Quarterly Holdings Report
for
Fidelity® Total Bond Fund
November 30, 2020
Schedule of Investments November 30, 2020 (Unaudited)
Showing Percentage of Net Assets
| Corporate Bonds - 36.6% | |||
| Principal Amount(a) | Value | ||
| Convertible Bonds - 0.0% | |||
| COMMUNICATION SERVICES - 0.0% | |||
| Media - 0.0% | |||
| DISH Network Corp.: | |||
| 2.375% 3/15/24 | $8,804,000 | $8,341,790 | |
| 3.375% 8/15/26 | 6,718,000 | 6,697,174 | |
| 15,038,964 | |||
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Mesquite Energy, Inc.: | |||
| 15% 7/15/23 (b)(c) | 1,295,000 | 1,295,000 | |
| 15% 7/31/23 (b)(c) | 742,531 | 742,531 | |
| 2,037,531 | |||
| REAL ESTATE - 0.0% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| Colony Capital Operating Co. LLC 5.75% 7/15/25 (d) | 10,000 | 20,230 | |
| TOTAL CONVERTIBLE BONDS | 17,096,725 | ||
| Nonconvertible Bonds - 36.6% | |||
| COMMUNICATION SERVICES - 3.7% | |||
| Diversified Telecommunication Services - 1.2% | |||
| AT&T, Inc.: | |||
| 3% 6/30/22 | 7,993,000 | 8,290,471 | |
| 4.1% 2/15/28 | 5,638,000 | 6,631,576 | |
| 4.3% 2/15/30 | 10,373,000 | 12,384,903 | |
| 4.45% 4/1/24 | 1,500,000 | 1,678,779 | |
| 4.5% 3/9/48 | 13,000,000 | 15,842,521 | |
| 5.15% 11/15/46 | 12,000,000 | 15,734,469 | |
| 6.2% 3/15/40 | 7,512,000 | 10,471,036 | |
| 6.3% 1/15/38 | 10,617,000 | 15,182,340 | |
| Axtel S.A.B. de CV 6.375% 11/14/24 (d) | 276,000 | 288,334 | |
| C&W Senior Financing Designated Activity Co.: | |||
| 6.875% 9/15/27 (d) | 26,717,000 | 28,811,078 | |
| 7.5% 10/15/26 (d) | 22,232,000 | 23,649,290 | |
| Cablevision Lightpath LLC: | |||
| 3.875% 9/15/27 (d) | 1,135,000 | 1,147,599 | |
| 5.625% 9/15/28 (d) | 895,000 | 938,363 | |
| Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 850,000 | 975,375 | |
| CenturyLink, Inc.: | |||
| 4.5% 1/15/29 (d) | 6,140,000 | 6,262,800 | |
| 5.125% 12/15/26 (d) | 8,750,000 | 9,098,600 | |
| 5.625% 4/1/25 | 3,040,000 | 3,260,400 | |
| Colombia Telecomunicaciones SA 4.95% 7/17/30 (d) | 560,000 | 621,600 | |
| Frontier Communications Corp.: | |||
| 5% 5/1/28 (d) | 7,135,000 | 7,242,025 | |
| 5.875% 10/15/27 (d) | 2,876,000 | 3,023,395 | |
| 6.75% 5/1/29 (d) | 5,950,000 | 6,158,250 | |
| Iliad SA 0.625% 11/25/21 (Reg. S) | EUR | 8,500,000 | 10,155,326 |
| Level 3 Financing, Inc.: | |||
| 3.625% 1/15/29 (d) | 840,000 | 841,033 | |
| 4.25% 7/1/28 (d) | 5,805,000 | 5,993,663 | |
| 4.625% 9/15/27 (d) | 5,225,000 | 5,450,198 | |
| Liquid Telecommunications Financing PLC 8.5% 7/13/22 (d) | 930,000 | 946,856 | |
| Qtel International Finance Ltd.: | |||
| 3.25% 2/21/23 (d) | 1,185,000 | 1,238,325 | |
| 5% 10/19/25 (d) | 660,000 | 765,468 | |
| Sable International Finance Ltd. 5.75% 9/7/27 (d) | 1,755,000 | 1,884,431 | |
| SFR Group SA: | |||
| 5.125% 1/15/29 (d) | 6,860,000 | 7,091,456 | |
| 7.375% 5/1/26 (d) | 11,011,000 | 11,561,550 | |
| 8.125% 2/1/27 (d) | 20,491,000 | 22,591,328 | |
| Sprint Capital Corp.: | |||
| 6.875% 11/15/28 | 12,825,000 | 16,655,828 | |
| 8.75% 3/15/32 | 4,490,000 | 6,894,979 | |
| Telecom Argentina SA 8.5% 8/6/25 (d) | 451,000 | 414,920 | |
| Telecom Italia Capital SA: | |||
| 6% 9/30/34 | 1,570,000 | 1,857,263 | |
| 6.375% 11/15/33 | 424,000 | 506,680 | |
| 7.2% 7/18/36 | 424,000 | 542,720 | |
| Telefonica Celular del Paraguay SA 5.875% 4/15/27 (d) | 1,260,000 | 1,343,790 | |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 10,800,000 | 11,561,400 | |
| Verizon Communications, Inc.: | |||
| 2.987% 10/30/56 (d) | 39,193,000 | 41,454,290 | |
| 3% 3/22/27 | 5,131,000 | 5,697,542 | |
| 4.862% 8/21/46 | 26,720,000 | 36,717,111 | |
| 5.012% 4/15/49 | 569,000 | 805,634 | |
| Virgin Media Finance PLC 5% 7/15/30 (d) | 5,430,000 | 5,701,500 | |
| Zayo Group Holdings, Inc.: | |||
| 4% 3/1/27 (d) | 2,850,000 | 2,835,437 | |
| 6.125% 3/1/28 (d) | 10,480,000 | 11,082,600 | |
| 390,284,532 | |||
| Entertainment - 0.3% | |||
| Netflix, Inc.: | |||
| 4.875% 4/15/28 | 8,895,000 | 10,184,775 | |
| 5.375% 11/15/29 (d) | 955,000 | 1,140,318 | |
| 5.875% 11/15/28 | 3,270,000 | 3,949,114 | |
| 6.375% 5/15/29 | 1,015,000 | 1,273,612 | |
| The Walt Disney Co.: | |||
| 3.8% 3/22/30 | 39,850,000 | 47,334,833 | |
| 4.7% 3/23/50 | 29,296,000 | 40,857,102 | |
| Total Play Telecomunicaciones SA de CV 7.5% 11/12/25 (d) | 1,570,000 | 1,571,162 | |
| 106,310,916 | |||
| Interactive Media & Services - 0.0% | |||
| Baidu.com, Inc.: | |||
| 1.72% 4/9/26 | 670,000 | 673,464 | |
| 2.375% 10/9/30 | 635,000 | 652,066 | |
| Tencent Holdings Ltd.: | |||
| 2.39% 6/3/30 (d) | 800,000 | 820,500 | |
| 3.975% 4/11/29 (d) | 480,000 | 545,250 | |
| 2,691,280 | |||
| Media - 1.7% | |||
| Altice Financing SA: | |||
| 5% 1/15/28 (d) | 7,220,000 | 7,374,291 | |
| 7.5% 5/15/26 (d) | 14,513,000 | 15,311,215 | |
| Altice France Holding SA 6% 2/15/28 (d) | 12,670,000 | 12,859,417 | |
| Cable Onda SA 4.5% 1/30/30 (d) | 1,405,000 | 1,534,084 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 4.25% 2/1/31 (d) | 565,000 | 586,131 | |
| 4.5% 8/15/30 (d) | 3,170,000 | 3,340,388 | |
| 4.5% 5/1/32 (d) | 6,215,000 | 6,568,634 | |
| 5% 2/1/28 (d) | 12,200,000 | 12,825,250 | |
| 5.125% 5/1/27 (d) | 9,222,000 | 9,702,605 | |
| 5.5% 5/1/26 (d) | 3,769,000 | 3,925,414 | |
| 5.75% 2/15/26 (d) | 13,912,000 | 14,421,318 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 4.464% 7/23/22 | 13,008,000 | 13,748,934 | |
| 4.908% 7/23/25 | 13,008,000 | 15,057,151 | |
| 5.375% 5/1/47 | 32,692,000 | 41,447,312 | |
| 6.484% 10/23/45 | 9,078,000 | 12,943,737 | |
| Clear Channel International BV 6.625% 8/1/25 (d) | 200,000 | 208,500 | |
| Comcast Corp.: | |||
| 3.9% 3/1/38 | 3,341,000 | 4,109,790 | |
| 4.65% 7/15/42 | 7,870,000 | 10,645,784 | |
| 6.45% 3/15/37 | 1,399,000 | 2,146,294 | |
| CSC Holdings LLC: | |||
| 4.125% 12/1/30 (d) | 4,765,000 | 4,930,822 | |
| 5.5% 5/15/26 (d) | 4,409,000 | 4,585,360 | |
| 5.5% 4/15/27 (d) | 6,077,000 | 6,414,274 | |
| 5.75% 1/15/30 (d) | 15,240,000 | 16,443,808 | |
| 7.5% 4/1/28 (d) | 3,026,000 | 3,373,581 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) | 4,265,000 | 3,305,375 | |
| Discovery Communications LLC: | |||
| 3.625% 5/15/30 | 13,528,000 | 15,419,674 | |
| 4.65% 5/15/50 | 36,524,000 | 44,821,800 | |
| DISH DBS Corp.: | |||
| 5.875% 11/15/24 | 8,151,000 | 8,668,874 | |
| 7.75% 7/1/26 | 863,000 | 981,852 | |
| Dolya Holdco 18 DAC 5% 7/15/28 (d) | 5,710,000 | 5,881,300 | |
| Fox Corp.: | |||
| 3.666% 1/25/22 | 2,306,000 | 2,392,256 | |
| 4.03% 1/25/24 | 4,055,000 | 4,470,386 | |
| 4.709% 1/25/29 | 5,868,000 | 7,094,809 | |
| 5.476% 1/25/39 | 5,787,000 | 8,047,345 | |
| 5.576% 1/25/49 | 3,840,000 | 5,610,845 | |
| Gray Television, Inc. 4.75% 10/15/30 (d) | 2,285,000 | 2,316,419 | |
| Lagardere S.C.A.: | |||
| 1.625% 6/21/24 (Reg. S) | EUR | 3,100,000 | 3,485,032 |
| 2.125% 10/16/26 (Reg. S) | EUR | 6,400,000 | 7,224,083 |
| 2.75% 4/13/23 (Reg. S) | EUR | 4,600,000 | 5,461,046 |
| Meredith Corp. 6.875% 2/1/26 | 3,220,000 | 3,203,900 | |
| Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
| 4.5% 9/15/26 (d) | 6,045,000 | 6,286,800 | |
| 6.5% 9/15/28 (d) | 7,602,000 | 8,076,365 | |
| Sirius XM Radio, Inc.: | |||
| 4.125% 7/1/30 (d) | 1,450,000 | 1,519,238 | |
| 5% 8/1/27 (d) | 8,421,000 | 8,860,745 | |
| 5.375% 7/15/26 (d) | 3,915,000 | 4,071,600 | |
| 5.5% 7/1/29 (d) | 1,410,000 | 1,543,950 | |
| Tegna, Inc. 5% 9/15/29 | 530,000 | 557,491 | |
| Time Warner Cable, Inc.: | |||
| 4% 9/1/21 | 12,918,000 | 13,127,639 | |
| 4.5% 9/15/42 | 20,648,000 | 23,790,737 | |
| 5.5% 9/1/41 | 8,265,000 | 10,514,113 | |
| 5.875% 11/15/40 | 10,540,000 | 13,643,216 | |
| 6.55% 5/1/37 | 29,622,000 | 40,832,058 | |
| 7.3% 7/1/38 | 24,672,000 | 36,193,590 | |
| TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) | 6,001,000 | 3,400,880 | |
| Univision Communications, Inc.: | |||
| 6.625% 6/1/27 (d) | 3,625,000 | 3,869,688 | |
| 9.5% 5/1/25 (d) | 840,000 | 930,300 | |
| Virgin Media Secured Finance PLC: | |||
| 4.5% 8/15/30 (d) | 4,925,000 | 5,171,250 | |
| 5.5% 8/15/26 (d) | 2,762,000 | 2,889,411 | |
| VTR Finance BV 6.375% 7/15/28 (d) | 830,000 | 908,850 | |
| Ziggo Bond Co. BV: | |||
| 5.125% 2/28/30 (d) | 3,960,000 | 4,197,600 | |
| 6% 1/15/27 (d) | 7,071,000 | 7,442,228 | |
| Ziggo BV 5.5% 1/15/27 (d) | 7,646,000 | 7,999,245 | |
| 558,716,084 | |||
| Wireless Telecommunication Services - 0.5% | |||
| America Movil S.A.B. de CV 3.125% 7/16/22 | 5,873,000 | 6,107,920 | |
| Bharti Airtel International BV 5.35% 5/20/24 (d) | 875,000 | 961,680 | |
| Digicel Group Ltd. 6.75% 3/1/23 (d) | 731,000 | 466,013 | |
| Intelsat Jackson Holdings SA 8% 2/15/24 (d) | 9,535,000 | 9,749,538 | |
| Millicom International Cellular SA: | |||
| 4.5% 4/27/31 (d) | 1,525,000 | 1,642,181 | |
| 6.625% 10/15/26 (d) | 14,281,000 | 15,477,034 | |
| MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 (d) | 819,000 | 924,190 | |
| Silknet JSC 11% 4/2/24 (Reg. S) | 200,000 | 212,000 | |
| T-Mobile U.S.A., Inc.: | |||
| 3.75% 4/15/27 (d) | 23,850,000 | 27,000,585 | |
| 3.875% 4/15/30 (d) | 50,185,000 | 57,556,675 | |
| 4.375% 4/15/40 (d) | 5,147,000 | 6,285,980 | |
| 4.5% 4/15/50 (d) | 10,111,000 | 12,634,200 | |
| TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) | 1,258,000 | 1,265,120 | |
| VimpelCom Holdings BV: | |||
| 3.375% 11/25/27 (d) | 1,110,000 | 1,130,824 | |
| 7.25% 4/26/23 (d) | 1,155,000 | 1,278,874 | |
| Vodafone Group PLC: | |||
| 2.625% 8/27/80 (Reg. S) (e) | EUR | 1,650,000 | 2,014,947 |
| 6.25% 10/3/78 (Reg. S) (e) | 1,000,000 | 1,107,540 | |
| VTR Comunicaciones SpA 5.125% 1/15/28 (d) | 1,100,000 | 1,172,875 | |
| 146,988,176 | |||
| TOTAL COMMUNICATION SERVICES | 1,204,990,988 | ||
| CONSUMER DISCRETIONARY - 2.0% | |||
| Auto Components - 0.0% | |||
| Metalsa SA de CV 4.9% 4/24/23 (d) | 2,553,000 | 2,642,355 | |
| Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) | EUR | 2,543,000 | 2,897,733 |
| 5,540,088 | |||
| Automobiles - 0.3% | |||
| General Motors Financial Co., Inc.: | |||
| 4% 1/15/25 | 11,521,000 | 12,610,427 | |
| 4.2% 3/1/21 | 16,735,000 | 16,826,301 | |
| 4.25% 5/15/23 | 3,453,000 | 3,719,503 | |
| 4.375% 9/25/21 | 30,556,000 | 31,429,869 | |
| Volkswagen Financial Services AG 3% 4/6/25 (Reg. S) | EUR | 1,300,000 | 1,734,827 |
| Volkswagen Group of America Finance LLC: | |||
| 2.9% 5/13/22 (d) | 22,286,000 | 23,013,017 | |
| 3.125% 5/12/23 (d) | 19,413,000 | 20,508,549 | |
| 109,842,493 | |||
| Distributors - 0.0% | |||
| CTP BV: | |||
| 0.625% 11/27/23 (Reg. S) | EUR | 2,950,000 | 3,531,540 |
| 2.125% 10/1/25 (Reg. S) | EUR | 2,500,000 | 3,117,364 |
| 6,648,904 | |||
| Diversified Consumer Services - 0.1% | |||
| Frontdoor, Inc. 6.75% 8/15/26 (d) | 2,244,000 | 2,401,080 | |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 9,925,000 | 10,135,906 | |
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 5,393,000 | 5,893,277 | |
| Laureate Education, Inc. 8.25% 5/1/25 (d) | 6,345,000 | 6,725,700 | |
| Service Corp. International 5.125% 6/1/29 | 4,485,000 | 4,983,956 | |
| Sotheby's 7.375% 10/15/27 (d)(f) | 8,353,000 | 8,770,650 | |
| 38,910,569 | |||
| Hotels, Restaurants & Leisure - 0.9% | |||
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
| 4% 10/15/30 (d) | 12,600,000 | 12,600,000 | |
| 4.25% 5/15/24 (d) | 963,000 | 982,568 | |
| 4.375% 1/15/28 (d) | 4,880,000 | 5,038,600 | |
| 5.75% 4/15/25 (d) | 1,735,000 | 1,852,390 | |
| Aramark Services, Inc.: | |||
| 4.75% 6/1/26 | 3,998,000 | 4,085,956 | |
| 5% 2/1/28 (d) | 32,664,000 | 34,305,366 | |
| 6.375% 5/1/25 (d) | 10,195,000 | 10,857,675 | |
| Boyd Gaming Corp.: | |||
| 4.75% 12/1/27 | 4,730,000 | 4,806,626 | |
| 6% 8/15/26 | 1,810,000 | 1,884,663 | |
| 6.375% 4/1/26 | 3,955,000 | 4,108,256 | |
| Caesars Entertainment, Inc.: | |||
| 6.25% 7/1/25 (d) | 9,230,000 | 9,843,703 | |
| 8.125% 7/1/27 (d) | 11,515,000 | 12,665,867 | |
| Caesars Resort Collection LLC 5.25% 10/15/25 (d) | 10,264,000 | 10,264,000 | |
| Carnival Corp. 7.625% 3/1/26 (d) | 1,725,000 | 1,819,875 | |
| Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 9,841,000 | 10,185,435 | |
| Golden Nugget, Inc. 6.75% 10/15/24 (d) | 8,960,000 | 8,758,400 | |
| Hilton Domestic Operating Co., Inc.: | |||
| 4.25% 9/1/24 | 4,638,000 | 4,687,302 | |
| 5.75% 5/1/28 (d) | 420,000 | 452,025 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
| 4.625% 4/1/25 | 1,644,000 | 1,682,009 | |
| 4.875% 4/1/27 | 975,000 | 1,016,330 | |
| InterContinental Hotel Group PLC: | |||
| 3.375% 10/8/28 (Reg. S) | GBP | 5,990,000 | 8,632,212 |
| 3.75% 8/14/25 (Reg. S) | GBP | 300,000 | 432,839 |
| Marriott Ownership Resorts, Inc.: | |||
| 4.75% 1/15/28 | 1,395,000 | 1,405,463 | |
| 6.125% 9/15/25 (d) | 1,365,000 | 1,453,875 | |
| McDonald's Corp.: | |||
| 3.5% 7/1/27 | 6,642,000 | 7,595,932 | |
| 3.6% 7/1/30 | 7,896,000 | 9,260,770 | |
| 4.2% 4/1/50 | 3,991,000 | 5,104,912 | |
| MCE Finance Ltd.: | |||
| 4.875% 6/6/25 (d) | 8,578,000 | 8,761,992 | |
| 5.375% 12/4/29 (d) | 2,707,000 | 2,770,313 | |
| 5.75% 7/21/28 (d) | 3,927,000 | 4,125,314 | |
| NagaCorp Ltd.: | |||
| 7.95% 7/6/24 (Reg. S) | 890,000 | 916,422 | |
| 9.375% 5/21/21 (d) | 1,450,000 | 1,471,750 | |
| NCL Corp. Ltd. 12.25% 5/15/24 (d) | 195,000 | 231,260 | |
| Royal Caribbean Cruises Ltd.: | |||
| 9.125% 6/15/23 (d) | 1,425,000 | 1,542,563 | |
| 10.875% 6/1/23 (d) | 1,070,000 | 1,210,438 | |
| 11.5% 6/1/25(d) | 5,120,000 | 5,996,800 | |
| Scientific Games Corp. 5% 10/15/25 (d) | 5,249,000 | 5,399,909 | |
| Stars Group Holdings BV 7% 7/15/26 (d) | 13,260,000 | 14,022,450 | |
| Station Casinos LLC: | |||
| 4.5% 2/15/28 (d) | 8,951,000 | 8,816,735 | |
| 5% 10/1/25 (d) | 5,044,000 | 5,081,830 | |
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (d) | 618,000 | 602,550 | |
| Times Square Hotel Trust 8.528% 8/1/26 (d) | 1,041,281 | 1,132,178 | |
| Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (d) | 3,284,000 | 3,390,730 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
| 5.25% 5/15/27 (d) | 4,848,000 | 4,896,480 | |
| 5.5% 3/1/25 (d) | 3,035,000 | 3,095,700 | |
| Wynn Macau Ltd.: | |||
| 4.875% 10/1/24 (d) | 4,625,000 | 4,640,898 | |
| 5.5% 1/15/26 (d) | 620,000 | 628,525 | |
| 5.5% 10/1/27 (d) | 4,970,000 | 5,008,828 | |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.75% 4/15/25 (d) | 4,320,000 | 4,659,768 | |
| Yum! Brands, Inc. 7.75% 4/1/25 (d) | 9,860,000 | 10,919,950 | |
| 275,106,432 | |||
| Household Durables - 0.0% | |||
| Adams Homes, Inc. 7.5% 2/15/25 (d) | 505,000 | 520,150 | |
| Newell Brands, Inc. 5.875% 4/1/36 | 625,000 | 750,000 | |
| 1,270,150 | |||
| Internet & Direct Marketing Retail - 0.1% | |||
| B2W Digital Lux SARL 4.375% 12/20/30 (d) | 1,175,000 | 1,212,588 | |
| Expedia, Inc.: | |||
| 6.25% 5/1/25 (d) | 575,000 | 656,938 | |
| 7% 5/1/25 (d) | 180,000 | 197,099 | |
| JD.com, Inc. 3.375% 1/14/30 | 1,200,000 | 1,304,971 | |
| Match Group Holdings II LLC 4.125% 8/1/30 (d) | 1,245,000 | 1,288,575 | |
| Meituan: | |||
| 2.125% 10/28/25 (d) | 1,060,000 | 1,072,137 | |
| 3.05% 10/28/30 (d) | 1,235,000 | 1,277,504 | |
| Prosus NV: | |||
| 3.68% 1/21/30 (d) | 560,000 | 610,400 | |
| 4.027% 8/3/50 (d) | 1,605,000 | 1,705,313 | |
| Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 5,547,000 | 5,990,760 | |
| 15,316,285 | |||
| Leisure Products - 0.1% | |||
| Hasbro, Inc.: | |||
| 2.6% 11/19/22 | 7,080,000 | 7,329,311 | |
| 3% 11/19/24 | 16,110,000 | 17,349,614 | |
| Mattel, Inc.: | |||
| 5.45% 11/1/41 | 420,000 | 445,200 | |
| 5.875% 12/15/27 (d) | 1,375,000 | 1,515,938 | |
| 6.2% 10/1/40 | 3,790,000 | 4,254,275 | |
| 6.75% 12/31/25 (d) | 8,392,000 | 8,825,866 | |
| 39,720,204 | |||
| Multiline Retail - 0.1% | |||
| John Lewis PLC 6.125% 1/21/25 | GBP | 5,229,000 | 7,758,434 |
| Marks & Spencer PLC: | |||
| 3.75% 5/19/26 (Reg. S) | GBP | 2,100,000 | 2,830,062 |
| 4.5% 7/10/27 (Reg. S) | GBP | 2,400,000 | 3,260,576 |
| Nordstrom, Inc. 8.75% 5/15/25 (d) | 245,000 | 273,175 | |
| 14,122,247 | |||
| Specialty Retail - 0.4% | |||
| AutoNation, Inc. 4.75% 6/1/30 | 2,958,000 | 3,556,058 | |
| AutoZone, Inc.: | |||
| 3.625% 4/15/25 | 4,471,000 | 4,980,050 | |
| 4% 4/15/30 | 20,750,000 | 24,419,994 | |
| L Brands, Inc.: | |||
| 5.25% 2/1/28 | 595,000 | 617,313 | |
| 6.625% 10/1/30 (d) | 920,000 | 1,012,000 | |
| 6.694% 1/15/27 | 835,000 | 891,363 | |
| 6.75% 7/1/36 | 4,915,000 | 5,303,088 | |
| 6.875% 11/1/35 | 615,000 | 669,581 | |
| Lowe's Companies, Inc. 4.5% 4/15/30 | 15,047,000 | 18,596,386 | |
| O'Reilly Automotive, Inc. 4.2% 4/1/30 | 4,640,000 | 5,566,875 | |
| TJX Companies, Inc.: | |||
| 3.75% 4/15/27 | 16,937,000 | 19,610,536 | |
| 3.875% 4/15/30 | 31,450,000 | 37,651,141 | |
| 122,874,385 | |||
| Textiles, Apparel & Luxury Goods - 0.0% | |||
| Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (d)(g) | 425,000 | 32,539 | |
| The William Carter Co. 5.625% 3/15/27 (d) | 2,460,000 | 2,592,225 | |
| Wolverine World Wide, Inc. 6.375% 5/15/25 (d) | 5,870,000 | 6,222,200 | |
| 8,846,964 | |||
| TOTAL CONSUMER DISCRETIONARY | 638,198,721 | ||
| CONSUMER STAPLES - 2.5% | |||
| Beverages - 1.2% | |||
| Anheuser-Busch InBev Finance, Inc.: | |||
| 4.7% 2/1/36 | 23,011,000 | 28,596,757 | |
| 4.9% 2/1/46 | 28,689,000 | 37,292,090 | |
| Anheuser-Busch InBev Worldwide, Inc.: | |||
| 3.5% 6/1/30 | 33,300,000 | 38,467,032 | |
| 4.35% 6/1/40 | 13,754,000 | 17,043,499 | |
| 4.5% 6/1/50 | 35,000,000 | 43,831,343 | |
| 4.6% 6/1/60 | 14,912,000 | 19,049,663 | |
| 4.75% 4/15/58 | 17,929,000 | 23,647,815 | |
| 5.45% 1/23/39 | 18,170,000 | 24,750,851 | |
| 5.55% 1/23/49 | 34,229,000 | 49,133,984 | |
| 5.8% 1/23/59 (Reg. S) | 36,395,000 | 55,541,147 | |
| Central American Bottling Corp. 5.75% 1/31/27 (d) | 868,000 | 923,335 | |
| Constellation Brands, Inc. 4.25% 5/1/23 | 3,316,000 | 3,608,138 | |
| The Coca-Cola Co.: | |||
| 3.375% 3/25/27 | 24,915,000 | 28,599,880 | |
| 3.45% 3/25/30 | 13,895,000 | 16,372,074 | |
| 386,857,608 | |||
| Food & Staples Retailing - 0.3% | |||
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 3.5% 2/15/23 (d) | 145,000 | 148,698 | |
| Performance Food Group, Inc.: | |||
| 5.5% 10/15/27 (d) | 4,857,000 | 5,166,634 | |
| 6.875% 5/1/25 (d) | 5,895,000 | 6,337,125 | |
| Sysco Corp.: | |||
| 5.65% 4/1/25 | 10,949,000 | 13,048,531 | |
| 5.95% 4/1/30 | 13,280,000 | 17,534,405 | |
| 6.6% 4/1/40 | 13,280,000 | 19,597,988 | |
| 6.6% 4/1/50 | 13,280,000 | 20,593,776 | |
| Tesco Corporate Treasury Services PLC 2.75% 4/27/30 (Reg. S) | GBP | 1,600,000 | 2,323,247 |
| U.S. Foods, Inc. 6.25% 4/15/25 (d) | 3,915,000 | 4,163,779 | |
| Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 6,403,000 | 6,548,608 | |
| 95,462,791 | |||
| Food Products - 0.3% | |||
| Camposol SA 6% 2/3/27 (d) | 605,000 | 644,325 | |
| Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (d) | 1,647,000 | 1,721,115 | |
| Darling Ingredients, Inc. 5.25% 4/15/27 (d) | 5,655,000 | 6,022,575 | |
| Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) | 1,207,000 | 1,349,200 | |
| H.J. Heinz Finance Co. 7.125% 8/1/39 (d) | 424,000 | 594,673 | |
| JBS Investments II GmbH 7% 1/15/26 (d) | 517,000 | 556,669 | |
| JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
| 5.75% 6/15/25 (d) | 17,610,000 | 18,160,313 | |
| 6.75% 2/15/28 (d) | 1,480,000 | 1,646,500 | |
| JBS U.S.A. Lux SA / JBS Food Co.: | |||
| 5.5% 1/15/30 (d) | 4,445,000 | 4,996,625 | |
| 6.5% 4/15/29 (d) | 12,545,000 | 14,364,025 | |
| Kraft Foods Group, Inc.: | |||
| 5% 6/4/42 | 424,000 | 485,319 | |
| 6.5% 2/9/40 | 424,000 | 561,013 | |
| Kraft Heinz Foods Co.: | |||
| 4.625% 10/1/39 (d) | 424,000 | 467,682 | |
| 5% 7/15/35 | 5,584,000 | 6,578,067 | |
| Lamb Weston Holdings, Inc. 4.875% 5/15/28 (d) | 7,465,000 | 8,286,150 | |
| MHP SA 7.75% 5/10/24 (d) | 900,000 | 980,156 | |
| Post Holdings, Inc.: | |||
| 4.625% 4/15/30 (d) | 2,555,000 | 2,667,420 | |
| 5% 8/15/26 (d) | 6,204,000 | 6,436,650 | |
| 5.5% 12/15/29 (d) | 6,955,000 | 7,546,175 | |
| 5.625% 1/15/28 (d) | 1,905,000 | 2,026,444 | |
| 5.75% 3/1/27 (d) | 8,629,000 | 9,082,023 | |
| TreeHouse Foods, Inc. 4% 9/1/28 | 3,650,000 | 3,705,480 | |
| 98,878,599 | |||
| Personal Products - 0.0% | |||
| Prestige Brands, Inc. 6.375% 3/1/24 (d) | 1,223,000 | 1,253,306 | |
| Tobacco - 0.7% | |||
| Altria Group, Inc.: | |||
| 2.85% 8/9/22 | 6,099,000 | 6,346,863 | |
| 3.875% 9/16/46 | 28,850,000 | 31,053,553 | |
| 4% 1/31/24 | 4,082,000 | 4,483,005 | |
| 4.25% 8/9/42 | 17,795,000 | 20,043,216 | |
| 4.5% 5/2/43 | 11,887,000 | 13,665,475 | |
| 4.8% 2/14/29 | 17,974,000 | 21,516,640 | |
| 5.375% 1/31/44 | 21,453,000 | 27,864,124 | |
| 5.95% 2/14/49 | 14,275,000 | 20,294,949 | |
| BAT Capital Corp. 4.7% 4/2/27 | 2,600,000 | 3,043,644 | |
| Imperial Tobacco Finance PLC: | |||
| 3.5% 7/26/26 (d) | 12,260,000 | 13,476,827 | |
| 3.75% 7/21/22 (d) | 12,933,000 | 13,457,474 | |
| 4.25% 7/21/25 (d) | 11,765,000 | 13,213,609 | |
| Reynolds American, Inc.: | |||
| 4.45% 6/12/25 | 9,399,000 | 10,728,176 | |
| 5.7% 8/15/35 | 2,699,000 | 3,410,488 | |
| 5.85% 8/15/45 | 22,737,000 | 29,050,855 | |
| 6.15% 9/15/43 | 2,874,000 | 3,757,251 | |
| 7.25% 6/15/37 | 3,221,000 | 4,432,037 | |
| 239,838,186 | |||
| TOTAL CONSUMER STAPLES | 822,290,490 | ||
| ENERGY - 5.7% | |||
| Energy Equipment & Services - 0.1% | |||
| ADES International Holding Ltd. 8.625% 4/24/24 (d) | 1,475,000 | 1,412,313 | |
| Borets Finance DAC 6% 9/17/26 (d) | 995,000 | 1,012,413 | |
| El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 12,030,000 | 12,342,138 | |
| Halliburton Co.: | |||
| 3.8% 11/15/25 | 382,000 | 422,406 | |
| 4.85% 11/15/35 | 5,447,000 | 6,182,288 | |
| Jonah Energy LLC 7.25% 10/15/25 (d)(g) | 4,725,000 | 94,500 | |
| Oleoducto Central SA 4% 7/14/27 (d) | 925,000 | 996,688 | |
| Southern Gas Corridor CJSC 6.875% 3/24/26 (d) | 1,621,000 | 1,947,632 | |
| State Oil Co. of Azerbaijan Republic 6.95% 3/18/30 (Reg. S) | 260,000 | 325,244 | |
| The Oil and Gas Holding Co.: | |||
| 7.5% 10/25/27 (d) | 1,352,000 | 1,500,720 | |
| 7.625% 11/7/24 (d) | 2,315,000 | 2,550,117 | |
| 8.375% 11/7/28 (d) | 485,000 | 558,205 | |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | 645,000 | 541,800 | |
| 29,886,464 | |||
| Oil, Gas & Consumable Fuels - 5.6% | |||
| Amerada Hess Corp.: | |||
| 7.125% 3/15/33 | 3,656,000 | 4,613,225 | |
| 7.3% 8/15/31 | 4,354,000 | 5,419,710 | |
| Apache Corp.: | |||
| 4.25% 1/15/30 | 840,000 | 835,800 | |
| 5.1% 9/1/40 | 3,600,000 | 3,694,500 | |
| 5.35% 7/1/49 | 775,000 | 751,750 | |
| 7.375% 8/15/47 | 765,000 | 814,725 | |
| Canadian Natural Resources Ltd.: | |||
| 3.9% 2/1/25 | 15,925,000 | 17,375,203 | |
| 5.85% 2/1/35 | 6,942,000 | 8,466,045 | |
| Cenovus Energy, Inc. 4.25% 4/15/27 | 22,916,000 | 24,423,649 | |
| Cheniere Energy Partners LP: | |||
| 5.25% 10/1/25 | 21,207,000 | 21,763,684 | |
| 5.625% 10/1/26 | 8,812,000 | 9,197,525 | |
| Cheniere Energy, Inc. 4.625% 10/15/28 (d) | 5,150,000 | 5,336,688 | |
| Citgo Holding, Inc. 9.25% 8/1/24 (d) | 1,165,000 | 1,039,763 | |
| Citgo Petroleum Corp.: | |||
| 6.25% 8/15/22 (d) | 13,505,000 | 13,183,581 | |
| 7% 6/15/25 (d) | 1,820,000 | 1,774,500 | |
| CNX Resources Corp. 6% 1/15/29 (d) | 1,090,000 | 1,100,900 | |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 2,999,000 | 3,450,512 | |
| Comstock Resources, Inc. 9.75% 8/15/26 | 7,539,000 | 7,973,246 | |
| Continental Resources, Inc. 5.75% 1/15/31 (d) | 3,610,000 | 3,871,725 | |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
| 5.625% 5/1/27 (d) | 15,138,000 | 14,559,516 | |
| 5.75% 4/1/25 | 12,254,000 | 12,162,095 | |
| 6.25% 4/1/23 | 9,895,000 | 9,939,824 | |
| CVR Energy, Inc.: | |||
| 5.25% 2/15/25 (d) | 7,785,000 | 6,850,800 | |
| 5.75% 2/15/28 (d) | 1,540,000 | 1,289,750 | |
| DCP Midstream LLC: | |||
| 4.75% 9/30/21 (d) | 7,220,000 | 7,319,275 | |
| 5.85% 5/21/43 (d)(e) | 16,107,000 | 12,885,600 | |
| DCP Midstream Operating LP: | |||
| 3.875% 3/15/23 | 3,524,000 | 3,612,100 | |
| 5.125% 5/15/29 | 11,466,000 | 12,146,736 | |
| 5.375% 7/15/25 | 5,606,000 | 6,047,473 | |
| 5.6% 4/1/44 | 65,000 | 60,775 | |
| 5.625% 7/15/27 | 5,780,000 | 6,256,850 | |
| Delek Overriding Royalty 7.494% 12/30/23 (Reg. S) (d) | 1,585,000 | 1,585,000 | |
| DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (e) | 1,302,087 | 857,546 | |
| Duke Energy Field Services: | |||
| 6.45% 11/3/36 (d) | 8,754,000 | 8,841,540 | |
| 8.125% 8/16/30 | 286,000 | 346,060 | |
| Ecopetrol SA: | |||
| 5.875% 5/28/45 | 505,000 | 598,652 | |
| 6.875% 4/29/30 | 505,000 | 638,320 | |
| EG Global Finance PLC: | |||
| 6.75% 2/7/25 (d) | 5,870,000 | 6,075,450 | |
| 8.5% 10/30/25 (d) | 8,795,000 | 9,476,173 | |
| Empresa Nacional de Petroleo 4.375% 10/30/24 (d) | 5,762,000 | 6,266,175 | |
| Enable Midstream Partners LP 3.9% 5/15/24 (e) | 2,707,000 | 2,721,394 | |
| Enbridge Energy Partners LP 4.2% 9/15/21 | 8,493,000 | 8,662,642 | |
| Enbridge, Inc.: | |||
| 4% 10/1/23 | 9,942,000 | 10,770,100 | |
| 4.25% 12/1/26 | 4,925,000 | 5,700,166 | |
| Endeavor Energy Resources LP/EER Finance, Inc.: | |||
| 5.5% 1/30/26 (d) | 410,000 | 421,788 | |
| 5.75% 1/30/28 (d) | 4,367,000 | 4,644,305 | |
| 6.625% 7/15/25 (d) | 1,277,000 | 1,361,129 | |
| Energy Transfer Partners LP: | |||
| 3.75% 5/15/30 | 8,703,000 | 9,025,352 | |
| 4.2% 9/15/23 | 3,683,000 | 3,921,259 | |
| 4.25% 3/15/23 | 3,594,000 | 3,782,738 | |
| 4.5% 4/15/24 | 4,042,000 | 4,356,671 | |
| 4.95% 6/15/28 | 12,566,000 | 14,050,853 | |
| 5% 5/15/50 | 19,455,000 | 20,635,833 | |
| 5.25% 4/15/29 | 6,576,000 | 7,442,425 | |
| 5.8% 6/15/38 | 7,006,000 | 7,740,538 | |
| 6% 6/15/48 | 4,563,000 | 5,129,749 | |
| 6.25% 4/15/49 | 4,516,000 | 5,277,381 | |
| EQM Midstream Partners LP 6.5% 7/1/27 (d) | 2,840,000 | 3,131,100 | |
| Exxon Mobil Corp. 3.482% 3/19/30 | 61,580,000 | 71,198,213 | |
| FEL Energy VI SARL 5.75% 12/1/40 (d)(f) | 770,000 | 810,040 | |
| Galaxy Pipeline Assets BidCo Ltd. 2.625% 3/31/36 (d) | 1,570,000 | 1,621,025 | |
| GeoPark Ltd. 6.5% 9/21/24 (d) | 1,345,000 | 1,370,395 | |
| Georgian Oil & Gas Corp. 6.75% 4/26/21 (d) | 1,134,000 | 1,148,175 | |
| Global Partners LP/GLP Finance Corp.: | |||
| 6.875% 1/15/29 (d) | 5,155,000 | 5,509,922 | |
| 7% 8/1/27 | 5,189,000 | 5,542,786 | |
| Hess Corp.: | |||
| 4.3% 4/1/27 | 3,221,000 | 3,478,049 | |
| 5.6% 2/15/41 | 5,395,000 | 6,350,329 | |
| 5.8% 4/1/47 | 15,757,000 | 19,499,909 | |
| Hess Midstream Partners LP: | |||
| 5.125% 6/15/28 (d) | 4,372,000 | 4,484,011 | |
| 5.625% 2/15/26 (d) | 9,327,000 | 9,630,128 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (d) | 3,964,000 | 3,864,900 | |
| Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 6,695,000 | 6,591,897 | |
| Indika Energy Capital IV Pte Ltd. 8.25% 10/22/25 (d) | 935,000 | 1,007,463 | |
| KazMunaiGaz National Co.: | |||
| 3.5% 4/14/33 (d) | 915,000 | 993,233 | |
| 4.75% 4/24/25 (d) | 283,000 | 319,436 | |
| 5.75% 4/19/47 (d) | 460,000 | 607,344 | |
| Kinder Morgan Energy Partners LP: | |||
| 3.45% 2/15/23 | 6,689,000 | 7,042,934 | |
| 3.5% 3/1/21 | 7,224,000 | 7,241,407 | |
| 5.5% 3/1/44 | 27,364,000 | 34,062,816 | |
| 6.55% 9/15/40 | 1,203,000 | 1,597,173 | |
| Kinder Morgan, Inc.: | |||
| 5% 2/15/21 (d) | 6,757,000 | 6,792,916 | |
| 5.05% 2/15/46 | 3,092,000 | 3,722,018 | |
| 5.55% 6/1/45 | 7,786,000 | 9,844,739 | |
| Kosmos Energy Ltd. 7.125% 4/4/26 (d) | 4,270,000 | 3,843,000 | |
| Leviathan Bond Ltd.: | |||
| 5.75% 6/30/23 (Reg. S) (d) | 990,000 | 1,045,737 | |
| 6.125% 6/30/25 (Reg. S) (d) | 1,010,000 | 1,088,275 | |
| Marathon Petroleum Corp. 5.125% 3/1/21 | 6,484,000 | 6,557,653 | |
| Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (d) | 290,000 | 303,775 | |
| Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (d) | 945,000 | 980,360 | |
| MEG Energy Corp. 7.125% 2/1/27 (d) | 4,385,000 | 4,297,300 | |
| MPLX LP: | |||
| 3 month U.S. LIBOR + 1.100% 1.3418% 9/9/22 (e)(h) | 8,773,000 | 8,774,277 | |
| 4.5% 7/15/23 | 6,299,000 | 6,828,273 | |
| 4.8% 2/15/29 | 3,672,000 | 4,319,540 | |
| 4.875% 12/1/24 | 8,532,000 | 9,679,829 | |
| 5.5% 2/15/49 | 11,018,000 | 13,696,213 | |
| NAK Naftogaz Ukraine: | |||
| 7.375% 7/19/22 (Reg. S) | 1,330,000 | 1,366,991 | |
| 7.625% 11/8/26 (d) | 565,000 | 570,650 | |
| New Fortress Energy LLC 6.75% 9/15/25 (d) | 9,007,000 | 9,569,938 | |
| Nostrum Oil & Gas Finance BV 8% 7/25/22 (d)(g) | 7,356,000 | 1,912,560 | |
| Occidental Petroleum Corp.: | |||
| 2.7% 8/15/22 | 5,018,000 | 4,944,235 | |
| 2.9% 8/15/24 | 18,712,000 | 17,448,940 | |
| 3.2% 8/15/26 | 2,231,000 | 1,964,842 | |
| 3.4% 4/15/26 | 2,890,000 | 2,586,550 | |
| 3.5% 8/15/29 | 11,397,000 | 9,972,375 | |
| 4.2% 3/15/48 | 2,895,000 | 2,330,475 | |
| 4.3% 8/15/39 | 2,539,000 | 2,094,675 | |
| 4.4% 4/15/46 | 4,474,000 | 3,766,616 | |
| 4.4% 8/15/49 | 4,310,000 | 3,501,875 | |
| 4.5% 7/15/44 | 30,708,000 | 25,334,100 | |
| 5.55% 3/15/26 | 22,157,000 | 22,121,770 | |
| 6.2% 3/15/40 | 1,475,000 | 1,408,625 | |
| 6.45% 9/15/36 | 24,061,000 | 23,514,815 | |
| 6.6% 3/15/46 | 18,160,000 | 17,751,400 | |
| 7.5% 5/1/31 | 31,005,000 | 32,594,006 | |
| 7.875% 9/15/31 | 935,000 | 1,000,179 | |
| 8.875% 7/15/30 | 3,205,000 | 3,617,644 | |
| PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | 6,120,000 | 6,089,400 | |
| Pemex Project Funding Master Trust: | |||
| 6.625% 6/15/35 | 5,003,000 | 4,621,521 | |
| 8.625% 2/1/22 | 1,485,000 | 1,522,125 | |
| Petrobras Global Finance BV: | |||
| 5.093% 1/15/30 | 99,848,000 | 109,698,005 | |
| 5.75% 2/1/29 | 840,000 | 967,838 | |
| 6.75% 6/3/50 | 1,010,000 | 1,188,417 | |
| 6.9% 3/19/49 | 540,000 | 651,699 | |
| 7.25% 3/17/44 | 28,700,000 | 35,579,031 | |
| 7.375% 1/17/27 | 430,000 | 531,588 | |
| 8.75% 5/23/26 | 1,984,000 | 2,573,248 | |
| Petrobras International Finance Co. Ltd. 6.875% 1/20/40 | 1,640,000 | 1,971,280 | |
| Petroleos de Venezuela SA: | |||
| 5.375% 4/12/27 (g) | 621,100 | 19,875 | |
| 6% 5/16/24 (d)(g) | 3,207,669 | 102,645 | |
| 6% 11/15/26 (d)(g) | 2,790,167 | 90,680 | |
| 12.75% 2/17/22 (d)(g) | 172,000 | 5,504 | |
| Petroleos Mexicanos: | |||
| 3 month U.S. LIBOR + 3.650% 3.9003% 3/11/22 (e)(h) | 1,125,000 | 1,125,000 | |
| 2.5% 11/24/22 (Reg. S) | EUR | 1,954,000 | 2,295,138 |
| 2.75% 4/21/27 (Reg. S) | EUR | 2,345,000 | 2,505,272 |
| 3.5% 1/30/23 | 1,850,000 | 1,843,641 | |
| 3.625% 11/24/25 (Reg. S) | EUR | 1,421,000 | 1,633,065 |
| 3.75% 2/21/24 (Reg. S) | EUR | 8,001,000 | 9,466,448 |
| 4.5% 1/23/26 | 22,915,000 | 21,643,218 | |
| 4.875% 1/24/22 | 1,700,000 | 1,742,500 | |
| 4.875% 1/18/24 | 6,441,000 | 6,536,407 | |
| 5.375% 3/13/22 | 770,000 | 786,844 | |
| 5.95% 1/28/31 | 60,492,000 | 56,225,427 | |
| 6.35% 2/12/48 | 43,373,000 | 36,331,667 | |
| 6.375% 2/4/21 | 325,000 | 326,219 | |
| 6.49% 1/23/27 | 36,590,000 | 36,590,000 | |
| 6.5% 3/13/27 | 58,538,000 | 58,446,534 | |
| 6.5% 6/2/41 | 380,000 | 327,714 | |
| 6.75% 9/21/47 | 31,543,000 | 27,158,523 | |
| 6.84% 1/23/30 | 80,806,000 | 78,870,696 | |
| 6.875% 10/16/25 (d) | 1,700,000 | 1,776,517 | |
| 6.95% 1/28/60 | 23,467,000 | 20,122,953 | |
| 7.69% 1/23/50 | 54,230,000 | 49,905,158 | |
| Petronas Capital Ltd. 3.5% 4/21/30 (d) | 625,000 | 715,287 | |
| Phillips 66 Co.: | |||
| 3.7% 4/6/23 | 1,863,000 | 1,993,246 | |
| 3.85% 4/9/25 | 2,401,000 | 2,685,949 | |
| Plains All American Pipeline LP/PAA Finance Corp.: | |||
| 3.55% 12/15/29 | 4,919,000 | 5,042,024 | |
| 3.6% 11/1/24 | 4,912,000 | 5,128,182 | |
| 3.65% 6/1/22 | 4,550,000 | 4,673,402 | |
| PT Adaro Indonesia 4.25% 10/31/24 (d) | 1,630,000 | 1,665,147 | |
| Rattler Midstream LP 5.625% 7/15/25 (d) | 8,035,000 | 8,481,947 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 7,228,000 | 7,571,404 | |
| Rockies Express Pipeline LLC 6.875% 4/15/40 (d) | 990,000 | 1,049,400 | |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30 (d) | 31,000,000 | 36,168,508 | |
| Sanchez Energy Corp. 7.25% 2/15/23 (c)(d)(g) | 7,883,000 | 1 | |
| Saudi Arabian Oil Co.: | |||
| 1.625% 11/24/25 (d) | 645,000 | 656,616 | |
| 3.5% 4/16/29 (d) | 5,525,000 | 6,112,031 | |
| 4.25% 4/16/39 (d) | 2,620,000 | 3,049,844 | |
| 4.375% 4/16/49 (d) | 1,495,000 | 1,811,957 | |
| Sibur Securities DAC 2.95% 7/8/25 (d) | 610,000 | 625,250 | |
| Sinopec Group Overseas Development Ltd. 2.7% 5/13/30 (d) | 600,000 | 620,813 | |
| Southwestern Energy Co. 6.45% 1/23/25 (e) | 21,859,000 | 22,296,180 | |
| Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 32,027,000 | 34,106,709 | |
| Sunoco LP/Sunoco Finance Corp.: | |||
| 4.5% 5/15/29 (d) | 5,865,000 | 6,062,944 | |
| 5.5% 2/15/26 | 3,275,000 | 3,365,881 | |
| 5.875% 3/15/28 | 2,625,000 | 2,808,750 | |
| 6% 4/15/27 | 125,000 | 133,875 | |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 5.5% 1/15/28 (d) | 285,000 | 271,463 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
| 4.875% 2/1/31 (d) | 6,545,000 | 6,962,244 | |
| 5.125% 2/1/25 | 6,329,000 | 6,487,225 | |
| 5.5% 3/1/30 (d) | 1,270,000 | 1,377,467 | |
| 5.875% 4/15/26 | 3,705,000 | 3,899,513 | |
| Tecpetrol SA 4.875% 12/12/22 (d) | 265,000 | 256,093 | |
| Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (d) | 1,162,000 | 1,209,933 | |
| The Williams Companies, Inc.: | |||
| 3.5% 11/15/30 | 32,834,000 | 36,352,193 | |
| 4.55% 6/24/24 | 21,661,000 | 24,332,884 | |
| 5.75% 6/24/44 | 12,223,000 | 15,360,993 | |
| Transcontinental Gas Pipe Line Co. LLC: | |||
| 3.25% 5/15/30 (d) | 3,952,000 | 4,348,707 | |
| 3.95% 5/15/50 (d) | 12,733,000 | 14,072,547 | |
| Transportadora de Gas del Sur SA 6.75% 5/2/25 (d) | 1,553,000 | 1,359,846 | |
| Tullow Oil PLC: | |||
| 6.25% 4/15/22 (d) | 7,035,000 | 5,276,250 | |
| 6.25% 4/15/22 (Reg. S) | 1,470,000 | 1,102,500 | |
| Valero Energy Corp.: | |||
| 2.7% 4/15/23 | 6,494,000 | 6,750,552 | |
| 2.85% 4/15/25 | 3,736,000 | 3,923,828 | |
| Viper Energy Partners LP 5.375% 11/1/27 (d) | 7,056,000 | 7,450,783 | |
| Western Gas Partners LP: | |||
| 3.95% 6/1/25 | 4,286,000 | 4,264,570 | |
| 4.1% 2/1/25 | 4,380,000 | 4,370,320 | |
| 4.65% 7/1/26 | 6,704,000 | 6,857,388 | |
| 4.75% 8/15/28 | 3,701,000 | 3,830,535 | |
| 5.05% 2/1/30 | 7,360,000 | 7,860,811 | |
| 5.3% 3/1/48 | 2,205,000 | 1,973,475 | |
| 6.25% 2/1/50 | 775,000 | 771,125 | |
| Williams Partners LP: | |||
| 3.9% 1/15/25 | 16,989,000 | 18,750,757 | |
| 4% 9/15/25 | 1,911,000 | 2,139,612 | |
| 4.3% 3/4/24 | 26,077,000 | 28,615,963 | |
| 4.5% 11/15/23 | 4,667,000 | 5,154,322 | |
| YPF SA: | |||
| 8.5% 3/23/21 (Reg. S) | 4,650,000 | 4,358,503 | |
| 8.5% 3/23/25 (d) | 2,099,000 | 1,605,525 | |
| 8.75% 4/4/24 (d) | 7,214,000 | 5,811,779 | |
| 1,822,053,465 | |||
| TOTAL ENERGY | 1,851,939,929 | ||
| FINANCIALS - 13.3% | |||
| Banks - 4.9% | |||
| ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (e) | 3,200,000 | 3,404,954 | |
| AIB Group PLC 1.875% 11/19/29 (Reg. S) (e) | EUR | 2,400,000 | 2,892,900 |
| Alpha Bank AE 4.25% 2/13/30 (Reg. S) (e) | EUR | 1,350,000 | 1,460,563 |
| Banco de Reservas de La Republica Dominicana 7% 2/1/23 (d) | 262,000 | 269,123 | |
| Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (g) | EUR | 1,300,000 | 201,592 |
| Banco Macro SA 6.75% 11/4/26 (d)(e) | 1,855,000 | 1,458,494 | |
| Bank Ireland Group PLC: | |||
| 2.375% 10/14/29 (Reg. S) (e) | EUR | 3,900,000 | 4,745,064 |
| 3.125% 9/19/27 (Reg. S) (e) | GBP | 2,600,000 | 3,500,554 |
| Bank of America Corp.: | |||
| 2.496% 2/13/31 (e) | 10,000,000 | 10,574,596 | |
| 3.004% 12/20/23 (e) | 32,898,000 | 34,560,742 | |
| 3.3% 1/11/23 | 574,000 | 608,823 | |
| 3.419% 12/20/28 (e) | 14,844,000 | 16,703,527 | |
| 3.5% 4/19/26 | 13,098,000 | 14,853,834 | |
| 3.705% 4/24/28 (e) | 20,736,000 | 23,648,498 | |
| 3.864% 7/23/24 (e) | 43,427,000 | 47,114,336 | |
| 3.95% 4/21/25 | 10,930,000 | 12,257,402 | |
| 4.1% 7/24/23 | 7,314,000 | 8,006,802 | |
| 4.2% 8/26/24 | 25,822,000 | 28,889,884 | |
| 4.25% 10/22/26 | 9,380,000 | 10,947,053 | |
| 4.45% 3/3/26 | 4,916,000 | 5,737,237 | |
| Barclays Bank PLC 1.7% 5/12/22 | 11,119,000 | 11,316,140 | |
| Barclays PLC: | |||
| 2% 2/7/28 (Reg. S) (e) | EUR | 2,350,000 | 2,862,883 |
| 2.852% 5/7/26 (e) | 31,500,000 | 33,437,258 | |
| 3.25% 1/12/21 | 13,452,000 | 13,492,380 | |
| 3.932% 5/7/25 (e) | 5,127,000 | 5,580,091 | |
| 4.375% 1/12/26 | 15,982,000 | 18,243,099 | |
| 5.088% 6/20/30 (e) | 26,155,000 | 30,823,079 | |
| 5.2% 5/12/26 | 12,530,000 | 14,481,798 | |
| Biz Finance PLC 9.625% 4/27/22 (d) | 870,750 | 903,403 | |
| BNP Paribas SA 2.219% 6/9/26 (d)(e) | 28,625,000 | 29,828,546 | |
| BTA Bank JSC 5.5% 12/21/22 (d) | 1,794,268 | 1,799,315 | |
| CIT Group, Inc. 3.929% 6/19/24 (e) | 4,855,000 | 5,122,511 | |
| Citigroup, Inc.: | |||
| 2.666% 1/29/31 (e) | 10,000,000 | 10,742,159 | |
| 2.75% 4/25/22 | 15,927,000 | 16,422,528 | |
| 3.142% 1/24/23 (e) | 14,530,000 | 14,965,982 | |
| 3.352% 4/24/25 (e) | 17,534,000 | 19,004,449 | |
| 4.05% 7/30/22 | 3,378,000 | 3,576,502 | |
| 4.3% 11/20/26 | 7,797,000 | 9,021,567 | |
| 4.4% 6/10/25 | 31,901,000 | 36,533,890 | |
| 4.412% 3/31/31 (e) | 42,031,000 | 50,706,359 | |
| 4.45% 9/29/27 | 19,254,000 | 22,579,610 | |
| 4.6% 3/9/26 | 8,567,000 | 10,024,801 | |
| 5.5% 9/13/25 | 14,874,000 | 17,903,209 | |
| Citizens Financial Group, Inc. 2.638% 9/30/32 (d) | 10,185,000 | 10,618,451 | |
| Commonwealth Bank of Australia 3.61% 9/12/34 (d)(e) | 9,644,000 | 10,540,900 | |
| Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 19,558,000 | 20,691,038 | |
| CYBG PLC 3.125% 6/22/25 (Reg. S) (e) | GBP | 1,489,000 | 2,047,213 |
| Danske Bank A/S: | |||
| 0.875% 5/22/23 (Reg. S) | EUR | 2,150,000 | 2,616,202 |
| 2.25% 1/14/28 (Reg. S) (e) | GBP | 3,450,000 | 4,768,311 |
| 5.375% 1/12/24 (Reg. S) | 6,050,000 | 6,817,001 | |
| Development Bank of Mongolia 7.25% 10/23/23 (d) | 306,000 | 326,942 | |
| Discover Bank 4.2% 8/8/23 | 11,373,000 | 12,447,831 | |
| Fifth Third Bancorp 8.25% 3/1/38 | 2,973,000 | 5,021,383 | |
| Georgia Bank Joint Stock Co. 6% 7/26/23 (d) | 2,613,000 | 2,743,650 | |
| HAT Holdings I LLC/HAT Holdings II LLC 5.25% 7/15/24 (d) | 670,000 | 696,800 | |
| HSBC Holdings PLC: | |||
| 1.645% 4/18/26 (e) | 1,200,000 | 1,216,940 | |
| 4.25% 3/14/24 | 3,945,000 | 4,325,778 | |
| 4.95% 3/31/30 | 5,616,000 | 6,983,274 | |
| Huntington Bancshares, Inc. 7% 12/15/20 | 1,816,000 | 1,820,224 | |
| Intesa Sanpaolo SpA: | |||
| 3.875% 7/14/27 (d) | 5,666,000 | 6,228,849 | |
| 5.017% 6/26/24 (d) | 4,094,000 | 4,470,925 | |
| 5.71% 1/15/26 (d) | 27,047,000 | 30,660,413 | |
| Itau Unibanco Holding SA 6.2% 12/21/21 (Reg. S) | 624,000 | 653,765 | |
| JPMorgan Chase & Co.: | |||
| 2.739% 10/15/30 (e) | 10,000,000 | 10,851,393 | |
| 2.956% 5/13/31 (e) | 16,800,000 | 18,277,530 | |
| 3.25% 9/23/22 | 11,737,000 | 12,357,923 | |
| 3.797% 7/23/24 (e) | 44,260,000 | 47,947,727 | |
| 3.875% 9/10/24 | 22,801,000 | 25,404,144 | |
| 4.125% 12/15/26 | 20,651,000 | 24,137,862 | |
| 4.452% 12/5/29 (e) | 40,200,000 | 48,760,036 | |
| 4.493% 3/24/31 (e) | 60,900,000 | 74,658,803 | |
| National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S) | 200,000 | 201,500 | |
| NatWest Markets PLC 2.375% 5/21/23 (d) | 33,596,000 | 34,950,927 | |
| Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (e) | EUR | 11,584,000 | 14,025,244 |
| Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (d) | 488,750 | 508,758 | |
| Rabobank Nederland 4.375% 8/4/25 | 16,524,000 | 18,883,642 | |
| Royal Bank of Scotland Group PLC: | |||
| 3.073% 5/22/28 (e) | 18,007,000 | 19,441,731 | |
| 3.622% 8/14/30 (Reg. S) (e) | GBP | 1,250,000 | 1,779,855 |
| 4.8% 4/5/26 | 15,141,000 | 17,761,950 | |
| 5.125% 5/28/24 | 44,276,000 | 49,408,434 | |
| 6% 12/19/23 | 74,798,000 | 84,959,059 | |
| 6.1% 6/10/23 | 26,301,000 | 29,401,160 | |
| 6.125% 12/15/22 | 27,112,000 | 29,794,195 | |
| T.C. Ziraat Bankasi A/S 5.125% 5/3/22 (d) | 1,330,000 | 1,323,350 | |
| Turkiye Garanti Bankasi A/S 6.25% 4/20/21 (Reg. S) | 2,600,000 | 2,630,063 | |
| Turkiye Vakiflar Bankasi TAO 5.75% 1/30/23 (d) | 1,452,000 | 1,446,555 | |
| UniCredit SpA: | |||
| 2.731% 1/15/32 (Reg. S) (e) | EUR | 5,050,000 | 6,080,818 |
| 6.572% 1/14/22 (d) | 23,534,000 | 24,883,675 | |
| Wells Fargo & Co.: | |||
| 2.406% 10/30/25 (e) | 18,129,000 | 19,090,022 | |
| 2.572% 2/11/31 (e) | 10,000,000 | 10,600,964 | |
| 4.478% 4/4/31 (e) | 58,414,000 | 71,130,571 | |
| 5.013% 4/4/51 (e) | 83,211,000 | 118,535,498 | |
| Westpac Banking Corp. 4.11% 7/24/34 (e) | 13,519,000 | 15,348,875 | |
| 1,581,485,691 | |||
| Capital Markets - 3.6% | |||
| Affiliated Managers Group, Inc.: | |||
| 3.5% 8/1/25 | 13,384,000 | 14,847,189 | |
| 4.25% 2/15/24 | 9,340,000 | 10,275,606 | |
| Ares Capital Corp.: | |||
| 3.875% 1/15/26 | 47,916,000 | 50,343,270 | |
| 4.2% 6/10/24 | 31,505,000 | 33,512,407 | |
| Credit Suisse Group AG: | |||
| 2.593% 9/11/25 (d)(e) | 38,976,000 | 41,120,760 | |
| 3.75% 3/26/25 | 12,391,000 | 13,752,405 | |
| 3.8% 6/9/23 | 23,347,000 | 25,126,764 | |
| 3.869% 1/12/29 (d)(e) | 11,793,000 | 13,351,181 | |
| 4.194% 4/1/31 (d)(e) | 37,508,000 | 44,201,211 | |
| 4.207% 6/12/24 (d)(e) | 18,061,000 | 19,578,280 | |
| 6.5% 8/8/23 (Reg. S) | 11,485,000 | 12,949,338 | |
| Deutsche Bank AG: | |||
| 4.1% 1/13/26 | 5,495,000 | 6,049,474 | |
| 4.5% 4/1/25 | 51,329,000 | 54,877,597 | |
| Deutsche Bank AG New York Branch: | |||
| 3.15% 1/22/21 | 18,290,000 | 18,345,967 | |
| 3.3% 11/16/22 | 30,321,000 | 31,586,658 | |
| 5% 2/14/22 | 29,755,000 | 31,108,585 | |
| 5.882% 7/8/31 (e) | 10,000,000 | 11,511,763 | |
| Goldman Sachs Group, Inc.: | |||
| 2.6% 2/7/30 | 10,000,000 | 10,750,567 | |
| 2.876% 10/31/22 (e) | 64,328,000 | 65,739,113 | |
| 3.2% 2/23/23 | 10,830,000 | 11,465,166 | |
| 3.691% 6/5/28 (e) | 128,004,000 | 146,403,280 | |
| 3.75% 5/22/25 | 12,741,000 | 14,262,414 | |
| 3.8% 3/15/30 | 70,690,000 | 82,644,892 | |
| 4.25% 10/21/25 | 5,020,000 | 5,763,744 | |
| 6.75% 10/1/37 | 6,976,000 | 10,676,162 | |
| Moody's Corp.: | |||
| 3.25% 1/15/28 | 7,339,000 | 8,304,354 | |
| 3.75% 3/24/25 | 20,324,000 | 22,836,247 | |
| 4.875% 2/15/24 | 6,892,000 | 7,765,509 | |
| Morgan Stanley: | |||
| 2.699% 1/22/31 (e) | 10,000,000 | 10,837,155 | |
| 3.125% 1/23/23 | 8,282,000 | 8,750,457 | |
| 3.125% 7/27/26 | 69,344,000 | 77,440,756 | |
| 3.622% 4/1/31 (e) | 39,278,000 | 45,693,659 | |
| 3.737% 4/24/24 (e) | 79,634,000 | 85,614,149 | |
| 3.95% 4/23/27 | 2,007,000 | 2,311,530 | |
| 4.431% 1/23/30 (e) | 14,132,000 | 17,212,641 | |
| 4.875% 11/1/22 | 16,717,000 | 18,066,204 | |
| 5% 11/24/25 | 27,517,000 | 32,794,764 | |
| 5.75% 1/25/21 | 12,664,000 | 12,764,172 | |
| MSCI, Inc. 4.75% 8/1/26 (d) | 2,641,000 | 2,740,038 | |
| State Street Corp. 2.825% 3/30/23 (e) | 2,663,000 | 2,750,728 | |
| UBS AG 4.75% 2/12/26 (Reg. S) (e) | EUR | 13,533,000 | 16,261,037 |
| UBS Group Funding Ltd. 4.125% 9/24/25 (d) | 12,029,000 | 13,754,921 | |
| 1,166,142,114 | |||
| Consumer Finance - 2.1% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 2.875% 8/14/24 | 22,114,000 | 22,628,494 | |
| 3.5% 5/26/22 | 4,764,000 | 4,899,724 | |
| 4.125% 7/3/23 | 13,016,000 | 13,798,485 | |
| 4.45% 4/3/26 | 10,546,000 | 11,349,871 | |
| 4.875% 1/16/24 | 16,603,000 | 17,882,023 | |
| 6.5% 7/15/25 | 13,775,000 | 15,921,657 | |
| Ally Financial, Inc.: | |||
| 1.45% 10/2/23 | 8,643,000 | 8,810,021 | |
| 3.05% 6/5/23 | 36,615,000 | 38,605,747 | |
| 5.125% 9/30/24 | 8,417,000 | 9,653,359 | |
| 5.75% 11/20/25 | 5,202,000 | 6,074,742 | |
| 5.8% 5/1/25 | 20,531,000 | 24,354,075 | |
| 8% 11/1/31 | 12,899,000 | 18,477,247 | |
| Capital One Financial Corp.: | |||
| 2.6% 5/11/23 | 29,071,000 | 30,476,125 | |
| 3.65% 5/11/27 | 52,443,000 | 59,559,844 | |
| 3.8% 1/31/28 | 20,732,000 | 23,811,602 | |
| Discover Financial Services: | |||
| 3.85% 11/21/22 | 22,201,000 | 23,646,790 | |
| 3.95% 11/6/24 | 9,389,000 | 10,405,126 | |
| 4.1% 2/9/27 | 15,432,000 | 17,582,558 | |
| 4.5% 1/30/26 | 15,184,000 | 17,443,825 | |
| 5.2% 4/27/22 | 7,992,000 | 8,481,553 | |
| Ford Motor Credit Co. LLC: | |||
| 4.063% 11/1/24 | 77,591,000 | 80,694,640 | |
| 4.535% 3/6/25 | GBP | 1,000,000 | 1,399,821 |
| 4.687% 6/9/25 | 4,000,000 | 4,250,000 | |
| 5.085% 1/7/21 | 9,629,000 | 9,653,073 | |
| 5.113% 5/3/29 | 4,745,000 | 5,119,855 | |
| 5.125% 6/16/25 | 2,970,000 | 3,206,709 | |
| 5.584% 3/18/24 | 22,436,000 | 24,090,655 | |
| 5.596% 1/7/22 | 19,922,000 | 20,494,758 | |
| Navient Corp.: | |||
| 7.25% 1/25/22 | 1,581,000 | 1,664,003 | |
| 7.25% 9/25/23 | 3,210,000 | 3,498,900 | |
| Springleaf Finance Corp.: | |||
| 6.875% 3/15/25 | 5,415,000 | 6,200,175 | |
| 7.125% 3/15/26 | 1,390,000 | 1,600,015 | |
| Synchrony Financial: | |||
| 2.85% 7/25/22 | 5,574,000 | 5,757,600 | |
| 3.75% 8/15/21 | 4,720,000 | 4,797,547 | |
| 3.95% 12/1/27 | 24,512,000 | 27,184,707 | |
| 4.25% 8/15/24 | 4,751,000 | 5,216,152 | |
| 4.375% 3/19/24 | 19,957,000 | 21,930,530 | |
| 5.15% 3/19/29 | 36,585,000 | 43,792,365 | |
| Toyota Motor Credit Corp. 2.9% 3/30/23 | 30,215,000 | 31,968,165 | |
| Unifin Financiera SAPI de CV: | |||
| 7% 1/15/25 (d) | 290,000 | 260,547 | |
| 7.25% 9/27/23 (d) | 30,000 | 27,975 | |
| 7.375% 2/12/26 (d) | 460,000 | 408,394 | |
| 687,079,454 | |||
| Diversified Financial Services - 0.7% | |||
| 1MDB Global Investments Ltd. 4.4% 3/9/23 | 9,800,000 | 9,833,688 | |
| Brixmor Operating Partnership LP: | |||
| 3.25% 9/15/23 | 16,257,000 | 17,032,577 | |
| 3.85% 2/1/25 | 9,126,000 | 9,879,853 | |
| 3.875% 8/15/22 | 13,396,000 | 13,931,952 | |
| 4.05% 7/1/30 | 19,581,000 | 22,092,312 | |
| 4.125% 6/15/26 | 15,162,000 | 16,827,787 | |
| 4.125% 5/15/29 | 18,497,000 | 21,077,184 | |
| Cimpor Financial Operations BV 5.75% 7/17/24 (d) | 1,302,000 | 1,048,110 | |
| Equitable Holdings, Inc. 3.9% 4/20/23 | 3,251,000 | 3,508,535 | |
| Financial & Risk U.S. Holdings, Inc. 6.25% 5/15/26 (d) | 1,150,000 | 1,227,625 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
| 4.75% 9/15/24 | 5,425,000 | 5,587,750 | |
| 5.25% 5/15/27 | 7,265,000 | 7,628,250 | |
| 6.25% 5/15/26 | 8,845,000 | 9,242,494 | |
| 6.375% 12/15/25 | 4,491,000 | 4,614,503 | |
| MDC GMTN BV 2.875% 11/7/29 (d) | 1,375,000 | 1,474,688 | |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (d) | 22,337,000 | 23,846,686 | |
| Pine Street Trust I 4.572% 2/15/29 (d) | 19,248,000 | 22,759,684 | |
| Pine Street Trust II 5.568% 2/15/49 (d) | 19,200,000 | 24,509,281 | |
| PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (d) | 620,000 | 639,569 | |
| Sasol Financing International PLC 4.5% 11/14/22 | 1,380,000 | 1,390,350 | |
| Sparc Em Spc 0% 12/5/22 (d) | 129,995 | 127,395 | |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) | 11,090,000 | 11,383,885 | |
| Voya Financial, Inc. 3.125% 7/15/24 | 8,794,000 | 9,485,487 | |
| 239,149,645 | |||
| Insurance - 2.0% | |||
| AIA Group Ltd.: | |||
| 3.2% 9/16/40 (d) | 13,571,000 | 14,484,600 | |
| 3.375% 4/7/30 (d) | 28,695,000 | 32,125,628 | |
| Alliant Holdings Intermediate LLC: | |||
| 4.25% 10/15/27 (d) | 816,000 | 828,240 | |
| 6.75% 10/15/27 (d) | 21,421,000 | 22,974,023 | |
| American International Group, Inc.: | |||
| 2.5% 6/30/25 | 55,000,000 | 59,064,653 | |
| 3.3% 3/1/21 | 6,125,000 | 6,154,033 | |
| 3.4% 6/30/30 | 55,000,000 | 62,694,752 | |
| 3.875% 1/15/35 | 12,130,000 | 14,644,329 | |
| 4.875% 6/1/22 | 11,590,000 | 12,354,285 | |
| AmWINS Group, Inc. 7.75% 7/1/26 (d) | 13,993,000 | 15,112,440 | |
| Cloverie PLC 4.5% 9/11/44 (Reg. S) (e) | 4,198,000 | 4,481,365 | |
| Demeter Investments BV 5.75% 8/15/50 (Reg. S) (e) | 1,250,000 | 1,413,280 | |
| Direct Line Insurance Group PLC 4% 6/5/32 (Reg. S) | GBP | 410,000 | 619,495 |
| Five Corners Funding Trust II 2.85% 5/15/30 (d) | 36,968,000 | 40,698,337 | |
| HUB International Ltd. 7% 5/1/26 (d) | 5,545,000 | 5,787,594 | |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (d) | 8,055,000 | 9,873,010 | |
| Marsh & McLennan Companies, Inc.: | |||
| 4.375% 3/15/29 | 12,747,000 | 15,567,867 | |
| 4.75% 3/15/39 | 5,849,000 | 7,907,142 | |
| 4.8% 7/15/21 | 4,517,000 | 4,594,907 | |
| Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (d) | 21,378,000 | 23,256,573 | |
| MetLife, Inc. 3.048% 12/15/22 (e) | 7,921,000 | 8,329,638 | |
| Metropolitan Life Global Funding I: | |||
| U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.58% 5/28/21 (d)(e)(h) | 97,491,000 | 97,653,810 | |
| 3% 1/10/23 (d) | 5,030,000 | 5,304,520 | |
| Pacific LifeCorp 5.125% 1/30/43 (d) | 21,516,000 | 25,985,678 | |
| Pension Insurance Corp. PLC 4.625% 5/7/31 (Reg. S) | GBP | 560,000 | 862,405 |
| Pricoa Global Funding I 5.375% 5/15/45 (e) | 11,144,000 | 12,170,699 | |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (d)(e) | 7,600,000 | 8,835,000 | |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (d) | 11,520,000 | 15,420,481 | |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (d) | 3,853,000 | 4,344,706 | |
| Unum Group: | |||
| 3.875% 11/5/25 | 13,752,000 | 15,083,883 | |
| 4% 3/15/24 | 12,741,000 | 13,817,895 | |
| 4% 6/15/29 | 15,636,000 | 17,816,254 | |
| 4.5% 3/15/25 | 26,906,000 | 29,981,300 | |
| 5.75% 8/15/42 | 16,274,000 | 19,836,682 | |
| USI, Inc. 6.875% 5/1/25 (d) | 13,552,000 | 13,890,800 | |
| 643,970,304 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| Starwood Property Trust, Inc. 4.75% 3/15/25 | 1,226,000 | 1,258,550 | |
| Thrifts & Mortgage Finance - 0.0% | |||
| Quicken Loans, Inc. 5.25% 1/15/28 (d) | 5,220,000 | 5,533,200 | |
| TOTAL FINANCIALS | 4,324,618,958 | ||
| HEALTH CARE - 1.8% | |||
| Biotechnology - 0.1% | |||
| AbbVie, Inc. 3.45% 3/15/22 | 30,800,000 | 31,839,770 | |
| Health Care Equipment & Supplies - 0.1% | |||
| Avantor Funding, Inc. 4.625% 7/15/28 (d) | 7,180,000 | 7,556,950 | |
| Hologic, Inc.: | |||
| 3.25% 2/15/29 (d) | 5,065,000 | 5,147,306 | |
| 4.625% 2/1/28 (d) | 443,000 | 471,241 | |
| Teleflex, Inc.: | |||
| 4.25% 6/1/28 (d) | 1,370,000 | 1,448,912 | |
| 4.875% 6/1/26 | 4,444,000 | 4,621,760 | |
| 19,246,169 | |||
| Health Care Providers & Services - 1.0% | |||
| Aetna, Inc. 2.75% 11/15/22 | 1,281,000 | 1,330,809 | |
| Anthem, Inc. 3.3% 1/15/23 | 4,104,000 | 4,346,443 | |
| Centene Corp.: | |||
| 3.375% 2/15/30 | 14,530,000 | 15,229,184 | |
| 4.25% 12/15/27 | 23,725,000 | 25,252,060 | |
| 4.625% 12/15/29 | 24,065,000 | 26,384,866 | |
| 4.75% 1/15/25 | 12,315,000 | 12,693,440 | |
| 5.375% 6/1/26 (d) | 4,270,000 | 4,488,838 | |
| 5.375% 8/15/26 (d) | 6,204,000 | 6,552,975 | |
| Cigna Corp.: | |||
| 3.05% 10/15/27 | 10,400,000 | 11,564,811 | |
| 4.375% 10/15/28 | 19,595,000 | 23,546,913 | |
| 4.8% 8/15/38 | 12,201,000 | 15,901,470 | |
| 4.9% 12/15/48 | 12,189,000 | 16,793,422 | |
| Community Health Systems, Inc.: | |||
| 6.25% 3/31/23 | 6,288,000 | 6,421,620 | |
| 8% 3/15/26 (d) | 5,305,000 | 5,572,903 | |
| 8.625% 1/15/24 (d) | 8,598,000 | 8,941,920 | |
| CVS Health Corp.: | |||
| 3% 8/15/26 | 2,303,000 | 2,536,365 | |
| 3.625% 4/1/27 | 7,027,000 | 7,980,057 | |
| 3.7% 3/9/23 | 2,473,000 | 2,645,541 | |
| 4.1% 3/25/25 | 11,596,000 | 13,132,403 | |
| 4.78% 3/25/38 | 18,481,000 | 23,423,536 | |
| DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (d) | 7,715,000 | 8,110,394 | |
| HCA Holdings, Inc.: | |||
| 4.75% 5/1/23 | 379,000 | 414,088 | |
| 5.875% 2/15/26 | 2,434,000 | 2,802,143 | |
| Molina Healthcare, Inc. 3.875% 11/15/30 (d) | 2,205,000 | 2,336,705 | |
| Radiology Partners, Inc. 9.25% 2/1/28 (d) | 5,605,000 | 6,109,450 | |
| Sabra Health Care LP: | |||
| 3.9% 10/15/29 | 342,000 | 353,889 | |
| 5.125% 8/15/26 | 4,710,000 | 5,195,673 | |
| Tenet Healthcare Corp.: | |||
| 4.625% 7/15/24 | 1,911,000 | 1,944,443 | |
| 4.625% 6/15/28 (d) | 1,710,000 | 1,765,575 | |
| 4.875% 1/1/26 (d) | 2,815,000 | 2,899,450 | |
| 5.125% 5/1/25 | 2,803,000 | 2,830,890 | |
| 6.125% 10/1/28 (d) | 10,220,000 | 10,360,525 | |
| 6.25% 2/1/27 (d) | 4,625,000 | 4,844,688 | |
| 6.75% 6/15/23 | 6,838,000 | 7,354,269 | |
| 7% 8/1/25 | 9,668,000 | 9,984,337 | |
| Toledo Hospital: | |||
| 5.325% 11/15/28 | 6,970,000 | 8,090,868 | |
| 6.015% 11/15/48 | 13,176,000 | 15,729,662 | |
| U.S. Renal Care, Inc. 10.625% 7/15/27 (d) | 2,825,000 | 3,121,625 | |
| Vizient, Inc. 6.25% 5/15/27 (d) | 375,000 | 399,844 | |
| 329,388,094 | |||
| Health Care Technology - 0.0% | |||
| IMS Health, Inc. 5% 5/15/27 (d) | 4,290,000 | 4,515,225 | |
| Life Sciences Tools & Services - 0.0% | |||
| Charles River Laboratories International, Inc.: | |||
| 4.25% 5/1/28 (d) | 515,000 | 542,681 | |
| 5.5% 4/1/26 (d) | 1,805,000 | 1,895,250 | |
| 2,437,931 | |||
| Pharmaceuticals - 0.6% | |||
| Bayer AG 2.375% 4/2/75 (Reg. S) (e) | EUR | 11,360,000 | 13,770,976 |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (d) | 17,706,000 | 20,259,837 | |
| Catalent Pharma Solutions 4.875% 1/15/26 (d) | 3,265,000 | 3,338,463 | |
| Elanco Animal Health, Inc.: | |||
| 4.912% 8/27/21 (e) | 3,218,000 | 3,298,772 | |
| 5.272% 8/28/23 (e) | 10,157,000 | 11,035,225 | |
| 5.9% 8/28/28 (e) | 4,279,000 | 5,022,690 | |
| Mylan NV 4.55% 4/15/28 | 13,507,000 | 16,015,369 | |
| Teva Pharmaceutical Finance Co. BV: | |||
| 2.95% 12/18/22 | 669,000 | 667,328 | |
| 3.65% 11/10/21 | 221,000 | 222,658 | |
| Teva Pharmaceutical Finance Netherlands III BV: | |||
| 1.25% 3/31/23 (Reg. S) | EUR | 2,100,000 | 2,417,311 |
| 2.2% 7/21/21 | 2,475,000 | 2,475,866 | |
| 2.8% 7/21/23 | 14,714,000 | 14,457,535 | |
| Utah Acquisition Sub, Inc.: | |||
| 3.15% 6/15/21 | 13,528,000 | 13,696,050 | |
| 3.95% 6/15/26 | 7,088,000 | 8,087,090 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| 5.5% 11/1/25 (d) | 9,132,000 | 9,406,873 | |
| 5.75% 8/15/27 (d) | 4,020,000 | 4,321,500 | |
| 6.125% 4/15/25 (d) | 5,375,000 | 5,530,284 | |
| 7% 3/15/24 (d) | 2,500,000 | 2,578,125 | |
| 9% 12/15/25 (d) | 618,000 | 678,997 | |
| Viatris, Inc.: | |||
| 1.125% 6/22/22 (d) | 11,566,000 | 11,669,406 | |
| 1.65% 6/22/25 (d) | 3,717,000 | 3,828,175 | |
| 2.7% 6/22/30 (d) | 18,896,000 | 20,038,783 | |
| 3.85% 6/22/40 (d) | 8,232,000 | 9,272,754 | |
| 4% 6/22/50 (d) | 14,216,000 | 16,195,034 | |
| Zoetis, Inc. 3.25% 2/1/23 | 3,117,000 | 3,283,921 | |
| 201,569,022 | |||
| TOTAL HEALTH CARE | 588,996,211 | ||
| INDUSTRIALS - 1.7% | |||
| Aerospace & Defense - 0.6% | |||
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (d) | 5,811,000 | 6,472,171 | |
| BBA U.S. Holdings, Inc. 5.375% 5/1/26 (d) | 6,329,000 | 6,503,048 | |
| Bombardier, Inc.: | |||
| 6% 10/15/22 (d) | 2,325,000 | 2,209,215 | |
| 6.125% 1/15/23 (d) | 10,365,000 | 9,670,545 | |
| 7.5% 12/1/24 (d) | 470,000 | 420,829 | |
| 7.5% 3/15/25 (d) | 4,284,000 | 3,694,950 | |
| 7.875% 4/15/27 (d) | 2,210,000 | 1,884,025 | |
| BWX Technologies, Inc.: | |||
| 4.125% 6/30/28 (d) | 4,465,000 | 4,649,181 | |
| 5.375% 7/15/26 (d) | 6,413,000 | 6,661,504 | |
| Howmet Aerospace, Inc.: | |||
| 5.95% 2/1/37 | 240,000 | 282,576 | |
| 6.75% 1/15/28 | 285,000 | 336,300 | |
| Moog, Inc. 4.25% 12/15/27 (d) | 5,155,000 | 5,311,454 | |
| Rolls-Royce PLC: | |||
| 3.375% 6/18/26 | GBP | 6,820,000 | 8,892,057 |
| 5.75% 10/15/27 (Reg. S) | GBP | 110,000 | 158,996 |
| The Boeing Co.: | |||
| 5.04% 5/1/27 | 13,707,000 | 15,700,047 | |
| 5.15% 5/1/30 | 13,707,000 | 16,090,822 | |
| 5.705% 5/1/40 | 13,710,000 | 17,306,394 | |
| 5.805% 5/1/50 | 13,700,000 | 18,098,853 | |
| 5.93% 5/1/60 | 13,710,000 | 18,624,491 | |
| TransDigm UK Holdings PLC 6.875% 5/15/26 | 1,760,000 | 1,867,034 | |
| TransDigm, Inc.: | |||
| 5.5% 11/15/27 | 23,397,000 | 24,157,403 | |
| 6.25% 3/15/26 (d) | 12,372,000 | 13,114,320 | |
| 6.375% 6/15/26 | 1,655,000 | 1,717,476 | |
| 6.5% 5/15/25 | 6,375,000 | 6,518,438 | |
| 7.5% 3/15/27 | 1,917,000 | 2,051,190 | |
| 8% 12/15/25 (d) | 8,905,000 | 9,728,713 | |
| 202,122,032 | |||
| Air Freight & Logistics - 0.0% | |||
| Rumo Luxembourg SARL 7.375% 2/9/24 (d) | 4,373,000 | 4,556,010 | |
| XPO Logistics, Inc. 6.25% 5/1/25 (d) | 7,295,000 | 7,814,769 | |
| 12,370,779 | |||
| Airlines - 0.0% | |||
| Aerovias de Mexico SA de CV 7% 2/5/25 (d)(g) | 390,000 | 132,600 | |
| Azul Investments LLP 5.875% 10/26/24 (d) | 2,048,000 | 1,930,240 | |
| Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (d) | 680,000 | 717,857 | |
| Ryanair Ltd. 2.875% 9/15/25 (Reg. S) | EUR | 850,000 | 1,083,112 |
| 3,863,809 | |||
| Building Products - 0.1% | |||
| Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 11,540,000 | 12,117,000 | |
| Elementia S.A.B. de CV 5.5% 1/15/25 (d) | 1,160,000 | 1,173,413 | |
| 13,290,413 | |||
| Commercial Services & Supplies - 0.2% | |||
| APX Group, Inc.: | |||
| 6.75% 2/15/27 (d) | 5,076,000 | 5,482,080 | |
| 7.625% 9/1/23 | 314,000 | 325,775 | |
| Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 13,052,000 | 12,986,740 | |
| Double Eagle III Midco 1 LLC 7.75% 12/15/25 (d)(f) | 3,840,000 | 3,945,600 | |
| LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (d) | 4,024,000 | 4,024,000 | |
| Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (d) | 9,159,000 | 9,422,321 | |
| Nielsen Finance LLC/Nielsen Finance Co.: | |||
| 5% 4/15/22 (d) | 1,995,000 | 1,995,000 | |
| 5.625% 10/1/28 (d) | 5,175,000 | 5,516,291 | |
| 5.875% 10/1/30 (d) | 5,155,000 | 5,664,056 | |
| Stericycle, Inc. 3.875% 1/15/29 (d) | 4,180,000 | 4,347,200 | |
| 53,709,063 | |||
| Construction & Engineering - 0.1% | |||
| AECOM: | |||
| 5.125% 3/15/27 | 16,592,000 | 18,541,560 | |
| 5.875% 10/15/24 | 4,512,000 | 5,008,320 | |
| Odebrecht Finance Ltd.: | |||
| 4.375% 4/25/25 (d)(g) | 1,640,000 | 52,275 | |
| 7.125% 6/26/42 (d)(g) | 2,456,000 | 83,658 | |
| Pike Corp. 5.5% 9/1/28 (d) | 9,680,000 | 10,139,800 | |
| 33,825,613 | |||
| Electrical Equipment - 0.0% | |||
| Sensata Technologies BV 5% 10/1/25 (d) | 2,730,000 | 3,030,300 | |
| Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 1,994,000 | 2,440,004 |
| 5,470,304 | |||
| Industrial Conglomerates - 0.0% | |||
| Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (d) | 1,590,000 | 1,714,716 | |
| Machinery - 0.1% | |||
| Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 12,585,000 | 13,214,250 | |
| Marine - 0.0% | |||
| Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (d) | 575,000 | 610,219 | |
| Professional Services - 0.0% | |||
| ASGN, Inc. 4.625% 5/15/28 (d) | 1,950,000 | 2,028,000 | |
| Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) | 7,140,000 | 7,372,050 | |
| Thomson Reuters Corp. 3.85% 9/29/24 | 2,221,000 | 2,439,385 | |
| 11,839,435 | |||
| Road & Rail - 0.3% | |||
| Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 4,151,000 | 5,218,902 |
| Avolon Holdings Funding Ltd.: | |||
| 2.875% 2/15/25 (d) | 37,550,000 | 36,888,652 | |
| 3.95% 7/1/24 (d) | 7,125,000 | 7,321,755 | |
| 4.25% 4/15/26 (d) | 5,430,000 | 5,642,792 | |
| 4.375% 5/1/26 (d) | 8,768,000 | 9,052,684 | |
| 5.25% 5/15/24 (d) | 13,457,000 | 14,374,018 | |
| JSC Georgian Railway 7.75% 7/11/22 (d) | 347,000 | 363,374 | |
| Kazakhstan Temir Zholy Finance BV 6.95% 7/10/42 (d) | 320,000 | 453,700 | |
| 79,315,877 | |||
| Trading Companies & Distributors - 0.3% | |||
| Air Lease Corp.: | |||
| 2.25% 1/15/23 | 4,831,000 | 4,949,692 | |
| 3% 9/15/23 | 2,041,000 | 2,115,921 | |
| 3.375% 6/1/21 | 6,685,000 | 6,762,993 | |
| 3.375% 7/1/25 | 24,376,000 | 25,708,383 | |
| 3.75% 2/1/22 | 16,816,000 | 17,280,816 | |
| 3.875% 4/1/21 | 7,396,000 | 7,453,096 | |
| 4.25% 2/1/24 | 18,355,000 | 19,745,789 | |
| 4.25% 9/15/24 | 7,664,000 | 8,271,572 | |
| Travis Perkins PLC 4.5% 9/7/23 (Reg. S) | GBP | 1,536,000 | 2,157,517 |
| 94,445,779 | |||
| Transportation Infrastructure - 0.0% | |||
| Aeroporti di Roma SPA 1.625% 2/2/29 (Reg. S) | EUR | 550,000 | 658,193 |
| Aeropuertos Argentina 2000 SA 9.375% 2/1/27 pay-in-kind (d)(e) | 2,908,002 | 2,302,847 | |
| DP World Crescent Ltd.: | |||
| 3.7495% 1/30/30 (d) | 2,070,000 | 2,194,200 | |
| 3.875% 7/18/29 (Reg. S) | 740,000 | 786,265 | |
| DP World Ltd. 5.625% 9/25/48 (d) | 440,000 | 535,975 | |
| Heathrow Funding Ltd. 7.125% 2/14/24 | GBP | 3,800,000 | 5,800,336 |
| 12,277,816 | |||
| TOTAL INDUSTRIALS | 538,070,105 | ||
| INFORMATION TECHNOLOGY - 0.9% | |||
| Communications Equipment - 0.0% | |||
| CommScope, Inc.: | |||
| 5.5% 3/1/24 (d) | 600,000 | 616,500 | |
| 6% 3/1/26 (d) | 600,000 | 633,000 | |
| HTA Group Ltd. 7% 12/18/25 (d) | 650,000 | 697,853 | |
| IHS Netherlands Holdco BV 7.125% 3/18/25 (d) | 2,935,000 | 3,078,081 | |
| SSL Robotics LLC 9.75% 12/31/23 (d) | 750,000 | 847,500 | |
| 5,872,934 | |||
| Electronic Equipment & Components - 0.2% | |||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
| 5.45% 6/15/23 (d) | 14,700,000 | 16,264,199 | |
| 5.85% 7/15/25 (d) | 5,060,000 | 6,021,057 | |
| 6.02% 6/15/26 (d) | 5,064,000 | 6,147,340 | |
| 6.1% 7/15/27 (d) | 9,288,000 | 11,381,232 | |
| 6.2% 7/15/30 (d) | 8,040,000 | 10,211,413 | |
| TTM Technologies, Inc. 5.625% 10/1/25 (d) | 16,116,000 | 16,628,972 | |
| 66,654,213 | |||
| IT Services - 0.2% | |||
| Arches Buyer, Inc.: | |||
| 4.25% 6/1/28 (d) | 4,860,000 | 4,872,150 | |
| 6.125% 12/1/28 (d) | 4,860,000 | 4,987,575 | |
| Banff Merger Sub, Inc. 9.75% 9/1/26 (d) | 2,605,000 | 2,787,350 | |
| Camelot Finance SA 4.5% 11/1/26 (d) | 4,300,000 | 4,498,875 | |
| Gartner, Inc.: | |||
| 3.75% 10/1/30 (d) | 2,385,000 | 2,481,163 | |
| 4.5% 7/1/28 (d) | 3,690,000 | 3,874,500 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d) | 9,300,000 | 10,509,000 | |
| Rackspace Hosting, Inc.: | |||
| 5.375% 12/1/28 (d)(f) | 3,619,000 | 3,782,615 | |
| 8.625% 11/15/24 (d) | 3,437,000 | 3,587,541 | |
| Tempo Acquisition LLC: | |||
| 5.75% 6/1/25 (d) | 3,506,000 | 3,733,890 | |
| 6.75% 6/1/25 (d) | 12,874,000 | 13,195,850 | |
| 58,310,509 | |||
| Semiconductors & Semiconductor Equipment - 0.1% | |||
| Entegris, Inc. 4.375% 4/15/28 (d) | 4,325,000 | 4,571,482 | |
| Micron Technology, Inc. 2.497% 4/24/23 | 27,461,000 | 28,676,448 | |
| ON Semiconductor Corp. 3.875% 9/1/28 (d) | 2,785,000 | 2,868,550 | |
| 36,116,480 | |||
| Software - 0.4% | |||
| Ascend Learning LLC: | |||
| 6.875% 8/1/25 (d) | 9,295,000 | 9,573,850 | |
| 6.875% 8/1/25 (d) | 2,277,000 | 2,351,003 | |
| Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,285,000 | 6,367,522 | |
| Boxer Parent Co., Inc. 7.125% 10/2/25 (d) | 2,035,000 | 2,197,027 | |
| CDK Global, Inc.: | |||
| 4.875% 6/1/27 | 1,159,000 | 1,220,224 | |
| 5.25% 5/15/29 (d) | 730,000 | 801,175 | |
| 5.875% 6/15/26 | 3,083,000 | 3,221,735 | |
| Fair Isaac Corp. 5.25% 5/15/26 (d) | 5,794,000 | 6,489,280 | |
| Nortonlifelock, Inc. 5% 4/15/25 (d) | 11,289,000 | 11,515,119 | |
| Nuance Communications, Inc. 5.625% 12/15/26 | 3,583,000 | 3,785,834 | |
| Open Text Corp. 3.875% 2/15/28 (d) | 3,090,000 | 3,190,425 | |
| Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 282,000 | 296,297 | |
| Oracle Corp.: | |||
| 2.8% 4/1/27 | 26,554,000 | 29,219,403 | |
| 3.6% 4/1/40 | 26,550,000 | 30,981,260 | |
| SS&C Technologies, Inc. 5.5% 9/30/27 (d) | 9,175,000 | 9,816,241 | |
| 121,026,395 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Lenovo Group Ltd. 3.421% 11/2/30 (d) | 1,305,000 | 1,385,296 | |
| TOTAL INFORMATION TECHNOLOGY | 289,365,827 | ||
| MATERIALS - 0.9% | |||
| Chemicals - 0.5% | |||
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | 5,414,000 | 5,711,770 | |
| Braskem Idesa SAPI 7.45% 11/15/29 (d) | 330,000 | 330,990 | |
| CF Industries Holdings, Inc.: | |||
| 4.95% 6/1/43 | 317,000 | 395,061 | |
| 5.15% 3/15/34 | 178,000 | 215,075 | |
| 5.375% 3/15/44 | 2,395,000 | 3,044,644 | |
| Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (d) | 22,824,000 | 26,765,576 | |
| Consolidated Energy Finance SA: | |||
| 3 month U.S. LIBOR + 3.750% 4.0004% 6/15/22 (d)(e)(h) | 14,042,000 | 13,620,740 | |
| 6.5% 5/15/26 (d) | 8,594,000 | 8,316,414 | |
| 6.875% 6/15/25 (d) | 1,407,000 | 1,380,914 | |
| International Flavors & Fragrances, Inc. 1.8% 9/25/26 | EUR | 4,273,000 | 5,497,778 |
| MEGlobal Canada, Inc. 5% 5/18/25 (d) | 290,000 | 321,991 | |
| Methanex Corp.: | |||
| 5.125% 10/15/27 | 7,417,000 | 7,806,393 | |
| 5.25% 12/15/29 | 282,000 | 295,430 | |
| 5.65% 12/1/44 | 2,372,000 | 2,458,697 | |
| Nufarm Australia Ltd. 5.75% 4/30/26 (d) | 6,497,000 | 6,675,343 | |
| OCP SA 6.875% 4/25/44 (d) | 275,000 | 351,055 | |
| Olin Corp.: | |||
| 5% 2/1/30 | 7,207,000 | 7,495,280 | |
| 5.125% 9/15/27 | 3,945,000 | 4,092,938 | |
| 5.625% 8/1/29 | 8,927,000 | 9,595,989 | |
| Petkim Petrokimya Holding A/S 5.875% 1/26/23 (d) | 1,933,000 | 1,952,934 | |
| SABIC Capital II BV 4% 10/10/23 (d) | 1,583,000 | 1,701,725 | |
| Sasol Financing U.S.A. LLC 5.875% 3/27/24 | 360,000 | 370,913 | |
| The Chemours Co. LLC: | |||
| 5.375% 5/15/27 | 9,448,000 | 9,825,920 | |
| 5.75% 11/15/28 (d) | 15,870,000 | 16,147,725 | |
| 7% 5/15/25 | 7,047,000 | 7,293,645 | |
| Valvoline, Inc.: | |||
| 4.25% 2/15/30 (d) | 6,000,000 | 6,315,000 | |
| 4.375% 8/15/25 | 7,880,000 | 8,146,423 | |
| W. R. Grace & Co.-Conn. 4.875% 6/15/27 (d) | 2,840,000 | 2,974,900 | |
| 159,101,263 | |||
| Construction Materials - 0.0% | |||
| CEMEX S.A.B. de CV: | |||
| 3.125% 3/19/26 (Reg. S) | EUR | 1,925,000 | 2,360,818 |
| 7.75% 4/16/26 (d) | 604,000 | 636,975 | |
| 2,997,793 | |||
| Containers & Packaging - 0.2% | |||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
| 4.125% 8/15/26 (d) | 2,745,000 | 2,847,938 | |
| 5.25% 8/15/27 (d) | 3,924,000 | 4,092,143 | |
| 6% 2/15/25 (d) | 4,075,000 | 4,212,531 | |
| Berry Global, Inc. 4.875% 7/15/26 (d) | 3,335,000 | 3,540,636 | |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 1,592,000 | 1,652,695 | |
| Flex Acquisition Co., Inc.: | |||
| 6.875% 1/15/25 (d) | 10,955,000 | 11,225,369 | |
| 7.875% 7/15/26 (d) | 6,912,000 | 7,274,880 | |
| Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 880,000 | 935,418 | |
| OI European Group BV 4% 3/15/23 (d) | 3,440,000 | 3,526,000 | |
| Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (d) | 2,504,000 | 2,666,760 | |
| Silgan Holdings, Inc. 4.75% 3/15/25 | 1,036,000 | 1,058,663 | |
| Trivium Packaging Finance BV: | |||
| 5.5% 8/15/26 (d) | 7,114,000 | 7,451,915 | |
| 8.5% 8/15/27 (d) | 3,294,000 | 3,565,755 | |
| 54,050,703 | |||
| Metals & Mining - 0.2% | |||
| Allegheny Technologies, Inc.: | |||
| 5.875% 12/1/27 | 12,000,000 | 12,480,000 | |
| 7.875% 8/15/23 | 1,020,000 | 1,104,150 | |
| Alrosa Finance SA 3.1% 6/25/27 (d) | 610,000 | 623,725 | |
| Antofagasta PLC 2.375% 10/14/30 (d) | 1,860,000 | 1,858,140 | |
| Celtic Resources Holdings DAC 4.125% 10/9/24 (d) | 545,000 | 577,006 | |
| Corporacion Nacional del Cobre de Chile (Codelco): | |||
| 3% 9/30/29 (d) | 290,000 | 311,116 | |
| 3.15% 1/14/30 (d) | 750,000 | 812,813 | |
| 3.625% 8/1/27 (d) | 5,273,000 | 5,853,030 | |
| 3.7% 1/30/50 (d) | 1,755,000 | 1,917,886 | |
| 4.5% 8/1/47 (d) | 4,170,000 | 5,113,463 | |
| CSN Resources SA 7.625% 2/13/23 (d) | 4,085,000 | 4,263,847 | |
| First Quantum Minerals Ltd.: | |||
| 6.5% 3/1/24 (d) | 2,201,000 | 2,236,766 | |
| 6.875% 10/15/27 (d) | 2,870,000 | 2,999,150 | |
| 7.25% 4/1/23 (d) | 14,962,000 | 15,223,835 | |
| 7.5% 4/1/25 (d) | 695,000 | 721,063 | |
| FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (d) | 80,000 | 87,705 | |
| Fresnillo PLC 4.25% 10/2/50 (d) | 940,000 | 1,003,450 | |
| Gold Fields Orogen Holding BVI Ltd. 5.125% 5/15/24 (d) | 420,000 | 459,900 | |
| Indonesia Asahan Aluminium Tbk PT 5.45% 5/15/30 (d) | 455,000 | 540,028 | |
| Kaiser Aluminum Corp.: | |||
| 4.625% 3/1/28 (d) | 7,157,000 | 7,380,799 | |
| 6.5% 5/1/25 (d) | 2,712,000 | 2,901,840 | |
| Metinvest BV 7.75% 4/23/23 (d) | 2,362,000 | 2,495,601 | |
| PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (d) | 363,000 | 323,297 | |
| Stillwater Mining Co. 6.125% 6/27/22 (d) | 3,717,000 | 3,768,109 | |
| TMK Capital SA 4.3% 2/12/27 (Reg. S) | 990,000 | 970,509 | |
| Usiminas International SARL 5.875% 7/18/26 (d) | 1,105,000 | 1,197,268 | |
| Vedanta Resources PLC: | |||
| 6.375% 7/30/22 (d) | 2,490,000 | 1,882,440 | |
| 8.25% 6/7/21 (d) | 1,550,000 | 1,434,525 | |
| VM Holding SA 6.5% 1/18/28 (d) | 790,000 | 932,817 | |
| 81,474,278 | |||
| TOTAL MATERIALS | 297,624,037 | ||
| REAL ESTATE - 2.4% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 16,606,000 | 20,961,765 | |
| Boston Properties, Inc.: | |||
| 3.25% 1/30/31 | 15,144,000 | 16,483,758 | |
| 3.85% 2/1/23 | 3,713,000 | 3,949,600 | |
| 4.5% 12/1/28 | 12,665,000 | 15,096,373 | |
| Communications Sales & Leasing, Inc. 8.25% 10/15/23 | 4,905,000 | 4,911,131 | |
| CoreCivic, Inc.: | |||
| 4.625% 5/1/23 | 3,895,000 | 3,661,300 | |
| 5% 10/15/22 | 3,180,000 | 3,128,166 | |
| Corporate Office Properties LP: | |||
| 2.25% 3/15/26 | 6,484,000 | 6,627,785 | |
| 5% 7/1/25 | 7,885,000 | 8,988,925 | |
| CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 3,260,000 | 3,382,315 | |
| Duke Realty LP: | |||
| 3.625% 4/15/23 | 4,005,000 | 4,248,500 | |
| 3.75% 12/1/24 | 3,445,000 | 3,804,560 | |
| ESH Hospitality, Inc. 5.25% 5/1/25 (d) | 1,169,000 | 1,198,225 | |
| GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 3,243,000 | 3,599,892 | |
| Healthcare Trust of America Holdings LP: | |||
| 3.1% 2/15/30 | 4,838,000 | 5,256,278 | |
| 3.5% 8/1/26 | 5,039,000 | 5,682,668 | |
| Healthpeak Properties, Inc.: | |||
| 3.25% 7/15/26 | 2,056,000 | 2,291,815 | |
| 3.5% 7/15/29 | 2,351,000 | 2,658,032 | |
| Hospitality Properties Trust: | |||
| 4.375% 2/15/30 | 1,155,000 | 1,083,390 | |
| 4.95% 2/15/27 | 600,000 | 572,250 | |
| 4.95% 10/1/29 | 240,000 | 225,000 | |
| 5.5% 12/15/27 | 1,175,000 | 1,227,159 | |
| 7.5% 9/15/25 | 510,000 | 568,278 | |
| Hudson Pacific Properties LP 4.65% 4/1/29 | 27,154,000 | 31,336,220 | |
| iStar Financial, Inc.: | |||
| 4.25% 8/1/25 | 1,005,000 | 977,363 | |
| 4.75% 10/1/24 | 1,225,000 | 1,225,000 | |
| Lexington Corporate Properties Trust: | |||
| 2.7% 9/15/30 | 7,113,000 | 7,358,315 | |
| 4.4% 6/15/24 | 2,936,000 | 3,192,904 | |
| MGM Growth Properties Operating Partnership LP: | |||
| 4.5% 9/1/26 | 10,728,000 | 11,318,040 | |
| 4.5% 1/15/28 | 3,959,000 | 4,127,258 | |
| 4.625% 6/15/25 (d) | 1,405,000 | 1,482,275 | |
| 5.75% 2/1/27 | 1,410,000 | 1,571,558 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 5.25% 8/1/26 | 3,615,000 | 3,778,398 | |
| 6.375% 3/1/24 | 1,433,000 | 1,481,149 | |
| Omega Healthcare Investors, Inc.: | |||
| 3.375% 2/1/31 | 13,097,000 | 13,181,485 | |
| 3.625% 10/1/29 | 21,648,000 | 22,386,253 | |
| 4.375% 8/1/23 | 26,812,000 | 28,879,325 | |
| 4.5% 1/15/25 | 6,808,000 | 7,375,467 | |
| 4.5% 4/1/27 | 32,478,000 | 35,792,710 | |
| 4.75% 1/15/28 | 18,782,000 | 21,017,167 | |
| 4.95% 4/1/24 | 11,105,000 | 12,040,748 | |
| 5.25% 1/15/26 | 18,623,000 | 20,811,120 | |
| Park Intermediate Holdings LLC 7.5% 6/1/25 (d) | 1,000,000 | 1,077,500 | |
| Realty Income Corp. 3.25% 1/15/31 | 3,878,000 | 4,388,680 | |
| Retail Opportunity Investments Partnership LP: | |||
| 4% 12/15/24 | 2,151,000 | 2,207,192 | |
| 5% 12/15/23 | 1,293,000 | 1,360,238 | |
| Retail Properties America, Inc. 4.75% 9/15/30 | 1,467,000 | 1,480,321 | |
| RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 597,000 | 594,015 | |
| Senior Housing Properties Trust 9.75% 6/15/25 | 685,000 | 780,900 | |
| Simon Property Group LP 2.45% 9/13/29 | 6,352,000 | 6,494,457 | |
| SITE Centers Corp.: | |||
| 3.625% 2/1/25 | 5,451,000 | 5,631,850 | |
| 4.25% 2/1/26 | 18,338,000 | 19,567,445 | |
| Store Capital Corp.: | |||
| 2.75% 11/18/30 | 7,730,000 | 7,802,963 | |
| 4.625% 3/15/29 | 5,948,000 | 6,797,555 | |
| The GEO Group, Inc.: | |||
| 5.875% 10/15/24 | 1,240,000 | 978,205 | |
| 6% 4/15/26 | 4,574,000 | 3,384,760 | |
| Uniti Group, Inc.: | |||
| 7.125% 12/15/24 (d) | 9,930,000 | 9,706,575 | |
| 7.875% 2/15/25 (d) | 22,415,000 | 23,823,334 | |
| Ventas Realty LP: | |||
| 3% 1/15/30 | 28,128,000 | 29,895,205 | |
| 3.125% 6/15/23 | 3,477,000 | 3,654,705 | |
| 3.5% 2/1/25 | 3,798,000 | 4,186,975 | |
| 3.75% 5/1/24 | 15,927,000 | 17,303,128 | |
| 4% 3/1/28 | 6,996,000 | 7,909,585 | |
| 4.125% 1/15/26 | 3,540,000 | 4,053,015 | |
| 4.75% 11/15/30 | 39,136,000 | 47,408,916 | |
| VEREIT Operating Partnership LP: | |||
| 2.2% 6/15/28 | 3,122,000 | 3,140,460 | |
| 2.85% 12/15/32 | 3,841,000 | 3,933,606 | |
| 3.4% 1/15/28 | 6,031,000 | 6,526,414 | |
| VICI Properties, Inc.: | |||
| 3.5% 2/15/25 (d) | 2,380,000 | 2,427,600 | |
| 4.25% 12/1/26 (d) | 3,430,000 | 3,558,625 | |
| 4.625% 12/1/29 (d) | 4,855,000 | 5,173,828 | |
| Weingarten Realty Investors 3.375% 10/15/22 | 1,739,000 | 1,786,328 | |
| WP Carey, Inc.: | |||
| 3.85% 7/15/29 | 4,522,000 | 5,082,025 | |
| 4% 2/1/25 | 21,671,000 | 23,878,423 | |
| 614,934,748 | |||
| Real Estate Management & Development - 0.5% | |||
| ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 2,500,000 | 2,780,831 |
| Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (e) | EUR | 100,000 | 126,839 |
| Blackstone Property Partners Europe LP: | |||
| 1.4% 7/6/22 (Reg. S) | EUR | 4,721,000 | 5,720,467 |
| 1.75% 3/12/29 (Reg. S) | EUR | 2,850,000 | 3,560,350 |
| 2% 2/15/24 (Reg. S) | EUR | 1,900,000 | 2,375,003 |
| Brandywine Operating Partnership LP: | |||
| 3.95% 2/15/23 | 18,541,000 | 19,183,454 | |
| 3.95% 11/15/27 | 14,429,000 | 15,077,124 | |
| 4.1% 10/1/24 | 13,139,000 | 13,823,645 | |
| 4.55% 10/1/29 | 15,790,000 | 17,165,919 | |
| Ceetrus SA 2.75% 11/26/26 (Reg. S) | EUR | 1,900,000 | 2,417,812 |
| Deutsche Annington Finance BV 5% 10/2/23 (d) | 3,695,000 | 3,931,907 | |
| DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 315,000 | 341,381 | |
| Essex Portfolio LP 3.875% 5/1/24 | 5,607,000 | 6,133,481 | |
| Greystar Real Estate Partners 5.75% 12/1/25 (d) | 459,000 | 468,180 | |
| Howard Hughes Corp. 5.375% 3/15/25 (d) | 7,035,000 | 7,237,256 | |
| Kennedy-Wilson, Inc. 5.875% 4/1/24 | 516,000 | 523,095 | |
| Mack-Cali Realty LP: | |||
| 3.15% 5/15/23 | 9,387,000 | 9,318,907 | |
| 4.5% 4/18/22 | 11,063,000 | 10,911,447 | |
| Post Apartment Homes LP 3.375% 12/1/22 | 1,637,000 | 1,706,272 | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 7.625% 6/15/25 (d) | 145,000 | 157,067 | |
| Samhallsbyggnadsbolaget I Norden AB 1.75% 1/14/25 (Reg. S) | EUR | 5,290,000 | 6,612,813 |
| SATO Oyj 1.375% 2/24/28 (Reg. S) | EUR | 2,150,000 | 2,611,765 |
| Tanger Properties LP: | |||
| 3.125% 9/1/26 | 8,723,000 | 8,707,207 | |
| 3.75% 12/1/24 | 15,395,000 | 15,708,137 | |
| 3.875% 12/1/23 | 14,754,000 | 15,018,713 | |
| 171,619,072 | |||
| TOTAL REAL ESTATE | 786,553,820 | ||
| UTILITIES - 1.7% | |||
| Electric Utilities - 0.9% | |||
| American Electric Power Co., Inc. 2.95% 12/15/22 | 3,144,000 | 3,281,094 | |
| Clearway Energy Operating LLC: | |||
| 4.75% 3/15/28 (d) | 1,030,000 | 1,104,593 | |
| 5% 9/15/26 | 6,348,000 | 6,538,440 | |
| 5.75% 10/15/25 | 2,198,000 | 2,313,395 | |
| Cleco Corporate Holdings LLC 3.375% 9/15/29 | 12,555,000 | 12,849,675 | |
| Duke Energy Corp. 2.45% 6/1/30 | 10,750,000 | 11,440,217 | |
| Duquesne Light Holdings, Inc.: | |||
| 2.532% 10/1/30 (d) | 5,172,000 | 5,282,184 | |
| 5.9% 12/1/21 (d) | 18,694,000 | 19,540,323 | |
| Enel SpA 2.5% 11/24/78 (Reg. S) (e) | EUR | 1,300,000 | 1,605,560 |
| Entergy Corp. 2.8% 6/15/30 | 11,033,000 | 11,993,649 | |
| Eskom Holdings SOC Ltd.: | |||
| 5.75% 1/26/21 (d) | 11,335,000 | 11,264,156 | |
| 6.75% 8/6/23 (d) | 1,855,000 | 1,894,419 | |
| Eversource Energy 2.8% 5/1/23 | 9,622,000 | 10,089,374 | |
| Exelon Corp.: | |||
| 4.05% 4/15/30 | 6,798,000 | 8,060,465 | |
| 4.7% 4/15/50 | 3,027,000 | 4,085,846 | |
| FirstEnergy Corp.: | |||
| 4.25% 3/15/23 | 19,904,000 | 21,002,396 | |
| 7.375% 11/15/31 | 37,147,000 | 50,676,092 | |
| InterGen NV 7% 6/30/23 (d) | 7,075,000 | 6,694,719 | |
| IPALCO Enterprises, Inc. 3.7% 9/1/24 | 6,665,000 | 7,246,191 | |
| Monongahela Power Co. 4.1% 4/15/24 (d) | 2,537,000 | 2,747,108 | |
| NextEra Energy Partners LP: | |||
| 4.25% 9/15/24 (d) | 3,341,000 | 3,533,108 | |
| 4.5% 9/15/27 (d) | 596,000 | 652,620 | |
| NRG Energy, Inc.: | |||
| 3.375% 2/15/29 (d)(f) | 1,055,000 | 1,077,419 | |
| 3.625% 2/15/31 (d)(f) | 2,095,000 | 2,173,563 | |
| 5.25% 6/15/29 (d) | 3,295,000 | 3,597,876 | |
| 5.75% 1/15/28 | 5,675,000 | 6,193,411 | |
| 6.625% 1/15/27 | 1,080,000 | 1,136,700 | |
| NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 4,487,646 | 4,756,905 | |
| Pampa Holding SA 7.5% 1/24/27 (d) | 564,000 | 460,348 | |
| Pattern Energy Operations LP 4.5% 8/15/28 (d) | 1,985,000 | 2,123,950 | |
| PG&E Corp. 5.25% 7/1/30 | 7,335,000 | 7,995,150 | |
| PPL Capital Funding, Inc. 3.4% 6/1/23 | 4,577,000 | 4,871,255 | |
| Scottish & Southern Energy PLC 4.75% 9/16/77 (Reg. S) (e) | 2,140,000 | 2,222,476 | |
| Vistra Operations Co. LLC: | |||
| 5% 7/31/27 (d) | 15,205,000 | 16,080,808 | |
| 5.5% 9/1/26 (d) | 11,371,000 | 11,898,046 | |
| 5.625% 2/15/27 (d) | 8,080,000 | 8,534,904 | |
| 277,018,435 | |||
| Gas Utilities - 0.0% | |||
| Nakilat, Inc. 6.067% 12/31/33 (d) | 1,258,000 | 1,616,137 | |
| Promigas SA ESP/Gases del Pacifico SAC 3.75% 10/16/29 (d) | 900,000 | 948,656 | |
| Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 2,323,000 | 2,348,644 | |
| 4,913,437 | |||
| Independent Power and Renewable Electricity Producers - 0.3% | |||
| Emera U.S. Finance LP: | |||
| 2.7% 6/15/21 | 3,220,000 | 3,251,353 | |
| 3.55% 6/15/26 | 5,152,000 | 5,755,294 | |
| Talen Energy Supply LLC: | |||
| 7.625% 6/1/28 (d) | 1,965,000 | 2,068,163 | |
| 10.5% 1/15/26 (d) | 2,010,000 | 1,613,005 | |
| Termocandelaria Power Ltd. 7.875% 1/30/29 (d) | 830,000 | 907,294 | |
| TerraForm Power Operating LLC: | |||
| 4.25% 1/31/23 (d) | 418,000 | 431,585 | |
| 4.75% 1/15/30 (d) | 645,000 | 699,825 | |
| 5% 1/31/28 (d) | 5,278,000 | 5,898,165 | |
| The AES Corp.: | |||
| 3.3% 7/15/25 (d) | 33,229,000 | 36,244,864 | |
| 3.95% 7/15/30 (d) | 28,974,000 | 32,853,039 | |
| 89,722,587 | |||
| Multi-Utilities - 0.5% | |||
| Abu Dhabi National Energy Co. PJSC: | |||
| 4% 10/3/49 (d) | 390,000 | 464,100 | |
| 4.875% 4/23/30 (d) | 250,000 | 309,219 | |
| Berkshire Hathaway Energy Co. 4.05% 4/15/25 (d) | 49,782,000 | 56,518,478 | |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 3,091,000 | 3,563,491 | |
| NiSource Finance Corp.: | |||
| 5.25% 2/15/43 | 8,116,000 | 11,103,451 | |
| 5.8% 2/1/42 | 4,036,000 | 5,642,967 | |
| 5.95% 6/15/41 | 5,760,000 | 8,225,166 | |
| NiSource, Inc. 2.95% 9/1/29 | 31,524,000 | 34,638,186 | |
| Puget Energy, Inc.: | |||
| 4.1% 6/15/30 (d) | 12,996,000 | 14,709,404 | |
| 6% 9/1/21 | 9,916,000 | 10,307,848 | |
| Sempra Energy: | |||
| 2.875% 10/1/22 | 3,670,000 | 3,797,338 | |
| 6% 10/15/39 | 9,562,000 | 13,708,446 | |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3335% 5/15/67 (e)(h) | 2,459,000 | 2,075,462 | |
| 165,063,556 | |||
| TOTAL UTILITIES | 536,718,015 | ||
| TOTAL NONCONVERTIBLE BONDS | 11,879,367,101 | ||
| TOTAL CORPORATE BONDS | |||
| (Cost $10,847,659,649) | 11,896,463,826 | ||
| U.S. Government and Government Agency Obligations - 28.8% | |||
| U.S. Treasury Inflation-Protected Obligations - 6.3% | |||
| U.S. Treasury Inflation-Indexed Bonds: | |||
| 0.25% 2/15/50 | $58,920,000 | $70,804,013 | |
| 0.75% 2/15/45 | 90,996,700 | 129,083,014 | |
| 1% 2/15/46 | 44,968,900 | 67,054,330 | |
| 1% 2/15/49 | 33,240,000 | 48,235,322 | |
| U.S. Treasury Inflation-Indexed Notes: | |||
| 0.125% 7/15/24 | 31,431,100 | 36,454,280 | |
| 0.125% 10/15/24 | 281,860,000 | 302,951,270 | |
| 0.125% 4/15/25 | 50,000,000 | 53,512,623 | |
| 0.125% 10/15/25 | 150,000,000 | 161,531,781 | |
| 0.125% 1/15/30 | 50,000,000 | 55,741,520 | |
| 0.25% 7/15/29 | 86,689,000 | 98,383,868 | |
| 0.375% 7/15/25 | 161,548,600 | 192,218,217 | |
| 0.375% 1/15/27 | 137,872,800 | 163,387,804 | |
| 0.625% 1/15/26 | 175,556,600 | 211,605,588 | |
| 0.75% 7/15/28 | 157,727,500 | 187,853,199 | |
| 0.875% 1/15/29 | 203,014,400 | 242,843,425 | |
| TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 2,021,660,254 | ||
| U.S. Treasury Obligations - 22.5% | |||
| U.S. Treasury Bonds: | |||
| 1.125% 5/15/40 | 207,334,000 | 199,202,620 | |
| 1.375% 8/15/50 (i)(j) | 533,146,000 | 506,572,004 | |
| 1.625% 11/15/50 | 1,132,695,000 | 1,144,552,826 | |
| 2.25% 8/15/46 (k)(l) | 261,200 | 301,910 | |
| 3% 2/15/47 | 396,205,000 | 524,569,231 | |
| 5% 5/15/37 (l) | 16,600 | 26,321 | |
| U.S. Treasury Notes: | |||
| 0.125% 8/15/23 | 123,297,000 | 123,128,430 | |
| 0.25% 7/31/25 | 156,208,000 | 155,573,405 | |
| 0.375% 11/30/25 | 392,720,000 | 392,934,771 | |
| 0.375% 9/30/27 | 7,289,000 | 7,177,387 | |
| 0.5% 10/31/27 | 808,562,000 | 802,245,109 | |
| 0.625% 11/30/27 | 584,706,000 | 584,888,721 | |
| 0.875% 11/15/30 | 305,014,000 | 305,728,877 | |
| 1.625% 9/30/26 | 683,928,000 | 728,971,074 | |
| 2% 4/30/24 | 15,926,700 | 16,887,279 | |
| 2.125% 7/31/24 | 222,547,000 | 237,786,253 | |
| 2.125% 11/30/24 | 5,000 | 5,366 | |
| 2.125% 5/15/25 (j)(k) | 1,465,300 | 1,582,066 | |
| 2.125% 5/31/26 | 498,913,000 | 544,770,119 | |
| 2.25% 4/30/24 | 126,960,000 | 135,698,418 | |
| 2.25% 12/31/24 | 79,727,100 | 86,077,239 | |
| 2.375% 4/30/26 | 89,077,000 | 98,391,810 | |
| 2.5% 2/28/26 | 546,304,000 | 605,863,941 | |
| 2.75% 2/15/28 | 96,082,900 | 110,476,569 | |
| TOTAL U.S. TREASURY OBLIGATIONS | 7,313,411,746 | ||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $8,994,806,171) | 9,335,072,000 | ||
| U.S. Government Agency - Mortgage Securities - 21.3% | |||
| Fannie Mae - 6.0% | |||
| 12 month U.S. LIBOR + 1.440% 3.364% 4/1/37 (e)(h) | 19,271 | 20,092 | |
| 12 month U.S. LIBOR + 1.460% 2.991% 1/1/35 (e)(h) | 29,992 | 31,164 | |
| 12 month U.S. LIBOR + 1.480% 2.476% 7/1/34 (e)(h) | 6,432 | 6,701 | |
| 12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (e)(h) | 14,542 | 15,240 | |
| 12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (e)(h) | 14,336 | 15,005 | |
| 12 month U.S. LIBOR + 1.620% 2.698% 5/1/36 (e)(h) | 46,207 | 48,548 | |
| 12 month U.S. LIBOR + 1.630% 2.156% 9/1/36 (e)(h) | 18,273 | 19,115 | |
| 12 month U.S. LIBOR + 1.630% 2.828% 3/1/33 (e)(h) | 21,639 | 22,493 | |
| 12 month U.S. LIBOR + 1.640% 3.722% 6/1/47 (e)(h) | 30,423 | 32,165 | |
| 12 month U.S. LIBOR + 1.660% 2.346% 5/1/35 (e)(h) | 44,916 | 46,920 | |
| 12 month U.S. LIBOR + 1.680% 3.055% 11/1/36 (e)(h) | 13,079 | 13,704 | |
| 12 month U.S. LIBOR + 1.700% 3.005% 6/1/42 (e)(h) | 32,042 | 33,461 | |
| 12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (e)(h) | 22,191 | 23,334 | |
| 12 month U.S. LIBOR + 1.740% 3.488% 3/1/40 (e)(h) | 48,810 | 51,101 | |
| 12 month U.S. LIBOR + 1.750% 2.412% 8/1/41 (e)(h) | 38,668 | 40,245 | |
| 12 month U.S. LIBOR + 1.750% 3.382% 7/1/35 (e)(h) | 12,319 | 12,898 | |
| 12 month U.S. LIBOR + 1.780% 3.788% 2/1/36 (e)(h) | 39,298 | 41,236 | |
| 12 month U.S. LIBOR + 1.800% 2.698% 12/1/40 (e)(h) | 1,351,563 | 1,414,515 | |
| 12 month U.S. LIBOR + 1.800% 2.706% 7/1/41 (e)(h) | 29,393 | 30,572 | |
| 12 month U.S. LIBOR + 1.800% 3.818% 1/1/42 (e)(h) | 104,256 | 108,683 | |
| 12 month U.S. LIBOR + 1.810% 2.321% 9/1/41 (e)(h) | 15,565 | 16,234 | |
| 12 month U.S. LIBOR + 1.810% 2.694% 7/1/41 (e)(h) | 26,893 | 28,194 | |
| 12 month U.S. LIBOR + 1.810% 3.81% 12/1/39 (e)(h) | 28,939 | 30,295 | |
| 12 month U.S. LIBOR + 1.810% 3.826% 2/1/42 (e)(h) | 101,002 | 105,693 | |
| 12 month U.S. LIBOR + 1.820% 3.82% 12/1/35 (e)(h) | 39,184 | 41,157 | |
| 12 month U.S. LIBOR + 1.830% 2.33% 10/1/41 (e)(h) | 13,086 | 13,600 | |
| 12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (e)(h) | 20,141 | 21,278 | |
| 6 month U.S. LIBOR + 1.470% 2.005% 10/1/33 (e)(h) | 568 | 587 | |
| 6 month U.S. LIBOR + 1.500% 2.417% 1/1/35 (e)(h) | 46,022 | 47,680 | |
| 6 month U.S. LIBOR + 1.510% 2.06% 2/1/33 (e)(h) | 391 | 404 | |
| 6 month U.S. LIBOR + 1.530% 2.41% 12/1/34 (e)(h) | 8,358 | 8,672 | |
| 6 month U.S. LIBOR + 1.530% 2.41% 3/1/35 (e)(h) | 8,424 | 8,745 | |
| 6 month U.S. LIBOR + 1.550% 1.874% 10/1/33 (e)(h) | 3,330 | 3,449 | |
| 6 month U.S. LIBOR + 1.560% 2.105% 7/1/35 (e)(h) | 5,378 | 5,588 | |
| 6 month U.S. LIBOR + 1.740% 2.865% 12/1/34 (e)(h) | 796 | 830 | |
| 6 month U.S. LIBOR + 1.960% 2.725% 9/1/35 (e)(h) | 9,754 | 10,238 | |
| U.S. TREASURY 1 YEAR INDEX + 1.940% 2.277% 10/1/33 (e)(h) | 73,014 | 76,398 | |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (e)(h) | 8,357 | 8,777 | |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 2.631% 6/1/36 (e)(h) | 39,317 | 40,836 | |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (e)(h) | 21,367 | 22,176 | |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 3.297% 7/1/34 (e)(h) | 63,378 | 66,263 | |
| 2.5% 12/1/26 to 10/1/50 (m) | 187,125,062 | 197,610,166 | |
| 3% 7/1/27 to 9/1/50 (j)(k)(l)(m) | 764,774,474 | 809,358,927 | |
| 3.5% 7/1/32 to 5/1/50 | 366,494,250 | 395,586,207 | |
| 4% 5/1/29 to 11/1/49 | 225,573,607 | 246,816,826 | |
| 4.5% to 4.5% 6/1/33 to 8/1/49 | 132,554,501 | 146,835,589 | |
| 5% 5/1/21 to 2/1/49 | 96,718,906 | 110,206,205 | |
| 5.243% 8/1/41 (e) | 948,042 | 1,072,823 | |
| 5.5% 9/1/21 to 5/1/49 | 14,156,903 | 16,175,177 | |
| 6% to 6% 2/1/21 to 1/1/42 | 4,139,390 | 4,896,438 | |
| 6.5% 2/1/22 to 4/1/37 | 1,753,103 | 2,030,827 | |
| 6.572% 2/1/39 (e) | 757,853 | 836,181 | |
| 7% to 7% 9/1/21 to 7/1/37 | 380,976 | 438,089 | |
| 7.5% to 7.5% 6/1/25 to 2/1/32 | 172,045 | 195,520 | |
| 8% 8/1/29 to 3/1/37 | 6,882 | 8,348 | |
| TOTAL FANNIE MAE | 1,934,651,609 | ||
| Freddie Mac - 2.9% | |||
| 12 month U.S. LIBOR + 1.320% 3.212% 1/1/36 (e)(h) | 17,466 | 18,082 | |
| 12 month U.S. LIBOR + 1.370% 2.835% 3/1/36 (e)(h) | 58,759 | 61,043 | |
| 12 month U.S. LIBOR + 1.500% 3.076% 3/1/36 (e)(h) | 44,327 | 46,267 | |
| 12 month U.S. LIBOR + 1.510% 2.015% 11/1/35 (e)(h) | 10,451 | 10,897 | |
| 12 month U.S. LIBOR + 1.750% 2.328% 9/1/41 (e)(h) | 217,609 | 226,314 | |
| 12 month U.S. LIBOR + 1.750% 2.596% 7/1/41 (e)(h) | 122,598 | 127,454 | |
| 12 month U.S. LIBOR + 1.750% 3.088% 12/1/40 (e)(h) | 588,896 | 613,706 | |
| 12 month U.S. LIBOR + 1.790% 3.793% 4/1/37 (e)(h) | 4,465 | 4,686 | |
| 12 month U.S. LIBOR + 1.860% 3.614% 4/1/36 (e)(h) | 20,529 | 21,726 | |
| 12 month U.S. LIBOR + 1.870% 2.796% 10/1/42 (e)(h) | 148,968 | 155,826 | |
| 12 month U.S. LIBOR + 1.880% 2.463% 9/1/41 (e)(h) | 22,562 | 23,290 | |
| 12 month U.S. LIBOR + 1.880% 3.722% 4/1/41 (e)(h) | 10,297 | 10,817 | |
| 12 month U.S. LIBOR + 1.910% 2.91% 6/1/41 (e)(h) | 11,735 | 12,231 | |
| 12 month U.S. LIBOR + 1.910% 2.925% 6/1/41 (e)(h) | 42,442 | 44,547 | |
| 12 month U.S. LIBOR + 1.910% 3.069% 5/1/41 (e)(h) | 32,483 | 34,103 | |
| 12 month U.S. LIBOR + 1.910% 3.321% 5/1/41 (e)(h) | 39,399 | 41,382 | |
| 12 month U.S. LIBOR + 1.920% 2.92% 6/1/36 (e)(h) | 11,528 | 12,068 | |
| 12 month U.S. LIBOR + 2.020% 3.869% 4/1/38 (e)(h) | 31,682 | 33,305 | |
| 12 month U.S. LIBOR + 2.040% 2.97% 7/1/36 (e)(h) | 29,446 | 30,844 | |
| 12 month U.S. LIBOR + 2.040% 3.236% 3/1/33 (e)(h) | 737 | 768 | |
| 12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (e)(h) | 39,445 | 41,193 | |
| 6 month U.S. LIBOR + 1.120% 2% 8/1/37(e)(h) | 19,173 | 19,600 | |
| 6 month U.S. LIBOR + 1.580% 2.705% 12/1/35 (e)(h) | 2,476 | 2,574 | |
| 6 month U.S. LIBOR + 1.720% 2.274% 8/1/37 (e)(h) | 29,668 | 30,961 | |
| 6 month U.S. LIBOR + 1.830% 2.58% 5/1/37 (e)(h) | 7,698 | 8,065 | |
| 6 month U.S. LIBOR + 1.840% 2.596% 10/1/36 (e)(h) | 84,883 | 88,779 | |
| 6 month U.S. LIBOR + 1.840% 2.72% 2/1/37 (e)(h) | 9,796 | 10,285 | |
| 6 month U.S. LIBOR + 1.860% 2.642% 10/1/35 (e)(h) | 42,820 | 44,782 | |
| 6 month U.S. LIBOR + 2.020% 3.012% 6/1/37 (e)(h) | 14,789 | 15,452 | |
| 6 month U.S. LIBOR + 2.690% 2.993% 10/1/35 (e)(h) | 15,018 | 15,682 | |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 3.106% 6/1/33 (e)(h) | 54,664 | 57,196 | |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.043% 6/1/33 (e)(h) | 98,946 | 103,323 | |
| U.S. TREASURY 1 YEAR INDEX + 2.420% 3.174% 3/1/35 (e)(h) | 199,278 | 207,685 | |
| 2.5% 6/1/31 to 7/1/50 | 97,488,100 | 102,410,281 | |
| 3% 6/1/31 to 6/1/50 | 199,805,373 | 211,893,761 | |
| 3.5% 1/1/32 to 10/1/49 | 295,365,221 | 319,723,423 | |
| 3.5% 8/1/47 | 81,146 | 87,218 | |
| 4% 7/1/31 to 6/1/48 | 221,718,942 | 241,540,967 | |
| 4% 4/1/48 | 133,683 | 143,278 | |
| 4.5% 6/1/25 to 7/1/49 | 43,752,413 | 48,644,659 | |
| 5% 2/1/21 to 7/1/41 | 7,731,731 | 8,896,863 | |
| 5.5% 6/1/22 | 20,868 | 21,343 | |
| 6% 12/1/21 to 12/1/37 | 776,556 | 907,872 | |
| 6.5% 7/1/21 to 9/1/39 | 953,287 | 1,120,931 | |
| 7% 6/1/21 to 9/1/36 | 353,747 | 412,171 | |
| 7.5% 1/1/27 to 11/1/31 | 7,524 | 8,721 | |
| 8% 7/1/24 to 4/1/32 | 9,280 | 10,653 | |
| 8.5% 12/1/22 to 1/1/28 | 7,863 | 8,828 | |
| TOTAL FREDDIE MAC | 938,005,902 | ||
| Freddie Mac Multi-family Structured pass-thru certificates - 0.0% | |||
| 3% 10/1/31 | 734,973 | 781,624 | |
| Ginnie Mae - 5.3% | |||
| 3.5% 6/20/34 to 4/20/50 | 229,736,590 | 249,995,673 | |
| 4% 5/20/33 to 5/20/49 | 332,566,012 | 360,210,885 | |
| 4.5% 6/20/33 to 6/20/47 | 71,244,793 | 78,638,221 | |
| 5% 12/15/32 to 4/20/48 | 21,176,966 | 23,804,259 | |
| 5.5% 7/15/33 to 9/15/39 | 588,434 | 691,014 | |
| 6% to 6% 10/15/30 to 11/15/39 | 204,610 | 236,336 | |
| 7% to 7% 10/15/22 to 3/15/33 | 426,515 | 490,936 | |
| 7.5% to 7.5% 2/15/22 to 9/15/31 | 135,445 | 150,316 | |
| 8% 11/15/21 to 11/15/29 | 31,720 | 34,524 | |
| 8.5% 10/15/21 to 1/15/31 | 7,740 | 8,975 | |
| 9% 1/15/23 | 58 | 61 | |
| 9.5% 3/15/23 | 2 | 2 | |
| 2% 12/1/50 (f) | 40,400,000 | 42,260,101 | |
| 2.5% 12/1/50 (f) | 22,150,000 | 23,330,617 | |
| 2.5% 12/1/50 (f) | 8,650,000 | 9,111,054 | |
| 2.5% 12/1/50 (f) | 66,200,000 | 69,728,526 | |
| 2.5% 12/1/50 (f) | 53,100,000 | 55,930,283 | |
| 2.5% 12/1/50 (f) | 52,100,000 | 54,876,982 | |
| 2.5% 12/1/50 (f) | 42,750,000 | 45,028,618 | |
| 2.5% 12/1/50 (f) | 36,950,000 | 38,919,472 | |
| 2.5% 1/1/51 (f) | 60,500,000 | 63,585,276 | |
| 2.5% 1/1/51 (f) | 61,750,000 | 64,899,022 | |
| 2.5% 1/1/51 (f) | 59,100,000 | 62,113,881 | |
| 3% 5/20/42 to 9/20/50 | 117,057,168 | 123,321,894 | |
| 3% 12/1/50 (f) | 22,400,000 | 23,378,125 | |
| 3% 12/1/50 (f) | 26,500,000 | 27,657,157 | |
| 3% 12/1/50 (f) | 26,500,000 | 27,657,157 | |
| 3% 12/1/50 (f) | 10,650,000 | 11,115,046 | |
| 3% 1/1/51 (f) | 2,750,000 | 2,871,156 | |
| 3% 1/1/51 (f) | 5,000,000 | 5,220,285 | |
| 3.5% 12/1/50 (f) | 27,500,000 | 29,045,145 | |
| 3.5% 12/1/50 (f) | 10,600,000 | 11,195,583 | |
| 3.5% 12/1/50 (f) | 14,150,000 | 14,945,047 | |
| 3.5% 12/1/50 (f) | 6,850,000 | 7,234,882 | |
| 3.5% 12/1/50 (f) | 66,000,000 | 69,708,349 | |
| 3.5% 12/1/50 (f) | 3,050,000 | 3,221,371 | |
| 3.5% 12/1/50 (f) | 11,600,000 | 12,251,770 | |
| 3.5% 12/1/50 (f) | 16,300,000 | 17,215,850 | |
| 3.5% 1/1/51 (f) | 23,050,000 | 24,336,109 | |
| 3.5% 1/1/51 (f) | 24,000,000 | 25,339,116 | |
| 3.5% 1/1/51 (f) | 27,500,000 | 29,034,404 | |
| 6.5% 3/20/31 to 6/15/37 | 141,002 | 165,706 | |
| TOTAL GINNIE MAE | 1,708,959,186 | ||
| Uniform Mortgage Backed Securities - 7.1% | |||
| 1.5% 12/1/35 (f) | 52,100,000 | 53,421,912 | |
| 1.5% 12/1/35 (f) | 2,500,000 | 2,563,432 | |
| 1.5% 12/1/35 (f) | 38,200,000 | 39,169,233 | |
| 1.5% 12/1/35 (f) | 9,850,000 | 10,099,920 | |
| 1.5% 12/1/35 (f) | 10,700,000 | 10,971,487 | |
| 1.5% 12/1/35 (f) | 5,850,000 | 5,998,430 | |
| 1.5% 12/1/35 (f) | 4,900,000 | 5,024,326 | |
| 1.5% 12/1/35 (f) | 54,600,000 | 55,985,344 | |
| 1.5% 12/1/35 (f) | 38,200,000 | 39,169,233 | |
| 1.5% 1/1/36 (f) | 38,650,000 | 39,588,376 | |
| 1.5% 1/1/36 (f) | 13,450,000 | 13,776,550 | |
| 1.5% 1/1/36 (f) | 10,700,000 | 10,959,783 | |
| 2% 12/1/35 (f) | 20,900,000 | 21,757,475 | |
| 2% 12/1/35 (f) | 22,600,000 | 23,527,222 | |
| 2% 12/1/35 (f) | 22,200,000 | 23,110,811 | |
| 2% 12/1/35 (f) | 23,600,000 | 24,568,249 | |
| 2% 1/1/36 (f) | 23,900,000 | 24,849,748 | |
| 2% 1/1/36 (f) | 44,500,000 | 46,268,359 | |
| 2% 12/1/50 (f) | 7,750,000 | 8,050,495 | |
| 2% 12/1/50 (f) | 14,800,000 | 15,373,849 | |
| 2% 12/1/50 (f) | 40,500,000 | 42,070,331 | |
| 2% 12/1/50 (f) | 40,500,000 | 42,070,331 | |
| 2% 12/1/50 (f) | 81,500,000 | 84,660,048 | |
| 2% 12/1/50 (f) | 64,550,000 | 67,052,836 | |
| 2% 12/1/50 (f) | 71,600,000 | 74,376,190 | |
| 2% 12/1/50 (f) | 63,200,000 | 65,650,492 | |
| 2% 12/1/50 (f) | 5,150,000 | 5,349,684 | |
| 2% 12/1/50 (f) | 3,500,000 | 3,635,708 | |
| 2% 12/1/50 (f) | 4,250,000 | 4,414,788 | |
| 2% 12/1/50 (f) | 7,750,000 | 8,050,495 | |
| 2% 1/1/51 (f) | 7,750,000 | 8,032,937 | |
| 2.5% 12/1/35 (f) | 10,050,000 | 10,447,282 | |
| 2.5% 12/1/35 (f) | 10,350,000 | 10,759,141 | |
| 2.5% 12/1/35 (f) | 7,450,000 | 7,744,502 | |
| 2.5% 12/1/35 (f) | 5,150,000 | 5,353,582 | |
| 2.5% 12/1/50 (f) | 46,200,000 | 48,405,311 | |
| 2.5% 12/1/50 (f) | 56,650,000 | 59,354,131 | |
| 2.5% 12/1/50 (f) | 53,750,000 | 56,315,703 | |
| 3% 12/1/50 (f) | 29,400,000 | 30,713,839 | |
| 3% 12/1/50 (f) | 15,300,000 | 15,983,733 | |
| 3% 12/1/50 (f) | 19,700,000 | 20,580,361 | |
| 3% 12/1/50 (f) | 15,000,000 | 15,670,326 | |
| 3% 12/1/50 (f) | 26,850,000 | 28,049,884 | |
| 3% 12/1/50 (f) | 32,950,000 | 34,422,483 | |
| 3% 12/1/50 (f) | 62,300,000 | 65,084,087 | |
| 3% 12/1/50 (f) | 102,650,000 | 107,237,264 | |
| 3% 12/1/50 (f) | 75,000,000 | 78,351,630 | |
| 3% 12/1/50 (f) | 75,100,000 | 78,456,099 | |
| 3% 12/1/50 (f) | 75,100,000 | 78,456,099 | |
| 3% 12/1/50 (f) | 29,200,000 | 30,504,901 | |
| 3% 1/1/51 (f) | 43,500,000 | 45,471,133 | |
| 3% 1/1/51 (f) | 42,450,000 | 44,373,554 | |
| 3% 1/1/51 (f) | 82,450,000 | 86,186,090 | |
| 3.5% 12/1/50 (f) | 31,000,000 | 32,697,743 | |
| 3.5% 12/1/50 (f) | 18,350,000 | 19,354,954 | |
| 3.5% 12/1/50 (f) | 20,750,000 | 21,886,392 | |
| 3.5% 12/1/50 (f) | 4,900,000 | 5,168,353 | |
| 3.5% 12/1/50 (f) | 9,150,000 | 9,651,108 | |
| 3.5% 12/1/50 (f) | 6,700,000 | 7,066,932 | |
| 3.5% 12/1/50 (f) | 20,650,000 | 21,780,916 | |
| 3.5% 12/1/50 (f) | 23,800,000 | 25,103,428 | |
| 3.5% 12/1/50 (f) | 21,250,000 | 22,413,775 | |
| 3.5% 12/1/50 (f) | 34,800,000 | 36,705,853 | |
| 4% 12/1/50 (f) | 1,650,000 | 1,760,537 | |
| 4% 12/1/50 (f) | 35,800,000 | 38,198,314 | |
| 4% 12/1/50 (f) | 41,200,000 | 43,960,070 | |
| 4% 12/1/50 (f) | 30,750,000 | 32,810,004 | |
| 4% 12/1/50 (f) | 43,450,000 | 46,360,802 | |
| 4% 12/1/50 (f) | 35,800,000 | 38,198,314 | |
| 4% 12/1/50 (f) | 21,500,000 | 22,940,328 | |
| 4% 12/1/50 (f) | 1,650,000 | 1,760,537 | |
| 4% 12/1/50 (f) | 7,000,000 | 7,468,944 | |
| 4% 12/1/50 (f) | 43,450,000 | 46,360,802 | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 2,319,167,315 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $6,778,068,306) | 6,901,565,636 | ||
| Asset-Backed Securities - 4.6% | |||
| AASET Trust: | |||
| Series 2018-1A Class A, 3.844% 1/16/38 (d) | $7,893,753 | $7,472,888 | |
| Series 2019-1 Class A, 3.844% 5/15/39 (d) | 13,449,648 | 12,636,573 | |
| Series 2019-2: | |||
| Class A, 3.376% 10/16/39 (d) | 22,515,946 | 21,269,047 | |
| Class B, 4.458% 10/16/39 (d) | 4,163,102 | 3,030,932 | |
| Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5358% 7/22/32 (d)(e)(h) | 30,202,000 | 30,173,791 | |
| AIMCO CLO Ltd. Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.6046% 10/15/31 (d)(e)(h) | 18,340,000 | 18,340,862 | |
| Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.5484% 1/20/33 (d)(e)(h) | 11,198,000 | 11,191,606 | |
| American Homes 4 Rent: | |||
| Series 2014-SFR3 Class E, 6.418% 12/17/36 (d) | 478,000 | 536,537 | |
| Series 2015-SFR1 Class E, 5.639% 4/17/52 (d) | 1,082,438 | 1,189,931 | |
| Series 2015-SFR2: | |||
| Class E, 6.07% 10/17/52 (d) | 1,118,000 | 1,260,202 | |
| Class XS, 0% 10/17/52 (c)(d)(e)(n) | 766,544 | 8 | |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
| Class A, 3.351% 1/16/40 (d) | 11,082,555 | 10,346,219 | |
| Class B, 4.335% 1/16/40 (d) | 1,796,414 | 1,305,978 | |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5569% 10/15/32 (d)(e)(h) | 20,251,000 | 20,234,455 | |
| Ares CLO Ltd. Series 2020-58A Class A, 3 month U.S. LIBOR + 1.220% 0% 1/15/33 (d)(e)(f)(h) | 24,810,000 | 24,810,000 | |
| Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.9369% 4/15/31 (d)(e)(h) | 22,555,000 | 22,596,772 | |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 1/15/29 (d)(e)(h) | 25,124,000 | 25,023,805 | |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/33 (d)(e)(h) | 8,282,000 | 8,262,463 | |
| Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.1491% 6/26/34 (d)(e)(h) | 6,878 | 24,258 | |
| Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.6301% 10/15/32 (d)(e)(h) | 29,072,000 | 29,035,544 | |
| Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5478% 1/17/33 (d)(e)(h) | 12,769,000 | 12,761,671 | |
| Blackbird Capital Aircraft Series 2016-1A: | |||
| Class A, 4.213% 12/16/41 (d) | 22,390,469 | 21,282,897 | |
| Class AA, 2.487% 12/16/41 (d)(e) | 3,681,250 | 3,538,508 | |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2269% 4/15/29 (d)(e)(h) | 24,711,000 | 24,505,157 | |
| Capital Trust RE CDO Ltd. Series 2005-1A Class E, 1 month U.S. LIBOR + 2.100% 3.9464% 3/20/50 (c)(d)(e)(h) | 330,000 | 33 | |
| Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (d) | 1,312,848 | 1,315,911 | |
| Cascade Funding Mortgage Trust: | |||
| Series 2020-HB2 Class A, 3.4047% 4/25/30 (d) | 5,635,132 | 5,695,518 | |
| Series 2020-HB3 Class A, 2.8115% 5/25/30 (d)(e) | 1,919,944 | 1,936,456 | |
| Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
| Class A, 3.967% 4/15/39 (d) | 18,789,980 | 17,581,600 | |
| Class B, 5.095% 4/15/39 (d) | 8,870,548 | 6,601,319 | |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (d) | 17,170,863 | 16,226,472 | |
| Cedar Funding Ltd.: | |||
| Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.5584% 10/20/32 (d)(e)(h) | 16,659,000 | 16,651,420 | |
| Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.596% 5/29/32 (d)(e)(h) | 11,001,000 | 10,995,500 | |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.5101% 10/25/32 (d)(e)(h) | 17,350,000 | 17,328,191 | |
| CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.3084% 10/20/28 (d)(e)(h) | 5,938,000 | 5,912,045 | |
| Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.9194% 7/20/31 (d)(e)(h) | 23,194,000 | 23,280,978 | |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5001% 10/25/37 (d)(e)(h) | 6,327,818 | 6,352,880 | |
| Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (d) | 1,182,613 | 1,187,632 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2019-HP1 Class A, 2.59% 12/15/26 (d) | 5,550,263 | 5,614,703 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (d) | 3,233,135 | 3,255,634 | |
| Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 4.6814% 1/28/40 (c)(d)(e)(h) | 380,378 | 38 | |
| DB Master Finance LLC Series 2017-1A: | |||
| Class A2I, 3.629% 11/20/47 (d) | 10,760,713 | 11,047,163 | |
| Class A2II, 4.03% 11/20/47 (d) | 18,229,513 | 19,376,513 | |
| Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.5469% 7/15/32 (d)(e)(h) | 23,190,000 | 23,169,570 | |
| Dryden CLO, Ltd.: | |||
| Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 7/15/30 (d)(e)(h) | 11,304,000 | 11,261,350 | |
| Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.5484% 10/20/32 (d)(e)(h) | 22,298,000 | 22,301,701 | |
| Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.22% 1/18/32 (d)(e)(f)(h) | 13,000,000 | 13,000,000 | |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5633% 10/15/32 (d)(e)(h) | 21,454,000 | 21,426,989 | |
| Dryden Senior Loan Fund: | |||
| Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 1.5169% 4/15/29 (d)(e)(h) | 25,370,000 | 25,346,888 | |
| Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.6101% 5/15/32 (d)(e)(h) | 17,982,000 | 17,964,432 | |
| Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3978% 4/17/33 (d)(e)(h) | 16,400,000 | 16,298,615 | |
| Eaton Vance CLO, Ltd.: | |||
| Series 2020-1A Class A, 1.65% 10/15/30 (d) | 29,300,000 | 29,391,152 | |
| Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5603% 10/15/32 (d)(e)(h) | 31,400,000 | 31,360,499 | |
| FirstKey Homes Trust Series 2020-SFR1 Class F2, 4.284% 9/17/25 (d) | 756,000 | 764,290 | |
| Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.541% 11/16/32 (d)(e)(h) | 22,515,000 | 22,497,618 | |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5483% 11/20/33 (d)(e)(h) | 29,800,000 | 29,799,821 | |
| Home Partners America Trust Series 2019-2 Class F, 3.866% 10/19/39 (d) | 946,286 | 971,826 | |
| Home Partners of America Credit Trust Series 2017-1 Class E, 1 month U.S. LIBOR + 2.650% 2.7864% 7/17/34 (d)(e)(h) | 231,000 | 231,296 | |
| Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 2.4864% 7/17/37 (d)(e)(h) | 708,000 | 700,568 | |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (d) | 8,815,984 | 8,406,585 | |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (d) | 9,822,365 | 9,357,038 | |
| Invitation Homes Trust Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 2.3909% 6/17/37 (d)(e)(h) | 592,481 | 586,324 | |
| Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.21% 1/15/33 (d)(e)(f)(h) | 15,100,000 | 15,100,000 | |
| Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1358% 1/22/28 (d)(e)(h) | 18,348,000 | 18,302,240 | |
| Madison Park Funding Ltd.: | |||
| Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 1.4384% 1/20/29 (d)(e)(h) | 8,925,000 | 8,916,486 | |
| Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.5369% 7/15/32 (d)(e)(h) | 24,205,000 | 24,189,702 | |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.9184% 7/15/31 (d)(e)(h) | 30,870,000 | 30,923,066 | |
| Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 10/15/32 (d)(e)(h) | 10,889,000 | 10,882,750 | |
| Magnetite CLO Ltd.: | |||
| Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.4984% 4/20/30 (d)(e)(h) | 18,545,000 | 18,527,549 | |
| Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 1/15/33 (d)(e)(h) | 33,783,000 | 33,763,609 | |
| Marlette Funding Trust Series 2019-4A Class A, 2.39% 12/17/29 (d) | 6,646,309 | 6,701,137 | |
| Merit Securities Corp. Series 13 Class M1, 7.7764% 12/28/33 (e) | 118,941 | 123,294 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (d) | 7,556,689 | 8,093,546 | |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2884% 10/20/30 (d)(e)(h) | 24,741,000 | 24,542,676 | |
| Nationstar HECM Loan Trust: | |||
| Series 2019-1A Class A, 2.6513% 6/25/29 (d) | 3,727,210 | 3,732,884 | |
| Series 2020-1A Class A1, 1.2686% 9/25/30 (d) | 18,385,764 | 18,361,862 | |
| New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6601% 9/25/35 (e)(h) | 110,781 | 110,638 | |
| Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5178% 7/17/32 (d)(e)(h) | 22,017,000 | 21,993,574 | |
| North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 1.0148% 7/25/25 (e)(h) | 1,166,749 | 1,166,983 | |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.3943% 1/25/36 (e)(h) | 855,170 | 854,653 | |
| Planet Fitness Master Issuer LLC: | |||
| Series 2018-1A Class A2II, 4.666% 9/5/48 (d) | 36,916,600 | 36,753,429 | |
| Series 2019-1A Class A2, 3.858% 12/5/49 (d) | 17,455,098 | 16,489,656 | |
| Progress Residential Trust: | |||
| Series 2017-SFR1 Class F, 5.35% 8/17/34 (d) | 160,000 | 162,694 | |
| Series 2018-SFR1 Class F, 4.778% 3/17/35 (d) | 472,000 | 472,893 | |
| Series 2018-SFR2 Class F, 4.953% 8/17/35 (d) | 524,000 | 530,350 | |
| Series 2018-SFR3: | |||
| Class F, 5.368% 10/17/35 (d) | 689,000 | 703,183 | |
| Class G, 5.618% 10/17/35 (d) | 400,000 | 405,552 | |
| Series 2019-SFR1 Class F, 5.061% 8/17/35 (d) | 600,000 | 616,238 | |
| Series 2019-SFR2 Class F, 4.837% 5/17/36 (d) | 208,000 | 201,872 | |
| Series 2019-SFR3 Class G, 4.116% 9/17/36 (d) | 466,000 | 462,354 | |
| Series 2019-SFR4 Class F, 3.684% 10/17/36 (d) | 1,943,000 | 1,982,983 | |
| Series 2020-SFR1: | |||
| Class G, 4.028% 4/17/37 (d) | 674,000 | 660,526 | |
| Class H, 5.268% 4/17/37 (d) | 189,000 | 183,567 | |
| Series 2020-SFR3 Class H, 6.234% 10/17/27 (d) | 483,000 | 482,957 | |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (d) | 17,690,880 | 16,792,013 | |
| Prosper Marketplace Issuance Trust Series 2019-3A Class A, 3.19% 7/15/25 (d) | 216,619 | 217,555 | |
| Sapphire Aviation Finance Series 2020-1A: | |||
| Class A, 3.228% 3/15/40 (d) | 20,977,082 | 19,463,741 | |
| Class B, 4.335% 3/15/40 (d) | 1,975,003 | 1,348,493 | |
| SBA Tower Trust: | |||
| Series 2019, 2.836% 1/15/50 (d) | 22,598,000 | 23,998,850 | |
| 1.884% 7/15/50 (d) | 9,101,000 | 9,370,141 | |
| 2.328% 7/15/52 (d) | 6,959,000 | 7,029,483 | |
| Starwood Waypoint Homes Trust Series 2017-1: | |||
| Class E, 1 month U.S. LIBOR + 2.600% 2.7409% 1/17/35 (d)(e)(h) | 954,000 | 955,446 | |
| Class F, 1 month U.S. LIBOR + 3.400% 3.5409% 1/17/35 (d)(e)(h) | 963,000 | 960,121 | |
| Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 2.1984% 5/1/28 (d)(e)(h) | 30,835,341 | 30,942,432 | |
| Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 0.000% 1.32% 1/15/34 (d)(e)(h) | 17,900,000 | 17,900,000 | |
| Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 3 month U.S. LIBOR + 2.650% 3.1909% 2/5/36 (c)(d)(e)(h) | 352,127 | 26 | |
| Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 4.7248% 12/5/36 (c)(d)(e)(h) | 697,532 | 52 | |
| Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2184% 1/20/29 (d)(e)(h) | 16,565,000 | 16,452,954 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0101% 9/25/34 (e)(h) | 15,831 | 14,549 | |
| Thunderbolt Aircraft Lease Ltd.: | |||
| Series 2017-A Class A, 4.212% 5/17/32 (d) | 11,417,003 | 10,915,481 | |
| Series 2018-A Class A, 4.147% 9/15/38 (d)(e) | 19,947,329 | 19,053,938 | |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (d) | 28,947,779 | 27,483,068 | |
| Towd Point Mortgage Trust: | |||
| Series 2018-3 Class A1, 3.75% 5/25/58 (d) | 14,447,513 | 15,424,351 | |
| Series 2018-6 Class A1A, 3.75% 3/25/58 (d) | 17,446,657 | 18,363,180 | |
| Series 2019-1 Class A1, 3.7236% 3/25/58 (d)(e) | 6,776,879 | 7,271,067 | |
| Series 2020-4 Class A1, 1.75% 10/25/60 (d) | 14,692,044 | 15,005,716 | |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.7935% 4/6/42 (d)(e)(h) | 1,639,000 | 1,130,910 | |
| Tricon American Homes: | |||
| Series 2016-SFR1: | |||
| Class B, 2.989% 11/17/33 (d) | 329,000 | 330,178 | |
| Class F, 5.769% 11/17/33 (d) | 1,689,000 | 1,692,140 | |
| Series 2017-SFR2 Class F, 5.104% 1/17/36 (d) | 280,000 | 294,204 | |
| Series 2018-SFR1 Class F, 4.96% 5/17/37 (d) | 1,584,000 | 1,683,926 | |
| Series 2019-SFR1 Class F, 3.745% 3/17/38 (d) | 924,000 | 949,618 | |
| Series 2020-SFR1 Class F, 4.882% 7/17/38 (d) | 269,000 | 288,676 | |
| VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (d) | 734,000 | 751,496 | |
| Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.5869% 4/15/32 (d)(e)(h) | 21,084,000 | 21,063,823 | |
| Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 2.0027% 7/16/31 (d)(e)(h) | 26,047,000 | 26,135,951 | |
| Voya CLO Ltd.: | |||
| Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/30 (d)(e)(h) | 19,206,000 | 19,153,395 | |
| Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.4884% 7/20/32 (d)(e)(h) | 23,497,000 | 23,485,463 | |
| Voya CLO Ltd. / Voya CLO LLC Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4965% 10/20/31 (d)(e)(h) | 39,250,000 | 39,200,702 | |
| Voya CLO Ltd./Voya CLO LLC Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.7848% 7/19/31 (d)(e)(h) | 29,300,000 | 29,337,182 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $1,502,822,302) | 1,496,881,896 | ||
| Collateralized Mortgage Obligations - 1.1% | |||
| Private Sponsor - 0.4% | |||
| Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.2881% 6/27/36 (d)(e)(h) | 145,847 | 145,635 | |
| BCAP LLC Trust sequential payer Series 2012-RR5 Class 8A5, 0.5514% 7/26/36 (d)(e) | 153,179 | 150,988 | |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (d)(e) | 1,744,649 | 1,740,213 | |
| Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (c)(d)(e) | 4,537 | 673 | |
| CSMC: | |||
| floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4143% 5/27/37 (d)(e)(h) | 2,448,640 | 2,314,708 | |
| Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (c)(d)(e)(h) | 149,476 | 15 | |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (d) | 12,932,979 | 13,322,588 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5965% 2/20/49 (e)(h) | 5,571,602 | 5,629,042 | |
| Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.6565% 8/25/60 (d)(e)(h) | 7,734,379 | 7,734,580 | |
| GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.322% 3/25/37 (e) | 5,054 | 5,034 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.0261% 12/22/69 (d)(e)(h) | 7,642,434 | 7,665,873 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (d)(e) | 42,614,000 | 43,563,994 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (d) | 4,279,112 | 4,334,683 | |
| RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.0436% 7/26/45 (d)(e) | 620,009 | 612,369 | |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (d) | 6,199,554 | 6,198,959 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.3048% 7/20/34 (e)(h) | 5,307 | 5,109 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7786% 1/21/70 (d)(e)(h) | 16,128,000 | 16,162,095 | |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.7901% 9/25/43 (e)(h) | 2,256,740 | 2,193,586 | |
| TOTAL PRIVATE SPONSOR | 111,780,144 | ||
| U.S. Government Agency - 0.7% | |||
| Fannie Mae: | |||
| floater: | |||
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9501% 2/25/32 (e)(h) | 7,721 | 7,848 | |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1435% 3/18/32 (e)(h) | 13,840 | 14,147 | |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1501% 4/25/32 (e)(h) | 15,311 | 15,678 | |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1501% 10/25/32 (e)(h) | 20,374 | 20,846 | |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9001% 1/25/32 (e)(h) | 7,657 | 7,770 | |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9499% 12/25/33 (e)(n)(o) | 262,617 | 72,753 | |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5299% 11/25/36 (e)(n)(o) | 191,875 | 42,615 | |
| planned amortization class: | |||
| Series 1992-168 Class KB, 7% 10/25/22 | 2,727 | 2,862 | |
| Series 1993-207 Class H, 6.5% 11/25/23 | 64,123 | 68,474 | |
| Series 1996-28 Class PK, 6.5% 7/25/25 | 22,795 | 24,434 | |
| Series 1999-17 Class PG, 6% 4/25/29 | 104,432 | 116,237 | |
| Series 1999-32 Class PL, 6% 7/25/29 | 105,141 | 117,369 | |
| Series 1999-33 Class PK, 6% 7/25/29 | 78,191 | 87,407 | |
| Series 2001-52 Class YZ, 6.5% 10/25/31 | 10,555 | 12,435 | |
| Series 2003-28 Class KG, 5.5% 4/25/23 | 32,980 | 34,461 | |
| Series 2005-102 Class CO 11/25/35 (p) | 52,427 | 49,353 | |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.1597% 8/25/35 (e)(o) | 14,206 | 19,571 | |
| Series 2005-81 Class PC, 5.5% 9/25/35 | 147,201 | 167,433 | |
| Series 2006-12 Class BO 10/25/35 (p) | 239,203 | 224,536 | |
| Series 2006-15 Class OP 3/25/36 (p) | 271,000 | 255,088 | |
| Series 2006-37 Class OW 5/25/36 (p) | 25,631 | 23,955 | |
| Series 2006-45 Class OP 6/25/36 (p) | 84,403 | 79,190 | |
| Series 2006-62 Class KP 4/25/36 (p) | 140,861 | 132,896 | |
| Series 2012-149: | |||
| Class DA, 1.75% 1/25/43 | 2,690,400 | 2,775,660 | |
| Class GA, 1.75% 6/25/42 | 2,894,038 | 2,980,768 | |
| sequential payer: | |||
| Series 1997-41 Class J, 7.5% 6/18/27 | 22,207 | 25,454 | |
| Series 1999-25 Class Z, 6% 6/25/29 | 83,456 | 95,018 | |
| Series 2001-20 Class Z, 6% 5/25/31 | 109,820 | 123,326 | |
| Series 2001-31 Class ZC, 6.5% 7/25/31 | 58,458 | 67,524 | |
| Series 2002-16 Class ZD, 6.5% 4/25/32 | 36,543 | 43,172 | |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3999% 11/25/32 (e)(n)(o) | 132,227 | 19,598 | |
| Series 2012-67 Class AI, 4.5% 7/25/27 (n) | 482,886 | 30,212 | |
| Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4899% 12/25/36 (e)(n)(o) | 135,637 | 37,024 | |
| Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2899% 5/25/37 (e)(n)(o) | 74,403 | 16,943 | |
| Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3752% 9/25/23 (e)(o) | 3,004 | 3,532 | |
| Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9499% 3/25/33 (e)(n)(o) | 17,302 | 4,195 | |
| Series 2005-72 Class ZC, 5.5% 8/25/35 | 1,038,316 | 1,178,308 | |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | 769,322 | 882,411 | |
| Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.7192% 6/25/37 (e)(o) | 62,084 | 132,887 | |
| Series 2007-66: | |||
| Class SA, 39.600% - 1 month U.S. LIBOR 38.6992% 7/25/37 (e)(o) | 94,022 | 201,368 | |
| Class SB, 39.600% - 1 month U.S. LIBOR 38.6992% 7/25/37 (e)(o) | 32,639 | 61,954 | |
| Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.3949% 8/25/37 (e)(n)(o) | 2,787,953 | 641,599 | |
| Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1999% 3/25/38 (e)(n)(o) | 479,090 | 102,631 | |
| Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 6.2099% 6/25/21 (e)(n)(o) | 4 | 0 | |
| Series 2010-135: | |||
| Class LS, 6.050% - 1 month U.S. LIBOR 5.8999% 12/25/40 (e)(n)(o) | 456,577 | 94,247 | |
| Class ZA, 4.5% 12/25/40 | 2,054,611 | 2,270,527 | |
| Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 260,966 | 15,954 | |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | 2,572,131 | 2,895,639 | |
| Series 2010-17 Class DI, 4.5% 6/25/21 (n) | 2 | 0 | |
| Series 2010-95 Class ZC, 5% 9/25/40 | 5,454,970 | 6,175,057 | |
| Series 2011-39 Class ZA, 6% 11/25/32 | 324,323 | 377,732 | |
| Series 2011-4 Class PZ, 5% 2/25/41 | 999,633 | 1,165,223 | |
| Series 2011-67 Class AI, 4% 7/25/26 (n) | 84,845 | 4,671 | |
| Series 2011-83 Class DI, 6% 9/25/26 (n) | 46,618 | 1,584 | |
| Series 2012-100 Class WI, 3% 9/25/27 (n) | 1,732,525 | 114,925 | |
| Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5008% 12/25/30 (e)(n)(o) | 473,147 | 30,573 | |
| Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3999% 6/25/41 (e)(n)(o) | 563,140 | 46,664 | |
| Series 2013-133 Class IB, 3% 4/25/32 (n) | 988,095 | 33,711 | |
| Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8999% 1/25/44 (e)(n)(o) | 606,335 | 99,637 | |
| Series 2013-51 Class GI, 3% 10/25/32 (n) | 1,803,906 | 131,023 | |
| Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5699% 6/25/35 (e)(n)(o) | 362,127 | 74,741 | |
| Series 2015-42 Class IL, 6% 6/25/45 (n) | 2,767,381 | 538,212 | |
| Series 2015-70 Class JC, 3% 10/25/45 | 2,411,301 | 2,560,635 | |
| Series 2017-30 Class AI, 5.5% 5/25/47 (n) | 1,542,224 | 310,323 | |
| Fannie Mae Stripped Mortgage-Backed Securities: | |||
| Series 339 Class 5, 5.5% 7/25/33 (n) | 70,586 | 12,988 | |
| Series 343 Class 16, 5.5% 5/25/34 (n) | 62,313 | 10,341 | |
| Series 348 Class 14, 6.5% 8/25/34 (e)(n) | 43,962 | 9,991 | |
| Series 351: | |||
| Class 12, 5.5% 4/25/34 (e)(n) | 28,161 | 5,202 | |
| Class 13, 6% 3/25/34 (n) | 38,825 | 7,246 | |
| Series 359 Class 19, 6% 7/25/35 (e)(n) | 23,598 | 4,840 | |
| Series 384 Class 6, 5% 7/25/37 (n) | 296,112 | 51,195 | |
| Freddie Mac: | |||
| floater: | |||
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9409% 1/15/32 (e)(h) | 6,565 | 6,673 | |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0409% 3/15/32 (e)(h) | 8,461 | 8,630 | |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1409% 3/15/32 (e)(h) | 9,180 | 9,391 | |
| Series 2432: | |||
| Class FE, 1 month U.S. LIBOR + 0.900% 1.0409% 6/15/31 (e)(h) | 15,795 | 16,092 | |
| Class FG, 1 month U.S. LIBOR + 0.900% 1.0409% 3/15/32 (e)(h) | 4,982 | 5,082 | |
| floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3909% 5/15/37 (e)(h) | 357,199 | 358,209 | |
| planned amortization class: | |||
| Series 2095 Class PE, 6% 11/15/28 | 118,987 | 133,046 | |
| Series 2101 Class PD, 6% 11/15/28 | 10,135 | 11,302 | |
| Series 2121 Class MG, 6% 2/15/29 | 46,857 | 52,358 | |
| Series 2131 Class BG, 6% 3/15/29 | 344,265 | 385,974 | |
| Series 2137 Class PG, 6% 3/15/29 | 51,242 | 57,515 | |
| Series 2154 Class PT, 6% 5/15/29 | 92,080 | 103,353 | |
| Series 2162 Class PH, 6% 6/15/29 | 18,089 | 20,151 | |
| Series 2520 Class BE, 6% 11/15/32 | 126,311 | 145,827 | |
| Series 2693 Class MD, 5.5% 10/15/33 | 1,370,560 | 1,582,854 | |
| Series 2802 Class OB, 6% 5/15/34 | 140,925 | 158,721 | |
| Series 3002 Class NE, 5% 7/15/35 | 349,319 | 391,678 | |
| Series 3110 Class OP 9/15/35 (p) | 142,617 | 139,019 | |
| Series 3119 Class PO 2/15/36 (p) | 316,861 | 298,077 | |
| Series 3121 Class KO 3/15/36 (p) | 53,309 | 50,798 | |
| Series 3123 Class LO 3/15/36 (p) | 180,683 | 170,081 | |
| Series 3145 Class GO 4/15/36 (p) | 178,450 | 168,791 | |
| Series 3189 Class PD, 6% 7/15/36 | 289,610 | 344,617 | |
| Series 3225 Class EO 10/15/36 (p) | 93,778 | 88,037 | |
| Series 3258 Class PM, 5.5% 12/15/36 | 139,076 | 160,431 | |
| Series 3415 Class PC, 5% 12/15/37 | 120,706 | 135,913 | |
| Series 3786 Class HI, 4% 3/15/38 (n) | 143,998 | 3,065 | |
| Series 3806 Class UP, 4.5% 2/15/41 | 867,531 | 959,802 | |
| Series 3832 Class PE, 5% 3/15/41 | 1,481,270 | 1,662,038 | |
| Series 4135 Class AB, 1.75% 6/15/42 | 2,177,283 | 2,242,760 | |
| sequential payer: | |||
| Series 2135 Class JE, 6% 3/15/29 | 23,413 | 26,317 | |
| Series 2274 Class ZM, 6.5% 1/15/31 | 32,676 | 37,557 | |
| Series 2281 Class ZB, 6% 3/15/30 | 63,028 | 70,028 | |
| Series 2303 Class ZV, 6% 4/15/31 | 31,845 | 35,891 | |
| Series 2357 Class ZB, 6.5% 9/15/31 | 238,206 | 280,447 | |
| Series 2502 Class ZC, 6% 9/15/32 | 60,025 | 69,152 | |
| Series 2519 Class ZD, 5.5% 11/15/32 | 89,595 | 101,591 | |
| Series 2546 Class MJ, 5.5% 3/15/23 | 20,712 | 21,670 | |
| Series 2601 Class TB, 5.5% 4/15/23 | 9,702 | 10,159 | |
| Series 2998 Class LY, 5.5% 7/15/25 | 45,132 | 48,552 | |
| Series 3871 Class KB, 5.5% 6/15/41 | 1,993,984 | 2,372,559 | |
| Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4591% 2/15/36 (e)(n)(o) | 89,839 | 18,803 | |
| Series 2013-4281 Class AI, 4% 12/15/28 (n) | 748,257 | 36,910 | |
| Series 2017-4683 Class LM, 3% 5/15/47 | 3,538,722 | 3,759,579 | |
| Series 2844: | |||
| Class SC, 46.800% - 1 month U.S. LIBOR 45.8843% 8/15/24 (e)(o) | 406 | 477 | |
| Class SD, 86.400% - 1 month U.S. LIBOR 84.6185% 8/15/24 (e)(o) | 596 | 782 | |
| Series 2933 Class ZM, 5.75% 2/15/35 | 1,479,675 | 1,751,848 | |
| Series 2935 Class ZK, 5.5% 2/15/35 | 1,315,209 | 1,507,870 | |
| Series 2947 Class XZ, 6% 3/15/35 | 501,383 | 584,468 | |
| Series 2996 Class ZD, 5.5% 6/15/35 | 1,115,799 | 1,318,502 | |
| Series 3237 Class C, 5.5% 11/15/36 | 1,471,401 | 1,703,710 | |
| Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5191% 11/15/36 (e)(n)(o) | 382,799 | 97,271 | |
| Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6091% 3/15/37 (e)(n)(o) | 593,703 | 159,034 | |
| Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6191% 4/15/37 (e)(n)(o) | 844,874 | 227,139 | |
| Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4391% 6/15/37 (e)(n)(o) | 289,319 | 67,457 | |
| Series 3949 Class MK, 4.5% 10/15/34 | 245,263 | 270,982 | |
| Series 3955 Class YI, 3% 11/15/21 (n) | 88,596 | 855 | |
| Series 4055 Class BI, 3.5% 5/15/31 (n) | 898,587 | 33,827 | |
| Series 4149 Class IO, 3% 1/15/33 (n) | 905,813 | 90,271 | |
| Series 4314 Class AI, 5% 3/15/34 (n) | 273,468 | 18,940 | |
| Series 4427 Class LI, 3.5% 2/15/34 (n) | 1,956,489 | 109,688 | |
| Series 4471 Class PA 4% 12/15/40 | 1,528,715 | 1,639,909 | |
| target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 58,263 | 63,184 | |
| Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
| floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0484% 2/15/24 (e)(h) | 16,250 | 16,341 | |
| sequential payer: | |||
| Series 2043 Class ZH, 6% 4/15/28 | 40,477 | 45,108 | |
| Series 2056 Class Z, 6% 5/15/28 | 95,026 | 106,201 | |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 3,042,149 | 3,353,089 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 7,205,420 | 7,859,154 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5491% 6/16/37 (e)(n)(o) | 167,281 | 40,609 | |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.7063% 3/20/60 (e)(h)(q) | 2,214,759 | 2,221,448 | |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4761% 7/20/60 (e)(h)(q) | 288,265 | 287,635 | |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.44% 9/20/60 (e)(h)(q) | 346,728 | 345,752 | |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.44% 8/20/60 (e)(h)(q) | 357,998 | 357,026 | |
| Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.52% 12/20/60 (e)(h)(q) | 724,934 | 724,342 | |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 12/20/60 (e)(h)(q) | 904,101 | 905,875 | |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 2/20/61 (e)(h)(q) | 1,535,369 | 1,537,499 | |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.63% 2/20/61 (e)(h)(q) | 2,057,018 | 2,059,777 | |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 4/20/61 (e)(h)(q) | 817,601 | 819,295 | |
| Series 2011-H14: | |||
| Class FB, 1 month U.S. LIBOR + 0.500% 0.64% 5/20/61 (e)(h)(q) | 1,139,733 | 1,142,092 | |
| Class FC, 1 month U.S. LIBOR + 0.500% 0.64% 5/20/61 (e)(h)(q) | 939,566 | 941,506 | |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.67% 6/20/61 (e)(h)(q) | 1,097,397 | 1,100,263 | |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.74% 10/20/61 (e)(h)(q) | 2,198,757 | 2,208,147 | |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.84% 11/20/61 (e)(h)(q) | 1,207,971 | 1,215,780 | |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.84% 1/20/62 (e)(h)(q) | 782,956 | 787,823 | |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.77% 1/20/62 (e)(h)(q) | 1,106,278 | 1,111,702 | |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.77% 3/20/62 (e)(h)(q) | 713,121 | 716,213 | |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.79% 5/20/61 (e)(h)(q) | 31,981 | 32,157 | |
| Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 0.66% 10/20/62 (e)(h)(q) | 583,640 | 585,000 | |
| Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 0.67% 7/20/60 (e)(h)(q) | 17,344 | 17,358 | |
| Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 0.5% 3/20/63 (e)(h)(q) | 1,069,309 | 1,068,089 | |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.74% 1/20/64 (e)(h)(q) | 1,052,119 | 1,055,903 | |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.74% 12/20/63 (e)(h)(q) | 3,789,758 | 3,805,278 | |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.64% 6/20/64 (e)(h)(q) | 4,583,755 | 4,593,074 | |
| Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 0.64% 9/20/64 (e)(h)(q) | 15,178,227 | 15,209,446 | |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.54% 12/20/62 (e)(h)(q) | 62,338 | 62,321 | |
| Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 0.5465% 1/20/49 (e)(h) | 7,221,116 | 7,271,771 | |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.6465% 10/20/49 (e)(h) | 2,658,852 | 2,685,102 | |
| Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5965% 12/20/49 (e)(h) | 8,865,393 | 8,926,712 | |
| Series 2019-65 Class BF, 1 month U.S. LIBOR + 0.400% 0.5465% 5/20/49 (e)(h) | 6,591,766 | 6,637,951 | |
| Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.6465% 8/20/49 (e)(h) | 3,755,814 | 3,794,351 | |
| Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5465% 3/20/50 (e)(h) | 8,511,400 | 8,569,460 | |
| planned amortization class: | |||
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.707% 12/20/40 (e)(o) | 2,805,232 | 3,366,289 | |
| Series 2011-136 Class WI, 4.5% 5/20/40 (n) | 139,515 | 9,359 | |
| Series 2016-69 Class WA, 3% 2/20/46 | 2,273,732 | 2,354,622 | |
| Series 2017-134 Class BA, 2.5% 11/20/46 | 3,157,462 | 3,313,282 | |
| sequential payer: | |||
| Series 2004-24 Class ZM, 5% 4/20/34 | 497,286 | 563,878 | |
| Series 2010-160 Class DY, 4% 12/20/40 | 5,484,898 | 6,035,582 | |
| Series 2010-170 Class B, 4% 12/20/40 | 1,223,715 | 1,346,809 | |
| Series 2017-139 Class BA, 3% 9/20/47 | 11,324,496 | 12,089,846 | |
| Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3591% 5/16/34 (e)(n)(o) | 95,049 | 19,972 | |
| Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0591% 8/17/34 (e)(n)(o) | 95,151 | 24,000 | |
| Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 39.3547% 6/16/37 (e)(o) | 9,106 | 17,460 | |
| Series 2010-116 Class QB, 4% 9/16/40 | 12,170,230 | 13,220,445 | |
| Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4863% 5/20/60 (e)(h)(q) | 828,252 | 826,456 | |
| Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9535% 7/20/41 (e)(n)(o) | 471,696 | 89,145 | |
| Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5591% 6/16/42 (e)(n)(o) | 350,976 | 81,381 | |
| Series 2013-124: | |||
| Class ES, 8.667% - 1 month U.S. LIBOR 8.4713% 4/20/39 (e)(o) | 100,823 | 106,279 | |
| Class ST, 8.800% - 1 month U.S. LIBOR 8.6047% 8/20/39 (e)(o) | 333,305 | 344,713 | |
| Series 2013-149 Class MA, 2.5% 5/20/40 | 6,258,505 | 6,515,027 | |
| Series 2014-2 Class BA, 3% 1/20/44 | 6,046,039 | 6,500,524 | |
| Series 2014-21 Class HA, 3% 2/20/44 | 2,480,195 | 2,638,118 | |
| Series 2014-25 Class HC, 3% 2/20/44 | 3,935,913 | 4,262,846 | |
| Series 2014-5 Class A, 3% 1/20/44 | 3,594,234 | 3,844,651 | |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (q) | 378,213 | 381,088 | |
| Series 2015-H21 Class JA, 2.5% 6/20/65 (q) | 174,719 | 174,687 | |
| Series 2017-186 Class HK, 3% 11/16/45 | 5,596,363 | 6,008,576 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.47% 8/20/66 (e)(h)(q) | 9,222,270 | 9,132,423 | |
| TOTAL U.S. GOVERNMENT AGENCY | 231,953,645 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $336,244,986) | 343,733,789 | ||
| Commercial Mortgage Securities - 3.2% | |||
| Ashford Hospitality Trust floater Series 2018-ASHF Class E, 1 month U.S. LIBOR + 3.100% 3.2409% 4/15/35(d)(e)(h) | 710,000 | 621,987 | |
| Atrium Hotel Portfolio Trust floater Series 2018-ATRM Class D, 1 month U.S. LIBOR + 2.300% 2.4409% 6/15/35 (d)(e)(h) | 304,000 | 273,364 | |
| BAMLL Commercial Mortgage Securities Trust: | |||
| floater: | |||
| Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 3.3409% 3/15/34 (d)(e)(h) | 987,000 | 847,703 | |
| Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 2.0909% 4/15/36 (d)(e)(h) | 1,880,000 | 1,765,605 | |
| floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 3% 11/15/30 (d)(e)(h) | 23,291,000 | 23,291,426 | |
| sequential payer Series 2019-BPR: | |||
| Class AMP, 3.287% 11/5/32 (d) | 11,600,000 | 11,682,452 | |
| Class ANM, 3.112% 11/5/32 (d) | 14,236,000 | 14,204,036 | |
| Series 2015-200P Class F, 3.7157% 4/14/33 (d)(e) | 831,000 | 831,679 | |
| Series 2019-BPR: | |||
| Class BNM, 3.465% 11/5/32 (d) | 3,196,000 | 2,836,903 | |
| Class CNM, 3.8425% 11/5/32 (d)(e) | 1,322,000 | 1,117,483 | |
| BANK: | |||
| sequential payer: | |||
| Series 2019-BN21 Class A5, 2.851% 10/17/52 | 2,606,000 | 2,872,995 | |
| Series 2019-BN23 Class E, 2.5% 12/15/52 (d) | 693,000 | 533,740 | |
| Series 2017-BNK4 Class D, 3.357% 5/15/50 (d) | 1,426,000 | 1,367,408 | |
| Series 2017-BNK6 Class D, 3.1% 7/15/60 (d) | 830,000 | 675,126 | |
| Series 2017-BNK8: | |||
| Class D, 2.6% 11/15/50 (d) | 1,738,000 | 1,402,193 | |
| Class E, 2.8% 11/15/50 (d) | 1,092,000 | 621,941 | |
| Series 2018-BN12 Class D, 3% 5/15/61 (d) | 866,000 | 596,182 | |
| Series 2018-BN15: | |||
| Class D, 3% 11/15/61 (d) | 735,000 | 564,758 | |
| Class E, 3% 11/15/61 (d) | 735,000 | 467,871 | |
| Series 2019-BN18: | |||
| Class D, 3% 5/15/62 (d) | 1,150,000 | 1,030,211 | |
| Class E, 3% 5/15/62 (d) | 588,000 | 474,552 | |
| Series 2019-BN19: | |||
| Class D, 3% 8/15/61 (d) | 1,680,000 | 1,531,011 | |
| Class E, 3% 8/15/61 (d) | 276,000 | 219,659 | |
| Series 2019-BN20 Class D, 2.5% 9/15/62 (d) | 1,743,000 | 1,545,578 | |
| Series 2019-BN21: | |||
| Class E, 2.5% 10/17/52 (d) | 950,000 | 746,725 | |
| Class F, 2.6818% 10/17/52 (d) | 1,344,000 | 601,540 | |
| Series 2020-BN27 Class D, 2.5% 4/15/63 (d) | 430,000 | 377,987 | |
| Series 2020-BN28 Class E, 2.5% 3/15/63 (d) | 441,000 | 365,224 | |
| Series 2020-BN29 Class E, 2.5% 11/15/53 (d) | 525,000 | 416,362 | |
| Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: | |||
| Class C, 4.352% 2/15/50 (e) | 610,000 | 610,918 | |
| Class D, 3.25% 2/15/50 (d) | 1,222,000 | 983,918 | |
| Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 2.1041% 7/15/49 (e)(n) | 27,469,602 | 1,831,223 | |
| Barclays Commercial Mortgage Securities LLC Series 2019-C5: | |||
| Class D, 2.5% 11/15/52 (d) | 333,000 | 285,803 | |
| Class F, 2.7297% 11/15/52 (d)(e) | 548,000 | 238,575 | |
| Bayview Commercial Asset Trust Series 2006-3A, Class IO, 0% 10/25/36 (c)(d)(e)(n) | 1,372,293 | 0 | |
| BBCMS Mortgage Trust: | |||
| sequential payer Series 2020-C8 Class E, 2.25% 10/15/53 (d) | 1,476,000 | 1,068,215 | |
| Series 2016-ETC: | |||
| Class D, 3.7292% 8/14/36 (d)(e) | 868,000 | 665,737 | |
| Class E, 3.7292% 8/14/36 (d)(e) | 637,000 | 427,051 | |
| Series 2020-C6 Class E, 2.4% 2/15/53 (d) | 628,000 | 436,474 | |
| Series 2020-C7 Class D, 3.7186% 4/15/53 (d)(e) | 393,000 | 342,432 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
| Series 2018-B4 Class A5, 4.121% 7/15/51 | 2,953,000 | 3,500,963 | |
| Series 2019-B14: | |||
| Class 225D, 3.4041% 12/15/62 (d)(e) | 719,000 | 670,107 | |
| Class 225E, 3.4041% 12/15/62 (d)(e) | 485,000 | 425,632 | |
| Class A5, 3.0486% 12/15/62 | 4,059,000 | 4,546,701 | |
| Series 2020-B20 Class E, 2% 10/15/53 (d) | 1,029,000 | 772,255 | |
| Series 2018-B7: | |||
| Class D, 3% 5/15/53 (d)(e) | 614,000 | 498,939 | |
| Class E, 3% 5/15/53 (d)(e) | 614,000 | 445,745 | |
| Class F, 3.7661% 5/15/53 (d)(e) | 1,365,000 | 742,182 | |
| Series 2019-B12 Class D, 3% 8/15/52 (d) | 682,000 | 623,303 | |
| Series 2020-B18: | |||
| Class AGNG, 4.5348% 7/15/53 (d)(e) | 1,995,000 | 1,876,133 | |
| Class D, 2.25% 7/15/53 (d) | 1,365,000 | 1,177,564 | |
| Series 2020-B21: | |||
| Class D, 2% 12/15/53 (d) | 798,000 | 649,637 | |
| Class E, 2% 12/15/53 (d) | 737,000 | 512,568 | |
| Series 2020-IG2: | |||
| Class C, 3.4028% 9/15/48 (d)(e) | 546,000 | 532,603 | |
| Class D, 3.4028% 9/15/48 (d)(e) | 693,000 | 642,134 | |
| Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (d)(e) | 1,400,000 | 1,062,326 | |
| BFLD Trust: | |||
| floater Series 2020-EYP Class G, 1 month U.S. LIBOR + 4.850% 4.9909% 10/15/35 (d)(e)(h) | 993,000 | 977,994 | |
| floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.2% 11/15/22 (d)(e)(h) | 13,388,000 | 13,413,519 | |
| Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 2.5409% 6/15/35 (d)(e)(h) | 294,000 | 258,974 | |
| BWAY Mortgage Trust Series 2015-1740 Class E, 4.8058% 1/10/35 (d)(e) | 637,000 | 596,098 | |
| BX Commercial Mortgage Trust: | |||
| floater: | |||
| Series 2018-BIOA: | |||
| Class E, 1 month U.S. LIBOR + 1.950% 2.0919% 3/15/37 (d)(e)(h) | 695,000 | 690,207 | |
| Class F, 1 month U.S. LIBOR + 2.470% 2.6119% 3/15/37 (d)(e)(h) | 1,274,000 | 1,246,774 | |
| Series 2019-CALM Class E, 1 month U.S. LIBOR + 2.000% 2.1409% 11/15/32 (d)(e)(h) | 340,000 | 323,358 | |
| Series 2020-BXLP: | |||
| Class B, 1 month U.S. LIBOR + 1.000% 1.1409% 12/15/36 (d)(e)(h) | 13,449,690 | 13,411,965 | |
| Class C, 1 month U.S. LIBOR + 1.120% 1.2609% 12/15/36 (d)(e)(h) | 10,729,180 | 10,662,523 | |
| Class D, 1 month U.S. LIBOR + 1.250% 1.3909% 12/15/36 (d)(e)(h) | 18,180,360 | 17,941,701 | |
| Class G, 1 month U.S. LIBOR + 2.500% 2.6409% 12/15/36 (d)(e)(h) | 2,307,888 | 2,241,405 | |
| Series 2020-FOX Class G, 1 month U.S. LIBOR + 4.750% 4.8909% 11/15/32 (d)(e)(h) | 945,000 | 949,163 | |
| floater sequential payer: | |||
| Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0169% 11/15/32 (d)(e)(h) | 5,594,000 | 5,554,510 | |
| Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9409% 12/15/36 (d)(e)(h) | 25,630,541 | 25,599,751 | |
| Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 11/15/32 (d)(e)(h) | 20,155,000 | 20,187,258 | |
| Series 2020-VIV2 Class C, 3.6605% 3/9/44 (d)(e) | 1,722,000 | 1,677,484 | |
| Series 2020-VIVA: | |||
| Class D, 3.667% 3/9/44 (d)(e) | 1,482,000 | 1,393,042 | |
| Class E, 3.667% 3/9/44 (d)(e) | 953,000 | 818,756 | |
| BX Trust: | |||
| floater: | |||
| Series 2017-APPL Class F, 1 month U.S. LIBOR + 4.250% 4.3909% 7/15/34 (d)(e)(h) | 1,145,800 | 1,114,217 | |
| Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 2.7659% 9/15/37 (d)(e)(h) | 6,299,990 | 4,770,805 | |
| Series 2018-IND: | |||
| Class F, 1 month U.S. LIBOR + 1.800% 1.9409% 11/15/35 (d)(e)(h) | 6,762,700 | 6,699,179 | |
| Class G, 1 month U.S. LIBOR + 2.050% 2.1909% 11/15/35 (d)(e)(h) | 1,467,200 | 1,452,500 | |
| Class H, 1 month U.S. LIBOR + 3.000% 3.1409% 11/15/35 (d)(e)(h) | 548,100 | 542,608 | |
| Series 2019-ATL Class E, 1 month U.S. LIBOR + 2.230% 2.3775% 10/15/36 (d)(e)(h) | 972,000 | 855,140 | |
| Series 2019-IMC: | |||
| Class B, 1 month U.S. LIBOR + 1.300% 1.4409% 4/15/34 (d)(e)(h) | 11,328,000 | 10,760,305 | |
| Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 4/15/34 (d)(e)(h) | 7,490,000 | 7,020,818 | |
| Class D, 1 month U.S. LIBOR + 1.900% 2.0409% 4/15/34 (d)(e)(h) | 7,862,000 | 7,320,287 | |
| Class G, 1 month U.S. LIBOR + 3.600% 3.7409% 4/15/34 (d)(e)(h) | 1,533,000 | 1,241,145 | |
| Series 2019-XL: | |||
| Class B, 1 month U.S. LIBOR + 1.080% 1.2209% 10/15/36 (d)(e)(h) | 10,899,837 | 10,879,350 | |
| Class C, 1 month U.S. LIBOR + 1.250% 1.3909% 10/15/36 (d)(e)(h) | 13,702,165 | 13,667,848 | |
| Class D, 1 month U.S. LIBOR + 1.450% 1.5909% 10/15/36 (d)(e)(h) | 19,408,394 | 19,323,274 | |
| Class E, 1 month U.S. LIBOR + 1.800% 1.9409% 10/15/36 (d)(e)(h) | 27,270,478 | 27,117,442 | |
| Class F, 1 month U.S. LIBOR + 2.000% 2.1409% 10/15/36 (d)(e)(h) | 589,514 | 582,130 | |
| Class J, 1 month U.S. LIBOR + 2.650% 2.7909% 10/15/36 (d)(e)(h) | 6,773,240 | 6,612,048 | |
| Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7409% 12/15/36 (d)(e)(h) | 13,606,546 | 13,376,481 | |
| floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 4/15/34 (d)(e)(h) | 21,067,000 | 20,408,159 | |
| sequential payer Series 2020-VIV3 Class B, 3.662% 3/9/44 (d)(e) | 1,006,000 | 1,018,883 | |
| Series 2019-OC11: | |||
| Class C, 3.856% 12/9/41 (d) | 1,092,000 | 1,091,645 | |
| Class D, 4.0755% 12/9/41 (d)(e) | 168,000 | 164,203 | |
| Class E, 4.0755% 12/9/41 (d)(e) | 4,148,000 | 3,821,939 | |
| BXMT Ltd. floater Series 2017-FL1 Class D, 1 month U.S. LIBOR + 2.700% 2.8435% 6/15/35 (d)(e)(h) | 533,000 | 530,339 | |
| CALI Mortgage Trust Series 2019-101C Class F, 4.4686% 3/10/39 (d)(e) | 1,743,000 | 1,648,506 | |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 3.3909% 12/15/37 (d)(e)(h) | 4,218,000 | 4,026,059 | |
| CD Mortgage Trust Series 2017-CD3: | |||
| Class C, 4.7108% 2/10/50 (e) | 1,482,000 | 1,494,471 | |
| Class D, 3.25% 2/10/50 (d) | 1,340,000 | 1,042,088 | |
| CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.9307% 12/15/47 (d)(e) | 478,000 | 492,763 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 1.0909% 11/15/36 (d)(e)(h) | 10,499,000 | 10,426,667 | |
| Class B, 1 month U.S. LIBOR + 1.250% 1.3909% 11/15/36 (d)(e)(h) | 2,800,000 | 2,759,664 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 6/15/34 (d)(e)(h) | 28,543,829 | 27,308,261 | |
| Class B, 1 month U.S. LIBOR + 1.500% 1.6409% 6/15/34 (d)(e)(h) | 5,618,754 | 5,328,566 | |
| Class C, 1 month U.S. LIBOR + 1.750% 1.8909% 6/15/34 (d)(e)(h) | 6,348,605 | 5,967,509 | |
| Class E, 1 month U.S. LIBOR + 2.350% 2.4909% 6/15/34 (d)(e)(h) | 2,948,278 | 2,545,787 | |
| Class F, 1 month U.S. LIBOR + 2.600% 2.7491% 6/15/34 (d)(e)(h) | 3,805,578 | 3,034,042 | |
| Citigroup Commercial Mortgage Trust: | |||
| Series 19-SMRT Class E, 4.9031% 1/10/36 (d)(e) | 791,000 | 794,319 | |
| Series 2013-375P Class E, 3.6348% 5/10/35 (d)(e) | 1,306,000 | 1,253,073 | |
| Series 2013-GC15 Class D, 5.3541% 9/10/46 (d)(e) | 2,196,000 | 2,093,888 | |
| Series 2015-GC29 Class XA, 1.1802% 4/10/48 (e)(n) | 34,229,537 | 1,331,454 | |
| Series 2015-GC33 Class XA, 1.0396% 9/10/58 (e)(n) | 55,807,988 | 1,962,711 | |
| Series 2016-C3 Class D, 3% 11/15/49 (d) | 1,507,000 | 1,019,871 | |
| Series 2016-P6 Class XA, 0.9188% 12/10/49 (e)(n) | 51,421,368 | 1,383,538 | |
| Series 2019-GC41: | |||
| Class D, 3% 8/10/56 (d) | 378,000 | 344,789 | |
| Class E, 3% 8/10/56 (d) | 834,000 | 659,428 | |
| Series 2019-GC43 Class E, 3% 11/10/52 (d) | 1,196,000 | 950,868 | |
| Series 2020-420K Class E, 3.3118% 11/10/42 (d) | 1,029,000 | 943,281 | |
| Series 2020-GC46: | |||
| Class D, 2.6% 2/15/53 (d) | 1,208,000 | 1,021,798 | |
| Class E, 2.6% 2/15/53 (d) | 136,000 | 94,171 | |
| COMM Mortgage Trust: | |||
| floater: | |||
| Series 2018-HCLV: | |||
| Class F, 1 month U.S. LIBOR + 3.050% 3.1909% 9/15/33 (d)(e)(h) | 468,000 | 364,577 | |
| Class G, 1 month U.S. LIBOR + 5.050% 5.1972% 9/15/33 (d)(e)(h) | 544,000 | 412,935 | |
| Series 2019-521F Class F, 1 month U.S. LIBOR + 2.390% 2.5348% 6/15/34 (d)(e)(h) | 1,260,000 | 1,026,809 | |
| sequential payer: | |||
| Series 2013-CR7 Class AM, 3.314% 3/10/46 (d) | 5,924,751 | 6,211,715 | |
| Series 2013-LC6 Class E, 3.5% 1/10/46 (d) | 959,000 | 561,341 | |
| Series 2014-CR18 Class A5, 3.828% 7/15/47 | 5,007,100 | 5,493,301 | |
| Series 2012-CR1: | |||
| Class C, 5.4966% 5/15/45 (e) | 769,000 | 669,649 | |
| Class D, 5.4966% 5/15/45 (d)(e) | 2,108,000 | 1,503,913 | |
| Class G, 2.462% 5/15/45 (c)(d) | 774,000 | 123,045 | |
| Series 2012-LC4 Class C, 5.7198% 12/10/44 (e) | 166,000 | 146,988 | |
| Series 2013-CR10: | |||
| Class C, 4.9488% 8/10/46 (d)(e) | 314,000 | 316,309 | |
| Class D, 4.9488% 8/10/46 (d)(e) | 1,490,000 | 1,430,532 | |
| Series 2013-CR12 Class D, 5.2405% 10/10/46 (d)(e) | 524,000 | 263,062 | |
| Series 2013-CR9 Class C, 4.3849% 7/10/45 (d)(e) | 334,462 | 261,410 | |
| Series 2013-LC6 Class D, 4.4546% 1/10/46 (d)(e) | 1,664,000 | 1,469,774 | |
| Series 2014-CR15 Class D, 4.8912% 2/10/47 (d)(e) | 298,000 | 299,370 | |
| Series 2014-CR17 Class E, 5.0086% 5/10/47 (c)(d)(e) | 255,000 | 129,886 | |
| Series 2014-CR20 Class XA, 1.1727% 11/10/47 (e)(n) | 67,523,866 | 2,223,541 | |
| Series 2014-LC17: | |||
| Class C, 4.7048% 10/10/47 (e) | 340,000 | 345,967 | |
| Class XA, 0.8755% 10/10/47 (e)(n) | 48,201,743 | 1,070,286 | |
| Series 2014-UBS2 Class D, 5.1592% 3/10/47 (d)(e) | 994,000 | 729,434 | |
| Series 2014-UBS6 Class XA, 1.0361% 12/10/47 (e)(n) | 84,222,769 | 2,347,086 | |
| Series 2015-3BP Class F, 3.3463% 2/10/35 (d)(e) | 1,538,000 | 1,453,317 | |
| Series 2017-CD4 Class D, 3.3% 5/10/50 (d) | 1,079,000 | 909,326 | |
| Series 2019-CD4 Class C, 4.349% 5/10/50 (e) | 1,794,000 | 1,720,978 | |
| COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 7.3938% 5/10/43 (d)(e) | 60,296 | 60,217 | |
| COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (d) | 368,000 | 312,605 | |
| Commercial Mortgage Trust Series 2016-CD2: | |||
| Class C, 4.1578% 11/10/49 (e) | 619,000 | 609,047 | |
| Class D, 2.9078% 11/10/49 (e) | 546,000 | 415,216 | |
| Commercial Mortgage Trust pass-thru certificates: | |||
| Series 2012-CR2: | |||
| Class D, 4.9918% 8/15/45 (d)(e) | 105,000 | 92,804 | |
| Class E, 4.9918% 8/15/45 (d)(e) | 1,835,100 | 1,290,354 | |
| Class F, 4.25% 8/15/45 (d) | 2,033,000 | 1,098,659 | |
| Series 2014-CR2 Class G, 4.25% 8/15/45 (d) | 522,000 | 145,978 | |
| Core Industrial Trust floater Series 2019-CORE: | |||
| Class A, 1 month U.S. LIBOR + 0.880% 1.0209% 12/15/31 (d)(e)(h) | 10,250,000 | 10,202,285 | |
| Class E, 1 month U.S. LIBOR + 1.900% 2.0409% 12/15/31 (d)(e)(h) | 1,469,000 | 1,439,545 | |
| CPT Mortgage Trust sequential payer Series 2019-CPT Class F, 3.0967% 11/13/39 (d)(e) | 1,196,000 | 1,035,084 | |
| Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (d) | 87,310 | 53,749 | |
| Credit Suisse Mortgage Trust: | |||
| floater: | |||
| Series 2019-ICE4: | |||
| Class B, 1 month U.S. LIBOR + 1.230% 1.3709% 5/15/36 (d)(e)(h) | 12,828,000 | 12,812,555 | |
| Class C, 1 month U.S. LIBOR + 1.430% 1.5709% 5/15/36 (d)(e)(h) | 14,090,000 | 14,063,242 | |
| Class F, 1 month U.S. LIBOR + 2.650% 2.7909% 5/15/36 (d)(e)(h) | 693,000 | 682,581 | |
| Series 2019-SKLZ Class D, 1 month U.S. LIBOR + 3.600% 3.7409% 1/15/34 (d)(e)(h) | 647,000 | 607,971 | |
| Series 2020-FACT Class F, 1 month U.S. LIBOR + 6.150% 6.306% 10/15/37 (d)(e)(h) | 1,029,000 | 1,029,039 | |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (d) | 7,604,000 | 7,843,656 | |
| Series 2018-SITE: | |||
| Class A, 4.284% 4/15/36 (d) | 11,930,000 | 11,837,838 | |
| Class B, 4.5349% 4/15/36 (d) | 3,730,000 | 3,619,793 | |
| Class C, 4.9414% 4/15/36 (d)(e) | 2,462,000 | 2,300,883 | |
| Class D, 4.9414% 4/15/36 (d)(e) | 4,923,000 | 4,129,937 | |
| Series 2019-UVIL Class E, 3.3928% 12/15/41 (d)(e) | 952,000 | 715,213 | |
| CSAIL Commercial Mortgage Trust: | |||
| Series 2017-C8 Class D, 4.4701% 6/15/50 (d) | 1,278,000 | 971,864 | |
| Series 2017-CX10 Class UESD, 4.3778% 10/15/32 (d)(e) | 1,055,000 | 992,399 | |
| Series 2017-CX9 Class D, 4.2876% 9/15/50 (d)(e) | 518,000 | 379,345 | |
| Series 2018-CX11 Class C, 4.9499% 4/15/51 (e) | 495,000 | 518,665 | |
| Series 2019-C15 Class C, 5.1461% 3/15/52 (e) | 1,428,000 | 1,467,724 | |
| CSMC Trust: | |||
| floater Series 2017-CHOP Class F, 1 month U.S. LIBOR + 4.350% 4.4909% 7/15/32 (d)(e)(h) | 1,319,000 | 966,873 | |
| Series 2017-MOON Class E, 3.303% 7/10/34 (d)(e) | 1,363,000 | 1,304,050 | |
| DBCCRE Mortgage Trust Series 2014-ARCP: | |||
| Class D, 5.099% 1/10/34 (d)(e) | 458,000 | 466,653 | |
| Class E, 5.099% 1/10/34 (d)(e) | 1,487,000 | 1,479,564 | |
| DBGS Mortgage Trust: | |||
| Series 2018-C1: | |||
| Class C, 4.7843% 10/15/51 (e) | 355,000 | 362,500 | |
| Class D, 3.0343% 10/15/51 (d)(e) | 1,512,000 | 1,334,650 | |
| Series 2019-1735 Class F, 4.3344% 4/10/37 (d)(e) | 1,188,000 | 909,857 | |
| DBJPM Mortgage Trust Series 2020-C9 Class D, 2.25% 9/15/53 (d) | 377,000 | 337,332 | |
| DBUBS Mortgage Trust: | |||
| Series 2011-LC1A: | |||
| Class E, 5.7673% 11/10/46 (d)(e) | 2,136,000 | 2,135,241 | |
| Class F, 5.7673% 11/10/46 (d)(e) | 2,129,000 | 2,109,172 | |
| Class G, 4.652% 11/10/46 (d) | 2,273,000 | 2,185,412 | |
| Class XB, 0.3354% 11/10/46 (d)(e)(n) | 13,328,000 | 91 | |
| Series 2011-LC3A Class D, 5.5131% 8/10/44 (d)(e) | 969,000 | 775,430 | |
| DC Office Trust Series 2019-MTC Class E, 3.1744% 9/15/45 (d)(e) | 449,000 | 347,727 | |
| Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.6315% 8/10/49 (e) | 382,000 | 347,949 | |
| Freddie Mac: | |||
| pass-thru certificates: | |||
| Series K011 Class X3, 2.6622% 12/25/43 (e)(n) | 797,830 | 40 | |
| Series K012 Class X3, 2.338% 1/25/41 (e)(n) | 1,128,055 | 67 | |
| Series K013 Class X3, 2.9107% 1/25/43 (e)(n) | 1,113,000 | 81 | |
| sequential payer: | |||
| Series 2020-K118 Class A2, 1.493% 9/25/30 | 5,800,000 | 5,979,730 | |
| Series 2020-K120 Class A2, 1.5% 10/25/30 | 16,500,000 | 17,014,916 | |
| Series 2020-K119 Class A2, 1.566% 9/25/30 | 15,100,000 | 15,695,838 | |
| Series KAIV Class X2, 3.5908% 6/25/41 (e)(n) | 574,000 | 5,169 | |
| GB Trust floater Series 2020-FLIX: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 8/15/37 (d)(e)(h) | 20,500,000 | 20,528,366 | |
| Class B, 1 month U.S. LIBOR + 1.350% 1.4909% 8/15/37 (d)(e)(h) | 4,300,000 | 4,313,821 | |
| Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 8/15/37 (d)(e)(h) | 2,300,000 | 2,310,506 | |
| GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 3.0934% 11/21/35 (d)(e)(h) | 424,000 | 400,714 | |
| Grace Mortgage Trust Series 2014-GRCE Class F, 3.7098% 6/10/28 (d)(e) | 1,219,000 | 1,218,892 | |
| GS Mortgage Securities Corp. II Series 2010-C1: | |||
| Class B, 5.148% 8/10/43 (d) | 651,000 | 600,753 | |
| Class X, 1.1818% 8/10/43 (d)(e)(n) | 1,153,661 | 10,175 | |
| GS Mortgage Securities Corp. Trust floater: | |||
| Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 2.7909% 10/15/36 (d)(e)(h) | 1,080,000 | 928,813 | |
| Series 2019-SOHO Class E, 1 month U.S. LIBOR + 1.870% 2.0155% 6/15/36 (d)(e)(h) | 1,488,000 | 1,384,963 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.5909% 9/15/31 (d)(e)(h) | 38,854,000 | 35,509,055 | |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2309% 10/15/31 (d)(e)(h) | 10,027,000 | 9,904,653 | |
| Series 2011-GC3 Class D, 5.7066% 3/10/44 (d)(e) | 323,000 | 306,843 | |
| Series 2011-GC5: | |||
| Class C, 5.5547% 8/10/44 (d)(e) | 908,923 | 858,302 | |
| Class D, 5.5547% 8/10/44 (d)(e) | 623,936 | 520,865 | |
| Class E, 5.5547% 8/10/44 (d)(e) | 773,957 | 479,855 | |
| Class F, 4.5% 8/10/44 (d) | 1,339,218 | 563,076 | |
| Series 2012-GC6: | |||
| Class D, 5.839% 1/10/45 (d)(e) | 1,837,000 | 1,502,659 | |
| Class E, 5% 1/10/45 (d)(e) | 1,117,000 | 706,110 | |
| Series 2012-GC6I Class F, 5% 1/10/45 (c)(e) | 447,457 | 181,986 | |
| Series 2012-GCJ7: | |||
| Class C, 5.8158% 5/10/45 (e) | 1,043,000 | 1,025,384 | |
| Class D, 5.8158% 5/10/45 (d)(e) | 2,561,000 | 2,268,844 | |
| Class F, 5% 5/10/45 (c)(d) | 1,100,469 | 298,005 | |
| Series 2012-GCJ9: | |||
| Class D, 4.898% 11/10/45 (d)(e) | 1,910,000 | 1,863,798 | |
| Class E, 4.898% 11/10/45 (d)(e) | 896,000 | 683,800 | |
| Series 2013-GC10 Class D, 4.5489% 2/10/46 (d)(e) | 586,000 | 495,391 | |
| Series 2013-GC12 Class D, 4.5886% 6/10/46 (d)(e) | 254,518 | 208,522 | |
| Series 2013-GC13 Class D, 4.22% 7/10/46 (d)(e) | 1,907,000 | 1,520,088 | |
| Series 2013-GC16: | |||
| Class C, 5.4877% 11/10/46 (e) | 421,844 | 417,191 | |
| Class D, 5.4877% 11/10/46 (d)(e) | 1,161,000 | 1,116,434 | |
| Class F, 3.5% 11/10/46 (d) | 970,000 | 638,580 | |
| Series 2014-GC20 Class XA, 1.2041% 4/10/47 (e)(n) | 81,352,130 | 1,941,200 | |
| Series 2015-GC34 Class XA, 1.397% 10/10/48 (e)(n) | 16,979,897 | 819,511 | |
| Series 2016-GS2: | |||
| Class B, 3.759% 5/10/49 | 842,000 | 908,593 | |
| Class C, 4.6765% 5/10/49 (e) | 771,000 | 813,608 | |
| Class D, 2.753% 5/10/49 (d) | 703,000 | 546,614 | |
| Series 2016-GS4 Class C, 3.918% 11/10/49 (e) | 464,000 | 426,862 | |
| Series 2017-GS6 Class D, 3.243% 5/10/50 (d) | 1,720,000 | 1,542,927 | |
| Series 2018-GS9 Class D, 3% 3/10/51 (d) | 835,000 | 686,316 | |
| Series 2019-GC38 Class D, 3% 2/10/52 (d) | 446,000 | 402,919 | |
| Series 2019-GC39 Class D, 3% 5/10/52 (d) | 1,176,000 | 1,024,199 | |
| Series 2019-GC40: | |||
| Class D, 3% 7/10/52 (d) | 924,000 | 859,287 | |
| Class DBF, 3.668% 7/10/52 (d)(e) | 1,107,500 | 951,916 | |
| Series 2019-GC42: | |||
| Class D, 2.8% 9/1/52 (d) | 408,000 | 367,115 | |
| Class E, 2.8% 9/1/52 (d) | 1,092,000 | 845,350 | |
| Series 2019-GS5 Class C, 4.299% 3/10/50 (e) | 1,155,000 | 1,181,882 | |
| Series 2019-GSA1 Class E, 2.8% 11/10/52 (d) | 693,000 | 465,887 | |
| Series 2020-GC45: | |||
| Class D, 2.85% 2/13/53 (d) | 952,000 | 767,955 | |
| Class SWD, 3.3258% 12/13/39 (d)(e) | 735,000 | 611,121 | |
| Series 2020-GC47 Class D, 3.5707% 5/12/53 (d)(e) | 336,000 | 312,874 | |
| Hilton U.S.A. Trust: | |||
| Series 2016-HHV Class F, 4.3333% 11/5/38 (d)(e) | 1,817,000 | 1,667,646 | |
| Series 2016-SFP: | |||
| Class D, 4.9269% 11/5/35 (d) | 714,000 | 713,747 | |
| Class F, 6.1552% 11/5/35 (d) | 1,531,000 | 1,520,573 | |
| Home Partners of America Trust Series 2019-1: | |||
| Class E, 3.604% 9/17/39 (d) | 679,255 | 699,802 | |
| Class F, 4.101% 9/17/39 (d) | 110,510 | 112,867 | |
| Hudson Yards Mortgage Trust: | |||
| Series 2019-30HY Class E, 3.5579% 7/10/39 (d)(e) | 861,000 | 852,076 | |
| Series 2019-55HY Class F, 3.0409% 12/10/41 (d)(e) | 693,000 | 634,031 | |
| IMT Trust Series 2017-APTS: | |||
| Class EFL, 1 month U.S. LIBOR + 2.150% 2.2909% 6/15/34 (d)(e)(h) | 549,479 | 537,750 | |
| Class FFL, 1 month U.S. LIBOR + 2.850% 2.9909% 6/15/34 (d)(e)(h) | 206,055 | 189,519 | |
| Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (d) | 1,064,000 | 1,037,288 | |
| Invitation Homes Trust floater Series 2018-SFR3 Class F, 1 month U.S. LIBOR + 2.250% 2.3864% 7/17/37 (d)(e)(h) | 208,777 | 206,031 | |
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-LAQ: | |||
| Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 6/15/32 (d)(e)(h) | 655,200 | 623,197 | |
| Class E, 1 month U.S. LIBOR + 3.000% 3.35% 6/15/35 (d)(e)(h) | 53,600 | 50,110 | |
| Series 2019-MFP: | |||
| Class E, 1 month U.S. LIBOR + 2.160% 2.3009% 7/15/36 (d)(e)(h) | 1,029,000 | 956,820 | |
| Class F, 1 month U.S. LIBOR + 3.000% 3.1409% 7/15/36 (d)(e)(h) | 336,000 | 305,699 | |
| Series 2020-NNN: | |||
| Class EFX, 3.972% 1/16/37 (d) | 723,000 | 692,190 | |
| Class FFX, 4.6254% 1/16/37 (d) | 1,145,000 | 1,062,064 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| Series 2014-C19 Class XA, 0.8981% 4/15/47 (e)(n) | 7,796,019 | 134,663 | |
| Series 2014-C23 Class UH5, 4.7094% 9/15/47 (d) | 194,000 | 164,367 | |
| Series 2014-C26 Class D, 4.0216% 1/15/48 (d)(e) | 758,000 | 674,528 | |
| Series 2015-C30 Class XA, 0.6493% 7/15/48 (e)(n) | 45,234,755 | 917,022 | |
| Series 2015-C32 Class C, 4.799% 11/15/48 (e) | 1,942,000 | 1,651,163 | |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.5571% 12/15/49 (d)(e) | 1,251,000 | 966,203 | |
| JPMDB Commercial Mortgage Securities Trust: | |||
| Series 2016-C4: | |||
| Class C, 3.2158% 12/15/49 (e) | 603,000 | 598,130 | |
| Class D, 3.2158% 12/15/49 (d)(e) | 1,242,000 | 980,836 | |
| Series 2017-C7: | |||
| Class C, 4.3233% 10/15/50 (e) | 347,000 | 333,172 | |
| Class D, 3% 10/15/50 (d) | 602,000 | 477,244 | |
| Series 2018-C8 Class D, 3.4016% 6/15/51 (d)(e) | 406,000 | 315,020 | |
| Series 2019-COR6: | |||
| Class D, 2.5% 11/13/52 (d) | 567,000 | 497,576 | |
| Class E, 2.5% 11/13/52 (d) | 1,092,000 | 780,199 | |
| Series 2020-COR7 Class D, 1.75% 5/13/53 (d) | 714,000 | 590,901 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-CBX: | |||
| Class C, 5.3025% 6/15/45 (e) | 159,000 | 147,022 | |
| Class D, 5.3025% 6/15/45 (d)(e) | 886,000 | 657,858 | |
| Class E, 5.3025% 6/15/45 (d)(e) | 1,135,000 | 546,182 | |
| Class F, 4% 6/15/45 (d) | 1,124,000 | 338,330 | |
| Class G 4% 6/15/45 (c)(d) | 1,233,000 | 247,306 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| Series 2011-C3: | |||
| Class E, 5.9091% 2/15/46 (d)(e) | 1,156,000 | 352,839 | |
| Class G, 4.409% 2/15/46 (c)(d)(e) | 368,000 | 71,841 | |
| Class H, 4.409% 2/15/46 (c)(d)(e) | 828,000 | 39,361 | |
| Class J, 4.409% 2/15/46 (c)(d)(e) | 106,000 | 1,007 | |
| Series 2011-C4: | |||
| Class D, 5.663% 7/15/46 (d)(e) | 2,033,000 | 2,000,057 | |
| Class E, 5.663% 7/15/46 (d)(e) | 1,464,000 | 1,424,775 | |
| Class F, 3.873% 7/15/46 (d) | 166,000 | 157,864 | |
| Class H, 3.873% 7/15/46 (d) | 784,250 | 726,023 | |
| Class NR, 3.873% 7/15/46 (d) | 420,000 | 334,533 | |
| Series 2011-C5: | |||
| Class B. 5.6052% 8/15/46 (d)(e) | 726,000 | 731,663 | |
| Class C, 5.6052% 8/15/46 (d)(e) | 414,648 | 394,096 | |
| Series 2013-LC11: | |||
| Class C, 3.9582% 4/15/46 (e) | 1,025,000 | 898,778 | |
| Class D, 4.306% 4/15/46 (e) | 1,638,000 | 1,151,128 | |
| Class F, 3.25% 4/15/46 (d)(e) | 1,851,000 | 883,792 | |
| Series 2014-DSTY: | |||
| Class D, 3.9314% 6/10/27 (d)(e) | 945,000 | 79,502 | |
| Class E, 3.9314% 6/10/27 (c)(d)(e) | 1,519,000 | 41,653 | |
| Series 2018-AON Class F, 4.767% 7/5/31 (d)(e) | 743,000 | 731,334 | |
| Series 2018-WPT: | |||
| Class AFX, 4.2475% 7/5/33 (d) | 8,593,000 | 9,057,373 | |
| Class CFX, 4.9498% 7/5/33 (d) | 2,322,000 | 2,397,671 | |
| Class DFX, 5.3503% 7/5/33 (d) | 3,571,000 | 3,564,808 | |
| Class EFX, 5.5422% 7/5/33 (d) | 4,886,000 | 4,756,500 | |
| Class XAFX, 1.2948% 7/5/33 (d)(e)(n) | 35,039,000 | 912,875 | |
| Series 2019-OSB Class E, 3.9089% 6/5/39 (d)(e) | 1,071,000 | 977,799 | |
| KNDL Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 2.1409% 5/15/36 (d)(e)(h) | 1,638,000 | 1,551,324 | |
| Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 4.0278% 5/15/31 (d)(e) | 1,339,000 | 1,324,846 | |
| Liberty Street Trust Series 2016-225L: | |||
| Class D, 4.8035% 2/10/36 (d)(e) | 375,000 | 395,909 | |
| Class E, 4.8035% 2/10/36 (d)(e) | 942,000 | 956,830 | |
| Market Mortgage Trust Series 2020-525M Class F, 3.0386% 2/12/40 (d)(e) | 819,000 | 744,978 | |
| Merit floater Series 2020-HILL Class F, 1 month U.S. LIBOR + 4.100% 4.2409% 8/15/37 (d)(e)(h) | 1,258,000 | 1,262,789 | |
| MFT Trust Series 2020-B6 Class C, 3.3922% 8/10/40 (d)(e) | 707,000 | 646,749 | |
| MOFT Trust Series 2020-ABC: | |||
| Class D, 3.5926% 2/10/42 (d)(e) | 475,000 | 433,235 | |
| Class E, 3.5926% 2/10/42 (d)(e) | 349,000 | 296,236 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 | 698,000 | 637,342 | |
| Series 2012-C5 Class E, 4.8309% 8/15/45 (d)(e) | 288,000 | 282,077 | |
| Series 2012-C6 Class D, 4.6913% 11/15/45 (d)(e) | 1,469,000 | 1,409,486 | |
| Series 2012-C6, Class F, 4.6913% 11/15/45 (d)(e) | 693,000 | 415,886 | |
| Series 2013-C12 Class D, 4.9217% 10/15/46 (d)(e) | 1,299,000 | 898,700 | |
| Series 2013-C13: | |||
| Class D, 5.0617% 11/15/46 (d)(e) | 1,747,000 | 1,467,551 | |
| Class E, 5.0617% 11/15/46 (d)(e) | 785,081 | 530,537 | |
| Series 2013-C7: | |||
| Class C, 4.2584% 2/15/46 (e) | 308,000 | 297,140 | |
| Class D, 4.3744% 2/15/46 (d)(e) | 966,000 | 594,573 | |
| Class E, 4.3744% 2/15/46 (c)(d)(e) | 391,000 | 229,215 | |
| Series 2013-C8 Class D, 4.1911% 12/15/48 (d)(e) | 504,000 | 458,037 | |
| Series 2013-C9: | |||
| Class C, 4.1679% 5/15/46 (e) | 920,000 | 916,097 | |
| Class D, 4.2559% 5/15/46 (d)(e) | 1,700,000 | 1,402,861 | |
| Class E, 4.2559% 5/15/46 (d)(e) | 722,000 | 548,584 | |
| Series 2014-C17 Class XA, 1.2335% 8/15/47 (e)(n) | 73,406,782 | 1,963,411 | |
| Series 2015-C25 Class XA, 1.2041% 10/15/48 (e)(n) | 28,131,543 | 1,106,203 | |
| Series 2016-C30: | |||
| Class C, 4.2574% 9/15/49 (e) | 266,000 | 229,047 | |
| Class D, 3% 9/15/49 (d) | 252,000 | 149,728 | |
| Series 2016-C31 Class C, 4.4544% 11/15/49 (e) | 603,000 | 540,710 | |
| Series 2016-C32 Class C, 4.432% 12/15/49 (e) | 415,000 | 388,412 | |
| Series 2017-C33 Class D, 3.356% 5/15/50 (d) | 947,000 | 774,163 | |
| Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (d) | 6,596,000 | 6,580,676 | |
| Morgan Stanley Capital I Trust: | |||
| sequential payer: | |||
| Series 2011-C1: | |||
| Class F, 4.193% 9/15/47 (d) | 849,000 | 825,837 | |
| Class G, 4.193% 9/15/47 (d) | 745,000 | 694,762 | |
| Series 2019-MEAD Class A, 3.17% 11/10/36 (d) | 30,766,000 | 31,785,985 | |
| Series 1998-CF1 Class G, 7.35% 7/15/32 (d)(e) | 12,967 | 13,183 | |
| Series 2011-C1 Class E, 5.7952% 9/15/47 (d)(e) | 530,100 | 530,284 | |
| Series 2011-C2: | |||
| Class D, 5.6609% 6/15/44 (d)(e) | 1,788,000 | 1,394,035 | |
| Class F, 5.6609% 6/15/44 (d)(e) | 748,000 | 387,783 | |
| Class XB, 0.3869% 6/15/44 (d)(e)(n) | 5,014,010 | 35,669 | |
| Series 2011-C3: | |||
| Class AJ, 5.4191% 7/15/49 (d)(e) | 7,800,000 | 7,943,315 | |
| Class C, 5.4191% 7/15/49 (d)(e) | 867,000 | 823,185 | |
| Class D, 5.4191% 7/15/49 (d)(e) | 2,163,000 | 1,941,473 | |
| Class E, 5.4191% 7/15/49 (d)(e) | 1,210,000 | 907,291 | |
| Class F, 5.4191% 7/15/49 (d)(e) | 332,000 | 202,783 | |
| Class G, 5.4191% 7/15/49 (c)(d)(e) | 1,123,200 | 570,006 | |
| Series 2012-C4 Class D, 5.5992% 3/15/45 (d)(e) | 425,000 | 285,288 | |
| Series 2014-150E: | |||
| Class C, 4.4382% 9/9/32 (d)(e) | 418,000 | 433,492 | |
| Class F, 4.4382% 9/9/32 (d)(e) | 734,000 | 689,102 | |
| Series 2015-MS1: | |||
| Class C, 4.1656% 5/15/48 (e) | 468,000 | 439,294 | |
| Class D, 4.1656% 5/15/48 (d)(e) | 1,371,000 | 1,162,310 | |
| Series 2015-UBS8 Class D, 3.18% 12/15/48 (d) | 883,000 | 652,193 | |
| Series 2016-BNK2: | |||
| Class C, 3% 11/15/49 (d) | 1,456,000 | 1,142,190 | |
| Class D, 4.0323% 11/15/49 (e) | 603,000 | 576,354 | |
| Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 2.7409% 11/15/34 (d)(e)(h) | 822,000 | 799,555 | |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | 7,706,000 | 9,233,912 | |
| Series 2018-MP Class E, 4.4185% 7/11/40 (d)(e) | 1,318,000 | 1,047,363 | |
| Series 2019-MEAD: | |||
| Class B, 3.283% 11/10/36 (d)(e) | 4,445,000 | 4,302,162 | |
| Class C, 3.283% 11/10/36 (d)(e) | 4,265,000 | 3,859,770 | |
| Series 2020-CNP Class D, 2.5085% 4/5/42 (d)(e) | 462,000 | 388,281 | |
| Series 2020-HR8 Class D, 2.5% 7/15/53 (d) | 756,000 | 657,905 | |
| Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.9493% 7/15/33 (d)(e) | 44,392 | 44,695 | |
| Motel 6 Trust floater: | |||
| Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.920% 7.0674% 8/15/24 (d)(e)(h) | 354,994 | 323,572 | |
| Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 4.3909% 8/15/34 (d)(e)(h) | 3,569,288 | 3,497,741 | |
| MRCD Series 2019-PARK: | |||
| Class G, 2.7175% 12/15/36 (d) | 4,861,000 | 4,486,359 | |
| Class J, 4.25% 12/15/36 (d) | 3,318,000 | 3,040,209 | |
| MSCCG Trust: | |||
| floater Series 2018-SELF Class E, 1 month U.S. LIBOR + 2.150% 2.2909% 10/15/37 (d)(e)(h) | 679,000 | 662,470 | |
| Series 2016-SNR: | |||
| Class D, 6.55% 11/15/34 (d) | 1,572,530 | 1,556,278 | |
| Class E, 6.8087% 11/15/34 (d) | 561,000 | 525,035 | |
| MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (d)(e) | 311,000 | 238,646 | |
| MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 2.1909% 12/15/33 (d)(e)(h) | 742,000 | 668,474 | |
| Natixis Commercial Mortgage Securities Trust: | |||
| floater Series 2018-FL1: | |||
| Class WAN1, 1 month U.S. LIBOR + 2.750% 2.899% 6/15/35 (d)(e)(h) | 132,000 | 121,233 | |
| Class WAN2, 1 month U.S. LIBOR + 3.750% 3.899% 6/15/35 (d)(e)(h) | 128,000 | 117,176 | |
| Series 2018-285M Class F, 3.9167% 11/15/32 (d)(e) | 307,000 | 295,641 | |
| Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 3.1409% 11/15/34 (d)(e)(h) | 245,000 | 223,170 | |
| Series 2019-10K: | |||
| Class E, 4.2724% 5/15/39 (d)(e) | 399,000 | 371,947 | |
| Class F, 4.2724% 5/15/39 (d)(e) | 1,374,000 | 1,218,128 | |
| Series 2019-1776: | |||
| Class E, 3.9017% 10/15/36 (d) | 1,050,000 | 1,022,751 | |
| Class F, 4.2988% 10/15/36 (d) | 473,000 | 444,298 | |
| Series 2020-2PAC: | |||
| Class AMZ2, 3.6167% 1/15/37 (d)(e) | 735,000 | 704,794 | |
| Class AMZ3, 3.6167% 1/15/37 (d)(e) | 336,000 | 310,938 | |
| NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 3.1409% 12/15/35 (d)(e)(h) | 1,385,000 | 1,317,567 | |
| Progress Residential Trust Series 2019-SFR3 Class F, 3.867% 9/17/36 (d) | 546,000 | 554,024 | |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 1,049,945 | 1,218,605 | |
| RETL floater Series 2019-RVP: | |||
| Class B, 1 month U.S. LIBOR + 1.550% 1.6909% 3/15/36 (d)(e)(h) | 8,090,721 | 8,088,346 | |
| Class C, 1 month U.S. LIBOR + 2.100% 2.2409% 3/15/36 (d)(e)(h) | 23,334,000 | 21,089,307 | |
| SG Commercial Mortgage Securities Trust: | |||
| Series 2019-PREZ Class F, 3.593% 9/15/39 (d)(e) | 1,360,000 | 1,166,725 | |
| Series 2020-COVE: | |||
| Class F, 3.8518% 3/15/37 (d)(e) | 1,289,000 | 1,172,459 | |
| Class G, 3.8518% 3/15/37 (d)(e) | 356,000 | 288,960 | |
| TIAA Seasoned Commercial Mortgage Trust Series 2007-C4 Class F, 5.5066% 8/15/39 (e) | 1,110,000 | 1,073,085 | |
| UBS Commercial Mortgage Trust: | |||
| Series 2012-C1: | |||
| Class D, 5.7545% 5/10/45 (d)(e) | 989,000 | 742,252 | |
| Class E, 5% 5/10/45 (c)(d)(e) | 595,000 | 298,199 | |
| Class F, 5% 5/10/45 (c)(d)(e) | 762,700 | 111,495 | |
| Series 2017-C7 Class XA, 1.1877% 12/15/50 (e)(n) | 52,698,404 | 2,803,297 | |
| Series 2018-C8 Class C, 4.8587% 2/15/51 (e) | 336,000 | 330,208 | |
| UBS-BAMLL Trust: | |||
| Series 12-WRM Class D, 4.3793% 6/10/30 (c)(d)(e) | 746,000 | 429,373 | |
| Series 2012-WRM: | |||
| Class C, 4.3793% 6/10/30 (d)(e) | 110,000 | 92,784 | |
| Class E, 4.3793% 6/10/30 (c)(d)(e) | 849,000 | 347,528 | |
| UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class C, 6.2519% 1/10/45 (d)(e) | 315,000 | 304,256 | |
| VLS Commercial Mortgage Trust: | |||
| sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (d) | 18,354,000 | 19,008,480 | |
| Series 2020-LAB: | |||
| Class B, 2.453% 10/10/42 (d) | 1,600,000 | 1,652,510 | |
| Class X, 0.4294% 10/10/42 (d)(n) | 35,000,000 | 1,326,994 | |
| VNO Mortgage Trust Series 2012-6AVE Class D, 3.4484% 11/15/30 (d)(e) | 828,000 | 839,122 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| floater Series 2020-SOP Class E, 1 month U.S. LIBOR + 2.710% 2.8509% 1/15/35 (d)(e)(h) | 441,000 | 412,292 | |
| sequential payer Series 2020-C57 Class D, 2.5% 8/15/53 (d) | 1,034,000 | 891,595 | |
| Series 2010-C1 Class XB, 1.3683% 11/15/43 (d)(e)(n) | 3,766,201 | 172 | |
| Series 2012-LC5: | |||
| Class C, 4.693% 10/15/45 (e) | 362,000 | 370,408 | |
| Class D, 4.9171% 10/15/45 (d)(e) | 2,329,000 | 2,322,771 | |
| Class E, 4.9171% 10/15/45 (d)(e) | 869,082 | 739,469 | |
| Class F, 4.9171% 10/15/45 (d)(e) | 252,000 | 175,600 | |
| Series 2015-C31 Class XA, 1.1332% 11/15/48 (e)(n) | 22,323,056 | 909,812 | |
| Series 2015-NXS4 Class D, 3.8557% 12/15/48 (e) | 861,000 | 776,966 | |
| Series 2016-BNK1: | |||
| Class C, 3.071% 8/15/49 | 446,000 | 370,770 | |
| Class D, 3% 8/15/49 (d) | 487,000 | 278,932 | |
| Series 2016-C34 Class XA, 2.2688% 6/15/49 (e)(n) | 20,843,587 | 1,529,350 | |
| Series 2016-C35 Class D, 3.142% 7/15/48 (d) | 1,240,000 | 928,498 | |
| Series 2016-LC25 Class C, 4.5641% 12/15/59 (e) | 575,000 | 563,376 | |
| Series 2016-NXS6 Class D, 3.059% 11/15/49 (d) | 1,337,000 | 988,500 | |
| Series 2017-RB1 Class D, 3.401% 3/15/50 (d) | 595,000 | 529,271 | |
| Series 2018-C43 Class C, 4.514% 3/15/51 | 401,000 | 385,222 | |
| Series 2018-C46 Class XA, 1.106% 8/15/51 (e)(n) | 56,809,466 | 2,802,763 | |
| Series 2018-C48 Class A5, 4.302% 1/15/52 | 6,748,000 | 8,009,126 | |
| WF-RBS Commercial Mortgage Trust: | |||
| floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8635% 6/15/46 (d)(e)(h) | 16,854,121 | 16,847,842 | |
| sequential payer Series 2011-C4I Class G, 5% 6/15/44 (c) | 372,000 | 65,187 | |
| Series 2011-C3: | |||
| Class C, 5.335% 3/15/44 (d) | 229,000 | 224,018 | |
| Class D, 5.842% 3/15/44 (d)(e) | 1,747,000 | 791,729 | |
| Class E, 5% 3/15/44 (d) | 733,000 | 145,276 | |
| Class F, 5% 3/15/44 (d) | 761,000 | 35,624 | |
| Series 2011-C4: | |||
| Class D, 5.3828% 6/15/44 (d)(e) | 474,000 | 416,982 | |
| Class E, 5.3828% 6/15/44 (d)(e) | 335,432 | 210,264 | |
| Series 2011-C5: | |||
| Class C, 5.8443% 11/15/44 (d)(e) | 160,000 | 161,587 | |
| Class D, 5.8443% 11/15/44 (d)(e) | 1,489,000 | 1,456,170 | |
| Class E, 5.8443% 11/15/44 (d)(e) | 1,880,000 | 1,759,172 | |
| Class F, 5.25% 11/15/44 (d)(e) | 1,146,000 | 867,621 | |
| Class G, 5.25% 11/15/44 (d)(e) | 376,000 | 268,005 | |
| Class XA, 1.8321% 11/15/44 (d)(e)(n) | 2,131,853 | 14,341 | |
| Series 2012-C6 Class D, 5.7651% 4/15/45 (d)(e) | 702,000 | 705,852 | |
| Series 2012-C7: | |||
| Class C, 4.9645% 6/15/45 (e) | 1,226,000 | 929,846 | |
| Class E, 4.9645% 6/15/45 (d)(e) | 861,000 | 333,462 | |
| Class F, 4.5% 6/15/45 (d) | 421,434 | 82,957 | |
| Class G, 4.5% 6/15/45 (c)(d) | 1,242,487 | 177,689 | |
| Series 2012-C8: | |||
| Class D, 5.0479% 8/15/45 (d)(e) | 524,000 | 500,048 | |
| Class E, 5.0479% 8/15/45 (d)(e) | 367,000 | 275,926 | |
| Series 2013-C11: | |||
| Class D, 4.3977% 3/15/45 (d)(e) | 801,251 | 731,351 | |
| Class E, 4.3977% 3/15/45 (d)(e) | 1,774,872 | 1,344,996 | |
| Series 2013-C13 Class D, 4.2775% 5/15/45 (d)(e) | 580,000 | 548,948 | |
| Series 2013-C16 Class D, 5.1846% 9/15/46 (d)(e) | 211,000 | 158,707 | |
| Series 2013-UBS1 Class D, 4.8928% 3/15/46 (d)(e) | 830,625 | 766,287 | |
| Series 2014-C21 Class XA, 1.1849% 8/15/47 (e)(n) | 53,667,574 | 1,587,503 | |
| Series 2014-C24 Class XA, 0.9787% 11/15/47 (e)(n) | 18,934,718 | 464,045 | |
| Series 2014-LC14 Class XA, 1.3609% 3/15/47 (e)(n) | 29,804,579 | 984,219 | |
| Worldwide Plaza Trust Series 2017-WWP: | |||
| Class E, 3.7154% 11/10/36 (d)(e) | 348,000 | 332,488 | |
| Class F, 3.7154% 11/10/36 (d)(e) | 1,960,000 | 1,751,662 | |
| WP Glimcher Mall Trust Series 2015-WPG: | |||
| Class PR1, 3.6332% 6/5/35 (d)(e) | 528,000 | 409,570 | |
| Class PR2, 3.6332% 6/5/35 (d)(e) | 1,378,000 | 1,046,958 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $1,071,733,739) | 1,033,144,213 | ||
| Municipal Securities - 0.6% | |||
| California Gen. Oblig.: | |||
| Series 2009: | $ | $ | |
| 7.35% 11/1/39 | 1,690,000 | 2,798,184 | |
| 7.5% 4/1/34 | 5,800,000 | 9,543,088 | |
| 7.55% 4/1/39 | 11,940,000 | 20,843,777 | |
| Series 2010, 7.625% 3/1/40 | 6,440,000 | 11,175,203 | |
| 7.3% 10/1/39 | 17,580,000 | 28,928,593 | |
| Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35 | 8,885,000 | 10,623,883 | |
| Illinois Gen. Oblig.: | |||
| Series 2003: | |||
| 4.95% 6/1/23 | 10,951,909 | 11,163,171 | |
| 5.1% 6/1/33 | 40,165,000 | 40,295,135 | |
| Series 2010-1, 6.63% 2/1/35 | 7,610,000 | 8,342,615 | |
| Series 2010-3: | |||
| 6.725% 4/1/35 | 11,345,000 | 12,447,847 | |
| 7.35% 7/1/35 | 5,200,000 | 5,831,124 | |
| Series 2010-5, 6.2% 7/1/21 | 1,040,000 | 1,060,080 | |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 27,425,000 | 34,314,160 | |
| TOTAL MUNICIPAL SECURITIES | |||
| (Cost $181,120,644) | 197,366,860 | ||
| Foreign Government and Government Agency Obligations - 1.9% | |||
| Angola Republic: | |||
| 8.25% 5/9/28 (d) | $730,000 | $651,525 | |
| 9.375% 5/8/48 (d) | 225,000 | 195,750 | |
| 9.5% 11/12/25 (d) | 1,590,000 | 1,510,500 | |
| Arab Republic of Egypt: | |||
| 6.125% 1/31/22 (d) | 2,672,000 | 2,772,200 | |
| 7.0529% 1/15/32 (d) | 385,000 | 407,017 | |
| 7.5% 1/31/27 (d) | 6,327,000 | 7,080,308 | |
| 7.6003% 3/1/29 (d) | 1,440,000 | 1,605,600 | |
| 7.903% 2/21/48 (d) | 941,000 | 970,994 | |
| 8.5% 1/31/47 (d) | 1,586,000 | 1,713,376 | |
| 8.7002% 3/1/49 (d) | 835,000 | 915,630 | |
| Argentine Republic: | |||
| 0.125% 7/9/30 (r) | 21,385,686 | 8,340,418 | |
| 0.125% 7/9/35 (r) | 7,123,323 | 2,496,725 | |
| 0.125% 1/9/38 (r) | 2,257,281 | 891,626 | |
| 1% 7/9/29 | 1,948,999 | 831,248 | |
| Barbados Government: | |||
| 6.5% 2/1/21 (d) | 50,984 | 50,634 | |
| 6.5% 10/1/29 (d) | 2,325,000 | 2,243,625 | |
| Bermuda Government: | |||
| 2.375% 8/20/30 (d) | 185,000 | 191,475 | |
| 3.375% 8/20/50 (d) | 430,000 | 454,994 | |
| 3.717% 1/25/27 (d) | 1,720,000 | 1,909,200 | |
| 4.75% 2/15/29 (d) | 965,000 | 1,167,348 | |
| Brazilian Federative Republic: | |||
| 2.875% 6/6/25 | 2,450,000 | 2,518,600 | |
| 3.875% 6/12/30 | 875,000 | 913,938 | |
| 4.25% 1/7/25 | 6,374,000 | 6,945,668 | |
| 4.75% 1/14/50 | 655,000 | 692,048 | |
| 5.625% 1/7/41 | 7,059,000 | 8,298,737 | |
| 7.125% 1/20/37 | 985,000 | 1,314,667 | |
| 8.25% 1/20/34 | 3,309,000 | 4,760,824 | |
| Cameroon Republic 9.5% 11/19/25 (d) | 3,626,000 | 3,938,743 | |
| Chilean Republic: | |||
| 2.45% 1/31/31 | 17,070,000 | 18,099,534 | |
| 3.86% 6/21/47 | 535,000 | 641,498 | |
| City of Buenos Aires 8.95% 2/19/21 (d) | 655,520 | 642,410 | |
| Colombian Republic: | |||
| 3% 1/30/30 | 715,000 | 740,472 | |
| 4.125% 5/15/51 | 600,000 | 654,600 | |
| 5% 6/15/45 | 1,810,000 | 2,172,905 | |
| Costa Rican Republic: | |||
| 5.625% 4/30/43 (d) | 460,000 | 364,119 | |
| 7% 4/4/44 (d) | 140,000 | 120,531 | |
| Democratic Socialist Republic of Sri Lanka: | |||
| 7.55% 3/28/30 (d) | 405,000 | 236,970 | |
| 7.85% 3/14/29 (d) | 1,115,000 | 657,850 | |
| Dominican Republic: | |||
| 5.5% 1/27/25 (d) | 710,000 | 772,347 | |
| 5.875% 1/30/60 (d) | 1,035,000 | 1,078,664 | |
| 5.95% 1/25/27 (d) | 1,181,000 | 1,326,411 | |
| 6% 7/19/28 (d) | 1,011,000 | 1,150,644 | |
| 6.4% 6/5/49 (d) | 775,000 | 858,313 | |
| 6.5% 2/15/48 (d) | 175,000 | 196,328 | |
| 6.5% 2/15/48 (Reg. S) | 635,000 | 712,391 | |
| 6.85% 1/27/45 (d) | 1,143,000 | 1,326,594 | |
| 6.875% 1/29/26 (d) | 1,892,000 | 2,191,764 | |
| 7.45% 4/30/44 (d) | 1,639,000 | 2,019,555 | |
| Ecuador Republic: | |||
| 0.5% 7/31/30 (d)(r) | 2,410,000 | 1,527,338 | |
| 0.5% 7/31/35 (d)(r) | 1,555,000 | 847,475 | |
| El Salvador Republic: | |||
| 5.875% 1/30/25 (d) | 215,000 | 192,022 | |
| 7.1246% 1/20/50 (d) | 570,000 | 474,881 | |
| 7.625% 2/1/41 (d) | 230,000 | 197,800 | |
| 7.75% 1/24/23 (d) | 1,840,000 | 1,749,725 | |
| 9.5% 7/15/52 (d) | 380,000 | 359,338 | |
| Emirate of Abu Dhabi: | |||
| 1.7% 3/2/31 (d) | 1,560,000 | 1,561,950 | |
| 2.5% 4/16/25 (d) | 1,340,000 | 1,428,775 | |
| 3.125% 4/16/30 (d) | 21,350,000 | 24,098,813 | |
| 3.125% 9/30/49 (d) | 2,460,000 | 2,669,100 | |
| 3.875% 4/16/50 (d) | 18,260,000 | 22,642,400 | |
| Emirate of Dubai 3.9% 9/9/50 (Reg. S) | 200,000 | 195,375 | |
| Gabonese Republic 6.375% 12/12/24 (d) | 1,415,000 | 1,422,075 | |
| Georgia Republic 6.875% 4/12/21 (d) | 410,000 | 414,741 | |
| German Federal Republic: | |||
| 0% 10/10/25 (Reg. S) | EUR | 1,400,000 | 1,732,615 |
| 0% 11/15/27 (Reg. S) | EUR | 7,600,000 | 9,514,718 |
| 0% 5/15/35 (Reg. S) | EUR | 13,000,000 | 16,379,260 |
| Ghana Republic: | |||
| 8.125% 1/18/26 (d) | 590,000 | 631,484 | |
| 10.75% 10/14/30 (d) | 965,000 | 1,250,278 | |
| Guatemalan Republic: | |||
| 4.9% 6/1/30 (d) | 100,000 | 114,719 | |
| 5.375% 4/24/32 (d) | 910,000 | 1,084,038 | |
| 6.125% 6/1/50 (d) | 615,000 | 784,125 | |
| Indonesian Republic: | |||
| 2.625% 6/14/23 | EUR | 5,863,000 | 7,413,300 |
| 3.85% 10/15/30 | 45,455,000 | 53,168,145 | |
| 4.1% 4/24/28 | 1,775,000 | 2,057,891 | |
| 4.2% 10/15/50 | 44,910,000 | 54,355,134 | |
| 4.35% 1/11/48 | 1,225,000 | 1,484,930 | |
| 5.125% 1/15/45 (d) | 2,740,000 | 3,578,269 | |
| 5.25% 1/17/42 (d) | 660,000 | 861,919 | |
| 5.95% 1/8/46 (d) | 985,000 | 1,433,791 | |
| 6.75% 1/15/44 (d) | 690,000 | 1,072,519 | |
| 7.75% 1/17/38 (d) | 1,728,000 | 2,737,800 | |
| 8.5% 10/12/35 (d) | 2,280,000 | 3,739,200 | |
| Islamic Republic of Pakistan: | |||
| 6.875% 12/5/27 (d) | 620,000 | 636,663 | |
| 8.25% 4/15/24 (d) | 286,000 | 308,344 | |
| Israeli State 3.375% 1/15/50 | 1,600,000 | 1,766,464 | |
| Ivory Coast: | |||
| 5.75% 12/31/32 | 1,460,800 | 1,461,713 | |
| 6.125% 6/15/33 (d) | 735,000 | 807,581 | |
| 6.375% 3/3/28 (d) | 1,410,000 | 1,585,809 | |
| Jamaican Government: | |||
| 6.75% 4/28/28 | 495,000 | 584,409 | |
| 7.875% 7/28/45 | 430,000 | 580,500 | |
| Jordanian Kingdom: | |||
| 4.95% 7/7/25 (d) | 1,535,000 | 1,602,156 | |
| 7.375% 10/10/47 (d) | 290,000 | 321,991 | |
| Kingdom of Saudi Arabia: | |||
| 2.9% 10/22/25 (d) | 14,600,000 | 15,695,000 | |
| 3.25% 10/22/30 (d) | 10,790,000 | 11,855,513 | |
| 3.625% 3/4/28 (d) | 785,000 | 874,294 | |
| 3.75% 1/21/55 (d) | 685,000 | 761,206 | |
| 4.5% 4/22/60 (d) | 8,210,000 | 10,447,225 | |
| 4.625% 10/4/47 (d) | 680,000 | 850,850 | |
| Korean Republic 1% 9/16/30 | 1,585,000 | 1,557,041 | |
| Lebanese Republic: | |||
| 5.8% 12/31/49 (g) | 1,814,000 | 278,903 | |
| 6.375% 12/31/49 (g) | 1,956,000 | 293,400 | |
| Mendoza Province 2.75% 3/19/29 (d)(r) | 55,000 | 33,550 | |
| Ministry of Finance of the Russian Federation: | |||
| 4.25% 6/23/27(Reg. S) | 1,600,000 | 1,812,800 | |
| 4.375% 3/21/29(Reg. S) | 4,800,000 | 5,558,400 | |
| 5.1% 3/28/35 (d) | 4,400,000 | 5,537,125 | |
| 5.1% 3/28/35(Reg. S) | 2,800,000 | 3,523,625 | |
| 5.25% 6/23/47 (d) | 1,600,000 | 2,175,500 | |
| 5.25% 6/23/47(Reg. S) | 600,000 | 815,813 | |
| 5.625% 4/4/42 (d) | 1,000,000 | 1,364,688 | |
| 5.875% 9/16/43 (d) | 540,000 | 764,944 | |
| Mongolia Government 5.125% 4/7/26 (d) | 1,010,000 | 1,065,550 | |
| Moroccan Kingdom 5.5% 12/11/42 (d) | 200,000 | 248,188 | |
| Panamanian Republic: | |||
| 2.252% 9/29/32 | 845,000 | 858,943 | |
| 3.87% 7/23/60 | 630,000 | 732,375 | |
| Peoples Republic of China 1.2% 10/21/30 (d) | 1,150,000 | 1,146,385 | |
| Peruvian Republic: | |||
| 1.862% 12/1/32 | 630,000 | 623,700 | |
| 2.78% 12/1/60 | 680,000 | 670,820 | |
| 2.783% 1/23/31 | 1,235,000 | 1,330,713 | |
| Province of Santa Fe 7% 3/23/23 (d) | 3,389,000 | 2,304,520 | |
| Provincia de Cordoba: | |||
| 7.125% 6/10/21 (d) | 4,442,000 | 2,649,931 | |
| 7.45% 9/1/24 (d) | 1,893,000 | 1,060,080 | |
| Republic of Honduras: | |||
| 5.625% 6/24/30 (d) | 485,000 | 544,564 | |
| 8.75% 12/16/20 (d) | 1,200,000 | 1,199,640 | |
| Republic of Iraq 5.8% 1/15/28 (Reg. S) | 2,058,750 | 1,890,190 | |
| Republic of Kenya: | |||
| 6.875% 6/24/24 (d) | 1,445,000 | 1,562,858 | |
| 7% 5/22/27 (d) | 585,000 | 633,994 | |
| Republic of Namibia 5.5% 11/3/21 (d) | 175,000 | 179,703 | |
| Republic of Nigeria: | |||
| 6.375% 7/12/23 (d) | 440,000 | 471,075 | |
| 6.5% 11/28/27 (d) | 610,000 | 639,928 | |
| 7.143% 2/23/30 (d) | 465,000 | 488,541 | |
| 7.625% 11/21/25 (d) | 4,915,000 | 5,537,055 | |
| Republic of Paraguay: | |||
| 4.95% 4/28/31 (d) | 1,265,000 | 1,500,923 | |
| 5.4% 3/30/50 (d) | 740,000 | 923,150 | |
| Republic of Serbia 2.125% 12/1/30 (d) | 895,000 | 880,680 | |
| Republic of Uzbekistan: | |||
| 3.7% 11/25/30 (d) | 725,000 | 735,875 | |
| 4.75% 2/20/24 (d) | 580,000 | 620,600 | |
| Romanian Republic: | |||
| 3% 2/14/31 (d) | 1,381,000 | 1,473,354 | |
| 4% 2/14/51 (d) | 615,000 | 672,656 | |
| 4.375% 8/22/23 (d) | 550,000 | 599,328 | |
| Rwanda Republic 6.625% 5/2/23 (d) | 1,763,000 | 1,868,229 | |
| State of Qatar: | |||
| 3.4% 4/16/25 (d) | 10,665,000 | 11,734,833 | |
| 3.75% 4/16/30 (d) | 34,875,000 | 40,847,344 | |
| 4% 3/14/29 (d) | 1,570,000 | 1,854,563 | |
| 4.4% 4/16/50 (d) | 30,490,000 | 40,246,800 | |
| 4.817% 3/14/49 (d) | 1,980,000 | 2,737,969 | |
| 5.103% 4/23/48 (d) | 1,040,000 | 1,485,900 | |
| 9.75% 6/15/30 (d) | 722,000 | 1,222,436 | |
| Sultanate of Oman: | |||
| 3.875% 3/8/22 (d) | 1,425,000 | 1,417,875 | |
| 4.125% 1/17/23 (d) | 825,000 | 822,680 | |
| 6.75% 1/17/48 (d) | 2,004,000 | 1,850,569 | |
| The Third Pakistan International Sukuk Co. Ltd. 5.5% 10/13/21 (d) | 925,000 | 934,250 | |
| Turkish Republic: | |||
| 3.25% 3/23/23 | 5,810,000 | 5,688,353 | |
| 4.25% 3/13/25 | 2,530,000 | 2,450,938 | |
| 4.875% 10/9/26 | 1,080,000 | 1,052,663 | |
| 4.875% 4/16/43 | 1,825,000 | 1,518,742 | |
| 5.125% 3/25/22 | 5,010,000 | 5,075,756 | |
| 5.125% 2/17/28 | 1,395,000 | 1,360,125 | |
| 5.25% 3/13/30 | 2,200,000 | 2,125,063 | |
| 5.75% 5/11/47 | 3,818,000 | 3,430,234 | |
| 5.95% 1/15/31 | 1,225,000 | 1,221,938 | |
| 6% 1/14/41 | 650,000 | 608,156 | |
| 6.25% 9/26/22 | 3,620,000 | 3,730,863 | |
| 6.35% 8/10/24 | 755,000 | 785,908 | |
| 6.375% 10/14/25 | 1,575,000 | 1,645,875 | |
| Ukraine Government: | |||
| 7.375% 9/25/32 (d) | 780,000 | 836,794 | |
| 7.75% 9/1/21 (d) | 12,555,000 | 13,006,980 | |
| 7.75% 9/1/22 (d) | 1,704,000 | 1,814,760 | |
| 7.75% 9/1/23 (d) | 805,000 | 873,828 | |
| 7.75% 9/1/24 (d) | 2,770,000 | 3,021,031 | |
| 7.75% 9/1/26 (d) | 575,000 | 635,016 | |
| 7.75% 9/1/27 (d) | 270,000 | 299,025 | |
| United Kingdom, Great Britain and Northern Ireland: | |||
| 1.25% 10/22/41 (Reg. S) | GBP | 1,835,000 | 2,652,637 |
| 1.75% 9/7/37 (Reg. S) (k) | GBP | 1,470,991 | 2,285,712 |
| 1.75% 1/22/49(Reg. S) (k)(l) | GBP | 1,600,000 | 2,617,918 |
| 3.25% 1/22/44 | GBP | 240,000 | 483,128 |
| 4.25% 3/7/36 (Reg. S) | GBP | 21,672 | 44,205 |
| 4.25% 12/7/46 | GBP | 90,000 | 215,516 |
| 4.25% 12/7/49 (Reg. S) (k) | GBP | 515,717 | 1,291,673 |
| United Mexican States: | |||
| 2.659% 5/24/31 | 1,235,000 | 1,236,853 | |
| 3.25% 4/16/30 | 1,660,000 | 1,765,410 | |
| 3.75% 1/11/28 | 1,515,000 | 1,674,075 | |
| 3.9% 4/27/25 | 650,000 | 720,200 | |
| 4.5% 4/22/29 | 905,000 | 1,043,295 | |
| 5.75% 10/12/2110 | 3,310,000 | 4,142,465 | |
| 6.05% 1/11/40 | 1,810,000 | 2,369,403 | |
| Uruguay Republic 5.1% 6/18/50 | 1,810,000 | 2,481,963 | |
| Venezuelan Republic: | |||
| 9.25% 9/15/27 (g) | 7,846,000 | 706,140 | |
| 11.95% 8/5/31 (Reg. S) (g) | 1,641,700 | 147,753 | |
| 12.75% 8/23/22 (g) | 350,400 | 31,536 | |
| Vietnamese Socialist Republic: | |||
| 6 month U.S. LIBOR + 0.810% 1.125% 3/13/28 (e)(h) | 124,000 | 121,831 | |
| 4.8% 11/19/24 (d) | 160,000 | 178,900 | |
| 5.5% 3/12/28 | 3,811,133 | 3,808,751 | |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $571,707,468) | 620,248,947 | ||
| Supranational Obligations - 0.1% | |||
| Corporacion Andina de Fomento 2.375% 5/12/23 (Cost $27,350,268) | 27,400,000 | 28,267,758 | |
| Shares | Value | ||
| Common Stocks - 0.1% | |||
| COMMUNICATION SERVICES - 0.0% | |||
| Media - 0.0% | |||
| Clear Channel Outdoor Holdings, Inc. (s) | 32,596 | 49,220 | |
| iHeartMedia, Inc. warrants 5/1/39 (s) | 5 | 60 | |
| 49,280 | |||
| Wireless Telecommunication Services - 0.0% | |||
| CUI Acquisition Corp. Class E (c)(s) | 1 | 34,600 | |
| TOTAL COMMUNICATION SERVICES | 83,880 | ||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Specialty Retail - 0.0% | |||
| David's Bridal, Inc. (c) | 2,055 | 0 | |
| David's Bridal, Inc. rights (c)(s) | 518 | 0 | |
| 0 | |||
| ENERGY - 0.1% | |||
| Oil, Gas & Consumable Fuels - 0.1% | |||
| California Resources Corp. (s) | 334,047 | 7,288,906 | |
| California Resources Corp. (b) | 152,223 | 3,155,431 | |
| California Resources Corp. warrants 10/27/24 (s) | 6,440 | 21,896 | |
| Denbury, Inc. (s) | 496,643 | 11,154,602 | |
| EP Energy Corp. (c) | 6,556 | 130,661 | |
| Sanchez Energy Corp. (c) | 113,725 | 1,819,602 | |
| 23,571,098 | |||
| FINANCIALS - 0.0% | |||
| Capital Markets - 0.0% | |||
| Motors Liquidation Co. GUC Trust (s) | 1 | 1 | |
| Diversified Financial Services - 0.0% | |||
| ACNR Holdings, Inc. (c) | 8,987 | 62,124 | |
| TOTAL FINANCIALS | 62,125 | ||
| INDUSTRIALS - 0.0% | |||
| Commercial Services & Supplies - 0.0% | |||
| Cenveo Corp. (c)(s) | 2,500 | 72,900 | |
| Machinery - 0.0% | |||
| TNT Crane & Rigging LLC (c) | 75,247 | 1,411,294 | |
| TNT Crane & Rigging LLC warrants 10/31/25 (c)(s) | 3,648 | 12,171 | |
| 1,423,465 | |||
| TOTAL INDUSTRIALS | 1,496,365 | ||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| TexGen Power LLC (c) | 88,700 | 2,912,021 | |
| TOTAL COMMON STOCKS | |||
| (Cost $45,373,974) | 28,125,489 | ||
| Preferred Stocks - 0.0% | |||
| Convertible Preferred Stocks - 0.0% | |||
| REAL ESTATE - 0.0% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| RLJ Lodging Trust Series A, 1.95% | 20,725 | 510,042 | |
| Nonconvertible Preferred Stocks - 0.0% | |||
| FINANCIALS - 0.0% | |||
| Diversified Financial Services - 0.0% | |||
| ACNR Holdings, Inc. (c) | 5,145 | 643,125 | |
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| AGNC Investment Corp. Series E 6.50% (e) | 56,800 | 1,314,914 | |
| Capstead Mortgage Corp. Series E, 7.50% | 27,227 | 659,710 | |
| Dynex Capital, Inc. Series C 6.90% (e) | 18,300 | 438,285 | |
| MFA Financial, Inc. Series B, 7.50% | 24,975 | 593,156 | |
| 3,006,065 | |||
| TOTAL FINANCIALS | 3,649,190 | ||
| REAL ESTATE - 0.0% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| American Homes 4 Rent Series D, 6.50% | 26,975 | 700,001 | |
| Boston Properties, Inc. 5.25% | 11,150 | 285,552 | |
| Cedar Realty Trust, Inc.: | |||
| Series B, 7.25% | 1,766 | 38,587 | |
| Series C, 6.50% | 26,075 | 508,202 | |
| Colony Capital, Inc.: | |||
| Series H, 7.125% | 29,400 | 681,492 | |
| Series I, 7.15% | 30,500 | 710,650 | |
| DiamondRock Hospitality Co. 8.25% | 12,600 | 332,136 | |
| iStar Financial, Inc. Series G, 7.65% | 36,700 | 922,271 | |
| National Storage Affiliates Trust Series A, 6.00% | 12,600 | 336,294 | |
| PS Business Parks, Inc. Series W, 5.20% | 14,075 | 368,765 | |
| Public Storage Series F, 5.15% | 39,800 | 1,064,650 | |
| Rexford Industrial Realty, Inc. Series B, 5.875% | 30,100 | 782,570 | |
| SITE Centers Corp. Series K, 6.25% | 21,323 | 520,921 | |
| Spirit Realty Capital, Inc. Series A, 6.00% | 18,100 | 479,650 | |
| Taubman Centers, Inc. Series J, 6.50% | 14,513 | 366,310 | |
| UMH Properties, Inc. Series C, 6.75% | 14,184 | 357,153 | |
| 8,455,204 | |||
| TOTAL NONCONVERTIBLE PREFERRED STOCKS | 12,104,394 | ||
| TOTAL PREFERRED STOCKS | |||
| (Cost $12,193,815) | 12,614,436 | ||
| Principal Amount(a) | Value | ||
| Bank Loan Obligations - 5.2% | |||
| COMMUNICATION SERVICES - 0.8% | |||
| Diversified Telecommunication Services - 0.2% | |||
| Cablevision Lightpath LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 9/29/27 (h)(t)(u) | 2,230,000 | 2,216,063 | |
| CenturyLink, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 3/15/27 (e)(h)(u) | 1,693,910 | 1,654,560 | |
| Connect Finco Sarl Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/11/26 (e)(h)(u) | 4,248,650 | 4,237,136 | |
| Consolidated Communications, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 10/2/27 (e)(h)(u) | 2,230,000 | 2,228,060 | |
| Frontier Communications Corp. 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 10/8/27 (e)(h)(u) | 6,635,000 | 6,626,706 | |
| Iridium Satellite LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 11/4/26 (e)(h)(u) | 2,233,775 | 2,233,462 | |
| Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 3/1/27 (e)(h)(u) | 3,456,727 | 3,372,763 | |
| Securus Technologies Holdings Tranche B, term loan: | |||
| 3 month U.S. LIBOR + 4.500% 5.5% 11/1/24 (e)(h)(u) | 5,487,565 | 4,842,117 | |
| 3 month U.S. LIBOR + 8.250% 9.25% 11/1/25 (e)(h)(u) | 3,586,000 | 2,637,001 | |
| SFR Group SA: | |||
| Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 7/31/25 (e)(h)(u) | 8,910,145 | 8,619,674 | |
| Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 3.8284% 1/31/26 (e)(h)(u) | 4,765,285 | 4,686,134 | |
| Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 4.2369% 8/14/26 (e)(h)(u) | 2,497,040 | 2,461,457 | |
| Windstream Services LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 9/21/27 (e)(h)(u) | 3,142,125 | 3,000,729 | |
| Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 3/9/27 (e)(h)(u) | 13,263,350 | 13,018,774 | |
| 61,834,636 | |||
| Entertainment - 0.0% | |||
| Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7204% 2/10/27 (e)(h)(u) | 8,406,418 | 8,311,846 | |
| Crown Finance U.S., Inc. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 2.500% 2.7693% 2/28/25 (e)(h)(u) | 5,279,274 | 4,031,518 | |
| 3 month U.S. LIBOR + 2.750% 3.0192% 9/30/26 (e)(h)(u) | 742,500 | 560,127 | |
| SMG U.S. Midco 2, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.694% 1/23/25 (e)(h)(u) | 1,486,685 | 1,355,366 | |
| 14,258,857 | |||
| Interactive Media & Services - 0.0% | |||
| Adevinta ASA Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 10/23/27 (h)(t)(u) | 2,175,000 | 2,170,933 | |
| Ancestry.com Operations, Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/19/23 (e)(h)(u) | 3,058,580 | 3,049,038 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4% 8/27/26 (e)(h)(u) | 3,532,051 | 3,521,949 | |
| 8,741,920 | |||
| Media - 0.4% | |||
| Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6% 10/28/27 (e)(h)(u) | 5,495,000 | 5,438,072 | |
| Altice Financing SA Tranche B, term loan: | |||
| 3 month U.S. LIBOR + 2.750% 2.8909% 7/15/25 (e)(h)(u) | 922,383 | 886,254 | |
| 3 month U.S. LIBOR + 2.750% 2.8955% 1/31/26 (e)(h)(u) | 2,460,273 | 2,367,127 | |
| AppLovin Corp.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 8/15/25 (e)(h)(u) | 3,489,994 | 3,479,105 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 8/15/25 (e)(h)(u) | 3,074,287 | 3,055,841 | |
| Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/7/23 (e)(h)(u) | 3,791,039 | 3,517,781 | |
| Charter Communication Operating LLC Tranche B2 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9% 2/1/27 (e)(h)(u) | 16,668,104 | 16,462,419 | |
| Coral-U.S. Co.-Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.3968% 1/31/28 (e)(h)(u) | 7,255,000 | 7,091,763 | |
| CSC Holdings LLC: | |||
| Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.500% 2.6392% 4/15/27 (e)(h)(u) | 4,342,188 | 4,236,716 | |
| Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3892% 1/15/26 (e)(h)(u) | 3,474,635 | 3,379,812 | |
| Cumulus Media New Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 3/31/26 (e)(h)(u) | 316,470 | 304,206 | |
| Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4% 8/24/26 (e)(h)(u) | 7,801,200 | 6,474,996 | |
| Entercom Media Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.500% 2.6433% 11/17/24(e)(h)(u) | 1,808,341 | 1,744,145 | |
| Getty Images, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.6875% 2/19/26 (e)(h)(u) | 1,336,394 | 1,287,536 | |
| iHeartCommunications, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 5/1/26 (e)(h)(u) | 1,364,688 | 1,318,629 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/1/26 (e)(h)(u) | 1,366,575 | 1,345,502 | |
| ION Media Networks, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1875% 12/18/24 (e)(h)(u) | 4,567,707 | 4,542,037 | |
| Lamar Media Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.500% 1.6266% 1/30/27 (e)(h)(u) | 1,250,000 | 1,206,875 | |
| LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1409% 10/22/26 (e)(h)(u) | 3,390,000 | 3,390,000 | |
| Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.3892% 7/17/25 (e)(h)(u) | 5,319,622 | 5,179,024 | |
| Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8991% 9/19/26 (e)(h)(u) | 6,570,600 | 6,485,183 | |
| Nielsen Finance LLC: | |||
| Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 2.1266% 10/4/23 (e)(h)(u) | 1,718,829 | 1,700,576 | |
| Tranche B5 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 6/4/25 (e)(h)(u) | 2,238,750 | 2,239,869 | |
| Proquest LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6478% 10/17/26 (e)(h)(u) | 2,123,122 | 2,105,882 | |
| Recorded Books, Inc. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 4.250% 4.3955% 8/31/25 (e)(h)(u) | 353,797 | 346,572 | |
| 3 month U.S. LIBOR + 4.250% 4.75% 8/31/25 (e)(h)(u) | 1,570,000 | 1,545,477 | |
| Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.65% 9/30/26 (e)(h)(u) | 2,182,950 | 2,132,480 | |
| Springer Nature Deutschland Gm Tranche B16 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 8/24/24 (e)(h)(u) | 3,056,439 | 3,038,773 | |
| Univision Communications, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 3/15/26 (e)(h)(u) | 3,827,989 | 3,785,996 | |
| Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.6409% 1/31/28 (e)(h)(u) | 3,500,000 | 3,429,650 | |
| WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/19/23 (e)(h)(u) | 15,733,710 | 15,504,313 | |
| 119,022,611 | |||
| Wireless Telecommunication Services - 0.2% | |||
| Intelsat Jackson Holdings SA: | |||
| Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8% 11/27/23 (e)(h)(u) | 26,750,000 | 27,047,193 | |
| Tranche B-4, term loan 3 month U.S. LIBOR + 5.500% 8.75% 1/2/24 (e)(h)(u) | 2,890,000 | 2,927,165 | |
| Tranche B-5, term loan 6.625% 1/2/24 (u) | 3,017,000 | 3,058,484 | |
| Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.775% 7/13/22 (e)(g)(h)(u)(v) | 11,141,892 | 11,364,729 | |
| Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 2/10/24 (e)(h)(u) | 1,292,771 | 1,243,000 | |
| SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.9% 4/11/25(e)(h)(u) | 1,965,755 | 1,936,092 | |
| Telesat LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9% 11/22/26 (e)(h)(u) | 1,601,563 | 1,562,084 | |
| Xplornet Communications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8955% 6/10/27 (e)(h)(u) | 2,739,613 | 2,706,737 | |
| 51,845,484 | |||
| TOTAL COMMUNICATION SERVICES | 255,703,508 | ||
| CONSUMER DISCRETIONARY - 1.1% | |||
| Auto Components - 0.0% | |||
| Clarios Global LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 4/30/26 (e)(h)(u) | 3,742,017 | 3,697,899 | |
| Douglas Dynamics LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 6/8/26 (e)(h)(u) | 1,162,088 | 1,156,277 | |
| Les Schwab Tire Centers Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/26/27 (c)(e)(h)(u) | 3,685,000 | 3,648,150 | |
| North American Lifting Holdings, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 10/16/24 (e)(h)(u) | 2,411,094 | 2,429,177 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 9.000% 10% 3/1/25 (e)(h)(u) | 603,630 | 577,976 | |
| 11,509,479 | |||
| Automobiles - 0.1% | |||
| Bombardier Recreational Products, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 5/24/27 (e)(h)(u) | 7,406,438 | 7,508,276 | |
| CWGS Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 11/8/23 (e)(h)(u) | 1,312,097 | 1,287,771 | |
| Thor Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9375% 2/1/26 (e)(h)(u) | 757,056 | 751,378 | |
| UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.393% 4/18/25 (e)(h)(u) | 4,630,360 | 4,607,208 | |
| 14,154,633 | |||
| Distributors - 0.0% | |||
| BCPE Empire Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 6/11/26 (e)(h)(u) | 2,586,693 | 2,537,106 | |
| Diversified Consumer Services - 0.1% | |||
| Airbnb, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.5% 4/17/25 (e)(h)(u) | 2,947,613 | 3,184,335 | |
| Creative Artists Agency LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 11/26/26 (e)(h)(u) | 1,364,688 | 1,339,386 | |
| GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 7/30/26 (e)(h)(u) | 5,923,191 | 5,819,535 | |
| KUEHG Corp.: | |||
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (e)(h)(u) | 637,000 | 586,040 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 2/21/25 (e)(h)(u) | 4,838,194 | 4,580,173 | |
| Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.250% 4.25% 3/13/25 (e)(h)(u) | 1,632,266 | 1,544,124 | |
| 3 month U.S. LIBOR + 8.500% 9.5% 3/13/25 (e)(h)(u) | 1,965,075 | 1,971,619 | |
| Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 1/3/27 (e)(h)(u) | 2,966,310 | 2,952,724 | |
| Spin Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 11/14/22 (e)(h)(u) | 11,932,800 | 11,748,200 | |
| SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4704% 7/30/25 (e)(h)(u) | 1,095,983 | 1,039,814 | |
| WASH Multifamily Acquisition, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 7.000% 8% 5/15/23 (e)(h)(u) | 34,131 | 31,400 | |
| Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.250% 4.25% 5/14/22 (e)(h)(u) | 2,610,701 | 2,565,014 | |
| 3 month U.S. LIBOR + 3.250% 4.25% 5/14/22 (e)(h)(u) | 455,060 | 447,097 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8% 5/14/23 (e)(h)(u) | 194,870 | 179,280 | |
| Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.5% 11/29/24 (e)(h)(u) | 4,483,814 | 4,480,092 | |
| 42,468,833 | |||
| Hotels, Restaurants & Leisure - 0.6% | |||
| Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 7/1/23 (e)(h)(u) | 1,172,077 | 1,096,724 | |
| Aimbridge Acquisition Co., Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 6.75% 10/1/27 (e)(h)(u) | 1,030,000 | 1,014,550 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 2/1/26 (e)(h)(u) | 1,924,882 | 1,806,983 | |
| Alterra Mountain Co. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 2.750% 2.8955% 7/31/24 (e)(h)(u) | 2,115,873 | 2,047,108 | |
| 3 month U.S. LIBOR + 4.500% 5.5% 8/3/26 (e)(h)(u) | 2,789,150 | 2,789,150 | |
| AP Gaming I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5% 2/15/24 (e)(h)(u) | 1,107,666 | 1,059,671 | |
| Aramark Services, Inc.: | |||
| Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 3/11/25 (e)(h)(u) | 3,416,809 | 3,303,918 | |
| Tranche B-4 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 1/15/27 (e)(h)(u) | 2,442,725 | 2,363,947 | |
| Aristocrat International Pty Ltd.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/19/24 (e)(h)(u) | 872,813 | 873,633 | |
| Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 10/19/24 (e)(h)(u) | 2,149,689 | 2,095,043 | |
| Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3451% 9/15/23 (e)(h)(u) | 2,469,512 | 2,430,938 | |
| Burger King Worldwide, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 11/19/26 (e)(h)(u) | 2,977,500 | 2,890,974 | |
| Caesars Resort Collection LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 12/22/24 (e)(h)(u) | 21,078,321 | 20,374,937 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.6455% 7/20/25 (e)(h)(u) | 11,685,000 | 11,566,280 | |
| Carnival Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.5% 6/30/25 (e)(h)(u) | 3,428,825 | 3,540,262 | |
| CCM Merger, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 11/4/25 (h)(t)(u) | 1,745,000 | 1,732,349 | |
| CEC Entertainment, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.500% 9.5% 8/30/26 (e)(h)(u) | 1,616,875 | 1,037,840 | |
| CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 4/18/24 (e)(h)(u) | 3,403,185 | 3,276,008 | |
| Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.5% 2/1/24 (e)(h)(u) | 10,275,709 | 9,987,372 | |
| Equinox Holdings, Inc.: | |||
| Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8% 9/8/24 (e)(h)(u) | 794,000 | 455,224 | |
| Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 4% 3/8/24 (e)(h)(u) | 3,600,654 | 3,016,124 | |
| Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 11/30/23 (e)(h)(u) | 6,231,043 | 6,073,522 | |
| Gaming VC Holdings SA Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.25% 3/16/24 (e)(h)(u) | 1,872,514 | 1,846,299 | |
| Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (e)(h)(u) | 15,856,788 | 15,420,727 | |
| Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (e)(h)(u) | 18,893,183 | 17,978,942 | |
| Herschend Entertainment Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 6.75% 8/18/25 (e)(h)(u) | 1,330,000 | 1,330,000 | |
| Hilton Worldwide Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9001% 6/21/26 (e)(h)(u) | 2,928,862 | 2,855,874 | |
| KFC Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8935% 4/3/25 (e)(h)(u) | 1,835,718 | 1,803,593 | |
| LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/10/22 (e)(h)(u) | 3,243,950 | 3,036,792 | |
| Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 8/31/25 (e)(h)(u) | 2,043,007 | 1,977,242 | |
| NASCAR Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 10/18/26 (e)(h)(u) | 2,184,579 | 2,149,385 | |
| PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6455% 5/29/26 (e)(h)(u) | 1,466,710 | 1,435,205 | |
| Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (e)(h)(u) | 1,530,060 | 1,503,284 | |
| PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 6.3955% 3/1/26 (e)(h)(u) | 2,990,936 | 2,562,275 | |
| Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 4/27/24 (e)(h)(u) | 301,527 | 274,595 | |
| PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7204% 5/10/26 (e)(h)(u) | 718,843 | 668,524 | |
| Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7% 12/10/24 (e)(h)(u) | 7,350,028 | 7,378,399 | |
| Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/28/21 (e)(h)(u) | 1,209,867 | 1,156,633 | |
| Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 2.15% 5/11/24 (e)(h)(u) | 572,763 | 549,852 | |
| Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 8/14/24 (e)(h)(u) | 4,472,066 | 4,312,771 | |
| Seminole Tribe of Florida Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 7/6/24 (e)(h)(u) | 3,653,376 | 3,582,610 | |
| Stars Group Holdings BV Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 7/10/25 (e)(h)(u) | 5,192,974 | 5,202,166 | |
| Station Casinos LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.5% 2/7/27 (e)(h)(u) | 6,370,649 | 6,178,510 | |
| Travelport Finance Luxembourg SARL 1LN, term loan: | |||
| 3 month U.S. LIBOR + 5.000% 5.2203% 5/30/26 (e)(h)(u) | 3,773,630 | 2,564,710 | |
| 3 month U.S. LIBOR + 8.000% 9% 2/28/25 (e)(h)(u) | 3,147,055 | 3,036,405 | |
| Twin River Worldwide Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.000% 9% 5/10/26 (e)(h)(u) | 2,269,313 | 2,396,961 | |
| United PF Holdings LLC: | |||
| 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2204% 12/30/26 (e)(h)(u) | 2,651,877 | 2,459,616 | |
| 2LN, term loan 3 month U.S. LIBOR + 8.500% 8.7204% 12/30/27 (c)(e)(h)(u) | 500,000 | 430,000 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.500% 9.5% 12/30/26 (c)(e)(h)(u) | 775,000 | 771,125 | |
| Whatabrands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8901% 8/3/26 (e)(h)(u) | 5,691,384 | 5,591,785 | |
| Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 5/30/25 (e)(h)(u) | 2,465,680 | 2,407,120 | |
| 187,693,957 | |||
| Household Durables - 0.0% | |||
| American Bath Group LLC Tranche C 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 11/20/27 (e)(h)(u) | 525,000 | 523,861 | |
| Big Ass Fans LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 5/21/24 (e)(h)(u) | 1,293,961 | 1,268,081 | |
| CP Atlas Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 11/23/27 (e)(h)(u) | 1,575,000 | 1,571,582 | |
| Mattress Firm, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 11/24/27 (e)(h)(u) | 1,925,000 | 1,905,750 | |
| Weber-Stephen Products LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 10/30/27 (e)(h)(u) | 2,705,000 | 2,692,151 | |
| 7,961,425 | |||
| Internet & Direct Marketing Retail - 0.2% | |||
| Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 5.75% 9/25/24 (e)(h)(u) | 37,686,116 | 37,645,792 | |
| Buzz Finco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 1/29/27 (e)(h)(u) | 3,095,000 | 3,083,394 | |
| Buzz Merger Sub Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 1/29/27 (e)(h)(u) | 631,825 | 622,348 | |
| CNT Holdings I Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 11/8/27 (e)(h)(u) | 3,665,000 | 3,630,952 | |
| Harbor Freight Tools U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 10/19/27 (e)(h)(u) | 8,500,000 | 8,432,425 | |
| Red Ventures LLC Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 2.500% 2.6455% 11/8/24 (e)(h)(u) | 5,316,218 | 5,137,539 | |
| 3 month U.S. LIBOR + 3.500% 4.25% 11/8/24 (e)(h)(u) | 1,430,000 | 1,412,125 | |
| Terrier Media Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 12/12/26 (e)(h)(u) | 12,357,403 | 12,189,466 | |
| 72,154,041 | |||
| Leisure Products - 0.0% | |||
| Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.6495% 1/4/26 (e)(h)(u) | 1,273,050 | 1,272,515 | |
| SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.6455% 12/21/25 (e)(h)(u) | 2,525,625 | 2,371,385 | |
| 3,643,900 | |||
| Specialty Retail - 0.1% | |||
| Academy Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.75% 11/6/27 (e)(h)(u) | 4,040,000 | 3,970,552 | |
| Adient U.S. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.4126% 5/6/24 (e)(h)(u) | 1,281,755 | 1,277,487 | |
| David's Bridal, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 8.000% 9% 1/18/24 (c)(e)(h)(u) | 60,891 | 0 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7% 6/30/23 (c)(e)(h)(u) | 44,448 | 0 | |
| Michaels Stores, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/1/27 (e)(h)(u) | 3,112,200 | 3,059,293 | |
| Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 2.500% 3.25% 8/19/22 (e)(h)(u) | 2,692,786 | 2,426,120 | |
| PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.25% 1/26/23 (e)(h)(u) | 2,282,759 | 2,150,062 | |
| Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (c)(g)(h)(u) | 1,725,586 | 0 | |
| Staples, Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.2144% 4/16/26 (e)(h)(u) | 1,012,414 | 974,702 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.500% 4.7144% 9/12/24 (e)(h)(u) | 303,269 | 292,339 | |
| 14,150,555 | |||
| Textiles, Apparel & Luxury Goods - 0.0% | |||
| Canada Goose, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 10/7/27 (e)(h)(u) | 1,490,000 | 1,486,275 | |
| Samsonite IP Holdings SARL Tranche B2 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 4/25/25 (e)(h)(u) | 2,339,138 | 2,283,583 | |
| 3,769,858 | |||
| TOTAL CONSUMER DISCRETIONARY | 360,043,787 | ||
| CONSUMER STAPLES - 0.1% | |||
| Beverages - 0.0% | |||
| Arterra Wines Canada, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 11/25/27 (e)(h)(u) | 1,095,000 | 1,095,000 | |
| Food & Staples Retailing - 0.1% | |||
| 8th Avenue Food & Provisions, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 7.750% 7.8995% 10/1/26 (e)(h)(u) | 172,000 | 169,420 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6495% 10/1/25 (e)(h)(u) | 497,145 | 493,625 | |
| Agro Merchants Intermediate Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 12/6/24 (e)(h)(u) | 2,499,886 | 2,496,761 | |
| BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1401% 2/3/24 (e)(h)(u) | 3,573,669 | 3,558,910 | |
| EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.2204% 2/6/25 (e)(h)(u) | 1,678,517 | 1,643,906 | |
| Froneri U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 1/30/27 (e)(h)(u) | 3,442,588 | 3,357,074 | |
| GOBP Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.893% 10/22/25 (e)(h)(u) | 1,492,736 | 1,473,330 | |
| JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.5% 11/20/25 (e)(h)(u) | 3,040,298 | 2,683,063 | |
| Saffron Borrowco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 6.8977% 6/20/25 (e)(h)(u) | 2,520,085 | 2,538,986 | |
| Shearer's Foods, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 9/23/27 (e)(h)(u) | 3,974,152 | 3,960,481 | |
| U.S. Foods, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 9/13/26 (e)(h)(u) | 2,970,000 | 2,855,239 | |
| Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 6/27/23 (e)(h)(u) | 1,787,382 | 1,726,861 | |
| 26,957,656 | |||
| Food Products - 0.0% | |||
| Atkins Nutritional Holdings II, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 7/7/24 (e)(h)(u) | 1,690,208 | 1,691,611 | |
| Chobani LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 10/23/27 (e)(h)(u) | 4,410,000 | 4,373,265 | |
| JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 5/1/26 (e)(h)(u) | 7,229,161 | 7,114,940 | |
| 13,179,816 | |||
| Personal Products - 0.0% | |||
| BellRing Brands, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 10/10/24 (e)(h)(u) | 3,944,422 | 3,954,284 | |
| Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1409% 6/15/25 (e)(h)(u) | 750,629 | 576,483 | |
| 4,530,767 | |||
| TOTAL CONSUMER STAPLES | 45,763,239 | ||
| ENERGY - 0.2% | |||
| Energy Equipment & Services - 0.0% | |||
| BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 4.8955% 11/3/25 (e)(h)(u) | 2,202,125 | 1,897,968 | |
| Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 5/21/25 (e)(h)(u) | 1,083,385 | 875,993 | |
| ChampionX Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 6/3/27 (e)(h)(u) | 2,019,438 | 2,034,583 | |
| 4,808,544 | |||
| Oil, Gas & Consumable Fuels - 0.2% | |||
| Apro LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 11/14/26 (e)(h)(u) | 3,487,842 | 3,470,403 | |
| BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (e)(h)(u) | 3,227,130 | 2,858,688 | |
| BCP Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5% 10/31/24 (e)(h)(u) | 2,126,528 | 1,990,579 | |
| BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 6.4% 11/18/24 (e)(h)(u) | 2,190,597 | 2,189,677 | |
| California Resources Corp. 2LN, term loan 3 month U.S. LIBOR + 9.000% 10% 10/27/25 (c)(e)(h)(u) | 1,364,580 | 1,350,934 | |
| Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9% 6/9/24 (e)(g)(h)(u) | 2,250,000 | 1,590,008 | |
| Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (e)(h)(u) | 1,405,800 | 1,224,367 | |
| Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 3/28/24 (e)(h)(u) | 6,605,288 | 6,294,840 | |
| Crestwood Holdings Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.500% 7.65% 3/5/23 (e)(h)(u) | 993,214 | 625,308 | |
| Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 3/30/25 (e)(h)(u) | 2,236,047 | 2,088,602 | |
| EG America LLC: | |||
| 2LN, term loan 3 month U.S. LIBOR + 8.000% 9% 3/23/26 (e)(h)(u) | 427,910 | 411,149 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2204% 2/6/25 (e)(h)(u) | 4,153,712 | 4,068,063 | |
| Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.26% 3/1/26 (e)(h)(u) | 2,992,500 | 2,083,528 | |
| Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 0% 3/1/24 (g)(h)(u) | 12,168,674 | 76,054 | |
| GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.4015% 7/18/25 (e)(h)(u) | 5,180,223 | 4,462,762 | |
| Hamilton Projs. Acquiror LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 6/17/27 (e)(h)(u) | 5,070,325 | 5,053,441 | |
| Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5% 2/15/24 (e)(h)(u) | 4,950,008 | 4,377,688 | |
| Lower Cadence Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 5/22/26 (e)(h)(u) | 2,144,959 | 2,038,612 | |
| Matador Bidco SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8955% 10/15/26 (e)(h)(u) | 1,547,225 | 1,524,017 | |
| Oxbow Carbon LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 10/19/25 (e)(h)(u) | 1,230,000 | 1,220,775 | |
| Sanchez Energy Corp.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(g)(h)(u) | 2,102,309 | 0 | |
| term loan 3 month U.S. LIBOR + 0.000% 7.25% 12/31/49 (c)(e)(g)(h)(u) | 907,000 | 0 | |
| TPF II Power LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/2/25 (e)(h)(u) | 2,568,410 | 2,560,397 | |
| WaterBridge Operating LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 6.75% 6/21/26 (e)(h)(u) | 1,732,500 | 1,472,625 | |
| 53,032,517 | |||
| TOTAL ENERGY | 57,841,061 | ||
| FINANCIALS - 0.6% | |||
| Capital Markets - 0.1% | |||
| AssuredPartners, Inc. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.500% 3.6455% 2/13/27 (e)(h)(u) | 1,999,888 | 1,958,330 | |
| 3 month U.S. LIBOR + 4.500% 5.5% 2/13/27 (e)(h)(u) | 1,905,425 | 1,903,634 | |
| Blackstone CQP Holdco LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.7254% 9/30/24 (e)(h)(u) | 7,857,117 | 7,761,732 | |
| Blucora, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 5/22/24 (e)(h)(u) | 1,693,896 | 1,668,487 | |
| Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 2/27/26 (e)(h)(u) | 7,342,662 | 7,310,575 | |
| Deerfield Dakota Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 4/9/27 (e)(h)(u) | 4,792,913 | 4,773,453 | |
| Franklin Square Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.4375% 8/3/25 (e)(h)(u) | 1,905,278 | 1,857,646 | |
| HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3909% 3/1/25 (e)(h)(u) | 2,979,754 | 2,942,507 | |
| Russell Investments U.S. Institutional Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 5/30/25 (e)(h)(u) | 2,235,757 | 2,213,399 | |
| Victory Capital Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.734% 7/1/26 (e)(h)(u) | 1,440,093 | 1,422,092 | |
| 33,811,855 | |||
| Diversified Financial Services - 0.2% | |||
| ACNR Holdings, Inc. term loan 0% 9/21/27 (c)(e)(u) | 2,105,955 | 2,105,955 | |
| Agellan Portfolio 9% 8/7/25 (c)(e)(u) | 424,000 | 424,000 | |
| Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 7/12/24 (e)(h)(u) | 3,985,644 | 3,926,856 | |
| Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.5% 1/15/25 (e)(h)(u) | 2,231,939 | 2,186,608 | |
| Extell Boston 5.149% 8/31/21 (c)(e)(u) | 278,455 | 278,455 | |
| Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 10/1/25 (e)(h)(u) | 16,527,478 | 16,418,231 | |
| Finco I LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6478% 6/27/25 (e)(h)(u) | 1,915,718 | 1,894,166 | |
| Focus Financial Partners LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 7/3/24 (e)(h)(u) | 4,423,611 | 4,340,669 | |
| GT Polaris, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 9/24/27 (e)(h)(u) | 3,230,000 | 3,213,850 | |
| Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 7/3/24 (e)(h)(u) | 1,237,067 | 1,145,833 | |
| KREF Holdings X LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 9/1/27 (e)(h)(u) | 2,220,000 | 2,208,900 | |
| MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/7/23 (e)(h)(u) | 7,311,182 | 7,203,342 | |
| NAB Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 6/30/24 (e)(h)(u) | 1,019,913 | 1,000,575 | |
| Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 9/29/24 (e)(h)(u) | 768,612 | 726,339 | |
| RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 2/11/27 (e)(h)(u) | 4,685,618 | 4,679,761 | |
| TransUnion LLC Tranche B5 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8978% 11/16/26 (e)(h)(u) | 3,263,750 | 3,213,880 | |
| UFC Holdings LLC Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.250% 4.25% 4/29/26 (e)(h)(u) | 1,001,954 | 991,373 | |
| 3 month U.S. LIBOR + 3.250% 4.25% 4/29/26 (e)(h)(u) | 1,187,025 | 1,169,220 | |
| Veritas Multifamily Portfolio 1 month U.S. LIBOR + 8.500% 8.75% 11/15/22 (c)(e)(h)(u) | 5,514,000 | 5,514,000 | |
| 62,642,013 | |||
| Insurance - 0.3% | |||
| Acrisure LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 2/13/27 (e)(h)(u) | 6,962,120 | 6,808,396 | |
| Alliant Holdings Intermediate LLC: | |||
| Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.3955% 5/10/25 (e)(h)(u) | 3,363,930 | 3,277,040 | |
| Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.393% 5/9/25 (e)(h)(u) | 987,500 | 962,131 | |
| Tranche B3 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 11/5/27 (e)(h)(u) | 3,250,000 | 3,231,735 | |
| AmeriLife Holdings LLC: | |||
| Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 4.000% 4.1491% 3/18/27 (e)(h)(u) | 5,087,710 | 4,960,517 | |
| 3 month U.S. LIBOR + 4.000% 4.75% 3/18/27 (c)(e)(h)(u) | 740,000 | 730,750 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.500% 9.5% 3/18/28 (c)(e)(h)(u) | 545,000 | 534,100 | |
| AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.75% 1/25/24 (e)(h)(u) | 6,228,516 | 6,201,297 | |
| Asurion LLC: | |||
| Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 11/3/23 (e)(h)(u) | 4,569,365 | 4,518,919 | |
| Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 11/3/24 (e)(h)(u) | 4,720,680 | 4,669,272 | |
| Tranche B, term loan: | |||
| 3 month U.S. LIBOR + 3.000% 3.1455% 8/4/22 (e)(h)(u) | 7,979,773 | 7,939,874 | |
| 3 month U.S. LIBOR + 6.500% 6.6455% 8/4/25 (e)(h)(u) | 8,873,515 | 8,921,610 | |
| HUB International Ltd. Tranche B, term loan: | |||
| 3 month U.S. LIBOR + 3.000% 3.2147% 4/25/25 (e)(h)(u) | 17,416,649 | 16,981,233 | |
| 3 month U.S. LIBOR + 4.000% 5% 4/25/25 (e)(h)(u) | 2,615,238 | 2,616,022 | |
| Ryan Specialty Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 9/1/27 (e)(h)(u) | 4,365,000 | 4,343,175 | |
| USI, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2204% 12/2/26 (e)(h)(u) | 124,063 | 123,473 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.2204% 5/16/24 (e)(h)(u) | 8,360,552 | 8,178,375 | |
| 84,997,919 | |||
| TOTAL FINANCIALS | 181,451,787 | ||
| HEALTH CARE - 0.4% | |||
| Biotechnology - 0.0% | |||
| Aldevron LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.25% 10/11/26 (e)(h)(u) | 6,666,703 | 6,666,703 | |
| Health Care Equipment & Supplies - 0.1% | |||
| American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 5.1455% 6/22/24 (e)(h)(u) | 5,604,061 | 5,588,034 | |
| CPI Holdco LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 11/4/26 (e)(h)(u) | 631,825 | 627,086 | |
| Maravai Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.25% 10/19/27 (e)(h)(u) | 3,885,833 | 3,890,691 | |
| Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3902% 6/30/25 (e)(h)(u) | 6,317,564 | 6,186,474 | |
| Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 9/25/27 (e)(h)(u) | 2,270,000 | 2,248,730 | |
| Pathway Vet Alliance LLC: | |||
| 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.0624% 3/31/27 (e)(h)(u)(v) | 215,344 | 212,293 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 3/31/27 (e)(h)(u) | 2,636,408 | 2,599,050 | |
| VVC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.7502% 2/11/26 (e)(h)(u) | 12,305,938 | 12,213,643 | |
| 33,566,001 | |||
| Health Care Providers & Services - 0.2% | |||
| Da Vinci Purchaser Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 12/13/26 (e)(h)(u) | 6,451,213 | 6,443,148 | |
| DaVita HealthCare Partners, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 8/12/26 (e)(h)(u) | 848,493 | 837,980 | |
| Global Medical Response, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 10/2/25 (e)(h)(u) | 1,000,000 | 986,250 | |
| HAH Group Holding Co. LLC: | |||
| 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 10/20/27 (e)(h)(u) | 1,296,379 | 1,283,416 | |
| Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.000% 10/20/27 (e)(h)(u)(v) | 163,621 | 161,984 | |
| HCA Holdings, Inc.: | |||
| Tranche B12 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 3/13/25 (e)(h)(u) | 1,864,056 | 1,859,004 | |
| Tranche B13, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 3/18/26 (e)(h)(u) | 4,086,311 | 4,073,194 | |
| MED ParentCo LP: | |||
| 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 8/31/26 (e)(h)(u) | 2,169,892 | 2,079,712 | |
| 2LN, term loan 3 month U.S. LIBOR + 8.250% 8.3955% 8/30/27 (e)(h)(u) | 810,000 | 782,460 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 8/31/26 (e)(h)(u) | 1,000,000 | 985,000 | |
| Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3518% 8/31/26 (e)(h)(u)(v) | 600,979 | 576,003 | |
| Milano Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (e)(h)(u) | 10,130,000 | 10,020,292 | |
| Radiology Partners, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.8004% 7/9/25 (e)(h)(u) | 1,310,000 | 1,260,600 | |
| RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 11/16/25 (e)(h)(u) | 4,609,266 | 4,537,269 | |
| Select Medical Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.78% 3/6/25 (e)(h)(u) | 740,000 | 725,896 | |
| Surgery Center Holdings, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 8.000% 9% 8/31/24 (e)(h)(u) | 621,875 | 633,174 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/31/24 (e)(h)(u) | 2,325,148 | 2,274,483 | |
| U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 6/23/24 (e)(h)(u) | 4,620,137 | 4,463,376 | |
| U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1455% 6/13/26 (e)(h)(u) | 7,189,271 | 7,122,771 | |
| Upstream Newco, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.6477% 11/20/26 (e)(h)(u) | 1,616,875 | 1,588,580 | |
| Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 12/1/24 (e)(h)(u) | 1,548,406 | 1,545,309 | |
| 54,239,901 | |||
| Health Care Technology - 0.0% | |||
| Emerald TopCo, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7142% 7/22/26 (e)(h)(u) | 2,413,436 | 2,353,703 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 7/25/26 (e)(h)(u) | 1,570,000 | 1,550,375 | |
| Imprivata, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 11/24/27 (e)(h)(u) | 3,040,000 | 3,021,000 | |
| Zelis Payments Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8955% 9/30/26 (e)(h)(u) | 2,050,296 | 2,048,061 | |
| 8,973,139 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Avantor, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.5% 11/6/27 (e)(h)(u) | 3,010,000 | 3,006,238 | |
| Jaguar Holding Co. II 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.5% 8/18/22 (e)(h)(u) | 660,000 | 658,489 | |
| 3,664,727 | |||
| Pharmaceuticals - 0.1% | |||
| Catalent Pharma Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.25% 5/9/26 (e)(h)(u) | 1,477,500 | 1,475,653 | |
| Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8991% 8/1/27 (e)(h)(u) | 9,414,503 | 9,263,212 | |
| Lannett Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.370% 6.375% 11/25/22 (e)(h)(u) | 6,434,009 | 6,279,593 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.893% 11/27/25 (e)(h)(u) | 2,743,529 | 2,698,947 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.143% 6/1/25 (e)(h)(u) | 5,816,530 | 5,743,823 | |
| 25,461,228 | |||
| TOTAL HEALTH CARE | 132,571,699 | ||
| INDUSTRIALS - 0.6% | |||
| Aerospace & Defense - 0.1% | |||
| AI Convoy Luxembourg SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 1/20/27 (e)(h)(u) | 5,210,400 | 5,187,631 | |
| Jazz Acquisition, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4% 6/19/26 (e)(h)(u) | 618,750 | 567,703 | |
| TransDigm, Inc.: | |||
| Tranche E 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 5/30/25 (e)(h)(u) | 4,769,031 | 4,617,042 | |
| Tranche F 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 12/9/25 (e)(h)(u) | 13,120,539 | 12,703,699 | |
| Tranche G 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 8/22/24 (e)(h)(u) | 2,465,827 | 2,389,880 | |
| WP CPP Holdings LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 4/30/25 (e)(h)(u) | 3,235,893 | 2,981,066 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 8.75% 4/30/26 (e)(h)(u) | 319,000 | 262,378 | |
| 28,709,399 | |||
| Air Freight & Logistics - 0.0% | |||
| Dynasty Acquisition Co., Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/8/26 (e)(h)(u) | 2,214,831 | 2,062,561 | |
| Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/4/26 (e)(h)(u) | 1,190,769 | 1,108,904 | |
| PAE Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 10/13/27 (e)(h)(u) | 1,310,000 | 1,301,262 | |
| Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/5/24 (e)(h)(u) | 1,321,690 | 1,305,578 | |
| 5,778,305 | |||
| Airlines - 0.1% | |||
| Delta Air Lines, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.75% 4/29/23 (e)(h)(u) | 3,062,325 | 3,091,662 | |
| JetBlue Airways Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 6/17/24 (e)(h)(u) | 3,573,125 | 3,628,973 | |
| Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/2/27 (e)(h)(u) | 5,495,000 | 5,657,377 | |
| SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (e)(h)(u) | 4,930,000 | 5,034,171 | |
| WestJet Airlines Ltd. 1LN, term loan 3 month U.S. LIBOR + 2.750% 4% 12/11/26 (e)(h)(u) | 3,637,513 | 3,406,931 | |
| 20,819,114 | |||
| Building Products - 0.1% | |||
| ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 8/13/25 (e)(h)(u) | 1,742,938 | 1,771,992 | |
| APi Group DE, Inc. Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 2.500% 2.6455% 10/1/26 (e)(h)(u) | 3,225,625 | 3,169,177 | |
| 3 month U.S. LIBOR + 2.750% 2.8978% 10/1/26 (e)(h)(u) | 1,985,000 | 1,960,188 | |
| GYP Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 6/1/25 (e)(h)(u) | 2,104,754 | 2,083,707 | |
| Ingersoll-Rand Services Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 2/28/27 (e)(h)(u) | 2,915,350 | 2,857,043 | |
| The Hillman Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 5/31/25 (e)(h)(u) | 6,898,363 | 6,830,828 | |
| 18,672,935 | |||
| Commercial Services & Supplies - 0.2% | |||
| ABG Intermediate Holdings 2 LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 9/29/24 (e)(h)(u) | 785,000 | 781,075 | |
| American Residential Services LLC/ARS Finance, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/15/27 (e)(h)(u) | 2,320,000 | 2,295,362 | |
| APX Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1461% 12/31/25 (e)(h)(u) | 1,588,434 | 1,573,741 | |
| AVSC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 10/15/26 (e)(h)(u) | 2,682,113 | 2,440,723 | |
| Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/21/24 (e)(h)(u) | 11,457,960 | 10,976,726 | |
| Conservice Midco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4704% 5/13/27 (e)(h)(u) | 2,040,000 | 2,010,032 | |
| Ensemble RCM LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9644% 8/1/26 (e)(h)(u) | 1,732,500 | 1,722,971 | |
| Environmental Resources Management I Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4704% 7/10/26 (e)(h)(u) | 987,500 | 972,194 | |
| Filtration Group Corp.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/29/25 (e)(h)(u) | 625,000 | 622,138 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 3/29/25 (e)(h)(u) | 3,274,256 | 3,204,678 | |
| Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 11/3/23 (e)(h)(u) | 2,611,610 | 2,244,130 | |
| IAA Spinco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4375% 6/29/26 (e)(h)(u) | 1,451,250 | 1,433,109 | |
| Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 2/27/25 (e)(h)(u) | 14,442,322 | 14,352,057 | |
| Maverick Purchaser Sub LLC Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.500% 3.6455% 1/23/27 (e)(h)(u) | 3,805,463 | 3,724,596 | |
| 3 month U.S. LIBOR + 4.750% 5.5% 2/3/27 (e)(h)(u) | 2,500,000 | 2,475,000 | |
| MHI Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1455% 9/20/26 (e)(h)(u) | 3,074,219 | 3,043,477 | |
| Pitney Bowes, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.65% 1/7/25 (e)(h)(u) | 1,155,375 | 1,139,489 | |
| Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.25% 9/23/26 (e)(h)(u) | 990,000 | 983,813 | |
| Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (e)(h)(u) | 3,486,498 | 3,454,527 | |
| SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8978% 8/29/25 (e)(h)(u) | 1,502,243 | 1,382,063 | |
| The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6875% 8/15/25 (e)(h)(u) | 2,227,928 | 2,192,660 | |
| Tunnel Hill Partners LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 2/8/26 (e)(h)(u) | 545,690 | 489,757 | |
| WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 12/20/24 (e)(h)(u) | 1,874,959 | 1,853,865 | |
| 65,368,183 | |||
| Construction & Engineering - 0.0% | |||
| JMC Steel Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1465% 1/24/27 (e)(h)(u) | 1,990,000 | 1,951,036 | |
| Landry's Finance Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 12.000% 13% 10/4/23 (e)(h)(u) | 865,000 | 968,800 | |
| Pike Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.2332% 7/24/26 (e)(h)(u) | 1,850,783 | 1,841,863 | |
| Rockwood Service Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 1/23/27 (e)(h)(u) | 4,245,171 | 4,216,856 | |
| Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.5% 9/27/24 (e)(h)(u) | 1,618,628 | 1,523,307 | |
| Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 5/21/26 (c)(e)(h)(u) | 3,443,272 | 3,383,015 | |
| 13,884,877 | |||
| Electrical Equipment - 0.1% | |||
| Alliance Laundry Systems LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/8/27 (e)(h)(u) | 2,890,000 | 2,881,561 | |
| Array Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 10/14/27 (c)(e)(h)(u) | 6,110,391 | 6,064,563 | |
| Vertiv Group Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1491% 3/2/27 (e)(h)(u) | 7,129,175 | 7,012,043 | |
| 15,958,167 | |||
| Machinery - 0.0% | |||
| Altra Industrial Motion Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 10/1/25 (e)(h)(u) | 1,365,343 | 1,341,450 | |
| CPM Holdings, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 8.250% 8.3991% 11/15/26 (e)(h)(u) | 280,000 | 258,532 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8991% 11/15/25 (e)(h)(u) | 1,159,966 | 1,106,317 | |
| Vertical U.S. Newco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.5666% 7/31/27 (e)(h)(u) | 1,815,000 | 1,809,210 | |
| 4,515,509 | |||
| Professional Services - 0.0% | |||
| AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6455% 4/4/24 (e)(h)(u) | 3,713,461 | 3,635,961 | |
| Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 2/7/26 (e)(h)(u) | 3,627,027 | 3,505,740 | |
| 7,141,701 | |||
| Road & Rail - 0.0% | |||
| Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2204% 12/30/26 (e)(h)(u) | 3,731,250 | 3,700,952 | |
| Uber Technologies, Inc. Tranche B, term loan: | |||
| 3 month U.S. LIBOR + 3.500% 3.6455% 7/13/23 (e)(h)(u) | 5,622,722 | 5,590,222 | |
| 3 month U.S. LIBOR + 4.000% 5% 4/4/25 (e)(h)(u) | 5,145,427 | 5,133,232 | |
| 14,424,406 | |||
| Trading Companies & Distributors - 0.0% | |||
| Fly Funding II SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 2% 8/9/25 (e)(h)(u) | 1,922,623 | 1,710,327 | |
| TOTAL INDUSTRIALS | 196,982,923 | ||
| INFORMATION TECHNOLOGY - 0.9% | |||
| Communications Equipment - 0.1% | |||
| Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9704% 8/10/25 (e)(h)(u) | 2,535,999 | 1,230,365 | |
| CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 4/4/26 (e)(h)(u) | 6,972,137 | 6,845,802 | |
| Radiate Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 9/10/26 (e)(h)(u) | 10,395,000 | 10,349,574 | |
| Sabre Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.393% 4/15/26 (e)(h)(u) | 1,596,879 | 1,584,232 | |
| 20,009,973 | |||
| Electronic Equipment & Components - 0.1% | |||
| DG Investment Intermediate Holdings, Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 2/1/25 (e)(h)(u) | 717,977 | 701,104 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 2/1/26 (e)(h)(u) | 277,000 | 257,610 | |
| Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 1/31/24 (e)(h)(u) | 482,300 | 477,477 | |
| EPV Merger Sub, Inc.: | |||
| Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 7.3955% 3/8/26 (e)(h)(u) | 226,000 | 212,252 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 3/8/25 (e)(h)(u) | 4,443,766 | 4,327,118 | |
| EXC Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/2/24 (e)(h)(u) | 3,476,360 | 3,428,560 | |
| Go Daddy Operating Co. LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6478% 8/10/27 (e)(h)(u) | 3,241,875 | 3,228,356 | |
| Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 2/15/24 (e)(h)(u) | 3,661,635 | 3,603,452 | |
| TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6472% 9/28/24 (e)(h)(u) | 2,099,221 | 2,067,733 | |
| 18,303,662 | |||
| IT Services - 0.2% | |||
| Arches Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 11/24/27 (h)(t)(u) | 4,825,000 | 4,806,906 | |
| Brave Parent Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 4/19/25 (e)(h)(u) | 624,228 | 614,084 | |
| Camelot Finance SA: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 10/31/26 (e)(h)(u) | 8,500,000 | 8,463,875 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 10/31/26 (e)(h)(u) | 3,914,930 | 3,864,036 | |
| CCC Information Services, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 4/27/24 (e)(h)(u) | 2,497,326 | 2,481,718 | |
| EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 2/9/23 (e)(h)(u) | 5,481,022 | 5,470,279 | |
| GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.97% 5/31/25 (e)(h)(u) | 4,304,656 | 3,320,655 | |
| Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 11/21/24 (e)(h)(u) | 8,777,832 | 8,644,322 | |
| Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.6376% 4/30/27 (e)(h)(u) | 6,354,075 | 6,351,406 | |
| Park Place Technologies LLC 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 11/10/27 (e)(h)(u) | 1,820,000 | 1,744,925 | |
| Presidio Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.72% 1/22/27 (e)(h)(u) | 299,250 | 295,324 | |
| Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 11/3/23 (e)(h)(u) | 8,649,503 | 8,588,697 | |
| Tempo Acquisition LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 10/31/26 (e)(h)(u) | 8,940,000 | 8,781,673 | |
| Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8978% 5/1/24 (e)(h)(u) | 3,679,997 | 3,606,397 | |
| Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 4.6477% 8/27/25 (e)(h)(u) | 4,445,123 | 4,424,275 | |
| VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1409% 3/1/26 (e)(h)(u) | 5,383,816 | 5,349,198 | |
| Web.com Group, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 7.750% 7.893% 10/11/26 (e)(h)(u) | 699,610 | 661,131 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.893% 10/11/25 (e)(h)(u) | 4,867,219 | 4,753,374 | |
| 82,222,275 | |||
| Semiconductors & Semiconductor Equipment - 0.0% | |||
| Allegro MicroSystems LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.75% 9/30/27 (e)(h)(u) | 85,769 | 85,555 | |
| CMC Materials, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1875% 11/15/25 (e)(h)(u) | 1,223,092 | 1,207,803 | |
| Omnitracs LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3991% 10/1/27 (e)(h)(u) | 750,000 | 742,815 | |
| ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1501% 9/19/26 (e)(h)(u) | 1,732,500 | 1,719,021 | |
| 3,755,194 | |||
| Software - 0.5% | |||
| A&V Holdings Midco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.370% 6.375% 3/10/27 (e)(h)(u) | 1,989,494 | 1,865,150 | |
| Almonde, Inc.: | |||
| Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (e)(h)(u) | 5,417,000 | 5,368,626 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (e)(h)(u) | 12,777,378 | 12,365,052 | |
| Aptean, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 4/23/26 (e)(h)(u) | 1,733,101 | 1,699,167 | |
| Ascend Learning LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 7/12/24 (e)(h)(u) | 2,540,000 | 2,533,650 | |
| Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.3955% 10/2/25 (e)(h)(u) | 9,591,463 | 9,473,392 | |
| Bracket Intermediate Holding Corp. 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4839% 9/5/25 (e)(h)(u) | 1,951,218 | 1,920,740 | |
| Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.602% 4/30/25 (e)(h)(u) | 4,581,644 | 4,478,557 | |
| Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 11/29/24 (e)(h)(u) | 1,552,651 | 1,465,314 | |
| DCert Buyer, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 10/16/26 (e)(h)(u) | 6,651,575 | 6,591,977 | |
| Dynatrace LLC 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3955% 8/23/25 (e)(h)(u) | 841,189 | 827,873 | |
| Epicor Software Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.25% 7/30/27 (e)(h)(u) | 3,650,000 | 3,652,300 | |
| Evo Payments International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.4% 12/22/23 (e)(h)(u) | 6,578,796 | 6,537,679 | |
| Flexera Software LLC 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.25% 2/26/25 (e)(h)(u) | 1,234,820 | 1,224,398 | |
| Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 10/8/27 (h)(t)(u) | 4,250,000 | 4,232,278 | |
| Hyland Software, Inc.: | |||
| Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 7.75% 7/7/25 (e)(h)(u) | 194,480 | 195,452 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 7/1/24 (e)(h)(u) | 5,539,595 | 5,508,463 | |
| Landesk Group, Inc. term loan: | |||
| 3 month U.S. LIBOR + 4.250% 5.25% 1/20/24 (e)(h)(u) | 7,526,808 | 7,515,066 | |
| 3 month U.S. LIBOR + 9.000% 10% 1/20/25 (e)(h)(u) | 1,262,000 | 1,252,926 | |
| MA FinanceCo. LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/5/25 (e)(h)(u) | 1,366,406 | 1,364,124 | |
| Tranche B 3LN, term loan: | |||
| 3 month U.S. LIBOR + 2.500% 2.6455% 6/21/24 (e)(h)(u) | 2,342,573 | 2,275,224 | |
| 3 month U.S. LIBOR + 2.500% 2.6478% 6/21/24 (e)(h)(u) | 15,314,512 | 14,874,220 | |
| McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 9/29/24 (e)(h)(u) | 7,354,185 | 7,333,079 | |
| MH Sub I LLC: | |||
| 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 9/15/24 (e)(h)(u) | 2,334,150 | 2,307,891 | |
| Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 9/15/24 (e)(h)(u) | 1,235,525 | 1,208,653 | |
| NAVEX TopCo, Inc.: | |||
| 2LN, term loan 3 month U.S. LIBOR + 7.000% 7.15% 9/4/26 (e)(h)(u) | 175,000 | 168,875 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4% 9/4/25 (e)(h)(u) | 1,261,487 | 1,233,898 | |
| Project Boost Purchaser LLC: | |||
| 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6455% 5/30/26 (e)(h)(u) | 1,732,500 | 1,683,782 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 5/30/26 (e)(h)(u) | 1,120,000 | 1,110,670 | |
| Renaissance Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 5/31/25 (e)(h)(u) | 1,537,952 | 1,500,149 | |
| S2P Acquisition Borrower, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 8/14/26 (e)(h)(u) | 168,524 | 166,333 | |
| Severin Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3901% 8/1/25 (e)(h)(u) | 1,436,415 | 1,401,697 | |
| Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 3/3/23 (e)(h)(u) | 3,029,075 | 2,985,971 | |
| Sophia LP 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 10/7/27 (e)(h)(u) | 5,725,000 | 5,682,063 | |
| SS&C Technologies, Inc.: | |||
| Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 4/16/25 (e)(h)(u) | 3,352,591 | 3,295,195 | |
| Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 4/16/25 (e)(h)(u) | 2,539,236 | 2,495,764 | |
| Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 4/16/25 (e)(h)(u) | 7,234,824 | 7,130,353 | |
| STG-Fairway Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 1/31/27 (e)(h)(u) | 663,338 | 646,343 | |
| SUSE Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9/22/27 (h)(t)(u) | 1,385,000 | 1,372,300 | |
| Ultimate Software Group, Inc.: | |||
| 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.750% 3.8955% 5/4/26 (e)(h)(u) | 5,023,172 | 4,989,265 | |
| 3 month U.S. LIBOR + 4.000% 4.75% 5/3/26 (e)(h)(u) | 12,290,000 | 12,304,011 | |
| 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (e)(h)(u) | 3,350,000 | 3,404,438 | |
| VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 2/28/27 (e)(h)(u) | 4,677,125 | 4,612,815 | |
| Xperi Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1455% 6/1/25 (e)(h)(u) | 5,401,625 | 5,394,873 | |
| 169,650,046 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Dell International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.75% 9/19/25 (e)(h)(u) | 5,190,054 | 5,177,961 | |
| TOTAL INFORMATION TECHNOLOGY | 299,119,111 | ||
| MATERIALS - 0.3% | |||
| Chemicals - 0.1% | |||
| American Rock Salt Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5% 3/21/25 (e)(h)(u) | 2,303,244 | 2,283,090 | |
| Aruba Investment Holdings LLC: | |||
| 2LN, term loan 3 month U.S. LIBOR + 7.750% 10/28/28 (h)(t)(u) | 555,000 | 554,073 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/28/27 (e)(h)(u) | 2,060,000 | 2,048,423 | |
| ASP Chromaflo Dutch I BV Tranche B-2 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.500% 4.5% 11/18/23 (e)(h)(u) | 630,828 | 615,057 | |
| 3 month U.S. LIBOR + 4.250% 5.25% 11/18/23 (e)(h)(u) | 208,799 | 205,667 | |
| ASP Chromaflo Intermediate Holdings, Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 11/18/23 (e)(h)(u) | 485,133 | 473,005 | |
| Tranche B3/B4 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.25% 11/18/23 (e)(h)(u) | 160,576 | 158,167 | |
| Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6455% 5/7/25 (e)(h)(u) | 3,113,791 | 2,926,963 | |
| Element Solutions, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1455% 1/31/26 (e)(h)(u) | 1,257,696 | 1,231,913 | |
| Emerald Performance Materials, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 8/7/25 (e)(h)(u) | 1,300,000 | 1,296,347 | |
| GrafTech Finance, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 2/12/25 (e)(h)(u) | 925,622 | 917,911 | |
| Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.73% 7/1/26 (e)(h)(u) | 1,165,250 | 1,146,315 | |
| Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7204% 3/1/26 (e)(h)(u) | 3,137,225 | 3,088,912 | |
| Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.500% 3.75% 10/11/24 (e)(h)(u) | 2,356,826 | 2,252,537 | |
| SCIH Salt Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 3/16/27 (e)(h)(u) | 3,825,413 | 3,809,881 | |
| Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1409% 10/1/25 (e)(h)(u) | 9,498,151 | 9,305,814 | |
| The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9% 4/3/25 (e)(h)(u) | 2,078,359 | 2,028,125 | |
| Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1778% 9/22/24 (e)(h)(u) | 2,954,648 | 2,913,668 | |
| W. R. Grace & Co.-Conn.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9704% 4/3/25 (e)(h)(u) | 464,726 | 454,753 | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 1.9704% 4/3/25 (e)(h)(u) | 796,534 | 779,440 | |
| 38,490,061 | |||
| Construction Materials - 0.0% | |||
| Hamilton Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.23% 1/4/27 (e)(h)(u) | 2,105,716 | 2,074,130 | |
| VM Consolidated, Inc. Tranche B L1N, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 2/28/25 (e)(h)(u) | 4,467,496 | 4,389,315 | |
| White Capital Buyer LLC Tranche B 1LN, term loan: | |||
| 3 month U.S. LIBOR + 4.000% 4.5% 10/8/27 (e)(h)(u) | 2,794,433 | 2,767,997 | |
| 3 month U.S. LIBOR + 4.000% 4.5% 10/8/27 (e)(h)(u) | 955,567 | 946,528 | |
| 10,177,970 | |||
| Containers & Packaging - 0.2% | |||
| Berlin Packaging, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1507% 11/7/25 (e)(h)(u) | 5,189,134 | 5,054,372 | |
| Berry Global, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1278% 10/1/22 (e)(h)(u) | 5,090,205 | 5,068,979 | |
| Tranche Y 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1278% 7/1/26 (e)(h)(u) | 4,443,750 | 4,361,452 | |
| BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.4795% 4/3/24 (e)(h)(u) | 616,751 | 586,425 | |
| Canister International Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8955% 12/21/26 (e)(h)(u) | 3,462,600 | 3,436,631 | |
| Charter NEX U.S., Inc.: | |||
| 1LN, term loan: | |||
| 3 month U.S. LIBOR + 3.250% 3.3955% 5/16/24 (e)(h)(u) | 751,423 | 748,793 | |
| 3 month U.S. LIBOR + 4.250% 11/24/27 (h)(t)(u) | 3,040,000 | 3,032,400 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 5/16/24 (e)(h)(u) | 751,876 | 749,290 | |
| Flex Acquisition Co., Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.2251% 6/29/25 (e)(h)(u) | 8,075,375 | 7,866,465 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 12/29/23 (e)(h)(u) | 3,550,168 | 3,499,862 | |
| Graham Packaging Co., Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 8/4/27 (e)(h)(u) | 4,710,000 | 4,702,370 | |
| Pixelle Specialty Solutions LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 10/31/24 (e)(h)(u) | 2,246,355 | 2,237,234 | |
| Pregis TopCo Corp. 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 7/31/26 (e)(h)(u) | 1,539,871 | 1,518,221 | |
| Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 7/26/23 (e)(h)(u) | 1,004,767 | 993,041 | |
| Reynolds Consumer Products LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 1/30/27 (e)(h)(u) | 4,228,138 | 4,174,609 | |
| Reynolds Group Holdings, Inc.: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3955% 2/16/26 (e)(h)(u) | 3,140,000 | 3,086,023 | |
| Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 2/5/23 (e)(h)(u) | 3,989,798 | 3,936,175 | |
| 55,052,342 | |||
| Metals & Mining - 0.0% | |||
| Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 8/25/23 (e)(h)(u) | 2,885,216 | 2,092,993 | |
| Paper & Forest Products - 0.0% | |||
| Clearwater Paper Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.2422% 7/26/26 (e)(h)(u) | 398,125 | 395,139 | |
| LEB Holdings U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 11/2/27 (e)(h)(u) | 1,090,000 | 1,090,687 | |
| Neenah, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 6/30/27 (e)(h)(u) | 962,588 | 966,197 | |
| 2,452,023 | |||
| TOTAL MATERIALS | 108,265,389 | ||
| REAL ESTATE - 0.1% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/18/24 (e)(h)(u) | 2,396,625 | 2,324,726 | |
| ESH Hospitality, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1478% 9/18/26 (e)(h)(u) | 285,410 | 279,060 | |
| Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.700% 1.8455% 2/6/22 (e)(h)(u) | 1,367,000 | 1,348,204 | |
| The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.75% 3/23/24 (e)(h)(u) | 1,349,816 | 1,202,645 | |
| 5,154,635 | |||
| Real Estate Management & Development - 0.1% | |||
| Aragon Junior Mezzanine 1 month U.S. LIBOR + 6.000% 7.25% 1/15/25 (c)(e)(h)(u) | 895,367 | 895,367 | |
| DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8955% 8/21/25 (e)(h)(u) | 8,339,822 | 8,068,778 | |
| Lightstone Holdco LLC: | |||
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 1/30/24 (e)(h)(u) | 3,293,565 | 2,968,326 | |
| Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 1/30/24 (e)(h)(u) | 185,762 | 167,418 | |
| Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 2/8/25 (e)(h)(u) | 138,027 | 133,541 | |
| VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8955% 12/22/24 (e)(h)(u) | 9,592,909 | 9,338,889 | |
| 21,572,319 | |||
| TOTAL REAL ESTATE | 26,726,954 | ||
| UTILITIES - 0.1% | |||
| Electric Utilities - 0.1% | |||
| Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 8/1/25 (e)(h)(u) | 12,235,637 | 12,107,530 | |
| ExGen Renewables IV, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 11/28/24 (e)(h)(u) | 1,595,086 | 1,590,301 | |
| Granite Generation LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 11/1/26 (e)(h)(u) | 1,931,713 | 1,924,817 | |
| Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 11/13/21 (e)(h)(u) | 1,879,821 | 1,717,686 | |
| Invenergy Thermal Operating I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1455% 8/28/25 (e)(h)(u) | 1,402,134 | 1,397,465 | |
| LMBE-MC HoldCo II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 12/3/25 (e)(h)(u) | 1,063,550 | 1,036,962 | |
| PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 6/23/25 (e)(h)(u) | 5,985,000 | 6,022,406 | |
| Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8937% 12/31/25 (e)(h)(u) | 7,843,689 | 7,759,213 | |
| 33,556,380 | |||
| Gas Utilities - 0.0% | |||
| UGI Energy Services LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 8/13/26 (e)(h)(u) | 1,304,955 | 1,301,693 | |
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.75% 11/14/25 (e)(h)(u) | 1,773,413 | 1,706,910 | |
| Oregon Clean Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 3/1/26 (e)(h)(u) | 834,056 | 825,198 | |
| Talen Energy Supply LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8955% 6/28/26 (e)(h)(u) | 320,625 | 311,006 | |
| Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 12/9/21 (e)(h)(u) | 1,570,496 | 1,541,050 | |
| 4,384,164 | |||
| TOTAL UTILITIES | 39,242,237 | ||
| TOTAL BANK LOAN OBLIGATIONS | |||
| (Cost $1,718,319,327) | 1,703,711,695 | ||
| Bank Notes - 0.2% | |||
| Discover Bank: | |||
| 3.2% 8/9/21 | $16,424,000 | $16,707,924 | |
| 4.682% 8/9/28 (e) | 8,844,000 | 9,380,389 | |
| KeyBank NA 6.95% 2/1/28 | 1,259,000 | 1,641,106 | |
| RBS Citizens NA 2.55% 5/13/21 | 4,182,000 | 4,216,167 | |
| Regions Bank 6.45% 6/26/37 | 15,683,000 | 22,107,046 | |
| Synchrony Bank 3.65% 5/24/21 | 14,890,000 | 15,074,975 | |
| TOTAL BANK NOTES | |||
| (Cost $61,271,333) | 69,127,607 | ||
| Preferred Securities - 0.7% | |||
| COMMUNICATION SERVICES - 0.0% | |||
| Diversified Telecommunication Services - 0.0% | |||
| Telefonica Europe BV: | |||
| 2.502% (Reg. S) (e)(w) | EUR | $3,100,000 | $3,711,702 |
| 2.625% (Reg. S) (e)(w) | EUR | 4,100,000 | 4,933,801 |
| 8,645,503 | |||
| CONSUMER DISCRETIONARY - 0.1% | |||
| Automobiles - 0.1% | |||
| Volkswagen International Finance NV: | |||
| 2.5%(Reg. S) (e)(w) | EUR | 7,214,000 | 8,691,272 |
| 2.7%(Reg. S) (e)(w) | EUR | 8,400,000 | 10,192,153 |
| 3.75% (e)(w) | EUR | 4,600,000 | 5,531,896 |
| 24,415,321 | |||
| CONSUMER STAPLES - 0.0% | |||
| Food Products - 0.0% | |||
| Cosan Overseas Ltd. 8.25% (w) | 4,843,000 | 4,921,699 | |
| Danone SA 1.75% (Reg. S) (e)(w) | EUR | 3,000,000 | 3,659,067 |
| 8,580,766 | |||
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| BP Capital Markets PLC 3.25% (Reg. S) (e)(w) | EUR | 2,900,000 | 3,688,663 |
| Gazprom PJSC Via Gaz Finance PLC 4.5985% (d)(e)(w) | 1,220,000 | 1,274,900 | |
| 4,963,563 | |||
| FINANCIALS - 0.4% | |||
| Banks - 0.2% | |||
| AIB Group PLC: | |||
| 5.25% (Reg. S) (e)(w) | EUR | 1,500,000 | 1,862,349 |
| 6.25% (Reg. S) (e)(w) | EUR | 650,000 | 842,281 |
| Alfa Bond Issuance PLC 8% (Reg. S) (e)(w) | 2,356,000 | 2,459,075 | |
| Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (e)(w) | EUR | 3,400,000 | 4,242,171 |
| Banco Do Brasil SA 6.25% (d)(e)(w) | 1,545,000 | 1,551,103 | |
| Banco Mercantil del Norte SA: | |||
| 6.875% (d)(e)(w) | 790,000 | 821,106 | |
| 7.625% (d)(e)(w) | 608,000 | 659,680 | |
| Bank of Nova Scotia: | |||
| 4.65% (e)(w) | 4,078,000 | 4,107,128 | |
| 4.9% (e)(w) | 1,650,000 | 1,769,295 | |
| Barclays Bank PLC 7.625% 11/21/22 | 21,978,000 | 24,309,873 | |
| Barclays PLC 7.125% (e)(w) | GBP | 400,000 | 593,918 |
| BNP Paribas SA 6.625% (Reg. S) (e)(w) | 2,650,000 | 2,901,750 | |
| Emirates NBD Bank PJSC 6.125% (Reg. S) (e)(w) | 840,000 | 886,200 | |
| Georgia Bank Joint Stock Co. 11.125% (Reg. S) (e)(w) | 300,000 | 304,500 | |
| HSBC Holdings PLC: | |||
| 5.25% (e)(w) | EUR | 2,497,000 | 3,123,780 |
| 6% (Reg. S) (e)(w) | EUR | 540,000 | 710,060 |
| 6.375% (e)(w) | 2,700,000 | 2,939,625 | |
| Itau Unibanco Holding SA 6.125% (d)(e)(w) | 1,705,000 | 1,718,320 | |
| JPMorgan Chase & Co.: | |||
| 3 month U.S. LIBOR + 3.320% 3.5451% (e)(h)(w) | 595,000 | 577,150 | |
| 3 month U.S. LIBOR + 3.470% 3.6844% (e)(h)(w) | 595,000 | 588,754 | |
| Lloyds Banking Group PLC 5.125% (e)(w) | GBP | 4,020,000 | 5,579,754 |
| NBK Tier 1 Financing 2 Ltd. 4.5% (d)(e)(w) | 1,210,000 | 1,208,488 | |
| Stichting AK Rabobank Certificaten 6.5% (Reg. S) (g)(w) | EUR | 3,246,800 | 5,155,859 |
| Tinkoff Credit Systems 9.25% (Reg. S) (e)(w) | 2,392,000 | 2,515,338 | |
| 71,427,557 | |||
| Capital Markets - 0.1% | |||
| Credit Suisse Group AG 7.5% (Reg. S) (e)(w) | 8,540,000 | 9,501,211 | |
| UBS Group AG 7% (Reg. S) (e)(w) | 940,000 | 1,069,306 | |
| 10,570,517 | |||
| Insurance - 0.1% | |||
| Allianz SE 3.5% (Reg. S) (e)(w) | 3,000,000 | 3,030,600 | |
| Aviva PLC 6.125% (e)(w) | GBP | 10,240,000 | 14,695,137 |
| QBE Insurance Group Ltd.: | |||
| 5.25% (Reg. S) (e)(w) | 4,797,000 | 5,066,690 | |
| 5.875% (d)(e)(w) | 3,175,000 | 3,476,625 | |
| 26,269,052 | |||
| TOTAL FINANCIALS | 108,267,126 | ||
| HEALTH CARE - 0.1% | |||
| Life Sciences Tools & Services - 0.0% | |||
| Eurofins Scientific SA 2.875% (Reg. S) (e)(w) | EUR | 5,080,000 | 6,179,538 |
| Pharmaceuticals - 0.1% | |||
| Bayer AG 2.375% 11/12/79 (Reg. S) (e) | EUR | 7,000,000 | 8,423,012 |
| TOTAL HEALTH CARE | 14,602,550 | ||
| INDUSTRIALS - 0.0% | |||
| Construction & Engineering - 0.0% | |||
| Odebrecht Finance Ltd. 7.5% (d)(g)(w) | 4,337,000 | 166,703 | |
| Marine - 0.0% | |||
| DP World Salaam 6% (Reg. S) (e)(w) | 505,000 | 546,820 | |
| Trading Companies & Distributors - 0.0% | |||
| AerCap Holdings NV 5.875% 10/10/79 (e) | 5,250,000 | 4,957,943 | |
| TOTAL INDUSTRIALS | 5,671,466 | ||
| INFORMATION TECHNOLOGY - 0.0% | |||
| IT Services - 0.0% | |||
| Network i2i Ltd. 5.65% (d)(e)(w) | 695,000 | 726,492 | |
| REAL ESTATE - 0.1% | |||
| Real Estate Management & Development - 0.1% | |||
| Aroundtown SA 3.375% (Reg. S) (e)(w) | EUR | 6,200,000 | 7,648,898 |
| AT Securities BV 5.25% (Reg. S) (e)(w) | 250,000 | 260,381 | |
| CPI Property Group SA 4.375% (Reg. S) (e)(w) | EUR | 3,953,000 | 4,839,265 |
| Deutsche Annington Finance BV 4% (Reg. S) (e)(w) | EUR | 1,400,000 | 1,728,573 |
| Grand City Properties SA 3.75% (e)(w) | EUR | 4,400,000 | 5,432,239 |
| Heimstaden Bostad AB 3.248% (Reg. S) (e)(w) | EUR | 7,450,000 | 9,036,385 |
| Samhallsbyggnadsbolaget I Norden AB: | |||
| 2.624% (Reg. S) (e)(w) | EUR | 3,500,000 | 4,130,962 |
| 4.625% (Reg. S) (e)(w) | EUR | 2,330,000 | 2,955,273 |
| 36,031,976 | |||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| EDF SA 5.25% (Reg. S) (e)(w) | 4,700,000 | 4,976,125 | |
| Scottish & Southern Energy PLC 3.74% (Reg. S) (e)(w) | GBP | 1,850,000 | 2,590,532 |
| 7,566,657 | |||
| TOTAL PREFERRED SECURITIES | |||
| (Cost $208,655,852) | 219,471,420 | ||
| Shares | Value | ||
| Money Market Funds - 8.0% | |||
| Fidelity Cash Central Fund 0.09% (x) | 2,398,411,196 | 2,398,890,878 | |
| Fidelity Securities Lending Cash Central Fund 0.09% (x)(y) | 196,339,516 | 196,359,150 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $2,595,194,073) | 2,595,250,028 |
| Purchased Swaptions - 0.0% | ||||
| Expiration Date | Notional Amount | Value | ||
| Put Options - 0.0% | ||||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.865% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2031 | 10/14/21 | 49,200,000 | $1,279,209 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 17,500,000 | 175,946 | |
| Option with an exercise rate of 3.125% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 34 Index expiring December 2025, paying 5% quarterly. | 2/17/21 | EUR 49,600,000 | 446,620 | |
| TOTAL PUT OPTIONS | 1,901,775 | |||
| Call Options - 0.0% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.865% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2031 | 10/14/21 | 49,200,000 | 788,795 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 17,500,000 | 726,735 | |
| TOTAL CALL OPTIONS | 1,515,530 | |||
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $3,990,015) | 3,417,305 | |||
| TOTAL INVESTMENT IN SECURITIES - 112.4% | ||||
| (Cost $34,956,511,922) | 36,484,462,905 | |||
| NET OTHER ASSETS (LIABILITIES) - (12.4)%(z) | (4,014,325,077) | |||
| NET ASSETS - 100% | $32,470,137,828 |
| TBA Sale Commitments | ||
| Principal Amount | Value | |
| Ginnie Mae | ||
| 2.5% 12/1/50 | $(22,150,000) | $(23,330,617) |
| 2.5% 12/1/50 | (8,650,000) | (9,111,054) |
| 2.5% 12/1/50 | (14,900,000) | (15,694,185) |
| 2.5% 12/1/50 | (17,375,000) | (18,301,105) |
| 2.5% 12/1/50 | (17,225,000) | (18,143,110) |
| 2.5% 12/1/50 | (60,500,000) | (63,724,711) |
| 2.5% 12/1/50 | (61,750,000) | (65,041,336) |
| 2.5% 12/1/50 | (59,100,000) | (62,250,089) |
| 3% 12/1/50 | (2,750,000) | (2,870,082) |
| 3% 12/1/50 | (5,000,000) | (5,218,332) |
| 3.5% 12/1/50 | (31,000,000) | (32,741,800) |
| 3.5% 12/1/50 | (23,050,000) | (24,345,113) |
| 3.5% 12/1/50 | (24,000,000) | (25,348,490) |
| 3.5% 12/1/50 | (27,500,000) | (29,045,145) |
| TOTAL GINNIE MAE | (395,165,169) | |
| Uniform Mortgage Backed Securities | ||
| 1.5% 12/1/35 | (38,650,000) | (39,630,651) |
| 1.5% 12/1/35 | (13,450,000) | (13,791,261) |
| 1.5% 12/1/35 | (52,100,000) | (53,421,912) |
| 1.5% 12/1/35 | (2,500,000) | (2,563,432) |
| 1.5% 12/1/35 | (38,200,000) | (39,169,233) |
| 1.5% 12/1/35 | (10,700,000) | (10,971,487) |
| 1.5% 12/1/35 | (40,700,000) | (41,732,665) |
| 2% 12/1/35 | (23,900,000) | (24,880,557) |
| 2% 12/1/35 | (44,500,000) | (46,325,724) |
| 2% 12/1/35 | (20,900,000) | (21,757,475) |
| 2% 12/1/50 | (7,750,000) | (8,050,495) |
| 2% 12/1/50 | (14,800,000) | (15,373,849) |
| 2% 12/1/50 | (63,200,000) | (65,650,492) |
| 2% 12/1/50 | (16,250,000) | (16,880,071) |
| 2% 12/1/50 | (30,350,000) | (31,526,779) |
| 2% 12/1/50 | (25,000,000) | (25,969,340) |
| 2% 12/1/50 | (42,600,000) | (44,251,755) |
| 2% 12/1/50 | (27,100,000) | (28,150,765) |
| 2% 12/1/50 | (71,600,000) | (74,376,190) |
| 2% 12/1/50 | (63,200,000) | (65,650,492) |
| 2% 12/1/50 | (5,150,000) | (5,349,684) |
| 2% 12/1/50 | (7,750,000) | (8,050,495) |
| 2% 12/1/50 | (3,500,000) | (3,635,708) |
| 2% 12/1/50 | (4,250,000) | (4,414,788) |
| 2% 12/1/50 | (22,550,000) | (23,424,345) |
| 2% 1/1/51 | (7,750,000) | (8,032,937) |
| 2.5% 12/1/50 | (46,200,000) | (48,405,311) |
| 2.5% 12/1/50 | (46,200,000) | (48,405,311) |
| 3% 12/1/50 | (43,500,000) | (45,443,945) |
| 3% 12/1/50 | (42,450,000) | (44,347,023) |
| 3% 12/1/50 | (82,450,000) | (86,134,559) |
| 3% 12/1/50 | (104,750,000) | (109,431,110) |
| 3% 12/1/50 | (57,250,000) | (59,808,411) |
| 3% 12/1/50 | (23,500,000) | (24,550,177) |
| 3.5% 12/1/50 | (50,000,000) | (52,738,295) |
| 3.5% 12/1/50 | (20,750,000) | (21,886,392) |
| 3.5% 12/1/50 | (4,900,000) | (5,168,353) |
| 3.5% 12/1/50 | (9,150,000) | (9,651,108) |
| 3.5% 12/1/50 | (6,700,000) | (7,066,932) |
| 3.5% 12/1/50 | (24,700,000) | (26,052,718) |
| 3.5% 12/1/50 | (28,675,000) | (30,245,412) |
| 3.5% 12/1/50 | (29,800,000) | (31,432,024) |
| 3.5% 12/1/50 | (3,575,000) | (3,770,788) |
| 3.5% 12/1/50 | (6,850,000) | (7,225,146) |
| 3.5% 12/1/50 | (3,050,000) | (3,217,036) |
| 3.5% 12/1/50 | (11,600,000) | (12,235,284) |
| 3.5% 12/1/50 | (16,300,000) | (17,192,684) |
| 4% 12/1/50 | (21,500,000) | (22,940,328) |
| 4% 12/1/50 | (43,450,000) | (46,360,802) |
| 4% 12/1/50 | (35,800,000) | (38,198,314) |
| 4% 12/1/50 | (21,500,000) | (22,940,328) |
| 4% 12/1/50 | (1,650,000) | (1,760,537) |
| 4% 12/1/50 | (7,000,000) | (7,468,944) |
| 4% 12/1/50 | (43,450,000) | (46,360,802) |
| 4% 12/1/50 | (44,450,000) | (47,427,794) |
| 4% 12/1/50 | (43,450,000) | (46,360,802) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (1,697,259,252) | |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $2,088,316,496) | $(2,092,424,421) |
| Written Swaptions | |||
| Expiration Date | Notional Amount | Value | |
| Put Swaptions | |||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.71% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 26,400,000 | $(1,158,712) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 5,600,000 | (143,779) |
| TOTAL PUT SWAPTIONS | (1,302,491) | ||
| Call Swaptions | |||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.71% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 26,400,000 | (344,153) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 5,600,000 | (138,422) |
| TOTAL CALL SWAPTIONS | (482,575) | ||
| TOTAL WRITTEN SWAPTIONS | $(1,785,066) |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Bond Index Contracts | |||||
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 36 | Dec. 2020 | $3,930,256 | $17,954 | $17,954 |
| Eurex Euro-Bobl Contracts (Germany) | 38 | Dec. 2020 | 6,137,452 | (19,527) | (19,527) |
| Eurex Euro-Bund Contracts (Germany) | 154 | Dec. 2020 | 32,193,232 | 231,089 | 231,089 |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 37 | Dec. 2020 | 9,997,562 | 289,124 | 289,124 |
| TME 10 Year Canadian Note Contracts (Canada) | 188 | March 2021 | 21,546,100 | 20,776 | 20,776 |
| TOTAL BOND INDEX CONTRACTS | 539,416 | ||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 21 | March 2021 | 4,637,883 | 2,584 | 2,584 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1,151 | March 2021 | 145,061,969 | 173,990 | 173,990 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 351 | March 2021 | 61,392,094 | 362,233 | 362,233 |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 213 | March 2021 | 33,467,625 | 104,999 | 104,999 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 137 | March 2021 | 29,596,281 | 231,403 | 231,403 |
| TOTAL TREASURY CONTRACTS | 875,209 | ||||
| TOTAL PURCHASED | 1,414,625 | ||||
| Sold | |||||
| Bond Index Contracts | |||||
| ICE Long Gilt Contracts (United Kingdom) | 24 | March 2021 | 4,293,490 | (6,322) | (6,322) |
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 3,952 | March 2021 | 546,055,250 | (1,064,768) | (1,064,768) |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,110 | March 2021 | 465,996,797 | (284,075) | (284,075) |
| TOTAL TREASURY CONTRACTS | (1,348,843) | ||||
| TOTAL SOLD | (1,355,165) | ||||
| TOTAL FUTURES CONTRACTS | $59,460 |
The notional amount of futures purchased as a percentage of Net Assets is 1.1%
The notional amount of futures sold as a percentage of Net Assets is 3.1%
| Forward Foreign Currency Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
| AUD | 52,000 | USD | 38,422 | Citibank NA | 12/1/20 | $(252) |
| EUR | 365,000 | USD | 436,613 | BNP Paribas | 12/2/20 | (1,223) |
| EUR | 169,000 | USD | 200,454 | JPMorgan Chase Bank | 12/21/20 | 1,284 |
| USD | 2,771,534 | EUR | 2,316,000 | BNP Paribas | 12/21/20 | 6,884 |
| USD | 277,344,444 | EUR | 233,578,000 | Citibank NA | 12/21/20 | (1,481,741) |
| USD | 788,365 | EUR | 665,000 | JPMorgan Chase Bank | 12/21/20 | (5,457) |
| USD | 725,647 | EUR | 611,000 | JPMorgan Chase Bank | 12/21/20 | (3,715) |
| USD | 31,042,709 | EUR | 26,062,000 | JPMorgan Chase Bank | 12/21/20 | (67,961) |
| USD | 2,769,867 | GBP | 2,090,000 | BNP Paribas | 12/21/20 | (17,502) |
| USD | 838,471 | GBP | 628,000 | Canadian Imperial Bk Commerce | 12/21/20 | 926 |
| USD | 84,508,717 | GBP | 63,804,000 | JPMorgan Chase Bank | 12/21/20 | (584,721) |
| USD | 555,093 | GBP | 416,000 | State Street Bank And Tr Co | 12/21/20 | 287 |
| USD | 1,619,493 | GBP | 1,210,000 | State Street Bank And Tr Co | 12/21/20 | 5,753 |
| USD | 1,218,807 | GBP | 914,000 | State Street Bank And Tr Co | 12/21/20 | (167) |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(2,147,605) | |||||
| Unrealized Appreciation | 15,134 | |||||
| Unrealized Depreciation | (2,162,739) | |||||
Swaps
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
| Credit Default Swaps | |||||||||
| Buy Protection | |||||||||
| 5-Year iTraxx Europe Series 25 Index | Jun. 2021 | ICE | (1%) | Quarterly | EUR 8,300,000 | $43,655 | $0 | $43,655 | |
| Akzo Nobel NV | Jun. 2024 | Citibank, N.A. | (1%) | Quarterly | EUR 9,400,000 | (334,771) | 221,148 | (113,623) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 16,750,000 | (107,073) | (231,629) | (338,702) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 9,000,000 | (57,532) | (113,080) | (170,612) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 8,740,000 | (55,870) | 3,345 | (52,525) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 118,600,000 | (758,139) | (1,622) | (759,761) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 16,200,000 | (103,557) | (210,187) | (313,744) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,950,000 | (12,465) | (23,862) | (36,327) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 17,400,000 | (111,228) | (192,587) | (303,815) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 6,200,000 | (39,633) | 24,429 | (15,204) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,500,000 | (15,981) | (75,384) | (91,365) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 75,000 | (479) | (3,505) | (3,984) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 21,140,000 | (135,135) | (163,567) | (298,702) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 11,375,000 | (72,714) | (313,882) | (386,596) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 3,370,000 | (21,542) | (79,136) | (100,678) | |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 9,750,000 | (62,326) | (46,374) | (108,700) | |
| CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 12,400,000 | (9,999) | (15,834) | (25,833) | |
| Gas Natural Capital Markets SA | Jun. 2022 | BNP Paribas SA | (1%) | Quarterly | EUR 4,200,000 | (76,945) | 39,465 | (37,480) | |
| Standard Chartered PLC | Jun. 2021 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR 1,550,000 | (12,335) | (15,648) | (27,983) | |
| Volvo Treas AB | Jun. 2024 | Citibank, N.A. | (1%) | Quarterly | EUR 1,550,000 | (51,260) | 27,654 | (23,606) | |
| TOTAL BUY PROTECTION | (1,995,329) | (1,170,256) | (3,165,585) | ||||||
| Sell Protection | |||||||||
| 5-Year iTraxx Europe Senior Financial Series 25 Index | NR | Jun. 2021 | ICE | 1% | Quarterly | EUR 8,300,000 | 105,239 | 0 | 105,239 |
| TOTAL CREDIT DEFAULT SWAPS | $(1,890,090) | $(1,170,256) | $(3,060,346) | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Swaps
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
| Interest Rate Swaps | |||||||||
| 0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2023 | $202,410,000 | $(108,350) | $0 | $(108,350) |
| 3-month LIBOR(3) | Quarterly | 0.5% | Semi - annual | LCH | Mar. 2026 | 96,000 | 367 | 0 | 367 |
| 0.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2031 | 12,288,000 | 82,882 | 0 | 82,882 |
| TOTAL INTEREST RATE SWAPS | $(25,101) | $0 | $(25,101) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
EUR – European Monetary Unit
GBP – British pound
USD – U.S. dollar
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,192,962 or 0.0% of net assets.
(c) Level 3 security
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $6,104,670,778 or 18.8% of net assets.
(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Non-income producing - Security is in default.
(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(i) Security or a portion of the security is on loan at period end.
(j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,918,150.
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $9,765,840.
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,183,208.
(m) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $226,464.
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(o) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(p) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(r) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(s) Non-income producing
(t) The coupon rate will be determined upon settlement of the loan after period end.
(u) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(v) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $3,252,603 and $3,297,432, respectively.
(w) Security is perpetual in nature with no stated maturity date.
(x) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(y) Investment made with cash collateral received from securities on loan.
(z) Includes $1,246,433 of cash collateral segregated for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps.
Additional information on each restricted holding is as follows:
| Security | Acquisition Date | Acquisition Cost |
| California Resources Corp. | 10/27/20 | $1,634,486 |
| Sanchez Energy Corp. 15% 7/15/23 | 11/5/20 | $1,295,000 |
| Mesquite Energy, Inc. 15% 7/31/23 | 7/10/20 - 10/15/20 | $742,531 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $584,457 |
| Fidelity Securities Lending Cash Central Fund | 35,032 |
| Total | $619,489 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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