Shinyaku Co. Ltd.

      1,900        156,434  

Nippon Steel Corp.(1)

      33,300        314,367  

Nippon Telegraph & Telephone Corp.

      2,826,000        57,697,533  

Nippon Yusen KK

      6,100        105,841  

Nissan Chemical Corp.

      5,500        293,205  

Nissan Motor Co. Ltd.

      95,600        338,099  

Nisshin Seifun Group, Inc.

      8,500        134,905  

Nissin Foods Holdings Co. Ltd.

      2,900        272,449  

Nitori Holdings Co. Ltd.

      3,400        705,336  

Nitto Denko Corp.

      6,500        423,467  

Nomura Holdings, Inc.

      129,500        591,806  

Nomura Real Estate Holdings, Inc.

      5,100        97,059  

Nomura Real Estate Master Fund, Inc.

      177        221,740  

Nomura Research Institute Ltd.

      14,114        415,580  

NSK Ltd.

      15,900        121,704  

NTT Data Corp.

      27,000        345,528  

NTT DOCOMO, Inc.

      46,500        1,708,695  

Obayashi Corp.

      26,400        241,013  

Obic Co. Ltd.

      3,100        545,174  

Odakyu Electric Railway Co. Ltd.

      12,400        311,709  

Oji Holdings Corp.

      33,600        154,394  

Olympus Corp.

      2,831,200        58,876,910  

Omron Corp.

      7,900        617,670  

Ono Pharmaceutical Co. Ltd.

      16,400        515,843  

Oracle Corp.

      1,600        172,763  

Oriental Land Co. Ltd.

      8,600        1,206,109  

ORIX Corp.

      54,500        680,720  

Orix JREIT, Inc.

      107        164,632  

Osaka Gas Co. Ltd.

      15,400        299,824  

Otsuka Corp.

      4,300        219,736  

Otsuka Holdings Co. Ltd.

      16,130        683,353  

Pan Pacific International Holdings Corp.

      17,500        407,545  

Panasonic Corp.

      12,120,700        103,245,062  

Park24 Co. Ltd.

      4,700        76,308  

PeptiDream, Inc.(1)

      4,300        201,794  

Persol Holdings Co. Ltd.

      7,200        117,606  

Pigeon Corp.

      574,300        25,660,456  

Pola Orbis Holdings, Inc.

      4,000        75,421  

Rakuten, Inc.

      37,000        398,970  

Recruit Holdings Co. Ltd.

      55,300        2,196,259  

Renesas Electronics Corp.(1)

      32,200        236,336  

Resona Holdings, Inc.

      2,430,900        8,281,664  

Ricoh Co. Ltd.

      26,900        181,581  

Rinnai Corp.

      1,500        146,312  

Rohm Co. Ltd.

      585,500        45,265,021  

Ryohin Keikaku Co. Ltd.

      9,000        149,548  

Santen Pharmaceutical Co. Ltd.

      15,200        310,777  

SBI Holdings, Inc.

      9,325        241,628  

SCSK Corp.

      2,400        134,278  

Secom Co. Ltd.

      8,800        805,337  

Sega Sammy Holdings, Inc.

      7,100        86,535  

Seibu Holdings, Inc.

      9,900        106,605  

Seiko Epson Corp.

      11,500        132,253  

Sekisui Chemical Co. Ltd.

      14,500        231,931  

Sekisui House Ltd.

      25,600        453,651  

Seven & i Holdings Co. Ltd.

      31,000        963,173  

Seven Bank Ltd.

      26,100        63,255  

SG Holdings Co. Ltd.

      7,300        379,846  

Sharp Corp.

      8,605        107,040  

Shimadzu Corp.

      9,300        283,058  

Shimamura Co. Ltd.

      1,000        97,144  

Shimano, Inc.

      199,400        39,360,596  

Shimizu Corp.

      21,800        164,114  

Shin-Etsu Chemical Co. Ltd.

      15,395        2,014,502  

Shinsei Bank Ltd.

      6,900        85,196  

Shionogi & Co. Ltd.

      11,700        626,234  

Shiseido Co. Ltd.

      754,300        43,666,409  

Shizuoka Bank Ltd.

      18,800        129,836  

Showa Denko KK

      5,400        99,116  

SMC Corp.

      98,900        55,170,052  

SoftBank Corp.

      118,000        1,318,572  

SoftBank Group Corp.

      599,300        37,081,439  

Sohgo Security Services Co. Ltd.

      3,300        157,199  

Sompo Holdings, Inc.

      14,100        486,776  

Sony Corp.

      1,797,300        137,748,729  

Square Enix Holdings Co. Ltd.

      4,200        277,962  

Stanley Electric Co. Ltd.

      5,800        167,151  

Subaru Corp.

      25,180        488,816  

Sugi Holdings Co. Ltd.

      258,200        18,255,729  

Sumco Corp.

      12,100        170,720  

Sumitomo Chemical Co. Ltd.

      59,000        195,289  

Sumitomo Corp.

      48,900        589,465  

Sumitomo Dainippon Pharma Co. Ltd.

      7,900        104,101  

Sumitomo Electric Industries Ltd.

      4,270,800        48,077,781  

Sumitomo Heavy Industries Ltd.

      4,900        114,003  

Sumitomo Metal Mining Co. Ltd.

      9,500        294,636  

Sumitomo Mitsui Financial Group, Inc.

      2,327,300        65,073,185  

Sumitomo Mitsui Trust Holdings, Inc.

      1,704,000        45,332,865  

Sumitomo Realty & Development Co. Ltd.

      12,700        375,960  

Sumitomo Rubber Industries Ltd.

      7,700        71,526  

Sundrug Co. Ltd.

      3,300        124,393  

Suntory Beverage & Food Ltd.

      6,310        236,962  

Suzuken Co. Ltd.

      2,855        108,901  

Suzuki Motor Corp.

      1,046,500        44,829,824  

Sysmex Corp.

      583,300        55,811,303  

T&D Holdings, Inc.

      688,700        6,789,431  

Taiheiyo Cement Corp.

      4,900        125,114  

Taisei Corp.

      7,800        264,007  

Taisho Pharmaceutical Holdings Co. Ltd.

      1,360        89,565  

Taiyo Nippon Sanso Corp.

      7,000        107,633  

Takeda Pharmaceutical Co. Ltd.

      2,355,700        84,199,636  

TDK Corp.

      5,300        578,722  

Teijin Ltd.

      7,000        108,559  

Terumo Corp.

      27,800        1,106,849  

THK Co. Ltd.

      5,500        138,411  

TIS, Inc.

      9,100        193,284  

Tobu Railway Co. Ltd.

      8,330        257,412  

Toho Co. Ltd.

      5,100        210,266  

Toho Gas Co. Ltd.

      3,300        163,287  

Tohoku Electric Power Co., Inc.

      16,600        166,367  

Tokio Marine Holdings, Inc.

      1,532,200        67,040,756  

Tokyo Century Corp.

      1,700        92,660  

Tokyo Electric Power Co. Holdings, Inc.(1)

      57,400        157,860  

Tokyo Electron Ltd.

      6,500        1,698,156  

Tokyo Gas Co. Ltd.

      15,500        353,718  

Tokyu Corp.

      22,000        285,524  

Tokyu Fudosan Holdings Corp.

      25,800        111,448  

Toppan Printing Co. Ltd.

      10,300        145,590  

Toray Industries, Inc.

      56,900        260,318  

Toshiba Corp.

      16,400        418,357  

Tosoh Corp.

      11,500        186,714  

TOTO Ltd.

      6,300        290,300  

Toyo Suisan Kaisha Ltd.

      3,350        176,901  

Toyoda Gosei Co. Ltd.

      2,900        66,587  

Toyota Industries Corp.

      6,000        379,931  

Toyota Motor Corp.

      87,194        5,787,067  

Toyota Tsusho Corp.

      8,535        240,058  

Trend Micro, Inc.

      5,500        335,163  

Tsuruha Holdings, Inc.

      1,500        212,651  

Unicharm Corp.

      17,400        778,186  

United Urban Investment Corp.

      123        136,869  

USS Co. Ltd.

      9,800        175,355  

Welcia Holdings Co. Ltd.

      4,000        175,820  

West Japan Railway Co.

      6,700        331,036  

Yakult Honsha Co. Ltd.

      5,100        283,178  

Yamada Denki Co. Ltd.

      31,640        157,786  

Yamaha Corp.

      5,900        282,969  

Yamaha Motor Co. Ltd.

      10,900        158,384  

Yamato Holdings Co. Ltd.

      12,900        339,818  

Yamazaki Baking Co. Ltd.

      5,700        99,357  

Yaskawa Electric Corp.

      10,200        399,056  

Yokogawa Electric Corp.

      10,100        160,404  

Yokohama Rubber Co. Ltd.

      5,300        75,448  

Z Holdings Corp.

      112,700        752,771  

ZOZO, Inc.

      4,400        122,780  
     

 

 

  

Total Japan

 

      2,240,052,513  
     

 

 

  

Jordan – 0.00%(3)

      

Hikma Pharmaceuticals Plc

      7,504        251,514  
     

 

 

  

Total Jordan

 

      251,514  
     

 

 

  

Luxembourg – 0.11%

      

ArcelorMittal SA(1)

      939,474        12,498,129  

Aroundtown SA

      43,364        217,681  

Eurofins Scientific SE(1)

      583        461,833  

SES SA - Class A

      16,495        116,775  

Tenaris SA

      20,002        99,651  
     

 

 

  

Total Luxembourg

 

      13,394,069  
     

 

 

  

Macau – 0.00%(3)

      

Sands China Ltd.

      100,000        387,621  

Wynn Macau Ltd.(1)

      69,200        111,053  
     

 

 

  

Total Macau

 

      498,674  
     

 

 

  

Mexico – 0.11%

      

Wal-Mart de Mexico SAB de CV

      5,459,200        13,063,169  
     

 

 

  

Total Mexico

 

      13,063,169  
     

 

 

  

Netherlands – 3.63%

      

ABN AMRO Bank NV(1)(2)

      18,726        156,540  

Adyen NV(1)(2)

      22,977        42,380,714  

Aegon NV

      72,260        187,031  

Akzo Nobel NV

      8,677        876,989  

Altice Europe NV(1)

      28,587        136,106  

Argenx SE(1)

      1,903        502,709  

ASML Holding NV

      198,416        73,289,535  

ASML Holding NV - Class REG

      162,730        60,091,307  

EXOR NV

      4,361        236,727  

Heineken Holding NV

      5,119        398,914  

Heineken NV

      11,153        992,916  

ING Groep NV

      13,996,428        99,890,664  

Just Eat Takeaway(1)(2)

      5,487        614,252  

Koninklijke Ahold Delhaize NV

      45,122        1,333,713  

Koninklijke DSM NV

      7,383        1,215,475  

Koninklijke KPN NV

      4,654,819        10,921,688  

Koninklijke Philips NV

      39,770        1,877,905  

Koninklijke Vopak NV

      3,227        181,627  

NN Group NV

      12,024        450,705  

PostNL NV(1)

      13,601,457        41,293,107  

Prosus NV(1)

      287,176        26,507,125  

QIAGEN NV(1)

      9,740        505,891  

Randstad NV

      4,788        249,673  

Royal Dutch Shell Plc - Class A

      169,160        2,111,682  

Royal Dutch Shell Plc - Class A

      279,273        3,521,401  

Royal Dutch Shell Plc - Class B

      4,584,428        55,595,603  

Wolters Kluwer NV

      11,868        1,012,370  
     

 

 

  

Total Netherlands

 

      426,532,369  
     

 

 

  

New Zealand – 0.35%

      

a2 Milk Co. Ltd.(1)

      31,923        324,896  

Auckland International Airport Ltd.

      51,977        252,291  

Fisher & Paykel Healthcare Corp. Ltd.

      25,596        564,917  

Mercury NZ Ltd.

      30,155        102,038  

Meridian Energy Ltd.

      49,444        162,615  

Ryman Healthcare Ltd.

      15,136        142,202  

Spark New Zealand Ltd.

      81,327        253,765  

Xero Ltd.(1)

      535,057        39,029,779  
     

 

 

  

Total New Zealand

 

      40,832,503  
     

 

 

  

Norway – 0.03%

      

Adevinta ASA - Class B(1)

      10,408        178,914  

DNB ASA

      39,042        543,879  

Equinor ASA

      41,241        584,289  

Gjensidige Forsikring ASA

      8,028        162,926  

Mowi ASA

      19,168        341,035  

Norsk Hydro ASA

      51,592        142,406  

Orkla ASA

      34,046        343,608  

Schibsted ASA - Class B

      4,503        179,398  

Telenor ASA

      29,697        498,576  

Yara International ASA

      7,229        278,170  
     

 

 

  

Total Norway

 

      3,253,201  
     

 

 

  

Peru – 0.40%

      

Credicorp Ltd.

      376,800        46,719,432  
     

 

 

  

Total Peru

 

      46,719,432  
     

 

 

  

Portugal – 0.27%

      

EDP - Energias de Portugal SA

      115,068        565,782  

Galp Energia SGPS SA

      20,416        189,368  

Jeronimo Martins SGPS SA

      1,947,326        31,313,731  
     

 

 

  

Total Portugal

 

      32,068,881  
     

 

 

  

Singapore – 1.87%

      

Ascendas Real Estate Investment Trust

      134,500        321,849  

CapitaLand Commercial Trust

      104,651        126,894  

CapitaLand Ltd.

      110,900        221,729  

CapitaLand Mall Trust

      107,300        152,715  

City Developments Ltd.

      16,600        93,449  

DBS Group Holdings Ltd.

      1,134,200        16,674,276  

Genting Singapore Ltd.

      261,600        129,131  

Jardine Cycle & Carriage Ltd.

      4,400        58,404  

Keppel Corp. Ltd.

      60,500        198,179  

Mapletree Commercial Trust

      83,100        119,379  

Mapletree Logistics Trust

      122,100        183,915  

Oversea-Chinese Banking Corp. Ltd.

      136,200        846,992  

Singapore Airlines Ltd.

      52,300        133,840  

Singapore Exchange Ltd.

      33,100        223,249  

Singapore Technologies Engineering Ltd.

      65,300        166,405  

Singapore Telecommunications Ltd.

      46,398,900        72,617,635  

Suntec Real Estate Investment Trust

      84,700        90,816  

United Overseas Bank Ltd.

      7,200,906        101,440,559  

UOL Group Ltd.

      20,600        101,222  

Venture Corp. Ltd.

      12,600        178,908  

Wilmar International Ltd.

      7,996,600        25,963,734  
     

 

 

  

Total Singapore

 

      220,043,280  
     

 

 

  

South Africa – 0.40%

      

Naspers Ltd. - Class N(1)

      268,422        47,409,742  
     

 

 

  

Total South Africa

 

      47,409,742  
     

 

 

  

South Korea – 1.97%

      

NAVER Corp.

      112,113        28,490,286  

POSCO

      146,708        24,560,941  

Samsung Electronics Co. Ltd.

      1,815,900        90,148,834  

Samsung SDI Co. Ltd.

      216,958        80,148,284  

Shinhan Financial Group Ltd.

      324,030        7,601,931  
     

 

 

  

Total South Korea

 

      230,950,276  
     

 

 

  

Spain – 1.77%

      

ACS Actividades de Construccion y Servicios SA

      11,091        250,708  

Aena SME SA(2)

      2,779        386,916  

Amadeus IT Group SA

      505,383        28,066,970  

Banco Bilbao Vizcaya Argentaria SA

      274,554        762,145  

Banco Santander SA

      24,164,749        45,073,371  

Bankia SA

      7,552,230        10,996,525  

Bankinter SA

      27,970        120,410  

CaixaBank SA

      147,773        313,705  

Cellnex Telecom SA(2)

      13,660        829,199  

Enagas SA

      8,839        203,944  

Endesa SA

      13,078        349,810  

Ferrovial SA

      20,941        508,666  

Grifols SA

      12,499        359,410  

Iberdrola SA

      243,767        3,000,428  

Industria de Diseno Textil SA

      1,494,298        41,338,841  

Mapfre SA

      46,426        72,836  

Naturgy Energy Group SA

      1,401,789        28,112,424  

Red Electrica Corp. SA

      17,823        334,277  

Repsol SA

      61,258        413,836  

Siemens Gamesa Renewable Energy SA

      10,690        289,294  

Telefonica SA

      13,553,993        46,430,159  
     

 

 

  

Total Spain

 

      208,213,874  
     

 

 

  

Sweden – 3.08%

      

Alfa Laval AB

      12,912        285,026  

Assa Abloy AB - Class B

      43,872        1,025,733  

Atlas Copco AB - Class A

      2,254,731        107,502,859  

Atlas Copco AB - Class B

      16,887        704,761  

Boliden AB

      11,117        329,848  

Electrolux AB

      10,352        241,314  

Epiroc AB - Class A

      2,076,494        30,080,608  

Epiroc AB - Class B

      16,060        222,924  

EQT AB

      9,631        186,885  

Essity AB - Class B

      26,524        895,484  

Evolution Gaming Group AB(2)

      5,593        369,547  

Hennes & Mauritz AB - Class B

      34,628        596,570  

Hexagon AB - Class B

      12,234        924,071  

Husqvarna AB - Class B

      17,324        190,498  

ICA Gruppen AB

      4,534        230,335  

Industrivarden AB - Class C

      6,082        161,743  

Investment AB Latour - Class B

      6,795        159,641  

Investor AB - Class B

      512,825        33,497,607  

Kinnevik AB - Class B

      10,235        415,422  

L E Lundbergforetagen AB - Class B

      3,365        166,262  

Lundin Energy AB

      7,633        151,369  

Nibe Industrier AB - Class B

      1,768,761        45,459,069  

Sandvik AB

      46,279        905,001  

Securitas AB - Class B

      12,182        186,225  

Skandinaviska Enskilda Banken AB - Class A

      67,014        595,190  

Skanska AB - Class B

      14,894        314,541  

SKF AB - Class B

      15,674        323,363  

Spotify Technology SA(1)

      190,781        46,277,747  

Svenska Cellulosa AB SCA - Class B(1)

      26,629        365,069  

Svenska Handelsbanken AB - Class A

      64,062        535,992  

Swedbank AB

      37,289        583,782  

Swedish Match AB

      7,264        593,954  

Tele2 AB - Class B

      21,247        299,560  

Telefonaktiebolaget LM Ericsson - Class B

      1,117,518        12,229,266  

Telia Co. AB

      18,114,370        74,108,353  

Volvo AB - Class B

      65,187        1,252,233  
     

 

 

  

Total Sweden

 

      362,367,852  
     

 

 

  

Switzerland – 6.87%

      

ABB Ltd.

      3,499,804        88,978,511  

Adecco Group AG

      1,131,892        59,724,673  

Alcon, Inc.(1)

      884,774        50,162,895  

Baloise Holding AG

      1,904        280,315  

Banque Cantonale Vaudoise

      1,358        137,812  

Barry Callebaut AG

      128        285,103  

Chocoladefabriken Lindt & Spruengli AG

      46        388,285  

Chocoladefabriken Lindt & Spruengli AG - REG

      5        445,487  

Cie Financiere Richemont SA

      542,913        36,452,737  

Clariant AG

      8,340        164,524  

Coca-Cola HBC AG

      8,326        205,593  

Credit Suisse Group AG

      957,783        9,561,263  

EMS-Chemie Holding AG

      371        333,331  

Geberit AG

      1,610        952,515  

Givaudan SA

      400        1,727,124  

Glencore Plc(1)

      411,477        853,064  

Julius Baer Group Ltd.

      9,943        422,303  

Kuehne & Nagel International AG

      2,248        436,502  

LafargeHolcim Ltd.(1)

      21,557        981,265  

Logitech International SA

      7,163        554,861  

Lonza Group AG

      96,287        59,422,131  

Nestle SA

      627,966        74,735,515  

Novartis AG

      2,103,821        182,662,830  

Partners Group Holding AG

      812        746,881  

Roche Holding AG

      380,229        130,243,853  

Schindler Holding AG

      826        224,175  

Schindler Holding AG Participation Certificate

      1,808        493,548  

SGS SA

      261        699,438  

Sika AG

      238,598        58,588,169  

Sonova Holding AG(1)

      2,461        623,655  

STMicroelectronics NV

      27,525        844,192  

Straumann Holding AG

      446        451,174  

Swatch Group AG - BR

      1,172        273,176  

Swatch Group AG - REG

      2,317        104,338  

Swiss Life Holding AG

      1,328        502,504  

Swiss Prime Site AG

      3,118        283,176  

Swiss Re AG

      12,551        931,020  

Swisscom AG

      1,056        559,424  

Temenos AG

      2,912        391,386  

UBS Group AG

      2,154,438        24,071,331  

Vifor Pharma AG

      1,938        263,616  

Zurich Insurance Group AG

      49,053        17,105,532  
     

 

 

  

Total Switzerland

 

      807,269,227  
     

 

 

  

Taiwan – 3.47%

      

Catcher Technology Co. Ltd.

      2,383,000        15,056,975  

Hon Hai Precision Industry Co. Ltd.

      6,340,400        17,046,238  

Taiwan Semiconductor Manufacturing Co. Ltd.

      5,819,860        87,554,430  

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

      3,547,268        287,577,017  
     

 

 

  

Total Taiwan

 

      407,234,660  
     

 

 

  

Thailand – 0.09%

      

Thai Beverage PCL

      24,005,400        10,680,675  
     

 

 

  

Total Thailand

 

      10,680,675  
     

 

 

  

United Kingdom – 11.81%

      

3i Group Plc

      40,066        514,501  

Admiral Group Plc

      8,060        271,826  

Anglo American Plc

      50,574        1,223,567  

Ashtead Group Plc

      19,516        702,799  

ASOS Plc(1)

      387,324        25,716,756  

Associated British Foods Plc

      14,669        353,163  

AstraZeneca Plc

      846,967        92,543,397  

Auto Trader Group Plc(2)

      6,270,607        45,527,158  

AVEVA Group Plc

      2,965        182,877  

Aviva Plc

      3,250,744        12,026,896  

BAE Systems Plc

      132,008        819,837  

Barclays Plc

      7,887,331        9,950,339  

Barratt Developments Plc

      41,743        255,998  

Berkeley Group Holdings Plc

      5,148        280,632  

BP Plc

      29,632,273        85,695,981  

British American Tobacco Plc

      94,508        3,390,126  

British Land Co. Plc

      38,179        166,438  

BT Group Plc - Class A

      362,880        459,632  

Bunzl Plc

      13,868        447,748  

Burberry Group Plc

      992,069        19,885,245  

CNH Industrial NV

      43,281        334,750  

Coca-Cola European Partners Plc

      8,451        327,983  

Compass Group Plc

      77,103        1,158,224  

Croda International Plc

      5,694        459,311  

Diageo Plc

      101,586        3,489,349  

Direct Line Insurance Group Plc

      54,508        190,108  

Evraz Plc

      22,282        99,219  

Ferguson Plc

      9,281        933,951  

Fiat Chrysler Automobiles NV

      45,180        554,581  

GlaxoSmithKline Plc

      3,677,676        68,947,248  

Halma Plc

      16,928        511,427  

Hargreaves Lansdown Plc

      2,297,061        46,206,584  

HomeServe Plc

      1,533,423        24,434,783  

HSBC Holdings Plc

      5,858,764        22,920,999  

Imperial Brands Plc

      38,969        688,329  

Informa Plc

      61,850        299,767  

InterContinental Hotels Group Plc

      7,653        401,709  

Intertek Group Plc

      449,874        36,708,195  

J Sainsbury Plc

      13,112,807        32,285,482  

JD Sports Fashion Plc

      20,102        209,838  

John Wood Group Plc

      12,639,262        34,701,985  

Johnson Matthey Plc

      719,128        21,852,838  

Kingfisher Plc

      21,912,756        83,934,676  

Land Securities Group Plc

      28,412        191,280  

Legal & General Group Plc

      245,630        599,206  

Lloyds Banking Group Plc

      151,173,003        51,320,519  

London Stock Exchange Group Plc

      13,683        1,569,671  

M&G Plc

      104,404        214,595  

Melrose Industries Plc(1)

      204,224        302,835  

Mondi Plc

      19,993        422,744  

National Grid Plc

      143,813        1,651,859  

Natwest Group Plc

      8,937,917        12,240,028  

Next Plc

      5,474        419,676  

Ocado Group Plc(1)

      19,088        675,129  

Pearson Plc

      32,493        230,493  

Persimmon Plc

      13,110        417,795  

Prudential Plc

      107,539        1,543,004  

Reckitt Benckiser Group Plc

      30,283        2,952,754  

RELX Plc

      84,046        1,870,702  

Rentokil Initial Plc

      78,732        544,184  

Rightmove Plc

      6,821,338        55,146,230  

Rio Tinto Ltd.

      15,989        1,092,071  

Rio Tinto Plc

      46,274        2,784,422  

Rolls-Royce Holdings Plc(1)

      83,749        139,053  

RSA Insurance Group Plc

      41,288        241,074  

Sage Group Plc

      48,436        450,125  

Schroders Plc

      5,282        183,443  

Segro Plc

      51,149        614,686  

Severn Trent Plc

      9,798        308,487  

Smith & Nephew Plc

      2,537,694        49,711,756  

Smiths Group Plc

      16,203        286,625  

Spirax-Sarco Engineering Plc

      3,265        464,942  

SSE Plc

      4,778,702        74,376,556  

St James’s Place Plc

      23,339        280,777  

Standard Chartered Plc

      3,145,067        14,472,319  

Standard Life Aberdeen Plc

      95,879        279,219  

Taylor Wimpey Plc

      149,369        208,861  

TechnipFMC Plc

      3,553,593        22,423,172  

Tesco Plc

      72,413,070        198,651,298  

Trainline Plc(1)(2)

      5,833,657        27,208,008  

Travis Perkins Plc

      1,960,430        27,428,849  

Unilever NV

      63,065        3,829,772  

Unilever Plc

      50,795        3,131,676  

United Utilities Group Plc

      28,077        310,149  

Vodafone Group Plc

      67,143,248        88,993,722  

Weir Group Plc

      846,036        13,619,451  

Whitbread Plc

      8,237        225,057  

Wm Morrison Supermarkets Plc

      96,642        212,123  

WPP Plc

      5,299,709        41,623,683  
     

 

 

  

Total United Kingdom

 

      1,387,930,332  
     

 

 

  

United States – 2.22%

      

Aon Plc - Class A

      178,433        36,810,728  

Mettler-Toledo International, Inc.(1)

      103,303        99,764,872  

Mylan NV(1)

      1,146,770        17,006,599  

ResMed, Inc.

      355,164        60,885,764  

STERIS Plc

      261,716        46,111,742  
     

 

 

  

Total United States

 

      260,579,705  
     

 

 

  

Total Common Stocks (Cost: $10,288,165,215)

 

      11,277,882,718  
     

 

 

  

PREFERRED STOCKS – 0.24%

      

Germany – 0.24%

      

Bayerische Motoren Werke AG

      2,262        123,624  

Fuchs Petrolub SE

      2,928        148,876  

Henkel AG & Co. KGaA

      7,336        767,246  

Porsche Automobil Holding SE(1)

      6,306        375,157  

Sartorius AG

      1,517        621,780  

Volkswagen AG

      159,477        25,661,641  
     

 

 

  

Total Germany

 

      27,698,324  
     

 

 

  

Total Preferred Stocks (Cost: $24,463,518)

 

      27,698,324  
     

 

 

  

SHORT-TERM INVESTMENTS – 3.37%

      

Money Market Funds – 3.01%

      

Goldman Sachs Financial Square Government Fund - Class I, 0.00%(4)

      353,918,800        353,918,800  
     

 

 

  

Total Money Market Funds (Cost: $353,918,800)

         353,918,800  
     

 

 

  
     Principal
Amount		      Value  

Time Deposits – 0.36%

      

ANZ, London, 0.01% due 10/01/2020

    $ 174,245        174,245  

Barclays Bank, London, 0.01% due 10/01/2020

      9,227,313        9,227,313  

BNP Paribas, Paris, -1.49% due 10/01/2020

    CHF 561,979        610,150  

Brown Brothers Harriman, -0.69% due 10/01/2020

    EUR 20        23  

Brown Brothers Harriman, -0.55% due 10/01/2020

    DKK 166,398        26,205  

Brown Brothers Harriman, -0.23% due 10/01/2020

    JPY 1,145,466        10,861  

Brown Brothers Harriman, -0.10% due 10/01/2020

    NOK 155,196        16,639  

Brown Brothers Harriman, 0.00% due 10/01/2020

    AUD 611,482        437,974  

Brown Brothers Harriman, 0.01% due 10/01/2020

    SGD 56        41  

Brown Brothers Harriman, 0.01% due 10/01/2020

    NZD 57,522        38,054  

Brown Brothers Harriman, 0.01% due 10/05/2020

    HKD 19        2  

Citibank, London, -0.69% due 10/01/2020

    EUR 1,094,590        1,283,352  

Citibank, London, 0.01% due 10/01/2020

    GBP 883,531        1,140,064  

HSBC, Hong Kong, 0.01% due 10/05/2020

    HKD   33,924,918        4,377,381  

HSBC, Singapore, 0.01% due 10/01/2020

    SGD 214,214        156,927  

Skandinaviska Enskilda Banken AB, Stockholm, -0.28% due 10/01/2020

    SEK 771,822        86,181  

Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 10/01/2020

    $ 24,264,905        24,264,905  

Sumitomo, Tokyo, -0.23% due 10/01/2020

    JPY 12,071,706        114,462  

Sumitomo, Tokyo, 0.01% due 10/01/2020

    $ 195,815        195,815  
     

 

 

  

Total Time Deposits (Cost: $42,160,594)

         42,160,594  
     

 

 

  

Total Short-Term Investments (Cost: $396,079,394)

         396,079,394  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES – 99.60%

(Cost: $10,708,708,127)

         11,701,660,436  
     

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES – 0.40%

         46,741,928  
     

 

 

  

TOTAL NET ASSETS – 100.00%

       $ 11,748,402,364  
     

 

 

  

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

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)

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 totals $338,977,293, which represents 2.89% of total net assets.

(3)

Amount calculated is less than 0.005%.

(4)

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.

COMMON STOCKS    Percentage of Net
Assets		  

Healthcare

      15.28 % 

Consumer Discretionary

      15.10

Information Technology

      14.75

Industrials

      13.67

Financials

      11.39

Communication Services

      8.67

Consumer Staples

      7.23

Energy

      3.29

Materials

      3.21

Utilities

      2.56

Real Estate

      0.84
  

 

 

  

Total Common Stocks

     95.99
  

 

 

  

PREFERRED STOCKS

  

Consumer Discretionary

      0.22

Consumer Staples

      0.01

Healthcare

      0.01

Materials

      0.00 (1) 
  

 

 

  

Total Preferred Stocks

      0.24
  

 

 

  

SHORT-TERM INVESTMENTS

      3.37
  

 

 

  

TOTAL INVESTMENTS

     99.60

OTHER ASSETS IN EXCESS OF LIABILITIES

      0.40
  

 

 

  

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.

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 of the fair value hierarchy.

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.

The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).

Significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default and loss severity in the event of default. Significant increases/(decreases) in any of those inputs in isolation could result in a significantly higher/lower fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

Additionally, third-party pricing vendors and broker-dealers could use market activity related to comparable securities to supplement the inputs noted above. Usually, an increase/(decrease) in the price of a comparable bond would result in a higher/lower fair value measurement.

Bridge Builder Core Bond Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Asset-Backed Obligations

    $ —        $ 1,665,547,719      $ 76,532,618      $ 1,742,080,337  

Corporate Bonds

            

Basic Materials

      —          172,139,530        —          172,139,530  

Communications

      —          410,627,552        —          410,627,552  

Consumer, Cyclical

      —          222,829,127        —          222,829,127  

Consumer, Non-cyclical

      —          787,357,824        —          787,357,824  

Diversified

      —          3,807,946        —          3,807,946  

Energy

      —          564,033,921        —          564,033,921  

Financials

      —          1,930,843,966        —          1,930,843,966  

Industrials

      —          241,136,693        —          241,136,693  

Technology

      —          210,708,217        —          210,708,217  

Utilities

      —          555,392,477        —          555,392,477  

Government Related

      —          334,882,222        —          334,882,222  

U.S. Treasury Obligations

      —          2,063,301,693        —          2,063,301,693  

Mortgage-Backed Obligations

      —          5,252,795,452        26,786,000        5,279,581,452  

Preferred Stocks

            

Financial

      2,634,350        —          —          2,634,350  

Short-Term Investments

            

Money Market Funds

      816,435,508        —          —          816,435,508  

U.S. Treasury Bills

      —          1,999,314        —          1,999,314  

Time Deposits

      —          46,308,609        —          46,308,609  

Futures Contracts (1)

      443,024        —          —          443,024  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 819,512,882      $ 14,463,712,262      $ 103,318,618      $ 15,386,543,762  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liablities

            

TBA Sales Commitments

    $ —        $ (7,856,543 )     $ —        $ (7,856,543 ) 

Futures Contracts (1)

      (607,526 )       —          —          (607,526 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

    $ (607,526 )     $ (7,856,543 )     $ —        $ (8,464,069 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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.

Bridge Builder Core Plus Bond Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Asset-Backed Obligations

    $ —        $ 2,296,525,197      $ —        $ 2,296,525,197  

Corporate Bonds

            

Basic Materials

      —          227,084,328        —          227,084,328  

Communications

      —          1,044,637,894        —          1,044,637,894  

Consumer, Cyclical

      —          611,278,510        —          611,278,510  

Consumer, Non-cyclical

      —          1,167,779,470        —          1,167,779,470  

Diversified

      —          4,561,977        —          4,561,977  

Energy

      —          633,891,777        —          633,891,777  

Financials

      —          2,716,230,104        —          2,716,230,104  

Government

      —          30,850,622        —          30,850,622  

Industrials

      —          461,831,801        —          461,831,801  

Technology

      —          339,721,656        —          339,721,656  

Utilities

      —          460,406,544        —          460,406,544  

Convertible Securities

            

Communications

      —          10,793,037        —          10,793,037  

Consumer, Non-cyclical

      —          8,899,929        —          8,899,929  

Energy

      —          128,444        —          128,444  

Industrials

      —          1,823,080        —          1,823,080  

Utilities

      —          1,926,469        —          1,926,469  

Government Related

      —          357,148,748        —          357,148,748  

U.S. Treasury Obligations

      —          3,250,692,875        —          3,250,692,875  

Mortgage-Backed Obligations

      —          6,122,528,537        —          6,122,528,537  

Bank Loans

      —          470,251,807        —          470,251,807  

Common Stocks

            

Communications

      3,198,116        —          13,060        3,211,176  

Consumer Discretionary

      —          —          2,006,897        2,006,897  

Industrials

      627,115        —          1,180,093        1,807,208  

Convertible Preferred Stocks

            

Consumer, Non-cyclical

      8,127,240        —          —          8,127,240  

Financials

      14,698,056        —          —          14,698,056  

Utilities

      1,607,706        —          —          1,607,706  

Preferred Stocks

            

Communications

      —          28,023,049        —          28,023,049  

Warrants

      —          —          5,283,954        5,283,954  

Short-Term Investments

            

Money Market Funds

      522,791,506        —          —          522,791,506  

Government Related

      —          8,131,279        —          8,131,279  

Commercial Paper

      —          17,370,957        —          17,370,957  

Repurchase Agreements

      —          1,585,700,000        —          1,585,700,000  

U.S. Treasury Bills

      —          1,304,644,260        —          1,304,644,260  

Time Deposits

      —          44,243,086        —          44,243,086  

Futures Contracts (1)

      5,162,027        —          —          5,162,027  

Forward Foreign Currency Exchange Contracts (1)

      —          27,047,306        —          27,047,306  

Swap Contracts (1)

      —          77,987,088        —          77,987,088  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 556,211,766      $ 23,312,139,831      $ 8,484,004      $ 23,876,835,601  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liablities

            

TBA Sales Commitments

    $ —        $ (167,000,541 )     $ —        $ (167,000,541 ) 

Futures Contracts (1)

      (5,015,382 )       —          —          (5,015,382 ) 

Forward Foreign Currency Exchange Contracts (1)

      —          (9,123,410 )       —          (9,123,410 ) 

Swap Contracts (1)

      —          (45,283,091 )       —          (45,283,091 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

    $ (5,015,382 )     $ (221,407,042 )     $ —        $ (226,422,424 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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.

Bridge Builder Municipal Bond Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Municipal Bonds

            

Education

    $ —        $ 589,772,072      $ —        $ 589,772,072  

General Obligation

      —          1,200,454,382        —          1,200,454,382  

General Revenue

      —          2,007,946,050        —          2,007,946,050  

Healthcare

      —          1,036,926,106        —          1,036,926,106  

Housing

      —          318,308,551        —          318,308,551  

Transportation

      —          1,197,075,141        —          1,197,075,141  

Utilities

      —          666,036,322        —          666,036,322  

Short-Term Investments

            

Money Market Funds

      250,962,090        —          —          250,962,090  

Time Deposits

      —          5,984,603        —          5,984,603  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 250,962,090      $ 7,022,503,227      $ —        $ 7,273,465,317  
  

 

 

     

 

 

     

 

 

     

 

 

  

Bridge Builder Large Cap Growth Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Common Stocks

            

Communication Services

    $ 1,483,363,206      $ 39,761,105      $ —        $ 1,523,124,311  

Consumer Discretionary

      2,236,472,509        40,768,382        —          2,277,240,891  

Consumer Staples

      508,725,549        —          —          508,725,549  

Energy

      63,258,895        —          —          63,258,895  

Financials

      742,072,123        —          —          742,072,123  

Healthcare

      2,614,258,767        —          —          2,614,258,767  

Industrials

      770,145,261        —          —          770,145,261  

Information Technology

      4,833,646,028        73,023,130        —          4,906,669,158  

Materials

      530,328,516        —          —          530,328,516  

Real Estate

      318,092,945        —          —          318,092,945  

Utilities

      237,097        —          —          237,097  

Short-Term Investments

            

Money Market Funds

      51,750,753        —          —          51,750,753  

Time Deposits

      —          69,030,809        —          69,030,809  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 14,152,351,649      $ 222,583,426      $ —        $ 14,374,935,075  
  

 

 

     

 

 

     

 

 

     

 

 

  

Bridge Builder Large Cap Value Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Common Stocks

            

Communication Services

    $ 800,354,320      $ —        $ —        $ 800,354,320  

Consumer Discretionary

      1,488,246,159        59,055,859        —          1,547,302,018  

Consumer Staples

      1,048,745,268        24,350,380        —          1,073,095,648  

Energy

      321,436,032        37,647,207        —          359,083,239  

Financials

      2,222,605,938        —          —          2,222,605,938  

Healthcare

      1,624,643,150        92,527,332        —          1,717,170,482  

Industrials

      2,140,271,764        8,461,855        —          2,148,733,619  

Information Technology

      1,298,373,430        79,295,578        —          1,377,669,008  

Materials

      666,198,173        4,919,203        —          671,117,376  

Real Estate

      437,188,793        —          —          437,188,793  

Utilities

      308,987,455        —          —          308,987,455  

Convertible Preferred Stocks

            

Healthcare

      9,656,800        —          —          9,656,800  

Utilities

      31,950,248        —          —          31,950,248  

Preferred Stocks

            

Consumer Discretionary

      —          12,362,810        —          12,362,810  

Warrants

            

Energy

      164,238        —          —          164,238  

Convertible Securities

            

Financials

      —          4,798,750        —          4,798,750  

Short-Term Investments

            

Money Market Funds

      331,780,881        —          —          331,780,881  

Time Deposits

      —          38,627,396        —          38,627,396  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 12,730,602,649      $ 362,046,370      $ —        $ 13,092,649,019  
  

 

 

     

 

 

     

 

 

     

 

 

  

Bridge Builder Small/Mid Cap Growth Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Common Stocks

            

Communication Services

    $ 208,232,046      $ —        $ —        $ 208,232,046  

Consumer Discretionary

      535,808,696        —          —          535,808,696  

Consumer Staples

      213,455,018        5,990        —          213,461,008  

Energy

      12,514,572        —          —          12,514,572  

Financials

      388,456,602        —          —          388,456,602  

Healthcare

      1,263,280,449        —          382        1,263,280,831  

Industrials

      689,403,490        —          —          689,403,490  

Information Technology

      1,288,375,560        —          —          1,288,375,560  

Materials

      102,589,636        —          —          102,589,636  

Real Estate

      64,454,772        —          —          64,454,772  

Utilities

      49,814,410        —          —          49,814,410  

Short-Term Investments

            

Money Market Funds

      92,400,138        —          —          92,400,138  

Time Deposits

      —          15,145,197        —          15,145,197  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 4,908,785,389      $ 15,151,187      $ 382      $ 4,923,936,958  
  

 

 

     

 

 

     

 

 

     

 

 

  

Bridge Builder Small/Mid Cap Value Fund

 

     Level 1      Level 2      Level 3     Total  

Assets

           

Common Stocks

           

Communication Services

    $ 86,396,044      $ —        $ —       $ 86,396,044  

Consumer Discretionary

      589,494,939        —          —         589,494,939  

Consumer Staples

      225,505,328        75,504        —         225,580,832  

Energy

      132,680,108        —          —         132,680,108  

Financials

      1,008,817,435        —          —   (2)      1,008,817,435  

Healthcare

      394,084,072        —          —         394,084,072  

Industrials

      1,027,015,956        —          —         1,027,015,956  

Information Technology

      623,502,719        —          —         623,502,719  

Materials

      357,019,846        —          —         357,019,846  

Real Estate

      367,296,823        —          —         367,296,823  

Utilities

      293,304,809        —          —         293,304,809  

Warrants

           

Energy

      688        —          —   #      688  

Short-Term Investments

           

Money Market Funds

      45,148,065        —          —         45,148,065  

Time Deposits

      —          42,484,854        —         42,484,854  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Assets

    $ 5,150,266,832      $ 42,560,358      $ —       $ 5,192,827,190  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(2)

Includes a security valued at $0.

Bridge Builder International Equity Fund

 

     Level 1      Level 2      Level 3      Total  

Assets

            

Common Stocks

            

Communication Services

    $ 67,560,817      $ 950,617,170      $ —        $ 1,018,177,987  

Consumer Discretionary

      316,312,185        1,457,926,877        —          1,774,239,062  

Consumer Staples

      45,649,920        803,764,110        —          849,414,030  

Energy

      22,423,172        364,557,863        —          386,981,035  

Financials

      139,529,558        1,198,257,271        —          1,337,786,829  

Healthcare

      254,770,954        1,540,438,329        —          1,795,209,283  

Industrials

      75,982,237        1,530,003,816        —          1,605,986,053  

Information Technology

      605,179,440        1,128,079,545        —          1,733,258,985  

Materials

      —          377,028,496        —          377,028,496  

Real Estate

      —          99,183,626        —          99,183,626  

Utilities

      3,154,800        297,462,532        —          300,617,332  

Preferred Stocks

            

Consumer Discretionary

      —          26,160,422        —          26,160,422  

Consumer Staples

      —          767,246        —          767,246  

Healthcare

      —          621,780        —          621,780  

Materials

      —          148,876        —          148,876  

Short-Term Investments

            

Money Market Funds

      353,918,800        —          —          353,918,800  

Time Deposits

      —          42,160,594        —          42,160,594  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 1,884,481,883      $ 9,817,178,553      $ —        $ 11,701,660,436  
  

 

 

     

 

 

     

 

 

     

 

 

  

Quantitative Information about Level 3 Fair Value Measurements*

Core Bond Fund

 

Investment Type

    Fair Value at
09/30/20		      Valuation
Methodology		      Unobservable
Inputs		      Input
Value/Range		      Weighted
Average		  

Asset-Backed Obligations

    $ 14,530,873        Cost Basis        Purchase Price      $ 98.05 - $100.00      $ 98.82  

Mortgage-Backed Obligations

    $ 6,417,752        Cost Basis        Purchase Price        $99.90      $ 99.90  

 

*

The table above does not include Level 3 securities that were valued by brokers. At September 30, 2020, the value of these securities was $82,369,993 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 1. 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.

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period July 1, 2020 through September 30, 2020:

 

Core Bond Fund    Total      Asset-Backed
Obligations		      Mortgage-Backed
Obligations		  

Balance as of June 30, 2020

    $ 82,060,788      $ 53,398,294      $ 28,662,494  

Total realized gain/(loss)

      23,535        17,976        5,559  

Accrued discounts/(premiums)

      28,702        25,854        2,848  

Paydown

      (6,040,669 )       (4,122,971 )       (1,917,698 ) 

Change in unrealized appreciation/(depreciation)

      893,755        860,958        32,797  

Purchases

      31,225,357        31,225,357        —    

Sales

      (10,836,273 )       (10,836,273 )       —    

Transfers in

      5,963,423        5,963,423        —    

Transfers out

      —          —          —    
  

 

 

     

 

 

     

 

 

  

Balance as of September 30, 2020

    $ 103,318,618      $ 76,532,618      $ 26,786,000  
  

 

 

     

 

 

     

 

 

  

Change in unrealized appreciation/(depreciation) from Investments held as of September 30, 2020

    $ 893,755      $ 860,958      $ 32,797