JPMorgan TRUST II

Issuer

Interest Rates

Maturity Dates

0.00% - 7.00%

6/1/2023 – 7/1/2051

1.50% - 6.50%

9/1/2022 - 3/1/2052

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.

Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Dear Shareholders,

As the global economy continued to rebound in 2021, financial markets largely provided investors with positive returns amid ultra-low interest rates and world-wide efforts to halt the pandemic. However, the way forward has not necessarily been smooth as supply chain bottlenecks, inflationary pressures and the spread of variants of COVID-19 all appear to have slowed progress toward full recovery.

“As the investment environment changes with the advancing economic cycle, J.P. Morgan Asset Management will continue to pursue innovative strategies and seek to apply our experience in risk management to seek to help investors build durable portfolios.” — Andrea L. Lisher

Record corporate earnings, accommodative central bank policies, government stimulus and strong consumer spending bolstered global financial markets during the six months ended August 31, 2021. Within fixed income markets, lower rated bonds and high yield debt (also known as “junk bonds”) generally outperformed higher quality corporate credit and sovereign debt, including U.S. Treasury bonds. More broadly, equity markets outperformed fixed income markets during the reporting period: The S&P 500 Index returned 19.5% and the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index) returned 1.49%.

While the U.S. Federal Reserve (the “Fed”) has acknowledged that the spread of the delta variant of COVID-19 weighed on

economic growth in 2021, it has also noted robust improvement in the U.S. labor market and stronger-than-expected inflationary pressures. In response, the Fed has signaled that it may begin to taper off its $120 billion-a-month asset purchasing program by the end of 2021. Various economic data indicate that growth in consumer spending is likely to continue, particularly in the services sector, and both investment spending and the rebuilding of depleted inventories may increase into 2022.

As the investment environment may change with the advancing economic cycle, J.P. Morgan Asset Management will continue to pursue innovative strategies and seek to apply our experience in risk management to seek to help investors build durable portfolios. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

LOGO

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

Bond markets generally underperformed equity markets during the period amid continued low interest rates and investor demand for higher returns on investments. Within global fixed income markets, high yield bonds (also called “junk bonds”), emerging markets debt and lower quality bond largely outperformed investment grade corporate bonds, U.S. Treasury bonds and other sovereign debt.

While the global reopening continued over the period, the persistence of the pandemic and the emergence of new variants of COVID-19 slowed the pace of growth somewhat and put further strain on the global supply chain. Throughout the period, the U.S. Federal Reserve (the “Fed”) held interest rates at historic lows and maintained the pace of its monthly $120 billion combined asset purchasing programs. However, the Fed said at its July meeting that it could begin tapering its bond buying by year-end 2021, but that it did not plan to raise interest rates by then.

Within the municipal bond sector, interest rates edged lower and the yield curve flattened out somewhat. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. Investor demand for higher yields drove bonds rated single A and BBB to outperform bonds rated AA and AAA.

For the six month period, the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index) returned 1.49% and the Bloomberg U.S. Municipal Index (formerly Bloomberg Barclays U.S. Municipal Index) returned 2.51%.

INVESTMENT OBJECTIVE**

The JPMorgan California Tax Free Bond Fund (the “Fund”) seeks to provide high after-tax total return for California residents consistent with moderate risk of capital.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares underperformed the Bloomberg LB California 1-17 Year Muni Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s allocations to the transportation (mostly airports), special tax and industrial development revenue sectors, which generally had shorter duration, were leading detractors from performance as interest rates fell during the period. Generally, bonds with shorter duration will experience a smaller increase in price compared with longer duration bonds when interest rates fall. The Fund’s allocations to the general obligation, electric, hospitals, education and water & sewer sectors, which generally had longer durations during the period, were leading contributors to performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers preferred to invest in issuances from large, highly rated state and local municipalities. Among revenue bond sectors, the portfolio managers preferred essential service sectors, including water & sewer. Fund positioning is generally a result of security structure, duration, credit quality and the unique characteristics of the California municipal bond market.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		27.1	%
AA		56.0
A		15.6
BBB		0.8
NR		0.5

J.P. Morgan Investment Management receives credit ratings on underlying securities of the portfolio from three major rating agencies — Standard & Poor’s (“S&P”), Moody’s and Fitch. When calculating credit quality breakdown, S&P is used as the primary independent rating agency source. Where an S&P rating is not available for a particular security, the Moody’s rating will be used, if available, and Fitch, if available, is used for securities not rated by Moody’s or S&P. Securities not rated by any of the three agencies are reflected as not rated (NR).

The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan California Tax Free Bond Fund and the Bloomberg LB California 1-17 Year Muni Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg LB California 1-17 Year Muni Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The

Bloomberg LB California 1-17 Year Muni Index represents the performance of California municipal bonds with maturities from 1 to 17 years.

Capital gain distributions are subject to Federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Class I Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.

Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

INVESTMENT OBJECTIVE**

The JPMorgan High Yield Municipal Fund (the “Fund”) seeks a high level of current income exempt from federal income taxes.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. Municipal Index (the “Benchmark”) and the Bloomberg High Yield Municipal Bond Index.

Relative to the Benchmark, the Fund’s overweight allocations to bonds rated BBB and BB were leading contributors to performance as lower quality bonds generally outperformed higher quality bonds during the period. The Fund’s relatively longer duration also contributed to relative performance as interest rates edged lower during the period. Generally, bonds with longer duration will experience a greater increase in price than shorter duration bonds when interest rates fall. The Fund’s overweight positions in the education and hospitals sectors and its underweight positions in the pre-refunded and electric sectors also contributed to relative performance.

The Fund’s underweight allocations to the transportation sector and bonds issued by Illinois were leading detractors from performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund’s assets were invested in municipal bonds, with a small allocation to loan assignments. At the end of the reporting period, the Fund’s duration was 6.8 years compared with 5.1 years for the Benchmark.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		1.0	%
AA		8.5
A		10.0
BBB		26.0
BB		17.7
B		0.6
CCC		1.8
NR		34.4

The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective November 1, 2018, the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund were managed using the current strategies.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan High Yield Municipal Fund, the Bloomberg U.S. Municipal Index and the Bloomberg High Yield Municipal Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Municipal Index and the Bloomberg High Yield Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain

distributions of securities included in the benchmarks, if applicable. The Bloomberg U.S. Municipal Index is a total return performance benchmark for the long-term, investment-grade tax-exempt bond market. The Bloomberg High Yield Municipal Bond Index is an unmanaged index made up of bonds that are non-investment grade, unrated, or rated below Ba1 by Moody’s Investors Service with a remaining maturity of at least one year. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Intermediate Tax Free Bond Fund (the “Fund”) seeks to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal tax purposes.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer duration was a leading contributor to performance as interest rates edged lower during the period. Generally, bonds with longer duration will experience a larger increase in price compared with shorter duration bonds when interest rates fall. The Fund’s underweight allocation to bonds rated AA and higher and its overweight allocation to bonds rated single-A and lower also contributed to relative performance. The Fund’s overweight positions in the special tax ad hospital sectors also helped relative performance.

The Fund’s overweight position in the electric sector and its slightly underweight position in the housing and lobal general obligation bond sectors were leading detractors from performance relative to the Benchmark.

HOW WAS THE FUND POSITIONED?

During the period, the Fund’s portfolio managers employed a bottom-up, security selection-based investment approach and

sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		13.6	%
AA		47.1
A		23.1
BBB		9.5
BB		1.6
B		0.1
CCC		0.8
NR		4.2

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Intermediate Tax Free Bond Fund and the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond

Index represents the performance of municipal bonds with maturities from 1 to 17 years.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan New York Tax Free Bond Fund (the “Fund”) seeks to provide monthly dividends that are excluded from gross income for federal income tax purposes and are exempt from New York State and New York City personal income taxes. It also seeks to protect the value of your investment.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class A Shares underperformed the Bloomberg New York Intermediate (1-17 year) Maturities Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s allocations to the general obligation, health care, education and water & sewer sectors, which had shorter durations during the period, were leading detractors during the period. Generally, bonds with shorter duration will experience a smaller increase in price compared with longer duration bonds when interest rates fall.

The Fund’s allocations to electric, transportation and special tax sectors, which had longer durations during the period, were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers preferred to invest in issuances from large, highly rated state and local municipalities. Among revenue bond sectors, the Fund preferred essential service sectors. Fund positioning is generally a result of security structure, duration, credit quality and the unique characteristics of the New York State municipal bond market.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		17.3	%
AA		53.0
A		23.5
BBB		6.0
NR		0.2

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan New York Tax Free Bond Fund and the Bloomberg New York Intermediate (1–17 Year) Maturities Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg New York Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg New York Competitive Intermediate

(1–17 Year) Maturities Index represents the performance of New York municipal bonds with maturities from 1 to 17 years.

Class A Shares have a $10,000 minimum initial investment and carry a 3.75% sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Short-Intermediate Municipal Bond Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For six months ended August 31, 2021, the Fund outperformed the Bloomberg U.S. 1-5 Year Blend (1-6) Municipal Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer duration was a leading contributor to performance as interest rates edged lower during the period. Generally, bonds of longer duration will experience a greater increase in price compared with shorter duration bonds when interest rates fall. The Fund’s overweight allocation to bonds rated single A and lower also contributed to performance as lower rated bonds largely outperformed higher rated bonds. The Fund’s overweight positions in the hospitals and leasing sectors and its underweight allocation in the pre-refunded sector also contributed to relative performance.

The Fund’s underweight allocations to the transportation, housing and industrial development revenue/pollution control revenue sectors were leading detractors from performance relative to the Benchmark. The Fund’s underweight allocation to New York State bonds also detracted from relative performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund employed a bottom-up, security selection-based investment approach. The Fund’s portfolio

managers sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk while maintaining the Fund’s bias toward higher quality issuances.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		20.9	%
AA		46.0
A		23.3
BBB		8.1
BB		0.5
NR		1.2

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Short-Intermediate Municipal Bond Fund and the Bloomberg U.S. 1-5 Year Blend (1-6) Municipal Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. 1-5 Year Blend (1-6) Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. 1-5 Year Blend (1-6) Municipal Bond

Index is an unmanaged index of investment grade tax-exempt municipal bonds with maturities of 1–5.999 years. Investors cannot invest directly in an index.

Capital gain distributions are subject to federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Class A Shares have a $1,000 minimum initial investment and carry a 2.25% sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Sustainable Municipal Income Fund (the “Fund”) seeks current income exempt from federal income taxes.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer duration was the leading contributor to performance as interest rates edged lower during the period. Generally, bonds with longer duration will experience a greater increase in price compared with shorter duration bonds when interest rates fall. The Fund’s underweight allocation to bonds rated AA and higher and its overweight allocation to bonds rated single A and lower also contributed to relative performance as lower rated bonds largely outperformed higher rated bonds. The Fund’s overweight allocations to the hospitals and education sectors and its underweight position in the pre-refunded sectors also helped relative performance.

The Fund’s shorter duration profile within the outperforming housing sector was a leading detractor from performance relative to the Benchmark. The Fund’s underweight allocations to state general obligation bonds, transportation and New York State bonds also detracted from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to emphasize higher yielding sectors, particularly the housing sector. At the end of the period, the Fund’s duration was 5.1 years and the Benchmark’s was 4.3 years.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		15.0	%
AA		42.0
A		20.3
BBB		12.6
BB		2.0
NR		8.1

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Sustainable Municipal Income Fund and the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond

Index represents the performance of municipal bonds with maturities from 1 to 17 years. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Tax Free Bond Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund outperformed the Bloomberg U.S. Municipal Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer duration was a leading contributor to performance as interest rates edged lower during the period. Generally, bonds with longer duration will experience a larger increase in price than bonds of shorter duration as interest rates fall. The Fund’s overweight allocation to bonds rated single A and lower also contributed to relative performance as lower rated bonds largely outperformed higher rated bonds. The Fund’s underweight position in general obligation bonds and its overweight allocations to the leasing and hospital sectors also helped relative performance.

The Fund’s overweight allocation to the electric sector and its underweight allocation to the transportation sector were leading detractors from performance relative to the Benchmark. The Fund’s underweight allocations to California and New York state bonds also hurt relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to employ a bottom-up, security selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		12.5	%
AA		41.0
A		21.8
BBB		15.9
BB		2.2
B		0.4
CCC		0.6
NR		5.6

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Tax Free Bond Fund and the Bloomberg U.S. Municipal Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Bloomberg U.S. Municipal Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. Municipal Index is a total return performance benchmark for the long-term, investment-grade tax-exempt bond market. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 3.75% sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Ultra-Short Municipal Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund underperformed the Bloomberg 1 Year Municipal Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s shorter duration was a leading detractor from performance as interest rates edged lower during the period. Generally, bonds with shorter duration will experience a smaller price increase compared with longer duration bonds when interest rates fall. The Fund’s out-of-Benchmark allocation to variable rate demand notes, which generally do not experience price appreciation when interest rates fall, also detracted from relative performance. The Fund’s underweight allocations to bonds rated single A and BBB also hurt relative performance as lower rated bonds largely outperformed higher rated bonds.

The Fund’s underweight allocation to pre-refunded bonds, which are generally rated high quality, was a leading contributor to performance relative to the Benchmark. The Fund’s overweight allocations to the electric and industrial development revenue/pollution control revenue bond sectors, as well as its overweight allocation to New York state bonds also contributed to relative performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund sought to maintain an average weighted maturity of two years or less, and the Fund’s investment adviser used a risk/reward analysis to identify investments that it believed would perform well over market cycles.


CREDIT QUALITY ALLOCATIONS AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
AAA		21.7	%
AA		37.1
A		15.7
BBB		6.5
BB		0.2
NR		18.8

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The Fund commenced operations on May 31, 2016.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Ultra-Short Municipal Fund and the Bloomberg 1 Year Municipal Bond Index from May 31, 2016 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 1 Year Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The Bloomberg 1 Year Municipal Bond Index is an unmanaged index that includes bonds with a minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, and have maturities of 1 to 2 years. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

Subsequent to the inception of the Fund on May 31, 2016 until August 31, 2016, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 93.2% (a)

California — 93.2%

Certificate of Participation/Lease — 0.3%

City of Livermore Series 2020B, COP, 4.00%, 10/1/2028		885		1,082


Education — 4.8%

California Educational Facilities Authority, Pomona College, Capital Appreciation Series A, Rev., Zero Coupon, 7/1/2026		2,000		1,939

California Educational Facilities Authority, Stanford University

Series T-5, Rev., 5.00%, 3/15/2023		1,500		1,613

Series U-2, Rev., 5.00%, 10/1/2032		1,500		2,130

Series T-1, Rev., 5.00%, 3/15/2039		1,500		2,178

California Infrastructure & Economic Development Bank, Academy of Motion Picture Arts & Sciences Obligated Group, Green Bond Series 2020A, Rev., 5.00%, 11/1/2030		3,390		4,600

University of California

Series AM, Rev., 5.00%, 5/15/2028		1,500		1,692

Series 2020BE, Rev., 5.00%, 5/15/2035		2,000		2,639

Series AR, Rev., 5.00%, 5/15/2035		1,500		1,804

University of California, Limited Project Series O, Rev., 5.00%, 5/15/2034		1,500		1,892


				20,487


General Obligation — 31.6%

Allan Hancock Joint Community College District GO, 5.00%, 8/1/2030		1,250		1,415

Chaffey Joint Union High School District

Series F, GO, Zero Coupon, 2/1/2033		230		186

Series F, GO, Zero Coupon, 2/1/2034		545		426

City and County of San Francisco

Series 2020-R1, GO, 5.00%, 6/15/2029		2,000		2,580

Series 2020-R1, GO, 5.00%, 6/15/2030		2,500		3,208

City and County of San Francisco, Transportation and Road Improvement Series 2020B, GO, 2.00%, 6/15/2029		2,500		2,673

City of San Jose, Disaster Preparedness, Public Safety and Infrastructure

Series A-1, GO, 5.00%, 9/1/2036		1,500		1,925

Series 2019A-1, GO, 5.00%, 9/1/2038		2,710		3,459

Coast Community College District, Election of 2002 Series 2006B, GO, AGM, Zero Coupon, 8/1/2030		2,000		1,777

County of Los Angeles, Beverly Hills Unified School District, Election of 2008, Capital Appreciation GO, Zero Coupon, 8/1/2023		1,500		1,496


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


General Obligation — continued

County of Santa Clara, Campbell Union High School District, Election of 2016

Series B, GO, 5.00%, 8/1/2033		370		446

Series B, GO, 5.00%, 8/1/2035		2,000		2,403

East Side Union High School District Series B, GO, NATL-RE, 5.25%, 2/1/2026		2,000		2,345

Escondido Union High School District, Election of 2008

Series A, GO, AGC, Zero Coupon, 8/1/2025		1,500		1,467

Series A, GO, AGC, Zero Coupon, 8/1/2029		1,000		906

Evergreen Elementary School District, Election of 2006 Series B, GO, AGC, Zero Coupon, 8/1/2024		1,915		1,892

Los Angeles Unified School District, Dedicated Unlimited Ad Valorem Property Tax

Series A, GO, 5.00%, 7/1/2023		2,550		2,779

Series 2021A, GO, 5.00%, 7/1/2028		1,500		1,931

Series 2019A, GO, 5.00%, 7/1/2032		1,500		1,955

Manhattan Beach Unified School District, Election of 2008 Series 2009A, GO, Zero Coupon, 9/1/2031		2,335		2,025

Marin Healthcare District, Election of 2013 Series 2017A, GO, 5.00%, 8/1/2032		965		1,195

Menlo Park City School District, Capital Appreciation

GO, Zero Coupon, 7/1/2031		500		384

GO, Zero Coupon, 7/1/2032		880		645

Mount Diablo Unified School District, Election of 2010 Series 2012E, GO, 5.00%, 8/1/2026		1,210		1,264

Mount San Antonio Community College District, Election of 2008 Series 2013A, GO, Zero Coupon, 8/1/2023		3,205		2,113

Mountain View Los Altos Union High School District, Santa Clara County, Election of 2018 Series B, GO, 3.00%, 8/1/2031		1,000		1,169

Mountain View-Whisman School District, Election of 2020 Series A, GO, 4.00%, 9/1/2022		700		727

Murrieta Valley Unified School District GO, AGM, Zero Coupon, 9/1/2024		1,000		988

Napa Valley Community College District, Election of 2002 Series B, GO, NATL-RE, Zero Coupon, 8/1/2026		1,215		1,166

Napa Valley Unified School District, Election of 2006 Series A, GO, Zero Coupon, 8/1/2027		2,000		1,876

Newport Mesa Unified School District, Election of 2005 Series 2007, GO, NATL-RE, Zero Coupon, 8/1/2030		4,500		4,045


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

General Obligation — continued

Palo Alto Unified School District, Election of 2008

GO, Zero Coupon, 8/1/2022		1,500		1,498

GO, Zero Coupon, 8/1/2025		1,015		1,000

GO, Zero Coupon, 8/1/2026		1,790		1,746

GO, Zero Coupon, 8/1/2027		2,360		2,272

San Diego Community College District, Election of 2002 GO, Zero Coupon, 8/1/2035		1,500		1,192

San Diego Unified School District, Election of 1998

Series 1998C-2, GO, AGM, 5.50%, 7/1/2024		2,010		2,313

Series F-1, GO, AGM, 5.25%, 7/1/2028		2,500		3,263

San Francisco Bay Area Rapid Transit District, Election of 2004

Series D, GO, 5.00%, 8/1/2032		2,000		2,348

Series 2019F-1, GO, 5.00%, 8/1/2035		3,000		3,925

San Jose Unified School District, Capital Appreciation, Election of 2002

Series C, GO, NATL-RE, Zero Coupon, 8/1/2025		2,000		1,963

Series C, GO, NATL-RE, Zero Coupon, 8/1/2029		1,500		1,373

Series C, GO, NATL-RE, Zero Coupon, 6/1/2031		3,035		2,660

San Juan Unified School District GO, AGM, Zero Coupon, 8/1/2024		1,750		1,734

San Mateo County Community College District, Election of 2001 Series 2005B, GO, NATL-RE, Zero Coupon, 9/1/2027		1,130		1,077

San Mateo County Community College District, Election of 2005

Series A, GO, NATL-RE, Zero Coupon, 9/1/2024		1,400		1,386

Series B, GO, NATL-RE, Zero Coupon, 9/1/2026		2,000		1,936

Series A, GO, NATL-RE, Zero Coupon, 9/1/2029		2,000		1,833

Series B, GO, NATL-RE, Zero Coupon, 9/1/2034		1,000		817

San Mateo County Community College District, Election of 2014 Series B, GO, 5.00%, 9/1/2033		1,000		1,284

San Rafael City Elementary School District, Election of 2002 Series 2004B, GO, NATL-RE, Zero Coupon, 8/1/2029		2,000		1,791

Santa Monica Community College District, Election of 2004 Series 2009C, GO, Zero Coupon, 8/1/2027		1,000		944

South San Francisco Unified School District, Measure J, Dedicated Unlimited Ad Valorem Property Tax Series C, GO, Zero Coupon, 9/1/2028		1,800		1,588


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


General Obligation — continued

State of California, School Facilities GO, 4.00%, 9/1/2032		2,000		2,322

State of California, Various Purpose

GO, 5.00%, 9/1/2021		1,000		1,000

GO, 5.00%, 8/1/2026		1,320		1,614

GO, 5.00%, 8/1/2027		2,000		2,517

GO, 5.25%, 9/1/2027		1,575		1,578

GO, 5.00%, 11/1/2027		3,000		3,801

GO, 4.00%, 3/1/2029		1,000		1,236

GO, 5.00%, 11/1/2029		2,000		2,657

GO, 5.00%, 12/1/2029		2,000		2,217

GO, 5.00%, 8/1/2030		2,000		2,504

GO, 5.00%, 9/1/2030		1,000		1,002

GO, 5.00%, 8/1/2031		1,500		1,733

GO, 5.00%, 10/1/2031		1,000		1,317

GO, 5.00%, 11/1/2031		1,130		1,524

GO, 5.00%, 8/1/2032		1,500		1,873

GO, 5.00%, 10/1/2032		3,000		3,420

GO, 5.00%, 8/1/2033		1,000		1,211

GO, 5.00%, 3/1/2035		1,000		1,306

GO, 5.00%, 4/1/2036		1,000		1,288

GO, 5.00%, 8/1/2036		2,650		3,357

GO, 5.00%, 8/1/2037		1,430		1,808

Tulare Local Health Care District

GO, 4.00%, 8/1/2024		410		450

GO, 4.00%, 8/1/2025		455		514

Upland Unified School District, Election of 2008 Series 2008A, GO, AGM, Zero Coupon, 8/1/2030		1,500		1,331


				136,389


Hospital — 5.5%

Abag Finance Authority for Nonprofit Corp., Sharp Healthcare Series 2014A, Rev., 5.00%, 8/1/2031		1,000		1,090

California Health Facilities Financing Authority, Adventist Health System

Series 2013A, Rev., 5.00%, 3/1/2026		1,400		1,500

Series 2016A, Rev., 4.00%, 3/1/2029		2,165		2,462

California Health Facilities Financing Authority, Cedars-Sinai Medical Center

Rev., 5.00%, 11/15/2030		250		298

Rev., 5.00%, 11/15/2032		400		476

Series 2016A, Rev., 5.00%, 8/15/2033		3,500		4,248

Series 2016B, Rev., 5.00%, 8/15/2035		1,500		1,818


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Hospital — continued

California Health Facilities Financing Authority, Kaiser Permanente Subseries A-1-G, Rev., 5.00%, 11/1/2027		1,720		2,181

California Health Facilities Financing Authority, Lucile Salter Packard Children’s Hospital at Stanford

Series 2014A, Rev., 5.00%, 8/15/2027		580		659

Series 2014A, Rev., 5.00%, 8/15/2028		850		965

Series 2014A, Rev., 5.00%, 8/15/2030		655		743

Series A, Rev., 5.00%, 8/15/2030		1,000		1,206

California Health Facilities Financing Authority, St. Joseph Health System Series 2013A, Rev., 5.00%, 7/1/2028		1,000		1,089

California Health Facilities Financing Authority, Stanford Healthcare Series 2017A, Rev., 5.00%, 11/15/2034		1,200		1,502

California Health Facilities Financing Authority, Sutter Health

Series 2018A, Rev., 5.00%, 11/15/2025		500		597

Series 2017A, Rev., 5.00%, 11/15/2034		1,500		1,871

California Public Finance Authority, Henry Mayo Newhall Hospital Rev., 4.00%, 10/15/2025		145		164

Regents of the University of California Medical Center Pooled Series 2016L, Rev., 5.00%, 5/15/2027		710		855


				23,724


Housing — 0.6%

California Municipal Finance Authority, Linxs Apartments Project, Senior Lien Series 2018A, Rev., AMT, 5.00%, 12/31/2028		1,750		2,201

City of San Bernardino, Single Family Mortgage Series A, Rev., GNMA COLL, 7.50%, 5/1/2023 (b)		185		197


				2,398


Industrial Development Revenue/Pollution Control Revenue — 0.7%

California Infrastructure & Economic Development Bank, Green Bond Rev., 5.00%, 10/1/2028		950		1,145

California Pollution Control Financing Authority, Solid Waste Disposal, Waste Management, Inc., Project Series 2015B-1, Rev., AMT, 3.00%, 11/1/2025		1,500		1,658


				2,803


Other Revenue — 7.0%

California County Tobacco Securitization Agency, Los Angeles County Securitization Corp.

Series 2020A, Rev., 5.00%, 6/1/2025		350		409

Series 2020A, Rev., 5.00%, 6/1/2026		600		725

Series 2020A, Rev., 5.00%, 6/1/2031		1,110		1,472


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Other Revenue — continued

California County Tobacco Securitization Agency, Sonoma County Securitization Corp.

Rev., 5.00%, 6/1/2025		375		437

Rev., 5.00%, 6/1/2027		275		341

California State Public Works Board, State Office Buildings Series F, Rev., 5.00%, 5/1/2030		1,000		1,166

California State Public Works Board, Various Capital Projects Series B, Rev., 5.00%, 5/1/2030		2,435		3,248

Contra Costa County Transportation Authority, Sales Tax Series A, Rev., 5.00%, 3/1/2032		2,000		2,310

Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2017A-1, Rev., 5.00%, 6/1/2024		2,500		2,813

Los Angeles County Metropolitan Transportation Authority, Measure J Junior Subordinate Sales Tax Rev., 5.00%, 6/1/2037		1,000		1,314

Los Angeles County Metropolitan Transportation Authority, Proposition C Senior Sales Tax Series 2019-B, Rev., 5.00%, 7/1/2035		2,000		2,547

Midpeninsula Regional Open Space District, Promissory Notes

Rev., 5.00%, 9/1/2030		500		588

Rev., 5.00%, 9/1/2031		270		317

Pasadena Public Financing Authority, Rose Bowl Renovation Project Series 2010A, Rev., Zero Coupon, 3/1/2030		1,000		880

Riverside Public Financing Authority, Main Library Project Series 2019A, Rev., 5.00%, 11/1/2034 ‡		450		564

San Diego Regional Building Authority, County Operations Center Series 2016A, Rev., 5.00%, 10/15/2033		2,370		2,774

Santa Ana Financing Authority, Police Administration and Holding Facility Lease

Series A, Rev., NATL-RE, 6.25%, 7/1/2024		478		530

Series A, Rev., NATL-RE, 6.25%, 7/1/2024 (b)		475		527

Santa Clara County Financing Authority Series 2021A, Rev., 5.00%, 5/1/2031		1,500		2,056

Santa Clara County Financing Authority, County Facilities

Series A, Rev., 5.00%, 5/1/2028		1,600		2,058

Series A, Rev., 5.00%, 5/1/2029		1,625		2,142

Tobacco Securitization Authority of Northern California

Class 1, Rev., 5.00%, 6/1/2028		500		639

Class 1, Rev., 5.00%, 6/1/2029		360		470


				30,327


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Prerefunded — 6.1%

Bay Area Toll Authority, Toll Bridge Series F-1, Rev., 5.00%, 4/1/2022 (b)		3,030		3,117

California Health Facilities Financing Authority, Sutter Health Series 2016A, Rev., 5.00%, 11/15/2025 (b)		2,650		3,172

California Infrastructure & Economic Development Bank, Infrastructure State Revolving Fund Series 2014A, Rev., 5.00%, 10/1/2023 (b)		1,000		1,101

County of Santa Clara, Campbell Union High School District GO, 5.00%, 8/1/2024 (b)		1,700		1,940

Cupertino Union School District, 2013 Crossover Series A, GO, 5.00%, 8/1/2023 (b)		1,000		1,093

Los Angeles Community College District Series A, GO, 5.00%, 8/1/2024 (b)		1,500		1,711

San Jose Unified School District

GO, 5.00%, 8/1/2023 (b)		1,750		1,913

Series C, GO, 5.00%, 8/1/2024 (b)		2,460		2,808

San Juan Unified School District, Election of 2002 GO, 5.00%, 8/1/2023 (b)		1,000		1,093

San Mateo Union High School District, Election of 2006 Series A, GO, 5.00%, 9/1/2023 (b)		2,035		2,230

Silicon Valley Clean Water, Wastewater Rev., 5.00%, 2/1/2024 (b)		790		883

Sonoma County Junior College District GO, 5.00%, 8/1/2023 (b)		1,000		1,093

State of California Department of Water Resources, Central Valley Project, Water System Series AW, Rev., 5.00%, 12/1/2026 (b)		2,600		3,216

Ventura County Public Financing Authority Series A, Rev., 5.00%, 11/1/2022 (b)		1,000		1,057


				26,427


Transportation — 13.8%

City of Long Beach Harbor

Series 2014B, Rev., 5.00%, 5/15/2024		250		283

Series 2014B, Rev., 5.00%, 5/15/2026		250		281

Series B, Rev., 5.00%, 5/15/2027		225		253

Series 2017A, Rev., AMT, 5.00%, 5/15/2028		250		306

Series A, Rev., AMT, 5.00%, 5/15/2033		500		606

Series A, Rev., 5.00%, 5/15/2036		750		963

City of Los Angeles Department of Airports, International Airport Senior

Series B, Rev., AMT, 5.00%, 5/15/2027		2,000		2,479

Series 2020B, Rev., 5.00%, 5/15/2029		1,830		2,407

Series A, Rev., AMT, 5.00%, 5/15/2029		2,000		2,065

Series 2020A, Rev., 5.00%, 5/15/2030		2,000		2,647

Series 2020A, Rev., 5.00%, 5/15/2034		1,000		1,307

Series 2020A, Rev., 5.00%, 5/15/2038		1,000		1,295


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Transportation — continued

City of Los Angeles Department of Airports, International Airport Subordinate

Series 2018D, Rev., AMT, 5.00%, 5/15/2024		2,000		2,251

Series A, Rev., AMT, 5.00%, 5/15/2030		1,475		1,857

Series C, Rev., 5.00%, 5/15/2031		1,250		1,456

Series 2018C, Rev., AMT, 5.00%, 5/15/2034		1,250		1,547

Foothill Eastern Transportation Corridor Agency, Senior Lien Series 1995A, Rev., Zero Coupon, 1/1/2026 (b)		1,795		1,754

Los Angeles County Metropolitan Transportation Authority, Proposition C Senior Sales Tax Series 2021-A, Rev., 5.00%, 7/1/2032		2,000		2,755

Port of Los Angeles, Harbor Department

Series B, Rev., 5.00%, 8/1/2025		1,000		1,004

Series 2014A, Rev., AMT, 5.00%, 8/1/2031		1,500		1,684

Port of Los Angeles, Harbor Department, Private Activity Series A, Rev., AMT, 5.00%, 8/1/2025		1,000		1,169

Port of Oakland, Intermediate Lien

Rev., AMT, 5.00%, 5/1/2027		1,250		1,537

Rev., AMT, 5.00%, 5/1/2028		1,000		1,258

Rev., AMT, 5.00%, 5/1/2029		1,075		1,380

San Bernardino County Transportation Authority Series A, Rev., 5.00%, 3/1/2029		2,000		2,048

San Diego Association of Governments, Mid-Coast Corridor Transit Project Series A, Rev., 5.00%, 11/15/2025		1,500		1,725

San Diego County Regional Airport Authority, Senior Airport

Series B, Rev., AMT, 5.00%, 7/1/2024		900		977

Series B, Rev., AMT, 5.00%, 7/1/2028		1,000		1,083

San Diego County Regional Airport Authority, Subordinate Airport

Series B, Rev., AMT, 5.00%, 7/1/2034		755		918

Series A, Rev., 5.00%, 7/1/2035		1,000		1,220

San Francisco City and County Airport Commission, San Francisco International Airport

Series 2017D, Rev., AMT, 5.00%, 5/1/2025		2,000		2,331

Series 2018G, Rev., AMT, 5.00%, 5/1/2027		1,200		1,483

Series H, Rev., AMT, 5.00%, 5/1/2027		1,400		1,730

Series 2012A, Rev., AMT, 5.00%, 5/1/2029		2,000		2,062

Series 2021A, Rev., AMT, 5.00%, 5/1/2031		2,500		3,331

Series 2019A, Rev., AMT, 5.00%, 5/1/2034		2,000		2,529

Series 2019A, Rev., AMT, 5.00%, 5/1/2035		1,000		1,262


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Transportation — continued

San Francisco City and County Airport Commission, San Francisco International Airport, Special Facilities, SFO Fuel Company LLC Series 2019A, Rev., AMT, 5.00%, 1/1/2025		1,790		2,062


				59,305


Utility — 5.9%

City of San Francisco, Public Utilities Commission Water Series D, Rev., 5.00%, 11/1/2034		2,710		3,391

Los Angeles Department of Water and Power, Power System

Series 2013A, Rev., 5.00%, 7/1/2027		2,165		2,302

Series C, Rev., 5.00%, 7/1/2027		1,500		1,703

Series 2020A, Rev., 5.00%, 7/1/2029		2,000		2,648

Series D, Rev., 5.00%, 7/1/2032		2,480		3,160

Series 2019A, Rev., 5.00%, 7/1/2036		1,825		2,330

Series C, Rev., 5.00%, 7/1/2036		2,715		3,516

Series C, Rev., 5.00%, 7/1/2037		2,500		3,234

Santa Paula Utility Authority Rev., AGM, 5.00%, 2/1/2028		1,620		2,014

Southern California Public Power Authority, Apex Power Project Series 2014A, Rev., 5.00%, 7/1/2030		1,000		1,127


				25,425


Water & Sewer — 16.9%

City of Bakersfield, Wastewater Series 2015A, Rev., 5.00%, 9/15/2031		2,000		2,358

City of Glendale Rev., 3.00%, 2/1/2027		1,725		1,959

City of Los Angeles, Wastewater System Series B, Rev., 5.00%, 6/1/2033		1,500		1,756

City of Los Angeles, Wastewater System, Green Bonds

Series A, Rev., 5.00%, 6/1/2028		1,825		2,140

Series A, Rev., 5.00%, 6/1/2034		1,000		1,265

Series 2018A, Rev., 5.00%, 6/1/2035		1,500		1,895

City of Santa Rosa, Wastewater Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 9/1/2023		1,500		1,490

East Bay Municipal Utility District, Wastewater System Series A-2, Rev., 5.00%, 6/1/2038		1,580		2,243

East Bay Municipal Utility District, Water System Series 2019A, Rev., 5.00%, 6/1/2038		1,595		2,067

Eastern Municipal Water District Financing Authority, Water and Wastewater System

Series 2020A, Rev., 5.00%, 7/1/2032		1,050		1,412

Series 2016B, Rev., 5.00%, 7/1/2033		3,000		3,608

Series 2020A, Rev., 5.00%, 7/1/2034		1,250		1,667

Series 2020A, Rev., 5.00%, 7/1/2036		1,850		2,454


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Water & Sewer — continued

Los Angeles Department of Water and Power, Water System Series 2020C, Rev., 5.00%, 7/1/2037		1,000		1,322

Marin Water District Financing Authority, Subordinate Lien Series 2012A, Rev., 5.00%, 7/1/2028		1,185		1,232

Metropolitan Water District of Southern California, Waterworks

Series 2012F, Rev., 5.00%, 7/1/2028		2,000		2,081

Series A, Rev., 5.00%, 10/1/2029		1,500		1,542

Series 2019A, Rev., 5.00%, 7/1/2038		2,500		3,197

Novato Sanitary District, Wastewater Rev., 5.00%, 2/1/2026		1,530		1,847

San Diego County Water Authority

Series 2021A, Rev., 5.00%, 5/1/2031		1,530		2,115

Series 2021B, Rev., 4.00%, 5/1/2033		2,000		2,544

Series 2021B, Rev., 4.00%, 5/1/2034		1,970		2,492

Santa Clara Valley Water District, Water System Series 2016A, Rev., 5.00%, 6/1/2030		1,600		1,902

Silicon Valley Clean Water, Wastewater Series A, Rev., 3.00%, 3/1/2024		2,000		2,109

Southern California Water Replenishment District

Rev., 5.00%, 8/1/2030		1,050		1,233

Rev., 5.00%, 8/1/2031		1,420		1,667

Rev., 5.00%, 8/1/2032		2,410		2,826

State of California Department of Water Resources, Central Valley Project, Water System

Series 2019BA, Rev., 5.00%, 12/1/2024		1,500		1,734

Series 2019BA, Rev., 5.00%, 12/1/2026		1,500		1,860

Series 2019BA, Rev., 5.00%, 12/1/2033		1,500		1,962

State of California Department of Water Resources, Central Valley Project, Water System, Tax-Exempt

Series BB, Rev., 5.00%, 12/1/2026		7,000		8,682

Series BB, Rev., 5.00%, 12/1/2028		3,000		3,931

Western Municipal Water District Facilities Authority, Tax-Exempt Series 2020A, Rev., 5.00%, 10/1/2029		325		434


				73,026


Total California				401,393


Total Municipal Bonds (Cost $379,961)				401,393


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 6.2%

Investment Companies — 6.2%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (c) (d) (Cost $26,734)		26,723		26,737

Total Investments — 99.4% (Cost $406,695)				428,130
Other Assets Less Liabilities — 0.6%				2,581

NET ASSETS — 100.0%				430,711

Percentages indicated are based on net assets.

Abbreviations


AGC		Insured by Assured Guaranty Corp.
AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
COLL		Collateral
COP		Certificate of Participation
CR		Custodial Receipts
GNMA		Government National Mortgage Association
GO		General Obligation
NATL		Insured by National Public Finance Guarantee Corp.
RE		Reinsured
Rev.		Revenue

(a)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(b)		Security is prerefunded or escrowed to maturity.
(c)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)		The rate shown is the current yield as of August 31, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal BondS — 99.1% (a)

Alaska — 0.5%

Alaska Industrial Development and Export Authority, Providence Health & Services Series 2011A, Rev., 5.50%, 10/1/2041		325		326

Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 4.00%, 10/1/2036		2,000		2,309


Total Alaska				2,635


Arizona — 5.3%

Arizona Industrial Development Authority, Academics of Math & Science Projects

Rev., 4.00%, 7/1/2029 (b)		400		444

Rev., 5.00%, 7/1/2039 (b)		1,000		1,183

Arizona Industrial Development Authority, Aliante & Skye Canyon Campus Project Series 2021A, Rev., 4.00%, 12/15/2051 (b)		350		382

Arizona Industrial Development Authority, Cadence Campus Project

Series 2020A, Rev., 4.00%, 7/15/2030 (b)		500		555

Series 2020A, Rev., 4.00%, 7/15/2040 (b)		800		872

Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project

Series 2021A, Rev., 4.00%, 7/15/2041 (b)		130		145

Series 2021A, Rev., 4.00%, 7/15/2051 (b)		250		276

Arizona Industrial Development Authority, Equitable School Revolving Fund Series A, Rev., 5.00%, 11/1/2044		750		899

Arizona Industrial Development Authority, Fire MESA and Red Rock Campus Projects

Series 2019A, Rev., 3.55%, 7/15/2029 (b)		1,295		1,408

Series 2019A, Rev., 5.00%, 7/15/2039 (b)		1,325		1,525

Series 2019A, Rev., 5.00%, 7/15/2049 (b)		1,675		1,902

Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project

Series 2019A, Rev., 5.00%, 1/1/2029		1,500		1,572

Series 2019A, Rev., 5.00%, 1/1/2037		1,000		1,048

Series 2019A, Rev., 5.00%, 1/1/2038		1,000		1,049

Series 2019A, Rev., 4.25%, 1/1/2039		1,000		997

Series 2019A, Rev., 4.50%, 1/1/2049		2,000		2,035

Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2051		1,000		1,152

Arizona Industrial Development Authority, Pebble Campus Project Series 2020A, Rev., 5.00%, 7/15/2040 (b)		415		477

Arizona Industrial Development Authority, Pinecrest Academy, Canyon Campus Project Rev., 5.00%, 7/15/2040 (b)		2,515		2,932


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Arizona — continued

Arizona Industrial Development Authority, Pinecrest Academy, Horizon, Inspirada and St. Rose Campus Projects

Series 2018A, Rev., 5.00%, 7/15/2028 (b)		970		1,103

Series 2018A, Rev., 5.75%, 7/15/2038 (b)		1,000		1,175

City of Mesa, Utility System Rev., AGM, 5.25%, 7/1/2029		40		53

Glendale Industrial Development Authority, Terraces of Phoenix Project

Series 2018A, Rev., 4.00%, 7/1/2028		450		478

Series 2018A, Rev., 5.00%, 7/1/2038		300		323

Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project

Series 2018A, Rev., 5.00%, 7/1/2032		350		424

Series 2018A, Rev., 5.00%, 7/1/2033		150		182

Series 2018A, Rev., 5.00%, 7/1/2037		200		241

La Paz County Industrial Development Authority, Charter School Solutions-Harmony Public Schools Project

Series 2018A, Rev., 5.00%, 2/15/2028		200		230

Series 2018A, Rev., 5.00%, 2/15/2038		405		478

Maricopa County Industrial Development Authority, Arizona Autism Charter School Project

Series 2020A, Rev., 4.00%, 7/1/2030 (b)		320		357

Series 2020A, Rev., 5.00%, 7/1/2040 (b)		620		725

Series 2020A, Rev., 5.00%, 7/1/2050 (b)		780		899

Maricopa County Industrial Development Authority, Ottawa University

Rev., 5.00%, 10/1/2026 (b)		150		161

Rev., 5.13%, 10/1/2030 (b)		210		239


Total Arizona				27,921


California — 5.1%

California Community College Financing Authority, Orange Coast Properties LLC — Orange Coast College Project

Rev., 5.00%, 5/1/2037		750		883

Rev., 5.00%, 5/1/2038		400		470

California Community Housing Agency, Glendale Properties

Series 2021A-2, Rev., 4.00%, 8/1/2046 (b)		500		553

Series 2021A-2, Rev., 4.00%, 8/1/2047 (b)		1,500		1,634

California Health Facilities Financing Authority, Children’s Hospital Series 2017A, Rev., 5.00%, 8/15/2047		500		596


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

California Municipal Finance Authority, Community Health Centers of The Central Coast, Inc.

Series 2021A, Rev., 5.00%, 12/1/2036 (b)		175		205

Series 2021A, Rev., 5.00%, 12/1/2046 (b)		1,000		1,151

California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2047		200		239

California Municipal Finance Authority, John Adams Academies Lincoln Project

Series 2019A, Rev., 4.00%, 10/1/2029 (b)		410		443

Series 2019A, Rev., 5.00%, 10/1/2039 (b)		900		995

California Municipal Finance Authority, Linxs Apartments Project, Senior Lien

Series 2018A, Rev., AMT, AGM, 3.25%, 12/31/2032		245		269

Series 2018A, Rev., AMT, AGM, 3.50%, 12/31/2035		240		265

California Pollution Control Financing Authority, Solid Waste Disposal, Waste Management, Inc., Project Series 2015B-2, Rev., AMT, 3.13%, 11/3/2025 (c)		250		278

California Public Finance Authority, Enso Village Project

Series 2021A, Rev., 5.00%, 11/15/2046 (b)		200		233

Series 2021A, Rev., 5.00%, 11/15/2051 (b)		500		581

Series 2021A, Rev., 5.00%, 11/15/2056 (b)		500		578

California Public Finance Authority, Henry Mayo Newhall Hospital

Rev., 5.00%, 10/15/2029		200		240

Rev., 4.00%, 10/15/2031 (c)		340		412

California Public Finance Authority, Laverne Elementary Preparatory Academy

Series 2019A, Rev., 4.25%, 6/15/2029 (b)		765		788

Series 2019A, Rev., 5.00%, 6/15/2039 (b)		785		812

California School Facilities Financing Authority, Capital Appreciation, Azusa Unified School District Series 2018A, Rev., AGM, Zero Coupon, 8/1/2030		200		175

California School Finance Authority, Kipp Projects School Facility Series 2015A, Rev., 5.00%, 7/1/2035 (b)		100		114

California Statewide Communities Development Authority, Front Porch Communities & Services Series 2021A, Rev., 4.00%, 4/1/2041		1,000		1,189

CMFA Special Finance Agency VIII, Elan Huntington Beach Series 2021A-2, Rev., 4.00%, 8/1/2047 (b)		1,000		1,073


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

CSCDA Community Improvement Authority

Series 2021A-1, Rev., 2.65%, 12/1/2046 (b)		1,500		1,523

Series 2021B, Rev., 4.00%, 2/1/2057 (b)		1,500		1,611

CSCDA Community Improvement Authority, Essential Housing, Jefferson-Anaheim

Series 2021A-1, Rev., 2.88%, 8/1/2041 (b)		2,000		2,065

Rev., 3.13%, 8/1/2056 (b)		2,400		2,442

CSCDA Community Improvement Authority, Essential Housing, Parallel-Anaheim Rev., 4.00%, 8/1/2056 (b)		1,500		1,655

CSCDA Community Improvement Authority, Oceanaire-Long Beach Series 2021A-2, Rev., 4.00%, 9/1/2056 (b)		2,115		2,329

Eastern Municipal Water District Financing Authority, Water and Wastewater System Series 2020A, Rev., 5.00%, 7/1/2037		80		106

Palomar Health Rev., 5.00%, 11/1/2039		500		585

Pomona Unified School District Series C, GO, 6.00%, 8/1/2029 (d)		160		223

San Mateo Union High School District, Election of 2006 Series A, GO, Zero Coupon, 9/1/2022		100		73

Sunnyvale School District, Election of 2013 Series C, GO, 5.50%, 9/1/2034		175		259


Total California				27,047


Colorado — 11.1%

Aviation Station North Metropolitan District No. 2, Limited Tax Series A, GO, 5.00%, 12/1/2039		750		813

Bradburn Metropolitan District No. 2, Limited Tax

Series 2018A, GO, 5.00%, 12/1/2038		500		578

Series 2018B, GO, 7.25%, 12/15/2047		500		559

Broadway Park North Metropolitan District No. 2, Limited Tax

GO, 5.00%, 12/1/2040 (b)		550		611

GO, 5.00%, 12/1/2049 (b)		650		717

Canyon Pines Metropolitan District Special Improvement District No. 1 Series 2021A-2, 3.75%, 12/1/2040		1,325		1,282

Clear Creek Transit Metropolitan District No. 2, Limited Tax Series 2021A, GO, 5.00%, 12/1/2050		500		549

Colorado Crossing Metropolitan District No. 2, Limited Tax

Series 2020A-2, GO, 4.00%, 12/1/2030		1,065		1,127

Series 2020A-1, GO, 5.00%, 12/1/2047		2,000		2,170

Series 2020A-2, GO, 5.00%, 12/1/2050		2,000		2,163

Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project Rev., 4.00%, 5/1/2051		175		194


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project

Rev., 5.00%, 12/1/2040 (b)		555		619

Rev., 5.00%, 12/1/2050 (b)		735		805

Colorado Educational and Cultural Facilities Authority, Stargate Charter School Project

Series 2018A, Rev., 5.00%, 12/1/2032		500		622

Series 2018A, Rev., 5.00%, 12/1/2033		500		620

Series 2018A, Rev., 4.00%, 12/1/2048		500		566

Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Rev., 5.00%, 2/1/2051 (b)		750		834

Colorado Health Facilities Authority, Frasier Meadows Retirement Community Project

Series 2017A, Rev., 5.00%, 5/15/2022		280		287

Series A, Rev., 5.25%, 5/15/2028		1,000		1,185

Colorado Health Facilities Authority, Parkview Medical Center, Inc., Project Series 2020A, Rev., 4.00%, 9/1/2050		675		783

Copper Ridge Metropolitan District, Tax Increment and Sales Tax

Rev., 4.00%, 12/1/2029		1,000		1,050

Rev., 5.00%, 12/1/2039		1,000		1,079

Copperleaf Metropolitan District No. 4, Limited Tax

Series 2020A, GO, 5.00%, 12/1/2039		775		850

Series 2020A, GO, 5.00%, 12/1/2049		1,000		1,088

Cottonwood Highlands Metropolitan District No. 1, Limited Tax Series 2019A, GO, 5.00%, 12/1/2049		900		969

Cross Creek Metropolitan District No. 2, Unlimited Tax GO, AGM, 4.00%, 12/1/2045		1,000		1,146

Denver Health and Hospital Authority Series 2019A, Rev., 4.00%, 12/1/2037		1,250		1,459

DIATC Metropolitan District, Limited Tax and Improvement

GO, 3.25%, 12/1/2029 (b)		590		623

GO, 5.00%, 12/1/2039 (b)		1,240		1,349

Jefferson Center Metropolitan District No. 1 Series 2020A-2, Rev., 4.13%, 12/1/2040		285		304

Lanterns Metropolitan District No. 1 Series A, GO, 5.00%, 12/1/2039		1,375		1,496

Mirabelle Metropolitan District No. 2

Series 2020A, GO, 5.00%, 12/1/2039		700		765

Series 2020A, GO, 5.00%, 12/1/2049		1,250		1,355

Painted Prairie Metropolitan District No. 2, Limited Tax GO, 5.25%, 12/1/2048		2,000		2,108


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Colorado — continued

Painted Prairie Public Improvement Authority

Rev., 4.00%, 12/1/2029		1,000		1,086

Rev., 5.00%, 12/1/2039		2,500		2,749

Peak Metropolitan District No. 1 Series A, GO, 5.00%, 12/1/2051 (b)		600		660

Public Authority for Colorado Energy, Natural Gas Purchase Rev., 6.13%, 11/15/2023		70		75

Raindance Metropolitan District No. 1, Non-Potable Water System Rev., 5.00%, 12/1/2040		750		824

Regional Transportation District, Denver Transit Partners Rev., 4.00%, 7/15/2036		190		228

Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044		500		500

Rocky Mountain Rail Park Metropolitan District, Limited Tax Series 2021A, GO, 5.00%, 12/1/2041 (b)		1,250		1,355

South Suburban Park and Recreation District

COP, 4.00%, 12/15/2036		1,350		1,539

COP, 4.00%, 12/15/2037		500		568

STC Metropolitan District No. 2, Limited Tax Improvement

Series 2019A, GO, 3.00%, 12/1/2025		555		583

Series 2019A, GO, 4.00%, 12/1/2029		1,000		1,087

Series 2019A, GO, 5.00%, 12/1/2038		1,700		1,866

Sterling Ranch Community Authority Board, Limited Tax Supported District No. 2

Series 2020A, Rev., 3.38%, 12/1/2030		500		551

Series 2020A, Rev., 3.75%, 12/1/2040		500		550

Thompson Crossing Metropolitan District No. 4

GO, 5.00%, 12/1/2039		1,400		1,531

GO, 5.00%, 12/1/2049		1,500		1,621

Trails at Crowfoot Metropolitan District No. 3, Limited Tax

Series A, GO, 4.38%, 12/1/2030		620		667

Series A, GO, 5.00%, 12/1/2039		1,000		1,084

Transport Metropolitan District No. 3, Limited Tax

Series 2021A-1, GO, 4.13%, 12/1/2031		500		556

Series 2021A-1, GO, 5.00%, 12/1/2041		1,000		1,129

Series 2021A-1, GO, 5.00%, 12/1/2051		1,960		2,189

Verve Metropolitan District No. 1

GO, 5.00%, 12/1/2036		525		586

GO, 5.00%, 12/1/2041		1,125		1,248

Westerly Metropolitan District No. 4, Limited Tax Series 2021A, GO, 5.00%, 12/1/2040		700		778

Willow Bend Metropolitan District, Limited Tax Series A, GO, 5.00%, 12/1/2039		600		652


Total Colorado				58,987


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Connecticut — 0.5%

Connecticut State Health and Educational Facilities Authority, Mary Wade Home Series A-1, Rev., 5.00%, 10/1/2029 (b)		400		450

Connecticut State Health and Educational Facilities Authority, McLean

Series 2020A, Rev., 5.00%, 1/1/2030 (b)		250		288

Series 2020A, Rev., 5.00%, 1/1/2045 (b)		500		562

Connecticut State Health and Educational Facilities Authority, The Griffin Hospital Series G-1, Rev., 5.00%, 7/1/2034 (b)		225		277

State of Connecticut Series A, GO, 5.00%, 4/15/2037		1,000		1,248


Total Connecticut				2,825


Delaware — 0.2%

Delaware State Economic Development Authority, Acts Retirement-Life Communities, Inc., Obligated Group Series 2018-B, Rev., 5.00%, 11/15/2048		700		810


District of Columbia — 1.2%

District of Columbia, Gallaudet University Project Rev., 5.00%, 4/1/2051		1,500		1,904

District of Columbia, International School Rev., 5.00%, 7/1/2039		650		794

District of Columbia, Kipp DC Project

Series 2017B, Rev., 5.00%, 7/1/2037		500		597

Rev., 4.00%, 7/1/2039		200		229

District of Columbia, Latin American Montessori Bilingual Public Charter School

Rev., 4.00%, 6/1/2030		1,000		1,138

Rev., 5.00%, 6/1/2040		1,000		1,204

District of Columbia, Rocketship Obligated Group Series 2020A, Rev., 5.00%, 6/1/2051 (b)		400		471


Total District of Columbia				6,337


Florida — 8.9%

Capital Trust Agency, Inc., Advantage Academy of Hillsborough Project

Series A, Rev., 5.00%, 12/15/2029		405		460

Series A, Rev., 5.00%, 12/15/2039		1,775		1,971

Capital Trust Agency, Inc., Franklin Academy Project

Rev., 4.00%, 12/15/2025 (b)		300		329

Rev., 5.00%, 12/15/2026 (b)		300		345

Rev., 5.00%, 12/15/2027 (b)		330		378

Rev., 5.00%, 12/15/2028 (b)		345		393

Rev., 5.00%, 12/15/2029 (b)		365		413

Rev., 5.00%, 12/15/2030 (b)		510		573


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Capital Trust Agency, Inc., Imagine School at Land O’Lakes Project

Series 2020A, Rev., 3.00%, 12/15/2029 (b)		420		441

Series 2020A, Rev., 5.00%, 12/15/2039 (b)		640		771

Capital Trust Agency, Inc., Liza Jackson Preparatory School, Inc., Project

Series 2020A, Rev., 4.00%, 8/1/2030		200		227

Series 2020A, Rev., 5.00%, 8/1/2040		300		367

Charlotte County, Utility System Series 2011, Rev., AGM, 5.25%, 10/1/2021 (d)		200		201

City of Lakeland, Education Facilities, Florida Southern College Project Series 2012A, Rev., 5.00%, 9/1/2025		500		523

City of Tampa, H. Lee Moffitt Cancer Center Project

Series 2020B, Rev., 4.00%, 7/1/2038		190		224

Series 2020B, Rev., 4.00%, 7/1/2039		250		294

Series 2020B, Rev., 5.00%, 7/1/2040		390		495

Series 2020B, Rev., 4.00%, 7/1/2045		750		870

Series 2020B, Rev., 5.00%, 7/1/2050		1,785		2,226

County of Broward, Airport System Series 2019A, Rev., AMT, 4.00%, 10/1/2044		2,475		2,870

County of Lake, Imagine South Lake Charter School Project

Series A, Rev., 5.00%, 1/15/2029 (b)		500		550

Series A, Rev., 5.00%, 1/15/2039 (b)		550		618

Series A, Rev., 5.00%, 1/15/2049 (b)		825		911

County of Palm Beach, Palm Beach Atlantic University

Rev., 5.00%, 4/1/2029 (b)		400		460

Rev., 5.00%, 4/1/2039 (b)		900		1,047

County of Palm Beach, Tuscan Gardens of Delray Beach Project

Series 2018-A, Rev., 4.25%, 4/1/2022 (c)		1,000		920

Series 2018C, Rev., 6.25%, 4/2/2022 (c)		1,000		700

Florida Development Finance Corp., Educational Facilities, Renaissance Charter School, Inc., Project

Series 2020C, Rev., 4.00%, 9/15/2030 (b)		235		257

Series 2020C, Rev., 5.00%, 9/15/2040 (b)		525		593

Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects Rev., 4.00%, 7/1/2045		600		647

Florida Development Finance Corp., Educational Facilities, UCP Charter Schools Project

Series 2020A, Rev., 4.00%, 6/1/2030		500		537

Series 2020A, Rev., 5.00%, 6/1/2040		830		915


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Florida Development Finance Corp., Imagine School at Broward Project

Series A, Rev., 4.00%, 12/15/2029 (b)		260		291

Series A, Rev., 5.00%, 12/15/2034 (b)		525		624

Series A, Rev., 5.00%, 12/15/2039 (b)		305		360

Florida Development Finance Corp., Mater Academy Project Series 2020A, Rev., 5.00%, 6/15/2040 (b)		590		688

Florida Development Finance Corp., Pepin Academics of Pasco County, Inc., Project Series 2020A, Rev., 5.00%, 1/1/2040 (b)		2,430		2,665

Florida Higher Educational Facilities Financial Authority, Ringling College Project

Rev., 5.00%, 3/1/2034		385		469

Rev., 5.00%, 3/1/2035		1,165		1,415

Rev., 5.00%, 3/1/2036		1,230		1,488

Rev., 5.00%, 3/1/2037		1,130		1,363

Rev., 5.00%, 3/1/2044		2,000		2,377

Florida Higher Educational Facilities Financial Authority, St. Leo University Project Rev., 5.00%, 3/1/2039		750		875

JEA Electric System Series B, Rev., 5.00%, 10/1/2021		25		25

Miami Beach Health Facilities Authority, Mount Sinai Medical Center Rev., 5.00%, 11/15/2029		545		615

Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group Series 2020B, Rev., 4.00%, 11/15/2041		250		291

Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Residences of Boca Raton Expansion Rev., 3.00%, 6/1/2027		1,255		1,315

Pinellas County Educational Facilities Authority, Pinellas Academy of Math and Science Project Series 2018A, Rev., 4.13%, 12/15/2028 (b)		985		1,083

Pinellas County Industrial Development Authority, Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc., Project Rev., 5.00%, 7/1/2029		525		610

Sarasota County Health Facilities Authority, Sunnyside Village Project Rev., 5.00%, 5/15/2038		1,050		1,199

Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning Series 2021A, Rev., 4.00%, 6/15/2051 (b)		830		931

Seminole County Industrial Development Authority, Legacy Pointe at UCF Project

Series 2019B-2, Rev., 3.75%, 11/15/2025		2,000		2,019


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Series 2019A, Rev., 5.00%, 11/15/2029		1,000		1,120

Series 2019A, Rev., 5.25%, 11/15/2039		2,000		2,227

Tampa Bay Water, Regional Water Supply Authority, Utility System Series A, Rev., NATL-RE, 6.00%, 10/1/2029		500		694


Total Florida				47,270


Georgia — 1.0%

City of Atlanta, Department of Aviation Series 2012C, Rev., 5.00%, 1/1/2042		500		508

Cobb County, Kennestone Hospital Authority, Wellstar Health System, Inc., Project Series 2020A, Rev., 5.00%, 4/1/2050		230		288

Downtown Smyrna Development Authority Rev., 5.25%, 2/1/2028		220		257

George L Smith II Congress Center Authority, Convention Center Hotel First Series 2021A, Rev., 4.00%, 1/1/2054		500		569

George L Smith II Congress Center Authority, Convention Center Hotel Second

Series 2021B, Rev., 5.00%, 1/1/2036 (b)		500		607

Series 2021B, Rev., 5.00%, 1/1/2054 (b)		855		1,009

Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., 4.00%, 8/1/2036		375		446

Private Colleges and Universities Authority, Mercer University Project Rev., 4.00%, 10/1/2050		1,350		1,584


Total Georgia				5,268


Idaho — 0.0% (e)

Idaho Housing and Finance Association, Compass Public Charter School, Inc., Project Series A, Rev., 4.63%, 7/1/2029 (b)		180		205


Illinois — 2.8%

Chicago O’Hare International Airport, Transportation Infrastructure Properties LLC (TRIPS) Obligated Group Rev., AMT, 5.00%, 7/1/2038		500		599

City of Chicago, Waterworks, Second Lien Rev., AMBAC, BHAC-CR, 5.75%, 11/1/2030		150		186

County of Du Page, The Morton Abroretum Project Rev., 3.00%, 5/15/2047		1,265		1,309

Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2051		500		576

Illinois Finance Authority, University of Illinois, Urbana-Champaign Project

Series 2019A, Rev., 5.00%, 10/1/2036		300		381


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Series 2019A, Rev., 5.00%, 10/1/2037		400		507

Series 2019A, Rev., 5.00%, 10/1/2038		400		505

Series 2019A, Rev., 5.00%, 10/1/2039		350		441

Series 2019A, Rev., 5.00%, 10/1/2044		1,000		1,235

Metropolitan Pier and Exposition Authority, McCormick Place Expansion Project Series 2012B, Rev., 5.00%, 12/15/2028		1,610		1,669

Metropolitan Water Reclamation District of Greater Chicago Series C, GO, 5.25%, 12/1/2027		50		63

Northern Illinois University, Auxiliary Facilities System

Series 2020B, Rev., 4.00%, 4/1/2039		650		757

Series 2020B, Rev., 4.00%, 4/1/2041		1,450		1,683

Northern Illinois University, Board of Trustees, Auxiliary Facilities System Rev., 4.00%, 10/1/2043		325		380

Regional Transportation Authority Series A, Rev., NATL-RE, 6.00%, 7/1/2024		250		290

Southern Illinois University

Series 2021A, Rev., 4.00%, 4/1/2038		250		296

Series 2021A, Rev., 4.00%, 4/1/2039		250		294

Series 2021A, Rev., 4.00%, 4/1/2040		270		317

State of Illinois

GO, 5.13%, 5/1/2022		250		258

GO, 5.38%, 5/1/2023		250		271

GO, 4.13%, 3/1/2028		170		173

Upper Illinois River Valley Development Authority, Morris Hospital

Rev., 5.00%, 12/1/2028		1,050		1,246

Rev., 5.00%, 12/1/2029		875		1,035

Rev., 5.00%, 12/1/2033		250		291

Rev., 5.00%, 12/1/2034		20		23


Total Illinois				14,785


Indiana — 2.4%

City of Franklin, Otterbeit Homes

Series B, Rev., 4.00%, 7/1/2036		870		1,020

Series B, Rev., 4.00%, 7/1/2037		905		1,059

Series B, Rev., 4.00%, 7/1/2038		940		1,100

Series B, Rev., 4.00%, 7/1/2039		750		873

Series B, Rev., 4.00%, 7/1/2040		500		580

City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (b)		1,000		995

Indiana Finance Authority, Educational Facilities, Kipp Indianapolis, Inc., Project

Series 2020A, Rev., 4.00%, 7/1/2030		105		117


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

Series 2020A, Rev., 5.00%, 7/1/2040		170		195

Series 2020A, Rev., 5.00%, 7/1/2055		455		516

Indiana Finance Authority, First Lien Wastewater, CWA Authority Project Series 2101A, Rev., 5.25%, 10/1/2021		250		251

Indiana Finance Authority, Goshen Health

Series A, Rev., 5.00%, 11/1/2035		665		808

Series A, Rev., 4.00%, 11/1/2036		235		267

Series A, Rev., 4.00%, 11/1/2037		330		374

Series A, Rev., 4.00%, 11/1/2038		340		385

Series A, Rev., 4.00%, 11/1/2039		360		407

Indiana Finance Authority, Marian University Project Series A, Rev., 4.00%, 9/15/2044		1,090		1,211

Indiana Finance Authority, Marquette Project Series A, Rev., 5.00%, 3/1/2030		1,000		1,120

Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021A, Rev., 5.25%, 4/1/2041 (b)		1,250		1,338


Total Indiana				12,616


Iowa — 0.5%

Iowa Finance Authority, Northcrest Inc., Project

Series 2018A, Rev., 5.00%, 3/1/2028		795		879

Series 2018A, Rev., 5.00%, 3/1/2038		250		273

Iowa Finance Authority, PHS Council Bluffs, Inc., Project

Rev., 3.95%, 8/1/2023		100		102

Rev., 4.45%, 8/1/2028		250		262

Rev., 5.00%, 8/1/2033		485		509

Rev., 5.00%, 8/1/2038		370		388


Total Iowa				2,413


Kansas — 0.5%

City of Lenexa, Kansas Health Care Facility, Lakeview Village, Inc.

Series A, Rev., 5.00%, 5/15/2032		500		569

Series A, Rev., 5.00%, 5/15/2039		850		958

City of Wichita, Health Care Facilities, Presbyterian Manors, Inc.

Series 2018 I, Rev., 5.00%, 5/15/2033		500		549

Series I, Rev., 5.00%, 5/15/2038		500		545


Total Kansas				2,621


Kentucky — 0.3%

City of Ashland, Kings Daughters Medical Center

Series 2016A, Rev., 4.00%, 2/1/2036		1,000		1,101

Series 2016A, Rev., 5.00%, 2/1/2040		500		572


Total Kentucky				1,673


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Louisiana — 1.3%

Louisiana Public Facilities Authority, Lincoln Preparatory School Project Series 2021A, Rev., 5.25%, 6/1/2051 (b)		1,145		1,266

Louisiana Public Facilities Authority, Mentorship Steam Academy Project

Series 2021A, Rev., 5.00%, 6/1/2051 (b)		700		751

Series 2021A, Rev., 5.00%, 6/1/2056 (b)		740		787

Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2042		500		596

Louisiana Public Facilities Authority, Young Audiences Charter School Project

Series A, Rev., 5.00%, 4/1/2030 (b)		525		572

Series A, Rev., 5.00%, 4/1/2039 (b)		1,425		1,505

Series A, Rev., 5.00%, 4/1/2049 (b)		1,135		1,184

New Orleans Aviation Board, General Airport, North Terminal Project Series B, Rev., AMT, 5.00%, 1/1/2048		250		297


Total Louisiana				6,958


Maine — 0.0% (e)

Maine Health and Higher Educational Facilities Authority, Central Maine Medical Center Series A, Rev., 5.00%, 7/1/2023 (d)		25		27


Maryland — 1.3%

County of Frederick, Educational Facilities, Mount St. Mary’s University Series A, Rev., 5.00%, 9/1/2037 (b)		1,500		1,697

Maryland Economic Development Corp., Bowie State University Project

Rev., 4.00%, 7/1/2040		300		347

Rev., 4.00%, 7/1/2050		1,500		1,705

Maryland Economic Development Corp., Port Covington Project

Rev., 4.00%, 9/1/2040		875		1,010

Rev., 4.00%, 9/1/2050		555		630

Maryland Health and Higher Educational Facilities Authority, Frederick Health System Issue

Rev., 3.25%, 7/1/2039		175		193

Rev., 4.00%, 7/1/2040		215		254

Maryland Health and Higher Educational Facilities Authority, Stevenson University Project

Rev., 4.00%, 6/1/2046		250		290

Rev., 4.00%, 6/1/2051		500		578


Total Maryland				6,704


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Massachusetts — 2.0%

Massachusetts Bay Transportation Authority, Sales Tax Series B, Rev., NATL-RE, 5.50%, 7/1/2028		300		395

Massachusetts Development Finance Agency, Emerson College

Rev., 5.00%, 1/1/2037		500		603

Rev., 5.00%, 1/1/2038		405		486

Rev., 5.00%, 1/1/2043		500		595

Massachusetts Development Finance Agency, Emmanuel College Series 2016A, Rev., 5.00%, 10/1/2043		500		585

Massachusetts Development Finance Agency, Newbridge On the Charles, Inc. Rev., 4.13%, 10/1/2042 (b)		2,000		2,157

Massachusetts Development Finance Agency, Orchid Cove, Inc.

Rev., 4.00%, 10/1/2029		925		1,034

Rev., 4.00%, 10/1/2039		500		551

Rev., 5.00%, 10/1/2039		250		283

Massachusetts Development Finance Agency, Suffolk University Issue

Rev., 5.00%, 7/1/2036		450		559

Rev., 5.00%, 7/1/2037		605		750

Massachusetts Development Finance Agency, Wellforce Issue Series 2020C, Rev., AGM, 3.00%, 10/1/2045		1,280		1,369

Massachusetts Port Authority Series A, Rev., 5.00%, 7/1/2044		500		563

Massachusetts State College Building Authority Series B, Rev., AGC, 5.50%, 5/1/2028		350		428

Massachusetts Water Resources Authority Series B, Rev., AGM, 5.25%, 8/1/2032		100		144


Total Massachusetts				10,502


Michigan — 3.8%

City of Detroit, Social Bonds, Unlimited Tax

Series 2021A, GO, 5.00%, 4/1/2031		210		267

Series 2021A, GO, 4.00%, 4/1/2041		500		565

Series 2021A, GO, 4.00%, 4/1/2042		400		451

City of Detroit, Unlimited Tax

GO, 5.00%, 4/1/2035		500		592

GO, 5.00%, 4/1/2036		500		590

GO, 5.00%, 4/1/2037		500		589

Flint Hospital Building Authority, Hurley Medical Center Rev., 4.00%, 7/1/2038		1,800		2,077

Kalamazoo Economic Development Corp., Heritage Community of Kalamazoo Project

Rev., 5.00%, 5/15/2037		1,230		1,404


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Michigan — continued

Rev., 5.00%, 5/15/2055		3,000		3,406

Michigan Finance Authority, Aqunias College Project Rev., 4.00%, 5/1/2031		540		568

Michigan Finance Authority, Kettering University Project

Rev., 4.00%, 9/1/2045		500		569

Rev., 4.00%, 9/1/2050		1,000		1,133

Michigan Finance Authority, Universal Learning Academy Rev., 6.00%, 11/1/2032		750		879

Michigan Strategic Fund, I-75 Improvement Project Rev., AMT, AGM, 4.13%, 6/30/2035		2,500		2,964

Michigan Strategic Fund, United Methodist Retirement Communities Obligated Group, Porter Hills Presbyterian Village Project

Rev., 5.00%, 5/15/2037		670		793

Rev., 5.00%, 5/15/2044		1,000		1,171

Michigan Strategic Fund, United Methodist Retirement Communities, Inc. Rev., 5.00%, 11/15/2034		1,280		1,505

Wayne County Airport Authority, Detroit Metropolitan Airport Series B, Rev., AMT, 5.00%, 12/1/2021		400		405


Total Michigan				19,928


Minnesota — 0.8%

City of Minneapolis, Health Care System, Fairview Health Services Series A, Rev., 4.00%, 11/15/2038		750		864

City of Wayzata, Folkestone Senior Living Community

Rev., 5.00%, 8/1/2032		100		109

Rev., 5.00%, 8/1/2033		200		218

Rev., 5.00%, 8/1/2035		200		218

Rev., 3.75%, 8/1/2036		250		263

Rev., 3.75%, 8/1/2037		500		527

Rev., 4.00%, 8/1/2038		350		370

Rev., 4.00%, 8/1/2039		250		264

City of Woodbury, Charter School Lease

Rev., 3.00%, 12/1/2030		250		266

Rev., 4.00%, 12/1/2040		200		220

Rev., 4.00%, 12/1/2050		250		272

Series 2021A, Rev., 4.00%, 7/1/2051		660		723

Minneapolis-St. Paul Housing Finance Board, Single Family Mortgage, City Living Home Programs Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041		40		40


Total Minnesota				4,354


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Mississippi — 0.6%

Mississippi Development Bank, Harrison County, Coliseum and Convention Center

Series A, Rev., GTD, 5.25%, 1/1/2030		160		208

Series 2010A, Rev., GTD, 5.25%, 1/1/2034		100		137

Mississippi Hospital Equipment and Facilities Authority, Forrest County General Hospital Refunding Project

Series A, Rev., 4.00%, 1/1/2039		1,250		1,438

Series A, Rev., 4.00%, 1/1/2040		1,000		1,147


Total Mississippi				2,930


Missouri — 2.0%

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2025		400		473

Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects

Series 2019A, Rev., 5.00%, 2/1/2029		550		623

Series 2019A, Rev., 5.00%, 2/1/2034		1,010		1,136

Series 2016A, Rev., 5.00%, 2/1/2036		2,500		2,865

Series 2019A, Rev., 5.00%, 2/1/2042		1,000		1,117

Joplin Industrial Development Authority, 32nd Street Place Community Improvement District Project

Rev., 3.50%, 11/1/2040		750		761

Rev., 4.25%, 11/1/2050		1,250		1,273

Plaza at Noah’s Ark Community Improvement District

Rev., 3.00%, 5/1/2024		200		206

Rev., 3.00%, 5/1/2025		225		233

Rev., 3.00%, 5/1/2026		275		285

Rev., 3.00%, 5/1/2030		500		510

Rev., 3.13%, 5/1/2035		500		506

St. Louis County Industrial Development Authority, Friendship Village Series 2018A, Rev., 5.00%, 9/1/2028		630		733


Total Missouri				10,721


Montana — 0.1%

Cascade County Elementary School District No. 1 Great Falls, School Building GO, 3.63%, 7/1/2038		335		370

Montana Board of Housing, Single Family Homeownership Series A-2, Rev., AMT, 4.00%, 12/1/2038		60		62


Total Montana				432


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Nevada — 0.5%

City of Las Vegas, Special Improvement District No. 611, Local Improvement

3.50%, 6/1/2030		200		222

3.50%, 6/1/2031		160		176

3.75%, 6/1/2032		260		288

4.00%, 6/1/2033		185		207

4.00%, 6/1/2034		185		205

4.00%, 6/1/2035		185		205

4.00%, 6/1/2040		450		492

City of Reno, Sales Tax, Senior Lien, ReTrac-Reno Transportation Rail Access Corridor Project Series B, Rev., AGM, 4.00%, 6/1/2048		375		417

City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 9/10/2021 (b)		140		142

County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2033		200		258


Total Nevada				2,612


New Hampshire — 0.3%

City of Manchester, School Facilities Rev., NATL-RE, 5.50%, 6/1/2027		100		126

New Hampshire Business Finance Authority, The Vista Project

Series A, Rev., 5.25%, 7/1/2039 (b)		200		212

Series A, Rev., 5.63%, 7/1/2046 (b)		1,000		1,067


Total New Hampshire				1,405


New Jersey — 4.7%

Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project

Series 2021A, Rev., AGM, 4.00%, 7/1/2047		50		59

Series 2021A, Rev., AGM, 4.00%, 7/1/2053		125		147

New Jersey Economic Development Authority, Black Horse EHT Urban Renewal LLC Project Series 2019A, Rev., 5.00%, 10/1/2039 (b)		2,000		2,062

New Jersey Economic Development Authority, Golden Door Charter School Project

Series 2018A, Rev., 5.13%, 11/1/2029 (b)		210		235

Series 2018-A, Rev., 6.25%, 11/1/2038 (b)		525		627

New Jersey Economic Development Authority, Marion P. Thomas Charter School, Inc., Project Series 2018-A, Rev., 5.00%, 10/1/2033 (b)		1,000		1,120

New Jersey Economic Development Authority, Motor Vehicle Surcharge Series A, Rev., NATL-RE, 5.25%, 7/1/2024		380		432


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New Jersey — continued

New Jersey Economic Development Authority, School Facilities Construction

Rev., 4.00%, 6/15/2046		875		1,015

Rev., 4.00%, 6/15/2050		1,000		1,156

New Jersey Economic Development Authority, State House Project Series 2017B, Rev., 4.13%, 6/15/2039		1,200		1,409

New Jersey Economic Development Authority, Transit Transportation Project

Series 2020A, Rev., 4.00%, 11/1/2037		1,500		1,751

Series 2020A, Rev., 4.00%, 11/1/2038		750		873

Series 2020A, Rev., 4.00%, 11/1/2039		2,000		2,319

New Jersey Economic Development Authority, White Horse HMT Urban Renewal LLC Project Rev., 5.00%, 1/1/2040 (b)		3,000		3,083

New Jersey Educational Facilities Authority, Seton Hall University Issue, Tax-Exempt

Series 2020C, Rev., AGM, 3.25%, 7/1/2049		700		747

Series 2020C, Rev., AGM, 4.00%, 7/1/2050		725		830

New Jersey Health Care Facilities Financing Authority, St. Joseph’s Healthcare System Obligated Group Rev., 5.00%, 7/1/2041		1,500		1,757

New Jersey Higher Education Student Assistance Authority, Senior Student Loan

Series 2018A, Rev., AMT, 3.75%, 12/1/2031		715		769

Series 2018A, Rev., AMT, 4.00%, 12/1/2032		385		412

Series A, Rev., AMT, 4.00%, 12/1/2033		480		513

Series 2018A, Rev., AMT, 4.00%, 12/1/2034		285		305

Series A, Rev., AMT, 4.00%, 12/1/2035		190		203

New Jersey Transportation Trust Fund Authority

Series 2019BB, Rev., 4.00%, 6/15/2036		1,000		1,158

Series 2020AA, Rev., 4.00%, 6/15/2039		1,000		1,180

Series 2020AA, Rev., 4.00%, 6/15/2040		600		706


Total New Jersey				24,868


New Mexico — 0.4%

New Mexico Hospital Equipment Loan Council, Haverland Carter Lifestyle Group — La Vida Llena Expansion Project

Series A, Rev., 5.00%, 7/1/2033		360		413

Series A, Rev., 5.00%, 7/1/2034		375		430

Series A, Rev., 5.00%, 7/1/2039		1,225		1,396


Total New Mexico				2,239


New York — 3.9%

Buffalo and Erie County Industrial Land Development Corp., D’youville College Project

Rev., 4.00%, 11/1/2035		510		601


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Rev., 4.00%, 11/1/2040		1,035		1,202

Build NYC Resource Corp., Inwood Academy for Leadership Charter School Project

Series 2018A, Rev., 4.88%, 5/1/2031 (b)		500		578

Series 2018A, Rev., 5.13%, 5/1/2038 (b)		250		290

Build NYC Resource Corp., New World Preparatory Charter School Project

Series 2021A, Rev., 4.00%, 6/15/2051		170		186

Series 2021A, Rev., 4.00%, 6/15/2056		225		246

Jefferson County Civic Facility Development Corp., Samaritan Medical Center Project Series 2017A, Rev., 4.00%, 11/1/2042		1,000		1,062

Metropolitan Transportation Authority

Series 2019B-1, Rev., BAN, 5.00%, 5/15/2022		200		207

Series 2020A-1, Rev., BAN, 5.00%, 2/1/2023		500		533

Monroe County Industrial Development Corp., True North Rochester Preparatory Charter School Project

Series 2020A, Rev., 5.00%, 6/1/2040 (b)		630		751

Series 2020A, Rev., 5.00%, 6/1/2059 (b)		540		631

New York Liberty Development Corp., Goldman Sachs Headquarters Rev., 5.25%, 10/1/2035		525		754

New York State Dormitory Authority, Montefiore Obligated Group Series 2020A, Rev., AGM, 3.00%, 9/1/2050		950		995

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project

Rev., AMT, 5.00%, 1/1/2022		1,000		1,015

Rev., AMT, 5.00%, 1/1/2025		3,250		3,719

Rev., AMT, 5.00%, 1/1/2028		500		623

Rev., AMT, 4.00%, 10/1/2030		1,000		1,198

Rev., AMT, 4.00%, 1/1/2036		500		569

Rev., AMT, 5.00%, 1/1/2036		375		453

Onondaga Civic Development Corp., Le Moyne College Project

Rev., 5.00%, 1/1/2037		300		360

Rev., 5.00%, 1/1/2038		200		240

Rev., 5.00%, 1/1/2043		500		594

Suffolk County Economic Development Corp., Peconic Landing at Southold Project, Inc. Rev., 5.00%, 12/1/2029		750		895

Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project

Rev., 5.13%, 11/1/2041 (b)		850		893

Rev., 5.38%, 11/1/2054 (b)		750		788


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Westchester County Local Development Corp., Miriam Osborn Memorial Home Association Project Rev., 5.00%, 7/1/2042		365		413

Yonkers Economic Development Corp., Charter School of Educational Excellence Project

Series 2019A, Rev., 4.00%, 10/15/2029		200		223

Series 2019A, Rev., 5.00%, 10/15/2039		315		374


Total New York				20,393


North Carolina — 0.1%

North Carolina Medical Care Commission, Retirement Facilities, Pennybyrn at Maryfield Project Series 2020A, Rev., 5.00%, 10/1/2040		355		408


North Dakota — 0.1%

University of North Dakota, Housing Infrastructure Project Series 2021A, COP, AGM, 4.00%, 6/1/2051		570		655


Ohio — 3.2%

Cleveland-Cuyahoga County, Port Authority Cultural Facility, Playhouse Square Foundation Project

Rev., 5.00%, 12/1/2033		1,000		1,188

Rev., 5.25%, 12/1/2038		500		596

County of Greene, Various Purpose Series 2007A, GO, AMBAC, 5.25%, 12/1/2028		45		56

County of Hamilton, Cincinnati City School District, Board of Education, Classroom Facilities Construction and Improvement GO, NATL-RE, 5.25%, 12/1/2025		185		223

County of Hardin, Economic Development Facilities Improvement, Ohio Northern University Rev., 5.00%, 5/1/2030		250		277

County of Ross, Adena Health System Obligated Group Project Rev., 5.00%, 12/1/2039		1,000		1,254

Northeast Ohio Medical University

Series 2021A, Rev., 3.00%, 12/1/2040		125		131

Series 2021A, Rev., 4.00%, 12/1/2045		120		136

Ohio Higher Educational Facility Commission, The Cleveland Institute of Art 2018 Project

Rev., 5.00%, 12/1/2028		500		581

Rev., 5.00%, 12/1/2033		270		312

Rev., 5.00%, 12/1/2038		685		782

Ohio Higher Educational Facility Commission, Tiffin University 2019 Project

Rev., 5.00%, 11/1/2034		2,875		3,352

Rev., 5.00%, 11/1/2039		4,890		5,645


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — continued

Ohio Higher Educational Facility Commission, University of Findlay 2019 Project Rev., 5.00%, 3/1/2034		2,000		2,376


Total Ohio				16,909


Oklahoma — 0.3%

Oklahoma Development Finance Authority, Health System, OU Medicine Project Series B, Rev., 5.00%, 8/15/2038		1,000		1,213

Tulsa Airports Improvement Trust Series A, Rev., AMT, 5.00%, 6/1/2025		420		471


Total Oklahoma				1,684


Oregon — 0.5%

Clackamas County Hospital Facility Authority, Mary’s Woods at Marylhurst Project

Series 2018A, Rev., 5.00%, 5/15/2038		220		241

Series 2018A, Rev., 5.00%, 5/15/2043		310		340

Clackamas County School District No. 7J Lake Oswego GO, AGM, 5.25%, 6/1/2025		165		195

Linn County Community School District No. 9 Lebanon GO, NATL-RE, 5.50%, 6/15/2030		20		27

Oregon State Facilities Authority, Samaritan Health Services Project, Tax-Exempt

Series 2020A, Rev., 5.00%, 10/1/2035		135		172

Series 2020A, Rev., 5.00%, 10/1/2040		585		731

Salem Hospital Facility Authority, Capital Manor Project Rev., 5.00%, 5/15/2038		1,000		1,160


Total Oregon				2,866


Pennsylvania — 7.5%

Aliquippa School District, Limited Tax

GO, 3.75%, 12/1/2033		2,000		2,267

GO, 3.88%, 12/1/2037		1,250		1,416

Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 4.00%, 4/1/2038		500		574

Allentown City School District, Limited Tax

Series C, GO, 4.00%, 2/1/2034		1,580		1,880

Series C, GO, 4.00%, 2/1/2035		1,000		1,187

Allentown Neighborhood Improvement Zone Development Authority, City Center Project

Rev., 5.00%, 5/1/2033 (b)		250		299

Rev., 5.00%, 5/1/2042 (b)		250		298

Berks County Industrial Development Authority, The Highlands at Wyomissing

Rev., 5.00%, 5/15/2033		500		569

Series 2017A, Rev., 5.00%, 5/15/2037		250		294


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Rev., 5.00%, 5/15/2038		500		566

Berks County Industrial Development Authority, Tower Health Project Rev., 5.00%, 11/1/2037		1,000		1,132

Bucks County Industrial Development Authority, Grand View Hospital Project Rev., 4.00%, 7/1/2046		890		1,014

Bucks County Industrial Development Authority, St. Luke’s University Health Network Project Rev., 4.00%, 8/15/2044		2,475		2,829

City of Erie Higher Education Building Authority Series 2021TT1, Rev., 4.00%, 5/1/2041		175		199

Cumberland County Municipal Authority, Asbury Pennsylvania Obligated Group Rev., 3.00%, 1/1/2024		1,000		1,028

Dallas Area Municipal Authority, Misericordia University Project

Rev., 3.25%, 5/1/2023		100		103

Rev., 5.00%, 5/1/2029		650		762

Rev., 5.00%, 5/1/2039		1,100		1,299

Franklin County Industrial Development Authority, Menno-Haven, Inc., Project

Rev., 5.00%, 12/1/2029		195		220

Rev., 5.00%, 12/1/2039		385		421

Rev., 5.00%, 12/1/2049		500		540

Lancaster County Hospital Authority, Health Care Facilities, Moravian Manors, Inc., Project

Series 2019A, Rev., 5.00%, 6/15/2032		545		629

Series 2019A, Rev., 5.00%, 6/15/2033		570		658

Series 2019A, Rev., 5.00%, 6/15/2038		1,110		1,273

Lancaster County Hospital Authority, St. Anne’s Retirement Community, Inc., Project

Rev., 5.00%, 3/1/2040		250		288

Rev., 5.00%, 3/1/2045		500		571

Rev., 5.00%, 3/1/2050		500		569

Luzerne County Industrial Development Authority Rev., AGM, 5.00%, 12/15/2024		70		80

Mercer County Industrial Development Authority, Thiel College Project Rev., 6.13%, 10/1/2050 (b)		2,665		3,031

Montgomery County Higher Education and Health Authority, Arcadia University

Rev., 5.00%, 4/1/2034		275		346

Rev., 4.00%, 4/1/2036		520		602

Rev., 4.00%, 4/1/2037		545		629

Rev., 4.00%, 4/1/2038		695		800

Rev., 4.00%, 4/1/2039		725		832


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Northampton County Industrial Development Authority, Morningstar Senior Living, Inc., Project Rev., 5.00%, 11/1/2039		1,000		1,153

Philadelphia Authority for Industrial Development, Independence Charter School West Project

Rev., 4.00%, 6/15/2029		360		393

Rev., 5.00%, 6/15/2039		500		556

Philadelphia Authority for Industrial Development, International Education and Community Initiatives Project Series 2018-A, Rev., 4.50%, 6/1/2029 (b)		700		799

Philadelphia Authority for Industrial Development, MAST Community Charter School II Project

Series 2020A, Rev., 5.00%, 8/1/2030		175		208

Series 2020A, Rev., 5.00%, 8/1/2040		315		386

School District of Philadelphia (The) Series B, GO, AGM, 4.00%, 9/1/2043		1,250		1,455

West Cornwall Township Municipal Authority, Pleasant View Retirement Community Project Rev., 5.00%, 12/15/2038		750		859

West Mifflin School District, Limited Tax

GO, 3.00%, 4/1/2034		1,000		1,100

GO, 3.00%, 4/1/2038		1,400		1,524

Wilkes-Barre Area School District

GO, 3.50%, 4/15/2038		370		415

GO, 3.50%, 4/15/2039		230		257

GO, 3.75%, 4/15/2044		1,000		1,126


Total Pennsylvania				39,436


Rhode Island — 0.1%

Rhode Island Commerce Corp. Series B, Rev., 5.00%, 7/1/2022		250		260

Rhode Island Student Loan Authority Series 2017A, Rev., AMT, 5.00%, 12/1/2024		100		114


Total Rhode Island				374


South Carolina — 1.3%

South Carolina Jobs-Economic Development Authority, Episcopal Home At Still Hopes Series 2018A, Rev., 5.00%, 4/1/2033		1,485		1,638

South Carolina Jobs-Economic Development Authority, Kiawah Life Plan Village, Inc., Project Rev., 8.75%, 7/1/2025 (b)		300		303

South Carolina Jobs-Economic Development Authority, Lowcountry Leadership Charter School Project

Series A, Rev., 4.00%, 12/1/2029 (b)		1,130		1,252

Series A, Rev., 5.00%, 12/1/2034 (b)		1,405		1,646


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


South Carolina — continued

Series A, Rev., 5.00%, 12/1/2039 (b)		1,795		2,074

South Carolina Jobs-Economic Development Authority, Woodlands at Furman Project Series 2020A, Rev., 5.00%, 11/15/2029		110		129


Total South Carolina				7,042


South Dakota — 0.1%

South Dakota Health and Educational Facilities Authority, Sanford Health Obligated Group Rev., 5.00%, 11/1/2045		500		580

South Dakota Housing Development Authority, Homeownership Mortgage Series 2012A, Rev., AMT, 4.50%, 5/1/2031		15		15


Total South Dakota				595


Tennessee — 1.9%

Chattanooga Health Educational and Housing Facility Board, Commonspirit Health Series A-1, Rev., 4.00%, 8/1/2044		1,000		1,151

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2021B, Rev., 4.00%, 10/1/2041		730		829

Metropolitan Nashville Airport Authority (The), Subordinate Airport Series 2019B, Rev., AMT, 5.00%, 7/1/2039		625		795

Nashville Metropolitan Development and Housing Agency, Tax Increment, Fifth Broadway Development Project

Rev., 4.50%, 6/1/2028 (b)		500		554

Rev., 5.13%, 6/1/2036 (b)		425		490

Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project

Series 2019A, Rev., 5.75%, 10/1/2049		1,000		1,083

Series 2019A, Rev., 5.75%, 10/1/2054		1,500		1,619

Series 2019A, Rev., 5.75%, 10/1/2059		3,350		3,593

Tennessee Housing Development Agency, Homeownership Program Series 1A, Rev., AMT, 4.50%, 1/1/2038		20		20


Total Tennessee				10,134


Texas — 5.9%

Arlington Higher Education Finance Corp. Series 2021A, Rev., 4.00%, 8/15/2041		305		336

Arlington Higher Education Finance Corp., Basis Texas Charter Schools, Inc. Series 2020A, Rev., 4.00%, 6/15/2040 (b)		1,810		1,866


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Arlington Higher Education Finance Corp., Newman International Academy

Rev., 5.00%, 8/15/2041		300		332

Rev., 5.00%, 8/15/2051		850		926

Arlington Higher Education Finance Corp., Winfree Academy Charter Schools

Series 2019A, Rev., 5.15%, 8/15/2029		420		475

Series 2019A, Rev., 5.75%, 8/15/2043		1,000		1,180

Baytown Municipal Development District, Baytown Convention Center Hotel, First Lien Series 2021A, Rev., 4.00%, 10/1/2050		875		966

Bexar County Health Facilities Development Corp., Army Retirement Residence Foundation Project Rev., 4.00%, 7/15/2045		940		991

City of Houston, Airport System, Subordinate Lien Series 2018D, Rev., 5.00%, 7/1/2028		355		455

City of Houston, Airport System, United Airlines, Inc., Terminal Project

Rev., AMT, 5.00%, 7/1/2029		2,500		2,740

Series 2021B-1, Rev., AMT, 4.00%, 7/15/2041		550		598

City of Houston, Combined Utility System, Capital Appreciation Series A, Rev., AGM, Zero Coupon, 12/1/2027 (d)		30		28

City of Temple, Reinvestment Zone Series A, Rev., 5.00%, 8/1/2028		895		1,004

Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 4.00%, 10/1/2050		550		606

Dallas Area Rapid Transit, Sales Tax, Senior Lien Rev., AMBAC, 5.25%, 12/1/2029		130		174

Danbury Higher Education Authority, Inc., Golden Rule Schools, Inc. Series 2019A, Rev., 5.00%, 8/15/2039		3,000		3,075

Matagorda County Navigation District No. 1, Pollution Control, Central Power and Light Co. Project Series 2001A, Rev., 2.60%, 11/1/2029		1,000		1,085

New Hope Cultural Education Facilities Finance Corp., Beta Academy

Series A, Rev., 3.38%, 8/15/2029 (b)		300		307

Series A, Rev., 5.00%, 8/15/2039 (b)		425		449

Series A, Rev., 5.00%, 8/15/2049 (b)		670		705

New Hope Cultural Education Facilities Finance Corp., Cityscape Schools, Inc.

Series A, Rev., 4.00%, 8/15/2029 (b)		330		380

Series A, Rev., 5.00%, 8/15/2039 (b)		610		710


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

New Hope Cultural Education Facilities Finance Corp., Legacy Midtown Park Project Series A, Rev., 5.50%, 7/1/2054		1,000		1,062

New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project

Series 2020A, Rev., 5.00%, 1/1/2035		865		973

Series 2020A, Rev., 5.00%, 1/1/2040		790		884

Series 2020A, Rev., 5.00%, 1/1/2055		2,000		2,220

New Hope Cultural Education Facilities Finance Corp., Presbyterian Village North Project Rev., 5.00%, 10/1/2039		1,000		1,098

New Hope Cultural Education Facilities Finance Corp., Quality Senior Housing Foundation Series A-1, Rev., 5.00%, 12/1/2039		1,420		1,599

New Hope Cultural Education Facilities Finance Corp., Wesleyan Homes, Inc., Project

Rev., 4.00%, 1/1/2029		300		312

Rev., 5.00%, 1/1/2039		205		220

Newark Higher Education Finance Corp., Austin Achieve Public Schools, Inc.

Rev., 4.25%, 6/15/2028		135		138

Rev., 5.00%, 6/15/2033		150		154

Rev., 5.00%, 6/15/2038		250		256

Permanent University Fund — University of Texas System Series B, Rev., 5.25%, 7/1/2028		140		182

San Antonio Education Facilities Corp., University of the Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2051		1,000		1,156

Tarrant County Cultural Education Facilities Finance Corp., Hospital, Cook Children’s Medical Center Series A, Rev., 5.25%, 12/1/2039		170		187

Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project Series 2020A, Rev., 6.25%, 11/15/2031		500		597

Uptown Development Authority, Tax Increment Contract Rev., 4.00%, 9/1/2035		500		597


Total Texas				31,023


Utah — 3.0%

Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area

Series 2020B, 6.25%, 8/1/2030 (b)		1,000		1,033

Series 2020A, 4.50%, 8/1/2040		1,000		1,143

4.00%, 8/1/2050 (b)		1,750		1,845

Military Installation Development Authority, Tax Allocation Series 2021A-2, Rev., 4.00%, 6/1/2036		750		789


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Utah — continued

Military Installation Development Authority, Tax Allocation and Hotel Tax

Series 2021A-1, Rev., 4.00%, 6/1/2036		500		531

Series 2021A-1, Rev., 4.00%, 6/1/2041		500		524

Utah Charter School Finance Authority, Mountain West Montessori Academy Project

Series 2020A, Rev., 3.13%, 6/15/2029 (b)		650		690

Series 2020A, Rev., 5.00%, 6/15/2039 (b)		475		545

Series 2020A, Rev., 5.00%, 6/15/2049 (b)		825		931

Utah Charter School Finance Authority, Summit Academy Incorporated

Series A, Rev., 4.00%, 4/15/2032		250		290

Series A, Rev., 4.00%, 4/15/2033		260		299

Series A, Rev., 5.00%, 4/15/2034		235		287

Series A, Rev., 5.00%, 4/15/2039		700		845

Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project

Series 2021A, Rev., 5.00%, 6/15/2041 (b)		870		1,015

Series 2021A, Rev., 5.00%, 6/15/2052 (b)		1,295		1,486

Utah Infrastructure Agency, Tax-Exempt Telecommunications

Rev., 4.00%, 10/15/2033		500		585

Rev., 4.00%, 10/15/2036		500		579

Rev., 4.00%, 10/15/2039		700		803

Rev., 4.00%, 10/15/2041		250		290

Rev., 4.00%, 10/15/2042		475		542

Utah Transit Authority, Sales Tax

Series C, Rev., AGM, 5.25%, 6/15/2025		40		47

Series 2006C, Rev., AGM, 5.25%, 6/15/2032		450		617


Total Utah				15,716


Vermont — 0.1%

Vermont Student Assistance Corp., Education Loan

Series A, Rev., AMT, 4.00%, 6/15/2032		125		133

Series A, Rev., AMT, 4.00%, 6/15/2033		155		164

Series 2018A, Rev., AMT, 4.00%, 6/15/2034		130		138


Total Vermont				435


Virginia — 3.4%

Chesapeake Hospital Authority, Regional Medical Center

Rev., 4.00%, 7/1/2035		1,000		1,176

Rev., 4.00%, 7/1/2036		1,175		1,378

Rev., 4.00%, 7/1/2037		1,205		1,410


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Virginia — continued

Danville Industrial Development Authority, Averett University Series A, Rev., 4.75%, 10/1/2032		760		817

Fredericksburg Economic Development Authority, Stadium Project

Series B, Rev., 6.13%, 9/1/2029 (b)		1,810		1,809

Series B, Rev., 7.00%, 9/1/2044 (b)		1,000		998

Norfolk Redevelopment and Housing Authority, Fort Norfolk Retirement Community, Harbors Edge Project

Series 2019A, Rev., 5.00%, 1/1/2034		1,000		1,095

Series 2019A, Rev., 4.38%, 1/1/2039		1,400		1,509

Roanoke County Economic Development Authority, Residential Care Facility, Richfield Living

Series 2019A, Rev., 4.75%, 9/1/2029		1,000		1,003

Series 2020, Rev., 4.30%, 9/1/2030		770		745

Series 2019A, Rev., 5.00%, 9/1/2034		2,000		2,014

Series 2020, Rev., 5.00%, 9/1/2040		1,640		1,614

Roanoke Economic Development Authority, Carilion Clinic Obligated Group Series 2020A, Rev., 5.00%, 7/1/2047		1,550		2,378

Virginia Resources Authority, Infrastructure Pooled Financing Program Series 2011A, Rev., 5.00%, 11/1/2021 (d)		70		71


Total Virginia				18,017


Washington — 2.8%

Pend Oreille County, Public Hospital District No. 1, Unlimited Tax

GO, 5.00%, 12/1/2033		1,000		1,156

GO, 5.00%, 12/1/2038		1,255		1,438

Pend Oreille County, Public Utility District No. 1, Box Canyon Production System Rev., 5.00%, 1/1/2039		2,605		3,060

Washington Health Care Facilities Authority, Commonspirit Health Series A-1, Rev., 4.00%, 8/1/2044		1,000		1,151

Washington Higher Education Facilities Authority, Seattle University Project

Rev., 3.50%, 5/1/2039		300		334

Rev., 3.63%, 5/1/2040		800		897

Rev., 4.00%, 5/1/2045		500		578

Washington State Housing Finance Commission, Judson Park Project

Rev., 4.00%, 7/1/2028 (b)		535		573

Rev., 5.00%, 7/1/2033 (b)		535		588

Rev., 5.00%, 7/1/2038 (b)		300		327


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Washington — continued

Washington State Housing Finance Commission, The Heart Stone Project

Series 2018A, Rev., 4.50%, 7/1/2028 (b)		965		1,074

Series 2018A, Rev., 5.00%, 7/1/2038 (b)		825		915

Washington State Housing Finance Commission, Transforming Age Projects

Series 2019A, Rev., 5.00%, 1/1/2034 (b)		745		862

Series 2019A, Rev., 5.00%, 1/1/2039 (b)		1,495		1,715


Total Washington				14,668


West Virginia — 0.6%

West Virginia Hospital Finance Authority, Charleston Area Medical Center, Inc.

Series 2019A, Rev., 5.00%, 9/1/2038		1,250		1,542

Series 2019A, Rev., 5.00%, 9/1/2039		1,400		1,724


Total West Virginia				3,266


Wisconsin — 6.2%

Public Finance Authority, Blue Ridge Healthcare Facilities

Series 2020A, Rev., 4.00%, 1/1/2045		750		861

Series 2020A, Rev., 3.00%, 1/1/2050		750		791

Public Finance Authority, Carson Valley Medical Center Series 2021A, Rev., 4.00%, 12/1/2041		500		585

Public Finance Authority, Cedars Obligated Group, Cedars Obligated Group Rev., 4.25%, 5/1/2029 (b)		960		964

Public Finance Authority, Community School of Davidson Project

Rev., 3.75%, 10/1/2023		155		158

Rev., 5.00%, 10/1/2033		775		905

Public Finance Authority, Coral Academy of Science Reno

Series 2019A, Rev., 5.00%, 6/1/2029 (b)		370		416

Series 2019A, Rev., 5.00%, 6/1/2039 (b)		710		782

Public Finance Authority, ENO River Academy Project

Series 2020A, Rev., 4.00%, 6/15/2030 (b)		235		263

Series 2020A, Rev., 5.00%, 6/15/2040 (b)		410		476

Series 2020A, Rev., 5.00%, 6/15/2054 (b)		685		782

Public Finance Authority, First Mortgage Southminster, Inc. Rev., 4.25%, 10/1/2038 (b)		2,000		2,034

Public Finance Authority, Minnesota College of Osteopathic Medicine

Series 2019A-1, Rev., 5.50%, 12/1/2048 (b) (f)		17		9


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wisconsin — continued

Series 2019A-2, Rev., 7.25%, 12/1/2048 (b) (f)		46		23

Public Finance Authority, Piedmont Community Charter School

Rev., 5.00%, 6/15/2027		160		190

Rev., 5.00%, 6/15/2028		505		610

Rev., 5.00%, 6/15/2034		215		258

Rev., 5.00%, 6/15/2039		390		463

Rev., 5.00%, 6/15/2049		1,000		1,166

Public Finance Authority, Presbyterian Villages of Michigan Obligated Group Rev., 4.00%, 11/15/2042 (b)		3,955		4,064

Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (b)		800		733

Public Finance Authority, Roseman University of Health Sciences Project

Rev., 5.00%, 4/1/2030 (b)		500		610

Rev., 5.00%, 4/1/2040 (b)		2,155		2,602

Public Finance Authority, Sky Harbour Capital LLC Rev., AMT, 4.25%, 7/1/2054 (g)		1,000		1,023

Public Finance Authority, Ultimate Medical Academy Project

Series 2019A, Rev., 5.00%, 10/1/2028 (b)		2,000		2,462

Series 2019A, Rev., 5.00%, 10/1/2029 (b)		1,850		2,320

Series 2019A, Rev., 5.00%, 10/1/2034 (b)		500		613

Public Finance Authority, Wilson Preparatory Academy

Series 2019A, Rev., 4.13%, 6/15/2029 (b)		475		515

Series 2019A, Rev., 5.00%, 6/15/2039 (b)		500		552

Series 2019A, Rev., 5.00%, 6/15/2049 (b)		1,100		1,203

Wisconsin Health and Educational Facilities Authority, Rogers Memorial Hospital, Inc.

Series B, Rev., 5.00%, 7/1/2038		150		177

Series A, Rev., 5.00%, 7/1/2044		210		247

Wisconsin Health and Educational Facilities Authority, St. Camillus Health System

Series 2019A, Rev., 5.00%, 11/1/2026		355		394

Series 2019A, Rev., 5.00%, 11/1/2027		370		415

Series 2019A, Rev., 5.00%, 11/1/2028		470		528

Series 2019A, Rev., 5.00%, 11/1/2029		315		353

Series 2019A, Rev., 5.00%, 11/1/2030		515		575

Wisconsin Health and Educational Facilities Authority, St. John’s Communities, Inc., Project Series A, Rev., 4.25%, 9/15/2035		1,500		1,582


Total Wisconsin				32,704


Total Municipal Bonds (Cost $490,360)				523,418


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — 0.0%

Southcross Holdco Equity 0.00%, 7/9/2070 ‡ (Cost $11)		3		—

	SHARES (000)
Short-Term Investments — 0.8%

Investment Companies — 0.8%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (h) (i) (Cost $4,342)		4,341		4,342

Total Investments — 99.9% (Cost $494,713)				527,760
Other Assets Less Liabilities — 0.1%				505

NET ASSETS — 100.0%				528,265

Percentages indicated are based on net assets.

Abbreviations


AGC		Insured by Assured Guaranty Corp.
AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
BHAC		Insured by Berkshire Hathaway Assurance Corp.
COP		Certificate of Participation
CR		Custodial Receipts
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
GTD		Guaranteed
NATL		Insured by National Public Finance Guarantee Corp.
RE		Reinsured
Rev.		Revenue

(a)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 97.2% (a)

Alabama — 3.2%

Alabama Federal Aid Highway Finance Authority

Rev., 5.00%, 9/1/2023		20		22

Series B, Rev., 5.00%, 9/1/2023		30		33

Series A, Rev., 5.00%, 9/1/2032		25		31

Alabama Public School and College Authority, Capital Improvement

Series 2014-B, Rev., 5.00%, 1/1/2023		50		53

Series 2014-A, Rev., 5.00%, 2/1/2025		2,000		2,229

Series 2019A, Rev., 4.00%, 5/1/2033		85		103

Alabama Special Care Facilities Financing Authority-Birmingham, Children’s Hospital Health Care Facility Rev., 5.00%, 6/1/2023		115		125

Birmingham Airport Authority

Rev., 5.00%, 7/1/2028		350		447

Rev., 5.00%, 7/1/2029		375		491

Rev., 5.00%, 7/1/2030		250		334

Rev., 5.00%, 7/1/2031		175		232

Rev., 5.00%, 7/1/2032		150		198

Black Belt Energy Gas District, Gas Prepay Series 2018A, Rev., 4.00%, 12/1/2023 (b)		5,500		5,920

City of Birmingham, Warrant

Series 2018B, GO, 4.00%, 12/1/2032		570		681

Series 2018B, GO, 4.00%, 12/1/2033		375		447

Series 2018B, GO, 4.00%, 12/1/2034		510		607

Series 2018B, GO, 4.00%, 12/1/2035		500		594

City of Huntsville, Electric System, Warrants Series A, Rev., 5.00%, 12/1/2023		35		39

City of Huntsville, Warrants

Series A, GO, 5.00%, 5/1/2030		2,765		3,454

Series A, GO, 5.00%, 5/1/2031		3,035		3,790

Series 2018-A, GO, 5.00%, 5/1/2033		70		87

City of Madison, Warrants GO, 5.00%, 4/1/2023		25		27

County of Mobile, Warrants

Series C, GO, 5.00%, 8/1/2022 (c)		25		26

GO, 5.00%, 2/1/2033		25		32

Infirmary Health System Special Care Facilities Financing Authority of Mobile, Infirmary Health System, Inc. Series 2016A, Rev., 5.00%, 2/1/2025		320		367

Lower Alabama Gas District (The) Rev., 4.00%, 12/1/2025 (b)		32,500		37,024

Montgomery County Public Building Authority, Facilities Project

Rev., 5.00%, 3/1/2024 (c)		7,500		8,404

Rev., 5.00%, 3/1/2026		1,735		1,935


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Alabama — continued

Shelby County Board of Education, Special Tax 5.00%, 2/1/2025		50		58

Southeast Alabama Gas Supply District (The), Project No. 1

Series 2018A, Rev., 4.00%, 4/1/2024 (b)		34,000		36,945

Series A, Rev., 5.00%, 4/1/2024		20,845		23,363

Southeast Alabama Gas Supply District (The), Project No. 2 Series 2018A, Rev., 4.00%, 6/1/2024 (b)		16,015		17,503

UAB Medicine Finance Authority Series 2019B, Rev., 5.00%, 9/1/2035		55		71

University of West Alabama, General Fee

Rev., AGM, 5.00%, 1/1/2028		200		247

Rev., AGM, 5.00%, 1/1/2029		200		252

Rev., AGM, 5.00%, 1/1/2030		200		256

Water Works Board of the City of Birmingham (The) Series 2016A, Rev., 5.00%, 1/1/2030		150		184


Total Alabama				146,611


Alaska — 0.4%

Alaska Housing Finance Corp., State Capital Project Series 2019B, Rev., 5.00%, 6/1/2026		20		24

Alaska Industrial Development and Export Authority, Providence Health & Services Series 2011A, Rev., 5.50%, 10/1/2041		9,000		9,035

Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project

Series 2019A, Rev., 5.00%, 10/1/2024		800		906

Series 2019A, Rev., 5.00%, 10/1/2025		1,325		1,548

Series 2019A, Rev., 5.00%, 10/1/2026		1,385		1,666

Series 2019A, Rev., 5.00%, 10/1/2027		1,455		1,789

Series 2019A, Rev., 5.00%, 10/1/2028		1,530		1,918

Municipality of Anchorage Series C, GO, 5.00%, 9/1/2028		1,675		2,158


Total Alaska				19,044


Arizona — 1.9%

Arizona Department of Transportation State Highway Fund Rev., 5.00%, 7/1/2031		25		30

Arizona Industrial Development Authority, Aliante & Skye Canyon Campus Project

Series 2021A, Rev., 3.00%, 12/15/2031 (d)		265		280

Series 2021A, Rev., 4.00%, 12/15/2041 (d)		250		277

Arizona Industrial Development Authority, Children’s National Medical Center

Series 2020A, Rev., 4.00%, 9/1/2035		200		241


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Arizona — continued

Series 2020A, Rev., 4.00%, 9/1/2036		355		426

Series 2020A, Rev., 4.00%, 9/1/2037		820		985

Series 2020A, Rev., 4.00%, 9/1/2039		810		963

Series 2020A, Rev., 4.00%, 9/1/2046		2,750		3,194

Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project

Series 2021A, Rev., 4.00%, 7/15/2026 (d)		115		129

Series 2021A, Rev., 4.00%, 7/15/2027 (d)		120		136

Series 2021A, Rev., 4.00%, 7/15/2028 (d)		200		229

Series 2021A, Rev., 4.00%, 7/15/2029 (d)		200		231

Series 2021A, Rev., 4.00%, 7/15/2030 (d)		200		229

Series 2021A, Rev., 4.00%, 7/15/2031 (d)		215		244

Series 2021A, Rev., 4.00%, 7/15/2032 (d)		225		254

Series 2021A, Rev., 4.00%, 7/15/2033 (d)		180		203

Series 2021A, Rev., 4.00%, 7/15/2034 (d)		200		225

Series 2021A, Rev., 4.00%, 7/15/2035 (d)		250		280

Series 2021A, Rev., 4.00%, 7/15/2037 (d)		270		303

Series 2021A, Rev., 4.00%, 7/15/2041 (d)		135		150

Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project

Series 2019A, Rev., 5.00%, 1/1/2022		675		679

Series 2019A, Rev., 5.00%, 1/1/2023		610		624

Series 2019A, Rev., 5.00%, 1/1/2024		1,475		1,526

Series 2019A, Rev., 5.00%, 1/1/2025		1,800		1,879

Series 2019A, Rev., 5.00%, 1/1/2026		1,875		1,969

Series 2019A, Rev., 5.00%, 1/1/2027		1,850		1,949

Series 2019A, Rev., 5.00%, 1/1/2028		1,500		1,581

Series 2019A, Rev., 5.00%, 1/1/2029		660		692

Series 2019A, Rev., 5.00%, 1/1/2030		3,670		3,856

Series 2019A, Rev., 4.00%, 1/1/2031		4,100		4,012

Series 2019A, Rev., 4.00%, 1/1/2032		4,265		4,149

Series 2019A, Rev., 4.00%, 1/1/2033		4,440		4,291

Series 2019A, Rev., 5.00%, 1/1/2034		1,770		1,860

Series 2019A, Rev., 5.00%, 1/1/2035		2,285		2,401

Series 2019A, Rev., 5.00%, 1/1/2036		1,835		1,928

Series 2019A, Rev., 5.00%, 1/1/2037		500		524

Series 2019A, Rev., 5.00%, 1/1/2038		500		524

Series 2019A, Rev., 4.25%, 1/1/2039		545		544

Series 2019A, Rev., 4.25%, 1/1/2040		1,320		1,318

Series 2019A, Rev., 5.00%, 1/1/2043		1,750		1,839

Arizona Industrial Development Authority, Macombs Facility Project

Series 2021A, Rev., 5.00%, 7/1/2032		165		214

Series 2021A, Rev., 5.00%, 7/1/2033		160		206

Series 2021A, Rev., 4.00%, 7/1/2034		165		196


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Arizona — continued

Series 2021A, Rev., 4.00%, 7/1/2035		180		213

Series 2021A, Rev., 4.00%, 7/1/2036		155		183

Series 2021A, Rev., 4.00%, 7/1/2041		365		426

Arizona Industrial Development Authority, Pebble Campus Project

Series 2020A, Rev., 4.00%, 7/15/2030 (d)		250		280

Series 2020A, Rev., 5.00%, 7/15/2040 (d)		415		477

Arizona State University

Series 2017B, Rev., 5.00%, 7/1/2034		920		1,125

Series 2017B, Rev., 5.00%, 7/1/2035		1,000		1,220

Arizona State University, Green Bonds Series 2016B, Rev., 5.00%, 7/1/2042		30		36

Arizona Transportation Board, Excise Tax, Maricopa County Regional Area Road Fund Rev., 5.00%, 7/1/2023		95		103

Arizona Water Infrastructure Finance Authority, Water Quality Series 2014A, Rev., 5.00%, 10/1/2026		5,910		6,766

City of Cottonwood Rev., AGM, 5.00%, 7/1/2026		10		12

City of Glendale, Water and Sewer Rev., 5.00%, 7/1/2028		1,000		1,039

City of Mesa GO, 4.00%, 7/1/2033		30		36

City of Mesa, Utility System

Series 2019C, Rev., 5.00%, 7/1/2023		30		33

Series 2019A, Rev., 5.00%, 7/1/2029		40		52

Rev., 4.00%, 7/1/2031		50		58

Series 2019A, Rev., 5.00%, 7/1/2031		25		32

Series 2019A, Rev., 5.00%, 7/1/2033		25		32

City of Phoenix Civic Improvement Corp., Civic Plaza Expansion Series 2005B, Rev., BHAC-CR, FGIC, 5.50%, 7/1/2035		75		111

City of Phoenix Civic Improvement Corp., Junior Lien, Airport System

Rev., 5.00%, 7/1/2022		25		26

Rev., 5.00%, 7/1/2023		25		27

Series 2017D, Rev., 5.00%, 7/1/2024		275		312

Series 2017D, Rev., 5.00%, 7/1/2029		190		235

City of Phoenix Civic Improvement Corp., Senior Lien, Airport System

Series 2017B, Rev., 5.00%, 7/1/2027		150		188

Rev., AMT, 5.00%, 7/1/2037		1,000		1,240

City of Scottsdale, Water and Sewer System Rev., 5.25%, 7/1/2023		1,875		2,051

City of Surprise Rev., 5.00%, 7/1/2025		20		24

County of Pima Series 2020A, COP, 5.00%, 12/1/2021		25		25


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Arizona — continued

County of Pima, Sewer System Rev., 5.00%, 7/1/2023		30		33

County of Pinal Rev., 4.00%, 8/1/2037		75		88

Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project

Series 2018A, Rev., 5.00%, 7/1/2028		700		869

Series 2018A, Rev., 5.00%, 7/1/2029		1,300		1,604

Industrial Development Authority of The County of Yavapai, Regional Medical Center Series A, Rev., 5.25%, 8/1/2033		1,000		1,089

Kyrene Elementary School District No. 28, School Improvement Project Series 2019A, GO, 5.00%, 7/1/2029		55		70

Maricopa County Elementary School District No. 92 Pendergast Elementary, School Improvement, Project of 2016 Series 2016A, GO, 5.00%, 7/1/2023		20		22

Maricopa County High School District No. 214 Tolleson Union High School, School Improvement, Project of 2017 Series 2017B, GO, 5.00%, 7/1/2026		20		24

Maricopa County Industrial Development Authority, HonorHealth

Series 2019A, Rev., 5.00%, 9/1/2033		500		632

Series 2019A, Rev., 5.00%, 9/1/2034		1,000		1,261

Series 2019A, Rev., 5.00%, 9/1/2035		1,000		1,259

Maricopa County Industrial Development Authority, Ottawa University

Rev., 5.00%, 10/1/2026 (d)		150		161

Rev., 5.13%, 10/1/2030 (d)		215		244

Maricopa County Special Health Care District, Integrated Health Services

Series 2018C, GO, 5.00%, 7/1/2031		25		32

Series 2018C, GO, 5.00%, 7/1/2033		25		31

Maricopa County Unified School District No. 4 Mesa, School Improvement, Project of 2018 Series 2019A, GO, 5.00%, 7/1/2028		25		32

Maricopa County Unified School District No. 48 Scottsdale, School Improvement, Project of 2016 Series 2017B, GO, 5.00%, 7/1/2031		25		31

Maricopa County Unified School District No. 95, Queen Creek, School Improvement

GO, 5.00%, 7/1/2028		225		267

GO, 5.00%, 7/1/2029		500		593

Maricopa County Unified School District No. 97 Deer Valley, School Improvement, Project of 2013 Series 2019E, GO, 5.00%, 7/1/2027		50		63


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Arizona — continued

Maricopa County Unified School District No. 9-Wickenburg, School Improvement Series 2017A, GO, AGM, 4.00%, 7/1/2023		50		53

Maricopa County Union High School District No. 216 Agua Fria, School Improvement

GO, 4.00%, 7/1/2034		50		60

GO, 4.00%, 7/1/2036		90		108

Mohave County Unified School District No. 1 Lake Havasu, School Improvement, Project of 2016 Series 2017A, GO, 4.00%, 7/1/2030		30		35

Pima County Community College District Rev., 5.00%, 7/1/2030		60		76

Pima County Elementary School District No. 39 Continental, School Improvement, Project of 2010 Series B, GO, AGM, 3.75%, 7/1/2029		20		21

Pinal County School District No. 1 Florence GO, 5.00%, 7/1/2023		70		76

Regional Public Transportation Authority, Transportation Excise Tax, Maricopa County Public Transportation Fund Rev., 5.25%, 7/1/2025		1,000		1,141

Salt River Project Agricultural Improvement and Power District, Arizona Salt River Project

Series 2011A, Rev., 5.00%, 12/1/2022		70		71

Series A, Rev., 5.00%, 12/1/2028		1,005		1,017

Series 2016A, Rev., 5.00%, 1/1/2036		7,000		8,475

Series 2019A, Rev., 5.00%, 1/1/2037		55		72

Scottsdale Municipal Property Corp., Excise Tax Rev., 5.00%, 7/1/2026		1,570		1,912

University of Arizona (The)

Series 2012A, Rev., 5.00%, 6/1/2022		1,000		1,035

Rev., 5.00%, 6/1/2026		10		11

University of Arizona (The), Stimulus Plan for Economic and Educational Development Series 2020A, Rev., 5.00%, 8/1/2036		75		98


Total Arizona				86,798


Arkansas — 0.0% (e)

State of Arkansas, Federal Highway GO, 5.00%, 10/1/2025		10		11

University of Arkansas, Various Facility Fayetteville Campus Series 2014A, Rev., 4.50%, 11/1/2026		45		51


Total Arkansas				62


California — 10.1%

Alameda County Joint Powers Authority, Multiple Capital Projects

Series 2013A, Rev., 5.25%, 12/1/2025		75		83


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Series 2013A, Rev., 5.25%, 12/1/2027		50		56

Anaheim Union High School District

GO, 5.00%, 8/1/2022		25		26

GO, 5.00%, 8/1/2025		65		74

Antelope Valley Union High School District GO, 4.00%, 8/1/2022		55		57

Arcadia Unified School District GO, 4.00%, 8/1/2038		9,385		10,573

Banning Unified School District GO, AGM, 5.00%, 8/1/2027		100		121

Bay Area Toll Authority, Toll Bridge

Series 2017S-7, Rev., 4.00%, 4/1/2033		35		41

Series 2019S-H, Rev., 5.00%, 4/1/2044		50		63

Bay Area Water Supply and Conservation Agency, Capital Cost Recovery Prepayment Program Series 2013 A, Rev., 5.00%, 10/1/2026		60		65

Belmont Joint Powers Financing Authority Rev., 5.00%, 8/1/2024		20		23

Beverly Hills Unified School District, Election of 2008 GO, 5.00%, 8/1/2026		30		35

Brentwood Union School District, Election of 2016 GO, 5.00%, 8/1/2031		20		24

California Community College Financing Authority, West Valley Mission Community College District Rev., 5.00%, 6/1/2025 (c)		55		65

California Community Housing Agency, Glendale Properties Series 2021A-2, Rev., 4.00%, 8/1/2046 (d)		2,965		3,282

California County Tobacco Securitization Agency, Los Angeles County Securitization Corp.

Series 2020A, Rev., 5.00%, 6/1/2024		350		395

Series 2020A, Rev., 5.00%, 6/1/2027		400		498

Series 2020A, Rev., 5.00%, 6/1/2029		400		522

Series 2020A, Rev., 5.00%, 6/1/2030		250		333

Series 2020A, Rev., 5.00%, 6/1/2031		250		331

Series 2020A, Rev., 5.00%, 6/1/2032		250		330

Series 2020A, Rev., 5.00%, 6/1/2033		300		395

Series 2020A, Rev., 4.00%, 6/1/2034		200		246

California Educational Facilities Authority, Claremont McKenna College

Series 2015A, Rev., 5.00%, 1/1/2028		1,000		1,188

Series 2015A, Rev., 5.00%, 1/1/2029		880		1,043

Series 2015A, Rev., 5.00%, 1/1/2030		1,185		1,402

Series 2015A, Rev., 5.00%, 1/1/2031		2,450		2,897

Series 2015A, Rev., 5.00%, 1/1/2032		2,000		2,363

Series 2015A, Rev., 4.00%, 1/1/2033		3,000		3,393


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

California Educational Facilities Authority, Pepperdine University Rev., 5.00%, 9/1/2022 (c)		315		330

California Educational Facilities Authority, Santa Clara University Series 2017B, Rev., 5.00%, 4/1/2035		80		98

California Health Facilities Financing Authority, Cedars-Sinai Medical Center

Series A, Rev., 5.00%, 8/15/2026		45		55

Rev., 5.00%, 11/15/2027		6,250		7,457

California Health Facilities Financing Authority, Children’s Hospital Series 2019A, Rev., 5.00%, 11/1/2024		30		35

California Health Facilities Financing Authority, Kaiser Permanente Series 2017A, Subseries 2017A-2, Rev., 4.00%, 11/1/2038		4,000		4,679

California Health Facilities Financing Authority, Memorial Health Service Series 2012A, Rev., 5.00%, 10/1/2026		1,500		1,577

California Health Facilities Financing Authority, On Lok Senior Health Service

Rev., 3.00%, 8/1/2024		100		107

Rev., 3.00%, 8/1/2025		50		55

Rev., 3.00%, 8/1/2027		150		168

Rev., 3.00%, 8/1/2028		130		147

Rev., 3.00%, 8/1/2029		150		171

Rev., 5.00%, 8/1/2040		600		754

California Health Facilities Financing Authority, Sutter Health

Series 2016A, Rev., 3.25%, 11/15/2025 (c)		1,425		1,600

Series 2016A, Rev., 5.00%, 11/15/2025 (c)		1,550		1,855

Series 2017A, Rev., 5.00%, 11/15/2031		110		138

Series 2017A, Rev., 5.00%, 11/15/2032		25		31

Series 2017A, Rev., 5.00%, 11/15/2033		50		62

Series 2018A, Rev., 5.00%, 11/15/2035		25		31

Series 2018A, Rev., 5.00%, 11/15/2036		35		44

California Infrastructure & Economic Development Bank, Academy of Motion Picture Arts & Sciences Obligated Group Series 2015A, Rev., 5.00%, 11/1/2026		1,000		1,103

California Infrastructure & Economic Development Bank, Clean Water State Revolving Fund Rev., 5.00%, 10/1/2032		25		31

California Infrastructure & Economic Development Bank, Clean Water State Revolving Fund, Green Bond Rev., 5.00%, 10/1/2026		60		73


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

California Infrastructure & Economic Development Bank, Independent System Operator Corp. Project Rev., 5.00%, 2/1/2023 (c)		15		16

California Infrastructure & Economic Development Bank, Infrastructure State Revolving Fund

Series 2015A, Rev., 5.00%, 10/1/2021 (c)		50		50

Series 2015A, Rev., 5.00%, 10/1/2025 (c)		185		220

California Municipal Finance Authority, California Lutheran University

Rev., 5.00%, 10/1/2026		150		181

Rev., 5.00%, 10/1/2027		150		185

Rev., 5.00%, 10/1/2028		150		189

California Municipal Finance Authority, Civic Center Infrastructure Improvement Program

Rev., 5.00%, 6/1/2023		80		87

Rev., 5.00%, 6/1/2027		75		93

California Municipal Finance Authority, Community Medical Centers

Series 2017A, Rev., 5.00%, 2/1/2028		900		1,104

Series 2017A, Rev., 5.00%, 2/1/2029		1,250		1,530

California Municipal Finance Authority, Electric Utility Distribution System Rev., 5.00%, 10/1/2022		25		26

California Municipal Finance Authority, Linxs Apartments Project, Senior Lien

Series 2018A, Rev., AMT, AGM, 3.25%, 12/31/2032		6,680		7,322

Series 2018A, Rev., AMT, AGM, 3.50%, 12/31/2035		4,555		5,031

California Public Finance Authority, Enso Village Project, Green Bond

Series 2021B-3, Rev., 2.13%, 11/15/2027 (d)		1,490		1,509

Series 2021B-2, Rev., 2.38%, 11/15/2028 (d)		1,800		1,827

Series 2021B-1, Rev., 3.13%, 5/15/2029 (d)		400		407

Series 2021A, Rev., 5.00%, 11/15/2036 (d)		400		478

Series 2021A, Rev., 5.00%, 11/15/2046 (d)		525		612

California Public Finance Authority, Henry Mayo Newhall Hospital

Rev., 4.00%, 10/15/2025		250		283

Rev., 4.00%, 10/15/2026		415		480


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Rev., 4.00%, 10/15/2027		400		471

Rev., 4.00%, 10/15/2028		360		430

Rev., 5.00%, 10/15/2029		700		841

Rev., 5.00%, 10/15/2030		500		599

Rev., 4.00%, 10/15/2031 (b)		345		418

Rev., 5.00%, 10/15/2031		535		640

California School Finance Authority, Kipp Socal Projects Series 2020A, Rev., 4.00%, 7/1/2040 (d)		505		586

California State Public Works Board, California State University, Various Capital Projects Series C, Rev., 5.00%, 3/1/2032		3,025		3,721

California State Public Works Board, California State University, Various University Projects Series 2013H, Rev., 5.00%, 9/1/2023 (c)		13,405		14,707

California State Public Works Board, State Office Buildings

Series F, Rev., 5.00%, 5/1/2026		3,100		3,625

Series F, Rev., 5.00%, 5/1/2027		5,000		5,840

California State University, Systemwide

Series 2012A, Rev., 4.00%, 11/1/2022 (c)		145		152

Series 2017A, Rev., 5.00%, 11/1/2034		2,875		3,546

Series 2016A, Rev., 5.00%, 11/1/2045		30		36

California Statewide Communities Development Authority, Emanate Health, Tax-Exempt

Series 2020A, Rev., 5.00%, 4/1/2031		365		478

Series 2020A, Rev., 5.00%, 4/1/2032		900		1,174

Series 2020A, Rev., 5.00%, 4/1/2033		2,880		3,745

Series 2020A, Rev., 5.00%, 4/1/2034		1,910		2,475

Series 2020A, Rev., 5.00%, 4/1/2035		650		840

Calleguas Municipal Water District Series 2016A, Rev., 5.00%, 7/1/2023		35		38

Capistrano Unified School District Community Facilities District No. 90-2, Special Tax Rev., AGM, 4.00%, 9/1/2023		35		38

Castaic Lake Water Agency, Capital Appreciation, Water System Improvement Project Series 1999A, COP, AMBAC, Zero Coupon, 8/1/2025		10,445		10,175

Central Unified School District GO, 5.00%, 8/1/2025		110		130

Cerritos Community College District Series A, GO, 5.00%, 8/1/2029		45		51

Chaffey Community College District GO, 5.00%, 6/1/2022		25		26

Chino Valley Unified School District GO, 5.00%, 8/1/2022		60		63


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Chula Vista Municipal Financing Authority

Rev., 5.00%, 5/1/2022		40		42

Rev., 5.00%, 5/1/2025		15		17

Citrus Community College District Series A, GO, 5.00%, 8/1/2023		20		22

City of Alameda GO, 4.00%, 8/1/2033		10		11

City of Brea, Water Utility

Rev., 5.00%, 7/1/2025		25		30

Rev., 5.00%, 7/1/2028		90		116

City of Gilroy, Wastewater Rev., 5.00%, 8/1/2022		55		57

City of Los Alamitos COP, 5.00%, 10/1/2023		25		27

City of Los Angeles Department of Airports, International Airport Senior Series A, Rev., AMT, 5.00%, 5/15/2028		135		157

City of Los Angeles Department of Airports, International Airport Subordinate Series 2019C, Rev., 5.00%, 5/15/2033		45		58

City of Los Angeles, Wastewater System

Subseries B, Rev., 5.00%, 6/1/2023		120		130

Series 2013A, Rev., 5.00%, 6/1/2026		12,500		13,564

Series C, Rev., 5.00%, 6/1/2026		2,000		2,072

City of Oakland Series 2015A, GO, 5.00%, 1/15/2023		25		27

City of Pasadena Series 2016A, Rev., 5.00%, 6/1/2031		25		30

City of Richmond, Wastewater Series 2019B, Rev., 5.00%, 8/1/2023		40		44

City of San Francisco, Public Utilities Commission Subseries A, Rev., 5.00%, 11/1/2035		1,500		1,826

City of San Jose, Disaster Preparedness, Public Safety and Infrastructure Series A-1, GO, 5.00%, 9/1/2036		25		32

City of San Jose, Libraries, Parks and Public Safety Projects

Series 2019C, GO, 5.00%, 9/1/2028		50		65

Series 2019C, GO, 5.00%, 9/1/2032		100		130

City of Santa Rosa, Wastewater

Series 2014A, Rev., 5.00%, 9/1/2022		25		26

Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 9/1/2023		5,000		4,968

City of Ukiah, Water System Rev., AGM, 5.00%, 9/1/2023		50		55

Coachella Valley Unified School District GO, 4.00%, 8/1/2027		20		22


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Coachella Valley Unified School District, Election of 2005 Series 2012D, GO, AGM, 5.00%, 8/1/2022 (c)		20		21

Contra Costa County Transportation Authority, Sales Tax

Series 2015A, Rev., 5.00%, 3/1/2022		25		26

Series 2012B, Rev., 5.00%, 3/1/2023 (c)		50		54

Series 2017A, Rev., 5.00%, 3/1/2023		20		21

Series A, Rev., 5.00%, 3/1/2024		50		56

Corona Utility Authority, Water Projects Rev., 5.00%, 9/1/2022		40		42

County of Calaveras GO, 5.00%, 8/1/2026		100		118

County of Orange, Garden Grove Unified School District, Election of 2010 Series C, GO, 5.00%, 8/1/2023 (c)		1,390		1,520

County of San Benito, Jail Facility Project COP, 5.00%, 10/1/2025		45		53

County of San Joaquin, County Administration Building Project COP, AGM, 5.00%, 11/15/2029		5		6

County of Santa Clara, Election of 2008 Series 2017C, GO, 5.00%, 8/1/2033		25		31

CSCDA Community Improvement Authority Series 2021A-1, Rev., 2.65%, 12/1/2046 (d)		1,500		1,523

CSCDA Community Improvement Authority, Essential Housing, Altana-Glendale Series 2021A-1, Rev., 3.50%, 10/1/2046 (d)		6,000		6,307

CSCDA Community Improvement Authority, Essential Housing, Jefferson-Anaheim Series 2021A-1, Rev., 2.88%, 8/1/2041 (d)		2,580		2,664

CSCDA Community Improvement Authority, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (d)		3,000		2,863

Desert Community College District

GO, 5.00%, 8/1/2022		50		52

GO, 5.00%, 8/1/2031		2,250		2,794

Desert Sands Unified School District

COP, 5.00%, 3/1/2023		70		75

Series A, GO, 5.00%, 6/1/2026		40		43

GO, 5.00%, 8/1/2026		2,200		2,608

Desert Sands Unified School District, Election of 2014 GO, 4.00%, 8/1/2038		1,000		1,161

Downey Public Finance Authority Rev., 5.00%, 12/1/2022		100		106


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Downey Unified School District, Election of 2014 Series B, GO, 5.00%, 8/1/2032		50		64

Dry Creek Joint Elementary School District Rev., AGM, 5.00%, 9/1/2022		25		26

East Bay Municipal Utility District, Water System Series 2015B, Rev., 5.00%, 6/1/2024		45		51

East Side Union High School District Series 2016B, GO, 5.00%, 8/1/2027		50		61

East Side Union High School District, Election of 2012 Series B, GO, 5.00%, 8/1/2030		25		29

El Camino Community College District Foundation (The) GO, 5.00%, 8/1/2022		25		26

El Centro Financing Authority

Series 2021B, Rev., 4.00%, 10/1/2028		250		297

Series 2021B, Rev., 4.00%, 10/1/2029		265		319

Series 2021B, Rev., 4.00%, 10/1/2030		275		334

Series 2021B, Rev., 4.00%, 10/1/2031		285		351

El Monte City School District GO, BAN, Zero Coupon, 4/1/2023		525		522

Elsinore Valley Municipal Water District Financing Authority Series 2016A, Rev., 5.00%, 7/1/2023		30		33

Escondido Union School District, Election of 2014 Series A, GO, 5.00%, 8/1/2027		100		117

Fairfield-Suisun Unified School District, Election of 2016 GO, 5.00%, 8/1/2026		50		61

Foothill-De Anza Community College District GO, 5.00%, 8/1/2024 (c)		65		74

Fremont Union High School District Series 2019A, GO, 5.00%, 8/1/2030		75		94

Fullerton Joint Union High School District, Election of 2014 Series 2015A, GO, 5.00%, 8/1/2022		30		31

Glendale Unified School District Series 2015A, GO, 5.00%, 9/1/2023		25		27

Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement

Series A, Rev., 5.00%, 6/1/2032		4,000		4,665

Series A-1, Rev., 3.50%, 6/1/2036		4,690		4,766

Grossmont-Cuyamaca Community College District, Election of 2002 Series 2008C, GO, AGC, Zero Coupon, 8/1/2026		19,585		18,795

Hayward Unified School District GO, AGM, 5.00%, 8/1/2027		55		67

Hillsborough City School District

Series A, GO, 4.00%, 9/1/2021		40		40

Series A, GO, 4.00%, 9/1/2022		35		36


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Hollister Joint Powers Financing Authority Rev., AGM, 5.00%, 6/1/2031		65		78

Huntington Beach Union High School District GO, 5.00%, 8/1/2023 (c)		10		11

Imperial Irrigation District Electric System Series 2016B-2, Rev., 5.00%, 11/1/2026		80		98

Irvine Ranch Water District COP, 5.00%, 3/1/2032		2,275		2,766

Jefferson Union High School District, Election of 2012 Series A, GO, 4.00%, 8/1/2022		65		67

John Swett Unified School District Series A-1, GO, AGM, 5.00%, 8/1/2027		50		63

La Canada Unified School District, Election of 2017 Series 2018A, GO, 5.00%, 8/1/2031		50		64

Lincoln Public Financing Authority Series A, Rev., 4.00%, 10/1/2023		25		27

Long Beach Bond Finance Authority, Natural Gas

Series 2007A, Rev., 5.25%, 11/15/2021		2,500		2,525

Series A, Rev., 5.25%, 11/15/2022		9,545		10,115

Long Beach Community College District, Election of 2002 Series D, GO, NATL-RE, Zero Coupon, 5/1/2022		5,265		5,256

Long Beach Community College District, Election of 2016 Series 2019C, GO, 4.00%, 8/1/2045		40		46

Los Angeles Community College District

Series G, GO, 4.00%, 8/1/2022		25		26

Series 2015A, GO, 5.00%, 8/1/2023		20		22

Series A, GO, 4.00%, 8/1/2024 (c)		2,300		2,557

Series A, GO, 5.00%, 8/1/2024 (c)		24,000		27,382

Los Angeles County Facilities, Inc., Vermont Corridor County Administration Building Series 2018A, Rev., 5.00%, 12/1/2023		25		28

Los Angeles County Metropolitan Transportation Authority, Proposition C Senior Sales Tax

Series 2017A, Rev., 5.00%, 7/1/2023		35		38

Series A, Rev., 5.00%, 7/1/2030		4,925		6,174

Los Angeles County Metropolitan Transportation Authority, R Senior Sales Tax Series 2016A, Rev., 5.00%, 6/1/2023		35		38

Los Angeles County Public Works Financing Authority Series 2019E1, Rev., 4.00%, 12/1/2023		35		38

Los Angeles Department of Water and Power, Power System

Series 2019B, Rev., 5.00%, 7/1/2024		275		313

Series 2014B, Rev., 5.00%, 7/1/2026		15		17


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Series 2014D, Rev., 5.00%, 7/1/2027		50		57

Series 2014D, Rev., 5.00%, 7/1/2028		1,250		1,418

Series B, Rev., 5.00%, 7/1/2029		10,000		12,298

Series 2015A, Rev., 5.00%, 7/1/2030		270		311

Series 2018A, Rev., 5.00%, 7/1/2030		35		44

Series D, Rev., 5.00%, 7/1/2030		2,710		3,065

Series 2019C, Rev., 5.00%, 7/1/2031		85		111

Series A, Rev., 5.00%, 7/1/2031		2,055		2,514

Series B, Rev., 5.00%, 7/1/2031		3,400		3,767

Series D, Rev., 5.00%, 7/1/2031		2,500		2,828

Series A, Rev., 5.00%, 7/1/2032		2,550		3,116

Series B, Rev., 5.00%, 7/1/2032		3,075		3,406

Series 2017A, Rev., 5.00%, 7/1/2033		5,000		6,099

Series D, Rev., 5.00%, 7/1/2033		390		441

Series 2018D, Rev., 5.00%, 7/1/2034		30		38

Series 2019B, Rev., 5.00%, 7/1/2034		110		141

Series D, Rev., 5.00%, 7/1/2034		4,750		5,365

Series D, Rev., 5.00%, 7/1/2035		250		282

Series 2019A, Rev., 5.00%, 7/1/2039		35		45

Series 2019D, Rev., 5.00%, 7/1/2044		30		38

Los Angeles Department of Water and Power, Water System

Series 2014A, Rev., 5.00%, 7/1/2024		35		40

Series 2016A, Rev., 5.00%, 7/1/2030		60		72

Series 2017A, Rev., 5.00%, 7/1/2030		30		37

Series 2018B, Rev., 5.00%, 7/1/2031		60		76

Los Angeles Unified School District

Series C, GO, 5.00%, 7/1/2024		11,670		13,261

Series C, GO, 5.00%, 7/1/2026		5,505		6,242

Los Angeles Unified School District, Election of 2005

Series M-1, GO, 5.00%, 7/1/2032		2,095		2,621

Series M-1, GO, 5.00%, 7/1/2033		4,305		5,377

Los Angeles Unified School District, Headquarters Building Projects Series B, COP, 5.00%, 10/1/2030		1,250		1,312

Los Rios Community College District, Election of 2008 Series B, GO, 5.00%, 8/1/2022		25		26

Madera Irrigation District Rev., AGM, 5.00%, 9/1/2025		150		178

Marin Community College District GO, 5.00%, 8/1/2023		35		38

Marin Water District Financing Authority, Subordinate Lien Rev., 5.00%, 7/1/2027		40		50

Marina Coast Water District, Tax-Exempt, Senior Lien Series A, Rev., 5.00%, 6/1/2029		25		29


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Menlo Park City School District, Capital Appreciation

GO, Zero Coupon, 7/1/2033		1,000		701

GO, Zero Coupon, 7/1/2035		725		464

GO, Zero Coupon, 7/1/2036		1,150		699

GO, Zero Coupon, 7/1/2037		1,950		1,130

GO, Zero Coupon, 7/1/2041		1,250		603

Merced City School District, Election of 2014 GO, 4.00%, 8/1/2025		50		57

Merced Community College District No. 1, School Facilities Improvement GO, 5.00%, 8/1/2022		25		26

Metropolitan Water District of Southern California, Waterworks

Series 2018B, Rev., 5.00%, 9/1/2028		700		907

Series 2016A, Rev., 5.00%, 7/1/2030		30		36

Series 2019A, Rev., 5.00%, 7/1/2030		75		98

Milpitas Redevelopment Agency Successor Agency, Redevelopment Project Area No. 1 Rev., 5.00%, 9/1/2027		75		88

Montebello Public Financing Authority, Sales Tax, Limited Tax Series 2019A, Rev., AGM, 4.00%, 6/1/2033		380		446

Mount San Antonio Community College District, Election of 2018 Series 2019A, GO, 5.00%, 8/1/2028		50		65

Mountain View-Los Altos Union High School District, Election of 2010

Series C, GO, Zero Coupon, 8/1/2023		2,000		1,992

Series C, GO, Zero Coupon, 8/1/2027		1,000		950

Murrieta Valley Unified School District GO, AGM, 5.00%, 9/1/2025		1,400		1,619

Murrieta Valley Unified School District, Election of 2014 Series 2014A, GO, AGM, 4.00%, 3/1/2025 (c)		25		28

Napa Sanitation District Rev., 4.00%, 8/1/2023		25		27

Nevada Irrigation District, Joint Powers Authority Series 2016A, Rev., 5.00%, 3/1/2024		95		106

Newhall School District, School Facilities Improvement, Election of 2011 Series 2011A, GO, 4.00%, 8/1/2022		35		36

Newport Mesa Unified School District, Election of 2005 Series 2007, GO, NATL-RE, Zero Coupon, 8/1/2031		8,375		7,369

North Orange County Community College District, Election of 2014 Series 2016A, GO, 4.00%, 8/1/2025		20		23


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Novato Sanitary District, Wastewater

Rev., 5.00%, 2/1/2022		30		31

Rev., 5.00%, 2/1/2026		65		78

Novato Unified School District, Election of 2019 Series 2019B, GO, 5.00%, 8/1/2026		25		31

Oakdale Irrigation District Series 2016A, Rev., 5.00%, 8/1/2022		30		31

Oakland Joint Powers Financing Authority Rev., 5.00%, 11/1/2025		100		118

Ocean View School District, Orange County, Election of 2016 Series 2016B, GO, 6.00%, 8/1/2026		115		147

Oceanside Unified School District GO, 5.00%, 8/1/2024		5		6

Ohlone Community College District, Election of 2010 Series D, GO, 4.00%, 8/1/2022		40		41

Orange County Sanitation District, Wastewater Series 2016A, Rev., 5.00%, 2/1/2027		45		54

Orange County Water District Series A, Rev., 5.00%, 8/15/2034		650		793

Orange Redevelopment Agency, Orange Merged and Amended Redevelopment Project Series 2014A, Rev., AGM, 5.00%, 9/1/2023		110		121

Orange Unified School District, Election of 2016 GO, 5.00%, 8/1/2031		85		108

Otay Water District Financing Authority Series 2018A, Rev., 5.00%, 9/1/2022		35		37

Palm Springs Financing Authority Rev., 5.00%, 11/1/2022		25		26

Palm Springs Unified School District, Election of 2008 Series D, GO, 4.00%, 8/1/2024		65		72

Palomar Community College District

GO, 5.00%, 5/1/2022		25		25

GO, 5.00%, 5/1/2023		20		22

Pittsburg Unified School District GO, 5.00%, 8/1/2023		55		60

Pleasanton Unified School District, Election of 2016 GO, 5.00%, 8/1/2027		20		25

Plumas Unified School District, Election of 2016 Series B, GO, 5.00%, 8/1/2024		50		57

Pomona Unified School District GO, AGM, 5.00%, 8/1/2027		50		60

Rancho Water District Financing Authority Series 2019A, Rev., 5.00%, 8/1/2023		25		27

Regents of the University of California Medical Center Pooled Series 2016L, Rev., 5.00%, 5/15/2041		155		183


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Rio Hondo Community College District, Election of 2019 Series 2019B, GO, 5.00%, 8/1/2025		40		47

Riverside County Infrastructure Financing Authority Series 2016A, Rev., 4.00%, 11/1/2023		25		27

Riverside County Infrastructure Financing Authority, Capital Projects Series 2017C, Rev., 5.00%, 5/1/2025		25		29

Riverside County Infrastructure Financing Authority, Indio Law Building Series 2017A, Rev., 4.00%, 11/1/2023		40		43

Riverside County Public Financing Authority, Capital Facilities Project Rev., 4.25%, 11/1/2045		35		38

Riverside County Public Financing Authority, Desert Communities and Interstate 215 Corridor Projects Series 2017A, Rev., 5.00%, 10/1/2026		75		91

Riverside County Redevelopment Successor Agency, Desert Communities Redevelopment Project Series 2014D, Rev., AGM, 5.00%, 10/1/2026		115		131

Riverside County Transportation Commission, Sales Tax

Series 2013A, Rev., 5.00%, 6/1/2023		55		60

Series 2013A, Rev., 5.25%, 6/1/2023 (c)		4,525		4,930

Series 2017B, Rev., 5.00%, 6/1/2032		60		75

Series 2017A, Rev., 5.00%, 6/1/2033		30		37

Series 2017B, Rev., 5.00%, 6/1/2035		45		57

Riverside Public Financing Authority Series 2012A, Rev., 5.00%, 11/1/2023		95		100

Riverside Unified School District, Election of 2016 Series B, GO, 4.00%, 8/1/2042		50		58

Ross Valley Public Financing Authority Series A, Rev., 4.00%, 1/1/2023		25		26

Rowland Unified School District, Election of 2012 Series A, GO, 5.25%, 8/1/2023 (c)		2,750		3,020

Sacramento Area Flood Control Agency, Consolidated Capital Assessment District No. 2 Series 2016A, 5.00%, 10/1/2023		125		138

Sacramento City Financing Authority, Master Lease Program Facilities Series 2015A, Rev., 5.00%, 12/1/2023		135		150

Sacramento County Sanitation Districts Financing Authority Series 2014A, Rev., 5.00%, 12/1/2027		60		68


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

San Diego Community College District

GO, 5.00%, 8/1/2022		30		31

GO, 5.00%, 8/1/2025		25		30

San Diego County Regional Airport Authority, Subordinate Airport Series 2019A, Rev., 5.00%, 7/1/2031		25		32

San Diego Public Facilities Financing Authority, Fire and Life Safety Facilities Series 2012B, Rev., 4.00%, 4/15/2027		70		72

San Dieguito School Facilities Financing Authority, Special Tax

Rev., 5.00%, 3/1/2024		30		34

Rev., 5.00%, 3/1/2025		125		144

San Francisco Bay Area Rapid Transit District, Election of 2004

Series 2013C, GO, 4.00%, 8/1/2022		25		26

Series D, GO, 5.00%, 8/1/2030		3,000		3,531

Series 2019F-1, GO, 5.00%, 8/1/2031		85		112

Series D, GO, 5.00%, 8/1/2032		55		65

Series 2019F-1, GO, 5.00%, 8/1/2033		25		33

San Francisco Bay Area Rapid Transit District, Sales Tax

Series A, Rev., 5.00%, 7/1/2025		510		601

Series A, Rev., 5.00%, 7/1/2026		475		559

San Francisco City and County Airport Commission, San Francisco International Airport Series 2019H, Rev., AMT, 5.00%, 5/1/2029		175		226

San Francisco City and County Airport Commission, San Francisco International Airport, Special Facilities, SFO Fuel Company LLC Series 2019A, Rev., AMT, 5.00%, 1/1/2047		4,000		4,867

San Francisco County Transportation Authority, Sales Tax Rev., 3.00%, 2/1/2022		25		25

San Francisco Municipal Transportation Agency Series 2018B, Rev., 5.00%, 3/1/2028		60		74

San Joaquin County Transportation Authority, Measure K Sales Tax

Rev., 5.00%, 3/1/2023		20		21

Rev., 5.00%, 3/1/2026		40		48

Rev., 5.00%, 3/1/2031		2,185		2,677

Rev., 5.00%, 3/1/2032		2,000		2,451

Rev., 5.00%, 3/1/2033		750		917

San Joaquin Delta Community College District Series 2015A, GO, 5.00%, 8/1/2022		25		26

San Jose Unified School District GO, 5.00%, 8/1/2023		25		27


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

San Juan Unified School District, Election of 2002 GO, 5.00%, 8/1/2023 (c)		9,210		10,069

San Juan Unified School District, Election of 2012 Series 2019N, GO, 4.00%, 8/1/2025		125		143

San Luis Coastal Unified School District, Election of 2014

Series C, GO, 4.00%, 8/1/2025		25		29

Series A, GO, 5.00%, 8/1/2026		75		85

Series B, GO, 5.00%, 8/1/2026		75		92

San Luis Obispo Public Financing Authority, Los Osos Valley Road Interchange Project Rev., 4.00%, 11/1/2023		75		81

San Marcos Unified School District

GO, 5.00%, 8/1/2031		60		75

GO, 4.00%, 8/1/2033		25		29

San Marcos Unified School, District No. 4, Community Facilities, Special Tax Rev., 4.00%, 9/1/2025		55		61

San Mateo Foster City School District, Election of 2008 Series 2012C, GO, 5.00%, 8/1/2022		25		26

San Mateo Joint Powers Financing Authority, Maple Street Correctional Center Series 2014A, Rev., 5.00%, 6/15/2027		75		85

San Mateo Joint Powers Financing Authority, Youth Services Campus Series A, Rev., 5.00%, 7/15/2027		25		31

San Mateo Union High School District, Election of 2006 Series 2013A, GO, 5.00%, 9/1/2023 (c)		80		88

Santa Clara County Financing Authority Series 2016A, Rev., 5.00%, 11/15/2023		65		72

Santa Clara County Financing Authority, County Facilities

Series A, Rev., 5.00%, 5/1/2028		25		32

Series 2019A, Rev., 4.00%, 5/1/2034		55		67

Santa Clara County Financing Authority, Multiple Facilities Projects Series 2015P, Rev., 5.00%, 5/15/2029		8,400		9,835

Santa Clara Unified School District GO, 5.00%, 7/1/2025		25		29

Santa Clara Unified School District, Election of 2014

GO, 5.00%, 7/1/2022		35		36

GO, 5.00%, 7/1/2027		25		31

Santa Clara Valley Water District, Water System Series 2017A, Rev., 5.00%, 6/1/2035		3,115		3,784


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Santa Clarita Community College District GO, 4.00%, 8/1/2022		25		26

Santa Clarita Public Finance Authority, Open Space and Parkland Acquisition Program Series 2016B, Rev., 4.00%, 10/1/2026		75		88

Santa Cruz County Redevelopment Successor Agency Series 2015A, Rev., AGM, 5.00%, 9/1/2028		50		59

Santa Cruz Libraries Facilities Financing Authority, Special Tax Rev., 5.00%, 9/1/2026		150		183

Santa Margarita Water District, Community Facilities District No. 99-1, Special Tax Series 2017A, Rev., 5.00%, 9/1/2024		280		317

Santa Margarita-Dana Point Authority, Water District Improvement

Series A, Rev., 5.00%, 8/1/2031		950		1,182

Series A, Rev., 5.00%, 8/1/2032		1,030		1,281

Series A, Rev., 5.00%, 8/1/2033		1,455		1,808

Santa Monica Community College District, Election of 2016

Series 2018A, GO, 5.00%, 8/1/2022		35		36

Series 2018A, GO, 4.00%, 8/1/2035		25		30

Santa Monica Public Financing Authority, City Services Building Project Rev., 5.00%, 7/1/2028		45		56

Santa Monica-Malibu Unified School District

Series 2016C, GO, 4.00%, 7/1/2024		30		33

GO, 5.00%, 8/1/2024		70		80

Santa Rosa High School District GO, 5.00%, 8/1/2022 (c)		40		42

Santa Rosa Regional Resources Authority, Facilities Acquisition and Improvement Projects, Tax Exempt Series 2017A, Rev., 5.00%, 8/1/2031		100		124

Schools Infrastructure Financing Agency, Special Tax Rev., AGM, 4.00%, 9/1/2034		105		115

Scotts Valley Unified School District GO, 5.00%, 8/1/2023		30		33

Sewerage Agency of Southern Marin Rev., 5.00%, 7/1/2022		25		26

Sierra View Local Health Care District

Rev., 4.00%, 7/1/2026		150		173

Rev., 5.00%, 7/1/2027		155		191

Rev., 5.00%, 7/1/2028		165		207

Rev., 5.00%, 7/1/2029		160		205

Rev., 5.00%, 7/1/2030		155		203


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Simi Valley Unified School District

GO, 4.00%, 8/1/2022		25		26

Series B, GO, 4.00%, 8/1/2022		30		31

GO, 5.00%, 8/1/2027		30		38

Sonoma County Junior College District Series 2013A, GO, 5.00%, 8/1/2022		25		26

Sonoma Valley Unified School District, Election of 2016 GO, 4.00%, 8/1/2042		25		29

South Orange County Public Financing Authority Rev., 5.00%, 4/1/2027		50		60

Southern California Water Replenishment District

Rev., 5.00%, 8/1/2023		25		27

Rev., 5.00%, 8/1/2026		75		89

Southwestern Community College District

Series 2016B, GO, 4.00%, 8/1/2023		35		38

Series 2016B, GO, 4.00%, 8/1/2025		50		57

Series A, GO, 4.00%, 8/1/2038		1,000		1,150

State Center Community College District

GO, 5.25%, 8/1/2022 (c)		5,450		5,707

GO, 5.00%, 8/1/2030		40		47

State of California Department of Water Resources, Central Valley Project, Water System

Series AR, Rev., 5.00%, 12/1/2022		25		27

Series AX, Rev., 5.00%, 12/1/2022		35		37

Series BA, Rev., 5.00%, 12/1/2031		65		85

State of California, Various Purpose

GO, 5.13%, 4/1/2023		5		5

GO, 4.00%, 12/1/2024		15		16

GO, 5.00%, 10/1/2025		40		48

GO, AMBAC, 5.00%, 2/1/2027		565		701

GO, 5.00%, 8/1/2030		24,000		27,724

GO, 4.00%, 9/1/2033		1,340		1,553

Tahoe-Truckee Sanitation Agency, Wastewater Rev., 5.00%, 7/1/2022		35		36

Tahoe-Truckee Unified School District, Election of 2014, School Facilities Improvement District No. 2 Series B, GO, 5.00%, 8/1/2028		25		30

Temple City Unified School District GO, NATL-RE, 5.25%, 8/1/2022		2,485		2,597

Tustin Unified School District, School Facilities Improvement Districts No. 2002-1 GO, 5.00%, 6/1/2022		25		26

Union Elementary School District Series C, GO, 5.00%, 9/1/2027		50		63


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

University of California

Series 2013 AF, Rev., 5.00%, 5/15/2023 (c)		60		65

Series 2017AY, Rev., 5.00%, 5/15/2028		55		68

Series 2018AZ, Rev., 5.00%, 5/15/2029		30		38

Series 2018AZ, Rev., 5.00%, 5/15/2031		35		45

Series 2019BB, Rev., 5.00%, 5/15/2033		20		26

Series 2018AZ, Rev., 5.00%, 5/15/2034		25		32

University of California, Limited Project

Series G, Rev., 5.00%, 5/15/2022 (c)		2,885		2,984

Series 2015-I, Rev., 5.00%, 5/15/2023		30		32

Series 2012G, Rev., 5.00%, 5/15/2029		5,615		5,809

Series 2017M, Rev., 5.00%, 5/15/2036		25		31

Val Verde Unified School District Series 2020A, GO, 4.00%, 8/1/2035		250		295

Ventura County Community College District GO, 5.00%, 8/1/2022		25		26

Ventura County Public Financing Authority Series 2016A, Rev., 5.00%, 11/1/2027		55		68

Vista Joint Powers Financing Authority Rev., 5.25%, 5/1/2037		100		116

Vista Unified School District, 2018 Election Series 2019A, GO, 5.00%, 8/1/2022		60		63

Walnut Energy Center Authority Series 2014A, Rev., 5.00%, 1/1/2022		25		25

West Hills Community College District, School Facilities Improvement District No. 2, 2008 Election Series 2012B, GO, AGM, 4.00%, 8/1/2038		25		26

West Hollywood Public Financing Authority, Hollywood Park Phase II Rev., 5.00%, 4/1/2022		45		46

West Valley-Mission Community College District, Election of 2012, Tax Exempt

GO, 5.00%, 8/1/2027		40		48

Series 2015B, GO, 5.00%, 8/1/2027		40		47

Westside Union School District, 2012 Election Series A, GO, 4.00%, 8/1/2022		25		26

Whittier Union High School District Series 2014B, GO, 4.00%, 8/1/2022		30		31

Wiseburn School District Series 2016A, GO, 5.00%, 8/1/2031		50		60

Yuba City Unified School District, School Facilities Project COP, AGM, 4.00%, 9/1/2021		1,100		1,251


Total California				464,236


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Colorado — 2.2%

Adams & Arapahoe Joint School District 28J Aurora GO, 5.00%, 12/1/2024		50		53

Adams 12 Five Star Schools, The City & County of Broomfield

GO, 5.50%, 12/15/2030		1,400		1,859

GO, 5.50%, 12/15/2032		625		826

Adams County School District No. 1, Mapleton Public Schools GO, 4.00%, 12/1/2030		25		29

Arapahoe County School District No. 6 Littleton

Series 2019A, GO, 5.50%, 12/1/2028		40		54

Series 2019A, GO, 5.50%, 12/1/2029		25		33

Board of Governors of Colorado State University System Series 2019A, Rev., 4.00%, 3/1/2037		50		60

Boulder Larimer & Weld Counties St. Vrain Valley School District Re1J Series 2016A, GO, 5.00%, 12/15/2028		5,000		5,930

Broadway Park North Metropolitan District No. 2, Limited Tax GO, 5.00%, 12/1/2040 (d)		550		611

Canyon Pines Metropolitan District Special Improvement District No. 1 Series 2021A-2, 3.75%, 12/1/2040		1,325		1,282

City & County of Broomfield, Sales and Use Tax COP, 5.00%, 12/1/2025		30		36

City & County of Denver, Airport System

Series 2012A, Rev., AMT, 5.00%, 11/15/2022		25		26

Series 2017A, Rev., AMT, 5.00%, 11/15/2028		1,000		1,241

Series 2017B, Rev., 5.00%, 11/15/2033		25		31

Series 2018A, Rev., AMT, 5.00%, 12/1/2036		2,500		3,515

City of Aurora, First Lien Water, Green Bonds Rev., 5.00%, 8/1/2024		15		17

City of Colorado Springs, Utilities System Improvement Series A-1, Rev., 5.00%, 11/15/2023		30		33

City of Commerce City COP, AGM, 4.00%, 12/15/2037		150		173

City of Englewood

GO, 5.00%, 12/1/2025		45		54

GO, 5.00%, 12/1/2029		15		19

Clear Creek Transit Metropolitan District No. 2, Limited Tax

Series 2021A, GO, 5.00%, 12/1/2041		575		634

Series 2021A, GO, 5.00%, 12/1/2050		500		549


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

Colorado Crossing Metropolitan District No. 2, Limited Tax

Series 2020A-2, GO, 4.00%, 12/1/2030		1,065		1,127

Series 2020A-1, GO, 5.00%, 12/1/2047		2,000		2,170

Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project

Rev., 4.00%, 5/1/2025		25		27

Rev., 4.00%, 5/1/2027		30		34

Rev., 4.00%, 5/1/2029		35		40

Rev., 4.00%, 5/1/2031		30		34

Rev., 4.00%, 5/1/2041		85		96

Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project

Rev., 4.00%, 12/1/2030 (d)		595		636

Rev., 5.00%, 12/1/2040 (d)		555		619

Colorado Educational and Cultural Facilities Authority, University Denver Project Rev., NATL-RE, 5.00%, 3/1/2035		5,055		6,927

Colorado Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group Rev., 5.00%, 11/15/2028		30		36

Colorado Health Facilities Authority, Boulder Community Health Project

Rev., 5.00%, 10/1/2033		1,000		1,283

Rev., 5.00%, 10/1/2034		1,100		1,403

Rev., 4.00%, 10/1/2035		725		855

Rev., 4.00%, 10/1/2037		400		469

Rev., 4.00%, 10/1/2038		300		351

Rev., 4.00%, 10/1/2039		270		315

Rev., 4.00%, 10/1/2040		300		349

Colorado Health Facilities Authority, Commonspirit Health

Series A-1, Rev., 5.00%, 8/1/2031		2,500		3,201

Series A-2, Rev., 5.00%, 8/1/2031		1,000		1,280

Series A-1, Rev., 5.00%, 8/1/2032		2,000		2,553

Series A-2, Rev., 5.00%, 8/1/2032		2,000		2,553

Series A-1, Rev., 5.00%, 8/1/2034		1,865		2,366

Series A-2, Rev., 5.00%, 8/1/2034		2,000		2,537

Series A-1, Rev., 5.00%, 8/1/2035		2,500		3,166

Series A-2, Rev., 5.00%, 8/1/2035		2,000		2,533

Colorado Health Facilities Authority, Parkview Medical Center, Inc., Project

Series 2015A, Rev., 3.00%, 9/1/2024		235		253

Series 2020A, Rev., 4.00%, 9/1/2045		1,000		1,164


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Colorado — continued

Colorado Health Facilities Authority, School Health System Series 2013A, Rev., 5.50%, 1/1/2035		4,500		5,025

Colorado Health Facilities Authority, Valley View Hospital Association Project Rev., 2.80%, 5/15/2023 (b)		2,400		2,469

Colorado Mountain College Project COP, 5.00%, 8/1/2031		30		37

Colorado State Board for Community Colleges and Occupational Educational System Series 2019A, Rev., 5.00%, 11/1/2025		40		47

County of Adams

COP, 5.00%, 12/1/2031		1,100		1,301

COP, 5.00%, 12/1/2034		500		589

County of Eagle COP, 5.00%, 12/1/2028		25		30

County of Gunnison COP, 4.00%, 12/1/2033		50		60

County of Pueblo, Community Improvement Projects COP, 5.00%, 12/1/2026		50		61

Dawson Ridge Metropolitan District No. 1, Limited Tax Series A, GO, Zero Coupon, 10/1/2022 (c)		10,000		9,979

Debeque School District No. 49JT GO, 4.00%, 12/1/2024		10		11

Denver Health and Hospital Authority

Series 2019A, Rev., 5.00%, 12/1/2030		1,000		1,286

Series 2019A, Rev., 5.00%, 12/1/2031		1,400		1,792

Series 2019A, Rev., 5.00%, 12/1/2032		1,330		1,699

Series 2019A, Rev., 5.00%, 12/1/2033		1,100		1,398

Douglas County School District No. Re-1 Douglas and Elbert Counties GO, 5.00%, 12/15/2028		20		26

Ebert Metropolitan District Series 2018A-2, GO, 5.00%, 12/1/2034		170		214

El Paso County School District No. 3 Widefield GO, 5.00%, 12/1/2034		50		61

El Paso County School District No. 49 Falcon Series 2017B, COP, 5.00%, 12/15/2028		25		30

Jefferson Center Metropolitan District No. 1 Series 2020A-2, Rev., 4.13%, 12/1/2040		290		309

Jefferson County School District R-1 COP, 5.00%, 12/15/2028		5		6

Larimer County School District No. R-1 Poudre GO, 5.00%, 12/15/2037		2,450		3,112

Montrose County School District RE-1J GO, 5.00%, 12/1/2036		200		242

Peak Metropolitan District No. 1

Series A, GO, 4.00%, 12/1/2035 (d)		500		538


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

Series A, GO, 5.00%, 12/1/2041 (d)		500		553

Series A, GO, 5.00%, 12/1/2051 (d)		550		605

Raindance Metropolitan District No. 1, Non-Potable Water System Rev., 5.00%, 12/1/2040		750		824

Regional Transportation District, Denver Transit Partners

Rev., 5.00%, 7/15/2031		500		658

Rev., 5.00%, 1/15/2032		700		919

Rev., 4.00%, 7/15/2033		1,935		2,440

Rev., 4.00%, 7/15/2034		1,000		1,210

Rev., 4.00%, 7/15/2035		1,000		1,205

Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044		500		500

Rocky Mountain Rail Park Metropolitan District, Limited Tax

Series 2021A, GO, 5.00%, 12/1/2031 (d)		750		830

Series 2021A, GO, 5.00%, 12/1/2041 (d)		750		813

State of Colorado Series 2018A, COP, 4.00%, 12/15/2034		75		89

State of Colorado Department of Transportation Headquarters Facilities, Headquarters Facilities Lease Purchase Agreement

COP, 5.00%, 6/15/2023		45		49

COP, 5.00%, 6/15/2041		1,500		1,760

State of Colorado, Building Excellent Schools Today Series 2018N, COP, 5.00%, 3/15/2028		75		95

University of Colorado, Enterprise System

Series 2013A, Rev., 5.00%, 6/1/2023		25		27

Series 2014A, Rev., 5.00%, 6/1/2024 (c)		60		68

Series 2015A, Rev., 5.00%, 6/1/2025 (c)		25		29

Series 2019B, Rev., 5.00%, 6/1/2028		25		32

Series 2017A-1, Rev., 4.00%, 6/1/2032		25		29

University of Northern Colorado, Institutional Enterprise Series 2018B, Rev., 4.00%, 6/1/2035		250		292

Verve Metropolitan District No. 1

GO, 5.00%, 12/1/2036		500		559

GO, 5.00%, 12/1/2041		1,125		1,247

Weld County School District No. RE-2 Eaton GO, 5.00%, 12/1/2035		40		52


Total Colorado				100,649


Connecticut — 1.3%

City of Derby Series A, GO, 5.00%, 8/1/2027		15		19


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Connecticut — continued

City of Milford Series 2014B, GO, 4.00%, 11/1/2026		50		56

City of Stamford, Water Pollution Control System and Facility

Series 2013A, Rev., 5.50%, 8/15/2023		100		110

Series A, Rev., 5.00%, 8/15/2024		100		109

Series A, Rev., 5.00%, 8/15/2025		350		383

Series 2013A, Rev., 5.00%, 8/15/2026		150		164

Series 2013A, Rev., 5.00%, 8/15/2027		250		273

Series A, Rev., 5.00%, 8/15/2029		300		327

Connecticut State Health and Educational Facilities Authority, Connecticut State University System Series N, Rev., 5.00%, 11/1/2025		4,165		4,566

Connecticut State Health and Educational Facilities Authority, McLean

Series 2020A, Rev., 5.00%, 1/1/2030 (d)		250		288

Series 2020A, Rev., 5.00%, 1/1/2045 (d)		500		561

Connecticut State Health and Educational Facilities Authority, Nuvance Health Series 2019A, Rev., 5.00%, 7/1/2033		2,630		3,318

Connecticut State Health and Educational Facilities Authority, Sacred Heart University

Series K, Rev., 5.00%, 7/1/2032		700		910

Series K, Rev., 5.00%, 7/1/2033		625		809

Series K, Rev., 5.00%, 7/1/2034		725		936

Series K, Rev., 5.00%, 7/1/2035		525		676

Series K, Rev., 5.00%, 7/1/2036		1,000		1,284

Series K, Rev., 5.00%, 7/1/2037		1,750		2,240

Series K, Rev., 5.00%, 7/1/2038		2,750		3,512

Series K, Rev., 5.00%, 7/1/2040		1,600		2,033

Connecticut State Health and Educational Facilities Authority, Trinity College Series R, Rev., 4.00%, 6/1/2045		2,250		2,639

South Central Connecticut Regional Water Authority, Water System Series B-1, Rev., 5.00%, 8/1/2022		45		47

State of Connecticut

Series 2017A, GO, 5.00%, 4/15/2024		160		180

Series 2019A, GO, 5.00%, 4/15/2028		4,700		5,993

Series 2019A, GO, 5.00%, 4/15/2030		4,000		5,185

Series 2014A, GO, 4.00%, 3/1/2034		40		43

Series 2019A, GO, 5.00%, 4/15/2034		3,450		4,399

Series 2019A, GO, 5.00%, 4/15/2035		2,900		3,690

Series 2016A, GO, 4.00%, 3/15/2036		60		68

Series 2019A, GO, 5.00%, 4/15/2036		2,300		2,918


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Connecticut — continued

Series 2017A, GO, 4.00%, 4/15/2037		460		529

Series 2019A, GO, 4.00%, 4/15/2038		3,625		4,301

State of Connecticut Clean Water Fund, State Revolving Fund

Series 2017A, Rev., 4.00%, 5/1/2023		20		21

Series 2015A, Rev., 5.00%, 3/1/2024		70		78

Series 2015A, Rev., 5.00%, 3/1/2025		170		199

State of Connecticut, Special Tax Transportation Infrastructure Purposes

Series 2015A, Rev., 5.00%, 8/1/2026		5,000		5,889

Series 2013A, Rev., 5.00%, 10/1/2029		25		27

Series A, Rev., 5.00%, 9/1/2030		2,000		2,272

Series 2016A, Rev., 5.00%, 9/1/2031		25		30

Series 2015A, Rev., 5.00%, 8/1/2032		15		18

Town of Trumbull Series B, GO, 5.00%, 9/1/2025		50		59


Total Connecticut				61,159


Delaware — 0.3%

Delaware State Economic Development Authority, Newark Charter School, Inc., Project

Rev., 4.00%, 9/1/2023		355		377

Rev., 4.00%, 9/1/2025		385		429

Rev., 4.00%, 9/1/2030		530		616

Rev., 5.00%, 9/1/2040		1,550		1,940

Rev., 5.00%, 9/1/2050		600		739

Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041		5,000		5,952

Delaware Transportation Authority, Transportation System

Rev., 5.00%, 7/1/2023		40		45

Rev., 5.00%, 7/1/2025		25		29

Rev., 5.00%, 7/1/2026		25		30

State of Delaware Series 2019A, GO, 5.00%, 10/1/2022		45		47

University of Delaware

Rev., 5.00%, 11/1/2035		525		673

Rev., 5.00%, 11/1/2039		875		1,113


Total Delaware				11,990


District of Columbia — 1.2%

District of Columbia

Series 2015A, GO, 5.00%, 6/1/2027		50		59

Series 2018A, GO, 5.00%, 6/1/2027		25		31

Series D, GO, 5.00%, 6/1/2028		1,500		1,871


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


District of Columbia — continued

Series 2016A, GO, 5.00%, 6/1/2029		25		30

Series 2017A, GO, 5.00%, 6/1/2030		1,250		1,549

Series D, GO, 5.00%, 6/1/2030		3,750		4,603

Series D, GO, 5.00%, 6/1/2031		50		61

Series A, GO, 5.00%, 6/1/2035		7,175		8,342

Series A, GO, 5.00%, 6/1/2036		4,200		4,876

District of Columbia, Income Tax

Series 2012C, Rev., 4.00%, 12/1/2022		20		21

Series 2012A, Rev., 5.00%, 12/1/2022		20		21

Series 2019C, Rev., 5.00%, 10/1/2031		35		46

Series 2020A, Rev., 5.00%, 3/1/2038		70		91

Series 2020A, Rev., 5.00%, 3/1/2040		210		272

District of Columbia, Kipp DC Project

Rev., 5.00%, 9/10/2021		100		108

Rev., 5.00%, 7/1/2024		100		112

Rev., 5.00%, 7/1/2025		180		209

Series 2017A, Rev., 5.00%, 7/1/2025		100		116

Rev., 5.00%, 7/1/2026		185		220

Rev., 5.00%, 7/1/2027		115		140

Rev., 5.00%, 7/1/2028		250		312

Rev., 5.00%, 7/1/2029		255		326

District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series B, Rev., 5.00%, 10/1/2037		100		118

Metropolitan Washington Airports Authority Aviation

Series C, Rev., 5.00%, 10/1/2021		30		30

Series 2019B, Rev., 5.00%, 10/1/2027		75		94

Series 2017A, Rev., AMT, 5.00%, 10/1/2029		180		224

Metropolitan Washington Airports Authority Dulles Toll Road, Metrorail and Capital Improvement Projects Series 2019B, Rev., AGM, 4.00%, 10/1/2053		500		577

Washington Convention and Sports Authority, Senior Lien Dedicated Tax

Series 2018A, Rev., 5.00%, 10/1/2025		1,750		2,069

Series A, Rev., 5.00%, 10/1/2026		5,005		6,101

Series A, Rev., 5.00%, 10/1/2027		4,620		5,767

Series 2018A, Rev., 5.00%, 10/1/2028		4,035		5,007

Series A, Rev., 5.00%, 10/1/2029		2,690		3,318

Washington Metropolitan Area Transit Authority

Series B, Rev., 5.00%, 7/1/2029		5		6

Series 2017B, Rev., 5.00%, 7/1/2030		50		62

Series A-1, Rev., 5.00%, 7/1/2030		5,185		6,407


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

District of Columbia — continued

Rev., 5.00%, 7/1/2034		5		6

Series 2017B, Rev., 5.00%, 7/1/2034		75		92


Total District of Columbia				53,294


Florida — 3.0%

Bay County School Board

Series 2020A, COP, AGM, 5.00%, 7/1/2032		825		1,080

Series 2020A, COP, AGM, 5.00%, 7/1/2033		675		879

Series 2020A, COP, AGM, 5.00%, 7/1/2034		1,000		1,296

Brevard County Health Facilities Authority, Health First, Inc., Project

Rev., 5.00%, 4/1/2022		1,000		1,028

Rev., 5.00%, 4/1/2024		1,250		1,402

Broward County Water & Sewer Utility Series B, Rev., 5.00%, 10/1/2025		35		42

Capital Projects Finance Authority, Capital Projects Loan Program — Florida Universities

Series 2020A-1, Rev., 5.00%, 10/1/2024		550		615

Series 2020A-1, Rev., 5.00%, 10/1/2025		1,000		1,151

Series 2020A-1, Rev., 5.00%, 10/1/2026		1,000		1,180

Series 2020A-1, Rev., 5.00%, 10/1/2027		1,000		1,205

Series 2020A-1, Rev., 5.00%, 10/1/2028		1,000		1,228

City of Gainesville, Utilities System Series 2017A, Rev., 5.00%, 10/1/2037		120		148

City of Jacksonville Series 2016A, Rev., 5.00%, 10/1/2027		100		123

City of Jacksonville, Health Care Facilities, Brooks Rehabilitation Project

Rev., 4.00%, 11/1/2036		500		585

Rev., 4.00%, 11/1/2037		1,040		1,214

Rev., 4.00%, 11/1/2038		1,085		1,264

Rev., 4.00%, 11/1/2039		1,650		1,916

Rev., 4.00%, 11/1/2040		2,170		2,515

City of Pompano Beach

GO, 5.00%, 7/1/2023		30		33

GO, 5.00%, 7/1/2030		110		140

City of Tallahassee, Utility System Rev., 5.00%, 10/1/2023		50		55

City of Tampa, H. Lee Moffitt Cancer Center Project

Series 2020B, Rev., 5.00%, 7/1/2026		100		121

Series 2020B, Rev., 5.00%, 7/1/2027		125		155

Series 2020B, Rev., 5.00%, 7/1/2028		230		292

Series 2020B, Rev., 5.00%, 7/1/2029		225		292

Series 2020B, Rev., 5.00%, 7/1/2030		250		330

Series 2020B, Rev., 5.00%, 7/1/2031		325		425


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Series 2020B, Rev., 5.00%, 7/1/2032		250		326

Series 2020B, Rev., 5.00%, 7/1/2033		250		324

Series 2020B, Rev., 5.00%, 7/1/2034		300		388

Series 2020B, Rev., 5.00%, 7/1/2035		300		387

Series 2020B, Rev., 5.00%, 7/1/2036		500		643

Series 2020B, Rev., 4.00%, 7/1/2038		185		218

Series 2020B, Rev., 4.00%, 7/1/2039		1,600		1,883

Series 2020B, Rev., 5.00%, 7/1/2040		2,340		2,972

Series 2020B, Rev., 4.00%, 7/1/2045		7,400		8,580

City of Tampa, Water and Sewer Improvement System Rev., 5.00%, 10/1/2021 (c)		500		502

City of West Palm Beach, Special Obligation Series C, Rev., 5.00%, 10/1/2028		25		31

County of Broward, Airport System Series 2019A, Rev., AMT, 5.00%, 10/1/2027		1,850		2,308

County of Broward, Professional Sports Facilities, Civic Arena Project Rev., 5.00%, 9/1/2024		40		44

County of Escambia, Sales Tax Rev., 5.00%, 10/1/2025		15		18

County of Lee, Transportation Facilities Rev., AGM, 5.00%, 10/1/2035		190		216

County of Manatee Rev., 5.00%, 10/1/2026		25		28

County of Manatee, Public Utilities

Rev., 5.00%, 10/1/2028		535		674

Rev., 5.00%, 10/1/2031		815		1,016

County of Martin, Half-Cent Sales Tax Rev., 5.00%, 7/1/2022		25		26

County of Miami-Dade, Aviation

Rev., AMT, 5.00%, 10/1/2028		1,500		1,700

Rev., 5.00%, 10/1/2029		900		1,088

Series B, Rev., 5.00%, 10/1/2029		1,250		1,425

County of Miami-Dade, Building Better Communities Program

Series A, GO, 5.00%, 7/1/2033		2,835		3,422

Series 2016A, GO, 5.00%, 7/1/2034		5,355		6,455

County of Miami-Dade, Capital Asset Acquisition Series 2019B, Rev., 5.00%, 4/1/2040		45		57

County of Miami-Dade, Public Health Trust Program Series A, GO, 5.00%, 7/1/2036		3,000		3,866

County of Miami-Dade, Subordinate Special Obligation Rev., 5.00%, 10/1/2028		120		147

County of Miami-Dade, Transit System, Sales Surtax

Rev., 5.00%, 7/1/2022		90		94


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Rev., 4.00%, 7/1/2034		35		40

Rev., 5.00%, 7/1/2034		475		611

County of Miami-Dade, Water and Sewer System

Rev., 5.00%, 10/1/2033		25		32

Series 2017A, Rev., 4.00%, 10/1/2037		40		47

Series 2017A, Rev., 4.00%, 10/1/2039		50		59

Series 2019B, Rev., 5.00%, 10/1/2044		40		50

County of Palm Beach, Airport System Rev., AMT, 5.00%, 10/1/2036		500		599

County of Palm Beach, Public Improvement Rev., 5.00%, 5/1/2038		1,545		1,833

County of Polk, Utility System Rev., 5.00%, 10/1/2030		50		67

County of Sarasota, Guaranteed Entitlement Rev., 4.50%, 10/1/2029		25		27

County of Sarasota, Utility System Series 2019A, Rev., 5.00%, 10/1/2038		35		44

County of Seminole, Water and Sewer Series 2015B, Rev., 5.00%, 10/1/2021		50		50

East Central Regional Wastewater Treatment Facilities Operation Board, Biosolids Project Rev., 5.00%, 10/1/2023		40		44

Escambia County Health Facilities Authority, Baptist Health Care Corp., Obligated Group Series 2020A, Rev., 5.00%, 8/15/2040		3,600		4,546

Florida Atlantic University Finance Corp., Student Housing Project

Series 2019A, Rev., 5.00%, 7/1/2027		300		372

Series 2019B, Rev., 5.00%, 7/1/2032		1,715		2,197

Series 2019B, Rev., 5.00%, 7/1/2033		1,475		1,880

Florida Department of Environmental Protection Series 2017A, Rev., 5.00%, 7/1/2028		40		51

Florida Department of Management Services Series 2018A, COP, 5.00%, 11/1/2026		20		25

Florida Development Finance Corp., Educational Facilities, Renaissance Charter School, Inc., Project

Series 2020C, Rev., 4.00%, 9/15/2030 (d)		235		257

Series 2020C, Rev., 5.00%, 9/15/2040 (d)		525		593

Florida Development Finance Corp., Imagine School at Broward Project

Series A, Rev., 2.63%, 12/15/2024 (d)		300		307

Series A, Rev., 4.00%, 12/15/2029 (d)		265		296

Series A, Rev., 5.00%, 12/15/2039 (d)		305		360

Florida Development Finance Corp., Mater Academy Project

Series 2020A, Rev., 4.00%, 6/15/2025 (d)		455		507


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Series 2020A, Rev., 5.00%, 6/15/2026 (d)		370		438

Series 2020A, Rev., 5.00%, 6/15/2027 (d)		390		473

Series 2020A, Rev., 5.00%, 6/15/2028 (d)		410		494

Series 2020A, Rev., 5.00%, 6/15/2029 (d)		400		479

Series 2020A, Rev., 5.00%, 6/15/2030 (d)		375		447

Series 2020A, Rev., 5.00%, 6/15/2035 (d)		1,000		1,177

Florida Development Finance Corp., The Mayflower Retirement Community Project

Series 2021B2, Rev., 1.75%, 6/1/2026 (d)		925		928

Series 2021B1, Rev., 2.38%, 6/1/2027 (d)		730		731

Florida Gulf Coast University Financing Corp., Housing Project Series 2019A, Rev., 5.00%, 2/1/2026		125		148

Florida Higher Educational Facilities Financial Authority, Florida Institute of Technology

Rev., 5.00%, 10/1/2021		85		85

Rev., 5.00%, 10/1/2022		110		115

Rev., 5.00%, 10/1/2023		125		137

Greater Orlando Aviation Authority, Airport Facilities Series 2019A, Rev., AMT, 5.00%, 10/1/2038		1,810		2,293

Halifax Hospital Medical Center Rev., 5.00%, 6/1/2022		25		26

Hillsborough County, Aviation Authority, Tampa International Airport Series 2018F, Rev., 5.00%, 10/1/2043		150		188

JEA Electric System

Series D, Rev., 5.00%, 4/1/2023 (c)		10		11

Series A, Rev., 5.00%, 10/1/2023 (c)		1,395		1,534

Key West Utility Board, Electric System Rev., 5.00%, 10/1/2027		45		56

Lee County School Board (The) Series 2016A, COP, 5.00%, 8/1/2035		25		30

Lee Memorial Health System

Series 2019A-1, Rev., 5.00%, 4/1/2028		3,375		4,260

Series 2019A-1, Rev., 5.00%, 4/1/2029		2,500		3,227

Manatee County School District, Sales Tax Rev., AGM, 5.00%, 10/1/2023		50		55

Orange County School Board Series 2016C, COP, 5.00%, 8/1/2033		40		48

Orlando Utilities Commission, Utility System Series 2012A, Rev., 5.00%, 10/1/2023		25		28

Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group

Series 2020B, Rev., 4.00%, 11/15/2041		250		291

Series 2020B, Rev., 5.00%, 11/15/2042		500		612


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Residences of Boca Raton Expansion

Rev., 2.63%, 6/1/2025		4,185		4,311

Rev., 3.00%, 6/1/2027		7,780		8,152

Palm Beach County School District Series C, COP, 5.00%, 8/1/2029		16,000		20,348

School Board of Miami-Dade County (The) Series 2015A, COP, 5.00%, 5/1/2030		70		81

School District of Broward County Series 2019A, COP, 5.00%, 7/1/2029		35		45

Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning

Series 2021A, Rev., 4.00%, 6/15/2036 (d)		155		178

Series 2021A, Rev., 4.00%, 6/15/2041 (d)		215		244

South Florida Water Management District COP, 5.00%, 10/1/2036		125		148

St. Johns County Industrial Development Authority, Vicar’s Landing Project

Series 2021A, Rev., 4.00%, 12/15/2025		180		199

Series 2021A, Rev., 4.00%, 12/15/2026		185		208

Series 2021A, Rev., 4.00%, 12/15/2027		215		244

Series 2021A, Rev., 4.00%, 12/15/2028		200		229

Series 2021A, Rev., 4.00%, 12/15/2030		200		228

Series 2021A, Rev., 4.00%, 12/15/2031		205		233

Series 2021A, Rev., 4.00%, 12/15/2036		500		560

Series 2021A, Rev., 4.00%, 12/15/2041		375		417

State of Florida Board of Education, Public Education Capital Outlay

Series 2012C, GO, 5.00%, 6/1/2023		40		42

Series 2015F, GO, 5.00%, 6/1/2026		25		29

State of Florida Department of Education

Series 2018A, Rev., 5.00%, 7/1/2024		1,025		1,158

Series A, Rev., 5.00%, 7/1/2025		2,375		2,778

Series A, Rev., 5.00%, 7/1/2026		3,385		4,084

State of Florida Department of Transportation Turnpike System

Series 2013A, Rev., 5.00%, 7/1/2022		35		36

Series 2013B, Rev., 5.00%, 7/1/2022		75		78

Series 2013A, Rev., 5.00%, 7/1/2023		30		33

Series 2016A, Rev., 5.00%, 7/1/2023		20		22

Series 2019A, Rev., 5.00%, 7/1/2024		25		28

Tohopekaliga Water Authority, Utility System

Rev., 4.00%, 10/1/2022		25		26

Rev., 4.00%, 10/1/2034		30		35


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Volusia County Educational Facility Authority, Embry Riddle Aeronautical University, Inc., Project

Series 2020A, Rev., 4.00%, 10/15/2035		400		469

Series 2020A, Rev., 4.00%, 10/15/2036		500		585


Total Florida				137,985


Georgia — 1.9%

Albany-Dougherty Inner City Authority, State University Projects

Rev., 5.00%, 7/1/2029		1,050		1,346

Rev., 5.00%, 7/1/2030		1,155		1,503

Rev., 5.00%, 7/1/2031		425		550

Athens-Clarke County Unified Government, Sales Tax GO, 5.00%, 12/1/2028		300		390

Cherokee County Board of Education, School System

GO, 5.00%, 8/1/2031		725		876

GO, 5.00%, 8/1/2032		750		906

GO, 5.00%, 8/1/2033		690		834

Cherokee County Water & Sewer Authority Rev., 5.00%, 8/1/2032		25		30

City of Atlanta, Water & Wastewater

Series 2013B, Rev., 5.00%, 11/1/2023		30		33

Rev., 5.00%, 11/1/2029		2,110		2,451

Rev., 5.00%, 11/1/2030		4,250		4,927

City of Columbus, Water & Sewerage

Series 2014A, Rev., 5.00%, 5/1/2027		445		501

Series 2014A, Rev., 5.00%, 5/1/2028		595		668

Rev., 5.00%, 5/1/2031		280		336

Rev., 5.00%, 5/1/2034		350		419

Rev., 5.00%, 5/1/2035		350		419

Clayton County Development Authority, Clayton State University

Rev., 5.00%, 7/1/2029		175		228

Rev., 5.00%, 7/1/2030		200		265

Rev., 5.00%, 7/1/2031		175		237

Rev., 5.00%, 7/1/2032		205		275

Rev., 5.00%, 7/1/2033		250		333

Rev., 5.00%, 7/1/2035		270		358

Cobb County, Kennestone Hospital Authority, Wellstar Health System, Inc., Project

Series 2020A, Rev., 4.00%, 4/1/2032		400		485

Series 2020A, Rev., 4.00%, 4/1/2033		500		604

Series 2020A, Rev., 4.00%, 4/1/2034		350		421

Series 2020A, Rev., 4.00%, 4/1/2035		250		300


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Georgia — continued

Series 2020A, Rev., 4.00%, 4/1/2036		505		604

Series 2020A, Rev., 3.00%, 4/1/2037		700		765

Series 2020A, Rev., 4.00%, 4/1/2039		475		563

Series 2020A, Rev., 3.00%, 4/1/2045		1,785		1,903

County of DeKalb, Water and Sewerage

Rev., 5.00%, 10/1/2021		35		35

Series B, Rev., 5.25%, 10/1/2022		4,810		5,078

Series B, Rev., 5.25%, 10/1/2023		8,660		9,574

Series 2006B, Rev., 5.25%, 10/1/2026		5,500		6,812

DeKalb Private Hospital Authority, Children’s Healthcare of Atlanta, Inc. Series 2019B, Rev., 5.00%, 7/1/2032		50		65

Forsyth County School District GO, 5.00%, 2/1/2022		30		31

Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series 2017A, Rev., 5.00%, 2/15/2028		115		141

George L Smith II Congress Center Authority, Convention Center Hotel First

Series 2021A, Rev., 2.38%, 1/1/2031		500		530

Series 2021A, Rev., 4.00%, 1/1/2036		500		582

George L Smith II Congress Center Authority, Convention Center Hotel Second

Series 2021B, Rev., 3.63%, 1/1/2031 (d)		1,170		1,313

Series 2021B, Rev., 5.00%, 1/1/2036 (d)		1,000		1,214

Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects

Rev., 5.00%, 6/15/2023		645		700

Rev., 5.00%, 6/15/2024		580		655

Rev., 5.00%, 6/15/2025		650		761

Rev., 5.00%, 6/15/2026		500		604

Rev., 5.00%, 6/15/2027		500		620

Rev., 5.00%, 6/15/2028		500		635

Rev., 5.00%, 6/15/2029		705		916

Rev., 5.00%, 6/15/2030		500		645

Rev., 5.00%, 6/15/2031		800		1,027

Rev., 3.00%, 6/15/2032		1,175		1,317

Rev., 5.00%, 6/15/2033		1,660		2,112

Rev., 5.00%, 6/15/2034		1,125		1,423

Rev., 5.00%, 6/15/2035		1,250		1,578

Rev., 4.00%, 6/15/2036		1,000		1,180

Rev., 4.00%, 6/15/2037		1,500		1,765

Rev., 4.00%, 6/15/2039		1,785		2,084


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Georgia — continued

Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project

Rev., 4.00%, 8/1/2035		500		597

Rev., 4.00%, 8/1/2036		375		446

Rev., 4.00%, 8/1/2037		495		587

Henry County, Water and Sewerage Authority

Rev., AGM-CR, BHAC-CR, NATL-RE, 5.25%, 2/1/2028		5,000		6,436

Rev., AGM-CR, BHAC-CR, NATL-RE, 5.25%, 2/1/2029		25		33

Main Street Natural Gas, Inc., Gas Project Series A, Rev., 5.50%, 9/15/2021		1,475		1,478

Newton County School District Series 2012A, GO, 5.00%, 4/1/2022		40		41

Polk School District, Sales Tax GO, 5.00%, 3/1/2025		360		419

Private Colleges and Universities Authority, Emory University

Series 2019A, Rev., 5.00%, 9/1/2028		40		52

Series A, Rev., 5.00%, 10/1/2043		2,005		2,185

State of Georgia

Series E, GO, 5.00%, 12/1/2023		20		22

Series A-2, GO, 5.00%, 2/1/2029		5,020		6,199


Total Georgia				85,422


Hawaii — 0.5%

City & County Honolulu, Wastewater System Series 2019A, Rev., 4.00%, 7/1/2025		25		28

City & County of Honolulu

Series 2019D, GO, 5.00%, 8/1/2023		20		22

Series B, GO, 5.00%, 10/1/2027		8,695		10,292

Series C, GO, 5.00%, 10/1/2027		3,000		3,551

City and County of Honolulu, Tax-Exempt Series 2017D, GO, 5.00%, 9/1/2023		20		22

State of Hawaii

Series FE, GO, 5.00%, 10/1/2027		1,315		1,613

Series FG, GO, 5.00%, 10/1/2028		2,500		3,058

Series FW, GO, 5.00%, 1/1/2032		5,000		6,408


Total Hawaii				24,994


Idaho — 0.2%

Idaho Housing and Finance Association, Federal Highway Trust

Series A, Rev., GRAN, 5.00%, 7/15/2025		2,550		2,994

Series A, Rev., GRAN, 5.00%, 7/15/2026		4,800		5,813


Total Idaho				8,807


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — 5.6%

Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2031		305		362

Chicago O’Hare International Airport, General Airport, Senior Lien Series C, Rev., 5.00%, 1/1/2022		195		198

City of Altamont, Electric Ars Series 2019B, GO, 3.00%, 1/1/2024		35		37

City of Aurora Series 2015-C, GO, 3.00%, 12/30/2022		100		104

City of Chicago, Motor Fuel Tax Rev., 5.00%, 1/1/2022		20		20

City of Chicago, Pilsen Redevelopment Project Series 2014A, Rev., 5.00%, 6/1/2022		1,000		1,029

City of Chicago, Wastewater Transmission, Second Lien Rev., 5.00%, 1/1/2022		700		711

City of Chicago, Waterworks, Second Lien

Rev., 5.00%, 11/1/2021		1,500		1,512

Rev., 5.00%, 11/1/2022		600		633

Rev., 5.00%, 11/1/2027		1,000		1,137

Rev., 5.00%, 11/1/2030		500		563

City of Country Club Hills GO, 4.00%, 12/1/2021		40		40

City of Decatur GO, AGM, 5.00%, 3/1/2028		15		17

City of Rockford, Sales Tax

GO, 4.00%, 12/15/2027		255		299

GO, 4.00%, 12/15/2029		515		607

GO, 4.00%, 12/15/2030		360		421

City of Springfield, Electric System, Senior Lien

Rev., 5.00%, 3/1/2027		4,500		5,200

Rev., 5.00%, 3/1/2028		4,000		4,615

Rev., AGM, 3.50%, 3/1/2030		3,500		3,744

Cook County School District No. 111, Burbank GO, AGM, 4.00%, 12/1/2035		50		57

Cook County School District No. 122, Ridgeland, Capital Appreciation GO, AGM-CR, NATL-RE, Zero Coupon, 12/1/2021 (c)		5,000		4,998

Cook County Township High School District No. 225, Glenbrook Series 2016A, GO, 5.00%, 12/1/2024		15		17

County of Cook, Sales Tax Rev., 5.00%, 11/15/2031		3,600		4,471

County of Du Page, Courthouse Project

GO, 5.00%, 1/1/2028		255		306

GO, 5.00%, 1/1/2029		730		875

County of Will GO, 4.00%, 11/15/2036		60		68


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Du Page Cook and Will Counties Community College District No. 502 GO, 5.00%, 6/1/2023		25		27

DuPage and Cook Counties Community Consolidated School District No. 181 Hinsdale

Rev., 5.00%, 12/1/2025		25		30

Series 2018A, GO, 4.00%, 1/15/2032		25		28

DuPage County Community Unit School District No. 200 Wheaton-Warrenville GO, 5.00%, 10/1/2025		30		35

DuPage County High School District No. 87 Glenbard GO, 5.00%, 1/1/2028		25		29

Illinois Finance Authority, Advocate Health and Hospital Corp. Obligated Group

Series 2013A, Rev., 5.00%, 6/1/2023		20		22

Rev., 4.13%, 5/1/2025		5		6

Rev., 4.13%, 5/1/2025 (c)		5		6

Rev., 4.13%, 5/1/2045		30		32

Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2039		80		102

Illinois Finance Authority, DePaul University Rev., 5.00%, 10/1/2021		305		306

Illinois Finance Authority, Plymouth Place, Inc.

Series 2021A, Rev., 5.00%, 5/15/2032		140		173

Series 2021A, Rev., 5.00%, 5/15/2033		145		179

Series 2021A, Rev., 5.00%, 5/15/2034		300		368

Series 2021A, Rev., 5.00%, 5/15/2035		315		384

Series 2021A, Rev., 5.00%, 5/15/2036		325		395

Illinois Finance Authority, Riverside Health System Rev., 4.00%, 11/15/2030		45		51

Illinois Finance Authority, Rush University Medical Center Obligated Group Series 2015A, Rev., 5.00%, 11/15/2024		1,000		1,147

Illinois Finance Authority, Social Bonds-Learn Chapter School Project

Rev., 4.00%, 11/1/2026		75		86

Rev., 4.00%, 11/1/2027		75		87

Rev., 4.00%, 11/1/2028		120		141

Rev., 4.00%, 11/1/2029		120		143

Rev., 4.00%, 11/1/2030		130		156

Rev., 4.00%, 11/1/2031		130		157

Rev., 4.00%, 11/1/2041		375		439

Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc. Series C, Rev., 5.00%, 3/1/2025		400		463


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Illinois Finance Authority, Township High School District Rev., 4.00%, 12/1/2035		40		48

Illinois Sports Facilities Authority (The), State Tax

Rev., 5.00%, 6/15/2028		2,000		2,504

Rev., 5.00%, 6/15/2029		2,500		3,171

Rev., 5.00%, 6/15/2030		1,500		1,892

Illinois State Toll Highway Authority

Series 2019C, Rev., 5.00%, 1/1/2028		25		32

Series 2015B, Rev., 5.00%, 1/1/2029		35		42

Series 2019C, Rev., 5.00%, 1/1/2029		7,500		9,729

Series 2016B, Rev., 5.00%, 1/1/2030		30		36

Series 2019C, Rev., 5.00%, 1/1/2030		19,000		25,136

Series 2019C, Rev., 5.00%, 1/1/2031		11,050		14,442

Series 2016A, Rev., 5.00%, 12/1/2031		30		36

Kane Cook and DuPage Counties School District No. U-46 Elgin Series 2015D, GO, 5.00%, 1/1/2034		1,700		1,879

Kane County Community Unit School District No. 304 Geneva GO, 5.00%, 1/1/2029		20		25

Kane County School District No. 131 Aurora East Side

Series 2020A, GO, AGM, 4.00%, 12/1/2028		65		78

Series 2020A, GO, AGM, 4.00%, 12/1/2029		65		78

Series 2020B, GO, AGM, 4.00%, 12/1/2029		40		48

Series 2020A, GO, AGM, 4.00%, 12/1/2030		75		89

Series 2020A, GO, AGM, 4.00%, 12/1/2031		100		118

Series 2020A, GO, AGM, 4.00%, 12/1/2032		115		136

Series 2020A, GO, AGM, 4.00%, 12/1/2033		130		153

Series 2020A, GO, AGM, 4.00%, 12/1/2034		230		270

Series 2020A, GO, AGM, 4.00%, 12/1/2035		280		327

Series 2020A, GO, AGM, 4.00%, 12/1/2036		250		292

Lake County Community Consolidated School District No. 3 Beach Park

GO, AGM, 4.00%, 2/1/2030		730		871

GO, AGM, 4.00%, 2/1/2031		830		985

GO, AGM, 4.00%, 2/1/2032		535		632

GO, AGM, 4.00%, 2/1/2033		500		588

McHenry County Community Consolidated School District No. 47 Crystal Lake Rev., 4.00%, 2/1/2028		25		29

Northern Illinois University, Auxiliary Facilities System

Series 2020B, Rev., 5.00%, 4/1/2027		550		669

Series 2020B, Rev., 5.00%, 4/1/2028		650		808

Series 2020B, Rev., 5.00%, 4/1/2029		425		539


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Series 2020B, Rev., 5.00%, 4/1/2030		250		323

Series 2020B, Rev., 5.00%, 4/1/2032		650		830

Series 2020B, Rev., 5.00%, 4/1/2033		675		860

Series 2020B, Rev., 5.00%, 4/1/2034		475		603

Regional Transportation Authority Series 2002A, Rev., NATL-RE, 6.00%, 7/1/2029		55		74

Sales Tax Securitization Corp.

Series 2017A, Rev., 5.00%, 1/1/2027		90		110

Series C, Rev., 5.50%, 1/1/2030		18,250		23,970

Series C, Rev., 5.50%, 1/1/2031		26,360		34,422

Series C, Rev., 5.25%, 1/1/2034		22,520		28,747

Southwestern Illinois Development Authority, Flood Prevention District Council Project Rev., 5.00%, 4/15/2030		625		810

State of Illinois

GO, 5.00%, 5/1/2022		160		165

Series 2018A, GO, 5.00%, 10/1/2022		180		189

GO, 5.00%, 3/1/2023		10		10

GO, 5.00%, 5/1/2023		120		129

Series 2018A, GO, 4.00%, 5/1/2024		50		55

Series D, GO, 5.00%, 11/1/2024		15,715		17,911

GO, 5.00%, 1/1/2025		700		802

GO, 5.00%, 3/1/2025		5,600		5,730

GO, 5.00%, 8/1/2025		25		26

GO, 5.00%, 2/1/2026		4,900		5,792

GO, 5.00%, 3/1/2026		5,910		6,042

Series 2017D, GO, 5.00%, 11/1/2026		5,175		6,240

GO, 5.00%, 6/1/2027		25		30

GO, 5.00%, 1/1/2028		150		175

GO, 4.13%, 3/1/2028		30		31

GO, 4.50%, 2/1/2029		450		491

Series A, GO, 5.00%, 5/1/2030		35		43

GO, 4.13%, 11/1/2031		40		45

GO, 4.00%, 6/1/2032		100		111

Series 2021A, GO, 4.00%, 3/1/2038		2,250		2,637

GO, 5.00%, 2/1/2039		2,255		2,467

Series 2021A, GO, 4.00%, 3/1/2039		2,100		2,454

State of Illinois Sales Tax

Rev., 5.00%, 6/15/2023		40		43

Series D, Rev., 5.00%, 6/15/2024		40		46

Village of Bolingbrook Series 2014A, GO, AGM, 5.00%, 1/1/2032		150		172

Village of Bolingbrook, Capital Appreciation Series C, GO, NATL-RE, Zero Coupon, 1/1/2023		2,195		2,176


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Village of Bolingbrook, Will and Dupage Counties, Special Service Areas Numbers 2001-1, 2001-2, 2001-3, and 2002-1

Rev., AGM, 4.00%, 3/1/2026		620		706

Rev., AGM, 4.00%, 3/1/2027		375		436

Rev., AGM, 4.00%, 3/1/2028		1,000		1,172

Village of Westmont GO, 4.00%, 1/1/2027		45		53

Will County Community Unit School District No. 365-U Valley View, Limited School Bonds

GO, 4.00%, 1/1/2030		975		1,111

GO, 4.00%, 1/1/2033		1,000		1,135

GO, 3.00%, 7/1/2036		1,700		1,806

Will County Forest Preservation District, Limited Tax

GO, 5.00%, 12/15/2031		500		661

GO, 5.00%, 12/15/2032		500		659

GO, 5.00%, 12/15/2033		710		932

GO, 5.00%, 12/15/2034		915		1,197

Will Grundy Etc. Counties Community College District No. 525, Joliet Junior College GO, 5.00%, 1/1/2026		40		48


Total Illinois				257,392


Indiana — 1.6%

Brownsburg 1999 School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2028		10		12

Carmel Redevelopment Authority, Option Income Tax Lease Rental Series 2014B, Rev., 5.00%, 7/1/2023		25		27

City of Evansville, Waterworks District Series 2014B, Rev., 5.00%, 1/1/2022 (c)		700		711

City of Fishers Series 2018C, GO, 5.00%, 1/1/2026		40		48

City of Franklin, Otterbeit Homes

Series B, Rev., 5.00%, 7/1/2025		1,500		1,750

Series B, Rev., 5.00%, 7/1/2027		500		616

Series B, Rev., 5.00%, 7/1/2030		670		859

Series B, Rev., 5.00%, 7/1/2032		735		933

Series B, Rev., 4.00%, 7/1/2034		805		945

Series B, Rev., 4.00%, 7/1/2035		685		804

City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (d)		750		746

City of Greensburg, Sewage Works Rev., 3.00%, 5/1/2025		100		109


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

City of Jeffersonville, Vivera Senior Living of Jeffersonville Project Series 2020A, Rev., 5.25%, 11/1/2040 (d)		4,560		4,782

City of Rockport, Indiana Michigan Power Co. Project Series A, Rev., 3.05%, 6/1/2025		11,600		12,731

East Allen Multi School Building Corp., Indiana Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 1/15/2038		25		30

Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project

Rev., 5.00%, 8/1/2024		1,095		1,217

Rev., 5.00%, 2/1/2025		500		555

Greenfield Middle School Building Corp., Ad Valorem Property Tax First Mortgage

Rev., 4.00%, 7/15/2033		245		282

Rev., 4.00%, 1/15/2035		550		627

Hamilton Southeastern Consolidated School Building Corp., Ad Valorem Property Tax First Mortgage

Series B-2, Rev., 4.00%, 7/15/2023		5		5

Rev., 5.00%, 1/15/2026		30		36

Hobart Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2029		65		78

Huntington Countywide School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2035		35		44

Indiana Bond Bank, Hamilton County Projects

Series 2019B, Rev., Zero Coupon, 7/15/2024		220		217

Series 2019B, Rev., Zero Coupon, 1/15/2025		200		196

Series 2019B, Rev., Zero Coupon, 7/15/2025		450		439

Series 2019B, Rev., Zero Coupon, 1/15/2026		370		358

Series 2019B, Rev., Zero Coupon, 7/15/2026		370		356

Series 2019B, Rev., Zero Coupon, 1/15/2027		325		310

Series 2019B, Rev., Zero Coupon, 7/15/2027		320		302

Series 2019B, Rev., Zero Coupon, 1/15/2028		450		420

Series 2019B, Rev., Zero Coupon, 7/15/2028		450		416

Series 2019B, Rev., Zero Coupon, 1/15/2029		560		511


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Indiana — continued

Series 2019B, Rev., Zero Coupon, 7/15/2029		735		663

Series 2019B, Rev., Zero Coupon, 1/15/2030		750		661

Series 2019B, Rev., Zero Coupon, 7/15/2030		740		640

Indiana Bond Bank, Special Program, Columbus Learning Center Project Series 2012C, Rev., 5.00%, 8/1/2022		20		21

Indiana Finance Authority, Educational Facilities, Kipp Indianapolis, Inc., Project Series 2020A, Rev., 4.00%, 7/1/2030		110		123

Indiana Finance Authority, Educational Facilities, Valparaiso University

Rev., 5.00%, 10/1/2024		1,000		1,124

Rev., 5.00%, 10/1/2025		675		780

Rev., 4.00%, 10/1/2034		170		198

Rev., 4.00%, 10/1/2035		415		483

Indiana Finance Authority, First Lien Wastewater, CWA Authority Project

Series 2101A, Rev., 5.25%, 10/1/2021		1,000		1,004

Series 2016A, Rev., 5.00%, 10/1/2036		70		85

Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group

Series 2016B, Rev., 5.00%, 11/1/2026		10		12

Series 2017B, Rev., 5.00%, 11/1/2032		25		31

Indiana Finance Authority, Goshen Health

Series A, Rev., 5.00%, 11/1/2030		500		618

Series A, Rev., 5.00%, 11/1/2031		1,020		1,252

Series A, Rev., 5.00%, 11/1/2032		530		649

Series A, Rev., 5.00%, 11/1/2033		1,110		1,354

Series A, Rev., 5.00%, 11/1/2034		760		925

Series A, Rev., 5.00%, 11/1/2035		665		808

Series A, Rev., 4.00%, 11/1/2036		230		262

Series A, Rev., 4.00%, 11/1/2037		335		380

Series A, Rev., 4.00%, 11/1/2038		340		385

Series A, Rev., 4.00%, 11/1/2039		355		401

Indiana Finance Authority, Green Bonds

Series 2019A, Rev., 5.00%, 2/1/2033		30		39

Series 2019A, Rev., 5.00%, 2/1/2034		35		45

Indiana Finance Authority, Rose-Hulman Institute of Technology Project

Rev., 5.00%, 6/1/2028		200		250

Rev., 5.00%, 6/1/2030		110		143

Rev., 5.00%, 6/1/2032		70		90

Rev., 4.00%, 6/1/2034		120		143


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

Indiana Finance Authority, State Revolving Fund Program

Series 2011A, Rev., 5.00%, 2/1/2022 (c)		5,205		5,310

Series C, Rev., 5.00%, 2/1/2023 (c)		3,000		3,206

Series 2017B, Rev., 5.00%, 2/1/2026		20		24

Series A, Rev., 5.00%, 2/1/2027		1,000		1,158

Series 2018A, Rev., 5.00%, 2/1/2035		100		125

Indiana Housing and Community Development Authority, Vita of Marion Project

Series 2021B, Rev., 4.00%, 4/1/2024		500		510

Series 2021A, Rev., 5.00%, 4/1/2031 (d)		665		701

Series 2021A, Rev., 5.25%, 4/1/2041 (d)		1,875		2,007

Indiana University Series A, Rev., 5.00%, 6/1/2022 (c)		1,000		1,037

Indianapolis Local Public Improvement Bond Bank, Courthouse and Jail Project Series 2019A, Rev., 5.00%, 2/1/2032		225		289

Indianapolis Local Public Improvement Bond Bank, Pilot Infrastructure Project Series 2017C, Rev., 5.00%, 1/1/2035		195		241

Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2024		1,250		1,331

Lawrence Township School Building Corp., Ad Valorem Property Tax

Rev., 5.00%, 1/15/2030		150		196

Rev., 5.00%, 7/15/2030		250		328

Rev., 5.00%, 1/15/2031		230		306

Michigan City School Building Corp., Ad Valorem Property Tax First Mortgage Series 2016A, Rev., 5.00%, 1/15/2025		4,925		5,569

MSD Warren Township Vision 2005 School Building Corp., First Mortgage, Ad Valorem Property Tax Rev., 4.00%, 7/10/2032		25		30

North Adams Community Schools Renovation Building Corp., First Mortgage, Ad Valorem Property Tax Rev., 5.00%, 7/15/2032		25		31

Northern Wells Multi-School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 4.00%, 7/15/2035		50		57

Perry Township Multi School Building Corp., Ad Valorem Property Tax First Mortgage Series 2012B, Rev., 5.00%, 7/15/2022		25		26

Plainfield High School Building Corp., Ad Valorem Property Tax First Mortgage Refunding

Rev., 5.00%, 7/15/2023		750		818

Rev., 5.00%, 7/15/2024		1,255		1,419


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Indiana — continued

Series 2019A, Rev., 5.00%, 7/15/2028		30		38

Purdue University, Student Fee Series DD, Rev., 5.00%, 7/1/2026		1,000		1,219

Valparaiso Multi-Schools Building Corp., Unlimited AD Valorem Property Tax First Mortgage

Rev., 5.00%, 7/15/2022		30		31

Rev., 4.00%, 1/15/2024		50		55

Yorktown Redevelopment Authority, Ad Valorem Property Tax Lease Rev., 4.00%, 1/15/2026		35		40


Total Indiana				71,143


Iowa — 0.3%

City of Cedar Rapids, Sewer Series 2019C, Rev., 4.00%, 6/1/2031		25		29

City of Des Moines, Capital Loan Notes Series 2014E, GO, 5.00%, 6/1/2022		30		31

County of Linn

COP, 4.00%, 6/1/2030		490		572

COP, 4.00%, 6/1/2032		1,455		1,688

COP, 4.00%, 6/1/2033		1,615		1,870

COP, 4.00%, 6/1/2034		700		808

COP, 4.00%, 6/1/2035		575		663

Iowa Finance Authority, Senior Living Facility, Sunrise Retirement Community Project

Rev., 3.00%, 9/1/2022		315		318

Rev., 4.00%, 9/1/2025		115		122

Rev., 5.00%, 9/1/2026		85		94

Rev., 5.00%, 9/1/2028		200		226

Rev., 5.00%, 9/1/2030		110		124

Rev., 5.00%, 9/1/2031		100		112

Rev., 5.00%, 9/1/2036		440		487

Iowa Finance Authority, State Revolving Fund

Rev., 5.00%, 8/1/2026 (c)		5,220		6,379

Rev., 5.00%, 8/1/2027		30		35

Rev., 5.00%, 8/1/2031		30		39

Iowa Finance Authority, Unitypoint Health Series 2016E, Rev., 5.00%, 8/15/2023		435		475

State of Iowa, IJOBS Program, Special Obligation Series 2016A, Rev., 5.00%, 6/1/2023		35		38

State of Iowa, Special Obligation Rev., 5.00%, 6/15/2024		200		226

Waukee Community School District Series 2016B, GO, 5.00%, 6/1/2022		20		21


Total Iowa				14,357


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Kansas — 0.6%

Butler County, Unified School District No. 385 Andover, School Building GO, 5.00%, 9/1/2027 (c)		790		997

City of Manhattan, Meadowlark Hills

Series 2021A, Rev., 4.00%, 6/1/2026		315		352

Series 2021A, Rev., 4.00%, 6/1/2027		330		374

Series 2021A, Rev., 4.00%, 6/1/2028		300		345

Series 2021A, Rev., 4.00%, 6/1/2036		500		577

Series 2021A, Rev., 4.00%, 6/1/2046		500		564

City of Wichita, Airport Bonds Series 2015A, GO, 4.00%, 12/1/2040		25		28

Johnson and Miami Counties Unified School District No. 230 Spring Hills Series 2018-A, GO, 4.00%, 9/1/2033		2,965		3,473

Riley County Unified School District No. 383, Manhattan-Ogden

Series 2018A, GO, 5.00%, 9/1/2032		40		50

Series 2018A, GO, 5.00%, 9/1/2034		60		74

State of Kansas Department of Transportation

Series 2018A, Rev., 5.00%, 9/1/2023		20		22

Series 2015B, Rev., 5.00%, 9/1/2029		5,150		6,068

Series B, Rev., 5.00%, 9/1/2030		8,025		9,452

Series B, Rev., 5.00%, 9/1/2035		4,625		5,424

Wyandotte County Unified School District No. 203 Piper

Series A, GO, 5.00%, 9/1/2041		1,000		1,245

Series 2018A, GO, 5.00%, 9/1/2042		30		37


Total Kansas				29,082


Kentucky — 1.4%

City of Hazard, Appalachian Regional Healthcare, Inc.

Rev., 4.00%, 7/1/2035		1,300		1,570

Rev., 4.00%, 7/1/2037		1,000		1,200

Rev., 4.00%, 7/1/2038		1,040		1,244

County of Carroll, Kentucky Environmental Facilities

Series A, Rev., AMT, 2.00%, 2/1/2032		11,025		11,464

Series B, Rev., AMT, 2.13%, 10/1/2034		7,440		7,731

Jefferson County Capital Projects Corp. Series A, Rev., AGM, 4.25%, 6/1/2022		1,000		1,003

Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series B, Rev., 5.00%, 8/15/2028		2,885		3,582

Kentucky Economic Development Finance Authority, Commonspirit Health

Series A-1, Rev., 5.00%, 8/1/2031		1,250		1,600


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Kentucky — continued

Series A-1, Rev., 5.00%, 8/1/2032		1,000		1,277

Series A-1, Rev., 5.00%, 8/1/2035		500		633

Kentucky Economic Development Finance Authority, Owensboro Health, Inc.

Series 2017A, Rev., AGM, 4.00%, 6/1/2037		1,750		1,957

Series A, Rev., 5.00%, 6/1/2037		2,795		3,277

Kentucky Public Energy Authority, Gas Supply

Series A, Rev., 4.00%, 4/1/2024 (b)		6,450		7,019

Series 2019C, Rev., 4.00%, 2/1/2028 (b)		15,000		17,767

Kentucky State Property and Buildings Commission, Project No. 84 Rev., NATL-RE, 5.00%, 8/1/2022		1,175		1,228


Total Kentucky				62,552


Louisiana — 0.8%

City of Alexandria, Utilities Series 2013A, Rev., 5.00%, 5/1/2023 (c)		1,400		1,513

City of Shreveport, Water and Sewer Improvement Series 2016B, Rev., 5.00%, 12/1/2031		75		91

City of Shreveport, Water and Sewer, Junior Lien

Series 2018C, Rev., 5.00%, 12/1/2023		370		408

Series C, Rev., 5.00%, 12/1/2024		510		585

Series 2018C, Rev., 5.00%, 12/1/2025		835		990

Series 2018C, Rev., 5.00%, 12/1/2026		500		612

Series 2018C, Rev., 5.00%, 12/1/2028		400		513

Series 2019B, Rev., AGM, 5.00%, 12/1/2029		300		384

Series C, Rev., 5.00%, 12/1/2029		1,500		1,913

Series 2019B, Rev., AGM, 5.00%, 12/1/2030		500		638

Series 2019B, Rev., AGM, 5.00%, 12/1/2031		500		637

Series 2019B, Rev., AGM, 5.00%, 12/1/2032		445		567

Series 2019B, Rev., AGM, 4.00%, 12/1/2033		325		379

Louisiana Public Facilities Authority, Lincoln Preparatory School Project

Series 2021A, Rev., 5.00%, 6/1/2031 (d)		450		506

Series 2021A, Rev., 5.00%, 6/1/2041 (d)		525		578

Louisiana Public Facilities Authority, Mentorship Steam Academy Project

Series 2021A, Rev., 5.00%, 6/1/2036 (d)		385		424

Series 2021A, Rev., 5.00%, 6/1/2042 (d)		440		477

Series 2021A, Rev., 5.00%, 6/1/2051 (d)		705		756


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Louisiana — continued

Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project

Rev., 5.00%, 5/15/2026		20		24

Rev., 5.00%, 5/15/2031		875		1,145

Rev., 5.00%, 5/15/2032		900		1,173

Rev., 5.00%, 5/15/2033		700		909

Rev., 5.00%, 5/15/2034		875		1,133

Louisiana Public Facilities Authority, Tulane University Project

Series 2016A, Rev., 5.00%, 12/15/2027		160		195

Series 2020A, Rev., 5.00%, 4/1/2032		150		195

Series 2020A, Rev., 5.00%, 4/1/2034		500		646

Louisiana State University, Agricultural and Mechanical College, Auxiliary Facilities System Rev., 3.75%, 7/1/2036		75		79

State of Louisiana

Series 2012C, GO, 5.00%, 7/15/2022		15		16

Series 2019A, Rev., 5.00%, 9/1/2022		30		31

Series 2019A, GO, 5.00%, 3/1/2035		13,000		16,620

Series 2019A, GO, 5.00%, 3/1/2038		3,470		4,407


Total Louisiana				38,544


Maine — 0.1%

City of Portland GO, 5.00%, 4/1/2024		25		28

Maine Health and Higher Educational Facilities Authority, John F Murphy Homes, Inc. Series 2019B, Rev., 4.00%, 7/1/2036		25		29

Maine Health and Higher Educational Facilities Authority, Mainehealth

Series 2020A, Rev., 5.00%, 7/1/2033		1,000		1,310

Series 2020A, Rev., 5.00%, 7/1/2034		1,000		1,303

Series 2020A, Rev., 5.00%, 7/1/2035		500		650

Series 2020A, Rev., 4.00%, 7/1/2036		950		1,136

Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2034		660		818

Maine Municipal Bond Bank, Transcap Program Series 2015A, Rev., 5.00%, 9/1/2024		70		80

University of Maine System Rev., AGM, 4.00%, 3/1/2027		100		111


Total Maine				5,465


Maryland — 4.2%

City of Baltimore, Consolidated Public Improvement Series 2017B, GO, 5.00%, 10/15/2027		2,000		2,527

City of Baltimore, Wastewater Projects Series 2017A, Rev., 5.00%, 7/1/2041		13,845		16,833


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Maryland — continued

County of Anne Arundel, Consolidated General Improvements

GO, 5.00%, 10/1/2026		6,285		7,723

GO, 5.00%, 10/1/2027		6,000		7,587

GO, 5.00%, 10/1/2034		3,360		4,073

GO, 5.00%, 10/1/2035		2,395		2,905

GO, 5.00%, 10/1/2037		3,400		4,119

County of Anne Arundel, Consolidated Water and Sewer

GO, 5.00%, 10/1/2026		2,260		2,777

GO, 5.00%, 10/1/2027		2,260		2,858

GO, 5.00%, 10/1/2034		1,875		2,273

GO, 5.00%, 10/1/2035		1,925		2,335

County of Baltimore, Consolidated Public Improvement

GO, 5.00%, 8/1/2026		1,400		1,650

GO, 5.00%, 3/1/2028		4,930		6,303

GO, 5.00%, 3/1/2029		5,540		7,033

GO, 5.00%, 3/1/2030		6,335		8,006

County of Baltimore, Metropolitan District, 2019 Crossover GO, 5.00%, 11/1/2024		25		29

County of Baltimore, Metropolitan District, 80th Issue

GO, 5.00%, 3/1/2027		4,830		6,009

GO, 5.00%, 3/1/2029		5,500		6,982

GO, 5.00%, 3/1/2030		5,665		7,158

GO, 5.00%, 3/1/2031		6,125		7,724

County of Howard, Consolidated Public Improvement

Series 2018A, GO, 5.00%, 2/15/2027		5,435		6,752

Series A, GO, 5.00%, 2/15/2029		6,605		8,380

Series D, GO, 5.00%, 2/15/2030		4,780		6,040

Series 2017D, GO, 4.00%, 2/15/2032		40		48

County of Montgomery, Consolidated Public Improvement

Series 2017C, GO, 5.00%, 10/1/2026		5,000		6,144

Series A, GO, 5.00%, 11/1/2026		4,150		5,112

County of Montgomery, Department of Liquor Control Series 2019A, Rev., 5.00%, 4/1/2027		75		93

County of Prince George’s, Consolidated Public Improvement Series 2018A, GO, 5.00%, 7/15/2029		10		13

Maryland Economic Development Corp., Port Covington Project Rev., 4.00%, 9/1/2040		875		1,010


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Maryland — continued

Maryland Health and Higher Educational Facilities Authority, Frederick Health System Issue

Rev., 3.25%, 7/1/2039		175		193

Rev., 4.00%, 7/1/2040		215		254

Rev., 4.00%, 7/1/2045		800		932

Rev., 4.00%, 7/1/2050		1,295		1,495

Maryland Health and Higher Educational Facilities Authority, Lifebridge Health Issue

Rev., 4.00%, 7/1/2035		1,000		1,121

Rev., 4.00%, 7/1/2036		1,000		1,120

Maryland Health and Higher Educational Facilities Authority, Medstar Health Issue Series 2017A, Rev., 5.00%, 5/15/2045		1,205		1,466

Maryland Health and Higher Educational Facilities Authority, Stevenson University Project

Rev., 5.00%, 6/1/2029		150		192

Rev., 5.00%, 6/1/2031		175		231

Rev., 5.00%, 6/1/2033		200		262

Rev., 4.00%, 6/1/2034		350		421

Rev., 4.00%, 6/1/2035		475		570

Rev., 4.00%, 6/1/2037		445		530

Rev., 4.00%, 6/1/2039		465		551

Rev., 4.00%, 6/1/2040		250		295

State of Maryland Department of Transportation Rev., 5.00%, 10/1/2027		2,000		2,451

State of Maryland, State and Local Facilities Loan of 2017

Series 2017A, GO, 5.00%, 3/15/2024		40		45

Series A, GO, 5.00%, 3/15/2028		5,280		6,549

Series A, GO, 4.00%, 3/15/2030		22,225		26,228

Series A, GO, 5.00%, 3/15/2031		1,920		2,374

State of Maryland, State and Local Facilities Loan of 2018 Series A, GO, 5.00%, 3/15/2029		4,225		5,378

Washington Suburban Sanitary District, Consolidated Public Improvement

Rev., GTD, 4.00%, 6/1/2025		40		45

Rev., GTD, 5.00%, 6/1/2030		25		33


Total Maryland				193,232


Massachusetts — 3.3%

City of Westfield, Municipal Purpose Loan

GO, 5.00%, 10/15/2022		25		27

GO, 5.00%, 3/1/2024		20		22


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Massachusetts — continued

City of Woburn GO, 5.00%, 7/15/2027		45		57

Commonwealth of Massachusetts

Series B, GO, 5.25%, 8/1/2023		10,000		10,980

Series 2006B, GO, AGM, 5.25%, 9/1/2023		15		17

Series 2016A, GO, 5.00%, 7/1/2026		45		55

Series 2018B, GO, 5.00%, 7/1/2026		45		55

Series 2019A, GO, 5.00%, 1/1/2027		25		31

Series 2017D, GO, 5.00%, 7/1/2027		45		56

Series A, GO, 5.00%, 7/1/2027		25		31

Series A, GO, 5.00%, 7/1/2036		3,535		4,122

Commonwealth of Massachusetts Federal Highway, Accelerated Bridge Program Series 2013A, Rev., GAN, 5.00%, 6/15/2022 (c)		20		21

Commonwealth of Massachusetts Transportation Fund Series 2016A, Rev., 5.00%, 6/1/2027		15		18

Commonwealth of Massachusetts, Consolidated Loan Series E, GO, AMBAC, 5.00%, 11/1/2025		5,000		5,964

Commonwealth of Massachusetts, Consolidated Loan of 2014 Series 7, GO, 5.00%, 7/1/2024		40		45

Commonwealth of Massachusetts, Consolidated Loan of 2015 Series 2015D, GO, 4.00%, 9/1/2029		9,460		10,740

Commonwealth of Massachusetts, Consolidated Loan of 2016

Series A, GO, 5.00%, 3/1/2031		2,250		2,514

Series A, GO, 5.00%, 3/1/2032		1,000		1,117

Series J, GO, 4.00%, 12/1/2039		13,125		15,143

Commonwealth of Massachusetts, Consolidated Loan of 2017

Series A, GO, 5.00%, 4/1/2032		9,145		11,279

Series 2017A, GO, 5.00%, 4/1/2033		10,000		12,342

Series 2017D, GO, 5.00%, 2/1/2036		40		49

Commonwealth of Massachusetts, Consolidated Loan of 2018

Series 2018B, GO, 5.00%, 1/1/2027		10,000		12,374

Series 2018A, GO, 5.00%, 1/1/2040		35		43

Commonwealth of Massachusetts, Consolidated Loan of 2020 Series 2020A, GO, 5.00%, 3/1/2023		20		21

Essex North Shore Agricultural and Technical School District, State Qualified School Bonds GO, 4.00%, 6/1/2043		35		39


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Massachusetts — continued

Massachusetts Bay Transportation Authority Assessment

Series A, Rev., 5.25%, 7/1/2025		2,250		2,677

Series A, Rev., 5.25%, 7/1/2027		10,530		13,389

Massachusetts Bay Transportation Authority, Sales Tax

Series 2014A, Rev., 5.00%, 7/1/2023		25		27

Series 2004A, Rev., 5.50%, 7/1/2024		25		29

Series B, Rev., NATL-RE, 5.50%, 7/1/2026		5		6

Series 2015A, Rev., 5.00%, 7/1/2027		25		29

Series 2017A-2, Rev., 5.00%, 7/1/2027		25		31

Series 2005A, Rev., 5.00%, 7/1/2028		25		32

Series A, Rev., 5.25%, 7/1/2029		5,000		6,672

Series A, Rev., 5.00%, 7/1/2031		1,255		1,721

Series A-1, Rev., 5.25%, 7/1/2033		5,000		7,233

Massachusetts Clean Water Trust (The), Revolving Funds

Series 21, Rev., 5.00%, 8/1/2031		110		140

Series 22, Rev., 5.00%, 8/1/2033		25		33

Massachusetts Development Finance Agency, Mass General Brigham Issue Series 2020A-2, Rev., 5.00%, 7/1/2029		75		98

Massachusetts Development Finance Agency, Milford Regional Medical Center

Series G, Rev., 5.00%, 7/15/2023 (d)		120		129

Series G, Rev., 5.00%, 7/15/2024 (d)		130		144

Series G, Rev., 5.00%, 7/15/2025 (d)		120		137

Series G, Rev., 5.00%, 7/15/2027 (d)		320		384

Series G, Rev., 5.00%, 7/15/2029 (d)		600		747

Series G, Rev., 5.00%, 7/15/2031 (d)		675		855

Series G, Rev., 5.00%, 7/15/2032 (d)		400		505

Massachusetts Development Finance Agency, Suffolk University Issue

Rev., 5.00%, 7/1/2029		440		563

Rev., 5.00%, 7/1/2030		720		916

Rev., 5.00%, 7/1/2031		620		782

Rev., 5.00%, 7/1/2032		770		969

Rev., 5.00%, 7/1/2033		800		1,002

Rev., 5.00%, 7/1/2034		550		687

Massachusetts Development Finance Agency, Wellforce Issue

Series 2020C, Rev., AGM, 5.00%, 10/1/2028		1,165		1,485

Series 2020C, Rev., AGM, 5.00%, 10/1/2029		665		866


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Massachusetts — continued

Series 2020C, Rev., AGM, 5.00%, 10/1/2030		675		896

Series 2020C, Rev., AGM, 5.00%, 10/1/2031		635		839

Series 2020C, Rev., AGM, 5.00%, 10/1/2033		1,290		1,692

Series 2020C, Rev., AGM, 5.00%, 10/1/2034		1,175		1,536

Series 2020C, Rev., AGM, 3.00%, 10/1/2045		1,770		1,893

Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series M, Rev., 5.25%, 7/1/2025		4,070		4,845

Massachusetts School Building Authority, Dedicated Sales Tax Series 2015B, Rev., 5.00%, 1/15/2025		40		46

Massachusetts Transportation Trust Fund Metropolitan Highway System, Commonwealth Contract Assistance Secured

Series A, Rev., 5.00%, 1/1/2028		3,765		4,782

Series 2019C, Rev., 5.00%, 1/1/2035		40		51

Massachusetts Water Resources Authority

Series B, Rev., AGM, 5.25%, 8/1/2023		20		22

Series B, Rev., AGM, 5.25%, 8/1/2024		3,110		3,566

Series C, Rev., 5.00%, 8/1/2030		55		69

Series B, Rev., AGM, 5.25%, 8/1/2036		20		31

Town of Longmeadow GO, 5.00%, 6/1/2025		25		29

Town of Middleborough, Municipal Purpose Loan GO, 4.00%, 10/1/2023		25		27

Town of South Hadley, Municipal Purpose Loan Series 2017A, GO, 4.00%, 6/15/2022		40		41

Town of Southwick, Municipal Purpose Loan GO, 5.00%, 12/15/2028		25		32

Town of Stoughton, Municipal Purpose Loan

GO, 5.00%, 10/15/2022		35		37

GO, 4.00%, 10/15/2038		50		59

University of Massachusetts Building Authority Series 2019-1, Rev., 5.00%, 5/1/2035		105		135


Total Massachusetts				150,078


Michigan — 1.1%

Bath Community Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2025		100		113

Bendle Public School District, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2035		40		45

Cadillac Area Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2041		45		56


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Michigan — continued

Caledonia Community Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2044		70		75

Charter Township of Meridian, Unlimited Tax GO, 5.00%, 10/1/2023		30		33

City of Grand Rapids, Sanitary Sewer System

Series A, Rev., AGM-CR, BHAC-CR, FGIC, 5.50%, 1/1/2022		1,115		1,135

Rev., 5.00%, 1/1/2026		25		30

Rev., 5.00%, 1/1/2027		400		479

Rev., 5.00%, 1/1/2028		325		388

Rev., 5.00%, 1/1/2029		350		417

Rev., 5.00%, 1/1/2032		750		890

Rev., 5.00%, 1/1/2033		1,400		1,661

Rev., 5.00%, 1/1/2036		185		238

Rev., 4.00%, 1/1/2037		500		598

Rev., 5.00%, 1/1/2038		35		43

City of Troy, Limited Tax GO, 5.25%, 11/1/2021 (c)		1,005		1,014

County of Genesee, Water Supply System GO, 5.00%, 2/1/2024		90		100

Dansville Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2039		25		28

Forest Hills Public Schools, Unlimited Tax GO, 5.00%, 5/1/2023		20		22

Grand Rapids Charter Township Economic Development Corp., Porter Hills Presbyterian Village Project

Rev., 4.00%, 5/15/2027		2,645		3,010

Rev., 5.00%, 5/15/2037		4,575		5,414

Grand Rapids Public Schools, Unlimited Tax

GO, AGM, 5.00%, 11/1/2030		1,350		1,728

GO, AGM, 5.00%, 11/1/2032		1,500		1,910

GO, AGM, 5.00%, 11/1/2034		1,045		1,324

GO, AGM, 5.00%, 11/1/2035		1,500		1,896

Grosse Pointe Public School System GO, 5.00%, 5/1/2035		45		58

Hartford Public Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2037		35		39

Holland School District GO, AGM, 4.00%, 5/1/2035		25		27

Holt Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2028		45		57

Hudsonville Public Schools, Unlimited Tax Series 2020-I, GO, Q-SBLF, 5.00%, 5/1/2031		25		33


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Michigan — continued

Huron School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2044		35		43

Kalamazoo Economic Development Corp., Heritage Community of Kalamazoo Project

Rev., 2.63%, 5/15/2025		1,150		1,153

Rev., 2.88%, 5/15/2026		1,545		1,559

Lakeview School District, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2022		90		93

Lansing Community College, Building and Site

GO, 5.00%, 5/1/2029		60		76

GO, 5.00%, 5/1/2030		600		753

GO, 5.00%, 5/1/2032		635		792

Lapeer Community Schools GO, Q-SBLF, 5.00%, 5/1/2024		15		17

Lawrence Public Schools GO, Q-SBLF, 4.00%, 5/1/2026		30		33

Macomb Interceptor Drain Drainage District, Limited Tax GTD, 5.00%, 5/1/2028		85		108

Michigan Finance Authority, Aqunias College Project Rev., 4.00%, 5/1/2031		540		568

Michigan Finance Authority, Henry Ford Health System

Rev., 5.00%, 11/15/2023		510		563

Rev., 4.00%, 11/15/2035		1,900		2,154

Michigan Finance Authority, Kettering University Project Rev., 4.00%, 9/1/2045		500		569

Michigan Finance Authority, Local Government Loan Program, Detroit Water and Sewerage Department Water Supply System Local Project Series 2014D-4, Rev., 5.00%, 7/1/2034		50		56

Michigan Finance Authority, Trinity Health Credit Group

Rev., 5.00%, 12/1/2021 (c)		1,000		1,012

Series 2017MI, Rev., 5.00%, 12/1/2027		50		62

Series 2017A-MI, Rev., 5.00%, 12/1/2029		125		157

Series 2017A-MI, Rev., 5.00%, 12/1/2035		130		162

Series 2016MI, Rev., 5.25%, 12/1/2041		475		567

Michigan State Hospital Finance Authority, Ascension Health Credit Group Series B-4, Rev., 5.00%, 11/15/2027		50		58

Michigan Strategic Fund, Community Colleges Skilled Trades Equipment Program Rev., 5.00%, 3/1/2025		315		364

Michigan Strategic Fund, Holland Home Obligated Group

Rev., 4.00%, 11/15/2022		185		192


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Michigan — continued

Rev., 4.00%, 11/15/2023		185		197

Rev., 4.00%, 11/15/2024		585		639

Rev., 5.00%, 11/15/2029		1,700		2,027

Michigan Strategic Fund, United Methodist Retirement Communities Obligated Group, Porter Hills Presbyterian Village Project Rev., 5.00%, 5/15/2037		2,360		2,793

North Branch Area Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023		20		22

Novi Community School District, School Building and Site, Unlimited Tax Series 2020-I, GO, 5.00%, 5/1/2030		30		40

Ottawa County Board of County Road Commissioners, Michigan Transportation Fund Notes Rev., 5.00%, 8/1/2025		25		29

Plymouth-Canton Community School District Series 2015B, GO, AGM, 4.00%, 5/1/2035		50		57

Roseville Community Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2028		25		32

South Lyon Community Schools, School Building and Site GO, 4.00%, 5/1/2038		25		28

State of Michigan, Environmental Program

Series 2016A, GO, 5.00%, 12/1/2023		20		22

Series A, GO, 5.00%, 12/1/2028		4,300		4,947

State of Michigan, Trunk Line Fund Rev., 5.00%, 11/15/2021		4,980		5,029

University of Michigan

Rev., 5.00%, 4/1/2028		25		30

Series 2019A, Rev., 5.00%, 4/1/2029		25		33

Rev., 5.00%, 4/1/2031		15		18

Rev., 5.00%, 4/1/2033		2,190		2,604

Utica Community Schools, School Building and Site Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2028		25		32

Warren Consolidated Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2034		25		30

Waterford School District GO, Q-SBLF, 4.00%, 5/1/2032		40		46


Total Michigan				52,627


Minnesota — 0.5%

Circle Pines Independent School District No. 12 Series 2015A, GO, Zero Coupon, 2/1/2023		800		798

City of Brainerd Series 2016A, GO, 5.00%, 10/1/2024		10		11

City of Brooklyn Park Series 2018A, GO, 5.00%, 2/1/2026		1,005		1,205


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Minnesota — continued

City of Hastings Series 2019A, GO, 5.00%, 2/1/2030		70		88

City of Minneapolis, Health Care System, Fairview Health Services

Series A, Rev., 4.00%, 11/15/2037		6,230		7,174

Series A, Rev., 4.00%, 11/15/2038		750		864

Series 2018A, Rev., 4.00%, 11/15/2048		2,000		2,276

Series A, Rev., 5.00%, 11/15/2049		1,000		1,223

City of New Hope, Capital Improvement Plan Series 2017A, GO, 5.00%, 2/1/2026		10		12

City of Savage Series 2019A, GO, 4.00%, 2/1/2029		25		29

City of Woodbury, Charter School Lease

Rev., 3.00%, 12/1/2030		250		266

Series 2021A, Rev., 4.00%, 7/1/2031		355		402

Rev., 4.00%, 12/1/2040		200		220

Series 2021A, Rev., 4.00%, 7/1/2041		445		493

Clearbrook-Gonvick Independent School District No. 2311 Series 2019A, GO, 5.00%, 2/1/2024		120		134

County of Douglas, Law Enforcement Center Series 2019B, GO, 5.00%, 2/1/2028		5		6

Duluth Economic Development Authority, Benedictine Health System

Series 2021A, Rev., 4.00%, 7/1/2031		800		892

Series 2021A, Rev., 4.00%, 7/1/2036		1,500		1,656

Series 2021A, Rev., 4.00%, 7/1/2041		930		1,019

Duluth Independent School District No. 709

Series 2019B, COP, 5.00%, 2/1/2023		190		201

Series 2019B, COP, 5.00%, 2/1/2024		215		238

Series 2019B, COP, 5.00%, 2/1/2025		190		217

Series 2019B, COP, 5.00%, 2/1/2026		200		235

Series 2019B, COP, 5.00%, 2/1/2027		185		223

Series 2019B, COP, 5.00%, 2/1/2028		175		216

Hutchinson Independent School District No. 423 Series 2016A, GO, 5.00%, 2/1/2026		10		12

Itasca County Independent School District No. 318, School Building, Minnesota School District Credit Enhancement Program Series 2018A, GO, 5.00%, 2/1/2030		1,400		1,699

Lakeville Independent School District No. 194 Series 2020B, COP, 4.00%, 4/1/2026		140		162

Mahnomen Independent School District No. 432 Series A, GO, 2.00%, 2/1/2029		25		26

Minneapolis-St. Paul Metropolitan Airports Commission

Series 2019C, Rev., 5.00%, 1/1/2026		100		119


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Minnesota — continued

Series A, Rev., 5.00%, 1/1/2026		25		30

Series A, Rev., 5.00%, 1/1/2027		85		105

Series A, Rev., 5.00%, 1/1/2032		35		42

Series 2019A, Rev., 5.00%, 1/1/2034		50		64

Minnesota Higher Education Facilities Authority, Carleton College Rev., 5.00%, 3/1/2027		725		892

Minnesota Municipal Power Agency Series 2014A, Rev., 5.00%, 10/1/2024		10		11

State of Minnesota, Various Purpose

Series 2017A, GO, 5.00%, 10/1/2029		65		82

Series 2019A, GO, 5.00%, 8/1/2035		30		39


Total Minnesota				23,381


Mississippi — 1.1%

City of Tupelo

GO, 4.00%, 12/1/2024		165		185

GO, 4.00%, 12/1/2025		150		173

GO, 4.00%, 12/1/2027		475		571

GO, 4.00%, 12/1/2030		545		663

Mississippi Development Bank, Department of Corrections Walnut Grove Correctional Facility Refunding Bonds Project Rev., 5.00%, 8/1/2025		35		41

Mississippi Development Bank, Department of Transportation Special Obligation, Industrial Development Authority Series 2015A, Rev., 5.00%, 1/1/2026		35		40

Mississippi Development Bank, Northwest Mississippi Community College Improvement Project

Rev., 4.00%, 3/1/2033		205		243

Rev., 4.00%, 3/1/2034		230		272

Rev., 4.00%, 3/1/2036		500		588

Rev., 4.00%, 3/1/2037		730		857

Mississippi Development Bank, Public Improvement Rev., 4.00%, 3/1/2025		100		112

Mississippi Development Bank, Rankin County Bond Project Rev., 5.00%, 3/1/2023		30		32

Mississippi Development Bank, Rankin County School District Project Rev., 3.50%, 6/1/2042		450		489

Mississippi Development Bank, Rankin County, Mississippi General Obligation Bond Project Rev., 5.00%, 8/1/2034		350		449

Mississippi State University Educational Building Corp., University Facilities Refinancing Series 2017A, Rev., 5.00%, 8/1/2028		25		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Mississippi — continued

Oxford School District GO, 4.00%, 5/1/2022		10		10

State of Mississippi

Series A, GO, 5.00%, 11/1/2030		1,250		1,526

Series A, GO, 5.00%, 11/1/2031		2,750		3,357

Series 2019B, GO, 5.00%, 10/1/2033		30		39

Series A, GO, 5.00%, 11/1/2034		7,595		9,244

Series A, GO, 4.00%, 11/1/2036		5,030		5,805

Series A, GO, 4.00%, 11/1/2038		21,155		24,341

State of Mississippi, Gaming Tax

Series 2019A, Rev., 5.00%, 10/15/2025		1,005		1,184

Series 2019A, Rev., 5.00%, 10/15/2026		1,500		1,822


Total Mississippi				52,074


Missouri — 1.6%

City of Gladstone Series A, COP, 3.00%, 12/1/2025		5		5

City of Kansas City, Downtown Arena Project Series E, Rev., 5.00%, 4/1/2028		90		104

Columbia School District GO, 4.00%, 3/1/2030		1,595		1,862

County of Jackson, Special Obligation Rev., 4.00%, 12/1/2023		25		27

Fort Zumwalt School District, Missouri Direct Deposit Program GO, 5.00%, 3/1/2036		40		48

Health and Educational Facilities Authority of the State of Missouri, City Art Institute Rev., 5.00%, 9/1/2030		210		263

Health and Educational Facilities Authority of the State of Missouri, Coxhealth and Obligated Group

Series 2019A, Rev., 5.00%, 11/15/2032		135		172

Series 2019A, Rev., 5.00%, 11/15/2038		250		314

Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects

Series 2019A, Rev., 5.00%, 2/1/2029		550		623

Series 2019A, Rev., 5.00%, 2/1/2042		1,000		1,117

Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2027		100		124

Health and Educational Facilities Authority of the State of Missouri, SSM Health System Series 2014A, Rev., 4.00%, 6/1/2023		100		107

Health and Educational Facilities Authority of the State of Missouri, St. Luke’s Health System, Inc.

Rev., 5.00%, 11/15/2034		1,000		1,311

Rev., 5.00%, 11/15/2035		1,350		1,766


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Missouri — continued

Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital

Rev., 5.00%, 9/1/2022		540		561

Rev., 5.00%, 9/1/2024		300		334

Rev., 5.00%, 9/1/2025		315		362

Rev., 5.00%, 9/1/2026		620		730

Rev., 5.00%, 9/1/2029		1,420		1,772

Jefferson City School District, Missouri Direct Deposit Program GO, 5.00%, 3/1/2025		35		41

Kansas City Industrial Development Authority, City International Airport Terminal Modernization Project

Series 2019B, Rev., AMT, 5.00%, 3/1/2032		1,250		1,577

Series 2019B, Rev., AMT, 5.00%, 3/1/2033		2,250		2,831

Series 2019C, Rev., 5.00%, 3/1/2033		2,485		3,158

Metropolitan St. Louis Sewer District, Wastewater System Improvement

Series 2017A, Rev., 5.00%, 5/1/2029		6,765		8,411

Series 2015B, Rev., 5.00%, 5/1/2031		530		616

Series B, Rev., 5.00%, 5/1/2032		1,900		2,208

Series B, Rev., 5.00%, 5/1/2033		4,430		5,143

Series B, Rev., 5.00%, 5/1/2034		2,000		2,320

Series B, Rev., 5.00%, 5/1/2035		2,125		2,462

Missouri Highway and Transportation Commission, First Lien Series A, Rev., 5.00%, 5/1/2026		25,750		31,150

Missouri State Board of Public Buildings Series 2018A, Rev., 5.00%, 4/1/2027		25		30

Pattonville-Bridgeton Terrace Fire Protection District GO, 4.00%, 11/1/2025		25		29

St. Charles County Public Water Supply District No. 2 COP, 5.00%, 12/1/2026		15		18


Total Missouri				71,596


Montana — 0.6%

City of Missoula, Water System

Series 2019A, Rev., 5.00%, 7/1/2026		300		364

Series 2019A, Rev., 5.00%, 7/1/2027		535		666

Series 2019A, Rev., 5.00%, 7/1/2028		480		612

Series 2019A, Rev., 5.00%, 7/1/2029		1,000		1,270

Series 2019A, Rev., 5.00%, 7/1/2030		690		871

Series 2019A, Rev., 5.00%, 7/1/2031		870		1,097

Series 2019A, Rev., 5.00%, 7/1/2032		720		907

Series 2019A, Rev., 5.00%, 7/1/2033		565		710

Series 2019A, Rev., 5.00%, 7/1/2034		545		683


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Montana — continued

Series 2019A, Rev., 5.00%, 7/1/2035		550		688

Series 2019A, Rev., 5.00%, 7/1/2036		800		998

Series 2019A, Rev., 5.00%, 7/1/2038		850		1,055

Series 2019A, Rev., 5.00%, 7/1/2039		840		1,041

Series 2019A, Rev., 4.00%, 7/1/2044		3,500		4,076

Gallatin County School District No. 44 Belgrade, School Building

GO, 5.00%, 6/1/2027		205		254

GO, 5.00%, 6/1/2028		250		316

GO, 4.00%, 6/1/2029		290		352

GO, 4.00%, 6/1/2030		230		277

GO, 4.00%, 6/1/2031		370		442

GO, 4.00%, 6/1/2032		255		303

GO, 4.00%, 6/1/2033		155		183

GO, 4.00%, 6/1/2034		175		206

GO, 4.00%, 6/1/2035		270		317

GO, 4.00%, 6/1/2036		300		350

GO, 4.00%, 6/1/2037		410		477

GO, 4.00%, 6/1/2038		375		436

GO, 4.00%, 6/1/2039		385		446

Montana Facility Finance Authority, SCL Health System

Series A, Rev., 4.00%, 1/1/2035		4,000		4,814

Series A, Rev., 4.00%, 1/1/2036		3,000		3,596

Series A, Rev., 4.00%, 1/1/2038		960		1,145

Montana State Board of Regents, University of Montana Series 2019B, Rev., 5.00%, 11/15/2028		55		71


Total Montana				29,023


Nebraska — 1.4%

Central Plains Energy Project, Gas Project No. 3

Rev., 5.25%, 9/1/2022		100		105

Series 2017A, Rev., 5.00%, 9/1/2042		1,500		2,220

Central Plains Energy Project, Gas Project No. 4 Series 2018A, Rev., 5.00%, 1/1/2024 (b)		9,000		9,905

City of Columbus, Combined Utilities System Rev., 5.00%, 6/15/2027		145		180

City of Lincoln, Electric System

Series 2020A, Rev., 5.00%, 9/1/2025		40		47

Series 2020A, Rev., 5.00%, 9/1/2033		30		40

City of Lincoln, Water Rev., 5.00%, 8/15/2028		105		135

City of Omaha, Sanitary Sewerage System Rev., 5.00%, 11/15/2031		1,825		2,091

City of Omaha, Various Purpose GO, 4.00%, 4/15/2034		75		90


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nebraska — continued

County of Cherry, Limited Tax GO, 3.00%, 12/15/2023		15		16

Douglas County Hospital Authority No. 2, Children’s Hospital Obligated Group

Series 2020A, Rev., 5.00%, 11/15/2024		100		114

Series 2020A, Rev., 5.00%, 11/15/2025		175		207

Series 2020A, Rev., 5.00%, 11/15/2026		400		487

Series 2020A, Rev., 5.00%, 11/15/2027		400		500

Series 2020A, Rev., 5.00%, 11/15/2028		500		638

Series 2020A, Rev., 5.00%, 11/15/2029		285		370

Series 2020A, Rev., 5.00%, 11/15/2030		225		296

Series 2020A, Rev., 5.00%, 11/15/2031		275		359

Series 2020A, Rev., 5.00%, 11/15/2033		625		810

Series 2020A, Rev., 5.00%, 11/15/2034		600		776

Series 2020A, Rev., 4.00%, 11/15/2035		550		663

Series 2020A, Rev., 4.00%, 11/15/2036		425		511

Series 2020A, Rev., 4.00%, 11/15/2037		525		630

Series 2020A, Rev., 4.00%, 11/15/2038		600		718

Series 2020A, Rev., 4.00%, 11/15/2039		600		716

Douglas County Hospital Authority No. 2, Health Facilities, Nebraska Medicine

Rev., 5.00%, 5/15/2023		75		81

Rev., 5.00%, 5/15/2031		25		30

Douglas County School District, Elkhorn Public Schools

GO, 5.00%, 12/15/2025		160		192

GO, 5.00%, 12/15/2026		400		495

GO, 5.00%, 12/15/2027		175		222

GO, 5.00%, 12/15/2028		180		233

GO, 5.00%, 12/15/2029		250		331

GO, 5.00%, 12/15/2030		450		597

GO, 5.00%, 12/15/2031		325		428

GO, 4.00%, 12/15/2032		165		201

GO, 4.00%, 12/15/2033		185		225

GO, 4.00%, 12/15/2034		350		424

GO, 4.00%, 12/15/2035		350		422

Douglas County, Omaha School District No. 001

GO, 4.00%, 12/15/2041		10,000		11,636

GO, 4.00%, 12/15/2042		10,000		11,609

Lancaster County School District No. 1, Lincoln Public Schools GO, 5.00%, 1/15/2026		1,675		2,005

Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Retirement Communities Obligated Group

Series 2019A, Rev., 4.00%, 1/1/2033		150		171


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Nebraska — continued

Series 2019A, Rev., 4.00%, 1/1/2035		1,000		1,137

Series 2019A, Rev., 4.00%, 1/1/2036		1,250		1,420

Series 2019A, Rev., 4.00%, 1/1/2038		1,300		1,472

Omaha Public Facilities Corp., Omaha Baseball Stadium Project Series 2016A, Rev., 5.00%, 6/1/2023		25		27

Omaha Public Power District, Electric System

Series 2019A, Rev., 5.00%, 2/1/2031		35		45

Series 2017A, Rev., 5.00%, 2/1/2035		1,250		1,553

Series A, Rev., 5.00%, 2/1/2036		1,750		2,170

Series A, Rev., 5.00%, 2/1/2037		2,000		2,476

Public Power Generation Agency, Whelan Energy Center Unit 2 Series A, Rev., 5.00%, 1/1/2034		500		597


Total Nebraska				62,823


Nevada — 0.7%

Clark County School District, Limited Tax Series A, GO, 5.00%, 6/15/2026		2,080		2,513

County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien, McCarran International Airport Series 2019A, Rev., 5.00%, 7/1/2026		110		134

County of Clark, Flood Control Crossover, Limited Tax GO, 5.00%, 11/1/2024		200		230

County of Clark, Las Vegas Convention and Visitors Authority, Limited Tax Series 2015A, GO, 4.00%, 7/1/2033		75		84

County of Clark, Limited Tax Series B, GO, 5.00%, 11/1/2027		15,030		18,446

County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility

Series 2017B, Rev., AMT, 5.00%, 7/1/2024		200		226

Series 2015C, Rev., 5.00%, 7/1/2027		195		244

County of Clark, Stadium Improvement, Limited Tax

Series A, GO, 5.00%, 6/1/2026		1,985		2,405

Series A, GO, 5.00%, 6/1/2027		1,225		1,529

Series A, GO, 5.00%, 6/1/2028		1,165		1,488

Series A, GO, 5.00%, 6/1/2030		4,030		5,078

County of Clark, Transportation Improvement, Limited Tax Series 2018B, GO, 5.00%, 12/1/2024		40		46

County of Washoe, Fuel Tax

Rev., 5.00%, 2/1/2036		80		101

Rev., 5.00%, 2/1/2042		150		186


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nevada — continued

Las Vegas Valley Water District

Series C, GO, 5.00%, 9/15/2023		30		33

Series B, GO, 5.00%, 12/1/2023		45		50

Series 2019A, GO, 5.00%, 6/1/2030		40		52

State of Nevada Highway Improvement, Motor Vehicle Fuel Tax Rev., 5.00%, 12/1/2031		25		31

State of Nevada, Limited Tax Series 2015D, GO, 5.00%, 4/1/2023		25		27

Washoe County School District, Limited Tax, School Improvement Series 2020A, GO, 4.00%, 10/1/2035		45		54


Total Nevada				32,957


New Hampshire — 0.0% (e)

New Hampshire Municipal Bond Bank Series 2017B, Rev., 5.00%, 8/15/2023		20		22


New Jersey — 4.1%

Atlantic City Board of Education GO, AGM, 4.00%, 4/1/2023		50		53

Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project

Series 2021A, Rev., AGM, 5.00%, 7/1/2032		100		133

Series 2021A, Rev., AGM, 5.00%, 7/1/2034		60		80

Series 2021A, Rev., AGM, 5.00%, 7/1/2035		75		99

Bergen County Improvement Authority (The), Guaranteed Governmental Loan Rev., GTD, 5.00%, 8/15/2034		50		63

Burlington County Bridge Commission, Governmental Leasing Program Rev., 5.00%, 4/15/2030		950		1,197

City of Jersey, General Improvement Series 2017A, GO, 5.00%, 11/1/2026		85		104

County of Middlesex, Redevelopment General Improvement GO, 4.00%, 1/15/2024		25		27

County of Ocean, General Improvement GO, 4.00%, 9/1/2023		75		81

Freehold Township Board of Education GO, 4.00%, 7/15/2025		85		96

Monmouth County Improvement Authority (The), Governmental Pooled Loan Project

Rev., GTD, 5.00%, 12/1/2021		20		20

Rev., GTD, 4.00%, 12/1/2024		35		40

Series 2019A, Rev., 4.00%, 8/1/2035		25		30

Monroe Township Commissioners Fire District No. 3 GO, 5.00%, 10/15/2022		25		26


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

New Jersey Economic Development Authority, Motor Vehicle Surcharge Series 2017A, Rev., 4.00%, 7/1/2034		200		226

New Jersey Economic Development Authority, School Facilities Construction

Series LLL, Rev., 5.00%, 6/15/2028		2,750		3,470

Series LLL, Rev., 5.00%, 6/15/2029		1,970		2,527

Rev., 5.00%, 6/15/2033		300		392

Rev., 4.00%, 6/15/2034		500		600

Series 2019-LLL, Rev., 5.00%, 6/15/2034		1,000		1,275

Rev., 4.00%, 6/15/2035		400		479

Rev., 4.00%, 6/15/2036		575		686

Rev., 4.00%, 6/15/2037		640		760

Series EEE, Rev., 5.00%, 6/15/2043		2,000		2,467

New Jersey Economic Development Authority, Transit Transportation Project

Series 2020A, Rev., 4.00%, 11/1/2037		1,500		1,751

Series 2020A, Rev., 4.00%, 11/1/2038		3,250		3,783

New Jersey Educational Facilities Authority, Princeton University Series 2017 I, Rev., 5.00%, 7/1/2031		40		50

New Jersey Educational Facilities Authority, Stevens Institute of Technology

Series 2020A, Rev., 5.00%, 7/1/2032		420		540

Series 2020A, Rev., 5.00%, 7/1/2033		330		423

Series 2020A, Rev., 5.00%, 7/1/2034		265		339

Series 2020A, Rev., 5.00%, 7/1/2035		570		727

Series 2020A, Rev., 5.00%, 7/1/2036		1,095		1,393

New Jersey Transportation Trust Fund Authority

Series 2019BB, Rev., 5.00%, 6/15/2032		2,000		2,518

Series 2020AA, Rev., 4.00%, 6/15/2035		870		1,041

Series 2020AA, Rev., 4.00%, 6/15/2036		2,000		2,385

Series 2020AA, Rev., 4.00%, 6/15/2037		3,000		3,563

Series 2020AA, Rev., 4.00%, 6/15/2038		1,000		1,184

Series 2020AA, Rev., 4.00%, 6/15/2045		5,000		5,808

New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement

Series A, Rev., 5.00%, 6/15/2024		10,880		12,272

Series A, Rev., 5.00%, 6/15/2029		10,000		11,918

Series 2018A, Rev., 5.00%, 6/15/2030		6,850		8,143

Series A, Rev., 5.00%, 6/15/2031		5,000		5,925

New Jersey Transportation Trust Fund Authority, Transportation Program Series 2013AA, Rev., 5.00%, 6/15/2036		5,000		5,384


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New Jersey — continued

New Jersey Transportation Trust Fund Authority, Transportation System

Series B, Rev., AMBAC, 5.25%, 12/15/2022		5,000		5,321

Series 2012A, Rev., 5.00%, 6/15/2042		500		519

Passaic Valley Water Commission, Water Supply System Rev., AGM, 5.00%, 12/15/2021		25		25

Rutgers The State University of New Jersey Series 2016M, Rev., 5.00%, 5/1/2030		100		119

State of New Jersey, Covid-19 Emergency Bonds GO, 4.00%, 6/1/2032		38,140		48,076

State of New Jersey, COVID-19 Emergency Bonds GO, 4.00%, 6/1/2031		19,000		23,732

Tobacco Settlement Financing Corp.

Series A, Rev., 5.00%, 6/1/2023		3,000		3,245

Series A, Rev., 5.00%, 6/1/2024		3,645		4,106

Series A, Rev., 5.00%, 6/1/2025		3,500		4,090

Series A, Rev., 5.00%, 6/1/2026		3,500		4,224

Series A, Rev., 5.00%, 6/1/2028		3,000		3,821

Series A, Rev., 5.00%, 6/1/2029		4,500		5,695

Series A, Rev., 4.00%, 6/1/2037		1,000		1,167

Township of Harrison GO, 4.00%, 8/1/2023		25		27

Township of Hazlet GO, 4.00%, 8/1/2023		25		27

Township of Montclair, General Improvement Series 2017A, GO, 4.00%, 3/1/2024		35		38

Township of Moorestown, General Improvement and Water Sewer Utility GO, 5.00%, 2/1/2028		30		38

Township of Mount Laurel GO, 4.00%, 4/15/2023		25		27


Total New Jersey				188,375


New Mexico — 0.2%

Albuquerque Municipal School District No. 12, School Building

GO, 5.00%, 8/1/2030		800		1,012

GO, 5.00%, 8/1/2031		850		1,074

GO, 5.00%, 8/1/2032		1,050		1,323

GO, 5.00%, 8/1/2033		1,385		1,741

GO, 5.00%, 8/1/2035		1,980		2,479

Baltimore County, Gross Receipts Tax Series B, Rev., NATL-RE-IBC, 5.70%, 4/1/2027		960		1,122

Central New Mexico Community College, Limited Tax GO, 5.00%, 8/15/2022		40		42

City of Santa Fe, Senior Lien, Gross Receipts Tax Series 2018A, Rev., 5.00%, 6/1/2032		30		38

City of Santa Fe, Wastewater Utility System Rev., 5.00%, 6/1/2024		45		51


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Mexico — continued

City of Santa Fe, Water Utility System Rev., 4.00%, 6/1/2031		50		57

New Mexico Finance Authority, Subordinate Lien Public Project Revolving Fund, Tax-Exempt

Series 2019C-1, Rev., 5.00%, 6/15/2029		100		131

Series 2019C-1, Rev., 4.00%, 6/15/2035		25		30

State of New Mexico, Severance Tax Permanent Fund Series 2017A, Rev., 5.00%, 7/1/2024		180		204

University of New Mexico (The), Subordinate Lien System Series 2014C, Rev., 5.00%, 6/1/2024 (c)		50		57


Total New Mexico				9,361


New York — 12.0%

Battery Park City Authority, Tax-Exempt Series 2013A, Rev., 5.00%, 11/1/2021		35		35

Bedford Central School District, Boces Project GO, 4.00%, 7/1/2032		45		56

Buffalo and Erie County Industrial Land Development Corp., D’youville College Project

Rev., 4.00%, 11/1/2035		515		607

Rev., 4.00%, 11/1/2040		1,035		1,202

Build NYC Resource Corp., New World Preparatory Charter School Project

Series 2021A, Rev., 4.00%, 6/15/2041		240		268

Series 2021A, Rev., 4.00%, 6/15/2051		320		350

City of New York Series B, GO, 4.00%, 8/1/2022		25		26

City of New York, Fiscal Year 2006 Series H, Subseries 2006H-A, GO, 4.00%, 1/1/2023		20		21

City of New York, Fiscal Year 2013

Series 2013J, GO, 5.00%, 8/1/2022		95		99

Series 2013J, GO, 5.00%, 8/1/2023		55		60

City of New York, Fiscal Year 2014 Series G, GO, 5.00%, 8/1/2025		9,520		10,619

City of New York, Fiscal Year 2015 Series 1, GO, 5.00%, 8/1/2023		20		22

City of New York, Fiscal Year 2016

Series A, GO, 5.00%, 8/1/2023		20		22

Series C, GO, 5.00%, 8/1/2023		50		55

Series E, GO, 5.00%, 8/1/2023		75		81

Series C, GO, 4.00%, 8/1/2025		20		23

City of New York, Fiscal Year 2017

Series 2017B-1, GO, 5.00%, 12/1/2022		30		32

Series C, GO, 5.00%, 8/1/2023		310		340


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

City of New York, Fiscal Year 2018

Series C, GO, 5.00%, 8/1/2022		95		99

Series A, GO, 4.00%, 8/1/2023		50		54

Series C, GO, 5.00%, 8/1/2024		20		23

Series A, GO, 5.00%, 8/1/2027		35		44

City of New York, Fiscal Year 2019 Series 2019A, GO, 5.00%, 8/1/2024		20		23

City of New York, Fiscal Year 2020

Series B, Subseries B-1, GO, 5.00%, 10/1/2033		25		32

Series B, Subseries B-1, GO, 5.00%, 10/1/2039		90		115

County of Albany, Various Purpose GO, 5.00%, 4/1/2022		40		41

County of Monroe, Public Improvement GO, AGM, 5.00%, 6/1/2024		25		28

County of Suffolk

Series 2015B, GO, AGM, 5.00%, 10/1/2023		50		55

Series 2015C, GO, 5.00%, 5/1/2025		10		11

Series 2017D, GO, 5.00%, 10/15/2026		105		127

County of Westchester

Series 2016A, GO, 5.00%, 1/1/2022		15		15

Series 2019F, GO, 5.00%, 12/15/2025		30		36

Erie County Fiscal Stability Authority, Sales Tax and State Aid Secured Series 2017D, Rev., 5.00%, 9/1/2038		25		31

Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project

Series 2016A, Rev., 5.00%, 5/1/2022		35		36

Series 2013A, Rev., 5.00%, 5/1/2024		25		27

Series 2013A, Rev., 5.00%, 5/1/2027		65		70

Hauppauge Union Free School District GO, 5.00%, 7/15/2023		20		22

Hudson Yards Infrastructure Corp., Second Indenture Series 2017A, Rev., 5.00%, 2/15/2037		50		60

Huntington Local Development Corp., Fountaingate Garden Project Series 2021C, Rev., 3.00%, 7/1/2025		865		903

Long Island Power Authority, Electric System

Series 2012B, Rev., 5.00%, 9/1/2024		20		21

Rev., 5.00%, 9/1/2034		5,000		6,377

Rev., 5.00%, 9/1/2035		3,000		3,830

Metropolitan Transportation Authority

Series 2018C, Subseries 2018C-2, Rev., BAN, 5.00%, 9/1/2021		3,350		3,350


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Series 2011A, Rev., 4.00%, 11/15/2021 (c)		10		10

Subseries C-1, Rev., 5.25%, 11/15/2029		6,000		7,100

Series 2017C-1, Rev., 5.00%, 11/15/2030		5,025		6,218

Subseries C-1, Rev., 5.00%, 11/15/2035		3,000		3,460

Metropolitan Transportation Authority, Dedicated Tax Fund

Series 2016A, Rev., 5.00%, 11/15/2025		45		54

Series 2016B-1, Rev., 5.00%, 11/15/2025		150		179

Middle Country Central School District at Centereach GO, 4.00%, 8/15/2022		35		36

Monroe County Industrial Development Corp., Rochester Schools Modernization Project

Rev., 5.00%, 5/1/2022		155		160

Rev., 5.00%, 5/1/2026		35		42

Rev., 5.00%, 5/1/2029		25		32

Rev., 5.00%, 5/1/2032		675		827

Rev., 5.00%, 5/1/2033		810		989

Monroe County Industrial Development Corp., True North Rochester Preparatory Charter School Project Series 2020A, Rev., 5.00%, 6/1/2040 (d)		630		750

New York City Industrial Development Agency, United Jewish Appeal — Federation of Jewish Philanthropies of New York, Inc., Project Series 2004B, Rev., 5.00%, 7/1/2034		150		152

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2013 Series 2013S-1, Rev., 5.00%, 7/15/2024		25		26

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2015

Series 2015S-2, Rev., 5.00%, 7/15/2040		50		58

Series S-1, Rev., 5.00%, 7/15/2040		45		52

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2016

Series 2016S-1, Rev., 5.00%, 7/15/2029		30		36

Series 2016 S-1, Rev., 5.00%, 7/15/2033		70		82

Series 2016S-1, Rev., 4.00%, 7/15/2036		45		51

Series 2016S-1, Rev., 5.00%, 7/15/2043		45		53

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018

Series 2018S-2, Rev., 5.00%, 7/15/2030		25		31

Series 2018S-2, Rev., 5.00%, 7/15/2031		45		56

Series 2018S-4, Rev., 5.00%, 7/15/2032		25		32

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019

Series S-3, Subseries S-3A, Rev., 5.00%, 7/15/2029		25		32


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Series 2019S-2A, Rev., 5.00%, 7/15/2030		125		159

Series S-2A, Rev., 4.00%, 7/15/2037		5,000		5,878

Series S-3, Subseries S-3A, Rev., 5.00%, 7/15/2037		180		227

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2012 Series 2012D-1, Rev., 5.00%, 11/1/2021		60		60

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014

Series 2014A-1, Rev., 5.00%, 11/1/2022		35		37

Series 2014B-1, Rev., 5.00%, 11/1/2026		40		45

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015

Series 2015E-1, Rev., 5.00%, 2/1/2024		25		28

Series B, Subseries B-1, Rev., 5.00%, 8/1/2029		55		62

Series 2015A-1, Rev., 5.00%, 8/1/2037		100		113

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2016

Series 2016E-1, Rev., 5.00%, 2/1/2031		30		36

Series E-1, Rev., 5.00%, 2/1/2035		7,295		8,662

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017

Series C, Rev., 5.00%, 11/1/2030		5,685		7,005

Series E, Subseries E-1, Rev., 5.00%, 2/1/2031		1,410		1,724

Series E, Subseries E-1, Rev., 5.00%, 2/1/2032		7,000		8,543

Series 2017F-1, Rev., 5.00%, 5/1/2032		25		31

Series E, Subseries E-1, Rev., 5.00%, 2/1/2033		10,000		12,183

Series 2017A-1, Rev., 4.00%, 5/1/2036		40		45

Subseries E-1, Rev., 5.00%, 2/1/2039		2,525		3,060

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019

Series 2019C-1, Rev., 5.00%, 11/1/2022		40		42

Series 2019C-1, Rev., 5.00%, 11/1/2034		45		58

Series 2019C-1, Rev., 5.00%, 11/1/2035		65		84

Series 2019A-1, Rev., 5.00%, 8/1/2038		30		38

Series A, Subseries A-1, Rev., 5.00%, 8/1/2040		2,100		2,627

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020-I, Rev., 5.00%, 11/1/2022		25		26

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2013 Series 2013G, Rev., 4.00%, 11/1/2022		25		26


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2018

Series 2018-A-2, Rev., 5.00%, 8/1/2033		30		37

Series 2018-A-2, Rev., 5.00%, 8/1/2038		25		31

Series C-3, Rev., 5.00%, 5/1/2039		70		87

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2020

Series A, Subseries A-2, Rev., 5.00%, 5/1/2035		125		161

Series 2020B-1, Rev., 5.00%, 11/1/2035		35		46

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2012

Series 2012EE, Rev., 4.00%, 6/15/2045		30		31

Series 2012FF, Rev., 4.00%, 6/15/2045		45		46

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2014

Series 2014DD, Rev., 5.00%, 6/15/2023 (c)		40		43

Series 2014DD, Rev., 5.00%, 6/15/2024		50		57

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015

Series 2015HH, Rev., 5.00%, 6/15/2029		75		88

Series FF, Rev., 5.00%, 6/15/2031		5,000		5,857

Series 2015AA, Rev., 4.00%, 6/15/2044		25		27

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2017 Series EE, Rev., 5.00%, 6/15/2036		5,000		6,132

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2018

Series 2018CC-2, Rev., 5.00%, 6/15/2025		20		22

Series 2018EE, Rev., 5.00%, 6/15/2035		35		41

Series 2018FF, Rev., 5.00%, 6/15/2040		50		63

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2019

Series 2019FF-2, Rev., 4.00%, 6/15/2037		16,245		19,405

Subseries 2019EE-2, Rev., 5.00%, 6/15/2040		35		45

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2020

Series 2020CC-1, Rev., 4.00%, 6/15/2038		10,000		12,036

Series 2020AA, Rev., 5.00%, 6/15/2040		25		32

Series 2020CC-2, Rev., 4.00%, 6/15/2041		5,000		5,971

Subseries 202DD-3, Rev., 5.00%, 6/15/2041		140		180


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Subseries 202DD-3, Rev., 4.00%, 6/15/2042		1,880		2,215

New York Convention Center Development Corp., Hotel Unit Fee Secured Rev., 5.00%, 11/15/2025		2,000		2,372

New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured

Series B, Rev., Zero Coupon, 11/15/2025		805		775

Series B, Rev., Zero Coupon, 11/15/2026		1,250		1,181

Series B, Rev., Zero Coupon, 11/15/2027		1,500		1,387

Series 2016B, Rev., Zero Coupon, 11/15/2028		1,960		1,771

Series B, Rev., Zero Coupon, 11/15/2030		3,400		2,915

Series B, Rev., Zero Coupon, 11/15/2031		1,835		1,530

Series B, Rev., Zero Coupon, 11/15/2032		2,000		1,625

Series 2016B, Rev., AGM-CR, Zero Coupon, 11/15/2052		10,625		4,938

New York State Dormitory Authority, Columbia University

Series 2016A-2, Rev., 5.00%, 10/1/2024		15		17

Series 2016A-1, Rev., 5.00%, 10/1/2026		70		86

Series 2017B, Rev., 5.00%, 10/1/2026		30		37

New York State Dormitory Authority, Cornell University

Series 2019A, Rev., 5.00%, 7/1/2025		65		77

Series 2019A, Rev., 5.00%, 7/1/2029		25		33

New York State Dormitory Authority, Municipal Health Facilities Improvement Program Series 2018 1, Rev., 5.00%, 1/15/2031		3,445		4,310

New York State Dormitory Authority, New York University

Series 2016A, Rev., 5.00%, 7/1/2024		50		57

Series 2016A, Rev., 5.00%, 7/1/2027		60		73

Series 2019A, Rev., 5.00%, 7/1/2030		4,075		5,336

Series 2017A, Rev., 4.00%, 7/1/2035		25		29

Series 2017A, Rev., 4.00%, 7/1/2036		75		86

Series 2019A, Rev., 5.00%, 7/1/2036		45		58

Series 2017A, Rev., 4.00%, 7/1/2037		45		51

Series 2016A, Rev., 5.00%, 7/1/2039		140		167

Series 2019A, Rev., 5.00%, 7/1/2039		25		32

Series 2016A, Rev., 4.00%, 7/1/2043		3,500		3,912

Series 2019A, Rev., 4.00%, 7/1/2045		18,000		21,040

New York State Dormitory Authority, School Districts Financing Program

Series B, Rev., 5.00%, 10/1/2024		2,000		2,103


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Series 2018A, Rev., 5.00%, 10/1/2026		285		347

Series 2019A, Rev., 5.00%, 4/1/2028		80		101

Series 2018A, Rev., 5.00%, 10/1/2030		25		30

Series 2018A, Rev., 5.00%, 10/1/2031		75		91

New York State Dormitory Authority, State Personal Income Tax, General Purpose

Series 2014A, Rev., 5.00%, 2/15/2023		90		96

Series 2015B, Rev., 5.00%, 2/15/2023		20		21

Series 2016D, Rev., 5.00%, 2/15/2023 (c)		25		27

Series A, Rev., 5.00%, 2/15/2023 (c)		3,000		3,212

Series 2015E, Rev., 5.00%, 3/15/2023 (c)		50		54

Series 2014A, Rev., 5.00%, 2/15/2024 (c)		15		17

Series 2015B, Rev., 5.00%, 2/15/2025 (c)		5		6

Series A, Rev., 5.00%, 2/15/2027		20,000		22,316

Series 2012A, Rev., 5.00%, 2/15/2028		10,000		11,153

Series 2017A, Rev., 5.00%, 2/15/2028		40		50

Series A, Rev., 5.00%, 12/15/2028		20,000		21,241

Series 2014A, Rev., 5.00%, 2/15/2029		4,985		5,556

Series 2015E, Rev., 5.00%, 3/15/2029		125		147

Series 2012A, Rev., 5.00%, 12/15/2029		4,900		5,204

Series 2015E, Rev., 5.00%, 3/15/2030		30		35

Series 2014C, Rev., 5.00%, 3/15/2033		20,000		22,350

Series A, Rev., 5.00%, 3/15/2033		95		122

Series 2015B, Rev., 5.00%, 2/15/2039		50		57

Series 2017B, Rev., 5.00%, 2/15/2041		80		98

Series 2017B, Rev., 5.00%, 2/15/2042		30		37

Series 2019A, Rev., 5.00%, 3/15/2042		25		31

Series 2019A, Rev., 5.00%, 3/15/2043		95		119

New York State Dormitory Authority, State Sales Tax

Series 2016A, Rev., 5.00%, 3/15/2023		45		48

Series 2014A, Rev., 5.00%, 3/15/2028		25		28

Series 2015B, Rev., 5.00%, 3/15/2029		45		53

Series 2018C, Rev., 5.00%, 3/15/2029		40		51

Series 2014A, Rev., 5.00%, 3/15/2030		5,500		6,156

Series 2015B, Rev., 5.00%, 3/15/2030		8,000		9,459

Series A, Rev., 5.00%, 3/15/2031		5,000		5,597

Series B, Rev., 5.00%, 3/15/2031		6,600		7,797

Series 2014A, Rev., 5.00%, 3/15/2032		20,210		22,600

Series 2016A, Rev., 5.00%, 3/15/2032		35		43

Series 2016A, Rev., 5.00%, 3/15/2033		70		85

Series 2015B, Rev., 5.00%, 3/15/2038		80		94

Series 2018E, Rev., 5.00%, 3/15/2038		10,000		12,625

Series B, Rev., 5.00%, 3/15/2039		13,080		15,333


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Series 2018A, Rev., 5.00%, 3/15/2041		135		167

Series 2018E, Rev., 5.00%, 3/15/2041		225		283

Series 2018A, Rev., 5.00%, 3/15/2044		30		37

New York State Dormitory Authority, State University Dormitory Facilities

Series A, Rev., 5.00%, 7/1/2028		2,720		3,431

Series A, Rev., 5.00%, 7/1/2029		2,100		2,650

Series 2017A, Rev., 5.00%, 7/1/2030		750		929

Series 2018A, Rev., 5.00%, 7/1/2030		2,190		2,790

Series 2018A, Rev., 5.00%, 7/1/2031		4,430		5,625

Series A, Rev., 5.00%, 7/1/2032		3,130		3,968

Series 2017A, Rev., 5.00%, 7/1/2037		230		282

Series 2017A, Rev., 5.00%, 7/1/2042		25		30

New York State Dormitory Authority, Third General Resolution, State University Educational Facilities

Series A, Rev., 5.00%, 5/15/2025		2,000		2,068

Series A, Rev., 5.00%, 5/15/2028		2,000		2,068

New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution

Series 2017A, Rev., 5.00%, 6/15/2023		25		27

Series D, Rev., 5.00%, 6/15/2027		5,325		5,528

Series 2013A, Rev., 4.00%, 6/15/2028		10,000		10,666

Series 2019B, Rev., 5.00%, 6/15/2028		25		32

Series 2017E, Rev., 4.00%, 6/15/2037		40		46

Series 2019B, Rev., 5.00%, 6/15/2039		150		193

Series 2018B, Rev., 5.00%, 6/15/2043		50		62

New York State Thruway Authority

Series L, Rev., 5.00%, 1/1/2025		2,635		3,044

Series L, Rev., 5.00%, 1/1/2027		1,250		1,537

Series 2019B, Rev., 4.00%, 1/1/2039		5,000		5,935

New York State Urban Development Corp., State Personal Income Tax, General Purpose

Series 2013A-1, Rev., 4.00%, 3/15/2023		25		26

Series 2014A, Rev., 5.00%, 3/15/2024		40		45

Series 2016A, Rev., 5.00%, 3/15/2024		10		11

Series 2017C, Rev., 5.00%, 3/15/2027		5,750		7,138

Series 2013C, Rev., 5.00%, 3/15/2032		30		32

Series 2016A, Rev., 5.00%, 3/15/2032		350		418

Series 2015A, Rev., 5.00%, 3/15/2033		60		71

Series 2019A, Rev., 5.00%, 3/15/2035		25		32

Series 2019A, Rev., 5.00%, 3/15/2037		35		44

Series 2019A, Rev., 5.00%, 3/15/2038		45		56


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York State Urban Development Corp., State Sales Tax Series 2019A, Rev., 5.00%, 3/15/2041		70		89

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project

Rev., AMT, 5.00%, 1/1/2022		5,000		5,076

Rev., AMT, 5.00%, 1/1/2025		5,000		5,721

Rev., AMT, 4.00%, 10/1/2030		5,350		6,408

Rev., AMT, 5.00%, 1/1/2036		9,900		11,963

Orange County Funding Corp., Mount Saint Mary College Project Series 2012B, Rev., 4.00%, 7/1/2023		160		163

Port Authority of New York & New Jersey, Consolidated Series 93, Rev., 6.13%, 6/1/2094		12,000		13,638

Port Authority of New York and New Jersey, Consolidated

Series 194, Rev., 5.00%, 10/15/2023		225		248

Series 179, Rev., 5.00%, 12/1/2023		50		55

Series 179, Rev., 5.00%, 12/1/2025		50		55

Series 207, Rev., AMT, 5.00%, 9/15/2033		800		989

Series 209, Rev., 5.00%, 7/15/2035		125		156

Series 214, Rev., AMT, 4.00%, 9/1/2043		3,000		3,477

Port Washington Union Free School District GO, 3.00%, 8/1/2027		70		73

Sales Tax Asset Receivable Corp., Fiscal Year 2015

Series 2015A, Rev., 5.00%, 10/15/2024 (c)		80		92

Series A, Rev., 5.00%, 10/15/2024 (c)		18,785		21,594

Town of Southeast, Public Improvement Series 2019A, GO, 5.00%, 8/15/2022		45		47

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2013B, Rev., 5.00%, 11/15/2021		60		61

Series 2011A, Rev., 5.00%, 1/1/2022 (c)		5,495		5,584

Series 2013B, Rev., 5.00%, 11/15/2023		90		100

Series 2016A, Rev., 5.00%, 11/15/2023		20		22

Series 2017C-1, Rev., 5.00%, 11/15/2024		110		127

Series 2017C-1, Rev., 4.00%, 11/15/2025		50		58

Series 2017C-1, Rev., 5.00%, 11/15/2025		150		179

Series 2012B, Rev., 5.00%, 11/15/2026		240		254

Series 2017B, Rev., 5.00%, 11/15/2027		500		623

Series 2015A, Rev., 5.00%, 11/15/2029		200		233

Series B, Rev., 5.00%, 11/15/2030		2,500		2,642


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Series 2012B, Rev., Zero Coupon, 11/15/2032		8,860		7,358

United Nations Development Corp., Senior Lien Series 2019A, Rev., 5.00%, 7/1/2022		50		52

Utility Debt Securitization Authority

Series 2016A, Rev., 5.00%, 6/15/2025		100		109

Series 2016B, Rev., 5.00%, 6/15/2025		50		54

Series 2016A, Rev., 5.00%, 6/15/2027		25		29

Rev., 5.00%, 12/15/2036		5,250		6,220

Utility Debt Securitization Authority, Federally Tax-Exempt

Series TE, Rev., 5.00%, 12/15/2029		1,500		1,664

Series TE, Rev., 5.00%, 12/15/2032		3,500		3,878

Series 2013TE, Rev., 5.00%, 12/15/2041		4,250		4,690

Wantagh Union Free School District Series 2013A, GO, 5.00%, 9/1/2022		30		31

Westchester County Local Development Corp., The Bethel Methodist Home D/B/A, The Knolls Project Rev., 5.00%, 7/1/2040		1,000		1,065


Total New York				545,951


North Carolina — 1.4%

City of Charlotte Series 2016A, GO, 5.00%, 7/1/2029		1,050		1,276

City of Charlotte, Airport Special Facilities

Rev., 5.00%, 7/1/2031		25		32

Series A, Rev., 5.00%, 7/1/2034		25		31

City of High Point, Combined Water & Sewer System Rev., 5.00%, 11/1/2028		25		30

City of Raleigh, Limited Obligation Rev., 5.00%, 2/1/2029		305		363

City of Wilmington Series A, Rev., 5.00%, 6/1/2028		400		451

County of Brunswick, Limited Obligation Rev., 5.00%, 4/1/2022		30		31

County of Buncombe, Limited Obligation

Series 2020A, Rev., 5.00%, 6/1/2030		75		100

Series 2020A, Rev., 5.00%, 6/1/2031		290		385

Series 2020A, Rev., 5.00%, 6/1/2033		125		165

County of Chatham, Limited Obligation Rev., 5.00%, 11/1/2026		1,880		2,161

County of Cumberland, Limited Obligation Rev., 5.00%, 11/1/2022		20		21

County of Durham GO, 5.00%, 11/1/2021		25		25

County of Harnett, Limited Obligation Rev., 4.00%, 10/1/2035		45		54


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

North Carolina — continued

County of Moore Series 2019A, GO, 5.00%, 1/15/2024		20		22

County of Onslow, Public Facilities Company Ltd., Limited Obligation

Rev., 5.00%, 10/1/2026		25		31

Rev., 4.00%, 10/1/2032		340		393

County of Union, Enterprise System Series 2019A, Rev., 5.00%, 6/1/2024		20		23

County of Wake, Limited Obligation

Rev., 5.00%, 9/1/2023		25		27

Rev., 5.00%, 9/1/2024		25		29

North Carolina Capital Facilities Finance Agency, High Point University

Rev., 5.00%, 5/1/2031		500		658

Rev., 4.00%, 5/1/2032		1,000		1,210

Rev., 4.00%, 5/1/2033		1,000		1,204

Rev., 4.00%, 5/1/2034		900		1,080

North Carolina Medical Care Commission, Retirement Facilities, Friends Homes, Inc.

Series 2020B-2, Rev., 2.30%, 9/1/2025		1,250		1,267

Series 2020B-1, Rev., 2.55%, 9/1/2026		1,575		1,598

North Carolina Medical Care Commission, Retirement Facilities, Pennybyrn at Maryfield Project Series 2020A, Rev., 5.00%, 10/1/2040		695		798

North Carolina Medical Care Commission, The Forest at Duke Project Rev., 4.00%, 9/1/2041		415		486

North Carolina Medical Care Commission, The Presbyterian Homes Obligated Group

Rev., 4.00%, 10/1/2035		650		770

Rev., 4.00%, 10/1/2040		600		697

North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2019C, Rev., 2.55%, 6/1/2026 (b)		13,800		14,793

North Carolina Turnpike Authority, Triangle Expressway System Series 2018A, Rev., 4.00%, 1/1/2035		85		100

Raleigh Durham Airport Authority

Series 2020B, Rev., 5.00%, 5/1/2026		30		36

Series 2015B, Rev., AMT, 5.00%, 5/1/2027		1,135		1,320

Series 2020B, Rev., 5.00%, 5/1/2029		25		33

Series 2020B, Rev., 5.00%, 5/1/2031		75		102

Series 2020A, Rev., AMT, 5.00%, 5/1/2032		2,600		3,379

State of North Carolina Rev., 5.00%, 3/1/2033		15,000		19,177

University of North Carolina at Chapel Hill Rev., 5.00%, 2/1/2032		25		32


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — continued

University of North Carolina at Charlotte (The) Rev., 5.00%, 10/1/2029		45		56

University of North Carolina, School of the Arts

Rev., 5.00%, 2/1/2032		1,285		1,655

Rev., 5.00%, 2/1/2033		850		1,091

Rev., 5.00%, 2/1/2034		1,240		1,586

Rev., 5.00%, 2/1/2036		1,385		1,761

Rev., 4.00%, 2/1/2040		500		582

Rev., 4.00%, 2/1/2045		1,750		2,013


Total North Carolina				63,134


North Dakota — 0.0% (e)

City of Fargo Series 2014E, GO, 5.00%, 5/1/2025		290		326


Ohio — 2.2%

Akron Bath Copley Joint Township Hospital District, Summa Health Obligated Group

Rev., 5.00%, 11/15/2028		130		165

Rev., 5.00%, 11/15/2029		275		355

Rev., 5.00%, 11/15/2030		350		460

Rev., 5.00%, 11/15/2031		300		397

Rev., 5.00%, 11/15/2032		350		458

American Municipal Power, Inc., Solar Electricity Prepayment Project, Green Bonds

Series 2019A, Rev., 5.00%, 2/15/2023		150		160

Series 2019A, Rev., 5.00%, 2/15/2024		225		251

Series 2019A, Rev., 5.00%, 2/15/2025		160		185

Series 2019A, Rev., 5.00%, 2/15/2026		200		239

Series 2019A, Rev., 5.00%, 2/15/2027		250		305

Series 2019A, Rev., 5.00%, 2/15/2028		225		283

Bowling Green State University, General Receipts

Series 2020A, Rev., 5.00%, 6/1/2033		375		481

Series 2020A, Rev., 5.00%, 6/1/2034		450		575

Series 2020A, Rev., 5.00%, 6/1/2035		650		830

Buckeye Tobacco Settlement Financing Authority

Series 2020A-2, Class 1, Rev., 5.00%, 6/1/2034		1,000		1,286

Series 2020A-2, Class 1, Rev., 4.00%, 6/1/2037		2,000		2,365

Series 2020A-2, Class 1, Rev., 4.00%, 6/1/2039		2,000		2,351

City of Cincinnati, Water System Series B, Rev., 5.00%, 12/1/2023		30		33


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — continued

City of Columbus, Various Purpose, Unlimited Tax Series 2017-1, GO, 5.00%, 4/1/2029		11,010		13,887

City of Dublin, Various Purpose GO, 5.00%, 12/1/2025		425		508

City of Huber Heights, Limited Tax, Various Purpose GO, 5.00%, 12/1/2032		25		30

City of Middleburg Heights, Southwest General Health Center Project, Tax-Exempt

Series 2020A, Rev., 5.00%, 8/1/2032		340		440

Series 2020A, Rev., 5.00%, 8/1/2033		325		419

Series 2020A, Rev., 5.00%, 8/1/2034		355		456

Series 2020A, Rev., 4.00%, 8/1/2041		905		1,048

City of North Ridgeville, Limited Tax GO, 4.00%, 12/1/2023		20		22

Cleveland Department of Public Utilities Division of Water

Series 2017BB, Rev., 5.00%, 1/1/2026		25		30

Series 2017BB, Rev., 5.00%, 1/1/2032		45		55

Cleveland-Cuyahoga County Port Authority, The Cleveland Museum of Natural History Project

Rev., 5.00%, 7/1/2027		125		153

Rev., 5.00%, 7/1/2029		175		223

Rev., 5.00%, 7/1/2030		200		259

Rev., 5.00%, 7/1/2031		200		264

Rev., 5.00%, 7/1/2032		225		296

Rev., 5.00%, 7/1/2033		250		328

Rev., 5.00%, 7/1/2034		200		261

Rev., 5.00%, 7/1/2035		200		261

Rev., 5.00%, 7/1/2036		300		390

Rev., 4.00%, 7/1/2037		200		240

Rev., 4.00%, 7/1/2038		250		300

Rev., 4.00%, 7/1/2039		280		335

Rev., 4.00%, 7/1/2040		200		238

Rev., 4.00%, 7/1/2046		750		881

Columbus City School District, Ohio School Facilities Construction and Improvement, Unlimited Tax Series 2016-A, GO, 5.00%, 12/1/2031		3,000		3,606

County of Cuyahoga, Sports Facilities Improvement Project, Excise Tax Rev., 5.00%, 12/1/2023 (c)		1,835		2,034

County of Franklin, Health Care Facilities, Ohio Living Communities

Series 2020B, Rev., 4.00%, 7/1/2028		225		268

Series 2020B, Rev., 4.00%, 7/1/2029		265		315

Series 2020B, Rev., 4.00%, 7/1/2030		875		1,034


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Ohio — continued

Series 2020B, Rev., 4.00%, 7/1/2031		925		1,088

Series 2020B, Rev., 4.00%, 7/1/2032		1,440		1,685

Series 2020B, Rev., 4.00%, 7/1/2033		385		449

Series 2020B, Rev., 4.00%, 7/1/2034		475		551

Series 2020B, Rev., 4.00%, 7/1/2035		365		422

Series 2020B, Rev., 5.00%, 7/1/2040		5,290		6,357

County of Franklin, Hospital Facilities, Nationwide Children’s Hospital Project Series 2016C, Rev., 5.00%, 11/1/2027		325		402

County of Franklin, Trinity Health Credit Group Series 2019A, Rev., 5.00%, 12/1/2036		1,250		1,619

County of Hamilton, Sales Tax Series 2016A, Rev., 5.00%, 12/1/2025		50		59

County of Hardin, Economic Development Facilities Improvement, Ohio Northern University

Rev., 4.00%, 5/1/2026		270		278

Rev., 5.00%, 5/1/2030		500		554

County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group

Series A, Rev., 5.00%, 7/1/2027		840		1,035

Series A, Rev., 5.00%, 7/1/2028		1,200		1,286

Series A, Rev., 5.75%, 7/1/2028		750		815

Series A, Rev., 5.00%, 7/1/2031		250		319

Series A, Rev., 4.00%, 7/1/2033		920		1,088

Series A, Rev., 5.75%, 7/1/2033		1,400		1,513

Dayton City School District, School Facilities Construction and Improvement, Unlimited Tax GO, 5.00%, 11/1/2029		10		13

Lakota Local School District/Sandusky Seneca and Wood Counties, School Facilities Construction and Improvement GO, 5.00%, 1/15/2023		50		53

Miami Valley Career Technology Center, Various Purpose School Improvement, Unlimited Tax GO, 5.00%, 12/1/2032		35		44

New Albany Plain Local School District, School Improvement GO, 5.00%, 12/1/2023		25		28

Northeast Ohio Regional Sewer District, Wastewater Improvement

Rev., 4.00%, 11/15/2024 (c)		15		17

Rev., 5.00%, 11/15/2024 (c)		1,500		1,730

Rev., 4.00%, 11/15/2049		30		33

Ohio Air Quality Development Authority. American Electric Company Project Series 2014A, Rev., 2.40%, 10/1/2029 (b)		1,820		1,921


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — continued

Ohio Higher Educational Facility Commission, Tiffin University 2019 Project

Rev., 3.00%, 11/1/2024		100		103

Rev., 3.00%, 11/1/2025		605		628

Rev., 3.00%, 11/1/2026		585		609

Rev., 3.00%, 11/1/2027		645		672

Rev., 3.00%, 11/1/2028		655		680

Rev., 5.00%, 11/1/2034		1,520		1,771

Ohio Higher Educational Facility Commission, University of Dayton 2018 Project Series B, Rev., 5.00%, 12/1/2029		1,105		1,386

Ohio Higher Educational Facility Commission, University of Findlay 2019 Project

Rev., 5.00%, 3/1/2029		720		874

Rev., 5.00%, 3/1/2034		3,000		3,563

Ohio Higher Educational Facility Commission, Xavier University 2020 Project

Rev., 5.00%, 5/1/2033		500		649

Rev., 5.00%, 5/1/2034		520		672

Rev., 5.00%, 5/1/2035		440		567

Rev., 5.00%, 5/1/2036		460		591

Rev., 4.00%, 5/1/2037		695		825

Rev., 4.00%, 5/1/2039		680		802

Ohio State University (The), General Receipts Series 2010D, Rev., 5.00%, 12/1/2028		20		26

Ohio Turnpike and Infrastructure Commission Series 2017A, Rev., 5.00%, 2/15/2026		55		66

Ohio Turnpike and Infrastructure Commission, Junior Lien Series 2018A, Rev., 5.00%, 2/15/2030		50		63

Ohio Water Development Authority, Fresh Water Series 2016A, Rev., 5.00%, 12/1/2030		55		66

Ohio Water Development Authority, Water Pollution Control Loan Fund

Series 2017A, Rev., 5.00%, 12/1/2029		25		31

Series 2019B, Rev., 5.00%, 12/1/2035		55		72

Port of Greater Cincinnati Development Authority, FC Cincinnati Public Improvements Project Rev., 3.75%, 12/1/2031 (d)		245		253

Shaker Heights City School District, School Facilities Improvement, Unlimited Tax Series A, GO, 5.00%, 12/15/2026		1,000		1,232

State of Ohio Series 2014A, GO, 5.00%, 9/15/2022		25		26

State of Ohio, Capital Facilities Lease Appropriation Administrative Building Fund Projects

Series 2017A, Rev., 5.00%, 4/1/2027 (c)		760		946

Series 2017A, Rev., 5.00%, 4/1/2033		25		30


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Ohio — continued

State of Ohio, Capital Facilities Lease Appropriation Adult Correctional Building Fund Projects

Series 2017B, Rev., 5.00%, 10/1/2023		35		39

Series B, Rev., 5.00%, 10/1/2029		1,495		1,571

State of Ohio, Capital Facilities Lease Appropriation Park and Recreation Improvement Fund Projects Series 2017A, Rev., 5.00%, 12/1/2032		35		43

State of Ohio, Capital Facilities Lease Appropriation Transportation Building Fund Projects Series 2018A, Rev., 5.00%, 4/1/2029		1,760		2,227

State of Ohio, Cleveland Clinic Health System Obligated Group Series 2017A, Rev., 5.00%, 1/1/2032		170		213

State of Ohio, Higher Education Series 2018A, GO, 5.00%, 2/1/2030		30		36

State of Ohio, Highway Capital Improvements Full Faith and Credit/Highway User Receipts Series V, GO, 5.00%, 5/1/2034		10		13

State of Ohio, Major New State Infrastructure Project

Series 1, Rev., 5.00%, 12/15/2028		7,500		9,077

Series 2019-1, Rev., 5.00%, 12/15/2028		25		32

Series 1, Rev., 5.00%, 12/15/2029		7,000		8,449

University of Akron (The), General Receipts Series 2015A, Rev., 5.00%, 1/1/2025		110		127


Total Ohio				102,149


Oklahoma — 0.3%

Grand River Dam Authority

Series 2014A, Rev., 4.00%, 6/1/2024		25		28

Series 2016A, Rev., 5.00%, 6/1/2031		60		73

McClain County Economic Development Authority, Educational Facilities, Blanchard Public Schools Project

Rev., 4.00%, 9/1/2027		600		697

Rev., 4.00%, 9/1/2028		675		797

Oklahoma Capitol Improvement Authority Series 2014C, Rev., 5.00%, 7/1/2024		25		28

Oklahoma City Water Utilities Trust, Water and Sewer System Rev., 5.00%, 7/1/2022		25		26

Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project

Rev., 5.00%, 10/1/2022		250		263

Rev., 5.00%, 10/1/2023		180		197


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Oklahoma — continued

Rev., 5.00%, 10/1/2025		510		600

Rev., 5.00%, 10/1/2026		500		606

Oklahoma County Finance Authority, Educational Facilities, Western Heights Public Schools Project Rev., 5.00%, 9/1/2021		1,110		1,110

Oklahoma Development Finance Authority, Health System, OU Medicine Project Series 2018B, Rev., 5.00%, 8/15/2033		6,030		7,397

Oklahoma Turnpike Authority, Second Senior

Series 2017C, Rev., 5.00%, 1/1/2036		25		30

Series 2017A, Rev., 5.00%, 1/1/2038		2,000		2,347

Oklahoma Water Resources Board, Master Trust, Drinking Water Program Rev., 4.00%, 4/1/2032		30		34

Tulsa County Industrial Authority Educational Facilities Lease, Broken Arrow Public Schools Project Series A, Rev., 5.00%, 9/1/2028		15		19

University of Oklahoma (The) Series 2014C, Rev., 5.00%, 7/1/2031		50		52


Total Oklahoma				14,304


Oregon — 1.2%

City of Medford, Limited Tax GO, 5.00%, 7/15/2023 (c)		25		27

City of Portland, 4th and Montgomery and Streetcar Projects Series A, GO, 5.00%, 2/1/2035		650		833

City of Portland, Sewer System, First Lien Series A, Rev., 5.00%, 6/1/2026		5,350		6,276

City of Portland, Sewer System, Second Lien

Series 2019A, Rev., 5.00%, 3/1/2031		85		112

Series 2020A, Rev., 5.00%, 5/1/2031		45		59

City of Salem

GO, 5.00%, 6/1/2026		460		560

GO, 5.00%, 6/1/2029		2,055		2,622

City of Tualatin GO, 5.00%, 6/15/2028		15		19

Clackamas County School District No. 7J Lake Oswego GO, 5.00%, 6/1/2029		20		25

Deschutes County Administrative School District No. 1 Bend-La Pine GO, 5.00%, 6/15/2026		4,725		5,756

Hillsboro School District No. 1J

GO, 5.00%, 6/15/2026		4,000		4,856

GO, 5.00%, 6/15/2027		1,470		1,836

Mount Hood Community College District, Full Faith and Credit GO, 5.00%, 6/1/2022		5		5

Multnomah and Clackamas Counties School District No. 10JT Gresham-Barlow Series 2019A, GO, Zero Coupon, 6/15/2035		600		430


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oregon — continued

Oregon State Facilities Authority, Samaritan Health Services Project, Tax-Exempt

Series 2020A, Rev., 5.00%, 10/1/2024		200		226

Series 2020A, Rev., 5.00%, 10/1/2025		200		234

Series 2020A, Rev., 5.00%, 10/1/2026		125		150

Series 2020A, Rev., 5.00%, 10/1/2027		150		185

Series 2020A, Rev., 5.00%, 10/1/2028		175		221

Series 2020A, Rev., 5.00%, 10/1/2029		300		385

Series 2020A, Rev., 5.00%, 10/1/2030		300		390

Series 2020A, Rev., 5.00%, 10/1/2035		140		178

Series 2020A, Rev., 5.00%, 10/1/2040		1,165		1,457

Oregon State Lottery

Series 2014C, Rev., 5.00%, 4/1/2024		25		28

Series 2015C, Rev., 5.00%, 4/1/2026		200		233

Series 2014A, Rev., 5.00%, 4/1/2027		100		112

Series A, Rev., 5.00%, 4/1/2031		1,950		2,391

Series A, Rev., 5.00%, 4/1/2032		1,750		2,140

Series A, Rev., 5.00%, 4/1/2033		3,500		4,277

Series A, Rev., 5.00%, 4/1/2035		2,470		3,008

Portland Community College District

GO, 5.00%, 6/15/2023		35		38

GO, 5.00%, 6/15/2026		710		863

GO, 5.00%, 6/15/2027		2,640		3,203

State of Oregon, Article XI-Q State Projects

Series 2019A, GO, 5.00%, 5/1/2030		40		52

Series 2016F, GO, 5.00%, 5/1/2032		2,885		3,474

State of Oregon, Department of Transportation Highway User Subordinate Lien, Tax-Exempt Series 2019A, Rev., 5.00%, 11/15/2038		40		52

State of Oregon, Higher Education

Series L, GO, 5.00%, 8/1/2035		1,930		2,374

Series L, GO, 5.00%, 8/1/2036		1,975		2,430

Washington and Multnomah Counties School District No. 48J Beaverton Series 2014B, GO, 5.00%, 6/15/2024 (c)		105		119

Washington County Clean Water Services, Senior Lien Rev., 5.00%, 10/1/2022		25		26

Yamhill County Hospital Authority, Friendsview, Tax Exempt

Series 2021B-3, Rev., 1.75%, 11/15/2026		415		416

Series 2021A, Rev., 5.00%, 11/15/2036		610		740

Series 2021A, Rev., 5.00%, 11/15/2046		770		913

Series 2021A, Rev., 5.00%, 11/15/2051		550		650


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Oregon — continued

Yamhill County School District No. 40 McMinnville

GO, 4.00%, 6/15/2029		5		6

GO, 4.00%, 6/15/2035		75		85


Total Oregon				54,472


Pennsylvania — 4.3%

Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group

Series 2018A, Rev., 5.00%, 4/1/2028		7,000		8,861

Series 2018A, Rev., 5.00%, 4/1/2029		7,785		9,790

Series 2018A, Rev., 5.00%, 4/1/2030		5,000		6,248

Series 2018A, Rev., 5.00%, 4/1/2031		3,800		4,726

Allegheny County Hospital Development Authority, Pittsburgh Medical Center

Series 2019A, Rev., 5.00%, 7/15/2022		25		26

Series 2019A, Rev., 5.00%, 7/15/2027		3,000		3,730

Series 2019A, Rev., 5.00%, 7/15/2028		2,050		2,610

Allegheny County Sanitary Authority, Sewer Rev., AGM, 4.00%, 12/1/2035		5		6

Allentown City School District, Limited Tax

Series B, GO, 5.00%, 2/1/2029		3,110		3,965

Series B, GO, 5.00%, 2/1/2030		4,300		5,584

Berks County Industrial Development Authority, Tower Health Project

Rev., 5.00%, 11/1/2025		500		563

Rev., 5.00%, 11/1/2027		1,150		1,330

Rev., 5.00%, 11/1/2028		1,535		1,773

Rev., 5.00%, 11/1/2029		350		403

Rev., 5.00%, 11/1/2030		600		687

Berks County Municipal Authority (The), Tower Health Project

Series 2020B-2, Rev., 5.00%, 2/1/2027 (b)		10,985		12,537

Series 2020A, Rev., 5.00%, 2/1/2028		1,050		1,216

Series 2020A, Rev., 5.00%, 2/1/2029		740		870

Series 2020A, Rev., 5.00%, 2/1/2030		800		950

Series 2020B-3, Rev., 5.00%, 2/1/2030 (b)		2,015		2,354

Series 2020A, Rev., 5.00%, 2/1/2031		700		844

Series 2020A, Rev., 5.00%, 2/1/2032		750		910

Bucks County Industrial Development Authority, Grand View Hospital Project

Rev., 5.00%, 7/1/2025		370		423

Rev., 5.00%, 7/1/2026		450		528

Rev., 5.00%, 7/1/2027		475		570

Rev., 5.00%, 7/1/2028		500		611


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Rev., 5.00%, 7/1/2029		500		622

Rev., 5.00%, 7/1/2030		675		852

Rev., 5.00%, 7/1/2031		1,150		1,475

Rev., 5.00%, 7/1/2032		500		642

Rev., 5.00%, 7/1/2033		1,170		1,496

Rev., 5.00%, 7/1/2034		1,300		1,656

Rev., 5.00%, 7/1/2035		1,055		1,341

Centennial School District Bucks County GO, 5.00%, 12/15/2024		20		23

Chester County Industrial Development Authority, Longwood Gardens Project

Rev., 5.00%, 12/1/2032		475		618

Rev., 5.00%, 12/1/2033		740		958

Rev., 5.00%, 12/1/2034		400		516

Rev., 5.00%, 12/1/2035		175		225

Rev., 5.00%, 12/1/2036		305		391

Rev., 5.00%, 12/1/2037		450		574

Rev., 5.00%, 12/1/2038		950		1,207

City of Erie Higher Education Building Authority

Series 2021TT1, Rev., 4.00%, 5/1/2036		100		115

Series 2021TT1, Rev., 4.00%, 5/1/2041		100		113

City of Philadelphia, Airport System Series 2017B, Rev., AMT, 5.00%, 7/1/2032		250		304

Commonwealth Financing Authority, Tobacco Master Settlement Payment

Rev., 5.00%, 6/1/2024		1,275		1,436

Rev., 5.00%, 6/1/2025		1,875		2,188

Rev., 5.00%, 6/1/2026		1,120		1,348

Rev., 5.00%, 6/1/2027		1,500		1,855

Rev., 5.00%, 6/1/2028		2,620		3,321

Rev., 5.00%, 6/1/2029		1,120		1,407

Commonwealth of Pennsylvania

Series 1, GO, 5.00%, 6/15/2024 (c)		50		57

Series A, COP, 5.00%, 7/1/2028		400		501

Series A, COP, 5.00%, 7/1/2029		300		375

Series A, COP, 5.00%, 7/1/2030		375		466

Series A, COP, 5.00%, 7/1/2031		425		527

Series A, COP, 5.00%, 7/1/2034		450		552

County of Allegheny Series C-77, GO, 5.00%, 11/1/2043		50		62

County of Berks GO, 5.00%, 11/15/2023		20		22

County of Bucks GO, 5.00%, 5/1/2027		325		394

County of Cambria

Series 2020B, GO, AGM, 4.00%, 8/1/2032		500		576

Series 2020B, GO, AGM, 4.00%, 8/1/2033		500		575

Series 2020B, GO, AGM, 4.00%, 8/1/2034		700		803


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Delaware County Authority, Haverford College

Series 2017A, Rev., 5.00%, 10/1/2026		30		37

Series 2017A, Rev., 5.00%, 10/1/2030		40		49

Series 2017A, Rev., 5.00%, 10/1/2042		45		54

DuBois Hospital Authority, Penn Highlands Healthcare

Rev., 5.00%, 7/15/2029		1,700		2,085

Rev., 5.00%, 7/15/2030		2,000		2,438

Rev., 5.00%, 7/15/2031		1,450		1,761

Rev., 5.00%, 7/15/2032		1,525		1,847

Rev., 5.00%, 7/15/2034		1,675		2,019

Rev., 4.00%, 7/15/2043		5,670		6,324

Easton Area School District Series 2020B, GO, 5.00%, 2/1/2031		50		63

Erie City Water Authority

Series B, Rev., AGM, 5.00%, 12/1/2032		1,235		1,615

Series B, Rev., AGM, 5.00%, 12/1/2033		800		1,042

Series 2018D, Rev., 4.00%, 12/1/2036		35		42

Geisinger Authority, Health System Series 2020A, Rev., 4.00%, 4/1/2039		6,665		7,817

Kiski Valley Water Pollution Control Authority, Sewer Series 2020A, Rev., AGM, 4.00%, 9/1/2035		305		357

Lackawanna County Industrial Development Authority, University of Scranton Rev., 5.00%, 11/1/2021		10		10

Lancaster County Hospital Authority, Health Center, Masonic Villages Project Rev., 5.00%, 11/1/2028		1,215		1,388

Lehigh County Industrial Development Authority, Seven Generation Charter School

Series 2021A, Rev., 4.00%, 5/1/2031		340		379

Series 2021A, Rev., 4.00%, 5/1/2041		890		969

Montgomery County Higher Education and Health Authority, Arcadia University

Rev., 5.00%, 4/1/2027		815		986

Rev., 5.00%, 4/1/2028		600		742

Rev., 5.00%, 4/1/2029		815		1,027

Rev., 5.00%, 4/1/2030		760		974

Rev., 5.00%, 4/1/2031		705		897

Rev., 5.00%, 4/1/2032		945		1,198

Rev., 5.00%, 4/1/2033		920		1,160

Rev., 5.00%, 4/1/2034		520		653

Rev., 4.00%, 4/1/2036		515		596

Rev., 4.00%, 4/1/2037		545		629

Rev., 4.00%, 4/1/2038		695		800

Rev., 4.00%, 4/1/2039		305		350


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Montgomery County Higher Education and Health Authority, Thomas Jefferson University

Series 2018A, Rev., 5.00%, 9/1/2030		3,125		3,949

Series 2018A, Rev., 4.00%, 9/1/2038		2,950		3,402

Montgomery County Industrial Development Authority, Acts Retirement-Life Communities, Inc., Obligated Group Series 2020C, Rev., 4.00%, 11/15/2043		300		349

Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project

Rev., 4.00%, 12/1/2024		155		173

Rev., 4.00%, 12/1/2025		150		171

Rev., 4.00%, 12/1/2026		150		175

Rev., 4.00%, 12/1/2027		200		231

Rev., 4.00%, 12/1/2028		205		236

Rev., 4.00%, 12/1/2029		250		287

Rev., 4.00%, 12/1/2030		300		343

Rev., 4.00%, 12/1/2031		300		342

Rev., 4.00%, 12/1/2032		435		493

Rev., 4.00%, 12/1/2033		400		453

Rev., 4.00%, 12/1/2034		165		187

Rev., 4.00%, 12/1/2035		175		198

Rev., 4.00%, 12/1/2036		175		198

Rev., 4.00%, 12/1/2037		100		113

Rev., 4.00%, 12/1/2038		100		113

Nazareth Area School District

Series D, GO, 5.00%, 11/15/2030		900		1,065

Series D, GO, 5.00%, 11/15/2035		1,390		1,632

Series D, GO, 5.00%, 11/15/2036		1,250		1,466

Series D, GO, 5.00%, 11/15/2037		550		644

Series E, GO, 5.00%, 11/15/2038		810		948

Pennsbury School District Series 2019A, GO, 4.00%, 8/1/2022		25		26

Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living Project

Rev., 4.00%, 7/1/2030		1,265		1,459

Rev., 4.00%, 7/1/2033		1,750		2,003

Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Project Rev., 2.80%, 12/1/2021 (b)		8,855		8,913

Pennsylvania Higher Educational Facilities Authority, Trustees of the University

Series 2016A, Rev., 5.00%, 8/15/2023		50		55

Series 2015A, Rev., 5.00%, 10/1/2023		30		33


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System

Rev., 5.00%, 8/15/2029		40		53

Rev., 5.00%, 8/15/2031		50		65

Rev., 5.00%, 8/15/2040		100		115

Pennsylvania State University (The) Series A, Rev., 5.00%, 9/1/2023		40		44

Pennsylvania Turnpike Commission

Series A, Rev., 5.00%, 12/1/2032		1,750		2,304

Series 2020B, Rev., 5.00%, 12/1/2033		470		624

Series A, Rev., 5.00%, 12/1/2033		1,240		1,625

Series A, Rev., 5.00%, 12/1/2034		1,400		1,819

Series A, Rev., 5.00%, 12/1/2035		2,000		2,593

Philadelphia Authority for Industrial Development, MAST Community Charter School II Project Series 2020A, Rev., 5.00%, 8/1/2030		260		310

Pittsburgh Water and Sewer Authority Series B, Rev., AGM, 5.00%, 9/1/2033		1,300		1,829

School District of the City of Erie (The), Limited Tax

Series 2019A, GO, AGM, 5.00%, 4/1/2027		525		641

Series 2019A, GO, AGM, 5.00%, 4/1/2028		550		687

Series 2019A, GO, AGM, 5.00%, 4/1/2029		310		396

Series 2019A, GO, AGM, 5.00%, 4/1/2030		425		546

Series 2019A, GO, AGM, 5.00%, 4/1/2031		525		672

Series 2019A, GO, AGM, 4.00%, 4/1/2033		1,150		1,359

Series 2019A, GO, AGM, 5.00%, 4/1/2034		825		1,044

School District of the City of Erie (The), Unlimited Tax

Series 2019C, GO, AGM, 5.00%, 4/1/2027		1,275		1,556

Series 2019C, GO, AGM, 5.00%, 4/1/2028		925		1,156

Series 2019C, GO, AGM, 5.00%, 4/1/2029		1,000		1,277

Series 2019C, GO, AGM, 5.00%, 4/1/2030		500		643

Spring-Ford Area School District GO, 5.00%, 6/1/2023		50		54

St. Mary Hospital Authority, Trinity Health Credit Group Series 2019PA, Rev., 5.00%, 12/1/2031		25		32

Swarthmore Borough Authority, Swarthmore College Series 2016B, Rev., 4.00%, 9/15/2041		50		57

Township of Hampton GO, 4.00%, 1/1/2039		45		52

Township of Lower Paxton GO, 4.00%, 4/1/2033		35		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Township of Palmer Series 2020D, GO, 4.00%, 11/15/2025		20		23

Township of Radnor Series B, GO, 4.00%, 7/15/2024		10		11

Township of Spring GO, 5.00%, 11/15/2028		25		32

Upper Merion Area School District

GO, 5.00%, 1/15/2029		350		418

GO, 5.00%, 1/15/2031		650		773

GO, 5.00%, 1/15/2033		480		570

GO, 5.00%, 1/15/2034		200		237

GO, 5.00%, 1/15/2035		475		562

Warwick School District GO, 4.00%, 3/1/2024		30		33

West Chester Area School District GO, 4.00%, 5/15/2040		40		47

Wilkes-Barre Area School District

GO, 5.00%, 4/15/2023		110		118

GO, 3.50%, 4/15/2038		370		415

GO, 3.50%, 4/15/2039		235		263

GO, 3.75%, 4/15/2044		1,500		1,688


Total Pennsylvania				198,458


Puerto Rico — 0.3%

Puerto Rico Public Finance Corp. (Puerto Rico) Series E, Rev., AGC-ICC, AGM-CR, 6.00%, 8/1/2026 (c)		10,000		12,600


Rhode Island — 0.0% (e)

Rhode Island Infrastructure Bank, Municipal Road and Bridge Series 2018A, Rev., 5.00%, 10/1/2024		25		29

Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax Series 2019A, Rev., 4.00%, 10/1/2044		480		556

State of Rhode Island and Providence Plantations Consolidated Capital Development Loan Series 2019A, GO, 4.00%, 5/1/2037		50		60


Total Rhode Island				645


South Carolina — 0.3%

Beaufort-Jasper Water & Sewer Authority Series 2019A, Rev., 5.00%, 3/1/2029		25		33

Berkeley County School District

Rev., 5.00%, 12/1/2022		1,000		1,061

Rev., 5.00%, 12/1/2023		1,505		1,662

Charleston County Airport District Rev., 5.00%, 7/1/2026		100		122


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

South Carolina — continued

City of Spartanburg, Water System Series B, Rev., 5.00%, 6/1/2031		480		593

Easley Combined Utility System

Rev., AGM, 4.00%, 12/1/2033		600		719

Rev., AGM, 4.00%, 12/1/2034		780		932

Lexington County Health Services District, Inc., LexMed Obligated Group

Rev., 5.00%, 11/1/2029		575		711

Rev., 4.00%, 11/1/2030		750		872

Rev., 4.00%, 11/1/2031		500		579

Rev., 4.00%, 11/1/2032		535		619

Rev., 4.00%, 11/1/2033		200		231

Richland County School District No. 1 Series C, GO, SCSDE, 5.00%, 3/1/2025		4,000		4,569

South Carolina Jobs-Economic Development Authority, Kiawah Life Plan Village, Inc., Project Rev., 8.75%, 7/1/2025 (d)		625		632

South Carolina State Fiscal Accountability Authority, Department of Mental Health Project Rev., 5.00%, 10/1/2037		300		368

Town of Hilton Head Island, Beach Preservation Fee Pledge Rev., 5.00%, 8/1/2023		35		38


Total South Carolina				13,741


South Dakota — 0.0% (e)

Brookings School District No. 005-1 GO, 4.00%, 7/1/2026		25		29

Harrisburg School District No. 41-2 GO, 4.00%, 1/15/2022 (c)		55		56


Total South Dakota				85


Tennessee — 5.7%

Chattanooga Health Educational and Housing Facility Board, Commonspirit Health

Series A-1, Rev., 5.00%, 8/1/2031		1,000		1,281

Series A-1, Rev., 5.00%, 8/1/2032		1,000		1,277

Series A-1, Rev., 5.00%, 8/1/2034		750		951

Series A-1, Rev., 5.00%, 8/1/2035		500		633

City of Johnson City Series 2019B, GO, 5.00%, 6/1/2028		45		58

City of Kingsport Series B, GO, 5.00%, 3/1/2025		110		128

City of Knoxville, Electric System Series 2017-II, Rev., 5.00%, 7/1/2023		25		27

County of Anderson, Rural Elementary School Series A, GO, 5.00%, 5/1/2025		890		1,040


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Tennessee — continued

County of Anderson, Rural High School

Series B, GO, 5.00%, 5/1/2024		750		844

Series 2018B, GO, 5.00%, 5/1/2025		785		917

County of Blount Series B, GO, 5.00%, 6/1/2027		1,000		1,210

County of Knox GO, 5.00%, 6/1/2029		1,410		1,801

County of Madison GO, 5.00%, 5/1/2026		3,770		4,557

County of Sevier GO, 5.00%, 6/1/2025		145		170

County of Shelby Series 2019B, GO, 5.00%, 4/1/2022		30		31

County of Shelby, Public Improvement Series A, GO, 4.00%, 4/1/2034		9,470		11,419

County of Sullivan GO, 4.00%, 5/1/2045		40		45

County of Washington Series 2016A, GO, 4.00%, 6/1/2032		35		40

County of Wilson GO, 5.00%, 4/1/2022		10		10

County of Wilson, District School GO, 5.00%, 4/1/2026		65		79

Franklin Special School District, School Improvement

GO, 5.00%, 6/1/2028		100		128

GO, 5.00%, 6/1/2030		300		390

Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group

Series 2018A, Rev., 5.00%, 7/1/2031		4,500		4,881

Series 2018A, Rev., 5.00%, 7/1/2032		4,000		4,336

Series 2018A, Rev., 5.00%, 7/1/2033		5,300		5,742

Knox County Health Educational and Housing Facility Board, East Tennessee Children’s Hospital

Rev., 5.00%, 11/15/2025		855		1,015

Rev., 5.00%, 11/15/2027		800		1,003

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2021B, Rev., 4.00%, 10/1/2041		1,135		1,289

Metropolitan Government of Nashville & Davidson County

GO, 5.00%, 7/1/2029		27,295		34,938

GO, 4.00%, 7/1/2036		24,290		29,093

Metropolitan Government of Nashville and Davidson County

GO, 5.00%, 7/1/2024		15		17

Series C, GO, 5.00%, 7/1/2025 (c)		5,500		6,488

GO, 5.00%, 1/1/2031		15		18


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Tennessee — continued

GO, 4.00%, 7/1/2031		17,400		20,500

GO, 5.00%, 7/1/2031		10,000		12,718

GO, 4.00%, 7/1/2037		16,205		19,362

Metropolitan Nashville Airport Authority (The), Subordinate Airport

Series 2019A, Rev., 5.00%, 7/1/2031		850		1,122

Series 2019A, Rev., 5.00%, 7/1/2032		850		1,118

Series 2019A, Rev., 5.00%, 7/1/2033		825		1,081

Series 2019A, Rev., 5.00%, 7/1/2034		275		359

Series 2019A, Rev., 5.00%, 7/1/2035		545		710

Series 2019B, Rev., AMT, 5.00%, 7/1/2035		300		386

Series 2019A, Rev., 5.00%, 7/1/2036		1,150		1,494

Series 2019A, Rev., 5.00%, 7/1/2037		1,750		2,267

Series 2019A, Rev., 5.00%, 7/1/2039		1,800		2,321

Series 2019B, Rev., AMT, 5.00%, 7/1/2039		625		795

Series 2019A, Rev., 5.00%, 7/1/2044		1,620		2,063

Series 2019B, Rev., AMT, 4.00%, 7/1/2054		1,550		1,775

Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project

Series 2019A, Rev., 5.75%, 10/1/2049		2,420		2,621

Series 2019A, Rev., 5.75%, 10/1/2054		4,280		4,618

Series 2019A, Rev., 5.75%, 10/1/2059		1,040		1,116

Tennessee Energy Acquisition Corp., Gas Project

Series 2017A, Rev., 4.00%, 5/1/2023 (b)		22,170		23,416

Rev., 4.00%, 11/1/2025 (b)		29,000		32,870

Series 2006B, Rev., 5.63%, 9/1/2026		5,000		6,119

Tennessee State School Bond Authority, Higher Educational Facilities Second Program

Series A, Rev., 5.00%, 11/1/2026		15		18

Series B, Rev., 5.00%, 11/1/2030		3,645		4,553

Series B, Rev., 5.00%, 11/1/2031		75		93


Total Tennessee				259,351


Texas — 4.6%

Alto Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2030		25		32

Arlington Higher Education Finance Corp.

Series 2021A, Rev., 5.00%, 8/15/2024		195		217

Series 2021A, Rev., 5.00%, 8/15/2025		205		235

Series 2021A, Rev., 5.00%, 8/15/2026		190		223

Series 2021A, Rev., 5.00%, 8/15/2027		105		125

Series 2021A, Rev., 5.00%, 8/15/2028		35		41

Series 2021A, Rev., 4.00%, 8/15/2029		40		45

Series 2021A, Rev., 4.00%, 8/15/2030		45		50


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Series 2021A, Rev., 4.00%, 8/15/2031		45		50

Series 2021A, Rev., 4.00%, 8/15/2036		170		188

Series 2021A, Rev., 4.00%, 8/15/2041		305		337

Arlington Higher Education Finance Corp., Uplift Education Series 2020A, Rev., PSF-GTD, 4.00%, 12/1/2032		20		24

Arlington Independent School District, Unlimited Tax

GO, PSF-GTD, 5.00%, 2/15/2031		40		52

GO, PSF-GTD, 4.00%, 2/15/2036		25		30

Austin Community College District, Limited Tax GO, 5.00%, 8/1/2030		35		44

Baytown Municipal Development District, Baytown Convention Center Hotel, First Lien

Series 2021A, Rev., 2.50%, 10/1/2031		270		271

Series 2021A, Rev., 4.00%, 10/1/2050		875		966

Belton Independent School District, Unlimited Tax GO, PSF-GTD, 4.00%, 2/15/2032		25		29

Bexar County Hospital District, Limited Tax GO, 4.00%, 2/15/2036		25		29

Board of Regents of the University of Texas System, Financing System

Series 2016E, Rev., 5.00%, 8/15/2026		25		31

Series 2016J, Rev., 5.00%, 8/15/2027		50		60

City of Austin GO, 5.00%, 9/1/2030		10		11

City of Austin, Airport System

Rev., AMT, 5.00%, 11/15/2033		500		568

Series 2019B, Rev., AMT, 5.00%, 11/15/2036		1,000		1,276

Series 2017B, Rev., AMT, 5.00%, 11/15/2046		5,000		5,970

City of Austin, Water & Wastewater System Series 2015A, Rev., 5.00%, 11/15/2023		25		28

City of Carrollton GO, 5.00%, 8/15/2024		10		11

City of College Station GO, 5.00%, 2/15/2024		25		28

City of Conroe Series 2019B, GO, 5.00%, 11/15/2028		20		26

City of Copperas Cove, Combination Tax GO, 5.00%, 8/15/2027		20		25

City of Dallas GO, 5.00%, 2/15/2029		2,505		2,891

City of Denton GO, 5.00%, 2/15/2025		25		29

City of El Paso

GO, 4.00%, 8/15/2031		75		87

Series 2020A, GO, 4.00%, 8/15/2035		750		900

City of Fort Worth, General Purpose, Tarrant Denton Parker Johnson, General Purpose GO, 5.00%, 3/1/2028		30		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

City of Fort Worth, Water and Sewer System Improvement Series 2015A, Rev., 5.00%, 2/15/2023		35		37

City of Frisco Series 2011, GO, 5.00%, 2/15/2023		2,160		2,168

City of Grand Prairie, Combination Tax

GO, 5.00%, 2/15/2026		20		24

Series 2019A, GO, 5.00%, 2/15/2029		20		25

City of Houston, Airport System, Subordinate Lien

Series 2018C, Rev., AMT, 5.00%, 7/1/2027		175		217

Series 2018B, Rev., 5.00%, 7/1/2030		85		108

Series 2018A, Rev., AMT, 5.00%, 7/1/2031		250		313

Series 2018D, Rev., 5.00%, 7/1/2038		65		81

City of Houston, Airport System, United Airlines, Inc., Terminal Series 2021B-1, Rev., AMT, 4.00%, 7/15/2041		3,600		3,916

City of Houston, Combined Utility System, First Lien

Series 2014C, Rev., 5.00%, 5/15/2023		20		22

Series 2016B, Rev., 4.00%, 11/15/2031		25		29

Series 2016B, Rev., 5.00%, 11/15/2036		1,435		1,752

Series 2016B, Rev., 4.00%, 11/15/2037		40		46

City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, 5.75%, 12/1/2032 (c)		2,000		2,995

City of Houston, Public Improvement Series A, GO, 5.00%, 3/1/2024 (c)		5,300		5,939

City of Irving, Hotel Occupancy, Occupancy Tax

GO, 5.50%, 8/15/2027		2,785		3,570

GO, 5.00%, 8/15/2028		40		50

City of Irving, Waterworks & Sewer System Rev., 5.00%, 8/15/2029		20		26

City of Killeen GO, 4.00%, 8/1/2033		50		57

City of Laredo GO, 5.00%, 2/15/2023		45		48

City of Laredo, Waterworks & Sewer System

Rev., 4.00%, 3/1/2035		30		35

Rev., 4.00%, 3/1/2040		100		109

City of League City GO, 5.00%, 2/15/2023		20		21

City of Longview

GO, 5.00%, 6/1/2023		40		44

GO, 5.00%, 9/1/2023		25		27

City of Lubbock GO, 5.00%, 2/15/2026		35		42

City of Mansfield GO, 5.00%, 2/15/2024		30		34

City of McAllen GO, 5.00%, 2/15/2029		355		450

City of Mesquite GO, 5.00%, 2/15/2023		40		43


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

City of Midland, Certificates of Obligation GO, 5.00%, 3/1/2024		55		62

City of Missouri GO, 5.00%, 6/15/2023		55		60

City of Pflugerville, Combination Tax, Certificates of Obligation GO, 5.00%, 8/1/2033		30		39

City of Pflugerville, Limited Tax GO, 5.00%, 8/1/2026		25		30

City of Plano

GO, 5.00%, 9/1/2028		2,210		2,741

GO, 5.00%, 9/1/2029		1,855		2,295

City of San Antonio, Electric and Gas Systems

Rev., 5.00%, 2/1/2023		35		37

Rev., 5.00%, 2/1/2026		6,000		7,203

Rev., 5.00%, 2/1/2028		310		394

Rev., 5.00%, 2/1/2029		100		123

Series 2020, Rev., 5.00%, 2/1/2036		30		39

City of San Antonio, General Improvement GO, 5.00%, 8/1/2027		20		25

City of The Colony, Combination Tax, Certificates of Obligation GO, 5.00%, 2/15/2023		25		27

City of Victoria, Utility System Rev., 5.00%, 12/1/2023 (c)		2,705		2,999

City of Waco GO, 5.00%, 2/1/2023		35		37

City of Waco, Combination Tax, Certificates of Obligation GO, 5.00%, 2/1/2028		35		44

City of Wylie, Combination Tax GO, 4.00%, 2/15/2024		20		22

Cleveland Independent School District, Unlimited Tax School Building Series 2018A, GO, PSF-GTD, 5.00%, 2/15/2031		80		101

Coastal Water Authority, City of Houston Projects

Rev., 5.00%, 12/15/2022		3,160		3,172

Rev., 5.00%, 12/15/2025		5,115		5,136

Collin County Community College District, Limited Tax GO, 5.00%, 8/15/2029		11,990		15,065

Comal Independent School District, Unlimited Tax

Series B, GO, PSF-GTD, 5.00%, 2/1/2023		100		107

GO, PSF-GTD, 5.00%, 2/1/2026		35		42

Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 2.50%, 10/1/2031		125		126

County of Brazos, Limited Tax GO, 5.00%, 9/1/2025		45		53


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

County of Denton, Permanent Improvement GO, 5.00%, 7/15/2027		50		61

County of Harris, Toll Road, Senior Lien

Series 2016A, Rev., 5.00%, 8/15/2028		4,500		5,478

Series 2016A, Rev., 5.00%, 8/15/2036		60		72

County of Harris, Unlimited Tax Series 2015A, GO, 5.00%, 10/1/2026		350		417

County of Hays, Unlimited Tax GO, 5.00%, 2/15/2031		45		57

County of Hidalgo Series 2018B, GO, 5.00%, 8/15/2028		25		32

County of Lubbock GO, 5.00%, 2/15/2023		45		48

County of Parker, Unlimited Tax GO, 5.00%, 2/15/2023		20		21

County of Williamson, Limited Tax GO, 5.00%, 2/15/2027		50		62

Cypress-Fairbanks Independent School District, Unlimited Tax

GO, PSF-GTD, 5.00%, 2/15/2026		55		66

Series 2019A, GO, PSF-GTD, 5.00%, 2/15/2031		25		32

Dallas Area Rapid Transit, Sales Tax, Senior Lien

Rev., 5.00%, 12/1/2029		50		66

Series 2020A, Rev., 5.00%, 12/1/2030		45		60

Rev., 5.00%, 12/1/2031		45		59

Series 2016A, Rev., 5.00%, 12/1/2048		9,905		11,606

Dallas Fort Worth International Airport Series F, Rev., 5.00%, 11/1/2024		5,000		5,513

Dallas Independent School District, Unlimited Tax GO, 5.00%, 2/15/2031		30		38

Danbury Higher Education Authority, Inc., Golden Rule Schools, Inc. Rev., PSF-GTD, 4.00%, 2/15/2028		250		291

Forney Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 8/16/2026		15		14

Fort Bend County Municipal Utility District No. 25, Unlimited Tax

GO, 4.00%, 10/1/2022		100		104

GO, 4.00%, 10/1/2023		150		161

GO, 4.00%, 10/1/2024		375		414

Fort Bend Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2029		35		44

Garland Independent School District, Unlimited Tax, School Building Series 2015 A, GO, PSF-GTD, 5.00%, 2/15/2026		10		12


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Georgetown Independent School District, Unlimited Tax Series 2019-D, GO, 4.00%, 8/15/2033		30		35

Goose Creek Consolidated Independent School District Series 2019A, GO, PSF-GTD, 5.00%, 2/15/2027		30		37

Grand Parkway Transportation Corp., System Toll Series 2018A, Rev., 5.00%, 10/1/2034		45		56

Grapevine-Colleyville Independent School District, Unlimited Tax, School Building GO, PSF-GTD, 5.00%, 8/15/2027		1,000		1,182

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014A, Rev., 5.00%, 12/1/2028		185		212

Harris County Toll Road Authority (The), Senior Lien

Series 2018A, Rev., 5.00%, 8/15/2023		35		39

Series 2018A, Rev., 5.00%, 8/15/2024		30		34

Harris County-Houston Sports Authority, Taxable Senior Lien Series A, Rev., AGM, 5.00%, 11/15/2024		30		34

Haskell Consolidated Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2029		10		12

Houston Community College System, Combined Fee

Rev., 5.00%, 4/15/2023		25		27

Rev., 4.00%, 4/15/2031		25		28

Houston Community College System, Maintenance Tax GO, 5.00%, 2/15/2026		100		120

Houston Higher Education Finance Corp., Houston Baptist University Rev., 3.38%, 10/1/2037		250		250

Houston Independent School District, Maintenance Tax Notes GO, 5.00%, 7/15/2031		9,700		12,341

Hurst-Euless-Bedford Independent School District, Unlimited Tax Series 2017A, GO, 5.00%, 8/15/2024		80		91

Irving Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2023		50		54

Keller Independent School District, Unlimited Tax Series B, GO, PSF-GTD, 5.00%, 8/15/2030		25		30

Killeen Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2035		25		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

La Porte Independent School District, Unlimited Tax GO, 4.00%, 2/15/2030		20		22

Lake Travis Independent School District, School Building Series 2018A, GO, PSF-GTD, 5.00%, 2/15/2029		35		43

Lancaster Independent School District Series 2015-C, GO, 5.00%, 2/15/2033		45		52

Lewisville Independent School District, Unlimited Tax

GO, 5.00%, 8/15/2023		20		22

Series 2016A, GO, PSF-GTD, 5.00%, 8/15/2024		10		11

Series A, GO, PSF-GTD, 4.00%, 8/15/2026		505		577

GO, PSF-GTD, 5.00%, 8/15/2026		35		43

Longview Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2025		80		93

Lufkin Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2025		40		47

Matagorda County Navigation District No. 1, Pollution Control, Central Power and Light Co. Project Series 2001A, Rev., 2.60%, 11/1/2029		4,625		5,019

Metropolitan Transit Authority of Harris County Sales and Use Tax, Contractual Obligations Rev., 5.00%, 11/1/2023		25		28

New Hope Cultural Education Facilities Finance Corp., Westminster Project Rev., 4.00%, 11/1/2049		600		684

North Texas Municipal Water District Water System, Refunding and Improvement

Rev., 5.00%, 9/1/2027		2,900		3,545

Rev., 5.00%, 9/1/2035		20		23

North Texas Municipal Water District, Upper East Fork Wastewater Interceptor System Rev., 5.00%, 6/1/2027		15		19

North Texas Municipal Water District, Wastewater System Rev., 5.00%, 6/1/2027		15		19

North Texas Tollway Authority, First Tier Series 2017A, Rev., 5.00%, 1/1/2030		1,140		1,345

North Texas Tollway Authority, Second Tier

Series 2017B, Rev., 5.00%, 1/1/2026		550		585

Series 2017B, Rev., 5.00%, 1/1/2027		950		1,129

Series 2017B, Rev., 5.00%, 1/1/2030		1,100		1,293

North Texas Tollway Authority, Special Projects System

Series 2011D, Rev., 5.25%, 9/1/2021 (c)		25		25

Series 2011A, Rev., 5.50%, 9/1/2021 (c)		4,000		4,000

Series A, Rev., 6.00%, 9/1/2021 (c)		3,000		3,000


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Pearland Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2024		25		28

Permanent University Fund — Texas A&M University System Series A, Rev., 5.25%, 7/1/2028		2,015		2,383

Pharr San Juan Alamo Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/1/2024		75		84

Port Authority of Houston of Harris County Texas Series 2015A, GO, 5.00%, 10/1/2023		25		28

San Antonio Education Facilities Corp., University of the Incarnate Word

Series 2021A, Rev., 4.00%, 4/1/2038		850		1,009

Series 2021A, Rev., 4.00%, 4/1/2039		1,000		1,184

Series 2021A, Rev., 4.00%, 4/1/2040		1,000		1,178

Series 2021A, Rev., 4.00%, 4/1/2041		900		1,058

San Antonio Water System, Junior Lien Series C, Rev., 5.00%, 5/15/2031		1,125		1,374

San Jacinto Community College District, Limited Tax

Series 2019A, GO, 5.00%, 2/15/2023		25		27

Series 2016A, GO, 5.00%, 2/15/2024		75		84

Series 2016B, GO, 5.00%, 2/15/2024		20		22

South Texas College, Limited Tax GO, 5.00%, 8/15/2023		40		44

Southwest Houston Redevelopment Authority, Tax Increment

Rev., AGM, 5.00%, 9/1/2027		40		48

Rev., AGM, 5.00%, 9/1/2028		190		233

Rev., AGM, 5.00%, 9/1/2030		175		221

Rev., AGM, 4.00%, 9/1/2031		225		264

Rev., AGM, 4.00%, 9/1/2032		250		292

Rev., AGM, 4.00%, 9/1/2033		225		261

Rev., AGM, 4.00%, 9/1/2034		225		260

Rev., AGM, 4.00%, 9/1/2035		225		260

Rev., AGM, 4.00%, 9/1/2036		350		403

Rev., AGM, 4.00%, 9/1/2037		390		449

State of Texas, Transportation Commission Mobility Fund Series 2017B, GO, 5.00%, 10/1/2030		11,185		14,009

Tarrant County Cultural Education Facilities Finance Corp., Christus Health

Series 2018A, Rev., 5.00%, 7/1/2025		150		175

Series 2018A, Rev., 5.00%, 7/1/2028		40		51

Series 2018B, Rev., 5.00%, 7/1/2033		100		125


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Tarrant County Cultural Education Facilities Finance Corp., Health Resources System Rev., 5.00%, 2/15/2026		50		60

Tarrant County Cultural Education Facilities Finance Corp., Hospital, Cook Children’s Medical Center

Rev., 5.00%, 12/1/2027		50		63

Rev., 5.00%, 12/1/2029		25		33

Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project

Series 2020A, Rev., 6.25%, 11/15/2031		500		597

Series 2020A, Rev., 6.63%, 11/15/2041		2,545		3,035

Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project, Tax Exempt

Series 2020B-2, Rev., 3.00%, 11/15/2026		1,665		1,684

Series 2020B-1, Rev., 4.00%, 11/15/2027		18,900		19,284

Tarrant Regional, Water Control and Improvement District, Water System Rev., 4.00%, 3/1/2031		25		29

Texas A&M University, Financing System Series E, Rev., 5.00%, 5/15/2026		2,840		3,440

Texas Municipal Gas Acquisition and Supply Corp., I Gas Supply Senior Lien Series D, Rev., 6.25%, 12/15/2026		3,980		4,668

Texas Water Development Board, State Revolving Fund Rev., 5.00%, 8/1/2038		45		58

Texas Water Development Board, Water Implementation Fund

Series 2019A, Rev., 5.00%, 4/15/2023		25		27

Series 2018B, Rev., 5.00%, 4/15/2030		7,000		9,037

Town of Addison GO, 4.00%, 2/15/2023		100		106

Trinity River Authority, Central Regional Wastewater System

Rev., 5.00%, 8/1/2028		25		32

Rev., 5.00%, 8/1/2029		20		25

University of Houston Series 2017A, Rev., 5.00%, 2/15/2037		30		35

University of North Texas System Series 2015A, Rev., 5.00%, 4/15/2040		50		57

Waxahachie Independent School District, Unlimited Tax GO, PSF-GTD, 4.00%, 8/15/2041		25		27

Weslaco Independent School District, Limited Maintenance Tax Notes GO, AGM, 5.00%, 2/15/2028		25		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

West Harris County Regional Water Authority

Rev., 5.00%, 12/15/2032		910		1,190

Rev., 5.00%, 12/15/2035		1,160		1,504

Rev., 5.00%, 12/15/2036		1,325		1,715


Total Texas				210,430


Utah — 0.7%

City of Orem

GO, 5.00%, 12/1/2026		155		191

GO, 5.00%, 12/1/2027		520		659

GO, 5.00%, 12/1/2028		565		732

City of Park City, Sales Tax Rev., 5.00%, 6/15/2026		2,165		2,610

City of Provo GO, 5.00%, 2/1/2027		1,230		1,522

City of Salt Lake, International Airport

Series 2018A, Rev., AMT, 5.00%, 7/1/2027		140		174

Series 2018A, Rev., AMT, 5.00%, 7/1/2031		120		149

Series 2018B, Rev., 5.00%, 7/1/2048		25		31

City of Salt Lake, Public Utilities Rev., 5.00%, 2/1/2032		10		12

County of Davis, Sales Tax Series 2019B, Rev., 5.00%, 4/1/2026		30		36

County of Utah, IHC Health Services, Inc.

Series 2018A, Rev., 5.00%, 5/15/2032		25		31

Series 2018A, Rev., 5.00%, 5/15/2034		70		88

Series 2018A, Rev., 5.00%, 5/15/2038		30		37

County of Utah, Transportation Sales Tax Rev., 5.00%, 12/1/2023		35		39

Davis School District, School District Bond Guaranty Program Series 2019A, GO, 5.00%, 6/1/2031		35		45

Jordan School District, School Building GO, 5.00%, 6/15/2026		950		1,117

Local Building Authority of Alpine School District Rev., 5.00%, 3/15/2025		75		87

Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area #2

4.00%, 8/1/2024 (d)		1,120		1,193

4.00%, 8/1/2026 (d)		1,290		1,410

4.00%, 8/1/2028 (d)		1,230		1,363

4.00%, 8/1/2031 (d)		1,000		1,113

Military Installation Development Authority, Tax Allocation Series 2021A-2, Rev., 4.00%, 6/1/2036		1,150		1,210


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Utah — continued

Military Installation Development Authority, Tax Allocation and Hotel Tax

Series 2021A-1, Rev., 4.00%, 6/1/2036		650		690

Series 2021A-1, Rev., 4.00%, 6/1/2041		525		550

State of Utah GO, 5.00%, 7/1/2029		4,925		6,149

University of Utah (The)

Series 2013A, Rev., 5.00%, 8/1/2023		25		27

Series 2015B, Rev., 5.00%, 8/1/2023		40		44

Series 2014A-1, Rev., 5.00%, 8/1/2024		15		17

Series 2017A, Rev., 5.00%, 8/1/2032		40		49

Series 2019A, Rev., 5.00%, 8/1/2032		70		92

Utah Infrastructure Agency, Tax-Exempt Telecommunications

Series A, Rev., 5.00%, 10/15/2023		620		680

Series 2018A, Rev., 5.00%, 10/15/2025		1,450		1,670

Series A, Rev., 5.00%, 10/15/2028		1,000		1,223

Series 2018A, Rev., 5.25%, 10/15/2033		965		1,166

Utah Transit Authority, Sales Tax Series 2008A, Rev., 5.25%, 6/15/2022		25		26

Utah Transit Authority, Subordinate Sales Tax Rev., 4.00%, 12/15/2031		40		46

Utah Water Finance Agency, Loan Financing Program

Series 2019A, Rev., 5.00%, 3/1/2028		50		63

Series B, Rev., 5.00%, 3/1/2031		1,685		2,163

Series B, Rev., 5.00%, 3/1/2032		800		1,023

Series B, Rev., 5.00%, 3/1/2033		660		842

Series 2017C, Rev., 5.00%, 3/1/2034		350		424

West Jordan Municipal Building Authority Rev., 5.00%, 10/1/2023		5		5

West Valley City Municipal Building Authority Rev., AGM, 5.00%, 2/1/2039		30		36


Total Utah				30,834


Vermont — 0.0% (e)

City of Burlington, Public Improvement Series 2019A, GO, 4.00%, 11/1/2034		125		149

University of Vermont and State Agricultural College Rev., 5.00%, 10/1/2024		25		29

Vermont Educational and Health Buildings Financing Agency, Middlebury College Project Series A, Rev., 5.00%, 11/1/2023		20		21

Vermont Municipal Bond Bank Series 2017-4, Rev., 5.00%, 12/1/2027		25		32


Total Vermont				231


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Virginia — 2.0%

City of Alexandria Series 2017C, GO, 5.00%, 7/1/2026		4,065		4,961

City of Hampton, Public Improvement Series 2018A, GO, 5.00%, 9/1/2027		10		13

City of Newport News Rev., 5.00%, 7/15/2024		10		11

City of Portsmouth, Tax Exempt Series A, GO, 5.00%, 7/15/2029		5,215		6,510

City of Richmond, Public Improvement

Series 2017D, GO, 5.00%, 3/1/2025		35		41

Series 2017D, GO, 5.00%, 3/1/2029		7,750		10,156

County of Arlington, Public Improvement GO, 5.00%, 8/15/2029		7,455		9,372

County of Chesterfield, Public Improvement Series 2018A, GO, 5.00%, 1/1/2027		30		37

County of Fairfax, Sewer Series 2016A, Rev., 4.00%, 7/15/2038		50		57

County of Henrico, Public Improvement GO, 5.00%, 7/15/2025		25		30

Culpeper County Economic Development Authority, Capital Projects Rev., 5.00%, 6/1/2022		75		78

Fairfax County Water Authority Subseries B, Rev., 5.25%, 4/1/2025		3,500		4,121

Hampton Roads Transportation Accountability Commission, Transportation Fund, Senior Lien Series 2018A, Rev., 5.00%, 7/1/2027		45		57

Northern Virginia Transportation Authority, Special Tax

Rev., 5.00%, 6/1/2024		400		453

Rev., 5.00%, 6/1/2033		2,035		2,290

Rev., 5.00%, 6/1/2034		2,285		2,569

Powhatan County Economic Development Authority Rev., 5.00%, 10/15/2025		25		30

Virginia Beach Development Authority, Public Facility

Series 2015A, Rev., 5.00%, 3/1/2025		1,925		2,237

Series B, Rev., 5.00%, 7/15/2025		2,635		3,102

Virginia Beach Development Authority, Westminster-Canterbury on Chesapeake Bay Rev., 5.00%, 9/1/2021		30		30

Virginia College Building Authority, Education Facilities, Regent University Project

Rev., 5.00%, 6/1/2029		350		444

Rev., 5.00%, 6/1/2030		220		283

Rev., 5.00%, 6/1/2031		165		216


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Virginia — continued

Virginia College Building Authority, Educational Facilities, 21st Century College and Equipment Programs

Series 2009E-1, Rev., 5.00%, 2/1/2022		20		20

Series 2016A, Rev., 5.00%, 2/1/2022		40		42

Series 2017E, Rev., 5.00%, 2/1/2028		20		25

Virginia College Building Authority, Educational Facilities, Public Higher Education Financing Program Series B, Rev., 5.00%, 9/1/2024		250		286

Virginia College Building Authority, Educational Facilities, Washington & Lee University Project

Rev., NATL-RE, 5.25%, 1/1/2026		5,045		5,622

Rev., NATL-RE, 5.25%, 1/1/2031		30		39

Virginia Commonwealth Transportation Board, Capital Projects

Rev., 5.00%, 5/15/2023		25		27

Series 2017A, Rev., 5.00%, 5/15/2027		5,500		6,868

Series A, Rev., 5.00%, 5/15/2028		2,750		3,479

Series A, Rev., 5.00%, 5/15/2030		10,000		12,573

Series 2017A, Rev., 5.00%, 5/15/2032		35		44

Virginia Commonwealth Transportation Board, Federal Transportation

Series 2012A, Rev., GAN, 4.50%, 3/15/2022		65		67

Series 2013A, Rev., GAN, 5.00%, 3/15/2023 (c)		30		32

Series 2013-A, Rev., GAN, 5.00%, 3/15/2023		20		22

Rev., GAN, 5.00%, 3/15/2024		20		22

Rev., GAN, 5.00%, 9/15/2024		15		17

Rev., GAN, 5.00%, 9/15/2025		45		53

Rev., GAN, 5.00%, 3/15/2026		20		24

Virginia Public Building Authority, Public Facilities Series 2016B, Rev., 5.00%, 8/1/2023		25		27

Virginia Public School Authority, School Financing 1997 Resolution Series 2015A, Rev., 5.00%, 8/1/2028		30		35

Virginia Resources Authority, Clean Water State Revolving Fund Rev., 5.50%, 10/1/2022		7,390		7,823

Virginia Resources Authority, Infrastructure Moral Obligation, Pooled Financing Program Series 2019C, Rev., 5.00%, 11/1/2029		25		33

Virginia Resources Authority, Infrastructure Tax Exempt Series A, Rev., 5.00%, 11/1/2022		40		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Virginia — continued

Virginia Small Business Financing Authority, The Obligated Group of National Senior Campuses, Inc.

Rev., 5.00%, 1/1/2028		1,200		1,499

Rev., 5.00%, 1/1/2029		1,400		1,751

Rev., 5.00%, 1/1/2030		1,650		2,052

Rev., 5.00%, 1/1/2031		1,500		1,858

Rev., 5.00%, 1/1/2032		1,500		1,852


Total Virginia				93,332


Washington — 4.9%

Benton County School District No. 17 Kennewick, Unlimited Tax GO, 5.00%, 12/1/2027		50		58

Central Puget Sound Regional Transit Authority, Sales and Motor Vehicle Excise Tax, Green Bond

Series 2016 S-1, Rev., 5.00%, 11/1/2027		25		31

Series 2016 S-1, Rev., 5.00%, 11/1/2028		40		49

Chelan County Public Utility District No. 1, Capital Appreciation Series 1997A, Rev., NATL-RE, Zero Coupon, 6/1/2022		21,835		21,808

Chelan County School District No. 228 Cascade, Unlimited Tax GO, 5.00%, 12/1/2027		90		109

City of Everett, Limited Tax GO, 5.00%, 12/1/2026		60		74

City of Everett, Water and Sewer Rev., 5.00%, 12/1/2027		25		31

City of Lynnwood, Utility System Rev., 5.00%, 12/1/2026		40		49

City of Seattle, Municipal Light and Power Improvement Series A, Rev., 4.00%, 1/1/2048		2,000		2,284

City of Tacoma Rev., 5.00%, 12/1/2031		40		51

City of Tacoma, Electric System

Series 2013B, Rev., 5.00%, 1/1/2023		35		37

Rev., 5.00%, 1/1/2028		35		43

City of Wenatchee, Limited Tax GO, 4.00%, 12/1/2034		70		83

Clark County School District No. 114 Evergreen, Unlimited Tax GO, 5.00%, 12/1/2024		15		17

Clark County, Vancouver School District No. 37, Unlimited Tax GO, 5.00%, 12/1/2027		25		31

Clark Regional Wastewater District

Rev., 5.00%, 12/1/2030		200		260

Rev., 5.00%, 12/1/2032		125		162

Rev., 5.00%, 12/1/2033		105		135


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Washington — continued

Rev., 5.00%, 12/1/2034		180		231

Rev., 5.00%, 12/1/2035		160		205

Rev., 5.00%, 12/1/2037		310		398

County of Franklin, Limited Tax GO, AGM, 4.50%, 7/1/2022 (c)		20		21

County of King, Limited Tax Series 2017B, GO, 4.00%, 6/1/2036		200		232

County of King, Sewer

Series 2016A, Rev., 5.00%, 7/1/2026		2,295		2,744

Rev., 5.00%, 7/1/2031		30		37

County of Kitsap, Sewer Rev., 4.00%, 12/1/2032		25		30

County of Spokane, Limited Tax Series 2019A, GO, 5.00%, 12/1/2040		25		32

Energy Northwest, Bonneville Power Administrator Series 2016-A, Rev., 5.00%, 7/1/2027		20,020		24,293

Energy Northwest, Columbia Generating Station

Rev., 5.00%, 7/1/2031		30		35

Series 2018C, Rev., 5.00%, 7/1/2031		35		45

Series 2018A, Rev., 5.00%, 7/1/2034		25		32

Series A, Rev., 5.00%, 7/1/2034		5,025		6,186

Rev., 5.00%, 7/1/2035		75		97

Rev., 5.00%, 7/1/2036		40		52

FYI Properties, State of Washington District Project — Green Bonds

Rev., 5.00%, 6/1/2030		35		43

Rev., 5.00%, 6/1/2031		5,650		6,925

Rev., 5.00%, 6/1/2032		235		287

Rev., 5.00%, 6/1/2033		5,345		6,515

Rev., 5.00%, 6/1/2034		5,990		7,281

Rev., 5.00%, 6/1/2035		7,200		8,737

Rev., 5.00%, 6/1/2036		4,915		5,949

Rev., 5.00%, 6/1/2037		7,395		8,930

Grant County Public Utility District No. 2, Priest Rapids Hydroelectric Project Series 2012A, Rev., 5.00%, 1/1/2022 (c)		30		30

King County Fire Protection District No. 2, Unlimited Tax GO, 4.00%, 12/1/2025		125		144

King County Rural Library District, Unlimited Tax GO, 4.00%, 12/1/2023		75		81

King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2036		35		43

King County School District No. 405 Bellevue, Unlimited Tax GO, 5.00%, 12/1/2023		25		28

King County School District No. 411 Issaquah, Unlimited Tax GO, 5.00%, 12/1/2027		30		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Washington — continued

King County School District No. 412 Shoreline GO, 5.00%, 12/1/2025		60		66

King County School District No. 415 Kent, Unlimited Tax GO, 4.00%, 12/1/2037		40		49

Kitsap County School District No. 401 Central Kitsap, Unlimited Tax GO, 4.00%, 12/1/2031		45		53

Pierce County School District No. 10 Tacoma, Unlimited Tax GO, 5.00%, 12/1/2027		45		54

Pierce County School District No. 402 Franklin Pierce, Unlimited Tax GO, 5.00%, 12/1/2027		30		38

Port of Seattle, Intermediate Lien

Series B, Rev., 5.00%, 3/1/2032		4,000		4,524

Series 2015B, Rev., 5.00%, 3/1/2034		1,000		1,129

Port of Tacoma, Limited Tax

Series 2016A, GO, 5.00%, 12/1/2030		15		18

Series 2016A, GO, 5.00%, 12/1/2031		25		31

Shoreline Fire Department, Limited Tax GO, 5.00%, 12/1/2027		25		31

Snohomish County School District No. 15 Edmonds, Unlimited Tax GO, 5.00%, 12/1/2021		30		30

Spokane County School District No. 81, Unlimited Tax

GO, 5.00%, 12/1/2031		30		39

GO, 5.00%, 12/1/2034		25		32

State of Washington, Motor Vehicle Fuel Tax

Series 2018D, GO, 5.00%, 2/1/2025		75		87

Series R-2015H, GO, 5.00%, 7/1/2030		5,000		5,759

Series R-2016C, GO, 5.00%, 7/1/2030		30		36

State of Washington, State Agency Real Property Series 2018B, COP, 5.00%, 7/1/2041		40		49

State of Washington, State and Local Agency Personal Property Series 2013A, COP, 5.00%, 7/1/2023		25		27

State of Washington, State and Local Agency Real and Personal Property

Series 2017A, COP, 5.00%, 7/1/2029		35		43

COP, 5.00%, 7/1/2034		1,050		1,318

Series 2019A, COP, 5.00%, 1/1/2035		45		57

Series 2015C, COP, 4.00%, 1/1/2038		50		56

State of Washington, Various Purpose

Series R-2015A, GO, 4.00%, 7/1/2026		4,465		4,925

Series 2016C, GO, 5.00%, 2/1/2028		30		36

Series 2018C, GO, 5.00%, 2/1/2030		20		25


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Washington — continued

Series 2017A, GO, 5.00%, 8/1/2030		50		61

Series R-2018C, GO, 5.00%, 8/1/2033		70		87

Series C, GO, 5.00%, 2/1/2037		14,430		17,979

Series 2016A-1, GO, 5.00%, 8/1/2038		100		117

Series 2017D, GO, 5.00%, 2/1/2040		40		49

Series B, GO, 5.00%, 2/1/2040		20,965		24,009

Series 2018A, GO, 5.00%, 8/1/2040		10,000		12,340

Series 2020C, GO, 5.00%, 2/1/2041		75		96

Series 2018B, GO, 5.00%, 8/1/2042		4,050		4,981

Tacoma Metropolitan Park District, Unlimited Tax

GO, 5.00%, 12/1/2036		600		743

GO, 5.00%, 12/1/2037		1,750		2,164

Thurston and Pierce Counties Community Schools, Unlimited Tax

GO, 5.00%, 12/1/2027		30		38

GO, 4.00%, 12/1/2034		35		42

University of Washington

Series 2015C, Rev., 5.00%, 12/1/2023		25		28

Rev., 5.00%, 4/1/2029		1,860		2,292

Washington Health Care Facilities Authority, Commonspirit Health

Series A-1, Rev., 5.00%, 8/1/2031		780		999

Series A-2, Rev., 5.00%, 8/1/2031		1,000		1,280

Series A-1, Rev., 5.00%, 8/1/2032		1,000		1,277

Series A-2, Rev., 5.00%, 8/1/2032		1,000		1,277

Series A-1, Rev., 5.00%, 8/1/2034		1,250		1,586

Series A-2, Rev., 5.00%, 8/1/2034		1,000		1,269

Series A-1, Rev., 5.00%, 8/1/2035		750		950

Series A-2, Rev., 5.00%, 8/1/2035		1,000		1,266

Washington Health Care Facilities Authority, Multi-care Health System

Series 2017B, Rev., 5.00%, 8/15/2031		30		37

Series 2017B, Rev., 5.00%, 8/15/2034		35		43

Washington Health Care Facilities Authority, Providence Health and Services

Series 2012B, Rev., 4.00%, 10/1/2021 (b)		2,000		2,006

Series B, Rev., 5.00%, 10/1/2021 (b)		2,500		2,510

Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2025		50		59

Washington Health Care Facilities Authority, Seattle Cancer Care Alliance

Rev., 5.00%, 9/1/2038		1,300		1,690

Rev., 5.00%, 9/1/2039		100		130


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Washington — continued

Washington Higher Education Facilities Authority, Seattle University Project

Rev., 3.50%, 5/1/2039		460		512

Rev., 3.63%, 5/1/2040		985		1,105

Rev., 4.00%, 5/1/2045		500		578

Washington State Housing Finance Commission, Rockwood Retirement Communities Project

Rev., 5.00%, 1/1/2032 (d)		1,920		2,209

Series 2020A, Rev., 5.00%, 1/1/2041 (d)		2,000		2,270

Washington State Housing Finance Commission, Rockwood Retirement Communities Project Temps-50M Series 2020B-2, Rev., 3.00%, 7/1/2027 (d)		7,050		7,208

Washington State Housing Finance Commission, Rockwood Retirement Communities Project Temps-85M Series 2020B-1, Rev., 3.38%, 7/1/2028 (d)		7,200		7,368

Washington State University

Rev., 5.00%, 4/1/2030		40		47

Series 2012B, Rev., 4.00%, 4/1/2035		25		25

Whitman County Reorganized School District No. 300, Colfax Unlimited Tax GO, 5.00%, 12/1/2032		40		50

Yakima and Benton Counties School District No. 116-200 Grandview, Unlimited Tax GO, 5.00%, 12/1/2032		25		31

Yakima County School District No. 208 West Valley GO, 4.00%, 12/1/2034		30		36


Total Washington				226,369


West Virginia — 0.1%

State of West Virginia

Series 2018A, GO, 5.00%, 6/1/2028		25		32

Series 2019A, GO, 5.00%, 12/1/2043		40		51

West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Series 2009-B, Rev., 2.63%, 6/1/2022 (b)		6,460		6,571


Total West Virginia				6,654


Wisconsin — 1.2%

City of Mequon, Water System Series 2017A, Rev., 4.00%, 5/1/2027		25		29

County of Milwaukee, Airport Series 2019A, Rev., 5.00%, 12/1/2026		175		215

DeForest Area School District GO, 4.00%, 4/1/2031		25		30

McFarland School District, School Improvement Series 2018A, GO, 4.00%, 4/1/2025		25		28


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Wisconsin — continued

Milwaukee Area Technical College District Series 2018-19C, GO, 4.00%, 6/1/2023		40		43

Public Finance Authority, Acts Retirement Life Communities, Inc., Obligated Group

Series 2020A, Rev., 4.00%, 11/15/2037		300		353

Series 2020A, Rev., 5.00%, 11/15/2041		1,445		1,769

Public Finance Authority, Appalachian Regional Healthcare System Obligated Group

Series 2021A, Rev., 5.00%, 7/1/2035		300		388

Series 2021A, Rev., 5.00%, 7/1/2036		350		451

Series 2021A, Rev., 5.00%, 7/1/2037		300		385

Series 2021A, Rev., 5.00%, 7/1/2038		375		481

Series 2021A, Rev., 5.00%, 7/1/2039		350		447

Public Finance Authority, Blue Ridge Healthcare Facilities

Series 2020A, Rev., 5.00%, 1/1/2029		665		848

Series 2020A, Rev., 5.00%, 1/1/2030		540		702

Series 2020A, Rev., 5.00%, 1/1/2031		650		839

Series 2020A, Rev., 5.00%, 1/1/2032		680		874

Series 2020A, Rev., 5.00%, 1/1/2033		500		641

Series 2020A, Rev., 5.00%, 1/1/2034		500		639

Series 2020A, Rev., 5.00%, 1/1/2035		500		637

Series 2020A, Rev., 5.00%, 1/1/2036		500		634

Series 2020A, Rev., 5.00%, 1/1/2037		600		759

Series 2020A, Rev., 5.00%, 1/1/2038		735		925

Series 2020A, Rev., 5.00%, 1/1/2039		700		880

Series 2020A, Rev., 5.00%, 1/1/2040		500		627

Series 2020A, Rev., 4.00%, 1/1/2045		750		862

Public Finance Authority, Carson Valley Medical Center

Series 2021A, Rev., 3.00%, 12/1/2026		250		270

Series 2021A, Rev., 4.00%, 12/1/2031		350		422

Series 2021A, Rev., 4.00%, 12/1/2041		750		877

Public Finance Authority, ENO River Academy Project

Series 2020A, Rev., 4.00%, 6/15/2030 (d)		235		263

Series 2020A, Rev., 5.00%, 6/15/2040 (d)		405		470

Public Finance Authority, Piedmont Community Charter School

Rev., 5.00%, 6/15/2022		190		196

Rev., 5.00%, 6/15/2024		205		226

Rev., 5.00%, 6/15/2026		225		262

Rev., 5.00%, 6/15/2034		215		258

Rev., 5.00%, 6/15/2039		390		463


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wisconsin — continued

Public Finance Authority, Renown Regional Medical Center Project

Rev., 5.00%, 6/1/2031		1,050		1,376

Rev., 5.00%, 6/1/2032		1,650		2,154

Public Finance Authority, The Carmelite System, Inc., Obligated Group Rev., 3.25%, 1/1/2028		835		943

Public Finance Authority, Wakemed Hospital Series 2019A, Rev., 5.00%, 10/1/2044		12,500		15,288

State of Wisconsin

Series 2017-1, GO, 5.00%, 11/1/2023		30		33

Series 3, GO, 5.00%, 11/1/2030		4,190		5,173

Series 2017-3, GO, 5.00%, 11/1/2032		20		25

State of Wisconsin, Annual Appropriation Federally Tax-Exempt

Series A, Rev., 5.00%, 5/1/2028		7,200		8,958

Series 2017B, Rev., 5.00%, 5/1/2035		25		30

Wisconsin Department of Transportation

Series 1, Rev., 5.00%, 7/1/2022		40		42

Series 1, Rev., 5.00%, 7/1/2022 (c)		20		21

Series 2015-1, Rev., 5.00%, 7/1/2023		35		38

Series 2017-1, Rev., 5.00%, 7/1/2023		35		38

Series 2015-1, Rev., 5.00%, 7/1/2026		25		29

Series 2017-1, Rev., 5.00%, 7/1/2030		60		69

Series 2017-2, Rev., 5.00%, 7/1/2030		30		37

Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc. Rev., 5.00%, 7/1/2027		95		118

Wisconsin Health and Educational Facilities Authority, Aspirus, Inc., Obligated Group Rev., 5.00%, 8/15/2027		25		27

Wisconsin Health and Educational Facilities Authority, Three Pillars Senior Living Communities Rev., 4.00%, 8/15/2041		825		975


Total Wisconsin				53,567


Wyoming — 0.6%

County of Campbell, Solid Waste Facilities, Basin Electric Power Co-operative, Dry Fork Station Facilities Series 2019A, Rev., 3.63%, 7/15/2039		23,570		25,424


Total Municipal Bonds (Cost $4,098,842)				4,457,192


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 1.8%

Investment Companies — 1.8%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (f) (g) (Cost $81,566)		81,543		81,583

Total Investments — 99.0% (Cost $4,180,408)				4,538,775
Other Assets Less Liabilities — 1.0%				47,793

NET ASSETS — 100.0%				4,586,568

Percentages indicated are based on net assets.

Abbreviations


AGC		Insured by Assured Guaranty Corp.
AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
BHAC		Insured by Berkshire Hathaway Assurance Corp.
COP		Certificate of Participation
CR		Custodial Receipts
FGIC		Insured by Financial Guaranty Insurance Co.
GAN		Grant Anticipation Note
GO		General Obligation
GRAN		Grant Revenue Anticipation Note
GTD		Guaranteed
IBC		Insured Bond Certificates
ICC		Insured Custody Certificates
MTA		Metropolitan Transportation Authority
NATL		Insured by National Public Finance Guarantee Corp.
PSF-GTD		Permanent School Fund Guaranteed


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Municipal Bonds — 97.6% (a)

New York — 97.6%

Education — 7.3%

Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project

Rev., 5.00%, 5/1/2023		1,710		1,849

Series A, Rev., 5.00%, 5/1/2023		2,000		2,064

New York City Educational Construction Fund Series 2021A, Rev., 5.00%, 4/1/2029		1,500		1,942

New York State Dormitory Authority, Court Facilities Lease Series A, Rev., AMBAC, 5.50%, 5/15/2026		5,000		6,156

New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center Series 1, Rev., 5.00%, 7/1/2030		1,000		1,319

New York State Dormitory Authority, New York University

Series 1, Rev., AMBAC, 5.50%, 7/1/2022		1,000		1,045

Series 1, Rev., AMBAC, 5.50%, 7/1/2023		2,900		3,183

Series 1, Rev., AMBAC, 5.50%, 7/1/2024		1,570		1,805

Series 1, Rev., AMBAC, 5.50%, 7/1/2025		2,280		2,732

New York State Dormitory Authority, New York University Hospitals Center, Langone Hospitals Obligated Group Rev., 5.00%, 7/1/2026		3,360		3,789

New York State Dormitory Authority, Rochester Institute of Technology Series 2019A, Rev., 5.00%, 7/1/2036		900		1,150

New York State Dormitory Authority, School Districts Financing Program

Series 2009A, Rev., AGC, 5.00%, 10/1/2024		40		40

Series 2018A, Rev., 5.00%, 10/1/2027		2,000		2,450

Syracuse Industrial Development Agency, School District Project Series 2019A, Rev., 5.00%, 5/1/2025		500		585


				30,109


General Obligation — 18.4%

City of Buffalo, General Improvement Series 2016B, GO, 5.00%, 11/15/2022		1,000		1,059

City of New York Series E-1, GO, 5.25%, 3/1/2035		1,300		1,646

City of New York, Fiscal Year 2012 Series A-1, GO, 5.00%, 8/1/2028		7,600		7,629

City of New York, Fiscal Year 2014

Series 2014E, GO, 5.00%, 8/1/2024		1,250		1,366

Subseries D-1, GO, 5.00%, 8/1/2028		2,000		2,181

City of New York, Fiscal Year 2018

Series C, GO, 5.00%, 8/1/2024		1,000		1,139

Series F, Subseries F-1, GO, 5.00%, 4/1/2034		2,500		3,118


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



General Obligation — continued

City of New York, Fiscal Year 2019 Series 2019E, GO, 5.00%, 8/1/2027		1,750		2,191

City of Syracuse, Public Improvement

Series A, GO, 4.00%, 5/15/2024		1,000		1,098

Series 2020A, GO, AGM, 4.00%, 5/15/2025		1,000		1,128

City of White Plains, Public Improvement

GO, 4.00%, 9/15/2028		705		824

GO, 4.00%, 9/15/2029		1,100		1,279

City of Yonkers

Series 2021A, GO, 4.00%, 2/15/2024		250		272

Series 2021A, GO, AGM, 5.00%, 2/15/2028		325		409

County of Albany, Various Purpose Series 2021A, GO, 5.00%, 7/1/2028		380		488

County of Monroe

GO, 5.00%, 6/1/2022		1,080		1,119

GO, 5.00%, 6/1/2025		1,330		1,561

County of Nassau, General Improvement

Series C, GO, 5.00%, 10/1/2022		2,205		2,322

Series B, GO, 5.00%, 10/1/2024		1,580		1,807

Series A, GO, 5.00%, 1/1/2025		1,000		1,153

Series 2016B, GO, 5.00%, 10/1/2025		1,000		1,184

Series 2019B, GO, 5.00%, 4/1/2026		1,270		1,527

County of Onondaga GO, 4.00%, 4/15/2029		2,760		3,101

County of Westchester

Series 2018A, GO, 5.00%, 12/1/2022		1,350		1,433

Series 2019D, GO, 5.00%, 12/15/2023		2,930		3,254

Series 2019D, GO, 4.00%, 12/15/2030		1,635		1,960

Greece Central School District

Series B, GO, 4.50%, 12/15/2021		880		890

Series B, GO, 5.00%, 12/15/2022		765		813

Series 2012B, GO, 5.00%, 12/15/2023		500		531

Haverstraw-Stony Point Central School District GO, 3.00%, 10/15/2026		1,105		1,234

Kings Park Central School District GO, 2.00%, 9/1/2021		1,000		1,000

Middle Country Central School District at Centereach GO, 2.00%, 8/15/2022		1,000		1,018

New Rochelle City School District

Series 2021A, GO, 5.00%, 6/15/2028		1,280		1,651

Series 2021A, GO, 4.00%, 6/15/2030		1,340		1,659

Niagara Falls City School District GO, AGM, 5.00%, 6/15/2028		1,540		1,959

North Babylon Union Free School District GO, 4.00%, 7/1/2030		1,000		1,221

Orchard Park Central School District GO, 4.00%, 4/1/2029		1,685		1,935


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Municipal Bonds — continued

General Obligation — continued

Pelham Union Free School District Series 2020A, GO, 5.00%, 11/1/2027		910		1,156

State of New York, Tax-Exempt Series 2018A, GO, 5.00%, 2/15/2025		1,515		1,765

Syosset Central School District GO, 2.00%, 12/15/2027		1,380		1,473

Town of Brookhaven GO, 5.00%, 5/1/2027		2,000		2,352

Town of Brookhaven, Public Improvement GO, 4.00%, 7/15/2028		2,675		3,195

Town of East Hampton, Various Purpose GO, 5.00%, 8/15/2023		290		318

Town of Hempstead, Public Improvement GO, 4.00%, 6/15/2030		2,440		3,013

Town of Oyster Bay, Public Improvement GO, AGM, 4.00%, 3/1/2026		920		1,057

Village of Mamaroneck, Public Improvement GO, 3.00%, 8/15/2030		1,540		1,667


				76,155


Hospital — 0.2%

New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center Rev., NATL-RE, 5.50%, 7/1/2023		690		740


Housing — 0.2%

State of New York Mortgage Agency, Homeowner Mortgage Series 197, Rev., 3.50%, 10/1/2044		625		662


Industrial Development Revenue/Pollution Control Revenue — 1.1%

New York City Industrial Development Agency, New York Stock Exchange Project, Fiscal Year 2019

Series 2019A, Rev., 5.00%, 5/1/2023		1,310		1,410

Series 2019A, Rev., 5.00%, 5/1/2027		1,150		1,416

New York City Industrial Development Agency, Queens Baseball Stadium Project Rev., AGM, 4.00%, 1/1/2032		1,250		1,548


				4,374


Other Revenue — 26.1%

Battery Park City Authority Series 2019A, Rev., 5.00%, 11/1/2038		2,000		2,605

Hudson Yards Infrastructure Corp., Second Indenture

Series 2017A, Rev., 5.00%, 2/15/2029		3,500		4,302

Series 2017A, Rev., 5.00%, 2/15/2030		1,600		1,959

Series 2017A, Rev., 5.00%, 2/15/2032		2,320		2,824

Series A, Rev., 5.00%, 2/15/2034		1,115		1,350

Series A, Rev., 5.00%, 2/15/2035		4,000		4,834


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Other Revenue — continued

Series A, Rev., 5.00%, 2/15/2036		3,500		4,219

Nassau County Interim Finance Authority, Sales Tax

Series 2021A, Rev., 4.00%, 11/15/2033		1,000		1,264

Series 2021A, Rev., 4.00%, 11/15/2034		2,930		3,685

Series 2021A, Rev., 5.00%, 11/15/2035		935		1,266

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2015 Series S-1, Rev., 5.00%, 7/15/2028		3,000		3,466

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series S-4, Rev., 5.25%, 7/15/2035		4,000		5,130

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019

Series 2019S-2A, Rev., 5.00%, 7/15/2026		1,900		2,319

Series S-2A, Rev., 5.00%, 7/15/2034		2,000		2,524

Series S-3A, Rev., 5.00%, 7/15/2034		4,000		5,048

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series E, Subseries E-1, Rev., 5.00%, 2/1/2032		2,000		2,441

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019

Series A, Subseries A-1, Rev., 5.00%, 8/1/2034		1,500		1,898

Series A, Subseries A-1, Rev., 5.00%, 8/1/2035		1,000		1,264

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021

Rev., 5.00%, 5/1/2033		1,745		2,327

Series E, Subseries E-1, Rev., 5.00%, 2/1/2036		1,000		1,320

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt Subseries C-1, Rev., 5.00%, 5/1/2027		870		1,085

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2012 Series D, Subseries D-1, Rev., 5.00%, 11/1/2021		2,000		2,016

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2017 Series E, Subseries E-1, Rev., 5.00%, 2/1/2034		2,260		2,750

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2021

Series 2021A, Rev., 5.00%, 11/1/2029		2,000		2,644

Series 2021G1, Rev., 5.00%, 11/1/2038		1,250		1,650


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Municipal Bonds — continued

Other Revenue — continued

New York Convention Center Development Corp., Hotel Unit Fee Secured Rev., 5.00%, 11/15/2030		2,000		2,363

New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured

Series B, Rev., Zero Coupon, 11/15/2031		2,090		1,743

Series B, Rev., Zero Coupon, 11/15/2033		2,000		1,580

New York State Dormitory Authority, State Sales Tax

Series 2014A, Rev., 5.00%, 3/15/2029		2,500		2,798

Series A, Rev., 5.00%, 3/15/2031		5,100		5,914

Series 2014A, Rev., 5.00%, 3/15/2032		2,000		2,236

Series B, Rev., 5.00%, 3/15/2032		2,500		2,949

Series 2018E, Rev., 5.00%, 3/15/2033		2,000		2,552

Series B, Rev., 5.00%, 3/15/2033		2,500		2,947

Series A, Rev., 5.00%, 3/15/2034		2,000		2,444

New York State Thruway Authority Series 2021A-1, Rev., 5.00%, 3/15/2034		2,000		2,654

New York State Urban Development Corp., State Sales Tax Series 2019A, Rev., 5.00%, 3/15/2036		4,500		5,819

Trust for Cultural Resources of City of New York (The), Carnegie Hall Rev., 5.00%, 12/1/2031		275		357

United Nations Development Corp., Senior Lien Series 2019A, Rev., 5.00%, 7/1/2022		1,095		1,140

Westchester Tobacco Asset Securitization Corp., Tobacco Settlement

Series B, Rev., 5.00%, 9/10/2021		2,000		2,422

Series B, Rev., 5.00%, 6/1/2033		1,775		2,154


				108,262


Prerefunded — 2.1%

Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series A, Rev., 5.00%, 10/15/2024 (b)		7,500		8,621


Special Tax — 8.5%

New York State Dormitory Authority, State Personal Income Tax, General Purpose

Series E, Rev., 5.00%, 2/15/2029		1,715		1,753

Series A, Rev., 5.00%, 3/15/2033		1,500		1,926

Series A, Rev., 5.00%, 3/15/2035		1,500		1,915

Series 2019A, Rev., 5.00%, 3/15/2036		1,825		2,321

New York State Thruway Authority, State Personal Income Tax, Transportation

Series A, Rev., 5.00%, 3/15/2023		2,400		2,579

Series 2021A-1, Rev., 5.00%, 3/15/2035		2,500		3,317


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Special Tax — continued

New York State Urban Development Corp., State Personal Income Tax, General Purpose

Series A, Rev., 5.00%, 3/15/2027		1,500		1,678

Series A, Rev., 5.00%, 3/15/2031		3,000		3,351

Series 2020E, Rev., 5.00%, 3/15/2032		1,500		1,975

Series A, Rev., 5.00%, 3/15/2032		2,500		2,948

Series 2019A, Rev., 5.00%, 3/15/2033		2,575		3,275

New York State Urban Development Corp., State Personal Income Tax, State Facilities and Equipment

Series A-2, Rev., NATL-RE, 5.50%, 3/15/2023		2,000		2,165

Series A-2, Rev., NATL-RE, 5.50%, 3/15/2025		5,000		5,920


				35,123


Transportation — 19.7%

Metropolitan Transportation Authority

Series 2015C, Rev., 5.25%, 11/15/2030		1,500		1,770

Series 2016A-1, Rev., 5.00%, 11/15/2031		2,500		2,944

Series B, Rev., 5.00%, 11/15/2031		2,000		2,296

Subseries D-1, Rev., 5.00%, 11/15/2031		2,000		2,335

Series A-1, Rev., 5.00%, 11/15/2032		2,000		2,351

Series A-1, Rev., 4.00%, 11/15/2033		2,000		2,249

Metropolitan Transportation Authority, Dedicated Tax Fund

Series A, Rev., Zero Coupon, 11/15/2030		4,000		3,489

Series 2017B-2, Rev., 5.25%, 11/15/2033		1,000		1,255

Series 2016A, Rev., 5.25%, 11/15/2034		1,020		1,247

New York State Thruway Authority

Series K, Rev., 5.00%, 1/1/2028		1,000		1,150

Series K, Rev., 5.00%, 1/1/2030		2,500		2,865

Series L, Rev., 5.00%, 1/1/2032		2,250		2,800

Series N, Rev., 5.00%, 1/1/2033		2,225		2,906

Series 2016A, Rev., 5.00%, 1/1/2035		1,000		1,181

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project

Rev., AMT, 5.00%, 1/1/2025		2,075		2,374

Rev., AMT, 5.00%, 1/1/2026		2,000		2,362

Rev., AMT, 5.00%, 1/1/2027		2,000		2,429

Port Authority of New York and New Jersey, Consolidated

Series 172, Rev., 5.00%, 10/1/2022		1,500		1,542

Series 186, Rev., AMT, 5.00%, 10/15/2027		2,000		2,278

Series 185, Rev., AMT, 5.00%, 9/1/2028		1,000		1,130

Series 184, Rev., 5.00%, 9/1/2030		2,020		2,301

Series 185, Rev., AMT, 5.00%, 9/1/2030		2,000		2,248


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Municipal Bonds — continued

Transportation — continued

Series 207, Rev., AMT, 5.00%, 9/15/2031		2,335		2,904

Series 185, Rev., AMT, 5.00%, 9/1/2032		1,750		1,969

Series 207, Rev., AMT, 5.00%, 9/15/2032		3,000		3,727

Series 205, Rev., 5.00%, 11/15/2032		1,000		1,249

Rev., AMT, 5.00%, 9/1/2036		2,950		3,713

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2017B, Rev., 5.00%, 11/15/2029		2,500		3,095

Series B, Rev., 5.00%, 11/15/2029		1,600		2,128

Series B, Rev., 5.00%, 11/15/2030		5,355		7,023

Series 2016A, Rev., 5.00%, 11/15/2031		1,000		1,198

Series B, Rev., 5.00%, 11/15/2031		1,100		1,356

Series 2013A, Rev., Zero Coupon, 11/15/2032		3,000		2,451

Series B, Rev., 5.00%, 11/15/2033		1,500		1,844

Series C, Rev., 5.00%, 11/15/2035		1,375		1,749


				81,908


Utility — 7.6%

Long Island Power Authority, Electric System

Series 2012B, Rev., 5.00%, 9/1/2024		2,735		2,868

Series 2019A, Rev., 5.00%, 9/1/2027		3,500		4,395

Series 2020A, Rev., 5.00%, 9/1/2032		1,410		1,881

Rev., 5.00%, 9/1/2034		1,500		1,913

Rev., 5.00%, 9/1/2035		2,000		2,553

Rev., 5.00%, 9/1/2036		1,225		1,559

Utility Debt Securitization Authority

Rev., 5.00%, 12/15/2032		2,500		2,977

Series A, Rev., 5.00%, 12/15/2033		3,000		3,618

Series A, Rev., 5.00%, 12/15/2034		4,595		5,533

Series B, Rev., 5.00%, 12/15/2034		2,450		2,951

Utility Debt Securitization Authority, Federally Tax-Exempt Series TE, Rev., 5.00%, 12/15/2030		1,000		1,108


				31,356


Water & Sewer — 6.4%

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2012 Series EE, Rev., 5.00%, 6/15/2028		4,000		4,154

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015

Series 2015EE, Rev., 5.00%, 6/15/2028		2,000		2,264

Series DD, Rev., 5.00%, 6/15/2029		2,000		2,263

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2020 Series EE, Rev., 5.00%, 6/15/2031		2,570		3,524


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Water & Sewer — continued

New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution

Series A, Rev., 5.00%, 6/15/2027		1,500		1,696

Series A, Rev., 5.00%, 6/15/2031		2,150		2,600

Series A, Rev., 5.00%, 6/15/2032		2,000		2,417

Series 2015A, Rev., 5.00%, 6/15/2033		2,000		2,339

New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Pooled Financing Program Series 2005B, Rev., 5.50%, 10/15/2025 (b)		4,175		4,996


				26,253


Total New York				403,563


Total Municipal Bonds (Cost $377,329)				403,563

	SHARES (000)
Short-Term Investments — 1.3%

Investment Companies — 1.3%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (c) (d) (Cost $5,346)		5,345		5,348

Total Investments — 98.9% (Cost $382,675)				408,911
Other Assets Less Liabilities — 1.1%				4,353

NET ASSETS — 100.0%				413,264

Percentages indicated are based on net assets.


Abbreviations
AGC		Insured by Assured Guaranty Corp.
AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
GO		General Obligation
MTA		Metropolitan Transportation Authority
NATL		Insured by National Public Finance Guarantee Corp.
RE		Reinsured
Rev.		Revenue

(a)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(b)		Security is prerefunded or escrowed to maturity.
(c)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)		The rate shown is the current yield as of August 31, 2021.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 89.5% (a)

Alabama — 1.7%

Birmingham Airport Authority

Rev., 5.00%, 7/1/2027		250		312

Rev., 5.00%, 7/1/2028		350		447

Rev., 5.00%, 7/1/2029		375		490

Rev., 5.00%, 7/1/2030		250		334

Rev., 5.00%, 7/1/2031		175		232

Rev., 5.00%, 7/1/2032		150		198

Rev., 5.00%, 7/1/2033		325		428

Rev., 5.00%, 7/1/2034		375		494

Black Belt Energy Gas District, Gas Prepay Series 2018B-2, Rev., (SIFMA Municipal Swap Index Yield + 0.62%), 0.64%, 9/9/2021 (b)		7,500		7,528

Black Belt Energy Gas District, Gas Prepay Project No. 4 Series 2019A-1, Rev., 4.00%, 12/1/2025 (c)		10,160		11,567

Montgomery County Public Building Authority, Facilities Project Rev., 5.00%, 3/1/2023		500		536

Selma Industrial Development Board, International Paper Co. Project Series 2019A, Rev., 2.00%, 10/1/2024 (c)		3,625		3,806

Southeast Alabama Gas Supply District (The), Project No. 1 Series A, Rev., 5.00%, 4/1/2022		3,220		3,310


Total Alabama				29,682


Alaska — 1.3%

Alaska Municipal Bond Bank Authority

Series 1, Rev., 5.00%, 12/1/2027		1,945		2,440

Series 1, Rev., 5.00%, 12/1/2028		1,230		1,579

Series 1, Rev., 5.00%, 12/1/2029		1,275		1,666

Series 1, Rev., 5.00%, 12/1/2030		875		1,166

Borough of North Slope

Series 2021A, GO, 5.00%, 6/30/2022		2,920		3,038

Series 2021B, GO, 5.00%, 6/30/2022		1,410		1,467

Series 2021A, GO, 5.00%, 6/30/2023		4,165		4,533

Series 2021B, GO, 5.00%, 6/30/2023		3,230		3,516

City of Anchorage, Electric Utilities, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2023 (d)		500		554

State of Alaska Series A, GO, 5.00%, 8/1/2029		1,300		1,527


Total Alaska				21,486


Arizona — 2.0%

Arizona Health Facilities Authority, Scottsdale Lincoln Hospitals Series 2014A, Rev., 5.00%, 12/1/2025		3,540		4,064


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Arizona — continued

Arizona Industrial Development Authority, Phoenix Children’s Hospital Series 2020A, Rev., 5.00%, 2/1/2027		125		154

City of Scottsdale GO, 5.00%, 7/1/2022		2,550		2,654

Maricopa County Elementary School District No. 6 Washington, School Improvement, Project of 2016 Series 2019B, GO, 5.00%, 7/1/2029		3,950		5,035

Maricopa County Industrial Development Authority, Banner Health

Series B, Rev., 5.00%, 10/18/2022 (c)		7,370		7,769

Series C, Rev., 5.00%, 10/18/2024 (c)		9,000		10,328

Series 2019D, Rev., 5.00%, 5/15/2026 (c)		3,000		3,620


Total Arizona				33,624


Arkansas — 0.8%

Arkansas Development Finance Authority Public Safety Charges, Division of Emergency Management Project

Rev., 4.00%, 6/1/2028		1,000		1,201

Rev., 4.00%, 6/1/2030		1,195		1,421

Arkansas Development Finance Authority, Department of Community Correction Project Rev., 5.00%, 11/1/2026		325		396

City of Rogers, Sales Tax Series B, Rev., 5.00%, 11/1/2027		3,855		4,731

County of Sharp, Sales and Use Tax

Rev., 5.00%, 3/1/2024		595		658

Rev., 5.00%, 3/1/2025		600		686

Rev., 5.00%, 3/1/2026		685		806

University of Arkansas, Various Facility UAMS Campus

Rev., 5.00%, 3/1/2025		500		580

Rev., 5.00%, 3/1/2026		1,000		1,155

University of Central Arkansas, Student Housing System

Series 2017A, Rev., 5.00%, 11/1/2021		1,600		1,612

Series 2019C, Rev., AGM, 4.00%, 11/1/2025		110		125

Series 2019C, Rev., AGM, 4.00%, 11/1/2026		240		275

Series 2019C, Rev., AGM, 4.00%, 11/1/2027		180		205


Total Arkansas				13,851


California — 13.7%

Alameda County Transportation Commission, Sales Tax Rev., 4.00%, 3/1/2022		5,000		5,098


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Allan Hancock Joint Community College District GO, 5.00%, 8/1/2022		1,050		1,097

Anaheim Housing and Public Improvements Authority, Electric Utility Distribution System Series 2016A, Rev., 5.00%, 10/1/2021 (d)		1,275		1,280

Bay Area Toll Authority, Toll Bridge Series S-7, Rev., 4.00%, 4/1/2029		20,000		23,554

California Educational Facilities Authority, Claremont McKenna College Series 2015A, Rev., 4.00%, 1/1/2024		1,675		1,824

California Health Facilities Financing Authority, Adventist Health System Series 2011A, Rev., 3.00%, 3/1/2024 (c)		8,065		8,452

California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2025		1,850		2,212

California Health Facilities Financing Authority, Providence Health and Services

Series 2014A, Rev., 5.00%, 10/1/2021		750		753

Series 2014A, Rev., 5.00%, 10/1/2022		1,500		1,579

California Health Facilities Financing Authority, Stanford Health Clinic Series 2021A, Rev., 3.00%, 8/15/2025 (c)		5,300		5,858

California Infrastructure and Economic Development Bank Series 2021A, Rev., 5.00%, 6/1/2028		5,750		7,408

California Infrastructure and Economic Development Bank, The J. Paul Getty Trust Series 2013A-2, Rev., (ICE LIBOR USD 1 Month + 0.33%), 0.40%, 10/1/2021 (b)		3,250		3,251

California Municipal Finance Authority, Biola University Rev., 5.00%, 10/1/2021		370		371

California Municipal Finance Authority, California Lutheran University

Rev., 5.00%, 10/1/2025		275		321

Rev., 5.00%, 10/1/2026		150		181

Rev., 5.00%, 10/1/2027		150		185

California Municipal Finance Authority, NorthBay Healthcare Group

Series 2017A, Rev., 5.00%, 11/1/2023		500		545

Series 2017A, Rev., 5.00%, 11/1/2024		800		903

California Public Finance Authority, Enso Village Project, Green Bond Series 2021B-3, Rev., 2.13%, 11/15/2027 (e)		1,500		1,519

California State Public Works Board, California State University, Davidson Library at Santa Barbara Series 2013C, Rev., 5.00%, 3/1/2023 (d)		2,820		3,026


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

California Statewide Communities Development Authority, Marin General Hospital Project, Green Bond Series 2018A, Rev., 5.00%, 8/1/2028		250		310

City and County of San Francisco Series 2014A, GO, 5.00%, 6/15/2025		5,310		5,515

City of Chula Vista, Police Facility Project

COP, 5.00%, 10/1/2021		360		361

COP, 5.00%, 10/1/2022		465		489

COP, 5.00%, 10/1/2023		1,000		1,102

City of Los Angeles Department of Airports, International Airport Senior

Series D, Rev., AMT, 5.00%, 5/15/2022		3,380		3,496

Series B, Rev., 4.00%, 5/15/2024		365		402

Series D, Rev., AMT, 5.00%, 5/15/2027		2,700		3,140

Series D, Rev., AMT, 5.00%, 5/15/2028		1,950		2,261

Series D, Rev., AMT, 5.00%, 5/15/2029		2,550		2,953

City of Los Angeles Department of Airports, International Airport Subordinate

Series C, Rev., 5.00%, 5/15/2022		750		776

Series C, Rev., 5.00%, 5/15/2024		700		790

City of Los Angeles, Wastewater System Series 2015-A, Rev., 5.00%, 6/1/2022		2,750		2,851

Contra Costa County Transportation Authority, Sales Tax

Series A, Rev., 5.00%, 3/1/2023		2,420		2,596

Series A, Rev., 5.00%, 3/1/2024		2,000		2,242

Eastern Municipal Water District, Water and Wastewater System Series C, Rev., 5.00%, 7/1/2022		1,700		1,769

Grossmont Healthcare District

Series 2015C, GO, 5.00%, 7/15/2026		1,000		1,173

Series D, GO, 5.00%, 7/15/2026		1,225		1,438

Los Angeles Community College District Series C, GO, 5.00%, 6/1/2026		5,000		6,091

Los Angeles Department of Water and Power, Water System Series A, Rev., 5.00%, 7/1/2025		100		118

Novato Unified School District

Series A, GO, 4.00%, 2/1/2022		535		544

Series A, GO, 5.00%, 2/1/2023		685		732

Series A, GO, 5.00%, 8/1/2025		1,500		1,709

Series A, GO, 5.00%, 8/1/2026		1,800		2,048

Oak Grove School District GO, 5.00%, 8/1/2023		1,200		1,311

Placentia-Yorba Linda Unified School District GO, 5.00%, 8/1/2025		1,770		2,098


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Port of Oakland, Intermediate Lien Rev., AMT, 5.00%, 5/1/2024		2,935		3,295

Sacramento Municipal Utility District, Electric

Series E, Rev., 5.00%, 8/15/2022		2,740		2,868

Series E, Rev., 5.00%, 8/15/2027		105		133

San Diego County Regional Transportation Commission, Sales Tax Series A, Rev., 5.00%, 4/1/2022		100		103

San Diego Public Facilities Financing Authority Series 2020A, Rev., 5.00%, 8/1/2027		250		315

San Francisco Bay Area Rapid Transit District, Election of 2004

Series D, GO, 3.00%, 8/1/2022		2,735		2,809

Series 2015D, GO, 5.00%, 8/1/2028		1,685		1,985

San Francisco City and County Public Utilities Commission Wastewater Series 2018C, Rev., 2.13%, 10/1/2023 (c)		10,000		10,295

San Francisco State Building Authority and Oakland State Building Authority, Elihu M. Harris State Office Building Series A, Rev., 5.00%, 12/1/2022		1,700		1,804

San Francisco Unified School District, Proposition A, Election of 2011 Series B, GO, 5.00%, 6/15/2024		5,190		5,390

Santa Barbara Unified School District

Series A, GO, 4.00%, 8/1/2022		30		31

Series B, GO, 5.00%, 8/1/2026		50		61

Sonoma County Transportation Authority, Limited Tax Rev., 5.00%, 12/1/2024		1,000		1,155

State of California, Various Purpose

Series B, GO, 5.00%, 9/1/2023		2,810		3,083

GO, 5.00%, 11/1/2023		3,560		3,934

GO, 5.00%, 3/1/2026		13,210		15,374

GO, 5.00%, 9/1/2026		4,900		6,009

GO, 4.00%, 8/1/2028		4,000		4,664

GO, 4.00%, 8/1/2029		4,180		4,871

GO, 5.00%, 8/1/2029		7,830		9,513

GO, 4.00%, 8/1/2030		10,000		11,634

Stockton Public Financing Authority

Rev., 5.00%, 3/1/2027		630		753

Rev., 5.00%, 3/1/2029		465		574

Tobacco Securitization Authority of Northern California Rev., 0.45%, 6/1/2030		100		102

University of California Series AK, Rev., 5.00%, 5/15/2023 (c)		11,505		12,460


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Walnut Energy Center Authority Series A, Rev., 5.00%, 1/1/2023		400		426

Whittier Union High School District GO, 5.00%, 8/1/2023		10,495		11,478


Total California				232,851


Colorado — 1.6%

City of Aurora COP, 4.00%, 12/1/2022		375		393

City of Longmon

Series A, COP, 5.00%, 12/1/2021		100		101

Series A, COP, 5.00%, 12/1/2022		100		106

Series A, COP, 5.00%, 12/1/2024		100		111

Colorado Bridge Enterprise, Tax-Exempt Series 2019A, Rev., 4.00%, 12/1/2027		5,000		5,883

Colorado Health Facilities Authority, Commonspirit Health Series B-2, Rev., 5.00%, 8/1/2026 (c)		10,000		11,850

Colorado Health Facilities Authority, Parkview Medical Center, Inc., Project Rev., 5.00%, 9/1/2022		150		157

Colorado Health Facilities Authority, Valley View Hospital Association Project Rev., 2.80%, 5/15/2023 (c)		1,060		1,090

Counties of Gunnison, Watershed School District No. 1

Series 2014A, GO, 4.00%, 12/1/2022		300		315

Series 2014A, GO, 5.00%, 12/1/2024 (d)		500		578

County of Eagle COP, 5.00%, 12/1/2022		200		212

Regional Transportation District, Denver Transit Partners

Rev., 5.00%, 1/15/2027		500		607

Rev., 5.00%, 7/15/2027		500		615

Rev., 5.00%, 1/15/2028		250		311

Rev., 5.00%, 7/15/2028		175		220

Rev., 5.00%, 1/15/2029		300		381

Rev., 5.00%, 7/15/2029		135		173

Rev., 5.00%, 1/15/2030		165		214

Rev., 5.00%, 7/15/2030		115		150

University of Colorado, Enterprise System

Series 2017A-2, Rev., 5.00%, 6/1/2022 (d)		820		849

Series 2017A-2, Rev., 5.00%, 6/1/2022		260		270

Series A, Rev., 5.00%, 6/1/2022 (d)		2,590		2,682

Series A, Rev., 5.00%, 6/1/2022		560		581


Total Colorado				27,849


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Connecticut — 2.4%

Connecticut Housing Finance Authority, Housing Mortgage Finance Program Series E, Subseries E-3, Rev., 1.63%, 9/10/2021 (c)		400		400

Connecticut State Health and Educational Facilities Authority, Hartford Healthcare Series 2020B-2, Rev., 5.00%, 1/1/2027 (c)		7,750		9,454

State of Connecticut

GO, 5.00%, 7/15/2022		4,750		4,953

GO, 5.00%, 7/15/2023		4,260		4,648

GO, 5.00%, 7/15/2024		7,060		8,033

Series 2020C, GO, 4.00%, 6/1/2032		1,000		1,232

State of Connecticut, Special Tax Transportation Infrastructure Purposes Series C, Rev., 5.00%, 10/1/2026		10,000		12,265


Total Connecticut				40,985


District of Columbia — 0.2%

Metropolitan Washington Airports Authority Aviation Series 2013C, Rev., 5.00%, 10/1/2021		1,475		1,481

Washington Metropolitan Area Transit Authority Series B, Rev., 5.00%, 7/1/2029		1,120		1,390


Total District of Columbia				2,871


Florida — 1.5%

County of Miami-Dade, Aviation Series 2020A, Rev., 5.00%, 10/1/2032		2,000		2,625

Florida Higher Educational Facilities Financial Authority, Florida Institute of Technology

Rev., 5.00%, 10/1/2022		115		120

Rev., 5.00%, 10/1/2023		125		137

JEA Water and Sewer System Series A, Rev., 5.00%, 10/1/2025		250		297

Miami-Dade County Expressway Authority, Toll System Series 2014A, Rev., 5.00%, 7/1/2022		625		649

State of Florida, Department of Transportation, Right-of- Way Acquisition and Bridge Construction Series 2021A, GO, 5.00%, 7/1/2028		3,675		4,725

State of Florida, State Board of Education, Lottery Series B, Rev., 5.00%, 7/1/2027		8,540		10,417

Volusia County School Board

Series 2021A, COP, 5.00%, 8/1/2025		1,685		1,986

Series 2021A, COP, 5.00%, 8/1/2026		1,425		1,734

Series 2021A, COP, 5.00%, 8/1/2027		1,965		2,457


Total Florida				25,147


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Georgia — 2.1%

Atlanta Development Authority, Panther Place LLC Project

Series 2015A-1, Rev., 5.00%, 7/1/2027		1,000		1,161

Series 2015A-1, Rev., 5.00%, 7/1/2028		1,000		1,159

Cook County School District, Sales Tax GO, 5.00%, 10/1/2021		1,495		1,501

Dahlonega Downtown Development Authority, North Georgia MAC, LLC Project

Rev., 5.00%, 7/1/2023		325		353

Rev., 5.00%, 7/1/2025		250		292

Rev., 5.00%, 7/1/2026		275		332

Rev., 5.00%, 7/1/2028		375		461

Rev., 4.00%, 7/1/2032		1,000		1,150

Development Authority for Fulton County, Tech Athletic

Rev., 5.00%, 10/1/2022 (d)		4,855		5,106

Rev., 5.00%, 10/1/2022		145		152

Private Colleges and Universities Authority, Emory University Series 2020B, Rev., 5.00%, 9/1/2030		10,755		14,461

State of Georgia

Series 2016E, GO, 5.00%, 12/1/2025		6,750		8,084

Series F, GO, 5.00%, 7/1/2028		2,000		2,462


Total Georgia				36,674


Guam — 0.2%

Territory of Guam (Guam)

Series F, Rev., 5.00%, 1/1/2028 (f)		250		306

Series F, Rev., 5.00%, 1/1/2029 (f)		750		934

Series F, Rev., 5.00%, 1/1/2030 (f)		750		949

Series F, Rev., 5.00%, 1/1/2031 (f)		750		969


Total Guam				3,158


Hawaii — 0.5%

City and County of Honolulu Series A, GO, 5.00%, 10/1/2029		675		797

State of Hawaii Series EF, GO, 5.00%, 11/1/2021		7,640		7,702


Total Hawaii				8,499


Illinois — 7.2%

Carol Stream Park District Series 2020C, GO, 4.00%, 11/1/2027		200		235

Carol Stream Park District, Limited Tax Series 2020A, GO, 4.00%, 11/1/2028		145		173

Champaign County Community Unit School District No. 4 Champaign

GO, 4.00%, 6/1/2028		1,255		1,491


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

GO, 4.00%, 6/1/2029		1,000		1,205

GO, 4.00%, 6/1/2030		1,285		1,579

Champaign County Community Unit School District No. 4 Champaign, Capital Appreciation

Series 2020A, GO, Zero Coupon, 1/1/2025		960		938

Series 2020A, GO, Zero Coupon, 1/1/2027		385		365

Series 2020A, GO, Zero Coupon, 1/1/2028		570		529

Chicago O’Hare International Airport, General Airport, Senior Lien

Series 2020B, Rev., 5.00%, 1/1/2028		1,000		1,259

Series 2020A, Rev., 5.00%, 1/1/2029		4,390		5,655

Series 2020A, Rev., 5.00%, 1/1/2030		4,605		6,058

Series 2020E, Rev., 5.00%, 1/1/2031		4,620		6,038

Chicago Transit Authority Capital Grant Receipts Rev., 5.00%, 6/1/2029		1,875		2,434

City of Chicago

Series 2015C, GO, 5.00%, 1/1/2022 (d)		3,335		3,387

Series 2015C, GO, 5.00%, 1/1/2022		1,665		1,691

City of Waukegan

Series B, GO, AGM, 5.00%, 12/30/2025		1,075		1,260

Series B, GO, AGM, 5.00%, 12/30/2026		1,125		1,352

Series B, GO, AGM, 5.00%, 12/30/2027		1,185		1,461

City of Waukegan, First Lien, Water and Sewer System

Series C, Rev., AGM, 5.00%, 12/30/2023		535		589

Series C, Rev., AGM, 5.00%, 12/30/2026		680		821

Series C, Rev., AGM, 5.00%, 12/30/2027		710		876

Cook County Community Consolidated School District No. 65, Evanston, Limited Tax GO, 4.00%, 12/1/2030		1,225		1,490

Cook County Community School District No. 97, Oak Park

GO, 4.00%, 1/1/2028		500		594

GO, 4.00%, 1/1/2029		375		450

GO, 4.00%, 1/1/2030		285		340

Cook County High School District No. 207 Maine Township

Series 2019A, GO, 5.00%, 12/1/2027		1,915		2,402

Series 2019A, GO, 5.00%, 12/1/2028		1,930		2,462

Series 2019A, GO, 4.00%, 12/1/2029		1,945		2,387

Cook County School District No. 69, Skokie, Limited Tax

GO, 4.00%, 12/1/2026		470		548

GO, 4.00%, 12/1/2027		490		581

GO, 4.00%, 12/1/2028		545		655


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

GO, 4.00%, 12/1/2029		515		631

GO, 4.00%, 12/1/2030		200		242

GO, 4.00%, 12/1/2031		820		984

Cook County School District No. 99 Cicero, Limited Tax

Series 2019B, GO, 5.00%, 12/1/2024		505		572

Series 2019B, GO, 5.00%, 12/1/2025		515		601

Cook County Township High School District No. 225, Glenbrook Series 2016A, GO, 5.00%, 12/1/2023		5		6

Cook County, Proviso Township High School District No. 209, Limited Tax

GO, 5.00%, 12/1/2022		2,975		3,147

GO, 5.00%, 12/1/2023		2,350		2,576

County of Du Page, Courthouse Project GO, 5.00%, 1/1/2024		335		371

DeKalb County Community Unit School District No. 428 DeKalb

GO, 4.00%, 1/1/2028		1,265		1,502

GO, 4.00%, 1/1/2029		650		780

GO, 4.00%, 1/1/2030		600		715

GO, 4.00%, 1/1/2031		1,000		1,182

Effingham Community Unit School District No. 40 Series 2019A, GO, 4.00%, 12/1/2028		565		680

Glenview Park District

GO, 5.00%, 12/1/2026		300		364

GO, 5.00%, 12/1/2029		350		433

Grundy and Kendall Counties Consolidated Grade School District No. 60-C GO, 4.00%, 2/1/2030		1,145		1,360

Illinois Finance Authority, Clean Water Initiative Revolving Fund Series 1998B, Rev., 5.00%, 1/1/2029		4,000		4,794

Illinois Finance Authority, DePaul University

Rev., 5.00%, 10/1/2023		200		219

Rev., 5.00%, 10/1/2025		300		354

Rev., 5.00%, 10/1/2028		250		301

Illinois Finance Authority, Lake Zurich Community Unit School District No. 95 Project

Rev., 4.00%, 1/15/2030		1,960		2,337

Rev., 4.00%, 1/15/2032		2,120		2,512

Illinois Finance Authority, Silver Cross Hospital and Medical Centers Series 2015C, Rev., 5.00%, 8/15/2022		500		522


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Kane and DeKalb Counties Community Unit School District No. 301 GO, 5.00%, 1/1/2027		355		430

Kane County School District No. 131 Aurora East Side

Series 2020A, GO, AGM, 5.00%, 12/1/2026		115		139

Series 2020B, GO, AGM, 5.00%, 12/1/2026		210		252

Series 2020A, GO, AGM, 4.00%, 12/1/2027		105		124

Series 2020A, GO, AGM, 4.00%, 12/1/2028		65		78

Series 2020B, GO, AGM, 4.00%, 12/1/2028		135		162

Series 2020A, GO, AGM, 4.00%, 12/1/2029		65		78

Series 2020B, GO, AGM, 4.00%, 12/1/2029		40		48

Series 2020A, GO, AGM, 4.00%, 12/1/2030		80		95

Lincoln Land Community College District No. 526

GO, 4.00%, 12/15/2021 (d)		440		445

GO, 5.00%, 12/15/2021		305		309

Madison-Macoupin Etc. Counties Community College District No. 536, Lewis and Clark Community

GO, AGM, 4.00%, 5/1/2025		400		445

GO, AGM, 4.00%, 5/1/2026		200		228

GO, AGM, 4.00%, 5/1/2028		350		410

GO, AGM, 4.00%, 5/1/2029		1,000		1,163

Peoria County Community Unit School District No. 309 Brimfield

GO, AGM, 4.00%, 4/1/2026		750		863

GO, AGM, 4.00%, 4/1/2027		780		915

GO, AGM, 4.00%, 4/1/2028		410		489

GO, AGM, 4.00%, 4/1/2029		240		291

GO, AGM, 4.00%, 4/1/2030		375		451

Peoria Public Building Commission

Series A, Rev., AGM, 4.00%, 12/1/2025		700		791

Series A, Rev., AGM, 4.00%, 12/1/2026		1,000		1,156

Series A, Rev., AGM, 4.00%, 12/1/2027		1,270		1,483

Series A, Rev., AGM, 5.00%, 12/1/2028		1,200		1,499

Series A, Rev., AGM, 5.00%, 12/1/2029		2,400		2,989

Sales Tax Securitization Corp.

Series C, Rev., 5.00%, 1/1/2024		3,000		3,317

Series C, Rev., 5.00%, 1/1/2025		4,250		4,878

Southwestern Illinois Development Authority, Hospital Sisters Services, Inc., Obligated Group Series A, Rev., 5.00%, 2/15/2027		2,000		2,458

State of Illinois Series D, GO, 5.00%, 11/1/2023		5,000		5,496


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

State of Illinois Sales Tax

Series A, Rev., 5.00%, 6/15/2022		4,600		4,776

Series A, Rev., 5.00%, 6/15/2023		4,600		4,994

University of Illinois, Auxiliary Facilities System Series A, Rev., 5.00%, 9/10/2021		2,500		2,685

Will County Forest Preservation District, Limited Tax GO, 5.00%, 12/15/2027		805		1,011

Will County Township High School District No. 204 Joliet, Limited Tax GO, 4.00%, 1/1/2029		250		300


Total Illinois				123,738


Indiana — 1.9%

City of Evansville, Sewage Works Rev., 4.00%, 7/1/2027		985		1,165

City of Rockport, Indiana Michigan Power Co. Project Series 2009B, Rev., 3.05%, 6/1/2025		5,000		5,488

Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project Rev., 5.00%, 8/1/2023		1,000		1,091

Indiana Finance Authority, Indiana University Health Obligated Group

Series C, Rev., 5.00%, 12/1/2021		2,355		2,383

Series B, Rev., 2.25%, 7/1/2025 (c)		5,000		5,297

Indiana Finance Authority, Indianapolis Power and Light Co. Project

Rev., 0.75%, 4/1/2026 (c)		3,000		2,994

Rev., AMT, 0.95%, 4/1/2026 (c)		4,525		4,493

Series 2021A, Rev., 1.40%, 8/1/2029		7,000		7,010

New Albany-Floyd County School Building Corp., First Mortgage Rev., 5.00%, 7/15/2022		835		870

Purdue University, Student Fee

Series DD, Rev., 5.00%, 7/1/2025		870		1,025

Series DD, Rev., 5.00%, 7/1/2027		10		13


Total Indiana				31,829


Iowa — 0.7%

Iowa Finance Authority, Health System Rev., (SIFMA Municipal Swap Index Yield + 0.58%), 0.60%, 9/9/2021 (b) (e)		12,350		12,350


Kansas — 1.1%

Butler County, Unified School District No. 375 Circle Series 2014-1, GO, 4.00%, 9/1/2022 (d)		200		208

City of Wichita, Sales Tax, River District Stadium Star Bond Project

Rev., 5.00%, 9/1/2025		300		351

Rev., 5.00%, 9/1/2026		465		562


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Kansas — continued

City of Wichita, Water and Sewer Utility Series 2014A, Rev., 5.00%, 10/1/2022		2,200		2,316

Kansas Development Finance Authority, State of Kansas Project Series F, Rev., 4.00%, 11/1/2029		6,820		8,116

Overland Park Development Corp., Overland Park Convention Center Hotel

Rev., 4.00%, 3/1/2022		1,455		1,460

Rev., 5.00%, 3/1/2023		1,520		1,556

Seward County Unified School District No. 480 Liberal Series 2017-B, GO, 5.00%, 9/1/2025		1,750		2,066

University of Kansas Hospital Authority, Health System Series 2017A, Rev., 5.00%, 3/1/2024		275		307

Wyandotte County Unified School District No. 202 Turner

Series 2019A, GO, AGM, 5.00%, 9/1/2025		400		468

Series 2019A, GO, AGM, 5.00%, 9/1/2026		220		265

Series 2019A, GO, AGM, 5.00%, 9/1/2027		325		402

Series 2019A, GO, AGM, 5.00%, 9/1/2028		400		503

Series 2019A, GO, AGM, 5.00%, 9/1/2029		375		469


Total Kansas				19,049


Kentucky — 1.1%

Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL-RE, 5.00%, 9/1/2023		240		262

Kentucky Public Energy Authority, Gas Supply Series A, Rev., 4.00%, 4/1/2024 (c)		2,500		2,721

Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2020D, Rev., 5.00%, 10/1/2029 (c)		10,500		13,657

Northern Kentucky University Series A, Rev., 5.00%, 9/1/2024		1,310		1,460


Total Kentucky				18,100


Louisiana — 1.4%

City of Shreveport, Water and Sewer, Junior Lien

Series C, Rev., 3.00%, 12/1/2021 (d)		175		176

Series C, Rev., 5.00%, 12/1/2022		270		285

Series 2018C, Rev., 5.00%, 12/1/2023		365		403

Series 2019B, Rev., AGM, 4.00%, 12/1/2025		400		455

Series 2018C, Rev., 5.00%, 12/1/2025		915		1,085


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Louisiana — continued

Series 2018C, Rev., 5.00%, 12/1/2026		500		612

Series 2019B, Rev., AGM, 5.00%, 12/1/2026		360		440

Series 2019B, Rev., AGM, 5.00%, 12/1/2027		600		753

Series 2019B, Rev., AGM, 5.00%, 12/1/2028		500		641

Series 2019B, Rev., AGM, 5.00%, 12/1/2029		300		384

Jefferson Sales Tax District Series 2019B, Rev., AGM, 4.00%, 12/1/2032		5,815		7,052

Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Project Rev., (SIFMA Municipal Swap Index Yield + 0.65%), 0.67%, 9/9/2021 (b)		10,000		10,023

Louisiana Public Facilities Authority, Tulane University Project

Rev., 5.00%, 12/15/2022		230		244

Rev., 5.00%, 12/15/2025		250		298

Series 2020A, Rev., 5.00%, 4/1/2027		150		185

Series 2020A, Rev., 5.00%, 4/1/2028		165		209

Series 2020A, Rev., 5.00%, 4/1/2029		220		284

Series 2020A, Rev., 5.00%, 4/1/2030		130		171

Series 2020A, Rev., 5.00%, 4/1/2031		150		196


Total Louisiana				23,896


Maryland — 0.6%

County of Montgomery, Consolidated Public Improvement Series 2018A, GO, 5.00%, 11/1/2027		2,800		3,549

State of Maryland Department of Transportation Rev., 5.00%, 10/1/2025		6,100		7,263


Total Maryland				10,812


Massachusetts — 3.2%

City of Boston Series 2014A, GO, 5.00%, 3/1/2023		7,360		7,901

Commonwealth of Massachusetts Series A, GO, (ICE LIBOR USD 3 Month + 0.55%), 0.63%, 11/1/2021 (b)		3,000		3,014

Commonwealth of Massachusetts, Consolidated Loan of 2015 Series D, GO, 4.00%, 9/1/2030		8,290		9,396

Massachusetts Bay Transportation Authority, Sales Tax Series 2021A-1, Rev., 5.00%, 7/1/2028		785		1,009

Massachusetts Clean Water Trust (The), Revolving Funds Rev., 5.00%, 8/1/2025		6,775		8,015


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Massachusetts — continued

Massachusetts Development Finance Agency, Northeastern University Issue

Series 2020A, Rev., 5.00%, 10/1/2027		1,000		1,258

Series 2020A, Rev., 5.00%, 10/1/2028		1,000		1,289

Series 2020A, Rev., 5.00%, 10/1/2030		660		888

Series 2020A, Rev., 5.00%, 10/1/2031		585		779

Series 2020A, Rev., 5.00%, 10/1/2032		425		564

Series 2020A, Rev., 5.00%, 10/1/2033		450		595

Series 2020A, Rev., 5.00%, 10/1/2034		500		659

Series 2020A, Rev., 5.00%, 10/1/2035		1,000		1,315

Massachusetts Development Finance Agency, Partners Healthcare System Issue Series 2017S, Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 0.52%, 9/9/2021 (b)		10,000		10,018

Massachusetts Development Finance Agency, Suffolk University Issue

Rev., 5.00%, 7/1/2025		525		612

Rev., 5.00%, 7/1/2026		435		523

Rev., 5.00%, 7/1/2027		420		518

Rev., 5.00%, 7/1/2028		525		658

Massachusetts Port Authority Series 2019-A, Rev., AMT, 5.00%, 7/1/2023		4,840		5,258


Total Massachusetts				54,269


Michigan — 1.9%

Avondale School District, Unlimited Tax Series 2020A, GO, Q-SBLF, 5.00%, 5/1/2029		1,835		2,406

City of Grand Rapids, Sanitary Sewer System Rev., 5.00%, 1/1/2022		350		356

City of Royal Oak, Limited Tax, Capital Improvement

GO, 5.00%, 4/1/2027		625		770

GO, 5.00%, 4/1/2028		245		309

Gerald R Ford International Airport Authority, Limited Tax

Rev., GTD, 5.00%, 1/1/2023		1,560		1,661

Rev., GTD, 5.00%, 1/1/2024		1,400		1,557

Grosse Pointe Public School System GO, 4.00%, 5/1/2027		765		906

Jackson Public Schools, Unlimited Tax

GO, Q-SBLF, 4.00%, 5/1/2025		570		644

GO, Q-SBLF, 4.00%, 5/1/2026		885		1,032

GO, Q-SBLF, 4.00%, 5/1/2027		1,090		1,287

Kalamazoo Public Schools, Unlimited Tax GO, 5.00%, 5/1/2022		1,000		1,032


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Michigan — continued

Michigan Finance Authority, Clean Water Revolving Fund Rev., 5.00%, 10/1/2021		2,250		2,259

Michigan State Hospital Finance Authority, Ascension Health Credit Group Series B-4, Rev., 5.00%, 11/15/2027		2,250		2,624

Michigan Strategic Fund, The Detroit Edison Co. Series CC, Rev., VRDO, 1.45%, 9/1/2021 (c)		2,600		2,600

Northville Public Schools, School Building and Site

Series II, GO, 5.00%, 5/1/2027		375		464

Series II, GO, 5.00%, 5/1/2028		600		760

Series II, GO, 5.00%, 5/1/2029		250		323

Troy School District, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2022		500		516

University of Michigan Series 2019C, Rev., 4.00%, 4/1/2024 (c)		10,650		11,522


Total Michigan				33,028


Minnesota — 0.4%

Duluth Independent School District No. 709

Series 2019B, COP, 5.00%, 2/1/2024		210		231

Series 2019C, COP, 5.00%, 2/1/2024		295		325

Series 2019B, COP, 5.00%, 2/1/2025		185		211

Series 2019C, COP, 5.00%, 2/1/2025		310		354

Series 2019B, COP, 5.00%, 2/1/2026		195		229

Series 2019C, COP, 5.00%, 2/1/2026		320		376

Series 2019B, COP, 5.00%, 2/1/2027		185		223

Series 2019B, COP, 5.00%, 2/1/2028		175		216

Series 2019C, COP, 5.00%, 2/1/2028		350		434

Minneapolis-St. Paul Metropolitan Airports Commission Series A, Rev., 5.00%, 1/1/2022		1,000		1,016

Minnesota Higher Education Facilities Authority, College of St. Scholastica, Inc.

Rev., 4.00%, 12/1/2024		100		110

Rev., 4.00%, 12/1/2025		185		209

Rev., 4.00%, 12/1/2026		185		213

Rev., 4.00%, 12/1/2027		195		228

Rev., 4.00%, 12/1/2028		240		284

Western Minnesota Municipal Power Agency, Power Supply

Series A, Rev., 5.00%, 1/1/2023		1,500		1,596

Series 2014A, Rev., 5.00%, 1/1/2024		1,000		1,110


Total Minnesota				7,365


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Mississippi — 0.7%

County of Harrison, Tax-Exempt

Series A, GO, 5.00%, 10/1/2027		800		1,005

Series A, GO, 5.00%, 10/1/2028		345		444

Medical Center Educational Building Corp., Capital Improvements and Refinancing Project Rev., 5.00%, 6/1/2031		3,105		3,963

Mississippi Business Finance Corp., Pollution Control, Power Company Project Rev., 3.20%, 9/1/2028		4,000		4,201

State of Mississippi, Gaming Tax Series 2019A, Rev., 5.00%, 10/15/2028		1,400		1,787


Total Mississippi				11,400


Missouri — 0.5%

City of Chesterfield COP, 5.00%, 12/1/2021		1,000		1,012

City of St. Louis, St. Louis Lambert International Airport

Rev., 5.00%, 7/1/2022		1,000		1,040

Rev., 5.00%, 7/1/2023		1,080		1,175

City of St. Peters

COP, 4.00%, 5/1/2026		705		813

COP, 4.00%, 5/1/2027		730		860

COP, 4.00%, 5/1/2028		760		910

COP, 4.00%, 5/1/2029		760		921

COP, 4.00%, 5/1/2030		545		669

County of Greene, Special Obligation

Rev., 4.00%, 12/1/2028		300		361

Rev., 4.00%, 12/1/2029		200		243

Health and Educational Facilities Authority of the State of Missouri, State University Rev., 4.00%, 10/1/2021		300		301

North Kansas City School District 74, Improvement Bonds, Missouri Direct Deposit Program GO, 5.00%, 3/1/2022		350		359


Total Missouri				8,664


Montana — 0.1%

Gallatin County High School District No. 7 Bozeman Series 2017A, GO, 5.00%, 12/1/2023		515		571

Missoula County Elementary School District No. 1, School Building GO, 5.00%, 7/1/2024		520		590

State of Montana, Long-Range Building Program GO, 5.00%, 8/1/2022		1,000		1,044


Total Montana				2,205


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nebraska — 1.3%

County of Sarpy, Limited Tax GO, 5.00%, 6/1/2026		2,320		2,815

Omaha School District, Omaha Public Schools

GO, 5.00%, 12/15/2029		6,665		8,866

GO, 5.00%, 12/15/2030		6,800		9,224

Southeast Community College, Tax Supported

COP, 5.00%, 12/15/2021		200		203

COP, 5.00%, 12/15/2026		275		340

COP, 5.00%, 12/15/2027		495		626

COP, 5.00%, 12/15/2028		540		690


Total Nebraska				22,764


New Hampshire — 0.3%

New Hampshire Municipal Bond Bank Series 2020A, Rev., 5.00%, 2/15/2029		1,870		2,443

State of New Hampshire Series A, GO, 5.00%, 3/1/2026		2,880		3,345


Total New Hampshire				5,788


New Jersey — 4.5%

City of Newark

Series 2020A, GO, AGM, 5.00%, 10/1/2027		1,000		1,233

Series 2020A, GO, AGM, 5.00%, 10/1/2028		750		943

New Jersey Economic Development Authority, School Facilities Construction

Series DDD, Rev., 5.00%, 6/15/2025		1,500		1,754

Series DDD, Rev., 5.00%, 6/15/2026		1,840		2,220

Rev., 5.00%, 6/15/2027		435		538

Rev., 5.00%, 6/15/2028		400		505

Rev., 5.00%, 6/15/2029		500		641

Rev., 5.00%, 6/15/2030		275		358

Rev., 5.00%, 6/15/2031		500		657

New Jersey Institute of Technology, Tax-Exempt

Series 2020A, Rev., 5.00%, 7/1/2027		175		216

Series 2020A, Rev., 5.00%, 7/1/2028		200		253

Series 2020A, Rev., 5.00%, 7/1/2029		270		350

Series 2020A, Rev., 5.00%, 7/1/2030		415		534

Series 2020A, Rev., 5.00%, 7/1/2032		725		925

New Jersey Transportation Trust Fund Authority Series 2021A, Rev., 5.00%, 6/15/2027		3,700		4,574

New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement

Series A, Rev., 5.00%, 6/15/2028		3,000		3,585

Series A, Rev., 5.00%, 6/15/2029		5,350		6,376

Series A, Rev., 5.00%, 6/15/2031		4,750		5,629


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

New Jersey Turnpike Authority Series C-6, Rev., (ICE LIBOR USD 1 Month + 0.75%), 0.82%, 10/1/2021 (b)		10,000		10,037

Passaic Valley Sewerage Commission, Sewer System

Series J, Rev., AGM, 3.00%, 12/1/2027		6,370		7,223

Series J, Rev., AGM, 3.00%, 12/1/2028		6,465		7,407

Series J, Rev., AGM, 3.00%, 12/1/2030		6,665		7,533

State of New Jersey, COVID-19 Emergency Bonds GO, 5.00%, 6/1/2025		7,330		8,568

State of New Jersey, Various Purpose GO, 4.00%, 6/1/2026		3,870		4,119

Township of South Brunswick GO, 5.00%, 9/1/2022		425		446


Total New Jersey				76,624


New Mexico — 0.2%

County of Sandoval

GO, 5.00%, 8/1/2024		1,100		1,250

GO, 5.00%, 8/1/2025		500		590

GO, 5.00%, 8/1/2026		650		790


Total New Mexico				2,630


New York — 7.9%

Bedford Central School District, Boces Project GO, 5.00%, 11/15/2022		2,410		2,552

City of Jamestown, Public Improvement GO, 5.00%, 6/1/2025		540		628

City of New York, Fiscal Year 2020 Series 2020-1, GO, 4.00%, 8/1/2027		2,450		2,921

County of Monroe

GO, 5.00%, 6/1/2028		350		449

GO, 5.00%, 6/1/2029		400		525

County of Orange, Public Improvement GO, 5.00%, 2/1/2023		1,000		1,069

Floral Park-Bellerose Union Free School District

GO, 5.00%, 12/1/2028		640		833

GO, 4.00%, 12/1/2029		670		823

Hampton Bays Union Free School District GO, 5.00%, 9/15/2022		2,025		2,127

Long Island Power Authority, Electric System

Rev., 5.00%, 9/1/2025		500		592

Rev., 5.00%, 9/1/2027		500		628

Rev., 5.00%, 9/1/2028		750		943

Longwood Central School District, Suffolk County GO, 5.00%, 6/15/2026		365		446


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Metropolitan Transportation Authority Subseries C-1, Rev., 5.00%, 11/15/2024		3,000		3,431

Metropolitan Transportation Authority, Dedicated Tax Fund Subseries 2017B-2, Rev., 4.00%, 11/15/2032		4,000		4,658

Nassau County Local Economic Assistance Corp., Catholic Health Services, Long Island Obligated Group Project Series 2014B, Rev., 5.00%, 7/1/2023		800		869

New York City Industrial Development Agency, Queens Baseball Stadium Project Rev., AGM, 4.00%, 1/1/2032		1,000		1,238

New York City Industrial Development Agency, Yankee Stadium Project

Rev., AGM, 5.00%, 3/1/2028		1,000		1,264

Rev., AGM, 5.00%, 3/1/2029		2,000		2,586

Rev., AGM, 4.00%, 3/1/2031		2,500		3,071

Rev., AGM, 4.00%, 3/1/2032		1,500		1,837

New York Convention Center Development Corp., Hotel Unit Fee Secured Rev., 5.00%, 11/15/2026		5,000		5,940

New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center

Series 2017-1, Rev., 5.00%, 7/1/2026		1,000		1,218

Series 1, Rev., 4.00%, 7/1/2031		4,255		5,218

New York State Dormitory Authority, Montefiore Obligated Group Series 2018A, Rev., 5.00%, 8/1/2027		3,225		3,966

New York State Dormitory Authority, New School University Series 2015A, Rev., 5.00%, 7/1/2024		1,100		1,243

New York State Dormitory Authority, New York University Series 2019A, Rev., 5.00%, 7/1/2027		4,630		5,809

New York State Dormitory Authority, St. John’s University

Series 2021A, Rev., 4.00%, 7/1/2029		475		579

Series 2021A, Rev., 4.00%, 7/1/2030		550		679

Series 2021A, Rev., 4.00%, 7/1/2031		1,300		1,623

Series 2021A, Rev., 4.00%, 7/1/2032		1,100		1,368

Series 2021A, Rev., 4.00%, 7/1/2033		1,000		1,239

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2021A, Rev., 5.00%, 3/15/2034		5,965		7,917

New York State Dormitory Authority, State Sales Tax Series 2017A, Rev., 5.00%, 3/15/2024		6,135		6,886


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project Rev., AMT, 5.00%, 1/1/2023		9,200		9,763

New York Transportation Development Corp., Terminal 4 John F. Kennedy International Airport Project, Tax-Exempt

Rev., 5.00%, 12/1/2027		800		991

Rev., 5.00%, 12/1/2028		500		632

Niagara Frontier Transportation Authority, Buffalo Niagara International Airport

Series 2019A, Rev., AMT, 5.00%, 4/1/2028		265		332

Series 2019A, Rev., AMT, 5.00%, 4/1/2029		265		340

Port Authority of New York and New Jersey, Consolidated Series 207, Rev., AMT, 5.00%, 9/15/2023		4,325		4,740

Sales Tax Asset Receivable Corp., Fiscal Year 2015

Series 2015A, Rev., 5.00%, 10/15/2022 (d)		4,800		5,063

Series 2015A, Rev., 5.00%, 10/15/2024 (d)		4,500		5,173

Schenectady County Capital Resource Corp., Union College Project Rev., 5.00%, 1/1/2025		400		462

State of New York Series 2019A, GO, 5.00%, 3/1/2026		3,250		3,929

Syracuse Industrial Development Agency, School District Project

Series 2020A, Rev., 5.00%, 5/1/2030		555		704

Series 2018A, Rev., 5.00%, 5/1/2033		1,245		1,489

Town of East Hampton GO, 5.00%, 5/15/2023		1,000		1,083

Town of Oyster Bay, Public Improvement

GO, 4.00%, 11/1/2026		800		933

GO, 4.00%, 11/1/2027		675		800

Triborough Bridge and Tunnel Authority Series A, Rev., 5.00%, 11/15/2024		3,290		3,553

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2021A, Rev., BAN, 5.00%, 11/1/2025		5,000		5,957

Series 2021A-2, Rev., 2.00%, 5/15/2028 (c)		10,000		10,693

White Plains City School District GO, 5.00%, 5/15/2024		1,550		1,757


Total New York				135,569


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — 1.3%

North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2019C, Rev., 2.55%, 6/1/2026 (c)		13,805		14,799

State of North Carolina, Build NC Programs, Limited Obligation Series 2017B, Rev., 5.00%, 9/10/2021		700		723

University of North Carolina at Chapel Hill Series B, Rev., (ICE LIBOR USD 1 Month + 0.40%), 0.47%, 10/1/2021 (b)		5,750		5,762

Winston-Salem State University Foundation LLC, The Board of Governors of The University of North Carolina Rev., AGM, 5.00%, 10/1/2023		445		489


Total North Carolina				21,773


Ohio — 1.3%

Akron Bath Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2021		375		378

American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (c)		5,000		5,008

City of Cleveland, Income Tax, Subordinate Lien, Public Facilities Improvements

Series 2018A, Rev., 5.00%, 10/1/2025		150		178

Series 2018A, Rev., 5.00%, 10/1/2027		250		314

Series 2018A, Rev., 5.00%, 10/1/2028		250		316

City of Dublin, Various Purpose GO, 4.00%, 12/1/2028		200		230

County of Franklin, Hospital Facilities, OhioHealth Corp. Series B, Rev., (SIFMA Municipal Swap Index Yield + 0.43%), 0.45%, 9/10/2021 (b)		4,000		4,000

County of Hamilton, Sewer System, The Metropolitan Sewer District of Greater Cincinnati Series A, Rev., 5.00%, 12/1/2021		1,375		1,392

County of Lake, Hospital Facilities, Lake Hospital System, Inc.

Rev., 5.00%, 8/15/2023		1,445		1,573

Rev., 5.00%, 8/15/2024		1,655		1,869

Cuyahoga Community College District, Facilities Construction and Improvement GO, 5.00%, 12/1/2028		2,300		2,780

Franklin County Convention Facilities Authority, Greater Columbus Convention Center Hotel Expansion Project

Rev., 5.00%, 12/1/2025		250		290

Rev., 5.00%, 12/1/2026		625		743

Rev., 5.00%, 12/1/2029		800		1,005


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — continued

State of Ohio, University Hospitals Health System, Inc. Series B, Rev., VRDO, 0.09%, 9/7/2021 (c)		2,500		2,500


Total Ohio				22,576


Oklahoma — 2.4%

Bryan County School Finance Authority, Durant Public Schools Project

Rev., 4.00%, 12/1/2028		385		466

Rev., 4.00%, 12/1/2029		415		510

Rev., 4.00%, 12/1/2030		435		531

Carter County Public Facilities Authority, Educational Facilities Lease, Ardmore City Schools Project

Rev., 5.00%, 9/1/2025		365		418

Rev., 5.00%, 9/1/2026		820		962

Rev., 5.00%, 9/1/2027		1,250		1,496

Cleveland County Educational Facilities Authority, Moore Public Schools Project Rev., 4.00%, 6/1/2027		9,000		10,690

Cleveland County Educational Facilities Authority, Norman Public Schools Project Rev., 5.00%, 6/1/2025		3,050		3,564

Custer County Economic Development Authority, Thomas Fay Public Schools

Rev., 4.00%, 12/1/2025		700		786

Rev., 4.00%, 12/1/2027		1,255		1,452

Grady County School Finance Authority, Educational Facilities Lease, Minco Public Schools Project

Rev., 5.00%, 9/1/2028		375		477

Rev., 5.00%, 9/1/2029		1,175		1,489

Grady County School Finance Authority, Educational Facilities Lease, Tuttle Public Schools Project Rev., 4.00%, 9/1/2029		300		367

Muskogee Industrial Trust, Muskogee Public Schools Project

Rev., 5.00%, 9/1/2024		890		1,000

Rev., 5.00%, 9/1/2025		850		984

Rev., 5.00%, 9/1/2026		1,800		2,138

Rev., 5.00%, 9/1/2027		480		583

Rev., 4.00%, 9/1/2028		2,500		2,931

Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project

Rev., 5.00%, 10/1/2022		500		526

Rev., 5.00%, 10/1/2023		355		389

Rev., 5.00%, 10/1/2025		1,000		1,176


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oklahoma — continued

Pittsburg County Educational Facilities Authority, McAlester Public Schools Project

Rev., 4.00%, 12/1/2027		125		147

Rev., 4.00%, 12/1/2028		175		207

Tulsa County Industrial Authority Educational Facilities Lease, Jenks Public Schools Project Rev., 5.00%, 9/1/2021		2,000		2,000

University of Oklahoma (The), Tax Exempt

Series 2020B, Rev., 5.00%, 7/1/2026		810		977

Series 2020B, Rev., 5.00%, 7/1/2027		430		532

Series 2020B, Rev., 5.00%, 7/1/2028		455		577

Series 2020B, Rev., 5.00%, 7/1/2029		480		622

Series 2020B, Rev., 5.00%, 7/1/2032		1,105		1,440

Wagoner County School Development Authority, Wagoner Public Schools Project

Rev., 4.00%, 9/1/2025		625		696

Rev., 4.00%, 9/1/2027		725		832

Rev., 4.00%, 9/1/2028		300		348


Total Oklahoma				41,313


Oregon — 0.2%

City of Portland, Sewer System, First Lien Series 2014A, Rev., 5.00%, 10/1/2023		40		44

Port of Portland, International Airport

Series 23, Rev., 5.00%, 7/1/2023		1,000		1,088

Series 23, Rev., 5.00%, 7/1/2024		1,595		1,809

Yamhill County Hospital Authority, Friendsview, Tax Exempt Series 2021B-1, Rev., 2.50%, 11/15/2028		500		504


Total Oregon				3,445


Pennsylvania — 7.2%

Allegheny County Sanitary Authority, Sewer

Rev., 5.00%, 12/1/2021		3,500		3,542

Rev., 5.00%, 12/1/2022		3,000		3,181

Rev., 5.00%, 12/1/2023		4,000		4,428

Berks County Industrial Development Authority, Tower Health Project

Rev., 5.00%, 11/1/2023		1,000		1,071

Rev., 5.00%, 11/1/2024		1,000		1,100

Charleroi Borough Authority Water System

Rev., AGM, 4.00%, 12/1/2024		175		194

Rev., AGM, 4.00%, 12/1/2025		150		171

Rev., AGM, 4.00%, 12/1/2026		100		116

Rev., AGM, 4.00%, 12/1/2027		125		148


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Chester County Health and Education Facilities Authority, Main Line Health System

Series 2020A, Rev., 5.00%, 9/1/2026		250		305

Series 2020A, Rev., 5.00%, 9/1/2027		200		251

Series 2020A, Rev., 5.00%, 9/1/2028		175		225

Series 2020A, Rev., 5.00%, 9/1/2029		175		230

City of Philadelphia, Water and Wastewater System

Series A, Rev., 5.00%, 7/1/2022		1,510		1,571

Series 2014A, Rev., 5.00%, 7/1/2024		2,595		2,945

City of Pittsburgh Series 2020A, GO, 5.00%, 9/1/2027		350		437

Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2022		555		575

Commonwealth of Pennsylvania Series 2011, GO, 4.00%, 11/15/2021 (d)		5,000		5,040

County of Chester GO, 4.00%, 7/15/2028		2,500		3,063

County of Lackawanna

Series 2020B, GO, 4.00%, 9/1/2027		1,480		1,745

Series 2020B, GO, 4.00%, 9/1/2028		1,495		1,792

Series 2020B, GO, 4.00%, 9/1/2029		1,525		1,828

County of Northampton

Series A, GO, 4.00%, 10/1/2026		750		867

Series A, GO, 4.00%, 10/1/2027		1,565		1,811

Series A, GO, 4.00%, 10/1/2028		920		1,060

County of Westmoreland Series A, GO, 5.00%, 8/15/2028		3,000		3,810

Lehigh County Industrial Development Authority, PPL Electric Utilities Corp. Project

Series 2016B, Rev., 1.80%, 8/15/2022 (c)		4,000		4,056

Series 2016A, Rev., 1.80%, 9/1/2022 (c)		2,500		2,537

Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 5.00%, 9/1/2024		1,000		1,133

Panther Valley School District

GO, 2.00%, 10/15/2026		750		773

GO, 2.00%, 10/15/2027		680		697

GO, 2.00%, 10/15/2028		300		306

GO, 2.00%, 10/15/2029		300		304

Penn Hills School District

GO, 5.00%, 10/1/2026		4,845		5,864

GO, 5.00%, 10/1/2027		3,585		4,453

GO, 5.00%, 10/1/2028		3,585		4,558

GO, 5.00%, 10/1/2029		3,815		4,952


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Pennsylvania Higher Educational Facilities Authority, Trustees of the University Series 2015C, Rev., 5.00%, 10/1/2022		5,055		5,323

Pennsylvania Turnpike Commission

Series A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 0.62%, 9/9/2021 (b)		13,000		13,096

Series A, Rev., 5.00%, 12/1/2021		655		663

Pittsburgh Water and Sewer Authority, First Lien Series A, Rev., 5.00%, 9/1/2023		270		295

Quaker Valley School District

GO, 5.00%, 10/1/2028		350		451

GO, 5.00%, 10/1/2029		425		560

GO, 5.00%, 10/1/2030		250		332

Schuylkill Valley School District

GO, 5.00%, 4/1/2022		255		262

GO, 5.00%, 4/1/2022 (d)		95		98

Southcentral General Authority, Hanover Hospital, Inc. Rev., 5.00%, 12/1/2026		1,400		1,644

Southcentral General Authority, Wellspan Health Obligated Group Series 2014A, Rev., 5.00%, 6/1/2024		380		430

Southeastern Pennsylvania Transportation Authority

Rev., 5.00%, 6/1/2027		635		790

Rev., 5.00%, 6/1/2028		2,265		2,882

Rev., 5.00%, 6/1/2029		3,115		4,052

Sports and Exhibition Authority of Pittsburgh and Allegheny County, Sales Tax

Rev., AGM, 5.00%, 2/1/2028		2,590		3,275

Rev., AGM, 5.00%, 2/1/2029		2,750		3,560

Rev., AGM, 5.00%, 2/1/2030		2,925		3,814

Rev., AGM, 5.00%, 2/1/2031		4,750		6,165

State Public School Building Authority, Community College of Philadelphia Project Rev., 5.00%, 6/15/2024		2,625		2,946

Upper St. Clair Township School District

Series 2019B, GO, 4.00%, 10/1/2028		575		672

Series 2019B, GO, 4.00%, 10/1/2029		420		489


Total Pennsylvania				122,938


Rhode Island — 0.3%

Rhode Island Commerce Corp., Department of Transportation Series 2016-A, Rev., GAN, 5.00%, 6/15/2022		25		26


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Rhode Island — continued

Rhode Island Health and Educational Building Corp., Public School Financing Program

Series 2021F, Rev., 4.00%, 5/15/2027		1,200		1,425

Series 2021F, Rev., 4.00%, 5/15/2028		1,650		1,989

Series 2021F, Rev., 4.00%, 5/15/2029		2,000		2,448


Total Rhode Island				5,888


South Carolina — 0.5%

Piedmont Municipal Power Agency

Series 2021A, Rev., 3.00%, 1/1/2022		4,405		4,446

Series 2021A, Rev., 3.00%, 1/1/2023		3,315		3,440


Total South Carolina				7,886


South Dakota — 0.1%

South Dakota Health and Educational Facilities Authority, Sanford Health Obligated Group

Series B, Rev., 4.00%, 11/1/2021		500		503

Series B, Rev., 5.00%, 11/1/2022		375		396


Total South Dakota				899


Tennessee — 1.6%

County of Hamilton Series 2020B, GO, 5.00%, 3/1/2027		2,685		3,340

County of Rutherford Series A, GO, 5.00%, 4/1/2026		1,165		1,359

State of Tennessee

Series A, GO, 4.00%, 8/1/2022 (d)		7,000		7,249

Series 2021A, GO, 5.00%, 11/1/2033		3,980		5,470

Tennergy Corp., Gas Supply Series 2021A, Rev., 4.00%, 9/1/2028 (c)		6,500		7,763

Tennessee Energy Acquisition Corp., Gas Project

Series A, Rev., 4.00%, 5/1/2022		1,460		1,497

Series A, Rev., 4.00%, 5/1/2023		1,400		1,488


Total Tennessee				28,166


Texas — 4.8%

Abilene Independent School District, Unlimited Tax School Building GO, PSF-GTD, 4.00%, 2/15/2029		2,000		2,402

Arlington Higher Education Finance Corp., Uplift Education Series 2017A, Rev., PSF-GTD, 4.00%, 12/1/2029		1,000		1,161

Austin Community College District Public Facility Corp., Lease, Highland Campus Parking Garage Project

Series 2018C, Rev., 5.00%, 8/1/2026		250		305

Series 2018C, Rev., 5.00%, 8/1/2027		200		251

Series 2018C, Rev., 5.00%, 8/1/2029		325		401


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Austin Convention Enterprises, Inc., Convention Center Hotel First Tier Series 2017A, Rev., 5.00%, 1/1/2022		750		759

Central Texas Regional Mobility Authority, Subordinated Lien Rev., BAN, 4.00%, 1/1/2022		1,545		1,550

City of Austin, Airport System

Series 2017B, Rev., AMT, 5.00%, 11/15/2026		1,095		1,337

Series 2017B, Rev., AMT, 5.00%, 11/15/2027		585		709

Series 2017B, Rev., AMT, 5.00%, 11/15/2028		630		758

City of Cedar Park, Utility System Rev., 5.00%, 8/15/2022		560		586

City of Denton GO, 5.00%, 2/15/2023		1,045		1,118

City of El Paso GO, 5.00%, 8/15/2025		4,035		4,756

City of Galveston, Certificates of Obligation GO, 4.00%, 5/1/2024		635		697

City of Garland, Water and Sewer System Series 2018A, Rev., 5.00%, 3/1/2026		1,030		1,238

City of Houston, Public Improvement Series A, GO, 5.00%, 3/1/2025		1,195		1,390

City of San Antonio, Electric and Gas Systems Series B, Rev., 2.00%, 12/1/2021 (c)		6,480		6,490

County of Galveston, Unlimited Tax

GO, 4.00%, 2/1/2024		980		1,066

GO, 4.00%, 2/1/2025		800		897

Cypress-Fairbanks Independent School District, Unlimited Tax Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2026		3,855		4,634

Forney Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2024		1,310		1,493

Grand Parkway Transportation Corp., System Toll Rev., BAN, 5.00%, 2/1/2023		10,000		10,656

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014A, Rev., 5.00%, 12/1/2026		1,910		2,188

Harris County Fresh Water Supply District No. 61 GO, AGM, 3.00%, 9/1/2025		530		584

Hereford Independent School District, School Building, Unlimited Tax

GO, PSF-GTD, 4.00%, 2/15/2028		1,420		1,667

GO, PSF-GTD, 4.00%, 2/15/2029		1,480		1,727

Houston Community College System, Limited Tax GO, 5.00%, 2/15/2023 (d)		1,000		1,071


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Irving Hospital Authority, Baylor Scott and White Medical Center

Series 2017B, Rev., (SIFMA Municipal Swap Index Yield + 1.10%), 1.12%, 9/9/2021 (b)		1,665		1,673

Series 2017A, Rev., 5.00%, 10/15/2022		250		263

Series 2017A, Rev., 5.00%, 10/15/2028		250		295

Series 2017A, Rev., 5.00%, 10/15/2029		500		588

Katy Independent School District, School Building GO, PSF-GTD, 4.00%, 2/15/2027		290		306

Klein Independent School District, Unlimited Tax Series B, GO, 5.00%, 8/1/2029		525		619

Lewisville Independent School District, Unlimited Tax

GO, PSF-GTD, 5.00%, 8/15/2025		750		820

GO, PSF-GTD, 5.00%, 8/15/2026		750		819

GO, PSF-GTD, 5.00%, 8/15/2027		650		710

Lower Colorado River Authority

Series B, Rev., 5.00%, 5/15/2022 (d)		60		62

Series B, Rev., 5.00%, 5/15/2023		4,700		4,859

North Texas Tollway Authority, First Tier Series A, Rev., 4.00%, 1/1/2033		2,500		2,865

Odessa Junior College District, Consolidated Fund

Rev., AGM, 4.00%, 7/1/2022		740		763

Rev., AGM, 4.00%, 7/1/2023		950		1,016

Rev., AGM, 4.00%, 7/1/2025		440		499

Rev., AGM, 4.00%, 7/1/2026		300		348

Rev., AGM, 4.00%, 7/1/2027		430		508

Pasadena Independent School District, School Building, Unlimited Tax Series A, GO, PSF-GTD, 5.00%, 2/15/2028		1,000		1,112

Richardson Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2029		3,165		4,008

S&S Consolidated Independent School District GO, PSF-GTD, 4.00%, 2/15/2028		580		692

Southside Independent School District, School Building, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2022		250		262

Southwest Higher Education Authority, Inc., Southern Methodist University Project

Rev., 5.00%, 10/1/2021		425		427

Rev., 5.00%, 10/1/2022		400		421

Rev., 5.00%, 10/1/2023		400		438

Texas Municipal Gas Acquisition and Supply Corp., I Gas Supply Senior Lien Series D, Rev., 6.25%, 12/15/2026		1,520		1,783


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

West Travis County Public Utility Agency

Rev., 5.00%, 8/15/2022		545		570

Rev., 5.00%, 8/15/2023		325		354

Rev., 5.00%, 8/15/2027		350		434

Wichita Falls Independent School District, Unlimited Tax

GO, PSF-GTD, 4.00%, 2/1/2028		1,100		1,326

GO, PSF-GTD, 4.00%, 2/1/2030		800		994

GO, PSF-GTD, 4.00%, 2/1/2031		1,000		1,229


Total Texas				82,954


Utah — 0.9%

City of Salt Lake, International Airport Series A, Rev., AMT, 5.00%, 7/1/2022		1,000		1,040

Utah Infrastructure Agency, Tax-Exempt Telecommunications Series A, Rev., 5.00%, 10/15/2025		10,380		12,167

West Valley City Municipal Building Authority

Rev., AGM, 4.00%, 2/1/2024		500		543

Rev., AGM, 5.00%, 2/1/2025		250		288

Rev., AGM, 5.00%, 2/1/2027		720		881

Rev., AGM, 5.00%, 2/1/2029		1,070		1,303


Total Utah				16,222


Vermont — 0.1%

University of Vermont and State Agricultural College

Rev., 5.00%, 10/1/2021		750		753

Rev., 5.00%, 10/1/2022		855		900

Vermont Municipal Bond Bank Series 3, Rev., 5.00%, 12/1/2021		400		405


Total Vermont				2,058


Virginia — 2.6%

County of Fairfax, Public Improvement Series 2019A, GO, 4.00%, 10/1/2026		7,715		9,101

County of Loudoun, Public Improvement Series A, GO, 5.00%, 12/1/2026		1,930		2,311

Fairfax County Water Authority Series B, Rev., 5.25%, 4/1/2024		5,615		6,348

Virginia College Building Authority, Educational Facilities, 21st Century College and Equipment Programs

Series 2017E, Rev., 5.00%, 2/1/2027		20,000		24,736

Series 2017C, Rev., 5.00%, 2/1/2028		1,000		1,235

Virginia Resources Authority, Infrastructure Pooled Financing Program Series C, Rev., 5.00%, 11/1/2027		1,235		1,523


Total Virginia				45,254


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Washington — 1.2%

Snohomish County Public Utility District No. 1, Electric System Rev., 5.00%, 12/1/2025		500		597

Washington Health Care Facilities Authority, Commonspirit Health Series B-3, Rev., 5.00%, 8/1/2026 (c)		17,000		20,146


Total Washington				20,743


West Virginia — 0.2%

West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Series 2009A, Rev., 2.63%, 6/1/2022 (c)		2,905		2,955


Wisconsin — 1.8%

Pewaukee School District Series 2019B, GO, 5.00%, 9/1/2027		200		251

State of Wisconsin

Series A, GO, 5.00%, 5/1/2026		5,050		5,921

Series 1, GO, 5.00%, 11/1/2026		1,135		1,398

Sun Prairie Area School District GO, 4.00%, 3/1/2028		2,500		2,953

Wauwatosa School District, School Building and Improvement

Series 2019A, GO, 5.00%, 3/1/2027		5,025		6,227

Series 2019A, GO, 5.00%, 3/1/2029		6,025		7,425


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wisconsin — continued

Wisconsin Department of Transportation

Series 2021A, Rev., 5.00%, 7/1/2027		1,650		2,071

Series 2021A, Rev., 5.00%, 7/1/2028		1,200		1,546

Series 2021A, Rev., 5.00%, 7/1/2029		1,970		2,600

Wisconsin Health and Educational Facilities Authority, Aspirus, Inc., Obligated Group Rev., 5.00%, 8/15/2025		325		380


Total Wisconsin				30,772


Total Municipal Bonds (Cost $1,472,759)				1,532,599


Collateralized Mortgage Obligations — 0.0% (g)

FNMA, REMIC Series 2002-36, Class FS, 0.58%, 6/25/2032 (c) (Cost $69)		69		70

	SHARES (000)
Short-Term Investments — 10.3%

Investment Companies — 10.3%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (h) (i) (Cost $176,726)		176,646		176,734

Total Investments — 99.8% (Cost $1,649,554)				1,709,403
Other Assets Less Liabilities — 0.2%				2,964

NET ASSETS — 100.0%				1,712,367

Percentages indicated are based on net assets.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 98.1% (a)

Alabama — 0.4%

Lower Alabama Gas District (The), Gas Project Series 2016A, Rev., 5.00%, 9/1/2031		1,000		1,303


Alaska — 0.2%

Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046		490		518


Arizona — 2.2%

Arizona Industrial Development Authority, Aliante & Skye Canyon Campus Project

Series 2021A, Rev., 3.00%, 12/15/2031 (b)		260		276

Series 2021A, Rev., 4.00%, 12/15/2041 (b)		250		276

Arizona Industrial Development Authority, Macombs Facility Project

Series 2021A, Rev., 5.00%, 7/1/2032		165		214

Series 2021A, Rev., 5.00%, 7/1/2033		155		200

Series 2021A, Rev., 4.00%, 7/1/2034		165		196

Series 2021A, Rev., 4.00%, 7/1/2035		185		218

Series 2021A, Rev., 4.00%, 7/1/2036		155		183

Series 2021A, Rev., 4.00%, 7/1/2041		500		584

Arizona Industrial Development Authority, Pebble Campus Project Series 2020A, Rev., 4.00%, 7/15/2030 (b)		250		280

Arizona State University, Green Bonds Series 2015A, Rev., 5.00%, 7/1/2028		75		88

City of Tucson, Water System Rev., 5.00%, 7/1/2024		2,150		2,440

La Paz County Industrial Development Authority, Harmony Public School Project

Rev., 4.00%, 2/15/2041		420		477

Rev., 4.00%, 2/15/2046		335		379

Maricopa County Industrial Development Authority, HonorHealth Series 2019A, Rev., 5.00%, 9/1/2032		200		254

University of Arizona (The), Stimulus Plan for Economic and Educational Development

Series 2020A, Rev., 5.00%, 8/1/2025		250		295

Series 2020A, Rev., 5.00%, 8/1/2027		750		939


Total Arizona				7,299


California — 4.7%

California Community Housing Agency, Glendale Properties

Series 2021A-2, Rev., 4.00%, 8/1/2046 (b)		300		332

Series 2021A-2, Rev., 4.00%, 8/1/2047 (b)		500		544

California Health Facilities Financing Authority, On Lok Senior Health Service

Rev., 3.00%, 8/1/2022		100		102

Rev., 3.00%, 8/1/2025		50		55


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

California Municipal Finance Authority, Community Health Centers of The Central Coast, Inc.

Series 2021A, Rev., 4.00%, 12/1/2026 (b)		100		109

Series 2021A, Rev., 5.00%, 12/1/2027 (b)		50		58

Series 2021A, Rev., 5.00%, 12/1/2028 (b)		60		70

Series 2021A, Rev., 5.00%, 12/1/2029 (b)		100		118

Series 2021A, Rev., 5.00%, 12/1/2031 (b)		65		77

California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2026		410		494

California Public Finance Authority, Enso Village Project, Green Bond

Series 2021B-1, Rev., 3.13%, 5/15/2029 (b)		300		306

Series 2021A, Rev., 5.00%, 11/15/2036 (b)		300		358

California School Finance Authority, Kipp Socal Projects

Series 2020A, Rev., 5.00%, 7/1/2027 (b)		80		98

Series 2020A, Rev., 5.00%, 7/1/2028 (b)		110		137

Series 2020A, Rev., 5.00%, 7/1/2029 (b)		140		178

Series 2020A, Rev., 5.00%, 7/1/2030 (b)		100		129

Series 2020A, Rev., 4.00%, 7/1/2040 (b)		295		341

California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 3.00%, 4/1/2050		2,645		2,794

California Statewide Communities Development Authority, Front Porch Communities & Services Series 2021A, Rev., 4.00%, 4/1/2041		1,000		1,189

Contra Costa County Public Financing Authority, Capital Projects Series 2021A, Rev., 4.00%, 6/1/2038		4,185		5,104

CSCDA Community Improvement Authority, Essential Housing, Parallel-Anaheim Rev., 4.00%, 8/1/2056 (b)		500		552

CSCDA Community Improvement Authority, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (b)		575		549

Eastern Municipal Water District Financing Authority, Water and Wastewater System

Series 2020A, Rev., 5.00%, 7/1/2035		500		666

Series 2020A, Rev., 5.00%, 7/1/2036		500		663

State of California, Department of Veterans Affairs, Farm and Home Purchase Program Series B, Rev., 3.50%, 12/1/2045		385		408


Total California				15,431


Colorado — 3.5%

Aspen Fire Protection District

COP, 4.00%, 12/1/2034		200		236

COP, 4.00%, 12/1/2035		225		265


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Municipal Bonds — continued

Colorado — continued

COP, 4.00%, 12/1/2036		350			413

Clear Creek Transit Metropolitan District No. 2, Limited Tax Series 2021A, GO, 4.00%, 12/1/2031		525			563

Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project

Rev., 4.00%, 5/1/2027		35			40

Rev., 4.00%, 5/1/2029		35			40

Rev., 4.00%, 5/1/2030		30			34

Rev., 4.00%, 5/1/2031		30			34

Rev., 4.00%, 5/1/2041		90			101

Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project Rev., 4.00%, 12/1/2030 (b)		595			636

Colorado Educational and Cultural Facilities Authority, University Corp. for Atmospheric Research Project Rev., 5.00%, 9/1/2022		470			492

Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Rev., 5.00%, 2/1/2034 (b)		300			343

Colorado Housing and Finance Authority, Single Family Mortgage

Series 2019F, Class I, Rev., GNMA COLL, 4.25%, 11/1/2049		260			290

Series 2020H, Class I, Rev., GNMA COLL, 3.00%, 5/1/2050		980			1,058

Series 2020B, Class I, Rev., 3.75%, 5/1/2050		1,915			2,108

Colorado School of Mines, Institutional Enterprise Series A, Rev., (ICE LIBOR USD 1 Month + 0.50%), 0.57%, 10/1/2021 (c)		950			948

IDK PARTNERS III Trust, Mortgage Pass-Through Certificates Series 1999A, Rev., 5.10%, 8/1/2023 ‡		—	(d)		—	(d)

Pueblo City Schools GO, 5.00%, 12/15/2031		3,000			3,952


Total Colorado					11,553


Connecticut — 2.2%

Connecticut Housing Finance Authority, Housing Mortgage Finance Program

Series D-1, Rev., 1.35%, 5/15/2022		175			176

Series D-1, Rev., 1.45%, 5/15/2023		1,020			1,038

Series D-1, Rev., 1.50%, 11/15/2023		1,220			1,248

Series 2020A-1, Rev., 3.50%, 11/15/2045		1,210			1,346

Series A-1, Rev., 4.00%, 11/15/2045		170			179

Series D, Subseries D-1, Rev., GNMA/FNMA/FHLMC, 4.00%, 11/15/2047		675			728

Subseries A-1, Rev., 4.00%, 11/15/2047		230			248


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Connecticut — continued

Connecticut State Health and Educational Facilities Authority, Yale New Haven Health Series B, Rev., 1.80%, 7/1/2024 (e)		225		233

Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series 2019B, Rev., AMT, 5.00%, 11/15/2027		250		308

University of Connecticut Series 2019A, Rev., 5.00%, 11/1/2035		1,250		1,572


Total Connecticut				7,076


Delaware — 0.8%

Delaware Health Facilities Authority, Beebe Medical Center Project Rev., 5.00%, 6/1/2034		2,200		2,706


District of Columbia — 2.3%

District of Columbia, Gallaudet University Project

Rev., 5.00%, 4/1/2027		150		185

Rev., 5.00%, 4/1/2028		160		202

Series 2021A, Rev., 4.00%, 4/1/2033		165		202

Series 2021A, Rev., 4.00%, 4/1/2034		160		194

Series 2021A, Rev., 4.00%, 4/1/2035		200		240

Series 2021A, Rev., 4.00%, 4/1/2036		200		241

District of Columbia, Rocketship Obligated Group Series 2021A, Rev., 5.00%, 6/1/2031 (b)		400		487

District of Columbia, Two Rivers Public Charter School, Inc.

Rev., 3.00%, 6/1/2030		1,000		1,035

Rev., 5.00%, 6/1/2040		1,000		1,178

Rev., 5.00%, 6/1/2050		500		580

District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series A, Rev., 5.00%, 10/1/2045		1,500		1,745

Washington Metropolitan Area Transit Authority Series 2017B, Rev., 5.00%, 7/1/2025		1,000		1,176


Total District of Columbia				7,465


Florida — 8.1%

Broward County Water & Sewer Utility Series 2019A, Rev., 5.00%, 10/1/2038		3,000		3,872

City of Pompano Beach, John Knox Village Project

Rev., 3.50%, 9/1/2035		1,000		1,109

Rev., 4.00%, 9/1/2040		1,000		1,123

City of Port St. Lucie, Utility System Rev., NATL-RE, 5.25%, 9/1/2024		5,000		5,747

County of Broward, Fuel System, Fort Lauderdale Fuel Facilities LLC Project Series A, Rev., AMT, AGM, 5.00%, 4/1/2024		835		894


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects

Rev., 4.00%, 7/1/2027		290		329

Rev., 4.00%, 7/1/2028		150		172

Rev., 4.00%, 7/1/2029		155		176

Rev., 4.00%, 7/1/2030		215		242

Florida Development Finance Corp., Mater Academy Project Series 2020A, Rev., 5.00%, 6/15/2040 (b)		500		583

Florida Development Finance Corp., The Glenridge on Palmer Ranch Project Rev., 4.00%, 6/1/2026		110		122

Lee Memorial Health System Series 2019A-1, Rev., 5.00%, 4/1/2036		1,000		1,257

Miami Beach Redevelopment Agency, Historic Convention Village Series A, Rev., 5.00%, 2/1/2027		2,000		2,222

Palm Beach County Health Facilities Authority, BRRH Corp. Obligated Group Rev., 5.00%, 12/1/2021 (f)		1,100		1,113

Polk County School District Series 2019B, COP, 5.00%, 1/1/2026		515		614

School Board of Miami-Dade County (The) Series 2015D, COP, 5.00%, 2/1/2027		3,000		3,576

Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning Series 2021A, Rev., 4.00%, 6/15/2041 (b)		210		239

South Florida Water Management District COP, 5.00%, 10/1/2032		2,250		2,675

St. Johns County School Board Series 2019A, COP, 5.00%, 7/1/2031		570		735


Total Florida				26,800


Georgia — 1.6%

Albany-Dougherty Inner City Authority, State University Projects

Rev., 5.00%, 7/1/2027		335		412

Rev., 5.00%, 7/1/2028		350		441

Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019B, Rev., 5.00%, 7/1/2029 (e)		500		637

Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series A, Rev., 5.00%, 2/15/2026		860		1,029

George L Smith II Congress Center Authority, Convention Center Hotel First Series 2021A, Rev., 2.38%, 1/1/2031		500		530


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Georgia — continued

George L Smith II Congress Center Authority, Convention Center Hotel Second

Series 2021B, Rev., 3.63%, 1/1/2031 (b)		415		466

Series 2021B, Rev., 5.00%, 1/1/2036 (b)		500		607

Georgia Housing and Finance Authority, Single Family Mortgage

Series A, Rev., 4.00%, 12/1/2047		360		386

Series B, Rev., 4.00%, 12/1/2047		695		750


Total Georgia				5,258


Guam — 0.2%

Guam Government Waterworks Authority, Water and Wastewater System (Guam)

Rev., 5.00%, 7/1/2023		375		405

Rev., 5.00%, 7/1/2024		300		335


Total Guam				740


Illinois — 4.7%

City of Aurora, Single Family Mortgage

Series B, Rev., GNMA/FNMA/FHLMC, 5.45%, 12/1/2039		66		66

Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.50%, 12/1/2039		87		87

Illinois Finance Authority, Plymouth Place, Inc.

Series 2021A, Rev., 5.00%, 5/15/2032		135		167

Series 2021A, Rev., 5.00%, 5/15/2033		145		179

Illinois Finance Authority, Social Bonds-Learn Chapter School Project

Rev., 4.00%, 11/1/2030		130		156

Rev., 4.00%, 11/1/2031		135		163

Rev., 4.00%, 11/1/2041		375		440

Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc. Series C, Rev., 5.00%, 3/1/2033		365		436

Illinois Housing Development Authority Series C, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 10/1/2049		1,635		1,812

Illinois Housing Development Authority, Homeowner Mortgage Series C, Rev., 3.50%, 8/1/2046		600		645

Peoria City School District No. 150 Series 2020A, GO, AGM, 4.00%, 12/1/2027		505		591

Southern Illinois University

Series 2021A, Rev., 4.00%, 4/1/2027		775		904

Series 2021A, Rev., 4.00%, 4/1/2028		715		845

Series 2021A, Rev., 4.00%, 4/1/2029		400		478

Series 2021A, Rev., 4.00%, 4/1/2030		525		633


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Series 2021A, Rev., 4.00%, 4/1/2031		500		609

Series 2021A, Rev., 5.00%, 4/1/2032		375		487

Series 2021A, Rev., 5.00%, 4/1/2033		300		389

Southwestern Illinois Development Authority, Flood Prevention District Council Project

Rev., 5.00%, 4/15/2026		250		298

Rev., 5.00%, 4/15/2027		365		446

Rev., 5.00%, 4/15/2028		390		488

Rev., 5.00%, 4/15/2029		290		369

Will County Forest Preservation District, Limited Tax

GO, 5.00%, 12/15/2035		1,170		1,523

GO, 5.00%, 12/15/2036		1,460		1,894

GO, 4.00%, 12/15/2037		1,000		1,173


Total Illinois				15,278


Indiana — 4.1%

City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (b)		500		497

City of Jeffersonville, Vivera Senior Living of Jeffersonville Project Series 2020A, Rev., 4.75%, 11/1/2030 (b)		570		592

County of St. Joseph, Economic Development, St. Mary’s College Project Series A, Rev., 5.00%, 4/1/2026		1,880		2,215

Indiana Finance Authority, Educational Facilities, Valparaiso University

Rev., 4.00%, 10/1/2034		165		192

Rev., 4.00%, 10/1/2035		220		256

Indiana Finance Authority, First Lien Wastewater, CWA Authority Project Series 2012A, Rev., 5.00%, 10/1/2030		1,250		1,313

Indiana Finance Authority, Rose-Hulman Institute of Technology Project

Rev., 5.00%, 6/1/2031		100		129

Rev., 4.00%, 6/1/2033		110		132

Indiana Finance Authority, State Revolving Fund Program Series 2021A, Rev., 5.00%, 2/1/2031		1,000		1,358

Indiana Health Facility Financing Authority, Ascension Health Credit Group Series A-1, Rev., 5.00%, 11/15/2034		1,670		1,963

Indiana Housing and Community Development Authority, Single Family Mortgage Series 2020A, Rev., 3.75%, 1/1/2049		955		1,057

Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021B, Rev., 4.00%, 4/1/2024		500		510


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2019F, Rev., 5.00%, 1/1/2037		2,500		3,183


Total Indiana				13,397


Iowa — 1.1%

Iowa Finance Authority, Senior Living Facility, Sunrise Retirement Community Project

Rev., 5.00%, 9/1/2028		195		221

Rev., 5.00%, 9/1/2030		110		124

Rev., 5.00%, 9/1/2031		105		118

Rev., 5.00%, 9/1/2036		445		491

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Series C, Rev., GNMA/FNMA/FHLMC, 3.50%, 1/1/2047		1,085		1,160

Iowa Student Loan Liquidity Corp., Student Loan

Series A, Rev., AMT, 5.00%, 12/1/2025		1,000		1,168

Series 2019B, Rev., AMT, 5.00%, 12/1/2029		300		377


Total Iowa				3,659


Kansas — 0.1%

City of Manhattan, Meadowlark Hills Series 2021A, Rev., 4.00%, 6/1/2036		300		346


Louisiana — 0.9%

Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2028		670		854

Louisiana Public Facilities Authority, Lincoln Preparatory School Project

Series 2021A, Rev., 5.00%, 6/1/2031 (b)		450		506

Series 2021A, Rev., 5.00%, 6/1/2041 (b)		525		578

Louisiana Public Facilities Authority, Mentorship Steam Academy Project

Series 2021A, Rev., 5.00%, 6/1/2036 (b)		385		424

Series 2021A, Rev., 5.00%, 6/1/2042 (b)		440		477


Total Louisiana				2,839


Maine — 0.7%

City of Portland, General Airport Rev., 5.00%, 1/1/2031		370		474

Maine Health and Higher Educational Facilities Authority, Birch Bay Retirement Village

Series 2020A, Rev., 4.00%, 7/1/2024		250		274

Series 2020A, Rev., 4.00%, 7/1/2028		860		1,025

Maine State Housing Authority, Mortgage Purchase

Series A-1, Rev., AMT, 4.50%, 11/15/2028		25		25

Series B, Rev., AMT, 4.00%, 11/15/2043		30		31

Series A, Rev., 4.00%, 11/15/2045		370		389


Total Maine				2,218


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Maryland — 1.0%

County of Baltimore, McDonogh School Facility

Series 2019B, Rev., 3.00%, 9/1/2024		320		329

Series 2019B, Rev., 3.00%, 9/1/2025		475		488

County of Baltimore, Riderwood Village, Inc., Project

Rev., 4.00%, 1/1/2032		475		561

Rev., 4.00%, 1/1/2033		600		708

Maryland Health and Higher Educational Facilities Authority, Stevenson University Project

Rev., 5.00%, 6/1/2029		150		192

Rev., 5.00%, 6/1/2031		175		231

Montgomery County Housing Opportunities Commission, Single Family Mortgage Series 2017A, Rev., 4.00%, 7/1/2048		840		911


Total Maryland				3,420


Massachusetts — 5.8%

Massachusetts Bay Transportation Authority, Sales Tax

Series 2012B-1, Rev., 5.00%, 7/1/2032		1,600		2,131

Series 2012B-1, Rev., 5.00%, 7/1/2033		3,015		4,001

Massachusetts Clean Water Trust (The), Poll Program Rev., 5.25%, 8/1/2024		3,000		3,442

Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue

Series 2021G, Rev., 5.00%, 7/1/2029		150		193

Series 2021G, Rev., 5.00%, 7/1/2030		150		197

Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series L, Rev., 5.25%, 7/1/2033		820		1,189

Massachusetts Housing Finance Agency, Single Family Housing

Series 169, Rev., 4.00%, 12/1/2044		65		67

Series 183, Rev., 3.50%, 12/1/2046		135		142

Series 214, Rev., GNMA/FNMA/FHLMC, 3.75%, 12/1/2049		1,145		1,262

Massachusetts Water Resources Authority

Series B, Rev., AGM, 5.25%, 8/1/2028		3,000		3,931

Series B, Rev., AGM, 5.25%, 8/1/2029		2,000		2,686


Total Massachusetts				19,241


Michigan — 1.0%

City of Detroit, Social Bonds, Unlimited Tax

Series 2021A, GO, 5.00%, 4/1/2030		475		596

Series 2021A, GO, 5.00%, 4/1/2031		215		273

Eastern Michigan University

Series A, Rev., 5.00%, 3/1/2030		575		696


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Michigan — continued

Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., AMT, 3.50%, 6/1/2047		605		645

Michigan Strategic Fund, The Detroit Edison Co. Series CC, Rev., VRDO, 1.45%, 9/1/2021 (e)		570		570

Western Michigan University, Tax Exempt

Series 2021A, Rev., AGM, 5.00%, 11/15/2028		105		135

Series 2021A, Rev., AGM, 5.00%, 11/15/2029		100		131

Series 2021A, Rev., AGM, 5.00%, 11/15/2030		100		134


Total Michigan				3,180


Minnesota — 1.8%

City of Rochester, Health Care Facilities, Mayo Clinic Series B, Rev., 5.00%, 11/15/2029		965		1,277

City of Woodbury, Charter School Lease

Series 2021A, Rev., 4.00%, 7/1/2031		175		198

Series 2021A, Rev., 4.00%, 7/1/2041		445		493

Dakota County Community Development Agency, Single Family Mortgage, Mortgage-Backed Securities Program

Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 6/1/2035		20		20

Series A, Rev., GNMA/FNMA/FHLMC, 5.13%, 12/1/2040		17		17

Minneapolis-St. Paul Housing Finance Board, Single Family Mortgage, City Living Home Programs Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041		155		155

Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation

Rev., 5.25%, 8/1/2024		1,015		1,019

Rev., 5.25%, 8/1/2025		1,070		1,075

Rev., 5.25%, 8/1/2026		825		828

Minnesota Housing Finance Agency, Residential Housing Finance Series B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 4.00%, 7/1/2047		460		496

Minnesota Office of Higher Education, Supplemental Student Loan Program Rev., AMT, 5.00%, 11/1/2027		300		367

State of Minnesota, Various Purpose Series A, GO, 5.00%, 10/1/2021 (f)		35		35


Total Minnesota				5,980


Mississippi — 0.4%

Mississippi Home Corp., Single Family Mortgage Series 2019A, Rev., GNMA/FNMA/FHLMC, 4.00%, 12/1/2048		1,260		1,384


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Missouri — 1.3%

Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series A, Rev., 5.00%, 6/1/2031		1,000		1,267

Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program

Series 2106B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 5/1/2041		850		893

Series 2020A, Rev., GNMA/FNMA/FHLMC, 3.50%, 11/1/2050		1,810		1,992


Total Missouri				4,152


Nebraska — 0.6%

Madison County Hospital Authority No. 1, Faith Regional Health Services Project

Rev., 5.00%, 7/1/2030		1,020		1,167

Rev., 5.00%, 7/1/2031		720		822


Total Nebraska				1,989


Nevada — 0.4%

City of Carson, Carson Tahoe Regional Healthcare Project

Rev., 5.00%, 9/1/2026		555		667

Rev., 5.00%, 9/1/2029		620		758


Total Nevada				1,425


New Hampshire — 2.2%

City of Manchester, School Facilities

Rev., NATL-RE, 5.50%, 6/1/2024		3,545		4,046

Rev., NATL-RE, 5.50%, 6/1/2027		900		1,135

New Hampshire Business Finance Authority, Springpoint Senior Living Project

Rev., 4.00%, 1/1/2026		265		301

Rev., 4.00%, 1/1/2027		250		289

Rev., 4.00%, 1/1/2028		290		332

Rev., 4.00%, 1/1/2031		290		327

Rev., 4.00%, 1/1/2041		750		827


Total New Hampshire				7,257


New Jersey — 4.3%

Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project

Series 2021A, Rev., AGM, 5.00%, 7/1/2029		100		130

Series 2021A, Rev., AGM, 5.00%, 7/1/2030		100		132

Series 2021A, Rev., AGM, 5.00%, 7/1/2031		100		135

Series 2021A, Rev., AGM, 5.00%, 7/1/2034		60		80

Series 2021A, Rev., AGM, 5.00%, 7/1/2035		75		99

Series 2021A, Rev., AGM, 4.00%, 7/1/2036		100		121

Series 2021A, Rev., AGM, 4.00%, 7/1/2037		75		91


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New Jersey — continued

Egg Harbor Township School District GO, AGM, 5.75%, 7/15/2024		1,215		1,405

Essex County Improvement Authority, CHF-Newark, LLC, NJIT Student Housing Project Series 2021A, Rev., 5.00%, 8/1/2033		170		226

Essex County Improvement Authority, North Star Academy Charter School of Newark, Inc., 2020 Project

Rev., 4.00%, 7/15/2023 (b)		115		122

Rev., 4.00%, 7/15/2025 (b)		370		412

Rev., 4.00%, 7/15/2027 (b)		400		460

Rev., 4.00%, 7/15/2029 (b)		430		506

Rev., 4.00%, 7/15/2030 (b)		200		237

New Jersey Economic Development Authority, School Facilities Construction

Rev., 5.00%, 6/15/2030		270		352

Rev., 5.00%, 6/15/2033		300		392

New Jersey Educational Facilities Authority, Stevens Institute of Technology

Series 2020A, Rev., 5.00%, 7/1/2033		350		449

Series 2020A, Rev., 5.00%, 7/1/2034		280		358

New Jersey Health Care Facilities Financing Authority, University Hospital Issue

Series A, Rev., AGM, 5.00%, 7/1/2022		1,000		1,039

Series A, Rev., AGM, 5.00%, 7/1/2023		820		892

Series A, Rev., AGM, 5.00%, 7/1/2026		1,095		1,285

New Jersey Higher Education Student Assistance Authority, Senior Student Loan

Series 1A, Rev., AMT, 5.00%, 12/1/2024		1,750		2,011

Series A, Rev., 5.00%, 12/1/2024		1,100		1,261

New Jersey Housing and Mortgage Finance Agency, Riverside Senior Apartments Project Series 2019D, Rev., 1.35%, 6/1/2022 (e)		1,000		1,007

New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048		885		992


Total New Jersey				14,194


New Mexico — 0.4%

New Mexico Mortgage Finance Authority, Single Family Mortgage Program Series 2019C, Class I, Rev., GNMA/FNMA/FHLMC, 4.00%, 1/1/2050		1,060		1,175


New York — 4.9%

Build NYC Resource Corp., New World Preparatory Charter School Project

Series 2021A, Rev., 4.00%, 6/15/2031		150		169

Series 2021A, Rev., 4.00%, 6/15/2041		135		150


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Huntington Local Development Corp., Fountaingate Garden Project Series 2021C, Rev., 3.00%, 7/1/2025		860		897

Metropolitan Transportation Authority Series 2017B, Rev., 5.00%, 11/15/2021		1,300		1,313

Metropolitan Transportation Authority, Dedicated Tax Fund Series A, Rev., 5.00%, 11/15/2029		1,000		1,057

Monroe County Industrial Development Corp., Highland Hospital of Rochester Project Rev., 5.00%, 7/1/2029		1,000		1,277

New York City Industrial Development Agency, Queens Baseball Stadium Project Rev., AGM, 5.00%, 1/1/2031		500		668

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series FF, Rev., 5.00%, 6/15/2031		1,000		1,171

New York State Dormitory Authority, Montefiore Obligated Group Series 2020A, Rev., 5.00%, 9/1/2027		1,325		1,633

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project Rev., AMT, 5.00%, 1/1/2025		1,750		2,002

Port Authority of New York and New Jersey, Consolidated Series 194, Rev., 5.00%, 10/15/2030		2,000		2,364

State of New York Mortgage Agency, Homeowner Mortgage

Series 197, Rev., 3.50%, 10/1/2044		785		831

Series 195, Rev., 4.00%, 10/1/2046		745		790

Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project Rev., 4.63%, 11/1/2031 (b)		1,250		1,303

Yonkers Economic Development Corp., Charter School of Educational Excellence Project Rev., 4.00%, 10/15/2030		355		414


Total New York				16,039


North Carolina — 1.4%

County of Randolph, Limited Obligation Series B, Rev., 5.00%, 10/1/2026		1,000		1,224

North Carolina Capital Facilities Finance Agency, High Point University Rev., 5.00%, 5/1/2031		500		659

North Carolina Housing Finance Agency, Homeownership Series 43, Rev., GNMA/FNMA/FHLMC, 4.00%, 7/1/2050		605		675

North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (e)		500		599


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — continued

North Carolina Medical Care Commission, Lutheran Services for The Aging Series 2021A, Rev., 4.00%, 3/1/2031		290		330

North Carolina Medical Care Commission, The Forest at Duke Project

Rev., 4.00%, 9/1/2033		180		215

Rev., 4.00%, 9/1/2041		415		486

University of North Carolina at Charlotte (The)

Series 2020A, Rev., 5.00%, 10/1/2025		85		101

Series 2020A, Rev., 5.00%, 10/1/2027		200		250


Total North Carolina				4,539


North Dakota — 0.8%

North Dakota Housing Finance Agency, Home Mortgage Finance Program

Series 2016D, Rev., 3.50%, 7/1/2046		280		300

Series D, Rev., 4.00%, 7/1/2046		750		794

Series 2017D, Rev., FHA, 4.00%, 1/1/2048		880		955

University of North Dakota, Housing Infrastructure Project Series 2021A, COP, AGM, 4.00%, 6/1/2051		500		575


Total North Dakota				2,624


Ohio — 4.6%

American Municipal Power, Inc., Solar Electricity Prepayment Project, Green Bonds Series 2019A, Rev., 5.00%, 2/15/2035		825		1,035

Butler County Port Authority, Community First Solutions

Rev., 4.00%, 5/15/2037		210		248

Rev., 4.00%, 5/15/2038		110		130

Rev., 4.00%, 5/15/2039		115		135

Rev., 4.00%, 5/15/2040		115		135

Rev., 4.00%, 5/15/2041		125		146

County of Hardin, Economic Development Facilities Improvement, Ohio Northern University

Rev., 4.00%, 5/1/2026		240		247

Rev., 5.00%, 5/1/2030		250		277

Lakota Local School District Series A, GO, NATL-RE, 5.25%, 12/1/2025		1,500		1,804

Northeast Ohio Medical University

Series 2021A, Rev., 5.00%, 12/1/2028		125		155

Series 2021A, Rev., 5.00%, 12/1/2030		65		83

Series 2021A, Rev., 4.00%, 12/1/2035		150		176

Ohio Higher Educational Facility Commission, Case Western University Project

Series 2019C, Rev., 1.63%, 12/1/2026 (e)		500		517

Series 2019B, Rev., 5.00%, 12/1/2031		750		974


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — continued

Ohio Housing Finance Agency, First-Time Homebuyer Program Series 2020A, Rev., GNMA/FNMA/FHLMC, 3.75%, 9/1/2050		940		1,055

Ohio Housing Finance Agency, Single Family Mortgage Series 2016D, Rev., GNMA/FNMA/FHLMC, 4.00%, 3/1/2047		570		616

Ohio Water Development Authority, Water Pollution Control Loan Fund

Series 2019A, Rev., 5.00%, 6/1/2029		2,645		3,453

Series B, Rev., 5.00%, 12/1/2029		1,615		1,927

Port of Greater Cincinnati Development Authority, FC Cincinnati Public Improvements Project Rev., 3.75%, 12/1/2031 (b)		245		253

University of Akron (The), General Receipts Series 2019A, Rev., 5.00%, 1/1/2030		310		407

Youngstown State University, General Receipts

Rev., AGM, 4.00%, 12/15/2029		550		681

Rev., AGM, 4.00%, 12/15/2030		490		615


Total Ohio				15,069


Oklahoma — 0.1%

Oklahoma Housing Finance Agency, Deer Park and Apple Run Apartments Rev., 1.60%, 1/1/2022 (e)		200		201


Oregon — 0.3%

Yamhill County Hospital Authority, Friendsview, Tax Exempt

Series 2021B-3, Rev., 1.75%, 11/15/2026		170		171

Series 2021A, Rev., 5.00%, 11/15/2036		305		370

Series 2021A, Rev., 5.00%, 11/15/2046		500		592


Total Oregon				1,133


Other — 0.3%

Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments Series 8, Rev., 5.95%, 11/1/2023 (e)		925		927


Pennsylvania — 6.5%

Allegheny County Hospital Development Authority, Pittsburgh Medical Center Series 2019A, Rev., 5.00%, 7/15/2033		600		768

Bucks County Industrial Development Authority, Grand View Hospital Project Rev., 5.00%, 7/1/2032		500		642

Chester County Industrial Development Authority, Longwood Gardens Project

Rev., 4.00%, 12/1/2024		345		385

Rev., 4.00%, 12/1/2025		250		287


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Rev., 4.00%, 12/1/2026		250		293

Rev., 5.00%, 12/1/2027		200		251

Rev., 5.00%, 12/1/2035		175		225

Rev., 5.00%, 12/1/2036		185		237

Rev., 5.00%, 12/1/2037		200		255

City of Erie Higher Education Building Authority

Series 2021TT1, Rev., 4.00%, 5/1/2036		100		115

Series 2021TT1, Rev., 4.00%, 5/1/2041		100		113

Delaware County Authority, Neumann University

Rev., 4.00%, 10/1/2022		200		207

Rev., 5.00%, 10/1/2023		240		260

Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (e)		3,350		4,060

Lehigh County Industrial Development Authority, Seven Generation Charter School

Series 2021A, Rev., 4.00%, 5/1/2031		340		379

Series 2021A, Rev., 4.00%, 5/1/2041		885		964

Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living Project Rev., 4.00%, 7/1/2041		750		849

Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System Rev., 4.00%, 8/15/2034		175		210

Pennsylvania Housing Finance Agency, Single Family Mortgage

Series 121, Rev., 3.50%, 10/1/2046		770		809

Series 122, Rev., AMT, 4.00%, 10/1/2046		255		273

Pennsylvania State University (The)

Series 2020E, Rev., 5.00%, 3/1/2029		710		927

Series 2020E, Rev., 5.00%, 3/1/2030		290		387

Series 2020E, Rev., 5.00%, 3/1/2031		710		940

Philadelphia Authority for Industrial Development, City Service Agreement, Affordable Housing Preservation Programs Project

Rev., 5.00%, 12/1/2023		2,020		2,225

Rev., AGM, 5.00%, 12/1/2026		1,550		1,885

Rev., AGM, 5.00%, 12/1/2027		680		835

Philadelphia Authority for Industrial Development, Russell Byers Charter School Project Rev., 5.00%, 5/1/2030		1,200		1,368

West Cornwall Township Municipal Authority, Lebanon Valley Brethren Home Project

Series 2021A, Rev., 4.00%, 11/15/2029		135		162

Series 2021A, Rev., 4.00%, 11/15/2030		190		228

Series 2021A, Rev., 4.00%, 11/15/2031		195		233

Series 2021A, Rev., 4.00%, 11/15/2036		365		430

Series 2021A, Rev., 4.00%, 11/15/2041		370		432


Total Pennsylvania				21,634


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

South Carolina — 0.7%

South Carolina Jobs-Economic Development Authority, Kiawah Life Plan Village, Inc., Project Rev., 8.75%, 7/1/2025 (b)		200		202

South Carolina State Housing Finance and Development Authority

Series A, Rev., 4.00%, 1/1/2047		210		224

Series B, Rev., FHA, GNMA/FNMA/FHLMC, 4.00%, 7/1/2047		535		578

Town of Hilton Head Island, Beach Preservation Fee Pledge Rev., 5.00%, 8/1/2026		1,000		1,174


Total South Carolina				2,178


South Dakota — 0.8%

South Dakota Housing Development Authority, Homeownership Mortgage

Series 2015D, Rev., 4.00%, 11/1/2045		850		901

Series A, Rev., 4.00%, 5/1/2049		1,650		1,813


Total South Dakota				2,714


Tennessee — 1.4%

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038		1,305		1,428

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Trevecca Nazarene University Project

Series 2021B, Rev., 4.00%, 10/1/2030		105		123

Series 2021B, Rev., 4.00%, 10/1/2031		220		256

Series 2021B, Rev., 4.00%, 10/1/2041		400		454

Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2049		1,000		1,083

Tennessee Housing Development Agency, Residential Finance Program

Series 2B, Rev., AMT, 4.00%, 7/1/2043		85		88

Rev., 3.50%, 1/1/2048		1,095		1,173


Total Tennessee				4,605


Texas — 5.3%

Arlington Higher Education Finance Corp.

Series 2021A, Rev., 5.00%, 8/15/2027		100		119

Series 2021A, Rev., 5.00%, 8/15/2028		40		47

Series 2021A, Rev., 4.00%, 8/15/2029		40		45

Series 2021A, Rev., 4.00%, 8/15/2030		40		45

Series 2021A, Rev., 4.00%, 8/15/2031		45		50


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Arlington Higher Education Finance Corp., Kipp Texas, Inc.

Rev., PSF-GTD, 5.00%, 8/15/2023		150		164

Rev., PSF-GTD, 5.00%, 8/15/2024		140		159

Rev., PSF-GTD, 5.00%, 8/15/2025		200		236

Rev., PSF-GTD, 5.00%, 8/15/2026		220		267

Rev., PSF-GTD, 5.00%, 8/15/2027		250		312

Arlington Higher Education Finance Corp., Newman International Academy

Rev., 4.00%, 8/15/2031		200		216

Rev., 5.00%, 8/15/2041		300		332

Baytown Municipal Development District, Baytown Convention Center Hotel, First Lien Series 2021A, Rev., 2.50%, 10/1/2031		275		276

Boerne School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/1/2029		1,000		1,302

Brazos Higher Education Authority, Inc., Tax-Exempt Student Loan Program

Series 2020-1A, Rev., AMT, 5.00%, 4/1/2025		350		396

Series 2020-1A, Rev., AMT, 5.00%, 4/1/2026		500		577

Central Texas Regional Mobility Authority, Senior Lien Rev., 5.00%, 1/1/2046		1,000		1,164

City of Austin, Water & Wastewater System Rev., 5.00%, 11/15/2027		665		842

Clear Creek Independent School District, Unlimited Tax Series B, GO, PSF-GTD, 1.35%, 8/15/2022 (e)		500		505

Clifton Higher Education Finance Corp., Yes Prep Public Schools, Inc. Rev., PSF-GTD, 5.00%, 4/1/2029		130		169

Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 2.50%, 10/1/2031		225		226

Dallas Area Rapid Transit, Sales Tax, Senior Lien Series A, Rev., 5.00%, 12/1/2032		2,800		3,325

Houston Higher Education Finance Corp., Houston Baptist University Rev., 3.38%, 10/1/2037		250		250

Irving Hospital Authority, Baylor Scott and White Medical Center

Series 2017A, Rev., 5.00%, 10/15/2026		250		299

Series 2017A, Rev., 5.00%, 10/15/2027		500		595

Midtown Redevelopment Authority, Tax Increment Contract

Rev., 4.00%, 1/1/2031		365		434

Rev., 4.00%, 1/1/2032		500		588


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

New Hope Cultural Education Facilities Finance Corp., Westminster Project Rev., 4.00%, 11/1/2049		550		627

Newark Higher Education Finance Corp., The Hughen Center, Inc.

Series 2021A, Rev., PSF-GTD, 5.00%, 8/15/2030		180		234

Series 2021A, Rev., PSF-GTD, 5.00%, 8/15/2031		200		263

Northside Independent School District, School Building, Unlimited Tax GO, PSF-GTD, 1.60%, 8/1/2024 (e)		340		352

Pasadena Independent School District, School Building, Unlimited Tax Series B, GO, PSF-GTD, 1.50%, 8/15/2024 (e)		750		774

San Antonio Education Facilities Corp., University of the Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2051		500		578

State of Texas, Water Financial Assistance Series 2015D, GO, 5.00%, 5/15/2033		450		523

Texas State Affordable Housing Corp., Single Family Mortgage, Heroes Home Loan Program Series 2019A, Rev., GNMA COLL, 4.25%, 3/1/2049		755		839

Uptown Development Authority, Tax Increment Contract Rev., 4.00%, 9/1/2033		400		480


Total Texas				17,610


Utah — 3.1%

Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area #2 4.00%, 8/1/2030 (b)		1,000		1,111

Military Installation Development Authority, Tax Allocation Series 2021A-2, Rev., 4.00%, 6/1/2036		500		526

Military Installation Development Authority, Tax Allocation and Hotel Tax Series 2021A-1, Rev., 4.00%, 6/1/2036		250		265

Utah Associated Municipal Power System, Horse Butte Wind Project Series 2017B, Rev., 5.00%, 9/1/2033		1,700		2,075

Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project Series 2021A, Rev., 3.25%, 6/15/2031 (b)		535		561

Utah Housing Corp., Single Family Mortgage Series D-2, Class III, Rev., FHA, 4.00%, 1/1/2045		780		837


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Utah — continued

Utah State Board of Regents, Student Fee and Housing System Rev., NATL-RE, 5.25%, 4/1/2023		3,245		3,427

Utah Transit Authority, Sales Tax Series C, Rev., AGM, 5.25%, 6/15/2029		970		1,264


Total Utah				10,066


Vermont — 1.8%

Vermont Housing Finance Agency, Multiple Purpose Series B, Rev., AMT, 3.75%, 11/1/2045		645		672

Vermont Student Assistance Corp., Education Loan

Series A, Rev., AMT, 5.00%, 6/15/2023		1,000		1,078

Series 2016A, Rev., AMT, 5.00%, 6/15/2024		1,400		1,563

Series A, Rev., AMT, 5.00%, 6/15/2025		2,150		2,476


Total Vermont				5,789


Virginia — 0.4%

Henrico County Economic Development Authority, Westminster Canterbury Richmond

Rev., 3.00%, 10/1/2029		500		560

Rev., 3.00%, 10/1/2030		500		558

Virginia College Building Authority, Education Facilities, Regent University Project Rev., 5.00%, 6/1/2031		160		210


Total Virginia				1,328


Washington — 4.2%

FYI Properties, State of Washington District Project — Green Bonds Rev., 5.00%, 6/1/2039		5,000		6,014

King County Housing Authority, Highland Village Project

Rev., 5.00%, 1/1/2027		125		151

Rev., 5.00%, 1/1/2028		125		154

Rev., 5.00%, 1/1/2029		125		157

Rev., 4.00%, 1/1/2031		330		396

Rev., 4.00%, 1/1/2034		500		590

Washington Health Care Facilities Authority, Multi-care Health System Series B, Rev., 5.00%, 8/15/2035		1,850		2,276

Washington Higher Education Facilities Authority, Seattle Pacific University Project Series 2020A, Rev., 5.00%, 10/1/2035		710		902

Washington State Housing Finance Commission, Rockwood Retirement Communities Project Rev., 5.00%, 1/1/2032 (b)		1,100		1,265

Washington State Housing Finance Commission, Single Family Program

Series 2A-R, Rev., AMT, 3.50%, 12/1/2046		165		172

Series 2N, Rev., GNMA/FNMA/FHLMC, 3.50%, 6/1/2047		1,475		1,567


Total Washington				13,644


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Wisconsin — 4.0%

Public Finance Authority, Carson Valley Medical Center Series 2021A, Rev., 4.00%, 12/1/2041		250		293

Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2041		500		568

Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (b)		200		183

Public Finance Authority, The Carmelite System, Inc., Obligated Group

Rev., 3.25%, 1/1/2025		580		631

Rev., 3.25%, 1/1/2026		1,545		1,700

Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc.

Rev., 5.00%, 7/1/2024		250		283

Rev., 5.00%, 7/1/2025		250		293

Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc.

Series 2017A, Rev., 5.00%, 9/1/2022 (f)		520		544

Series 2017A, Rev., 5.00%, 9/1/2023 (f)		550		600

Series 2017A, Rev., 5.00%, 9/1/2024 (f)		580		659

Series 2017A, Rev., 5.00%, 9/1/2025 (f)		235		276

Series 2017A, Rev., 5.00%, 9/1/2026 (f)		385		466

Series 2017A, Rev., 5.00%, 9/1/2027 (f)		785		978

Wisconsin Health and Educational Facilities Authority, Gundersen Health System Series 2021A, Rev., 4.00%, 10/15/2034		725		888

Wisconsin Health and Educational Facilities Authority, Lawrence University of Wisconsin

Rev., 4.00%, 2/1/2022		280		283

Rev., 4.00%, 2/1/2023		280		292

Wisconsin Health and Educational Facilities Authority, Marshfield Clinic Health System, Inc.

Series C, Rev., 5.00%, 2/15/2027		400		492

Series C, Rev., 5.00%, 2/15/2028		575		705

Series C, Rev., 5.00%, 2/15/2029		375		457

Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service Rev., 5.00%, 4/1/2035		1,165		1,466

Wisconsin Health and Educational Facilities Authority, Three Pillars Senior Living Communities Rev., 4.00%, 8/15/2041		825		975


Total Wisconsin				13,032


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wyoming — 0.5%

Wyoming Community Development Authority

Series 5, Rev., 4.00%, 12/1/2046		590		637

Series 2020-2, Rev., 3.00%, 6/1/2049		1,000		1,089


Total Wyoming				1,726


Total Municipal Bonds (Cost $305,608)				322,141

	SHARES (000)
Short-Term Investments — 1.5%

Investment Companies — 1.5%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (g) (h) (Cost $4,871)		4,870		4,873

Total Investments — 99.6% (Cost $310,479)				327,014
Other Assets Less Liabilities — 0.4%				1,449

NET ASSETS — 100.0%				328,463

Percentages indicated are based on net assets.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 94.3% (a)

Alabama — 1.7%

Black Belt Energy Gas District, Gas Supply Series 2021A, Rev., LIQ: Royal Bank of Canada, 4.00%, 12/1/2031 (b)		5,000		6,238

City of Trussville, Warrants Series 2018A, GO, 4.00%, 8/1/2032		25		30

Montgomery County Public Building Authority, Facilities Project Rev., 5.00%, 3/1/2024 (c)		1,000		1,121

Montgomery Water Works and Sanitary Sewer Board

Series 2019A, Rev., 4.00%, 9/1/2036		515		619

Series 2019A, Rev., 4.00%, 9/1/2037		800		962

Series 2019A, Rev., 4.00%, 9/1/2038		830		994

Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (b)		500		543

Southeast Alabama Gas Supply District (The), Project No. 2 Series 2018A, Rev., 4.00%, 6/1/2024 (b)		835		913

UAB Medicine Finance Authority

Series B-2, Rev., 3.50%, 9/1/2035		160		179

Series B-2, Rev., 5.00%, 9/1/2037		30		36


Total Alabama				11,635


Alaska — 0.3%

Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046		485		513

Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 4.00%, 10/1/2044		1,500		1,700

University of Alaska Series S, Rev., 4.00%, 10/1/2021		70		70


Total Alaska				2,283


Arizona — 2.4%

Arizona Industrial Development Authority, Aliante & Skye Canyon Campus Project Series 2021A, Rev., 4.00%, 12/15/2051 (d)		350		382

Arizona Industrial Development Authority, Children’s National Medical Center Series 2020A, Rev., 3.00%, 9/1/2050		2,600		2,751

Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project Series 2021A, Rev., 4.00%, 7/15/2051 (d)		250		276

Arizona Industrial Development Authority, Equitable School Revolving Fund

Series 2020A, Rev., 4.00%, 11/1/2045		1,000		1,151

Series 2020A, Rev., 4.00%, 11/1/2050		1,300		1,489


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Arizona — continued

Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 4.50%, 1/1/2049		4,000		4,072

Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2051		1,125		1,296

Arizona Industrial Development Authority, Phoenix Children’s Hospital Series 2020A, Rev., 3.00%, 2/1/2045		1,000		1,065

Arizona Industrial Development Authority, Pinecrest Academy, Canyon Campus Project Rev., 5.00%, 7/15/2040 (d)		2,515		2,931

City of Chandler, Excise Tax Rev., 5.00%, 7/1/2028		25		30

City of Phoenix Civic Improvement Corp., Civic Plaza Expansion Series 2005B, Rev., BHAC-CR, FGIC, 5.50%, 7/1/2036		125		187

County of Pinal Rev., 4.00%, 8/1/2036		50		59

Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project

Series 2018A, Rev., 5.00%, 7/1/2032		350		424

Series 2018A, Rev., 5.00%, 7/1/2033		150		182

Series 2018A, Rev., 5.00%, 7/1/2037		200		241

Maricopa County Special Health Care District, Integrated Health Services Series 2018C, GO, 5.00%, 7/1/2033		10		12

Maricopa County Unified School District No. 11-Peoria, School Improvement GO, 4.00%, 7/1/2034		10		12

University of Arizona (The) Rev., 5.00%, 6/1/2033		40		48


Total Arizona				16,608


Arkansas — 0.1%

County of Pulaski, Arkansas Children’s Hospital Rev., 5.00%, 3/1/2029		350		419

University of Arkansas, Student Fee, UALR Campus Rev., 5.00%, 10/1/2029		100		119

University of Arkansas, Various Facility Fayetteville Campus Series A, Rev., 5.00%, 11/1/2037		185		223

University of Arkansas, Various Facility Monticello Campus Series 2017A, Rev., 5.00%, 12/1/2027		100		124


Total Arkansas				885


California — 7.4%

Alta Loma School District, Election of 2016 Series 2017A, GO, 5.00%, 8/1/2032		60		75

Bay Area Toll Authority, Toll Bridge Series S-7, Rev., 4.00%, 4/1/2032		35		41


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

California Educational Facilities Authority, Claremont McKenna College Series 2015A, Rev., 4.00%, 1/1/2039		500		557

California Health Facilities Financing Authority, On Lok Senior Health Service Rev., 5.00%, 8/1/2050		1,000		1,235

California Health Facilities Financing Authority, Sutter Health Series 2016A, Rev., 5.00%, 11/15/2025 (c)		250		299

California Public Finance Authority, Enso Village Project, Green Bond Series 2021A, Rev., 5.00%, 11/15/2051 (d)		500		580

California Public Finance Authority, Henry Mayo Newhall Hospital

Rev., 5.00%, 10/15/2037		500		592

Rev., 5.00%, 10/15/2047		1,000		1,172

California School Finance Authority, Green Dot Public School Projects

Series 2018A, Rev., 5.00%, 8/1/2022 (d)		80		83

Series 2018A, Rev., 5.00%, 8/1/2023 (d)		175		191

Series 2018A, Rev., 5.00%, 8/1/2024 (d)		160		179

Series 2018A, Rev., 5.00%, 8/1/2025 (d)		150		173

Series 2018A, Rev., 5.00%, 8/1/2026 (d)		150		178

Series 2018A, Rev., 5.00%, 8/1/2027 (d)		150		182

Series 2018A, Rev., 5.00%, 8/1/2028 (d)		190		237

California State Public Works Board, Riverside Campus Series 2017H, Rev., 5.00%, 4/1/2027		10		12

California State University, Systemwide

Series 2019A, Rev., 5.00%, 11/1/2036		30		39

Series 2016A, Rev., 5.00%, 11/1/2041		45		53

Series 2017A, Rev., 5.00%, 11/1/2042		30		37

Series 2016A, Rev., 5.00%, 11/1/2045		25		30

California Statewide Communities Development Authority, Marin General Hospital Project, Green Bond Series 2018A, Rev., 4.00%, 8/1/2045		1,500		1,555

City of Los Angeles Department of Airports, International Airport Subordinate

Series A, Rev., AMT, 5.00%, 5/15/2038		1,250		1,346

Series 2019E, Rev., AMT, 5.00%, 5/15/2039		155		196

County of Santa Clara, Campbell Union High School District

GO, 3.00%, 8/1/2030		620		668

GO, 3.00%, 8/1/2031		30		32

CSCDA Community Improvement Authority, Essential Housing, Jefferson-Anaheim

Series 2021A-1, Rev., 2.88%, 8/1/2041 (d)		365		377

Rev., 3.13%, 8/1/2056 (d)		2,000		2,036


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

CSCDA Community Improvement Authority, Essential Housing, Parallel-Anaheim Rev., 4.00%, 8/1/2056 (d)		1,500		1,655

CSCDA Community Improvement Authority, Oceanaire-Long Beach Series 2021A-2, Rev., 4.00%, 9/1/2056 (d)		2,115		2,330

East Bay Municipal Utility District, Wastewater System Series 2015A-1, Rev., 5.00%, 6/1/2036		2,450		2,859

East Bay Municipal Utility District, Water System Series B, Rev., 5.00%, 6/1/2033		515		602

Eastern Municipal Water District Financing Authority, Water and Wastewater System

Series 2020A, Rev., 4.00%, 7/1/2037		450		555

Series 2020A, Rev., 4.00%, 7/1/2038		1,000		1,231

El Monte City School District GO, BAN, Zero Coupon, 4/1/2023		900		895

Franklin-McKinley School District, Election of 2020 Series A, GO, 4.00%, 8/1/2049		1,415		1,622

Huntington Beach Union High School District

COP, AGM, 5.00%, 9/1/2031		115		157

COP, AGM, 4.00%, 9/1/2032		100		126

COP, AGM, 4.00%, 9/1/2033		110		137

COP, AGM, 4.00%, 9/1/2034		115		142

COP, AGM, 4.00%, 9/1/2035		100		123

Long Beach Bond Finance Authority, Natural Gas Series 2007A, Rev., 5.25%, 11/15/2021		2,000		2,020

Los Angeles Community College District, Election of 2008 Series F, GO, 5.00%, 8/1/2023 (c)		60		66

Los Angeles County Metropolitan Transportation Authority, Measure J Junior Subordinate Sales Tax Series 2020A, Rev., 5.00%, 6/1/2030		20		27

Los Angeles Department of Water and Power, Power System

Series 2019D, Rev., 5.00%, 7/1/2038		35		45

Series 2014D, Rev., 5.00%, 7/1/2044		60		68

Los Angeles Unified School District, Election of 2008 Series 2018B-1, GO, 5.00%, 7/1/2037		30		37

Millbrae Redevelopment Agency Successor Agency, Millbrae Redevelopment Project Rev., 4.00%, 8/1/2035		150		166

Moulton-Niguel Water District Rev., 5.00%, 9/1/2038		35		45

Mount San Antonio Community College District, Election of 2008 Series A, GO, 0.00%, 8/1/2043		7,150		8,183

Mountain View Shoreline Regional Park Community Series 2018A, Rev., AGM, 5.00%, 8/1/2034		25		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Orange County Water District Series A, Rev., 5.00%, 8/15/2034		650		793

Rim of the World Unified School District Series 2010B, GO, AGM, Zero Coupon, 8/1/2039		25		16

Riverside County Transportation Commission, Sales Tax Series 2017A, Rev., 5.00%, 6/1/2039		150		185

Riverside Public Financing Authority, Riverside Pavement Rehabilitation Project COP, AGM, 5.00%, 6/1/2033		1,500		1,615

San Diego Unified School District, Dedicated Unlimited Ad Valorem Property Tax, Election of 2008 Series 2012E, GO, Zero Coupon, 7/1/2049		1,000		513

San Lorenzo Valley Unified School District, Election of 2020

Series 2020A, GO, 4.00%, 8/1/2045		1,000		1,157

Series 2020A, GO, 5.00%, 8/1/2050		2,505		3,069

Santa Clara Valley Transportation Authority, Sales Tax Series 2018A, Rev., 5.00%, 6/1/2024		30		34

Santa Maria Joint Union High School District, Santa Barbara and San Luis Obispo, Election of 2004 GO, Zero Coupon, 8/1/2037		2,450		1,151

South Monterey County Joint Union High School District, Election of 2018 Series A-1, GO, AGM, 5.00%, 8/1/2035		15		19

State of California GO, AGM, 5.25%, 8/1/2032		5,000		7,044


Total California				50,873


Colorado — 3.4%

Brighton Crossing Metropolitan District No. 6, Limited Tax Series 2020A, GO, 5.00%, 12/1/2050		670		740

Broadway Park North Metropolitan District No. 2, Limited Tax GO, 5.00%, 12/1/2049 (d)		650		717

Colorado Crossing Metropolitan District No. 2, Limited Tax Series 2020A-2, GO, 5.00%, 12/1/2050		2,000		2,163

Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project Rev., 4.00%, 5/1/2051		175		194

Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project Rev., 5.00%, 12/1/2050 (d)		740		811

Colorado Health Facilities Authority, Commonspirit Health Series A-2, Rev., 4.00%, 8/1/2049		2,500		2,860


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Colorado — continued

Colorado Health Facilities Authority, Parkview Medical Center, Inc., Project Series 2020A, Rev., 4.00%, 9/1/2050		675		783

Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%, 1/15/2045		1,095		1,206

County of Adams COP, 4.00%, 12/1/2040		2,815		3,119

County of El Paso, The Colorado College Project Series 2020A, Rev., 5.00%, 6/1/2031		250		327

Denver Health and Hospital Authority

Series 2019A, Rev., 4.00%, 12/1/2040		1,635		1,895

Series A, Rev., 5.25%, 12/1/2045		1,000		1,080

Larimer County School District No. R-1 Poudre GO, 5.00%, 12/15/2037		1,000		1,270

Raindance Metropolitan District No. 1, Non-Potable Water System Rev., 5.25%, 12/1/2050		1,000		1,098

State of Colorado Department of Transportation Headquarters Facilities, Headquarters Facilities Lease Purchase Agreement COP, 5.00%, 6/15/2041		1,000		1,173

State of Colorado, National Western Center Lease Purchase Financing Program, Tax-Exempt Series 2018A, COP, 5.00%, 9/1/2031		20		25

Transport Metropolitan District No. 3, Limited Tax

Series 2021A-1, GO, 5.00%, 12/1/2041		1,700		1,920

Series 2021A-1, GO, 5.00%, 12/1/2051		1,000		1,117

Vauxmont Metropolitan District, Subordinate Convertible Tax

GO, AGM, 5.00%, 12/15/2024		265		302

GO, AGM, 5.00%, 12/15/2025		250		293


Total Colorado				23,093


Connecticut — 0.9%

Connecticut Housing Finance Authority, Housing Mortgage Finance Program

Series B-2, Rev., 4.00%, 11/15/2032		30		30

Series A-1, Rev., 4.00%, 11/15/2045		65		68

Subseries A-1, Rev., 4.00%, 11/15/2047		230		249

Connecticut State Health and Educational Facilities Authority, Covenant Home, Inc. Series B, Rev., 5.00%, 12/1/2025		1,000		1,184

Connecticut State Health and Educational Facilities Authority, Sacred Heart University Series K, Rev., 4.00%, 7/1/2045		2,875		3,312

State of Connecticut

Series 2016D, GO, 5.00%, 8/15/2026		25		31

Series 2012G, GO, 4.00%, 10/15/2027		45		47

Series A, GO, 5.00%, 4/15/2029		150		185


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Connecticut — continued

State of Connecticut, Special Tax Transportation Infrastructure Purposes

Series 2016A, Rev., 5.00%, 9/1/2027		25		30

Series 2018B, Rev., 5.00%, 10/1/2033		55		70

Town of New Canaan

GO, 4.00%, 10/1/2036		240		290

GO, 4.00%, 10/1/2037		370		445

GO, 4.00%, 10/1/2039		100		120

University of Connecticut Series A, Rev., 5.00%, 2/15/2028		15		17


Total Connecticut				6,078


Delaware — 1.5%

County of New Castle GO, 5.00%, 4/1/2027		25		31

Delaware Health Facilities Authority, BayHealth Medical Center Project

Series 2017A, Rev., 4.00%, 7/1/2033		25		29

Series 2017A, Rev., 4.00%, 7/1/2043		1,275		1,436

Delaware State Economic Development Authority, Acts Retirement-Life Communities, Inc., Obligated Group Series 2018-B, Rev., 5.00%, 11/15/2048		1,000		1,157

Delaware State Economic Development Authority, Newark Charter School, Inc., Project

Series A, Rev., 5.00%, 9/1/2036		500		583

Series A, Rev., 5.00%, 9/1/2046		500		574

Rev., 5.00%, 9/1/2050		1,500		1,847

Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041		3,000		3,571

University of Delaware Series 2019A, Rev., 5.00%, 11/1/2045		500		751


Total Delaware				9,979


District of Columbia — 1.5%

District of Columbia, Kipp DC Charter School Series A, Rev., 6.00%, 7/1/2023 (c)		1,000		1,105

District of Columbia, Kipp DC Project

Series 2017B, Rev., 5.00%, 7/1/2027		30		37

Series 2017B, Rev., 5.00%, 7/1/2037		25		30

Rev., 4.00%, 7/1/2039		600		688

Rev., 4.00%, 7/1/2044		1,240		1,405

District of Columbia, National Public Radio, Inc. Rev., 5.00%, 4/1/2024 (c)		25		28

District of Columbia, Rocketship Obligated Group Series 2021A, Rev., 5.00%, 6/1/2041 (d)		250		298


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


District of Columbia — continued

Metropolitan Washington Airports Authority Aviation

Series A, Rev., AMT, 5.00%, 10/1/2030		50		60

Series 2017A, Rev., AMT, 5.00%, 10/1/2032		415		514

Washington Metropolitan Area Transit Authority Series B, Rev., 5.00%, 7/1/2042		5,010		6,065


Total District of Columbia				10,230


Florida — 3.2%

City of Jacksonville Series B, Rev., 5.00%, 10/1/2024		20		23

City of Lakeland, Capital Improvement

Series 2021A, Rev., 5.00%, 10/1/2038		200		279

Series 2021A, Rev., 5.00%, 10/1/2039		275		388

Series 2021A, Rev., 5.00%, 10/1/2040		290		413

Series 2021A, Rev., 5.00%, 10/1/2041		200		286

City of Lauderhill, Water and Sewer System Rev., 4.00%, 10/1/2027		15		18

City of Leesburg, Electric System Rev., 5.00%, 10/1/2031		15		18

City of Miami Beach, Stormwater Rev., 4.00%, 9/1/2045		25		27

City of Port St. Lucie, Utility System Rev., 5.00%, 9/1/2028		25		32

City of South Miami Health Facilities Authority, Inc., Baptist Health South Florida Obligated Group Rev., 4.00%, 8/15/2042		20		23

City of Tallahassee, Utility System Rev., 5.00%, 10/1/2023		10		11

City of Tampa, H. Lee Moffitt Cancer Center Project Series 2020B, Rev., 5.00%, 7/1/2050		2,790		3,478

City of Tampa, The University of Tampa Project Series 2020A, Rev., 4.00%, 4/1/2050		2,000		2,278

County of Hillsborough, Parks and Recreation Program GO, NATL-RE, 5.25%, 7/1/2025		2,415		2,722

County of Miami-Dade, Public Health Trust Program Series A, GO, 5.00%, 7/1/2036		1,545		1,991

County of Miami-Dade, Subordinate Special Obligation Rev., 4.00%, 10/1/2040		105		118

County of Sarasota, Utility System

Series 2019A, Rev., 5.00%, 10/1/2038		25		31

Series 2016A, Rev., 4.00%, 10/1/2043		65		73

East Central Regional Wastewater Treatment Facilities Operation Board Rev., 5.00%, 10/1/2028		30		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Florida Atlantic University Finance Corp., Student Housing Project

Series 2019A, Rev., 5.00%, 7/1/2031		15		19

Series 2019B, Rev., 5.00%, 7/1/2034		120		153

Florida Development Finance Corp., The Mayflower Retirement Community Project Series 2021A, Rev., 4.00%, 6/1/2041 (d)		2,325		2,661

Florida Governmental Utility Authority

Rev., AGM, 4.00%, 10/1/2034		600		717

Rev., AGM, 4.00%, 10/1/2035		1,000		1,193

Rev., AGM, 4.00%, 10/1/2036		370		439

Florida Gulf Coast University Financing Corp., Housing Project

Series 2020A, Rev., 4.00%, 2/1/2035		300		358

Series 2020A, Rev., 4.00%, 2/1/2037		730		866

Series 2020A, Rev., 4.00%, 2/1/2038		535		632

Florida State Board of Governors, International University Dormitory Series 2015A, Rev., 4.00%, 5/1/2034		30		34

Monroe County School District

Series A, COP, 5.00%, 6/1/2032		100		122

Series A, COP, 5.00%, 6/1/2034		40		49

Orange County Convention Center, Tourist Development Tax Series 2016A, Rev., 4.00%, 10/1/2036		40		46

Orange County Health Facilities Authority, Orlando Health Obligated Group Series B, Rev., 4.00%, 10/1/2045		215		238

South Broward Hospital District, Memorial Healthcare System Rev., 5.00%, 5/1/2023		10		11

State of Florida Department of Transportation Turnpike System Series 2018A, Rev., 5.00%, 7/1/2033		55		69

Volusia County Educational Facility Authority, Embry Riddle Aeronautical University, Inc., Project

Series 2020A, Rev., 4.00%, 10/15/2037		725		846

Series 2020A, Rev., 4.00%, 10/15/2038		750		873

Series 2020A, Rev., 4.00%, 10/15/2039		350		406


Total Florida				21,979


Georgia — 4.4%

Carroll City-County Hospital Authority, Tanner Medical Center Project Rev., GTD, 4.00%, 7/1/2050		1,450		1,709

Dalton Development Authority, Hamilton Health Care System Rev., NATL-RE, 5.50%, 8/15/2026		1,985		2,238


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Georgia — continued

Dalton Whitfield County Joint Development Authority, Hamilton Health Care System Rev., 4.00%, 8/15/2041		1,000		1,133

Development Authority for Fulton County, WellStar Health System, Inc., Project Series 2020A, Rev., 4.00%, 4/1/2050		2,080		2,387

George L Smith II Congress Center Authority, Convention Center Hotel First Series 2021A, Rev., 4.00%, 1/1/2054		500		569

George L Smith II Congress Center Authority, Convention Center Hotel Second Series 2021B, Rev., 5.00%, 1/1/2054 (d)		1,145		1,352

Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038		2,000		2,341

Georgia Housing and Finance Authority, Single Family Mortgage Subseries A-1, Rev., AMT, 4.00%, 6/1/2044		65		67

Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., 4.00%, 8/1/2038		1,000		1,183

Main Street Natural Gas, Inc., Gas Supply

Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 9/1/2023 (b)		5,000		5,347

Series 2019B, Rev., 4.00%, 12/2/2024 (b)		8,600		9,544

Metropolitan Atlanta Rapid Transit Authority, Sales Tax, Third Indenture Series A, Rev., NATL-RE, 5.25%, 7/1/2028		110		143

Private Colleges and Universities Authority, Emory University Series 2020B, Rev., 4.00%, 9/1/2041		750		904

Private Colleges and Universities Authority, Mercer University Project Rev., 4.00%, 10/1/2050		1,350		1,584


Total Georgia				30,501


Hawaii — 0.3%

City & County Honolulu, Wastewater System Series 2019B, Rev., 5.00%, 7/1/2040		35		45

City & County of Honolulu Series A, GO, 5.00%, 10/1/2037		1,970		2,300


Total Hawaii				2,345


Idaho — 0.0% (e)

Idaho Health Facilities Authority, Trinity Health Credit Group Series 2016ID, Rev., 5.00%, 12/1/2045		75		90


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Idaho — continued

University of Idaho

Series 2018A, Rev., 5.00%, 4/1/2028 (c)		20		25

Series 2018A, Rev., 5.00%, 4/1/2035		5		6


Total Idaho				121


Illinois — 4.6%

City of Rockford, Waterworks System Series 2018B, GO, 4.00%, 12/15/2022		105		110

Community Unit School District No. 427 DeKalb and Kane Counties Illinois, Limited Tax

Series 2021B, GO, 4.00%, 2/1/2039		410		475

Series 2021B, GO, 4.00%, 2/1/2040		455		525

Series 2021B, GO, 4.00%, 2/1/2041		465		534

Cook County Forest Preserve District, Limited Tax Series B, GO, 5.00%, 12/15/2037		295		305

County of Cook GO, 5.00%, 11/15/2034		700		840

County of Du Page, The Morton Abroretum Project Rev., 3.00%, 5/15/2047		3,335		3,452

DuPage and Cook Counties Township High School District No. 86 Hinsdale, School Building GO, 4.00%, 1/15/2039		800		919

Hoffman Estates Park District GO, 4.00%, 12/1/2044		25		27

Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2040		105		134

Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2016A, Rev., 5.00%, 11/1/2031		10		12

Illinois Finance Authority, Presence Health Network

Series 2016C, Rev., 4.00%, 2/15/2027 (c)		20		23

Series 2016C, Rev., 4.00%, 2/15/2041		930		1,055

Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2051		500		576

Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc.

Series C, Rev., 5.00%, 3/1/2033		305		364

Series 2017C, Rev., 5.00%, 3/1/2034		205		244

Illinois Finance Authority, Township High School District Rev., 4.00%, 12/1/2031		20		25

Illinois State Toll Highway Authority

Series 2019C, Rev., 5.00%, 1/1/2031		3,000		3,921

Series 2019A, Rev., 4.00%, 1/1/2044		65		76

Lake County Community Consolidated School District No. 3 Beach Park

GO, AGM, 4.00%, 2/1/2034		620		726

GO, AGM, 4.00%, 2/1/2035		500		584


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Metropolitan Pier and Exposition Authority, McCormick Place Expansion Project Series 2002A, Rev., AGM-CR, NATL-RE, Zero Coupon, 12/15/2040		5,000		3,196

Northern Illinois University, Board of Trustees, Auxiliary Facilities System Rev., 4.00%, 10/1/2043		325		380

Sales Tax Securitization Corp.

Series C, Rev., 5.00%, 1/1/2026		3,500		4,151

Series C, Rev., 5.25%, 1/1/2043		1,500		1,875

State of Illinois

Series 2018A, GO, 5.00%, 10/1/2021		50		50

Series 2012A, GO, 4.00%, 1/1/2024		15		15

GO, 5.00%, 5/1/2024		205		230

Series D, GO, 5.00%, 11/1/2024		325		370

GO, 4.00%, 8/1/2025		25		26

GO, 4.00%, 3/1/2026		10		10

Series 2012A, GO, 5.00%, 1/1/2027		25		25

GO, 5.00%, 5/1/2027		175		195

GO, 5.00%, 6/1/2027		25		30

GO, 5.00%, 11/1/2028		20		24

Series 2012A, GO, 4.00%, 1/1/2029		45		46

Series 2012A, GO, 4.00%, 1/1/2030		225		228

GO, 5.50%, 1/1/2030		20		26

GO, 4.13%, 11/1/2031		20		23

GO, 4.00%, 6/1/2033		15		17

GO, 4.00%, 6/1/2036		25		28

GO, 4.00%, 6/1/2037		45		49

GO, 5.50%, 7/1/2038		3,000		3,224

State of Illinois Sales Tax

Series 2016C, Rev., 5.00%, 6/15/2022		25		26

Series D, Rev., 5.00%, 6/15/2027		15		18

Village of Arlington Heights GO, 4.00%, 12/1/2034		130		148

Village of Bolingbrook Series A, GO, AGM, 5.00%, 1/1/2033		1,000		1,238

Village of Hoffman Estates GO, 5.00%, 12/1/2033		80		100

Village of Midlothian

GO, AGM, 4.00%, 1/1/2022		10		10

GO, AGM, 4.00%, 1/1/2023		10		10

GO, AGM, 4.00%, 1/1/2024		75		81

GO, AGM, 4.00%, 1/1/2025		40		45

GO, AGM, 4.00%, 1/1/2026		65		74

GO, AGM, 4.00%, 1/1/2027		85		99

GO, AGM, 4.00%, 1/1/2028		65		77

GO, AGM, 4.00%, 1/1/2029		95		116


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Will County School District No. 86 Joliet, Limited Tax Series A, GO, 4.00%, 3/1/2024		220		239

Winnebago and Boone Counties School District No. 205 Rockford Series B, GO, 3.75%, 2/1/2033		35		37


Total Illinois				31,463


Indiana — 1.5%

City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (d)		500		498

City of Lafayette, Local Income Tax Rev., 4.00%, 6/30/2028		180		214

Clarksville Redevelopment Authority Rev., 5.00%, 1/15/2031		30		39

Gary Community School Corp. GO, 4.00%, 7/15/2023		230		245

Greenfield Middle School Building Corp., Ad Valorem Property Tax First Mortgage

Rev., 5.00%, 1/15/2023		10		11

Rev., 4.00%, 7/15/2031		240		279

Rev., 4.00%, 7/15/2032		350		404

Indiana Finance Authority, Ascension Senior Credit Group Series 2006 B-1, Rev., 4.00%, 11/15/2046		15		17

Indiana Finance Authority, Butler University Project Rev., 4.00%, 2/1/2040		25		29

Indiana Finance Authority, Educational Facilities, Kipp Indianapolis, Inc., Project

Series 2020A, Rev., 5.00%, 7/1/2040		170		195

Series 2020A, Rev., 5.00%, 7/1/2055		460		521

Indiana Finance Authority, Educational Facilities, Valparaiso University

Rev., 5.00%, 10/1/2028		260		319

Rev., 5.00%, 10/1/2030		240		302

Rev., 5.00%, 10/1/2031		250		318

Indiana Finance Authority, Goshen Health

Series A, Rev., 5.00%, 11/1/2032		15		18

Series A, Rev., 4.00%, 11/1/2043		1,125		1,255

Indiana Finance Authority, Marian University Project Series A, Rev., 5.00%, 9/15/2034		1,100		1,348

Indiana Finance Authority, Parkview Health System, Inc. Series A, Rev., 4.00%, 11/1/2048		50		57

Indiana Finance Authority, State Revolving Fund Program Series 2011A, Rev., 5.00%, 2/1/2022 (c)		4,000		4,080

Indiana Municipal Power Agency, Power Supply System Series 2016A, Rev., 5.00%, 1/1/2042		30		36

Merrillville Building Corp. Rev., 4.00%, 7/15/2034		35		41


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

University of Southern Indiana, Student Fee Series M, Rev., 5.00%, 10/1/2029		25		32


Total Indiana				10,258


Iowa — 0.0% (e)

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Series 2016D, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 7/1/2046		305		323

Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2034		15		19


Total Iowa				342


Kansas — 0.0% (e)

Leavenworth County Unified School District No. 464 Series B, GO, 4.00%, 9/1/2022		50		52


Kentucky — 0.3%

City of Ashland, Kings Daughters Medical Center Series 2016A, Rev., 4.00%, 2/1/2036		1,750		1,926

Commonwealth of Kentucky, State Office Building Project COP, 4.00%, 6/15/2032		30		33

Kentucky Turnpike Authority, Revitalization Projects Series B, Rev., 5.00%, 7/1/2023		30		33

Pike County School District Finance Corp., School Building Rev., 4.00%, 2/1/2028		20		23


Total Kentucky				2,015


Louisiana — 1.1%

City of Ruston, Sales Tax Rev., AGM, 5.00%, 6/1/2024		10		11

Lafayette Consolidated Government

GO, 5.00%, 3/1/2029		125		161

GO, 5.00%, 3/1/2030		150		197

Louisiana Local Government Environmental Facilities and Community Development Authority, Jefferson Parish Projects Rev., 5.00%, 4/1/2029		100		120

Louisiana Public Facilities Authority, Lincoln Preparatory School Project Series 2021A, Rev., 5.25%, 6/1/2051 (d)		1,140		1,260

Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Project Series 2015A1, Rev., 5.00%, 6/1/2039		25		31

Louisiana Public Facilities Authority, Mentorship Steam Academy Project Series 2021A, Rev., 5.00%, 6/1/2056 (d)		740		788

Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2047		1,055		1,195


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Louisiana — continued

St. Tammany Parish Hospital Service District No. 1, St. Tammany Parish Hospital Project Series A, Rev., 4.00%, 7/1/2043		50		57

State of Louisiana Series 2019A, GO, 5.00%, 3/1/2035		2,000		2,557

Tobacco Settlement Financing Corp. Series 2013A, Rev., 5.25%, 5/15/2035		1,000		1,076


Total Louisiana				7,453


Maine — 0.4%

Maine Health and Higher Educational Facilities Authority, Mainehealth Series 2020A, Rev., 4.00%, 7/1/2050		2,000		2,311

Maine Municipal Bond Bank Series E, Rev., 4.00%, 11/1/2021		100		101

Maine State Housing Authority, Mortgage Purchase Series A, Rev., 4.00%, 11/15/2045		220		231


Total Maine				2,643


Maryland — 2.5%

City of Baltimore, Stormwater Projects Series 2019A, Rev., 4.00%, 7/1/2044		50		59

City of Baltimore, Water Projects Series B, Rev., 4.00%, 7/1/2033		270		328

County of Baltimore, Equipment Acquisition Program COP, 5.00%, 3/1/2029		5,735		7,472

Maryland Economic Development Corp., Port Covington Project Rev., 4.00%, 9/1/2050		1,280		1,454

Maryland Health and Higher Educational Facilities Authority, Broadmead Issue Series A, Rev., 5.00%, 7/1/2023		115		125

Maryland Health and Higher Educational Facilities Authority, Medstar Health Issue Series 2017A, Rev., 5.00%, 5/15/2045		5,000		6,085

Maryland Health and Higher Educational Facilities Authority, Stevenson University Project

Rev., 4.00%, 6/1/2046		500		581

Rev., 4.00%, 6/1/2051		500		578

Maryland State Transportation Authority, Transportation Facilities Projects, Tax Exempt Rev., 5.00%, 7/1/2028		10		12

Montgomery County Housing Opportunities Commission, Single Family Mortgage Series A, Rev., 4.00%, 1/1/2031		140		147


Total Maryland				16,841


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Massachusetts — 2.4%

City of Lowell, Municipal Purpose Loan GO, 5.00%, 3/1/2028		90		115

Commonwealth of Massachusetts Transportation Fund, Rail Enhancement and Accelerated Bridge Programs Series B, Rev., 4.00%, 6/1/2046		2,480		2,817

Commonwealth of Massachusetts, Consolidated Loan of 2016 Series J, GO, 4.00%, 12/1/2039		3,690		4,257

Massachusetts Development Finance Agency, Boston College Issue

Series 2020U, Rev., 5.00%, 7/1/2038		755		1,090

Series 2020U, Rev., 5.00%, 7/1/2039		665		963

Series 2020U, Rev., 5.00%, 7/1/2040		535		783

Series 2017T, Rev., 4.00%, 7/1/2042		35		40

Massachusetts Development Finance Agency, Emerson College

Rev., 5.00%, 1/1/2036		825		996

Rev., 5.00%, 1/1/2037		315		379

Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue

Series 2021G, Rev., 5.00%, 7/1/2032		250		333

Series 2021G, Rev., 5.00%, 7/1/2038		300		392

Massachusetts Development Finance Agency, Wellforce Issue Series 2020C, Rev., AGM, 3.00%, 10/1/2045		1,000		1,070

Massachusetts Housing Finance Agency, Single Family Housing

Series 177, Rev., AMT, 4.00%, 6/1/2039		245		258

Series 167, Rev., 4.00%, 12/1/2043		100		103

Series 169, Rev., 4.00%, 12/1/2044		260		268

Town of Bellingham, Municipal Purpose Loan GO, 4.00%, 6/15/2032		10		12

University of Massachusetts Building Authority Project

Series 2020-1, Rev., 5.00%, 11/1/2034		2,000		2,604

Series 2017-1, Rev., 5.25%, 11/1/2042		50		63


Total Massachusetts				16,543


Michigan — 1.9%

Berkley School District, Michigan 2015 School Building and Site Bonds, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2040		30		33

City of Grand Rapids, Sanitary Sewer System Rev., 5.00%, 1/1/2045		600		760

Grand Rapids Charter Township Economic Development Corp., Porter Hills Presbyterian Village Project Rev., 5.00%, 5/15/2044		2,000		2,341


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Michigan — continued

Grand Rapids Public Schools, Unlimited Tax GO, AGM, 5.00%, 11/1/2043		1,000		1,237

Kentwood Economic Development Corp., Holland Home Obligated Group Rev., 4.00%, 11/15/2045		375		418

Michigan Finance Authority, Bronson Healthcare Group, Inc. Series A, Rev., 5.00%, 5/15/2054		1,525		1,809

Michigan Finance Authority, Trinity Health Credit Group Series 2016MI, Rev., 5.25%, 12/1/2041		1,000		1,193

Michigan State Building Authority, Facilities Program

Series 2016 I, Rev., 4.00%, 10/15/2036		50		57

Series 2015I, Rev., 4.00%, 4/15/2040		120		133

Michigan State Housing Development Authority, Single Family Mortgage Series 2015A, Rev., AMT, 4.00%, 6/1/2046		75		79

Michigan Strategic Fund, Holland Home Obligated Group Rev., 5.00%, 11/15/2043		750		871

Michigan Strategic Fund, United Methodist Retirement Communities Obligated Group, Porter Hills Presbyterian Village Project Rev., 5.00%, 5/15/2044		1,000		1,170

Niles Community Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2041		25		27

State of Michigan, Trunk Line Fund Rev., 5.00%, 11/15/2021		1,500		1,515

University of Michigan Rev., 4.00%, 4/1/2034		50		57

Walled Lake Consolidated School District GO, Q-SBLF, 5.00%, 5/1/2033		10		13

West Ottawa Public Schools, School Building and Site, Unlimited Tax Series 2014-1, GO, 4.00%, 5/1/2039		25		27

Western Michigan University, Tax Exempt

Series 2021A, Rev., AGM, 5.00%, 11/15/2032		125		167

Series 2021A, Rev., AGM, 5.00%, 11/15/2033		150		200

Series 2021A, Rev., AGM, 5.00%, 11/15/2046		500		642

Whitehall District Schools, Unlimited Tax GO, AGM, 5.00%, 5/1/2033		25		31


Total Michigan				12,780


Minnesota — 2.0%

Aurora Independent School District No. 2711, School Building, Capital Appreciation

Series 2017B, GO, Zero Coupon, 2/1/2026		150		136

Series 2017B, GO, Zero Coupon, 2/1/2027		400		351


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Minnesota — continued

Series 2017B, GO, Zero Coupon, 2/1/2028		225		190

Series 2017B, GO, Zero Coupon, 2/1/2030		880		678

City of Hopkins Series 2017B, GO, 4.00%, 2/1/2026		25		29

City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 4.00%, 11/15/2048		3,000		3,414

City of Rochester, Health Care Facilities, Mayo Clinic Series 2016B, Rev., 5.00%, 11/15/2036		30		46

City of Woodbury, Charter School Lease Rev., 4.00%, 12/1/2050		250		272

Duluth Independent School District No. 709 Series 2019B, COP, 5.00%, 2/1/2022		160		163

East Grand Forks Independent School District No. 595, School Building Series A, GO, 4.00%, 2/1/2027		15		17

Greenway Independent School District No. 316, Capital Appreciation

Series 2019F, GO, Zero Coupon, 2/1/2029		1,320		1,174

Series 2019F, GO, Zero Coupon, 2/1/2030		700		603

Series 2019F, GO, Zero Coupon, 2/1/2031		545		454

Lakeville Independent School District No. 194 Series 2018A, GO, 5.00%, 2/1/2028		25		31

Minneapolis-St. Paul Housing Finance Board, Single Family Mortgage, City Living Home Programs Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041		45		45

Minnesota Higher Education Facilities Authority, Carleton College

Rev., 4.00%, 3/1/2032		1,000		1,142

Rev., 4.00%, 3/1/2033		500		569

Minnesota Housing Finance Agency, Residential Housing Finance

Series 2014A, Rev., AMT, 4.00%, 7/1/2038		130		136

Series C, Rev., AMT, GNMA/FNMA/FHLMC, 4.00%, 1/1/2045		385		410

Series B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 4.00%, 7/1/2047		235		253

Virginia Independent School District No. 706 Series A, GO, 5.00%, 2/1/2030		3,000		3,773


Total Minnesota				13,886


Mississippi — 0.6%

Mississippi Development Bank, Lafayette County School District Project Rev., 4.00%, 4/1/2033		20		24

Mississippi Development Bank, Northwest Mississippi Community College Improvement Project Rev., 4.00%, 3/1/2050		2,335		2,666


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Mississippi — continued

Mississippi Development Bank, Special Obligation, Water and Sewer System Project Rev., AGM, 6.88%, 12/1/2040		1,000		1,131


Total Mississippi				3,821


Missouri — 0.8%

City of Sedalia COP, 4.00%, 7/15/2035		205		233

Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects

Series 2019A, Rev., 5.00%, 2/1/2034		1,000		1,125

Series 2019A, Rev., 5.00%, 2/1/2042		1,000		1,117

Health and Educational Facilities Authority of the State of Missouri, SSM Health System Series A, Rev., 4.00%, 6/1/2048		2,160		2,449

Health and Educational Facilities Authority of the State of Missouri, State University Rev., 4.00%, 10/1/2036		100		118

Metropolitan St. Louis Sewer District, Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2034		10		12

Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program

Series 2106B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 5/1/2041		245		257

Series 2015B-2, Rev., GNMA/FNMA/FHLMC, 4.00%, 11/1/2045		325		348

St. Louis County Reorganized School District No. R-6 GO, 5.00%, 2/1/2023		10		11


Total Missouri				5,670


Montana — 0.2%

Montana Board of Housing, Single Family Homeownership Series A-2, Rev., AMT, 4.00%, 12/1/2038		55		57

Montana Facility Finance Authority, SCL Health System Series A, Rev., 4.00%, 1/1/2038		1,200		1,431


Total Montana				1,488


Nebraska — 0.7%

Central Plains Energy Project, Gas Project No. 3

Series 2017A, Rev., 5.00%, 9/1/2034		1,000		1,377

Series 2017A, Rev., 5.00%, 9/1/2037		1,500		2,134

Douglas County Hospital Authority No. 2, Children’s Hospital Obligated Group

Series 2020A, Rev., 4.00%, 11/15/2040		575		683

Series 2020A, Rev., 4.00%, 11/15/2041		300		356


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nebraska — continued

Douglas County Hospital Authority No. 2, Health Facilities, Nebraska Medicine Rev., 5.00%, 5/15/2030		10		12

Public Power Generation Agency, Whelan Energy Center Unit 2

Series 2015A, Rev., 5.00%, 1/1/2026		100		115

Series A, Rev., 5.00%, 1/1/2034		185		221

Series 2016A, Rev., 5.00%, 1/1/2035		25		30


Total Nebraska				4,928


Nevada — 0.5%

City of Reno, Sales Tax, Senior Lien, ReTrac-Reno Transportation Rail Access Corridor Project Series B, Rev., AGM, 4.00%, 6/1/2048		375		417

Las Vegas Convention and Visitors Authority, Convention Center Expansion Series B, Rev., 4.00%, 7/1/2049		2,500		2,819

Truckee Meadows Water Authority Rev., 5.00%, 7/1/2031		15		18


Total Nevada				3,254


New Hampshire — 0.5%

New Hampshire Business Finance Authority, Springpoint Senior Living Project Rev., 4.00%, 1/1/2041		1,000		1,103

New Hampshire Business Finance Authority, The Lawrenceville School Project Series 2021A, Rev., 4.00%, 7/1/2051		2,000		2,364


Total New Hampshire				3,467


New Jersey — 5.0%

Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project

Series 2021A, Rev., AGM, 4.00%, 7/1/2047		50		59

Series 2021A, Rev., AGM, 4.00%, 7/1/2053		125		147

County of Middlesex, Civic Square II Redevelopment Associates LLC COP, 4.00%, 6/15/2022		110		113

New Jersey Economic Development Authority, Biomedical Research Facilities Series 2016A, Rev., 5.00%, 7/15/2027		240		289

New Jersey Economic Development Authority, School Facilities Construction

Series NN, Rev., 5.00%, 3/1/2024		150		161

Rev., 4.00%, 6/15/2046		1,375		1,595

Rev., 4.00%, 6/15/2050		1,000		1,156

New Jersey Economic Development Authority, State House Project Series 2017B, Rev., 4.13%, 6/15/2039		2,800		3,287


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

New Jersey Educational Facilities Authority, Capital Improvement Series 2016B, Rev., 5.00%, 9/1/2036		105		125

New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048		700		784

New Jersey Transportation Trust Fund Authority

Series BB, Rev., 4.00%, 6/15/2038		1,500		1,729

Series 2020AA, Rev., 4.00%, 6/15/2050		1,375		1,589

New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement

Series A-1, Rev., 5.00%, 6/15/2027		2,670		3,202

Series A, Rev., 5.00%, 6/15/2031		3,000		3,556

New Jersey Transportation Trust Fund Authority, Transportation System Series A, Rev., Zero Coupon, 12/15/2036		10,355		7,358

New Jersey Turnpike Authority Series 2021A, Rev., 4.00%, 1/1/2042		1,000		1,193

State of New Jersey, Covid-19 Emergency Bonds GO, 4.00%, 6/1/2032		2,000		2,521

State of New Jersey, COVID-19 Emergency Bonds GO, 4.00%, 6/1/2031		1,000		1,249

Tobacco Settlement Financing Corp.

Series A, Rev., 4.00%, 6/1/2037		1,000		1,167

Series A, Rev., 5.00%, 6/1/2046		1,000		1,201

Series A, Rev., 5.25%, 6/1/2046		1,500		1,836


Total New Jersey				34,317


New Mexico — 0.1%

New Mexico Mortgage Finance Authority, Single Family Mortgage Program Series B-1, Class I, Rev., AMT, GNMA/FNMA/FHLMC, 3.75%, 3/1/2048		395		432


New York — 8.8%

Buffalo and Erie County Industrial Land Development Corp., D’youville College Project Rev., 4.00%, 11/1/2045		2,300		2,632

City of New York Series 2018E-1, GO, 5.00%, 3/1/2041		225		277

County of Rockland Series B, GO, AGM, 5.00%, 9/1/2027		10		13

County of Suffolk Series 2020B, GO, AGM, 5.00%, 5/15/2030		1,240		1,634

Metropolitan Transportation Authority

Series H, Rev., 5.00%, 11/15/2022 (c)		70		74

Series D, Rev., 5.00%, 11/15/2031		400		478


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Metropolitan Transportation Authority, Dedicated Tax Fund

Series 2012A, Rev., 5.00%, 11/15/2026		25		26

Subseries B-3B, Rev., 5.00%, 11/15/2028		25		30

Series 2016B-1, Rev., 5.00%, 11/15/2029		25		30

Series 2017B-1, Rev., 5.00%, 11/15/2035		95		118

Monroe County Industrial Development Corp., True North Rochester Preparatory Charter School Project Series 2020A, Rev., 5.00%, 6/1/2059 (d)		540		631

Monroe County Industrial Development Corp., University of Rochester Project Series 2017C, Rev., 4.00%, 7/1/2033		60		70

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series 2017F-1, Rev., 4.00%, 5/1/2044		375		427

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019

Series 2019C-1, Rev., 5.00%, 11/1/2034		100		129

Series A, Subseries A-1, Rev., 5.00%, 8/1/2040		5,000		6,255

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2018 Series C-3, Rev., 5.00%, 5/1/2039		25		31

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2020 Series A, Subseries A-2, Rev., 5.00%, 5/1/2035		50		64

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2012 Series 2012EE, Rev., 4.00%, 6/15/2039		35		36

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2019 Subseries 2019FF-2, Rev., 5.00%, 6/15/2038		30		38

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2020 Series 2020AA, Rev., 5.00%, 6/15/2040		55		71

New York State Dormitory Authority, Cornell University, Green Bonds Series 2019D, Rev., 5.00%, 7/1/2036		640		949

New York State Dormitory Authority, New York University Series 2019A, Rev., 4.00%, 7/1/2045		2,000		2,338

New York State Dormitory Authority, School Districts Financing Program

Series 2018A, Rev., 5.00%, 10/1/2031		50		61

Series 2016A, Rev., 5.00%, 10/1/2032		35		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2021A, Rev., 5.00%, 3/15/2032		5,000		6,696

New York State Dormitory Authority, State Sales Tax

Series 2017A, Rev., 5.00%, 3/15/2036		100		122

Series 2018A, Rev., 5.00%, 3/15/2037		40		50

Series 2018C, Rev., 5.00%, 3/15/2038		1,250		1,555

New York State Dormitory Authority, State University Dormitory Facilities Series 2015B, Rev., 5.00%, 7/1/2026		15		18

New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution Series 2017A, Rev., 5.00%, 6/15/2037		1,750		2,158

New York State Urban Development Corp., State Personal Income Tax, General Purpose

Series 2019A, Rev., 5.00%, 3/15/2039		25		31

Series 2019A, Rev., 5.00%, 3/15/2042		3,500		4,356

New York State Urban Development Corp., State Sales Tax Series 2019A, Rev., 5.00%, 3/15/2041		2,000		2,551

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project

Rev., AMT, 4.00%, 1/1/2036		1,500		1,707

Rev., AMT, 5.00%, 1/1/2036		1,125		1,359

Port Authority of New York & New Jersey, Consolidated Series 93, Rev., 6.13%, 6/1/2094		7,470		8,491

Port Authority of New York and New Jersey, Consolidated

Series 188, Rev., AMT, 5.00%, 5/1/2024		50		56

State of New York Mortgage Agency, Homeowner Mortgage Series 197, Rev., 3.50%, 10/1/2044		235		248

Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project

Rev., 5.13%, 11/1/2041 (d)		850		893

Rev., 5.38%, 11/1/2054 (d)		750		788

Tompkins County Development Corp., Tax Exempt Ithaca College Project Rev., 5.00%, 7/1/2032		80		98

Town of Orangetown, Rockland County, Sparkill-Palisades Fire District

GO, AGM, 4.00%, 11/15/2040		220		244

GO, AGM, 4.00%, 11/15/2041		205		228

GO, AGM, 4.00%, 11/15/2042		315		349

GO, AGM, 4.00%, 11/15/2043		325		356


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2018B, Rev., 5.00%, 11/15/2031		75		103

Series 2018C, Rev., 5.00%, 11/15/2038		35		44

Series 2018A, Rev., 5.00%, 11/15/2045		105		130

Series 2021A-1, Rev., 4.00%, 5/15/2046		4,000		4,739

Utility Debt Securitization Authority, Federally Tax-Exempt Series 2013TE, Rev., 5.00%, 12/15/2041		4,250		4,689

Village of Tuxedo Park, Public Improvement GO, 4.00%, 8/1/2031		45		53

Westchester County Local Development Corp., The Bethel Methodist Home D/B/A, The Knolls Project Rev., 5.13%, 7/1/2055		1,100		1,161

Westchester Tobacco Asset Securitization Corp., Tobacco Settlement Series 2016B, Rev., 5.00%, 6/1/2025		130		152


Total New York				59,879


North Carolina — 2.6%

City of Charlotte, Water & Sewer System Rev., 5.00%, 7/1/2029		10		12

City of Greensboro, Combined Water and Sewer System, Green Bond Rev., 5.00%, 6/1/2027		10		12

City of Raleigh, Limited Obligation Series A, Rev., 4.00%, 10/1/2022		30		31

City of Winston-Salem Series B, GO, 4.00%, 6/1/2030		10		12

County of Burke, Limited Obligation

Rev., 5.00%, 4/1/2025		15		17

Rev., 5.00%, 4/1/2031		25		31

North Carolina Capital Facilities Finance Agency, Meredith College

Rev., 5.00%, 6/1/2027		105		124

Rev., 5.00%, 6/1/2028		805		949

Rev., 5.00%, 6/1/2030		400		466

North Carolina Housing Finance Agency, Homeownership Series A, Rev., AMT, 3.50%, 7/1/2039		150		158

North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (b)		1,095		1,311

Raleigh Durham Airport Authority Series 2020A, Rev., AMT, 5.00%, 5/1/2033		1,645		2,131

State of North Carolina Rev., 5.00%, 3/1/2033		7,735		9,888

Town of Fuquay-Varina Rev., 5.00%, 11/1/2030		10		13


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

North Carolina — continued

University of North Carolina at Chapel Hill Series 2021B, Rev., 5.00%, 12/1/2039		2,205		2,982


Total North Carolina				18,137


North Dakota — 0.3%

North Dakota Housing Finance Agency, Home Mortgage Finance Program

Series A, Rev., 4.00%, 7/1/2034		130		136

Series 2016D, Rev., 3.50%, 7/1/2046		285		305

University of North Dakota, Housing Infrastructure Project Series 2021A, COP, AGM, 4.00%, 6/1/2051		1,430		1,644


Total North Dakota				2,085


Ohio — 3.3%

American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (b)		100		100

Athens City School District, School Facilities Construction and Improvement Series 2019A, GO, 4.00%, 12/1/2040		460		540

Buckeye Tobacco Settlement Financing Authority Series 2020A-2, Class 1, Rev., 4.00%, 6/1/2048		3,210		3,687

Butler County Port Authority, Community First Solutions Rev., 4.00%, 5/15/2046		250		290

Cleveland-Cuyahoga County Port Authority, The Cleveland Museum of Natural History Project Rev., 4.00%, 7/1/2051		1,000		1,169

County of Franklin, Health Care Facilities, Ohio Living Communities Series 2020B, Rev., 5.00%, 7/1/2045		5,565		6,624

County of Hardin, Economic Development Facilities Improvement, Ohio Northern University Rev., 5.25%, 5/1/2040		1,425		1,552

County of Union, Memorial Hospital GO, 4.00%, 12/1/2041		1,825		2,063

County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group

Series A, Rev., 5.00%, 7/1/2031		115		135

Series 2016A, Rev., 5.00%, 7/1/2032		35		41

Series A, Rev., 5.50%, 7/1/2039		1,000		1,071

Delaware City School District, School Facilities Construction and Improvement, Unlimited Tax GO, 4.00%, 12/1/2039		160		191

Greenville City School District, School Improvement GO, 5.25%, 1/1/2022 (c)		2,000		2,034


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Ohio — continued

Licking Heights Local School District, School Facilities Construction and Improvement Series A, GO, 4.00%, 10/1/2034		10		12

Miami University, General Receipts Rev., 5.00%, 9/1/2029		25		30

Northeast Ohio Medical University

Series 2021A, Rev., 3.00%, 12/1/2040		250		261

Series 2021A, Rev., 4.00%, 12/1/2045		115		131

Ohio Higher Educational Facility Commission, University of Dayton 2020 Project Rev., 5.00%, 2/1/2035		735		941

State of Ohio, Higher Education

Series B, GO, 5.00%, 8/1/2023		110		115

Series A, GO, 5.00%, 5/1/2033		1,500		1,859

University of Cincinnati, General Receipts Series 2017A, Rev., 5.00%, 6/1/2045		25		31


Total Ohio				22,877


Oklahoma — 0.7%

Grand River Dam Authority Series A, Rev., 4.00%, 6/1/2022		10		10

Oklahoma Development Finance Authority, Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023		2,000		2,019

Oklahoma Development Finance Authority, Health System, OU Medicine Project Series 2018B, Rev., AGM, 4.00%, 8/15/2048		700		778

Oklahoma Turnpike Authority, Second Senior Series 2017A, Rev., 5.00%, 1/1/2037		1,665		1,955


Total Oklahoma				4,762


Oregon — 0.1%

City of Eugene, Electric Utility System Series 2016A, Rev., 4.00%, 8/1/2031		325		375

City of Sheridan, Full Faith and Credit GO, 4.00%, 12/1/2027		10		11

State of Oregon, Department of Transportation Highway User Senior Lien Series 2013A, Rev., 5.00%, 11/15/2022		5		5

State of Oregon, Department of Transportation Highway User Subordinate Lien, Tax-Exempt Series 2019A, Rev., 5.00%, 11/15/2042		35		45

Yamhill County School District No. 40 McMinnville GO, 4.00%, 9/10/2021		30		34


Total Oregon				470


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — 8.3%

Abington School District, Limited Tax Series 2017A, GO, 4.00%, 10/1/2037		15		17

Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 4.00%, 4/1/2044		2,000		2,270

Berks County Industrial Development Authority, Tower Health Project

Rev., 5.00%, 11/1/2036		50		57

Rev., 5.00%, 11/1/2037		430		487

Berks County Municipal Authority (The), Tower Health Project Series 2020B-3, Rev., 5.00%, 2/1/2030 (b)		2,000		2,337

Bucks County Industrial Development Authority, Grand View Hospital Project Rev., 4.00%, 7/1/2046		1,110		1,265

Central Dauphin School District

GO, 4.00%, 8/1/2026 (c)		10		12

GO, 4.00%, 2/1/2030		15		17

Chester County Health and Education Facilities Authority, Main Line Health System Series 2017A, Rev., 4.00%, 10/1/2036		25		29

Chester County Industrial Development Authority, Longwood Gardens Project Rev., 4.00%, 12/1/2049		3,345		3,898

City of Pittsburgh GO, 4.00%, 9/1/2031		1,155		1,350

Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., AGM, 4.00%, 6/1/2039		9,950		11,427

Commonwealth of Pennsylvania Series A, COP, 4.00%, 7/1/2046		1,200		1,353

County of Cambria Series 2020B, GO, AGM, 4.00%, 8/1/2035		700		802

DuBois Hospital Authority, Penn Highlands Healthcare Rev., 4.00%, 7/15/2048		1,200		1,327

Erie City Water Authority Series A, Rev., AGM, 5.00%, 12/1/2043		1,500		1,848

Lancaster County Hospital Authority, Health Center, Masonic Villages Project

Rev., 5.00%, 11/1/2034		35		42

Rev., 5.00%, 11/1/2036		510		614

Rev., 5.00%, 11/1/2037		250		300

Mifflinburg Area School District Series 2020A, GO, 4.00%, 6/15/2039		335		394

Montgomery County Higher Education and Health Authority, Thomas Jefferson University

Rev., 4.00%, 9/1/2036		1,655		1,937

Series 2018A, Rev., 4.00%, 9/1/2038		3,725		4,296

Series 2018A, Rev., 4.00%, 9/1/2043		3,740		4,269


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Montgomery County Industrial Development Authority, Acts Retirement-Life Communities, Inc., Obligated Group

Rev., 5.00%, 5/15/2022 (c)		510		527

Series 2020C, Rev., 5.00%, 11/15/2045		1,770		2,153

Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project

Rev., 5.00%, 12/1/2044		350		405

Rev., 5.00%, 12/1/2049		500		577

Northampton County General Purpose Authority, Moravian College Project Rev., 5.00%, 10/1/2036		100		115

Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Project Rev., 2.80%, 12/1/2021 (b)		2,950		2,969

Pennsylvania Housing Finance Agency, Single Family Mortgage

Series 118A, Rev., AMT, 3.50%, 4/1/2040		290		298

Series 122, Rev., AMT, 4.00%, 10/1/2046		265		284

Philadelphia Authority for Industrial Development, MAST Community Charter School II Project Series 2020A, Rev., 5.00%, 8/1/2040		315		386

Pittsburgh Water and Sewer Authority Series B, Rev., AGM, 5.00%, 9/1/2032		1,000		1,379

School District of Philadelphia (The) Series B, GO, AGM, 4.00%, 9/1/2043		1,250		1,455

Swarthmore Borough Authority, Swarthmore College

Rev., 5.00%, 9/15/2023		25		28

Series 2016B, Rev., 4.00%, 9/15/2041		15		17

Township of West Bradford

GO, 4.00%, 12/15/2040		600		696

GO, 4.00%, 12/15/2045		1,100		1,264

Upper Merion Area School District GO, 5.00%, 1/15/2036		250		295

West Cornwall Township Municipal Authority, Pleasant View Retirement Community Project

Rev., 3.00%, 12/15/2023		335		344

Rev., 4.00%, 12/15/2028		1,000		1,128

Rev., 5.00%, 12/15/2038		750		859

West Mifflin School District, Limited Tax GO, 3.00%, 4/1/2038		1,400		1,523


Total Pennsylvania				57,050


Rhode Island — 0.0% (e)

City of Pawtucket Series D, GO, AGM, 5.00%, 7/15/2028		200		252


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Rhode Island — continued

Rhode Island Health and Educational Building Corp., Public School Financing Program Series A, Rev., AGM, 5.00%, 5/15/2032		25		32


Total Rhode Island				284


South Carolina — 0.9%

City of Greenwood, Combined Public Utility System

Rev., 5.00%, 12/1/2023		220		243

Rev., 5.00%, 12/1/2026		340		417

Rev., 5.00%, 12/1/2028		250		322

Rev., 5.00%, 12/1/2030		675		886

City of North Charleston, Limited Obligation, Tax Increment Pledge Rev., 4.00%, 10/1/2040		90		107

Greenwood Metropolitan District, Sewer System Rev., 5.00%, 10/1/2027		10		12

South Carolina State Housing Finance and Development Authority Series A, Rev., 4.00%, 1/1/2047		205		219

South Carolina State Ports Authority Rev., AMT, 4.00%, 7/1/2040		1,095		1,204

Spartanburg County School District No. 7 Series 2019D, GO, SCSDE, 5.00%, 3/1/2044		1,970		2,478


Total South Carolina				5,888


South Dakota — 0.4%

Rapid City Area School District No. 51-4, Limited Tax, Capital Outlay

GO, 4.00%, 8/1/2029		1,165		1,382

GO, 4.00%, 8/1/2030		610		719

GO, 4.00%, 8/1/2031		420		492

South Dakota Board of Regents, Housing and Auxiliary Facility System Series 2019A, Rev., 4.00%, 4/1/2036		65		78

South Dakota Housing Development Authority, Homeownership Mortgage

Series D, Rev., AMT, 4.00%, 11/1/2029		35		35

Series 2012A, Rev., AMT, 4.50%, 5/1/2031		15		15

Series 2015D, Rev., 4.00%, 11/1/2045		255		271


Total South Dakota				2,992


Tennessee — 5.1%

City of Cleveland

Series 2018B, GO, 5.00%, 6/1/2022		205		212

Series 2018B, GO, 5.00%, 6/1/2027		245		306

Series 2018B, GO, 5.00%, 6/1/2028		260		333

Series 2018B, GO, 5.00%, 6/1/2030		285		362

Series 2018B, GO, 4.00%, 6/1/2031		300		360

Series 2018B, GO, 4.00%, 6/1/2032		310		372


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Tennessee — continued

Series 2018B, GO, 4.00%, 6/1/2038		395		469

Series 2018B, GO, 4.00%, 6/1/2039		410		486

City of Oak Ridge

GO, 4.00%, 6/1/2037		695		795

GO, 4.00%, 6/1/2038		720		822

GO, 4.00%, 6/1/2039		750		856

County of Hamilton Series 2018A, GO, 5.00%, 4/1/2028		25		32

County of Williamson

GO, 4.00%, 4/1/2033		1,490		1,808

GO, 4.00%, 4/1/2034		1,485		1,797

County of Wilson

GO, 5.00%, 4/1/2030		3,625		4,701

Series 2017A, GO, 4.00%, 4/1/2039		25		28

Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group Series 2018A, Rev., 4.00%, 7/1/2040		4,000		4,589

Knox County Health Educational and Housing Facility Board, East Tennessee Children’s Hospital

Rev., 5.00%, 11/15/2024		800		918

Rev., 4.00%, 11/15/2043		105		121

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038		1,305		1,427

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2021B, Rev., 4.00%, 10/1/2051		2,000		2,226

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Vanderbilt University Medical Center Series A, Rev., 5.00%, 7/1/2035		100		120

Metropolitan Nashville Airport Authority (The)

Series 2015A, Rev., 5.00%, 7/1/2035		20		23

Series 2019A, Rev., 5.00%, 7/1/2049		1,000		1,266

Metropolitan Nashville Airport Authority (The), Subordinate Airport Series 2019A, Rev., 5.00%, 7/1/2044		1,000		1,274

Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2054		1,000		1,079

Tennessee Energy Acquisition Corp., Commodity Project Series 2021A, Rev., 5.00%, 11/1/2031 (b)		2,500		3,338

Tennessee Energy Acquisition Corp., Gas Project Rev., 4.00%, 11/1/2025 (b)		4,000		4,534


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Tennessee — continued

Tennessee Housing Development Agency, Homeownership Program Series 1A, Rev., AMT, 4.50%, 1/1/2038		10		10

Tennessee State School Bond Authority, Higher Educational Facilities Second Program Series B, Rev., 5.00%, 11/1/2025 (c)		35		42


Total Tennessee				34,706


Texas — 5.4%

Calallen Independent School District, School Building GO, PSF-GTD, 5.00%, 2/15/2028		10		12

City of Abilene, Combination Tax GO, 5.00%, 2/15/2024		10		11

City of Austin, Public Improvement Series 2019, GO, 5.00%, 9/1/2033		2,000		2,598

City of Bryan, Electric System Rev., AGM, 4.00%, 7/1/2031		50		57

City of Conroe Series 2018A, GO, 5.00%, 3/1/2032		10		13

City of EI Paso, Combination Tax GO, 4.00%, 8/15/2040		475		515

City of El Paso GO, 4.00%, 8/15/2042		25		28

City of Garland GO, 5.00%, 2/15/2027		10		12

City of Houston, Airport System, Subordinate Lien Series 2012A, Rev., AMT, 5.00%, 7/1/2022 (c)		35		36

City of Houston, Airport System, United Airlines, Inc., Terminal E Project Rev., AMT, 5.00%, 7/1/2029		2,500		2,741

City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, 5.75%, 12/1/2032 (c)		2,500		3,744

City of Laredo

GO, 5.00%, 2/15/2027		30		35

GO, 5.00%, 2/15/2032		40		50

City of Lucas, Combination Tax, Certificates of Obligation GO, 5.00%, 2/1/2028		170		215

City of Mission, Combination Tax GO, AGM, 5.00%, 2/15/2031		575		714

City of Pearland, Certificates of Obligation GO, 4.00%, 3/1/2032		35		41

City of San Antonio, Electric and Gas Systems

Rev., 4.00%, 2/1/2028		45		54

Rev., 5.00%, 2/1/2031		230		278

Rev., 5.00%, 2/1/2032		35		42

City of San Marcos GO, 5.00%, 8/15/2031		25		31

City of Temple, Combination Tax, Certificates of Obligation Series 2016A, GO, 5.00%, 8/1/2031		50		59


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

City of Waxahachie Series A, GO, 5.00%, 8/1/2025		45		53

Clifton Higher Education Finance Corp., Idea Public Schools

Series B, Rev., 4.00%, 8/15/2023		500		536

Series B, Rev., 5.00%, 8/15/2024		345		391

Series 2016B, Rev., 5.00%, 8/15/2025		460		541

Rev., 6.00%, 8/15/2033		1,250		1,373

Clifton Higher Education Finance Corp., Yes Prep Public Schools, Inc.

Rev., PSF-GTD, 4.00%, 4/1/2035		400		479

Rev., PSF-GTD, 4.00%, 4/1/2036		500		596

Clint Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2025 (c)		800		946

Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 4.00%, 10/1/2050		550		606

County of Galveston, Unlimited Tax GO, 4.00%, 2/1/2039		10		12

County of Harris, Toll Road, Senior Lien Series 2016A, Rev., 5.00%, 8/15/2022		10		10

County of Hidalgo

GO, 5.00%, 8/15/2028		10		12

GO, 4.00%, 8/15/2035		85		97

Series 2018B, GO, 4.00%, 8/15/2038		40		47

County of Victoria, Limited Tax GO, 4.00%, 2/15/2030		15		18

Cypress-Fairbanks Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2022		10		10

Dallas Fort Worth International Airport Series 2013B, Rev., 5.00%, 11/1/2044		25		26

El Paso County Hospital District GO, AGM-CR, 5.00%, 8/15/2023		510		555

Ennis Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2028		30		38

Harris Montgomery Counties Municipal Utility District No. 386, Unlimited Tax GO, 4.00%, 9/1/2023		15		16

Highland Park Independent School District, Dallas County, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2024		30		34

Ingleside Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2028		35		43

Killeen Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2026		25		30

Metropolitan Transit Authority of Harris County Sales and Use Tax, Contractual Obligations Rev., 5.00%, 11/1/2024 (c)		15		17


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Midlothian Independent School District, Unlimited Tax Series 2017A, GO, PSF-GTD, 4.00%, 2/15/2037		25		29

New Hope Cultural Education Facilities Finance Corp., Westminster Project

Rev., 4.00%, 11/1/2049		100		114

Rev., 4.00%, 11/1/2055		750		850

Newark Higher Education Finance Corp., The Hughen Center, Inc. Series 2021A, Rev., PSF-GTD, 5.00%, 8/15/2029		120		153

North Texas Municipal Water District, Upper East Fork Wastewater Interceptor System Rev., 5.00%, 6/1/2031		10		12

North Texas Municipal Water District, Wastewater System Rev., 4.00%, 6/1/2028		15		18

North Texas Tollway Authority, Second Tier Rev., 4.00%, 1/1/2038		200		232

North Texas Tollway Authority, Special Projects System Series A, Rev., 6.00%, 9/1/2021 (c)		2,000		2,000

Palestine Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2026		30		36

Pasadena Independent School District, School Building, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2028		15		19

Permanent University Fund — University of Texas System Series A, Rev., 5.00%, 7/1/2031		210		246

Plano Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2026		40		48

Red Oak Independent School District GO, PSF-GTD, 5.00%, 8/15/2030		20		24

Round Rock Independent School District, Unlimited Tax GO, PSF-GTD, 4.00%, 8/1/2032		170		196

San Antonio Education Facilities Corp., University of the Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2051		1,750		2,022

San Antonio Water System, Junior Lien Series 2017A, Rev., 4.00%, 5/15/2034		60		69

Socorro Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2026		45		54

Stafford Municipal School District, School Building, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2029		35		45

Tarrant County Cultural Education Facilities Finance Corp., Hendrick Medical Center Rev., 5.50%, 9/1/2023 (c)		2,300		2,541

Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project Series 2020A, Rev., 6.75%, 11/15/2051		3,000		3,564


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Texas Public Finance Authority Rev., 4.00%, 2/1/2035		2,315		2,772

Texas Water Development Board, Water Implementation Fund

Series B, Rev., 5.00%, 4/15/2026		25		30

Series 2019A, Rev., 4.00%, 10/15/2037		500		606

Series 2019A, Rev., 4.00%, 10/15/2044		2,100		2,501

Texas Woman’s University, Financing System Rev., 4.00%, 7/1/2030		10		11

West Harris County Regional Water Authority Rev., 4.00%, 12/15/2045		1,000		1,175


Total Texas				37,139


Utah — 0.4%

City of Lehi, Sales Tax Rev., 4.00%, 6/1/2039		480		552

City of Provo GO, 5.00%, 1/1/2032		10		12

City of Salt Lake, International Airport Series 2017B, Rev., 5.00%, 7/1/2042		260		316

City of South Jordan, Sales Tax Rev., 5.00%, 8/15/2038		25		32

Tooele County Municipal Building Authority, Cross-Over Lease Rev., 4.00%, 12/15/2042		25		28

University of Utah (The) Series 2018A, Rev., 5.00%, 8/1/2044		60		74

Utah Infrastructure Agency, Tax-Exempt Telecommunications

Rev., 4.00%, 10/15/2035		400		471

Rev., 4.00%, 10/15/2036		400		470

Rev., 4.00%, 10/15/2038		500		585

Rev., 4.00%, 10/15/2041		350		405


Total Utah				2,945


Vermont — 0.7%

City of Burlington, Public Improvement

Series 2019A, GO, 4.00%, 11/1/2037		500		596

Series 2019A, GO, 4.00%, 11/1/2039		435		515

Vermont Housing Finance Agency, Multiple Purpose Series A, Rev., AMT, 4.00%, 11/1/2046		165		177

Vermont Municipal Bond Bank Series 1, Rev., 5.00%, 12/1/2034		30		37

Vermont Student Assistance Corp., Education Loan

Series A, Rev., AMT, 5.00%, 6/15/2022		725		751

Series 2018A, Rev., AMT, 3.63%, 6/15/2029		635		671

Series A, Rev., AMT, 3.75%, 6/15/2030		890		940

Series A, Rev., AMT, 4.00%, 6/15/2031		315		335


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Vermont — continued

Series A, Rev., AMT, 4.00%, 6/15/2032		125		133

Series A, Rev., AMT, 4.00%, 6/15/2033		165		175

Series 2018A, Rev., AMT, 4.00%, 6/15/2034		125		132


Total Vermont				4,462


Virginia — 0.9%

Capital Region Airport Commission, Richmond International Airport

Series 2016A, Rev., 4.00%, 7/1/2035		350		394

Series 2016A, Rev., 4.00%, 7/1/2036		320		361

City of Portsmouth, Tax Exempt Series 2015A, GO, 5.00%, 8/1/2025		20		24

City of Richmond, Public Improvement Series 2018A, GO, 5.00%, 3/1/2029		5		6

Norfolk Economic Development Authority, Sentara Healthcare Series B, Rev., 4.00%, 11/1/2048		4,375		4,994

Virginia College Building Authority, Educational Facilities, 21st Century College and Equipment Programs Series 2017E, Rev., 5.00%, 2/1/2029		10		13

Virginia Resources Authority, Infrastructure Moral Obligation, Pooled Financing Program

Series B, Rev., 5.00%, 11/1/2021		150		151

Series B, Rev., 5.00%, 11/1/2021 (c)		15		15

Series B, Rev., 5.00%, 11/1/2026		5		5

Virginia Resources Authority, Infrastructure Pooled Financing Program Series 2017B, Rev., 5.00%, 11/1/2028		10		13


Total Virginia				5,976


Washington — 1.1%

City of Lynnwood, Utility System Rev., 5.00%, 12/1/2028		25		32

County of King, Sewer

Series 2102C, Rev., 5.00%, 1/1/2023		40		41

Series 2018B, Rev., 5.00%, 7/1/2031		10		13

Energy Northwest Series C, Rev., 5.00%, 7/1/2023		25		27

King County School District No. 414 Lake Washington GO, 5.00%, 12/1/2028		15		18

Pierce and Lewis Counties School District No. 404, Unlimited Tax GO, 4.00%, 12/1/2025		5		6

Pierce County School District No. 416 White River, Unlimited Tax GO, 4.00%, 12/1/2030		10		12

Washington Health Care Facilities Authority, Commonspirit Health Series A-1, Rev., 5.00%, 8/1/2031		1,000		1,280


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Washington — continued

Washington Health Care Facilities Authority, Seattle Cancer Care Alliance Rev., 4.00%, 9/1/2045		2,500		2,933

Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (d)		2,000		2,271

Washington State Housing Finance Commission, Single Family Program Series 2A-R, Rev., AMT, 3.50%, 12/1/2046		165		172

Western Washington University, Housing and Dining System, Junior Lien Series A, Rev., AMBAC, 5.50%, 10/1/2022 (c)		495		506


Total Washington				7,311


West Virginia — 0.2%

West Virginia Hospital Finance Authority, United Health System Series A, Rev., 4.00%, 6/1/2051		1,000		1,134


Wisconsin — 2.9%

Public Finance Authority, Blue Ridge Healthcare Facilities Series 2020A, Rev., 3.00%, 1/1/2050		1,000		1,054

Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2051		1,000		1,122

Public Finance Authority, ENO River Academy Project Series 2020A, Rev., 5.00%, 6/15/2054 (d)		690		787

Public Finance Authority, KU Campus Development Corp. — Central District Development Project Rev., 5.00%, 3/1/2027		280		333

Public Finance Authority, Presbyterian Villages of Michigan Obligated Group Rev., 4.75%, 11/15/2053 (d)		2,740		2,935

Public Finance Authority, The Carmelite System, Inc., Obligated Group Rev., 5.00%, 1/1/2040		3,000		3,642

Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group Series 2018A, Rev., 5.00%, 8/15/2033		55		69

Wisconsin Health and Educational Facilities Authority, Beloit Health System, Inc. Rev., 4.00%, 7/1/2046		15		17

Wisconsin Health and Educational Facilities Authority, Children’s Hospital of Wisconsin, Inc. Rev., 4.00%, 8/15/2047		4,800		5,473

Wisconsin Health and Educational Facilities Authority, Rogers Memorial Hospital, Inc.

Series B, Rev., 5.00%, 7/1/2038		150		177

Series A, Rev., 5.00%, 7/1/2044		210		246

Series A, Rev., 5.00%, 7/1/2049		750		877

Wisconsin Health and Educational Facilities Authority, St. John’s Communities, Inc., Project Series 2018A, Rev., 5.00%, 9/15/2040		665		713


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Wisconsin — continued

Wisconsin Health and Educational Facilities Authority, Thedacare, Inc. Rev., 4.00%, 12/15/2039		500		548

Wisconsin Health and Educational Facilities Authority, Three Pillars Senior Living Communities Rev., 4.00%, 8/15/2046		1,350		1,579

Wisconsin Housing and Economic Development Authority, Home Ownership Series B, Rev., 4.00%, 3/1/2048		600		652


Total Wisconsin				20,224


Total Municipal Bonds (Cost $594,510)				646,584


	SHARES (000)
Short-Term Investments — 4.5%

Investment Companies — 4.5%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (f) (g) (Cost $30,740)		30,731		30,746

Total Investments — 98.8% (Cost $625,250)				677,330
Other Assets Less Liabilities — 1.2%				8,428

NET ASSETS — 100.0%				685,758

Percentages indicated are based on net assets.

Abbreviations


AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
BHAC		Insured by Berkshire Hathaway Assurance Corp.
COLL		Collateral
COP		Certificate of Participation
CR		Custodial Receipts
FGIC		Insured by Financial Guaranty Insurance Co.
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
GTD		Guaranteed
LIQ		Liquidity Agreement
MTA		Metropolitan Transportation Authority
NATL		Insured by National Public Finance Guarantee Corp.
PSF-GTD		Permanent School Fund Guaranteed
Q-SBLF		Qualified School Bond Loan Fund
RE		Reinsured
Rev.		Revenue
SCSDE		South Carolina School District Enhancement

(a)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(b)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(c)		Security is prerefunded or escrowed to maturity.
(d)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(e)		Amount rounds to less than 0.1% of net assets.
(f)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(g)		The rate shown is the current yield as of August 31, 2021.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 88.6% (a)

Alabama — 0.9%

Birmingham Airport Authority

Rev., 5.00%, 7/1/2023		125		136

Rev., 5.00%, 7/1/2024		150		170

Rev., 5.00%, 7/1/2025		250		295

Rev., 5.00%, 7/1/2026		225		273

Black Belt Energy Gas District, Gas Prepay Project No. 3

Series 2018B-2, Rev., (SIFMA Municipal Swap Index Yield + 0.62%), 0.64%, 9/9/2021 (b)		30,000		30,110

Series 2018A, Rev., 4.00%, 12/1/2023 (c)		1,400		1,507

Black Belt Energy Gas District, Gas Supply

Series 2017A, Rev., LIQ: Royal Bank of Canada, 4.00%, 9/10/2021 (c)		2,340		2,404

City of Centre, Warrant

GO, 3.00%, 9/1/2021		100		100

GO, 3.00%, 9/1/2022		110		113

GO, 4.00%, 9/1/2023		215		230

City of Hamilton, Warrants

GO, 2.00%, 8/1/2022		370		376

GO, 5.00%, 8/1/2023		240		261

Industrial Development Board of The City of Mobile, Alabama Power Control, Barry Plant Project Series 2007A, Rev., 1.00%, 6/26/2025 (c)		4,750		4,829

Prattville Industrial Development Board, International Paper Co. Project

Series 2019B, Rev., 2.00%, 10/1/2024 (c)		450		473

Series 2019C, Rev., 2.00%, 10/1/2024 (c)		430		451

Selma Industrial Development Board, International Paper Co. Project Series 2020A, Rev., 1.37%, 6/16/2025 (c)		2,670		2,763

Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 6/1/2027		2,415		2,843

State of Alabama Series 2013A, GO, 4.00%, 8/1/2023		1,250		1,343

University of West Alabama, General Fee

Rev., AGM, 4.00%, 1/1/2022		150		152

Rev., AGM, 4.00%, 1/1/2023		120		126

Rev., AGM, 4.00%, 1/1/2024		125		135

Rev., AGM, 4.00%, 1/1/2025		150		166


Total Alabama				49,256


Alaska — 0.9%

Alaska Municipal Bond Bank Authority

Series 1, Rev., 5.00%, 12/1/2021		450		455


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Alaska — continued

Series 1, Rev., 5.00%, 5/1/2022		200		206

Series 1, Rev., 5.00%, 12/1/2022		500		530

Series 1, Rev., 5.00%, 12/1/2023		960		1,063

Series 1, Rev., 5.00%, 12/1/2024		870		1,001

Series 1, Rev., 5.00%, 12/1/2025		750		893

Series 1, Rev., 5.00%, 12/1/2026		675		827

Borough of North Slope Series 2021A, GO, 5.00%, 6/30/2024		2,000		2,269

City of Valdez, Exxon Pipeline Co. Project Series 1993-B, Rev., VRDO, 0.01%, 9/10/2021 (c)		6,840		6,840

City of Valdez, Phillips Trans Alaska Project

Rev., VRDO, 0.04%, 9/8/2021 (c)		12,200		12,200

Rev., VRDO, 0.04%, 9/10/2021 (c)		23,100		23,100


Total Alaska				49,384


Arizona — 0.4%

Arizona Industrial Development Authority, Phoenix Children’s Hospital Series 2020A, Rev., 5.00%, 9/10/2021		130		155

Arizona State University Series 2008A, Rev., VRDO, 0.02%, 9/8/2021 (c)		2,955		2,955

City of Tucson Series 2018-A, GO, 5.00%, 7/1/2026		325		396

Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project

Series 2018A, Rev., 5.00%, 7/1/2023		140		151

Series 2018A, Rev., 5.00%, 7/1/2024		200		224

Industrial Development Authority of The County of Yavapai, Regional Medical Center

Rev., 5.00%, 8/1/2022		380		397

Rev., 5.00%, 8/1/2023		325		354

Maricopa County Industrial Development Authority, HonorHealth

Series 2021A, Rev., 5.00%, 9/10/2021		700		855

Series 2021A, Rev., 5.00%, 9/1/2024		175		200

Series 2021A, Rev., 5.00%, 9/1/2025		725		858

Maricopa County Pollution Control Corp., Public Service Co. of New Mexico Palo Verde Project Series 2010A, Rev., VRDO, 0.07%, 9/8/2021 (c)		15,000		15,000

Maricopa County School District No. 24 Gila Bend

GO, AGM, 4.00%, 7/1/2022		300		310

GO, AGM, 5.00%, 7/1/2023		700		760


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Arizona — continued

Maricopa County Unified School District No. 95, Queen Creek, School Improvement GO, 3.00%, 7/1/2024		525		565


Total Arizona				23,180


Arkansas — 0.1%

Arkansas Development Finance Authority, Department of Community Correction Project

Rev., 5.00%, 11/1/2021		310		312

Rev., 5.00%, 11/1/2022		410		433

City of Centerton, Green Bond Rev., 3.00%, 12/1/2021		125		126

City of Heber Springs, Water and Sewer, Green Bond

Rev., 3.00%, 11/1/2021		50		50

Rev., 3.00%, 11/1/2023		100		105

County of Sharp, Sales and Use Tax

Rev., 5.00%, 9/10/2021		495		507

Rev., 5.00%, 3/1/2023		540		575

University of Arkansas, Various Facility Fayetteville Campus Series 2018A, Rev., 5.00%, 11/1/2021		330		333

University of Central Arkansas, Student Fee

Series 2020A, Rev., 5.00%, 11/1/2021		150		151

Series 2020A, Rev., 5.00%, 11/1/2022		200		211

Series 2020A, Rev., 5.00%, 11/1/2023		205		225

Series 2020A, Rev., 5.00%, 11/1/2024		160		182

Series 2020A, Rev., 5.00%, 11/1/2025		230		271

Series 2020A, Rev., 5.00%, 11/1/2026		220		267

Series 2020A, Rev., 5.00%, 11/1/2027		200		249

University of Central Arkansas, Student Housing System

Series 2019C, Rev., AGM, 3.00%, 9/10/2021		85		88

Series 2019C, Rev., AGM, 3.00%, 11/1/2021		75		75

Series 2019C, Rev., AGM, 3.00%, 11/1/2023		135		142


Total Arkansas				4,302


California — 2.9%

California Educational Facilities Authority, University of Southern California Series 2015A, Rev., 5.00%, 10/1/2025 (d)		250		298

California Enterprise Development Authority, Riverside County, Library Facility Project

Rev., 4.00%, 11/1/2022		100		104

Rev., 4.00%, 11/1/2023		200		216


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

California Health Facilities Financing Authority, Adventist Health System Series 2011A, Rev., 3.00%, 3/1/2024 (c)		1,615		1,692

California Health Facilities Financing Authority, Stanford Health Clinic Series 2021A, Rev., 3.00%, 8/15/2025 (c)		20,000		22,105

California Infrastructure & Economic Development Bank Series 2018C, Rev., (SIFMA Municipal Swap Index Yield + 0.35%), 0.37%, 9/9/2021 (b)		19,250		19,289

California Infrastructure & Economic Development Bank, Green Bond Series 2021A, Rev., 5.00%, 6/1/2026		4,500		5,479

California Infrastructure and Economic Development Bank, The J. Paul Getty Trust Series 2013A-2, Rev., (ICE LIBOR USD 1 Month + 0.33%), 0.40%, 10/1/2021 (b)		6,750		6,751

California Municipal Finance Authority, California Lutheran University Rev., 5.00%, 10/1/2021		250		251

California Municipal Finance Authority, San Antonio Gardens Project

Rev., 4.00%, 11/15/2021		270		272

Rev., 4.00%, 11/15/2022		280		291

Rev., 4.00%, 11/15/2023		290		311

California Municipal Finance Authority, Solid Waste Disposal, Republic Services, Inc.

Rev., 0.16%, 9/1/2021		5,750		5,750

Series 2021A, Rev., AMT, 0.22%, 10/1/2021 (c)		25,000		25,001

Rev., AMT, 0.30%, 1/18/2022 (c)		11,000		11,001

California Municipal Finance Authority, UCR North District, Phase 1 Student Housing Project

Rev., 5.00%, 5/15/2023		360		389

Rev., 5.00%, 5/15/2024		300		338

Rev., 5.00%, 5/15/2025		425		496

Rev., 5.00%, 5/15/2026		500		601

Rev., 5.00%, 5/15/2027		725		894

California Pollution Control Financing Authority, American Water Capital Corp. Project Rev., 0.60%, 9/1/2023 (c)		1,850		1,851

California School Finance Authority, Green Dot Public School Projects Series 2018A, Rev., 5.00%, 8/1/2022 (e)		85		88

California School Finance Authority, Kipp Socal Projects

Series 2019A, Rev., 5.00%, 7/1/2022 (e)		100		104

Series 2019A, Rev., 5.00%, 7/1/2023 (e)		100		108


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

California Statewide Communities Development Authority, Multi-Family Housing, Washington Court Apartments Series 2021E, Rev., 0.22%, 8/1/2022 (c)		7,000		6,995

Chula Vista Elementary School District Rev., BAN, Zero Coupon, 8/1/2023		5,500		5,470

City of Tulare, Sewer System Series 2020A, Rev., 4.00%, 11/15/2021		110		111

Fairfax Elementary School District, Election of 2010 GO, AGM, 5.75%, 11/1/2021 (d)		750		757

Irvine Ranch Water District

Series 2011A-1, (SIFMA Municipal Swap Index Yield + 0.03%), 0.05%, 9/9/2021 (b)		10,000		9,998

Series 2011A-2, (SIFMA Municipal Swap Index Yield + 0.03%), 0.05%, 9/9/2021 (b)		7,100		7,098

Metropolitan Water District of Southern California, Waterworks Series 2018A-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/3/2021 (c)		5,500		5,500

Mount San Antonio Community College District GO, BAN, Zero Coupon, 4/1/2022 (d)		250		250

Port of Oakland, Intermediate Lien

Rev., AMT, 5.00%, 9/10/2021		2,750		2,838

Rev., AMT, 5.00%, 5/1/2023		3,500		3,780

Riverside County Asset Leasing Corp., Southwest Justice Center Series 2008A, Rev., VRDO, AGC, LOC: Wells Fargo Bank NA, 0.01%, 9/8/2021 (c)		2,580		2,580

Santa Clara County Financing Authority, El Camino Hospital Series 2009A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/8/2021 (c)		6,605		6,605

South Bay Union School District, San Diego County GO, BAN, Zero Coupon, 8/1/2022		2,000		1,992

Stockton Public Financing Authority

Series 2018A, Rev., 5.00%, 9/10/2021		450		452

Rev., 5.00%, 3/1/2023		360		382

Rev., 5.00%, 3/1/2025		570		647

Tender Option Bond Trust Receipts/Certificates Series 2018-XF2615, Rev., VRDO, LOC: Barclays Bank plc, 0.14%, 9/9/2021 (c) (e)		5,230		5,230


Total California				164,365


Colorado — 3.1%

Arapahoe County School District No. 5 Cherry Creek GO, 5.00%, 12/15/2028		6,460		8,418


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Colorado — continued

Arapahoe County School District No. 6 Littleton

Series 2019A, GO, 5.00%, 12/1/2021		2,585		2,617

Series 2019A, GO, 5.00%, 12/1/2022		1,370		1,453

City of Aurora, First Lien Water, Green Bonds Rev., 5.00%, 8/1/2023		2,355		2,572

City of Colorado Springs

COP, 5.00%, 9/10/2021		155		164

COP, 5.00%, 12/1/2021		145		147

COP, 5.00%, 12/1/2023		100		111

City of Colorado Springs, Utilities System Improvement

Series 2007A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/9/2021 (c)		4,825		4,825

Series 2012A, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/10/2021 (c)		3,410		3,410

Colorado Health Facilities Authority, Valley View Hospital Association Project Rev., 2.80%, 5/15/2023 (c)		1,470		1,513

Denver Health and Hospital Authority, 550 Acoma, Inc.

COP, 5.00%, 9/10/2021		295		312

COP, 5.00%, 12/1/2021		220		222

E-470 Public Highway Authority Series 2021B, Rev., (SOFR + 0.35%), 0.38%, 9/7/2021 (b)		5,000		5,008

Regional Transportation District, Denver Transit Partners

Rev., 3.00%, 7/15/2023		50		52

Rev., 5.00%, 1/15/2024		200		221

Rev., 5.00%, 7/15/2024		150		169

Rev., 5.00%, 1/15/2025		165		189

Rev., 5.00%, 7/15/2025		200		233

Rev., 3.00%, 1/15/2026		110		121

Rev., 5.00%, 7/15/2026		225		270

State of Colorado

Series 2020A, COP, 5.00%, 12/15/2023		2,500		2,775

Series 2020A, COP, 5.00%, 12/15/2024		2,085		2,406

University of Colorado Hospital Authority Series 2019A, Rev., VRDO, 0.01%, 9/10/2021 (c)		20,000		20,000

University of Colorado Hospital Authority, Health System

Series 2018 C, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/1/2021 (c)		43,250		43,250

Series 2018 B, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/10/2021 (c)		48,085		48,085


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

University of Colorado, Enterprise System Series 2020A-1, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (c)		24,000		24,000


Total Colorado				172,543


Connecticut — 2.4%

City of Derby

Series A, GO, 5.00%, 8/1/2022		75		78

Series A, GO, 5.00%, 8/1/2023		150		163

Series A, GO, 5.00%, 8/1/2024		85		97

City of Milford GO, BAN, 2.00%, 11/2/2021		20,485		20,552

City of New Britain

GO, 5.00%, 9/1/2022 (d)		50		52

GO, 5.00%, 9/1/2023 (d)		110		121

City of New Haven

Series 2019A, GO, 5.00%, 9/10/2021		1,000		1,039

Series 2019B, GO, 5.00%, 2/1/2022		700		712

Connecticut Housing Finance Authority, Housing Mortgage Finance Program

Series 2020C-3, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/9/2021 (c)		20,000		20,000

Series E, Subseries E-3, Rev., 1.63%, 9/10/2021 (c)		950		951

Rev., 0.38%, 11/15/2021 (c)		5,855		5,856

Connecticut State Health and Educational Facilities Authority, Covenant Home, Inc. Series 2018B, Rev., 5.00%, 12/1/2021		1,000		1,011

Connecticut State Health and Educational Facilities Authority, Hartford Healthcare Series 2020B-1, Rev., 5.00%, 1/1/2025 (c)		8,500		9,754

Connecticut State Health and Educational Facilities Authority, Stamford Hospital

Series L-1, Rev., 4.00%, 7/1/2022		500		515

Series L-1, Rev., 4.00%, 7/1/2023		275		293

Series L-1, Rev., 4.00%, 7/1/2024		300		330

Series L-1, Rev., 4.00%, 7/1/2025		300		339

Series L-1, Rev., 4.00%, 7/1/2026		350		405

Series L-1, Rev., 4.00%, 7/1/2027		350		413

Connecticut State Health and Educational Facilities Authority, University of New Haven Series K-1, Rev., 5.00%, 7/1/2022		675		699

New Canaan Housing Authority, Multi-Family Housing, Parish Project Rev., 0.44%, 3/1/2023 (c)		12,475		12,502

State of Connecticut

Series 2020C, GO, 4.00%, 9/10/2021		850		967

Series G, GO, 5.00%, 11/1/2021		200		202


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Connecticut — continued

Series 2020C, GO, 3.00%, 6/1/2022		1,000		1,022

Series 2021C, GO, 5.00%, 7/15/2022		20,000		20,854

Series 2020C, GO, 3.00%, 6/1/2023		600		630

Series 2020C, GO, 4.00%, 6/1/2023		400		427

Series 2020C, GO, 3.00%, 6/1/2024		1,065		1,147

Series 2020C, GO, 4.00%, 6/1/2024		500		552

Series 2020C, GO, 2.00%, 6/1/2025		3,350		3,563

State of Connecticut, Health and Educational Facility Authority, The Hotchkiss School Series 2000A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/9/2021 (c)		25,090		25,090

Town of South Windsor GO, BAN, 1.50%, 2/11/2022		3,000		3,019


Total Connecticut				133,355


Delaware — 0.1%

Delaware Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (c)		6,000		6,137

Delaware Municipal Electric Corp. (The), Middletown and Seaford Project

Series 2019A, Rev., 5.00%, 10/1/2021		145		146

Series 2019A, Rev., 5.00%, 10/1/2022		150		157

Series 2019A, Rev., 5.00%, 10/1/2023		220		242


Total Delaware				6,682


District of Columbia — 1.2%

District of Columbia, Carnegie Endowment for International Peace Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/9/2021 (c)		375		375

District of Columbia, Gallaudet University Project Rev., 5.00%, 9/10/2021		100		120

District of Columbia, Georgetown University Issue

Series 2017 B-1, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/9/2021 (c)		1,190		1,190

Series 2007B-2, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/10/2021 (c)		9,580		9,580

District of Columbia, International School Rev., 5.00%, 7/1/2022		500		518

District of Columbia, Kipp DC Project Rev., 5.00%, 9/10/2021		100		108

District of Columbia, Medlantic/Helix Issue, Tranche II

Series 1998A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/1/2021 (c)		2,660		2,660

Series 111-A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (c)		5,200		5,200


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

District of Columbia — continued

Metropolitan Washington Airports Authority Aviation

Series 2021A, Rev., AMT, 5.00%, 9/1/2021		5,865		6,931

Series 2010D, Rev., VRDO, AMT, LOC: Barclays Bank plc, 0.01%, 9/9/2021 (c)		18,025		18,025

Subseries C-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.01%, 9/10/2021 (c)		10,805		10,805

Series 2021A, Rev., AMT, 5.00%, 10/1/2023		3,500		3,849

Series 2021A, Rev., AMT, 5.00%, 10/1/2024		6,000		6,860


Total District of Columbia				66,221


Florida — 2.8%

City of Fort Myers, Subordinate Utility System

Series 2020B, Rev., AGM, 5.00%, 9/10/2021		5,100		6,024

Series 2020B, Rev., AGM, 5.00%, 10/1/2021		2,000		2,008

Series 2020B, Rev., AGM, 5.00%, 10/1/2022		2,000		2,103

Series 2020B, Rev., AGM, 5.00%, 10/1/2023		2,125		2,330

Series 2020B, Rev., AGM, 5.00%, 10/1/2024		2,355		2,686

Series 2020B, Rev., AGM, 5.00%, 10/1/2026		2,225		2,710

City of Gainesville, Utilities System Series B, Rev., VRDO, LIQ: Barclays Bank plc, 0.02%, 9/8/2021 (c)		10,200		10,200

City of Tallahassee, Energy System Rev., 5.00%, 10/1/2021		40		40

City of Tallahassee, Utility System

Rev., 5.00%, 10/1/2023		2,430		2,673

Rev., 5.00%, 10/1/2024		2,550		2,924

County of Escambia, International Paper Co. Project, Environmental Improvement Series 2019B, Rev., 2.00%, 10/1/2024 (c)		775		814

County of Miami-Dade, Aviation

Series 2020A, Rev., 5.00%, 9/10/2021		2,400		2,746

Series 2020A, Rev., 5.00%, 10/1/2023		2,500		2,750

Series 2020A, Rev., 5.00%, 10/1/2025		1,375		1,629

County of Miami-Dade, Seaport Department Series A, Rev., VRDO, LOC: PNC Bank NA, 0.01%, 9/9/2021 (c)		2,400		2,400

County of Miami-Dade, Stormwater Project Rev., 5.00%, 4/1/2026		2,000		2,414


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

County of Okeechobee, Solid Waste Disposal, Waste Management, Inc., Okeechobee Landfill Project Rev., 0.55%, 7/1/2024 (c)		2,250		2,255

Escambia County School Board Series 2020A, COP, 5.00%, 2/1/2026		1,895		2,250

Florida Department of Management Services Series 2018A, COP, 5.00%, 11/1/2021		215		217

Florida Governmental Utility Authority Rev., AGM, 5.00%, 7/1/2025 (d)		200		236

Florida Higher Educational Facilities Financial Authority, Florida Institute of Technology Rev., 5.00%, 10/1/2021		115		115

Florida Higher Educational Facilities Financial Authority, Ringling College Project

Rev., 4.00%, 3/1/2022		55		56

Rev., 5.00%, 3/1/2023		185		197

Rev., 5.00%, 3/1/2024		110		121

Florida Higher Educational Facilities Financial Authority, St. Leo University Project

Rev., 5.00%, 3/1/2022		355		362

Rev., 5.00%, 3/1/2023		410		435

Highlands County Health Facilities Authority, Adventist Health System Series 2012I, Rev., VRDO, 0.02%, 9/9/2021 (c)		12,945		12,945

JEA Water and Sewer System

Series Sub Series B-1, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (c)		9,980		9,980

Series A-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/10/2021 (c)		38,670		38,670

Lee Memorial Health System

Series 2019A-1, Rev., 5.00%, 4/1/2022		750		771

Series 2019A-1, Rev., 5.00%, 4/1/2023		400		430

Series 2019A-1, Rev., 5.00%, 4/1/2024		575		642

Miami-Dade County Industrial Development Authority, Solid Waste Disposal, Waste Management, Inc. of Florida Project

Series 2018B, Rev., AMT, (SIFMA Municipal Swap Index Yield + 0.38%), 0.39%, 9/9/2021 (b)		10,500		10,500

Rev., AMT, 0.40%, 8/1/2023		2,600		2,598

Orange County Health Facilities Authority, The Nemours Foundation Project Series B, Rev., VRDO, LOC: Northern Trust Co., 0.01%, 9/9/2021 (c)		775		775

Orlando Utilities Commission, Utility System Series B, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (c)		22,400		22,400


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

School Board of Miami-Dade County (The) Series 2014D, COP, 5.00%, 11/1/2021		450		454

Village Community Development District No. 13 Special Assessment Rev., 2.63%, 5/1/2024		380		389

West Palm Beach Community Redevelopment Agency, City Center Community Redevelopment Area

Rev., 5.00%, 3/1/2023		1,335		1,430

Rev., 5.00%, 3/1/2024		1,160		1,292


Total Florida				155,971


Georgia — 0.9%

City of Atlanta, Department of Aviation

Series 2020A, Rev., 5.00%, 7/1/2024		2,000		2,270

Series 2020B, Rev., AMT, 5.00%, 7/1/2024		1,170		1,325

Series 2020B, Rev., AMT, 5.00%, 7/1/2025		1,800		2,116

Series 2020A, Rev., 5.00%, 7/1/2026		4,000		4,870

Series 2020B, Rev., AMT, 5.00%, 7/1/2026		2,000		2,423

Clarke County Board of Education, Sales Tax GO, 5.00%, 9/1/2021		30		30

Dahlonega Downtown Development Authority, North Georgia MAC, LLC Project Rev., 5.00%, 7/1/2022		300		312

Georgia State Road and Tollway Authority

Rev., 5.00%, 6/1/2022		5,000		5,182

Rev., 5.00%, 6/1/2023		4,000		4,339

Main Street Natural Gas, Inc., Gas Supply

Series 2021C, Rev., 4.00%, 12/1/2022		400		419

Series 2021C, Rev., 4.00%, 12/1/2023		750		812

Series 2019A, Rev., 5.00%, 5/15/2024		1,500		1,685

Series 2021C, Rev., 4.00%, 12/1/2024		750		836

Municipal Electric Authority of Georgia, Project One Series 2008-B, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (c)		4,255		4,255

Paulding County School District, Sales Tax GO, 3.00%, 8/1/2022		1,500		1,540

Private Colleges and Universities Authority, Emory University

Series B, Rev., 5.00%, 10/1/2021		310		311

Series 2020B, Rev., 5.00%, 9/1/2025		13,345		15,821

Richmond County Hospital Authority, University Health Services, Inc., Project Rev., 5.00%, 1/1/2022		100		102

Savannah Economic Development Authority, International Paper Co. Project Series 2019A, Rev., 2.00%, 10/1/2024 (c)		1,675		1,759


Total Georgia				50,407


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Idaho — 0.0% (f)

University of Idaho

Series 2020A, Rev., 5.00%, 4/1/2022		165		170

Series 2020A, Rev., 5.00%, 4/1/2023		355		382

Series 2020A, Rev., 5.00%, 4/1/2024		315		353

Series 2020A, Rev., 5.00%, 4/1/2025		330		383


Total Idaho				1,288


Illinois — 3.7%

Carol Stream Park District

Series 2020C, GO, 4.00%, 11/1/2024		210		232

Series 2020C, GO, 4.00%, 11/1/2025		405		458

Series 2020C, GO, 4.00%, 11/1/2026		535		617

Champaign Coles Et Al Counties Community College District No. 505

Series 2018B, GO, 4.00%, 12/1/2021		2,500		2,524

Series 2018C, GO, 4.00%, 12/1/2021		465		469

Champaign County Community Unit School District No. 4 Champaign, Capital Appreciation

Series 2020A, GO, Zero Coupon, 1/1/2022		200		200

Series 2020A, GO, Zero Coupon, 1/1/2023		200		199

Series 2020A, GO, Zero Coupon, 1/1/2024		385		380

Chicago Midway International Airport, Second Lien Series 2014B, Rev., 5.00%, 1/1/2023		150		160

Chicago O’Hare International Airport, General Airport, Senior Lien

Series 2020B, Rev., 5.00%, 1/1/2024		500		556

Series 2020B, Rev., 5.00%, 1/1/2026		1,250		1,493

Chicago Park District, Unlimited Tax, Personal Property Replacement Tax Alternate Series 2011C, GO, 5.00%, 1/1/2022		175		178

Chicago Park District, Unlimited Tax, Special Recreation Activity Series 2018E, GO, 5.00%, 11/15/2021		300		303

Chicago Transit Authority Capital Grant Receipts

Rev., 5.00%, 6/1/2022		800		828

Rev., 5.00%, 6/1/2023		700		756

Rev., 5.00%, 6/1/2024		600		675

Rev., 5.00%, 6/1/2027		3,500		4,334

City of Aurora

Series 2019A, GO, 4.00%, 12/30/2021		470		476

Series 2019A, GO, 4.00%, 12/30/2022		1,525		1,601

Series 2019A, GO, 4.00%, 12/30/2023		1,595		1,732

Series 2019A, GO, 4.00%, 12/30/2024		1,655		1,850

City of Danville

GO, 2.00%, 12/1/2021		255		255


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

GO, 3.00%, 12/1/2022		140		144

GO, 4.00%, 12/1/2023		145		156

City of Elgin

Series 2020A, GO, 2.00%, 12/15/2021		230		231

Series 2020A, GO, 3.00%, 12/15/2022		1,480		1,534

Series 2020A, GO, 3.00%, 12/15/2023		1,025		1,089

City of Rock Island

Series A, GO, AGM, 3.00%, 12/1/2021		130		131

Series B, GO, AGM, 3.00%, 12/1/2021		200		201

City of Rockford, Sales Tax

Series 2019A, GO, AGM, 4.00%, 12/15/2021		130		131

Series 2019A, GO, AGM, 4.00%, 12/15/2022		135		141

Series 2019A, GO, AGM, 4.00%, 12/15/2023		140		152

City of Waukegan Series A, GO, AGM, 4.00%, 12/30/2023		525		566

Clay Wayne & Marion Counties Community Unit School District No. 35

GO, AGM, 5.00%, 12/1/2021		205		207

GO, AGM, 5.00%, 12/1/2022		165		174

GO, AGM, 5.00%, 12/1/2023		175		193

Cook County Community College District No. 508, Unlimited Tax GO, 5.25%, 12/1/2029		250		275

Cook County Community Consolidated School District No. 146, Tinley Park, Limited Tax GO, 4.00%, 12/1/2021		200		202

Cook County Community Consolidated School District No. 34, Glenview, Limited Tax

GO, 4.00%, 12/1/2021		175		177

GO, 4.00%, 12/1/2022		150		157

GO, 4.00%, 12/1/2023		150		162

Cook County Community School District No. 97, Oak Park

GO, 4.00%, 1/1/2022		400		405

GO, 4.00%, 1/1/2023		300		315

GO, 4.00%, 1/1/2024		275		298

Cook County Community Unit School District No. 401, Elmwood Park GO, 4.00%, 12/1/2023		3,440		3,473

Cook County High School District No. 207 Maine Township

Series 2019A, GO, 4.00%, 12/1/2021		8,330		8,409

Series 2019B, GO, 3.50%, 12/1/2022		325		339


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Cook County School District No. 100, South Berwyn

Series 2019A, GO, 4.00%, 12/1/2021		100		101

Series 2019C, GO, 4.00%, 12/1/2021		165		166

Series 2019A, GO, 4.00%, 12/1/2022		235		245

Series 2019C, GO, 4.00%, 12/1/2022		605		630

Series 2019A, GO, 5.00%, 12/1/2023		345		378

Series 2019C, GO, 5.00%, 12/1/2023		660		723

Cook County School District No. 102, La Grange, Limited Tax

GO, AGM, 4.00%, 12/15/2021		840		849

GO, AGM, 4.00%, 12/15/2022		825		863

GO, AGM, 4.00%, 12/15/2023		825		893

GO, AGM, 4.00%, 12/15/2024		930		1,036

GO, AGM, 4.00%, 12/15/2025		985		1,125

Cook County School District No. 109, Indian Springs, Limited Tax

Series 2020A, GO, 4.00%, 12/1/2023		125		135

Series 2020A, GO, 4.00%, 12/1/2024		400		445

Cook County School District No. 145, Arbor Park

Series 2019B, GO, 4.00%, 12/1/2021		150		151

Series 2019D, GO, 4.00%, 12/1/2023		110		119

Cook County School District No. 148, Dolton

Series 2018A, GO, 5.00%, 12/1/2021		450		455

Series 2018A, GO, 5.00%, 12/1/2022		725		763

Cook County School District No. 151, South Holland, Limited Tax GO, 4.00%, 4/1/2022		190		194

Cook County School District No. 160, Country Club Hills

Series 2020A, GO, 4.00%, 12/1/2021		250		252

Series 2020A, GO, 4.00%, 12/1/2022		510		531

Series 2020A, GO, 4.00%, 12/1/2023		285		308

Series 2020A, GO, 4.00%, 12/1/2024		255		284

Cook County School District No. 160, Country Club Hills, Limited Tax

Series 2020B, GO, 4.00%, 12/1/2022		180		188

Series 2020B, GO, 4.00%, 12/1/2023		100		108

Series 2020B, GO, 4.00%, 12/1/2024		100		111

Cook County School District No. 63, East Maine, Limited Tax

GO, 5.00%, 12/1/2021		1,845		1,867

GO, 5.00%, 12/1/2022		1,935		2,037


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Cook County School District No. 69, Skokie, Limited Tax

GO, 4.00%, 12/1/2024		315		351

GO, 4.00%, 12/1/2025		460		525

Cook County School District No. 89, Maywood, Maywood-Melrose Park-Broadview, Limited Tax

Rev., AGM, 4.00%, 12/15/2021		515		520

Rev., AGM, 4.00%, 12/15/2022		535		557

Rev., AGM, 4.00%, 12/15/2023		555		600

Rev., AGM, 4.00%, 12/15/2024		580		646

Cook County School District No. 99 Cicero, Limited Tax

Series 2019B, GO, 5.00%, 12/1/2022		350		369

Series 2019B, GO, 5.00%, 12/1/2023		575		630

Cook County Township High School District No. 225, Glenbrook

GO, 5.00%, 12/1/2025		2,795		3,331

GO, 5.00%, 12/1/2026		2,565		3,157

Cook County, Proviso Township High School District No. 209, Limited Tax GO, 5.00%, 12/1/2021		2,825		2,858

County of Cook

GO, 5.00%, 11/15/2021		700		706

Series A, GO, 5.00%, 11/15/2021		355		359

Series C, GO, 5.00%, 11/15/2022		180		191

County of Will

GO, 5.00%, 11/15/2021		270		273

GO, 5.00%, 11/15/2022		475		503

GO, 5.00%, 11/15/2023		525		581

Du Page and Will Counties Community School District No. 204 Indian Prairie GO, 4.00%, 12/30/2025		1,710		1,967

Du Page Cook and Will Counties Community College District No. 502 GO, 5.00%, 6/1/2027		4,515		5,634

DuPage County Community High School District No. 94 West Chicago GO, 4.00%, 1/1/2033		10		11

DuPage County High School District No. 87 Glenbard GO, 3.00%, 10/1/2022		1,500		1,547

DuPage County School District No. 10 Itasca

GO, 5.00%, 1/1/2023		1,040		1,107

GO, 5.00%, 1/1/2024		1,090		1,210

Flagg-Rochelle Community Park District

Series A, GO, AGM, 4.00%, 1/1/2022		210		213

Series A, GO, AGM, 4.00%, 1/1/2023		220		230

Series A, GO, AGM, 4.00%, 1/1/2024		225		242


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Grundy County School District No. 54 Series 2011A, GO, AGM, 7.25%, 12/1/2021		710		722

Hoffman Estates Park District

Series 2019A, GO, 4.00%, 12/1/2021		135		136

Series 2019B, GO, 4.00%, 12/1/2023		245		266

Illinois Finance Authority, Advocate Health Care Network Series 2008C-3A, Rev., VRDO, LIQ: Northern Trust Co., 0.02%, 9/10/2021 (c)		2,650		2,650

Illinois Finance Authority, Edward Health Obligated Group Series 2008C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (c)		3,625		3,625

Illinois Finance Authority, Local Government Program, East Prairie School District Number 73 Project Rev., 5.00%, 9/10/2021		250		253

Illinois Finance Authority, Mccormick Theological Series 2001B, Rev., VRDO, LOC: Northern Trust Co., 0.02%, 9/8/2021 (c)		15,250		15,250

Illinois Finance Authority, Northshore University Health System

Series 2020A, Rev., 5.00%, 9/10/2021		1,250		1,478

Series 2020A, Rev., 5.00%, 8/15/2022		750		785

Series 2020A, Rev., 5.00%, 8/15/2023		500		547

Series 2020A, Rev., 5.00%, 8/15/2024		1,000		1,140

Illinois Finance Authority, Northwestern University Series 2008-B, Rev., VRDO, 0.01%, 9/8/2021 (c)		3,425		3,425

Illinois Finance Authority, OSF Healthcare System

Rev., 5.00%, 11/15/2024 (c)		3,000		3,372

Rev., 5.00%, 11/15/2026 (c)		4,000		4,789

Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.70%), 0.72%, 9/10/2021 (b)		1,125		1,128

Illinois Finance Authority, The University of Chicago Series 2004B, Rev., VRDO, 0.02%, 9/9/2021 (c)		14,369		14,369

Illinois Finance Authority, Water Facilities, American Water Capital Corp. Project Rev., 0.70%, 9/1/2023 (c)		2,800		2,805

Illinois Finance Authority, Wesleyan University Rev., 5.00%, 9/1/2022		560		585

Illinois Housing Development Authority Series 2019A, Rev., FHA, 1.60%, 1/1/2023 (c)		5,600		5,619

Illinois Municipal Electric Agency, Power Supply System Series 2015A, Rev., 5.00%, 2/1/2022		1,250		1,275


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Kane County School District No. 131 Aurora East Side

Series 2020A, GO, AGM, 3.00%, 12/1/2021		175		176

Series 2020B, GO, AGM, 3.00%, 12/1/2021		255		257

Series 2020A, GO, AGM, 4.00%, 12/1/2022		120		125

Series 2020B, GO, AGM, 4.00%, 12/1/2022		220		229

Series 2020A, GO, AGM, 5.00%, 12/1/2023		145		159

Series 2020B, GO, AGM, 5.00%, 12/1/2023		235		258

Series 2020A, GO, AGM, 5.00%, 12/1/2024		240		273

Series 2020A, GO, AGM, 5.00%, 12/1/2025		55		64

Series 2020B, GO, AGM, 5.00%, 12/1/2025		115		135

Kendall Kane and Will Counties Community Unit School District No. 308

Series B, GO, 5.00%, 9/10/2021		1,375		1,440

Series B, GO, 4.00%, 10/1/2021		255		256

La Grange Park District Series 2012B, GO, 5.00%, 12/1/2021		415		420

Lake County School District No. 70 Libertyville, Debt Certificates Rev., 4.00%, 1/1/2023		300		315

Lee and Ogle Counties School District No. 170 Dixon

Series 2019A, GO, AGM, 3.00%, 1/30/2022		160		162

Series 2019B, GO, AGM, 3.00%, 1/30/2022		245		248

Series 2019A, GO, AGM, 3.00%, 1/30/2023		170		177

Series 2019B, GO, AGM, 3.00%, 1/30/2023		255		264

Lincoln Land Community College District No. 526 GO, 5.00%, 12/15/2021		125		127

Madison-Macoupin Etc. Counties Community College District No. 536, Lewis and Clark Community

GO, AGM, 4.00%, 5/1/2022		750		768

GO, AGM, 4.00%, 5/1/2023		700		740

Peoria Public Building Commission

Series A, Rev., AGM, 3.00%, 12/1/2022		75		77

Series A, Rev., AGM, 4.00%, 12/1/2024		655		724

Sangamon County Community Unit School District No. 5, Ball-Chatham

Series B, GO, 5.00%, 1/1/2022		1,650		1,676

GO, 4.00%, 2/1/2023		2,015		2,121

Sangamon Menard Etc Counties Community School District No. 8 Pleasant Plains

Series 2019C, GO, 4.00%, 9/10/2021		165		167

Series 2019C, GO, 4.00%, 1/1/2023		310		324

Series 2019C, GO, 4.00%, 1/1/2024		370		399

St. Charles Public Library District, Limited Tax

Rev., 3.00%, 11/1/2021		85		85

Rev., 4.00%, 11/1/2022		100		104


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

State of Illinois

GO, 5.00%, 2/1/2024		3,370		3,740

GO, 5.50%, 5/1/2025		2,500		2,941

GO, 5.50%, 5/1/2026		5,000		6,062

State of Illinois Sales Tax Rev., 5.00%, 6/15/2023		990		1,074

University of Illinois, Auxiliary Facilities System Series A, Rev., 5.00%, 9/10/2021		2,500		2,686

University of Illinois, Health Services System Series 2008, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (c)		2,550		2,550

Village of Arlington Heights

GO, 4.00%, 12/1/2023		1,130		1,222

GO, 4.00%, 12/1/2024		1,175		1,310

GO, 4.00%, 12/1/2025		695		796

Village of Bartlett

GO, 5.00%, 12/1/2021		980		992

GO, 5.00%, 12/1/2022		1,065		1,130

GO, 5.00%, 12/1/2023		1,130		1,245

Village of Bolingbrook Series 2013A, GO, Zero Coupon, 7/1/2023 (d)		10,000		5,484

Village of Flossmoor GO, 3.00%, 12/1/2021		605		609

Village of Gilberts GO, 4.00%, 12/1/2021		225		227

Village of Hoffman Estates GO, 5.00%, 12/1/2021		210		213

Village of Midlothian

Series 2019A, GO, 4.00%, 1/1/2023		190		199

Series 2019A, GO, 4.00%, 1/1/2024		120		130

Village of Villa Park

Series 2018C, GO, 4.00%, 12/15/2021		505		510

Series B, GO, 4.00%, 12/15/2021		190		192

Series B, GO, 4.00%, 12/15/2022		200		210

Series B, GO, 4.00%, 12/15/2023		205		222

Village of Villa Park, Sales Tax Series A, GO, 4.00%, 12/15/2023		125		135

Washington County Community Unit School District No. 10 West Washington

GO, 4.00%, 1/15/2022		575		583

GO, 4.00%, 1/15/2023		685		716

Whiteside County Community Unit School District No. 6 Morrison Series A, GO, AGM, 4.00%, 12/1/2021		745		752

Will County Community High School District No. 210 Lincoln-Way GO, AGM, 4.00%, 1/1/2022		1,000		1,012


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Will County Township High School District No. 204 Joliet, Limited Tax GO, 4.00%, 1/1/2023		125		131

Will County, Community Consolidated School District No. 70-C Laraway, Lease Certificates Series A, Rev., AGM, 4.00%, 12/1/2021		400		404

Will Grundy Etc Counties Community College District No. 525, Joliet Junior College

GO, 5.00%, 1/1/2022		5,275		5,357

GO, 5.00%, 1/1/2023		5,495		5,836

GO, 5.00%, 1/1/2024		2,600		2,885


Total Illinois				210,857


Indiana — 1.4%

Brownsburg 1999 School Building Corp. Rev., BAN, 1.50%, 5/13/2022 (e)		2,000		2,002

City of Evansville, Sewage Works Rev., 4.00%, 7/1/2026		3,710		4,298

City of Rockport, AEP Generating Co. Project

Series A, Rev., 1.35%, 9/1/2022 (c)		2,000		2,021

Series B, Rev., 1.35%, 9/1/2022 (c)		2,250		2,274

City of Rockport, Indiana Michigan Power Co. Project Series 2009B, Rev., 3.05%, 6/1/2025		6,500		7,134

Fort Wayne Community School Building Corp., Indiana Unlimited Ad Valorem Property Tax, First Mortgage

Rev., 4.00%, 1/15/2022		250		254

Rev., 4.00%, 7/15/2022		125		129

Fort Wayne Community Schools GO, 4.00%, 1/15/2022		755		766

Gary Community School Building Corp., Ad Valorem Property Tax First Mortgage

Series 2020B, Rev., 4.00%, 1/15/2022		150		152

Series 2020B, Rev., 4.00%, 7/15/2022		165		170

Series 2020B, Rev., 4.00%, 1/15/2023		165		173

Series 2020B, Rev., 4.00%, 7/15/2023		185		197

Series 2020B, Rev., 4.00%, 7/15/2025		215		241

Series 2020B, Rev., 4.00%, 1/15/2026		220		250

Series 2020B, Rev., 4.00%, 7/15/2026		235		269

Indiana Finance Authority, Butler University Project

Rev., 3.00%, 2/1/2022		210		212

Rev., 3.00%, 2/1/2023		225		234

Indiana Finance Authority, Goshen Health Series B, Rev., 2.10%, 11/1/2026 (c)		2,700		2,848

Indiana Finance Authority, Indianapolis Power and Light Co. Project Series 2021B, Rev., 0.65%, 9/10/2021		4,500		4,492


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

Indiana Finance Authority, Marian University Project

Series A, Rev., 5.00%, 9/15/2021		60		60

Series A, Rev., 5.00%, 9/15/2022		50		52

Series A, Rev., 5.00%, 9/15/2023		75		81

Series A, Rev., 5.00%, 9/15/2024		155		175

Indiana Finance Authority, Trinity Health Credit Group Series 2008D-1, Rev., VRDO, 0.02%, 9/10/2021 (c)		2,295		2,295

Indiana Health Facility Financing Authority, Ascension Health Credit Group

Series E-6, Rev., VRDO, 0.01%, 9/8/2021 (c)		3,000		3,000

Series 2001A-2, Rev., 2.00%, 9/10/2021 (c) (d)		125		128

Series 2001A-2, Rev., 2.00%, 2/1/2023 (c)		24,875		25,463

Indiana State Finance Authority, Lease Appropriation, Stadium Project Series 2008A, Rev., VRDO, 0.02%, 9/9/2021 (c)		6,620		6,620

Metropolitan School District of Southwest Allen County

Series 2019B, GO, 4.00%, 1/15/2022		100		101

Series 2019B, GO, 4.00%, 7/15/2022		590		610

Series 2019B, GO, 4.00%, 1/15/2023		520		547

Series 2019B, GO, 4.00%, 7/15/2023		485		519

Series 2019B, GO, 4.00%, 1/15/2024		575		626

Metropolitan School District Washington Township GO, 4.00%, 1/15/2022		590		598

North Putnam Middle School Building Corp., Ad Valorem Property Tax, First Mortgage

Rev., 3.00%, 1/15/2022		250		252

Rev., 3.00%, 7/15/2022		150		154

Purdue University, Student Facilities System Series 2007C, Rev., VRDO, 0.01%, 9/8/2021 (c)		6,460		6,460

Tippecanoe County School Building Corp., Ad Valorem Property Tax First Mortgage

Rev., 4.00%, 1/15/2022		365		370

Rev., 4.00%, 7/15/2022		275		284

Rev., 4.00%, 1/15/2023		300		316

Rev., 4.00%, 7/15/2023		380		407

Town of Schererville, Sewage Works

Rev., 4.00%, 3/1/2022		75		76

Rev., 4.00%, 3/1/2023		75		79

Rev., 4.00%, 3/1/2024		110		120


Total Indiana				77,509


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Iowa — 0.5%

City of Altoona

Series 2020A, COP, 4.00%, 6/1/2022		225		231

Series 2020A, COP, 4.00%, 6/1/2023		275		294

City of Coralville Series 2016E, COP, 4.00%, 6/1/2023		325		337

City of Iowa Falls, Capital Lien GO, 3.00%, 6/1/2023		230		240

County of Plymouth GO, AGM, 3.00%, 6/1/2022		290		296

Iowa Finance Authority, Health System Rev., (SIFMA Municipal Swap Index Yield + 0.58%), 0.60%, 9/9/2021 (b) (e)		18,650		18,649

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/10/2021 (c)		8,500		8,500

North Polk Community School District, Services and Use Tax Series 2020B, Rev., 4.00%, 6/1/2022		450		463


Total Iowa				29,010


Kansas — 0.5%

Arkansas City Public Building Commission Rev., 3.00%, 9/1/2021		175		175

City of Manhattan, Temporary Notes GO, 1.50%, 6/15/2022		5,815		5,820

Johnson County Park and Recreation District

Series 2019B, COP, 3.00%, 9/1/2021		255		255

Series 2019A, COP, 5.00%, 9/1/2021		240		240

Series 2019B, COP, 3.00%, 9/1/2022		200		203

Series 2019A, COP, 5.00%, 9/1/2022		250		258

Series 2019B, COP, 3.00%, 9/1/2023		200		210

Series 2019A, COP, 5.00%, 9/1/2023		125		136

Kansas City, Kansas Community College

Series 2020A, COP, 4.00%, 4/1/2022		600		613

Series 2020A, COP, 4.00%, 4/1/2023		800		846

Series 2020A, COP, 4.00%, 4/1/2024		500		545

Kansas Development Finance Authority, State of Kansas Project

Series 2020R, Rev., 5.00%, 11/1/2021		6,960		7,016

Series 2020R, Rev., 5.00%, 11/1/2024		2,255		2,591

Series 2020R, Rev., 5.00%, 11/1/2025		3,570		4,242

Sedgwick County Unified School District No. 265 Goddard

Series 2020A, GO, 3.00%, 10/1/2021		275		276

Series 2020A, GO, 3.00%, 10/1/2022		295		304

Series 2020A, GO, 3.00%, 10/1/2023		350		370

Series 2020A, GO, 3.00%, 10/1/2024		1,050		1,135


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Kansas — continued

Sedgwick County Unified School District No. 267 Renwick

Series 2019A, GO, 3.00%, 11/1/2022		100		103

Series 2019A, GO, 3.00%, 11/1/2023		100		106

Wyandotte County Unified School District No. 202 Turner

Series 2019A, GO, AGM, 2.00%, 9/1/2021		200		200

Series 2019A, GO, AGM, 3.00%, 9/1/2022		125		128

Series 2019A, GO, AGM, 3.00%, 9/1/2023		400		420

Series 2019A, GO, AGM, 3.00%, 9/1/2024		400		430


Total Kansas				26,622


Kentucky — 1.3%

City of Ashland, Ashland Hospital Corp. DBA King’s Daughters Medical Center

Rev., 5.00%, 2/1/2022		500		509

Rev., 5.00%, 2/1/2023		600		639

Rev., 5.00%, 2/1/2024		575		636

City of Hazard, Appalachian Regl Healthcare, Inc. Rev., 5.00%, 7/1/2027		600		743

County of Owen, Water Facilities, Kentucky-American Water Co. Project Rev., 0.70%, 9/1/2023 (c)		2,500		2,503

Kentucky Asset Liability Commission

Series 2021A, Rev., 4.00%, 11/1/2021		3,475		3,497

Series 2021A, Rev., 5.00%, 11/1/2022		4,500		4,758

Series 2021A, Rev., 5.00%, 11/1/2023		2,500		2,754

Series 2021A, Rev., 5.00%, 11/1/2024		2,500		2,861

Series 2021A, Rev., 5.00%, 11/1/2025		3,000		3,548

Kentucky Asset Liability Commission, Federal Highway Trust Fund Series 2020A, Rev., 5.00%, 9/1/2022		3,250		3,407

Kentucky Housing Corp., BTT Development III Portfolio Rev., 1.40%, 6/1/2022 (c)		3,315		3,343

Kentucky Public Energy Authority, Gas Supply

Series A, Rev., 4.00%, 4/1/2022		1,210		1,237

Series A, Rev., 4.00%, 4/1/2024 (c)		18,685		20,334

Kentucky State Property and Building Commission, Project No. 125

Series A, Rev., 5.00%, 3/1/2022		5,500		5,634

Series A, Rev., 5.00%, 9/1/2022		3,000		3,147

Kentucky State Property and Buildings Commission, Project No. 110 Rev., 5.00%, 8/1/2024		85		96

Louisville and Jefferson County Metropolitan Government, Louisville Gas and Electric Co. Project Series 2020A, Rev., 0.90%, 9/10/2021		5,000		4,995


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Kentucky — continued

Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2011A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (c)		1,700		1,700

Louisville Regional Airport Authority, Airport System Series A, Rev., AMT, 5.00%, 7/1/2022		1,000		1,039

Paducah Electric Plant Board

Rev., 5.00%, 10/1/2021		2,300		2,309

Rev., 5.00%, 10/1/2022		2,000		2,097

Rev., 5.00%, 10/1/2023		2,000		2,184


Total Kentucky				73,970


Louisiana — 3.0%

Calcasieu Parish School District No. 23, Public School Improvement

GO, 5.00%, 9/1/2023		180		196

GO, 5.00%, 9/1/2024		250		284

Calcasieu Parish School District No. 34 GO, AGM, 3.00%, 1/15/2022		520		525

City of Shreveport, Water and Sewer Improvement GO, 5.00%, 9/1/2021		145		145

City of Shreveport, Water and Sewer, Junior Lien

Series 2019B, Rev., AGM, 4.00%, 12/1/2023		310		335

Series 2019B, Rev., AGM, 5.00%, 12/1/2024		225		258

City of Youngsville, Sales Tax Rev., 3.00%, 12/1/2021		255		257

Louisiana Local Government Environmental Facilities and Community Development Authority, East Ascension Consolidated Gravity Drainage District No. 1 Rev., 5.00%, 12/1/2025		715		847

Louisiana Local Government Environmental Facilities and Community Development Authority, East Baton Rouge Sewerage Commission Projects Rev., 5.00%, 2/1/2023 (d)		3,000		3,206

Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2021		1,500		1,506

Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Project Rev., (SIFMA Municipal Swap Index Yield + 0.65%), 0.67%, 9/9/2021 (b)		40,000		40,090


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Louisiana — continued

Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2025 (c)		8,410		9,773

Louisiana Public Facilities Authority, Tulane University Project

Series 2020A, Rev., 5.00%, 4/1/2025		60		70

Series 2020A, Rev., 5.00%, 4/1/2026		100		120

Louisiana Stadium and Exposition District Rev., BAN, 4.00%, 7/3/2023		3,325		3,505

Parish of St. Charles, Pollution Control, Shell Oil Co., Norco Project Series B, Rev., VRDO, 0.01%, 9/10/2021 (c)		150		150

Parish of St. John the Baptist, Marathon Oil Corp. Project

Subseries 2017B-1, Rev., 2.13%, 7/1/2024 (c)		18,000		18,722

Subseries 2017B-2, Rev., 2.37%, 7/1/2026 (c)		12,800		13,622

State of Louisiana Gasoline and Fuels Tax, Second Lien

Series 2017D, Rev., 0.55%, 5/1/2022 (c)		16,035		16,040

Series 2017A, Rev., 0.60%, 5/1/2023 (c)		60,000		60,060

Zachary Community School District No. 1

GO, 3.00%, 3/1/2022		685		694

GO, 3.00%, 3/1/2023		715		744


Total Louisiana				171,149


Maine — 0.0% (f)

Maine Health and Higher Educational Facilities Authority, Mainehealth Series 2020A, Rev., 5.00%, 7/1/2026		250		302


Maryland — 1.6%

County of Calvert, Consolidated Public Improvement

GO, 4.00%, 9/10/2021		2,245		2,561

GO, 4.00%, 7/1/2022		1,940		2,003

GO, 4.00%, 7/1/2023		2,070		2,218

GO, 4.00%, 7/1/2024		2,010		2,227

County of Montgomery, Public Improvement Series 2020B, GO, 4.00%, 11/1/2024		1,000		1,119

County of Montgomery, Trinity Health Credit Group Series 2013MD, Rev., VRDO, 0.08%, 9/10/2021 (c)		24,500		24,500

Maryland Health and Higher Educational Facilities Authority, Anne Arundel Health System Issue Series 2009-B, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/10/2021 (c)		1,900		1,900


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Maryland — continued

Maryland Health and Higher Educational Facilities Authority, Pooled Loan Program

Series 1985A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/10/2021 (c)		5,400		5,400

Series B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/10/2021 (c)		16,915		16,915

Maryland Stadium Authority, Sports Facilities, Football Stadium Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.01%, 9/10/2021 (c)		19,335		19,335

State of Maryland, State and Local Facilities Loan of 2017 Series 2017B, GO, 5.00%, 8/1/2025		2,825		3,341

Washington Suburban Sanitary Commission, Multi-Modal Bond Series A-2, Rev., VRDO, BAN, GTD, LIQ: TD Bank NA, 0.01%, 9/8/2021 (c)		7,500		7,500


Total Maryland				89,019


Massachusetts — 2.7%

City of Boston Series 2020D, GO, 5.00%, 3/1/2024		2,335		2,617

City of Everett, Anticipation Notes GO, BAN, 2.00%, 2/11/2022		10,500		10,590

City of New Bedford GO, BAN, 2.00%, 4/15/2022		9,245		9,356

Commonwealth of Massachusetts Series A, GO, (ICE LIBOR USD 3 Month + 0.55%), 0.63%, 11/1/2021 (b)		30,000		30,139

Commonwealth of Massachusetts, Consolidated Loan of 2014 Subseries D-2, GO, 1.70%, 8/1/2022 (c)		5,500		5,577

Massachusetts Bay Transportation Authority, Sales Tax Series 2018A-2, Rev., VRDO, LIQ: State Street Bank & Trust, 0.01%, 9/8/2021 (c)		3,355		3,355

Massachusetts Development Finance Agency, Northeastern University Issue

Series 2020A, Rev., 5.00%, 10/1/2022		3,600		3,788

Series 2020A, Rev., 5.00%, 10/1/2023		2,900		3,191

Series 2020A, Rev., 5.00%, 10/1/2024		1,580		1,811

Series 2020A, Rev., 5.00%, 10/1/2025		975		1,159

Series 2020A, Rev., 5.00%, 10/1/2026		895		1,097

Massachusetts Development Finance Agency, Partners Healthcare System Issue

Series 2017S-5, Rev., (SIFMA Municipal Swap Index Yield + 0.42%), 0.44%, 9/9/2021 (b)		10,000		10,001

Series 2017S, Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 0.52%, 9/9/2021 (b)		1,500		1,503


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Massachusetts — continued

Massachusetts Development Finance Agency, Suffolk University Issue

Rev., 5.00%, 7/1/2022		390		405

Rev., 5.00%, 7/1/2024		350		394

Massachusetts Development Finance Agency, Wellforce Issue

Series 2020C, Rev., AGM, 5.00%, 10/1/2021		120		120

Series 2020C, Rev., AGM, 5.00%, 10/1/2022		150		158

Series 2020C, Rev., AGM, 5.00%, 10/1/2023		100		109

Series 2020C, Rev., AGM, 5.00%, 10/1/2024		115		131

Series 2020C, Rev., AGM, 5.00%, 10/1/2025		175		206

Series 2020C, Rev., AGM, 5.00%, 10/1/2026		175		212

Massachusetts Development Finance Agency, Western New England University Issue Rev., 5.00%, 9/1/2021		265		265

Massachusetts Port Authority Series 2019-A, Rev., AMT, 5.00%, 9/10/2021 (d)		2,500		2,598

Massachusetts Transportation Trust Fund Metropolitan Highway System Series 2010A-1, Rev., VRDO, LOC: Citibank NA, 0.01%, 9/8/2021 (c)		14,200		14,200

Massachusetts Transportation Trust Fund Metropolitan Highway System, Commonwealth Contract Assistance Secured Series A, Rev., 5.00%, 9/10/2021 (c)		10,000		10,635

Massachusetts Water Resources Authority Series A-3, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (c)		27,170		27,170

University of Massachusetts Building Authority

Rev., 5.00%, 9/10/2021 (d)		3,195		3,678

Rev., 5.00%, 11/1/2024 (d)		6,290		7,243

Series 2015-1, Rev., 5.00%, 11/1/2025 (d)		250		298


Total Massachusetts				152,006


Michigan — 2.3%

City of Charlevoix, Building Authority, Limited Tax

Rev., 4.00%, 9/10/2021		175		182

Rev., 4.00%, 10/1/2021		215		216

Rev., 4.00%, 10/1/2023		110		118


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Michigan — continued

City of Gladstone, Capital Improvement, Limited Tax

GO, AGM, 3.00%, 3/1/2022		250		253

GO, AGM, 3.00%, 3/1/2023		260		270

GO, AGM, 3.00%, 3/1/2024		265		282

GO, AGM, 3.00%, 3/1/2025		275		299

Frankenmuth School District, School Building and Site GO, Q-SBLF, 4.00%, 5/1/2023		200		213

Fulton School District, Unlimited Tax

GO, AGM, 4.00%, 5/1/2025		215		241

GO, AGM, 4.00%, 5/1/2026		220		253

GO, AGM, 4.00%, 5/1/2027		210		246

Grand Rapids Public Schools, Unlimited Tax GO, AGM, 5.00%, 11/1/2021		2,225		2,243

Hopkins Public Schools

Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2022		160		164

Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2023		365		388

Huron Valley School District, Unlimited Tax

GO, Q-SBLF, 2.00%, 9/10/2021		5,950		6,128

GO, Q-SBLF, 2.00%, 5/1/2022		5,000		5,063

GO, Q-SBLF, 2.00%, 5/1/2024		5,825		6,096

GO, Q-SBLF, 2.00%, 5/1/2025		2,050		2,171

Jackson Public Schools, Unlimited Tax

GO, Q-SBLF, 4.00%, 5/1/2023		605		643

GO, Q-SBLF, 4.00%, 5/1/2024		690		759

Kelloggsville Public Schools, School Building and Site GO, AGM, 4.00%, 5/1/2022		380		390

Kent Hospital Finance Authority, Spectrum Health System Series 2008B-3, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (c)		34,040		34,040

Lakeview School District, School Building and Site, Unlimited Tax Series B, GO, VRDO, LOC: TD Bank NA, 0.02%, 9/9/2021 (c)		8,330		8,330

Leland Public School District

GO, AGM, 4.00%, 5/1/2022		510		523

GO, AGM, 4.00%, 5/1/2023		785		834

Michigan Finance Authority, Bronson Healthcare Group, Inc. Series B, Rev., 3.50%, 11/15/2022 (c)		4,165		4,313

Michigan Finance Authority, Trinity Health Credit Group Series MI-1, Rev., VRDO, 0.08%, 12/1/2021 (c)		14,500		14,500

Michigan State Hospital Finance Authority, Ascension Health Credit Group Series 2010F-3, Rev., 4.00%, 9/10/2021 (c)		1,000		1,106


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Michigan — continued

Michigan State Housing Development Authority, Single Family Mortgage Series D, Rev., VRDO, LIQ: Industrial & Commercial Bank of China, 0.05%, 9/8/2021 (c)		6,295		6,295

Michigan State Housing Development Authority, Woodland Hills Apartments Project Rev., 0.23%, 10/1/2022 (c)		7,200		7,203

Michigan Strategic Fund, Holland Home Obligated Group

Rev., 4.00%, 11/15/2021		180		181

Rev., 4.00%, 11/15/2022		180		187

Rev., 4.00%, 11/15/2023		190		202

Michigan Strategic Fund, Waste Management, Inc. Project Rev., 0.58%, 8/1/2024 (c)		3,000		3,001

South Haven Township and Casco Township, Water and Sewage Treatment Authority, Limited Tax

Rev., 4.00%, 9/10/2021		480		510

Rev., 4.00%, 5/1/2022		285		292

Rev., 4.00%, 5/1/2024		720		788

State of Michigan Rev., GAN, 5.00%, 3/15/2025		12,225		14,238

Waterford School District, Unlimited Tax

GO, Q-SBLF, 4.00%, 5/1/2022		650		667

GO, Q-SBLF, 4.00%, 5/1/2023		1,340		1,425

GO, Q-SBLF, 4.00%, 5/1/2024		1,360		1,494

Wayne County Airport Authority Series G, Rev., 5.00%, 12/1/2024		1,000		1,153

Wayne-Westland Community Schools, Building and Site Unlimited Tax

GO, Q-SBLF, 4.00%, 11/1/2021		785		790

GO, Q-SBLF, 4.00%, 5/1/2022		160		164

GO, Q-SBLF, 5.00%, 11/1/2022		290		306


Total Michigan				129,160


Minnesota — 0.5%

City of Minneapolis & St. Paul Housing and Redevelopment Authority, Health Care, Allina Health System Series 2007C-2, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/9/2021 (c)		6,460		6,460

City of St. Paul Minnesota, Housing and Redevelopment Authority, Alliana Health System Series 2009C, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/9/2021 (c)		10,280		10,280

City of Wayzata, Folkestone Senior Living Community

Rev., 3.00%, 8/1/2022		200		203


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Minnesota — continued

Rev., 3.00%, 8/1/2023		100		103

Rev., 3.00%, 8/1/2024		100		104

Duluth Economic Development Authority, Benedictine Health System

Series 2021A, Rev., 3.00%, 7/1/2023		210		219

Series 2021A, Rev., 3.00%, 7/1/2024		100		105

Series 2021A, Rev., 3.00%, 7/1/2025		100		106

Series 2021A, Rev., 3.00%, 7/1/2026		180		192

Duluth Housing and Redevelopment Authority, Duluth Public Schools Academy Project

Series 2018-A, Rev., 3.38%, 11/1/2021		330		331

Series 2018-A, Rev., 3.63%, 11/1/2022		345		354

Series 2018-A, Rev., 3.88%, 11/1/2023		325		341

Duluth Independent School District No. 709

Series 2019B, COP, 5.00%, 2/1/2022		160		163

Series 2019C, COP, 5.00%, 2/1/2022		135		137

Series 2019B, COP, 5.00%, 2/1/2023		185		196

Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2020C, GO, GAN, 0.38%, 12/1/2022		5,000		5,005

Minneapolis-St. Paul Metropolitan Airports Commission Series 2016B, Rev., 5.00%, 1/1/2022		1,325		1,345

Minnesota Higher Education Facilities Authority, College of St. Scholastica, Inc.

Rev., 3.00%, 12/1/2021		75		75

Rev., 3.00%, 12/1/2022		100		103

Rev., 3.00%, 12/1/2023		100		105

Minnesota Tax and Aid Anticipation Borrowing Program Series 2020A, COP, 1.00%, 9/10/2021		40		40


Total Minnesota				25,967


Mississippi — 0.3%

City of Tupelo

GO, 4.00%, 12/1/2021		125		126

GO, 4.00%, 12/1/2022		245		257

GO, 4.00%, 12/1/2023		315		341

County of Warren, Gulf Opportunity Zone, International Paper Co. Project

Series 2020A, Rev., 1.37%, 6/16/2025 (c)		1,750		1,812

Series 2020C, Rev., 1.37%, 6/16/2025 (c)		1,500		1,552

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project Series 2010 H, Rev., VRDO, 0.01%, 9/3/2021 (c)		11,335		11,335


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Mississippi — continued

Mississippi Development Bank, Rankin County Bond Project Rev., 3.00%, 3/1/2022		100		101

Mississippi Development Bank, Special Obligation, Biloxi Project Rev., 3.00%, 3/1/2022		175		177

Mississippi Hospital Equipment and Facilities Authority, Forrest County General Hospital Refunding Project

Series B, Rev., 5.00%, 1/1/2022		320		325

Series B, Rev., 5.00%, 1/1/2023		370		393

Series B, Rev., 5.00%, 1/1/2024		370		408

State of Mississippi, Capital Improvements Project Series 2011A, GO, 5.00%, 10/1/2021 (d)		25		25

State of Mississippi, Gaming Tax Series 2019A, Rev., 5.00%, 10/15/2021		700		704


Total Mississippi				17,556


Missouri — 0.8%

Belton School District No. 124, Belton School District Project COP, AGM, 4.00%, 1/15/2022 (d)		100		101

City of Kansas City, Roe Bartle Convention Center Series 2008F, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (c)		4,490		4,490

City of St. Peters

COP, 4.00%, 5/1/2022		605		620

COP, 4.00%, 5/1/2023		625		664

COP, 4.00%, 5/1/2024		650		712

COP, 4.00%, 5/1/2025		425		479

County of Greene, Special Obligation

Rev., 4.00%, 12/1/2021		205		207

Rev., 4.00%, 12/1/2022		260		273

Rev., 4.00%, 12/1/2023		520		563

Rev., 4.00%, 12/1/2024		540		602

County of Jackson, Harry S. Truman Sports Complex Project Rev., 5.00%, 12/1/2022		4,000		4,226

County of St. Louis, Special Obligation

Series 2021B, Rev., 5.00%, 12/1/2024		3,595		4,144

Series 2021B, Rev., 5.00%, 12/1/2025		1,885		2,249

Series 2021B, Rev., 5.00%, 12/1/2026		3,955		4,859

Greene County Reorganized School District No. R-8 Series 2019B, GO, 3.00%, 3/1/2022		500		507

Series 2019B, GO, 3.00%, 3/1/2023		595		621


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Missouri — continued

Health and Educational Facilities Authority of the State of Missouri, BJC Health System

Series C, Rev., VRDO, LIQ: BJC Health System, 0.02%, 9/10/2021 (c)		1,285		1,285

Series 2021B, Rev., 4.00%, 5/1/2026 (c)		7,500		8,697

Missouri Western State University, Auxiliary System Rev., 2.80%, 10/1/2022		50		50

Nixa Public Schools

Series 2019B, GO, 4.00%, 9/10/2021		175		178

Series 2019B, GO, 5.00%, 3/1/2023		200		215

St. Louis County Special School District

COP, 4.00%, 4/1/2022		395		404

COP, 4.00%, 4/1/2023		410		435

COP, 4.00%, 4/1/2024		605		661

Tender Option Bond Trust Receipts/Certificates Series 2018-XG0176, Rev., VRDO, LIQ: Royal Bank of Canada, 0.14%, 9/10/2021 (c) (e)		8,200		8,200


Total Missouri				45,442


Montana — 0.1%

Montana State Board of Regents, Montana State University Series F, Rev., (SIFMA Municipal Swap Index Yield + 0.45%), 0.47%, 9/9/2021 (b)		3,130		3,139


Nebraska — 0.1%

City of Omaha, Special Tax Series A, Rev., 5.00%, 1/15/2022		125		127

County of Saunders

GO, 1.00%, 11/1/2021		100		100

GO, 2.00%, 11/1/2022		300		306

GO, 3.00%, 11/1/2023		325		344

GO, 3.00%, 11/1/2024		415		449

County of Washington, Wastewater and Solid Waste Disposal Facilities, Cargill Incorporated Projects Rev., AMT, 0.90%, 9/1/2025 (c)		6,800		6,911


Total Nebraska				8,237


Nevada — 0.5%

City of Carson, Carson Tahoe Regional Healthcare Project Rev., 5.00%, 9/1/2027		610		752

City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 9/10/2021 (e)		595		605

Clark County School District, Limited Tax Series C, GO, 5.00%, 6/15/2023		2,000		2,174

County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien Series 2008D-3, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (c)		4,435		4,435


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nevada — continued

County of Humboldt, Sierra Pacific Power Company Project Series 2016B, Rev., 1.85%, 4/15/2022 (c)		4,550		4,594

County of Washoe, Water Facilities Bonds, Sierra Pacific Power Company Project

Rev., AMT, 0.63%, 4/15/2022 (c)		4,000		4,007

Series 2016G, Rev., 1.85%, 4/15/2022 (c)		5,000		5,049

State of Nevada Department of Business and Industry, Brightline West Passenger Rail Series 2020A, Rev., AMT, 0.25%, 2/1/2022 (c) (e)		7,500		7,502


Total Nevada				29,118


New Hampshire — 0.4%

New Hampshire Business Finance Authority, Waste Management, Inc., Project Series 2018A, Rev., AMT, (SIFMA Municipal Swap Index Yield + 0.38%), 0.39%, 9/9/2021 (b)		24,500		24,500


New Jersey — 3.4%

Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project

Series 2021A, Rev., AGM, 5.00%, 7/1/2024		75		85

Series 2021A, Rev., AGM, 5.00%, 7/1/2025		100		117

Series 2021A, Rev., AGM, 5.00%, 7/1/2026		100		120

Borough of Paramus GO, BAN, 2.00%, 10/15/2021		7,510		7,527

Borough of Stone Harbor GO, BAN, 1.25%, 10/29/2021		16,255		16,279

Burlington County Bridge Commission, Governmental Leasing Program Series 2020C-1 & C-2, Rev., 2.00%, 11/11/2021		20,000		20,076

City of Newark

Series 2020A, GO, 5.00%, 10/1/2021		110		110

Series 2020B, GO, 5.00%, 10/1/2021		250		251

Series 2020A, GO, 5.00%, 10/1/2022		750		784

Series 2020B, GO, 5.00%, 10/1/2022		500		524

Series 2020A, GO, AGM, 5.00%, 10/1/2023		1,000		1,091

Series 2020B, GO, AGM, 5.00%, 10/1/2023		525		573

Series 2020A, GO, AGM, 5.00%, 10/1/2024		1,000		1,131

Series 2020B, GO, AGM, 5.00%, 10/1/2024		650		736

Series 2020A, GO, AGM, 5.00%, 10/1/2025		850		993

Series 2020B, GO, AGM, 5.00%, 10/1/2025		595		695

Series 2020A, GO, AGM, 5.00%, 10/1/2026		750		902


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

Cumberland County Improvement Authority (The), Vineland Public Safety Building Project Rev., 5.00%, 12/15/2021		340		345

East Brunswick Township Board of Education, School Energy Savings GO, 5.00%, 8/1/2022		110		115

Jersey City Municipal Utilities Authority, Water Project Notes Rev., 3.00%, 7/1/2022		16,000		16,355

New Brunswick Parking Authority, Tax-Exempt

Series 2020B, Rev., GTD, 5.00%, 9/1/2021		70		70

Series 2020B, Rev., GTD, 5.00%, 9/1/2022		350		366

Series 2020B, Rev., GTD, 5.00%, 9/1/2023		335		365

Series 2020B, Rev., GTD, 5.00%, 9/1/2024		425		482

Series 2020B, Rev., GTD, 5.00%, 9/1/2025		425		499

Series 2020A, Rev., GTD, 5.00%, 9/1/2026		500		605

New Jersey Economic Development Authority, School Facilities Construction

Rev., 5.00%, 6/15/2022		100		104

Rev., 5.00%, 6/15/2023		110		119

Rev., 5.00%, 6/15/2024		300		339

Rev., 5.00%, 6/15/2025		550		643

Rev., 5.00%, 6/15/2026		555		669

New Jersey Transportation Trust Fund Authority

Series 2021A, Rev., 5.00%, 6/15/2025		2,750		3,217

Series 2021A, Rev., 5.00%, 6/15/2026		2,500		3,015

New Jersey Turnpike Authority Series D, Rev., 5.00%, 1/1/2028		7,000		8,424

Passaic County Improvement Authority (The), City of Paterson Project Rev., GTD, 5.00%, 8/15/2026		350		427

Passaic Valley Sewerage Commission, Sewer System

Series J, Rev., AGM, 3.00%, 12/1/2025		1,825		2,012

Series J, Rev., AGM, 3.00%, 12/1/2026		6,285		7,038

State of New Jersey, COVID-19 Emergency Bonds

GO, 4.00%, 6/1/2023		21,380		22,783

GO, 5.00%, 6/1/2024		26,250		29,617

GO, 5.00%, 6/1/2025		12,670		14,812

Township of Chatham GO, BAN, 1.50%, 4/8/2022		11,475		11,568

Township of West Milford GO, BAN, 1.25%, 9/17/2021		18,738		18,746


Total New Jersey				194,729


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New Mexico — 0.2%

City of Rio Rancho, Water and Wastewater System Rev., 5.00%, 5/15/2022		1,250		1,293

City of Santa Fe, El Castillo Retirement Residences Project Series 2019B-2, Rev., 2.25%, 5/15/2024		600		601

County of Sandoval GO, 5.00%, 8/1/2022		560		585

New Mexico Hospital Equipment Loan Council, Haverland Carter Lifestyle Group — La Vida Llena Expansion Project

Series C, Rev., 2.25%, 9/10/2021		1,525		1,526

Series C, Rev., 2.38%, 7/1/2024		1,525		1,526

University of New Mexico (The), Subordinate Lien System Series 2002B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (c)		2,360		2,360

University of New Mexico, Gallup Branch Community College District GO, 2.00%, 10/15/2022		1,500		1,502


Total New Mexico				9,393


New York — 21.7%

Afton Central School District GO, BAN, 1.25%, 7/15/2022		6,000		6,055

Albany City School District

Series 2021A, GO, BAN, 3.00%, 3/25/2022		46,605		47,355

Series B, GO, BAN, 1.00%, 7/29/2022		65,590		66,111

Amsterdam City School District GO, BAN, 1.25%, 6/24/2022		23,548		23,754

Ardsley Union Free School District GO, BAN, 1.25%, 2/11/2022		2,694		2,708

Battery Park City Authority

Series 2019D-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/9/2021 (c)		935		935

Series 2019D-1, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/10/2021 (c)		14,855		14,855

Berlin Central School District GO, BAN, 2.00%, 6/29/2022		5,195		5,273

Brasher Falls Central School District Series 2021B, GO, BAN, 1.25%, 7/13/2022		15,811		15,960

Broome County Local Development Corp., United Health Services Hospitals, Inc., Project

Rev., AGM, 5.00%, 4/1/2024		500		560

Rev., AGM, 5.00%, 4/1/2025		500		580

Rev., AGM, 5.00%, 4/1/2026		500		599

Canaseraga Central School District GO, BAN, 1.25%, 7/20/2022		3,640		3,674

Canastota Central School District GO, BAN, 1.25%, 6/29/2022		19,200		19,378


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Catskill Central School District GO, BAN, 1.25%, 6/29/2022		26,960		27,199

Central Square Central School District GO, BAN, 1.25%, 11/19/2021		11,995		12,023

Cheektowaga Central School District GO, BAN, 1.25%, 9/10/2021		15,400		15,434

Chenango Forks Central School District Series 2021B, GO, BAN, 1.25%, 6/30/2022		12,000		12,098

Chenango Valley Central School District GO, BAN, 1.25%, 6/24/2022		12,190		12,295

City of Jamestown, Public Improvement

GO, 5.00%, 9/10/2021		525		568

GO, 5.00%, 6/1/2022		500		518

GO, 5.00%, 6/1/2024		545		612

City of New York Subseries B-3, GO, VRDO, LOC: TD Bank NA, 0.02%, 9/10/2021 (c)		10,520		10,520

City of New York, Fiscal Year 2012 Series A, Subseries A-4, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.01%, 9/9/2021 (c)		2,300		2,300

City of New York, Fiscal Year 2014 Series D, Subseries D-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (c)		6,100		6,100

City of New York, Fiscal Year 2020 Series 2020-1, GO, 5.00%, 8/1/2026		1,300		1,588

City of New York, Fiscal Year 2021 Series A, Subseries A-1, GO, 5.00%, 8/1/2024		15,000		17,092

City of Rochester Series 2021-I, GO, BAN, 1.50%, 3/3/2022		41,355		41,645

East Quogue Union Free School District GO, TAN, 1.25%, 6/24/2022		5,000		5,043

Edgemont Union Free School District at Greenburgh GO, BAN, 1.25%, 9/2/2022		3,800		3,841

Floral Park-Bellerose Union Free School District

GO, 5.00%, 12/1/2021		450		455

GO, 5.00%, 12/1/2022		475		504

GO, 5.00%, 12/1/2023		495		549

GO, 5.00%, 12/1/2024		525		607

GO, 5.00%, 12/1/2025		550		660

Frewsburg Central School District GO, BAN, 1.25%, 6/22/2022		6,177		6,229

Gananda Central School District GO, BAN, 1.25%, 6/30/2022		8,000		8,073

Geneva City School District GO, RAN, 1.25%, 6/22/2022		7,000		7,057

Gowanda Central School District GO, BAN, 1.25%, 6/21/2022		10,911		11,001


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Granville Central School District GO, BAN, 1.25%, 6/17/2022		13,951		14,070

Hamilton Central School District GO, BAN, 1.25%, 7/8/2022		5,796		5,859

Harborfields Central School District GO, BAN, 1.25%, 9/10/2021		14,609		14,772

Hempstead Town Local Development Corp., Adelphi University Project

Rev., 4.00%, 2/1/2022		50		51

Rev., 4.00%, 2/1/2023		100		105

Rev., 4.00%, 2/1/2024		200		216

Hempstead Union Free School District

Series A, GO, RAN, 1.00%, 6/30/2022		6,000		6,037

Series 2021B, GO, BAN, 1.00%, 7/13/2022		4,130		4,156

Hermon-DeKalb Central School District GO, BAN, 1.25%, 9/10/2021		14,000		14,118

Hoosick Falls Central School District GO, BAN, 1.25%, 8/5/2022		12,500		12,617

Jamesville-Dewitt Central School District GO, BAN, 1.25%, 9/10/2021		21,000		21,206

Lewiston-Porter Central School District GO, BAN, 1.25%, 6/15/2022		8,090		8,158

Lisbon Central School District GO, BAN, 1.25%, 7/15/2022		5,200		5,249

Long Island Power Authority, Electric System

Series 2019A, Rev., 5.00%, 9/1/2021		835		835

Series 2020A, Rev., 5.00%, 9/10/2021		680		832

Rev., 1.00%, 9/1/2025		25,000		25,297

Mcgraw Central School District GO, BAN, 1.25%, 6/28/2022		8,855		8,936

Metropolitan Transportation Authority Series 2002G-1F, Rev., (SOFR + 0.43%), 0.46%, 10/1/2021 (b)		2,000		2,001

Metropolitan Transportation Authority, Dedicated Tax Fund Series 2019A, Rev., BAN, 5.00%, 9/10/2021		20,500		20,990

Middleburgh Central School District GO, BAN, 1.25%, 6/28/2022		9,770		9,852

Moriah Central School District GO, BAN, 1.25%, 7/14/2022		6,815		6,881

Mount Vernon City School District

GO, 5.00%, 12/1/2021		885		895

GO, 5.00%, 12/1/2022		1,965		2,079

New York City Housing Development Corp., Multi-Family Mortgage, West 26th Street Development Series 2011B, Rev., VRDO, 0.02%, 9/9/2021 (c)		2,570		2,570


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York City Industrial Development Agency, Queens Baseball Stadium Project

Rev., AGM, 5.00%, 1/1/2024		1,000		1,110

Rev., AGM, 5.00%, 1/1/2025		2,000		2,306

Rev., AGM, 5.00%, 1/1/2026		1,000		1,191

Rev., AGM, 5.00%, 1/1/2027		1,000		1,225

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Series 21-A, Rev., 5.00%, 9/10/2021		46,070		46,442

New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series A, Subseries A-1, Rev., 5.00%, 11/1/2023		14,500		16,018

New York City Water and Sewer System, Fiscal Year 2003 Subseries F1B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/1/2021 (c)		150		150

New York City Water and Sewer System, Second General Resolution Series BB-1A, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/10/2021 (c)		14,600		14,600

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2008 Subseries BB-1, Rev., VRDO, LIQ: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.01%, 9/10/2021 (c)		11,390		11,390

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (c)		11,200		11,200

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series 2015BB-3, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/9/2021 (c)		5,680		5,680

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2018 Series 2018CC-2, Rev., 5.00%, 6/15/2025		4,420		4,910

New York State Dormitory Authority, Fordham University Rev., 5.00%, 7/1/2023		920		1,003

New York State Dormitory Authority, School Districts Financing Program Series 2019A, Rev., 5.00%, 10/1/2022		7,490		7,888

New York State Dormitory Authority, St. John’s University

Series 2021A, Rev., 4.00%, 7/1/2022		1,500		1,549

Series 2021A, Rev., 5.00%, 7/1/2025		750		879

New York State Dormitory Authority, State Sales Tax Series 2018C, Rev., 5.00%, 9/10/2021		400		467


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

New York State Housing Finance Agency, 330 West 39th Street Housing Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.02%, 9/10/2021 (c)		46,100		46,100

New York State Housing Finance Agency, 8 East 102nd Street Housing Series 2010A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/10/2021 (c)		40,445		40,445

New York State Housing Finance Agency, Service Contract Series 2003A-1, Rev., VRDO, LOC: Bank of America NA, 0.06%, 9/8/2021 (c)		120		120

New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project Rev., AMT, 5.00%, 1/1/2022		14,650		14,874

New York Transportation Development Corp., Terminal 4 John F. Kennedy International Airport Project, Tax-Exempt

Rev., 5.00%, 12/1/2021		1,000		1,012

Rev., 5.00%, 12/1/2022		750		793

Rev., 5.00%, 12/1/2023		800		881

Rev., 5.00%, 12/1/2024		800		915

Rev., 5.00%, 12/1/2025		500		590

Rev., 5.00%, 12/1/2026		750		908

Niagara Frontier Transportation Authority, Buffalo Niagara International Airport Series 2019A, Rev., AMT, 5.00%, 4/1/2022		845		868

North Syracuse Central School District GO, BAN, 1.25%, 8/5/2022		40,300		40,696

Northeastern Clinton Central School District GO, BAN, 1.25%, 9/2/2022		20,000		20,214

Oakfield-Alabama Central School District GO, BAN, 1.25%, 7/19/2022		11,000		11,107

Odessa-Montour Central School District GO, BAN, 1.25%, 7/15/2022		11,200		11,307

Owego Apalachin Central School District GO, BAN, 1.25%, 6/29/2022		22,476		22,685

Oxford Academy and Central School District GO, BAN, 2.00%, 7/8/2022		5,580		5,665

Palmyra Macedon Central School District GO, BAN, 1.25%, 6/16/2022		16,220		16,363

Pine Valley Central School District GO, BAN, 1.25%, 6/15/2022		6,420		6,472

Port Authority of New York and New Jersey, Consolidated Series 207, Rev., AMT, 5.00%, 9/15/2023		10,000		10,959

Sandy Creek Central School District GO, BAN, 1.25%, 6/24/2022		20,222		20,392


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Schenectady City School District GO, BAN, 1.25%, 10/22/2021		31,755		31,805

Seneca Falls Central School District GO, BAN, 1.25%, 6/28/2022		14,715		14,850

Solvay Union Free School District GO, BAN, 1.25%, 6/29/2022		25,530		25,752

Town of Oyster Bay, Public Improvement

GO, 2.00%, 11/1/2021		415		416

GO, 4.00%, 11/1/2022		410		428

GO, 4.00%, 11/1/2023		1,000		1,081

GO, 4.00%, 11/1/2024		950		1,059

GO, 4.00%, 11/1/2025		495		565

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2005A, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/9/2021 (c)		21,445		21,445

Series 2021A, Rev., BAN, 5.00%, 11/1/2025		15,000		17,871

Series 2021A-2, Rev., 2.00%, 5/15/2026 (c)		16,000		17,117

Trust for Cultural Resources of The City of New York (The), American Museum of Natural History

Series 2014B-2, Rev., VRDO, 0.07%, 9/9/2021 (c)		8,000		8,000

Series 2014B-1, (SIFMA Municipal Swap Index Yield + 0.04%), 0.06%, 9/16/2021 (b)		5,000		5,000

Union Endicott Central School District GO, BAN, 1.25%, 6/24/2022		8,513		8,590

Waterville Central School District Series 2021B, GO, BAN, 1.25%, 7/15/2022		12,310		12,418

Watervliet City School District GO, BAN, 1.25%, 4/27/2022		10,000		10,070

Whitesboro Central School District GO, BAN, 1.25%, 6/24/2022		20,717		20,898

Williamson Central School District GO, BAN, 1.25%, 7/15/2022		9,272		9,361

Windsor Central School District GO, BAN, 1.25%, 6/16/2022		9,649		9,729

Yorkshire-Pioneer Central School District GO, BAN, 1.25%, 7/28/2022		14,000		14,130


Total New York				1,231,549


North Carolina — 4.0%

Buncombe County Metropolitan Sewerage District Series 2008A, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/9/2021 (c)		19,975		19,975


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — continued

City of Charlotte, 2003 Governmental Facilities Projects Series 2013G, COP, VRDO, LIQ: Wells Fargo Bank NA, 0.01%, 9/10/2021 (c)		48,205		48,205

City of Charlotte, Water and Sewer System Series B, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.01%, 9/9/2021 (c)		25,950		25,950

City of Raleigh, Downtown Improvement Projects Series 2005-B-1, COP, VRDO, LIQ: PNC Bank NA, 0.03%, 9/10/2021 (c)		23,300		23,300

City of Raleigh, Limited Obligation Series 2016A, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (c)		8,115		8,115

Columbus County Industrial Facilities and Pollution Control Financing Authority, International Paper Co. Project

Series 2019A, Rev., 2.00%, 10/1/2024 (c)		825		866

Series 2019B, Rev., 2.00%, 10/1/2024 (c)		825		866

Series 2020A, Rev., 1.37%, 6/16/2025 (c)		1,780		1,842

County of Harnett, Limited Obligation

Rev., 3.00%, 12/1/2021		2,015		2,030

Rev., 4.00%, 12/1/2022		1,700		1,782

Rev., 4.00%, 12/1/2023		1,650		1,792

Rev., 4.00%, 12/1/2024		1,000		1,119

Rev., 5.00%, 12/1/2025		1,000		1,192

County of Orange, Limited Obligation

Series 2021A, Rev., 5.00%, 11/15/2022		1,405		1,488

Series 2021A, Rev., 5.00%, 11/15/2023		630		697

Series 2021A, Rev., 5.00%, 11/15/2024		350		404

Series 2021A, Rev., 5.00%, 11/15/2025		250		298

North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (c)		2,840		3,401

North Carolina Medical Care Commission, Moses Cone Health System Series 2001A, Rev., VRDO, LIQ: BMO Harris Bank NA, 0.02%, 9/9/2021 (c)		26,170		26,170

North Carolina Turnpike Authority, Triangle Expressway System Rev., BAN, 5.00%, 2/1/2024		39,700		44,024

State of North Carolina, Build NC Programs, Limited Obligation Series 2020B, Rev., 5.00%, 5/1/2022		7,000		7,229

University of North Carolina at Chapel Hill Series B, Rev., (ICE LIBOR USD 1 Month + 0.40%), 0.47%, 10/1/2021 (b)		3,750		3,758


Total North Carolina				224,503


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Ohio — 4.2%

Akron Bath Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2021		125		126

American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (c)		10,000		10,016

City of Akron, Various Purpose

GO, 2.00%, 12/1/2022		565		577

GO, 2.00%, 12/1/2023		485		503

City of Centerville, Graceworks Lutheran Services Rev., 5.00%, 11/1/2021		285		286

City of Cleveland, Income Tax, Subordinate Lien, Public Facilities Improvements Series 2018A, Rev., 5.00%, 10/1/2022		265		279

City of Elyria, Limited Tax

Series 2019-2, GO, 4.00%, 12/1/2021		1,010		1,020

Series 2019-2, GO, 4.00%, 12/1/2022		935		979

City of Lakewood, Income Tax Rev., 0.75%, 3/22/2022		5,000		5,019

City of Lorain, Limited Tax

Series 2020A, GO, 4.00%, 12/1/2021		220		222

Series 2020A, GO, 4.00%, 12/1/2022		280		293

Series 2020A, GO, 4.00%, 12/1/2023		300		325

Series 2020A, GO, 4.00%, 12/1/2024		250		278

City of Toledo, Limited Tax, Capital Improvement

GO, AGM, 5.00%, 12/1/2021		1,275		1,290

GO, AGM, 5.00%, 12/1/2022		1,305		1,383

City of Whitehall, Special Obligation Nontax Rev., 1.00%, 12/8/2021		3,810		3,817

Cleveland-Cuyahoga County Port Authority, The Cleveland Museum of Natural History Project

Rev., 5.00%, 7/1/2025		100		116

Rev., 5.00%, 7/1/2026		125		150

County of Allen, Hospital Facilities, Catholic Health Partners Series 2012B, Rev., VRDO, 0.02%, 9/8/2021 (c)		50,865		50,865

County of Allen, Hospital Facilities, Mercy Health Series B, Rev., 5.00%, 5/5/2022 (c)		2,000		2,063

County of Franklin, Hospital Facilities, OhioHealth Corp.

Series 2009A, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/8/2021 (c)		38,030		38,030

Series 2011C, Rev., VRDO, 0.01%, 9/8/2021 (c)		200		200

Series B, Rev., (SIFMA Municipal Swap Index Yield + 0.43%), 0.45%, 9/10/2021 (b)		5,000		5,000


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Ohio — continued

County of Ross, Adena Health System Obligated Group Project

Rev., 5.00%, 12/1/2021		335		339

Rev., 5.00%, 12/1/2022		355		376

Rev., 5.00%, 12/1/2023		490		539

Euclid City School District

COP, 4.00%, 12/1/2023		70		76

COP, 4.00%, 12/1/2024		180		200

Lancaster Port Authority, Gas Supply Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 2/1/2025 (c)		5,000		5,747

Ohio Housing Finance Agency, Carnegie Tower Project Rev., FHA, 0.35%, 9/10/2021 (c)		10,200		10,224

Ohio Water Development Authority, Water Pollution Control Loan Fund Series 2016A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/8/2021 (c)		73,645		73,645

State of Ohio, Capital Facilities Lease Appropriation Park and Recreation Improvement Fund Projects Series 2020B, Rev., VRDO, 0.01%, 9/10/2021 (c)		12,000		12,000

State of Ohio, Infrastructure Improvement Series A, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/8/2021 (c)		1,985		1,985

State of Ohio, University Hospitals Health System, Inc. Series A, Rev., VRDO, 0.09%, 9/7/2021 (c)		8,250		8,250

Village of Obetz, Various Purpose Rev., 5.00%, 12/1/2021		125		126

Zanesville City School District, Unlimited Tax GO, 4.00%, 9/10/2021		595		601


Total Ohio				236,945


Oklahoma — 0.4%

Bryan County School Finance Authority, Durant Public Schools Project

Rev., 4.00%, 9/10/2021		155		167

Rev., 4.00%, 12/1/2021		140		141

Rev., 4.00%, 12/1/2022		190		199

Rev., 4.00%, 12/1/2024		165		184

Canadian County Educational Facilities Authority, Mustang Public Schools Project Rev., 3.00%, 9/1/2023		1,000		1,054

City of Moore GO, 1.25%, 4/1/2022		1,550		1,560

Cleveland County Educational Facilities Authority, Lexington Public Schools Project

Rev., 4.00%, 9/1/2021		150		150

Rev., 4.00%, 9/1/2022		125		130

Rev., 4.00%, 9/1/2023		270		289


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Oklahoma — continued

Cleveland County Educational Facilities Authority, Moore Public Schools Project Rev., 4.00%, 6/1/2026		3,500		4,068

Custer County Economic Development Authority, Thomas Fay Public Schools

Rev., 4.00%, 12/1/2021		410		414

Rev., 4.00%, 12/1/2023		450		483

Elk City Industrial Authority, Sales Tax Rev., 2.00%, 5/1/2023		140		143

Ellis County Educational Facilities Authority, Fargo-Gage Public Schools Project

Rev., 3.00%, 9/10/2021		730		758

Rev., 3.00%, 3/1/2022		725		735

Garvin County Educational Facilities Authority, Pernell Public Schools Project

Rev., 4.00%, 9/1/2021		125		125

Rev., 4.00%, 9/1/2022		135		140

Rev., 4.00%, 9/1/2023		110		118

Rev., 4.00%, 9/1/2024		160		176

Grady County School Finance Authority, Educational Facilities Lease, Tuttle Public Schools Project

Rev., 4.00%, 9/1/2021		250		250

Rev., 4.00%, 9/1/2022		200		208

Rev., 4.00%, 9/1/2023		300		321

Rev., 4.00%, 9/1/2024		245		271

Kingfisher County Educational Facilities Authority, Lomega Public Schools Project

Rev., 3.00%, 3/1/2022		165		167

Rev., 3.00%, 3/1/2023		385		401

Rev., 3.00%, 3/1/2024		270		287

Muskogee Industrial Trust, Muskogee Public Schools Project Rev., 5.00%, 9/1/2023		900		977

Oklahoma Development Finance Authority, Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023		4,885		4,931

Oklahoma Housing Finance Agency, Central Oklahoma Portfolio Rev., 0.28%, 9/10/2021 (c)		2,500		2,504

Pittsburg County Educational Facilities Authority, McAlester Public Schools Project

Rev., 4.00%, 12/1/2024		250		277

Rev., 4.00%, 12/1/2026		250		289

Tulsa County Industrial Authority, Sand Springs Public Schools Project

Rev., 5.00%, 9/1/2021		325		325

Rev., 2.00%, 9/1/2022		125		127


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oklahoma — continued

Rev., 4.00%, 9/1/2023		175		186

Rev., 4.00%, 9/1/2024		435		476

Wagoner County School Development Authority, Wagoner Public Schools Project

Rev., 4.00%, 9/1/2021		225		225

Rev., 4.00%, 9/1/2023		525		558


Total Oklahoma				23,814


Oregon — 0.2%

County of Yamhill, Linfield University Project

Rev., 4.00%, 10/1/2021		165		165

Rev., 4.00%, 10/1/2022		250		259

Rev., 4.00%, 10/1/2023		435		465

Rev., 4.00%, 10/1/2024		425		468

Oregon State Facilities Authority, Linfield College Project Series 2015A, Rev., 5.00%, 9/10/2021 (d)		1,000		1,177

State of Oregon, Housing and Community Services Department, Sha Rad Group II Apartment Projects Rev., 1.45%, 9/10/2021 (c)		3,350		3,384

State of Oregon, Veterans Welfare Series 2015P, GO, VRDO, LIQ: U.S. Bank NA, 0.02%, 9/10/2021 (c)		3,500		3,500

Yamhill County Hospital Authority, Friendsview, Tax Exempt

Series 2021B-3, Rev., 1.75%, 11/15/2026		415		416

Series 2021B-2, Rev., 2.13%, 11/15/2027		500		502


Total Oregon				10,336


Pennsylvania — 4.4%

Allegheny County Sanitary Authority, Sewer

Series 2020B, Rev., 3.00%, 6/1/2022		250		255

Series 2020A, Rev., 4.00%, 6/1/2024		300		330

Series 2020A, Rev., 4.00%, 6/1/2025		150		170

Series 2020B, Rev., 4.00%, 6/1/2025		210		238

Series 2020A, Rev., 5.00%, 6/1/2026		425		512

Allentown City School District, Obligation Tax GO, TRAN, 1.00%, 3/31/2022		2,250		2,250

Allentown Neighborhood Improvement Zone Development Authority, City Center Project Rev., 5.00%, 5/1/2023 (e)		200		213

Ambridge Borough Water Authority

Rev., 4.00%, 11/15/2021		160		161

Rev., 4.00%, 11/15/2022		175		183

Rev., 4.00%, 11/15/2023		175		189

Apollo-Ridge School District

Series 2019A, GO, 2.00%, 9/1/2022		375		382


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Series 2019A, GO, 4.00%, 9/1/2023		385		412

Series 2019A, GO, 4.00%, 9/1/2024		450		495

Armstrong School District

Series A, GO, 3.00%, 3/15/2022		235		238

Series B, GO, 3.00%, 3/15/2022		300		304

Series A, GO, 3.00%, 3/15/2023		240		250

Series B, GO, 3.00%, 3/15/2023		400		417

Berks County Municipal Authority (The), Tower Health Project

Series 2020A, Rev., 5.00%, 2/1/2022		500		506

Series 2020A, Rev., 5.00%, 2/1/2023		1,300		1,355

Series 2020A, Rev., 5.00%, 2/1/2024		425		458

Series 2020A, Rev., 5.00%, 2/1/2025		600		664

Series 2020A, Rev., 5.00%, 2/1/2026		1,015		1,149

Bethlehem Area School District GO, 5.00%, 10/15/2021		13,155		13,232

Big Beaver Falls Area School District, Unlimited Tax

GO, 4.00%, 3/15/2022		1,155		1,178

GO, 5.00%, 3/15/2023		1,200		1,285

Burgettstown Area School District

Series A, GO, 3.00%, 3/15/2022		100		101

Series A, GO, 4.00%, 3/15/2023		200		211

Carmichaels Area School District, Limited Tax

GO, 4.00%, 9/1/2022		190		197

GO, 4.00%, 9/1/2023		150		161

Charleroi Borough Authority Water System

Rev., AGM, 4.00%, 12/1/2021		225		227

Rev., AGM, 4.00%, 12/1/2022		165		173

Rev., AGM, 4.00%, 12/1/2023		225		243

Chester County Health and Education Facilities Authority, Main Line Health System

Series 2020A, Rev., 3.00%, 9/1/2023		230		243

Series 2020A, Rev., 3.00%, 9/1/2024		215		233

Series 2020A, Rev., 5.00%, 9/1/2025		250		297

City of Altoona, Guaranteed Sewer

GO, AGM, 5.00%, 12/1/2021		265		268

GO, AGM, 5.00%, 12/1/2022		200		212

GO, AGM, 5.00%, 12/1/2023		300		331

City of Lebanon Authority, Green Bond

Rev., 4.00%, 12/15/2021		240		243

Rev., 4.00%, 12/15/2022		275		288

Rev., 4.00%, 12/15/2023		360		389

City of Philadelphia

Series 2012A, GO, 5.00%, 9/15/2021		45		45


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Series 2019A, GO, 5.00%, 8/1/2022		4,755		4,968

Series 2017A, GO, 5.00%, 8/1/2026		6,030		7,339

City of Philadelphia, Airport System

Series 2020A, Rev., 5.00%, 7/1/2024		1,480		1,678

Series 2020A, Rev., 5.00%, 7/1/2025		1,550		1,824

Series 2020A, Rev., 5.00%, 7/1/2026		1,160		1,409

City of Philadelphia, Water and Wastewater System Rev., 5.00%, 11/1/2022 (d)		1,465		1,547

City of Pittsburgh Series 2020A, GO, 5.00%, 9/1/2026		300		364

Conewago Valley School District Series 2013A, GO, 2.00%, 9/15/2021		570		570

Connellsville Area School District

Series A, GO, AGM, 2.00%, 5/15/2022		70		71

Series A, GO, AGM, 2.00%, 5/15/2023		70		72

Cornell School District

GO, AGM, 2.00%, 9/10/2021		200		200

GO, AGM, 4.00%, 9/1/2022		200		207

County of Armstrong

GO, AGM, 4.00%, 6/1/2022		380		391

Series A, GO, 4.00%, 6/1/2022		430		441

GO, AGM, 4.00%, 6/1/2023		225		240

Series A, GO, 5.00%, 6/1/2023		225		244

GO, AGM, 4.00%, 6/1/2024		230		253

GO, AGM, 4.00%, 6/1/2025		240		271

County of Indiana

GO, 2.00%, 12/15/2021		60		60

GO, 2.00%, 12/15/2022		180		184

GO, 2.00%, 12/15/2023		260		270

GO, 3.00%, 12/15/2024		430		466

GO, 3.00%, 12/15/2025		250		275

GO, 3.00%, 12/15/2026		435		486

County of Lackawanna

Series 2020A, GO, 4.00%, 3/15/2022		200		204

Series 2020B, GO, 4.00%, 9/1/2022		135		140

Series 2020A, GO, 4.00%, 3/15/2023		200		211

Series 2020B, GO, 4.00%, 9/1/2023		305		327

Series 2020A, GO, 4.00%, 3/15/2024		300		327

Series 2020B, GO, 4.00%, 9/1/2024		680		750

Series 2020A, GO, 4.00%, 3/15/2025		300		335

Series 2020B, GO, 4.00%, 9/1/2025		685		775

Series 2020B, GO, 4.00%, 9/1/2026		1,445		1,672

County of Somerset

GO, 2.00%, 10/1/2021		285		285

GO, 2.00%, 10/1/2022		340		346


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

GO, 2.00%, 10/1/2023		335		346

GO, 2.00%, 10/1/2024		300		316

County of York Series 2020A, GO, 5.00%, 6/1/2026		1,305		1,577

Dallas School District

GO, AGM, 4.00%, 10/15/2021		275		276

GO, AGM, 4.00%, 10/15/2022		300		312

GO, AGM, 5.00%, 10/15/2023		175		191

GO, AGM, 5.00%, 10/15/2024		325		367

East Stroudsburg Area School District GO, 3.00%, 9/1/2026		2,805		3,136

Emmaus General Authority Rev., VRDO, AGM, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (c)		4,100		4,100

Iroquois School District

GO, 4.00%, 10/1/2021		300		301

GO, 4.00%, 10/1/2022		390		406

GO, 4.00%, 10/1/2023		200		216

Juniata County School District GO, AGM, 5.00%, 11/15/2021		185		187

Lackawanna County Industrial Development Authority, University of Scranton Rev., 5.00%, 11/1/2021		1,000		1,008

Lycoming County Water and Sewer Authority

Rev., AGM, 4.00%, 11/15/2021		245		247

Rev., AGM, 4.00%, 11/15/2022		200		208

Rev., AGM, 4.00%, 11/15/2023		150		162

Mars Area School District

Series 2019B, GO, AGM, 5.00%, 9/10/2021		120		120

Series 2019B, GO, AGM, 5.00%, 9/1/2023		115		126

Middletown Township Sewer Authority

Rev., GTD, 4.00%, 10/1/2021		330		331

Rev., GTD, 4.00%, 10/1/2022		265		276

Rev., GTD, 4.00%, 10/1/2023		210		226

Montgomery County Higher Education and Health Authority, Arcadia University

Rev., 5.00%, 4/1/2022		300		308

Rev., 5.00%, 4/1/2023		300		321

Rev., 5.00%, 4/1/2024		300		332

Rev., 5.00%, 4/1/2025		250		286

Rev., 5.00%, 4/1/2026		165		195

Montgomery County Industrial Development Authority, Meadowood Senior Living Project Series A, Rev., 3.00%, 12/1/2021		250		251

Montour School District GO, 3.00%, 10/1/2023		200		211

Muncy School District GO, 4.00%, 9/10/2021		345		367


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Municipality of Norristown Series 2020A, GO, 4.00%, 5/1/2023		6,000		6,149

Municipality of Penn Hills

Series A, GO, 3.00%, 12/1/2021		340		342

Series A, GO, 3.00%, 12/1/2022		345		357

Series A, GO, 3.00%, 12/1/2023		305		323

Neshannock Township School District

Series 2019AA, GO, 4.00%, 9/1/2021		100		100

Series 2019AA, GO, 4.00%, 9/1/2022		150		156

Series 2019AA, GO, 4.00%, 9/1/2023		200		215

New Castle Area School District

GO, 3.00%, 3/1/2022		610		618

GO, 3.00%, 3/1/2023		1,000		1,040

GO, 4.00%, 3/1/2024		240		259

Northeast Bradford School District

GO, AGM, 2.00%, 6/1/2022		320		324

GO, AGM, 3.00%, 6/1/2023		330		346

Northwestern Lehigh School District GO, 5.00%, 2/15/2023		680		727

Penn Hills School District

GO, 3.00%, 10/1/2022		1,725		1,776

GO, 4.00%, 10/1/2023		1,790		1,920

GO, 4.00%, 10/1/2024		1,855		2,051

GO, 5.00%, 10/1/2025		4,615		5,422

Pennsylvania Economic Development Financing Authority, Republic Services, Inc. Project Series 2010B, Rev., 0.16%, 10/1/2021 (c)		2,125		2,125

Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Project Series 2017A, Rev., AMT, 0.58%, 8/1/2024 (c)		5,500		5,503

Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series AX, Rev., AGM, 5.00%, 6/15/2022		1,375		1,426

Pennsylvania Turnpike Commission

Series A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 0.62%, 9/9/2021 (b)		18,000		18,134

Series A, Rev., 5.00%, 12/1/2022		1,000		1,061

Series 2020B, Rev., 5.00%, 12/1/2023		425		471

Series A, Rev., 5.00%, 12/1/2023		1,000		1,108

Series 2020B, Rev., 5.00%, 12/1/2024		450		519

Series 2020B, Rev., 5.00%, 12/1/2025		325		388

Series 2020B, Rev., 5.00%, 12/1/2026		400		494

Philadelphia Authority for Industrial Development Series B-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/10/2021 (c)		7,785		7,785


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Philadelphia Gas Works Co., 1998 General Ordinance Series A-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/9/2021 (c)		20,300		20,300

Pittsburgh School District

GO, 5.00%, 9/1/2022		1,690		1,772

GO, 5.00%, 9/1/2023		1,810		1,983

Pittsburgh Water and Sewer Authority, First Lien Series A, Rev., 5.00%, 9/1/2022		250		262

Punxsutawney Area School District

Series 2020A, GO, AGM, 5.00%, 9/10/2021		290		305

Series 2020A, GO, AGM, 4.00%, 10/15/2021		315		317

Series 2020A, GO, AGM, 5.00%, 10/15/2023		250		275

Series 2020A, GO, AGM, 5.00%, 10/15/2024		150		171

School District of Philadelphia (The)

Series 2019A, GO, 5.00%, 9/1/2021		800		800

Series 2019A, GO, 5.00%, 9/1/2022		1,050		1,100

Series 2019A, GO, 5.00%, 9/1/2023		1,050		1,147

School District of the City of Erie (The), Limited Tax

Series 2019B, GO, AGM, 5.00%, 4/1/2022		325		334

Series 2019B, GO, AGM, 5.00%, 4/1/2023		315		338

Selinsgrove Area School District

Series A, GO, 2.00%, 9/1/2021		125		125

Series A, GO, 2.00%, 3/1/2022		5		5

Series B, GO, 3.00%, 3/1/2022		130		132

Series A, GO, 2.00%, 9/1/2022		400		407

Series A, GO, 2.00%, 3/1/2023		5		5

Series B, GO, 3.00%, 3/1/2023		95		99

Series A, GO, 2.00%, 9/1/2023		585		605

Southcentral General Authority, Wellspan Health Obligated Group Series C, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/9/2021 (c)		16,000		16,000

Southeastern Pennsylvania Transportation Authority

Rev., 5.00%, 6/1/2022		500		518

Rev., 5.00%, 6/1/2023		750		813

Rev., 5.00%, 6/1/2024		755		852

Rev., 5.00%, 6/1/2025		1,250		1,463

Rev., 5.00%, 6/1/2026		750		907

Sports and Exhibition Authority of Pittsburgh and Allegheny County, Sales Tax

Rev., AGM, 4.00%, 2/1/2022		1,125		1,143

Rev., AGM, 4.00%, 2/1/2023		1,500		1,578

Rev., AGM, 5.00%, 2/1/2026		1,995		2,386

Spring-Benner-Walker Joint Authority Series 2020A, Rev., 4.00%, 9/1/2024		440		487


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

State Public School Building Authority, Community College of Philadelphia Project Series 2019A, Rev., AGM, 5.00%, 6/15/2022		310		321

Steel Valley School District, Allegheny County, Pennsylvania Unlimited Tax

Series 2019B, GO, 3.00%, 11/1/2021		230		231

Series 2019B, GO, 4.00%, 11/1/2022		240		250

Series 2019B, GO, 4.00%, 11/1/2023		250		270

Steelton-Highspire School District, Limited Tax

GO, 4.00%, 11/15/2022		60		63

GO, 4.00%, 11/15/2023		85		91

Township of Butler

GO, 4.00%, 10/1/2021		475		476

GO, 5.00%, 10/1/2022		250		263

GO, 5.00%, 10/1/2023		260		285

GO, 5.00%, 10/1/2024		275		313

Township of East Coventry

GO, 3.00%, 12/1/2025		345		380

GO, 3.00%, 12/1/2026		275		307

Township of East Pennsboro, Cumberland County

GO, 3.00%, 9/1/2021		190		190

GO, 3.00%, 9/1/2022		175		180

Township of Radnor

GO, 2.00%, 6/15/2022		190		193

GO, 3.00%, 6/15/2024		145		156

Township of Rostraver GO, AGM, 4.00%, 9/1/2021		100		100

Uniontown Area School District

GO, 2.00%, 10/1/2023		530		548

GO, 3.00%, 10/1/2024		900		970

University of Pittsburgh of the Commonwealth System of Higher Education Rev., (SIFMA Municipal Swap Index Yield + 0.36%), 0.38%, 9/9/2021 (b)		47,000		47,206

Upper Allegheny Joint Sanitary Authority

Series 2019A, Rev., AGM, 3.00%, 9/1/2021		285		285

Series 2019A, Rev., AGM, 4.00%, 9/1/2022		200		207

Series 2019A, Rev., AGM, 4.00%, 9/1/2023		215		230

Waynesboro Area School District, Franklin County

GO, 5.00%, 10/1/2021		580		583

GO, 5.00%, 10/1/2022		305		320

GO, 5.00%, 10/1/2023		320		351

Wilkes-Barre Area School District GO, 5.00%, 4/15/2023		115		123


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — continued

Wyalusing Area School District

GO, 3.00%, 4/1/2022		150		152

GO, AGM, 4.00%, 4/1/2022		315		322

GO, 3.00%, 4/1/2023		200		209

GO, AGM, 4.00%, 4/1/2023		400		424

GO, 3.00%, 4/1/2024		185		198

GO, 3.00%, 4/1/2025		200		218

GO, 3.00%, 4/1/2026		300		334


Total Pennsylvania				251,113


Rhode Island — 0.3%

City of Pawtucket

Series 2019D, GO, AGM, 3.00%, 7/15/2022		210		215

Series 2019C, GO, AGM, 4.00%, 7/15/2022		210		217

Series 2019D, GO, AGM, 3.00%, 7/15/2023		70		74

Series 2019C, GO, AGM, 4.00%, 7/15/2023		380		406

Rhode Island Health and Educational Building Corp., Public School Financing Program

Series 2021F, Rev., 4.00%, 5/15/2024		1,790		1,970

Series 2021F, Rev., 3.00%, 5/15/2026		1,225		1,367

Rhode Island Health and Educational Building Corp., Public School Program, Providence Public Building Authority Series 2013A, Rev., 5.00%, 5/15/2022		15		16

Rhode Island Industrial Facilities Corp., Marine Terminal, ExxonMobil Project Rev., VRDO, 0.01%, 9/10/2021 (c)		12,105		12,105

Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax

Series 2019A, Rev., 5.00%, 10/1/2021		300		301

Series 2019A, Rev., 5.00%, 10/1/2023		125		137


Total Rhode Island				16,808


South Carolina — 0.5%

Charleston County School District GO, SCSDE, 5.00%, 3/1/2024		3,000		3,362

Chester Sewer District, Wastewater System Improvement Rev., 4.00%, 6/1/2023		75		80

County Square Redevelopment Corp., Greenville County, South Carolina Project Rev., BAN, 2.00%, 9/10/2021		7,000		7,068

Educational Facilities Authority, Wofford College Rev., 2.37%, 4/1/2022 (c)		500		505

Piedmont Municipal Power Agency

Series 2021A, Rev., 4.00%, 1/1/2024		1,525		1,658

Series 2021A, Rev., 4.00%, 1/1/2025		2,350		2,633


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


South Carolina — continued

South Carolina Jobs-Economic Development Authority, Lowcountry Leadership Charter School Project Series A, Rev., 2.38%, 12/1/2024 (e)		600		610

South Carolina Jobs-Economic Development Authority, Woodlands at Furman Project Series 2020A, Rev., 4.00%, 11/15/2023		130		136

South Carolina Transportation Infrastructure Bank Series 2003B, Rev., (ICE LIBOR USD 1 Month + 0.45%), 0.52%, 10/1/2021 (b)		9,905		9,906


Total South Carolina				25,958


South Dakota — 0.0% (f)

South Dakota Board of Regents, Housing and Auxiliary Facility System Rev., 5.00%, 4/1/2022		375		386


Tennessee — 1.6%

Chattanooga Health Educational & Housing Facility Board, Battery Heights Apartment Rev., 0.20%, 8/1/2023 (c)		2,000		1,999

City of Memphis, General Improvement

Series 2020A, GO, 5.00%, 12/1/2021		875		886

Series 2020A, GO, 5.00%, 12/1/2022		2,035		2,160

Series 2020A, GO, 5.00%, 12/1/2023		2,135		2,366

Series 2020A, GO, 5.00%, 12/1/2024		2,245		2,590

County of Hamilton

Series 2020B, GO, 5.00%, 3/1/2022		3,255		3,334

Series 2020B, GO, 5.00%, 3/1/2023		3,270		3,509

Series 2020B, GO, 5.00%, 3/1/2024		3,355		3,760

County of Shelby, Public Improvement Series 2006B, GO, VRDO, 0.02%, 9/9/2021 (c)		5,015		5,015

Knox County Health Educational and Housing Facility Board, University Health System, Inc. Rev., 5.00%, 4/1/2025		1,000		1,154

Knoxville’s Community Development Corp., Austin Homes 18 Project Rev., 0.22%, 10/1/2023 (c)		4,500		4,498

Lewisburg Industrial Development Board, Lewisburg Summit Apartments Rev., 1.55%, 3/1/2022 (c)		1,900		1,913

Memphis-Shelby County Airport Authority

Series 2021B, Rev., AMT, 5.00%, 7/1/2022		305		317

Series 2021C, Rev., AMT, 5.00%, 7/1/2022		185		192

Series 2021C, Rev., AMT, 5.00%, 7/1/2023		645		701

Series 2021C, Rev., AMT, 5.00%, 7/1/2024		850		961


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Tennessee — continued

Metropolitan Government Nashville and Davidson County Industrial Development Board, Waste Management, Inc. of Tennessee Project Rev., 0.58%, 8/1/2024 (c)		1,150		1,150

Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Trevecca Nazarene University Project Rev., 3.00%, 10/1/2024		325		337

Metropolitan Government of Nashville and Davidson County

Series 2021C, GO, 5.00%, 1/1/2024		10,000		11,117

Series 2021A, GO, 5.00%, 7/1/2026		600		731

Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019B-1, Rev., 4.00%, 12/1/2026		10,000		10,282

Tennergy Corp., Gas Supply Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 10/1/2024 (c)		10,000		11,362

Tennessee Energy Acquisition Corp., Commodity Project

Series 2021A, Rev., 5.00%, 11/1/2022		175		185

Series 2021A, Rev., 5.00%, 11/1/2023		250		275

Series 2021A, Rev., 5.00%, 11/1/2024		250		285

Series 2021A, Rev., 5.00%, 11/1/2025		290		341

Series 2021A, Rev., 5.00%, 11/1/2026		350		424

Series 2021A, Rev., 5.00%, 11/1/2027		1,000		1,241

Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (c)		17,045		18,004


Total Tennessee				91,089


Texas — 6.7%

Arlington Higher Education Finance Corp., Trinity Basin Preparatory, Inc.

Rev., PSF-GTD, 3.00%, 8/15/2022		635		652

Rev., PSF-GTD, 3.00%, 8/15/2023		655		690

Austin Community College District Public Facility Corp., Lease, Highland Campus Parking Garage Project

Series 2018C, Rev., 5.00%, 8/1/2024		200		228

Series 2018C, Rev., 5.00%, 8/1/2025		200		235

Austin Community College District, Combined Fee

Rev., 5.00%, 2/1/2022		165		168

Rev., 5.00%, 2/1/2023		170		182

Avery Ranch Road District No. 1, Unlimited Tax

GO, 3.00%, 9/10/2021		615		631

GO, 3.00%, 8/15/2023		810		854


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Big Oaks Municipal Utility District, Waterworks & Sewer System, Unlimited Tax

GO, AGM, 3.00%, 3/1/2022		345		350

GO, AGM, 3.00%, 3/1/2023		905		940

Board of Regents of the University of Texas System, Financing System Series 2008B, Rev., VRDO, LIQ: University of Texas Investment Management Co. (The), 0.01%, 9/9/2021 (c)		4,495		4,495

Bridgestone Municipal Utility District, Unlimited Tax

Series A, GO, AGM, 2.00%, 5/1/2022		110		111

Series A, GO, AGM, 3.00%, 5/1/2023		85		89

Brushy Creek Municipal Utility District, Unlimited Tax

GO, 3.00%, 6/1/2022		235		240

GO, 3.00%, 6/1/2023		250		262

Capital Area Housing Finance Corp., Multi-Family Housing, Grand Avenue Flats Ltd. Rev., 0.29%, 8/1/2024 (c)		11,100		11,089

Central Texas Regional Mobility Authority, Subordinated Lien

Rev., BAN, 4.00%, 1/1/2022		2,455		2,463

Series 2020F, Rev., BAN, 5.00%, 1/1/2025		6,430		7,248

City of Austin, Airport System Rev., AMT, 5.00%, 11/15/2022		4,250		4,493

City of Austin, Public Improvement GO, 5.00%, 9/1/2021		30		30

City of El Paso Series 2020A, GO, 5.00%, 8/15/2024		275		313

City of El Paso, Certificates of Obligation, Combination Tax

GO, 5.00%, 8/15/2022		400		419

GO, 5.00%, 8/15/2023		515		564

GO, 5.00%, 8/15/2024		700		797

City of Galveston, Certificates of Obligation GO, 4.00%, 5/1/2022		590		605

City of Houston, Airport System, Subordinate Lien

Series 2021A, Rev., AMT, 5.00%, 9/10/2021		850		925

Series 2021A, Rev., AMT, 5.00%, 7/1/2024		500		566

Series 2021A, Rev., AMT, 5.00%, 7/1/2025		500		586

Series 2021A, Rev., AMT, 5.00%, 7/1/2026		1,250		1,511

Series 2021A, Rev., AMT, 5.00%, 7/1/2027		1,000		1,240

City of Houston, Combined Utility System, First Lien

Series 2012A, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/9/2021 (c)		27,250		27,250


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Series 2004B-6, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/10/2021 (c)		9,000		9,000

Series B-2, Rev., VRDO, LOC: Citibank NA, 0.02%, 9/10/2021 (c)		22,500		22,500

City of Irving, Hotel Occupancy, Occupancy Tax

Rev., 5.00%, 8/15/2022		50		52

Rev., 5.00%, 8/15/2023		50		54

City of Kenedy, Combination Tax, Certificates of Obligation

GO, 4.00%, 5/1/2022		120		123

GO, 4.00%, 5/1/2023		125		133

City of Port Aransas, Combination Tax, Certificates of Obligation

Series 2020A, GO, AGM, 4.00%, 2/15/2022		350		356

Series 2020A, GO, AGM, 4.00%, 2/15/2023		365		385

Series 2020A, GO, AGM, 5.00%, 2/15/2024		380		424

Series 2020A, GO, AGM, 5.00%, 2/15/2025		400		463

City of Port Arthur

GO, AGM, 3.00%, 2/15/2022		765		775

GO, AGM, 5.00%, 2/15/2023		910		972

City of Sulphur Springs

GO, AGM, 3.00%, 9/1/2021		100		100

GO, AGM, 3.00%, 9/1/2022		520		534

City of Universal City, Improvement Bonds

GO, 4.00%, 9/1/2021		145		150

GO, 2.00%, 8/15/2023		230		238

Clear Brook City Municipal Utility District, Unlimited Tax GO, AGM, 2.10%, 2/1/2023		450		461

County of Bexar, Tax Exempt Venue Project

Rev., 5.00%, 8/15/2022		275		285

Rev., 5.00%, 8/15/2023		275		297

County of Collin, Limited Tax GO, 5.00%, 2/15/2022		9,755		9,974

County of Kaufman, Limited Tax

Series 2020A, GO, 5.00%, 2/15/2022		250		255

Series 2020A, GO, 5.00%, 2/15/2023		110		118

Series 2020A, GO, 5.00%, 2/15/2024		125		139

Series 2020A, GO, 5.00%, 2/15/2025		130		151

County of Kaufman, Unlimited Tax

GO, 5.00%, 2/15/2023		155		166

GO, 5.00%, 2/15/2024		210		234

GO, 5.00%, 2/15/2025		255		295

Cypress Hill Municipal Utility District No. 1, Unlimited Tax

GO, 2.00%, 9/1/2021		290		290


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

GO, 2.00%, 9/1/2022		190		193

GO, 3.00%, 9/1/2023		270		283

Cypress-Fairbanks Independent School District, Unlimited Tax

Series 2020A, GO, PSF-GTD, 4.00%, 2/15/2022		4,430		4,508

Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2023		5,000		5,353

Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2024		10,000		11,180

Florence Independent School District, Unlimited Tax

GO, PSF-GTD, 3.00%, 8/15/2026		230		235

GO, PSF-GTD, 3.00%, 8/15/2027		115		118

Fort Bend County Levee Improvement District No. 11, Levee Improvement, Unlimited Tax GO, AGM, 3.00%, 9/1/2023		400		421

Fort Bend County Municipal Utility District No. 116, Unlimited Tax

GO, 3.00%, 9/1/2021		330		330

GO, 3.00%, 9/1/2022		460		472

GO, 3.00%, 9/1/2023		450		474

Fort Bend County Municipal Utility District No. 151, Unlimited Tax GO, 3.00%, 9/1/2021		190		190

Galveston Public Facility Corp., The Oleanders at Broadway Rev., 0.47%, 8/1/2024 (c)		3,700		3,703

Grand Parkway Transportation Corp., System Toll Series 2013B, Rev., 5.00%, 10/1/2023 (d)		21,060		23,176

Greenhawe Water Control and Improvement District No. 2

GO, AGM, 3.00%, 9/1/2022		190		195

GO, AGM, 3.00%, 9/1/2023		200		211

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System

Series 2016D, Rev., VRDO, 0.02%, 9/8/2021 (c)		11,995		11,995

Series 2019F, Rev., VRDO, 0.02%, 9/8/2021 (c)		18,300		18,300

Series 2019C, Rev., (SIFMA Municipal Swap Index Yield + 0.42%), 0.44%, 9/9/2021 (b)		10,000		9,996

Series 2019C-2, Rev., (SIFMA Municipal Swap Index Yield + 0.57%), 0.59%, 9/9/2021 (b)		9,000		9,039

Series 2020C-3, Rev., 5.00%, 9/10/2021 (c)		5,000		6,114

Series 2019A, Rev., 5.00%, 12/1/2021		1,750		1,771

Series 2019A, Rev., 5.00%, 12/1/2022		1,700		1,803

Series 2019A, Rev., 5.00%, 12/1/2023		2,230		2,469


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Harris County Fresh Water Supply District No. 61

GO, AGM, 4.00%, 9/1/2023		445		478

GO, AGM, 3.00%, 9/1/2024		695		751

Harris County Municipal Utility District No. 096, Unlimited Tax, Green Bond

GO, 2.00%, 9/1/2021		185		185

GO, 2.00%, 9/1/2023		195		201

Harris County Municipal Utility District No. 152, Unlimited Tax

GO, AGM, 3.00%, 8/1/2022		280		287

GO, AGM, 3.00%, 8/1/2023		400		420

Harris County Municipal Utility District No. 157, Unlimited Tax GO, AGM, 3.00%, 3/1/2023		425		442

Harris County Municipal Utility District No. 276, Unlimited Tax

GO, 3.00%, 9/1/2022		365		375

GO, 3.00%, 9/1/2023		745		784

Harris County Municipal Utility District No. 281, Unlimited Tax, Green Bond

GO, 2.00%, 9/1/2021		130		130

GO, 2.00%, 9/1/2022		300		305

GO, 2.00%, 9/1/2023		305		315

Harris County Municipal Utility District No. 374, Unlimited Tax

GO, 3.00%, 9/1/2021		100		100

GO, 3.00%, 9/1/2022		145		149

GO, 3.00%, 9/1/2023		115		120

Harris County Municipal Utility District No. 391, Unlimited Tax

GO, 3.00%, 9/1/2021		375		375

GO, 3.00%, 9/1/2023		400		421

Harris County Municipal Utility District No. 419, Unlimited Tax

GO, 3.00%, 9/1/2021		70		70

GO, 3.00%, 9/1/2022		175		180

GO, 3.00%, 9/1/2023		455		479

Harris County Municipal Utility District No. 55, Unlimited Tax

GO, 3.00%, 2/1/2022		260		263

GO, 3.00%, 2/1/2023		785		815

Harris County Water Control and Improvement District No. 119, Unlimited Tax

GO, AGM, 2.00%, 10/1/2021		835		837

GO, AGM, 3.00%, 10/1/2022		365		375

GO, AGM, 3.00%, 10/1/2023		375		395


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Hunters Glen Municipal Utility District, Waterworks and Sewer System

Series 2019A, GO, AGM, 2.00%, 4/1/2022		330		333

Series 2019A, GO, AGM, 2.00%, 4/1/2023		595		611

La Joya Independent School District, Maintenance Tax

GO, AGM, 4.00%, 2/15/2022		390		397

GO, AGM, 4.00%, 2/15/2023		420		443

Love Field Airport Modernization Corp. Rev., AMT, 5.00%, 9/1/2021		125		126

Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project Rev., VRDO, 0.01%, 9/3/2021 (c)		5,900		5,900

Lytle Independent School District, Unlimited Tax GO, PSF-GTD, 4.00%, 2/15/2028		255		308

Matagorda County Navigation District No. 1, Pollution Control, Central Power and Light Co. Project Rev., AMT, 0.90%, 9/1/2023 (c)		3,750		3,774

McLennan County Junior College District Rev., AGM, 3.00%, 4/15/2022		100		102

Metropolitan Transit Authority of Harris County Sales and Use Tax Series 2016A, Rev., 5.00%, 11/1/2024		6,290		7,233

Mission Economic Development Corp., Waste Management, Inc., Project Rev., AMT, (SIFMA Municipal Swap Index Yield + 0.38%), 0.39%, 9/1/2021 (b)		10,000		10,000

Montgomery County Municipal Utility District No. 94, Unlimited Tax

GO, 2.00%, 10/1/2021		60		60

GO, 2.00%, 10/1/2022		185		188

GO, 2.00%, 10/1/2023		185		192

New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project

Series 2020A, Rev., 2.10%, 1/1/2023		90		91

Series 2020A, Rev., 2.20%, 1/1/2024		180		184

Series 2020A, Rev., 2.25%, 1/1/2025		315		323

New Hope Cultural Education Facilities Finance Corp., Presbyterian Village North Project

Rev., 5.00%, 10/1/2021		1,425		1,429

Rev., 5.00%, 10/1/2022		1,495		1,545

North Texas Tollway Authority, First Tier Series 2017A, Rev., 5.00%, 1/1/2025		4,725		5,027

North Texas Tollway Authority, Second Tier

Series B, Rev., 4.00%, 1/1/2022		800		810

Series B, Rev., 5.00%, 1/1/2023		5,000		5,319

Series B, Rev., 5.00%, 1/1/2024		5,500		6,108


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Northwest Harris County Municipal Utility District No. 19, Unlimited Tax

GO, AGM, 2.00%, 10/1/2021		100		100

GO, AGM, 2.00%, 10/1/2022		100		102

GO, AGM, 2.00%, 10/1/2023		105		108

Pecan Grove Municipal Utility District, Unlimited Tax

GO, 4.00%, 9/1/2021		560		560

GO, AGM, 3.00%, 9/1/2022		195		200

GO, 4.00%, 9/1/2022		710		736

GO, AGM, 3.00%, 9/1/2023		345		363

GO, 4.00%, 9/1/2023		740		794

GO, AGM, 3.00%, 9/1/2024		600		645

Plano Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2025		1,140		1,325

Robstown Independent School District, Unlimited Tax

GO, PSF-GTD, 2.00%, 2/15/2022		325		328

GO, PSF-GTD, 3.00%, 2/15/2023		650		675

GO, PSF-GTD, 3.00%, 2/15/2024		360		384

Sienna Plantation Municipal Utility District No. 3, Unlimited Tax

GO, 2.00%, 3/1/2022		225		227

GO, 2.00%, 3/1/2023		185		190

Socorro Independent School District, Unlimited Tax Series 2014A, GO, PSF-GTD, 5.00%, 8/15/2024 (d)		2,385		2,723

State of Texas, Veterans

Series A, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/10/2021 (c)		11,495		11,495

GO, VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.04%, 9/10/2021 (c)		16,685		16,685

State of Texas, Veterans Housing Assistance Program Series 2008 B, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (c)		5,730		5,730

Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2008-C, Rev., VRDO, 0.01%, 9/8/2021 (c)		1,175		1,175

Tarrant Regional Water District Water Supply System Series 2020C, Rev., 4.00%, 9/10/2021		3,325		3,390

Texas A&M University, Financing System Series 2013B, Rev., 5.00%, 5/15/2023 (d)		18,515		20,025

Town of Horizon City, Combination Tax

GO, AGM, 3.00%, 8/15/2022		170		174

GO, AGM, 4.00%, 8/15/2023		230		247


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Travis County Housing Finance Corp., Multi-Family Housing, Enclave on Ross Apartments Rev., 0.23%, 2/1/2024 (c)		10,000		9,993

Travis County Municipal Utility District No. 4, Unlimited Contract Tax

Series 2019A, GO, AGM, 2.00%, 9/1/2022		410		417

Series 2019A, GO, AGM, 3.00%, 9/1/2023		650		684

Travis County Water Control and Improvement District No. 17, Texas Steiner Ranch Defined Area Unlimited Tax

GO, 4.00%, 9/10/2021		300		339

GO, 3.00%, 5/1/2024		400		427

GO, 4.00%, 5/1/2026		280		324

Upper Trinity Regional Water District, Regional Treated Water Supply System Rev., 4.00%, 8/1/2027		900		1,072

Wichita Falls Independent School District, Unlimited Tax

GO, PSF-GTD, 3.00%, 2/1/2023		1,400		1,456

GO, PSF-GTD, 4.00%, 2/1/2024		1,000		1,091

GO, PSF-GTD, 4.00%, 2/1/2025		1,520		1,711

Williamson County Municipal Utility District No. 11, Unlimited Tax GO, AGM, 4.00%, 8/1/2022		110		114


Total Texas				377,443


Utah — 0.2%

City of Murray, Sales Tax Rev., 4.00%, 11/15/2021		150		151

City of Salt Lake, International Airport

Series 2021A, Rev., AMT, 5.00%, 7/1/2022		250		260

Series 2021A, Rev., AMT, 5.00%, 7/1/2023		300		326

Series 2021A, Rev., AMT, 5.00%, 7/1/2024		1,000		1,130

Series 2021A, Rev., AMT, 5.00%, 7/1/2025		1,325		1,550

Series 2021A, Rev., AMT, 5.00%, 7/1/2026		1,660		2,003

County of Utah, IHC Health Services, Inc. Series 2016D, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/10/2021 (c)		5,000		5,000

Utah Charter School Finance Authority, Summit Academy Incorporated

Series A, Rev., 5.00%, 4/15/2022		35		36

Series A, Rev., 5.00%, 4/15/2023		85		91

Utah Charter School Finance Authority, Utah Charter Academies Project Rev., 4.00%, 10/15/2021		305		306


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Utah — continued

Utah Infrastructure Agency, Tax-Exempt Telecommunications

Rev., 3.00%, 9/10/2021		125		137

Rev., 3.00%, 10/15/2023		60		63


Total Utah				11,053


Vermont — 0.2%

Vermont Educational and Health Buildings Financing Agency, Fletcher Allen Health Series A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (c)		10,000		10,000


Virginia — 2.6%

Chesapeake Economic Development Authority, Virginia Electric and Power Co. Project Series 2008A, Rev., 1.90%, 6/1/2023 (c)		4,250		4,344

Chesapeake Hospital Authority, Regional Medical Center

Rev., 5.00%, 7/1/2023		925		1,004

Rev., 5.00%, 7/1/2024		885		994

County of Fairfax, Public Improvement Series 2021A, GO, 4.00%, 9/10/2021		2,740		2,962

Fairfax County Industrial Development Authority, Virginia Health Care, Inova Health System Project

Series 2016C, Rev., VRDO, 0.02%, 9/10/2021 (c)		13,775		13,775

Series 2018C, Rev., VRDO, 0.02%, 9/10/2021 (c)		49,305		49,305

Halifax County Industrial Development Authority, Electric and Power Co. Project Series 2010A, Rev., 0.45%, 4/1/2022 (c)		8,000		8,007

Loudoun County Economic Development Authority, Howard Hughes Medical Institute

Series 2003B, Rev., VRDO, 0.02%, 9/8/2021 (c)		18,650		18,650

Series 2003E, Rev., VRDO, 0.01%, 9/10/2021 (c)		5,710		5,710

Series 2003F, Rev., VRDO, 0.01%, 9/10/2021 (c)		4,050		4,050

Norfolk Economic Development Authority, Sentara Healthcare Series 2016A, Rev., VRDO, 0.01%, 9/10/2021 (c)		3,135		3,135

Peninsula Ports Authority, Dominion Terminal Associates Project — DETC Issue Rev., 1.70%, 10/1/2022 (c)		1,550		1,572

Rockingham County Economic Development Authority, Sunnyside Presbyterian Home

Series 2020A, Rev., 4.00%, 12/1/2021		270		272


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Virginia — continued

Series 2020A, Rev., 4.00%, 12/1/2022		295		308

Series 2020A, Rev., 4.00%, 12/1/2023		100		108

Wise County Industrial Development Authority, Electric and Power Co. Project Series 2009A, Rev., 0.75%, 9/2/2025 (c)		22,765		22,977

York County Economic Development Authority, Electric and Power Co. Project Series 2009A, Rev., 1.90%, 6/1/2023 (c)		8,000		8,183


Total Virginia				145,356


Washington — 1.2%

Chelan County Public Utility District No. 1 Series 2008B, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/8/2021 (c)		2,350		2,350

City of Seattle, Municipal Light and Power Improvement Rev., 5.00%, 9/1/2021		20		20

Douglas County Public Utility District No. 1, Wells Hydro Electric Series B, Rev., 4.00%, 9/1/2021		25		25

King County Housing Authority, Highland Village Project

Rev., 4.00%, 1/1/2022		120		121

Rev., 4.00%, 1/1/2023		100		105

Rev., 5.00%, 1/1/2024		120		133

King County School District No. 407 Riverview, Unlimited Tax GO, 4.00%, 12/1/2023		500		542

Kitsap County School District No. 401 Central Kitsap, Unlimited Tax GO, 4.00%, 12/1/2021		75		76

Port of Tacoma, Subordinate Lien Series 2008B, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (c)		29,980		29,980

Snohomish County School District No. 15 Edmonds, Unlimited Tax GO, 5.00%, 12/1/2021		330		334

State of Washington, Various Purpose Series R-2013C, GO, 5.00%, 7/1/2025		8,000		8,703

Washington Health Care Facilities Authority, Catholic Health Initiatives Series 2013B, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 1.42%, 9/9/2021 (b)		10,000		10,054

Washington Health Care Facilities Authority, Commonspirit Health Series B-1, Rev., 5.00%, 8/1/2024 (c)		11,000		12,211

Washington Health Care Facilities Authority, Overlake Hospital Medical Center Series 2017B, Rev., 5.00%, 7/1/2022		1,210		1,258

Washington State Housing Finance Commission, Transforming Age Projects Series 2019B, Rev., 2.38%, 9/10/2021 (e)		3,500		3,504


Total Washington				69,416


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

West Virginia — 0.2%

Berkeley County Board of Education

GO, 4.00%, 5/1/2022		600		615

GO, 5.00%, 5/1/2025		360		417

West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project

Series 2009A, Rev., 2.63%, 6/1/2022 (c)		3,805		3,870

Series 2011A, Rev., AMT, 1.00%, 9/1/2025 (c)		5,650		5,695

West Virginia State School Building Authority, Lottery Capital Improvement Series 2016A, Rev., 5.00%, 7/1/2026		1,520		1,788


Total West Virginia				12,385


Wisconsin — 1.2%

Big Foot Union High School District

GO, 4.00%, 3/1/2022		100		102

GO, 4.00%, 3/1/2023		115		121

City of Fort Atkinson

GO, 3.00%, 2/1/2022		120		121

GO, 4.00%, 2/1/2023		230		242

City of Kaukauna, Sanitary Sewer System Series 2019C, Rev., BAN, 2.63%, 9/1/2024		510		521

City of Kaukauna, Storm Water System Series 2019D, Rev., BAN, 2.63%, 9/1/2024		660		674

City of Milwaukee, Promissory Notes

Series 2015N2, GO, 4.00%, 9/10/2021		1,955		2,133

Series 2017N4, GO, 5.00%, 4/1/2024		3,045		3,404

City of Oak Creek

GO, 3.00%, 4/1/2022		135		137

GO, 3.00%, 4/1/2023		180		188

City of Racine

Series 2019B, GO, 5.00%, 9/10/2021		125		138

Series 2019B, GO, 4.00%, 12/1/2021		165		166

Series 2019B, GO, 4.00%, 12/1/2022		145		152

City of Shawano, Promissory Notes

GO, 3.00%, 4/1/2022		140		142

GO, 3.00%, 4/1/2023		150		157

City of Watertown, Promissory Notes

GO, 3.00%, 6/1/2023		125		131

GO, 3.00%, 6/1/2024		425		457

City of Waukesha, Promissory Notes

Series 2019C, GO, 3.00%, 10/1/2021		450		451

Series 2019C, GO, 3.00%, 10/1/2022		425		438

Series 2019C, GO, 3.00%, 10/1/2023		350		370

County of Douglas GO, 5.00%, 2/1/2022		520		531


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wisconsin — continued

County of Manitowoc

GO, AGM, 3.00%, 4/1/2022		875		889

GO, AGM, 3.00%, 11/1/2022		50		51

GO, AGM, 3.00%, 4/1/2023		895		932

GO, AGM, 3.00%, 11/1/2023		150		158

GO, AGM, 4.00%, 4/1/2024		680		743

County of Rusk

GO, 3.00%, 3/1/2022		130		132

GO, 3.00%, 3/1/2023		260		271

GO, 3.00%, 3/1/2024		270		288

Gale-Ettrick-Trempealeau School District

GO, 2.00%, 4/1/2022		105		106

GO, 2.00%, 4/1/2023		130		133

Gibraltar Area School District, Promissory Notes GO, 4.00%, 3/1/2022		315		321

Lakeshore Technical College District

Series 2019A, GO, 3.00%, 9/10/2021		405		432

Series 2019A, GO, 3.00%, 3/1/2022		75		76

Series 2019A, GO, 3.00%, 3/1/2023		110		115

Milwaukee Redevelopment Authority, Public Schools Rev., 4.00%, 11/15/2021		55		55

Pewaukee School District Series 2019A, GO, 5.00%, 9/10/2021		375		419

PMA Levy and Aid Anticipation Notes Program

Series 2020A, Rev., 3.00%, 10/22/2021		17,200		17,272

Series 2020B, Rev., 3.00%, 10/22/2021		10,000		10,041

Poynette School District

GO, 3.00%, 4/1/2022		340		346

GO, 3.00%, 4/1/2023		265		276

River Falls School District GO, 3.00%, 9/10/2021		1,830		2,033

Village of DeForest Series C, Rev., 3.00%, 5/1/2023		4,865		4,876

Village of Mount Pleasant, Promissory Notes

Series 2019A, GO, 3.00%, 3/1/2022		265		269

Series 2019A, GO, 5.00%, 3/1/2023		380		407

Wisconsin Department of Transportation

Series 2021A, Rev., 5.00%, 7/1/2024		1,250		1,419

Series 2021A, Rev., 5.00%, 7/1/2025		1,750		2,063

Series 2021A, Rev., 5.00%, 7/1/2026		1,330		1,621

Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group Series 2018B-2, Rev., 5.00%, 1/25/2023 (c)		5,750		6,119

Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. Series 2017A, Rev., 5.00%, 9/1/2021 (d)		160		160


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Wisconsin — continued

Wisconsin Health and Educational Facilities Authority, Hmong American Peace Academy

Rev., 4.00%, 3/15/2022		110		112

Rev., 4.00%, 3/15/2023		120		126

Rev., 4.00%, 3/15/2024		120		129

Rev., 4.00%, 3/15/2025		125		136

Wisconsin Health and Educational Facilities Authority, St. Camillus Health System Series 2019B-3, Rev., 2.25%, 11/1/2026		4,000		4,003

Wittenberg Birnamwood School District

GO, AGM, 4.00%, 3/1/2022		260		265

GO, AGM, 4.00%, 3/1/2023		280		295


Total Wisconsin				67,865


Total Municipal Bonds (Cost $4,980,453)				5,000,658


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 11.9%

Investment Companies — 11.9%

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (g) (h) (Cost $672,571)		672,246		672,582

Total Investments — 100.5% (Cost $5,653,024)				5,673,240
Liabilities in Excess of Other Assets — (0.5)%				(25,773	)

NET ASSETS — 100.0%				5,647,467

Percentages indicated are based on net assets.


SOFR		Secured Overnight Financing Rate
TAN		Tax Anticipation Note
TRAN		Tax & Revenue Anticipation Note
USD		United States Dollar
VRDO		Variable Rate Demand Obligation


(a)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(d)		Security is prerefunded or escrowed to maturity.
(e)		Securities exempt from registration under Rule 144A or section 4 (a) (2), of the Securities Act of 1933, as amended.
(f)		Amount rounds to less than 0.1% of net assets.
(g)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(h)		The rate shown is the current yield as of August 31, 2021.

JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 8 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

The investment objective of JPMorgan California Tax Free Bond Fund (“California Tax Free Bond Fund”) is to seek to provide high after-tax total return for California residents consistent with moderate risk of capital.

The investment objective of JPMorgan High Yield Municipal Fund (“High Yield Municipal Fund”) is to seek a high level of current income exempt from federal income taxes.

The investment objective of JPMorgan Intermediate Tax Free Bond Fund (“Intermediate Tax Free Bond Fund”) is to seek to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal tax purposes.

The investment objective of JPMorgan New York Tax Free Bond Fund (“New York Tax Free Bond Fund”) is to seek to provide monthly dividends that are excluded from gross income for federal income tax purposes and are exempt from New York State and New York City personal income taxes. It also seeks to protect the value of your investment.

The investment objective of JPMorgan Short-Intermediate Municipal Bond Fund (“Short-Intermediate Bond Fund”), JPMorgan Tax Free Bond Fund (“Tax Free Bond Fund”) and JPMorgan Ultra-Short Municipal Fund (“Ultra-Short Municipal Fund”) is to seek as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

The investment objective of JPMorgan Sustainable Municipal Income Fund (“Sustainable Municipal Income Fund”) is to seek current income exempt from federal income taxes.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 —Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.

As of August 31, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — High Yield Municipal Fund, Intermediate Tax Free Bond Fund, Short Intermediate Municipal Bond Fund, Sustainable Municipal Income Fund, Tax Free Bond Fund and Ultra-Short Municipal Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.

High Yield Municipal Fund, Intermediate Tax Free Bond Fund, Short Intermediate Municipal Bond Fund, Sustainable Municipal Income Fund, Tax Free Bond Fund and Ultra-Short Municipal Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2021 are detailed on the SOIs.

D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

The Funds did not lend out any securities during the six months ended August 31, 2021.

E. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the

tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.

F. Futures Contracts — Intermediate Tax Free Bond Fund, Sustainable Municipal Income Fund and Tax Free Bond Fund used interest rate and treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade.

Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

The table below discloses the volume of the Funds’ futures contracts activity during the six months ended August 31, 2021:

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.

H. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended August 31, 2021 are as follows:

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

J. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these

“book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.

K. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended August 31, 2021, the effective annualized rate was 0.075% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares, except for Ultra-Short Municipal Fund which has no sales charge, and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended August 31, 2021, JPMDS retained the following:

D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

For the six months ended August 31, 2021, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

The amounts of these waivers resulting from investments in these money market funds for the six months ended August 31, 2021 were as follows:

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the six months ended August 31, 2021, High Yield Municipal Fund, Intermediate Tax Free Bond Fund, Short-Intermediate Municipal Bond Fund, Sustainable Municipal Income Fund, Tax Free Bond Fund and Ultra-Short Municipal Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.

During the six months ended August 31, 2021, purchases and sales of investments (excluding short-term investments) were as follows:

During the six months ended August 31, 2021, there were no purchases of U.S. Government securities.

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2021 were as follows:

At February 28, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:

Net capital (gains) losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2021, the Funds deferred to March 1, 2021 the following net capital (gains) losses of:

During the year ended February 28, 2021, the following Funds utilized capital loss carryforwards as follows:

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Funds had no borrowings outstanding from another fund at August 31, 2021. Average borrowings from the Facility during the six months ended August 31, 2021 were as follows:

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2021.

The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25%, which has decreased to 1.00% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.

The Funds did not utilize the Credit Facility during the six months ended August 31, 2021.

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of August 31, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:

Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.

High Yield Municipal Fund invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Fund is intended for investors who are able and willing to assume a high degree of risk.

The Funds invest primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. California Tax Free Bond Fund and New York Tax Free Bond Fund primarily invest in issuers in the states of California and New York, respectively. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Funds’ ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

Sustainable Municipal Income Fund’s investment in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits could cause it to perform differently compared to funds that do not have such a policy. Investing in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits may result in the Fund forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities when it might be otherwise disadvantageous for it to do so. In addition, there is a risk that the municipal bonds identified by the Adviser’s use of proceeds determination do not operate as expected when addressing positive social or environmental benefits. The Adviser’s assessment of the positive social or environmental impact of a municipal bond’s proceeds is made at the time of purchase and the actual use of proceeds by the issuer could vary over time, which could cause the Fund to be invested in bonds that do not comply with the Fund’s approach towards considering social or environmental characteristics. The factors that the Adviser considers in evaluating whether a security has positive social or environmental benefits may change over time. There are significant differences in interpretations of what it means to promote positive social or environmental benefits. While the Adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other’s views.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.

The Trusts are seeking to achieve a unified board with common membership across the Trusts and the following open-end registered investment companies also advised by J.P. Morgan Investment Management Inc.:

J.P. Morgan Fleming Mutual Fund Group, Inc., J.P. Morgan Mutual Fund Investment Trust, JPMorgan Insurance Trust, Undiscovered Managers Funds, JPMorgan Institutional Trust and J.P. Morgan Exchange-Traded Fund Trust (collectively with the Trusts, the “J.P. Morgan Funds”).

At special shareholder meetings expected to take place on or about October 27, 2021, shareholders of the J.P. Morgan Funds are being asked to elect the same sixteen individuals (“Nominees”) to serve on their respective boards:

John F. Finn, Stephen P. Fisher, Gary L. French, Kathleen M. Gallagher, Robert J. Grassi, Frankie D. Hughes, Raymond Kanner, Thomas P. Lemke, Lawrence R. Maffia, Mary E. Martinez, Marilyn McCoy, Dr. Robert A. Oden, Jr., Marian U. Pardo, Emily A. Youssouf, Robert F. Deutsch, and Nina O. Shenker (the “Nominees”).

If shareholder approval is obtained for all of the J.P. Morgan Funds, this will result in a unified board structure across all of the J.P. Morgan Funds.

Information about the proposal, including the qualifications of each of the Nominees, is contained in the Trust’s proxy statement, which you can access from the EDGAR Database on the SEC’s website at http://www.sec.gov.

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if applicable, and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, March 1, 2021, and continued to hold your shares at the end of the reporting period, August 31, 2021.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in June and August 2021, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). In accordance with SEC guidance, due to the COVID-19 pandemic, the meetings were conducted through video conference. At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the 1940 Act) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 11, 2021.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (“independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk/ and performance return assessment as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory

Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year including additional reporting and information provided in connection with the COVID-19 pandemic, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. In addition, the Board considered its discussions with the Adviser regarding the Adviser’s business continuity plan and steps the Adviser was taking to provide ongoing services to the Funds during the COVID-19 pandemic, and the Adviser’s success in continuing to provide services to the Funds and their shareholders throughout this period. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of administration services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to each Fund by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A.

(“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that other Funds which had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain satisfactory relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with

Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefitted from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefitted from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior Officer

The Trustees noted that, upon their direction, the Senior Officer for the Sustainable Municipal Income Fund, Short-Intermediate Municipal Bond Fund and Tax Free Bond Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

(the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group, and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The special analysis includes a multi-factor quantitative scoring system for summarizing a Fund’s historical investment performance. The approach relies on multiple metrics, incorporates several time periods, adjusts for risk and considers how a fund’s customized peer group (as selected by the Independent Consultant) has performed. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the California Tax Free Bond Fund’s performance for Class A shares was in the second, third and fifth quintiles based upon the Peer Group, and in the second, third and fourth quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the second, third and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the High Yield Municipal Fund’s performance for Class A shares was in the third, second and fourth quintiles based upon the Peer Group, and in the fourth, third and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the third, second and third quintiles based

upon the Peer Group, and in the fourth, third and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of their regular meetings over the course of next year.

The Trustees noted that the Intermediate Tax Free Bond Fund’s performance for Class A shares was in the first, fourth and fifth quintiles based upon the Peer Group, and in the second, third and fifth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the first, fourth and fourth quintiles based upon the Peer Group, and in the second, second and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the first and fifth quintiles based upon the Peer Group, and in the first and second quintiles based upon the Universe for the one- and three-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the New York Tax Free Bond Fund’s performance for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that performance for Class I shares was in the third quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Universe for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Short-Intermediate Municipal Bond Fund’s performance for Class A shares was in the second quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2020, and in the first quintile based upon the Universe for each of the one-, three, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Sustainable Municipal Income Fund’s performance for Class A shares was in the second, fifth and fifth quintiles based upon the Peer Group, and in the second, fourth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group for the one-year period ended December 31, 2021, and in the second and third quintiles based upon the Universe for the one- and three-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Tax Free Bond Fund’s performance for Class A shares was in the second, third and fourth quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the second, second and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation

prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Ultra-Short Municipal Fund’s performance for Class A shares was in the fifth quintile based upon both the Peer Group and the Universe for both the one- and three-year periods ended December 31, 2020. The Trustees notes that the performance for Class I shares was also in the fifth quintile based upon both the Peer Group and Universe for both the one- and three-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, concluded that the performance was satisfactory, under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of their regular meetings over the course of next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered, the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the California Tax Free Bond Fund’s net advisory fee and the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the second and

fourth quintiles, respectively, based upon the Universe. The Trustees noted that the net advisory fee and the actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the High Yield Municipal Fund’s net advisory fee for Class A shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quartiles for the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the second and first quintiles, respectively, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Intermediate Tax Free Bond Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that both the net advisory fee and actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the New York Tax Free Bond Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the second and third quintiles, respectively, based upon the Universe. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the second and first quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of this information, the

Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Short-Intermediate Municipal Bond Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for both Class I shares and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Sustainable Municipal Income Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were also in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that both the net advisory fee and actual total expenses for Class I shares were in the second quintile based upon the Universe. The Trustees noted that the net advisory fee actual total expenses for Class R6 shares were in the second and first

quintiles, respectively, based upon the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Tax Free Bond Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the first and second quintiles, respectively, based upon the Universe. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile for both the Peer Group and the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Ultra-Short Municipal Fund’s net advisory fee and actual total expenses for both Class A shares and Class I shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

The following disclosure applies to the JPMorgan Liquid Assets Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund.

You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

The following disclosure applies to the JPMorgan Prime Money Market Fund, JPMorgan Institutional Tax Free Money Market Fund and JPMorgan Securities Lending Money Market Fund.

You could lose money by investing in a Fund. Because the share price of each Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

Any gain resulting from the sale or exchange of Fund shares will be taxable as long-term or short-term gain, depending upon how long you have held your shares.

The following disclosure applies to the JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund and the JPMorgan 100% U.S. Treasury Securities Money Market Fund.

You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Dear Shareholders,

Amid ultra-low interest rates and the continuing global economic rebound, financial markets largely provided positive returns for the six months ended August 31, 2021. While the global effort to contain the pandemic has shown uneven results and supply chain disruptions have weighed on economic activity, consumer spending accelerated further and U.S. corporate earnings reached record highs during the period.

“Regardless of the economic backdrop, JPMorgan Global Liquidity remains ready to seek to deploy our global resources and expertise in seeking to deliver quality short-term fixed income solutions.” — John T. Donohue

Within fixed income markets, lower rated bonds and below investment grade bonds (also known as “junk bonds”) largely outperformed higher rated bonds and U.S. Treasury bonds as investors sought out higher yields. For its part, the U.S. Federal Reserve held policy interest rates at near zero throughout the six-month reporting period but recently indicated that it may wind down its $120 billion-a-month asset purchasing program in 2021 in response to improved conditions in the labor market and rising inflationary pressures.

Meanwhile, the U.S. Congress wrangled with two broad infrastructure spending measures sought by President Biden and, subsequent to the end of the reporting period, managed to extend the debt ceiling to avoid a first-ever U.S. debt default.

At this time, we expect the global economy will continue its strong rebound from the pandemic downturn, though the speed and reach of the recovery are likely to be determined by vaccination rates and the stability of world-wide logistical networks. Various economic data indicate that the U.S. economy is likely to see accelerating investment spending, rebuilding of inventories and continued strength in consumer demand through the end of 2021.

Regardless of the economic backdrop, JPMorgan Global Liquidity remains ready to seek to deploy our global resources and expertise in seeking to deliver quality short-term fixed income solutions. On behalf of JPMorgan Global Liquidity, we thank you for your continued partnership and trust in our company and our product.

Sincerely yours,

LOGO

John T. Donohue

CEO Asset Management Americas & Head of Global Liquidity

J.P. Morgan Asset Management

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — 26.2%

Barclays Capital, Inc., 0.24%, dated 8/31/2021, due 10/5/2021, repurchase price $400,094, collateralized by Collateralized Mortgage Obligations, 0.00% - 7.08%, due 12/15/2031 - 1/18/2063 and FNMA Connecticut Avenue Securities, 2.05% - 11.84%, due 2/26/2024 - 1/25/2051, with a value of $432,000.		400,000		400,000

Barclays Capital, Inc., 0.25%, dated 8/31/2021, due 10/5/2021, repurchase price $175,042, collateralized by Collateralized Mortgage Obligations, 0.00% - 6.44%, due 5/15/2028 - 4/25/2066 and FNMA Connecticut Avenue Securities, 1.50% - 6.43%, due 9/25/2028 -8/25/2033, with a value of $189,000.		175,000		175,000

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $90,000, collateralized by Asset-Backed Securities, 5.25%, due 10/1/2030, Corporate Notes and Bonds, 0.95% -15.50%, due 4/17/2023 - 12/21/2065, FHLMC, 1.00% - 3.50%, due 1/25/2026 -3/25/2051, FNMA, 2.00%, due 7/25/2051, GNMA, 0.75% - 2.75%, due 1/20/2046 - 6/20/2051 and Sovereign Government Securities, 0.75% - 1.75%, due 4/8/2022 - 6/29/2026, with a value of $96,531.		90,000		90,000

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $110,001, collateralized by Asset-Backed Securities, 0.00% - 5.25%, due 12/13/2023 - 6/25/2038, Collateralized Mortgage Obligations, 0.00% - 4.21%, due 6/15/2038 - 8/17/2051, Corporate Notes and Bonds, 0.50% - 7.88%, due 5/4/2022 - 1/1/2999, FHLMC, 2.54% -4.00%, due 1/25/2026 - 4/15/2043, FNMA, 1.00% - 3.50%, due 4/25/2043 -1/25/2051, GNMA, 0.50% - 5.50%, due 4/20/2034 - 1/20/2071, Sovereign Government Securities, 1.25% - 2.25%, due 1/25/2022 - 1/28/2031 and U.S. Treasury Securities, 0.13% - 1.75%, due 2/28/2023 - 2/28/2026, with a value of $115,570.		110,000		110,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


BMO Capital Markets Corp., 0.19%, dated 8/31/2021, due 9/7/2021, repurchase price $175,006, collateralized by Asset-Backed Securities, 0.00% - 5.25%, due 12/13/2023 - 9/25/2041, Collateralized Mortgage Obligations, 0.00% - 1.93%, due 7/25/2035 - 1/15/2049, Corporate Notes and Bonds, 0.65% - 11.88%, due 9/10/2021 - 1/1/2999, FHLMC, 2.54%, due 7/25/2026 and GNMA, 0.35% -2.00%, due 8/20/2051 - 7/20/2071, with a value of $188,305.		175,000		175,000

BMO Capital Markets Corp., 0.22%, dated 8/31/2021, due 9/7/2021, repurchase price $105,004, collateralized by Asset-Backed Securities, 0.29% - 6.08%, due 5/15/2024 - 4/25/2042, Collateralized Mortgage Obligations, 2.79%, due 8/12/2038, Corporate Notes and Bonds, 0.43% - 7.88%, due 5/4/2022 -1/1/2999, FNMA, 1.50% - 2.00%, due 3/25/2051 - 4/25/2051, GNMA, 1.55%, due 11/20/2070, Sovereign Government Securities, 1.25%, due 1/28/2031 and U.S. Treasury Securities, 0.00% - 5.00%, due 11/18/2021 - 5/15/2037, with a value of $111,590.		105,000		105,000

BMO Capital Markets Corp., 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Asset-Backed Securities, 4.25%, due 11/28/2053, Collateralized Mortgage Obligations, 0.00% - 6.50%, due 2/25/2035 - 4/15/2050, Corporate Notes and Bonds, 0.55% - 11.88%, due 1/20/2023 - 9/2/2040 and GNMA, 1.55% - 2.75%, due 1/20/2046 -7/20/2071, with a value of $26,456.		25,000		25,000

BMO Capital Markets Corp., 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Asset-Backed Securities, 0.19% - 6.08%, due 8/13/2024 - 1/25/2047, Collateralized Mortgage Obligations, 0.00% - 7.38%, due 4/25/2032 - 11/25/2059, Corporate Notes and Bonds, 0.75% - 5.75%, due 1/20/2023 - 1/20/2026, FHLMC, 7.25%, due 3/1/2035, GNMA, 1.55% - 2.75%, due 1/20/2046 - 7/20/2071 and U.S. Treasury Securities, 0.13%, due 2/28/2023, with a value of $26,572.		25,000		25,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

BNP Paribas SA, 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $185,009, collateralized by Asset-Backed Securities, 7.36%, due 11/15/2048 and U.S. Treasury Securities, 0.13%, due 8/31/2023, with a value of $189,321.		185,000		185,000

BNP Paribas SA, 0.29%, dated 8/31/2021, due 10/1/2021, repurchase price $75,019, collateralized by Corporate Notes and Bonds, 0.00%, due 9/30/2022 - 7/15/2025 and Sovereign Government Securities, 5.60% - 8.50%, due 1/24/2024 - 1/31/2047, with a value of $81,060.		75,000		75,000

BNP Paribas SA, 0.32%, dated 8/31/2021, due 11/17/2021, repurchase price $200,139, collateralized by Asset-Backed Securities, 0.34% - 9.11%, due 4/1/2024 - 1/25/2065, with a value of $220,352.		200,000		200,000

Bofa Securities, Inc., 0.33%, dated 8/31/2021, due 10/5/2021, repurchase price $215,069, collateralized by Collateralized Mortgage Obligations, 0.00% - 7.32%, due 5/15/2023 - 12/16/2072, FNMA Connecticut Avenue Securities, 0.85% - 4.48%, due 1/25/2024 - 9/25/2048 and Sovereign Government Securities, 3.24%, due 2/6/2028, with a value of $231,981.		215,000		215,000

Bofa Securities, Inc., 0.35%, dated 8/31/2021, due 10/5/2021, repurchase price $250,085, collateralized by Common Stocks, 0.00%, due 1/1/2049 -1/1/2999 and Preferred Stocks, 5.63% -8.13%, due 8/1/2042 - 1/1/2999, with a value of $270,000.		250,000		250,000

Bofa Securities, Inc., 0.48%, dated 8/31/2021, due 11/9/2021, repurchase price $345,322, collateralized by Collateralized Mortgage Obligations, 0.18% - 6.50%, due 11/15/2035 -11/25/2053, Corporate Notes and Bonds, 0.00% - 7.63%, due 9/1/2023 - 3/1/2050 and Sovereign Government Securities, 0.50% - 10.38%, due 1/24/2022 - 3/11/2061, with a value of $372,600.		345,000		345,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Credit Suisse Securities USA LLC, 0.20%, dated 8/31/2021, due 9/7/2021, repurchase price $50,002, collateralized by Asset-Backed Securities, 0.00% - 19.05%, due 4/17/2025 - 1/25/2060, Collateralized Mortgage Obligations, 0.00% - 6.25%, due 7/15/2032 - 4/25/2043 and Corporate Notes and Bonds, 0.00%, due 11/1/2022, with a value of $55,002.		50,000		50,000

Credit Suisse Securities USA LLC, 0.44%, dated 8/31/2021, due 10/5/2021, repurchase price $150,064, collateralized by Asset-Backed Securities, 0.00% - 20.01%, due 8/28/2023 - 1/15/2069 and Collateralized Mortgage Obligations, 3.23% - 4.10%, due 9/20/2022 - 3/25/2023, with a value of $165,152.		150,000		150,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,500,003, collateralized by U.S. Treasury Securities, 0.13%, due 2/28/2023, with a value of $2,500,004.		2,500,000		2,500,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 1.13% - 3.00%, due 8/15/2040 - 8/15/2049, with a value of $9,500,013.		9,500,000		9,500,000

Goldman Sachs & Co. LLC, 0.44%, dated 8/31/2021, due 11/19/2021, repurchase price $500,489, collateralized by Corporate Notes and Bonds, 0.00% - 12.00%, due 7/1/2022 - 7/1/2026, FHLMC, 1.50% - 5.50%, due 5/1/2033 - 8/1/2051 and FNMA, 2.50% - 6.00%, due 2/1/2023 - 7/1/2060, with a value of $510,000.		500,000		500,000

HSBC Securities USA, Inc., 0.18%, dated 8/31/2021, due 9/1/2021, repurchase price $20,000, collateralized by Asset-Backed Securities, 2.44% - 3.38%, due 5/20/2024 - 9/15/2026 and Municipal Debt Securities, 0.00%, due 8/1/2031, with a value of $21,200.		20,000		20,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

HSBC Securities USA, Inc., 0.18%, dated 8/31/2021, due 9/1/2021, repurchase price $25,000, collateralized by Corporate Notes and Bonds, 0.75% - 6.95%, due 1/29/2023 - 4/1/2060, FHLMC, 3.50% -6.50%, due 4/1/2031 - 10/1/2037, GNMA, 4.00% - 5.00%, due 9/15/2041 -5/20/2049, Sovereign Government Securities, 2.38% - 5.00%, due 4/11/2022 - 8/20/2030 and U.S. Treasury Securities, 0.00%, due 9/9/2021 -10/7/2021, with a value of $26,155.		25,000		25,000

ING Financial Markets LLC, 0.15%, dated 8/31/2021, due 9/1/2021, repurchase price $75,000, collateralized by Common Stocks, 0.00%, due 1/1/2999, with a value of $81,097.		75,000		75,000

ING Financial Markets LLC, 0.15%, dated 8/31/2021, due 9/1/2021, repurchase price $115,000, collateralized by Corporate Notes and Bonds, 0.50% -6.90%, due 3/15/2022 - 8/5/2061, with a value of $120,751.		115,000		115,000

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 10/8/2021, repurchase price $25,007, collateralized by Corporate Notes and Bonds, 1.38% - 9.75%, due 9/15/2021 - 1/1/2999, with a value of $26,851.		25,000		25,000

ING Financial Markets LLC, 0.27%, dated 8/31/2021, due 10/22/2021, repurchase price $100,039, collateralized by Common Stocks, 0.00%, due 1/1/2999, with a value of $108,048.		100,000		100,000

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 11/5/2021, repurchase price $35,016, collateralized by Corporate Notes and Bonds, 0.88% - 9.25%, due 11/15/2025 - 4/1/2044, with a value of $37,781.		35,000		35,000

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 11/10/2021, repurchase price $15,007, collateralized by Corporate Notes and Bonds, 0.00% - 7.00%, due 9/15/2021 - 8/12/2061, with a value of $15,850.		15,000		15,000

Mitsubishi UFJ Trust & Banking Corp., 0.20%, dated 8/31/2021, due 9/2/2021, repurchase price $1,000,011, collateralized by Corporate Notes and Bonds, 2.05% - 4.50%, due 5/13/2022 -5/1/2030, with a value of $1,042,682.		1,000,000		1,000,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Royal Bank of Canada, 0.17%, dated 8/31/2021, due 9/7/2021, repurchase price $200,007, collateralized by Certificates of Deposit, 0.10% - 0.11%, due 9/2/2021 - 12/9/2021 and Commercial Paper, 0.00%, due 9/2/2021 -5/6/2022, with a value of $210,000.		200,000		200,000

Societe Generale SA, 0.14%, dated 8/31/2021, due 9/1/2021, repurchase price $167,001, collateralized by Asset-Backed Securities, 2.70% - 5.88%, due 10/11/2027 - 5/15/2034, Collateralized Mortgage Obligations, 2.90% - 3.00%, due 10/17/2050 - 1/18/2052, Corporate Notes and Bonds, 0.20% - 8.63%, due 9/16/2021 - 8/1/2118, FNMA Connecticut Avenue Securities, 2.03%, due 10/25/2049 and Sovereign Government Securities, 1.40% - 6.75%, due 2/7/2022 -7/27/2033, with a value of $175,851.		167,000		167,000

Societe Generale SA, 0.21%, dated 8/31/2021, due 9/1/2021, repurchase price $805,005, collateralized by Asset-Backed Securities, 0.23% - 4.00%, due 10/11/2027 - 2/28/2041, Collateralized Mortgage Obligations, 4.35% - 5.10%, due 1/12/2034 - 8/17/2049, Corporate Notes and Bonds, 2.80% - 13.00%, due 11/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 0.73% -2.88%, due 12/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 2/7/2022 -1/1/2999, with a value of $869,099.		805,000		805,000

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $370,002, collateralized by Asset-Backed Securities, 0.23% - 5.25%, due 5/30/2025 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 5.45%, due 7/25/2036 - 5/25/2065, Corporate Notes and Bonds, 2.30% - 10.88%, due 9/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.03% -3.83%, due 2/25/2030 - 8/25/2050 and Sovereign Government Securities, 2.63% -11.88%, due 6/27/2022 - 1/1/2999, with a value of $399,582.		370,000		370,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/7/2021, repurchase price $200,009, collateralized by Asset-Backed Securities, 0.35% - 1.43%, due 2/25/2037 - 11/25/2046, Collateralized Mortgage Obligations, 4.52%, due 4/15/2050, Corporate Notes and Bonds, 1.57% -13.00%, due 3/15/2022 -1/1/2999, FNMA Connecticut Avenue Securities, 2.23% - 2.43%, due 1/27/2031 - 11/25/2039 and Sovereign Government Securities, 3.25% - 11.88%, due 9/26/2022 - 1/1/2999, with a value of $215,904.		200,000		200,000

Societe Generale SA, 0.32%, dated 8/31/2021, due 11/8/2021, repurchase price $180,111, collateralized by Asset-Backed Securities, 0.23% - 7.13%, due 1/2/2024 - 11/25/2046, Collateralized Mortgage Obligations, 4.09% - 4.52%, due 8/17/2034 - 8/25/2059, Corporate Notes and Bonds, 0.99% - 11.50%, due 11/15/2021 - 5/15/2097, FNMA Connecticut Avenue Securities, 2.03% -2.93%, due 11/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 1/5/2023 -1/1/2999, with a value of $194,460.		180,000		180,000

Societe Generale SA, 0.26%, dated 8/31/2021, due 12/1/2021, repurchase price $500,332, collateralized by Asset-Backed Securities, 0.33% - 5.25%, due 5/30/2025 - 10/25/2037, Collateralized Mortgage Obligations, 0.68% - 4.08%, due 11/15/2032 - 2/12/2049, Corporate Notes and Bonds, 1.57% - 8.75%, due 9/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.03% -2.93%, due 11/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 9/26/2022 -1/1/2999, with a value of $540,260.		500,000		500,000

TD Securities (USA) LLC, 0.18%, dated 8/31/2021, due 9/2/2021, repurchase price $900,009, collateralized by Corporate Notes and Bonds, 0.85% -7.20%, due 1/15/2022 - 5/12/2061, with a value of $945,033.		900,000		900,000

TD Securities (USA) LLC, 0.14%, dated 8/31/2021, due 9/7/2021, repurchase price $500,014, collateralized by Corporate Notes and Bonds, 0.50% -5.81%, due 4/5/2022 - 2/15/2060 and Municipal Debt Securities, 5.47% - 7.46%, due 5/1/2040 - 10/1/2046, with a value of $525,014.		500,000		500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


UBS Securities LLC, 0.25%, dated 8/31/2021, due 9/7/2021, repurchase price $300,015, collateralized by Certificates of Deposit, 0.00% - 0.46%, due 10/1/2021 - 12/2/2022, Commercial Paper, 0.00%, due 9/3/2021 -1/11/2022 and Corporate Notes and Bonds, 0.37% -12.00%, due 1/15/2022 - 1/1/2999, with a value of $319,195.		300,000		300,000

Wells Fargo Securities LLC, 0.22%, dated 8/31/2021, due 9/2/2021, repurchase price $104,001, collateralized by Commercial Paper, 0.00%, due 2/15/2022 and Corporate Notes and Bonds, 0.18% -5.06%, due 6/3/2024 - 9/30/2059, with a value of $109,205.		104,000		104,000

Wells Fargo Securities LLC, 0.32%, dated 8/31/2021, due 9/14/2021, repurchase price $250,031, collateralized by Certificates of Deposit, 0.00% - 0.25%, due 12/1/2021 - 8/29/2022 and Commercial Paper, 0.00%, due 9/1/2021 -2/15/2022, with a value of $262,710.		250,000		250,000


Total Repurchase Agreements (Cost $20,961,000)				20,961,000


Corporate Notes — 0.6%

Banks — 0.6%

Barclays Bank plc (United Kingdom)

(OBFR + 0.10%), 0.17%, 9/1/2021 (b) (c)		175,000		175,000

(OBFR + 0.16%), 0.23%, 9/1/2021 (b) (c)		300,000		300,000


Total Corporate Notes (Cost $475,000)				475,000


Municipal Bonds — 0.2%

Alaska — 0.1%

Alaska Housing Finance Corp., State Capital Project Series 2018A, Rev., VRDO, 0.08%, 9/8/2021 (d)		75,000		75,000


California — 0.1%

Metropolitan Water District of Southern California, Waterworks Series A, Rev., VRDO, LIQ: Bank of America NA, 0.08%, 9/8/2021 (d)		59,000		59,000


Total Municipal Bonds (Cost $134,000)				134,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — 72.5%

Certificates of Deposit — 28.1%

Agricultural Bank of China Ltd. (China) 0.12%, 9/27/2021		100,000		100,000

Bank of Montreal (Canada) (SOFR + 0.15%), 0.20%, 9/1/2021 (b)		150,000		150,007

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		70,000		70,007

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 9/16/2021 (b)		179,000		179,018

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/7/2021 (b)		161,000		161,015

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 10/12/2021 (b)		200,000		200,014

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/26/2021 (b)		50,000		50,001

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)		125,000		125,005

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)		115,000		115,003

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)		320,000		320,025

0.24%, 3/10/2022		100,000		100,045

0.23%, 5/11/2022		100,000		100,039

0.22%, 5/18/2022		100,000		100,031

0.21%, 6/22/2022		177,000		177,038

0.20%, 7/13/2022		100,000		100,010

Bank of Nova Scotia (The) (Canada) (SOFR + 0.18%),

0.23%, 9/1/2021 (b)		100,000		100,034

0.20%, 2/18/2022		140,000		140,052

0.23%, 5/10/2022		100,000		100,047

0.22%, 5/13/2022		28,860		28,872

BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/7/2021 (b)		94,000		94,004

0.24%, 2/1/2022		290,000		290,129

Canadian Imperial Bank of Commerce (Canada)

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		405,000		405,010

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		175,000		175,004

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		100,000		100,010

(BSBY1M + 0.10%), 0.16%, 9/24/2021 (b)		110,000		110,000

(ICE LIBOR USD 3 Month + 0.05%), 0.20%, 9/30/2021 (b)		330,000		330,047

0.19%, 10/20/2021		155,000		155,022

0.20%, 10/22/2021		100,000		100,014

0.20%, 2/18/2022		250,000		250,066

0.24%, 4/7/2022		175,000		175,082


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Certificates of Deposit — continued

China Construction Bank Corp. (China) 0.10%, 9/7/2021		125,000		125,000

Cooperatieve Rabobank UA (Netherlands)

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/30/2021 (b)		175,000		175,000

(ICE LIBOR USD 3 Month + 0.04%), 0.18%, 10/8/2021 (b)		50,000		50,003

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 10/12/2021 (b)		50,000		50,007

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)		100,000		100,004

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)		100,000		100,013

0.20%, 6/27/2022		46,500		46,509

0.22%, 7/5/2022 (e)		100,000		99,823

Credit Agricole Corporate and Investment Bank (France)

0.11%, 9/27/2021		100,000		100,002

0.12%, 11/1/2021		350,000		350,017

(SOFR + 0.12%), 0.17%, 9/1/2021 (b)		100,000		99,992

0.13%, 12/8/2021		150,000		150,010

Credit Industriel et Commercial (France)

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)		450,000		450,017

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 9/2/2021 (b)		75,000		75,009

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/17/2021 (b)		150,000		150,012

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/5/2021 (b)		75,000		75,004

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 10/6/2021 (b)		100,000		100,005

0.24%, 10/12/2021 (e)		360,000		359,959

0.24%, 10/18/2021 (e)		225,000		224,970

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/25/2021 (b)		161,000		161,005

0.22%, 10/26/2021 (e)		245,000		244,961

0.23%, 10/28/2021 (e)		175,000		174,971

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)		132,000		132,003

0.14%, 12/1/2021		100,000		100,007

0.22%, 3/7/2022 (e)		400,000		399,664

DZ Bank AG (Germany) 0.11%, 10/29/2021		245,000		245,012

Erste Group Bank AG (Austria) 0.10%, 9/20/2021		300,000		300,002

ING Bank NV (Netherlands)

0.25%, 10/8/2021		178,000		178,000

0.18%, 5/13/2022		275,000		275,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Certificates of Deposit — continued

Kookmin Bank (South Korea)

0.15%, 11/23/2021		75,000		75,009

0.25%, 8/2/2022		38,000		38,009

Korea Development Bank (South Korea)

0.21%, 12/10/2021		25,000		25,007

0.26%, 4/18/2022		50,000		50,026

Mitsubishi UFJ Trust & Banking Corp. (Japan)

0.13%, 9/14/2021 (e)		100,000		99,997

0.21%, 9/22/2021		100,000		100,008

0.19%, 10/7/2021		200,000		200,020

0.18%, 1/28/2022 (e)		100,000		99,937

0.18%, 2/24/2022 (e)		95,000		94,925

Mitsubishi UFJ Trust and Banking Co. Ltd. (Japan)

0.18%, 2/14/2022 (e)		100,000		99,927

0.18%, 2/18/2022 (e)		50,000		49,963

Mizuho Bank Ltd. (Japan)

0.16%, 9/1/2021 (e)		100,000		100,000

0.19%, 10/6/2021		200,000		200,022

0.16%, 1/7/2022		100,000		100,011

0.15%, 1/25/2022		400,000		400,005

MUFG Bank Ltd. (Japan)

0.19%, 10/7/2021		100,000		100,013

0.14%, 12/1/2021		100,000		100,010

0.14%, 12/2/2021		200,000		200,020

0.15%, 1/14/2022		80,000		80,007

National Australia Bank Ltd. (Australia)

0.20%, 10/29/2021 (e)		250,000		249,956

0.23%, 1/24/2022 (e)		185,000		184,886

0.23%, 1/26/2022 (e)		400,000		399,747

0.23%, 1/27/2022 (e)		250,000		249,841

Natixis SA (France) (SOFR + 0.13%), 0.18%, 9/1/2021 (b)		300,000		300,028

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)		175,000		175,001

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/1/2021 (b)		215,000		215,035

0.30%, 9/2/2021		30,000		30,000

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/10/2021 (b)		240,000		240,030

0.23%, 10/7/2021		155,000		155,022

(ICE LIBOR USD 3 Month + 0.03%), 0.15%, 11/12/2021 (b)		400,000		400,052

0.21%, 2/4/2022		150,000		150,056

Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b)		163,000		163,013


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Certificates of Deposit — continued

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/4/2021 (b)		51,900		51,903

0.23%, 4/21/2022		78,250		78,286

0.20%, 6/29/2022		125,000		125,015

0.20%, 7/1/2022		200,000		200,022

Norinchukin Bank (Japan)

0.08%, 10/1/2021		100,000		99,999

0.09%, 11/1/2021		300,000		299,994

Oversea-Chinese Banking Corp. Ltd. (Singapore)

0.20%, 9/27/2021		95,000		95,007

(ICE LIBOR USD 3 Month + 0.01%), 0.15%, 10/7/2021 (b)		100,000		100,002

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/26/2021 (b)		200,000		200,016

0.11%, 11/5/2021		125,000		125,000

0.21%, 12/9/2021		50,000		50,012

Royal Bank of Canada (Canada)

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/7/2021 (b)		100,000		99,998

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/11/2021 (b)		70,000		70,010

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/27/2021 (b)		50,000		50,000

Skandinaviska Enskilda Banken AB (Sweden)

0.18%, 9/9/2021		100,000		100,003

0.20%, 2/18/2022		50,000		50,017

0.24%, 4/28/2022		100,000		100,056

0.23%, 5/11/2022		100,000		100,047

Standard Chartered Bank (United Kingdom)

0.22%, 9/24/2021		450,000		450,030

(ICE LIBOR USD 3 Month + 0.02%), 0.14%, 10/12/2021 (b)		500,000		500,007

0.20%, 10/26/2021		150,000		150,016

Sumitomo Mitsui Banking Corp. (Japan)

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/10/2021 (b)		150,000		150,002

(ICE LIBOR USD 3 Month + 0.02%), 0.17%, 9/29/2021 (b)		150,000		150,001

0.19%, 10/5/2021		50,000		50,005

0.19%, 10/6/2021		250,000		250,027

0.11%, 11/16/2021		240,000		240,007

0.14%, 12/1/2021		50,000		50,005

0.14%, 12/2/2021		100,000		100,010


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Certificates of Deposit — continued

Sumitomo Mitsui Trust Bank Ltd. (Japan)

0.21%, 9/21/2021		100,000		100,008

0.22%, 9/24/2021		200,000		200,018

0.23%, 10/19/2021 (e)		200,000		199,974

0.09%, 10/25/2021		100,000		100,000

0.23%, 10/28/2021 (e)		100,000		99,984

0.23%, 11/3/2021 (e)		100,000		99,982

0.12%, 11/4/2021		200,000		200,010

0.18%, 11/22/2021 (e)		100,000		99,971

0.18%, 12/1/2021 (e)		100,000		99,966

0.18%, 2/25/2022 (e)		100,000		99,921

Sumitomo Trust Japan (Luxembourg) 0.16%, 12/6/2021 (e)		50,000		49,982

Svenska Handelsbanken AB (Sweden)

(ICE LIBOR USD 1 Month + 0.08%), 0.18%, 9/10/2021 (b)		200,000		199,958

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/16/2021 (b)		50,000		50,005

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)		95,000		95,003

0.20%, 6/28/2022		100,000		100,009

Toronto-Dominion Bank (The) (Canada)

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)		125,000		125,000

Series 01, (BSBY3M + 0.05%), 0.14%, 9/9/2021 (b)		85,000		84,983

(ICE LIBOR USD 3 Month + 0.02%), 0.14%, 11/14/2021 (b)		250,000		250,030

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 11/26/2021 (b)		250,000		250,000

0.26%, 4/21/2022 (e)		125,000		124,867

0.24%, 4/27/2022		141,250		141,325

0.27%, 4/27/2022 (e)		175,000		174,807

0.21%, 6/23/2022		150,000		150,035

Westpac Banking Corp. (Australia) (ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)		49,000		49,002

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)		150,000		150,012

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/11/2021 (b)		60,000		60,005

0.20%, 6/24/2022		97,000		97,017

Woori Bank (South Korea)

0.13%, 9/2/2021 (c)		50,000		50,000

0.14%, 10/28/2021 (c)		70,000		70,004


Total Certificates of Deposit (Cost $22,472,799)				22,475,590


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — 25.8%

Agricultural Bank of China Ltd. (China) 0.11%, 9/7/2021 (c) (e)		30,000		29,999

Alpine Securitization LLC 0.20%, 10/5/2021 (d)		85,000		85,013

Alpine Securitization Ltd. (Switzerland) 0.21%, 10/12/2021 (c)		50,000		50,006

Antalis SA (France) 0.16%, 12/1/2021 (c) (e)		51,400		51,383

ANZ New Zealand Int’l Ltd. (New Zealand) 0.19%, 10/21/2021 (c) (e)		100,000		99,990

Atlantic Asset Securitization LLC

0.08%, 9/3/2021 (c) (e)		50,000		50,000

0.18%, 11/8/2021 (c) (e)		50,000		49,989

Australia & New Zealand Banking Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/2/2021 (b) (c)		70,000		70,010

Bank of Nova Scotia (The) (Canada)

(SOFR + 0.15%), 0.20%, 9/1/2021 (b) (c)		200,000		200,020

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)		125,000		125,005

0.21%, 2/23/2022 (c) (e)		175,000		174,901

0.23%, 4/8/2022 (c) (e)		100,000		99,916

0.21%, 6/22/2022 (c) (e)		170,000		169,767

Barclays Bank plc (United Kingdom) 0.13%, 10/27/2021 (c) (e)		50,000		49,991

Bedford Row Funding Corp.

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)		150,000		150,000

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)		130,000		130,000

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/27/2021 (b) (c)		25,000		24,998

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 11/22/2021 (b) (c)		135,000		135,013

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 11/26/2021 (b) (c)		50,000		50,004

0.21%, 1/18/2022 (c) (e)		75,000		74,963

0.25%, 4/28/2022 (c) (e)		75,000		74,921

BNG Bank NV (Netherlands) 0.08%, 9/1/2021 (c) (e)		34,000		34,000

BNP Paribas SA (France)

0.23%, 10/7/2021 (e)		108,000		107,992

0.18%, 3/22/2022 (e)		136,000		135,893

0.18%, 3/22/2022 (e)		500,000		499,605

BNZ International Funding Ltd. (New Zealand) 0.17%, 11/15/2021 (c) (e)		100,000		99,982


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

BPCE SA (France)

0.20%, 11/1/2021 (c) (e)		92,400		92,384

0.20%, 11/5/2021 (c) (e)		200,000		199,963

0.23%, 12/13/2021 (c) (e)		250,000		249,917

Canadian Imperial Bank of Commerce (Canada) 0.24%, 5/6/2022 (c) (e)		200,000		199,775

Concord Minutemen Capital Co. LLC Series A, 0.10%, 9/17/2021 (c) (e)		100,000		99,996

DBS Bank Ltd. (Singapore)

0.14%, 11/29/2021 (e)		100,000		99,968

0.13%, 12/1/2021 (c) (e)		50,000		49,983

0.15%, 12/22/2021 (c) (e)		63,000		62,971

Dexia Credit Local SA (France)

0.12%, 10/12/2021 (c) (e)		200,000		199,979

0.12%, 10/13/2021 (c) (e)		100,000		99,989

0.12%, 10/14/2021 (c) (e)		150,000		149,984

0.12%, 10/15/2021 (c) (e)		250,000		249,972

0.10%, 10/18/2021 (c) (e)		174,250		174,229

0.12%, 10/21/2021 (c) (e)		250,000		249,968

0.11%, 10/22/2021 (c) (e)		170,400		170,378

0.10%, 11/2/2021 (c) (e)		100,000		99,984

0.11%, 11/4/2021 (c) (e)		140,000		139,975

DNB Bank ASA (Norway) 0.09%, 9/2/2021 (c) (e)		400,000		399,999

0.08%, 9/24/2021 (c) (e)		125,000		124,995

0.09%, 10/8/2021 (c) (e)		200,000		199,987

(ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/14/2021 (b) (c)		260,000		260,017

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/27/2021 (b) (c)		250,000		250,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)		100,000		99,997

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)		405,000		405,002

Federation des caisses Desjardins du Quebec (The) (Canada)

0.08%, 9/13/2021 (c) (e)		100,000		99,998

0.08%, 9/20/2021 (c) (e)		83,800		83,797

0.19%, 10/14/2021 (c) (e)		100,000		99,989

0.08%, 10/26/2021 (e)		100,000		99,986

First Abu Dhabi Bank PJSC (United Arab Emirates)

0.14%, 10/12/2021 (c) (e)		253,000		252,973

0.13%, 10/26/2021 (c) (e)		350,000		349,951

0.18%, 12/2/2021 (c) (e)		555,000		554,854

0.16%, 1/7/2022 (c) (e)		50,000		49,978


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Commercial Paper — continued

0.17%, 1/20/2022 (c) (e)		575,000		574,712

0.16%, 2/4/2022 (c) (e)		135,000		134,922

FMS Wertmanagement (Germany)

0.09%, 9/24/2021 (c) (e)		75,000		74,996

0.11%, 10/27/2021 (e)		98,000		97,986

0.11%, 11/3/2021 (c) (e)		250,000		249,959

0.09%, 12/2/2021 (c) (e)		50,000		49,987

0.09%, 12/3/2021 (c) (e)		49,300		49,287

ING US Funding LLC (Netherlands)

0.20%, 9/23/2021 (c) (e)		395,000		394,974

0.17%, 9/29/2021 (c) (e)		145,000		144,988

0.22%, 10/12/2021 (c) (e)		170,000		169,982

0.15%, 11/18/2021 (c) (e)		60,000		59,987

Lloyds Bank plc (United Kingdom)

0.11%, 10/20/2021 (e)		200,000		199,975

0.10%, 10/22/2021 (e)		100,000		99,987

0.11%, 10/26/2021 (e)		600,000		599,916

0.11%, 10/29/2021 (e)		300,000		299,956

LMA-Americas LLC

0.20%, 9/7/2021 (c) (e)		50,000		49,999

0.19%, 10/20/2021 (c) (e)		70,100		70,090

0.18%, 10/25/2021 (c) (e)		50,000		49,992

0.14%, 1/14/2022 (c) (e)		75,000		74,962

LVMH Moet Hennessy Louis Vuitton SE (France)

0.17%, 10/19/2021 (c) (e)		100,000		99,988

0.17%, 10/28/2021 (c) (e)		50,000		49,993

Macquarie Bank Ltd. (Australia)

0.19%, 10/19/2021 (c) (e)		100,000		99,984

0.19%, 10/20/2021 (e)		100,000		99,983

12.00%, 10/27/2021 (c) (e)		200,000		199,962

0.12%, 11/16/2021 (c) (e)		100,000		99,973

0.13%, 12/10/2021 (e)		100,000		99,961

0.16%, 2/8/2022 (c) (e)		37,950		37,922

Manhattan Asset Funding Co. LLC

0.19%, 10/26/2021 (c) (e)		30,088		30,083

0.19%, 10/28/2021 (c) (e)		78,237		78,223

0.19%, 10/29/2021 (c) (e)		100,000		99,982

Matchpoint Finance plc (Ireland)

Series A, 0.20%, 9/22/2021 (c) (e)		50,000		49,997

Series A, 0.19%, 10/18/2021 (c) (e)		50,000		49,993

Mitsubishi UFJ Trust & Banking Corp. (Japan) 0.12%, 11/12/2021 (c) (e)		100,000		99,982

Mizuho Bank Ltd. (Japan)

0.21%, 10/18/2021 (c) (e)		30,000		29,995

0.19%, 11/15/2021 (c) (e)		95,000		94,975


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

National Australia Bank Ltd. (Australia)

(US Federal Funds Effective Rate (continuous series) + 0.07%), 0.15%, 9/1/2021 (b) (c)		100,000		99,984

(US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (b) (c)		60,000		60,018

(ICE LIBOR USD 1 Month + 0.09%), 0.19%, 9/8/2021 (b) (c)		150,000		150,008

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/27/2021 (b) (c)		300,000		300,024

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/3/2021 (b) (c)		79,000		79,005

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/18/2021 (b) (c)		100,000		100,008

0.23%, 4/6/2022 (c) (e)		100,000		99,914

National Bank of Canada (Canada)

0.19%, 10/13/2021 (c) (e)		39,265		39,261

0.19%, 10/21/2021 (c) (e)		100,000		99,987

0.14%, 1/10/2022 (c) (e)		150,000		149,930

Nationwide Building Society (United Kingdom) 0.08%, 9/16/2021 (c) (e)		200,000		199,993

Nederlandse Waterschapsbank NV (Netherlands) 0.08%, 10/25/2021 (c) (e)		400,000		399,939

Nieuw Amsterdam Receivables Corp. 0.14%, 12/9/2021 (c) (e)		75,000		74,976

Nordea Bank Abp (Finland) 0.11%, 11/1/2021 (c) (e)		50,000		49,993

NRW Bank (Germany) 0.08%, 11/2/2021 (c) (e)		150,000		149,974

Old Line Funding LLC 0.13%, 10/25/2021 (c) (e)		180,000		179,973

Oversea-Chinese Banking Corp. Ltd. (Singapore) 0.18%, 9/20/2021 (c) (e)		100,000		99,995

Royal Bank of Canada (Canada)

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)		100,000		100,000

(ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/2/2021 (b)		75,000		75,014

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/7/2021 (b) (c)		35,000		34,999

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 10/6/2021 (b)		270,000		270,024

0.23%, 5/5/2022 (e)		200,000		199,778

0.21%, 6/22/2022 (e)		158,000		157,731

0.20%, 7/8/2022 (c) (e)		100,000		99,816


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

Skandinaviska Enskilda Banken AB (Sweden)

0.20%, 10/19/2021 (c) (e)		250,000		249,974

0.12%, 11/22/2021 (c) (e)		350,000		349,923

0.20%, 6/27/2022 (c) (e)		100,000		99,851

Societe Generale SA (France) 0.19%, 10/13/2021 (c) (e)		150,000		149,988

Svenska Handelsbanken AB (Sweden)

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/25/2021 (b) (c)		94,000		94,006

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b) (c)		62,000		62,005

0.20%, 6/24/2022 (c) (e)		100,000		99,853

Toronto-Dominion Bank (The) (Canada)

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b) (c)		100,000		100,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b) (c)		400,000		400,030

0.23%, 4/12/2022 (c) (e)		133,000		132,880

0.23%, 5/19/2022 (c) (e)		100,000		99,886

0.20%, 7/8/2022 (c) (e)		100,000		99,847

TotalEnergies Capital Canada Ltd. (France) 0.14%, 2/3/2022 (c) (e)		75,000		74,960

Toyota Motor Finance Netherlands BV (Japan) 0.15%, 11/29/2021 (e)		100,000		99,973

UBS AG (Switzerland) (SOFR + 0.17%),

0.22%, 9/1/2021 (b) (c)		135,000		134,992

0.23%, 12/9/2021 (c) (e)		100,000		99,962

0.22%, 3/23/2022 (c) (e)		250,000		249,734

0.24%, 3/29/2022 (c) (e)		300,000		299,667

0.24%, 3/30/2022 (c) (e)		250,000		249,721

United Overseas Bank Ltd. (Singapore) 0.20%, 2/11/2022 (c) (e)		150,000		149,894

Westpac Banking Corp. (Australia) 0.19%, 9/16/2021 (c) (e)		50,000		49,998

(ICE LIBOR USD 3 Month + 0.02%), 0.12%, 10/12/2021 (b) (c)		20,000		20,001

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)		103,000		103,000

0.23%, 4/1/2022 (c) (e)		75,000		74,949

0.20%, 6/17/2022 (c) (e)		200,000		199,733

0.20%, 7/1/2022 (c) (e)		27,400		27,361

0.20%, 7/15/2022 (c) (e)		124,250		124,058


Total Commercial Paper (Cost $20,676,290)				20,678,542


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Time Deposits — 18.6%

Agricultural Bank of China Ltd.

0.10%, 9/3/2021		500,000		500,000

0.10%, 9/7/2021		500,000		500,000

Australia & New Zealand Banking Group Ltd.

0.08%, 9/1/2021		450,000		450,000

0.08%, 9/2/2021		300,000		300,000

0.07%, 9/7/2021		250,000		250,000

BNP Paribas SA 0.06%, 9/1/2021		300,000		300,000

Credit Agricole Corporate and Investment Bank

0.05%, 9/1/2021		188,792		188,792

0.10%, 9/1/2021		500,000		500,000

0.10%, 9/3/2021		400,000		400,000

0.10%, 9/3/2021		700,000		700,000

DNB Bank ASA 0.04%, 9/1/2021		1,400,000		1,400,000

DZ Bank AG 0.04%, 9/1/2021		200,000		200,000

First Abu Dhabi Bank PJSC 0.08%, 9/1/2021		1,000,000		1,000,000

KBC Bank NV 0.05%, 9/1/2021		2,300,000		2,300,000

Mizuho Bank Ltd. 0.08%, 9/1/2021		1,250,000		1,250,000

Mizuho Bank, Ltd. 0.08%, 9/1/2021		661,186		661,186

National Bank of Canada 0.06%, 9/7/2021		100,000		100,000

Nordea Bank Abp 0.04%, 9/1/2021		2,000,000		2,000,000

Royal Bank of Canada

0.05%, 9/1/2021		510,000		510,000

0.06%, 9/7/2021		400,000		400,000

Swedbank AB 0.04%, 9/1/2021		1,000,000		1,000,000


Total Time Deposits (Cost $14,909,978)				14,909,978


Total Short-Term Investments (Cost $58,059,067)				58,064,110

Total Investments — 99.5% (Cost $79,629,067)				79,634,110
Other Assets Less Liabilities — 0.5%				398,725

NET ASSETS — 100.0%				80,032,835

Percentages indicated are based on net assets.

Abbreviations


BSBY		Bloomberg Short Term Bank Yield Index
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
ICE		Intercontinental Exchange
LIBOR		London Interbank Offered Rate
LIQ		Liquidity Agreement
OBFR		Overnight Bank Funding Rate
PJSC		Public Joint Stock Company
Rev.		Revenue
SOFR		Secured Overnight Financing Rate
USD		United States Dollar
VRDO		Variable Rate Demand Obligation

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(d)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(e)		The rate shown is the effective yield as of August 31, 2021.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 69.6%

Alaska — 1.2%

Alaska Housing Finance Corp., Governmental Purpose Series B, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)		860		860

Alaska Housing Finance Corp., Home Mortgage

Series 2007A, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)		14,580		14,580

Series 2007B, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)		1,400		1,400

Series D, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)		7,635		7,635

City of Valdez, Exxon Pipeline Co. Project Series 1993-B, Rev., VRDO, 0.01%, 9/1/2021 (b)		735		735


				25,210


Arizona — 0.4%

Arizona State University Series 2008A, Rev., VRDO, 0.02%, 9/8/2021 (b)		1,600		1,600

Salt River Pima-Maricopa Indian Community Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		1,325		1,325

Tender Option Bond Trust Receipts/Certificates

Series 2021-XG0312, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		2,560		2,560

Series 2019-XG0231, Rev., VRDO, LOC: Bank of America NA, 0.10%, 9/8/2021 (b) (c)		2,760		2,760


				8,245


California — 3.2%

California Educational Facilities Authority, Institution of Technology Series B, Rev., VRDO, 0.01%, 9/8/2021 (b)		1,150		1,150

California Housing Finance, Mission Apartment Series A, Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		1,225		1,225

California Municipal Finance Authority, Recovery Zone Facility, Chevron USA, Inc., Project Series 2010A, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,950		1,950

California Statewide Communities Development Authority, Penny Lane Centers Project Series 2008, Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,000		1,000

California Statewide Communities Development Authority, Rady Children’s Hospital Series 2008C, Rev., VRDO, LOC: Northern Trust Co., 0.01%, 9/8/2021 (b)		2,400		2,400

California Statewide Communities Development Authority, Sweep Loan Program Series 2007A, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)		1,475		1,475


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Metropolitan Water District of Southern California, Waterworks Series 2018A-2, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		2,025		2,025

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-26, Rev., VRDO, LOC: Royal Bank of Canada, 0.17%, 12/1/2021 (b) (c)		5,000		5,000

State of California, Various Purpose GO, 5.00%, 9/1/2021		5,050		5,050

Tender Option Bond Trust Receipts/Certificates

Series 2021-XF1240, GO, VRDO, 0.02%, 9/8/2021 (b)		3,635		3,635

Series 2017-XG0121, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)		6,515		6,515

Series 2018-XM0696, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)		4,590		4,590

Series 2019-XL0112, Rev., VRDO, LOC: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)		2,100		2,100

Series 2020-YX1155, Rev., VRDO, LIQ: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)		1,600		1,600

Series 2021-XL0167, GO, VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)		1,065		1,065

Series 2018-XM0647, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		8,970		8,970

Series 2018-ZF2771, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		1,670		1,670

Series 2019-XM0741, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		6,785		6,785

Series 2020-XM0837, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		2,500		2,500

Series 2020-YX1149, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		1,000		1,000

Series 2018-G-42, Rev., VRDO, 0.22%, 1/3/2022 (b)		5,000		5,000


				66,705


Colorado — 2.0%

City of Colorado Springs, Utilities System Improvement Series 2008-A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		9,280		9,280


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

Series 2009C, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		2,000		2,000

Series A-1, Rev., 5.00%, 11/15/2021		350		353

Colorado State Education Loan Program Series 2021A, Rev., TRAN, 4.00%, 6/29/2022		185		191

Tender Option Bond Trust Receipts/Certificates

Series 2020-XF1209, GO, VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		5,330		5,330

Series 2020-XX1130, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,880		3,880

Series 2018-XG0195, COP, VRDO, LIQ: Bank of America NA, 0.11%, 9/8/2021 (b) (c)		3,615		3,615

University of Colorado Hospital Authority Series B-1, Rev., VRDO, 0.01%, 9/8/2021 (b)		1,250		1,250

University of Colorado Hospital Authority, Health System

Series 2018 B, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		8,310		8,310

Series 2018 C, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		6,250		6,250


				40,459


Connecticut — 1.8%

Connecticut Housing Finance Authority, Housing Mortgage Finance Program Subseries 2018C-3, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		1,750		1,750

Connecticut Innovations, Inc., ISO New England Inc., Project Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		4,845		4,845

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G-110, Rev., VRDO, LOC: Royal Bank of Canada, 0.20%, 10/1/2021 (b) (c)		10,000		10,000

Tender Option Bond Trust Receipts/Certificates

Series 2018-XG0204, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		1,930		1,930

Series 2021-XL0178, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		3,200		3,200

Town of East Lyme GO, BAN, 0.75%, 8/11/2022		3,922		3,943

Town of North Branford GO, BAN, 2.00%, 8/4/2022		7,450		7,579


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Connecticut — continued

Town of North Haven GO, BAN, 1.50%, 11/4/2021		3,000		3,007


				36,254


District of Columbia — 0.1%

District of Columbia, AARP Foundation Issue Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/8/2021 (b)		1,000		1,000

District of Columbia, Carnegie Endowment for International Peace Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		925		925


				1,925


Florida — 8.5%

City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)		2,875		2,875

City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 0.02%, 9/8/2021 (b)		15,275		15,275

City of Jacksonville, Health Care Facilities, Baptist Medical Center Series 2019B, Rev., VRDO, 0.02%, 9/8/2021 (b)		17,420		17,420

City of Lakeland, Education Facilities, Florida Southern College Project Series 2012B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,205		1,205

County of Escambia, Gulf Power Co., Project Rev., VRDO, 0.02%, 9/1/2021 (b)		5,900		5,900

County of St. Lucie, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)		42,400		42,400

Florida Gulf Coast University Financing Corp., Housing Project Series A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		4,250		4,250

Highlands County Health Facilities Authority, Adventist Health System

Series 2007A, Rev., VRDO, 0.02%, 9/8/2021 (b)		13,700		13,700

Series 2012I, Rev., VRDO, 0.02%, 9/8/2021 (b)		3,000		3,000

Series 2012I-2, Rev., VRDO, 0.02%, 9/8/2021 (b)		2,700		2,700

Series 2012I-4, Rev., VRDO, 0.02%, 9/8/2021 (b)		3,540		3,540

Orange County Health Facilities Authority, Orlando Health, Inc. Series E, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,550		1,550

Pinellas County Housing Finance Authority, Bayside Court Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		3,010		3,010


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

Tender Option Bond Trust Receipts/Certificates

Series 2018-G-41, Rev., VRDO, 0.22%, 9/1/2021 (b)		5,665		5,665

Series 2018-ZM0586, Rev., VRDO, LIQ: Citibank NA, 0.05%, 9/8/2021 (b) (c)		7,500		7,500

Series 2019-XF2808, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		7,500		7,500

Series 2021-XG0323, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Series 2020-XF2882, Rev., VRDO, AGM-CR, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,800		2,800

Series 2020-XX1136, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,745		4,745

Series 2020-YX1128, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,870		3,870

Series 2019-G113, Rev., VRDO, 0.22%, 1/3/2022 (b)		17,500		17,500

Volusia County Housing Finance Authority, Fisherman’s Landing Association Ltd. Rev., VRDO, LOC: FNMA, 0.03%, 9/8/2021 (b)		5,015		5,015


				176,420


Georgia — 0.2%

Development Authority of Monroe County (The), Gulf Power Co. Plant Scherer Project Rev., VRDO, 0.02%, 9/1/2021 (b)		1,700		1,700

Tender Option Bond Trust Receipts/Certificates Series 2020-ZF0873, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)		3,000		3,000


				4,700


Hawaii — 0.7%

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-13, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		14,000		14,000


Idaho — 0.0% (d)

State of Idaho GO, TAN, 3.00%, 6/30/2022		350		358


Illinois — 7.0%

City of Galesburg, Knox College Project Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		6,000		6,000

County of Lake, Multi-Family Housing, Whispering Oaks Apartments Project Rev., VRDO, LIQ: FHLMC, 0.03%, 9/8/2021 (b)		4,000		4,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Illinois — continued

Illinois Development Finance Authority, St. Ignatius College Prep

Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		2,650		2,650

Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		5,100		5,100

Illinois Educational Facilities Authority Series B, Rev., VRDO, 0.02%, 9/8/2021 (b)		925		925

Illinois Educational Facilities Authority, Columbia College Chicago Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)		3,990		3,990

Illinois Finance Authority, Advocate Health Care Network Series 2008C-3A, Rev., VRDO, LIQ: Northern Trust Co., 0.02%, 9/8/2021 (b)		1,050		1,050

Illinois Finance Authority, Bradley University

Series 2008A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		17,665		17,665

Series 2008B, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		1,000		1,000

Illinois Finance Authority, Carle Foundation Series 2021D, Rev., VRDO, LIQ: Northern Trust Co., 0.02%, 9/8/2021 (b)		5,000		5,000

Illinois Finance Authority, Clearbrook Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)		1,400		1,400

Illinois Finance Authority, Edward Health Obligated Group

Series 2008B-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		8,215		8,215

Series 2008C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,340		1,340

Illinois Finance Authority, North Park University Project Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,000		1,000

Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021D, Rev., VRDO, 0.02%, 9/8/2021 (b)		21,500		21,500

Illinois Finance Authority, The University of Chicago Medical Center

Series 2010B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/1/2021 (b)		1,500		1,500

Series 2009 E-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		5,000		5,000

Series 2009E-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		200		200

Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 (b)		2,330		2,330


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Illinois Finance Authority, The Wbez Alliance, Inc., Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)		20,550		20,550

Jackson-Union Counties Regional Port District, Port Facility, Enron Transportation Services Rev., VRDO, LOC: Wells Fargo Bank NA, 0.03%, 9/8/2021 (b)		14,200		14,200

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2535, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		3,840		3,840

Series 2021-XL0170, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Series 2020-XG0299, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,500		2,500

Series 2021-XM0938, GO, VRDO, LIQ: Bank of America NA, 0.07%, 9/8/2021 (b) (c)		2,550		2,550

Village of Channahon, Morris Hospital Series 2009A, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)		5,815		5,815


				144,320


Indiana — 0.4%

Indiana Finance Authority, Duke Energy Indiana, Inc. Project Series A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.04%, 9/8/2021 (b)		1,300		1,300

Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2008F, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.03%, 9/8/2021 (b)		1,155		1,155

Indiana Finance Authority, Parkview Health System, Inc. Series 2009B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/1/2021 (b)		3,590		3,590

Tender Option Bond Trust Receipts/Certificates Series 2016-ZF0280, Rev., VRDO, 0.07%, 9/8/2021 (b)		2,500		2,500


				8,545


Iowa — 3.1%

City of Chillicothe, Gas and Electric Project Rev., VRDO, 0.04%, 9/8/2021 (b)		4,450		4,450

County of Louisa, Pollution Control, Midwest Power System, Inc. Rev., VRDO, 0.04%, 9/8/2021 (b)		7,000		7,000

Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project

Rev., VRDO, 0.04%, 9/8/2021 (b)		8,870		8,870

Rev., VRDO, 0.05%, 9/8/2021 (b)		5,115		5,115


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Iowa — continued

Iowa Finance Authority, Midwestern Disaster Area, Cargill, Inc. Project Series 2011A, Rev., VRDO, 0.04%, 9/8/2021 (b)		19,000		19,000

Iowa Finance Authority, Mortgage-Backed Securities Program Series 2018D, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		7,500		7,500

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program

Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		500		500

Series 2018B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		7,945		7,945

Series 2019B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		200		200

Series 2020B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		2,500		2,500

Iowa Finance Authority, Trinity Health Corp. Series 2000D, Rev., VRDO, 0.02%, 9/8/2021 (b)		635		635


				63,715


Kansas — 0.4%

City of Wichita

Series 302, GO, 3.50%, 10/15/2021		250		251

Series 304, GO, 4.50%, 10/15/2021		6,805		6,842


				7,093


Kentucky — 1.3%

Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc.

Series 2011A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		4,800		4,800

Series 2013C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		1,300		1,300

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-116, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 11/1/2021 (b) (c)		12,000		12,000

Tender Option Bond Trust Receipts/Certificates

Series 2020-XG0320, Rev., VRDO, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		2,250		2,250

Series 2017-XG0113, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,735		3,735


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Kentucky — continued

Series 2020-XM0881, Rev., VRDO, AGM, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		2,800		2,800


				26,885


Louisiana — 0.1%

East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone Series 2010B, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,340		2,340


Maine — 0.6%

City of South Portland, Middle School Project GO, BAN, 0.75%, 4/15/2022		10,000		10,036

Tender Option Bond Trust Receipts/Certificates Series 2021-XL0179, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		1,670		1,670


				11,706


Maryland — 1.4%

City of Baltimore Series 2015-ZF2095, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		6,665		6,665

Montgomery County Housing Opportunities Commission, Single Family Mortgage Series 2021C, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		5,000		5,000

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-28, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 1/3/2022 (b) (c)		10,115		10,115

Tender Option Bond Trust Receipts/Certificates

Series 2021-XG0332, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		3,470		3,470

Series 2018-ZM0621, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.07%, 9/8/2021 (b) (c)		4,000		4,000


				29,250


Massachusetts — 1.0%

City of Cambridge, Municipal Purpose Loan of 2014 GO, 5.00%, 2/15/2022		665		680

City of Cambridge, Municipal Purpose Loan of 2021 GO, 5.00%, 2/15/2022		925		946

City of Chicopee GO, 5.00%, 6/1/2022		275		285

City of Quincy GO, BAN, 1.50%, 1/14/2022		2,600		2,613

City of Westfield GO, BAN, 1.50%, 6/10/2022		4,840		4,891

Massachusetts Housing Finance Agency, Single Family Housing

Rev., VRDO, LIQ: UBS AG, 0.02%, 9/8/2021 (b)		3,000		3,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Massachusetts — continued

Rev., VRDO, LIQ: UBS AG, 0.02%, 9/8/2021 (b)		3,000		3,000

Massachusetts Water Resources Authority, Multi-Modal Subordinate General Series A-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		1,090		1,090

Tender Option Bond Trust Receipts/Certificates Series 2020-ZF0968, Rev., VRDO, FHA, LIQ: TD Bank NA, 0.06%, 9/8/2021 (b) (c)		3,335		3,335

Town of Bedford, Municipal Purpose Loan of 2014 GO, 5.00%, 10/15/2021		355		357

Town of Grafton Series A, GO, 5.00%, 4/1/2022		155		159


				20,356


Michigan — 2.1%

Kent Hospital Finance Authority, Spectrum Health System Series 2008C, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.02%, 9/8/2021 (b)		10,055		10,055

L’Anse Creuse Public Schools, School Building and Site GO, VRDO, Q-SBLF, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		17,515		17,515

Michigan Finance Authority, Trinity Health Credit Group Series MI-1, Rev., VRDO, 0.08%, 12/1/2021 (b)		14,500		14,500

University of Michigan Series B, Rev., VRDO, 0.01%, 9/8/2021 (b)		995		995


				43,065


Minnesota — 0.2%

City of Rochester, Health Care Facilities, Mayo Clinic Series A, Rev., VRDO, 0.01%, 9/8/2021 (b)		1,630		1,630

Minnesota Housing Finance Agency, Residential Housing Finance Series 2017F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		1,750		1,750


				3,380


Mississippi — 2.9%

County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 0.01%, 9/1/2021 (b)		3,540		3,540

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project

Series 2007C, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,150		1,150

Series 2009E, Rev., VRDO, 0.01%, 9/1/2021 (b)		250		250


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Mississippi — continued

Series 2009F, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,345		2,345

Series 2009G, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,525		1,525

Series 2010G, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,550		1,550

Series 2010K, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,000		1,000

Series 2011 G, Rev., VRDO, 0.01%, 9/1/2021 (b)		16,695		16,695

Series 2011A, Rev., VRDO, 0.01%, 9/1/2021 (b)		16,260		16,260

Series 2011D, Rev., VRDO, 0.01%, 9/1/2021 (b)		375		375

Series B, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,570		2,570

Series 2010A, Rev., VRDO, 0.02%, 9/8/2021 (b)		13,585		13,585


				60,845


Missouri — 1.7%

City of Kansas City, Roe Bartle Convention Center Series 2008F, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		2,250		2,250

Health and Educational Facilities Authority of the State of Missouri, Ascension Health Senior Credit Group Series C-4, Rev., VRDO, 0.02%, 9/8/2021 (b)		900		900

Health and Educational Facilities Authority of the State of Missouri, BJC Health System

Series 2008A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		6,105		6,105

Series C, Rev., VRDO, LIQ: BJC Health System, 0.02%, 9/8/2021 (b)		5,005		5,005

Health and Educational Facilities Authority of The State of Missouri, BJC Health System Series D, Rev., VRDO, 0.02%, 9/8/2021 (b)		775		775

Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Series 2014G, Rev., VRDO, 0.02%, 9/8/2021 (b)		3,850		3,850

Health and Educational Facilities Authority of the State of Missouri, SSM Health System Series D, Rev., VRDO, 0.02%, 9/8/2021 (b)		1,155		1,155

Missouri Highway and Transportation Commission, Senior Lien Series 2010C, Rev., 5.00%, 2/1/2022		2,000		2,041

Nodaway County Industrial Development Authority, Northwest Foundation, Inc. Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)		3,235		3,235


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Missouri — continued

Tender Option Bond Trust Receipts/Certificates

Series 2017-XG0157, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,190		5,190

Series XF0536, Rev., VRDO, LOC: Royal Bank of Canada, 0.08%, 9/8/2021 (b)		4,950		4,950


				35,456


Nebraska — 0.3%

County of Washington, Cargill, Inc., Recovery Zone Facility Project Series 2010B, Rev., VRDO, 0.04%, 9/8/2021 (b)		6,800		6,800


Nevada — 1.0%

County of Clark Department of Aviation, Subordinate Lien

Series 2008D-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		3,115		3,115

Series 2008D-2A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		450		450

County of Clark, Industrial Development, Southwest Gas Corp. Project Series 2009A, Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/8/2021 (b)		16,555		16,555

County of Washoe, Limited Tax GO, 5.00%, 12/1/2021		215		218

Tender Option Bond Trust Receipts/Certificates Series 2020-XM0866, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		1,000		1,000


				21,338


New Hampshire — 0.0% (d)

Town of Salem GO, 5.00%, 3/15/2022		135		139


New Jersey — 4.1%

Borough of Dumont GO, BAN, 2.00%, 6/2/2022		3,030		3,073

City of Ventnor City GO, BAN, 1.00%, 7/14/2022		19,500		19,645

City of Wildwood, Water and Sewer Utility GO, BAN, 2.00%, 10/15/2021		5,000		5,011

County of Cumberland GO, BAN, 2.00%, 10/7/2021		2,680		2,685

Hudson County Improvement Authority, County Guaranteed Pooled Notes

Series 2020C-1A, Rev., GTD, 1.50%, 9/2/2021		9,988		9,988

Series 2021A-1, Rev., GTD, 1.50%, 2/8/2022		200		201


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

Series 2021B-1, Rev., GTD, 1.50%, 4/28/2022		3,080		3,109

Somerset County Improvement Authority, Lease Project Series 2021A, Rev., GTD, 2.00%, 2/25/2022		500		504

Township of Florence Series 2021A, GO, BAN, 1.50%, 1/13/2022		4,803		4,828

Township of South Brunswick Series 2020A, GO, BAN, 2.00%, 9/28/2021		15,468		15,490

Township of South Orange Village GO, BAN, 1.50%, 7/7/2022		9,000		9,106

Township of Woodbridge GO, 2.00%, 10/15/2021		250		251

Township of Woodbridge, General Sewer Utility GO, BAN, 2.00%, 10/15/2021		11,790		11,817


				85,708


New Mexico — 0.3%

University of New Mexico (The), Subordinate Lien System

Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		2,785		2,785

Series 2002B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,375		1,375

Series 2002C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		2,650		2,650


				6,810


New York — 6.8%

Albany Industrial Development Agency Series A, Rev., VRDO, LOC: TD Bank NA, 0.03%, 9/8/2021 (b)		1,445		1,445

Battery Park City Authority Series 2019D-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		4,000		4,000

City of New York

Series E, Subseries E-4, GO, VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)		950		950

Subseries H-6, GO, VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)		1,240		1,240

Series A, Subseries A-5, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.03%, 9/8/2021 (b)		1,075		1,075

City of New York, Fiscal Year 2006 Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		2,195		2,195

Metropolitan Transportation Authority

Series 2015 E-1, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/1/2021 (b)		4,500		4,500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Series 2005 E-1, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/8/2021 (b)		6,300		6,300

Metropolitan Transportation Authority, Dedicated Tax Fund

Series 2008A-1, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		9,410		9,410

Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		2,165		2,165

Series 2008B-3C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		3,350		3,350

New York City Health and Hospitals Corp., Health System Series B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,050		1,050

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Subseries A-4, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		2,800		2,800

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 Subseries C-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		16,500		16,500

New York City Water and Sewer System, Fiscal Year 2003 Subseries F-1-A, Rev., VRDO, LIQ: Barclays Bank plc, 0.02%, 9/8/2021 (b)		125		125

New York City Water and Sewer System, Second General Resolution Subseries CC-2, Rev., VRDO, LIQ: Bank of Montreal, 0.01%, 9/1/2021 (b)		3,300		3,300

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		840		840

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2014 Series AA, Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		9,580		9,580

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series BB, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		2,175		2,175

New York State Dormitory Authority, Blythedale Children’s Hospital Rev., VRDO, LOC: TD Bank NA, 0.04%, 9/8/2021 (b)		1,200		1,200

New York State Dormitory Authority, City University System, CONS Fifth General Resolution Series 2008D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,305		1,305

New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project Subseries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.02%, 9/8/2021 (b)		1,700		1,700


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Phoenix Central School District GO, BAN, 1.00%, 6/30/2022		6,000		6,041

RBC Municipal Products, Inc. Trust, Floater Certificates Series E-146, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		2,500		2,500

Tender Option Bond Trust Receipts/Certificates

Series E-118, GO, VRDO, 0.03%, 9/1/2021 (b)		3,400		3,400

Series 2021-XL0164, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b) (c)		5,000		5,000

Series 2021-YX1167, GO, VRDO, LIQ: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)		5,500		5,500

Series 2018-XF2656, Rev., VRDO, 0.05%, 9/8/2021 (b)		800		800

Series 2018-XM0692, Rev., VRDO, 0.05%, 9/8/2021 (b)		1,600		1,600

Series 2021-XF2940, Rev., VRDO, LIQ: UBS AG, 0.05%, 9/8/2021 (b) (c)		2,535		2,535

Series 2021-XG0311, Rev., VRDO, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		1,430		1,430

Series 2016-ZF0464, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		11,300		11,300

Series 2017-XF2419, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,500		4,500

Series 2020-XF2868, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		1,900		1,900

Series 2020-XF2917, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,475		2,475

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series 2003 B-1, Rev., VRDO, LOC: Bank of America NA, 0.01%, 9/1/2021 (b)		125		125

Trust for Cultural Resources of The City of New York (The), The Museum of Modern Art Series 2006A-1, Rev., VRDO, 0.02%, 9/8/2021 (b)		14,060		14,060


				140,371


North Carolina — 1.5%

City of Charlotte Series F, COP, VRDO, LIQ: Bank of America NA, 0.02%, 9/8/2021 (b)		2,930		2,930

City of Raleigh, Downtown Improvement Projects Series 2004A, COP, VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		1,460		1,460


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — continued

County of Johnson, Public Improvement GO, 5.00%, 2/1/2022		105		107

North Carolina Medical Care Commission, Moses Cone Health System

Series 2001B, Rev., VRDO, LIQ: Bank of Montreal, 0.02%, 9/1/2021 (b)		8,955		8,955

Series 2001A, Rev., VRDO, LIQ: BMO Harris Bank NA, 0.02%, 9/8/2021 (b)		1,950		1,950

Series 2004A, Rev., VRDO, 0.02%, 9/8/2021 (b)		950		950

Person County Industrial Facilities and Pollution Control Financing Authority, Recovery Zone Facility, CertainTeed Gypsum, Inc. Rev., VRDO, LOC: Credit Industriel et Commercial, 0.05%, 9/8/2021 (b)		10,100		10,100

Tender Option Bond Trust Receipts/Certificates Series 2019-ZF2813, Rev., VRDO, LIQ: Barclays Bank plc, 0.07%, 9/8/2021 (b) (c)		3,415		3,415


				29,867


North Dakota — 0.1%

North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2015E, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		2,190		2,190


Ohio — 0.3%

County of Allen, Hospital Facilities, Catholic Health Partners Series 2012B, Rev., VRDO, 0.02%, 9/8/2021 (b)		2,435		2,435

Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group Series B-3, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)		700		700

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-E-132, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		2,065		2,065

State of Ohio Series 2015C, GO, 5.00%, 9/1/2021		100		100

State of Ohio, Cleveland Clinic Health System Series 2019D-2, Rev., VRDO, 0.01%, 9/8/2021 (b)		1,690		1,690


				6,990


Oklahoma — 0.1%

Tender Option Bond Trust Receipts/Certificates Series 2020-XF2884, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		1,370		1,370


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Oregon — 0.4%

Clackamas County Hospital Facility Authority, Legacy Health System Series 2008A, Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,000		1,000

Oregon State Facilities Authority, Peacehealth Series 2018B, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		6,800		6,800

State of Oregon, Veterans Welfare Series 2015P, GO, VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,300		1,300


				9,100


Pennsylvania — 1.2%

Pennsylvania Economic Development Financing Authority, Exempt Facilities, PPL Energy Supply, LLC Project Series 2009C, Rev., VRDO, LOC: MUFG Union Bank NA, 0.12%, 9/8/2021 (b)		5,475		5,475

Pennsylvania Turnpike Commission Series 2019-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,500		1,500

Philadelphia Gas Works Co., 1998 General Ordinance Series D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		1,780		1,780

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2018-G-43, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 12/1/2021 (b) (c)		5,000		5,000

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2654, Rev., VRDO, 0.06%, 9/8/2021 (b)		4,420		4,420

Series 2020-XM0876, Rev., VRDO, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		1,875		1,875

Series 2018-XL0061, Rev., VRDO, 0.07%, 9/8/2021 (b)		4,490		4,490


				24,540


Rhode Island — 0.8%

City of Cranston

Series 2021A, GO, 5.00%, 8/15/2022		260		272

Series 1, GO, BAN, 1.00%, 8/23/2022		5,000		5,041

Tender Option Bond Trust Receipts/Certificates

Series 2018-ZM0631, Rev., VRDO, 0.07%, 9/8/2021 (b)		6,035		6,035

Series 2018-ZM0632, Rev., VRDO, 0.07%, 9/8/2021 (b)		4,050		4,050


				15,398


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


South Carolina — 0.8%

County Square Redevelopment Corp., Greenville County, South Carolina Project Rev., BAN, 2.00%, 3/3/2022		1,085		1,096

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G-109, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 10/1/2021 (b) (c)		5,000		5,000

South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		8,790		8,790

Town of Lexington Waterworks and Sewer System Combined Rev., RAN, 2.25%, 10/27/2021		2,450		2,458


				17,344


Tennessee — 0.5%

Metropolitan Government Nashville & Davidson County Industrial Development Board, Summit Apartments Project Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		2,125		2,125

Montgomery County Public Building Authority, Pooled Financing Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		1,300		1,300

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2576, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,000		2,000

Series 2018-XL0062, Rev., VRDO, 0.07%, 9/8/2021 (b)		4,420		4,420


				9,845


Texas — 7.0%

City of Houston, Combined Utility System, First Lien

Series 2004B-5, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		900		900

Series B-2, Rev., VRDO, LOC: Citibank NA, 0.02%, 9/8/2021 (b)		1,100		1,100

Collin County Housing Finance Corp., Multi-Family Housing Rev., VRDO, LOC: Northern Trust Co., 0.09%, 9/8/2021 (b)		12,305		12,305

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014D, Rev., VRDO, 0.02%, 9/8/2021 (b)		4,300		4,300

Harris County Industrial Development Corp Exxon Corp Project Series A, Rev., VRDO, 0.01%, 9/1/2021 (b)		3,700		3,700

Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project

Series 2001A-2, Rev., VRDO, 0.01%, 9/1/2021 (b)		5,200		5,200


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Series 2002A, Rev., VRDO, 0.01%, 9/1/2021 (b)		790		790

Series A-3, Rev., VRDO, 0.01%, 9/1/2021 (b)		300		300

RBC Municipal Products, Inc. Trust, Floater Certificates

Series E-149, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		5,500		5,500

Series 2019-G112, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 1/3/2022 (b) (c)		9,000		9,000

State of Texas, Veterans

Series 2011C, GO, VRDO, LIQ: FHLB, 0.03%, 9/8/2021 (b)		10,140		10,140

Series 2015 A, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)		3,435		3,435

Series A, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)		15,520		15,520

GO, VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.04%, 9/8/2021 (b)		1,490		1,490

State of Texas, Veterans Housing Assistance Program

Series 2008 B, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)		18,560		18,560

Series 2010C, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)		405		405

GO, VRDO, LIQ: FHLB, 0.04%, 9/8/2021 (b)		16,100		16,100

Tarrant County Cultural Education Facilities Finance Corp., Christus Health Series C-2, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.02%, 9/8/2021 (b)		1,200		1,200

Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System

Series 2012 B, Rev., VRDO, 0.01%, 9/8/2021 (b)		13,120		13,120

Series 2017-B, Rev., VRDO, 0.02%, 9/8/2021 (b)		10,000		10,000

Tender Option Bond Trust Receipts/Certificates

Series 2018-ZF2662, GO, VRDO, PSF-GTD, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		3,840		3,840

Series 2018-ZF2721, GO, VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		3,335		3,335

Series 2018-XF0645, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)		4,000		4,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

Texas Transportation Commission State Highway Fund Series 2014-B1, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.03%, 9/8/2021 (b)		1,000		1,000


				145,240


Utah — 0.6%

County of Utah, IHC Health Services, Inc.

Series 2016D, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		4,855		4,855

Series B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		1,085		1,085

Series C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		310		310

Series C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		275		275

Tender Option Bond Trust Receipts/Certificates

Series 2018-ZM0652, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		3,425		3,425

Series 2018-XG0171, Rev., VRDO, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		3,000		3,000


				12,950


Vermont — 0.2%

Vermont Educational and Health Buildings Financing Agency, Southwestern Vermont Medical Center Series 2008A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/1/2021 (b)		4,725		4,725


Virginia — 2.4%

Albermarle County Economic Development Authority, Sentara Martha Jefferson Hospital Series 2018A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/8/2021 (b)		1,030		1,030

Loudoun County Economic Development Authority, Howard Hughes Medical Institute

Series 2003F, Rev., VRDO, 0.01%, 9/8/2021 (b)		6,000		6,000

Series 2013A, Rev., VRDO, 0.01%, 9/8/2021 (b)		8,975		8,975

Series 2009B, Rev., VRDO, 0.02%, 9/8/2021 (b)		1,865		1,865

Loudoun County Economic Development Authority, Jack Kent Cooke Foundation Project Rev., VRDO, LOC: Northern Trust Co., 0.02%, 9/8/2021 (b)		4,000		4,000

Roanoke Economic Development Authority, Carilion Clinic Obligated Group Series 2020B, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)		10,000		10,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Virginia — continued

Tender Option Bond Trust Receipts/Certificates

Series 2020-ZF0997, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		1,840		1,840

Series 2020-ZF0998, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		1,660		1,660

Series 2021-XM0932, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		2,825		2,825

Series 2020-XF0955, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)		5,335		5,335

Virginia Small Business Financing Authority, Carilion Clinic Obligated Group Series 2008A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		6,450		6,450


				49,980


Washington — 0.1%

Washington State Housing Finance Commission, Multi-Family, Cambridge Apartments Project Rev., VRDO, LOC: FNMA, 0.01%, 9/8/2021 (b)		1,775		1,775

Washington State Housing Finance Commission, Traditions at South Hill Apartments Project Series 2011A, Rev., VRDO, AMT, LOC: FHLMC, 0.02%, 9/8/2021 (b)		1,040		1,040


				2,815


Wisconsin — 0.8%

Tender Option Bond Trust Receipts/Certificates Series 2020-XL0148, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,495		4,495

Wisconsin Health and Educational Facilities Authority, Froedtert Health, Inc., Obligated Group Series 2021B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		5,000		5,000

Wisconsin Housing and Economic Development Authority, Home Ownership Series 2021B, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)		8,000		8,000


				17,495


Total Municipal Bonds (Cost $1,442,224)				1,442,247


	SHARES (000)
Variable Rate Demand Preferred Shares — 4.9%

New York — 1.1%

Nuveen New York AMT-Free Quality Municipal Income Fund

Series 2, LIQ: Royal Bank of Canada, 0.07%, 9/8/2021 # (c)		6,600		6,600


INVESTMENTS (a)	SHARES (000)		VALUE ($000)


New York — continued

Series 3, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)		15,000		15,000


				21,600


Other — 3.8%

Nuveen AMT-Free Municipal Credit Income Fund

Series 5, LIQ: Societe Generale, 0.07%, 9/8/2021 # (c)		20,000		20,000

Series 6, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)		19,000		19,000

Nuveen AMT-Free Quality Municipal Income Fund

Series 3, LIQ: TD Bank NA, 0.07%, 9/8/2021 # (c)		5,000		5,000

Series 4-4895, LIQ: Barclays Bank plc, 0.07%, 9/8/2021 # (c)		30,000		30,000

Series 5-1000, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)		5,000		5,000


				79,000


Total Variable Rate Demand Preferred Shares (Cost $100,600)				100,600


	PRINCIPAL AMOUNT ($000)
Short-Term Investments — 23.4%

Commercial Paper — 23.4%

Alachua County Health Facilities Authority, Tax Exempt Series 08-A, 0.08%, 10/7/2021		6,240		6,240

Board of Governors of Colorado State University System Series A, 0.09%, 10/29/2021		10,000		10,000

Board of Regents of the University of Texas System

Series A, 0.10%, 10/8/2021		10,000		9,999

Series A, 0.16%, 3/21/2022		3,000		3,000

Series A, 0.15%, 3/29/2022		5,000		5,000

California Statewide Communities Development Authority

Series 9B-3, 0.12%, 1/6/2022		4,000		4,000

Series 9B-2, 0.11%, 1/11/2022		5,000		5,000

Series B-5, 0.11%, 1/11/2022		5,000		5,000

California Statewide Communities Development Authority, Tax Exempt

Series 9B-4, 0.19%, 9/2/2021		5,000		5,000

Series 9B-1, 0.16%, 9/8/2021		10,000		10,000

Series 9B-3, 0.17%, 10/6/2021		5,000		5,000

Series 9B-4, 0.17%, 10/7/2021		2,500		2,500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

Series 08-C, 0.09%, 10/13/2021		15,000		15,000

Series 08-B, 0.12%, 11/4/2021		1,500		1,500

Series D, 0.11%, 11/9/2021		3,000		3,000

Series B-5, 0.17%, 12/9/2021		300		300

Series B-6, 0.11%, 2/2/2022		1,000		1,000

Series D, 0.11%, 2/8/2022		7,000		7,000

Series 9B-1, 0.11%, 2/9/2022		11,000		11,000

City and County of San Francisco, LOC: U.S. Bank NA, 0.11%, 11/3/2021		1,190		1,190

City of Dallas, Tax Exempt Series G, 0.07%, 9/23/2021		9,000		9,000

City of Garland Series 2021, 0.08%, 9/15/2021		2,500		2,500

City of Houston, Tax Exempt Series H-2, 0.07%, 10/19/2021		10,000		10,000

City of Jacksonville

Series 92, 0.12%, 9/2/2021		3,000		3,000

Series 94, 0.12%, 9/2/2021		11,200		11,200

City of Philadelphia, Water & Wastewater, Tax Exempt

Series A, 0.08%, 9/2/2021		1,000		1,000

Series B, 0.07%, 10/5/2021		1,000		1,000

City of Rochester Series 08-C, 0.09%, 10/7/2021		8,000		8,000

City of San Antonio, Electric and Gas Systems Series B, 0.07%, 9/27/2021		7,500		7,500

County of Harris Series A-1, 0.09%, 10/13/2021		3,500		3,500

County of Hillsborough Series A, 0.07%, 9/30/2021		14,325		14,325

County of Hillsborough, Tax Exempt

Series A, 0.12%, 9/9/2021		3,800		3,800

Series A, 0.09%, 10/21/2021		3,800		3,800

County of Montgomery Series 10-A, 0.07%, 9/16/2021		7,000		7,000

County of York Series 00B3, 0.07%, 9/1/2021		10,000		10,000

District of Columbia Series 2019, 0.08%, 11/2/2021		25,000		25,000

East Bay Municipal Utility District Series A-1, 0.07%, 9/2/2021		10,000		10,000

East Bay Municipal Utility District, Tax Exempt

Series A-2, 0.06%, 10/1/2021		6,200		6,200

Series A-2, 0.08%, 11/2/2021		6,000		6,000

Health and Educational Facilities Authority of the State of Missouri BJC Health System, Tax Exempt Series 14-C, 0.08%, 10/21/2021		10,000		10,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

Indiana Finance Authority, Tax Exempt

Series D-2, 0.06%, 9/16/2021		9,900		9,900

Series D-2, 0.10%, 10/5/2021		5,000		5,000

Jacksonville Health Care Authority, Tax Exempt Series 2016, 0.17%, 1/28/2022		11,000		11,000

King County Housing Authority, Tax Exempt Series A, 0.09%, 10/6/2021		5,375		5,375

Los Angeles County Housing Authority Series D-TE, 0.10%, 9/1/2021		2,000		2,000

Louisville and Jefferson County Metropolitan Sewer District Series A-1, 0.11%, 12/9/2021		7,500		7,500

Lower Colorado River Authority, Tax Exempt Series B, 0.09%, 9/2/2021		1,735		1,735

Maryland Health and Higher Educational Facilities Authority Series B, 0.07%, 9/8/2021		5,790		5,790

Municipal Improvement Corp. of Los Angeles, Tax Exempt

Series A-2, 0.07%, 9/8/2021		10,500		10,500

Series A-1, LOC: BMO Harris Bank NA, 0.08%, 10/7/2021		16,100		16,100

Omaha Public Power District, Tax Exempt Series A, 0.10%, 10/12/2021		9,100		9,100

Regents of the University of Michigan Series B, 0.09%, 11/3/2021		600		600

Salt River Project Agricultural Improvement and Power District Series C, 0.06%, 9/1/2021		18,800		18,800

San Francisco City and County Public Utilities Commission Wastewater

Series A-1, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 9/9/2021		15,000		15,000

Series A-4, 0.07%, 10/14/2021		15,500		15,501

Southwestern Illinois Development Authority, Tax Exempt Series 17-B, 0.08%, 10/7/2021		5,000		5,000

Stafford County & Staunton Industrial Development Authority, Tax Exempt Series 8-A1, 0.07%, 9/2/2021		10,000		10,000

State of California

Series A6, 0.06%, 9/8/2021		5,000		5,000

Series 11A5, LOC: U.S. Bank NA, 0.07%, 9/20/2021		4,969		4,969

Series A-4, LOC: TD Bank NA, 0.09%, 10/19/2021		5,245		5,245

State of California, Tax Exempt

Series A-7, LOC: State Street Bank & Trust, 0.05%, 9/2/2021		23,530		23,530

Series A-7, 0.06%, 10/19/2021		8,000		8,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

Texas Public Finance Authority

Series 2008, 0.09%, 11/3/2021		7,205		7,205

Series 19, 0.09%, 12/15/2021		3,300		3,300

University of Houston Series TE-A, 0.07%, 9/13/2021		188		188

University of Minnesota, Tax Exempt Series 07-C, 0.08%, 10/7/2021		3,800		3,800

University of Washington Series A, 0.12%, 2/8/2022		12,000		11,999

Upper Trinity Regional Water District, Tax Exempt Series A, 0.06%, 9/8/2021		200		200


Total Commercial Paper (Cost $485,892)				485,891


Total Short-Term Investments (Cost $485,892)				485,891

Total Investments — 97.9% (Cost $2,028,716)				2,028,738
Other Assets Less Liabilities — 2.1%				43,203

NET ASSETS — 100.0%				2,071,941

Percentages indicated are based on net assets.


Abbreviations

AGM		Insured by Assured Guaranty Municipal Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
CONS		Consolidated Bonds
COP		Certificate of Participation
CR		Custodial Receipts
FHA		Federal Housing Administration
FHLB		Federal Home Loan Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
GTD		Guaranteed
LIQ		Liquidity Agreement
LOC		Letter of Credit
MTA		Metropolitan Transportation Authority
PSF-GTD		Permanent School Fund Guaranteed
Q-SBLF		Qualified School Bond Loan Fund


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — 4.5%

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $128,163. (b)		128,163		128,163

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $10,000, collateralized by Corporate Notes and Bonds, 5.50% - 8.20%, due 4/6/2028 - 9/1/2028, FNMA Connecticut Avenue Securities, 2.18% - 2.93%, due 11/26/2029 - 11/25/2039 and Sovereign Government Securities, 2.63% - 10.13%, due 7/26/2022 - 9/30/2049, with a value of $10,800.		10,000		10,000


Total Repurchase Agreements (Cost $138,163)				138,163


Municipal Bonds — 1.6%

Alaska — 0.3%

Alaska Housing Finance Corp., State Capital Project Series 2019A, Rev., VRDO, 0.07%, 9/8/2021 (c)		10,000		10,000


Colorado — 0.3%

Colorado Housing and Finance Authority, Single Family Mortgage Series 2021C2, Class I, Rev., VRDO, GNMA COLL, LIQ: FHLB, 0.06%, 9/8/2021 (c)		10,000		10,000


Michigan — 0.3%

Michigan Finance Authority, Federally Taxable Series 2019D, Rev., VRDO, LOC: PNC Bank NA, 0.09%, 9/8/2021 (c)		9,700		9,700


New York - 0.3%

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series 2018E, Rev., VRDO, LOC: Bank of America NA, 0.07%, 9/8/2021 (c)		8,590		8,590


Texas — 0.4%

Gulf Coast Waste Disposal Authority, Environmental Facilities, American Acryl L.P. Project Series 2003, Rev., VRDO, AMT, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.07%, 9/8/2021 (c)		12,000		12,000


Total Municipal Bonds (Cost $50,290)				50,290

Short-Term Investments — 93.9%

Commercial Paper — 51.4%

Australia & New Zealand Banking Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/2/2021 (d) (e)		30,000		30,004


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

Bank of Nova Scotia (The) (Canada) 0.21%, 1/10/2022 (e) (f)		1,350		1,349

Barclays Bank plc (United Kingdom) 0.10%, 9/1/2021 (e) (f)		140,000		140,000

Barton Capital SA (France) 0.13%, 11/3/2021 (e) (f)		46,000		45,990

China Construction Bank Corp. (China) 0.10%, 9/1/2021 (e) (f)		140,000		140,000

Cooperatieve Rabobank UA (Netherlands) 0.05%, 9/1/2021 (f)		140,000		140,000

DBS Bank Ltd. (Singapore) 15.00%, 12/22/2021 (e) (f)		31,000		30,986

DBS Group Holdings Ltd. (Singapore)

0.19%, 9/20/2021 (e) (f)		15,000		14,999

0.20%, 10/18/2021 (e) (f)		80,000		79,985

First Abu Dhabi Bank PJSC (United Arab Emirates) 0.12%, 12/13/2021 (e) (f)		70,000		69,978

Industrial & Commercial Bank of China Ltd. (China) 0.10%, 9/1/2021 (e) (f)		140,000		140,000

KEB Hana Bank (South Korea) 0.14%, 11/23/2021 (e) (f)		1,250		1,250

Kookmin Bank (South Korea) 0.17%, 11/10/2021 (e) (f)		20,000		19,994

Korea Development Bank (South Korea)

0.20%, 9/17/2021 (f)		24,500		24,499

0.20%, 9/21/2021 (f)		30,000		29,999

Landesbank Baden-Wurttemberg (Germany) 0.07%, 9/1/2021 (f)		50,000		50,000

LMA-Americas LLC 0.21%, 10/1/2021 (e) (f)		1,465		1,465

Macquarie Bank Ltd. (Australia) 0.18%, 11/19/2021 (e) (f)		6,000		5,998

Manhattan Asset Funding Co. LLC 0.20%, 10/21/2021 (e) (f)		53,524		53,516

Mitsubishi UFJ Trust & Banking Corp. (Japan) 0.12%, 12/10/2021 (e) (f)		9,000		8,997

Mizuho Bank Ltd. (Japan)

0.20%, 10/28/2021 (e) (f)		50,000		49,990

0.20%, 11/10/2021 (e) (f)		12,000		11,997

National Australia Bank Ltd. (Australia) (US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (d) (e)		32,000		32,009

Natixis SA (France)

0.22%, 12/10/2021 (f)		50,000		49,985

0.22%, 12/17/2021 (f)		25,000		24,992

Royal Bank of Canada (Canada) 0.21%, 6/22/2022 (f)		35,000		34,940


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

Skandinaviska Enskilda Banken AB (Sweden)

0.20%, 10/19/2021 (e) (f)		50,000		49,995

0.19%, 11/3/2021 (e) (f)		15,000		14,998

Standard Chartered Bank (United Kingdom) 0.20%, 9/15/2021 (e) (f)		50,000		49,998

Svenska Handelsbanken AB (Sweden) 0.21%, 12/23/2021 (e) (f)		23,000		22,993

Toronto-Dominion Bank (The) (Canada)

(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.19%, 9/1/2021 (d) (e)		82,000		82,000

(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.19%, 9/1/2021 (d) (e)		45,000		45,000

United Overseas Bank Ltd. (Singapore)

0.23%, 5/5/2022 (e) (f)		35,000		34,963

0.23%, 5/10/2022 (e) (f)		18,000		17,981

Westpac Banking Corp. (Australia) (ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/11/2021 (d) (e)		25,000		25,004


Total Commercial Paper (Cost $1,575,737)				1,575,854


Time Deposits — 22.5%

BNP Paribas SA 0.06%, 9/1/2021		140,000		140,000

Credit Agricole Corporate and Investment Bank 0.05%, 9/1/2021		140,000		140,000

Erste Group Bank AG 0.07%, 9/1/2021		141,000		141,000

First Abu Dhabi Bank PJSC 0.06%, 9/1/2021		73,000		73,000

Mizuho Bank, Ltd. 0.08%, 9/1/2021		80,000		80,000

Royal Bank of Canada 0.05%, 9/1/2021		40,000		40,000

Skandinaviska Enskilda Banken AB 0.05%, 9/1/2021		77,000		77,000


Total Time Deposits (Cost $691,000)				691,000


Certificates of Deposit — 20.0%

Bank of Nova Scotia (The) (Canada)

(SOFR + 0.14%), 0.19%, 9/1/2021 (d)		41,000		41,000

(SOFR + 0.14%), 0.19%, 9/1/2021 (d)		35,000		35,000

0.20%, 1/7/2022		40,850		40,865

Canadian Imperial Bank of Commerce (Canada) (SOFR + 0.14%), 0.19%, 9/1/2021 (d)		50,000		50,001

0.24%, 4/6/2022		42,000		42,019

Landesbank Baden-Wurttemberg (Germany) 0.10%, 9/2/2021		82,750		82,750

MUFG Bank Ltd. (Japan) 0.19%, 10/7/2021		40,000		40,005

Oversea-Chinese Banking Corp. Ltd. (Singapore) 0.13%, 12/14/2021		6,000		6,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Certificates of Deposit — continued

Royal Bank of Canada (Canada) (ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/11/2021 (d)		65,000		65,010

Shinhan Bank (South Korea) 0.47%, 11/3/2021		4,106		4,109

Sumitomo Mitsui Banking Corp. (Japan) 0.16%, 1/3/2022		12,000		12,001

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.21%, 9/16/2021		40,000		40,002

Svenska Handelsbanken AB (Sweden) 0.20%, 6/21/2022		100,000		100,011

Woori Bank (South Korea)

0.12%, 10/1/2021 (e)		20,000		19,999

0.19%, 11/15/2021 (e)		14,000		14,002

0.16%, 1/4/2022 (e)		20,000		20,000


Total Certificates of Deposit (Cost $612,708)				612,774


Total Short-Term Investments (Cost $2,879,445)				2,879,628

Total Investments — 100.0% (Cost $3,067,898)				3,068,081
Liabilities in Excess of Other Assets — 0.0% (g)				(53	)

NET ASSETS — 100.0%				3,068,028

Percentages indicated are based on net assets.

Abbreviations


AMT		Alternative Minimum Tax
COLL		Collateral
FHLB		Federal Home Loan Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
ICE		Intercontinental Exchange
LIBOR		London Interbank Offered Rate
LIQ		Liquidity Agreement
LOC		Letter of Credit
MTA		Metropolitan Transportation Authority
PJSC		Public Joint Stock Company
Rev.		Revenue
SOFR		Secured Overnight Financing Rate
USD		United States Dollar
VRDO		Variable Rate Demand Obligation

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.


(b)		Agency Joint Trading Account II — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2021, as follows (amounts in thousands):



Fund	Principal Amount	Repurchase Price		Collateral Value Allocation
JPMorgan Securities Lending Money Market Fund	$128,163	$	128,163	$	130,730

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):



Counterparty	Interest Rate	JPMorgan Securities Lending Money Market Fund
Bofa Securities, Inc.	0.05%	$	94,342
Citibank NA	0.06%		16,020
Citigroup Global Markets Holdings, Inc.	0.06%		17,801

Total		$	128,163

At August 31, 2021, the Agency Joint Trading Account II was fully collateralized by:



Issuer	Interest Rates		Maturity Dates
FHLMC		2.50% - 5.50%		2/1/2026 - 1/1/2050
FNMA		2.00% - 6.10%		11/1/2022 - 9/1/2051
GNMA		2.35% - 3.00%		11/15/2042 - 3/15/2048
U.S. Treasury Securities		0.00% - 3.13%		2/15/2027 - 5/15/2051


(c)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(d)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(e)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(f)		The rate shown is the effective yield as of August 31, 2021.
(g)		Amount rounds to less than 0.1% of net assets.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — 11.8%

Barclays Capital, Inc., 0.24%, dated 8/31/2021, due 10/5/2021, repurchase price $30,007, collateralized by Collateralized Mortgage Obligations, 1.70% -3.58%, due 6/15/2038 - 1/25/2060, with a value of $32,400.		30,000		30,000

Barclays Capital, Inc., 0.25%, dated 8/31/2021, due 10/5/2021, repurchase price $25,006, collateralized by Collateralized Mortgage Obligations, 2.49% -3.15%, due 5/15/2048 - 7/17/2054, with a value of $27,000.		25,000		25,000

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $30,000, collateralized by Corporate Notes and Bonds, 0.55% - 9.50%, due 9/19/2022 - 2/15/2041, with a value of $32,274.		30,000		30,000

BMO Capital Markets Corp., 0.19%, dated 8/31/2021, due 9/7/2021, repurchase price $50,002, collateralized by Corporate Notes and Bonds, 3.63% - 11.13%, due 4/1/2023 - 1/1/2999, with a value of $53,817.		50,000		50,000

BMO Capital Markets Corp., 0.22%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Corporate Notes and Bonds, 0.75% - 15.50%, due 6/29/2022 - 1/1/2999 and FHLMC, 2.54%, due 7/25/2026, with a value of $27,023.		25,000		25,000

BNP Paribas SA, 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $65,003, collateralized by Asset-Backed Securities, 0.83% - 7.04%, due 10/1/2023 -2/25/2034, with a value of $71,508.		65,000		65,000

Bofa Securities, Inc., 0.33%, dated 8/31/2021, due 10/5/2021, repurchase price $35,011, collateralized by Asset-Backed Securities, 0.51% - 1.42%, due 12/22/2036 -7/1/2047, with a value of $37,100.		35,000		35,000

Bofa Securities, Inc., 0.48%, dated 8/31/2021, due 10/5/2021, repurchase price $100,047, collateralized by Sovereign Government Securities, 4.50% - 6.85%, due 1/18/2024 - 2/21/2047, with a value of $108,000.		100,000		100,000

Credit Suisse Securities USA LLC, 0.44%, dated 8/31/2021, due 10/5/2021, repurchase price $50,021, collateralized by Asset-Backed Securities, 3.67% - 20.01%, due 8/15/2027 - 8/22/2039, with a value of $55,061.		50,000		50,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 10/8/2021, repurchase price $5,001, collateralized by Corporate Notes and Bonds, 0.88% - 7.00%, due 7/30/2023 - 9/1/2041, with a value of $5,297.		5,000		5,000

Societe Generale SA, 0.14%, dated 8/31/2021, due 9/1/2021, repurchase price $33,000, collateralized by Asset-Backed Securities, 3.45% - 5.88%, due 10/11/2027 - 5/15/2034, Collateralized Mortgage Obligations, 3.00%, due 1/18/2052, Corporate Notes and Bonds, 0.20% - 7.63%, due 12/1/2021 -8/16/2077, FNMA Connecticut Avenue Securities, 2.03%, due 10/25/2049, Sovereign Government Securities, 1.40% -6.75%, due 2/7/2022 - 2/9/2026 and U.S. Treasury Securities, 2.63% - 2.88%, due 9/30/2023 - 12/31/2023, with a value of $34,681.		33,000		33,000

Societe Generale SA, 0.21%, dated 8/31/2021, due 9/1/2021, repurchase price $95,001, collateralized by Asset-Backed Securities, 0.30% - 6.64%, due 1/2/2024 - 11/25/2046, Collateralized Mortgage Obligations, 0.54% - 5.40%, due 5/25/2035 - 5/25/2060, Corporate Notes and Bonds, 3.25% - 9.75%, due 11/10/2021 - 6/4/2081, FNMA Connecticut Avenue Securities, 0.73% - 2.93%, due 11/26/2029 - 9/26/2039 and Sovereign Government Securities, 2.63% - 11.88%, due 7/26/2022 - 1/1/2999, with a value of $102,568.		95,000		95,000

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $70,000, collateralized by Asset-Backed Securities, 0.48% - 1.73%, due 9/25/2035 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 4.52%, due 7/25/2036 - 4/15/2050, Corporate Notes and Bonds, 0.25% - 9.75%, due 2/22/2022 - 3/1/2031, FNMA Connecticut Avenue Securities, 2.03% - 2.43%, due 1/27/2031 -10/25/2049 and Sovereign Government Securities, 4.00% - 11.88%, due 7/26/2022 - 1/1/2999, with a value of $75,596.		70,000		70,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

Societe Generale SA, 0.26%, dated 8/31/2021, due 12/1/2021, repurchase price $75,050, collateralized by Asset-Backed Securities, 0.43% - 1.73%, due 9/25/2035 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 6.32%, due 7/25/2036 - 5/25/2060, Corporate Notes and Bonds, 1.57% - 9.00%, due 8/15/2022 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.13% - 2.88%, due 2/25/2030 - 11/25/2048 and Sovereign Government Securities, 2.63% - 10.13%, due 1/5/2023 - 1/1/2999, with a value of $81,030.		75,000		75,000

TD Securities (USA) LLC, 0.14%, dated 8/31/2021, due 9/7/2021, repurchase price $100,003, collateralized by Asset-Backed Securities, 2.04% - 2.44%, due 9/15/2026 - 8/15/2031 and Municipal Debt Securities, 2.97% - 7.62%, due 12/1/2034 - 6/15/2043, with a value of $105,780.		100,000		100,000

Wells Fargo Securities LLC, 0.22%, dated 8/31/2021, due 9/2/2021, repurchase price $46,001, collateralized by Sovereign Government Securities, 0.25% - 9.50%, due 10/19/2023 - 5/21/2048, with a value of $48,318.		46,000		46,000

Wells Fargo Securities LLC, 0.32%, dated 8/31/2021, due 9/14/2021, repurchase price $50,006, collateralized by Sovereign Government Securities, 2.50% - 6.15%, due 1/15/2030 - 10/6/2070, with a value of $52,545.		50,000		50,000


Total Repurchase Agreements (Cost $884,000)				884,000


Corporate Notes — 1.1%

Banks — 1.1%

Barclays Bank plc (United Kingdom) (OBFR + 0.10%), 0.17%, 9/1/2021 (b) (c) (Cost $85,000)		85,000		85,000

Short-Term Investments — 86.9%

Certificates of Deposit — 33.2%

Bank of Montreal (Canada) (SOFR + 0.15%), 0.20%, 9/1/2021 (b)		10,000		10,000

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 9/16/2021 (b)		10,000		10,000

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/7/2021 (b)		30,000		30,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)		20,000		20,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Certificates of Deposit — continued

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)		125,000		125,000

0.23%, 5/11/2022		50,000		50,000

0.21%, 6/22/2022		21,000		21,000

BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/7/2021 (b)		18,000		18,000

0.24%, 2/1/2022		50,000		50,000

Canadian Imperial Bank of Commerce (Canada)

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		25,000		25,000

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)		80,000		80,000

(ICE LIBOR USD 3 Month + 0.05%), 0.20%, 9/30/2021 (b)		64,000		64,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)		100,000		100,000

Cooperatieve Rabobank UA (Netherlands) (ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/30/2021 (b)		50,000		50,000

0.22%, 7/5/2022 (d)		50,000		49,906

Credit Industriel et Commercial (France)

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/17/2021 (b)		10,000		10,000

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/5/2021 (b)		25,000		25,000

0.24%, 10/12/2021 (d)		70,000		69,981

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/25/2021 (b)		26,000		26,000

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)		23,000		23,000

0.22%, 3/7/2022 (d)		50,000		49,943

Credit Suisse AG (Switzerland) 0.35%, 12/2/2021		30,000		30,000

Erste Group Bank AG (Austria) 0.10%, 9/20/2021		100,000		100,000

ING Bank NV

0.20%, 9/24/2021		15,000		15,000

0.25%, 10/8/2021		30,000		30,000

Korea Development Bank (South Korea) 0.26%, 4/20/2022		10,000		10,000

Landesbank Baden-Wurttemberg (Germany) 0.09%, 9/7/2021		250,000		250,000

Landesbank Hessen-Thueringen Girozentrale (Germany) 0.09%, 9/8/2021		100,000		100,000

Mizuho Bank Ltd. (Japan) 0.16%, 1/7/2022		15,000		15,000

MUFG Bank Ltd. (Japan) 0.15%, 1/14/2022		20,000		20,000

National Australia Bank Ltd. (Australia)

0.23%, 1/24/2022 (d)		25,000		24,977

0.23%, 1/26/2022 (d)		50,000		49,953

0.23%, 1/27/2022 (d)		50,000		49,953


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Certificates of Deposit — continued

Natixis SA (France) (SOFR + 0.13%), 0.18%, 9/1/2021 (b)		50,000		50,000

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)		25,000		25,000

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/1/2021 (b)		25,000		25,000

0.30%, 9/2/2021		50,000		50,000

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/10/2021 (b)		25,000		25,000

0.23%, 10/7/2021		30,000		30,000

(ICE LIBOR USD 3 Month + 0.03%), 0.15%, 11/12/2021 (b)		25,000		25,000

0.21%, 2/11/2022		25,000		25,000

Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b)		29,000		29,000

0.20%, 6/29/2022		25,000		25,000

Skandinaviska Enskilda Banken AB (Sweden) 0.18%, 9/9/2021		25,000		25,000

Standard Chartered Bank (United Kingdom) 0.20%, 10/26/2021		50,000		50,000

Sumitomo Mitsui Banking Corp. (Japan)

(ICE LIBOR USD 3 Month + 0.02%), 0.17%, 9/29/2021 (b)		50,000		50,000

0.12%, 11/4/2021		50,000		50,000

0.11%, 11/16/2021		25,000		25,000

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.18%, 1/13/2022 (d)		100,000		99,933

Svenska Handelsbanken AB (Sweden)

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)		17,000		17,000

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)		50,000		50,000

0.20%, 6/28/2022		25,000		25,000

Toronto-Dominion Bank (The) (Canada)

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)		25,000		25,000

Series 01, (BSBY3M + 0.05%), 0.14%, 9/9/2021 (b)		15,000		15,000

0.26%, 4/21/2022 (d)		25,000		24,958

0.27%, 4/27/2022 (d)		25,000		24,956

Westpac Banking Corp. (Australia) (ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)		100,000		100,000


Total Certificates of Deposit (Cost $2,492,560)				2,492,560


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — 29.5%

Albion Capital Corp. SA (Luxembourg) 0.13%, 10/27/2021 (d)		10,000		9,998

Antalis SA (France)

0.23%, 9/3/2021 (c) (d)		31,300		31,300

0.16%, 12/1/2021 (c) (d)		15,000		14,994

Bank of Nova Scotia (The) (Canada)

(SOFR + 0.15%), 0.20%, 9/1/2021 (b) (c)		25,000		25,000

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)		50,000		50,000

0.21%, 6/22/2022 (c) (d)		20,000		19,966

Bedford Row Funding Corp.

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)		25,000		25,000

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/27/2021 (b) (c)		20,000		20,000

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 11/22/2021 (b) (c)		25,000		25,000

BNG Bank NV (Netherlands) 0.08%, 9/1/2021 (c) (d)		50,000		50,000

BNP Paribas SA (France)

0.18%, 3/22/2022 (d)		16,000		15,984

0.18%, 4/7/2022 (d)		50,000		49,945

BNZ International Funding Ltd. (New Zealand) 0.19%, 10/15/2021 (d)		50,000		49,988

BPCE SA (France) 0.23%, 12/13/2021 (c) (d)		25,000		24,984

Caisse d’Amortissement de la Dette Sociale (France) 0.16%, 1/27/2022 (c) (d)		35,200		35,178

Cooperatieve Rabobank UA (Netherlands) 0.12%, 10/1/2021 (d)		100,000		99,990

DBS Group Holdings Ltd. (Singapore)

0.19%, 9/20/2021 (c) (d)		31,000		30,997

0.20%, 10/18/2021 (c) (d)		50,000		49,987

Dexia Credit Local SA (France) 0.12%, 10/14/2021 (c) (d)		50,000		49,993

DNB Bank ASA (Norway) 0.09%, 9/2/2021 (c) (d)		100,000		100,000

(ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/14/2021 (b) (c)		50,000		50,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b) (c)		17,000		17,000

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)		71,000		71,000

Federation des caisses Desjardins du Quebec (The) (Canada) 0.08%, 9/13/2021 (c) (d)		25,000		24,999

First Abu Dhabi Bank PJSC (United Arab Emirates) 0.18%, 12/2/2021 (c) (d)		68,000		67,969


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

FMS Wertmanagement (Germany) 0.11%, 10/28/2021 (c) (d)		50,000		49,991

ING US Funding LLC (Netherlands)

0.17%, 9/29/2021 (c) (d)		25,000		24,997

0.22%, 10/12/2021 (c) (d)		30,000		29,992

Macquarie Bank Ltd. (Australia)

0.12%, 10/7/2021 (c) (d)		29,200		29,196

0.12%, 10/27/2021 (c) (d)		30,000		29,994

0.12%, 11/15/2021 (c) (d)		50,000		49,988

Mizuho Bank Ltd. (Japan) 0.19%, 11/15/2021 (c) (d)		15,000		14,994

National Australia Bank Ltd. (Australia)

(US Federal Funds Effective Rate (continuous series) + 0.07%), 0.15%, 9/1/2021 (b) (c)		25,000		25,000

(US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (b) (c)		25,000		25,000

(ICE LIBOR USD 1 Month + 0.09%), 0.19%, 9/8/2021 (b) (c)		25,000		25,000

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/3/2021 (b) (c)		14,000		14,000

0.23%, 3/31/2022 (c) (d)		30,000		29,960

Nationwide Building Society (United Kingdom) 0.08%, 9/16/2021 (c) (d)		50,000		49,998

Nieuw Amsterdam Receivables Corp. 0.11%, 11/8/2021 (c) (d)		100,000		99,979

NRW Bank (Germany) 0.08%, 11/2/2021 (c) (d)		75,000		74,990

Royal Bank of Canada (Canada)

(ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/2/2021 (b)		25,000		25,000

0.23%, 5/5/2022 (d)		50,000		49,921

0.21%, 6/22/2022 (d)		20,000		19,966

Skandinaviska Enskilda Banken AB (Sweden) 0.20%, 6/27/2022 (c) (d)		100,000		99,834

Societe Generale SA (France) 0.19%, 10/13/2021 (c) (d)		25,000		24,995

Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b) (c)		11,000		11,000

Toronto-Dominion Bank (The) (Canada)

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b) (c)		100,000		100,000

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/10/2021 (b) (c)		50,000		50,000

0.20%, 7/8/2022 (c) (d)		25,000		24,957


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

TotalEnergies Capital Canada Ltd. (France) 0.14%, 2/3/2022 (c) (d)		25,000		24,985

Toyota Motor Finance Netherlands BV (Japan) 0.15%, 11/29/2021 (d)		19,000		18,993

UBS AG (Switzerland) (SOFR + 0.17%), 0.22%, 9/1/2021 (b) (c)		25,000		25,000

0.24%, 3/29/2022 (c) (d)		50,000		49,930

0.24%, 3/30/2022 (c) (d)		50,000		49,930

United Overseas Bank Ltd. (Singapore) 0.23%, 5/10/2022 (c) (d)		25,000		24,960

Westpac Banking Corp. (Australia)

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)		14,000		14,000

0.20%, 7/1/2022 (c) (d)		20,000		19,966


Total Commercial Paper (Cost $2,215,788)				2,215,788


Time Deposits — 24.2%

Agricultural Bank of China Ltd. 0.10%, 9/7/2021		370,000		370,000

Australia & New Zealand Banking Group Ltd. 0.08%, 9/1/2021		205,000		205,000

Credit Agricole Corporate and Investment Bank

0.05%, 9/1/2021		90,956		90,956

0.10%, 9/1/2021		150,000		150,000

0.10%, 9/3/2021		75,000		75,000

Erste Group Bank AG 0.07%, 9/1/2021		100,000		100,000

First Abu Dhabi Bank PJSC 0.06%, 9/1/2021		215,000		215,000

Mizuho Bank, Ltd. 0.08%, 9/1/2021		342,000		342,000

Royal Bank of Canada 0.05%, 9/1/2021		150,000		150,000

Skandinaviska Enskilda Banken AB 0.05%, 9/1/2021		125,000		125,000


Total Time Deposits (Cost $1,822,956)				1,822,956


Total Short-Term Investments (Cost $6,531,304)				6,531,304

Total Investments — 99.8% (Cost $7,500,304) *				7,500,304
Other Assets Less Liabilities — 0.2%				14,796

NET ASSETS — 100.0%				7,515,100

Percentages indicated are based on net assets.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — 50.2%

Agency Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,650,004 (b)		2,650,000		2,650,000

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $652,332 (c)		652,331		652,331

Agency Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $86,009 (d)		86,009		86,009

Bank of America NA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $750,001, collateralized by GNMA, 2.50%, due 7/20/2050, with a value of $765,000.		750,000		750,000

Bank of Montreal, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $515,001, collateralized by FFCB, 3.62%, due 10/24/2030, FHLMC, 1.50% - 4.50%, due 12/1/2021 - 9/1/2051, FNMA, 2.00% - 3.50%, due 8/1/2036 - 11/1/2049 and GNMA, 0.30% - 3.50%, due 2/20/2051 - 3/15/2057, with a value of $525,696.		515,000		515,000

Bank of Montreal, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $400,005, collateralized by FHLMC, 1.50% - 6.50%, due 9/15/2031 - 8/1/2051, FNMA, 1.79% - 4.50%, due 10/1/2027 - 9/1/2051 and GNMA, 0.30% - 5.00%, due 4/20/2036 - 7/20/2051, with a value of $408,686.		400,000		400,000

Bank of Montreal, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $300,004, collateralized by FHLMC, 2.00%, due 4/1/2051 - 8/1/2051 and GNMA, 0.30%, due 4/20/2051, with a value of $306,446.		300,000		300,000

Bank of Montreal, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $600,008, collateralized by FHLMC, 0.40% - 6.50%, due 5/15/2025 - 5/15/2049, FNMA, 1.25% - 6.00%, due 8/25/2024 - 9/1/2051, GNMA, 0.30% - 5.50%, due 5/20/2029 - 1/20/2067 and U.S. Treasury Securities, 0.00%, due 11/23/2021 - 2/15/2046, with a value of $613,447.		600,000		600,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Bank of Nova Scotia (The), 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $500,001, collateralized by FHLMC, 2.00% - 6.00%, due 4/1/2029 - 10/1/2050, FNMA, 3.00% - 6.50%, due 6/1/2025 - 12/1/2050 and U.S. Treasury Securities, 1.00% - 1.25%, due 5/31/2028 - 7/31/2028, with a value of $510,000.		500,000		500,000

BMO Capital Markets Corp., 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $500,007, collateralized by FFCB, 0.13% - 3.07%, due 7/13/2022 - 11/28/2033, FHLMC, 0.00% - 7.25%, due 5/15/2024 - 7/25/2051, FNMA, 0.50% - 6.50%, due 6/17/2025 - 6/25/2051, GNMA, 0.40% - 6.10%, due 7/15/2035 - 7/20/2071 and U.S. Treasury Securities, 0.00% - 7.13%, due 9/9/2021 - 8/15/2051, with a value of $512,559.		500,000		500,000

BNP Paribas SA, 0.04%, dated 8/31/2021, due 9/1/2021, repurchase price $1,500,002, collateralized by FFCB, 1.95% - 3.65%, due 4/22/2039 - 8/13/2040, FHLMC, 0.00% - 6.50%, due 12/11/2025 - 7/1/2051, FNMA, 0.00% - 6.50%, due 10/5/2022 - 2/1/2057, GNMA, 0.72% - 6.50%, due 3/15/2026 - 5/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/15/2021 - 5/15/2049, with a value of $1,530,513.		1,500,000		1,500,000

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $1,000,002, collateralized by FHLMC, 3.00%, due 5/15/2045, FNMA, 2.00% - 6.00%, due 8/1/2033 - 11/1/2050, GNMA, 1.63% - 5.00%, due 5/20/2026 - 6/20/2050 and U.S. Treasury Securities, 0.00% - 3.00%, due 10/21/2021 - 5/15/2049, with a value of $1,020,335.		1,000,000		1,000,000

BNP Paribas SA, 0.05%, dated 8/31/2021, due 9/3/2021, repurchase price $1,750,007, collateralized by FHLMC, 1.89% - 4.50%, due 3/1/2049 - 7/1/2051, FNMA, 2.00% - 5.50%, due 8/1/2032 - 8/1/2051, GNMA, 0.39% - 4.00%, due 11/20/2034 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 10/15/2021 - 11/15/2049, with a value of $1,785,200.		1,750,000		1,750,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

BNP Paribas SA, 0.05%, dated 8/31/2021, due 9/7/2021, repurchase price $1,500,015, collateralized by FHLMC, 2.50% - 4.50%, due 3/1/2041 - 8/1/2051, FNMA, 1.61% - 5.50%, due 1/1/2027 - 4/1/2051, GNMA, 2.00% - 4.00%, due 10/20/2035 - 6/20/2050 and U.S. Treasury Securities, 0.00% - 3.88%, due 11/30/2021 - 2/15/2051, with a value of $1,530,474.		1,500,000		1,500,000

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,000,012, collateralized by FFCB, 2.99% - 3.46%, due 7/18/2034 - 3/9/2038, FHLB, 3.75% - 5.37%, due 9/9/2024 - 2/14/2034, FHLMC, 0.00% - 5.50%, due 11/15/2025 - 3/1/2051, FNMA, 0.00% - 8.00%, due 2/1/2023 - 5/1/2051, GNMA, 0.72% - 7.00%, due 7/15/2024 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 3.00%, due 9/23/2021 - 5/15/2049, with a value of $1,021,172.		1,000,000		1,000,000

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,000,012, collateralized by FFCB, 1.95% - 4.16%, due 10/25/2033 - 8/13/2040, FHLMC, 0.00% - 8.00%, due 3/1/2027 - 8/1/2051, FNMA, 0.00% - 8.00%, due 5/15/2022 - 7/25/2051, GNMA, 1.50% - 5.00%, due 7/20/2024 - 11/20/2067 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/28/2021 - 5/15/2049, with a value of $1,020,605.		1,000,000		1,000,000

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,500,018, collateralized by FHLMC, 1.84% - 3.50%, due 9/1/2041 - 8/1/2051, FNMA, 1.50% - 6.00%, due 4/1/2035 - 7/1/2051, GNMA, 1.63% - 4.00%, due 8/20/2041 - 6/20/2049 and U.S. Treasury Securities, 0.00% - 6.25%, due 1/31/2022 - 2/15/2051, with a value of $1,530,469.		1,500,000		1,500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $3,000,035, collateralized by FFCB, 1.95% - 3.46%, due 7/18/2034 - 8/13/2040, FHLB, 3.75% - 4.20%, due 12/24/2030 - 1/24/2039, FHLMC, 0.00% - 5.50%, due 11/15/2025 - 8/1/2051, FNMA, 0.00% - 6.50%, due 9/1/2022 - 3/1/2052, GNMA, 0.54% - 5.00%, due 10/15/2026 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/15/2021 - 8/15/2051, with a value of $3,060,675.		3,000,000		3,000,000

BNP Paribas SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $2,000,027, collateralized by FHLMC, 0.00% - 5.50%, due 11/15/2025 - 6/1/2051, FNMA, 2.00% - 5.50%, due 3/1/2033 - 3/1/2052, GNMA, 0.39% - 5.00%, due 11/20/2034 - 5/20/2051 and U.S. Treasury Securities, 0.00% - 6.88%, due 10/7/2021 - 2/15/2050, with a value of $2,040,829.		2,000,000		2,000,000

BNP Paribas SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $2,750,037, collateralized by FFCB, 2.83% - 3.65%, due 12/19/2036 - 4/22/2039, FHLB, 3.38%, due 3/12/2038, FHLMC, 0.00% - 7.00%, due 11/15/2025 - 9/1/2050, FNMA, 0.00% - 6.50%, due 6/1/2023 - 8/1/2051, GNMA, 0.80% - 6.50%, due 5/20/2033 - 3/20/2051 and U.S. Treasury Securities, 0.00% - 7.50%, due 9/15/2021 - 11/15/2050, with a value of $2,806,148.		2,750,000		2,750,000

BNP Paribas SA, 0.13%, dated 8/31/2021, due 11/18/2021, repurchase price $1,300,371, collateralized by FHLMC, 2.50%, due 12/1/2050, FNMA, 1.50% - 5.00%, due 12/1/2032 - 1/1/2051, GNMA, 1.63% - 4.50%, due 6/20/2041 - 9/20/2049 and U.S. Treasury Securities, 0.00% - 6.38%, due 9/16/2021 - 5/15/2048, with a value of $1,327,744.		1,300,000		1,300,000

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $295,000, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2022 - 11/15/2049, with a value of $300,901.		295,000		295,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $400,001, collateralized by FHLMC, 2.07% - 4.50%, due 10/1/2038 - 1/1/2050, FNMA, 2.00% - 5.50%, due 10/1/2027 - 6/1/2051 and GNMA, 2.50% - 4.70%, due 12/20/2050 - 3/20/2065, with a value of $408,001.		400,000		400,000

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/7/2021, repurchase price $500,005, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2022 - 8/15/2050, with a value of $510,023.		500,000		500,000

Citigroup Global Markets Holdings, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.38% - 6.00%, due 11/15/2025 - 2/28/2026, with a value of $255,000.		250,000		250,000

Daiwa Capital Markets America, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,004, collateralized by FFCB, 0.10%, due 11/23/2022, FHLMC, 1.00% - 5.50%, due 7/1/2024 - 8/1/2051, FNMA, 1.74% - 6.50%, due 3/1/2022 - 8/1/2051, GNMA, 1.50% - 5.60%, due 10/15/2032 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 7.63%, due 9/16/2021 - 8/15/2051, with a value of $3,060,004.		3,000,000		3,000,000

Deutsche Bank Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 1.13%, due 8/31/2028, with a value of $255,000.		250,000		250,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,004, collateralized by U.S. Treasury Securities, 0.25% - 3.13%, due 5/15/2024 - 5/15/2046, with a value of $3,000,004.		3,000,000		3,000,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.25% - 2.50%, due 8/15/2027 - 5/15/2046, with a value of $9,500,013.		9,500,000		9,500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.25% - 2.50%, due 2/15/2027 - 5/15/2046, with a value of $9,500,013.		9,500,000		9,500,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 0.13% - 3.63%, due 12/31/2022 - 5/15/2046, with a value of $9,500,013.		9,500,000		9,500,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 0.25% - 2.75%, due 8/15/2022 - 5/15/2029, with a value of $9,500,013.		9,500,000		9,500,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.00% - 2.50%, due 11/15/2026 - 5/15/2046, with a value of $9,500,013.		9,500,000		9,500,000

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.00% - 2.50%, due 11/15/2026 - 5/15/2046, with a value of $9,500,013.		9,500,000		9,500,000

Fixed Income Clearing Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,000,003, collateralized by U.S. Treasury Securities, 0.38% - 2.25%, due 4/15/2024 - 5/15/2041, with a value of $2,040,000.		2,000,000		2,000,000

Fixed Income Clearing Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $5,000,007, collateralized by U.S. Treasury Securities, 0.13% - 0.38%, due 1/15/2023 - 1/15/2030, with a value of $5,100,000.		5,000,000		5,000,000

Goldman Sachs & Co. LLC, 0.06%, dated 8/31/2021, due 9/2/2021, repurchase price $4,000,012, collateralized by FHLMC, 1.50% - 6.00%, due 11/15/2028 - 8/25/2051, FNMA, 0.48% - 6.50%, due 11/25/2028 - 8/25/2051 and GNMA, 1.55% - 8.50%, due 12/15/2021 - 6/15/2061, with a value of $4,080,000.		4,000,000		4,000,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 9/20/2021, repurchase price $600,023, collateralized by FHLMC, 1.50% - 7.00%, due 9/1/2029 - 5/1/2051 and FNMA, 1.50% - 5.00%, due 8/1/2028 - 1/1/2057, with a value of $612,113.		600,000		600,000

ING Financial Markets LLC, 0.06%, dated 8/31/2021, due 9/27/2021, repurchase price $500,023, collateralized by FNMA, 1.50% - 4.50%, due 8/1/2034 - 1/1/2057, with a value of $510,027.		500,000		500,000

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 10/19/2021, repurchase price $300,029, collateralized by FHLMC, 1.99% - 5.50%, due 11/1/2029 - 5/1/2051 and FNMA, 1.50% - 5.50%, due 8/1/2028 - 9/1/2057, with a value of $306,057.		300,000		300,000

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 10/19/2021, repurchase price $350,033, collateralized by FHLMC, 1.50% - 7.50%, due 9/1/2029 - 5/1/2051 and FNMA, 1.50% - 4.50%, due 6/1/2042 - 5/1/2058, with a value of $357,066.		350,000		350,000

Metropolitan Life Insurance Co., 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $1,000,002, collateralized by U.S. Treasury Securities, 0.00%, due 8/15/2027 - 11/15/2050, with a value of $1,020,002.		1,000,000		1,000,000

Mitsubishi UFJ Trust & Banking Corp., 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,400,016, collateralized by GNMA, 2.00% - 5.00%, due 8/15/2038 - 5/20/2051, with a value of $1,425,038.		1,400,000		1,400,000

Natixis SA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $600,001, collateralized by FHLMC, 2.00% - 3.00%, due 10/1/2049 - 3/1/2051, FNMA, 0.00% - 5.50%, due 5/25/2041 - 9/25/2051, GNMA, 2.50% - 3.00%, due 6/20/2051 and U.S. Treasury Securities, 0.00% - 3.88%, due 10/7/2021 - 2/15/2051, with a value of $612,433.		600,000		600,000

Natixis SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $500,007, collateralized by U.S. Treasury Securities, 0.00% - 7.63%, due 9/9/2021 - 2/15/2051, with a value of $510,183.		500,000		500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $1,300,002, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2021 - 8/15/2047, with a value of $1,326,002.		1,300,000		1,300,000

Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $4,500,006, collateralized by FFCB, 0.14% - 1.85%, due 4/8/2022 - 8/5/2022, FHLB, 0.13% - 5.50%, due 10/21/2022 - 11/2/2040, FHLMC, 0.00% - 6.75%, due 7/25/2022 - 4/1/2051, FNMA, 0.50% - 7.25%, due 1/19/2023 - 3/1/2056, GNMA, 2.50% - 4.50%, due 11/15/2041 - 8/20/2051, Tennessee Valley Authority, 4.25% - 7.13%, due 5/1/2030 - 9/15/2065 and U.S. Treasury Securities, 0.00% - 6.88%, due 9/9/2021 - 8/15/2051, with a value of $4,590,007.		4,500,000		4,500,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/13/2021, repurchase price $300,007, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $305,782.		300,000		300,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/14/2021, repurchase price $700,016, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $713,492.		700,000		700,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/17/2021, repurchase price $500,014, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $509,637.		500,000		500,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 10/15/2021, repurchase price $500,038, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $509,637.		500,000		500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — continued

RBC Capital Markets LLC, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,200,003, collateralized by FFCB, 1.20%, due 3/1/2029, FHLB, 1.65%, due 7/30/2035, FHLMC, 0.28% - 8.50%, due 11/15/2021 - 1/25/2046, FNMA, 1.92% - 8.50%, due 9/25/2021 - 1/25/2051, GNMA, 0.62% - 7.50%, due 8/20/2022 - 8/20/2065 and U.S. Treasury Securities, 0.00% - 7.63%, due 9/15/2021 - 8/15/2051, with a value of $2,263,017.		2,200,000		2,200,000

Royal Bank of Canada, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,450,003, collateralized by FHLMC, 2.00% - 6.50%, due 12/15/2023 - 6/25/2051 and U.S. Treasury Securities, 0.13% - 4.63%, due 1/15/2022 - 5/15/2048, with a value of $2,499,013.		2,450,000		2,450,000

Royal Bank of Canada, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $800,009, collateralized by FNMA, 5.00%, due 10/25/2041, GNMA, 1.00%, due 7/20/2051 and U.S. Treasury Securities, 0.13% - 6.00%, due 10/15/2022 - 11/15/2044, with a value of $816,157.		800,000		800,000

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $500,001, collateralized by FHLMC, 2.00% - 4.50%, due 1/1/2042 - 7/1/2051, FNMA, 0.78% - 4.00%, due 5/25/2023 - 8/1/2051, GNMA, 0.23% - 4.50%, due 12/16/2027 - 6/20/2051 and U.S. Treasury Securities, 0.00% - 3.63%, due 9/9/2021 - 8/15/2049, with a value of $510,076.		500,000		500,000

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/13/2021, repurchase price $500,009, collateralized by U.S. Treasury Securities, 0.00% - 4.38%, due 9/9/2021 - 11/15/2050, with a value of $510,000.		500,000		500,000

Sumitomo Mitsui Banking Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $400,001, collateralized by U.S. Treasury Securities, 0.75% - 3.00%, due 12/31/2024 - 11/15/2045, with a value of $408,001.		400,000		400,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Sumitomo Mitsui Banking Corp., 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,005, collateralized by GNMA, 2.00% - 5.00%, due 7/20/2040 - 5/20/2051, with a value of $3,060,005.		3,000,000		3,000,000


Total Repurchase Agreements (Cost $123,848,340)				123,848,340


U.S. Government Agency Securities - 10.8%

Federal Farm Credit System

DN, 0.01%, 9/1/2021 (e)		3,961		3,961

(Federal Reserve Bank Prime Loan Rate US - 3.19%), 0.06%, 9/1/2021 (f)		250,000		250,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		485,000		485,000

(SOFR + 0.08%), 0.13%, 9/1/2021 (f)		200,000		200,000

(US Treasury 3 Month Bill Money Market Yield + 0.09%), 0.14%, 9/1/2021 (f)		200,000		199,989

(SOFR + 0.09%), 0.14%, 9/1/2021 (f)		275,000		275,000

(US Federal Funds Effective Rate (continuous series) + 0.06%), 0.14%, 9/1/2021 (f)		475,000		475,000

(Federal Reserve Bank Prime Loan Rate US - 3.08%), 0.17%, 9/1/2021 (f)		250,000		250,000

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)		1,500,000		1,500,000

DN, 0.07%, 9/8/2021 (e)		35,000		34,999

DN, 0.13%, 9/9/2021 (e)		25,000		24,999

DN, 0.13%, 9/14/2021 (e)		199,000		198,991

DN, 0.13%, 9/28/2021 (e)		35,000		34,997

DN, 0.12%, 10/13/2021 (e)		30,000		29,996

DN, 0.13%, 10/21/2021 (e)		75,000		74,986

DN, 0.08%, 12/23/2021 (e)		154,000		153,961

DN, 0.09%, 1/27/2022 (e)		20,000		19,993

DN, 0.07%, 3/21/2022 (e)		35,000		34,986

FHLB

DN, 4.00%, 9/1/2021 (e)		5,000		5,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		1,500,000		1,500,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		60,000		60,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		490,000		490,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		480,000		480,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		1,499,200		1,499,200

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)		2,614,250		2,614,250

0.13%, 9/1/2021		34,850		34,850

(SOFR + 0.08%), 0.13%, 9/1/2021 (f)		1,135,000		1,135,000

(SOFR + 0.20%), 0.25%, 9/1/2021 (f)		250,000		250,000

0.13%, 9/10/2021		141,370		141,369

DN, 0.05%, 9/17/2021 (e)		1,751,000		1,750,963

0.14%, 9/28/2021		300,000		299,997

0.04%, 9/29/2021		100,000		99,999


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)

U.S. Government Agency Securities — continued

0.04%, 9/29/2021		37,500		37,500

0.13%, 10/13/2021		100,000		99,998

0.06%, 10/15/2021		475,000		474,996

0.11%, 12/2/2021		500,000		499,989

FNMA (SOFR + 0.17%), 0.22%, 9/1/2021 (f)		249,750		249,750

(SOFR + 0.20%), 0.25%, 9/1/2021 (f)		1,950,000		1,950,000

(SOFR + 0.23%), 0.28%, 9/1/2021 (f)		840,000		840,000

(SOFR + 0.24%), 0.29%, 9/1/2021 (f)		1,000,000		1,000,000

(SOFR + 0.32%), 0.37%, 9/1/2021 (f)		2,450,000		2,450,000

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)		2,500,000		2,500,000

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)		750,000		750,000

FNMA ACES (SOFR + 0.20%), 0.25%, 9/1/2021 (f)		1,200,000		1,200,000


Total U.S. Government Agency Securities (Cost $26,659,719)				26,659,719


U.S. Treasury Obligations — 8.5%

U.S. Treasury Floating Rate Notes (US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (f)		250,000		249,989

U.S. Treasury Notes

1.25%, 10/31/2021		50,000		50,098

2.88%, 11/15/2021		1,000,000		1,005,762

1.38%, 1/31/2022		130,000		130,694

1.50%, 1/31/2022		1,083,000		1,089,342

1.88%, 1/31/2022		1,006,000		1,013,461

1.13%, 2/28/2022		2,137,000		2,147,869

1.75%, 2/28/2022		1,573,000		1,585,874

1.88%, 2/28/2022		500,000		504,394

2.38%, 3/15/2022		100,000		101,214

0.38%, 3/31/2022		100,000		100,157

1.75%, 3/31/2022		825,000		832,979

1.88%, 3/31/2022		1,329,250		1,342,870

2.25%, 4/15/2022		430,000		435,813

0.13%, 4/30/2022		1,903,210		1,903,858

1.75%, 4/30/2022		650,450		657,618

1.88%, 4/30/2022		2,625,000		2,656,337

1.75%, 5/15/2022		1,517,000		1,534,863

2.13%, 5/15/2022		1,500,000		1,521,605

0.13%, 5/31/2022		700,000		700,282

1.88%, 5/31/2022		735,000		744,877

1.75%, 6/15/2022		250,000		253,294

0.13%, 6/30/2022		300,000		300,084

2.13%, 6/30/2022		200,000		203,364


Total U.S. Treasury Obligations (Cost $21,066,698)				21,066,698


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — 30.3%

U.S. Treasury Obligations — 30.3%

U.S. Treasury Bills

1.50%, 9/2/2021 (e)		2,550,000		2,549,997

4.30%, 9/7/2021 (e)		7,750,000		7,749,968

4.00%, 9/9/2021 (e)		1,196,400		1,196,383

0.04%, 9/23/2021 (e)		5,100,000		5,099,861

0.05%, 9/30/2021 (e)		5,000,000		4,999,797

0.05%, 10/5/2021 (e)		1,000,000		999,953

0.05%, 10/28/2021 (e)		5,148,000		5,147,593

0.05%, 11/2/2021 (e)		5,500,000		5,499,526

0.05%, 11/4/2021 (e)		77,000		76,993

0.05%, 11/12/2021 (e)		1,500,000		1,499,850

0.05%, 11/16/2021 (e)		8,250,000		8,249,129

0.05%, 11/23/2021 (e)		2,800,000		2,799,677

3.90%, 11/26/2021 (e)		4,733,500		4,732,881

0.05%, 11/30/2021 (e)		500,000		499,938

0.60%, 12/2/2021 (e)		3,574,800		3,574,393

0.05%, 12/14/2021 (e)		4,377,400		4,376,824

0.05%, 12/21/2021 (e)		5,404,680		5,403,928

0.05%, 1/27/2022 (e)		4,250,000		4,249,126

0.05%, 2/3/2022 (e)		1,000,000		999,778

0.07%, 2/24/2022 (e)		3,498,500		3,497,251

5.30%, 3/3/2022 (e)		300,000		299,920

0.07%, 3/24/2022 (e)		1,350,000		1,349,465


Total U.S. Treasury Obligations (Cost $74,852,231)				74,852,231


Total Short-Term Investments (Cost $74,852,231)				74,852,231

Total Investments — 99.8% (Cost $246,426,988) *				246,426,988
Other Assets Less Liabilities — 0.2%				505,469

NET ASSETS — 100.0%				246,932,457

Percentages indicated are based on net assets.

Abbreviations


ACES		Alternative Credit Enhancement Securities
DN		Discount Notes
FHLB		Federal Home Loan Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
SOFR		Secured Overnight Financing Rate

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.


(b)		Agency Joint Trading Account I — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account I with a maturity date of September 1, 2021, as follows (amounts in thousands):



Fund	Principal Amount	Repurchase Price		Collateral Value Allocation
JPMorgan U.S. Government Money Market Fund	$2,650,000	$	2,650,004	$	2,703,069

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account I were as follows (amounts in thousands):



Counterparty	Interest Rate			JPMorgan U.S. Government Money Market Fund
BNP Paribas SA		0.05	%	$	900,000
Credit Agricole Corporate and Investment Bank		0.05	%		1,000,000
TD Securities (USA) LLC		0.05	%		750,000

Total				$	2,650,000

At August 31, 2021, the Agency Joint Trading Account I was fully collateralized by:



Issuer	Interest Rates		Maturity Dates
FFCB		3.08%		6/21/2035
FHLMC		0.00% - 4.00%		7/15/2032 - 2/1/2046
FNMA		1.50% - 4.50%		6/1/2036 - 5/1/2051
GNMA		1.50% - 6.00%		2/20/2030 - 6/20/2051
U.S. Treasury Securities		0.00% - 7.63%		9/7/2021 - 11/15/2048

(c) Agency Joint Trading Account II — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2021, as follows (amounts in thousands):



Fund	Principal Amount	Repurchase Price		Collateral Value Allocation
JPMorgan U.S. Government Money Market Fund	$652,331	$	652,332	$	665,401

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):



Counterparty	Interest Rate			JPMorgan U.S. Government Money Market Fund
Bofa Securities, Inc.		0.05	%	$	480,188
Citibank NA		0.06	%		81,541
Citigroup Global Markets Holdings, Inc.		0.06	%		90,602

Total				$	652,331

At August 31, 2021, 2021, the Agency Joint Trading Account II was fully collateralized by:



Issuer	Interest Rates		Maturity Dates
FHLMC		2.50% - 5.50%		2/1/2026 - 1/1/2050
FNMA		2.00% - 6.10%		11/1/2022 - 9/1/2051
GNMA		2.35% - 3.00%		11/15/2042 - 3/15/2048
U.S. Treasury Securities		0.00% - 3.13%		2/15/2027 - 5/15/2051

(d) Agency Joint Trading Account III - At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account III with a maturity date of September 1, 2021, as follows (amounts in thousands):



Fund	Principal Amount	Repurchase Price		Collateral Value Allocation
JPMorgan U.S. Government Money Market Fund	$86,009	$	86,009	$	87,747

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account III were as follows (amounts in thousands):



Counterparty	Interest Rate			JPMorgan U.S. Government Money Market Fund
BNP Paribas SA		0.05	%	$	86,009

At August 31, 2021, 2021, the Agency Joint Trading Account III was fully collateralized by:


(e)		The rate shown is the effective yield as of August 31, 2021.
(f)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Repurchase Agreements — 49.7%

Bofa Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $922,286, collateralized by U.S. Treasury Securities, 1.38% - 3.63%, due 8/15/2041 - 5/15/2051, with a value of $940,731.		922,285		922,285

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $5,200,007, collateralized by U.S. Treasury Securities, 0.13% - 2.50%, due 4/30/2023 - 5/15/2046, with a value of $5,200,007.		5,200,000		5,200,000

J.P. Morgan Securities LLC, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.13% - 6.25%, due 8/15/2023, with a value of $255,000.		250,000		250,000

Natwest Markets Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.75% - 1.63%, due 8/31/2026 - 5/15/2031, with a value of $255,000.		250,000		250,000

Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $800,001, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/5/2021 - 2/15/2051, with a value of $816,001.		800,000		800,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/10/2021, repurchase price $250,004, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $253,596.		250,000		250,000

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/13/2021, repurchase price $200,004, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $202,877.		200,000		200,000

Norinchukin Bank (The), 0.07%, dated 8/31/2021, due 10/26/2021, repurchase price $250,027, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $253,596.		250,000		250,000

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/3/2021, repurchase price $1,500,006, collateralized by U.S. Treasury Securities, 0.00% - 6.75%, due 9/7/2021 - 8/15/2050, with a value of $1,530,000.		1,500,000		1,500,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Sumitomo Mitsui Banking Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,100,003, collateralized by U.S. Treasury Securities, 0.38% - 4.50%, due 11/30/2021 - 5/15/2038, with a value of $2,142,003.		2,100,000		2,100,000

Treasury Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $700,001(b)		700,000		700,000


Total Repurchase Agreements (Cost $12,422,285)				12,422,285

U.S. Treasury Obligations — 16.7%

U.S. Treasury Floating Rate Notes

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (c)		800,000		799,960

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (c)		350,000		350,001

(US Treasury 3 Month Bill Money Market Yield + 0.11%), 0.16%, 9/1/2021 (c)		328,000		328,189

(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.20%, 9/1/2021 (c)		500,000		500,030

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (c)		300,000		300,026

U.S. Treasury Notes

1.75%, 11/30/2021		115,442		115,924

1.88%, 11/30/2021		26,866		26,986

1.50%, 1/31/2022		100,000		100,586

1.88%, 1/31/2022		20,000		20,148

2.50%, 2/15/2022		80,000		80,880

1.13%, 2/28/2022		219,675		220,792

1.75%, 2/28/2022		177,250		178,694

1.88%, 2/28/2022		168,500		169,979

1.75%, 3/31/2022		113,000		114,076

1.88%, 3/31/2022		58,600		59,200

1.88%, 4/30/2022		500,000		505,974

2.13%, 5/15/2022		300,000		304,320


Total U.S. Treasury Obligations (Cost $4,175,765)				4,175,765

Short-Term Investments — 30.4%

U.S. Treasury Obligations — 30.4%

U.S. Treasury Bills

4.30%, 9/7/2021 (d)		3,038,400		3,038,383

0.05%, 9/30/2021 (d)		478,750		478,731

0.05%, 10/28/2021 (d)		500,000		499,960

0.05%, 11/4/2021 (d)		18,000		17,998

0.05%, 11/9/2021 (d)		250,000		249,976


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

U.S. Treasury Obligations — continued

0.07%, 11/18/2021 (d)		125,000		124,981

0.05%, 11/30/2021 (d)		500,000		499,938

0.04%, 12/9/2021 (d)		700,000		699,926

0.04%, 12/16/2021 (d)		199,000		198,977

0.05%, 1/27/2022 (d)		700,000		699,856

0.05%, 2/3/2022 (d)		500,000		499,892

0.07%, 2/24/2022 (d)		340,000		339,884

0.07%, 3/24/2022 (d)		250,000		249,901


Total U.S. Treasury Obligations (Cost $7,598,403)				7,598,403


Total Short-Term Investments (Cost $7,598,403)				7,598,403

Total Investments — 96.8% (Cost $24,196,453) *				24,196,453
Other Assets Less Liabilities — 3.2%				803,743

NET ASSETS — 100.0%				25,000,196

Percentages indicated are based on net assets.


(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Treasury Joint Trading Account I — At August 31, 2021, certain Funds had undivided interests in the Treasury Joint Trading Account I with a maturity date of September 1, 2021, as follows (amounts in thousands):



Fund	Principal Amount	Repurchase Price		Collateral Value Allocation
JPMorgan U.S. Treasury Plus Money Market Fund	$700,000	$	700,001	$	714,001

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Treasury Joint Trading Account I were as follows (amounts in thousands):



Counterparty	Interest Rate		JPMorgan U.S. Treasury Plus Money Market Fund
BNP Paribas SA		0.05%	$	600,000
Citibank NA		0.05%		100,000

Total			$	700,000

At August 31, 2021, the Treasury Joint Trading Account I was fully collateralized by:


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Government Agency Securities — 43.5%

Federal Farm Credit System (SOFR + 0.08%), 0.12%, 9/1/2021 (b)		20,000		20,000

(SOFR + 0.08%), 0.13%, 9/1/2021 (b)		12,000		12,000

(SOFR + 0.09%), 0.14%, 9/1/2021 (b)		20,000		20,000

(SOFR + 0.32%), 0.37%, 9/1/2021 (b)		25,000		25,000

DN, 0.03%, 9/2/2021 (c)		15,000		15,000

DN, 0.04%, 9/22/2021 (c)		10,000		10,000

(ICE LIBOR USD 3 Month - 0.12%), 0.01%, 10/27/2021 (b)		25,000		25,000

DN, 0.07%, 3/21/2022 (c)		25,000		24,990

FHLB

DN, 0.04%, 9/1/2021 (c)		80,000		80,000

(SOFR + 0.01%), 0.06%, 9/1/2021 (b)		50,000		50,000

(SOFR + 0.08%), 0.12%, 9/1/2021 (b)		25,000		25,000

DN, 0.03%, 9/2/2021 (c)		33,300		33,300

DN, 0.03%, 9/3/2021 (c)		225,000		225,000

DN, 0.04%, 9/8/2021 (c)		237,900		237,898

DN, 0.03%, 9/10/2021 (c)		138,220		138,219

DN, 0.03%, 9/15/2021 (c)		55,000		54,999


Total U.S. Government Agency Securities (Cost $996,406)				996,406

U.S. Treasury Obligations — 12.1%

U.S. Treasury Floating Rate Notes

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (b)		25,000		24,998

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (b)		50,000		50,020

U.S. Treasury Notes

2.50%, 1/15/2022		100,000		100,904

1.38%, 1/31/2022		25,000		25,134

1.13%, 2/28/2022		25,000		25,133

0.13%, 5/31/2022		25,000		25,010

1.75%, 6/15/2022		25,000		25,330


Total U.S. Treasury Obligations (Cost $276,529)				276,529

Short-Term Investments — 41.3%

U.S. Treasury Obligations — 41.3%

U.S. Treasury Bills

0.02%, 9/2/2021 (c)		19,000		19,000

4.30%, 9/7/2021 (c)		30,000		30,000

3.30%, 9/14/2021 (c)		100,000		99,999

3.10%, 9/16/2021 (c)		5,840		5,840

0.04%, 9/21/2021 (c)		175,000		174,996

0.05%, 9/28/2021 (c)		66,700		66,698

0.05%, 9/30/2021 (c)		50,000		49,998


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


U.S. Treasury Obligations — continued

0.05%, 10/7/2021 (c)		100,000		99,995

0.05%, 10/21/2021 (c)		50,000		49,997

0.05%, 11/2/2021 (c)		50,000		49,996

0.05%, 11/9/2021 (c)		100,000		99,990

0.05%, 11/23/2021 (c)		100,000		99,988

4.80%, 11/30/2021 (c)		100,000		99,990


Total U.S. Treasury Obligations (Cost $946,487)				946,487


Total Short-Term Investments (Cost $946,487)				946,487

Total Investments — 96.9% (Cost $2,219,422) *				2,219,422
Other Assets Less Liabilities — 3.1%				72,139

NET ASSETS — 100.0%				2,291,561

Percentages indicated are based on net assets.


Abbreviations

DN		Discount Notes
FHLB		Federal Home Loan Bank
ICE		Intercontinental Exchange
LIBOR		London Interbank Offered Rate
SOFR		Secured Overnight Financing Rate
USD		United States Dollar

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		The rate shown is the effective yield as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — 10.1%

U.S. Treasury Bonds 8.00%, 11/15/2021		34,709		35,271

U.S. Treasury Floating Rate Notes

(US Treasury 3 Month Bill Money Market Yield + 0.03%), 0.07%, 9/1/2021 (b)		100,000		99,998

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (b)		1,856,190		1,856,063

(US Treasury 3 Month Bill Money Market Yield + 0.11%), 0.16%, 9/1/2021 (b)		150,000		149,974

(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.20%, 9/1/2021 (b)		2,629,000		2,629,140

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (b)		1,813,000		1,813,446

U.S. Treasury Notes

1.50%, 9/30/2021		700,000		700,805

2.13%, 12/31/2021		270,000		271,841

1.38%, 1/31/2022		275,000		276,471

2.00%, 2/15/2022		200,000		201,745

1.13%, 2/28/2022		150,000		150,760

1.75%, 2/28/2022		698,550		704,391

2.38%, 3/15/2022		100,000		101,220

0.13%, 5/31/2022		125,000		125,050

1.75%, 5/31/2022		175,000		177,189

1.88%, 5/31/2022		200,000		202,688

1.75%, 6/15/2022		125,000		126,650


Total U.S. Treasury Obligations (Cost $9,622,702)				9,622,702

Short-Term Investments — 92.4%

U.S. Treasury Obligations — 92.4%

U.S. Treasury Bills

0.02%, 9/2/2021 (c)		2,820,000		2,819,999

0.04%, 9/7/2021 (c)		6,090,000		6,089,956

0.04%, 9/9/2021 (c)		3,657,980		3,657,948

0.03%, 9/14/2021 (c)		5,000,000		4,999,940

0.03%, 9/16/2021 (c)		2,894,000		2,893,963

0.04%, 9/21/2021 (c)		4,640,460		4,640,360

0.04%, 9/23/2021 (c)		2,850,000		2,849,926

0.04%, 9/28/2021 (c)		5,500,000		5,499,828

0.05%, 9/30/2021 (c)		2,000,000		1,999,917

0.05%, 10/5/2021 (c)		3,000,000		2,999,867

0.04%, 10/7/2021 (c)		3,500,000		3,499,844

0.04%, 10/12/2021 (c)		4,250,000		4,249,800

0.04%, 10/14/2021 (c)		4,350,000		4,349,766

0.05%, 10/15/2021 (c)		3,250,000		3,249,786

0.05%, 10/19/2021 (c)		2,800,000		2,799,807

0.05%, 10/28/2021 (c)		1,000,000		999,925

0.06%, 11/1/2021 (c)		3,000,000		2,999,708


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


U.S. Treasury Obligations — continued

0.05%, 11/2/2021 (c)		1,825,000		1,824,843

0.05%, 11/9/2021 (c)		600,000		599,945

0.05%, 11/12/2021 (c)		1,650,000		1,649,835

0.05%, 11/23/2021 (c)		860,000		859,903

0.04%, 11/26/2021 (c)		2,492,300		2,492,016

0.05%, 11/30/2021 (c)		2,475,000		2,474,702

0.01%, 12/2/2021 (c)		3,500,000		3,499,602

0.05%, 12/7/2021 (c)		208,750		208,725

4.00%, 12/9/2021 (c)		500,000		499,945

0.05%, 12/14/2021 (c)		1,000,000		999,870

0.05%, 12/21/2021 (c)		1,000,000		999,857

0.05%, 1/13/2022 (c)		2,400,000		2,399,531

0.05%, 1/20/2022 (c)		3,000,000		2,999,410

0.05%, 1/27/2022 (c)		4,123,410		4,122,562

0.05%, 2/10/2022 (c)		1,950,000		1,949,543


Total U.S. Treasury Obligations (Cost $88,180,629)				88,180,629


Total Short-Term Investments (Cost $88,180,629)				88,180,629

Total Investments — 102.5% (Cost $97,803,331) *				97,803,331
Liabilities in Excess of Other Assets — (2.5)%				(2,419,329	)

NET ASSETS — 100.0%				95,384,002

Percentages indicated are based on net assets.


(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		The rate shown is the effective yield as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 68.6%

Alabama — 0.1%

Mobile County IDA, PCR, ExxonMobil Project Rev., VRDO, 0.01%, 9/1/2021 (b)		1,325		1,325

Mobile Downtown Redevelopment Authority, Gulf Opportunity Zone, Austal USA LLC Project Series 2011A, Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/8/2021 (b) (c)		6,970		6,970


				8,295


Alaska — 0.6%

Alaska Housing Finance Corp., Governmental Purpose Series 2009-A, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)		20,425		20,425

Alaska Housing Finance Corp., Home Mortgage

Series 2007A, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)		2,920		2,920

Series 2007B, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)		2,870		2,870

Series 2009B, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		10,000		10,000

City of Valdez, Exxon Pipeline Co. Project Series 1993-A, Rev., VRDO, 0.01%, 9/1/2021 (b)		10,610		10,610


				46,825


Arizona — 0.6%

Salt River Pima-Maricopa Indian Community Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		25,825		25,825

Tender Option Bond Trust Receipts/Certificates Series E-147, VRDO, 0.05%, 9/8/2021 (b)		21,000		21,000


				46,825


Arkansas — 0.6%

City of Osceola, Plum Point Energy Associates Rev., VRDO, LOC: Goldman Sachs & Co. LLC, 0.05%, 9/8/2021 (b)		53,145		53,145


California — 2.3%

Alameda County Industrial Development Authority, Plyproperties Project Series 1997A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b)		500		500

California Municipal Finance Authority, Recovery Zone Facility, Chevron USA, Inc., Project Series 2010A, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,350		1,350

California Statewide Communities Development Authority, Dublin Ranch Apartments Rev., VRDO, LIQ: FNMA, 0.04%, 9/8/2021 (b)		29,990		29,990


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

City of Vacaville, Multi-Family Housing, Sycamores Apartments Series 1999A, Rev., VRDO, FNMA, LIQ: FNMA, 0.01%, 9/8/2021 (b)		5,900		5,900

County of Orange, Ladera Apartments Series 2001B, Rev., VRDO, LOC: FNMA, 0.04%, 9/8/2021 (b)		18,500		18,500

County of Sacramento, Special Facilities Apartment, Cessna Aircraft Co. Project Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		7,075		7,075

County of San Bernardino, Somerset Apartments LLC Series A, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		1,300		1,300

Sacramento County Housing Authority Series 1996C, Rev., VRDO, FNMA, LIQ: FNMA, 0.02%, 9/8/2021 (b)		1,140		1,140

San Francisco City & County Airport Commission International Airport Series 2010A-1, Rev., VRDO, AMT, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)		13,675		13,675

San Francisco City & County Redevelopment Agency Successor Agency, Multi-Family Series C, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		71,050		71,050

Santa Clara County Housing Authority, Multi-Family Housing, Timberwood Apartments

Series 2005B, Rev., VRDO, LOC: Union Bank of California, 0.11%, 9/8/2021 (b)		9,140		9,140

Tender Option Bond Trust Receipts/Certificates

Series 2020-XF2867, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.04%, 9/8/2021 (b) (c)		8,000		8,000

Series 2018-XF2737, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,125		5,125

Series 2018-ZF0679, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		2,350		2,350

University of California Series 2013AL-3, Rev., VRDO, 0.01%, 9/1/2021 (b)		12,825		12,825


				187,920


Colorado — 1.7%

City of Colorado Springs, Utilities System Improvement

Series 2008-A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		11,035		11,035

Series 2009C, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		17,020		17,020


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Colorado — continued

Colorado Housing and Finance Authority, Multi-Family, Greentree Village Apartments Project Rev., VRDO, LOC: U.S. Bank NA, 0.05%, 9/8/2021 (b)		4,345		4,345

Colorado Housing and Finance Authority, Single Family Mortgage Series 2019D, Class I, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		37,500		37,500

County of Arapahoe, Multi-Family Rental Housing, Hunter’s Run Rev., VRDO, LOC: FHLMC, 0.05%, 9/8/2021 (b)		13,160		13,160

Tender Option Bond Trust Receipts/Certificates

Series 2019-XF2849, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		4,000		4,000

Series 2020-XF1209, GO, VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		2,000		2,000

Series 2020-XF2905, GO, VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,200		5,200

Series 2020-XX1130, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,880		3,880

Series 2016-ZF0467, Rev., VRDO, LOC: Royal Bank of Canada, 0.09%, 9/8/2021 (b) (c)		22,895		22,895

University of Colorado Hospital Authority Series 2019A, Rev., VRDO, 0.01%, 9/8/2021 (b)		875		875

University of Colorado Hospital Authority, Health System Series 2018 C, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		12,970		12,970


				134,880


Connecticut — 0.7%

Connecticut Housing Finance Authority, Housing Mortgage Finance Program

Subseries F-5, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		10,000		10,000

Subseries A-2, Rev., VRDO, AMT, LIQ: U.S. Bank NA, 0.03%, 9/8/2021 (b)		8,705		8,705

Series D, Subseries D-3, Rev., VRDO, AMT, LIQ: Sumitomo Mitsui Banking Corp., 0.06%, 9/8/2021 (b)		31,755		31,755

Tender Option Bond Trust Receipts/Certificates Series G-3, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		5,000		5,000


				55,460


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Delaware — 0.0% (d)

Delaware State Economic Development Authority, YMCA Delaware Project Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		3,485		3,485


District of Columbia — 1.7%

District of Columbia, Medlantic/Helix Issue, Tranche II Series 1998A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		19,935		19,935

Metropolitan Washington Airports Authority Aviation

Series 2009D-2, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		2,510		2,510

Subseries A-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.05%, 9/8/2021 (b)		15,405		15,405

Subseries A-3, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.05%, 9/8/2021 (b)		3,200		3,200

RBC Municipal Products, Inc. Trust, Floater Certificates Series E-108, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		50,000		50,000

Tender Option Bond Trust Receipts/Certificates

Series 2019-XF0853, Rev., VRDO, LOC: TD Bank NA, 0.07%, 9/8/2021 (b) (c)		23,950		23,950

Series 2019-XG0267, Rev., VRDO, LOC: Bank of America NA, 0.07%, 9/8/2021 (b) (c)		20,700		20,700


				135,700


Florida — 5.1%

Alachua County Housing Finance Authority, Multi-Family, Santa Fe Apartments Project Series 2008, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		1,350		1,350

City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)		4,700		4,700

City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 0.02%, 9/8/2021 (b)		29,470		29,470

City of Jacksonville, Health Care Facilities, Baptist Medical Center Series 2019B, Rev., VRDO, 0.02%, 9/8/2021 (b)		14,805		14,805

County of Bay, Gulf Power Co. Project Rev., VRDO, AMT, 0.03%, 9/1/2021 (b)		7,480		7,480

County of Escambia, Gulf Power Co., Project

Rev., VRDO, 0.02%, 9/1/2021 (b)		31,100		31,100

Rev., VRDO, 0.02%, 9/1/2021 (b)		31,200		31,200


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Florida — continued

County of Martin, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)		54,100		54,100

County of St. Lucie, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)		51,500		51,500

Florida HomeLoan Corp. Rev., VRDO, FNMA, LIQ: FNMA, 0.03%, 9/8/2021 (b)		8,500		8,500

Florida Housing Finance Corp., Kings Terrace LLC Series 2013B, Rev., VRDO, LIQ: FHLMC, 0.02%, 9/8/2021 (b)		12,000		12,000

Highlands County Health Facilities Authority, Adventist Health System

Series 2007A, Rev., VRDO, 0.02%, 9/8/2021 (b)		7,450		7,450

Series 2012I-2, Rev., VRDO, 0.02%, 9/8/2021 (b)		41,950		41,950

Series I-1, Rev., VRDO, 0.02%, 9/8/2021 (b)		3,600		3,600

Hillsborough County Industrial Development Authority, Baycare Health System

Series 2020B, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		2,700		2,700

Series 2020C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		25,100		25,100

Hillsborough County, Housing Finance Authority, Multi-Family Housing, Brandywine Apartments Rev., VRDO, LOC: Citibank NA, 0.06%, 9/8/2021 (b)		5,725		5,725

Orange County Health Facilities Authority, Orlando Health, Inc. Series E, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		34,225		34,225

Palm Beach County Multi-Family Housing Finance Authority, Renaissance Apartments Series A, Rev., VRDO, AMT, LOC: FNMA, 0.05%, 9/8/2021 (b)		8,090		8,090

Pinellas County Housing Finance Authority, Booker Creek Apartments Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		4,070		4,070

Sunshine State Governmental Financing Commission Series 2010A, Rev., VRDO, LOC: MUFG Union Bank NA, 0.02%, 9/8/2021 (b)		1,775		1,775

Tender Option Bond Trust Receipts/Certificates

Series 2019-XX1109, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		4,375		4,375

Series 2020-XG0295, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		6,000		6,000

Series 2021-XM0941, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		2,000		2,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

Series 2021-XM0942, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		3,475		3,475

Series 2019-XG0252, Rev., VRDO, AMBAC, LOC: Bank of America NA, 0.07%, 9/8/2021 (b) (c)		9,600		9,600


				406,340


Georgia — 0.6%

Development Authority of Monroe County (The), Gulf Power Co. Plant Scherer Project Rev., VRDO, 0.02%, 9/1/2021 (b)		2,400		2,400

Development Authority of Monroe County (The), Power and Light Co. Project Rev., VRDO, AMT, 0.03%, 9/1/2021 (b)		25,630		25,630

Griffin-Spaulding County Development Authority, Industrial Development, Norcom, Inc. Project Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b)		1,170		1,170

Tender Option Bond Trust Receipts/Certificates

Series 2018-ZF2614, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		6,500		6,500

Series 2017-ZF0589, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		3,750		3,750

Series 2018-ZF0656, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		7,500		7,500


				46,950


Hawaii — 0.1%

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-13, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		6,000		6,000


Illinois — 2.8%

Chicago Midway International Airport, Second Lien Series 2004C-1, Rev., VRDO, AMT, LOC: Bank of Montreal, 0.06%, 9/8/2021 (b)		44,415		44,415

City of Galesburg, Knox College Project Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		4,300		4,300

County of Kane, Glenwood School for Boys Rev., VRDO, LOC: Northern Trust Co., 0.02%, 9/8/2021 (b)		3,450		3,450

County of Lake, A L Hansen Manufacturing Co. Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.06%, 9/8/2021 (b)		620		620

County of Lake, Multi-Family Housing, Whispering Oaks Apartments Project Rev., VRDO, LIQ: FHLMC, 0.03%, 9/8/2021 (b)		21,500		21,500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Illinois — continued

Illinois Development Finance Authority, Fenwick High School Project Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		9,225		9,225

Illinois Development Finance Authority, St. Ignatius College Prep Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		4,100		4,100

Illinois Finance Authority, American Youth Hostels Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)		2,920		2,920

Illinois Finance Authority, Bradley University Series 2008B, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		12,790		12,790

Illinois Finance Authority, Hospital Sisters Services, Inc., Obligated Group Series 2012G, Rev., VRDO, LOC: Bank of Montreal, 0.02%, 9/8/2021 (b)		20,945		20,945

Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021B, Rev., VRDO, LIQ: Royal Bank of Canada, 0.01%, 9/1/2021 (b)		15,000		15,000

Illinois Finance Authority, The University of Chicago Rev., VRDO, 0.02%, 9/8/2021 (b)		15,950		15,950

Illinois Finance Authority, The University of Chicago Medical Center

Series 2009E-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		18,000		18,000

Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 (b)		38,820		38,820

Illinois Housing Development Authority, Homeowner Mortgage Series C-3, Rev., VRDO, AMT, LIQ: FHLB, 0.04%, 9/8/2021 (b)		4,700		4,700

Southwestern Illinois Development Authority, Molinero Inc., Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)		4,495		4,495

Tender Option Bond Trust Receipts/Certificates Series 2020-XL0145, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,420		3,420


				224,650


Indiana — 0.3%

Gary Chicago International Airport Authority, Special Purpose Facilities, Jet Center Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.06%, 9/8/2021 (b)		2,600		2,600

Indiana Finance Authority, Duke Energy Indiana, Inc. Project Series 2009A-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/1/2021 (b)		950		950


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Indiana — continued

Indiana Finance Authority, Lease Appropriation, Stadium Project Series 2005A-5, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)		18,925		18,925

Indiana Finance Authority, Parkview Health System, Inc. Series 2009-C, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		1,875		1,875


				24,350


Iowa — 2.3%

County of Louisa, Pollution Control, Midwest Power System, Inc. Rev., VRDO, 0.04%, 9/8/2021 (b)		27,400		27,400

Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project

Rev., VRDO, 0.04%, 9/8/2021 (b)		71,525		71,525

Rev., VRDO, 0.05%, 9/8/2021 (b)		20,145		20,145

Iowa Finance Authority, Multi-Family Housing

Series A, Rev., VRDO, AMT, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b)		10,855		10,855

Series B, Rev., VRDO, AMT, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b)		7,875		7,875

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program

Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		4,100		4,100

Series 2018B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		5,385		5,385

Series 2019E, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		7,660		7,660

Series 2020B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		15,500		15,500

Iowa Finance Authority, Unitypoint Health Series 2013B-2, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		10,340		10,340


				180,785


Kansas — 0.7%

City of Wichita Series 304, GO, 4.50%, 10/15/2021		40,000		40,209

Kansas Development Finance Authority, Health System Series 2011J, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		2,940		2,940


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Kansas — continued

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-23, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		12,500		12,500


				55,649


Louisiana — 0.3%

East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone

Series 2010B, Rev., VRDO, 0.01%, 9/1/2021 (b)		8,100		8,100

Series A, Rev., VRDO, 0.01%, 9/1/2021 (b)		3,635		3,635

Louisiana Public Facilities Authority, Multi-Family, Linlake Ventures Project Rev., VRDO, LIQ: FHLMC, 0.01%, 9/8/2021 (b)		1,400		1,400

Parish of St. Charles, Pollution Control, Shell Oil Co., Norco Project Series B, Rev., VRDO, 0.01%, 9/1/2021 (b)		8,900		8,900

Tender Option Bond Trust Receipts/Certificates Series 2019-XM0738, Rev., VRDO, 0.06%, 9/8/2021 (b)		3,245		3,245


				25,280


Maine — 1.0%

City of South Portland, Middle School Project GO, BAN, 0.75%, 4/15/2022		15,000		15,056

Maine State Housing Authority, Mortgage Purchase

Series 2017D-2, Rev., VRDO, AMT, LIQ: TD Bank NA, 0.04%, 9/8/2021 (b)		46,750		46,750

Series 2015E-3, Rev., VRDO, AMT, LIQ: Citibank NA, 0.05%, 9/8/2021 (b)		10,000		10,000

Series G, Rev., VRDO, AMT, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b)		10,055		10,055


				81,861


Maryland — 1.0%

County of Montgomery, Trinity Health Credit Group Series 2013MD, Rev., VRDO, 0.08%, 9/8/2021 (b)		24,500		24,500

Maryland Community Development Administration, Housing and Community Development Series 2006G, Rev., VRDO, AMT, LIQ: State Street Bank & Trust, 0.05%, 9/8/2021 (b)		15,355		15,355

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2581, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		6,485		6,485


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Maryland — continued

Series 2018-ZM0618, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		3,350		3,350

Series 2019-ZF2799, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		13,485		13,485

Series 2018-XG0177, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		3,750		3,750

Series 2018-XF0605, Rev., VRDO, LIQ: Bank of America NA, 0.07%, 9/8/2021 (b) (c)		3,300		3,300

Series 2018-ZM0596, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.07%, 9/8/2021 (b) (c)		7,500		7,500


				77,725


Massachusetts — 1.6%

Dennis and Yarmouth Regional School District, Unlimited Tax GO, BAN, 2.00%, 10/6/2021		11,563		11,583

Massachusetts Development Finance Agency, Boston College Issue Series 2020U, Rev., 5.00%, 7/1/2022		100		104

Massachusetts Development Finance Agency, First Mortgage Brookhaven Series 2005B, Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		1,400		1,400

Massachusetts Development Finance Agency, Partners Healthcare System Issue Series K-1, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		21,895		21,895

Massachusetts Health and Educational Facilities Authority, Capital Asset Program

Series M-2, Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		1,145		1,145

Series M-4A, Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		950		950

Massachusetts Housing Finance Agency, Single Family Housing Series 208, Rev., VRDO, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		3,400		3,400

RBC Municipal Products, Inc. Trust, Floater Certificates Series E-148, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		10,000		10,000

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2692, Rev., VRDO, 0.03%, 9/8/2021 (b)		4,190		4,190

Series 2020-XM0915, GO, VRDO, LIQ: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b) (c)		6,750		6,750

Town of Holbrook GO, BAN, 1.50%, 3/17/2022		8,343		8,403


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Massachusetts — continued

Town of Seekonk GO, BAN, 1.25%, 9/10/2021		9,708		9,710

Town of Swampscott GO, BAN, 1.25%, 3/11/2022		6,455		6,491

Town of Westborough GO, BAN, 2.00%, 3/29/2022		38,367		38,766


				124,787


Michigan — 2.6%

Michigan State Housing Development Authority

Series C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		5,110		5,110

Series A, Rev., VRDO, AMT, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		20,340		20,340

Michigan State Housing Development Authority, Rental Housing

Series 2016C, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		53,525		53,525

Series 2016D, Rev., VRDO, AMT, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		18,630		18,630

Series 2018C, Rev., VRDO, AMT, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		20,335		20,335

Michigan State Housing Development Authority, Single Family Mortgage Series 2007E, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		24,380		24,380

Rib Floater Trust Various States Series 2018-009, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		40,950		40,950

Tender Option Bond Trust Receipts/Certificates

Series 2017-XF0597, Rev., VRDO, 0.05%, 9/8/2021 (b)		3,000		3,000

Series 2017-XG0158, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		4,075		4,075

Series 2018-XG0186, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		21,540		21,540


				211,885


Minnesota — 0.9%

City of Rochester, Bella Grove Apartments Project Series 2019B, Rev., VRDO, LOC: United Fidelity Bank, 0.02%, 9/8/2021 (b)		1,000		1,000

Minnesota Housing Finance Agency, Residential Housing Finance

Series 2015G, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		945		945

Series 2017F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		31,100		31,100


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Minnesota — continued

Series 2016F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC COLL, LIQ: FHLB, 0.04%, 9/8/2021 (b)		35,075		35,075

Series 2017-C, Rev., VRDO, AMT, GNMA/FNMA/FHLMC COLL, LIQ: FHLB, 0.04%, 9/8/2021 (b)		4,800		4,800


				72,920

Mississippi — 0.8%

County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 0.01%, 9/1/2021 (b)		1,950		1,950

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron Corp. Series 2007A, Rev., VRDO, 0.01%, 9/1/2021 (b)		22,200		22,200

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project

Series 2007B, Rev., VRDO, 0.01%, 9/1/2021 (b)		3,915		3,915

Series 2007C, Rev., VRDO, 0.01%, 9/1/2021 (b)		15,865		15,865

Series 2007E, Rev., VRDO, 0.01%, 9/1/2021 (b)		470		470

Series 2009A, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,235		2,235

Series 2009B, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,640		1,640

Series 2009C, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,070		1,070

Series 2010G, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,050		1,050

Series 2010K, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,305		2,305

Series 2011A, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,695		1,695

Series 2011D, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,350		1,350

Series B, Rev., VRDO, 0.01%, 9/1/2021 (b)		400		400

Series 2010A, Rev., VRDO, 0.02%, 9/8/2021 (b)		10,000		10,000


				66,145


Missouri — 1.3%

Health & Educational Facilities Authority of the State of Missouri, Ranken Technical College Series 2011-B, Rev., VRDO, LOC: Northern Trust Co., 0.01%, 9/1/2021 (b)		500		500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Missouri — continued

Health and Educational Facilities Authority of the State of Missouri, BJC Health System

Series 2008A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		15,695		15,695

Series C, Rev., VRDO, LIQ: BJC Health System, 0.02%, 9/8/2021 (b)		5,125		5,125

Industrial Development Authority of the City of St. Louis Missouri (The), Parkview Health System Obligated Group Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		1,550		1,550

Industrial Development Authority of the City of St. Louis Missouri , Mid-America Transplant Services Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/1/2021 (b)		1,000		1,000

Missouri Development Finance Board, Cultural Facilities, Kauffman Center For The Performing Arts Project Series 2007A, Rev., VRDO, LIQ: PNC Bank NA, 0.01%, 9/1/2021 (b)		10,725		10,725

RBC Municipal Products, Inc. Trust, Floater Certificates Series C17, Rev., VRDO, LOC: Royal Bank of Canada, 0.07%, 9/8/2021 (b)		14,000		14,000

Tender Option Bond Trust Receipts/Certificates

Series 2021-XF1214, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		2,000		2,000

Series 2020-XG0300, Rev., VRDO, LOC: Bank of America NA, 0.06%, 9/8/2021 (b) (c)		7,500		7,500

Series 2020-XG0303, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		12,605		12,605

Series 2018-XG0184, Rev., VRDO, LOC: Citibank NA, 0.07%, 9/8/2021 (b)		5,000		5,000

Series XF0536, Rev., VRDO, LOC: Royal Bank of Canada, 0.08%, 9/8/2021 (b)		25,050		25,050


				100,750


Nebraska — 0.2%

Tender Option Bond Trust Receipts/Certificates

Series 2021-XL0174, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)		8,000		8,000

Series 2018-XF2558, Rev., VRDO, 0.07%, 9/8/2021 (b)		8,000		8,000


				16,000


Nevada — 0.7%

County of Clark, Limited Tax Series 2008A, GO, VRDO, AMT, LIQ: State Street Bank & Trust, 0.04%, 9/8/2021 (b)		10,000		10,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Nevada — continued

County of Clark, Southwest Gas Corp. Project Series 2008A, Rev., VRDO, AMT, LOC: MUFG Union Bank NA, 0.04%, 9/8/2021 (b)		30,000		30,000

Nevada Housing Division, Multi-Unit Housing Series A, Rev., VRDO, LOC: FNMA, 0.04%, 9/8/2021 (b)		7,050		7,050

Tender Option Bond Trust Receipts/Certificates

Series 2019-G98, GO, VRDO, 0.05%, 9/8/2021 (b)		4,750		4,750

Series 2026-XM0866, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b)		5,000		5,000


				56,800


New Jersey — 4.2%

Borough of Beachwood, General Improvement Water Utility Series 2021A, GO, BAN, 1.00%, 3/3/2022		15,326		15,390

City of Clifton, Sewer Utility GO, BAN, 1.25%, 9/29/2021		38,334		38,362

City of Englewood GO, BAN, 1.00%, 3/23/2022		8,908		8,949

City of Vineland GO, BAN, 1.25%, 11/10/2021		16,400		16,430

City of Wildwood, Water and Sewer Utility GO, BAN, 2.00%, 10/15/2021		23,233		23,280

New Jersey Housing & Mortgage Finance Agency Series 5, Rev., VRDO, AMT, LOC: Citibank NA, 0.04%, 9/8/2021 (b)		23,900		23,900

Rib Floater Trust Various States Series 2018-020, Rev., VRDO, LIQ: Barclays Bank plc, 0.07%, 9/8/2021 (b) (c)		38,615		38,615

Tender Option Bond Trust Receipts/Certificates

Series 2018-XX1093, Rev., VRDO, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		9,300		9,300

Series 2021-XM0943, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Township of Maple Shade, General Capital, Water and Sewer System GO, BAN, 1.25%, 9/1/2021		12,000		12,000

Township of Maplewood GO, BAN, 1.00%, 7/29/2022		8,900		8,970

Township of Union GO, BAN, 2.00%, 1/27/2022		25,123		25,311

Township of Woodbridge GO, BAN, 1.00%, 3/18/2022		83,605		83,981

Township of Woodbridge, General Sewer Utility GO, BAN, 2.00%, 10/15/2021		24,360		24,410


				333,898


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Mexico — 0.0% (d)

New Mexico Mortgage Finance Authority Series 2008-B, Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		2,675		2,675


New York — 15.4%

Battery Park City Authority Series 2019D-1, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		25,000		25,000

City of New York, Fiscal Year 2006

Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		33,715		33,715

Series I, Subseries I-8, GO, VRDO, LIQ: State Street Bank & Trust, 0.01%, 9/1/2021 (b)		10,060		10,060

City of New York, Fiscal Year 2012 Series D, Subseries D-3A, GO, VRDO, LIQ: Bank of New York Mellon Corp. (The), 0.01%, 9/1/2021 (b)		2,725		2,725

City of New York, Fiscal Year 2013 Subseries A-3, GO, VRDO, LOC: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		12,980		12,980

City of New York, Fiscal Year 2014 Series D, Subseries D-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		250		250

City of New York, Fiscal Year 2017 Subseries 2017A-7, GO, VRDO, LOC: Bank of the West, 0.02%, 9/1/2021 (b)		3,325		3,325

City of New York, Fiscal Year 2018

Series B, Subseries B-4, GO, VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		10,000		10,000

Series B, Subseries B-5, GO, VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		9,770		9,770

County of Ulster GO, BAN, 1.25%, 11/18/2021		19,290		19,330

Gorham-Middlesex Central School District GO, BAN, 1.00%, 6/23/2022		29,796		29,995

Horseheads Central School District GO, BAN, 1.00%, 6/23/2022		82,328		82,892

Johnson City Central School District Series 2021A, GO, BAN, 1.00%, 6/28/2022		22,000		22,150

Metropolitan Transportation Authority Series 2005 E-1, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/8/2021 (b)		35,000		35,000

Metropolitan Transportation Authority, Dedicated Tax Fund

Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		22,555		22,555

Series 2008B-3C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		6,530		6,530


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development Series A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		3,830		3,830

New York City Housing Development Corp., West 26th Street Development Series 2011A, Rev., VRDO, AMT, LIQ: FHLMC, 0.04%, 9/8/2021 (b)		16,700		16,700

New York City Industrial Development Agency, Empowerment Zone, Tiago Holdings LLC Project Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		23,380		23,380

New York City Transitional Finance Authority, Future Tax Secured Subseries D-4, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.03%, 9/8/2021 (b)		2,625		2,625

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Subseries A-4, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		855		855

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2011

Subseries 2011A-4, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		20,160		20,160

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 Subseries D-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		9,700		9,700

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015

Subseries A-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		1,970		1,970

Subseries A-4, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		3,350		3,350

New York City Water and Sewer System, Fiscal Year 2003 Subseries F-1-A, Rev., VRDO, LIQ: Barclays Bank plc, 0.02%, 9/8/2021 (b)		14,595		14,595

New York City Water and Sewer System, Fiscal Year 2012

Subseries A-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		1,965		1,965

Subseries A-2, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		1,300		1,300

New York City Water and Sewer System, Second General Resolution Series BB-1B, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/1/2021 (b)		16,500		16,500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2001 Subseries F-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		17,230		17,230

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2008 Series 2008BB-2, Rev., VRDO, LIQ: Bank of America NA, 0.01%, 9/1/2021 (b)		9,000		9,000

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2009 Series 2009BB-1, Rev., VRDO, LIQ: UBS AG, 0.01%, 9/1/2021 (b)		15,990		15,990

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2010 Series 2010CC, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/8/2021 (b)		20,350		20,350

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		7,035		7,035

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2014

Series AA, Subseries AA1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		950		950

Series AA, Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		20,245		20,245

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2016 Series AA-2, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)		4,555		4,555

New York State Dormitory Authority, City University System, CONS Fifth General Resolution Series 2008D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		25,305		25,305

New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project

Subseries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.02%, 9/8/2021 (b)		920		920

Series 2010A-3, Rev., VRDO, LOC: The Bank of Nova Scotia, 0.03%, 9/8/2021 (b)		50,000		50,000

Series A, Subseries A-4, Rev., VRDO, LOC: The Bank of Nova Scotia, 0.03%, 9/8/2021 (b)		15,000		15,000

Subseries C-2, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.03%, 9/8/2021 (b)		2,910		2,910

New York State Housing Finance Agency

Series 2009A, Rev., VRDO, LOC: FNMA, 0.01%, 9/8/2021 (b)		19,830		19,830


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Series 2008-A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b)		14,000		14,000

New York State Housing Finance Agency, 330 Riverdale Avenue Apartments Series 2008A, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)		10,750		10,750

New York State Housing Finance Agency, 360 West 43rd Street Housing Series A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		2,400		2,400

New York State Housing Finance Agency, 42nd and 10th Associates LLC Series 2007A, Rev., VRDO, AMT, LIQ: FHLMC, 0.03%, 9/8/2021 (b)		58,460		58,460

New York State Housing Finance Agency, Saxony Housing Series A, Rev., VRDO, AMT, LOC: FNMA, 0.06%, 9/8/2021 (b)		32,900		32,900

New York State Housing Finance Agency, Tribeca Pointe LLC Series A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		1,500		1,500

New York State Housing Finance Agency, West 23rd Street Housing Series 2002A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		47,600		47,600

New York State Housing Finance Agency, Weyant Green Apartments Series 2007A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		100		100

New York State Housing Finance Agency, Worth Street Series A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		3,400		3,400

New York State Housing Finance Agency, Worth Street, 23rd Chelsea Assocs LLC Series A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		2,100		2,100

New York Wire Co. Series E-146, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		41,225		41,225

Phoenix Central School District GO, BAN, 1.00%, 6/30/2022		26,215		26,392

RBC Municipal Products, Inc. Trust, Floater Certificates (Canada)

Series E-24, Rev., VRDO, LOC: Royal Bank of Canada, 0.03%, 9/1/2021 (b) (c)		17,605		17,605

Series E-137, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		10,000		10,000

Series E-86, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		19,165		19,165

Series E-87, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		14,600		14,600

Series E-88, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		25,835		25,835


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Series E-99, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		27,000		27,000

Rome City School District GO, BAN, 1.50%, 7/27/2022		14,065		14,237

Schalmont Central School District Series 2020A, GO, BAN, 1.00%, 9/2/2021		17,458		17,458

South Lewis Central School District GO, BAN, 1.00%, 7/29/2022		36,490		36,778

Tender Option Bond Trust Receipts/Certificates

Series E-118, GO, VRDO, 0.03%, 9/1/2021 (b)		4,900		4,900

Series 2018-E-129, Rev., VRDO, 0.05%, 9/8/2021 (b)		35,000		35,000

Series 2020-YX1158, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		6,740		6,740

Series 2021-XF2932, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		8,950		8,950

Series 2021-XL0165, GO, VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		4,445		4,445

Series 2021-XM0933, GO, VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		6,000		6,000

Series 2021-XM0937, GO, VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		2,905		2,905

Series 2016-ZF0381, Rev., VRDO, LIQ: TD Bank NA, 0.06%, 9/8/2021 (b) (c)		4,370		4,370

Series 2018-XF0685, Rev., VRDO, LIQ: TD Bank NA, 0.06%, 9/8/2021 (b) (c)		20,000		20,000

Series 2020-XF2878, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		16,730		16,730

Series 2020-XF2903, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		13,600		13,600

Series 2018-E-126, Rev., VRDO, LOC: Royal Bank of Canada, 0.07%, 9/8/2021 (b)		35,000		35,000


				1,234,672


North Carolina — 1.5%

Charlotte-Mecklenburg Hospital Authority (The), Atrium Healthcare Series 2021E, Rev., VRDO, LOC: Royal Bank of Canada, 0.01%, 9/1/2021 (b)		23,715		23,715

City of Raleigh, Downtown Improvement Projects

Series 2004A, COP, VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		850		850


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


North Carolina — continued

Series 2005-B-2, COP, VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)		31,335		31,335

Person County Industrial Facilities and Pollution Control Financing Authority, Recovery Zone Facility, CertainTeed Gypsum, Inc. Rev., VRDO, LOC: Credit Industriel et Commercial, 0.05%, 9/8/2021 (b)		41,375		41,375

University of North Carolina, Hospital at Chapel Hill Series 2001 A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		20,200		20,200


				117,475


Ohio — 1.1%

City of Blue Ash, Economic Development, Ursuline Academy of Cincinnati Project Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		200		200

County of Hamilton, Hospital Facilities, The Elizabeth Gamble Deaconess Home Association

Series 2002A, Rev., VRDO, LOC: Northern Trust Co., 0.02%, 9/8/2021 (b)		10,350		10,350

Series 2002B, Rev., VRDO, LOC: PNC Bank NA, 0.05%, 9/8/2021 (b)		7,500		7,500

State of Ohio, University Hospitals Health System, Inc. Series 2018 B, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		5,470		5,470

Tender Option Bond Trust Receipts/Certificates

Series 2019-E132, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		42,350		42,350

Series 2019-E-134, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		11,870		11,870

Series G-30, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		3,905		3,905

Series 2020-XF2889, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,705		4,705


				86,350


Oklahoma — 0.2%

Oklahoma Development Finance Authority Series E-140, Rev., VRDO, 0.05%, 9/8/2021 (b)		12,400		12,400


Oregon — 0.3%

Port of Portland, Special Obligation, Horizon Air Industries, Inc. Rev., VRDO, LOC: Bank of America NA, 0.06%, 9/1/2021 (b)		14,775		14,775

State of Oregon, Veterans Welfare Series 2017O, GO, VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)		2,590		2,590


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Oregon — continued

Tender Option Bond Trust Receipts/Certificates Series 2018-ZM0637, Rev., VRDO, 0.05%, 9/8/2021 (b)		7,500		7,500


				24,865


Other — 1.2%

FHLMC, Multi-Family VRD Certificates

Series M019, Class A, Rev., VRDO, LIQ: FHLMC, 0.05%, 9/8/2021 (b) (c)		31,062		31,062

Series M020, Class A, Rev., VRDO, LIQ: FHLMC, 0.05%, 9/8/2021 (b) (c)		3,311		3,311

Series M021, Class A, Rev., VRDO, LIQ: FHLMC, 0.05%, 9/8/2021 (b) (c)		37,015		37,015

Series M025, Class A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b) (c)		18,530		18,530

Series M026, Class A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b) (c)		8,625		8,625


				98,543


Pennsylvania — 4.3%

County of Allegheny

Series C-50, GO, VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		24,360		24,360

Series C-51, GO, VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		12,000		12,000

Delaware Valley Regional Finance Authority, Local Government

Series 2020A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		10,000		10,000

Series 2020D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		13,275		13,275

Montgomery County Redevelopment Authority, Multi-Family Housing, Brookside Manors Apartments Project Series 2001A, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		17,710		17,710

Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project Series 2001A, Rev., VRDO, LOC: FNMA, 0.08%, 9/8/2021 (b)		17,080		17,080

Pennsylvania Economic Development Financing Authority, Exempt Facilities, PPL Energy Supply, LLC Project Series 2009C, Rev., VRDO, LOC: MUFG Union Bank NA, 0.12%, 9/8/2021 (b)		15,000		15,000

Pennsylvania Higher Educational Facilities Authority, Pennsylvania Health System Series A, Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)		1,000		1,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pennsylvania — continued

Pennsylvania Higher Educational Facilities Authority, Susquehanna University Project Series 2001 H9, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)		3,100		3,100

Pennsylvania Turnpike Commission Series 2019-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		25,050		25,050

Philadelphia Gas Works Co., 1998 General Ordinance

Series B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		18,115		18,115

Series D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		3,560		3,560

Series E, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		24,770		24,770

RBC Municipal Products, Inc. Trust, Floater Certificates

Series E-111, Rev., VRDO, LOC: Royal Bank of Canada, 0.03%, 9/1/2021 (b) (c)		635		635

Series E-101, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		113,050		113,050

Tender Option Bond Trust Receipts/Certificates

Series 2019-ZF2779, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		5,070		5,070

Series 2018-XG0201, Rev., VRDO, GTD, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		45,000		45,000


				348,775


Rhode Island — 0.1%

Rhode Island Health and Educational Building Corp., Educational Institution, International Institute of Rhode Island Rev., VRDO, LOC: Bank of America NA, 0.06%, 9/8/2021 (b)		1,210		1,210

Rhode Island Industrial Facilities Corp., Marine Terminal, ExxonMobil Project Rev., VRDO, 0.01%, 9/1/2021 (b)		1,395		1,395

Tender Option Bond Trust Receipts/Certificates Series 2018-XF2559, Rev., VRDO, 0.05%, 9/8/2021 (b)		9,000		9,000


				11,605


South Carolina — 1.2%

County Square Redevelopment Corp., Greenville County, South Carolina Project Rev., BAN, 2.00%, 3/3/2022		11,000		11,102


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

South Carolina — continued

South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		35,150		35,150

Tender Option Bond Trust Receipts/Certificates Series 2019-BAML5004, Rev., VRDO, LOC: Bank of America NA, 0.07%, 9/8/2021 (b) (c)		47,735		47,735


				93,987


Tennessee — 0.8%

Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund Rev., VRDO, LOC: Bank of America NA, 0.02%, 9/1/2021 (b)		11,270		11,270

Health Educational and Housing Facility Board of the City of Memphis (The), Ashland Lakes Apartments Series 2006 A, Rev., VRDO, LOC: U.S. Bank NA, 0.06%, 9/8/2021 (b)		2,200		2,200

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Rev., VRDO, LOC: Citibank NA, 0.05%, 9/8/2021 (b)		10,365		10,365

Metropolitan Government Nashville & Davidson County, Health and Educational Facilities Board, Multi-Family Housing, Pedcor Investments Series 2006-XCII & 2006A, Rev., VRDO, LOC: U.S. Bank NA, 0.05%, 9/8/2021 (b)		10,000		10,000

Montgomery County Public Building Authority, Pooled Financing Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		6,925		6,925

Tender Option Bond Trust Receipts/Certificates

Series 2020-XF0994, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		4,335		4,335

Series 2015-XF1023, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,905		5,905

Series 2018-XF2576, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		15,390		15,390


				66,390


Texas — 3.5%

Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		10,500		10,500

Calhoun Port Authority Series 2011A, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.05%, 9/8/2021 (b) (c)		32,300		32,300


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Texas — continued

City of Austin, Texas Hotel Occupancy Tax, Subordinate Lien Subseries A, Rev., VRDO, LOC: Citibank NA, 0.02%, 9/8/2021 (b)		29,335		29,335

City of Houston, Combined Utility System, First Lien Series 2018C, Rev., VRDO, LOC: Barclays Bank plc, 0.03%, 9/8/2021 (b)		32,000		32,000

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014D, Rev., VRDO, 0.02%, 9/8/2021 (b)		30,900		30,900

Houston Housing Finance Corp., Regency Park Apartments Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		12,295		12,295

Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project

Series A-3, Rev., VRDO, 0.01%, 9/1/2021 (b)		100		100

Subseries B-2, Rev., VRDO, 0.02%, 9/1/2021 (b)		6,295		6,295

Permanent University Fund — University of Texas System Series 2008A, Rev., VRDO, 0.01%, 9/8/2021 (b)		16,300		16,300

RBC Municipal Products, Inc. Trust, Floater Certificates

Series E141, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		28,000		28,000

Series E-149, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		10,000		10,000

Series G-20, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		10,000		10,000

Series G-34, GO, VRDO, PSF-GTD, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		5,400		5,400

Tarrant County Cultural Education Facilities Finance Corp., Methodist Hospitals of Dallas Project Series A, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		3,910		3,910

Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2012 B, Rev., VRDO, 0.01%, 9/8/2021 (b)		21,275		21,275

Tender Option Bond Trust Receipts/Certificates

Series 2018-G-84, GO, VRDO, 0.05%, 9/8/2021 (b)		7,125		7,125

Series 2018-G-85, GO, VRDO, 0.05%, 9/8/2021 (b)		6,175		6,175

Series 2018-XG0193, Rev., VRDO, 0.05%, 9/8/2021 (b)		3,665		3,665

Series 2018-ZF2570, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,995		5,995


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Texas — continued

Series G-21, GO, VRDO, 0.05%, 9/8/2021 (b)		5,000		5,000

Series 2020-YX1132, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,005		5,005


				281,575


Utah — 0.0% (d)

County of Utah, IHC Health Services, Inc.

Series 2016D, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		790		790

Series B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)		900		900


				1,690


Virginia — 1.9%

Albermarle County Economic Development Authority, Sentara Martha Jefferson Hospital Series 2018A-B, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		1,050		1,050

Fairfax County Industrial Development Authority, Virginia Health Care, Inova Health System Project

Series 2016C, Rev., VRDO, 0.02%, 9/8/2021 (b)		4,350		4,350

Series 2018C, Rev., VRDO, 0.02%, 9/8/2021 (b)		2,435		2,435

Loudoun County Economic Development Authority, Howard Hughes Medical Institute Series C, Rev., VRDO, 0.02%, 9/8/2021 (b)		1,000		1,000

Roanoke Economic Development Authority, Carilion Clinic Obligated Group

Series 2020C, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)		250		250

Series 2020B, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)		33,890		33,890

Roanoke Economic Development Authority, Carilion Health System Obligated Group Series 2005A, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)		62,515		62,515

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF0606, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		8,500		8,500

Series 2018-XL0069, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		12,400		12,400

Series 2018-ZF2713, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,000		5,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Virginia — continued

Series 2018-ZF2714, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		7,000		7,000

Series 2018-ZM0583, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		5,415		5,415

Series 2020-XF2923, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		8,600		8,600


				152,405


Washington — 1.2%

Port of Grays Harbor Industrial Development Corp., Murphy Co. Project Rev., VRDO, LOC: U.S. Bank NA, 0.04%, 9/8/2021 (b)		3,000		3,000

Port of Seattle, Subordinate Lien Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		19,135		19,135

Port of Tacoma, Subordinate Lien

Rev., VRDO, AMT, LOC: PNC Bank NA, 0.05%, 9/8/2021 (b)		29,700		29,700

Series 2019A, Rev., VRDO, AMT, LOC: PNC Bank NA, 0.05%, 9/8/2021 (b)		18,500		18,500

Port of Vancouver, United Grain Corp. of Oregon Project Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)		8,000		8,000

Tender Option Bond Trust Receipts/Certificates

Series 2018-XF2718, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		8,800		8,800

Series 2018-ZF2682, Rev., VRDO, GTD, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		7,000		7,000

Washington State Housing Finance Commission, Barkley Ridge Partners Series A, Rev., VRDO, LOC: FHLMC, 0.06%, 9/8/2021 (b)		3,000		3,000

Washington State Housing Finance Commission, Traditions at South Hill Apartments Project Series 2011A, Rev., VRDO, AMT, LOC: FHLMC, 0.02%, 9/8/2021 (b)		2,340		2,340


				99,475


West Virginia — 0.1%

West Virginia Hospital Finance Authority, University Health System Series 2018 C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		10,685		10,685


Wisconsin — 0.5%

Tender Option Bond Trust Receipts/Certificates Series 2020-XL0147, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,320		5,320


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Wisconsin — continued

Town of Red Cedar, Fairmount Minerals Ltd. Rev., VRDO, LOC: PNC Bank NA, 0.06%, 9/8/2021 (b)		10,000		10,000

Wisconsin Housing and Economic Development Authority Series 2007 F, Rev., VRDO, AMT, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)		8,865		8,865

Wisconsin Housing and Economic Development Authority, Home Ownership

Series 2019 B, Rev., VRDO, FNMA COLL, LIQ: FHLB, 0.02%, 9/8/2021 (b)		8,000		8,000

Series 2021B, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)		4,000		4,000


				36,185


Wyoming — 0.5%

Wyoming Community Development Authority

Rev., VRDO, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		9,500		9,500

Series 2019-2, Rev., VRDO, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)		9,000		9,000

Series 2019-4, Rev., VRDO, LIQ: Bank of America NA, 0.02%, 9/8/2021 (b)		10,000		10,000

Wyoming Community Development Authority, Composite Reoffering Housing

Series 2007-11, Rev., VRDO, AMT, LIQ: FHLB, 0.04%, 9/8/2021 (b)		5,040		5,040

Series 2007-6, Rev., VRDO, AMT, LIQ: FHLB, 0.04%, 9/8/2021 (b)		4,485		4,485

Series 2007-8, Rev., VRDO, AMT, LIQ: FHLB, 0.04%, 9/8/2021 (b)		5,200		5,200


				43,225


Total Municipal Bonds (Cost $5,508,287)				5,508,287


	SHARES (000)
Variable Rate Demand Preferred Shares — 10.5%

California — 2.1%

Nuveen California Quality Municipal Income Fund

Series 3, LIQ: TD Bank NA, 0.09%, 9/8/2021 # (c)		26,800		26,800

Series 4, LIQ: Royal Bank of Canada, 0.09%, 9/8/2021 # (c)		58,500		58,500

Series 7, LIQ: Royal Bank of Canada, 0.09%, 9/8/2021 # (c)		21,000		21,000

Series 1-1362, LIQ: Societe Generale, 0.11%, 9/8/2021 # (c)		59,200		59,200


				165,500


INVESTMENTS (a)	SHARES (000)		VALUE ($000)


New York — 0.7%

Nuveen New York AMT-Free Quality Municipal Income Fund

Series 5, LIQ: TD Bank NA, 0.06%, 9/8/2021 # (c)		40,000		40,000

Series 1, LIQ: Societe Generale, 0.07%, 9/8/2021 # (c)		18,600		18,600


				58,600


Other — 7.7%

Nuveen AMT-Free Municipal Credit Income Fund

Series 5, LIQ: Societe Generale, 0.07%, 9/8/2021 # (c)		127,000		127,000

Series 6, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)		114,300		114,300

Nuveen AMT-Free Quality Municipal Income Fund Series 3, LIQ: TD Bank NA, 0.07%, 9/8/2021 #(c)		173,500		173,500

Nuveen Quality Municipal Income Fund

Series 1-2118, LIQ: Barclays Bank plc, 0.11%, 9/8/2021 # (c)		51,600		51,600

Series 2-2525, LIQ: Barclays Bank plc, 0.11%, 9/8/2021 # (c)		151,900		151,900


				618,300


Total Variable Rate Demand Preferred Shares (Cost $842,400)				842,400


	PRINCIPAL AMOUNT ($000)
Short-Term Investments — 21.1%

Commercial Paper — 21.1%

Alachua County Health Facilities Authority, Tax Exempt Series 08-A, 0.08%, 10/7/2021		25,000		25,000

Board of Regents of the University of Texas System

Series A, 0.10%, 10/8/2021		15,000		15,000

Series A, 0.16%, 10/28/2021		25,000		25,000

Series A, 0.16%, 11/18/2021		20,000		20,000

Series A, 0.09%, 1/7/2022		25,000		25,000

Series A, 0.16%, 3/7/2022		25,000		25,000

Series A, 0.16%, 3/21/2022		22,000		22,000

Series A, 0.15%, 3/29/2022		20,000		20,000

California Statewide Communities Development Authority

Series 08-B, 0.10%, 1/6/2022		14,000		14,000

Series 9B-3, 0.12%, 1/6/2022		15,000		15,000

Series 9B-2, 0.11%, 1/11/2022		15,000		15,000

Series B-5, 0.11%, 1/11/2022		17,600		17,600


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

California Statewide Communities Development Authority, Tax Exempt

Series 9B-4, 0.19%, 9/2/2021		20,000		20,000

Series 9B-2, 0.16%, 9/14/2021		50,000		50,000

Series 08-B, 0.16%, 10/5/2021		10,000		10,000

Series 9B-1, 0.16%, 10/5/2021		2,740		2,740

Series 9B-3, 0.17%, 10/6/2021		15,000		15,000

Series 08-C, 0.09%, 10/13/2021		14,110		14,110

Series 08-C, 0.15%, 11/2/2021		10,000		10,000

Series B-5, 0.13%, 11/9/2021		9,000		9,000

Series 09-D, 0.12%, 12/2/2021		10,000		10,000

Series B-6, 0.17%, 12/9/2021		16,250		16,250

Series 08-C, 0.11%, 2/3/2022		26,865		26,865

Series D, 0.11%, 2/8/2022		28,500		28,500

Series 09-D, 0.11%, 2/9/2022		30,000		30,000

City of Dallas, Tax Exempt Series G, 0.07%, 9/23/2021		25,860		25,860

City of Houston, Tax Exempt

Series A, 0.10%, 9/16/2021		10,000		10,000

Series A, 0.11%, 9/23/2021		10,000		10,000

City of Rochester Series 08-C, 0.09%, 10/7/2021		80,000		80,000

City of Rochester, Tax Exempt

Series 2014, 0.10%, 11/4/2021		25,000		25,000

Series 2011, 0.17%, 1/28/2022		50,000		50,000

City of San Antonio, Electric and Gas Systems Series B, 0.07%, 9/27/2021		20,000		20,000

County of Harris

Series A-1, 0.08%, 10/6/2021		4,960		4,960

Series C, 0.08%, 10/6/2021		16,740		16,740

County of Hillsborough, Tax Exempt Series A, 0.12%, 9/23/2021		13,000		13,000

County of Miami-Dade, Tax Exempt Series A-1, 0.11%, 9/1/2021		15,000		15,000

County of Montgomery Series 10-A, 0.07%, 9/16/2021		42,100		42,100

County of York

Series 00B1, 0.07%, 9/1/2021		28,000		28,000

Series 00B3, 0.07%, 9/1/2021		15,200		15,200

Series OOB2, 0.07%, 9/1/2021		28,000		28,000

District of Columbia Series 2019, 0.08%, 11/2/2021		25,000		25,000

East Bay Municipal Utility District Series A-1, 0.07%, 9/2/2021		15,400		15,400


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

Health and Educational Facilities Authority of the State of Missouri BJC Health System, Tax Exempt

Series 14-D, 0.08%, 10/14/2021		50,000		50,000

Series 14-E, 0.08%, 10/14/2021		50,000		50,000

Series 14-C, 0.08%, 10/21/2021		30,000		30,000

Health and Educational Facilities Authority of the State of Missouri, Tax Exempt Series 14-B, 0.10%, 9/2/2021		50,000		50,000

Indiana Finance Authority, Tax Exempt

Series D-2, 0.06%, 9/16/2021		35,815		35,815

Series D-2, 0.10%, 10/5/2021		69,000		69,000

Jacksonville Health Care Authority, Tax Exempt Series 2016, 0.17%, 1/28/2022		110,000		110,000

Louisville and Jefferson County Metropolitan Sewer District, Tax Exempt Series A-1, 0.12%, 9/1/2021		15,000		15,000

Maryland Health and Higher Educational Facilities Authority Series B, 0.07%, 9/8/2021		10,000		10,000

Metropolitan Government of Nashville and Davidson County 0.09%, 10/5/2021		25,000		25,000

Norfolk Va Industrial Development Authority, Tax Exempt 0.10%, 9/2/2021		20,000		20,000

Omaha Public Power District Series A, 0.09%, 10/19/2021		15,000		15,000

Omaha Public Power District, Tax Exempt

Series A, 0.08%, 9/8/2021		12,500		12,500

Series A, 0.09%, 11/8/2021		12,500		12,500

Salt River Project Agricultural Improvement and Power District, Tax Exempt 0.10%, 9/2/2021		28,000		28,000

San Francisco City and County Public Utilities Commission Wastewater Series A-1, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 9/9/2021		57,233		57,233

Southwestern Illinois Development Authority, Tax Exempt

Series 17-B, 0.10%, 9/9/2021		49,870		49,870

Series 17-B, 0.08%, 10/7/2021		10,000		10,000

Stafford County & Staunton Industrial Development Authority, Tax Exempt Series 8-A1, 0.07%, 9/2/2021		18,230		18,230

State Building Product, Inc. Series 8, 0.09%, 10/7/2021		17,000		17,000

State of California, Department of Water Resources, Tax Exempt Series 1, 0.06%, 9/8/2021		20,000		20,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Short-Term Investments — continued

Commercial Paper — continued

State of California, Tax Exempt

Series 11A5, 0.08%, 11/9/2021		12,500		12,500

Series 11A5, 0.07%, 11/18/2021		10,000		10,000

State of Wisconsin, Tax Exempt

Series 06-A, 0.09%, 10/7/2021		14,643		14,643

Series 13-A, 0.09%, 10/7/2021		24,153		24,153

Texas Public Finance Authority Series 2008, 0.09%, 11/3/2021		10,000		10,000

University of Washington Series A, 0.11%, 2/17/2022		9,800		9,800


Total Commercial Paper (Cost $1,691,569)				1,691,569


Total Short-Term Investments (Cost $1,691,569)				1,691,569

Total Investments — 100.2% (Cost $8,042,256) *				8,042,256
Liabilities in Excess of Other Assets — (0.2)%				(13,356	)

NET ASSETS — 100.0%				8,028,900

Percentages indicated are based on net assets.


Abbreviations

AGM		Insured by Assured Guaranty Municipal Corp.
AMBAC		Insured by American Municipal Bond Assurance Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
COLL		Collateral
CONS		Consolidated Bonds
COP		Certificate of Participation
FHLB		Federal Home Loan Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
GTD		Guaranteed
IDA		Industrial Development Authority
LIQ		Liquidity Agreement
LOC		Letter of Credit
PCR		Pollution Control Revenue
PSF-GTD		Permanent School Fund Guaranteed


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 72.6%

Alaska — 2.0%

Alaska Housing Finance Corp., Home Mortgage Series A, Rev., VRDO, AMT, LIQ: FHLB, 0.03%, 9/1/2021 (b)		17,665		17,665


Arizona — 0.4%

Tender Option Bond Trust Receipts/Certificates Series 2020-YX1154, Rev., VRDO, LOC: Barclays Bank plc, 0.07%, 9/8/2021 (b) (c)		3,125		3,125


Arkansas — 1.4%

City of Osceola, Plum Point Energy Associates Rev., VRDO, LOC: Goldman Sachs & Co. LLC, 0.05%, 9/8/2021 (b)		12,000		12,000


California — 0.3%

San Diego Housing Authority, Multi-Family Housing Series 2006B, Rev., VRDO, LOC: Citibank NA, 0.08%, 9/8/2021 (b)		1,050		1,050

Santa Rosa Rancheria Tachi-Yokut Tribe Enterprise Series A, Rev., VRDO, 0.05%, 9/8/2021 (b)		1,640		1,640


				2,690


Colorado — 5.3%

Colorado Housing and Finance Authority, Multi-Family Project Rev., VRDO, LOC: U.S. Bank NA, 0.05%, 9/8/2021 (b)		4,000		4,000

County of Arapahoe, Multi-Family Rental Housing, Hunter’s Run Rev., VRDO, LOC: FHLMC, 0.05%, 9/8/2021 (b)		325		325

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G114, Rev., VRDO, LOC: Royal Bank of Canada, 0.27%, 12/1/2021 (b) (c)		6,000		6,000

Tender Option Bond Trust Receipts/Certificates

Series 2016-ZF0467, Rev., VRDO, LOC: Royal Bank of Canada, 0.09%, 9/8/2021 (b) (c)		30,000		30,000

Series 2018-XG0197, Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b) (c)		3,250		3,250

Series 2019-XF0757, Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b) (c)		2,895		2,895


				46,470


Florida — 6.6%

County of Bay, Gulf Power Co. Project Rev., VRDO, AMT, 0.03%, 9/1/2021 (b)		1,045		1,045

County of Broward, Power and Light Co. Project

Series 2018A, Rev., VRDO, AMT, 0.02%, 9/1/2021 (b)		19,590		19,590

Rev., VRDO, 0.03%, 9/1/2021 (b)		3,980		3,980


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Florida — continued

County of Miami-Dade, Seaport Department Series B, Rev., VRDO, AMT, LOC: PNC Bank NA, 0.04%, 9/8/2021 (b)		3,150		3,150

County of St. Lucie, Florida Power and Light Co., Project Rev., VRDO, 0.02%, 9/1/2021 (b)		10,250		10,250

Miami-Dade County Industrial Development Authority, Solid Waste Disposal, Florida Power and Light Co., Project Rev., VRDO, 0.02%, 9/1/2021 (b)		1,600		1,600

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-25, Rev., VRDO, LOC: Royal Bank of Canada, 0.27%, 10/1/2021 (b) (c)		7,600		7,600

Tender Option Bond Trust Receipts/Certificates

Series G-115, Rev., VRDO, 0.27%, 9/1/2021 (b)		8,000		8,000

Series 2019-ZF0826, Rev., VRDO, 0.11%, 9/8/2021 (b)		2,800		2,800


				58,015


Georgia — 0.2%

Athens-Clarke County Unified Government Development Authority, Athletic Association Project Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/1/2021 (b)		135		135

Valdosta & Lowndes County Industrial Development Authority, Steeda Autosports Project Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b)		1,530		1,530


				1,665


Illinois — 1.3%

County of Will, ExxonMobil Project Rev., VRDO, 0.02%, 9/1/2021 (b)		630		630

Illinois Development Finance Authority, Toyal America, Inc. Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.12%, 9/8/2021 (b)		6,000		6,000

Illinois Finance Authority, Edward Health Obligated Group Series 2008C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		140		140

Tender Option Bond Trust Receipts/Certificates Series 2018-XM0686, Rev., VRDO, LOC: Bank of America NA, 0.10%, 9/8/2021 (b) (c)		4,680		4,680


				11,450


Indiana — 0.8%

City of Indianapolis, Multi-Family Housing, Nora Commons Series 2004B, Rev., VRDO, LOC: U.S. Bank NA, 0.09%, 9/8/2021 (b)		600		600


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Indiana — continued

Indiana Finance Authority, Parkview Health System, Inc. Series 2009D, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/1/2021 (b)		400		400

Indiana Finance Authority, Solid Waste Disposal, Four-Leaf Clover Dairy LLC Rev., VRDO, LOC: Bank of America NA, 0.08%, 9/8/2021 (b)		4,100		4,100

Indiana Finance Authority, Solid Waste Disposal, New Holland Dairy Leasing Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b)		1,860		1,860


				6,960


Iowa — 1.6%

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Series 2019E, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		115		115

Iowa Finance Authority, Solid Waste Facilities, Midamerican Energy Co. Project Rev., VRDO, AMT, 0.07%, 9/8/2021 (b)		14,240		14,240


				14,355


Maryland — 4.4%

Maryland Community Development Administration, Housing and Community Development

Series 2006G, Rev., VRDO, AMT, LIQ: State Street Bank & Trust, 0.05%, 9/8/2021 (b)		2,530		2,530

Series 2006J, Rev., VRDO, AMT, LIQ: State Street Bank & Trust, 0.05%, 9/8/2021 (b)		36,140		36,140


				38,670


Massachusetts — 2.3%

Blue Hills Regional Technical High School District GO, BAN, 1.00%, 11/5/2021		5,940		5,949

Cape Cod Regional Transit Authority GO, RAN, 1.00%, 7/22/2022		6,500		6,543

City of Pittsfield GO, BAN, 1.00%, 2/25/2022		7,528		7,556


				20,048


Michigan — 1.0%

Michigan State Housing Development Authority, Jackson Project Rev., VRDO, LOC: FHLB, 0.05%, 9/1/2021 (b)		4,360		4,360

Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., VRDO, AMT, LIQ: Industrial & Commercial Bank of China, 0.08%, 9/8/2021 (b)		4,650		4,650


				9,010


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Mississippi — 0.4%

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project

Series 2007E, Rev., VRDO, 0.01%, 9/1/2021 (b)		550		550

Series 2009G, Rev., VRDO, 0.01%, 9/1/2021 (b)		475		475

Series 2010K, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,695		1,695

Series 2011D, Rev., VRDO, 0.01%, 9/1/2021 (b)		420		420


				3,140


Missouri — 2.5%

Rib Floater Trust Various States Series 2017-010, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		21,950		21,950


Nebraska — 0.3%

Nebraska Investment Finance Authority, Multi-Family Housing, Irvington Heights Apartment Project Series A, Rev., VRDO, LOC: Citibank NA, 0.06%, 9/8/2021 (b)		2,350		2,350


Nevada — 3.9%

County of Clark Department of Aviation, Subordinate Lien Series C-3, Rev., VRDO, AMT, LOC: Sumitomo Mitsui Banking Corp., 0.04%, 9/8/2021 (b)		14,415		14,415

County of Clark, Southwest Gas Corp. Project Series 2008A, Rev., VRDO, AMT, LOC: MUFG Union Bank NA, 0.04%, 9/8/2021 (b)		20,000		20,000


				34,415


New Jersey — 10.4%

Borough of Hasbrouck Heights GO, BAN, 0.50%, 9/24/2021		6,532		6,533

Borough of Saddle River GO, BAN, 1.00%, 4/22/2022		5,116		5,140

Tender Option Bond Trust Receipts/Certificates Series 2020-XF0957, Rev., VRDO, LOC: Royal Bank of Canada, 0.09%, 9/8/2021 (b) (c)		2,500		2,500

Township of Berkeley Series 2021A, GO, BAN, 2.00%, 11/18/2021		6,936		6,962

Township of Galloway GO, BAN, 1.00%, 8/10/2022		7,725		7,780

Township of Hamilton Series 2021A, GO, BAN, 1.25%, 2/16/2022		5,972		5,999

Township of Lopatcong GO, 1.00%, 3/18/2022		4,234		4,250


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New Jersey — continued

Township of Lyndhurst

GO, BAN, 0.75%, 9/8/2021		8,000		8,001

GO, BAN, 1.00%, 9/8/2021		9,000		9,001

GO, BAN, 1.00%, 10/8/2021		800		801

GO, BAN, 1.00%, 2/4/2022		6,350		6,369

GO, BAN, 1.00%, 3/11/2022		1,500		1,505

Township of Robbinsville Series 2021A, GO, BAN, 1.00%, 7/19/2022		1,858		1,871

Township of Sparta GO, BAN, 1.25%, 10/1/2021		3,418		3,420

Township of West Orange GO, BAN, 1.50%, 5/5/2022		8,465		8,536

Township of Willingboro GO, BAN, 1.00%, 9/2/2021		12,342		12,342


				91,010


New York — 9.0%

Alfred Almond Central School District GO, BAN, 1.25%, 9/15/2021		2,000		2,001

City of Kingston Series 2021A, GO, BAN, 1.50%, 3/18/2022		5,773		5,811

County of Clinton GO, BAN, 1.50%, 7/28/2022		3,214		3,251

Hastings-On-Hudson Union Free School District GO, BAN, 1.50%, 3/4/2022		7,500		7,553

Lakeland Central School District GO, BAN, 1.25%, 8/19/2022		1,059		1,070

Metropolitan Transportation Authority, Dedicated Tax Fund Series 2008A-1, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		540		540

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		1,265		1,265

New York State Housing Finance Agency, 250 West 93rd Street Housing Series 2005A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.05%, 9/8/2021 (b)		2,285		2,285

New York State Housing Finance Agency, 600 West 42nd Street Housing Rev., VRDO, AMT, LOC: FNMA, 0.04%, 9/8/2021 (b)		13,385		13,385

New York State Housing Finance Agency, Saxony Housing Series A, Rev., VRDO, AMT, LOC: FNMA, 0.06%, 9/8/2021 (b)		10,000		10,000

New York State Housing Finance Agency, West 23rd Street Housing Series 2002A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		20,000		20,000

Skaneateles Central School District Series 2021B, GO, BAN, 1.00%, 8/17/2022		1,359		1,369

Springville-Griffith Institute Central School District GO, BAN, 1.00%, 8/19/2022		1,965		1,981


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Tender Option Bond Trust Receipts/Certificates Series 2021-XG0330, Rev., VRDO, LIQ: Bank of America NA, 0.10%, 9/8/2021 (b) (c)		7,040		7,040

Village of Pelham Series 2020A, GO, BAN, 1.25%, 9/17/2021		1,500		1,500


				79,051


North Dakota — 0.5%

North Dakota Housing Finance Agency, Home Mortgage Finance Program

Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		2,800		2,800

Series 2015E, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		1,995		1,995


				4,795


Ohio — 1.1%

Ohio Housing Finance Agency

Series E, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.04%, 9/8/2021 (b)		5,365		5,365

Series J, Rev., VRDO, AMT, GNMA COLL/FNMA COLL, LIQ: TD Bank NA, 0.04%, 9/8/2021 (b)		4,155		4,155


				9,520


Oregon — 2.5%

Marion County Housing Authority, Residence at Marian Rev., VRDO, LOC: U.S. Bank NA, 0.06%, 9/8/2021 (b)		225		225

Port of Portland, International Airport

Subseries 18A, Rev., VRDO, AMT, LOC: Industrial & Commercial Bank of China, 0.04%, 9/8/2021 (b)		3,800		3,800

Subseries 18B, Rev., VRDO, AMT, LOC: Industrial & Commercial Bank of China, 0.05%, 9/8/2021 (b)		17,530		17,530


				21,555


Other — 2.1%

FHLMC, Multi-Family

Series M021, Class A, Rev., VRDO, LIQ: FHLMC, 0.05%, 9/8/2021 (b) (c)		9,620		9,620

Series M025, Class A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b) (c)		4,285		4,285

Series M026, Class A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b) (c)		4,620		4,620


				18,525


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

Pennsylvania — 0.5%

Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2004-83C, Rev., VRDO, AMT, LIQ: TD Bank NA, 0.04%, 9/8/2021 (b)		4,440		4,440


South Carolina — 0.3%

Tender Option Bond Trust Receipts/Certificates Series 2019-ZF0824, Rev., VRDO, LOC: Bank of America NA, 0.10%, 9/8/2021 (b) (c)		2,325		2,325


Tennessee — 0.8%

Tender Option Bond Trust Receipts/Certificates

Series 2020-YX1139, Rev., VRDO, LOC: Barclays Bank plc, 0.07%, 9/8/2021 (b) (c)		3,795		3,795

Series 2019-XG0268, Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2021 (b) (c)		3,475		3,475


				7,270


Texas — 6.7%

Calhoun Port Authority, Formosa Plastics Corp. Series 2007A, Rev., VRDO, LOC: PNC Bank NA, 0.06%, 9/8/2021 (b)		9,370		9,370

Calhoun Port Authority, Formosa Plastics Corp. Project Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.05%, 9/8/2021 (b) (c)		10,000		10,000

Gilmer Industrial Development Corp., Duoline Technologies LP Series 2008A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.12%, 9/8/2021 (b)		5,650		5,650

Gulf Coast Authority, Gulf Coast Waste Disposal Authority, Environment Facilities, ExxonMobil Corp. Rev., VRDO, 0.02%, 9/1/2021 (b)		3,200		3,200

Harris County Industrial Development Corp Exxon Corp Project Rev., VRDO, 0.02%, 9/1/2021 (b)		6,800		6,800

Houston Housing Finance Corp., Fairlake Cove Apartments Rev., VRDO, LOC: Citibank NA, 0.05%, 9/8/2021 (b)		1,500		1,500

Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project

Subseries B-2, Rev., VRDO, 0.02%, 9/1/2021 (b)		8,455		8,455

Subseries B-4, Rev., VRDO, 0.02%, 9/1/2021 (b)		6,995		6,995

State of Texas, Veterans Housing Assistance Program GO, VRDO, AMT, LIQ: State Street Bank & Trust, 0.06%, 9/8/2021 (b)		6,525		6,525


				58,495


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Virginia — 2.8%

Arlington County Industrial Development Authority, Multi-Family, Gates Ballston Apartments Rev., VRDO, LOC: PNC Bank NA, 0.07%, 9/8/2021 (b)		14,330		14,330

Botetourt County Industrial Development Authority Rev., VRDO, LOC: Bank of America NA, 0.07%, 9/8/2021 (b)		7,400		7,400

Lynchburg Economic Development Authority, Centra Health Obligated Group Series 2017B, Rev., VRDO, LOC: Truist Bank, 0.01%, 9/1/2021 (b)		1,710		1,710

Prince William County Industrial Development Authority, Sewer Disposal Facilities, Dale Service Corp. Project Rev., VRDO, LOC: Wells Fargo Bank NA, 0.07%, 9/8/2021 (b)		650		650


				24,090


Washington — 0.7%

King County Housing Authority, Overlake Tod Housing LP Series 2001B, Rev., VRDO, LOC: Bank of America NA, 0.08%, 9/8/2021 (b)		4,075		4,075

Port of Tacoma, Subordinate Lien Rev., VRDO, AMT, LOC: PNC Bank NA, 0.05%, 9/8/2021 (b)		2,000		2,000


				6,075


Wisconsin — 0.5%

Wisconsin Health and Educational Facilities Authority, Medical College Series 2008B, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		275		275

Wisconsin Housing and Economic Development Authority, Multi-Family Housing Series 2007A, Rev., VRDO, LIQ: FHLB, 0.04%, 9/8/2021 (b)		3,940		3,940


				4,215


Total Municipal Bonds (Cost $635,344)				635,344


	SHARES (000)
Variable Rate Demand Preferred Shares — 10.8%

California — 1.1%

Nuveen California Quality Municipal Income Fund Series 4, LIQ: Royal Bank of Canada, 0.09%, 9/8/2021 # (c)		10,000		10,000


Other — 8.5%

BlackRock MuniYield Quality Fund III, Inc. LIQ: TD Bank NA, 0.11%, 9/8/2021 # (c)		30,000		30,000


INVESTMENTS (a)	SHARES (000)		VALUE ($000)
Variable Rate Demand Preferred Shares — continued

Other — continued

Nuveen Quality Municipal Income Fund

Series 2-2525, LIQ: Barclays Bank plc, 0.11%, 9/8/2021 # (c)		20,000		20,000

Series 3-1277, LIQ: Barclays Bank plc, 0.11%, 9/8/2021 # (c)		24,200		24,200


				74,200


Pennsylvania — 1.2%

BlackRock MuniYield Pennsylvania Quality Fund LIQ: TD Bank NA, 0.10%, 9/8/2021 # (c)		10,000		10,000


Total Variable Rate Demand Preferred Shares (Cost $94,200)				94,200


	PRINCIPAL AMOUNT ($000)
Short-Term Investments — 13.9%

Commercial Paper — 13.9%

California Statewide Communities Development Authority Series B-5, 0.11%, 1/11/2022		4,150		4,150

California Statewide Communities Development Authority, Tax Exempt

Series 9B-4, 0.19%, 9/2/2021		5,000		5,000

Series 9B-1, 0.16%, 9/8/2021		10,000		10,000

Series D, 0.16%, 9/8/2021		4,000		4,000

Series 08-B, 0.16%, 10/5/2021		3,000		3,000

Series 9B-3, 0.17%, 10/6/2021		7,500		7,500

City and County of San Francisco, Tax Exempt Series A-4, 0.14%, 9/9/2021		15,000		15,000

City of Atlanta, Airport, Third Lien

Series K-2, 0.14%, 1/6/2022		17,624		17,624

Series K-2, 0.14%, 1/6/2022		4,419		4,419

Series J-2, 0.12%, 2/4/2022		4,454		4,454

City of Houston, Tax Exempt

Series A, 0.10%, 9/16/2021		10,000		10,000

Series A, 0.11%, 9/23/2021		10,000		10,000

County of Miami-Dade, Tax Exempt Series A-1, 0.11%, 9/1/2021		23,442		23,442


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

Miami Dade College Foundation, Inc., Tax Exempt

0.09%, 10/1/2021		1,665		1,665

Series 2021, 0.09%, 10/1/2021		1,875		1,875


Total Commercial Paper (Cost $122,129)				122,129


Total Short-Term Investments (Cost $122,129)				122,129

Total Investments — 97.3% (Cost $851,673) *				851,673
Other Assets Less Liabilities — 2.7%				23,614

NET ASSETS — 100.0%				875,287

Percentages indicated are based on net assets.


Abbreviations

AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
COLL		Collateral
FHLB		Federal Home Loan Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
LIQ		Liquidity Agreement
LOC		Letter of Credit
RAN		Revenue Anticipation Note
Rev.		Revenue
VRDO		Variable Rate Demand Obligation

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(c)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
#		Variable Rate Demand Preferred Shares of a closed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 67.8%

California — 67.8%

Abag Finance Authority for Nonprofit Corp., Public Policy Institute of California Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/8/2021 (b)		900		900

Alameda County Industrial Development Authority, Plyproperties Project Series 1997A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b)		2,860		2,860

Alameda County Joint Powers Authority, Multiple Capital Projects Series 2013A, Rev., 5.00%, 12/1/2021		115		116

Bonita Unified School District Series B, GO, 4.00%, 8/1/2022		160		166

Brentwood Union School District GO, 5.00%, 8/1/2022		150		157

Burlingame Financing Authority, Community Center Project Rev., 5.00%, 7/1/2022		200		208

California Health Facilities Financing Authority, Cedars-Sinai Medical Center Series A, Rev., 5.00%, 8/15/2022		100		105

California Infrastructure & Economic Development Bank, Columbia College Hollywood Project Rev., VRDO, LOC: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b)		545		545

California Infrastructure and Economic Development Bank, Industrial Development, Silva Corks USA LLC Project Series 2006, Rev., VRDO, LOC: Bank of America NA, 0.08%, 9/8/2021 (b)		1,425		1,425

California Municipal Finance Authority, Multi-Family Housing, Pacific Meadows Apartments Series A, Rev., VRDO, LIQ: FHLMC, 0.03%, 9/8/2021 (b)		250		250

California Municipal Finance Authority, Recovery Zone Facility, Chevron USA, Inc., Project

Series 2010A, Rev., VRDO, 0.01%, 9/1/2021 (b)		5,910		5,910

Series 2010A, Rev., VRDO, 0.01%, 9/1/2021 (b)		1,290		1,290

California Pollution Control Financing Authority, ExxonMobil Project Rev., VRDO, 0.02%, 9/1/2021 (b)		3,140		3,140

California State Public Works Board, Office of Emergency Services Series 2017F, Rev., 5.00%, 4/1/2022		300		308

California Statewide Communities Development Authority, Rady Children’s Hospital

Series 2008A, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		2,010		2,010


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


California — continued

Series 2008B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/1/2021 (b)		1,790		1,790

Calleguas-Las Virgenes Public Financing Authority, Municipal Water District Project Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/8/2021 (b)		1,030		1,030

City of Irvine, Reassessment District No. 05-21, Limited Obligation Improvement Series A, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.01%, 9/1/2021 (b)		234		234

City of Los Angeles Rev., TRAN, 4.00%, 6/23/2022		520		536

City of San Jose, Multi-Family Housing, Almaden Lake Village Apartments

Series 1997A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		8,500		8,500

Series 2000A, Rev., VRDO, LOC: FNMA, 0.06%, 9/8/2021 (b)		2,000		2,000

City of Santa Rosa, Wastewater Series 2016A, Rev., 5.00%, 9/1/2021		100		100

Clovis Unified School District, Election of 2020 Series A, GO, 3.00%, 8/1/2022		500		513

County of Monterey COP, 5.00%, 10/1/2021		220		221

County of Riverside, Teeter Plan Obligation Notes, Tax-Exempt Series 2020A, Rev., 0.50%, 10/21/2021		2,000		2,001

County of Solano COP, 5.00%, 11/1/2021		100		101

East Bay Municipal Utility District, Water System Series 2014A, Rev., 5.00%, 6/1/2022		200		207

Fresno County Financing Authority Rev., 5.00%, 4/1/2022		400		411

Imperial Irrigation District Electric System Series 2011D, Rev., 5.00%, 11/1/2021		175		176

Imperial Public Financing Authority, Wastewater Facility Rev., 3.25%, 10/15/2021		100		100

Irvine Ranch Water District

Series A, VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		1,335		1,335

Series B, VRDO, LOC: Bank of America NA, 0.01%, 9/1/2021 (b)		200		200

Lodi Public Financing Authority Series A, Rev., 4.00%, 10/1/2021		200		201

Los Angeles County Schools, Transportation Pooled Financing Program Series A, Rev., 2.00%, 6/1/2022		8,065		8,181

Los Angeles Department of Water and Power, Water System

Series 2019A-2, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		1,490		1,490


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Series A-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		845		845

Subseries B-3, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		100		100

Metropolitan Water District of Southern California, Waterworks

Series 2018A-2, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		945		945

Series B-2, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		1,200		1,200

Modesto Irrigation District, Domestic Water Project Series 2013G, Rev., AGM, 5.00%, 9/1/2021		100		100

Otay Water District Rev., 5.00%, 9/1/2021		100		100

Palmdale Elementary School District Series 2021A, GO, 4.00%, 8/1/2022		1,625		1,683

Pine Ridge Elementary School District GO, BAN, 4.00%, 2/1/2022		500		508

Placentia-Yorba Linda Unified School District COP, AGM, 4.00%, 10/1/2021		1,240		1,244

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-118, VRDO, LOC: Royal Bank of Canada, 0.17%, 10/1/2021 (b) (c)		2,000		2,000

Riverside County Transportation Commission, Sales Tax Series 2017A, Rev., 4.00%, 6/1/2022		140		144

Sacramento County Sanitation Districts Financing Authority Rev., 5.00%, 12/1/2021		500		506

San Diego County Regional Transportation Commission, Sales Tax Series 2012A, Rev., 5.00%, 4/1/2022		275		283

San Diego Unified School District Series A, Rev., TRAN, 4.00%, 6/30/2022		500		516

San Diego Unified School District, Election of 2008 Series L-2, GO, 4.00%, 7/1/2022		135		139

San Francisco State Building Authority Series A, Rev., 4.00%, 12/1/2021		250		252

San Joaquin County Transportation Authority, Measure K Sales Tax Rev., 5.00%, 3/1/2022		200		205

San Jose Unified School District, Election of 2012 Series 2019F, GO, 4.00%, 8/1/2022		100		103

Southern California Public Power Authority, Magnolia Power Project Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		200		200

Southern California Public Power Authority, Southern Transmission Project

Series 2015A, Rev., 5.00%, 7/1/2022		265		276

Series 2018A, Rev., 5.00%, 7/1/2022		300		312

State of California GO, 5.00%, 9/1/2021		500		500


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)



California — continued

State of California Department of Water Resources, Power Supply Series 2015O, Rev., 5.00%, 5/1/2022 (d)		345		356

State of California, Various Purpose GO, 5.00%, 5/1/2022		110		113

Tender Option Bond Trust Receipts/Certificates

Series 2021-XF1240, GO, VRDO, 0.02%, 9/8/2021 (b)		2,000		2,000

Series 2016-XX1040, VRDO, LIQ: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)		4,160		4,160

Series 2019-ZF2844, COP, VRDO, LIQ: Citibank NA, 0.04%, 9/8/2021 (b) (c)		5,435		5,435

Series 2021-XF1238, Rev., VRDO, 0.04%, 9/8/2021 (b)		1,700		1,700

Series 2021-XG0306, GO, VRDO, LOC: Royal Bank of Canada, 0.04%, 9/8/2021 (b) (c)		3,300		3,300

Series 2016-XF2322, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b) (c)		7,500		7,500

Series 2018-XF2737, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		2,000		2,000

Series 2018-XM0712, GO, VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		2,230		2,230

Series 2018-ZF0679, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		5,265		5,265

Series 2018-ZF2744, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		6,900		6,900

Series 2018-ZF2771, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		3,080		3,080

Series 2018-ZM0585, GO, VRDO, LIQ: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b) (c)		3,750		3,750

Series 2019-XM0741, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		1,000		1,000

Series 2019-XM0750, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		3,000		3,000

Series 2020-XG0304, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		4,260		4,260

Series 2020-XM0837, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		2,300		2,300

Series 2020-YX1149, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		4,775		4,775

Series 2021-XF1219, GO, VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Series 2021-XF1224, GO, VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		3,730		3,730

Series 2021-XG0313, GO, VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		1,590		1,590

Series 2020-XF2876, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		9,195		9,195


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

California — continued

Series 2020-XL0155, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,250		4,250

Series 2020-YX1131, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		4,380		4,380

Series 2020-YX1153, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		7,105		7,105

Turlock Irrigation District Rev., 5.00%, 1/1/2022		100		102

University of California Series 2013AL-3, Rev., VRDO, 0.01%, 9/1/2021 (b)		2,155		2,155


Total Municipal Bonds (Cost $161,509)				161,509

	SHARES (000)
Variable Rate Demand Preferred Shares — 6.7%

California — 6.7%

BlackRock MuniYield California Quality Fund, Inc. Series W7-1665, LIQ: TD Bank NA, 0.09%, 9/8/2021 # (c)		5,000		5,000

Nuveen California Quality Municipal Income Fund

Series 4, LIQ: Royal Bank of Canada, 0.09%, 9/8/2021 # (c)		4,000		4,000

Series 1-1362, LIQ: Societe Generale, 0.11%, 9/8/2021 # (c)		7,000		7,000


Total Variable Rate Demand Preferred Shares (Cost $16,000)				16,000


	PRINCIPAL AMOUNT ($000)
Short-Term Investments — 26.1%

Commercial Paper — 26.1%

California Statewide Communities Development Authority, Tax Exempt

Series D, 0.16%, 9/8/2021		8,000		8,000

Series 08-C, 0.09%, 10/13/2021		3,000		3,000

City and County of San Francisco, LOC: U.S. Bank NA, 0.11%, 11/3/2021		2,000		2,000

City of Los Angeles, Wastewater System, Tax Exempt Series A-2, LOC: TD Bank NA, 0.06%, 10/7/2021		6,500		6,500

LA County, Tax Exempt Series B-TE, LOC: U.S. Bank NA, 0.06%, 9/15/2021		5,750		5,750

Municipal Improvement Corp. of Los Angeles, Tax Exempt

Series A-1, LOC: BMO Harris Bank NA, 0.07%, 10/7/2021		1,000		1,000

Series A-1, LOC: BMO Harris Bank NA, 0.08%, 10/7/2021		7,000		7,000

Series A-3, LOC: U.S. Bank NA, 0.08%, 10/14/2021		3,000		3,000

San Francisco City and County Public Utilities Commission Series A-1, LIQ: Bank of America NA, 0.06%, 9/15/2021		6,000		6,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Paper — continued

San Francisco City and County Public Utilities Commission Wastewater Series A-1, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 9/9/2021		11,000		11,000

State of California

Series 11A5, LOC: U.S. Bank NA, 0.07%, 9/20/2021		2,000		2,000

Series A-4, LOC: TD Bank NA, 0.09%, 10/19/2021		5,000		5,000

State of California, Tax Exempt Series A-7, LOC: State Street Bank & Trust, 0.05%, 9/2/2021		2,000		2,000


Total Commercial Paper (Cost $62,250)				62,250


Total Short-Term Investments (Cost $62,250)				62,250

Total Investments — 100.6% (Cost $239,759) *				239,759

Liabilities in Excess of Other Assets — (0.6)%				(1,330	)

NET ASSETS — 100.0%				238,429

Percentages indicated are based on net assets.

Abbreviations



AGM		Insured by Assured Guaranty Municipal Corp.
BAN		Bond Anticipation Note
COP		Certificate of Participation
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GO		General Obligation
LIQ		Liquidity Agreement
LOC		Letter of Credit
Rev.		Revenue
TRAN		Tax & Revenue Anticipation Note
VRDO		Variable Rate Demand Obligation

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(c)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(d)		Security is prerefunded or escrowed to maturity.
#		Variable Rate Demand Preferred Shares of a closed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 87.4%

New York — 87.4%

Albany Industrial Development Agency, Civic Facility, Living Resources Corp., Project Series 2007A, Rev., VRDO, LOC: HSBC Bank USA NA, 0.04%, 9/8/2021 (b)		2,380		2,380

Alfred Almond Central School District GO, BAN, 1.25%, 9/15/2021		2,000		2,001

Amherst Development Corp., Student Housing Facility, South Lake Village Project Series 2010B, Rev., VRDO, LOC: HSBC Bank USA NA, 0.07%, 9/8/2021 (b)		12,105		12,105

Battery Park City Authority Series 2019D-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)		5,300		5,300

Berlin Central School District GO, BAN, 1.00%, 6/29/2022		3,000		3,019

City of Hudson Series 2021A, GO, BAN, 1.00%, 6/24/2022		3,029		3,048

City of Ithaca

GO, BAN, 1.50%, 2/18/2022		5,000		5,031

GO, BAN, 1.00%, 7/22/2022		4,824		4,857

City of Kingston Series 2021A, GO, BAN, 1.50%, 3/18/2022		6,000		6,040

City of New York Subseries 2008L-4, GO, VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		300		300

City of New York, Fiscal Year 2006 Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		355		355

City of New York, Fiscal Year 2013 Subseries A-3, GO, VRDO, LOC: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		3,670		3,670

City of New York, Fiscal Year 2014 Series D, Subseries D-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		400		400

City of New York, Fiscal Year 2017 Subseries 2017A-7, GO, VRDO, LOC: Bank of the West, 0.02%, 9/1/2021 (b)		2,875		2,875

City of New York, Fiscal Year 2019 Series D, Subseries D-4, GO, VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		350		350

City of Peekskill GO, BAN, 1.00%, 8/25/2022		1,850		1,865

City of Troy GO, BAN, 1.50%, 7/29/2022		4,832		4,888

County of Chemung Series 2020B, GO, BAN, 1.25%, 10/15/2021		1,000		1,001

County of Clinton GO, BAN, 1.50%, 7/28/2022		3,500		3,541

County of Columbia GO, BAN, 1.25%, 12/10/2021		3,035		3,044

County of Westchester Series 2021B, GO, TAN, 2.00%, 10/18/2021		500		501


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

East Bloomfield Central School District GO, BAN, 1.25%, 6/23/2022		5,353		5,396

Erie County Industrial Development Agency (The), Canisius High School Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 0.07%, 9/8/2021 (b)		10,450		10,450

Erie County Industrial Development Agency (The), Our Lady Victory Corp. Series 2007A, Rev., VRDO, LOC: HSBC Bank USA NA, 0.05%, 9/8/2021 (b)		2,755		2,755

Hancock Central School District GO, BAN, 1.00%, 7/21/2022		4,331		4,362

Hastings-On-Hudson Union Free School District GO, BAN, 1.50%, 3/4/2022		7,500		7,553

Metropolitan Transportation Authority

Subseries 2005D-2, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.01%, 9/1/2021 (b)		340		340

Subseries E-3, Rev., VRDO, LOC: Bank of America NA, 0.01%, 9/1/2021 (b)		420		420

Series 2012G-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		400		400

Metropolitan Transportation Authority, Dedicated Tax Fund

Series 2008A-1, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)		5,620		5,620

Series 2008B-3C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)		15,120		15,120

Nassau County Industrial Development Agency, Clinton Plaza Senior Housing Project Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		6,000		6,000

New York City Housing Development Corp., Multi-Family Mortgage, Susan’s Court Series 2007A, Rev., VRDO, LOC: Citibank NA, 0.06%, 9/8/2021 (b)		10,000		10,000

New York City Housing Development Corp., Multi-Family Mortgage, West 26th Street Development Series 2011B, Rev., VRDO, 0.02%, 9/8/2021 (b)		200		200

New York City Housing Development Corp., Multi-Family Rent Housing Series A, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		500		500

New York City Housing Development Corp., Multi-Family, 1090 Franklin Avenue Apartments Series 2005A, Rev., VRDO, LOC: Citibank NA, 0.06%, 9/8/2021 (b)		2,320		2,320

New York City Housing Development Corp., West 26th Street Development Series A, Rev., VRDO, LIQ: FHLMC, 0.02%, 9/8/2021 (b)		1,575		1,575


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Subseries A-4, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)		300		300

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2011 Subseries 2011A-4, Rev., VRDO, LIQ: Barclays Bank plc, 0.01%, 9/1/2021 (b)		2,550		2,550

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 Subseries C-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		25,800		25,800

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 Subseries A-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		160		160

New York City Water and Sewer System, Fiscal Year 2003 Subseries F-1-A, Rev., VRDO, LIQ: Barclays Bank plc, 0.02%, 9/8/2021 (b)		6,695		6,695

New York City Water and Sewer System, Fiscal Year 2012

Subseries A-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		925		925

Subseries A-2, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		1,815		1,815

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2007 Series CC-1, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.03%, 9/8/2021 (b)		615		615

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2014 Series AA, Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		13,195		13,195

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015

Series BB, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)		7,825		7,825

Series 2015BB-3, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		200		200

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2017 Subseries BB-3, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)		350		350

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2021 Series EE, Subseries EE-1, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)		600		600

New York State Dormitory Authority, Catholic Health System Series 2019B, Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 0.07%, 9/8/2021 (b)		18,000		18,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

New York State Dormitory Authority, City University System, CONS Fifth General Resolution Series 2008D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)		290		290

New York State Dormitory Authority, Columbia University

Series 2003 B, Rev., VRDO, 0.01%, 9/8/2021 (b)		350		350

Series 2012A, Rev., 5.00%, 10/1/2021		770		773

New York State Dormitory Authority, Cornell University Series 2019B, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)		7,550		7,550

New York State Dormitory Authority, Fordham University Series A-2, Rev., VRDO, LOC: Bank of America NA, 0.01%, 9/8/2021 (b)		250		250

New York State Dormitory Authority, Highland Community Development Corp. Series 1994B, Rev., VRDO, LOC: HSBC Bank USA NA, 0.03%, 9/8/2021 (b)		1,740		1,740

New York State Dormitory Authority, Royal Charter Properties Series A, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		195		195

New York State Dormitory Authority, Teresian House Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 0.07%, 9/8/2021 (b)		11,695		11,695

New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project

Subseries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.02%, 9/8/2021 (b)		2,700		2,700

Series 2010A-1, Rev., VRDO, LOC: The Bank of Nova Scotia, 0.03%, 9/8/2021 (b)		400		400

Series 2010A-3, Rev., VRDO, LOC: The Bank of Nova Scotia, 0.03%, 9/8/2021 (b)		3,700		3,700

Subseries C-2, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.03%, 9/8/2021 (b)		13,800		13,800

New York State Housing Finance Agency Series 2008-A, Rev., VRDO, LIQ: FHLMC, 0.06%, 9/8/2021 (b)		2,900		2,900

New York State Housing Finance Agency, 10 Barclay Street Series A, Rev., VRDO, LOC: FNMA, 0.01%, 9/8/2021 (b)		300		300

New York State Housing Finance Agency, 29 Flatbush Avenue Housing

Series 2010A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.02%, 9/8/2021 (b)		360		360

Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.02%, 9/8/2021 (b)		165		165


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

New York State Housing Finance Agency, 330 West 39th Street Housing Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.02%, 9/8/2021 (b)		300		300

New York State Housing Finance Agency, 42nd and 10th Associates LLC

Series 2008A, Rev., VRDO, AMT, LIQ: FHLMC, 0.02%, 9/8/2021 (b)		400		400

Series 2010A, Rev., VRDO, AMT, LOC: FHLMC, 0.02%, 9/8/2021 (b)		3,950		3,950

Series 2007A, Rev., VRDO, AMT, LIQ: FHLMC, 0.03%, 9/8/2021 (b)		750		750

New York State Housing Finance Agency, 435 East 13th Street Housing Series 2016A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.02%, 9/8/2021 (b)		520		520

New York State Housing Finance Agency, 600 West 42nd Street Housing Rev., VRDO, AMT, LOC: FNMA, 0.04%, 9/8/2021 (b)		2,160		2,160

New York State Housing Finance Agency, Clarkstown Maplewood Gardens Series 2009A, Rev., VRDO, LOC: FHLMC, 0.03%, 9/8/2021 (b)		1,160		1,160

New York State Housing Finance Agency, Clinton Park Housing Series 2010A, Rev., VRDO, LIQ: FHLMC, 0.02%, 9/8/2021 (b)		585		585

New York State Housing Finance Agency, Historic Front Street Series 2003A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.03%, 9/8/2021 (b)		2,650		2,650

New York State Housing Finance Agency, Housing College Arms Apartments Series 2008A, Rev., VRDO, LIQ: FHLMC, 0.02%, 9/8/2021 (b)		325		325

New York State Housing Finance Agency, Liberty Street Realty LLC Series 2003 A, Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)		300		300

New York State Housing Finance Agency, Maiden Lane Properties LLC Series 2004A, Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)		500		500

New York State Housing Finance Agency, Saxony Housing Series A, Rev., VRDO, AMT, LOC: FNMA, 0.06%, 9/8/2021 (b)		17,100		17,100

New York State Housing Finance Agency, Tribeca Green Housing Series 2003A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.04%, 9/8/2021 (b)		8,895		8,895

New York State Housing Finance Agency, West 23rd Street Housing Series 2002A, Rev., VRDO, LOC: FNMA, 0.05%, 9/8/2021 (b)		5,000		5,000


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Onondaga County Industrial Development Agency, Civic Facility, Syracuse Home Association Project Rev., VRDO, LOC: HSBC Bank USA NA, 0.06%, 9/8/2021 (b)		3,850		3,850

RBC Municipal Products, Inc. Trust, Floater Certificates (Canada)

Series 2018-G5, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		6,000		6,000

Series E-137, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		12,800		12,800

Tender Option Bond Trust Receipts/Certificates

Series E-118, GO, VRDO, 0.03%, 9/1/2021 (b)		6,600		6,600

Series 2018-XF2646, Rev., VRDO, 0.04%, 9/8/2021 (b)		1,340		1,340

Series 2020-ZF2918, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b) (c)		2,430		2,430

Series 2020-ZF2919, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b) (c)		2,500		2,500

Series 2021-XL0164, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b) (c)		4,335		4,335

Series 2021-XL0169, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)		2,905		2,905

Series 2021-XM0939, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.04%, 9/8/2021 (b) (c)		6,400		6,400

Series 2016-ZM0129, Rev., VRDO, 0.05%, 9/8/2021 (b)		4,240		4,240

Series 2017-ZM0544, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		2,220		2,220

Series 2018-XF0635, Rev., VRDO, LIQ: TD Bank NA, 0.05%, 9/8/2021 (b) (c)		6,185		6,185

Series 2018-XF2656, Rev., VRDO, 0.05%, 9/8/2021 (b)		800		800

Series 2018-XM0692, Rev., VRDO, 0.05%, 9/8/2021 (b)		8,000		8,000

Series 2018-ZF2740, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		2,600		2,600

Series 2018-ZM0661, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Series 2018-ZM0682, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,000		5,000

Series 2019-XF0829, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		4,015		4,015

Series 2019-XF0838, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		1,600		1,600


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — continued

New York — continued

Series 2019-XF0847, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b)		5,075		5,075

Series 2019-XF0858, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		4,200		4,200

Series 2019-ZF0832, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		945		945

Series 2020-XF0947, Rev., VRDO, LIQ: TD Bank NA, 0.05%, 9/8/2021 (b) (c)		9,250		9,250

Series 2020-XG0272, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		5,340		5,340

Series 2020-XG0276, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		12,955		12,955

Series 2020-XG0277, Rev., VRDO, AGM, LOC: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		15,860		15,860

Series 2020-XM0852, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		13,500		13,500

Series 2020-ZF0929, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b) (c)		5,655		5,655

Series 2020-ZM0807, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)		5,950		5,950

Series 2021-XF2935, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)		14,605		14,605

Series 2021-XL0184, GO, VRDO, LIQ: Wells Fargo Bank NA, 0.05%, 9/8/2021 (b) (c)		4,000		4,000

Series 2021-ZF1217, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)		3,590		3,590

Series 2016-ZF0464, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)		15,000		15,000

Series 2017-XF2481, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,160		2,160

Series 2020-XF2910, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		7,730		7,730

Series 2020-XF2914, Rev., VRDO, BAN, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		22,640		22,640

Series 2020-XL0153, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		2,500		2,500

Series 2020-XX1127, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)		5,220		5,220

Town of Greece GO, BAN, 1.50%, 10/15/2021		1,000		1,001

Town of Riverhead Series 2021A, GO, BAN, 1.00%, 8/17/2022		2,900		2,921

Town of Sweden GO, BAN, 1.00%, 12/29/2021		2,000		2,005

Town of Vestal Series 2021A, GO, BAN, 1.00%, 5/6/2022		8,430		8,474


INVESTMENTS (a)	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — continued

Triborough Bridge and Tunnel Authority

Series 2002F, Rev., VRDO, LOC: Citibank NA, 0.01%, 9/1/2021 (b)		995		995

Subseries 2005B-4C, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/1/2021 (b)		11,605		11,605

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

Series 2001C, Rev., VRDO, LOC: State Street Bank & Trust, 0.01%, 9/1/2021 (b)		5,400		5,400

Series 2003 B-1, Rev., VRDO, LOC: Bank of America NA, 0.01%, 9/1/2021 (b)		6,030		6,030

Series 2005A, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/8/2021 (b)		850		850

Union Springs Central School District GO, BAN, 0.75%, 4/29/2022		4,220		4,224

Victor Central School District Series 2020B, GO, BAN, 1.25%, 9/17/2021		2,560		2,561

Village of Hamburg GO, BAN, 1.00%, 7/21/2022		6,800		6,848

Village of Kings Point, Various Purpose GO, BAN, 1.00%, 7/22/2022		3,410		3,434

Village of Pelham Series 2020A, GO, BAN, 1.25%, 9/17/2021		1,506		1,506

Village of Springville GO, BAN, 1.25%, 11/23/2021		2,000		2,003

Webutuck Central School District GO, BAN, 1.00%, 6/23/2022		4,825		4,855


Total Municipal Bonds (Cost $620,082)				620,082


	SHARES (000)
Variable Rate Demand Preferred Shares — 12.5%

New York — 12.5%

BlackRock MuniYield New York Quality Fund, Inc. Series W7-2477, LIQ: TD Bank NA, 0.10%, 9/8/2021 #(c)		40,000		40,000

Nuveen New York AMT-Free Quality Municipal Income Fund Series 3, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 #(c)		28,200		28,200

Nuveen New York Quality Municipal Income Fund Series 1, LIQ: TD Bank NA, 0.10%, 9/8/2021 #(c)		20,500		20,500


Total Variable Rate Demand Preferred Shares (Cost $88,700)				88,700

Total Investments — 99.9% (Cost $708,782) *				708,782
Other Assets Less Liabilities — 0.1%				395

NET ASSETS — 100.0%				709,177

Percentages indicated are based on net assets.

Abbreviations


AGM		Insured by Assured Guaranty Municipal Corp.
AMT		Alternative Minimum Tax
BAN		Bond Anticipation Note
CONS		Consolidated Bonds
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GO		General Obligation
LIQ		Liquidity Agreement
LOC		Letter of Credit
MTA		Metropolitan Transportation Authority
Rev.		Revenue
TAN		Tax Anticipation Note
VRDO		Variable Rate Demand Obligation

(a)		The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(c)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
#		Variable Rate Demand Preferred Shares of a closed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of August 31, 2021.
*		The cost of securities is substantially the same for federal income tax purposes.

The following are 12 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

The investment objective of JPMorgan Prime Money Market Fund (“Prime Money Market Fund”) and JPMorgan Securities Lending Money Market Fund (“Securities Lending Money Market Fund”) is to seek current income while seeking to maintain liquidity and a low volatility of principal.

The investment objective of JPMorgan Institutional Tax Free Money Market Fund (“Institutional Tax Free Money Market Fund”) is to aim to provide current income, while seeking to maintain liquidity and a low volatility of principal.

The investment objective of JPMorgan Liquid Assets Money Market Fund (“Liquid Assets Money Market Fund”) and JPMorgan U.S. Treasury Plus Money Market Fund (“U.S. Treasury Plus Money Market Fund”) is to seek current income with liquidity and stability of principal.

The investment objective of JPMorgan U.S. Government Money Market Fund (“U.S. Government Money Market Fund”) is to seek high current income with liquidity and stability of principal.

The investment objective of JPMorgan Federal Money Market Fund (“Federal Money Market Fund”) is to aim to provide current income while still preserving capital and maintaining liquidity.

The investment objective of JPMorgan 100% U.S. Treasury Securities Money Market Fund (“100% U.S. Treasury Securities Money Market Fund”) is to aim to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal.

The investment objective of JPMorgan Tax Free Money Market Fund (“Tax Free Money Market Fund”) is to aim to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity.

The investment objective of JPMorgan Municipal Money Market Fund (“Municipal Money Market Fund”) is to seek as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal.

The investment objective of JPMorgan California Municipal Money Market Fund (“California Municipal Money Market Fund”) is to aim to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity.

The investment objective of JPMorgan New York Municipal Money Market Fund (“New York Municipal Money Market Fund”) is to aim to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity.

Liquid Assets Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund seek to qualify as retail money market funds in accordance with criteria established by the Securities and Exchange Commission (“SEC”). Under applicable SEC rules, these Funds are ordinarily permitted to utilize amortized cost accounting to value their portfolio securities and transact at a stable $1.00 share price. These Funds have adopted policies and procedures that allow the Boards of Trustees of the Trusts (the “Boards”) to impose a liquidity fee and/or redemption gate in the event that their weekly liquid assets fall below a designated threshold.

Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund do not seek to qualify as a retail or government money market fund and transact utilizing a floating net asset value (“NAV”) calculated to four decimal places. The Funds have adopted policies and procedures that allow the Boards to impose a liquidity fee and/or redemption gate in the event that their weekly liquid assets fall below a designated threshold.

U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund, Federal Money Market Fund and 100% U.S. Treasury Securities Money Market Fund seek to qualify as government money market funds in accordance with criteria established by the SEC. Under applicable SEC rules, these Funds are ordinarily permitted to utilize amortized cost accounting to value their portfolio securities and transact at a stable $1.00 share price.

Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to the Academy, Agency, Agency SL, Capital, E*Trade, Empower, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares. Effective October 1, 2020, Class C Shares automatically convert to Morgan Shares after eight years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards, which established the following approach to valuation, as described more fully below: securities and other debt instruments held by money market funds pursuant to Rule 2a-7 under the 1940 Act shall be valued using the amortized cost method provided that certain conditions are met, with the exception of the Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund.

The amortized cost method of valuation involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price each Fund would receive if it sold the security. The market value of securities in the Funds can generally be expected to vary inversely with changes in prevailing interest rates.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. This includes also monitoring on a daily basis that the amortized cost valuation method fairly reflects the market-based net asset value (“NAV”) of the Funds. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.

For Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund, fixed income instruments for which market quotations are not readily available are fair valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities

and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, certain money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as level 2.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):

As of August 31, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. Repurchase Agreements — Prime Money Market Fund, Securities Lending Money Market Fund, Liquid Assets Money Market Fund, U.S.

Government Money Market Fund and U.S. Treasury Plus Money Market Fund may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, or in segregated accounts maintained by an unaffiliated third-party custodian. Prime Money Market Fund, Securities Lending Money Market Fund, Liquid Assets Money Market Fund, U.S. Government Money Market Fund and U.S. Treasury Plus Money Market Fund or their affiliates may transfer uninvested cash into joint accounts, which are utilized by multiple accounts or funds managed by the Adviser or its affiliates, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties and collateral (collateral may also be held overnight in segregated custodial sub-accounts established in the name of each participating Fund).

The Funds’ repurchase agreements are not subject to master netting arrangements.

D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — Tax Free Money Market Fund, Municipal Money Market Fund and California Municipal Money Market Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.

Tax Free Money Market Fund, Municipal Money Market Fund and California Municipal Money Market Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2021 are detailed on the SOIs.

E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.

F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended August 31, 2021 are as follows:

G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared daily and paid monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.

I. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.08% of each Fund’s respective average daily net assets.

The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.07% of the first $150 billion of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex covered by the Administration Agreement, plus 0.05% of the average daily net assets between $150 billion and $300 billion, plus 0.03% of the average daily net assets between $300 billion and $400 billion, plus 0.01% of the average daily net assets in excess of $400 billion. For the six months ended August 31, 2021, the effective annualized rate was 0.07% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class C, E*Trade, Morgan, Reserve and Service Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Academy, Agency, Agency SL, Capital, Empower, IM, Institutional Class, Investor and Premier Shares of the Funds do not participate in the Distribution Plan. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

In addition, JPMDS is entitled to receive the CDSC from redemptions of Class C Shares. For the six months ended August 31, 2021, JPMDS retained the following:

D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Agency SL and IM Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and JPMDS have contractually agreed to waive fees and/or reimburse the Funds, except IM Shares of Prime Money Market Fund, U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund and 100% U.S. Treasury Securities Money Market Fund, to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

The expense limitation agreements were in effect for the six months ended August 31, 2021 and the contractual expense limitation percentages in the table above are in place until at least June 30, 2022. In addition, the Funds’ service providers have voluntarily waived fees during the six months ended August 31, 2021. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.

Certain Funds earn interest on certain uninvested cash balances held at the custodian, which is included in the Interest income from affiliates on the Statements of Operations.

The SEC has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.

The Funds are permitted to effect purchase and sale transactions with affiliated Funds under procedures adopted by the Boards. The procedures have been designed to seek to ensure that any such security transaction complies with certain conditions of Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. Pursuant to these procedures, for the six months ended August 31, 2021, the Funds below engaged in such transactions in the following amounts:

The Funds’ class specific gross expenses for the six months ended August 31, 2021 were as follows:

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2021 were as follows:

Estimated tax cost and unrealized appreciation (depreciation) in value of investments for Funds not listed equals their books cost and unrealized appreciation (depreciation) in value of investments.

At February 28, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:

During the year ended February 28, 2021, the following Funds utilized capital loss carryforwards as follows:

As of August 31, 2021, the Funds had no outstanding loans to another fund. Average loans made to another fund under the Facility for the six months ended August 31, 2021, were as follows:

Interest earned as a result of lending money to another fund for the six months ended August 31, 2021, if any, is included in Income from interfund lending (net) on the Statements of Operations.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2021.

As of August 31, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:

Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.

Securities Lending Money Market Fund’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Funds’ yield (and total return) also may be low or the Funds may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.

Institutional Tax Free Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund invest primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. California Municipal Money Market Fund and New York Municipal Money Market Fund primarily invest in issuers in the states of California and New York, respectively. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Funds’ ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

Institutional Tax Free Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund invest in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.

The profitability of banks depends largely on the availability and cost of funds, which can change depending upon economic conditions. Banks are also exposed to losses if borrowers cannot repay their loans.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

If shareholder approval is obtained for all of the J.P. Morgan Funds, this will result in a unified board structure across all of the J.P. Morgan Funds.

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, March 1, 2021, and continued to hold your shares at the end of the reporting period, August 31, 2021.

Actual Expenses

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (“independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar, Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk/ and performance return assessment as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in

executive sessions with independent legal counsel at which no representatives of the Adviser were present.

Nature, Extent and Quality of Services Provided by the Adviser

Costs of Services Provided and Profitability to the Adviser and its Affiliates

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from its inception, prior to reaching scale. The Trustees also noted that other Funds which had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain satisfactory relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of a Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Funds’ shareholders benefited from lower average expenses resulting from increased

assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior Officer

The Trustees noted that, upon their direction, the Senior Officer for the Prime Money Market Fund, Liquid Assets Money Market Fund, U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund, 100% U.S. Treasury Securities Money Market Fund and Municipal Money Market Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and

Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative share classes to assist the Trustees in their review. As part of this review, the Trustees also considered the performance information provided for the Funds at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative share classes are summarized below:

The Trustees noted that the Prime Money Market Fund’s performance for the Institutional shares was in the first quintile, based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Morgan shares was in the first quintile based upon the Peer Group, and in the third quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Institutional Tax Free Money Market Fund’s performance for the Institutional shares was in the first quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Securities Lending Money Market Fund’s performance for the Agency SL shares was in the first quintile, based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the performance was satisfactory.

The Trustees noted that the Liquid Assets Money Market Fund’s performance for the Institutional shares was in the first quintile, based upon both the Peer Group and the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Morgan shares was in the first quintile based upon the Peer Group, and in the fourth quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and

various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the U.S. Government Money Market Fund’s performance for the Institutional shares was in the first quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2020, and in the second, first and first quintiles based upon the Universe for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for the Morgan shares was in the first quintile based upon the Peer Group, and in the fourth quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Service shares was in the fifth quintile, based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the U.S. Treasury Plus Money Market Fund’s performance for the Institutional shares was in the first quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2020, and in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for the Morgan shares was in the second quintile based upon the Peer Group, and in the fourth quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2019. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Federal Money Market Fund’s performance for the Institutional shares was in the first quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2020, and in the second, second and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for the Morgan shares was in the first and fourth quintiles based upon the Peer Group and Universe, respectively, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the 100% U.S. Treasury Securities Money Market Fund’s performance for the Institutional shares

was in the second, second and first quintiles based upon the Peer Group for the one-, three- and five-year periods ended December 31, 2020, respectively, and in the second quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Morgan shares was in the second and fourth quintiles based upon the Peer Group and Universe, respectively, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Tax Free Money Market Fund’s performance for the Institutional shares was in the first, third and second quintiles based upon the Peer Group, and in the first, first and second quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for the Morgan shares was in the first quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2020, and in the fourth, fifth and fourth quintiles based upon the Universe for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the Municipal Money Market Fund’s performance for the Institutional shares was in the first quintile, based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Morgan shares was in the first and fourth quintiles based upon the Peer Group and Universe, respectively, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for the Service shares was in the fifth quintile, based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the California Municipal Money Market Fund’s performance for Morgan shares was in the fifth quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for Service shares was in the fifth quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the

Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

The Trustees noted that the New York Municipal Money Market Fund’s performance for Morgan shares was in the fourth quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for Service shares was in the fifth quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was satisfactory, under the circumstances.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each share class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative share classes are summarized below:

The Trustees noted that the Prime Money Market Fund’s net advisory fee for the Institutional shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Institutional shares were in the third quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Morgan shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for the Morgan shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Institutional Tax Free Money Market Fund’s net advisory fee for the Institutional shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Institutional shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Securities Lending Money Market Fund’s net advisory fee and actual total expenses for the Agency SL shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Liquid Assets Money Market Fund’s net advisory fee for the Institutional shares was in the third quintile based upon both the Peer Group and Universe, and the actual total expenses for the Institutional shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Morgan shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for the Morgan shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Government Money Market Fund’s net advisory fee for Institutional shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Institutional shares were also in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Morgan shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for the Morgan shares were in the third quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Service shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Service shares were in the fifth quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Treasury Plus Money Market Fund’s net advisory fee and actual total expenses for the Institutional shares were both in the second quintile based upon both the Peer Group and Universe. The Trustees noted

that the net advisory fee for the Morgan shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Morgan shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Federal Money Market Fund’s net advisory fee for the Institutional shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for the Institutional shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Morgan shares was in the fourth and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Morgan shares were in the third quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the 100% U.S. Treasury Securities Money Market Fund’s net advisory fee for the Institutional shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Institutional shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Morgan shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Morgan shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Tax Free Money Market Fund’s net advisory fee for Institutional shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Institutional shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Morgan shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and the

actual total expenses for the Morgan shares were in the third quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Municipal Money Market Fund’s net advisory fee for the Institutional shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and the actual total expenses for the Institutional shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Morgan shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Morgan shares were in the fourth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Service shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for the Service shares were in the fifth quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the California Municipal Money Market Fund’s net advisory fee and actual total expenses for Morgan shares were in the second and third quintiles, respectively, based upon the Universe. The Trustees noted that the net advisory fee and actual total expenses for Service shares were in the second and fifth quintiles, respectively, based upon the Universe. After considering the factors identified above, the Trustees concluded that the advisory was satisfactory in light of the services provided to the Fund.

The Trustees noted that the New York Municipal Money Market Fund’s net advisory fee and actual total expenses for Morgan shares were both in the third quintile based upon the Universe. The Trustees noted that the net advisory fee and actual total expenses for the Service shares were in the third and fifth quintiles, respectively, based upon the Universe. After considering the factors identified above, the Trustees concluded that the advisory was satisfactory in light of the services provided to the Fund.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its portfolio holdings with the SEC each month on Form N-MFP. The Funds’ Form N-MFP reports are available on the SEC’s website at http://www.sec.gov. Each Fund’s monthly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

Dear Shareholders,

While the U.S. Federal Reserve (the “Fed”) has acknowledged that the spread of the delta variant of COVID-19 weighed on

Sincerely yours,

LOGO

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

Bond markets generally underperformed equity markets during the period amid continued low interest rates and investor demand for higher returns on investments. Within global fixed income markets, high yield bonds (also called “junk bonds”), emerging markets debt and lower quality investment grade bonds largely outperformed higher quality investment grade corporate bonds, U.S. Treasury bonds and other sovereign debt.

Throughout the period, the U.S. Federal Reserve (the “Fed”) held interest rates at historic lows and maintained the pace of its monthly $120 billion combined asset purchasing programs. However, the Fed said at its July 2021 meeting that it could begin tapering its bond buying by calendar year-end, but that it did not plan to raise interest rates by then. In late August, Fed Chairman Jerome Powell noted that the rate of inflation had increased but reiterated the Fed’s view that inflationary pressures should be temporary.

The Bank of England responded to rising domestic inflation by outlining its plan to eventually withdraw policy support for the economy. Amid a relatively sluggish economic rebound in the European Union, the European Central Bank pledged in July to hold interest rates at record lows for the time being. Notably, South Korea became the first Asian country to raise its interest rates - by 0.25% to 0.75% - amid rising inflation there.

While the global economic reopening continued over the period, the persistence of the pandemic and the emergence of new variants of COVID-19 slowed the pace of growth somewhat and put further strain on the global supply chain.

For the six months ended August 31, 2021, the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index) returned 1.49% and the Bloomberg U.S. High Yield Index (formerly Bloomberg Barclays U.S. High Yield Index) returned 3.82%.

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selection in agency residential mortgage-backed securities and agency commercial mortgage-backed securities was a leading contributor to performance. The Fund’s allocation to securitized credit, including non-agency mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities, also contributed to relative performance. Within corporate credit, the Fund’s security selection in the financials and industrials sectors also helped relative performance.

The Fund’s shorter duration and underweight allocation to longer maturity bonds was a leading detractor from relative performance as interest rates fell during the period. Generally, bonds with shorter duration will experience a smaller increase in prices compared with longer duration bonds when interest rates fall.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing

discrepancies between individual securities or market sectors. The portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. Relative to the Benchmark, at the end of the period, the Fund was underweight in U.S. Treasury securities and overweight in commercial mortgage-backed securities and agency mortgages.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		28.3	%
U.S. Treasury Obligations		23.7
Mortgage-Backed Securities		15.2
Collateralized Mortgage Obligations		10.0
Asset-Backed Securities		9.1
Commercial Mortgage-Backed Securities		6.6
Others (each less than 1.0%)		1.4
Short-Term Investments		5.7

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns shown for Class R3 and Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3 and Class R4 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Core Bond Fund and the Bloomberg U.S. Aggregate Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, tax-

able, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Core Plus Bond Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s overweight allocations to high yield corporate credit and securitized credit, including to asset-backed securities, commercial mortgage-backed securities and non-agency residential mortgage-backed securities, were leading contributors to performance amid robust U.S. economic growth and supportive monetary policies across the globe.

The Fund’s shorter duration position was the leading detractor from relative performance as interest rated fell during the period. Generally, bonds with shorter duration will experience a smaller increase in price as interest rates fall, relative to bonds with longer duration.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to take advantage of pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up research to construct, in their view, a portfolio of undervalued fixed income securities. The managers employed a macro-economic analysis to determine asset allocation and positioning on the yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

During the period, the Fund’s managers increased the Fund’s overall duration to 5.91 years at August 31, 2021 from 5.76 years at February 28, 2021.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		34.4	%
Mortgage-Backed Securities		14.1
Asset-Backed Securities		13.5
U.S. Treasury Obligations		12.9
Commercial Mortgage-Backed Securities		10.9
Collateralized Mortgage Obligations		5.4
Others (each less than 1.0%)		1.9
Short-Term Investments		6.9

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns shown for Class R3, Class R4 and Class R5 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3, Class R4 and Class R5 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Core Plus Bond Fund and the Bloomberg U.S. Aggregate Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable,

and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Floating Rate Income Fund (the “Fund”) seeks to provide current income with a secondary objective of capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class I Shares outperformed both the Credit Suisse Leveraged Loan Index (the “Loan Index”) and the Bloomberg U.S Aggregate Index for the six months ended August 31, 2021.

While the Fund invests mostly in loan assignments, the Fund’s security selection in the retail and media sectors were the leading contributors to the Fund’s outperformance. The Fund’s security selection in bonds rated BB and higher and its overweight allocation to unrated bonds also contributed to relative performance.

The Fund’s security selection in the consumer products and technology sectors were the leading detractors from relative performance during the period. The Fund’s bias toward higher quality and more liquid issues also detracted from performance amid investor demand for smaller loan issues.

Relative to the Bloomberg U.S. Aggregate Index, which does not hold loan assignments, the Fund’s allocation to loan assignments contributed to performance due to their higher coupon.

HOW WAS THE FUND POSITIONED?

Relative to the Loan Index during the period, the Fund was overweight in securities and loan assignments rated BB and higher and was underweight in securities and loan assignments rated single B and CCC. Additionally, the Fund was overweight the media/telecommunications, retailers and utilities sectors and was underweight in the financials, technology and aerospace sectors.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Loan Assignments		81.7	%
Corporate Bonds		7.7
Common Stocks		1.2
Others (each less than 1.0%)		0.9
Short-Term Investments		8.5

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in the Class I Shares of JPMorgan Floating Rate Income Fund, the Credit Suisse Leveraged Loan Index and the Bloomberg U.S. Aggregate Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Credit Suisse Leveraged Loan Index and the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the indices, if applicable. The Credit Suisse Leveraged Loan Index is an unmanaged market value-weighted

index designed to represent the investable universe of the U.S. dollar-denominated leveraged loan market. The index reflects reinvestment of all distributions and changes in market prices. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.

INVESTMENT OBJECTIVE**

The JPMorgan Government Bond Fund (the “Fund”) seeks a high level of current income with liquidity and safety of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares underperformed the Bloomberg U.S. Government Bond Index (“Benchmark”).

Relative to the Benchmark, the Fund’s shorter duration and underweight position in longer maturity bonds were leading detractors from performance as interest rates fell during the period. Generally, bonds of shorter duration will experience a smaller increase in price compared with longer duration bonds when interest rates fall.

The Fund’s allocation to agency commercial mortgage-backed securities was a leading contributor to relative performance. The Fund’s small allocation to U.S. Treasury Inflation Protected Securities also helped performance amid investor expectations for rising inflation during the period.

HOW WAS THE FUND POSITIONED?

During the period, the portfolio managers focused on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
U.S. Treasury Obligations		30.8	%
Mortgage-Backed Securities		24.3
Collateralized Mortgage Obligations		20.9
Commercial Mortgage-Backed Securities		13.1
U.S. Government Agency Securities		4.3
Asset-Backed Securities		1.1
Short-Term Investments		5.5

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns shown for Class R3, Class R4 and Class R6 Shares prior to their inception are based on the performance of Class I Shares, the original class offered. Prior performance of Class R3 and Class R4 Shares have been adjusted to reflect the differences in expenses between classes. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Government Bond Fund and the Bloomberg U.S. Government Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Government Bond Index does not include expenses or a sales charge associated with a mutual fund and has been adjusted to reflect

reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. Government Bond Index is an unmanaged index composed of securities issued by the U.S. Government. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan High Yield Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of debt securities which are rated below investment grade or unrated. Capital appreciation is a secondary objective.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selection in the energy, transportation services and technology sectors were leading contributors to performance, while the Fund’s overweight position in the cable/satellite TV sector and its security selection in the food/beverage and aerospace/defense sectors were leading detractors from performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers sought to take specific, targeted credit risks based on the portfolio managers’ analysis of favorable risk/reward opportunities while continuing to build a core portfolio of improving below-investment-grade investments.

During the period, the Fund remained overweight in more defensive sectors, including the cable/satellite TV, pharmaceuticals and health care sectors during the period and was underweight in the food/beverage, financial and electric utilities sectors. The Fund was shorter in duration during the period, as the Fund’s portfolio managers found better relative value in the shorter end of yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		86.7	%
Loan Assignments		7.9
Common Stocks		2.9
Others (each less than 1.0%)		1.4
Short-Term Investments		1.1

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective September 14, 2009, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.

Returns shown for Class R3 and Class R4 Shares prior to its inception are based on the performance of Class I Shares, the original class offered. With respect to Class R3 and Class R4 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan High Yield Fund and the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark,

if applicable. The Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Income Fund (the “Fund”) seeks to provide income with a secondary objective of capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund is flexible in its ability to invest in a wide variety of debt securities and financial instruments of any maturity and is not managed to an index. This allows the Fund to shift its allocations based on changing market conditions. For the six months ended August 31, 2021, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Index”).

Relative to the Index, the Fund’s allocation to high yield debt (also known as “junk bonds”), which were not held in the Index, contributed to relative performance. The Fund’s out-of-Index allocation to commercial mortgage-backed securities also contributed to relative performance.

The Fund’s shorter overall duration detracted from relative performance as interest rates fell during the period. Generally, bonds with shorter duration will experience a smaller price increase when interest rates fall relative to longer duration bonds.

During the period, the Fund’s Class I Shares distributed approximately $0.03 per share each month.

HOW WAS THE FUND POSITIONED?

During the period, the Fund invested opportunistically among multiple debt markets and sectors that the portfolio managers believed had a high potential to produce income. The Fund’s managers sought to manage risk through exposure to debt markets that they believed to have low correlations to each other. During the period, the Fund’s managers increased their allocations to commercial mortgage-backed securities, emerging market debt, and high yield bonds. The managers decreased the Fund’s exposure to agency mortgage-backed securities and non-agency mortgage-backed securities. The Fund’s duration decreased to 1.51 years at August 31, 2021 from 2.31 years at February 28, 2021.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		31.7	%
Commercial Mortgage-Backed Securities		28.6
Asset-Backed Securities		15.7
Collateralized Mortgage Obligations		10.5
Foreign Government Securities		4.1
Mortgage-Backed Securities		2.6
Exchange-Traded Funds		2.0
U.S. Treasury Obligations		1.3
Others (each less than 1.0%)		0.7
Short-Term Investments		2.5

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The Fund commenced operations on June 2, 2014.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of JPMorgan Income Fund and the Bloomberg U.S. Aggregate Index from June 2, 2014 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable and dollar denominated. The Index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities,

mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

INVESTMENT OBJECTIVE**

The JPMorgan Inflation Managed Bond Fund (the “Fund”) seeks to maximize inflation protected total return.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares underperformed both the Bloomberg 1-10 Year U.S. TIPS (Treasury Inflation Protected Securities) Index (the “Index”) and the Inflation Managed Bond Composite Benchmark (the “Composite Benchmark”) and outperformed the Bloomberg U.S. Intermediate Aggregate Index.

During the period, the Fund’s shorter relative duration was the primary detractor from performance versus the Index and the Composite Benchmark, as real interest rates (i.e., changes in market interest rates caused by factors other than inflation) fell significantly. Generally, bonds with shorter duration will experience a smaller increase or decrease in price as interest rates fall or rise, respectively, versus bonds with longer duration.

The Fund’s allocation to securitized debt and corporate credit contributed to relative performance versus both the Index and Composite Benchmark, partially offsetting the impact of shorter duration.

During the period, the Fund’s inflation hedge, which included CPI-U swaps and TIPS, contributed to absolute performance.

HOW WAS THE FUND POSITIONED?

Among the Fund’s fixed income holdings, the Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.

The Fund’s portfolio managers sought to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying core bonds was used as the general basis for the Fund’s inflation swap positioning.

The Fund’s portfolio managers manage the duration of the inflation protection versus the duration of the underlying bonds to protect the portfolio from actual, realized inflation, as well as from the loss of value that results from an increase in inflation expectations. The inflation protection was actively managed using CPI-U swaps and TIPS. Generally, the swaps were structured so that a counterparty agrees to pay the cumulative percentage change in the U.S. Consumer Price Index for All Urban Consumers over the duration of the swap. In turn, the Fund pays a compounded fixed rate. U.S. Treasury TIPS adjust the principal of the underlying bond so that it increases with inflation as measured by the U.S. Consumer Price Index of All Urban Consumers and decreases with deflation. At maturity, a TIPS investor is paid either the adjusted or the original principal, whichever is greater.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		35.7	%
U.S. Treasury Obligations		23.3
Commercial Mortgage-Backed Securities		10.3
Mortgage-Backed Securities		9.9
Asset-Backed Securities		8.3
Collateralized Mortgage Obligations		6.0
U.S. Government Agency Securities		1.0
Foreign Government Securities		0.4
Short-Term Investments		5.1

The Fund’s composite benchmark is determined by adding the performance return of the Bloomberg Intermediate Government/Credit Index and 80% of the Bloomberg Inflation Swap 5-year Zero Coupon Index.

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Inflation Managed Bond Fund, the Bloomberg 1–10 Year U.S. TIPS Index, the Bloomberg U.S. Intermediate Aggregate Index and the Inflation Managed Bond Composite Benchmark from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 1–10 Year U.S. TIPS Index and the Bloomberg U.S. Intermediate Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The Bloomberg 1–10 Year U.S. TIPS Index represents the performance of intermediate (1–10 year) U.S. Treasury Inflation Protection Securities. The Bloomberg U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. government, mort-

gage, corporate and asset-backed securities with maturities of one to 10 years. The Inflation Managed Bond Composite Benchmark is determined by adding the Bloomberg Intermediate Government/Credit Index and 80% of the Bloomberg Inflation Swap 5 Year Zero Coupon Index. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Limited Duration Bond Fund (the “Fund”) seeks a high level of current income consistent with low volatility of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg 1 — 3 Year U.S. Government/Credit Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s out-of-Benchmark allocation to securitized credit, including non-agency mortgage-backed securities and commercial mortgage-backed securities, was a leading contributor to performance. The Fund’s underweight allocation to U.S. Treasury securities also contributed to relative performance.

The Fund’s out-of-Benchmark allocation to agency mortgage-backed securities was a leading detractor from relative performance. The Fund’s underweight allocation to corporate credit also detracted from relative performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental

research to construct, in their view, a portfolio of undervalued fixed income securities. While the overall duration of the Benchmark increased as the U.S. government issued more longer-dated Treasury bonds, which the Fund did not invest in, the Fund’s portfolio managers aimed to keep the duration of the Fund at 1.5 years. During the reporting period, the Fund’s duration decreased to 1.57 years at August 31, 2021 from 1.67 years at February 28, 2021.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Asset-Backed Securities		37.0	%
Collateralized Mortgage Obligations		28.0
Corporate Bonds		14.0
Commercial Mortgage-Backed Securities		9.3
Mortgage-Backed Securities		5.8
Short-Term Investments		5.9

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Limited Duration Bond Fund and the Bloomberg 1–3 Year U.S. Government/Credit Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or sales charges associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg 1–3 Year U.S. Government/Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Mortgage-Backed Securities Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg U.S. MBS Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selection in agency mortgage-backed securities, particularly in agency residential mortgage-backed securities, was a leading contributor to performance. The Fund’s allocation to mortgage-related securitized credit, including non-agency mortgage-backed securities and commercial mortgage-backed securities, also contributed to relative performance. The Fund’s small allocation to U.S. Treasury bonds also helped performance.

The Fund’s shorter duration and underweight position in bonds with longer maturities were leading detractors from relative performance as interest rates fell during the period. Generally, bonds with shorter duration will experience a smaller increase in price compared with longer duration bonds when interest rates fall.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Mortgage-Backed Securities		44.7	%
Collateralized Mortgage Obligations		21.6
Asset-Backed Securities		8.0
U.S. Treasury Obligations		7.6
Commercial Mortgage-Backed Securities		7.1
Short-Term Investments		11.0

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

Returns shown for Class C Shares prior to its inception are based on the performance of Class I Shares, the original class offered. Prior Class performance has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mortgage-Backed Securities Fund and the Bloomberg U.S. MBS Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. MBS Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities

included in the benchmark, if applicable. The Bloomberg U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index includes fixed-rate and hybrid adjustable rate mortgage (ARM) pass-through securities. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund’s Class I Shares outperformed the Bloomberg 1–3 Year U.S. Government/Credit Bond Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s overweight allocation and security selection in corporate bonds were leading contributors to performance. The Fund’s underweight allocation to U.S. Treasury bonds and its out-of-Benchmark allocation to asset-backed securities and mortgage-backed securities also contributed to relative performance.

The Fund’s shorter overall duration was the leading detractor from relative performance during the period. Bonds of longer duration generally experience a larger decrease in price as interest rates rise, compared with bonds of shorter duration.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct

what they believed to be a portfolio of undervalued fixed income securities. The Fund had an underweight position in U.S. Treasury bonds, an overweight position in corporate bonds and out-of-Benchmark allocations to mortgage-backed securities and asset-backed securities.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		26.2	%
Asset-Backed Securities		23.4
U.S. Treasury Obligations		23.4
Collateralized Mortgage Obligations		11.2
Commercial Mortgage-Backed Securities		3.8
Mortgage-Backed Securities		2.7
Short-Term Investments		9.3

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Short Duration Bond Fund and the Bloomberg 1–3 Year U.S. Government/Credit Bond Index from August 31, 2011 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg 1–3 Year U.S. Government/Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.

INVESTMENT OBJECTIVE**

The JPMorgan Short Duration Core Plus Fund (the “Fund”) seeks total return, consistent with preservation of capital.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2021, the Fund outperformed the Bloomberg 1-5 Year Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s out-of-Benchmark allocations to high yield bonds (also known as “junk bonds”) and commercial mortgage-backed securities were the leading contributors to performance. The Fund’s shorter duration was the leading detractor from relative performance, as interest rates declined during the period. Generally, bonds with shorter duration will experience a smaller increase in prices compared with longer duration bonds when interest rates fall.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to take advantage of pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up research to construct, in their view, a portfolio of undervalued fixed income securities. The portfolio managers employ a macro-economic analysis to determine asset allocation and positioning on the yield curve.

The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

During the reporting period, the Fund’s portfolio managers increased the Fund’s duration to 2.23 years at August 31, 2021 from 2.20 years at February 28, 2021.


PORTFOLIO COMPOSITION AS OF AUGUST 31, 2021	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		37.5	%
U.S. Treasury Obligations		16.8
Asset-Backed Securities		15.6
Mortgage-Backed Securities		9.0
Commercial Mortgage-Backed Securities		7.4
Collateralized Mortgage Obligations		4.8
Foreign Government Securities		1.4
Others (each less than 1.0%)		0.3
Short-Term Investments		7.2

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective September 29, 2017 (the “Effective Date”), the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund were managed using the current strategies.

The Fund commenced operations on March 1, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Short Duration Core Plus Fund and the Bloomberg 1-5 Year Government/Credit Index from March 1, 2013 to August 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 1-5 Year Government/Credit Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg 1-5 Year

Government/Credit Index includes the Government and Credit portions of the Barclays Aggregate for securities of 1-5 year maturities. The Government portion includes treasuries and agencies. The Credit portion includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. Investors cannot invest directly in an index.

Class I Shares have a $1,000,000 minimum initial investment.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 29.2%

Aerospace & Defense — 1.0%

Airbus SE (France)

3.15%, 4/10/2027 (a)		4,909		5,297

3.95%, 4/10/2047 (a)		1,046		1,198

BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (a)		5,000		5,426

BAE Systems plc (United Kingdom)

1.90%, 2/15/2031 (a)		14,745		14,414

5.80%, 10/11/2041 (a)		2,500		3,474

3.00%, 9/15/2050 (a)		5,645		5,613

Boeing Co. (The)

1.17%, 2/4/2023		11,110		11,118

1.95%, 2/1/2024		15,770		16,170

1.43%, 2/4/2024		36,715		36,796

4.88%, 5/1/2025		9,325		10,424

2.75%, 2/1/2026		15,605		16,310

2.20%, 2/4/2026		22,360		22,444

3.10%, 5/1/2026		9,560		10,141

5.04%, 5/1/2027		9,155		10,554

5.15%, 5/1/2030		14,590		17,262

3.60%, 5/1/2034		5,076		5,376

5.71%, 5/1/2040		12,565		16,272

5.81%, 5/1/2050		14,000		19,015

L3Harris Technologies, Inc.

1.80%, 1/15/2031		14,120		13,790

4.85%, 4/27/2035		1,918		2,433

Leidos, Inc. 2.30%, 2/15/2031		8,020		7,906

Lockheed Martin Corp.

4.50%, 5/15/2036		7,200		9,103

2.80%, 6/15/2050		5,055		5,175

Northrop Grumman Corp.

3.20%, 2/1/2027		5,364		5,863

3.25%, 1/15/2028		1,700		1,858

5.15%, 5/1/2040		13,000		17,187

Precision Castparts Corp. 3.25%, 6/15/2025		5,751		6,243

Raytheon Technologies Corp.

3.20%, 3/15/2024		2,992		3,179

6.70%, 8/1/2028		701		922

6.05%, 6/1/2036		4,095		5,738

4.50%, 6/1/2042		13,927		17,424

4.15%, 5/15/2045		7,861		9,383

3.75%, 11/1/2046		7,060		8,030

4.35%, 4/15/2047		4,020		4,945

2.82%, 9/1/2051		10,000		9,847


				356,330


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Airlines — 0.0% (b)

Continental Airlines Pass-Through Trust

Series 2012-2, Class A Shares, 4.00%, 10/29/2024		13,033		13,776


Automobiles — 0.5%

BMW US Capital LLC (Germany) 2.25%, 9/15/2023 (a)		5,568		5,758

Daimler Finance North America LLC (Germany)

3.35%, 2/22/2023 (a)		5,000		5,210

3.30%, 5/19/2025 (a)		1,200		1,295

General Motors Co. 6.13%, 10/1/2025		8,695		10,255

Hyundai Capital America

1.15%, 11/10/2022 (a)		26,248		26,410

1.80%, 10/15/2025 (a)		8,870		8,980

1.30%, 1/8/2026 (a)		7,365		7,287

1.50%, 6/15/2026 (a)		17,530		17,437

2.38%, 10/15/2027 (a)		9,020		9,228

1.80%, 1/10/2028 (a)		12,950		12,886

Nissan Motor Co. Ltd. (Japan)

4.35%, 9/17/2027 (a)		39,109		43,514

4.81%, 9/17/2030 (a)		13,000		14,726

Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (a)		12,310		12,291


				175,277


Banks — 5.0%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a)		7,879		8,811

(USD Swap Semi 5 Year + 2.20%), 4.40%, 3/27/2028 (c) (d)		12,600		13,211

AIB Group plc (Ireland) 4.75%, 10/12/2023 (a)		20,270		21,891

ANZ New Zealand Int’l Ltd. (New Zealand)

3.45%, 1/21/2028 (a)		2,000		2,232

2.55%, 2/13/2030 (a)		3,050		3,221

ASB Bank Ltd. (New Zealand) 3.75%, 6/14/2023 (a)		1,700		1,801

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a)		1,834		2,073

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.29%), 2.95%, 7/22/2030 (a) (c)		4,560		4,765

Banco Santander SA (Spain)

3.13%, 2/23/2023		5,000		5,190

1.85%, 3/25/2026		20,400		20,730


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

4.38%, 4/12/2028		6,600		7,575

2.75%, 12/3/2030		10,800		10,856

Bank of America Corp.

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)		1,890		1,974

(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (c)		530		562

4.00%, 1/22/2025		18,371		20,078

Series L, 3.95%, 4/21/2025		8,782		9,617

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (c)		1,840		1,959

(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (c)		5,215		5,602

4.45%, 3/3/2026		5,041		5,686

4.25%, 10/22/2026		6,055		6,876

Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c)		6,250		6,319

3.25%, 10/21/2027		9,616		10,491

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c)		10,025		11,112

(ICE LIBOR USD 3 Month + 1.37%), 3.59%, 7/21/2028 (c)		29,628		32,758

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c)		67,324		73,941

(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (c)		26,230		29,595

(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (c)		13,840		14,231

(SOFR + 1.32%), 2.69%, 4/22/2032 (c)		22,915		23,815

(SOFR + 1.93%), 2.68%, 6/19/2041 (c)		84,117		82,876

Bank of Montreal (Canada)

(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028 (c)		6,000		6,417

(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (c)		5,021		5,552

Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a)		6,160		6,587

Barclays plc (United Kingdom)

3.65%, 3/16/2025		15,214		16,486

5.20%, 5/12/2026		3,000		3,446

BNP Paribas SA (France)

3.38%, 1/9/2025 (a)		6,025		6,462

(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c)		6,101		6,280

(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (c)		4,819		4,779


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(SOFR + 1.51%), 3.05%, 1/13/2031 (a) (c)		18,020		19,117

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (a) (c)		19,972		19,646

2.82%, 1/26/2041 (a)		6,028		5,840

BNZ International Funding Ltd. (New Zealand) 3.38%, 3/1/2023 (a)		4,500		4,698

Citigroup, Inc.

3.88%, 3/26/2025		3,077		3,376

(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (c)		6,470		6,896

4.40%, 6/10/2025		13,411		14,919

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (c) (e) (f)		9,407		9,677

(SOFR + 2.84%), 3.11%, 4/8/2026 (c)		28,260		30,222

4.30%, 11/20/2026		6,200		7,037

(SOFR + 0.77%), 1.12%, 1/28/2027 (c)		22,871		22,670

4.45%, 9/29/2027		1,491		1,708

(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c)		12,240		13,631

6.63%, 1/15/2028		3,363		4,357

(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c)		18,453		20,451

(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c)		11,100		12,199

(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c)		6,399		7,256

(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c)		20,900		23,733

(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c)		3,330		3,869

8.13%, 7/15/2039		1,424		2,456

5.30%, 5/6/2044		698		947

Citizens Financial Group, Inc. 2.85%, 7/27/2026		7,670		8,206

Comerica, Inc. 4.00%, 2/1/2029		8,910		10,304

Cooperatieve Rabobank UA (Netherlands)

4.38%, 8/4/2025		7,101		7,938

3.75%, 7/21/2026		8,564		9,473

Credit Agricole SA (France)

4.38%, 3/17/2025 (a)		4,405		4,834

(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c)		15,810		16,183

(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c)		8,688		8,604

2.81%, 1/11/2041 (a)		9,880		9,603


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Danske Bank A/S (Denmark) 2.70%, 3/2/2022 (a)		4,254		4,305

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (c)		35,450		35,630

Discover Bank

3.35%, 2/6/2023		2,185		2,271

4.25%, 3/13/2026		8,109		9,125

Fifth Third Bancorp 3.65%, 1/25/2024		8,495		9,090

HSBC Holdings plc (United Kingdom)

4.25%, 3/14/2024		6,038		6,512

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c)		12,403		13,113

4.25%, 8/18/2025		4,932		5,456

(SOFR + 1.54%), 1.64%, 4/18/2026 (c)		2,400		2,430

4.38%, 11/23/2026		3,162		3,556

(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c)		17,888		19,924

(SOFR + 1.73%), 2.01%, 9/22/2028 (c)		25,865		26,109

(SOFR + 1.29%), 2.21%, 8/17/2029 (c)		13,465		13,579

(SOFR + 1.95%), 2.36%, 8/18/2031 (c)		20,470		20,559

7.63%, 5/17/2032		8,416		11,927

6.10%, 1/14/2042		3,835		5,656

Industrial & Commercial Bank of China Ltd. (China) 2.45%, 10/20/2021		6,900		6,923

ING Groep NV (Netherlands)

3.95%, 3/29/2027		2,572		2,894

(SOFR + 1.01%), 1.73%, 4/1/2027 (c)		8,840		8,973

KeyBank NA 3.18%, 5/22/2022		4,225		4,314

KeyCorp 4.15%, 10/29/2025		4,755		5,349

Lloyds Banking Group plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.33%, 6/15/2023 (c)		8,500		8,560

(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (c)		6,788		6,975

4.45%, 5/8/2025		6,285		7,025

4.58%, 12/10/2025		4,700		5,294

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c)		12,150		12,194

4.38%, 3/22/2028		6,745		7,762

Mitsubishi UFJ Financial Group, Inc. (Japan)

3.00%, 2/22/2022		2,713		2,749

2.53%, 9/13/2023		3,463		3,611

2.05%, 7/17/2030		23,420		23,426


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

3.75%, 7/18/2039		10,875		12,504

Mizuho Financial Group, Inc. (Japan)

2.95%, 2/28/2022		1,449		1,468

(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c)		13,350		13,838

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c)		16,739		16,590

3.17%, 9/11/2027		4,000		4,350

(SOFR + 1.57%), 2.87%, 9/13/2030 (c)		11,274		11,944

National Australia Bank Ltd. (Australia)

2.33%, 8/21/2030 (a)		10,430		10,216

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (c)		16,395		17,894

2.65%, 1/14/2041 (a)		4,795		4,620

Natwest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 5/15/2023 (c)		7,306		7,461

3.88%, 9/12/2023		13,165		14,012

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (c)		11,990		12,322

(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c)		2,780		2,968

(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c)		5,845		6,335

4.80%, 4/5/2026		11,867		13,579

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c)		6,508		6,548

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (c)		4,475		4,775

(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c)		2,270		2,670

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c)		10,470		12,079

Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (a)		7,408		7,706

Royal Bank of Canada (Canada) 4.65%, 1/27/2026		5,585		6,380

Santander UK Group Holdings plc (United Kingdom) 3.57%, 1/10/2023		6,200		6,270

(SOFR + 0.79%), 1.09%, 3/15/2025 (c)		1,795		1,800

4.75%, 9/15/2025 (a)		3,707		4,166

(SOFR + 0.99%), 1.67%, 6/14/2027 (c)		14,830		14,879


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Societe Generale SA (France) 5.00%, 1/17/2024 (a)		7,200		7,816

4.25%, 4/14/2025 (a)		25,235		27,408

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c)		8,995		8,947

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c)		7,650		7,665

3.00%, 1/22/2030 (a)		18,435		19,312

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (c)		31,110		31,725

SouthTrust Bank 7.69%, 5/15/2025		2,197		2,659

Standard Chartered plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (a) (c)		10,305		10,454

5.20%, 1/26/2024 (a)		5,291		5,775

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (c)		3,200		3,351

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c)		9,000		9,405

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (c)		13,115		12,996

4.30%, 2/19/2027 (a)		2,493		2,734

(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (a) (c)		2,000		2,228

Sumitomo Mitsui Financial Group, Inc. (Japan)

3.10%, 1/17/2023		9,971		10,350

4.44%, 4/2/2024 (a)		1,246		1,352

1.47%, 7/8/2025		12,865		13,051

2.63%, 7/14/2026		6,102		6,499

3.01%, 10/19/2026		2,517		2,734

3.04%, 7/16/2029		25,422		27,347

SVB Financial Group

Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (c) (e) (f)		28,580		29,652

Truist Financial Corp. 4.00%, 5/1/2025		4,143		4,592

UniCredit SpA (Italy)

3.75%, 4/12/2022 (a)		9,035		9,205

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (a) (c)		14,000		14,259


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c)		10,885		10,894

(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c)		15,000		16,740

(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a) (c)		5,000		6,049

US Bancorp

3.38%, 2/5/2024		3,430		3,658

7.50%, 6/1/2026		1,256		1,612

Series X, 3.15%, 4/27/2027		1,924		2,117

Wells Fargo & Co.

4.10%, 6/3/2026		5,921		6,653

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c)		61,670		66,784

4.30%, 7/22/2027		2,925		3,353

(SOFR + 2.53%), 3.07%, 4/30/2041 (c)		24,960		26,162

5.38%, 11/2/2043		2,755		3,712

4.65%, 11/4/2044		11,097		13,825

4.40%, 6/14/2046		4,816		5,876

4.75%, 12/7/2046		5,184		6,601

Wells Fargo Bank NA 5.85%, 2/1/2037		1,720		2,352

Westpac Banking Corp. (Australia)

(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (c)		5,855		6,509


				1,772,785


Beverages — 0.7%

Anheuser-Busch Cos. LLC (Belgium)

4.70%, 2/1/2036		33,310		41,064

4.90%, 2/1/2046		20,399		26,028

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044		1,460		1,779

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

4.38%, 4/15/2038		13,419		16,014

4.35%, 6/1/2040		16,250		19,489

4.44%, 10/6/2048		28,858		34,854

4.75%, 4/15/2058		9,838		12,508

5.80%, 1/23/2059		605		896

4.60%, 6/1/2060		7,010		8,738

Coca-Cola Femsa SAB de CV (Mexico)

2.75%, 1/22/2030		13,140		13,709

1.85%, 9/1/2032		11,205		10,761

Constellation Brands, Inc.

4.40%, 11/15/2025		4,444		5,006

5.25%, 11/15/2048		3,091		4,182


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Beverages — continued

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		4,484		4,844

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		2,714		3,036

3.43%, 6/15/2027		2,015		2,235

3.20%, 5/1/2030		13,500		14,707

4.99%, 5/25/2038		3,920		4,998

4.42%, 12/15/2046		3,746		4,575

5.09%, 5/25/2048		4,164		5,578


				235,001


Biotechnology — 0.6%

AbbVie, Inc.

3.45%, 3/15/2022		5,743		5,810

2.80%, 3/15/2023		3,954		4,073

3.85%, 6/15/2024		3,041		3,284

3.20%, 11/21/2029		27,601		30,169

4.55%, 3/15/2035		3,881		4,722

4.50%, 5/14/2035		15,614		18,989

4.05%, 11/21/2039		16,908		19,866

4.63%, 10/1/2042		9,850		12,195

4.40%, 11/6/2042		12,902		15,695

4.75%, 3/15/2045		7,000		8,851

4.45%, 5/14/2046		2,145		2,627

4.25%, 11/21/2049		10,194		12,366

Amgen, Inc.

2.20%, 2/21/2027		9,240		9,630

3.15%, 2/21/2040		5,870		6,202

Baxalta, Inc.

3.60%, 6/23/2022		999		1,020

5.25%, 6/23/2045		327		449

Biogen, Inc.

2.25%, 5/1/2030		20,560		20,875

3.15%, 5/1/2050		20,490		20,249

Gilead Sciences, Inc.

1.65%, 10/1/2030		9,165		8,940

2.60%, 10/1/2040		11,110		10,832

2.80%, 10/1/2050		10,760		10,453


				227,297


Building Products — 0.1%

Johnson Controls International plc 3.75%, 12/1/2021		99		99

Masco Corp. 2.00%, 10/1/2030		5,820		5,738

6.50%, 8/15/2032		10,095		13,487

4.50%, 5/15/2047		3,130		3,820


				23,144


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — 2.2%

Bank of New York Mellon Corp. (The)

2.80%, 5/4/2026		1,043		1,125

3.30%, 8/23/2029		1,413		1,573

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a)		3,107		3,937

Blackstone Secured Lending Fund 3.65%, 7/14/2023		13,980		14,599

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		3,664		4,120

4.85%, 3/29/2029		5,160		6,156

4.70%, 9/20/2047		5,253		6,505

Charles Schwab Corp. (The)

3.20%, 3/2/2027		5,710		6,270

3.20%, 1/25/2028		1,270		1,399

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		4,326		4,688

Credit Suisse Group AG (Switzerland)

3.57%, 1/9/2023 (a)		10,753		10,870

3.80%, 6/9/2023		8,035		8,472

(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c)		6,850		7,130

(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (c)		9,320		9,562

(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c)		25,020		24,616

4.28%, 1/9/2028 (a)		12,016		13,434

(ICE LIBOR USD 3 Month + 1.41%), 3.87%, 1/12/2029 (a) (c)		2,991		3,308

(SOFR + 1.73%), 3.09%, 5/14/2032 (a) (c)		14,885		15,526

Daiwa Securities Group, Inc. (Japan) 3.13%, 4/19/2022 (a)		5,276		5,368

Deutsche Bank AG (Germany)

4.25%, 10/14/2021		13,886		13,948

3.30%, 11/16/2022		6,440		6,653

(SOFR + 2.16%), 2.22%, 9/18/2024 (c)		26,205		26,890

(SOFR + 1.87%), 2.13%, 11/24/2026 (c)		13,585		13,880

(SOFR + 1.72%), 3.04%, 5/28/2032 (c)		15,977		16,481

FMR LLC 6.45%, 11/15/2039 (a)		2,242		3,331

Goldman Sachs Group, Inc. (The)

3.50%, 1/23/2025		5,018		5,405

(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c)		13,398		14,345

4.25%, 10/21/2025		10,573		11,799

3.50%, 11/16/2026		23,775		25,882

3.85%, 1/26/2027		18,677		20,649


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

(SOFR + 0.80%), 1.43%, 3/9/2027 (c)		32,000		32,120

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)		47,377		52,623

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c)		16,415		18,794

(SOFR + 1.28%), 2.62%, 4/22/2032 (c)		11,700		12,076

(SOFR + 1.25%), 2.38%, 7/21/2032 (c)		12,855		12,996

6.75%, 10/1/2037		1,435		2,091

(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (c)		4,600		5,383

(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (c)		16,126		19,766

(SOFR + 1.51%), 3.21%, 4/22/2042 (c)		1,000		1,057

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		5,021		5,389

Jefferies Group LLC 6.45%, 6/8/2027		3,725		4,653

Macquarie Bank Ltd. (Australia)

4.00%, 7/29/2025 (a)		6,300		6,993

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (a) (c)		8,095		8,139

Macquarie Group Ltd. (Australia)

(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (c)		6,735		6,713

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c)		22,700		27,095

Morgan Stanley

4.10%, 5/22/2023		9,880		10,472

3.70%, 10/23/2024		12,301		13,399

(SOFR + 1.15%), 2.72%, 7/22/2025 (c)		5,034		5,293

5.00%, 11/24/2025		9,322		10,728

(SOFR + 1.99%), 2.19%, 4/28/2026 (c)		18,815		19,555

3.13%, 7/27/2026		2,254		2,446

4.35%, 9/8/2026		1,640		1,863

3.63%, 1/20/2027		20,745		23,079

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c)		13,333		14,813

(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (c)		7,397		8,262

(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (c)		17,528		20,433

(SOFR + 1.03%), 1.79%, 2/13/2032 (c)		11,200		10,828

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c)		10,600		13,106

(SOFR + 1.49%), 3.22%, 4/22/2042 (c)		9,350		10,023

Nomura Holdings, Inc. (Japan)

2.65%, 1/16/2025		11,898		12,467


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — continued

2.68%, 7/16/2030		12,180		12,432

Northern Trust Corp.

(ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c)		2,762		3,015

UBS Group AG (Switzerland)

3.49%, 5/23/2023 (a)		7,735		7,908

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (c)		2,156		2,206

4.13%, 9/24/2025 (a)		2,500		2,784

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (a) (c)		15,100		15,066

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (c)		17,350		17,328

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c)		6,470		6,994

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (a) (c)		10,750		10,617


				778,926


Chemicals — 0.3%

Air Liquide Finance SA (France) 2.25%, 9/27/2023 (a)		4,179		4,324

Albemarle Corp. 5.45%, 12/1/2044		3,800		4,959

Dow Chemical Co. (The) 4.55%, 11/30/2025		249		283

DuPont de Nemours, Inc. 5.32%, 11/15/2038		12,320		16,284

Ecolab, Inc. 3.25%, 1/14/2023		3,636		3,760

International Flavors & Fragrances, Inc.

1.83%, 10/15/2027 (a)		5,430		5,471

3.27%, 11/15/2040 (a)		7,650		8,093

5.00%, 9/26/2048		4,346		5,788

3.47%, 12/1/2050 (a)		13,375		14,543

LYB International Finance BV 4.88%, 3/15/2044		3,223		4,084

LYB International Finance III LLC

2.25%, 10/1/2030		4,336		4,408

4.20%, 10/15/2049		4,468		5,244

Nutrien Ltd. (Canada)

4.13%, 3/15/2035		6,522		7,523

5.25%, 1/15/2045		4,962		6,658

5.00%, 4/1/2049		4,150		5,589

Union Carbide Corp. 7.75%, 10/1/2096		2,719		4,970


				101,981


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Commercial Services & Supplies — 0.1%

Ford Foundation (The)

Series 2020, 2.82%, 6/1/2070		4,000		4,092

Republic Services, Inc. 1.45%, 2/15/2031		14,940		14,230


				18,322


Construction & Engineering — 0.0% (b)

Mexico City Airport Trust (Mexico) 5.50%, 7/31/2047 (a)		1,048		1,088


Construction Materials — 0.1%

CRH America, Inc. (Ireland) 3.88%, 5/18/2025 (a)		2,811		3,080

5.13%, 5/18/2045 (a)		6,052		8,018

Martin Marietta Materials, Inc.

3.45%, 6/1/2027		5,785		6,341

3.20%, 7/15/2051		4,840		4,961


				22,400


Consumer Finance — 1.2%

AerCap Ireland Capital DAC (Ireland)

4.45%, 12/16/2021		19,683		19,844

3.95%, 2/1/2022		3,505		3,545

3.50%, 5/26/2022		3,050		3,108

4.50%, 9/15/2023		31,000		33,075

4.88%, 1/16/2024		4,135		4,488

3.50%, 1/15/2025		844		895

6.50%, 7/15/2025		3,441		4,015

4.45%, 10/1/2025		4,342		4,766

1.75%, 1/30/2026		8,311		8,223

4.45%, 4/3/2026		5,633		6,178

American Express Co. 3.40%, 2/27/2023		4,100		4,275

American Honda Finance Corp. 2.90%, 2/16/2024		5,285		5,583

2.30%, 9/9/2026		1,185		1,251

Avolon Holdings Funding Ltd. (Ireland)

3.63%, 5/1/2022 (a)		1,245		1,267

5.25%, 5/15/2024 (a)		3,155		3,459

3.95%, 7/1/2024 (a)		16,176		17,255

2.88%, 2/15/2025 (a)		33,120		34,154

5.50%, 1/15/2026 (a)		33,000		37,329

2.13%, 2/21/2026 (a)		13,095		13,067

4.25%, 4/15/2026 (a)		9,415		10,208

4.38%, 5/1/2026 (a)		5,010		5,444

2.53%, 11/18/2027 (a)		110,463		109,661

Capital One Financial Corp.

3.20%, 2/5/2025		6,093		6,553


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Consumer Finance — continued

4.20%, 10/29/2025		3,000		3,344

3.75%, 7/28/2026		7,424		8,215

Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (c) (e) (f)		6,543		6,780

General Motors Financial Co., Inc.

1.25%, 1/8/2026		8,423		8,368

4.35%, 1/17/2027		2,036		2,291

2.35%, 1/8/2031		20,744		20,554

2.70%, 6/10/2031		20,010		20,340

HSBC Finance Corp. 7.63%, 5/17/2032		9,000		11,682

Park Aerospace Holdings Ltd. (Ireland)

4.50%, 3/15/2023 (a)		12,100		12,698

5.50%, 2/15/2024 (a)		3,517		3,859


				435,774


Containers & Packaging — 0.0% (b)

International Paper Co. 8.70%, 6/15/2038		2,650		4,386

WRKCo, Inc.

3.00%, 9/15/2024		920		972

3.75%, 3/15/2025		7,570		8,235

3.90%, 6/1/2028		2,870		3,235


				16,828


Diversified Consumer Services — 0.1%

Claremont Mckenna College

Series 2019, 3.38%, 1/1/2050		10,000		11,183

Pepperdine University

Series 2020, 3.30%, 12/1/2059		9,620		10,252

University of Southern California

Series A, 3.23%, 10/1/2120		9,370		9,698


				31,133


Diversified Financial Services — 0.6%

CK Hutchison International 16 Ltd. (United Kingdom)

1.88%, 10/3/2021 (a)		4,160		4,165

2.75%, 10/3/2026 (a)		6,500		6,941

CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (a)		9,685		10,739

GE Capital Funding LLC 4.40%, 5/15/2030		7,480		8,762

GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035		52,907		64,220

GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a)		11,667		12,378

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (a)		3,907		4,033


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Financial Services — continued

LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a)		30,170		30,704

Mitsubishi HC Capital, Inc. (Japan)

2.65%, 9/19/2022 (a)		4,255		4,343

3.56%, 2/28/2024 (a)		8,350		8,856

ORIX Corp. (Japan)

2.90%, 7/18/2022		3,775		3,859

3.70%, 7/18/2027		4,000		4,482

Private Export Funding Corp.

Series EE, 2.80%, 5/15/2022		10,700		10,902

Series KK, 3.55%, 1/15/2024		12,505		13,415

Shell International Finance BV (Netherlands) 4.13%, 5/11/2035		9,000		10,725

Siemens Financieringsmaatschappij NV (Germany)

3.13%, 3/16/2024 (a)		3,440		3,662

2.35%, 10/15/2026 (a)		6,000		6,339

4.40%, 5/27/2045 (a)		3,421		4,422

3.30%, 9/15/2046 (a)		3,050		3,396


				216,343


Diversified Telecommunication Services — 1.0%

AT&T, Inc.

1.65%, 2/1/2028		3,535		3,533

2.25%, 2/1/2032		26,520		26,354

3.50%, 6/1/2041		35,836		37,760

3.10%, 2/1/2043		19,310		19,129

3.50%, 9/15/2053 (a)		16,997		17,459

3.55%, 9/15/2055 (a)		16,422		16,804

3.80%, 12/1/2057 (a)		4,454		4,737

Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (a)		4,657		5,044

Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (a)		2,087		2,623

Qwest Corp. 6.75%, 12/1/2021		7,308		7,416

Telefonica Emisiones SA (Spain) 4.67%, 3/6/2038		9,130		10,764

Verizon Communications, Inc.

1.45%, 3/20/2026		1,780		1,803

2.63%, 8/15/2026		1,771		1,884

4.13%, 3/16/2027		6,080		6,952

2.10%, 3/22/2028		16,690		17,133

4.33%, 9/21/2028		11,983		13,992

1.68%, 10/30/2030		2,840		2,743

4.50%, 8/10/2033		12,088		14,629

4.40%, 11/1/2034		27,768		33,429


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

4.27%, 1/15/2036		14,663		17,530

2.65%, 11/20/2040		27,316		26,503

3.40%, 3/22/2041		7,000		7,500

4.86%, 8/21/2046		16,339		21,271

4.67%, 3/15/2055		6,685		8,719

2.99%, 10/30/2056		3,311		3,194

3.70%, 3/22/2061		6,890		7,576


				336,481


Electric Utilities — 1.7%

AEP Transmission Co. LLC

3.80%, 6/15/2049		3,615		4,241

3.15%, 9/15/2049		2,680		2,851

Alabama Power Co.

6.13%, 5/15/2038		1,904		2,734

6.00%, 3/1/2039		769		1,092

4.10%, 1/15/2042		923		1,075

Appalachian Power Co.

Series P, 6.70%, 8/15/2037		3,740		5,322

Series Y, 4.50%, 3/1/2049		3,395		4,255

Arizona Public Service Co. 5.05%, 9/1/2041		3,036		3,961

Ausgrid Finance Pty. Ltd. (Australia) 4.35%, 8/1/2028 (a)		1,500		1,707

Baltimore Gas and Electric Co.

3.50%, 8/15/2046		3,755		4,191

3.20%, 9/15/2049		8,020		8,643

2.90%, 6/15/2050		7,770		7,901

CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048		1,066		1,279

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a)		10,625		11,689

Cleveland Electric Illuminating Co. (The) 3.50%, 4/1/2028 (a)		3,890		4,219

5.95%, 12/15/2036		840		1,129

Commonwealth Edison Co. 3.65%, 6/15/2046		3,615		4,131

DTE Electric Co. 2.65%, 6/15/2022		1,687		1,708

Duke Energy Carolinas LLC 4.25%, 12/15/2041		1,228		1,489

Duke Energy Corp.

2.65%, 9/1/2026		1,382		1,469

3.40%, 6/15/2029		3,657		4,008

Duke Energy Indiana LLC

3.75%, 5/15/2046		4,500		5,138

Series YYY, 3.25%, 10/1/2049		6,895		7,363


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

Duke Energy Ohio, Inc. 3.70%, 6/15/2046		3,297		3,757

Duke Energy Progress LLC

4.10%, 5/15/2042		1,886		2,251

4.10%, 3/15/2043		1,569		1,913

4.15%, 12/1/2044		2,258		2,748

3.70%, 10/15/2046		1,616		1,854

2.90%, 8/15/2051		9,495		9,601

Duquesne Light Holdings, Inc.

3.62%, 8/1/2027 (a)		8,002		8,740

2.78%, 1/7/2032 (a)		6,275		6,369

Edison International

5.75%, 6/15/2027		2,000		2,286

4.13%, 3/15/2028		6,730		7,203

Emera US Finance LP (Canada) 4.75%, 6/15/2046		9,540		11,346

Enel Finance International NV (Italy)

3.63%, 5/25/2027 (a)		4,590		5,099

3.50%, 4/6/2028 (a)		4,500		4,961

6.00%, 10/7/2039 (a)		897		1,265

Entergy Arkansas LLC

3.50%, 4/1/2026		2,631		2,893

2.65%, 6/15/2051		8,425		8,135

Entergy Corp. 2.95%, 9/1/2026		2,469		2,649

Entergy Louisiana LLC

2.40%, 10/1/2026		4,979		5,237

3.25%, 4/1/2028		1,551		1,699

3.05%, 6/1/2031		4,606		5,014

4.00%, 3/15/2033		3,430		4,030

Evergy Metro, Inc.

3.15%, 3/15/2023		3,255		3,369

5.30%, 10/1/2041		8,968		12,125

Evergy, Inc. 2.90%, 9/15/2029		14,800		15,813

Exelon Corp.

3.50%, 6/1/2022		5,000		5,103

3.40%, 4/15/2026		1,177		1,284

FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a)		830		997

Fortis, Inc. (Canada) 3.06%, 10/4/2026		12,384		13,376

Hydro-Quebec (Canada)

Series HY, 8.40%, 1/15/2022		7,174		7,384

Series IO, 8.05%, 7/7/2024		2,642		3,185

Indiana Michigan Power Co.

Series J, 3.20%, 3/15/2023		8,609		8,913


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

ITC Holdings Corp.

2.70%, 11/15/2022		900		923

2.95%, 5/14/2030 (a)		6,820		7,251

Jersey Central Power & Light Co.

4.30%, 1/15/2026 (a)		6,154		6,849

6.15%, 6/1/2037		1,740		2,363

John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042		3,607		4,486

Louisville Gas & Electric Co. Series 25, 3.30%, 10/1/2025		2,759		3,003

Massachusetts Electric Co. 4.00%, 8/15/2046 (a)		4,957		5,578

Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)		4,530		5,137

Nevada Power Co.

Series N, 6.65%, 4/1/2036		700		1,047

5.38%, 9/15/2040		1,287		1,724

5.45%, 5/15/2041		3,354		4,610

New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (a)		3,024		3,397

NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027		2,239		2,480

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a)		3,051		3,272

NRG Energy, Inc.

2.00%, 12/2/2025 (a)		11,855		12,111

2.45%, 12/2/2027 (a)		13,055		13,269

Ohio Edison Co. 6.88%, 7/15/2036		780		1,134

Oklahoma Gas and Electric Co. 0.55%, 5/26/2023		2,085		2,086

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		1,076		1,354

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (c)		25,975		25,992

1.75%, 6/16/2022		35,970		35,954

1.37%, 3/10/2023		18,800		18,744

3.45%, 7/1/2025		8,635		8,949

2.95%, 3/1/2026		5,955		6,045

4.45%, 4/15/2042		3,200		3,174

3.75%, 8/15/2042 (g)		2,882		2,588

4.30%, 3/15/2045		4,900		4,805

4.00%, 12/1/2046		5,000		4,791

3.95%, 12/1/2047		5,000		4,741


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

PacifiCorp

3.60%, 4/1/2024		2,765		2,960

4.15%, 2/15/2050		2,300		2,801

PECO Energy Co. 2.80%, 6/15/2050		6,430		6,494

Pennsylvania Electric Co. 3.25%, 3/15/2028 (a)		1,570		1,672

Pepco Holdings LLC 7.45%, 8/15/2032		3,507		4,943

Potomac Electric Power Co. 6.50%, 11/15/2037		1,184		1,770

PPL Electric Utilities Corp.

2.50%, 9/1/2022		1,543		1,569

3.00%, 10/1/2049		10,000		10,639

Progress Energy, Inc.

3.15%, 4/1/2022		3,380		3,412

7.00%, 10/30/2031		2,600		3,625

Public Service Co. of Colorado 3.55%, 6/15/2046		1,175		1,311

Public Service Co. of Oklahoma

Series G, 6.63%, 11/15/2037		3,901		5,641

Series K, 3.15%, 8/15/2051		12,330		12,623

Public Service Electric and Gas Co.

3.00%, 5/15/2025		6,334		6,771

5.38%, 11/1/2039		1,021		1,393

SCE Recovery Funding LLC

Series A-2, 1.94%, 5/15/2038		9,380		9,237

Series A-3, 2.51%, 11/15/2043		7,950		7,757

Southern California Edison Co.

1.85%, 2/1/2022		175		175

Series C, 3.50%, 10/1/2023		2,854		3,006

Series B, 3.65%, 3/1/2028		4,300		4,716

6.00%, 1/15/2034		895		1,185

6.05%, 3/15/2039		2,197		2,931

3.90%, 12/1/2041		3,408		3,522

Series C, 4.13%, 3/1/2048		1,800		1,946

Series 20A, 2.95%, 2/1/2051		3,000		2,738

Southern Co. (The) 3.25%, 7/1/2026		3,108		3,371

Southwestern Public Service Co. 4.50%, 8/15/2041		2,700		3,364

State Grid Overseas Investment BVI Ltd. (China) 3.75%, 5/2/2023 (a)		2,000		2,102

Toledo Edison Co. (The) 6.15%, 5/15/2037		5,800		8,038

Union Electric Co.

2.95%, 6/15/2027		2,862		3,104

4.00%, 4/1/2048		1,600		1,934

Virginia Electric and Power Co.

3.45%, 2/15/2024		1,280		1,361


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

Series A, 6.00%, 5/15/2037		2,100		2,967

Xcel Energy, Inc. 4.80%, 9/15/2041		829		1,042


				592,171


Electrical Equipment — 0.0% (b)

Eaton Corp.

7.63%, 4/1/2024		1,794		2,089

4.00%, 11/2/2032		1,247		1,467


				3,556


Electronic Equipment, Instruments & Components — 0.0% (b)

Arrow Electronics, Inc.

4.50%, 3/1/2023		1,595		1,667

3.25%, 9/8/2024		3,162		3,353

3.88%, 1/12/2028		3,541		3,898

Corning, Inc. 5.35%, 11/15/2048		6,270		8,735


				17,653


Energy Equipment & Services — 0.2%

Baker Hughes a GE Co. LLC 4.49%, 5/1/2030		10,000		11,825

Baker Hughes Holdings LLC 5.13%, 9/15/2040		3,910		5,028

Halliburton Co.

3.80%, 11/15/2025		177		195

4.85%, 11/15/2035		3,583		4,240

4.75%, 8/1/2043		2,375		2,713

7.60%, 8/15/2096 (a)		2,242		3,022

Schlumberger Holdings Corp.

3.75%, 5/1/2024 (a)		3,461		3,713

4.00%, 12/21/2025 (a)		48		53

3.90%, 5/17/2028 (a)		7,052		7,884

Schlumberger Investment SA 2.65%, 6/26/2030		14,600		15,336


				54,009


Entertainment — 0.0% (b)

TWDC Enterprises 18 Corp. 3.00%, 7/30/2046		1,190		1,239

Walt Disney Co. (The)

8.88%, 4/26/2023		942		1,071

9.50%, 7/15/2024		1,525		1,901

7.30%, 4/30/2028		3,946		5,303

7.63%, 11/30/2028		2,690		3,749


				13,263


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — 1.3%

Alexandria Real Estate Equities, Inc.

3.80%, 4/15/2026		2,199		2,450

1.88%, 2/1/2033		12,120		11,636

4.00%, 2/1/2050		9,430		11,058

American Campus Communities Operating Partnership LP 2.85%, 2/1/2030		15,779		16,357

American Tower Corp.

5.00%, 2/15/2024		4,305		4,747

3.38%, 10/15/2026		4,378		4,765

1.50%, 1/31/2028		10,510		10,291

2.10%, 6/15/2030		8,940		8,841

1.88%, 10/15/2030		19,410		18,832

Boston Properties LP

3.13%, 9/1/2023		3,155		3,297

3.20%, 1/15/2025		4,331		4,625

3.65%, 2/1/2026		3,157		3,475

Brixmor Operating Partnership LP

3.65%, 6/15/2024		2,740		2,939

3.85%, 2/1/2025		6,613		7,181

2.50%, 8/16/2031		6,530		6,564

Corporate Office Properties LP 2.00%, 1/15/2029		3,440		3,411

Crown Castle International Corp. 4.00%, 3/1/2027		2,066		2,320

Digital Realty Trust LP 3.70%, 8/15/2027		2,507		2,810

Duke Realty LP 3.25%, 6/30/2026		1,814		1,972

Equinix, Inc. 2.90%, 11/18/2026		20,442		21,892

Essex Portfolio LP 1.65%, 1/15/2031		8,950		8,553

GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (a)		7,843		8,580

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)		5,157		5,630

Healthcare Trust of America Holdings LP

3.75%, 7/1/2027		1,576		1,757

3.10%, 2/15/2030		9,814		10,501

2.00%, 3/15/2031		8,000		7,769

Healthpeak Properties, Inc. 3.40%, 2/1/2025		162		174

LifeStorage LP 3.50%, 7/1/2026		8,937		9,789

Mid-America Apartments LP

4.00%, 11/15/2025		8,830		9,791

1.70%, 2/15/2031		5,500		5,295

National Retail Properties, Inc.

4.00%, 11/15/2025		5,043		5,590

3.60%, 12/15/2026		5,527		6,055


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

Office Properties Income Trust

4.00%, 7/15/2022		7,083		7,272

4.25%, 5/15/2024		11,000		11,749

2.40%, 2/1/2027		15,955		15,959

Physicians Realty LP 4.30%, 3/15/2027		4,500		5,134

Prologis LP 2.25%, 4/15/2030		3,830		3,947

Realty Income Corp.

3.88%, 4/15/2025		6,245		6,873

3.00%, 1/15/2027		2,243		2,429

3.25%, 1/15/2031		4,000		4,418

1.80%, 3/15/2033		2,865		2,772

Regency Centers LP

4.13%, 3/15/2028		1,755		1,996

2.95%, 9/15/2029		10,600		11,260

Safehold Operating Partnership LP 2.80%, 6/15/2031		12,000		12,122

Scentre Group Trust 1 (Australia)

3.50%, 2/12/2025 (a)		9,910		10,639

3.25%, 10/28/2025 (a)		5,595		6,006

Scentre Group Trust 2 (Australia)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (a)(c)		17,060		18,158

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.69%), 5.13%, 9/24/2080 (a)(c)		10,425		11,232

Simon Property Group LP 3.25%, 9/13/2049		12,865		13,219

SITE Centers Corp. 4.70%, 6/1/2027		4,651		5,235

UDR, Inc.

2.95%, 9/1/2026		3,831		4,109

3.50%, 1/15/2028		1,354		1,490

3.00%, 8/15/2031		4,750		5,043

2.10%, 8/1/2032		5,520		5,388

3.10%, 11/1/2034		6,440		6,861

Ventas Realty LP

3.75%, 5/1/2024		4,032		4,311

3.50%, 2/1/2025		1,929		2,077

4.13%, 1/15/2026		770		858

3.25%, 10/15/2026		1,976		2,136

3.85%, 4/1/2027		4,308		4,823

VEREIT Operating Partnership LP 4.88%, 6/1/2026		4,230		4,886

Vornado Realty LP 3.50%, 1/15/2025		4,810		5,129


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — continued

Welltower, Inc.

2.70%, 2/15/2027		5,199		5,517

3.10%, 1/15/2030		2,920		3,117

6.50%, 3/15/2041		5,460		7,932

4.95%, 9/1/2048		5,000		6,465

WP Carey, Inc.

4.00%, 2/1/2025		5,300		5,775

4.25%, 10/1/2026		4,970		5,619

2.25%, 4/1/2033		12,000		11,727


				472,630


Food & Staples Retailing — 0.3%

7-Eleven, Inc.

1.30%, 2/10/2028 (a)		9,074		8,816

2.50%, 2/10/2041 (a)		9,243		8,682

Alimentation Couche-Tard, Inc. (Canada)

2.95%, 1/25/2030 (a)		7,435		7,803

3.44%, 5/13/2041 (a)		10,460		10,989

3.80%, 1/25/2050 (a)		9,200		10,071

3.63%, 5/13/2051 (a)		10,500		11,193

CVS Pass-Through Trust

7.51%, 1/10/2032 (a)		4,813		6,100

5.93%, 1/10/2034 (a)		4,628		5,644

Series 2013, 4.70%, 1/10/2036 (a)		9,063		10,363

Series 2014, 4.16%, 8/11/2036 (a)		1,188		1,331

Kroger Co. (The)

5.40%, 7/15/2040		829		1,107

5.00%, 4/15/2042		9,000		11,641

3.95%, 1/15/2050		11,000		12,798


				106,538


Food Products — 0.2%

Bunge Ltd. Finance Corp.

1.63%, 8/17/2025		7,880		8,005

2.75%, 5/14/2031		22,130		22,725

Campbell Soup Co. 3.13%, 4/24/2050		4,828		4,793

Cargill, Inc. 3.25%, 3/1/2023 (a)		1,990		2,078

Conagra Brands, Inc.

5.30%, 11/1/2038		3,420		4,421

5.40%, 11/1/2048		4,035		5,493

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		993		1,114

4.60%, 6/1/2044		955		1,259

Tyson Foods, Inc.

4.88%, 8/15/2034		5,000		6,247


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Food Products — continued

5.15%, 8/15/2044		3,000		3,979

4.55%, 6/2/2047		6,550		8,219

Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025		4,100		4,453


				72,786


Gas Utilities — 0.2%

Atmos Energy Corp.

0.63%, 3/9/2023		4,545		4,545

4.15%, 1/15/2043		7,215		8,526

4.13%, 10/15/2044		1,750		2,087

4.13%, 3/15/2049		6,000		7,403

Boston Gas Co. 4.49%, 2/15/2042 (a)		2,201		2,601

Brooklyn Union Gas Co. (The)

3.87%, 3/4/2029 (a)		5,620		6,258

4.27%, 3/15/2048 (a)		6,500		7,535

KeySpan Gas East Corp. 2.74%, 8/15/2026 (a)		4,242		4,471

Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029		1,700		1,877

Southern California Gas Co.

Series XX, 2.55%, 2/1/2030		7,148		7,464

Southern Natural Gas Co. LLC

8.00%, 3/1/2032		2,103		3,023

4.80%, 3/15/2047 (a)		2,649		3,304

Southwest Gas Corp. 3.80%, 9/29/2046		3,595		3,986


				63,080


Health Care Equipment & Supplies — 0.1%

Becton Dickinson and Co.

3.73%, 12/15/2024		195		212

4.67%, 6/6/2047		6,000		7,613

3.79%, 5/20/2050		4,695		5,321

Boston Scientific Corp.

4.00%, 3/1/2029		8,505		9,732

4.55%, 3/1/2039		10,225		12,608

DH Europe Finance II SARL 3.25%, 11/15/2039		7,065		7,695

Zimmer Biomet Holdings, Inc. 3.70%, 3/19/2023		2,694		2,819


				46,000


Health Care Providers & Services — 1.2%

Advocate Health & Hospitals Corp.

Series 2020, 2.21%, 6/15/2030		9,700		9,982

Aetna, Inc.

6.75%, 12/15/2037		2,959		4,404


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Providers & Services — continued

4.50%, 5/15/2042		1,777		2,156

Anthem, Inc.

3.13%, 5/15/2022		4,004		4,084

3.30%, 1/15/2023		2,354		2,447

4.10%, 3/1/2028		5,485		6,270

4.63%, 5/15/2042		3,477		4,352

4.65%, 1/15/2043		3,394		4,277

4.65%, 8/15/2044		4,149		5,250

Banner Health 1.90%, 1/1/2031		13,950		14,008

BayCare Health System, Inc.

Series 2020, 3.83%, 11/15/2050		9,475		11,709

Children’s Hospital

Series 2020, 2.93%, 7/15/2050		11,530		11,845

Cigna Corp. 4.80%, 7/15/2046		1,904		2,437

CommonSpirit Health

1.55%, 10/1/2025		6,210		6,291

2.78%, 10/1/2030		6,205		6,491

4.19%, 10/1/2049		5,540		6,477

3.91%, 10/1/2050		6,600		7,395

Cottage Health Obligated Group

Series 2020, 3.30%, 11/1/2049		10,450		11,592

CVS Health Corp.

4.30%, 3/25/2028		2,122		2,443

4.88%, 7/20/2035		3,500		4,310

5.05%, 3/25/2048		23,852		31,572

Hackensack Meridian Health, Inc.

Series 2020, 2.88%, 9/1/2050		11,100		11,334

Hartford HealthCare Corp. 3.45%, 7/1/2054		23,430		24,824

HCA, Inc.

5.25%, 6/15/2026		27,070		31,282

5.13%, 6/15/2039		4,805		6,052

5.50%, 6/15/2047		9,870		13,039

3.50%, 7/15/2051		14,460		14,766

Mayo Clinic

Series 2016, 4.13%, 11/15/2052		2,975		3,848

MedStar Health, Inc.

Series 20A, 3.63%, 8/15/2049		7,365		8,283

Memorial Health Services 3.45%, 11/1/2049		25,595		28,678

Memorial Sloan-Kettering Cancer Center

Series 2015, 4.20%, 7/1/2055		3,335		4,372

MidMichigan Health

Series 2020, 3.41%, 6/1/2050		5,410		6,044

Mount Sinai Hospitals Group, Inc.

Series 2017, 3.98%, 7/1/2048		2,747		3,064


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

MultiCare Health System 2.80%, 8/15/2050		7,935		8,099

NYU Langone Hospitals

Series 2020, 3.38%, 7/1/2055		9,170		9,875

Providence St Joseph Health Obligated Group

Series H, 2.75%, 10/1/2026		2,942		3,154

Quest Diagnostics, Inc.

3.45%, 6/1/2026		1,684		1,844

2.80%, 6/30/2031		7,025		7,457

Texas Health Resources

2.33%, 11/15/2050		6,717		6,233

4.33%, 11/15/2055		4,275		5,705

Trinity Health Corp.

Series 2019, 3.43%, 12/1/2048		20,450		22,825

UnitedHealth Group, Inc.

4.63%, 7/15/2035		6,229		7,921

3.50%, 8/15/2039		8,210		9,266

2.75%, 5/15/2040		4,800		4,934

3.25%, 5/15/2051		9,695		10,621

Universal Health Services, Inc.

2.65%, 10/15/2030 (a)		12,470		12,706

2.65%, 1/15/2032 (a)		5,055		5,085


				431,103


Hotels, Restaurants & Leisure — 0.1%

Booking Holdings, Inc. 2.75%, 3/15/2023		1,923		1,992

McDonald’s Corp.

4.70%, 12/9/2035		6,540		8,149

4.45%, 3/1/2047		3,210		4,006

Starbucks Corp. 2.55%, 11/15/2030		12,380		12,928


				27,075


Household Durables — 0.1%

Lennar Corp. 4.50%, 4/30/2024		6,800		7,388

MDC Holdings, Inc.

3.85%, 1/15/2030		10,000		10,776

2.50%, 1/15/2031		5,105		4,994

3.97%, 8/6/2061		7,995		7,880


				31,038


Household Products — 0.0% (b)

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (a)		9,000		9,141


Independent Power and Renewable Electricity Producers — 0.2%

Alexander Funding Trust 1.84%, 11/15/2023 (a)		19,220		19,587


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Independent Power and Renewable Electricity Producers — continued

Exelon Generation Co. LLC

3.40%, 3/15/2022		7,048		7,144

3.25%, 6/1/2025		11,035		11,863

6.25%, 10/1/2039		1,985		2,466

5.75%, 10/1/2041		1,665		1,996

Southern Power Co. 5.15%, 9/15/2041		7,079		8,828

Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046		3,222		3,696


				55,580


Industrial Conglomerates — 0.1%

General Electric Co. 3.63%, 5/1/2030		13,445		15,115

Roper Technologies, Inc. 1.40%, 9/15/2027		14,890		14,836

2.00%, 6/30/2030		9,380		9,349


				39,300


Insurance — 1.1%

AIA Group Ltd. (Hong Kong)

3.90%, 4/6/2028 (a)		7,190		8,080

3.60%, 4/9/2029 (a)		5,835		6,493

3.20%, 9/16/2040 (a)		7,535		7,795

AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (a)		8,295		11,870

American Financial Group, Inc. 3.50%, 8/15/2026		8,175		8,938

American International Group, Inc.

3.88%, 1/15/2035		3,407		3,899

4.70%, 7/10/2035		7,065		8,731

4.38%, 1/15/2055		6,799		8,498

Assurant, Inc. 4.20%, 9/27/2023		8,065		8,621

Athene Global Funding

0.95%, 1/8/2024 (a)		16,590		16,689

2.75%, 6/25/2024 (a)		19,000		20,019

1.45%, 1/8/2026 (a)		13,850		13,947

2.95%, 11/12/2026 (a)		37,440		40,131

Berkshire Hathaway Finance Corp.

4.40%, 5/15/2042		13,241		16,700

4.30%, 5/15/2043		2,795		3,494

4.25%, 1/15/2049		8,780		11,032

CNA Financial Corp. 3.95%, 5/15/2024		2,633		2,841

Dai-ichi Life Insurance Co. Ltd. (The) (Japan)

(ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (a)(c)(e)(f)		9,929		10,773

F&G Global Funding 1.75%, 6/30/2026 (a)		12,780		12,993

Guardian Life Insurance Co. of America (The)

3.70%, 1/22/2070 (a)		6,450		7,009


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Insurance — continued

4.85%, 1/24/2077 (a)		1,663		2,215

Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043		7,410		8,971

Intact US Holdings, Inc. 4.60%, 11/9/2022		8,660		9,037

Jackson National Life Global Funding 3.05%, 4/29/2026 (a)		4,774		5,154

John Hancock Life Insurance Co. 7.38%, 2/15/2024 (a)		1,000		1,155

Liberty Mutual Group, Inc. 4.57%, 2/1/2029 (a)		3,049		3,583

3.95%, 10/15/2050 (a)		6,000		6,811

Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (a)		1,350		1,675

Lincoln National Corp. 4.00%, 9/1/2023		2,753		2,944

Manulife Financial Corp. (Canada)

(USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (c)		11,200		12,314

MetLife, Inc. 4.13%, 8/13/2042		2,027		2,453

New York Life Global Funding 3.00%, 1/10/2028 (a)		4,854		5,300

New York Life Insurance Co. 3.75%, 5/15/2050 (a)		9,600		11,082

4.45%, 5/15/2069 (a)		11,250		14,383

Northwestern Mutual Global Funding 1.70%, 6/1/2028 (a)		12,520		12,798

Pacific Life Insurance Co.

(ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c)		3,766		4,395

Principal Financial Group, Inc. 3.13%, 5/15/2023		794		828

Principal Life Global Funding II 2.38%, 11/21/2021 (a)		1,200		1,205

Prudential Financial, Inc. 3.91%, 12/7/2047		9,236		10,945

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)		10,349		12,933

Reliance Standard Life Global Funding II 3.85%, 9/19/2023 (a)		2,595		2,761

Swiss Re Finance Luxembourg SA (Switzerland)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (a) (c)		7,600		8,729

Teachers Insurance & Annuity Association of America 4.90%, 9/15/2044 (a)		3,653		4,809

4.27%, 5/15/2047 (a)		5,480		6,754


				381,787


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Internet & Direct Marketing Retail — 0.1%

Amazon.com, Inc. 3.88%, 8/22/2037		9,440		11,262

3.25%, 5/12/2061		7,000		7,642


				18,904


IT Services — 0.0% (b)

DXC Technology Co. 4.25%, 4/15/2024		3,566		3,845

Fiserv, Inc. 3.20%, 7/1/2026		6,035		6,559

4.40%, 7/1/2049		5,835		7,140


				17,544


Life Sciences Tools & Services — 0.0% (b)

Thermo Fisher Scientific, Inc. 2.95%, 9/19/2026		3,564		3,850

2.80%, 10/15/2041		6,745		6,892


				10,742


Machinery — 0.1%

nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028		6,750		7,495

Parker-Hannifin Corp. 4.45%, 11/21/2044		3,759		4,650

4.10%, 3/1/2047		2,527		2,984

Xylem, Inc.

3.25%, 11/1/2026		1,420		1,555

2.25%, 1/30/2031		7,315		7,436


				24,120


Media — 0.9%

Charter Communications Operating LLC

3.75%, 2/15/2028		10,285		11,376

6.38%, 10/23/2035		4,374		5,847

5.38%, 4/1/2038		4,923		6,084

3.50%, 6/1/2041		12,020		12,152

4.80%, 3/1/2050		13,160		15,370

3.70%, 4/1/2051		19,270		19,397

3.90%, 6/1/2052		9,380		9,683

Comcast Cable Holdings LLC 10.13%, 4/15/2022		1,614		1,709

Comcast Corp.

3.60%, 3/1/2024		4,708		5,065

3.38%, 8/15/2025		2,773		3,021

3.95%, 10/15/2025		3,000		3,347

3.55%, 5/1/2028		6,115		6,841

1.95%, 1/15/2031		10,535		10,453

4.25%, 1/15/2033		16,564		19,784


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Media — continued

4.20%, 8/15/2034		3,361		4,003

3.25%, 11/1/2039		19,265		20,959

3.75%, 4/1/2040		8,535		9,800

4.00%, 11/1/2049		5,553		6,601

2.89%, 11/1/2051 (a)		14,886		14,816

4.05%, 11/1/2052		1,350		1,626

2.94%, 11/1/2056 (a)		6,172		6,114

2.65%, 8/15/2062		8,705		8,094

2.99%, 11/1/2063 (a)		1,559		1,534

Cox Communications, Inc.

3.35%, 9/15/2026 (a)		3,046		3,316

1.80%, 10/1/2030 (a)		14,882		14,384

2.95%, 10/1/2050 (a)		8,375		7,939

Discovery Communications LLC

3.63%, 5/15/2030		1,950		2,136

5.20%, 9/20/2047		11,160		14,035

4.00%, 9/15/2055		6,989		7,482

Grupo Televisa SAB (Mexico)

4.63%, 1/30/2026		1,494		1,664

6.13%, 1/31/2046		1,332		1,900

Sky Ltd. (United Kingdom) 3.75%, 9/16/2024 (a)		1,654		1,803

TCI Communications, Inc. 7.13%, 2/15/2028		1,199		1,598

Time Warner Cable LLC

6.55%, 5/1/2037		2,327		3,175

7.30%, 7/1/2038		2,197		3,200

6.75%, 6/15/2039		1,794		2,506

5.88%, 11/15/2040		7,325		9,445

5.50%, 9/1/2041		6,940		8,667

Time Warner Entertainment Co. LP 8. 38%, 7/15/2033		3,041		4,529

ViacomCBS, Inc. 3.70%, 8/15/2024		2,480		2,670

4.00%, 1/15/2026		4,293		4,762

2.90%, 1/15/2027		2,792		2,980

4.38%, 3/15/2043		6,243		7,300

5.85%, 9/1/2043		4,432		6,121

4.90%, 8/15/2044		2,004		2,471


				317,759


Metals & Mining — 0.4%

Anglo American Capital plc (South Africa)

3.63%, 9/11/2024 (a)		3,283		3,531

3.95%, 9/10/2050 (a)		5,858		6,508


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Metals & Mining — continued

Barrick Gold Corp. (Canada) 6.45%, 10/15/2035		1,767		2,483

Glencore Finance Canada Ltd. (Switzerland) 4.95%, 11/15/2021 (a)		11,879		11,986

Glencore Funding LLC (Australia)

4.13%, 5/30/2023 (a)		4,240		4,484

4.63%, 4/29/2024 (a)		1,967		2,154

1.63%, 9/1/2025 (a)		12,719		12,863

2.50%, 9/1/2030 (a)		16,105		16,071

Newcrest Finance Pty. Ltd. (Australia) 3.25%, 5/13/2030 (a)		5,845		6,323

Nucor Corp. 2.98%, 12/15/2055 (a)		4,465		4,537

Steel Dynamics, Inc.

2.80%, 12/15/2024		9,805		10,332

3.25%, 10/15/2050		3,519		3,572

Teck Resources Ltd. (Canada) 3.90%, 7/15/2030		9,680		10,551

Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030		37,542		39,907


				135,302


Multiline Retail — 0.1%

Dollar General Corp. 4.13%, 5/1/2028		5,750		6,616

Kohl’s Corp. 3.38%, 5/1/2031		17,550		18,414

Nordstrom, Inc. 4.38%, 4/1/2030		7,263		7,570


				32,600


Multi-Utilities — 0.4%

CMS Energy Corp. 3.88%, 3/1/2024		4,360		4,656

3.00%, 5/15/2026		3,458		3,721

2.95%, 2/15/2027		2,426		2,586

3.45%, 8/15/2027		1,250		1,385

Consolidated Edison Co. of New York, Inc.

5.70%, 6/15/2040		2,760		3,793

Series 2017, 3.88%, 6/15/2047		3,355		3,818

4.50%, 5/15/2058		1,724		2,143

Consumers Energy Co. 3.25%, 8/15/2046		2,150		2,349

Delmarva Power & Light Co. 4.00%, 6/1/2042		1,478		1,707

Dominion Energy, Inc.

Series B, 2.75%, 1/15/2022		3,973		4,002

Series D, 2.85%, 8/15/2026		1,927		2,062

Series F, 5.25%, 8/1/2033		5,067		6,408

7.00%, 6/15/2038		1,076		1,622

Series C, 4.90%, 8/1/2041		1,840		2,351


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multi-Utilities — continued

New York State Electric & Gas Corp. 3.25%, 12/1/2026 (a)		2,326		2,532

NiSource, Inc. 2.95%, 9/1/2029		7,940		8,459

5.80%, 2/1/2042		6,726		9,218

Public Service Enterprise Group, Inc. 1.60%, 8/15/2030		15,540		14,868

Puget Energy, Inc. 2.38%, 6/15/2028 (a)		6,522		6,607

San Diego Gas & Electric Co.

6.00%, 6/1/2026		1,852		2,258

Series FFF, 6.13%, 9/15/2037		973		1,366

3.95%, 11/15/2041		2,690		2,980

2.95%, 8/15/2051		17,150		17,205

Sempra Energy 4.05%, 12/1/2023		2,348		2,511

Southern Co. Gas Capital Corp.

2.45%, 10/1/2023		1,889		1,960

3.25%, 6/15/2026		1,690		1,831

5.88%, 3/15/2041		10,518		14,848

4.40%, 6/1/2043		1,392		1,678

3.95%, 10/1/2046		2,136		2,433

WEC Energy Group, Inc. 3.55%, 6/15/2025		5,885		6,399


				139,756


Oil, Gas & Consumable Fuels — 2.8%

ANR Pipeline Co. 9.63%, 11/1/2021		2,933		2,977

APT Pipelines Ltd. (Australia)

4.20%, 3/23/2025 (a)		2,000		2,195

4.25%, 7/15/2027 (a)		7,325		8,364

BG Energy Capital plc (United Kingdom) 5.13%, 10/15/2041 (a)		5,781		7,671

Boardwalk Pipelines LP

4.45%, 7/15/2027		3,425		3,869

4.80%, 5/3/2029		6,595		7,626

BP Capital Markets America, Inc.

3.41%, 2/11/2026		8,485		9,274

3.02%, 1/16/2027		10,588		11,457

2.94%, 6/4/2051		25,080		24,588

BP Capital Markets plc (United Kingdom)

3.51%, 3/17/2025		4,509		4,906

3.28%, 9/19/2027		11,924		13,160

Buckeye Partners LP 5.85%, 11/15/2043		11,805		11,830

5.60%, 10/15/2044		6,000		5,910

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		3,650		4,147

5.13%, 6/30/2027		7,481		8,700

3.70%, 11/15/2029		14,530		15,939


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

2.74%, 12/31/2039 (a)		10,205		10,212

Chevron USA, Inc.

8.00%, 4/1/2027		1,300		1,759

6.00%, 3/1/2041		5,910		8,734

5.25%, 11/15/2043		4,720		6,496

5.05%, 11/15/2044		4,075		5,513

ConocoPhillips 3.75%, 10/1/2027 (a)		5,000		5,624

Devon Energy Corp. 5.60%, 7/15/2041		6,575		8,221

Diamondback Energy, Inc. 4.75%, 5/31/2025		27,227		30,481

3.25%, 12/1/2026		7,894		8,458

Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 (a)		4,476		4,949

Ecopetrol SA (Colombia) 5.88%, 9/18/2023		2,575		2,770

4.13%, 1/16/2025		3,333		3,486

5.38%, 6/26/2026		5,409		5,946

Enable Midstream Partners LP 4.40%, 3/15/2027		2,695		2,998

4.95%, 5/15/2028		7,315		8,323

4.15%, 9/15/2029		14,071		15,412

5.00%, 5/15/2044 (g)		8,600		9,402

Energy Transfer LP 4.65%, 2/15/2022		600		612

2.90%, 5/15/2025		12,186		12,791

4.75%, 1/15/2026		6,380		7,153

3.90%, 7/15/2026		9,761		10,716

5.50%, 6/1/2027		2,916		3,442

7.50%, 7/1/2038		2,695		3,777

6.05%, 6/1/2041		4,475		5,627

6.10%, 2/15/2042		7,220		9,041

5.95%, 10/1/2043		3,950		4,920

5.30%, 4/1/2044		1,840		2,144

6.25%, 4/15/2049		5,655		7,486

5.00%, 5/15/2050		6,280		7,358

Eni SpA (Italy)

Series X-R, 4.00%, 9/12/2023 (a)		3,145		3,346

5.70%, 10/1/2040 (a)		4,843		6,216

Eni USA, Inc. (Italy) 7.30%, 11/15/2027		4,040		5,254

Enterprise Products Operating LLC 3.90%, 2/15/2024		2,687		2,880

3.70%, 2/15/2026		3,040		3,360

3.95%, 2/15/2027		2,705		3,026

Series J, 5.75%, 3/1/2035		2,509		3,254

7.55%, 4/15/2038		455		702


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

5.95%, 2/1/2041		1,259		1,753

4.45%, 2/15/2043		455		537

5.10%, 2/15/2045		1,758		2,229

4.95%, 10/15/2054		1,189		1,538

EQM Midstream Partners LP 5.50%, 7/15/2028		7,500		8,184

EQT Corp. 3.90%, 10/1/2027		4,517		4,876

Equinor ASA (Norway) 3.25%, 11/10/2024		3,461		3,738

2.88%, 4/6/2025		5,765		6,155

Exxon Mobil Corp. 3.00%, 8/16/2039		14,245		14,923

4.11%, 3/1/2046		2,726		3,260

3.10%, 8/16/2049		17,965		18,670

Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a)		13,075		13,379

4.32%, 12/30/2039 (a)		9,235		9,618

Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a)		16,650		16,900

Gray Oak Pipeline LLC 2.00%, 9/15/2023 (a)		9,310		9,489

2.60%, 10/15/2025 (a)		34,443		35,452

3.45%, 10/15/2027 (a)		8,120		8,620

Hess Corp. 6.00%, 1/15/2040		9,098		11,681

HollyFrontier Corp. 2.63%, 10/1/2023		21,813		22,505

5.88%, 4/1/2026		22,175		25,455

Kinder Morgan, Inc. 2.00%, 2/15/2031		9,740		9,500

5.05%, 2/15/2046		6,000		7,370

Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (a)		8,424		8,489

Magellan Midstream Partners LP 3.20%, 3/15/2025		2,338		2,475

Marathon Petroleum Corp. 4.50%, 5/1/2023		15,924		16,872

3.63%, 9/15/2024		3,980		4,279

4.70%, 5/1/2025		9,566		10,712

6.50%, 3/1/2041		8,270		11,509

MPLX LP 4.50%, 7/15/2023		8,800		9,347

4.80%, 2/15/2029		6,825		7,990

NGPL PipeCo LLC 3.25%, 7/15/2031 (a)		8,283		8,556

NOVA Gas Transmission Ltd. (Canada) 7.88%, 4/1/2023		5,000		5,551

ONEOK Partners LP 3.38%, 10/1/2022		1,164		1,192


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

5.00%, 9/15/2023		2,576		2,760

6.65%, 10/1/2036		1,825		2,472

ONEOK, Inc. 4.25%, 2/1/2022		6,965		7,009

5.85%, 1/15/2026		4,700		5,520

3.40%, 9/1/2029		8,395		9,018

Phillips 66 4.88%, 11/15/2044		665		833

Phillips 66 Partners LP 3.55%, 10/1/2026		1,453		1,575

3.15%, 12/15/2029		8,545		8,993

4.90%, 10/1/2046		3,078		3,672

Pioneer Natural Resources Co. 1.90%, 8/15/2030		18,050		17,419

Plains All American Pipeline LP 4.65%, 10/15/2025		3,925		4,374

5.15%, 6/1/2042		18,910		21,296

4.70%, 6/15/2044		9,300		9,915

Sabine Pass Liquefaction LLC 5.63%, 3/1/2025		3,765		4,291

5.00%, 3/15/2027		9,360		10,827

4.50%, 5/15/2030		5,000		5,792

Saudi Arabian Oil Co. (Saudi Arabia)

1.25%, 11/24/2023 (a)		1,320		1,331

1.63%, 11/24/2025 (a)		4,660		4,706

Spectra Energy Partners LP 5.95%, 9/25/2043		1,801		2,491

Suncor Energy, Inc. (Canada)

5.95%, 12/1/2034		11,584		15,410

6.80%, 5/15/2038		3,677		5,278

TC PipeLines LP 3.90%, 5/25/2027		2,870		3,192

Tennessee Gas Pipeline Co. LLC 2.90%, 3/1/2030 (a)		11,080		11,536

Texas Eastern Transmission LP

2.80%, 10/15/2022 (a)		6,209		6,325

3.50%, 1/15/2028 (a)		908		994

TotalEnergies Capital International SA (France)

3.46%, 2/19/2029		3,040		3,399

2.99%, 6/29/2041		21,000		21,772

3.46%, 7/12/2049		12,800		13,972

3.13%, 5/29/2050		20,230		20,941

TransCanada PipeLines Ltd. (Canada)

6.20%, 10/15/2037		6,345		8,681

4.75%, 5/15/2038		7,750		9,398


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Valero Energy Corp.

2.70%, 4/15/2023		9,250		9,553

1.20%, 3/15/2024		17,940		18,079

2.15%, 9/15/2027		14,850		15,108

7.50%, 4/15/2032		1,081		1,510

Williams Cos., Inc. (The) 4.85%, 3/1/2048		5,487		6,741


				1,003,489


Pharmaceuticals — 0.7%

AstraZeneca plc (United Kingdom)

6.45%, 9/15/2037		4,250		6,397

4.00%, 9/18/2042		4,270		5,199

Bristol-Myers Squibb Co.

3.90%, 2/20/2028		10,610		12,161

3.40%, 7/26/2029		13,631		15,330

4.13%, 6/15/2039		7,096		8,636

5.00%, 8/15/2045		5,231		7,203

4.55%, 2/20/2048		6,500		8,549

Mylan, Inc.

3.13%, 1/15/2023 (a)		3,886		4,018

5.40%, 11/29/2043		5,800		7,336

Royalty Pharma plc

0.75%, 9/2/2023		9,830		9,873

1.20%, 9/2/2025		8,570		8,548

1.75%, 9/2/2027		8,570		8,591

3.30%, 9/2/2040		12,050		12,235

3.55%, 9/2/2050		20,980		21,015

Shire Acquisitions Investments Ireland DAC

2.88%, 9/23/2023		4,909		5,126

3.20%, 9/23/2026		26,941		29,241

Takeda Pharmaceutical Co. Ltd. (Japan)

5.00%, 11/26/2028		8,565		10,343

2.05%, 3/31/2030		1,200		1,197

3.03%, 7/9/2040		12,520		12,934

3.38%, 7/9/2060		8,505		9,057

Utah Acquisition Sub, Inc. 3.95%, 6/15/2026		4,153		4,603

Viatris, Inc.

3.85%, 6/22/2040 (a)		8,499		9,205

4.00%, 6/22/2050 (a)		1,732		1,886

Wyeth LLC 6.45%, 2/1/2024		708		810

Zoetis, Inc. 2.00%, 5/15/2030		12,880		12,902


				232,395


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Real Estate Management & Development — 0.0% (b)

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)

3.13%, 3/20/2022 (a)		6,257		6,340

3.88%, 3/20/2027 (a)		6,562		7,297


				13,637


Road & Rail — 0.3%

Burlington Northern Santa Fe LLC

3.75%, 4/1/2024		2,365		2,546

7.29%, 6/1/2036		1,166		1,799

5.75%, 5/1/2040		3,244		4,602

5.40%, 6/1/2041		9,266		12,823

4.40%, 3/15/2042		2,010		2,508

4.38%, 9/1/2042		4,018		5,004

5.15%, 9/1/2043		3,380		4,647

4.70%, 9/1/2045		3,150		4,141

3.55%, 2/15/2050		5,584		6,342

CSX Corp.

5.50%, 4/15/2041		3,498		4,791

4.75%, 5/30/2042		1,516		1,937

4.75%, 11/15/2048		8,165		10,733

3.35%, 9/15/2049		2,710		2,919

ERAC USA Finance LLC

2.60%, 12/1/2021 (a)		3,010		3,021

7.00%, 10/15/2037 (a)		425		644

5.63%, 3/15/2042 (a)		3,104		4,349

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		8,420		9,380

Norfolk Southern Corp.

5.59%, 5/17/2025		51		59

3.95%, 10/1/2042		2,888		3,389

4.05%, 8/15/2052		5,192		6,199

Penske Truck Leasing Co. LP

4.13%, 8/1/2023 (a)		5,795		6,160

3.95%, 3/10/2025 (a)		3,095		3,380

4.20%, 4/1/2027 (a)		2,525		2,854

Union Pacific Corp.

3.95%, 8/15/2059		6,000		7,120

4.10%, 9/15/2067		1,962		2,366


				113,713


Semiconductors & Semiconductor Equipment — 0.7%

Analog Devices, Inc.

3.13%, 12/5/2023		2,317		2,445

4.50%, 12/5/2036		2,505		3,020


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Semiconductors & Semiconductor Equipment — continued

Broadcom Corp. 3.88%, 1/15/2027		16,459		18,163

Broadcom, Inc.

4.25%, 4/15/2026		20,155		22,530

4.11%, 9/15/2028		15,279		17,127

4.75%, 4/15/2029		5,380		6,249

4.15%, 11/15/2030		7,500		8,436

2.45%, 2/15/2031 (a)		31,809		31,523

KLA Corp. 3.30%, 3/1/2050		7,000		7,649

Marvell Technology, Inc. 2.45%, 4/15/2028 (a)		7,790		8,013

Microchip Technology, Inc.

0.97%, 2/15/2024 (a)		17,350		17,370

0.98%, 9/1/2024 (a)		24,500		24,481

NXP BV (China)

2.50%, 5/11/2031 (a)		23,775		24,554

3.25%, 5/11/2041 (a)		24,465		25,769

Xilinx, Inc. 2.38%, 6/1/2030		15,185		15,601


				232,930


Software — 0.4%

Citrix Systems, Inc. 1.25%, 3/1/2026		6,125		6,056

Microsoft Corp.

3.50%, 2/12/2035		3,459		4,071

2.92%, 3/17/2052		3,816		4,104

3.04%, 3/17/2062		1,820		1,975

Oracle Corp.

2.40%, 9/15/2023		7,023		7,275

2.95%, 5/15/2025		14,625		15,566

2.30%, 3/25/2028		31,995		33,061

4.30%, 7/8/2034		969		1,126

3.90%, 5/15/2035		1,952		2,193

3.85%, 7/15/2036		9,478		10,510

3.60%, 4/1/2040		10,434		11,077

3.65%, 3/25/2041		19,515		20,855

4.00%, 7/15/2046		8,872		9,771

3.60%, 4/1/2050		10,500		10,952

VMware, Inc.

2.95%, 8/21/2022		10,109		10,341

4.65%, 5/15/2027		8,800		10,172


				159,105


Specialty Retail — 0.1%

AutoZone, Inc. 1.65%, 1/15/2031		12,180		11,712

Lowe’s Cos., Inc.

3.65%, 4/5/2029		12,563		14,102


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Specialty Retail — continued

1.70%, 10/15/2030		2,600		2,525

2.63%, 4/1/2031		4,000		4,171

3.00%, 10/15/2050		7,130		7,174

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		4,715		5,297


				44,981


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc.

3.25%, 2/23/2026		798		874

2.45%, 8/4/2026		5,261		5,609

3.45%, 2/9/2045		14,187		15,999

3.85%, 8/4/2046		3,512		4,199

3.75%, 9/12/2047		13,570		16,040

3.75%, 11/13/2047		1,600		1,891

2.70%, 8/5/2051		16,470		16,397

Dell International LLC

5.45%, 6/15/2023		7,560		8,148

6.02%, 6/15/2026		25,413		30,350

4.90%, 10/1/2026		8,190		9,478

5.30%, 10/1/2029		6,000		7,305

HP, Inc. 3.00%, 6/17/2027		11,105		11,958


				128,248


Thrifts & Mortgage Finance — 0.2%

BPCE SA (France)

4.63%, 7/11/2024 (a)		11,600		12,685

1.00%, 1/20/2026 (a)		20,500		20,326

(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c)		11,406		11,469

3.38%, 12/2/2026		4,230		4,640

(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)		15,245		15,044

Nationwide Building Society (United Kingdom) 1.00%, 8/28/2025 (a)		8,810		8,763


				72,927


Tobacco — 0.3%

Altria Group, Inc. 2.45%, 2/4/2032		27,925		27,293

BAT Capital Corp. (United Kingdom)

3.56%, 8/15/2027		10,000		10,822

2.26%, 3/25/2028		14,000		14,067

3.73%, 9/25/2040		8,470		8,406

4.54%, 8/15/2047		5,515		5,911

3.98%, 9/25/2050		13,170		13,038

BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026		11,000		11,064


				90,601


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Trading Companies & Distributors — 0.5%

Air Lease Corp.

2.63%, 7/1/2022		7,986		8,117

2.30%, 2/1/2025		9,600		9,921

3.25%, 3/1/2025		6,266		6,659

3.38%, 7/1/2025		15,102		16,167

2.88%, 1/15/2026		18,710		19,674

3.75%, 6/1/2026		3,734		4,080

1.88%, 8/17/2026		15,645		15,696

3.25%, 10/1/2029		15,000		15,716

Aviation Capital Group LLC

3.88%, 5/1/2023 (a)		7,665		8,017

5.50%, 12/15/2024 (a)		19,502		21,979

BOC Aviation Ltd. (Singapore)

2.75%, 9/18/2022 (a)		3,000		3,049

3.50%, 10/10/2024 (a)		7,945		8,448

International Lease Finance Corp.

8.63%, 1/15/2022		11,894		12,249

5.88%, 8/15/2022		3,867		4,065

WW Grainger, Inc. 4.60%, 6/15/2045		4,364		5,725


				159,562


Transportation Infrastructure — 0.0% (b)

Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a)		7,000		7,474


Water Utilities — 0.0% (b)

American Water Capital Corp.

3.45%, 6/1/2029		5,250		5,850

6.59%, 10/15/2037		3,354		5,029

4.00%, 12/1/2046		2,241		2,674


				13,553


Wireless Telecommunication Services — 0.5%

America Movil SAB de CV (Mexico)

3.13%, 7/16/2022		3,250		3,318

3.63%, 4/22/2029		12,995		14,258

4.38%, 4/22/2049		8,284		10,323

T-Mobile USA, Inc.

3.75%, 4/15/2027		31,500		34,864

2.05%, 2/15/2028		33,720		34,330

3.88%, 4/15/2030		25,095		28,117

3.00%, 2/15/2041		13,130		13,042

3.60%, 11/15/2060 (a)		4,000		4,095

Vodafone Group plc (United Kingdom)

5.25%, 5/30/2048		7,449		9,923

4.88%, 6/19/2049		16,825		21,616


				173,886


Total Corporate Bonds (Cost $9,679,383)				10,322,824


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — 24.5%

U.S. Treasury Bonds

8.00%, 11/15/2021		9,475		9,629

3.50%, 2/15/2039		36,335		46,534

3.88%, 8/15/2040		54,475		73,352

1.88%, 2/15/2041		232,530		234,310

2.25%, 5/15/2041		142,900		152,903

2.75%, 11/15/2042		154,890		179,219

3.13%, 2/15/2043		18,180		22,278

3.63%, 8/15/2043		113,140		149,327

3.75%, 11/15/2043		264,249		355,610

3.63%, 2/15/2044		154,280		204,421

3.00%, 11/15/2044		50,821		61,470

2.88%, 8/15/2045		4,490		5,340

2.50%, 2/15/2046		70,000		78,173

2.25%, 8/15/2046		179,932		191,964

3.00%, 2/15/2047		1,875		2,293

3.00%, 2/15/2048		78,220		96,049

3.13%, 5/15/2048		43,243		54,336

2.88%, 5/15/2049		12,946		15,634

2.25%, 8/15/2049		180,150		192,880

2.38%, 11/15/2049		23,830		26,206

2.00%, 2/15/2050		73,113		74,290

1.38%, 8/15/2050		25,855		22,615

1.63%, 11/15/2050		76,730		71,392

1.88%, 2/15/2051		332,475		328,215

2.38%, 5/15/2051		3,850		4,252

U.S. Treasury Inflation Indexed Bonds

1.75%, 1/15/2028		2,100		3,320

3.63%, 4/15/2028		9,066		20,654

2.50%, 1/15/2029		3,587		5,901

U.S. Treasury Inflation Indexed Notes 0.13%, 1/15/2022		22,231		27,004

U.S. Treasury Notes

1.13%, 9/30/2021		125,620		125,727

2.88%, 10/15/2021		100,000		100,340

1.75%, 11/30/2021		70,000		70,293

1.75%, 2/28/2022		202,070		203,759

1.63%, 8/31/2022		150,000		152,314

2.00%, 10/31/2022		13,000		13,285

1.75%, 1/31/2023		70,000		71,586

1.50%, 2/28/2023		210,000		214,266

1.75%, 5/15/2023		133,400		136,959

2.75%, 5/31/2023		187,366		195,790

1.38%, 8/31/2023		20,000		20,463

0.13%, 10/15/2023		150,000		149,643


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


2.63%, 12/31/2023		150,000		158,180

2.75%, 2/15/2024		25,000		26,501

2.13%, 2/29/2024		4,955		5,180

2.50%, 5/15/2024		2,000		2,116

2.13%, 9/30/2024		25,000		26,305

2.25%, 11/15/2024		3,021		3,195

1.75%, 12/31/2024		147,012		153,226

2.00%, 2/15/2025		155,000		162,926

2.88%, 4/30/2025		4,925		5,340

2.13%, 5/15/2025		105,395		111,418

2.88%, 5/31/2025		40,158		43,579

2.00%, 8/15/2025		141,304		149,004

2.25%, 11/15/2025		110,049		117,353

0.38%, 1/31/2026		45,675		45,027

0.50%, 2/28/2026		313,160		310,323

2.50%, 2/28/2026		12,550		13,552

0.75%, 4/30/2026		15,670		15,682

0.88%, 6/30/2026		98,957		99,506

2.00%, 11/15/2026		10,000		10,607

1.75%, 12/31/2026		78,092		81,850

0.38%, 9/30/2027		31,575		30,497

1.25%, 3/31/2028		160,035		162,298

1.25%, 4/30/2028		85,520		86,679

2.88%, 5/15/2028		7,030		7,870

1.25%, 6/30/2028		360,700		365,153

1.00%, 7/31/2028		50,000		49,750

U.S. Treasury STRIPS Bonds

3.11%, 2/15/2022 (h)		165,423		165,381

2.68%, 5/15/2022 (h)		149,456		149,416

2.09%, 11/15/2022 (h)		237,280		236,892

3.32%, 2/15/2023 (h)		254,322		253,810

3.07%, 5/15/2023 (h)		277,105		276,446

2.55%, 8/15/2023 (h)		127,910		127,417

2.68%, 11/15/2023 (h)		30,767		30,588

2.15%, 2/15/2024 (h)		117,209		116,335

2.95%, 5/15/2024 (h)		67,278		66,602

3.16%, 8/15/2024 (h)		51,591		50,954

7.87%, 11/15/2024 (h)		3,200		3,154

6.66%, 2/15/2025 (h)		6,601		6,476

5.28%, 2/15/2026 (h)		6,700		6,477

5.42%, 5/15/2026 (h)		24,999		24,064

0.68%, 11/15/2026 (h)		10,990		10,491

1.34%, 11/15/2027 (h)		50,000		46,842

1.63%, 8/15/2029 (h)		100,000		90,212

1.78%, 11/15/2030 (h)		100,000		87,702


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — continued

4.52%, 5/15/2032 (h)		113,297		96,009

3.45%, 8/15/2032 (h)		149,800		126,229

3.80%, 11/15/2032 (h)		122,788		102,954

3.95%, 2/15/2033 (h)		36,300		30,252

4.11%, 5/15/2033 (h)		108,105		89,600

5.75%, 8/15/2033 (h)		24,963		20,567

6.49%, 11/15/2033 (h)		33,709		27,628


Total U.S. Treasury Obligations (Cost $8,198,588)				8,649,611

Mortgage-Backed Securities -15.7%

FHLMC

Pool # 785618, ARM, 2.13%, 7/1/2026 (i)		21		22

Pool # 611141, ARM, 2.23%, 1/1/2027 (i)		20		20

Pool # 846812, ARM, 2.37%, 4/1/2030 (i)		7		7

Pool # 789758, ARM, 2.52%, 9/1/2032 (i)		28		28

Pool # 847621, ARM, 2.37%, 5/1/2033 (i)		591		627

Pool # 781087, ARM, 2.36%, 12/1/2033 (i)		116		118

Pool # 1B1665, ARM, 2.07%, 4/1/2034 (i)		105		107

Pool # 782870, ARM, 2.47%, 9/1/2034 (i)		543		579

Pool # 782979, ARM, 2.37%, 1/1/2035 (i)		708		754

Pool # 782980, ARM, 2.37%, 1/1/2035 (i)		185		194

Pool # 1G3591, ARM, 2.29%, 8/1/2035 (i)		48		48

Pool # 1Q0007, ARM, 2.39%, 12/1/2035 (i)		119		121

Pool # 1Q0025, ARM, 2.09%, 2/1/2036 (i)		77		82

Pool # 848431, ARM, 2.36%, 2/1/2036 (i)		264		278

Pool # 1G1861, ARM, 2.41%, 3/1/2036 (i)		416		444

Pool # 1J1380, ARM, 2.82%, 3/1/2036 (i)		185		198

Pool # 1H2618, ARM, 2.37%, 5/1/2036 (i)		372		398

Pool # 1L1286, ARM, 2.37%, 5/1/2036 (i)		184		195


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 1G2415, ARM, 2.61%, 5/1/2036 (i)		58		62

Pool # 1G2557, ARM, 2.22%, 6/1/2036 (i)		997		1,061

Pool # 848068, ARM, 2.27%, 6/1/2036 (i)		502		502

Pool # 1A1082, ARM, 1.96%, 7/1/2036 (i)		253		264

Pool # 1H2623, ARM, 2.26%, 7/1/2036 (i)		122		131

Pool # 848365, ARM, 2.33%, 7/1/2036 (i)		188		201

Pool # 1A1085, ARM, 1.92%, 8/1/2036 (i)		235		246

Pool # 1N0206, ARM, 1.96%, 8/1/2036 (i)		571		593

Pool # 1Q0105, ARM, 2.10%, 9/1/2036 (i)		306		324

Pool # 1B7242, ARM, 2.19%, 9/1/2036 (i)		668		709

Pool # 1N0249, ARM, 1.95%, 10/1/2036 (i)		248		251

Pool # 1A1096, ARM, 1.98%, 10/1/2036 (i)		551		575

Pool # 1A1097, ARM, 2.13%, 10/1/2036 (i)		205		215

Pool # 1G2539, ARM, 2.15%, 10/1/2036 (i)		112		113

Pool # 1K0046, ARM, 2.48%, 10/1/2036 (i)		194		196

Pool # 1J1348, ARM, 2.74%, 10/1/2036 (i)		197		198

Pool # 1J1378, ARM, 2.01%, 11/1/2036 (i)		307		320

Pool # 1G2671, ARM, 2.07%, 11/1/2036 (i)		103		105

Pool # 1Q0737, ARM, 2.29%, 11/1/2036 (i)		247		250

Pool # 848115, ARM, 2.35%, 11/1/2036 (i)		167		175

Pool # 782760, ARM, 2.36%, 11/1/2036 (i)		591		632

Pool # 1J1634, ARM, 1.96%, 12/1/2036 (i)		1,139		1,204

Pool # 1J1419, ARM, 2.04%, 12/1/2036 (i)		953		1,004

Pool # 1J1418, ARM, 2.07%, 12/1/2036 (i)		35		35


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 1G1386, ARM, 2.31%, 12/1/2036 (i)		377		394

Pool # 1J1399, ARM, 2.58%, 12/1/2036 (i)		16		16

Pool # 1N1511, ARM, 1.91%, 1/1/2037 (i)		91		91

Pool # 1G1478, ARM, 2.16%, 1/1/2037 (i)		165		168

Pool # 1J1516, ARM, 2.07%, 2/1/2037 (i)		75		79

Pool # 1J0282, ARM, 2.26%, 2/1/2037 (i)		24		24

Pool # 1N0353, ARM, 2.27%, 2/1/2037 (i)		232		238

Pool # 1G1554, ARM, 2.28%, 2/1/2037 (i)		133		135

Pool # 1J1543, ARM, 2.48%, 2/1/2037 (i)		23		23

Pool # 1Q0739, ARM, 2.09%, 3/1/2037 (i)		544		571

Pool # 1B7303, ARM, 2.81%, 3/1/2037 (i)		33		34

Pool # 1J0399, ARM, 2.28%, 4/1/2037 (i)		14		14

Pool # 1J1564, ARM, 2.35%, 4/1/2037 (i)		228		229

Pool # 1Q0697, ARM, 1.83%, 5/1/2037 (i)		444		462

Pool # 1A1193, ARM, 2.26%, 5/1/2037 (i)		390		393

Pool # 1N1477, ARM, 2.26%, 5/1/2037 (i)		111		117

Pool # 1N1463, ARM, 2.37%, 5/1/2037 (i)		22		23

Pool # 1J1621, ARM, 2.43%, 5/1/2037 (i)		321		344

Pool # 1Q0783, ARM, 2.43%, 5/1/2037 (i)		352		356

Pool # 1J0533, ARM, 2.12%, 7/1/2037 (i)		98		99

Pool # 1J2945, ARM, 2.37%, 11/1/2037 (i)		43		44

Pool # 1Q0722, ARM, 2.40%, 4/1/2038 (i)		265		281

Pool # 1Q0789, ARM, 2.22%, 5/1/2038 (i)		72		74

Pool # 848699, ARM, 2.16%, 7/1/2040 (i)		204		216


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


FHLMC Gold Pools, 15 Year

Pool # G12825, 6.50%, 3/1/2022		—	(j)		—	(j)

Pool # G13603, 5.50%, 2/1/2024		7			8

FHLMC Gold Pools, 20 Year

Pool # C91158, 6.50%, 1/1/2028		159			171

Pool # C91417, 3.50%, 1/1/2032		2,696			2,888

Pool # C91403, 3.50%, 3/1/2032		1,060			1,136

FHLMC Gold Pools, 30 Year

Pool # G00245, 8.00%, 8/1/2024		2			2

Pool # C00376, 8.00%, 11/1/2024		1			2

Pool # C00414, 7.50%, 8/1/2025		5			5

Pool # C00452, 7.00%, 4/1/2026		5			6

Pool # G00981, 8.50%, 7/1/2028		12			14

Pool # G02210, 7.00%, 12/1/2028		191			214

Pool # C47315, 6.50%, 8/1/2029		594			680

Pool # G03029, 6.00%, 10/1/2029		63			71

Pool # A88871, 7.00%, 1/1/2031		189			212

Pool # C68485, 7.00%, 7/1/2032		24			27

Pool # G01448, 7.00%, 8/1/2032		33			39

Pool # C75791, 5.50%, 1/1/2033		288			330

Pool # A13625, 5.50%, 10/1/2033		216			252

Pool # A16107, 6.00%, 12/1/2033		90			102

Pool # G01864, 5.00%, 1/1/2034		155			177

Pool # A17537, 6.00%, 1/1/2034		174			206

Pool # A23139, 5.00%, 6/1/2034		428			480

Pool # A61572, 5.00%, 9/1/2034		537			612

Pool # A28796, 6.50%, 11/1/2034		48			56

Pool # G03369, 6.50%, 1/1/2035		571			642

Pool # A70350, 5.00%, 3/1/2035		151			167

Pool # A46987, 5.50%, 7/1/2035		495			572

Pool # G05713, 6.50%, 12/1/2035		362			415

Pool # G03777, 5.00%, 11/1/2036		361			409

Pool # C02660, 6.50%, 11/1/2036		108			127

Pool # G02427, 5.50%, 12/1/2036		199			231

Pool # A57681, 6.00%, 12/1/2036		39			47

Pool # G02682, 7.00%, 2/1/2037		50			58

Pool # G04949, 6.50%, 11/1/2037		277			331

Pool # G03666, 7.50%, 1/1/2038		395			464

Pool # G04952, 7.50%, 1/1/2038		233			279

Pool # G04077, 6.50%, 3/1/2038		341			409

Pool # G05671, 5.50%, 8/1/2038		395			460

Pool # G05190, 7.50%, 9/1/2038		165			191

Pool # C03466, 5.50%, 3/1/2040		152			176

Pool # A93383, 5.00%, 8/1/2040		1,512			1,721


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # A93511, 5.00%, 8/1/2040		5,809			6,657

Pool # G06493, 4.50%, 5/1/2041		9,772			10,957

Pool # V80351, 3.00%, 8/1/2043		17,770			19,300

Pool # Q52834, 4.00%, 12/1/2047		2,009			2,158

Pool # Q57995, 5.00%, 8/1/2048		8,396			9,255

Pool # Q61104, 4.00%, 1/1/2049		2,092			2,242

Pool # Q61107, 4.00%, 1/1/2049		2,673			2,907

FHLMC Gold Pools, Other

Pool # G80341, 10.00%, 3/17/2026		—	(j)		—	(j)

Pool # P20570, 7.00%, 7/1/2029		7			8

Pool # G20027, 10.00%, 10/1/2030		44			47

Pool # B90491, 7.50%, 1/1/2032		462			525

Pool # U80192, 3.50%, 2/1/2033		1,204			1,299

Pool # U80342, 3.50%, 5/1/2033		1,436			1,549

Pool # U80345, 3.50%, 5/1/2033		4,302			4,641

Pool # L10221, 6.00%, 1/1/2034		49			51

Pool # P50523, 6.50%, 12/1/2035		94			99

Pool # H05030, 6.00%, 11/1/2036		59			63

Pool # L10291, 6.50%, 11/1/2036		1,237			1,432

Pool # P51353, 6.50%, 11/1/2036		821			951

Pool # P50595, 6.50%, 12/1/2036		1,499			1,791

Pool # P51361, 6.50%, 12/1/2036		636			759

Pool # G20028, 7.50%, 12/1/2036		1,496			1,686

Pool # P50531, 6.50%, 1/1/2037		102			111

Pool # P51251, 6.50%, 1/1/2037		51			53

Pool # P50536, 6.50%, 2/1/2037		70			73

Pool # P50556, 6.50%, 6/1/2037		44			46

Pool # U90690, 3.50%, 6/1/2042		13,154			14,215

Pool # U90975, 4.00%, 6/1/2042		9,182			10,045

Pool # T65101, 4.00%, 10/1/2042		355			375

Pool # U90402, 3.50%, 11/1/2042		750			809

Pool # U90673, 4.00%, 1/1/2043		1,427			1,571

Pool # U91192, 4.00%, 4/1/2043		2,582			2,839

Pool # U91488, 3.50%, 5/1/2043		1,662			1,802

Pool # U99051, 3.50%, 6/1/2043		4,234			4,564

Pool # U99134, 4.00%, 1/1/2046		44,693			49,150

Pool # U69030, 4.50%, 1/1/2046		16,280			18,024

FHLMC UMBS, 20 Year

Pool # SC0104, 3.50%, 8/1/2035		11,970			12,815

FHLMC UMBS, 30 Year

Pool # ZT2212, 4.00%, 9/1/2048		7,481			8,011

Pool # QA0149, 4.00%, 6/1/2049		4,891			5,252

Pool # QA2578, 3.50%, 9/1/2049		2,079			2,196

Pool # RA2008, 4.00%, 1/1/2050		21,381			23,250

Pool # RA2282, 4.00%, 1/1/2050		11,689			12,850


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # QA7351, 3.00%, 2/1/2050		9,637		10,147

FNMA

Pool # 470623, ARM, 0.89%, 3/1/2022 (i)		7,282		7,277

Pool # 54844, ARM, 2.19%, 9/1/2027 (i)		19		20

Pool # 303532, ARM, 3.87%, 3/1/2029 (i)		12		12

Pool # 555732, ARM, 1.85%, 8/1/2033 (i)		151		159

Pool # 658481, ARM, 1.59%, 9/1/2033 (i)		231		233

Pool # 746299, ARM, 2.15%, 9/1/2033 (i)		63		66

Pool # 743546, ARM, 1.99%, 11/1/2033 (i)		241		242

Pool # 766610, ARM, 2.09%, 1/1/2034 (i)		46		46

Pool # 777132, ARM, 2.42%, 6/1/2034 (i)		203		216

Pool # 782306, ARM, 2.17%, 7/1/2034 (i)		3		3

Pool # 800422, ARM, 1.32%, 8/1/2034 (i)		172		173

Pool # 790235, ARM, 1.90%, 8/1/2034 (i)		83		84

Pool # 793062, ARM, 2.00%, 8/1/2034 (i)		37		37

Pool # 790964, ARM, 1.89%, 9/1/2034 (i)		6		7

Pool # 794792, ARM, 1.89%, 10/1/2034 (i)		55		58

Pool # 896463, ARM, 2.42%, 10/1/2034 (i)		188		201

Pool # 781563, ARM, 2.12%, 11/1/2034 (i)		33		33

Pool # 799912, ARM, 2.23%, 11/1/2034 (i)		28		28

Pool # 810896, ARM, 1.76%, 1/1/2035 (i)		865		896

Pool # 809319, ARM, 1.88%, 1/1/2035 (i)		59		60

Pool # 816594, ARM, 1.68%, 2/1/2035 (i)		26		27

Pool # 820602, ARM, 1.88%, 3/1/2035 (i)		124		125

Pool # 745862, ARM, 2.35%, 4/1/2035 (i)		184		186

Pool # 821378, ARM, 1.52%, 5/1/2035 (i)		74		74


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 823660, ARM, 1.97%, 5/1/2035 (i)		41		42

Pool # 888605, ARM, 2.15%, 7/1/2035 (i)		34		34

Pool # 832801, ARM, 1.92%, 9/1/2035 (i)		113		116

Pool # 851432, ARM, 2.53%, 10/1/2035 (i)		323		325

Pool # 849251, ARM, 1.98%, 1/1/2036 (i)		457		478

Pool # 745445, ARM, 2.35%, 1/1/2036 (i)		151		160

Pool # 920340, ARM, 2.75%, 2/1/2036 (i)		37		38

Pool # 920843, ARM, 2.72%, 3/1/2036 (i)		1,279		1,367

Pool # 868952, ARM, 1.95%, 5/1/2036 (i)		39		39

Pool # 884066, ARM, 2.11%, 6/1/2036 (i)		123		125

Pool # 872825, ARM, 2.11%, 6/1/2036 (i)		586		622

Pool # 892868, ARM, 2.02%, 7/1/2036 (i)		193		197

Pool # 886558, ARM, 2.02%, 8/1/2036 (i)		337		354

Pool # 745784, ARM, 2.13%, 8/1/2036 (i)		132		133

Pool # 884722, ARM, 2.15%, 8/1/2036 (i)		84		85

Pool # 898179, ARM, 1.46%, 9/1/2036 (i)		656		672

Pool # 920547, ARM, 1.85%, 9/1/2036 (i)		224		234

Pool # 886772, ARM, 1.92%, 9/1/2036 (i)		504		522

Pool # 893580, ARM, 2.07%, 9/1/2036 (i)		210		218

Pool # 894452, ARM, 2.32%, 9/1/2036 (i)		116		117

Pool # 894239, ARM, 2.16%, 10/1/2036 (i)		232		233

Pool # 900191, ARM, 2.49%, 10/1/2036 (i)		275		282

Pool # 900197, ARM, 2.58%, 10/1/2036 (i)		415		444

Pool # 902818, ARM, 2.32%, 11/1/2036 (i)		3		3


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # 897470, ARM, 2.77%, 11/1/2036 (i)		71			71

Pool # 902955, ARM, 2.23%, 12/1/2036 (i)		372			377

Pool # 905189, ARM, 2.31%, 12/1/2036 (i)		94			95

Pool # 920954, ARM, 1.71%, 1/1/2037 (i)		256			266

Pool # 888184, ARM, 2.31%, 1/1/2037 (i)		108			110

Pool # 913984, ARM, 1.61%, 2/1/2037 (i)		329			342

Pool # 915645, ARM, 2.26%, 2/1/2037 (i)		321			339

Pool # 888307, ARM, 1.98%, 4/1/2037 (i)		94			96

Pool # 948208, ARM, 1.48%, 7/1/2037 (i)		317			327

Pool # 944096, ARM, 1.72%, 7/1/2037 (i)		65			66

Pool # 995919, ARM, 1.97%, 7/1/2037 (i)		575			607

Pool # 938346, ARM, 2.08%, 7/1/2037 (i)		229			230

Pool # 945032, ARM, 2.62%, 8/1/2037 (i)		419			429

Pool # 946362, ARM, 1.88%, 9/1/2037 (i)		82			83

Pool # 946260, ARM, 2.16%, 9/1/2037 (i)		37			37

Pool # 952835, ARM, 2.40%, 9/1/2037 (i)		119			128

Pool # AD0085, ARM, 1.67%, 11/1/2037 (i)		590			616

Pool # 995108, ARM, 2.10%, 11/1/2037 (i)		342			366

Pool # AD0179, ARM, 2.35%, 12/1/2037 (i)		548			578

Pool # 966946, ARM, 2.16%, 1/1/2038 (i)		145			145

FNMA UMBS, 15 Year

Pool # 890129, 6.00%, 12/1/2021		—	(j)		—	(j)

Pool # 888834, 6.50%, 4/1/2022		—	(j)		—	(j)

Pool # 889634, 6.00%, 2/1/2023		110			112

Pool # AD0364, 5.00%, 5/1/2023		10			10

Pool # 995381, 6.00%, 1/1/2024		157			162

Pool # 995425, 6.00%, 1/1/2024		59			60

Pool # 995456, 6.50%, 2/1/2024		94			97


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AE0081, 6.00%, 7/1/2024		49			51

Pool # AD0133, 5.00%, 8/1/2024		78			82

Pool # FM3386, 3.50%, 7/1/2034		2,364			2,521

FNMA UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		2			3

Pool # 555791, 6.50%, 12/1/2022		6			7

Pool # 889889, 6.50%, 7/1/2024		18			20

Pool # 888656, 6.50%, 4/1/2025		4			4

Pool # AE0096, 5.50%, 7/1/2025		118			131

Pool # 256311, 6.00%, 7/1/2026		133			149

Pool # 256352, 6.50%, 8/1/2026		245			275

Pool # 256803, 6.00%, 7/1/2027		183			206

Pool # 256962, 6.00%, 11/1/2027		88			99

Pool # 257007, 6.00%, 12/1/2027		266			299

Pool # 257048, 6.00%, 1/1/2028		475			533

Pool # 890222, 6.00%, 10/1/2028		339			380

Pool # AE0049, 6.00%, 9/1/2029		226			254

Pool # AO7761, 3.50%, 7/1/2032		730			782

Pool # MA1138, 3.50%, 8/1/2032		4,117			4,410

Pool # AL6238, 4.00%, 1/1/2035		10,716			11,782

FNMA UMBS, 30 Year

Pool # 189190, 7.50%, 11/1/2022		2			2

Pool # 50966, 7.00%, 1/1/2024		1			1

Pool # 250066, 8.00%, 5/1/2024		1			1

Pool # 250103, 8.50%, 7/1/2024		4			4

Pool # 303031, 7.50%, 10/1/2024		2			2

Pool # 308499, 8.50%, 5/1/2025		—	(j)		—	(j)

Pool # 399269, 7.00%, 4/1/2026		5			5

Pool # 689977, 8.00%, 3/1/2027		37			41

Pool # 695533, 8.00%, 6/1/2027		33			36

Pool # 313687, 7.00%, 9/1/2027		3			4

Pool # 756024, 8.00%, 9/1/2028		44			48

Pool # 755973, 8.00%, 11/1/2028		110			126

Pool # 455759, 6.00%, 12/1/2028		11			12

Pool # 252211, 6.00%, 1/1/2029		17			20

Pool # 459097, 7.00%, 1/1/2029		6			6

Pool # 889020, 6.50%, 11/1/2029		2,411			2,728

Pool # 598559, 6.50%, 8/1/2031		72			85

Pool # 679886, 6.50%, 2/1/2032		344			386

Pool # 649734, 7.00%, 6/1/2032		38			41

Pool # 682078, 5.50%, 11/1/2032		362			418

Pool # 675555, 6.00%, 12/1/2032		101			114

Pool # AL0045, 6.00%, 12/1/2032		789			933

Pool # 683351, 5.50%, 2/1/2033		9			11

Pool # 357363, 5.50%, 3/1/2033		432			499


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 674349, 6.00%, 3/1/2033		44		50

Pool # 688625, 6.00%, 3/1/2033		26		29

Pool # 688655, 6.00%, 3/1/2033		12		13

Pool # 695584, 6.00%, 3/1/2033		6		7

Pool # 254693, 5.50%, 4/1/2033		283		327

Pool # 702901, 6.00%, 5/1/2033		113		135

Pool # 720576, 5.00%, 6/1/2033		82		92

Pool # 995656, 7.00%, 6/1/2033		471		551

Pool # 723852, 5.00%, 7/1/2033		86		99

Pool # 729296, 5.00%, 7/1/2033		93		105

Pool # 720155, 5.50%, 7/1/2033		69		80

Pool # 729379, 6.00%, 8/1/2033		26		29

Pool # AA0917, 5.50%, 9/1/2033		1,132		1,307

Pool # 737825, 6.00%, 9/1/2033		63		73

Pool # 750977, 4.50%, 11/1/2033		65		72

Pool # 725027, 5.00%, 11/1/2033		229		261

Pool # 755109, 5.50%, 11/1/2033		18		21

Pool # 753174, 4.00%, 12/1/2033		268		289

Pool # 725017, 5.50%, 12/1/2033		497		578

Pool # 759424, 5.50%, 1/1/2034		53		62

Pool # 751341, 5.50%, 3/1/2034		52		59

Pool # 770405, 5.00%, 4/1/2034		638		727

Pool # 776708, 5.00%, 5/1/2034		198		226

Pool # AC1317, 4.50%, 9/1/2034		172		189

Pool # 888568, 5.00%, 12/1/2034		153		174

Pool # 810663, 5.00%, 1/1/2035		92		101

Pool # 995003, 7.50%, 1/1/2035		208		244

Pool # 995156, 7.50%, 3/1/2035		244		292

Pool # 735503, 6.00%, 4/1/2035		512		591

Pool # 827776, 5.00%, 7/1/2035		67		74

Pool # 820347, 5.00%, 9/1/2035		304		347

Pool # 745148, 5.00%, 1/1/2036		249		284

Pool # 888417, 6.50%, 1/1/2036		1,501		1,687

Pool # 745275, 5.00%, 2/1/2036		200		228

Pool # 833629, 7.00%, 3/1/2036		13		14

Pool # 745418, 5.50%, 4/1/2036		357		414

Pool # 888016, 5.50%, 5/1/2036		487		565

Pool # 888209, 5.50%, 5/1/2036		313		363

Pool # 870770, 6.50%, 7/1/2036		27		31

Pool # 976871, 6.50%, 8/1/2036		929		1,064

Pool # AA0922, 6.00%, 9/1/2036		1,811		2,126

Pool # 745948, 6.50%, 10/1/2036		210		248

Pool # AA1019, 6.00%, 11/1/2036		265		315

Pool # 888476, 7.50%, 5/1/2037		214		265

Pool # 928584, 6.50%, 8/1/2037		213		254


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 945870, 6.50%, 8/1/2037		221		252

Pool # 986648, 6.00%, 9/1/2037		437		519

Pool # 928670, 7.00%, 9/1/2037		218		234

Pool # 888890, 6.50%, 10/1/2037		371		442

Pool # 888707, 7.50%, 10/1/2037		919		1,116

Pool # 888892, 7.50%, 11/1/2037		293		346

Pool # AL0662, 5.50%, 1/1/2038		633		732

Pool # 995505, 8.00%, 1/1/2038		34		40

Pool # 929331, 6.00%, 4/1/2038		88		98

Pool # 909236, 7.00%, 9/1/2038		321		400

Pool # 890268, 6.50%, 10/1/2038		439		510

Pool # 995149, 6.50%, 10/1/2038		1,759		2,053

Pool # 934591, 7.00%, 10/1/2038		504		622

Pool # AB2869, 6.00%, 11/1/2038		359		417

Pool # 991908, 7.00%, 11/1/2038		407		484

Pool # 995504, 7.50%, 11/1/2038		203		250

Pool # 257510, 7.00%, 12/1/2038		1,003		1,210

Pool # AD0753, 7.00%, 1/1/2039		1,476		1,804

Pool # AD0780, 7.50%, 4/1/2039		950		1,185

Pool # AC2948, 5.00%, 9/1/2039		770		882

Pool # AC3740, 5.50%, 9/1/2039		259		290

Pool # AC7296, 5.50%, 12/1/2039		303		340

Pool # AD7790, 5.00%, 8/1/2040		3,090		3,539

Pool # AD9151, 5.00%, 8/1/2040		1,220		1,379

Pool # AL2059, 4.00%, 6/1/2042		8,753		9,849

Pool # AB9017, 3.00%, 4/1/2043		11,748		12,597

Pool # AT5891, 3.00%, 6/1/2043		15,095		16,389

Pool # AB9860, 3.00%, 7/1/2043		11,284		12,100

Pool # AL7527, 4.50%, 9/1/2043		6,226		6,969

Pool # AL7496, 3.50%, 5/1/2044		22,368		24,682

Pool # AX9319, 3.50%, 12/1/2044		9,266		9,975

Pool # AL7380, 3.50%, 2/1/2045		13,056		14,397

Pool # AS6479, 3.50%, 1/1/2046		29,943		33,077

Pool # BM1213, 4.00%, 4/1/2047		11,506		12,527

Pool # BH7650, 4.00%, 9/1/2047		8,101		8,826

Pool # BM3500, 4.00%, 9/1/2047		47,740		52,730

Pool # BE8344, 4.00%, 11/1/2047		3,058		3,286

Pool # BJ7248, 4.00%, 12/1/2047		5,523		6,095

Pool # BE8349, 4.00%, 1/1/2048		3,289		3,537

Pool # BJ5756, 4.00%, 1/1/2048		7,727		8,300

Pool # BJ7310, 4.00%, 1/1/2048		11,129		12,227

Pool # BJ8237, 4.00%, 1/1/2048		7,197		7,907

Pool # BJ8264, 4.00%, 1/1/2048		4,528		4,975

Pool # BM3375, 4.00%, 1/1/2048		9,106		10,018

Pool # BK1007, 4.00%, 2/1/2048		1,628		1,781


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BK1134, 4.00%, 2/1/2048		7,847		8,431

Pool # BM3665, 4.00%, 3/1/2048		48,287		53,283

Pool # BE8366, 4.50%, 7/1/2048		7,217		7,906

Pool # BK7982, 5.00%, 7/1/2048		8,011		8,902

Pool # BN0271, 4.50%, 9/1/2048		2,719		2,964

Pool # BN1315, 4.50%, 9/1/2048		4,411		4,781

Pool # BN4733, 5.50%, 3/1/2049		1,045		1,186

Pool # BK8745, 4.50%, 4/1/2049		4,440		4,807

Pool # FM1939, 4.50%, 5/1/2049		25,463		27,518

Pool # BK8753, 4.50%, 6/1/2049		8,379		9,161

Pool # CA3713, 5.00%, 6/1/2049		5,394		5,912

Pool # BO2305, 4.00%, 7/1/2049		10,547		11,325

Pool # BO5607, 3.50%, 9/1/2049		5,573		5,895

Pool # BO1405, 4.00%, 9/1/2049		9,776		10,487

Pool # BO4392, 3.50%, 1/1/2050		10,871		11,533

Pool # BP5299, 3.50%, 3/1/2050		8,256		9,039

Pool # CA5729, 3.00%, 5/1/2050		9,264		9,690

Pool # FM3671, 4.50%, 5/1/2050		9,335		10,444

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		5		6

Pool # 252409, 6.50%, 3/1/2029		78		86

Pool # 653815, 7.00%, 2/1/2033		10		10

Pool # 752786, 6.00%, 9/1/2033		87		95

Pool # CA3029, 4.00%, 1/1/2049		6,003		6,398

Pool # CA5105, 3.50%, 2/1/2050		9,292		9,943

FNMA, Other

Pool # 468936, 3.92%, 9/1/2021		5,088		5,087

Pool # AL0905, 4.31%, 9/1/2021 (i)		1,296		1,296

Pool # 469873, 3.03%, 12/1/2021		7,221		7,219

Pool # 470269, 2.97%, 1/1/2022		5,800		5,799

Pool # 470181, 3.20%, 1/1/2022		6,613		6,612

Pool # 470622, 2.75%, 3/1/2022		1,330		1,341

Pool # 470826, 2.97%, 3/1/2022		5,381		5,392

Pool # 470539, 3.14%, 3/1/2022		2,275		2,280

Pool # 471151, 3.02%, 5/1/2022		5,158		5,192

Pool # 471881, 2.67%, 7/1/2022		5,426		5,478

Pool # 471828, 2.65%, 8/1/2022		8,968		9,068

Pool # AM0585, 2.38%, 11/1/2022		6,722		6,820

Pool # AM1437, 2.41%, 11/1/2022		1,211		1,229

Pool # AM0806, 2.45%, 11/1/2022		11,754		11,933

Pool # AM1385, 2.55%, 11/1/2022		9,750		9,905

Pool # AM1386, 2.55%, 11/1/2022		3,117		3,167

Pool # AM1476, 2.32%, 12/1/2022		2,912		2,958

Pool # AM1619, 2.34%, 12/1/2022		17,159		17,432

Pool # AM2111, 2.34%, 1/1/2023		10,649		10,835


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AM2072, 2.37%, 1/1/2023		8,471		8,619

Pool # AM2252, 2.44%, 1/1/2023		7,692		7,834

Pool # AM2333, 2.45%, 2/1/2023		11,210		11,439

Pool # AM2695, 2.49%, 3/1/2023		6,287		6,423

Pool # AM2747, 2.50%, 4/1/2023		12,555		12,867

Pool # AM3069, 2.64%, 4/1/2023		2,796		2,866

Pool # AL3594, 2.70%, 4/1/2023 (i)		3,235		3,320

Pool # AM3244, 2.52%, 5/1/2023		28,698		29,447

Pool # AM3577, 2.42%, 6/1/2023		6,982		7,162

Pool # AL3876, 2.74%, 6/1/2023 (i)		10,832		11,137

Pool # AM3589, 2.77%, 6/1/2023		7,637		7,872

Pool # AM3646, 2.64%, 7/1/2023		3,587		3,699

Pool # AM4011, 3.67%, 7/1/2023		42,150		44,053

Pool # AM3990, 3.74%, 7/1/2023		4,568		4,776

Pool # AM4170, 3.51%, 8/1/2023		9,000		9,404

Pool # AM4066, 3.59%, 8/1/2023		9,865		10,320

Pool # AM4716, 3.38%, 12/1/2023		2,864		3,009

Pool # AM4720, 3.45%, 1/1/2024		23,153		24,402

Pool # AM7024, 2.90%, 12/1/2024		8,200		8,765

Pool # AM7290, 2.97%, 12/1/2024		23,518		25,152

Pool # AM7124, 3.11%, 12/1/2024		24,584		26,402

Pool # AM7682, 2.84%, 1/1/2025		33,758		36,002

Pool # AM7654, 2.86%, 1/1/2025		6,306		6,726

Pool # AM7795, 2.92%, 1/1/2025		32,034		34,246

Pool # AM7698, 2.96%, 1/1/2025		9,350		10,024

Pool # AM7372, 3.05%, 1/1/2025		1,740		1,871

Pool # 470300, 3.64%, 1/1/2025		4,549		4,953

Pool # AM8251, 2.70%, 4/1/2025		9,362		9,950

Pool # AM8846, 2.68%, 5/1/2025		5,932		6,303

Pool # AM9149, 2.63%, 6/1/2025		6,068		6,445

Pool # AM9548, 3.17%, 8/1/2025		6,800		7,390

Pool # AN0029, 3.10%, 9/1/2025		9,554		10,363

Pool # AM4660, 3.77%, 12/1/2025		26,225		29,123

Pool # AN0767, 3.18%, 1/1/2026		8,137		8,870

Pool # AN1292, 2.84%, 4/1/2026		8,795		9,481

Pool # AN1590, 2.40%, 5/1/2026		9,119		9,669

Pool # AN1413, 2.49%, 5/1/2026		21,117		22,485

Pool # AN1497, 2.61%, 6/1/2026		11,034		11,835

Pool # AN1243, 2.64%, 6/1/2026		7,998		8,582

Pool # AN1247, 2.64%, 6/1/2026		9,848		10,567

Pool # 468645, 4.54%, 7/1/2026		2,164		2,437

Pool # AN2367, 2.46%, 8/1/2026		6,155		6,566

Pool # AM6381, 3.29%, 8/1/2026		32,435		35,636

Pool # 468574, 4.55%, 8/1/2026		6,864		7,648

Pool # 468573, 4.76%, 8/1/2026		8,229		9,369


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 468927, 4.77%, 8/1/2026		5,238		5,944

Pool # AM6448, 3.25%, 9/1/2026		9,488		10,459

Pool # AN3076, 2.46%, 10/1/2026		25,000		26,663

Pool # AM7062, 3.44%, 10/1/2026		7,959		8,818

Pool # AM7117, 3.14%, 12/1/2026		18,937		20,808

Pool # AM7262, 3.19%, 12/1/2026		16,221		17,910

Pool # AM7011, 3.22%, 12/1/2026		2,762		3,049

Pool # AM7390, 3.26%, 12/1/2026		7,344		8,090

Pool # FN0029, 4.63%, 12/1/2026 (i)		7,394		8,271

Pool # AM8008, 2.94%, 2/1/2027		11,807		12,837

Pool # AM7515, 3.34%, 2/1/2027		16,000		17,724

Pool # AM8280, 2.91%, 3/1/2027		5,745		6,262

Pool # AM8745, 2.81%, 5/1/2027		9,402		10,211

Pool # AM8784, 2.89%, 5/1/2027		7,879		8,589

Pool # AM8803, 2.78%, 6/1/2027		3,955		4,291

Pool # AM9087, 3.00%, 6/1/2027		16,456		18,067

Pool # AM9170, 3.00%, 6/1/2027		4,447		4,874

Pool # AM9345, 3.25%, 7/1/2027		7,455		8,286

Pool # AN6532, 2.92%, 9/1/2027		4,991		5,474

Pool # AN7048, 2.90%, 10/1/2027		6,506		7,118

Pool # AM1469, 2.96%, 11/1/2027		3,726		4,068

Pool # AN7669, 2.83%, 12/1/2027		20,027		21,865

Pool # AN8114, 3.00%, 1/1/2028		7,808		8,602

Pool # AN8048, 3.08%, 1/1/2028		43,775		48,322

Pool # AN7943, 3.10%, 1/1/2028		14,855		16,464

Pool # AN1600, 2.59%, 6/1/2028		7,299		7,893

Pool # AN9686, 3.52%, 6/1/2028		40,550		46,028

Pool # AN9486, 3.57%, 6/1/2028		26,476		30,205

Pool # AN2005, 2.73%, 7/1/2028		9,809		10,704

Pool # 387806, 3.55%, 8/1/2028		15,289		17,425

Pool # 109782, 3.55%, 9/1/2028		42,800		48,725

Pool # BL0919, 3.82%, 9/1/2028		19,020		21,930

Pool # BL1040, 3.81%, 12/1/2028		42,090		48,988

Pool # BL0907, 3.88%, 12/1/2028		11,997		13,971

Pool # BL1435, 3.53%, 1/1/2029		23,495		26,845

Pool # BL4317, 2.27%, 9/1/2029		4,733		5,024

Pool # AN6846, 2.93%, 10/1/2029		13,300		14,747

Pool # BL4333, 2.52%, 11/1/2029		42,150		45,489

Pool # AM8123, 2.92%, 2/1/2030		7,830		8,590

Pool # AM7785, 3.17%, 2/1/2030		6,009		6,717

Pool # AM7516, 3.55%, 2/1/2030		13,000		14,763

Pool # AM8692, 3.03%, 4/1/2030		25,000		27,747

Pool # AM8544, 3.08%, 4/1/2030		14,915		16,550

Pool # AM8889, 2.92%, 5/1/2030		11,320		12,577

Pool # AM8151, 2.94%, 5/1/2030		12,000		13,184


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AM8802, 3.10%, 5/1/2030		4,931		5,481

Pool # AN9154, 3.64%, 5/1/2030		4,126		4,768

Pool # AM9020, 2.97%, 6/1/2030		7,665		8,450

Pool # AM9154, 3.18%, 6/1/2030		8,883		9,938

Pool # AN9293, 3.71%, 9/1/2030		60,000		69,879

Pool # BL9494, 1.46%, 12/1/2030		10,000		9,978

Pool # BL0979, 4.05%, 12/1/2030		4,125		4,910

Pool # AH9683, 5.00%, 4/1/2031		616		679

Pool # AN1829, 2.90%, 6/1/2031		7,441		8,175

Pool # BL4310, 2.35%, 10/1/2031		11,325		12,040

Pool # AN2625, 2.50%, 10/1/2031		9,685		10,397

Pool # AN5065, 3.34%, 4/1/2032		26,680		30,570

Pool # AQ7084, 3.50%, 12/1/2032		1,800		1,941

Pool # 650236, 5.00%, 12/1/2032		5		5

Pool # AR7484, 3.50%, 2/1/2033		2,876		3,102

Pool # AT7117, 3.50%, 6/1/2033		1,238		1,335

Pool # AN9695, 3.67%, 7/1/2033		32,550		38,723

Pool # AN9950, 3.89%, 7/1/2033		9,398		9,837

Pool # 810997, 5.50%, 10/1/2034		108		112

Pool # AM7122, 3.61%, 11/1/2034		5,284		6,180

Pool # BL5976, 2.49%, 4/1/2035		22,962		24,602

Pool # AM8474, 3.45%, 4/1/2035		4,740		5,486

Pool # AM8475, 3.45%, 4/1/2035		1,923		2,225

Pool # BL6315, 2.20%, 5/1/2035		5,081		5,278

Pool # AM9188, 3.12%, 6/1/2035		23,000		26,138

Pool # AM9532, 3.63%, 10/1/2035		3,571		4,212

Pool # AN0375, 3.76%, 12/1/2035		3,565		4,257

Pool # 256051, 5.50%, 12/1/2035		136		153

Pool # 256128, 6.00%, 2/1/2036		25		27

Pool # 880219, 7.00%, 2/1/2036		64		66

Pool # 868763, 6.50%, 4/1/2036		8		8

Pool # 907742, 7.00%, 12/1/2036		62		71

Pool # 920934, 6.50%, 1/1/2037		384		451

Pool # 888408, 6.00%, 3/1/2037		343		376

Pool # 888373, 7.00%, 3/1/2037		44		49

Pool # 888412, 7.00%, 4/1/2037		65		74

Pool # 995783, 8.00%, 11/1/2037		78		86

Pool # 257209, 5.50%, 5/1/2038		103		117

Pool # MA0127, 5.50%, 6/1/2039		143		156

Pool # AL2606, 4.00%, 3/1/2042		362		381

Pool # AO7225, 4.00%, 7/1/2042		2,057		2,244

Pool # AO9352, 4.00%, 7/1/2042		2,409		2,628

Pool # AO9353, 4.00%, 7/1/2042		2,353		2,588

Pool # MA1125, 4.00%, 7/1/2042		2,081		2,271

Pool # MA1178, 4.00%, 9/1/2042		11,553		12,605


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # MA1213, 3.50%, 10/1/2042		4,789			5,174

Pool # MA1251, 3.50%, 11/1/2042		12,989			14,083

Pool # MA1253, 4.00%, 11/1/2042		9,353			10,204

Pool # AR1397, 3.00%, 1/1/2043		8,568			9,172

Pool # MA1328, 3.50%, 1/1/2043		1,703			1,847

Pool # AQ9999, 3.00%, 2/1/2043		4,821			5,149

Pool # MA1373, 3.50%, 3/1/2043		2,869			3,111

Pool # MA1404, 3.50%, 4/1/2043		8,630			9,357

Pool # AB9096, 4.00%, 4/1/2043		1,249			1,367

Pool # AB9196, 3.50%, 5/1/2043		2,779			2,992

Pool # AT4051, 3.50%, 5/1/2043		1,138			1,234

Pool # MA1437, 3.50%, 5/1/2043		9,986			10,827

Pool # AT5914, 3.50%, 6/1/2043		5,904			6,402

Pool # MA1463, 3.50%, 6/1/2043		11,894			12,896

Pool # AB9704, 4.00%, 6/1/2043		2,552			2,806

Pool # MA1711, 4.50%, 12/1/2043		14,076			15,751

Pool # AL6167, 3.50%, 1/1/2044		6,232			6,757

Pool # MA1759, 4.00%, 1/1/2044		4,693			5,133

Pool # MA1760, 4.50%, 1/1/2044		4,443			4,955

Pool # AV9286, 4.00%, 2/1/2044		3,355			3,691

Pool # MA1800, 4.00%, 2/1/2044		2,485			2,732

Pool # MA1828, 4.50%, 3/1/2044		10,827			12,117

Pool # MA2429, 4.00%, 10/1/2045		3,239			3,562

Pool # MA2565, 4.00%, 3/1/2046		4,296			4,711

Pool # BM5835, 3.00%, 9/1/2047		14,369			15,028

Pool # AD0523, 6.00%, 11/1/2048		249			271

Pool # BF0230, 5.50%, 1/1/2058		57,278			68,499

Pool # BF0341, 5.50%, 1/1/2059		24,207			28,763

Pool # BF0464, 3.50%, 3/1/2060		72,522			78,957

FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 10/25/2036 (k)		82,945			85,698

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 10/25/2051 (k)		1,086,455			1,126,265

GNMA I, 30 Year

Pool # 345288, 7.50%, 3/15/2023		—	(j)		–	(j)

Pool # 352108, 7.00%, 8/15/2023		1			1

Pool # 363030, 7.00%, 9/15/2023		25			26

Pool # 352022, 7.00%, 11/15/2023		1			1

Pool # 366706, 6.50%, 1/15/2024		13			15

Pool # 371281, 7.00%, 2/15/2024		5			5

Pool # 782507, 9.50%, 10/15/2024		1			1

Pool # 780029, 9.00%, 11/15/2024		—	(j)		–	(j)

Pool # 780965, 9.50%, 12/15/2025		—	(j)		–	(j)

Pool # 442119, 7.50%, 11/15/2026		2			3

Pool # 411829, 7.50%, 7/15/2027		6			6


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 554108, 6.50%, 3/15/2028		50			56

Pool # 481872, 7.50%, 7/15/2028		4			4

Pool # 468149, 8.00%, 8/15/2028		6			6

Pool # 468236, 6.50%, 9/15/2028		106			118

Pool # 486537, 7.50%, 9/15/2028		18			20

Pool # 486631, 6.50%, 10/15/2028		4			5

Pool # 466406, 6.00%, 11/15/2028		39			44

Pool # 781328, 7.00%, 9/15/2031		431			501

Pool # 569568, 6.50%, 1/15/2032		322			377

Pool # 591882, 6.50%, 7/15/2032		18			20

Pool # 607645, 6.50%, 2/15/2033		67			75

Pool # 607724, 7.00%, 2/15/2033		44			50

Pool # 783123, 5.50%, 4/15/2033		1,652			1,929

Pool # 604209, 6.50%, 4/15/2033		47			53

Pool # 614546, 5.50%, 6/15/2033		15			17

Pool # 781614, 7.00%, 6/15/2033		119			143

Pool # 781689, 5.50%, 12/15/2033		65			76

Pool # 632415, 5.50%, 7/15/2034		24			27

Pool # 574710, 5.50%, 9/15/2034		25			28

Pool # 782615, 7.00%, 6/15/2035		1,057			1,238

Pool # 782025, 6.50%, 12/15/2035		382			444

Pool # 617486, 7.00%, 4/15/2037		110			121

Pool # 782212, 7.50%, 10/15/2037		214			250

Pool # BI6868, 5.00%, 3/15/2049		3,154			3,611

Pool # BM1726, 5.00%, 3/15/2049		4,716			5,407

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		1			1

Pool # 1989, 8.50%, 4/20/2025		5			5

Pool # 2006, 8.50%, 5/20/2025		7			7

Pool # 2141, 8.00%, 12/20/2025		2			3

Pool # 2234, 8.00%, 6/20/2026		6			6

Pool # 2270, 8.00%, 8/20/2026		4			5

Pool # 2285, 8.00%, 9/20/2026		5			6

Pool # 2324, 8.00%, 11/20/2026		5			5

Pool # 2499, 8.00%, 10/20/2027		11			13

Pool # 2512, 8.00%, 11/20/2027		11			12

Pool # 2525, 8.00%, 12/20/2027		6			6

Pool # 2549, 7.50%, 2/20/2028		7			7

Pool # 2562, 6.00%, 3/20/2028		34			38

Pool # 2633, 8.00%, 8/20/2028		—	(j)		–	(j)

Pool # 2646, 7.50%, 9/20/2028		18			20

Pool # 2647, 8.00%, 9/20/2028		2			2

Pool # 2781, 6.50%, 7/20/2029		400			455

Pool # 4224, 7.00%, 8/20/2038		106			125

Pool # 4245, 6.00%, 9/20/2038		2,376			2,746


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 783389, 6.00%, 8/20/2039		1,073		1,224

Pool # 783444, 5.50%, 9/20/2039		620		709

Pool # 783967, 4.25%, 12/20/2044		5,427		5,888

Pool # AK8791, 3.75%, 7/20/2045		1,844		2,050

Pool # BD0481, 4.00%, 12/20/2047		1,977		2,144

Pool # BD0484, 4.50%, 12/20/2047		11,249		12,091

Pool # BE0207, 4.50%, 2/20/2048		5,762		6,306

Pool # BE0208, 4.50%, 2/20/2048		7,384		8,017

Pool # BE5169, 4.50%, 2/20/2048		7,780		8,400

Pool # BF2333, 5.50%, 3/20/2048		211		240

Pool # BA7567, 4.50%, 5/20/2048		2,867		3,065

Pool # BG6360, 5.00%, 5/20/2048		10,971		12,198

Pool # BF2574, 5.50%, 5/20/2048		135		152

Pool # BI0728, 5.00%, 7/20/2048		9,750		10,873

Pool # BD0551, 4.50%, 8/20/2048		4,219		4,575

Pool # BI5288, 5.00%, 8/20/2048		12,246		13,586

Pool # BI5289, 5.00%, 8/20/2048		19,317		21,391

Pool # AY2411, 4.25%, 9/20/2048		4,178		4,688

Pool # 784598, 5.00%, 9/20/2048		15,256		16,945

Pool # 784626, 4.50%, 10/20/2048		3,343		3,598

Pool # BK2586, 5.00%, 11/20/2048		2,400		2,619

Pool # BJ7082, 5.00%, 12/20/2048		770		844

Pool # BJ7085, 5.00%, 12/20/2048		2,201		2,423

Pool # BK7169, 5.00%, 12/20/2048		14,632		15,943

Pool # BK8878, 4.50%, 2/20/2049		3,309		3,569

Pool # BK7189, 5.00%, 2/20/2049		12,894		14,099

Pool # BJ9972, 5.50%, 2/20/2049		2,180		2,440

Pool # BK7198, 4.50%, 3/20/2049		5,752		6,171

Pool # BK7199, 5.00%, 3/20/2049		3,209		3,514

Pool # BL8042, 5.00%, 3/20/2049		10,078		11,133

Pool # BL9333, 5.00%, 3/20/2049		3,952		4,371

Pool # BG0079, 5.50%, 3/20/2049		2,639		2,954

Pool # BI6888, 5.50%, 3/20/2049		242		273

Pool # BL6756, 5.50%, 3/20/2049		792		887

Pool # BJ1322, 5.00%, 4/20/2049		6,663		7,432

Pool # BJ9622, 5.00%, 4/20/2049		3,367		3,671

Pool # BK7209, 5.00%, 4/20/2049		14,196		15,552

Pool # BL6758, 5.50%, 4/20/2049		3,592		4,020

Pool # BM9664, 4.50%, 5/20/2049		16,063		17,499

Pool # BM2188, 5.00%, 6/20/2049		189		203

Pool # BM9683, 5.00%, 6/20/2049		29,215		32,045

Pool # BO2880, 5.00%, 6/20/2049		671		725

Pool # BN3950, 5.50%, 6/20/2049		6,232		7,012

Pool # BN2629, 4.00%, 7/20/2049		17,238		18,809

Pool # BI0926, 5.00%, 7/20/2049		1,382		1,507


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BI0927, 5.00%, 7/20/2049		624		673

Pool # BM2186, 5.00%, 7/20/2049		1,005		1,086

Pool # BM2187, 5.00%, 7/20/2049		790		856

Pool # BO2871, 5.00%, 7/20/2049		551		595

Pool # BO2872, 5.00%, 7/20/2049		1,865		2,046

Pool # BO2878, 5.00%, 7/20/2049		1,045		1,145

Pool # BO2879, 5.00%, 7/20/2049		1,473		1,603

Pool # BO3162, 5.00%, 7/20/2049		69,228		77,988

Pool # BO3173, 5.00%, 7/20/2049		1,477		1,618

Pool # BO3174, 5.00%, 7/20/2049		939		1,012

Pool # BO3175, 5.00%, 7/20/2049		740		819

Pool # BO8226, 5.00%, 7/20/2049		1,016		1,116

Pool # BO8229, 5.00%, 7/20/2049		10,999		12,201

Pool # BO8235, 5.00%, 7/20/2049		1,155		1,255

Pool # BO8236, 5.00%, 7/20/2049		957		1,036

Pool # BP4243, 5.00%, 8/20/2049		16,621		18,322

Pool # BN2649, 3.50%, 9/20/2049		5,390		5,806

Pool # BM9713, 4.50%, 9/20/2049		4,780		5,136

Pool # BP4337, 4.50%, 9/20/2049		22,913		25,199

Pool # BQ3224, 4.50%, 9/20/2049		20,050		22,119

Pool # 784810, 5.00%, 9/20/2049		19,024		21,393

Pool # BM9734, 4.00%, 10/20/2049		7,641		8,218

Pool # 784847, 4.50%, 11/20/2049		32,106		35,041

Pool # BQ8694, 4.50%, 11/20/2049		1,204		1,321

Pool # BQ8696, 4.50%, 11/20/2049		1,253		1,389

Pool # BR2686, 4.50%, 11/20/2049		3,477		3,818

Pool # BR2687, 4.50%, 11/20/2049		6,389		7,077

Pool # BR2688, 4.50%, 11/20/2049		3,298		3,604

Pool # BR2689, 4.50%, 11/20/2049		5,114		5,609

Pool # BR2739, 4.50%, 11/20/2049		2,860		3,153

Pool # BR2756, 4.50%, 11/20/2049		2,753		3,050

Pool # BR2757, 4.50%, 11/20/2049		2,651		2,909

Pool # BR3820, 4.50%, 11/20/2049		748		816

Pool # BR3821, 4.50%, 11/20/2049		1,135		1,219

Pool # BS0953, 4.50%, 11/20/2049		2,369		2,611

Pool # BQ4131, 3.50%, 12/20/2049		16,840		17,973

Pool # BI0940, 4.50%, 12/20/2049		790		867

Pool # BQ3796, 4.50%, 12/20/2049		4,306		4,778

Pool # BR2730, 4.50%, 12/20/2049		1,206		1,325

Pool # BR2731, 4.50%, 12/20/2049		1,268		1,406

Pool # BR2732, 4.50%, 12/20/2049		1,982		2,186

Pool # BR2755, 4.50%, 12/20/2049		1,470		1,615

Pool # BR3822, 4.50%, 12/20/2049		903		985

Pool # BR3823, 4.50%, 12/20/2049		1,869		2,047

Pool # BR3824, 4.50%, 12/20/2049		2,620		2,879


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BS0951, 4.50%, 12/20/2049		2,434		2,697

Pool # BS0952, 4.50%, 12/20/2049		1,704		1,888

Pool # BQ4132, 3.50%, 1/20/2050		7,248		7,807

Pool # BQ4133, 3.50%, 1/20/2050		7,020		7,628

Pool # BR1548, 3.50%, 1/20/2050		4,579		4,827

Pool # BS8380, 4.50%, 2/20/2050		7,267		8,064

Pool # BP8085, 3.00%, 3/20/2050		5,387		5,636

Pool # BR3892, 4.00%, 3/20/2050		16,075		17,893

Pool # BT8094, 4.00%, 4/20/2050		1,253		1,390

Pool # BT8095, 4.00%, 4/20/2050		6,635		7,268

Pool # BT8096, 4.00%, 4/20/2050		9,268		10,074

Pool # BT8097, 4.00%, 4/20/2050		10,326		11,281

Pool # BT8098, 4.00%, 4/20/2050		11,895		12,975

Pool # BT8099, 4.00%, 4/20/2050		11,800		12,808

Pool # BW7042, 3.50%, 9/20/2050		26,011		28,586

Pool # 785294, 3.50%, 1/20/2051		74,598		82,144

Pool # MA7534, 2.50%, 8/20/2051		364,860		378,779

GNMA II, Other

Pool # AD0858, 3.75%, 9/20/2038		614		654

Pool # 4285, 6.00%, 11/20/2038		12		14

Pool # AD0862, 3.75%, 1/20/2039		1,229		1,311

Pool # AC0973, 4.39%, 5/20/2063 (i)		12		12

Pool # 784879, 4.09%, 11/20/2069 (i)		20,627		22,537

Pool # 785137, 3.08%, 8/20/2070 (i)		21,979		23,409

Pool # 785183, 2.93%, 10/20/2070 (i)		45,054		47,700


Total Mortgage-Backed Securities (Cost $5,356,559)				5,546,167

Collateralized Mortgage Obligations — 10.3%

ACC 0.00%, 9/15/2022 ‡		36,423		36,423

Acre 6.25%, 12/22/2021 ‡		23,067		22,837

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		3,182		3,208

Series 2005-1CB, Class 1A6, IF, IO, 7.02%, 3/25/2035 ‡ (i)		965		148

Series 2005-22T1, Class A2, IF, IO, 4.99%, 6/25/2035 ‡ (i)		4,266		678

Series 2005-20CB, Class 3A8, IF, IO, 4.67%, 7/25/2035 ‡ (i)		3,265		448

Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035		1,399		1,406

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		53		34

Series 2005-37T1, Class A2, IF, IO, 4.97%, 9/25/2035 ‡ (i)		14,186		2,214


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-54CB, Class 1A2, IF, IO, 4.77%, 11/25/2035 ‡ (i)		4,593		704

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		1,162		1,089

Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035		16		16

Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		543		547

American General Mortgage Loan Trust

Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (i)		8		9

Anchor Mortgage Trust Series 2021-1, Class A1, 2.60%, 10/25/2026 (a)		96,000		97,130

ANTLR Mortgage Trust Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (a) (i)		43,642		43,689

ASG Resecuritization Trust

Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (a) (i)		667		616

BAML PIMCO 3.34%, 4/15/2023 ‡		28,187		28,187

Banc of America Alternative Loan Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		8		6

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		138		111

Series 2004-2, Class 1CB1, 5.75%, 9/20/2034		173		187

Series 2004-C, Class 1A1, 3.23%, 12/20/2034 (i)		279		290

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		162		165

Series 2005-7, Class 30, PO, 11/25/2035 ‡		144		140

Series 2005-8, Class 30, PO, 1/25/2036 ‡		47		35

Series 2006-1, Class X, PO, 1/25/2036 ‡		42		30

Banc of America Mortgage Trust

Series 2003-C, Class 3A1, 2.37%, 4/25/2033 (i)		91		94

Baring

Series 2021-EBO1, Class PA, 3.34%, 4/15/2023 ‡		65,625		65,625

Bayview Financing Trust

Series 2020-3F, Class A, 3.10%, 11/10/2022 ‡ (a) (i)		43,619		43,619

Series 2021-2F, Class M1, 1.60%, 12/31/2049 ‡ (a) (i)		2,574		2,574

Series 2021-2F, Class M2, 2.52%, 12/31/2049 ‡ (a) (i)		36,300		36,300

Bear Stearns ARM Trust

Series 2003-2, Class A5, 2.56%, 1/25/2033 (a) (i)		629		651


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-7, Class 3A, 2.53%, 10/25/2033 (i)		22		22

Series 2004-2, Class 14A, 2.74%, 5/25/2034 (i)		299		296

Series 2006-1, Class A1, 2.37%, 2/25/2036 (i)		723		734

Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates

Series 2003-8, Class 1P, PO, 10/25/2033 ‡		37		34

Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates

Series 2004-1, Class P, PO, 2/25/2034 ‡		26		23

CFMT LLC

Series 2021-HB5, Class A, 0.80%, 2/25/2031 (a) (i)		29,961		29,966

Chase Mortgage Finance Trust

Series 2007-A2, Class 1A1, 2.28%, 6/25/2035 (i)		126		123

Series 2007-A2, Class 2A1, 2.52%, 6/25/2035 (i)		256		260

Series 2007-A1, Class 2A1, 2.40%, 2/25/2037 (i)		343		347

Series 2007-A1, Class 1A3, 2.45%, 2/25/2037 (i)		171		174

Series 2007-A1, Class 9A1, 2.71%, 2/25/2037 (i)		201		205

Series 2007-A1, Class 7A1, 2.79%, 2/25/2037 (i)		60		62

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		13		1

Series 2002-18, PO, 11/25/2032 ‡		46		42

Series 2004-3, Class A26, 5.50%, 4/25/2034		165		172

Series 2004-3, Class A4, 5.75%, 4/25/2034		112		117

Series 2004-HYB1, Class 2A, 2.59%, 5/20/2034 (i)		65		67

Series 2004-HYB3, Class 2A, 2.10%, 6/20/2034 (i)		397		406

Series 2004-7, Class 2A1, 2.46%, 6/25/2034 (i)		47		48

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		712		733

Series 2004-HYB6, Class A3, 2.68%, 11/20/2034 (i)		243		251


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-14, Class A2, 5.50%, 7/25/2035		114		89

Series 2005-16, Class A23, 5.50%, 9/25/2035		55		48

Series 2005-22, Class 2A1, 2.58%, 11/25/2035 (i)		921		879

Citicorp Mortgage Securities Trust

Series 2006-1, Class 2A1, 5.00%, 2/25/2021		12		12

Series 2006-4, Class 1A2, 6.00%, 8/25/2036		271		276

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 12/25/2018 ‡		1		1

Series 2003-HYB1, Class A, 2.59%, 9/25/2033 (i)		277		290

Citigroup Mortgage Loan Trust

Series 2009-10, Class 1A1, 2.63%, 9/25/2033 (a) (i)		811		819

Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (i)		2,894		3,024

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class 3, PO, 9/25/2033 ‡		32		29

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		22		23

Series 2003-1, Class 2, PO, 10/25/2033 ‡		4		3

Series 2003-1, Class 2A6, PO, 10/25/2033 ‡		13		13

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		75		76

Series 2004-UST1, Class A6, 1.95%, 8/25/2034 (i)		49		48

Series 2005-1, Class 2A1A, 2.24%, 2/25/2035 (i)		155		149

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		625		642

Series 2005-5, Class 1A2, 2.80%, 8/25/2035 (i)		470		398

Conix Mortgage Asset Trust

Series 2013-1, Class A, 0.00%, 12/25/2047 ‡ (i) (l)		8,628		136

Credit Suisse First Boston Mortgage Securities Corp.

Series 2004-5, Class 3A1, 5.25%, 8/25/2019		82		75

Series 2003-1, Class DB1, 6.70%, 2/25/2033 (i)		505		512


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2003-AR15, Class 3A1, 2.30%, 6/25/2033 (i)		130			135

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		263			271

Series 2003-23, Class 1P, PO, 10/25/2033 ‡		275			234

CSFB Mortgage-Backed Pass-Through Certificates

Series 2003-27, Class 5A4, 5.25%, 11/25/2033		140			142

Series 2004-4, Class 2A4, 5.50%, 9/25/2034		219			229

Series 2004-8, Class 1A4, 5.50%, 12/25/2034		639			648

Series 2005-9, Class AP, PO, 10/25/2035‡		93			77

Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 ‡		1,224			142

Series 2005-10, Class AP, PO, 11/25/2035 ‡		54			39

CSMC Trust

Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (i)		28,974			29,094

CVS Pass-Through Trust

Series 2009, 8.35%, 7/10/2031 (a)		5,105			6,671

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

Series 2005-1, Class 2A1, 4.39%, 2/25/2020 (i)		48			48

FHLMC - GNMA

Series 8, Class ZA, 7.00%, 3/25/2023		11			11

Series 24, Class ZE, 6.25%, 11/25/2023		15			16

Series 29, Class L, 7.50%, 4/25/2024		107			112

FHLMC, Reference REMIC

Series R006, Class ZA, 6.00%, 4/15/2036		1,810			2,140

Series R007, Class ZA, 6.00%, 5/15/2036		2,407			2,815

FHLMC, REMIC

Series 1144, Class KB, 8.50%, 9/15/2021		—	(j)		—	(j)

Series 3688, Class CU, 6.62%, 11/15/2021 (i)		1			1

Series 1206, Class IA, 7.00%, 3/15/2022		—	(j)		—	(j)

Series 1250, Class J, 7.00%, 5/15/2022		1			1

Series 1343, Class LB, 7.50%, 8/15/2022		1			1

Series 1343, Class LA, 8.00%, 8/15/2022		3			3

Series 1370, Class JA, 1.25%, 9/15/2022 (i)		2			2


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2512, Class PG, 5.50%, 10/15/2022		61			62

Series 1455, Class WB, IF, 4.63%, 12/15/2022 (i)		3			3

Series 2535, Class BK, 5.50%, 12/15/2022		16			16

Series 1470, Class F, 1.31%, 2/15/2023 (i)		—	(j)		—	(j)

Series 1466, Class PZ, 7.50%, 2/15/2023		29			30

Series 2586, Class HD, 5.50%, 3/15/2023		290			299

Series 1498, Class I, 1.25%, 4/15/2023 (i)		20			20

Series 2595, Class HC, 5.50%, 4/15/2023		323			333

Series 1502, Class PX, 7.00%, 4/15/2023		29			30

Series 1491, Class I, 7.50%, 4/15/2023		6			6

Series 1798, Class F, 5.00%, 5/15/2023		31			32

Series 1505, Class Q, 7.00%, 5/15/2023		4			4

Series 1518, Class G, IF, 8.85%, 5/15/2023 (i)		14			14

Series 2033, Class J, 5.60%, 6/15/2023		55			57

Series 1541, Class O, 0.77%, 7/15/2023 (i)		15			15

Series 2638, Class DS, IF, 8.50%, 7/15/2023 (i)		20			21

Series 1541, Class M, HB, IF, 26.27%, 7/15/2023 (i)		3			3

Series 1570, Class F, 1.78%, 8/15/2023 (i)		1			1

Series 1608, Class L, 6.50%, 9/15/2023		110			116

Series 1573, Class PZ, 7.00%, 9/15/2023		25			26

Series 2571, Class SK, HB, IF, 34.09%, 9/15/2023 (i)		12			14

Series 1591, Class PV, 6.25%, 10/15/2023		15			16

Series 1602, Class SA, HB, IF, 22.45%, 10/15/2023 (i)		12			14

Series 2709, Class PG, 5.00%, 11/15/2023		474			491

Series 2710, Class HB, 5.50%, 11/15/2023		93			95

Series 1642, Class PJ, 6.00%, 11/15/2023		43			45

Series 2720, Class PC, 5.00%, 12/15/2023		47			49


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1983, Class Z, 6.50%, 12/15/2023		29		31

Series 2283, Class K, 6.50%, 12/15/2023		31		33

Series 1658, Class GZ, 7.00%, 1/15/2024		17		18

Series 1700, Class GA, PO, 2/15/2024		1		1

Series 1865, Class D, PO, 2/15/2024		30		30

Series 1671, Class L, 7.00%, 2/15/2024		8		9

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (i)		11		12

Series 1686, Class SH, IF, 19.03%, 2/15/2024 (i)		2		2

Series 1709, Class FA, 0.41%, 3/15/2024 (i)		1		1

Series 1699, Class FC, 0.70%, 3/15/2024 (i)		3		3

Series 1695, Class EB, 7.00%, 3/15/2024		14		15

Series 1706, Class K, 7.00%, 3/15/2024		78		82

Series 2033, Class SN, HB, IF, 30.16%, 3/15/2024 (i)		9		1

Series 1720, Class PL, 7.50%, 4/15/2024		45		48

Series 2306, Class K, PO, 5/15/2024		14		14

Series 2306, Class SE, IF, IO, 9.34%, 5/15/2024 (i)		33		3

Series 1737, Class L, 6.00%, 6/15/2024		50		53

Series 1745, Class D, 7.50%, 8/15/2024		24		26

Series 3614, Class QB, 4.00%, 12/15/2024		640		667

Series 2903, Class Z, 5.00%, 12/15/2024		156		167

Series 2967, Class S, HB, IF, 33.30%, 4/15/2025 (i)		52		64

Series 3684, Class CY, 4.50%, 6/15/2025		2,251		2,373

Series 3022, Class SX, IF, 16.64%, 8/15/2025 (i)		22		26

Series 3051, Class DP, HB, IF, 27.61%, 10/15/2025 (i)		72		96

Series 3793, Class AB, 3.50%, 1/15/2026		2,356		2,473

Series 1829, Class ZB, 6.50%, 3/15/2026		8		8

Series 1863, Class Z, 6.50%, 7/15/2026		56		59

Series 1890, Class H, 7.50%, 9/15/2026		12		13

Series 1899, Class ZE, 8.00%, 9/15/2026		36		41

Series 1927, Class ZA, 6.50%, 1/15/2027		54		60


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1927, Class PH, 7.50%, 1/15/2027		92		104

Series 1963, Class Z, 7.50%, 1/15/2027		35		40

Series 1935, Class FL, 0.80%, 2/15/2027 (i)		3		3

Series 1981, Class Z, 6.00%, 5/15/2027		72		78

Series 1970, Class PG, 7.25%, 7/15/2027		3		4

Series 1987, Class PE, 7.50%, 9/15/2027		33		38

Series 2019, Class Z, 6.50%, 12/15/2027		46		51

Series 2038, Class PN, IO, 7.00%, 3/15/2028		54		7

Series 2040, Class PE, 7.50%, 3/15/2028		164		189

Series 2054, Class PV, 7.50%, 5/15/2028		58		66

Series 2063, Class PG, 6.50%, 6/15/2028		82		93

Series 2064, Class TE, 7.00%, 6/15/2028		12		13

Series 2070, Class C, 6.00%, 7/15/2028		55		62

Series 2075, Class PM, 6.25%, 8/15/2028		192		215

Series 2075, Class PH, 6.50%, 8/15/2028		180		203

Series 2086, Class GB, 6.00%, 9/15/2028		27		31

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		71		7

Series 2095, Class PE, 6.00%, 11/15/2028		150		168

Series 2106, Class ZD, 6.00%, 12/15/2028		297		333

Series 2388, Class FB, 0.70%, 1/15/2029 (i)		70		71

Series 2110, Class PG, 6.00%, 1/15/2029		392		442

Series 2125, Class JZ, 6.00%, 2/15/2029		86		95

Series 2126, Class CB, 6.25%, 2/15/2029		421		466

Series 2132, Class SB, HB, IF, 30.14%, 3/15/2029 (i)		11		17

Series 2141, IO, 7.00%, 4/15/2029		6		1

Series 2169, Class TB, 7.00%, 6/15/2029		381		435

Series 2163, Class PC, IO, 7.50%, 6/15/2029		29		3

Series 2172, Class QC, 7.00%, 7/15/2029		217		252

Series 2176, Class OJ, 7.00%, 8/15/2029		99		115


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2196, Class TL, 7.50%, 11/15/2029		1		1

Series 2201, Class C, 8.00%, 11/15/2029		76		86

Series 2204, Class GB, 8.00%, 12/20/2029 (i)		5		1

Series 2208, Class PG, 7.00%, 1/15/2030		192		225

Series 2209, Class TC, 8.00%, 1/15/2030		51		61

Series 2210, Class Z, 8.00%, 1/15/2030		186		222

Series 2224, Class CB, 8.00%, 3/15/2030		45		54

Series 3654, Class DC, 5.00%, 4/15/2030		6,098		6,877

Series 2230, Class Z, 8.00%, 4/15/2030		60		71

Series 2234, Class PZ, 7.50%, 5/15/2030		44		52

Series 2247, Class Z, 7.50%, 8/15/2030		45		53

Series 2256, Class MC, 7.25%, 9/15/2030		111		132

Series 2259, Class ZM, 7.00%, 10/15/2030		138		162

Series 2262, Class Z, 7.50%, 10/15/2030		11		13

Series 2271, Class PC, 7.25%, 12/15/2030		147		174

Series 2296, Class PD, 7.00%, 3/15/2031		84		99

Series 2313, Class LA, 6.50%, 5/15/2031		28		32

Series 2325, Class PM, 7.00%, 6/15/2031		56		66

Series 2359, Class ZB, 8.50%, 6/15/2031		163		198

Series 2332, Class ZH, 7.00%, 7/15/2031		166		196

Series 2344, Class ZD, 6.50%, 8/15/2031		974		1,125

Series 2344, Class ZJ, 6.50%, 8/15/2031		107		126

Series 2345, Class NE, 6.50%, 8/15/2031		71		84

Series 2351, Class PZ, 6.50%, 8/15/2031		83		95

Series 2367, Class ME, 6.50%, 10/15/2031		92		105

Series 2399, Class OH, 6.50%, 1/15/2032		123		139

Series 2399, Class TH, 6.50%, 1/15/2032		147		172


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2418, Class FO, 1.00%, 2/15/2032 (i)		305		308

Series 2410, Class OE, 6.38%, 2/15/2032		70		75

Series 2410, Class NG, 6.50%, 2/15/2032		164		191

Series 2420, Class XK, 6.50%, 2/15/2032		206		241

Series 2475, Class S, IF, IO, 7.90%, 2/15/2032 (i)		388		76

Series 2410, Class QX, IF, IO, 8.55%, 2/15/2032 (i)		78		15

Series 2412, Class SP, IF, 15.91%, 2/15/2032 (i)		206		271

Series 2410, Class QS, IF, 19.25%, 2/15/2032 (i)		200		289

Series 2423, Class TB, 6.50%, 3/15/2032		273		310

Series 2430, Class WF, 6.50%, 3/15/2032		238		280

Series 2423, Class MC, 7.00%, 3/15/2032		147		173

Series 2423, Class MT, 7.00%, 3/15/2032		181		215

Series 2444, Class ES, IF, IO, 7.85%, 3/15/2032 (i)		163		29

Series 2450, Class SW, IF, IO, 7.90%, 3/15/2032 (i)		106		19

Series 2434, Class ZA, 6.50%, 4/15/2032		496		560

Series 2435, Class CJ, 6.50%, 4/15/2032		365		425

Series 2441, Class GF, 6.50%, 4/15/2032		57		67

Series 2434, Class TC, 7.00%, 4/15/2032		320		379

Series 2436, Class MC, 7.00%, 4/15/2032		89		101

Series 2455, Class GK, 6.50%, 5/15/2032		181		205

Series 2450, Class GZ, 7.00%, 5/15/2032		169		202

Series 2458, Class ZM, 6.50%, 6/15/2032		154		174

Series 2466, Class DH, 6.50%, 6/15/2032		67		79

Series 2466, Class PH, 6.50%, 6/15/2032		216		253

Series 2474, Class NR, 6.50%, 7/15/2032		195		225

Series 2484, Class LZ, 6.50%, 7/15/2032		268		319


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3393, Class JO, PO, 9/15/2032		658		613

Series 2500, Class MC, 6.00%, 9/15/2032		254		295

Series 2835, Class QO, PO, 12/15/2032		32		30

Series 2571, Class FY, 0.85%, 12/15/2032 (i)		250		255

Series 2543, Class YX, 6.00%, 12/15/2032		456		526

Series 2544, Class HC, 6.00%, 12/15/2032		208		248

Series 2571, Class SY, IF, 18.37%, 12/15/2032 (i)		147		205

Series 2552, Class ME, 6.00%, 1/15/2033		303		352

Series 2567, Class QD, 6.00%, 2/15/2033		279		326

Series 2575, Class ME, 6.00%, 2/15/2033		1,155		1,336

Series 2596, Class QG, 6.00%, 3/15/2033		184		207

Series 2586, Class WI, IO, 6.50%, 3/15/2033		123		23

Series 2631, Class SA, IF, 14.67%, 6/15/2033 (i)		434		559

Series 2653, Class PZ, 5.00%, 7/15/2033		2,473		2,745

Series 2642, Class SL, IF, 6.75%, 7/15/2033 (i)		4		4

Series 2692, Class SC, IF, 13.10%, 7/15/2033 (i)		146		193

Series 4238, Class WY, 3.00%, 8/15/2033		3,580		3,839

Series 2671, Class S, IF, 14.58%, 9/15/2033 (i)		120		161

Series 2733, Class SB, IF, 7.92%, 10/15/2033 (i)		3,208		3,701

Series 2780, Class SY, IF, 16.29%, 11/15/2033 (i)		61		82

Series 2722, Class PF, 0.70%, 12/15/2033 (i)		958		972

Series 3920, Class LP, 5.00%, 1/15/2034		1,505		1,700

Series 2744, Class PE, 5.50%, 2/15/2034		12		13

Series 2802, Class OH, 6.00%, 5/15/2034		676		755

Series 2990, Class SL, HB, IF, 24.14%, 6/15/2034 (i)		151		178

Series 3611, PO, 7/15/2034		640		603

Series 3305, Class MG, IF, 2.32%, 7/15/2034) (i)		255		269


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2990, Class GO, PO, 2/15/2035		205		189

Series 2929, Class MS, HB, IF, 27.74%, 2/15/2035 (i)		273		385

Series 3077, Class TO, PO, 4/15/2035		220		215

Series 2968, Class EH, 6.00%, 4/15/2035		7,336		8,321

Series 2981, Class FA, 0.50%, 5/15/2035 (i)		314		316

Series 2988, Class AF, 0.40%, 6/15/2035 (i)		483		484

Series 2990, Class WP, IF, 16.79%, 6/15/2035 (i)		8		11

Series 3014, Class OD, PO, 8/15/2035		50		45

Series 3085, Class WF, 0.90%, 8/15/2035 (i)		307		314

Series 3029, Class SO, PO, 9/15/2035		136		133

Series 3064, Class SG, IF, 19.68%, 11/15/2035 (i)		215		305

Series 3101, Class UZ, 6.00%, 1/15/2036		757		887

Series 3102, Class HS, HB, IF, 24.22%, 1/15/2036 (i)		37		53

Series 3117, Class AO, PO, 2/15/2036		396		387

Series 3117, Class EO, PO, 2/15/2036		166		155

Series 3117, Class OG, PO, 2/15/2036		127		119

Series 3117, Class OK, PO, 2/15/2036		146		136

Series 3122, Class OH, PO, 3/15/2036		244		228

Series 3122, Class OP, PO, 3/15/2036		229		224

Series 3134, PO, 3/15/2036		40		38

Series 3122, Class ZB, 6.00%, 3/15/2036		24		37

Series 3138, PO, 4/15/2036		193		179

Series 3147, PO, 4/15/2036		462		451

Series 3607, Class AO, PO, 4/15/2036		402		367

Series 3607, Class BO, PO, 4/15/2036		737		691

Series 3137, Class XP, 6.00%, 4/15/2036		463		546

Series 3219, Class DI, IO, 6.00%, 4/15/2036		376		79

Series 3819, Class ZQ, 6.00%, 4/15/2036		3,928		4,639

Series 3149, Class SO, PO, 5/15/2036		107		96

Series 3151, PO, 5/15/2036		236		221

Series 3153, Class EO, PO, 5/15/2036		315		287

Series 3233, Class OP, PO, 5/15/2036		55		51

Series 3171, Class MO, PO, 6/15/2036		503		489


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3164, Class MG, 6.00%, 6/15/2036		115		126

Series 3523, Class SD, IF, 19.40%, 6/15/2036 (i)		138		180

Series 3179, Class OA, PO, 7/15/2036		132		120

Series 3181, Class AZ, 6.50%, 7/15/2036		571		681

Series 3195, Class PD, 6.50%, 7/15/2036		422		480

Series 3194, Class SA, IF, IO, 7.00%, 7/15/2036 (i)		60		12

Series 3200, PO, 8/15/2036		206		193

Series 3200, Class AY, 5.50%, 8/15/2036		922		1,074

Series 3645, Class KZ, 5.50%, 8/15/2036		329		381

Series 3202, Class HI, IF, IO, 6.55%, 8/15/2036 (i)		3,186		668

Series 3213, Class OA, PO, 9/15/2036		126		115

Series 3218, Class AO, PO, 9/15/2036		101		86

Series 3225, Class EO, PO, 10/15/2036		249		233

Series 3232, Class ST, IF, IO, 6.60%, 10/15/2036 (i)		363		75

Series 3704, Class DT, 7.50%, 11/15/2036		2,978		3,634

Series 3256, PO, 12/15/2036		130		121

Series 3704, Class CT, 7.00%, 12/15/2036		7,452		9,000

Series 3704, Class ET, 7.50%, 12/15/2036		2,645		3,260

Series 3261, Class OA, PO, 1/15/2037		134		123

Series 3260, Class CS, IF, IO, 6.04%, 1/15/2037 (i)		209		42

Series 3274, Class JO, PO, 2/15/2037		32		31

Series 3510, Class OD, PO, 2/15/2037		376		363

Series 3275, Class FL, 0.54%, 2/15/2037 (i)		224		226

Series 3274, Class B, 6.00%, 2/15/2037		271		309

Series 3286, PO, 3/15/2037		28		24

Series 3290, Class SB, IF, IO, 6.35%, 3/15/2037 (i)		400		84

Series 3443, Class SY, IF, 9.00%, 3/15/2037 (i)		122		148

Series 3373, Class TO, PO, 4/15/2037		137		127

Series 3302, Class UT, 6.00%, 4/15/2037		361		426

Series 3316, PO, 5/15/2037		244		220

Series 3318, Class AO, PO, 5/15/2037		8		8


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3607, PO, 5/15/2037		1,348		1,230

Series 3315, Class HZ, 6.00%, 5/15/2037		343		396

Series 3326, Class JO, PO, 6/15/2037		23		21

Series 3331, PO, 6/15/2037		136		127

Series 3607, Class OP, PO, 7/15/2037		1,236		1,115

Series 4032, Class TO, PO, 7/15/2037		1,899		1,712

Series 4048, Class FJ, 0.50%, 7/15/2037 (i)		3,834		3,834

Series 3344, Class SL, IF, IO, 6.50%, 7/15/2037 (i)		289		50

Series 3365, PO, 9/15/2037		184		165

Series 3371, Class FA, 0.70%, 9/15/2037 (i)		95		97

Series 3387, Class SA, IF, IO, 6.32%, 11/15/2037 (i)		1,456		273

Series 3383, Class SA, IF, IO, 6.35%, 11/15/2037 (i)		1,042		210

Series 3404, Class SC, IF, IO, 5.90%, 1/15/2038 (i)		1,955		387

Series 3422, Class SE, IF, 17.21%, 2/15/2038 (i)		73		97

Series 3423, Class PB, 5.50%, 3/15/2038		1,605		1,857

Series 3424, Class PI, IF, IO, 6.70%, 4/15/2038 (i)		858		206

Series 3453, Class B, 5.50%, 5/15/2038		109		125

Series 3461, Class LZ, 6.00%, 6/15/2038		74		86

Series 3461, Class Z, 6.00%, 6/15/2038		2,182		2,519

Series 3455, Class SE, IF, IO, 6.10%, 6/15/2038 (i)		715		114

Series 3481, Class SJ, IF, IO, 5.75%, 8/15/2038 (i)		1,262		242

Series 3895, Class WA, 5.70%, 10/15/2038 (i)		582		674

Series 3501, Class CB, 5.50%, 1/15/2039		1,012		1,166

Series 3546, Class A, 1.74%, 2/15/2039 (i)		421		437

Series 3511, Class SA, IF, IO, 5.90%, 2/15/2039 (i)		564		87

Series 4095, Class FB, 0.50%, 4/15/2039 (i)		386		387

Series 3531, Class SM, IF, IO, 6.00%, 5/15/2039 (i)		101		17

Series 3531, Class SA, IF, IO, 6.20%, 5/15/2039 (i)		626		54


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3549, Class FA, 1.30%, 7/15/2039 (i)		144		147

Series 3680, Class MA, 4.50%, 7/15/2039		1,436		1,494

Series 4219, Class JA, 3.50%, 8/15/2039		394		396

Series 3607, Class TO, PO, 10/15/2039		662		606

Series 3795, Class EI, IO, 5.00%, 10/15/2039		829		42

Series 3608, Class SC, IF, IO, 6.15%, 12/15/2039 (i)		570		93

Series 3621, Class BO, PO, 1/15/2040		596		557

Series 3802, Class LS, IF, IO, 1.68%, 1/15/2040 (i)		3,469		160

Series 3632, Class BS, IF, 17.18%, 2/15/2040 (i)		1,912		2,647

Series 3966, Class BF, 0.60%, 10/15/2040 (i)		286		287

Series 3740, Class SB, IF, IO, 5.90%, 10/15/2040 (i)		1,620		246

Series 3740, Class SC, IF, IO, 5.90%, 10/15/2040 (i)		1,439		281

Series 3779, Class GZ, 4.50%, 12/15/2040		7,789		8,317

Series 3779, Class Z, 4.50%, 12/15/2040		19,805		21,839

Series 3860, Class PZ, 5.00%, 5/15/2041		12,296		14,210

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (i)		1,199		1,305

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (i)		2,937		3,193

Series 4048, Class FB, 0.50%, 10/15/2041 (i)		2,878		2,892

Series 3957, Class B, 4.00%, 11/15/2041		1,989		2,193

Series 3966, Class NA, 4.00%, 12/15/2041		1,676		1,864

Series 4012, Class FN, 0.60%, 3/15/2042 (i)		4,592		4,637

Series 4077, Class FB, 0.60%, 7/15/2042 (i)		1,944		1,968

Series 4217, Class KY, 3.00%, 6/15/2043		1,794		1,946

Series 4257, Class DZ, 2.50%, 10/15/2043		5,955		6,187

Series 3688, Class GT, 7.44%, 11/15/2046 (i)		3,803		4,520

Series 4784, Class NZ, 4.00%, 5/15/2048		3,948		4,193


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4822, Class Z, 4.00%, 5/15/2048		17,291			18,444

Series 4809, Class KZ, 4.00%, 6/15/2048		19,049			20,232

Series 4818, Class DZ, 4.00%, 6/15/2048		12,991			13,797

Series 4807, Class EZ, 4.00%, 7/15/2048		8,795			9,452

Series 4809, Class ZM, 4.00%, 7/15/2048		34,044			36,843

Series 4822, Class ZB, 4.00%, 7/15/2048		9,018			9,578

Series 4837, Class ZB, 4.00%, 10/15/2048		9,269			10,189

FHLMC, STRIPS

Series 134, Class B, IO, 9.00%, 4/1/2022		—	(j)		—	(j)

Series 197, PO, 4/1/2028		305			295

Series 233, Class 11, IO, 5.00%, 9/15/2035		660			121

Series 233, Class 12, IO, 5.00%, 9/15/2035		562			83

Series 233, Class 13, IO, 5.00%, 9/15/2035		1,064			193

Series 239, Class S30, IF, IO, 7.60%, 8/15/2036 (i)		2,006			496

Series 264, Class F1, 0.65%, 7/15/2042 (i)		8,458			8,606

Series 262, Class 35, 3.50%, 7/15/2042		21,359			23,208

Series 270, Class F1, 0.60%, 8/15/2042 (i)		3,460			3,526

Series 299, Class 300, 3.00%, 1/15/2043		1,847			1,927

Series 310, PO, 9/15/2043		4,725			4,147

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.00%, 7/25/2032 (i)		396			445

Series T-48, Class 1A, 4.66%, 7/25/2033 (i)		1,177			1,302

Series T-76, Class 2A, 1.68%, 10/25/2037 (i)		7,678			7,813

Series T-42, Class A5, 7.50%, 2/25/2042		1,611			1,976

Series T-51, Class 2A, 7.50%, 8/25/2042 (i)		294			385

Series T-54, Class 2A, 6.50%, 2/25/2043		1,751			2,095

Series T-54, Class 3A, 7.00%, 2/25/2043		562			679

Series T-56, Class A5, 5.23%, 5/25/2043		3,816			4,377

Series T-57, Class 1AP, PO, 7/25/2043		143			125

Series T-57, Class 1A3, 7.50%, 7/25/2043		381			483

Series T-58, Class A, PO, 9/25/2043		156			132


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series T-58, Class 4A, 7.50%, 9/25/2043		2,089		2,461

Series T-59, Class 1AP, PO, 10/25/2043		183		128

Series T-59, Class 1A2, 7.00%, 10/25/2043		2,112		2,513

Series T-62, Class 1A1, 1.30%, 10/25/2044 (i)		2,561		2,626

First Horizon Alternative Mortgage Securities Trust

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		574		412

Series 2007-FA4, Class 1A2, IF, IO, 5.57%, 8/25/2037 ‡ (i)		5,613		1,294

FMC GMSR Issuer Trust 3.69%, 2/25/2024		116,200		116,396

Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (i)		56,650		56,642

Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (i)		43,050		43,070

FNMA Trust, Whole Loan

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		1,441		1,695

Series 2003-W8, Class 3F1, 0.48%, 5/25/2042 (i)		197		197

Series 2003-W2, Class 2A9, 5.90%, 7/25/2042		373		431

Series 2003-W2, Class 1A1, 6.50%, 7/25/2042		637		745

Series 2003-W6, Class 2A4, 5.20%, 9/25/2042		2,321		2,577

Series 2003-W6, Class 3A, 6.50%, 9/25/2042		848		986

Series 2003-W8, Class 2A, 7.00%, 10/25/2042		902		1,045

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		276		324

Series 2004-W8, Class 3A, 7.50%, 6/25/2044		265		316

Series 2004-W15, Class 2AF, 0.34%, 8/25/2044 (i)		815		810

Series 2005-W3, Class 2AF, 0.31%, 3/25/2045 (i)		6,795		6,770

Series 2005-W4, Class 1A1, 6.00%, 8/25/2045		380		436

Series 2006-W2, Class 2A, 2.63%, 11/25/2045 (i)		926		978

Series 2006-W2, Class 1AF1, 0.31%, 2/25/2046 (i)		3,000		3,000

FNMA, Grantor Trust, Whole Loan

Series 1999-T2, Class A1, 7.50%, 1/19/2039 (i)		419		453


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2001-T3, Class A1, 7.50%, 11/25/2040		684			765

Series 2002-T4, Class A1, 6.50%, 12/25/2041		8,140			9,398

Series 2002-T16, Class A2, 7.00%, 7/25/2042		801			965

Series 2004-T2, Class 2A, 3.45%, 7/25/2043 (i)		651			681

Series 2004-T2, Class 1A4, 7.50%, 11/25/2043		1,335			1,555

Series 2004-T1, Class 1A2, 6.50%, 1/25/2044		152			177

Series 2004-T3, Class PT1, 10.33%, 1/25/2044 (i)		160			194

Series 2004-T3, Class 1A2, 6.50%, 2/25/2044		2,032			2,375

Series 2004-T3, Class 1A3, 7.00%, 2/25/2044		854			1,015

FNMA, REMIC

Series 2001-48, Class Z, 6.50%, 9/25/2021		—	(j)		—	(j)

Series G-51, Class SA, HB, IF, 27.14%, 12/25/2021 (i)		—	(j)		—	(j)

Series 2002-5, Class PK, 6.00%, 2/25/2022		15			15

Series 2002-1, Class HC, 6.50%, 2/25/2022		1			1

Series 2007-15, Class NO, PO, 3/25/2022		2			2

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(j)		—	(j)

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(j)		—	(j)

Series G92-35, Class E, 7.50%, 7/25/2022		4			4

Series 1992-117, Class MA, 8.00%, 7/25/2022		13			13

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(j)		—	(j)

Series G92-35, Class G, HB, 1,184.78%, 7/25/2022		—	(j)		—	(j)

Series 1992-136, Class PK, 6.00%, 8/25/2022		2			2

Series 1996-59, Class J, 6.50%, 8/25/2022		3			3

Series G92-52, Class FD, 0.10%, 9/25/2022 (i)		—	(j)		—	(j)

Series 1992-143, Class MA, 5.50%, 9/25/2022		1			1


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2002-54, Class PG, 6.00%, 9/25/2022		74			75

Series G92-54, Class ZQ, 7.50%, 9/25/2022		1			1

Series 1992-163, Class M, 7.75%, 9/25/2022		3			3

Series 1992-150, Class M, 8.00%, 9/25/2022		13			14

Series G92-62, Class B, PO, 10/25/2022		1			1

Series G92-59, Class F, 0.98%, 10/25/2022 (i)		—	(j)		—	(j)

Series G92-61, Class Z, 7.00%, 10/25/2022		1			1

Series 1992-188, Class PZ, 7.50%, 10/25/2022		10			10

Series G93-1, Class KA, 7.90%, 1/25/2023		6			6

Series G93-5, Class Z, 6.50%, 2/25/2023		4			4

Series 1997-61, Class ZC, 7.00%, 2/25/2023		44			45

Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (i)		2			2

Series 2003-17, Class EQ, 5.50%, 3/25/2023		183			187

Series G93-14, Class J, 6.50%, 3/25/2023		3			3

Series 1993-37, Class PX, 7.00%, 3/25/2023		35			36

Series 1993-25, Class J, 7.50%, 3/25/2023		11			12

Series 1993-21, Class KA, 7.70%, 3/25/2023		5			5

Series 1998-4, Class C, PO, 4/25/2023		2			2

Series 2003-23, Class EQ, 5.50%, 4/25/2023		359			369

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (i)		7			7

Series 1993-54, Class Z, 7.00%, 4/25/2023		11			11

Series 1993-62, Class SA, IF, 19.88%, 4/25/2023 (i)		5			6

Series 1998-43, Class SA, IF, IO, 19.94%, 4/25/2023 (i)		8			1

Series 2003-39, Class LW, 5.50%, 5/25/2023		92			94

Series 1993-56, Class PZ, 7.00%, 5/25/2023		142			148

Series 2008-47, Class SI, IF, IO, 6.42%, 6/25/2023 (i)		1			—	(j)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2008-61, Class BH, 4.50%, 7/25/2023		107			110

Series 1993-136, Class ZB, 6.00%, 7/25/2023 (i)		67			70

Series 1993-122, Class M, 6.50%, 7/25/2023		3			3

Series 1993-99, Class Z, 7.00%, 7/25/2023		72			75

Series 2002-1, Class G, 7.00%, 7/25/2023		44			46

Series G93-27, Class FD, 0.96%, 8/25/2023 (i)		5			5

Series 2002-83, Class CS, 6.88%, 8/25/2023		67			70

Series 1993-141, Class Z, 7.00%, 8/25/2023		111			115

Series 1999-38, Class SK, IF, IO, 7.97%, 8/25/2023 (i)		2			—	(j)

Series 1996-14, Class SE, IF, IO, 9.49%, 8/25/2023 (i)		61			4

Series 1993-205, Class H, PO, 9/25/2023		5			5

Series G93-37, Class H, PO, 9/25/2023		1			1

Series 1993-178, Class PK, 6.50%, 9/25/2023		6			7

Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (i)		4			5

Series 1993-165, Class SD, IF, 14.26%, 9/25/2023 (i)		4			4

Series 1993-183, Class KA, 6.50%, 10/25/2023		93			98

Series 1993-189, Class PL, 6.50%, 10/25/2023		33			35

Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (i)		2			2

Series 1999-52, Class NS, HB, IF, 23.14%, 10/25/2023 (i)		6			7

Series 1993-179, Class SB, HB, IF, 28.52%, 10/25/2023 (i)		3			4

Series 1994-9, Class E, PO, 11/25/2023		—	(j)		—	(j)

Series 1995-19, Class Z, 6.50%, 11/25/2023		37			39

Series 1993-230, Class FA, 0.68%, 12/25/2023 (i)		3			3

Series 1993-247, Class FE, 1.08%, 12/25/2023 (i)		8			8

Series 1993-225, Class UB, 6.50%, 12/25/2023		10			11

Series 1993-247, Class SU, IF, 12.67%, 12/25/2023 (i)		4			4


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2002-1, Class UD, HB, IF, 24.20%, 12/25/2023 (i)		8		10

Series 1993-247, Class SA, HB, IF, 29.76%, 12/25/2023 (i)		10		11

Series 1994-37, Class L, 6.50%, 3/25/2024		32		34

Series 1994-40, Class Z, 6.50%, 3/25/2024		208		220

Series 1994-62, Class PK, 7.00%, 4/25/2024		320		338

Series 1994-63, Class PK, 7.00%, 4/25/2024		134		142

Series 2004-53, Class NC, 5.50%, 7/25/2024		27		28

Series 2004-65, Class EY, 5.50%, 8/25/2024		341		356

Series 2004-81, Class JG, 5.00%, 11/25/2024		565		590

Series 1995-2, Class Z, 8.50%, 1/25/2025		7		8

Series G95-1, Class C, 8.80%, 1/25/2025		17		19

Series 2005-67, Class EY, 5.50%, 8/25/2025		473		506

Series 2005-121, Class DX, 5.50%, 1/25/2026		269		285

Series 2006-94, Class GK, HB, IF, 32.83%, 10/25/2026 (i)		72		99

Series 1996-48, Class Z, 7.00%, 11/25/2026		84		90

Series 1997-20, IO, 1.84%, 3/25/2027 (i)		20		—	(j)

Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (i)		9		—	(j)

Series 1997-27, Class J, 7.50%, 4/18/2027		25		29

Series 1997-29, Class J, 7.50%, 4/20/2027		37		42

Series 1997-32, Class PG, 6.50%, 4/25/2027		82		91

Series 1997-39, Class PD, 7.50%, 5/20/2027		120		135

Series 1997-42, Class ZC, 6.50%, 7/18/2027		6		7

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		34		2

Series 1998-36, Class ZB, 6.00%, 7/18/2028		39		43

Series 2008-55, Class S, IF, IO, 7.52%, 7/25/2028 (i)		1,177		148


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1998-66, Class SB, IF, IO, 8.07%, 12/25/2028 (i)		5		—	(j)

Series 2009-11, Class NB, 5.00%, 3/25/2029		771		817

Series 1999-18, Class Z, 5.50%, 4/18/2029		44		48

Series 1999-17, Class C, 6.35%, 4/25/2029		25		28

Series 1999-62, Class PB, 7.50%, 12/18/2029		40		46

Series 2000-2, Class ZE, 7.50%, 2/25/2030		217		252

Series 2000-20, Class SA, IF, IO, 9.02%, 7/25/2030 (i)		57		6

Series 2000-52, IO, 8.50%, 1/25/2031		13		2

Series 2001-7, Class PF, 7.00%, 3/25/2031		29		35

Series 2011-31, Class DB, 3.50%, 4/25/2031		4,771		5,147

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		167		23

Series 2001-30, Class PM, 7.00%, 7/25/2031		91		105

Series 2001-36, Class DE, 7.00%, 8/25/2031		176		206

Series 2001-49, Class Z, 6.50%, 9/25/2031		43		50

Series 2001-44, Class MY, 7.00%, 9/25/2031		237		282

Series 2001-44, Class PD, 7.00%, 9/25/2031		49		57

Series 2001-44, Class PU, 7.00%, 9/25/2031		33		39

Series 2001-60, Class QS, HB, IF, 24.20%, 9/25/2031 (i)		129		173

Series 2001-52, Class KB, 6.50%, 10/25/2031		32		37

Series 2003-52, Class SX, HB, IF, 22.70%, 10/25/2031 (i)		75		107

Series 2001-60, Class PX, 6.00%, 11/25/2031		286		329

Series 2001-61, Class Z, 7.00%, 11/25/2031		343		409

Series 2004-74, Class SW, IF, 15.32%, 11/25/2031 (i)		94		121

Series 2001-72, Class SX, IF, 17.27%, 12/25/2031 (i)		9		12

Series 2001-81, Class LO, PO, 1/25/2032		10		10


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2002-1, Class SA, HB, IF, 24.91%, 2/25/2032 (i)		23		34

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (i)		276		10

Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (i)		4		4

Series 2002-21, Class LO, PO, 4/25/2032		9		9

Series 2002-15, Class ZA, 6.00%, 4/25/2032		772		876

Series 2002-21, Class PE, 6.50%, 4/25/2032		133		156

Series 2002-28, Class PK, 6.50%, 5/25/2032		263		306

Series 2002-37, Class Z, 6.50%, 6/25/2032		122		140

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		492		68

Series 2002-48, Class GH, 6.50%, 8/25/2032		329		388

Series 2002-71, Class AP, 5.00%, 11/25/2032		63		68

Series 2011-39, Class ZA, 6.00%, 11/25/2032		2,194		2,533

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (i)		105		122

Series 2004-61, Class SH, HB, IF, 23.65%, 11/25/2032 (i)		39		58

Series 2004-59, Class BG, PO, 12/25/2032		58		55

Series 2002-78, Class Z, 5.50%, 12/25/2032		722		833

Series 2002-77, Class S, IF, 14.33%, 12/25/2032 (i)		48		60

Series 2003-9, Class NZ, 6.50%, 2/25/2033		113		132

Series 2003-14, Class TI, IO, 5.00%, 3/25/2033		104		5

Series 2003-22, Class UD, 4.00%, 4/25/2033		1,168		1,282

Series 2003-35, Class EA, PO, 5/25/2033		38		35

Series 2003-42, Class GB, 4.00%, 5/25/2033		79		87

Series 2003-34, Class AX, 6.00%, 5/25/2033		170		197

Series 2003-34, Class ED, 6.00%, 5/25/2033		930		1,081

Series 2003-34, Class GE, 6.00%, 5/25/2033		455		524


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-39, IO, 6.00%, 5/25/2033 (i)		54		9

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		507		104

Series 2007-97, Class KI, IO, 7.00%, 5/25/2033		895		91

Series 2003-47, Class PE, 5.75%, 6/25/2033		360		411

Series 2004-4, Class QI, IF, IO, 7.02%, 6/25/2033 (i)		117		3

Series 2004-4, Class QM, IF, 14.03%, 6/25/2033 (i)		87		91

Series 2003-64, Class SX, IF, 13.51%, 7/25/2033 (i)		135		170

Series 2003-132, Class OA, PO, 8/25/2033		18		17

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		1,134		185

Series 2003-73, Class HC, 5.50%, 8/25/2033		577		665

Series 2003-71, Class DS, IF, 7.34%, 8/25/2033 (i)		589		656

Series 2003-74, Class SH, IF, 10.02%, 8/25/2033 (i)		81		94

Series 2005-56, Class TP, IF, 17.90%, 8/25/2033 (i)		120		147

Series 2003-91, Class SD, IF, 12.36%, 9/25/2033 (i)		93		112

Series 2013-100, Class WB, 3.00%, 10/25/2033		7,887		8,382

Series 2003-105, Class AZ, 5.50%, 10/25/2033		4,229		4,871

Series 2003-116, Class SB, IF, IO, 7.52%, 11/25/2033 (i)		650		126

Series 2006-44, Class P, PO, 12/25/2033		519		488

Series 2003-122, Class ZJ, 6.00%, 12/25/2033		3,534		4,153

Series 2004-87, Class F, 0.83%, 1/25/2034 (i)		747		762

Series 2003-130, Class SX, IF, 11.39%, 1/25/2034 (i)		15		18

Series 2003-131, Class SK, IF, 16.03%, 1/25/2034 (i)		40		43

Series 2004-46, Class EP, PO, 3/25/2034		474		468

Series 2004-28, Class PF, 0.48%, 3/25/2034 (i)		435		437

Series 2004-17, Class H, 5.50%, 4/25/2034		1,323		1,541


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2004-25, Class SA, IF, 19.29%, 4/25/2034 (i)		253		361

Series 2004-36, Class FA, 0.48%, 5/25/2034 (i)		1,335		1,342

Series 2004-46, Class SK, IF, 16.27%, 5/25/2034 (i)		69		91

Series 2004-36, Class SA, IF, 19.29%, 5/25/2034 (i)		571		837

Series 2004-46, Class QB, HB, IF, 23.66%, 5/25/2034 (i)		111		164

Series 2004-50, Class VZ, 5.50%, 7/25/2034		2,212		2,517

Series 2004-51, Class SY, IF, 14.07%, 7/25/2034 (i)		83		100

Series 2005-93, Class MF, 0.33%, 8/25/2034 (i)		140		140

Series 2005-25, Class PF, 0.43%, 4/25/2035 (i)		658		662

Series 2005-42, Class PS, IF, 16.79%, 5/25/2035 (i)		27		34

Series 2005-74, Class CS, IF, 19.79%, 5/25/2035 (i)		470		579

Series 2005-74, Class SK, IF, 19.90%, 5/25/2035 (i)		323		400

Series 2005-74, Class CP, HB, IF, 24.44%, 5/25/2035 (i)		108		135

Series 2005-59, Class SU, HB, IF, 25.08%, 6/25/2035 (i)		176		277

Series 2005-56, Class S, IF, IO, 6.63%, 7/25/2035 (i)		359		72

Series 2005-66, Class SG, IF, 17.16%, 7/25/2035 (i)		185		266

Series 2005-68, Class PG, 5.50%, 8/25/2035		526		599

Series 2005-73, Class ZB, 5.50%, 8/25/2035		3,671		4,234

Series 2005-73, Class PS, IF, 16.49%, 8/25/2035 (i)		205		271

Series 2005-72, Class SB, IF, 16.66%, 8/25/2035 (i)		165		221

Series 2005-90, PO, 9/25/2035		52		52

Series 2005-75, Class SV, HB, IF, 23.86%, 9/25/2035 (i)		46		66

Series 2010-39, Class OT, PO, 10/25/2035		136		131

Series 2005-84, Class XM, 5.75%, 10/25/2035		442		500

Series 2005-90, Class ES, IF, 16.66%, 10/25/2035 (i)		200		277


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-106, Class US, HB, IF, 24.26%, 11/25/2035 (i)		961		1,378

Series 2005-110, Class GL, 5.50%, 12/25/2035		2,830		3,227

Series 2006-46, Class UC, 5.50%, 12/25/2035		189		202

Series 2005-109, Class PC, 6.00%, 12/25/2035		74		82

Series 2006-39, Class WC, 5.50%, 1/25/2036		123		130

Series 2006-16, Class OA, PO, 3/25/2036		102		96

Series 2006-8, Class WQ, PO, 3/25/2036		1,095		991

Series 2006-12, Class BZ, 5.50%, 3/25/2036		1,241		1,421

Series 2006-16, Class HZ, 5.50%, 3/25/2036		342		392

Series 2006-8, Class JZ, 5.50%, 3/25/2036		1,435		1,676

Series 2006-8, Class WN, IF, IO, 6.62%, 3/25/2036 (i)		4,014		846

Series 2006-11, Class PS, HB, IF, 24.26%, 3/25/2036 (i)		102		166

Series 2006-22, Class AO, PO, 4/25/2036		364		341

Series 2006-23, Class KO, PO, 4/25/2036		118		114

Series 2006-27, Class OH, PO, 4/25/2036		230		216

Series 2006-23, Class FK, 0.33%, 4/25/2036 (i)		591		592

Series 2006-33, Class LS, HB, IF, 29.77%, 5/25/2036 (i)		109		173

Series 2006-43, PO, 6/25/2036		93		90

Series 2006-43, Class DO, PO, 6/25/2036		291		269

Series 2006-44, Class GO, PO, 6/25/2036		189		178

Series 2006-50, Class JO, PO, 6/25/2036		693		644

Series 2006-50, Class PS, PO, 6/25/2036		822		793

Series 2006-46, Class FW, 0.48%, 6/25/2036 (i)		213		214

Series 2006-53, Class US, IF, IO, 6.50%, 6/25/2036 (i)		794		154

Series 2006-46, Class SW, HB, IF, 23.89%, 6/25/2036 (i)		34		55

Series 2006-58, PO, 7/25/2036		113		106

Series 2006-58, Class AP, PO, 7/25/2036		55		51

Series 2006-65, Class QO, PO, 7/25/2036		218		205

Series 2006-56, Class FC, 0.37%, 7/25/2036(i)		1,850		1,857

Series 2006-58, Class FL, 0.54%, 7/25/2036(i)		182		184


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-71, Class ZL, 6.00%, 7/25/2036		2,404		2,813

Series 2006-58, Class IG, IF, IO, 6.44%, 7/25/2036 (i)		414		75

Series 2006-63, Class ZH, 6.50%, 7/25/2036		1,091		1,305

Series 2011-19, Class ZY, 6.50%, 7/25/2036		1,446		1,726

Series 2006-60, Class AK, HB, IF, 28.46%, 7/25/2036 (i)		116		170

Series 2006-62, Class PS, HB, IF, 39.39%, 7/25/2036 (i)		80		160

Series 2006-72, Class TO, PO, 8/25/2036		68		63

Series 2006-79, Class DO, PO, 8/25/2036		156		151

Series 2006-79, Class OP, PO, 8/25/2036		229		208

Series 2006-79, Class DF, 0.43%, 8/25/2036 (i)		659		662

Series 2007-7, Class SG, IF, IO, 6.42%, 8/25/2036 (i)		810		221

Series 2006-77, Class PC, 6.50%, 8/25/2036		628		724

Series 2006-78, Class BZ, 6.50%, 8/25/2036		121		144

Series 2006-86, Class OB, PO, 9/25/2036		213		198

Series 2006-90, Class AO, PO, 9/25/2036		172		162

Series 2008-42, Class AO, PO, 9/25/2036		87		80

Series 2006-85, Class MZ, 6.50%, 9/25/2036		62		73

Series 2009-19, Class PW, 4.50%, 10/25/2036		978		1,095

Series 2006-95, Class SG, HB, IF, 25.86%, 10/25/2036 (i)		130		211

Series 2006-109, PO, 11/25/2036		58		54

Series 2006-110, PO, 11/25/2036		320		299

Series 2006-111, Class EO, PO, 11/25/2036		169		155

Series 2006-115, Class OK, PO, 12/25/2036		202		185

Series 2006-119, PO, 12/25/2036		86		82

Series 2006-118, Class A1, 0.14%, 12/25/2036 (i)		345		343

Series 2006-118, Class A2, 0.14%, 12/25/2036 (i)		1,492		1,479

Series 2006-117, Class GS, IF, IO, 6.57%, 12/25/2036 (i)		722		112

Series 2006-115, Class ES, HB, IF, 26.22%, 12/25/2036 (i)		25		39

Series 2006-128, PO, 1/25/2037		200		186


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2009-70, Class CO, PO, 1/25/2037		538		497

Series 2006-128, Class BP, 5.50%, 1/25/2037		96		106

Series 2007-10, Class FD, 0.33%, 2/25/2037 (i)		391		392

Series 2007-1, Class SD, HB, IF, 38.49%, 2/25/2037 (i)		73		217

Series 2007-14, Class OP, PO, 3/25/2037		160		151

Series 2007-77, Class FG, 0.58%, 3/25/2037 (i)		358		364

Series 2007-16, Class FC, 0.83%, 3/25/2037 (i)		234		244

Series 2009-63, Class P, 5.00%, 3/25/2037		23		26

Series 2007-22, Class SC, IF, IO, 6.00%, 3/25/2037 (i)		25		1

Series 2007-18, Class MZ, 6.00%, 3/25/2037		356		403

Series 2007-14, Class ES, IF, IO, 6.36%, 3/25/2037 (i)		1,285		235

Series 2007-28, Class EO, PO, 4/25/2037		512		471

Series 2007-35, Class SI, IF, IO, 6.02%, 4/25/2037 (i)		431		48

Series 2007-29, Class SG, HB, IF, 22.39%, 4/25/2037 (i)		257		401

Series 2007-43, Class FL, 0.38%, 5/25/2037 (i)		254		255

Series 2007-42, Class B, 6.00%, 5/25/2037		767		900

Series 2007-98, Class FB, 0.53%, 6/25/2037 (i)		135		140

Series 2007-92, Class YS, IF, IO, 5.70%, 6/25/2037 (i)		243		43

Series 2007-53, Class SH, IF, IO, 6.02%, 6/25/2037 (i)		783		122

Series 2007-54, Class WI, IF, IO, 6.02%, 6/25/2037 (i)		284		57

Series 2007-92, Class YA, 6.50%, 6/25/2037		146		173

Series 2007-67, PO, 7/25/2037		352		327

Series 2007-97, Class FC, 0.58%, 7/25/2037 (i)		216		219

Series 2007-70, Class Z, 5.50%, 7/25/2037		783		899

Series 2007-72, Class EK, IF, IO, 6.32%, 7/25/2037 (i)		2,403		469

Series 2007-65, Class KI, IF, IO, 6.54%, 7/25/2037 (i)		806		145


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2007-60, Class AX, IF, IO, 7.07%, 7/25/2037 (i)		3,873		988

Series 2007-62, Class SE, IF, 16.29%, 7/25/2037 (i)		182		236

Series 2007-76, Class AZ, 5.50%, 8/25/2037		273		314

Series 2007-76, Class ZG, 6.00%, 8/25/2037		292		343

Series 2007-78, Class CB, 6.00%, 8/25/2037		77		90

Series 2007-78, Class PE, 6.00%, 8/25/2037		335		395

Series 2007-81, Class GE, 6.00%, 8/25/2037		419		486

Series 2007-79, Class SB, HB, IF, 23.71%, 8/25/2037 (i)		343		565

Series 2007-88, Class VI, IF, IO, 6.46%, 9/25/2037 (i)		1,218		266

Series 2007-85, Class SL, IF, 15.94%, 9/25/2037 (i)		72		97

Series 2009-86, Class OT, PO, 10/25/2037		3,249		2,976

Series 2007-100, Class SM, IF, IO, 6.37%, 10/25/2037 (i)		853		175

Series 2007-91, Class ES, IF, IO, 6.38%, 10/25/2037 (i)		1,243		267

Series 2007-108, Class SA, IF, IO, 6.28%, 12/25/2037 (i)		44		6

Series 2007-109, Class AI, IF, IO, 6.32%, 12/25/2037 (i)		1,114		164

Series 2007-112, Class SA, IF, IO, 6.37%, 12/25/2037 (i)		1,261		282

Series 2007-112, Class MJ, 6.50%, 12/25/2037		953		1,141

Series 2007-116, Class HI, IO, 1.41%, 1/25/2038 (i)		2,083		87

Series 2008-1, Class BI, IF, IO, 5.83%, 2/25/2038 (i)		1,022		200

Series 2008-4, Class SD, IF, IO, 5.92%, 2/25/2038 (i)		2,592		422

Series 2008-18, Class FA, 0.98%, 3/25/2038 (i)		251		257

Series 2008-16, Class IS, IF, IO, 6.12%, 3/25/2038 (i)		304		51

Series 2008-10, Class XI, IF, IO, 6.15%, 3/25/2038 (i)		389		73

Series 2008-20, Class SA, IF, IO, 6.91%, 3/25/2038 (i)		489		101


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2008-18, Class SP, IF, 13.83%, 3/25/2038 (i)		149		178

Series 2008-32, Class SA, IF, IO, 6.77%, 4/25/2038 (i)		233		37

Series 2008-27, Class SN, IF, IO, 6.82%, 4/25/2038 (i)		464		83

Series 2008-28, Class QS, HB, IF, 20.45%, 4/25/2038 (i)		173		244

Series 2008-44, PO, 5/25/2038		11		10

Series 2008-46, Class HI, IO, 1.65%, 6/25/2038 (i)		735		51

Series 2008-56, Class AC, 5.00%, 7/25/2038		233		264

Series 2008-60, Class JC, 5.00%, 7/25/2038		284		323

Series 2011-47, Class ZA, 5.50%, 7/25/2038		1,143		1,326

Series 2008-53, Class CI, IF, IO, 7.12%, 7/25/2038 (i)		289		54

Series 2008-80, Class SA, IF, IO, 5.77%, 9/25/2038 (i)		1,110		206

Series 2008-81, Class SB, IF, IO, 5.77%, 9/25/2038 (i)		833		140

Series 2009-4, Class BD, 4.50%, 2/25/2039		20		22

Series 2009-6, Class GS, IF, IO, 6.47%, 2/25/2039 (i)		743		168

Series 2009-17, Class QS, IF, IO, 6.57%, 3/25/2039 (i)		251		40

Series 2009-52, Class PI, IO, 5.00%, 7/25/2039		476		71

Series 2009-47, Class MT, 7.00%, 7/25/2039		14		16

Series 2009-59, Class HB, 5.00%, 8/25/2039		1,807		2,049

Series 2009-60, Class HT, 6.00%, 8/25/2039		2,325		2,726

Series 2009-65, Class MT, 5.00%, 9/25/2039		515		561

Series 2009-69, Class WA, 5.99%, 9/25/2039 (i)		783		891

Series 2009-86, Class IP, IO, 5.50%, 10/25/2039		1,113		194

Series 2009-84, Class WS, IF, IO, 5.82%, 10/25/2039 (i)		293		47

Series 2009-103, Class MB, 2.11%, 12/25/2039 (i)		1,016		1,062

Series 2009-99, Class SC, IF, IO, 6.10%, 12/25/2039 (i)		366		59


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-99, Class WA, 6.29%, 12/25/2039 (i)		1,890		2,161

Series 2009-113, Class AO, PO, 1/25/2040		282		247

Series 2009-112, Class ST, IF, IO, 6.17%, 1/25/2040 (i)		806		147

Series 2010-1, Class WA, 6.22%, 2/25/2040 (i)		354		402

Series 2010-16, Class WB, 6.18%, 3/25/2040 (i)		1,345		1,539

Series 2010-16, Class WA, 6.44%, 3/25/2040 (i)		1,342		1,521

Series 2010-49, Class SC, IF, 12.49%, 3/25/2040 (i)		1,409		1,805

Series 2010-40, Class FJ, 0.68%, 4/25/2040 (i)		251		253

Series 2010-35, Class SB, IF, IO, 6.34%, 4/25/2040 (i)		684		111

Series 2010-35, Class SJ, IF, 17.39%, 4/25/2040 (i)		781		1,042

Series 2010-43, Class FD, 0.68%, 5/25/2040 (i)		423		430

Series 2010-42, Class S, IF, IO, 6.32%, 5/25/2040 (i)		388		65

Series 2010-63, Class AP, PO, 6/25/2040		446		417

Series 2010-64, Class DM, 5.00%, 6/25/2040		3,005		3,382

Series 2010-58, Class MB, 5.50%, 6/25/2040		5,149		5,782

Series 2010-71, Class HJ, 5.50%, 7/25/2040		1,683		1,947

Series 2010-102, Class PN, 5.00%, 9/25/2040		1,794		2,037

Series 2010-111, Class AM, 5.50%, 10/25/2040		5,870		6,949

Series 2010-125, Class SA, IF, IO, 4.36%, 11/25/2040 (i)		2,269		286

Series 2011-101, Class FM, 0.63%, 1/25/2041 (i)		179		178

Series 2010-147, Class SA, IF, IO, 6.45%, 1/25/2041 (i)		4,040		889

Series 2011-30, Class LS, IO, 1.60%, 4/25/2041 (i)		3,271		218

Series 2011-149, Class EF, 0.58%, 7/25/2041 (i)		294		296

Series 2011-75, Class FA, 0.63%, 8/25/2041 (i)		687		693

Series 2011-149, Class MF, 0.58%, 11/25/2041 (i)		1,013		1,022


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2011-118, Class LB, 7.00%, 11/25/2041		5,438		6,625

Series 2011-118, Class MT, 7.00%, 11/25/2041		6,718		8,146

Series 2011-118, Class NT, 7.00%, 11/25/2041		5,726		6,901

Series 2012-99, Class FA, 0.53%, 9/25/2042 (i)		1,564		1,578

Series 2012-101, Class FC, 0.58%, 9/25/2042 (i)		858		842

Series 2012-97, Class FB, 0.58%, 9/25/2042 (i)		3,299		3,345

Series 2012-108, Class F, 0.58%, 10/25/2042 (i)		2,598		2,627

Series 2013-81, Class TA, 3.00%, 2/25/2043		4,899		5,042

Series 2013-4, Class AJ, 3.50%, 2/25/2043		2,007		2,121

Series 2013-92, PO, 9/25/2043		6,297		5,758

Series 2013-101, Class DO, PO, 10/25/2043		5,287		4,605

Series 2013-128, PO, 12/25/2043		10,037		8,973

Series 2013-135, PO, 1/25/2044		3,808		3,171

Series 2014-29, Class PS, IF, IO, 5.97%, 5/25/2044 (i)		3,626		620

Series 2018-63, Class DA, 3.50%, 9/25/2048		3,995		4,251

Series 2018-94, Class DZ, 4.00%, 1/25/2049		16,808		18,126

Series 2010-103, Class SB, IF, IO, 6.02%, 11/25/2049 (i)		592		71

Series 2011-2, Class WA, 5.85%, 2/25/2051 (i)		573		656

Series 2011-58, Class WA, 5.50%, 7/25/2051 (i)		171		201

FNMA, REMIC Trust

Series 2006-72, Class GO, PO, 8/25/2036		388		375

Series 2007-42, Class AO, PO, 5/25/2037		43		40

FNMA, REMIC Trust, Whole Loan

Series 2004-W10, Class A6, 5.75%, 8/25/2034		3,053		3,338

Series 2007-W3, Class 1A3, 6.75%, 4/25/2037		184		201

Series 2007-W5, PO, 6/25/2037		124		115

Series 2007-W7, Class 1A4, HB, IF, 38.67%, 7/25/2037 (i)		116		203

Series 2002-W6, Class 1A6, 6.15%, 6/25/2042		13,906		15,769


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-W4, Class 2A, 5.66%, 10/25/2042 (i)		96		110

Series 2003-W1, Class 1A1, 5.09%, 12/25/2042 (i)		693		760

Series 2003-W1, Class 2A, 5.59%, 12/25/2042 (i)		186		206

Series 2004-W11, Class 1A1, 6.00%, 5/25/2044		546		652

Series 2005-W1, Class 1A2, 6.50%, 10/25/2044		976		1,161

Series 2006-W3, Class 2A, 6.00%, 9/25/2046		735		829

Series 2007-W10, Class 2A, 6.30%, 8/25/2047 (i)		80		91

Series 2009-W1, Class A, 6.00%, 12/25/2049		2,965		3,422

FNMA, REMIC, Whole Loan

Series 2007-101, Class A2, 0.33%, 6/27/2036 (i)		2,390		2,356

Series 2007-54, Class FA, 0.48%, 6/25/2037 (i)		1,239		1,258

Series 2007-64, Class FB, 0.45%, 7/25/2037 (i)		376		380

Series 2007-106, Class A7, 6.25%, 10/25/2037 (i)		323		380

Series 2002-90, Class A1, 6.50%, 6/25/2042		398		465

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		2		—	(j)

Series 265, Class 2, 9.00%, 3/25/2024		1		1

Series 300, Class 1, PO, 9/25/2024		158		156

Series 329, Class 1, PO, 1/25/2033		49		47

Series 345, Class 6, IO, 5.00%, 12/25/2033 (i)		68		9

Series 365, Class 8, IO, 5.50%, 5/25/2036		250		50

Series 374, Class 5, IO, 5.50%, 8/25/2036		185		33

Series 393, Class 6, IO, 5.50%, 4/25/2037		72		10

Series 383, Class 33, IO, 6.00%, 1/25/2038		174		34

Series 412, Class F2, 0.58%, 8/25/2042 (i)		3,169		3,207

Series 411, Class F1, 0.63%, 8/25/2042 (i)		7,269		7,325


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

FNMA, Whole Loan Series 2007-W1, Class 1AF1, 0.35%, 11/25/2046 (i)		5,397		5,358

Freedom Frn 0.00%, 3/25/2022		68,100		68,100

GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.09%, 6/19/2035 (i)		393		382

GNMA

Series 1999-4, Class ZB, 6.00%, 2/20/2029		452		451

Series 2001-35, Class SA, IF, IO, 8.15%, 8/16/2031 (i)		87		—	(j)

Series 2002-52, Class GH, 6.50%, 7/20/2032		391		391

Series 2011-43, Class ZQ, 5.50%, 1/16/2033		2,142		2,276

Series 2003-58, Class BE, 6.50%, 1/20/2033		548		584

Series 2003-12, Class SP, IF, IO, 7.61%, 2/20/2033 (i)		129		14

Series 2003-24, PO, 3/16/2033		42		41

Series 2003-40, Class TJ, 6.50%, 3/20/2033		1,092		1,173

Series 2003-46, Class TC, 6.50%, 3/20/2033		321		346

Series 2003-25, Class PZ, 5.50%, 4/20/2033		1,166		1,231

Series 2003-46, Class MG, 6.50%, 5/20/2033		425		468

Series 2003-52, Class AP, PO, 6/16/2033		232		221

Series 2003-75, Class ZX, 6.00%, 9/16/2033		659		738

Series 2003-90, PO, 10/20/2033		34		34

Series 2010-41, Class WA, 5.83%, 10/20/2033 (i)		815		914

Series 2003-97, Class SA, IF, IO, 6.45%, 11/16/2033 (i)		427		40

Series 2003-112, Class SA, IF, IO, 6.45%, 12/16/2033 (i)		446		46

Series 2004-28, Class S, IF, 19.40%, 4/16/2034 (i)		231		325

Series 2005-7, Class JM, IF, 16.51%, 5/18/2034 (i)		11		14

Series 2004-46, PO, 6/20/2034		381		374

Series 2004-49, Class Z, 6.00%, 6/20/2034		1,515		1,702

Series 2004-73, Class AE, IF, 14.66%, 8/17/2034 (i)		13		13


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2010-103, Class WA, 5.70%, 8/20/2034 (i)		452		516

Series 2004-73, Class JL, IF, IO, 6.45%, 9/16/2034 (i)		1,586		305

Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (i)		163		177

Series 2004-71, Class SB, HB, IF, 29.03%, 9/20/2034 (i)		163		252

Series 2004-83, Class AP, IF, 14.05%, 10/16/2034 (i)		8		8

Series 2004-89, Class LS, HB, IF, 24.03%, 10/16/2034 (i)		129		201

Series 2004-90, Class SI, IF, IO, 6.01%, 10/20/2034 (i)		2,239		339

Series 2004-96, Class SC, IF, IO, 5.99%, 11/20/2034 (i)		1,266		4

Series 2005-3, Class SK, IF, IO, 6.66%, 1/20/2035 (i)		1,485		313

Series 2005-68, Class DP, IF, 16.20%, 6/17/2035 (i)		478		595

Series 2008-79, Class CS, IF, 6.71%, 6/20/2035 (i)		756		818

Series 2005-56, Class IC, IO, 5.50%, 7/20/2035		150		24

Series 2005-66, Class SP, HB, IF, 20.52%, 8/16/2035 (i)		87		130

Series 2010-14, Class CO, PO, 8/20/2035		872		819

Series 2005-65, Class SA, HB, IF, 22.40%, 8/20/2035 (i)		27		43

Series 2005-72, Class AZ, 5.50%, 9/20/2035		829		936

Series 2005-68, Class KI, IF, IO, 6.21%, 9/20/2035 (i)		3,055		619

Series 2005-82, PO, 10/20/2035		199		181

Series 2010-14, Class BO, PO, 11/20/2035		295		277

Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		307		44

Series 2006-20, Class QA, 5.75%, 2/20/2036		81		83

Series 2006-16, Class OP, PO, 3/20/2036		248		232

Series 2006-22, Class AO, PO, 5/20/2036		347		339

Series 2006-38, Class SW, IF, IO, 6.41%, 6/20/2036 (i)		24		1

Series 2006-34, PO, 7/20/2036		48		46

Series 2006-33, Class Z, 6.50%, 7/20/2036		1,483		1,727

Series 2006-38, Class ZK, 6.50%, 8/20/2036		1,981		2,205


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2006-57, Class PZ, 5.56%, 10/20/2036		878		951

Series 2006-59, Class SD, IF, IO, 6.61%, 10/20/2036 (i)		458		64

Series 2006-65, Class SA, IF, IO, 6.71%, 11/20/2036 (i)		794		95

Series 2011-22, Class WA, 5.88%, 2/20/2037 (i)		307		352

Series 2007-57, PO, 3/20/2037		607		590

Series 2007-9, Class CI, IF, IO, 6.11%, 3/20/2037 (i)		888		134

Series 2007-17, Class JO, PO, 4/16/2037		481		437

Series 2007-17, Class JI, IF, IO, 6.71%, 4/16/2037 (i)		1,240		270

Series 2010-129, Class AW, 5.94%, 4/20/2037 (i)		569		652

Series 2007-19, Class SD, IF, IO, 6.11%, 4/20/2037 (i)		464		46

Series 2007-25, Class FN, 0.40%, 5/16/2037 (i)		369		370

Series 2007-28, Class BO, PO, 5/20/2037		71		66

Series 2007-26, Class SC, IF, IO, 6.11%, 5/20/2037 (i)		821		131

Series 2007-27, Class SD, IF, IO, 6.11%, 5/20/2037 (i)		896		128

Series 2007-35, PO, 6/16/2037		1,231		1,175

Series 2007-36, Class HO, PO, 6/16/2037		121		114

Series 2007-36, Class SE, IF, IO, 6.37%, 6/16/2037 (i)		520		60

Series 2007-36, Class SJ, IF, IO, 6.16%, 6/20/2037 (i)		678		70

Series 2007-45, Class QA, IF, IO, 6.55%, 7/20/2037 (i)		1,039		150

Series 2007-40, Class SN, IF, IO, 6.59%, 7/20/2037 (i)		1,009		177

Series 2007-40, Class SD, IF, IO, 6.66%, 7/20/2037 (i)		707		111

Series 2007-50, Class AI, IF, IO, 6.69%, 8/20/2037 (i)		242		3

Series 2008-20, PO, 9/20/2037		39		39

Series 2007-53, Class ES, IF, IO, 6.46%, 9/20/2037 (i)		719		102

Series 2007-53, Class SW, IF, 19.94%, 9/20/2037 (i)		170		223

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		522		21

Series 2008-7, Class SP, IF, 13.22%, 10/20/2037 (i)		124		142


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-79, Class OK, PO, 11/16/2037		1,289		1,221

Series 2007-74, Class SL, IF, IO, 6.44%, 11/16/2037 (i)		854		99

Series 2007-73, Class MI, IF, IO, 5.91%, 11/20/2037 (i)		826		97

Series 2007-76, Class SB, IF, IO, 6.41%, 11/20/2037 (i)		1,597		163

Series 2007-67, Class SI, IF, IO, 6.42%, 11/20/2037 (i)		891		154

Series 2007-72, Class US, IF, IO, 6.46%, 11/20/2037 (i)		721		90

Series 2008-7, Class SK, IF, 19.68%, 11/20/2037 (i)		87		110

Series 2007-79, Class SY, IF, IO, 6.46%, 12/20/2037 (i)		1,056		147

Series 2008-1, PO, 1/20/2038		49		46

Series 2015-137, Class WA, 5.52%, 1/20/2038 (i)		2,821		3,303

Series 2008-17, IO, 5.50%, 2/20/2038		168		8

Series 2009-106, Class ST, IF, IO, 5.91%, 2/20/2038 (i)		6,893		1,070

Series 2008-33, Class XS, IF, IO, 7.60%, 4/16/2038 (i)		461		78

Series 2008-36, Class SH, IF, IO, 6.21%, 4/20/2038 (i)		1,072		4

Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (i)		3,717		659

Series 2008-50, Class KB, 6.00%, 6/20/2038		563		645

Series 2008-55, Class SA, IF, IO, 6.11%, 6/20/2038 (i)		259		39

Series 2008-69, Class QD, 5.75%, 7/20/2038		616		653

Series 2008-60, Class CS, IF, IO, 6.06%, 7/20/2038 (i)		896		108

Series 2012-59, Class WA, 5.58%, 8/20/2038 (i)		1,371		1,572

Series 2008-71, Class SC, IF, IO, 5.91%, 8/20/2038 (i)		318		42

Series 2008-76, Class US, IF, IO, 5.81%, 9/20/2038 (i)		1,128		176

Series 2008-81, Class S, IF, IO, 6.11%, 9/20/2038 (i)		2,339		211

Series 2009-25, Class SE, IF, IO, 7.51%, 9/20/2038 (i)		486		75

Series 2011-97, Class WA, 6.12%, 11/20/2038 (i)		908		1,058


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2008-93, Class AS, IF, IO, 5.61%, 12/20/2038 (i)		1,216		153

Series 2011-163, Class WA, 5.88%, 12/20/2038 (i)		3,289		3,818

Series 2008-96, Class SL, IF, IO, 5.91%, 12/20/2038 (i)		669		59

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		99		3

Series 2008-95, Class DS, IF, IO, 7.21%, 12/20/2038 (i)		2,032		303

Series 2014-6, Class W, 5.40%, 1/20/2039 (i)		2,318		2,656

Series 2009-6, Class SA, IF, IO, 6.00%, 2/16/2039 (i)		507		46

Series 2009-11, Class SC, IF, IO, 6.05%, 2/16/2039 (i)		633		64

Series 2009-10, Class SA, IF, IO, 5.86%, 2/20/2039 (i)		899		128

Series 2009-6, Class SH, IF, IO, 5.95%, 2/20/2039 (i)		544		73

Series 2009-31, Class TS, IF, IO, 6.21%, 3/20/2039 (i)		714		53

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		311		54

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		682		147

Series 2009-22, Class SA, IF, IO, 6.18%, 4/20/2039 (i)		1,591		245

Series 2009-35, Class ZB, 5.50%, 5/16/2039		12,698		14,303

Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		188		25

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		263		45

Series 2009-43, Class SA, IF, IO, 5.86%, 6/20/2039 (i)		867		106

Series 2009-42, Class SC, IF, IO, 5.99%, 6/20/2039 (i)		1,203		176

Series 2009-64, Class SN, IF, IO, 6.00%, 7/16/2039 (i)		1,277		160

Series 2009-72, Class SM, IF, IO, 6.15%, 8/16/2039 (i)		1,347		199

Series 2009-104, Class AB, 7.00%, 8/16/2039		489		525

Series 2009-75, Class MN, 5.50%, 9/20/2039		2,753		3,256

Series 2009-81, Class SB, IF, IO, 6.00%, 9/20/2039 (i)		2,315		439


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-106, Class AS, IF, IO, 6.30%, 11/16/2039 (i)		1,845		335

Series 2013-147, Class BE, 4.00%, 12/20/2039		3,874		4,409

Series 2015-91, Class W, 5.25%, 5/20/2040 (i)		2,558		2,945

Series 2013-75, Class WA, 5.14%, 6/20/2040 (i)		741		847

Series 2011-137, Class WA, 5.58%, 7/20/2040 (i)		1,319		1,542

Series 2010-130, Class CP, 7.00%, 10/16/2040		2,413		2,877

Series 2010-157, Class OP, PO, 12/20/2040		2,721		2,587

Series 2011-75, Class SM, IF, IO, 6.51%, 5/20/2041 (i)		1,710		230

Series 2013-26, Class AK, 4.71%, 9/20/2041 (i)		1,894		2,150

Series 2014-188, Class W, 4.59%, 10/20/2041 (i)		1,866		2,076

Series 2012-141, Class WA, 4.53%, 11/16/2041 (i)		2,118		2,367

Series 2011-157, Class UY, 3.00%, 12/20/2041		1,500		1,630

Series 2012-141, Class WC, 3.67%, 1/20/2042 (i)		1,858		2,034

Series 2012-141, Class WB, 3.98%, 9/16/2042 (i)		1,106		1,234

Series 2014-41, Class W, 4.72%, 10/20/2042 (i)		1,957		2,205

Series 2013-54, Class WA, 4.88%, 11/20/2042 (i)		1,223		1,390

Series 2013-91, Class WA, 4.48%, 4/20/2043 (i)		1,456		1,610

Series 2019-78, Class SW, IF, IO, 6.01%, 6/20/2049 (i)		18,276		3,252

Series 2020-134, Class ST, IF, IO, 3.61%, 9/20/2050 (i)		57,492		6,221

Series 2012-H24, Class FA, 0.55%, 3/20/2060 (i)		161		162

Series 2012-H24, Class FG, 0.53%, 4/20/2060 (i)		75		75

Series 2013-H03, Class FA, 0.40%, 8/20/2060 (i)		7		7

Series 2011-H05, Class FB, 0.60%, 12/20/2060 (i)		1,382		1,389

Series 2011-H06, Class FA, 0.55%, 2/20/2061 (i)		1,708		1,713


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2012-H21, Class CF, 0.80%, 5/20/2061 (i)		114			115

Series 2011-H19, Class FA, 0.57%, 8/20/2061 (i)		1,811			1,816

Series 2012-H26, Class JA, 0.65%, 10/20/2061 (i)		20			20

Series 2012-H10, Class FA, 0.65%, 12/20/2061 (i)		15,775			15,843

Series 2012-H08, Class FB, 0.70%, 3/20/2062 (i)		4,432			4,454

Series 2013-H07, Class MA, 0.65%, 4/20/2062 (i)		9			9

Series 2012-H08, Class FS, 0.80%, 4/20/2062 (i)		4,868			4,920

Series 2012-H15, Class FA, 0.55%, 5/20/2062 (i)		—	(j)		—	(j)

Series 2012-H26, Class MA, 0.65%, 7/20/2062 (i)		41			41

Series 2012-H18, Class NA, 0.62%, 8/20/2062 (i)		1,027			1,032

Series 2012-H28, Class FA, 0.68%, 9/20/2062 (i)		126			127

Series 2012-H29, Class FA, 0.62%, 10/20/2062 (i)		11,467			11,507

Series 2012-H24, Class FE, 0.70%, 10/20/2062 (i)		84			85

Series 2013-H02, Class HF, 0.40%, 11/20/2062 (i)		38			38

Series 2013-H01, Class JA, 0.42%, 1/20/2063 (i)		5,682			5,682

Series 2013-H01, Class FA, 1.65%, 1/20/2063		418			419

Series 2013-H04, Class SA, 0.52%, 2/20/2063 (i)		1,428			1,433

Series 2013-H08, Class FC, 0.55%, 2/20/2063 (i)		3,056			3,064

Series 2013-H07, Class HA, 0.51%, 3/20/2063 (i)		4,771			4,781

Series 2013-H09, Class HA, 1.65%, 4/20/2063		298			300

Series 2013-H14, Class FG, 0.57%, 5/20/2063 (i)		1,288			1,292

Series 2013-H14, Class FC, 0.57%, 6/20/2063 (i)		1,329			1,333

Series 2014-H01, Class FD, 0.75%, 1/20/2064 (i)		13,380			13,466

Series 2014-H05, Class FA, 0.79%, 2/20/2064 (i)		9,622			9,739


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2014-H06, Class HB, 0.75%, 3/20/2064 (i)		2,323		2,339

Series 2014-H09, Class TA, 0.70%, 4/20/2064 (i)		9,553		9,604

Series 2014-H10, Class TA, 0.70%, 4/20/2064 (i)		14,224		14,378

Series 2014-H11, Class VA, 0.60%, 6/20/2064 (i)		16,366		16,467

Series 2014-H15, Class FA, 0.60%, 7/20/2064 (i)		15,929		16,025

Series 2014-H17, Class FC, 0.60%, 7/20/2064 (i)		10,895		10,943

Series 2014-H19, Class FE, 0.57%, 9/20/2064 (i)		15,589		15,659

Series 2014-H20, Class LF, 0.70%, 10/20/2064 (i)		7,129		7,186

Series 2015-H02, Class FB, 0.60%, 12/20/2064 (i)		5,709		5,732

Series 2015-H03, Class FA, 0.60%, 12/20/2064 (i)		5,504		5,524

Series 2015-H07, Class ES, 0.56%, 2/20/2065 (i)		8,492		8,518

Series 2015-H05, Class FC, 0.58%, 2/20/2065 (i)		26,544		26,638

Series 2015-H06, Class FA, 0.58%, 2/20/2065 (i)		12,819		12,875

Series 2015-H08, Class FC, 0.58%, 3/20/2065 (i)		36,331		36,507

Series 2015-H10, Class FC, 0.58%, 4/20/2065 (i)		31,840		32,006

Series 2015-H12, Class FA, 0.58%, 5/20/2065 (i)		18,811		18,902

Series 2015-H15, Class FD, 0.54%, 6/20/2065 (i)		8,729		8,764

Series 2015-H15, Class FJ, 0.54%, 6/20/2065 (i)		13,351		13,402

Series 2015-H18, Class FA, 0.55%, 6/20/2065 (i)		10,361		10,393

Series 2015-H16, Class FG, 0.54%, 7/20/2065 (i)		14,708		14,766

Series 2015-H16, Class FL, 0.54%, 7/20/2065 (i)		20,735		20,817

Series 2015-H20, Class FA, 0.57%, 8/20/2065 (i)		13,334		13,399

Series 2015-H26, Class FG, 0.62%, 10/20/2065 (i)		3,975		3,995

Series 2015-H32, Class FH, 0.76%, 12/20/2065 (i)		8,856		8,956


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2016-H07, Class FA, 0.85%, 3/20/2066 (i)		38,790		39,331

Series 2016-H07, Class FB, 0.85%, 3/20/2066 (i)		9,787		9,924

Series 2016-H11, Class FD, 0.68%, 5/20/2066 (i)		19,787		19,798

Series 2016-H26, Class FC, 1.10%, 12/20/2066 (i)		13,387		13,667

Series 2017-H08, Class XI, IO, 2.18%, 3/20/2067 (i)		61,955		5,855

Series 2017-H14, Class XI, IO, 1.68%, 6/20/2067 (i)		47,787		3,546

Series 2018-H09, Class FE, 0.34%, 6/20/2068 (i)		3,619		3,578

Series 2019-H20, Class ID, IO, 1.24%, 12/20/2069 (i)		26,569		2,375

Series 2020-H02, Class MI, IO, 1.21%, 1/20/2070 (i)		61,106		3,520

Series 2020-H05, IO, 1.06%, 3/20/2070 (i)		56,097		4,325

Series 2020-H09, IO, 0.88%, 5/20/2070 (i)		63,873		4,452

Series 2020-H09, Class IC, IO, 1.26%, 5/20/2070 (i)		67,325		5,386

Series 2020-H09, Class CI, IO, 1.28%, 5/20/2070 (i)		59,335		5,559

Series 2020-H11, IO, 0.99%, 6/20/2070 (i)		36,906		2,750

Series 2020-H12, Class IJ, IO, 1.19%, 7/20/2070 (i)		51,525		4,498

Series 2020-H12, Class HI, IO, 1.75%, 7/20/2070 (i)		43,540		4,693

Series 2020-H15, IO, 1.32%, 8/20/2070 (i)		67,498		6,129

Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051‡		26,733		26,504

GSMPS Mortgage Loan Trust

Series 2004-4, Class 1AF, 0.48%, 6/25/2034(a) (i)		383		345

Series 2005-RP2, Class 1AF, 0.43%, 3/25/2035(a) (i)		661		617

Series 2005-RP3, Class 1AF, 0.44%, 9/25/2035(a) (i)		4,370		3,727

Series 2005-RP3, Class 1AS, IO, 4.22%, 9/25/2035‡(a) (i)		3,222		382

GSR Mortgage Loan Trust

Series 2003-3F, Class 4A3, 5.75%, 4/25/2033		60		62


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2004-6F, Class 2A4, 5.50%, 5/25/2034		317		330

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		225		244

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		346		360

Series 2005-5F, Class 8A3, 0.58%, 6/25/2035 (i)		112		109

Series 2005-AR6, Class 3A1, 2.75%, 9/25/2035 (i)		36		36

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		531		553

Series 2006-1F, Class 1A3, 5.50%, 2/25/2036		213		328

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		1,918		1,348

Headlands Residential LLC

Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024(a)(g)		10,962		11,012

Series 2018-RPL1, Class A, 3.88%, 8/25/2024(a)(g)		18,838		18,955

Series 2017-RPL1, Class A, 3.88%, 11/25/2024(a)(g)		38,825		39,120

Homeward Opportunities Fund Trust Series 2020-BPL1, Class A1, 3.23%, 8/25/2025(a)(g)		29,871		30,460

Impac CMB Trust Series 2005-4, Class 2A1, 0.68%, 5/25/2035 (i)		723		725

Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033		415		404

Impac Secured Assets Trust Series 2006-1, Class 2A1, 0.78%, 5/25/2036 (i)		583		583

JPMorgan Mortgage Trust

Series 2006-A2, Class 5A3, 2.43%, 11/25/2033 (i)		1,258		1,272

Series 2004-A3, Class 4A1, 2.30%, 7/25/2034 (i)		30		31

Series 2006-A2, Class 4A1, 2.23%, 8/25/2034 (i)		2,481		2,608

Series 2006-A3, Class 6A1, 2.58%, 8/25/2034 (i)		385		388

Series 2004-A4, Class 1A1, 2.24%, 9/25/2034 (i)		117		116

Series 2004-S1, Class 1A7, 5.00%, 9/25/2034		36		38

Series 2005-A1, Class 3A4, 2.65%, 2/25/2035 (i)		371		368


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-A1, Class 5A1, 2.54%, 7/25/2035 (i)		296		303

Series 2007-A1, Class 5A2, 2.54%, 7/25/2035 (i)		119		121

Legacy Mortgage Asset Trust

Series 2020-GS1, Class A1, 2.88%, 10/25/2059(a)(g)		8,576		8,614

Series 2020-GS5, Class A1, 3.25%, 6/25/2060(a)		11,866		12,068

Series 2021-GS1, Class A1, 1.89%, 10/25/2066(a)(g)		24,315		24,356

Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.94%, 4/25/2036 (i)		374		314

Series 2007-6, Class 1A8, 6.00%, 7/25/2037		124		122

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		2,130		1,094

LHOME Mortgage Trust

Series 2019-RTL2, Class A1, 3.84%, 3/25/2024(a)		17,012		17,064

Series 2020-RTL1, Class A1, 3.23%, 10/25/2024(a)		18,550		18,689

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 2.66%, 4/21/2034 (i)		617		618

Series 2004-3, Class 4A2, 2.23%, 4/25/2034 (i)		166		167

Series 2004-15, Class 3A1, 2.62%, 12/25/2034 (i)		76		75

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		6		6

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		2		3

Series 2003-9, Class 2A1, 6.00%, 12/25/2033		204		211

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		133		137

Series 2004-3, Class 3A1, 6.00%, 4/25/2034		1,285		1,305

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		269		273

Series 2004-6, Class 30, PO, 7/25/2034‡		173		148

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		122		127

Series 2004-7, Class 30, PO, 8/25/2034‡		118		100


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2005-6, Class 3A1, 5.50%, 12/25/2035		118			113

MASTR Asset Securitization Trust

Series 2004-6, Class 15, PO, 7/25/2019‡		—	(j)		—	(j)

Series 2003-12, Class 30, PO, 12/25/2033‡		15			14

Series 2003-12, Class 6A1, 5.00%, 12/25/2033		69			69

Series 2004-4, Class 1A6, 5.25%, 12/26/2033		237			246

Series 2004-P7, Class A6, 5.50%, 12/27/2033(a)		94			94

Series 2004-1, Class 30, PO, 2/25/2034‡		11			9

MASTR Reperforming Loan Trust

Series 2005-2, Class 1A1F, 0.44%, 5/25/2035(a) (i)		6,373			3,391

Series 2006-2, Class 1A1, 4.21%, 5/25/2036(a) (i)		722			669

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035‡(a)		125			105

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 0.70%, 10/25/2028 (i)		405			410

Series 2003-F, Class A1, 0.72%, 10/25/2028 (i)		732			735

Series 2004-A, Class A1, 0.54%, 4/25/2029 (i)		145			144

Series 2004-C, Class A2, 0.76%, 7/25/2029 (i)		285			284

Series 2003-A5, Class 2A6, 2.02%, 8/25/2033 (i)		153			154

Series 2004-A4, Class A2, 2.62%, 8/25/2034 (i)		369			375

Series 2004-1, Class 2A1, 2.08%, 12/25/2034 (i)		432			439

Series 2005-A2, Class A1, 2.82%, 2/25/2035 (i)		663			670

Merrill Lynch Mortgage-Backed Securities Trust Series 2007-3, Class 1A3, 1.25%, 6/25/2037 (i)		474			452

Morgan Stanley Mortgage Loan Trust

Series 2004-9, Class 4A, 3.23%, 10/25/2019 (i)		66			65

Series 2004-3, Class 4A, 5.65%, 4/25/2034 (i)		1,029			1,094

MRA Issuance Trust

Series 2021-EBO5, Class A1X, 1.85%, 2/16/2022(a) (i)		82,300			82,361


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2021-EBO5, Class A1Y, 1.85%, 2/16/2022(a) (i)		28,700			28,700

Series 2021-EBO7, Class A1X, 2.85%, 2/16/2022(a) (i)		82,300			82,321

Series 2021-EBO7, Class A1Y, 2.85%, 2/16/2022(a) (i)		28,700			28,707

Series 2021-EBO2, Class A, 2.83%, 12/31/2049(a) (i)		102,200			102,200

MRFC Mortgage Pass-Through Trust

Series 2000-TBC2, Class A1, 0.57%, 6/15/2030 (i)		962			967

Series 2000-TBC3, Class A1, 0.53%, 12/15/2030 (i)		233			229

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034(a) (i)		362			358

New Residential Mortgage Loan Trust Series 2020-RPL2, Class A1, 3.58%, 8/25/2025(a) (i)		17,687			18,007

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		69			71

Series 2003-A1, Class A1, 5.50%, 5/25/2033		20			20

Series 2003-A1, Class A2, 6.00%, 5/25/2033		76			77

P-stla 7.25%, 10/11/2026‡		40,900			40,900

Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034		351			356

Progress Residential Trust 6.38%, 10/20/2025‡		45,000			44,550

PRPM LLC

Series 2020-2, Class A1, 3.67%, 8/25/2025(a)(g)		19,352			19,486

Series 2020-5, Class A1, 3.10%, 11/25/2025(a)(g)		36,293			36,549

Series 2021-1, Class A1, 2.12%, 1/25/2026(a) (i)		55,808			55,961

RALI Trust

Series 2002-QS16, Class A3, IF, 16.45%, 10/25/2017 (i)		1			1

Series 2003-QS9, Class A3, IF, IO, 7.46%, 5/25/2018‡ (i)		6			—	(j)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018‡		—	(j)		—

Series 2003-QS12, Class A2A, IF, IO, 7.52%, 6/25/2018‡ (i)		—	(j)		—	(j)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-QS14, Class A1, 5.00%, 7/25/2018		8		7

Series 2005-QA6, Class A32, 3.50%, 5/25/2035 (i)		742		502

Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037		98		96

RBSSP Resecuritization Trust

Series 2009-12, Class 1A1, 5.16%, 11/25/2033(a) (i)		89		88

Series 2009-1, Class 1A1, 6.50%, 2/26/2036(a) (i)		168		169

RCO V Mortgage LLC Series 2020-1, Class A1, 3.10%, 9/25/2025(a)(g)		9,793		9,868

Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035‡(a)		48		33

Repo Buyer 8.32%, 5/14/2022‡		20,502		20,502

Residential Asset Securitization Trust Series 2003-A8, Class A5, 4.25%, 10/25/2018		12		12

RFMSI Trust Series 2005-SA4, Class 1A1, 2.53%, 9/25/2035 (i)		142		127

RMIP 5.60%, 8/25/2021‡		20,838		20,481

SART 4.75%, 7/15/2024		22,274		22,319

3.25%, 10/15/2024‡		4,628		4,568

4.76%, 6/15/2025		26,945		26,958

SART CRR

Series 4, 2.51%, 10/15/2024‡		10,652		10,511

2.75%, 4/15/2026‡		7,348		7,257

4.25%, 7/15/2027‡		10,825		10,682

Seasoned Credit Risk Transfer Trust

Series 2017-4, Class M60C, 3.50%, 6/25/2057		13,103		14,027

Series 2018-4, Class MA, 3.50%, 3/25/2058‡		18,003		18,955

Series 2018-4, Class MZ, 3.50%, 3/25/2058‡		13,249		15,693

Series 2019-1, Class MT, 3.50%, 7/25/2058‡		50,376		55,403

Series 2019-1, Class M55D, 4.00%, 7/25/2058		31,286		34,485

Series 2019-3, Class MB, 3.50%, 10/25/2058‡		26,490		30,718

Series 2020-1, Class M55G, 3.00%, 8/25/2059		46,568		49,478

Series 2020-3, Class MT, 2.00%, 5/25/2060‡		63,559		64,765

Seasoned Loans Structured Transaction Series 2018-1, Class A1, 3.50%, 6/25/2028		12,344		12,870


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Sequoia Mortgage Trust

Series 2004-8, Class A1, 0.79%, 9/20/2034 (i)		508		504

Series 2004-8, Class A2, 0.90%, 9/20/2034 (i)		685		701

Series 2004-10, Class A1A, 0.71%, 11/20/2034 (i)		262		259

Series 2004-11, Class A1, 0.69%, 12/20/2034 (i)		680		698

Series 2004-12, Class A3, 0.48%, 1/20/2035 (i)		654		636

Structured Asset Mortgage Investments II Trust

Series 2004-AR5, Class 1A1, 0.75%, 10/19/2034 (i)		749		738

Series 2005-AR5, Class A3, 0.59%, 7/19/2035 (i)		2,489		2,528

Structured Asset Securities Corp.

Series 2003-37A, Class 2A, 2.21%, 12/25/2033 (i)		869		873

Series 2004-4XS, Class 1A5, 5.15%, 2/25/2034(g)		1,219		1,242

Series 2005-RF3, Class 1A, 0.43%, 6/25/2035(a) (i)		498		445

Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-34A, Class 3A3, 2.83%, 11/25/2033 (i)		122		125

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 0.72%, 9/25/2043 (i)		1,528		1,558

Series 2004-4, Class 3A, 1.92%, 12/25/2044 (i)		936		937

Towd Point Mortgage Trust

Series 2021-R1, Class A1, 2.92%, 11/30/2060(a) (i)		103,290		105,494

Series 2021-R1, Class A2C, 3.31%, 11/30/2060(a)		10,000		10,144

Two Harbors

Series 2021-FNT1, Class A, 3.65%, 3/25/2020		68,100		68,285

VCAT LLC Series 2021-NPL2, Class A1, 2.12%, 3/27/2051(a)(g)		36,531		36,644

Vendee Mortgage Trust

Series 1993-1, Class ZB, 7.25%, 2/15/2023		385		400

Series 1994-1, Class 1, 5.09%, 2/15/2024 (i)		178		185

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		528		557


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1996-1, Class 1Z, 6.75%, 2/15/2026		476		531

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		209		233

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		723		810

Series 1998-1, Class 2E, 7.00%, 3/15/2028		487		539

vMobo, Inc. 7.50%, 5/31/2024		40,758		40,758

WaMu Mortgage Pass-Through Certificates

Series 2003-S4, Class 2A10, IF, 17.23%, 6/25/2033 (i)		101		119

Series 2004-RS2, Class A4, 5.00%, 11/25/2033		206		212

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-S1, Class A5, 5.50%, 4/25/2033		361		371

Series 2003-AR7, Class A7, 2.38%, 8/25/2033(i)		345		353

Series 2003-AR9, Class 2A, 2.40%, 9/25/2033 (i)		271		270

Series 2003-AR9, Class 1A6, 2.63%, 9/25/2033 (i)		1,931		1,937

Series 2003-S9, Class P, PO, 10/25/2033‡		24		21

Series 2003-AR11, Class A6, 2.80%, 10/25/2033 (i)		1,024		1,037

Series 2003-S9, Class A8, 5.25%, 10/25/2033		1,465		1,503

Series 2004-AR3, Class A1, 2.59%, 6/25/2034 (i)		435		448

Series 2004-AR3, Class A2, 2.59%, 6/25/2034 (i)		559		575

Series 2004-S2, Class 2A4, 5.50%, 6/25/2034		1,033		1,063

Series 2004-S3, Class 1A5, 5.00%, 7/25/2034		107		108

Series 2006-AR10, Class 2P, 2.87%, 9/25/2036 ‡ (i)		51		44

Series 2006-AR8, Class 1A2, 2.83%, 8/25/2046 (i)		307		306

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-1, Class CP, PO, 3/25/2035‡		57		45

Series 2005-1, Class 1A1, 5.50%, 3/25/2035		498		509

Series 2005-2, Class 2A3, IF, IO, 4.91%, 4/25/2035 ‡ (i)		1,127		164


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-2, Class 1A4, IF, IO, 4.96%, 4/25/2035 ‡ (i)		3,985		538

Series 2005-4, Class CB7, 5.50%, 6/25/2035		1,368		1,380

Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡		1,385		236

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		207		205

Series 2006-1, Class 3A2, 5.75%, 2/25/2036		116		112

Washington Mutual MSC Mortgage Pass-Through Certificates Trust

Series 2003-MS7, Class P, PO, 3/25/2033 ‡		1		—	(j)

Wells Fargo Alternative Loan Trust

Series 2003-1, Class A, PO, 9/25/2033‡		32		28

Series 2007-PA3, Class 1A2, 5.75%, 7/25/2037		126		126

Wells Fargo Mortgage-Backed Securities Trust

Series 2007-7, Class A7, 6.00%, 6/25/2037		76		76


Total Collateralized Mortgage Obligations (Cost $3,567,659)				3,631,614

Asset-Backed Securities — 9.4%

Academic Loan Funding Trust

Series 2013-1A, Class A, 0.88%, 12/26/2044 (a) (i)		2,080		2,074

ACC Trust

Series 2019-2, Class A, 2.82%, 2/21/2023 (a)		2,586		2,594

Accelerated Assets LLC

Series 2018-1, Class A, 3.87%, 12/2/2033 (a)		8,768		9,145

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (a)		9,166		9,382

Series 2015-1, Class A, 3.60%, 3/15/2027 (a)		4,087		4,182

Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)		7,282		7,401

Series 2017-1, Class A, 3.55%, 1/15/2030 (a)		7,018		6,854

American Airlines Pass-Through Trust

Series 2014-1, Class A, 3.70%, 10/1/2026		273		277

Series 2016-3, Class AA, 3.00%, 10/15/2028		17,288		17,410


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-1, Class AA, 3.65%, 2/15/2029		4,102		4,265

Series 2019-1, Class AA, 3.15%, 2/15/2032		11,498		11,741

American Credit Acceptance Receivables Trust

Series 2020-2, Class B, 2.48%, 9/13/2024 (a)		1,125		1,135

Series 2020-2, Class C, 3.88%, 4/13/2026 (a)		2,030		2,124

American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (a)		16,117		17,107

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a)		7,420		8,041

American Homes 4 Rent Trust

Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (a)		11,013		11,716

Series 2014-SFR2, Class B, 4.29%, 10/17/2036 ‡ (a)		2,400		2,552

Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (a)		8,100		8,718

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (a)		7,300		7,976

Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (a)		8,776		9,298

Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (a)		3,750		4,019

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (a)		16,970		18,704

Series 2015-SFR2, Class E, 6.07%, 10/17/2052 ‡ (a)		1,415		1,582

American Tower Trust #1

REIT, 3.07%, 3/15/2023 (a)		6,220		6,244

AmeriCredit Automobile Receivables Trust

Series 2017-2, Class D, 3.42%, 4/18/2023		13,550		13,673

Series 2017-4, Class C, 2.60%, 9/18/2023		12,899		12,979

AMSR Trust

Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a)		40,100		40,654

Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (a)		2,949		3,017

Series 2020-SFR2, Class D, 3.28%, 7/17/2037 ‡ a)		15,495		15,962

Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (a)		12,912		13,388


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (a)		9,600		9,662

Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (a)		20,000		20,047

Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (a)		19,000		18,885

Series 2019-SFR1, Class E, 3.47%, 1/19/2039 ‡ (a)		7,800		7,991

Aqua Finance Trust

Series 2017-A, Class A, 3.72%, 11/15/2035 (a)		6,737		6,912

Series 2019-A, Class A, 3.14%, 7/16/2040 (a)		13,123		13,450

Series 2020-AA, Class B, 2.79%, 7/17/2046 ‡ (a)		2,750		2,828

Arivo Acceptance Auto Loan Receivables Trust

Series 2019-1, Class A, 2.99%, 7/15/2024 (a)		7,846		7,920

Arm Master Trust

Series 2021-T2, Class A, 1.42%, 1/15/2024 (a)		7,000		7,001

Arm Master Trust LLC Agricultural Loan Backed Notes

Series 2021-T1, Class A, 2.43%, 11/15/2027 (a)		31,250		31,303

Avis Budget Rental Car Funding AESOP LLC

Series 2020-1A, Class A, 2.33%, 8/20/2026 (a)		24,040		25,162

British Airways Pass-Through Trust (United Kingdom)

Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)		7,364		7,729

Series 2018-1, Class A, 4.13%, 9/20/2031 (a)		11,794		11,968

Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)		9,200		9,448

Business Jet Securities LLC

Series 2019-1, Class A, 4.21%, 7/15/2034 (a)		29,867		30,760

Series 2019-1, Class B, 5.19%, 7/15/2034 ‡ (a)		1,874		1,887

Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		19,992		20,391

Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)		34,936		35,172

Camillo Issuer LLC

Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		38,775		39,792

Series 2018-SFR1, Class A, 5.25%, 6/5/2028 ‡ (a)		41,950		43,157


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Carnow Auto Receivables Trust

Series 2018-1A, Class C, 5.21%, 9/15/2023 (a)		4,910		4,930

Cars Net Lease Mortgage Notes

Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)		12,319		12,783

CARS-DB4 LP

Series 2020-1A, Class A5, 3.48%, 2/15/2050 (a)		5,738		6,000

Series 2020-1A, Class A6, 3.81%, 2/15/2050 (a)		5,988		6,414

Carvana Auto Receivables Trust

Series 2019-4A, Class C, 2.72%, 1/15/2025 (a)		11,000		11,252

Chase Funding Trust

Series 2003-4, Class 1A5, 5.92%, 5/25/2033 ‡ (g)		821		841

Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (g)		1,615		1,701

Series 2003-6, Class 1A5, 5.85%, 11/25/2034 ‡ (g)		947		996

CIG Auto Receivables Trust

Series 2019-1A, Class C, 3.82%, 8/15/2024 (a)		3,000		3,061

Citibank Credit Card Issuance Trust

Series 2007-A3, Class A3, 6.15%, 6/15/2039		950		1,350

Consumer Receivables Asset Investment Trust

Series 2021-1, Class A1X, 3.13%, 3/24/2023 (a) (i)		62,310		62,312

Series 2021-1, Class A1Y, 3.13%, 3/24/2023 (a) (i)		13,850		13,850

Continental Airlines Pass-Through Trust

Series 2007-1, Class A, 5.98%, 4/19/2022		1,400		1,424

COOF Securitization Trust Ltd.

Series 2014-1, Class A, IO, 2.86%, 6/25/2040 ‡ (a) (i)		4,222		367

CoreVest American Finance Trust

Series 2019-2, Class B, 3.42%, 6/15/2052 ‡ (a)		5,250		5,678

Series 2019-2, Class C, 3.68%, 6/15/2052 ‡ (a)		5,526		5,942

Series 2019-3, Class A, 2.71%, 10/15/2052 (a)		29,669		31,031

CPS Auto Trust

Series 2017-A, Class D, 4.61%, 12/15/2022 (a)		448		450


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Credit Acceptance Auto Loan Trust

Series 2018-3A, Class B, 3.89%, 10/15/2027 (a)		2,713		2,718

Series 2020-1A, Class C, 2.59%, 6/15/2029 (a)		25,115		25,853

Series 2020-3A, Class C, 2.28%, 2/15/2030 (a)		12,000		12,279

Credit Suisse Mortgage Capital Certificates

Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (i)		42,599		42,611

Credito Real USA Auto Receivables Trust

Series 2021-1A, Class A, 1.35%, 2/16/2027 (a)		15,266		15,273

Crossroads Asset Trust

Series 2021-A, Class A2, 0.82%, 3/20/2024 (a)		5,340		5,346

Crown Castle Towers LLC 4.24%, 7/15/2028 (a)		10,000		11,323

CWABS, Inc. Asset-Backed Certificates

Series 2004-1, Class M1, 0.83%, 3/25/2034 ‡ (i)		80		79

Series 2004-1, Class M2, 0.91%, 3/25/2034 ‡ (i)		49		49

Series 2004-1, Class 3A, 0.64%, 4/25/2034 ‡ (i)		220		206

CWABS, Inc. Asset-Backed Certificates Trust

Series 2004-6, Class M1, 0.98%, 10/25/2034 (i)		82		81

Diamond Resorts Owner Trust

Series 2017-1A, Class A, 3.27%, 10/22/2029 (a)		4,640		4,698

Series 2017-1A, Class B, 4.11%, 10/22/2029 ‡ (a)		1,632		1,650

Drive Auto Receivables Trust

Series 2017-1, Class D, 3.84%, 3/15/2023		1,274		1,276

Series 2017-3, Class D, 3.53%, 12/15/2023 (a)		10,079		10,144

Series 2018-3, Class D, 4.30%, 9/16/2024		21,593		21,990

Series 2019-4, Class C, 2.51%, 11/17/2025		16,130		16,316

Series 2019-1, Class D, 4.09%, 6/15/2026		15,350		15,850

Series 2019-2, Class D, 3.69%, 8/17/2026		14,220		14,697

Series 2019-4, Class D, 2.70%, 2/16/2027		12,550		12,886


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


DT Auto Owner Trust

Series 2018-1A, Class D, 3.81%, 12/15/2023 (a)		3,844		3,860

Series 2018-2A, Class D, 4.15%, 3/15/2024 (a)		11,393		11,539

Series 2019-1A, Class D, 3.87%, 11/15/2024 (a)		9,800		10,078

Series 2020-3A, Class C, 1.47%, 6/15/2026 (a)		6,815		6,899

Elara HGV Timeshare Issuer LLC

Series 2017-A, Class B, 2.96%, 3/25/2030 (a)		2,961		3,036

Series 2017-A, Class C, 3.31%, 3/25/2030 (a)		1,999		2,049

Exeter Automobile Receivables Trust

Series 2017-3A, Class C, 3.68%, 7/17/2023 (a)		5,043		5,111

Series 2019-4A, Class C, 2.44%, 9/16/2024 (a)		33,155		33,492

Series 2019-1A, Class C, 3.82%, 12/16/2024 (a)		2,508		2,520

Series 2019-1A, Class D, 4.13%, 12/16/2024 (a)		7,600		7,823

Series 2019-3A, Class D, 3.11%, 8/15/2025 (a)		18,525		19,181

Series 2020-1A, Class D, 2.73%, 12/15/2025 (a)		22,035		22,732

FHF Trust

Series 2021-1A, Class A, 1.27%, 3/15/2027 (a)		13,962		13,961

FirstKey Homes Trust

Series 2020-SFR1, Class D, 2.24%, 8/17/2037 ‡ (a)		6,450		6,526

Series 2020-SFR1, Class E, 2.79%, 8/17/2037 ‡ (a)		11,250		11,498

Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (a)		57,000		58,133

Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (a)		14,400		14,447

Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 ‡ (a)		12,500		12,511

Flagship Credit Auto Trust

Series 2019-2, Class B, 2.92%, 4/15/2025 (a)		21,324		21,605

FNMA, Grantor Trust

Series 2017-T1, Class A, 2.90%, 6/25/2027		86,447		94,488


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Foundation Finance Trust

Series 2019-1A, Class A, 3.86%, 11/15/2034 (a)		13,106		13,502

Series 2019-1A, Class C, 5.66%, 11/15/2034 ‡ (a)		18,930		20,862

Series 2020-1A, Class A, 3.54%, 7/16/2040 (a)		38,490		39,909

Foursight Capital Automobile Receivables Trust

Series 2021-1, Class D, 1.32%, 3/15/2027 (a)		900		896

GE Capital Mortgage Services, Inc. Trust

Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (i)		115		105

Gold Key Resorts LLC

Series 2014-A, Class A, 3.22%, 3/17/2031 (a)		775		785

Golden Bear LLC

Series 2016-R, Class R, 5.65%, 9/20/2047 (a)		2,362		2,363

Goodgreen

Series 2019-2A, Class A, 2.76%, 4/15/2055 (a)		29,545		30,375

Goodgreen Trust

Series 2016-1A, Class A, 3.23%, 10/15/2052 (a)		12,668		13,351

Series 2017-1A, Class A, 3.74%, 10/15/2052 (a)		3,725		3,949

Series 2017-2A, Class A, 3.26%, 10/15/2053 (a)		17,282		18,121

Harvest SBA Loan Trust

Series 2021-1, Class A, 2.08%, 4/25/2048 (a) (i)		7,735		7,600

HERO (Cayman Islands)

Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (a)		4,420		4,199

HERO Funding (Cayman Islands)

Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)		13,587		14,371

Series 2018-1A, Class A2, 4.67%, 9/20/2048 (a)		17,161		18,174

HERO Funding II (Cayman Islands)

Series 2016-3B, Class B, 5.24%, 9/20/2042 (a)		1,788		1,788

3.75%, 9/21/2044‡		6,545		6,128

Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)		2,473		2,522


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


HERO Funding Trust (Cayman Islands)

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a)		5,286		5,457

Series 2016-4A, Class A1, 3.57%, 9/20/2047 (a)		1,538		1,586

Series 2016-4A, Class A2, 4.29%, 9/20/2047 (a)		3,204		3,325

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a)		10,929		11,486

Hilton Grand Vacations Trust

Series 2017-AA, Class A, 2.66%, 12/26/2028 (a)		1,388		1,420

Series 2020-AA, Class A, 2.74%, 2/25/2039 (a)		11,672		12,184

Home Equity Mortgage Loan Asset-Backed Trust

Series 2006-A, Class A3, 0.48%, 3/25/2036 ‡ (i)		51		51

KGS-Alpha SBA COOF Trust

Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (a) (i)		510		4

Series 2014-1, Class A, IO, 1.66%, 10/25/2032 ‡ (a) (i)		13,073		436

Series 2012-4, Class A, IO, 1.03%, 9/25/2037 ‡ (a) (i)		30,024		734

Series 2012-2, Class A, IO, 0.92%, 8/25/2038 ‡ (a) (i)		15,445		317

Series 2013-2, Class A, IO, 1.97%, 3/25/2039 ‡ (a) (i)		13,748		536

Series 2012-6, Class A, IO, 0.66%, 5/25/2039 ‡ (a) (i)		14,505		201

Series 2014-2, Class A, IO, 3.74%, 4/25/2040 ‡ (a) (i)		3,881		316

Series 2015-2, Class A, IO, 3.31%, 7/25/2041 ‡ (a) (i)		4,039		462

LendingPoint Asset Securitization Trust

Series 2021-1, Class A, 1.75%, 4/15/2027 (a)		36,153		36,278

Series 2020-REV1, Class B, 4.49%, 10/15/2028 ‡ (a)		32,938		33,818

Lendingpoint SPE Trust

Series 2020-VFN1, Class A1B, 4.35%, 12/15/2026 (a) (i)		35,000		35,033

Series 2020-VFN1, Class A2B1, 4.35%, 12/15/2026 (a) (i)		15,965		15,980

Lendmark Funding Trust

Series 2019-2A, Class A, 2.78%, 4/20/2028 (a)		17,859		18,327


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2019-2A, Class B, 3.22%, 4/20/2028 ‡ (a)		6,150		6,292

LFT CRE Ltd. (Cayman Islands)

Series 2021-FL1, Class C, 2.05%, 6/15/2039 ‡ (a) (i)		29,810		29,819

LMREC LLC

Series 2021-CRE4, Class A, 1.19%, 4/22/2037 (a) (i)		34,905		34,909

Long Beach Mortgage Loan Trust

Series 2004-1, Class M1, 0.83%, 2/25/2034 ‡ (i)		958		957

Series 2004-3, Class M1, 0.94%, 7/25/2034 ‡ (i)		260		258

LP LMS Asset Securitization Trust

Series 2019-1A, Class A, 4.21%, 11/10/2025 (a)		2,472		2,482

Series 2020-1A, Class A, 3.97%, 2/10/2026 (a)		10,341		10,475

3.23%, 10/15/2028		69,070		69,127

Mariner Finance Issuance Trust

Series 2019-AA, Class A, 2.96%, 7/20/2032 (a)		33,360		34,087

Mercury Financial Credit Card Master Trust

Series 2021-1A, Class A, 1.54%, 3/20/2026 (a)		38,420		38,558

Series 2021-1A, Class B, 2.33%, 3/20/2026 (a)		8,740		8,685

Mid-State Capital Corp. Trust

Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (a)		4,656		4,941

MVW Owner Trust

Series 2019-1A, Class A, 2.89%, 11/20/2036 (a)		9,086		9,396

Nationstar HECM Loan Trust

Series 2020-1A, Class A1, 1.27%, 9/25/2030 (a) (i)		12,367		12,401

New Century Home Equity Loan Trust

Series 2003-5, Class AI6, 6.00%, 11/25/2033 ‡ (g)		1,017		1,046

NMEF Funding LLC

Series 2019-A, Class A, 2.73%, 8/17/2026 (a)		4,058		4,071

Series 2019-A, Class B, 3.06%, 8/17/2026 ‡ (a)		11,000		11,132

NRZ Excess Spread-Collateralized Notes

Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)		36,269		36,652


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)		47,770		47,741

Octane Receivables Trust

Series 2019-1A, Class A, 3.16%, 9/20/2023 (a)		7,210		7,261

OL SP LLC

Series 2018, Class A, 4.16%, 2/9/2030		2,444		2,537

Series 2018, Class B, 4.61%, 2/9/2030 ‡		764		788

OneMain Direct Auto Receivables Trust

Series 2018-1A, Class B, 3.71%, 4/14/2025 (a)		25,537		25,740

Oportun Funding XIII LLC

Series 2019-A, Class A, 3.08%, 8/8/2025 (a)		45,920		46,874

Oportun Funding XIV LLC

Series 2021-A, Class A, 1.21%, 3/8/2028 (a)		20,285		20,355

Oportun Issuance Trust

Series 2021-B, Class A, 1.47%, 5/8/2031 (a)		38,800		38,893

Orange Lake Timeshare Trust

Series 2019-A, Class B, 3.36%, 4/9/2038 ‡ (a)		8,026		8,289

Pretium Mortgage Credit Partners I LLC

Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (a) (g)		28,708		28,988

Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (g)		65,009		65,080

Progress Residential Trust

Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a)		27,455		28,047

Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 ‡ (a)		16,700		16,792

Series 2021-SFR8, Class A, 1.51%, 9/17/2038 (a)		7,600		7,610

Series 2021-SFR8, Class E1, 2.38%, 9/17/2038 (a)		35,000		35,024

ReadyCap Lending Small Business Loan Trust

Series 2019-2, Class A, 2.75%, 12/27/2044 (a) (i)		17,343		16,598

Regional Management Issuance Trust

Series 2019-1, Class A, 3.05%, 11/15/2028 (a)		21,818		22,061

Series 2020-1, Class A, 2.34%, 10/15/2030 (a)		16,100		16,413

Renaissance Home Equity Loan Trust

Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (g)		96		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Renew (Cayman Islands)

Series 2017-1A, Class A, 3.67%, 9/20/2052 (a)		4,673		4,920

RFLF 1 Issuer LLC

Series 2018-1A, Class A, 5.25%, 6/12/2022 ‡ (a)		45,000		45,000

Santander Drive Auto Receivables Trust

Series 2018-1, Class D, 3.32%, 3/15/2024		22,677		22,885

Series 2019-2, Class C, 2.90%, 10/15/2024		16,830		16,966

Series 2019-1, Class C, 3.42%, 4/15/2025		7,002		7,038

Securitized Asset-Backed Receivables LLC Trust

Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 ‡ (g)		419		421

Sierra Timeshare Receivables Funding LLC

Series 2020-2A, Class C, 3.51%, 7/20/2037 ‡ (a)		5,383		5,541

Spirit Airlines Pass-Through Trust

Series 2017-1, Class AA, 3.38%, 2/15/2030		3,522		3,617

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

Series 2004-6XS, Class A5A, 6.03%, 3/25/2034 ‡ (g)		358		362

Series 2004-6XS, Class A5B, 6.05%, 3/25/2034 ‡ (g)		287		289

Structured Asset Securities Corp. Pass-Through Certificates

Series 2002-AL1, Class A2, 3.45%, 2/25/2032 ‡		99		95

Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡		311		286

Synchrony Card Funding LLC

Series 2019-A2, Class A, 2.34%, 6/15/2025		47,475		48,285

Synchrony Card Issuance Trust

Series 2018-A1, Class A, 3.38%, 9/15/2024		34,000		34,044

Towd Point Mortgage Trust

Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (a) (g)		41,110		41,536

Tricolor Auto Securitization Trust

Series 2020-1A, Class A, 4.88%, 11/15/2026 (a)		33,355		33,689


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Tricon American Homes Trust

Series 2019-SFR1, Class D, 3.20%, 3/17/2038 ‡ (a)		4,641		4,807

Series 2019-SFR1, Class E, 3.40%, 3/17/2038 ‡ (a)		11,000		11,273

United Airlines Pass-Through Trust

Series 2013-1, Class A, 4.30%, 8/15/2025		4,857		5,244

Series 2016-2, Class B, 3.65%, 10/7/2025		11,606		11,572

Series 2016-1, Class B, 3.65%, 1/7/2026		707		706

Series 2018-1, Class B, 4.60%, 3/1/2026		8,918		9,216

Series 2014-1, Class A, 4.00%, 4/11/2026		5,253		5,562

Series 2019-2, Class B, 3.50%, 5/1/2028		10,897		10,808

Series 2016-1, Class AA, 3.10%, 7/7/2028		2,288		2,398

Series 2016-1, Class A, 3.45%, 7/7/2028		11,203		11,387

Series 2016-2, Class AA, 2.88%, 10/7/2028		1,467		1,498

Series 2016-2, Class A, 3.10%, 10/7/2028		10,253		10,192

Series 2018-1, Class AA, 3.50%, 3/1/2030		14,083		14,684

Series 2018-1, Class A, 3.70%, 3/1/2030		2,181		2,245

Series 2019-1, Class AA, 4.15%, 8/25/2031		13,787		15,047

Series 2019-1, Class A, 4.55%, 8/25/2031		12,468		13,411

Series 2019-2, Class AA, 2.70%, 5/1/2032		7,209		7,251

Upstart Pass-Through Trust

Series 2021-ST2, Class A, 2.50%, 4/20/2027 (a)		7,574		7,660

US Auto Funding LLC

Series 2019-1A, Class B, 3.99%, 12/15/2022 (a)		902		906

USASF Receivables LLC

Series 2020-1A, Class B, 3.22%, 5/15/2024 (a)		20,000		20,360

VOLT C LLC

Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (g)		12,026		12,039

VOLT XCII LLC

Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (g)		26,698		26,713


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

VOLT XCIV LLC

Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (g)		57,319		57,402

VOLT XCIX LLC

Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (g)		39,695		39,804

VOLT XCV LLC

Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (g)		25,395		25,448

VOLT XCVI LLC

Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (g)		74,773		74,850

VOLT XCVII LLC

Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (g)		54,628		54,673

VOLT XCVIII LLC

Series 2021-NPL7, Class A1, 2.12%, 4/25/2051 (a) (g)		26,086		26,160

Welk Resorts LLC

Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (a)		6,312		6,471

Westgate Resorts LLC

Series 2020-1A, Class B, 3.96%, 3/20/2034 ‡ (a)		30,875		31,818

World Financial Network Credit Card Master Trust

Series 2019-A, Class A, 3.14%, 12/15/2025		34,790		35,256

World Omni Auto Receivables Trust

Series 2018-B, Class A3, 2.87%, 7/17/2023		3,620		3,640


Total Asset-Backed Securities (Cost $3,270,789)				3,325,718

Commercial Mortgage-Backed Securities — 6.8%

20 Times Square Trust

Series 2018-20TS, Class D, 3.20%, 5/15/2035 ‡ (a) (i)		21,000		20,604

Series 2018-20TS, Class E, 3.20%, 5/15/2035 ‡ (a) (i)		13,399		12,987

BAMLL Commercial Mortgage Securities Trust

Series 2012-PARK, Class A, 2.96%, 12/10/2030 (a)		7,026		7,217

Series 2014-520M, Class C, 4.35%, 8/15/2046 (a) (i)		7,700		8,538

BAMLL Re-REMIC Trust

Series 2014-FRR5, Class AK30, PO, 6/27/2045 (a)		3,200		3,109


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2016-FR13, Class A, 1.50%, 8/27/2045 (a) (i)		9,619		9,587

Series 2015-FR11, Class AK25, 2.45%, 9/27/2045 (a) (i)		7,484		7,527

Bancorp Commercial Mortgage Trust

Series 2019-CRE5, Class D, 2.45%, 3/15/2036 ‡ (a) (i)		6,700		6,684

BB-UBS Trust

Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a)		46,923		49,711

Bear Stearns Commercial Mortgage Securities Trust

Series 2006-PW14, Class X1, IO, 0.76%, 12/11/2038 ‡ (a) (i)		2,509		—	(j)

Series 2007-T26, Class X1, IO, 0.01%, 1/12/2045 ‡ (a) (i)		92,132		8

CD Mortgage Trust

Series 2006-CD3, Class XS, IO, 0.65%, 10/15/2048 ‡ (a) (i)		5,786		—	(j)

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (a)		4,484		4,734

Series 2018-HOME, Class A, 3.94%, 4/10/2033 (a) (i)		53,745		59,880

Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (a) (i)		6,150		6,291

Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (a)		7,550		7,846

Series 2020-CBM, Class B, 3.10%, 2/10/2037 ‡ (a)		14,250		14,688

Series 2012-CR2, Class XA, IO, 1.77%, 8/15/2045 ‡ (i)		22,310		153

Series 2014-CR19, Class A5, 3.80%, 8/10/2047		13,800		14,942

Series 2015-CR24, Class A5, 3.70%, 8/10/2048		9,250		10,118

Series 2015-CR25, Class A4, 3.76%, 8/10/2048		17,593		19,338

Credit Suisse Commercial Mortgage Trust

Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 ‡ (a) (i)		15,739		—	(j)

CSAIL Commercial Mortgage Trust

Series 2017-CX10, Class UESA, 4.03%, 10/15/2032 (a)		29,490		30,314

Series 2017-CX10, Class UESC, 4.38%, 10/15/2032 ‡ (a) (i)		4,929		4,854

CSMC OA LLC

Series 2014-USA, Class A2, 3.95%, 9/15/2037 (a)		2,600		2,804


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a)		16,830		16,025

DBWF Mortgage Trust

Series 2015-LCM, Class A2, 3.54%, 6/10/2034 (a) (i)		4,000		4,140

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ09, Class A2, 2.84%, 9/25/2022		5,015		5,102

Series KS01, Class A2, 2.52%, 1/25/2023		11,241		11,434

Series KSMC, Class A2, 2.62%, 1/25/2023		26,500		27,330

Series K038, Class A2, 3.39%, 3/25/2024		20,914		22,315

Series K731, Class AM, 3.60%, 2/25/2025 (i)		32,000		34,493

Series KPLB, Class A, 2.77%, 5/25/2025		2,314		2,484

Series KLU2, Class A7, 2.23%, 9/25/2025 (i)		21,900		22,985

Series KJ17, Class A2, 2.98%, 11/25/2025		26,301		28,152

Series K052, Class A2, 3.15%, 11/25/2025		23,597		25,705

Series K737, Class AM, 2.10%, 10/25/2026		24,520		25,709

Series K061, Class AM, 3.44%, 11/25/2026 (i)		20,000		22,341

Series K065, Class A2, 3.24%, 4/25/2027		21,719		24,164

Series K065, Class AM, 3.33%, 5/25/2027		11,657		13,008

Series K066, Class A2, 3.12%, 6/25/2027		8,171		9,047

Series K069, Class A2, 3.19%, 9/25/2027 (i)		48,115		53,649

Series K070, Class A2, 3.30%, 11/25/2027 (i)		17,323		19,460

Series K072, Class A2, 3.44%, 12/25/2027		14,689		16,639

Series K072, Class AM, 3.50%, 12/25/2027 (i)		19,000		21,543

Series W5FX, Class AFX, 3.34%, 4/25/2028 (i)		21,769		24,360

Series K081, Class A2, 3.90%, 8/25/2028 (i)		13,531		15,801

Series K082, Class AM, 3.92%, 9/25/2028 (i)		12,035		14,046

Series K087, Class A2, 3.77%, 12/25/2028		4,150		4,826


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K088, Class A2, 3.69%, 1/25/2029		355		411

Series K115, Class XAM, IO, 1.65%, 7/25/2030 (i)		44,581		5,625

Series K118, Class XAM, IO, 1.26%, 9/25/2030 (i)		21,865		2,149

Series Q013, Class APT2, 1.29%, 5/25/2050 (i)		20,833		20,668

FNMA ACES

Series 2013-M9, Class A2, 2.39%, 1/25/2023 (i)		4,351		4,441

Series 2013-M13, Class A2, 2.63%, 4/25/2023 (i)		1,156		1,187

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (i)		10,325		10,943

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (i)		12,896		13,671

Series 2014-M9, Class A2, 3.10%, 7/25/2024 (i)		2,852		3,026

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (i)		8,995		9,554

Series 2015-M1, Class A2, 2.53%, 9/25/2024		10,870		11,407

Series 2015-M3, Class A2, 2.72%, 10/25/2024		13,596		14,292

Series 2015-M7, Class A2, 2.59%, 12/25/2024		5,728		6,033

Series 2015-M2, Class A3, 3.11%, 12/25/2024 (i)		8,788		9,368

Series 2015-M8, Class A2, 2.90%, 1/25/2025 (i)		10,000		10,635

Series 2016-M1, Class A2, 2.94%, 1/25/2026 (i)		63,640		68,215

Series 2016-M11, Class A2, 2.37%, 7/25/2026 (i)		96,850		102,269

Series 2017-M3, Class A2, 2.56%, 12/25/2026 (i)		10,771		11,512

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (i)		56,951		62,627

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (i)		33,600		36,899

Series 2017-M12, Class A2, 3.18%, 6/25/2027 (i)		40,812		45,198

Series 2017-M15, Class A2, 3.06%, 9/25/2027 (i)		10,000		10,984

Series 2018-M2, Class A2, 3.00%, 1/25/2028 (i)		22,000		24,032

Series 2018-M4, Class A2, 3.15%, 3/25/2028 (i)		24,726		27,380


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2018-M9, Class APT2, 3.22%, 4/25/2028 (i)		95,751		106,729

Series 2018-M8, Class A2, 3.44%, 6/25/2028 (i)		35,260		39,724

Series 2018-M10, Class A2, 3.48%, 7/25/2028 (i)		45,168		50,962

Series 2019-M1, Class A2, 3.67%, 9/25/2028 (i)		34,615		39,613

Series 2020-M38, Class 2A1, 1.59%, 11/25/2028		12,720		12,890

Series 2020-M38, Class X2, IO, 2.11%, 11/25/2028 (i)		54,000		6,584

Series 2019-M7, Class A2, 3.14%, 4/25/2029		41,965		46,680

Series 2017-M5, Class A2, 3.23%, 4/25/2029 (i)		7,565		8,483

Series 2017-M11, Class A2, 2.98%, 8/25/2029		14,669		16,388

Series 2020-M5, Class A2, 2.21%, 1/25/2030		46,000		48,605

Series 2018-M3, Class A2, 3.19%, 2/25/2030 (i)		17,874		20,087

Series 2020-M50, Class A1, 0.67%, 10/25/2030		34,899		34,386

Series 2020-M50, Class A2, 1.20%, 10/25/2030		12,140		12,090

Series 2020-M50, Class X1, IO, 2.02%, 10/25/2030 (i)		206,261		22,460

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		30,396		30,312

Series 2021-M3, Class X1, IO, 2.12%, 11/25/2033 (i)		156,526		21,264

Series 2019-M10, Class X, IO, 1.08%, 5/25/2049 (i)		91,118		6,671

FREMF Mortgage Trust

Series 2017-K727, Class B, 3.87%, 7/25/2024 (a) (i)		27,500		29,388

Series 2018-KSL1, Class B, 3.96%, 11/25/2025 (a) (i)		10,011		10,291

Series 2019-KL05, Class BP, 4.09%, 6/25/2029 (a) (i)		5,645		5,904

Series 2020-KHG2, Class B, 3.17%, 2/25/2030 (a) (i)		13,500		13,704

Series 2018-KW07, Class B, 4.22%, 10/25/2031 (a) (i)		5,000		5,411

Series 2015-K44, Class B, 3.81%, 1/25/2048 (a) (i)		769		828

Series 2015-K45, Class B, 3.71%, 4/25/2048 (a) (i)		11,025		11,892


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-K47, Class B, 3.71%, 6/25/2048 (a) (i)		5,000		5,411

Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (i)		10,000		10,987

Series 2016-K56, Class B, 4.08%, 6/25/2049 (a) (i)		8,451		9,344

Series 2016-K722, Class B, 3.99%, 7/25/2049 (a) (i)		21,565		22,589

Series 2017-K67, Class B, 4.08%, 9/25/2049 (a) (i)		8,500		9,467

Series 2017-K729, Class B, 3.80%, 11/25/2049 (a) (i)		8,000		8,593

Series 2017-K63, Class B, 4.00%, 2/25/2050 (a) (i)		20,000		22,079

Series 2019-K102, Class B, 3.65%, 12/25/2051 (a) (i)		6,000		6,538

Series 2019-K90, Class B, 4.46%, 2/25/2052 (a) (i)		8,500		9,744

Series 2020-K737, Class B, 3.41%, 1/25/2053 (a) (i)		10,000		10,728

GS Mortgage Securities Trust

Series 2006-GG8, Class X, IO, 1.27%, 11/10/2039 ‡ (a) (i)		10,432		17

Independence Plaza Trust

Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)		36,250		38,343

INVH

Series 2021-SFR1, 2.50%, 1/25/2024 ‡		35,000		35,000

JPMCC Re-REMIC Trust

Series 2015-FRR2, Class AK36, 2.14%, 12/27/2046 (a) (i)		14,610		14,663

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2005-CB11, Class X1, IO, 0.23%, 8/12/2037 ‡ (a) (i)		7,380		—	(j)

Series 2006-CB15, Class X1, IO, 0.38%, 6/12/2043 ‡ (i)		12,715		1

Series 2007-LD12, Class X, IO, 0.00%, 2/15/2051 ‡ (i)		7,381		—	(j)

Ladder Capital Commercial Mortgage Trust

Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (a)		8,924		10,008

LB-UBS Commercial Mortgage Trust

Series 2007-C2, Class XW, IO, 0.26%, 2/15/2040 ‡ (i)		2,118		—	(j)

MHC Commercial Mortgage Trust

Series 2021-MHC, Class E, 2.20%, 4/15/2038 ‡ (a) (i)		15,700		15,700

ML-CFC Commercial Mortgage Trust

Series 2006-4, Class XC, IO, 1.37%, 12/12/2049 ‡ (a) (i)		156		—	(j)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Morgan Stanley Capital I Trust

Series 2006-IQ12, Class X1, IO, 0.29%, 12/15/2043 ‡ (a) (i)		1,463		—	(j)

Series 2007-IQ13, Class X, IO, 0.65%, 3/15/2044 ‡ (a) (i)		3,590		6

MRCD MARK Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a)		38,560		40,235

Series 2019-PARK, Class E, 2.72%, 12/15/2036 ‡ (a)		81,600		81,652

RBS Commercial Funding, Inc. Trust

Series 2013-SMV, Class A, 3.26%, 3/11/2031 (a)		4,450		4,545

SBALR Commercial Mortgage Trust

Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a)		24,215		25,340

Series RR Trust

Series 2014-1, Class B, PO, 5/25/2047 (a)		8,260		7,691

SLG Office Trust

Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a)		67,015		70,487

UBS Commercial Mortgage Trust

Series 2012-C1, Class XA, IO, 2.20%, 5/10/2045 (a) (i)		10,808		35

UBS-BAMLL Trust

Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		15,527		15,611

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		2,357		2,435

Series 2012-C2, Class XA, IO, 1.43%, 5/10/2063 ‡ (a) (i)		43,115		292

Series 2012-C2, Class A4, 3.53%, 5/10/2063		9,327		9,478

VNDO Mortgage Trust

Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (a)		11,148		11,405

Wachovia Bank Commercial Mortgage Trust

Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 ‡ (a) (i)		2,882		—	(j)

Wells Fargo Commercial Mortgage Trust

Series 2015-C30, Class A4, 3.66%, 9/15/2058		8,751		9,580

Wells Fargo Re-REMIC Trust

Series 2013-FRR1, Class AK20, PO, 5/27/2045 (a)		8,000		7,919


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


WFRBS Commercial Mortgage Trust

Series 2013-C11, Class D, 4.38%, 3/15/2045 ‡ (a) (i)		2,500		2,476

Series 2012-C6, Class A4, 3.44%, 4/15/2045		2,005		2,009


Total Commercial Mortgage-Backed Securities (Cost $2,243,958)				2,400,972

Foreign Government Securities — 0.5%

Kingdom of Saudi Arabia (Saudi Arabia) 2.25%, 2/2/2033 (a)		10,140		9,975

3.45%, 2/2/2061 (a)		4,399		4,421

Republic of Chile (Chile) 2.55%, 1/27/2032		9,568		9,830

Republic of Colombia (Colombia) 4.00%, 2/26/2024		6,987		7,342

4.50%, 1/28/2026		3,811		4,140

7.38%, 9/18/2037		1,400		1,809

5.63%, 2/26/2044		941		1,051

5.00%, 6/15/2045		3,979		4,158

5.20%, 5/15/2049		10,179		10,893

3.88%, 2/15/2061		5,000		4,367

Republic of Panama (Panama) 3.16%, 1/23/2030		8,850		9,361

4.50%, 4/16/2050		5,100		5,826

Republic of Peru (Peru) 5.63%, 11/18/2050		737		1,022

Republic of South Africa (South Africa) 5.88%, 9/16/2025		3,502		3,956

United Mexican States (Mexico) 4.13%, 1/21/2026		5,155		5,835

3.75%, 1/11/2028		22,959		25,374

2.66%, 5/24/2031		20,674		20,445

4.75%, 3/8/2044		3,906		4,388

4.60%, 1/23/2046		15,089		16,554

4.35%, 1/15/2047		4,228		4,500

4.60%, 2/10/2048		1,928		2,105

4.50%, 1/31/2050		14,225		15,477

3.77%, 5/24/2061		11,682		11,133

5.75%, 10/12/2110		5,118		6,219


Total Foreign Government Securities (Cost $183,361)				190,181

Municipal Bonds — 0.5% (m)

California — 0.1%

City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer

Series 2009C, Rev., 6.58%, 5/15/2039		3,060		4,149


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds —continued

California — continued

Regents of the University of California Medical Center Pooled Series 2020N, Rev., 3.71%, 5/15/2120		21,120		23,194

State of California, Build America Bonds GO, 7.30%, 10/1/2039		2,400		3,885


Total California				31,228

New York — 0.1%

New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040		2,240		3,069

Port Authority of New York and New Jersey, Consolidated

Series 164, Rev., 5.65%, 11/1/2040		10,965		15,723

Series 165, Rev., 5.65%, 11/1/2040		3,780		5,420

Series 174, Rev., 4.46%, 10/1/2062		17,925		24,635


Total New York				48,847

Ohio — 0.3%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		11,725		19,582

County of Franklin, Hospital Facilities, Nationwide Children’s Hospital Project Rev., 2.88%, 11/1/2050		4,675		4,740

County of Hamilton, Healthcare Facilities, The Christ Hospital Rev., AGM, 3.76%, 6/1/2042		16,870		18,258

Ohio State University (The), General Receipts

Series 2016A, Rev., 4.05%, 12/1/2056		3,478		4,490

Series 2011-A, Rev., 4.80%, 6/1/2111		9,576		14,276

Rev., 5.59%, 12/1/2114		5,822		8,965


Total Ohio				70,311


Pennsylvania — 0.0% (b)

Chester County Health and Education Facilities Authority, Main Line Health System Rev., 3.31%, 6/1/2051		11,130		11,839


Total Municipal Bonds (Cost $127,505)				162,225

U.S. Government Agency Securities — 0.4%

Israel Government AID Bond (Israel) 5.50%, 12/4/2023		7,240		8,081

2.05%, 11/1/2024 (h)		5,000		4,872

5.50%, 9/18/2033		6,771		9,653


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Resolution Funding Corp. STRIPS

DN, 3.13%, 1/15/2030 (h)		30,700		27,079

DN, 2.82%, 4/15/2030 (h)		26,456		23,185

Tennessee Valley Authority 5.88%, 4/1/2036		31,814		47,484

5.50%, 6/15/2038		493		723

4.63%, 9/15/2060		4,157		6,303

4.25%, 9/15/2065		2,604		3,767

Tennessee Valley Authority STRIPS

DN, 4.17%, 11/1/2025 (h)		17,495		16,975

DN, 5.69%, 7/15/2028 (h)		3,119		2,859

DN, 3.79%, 12/15/2028 (h)		3,500		3,193

DN, 5.14%, 6/15/2035 (h)		2,242		1,674


Total U.S. Government Agency Securities (Cost $136,257)				155,848

	SHARES (000)
Short-Term Investments — 5.9%

Investment Companies — 5.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (n) (o) (Cost $2,088,647)		2,088,099		2,089,143

Total Investments — 103.2% (Cost $34,852,706)				36,474,303
Liabilities in Excess of Other Assets — (3.2)%				(1,116,883	)

NET ASSETS - 100.0%				35,357,420

Percentages indicated are based on net assets.

Abbreviations


ACES		Alternative Credit Enhancement Securities
AGM		Insured by Assured Guaranty Municipal Corp.
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
CSMC		Credit Suisse Mortgage Trust
DN		Discount Notes
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
LIBOR		London Interbank Offered Rate
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
Rev.		Revenue
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Amount rounds to less than 0.1% of net assets.


(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(d)		Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(e)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.
(f)		Security is an interest bearing note with preferred security characteristics.
(g)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(h)		The rate shown is the effective yield as of August 31, 2021.
(i)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(j)		Amount rounds to less than one thousand.
(k)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(l)		Defaulted security.
(m)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(n)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(o)		The rate shown is the current yield as of August 31, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 35.5%

Aerospace & Defense — 0.7%

Airbus SE (France) 3.15%, 4/10/2027 (a)		655		707

3.95%, 4/10/2047 (a)		150		172

BAE Systems plc (United Kingdom)

1.90%, 2/15/2031 (a)		764		747

3.00%, 9/15/2050 (a)		1,494		1,485

Boeing Co. (The)

1.17%, 2/4/2023		1,115		1,116

1.95%, 2/1/2024		965		989

1.43%, 2/4/2024		2,275		2,280

2.85%, 10/30/2024		2,200		2,313

2.75%, 2/1/2026		2,445		2,556

2.20%, 2/4/2026		28,580		28,688

3.10%, 5/1/2026		1,330		1,411

2.70%, 2/1/2027		6,025		6,251

5.04%, 5/1/2027		8,825		10,174

3.95%, 8/1/2059		4,110		4,275

BWX Technologies, Inc.

4.13%, 6/30/2028 (a)		695		714

4.13%, 4/15/2029 (a)		3,390		3,488

Howmet Aerospace, Inc.

5.13%, 10/1/2024		3,362		3,695

5.95%, 2/1/2037		4,161		5,248

Lockheed Martin Corp.

3.80%, 3/1/2045		600		708

4.09%, 9/15/2052		2,500		3,166

Precision Castparts Corp. 3.25%, 6/15/2025		2,017		2,189

Raytheon Technologies Corp.

3.95%, 8/16/2025		240		266

1.90%, 9/1/2031		8,204		8,106

4.50%, 6/1/2042		3,181		3,980

4.35%, 4/15/2047		166		204

Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027 (a)		1,747		1,916

Spirit AeroSystems, Inc. 7.50%, 4/15/2025 (a)		1,075		1,138

TransDigm, Inc.

6.25%, 3/15/2026 (a)		6,410		6,731

5.50%, 11/15/2027		1,500		1,534

Triumph Group, Inc.

6.25%, 9/15/2024 (a)		1,475		1,491

7.75%, 8/15/2025		2,364		2,365


				110,103


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Airlines — 0.1%

American Airlines, Inc.

5.50%, 4/20/2026 (a)		2,510		2,645

5.75%, 4/20/2029 (a)		2,174		2,348

Continental Airlines Pass-Through Trust

Series 2012-2, Class A Shares, 4.00%, 10/29/2024		3,931		4,155

Delta Air Lines, Inc.

4.50%, 10/20/2025 (a)		1,135		1,217

4.75%, 10/20/2028 (a)		1,589		1,772

United Airlines Holdings, Inc.

5.00%, 2/1/2024		3,104		3,213

4.88%, 1/15/2025		2,241		2,294

United Airlines, Inc. 4.38%, 4/15/2026(a)		2,345		2,433


				20,077


Auto Components — 0.3%

Allison Transmission, Inc.

4.75%, 10/1/2027 (a)		250		262

5.88%, 6/1/2029 (a)		3,625		3,988

3.75%, 1/30/2031 (a)		2,959		2,955

American Axle & Manufacturing, Inc.

6.25%, 4/1/2025		4,445		4,593

6.88%, 7/1/2028		1,420		1,534

5.00%, 10/1/2029		5,475		5,473

Clarios Global LP

6.75%, 5/15/2025 (a)		2,992		3,168

6.25%, 5/15/2026 (a)		2,477		2,610

Cooper-Standard Automotive, Inc.

13.00%, 6/1/2024 (a)		584		645

5.63%, 11/15/2026 (a)		4,490		3,778

Dana Financing Luxembourg SARL 5.75%, 4/15/2025 (a)		4,125		4,254

Dana, Inc. 5.63%, 6/15/2028		1,350		1,451

Goodyear Tire & Rubber Co. (The)

5.00%, 7/15/2029 (a)		4,135		4,372

5.25%, 4/30/2031		3,660		3,912

Icahn Enterprises LP

6.38%, 12/15/2025		3,382		3,484

6.25%, 5/15/2026		957		1,008

5.25%, 5/15/2027		1,490		1,548

Lear Corp. 5.25%, 5/15/2049		3,750		4,779


				53,814


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Automobiles — 0.3%

Daimler Finance North America LLC (Germany) 3.30%, 5/19/2025 (a)		500		539

General Motors Co.

6.13%, 10/1/2025		550		649

5.15%, 4/1/2038		3,970		4,788

Hyundai Capital America

0.80%, 1/8/2024 (a)		13,230		13,184

4.30%, 2/1/2024 (a)		2,000		2,156

1.80%, 10/15/2025 (a)		4,110		4,161

1.50%, 6/15/2026 (a)		12,890		12,822

3.00%, 2/10/2027 (a)		4,000		4,239

2.38%, 10/15/2027 (a)		1,120		1,146

1.80%, 1/10/2028 (a)		5,390		5,364

Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (a)		3,509		3,904


				52,952


Banks — 6.0%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a)		14,000		15,656

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (b)		7,600		7,594

AIB Group plc (Ireland)

(ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (b)		1,940		2,084

ANZ New Zealand Int’l Ltd. (New Zealand) 3.40%, 3/19/2024 (a)		1,200		1,286

3.45%, 7/17/2027 (a)		889		989

2.55%, 2/13/2030 (a)		397		419

Banco Bilbao Vizcaya Argentaria SA (Spain) 1.13%, 9/18/2025		4,000		3,979

Banco Nacional de Comercio Exterior SNC (Mexico)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 2.72%, 8/11/2031 (a) (b)		2,850		2,872

Banco Santander SA (Spain)

3.13%, 2/23/2023		1,600		1,661

1.85%, 3/25/2026		2,400		2,439

4.38%, 4/12/2028		3,400		3,902

2.75%, 12/3/2030		1,000		1,005

Bank of America Corp.

(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (b)		5,000		5,300


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Series X, (ICE LIBOR USD 3 Month + 3.71%),

6.25%, 9/5/2024 (b)(c)(d)		1,980		2,193

4.00%, 1/22/2025		7,677		8,390

Series L, 3.95%, 4/21/2025		1,326		1,452

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (b)		519		553

(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (b)		2,000		2,094

(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (b)		6,000		6,445

4.45%, 3/3/2026		1,294		1,460

(SOFR + 1.01%), 1.20%, 10/24/2026 (b)		3,500		3,485

Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b)		3,175		3,210

(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (b)		25,260		27,708

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (b)		1,000		1,108

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028(b)		3,655		4,014

(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (b)		13,000		14,668

(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (b)		12,400		12,751

(SOFR + 1.53%), 1.90%, 7/23/2031 (b)		12,000		11,754

(SOFR + 1.37%), 1.92%, 10/24/2031 (b)		7,380		7,230

Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b)		14,000		14,512

(SOFR + 1.32%), 2.69%, 4/22/2032 (b)		13,590		14,124

(SOFR + 1.22%), 2.30%, 7/21/2032 (b)		39,165		39,397

6.98%, 3/7/2037		1,500		2,116

(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (b)		1,535		1,808

(SOFR + 1.93%), 2.68%, 6/19/2041 (b)		12,665		12,478

Series L, 4.75%, 4/21/2045		2,000		2,546

(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 3/20/2051 (b)		3,500		4,225

Bank of Montreal (Canada)

Series E, 3.30%, 2/5/2024		2,500		2,667

(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (b)		372		411


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Bank of Nova Scotia (The) (Canada)

(ICE LIBOR USD 3 Month + 2.65%), 4.65%, 10/12/2022 (b)(c)(d)		4,800		4,856

2.20%, 2/3/2025		1,738		1,815

1.30%, 6/11/2025		2,080		2,104

2.70%, 8/3/2026		1,660		1,776

Banque Federative du Credit Mutuel SA (France) 3.75%, 7/20/2023 (a)		2,770		2,939

Barclays plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.36%), 4.34%, 5/16/2024 (b)		800		849

4.38%, 9/11/2024		1,150		1,256

BNP Paribas SA (France)

(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (a)(b)		2,000		2,177

(SOFR + 2.07%), 2.22%, 6/9/2026 (a)(b)		558		574

(SOFR + 1.00%), 1.32%, 1/13/2027 (a)(b)		442		438

(SOFR + 1.61%), 1.90%, 9/30/2028 (a)(b)		3,000		3,023

(SOFR + 1.51%), 3.05%, 1/13/2031 (a)(b)		2,960		3,141

Canadian Imperial Bank of Commerce (Canada)

3.10%, 4/2/2024		921		978

2.25%, 1/28/2025		3,100		3,239

CIT Group, Inc.

5.00%, 8/1/2023		2,694		2,903

4.75%, 2/16/2024		1,105		1,192

6.13%, 3/9/2028		1,882		2,308

Citigroup, Inc.

(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (b)(c)(d)		581		612

Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (b)(c)(d)		1,652		1,771

Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (b)(c)(d)		146		152

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (b)(c)(d)		700		768

6.88%, 6/1/2025		645		777

7.00%, 12/1/2025		1,115		1,371

Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (b)(c)(d)		8,450		8,767


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (b)(c)(d)		14,745		15,169

(SOFR + 2.84%), 3.11%, 4/8/2026(b)		2,500		2,674

4.30%, 11/20/2026		2,500		2,837

(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (b)		15,910		17,718

6.63%, 1/15/2028		838		1,086

(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (b)		803		890

(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (b)		6,945		7,633

(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (b)		3,600		4,088

(SOFR + 1.42%), 2.98%, 11/5/2030 (b)		8,090		8,606

(SOFR + 1.15%), 2.67%, 1/29/2031 (b)		2,600		2,701

(SOFR + 3.91%), 4.41%, 3/31/2031 (b)		17,210		20,164

(SOFR + 2.11%), 2.57%, 6/3/2031 (b)		5,000		5,163

(SOFR + 1.17%), 2.56%, 5/1/2032 (b)		1,090		1,121

(SOFR + 4.55%), 5.32%, 3/26/2041 (b)		7,000		9,455

Citizens Bank NA 3.70%, 3/29/2023		2,090		2,190

Comerica, Inc. 4.00%, 2/1/2029		1,500		1,735

Cooperatieve Rabobank UA (Netherlands) 4.63%, 12/1/2023		1,650		1,795

Credit Agricole SA (France) 4.38%, 3/17/2025 (a)		5,765		6,327

(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a)(b)(c)(d)		3,840		4,670

(SOFR + 1.68%), 1.91%, 6/16/2026 (a)(b)		5,080		5,200

(USD Swap Semi 5 Year + 1.64%), 4.00%, 1/10/2033 (a)(b)		8,939		9,727

2.81%, 1/11/2041 (a)		1,015		987

Danske Bank A/S (Denmark) 2.70%, 3/2/2022 (a)		619		626

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a)(b)		2,829		2,844

DNB Bank ASA (Norway) 2.15%, 12/2/2022 (a)		1,500		1,537

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a)(b)		3,590		3,574


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Fifth Third Bank NA

3.95%, 7/28/2025		500		560

3.85%, 3/15/2026		234		261

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (b)		1,250		1,322

4.25%, 8/18/2025		1,333		1,475

4.30%, 3/8/2026		3,581		4,037

(SOFR + 1.54%), 1.64%, 4/18/2026 (b)		10,520		10,652

3.90%, 5/25/2026		506		563

(SOFR + 1.29%), 1.59%, 5/24/2027 (b)		3,595		3,608

(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (b)		11,837		13,184

(SOFR + 1.73%), 2.01%, 9/22/2028 (b)		15,820		15,970

(SOFR + 1.29%), 2.21%, 8/17/2029(b)		7,335		7,397

(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (b)		16,630		18,641

(SOFR + 1.19%), 2.80%, 5/24/2032 (b)		5,890		6,081

6.50%, 5/2/2036		1,265		1,759

6.10%, 1/14/2042		715		1,054

Industrial & Commercial Bank of China Ltd. (China) 2.45%, 10/20/2021		400		401

ING Groep NV (Netherlands) 3.55%, 4/9/2024		440		473

(USD Swap Semi 5 Year + 4.45%), 6.50%, 4/16/2025 (b)(c)(d)		3,000		3,335

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a)(b)		1,210		1,217

(SOFR + 1.01%), 1.73%, 4/1/2027 (b)		2,245		2,279

Intesa Sanpaolo SpA (Italy) 4.95%, 6/1/2042 (a)		19,663		20,373

Series XR, 4.70%, 9/23/2049 (a)		13,530		16,430

KeyBank NA

3.18%, 5/22/2022		1,621		1,655

3.40%, 5/20/2026		1,545		1,694

KeyCorp 2.25%, 4/6/2027		1,290		1,345

Lloyds Banking Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (b)		2,650		2,723

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (b)		3,060		3,071


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

4.38%, 3/22/2028		633		728

(ICE LIBOR USD 3 Month + 1.21%), 3.57%, 11/7/2028 (b)		4,500		4,943

Mitsubishi UFJ Financial Group, Inc. (Japan)

3.00%, 2/22/2022		413		418

2.67%, 7/25/2022		2,150		2,196

3.76%, 7/26/2023		4,582		4,871

2.53%, 9/13/2023		423		441

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b)		3,000		3,016

1.41%, 7/17/2025		1,460		1,478

3.20%, 7/18/2029		2,605		2,835

3.75%, 7/18/2039		3,145		3,616

Mizuho Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 1.00%), 3.92%, 9/11/2024 (b)		2,000		2,132

(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (b)		4,400		4,561

National Australia Bank Ltd. (Australia)

3.38%, 1/14/2026		3,248		3,582

2.33%, 8/21/2030 (a)		1,330		1,303

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a)(b)		2,605		2,843

National Bank of Canada (Canada) 2.15%, 10/7/2022 (a)		1,800		1,836

Natwest Group plc (United Kingdom) 4.80%, 4/5/2026		7,481		8,560

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (b)		19,790		19,912

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (b)		8,215		8,766

NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a)		2,080		2,079

Nordea Bank Abp (Finland)

4.25%, 9/21/2022(a)		886		922

3.75%, 8/30/2023(a)		1,250		1,330

PNC Bank NA 2.70%, 10/22/2029		4,150		4,423

PNC Financial Services Group, Inc. (The)

2.60%, 7/23/2026		2,000		2,140

2.55%, 1/22/2030		1,975		2,074

Royal Bank of Canada (Canada)

2.25%, 11/1/2024		2,600		2,727

4.65%, 1/27/2026		423		483


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Santander UK Group Holdings plc (United Kingdom)

(SOFR + 0.79%), 1.09%, 3/15/2025 (b)		3,260		3,270

(SOFR + 0.99%), 1.67%, 6/14/2027 (b)		16,600		16,655

(SOFR + 1.48%), 2.90%, 3/15/2032 (b)		6,805		7,040

Societe Generale SA (France)

2.63%, 10/16/2024 (a)		18,306		19,097

2.63%, 1/22/2025 (a)		11,635		12,139

4.25%, 4/14/2025 (a)		8,625		9,368

4.75%, 11/24/2025 (a)		6,630		7,383

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a)(b)		11,590		11,528

3.00%, 1/22/2030 (a)		4,000		4,190

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a)(b)		16,765		17,097

Standard Chartered plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (a)(b)		800		812

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 1.32%, 10/14/2023 (a)(b)		2,825		2,846

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a)(b)		1,200		1,256

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a)(b)		10,365		10,832

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a)(b)		9,915		9,825

Sumitomo Mitsui Financial Group, Inc. (Japan)

3.75%, 7/19/2023		1,250		1,327

3.94%, 10/16/2023		654		702

4.44%, 4/2/2024 (a)		1,200		1,302

1.47%, 7/8/2025		1,500		1,522

3.04%, 7/16/2029		1,395		1,501

2.75%, 1/15/2030		3,500		3,708

Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.05%, 9/12/2025 (a)		2,350		2,341

Svenska Handelsbanken AB (Sweden) 3.90%, 11/20/2023		2,600		2,806

Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025		2,000		2,019


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Truist Bank

3.20%, 4/1/2024		1,250		1,334

2.15%, 12/6/2024		500		523

Truist Financial Corp.

3.75%, 12/6/2023		1,600		1,716

4.00%, 5/1/2025		1,857		2,058

UniCredit SpA (Italy) 3.75%, 4/12/2022 (a)		2,000		2,038

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a)(b)		13,550		13,561

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (a)(b)		10,390		10,590

(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a)(b)		10,000		12,098

US Bancorp

Series X, 3.15%, 4/27/2027		1,660		1,827

3.00%, 7/30/2029		1,325		1,443

Wachovia Corp.

6.61%, 10/1/2025		1,650		1,985

7.57%, 8/1/2026 (e)		515		662

Wells Fargo & Co.

(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (b)		1,000		1,038

Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (b)(c)(d)		13,220		13,745

3.00%, 10/23/2026		5,000		5,406

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (b)		3,813		4,129

4.30%, 7/22/2027		173		198

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b)		4,475		4,964

(SOFR + 2.10%), 2.39%, 6/2/2028 (b)		2,000		2,086

4.15%, 1/24/2029		5,000		5,757

(SOFR + 1.43%), 2.88%, 10/30/2030 (b)		8,700		9,251

(SOFR + 1.26%), 2.57%, 2/11/2031 (b)		7,000		7,268

(SOFR + 2.53%), 3.07%, 4/30/2041 (b)		16,505		17,301

5.38%, 11/2/2043		853		1,149

4.90%, 11/17/2045		6,610		8,574

4.40%, 6/14/2046		3,016		3,680

Westpac Banking Corp. (Australia)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (b)		2,000		2,081


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (b)		1,000		1,112

4.42%, 7/24/2039		520		623


				966,826


Beverages — 0.5%

Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036		13,415		16,538

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

4.00%, 4/13/2028		11,690		13,306

4.75%, 1/23/2029		14,657		17,425

4.38%, 4/15/2038		5,000		5,967

3.75%, 7/15/2042		5,500		6,053

4.44%, 10/6/2048		3,000		3,623

Coca-Cola Femsa SAB de CV (Mexico)

2.75%, 1/22/2030		1,380		1,440

1.85%, 9/1/2032		500		480

Constellation Brands, Inc. 4.65%, 11/15/2028		3,000		3,534

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		365		394

Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050		3,160		3,355

Keurig Dr Pepper, Inc.

3.40%, 11/15/2025		1,700		1,853

2.55%, 9/15/2026		507		539

3.43%, 6/15/2027		225		250

4.60%, 5/25/2028		4,110		4,823

3.80%, 5/1/2050		2,808		3,194

PepsiCo, Inc. 3.45%, 10/6/2046		6,310		7,147


				89,921


Biotechnology — 0.5%

AbbVie, Inc.

2.80%, 3/15/2023		500		515

3.60%, 5/14/2025		5,000		5,435

2.95%, 11/21/2026		5,550		5,981

3.20%, 11/21/2029		8,526		9,319

4.05%, 11/21/2039		9,103		10,697

4.63%, 10/1/2042		3,900		4,828

Amgen, Inc.

2.20%, 2/21/2027		215		224

3.00%, 1/15/2052		4,255		4,259

Biogen, Inc.

2.25%, 5/1/2030		8,287		8,414

3.15%, 5/1/2050		2,954		2,919


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Biotechnology — continued

Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)		4,435		4,324

Gilead Sciences, Inc.

1.65%, 10/1/2030		4,000		3,902

2.60%, 10/1/2040		5,200		5,069

4.50%, 2/1/2045		6,500		8,037

2.80%, 10/1/2050		3,800		3,692

Regeneron Pharmaceuticals, Inc.

2.80%, 9/15/2050		10,315		9,762


				87,377


Building Products — 0.1%

Builders FirstSource, Inc. 4.25%, 2/1/2032 (a)		3,803		3,907

CRH America Finance, Inc. (Ireland) 3.40%, 5/9/2027 (a)		200		219

Griffon Corp. 5.75%, 3/1/2028		4,355		4,621

JELD-WEN, Inc. 6.25%, 5/15/2025 (a)		1,175		1,246

Standard Industries, Inc.

5.00%, 2/15/2027 (a)		350		362

4.75%, 1/15/2028 (a)		5,118		5,313

3.38%, 1/15/2031 (a)		3,156		3,042

Summit Materials LLC

5.13%, 6/1/2025 (a)		2,140		2,170

5.25%, 1/15/2029 (a)		3,200		3,388

Trane Technologies Co. LLC 7.20%, 6/1/2025		60		69


				24,337


Capital Markets — 2.5%

Bank of New York Mellon Corp. (The) 3.25%, 5/16/2027		1,200		1,324

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a)		159		201

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		1,265		1,422

4.85%, 3/29/2029		280		334

4.70%, 9/20/2047		645		799

Charles Schwab Corp. (The)

Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (b) (c) (d)		8,170		8,599

Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (b) (c) (d)		15,790		16,422


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

Credit Suisse AG (Switzerland) 1.00%, 5/5/2023		1,000		1,010

Credit Suisse Group AG (Switzerland)

(USD Swap Semi 5 Year + 4.60%), 7.50%, 12/11/2023 (a) (b) (c) (d)		12,300		13,546

(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b)		250		260

(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b)		300		308

(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (b)		1,890		1,859

4.28%, 1/9/2028 (a)		14,706		16,442

(ICE LIBOR USD 3 Month + 1.41%), 3.87%, 1/12/2029 (a) (b)		831		919

(SOFR + 1.73%), 3.09%, 5/14/2032 (a) (b)		20,755		21,649

Daiwa Securities Group, Inc. (Japan) 3.13%, 4/19/2022 (a)		1,098		1,117

Deutsche Bank AG (Germany) 4.25%, 10/14/2021		1,850		1,858

(SOFR + 2.16%), 2.22%, 9/18/2024 (b)		2,620		2,689

Goldman Sachs Group, Inc. (The)

3.50%, 1/23/2025		2,566		2,764

3.75%, 5/22/2025		4,789		5,218

(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (b)		1,612		1,726

4.25%, 10/21/2025		364		406

Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (b) (c) (d)		2,605		2,658

3.50%, 11/16/2026		15,000		16,329

Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (b)		3,140		3,116

3.85%, 1/26/2027		1,664		1,840

(SOFR + 0.80%), 1.43%, 3/9/2027 (b)		20,395		20,473

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b)		6,079		6,752

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (b)		9,035		10,344

(SOFR + 1.28%), 2.62%, 4/22/2032 (b)		9,495		9,800

(SOFR + 1.25%), 2.38%, 7/21/2032 (b)		19,360		19,573


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — continued

(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (b)		15,310		17,915

(SOFR + 1.51%), 3.21%, 4/22/2042 (b)		2,260		2,389

Jefferies Group LLC

6.45%, 6/8/2027		104		130

6.25%, 1/15/2036		950		1,287

Lehman Brothers Holdings, Inc.

8.00%, 8/1/2015 (f)		295		2

3.60%, 12/30/2016 (f)		235		2

5.75%, 5/17/2049 (f)		1,000		6

LPL Holdings, Inc. 4.00%, 3/15/2029(a)		1,860		1,900

Macquarie Group Ltd. (Australia)

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (b)		800		955

(SOFR + 1.44%), 2.69%, 6/23/2032 (a) (b)		400		405

Morgan Stanley

4.88%, 11/1/2022		3,500		3,679

4.10%, 5/22/2023		750		795

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (b)		2,240		2,358

3.70%, 10/23/2024		1,241		1,352

(SOFR + 1.15%), 2.72%, 7/22/2025(b)		1,259		1,324

4.00%, 7/23/2025		2,677		2,970

5.00%, 11/24/2025		1,617		1,861

3.88%, 1/27/2026		4,268		4,759

(SOFR + 0.88%), 1.59%, 5/4/2027 (b)		22,160		22,369

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (b)		6,667		7,407

(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (b)		3,388		3,784

(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (b)		8,282		9,655

(SOFR + 1.14%), 2.70%, 1/22/2031 (b)		15,650		16,387

(SOFR + 1.03%), 1.79%, 2/13/2032 (b)		2,490		2,407

(SOFR + 1.18%), 2.24%, 7/21/2032 (b)		7,360		7,379

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (b)		5,425		6,708

(SOFR + 1.49%), 3.22%, 4/22/2042 (b)		5,500		5,896

MSCI, Inc. 3.63%, 9/1/2030 (a)		1,860		1,959


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

Nomura Holdings, Inc. (Japan)

2.65%, 1/16/2025		2,856		2,993

1.85%, 7/16/2025		1,300		1,329

Northern Trust Corp.

(ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (b)		1,000		1,091

Nuveen LLC 4.00%, 11/1/2028 (a)		710		815

S&P Global, Inc. 3.25%, 12/1/2049		2,500		2,734

TD Ameritrade Holding Corp. 2.75%, 10/1/2029		800		853

UBS Group AG (Switzerland)

(EUR Swap Annual 5 Year + 5.29%), 5.75%, 2/19/2022 (b) (c) (d) (g)		EUR 11,400		13,763

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (b)		1,303		1,333

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (a) (b)		8,895		8,875

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (b)		21,658		21,632

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (b)		16,300		17,620


				392,835


Chemicals — 0.5%

Air Products and Chemicals, Inc.

2.70%, 5/15/2040		800		823

Axalta Coating Systems LLC

4.75%, 6/15/2027 (a)		5,239		5,501

CF Industries, Inc. 4.95%, 6/1/2043		3,904		4,816

Chemours Co. (The)

5.38%, 5/15/2027		3,835		4,165

5.75%, 11/15/2028 (a)		2,885		3,058

CVR Partners LP 9.25%, 6/15/2023(a)		732		733

Element Solutions, Inc. 3.88%, 9/1/2028 (a)		4,675		4,769

INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)		4,580		4,637

International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (a)		1,890		1,905

3.27%, 11/15/2040 (a)		1,630		1,724

3.47%, 12/1/2050 (a)		1,270		1,381

LYB International Finance III LLC

3.38%, 5/1/2030		6,220		6,848


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — continued

3.38%, 10/1/2040		2,000		2,115

3.63%, 4/1/2051		4,160		4,517

NOVA Chemicals Corp. (Canada)

4.88%, 6/1/2024 (a)		2,300		2,432

5.00%, 5/1/2025 (a)		2,430		2,582

5.25%, 6/1/2027 (a)		5,202		5,558

4.25%, 5/15/2029 (a)		945		950

Nutrien Ltd. (Canada)

2.95%, 5/13/2030		1,435		1,531

4.13%, 3/15/2035		511		589

Olin Corp. 5.63%, 8/1/2029		1,495		1,650

Scotts Miracle-Gro Co. (The)

5.25%, 12/15/2026		2,020		2,093

4.50%, 10/15/2029		5,513		5,761

Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)		6,323		6,449

Union Carbide Corp. 7.75%, 10/1/2096		1,305		2,386

Valvoline, Inc. 4.25%, 2/15/2030 (a)		2,990		3,102

W.R. Grace & Co.-Conn. 4.88%, 6/15/2027 (a)		3,346		3,471

WR Grace Holdings LLC 5.63%, 8/15/2029 (a)		965		1,005


				86,551


Commercial Services & Supplies — 0.4%

ACCO Brands Corp. 4.25%, 3/15/2029 (a)		4,530		4,552

ADT Security Corp. (The)

4.13%, 8/1/2029 (a)		2,664		2,661

4.88%, 7/15/2032 (a)		5,260		5,338

Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)		3,642		3,656

Aramark Services, Inc.

5.00%, 4/1/2025 (a)		1,100		1,128

5.00%, 2/1/2028 (a)		2,340		2,434

Brink’s Co. (The) 4.63%, 10/15/2027 (a)		2,800		2,941

Ford Foundation (The)

Series 2020, 2.82%, 6/1/2070		3,000		3,069

Garda World Security Corp. (Canada)

4.63%, 2/15/2027 (a)		1,880		1,885

9.50%, 11/1/2027 (a)		1,550		1,688

GFL Environmental, Inc. (Canada)

3.75%, 8/1/2025 (a)		6,375		6,565

4.00%, 8/1/2028 (a)		3,675		3,647

3.50%, 9/1/2028 (a)		1,905		1,901


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Commercial Services & Supplies — continued

Harsco Corp. 5.75%, 7/31/2027 (a)		1,110		1,152

ILFC E-Capital Trust I

(USD Constant Maturity 30 Year + 1.55%), 3.66%, 12/21/2065 (a)(b)		5,334		4,347

Madison IAQ LLC 4.13%, 6/30/2028 (a)		2,880		2,896

Nielsen Finance LLC 5.63%, 10/1/2028 (a)		6,795		7,143

Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a)		6,973		7,544

Republic Services, Inc.

4.75%, 5/15/2023		103		109

1.45%, 2/15/2031		2,010		1,915

Stericycle, Inc.

5.38%, 7/15/2024 (a)		1,260		1,292

3.88%, 1/15/2029 (a)		5,265		5,358


				73,221


Communications Equipment — 0.1%

CommScope Technologies LLC 5.00%, 3/15/2027 (a)		3,370		3,318

CommScope, Inc.

6.00%, 3/1/2026 (a)		7,639		8,015

4.75%, 9/1/2029 (a)		2,876		2,912

Plantronics, Inc. 4.75%, 3/1/2029 (a)		2,877		2,754


				16,999


Construction & Engineering — 0.1%

AECOM 5.13%, 3/15/2027		2,676		2,989

Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a)		1,827		1,395

Dycom Industries, Inc. 4.50%, 4/15/2029 (a)		4,345		4,464

Interchile SA (Chile) 4.50%, 6/30/2056 (a)		3,053		3,235

MasTec, Inc. 4.50%, 8/15/2028 (a)		4,700		4,947

Weekley Homes LLC 4.88%, 9/15/2028 (a)		2,975		3,083


				20,113


Construction Materials — 0.0% (h)

Cemex SAB de CV (Mexico) 3.88%, 7/11/2031 (a)		3,843		3,953

CRH America, Inc. (Ireland) 5.13%, 5/18/2045 (a)		1,249		1,655


				5,608


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Consumer Finance — 1.0%

AerCap Ireland Capital DAC (Ireland)

4.45%, 12/16/2021		3,500		3,529

3.50%, 5/26/2022		400		408

4.63%, 7/1/2022		3,040		3,143

4.50%, 9/15/2023		1,780		1,899

6.50%, 7/15/2025		398		464

1.75%, 1/30/2026		2,550		2,523

Ally Financial, Inc.

5.75%, 11/20/2025		6,155		7,052

8.00%, 11/1/2031		1,780		2,609

American Express Co.

3.63%, 12/5/2024		276		301

4.20%, 11/6/2025		3,000		3,403

American Honda Finance Corp. 2.30%, 9/9/2026		320		338

Avolon Holdings Funding Ltd. (Ireland)

5.25%, 5/15/2024 (a)		3,120		3,421

2.88%, 2/15/2025 (a)		2,301		2,373

5.50%, 1/15/2026 (a)		2,175		2,460

2.13%, 2/21/2026 (a)		8,230		8,212

4.25%, 4/15/2026 (a)		2,215		2,402

2.53%, 11/18/2027 (a)		23,994		23,820

Capital One Financial Corp.

3.20%, 2/5/2025		200		215

3.75%, 7/28/2026		840		929

Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (b) (c) (d)		3,402		3,526

Ford Motor Credit Co. LLC

3.22%, 1/9/2022		3,480		3,502

3.37%, 11/17/2023		1,655		1,708

4.06%, 11/1/2024		3,440		3,636

5.13%, 6/16/2025		1,220		1,339

4.13%, 8/4/2025		6,700		7,152

3.38%, 11/13/2025		1,247		1,291

4.39%, 1/8/2026		3,750		4,022

4.54%, 8/1/2026		8,140		8,841

2.70%, 8/10/2026		906		915

4.27%, 1/9/2027		3,910		4,184

4.13%, 8/17/2027		3,405		3,643

5.11%, 5/3/2029		1,887		2,132

4.00%, 11/13/2030		4,126		4,353

3.63%, 6/17/2031		13,250		13,647


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Consumer Finance — continued

General Motors Financial Co., Inc.

3.60%, 6/21/2030		10,625		11,535

2.70%, 6/10/2031		2,075		2,109

Global Aircraft Leasing Co. Ltd. (Cayman Islands) 7.25% (PIK), 9/15/2024 (a) (i)		3,694		3,535

ILFC E-Capital Trust II

(US Treasury Yield Curve Rate T Note Constant Maturity 30 Year + 1.80%), 3.91%, 12/21/2065 (a) (b)		1,790		1,513

John Deere Capital Corp. 2.65%, 6/10/2026		1,000		1,078

Navient Corp.

6.13%, 3/25/2024		1,895		2,054

6.75%, 6/25/2025		1,970		2,196

5.00%, 3/15/2027		915		961

OneMain Finance Corp.

7.13%, 3/15/2026		6,558		7,664

6.63%, 1/15/2028		905		1,045

5.38%, 11/15/2029		2,530		2,764

Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (a)		644		707


				170,553


Containers & Packaging — 0.4%

Ardagh Packaging Finance plc

5.25%, 4/30/2025 (a)		417		436

4.13%, 8/15/2026 (a)		9,580		9,961

5.25%, 8/15/2027 (a)		1,725		1,786

Ball Corp.

5.25%, 7/1/2025		2,095		2,367

2.88%, 8/15/2030		1,910		1,915

Berry Global, Inc.

4.88%, 7/15/2026 (a)		3,660		3,859

5.63%, 7/15/2027 (a)		185		195

Crown Americas LLC 4.75%, 2/1/2026		1,855		1,925

Greif, Inc. 6.50%, 3/1/2027 (a)		4,644		4,877

Klabin Austria GmbH (Brazil) 5.75%, 4/3/2029 (g)		1,889		2,145

LABL, Inc. 6.75%, 7/15/2026 (a)		4,605		4,835

Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a)		4,525		4,559

Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)		3,340		3,602

Reynolds Group Issuer, Inc. 4.00%, 10/15/2027 (a)		6,558		6,556

Sealed Air Corp.

5.25%, 4/1/2023 (a)		625		656


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Containers & Packaging — continued

5.13%, 12/1/2024 (a)		2,365		2,566

4.00%, 12/1/2027 (a)		1,875		2,011

Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e)		3,113		3,280

WRKCo, Inc. 4.65%, 3/15/2026		2,500		2,849


				60,380


Distributors — 0.0% (h)

Wolverine Escrow LLC 9.00%, 11/15/2026 (a)		8,352		8,018


Diversified Consumer Services — 0.0% (h)

Service Corp. International 5.13%, 6/1/2029		5,135		5,599

University of Southern California Series A, 3.23%, 10/1/2120		800		828


				6,427


Diversified Financial Services — 0.4%

CK Hutchison International 17 Ltd. (United Kingdom) 2.88%, 4/5/2022 (a)		800		811

CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (a)		1,135		1,258

EDP Finance BV (Portugal) 1.71%, 1/24/2028 (a)		13,425		13,315

GE Capital Funding LLC 4.05%, 5/15/2027		5,000		5,660

GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035		10,235		12,423

GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a)		3,623		3,844

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (a)		257		265

LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a)		4,725		4,809

Mitsubishi HC Capital, Inc. (Japan)

2.65%, 9/19/2022 (a)		200		204

3.96%, 9/19/2023 (a)		1,215		1,291

3.56%, 2/28/2024 (a)		1,900		2,016

ORIX Corp. (Japan)

4.05%, 1/16/2024		300		324

3.25%, 12/4/2024		2,850		3,069

Petronas Capital Ltd. (Malaysia) 2.48%, 1/28/2032 (a)		4,000		4,069

Sabre GLBL, Inc.

9.25%, 4/15/2025 (a)		2,285		2,633

7.38%, 9/1/2025 (a)		400		423


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Financial Services — continued

Shell International Finance BV (Netherlands)

3.25%, 5/11/2025		1,098		1,190

2.88%, 5/10/2026		246		266

3.63%, 8/21/2042		6,600		7,443

4.00%, 5/10/2046		3,000		3,585

Siemens Financieringsmaatschappij NV (Germany)

2.00%, 9/15/2023 (a)		2,150		2,220

3.30%, 9/15/2046 (a)		2,000		2,227

Voya Financial, Inc. 5.70%, 7/15/2043		300		419


				73,764


Diversified Telecommunication Services — 1.8%

Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a)		2,500		2,747

Altice France SA (France) 5.13%, 7/15/2029 (a)		3,336		3,373

AT&T, Inc.

1.65%, 2/1/2028		5,000		4,997

6.88%, 10/15/2031		2,025		2,740

3.50%, 6/1/2041		5,000		5,269

3.10%, 2/1/2043		1,380		1,367

Bell Canada (The) (Canada) Series US-6, 3.20%, 2/15/2052		915		946

CCO Holdings LLC

5.75%, 2/15/2026 (a)		3,439		3,538

5.50%, 5/1/2026 (a)		3,245		3,343

5.13%, 5/1/2027 (a)		11,999		12,537

5.00%, 2/1/2028 (a)		9,925		10,397

5.38%, 6/1/2029 (a)		8,896		9,719

4.75%, 3/1/2030 (a)		20,221		21,396

4.50%, 8/15/2030 (a)		15,275		15,960

4.25%, 2/1/2031 (a)		3,250		3,335

4.25%, 1/15/2034 (a)		3,020		3,047

Cincinnati Bell, Inc. 8.00%, 10/15/2025 (a)		1,638		1,713

Embarq Corp. 8.00%, 6/1/2036		4,092		4,307

Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)		5,217		5,577

Intelsat Jackson Holdings SA (Luxembourg)

8.00%, 2/15/2024 (a) (e) (f)		1,760		1,826

8.50%, 10/15/2024 (a)(f)		7,233		3,906

Level 3 Financing, Inc.

5.25%, 3/15/2026		2,557		2,636


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

4.63%, 9/15/2027 (a)		5,707		5,886

Lumen Technologies, Inc.

5.63%, 4/1/2025		1,197		1,295

5.13%, 12/15/2026 (a)		10,925		11,296

4.00%, 2/15/2027 (a)		7,383		7,577

5.38%, 6/15/2029 (a)		2,297		2,359

Sprint Capital Corp. 8.75%, 3/15/2032		8,352		12,790

Switch Ltd. 3.75%, 9/15/2028 (a)		5,510		5,606

Telecom Italia Capital SA (Italy)

6.38%, 11/15/2033		1,061		1,247

6.00%, 9/30/2034		3,048		3,466

7.72%, 6/4/2038		190		246

Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a)		4,990		5,418

Verizon Communications, Inc.

2.63%, 8/15/2026		79		84

2.10%, 3/22/2028		3,270		3,357

4.33%, 9/21/2028		2,156		2,518

4.02%, 12/3/2029		12,013		13,818

1.68%, 10/30/2030		14,010		13,529

2.55%, 3/21/2031		10,395		10,737

2.65%, 11/20/2040		14,625		14,189

3.40%, 3/22/2041		18,750		20,088

2.88%, 11/20/2050		4,380		4,220

2.99%, 10/30/2056		545		526

3.70%, 3/22/2061		2,395		2,633

Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)		5,778		6,190

Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a)		4,603		4,551


				278,302


Electric Utilities — 1.9%

AEP Texas, Inc. Series E, 6.65%, 2/15/2033		750		1,011

AEP Transmission Co. LLC

3.15%, 9/15/2049		485		516

Series M, 3.65%, 4/1/2050		2,000		2,296

AES Panama Generation Holdings SRL (Panama) 4.38%, 5/31/2030 (a)		980		1,015

Alabama Power Co.

6.13%, 5/15/2038		891		1,280

5.50%, 3/15/2041		1,250		1,697

Series A, 4.30%, 7/15/2048		350		443


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

Appalachian Power Co.

Series Y, 4.50%, 3/1/2049		315		395

Arizona Public Service Co.

4.70%, 1/15/2044		150		186

4.25%, 3/1/2049		1,000		1,226

Baltimore Gas and Electric Co.

4.25%, 9/15/2048		1,400		1,745

3.20%, 9/15/2049		1,475		1,590

2.90%, 6/15/2050		840		854

CenterPoint Energy Houston Electric LLC Series AD, 2.90%, 7/1/2050		2,000		2,076

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a)		720		792

Cleveland Electric Illuminating Co. (The) 5.50%, 8/15/2024		200		227

Comision Federal de Electricidad (Mexico) 3.35%, 2/9/2031 (a)		11,948		11,917

Commonwealth Edison Co. 4.00%, 3/1/2048		300		360

Connecticut Light and Power Co. (The) 4.00%, 4/1/2048		1,686		2,054

DTE Electric Co. 3.95%, 6/15/2042		381		440

Duke Energy Carolinas LLC 3.70%, 12/1/2047		1,000		1,146

Duke Energy Florida LLC

3.80%, 7/15/2028		600		680

1.75%, 6/15/2030		1,000		988

5.90%, 3/1/2033		412		550

Duke Energy Indiana LLC

Series YYY, 3.25%, 10/1/2049		2,235		2,387

Duke Energy Ohio, Inc. 4.30%, 2/1/2049		1,470		1,851

Duke Energy Progress LLC

4.10%, 5/15/2042		305		365

3.70%, 10/15/2046		200		229

Edison International

4.95%, 4/15/2025		1,033		1,146

5.75%, 6/15/2027		9,277		10,603

Emera US Finance LP (Canada) 2.64%, 6/15/2031 (a)		14,530		14,791

Empresa de Transmision Electrica SA (Panama) 5.13%, 5/2/2049 (a)		1,270		1,448

Enel Finance International NV (Italy)

3.63%, 5/25/2027 (a)		9,635		10,706

1.88%, 7/12/2028 (a)		8,823		8,843

2.25%, 7/12/2031 (a)		9,677		9,641


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

Entergy Louisiana LLC

3.12%, 9/1/2027		750		820

1.60%, 12/15/2030		1,570		1,527

4.20%, 4/1/2050		1,400		1,746

Entergy Mississippi LLC

3.85%, 6/1/2049		500		587

3.50%, 6/1/2051		1,580		1,785

Entergy Texas, Inc. 3.55%, 9/30/2049		775		853

Eskom Holdings SOC Ltd. (South Africa) 6.75%, 8/6/2023 (g)		2,900		3,026

Evergy Metro, Inc. 4.20%, 6/15/2047		735		902

Exelon Corp. 4.95%, 6/15/2035		123		153

FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040 (a)		3,729		3,963

Florida Power & Light Co.

5.40%, 9/1/2035		600		806

3.70%, 12/1/2047		4,600		5,513

3.95%, 3/1/2048		665		817

Hydro-Quebec (Canada)

Series HY, 8.40%, 1/15/2022		842		867

Series HK, 9.38%, 4/15/2030		1,000		1,596

Interstate Power and Light Co. 4.10%, 9/26/2028		800		924

ITC Holdings Corp.

3.65%, 6/15/2024		576		617

2.95%, 5/14/2030 (a)		4,000		4,252

Jersey Central Power & Light Co. 6.15%, 6/1/2037		800		1,087

John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042		412		512

Massachusetts Electric Co. 5.90%, 11/15/2039 (a)		988		1,392

MidAmerican Energy Co.

3.65%, 4/15/2029		3,970		4,507

3.65%, 8/1/2048		2,000		2,298

Mississippi Power Co. 3.95%, 3/30/2028		560		633

Monongahela Power Co. 4.10%, 4/15/2024 (a)		8,000		8,591

Nevada Power Co.

Series CC, 3.70%, 5/1/2029		1,700		1,921

5.38%, 9/15/2040		626		838

NextEra Energy Capital Holdings, Inc.

3.55%, 5/1/2027		537		595

NextEra Energy Operating Partners LP

4.25%, 9/15/2024 (a)		87		92


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

4.50%, 9/15/2027 (a)		1,091		1,175

Niagara Mohawk Power Corp. 4.28%, 12/15/2028 (a)		650		749

Northern States Power Co.

6.20%, 7/1/2037		173		256

2.60%, 6/1/2051		1,160		1,128

NRG Energy, Inc.

6.63%, 1/15/2027		1,584		1,643

2.45%, 12/2/2027 (a)		2,625		2,668

5.75%, 1/15/2028		1,197		1,279

3.38%, 2/15/2029 (a)		2,149		2,160

5.25%, 6/15/2029 (a)		2,910		3,160

3.63%, 2/15/2031 (a)		632		643

3.88%, 2/15/2032 (a)		1,516		1,537

Ohio Power Co.

Series P, 2.60%, 4/1/2030		2,600		2,751

4.00%, 6/1/2049		600		724

Oklahoma Gas and Electric Co. 0.55%, 5/26/2023		140		140

Oncor Electric Delivery Co. LLC

3.10%, 9/15/2049		1,000		1,070

5.35%, 10/1/2052		550		823

Pacific Gas and Electric Co. (ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (b)		2,760		2,762

1.37%, 3/10/2023		4,225		4,212

3.45%, 7/1/2025		1,630		1,689

2.95%, 3/1/2026		1,030		1,046

3.30%, 3/15/2027		17,630		18,161

4.65%, 8/1/2028		12,247		13,267

4.20%, 6/1/2041		1,670		1,634

4.60%, 6/15/2043		1,951		1,985

4.25%, 3/15/2046		8,746		8,483

PacifiCorp

7.24%, 8/16/2023		250		278

5.75%, 4/1/2037		880		1,208

4.13%, 1/15/2049		1,655		1,998

3.30%, 3/15/2051		3,850		4,110

PECO Energy Co. 2.80%, 6/15/2050		750		757

Pepco Holdings LLC 7.45%, 8/15/2032		1,000		1,409

PG&E Corp.

5.00%, 7/1/2028		5,970		5,926

5.25%, 7/1/2030		1,445		1,423

Pinnacle West Capital Corp. 1.30%, 6/15/2025		800		807


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

Potomac Electric Power Co. 6.50%, 11/15/2037		360		538

Public Service Co. of Colorado 4.05%, 9/15/2049		2,650		3,310

Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037		1,100		1,591

Public Service Electric and Gas Co.

2.25%, 9/15/2026		989		1,042

5.80%, 5/1/2037		850		1,197

5.38%, 11/1/2039		416		568

Southern California Edison Co.

1.85%, 2/1/2022		61		61

Series E, 3.70%, 8/1/2025		2,000		2,188

Series B, 3.65%, 3/1/2028		1,000		1,097

2.85%, 8/1/2029		1,800		1,889

Series 06-E, 5.55%, 1/15/2037		450		559

Series 08-A, 5.95%, 2/1/2038		285		371

Series C, 3.60%, 2/1/2045		1,270		1,284

Series C, 4.13%, 3/1/2048		1,000		1,081

Series 20A, 2.95%, 2/1/2051		8,810		8,040

Southwestern Electric Power Co.

3.55%, 2/15/2022		250		252

Series N, 1.65%, 3/15/2026		2,440		2,477

Series M, 4.10%, 9/15/2028		400		456

Series J, 3.90%, 4/1/2045		1,242		1,393

State Grid Overseas Investment BVI Ltd. (China) 3.75%, 5/2/2023 (a)		2,000		2,102

Texas Competitive Electric Holdings Co. LLC

8.50%, 10/1/2021‡ (f)		4,117		6

8.50%, 12/1/2021‡ (f)		2,117		2

Tucson Electric Power Co.

3.05%, 3/15/2025		600		641

4.85%, 12/1/2048		600		792

Union Electric Co.

2.95%, 6/15/2027		644		698

4.00%, 4/1/2048		2,050		2,478

Virginia Electric and Power Co.

3.45%, 2/15/2024		490		521

6.35%, 11/30/2037		235		345

8.88%, 11/15/2038		670		1,202

Vistra Operations Co. LLC

5.50%, 9/1/2026 (a)		4,042		4,157

5.63%, 2/15/2027 (a)		3,900		4,061

5.00%, 7/31/2027 (a)		6,057		6,285


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

4.38%, 5/1/2029 (a)		784		796

4.30%, 7/15/2029 (a)		5,000		5,401

Xcel Energy, Inc. 3.40%, 6/1/2030		2,250		2,492


				305,148


Electrical Equipment — 0.1%

Eaton Corp. 4.15%, 11/2/2042		2,500		3,017

EnerSys

5.00%, 4/30/2023 (a)		4,052		4,214

4.38%, 12/15/2027 (a)		1,060		1,113

Sensata Technologies BV

4.88%, 10/15/2023(a)		1,780		1,905

5.63%, 11/1/2024(a)		2,538		2,823

5.00%, 10/1/2025(a)		554		619


				13,691


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.00%, 4/1/2025		653		707

3.88%, 1/12/2028		221		243

CDW LLC

5.50%, 12/1/2024		500		553

4.25%, 4/1/2028		1,648		1,726

3.25%, 2/15/2029		2,435		2,499

Corning, Inc. 5.35%, 11/15/2048		5,000		6,966

Sensata Technologies, Inc. 3.75%, 2/15/2031(a)		1,085		1,090


				13,784


Energy Equipment & Services — 0.3%

Baker Hughes a GE Co. LLC

2.77%, 12/15/2022		1,500		1,545

4.49%, 5/1/2030		1,200		1,419

4.08%, 12/15/2047		6,150		7,055

Baker Hughes Holdings LLC 5.13%, 9/15/2040		903		1,161

Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)		6,298		6,452

Halliburton Co.

3.80%, 11/15/2025		43		47

4.75%, 8/1/2043		270		308

7.60%, 8/15/2096 (a)		275		371

Nabors Industries, Inc. 5.75%, 2/1/2025		3,550		2,995

Oceaneering International, Inc.

4.65%, 11/15/2024		930		947

6.00%, 2/1/2028		1,516		1,500


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Energy Equipment & Services — continued

Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)		745		762

Schlumberger Finance Canada Ltd. 1.40%, 9/17/2025		2,220		2,255

Schlumberger Holdings Corp.

3.75%, 5/1/2024 (a)		505		542

4.00%, 12/21/2025 (a)		39		43

3.90%, 5/17/2028 (a)		14,394		16,092

Schlumberger Investment SA 2.40%, 8/1/2022 (a)		640		649

Telford Offshore Ltd. (United Arab Emirates) 12.00% (PIK), 12/31/2164 (c)(d)(i)		819		37

Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)		818		810

Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)		452		437

Transocean Proteus Ltd. 6.25%, 12/1/2024 (a)		2,001		1,971


				47,398


Entertainment — 0.4%

Activision Blizzard, Inc. 2.50%, 9/15/2050		20,776		18,550

Cinemark USA, Inc.

8.75%, 5/1/2025 (a)		435		471

5.25%, 7/15/2028 (a)		2,730		2,594

Live Nation Entertainment, Inc.

5.63%, 3/15/2026 (a)		1,687		1,758

6.50%, 5/15/2027 (a)		4,259		4,696

4.75%, 10/15/2027 (a)		4,000		4,064

Netflix, Inc.

5.88%, 2/15/2025		1,332		1,528

4.88%, 4/15/2028		3,458		4,042

5.38%, 11/15/2029 (a)		10,759		13,231

4.88%, 6/15/2030 (a)		6,826		8,169

Walt Disney Co. (The)

8.88%, 4/26/2023		147		167

7.75%, 1/20/2024		800		933

2.00%, 9/1/2029		4,310		4,395

WMG Acquisition Corp. 3.88%, 7/15/2030 (a)		3,690		3,889

3.00%, 2/15/2031(a)		2,985		2,940


				71,427


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — 0.8%

Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033		1,145		1,099

American Tower Corp.

2.10%, 6/15/2030		19,130		18,917

3.10%, 6/15/2050		115		114

Boston Properties LP 3.80%, 2/1/2024		299		318

Camden Property Trust 3.15%, 7/1/2029		2,955		3,234

Corporate Office Properties LP 2.25%, 3/15/2026		1,550		1,599

Crown Castle International Corp. 2.90%, 4/1/2041		7,134		7,007

Duke Realty LP

3.25%, 6/30/2026		180		196

1.75%, 7/1/2030		2,500		2,437

ERP Operating LP 2.85%, 11/1/2026		3,000		3,221

Essex Portfolio LP 2.65%, 3/15/2032		3,255		3,359

GLP Capital LP 4.00%, 1/15/2030		4,050		4,374

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)		599		654

Healthcare Trust of America Holdings LP 3.75%, 7/1/2027		3,382		3,771

Healthpeak Properties, Inc. 3.00%, 1/15/2030		500		535

Iron Mountain, Inc.

4.88%, 9/15/2027 (a)		2,370		2,468

5.25%, 7/15/2030(a)		1,000		1,065

4.50%, 2/15/2031(a)		1,364		1,403

Life Storage LP 2.20%, 10/15/2030		1,470		1,473

MGM Growth Properties Operating Partnership LP

5.63%, 5/1/2024		5,455		5,946

4.63%, 6/15/2025(a)		701		753

5.75%, 2/1/2027		735		846

MPT Operating Partnership LP 4.63%, 8/1/2029		1,425		1,524

National Retail Properties, Inc.

3.60%, 12/15/2026		948		1,039

4.30%, 10/15/2028		800		912

Office Properties Income Trust 4.50%, 2/1/2025		6,666		7,207

Prologis LP 3.00%, 4/15/2050		5,139		5,383

Realty Income Corp.

3.88%, 7/15/2024		2,018		2,185

3.88%, 4/15/2025		840		924

3.25%, 1/15/2031		555		613


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

1.80%, 3/15/2033		1,100		1,064

RHP Hotel Properties LP

4.75%, 10/15/2027		7,301		7,606

Safehold Operating Partnership LP 2.80%, 6/15/2031		5,000		5,051

SBA Communications Corp.

3.88%, 2/15/2027		3,080		3,201

3.13%, 2/1/2029 (a)		3,052		2,999

Scentre Group Trust 1 (Australia)

3.50%, 2/12/2025 (a)		1,420		1,525

3.25%, 10/28/2025 (a)		1,000		1,073

Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (a)(b)		1,500		1,597

Simon Property Group LP 3.25%, 9/13/2049		5,239		5,383

UDR, Inc.

2.10%, 8/1/2032		950		927

1.90%, 3/15/2033		505		480

Ventas Realty LP

3.75%, 5/1/2024		588		629

3.50%, 2/1/2025		448		482

4.13%, 1/15/2026		86		96

3.25%, 10/15/2026		218		236

3.85%, 4/1/2027		618		691

VICI Properties LP

3.50%, 2/15/2025 (a)		1,650		1,691

4.25%, 12/1/2026 (a)		2,314		2,431

3.75%, 2/15/2027 (a)		575		598

4.63%, 12/1/2029 (a)		5,846		6,357

4.13%, 8/15/2030 (a)		575		614

WP Carey, Inc.

4.25%, 10/1/2026		2,155		2,437

2.25%, 4/1/2033		2,880		2,814


				134,558


Food & Staples Retailing — 0.4%

7-Eleven, Inc.

0.63%, 2/10/2023 (a)		2,235		2,233

0.95%, 2/10/2026 (a)		1,390		1,371

1.30%, 2/10/2028 (a)		1,114		1,082

2.50%, 2/10/2041 (a)		1,133		1,064

Albertsons Cos., Inc.

3.50%, 2/15/2023 (a)		710		731


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Food & Staples Retailing — continued

5.75%, 3/15/2025		224		229

3.25%, 3/15/2026 (a)		2,934		3,011

4.63%, 1/15/2027 (a)		17,265		18,280

5.88%, 2/15/2028 (a)		1,095		1,174

3.50%, 3/15/2029 (a)		1,129		1,140

4.88%, 2/15/2030 (a)		1,010		1,102

Alimentation Couche-Tard, Inc. (Canada)

3.44%, 5/13/2041 (a)		450		473

3.63%, 5/13/2051 (a)		505		538

Kroger Co. (The) Series B, 7.70%, 6/1/2029		900		1,252

Performance Food Group, Inc. 5.50%, 10/15/2027 (a)		4,904		5,106

Rite Aid Corp. 8.00%, 11/15/2026 (a)		7,000		7,218

Sysco Corp.

2.40%, 2/15/2030		4,000		4,120

3.30%, 2/15/2050		7,685		8,059

Walmart, Inc. 3.25%, 7/8/2029		2,315		2,600


				60,783


Food Products — 0.3%

Archer-Daniels-Midland Co.

2.50%, 8/11/2026		1,650		1,756

4.50%, 3/15/2049		1,200		1,615

Bimbo Bakeries USA, Inc. (Mexico) 4.00%, 5/17/2051 (a)		1,526		1,689

Campbell Soup Co. 4.15%, 3/15/2028		1,700		1,936

Darling Ingredients, Inc. 5.25%, 4/15/2027(a)		4,878		5,095

JBS USA LUX SA 6.50%, 4/15/2029(a)		4,528		5,128

Lamb Weston Holdings, Inc.

4.63%, 11/1/2024 (a)		1,274		1,307

4.88%, 11/1/2026 (a)		3,973		4,087

4.88%, 5/15/2028 (a)		2,060		2,291

MARB BondCo plc (Brazil) 3.95%, 1/29/2031(a)		2,523		2,456

Mars, Inc. 0.88%, 7/16/2026 (a)		2,300		2,268

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		497		558

Pilgrim’s Pride Corp. 5.88%, 9/30/2027(a)		1,266		1,351

Post Holdings, Inc.

5.75%, 3/1/2027 (a)		8,790		9,201

4.63%, 4/15/2030 (a)		2,775		2,833

Tyson Foods, Inc.

4.35%, 3/1/2029		4,100		4,793

5.15%, 8/15/2044		155		206


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Food Products — continued

Unilever Capital Corp. (United Kingdom) 2.13%, 9/6/2029		1,900		1,962

Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (a)		5,250		5,391


				55,923


Gas Utilities — 0.1%

AmeriGas Partners LP

5.63%, 5/20/2024		2,234		2,443

5.88%, 8/20/2026		1,475		1,659

5.75%, 5/20/2027		2,436		2,741

Atmos Energy Corp.

5.50%, 6/15/2041		1,110		1,513

4.15%, 1/15/2043		582		688

Brooklyn Union Gas Co. (The)

3.87%, 3/4/2029 (a)		1,030		1,147

4.27%, 3/15/2048 (a)		1,000		1,159

ONE Gas, Inc. 4.50%, 11/1/2048		400		497

Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029		800		883

Southern California Gas Co.

Series TT, 2.60%, 6/15/2026		1,100		1,171

Series XX, 2.55%, 2/1/2030		715		747

Southern Natural Gas Co. LLC

0.63%, 4/28/2023 (a)		1,380		1,382

8.00%, 3/1/2032		350		503

4.80%, 3/15/2047 (a)		204		254


				16,787


Health Care Equipment & Supplies — 0.2%

Abbott Laboratories 1.15%, 1/30/2028		660		650

Avantor Funding, Inc. 4.63%, 7/15/2028 (a)		6,096		6,446

Becton Dickinson and Co.

3.73%, 12/15/2024		219		238

3.70%, 6/6/2027		13,360		14,902

6.00%, 5/15/2039		400		543

DH Europe Finance II SARL 3.25%, 11/15/2039		1,400		1,525

Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a)		4,442		4,653

Hologic, Inc.

4.63%, 2/1/2028 (a)		1,143		1,216

3.25%, 2/15/2029 (a)		5,590		5,728

Zimmer Biomet Holdings, Inc. 3.55%, 3/20/2030		3,500		3,872


				39,773


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Providers & Services — 1.8%

Acadia Healthcare Co., Inc.

5.50%, 7/1/2028 (a)		4,817		5,081

5.00%, 4/15/2029 (a)		2,500		2,613

AdaptHealth LLC 4.63%, 8/1/2029 (a)		6,600		6,618

Aetna, Inc.

2.80%, 6/15/2023		546		566

4.50%, 5/15/2042		224		272

Ascension Health 3.95%, 11/15/2046		687		857

Banner Health 1.90%, 1/1/2031		2,439		2,449

Centene Corp. 4.63%, 12/15/2029		25,670		28,157

Children’s Hospital Series 2020, 2.93%, 7/15/2050		763		784

Cigna Corp.

4.50%, 2/25/2026		1,000		1,136

4.38%, 10/15/2028		13,285		15,501

CommonSpirit Health

1.55%, 10/1/2025		1,275		1,292

2.78%, 10/1/2030		1,275		1,334

3.91%, 10/1/2050		1,255		1,406

Community Health Systems, Inc.

5.63%, 3/15/2027 (a)		3,588		3,785

6.00%, 1/15/2029 (a)		2,669		2,846

4.75%, 2/15/2031 (a)		6,320		6,447

Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049		500		555

CVS Health Corp. 4.30%, 3/25/2028		1,463		1,684

4.78%, 3/25/2038		5,500		6,845

2.70%, 8/21/2040		2,620		2,573

DaVita, Inc.

4.63%, 6/1/2030 (a)		8,065		8,429

3.75%, 2/15/2031 (a)		1,938		1,915

Encompass Health Corp.

4.50%, 2/1/2028		5,135		5,379

4.75%, 2/1/2030		4,840		5,161

Envision Healthcare Corp. 8.75%, 10/15/2026 (a)		4,480		3,786

Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050		1,580		1,613

Hartford HealthCare Corp. 3.45%, 7/1/2054		2,350		2,490

HCA, Inc.

5.38%, 2/1/2025		2,000		2,253

5.88%, 2/15/2026		375		435

5.38%, 9/1/2026		9,105		10,503


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

4.50%, 2/15/2027		20,305		23,011

5.63%, 9/1/2028		27,251		32,497

5.88%, 2/1/2029		16,788		20,355

3.50%, 9/1/2030		360		386

5.50%, 6/15/2047		2,000		2,642

3.50%, 7/15/2051		6,085		6,214

McKesson Corp. 0.90%, 12/3/2025		2,720		2,691

Memorial Health Services 3.45%, 11/1/2049		645		723

Memorial Sloan-Kettering Cancer Center

4.13%, 7/1/2052		225		286

Series 2015, 4.20%, 7/1/2055		785		1,029

MidMichigan Health Series 2020, 3.41%, 6/1/2050		955		1,067

Mount Sinai Hospitals Group, Inc. Series 2017, 3.98%, 7/1/2048		666		743

MultiCare Health System 2.80%, 8/15/2050		355		362

New York and Presbyterian Hospital (The) 2.61%, 8/1/2060		700		675

NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055		1,110		1,195

Providence St Joseph Health Obligated Group Series H, 2.75%, 10/1/2026		363		389

Quest Diagnostics, Inc. 2.95%, 6/30/2030		1,000		1,070

Tenet Healthcare Corp.

4.63%, 7/15/2024		1,745		1,769

4.63%, 9/1/2024 (a)		1,385		1,418

7.50%, 4/1/2025 (a)		925		990

4.88%, 1/1/2026 (a)		8,625		8,947

6.25%, 2/1/2027 (a)		500		521

5.13%, 11/1/2027 (a)		13,532		14,242

4.25%, 6/1/2029 (a)		1,754		1,792

Texas Health Resources

2.33%, 11/15/2050		500		464

4.33%, 11/15/2055		1,075		1,435

UnitedHealth Group, Inc.

4.63%, 7/15/2035		98		125

3.05%, 5/15/2041		8,890		9,430

3.95%, 10/15/2042		615		734

3.75%, 10/15/2047		1,120		1,310

3.25%, 5/15/2051		5,345		5,856

3.88%, 8/15/2059		805		973


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Providers & Services — continued

Universal Health Services, Inc. 2.65%, 10/15/2030(a)		6,655		6,781

Yale-New Haven Health Services Corp.

Series 2020, 2.50%, 7/1/2050		970		925


				287,812


Health Care Technology — 0.1%

IQVIA, Inc.

5.00%, 10/15/2026 (a)		2,575		2,652

5.00%, 5/15/2027 (a)		5,377		5,619


				8,271


Hotels, Restaurants & Leisure — 0.7%

1011778 BC ULC (Canada)

3.88%, 1/15/2028 (a)		4,250		4,303

4.00%, 10/15/2030 (a)		3,334		3,316

Boyd Gaming Corp. 4.75%, 12/1/2027		4,045		4,171

Boyne USA, Inc. 4.75%, 5/15/2029 (a)		1,785		1,843

Caesars Resort Collection LLC 5.75%, 7/1/2025(a)		4,465		4,692

Carnival Corp.

9.88%, 8/1/2027 (a)		5,660		6,522

4.00%, 8/1/2028 (a)		1,896		1,906

Cedar Fair LP

5.38%, 4/15/2027		5,630		5,771

5.25%, 7/15/2029		387		396

Chukchansi Economic Development Authority 8.00%, 4/15/2028 (a)		104		94

Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a)		4,860		5,073

Hilton Domestic Operating Co., Inc.

5.38%, 5/1/2025 (a)		1,425		1,495

3.75%, 5/1/2029 (a)		1,882		1,919

4.88%, 1/15/2030		1,000		1,075

4.00%, 5/1/2031 (a)		378		390

3.63%, 2/15/2032 (a)		1,465		1,454

Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024		2,672		2,774

Hilton Worldwide Finance LLC 4.88%, 4/1/2027		1,395		1,447

International Game Technology plc 6.50%, 2/15/2025 (a)		4,247		4,735

Marriott International, Inc. Series EE, 5.75%, 5/1/2025		2,035		2,338

Marriott Ownership Resorts, Inc.

6.50%, 9/15/2026		1,456		1,506

4.75%, 1/15/2028		118		120

4.50%, 6/15/2029 (a)		2,551		2,576


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Hotels, Restaurants & Leisure — continued

MGM Resorts International

6.75%, 5/1/2025		940		996

5.75%, 6/15/2025		4,038		4,422

5.50%, 4/15/2027		817		889

Royal Caribbean Cruises Ltd.

9.13%, 6/15/2023 (a)		2,392		2,607

11.50%, 6/1/2025 (a)		349		402

Scientific Games International, Inc. 5.00%, 10/15/2025 (a)		4,552		4,682

Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)		5,056		5,111

Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)		1,995		2,132

Starbucks Corp. 3.80%, 8/15/2025		1,010		1,115

Station Casinos LLC 5.00%, 10/1/2025 (a)		4,542		4,593

Travel + Leisure Co. 6.00%, 4/1/2027 (e)		1,050		1,162

Vail Resorts, Inc. 6.25%, 5/15/2025 (a)		2,151		2,292

Wynn Las Vegas LLC 5.50%, 3/1/2025 (a)		4,389		4,652

Wynn Resorts Finance LLC

7.75%, 4/15/2025 (a)		1,302		1,383

5.13%, 10/1/2029 (a)		4,356		4,531

Yum! Brands, Inc.

7.75%, 4/1/2025 (a)		3,300		3,556

4.75%, 1/15/2030 (a)		804		887

3.63%, 3/15/2031		1,220		1,253

4.63%, 1/31/2032		1,569		1,706


				108,287


Household Durables — 0.3%

Lennar Corp.

4.50%, 4/30/2024		290		315

4.75%, 11/29/2027		9,985		11,620

MDC Holdings, Inc.

3.85%, 1/15/2030		9,275		9,993

2.50%, 1/15/2031		7,260		7,103

Newell Brands, Inc.

4.70%, 4/1/2026 (e)		6,500		7,264

5.87%, 4/1/2036 (e)		3,265		4,089

Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)		6,989		7,164


				47,548


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Household Products — 0.1%

Central Garden & Pet Co.

5.13%, 2/1/2028		535		568

4.13%, 10/15/2030		3,795		3,894

4.13%, 4/30/2031 (a)		745		756

Energizer Holdings, Inc.

4.75%, 6/15/2028 (a)		5,135		5,276

4.38%, 3/31/2029 (a)		3,895		3,906

Kimberly-Clark Corp. 3.20%, 4/25/2029		1,000		1,115

Reckitt Benckiser Treasury Services plc (United Kingdom)

2.75%, 6/26/2024 (a)		1,000		1,053

3.00%, 6/26/2027 (a)		350		379

Spectrum Brands, Inc.

5.75%, 7/15/2025		259		265

5.00%, 10/1/2029 (a)		2,620		2,751

5.50%, 7/15/2030 (a)		2,779		2,984


				22,947


Independent Power and Renewable Electricity Producers—0.1%

AES Corp. (The) 3.30%, 7/15/2025 (a)		1,525		1,629

2.45%, 1/15/2031		1,076		1,086

Calpine Corp.

5.25%, 6/1/2026 (a)		6,044		6,233

4.50%, 2/15/2028 (a)		3,000		3,090

5.13%, 3/15/2028 (a)		3,940		4,009

Clearway Energy Operating LLC 5.00%, 9/15/2026		1,382		1,418

Exelon Generation Co. LLC

3.25%, 6/1/2025		595		640

6.25%, 10/1/2039		200		248


				18,353


Industrial Conglomerates — 0.0% (h)

Roper Technologies, Inc. 1.75%, 2/15/2031		1,200		1,162


Insurance — 0.5%

Aflac, Inc. 3.60%, 4/1/2030		2,500		2,841

AIA Group Ltd. (Hong Kong)

3.20%, 3/11/2025 (a)		996		1,058

3.90%, 4/6/2028 (a)		2,495		2,803

3.60%, 4/9/2029 (a)		495		551

3.20%, 9/16/2040 (a)		1,680		1,738

American Financial Group, Inc. 3.50%, 8/15/2026		1,600		1,749


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Insurance — continued

American International Group, Inc. 3.88%, 1/15/2035		2,041		2,336

Aon Corp. 6.25%, 9/30/2040		240		348

Athene Global Funding

0.95%, 1/8/2024 (a)		1,840		1,852

2.75%, 6/25/2024 (a)		630		664

1.45%, 1/8/2026 (a)		1,770		1,782

2.95%, 11/12/2026 (a)		4,500		4,824

Berkshire Hathaway Finance Corp.

4.25%, 1/15/2049		4,410		5,542

2.85%, 10/15/2050		4,720		4,756

2.50%, 1/15/2051		2,255		2,129

Cincinnati Financial Corp. 6.13%, 11/1/2034		1,100		1,530

CNA Financial Corp. 3.95%, 5/15/2024		373		402

F&G Global Funding 1.75%, 6/30/2026 (a)		635		646

Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a)		406		530

Guardian Life Global Funding 3.40%, 4/25/2023 (a)		2,830		2,971

Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a)		271		361

Intact US Holdings, Inc. 4.60%, 11/9/2022		800		835

Jackson National Life Global Funding

3.25%, 1/30/2024 (a)		575		611

3.88%, 6/11/2025 (a)		2,637		2,900

John Hancock Life Insurance Co. 7.38%, 2/15/2024 (a)		2,550		2,946

Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (a)		475		539

Lincoln National Corp. 3.35%, 3/9/2025		1,100		1,191

Manulife Financial Corp. (Canada) 4.15%, 3/4/2026		1,207		1,363

Marsh & McLennan Cos., Inc. 2.75%, 1/30/2022		433		437

MassMutual Global Funding II

2.75%, 6/22/2024 (a)		2,000		2,119

2.95%, 1/11/2025 (a)		1,200		1,281

MetLife, Inc.

6.50%, 12/15/2032		700		998

4.13%, 8/13/2042		500		605

Metropolitan Life Global Funding I 3.05%, 6/17/2029 (a)		1,500		1,644


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Insurance — continued

Metropolitan Life Insurance Co. 7.80%, 11/1/2025 (a)		1,650		2,070

New York Life Global Funding 3.00%, 1/10/2028 (a)		2,831		3,091

New York Life Insurance Co. 6.75%, 11/15/2039 (a)		303		465

Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (b)		2,730		3,186

Principal Financial Group, Inc. 3.70%, 5/15/2029		605		683

Principal Life Global Funding II 3.00%, 4/18/2026 (a)		586		630

Protective Life Corp. 4.30%, 9/30/2028 (a)		700		796

Prudential Financial, Inc. 3.91%, 12/7/2047		2,259		2,677

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)		150		187

Reliance Standard Life Global Funding II 3.85%, 9/19/2023 (a)		1,420		1,511

Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (a) (b)		1,000		1,148

Teachers Insurance & Annuity Association of America

4.90%, 9/15/2044 (a)		500		658

4.27%, 5/15/2047 (a)		800		986

Travelers Property Casualty Corp. 7.75%, 4/15/2026		700		903

W R Berkley Corp. 3.55%, 3/30/2052		2,535		2,766


				80,639


Internet & Direct Marketing Retail — 0.0% (h)

Amazon.com, Inc.

3.15%, 8/22/2027		2,000		2,213

3.10%, 5/12/2051		3,845		4,143

Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)		1,460		1,584


				7,940


IT Services — 0.3%

Arches Buyer, Inc. 4.25%, 6/1/2028 (a)		5,085		5,168

Black Knight InfoServ LLC 3.63%, 9/1/2028 (a)		5,125		5,189

DXC Technology Co. 4.25%, 4/15/2024		517		557

Fidelity National Information Services, Inc. 4.50%, 8/15/2046		2,000		2,485


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


IT Services — continued

Gartner, Inc.

4.50%, 7/1/2028 (a)		1,645		1,742

3.63%, 6/15/2029 (a)		3,140		3,232

3.75%, 10/1/2030 (a)		5,320		5,567

Global Payments, Inc. 2.90%, 5/15/2030		4,500		4,729

International Business Machines Corp.

4.00%, 6/20/2042		2,510		2,974

4.25%, 5/15/2049		2,600		3,251

Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)		2,750		2,846

Square, Inc.

2.75%, 6/1/2026 (a)		2,591		2,665

3.50%, 6/1/2031 (a)		5,396		5,613

Visa, Inc.

4.15%, 12/14/2035		1,510		1,860

2.70%, 4/15/2040		1,500		1,560


				49,438


Leisure Products — 0.0% (h)

Mattel, Inc.

3.15%, 3/15/2023		1,427		1,456

3.38%, 4/1/2026 (a)		2,444		2,539

5.88%, 12/15/2027 (a)		1,145		1,249

3.75%, 4/1/2029 (a)		2,477		2,600


				7,844


Life Sciences Tools & Services — 0.1%

Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a)		5,055		5,211

Thermo Fisher Scientific, Inc.

1.75%, 10/15/2028		1,880		1,897

2.60%, 10/1/2029		2,000		2,108

2.00%, 10/15/2031		2,140		2,137


				11,353


Machinery — 0.1%

Amsted Industries, Inc. 5.63%, 7/1/2027 (a)		2,480		2,598

Caterpillar, Inc. 3.80%, 8/15/2042		680		812

Colfax Corp. 6.38%, 2/15/2026 (a)		1,069		1,124

Otis Worldwide Corp. 2.06%, 4/5/2025		2,500		2,590

Parker-Hannifin Corp. 6.25%, 5/15/2038		440		621

RBS Global, Inc. 4.88%, 12/15/2025 (a)		4,045		4,125

SPX FLOW, Inc. 5.88%, 8/15/2026 (a)		1,500		1,544

TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)		2,865		3,027


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Machinery — continued

Xylem, Inc. 1.95%, 1/30/2028		1,285		1,306


				17,747


Marine — 0.0%(h)

MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a)		2,493		2,715


Media — 1.6%

Altice Financing SA (Luxembourg) 5.75%, 8/15/2029 (a)		2,733		2,807

AMC Networks, Inc. 5.00%, 4/1/2024		1,032		1,045

Audacy Capital Corp. 6.50%, 5/1/2027 (a)		928		933

Charter Communications Operating LLC

2.80%, 4/1/2031		4,300		4,406

3.50%, 6/1/2041		3,570		3,609

3.70%, 4/1/2051		3,200		3,221

3.90%, 6/1/2052		1,700		1,755

Clear Channel Outdoor Holdings, Inc. 7.75%, 4/15/2028 (a)		2,020		2,106

Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (a)		8,392		8,638

Comcast Corp.

3.38%, 2/15/2025		5,150		5,572

4.40%, 8/15/2035		3,850		4,679

3.90%, 3/1/2038		12,489		14,544

3.25%, 11/1/2039		10,530		11,455

3.40%, 7/15/2046		5,000		5,452

3.97%, 11/1/2047		1,115		1,311

4.00%, 3/1/2048		5,140		6,044

4.00%, 11/1/2049		135		160

3.45%, 2/1/2050		1,708		1,876

2.89%, 11/1/2051 (a)		1,112		1,107

2.45%, 8/15/2052		6,810		6,275

2.94%, 11/1/2056 (a)		1,092		1,082

2.65%, 8/15/2062		4,720		4,389

2.99%, 11/1/2063 (a)		3,177		3,126

Cox Communications, Inc.

1.80%, 10/1/2030 (a)		3,950		3,818

2.95%, 10/1/2050 (a)		2,790		2,645

CSC Holdings LLC

5.25%, 6/1/2024		4,373		4,717

5.50%, 4/15/2027 (a)		6,627		6,933

5.38%, 2/1/2028 (a)		4,127		4,344

6.50%, 2/1/2029 (a)		4,494		4,960

4.50%, 11/15/2031 (a)		2,571		2,588


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Media — continued

Diamond Sports Group LLC 5.38%, 8/15/2026 (a)		7,688		5,102

DIRECTV Holdings LLC 5.88%, 8/15/2027 (a)		3,366		3,517

Discovery Communications LLC 4.00%, 9/15/2055		5,855		6,268

DISH DBS Corp.

5.88%, 7/15/2022		2,694		2,786

5.00%, 3/15/2023		5,867		6,124

5.88%, 11/15/2024		9,892		10,634

7.75%, 7/1/2026		7,330		8,396

iHeartCommunications, Inc.

6.38%, 5/1/2026		2,900		3,063

8.38%, 5/1/2027		5,687		6,041

5.25%, 8/15/2027 (a)		4,358		4,566

Lamar Media Corp. 4.00%, 2/15/2030		5,400		5,576

Meredith Corp.

6.50%, 7/1/2025 (a)		1,896		2,043

6.88%, 2/1/2026		1,562		1,619

News Corp. 3.88%, 5/15/2029 (a)		4,172		4,290

Nexstar Media, Inc.

5.63%, 7/15/2027 (a)		8,365		8,881

4.75%, 11/1/2028 (a)		1,410		1,466

Outfront Media Capital LLC

6.25%, 6/15/2025 (a)		2,067		2,195

5.00%, 8/15/2027 (a)		3,861		3,981

Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)		3,970		3,991

Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a)		5,585		5,459

Sirius XM Radio, Inc.

5.38%, 7/15/2026 (a)		2,654		2,725

3.13%, 9/1/2026 (a)		941		959

5.00%, 8/1/2027 (a)		3,180		3,335

4.00%, 7/15/2028 (a)		2,830		2,890

5.50%, 7/1/2029 (a)		6,862		7,514

4.13%, 7/1/2030 (a)		3,517		3,600

Summer BC Bidco B LLC 5.50%, 10/31/2026 (a)		800		811

TEGNA, Inc.

4.63%, 3/15/2028		1,905		1,977

5.00%, 9/15/2029		1,525		1,614

Time Warner Cable LLC 7.30%, 7/1/2038		335		488

Univision Communications, Inc. 4.50%, 5/1/2029 (a)		4,184		4,244


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Media — continued

UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a)		1,563		1,596

ViacomCBS, Inc.

4.38%, 3/15/2043		2,405		2,812

5.85%, 9/1/2043		650		898

(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057(b)		1,234		1,249

Videotron Ltd. (Canada)

5.38%, 6/15/2024 (a)		3,057		3,367

5.13%, 4/15/2027 (a)		4,115		4,284


				265,958


Metals & Mining — 0.8%

Alcoa Nederland Holding BV

7.00%, 9/30/2026 (a)		2,810		2,936

5.50%, 12/15/2027 (a)		1,750		1,883

6.13%, 5/15/2028 (a)		3,845		4,182

Allegheny Technologies, Inc. 5.88%, 12/1/2027		3,660		3,838

Anglo American Capital plc (South Africa)

2.63%, 9/10/2030 (a)		3,056		3,098

3.95%, 9/10/2050 (a)		1,000		1,111

Arconic Corp.

6.00%, 5/15/2025 (a)		1,055		1,117

6.13%, 2/15/2028 (a)		7,065		7,552

Cleveland-Cliffs, Inc.

6.75%, 3/15/2026 (a)		2,200		2,360

4.63%, 3/1/2029 (a)		4,374		4,603

Commercial Metals Co. 4.88%, 5/15/2023		2,566		2,704

FMG Resources August 2006 Pty. Ltd. (Australia)

5.13%, 5/15/2024 (a)		1,453		1,563

4.50%, 9/15/2027 (a)		3,600		3,906

Freeport-McMoRan, Inc.

3.88%, 3/15/2023		700		724

5.00%, 9/1/2027		2,165		2,279

4.13%, 3/1/2028		1,907		1,998

4.38%, 8/1/2028		2,508		2,658

4.25%, 3/1/2030		1,770		1,912

4.63%, 8/1/2030		9,587		10,570

5.40%, 11/14/2034		2,060		2,583

5.45%, 3/15/2043		9,208		11,773

Glencore Finance Canada Ltd. (Switzerland)

6.90%, 11/15/2037 (a)		100		142


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Metals & Mining — continued

5.55%, 10/25/2042 (a) (e)		4,045		5,261

Glencore Funding LLC (Australia)

4.63%, 4/29/2024 (a)		300		329

1.63%, 9/1/2025 (a)		565		571

1.63%, 4/27/2026 (a)		4,000		4,014

2.50%, 9/1/2030 (a)		875		873

2.85%, 4/27/2031 (a)		9,210		9,425

Indonesia Asahan Aluminium Persero PT (Indonesia) 6.53%, 11/15/2028 (a)		2,400		2,949

Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a)		3,060		3,175

Novelis Corp.

3.25%, 11/15/2026 (a)		1,543		1,582

4.75%, 1/30/2030 (a)		2,620		2,790

3.88%, 8/15/2031 (a)		772		779

Nucor Corp.

4.00%, 8/1/2023		1,000		1,059

2.98%, 12/15/2055 (a)		1,910		1,941

Rio Tinto Finance USA Ltd. (Australia) 5.20%, 11/2/2040		2,000		2,742

Teck Resources Ltd. (Canada)

6.13%, 10/1/2035		1,915		2,471

5.40%, 2/1/2043		1,600		1,970

Vale Overseas Ltd. (Brazil)

3.75%, 7/8/2030		2,546		2,706

8.25%, 1/17/2034		5,880		8,737


				128,866


Mortgage Real Estate Investment Trusts (REITs) — 0.3%

Arbor Realty Trust, Inc.

REIT, 5.00%, 4/30/2026		19,500		19,500

REIT, 5.00%, 4/30/2026		5,000		5,075

Series QIB, REIT, 4.50%, 3/15/2027 (a)		30,000		29,970


				54,545


Multiline Retail — 0.0% (h)

Dollar General Corp. 3.50%, 4/3/2030		1,351		1,504


Multi-Utilities — 0.2%

Ameren Corp. 3.50%, 1/15/2031		2,390		2,643

Ameren Illinois Co. 3.25%, 3/15/2050		3,950		4,327

Berkshire Hathaway Energy Co.

3.25%, 4/15/2028		800		880

6.13%, 4/1/2036		1,349		1,898

2.85%, 5/15/2051		7,740		7,548


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Multi-Utilities — continued

Consolidated Edison Co. of New York, Inc.

Series 06-E, 5.70%, 12/1/2036		400		540

Series 2017, 3.88%, 6/15/2047		1,275		1,451

Series E, 4.65%, 12/1/2048		1,700		2,136

4.50%, 5/15/2058		808		1,005

Consumers Energy Co.

4.35%, 4/15/2049		500		643

4.35%, 8/31/2064		491		631

Dominion Energy, Inc.

Series F, 5.25%, 8/1/2033		785		993

7.00%, 6/15/2038		400		603

Series C, 4.90%, 8/1/2041		46		59

Puget Sound Energy, Inc. 5.76%, 7/15/2040		900		1,244

San Diego Gas & Electric Co.

6.00%, 6/1/2026		685		835

6.00%, 6/1/2039		500		706

4.50%, 8/15/2040		249		310

Series UUU, 3.32%, 4/15/2050		4,780		5,148


				33,600


Oil, Gas & Consumable Fuels — 3.1%

AI Candelaria Spain SLU (Colombia) 7.50%, 12/15/2028 (g)		1,134		1,256

Antero Midstream Partners LP

7.88%, 5/15/2026 (a)		3,445		3,794

5.38%, 6/15/2029 (a)		1,770		1,812

Antero Resources Corp.

5.00%, 3/1/2025		500		510

7.63%, 2/1/2029 (a)		4,150		4,565

5.38%, 3/1/2030 (a)		965		982

Apache Corp.

4.63%, 11/15/2025		5,401		5,845

4.88%, 11/15/2027		236		258

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027(a)		610		697

Baytex Energy Corp. (Canada) 5.63%, 6/1/2024(a)		1,470		1,477

BG Energy Capital plc (United Kingdom) 4.00%, 10/15/2021(a)		2,000		2,009

BP Capital Markets America, Inc.

3.80%, 9/21/2025		1,500		1,657

3.41%, 2/11/2026		1,750		1,913

3.02%, 1/16/2027		1,325		1,434

3.94%, 9/21/2028		2,300		2,621


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

3.06%, 6/17/2041		7,320		7,528

3.00%, 2/24/2050		10,130		10,013

2.77%, 11/10/2050		4,090		3,889

2.94%, 6/4/2051		5,350		5,245

BP Capital Markets plc (United Kingdom) 3.54%, 11/4/2024		1,800		1,952

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (b)(c)(d)		11,180		11,907

3.28%, 9/19/2027		2,988		3,298

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (b)(c)(d)		13,870		15,288

Buckeye Partners LP

4.15%, 7/1/2023		2,500		2,581

4.13%, 12/1/2027		4,440		4,562

Cameron LNG LLC 3.70%, 1/15/2039 (a)		961		1,083

Cenovus Energy, Inc. (Canada) 5.38%, 7/15/2025		4,710		5,346

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		1,435		1,630

5.13%, 6/30/2027		11,158		12,977

2.74%, 12/31/2039 (a)		2,075		2,076

Cheniere Energy Partners LP

5.63%, 10/1/2026		1,283		1,328

4.50%, 10/1/2029		3,750		4,041

4.00%, 3/1/2031 (a)		1,964		2,067

Cheniere Energy, Inc. 4.63%, 10/15/2028		5,339		5,633

Chesapeake Energy Corp. 5.88%, 2/1/2029 (a)		1,480		1,580

Chevron USA, Inc.

3.25%, 10/15/2029		2,475		2,747

5.25%, 11/15/2043		8,550		11,767

2.34%, 8/12/2050		6,310		5,819

Cimarex Energy Co. 3.90%, 5/15/2027		2,910		3,214

CNX Resources Corp. 7.25%, 3/14/2027 (a)		4,250		4,505

Comstock Resources, Inc.

7.50%, 5/15/2025 (a)		2,928		3,031

6.75%, 3/1/2029 (a)		2,674		2,806

Continental Resources, Inc. 5.75%, 1/15/2031 (a)		3,263		3,977

Crestwood Midstream Partners LP 5.75%, 4/1/2025		2,760		2,819


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

DCP Midstream Operating LP

4.95%, 4/1/2022		522		527

5.38%, 7/15/2025		2,200		2,422

5.13%, 5/15/2029		1,725		1,915

6.75%, 9/15/2037 (a)		1,080		1,342

5.60%, 4/1/2044		480		550

Devon Energy Corp. 4.50%, 1/15/2030 (a)		2,313		2,527

Diamondback Energy, Inc. 3.25%, 12/1/2026		420		450

DT Midstream, Inc.

4.13%, 6/15/2029 (a)		4,183		4,288

4.38%, 6/15/2031 (a)		875		903

Ecopetrol SA (Colombia)

5.88%, 9/18/2023		2,470		2,657

5.88%, 5/28/2045		1,010		1,080

Endeavor Energy Resources LP 5.50%, 1/30/2026 (a)		2,250		2,329

Energean Israel Finance Ltd. (Israel)

4.50%, 3/30/2024 (g)		2,428		2,472

4.88%, 3/30/2026 (g)		1,895		1,941

Energy Transfer LP

3.60%, 2/1/2023		1,146		1,185

4.25%, 3/15/2023		2,000		2,091

5.95%, 12/1/2025		464		542

4.75%, 1/15/2026		7,346		8,236

5.50%, 6/1/2027		2,478		2,925

5.80%, 6/15/2038		5,830		7,190

5.00%, 5/15/2050		5,000		5,858

Eni USA, Inc. (Italy) 7.30%, 11/15/2027		500		650

EnLink Midstream Partners LP

4.15%, 6/1/2025		1,962		2,021

4.85%, 7/15/2026		1,665		1,723

5.60%, 4/1/2044		1,930		1,834

Enterprise Products Operating LLC

3.35%, 3/15/2023		1,252		1,298

3.70%, 2/15/2026		1,026		1,134

Series J, 5.75%, 3/1/2035		800		1,038

6.45%, 9/1/2040		375		542

5.95%, 2/1/2041		333		464

4.95%, 10/15/2054		330		427

Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (b)		1,500		1,566

EQM Midstream Partners LP

4.75%, 7/15/2023		451		472


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

4.00%, 8/1/2024		5,979		6,113

6.00%, 7/1/2025 (a)		1,162		1,255

4.50%, 1/15/2029 (a)		1,320		1,340

4.75%, 1/15/2031 (a)		1,320		1,343

EQT Corp.

6.63%, 2/1/2025 (e)		3,945		4,522

3.13%, 5/15/2026 (a)		1,750		1,798

3.90%, 10/1/2027		1,485		1,603

Equinor ASA (Norway) 7.15%, 11/15/2025		585		724

ESC Co.

6.63%, 5/1/2023‡ (f)		1,320		53

6.00%, 10/15/2024‡ (f)		2,737		109

6.38%, 1/15/2026‡ (f)		1,018		41

Exxon Mobil Corp.

2.99%, 3/19/2025		1,990		2,129

3.00%, 8/16/2039		11,405		11,948

3.10%, 8/16/2049		4,970		5,165

Flex Intermediate Holdco LLC

3.36%, 6/30/2031 (a)		950		972

4.32%, 12/30/2039 (a)		1,280		1,333

Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a)		1,700		1,726

Genesis Energy LP

6.25%, 5/15/2026		570		549

7.75%, 2/1/2028		1,314		1,287

Gray Oak Pipeline LLC

2.00%, 9/15/2023 (a)		1,090		1,111

2.60%, 10/15/2025 (a)		995		1,024

3.45%, 10/15/2027 (a)		1,465		1,555

Greenko Dutch BV (India) 3.85%, 3/29/2026 (a)		2,177		2,220

Gulfport Energy Operating Corp. 8.00%, 5/17/2026 (a)		1,496		1,590

Hess Midstream Operations LP 5.63%, 2/15/2026 (a)		4,870		5,057

HollyFrontier Corp.

2.63%, 10/1/2023		2,025		2,089

5.88%, 4/1/2026		3,529		4,051

Indigo Natural Resources LLC 5.38%, 2/1/2029 (a)		3,640		3,758

Leviathan Bond Ltd. (Israel)

6.13%, 6/30/2025 (g)		1,090		1,185

6.50%, 6/30/2027 (g)		1,182		1,302

6.75%, 6/30/2030 (g)		680		760


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (a)		1,669		1,682

Marathon Oil Corp. 3.85%, 6/1/2025		2,000		2,195

MEG Energy Corp. (Canada)

6.50%, 1/15/2025 (a)		1,785		1,843

7.13%, 2/1/2027 (a)		1,999		2,103

MPLX LP 5.20%, 3/1/2047		323		397

NGL Energy Operating LLC 7.50%, 2/1/2026 (a)		3,479		3,531

NGPL PipeCo LLC

3.25%, 7/15/2031 (a)		615		635

7.77%, 12/15/2037 (a)		615		887

NuStar Logistics LP

5.75%, 10/1/2025		2,071		2,226

6.00%, 6/1/2026		1,338		1,448

5.63%, 4/28/2027		3,294		3,504

6.38%, 10/1/2030		666		736

Occidental Petroleum Corp.

8.00%, 7/15/2025		1,533		1,847

5.88%, 9/1/2025		5,574		6,272

5.55%, 3/15/2026		1,000		1,115

8.50%, 7/15/2027		3,301		4,164

6.38%, 9/1/2028		1,488		1,765

3.50%, 8/15/2029		1,250		1,295

8.88%, 7/15/2030		1,887		2,590

6.63%, 9/1/2030		2,878		3,590

6.13%, 1/1/2031		1,563		1,890

7.88%, 9/15/2031		2,600		3,454

ONEOK Partners LP 6.65%, 10/1/2036		1,465		1,985

ONEOK, Inc. 7.50%, 9/1/2023		3,050		3,410

PBF Holding Co. LLC

9.25%, 5/15/2025 (a)		514		496

6.00%, 2/15/2028		2,710		1,775

Pertamina Persero PT (Indonesia) 6.45%, 5/30/2044 (g)		1,600		2,127

Petrobras Global Finance BV (Brazil) 5.50%, 6/10/2051		3,155		3,151

Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a)		5,000		5,194

Petroleos Mexicanos (Mexico)

6.88%, 8/4/2026		2,600		2,833

5.35%, 2/12/2028		3,250		3,226

6.75%, 9/21/2047		395		347

7.69%, 1/23/2050		880		840

6.95%, 1/28/2060		2,667		2,333


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Phillips 66 4.65%, 11/15/2034		1,000		1,182

Pioneer Natural Resources Co. 1.13%, 1/15/2026		2,000		1,981

Plains All American Pipeline LP 3.85%, 10/15/2023		1,495		1,576

Range Resources Corp.

5.00%, 3/15/2023		950		974

4.88%, 5/15/2025		3,645		3,773

Sabine Pass Liquefaction LLC

5.63%, 3/1/2025		3,000		3,419

4.50%, 5/15/2030		8,185		9,481

Saudi Arabian Oil Co. (Saudi Arabia)

1.25%, 11/24/2023 (a)		200		202

1.63%, 11/24/2025 (a)		224		226

SM Energy Co.

6.75%, 9/15/2026		1,895		1,905

6.63%, 1/15/2027		1,293		1,299

Southwestern Energy Co.

7.50%, 4/1/2026		6,821		7,230

7.75%, 10/1/2027		1,075		1,165

5.38%, 3/15/2030		2,656		2,763

Spectra Energy Partners LP 4.50%, 3/15/2045		4,670		5,520

Sunoco LP

5.50%, 2/15/2026		1,321		1,357

6.00%, 4/15/2027		3,353		3,504

Tallgrass Energy Partners LP

5.50%, 9/15/2024 (a)		1,027		1,043

7.50%, 10/1/2025 (a)		2,045		2,203

5.50%, 1/15/2028 (a)		4,445		4,490

6.00%, 12/31/2030 (a)		1,640		1,668

Targa Resources Partners LP

5.88%, 4/15/2026		2,440		2,553

5.38%, 2/1/2027		970		1,005

6.50%, 7/15/2027		1,730		1,873

5.00%, 1/15/2028		4,445		4,667

6.88%, 1/15/2029		900		1,012

5.50%, 3/1/2030		5,735		6,322

4.88%, 2/1/2031		2,890		3,144

4.00%, 1/15/2032 (a)		1,050		1,100

TerraForm Power Operating LLC

4.25%, 1/31/2023 (a)		1,872		1,924

5.00%, 1/31/2028 (a)		1,468		1,585

Texas Eastern Transmission LP 3.50%, 1/15/2028 (a)		375		410


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

TotalEnergies Capital International SA (France)		4,700		4,873

2.99%, 6/29/2041

3.46%, 7/12/2049		5,148		5,619

3.13%, 5/29/2050		6,746		6,983

Trinidad Petroleum Holdings Ltd. (Trinidad and Tobago) 9.75%, 6/15/2026 (a)		1,150		1,290

Valero Energy Corp.

1.20%, 3/15/2024		2,840		2,862

2.15%, 9/15/2027		900		916

Western Midstream Operating LP

4.00%, 7/1/2022		1,155		1,169

5.30%, 2/1/2030 (e)		3,345		3,749

Williams Cos., Inc. (The) 5.40%, 3/4/2044		3,250		4,140


				502,893


Personal Products — 0.1%

Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)		5,085		5,383

Estee Lauder Cos., Inc. (The) 3.13%, 12/1/2049		1,800		1,996

Natura Cosmeticos SA (Brazil) 4.13%, 5/3/2028 (a)		1,548		1,589


				8,968


Pharmaceuticals — 1.0%

AstraZeneca plc (United Kingdom)

3.50%, 8/17/2023		2,000		2,115

1.38%, 8/6/2030		4,775		4,593

2.13%, 8/6/2050		8,870		7,976

Bausch Health Americas, Inc.

9.25%, 4/1/2026 (a)		4,654		5,015

8.50%, 1/31/2027 (a)		9,909		10,656

Bausch Health Cos., Inc.

6.13%, 4/15/2025 (a)		2,852		2,916

5.50%, 11/1/2025 (a)		9,362		9,576

5.75%, 8/15/2027 (a)		6,090		6,395

5.00%, 1/30/2028 (a)		5,750		5,484

4.88%, 6/1/2028 (a)		10,768		11,063

5.00%, 2/15/2029 (a)		6,355		5,934

5.25%, 1/30/2030 (a)		1,188		1,117

5.25%, 2/15/2031 (a)		1,251		1,167

Bristol-Myers Squibb Co.

2.90%, 7/26/2024		1,942		2,070

1.45%, 11/13/2030		3,185		3,100


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pharmaceuticals — continued

4.13%, 6/15/2039		5,998		7,300

2.35%, 11/13/2040		4,000		3,882

5.00%, 8/15/2045		2,731		3,760

Elanco Animal Health, Inc. 5.90%, 8/28/2028 (e)		2,425		2,839

Eli Lilly & Co. 4.15%, 3/15/2059		1,665		2,165

Jazz Securities DAC 4.38%, 1/15/2029 (a)		6,679		6,921

Organon & Co.

4.13%, 4/30/2028 (a)		3,906		4,030

5.13%, 4/30/2031 (a)		4,030		4,227

Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a)		4,135		4,187

Pfizer, Inc.

2.75%, 6/3/2026		1,500		1,629

3.45%, 3/15/2029		495		559

2.63%, 4/1/2030		2,000		2,151

4.10%, 9/15/2038		3,000		3,680

3.90%, 3/15/2039		2,960		3,543

4.30%, 6/15/2043		4,000		5,034

Pharmacia LLC 6.60%, 12/1/2028 (e)		745		1,006

Royalty Pharma plc

1.20%, 9/2/2025		645		643

1.75%, 9/2/2027		645		647

Shire Acquisitions Investments Ireland DAC

3.20%, 9/23/2026		500		543

Takeda Pharmaceutical Co. Ltd. (Japan)

5.00%, 11/26/2028		2,800		3,381

2.05%, 3/31/2030		10,000		9,973

3.03%, 7/9/2040		4,060		4,194

3.18%, 7/9/2050		750		777

3.38%, 7/9/2060		525		559

Zoetis, Inc. 2.00%, 5/15/2030		2,000		2,003


				158,810


Real Estate Management & Development — 0.1%

Country Garden Holdings Co. Ltd. (China)

3.13%, 10/22/2025 (g)		1,500		1,491

Kennedy-Wilson, Inc.

4.75%, 3/1/2029		4,625		4,784

5.00%, 3/1/2031		300		312

Mitsui Fudosan Co. Ltd. (Japan) 2.95%, 1/23/2023 (a)		2,480		2,556

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)

3.13%, 3/20/2022 (a)		579		587

3.88%, 3/20/2027 (a)		603		670


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Real Estate Management & Development — continued

RKPF Overseas Ltd. (China)

6.00%, 9/4/2025 (g)		1,500		1,526


				11,926


Road & Rail — 0.4%

Avis Budget Car Rental LLC

5.25%, 3/15/2025 (a)		2,142		2,179

5.75%, 7/15/2027 (a)		2,324		2,426

Burlington Northern Santa Fe LLC

7.08%, 5/13/2029		100		137

6.15%, 5/1/2037		750		1,090

4.38%, 9/1/2042		2,510		3,126

3.55%, 2/15/2050		1,929		2,191

Canadian National Railway Co. (Canada)

2.45%, 5/1/2050		7,280		6,740

CSX Corp.

3.25%, 6/1/2027		1,283		1,405

2.50%, 5/15/2051		13,050		12,047

Empresa de Transporte de Pasajeros Metro SA (Chile)

5.00%, 1/25/2047 (g)		2,400		2,913

ERAC USA Finance LLC

3.30%, 10/15/2022 (a)		200		206

2.70%, 11/1/2023 (a)		470		490

7.00%, 10/15/2037 (a)		291		441

JB Hunt Transport Services, Inc.

3.85%, 3/15/2024		460		491

Norfolk Southern Corp.

2.90%, 2/15/2023		462		476

3.05%, 5/15/2050		4,405		4,503

4.05%, 8/15/2052		1,000		1,194

Penske Truck Leasing Co. LP

4.13%, 8/1/2023 (a)		1,767		1,878

1.20%, 11/15/2025 (a)		2,165		2,154

SMBC Aviation Capital Finance DAC (Ireland)

3.00%, 7/15/2022 (a)		650		663

4.13%, 7/15/2023 (a)		1,100		1,166

Uber Technologies, Inc. 4.50%, 8/15/2029 (a)		2,300		2,263

Union Pacific Corp. 3.55%, 8/15/2039		13,101		14,774

XPO Logistics, Inc. 6.25%, 5/1/2025 (a)		4,456		4,707


				69,660


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Semiconductors & Semiconductor Equipment — 0.4%

Amkor Technology, Inc. 6.63%, 9/15/2027 (a)		2,313		2,491

ams AG (Austria) 7.00%, 7/31/2025 (a)		3,195		3,427

Analog Devices, Inc. 4.50%, 12/5/2036		563		679

Broadcom, Inc.

4.11%, 9/15/2028		3,548		3,978

2.45%, 2/15/2031 (a)		2,727		2,702

Intel Corp.

3.25%, 11/15/2049		1,700		1,816

3.05%, 8/12/2051		6,905		7,118

3.10%, 2/15/2060		700		715

Marvell Technology, Inc.

2.45%, 4/15/2028 (a)		2,080		2,140

Microchip Technology, Inc.

0.97%, 2/15/2024 (a)		2,090		2,092

4.25%, 9/1/2025		916		966

NXP BV (China) 3.25%, 5/11/2041 (a)		11,555		12,171

ON Semiconductor Corp. 3.88%, 9/1/2028 (a)		6,872		7,220

Qorvo, Inc. 3.38%, 4/1/2031 (a)		1,780		1,895

QUALCOMM, Inc. 3.25%, 5/20/2050		3,500		3,842

Texas Instruments, Inc.

2.90%, 11/3/2027		1,000		1,095

2.25%, 9/4/2029		1,800		1,878

3.88%, 3/15/2039		1,620		1,961

4.15%, 5/15/2048		300		380


				58,566


Software — 0.6%

CDK Global, Inc.

4.88%, 6/1/2027		1,675		1,759

5.25%, 5/15/2029 (a)		1,939		2,108

Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)		4,105		4,178

Intuit, Inc. 0.95%, 7/15/2025		2,850		2,862

Microsoft Corp.

3.50%, 2/12/2035		1,500		1,766

3.45%, 8/8/2036		953		1,115

2.92%, 3/17/2052		2,029		2,181

Nuance Communications, Inc. 5.63%, 12/15/2026		4,568		4,741

Open Text Corp. (Canada) 5.88%, 6/1/2026 (a)		2,996		3,093

Oracle Corp.

2.50%, 4/1/2025		2,750		2,885

2.30%, 3/25/2028		3,445		3,560


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Software — continued

2.88%, 3/25/2031		19,370		20,401

4.30%, 7/8/2034		567		659

3.90%, 5/15/2035		1,545		1,736

3.85%, 7/15/2036		1,756		1,947

3.65%, 3/25/2041		3,450		3,687

4.13%, 5/15/2045		5,300		5,940

3.95%, 3/25/2051		7,570		8,360

salesforce.com, Inc. 3.70%, 4/11/2028		1,100		1,251

SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)		4,645		4,919

VMware, Inc. 4.65%, 5/15/2027		20,695		23,922


				103,070


Specialty Retail — 0.4%

Asbury Automotive Group, Inc.

4.50%, 3/1/2028		3,700		3,847

4.75%, 3/1/2030		1,235		1,303

Bath & Body Works, Inc.

5.25%, 2/1/2028		769		861

7.50%, 6/15/2029		3,894		4,521

6.88%, 11/1/2035		450		578

6.75%, 7/1/2036		2,235		2,848

Gap, Inc. (The) 8.88%, 5/15/2027 (a)		2,670		3,067

Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)		4,555		4,635

Home Depot, Inc. (The) 3.50%, 9/15/2056		4,200		4,814

Lithia Motors, Inc.

4.63%, 12/15/2027 (a)		405		429

3.88%, 6/1/2029 (a)		1,980		2,077

4.38%, 1/15/2031 (a)		1,660		1,801

Lowe’s Cos., Inc.

3.13%, 9/15/2024		665		711

2.50%, 4/15/2026		3,000		3,188

3.65%, 4/5/2029		872		979

3.70%, 4/15/2046		5,000		5,584

O’Reilly Automotive, Inc.

3.60%, 9/1/2027		185		208

1.75%, 3/15/2031		1,145		1,111

Penske Automotive Group, Inc.

3.75%, 6/15/2029		5,210		5,301

PetSmart, Inc. 4.75%, 2/15/2028 (a)		9,307		9,691

Staples, Inc.

7.50%, 4/15/2026 (a)		9,915		10,039

10.75%, 4/15/2027 (a)		5,981		5,831


				73,424


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc.

3.25%, 2/23/2026		372		407

2.20%, 9/11/2029		4,125		4,306

3.45%, 2/9/2045		8,744		9,861

3.75%, 9/12/2047		6,500		7,683

3.75%, 11/13/2047		1,000		1,182

2.85%, 8/5/2061		10,955		10,935

Dell International LLC

7.13%, 6/15/2024 (a)		6,236		6,369

4.90%, 10/1/2026		1,630		1,886

EMC Corp. 3.38%, 6/1/2023		2,796		2,887

NCR Corp.

5.75%, 9/1/2027 (a)		1,370		1,449

5.00%, 10/1/2028 (a)		763		790

5.13%, 4/15/2029 (a)		1,534		1,591

6.13%, 9/1/2029 (a)		5,075		5,531

Seagate HDD Cayman

3.13%, 7/15/2029 (a)		2,205		2,168

4.13%, 1/15/2031 (a)		2,250		2,376

Western Digital Corp. 4.75%, 2/15/2026		2,907		3,249

Xerox Corp. 4.38%, 3/15/2023 (e)		2,232		2,337


				65,007


Textiles, Apparel & Luxury Goods — 0.0% (h)

Hanesbrands, Inc. 4.88%, 5/15/2026 (a)		1,908		2,082

William Carter Co. (The)

5.50%, 5/15/2025(a)		1,000		1,050

5.63%, 3/15/2027(a)		3,880		4,055


				7,187


Thrifts & Mortgage Finance — 0.3%

BPCE SA (France)

5.70%, 10/22/2023(a)		2,000		2,197

5.15%, 7/21/2024(a)		12,810		14,242

2.38%, 1/14/2025(a)		2,260		2,349

1.00%, 1/20/2026(a)		2,760		2,737

(SOFR + 1.52%), 1.65%, 10/6/2026(a)(b)		13,230		13,303

3.38%, 12/2/2026		250		274

3.50%, 10/23/2027 (a)		1,100		1,198

(SOFR + 1.31%), 2.28%, 1/20/2032(a)(b)		2,015		1,989

Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a)		4,510		4,752

Nationwide Building Society (United Kingdom) 1.00%, 8/28/2025 (a)		555		552


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Thrifts & Mortgage Finance — continued

Quicken Loans LLC

3.63%, 3/1/2029 (a)		2,936		2,998

3.88%, 3/1/2031 (a)		2,441		2,497

Radian Group, Inc. 4.50%, 10/1/2024		1,286		1,390

Rocket Mortgage LLC 5.25%, 1/15/2028 (a)		1,095		1,155


				51,633


Tobacco — 0.4%

Altria Group, Inc.

3.40%, 5/6/2030		7,750		8,306

2.45%, 2/4/2032		4,000		3,909

3.40%, 2/4/2041		9,825		9,446

3.88%, 9/16/2046		5,585		5,639

BAT Capital Corp. (United Kingdom)

3.56%, 8/15/2027		26,716		28,910

2.26%, 3/25/2028		275		276

4.39%, 8/15/2037		6,345		6,899

Philip Morris International, Inc.

4.38%, 11/15/2041		4,073		4,792

4.13%, 3/4/2043		5,000		5,691


				73,868


Trading Companies & Distributors — 0.4%

Air Lease Corp.

2.30%, 2/1/2025		1,000		1,033

3.25%, 3/1/2025		242		257

3.38%, 7/1/2025		3,860		4,132

2.88%, 1/15/2026		2,617		2,752

1.88%, 8/17/2026		2,345		2,353

3.25%, 10/1/2029		1,020		1,069

Aviation Capital Group LLC

5.50%, 12/15/2024 (a)		562		633

4.13%, 8/1/2025 (a)		1,950		2,114

1.95%, 1/30/2026 (a)		5,480		5,510

BOC Aviation Ltd. (Singapore)

2.38%, 9/15/2021 (a)		300		300

2.75%, 9/18/2022 (a)		600		610

3.50%, 10/10/2024 (a)		370		393

Herc Holdings, Inc. 5.50%, 7/15/2027 (a)		4,870		5,134

Imola Merger Corp. 4.75%, 5/15/2029 (a)		6,516		6,744

International Lease Finance Corp. 8.63%, 1/15/2022		1,000		1,030


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Trading Companies & Distributors — continued

United Rentals North America, Inc.

5.88%, 9/15/2026		10,999		11,334

4.88%, 1/15/2028		5,474		5,802

3.88%, 2/15/2031		1,308		1,354

WESCO Distribution, Inc.

7.13%, 6/15/2025 (a)		6,595		7,094

7.25%, 6/15/2028 (a)		2,300		2,558

WW Grainger, Inc.

4.60%, 6/15/2045		520		682


				62,888


Transportation Infrastructure — 0.0% (h)

Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a)		1,300		1,388

Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a)		635		647


				2,035


Water Utilities — 0.0% (h)

American Water Capital Corp.

3.85%, 3/1/2024		680		731

3.45%, 6/1/2029		620		691


				1,422


Wireless Telecommunication Services — 0.6%

America Movil SAB de CV (Mexico)

3.13%, 7/16/2022		1,266		1,292

4.38%, 4/22/2049		439		547

Hughes Satellite Systems Corp. 6.63%, 8/1/2026		6,628		7,531

Sprint Corp.

7.88%, 9/15/2023		3,143		3,561

7.13%, 6/15/2024		7,061		8,120

7.63%, 2/15/2025		5,843		6,917

7.63%, 3/1/2026		11,153		13,751

T-Mobile USA, Inc.

1.50%, 2/15/2026		5,740		5,778

2.25%, 2/15/2026		1,024		1,046

4.75%, 2/1/2028		5,290		5,648

3.88%, 4/15/2030		17,210		19,282

2.25%, 11/15/2031		5,500		5,473

4.38%, 4/15/2040		7,650		8,912

3.60%, 11/15/2060 (a)		3,000		3,071

Vodafone Group plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081(b)		3,730		3,791


				94,720


Total Corporate Bonds (Cost $5,638,011)				5,860,056


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — 14.5%

FHLMC

Pool # 1G1861, ARM, 2.41%, 3/1/2036 (j)		33		35

Pool # 1J1380, ARM, 2.82%, 3/1/2036 (j)		25		27

Pool # 1J1393, ARM, 1.92%, 10/1/2036 (j)		33		35

Pool # 1J1657, ARM, 2.06%, 5/1/2037 (j)		8		8

Pool # 1Q0476, ARM, 2.30%, 10/1/2037 (j)		93		94

FHLMC Gold Pools, 15 Year

Pool # G13821, 6.00%, 11/1/2021		—(k)		—(k)

Pool # G13385, 5.50%, 11/1/2023		9		9

Pool # G13603, 5.50%, 2/1/2024		2		3

Pool # G13805, 5.50%, 12/1/2024		12		13

Pool # G14252, 5.50%, 12/1/2024		13		13

Pool # J14494, 4.00%, 2/1/2026		372		395

FHLMC Gold Pools, 20 Year

Pool # C91025, 7.00%, 1/1/2027		54		58

Pool # G30591, 6.00%, 2/1/2028		311		349

Pool # D98914, 4.00%, 1/1/2032		2,544		2,789

Pool # G31099, 4.00%, 1/1/2038		9,977		11,043

FHLMC Gold Pools, 30 Year

Pool # C80091, 6.50%, 1/1/2024		11		12

Pool # C80161, 7.50%, 6/1/2024		—(k)		—(k)

Pool # G00271, 7.00%, 9/1/2024		11		11

Pool # C80245, 7.50%, 10/1/2024		2		2

Pool # G00278, 7.00%, 11/1/2024		5		5

Pool # C00496, 7.50%, 2/1/2027		—(k)		—(k)

Pool # D81734, 7.00%, 8/1/2027		16		16

Pool # G00747, 8.00%, 8/1/2027		20		23

Pool # D86005, 7.00%, 2/1/2028		3		3

Pool # G02210, 7.00%, 12/1/2028		45		51

Pool # C21930, 6.00%, 2/1/2029		6		7

Pool # C00785, 6.50%, 6/1/2029		10		12

Pool # A27201, 6.50%, 3/1/2032		53		59

Pool # A13067, 4.00%, 9/1/2033		21		22

Pool # G60154, 5.00%, 2/1/2034		10,044		11,457

Pool # G60214, 5.00%, 7/1/2035		9,339		10,638

Pool # C02641, 7.00%, 10/1/2036		22		26

Pool # C02660, 6.50%, 11/1/2036		51		60

Pool # G06172, 5.50%, 12/1/2038		1,004		1,169

Pool # G06576, 5.00%, 9/1/2040		4,501		5,151

Pool # A96733, 4.50%, 2/1/2041		7,852		8,804

Pool # G06493, 4.50%, 5/1/2041		388		435

Pool # G61864, 5.50%, 6/1/2041		3,935		4,570

Pool # Q05956, 4.50%, 2/1/2042		1,251		1,399

Pool # Q11285, 3.50%, 9/1/2042		3,256		3,578

Pool # Q12174, 3.50%, 10/1/2042		3,846		4,227


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # G07239, 3.00%, 12/1/2042		3,505		3,759

Pool # Q13796, 3.50%, 12/1/2042		5,037		5,536

Pool # Q15767, 3.00%, 2/1/2043		3,060		3,277

Pool # Q33869, 4.00%, 6/1/2045		2,646		2,912

Pool # G61462, 4.00%, 7/1/2045		14,123		15,534

Pool # Q37784, 3.50%, 12/1/2045		2,002		2,159

Pool # Q39092, 4.00%, 2/1/2046		3,471		3,779

Pool # Q39412, 3.50%, 3/1/2046		1,234		1,322

Pool # Q40797, 3.50%, 5/1/2046		3,811		4,079

Pool # Q40905, 3.50%, 6/1/2046		336		356

Pool # Q40922, 3.50%, 6/1/2046		1,748		1,879

Pool # Q41602, 3.50%, 7/1/2046		640		680

Pool # Q42079, 3.50%, 7/1/2046		856		915

Pool # Q42657, 3.50%, 8/1/2046		6,808		7,288

Pool # Q42656, 4.00%, 8/1/2046		484		520

Pool # Q43241, 3.50%, 9/1/2046		6,358		6,780

Pool # Q43237, 4.00%, 9/1/2046		1,105		1,196

Pool # G61565, 4.50%, 4/1/2048		23,315		25,959

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		3		3

Pool # B90491, 7.50%, 1/1/2032		141		160

Pool # U89009, 3.50%, 9/1/2032		468		504

Pool # U80074, 3.50%, 10/1/2032		1,811		1,953

Pool # G20028, 7.50%, 12/1/2036		195		220

Pool # U90690, 3.50%, 6/1/2042		1,505		1,627

Pool # U90975, 4.00%, 6/1/2042		327		357

Pool # U90230, 4.50%, 9/1/2042		1,309		1,461

Pool # U90281, 4.00%, 10/1/2042		663		721

Pool # U92021, 5.00%, 9/1/2043		1,354		1,508

Pool # U99076, 4.50%, 12/1/2043		3,417		3,825

Pool # U99084, 4.50%, 2/1/2044		2,927		3,271

Pool # U92996, 3.50%, 6/1/2045		204		217

Pool # U93026, 3.50%, 7/1/2045		915		993

Pool # U99134, 4.00%, 1/1/2046		3,807		4,186

Pool # U93155, 3.50%, 5/1/2046		795		859

Pool # U93158, 3.50%, 6/1/2046		652		698

Pool # U93167, 3.50%, 7/1/2046		719		765

Pool # U93172, 3.50%, 7/1/2046		1,068		1,159

FHLMC UMBS, 30 Year

Pool # RA2008, 4.00%, 1/1/2050		13,848		15,059

FNMA

Pool # AM2292, ARM, 0.44%, 1/1/2023 (j)		1,099		1,097

Pool # 766610, ARM, 2.09%, 1/1/2034 (j)		34		34

Pool # 823660, ARM, 1.97%, 5/1/2035 (j)		69		69


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 910181, ARM, 2.05%, 3/1/2037 (j)		29		31

Pool # 888304, ARM, 1.42%, 4/1/2037 (j)		1		1

Pool # 888750, ARM, 2.08%, 4/1/2037 (j)		42		44

Pool # 948208, ARM, 1.48%, 7/1/2037 (j)		27		28

Pool # 888620, ARM, 1.71%, 7/1/2037 (j)		50		50

FNMA UMBS, 15 Year

Pool # 890129, 6.00%, 12/1/2021		—(k)		—(k)

Pool # 949379, 6.00%, 8/1/2022		5		5

Pool # 890231, 5.00%, 7/1/2025		78		81

Pool # CA4723, 3.50%, 11/1/2034		8,094		8,680

FNMA UMBS, 20 Year

Pool # MA0602, 3.50%, 12/1/2030		151		160

Pool # BM3254, 4.00%, 1/1/2038		8,015		8,918

Pool # BM3566, 4.00%, 2/1/2038		8,690		9,616

Pool # CA1234, 4.00%, 2/1/2038		3,191		3,531

Pool # CA1238, 4.00%, 2/1/2038		3,017		3,355

FNMA UMBS, 30 Year

Pool # 250228, 9.00%, 4/1/2025		1		1

Pool # 328066, 8.50%, 10/1/2025		—(k)		—(k)

Pool # 313692, 8.50%, 12/1/2025		1		1

Pool # 365997, 7.50%, 10/1/2026		—(k)		—(k)

Pool # 250854, 7.50%, 3/1/2027		1		1

Pool # 251569, 7.00%, 3/1/2028		1		1

Pool # 420165, 6.50%, 4/1/2028		23		26

Pool # 455598, 5.50%, 12/1/2028		9		9

Pool # 517656, 5.50%, 7/1/2029		9		10

Pool # 252570, 6.50%, 7/1/2029		12		14

Pool # 517679, 6.50%, 7/1/2029		44		49

Pool # 323866, 6.50%, 8/1/2029		10		11

Pool # 995656, 7.00%, 6/1/2033		124		145

Pool # AL6168, 5.00%, 9/1/2033		4,475		5,096

Pool # 725229, 6.00%, 3/1/2034		749		888

Pool # AA0918, 5.50%, 9/1/2034		143		165

Pool # 735503, 6.00%, 4/1/2035		74		86

Pool # 745948, 6.50%, 10/1/2036		12		14

Pool # AL0379, 8.00%, 12/1/2036		877		1,038

Pool # 995149, 6.50%, 10/1/2038		36		42

Pool # 995504, 7.50%, 11/1/2038		45		56

Pool # AC3237, 5.00%, 10/1/2039		417		478

Pool # AC4467, 4.50%, 12/1/2039		730		818

Pool # AE1526, 4.50%, 9/1/2040		1,394		1,549

Pool # AE3095, 4.50%, 9/1/2040		818		908

Pool # AE0681, 4.50%, 12/1/2040		3,538		3,965

Pool # AL0038, 5.00%, 2/1/2041		3,523		4,031

Pool # AX5292, 5.00%, 1/1/2042		15,018		17,200


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BM1065, 5.50%, 2/1/2042		6,094		7,072

Pool # AL2059, 4.00%, 6/1/2042		11,936		13,429

Pool # AB7575, 3.00%, 1/1/2043		2,614		2,790

Pool # AR6380, 3.00%, 2/1/2043		3,369		3,612

Pool # 890564, 3.00%, 6/1/2043		4,368		4,716

Pool # AT5907, 4.00%, 6/1/2043		7,313		8,228

Pool # AS0214, 3.50%, 8/1/2043		7,557		8,343

Pool # AL6848, 5.00%, 6/1/2044		1,369		1,546

Pool # BA2343, 4.00%, 9/1/2045		3,160		3,464

Pool # BA1210, 3.50%, 5/1/2046		1,005		1,080

Pool # BA7485, 3.50%, 6/1/2046		802		860

Pool # BC2969, 3.50%, 6/1/2046		462		489

Pool # BD1371, 3.50%, 6/1/2046		1,522		1,632

Pool # BA7492, 4.00%, 6/1/2046		662		713

Pool # BC9368, 4.00%, 6/1/2046		3,340		3,630

Pool # BD1372, 4.00%, 6/1/2046		1,880		2,050

Pool # BD2956, 3.50%, 7/1/2046		5,910		6,325

Pool # BD5456, 3.50%, 8/1/2046		2,628		2,810

Pool # BM1169, 4.00%, 9/1/2046		11,717		13,164

Pool # BE0280, 3.50%, 10/1/2046		4,278		4,595

Pool # AS8335, 4.50%, 11/1/2046		6,336		6,929

Pool # BM1906, 4.00%, 5/1/2047		8,449		9,322

Pool # AS9811, 5.00%, 6/1/2047		3,338		3,694

Pool # BH7565, 4.00%, 8/1/2047		15,308		16,682

Pool # BM3500, 4.00%, 9/1/2047		7,296		8,059

Pool # CA0346, 4.50%, 9/1/2047		10,556		11,499

Pool # BH6687, 4.00%, 11/1/2047		1,972		2,117

Pool # BM3044, 4.00%, 11/1/2047		5,508		6,038

Pool # BE8347, 4.00%, 12/1/2047		1,093		1,174

Pool # BJ5254, 4.00%, 12/1/2047		5,210		5,607

Pool # BM3499, 4.00%, 12/1/2047		59,884		65,066

Pool # BJ5777, 4.50%, 12/1/2047		606		657

Pool # BH6689, 4.00%, 1/1/2048		1,703		1,827

Pool # BJ7311, 4.00%, 1/1/2048		30,987		33,668

Pool # BJ8238, 4.00%, 1/1/2048		10,394		11,323

Pool # BJ8265, 4.00%, 1/1/2048		6,762		7,341

Pool # BK1008, 4.00%, 1/1/2048		2,269		2,486

Pool # BJ4617, 4.00%, 2/1/2048		5,822		6,409

Pool # BJ5772, 4.00%, 2/1/2048		6,868		7,376

Pool # BK1581, 4.00%, 2/1/2048		1,245		1,357

Pool # FM0035, 3.50%, 3/1/2048		9,466		10,100

Pool # BJ5803, 4.00%, 3/1/2048		6,574		7,064

Pool # BK1963, 4.00%, 3/1/2048		3,746		4,101

Pool # BM3665, 4.00%, 3/1/2048		21,300		23,503

Pool # BJ5789, 4.50%, 3/1/2048		2,387		2,578


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BE2789, 4.00%, 4/1/2048		1,877		2,016

Pool # CA1710, 4.50%, 5/1/2048		5,347		5,795

Pool # BK5943, 5.00%, 6/1/2048		2,288		2,528

Pool # BK4130, 4.50%, 7/1/2048		320		346

Pool # BK6562, 4.50%, 7/1/2048		3,637		3,967

Pool # BK6589, 4.50%, 7/1/2048		2,314		2,500

Pool # BN0133, 4.00%, 8/1/2048		8,977		9,648

Pool # BK9292, 5.00%, 8/1/2048		5,969		6,601

Pool # CA4662, 3.50%, 9/1/2048		7,854		8,565

Pool # BN1312, 4.00%, 9/1/2048		18,341		19,707

Pool # 890863, 5.00%, 9/1/2048		24,692		28,095

Pool # BN0234, 5.00%, 9/1/2048		3,294		3,642

Pool # MA3496, 4.50%, 10/1/2048		3,951		4,279

Pool # BN0861, 5.00%, 10/1/2048		2,142		2,388

Pool # BK9556, 4.00%, 12/1/2048		4,001		4,339

Pool # BK1176, 5.00%, 1/1/2049		2,316		2,537

Pool # BK8748, 4.50%, 5/1/2049		12,616		13,708

Pool # BO2428, 3.50%, 7/1/2049		6,109		6,461

Pool # BO0592, 4.00%, 7/1/2049		2,169		2,348

FNMA, 30 Year

Pool # CA2171, 4.00%, 8/1/2048		15,865		16,986

FNMA, Other

Pool # 470622, 2.75%, 3/1/2022		228		230

Pool # AM2285, 2.41%, 1/1/2023		3,335		3,395

Pool # AM2452, 2.44%, 2/1/2023		6,579		6,711

Pool # AM2859, 2.65%, 3/1/2023		3,900		4,013

Pool # AL3876, 2.74%, 6/1/2023 (j)		2,708		2,784

Pool # AM4170, 3.51%, 8/1/2023		15,000		15,674

Pool # AM5032, 3.64%, 12/1/2023		4,519		4,769

Pool # AM5473, 3.76%, 3/1/2024		5,300		5,700

Pool # AN2363, 2.23%, 4/1/2024		3,656		3,801

Pool # AM6795, 3.05%, 9/1/2024		10,475		11,187

Pool # AL6260, 2.94%, 12/1/2024 (j)		294		297

Pool # AM7290, 2.97%, 12/1/2024		3,991		4,268

Pool # AM7682, 2.84%, 1/1/2025		5,717		6,097

Pool # AM7795, 2.92%, 1/1/2025		9,707		10,378

Pool # AN1302, 2.93%, 1/1/2025		3,955		4,224

Pool # AM8090, 2.48%, 2/1/2025		9,168		9,676

Pool # AM8702, 2.73%, 4/1/2025		18,325		19,526

Pool # AM8674, 2.81%, 4/1/2025		18,640		19,915

Pool # AM8691, 2.64%, 6/1/2025		18,777		19,978

Pool # AM9942, 3.09%, 10/1/2025		11,000		11,940

Pool # AN0287, 2.95%, 11/1/2025		5,000		5,404

Pool # AN0707, 3.13%, 2/1/2026		8,379		9,134

Pool # AN1222, 2.78%, 4/1/2026		7,000		7,546


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # AN1413, 2.49%, 5/1/2026		9,613		10,235

Pool # AN1503, 2.62%, 5/1/2026		5,452		5,834

Pool # AN1221, 2.81%, 5/1/2026		4,000		4,321

Pool # AN1497, 2.61%, 6/1/2026		10,122		10,857

Pool # AN2193, 2.53%, 7/1/2026		5,629		6,007

Pool # AN2689, 2.20%, 10/1/2026		6,167		6,497

Pool # AN4000, 3.00%, 12/1/2026		2,285		2,496

Pool # AL6937, 3.92%, 12/1/2026 (j)		4,905		5,474

Pool # AN4917, 3.13%, 3/1/2027		13,674		15,125

Pool # AN6318, 3.18%, 8/1/2027		8,500		9,193

Pool # BL3525, 2.60%, 9/1/2027		11,405		12,287

Pool # BL0497, 3.84%, 10/1/2027		4,766		5,444

Pool # AN1449, 2.97%, 4/1/2028		6,498		7,160

Pool # AN2005, 2.73%, 7/1/2028		10,418		11,368

Pool # 387807, 3.55%, 8/1/2028		11,451		13,050

Pool # AN2956, 2.44%, 10/1/2028		7,012		7,530

Pool # AN3685, 2.69%, 12/1/2028		15,076		16,445

Pool # AN4004, 3.27%, 12/1/2028		8,615		9,684

Pool # BL1040, 3.81%, 12/1/2028		16,000		18,622

Pool # BL0907, 3.88%, 12/1/2028		290		338

Pool # AN4154, 3.17%, 1/1/2029		16,836		18,861

Pool # AN4349, 3.35%, 1/1/2029		8,606		9,750

Pool # AN4344, 3.37%, 1/1/2029		16,757		18,900

Pool # AN1872, 2.90%, 5/1/2029		3,675		4,034

Pool # AN5677, 3.25%, 6/1/2029		9,490		10,665

Pool # BL3509, 2.66%, 8/1/2029		22,452		24,449

Pool # BL3491, 2.84%, 8/1/2029		15,900		17,326

Pool # 387883, 3.78%, 8/1/2030		16,369		19,099

Pool # 387827, 3.80%, 8/1/2030		7,918		8,290

Pool # AN9293, 3.71%, 9/1/2030		25,065		29,192

Pool # AN0198, 3.34%, 11/1/2030		3,936		4,465

Pool # AN1676, 2.99%, 5/1/2031		3,642		4,035

Pool # AN1953, 3.01%, 6/1/2031		1,863		2,063

Pool # AN1683, 3.03%, 6/1/2031		4,988		5,547

Pool # AN2308, 2.87%, 8/1/2031		8,625		9,534

Pool # AN2625, 2.50%, 10/1/2031		11,952		12,830

Pool # BL3368, 2.84%, 11/1/2031		4,475		4,946

Pool # BL6367, 1.82%, 4/1/2032		36,000		36,928

Pool # BL6302, 2.07%, 5/1/2032		15,158		15,821

Pool # AO7654, 3.50%, 5/1/2032		1,786		1,926

Pool # AO5230, 3.50%, 6/1/2032		1,073		1,157

Pool # AO7057, 3.50%, 6/1/2032		735		788

Pool # AO7746, 3.50%, 6/1/2032		120		127

Pool # AO8038, 3.50%, 7/1/2032		2,002		2,159

Pool # AP0645, 3.50%, 7/1/2032		2,049		2,209


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AP0682, 3.50%, 7/1/2032		1,967			2,115

Pool # AP1314, 3.50%, 8/1/2032		2,209			2,382

Pool # AQ1534, 3.50%, 10/1/2032		694			748

Pool # AQ1607, 3.50%, 11/1/2032		465			500

Pool # 650236, 5.00%, 12/1/2032		10			11

Pool # AR7961, 3.50%, 3/1/2033		627			676

Pool # BL3453, 3.16%, 8/1/2033		14,690			16,532

Pool # 868763, 6.50%, 4/1/2036		6			6

Pool # 886320, 6.50%, 7/1/2036		17			19

Pool # AO6757, 4.00%, 6/1/2042		2,526			2,777

Pool # MA1125, 4.00%, 7/1/2042		1,660			1,812

Pool # MA1213, 3.50%, 10/1/2042		6,957			7,516

Pool # MA1283, 3.50%, 12/1/2042		1,040			1,128

Pool # MA1328, 3.50%, 1/1/2043		3,574			3,875

Pool # MA1404, 3.50%, 4/1/2043		1,983			2,150

Pool # MA1462, 3.50%, 6/1/2043		1,077			1,172

Pool # MA1463, 3.50%, 6/1/2043		2,797			3,032

Pool # MA1510, 4.00%, 7/1/2043		2,227			2,442

Pool # MA1546, 3.50%, 8/1/2043		4,405			4,776

Pool # AU8840, 4.50%, 11/1/2043		1,286			1,424

Pool # AV2613, 4.50%, 11/1/2043		3,252			3,614

Pool # MA1711, 4.50%, 12/1/2043		2,202			2,465

Pool # AL6167, 3.50%, 1/1/2044		15,269			16,555

Pool # MA2346, 3.50%, 6/1/2045		489			527

Pool # MA2462, 4.00%, 11/1/2045		3,634			3,975

Pool # MA2482, 4.00%, 12/1/2045		4,440			4,886

Pool # MA2519, 4.00%, 1/1/2046		4,312			4,742

Pool # BC0784, 3.50%, 4/1/2046		449			480

Pool # MA2593, 4.00%, 4/1/2046		9,618			10,634

Pool # MA2631, 4.00%, 5/1/2046		10,462			11,517

Pool # MA2658, 3.50%, 6/1/2046		2,914			3,159

Pool # MA2690, 3.50%, 7/1/2046		6,127			6,643

Pool # BF0090, 3.50%, 5/1/2056		28,388			31,083

FNMA/FHLMC UMBS, Single Family, 15 Year

TBA, 2.00%, 10/25/2036 (l)		24,135			24,936

FNMA/FHLMC UMBS, Single Family, 30 Year

TBA, 2.50%, 10/25/2051 (l)		472,055			489,352

GNMA I, 15 Year

Pool # 782933, 6.50%, 10/15/2023		6			6

GNMA I, 30 Year

Pool # 314497, 7.25%, 1/15/2022		—	(k)		–	(k)

Pool # 316247, 9.00%, 1/15/2022		1			1

Pool # 297656, 7.50%, 10/15/2022		1			1

Pool # 380930, 7.00%, 4/15/2024		—	(k)		–	(k)

Pool # 780029, 9.00%, 11/15/2024		—	(k)		–	(k)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # 430999, 7.50%, 7/15/2026		5			5

Pool # 780481, 7.00%, 12/15/2026		2			2

Pool # 460982, 7.00%, 11/15/2027		1			1

Pool # 427295, 7.25%, 1/15/2028		10			10

Pool # 460759, 6.50%, 2/15/2028		26			29

Pool # 781118, 6.50%, 10/15/2029		25			28

Pool # 783867, 6.00%, 8/15/2036		2,488			2,956

Pool # AS4934, 4.50%, 5/15/2046		1,590			1,825

Pool # AT7538, 4.00%, 7/15/2046		5,416			5,973

Pool # AT7652, 4.00%, 8/15/2046		3,186			3,508

Pool # BM1819, 5.00%, 4/15/2049		4,314			4,965

GNMA II, 30 Year

Pool # 2056, 7.50%, 8/20/2025		1			2

Pool # 2270, 8.00%, 8/20/2026		1			1

Pool # 2285, 8.00%, 9/20/2026		14			16

Pool # 2379, 8.00%, 2/20/2027		1			1

Pool # 2397, 8.00%, 3/20/2027		—	(k)		—	(k)

Pool # 2445, 8.00%, 6/20/2027		6			7

Pool # 2457, 7.50%, 7/20/2027		17			19

Pool # 2538, 8.00%, 1/20/2028		2			2

Pool # 2581, 8.00%, 4/20/2028		—	(k)		—	(k)

Pool # 2619, 8.00%, 7/20/2028		1			1

Pool # 2633, 8.00%, 8/20/2028		1			1

Pool # 2714, 6.50%, 2/20/2029		3			3

Pool # 4901, 8.00%, 9/20/2031		215			248

Pool # 5020, 7.50%, 5/20/2032		117			133

Pool # 738210, 7.00%, 6/20/2032		228			258

Pool # 738062, 6.00%, 11/20/2032		243			270

Pool # 738059, 6.00%, 10/20/2033		121			134

Pool # 738049, 6.00%, 3/20/2035		191			212

Pool # 737987, 6.00%, 4/20/2036		212			235

Pool # 737975, 6.00%, 9/20/2036		41			45

Pool # 5034, 7.00%, 8/20/2038		53			59

Pool # 4245, 6.00%, 9/20/2038		67			78

Pool # 4930, 7.00%, 10/20/2038		334			404

Pool # 4964, 7.00%, 12/20/2038		51			54

Pool # 4872, 7.00%, 1/20/2039		322			378

Pool # 5072, 6.50%, 10/20/2039		82			95

Pool # 5218, 6.50%, 10/20/2039		124			144

Pool # AS8103, 3.50%, 6/20/2046		1,658			1,837

Pool # AS8104, 3.75%, 6/20/2046		1,688			1,876

Pool # AS8105, 4.00%, 6/20/2046		1,238			1,390

Pool # AS8106, 3.50%, 7/20/2046		2,371			2,627

Pool # AS8107, 3.75%, 7/20/2046		2,965			3,295

Pool # AY0571, 4.50%, 11/20/2047		5,817			6,255


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BB8791, 4.00%, 12/20/2047		6,282		6,938

Pool # BD6195, 4.00%, 1/20/2048		7,037		7,477

Pool # BE9507, 4.50%, 3/20/2048		2,719		2,956

Pool # BG2382, 4.50%, 3/20/2048		2,165		2,340

Pool # BA7568, 4.50%, 4/20/2048		8,830		9,535

Pool # BD0512, 5.00%, 4/20/2048		6,782		7,330

Pool # BD0532, 5.00%, 6/20/2048		6,722		7,258

Pool # BG3833, 4.50%, 7/20/2048		13,693		14,786

Pool # BD0549, 5.00%, 8/20/2048		7,004		7,563

Pool # BH9109, 4.50%, 10/20/2048		7,613		8,187

Pool # BJ7085, 5.00%, 12/20/2048		5,404		5,947

Pool # BK7188, 4.50%, 2/20/2049		5,513		5,973

Pool # BK7189, 5.00%, 2/20/2049		6,017		6,580

Pool # BN2622, 4.00%, 6/20/2049		10,528		11,395

Pool # BM9677, 4.50%, 6/20/2049		9,885		10,766

Pool # BM9683, 5.00%, 6/20/2049		9,738		10,681

Pool # BJ1310, 4.50%, 7/20/2049		8,172		9,022

Pool # BO2717, 4.50%, 7/20/2049		9,444		10,481

Pool # BO3146, 4.50%, 7/20/2049		3,794		4,196

Pool # BO3147, 4.50%, 7/20/2049		4,423		4,847

Pool # BO3157, 4.50%, 7/20/2049		3,393		3,750

Pool # BO3158, 4.50%, 7/20/2049		3,290		3,607

Pool # BO3159, 4.50%, 7/20/2049		1,705		1,828

Pool # BM9690, 5.00%, 7/20/2049		2,751		3,018

Pool # BM9701, 4.50%, 8/20/2049		22,419		24,032

Pool # MA7534, 2.50%, 8/20/2051		100,345		104,174


Total Mortgage-Backed Securities (Cost $2,300,452)				2,392,800

Asset-Backed Securities — 13.9%

ACC Trust

Series 2019-2, Class B, 3.63%, 8/21/2023 (a)		10,566		10,702

Series 2021-1, Class C, 2.08%, 12/20/2024 (a)		9,100		9,114

Series 2021-1, Class D, 5.25%, 3/22/2027 (a)		7,800		7,790

Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 ‡ (a)		2,436		2,567

Affirm Asset Securitization Trust Series 2021-A, Class C, 1.66%, 8/15/2025 ‡ (a)		700		704

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (a)		3,941		4,033

Series 2017-1, Class B, 3.70%, 1/15/2026 (a)		2,825		2,766


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-1, Class A, 3.60%, 3/15/2027 (a)		3,091		3,163

Series 2015-2, Class AA, 3.75%, 12/15/2027 (a)		835		879

Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)		1,874		1,905

Series 2017-1, Class A, 3.55%, 1/15/2030 (a)		1,017		994

Ajax Mortgage Loan Trust

Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (a) (e)		16,715		16,694

American Airlines Pass-Through Trust

Series 2016-2, Class AA, 3.20%, 6/15/2028		787		800

Series 2016-3, Class AA, 3.00%, 10/15/2028		1,999		2,013

Series 2017-1, Class AA, 3.65%, 2/15/2029		1,998		2,077

American Credit Acceptance Receivables Trust

Series 2020-2, Class B, 2.48%, 9/13/2024 (a)		800		807

Series 2020-2, Class C, 3.88%, 4/13/2026 (a)		1,023		1,071

American Homes 4 Rent

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a)		1,250		1,355

American Homes 4 Rent Trust

Series 2014-SFR3, Class D, 5.04%, 12/17/2036 ‡ (a)		5,000		5,387

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (a)		17,745		19,559

Series 2015-SFR2, Class D, 5.04%, 10/17/2052 ‡ (a)		2,250		2,467

Series 2015-SFR2, Class E, 6.07%, 10/17/2052 ‡ (a)		18,630		20,825

American Tower Trust #1 REIT, 3.07%, 3/15/2023 (a)		3,135		3,147

AmeriCredit Automobile Receivables Trust

Series 2017-2, Class D, 3.42%, 4/18/2023		11,300		11,403

Series 2017-4, Class D, 3.08%, 12/18/2023		20,124		20,500

AMSR Trust

Series 2021-SFR2, Class F1, 3.28%, 8/17/2026 ‡ (a)		13,000		13,063

Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a)		30,000		30,413

Series 2020-SFR2, Class G, 4.00%, 7/17/2037 ‡ (a)		5,500		5,607


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Asset-Backed Securities — continued

Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a)		16,035			16,752

Series 2020-SFR2, Class H, 5.25%, 7/17/2037 ‡ (a)		12,500			12,965

Series 2020-SFR3, Class F, 3.55%, 9/17/2037 ‡ (a)		12,179			12,255

Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a)		23,000			23,061

Series 2020-SFR4, Class F, 2.86%, 11/17/2037 ‡ (a)		20,000			19,918

Series 2019-SFR1, Class F, 3.87%, 1/19/2039 ‡ (a)		19,690			20,088

Series 2019-SFR1, Class G, 4.86%, 1/19/2039 ‡ (a)		7,875			8,218

Series 2019-SFR1, Class H, 6.04%, 1/19/2039 ‡ (a)		7,875			8,435

Aqua Finance Trust

Series 2017-A, Class A, 3.72%, 11/15/2035 (a)		2,760			2,831

Series 2019-A, Class B, 3.47%, 7/16/2040 ‡ (a)		19,000			19,728

Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (a)		4,250			4,472

BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 7/25/2028 ‡		—	(k)		—	(k)

Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 2.91%, 6/25/2043 ‡ (j)		163			171

British Airways Pass-Through Trust (United Kingdom)

Series 2013-1, Class A, 4.63%, 6/20/2024 (a)		1,404			1,486

Series 2019-1, Class A, 3.35%, 6/15/2029 (a)		1,397			1,402

Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)		660			692

Series 2018-1, Class A, 4.13%, 9/20/2031 (a)		1,968			1,998

Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)		545			560

Business Jet Securities LLC

Series 2019-1, Class C, 6.95%, 7/15/2034 ‡ (a)		7,473			7,769

Series 2020-1A, Class B, 3.97%, 11/15/2035 ‡ (a)		12,155			12,524

Series 2020-1A, Class C, 7.14%, 11/15/2035 ‡ (a)		8,224			8,606

Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)		10,534			10,605


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)		8,755		8,833

BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034 ‡ (a)		2,268		2,374

Camillo Issuer LLC

Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		9,302		9,546

Series 2017-SFR1, Class A, 5.50%, 6/5/2027 ‡ (a)		20,824		21,578

Series 2018-SFR1, Class A, 5.25%, 6/5/2028 ‡ (a)		19,089		19,638

CarMax Auto Owner Trust Series 2018-1, Class D, 3.37%, 7/15/2024		2,732		2,767

Carnow Auto Receivables Trust Series 2018-1A, Class C, 5.21%, 9/15/2023 (a)		2,090		2,099

Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)		5,781		5,998

CARS-DB4 LP

Series 2020-1A, Class A6, 3.81%, 2/15/2050 (a)		4,740		5,078

Series 2020-1A, Class B2, 4.52%, 2/15/2050 ‡ (a)		8,960		9,437

Series 2020-1A, Class B3, 4.95%, 2/15/2050 ‡ (a)		9,990		10,489

Carvana Auto Receivables Trust

Series 2019-1A, Class C, 3.50%, 2/15/2024 (a)		9,980		10,083

Series 2019-1A, Class D, 3.88%, 10/15/2024 (a)		7,500		7,724

Series 2020-N1A, Class B, 2.01%, 3/17/2025 (a)		29,424		29,675

Series 2019-2A, Class E, 5.01%, 4/15/2026 (a)		9,750		10,419

Series 2019-4A, Class E, 4.70%, 10/15/2026 (a)		5,000		5,241

Cascade MH Asset Trust Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (j)		17,000		16,794

Centex Home Equity Loan Trust Series 2001-B, Class A6, 6.36%, 7/25/2032 ‡		28		29

Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039		1,372		1,950

Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 3.13%, 3/24/2023 (a) (j)		22,100		22,101


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Asset-Backed Securities — continued

COOF Securitization Trust Ltd. Series 2014-1, Class A, IO, 2.86%, 6/25/2040 ‡ (a) (j)		3,186			277

CoreVest American Finance Trust

Series 2020-2, Class A, 3.38%, 5/15/2052 (a)		5,563			5,999

Series 2020-2, Class B, 4.24%, 5/15/2052 ‡ (a) (j)		8,345			9,225

CPS Auto Receivables Trust

Series 2018-A, Class D, 3.66%, 12/15/2023 (a)		1,494			1,509

Series 2018-D, Class D, 4.34%, 9/16/2024 (a)		2,303			2,354

Series 2020-B, Class B, 2.11%, 4/15/2026 (a)		6,000			6,023

CPS Auto Trust Series 2017-A, Class D, 4.61%, 12/15/2022 (a)		123			123

Credit Acceptance Auto Loan Trust

Series 2018-3A, Class C, 4.04%, 12/15/2027 (a)		11,249			11,349

Series 2019-3A, Class C, 3.06%, 3/15/2029 (a)		10,500			10,919

Series 2020-1A, Class C, 2.59%, 6/15/2029 (a)		21,735			22,373

Series 2020-2A, Class C, 2.73%, 11/15/2029 (a)		4,895			5,067

Series 2021-3A, Class C, 1.63%, 9/16/2030 (a)		8,573			8,594

Credit Suisse Mortgage Capital Certificates Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (j)		17,040			17,045

Crown Castle Towers LLC

3.72%, 7/15/2023 (a)		250			258

3.66%, 5/15/2025 (a)		2,805			2,966

Currency Capital Funding Trust Series 2018-1A, Class B, 5.60%, 3/17/2026 ‡ (a) (j)		—	(k)		—	(k)

CWABS, Inc. Asset-Backed Certificates

Series 2004-1, Class M1, 0.83%, 3/25/2034 ‡ (j)		41			40

Series 2004-1, Class M2, 0.91%, 3/25/2034 ‡ (j)		25			25

Series 2004-1, Class 3A, 0.64%, 4/25/2034 ‡ (j)		297			278

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 0.98%, 10/25/2034 (j)		232			229

DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a)		19,300			19,374


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Delta Air Lines Pass-Through Trust

Series 2019-1, Class AA, 3.20%, 4/25/2024		6,270		6,659

Series 2015-1, Class AA, 3.63%, 7/30/2027		3,145		3,399

Diamond Resorts Owner Trust

Series 2017-1A, Class B, 4.11%, 10/22/2029 ‡ (a)		746		754

Series 2018-1, Class D, 5.90%, 1/21/2031 ‡ (a)		825		837

Series 2021-1A, Class D, 3.83%, 11/21/2033 ‡ (a)		10,556		10,750

Dominion Financial Services 2 LLC Series 2018-1, Class A, 5.35%, 9/15/2022 ‡ (a) (e)		33,800		33,800

Drive Auto Receivables Trust

Series 2017-1, Class D, 3.84%, 3/15/2023		389		390

Series 2017-3, Class D, 3.53%, 12/15/2023 (a)		3,648		3,672

Series 2018-2, Class D, 4.14%, 8/15/2024		17,799		18,098

Series 2018-3, Class D, 4.30%, 9/16/2024		10,053		10,238

Series 2019-4, Class D, 2.70%, 2/16/2027		10,500		10,781

DT Auto Owner Trust

Series 2018-1A, Class D, 3.81%, 12/15/2023 (a)		1,619		1,626

Series 2017-3A, Class E, 5.60%, 8/15/2024 (a)		5,988		6,028

Series 2019-2A, Class D, 3.48%, 2/18/2025 (a)		19,000		19,642

Series 2019-4A, Class D, 2.85%, 7/15/2025 (a)		2,500		2,582

Series 2020-2A, Class C, 3.28%, 3/16/2026 (a)		5,000		5,195

Series 2020-3A, Class D, 1.84%, 6/15/2026 (a)		7,100		7,244

E3 (Cayman Islands)

Series 2019-1, Class A, 3.10%, 9/20/2055 (a)		8,090		8,361

Series 2019-1, Class C, 5.00%, 9/20/2055 ‡ (a)		5,601		5,651

Elara HGV Timeshare Issuer LLC

Series 2017-A, Class A, 2.69%, 3/25/2030 (a)		8,485		8,726

Series 2019-A, Class C, 3.45%, 1/25/2034 ‡ (a)		2,353		2,382


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Exeter Automobile Receivables Trust

Series 2017-3A, Class C, 3.68%, 7/17/2023 (a)		4,481		4,542

Series 2018-1A, Class D, 3.53%, 11/15/2023 (a)		10,374		10,556

Series 2017-2A, Class D, 6.39%, 2/15/2024 (a)		6,937		7,036

Series 2018-3A, Class D, 4.35%, 6/17/2024 (a)		21,344		21,817

Series 2020-2A, Class B, 2.08%, 7/15/2024 (a)		8,000		8,046

Series 2018-4A, Class D, 4.35%, 9/16/2024 (a)		25,430		26,212

Series 2020-2A, Class C, 3.28%, 5/15/2025 (a)		7,250		7,455

Series 2018-2A, Class E, 5.33%, 5/15/2025 (a)		7,000		7,361

Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)		3,500		3,732

Series 2020-3A, Class D, 1.73%, 7/15/2026		9,000		9,179

Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)		14,185		14,653

Fifth Third Auto Trust Series 2019-1, Class A3, 2.64%, 12/15/2023		3,557		3,591

First Investors Auto Owner Trust

Series 2017-3A, Class C, 3.00%, 1/16/2024 (a)		2,570		2,583

Series 2017-3A, Class D, 3.44%, 3/15/2024 (a)		5,096		5,179

Series 2017-3A, Class E, 4.92%, 8/15/2024 (a)		1,300		1,332

FirstKey Homes Trust

Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 ‡ (a)		3,500		3,593

Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 ‡ (a)		10,000		10,009

Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 ‡ (a)		10,267		10,322

Flagship Credit Auto Trust

Series 2017-1, Class D, 4.23%, 5/15/2023 (a)		649		654

Series 2017-4, Class C, 2.92%, 11/15/2023 (a)		2,399		2,410

Series 2017-1, Class E, 6.46%, 12/15/2023 (a)		3,500		3,555

Series 2017-4, Class D, 3.58%, 1/15/2024 (a)		2,630		2,689


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-2, Class E, 5.55%, 7/15/2024 (a)		3,630		3,705

Series 2019-2, Class C, 3.09%, 5/15/2025 (a)		8,250		8,493

Series 2019-2, Class D, 3.53%, 5/15/2025 (a)		9,500		9,916

Series 2019-2, Class E, 4.52%, 12/15/2026 (a)		5,000		5,272

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027		99,232		108,460

Foundation Finance Trust

Series 2020-1A, Class B, 4.62%, 7/16/2040 ‡ (a)		1,700		1,848

Series 2020-1A, Class C, 5.75%, 7/16/2040 ‡ (a)		4,650		5,102

Foursight Capital Automobile Receivables Trust

Series 2021-1, Class D, 1.32%, 3/15/2027 (a)		900		897

Series 2021-2, Class D, 1.92%, 9/15/2027 (a)		850		852

FREED ABS Trust Series 2019-1, Class B, 3.87%, 6/18/2026 ‡ (a)		3,775		3,789

FRTKL Series 2021-SFR1, Class F, 3.17%, 9/17/2038 (a)		4,400		4,403

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class A6, 6.70%, 4/25/2029 ‡ (j)		231		239

GM Financial Consumer Automobile Receivables Trust Series 2018-2, Class A3, 2.81%, 12/16/2022		1,940		1,947

Golden Bear LLC Series 2016-R, Class R, 5.65%, 9/20/2047 (a)		620		620

Goodgreen (Cayman Islands) Series 2018-1A, Class A, 3.93%, 10/15/2053 (a) (j)		6,407		6,809

Goodgreen Trust

Series 2017-1A, Class A, 3.74%, 10/15/2052 (a)		1,109		1,175

Series 2016-1A, Class B, 5.24%, 10/15/2052 ‡ (a)		816		877

Series 2017-2A, Class A, 3.26%, 10/15/2053 (a)		7,311		7,667

Harvest SBA Loan Trust Series 2021-1, Class A, 2.08%, 4/25/2048 (a) (j)		4,816		4,732

HERO Funding (Cayman Islands)

Series 2017-3A, Class A1, 3.19%, 9/20/2048 (a)		3,722		3,873

Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)		3,065		3,242


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

HERO Funding II (Cayman Islands)

Series 2016-3B, Class B, 5.24%, 9/20/2042 (a)		218		218

Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)		2,751		2,805

HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 (a)		4,260		4,407

HERO Funding Trust (Cayman Islands)

Series 2015-3A, Class A, 4.28%, 9/20/2041 (a)		2,358		2,496

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a)		1,040		1,074

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a)		3,253		3,419

Series 2017-2A, Class A2, 4.07%, 9/20/2048 (a)		3,616		3,747

Hilton Grand Vacations Trust Series 2020-AA, Class C, 6.42%, 2/25/2039 ‡ (a)		6,586		7,214

Home Partners of America Trust Series 2019-2, Class E, 3.32%, 10/19/2039 ‡ (a)		9,527		9,505

KGS-Alpha SBA COOF Trust

Series 2012-4, Class A, IO, 1.03%, 9/25/2037 ‡ (a) (j)		6,363		156

Series 2012-2, Class A, IO, 0.92%, 8/25/2038 ‡ (a) (j)		4,268		88

Series 2013-2, Class A, IO, 1.97%, 3/25/2039 ‡ (a) (j)		4,064		158

Lakeview CDO LLC 2.85%, 11/10/2032 ‡ (j)		12,000		11,957

Lending Point Asset Securitization Trust Series 2020-1, Class C, 4.14%, 2/10/2026 ‡ (a)		4,500		4,528

Lendingpoint Asset Securitization Trust Series 2021-A, Class C, 2.75%, 12/15/2028 ‡ (a)		12,684		12,720

LendingPoint Asset Securitization Trust Series 2021-1, Class B, 2.85%, 4/15/2027 ‡ (a)		13,636		13,678

Lendingpoint SPE Trust

Series 2020-VFN1, Class A1B, 4.35%, 12/15/2026 (a) (j)		15,000		15,014

Series 2020-VFN1, Class A2B1, 4.35%, 12/15/2026 (a) (j)		6,842		6,849

Lendmark Funding Trust Series 2018-2A, Class D, 6.78%, 4/20/2027 (a)		8,970		9,026


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


LFT CRE Ltd. (Cayman Islands)

Series 2021-FL1, Class D, 2.55%, 6/15/2039 ‡ (a) (j)		14,238		14,242

Series 2021-FL1, Class E, 3.05%, 6/15/2039 ‡ (a) (j)		12,500		12,504

LP LMS Asset Securitization Trust

Series 2020-1A, Class B, 5.24%, 2/10/2026 ‡ (a)		2,942		3,079

6.17%, 10/15/2028		7,398		7,420

Mariner Finance Issuance Trust Series 2021-AA, Class E, 5.40%, 3/20/2036 ‡ (a)		6,000		6,484

Marlette Funding Trust Series 2020-1A, Class B, 2.38%, 3/15/2030 ‡ (a)		17,500		17,613

Mercury Financial Credit Card Master Trust Series 2021-1A, Class C, 4.21%, 3/20/2026 (a)		10,000		10,098

Mid-State Capital Corp. Trust

Series 2005-1, Class A, 5.75%, 1/15/2040		78		84

Series 2005-1, Class M1, 6.11%, 1/15/2040 ‡		1,863		1,999

Series 2006-1, Class A, 5.79%, 10/15/2040 (a)		1,071		1,140

Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (a)		1,299		1,379

Series 2006-1, Class M2, 6.74%, 10/15/2040 ‡ (a)		519		560

Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 2.33%, 3/25/2033 ‡ (j)		242		241

MVW Owner Trust

Series 2019-1A, Class B, 3.00%, 11/20/2036 ‡ (a)		7,808		7,981

Series 2019-1A, Class C, 3.33%, 11/20/2036 ‡ (a)		3,296		3,380

New Century Home Equity Loan Trust

Series 2003-5, Class AI6, 6.00%, 11/25/2033 ‡ (e)		284		292

Series 2005-1, Class M1, 0.76%, 3/25/2035 ‡ (j)		261		260

NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)		12,037		12,164

NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)		12,316		12,426

Ocean Beach SPC (Cayman Islands) Series 2020-1I, Class A, 4.00%, 9/26/2022		7,385		7,385


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Octane Receivables Trust Series 2019-1A, Class A, 3.16%, 9/20/2023 (a)		4,028		4,056

OL SP LLC

Series 2018, Class C, 4.25%, 5/15/2025 ‡		662		668

Series 2018, Class A, 4.16%, 2/9/2030		2,444		2,537

Series 2018, Class B, 4.61%, 2/9/2030 ‡		764		788

OneMain Direct Auto Receivables Trust Series 2018-1A, Class C, 3.85%, 10/14/2025 (a)		15,882		16,033

OneMain Financial Issuance Trust Series 2019-1A, Class E, 5.69%, 2/14/2031 ‡ (a)		16,475		16,671

Oportun Funding XIII LLC Series 2019-A, Class B, 3.87%, 8/8/2025 ‡ (a)		7,146		7,280

Oportun Issuance Trust

Series 2021-B, Class B, 1.96%, 5/8/2031 ‡ (a)		6,320		6,354

Series 2021-B, Class C, 3.65%, 5/8/2031 ‡ (a)		8,461		8,521

Orange Lake Timeshare Trust

Series 2018-A, Class C, 3.74%, 11/8/2030 ‡ (a)		2,720		2,780

Series 2019-A, Class D, 4.93%, 4/9/2038 ‡ (a)		3,834		3,960

Pretium Mortgage Credit Partners I LLC

Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (a) (e)		13,780		13,914

Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (e)		30,175		30,208

Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (a) (e)		15,500		15,725

Progress Residential

Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 ‡ (a)		7,330		7,380

Series 2021-SFR1, Class F, 2.76%, 4/17/2038 ‡ (a)		12,000		11,913

Progress Residential Trust

Series 2020-SFR3, Class F, 2.80%, 10/17/2027 ‡ (a)		10,000		10,081

Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a)		7,000		7,169

Series 2018-SFR3, Class E, 4.87%, 10/17/2035 ‡ (a)		10,490		10,496

Series 2018-SFR3, Class F, 5.37%, 10/17/2035 ‡ (a)		3,000		3,013


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2019-SFR4, Class E, 3.44%, 10/17/2036 ‡ (a)		8,180		8,327

Series 2020-SFR2, Class GREG, PO, 6/17/2037 (a)		19,442		17,194

Series 2020-SFR2, Class B, 2.58%, 6/17/2037 ‡ (a)		12,081		12,404

Series 2020-SFR2, Class C, 3.08%, 6/17/2037 ‡ (a)		9,097		9,404

Series 2020-SFR2, Class D, 3.87%, 6/17/2037 ‡ (a)		9,656		10,027

Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 ‡ (a)		15,150		15,266

Series 2021-SFR8, Class E1, 2.38%, 9/17/2038 (a)		24,695		24,712

Regional Management Issuance Trust

Series 2021-1, Class D, 5.07%, 3/17/2031 ‡ (a)		2,100		2,160

Renew (Cayman Islands)

Series 2017-1A, Class A, 3.67%, 9/20/2052 (a)		1,391		1,465

Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)		1,679		1,720

Series 2017-2A, Class A, 3.22%, 9/22/2053 (a)		15,662		16,444

Santander Drive Auto Receivables Trust

Series 2018-1, Class D, 3.32%, 3/15/2024		9,643		9,732

Series 2019-1, Class C, 3.42%, 4/15/2025		3,868		3,888

Series 2019-2, Class D, 3.22%, 7/15/2025		28,260		29,097

Series 2021-2, Class D, 1.35%, 7/15/2027		13,400		13,502

Santander Prime Auto Issuance Notes Trust Series 2018-A, Class E, 5.04%, 9/15/2025 (a)		1,714		1,757

Santander Revolving Auto Loan Trust

Series 2019-A, Class A, 2.51%, 1/26/2032 (a)		32,715		34,484

Series 2019-A, Class C, 3.00%, 1/26/2032 (a)		10,750		11,320

Series 2019-A, Class D, 3.45%, 1/26/2032 (a)		7,500		7,869

SCF Equipment Leasing LLC

Series 2019-2A, Class G, 6.00%, 10/20/2031 ‡ (a)		10,662		10,890

Series 2020-1A, Class G, 6.00%, 4/20/2032 ‡ (a)		2,993		3,058


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2021-1A, Class F, 5.52%, 8/20/2032 ‡ (a)		40,000		40,357

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 ‡ (e)		152		153

Sierra Timeshare Receivables Funding LLC

Series 2018-2A, Class C, 3.94%, 6/20/2035 ‡ (a)		3,547		3,643

Series 2019-1A, Class D, 4.75%, 1/20/2036 ‡ (a)		3,128		3,219

Series 2021-1A, Class D, 3.17%, 11/20/2037 ‡ (a)		7,990		8,058

Soundview Home Loan Trust Series 2007-OPT1, Class 2A1, 0.16%, 6/25/2037 ‡ (j)		924		740

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		670		688

Springleaf Funding Trust Series 2015-BA, Class B, 3.80%, 5/15/2028 ‡ (a)		11,450		11,480

Spruce ABS Trust Series 2016-E1, Class B, 6.90%, 6/15/2028 ‡ (a)		7,600		7,973

Tidewater Auto Receivables Trust Series 2018-AA, Class D, 4.30%, 11/15/2024 (a)		2,214		2,228

Towd Point Mortgage Trust Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (a) (e)		9,342		9,439

Tricolor Auto Securitization Trust

Series 2018-2A, Class D, 7.98%, 8/15/2022 (a)		10,947		10,948

Series 2020-1A, Class B, 8.25%, 11/15/2026 (a)		14,295		14,630

Tricon American Homes Trust

Series 2019-SFR1, Class F, 3.75%, 3/17/2038 ‡ (a)		7,000		7,187

UAL Pass-Through Trust Series 2007-1, 6.64%, 7/2/2022		576		595

United Airlines Pass-Through Trust

Series 2012-1, Class A, 4.15%, 4/11/2024		121		128

Series 2013-1, Class A, 4.30%, 8/15/2025		457		494

Series 2016-2, Class B, 3.65%, 10/7/2025		1,400		1,396

Series 2014-1, Class A, 4.00%, 4/11/2026		2,506		2,653

Series 2014-2, Class A, 3.75%, 9/3/2026		398		421


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2016-1, Class AA, 3.10%, 7/7/2028		1,073		1,125

Series 2016-2, Class AA, 2.88%, 10/7/2028		1,467		1,498

Series 2016-2, Class A, 3.10%, 10/7/2028		819		814

Series 2018-1, Class AA, 3.50%, 3/1/2030		15,452		16,111

Series 2018-1, Class A, 3.70%, 3/1/2030		1,099		1,131

Series 2019-1, Class AA, 4.15%, 8/25/2031		1,377		1,502

Series 2019-1, Class A, 4.55%, 8/25/2031		1,641		1,765

Series 2019-2, Class AA, 2.70%, 5/1/2032		1,789		1,799

US Auto Funding Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)		7,000		6,999

US Auto Funding LLC Series 2019-1A, Class C, 5.34%, 3/15/2023 (a)		5,000		5,062

USASF Receivables LLC

Series 2020-1A, Class B, 3.22%, 5/15/2024 (a)		5,937		6,044

Series 2020-1A, Class C, 5.94%, 8/15/2024 (a)		4,000		4,191

VCAT LLC Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (e)		6,019		6,014

Verizon Owner Trust Series 2019-A, Class A1A, 2.93%, 9/20/2023		4,649		4,696

Veros Automobile Receivables Trust Series 2018-1, Class D, 5.74%, 8/15/2025 (a)		6,700		6,708

VM DEBT TRUST Series 2019-1, 9.50%, 5/31/2024		56,321		55,511

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (e)		23,292		23,326

VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (e)		15,902		15,946

VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (e)		10,199		10,220

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (e)		34,584		34,620

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (e)		19,222		19,238

Welk Resorts LLC Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (a)		4,517		4,631

Westgate Resorts LLC

Series 2018-1A, Class A, 3.38%, 12/20/2031 (a)		4,217		4,262


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2018-1A, Class B, 3.58%, 12/20/2031 ‡ (a)		3,160		3,202

Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (a)		13,910		14,641

World Financial Network Credit Card Master Trust Series 2019-A, Class A, 3.14%, 12/15/2025		16,200		16,417

World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023		7,837		7,881


Total Asset-Backed Securities (Cost $2,248,950)				2,295,301

U.S. Treasury Obligations — 13.3%

U.S. Treasury Bonds

8.00%, 11/15/2021		7,920		8,048

5.25%, 2/15/2029		2,500		3,243

4.50%, 5/15/2038		3,890		5,550

3.50%, 2/15/2039		85		109

4.50%, 8/15/2039		91,997		132,616

1.13%, 5/15/2040		42,248		37,637

4.38%, 5/15/2040		511		730

4.75%, 2/15/2041		35,372		53,122

2.25%, 5/15/2041		47,273		50,582

4.38%, 5/15/2041		37,318		53,658

2.75%, 8/15/2042		9,000		10,413

2.75%, 11/15/2042		70,713		81,820

3.63%, 8/15/2043		17,780		23,467

3.75%, 11/15/2043		16,856		22,684

2.50%, 2/15/2045		53,620		59,734

3.00%, 5/15/2045		8,910		10,808

2.88%, 8/15/2045		45,620		54,254

2.50%, 5/15/2046		96,775		108,142

2.75%, 11/15/2047		73,700		86,485

3.38%, 11/15/2048		54,695		71,909

2.38%, 11/15/2049		89,940		98,909

2.00%, 2/15/2050		144,765		147,095

2.38%, 5/15/2051		155,900		172,172

U.S. Treasury Inflation Indexed Bonds 3.63%, 4/15/2028		1,000		2,278

U.S. Treasury Notes

2.13%, 6/30/2022 (m)		6,985		7,104

2.00%, 8/15/2025 (m)		11,953		12,604

1.63%, 5/15/2026		10,909		11,353

1.88%, 7/31/2026		197,103		207,652

1.13%, 2/28/2027		51,774		52,530

1.25%, 3/31/2028		19,705		19,984


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


1.25%, 4/30/2028		50,460		51,144

1.50%, 2/15/2030		132,273		135,399

U.S. Treasury STRIPS Bonds

2.48%, 5/15/2022 (n)		7,390		7,388

4.51%, 11/15/2022 (n)		5,000		4,992

3.09%, 2/15/2023 (n)		225		225

2.14%, 8/15/2023 (n)		15		15

6.23%, 2/15/2028 (n)		2,615		2,436

2.25%, 5/15/2029 (n)		61,050		55,308

1.69%, 11/15/2030 (n)		15,252		13,376

2.50%, 5/15/2032 (n)		15,038		12,743

1.52%, 8/15/2032 (n)		20,025		16,874

1.93%, 5/15/2033 (n)		118,886		98,535

5.33%, 11/15/2033 (n)		24,367		19,972

1.03%, 8/15/2039 (n)		36,140		26,578

3.01%, 8/15/2040 (n)		30,000		20,734

2.93%, 8/15/2041 (n)		94,093		63,170

3.60%, 2/15/2042 (n)		10,721		7,100

3.29%, 5/15/2042 (n)		19,049		12,523

3.42%, 11/15/2042 (n)		7,855		5,097

2.21%, 11/15/2043 (n)		25,730		16,335

1.50%, 2/15/2050 (n)		34,240		19,519


Total U.S. Treasury Obligations (Cost $2,097,769)				2,196,155

Commercial Mortgage-Backed Securities — 11.2%

20 Times Square Trust Series 2018-20TS, Class F, 3.20%, 5/15/2035 ‡(a) (j)		24,120		23,389

ACRE Commercial Mortgage Ltd. (Cayman Islands)

Series 2021-FL4, Class B, 1.49%, 12/18/2037 ‡(a) (j)		1,570		1,566

Series 2021-FL4, Class C, 1.84%, 12/18/2037 ‡(a) (j)		9,000		8,989

BAMLL Re-REMIC Trust

Series 2013-FRR2, Class B, PO, 9/26/2022 (a)		8,992		8,605

Series 2014-FRR4, Class BK29, PO, 4/27/2023 (a)		8,600		8,255

Series 2013-FRR3, Class A, PO, 6/26/2023 (a)		14,650		13,567

Series 2016-FR13, Class A, 1.50%, 8/27/2045 (a) (j)		16,500		16,445

Series 2016-FR13, Class B, 1.99%, 8/27/2045 (a) (j)		10,308		10,270

Series 2014-FRR5, Class BK37, PO, 1/27/2047 (a)		10,000		9,007


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2014-FRR5, Class AK37, 2.47%, 1/27/2047 (a) (j)		15,570		15,625

Series 2014-FRR8, Class A, 2.09%, 11/26/2047 (a) (j)		12,000		11,979

Bancorp Commercial Mortgage Trust Series 2019-CRE6, Class D, 2.46%, 9/15/2036 ‡ (a) (j)		3,000		2,986

BANK Series 2019-BN19, Class A3, 3.18%, 8/15/2061		10,000		10,991

BBCCRE Trust Series 2015-GTP, Class A, 3.97%, 8/10/2033 (a)		9,400		10,265

BB-UBS Trust

Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a)		13,922		14,749

Series 2012-SHOW, Class E, 4.16%, 11/5/2036 (a) (j)		12,692		10,846

BMD2 Re-REMIC Trust

Series 2019-FRR1, Class 1A1, 2.58%, 5/25/2052 (a) (j)		5,869		5,830

Series 2019-FRR1, Class 1A5, 4.28%, 5/25/2052 (a) (j)		3,242		3,234

BWAY Mortgage Trust Series 2013-1515, Class F, 4.06%, 3/10/2033 ‡ (a) (j)		5,000		5,150

BX

Series 2021-MFM1, Class E, 2.35%, 1/15/2034 ‡ (a) (j)		3,250		3,253

Series 2021-MFM1, Class F, 3.10%, 1/15/2034 ‡ (a) (j)		2,000		2,012

CFCRE Commercial Mortgage Trust Series 2011-C2, Class D, 5.96%, 12/15/2047 ‡ (a) (j)		5,000		5,001

Citigroup Commercial Mortgage Trust Series 2020-GC46, Class A5, 2.72%, 2/15/2053		47,647		50,688

Commercial Mortgage Trust

Series 2013-WWP, Class A2, 3.42%, 3/10/2031 (a)		6,100		6,342

Series 2018-HOME, Class A, 3.94%, 4/10/2033 (a) (j)		23,900		26,628

Series 2020-CBM, Class D, 3.75%, 2/10/2037 ‡ (a) (j)		8,750		8,942

Series 2012-CR2, Class XA, IO, 1.77%, 8/15/2045 ‡ (j)		19,528		134

Series 2015-CR24, Class A5, 3.70%, 8/10/2048		8,032		8,786

Series 2015-CR25, Class A4, 3.76%, 8/10/2048		6,856		7,536

Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 ‡ (a) (j)		9,334		—	(k)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


CSAIL Commercial Mortgage Trust

Series 2017-CX10, Class UESC, 4.38%, 10/15/2032 ‡ (a) (j)		19,159		18,868

Series 2015-C3, Class A4, 3.72%, 8/15/2048		12,304		13,428

CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a)		15,200		14,473

FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M2, 3.80%, 1/25/2051 (a) (j)		22,534		23,770

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ13, Class A2, 2.86%, 8/25/2022		3,786		3,855

Series KJ18, Class A2, 3.07%, 8/25/2022		3,665		3,721

Series KJ09, Class A2, 2.84%, 9/25/2022		1,201		1,222

Series KJ07, Class A2, 2.31%, 12/25/2022		10,719		10,935

Series K727, Class AM, 3.04%, 7/25/2024		10,471		11,068

Series K048, Class A2, 3.28%, 6/25/2025 (j)		13,500		14,690

Series KC02, Class A2, 3.37%, 7/25/2025		31,000		32,951

Series KS07, Class A2, 2.74%, 9/25/2025		21,600		23,089

Series KJ17, Class A2, 2.98%, 11/25/2025		11,127		11,910

Series K052, Class A2, 3.15%, 11/25/2025		3,791		4,130

Series KS06, Class A2, 2.72%, 7/25/2026		10,080		10,730

Series K058, Class AM, 2.72%, 8/25/2026 (j)		20,000		21,567

Series K061, Class AM, 3.44%, 11/25/2026 (j)		10,012		11,184

Series K063, Class AM, 3.51%, 1/25/2027 (j)		25,610		28,784

Series K065, Class A2, 3.24%, 4/25/2027		6,633		7,380

Series K065, Class AM, 3.33%, 5/25/2027		3,557		3,969

Series KJ26, Class A2, 2.61%, 7/25/2027		19,000		20,398

Series K069, Class A2, 3.19%, 9/25/2027 (j)		10,340		11,530

Series K070, Class A2, 3.30%, 11/25/2027 (j)		6,045		6,791


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series W5FX, Class AFX, 3.34%, 4/25/2028 (j)		9,910		11,089

Series KL05, Class X1P, IO, 1.02%, 6/25/2029 (j)		175,800		11,614

Series KS11, Class AFX2, 2.65%, 6/25/2029		50,000		52,656

Series K152, Class A2, 3.08%, 1/25/2031		8,843		9,984

Series K128, Class X3, IO, 2.89%, 4/25/2031 (j)		12,850		2,817

Series KX04, Class XFX, IO, 1.86%, 1/25/2034 (j)		212,137		21,608

Series K-1520, Class X3, IO, 3.20%, 4/25/2039 (j)		4,450		1,491

Series Q014, Class X, IO, 2.80%, 10/25/2055 (j)		23,417		5,197

FNMA ACES

Series 2013-M7, Class A2, 2.28%, 12/27/2022		1,479		1,509

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (j)		4,801		5,090

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (j)		6,826		7,250

Series 2015-M1, Class A2, 2.53%, 9/25/2024		11,706		12,285

Series 2015-M7, Class A2, 2.59%, 12/25/2024		9,730		10,249

Series 2015-M8, Class A2, 2.90%, 1/25/2025 (j)		11,700		12,443

Series 2015-M5, Class A1, 2.96%, 3/25/2025 (j)		17,671		18,645

Series 2015-M13, Class A2, 2.80%, 6/25/2025 (j)		1,726		1,840

Series 2016-M6, Class A2, 2.49%, 5/25/2026		9,100		9,708

Series 2016-M7, Class A2, 2.50%, 9/25/2026		8,960		9,361

Series 2017-M1, Class A2, 2.50%, 10/25/2026 (j)		9,516		10,106

Series 2017-M3, Class A2, 2.56%, 12/25/2026 (j)		16,812		17,968

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (j)		8,438		9,280

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (j)		10,260		11,267

Series 2018-M2, Class A2, 3.00%, 1/25/2028 (j)		30,000		32,771

Series 2018-M4, Class A2, 3.15%, 3/25/2028 (j)		10,851		12,016


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2018-M7, Class A2, 3.15%, 3/25/2028 (j)		30,256		33,682

Series 2018-M10, Class A2, 3.48%, 7/25/2028 (j)		20,853		23,528

Series 2018-M14, Class A2, 3.70%, 8/25/2028 (j)		36,222		41,495

Series 2019-M1, Class A2, 3.67%, 9/25/2028 (j)		57,380		65,664

Series 2020-M38, Class 2A1, 1.59%, 11/25/2028		9,390		9,515

Series 2020-M38, Class X2, IO, 2.11%, 11/25/2028 (j)		39,845		4,858

Series 2019-M7, Class A2, 3.14%, 4/25/2029		20,540		22,848

Series 2017-M5, Class A2, 3.23%, 4/25/2029 (j)		28,567		32,031

Series 2019-M12, Class A2, 2.89%, 6/25/2029 (j)		27,815		30,641

Series 2018-M3, Class A2, 3.19%, 2/25/2030 (j)		7,528		8,460

Series 2020-M50, Class A1, 0.67%, 10/25/2030		17,094		16,843

Series 2020-M50, Class A2, 1.20%, 10/25/2030		5,950		5,925

Series 2020-M50, Class X1, IO, 2.02%, 10/25/2030 (j)		100,999		10,998

FREMF Mortgage Trust

Series 2015-K720, Class B, 3.51%, 7/25/2022 (a) (j)		11,227		11,466

Series 2015-K720, Class C, 3.51%, 7/25/2022 (a) (j)		11,500		11,735

Series 2017-K727, Class C, 3.87%, 7/25/2024 (a) (j)		3,200		3,378

Series 2018-KL2B, Class CB, 3.83%, 1/25/2025 (a) (j)		18,173		19,039

Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (j)		20,000		20,061

Series 2018-KSL1, Class C, 3.96%, 11/25/2025 (a) (j)		17,034		16,754

Series 2018-KBX1, Class C, 3.69%, 1/25/2026 (a) (j)		7,500		6,522

Series 2018-KHG1, Class C, 3.94%, 12/25/2027 (a) (j)		19,610		17,558

Series 2019-KBF3, Class C, 4.84%, 1/25/2029 (a) (j)		26,000		26,078

Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)		11,614		11,701

Series 2019-KL05, Class BHG, 4.52%, 2/25/2029 (a) (j)		3,605		3,703


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2019-KW10, Class B, 3.75%, 10/25/2032 (a) (j)		9,170		9,668

Series 2013-K25, Class C, 3.74%, 11/25/2045 (a) (j)		4,156		4,277

Series 2014-K38, Class C, 4.79%, 6/25/2047 (a) (j)		4,750		5,139

Series 2014-K39, Class C, 4.28%, 8/25/2047 (a) (j)		7,000		7,549

Series 2015-K721, Class B, 3.68%, 11/25/2047 (a) (j)		2,585		2,656

Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (j)		8,542		9,181

Series 2015-K718, Class C, 3.65%, 2/25/2048 (a) (j)		4,100		4,141

Series 2015-K45, Class B, 3.71%, 4/25/2048 (a) (j)		8,920		9,621

Series 2015-K46, Class C, 3.82%, 4/25/2048 (a) (j)		3,545		3,736

Series 2015-K48, Class B, 3.77%, 8/25/2048 (a) (j)		16,085		17,465

Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (j)		2,750		3,021

Series 2016-K55, Class B, 4.30%, 4/25/2049 (a) (j)		10,000		11,150

Series 2016-K56, Class B, 4.08%, 6/25/2049 (a) (j)		3,549		3,924

Series 2016-K722, Class B, 3.99%, 7/25/2049 (a) (j)		8,010		8,390

Series 2017-K68, Class B, 3.97%, 10/25/2049 (a) (j)		9,423		10,443

Series 2016-K59, Class B, 3.70%, 11/25/2049 (a) (j)		4,714		5,139

Series 2017-K61, Class C, 3.81%, 12/25/2049 (a) (j)		5,345		5,651

Series 2017-K63, Class B, 4.00%, 2/25/2050 (a) (j)		11,895		13,131

Series 2017-K63, Class C, 4.00%, 2/25/2050 (a) (j)		5,000		5,374

Series 2018-K74, Class B, 4.23%, 2/25/2051 (a) (j)		10,000		11,222

FRR Re-REMIC Trust

Series 2018-C1, Class C720, 0.00%, 8/27/2047 ‡ (a) (j)		7,500		7,246

Series 2018-C1, Class B720, 2.03%, 8/27/2047 ‡ (a) (j)		4,500		4,460

Series 2018-C1, Class A720, 3.01%, 8/27/2047 (a)		6,500		6,502

Series 2018-C1, Class BK43, 2.85%, 2/27/2048 ‡ (a) (j)		8,000		7,996


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2018-C1, Class AK43, 3.05%, 2/27/2048 (a)		5,000		5,086

Series 2018-C1, Class A725, 2.76%, 2/27/2050 (a)		3,000		3,023

Series 2018-C1, Class B725, 3.01%, 2/27/2050 ‡ (a) (j)		6,680		6,719

GS Mortgage Securities Trust Series 2019-GC38, Class A4, 3.97%, 2/10/2052		31,100		35,728

Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)		16,270		17,209

JPMCC Re-REMIC Trust

Series 2015-FRR2, Class AK36, 2.14%, 12/27/2046 (a) (j)		5,000		5,018

Series 2015-FRR2, Class BK39, PO, 8/27/2047 (a)		4,045		3,609

Series 2015-FRR2, Class AK39, 2.81%, 8/27/2047 (a) (j)		10,600		10,781

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2005-CB11, Class X1, IO, 0.23%, 8/12/2037 ‡ (a) (j)		2,639		—	(k)

Series 2006-CB15, Class X1, IO, 0.38%, 6/12/2043 ‡ (j)		2,836		—	(k)

Series 2010-C2, Class XA, IO, 1.80%, 11/15/2043 ‡ (a) (j)		1,132		2

Series 2006-LDP8, Class X, IO, 0.23%, 5/15/2045 ‡ (j)		24		—	(k)

KKR Industrial Portfolio Trust Series 2021-KDIP, Class F, 2.15%, 12/15/2037 ‡ (a) (j)		5,250		5,257

MF1 Multi-Family Housing Mortgage Loan Trust Series 2019-Q009, Class B, 2.84%, 4/25/2024 ‡ (a) (j)		3,425		3,421

MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 2.70%, 4/15/2038 ‡ (a) (j)		24,400		24,551

ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 1.37%, 12/12/2049 ‡ (a) (j)		47		—	(k)

MRCD MARK Mortgage Trust Series 2019-PARK, Class F, 2.72%, 12/15/2036 ‡ (a)		42,000		41,250

Multi-Family Connecticut Avenue Securities Trust Series 2020-01, Class M10, 3.83%, 3/25/2050 ‡ (a) (j)		5,000		5,237

PFP Ltd. (Cayman Islands)

Series 2021-7, Class C, 1.75%, 4/14/2038 ‡ (a) (j)		8,415		8,383


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-7, Class D, 2.50%, 4/14/2038 ‡ (a) (j)		14,539		14,476

SBALR Commercial Mortgage Trust Series 2020-RR1, Class XA, IO, 1.41%, 2/13/2053 (a) (j)		70,973		6,136

Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a)		40,000		41,858

Series RR Trust Series 2015-1, Class A, PO, 4/26/2048 (a)		3,000		2,792

Series 2015-1, Class B, PO, 4/26/2048 (a)		19,000		17,252

UBS Commercial Mortgage Trust Series 2012-C1, Class XA, IO, 2.20%, 5/10/2045 (a) (j)		5,646		18

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		2,191		2,203

UBS-Barclays Commercial Mortgage Trust

Series 2012-C2, Class XA, IO, 1.43%, 5/10/2063 ‡ (a) (j)		11,283		76

Series 2012-C2, Class A4, 3.53%, 5/10/2063		1,560		1,585

VNDO Mortgage Trust Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (a)		5,291		5,413

Wachovia Bank Commercial Mortgage Trust Series 2007-C30, Class XC, IO, 0.23%, 12/15/2043 ‡ (a) (j)		385		—	(k)

Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A4, 3.66%, 9/15/2058		7,598		8,317

Wells Fargo Re-REMIC Trust Series 2013-FRR1, Class AK16, PO, 12/27/2043 (a)		6,000		5,973

WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.38%, 3/15/2045 ‡ (a) (j)		6,640		6,576

Worldwide Plaza Trust Series 2017-WWP, Class A, 3.53%, 11/10/2036 (a)		12,837		14,078

Total Commercial Mortgage-Backed Securities (Cost $1,743,097)				1,853,349

Collateralized Mortgage Obligations — 5.5%

ACC 0.00%, 9/15/2022 ‡		13,206		13,206

Acre 6.25%, 12/22/2021 ‡		9,464		9,369

Series 2017-B, 8.39%, 12/22/2021 ‡		6,764		6,696

Alternative Loan Trust

Series 2005-J6, Class 2A1, 5.50%, 7/25/2025		10		10


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2003-J3, Class 2A1, 6.25%, 12/25/2033		17			17

Series 2004-22CB, Class 1A1, 6.00%, 10/25/2034		367			379

Series 2005-23CB, Class A2, 5.50%, 7/25/2035		191			184

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		766			718

Series 2005-86CB, Class A11, 5.50%, 2/25/2036		377			301

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		122			87

American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (j)		4			4

Anchor Mortgage Trust Series 2021-1, Class A2, 3.65%, 10/25/2026 (a) (e)		12,857			13,009

Banc of America Alternative Loan Trust Series 2004-6, Class 4A1, 5.00%, 7/25/2019		10			10

Banc of America Funding Trust

Series 2005-5, Class 3A5, 5.50%, 8/25/2035		1,326			1,388

Series 2005-7, Class 30, PO, 11/25/2035 ‡		41			40

Banc of America Mortgage Trust Series 2004-F, Class 1A1, 2.45%, 7/25/2034 (j)		81			83

Bayview Opportunity Master Fund IVB LP 3.20%, 1/10/2031 ‡ (j)		10,050			10,050

Bayview Opportunity Master Fund Trust Series 2014-1SBC, Zero Coupon, 1/10/2031 ‡		3,400			3,400

Bear Stearns ARM Trust Series 2003-7, Class 3A, 2.53%, 10/25/2033 (j)		16			16

Bear Stearns Mortgage Securities, Inc. Series 1997-6, Class 1A, 6.28%, 3/25/2031 (j)		—	(k)		—	(k)

Cascade MH Asset Trust

Series 2021-MH1, Class B1, 4.57%, 2/25/2046 ‡ (a)		2,500			2,646

Series 2021-MH1, Class B2, 5.57%, 2/25/2046 ‡ (a)		2,550			2,692

Chase Mortgage Finance Trust Series 2007-A2, Class 2A1, 2.52%, 6/25/2035 (j)		485			492

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		4			—	(k)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-3, Class A25, 5.75%, 4/25/2034		101			100

Series 2004-5, Class 2A9, 5.25%, 5/25/2034		130			133

Series 2005-22, Class 2A1, 2.58%, 11/25/2035(j)		201			193

Citicorp Mortgage Securities Trust Series 2006-1, Class 2A1, 5.00%, 2/25/2021		6			6

Citigroup Mortgage Loan Trust, Inc.

Series 2004-UST1, Class A3, 2.21%, 8/25/2034 (j)		42			42

Series 2004-HYB4, Class AA, 0.41%, 12/25/2034 (j)		35			37

Credit Suisse First Boston Mortgage Securities Corp.

Series 2005-7, Class 5A1, 4.75%, 8/25/2020		1			—	(k)

Series 2005-1, Class 1A16, 5.50%, 2/25/2035		42			42

CSFB Mortgage-Backed Pass-Through Certificates

Series 2005-10, Class 6A13, 5.50%, 11/25/2035		217			133

Series 2005-10, Class 10A4, 6.00%, 11/25/2035		209			83

CVS Pass-Through Trust

Series 2009, 8.35%, 7/10/2031 (a)		264			345

5.77%, 1/10/2033 (a)		335			398

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, Class 4A, PO, 6/25/2035 ‡		20			17

DLJ Mortgage Acceptance Corp. Series 1993-19, Class A7, 6.75%, 1/25/2024		43			43

FHLMC — GNMA

Series 24, Class J, 6.25%, 11/25/2023		71			74

Series 23, Class KZ, 6.50%, 11/25/2023		9			10

Series 31, Class Z, 8.00%, 4/25/2024		7			7

FHLMC, REMIC

Series 1316, Class Z, 8.00%, 6/15/2022		3			3

Series 1343, Class LB, 7.50%, 8/15/2022		1			1

Series 1351, Class TF, HB, 1,010.00%, 8/15/2022		—	(k)		—	(k)

Series 1456, Class Z, 7.50%, 1/15/2023		3			3

Series 1543, Class VN, 7.00%, 7/15/2023		29			30


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1911, Class SD, IF, IO, 10.17%, 7/15/2023 (j)		11		1

Series 2033, Class K, 6.05%, 8/15/2023		37		38

Series 1577, Class PV, 6.50%, 9/15/2023		28		29

Series 1608, Class L, 6.50%, 9/15/2023		57		60

Series 3890, Class ET, 5.50%, 11/15/2023		30		31

Series 1630, Class PK, 6.00%, 11/15/2023		21		22

Series 1611, Class Z, 6.50%, 11/15/2023		57		60

Series 1628, Class LZ, 6.50%, 12/15/2023		46		48

Series 2756, Class NA, 5.00%, 2/15/2024		37		39

Series 1671, Class I, 7.00%, 2/15/2024		15		16

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (j)		9		10

Series 1695, Class G, HB, IF, 30.06%, 3/15/2024 (j)		5		5

Series 1710, Class GB, HB, IF, 45.45%, 4/15/2024 (j)		3		3

Series 2989, Class TG, 5.00%, 6/15/2025		93		98

Series 3005, Class ED, 5.00%, 7/15/2025		146		154

Series 4030, Class IL, IO, 3.50%, 4/15/2027		703		41

Series 4060, Class TB, 2.50%, 6/15/2027		4,000		4,163

Series 2022, Class PE, 6.50%, 1/15/2028		11		12

Series 2036, Class PG, 6.50%, 1/15/2028		68		76

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		13		1

Series 2091, Class PG, 6.00%, 11/15/2028		202		227

Series 2116, Class ZA, 6.00%, 1/15/2029		48		55

Series 2148, Class ZA, 6.00%, 4/15/2029		13		15

Series 2995, Class FT, 0.35%, 5/15/2029 (j)		68		68

Series 2530, Class SK, IF, IO, 8.00%, 6/15/2029 (j)		219		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2201, Class C, 8.00%, 11/15/2029		38		44

Series 3648, Class CY, 4.50%, 3/15/2030		398		438

Series 3737, Class DG, 5.00%, 10/15/2030		117		124

Series 2293, Class ZA, 6.00%, 3/15/2031		74		85

Series 2310, Class Z, 6.00%, 4/15/2031		10		12

Series 2313, Class LA, 6.50%, 5/15/2031		4		5

Series 2325, Class JO, PO, 6/15/2031		44		42

Series 2330, Class PE, 6.50%, 6/15/2031		111		128

Series 2410, Class QB, 6.25%, 2/15/2032		272		310

Series 2534, Class SI, HB, IF, 20.81%, 2/15/2032 (j)		30		43

Series 2427, Class GE, 6.00%, 3/15/2032		445		519

Series 2430, Class WF, 6.50%, 3/15/2032		342		403

Series 2594, Class IV, IO, 7.00%, 3/15/2032		61		7

Series 2643, Class SA, HB, IF, 44.88%, 3/15/2032 (j)		10		19

Series 2466, Class DH, 6.50%, 6/15/2032		38		44

Series 4146, Class KI, IO, 3.00%, 12/15/2032		3,690		380

Series 2543, Class YX, 6.00%, 12/15/2032		186		215

Series 2557, Class HL, 5.30%, 1/15/2033		123		142

Series 2586, IO, 6.50%, 3/15/2033		214		21

Series 2610, Class UI, IO, 6.50%, 5/15/2033		161		34

Series 2764, Class S, IF, 13.51%, 7/15/2033 (j)		24		31

Series 2656, Class AC, 6.00%, 8/15/2033		91		108

Series 2733, Class SB, IF, 7.92%, 10/15/2033 (j)		240		277

Series 3005, Class PV, IF, 12.58%, 10/15/2033 (j)		3		3

Series 2699, Class W, 5.50%, 11/15/2033		194		226

Series 2990, Class SL, HB, IF, 24.14%, 6/15/2034 (j)		13		15


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3611, PO, 7/15/2034		48		45

Series 2845, Class QH, 5.00%, 8/15/2034		156		176

Series 2912, Class EH, 5.50%, 1/15/2035		699		814

Series 4710, Class UV, 4.00%, 2/15/2035		2,000		2,018

Series 3059, Class B, 5.00%, 2/15/2035		4		4

Series 2980, Class QB, 6.50%, 5/15/2035		20		24

Series 3031, Class BN, HB, IF, 21.51%, 8/15/2035 (j)		245		437

Series 3117, Class EO, PO, 2/15/2036		89		83

Series 3134, PO, 3/15/2036		27		26

Series 3152, Class MO, PO, 3/15/2036		188		177

Series 3184, Class YO, PO, 3/15/2036		354		319

Series 3138, PO, 4/15/2036		28		26

Series 3187, Class Z, 5.00%, 7/15/2036		798		903

Series 3542, Class TN, IF, 6.00%, 7/15/2036 (j)		16		19

Series 3201, Class IN, IF, IO, 6.16%, 8/15/2036 (j)		146		20

Series 3202, Class HI, IF, IO, 6.55%, 8/15/2036 (j)		666		140

Series 3855, Class AM, 6.50%, 11/15/2036		154		177

Series 3274, Class B, 6.00%, 2/15/2037		74		84

Series 3292, Class DO, PO, 3/15/2037		54		50

Series 3306, Class TC, IF, 2.31%, 4/15/2037 (j)		14		15

Series 3306, Class TB, IF, 2.85%, 4/15/2037 (j)		16		17

Series 3305, Class IW, IF, IO, 6.35%, 4/15/2037 (j)		243		23

Series 3331, PO, 6/15/2037		38		35

Series 3605, Class NC, 5.50%, 6/15/2037		485		563

Series 3383, Class OP, PO, 11/15/2037		74		69

Series 3409, Class DB, 6.00%, 1/15/2038		365		430

Series 3546, Class A, 1.74%, 2/15/2039 (j)		64		66

Series 3531, Class SM, IF, IO, 6.00%, 5/15/2039 (j)		23		4


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3572, Class JS, IF, IO, 6.70%, 9/15/2039 (j)		81		12

Series 3592, Class BZ, 5.00%, 10/15/2039		1,873		2,116

Series 3610, Class CA, 4.50%, 12/15/2039		178		200

Series 3609, Class SA, IF, IO, 6.24%, 12/15/2039 (j)		445		67

Series 3653, Class HJ, 5.00%, 4/15/2040		95		108

Series 3677, Class PB, 4.50%, 5/15/2040		1,370		1,499

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (j)		159		173

Series 4796, Class CZ, 4.00%, 5/15/2048		17,489		18,916

Series 4807, Class EZ, 4.00%, 7/15/2048		4,003		4,302

Series 4822, Class ZB, 4.00%, 7/15/2048		5,510		5,852

Series 4830, Class WZ, 4.00%, 9/15/2048		17,406		18,753

FHLMC, STRIPS

Series 186, PO, 8/1/2027		90		89

Series 262, Class 35, 3.50%, 7/15/2042		2,672		2,904

Series 279, Class 35, 3.50%, 9/15/2042		777		838

Series 323, Class 300, 3.00%, 1/15/2044		3,169		3,340

Series 334, Class 300, 3.00%, 8/15/2044		2,608		2,760

FHLMC, Structured Pass-Through Certificates, Whole Loan Series T-76, Class 2A, 1.68%, 10/25/2037 (j)		281		286

First Horizon Alternative Mortgage Securities Trust Series 2004-AA3, Class A1, 2.27%, 9/25/2034 (j)		83		83

First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 3.27%, 12/25/2034 (j)		71		73

FMC GMSR Issuer Trust 3.69%, 2/25/2024		52,515		52,604

Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (j)		15,000		14,999

Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (j)		8,000		7,995

FNMA Trust, Whole Loan

Series 2003-W3, Class 2A5, 5.36%, 6/25/2042		10		12


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-W6, Class 1A41, 5.40%, 10/25/2042		112		128

Series 2004-W2, Class 1A, 6.00%, 2/25/2044		147		167

Series 2004-W9, Class 1A3, 6.05%, 2/25/2044		261		299

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		41		49

Series 2004-W8, Class 3A, 7.50%, 6/25/2044		100		119

Series 2005-W4, Class 1A1, 6.00%, 8/25/2045		183		209

FNMA, Grantor Trust, Whole Loan

Series 2001-T12, IO, 0.50%, 8/25/2041 (j)		10,505		123

Series 2002-T4, IO, 0.40%, 12/25/2041 (j)		22,575		165

Series 2002-T4, Class A2, 7.00%, 12/25/2041		262		307

Series 2002-T4, Class A4, 9.50%, 12/25/2041		441		535

Series 2002-T19, Class A1, 6.50%, 7/25/2042		377		450

Series 2002-T16, Class A2, 7.00%, 7/25/2042		437		526

Series 2004-T2, Class 1A3, 7.00%, 11/25/2043		149		178

Series 2004-T2, Class 1A4, 7.50%, 11/25/2043		169		197

Series 2004-T1, Class 1A1, 6.00%, 1/25/2044		179		207

Series 2004-T3, Class 14, IO, 0.59%, 2/25/2044 (j)		3,411		43

FNMA, REMIC

Series 1991-141, Class PZ, 8.00%, 10/25/2021		—(k)		—(k)

Series 1992-31, Class M, 7.75%, 3/25/2022		—(k)		—(k)

Series G92-30, Class Z, 7.00%, 6/25/2022		—(k)		—(k)

Series 1992-101, Class J, 7.50%, 6/25/2022		1		1

Series 1992-79, Class Z, 9.00%, 6/25/2022		1		1

Series G92-62, Class B, PO, 10/25/2022		1		1

Series 1995-4, Class Z, 7.50%, 10/25/2022		12		12

Series 1992-200, Class SK, HB, IF, 25.25%, 11/25/2022 (j)		8		8


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1997-37, Class SM, IF, IO, 7.92%, 12/25/2022 (j)		—(k)		—(k)

Series 2003-17, Class EQ, 5.50%, 3/25/2023		45		46

Series 1993-23, Class PZ, 7.50%, 3/25/2023		1		1

Series 1993-56, Class PZ, 7.00%, 5/25/2023		10		10

Series 1993-60, Class Z, 7.00%, 5/25/2023		5		6

Series 1993-79, Class PL, 7.00%, 6/25/2023		7		7

Series 1993-141, Class Z, 7.00%, 8/25/2023		18		19

Series 1993-149, Class M, 7.00%, 8/25/2023		10		10

Series 1993-205, Class H, PO, 9/25/2023		—(k)		–(k)

Series 1993-160, Class ZA, 6.50%, 9/25/2023		15		15

Series 1993-165, Class SA, IF, 19.67%, 9/25/2023 (j)		4		4

Series 1995-19, Class Z, 6.50%, 11/25/2023		72		77

Series 1993-255, Class E, 7.10%, 12/25/2023		3		3

Series 1993-247, Class SM, HB, IF, 29.58%, 12/25/2023 (j)		3		4

Series 1994-29, Class Z, 6.50%, 2/25/2024		40		42

Series 1994-65, Class PK, PO, 4/25/2024		6		6

Series 1997-20, Class D, 7.00%, 3/17/2027		50		55

Series 1997-11, Class E, 7.00%, 3/18/2027		12		13

Series 1997-27, Class J, 7.50%, 4/18/2027		6		7

Series 2012-46, Class KI, IO, 3.50%, 5/25/2027		1,144		63

Series 1997-42, Class EG, 8.00%, 7/18/2027		75		84

Series 1997-63, Class ZA, 6.50%, 9/18/2027		45		50

Series 2013-13, Class IK, IO, 2.50%, 3/25/2028		4,217		196

Series 1998-66, Class FB, 0.43%, 12/25/2028 (j)		8		8

Series 1999-47, Class JZ, 8.00%, 9/18/2029		154		178


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2000-8, Class Z, 7.50%, 2/20/2030		78		91

Series 2001-36, Class ST, IF, IO, 8.42%, 11/25/2030 (j)		90		15

Series 2001-14, Class Z, 6.00%, 5/25/2031		60		66

Series 2001-16, Class Z, 6.00%, 5/25/2031		85		97

Series 2001-72, Class SB, IF, IO, 7.42%, 12/25/2031 (j)		221		29

Series 2001-81, Class HE, 6.50%, 1/25/2032		418		493

Series 2002-19, Class SC, IF, 14.01%, 3/17/2032 (j)		30		35

Series 2002-56, Class PE, 6.00%, 9/25/2032		477		552

Series 2002-86, Class PG, 6.00%, 12/25/2032		363		428

Series 2012-148, Class IE, IO, 3.00%, 1/25/2033		3,762		414

Series 2003-25, Class KP, 5.00%, 4/25/2033		1,080		1,211

Series 2003-22, Class Z, 6.00%, 4/25/2033		234		272

Series 2003-47, Class PE, 5.75%, 6/25/2033		296		338

Series 2003-64, Class SX, IF, 13.51%, 7/25/2033 (j)		20		25

Series 2003-91, Class SD, IF, 12.36%, 9/25/2033 (j)		5		6

Series 2003-130, Class HZ, 6.00%, 1/25/2034		8,404		9,669

Series 2004-72, Class F, 0.58%, 9/25/2034 (j)		83		83

Series 2005-19, Class PB, 5.50%, 3/25/2035		2,196		2,508

Series 2005-42, Class PS, IF, 16.79%, 5/25/2035 (j)		5		6

Series 2005-51, Class MO, PO, 6/25/2035		16		14

Series 2005-53, Class CS, IF, IO, 6.62%, 6/25/2035 (j)		368		39

Series 2005-65, Class KO, PO, 8/25/2035		60		56

Series 2005-72, Class WS, IF, IO, 6.67%, 8/25/2035 (j)		161		23

Series 2005-84, Class XM, 5.75%, 10/25/2035		82		93

Series 2005-90, Class ES, IF, 16.66%, 10/25/2035 (j)		36		50


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-106, Class US, HB, IF, 24.26%, 11/25/2035 (j)		36		51

Series 2006-9, Class KZ, 6.00%, 3/25/2036		200		233

Series 2006-22, Class AO, PO, 4/25/2036		113		106

Series 2006-27, Class OB, PO, 4/25/2036		775		705

Series 2006-27, Class OH, PO, 4/25/2036		36		34

Series 2006-20, Class IB, IF, IO, 6.51%, 4/25/2036 (j)		186		35

Series 2011-19, Class ZY, 6.50%, 7/25/2036		170		203

Series 2006-77, Class PC, 6.50%, 8/25/2036		167		192

Series 2006-110, PO, 11/25/2036		97		90

Series 2006-128, PO, 1/25/2037		102		94

Series 2007-10, Class Z, 6.00%, 2/25/2037		31		37

Series 2007-22, Class SC, IF, IO, 6.00%, 3/25/2037 (j)		34		1

Series 2008-93, Class AM, 5.50%, 6/25/2037		18		19

Series 2007-54, Class IB, IF, IO, 6.33%, 6/25/2037 (j)		3,311		643

Series 2007-68, Class IA, IO, 6.50%, 6/25/2037		6		—	(k)

Series 2007-109, Class YI, IF, IO, 6.37%, 12/25/2037 (j)		1,835		346

Series 2008-91, Class SI, IF, IO, 5.92%, 3/25/2038 (j)		470		52

Series 2010-70, Class SA, IF, IO, 6.00%, 4/25/2038 (j)		649		118

Series 2008-62, Class SM, IF, IO, 6.12%, 7/25/2038 (j)		614		77

Series 2009-29, Class LA, 1.34%, 5/25/2039 (j)		288		288

Series 2009-52, Class PI, IO, 5.00%, 7/25/2039		208		31

Series 2009-112, Class ST, IF, IO, 6.17%, 1/25/2040 (j)		346		63

Series 2009-112, Class SW, IF, IO, 6.17%, 1/25/2040 (j)		228		31

Series 2010-10, Class NT, 5.00%, 2/25/2040		823		951

Series 2010-49, Class SC, IF, 12.49%, 3/25/2040 (j)		138		177

Series 2010-35, Class SB, IF, IO, 6.34%, 4/25/2040 (j)		440		71


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2010-129, Class PZ, 4.50%, 11/25/2040		2,328		2,489

Series 2011-126, Class KB, 4.00%, 12/25/2041		11,439		12,695

Series 2016-33, Class JA, 3.00%, 7/25/2045		12,808		13,506

Series 2016-38, Class NA, 3.00%, 1/25/2046		9,329		10,064

Series 2007-71, Class GZ, 6.00%, 7/25/2047		129		143

Series 2019-20, Class H, 3.50%, 5/25/2049		10,538		11,177

FNMA, REMIC Trust, Whole Loan

Series 2002-W7, Class 1, IO, 0.90%, 6/25/2029 (j)		3,889		78

Series 2001-W3, Class A, 7.00%, 9/25/2041 (j)		170		187

Series 2002-W10, IO, 0.92%, 8/25/2042 (j)		2,046		38

Series 2003-W4, Class 2A, 5.66%, 10/25/2042 (j)		76		87

Series 2004-W11, Class 11, IO, 0.35%, 5/25/2044 (j)		10,113		102

FNMA, REMIC, Whole Loan Series 2009-89, Class A1, 5.41%, 5/25/2035		289		300

FNMA, STRIPS

Series 203, Class 2, IO, 8.00%, 2/25/2023		115		4

Series 266, Class 2, IO, 7.50%, 8/25/2024		28		2

Series 313, Class 1, PO, 6/25/2031		401		375

Series 380, Class S36, IF, IO, 7.82%, 7/25/2037 (j)		111		18

Series 383, Class 68, IO, 6.50%, 9/25/2037		66		12

Series 383, Class 86, IO, 7.00%, 9/25/2037 (j)		39		8

Series 383, Class 69, IO, 6.50%, 10/25/2037 (j)		94		18

FTF 8.00%, 8/15/2024		13,500		7,425

GMACM Mortgage Loan Trust

Series 2003-J10, Class A1, 4.75%, 1/25/2019		13		13

Series 2005-AR3, Class 3A4, 3.09%, 6/19/2035 (j)		46		45

GNMA

Series 2014-60, Class W, 4.21%, 2/20/2029 (j)		742		783


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2002-13, Class QA, IF, IO, 7.95%, 2/16/2032 (j)		224		1

Series 2002-84, Class PH, 6.00%, 11/16/2032		382		382

Series 2003-18, Class PG, 5.50%, 3/20/2033		423		454

Series 2003-52, Class SB, IF, 11.38%, 6/16/2033 (j)		46		52

Series 2003-101, Class SK, IF, IO, 6.46%, 10/17/2033 (j)		739		9

Series 2004-2, Class SA, HB, IF, 20.18%, 1/16/2034 (j)		188		241

Series 2004-19, Class KE, 5.00%, 3/16/2034		1,608		1,778

Series 2004-73, Class AE, IF, 14.66%, 8/17/2034 (j)		—(k)		—(k)

Series 2004-86, Class SP, IF, IO, 6.01%, 9/20/2034 (j)		298		26

Series 2004-90, Class SI, IF, IO, 6.01%, 10/20/2034 (j)		300		45

Series 2010-31, Class SK, IF, IO, 6.01%, 11/20/2034 (j)		193		22

Series 2004-105, Class SN, IF, IO, 6.01%, 12/20/2034 (j)		674		63

Series 2005-56, Class IC, IO, 5.50%, 7/20/2035		45		7

Series 2006-26, Class S, IF, IO, 6.41%, 6/20/2036 (j)		459		64

Series 2006-33, Class PK, 6.00%, 7/20/2036		155		176

Series 2009-81, Class A, 5.75%, 9/20/2036		93		105

Series 2007-7, Class EI, IF, IO, 6.11%, 2/20/2037 (j)		742		113

Series 2007-9, Class CI, IF, IO, 6.11%, 3/20/2037 (j)		424		64

Series 2007-17, Class JO, PO, 4/16/2037		50		45

Series 2007-22, Class PK, 5.50%, 4/20/2037		750		852

Series 2007-16, Class KU, IF, IO, 6.56%, 4/20/2037 (j)		499		82

Series 2007-26, Class SC, IF, IO, 6.11%, 5/20/2037 (j)		143		23

Series 2007-24, Class SA, IF, IO, 6.42%, 5/20/2037 (j)		707		122

Series 2009-16, Class SJ, IF, IO, 6.71%, 5/20/2037 (j)		682		99

Series 2008-34, Class OC, PO, 6/20/2037		147		139


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-106, Class XL, IF, IO, 6.66%, 6/20/2037 (j)		251		43

Series 2009-79, Class OK, PO, 11/16/2037		105		99

Series 2007-67, Class SI, IF, IO, 6.42%, 11/20/2037 (j)		139		24

Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (j)		548		97

Series 2008-40, Class PS, IF, IO, 6.40%, 5/16/2038 (j)		238		32

Series 2009-77, Class CS, IF, IO, 6.90%, 6/16/2038 (j)		52		1

Series 2008-49, Class PH, 5.25%, 6/20/2038		761		870

Series 2008-55, Class PL, 5.50%, 6/20/2038		669		747

Series 2008-50, Class SA, IF, IO, 6.14%, 6/20/2038 (j)		1,076		145

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		279		34

Series 2009-75, Class IY, IO, 5.50%, 6/20/2039		293		24

Series 2009-72, Class SM, IF, IO, 6.15%, 8/16/2039 (j)		262		39

Series 2010-157, Class OP, PO, 12/20/2040		222		211

Series 2015-157, Class GA, 3.00%, 1/20/2045		537		564

Series 2012-H11, Class FA, 0.80%, 2/20/2062 (j)		4,370		4,402

Series 2012-H18, Class FA, 0.65%, 8/20/2062 (j)		1,053		1,057

Series 2013-H04, Class BA, 1.65%, 2/20/2063		67		68

Series 2013-H20, Class FB, 1.10%, 8/20/2063 (j)		3,817		3,852

Series 2013-H23, Class FA, 1.40%, 9/20/2063 (j)		5,149		5,226

Series 2015-H02, Class HA, 2.50%, 1/20/2065		2,967		3,053

Series 2015-H04, Class FL, 0.57%, 2/20/2065 (j)		6,174		6,209

Series 2015-H23, Class FB, 0.62%, 9/20/2065 (j)		5,964		6,002

Series 2015-H32, Class FH, 0.76%, 12/20/2065 (j)		5,272		5,331

Series 2016-H16, Class FD, 0.63%, 6/20/2066 (j)		8,169		8,165

Series 2016-H17, Class FC, 0.93%, 8/20/2066 (j)		5,334		5,415


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2016-H23, Class F, 0.85%, 10/20/2066 (j)		14,264		14,440

Series 2017-H08, Class XI, IO, 2.18%, 3/20/2067 (j)		18,425		1,741

Series 2017-H11, Class XI, IO, 2.01%, 5/20/2067 (j)		48,401		4,162

Series 2017-H14, Class XI, IO, 1.68%, 6/20/2067 (j)		18,380		1,364

Series 2017-H14, Class AI, IO, 2.03%, 6/20/2067 (j)		27,385		2,626

Series 2017-H23, Class FA, 0.58%, 10/20/2067 (j)		24,948		25,084

Series 2019-H09, Class FA, 0.60%, 5/20/2069 (j)		17,907		18,014

Series 2021-H10, Class AF, 1.55%, 6/20/2071 (j)		32,475		35,064

Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡		10,950		10,856

GSR Mortgage Loan Trust

Series 2003-7F, Class 1A4, 5.25%, 6/25/2033		63		65

Series 2004-6F, Class 2A4, 5.50%, 5/25/2034		64		67

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		70		76

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		36		37

Series 2005-5F, Class 8A1, 0.58%, 6/25/2035 (j)		13		13

Series 2005-5F, Class 8A3, 0.58%, 6/25/2035 (j)		8		7

Series 2007-2F, Class 2A7, 5.75%, 2/25/2037		4		36

Headlands Residential LLC

Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (a) (e)		4,217		4,236

Series 2017-RPL1, Class A, 3.88%, 11/25/2024 (a) (e)		11,950		12,041

Home RE Ltd. (Bermuda) Series 2021-2, Class M1B, 1.65%, 1/25/2034 (a) (j)		9,565		9,571

Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025		26,750		26,750

Impac CMB Trust

Series 2004-10, Class 3A1, 0.78%, 3/25/2035 (j)		406		391

Series 2004-10, Class 3A2, 0.88%, 3/25/2035 (j)		253		237

Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033		6		5


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


JPMorgan Mortgage Trust

Series 2004-S2, Class 5A1, 5.50%, 12/25/2019		34		34

Series 2006-A2, Class 5A3, 2.43%, 11/25/2033 (j)		76		77

Series 2006-A2, Class 4A1, 2.23%, 8/25/2034 (j)		114		120

Series 2004-S1, Class 3A1, 5.50%, 9/25/2034		18		20

Series 2004-S2, Class 4A5, 6.00%, 11/25/2034		318		318

Series 2007-A1, Class 5A2, 2.54%, 7/25/2035 (j)		33		34

LHOME Mortgage Trust Series 2019-RTL3, Class A1, 3.87%, 7/25/2024 (a)		10,520		10,590

MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 2.66%, 4/21/2034 (j)		26		26

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		10		10

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		1		1

Series 2005-1, Class 5A1, 5.50%, 1/25/2020		—(k)		—(k)

Series 2003-7, Class 4A3, 8.00%, 11/25/2033		—(k)		—(k)

Series 2003-8, Class 3A1, 5.50%, 12/25/2033		1		1

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		272		284

Series 2004-6, Class 6A1, 6.50%, 7/25/2034		343		363

Series 2004-7, Class 30, PO, 8/25/2034 ‡		25		21

Series 2004-7, Class 3A1, 6.50%, 8/25/2034		21		23

MASTR Asset Securitization Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		—(k)		—(k)

Series 2004-6, Class 3A1, 5.25%, 7/25/2019		—(k)		—(k)

Series 2004-P7, Class A6, 5.50%, 12/27/2033 (a)		39		39

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (a)		16		13

Merrill Lynch Mortgage Investors Trust

Series 2004-C, Class A2, 0.76%, 7/25/2029 (j)		73		72


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-D, Class A3, 1.89%, 9/25/2029 (j)		64		64

Morgan Stanley Mortgage Loan Trust

Series 2004-3, Class 4A, 5.65%, 4/25/2034 (j)		184		195

Series 2004-7AR, Class 2A6, 2.45%, 9/25/2034 (j)		63		65

MRA Issuance Trust Series 2021-EBO2, Class A, 2.83%, 12/31/2049 (a) (j)		46,000		46,000

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (j)		100		98

New Residential Mortgage Loan Trust Series 2020-RPL2, Class A1, 3.58%, 8/25/2025 (a) (j)		8,048		8,193

Ocwen Series 2021-GNMSR1, 5.00%, 3/15/2022		23,600		23,637

P-stlb 9.25%, 10/11/2026 ‡		18,500		18,500

PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038		41		43

PMT Credit Risk Transfer Trust Series 2021-1R, Class A, 3.00%, 2/27/2024 (a) (j)		27,870		28,361

Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034		71		72

PRPM LLC Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (j)		21,874		21,925

Radnor RE Ltd. (Bermuda) Series 2021-1, Class M1B, 1.75%, 12/27/2033 ‡ (a) (j)		3,500		3,502

RALI Trust

Series 2003-QS14, Class A1, 5.00%, 7/25/2018		2		1

Series 2005-QS5, Class A4, 5.75%, 4/25/2035		1,156		1,120

Residential Asset Securitization Trust

Series 2003-A8, Class A1, 3.75%, 10/25/2018		8		8

Series 2006-A6, Class 2A13, 6.00%, 7/25/2036		107		84

RFMSI Trust Series 2005-SA4, Class 1A1, 2.53%, 9/25/2035 (j)		40		35

RSFR Series 2020-1, Class PT, 4.21%, 2/17/2025 (a) (e)		29,549		28,969

SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 (a)		17		16

SART

4.75%, 7/15/2024		10,492		10,513

4.76%, 6/15/2025		15,226		15,233


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Seasoned Credit Risk Transfer Trust

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		17,589		19,373

Series 2019-4, Class MB, 3.00%, 2/25/2059 ‡		42,943		47,349

Series 2021-1, Class BXS, 15.58%, 9/25/2060 ‡ (a) (j)		10,550		10,232

Series 2021-2, Class BXS, 13.96%, 11/25/2060 ‡ (a) (j)		5,000		4,781

Sequoia Mortgage Trust Series 2004-8, Class A2, 0.90%, 9/20/2034 (j)		260		266

Structured Adjustable Rate Mortgage Loan Trust Series 2004-14, Class 1A, 2.68%, 10/25/2034 (j)		87		91

Structured Asset Securities Corp.

Series 2003-37A, Class 2A, 2.21%, 12/25/2033 (j)		79		79

Series 2003-37A, Class 1A, 2.85%, 12/25/2033 (j)		565		587

Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-26A, Class 3A5, 2.25%, 9/25/2033 (j)		416		430

Towd Point Mortgage Trust

Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (j)		38,634		39,459

Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)		30,000		30,433

Tricon Frn 0.00%, 1/25/2024 ‡		7,500		7,500

Vendee Mortgage Trust

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		168		187

Series 1998-1, Class 2E, 7.00%, 3/15/2028		504		558

Series 1999-1, Class 2Z, 6.50%, 1/15/2029		73		81

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 2.66%, 8/25/2033 (j)		90		93

Series 2003-AR9, Class 1A6, 2.63%, 9/25/2033 (j)		64		64

Series 2004-AR3, Class A1, 2.59%, 6/25/2034 (j)		24		25

Series 2004-AR3, Class A2, 2.59%, 6/25/2034 (j)		224		229

Series 2004-S2, Class 2A4, 5.50%, 6/25/2034		207		214

Series 2004-AR11, Class A, 2.55%, 10/25/2034 (j)		209		208


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-AR2, Class 2A21, 0.74%, 1/25/2045 (j)		32		32

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035		362		365

Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA1, Class 2A, 7.00%, 3/25/2034		227		244

Wells Fargo Mortgage-Backed Securities Trust

Series 2004-K, Class 1A2, 2.61%, 7/25/2034 (j)		78		78

Series 2004-U, Class A1, 2.87%, 10/25/2034 (j)		138		137


Total Collateralized Mortgage Obligations (Cost $907,698)				911,011

Foreign Government Securities — 1.0%

Arab Republic of Egypt (Egypt)

3.88%, 2/16/2026 (a)		5,702		5,589

7.50%, 1/31/2027 (g)		3,300		3,657

8.15%, 11/20/2059 (a)		2,900		2,885

Bermuda Government Bond (Bermuda) 4.75%, 2/15/2029 (a)		2,420		2,847

Dominican Republic Government Bond (Dominican Republic)

5.95%, 1/25/2027 (g)		2,500		2,834

4.88%, 9/23/2032 (a)		1,310		1,373

5.30%, 1/21/2041 (a)		5,891		6,012

5.88%, 1/30/2060 (a)		3,545		3,613

Federal Republic of Nigeria (Nigeria)

6.50%, 11/28/2027 (g)		6,550		6,896

7.14%, 2/23/2030 (g)		2,700		2,834

8.75%, 1/21/2031 (g)		3,800		4,294

Islamic Republic of Pakistan (Pakistan) 6.00%, 4/8/2026 (a)		5,784		5,814

Kingdom of Bahrain (Bahrain)

7.00%, 10/12/2028 (g)		2,500		2,754

7.38%, 5/14/2030 (g)		1,400		1,556

5.45%, 9/16/2032 (a)		1,677		1,643

6.00%, 9/19/2044 (g)		1,447		1,352

Province of Alberta (Canada) 3.30%, 3/15/2028		24,500		27,603

Province of Manitoba (Canada) 2.13%, 6/22/2026		1,250		1,319


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Province of Quebec (Canada)

7.13%, 2/9/2024		2,220		2,572

6.35%, 1/30/2026		300		364

Republic of Belarus (Belarus)

6.88%, 2/28/2023 (g)		1,400		1,413

6.38%, 2/24/2031 (a)		2,430		2,117

Republic of Colombia (Colombia) 10.38%, 1/28/2033		370		550

Republic of Cote d’Ivoire (Ivory Coast)

5.75%, 12/31/2032 (e) (g)		1,364		1,380

6.13%, 6/15/2033 (g)		866		949

6.88%, 10/17/2040 (g)		EUR 3,400		4,486

Republic of El Salvador (El Salvador) 7.12%, 1/20/2050 (g)		2,965		2,420

Republic of Ghana (Ghana)

Zero Coupon, 4/7/2025 (a)		5,100		4,003

7.63%, 5/16/2029 (g)		2,430		2,428

8.63%, 4/7/2034 (a)		3,267		3,300

8.63%, 6/16/2049 (g)		2,600		2,485

Republic of Kenya (Kenya)

8.00%, 5/22/2032 (g)		5,300		6,048

6.30%, 1/23/2034 (a)		4,299		4,433

8.25%, 2/28/2048 (g)		1,500		1,696

Republic of Paraguay (Paraguay)

5.00%, 4/15/2026 (g)		1,500		1,700

5.60%, 3/13/2048 (g)		2,489		2,987

5.40%, 3/30/2050 (g)		7,500		8,927

Republic of Senegal (Senegal) 6.75%, 3/13/2048 (g)		3,800		3,948

Republic of South Africa (South Africa) 4.30%, 10/12/2028		2,442		2,521

Sultanate of Oman Government Bond (Oman)

5.63%, 1/17/2028 (g)		2,850		3,014

6.25%, 1/25/2031 (a)		1,193		1,297

Ukraine Government Bond (Ukraine)

7.75%, 9/1/2023 (g)		4,935		5,317

7.75%, 9/1/2025 (g)		1,910		2,109

United Mexican States (Mexico)

3.75%, 1/11/2028		376		416

5.00%, 4/27/2051		2,420		2,817


Total Foreign Government Securities (Cost $156,655)				160,572


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — 0.4% (o)

Auto Components — 0.0% (h)

Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 4/10/2028 (b)		4,650		4,637


Chemicals — 0.0% (h)

Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.90%, 6/1/2024 (b)		1,154		1,146


Construction & Engineering — 0.0% (h)

Thor, Inc. 1st Lien Term Loan C Series 2018, Class C Shares, (ICE LIBOR USD 1 Month + 4.25%), 4.25%, 5/15/2025 ‡ (b)		3,734		3,748


Containers & Packaging — 0.2%

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 4/3/2024 (b)		5,492		5,344

Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027 (b)		3,469		3,452


				8,796


Diversified Telecommunication Services — 0.0% (h)

Cincinnati Bell, Inc., Term Loan B (1 Week LIBOR + 3.25%), 4.25%, 10/2/2024 (b)		1,509		1,507


Electrical Equipment — 0.0% (h)

Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.85%, 3/2/2027 (b)		3,201		3,179


Food & Staples Retailing — 0.0% (h)

Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (b)		39		41

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 7.00%), 8.00%, 4/1/2024 ‡ (b)		289		302

Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 1 Month + 10.75%), 11.75%, 10/1/2024 (b)		1,577		1,384


				1,727


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Internet & Direct Marketing Retail — 0.0% (h)

GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 10/10/2025 (b)		5,637		5,608


Leisure Products — 0.0% (h)

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (b) (f)		149		16

FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (b) (f)		789		—	(k)


				16


Machinery — 0.0% (h)

Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027 (b)		4,432		4,430


Media — 0.0% (h)

Meredith Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 1/31/2025 (b) (f)		1,866		1,855


Personal Products — 0.0% (h)

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026 (b)		6,258		6,262


Software — 0.2%

Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024 (b)		3,176		3,179

Greeneden U.S. Holdings I LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.75%, 12/1/2027 (b)		6,214		6,224

Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/25/2027 (b)		5,570		5,531


				14,934


Specialty Retail 0.0% (h)

AppleCaramel Buyer LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 10/19/2027 (b)		3,176		3,176

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.58%, 12/18/2026 (b) (f) (p)		1,517		1,459

				4,635


Total Loan Assignments (Cost $61,565)				62,480


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Government Agency Securities — 0.3%

Resolution Funding Corp. STRIPS DN, 3.60%, 4/15/2030 (n)		43,000		37,683

3.66%, 4/15/2030 (n)		20,500		17,965


Total U.S. Government Agency Securities (Cost $47,791)				55,648


Municipal Bonds — 0.2% (q)

California — 0.1%

Alameda County Joint Powers Authority, Multiple Capital Projects Series 2010A, Rev., 7.05%, 12/1/2044	200	332

City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., 6.58%, 5/15/2039	1,000	1,355

Regents of the University of California Medical Center Pooled Series 2020N, Rev., 3.71%, 5/15/2120	1,820	1,999

State of California, Build America Bonds GO, 7.35%, 11/1/2039	1,980	3,224

University of California, Taxable Series AD, Rev., 4.86%, 5/15/2112	774	1,155


Total California		8,065


Colorado — 0.0% (h)

Colorado Health Facilities Authority, Covenant Living Communities and Services

Rev., 2.80%, 12/1/2026	1,400	1,421

Rev., 3.36%, 12/1/2030	2,350	2,379


Total Colorado		3,800


District of Columbia — 0.0% (h)

District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series 2014A, Rev., 4.81%, 10/1/2114	345	517


Missouri — 0.0% (h)

Health and Educational Facilities Authority of the State of Missouri, The Washington University Series 2020A, Rev., 3.23%, 5/15/2050	3,000	3,415


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New York — 0.0% (h)

New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, General Purpose

Series 2010H, Rev., 5.29%, 3/15/2033		560		694

Series 2010H, Rev., 5.39%, 3/15/2040		1,165		1,584

Port Authority of New York and New Jersey, Consolidated

Series 164, Rev., 5.65%, 11/1/2040		1,450		2,080

Series 165, Rev., 5.65%, 11/1/2040		155		222

Series 174, Rev., 4.46%, 10/1/2062		740		1,017


Total New York				5,597


Ohio — 0.1%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		1,040		1,737

Ohio State University (The), General Receipts Series 2011-A, Rev., 4.80%, 6/1/2111		1,563		2,330

Rev., 5.59%, 12/1/2114		2,000		3,080


Total Ohio				7,147


Total Municipal Bonds (Cost $22,941)				28,541


	SHARES ($000)
Common Stocks — 0.1%

Communications Equipment — 0.0% (h)

Goodman Networks, Inc. * ‡		39	—	(k)


Diversified Financial Services — 0.0% (h)

ACC Claims Holdings LLC * ‡ (r)		1,551	4


Energy Equipment & Services — 0.0% (h)

Telford Offshore Holdings Ltd. (Cayman Islands) * ‡		34	—	(k)


Food & Staples Retailing — 0.0% (h)

Moran Foods Backstop Equity * ‡		61	274


Independent Power and Renewable Electricity Producers — 0.0% (h)

Vistra Common Equity *		1	15

Vistra Corp.		3	50


			65


Internet & Direct Marketing Retail — 0.0% (h)

MYT Holding Co. * ‡		935	5,283


Media — 0.0% (h)

Clear Channel Outdoor Holdings, Inc. *		502	1,321


INVESTMENTS	SHARES ($000)		VALUE ($000)
Common Stocks — continued

Media — continued

iHeartMedia, Inc., Class A *		126		3,148


				4,469


Multiline Retail — 0.0% (h)

Neiman Marcus Group Restricted Equity *		2		215


Oil, Gas & Consumable Fuels — 0.1%

Chesapeake Energy Corp.		6		312

EP Energy Corp. *		75		6,825

Gulfport Energy Operating Corp. *		56		3,755

Oasis Petroleum, Inc.		20		1,761


				12,653


Professional Services — 0.0% (h)

NMG, Inc. *		9		1,197


Specialty Retail — 0.0% (h)

Claire’s Stores, Inc. * ‡		2		408

Total Common Stocks (Cost $12,894)				24,568

Convertible Preferred Stocks — 0.0% (h)

Specialty Retail — 0.0% (h)

Claire’s Stores, Inc. *‡(Cost $504)		1		3,249

Preferred Stocks — 0.0% (h)

Communications Equipment — 0.0% (h)

Goodman Networks, Inc. * ‡		46		—	(k)


Internet & Direct Marketing Retail — 0.0% (h)

MYT Holding LLC

Series A, 10.00%, 6/6/2029 ‡		2,070		2,122

Total Preferred Stocks (Cost $2,145)				2,122



	NO. OF WARRANTS (000)
Warrants — 0.0% (h)

Diversified Telecommunication Services — 0.0% (h)

Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD * ‡		6	116


Media — 0.0% (h)

Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) * ‡		33	626


Oil, Gas & Consumable Fuels — 0.0% (h)

Chesapeake Energy Corp. expiring 2/9/2026, price 27.27 USD *		17	517


INVESTMENTS	NO. OF WARRANTS (000)		VALUE ($000)




expiring 2/9/2026, price 31.71 USD *		19		502

expiring 2/9/2026, price 35.71 USD *		11		249


				1,268

Total Warrants (Cost $–(k))				2,010


	PRINCIPAL AMOUNT ($000)
Convertible Bonds — 0.0% (h)

Oil, Gas & Consumable Fuels — 0.0% (h)

Gulfport Energy Corp. 10.00%, 10/4/2021‡(c)(d)(Cost $141)		—	(k)	683


	NO. OF RIGHTS (000)
Rights — 0.0% (h)
Independent Power and Renewable Electricity Producers — 0.0% (h)

Vistra Corp., expiring 12/31/2049 * ‡ (Cost $—)		104	140


	SHARES (000)
Short-Term Investments — 7.1%

Investment Companies — 7.1%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (s) (t) (Cost $1,178,703)		1,178,321	1,178,910

Investment of Cash Collateral from Securities Loaned — 0.0% (h)

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.07%(s) (t)		120	120

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (s) (t)		371	371

Total Investment of Cash Collateral from Securities Loaned (Cost $491)			491

Total Short-Term Investments (Cost $1,179,194)			1,179,401

Total Investments—103.0% (Cost $16,419,807)			17,028,086
Liabilities in Excess of Other Assets — (3.0)%			(501,842	)

NET ASSETS — 100.0%			16,526,244


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
CDO		Collateralized Debt Obligations
CSMC		Credit Suisse Mortgage Trust
DN		Discount Notes
EUR		Euro
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
LIBOR		London Interbank Offered Rate
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
PT		Limited liability company
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
Rev.		Revenue
SCA		Limited partnership with share capital
SOFR		Secured Overnight Financing Rate
SPC		Special purpose company
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.


UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.
(d)		Security is an interest bearing note with preferred security characteristics.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(f)		Defaulted security.
(g)		Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(h)		Amount rounds to less than 0.1% of net assets.
(i)		Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
(j)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(k)		Amount rounds to less than one thousand.
(l)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(m)		All or a portion of this security is deposited with the broker as initial margin for futures contracts.
(n)		The rate shown is the effective yield as of August 31, 2021.
(o)		Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
(p)		Fund is subject to legal or contractual restrictions on the resale of the security.
(q)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(r)		The security or a portion of this security is on loan at August 31, 2021. The total value of securities on loan at August 31, 2021 is $1.
(s)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(t)		The rate shown is the current yield as of August 31, 2021.
*		Non-income producing security.
‡		Value determined using significant unobservable inputs.

Forward foreign currency exchange contracts outstanding as of August 31, 2021 (amounts in thousands):

Over-the-Counter (“OTC”) Credit default swap contracts outstanding — buy protection^(a) as of August 31, 2021 (amounts in thousands):

Summary of total OTC swap contracts outstanding as of August 31, 2021 (amounts in thousands):


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — 84.4% (a)

Aerospace & Defense — 0.8%

Spirit AeroSystems, Inc. Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 6.00%, 1/15/2025 (b)		1,513		1,520

TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.25%), 2.33%, 12/9/2025 (b) (c)		3,317		3,262


				4,782


Airlines — 0.4%

WestJet Airlines Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/2026 (b)		2,615		2,522


Auto Components — 1.8%

Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 4/10/2028 (b)		2,736		2,728

Tenneco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 10/1/2025 (b)		3,431		3,392

Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.00%, 1/31/2028 (b)		3,068		3,054

Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 5.25%, 5/11/2028 (b) (d)		2,197		2,195


				11,369


Beverages — 0.5%

Triton Water Holdings, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 3/31/2028 (b)		3,378		3,353


Building Products — 1.3%

Advanced Drainage Systems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.38%, 7/31/2026 (b)		1,218		1,216

American Bath Group LLC, 1st Lien Term Loan B1 (ICE LIBOR USD 2 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 4.25%, 11/23/2027 (b)		2,374		2,363

Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 2.75%, 5/22/2028 (b) (d)		2,975		2,950

Summit Materials LLC, Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 11/21/2024 (b)		1,823		1,815


				8,344


Capital Markets — 0.4%

Duff & Phelps Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 4/9/2027 (b)		2,621		2,622


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — 3.8%

Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.90%, 6/1/2024 (b) (d)		1,593		1,583

Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.25%, 3/31/2027 (b)		3,619		3,601

Gemini HDPE LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.50%, 12/31/2027 (b)		2,831		2,824

INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 8/28/2026 (b) (c)		2,260		2,263

INEOS US Petrochem LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.25%, 1/29/2026 (b)		1,500		1,495

Momentive Performance Materials, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 5/15/2024 (b)		2,113		2,105

Pelican Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 5/1/2025 (b)		2,385		2,370

Pelican Products, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 7.75%), 8.75%, 5/1/2026 (b)		2,205		2,165

PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/2028 (b)		2,590		2,585

Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 9/6/2024 (b) (c)		1,237		1,225

Tronox Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 2.38%, 3/10/2028 (b)		1,358		1,344


				23,560


Commercial Services & Supplies — 2.6%

Allied Universal Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.25%, 5/12/2028 (b)		3,059		3,058

Garda World Security, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.34%, 10/30/2026 (b)		2,000		1,994

Harsco Corp., Term Loan B-3 (ICE LIBOR USD 1 Month + 2.25%), 2.75%, 3/10/2028 (b)		2,056		2,037

Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 3.75%, 6/21/2028 (b)		2,047		2,033

Nielsen Holdings plc, Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.10%, 3/6/2028 (b)		2,135		2,130


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Commercial Services & Supplies — continued

Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 3.50%, 9/23/2026 (b)		4,735		4,724


				15,976


Communications Equipment — 1.3%

API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 10/1/2026 (b)		3,175		3,143

CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 4/6/2026 (b) (d)		5,323		5,257


				8,400


Construction & Engineering — 1.0%

Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 6/23/2028 (b) (d)		2,255		2,239

Pike Corp., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.09%, 1/21/2028 (b)		2,383		2,371

Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.09%, 1/24/2027 (b)		1,802		1,776


				6,386


Containers & Packaging — 3.5%

Altium Packaging LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.25%, 2/3/2028 (b)		2,733		2,709

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 4/3/2024 (b)		4,559		4,438

Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027 (b)		3,929		3,910

LABL, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.08%, 7/1/2026 (b)		2,783		2,779

Reynolds Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/5/2026 (b)		3,303		3,279

Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 2/5/2023 (b) (c)		1,702		1,691

Ring Container Technologies Group, LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.25%, 8/12/2028 (b) (d)		1,890		1,884

Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 7/29/2028 (b) (d)		1,257		1,256


				21,946


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Consumer Services — 2.4%

Conservice LLC, 1st Lien Term Loan (ICE LIBOR USD 2 Month + 4.25%), 4.36%, 5/13/2027 (b) (c)		3,196		3,192

Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 8/3/2026 (b)		1,562		1,560

Interior Logic Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 4/3/2028 (b)		3,030		2,971

Spin Holdco, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 3/4/2028 (b)		3,092		3,094

St. George’s University Scholastic Services LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 7/17/2025 (b)		4,170		4,141


				14,958


Diversified Financial Services — 0.7%

Quidditch Acquisition, Inc., 1st Lien Cov-Lite Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 3/21/2025 (b)		1,567		1,531

Sabre Holdings Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 12/17/2027 (b)		2,600		2,581


				4,112


Diversified Telecommunication Services — 3.4%

CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.33%, 3/15/2027 (b)		2,663		2,629

Cincinnati Bell, Inc., Term Loan B (1 Week LIBOR + 3.25%), 4.25%, 10/2/2024 (b)		4,969		4,962

Intelsat Jackson Holdings SA, 1st Lien Term Loan (Luxembourg) (1-MONTH PRIME + 4.75%), 8.00%, 11/27/2023 (b) (c)		9,050		9,180

MetroNet Systems Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 6/2/2028 (b)		2,015		2,011

Numericable US LLC, 1st Lien Term Loan B (France) (ICE LIBOR USD 3 Month + 3.69%), 3.81%, 1/31/2026 (b)		2,667		2,641


				21,423


Electric Utilities — 2.2%

Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 12/10/2027 (b)		3,874		3,867

Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 3.65%, 2/16/2026 (b)		2,770		2,659


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Electric Utilities — continued

Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.50%, 12/15/2027 (b)		3,980		3,967

PG&E Corp., Exit Term Loan (ICE LIBOR USD 3 Month + 3.00%), 3.50%, 6/23/2025 (b)		3,158		3,021


				13,514


Electrical Equipment — 1.7%

Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.25%, 8/1/2025 (b)		6,026		5,971

Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.85%, 3/2/2027 (b)		4,434		4,404


				10,375


Electronic Equipment, Instruments & Components — 0.5%

Ingram Micro, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.50%), 4.00%, 6/30/2028 (b) (d)		3,000		3,005


Entertainment — 1.9%

Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.84%, 3/1/2025 (b)		2,630		2,614

Cineworld Finance US, Inc., 1st Lien Term Loan B (United Kingdom) (3-MONTH FIXED LIBOR + 7.00%), 15.25%, 5/23/2024 (b)		199		244

(ICE LIBOR USD 3 Month + 2.50%), 3.50%, 2/28/2025 (b)		1,631		1,269

Delta 2 (Lux) SARL, 1st Lien Term Loan B (United Kingdom) (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 2/1/2024 (b)		2,466		2,456

NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 5/8/2025 (b)		1,383		1,352

WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 2.21%, 1/20/2028 (b)		4,250		4,195


				12,130


Equity Real Estate Investment Trusts (REITs) — 0.2%

VICI Properties 1 LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.84%, 12/20/2024 (b)		1,295		1,287


Food & Staples Retailing — 1.4%

Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (b)		242		253


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Food & Staples Retailing — continued

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 7.00%), 8.00%, 4/1/2024 ‡ (b)		1,782		1,862

Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 1 Month + 10.75%), 11.75%, 10/1/2024 (b)		3,815		3,347

United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 10/22/2025 (b)		1,728		1,721

Utz Quality Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 1/20/2028 (b)		1,766		1,758


				8,941


Food Products — 1.9%

Atkins Nutritionals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/7/2024 (b) (c)		1,743		1,747

B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 10/10/2026 (b) (c)		2,170		2,168

Hearthside Group Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.69%), 3.78%, 5/23/2025 (b)		1,649		1,632

Hostess Brands LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 2 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.00%, 8/3/2025 (b)		2,983		2,964

JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 5/1/2026 (b) (d)		2,040		2,026

Shearer’s Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 9/23/2027 (b)		1,598		1,594


				12,131


Health Care Equipment & Supplies — 0.5%

Insulet, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 5/4/2028 (b)		3,100		3,096




Health Care Providers & Services — 6.1%

Air Medical Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 10/2/2025 (b)		2,179		2,187

CHG Healthcare Services, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 6/7/2023 (b)		2,505		2,501

CVS Holdings I LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.33%, 8/31/2026 (b)		2,604		2,593


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Health Care Providers & Services — continued

Envision Healthcare Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 10/10/2025 (b)		3,189		2,796

ICON Luxembourg SARL, 1st Lien Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 2.50%), 3.00%, 7/3/2028 (b)		2,542		2,539

(ICE LIBOR USD 3 Month + 2.50%), 3.00%, 7/3/2028 (b)		633		633

LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 11/16/2025 (b)		2,319		2,301

Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 3/31/2027 (b)		2,395		2,379

PCI Pharma Services, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 11/30/2027 (b)		2,883		2,879

Pearl Intermediate Parent LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 2/14/2025 (b)		2,003		1,975

Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 2/14/2025 (b)		2,565		2,560

PetVet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/14/2025 (b)		749		741

Sound Inpatient Physicians Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 6/27/2025 (b)		1,492		1,481

Tennessee Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 2/6/2024 (b)		1,942		1,886

U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.13%, 6/26/2026 (b) (c)		2,192		2,190

WIRB-Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 5.00%, 1/8/2027 (b) (c)		6,396		6,407


				38,048


Hotels, Restaurants & Leisure — 4.8%

1011778 BC ULC, 1st Lien Term Loan B (Canada) (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 11/19/2026 (b) (c)		2,076		2,039

Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 12/23/2024 (b)		2,073		2,055

CCM Merger, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 11/4/2025 (b)		1,821		1,818


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Hotels, Restaurants & Leisure — continued

CityCenter Holdings LLC, Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/18/2024 (b)		3,310		3,302

Enterprise Development Authority (The), 1st lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.00%, 2/28/2028 (b)		2,642		2,645

Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 12/1/2023 (b)		1,473		1,469

Golden Nugget, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.50%), 3.25%, 10/4/2023 (b)		1,954		1,940

IRB Holding Corp., 1st Lien Term Loan B

(ICE LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/2025 (b)		2,874		2,862

(ICE LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/2027 (b)		1,313		1,312

Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 8/14/2024 (b)		4,602		4,557

UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 4/29/2026 (b)		3,026		3,005

Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 8/3/2028 (b) (d)		3,100		3,089


				30,093


Household Durables — 0.9%

Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.75%, 5/17/2028 (b)		1,760		1,758

MI Windows and Doors, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 12/18/2027 (b)		2,119		2,123

Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 6/29/2028 (b)		1,483		1,481


				5,362


Independent Power and Renewable Electricity Producers — 0.6%

Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 1/15/2025 (b)		2,322		2,285

Invenergy LLC, Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 8/28/2025 (b) (c)		1,274		1,248


				3,533


Insurance — 1.4%

Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 7/31/2027 (b)		469		459


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Insurance — continued

Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 5.33%, 1/31/2028 (b)		750		746

Asurion LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 3.13%), 3.21%, 11/3/2023 (b)		359		355

Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 11/3/2024 (b)		2,804		2,755

HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 2.88%, 4/25/2025 (b) (c)		2,789		2,756

USI, Inc., Term Loan (ICE LIBOR USD 3 Month + 3.00%), 3.15%, 5/16/2024 (b)		1,814		1,798


				8,869


Internet & Direct Marketing Retail — 1.3%

Getty Images, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 4.63%, 2/19/2026 (b)		2,782		2,776

GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 10/10/2025 (b)		3,608		3,589

Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 9/25/2026 (b) (d)		1,691		1,686


				8,051


IT Services — 1.4%

Ancestry.com, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 12/6/2027 (b)		3,006		2,975

Go Daddy Group, Inc. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 2/15/2024 (b) (c)		1,476		1,462

Virtusa Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.00%, 2/11/2028 (b)		628		631

Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 3/9/2027 (b)		3,710		3,660


				8,728


Leisure Products — 0.4%

Bombardier Recreational Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.09%, 5/24/2027 (b)		1,711		1,693

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (b) (c)		4,050		441

FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (b) (c)		21,516		—	(e)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Leisure Products — continued

Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 2/14/2025 (b)		399		394


				2,528


Life Sciences Tools & Services — 2.5%

Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 8/30/2026 (b)		3,873		3,872

Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.75%, 11/8/2027 (b)		4,844		4,838

PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 8/11/2028 (b) (d)		3,726		3,724

PPD, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.50%, 1/13/2028 (b)		3,017		3,008


				15,442


Machinery — 2.7%

Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027 (b)		3,903		3,901

Club Car, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 4.50%, 6/1/2028 (b)		1,615		1,614

Gardner Denver Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 3/1/2027 (b) (c)		2,760		2,755

Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 3/17/2027 (b)		3,047		3,047

Thyssenkrupp Elevators, 1st Lien Term Loan B1 (ICE LIBOR USD 6 Month + 3.50%), 4.00%, 7/30/2027 (b)		2,207		2,204

Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.17%, 3/28/2025 (b)		3,148		3,077


				16,598


Media — 6.6%

Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 2.88%, 7/15/2025 (b)		1,947		1,909

CBS Radio, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 11/18/2024 (b) (c)		1,443		1,421

Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), 3.63%, 8/21/2026 (b)		8,665		8,453


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Media — continued

CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.35%, 7/17/2025 (b)		5,373		5,291

CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.35%, 1/15/2026 (b)		2,111		2,076

Diamond Sports Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 8/24/2026 (b)		1,761		1,096

Directv Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 5.75%, 8/2/2027 (b)		2,143		2,142

E.W. Scripps Co. (The), 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 1/7/2028 (b)		1,893		1,889

Gray Television, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.35%, 2/7/2024 (b)		1,120		1,116

(ICE LIBOR USD 1 Month + 2.50%), 2.60%, 1/2/2026 (b)		1,713		1,700

iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 5/1/2026 (b)		3,217		3,187

iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 5/1/2026 (b) (c)		813		809

Meredith Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 1/31/2025 (b) (c)		1,232		1,225

(ICE LIBOR USD 3 Month + 4.25%), 5.25%, 1/31/2025 (b)		1,842		1,879

Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.33%, 1/17/2024 (b)		1,126		1,121

(ICE LIBOR USD 1 Month + 2.50%), 2.60%, 9/18/2026 (b)		2,527		2,513

Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.58%, 11/8/2024 (b) (c)		1,709		1,688

Summer BC Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 4.50%), 5.25%, 12/4/2026 (b)		753		751


				40,266


Oil, Gas & Consumable Fuels — 2.0%

Buckeye Partners LP, 1st Lien Term Loan B1 (ICE LIBOR USD 1 Month + 2.25%), 2.35%, 11/1/2026 (b)		2,815		2,781

CITGO Holding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 8/1/2023 (b)		1,432		1,408


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 3.39%, 10/1/2025 (b)		1,414		1,406

Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/30/2024 (b)		1,456		1,443

Moda Midstream LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 9/29/2025 (b)		1,430		1,427

Navitas Midstream Midland Basin LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 12/13/2024 (b)		2,660		2,647

Oryx Midstream Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.09%, 5/22/2026 (b) (c)		1,198		1,196


				12,308


Paper & Forest Products — 0.1%

Asplundh Tree Expert LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 9/7/2027 (b)		688		683


Personal Products — 1.5%

Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.25%, 5/17/2028 (b)		3,160		3,155

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026 (b)		6,288		6,292


				9,447


Pharmaceuticals — 1.8%

Endo Pharmaceutical, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 3/27/2028 (b)		634		615

Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 5/5/2028 (b) (d)		3,000		3,000

Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.09%, 6/2/2025 (b)		7,820		7,789


				11,404


Professional Services — 0.5%

Dun & Bradstreet Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 2/6/2026 (b)		3,146		3,121


Road & Rail — 1.6%

First Student Bidco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%), 3.50%, 7/21/2028 (b) (d)		2,297		2,279


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Road & Rail — continued

First Student Bidco, Inc., 1st Lien Term Loan C (ICE LIBOR USD 2 Month + 3.00%), 3.50%, 7/21/2028 (b) (d)		848		841

Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 2.15%, 12/30/2026 (b)		3,775		3,733

Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 6/30/2028 (b)		2,693		2,680

Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 6/30/2028 (b)		507		505


				10,038


Software — 8.1%

Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 7/12/2024 (b) (c)		3,529		3,524

(ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024 (b)		405		405

Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 10/30/2026 (b)		2,985		2,985

Cloudera, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.25%, 12/22/2027 (b)		3,029		3,026

Cornerstone OnDemand, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 4/22/2027 (b)		2,820		2,816

DigiCert, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.00%), 7.08%, 2/19/2029 (b)		620		624

Greeneden U.S. Holdings I LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.75%, 12/1/2027 (b) (d)		5,385		5,394

Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 7/1/2024 (b)		1,856		1,856

Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/25/2027 (b)		5,376		5,339

ION Corporates, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 3.92%, 3/11/2028 (b)		1,664		1,656

LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 4.85%, 8/31/2027 (b)		3,080		3,067

Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 10/1/2027 (b)		2,183		2,185


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Software — continued

Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 6/1/2026 (b) (c)		2,793		2,769

Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 6/9/2028 (b) (d)		2,365		2,349

Qlik Technologies, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.09%, 4/26/2024 (b)		1,785		1,783

RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 4/24/2028 (b)		2,070		2,057

SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 4/16/2025 (b)		956		941

SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 4/16/2025 (b)		736		725

ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 3/24/2028 (b)		1,587		1,580

Ultimate Software Group, Inc. (The), 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 5/4/2026 (b)		2,363		2,363

(ICE LIBOR USD 3 Month + 3.25%), 4.00%, 5/4/2026 (b)		2,589		2,589


				50,033


Specialty Retail — 3.8%

AppleCaramel Buyer LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 10/19/2027 (b)		2,534		2,534

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.58%, 12/18/2026 (b) (c) (f)		2,677		2,575

Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 5/12/2028 (b)		2,015		1,999

DigiCert, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.08%, 10/16/2026 (b)		1,338		1,335

Leslie’s Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.25%, 3/9/2028 (b) (d)		4,360		4,334

Park River Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 12/28/2027 (b)		2,198		2,184

Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 3/3/2028 (b)		3,062		3,055

Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.58%, 12/22/2025 (b)		3,628		3,565


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Specialty Retail — continued

Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.50%), 8.50%, 8/10/2023 (b)		1,028		976

Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 5.13%, 4/16/2026 (b)		1,023		965


				23,522


Technology Hardware, Storage & Peripherals — 1.1%

KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 12/22/2025 (b)		4,411		4,363

Quest Software US Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.38%, 5/16/2025 (b) (c)		1,566		1,563

Quest Software US Holdings, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.25%), 8.38%, 5/18/2026 (b)		1,089		1,084


				7,010


Textiles, Apparel & Luxury Goods — 0.5%

Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 3.75%), 4.25%, 4/28/2028 (b)		3,085		3,080


Wireless Telecommunication Services — 0.5%

CCI Buyer, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 12/17/2027 (b)		3,033		3,039


Total Loan Assignments (Cost $530,464)				525,435

Corporate Bonds — 7.9%

Auto Components — 0.5%

American Axle & Manufacturing, Inc.

6.25%, 3/15/2026		2,000		2,060

6.50%, 4/1/2027		1,000		1,050


				3,110


Chemicals — 0.2%

Trinseo Materials Operating SCA 5.38%, 9/1/2025 (g)		1,500		1,530


Consumer Finance — 0.6%

Ford Motor Credit Co. LLC 4.13%, 8/17/2027		3,750		4,012


Diversified Telecommunication Services — 1.4%

CCO Holdings LLC

5.13%, 5/1/2027 (g)		6,000		6,268

5.00%, 2/1/2028 (g)		1,900		1,990


				8,258


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — 0.0% (h)

Texas Competitive Electric Holdings Co. LLC 8.50%, 10/1/2021 ‡ (c)		75,000		113


Electrical Equipment — 0.4%

Sensata Technologies BV 4.00%, 4/15/2029 (g)		2,500		2,588


Equity Real Estate Investment Trusts (REITs) — 0.3%

VICI Properties LP 3.75%, 2/15/2027 (g)		1,750		1,820


Health Care Providers & Services — 2.5%

HCA, Inc.

5.38%, 9/1/2026		4,750		5,479

5.63%, 9/1/2028		2,250		2,683

Tenet Healthcare Corp.

7.50%, 4/1/2025 (g)		3,100		3,317

5.13%, 11/1/2027 (g)		2,500		2,631

4.63%, 6/15/2028 (g)		1,000		1,035


				15,145


Health Care Technology — 0.1%

IQVIA, Inc. 5.00%, 10/15/2026 (g)		700		721


Hotels, Restaurants & Leisure — 0.2%

Six Flags Entertainment Corp. 4.88%, 7/31/2024 (g)		1,268		1,282


Household Durables — 0.2%

Newell Brands, Inc. 4.70%, 4/1/2026 (i)		1,000		1,118


Media — 0.3%

DISH DBS Corp. 5.88%, 11/15/2024		2,000		2,150


Oil, Gas & Consumable Fuels — 0.4%

NuStar Logistics LP 5.63%, 4/28/2027		2,000		2,127

PBF Logistics LP 6.88%, 5/15/2023		394		382


				2,509


Software — 0.2%

SS&C Technologies, Inc. 5.50%, 9/30/2027 (g)		1,000		1,059


Specialty Retail — 0.4%

Staples, Inc. 7.50%, 4/15/2026 (g)		2,768		2,803


Wireless Telecommunication Services — 0.2%

Sprint Corp. 7.88%, 9/15/2023		1,050		1,190


Total Corporate Bonds (Cost $47,874)				49,408

	SHARES (000)
Common Stocks — 1.2%

Food & Staples Retailing — 0.1%

Moran Foods Backstop Equity * ‡		167		751


INVESTMENTS	SHARES (000)		VALUE ($000)
Common Stocks — continued

Media — 0.5%

Clear Channel Outdoor Holdings, Inc. *		369		970

iHeartMedia, Inc., Class A *		62		1,540


				2,510


Multiline Retail — 0.0% (h)

Neiman Marcus Group Restricted Equity *		1		150


Oil, Gas & Consumable Fuels — 0.2%

California Resources Corp. *		41		1,390


Professional Services — 0.3%

NMG, Inc. *		16		2,082


Specialty Retail — 0.1%

Claire’s Stores, Inc. * ‡		3		720


Total Common Stocks (cost $6,883)				7,603

Convertible Preferred Stocks — 0.9%

Specialty Retail — 0.9%

Claire’s Stores, Inc. * ‡

(Cost $889)		2		5,731


INVESTMENTS	NO. OF WARRANTS (000)		VALUE ($000)
Warrants -0.0% (h)

Diversified Telecommunication Services — 0.0% (h)

Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD * ‡		7		133


Entertainment — 0.0% (h)

Cineworld Group expiring 12/31/2049, price 4,149.00 GBP (United Kingdom) *		63		21


Total Warrants (Cost $—)				154


	PRINCIPAL AMOUNT (000)
Collateralized Mortgage Obligations — 0.0%

Southcross Holdco Equity 0.00%, 7/9/2070‡ (Cost $470)		136		—


	SHARES (000)
Short-Term Investments — 8.7%

Investment Companies — 8.7%

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (j) (k) (Cost $54,359)		54,359		54,359

Total Investments — 103.1% (Cost $640,939)				642,690
Liabilities in Excess of Other Assets — (3.1)%				(19,152	)

NET ASSETS — 100.0%				623,538

Percentages indicated are based on net assets.


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
U.S. Treasury Obligations — 30.8%

U.S. Treasury Bonds 8.00%, 11/15/2021		3,635			3,694

7.25%, 8/15/2022		3,935			4,205

7.13%, 2/15/2023		2,500			2,754

5.25%, 11/15/2028		20,000			25,817

3.75%, 11/15/2043		40,000			53,830

3.00%, 5/15/2045		31,000			37,602

2.75%, 11/15/2047		35,000			41,072

2.00%, 2/15/2050		35,000			35,563

1.25%, 5/15/2050		10,000			8,477

U.S. Treasury Inflation Indexed Bonds 1.38%, 2/15/2044		27,500			45,064

U.S. Treasury Notes 2.00%, 11/30/2022		100,000			102,352

2.63%, 2/28/2023		25,000			25,932

2.13%, 11/30/2023		65,000			67,717

0.38%, 8/15/2024		10,000			9,992

2.25%, 11/15/2024		35,000			37,015

1.13%, 2/28/2025		25,000			25,527

0.50%, 3/31/2025		50,000			49,941

0.38%, 4/30/2025		40,000			39,736

2.00%, 8/15/2025		20,000			21,090

1.63%, 2/15/2026		20,000			20,809

1.13%, 2/28/2027		65,000			65,950

0.63%, 3/31/2027		30,000			29,607

2.25%, 8/15/2027		30,000			32,307

0.63%, 12/31/2027		30,000			29,323

1.25%, 4/30/2028		11,120			11,271

1.50%, 2/15/2030		25,000			25,591

0.63%, 5/15/2030		40,000			37,989


Total U.S. Treasury Obligations (Cost $852,195)					890,227

Mortgage-Backed Securities — 24.3%

FHLMC

Pool # 611141, ARM, 2.23%, 1/1/2027 (a)		27			27

Pool # 846812, ARM, 2.37%, 4/1/2030 (a)		3			3

Pool # 1G2627, ARM, 1.94%, 3/1/2037 (a)		200			206

FHLMC Gold Pools, 20 Year Pool # C90830, 4.50%, 5/1/2024		33			35

FHLMC Gold Pools, 30 Year

Pool # C00078, 9.00%, 11/1/2021		—	(b)		—	(b)

Pool # C80091, 6.50%, 1/1/2024		11			12

Pool # G00229, 8.50%, 5/1/2024		3			3

Pool # C00354, 8.50%, 7/1/2024		6			6

Pool # C00376, 8.00%, 11/1/2024		5			5

Pool # C00418, 7.00%, 8/1/2025		1			1


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # C00414, 7.50%, 8/1/2025		7		7

Pool # D63303, 7.00%, 9/1/2025		2		2

Pool # G00981, 8.50%, 7/1/2028		10		11

Pool # C00742, 6.50%, 4/1/2029		69		77

Pool # C00785, 6.50%, 6/1/2029		21		24

Pool # C47318, 7.00%, 9/1/2029		267		298

Pool # C01292, 6.00%, 2/1/2032		27		31

Pool # A16155, 5.50%, 11/1/2033		54		60

Pool # C03589, 4.50%, 10/1/2040		446		500

Pool # Q41177, 3.50%, 6/1/2046		14,477		15,797

Pool # G61334, 4.00%, 3/1/2047		3,632		4,049

Pool # Q54902, 4.00%, 3/1/2048		4,307		4,619

Pool # Q54950, 4.00%, 3/1/2048		5,659		6,203

Pool # Q59727, 4.00%, 11/1/2048		6,411		7,053

FHLMC UMBS, 30 Year

Pool # ZT1593, 3.50%, 1/1/2049		1,690		1,787

Pool # RA2675, 2.00%, 6/1/2050		17,005		17,248

Pool # RA2484, 3.00%, 6/1/2050		7,122		7,479

Pool # RA2904, 3.00%, 6/1/2050		10,878		11,438

Pool # RA2970, 2.50%, 7/1/2050		11,941		12,442

Pool # QB2020, 2.50%, 8/1/2050		7,970		8,326

Pool # QB3756, 2.50%, 9/1/2050		18,606		19,611

FNMA

Pool # 620061, ARM, 1.53%, 11/1/2027 (a)		16		16

Pool # 89406, ARM, 1.63%, 6/1/2029 (a)		4		4

Pool # 563497, ARM, 1.53%, 11/1/2040 (a)		15		15

FNMA UMBS, 15 Year

Pool # MA0512, 4.00%, 9/1/2025		425		451

Pool # FM4449, 3.00%, 12/1/2034		13,304		14,169

Pool # CA7114, 2.50%, 9/1/2035		20,983		22,178

FNMA UMBS, 20 Year Pool # 762498, 5.00%, 11/1/2023		58		63

FNMA UMBS, 30 Year

Pool # 190257, 7.00%, 2/1/2024		6		7

Pool # 315500, 7.00%, 8/1/2025		8		9

Pool # 250575, 6.50%, 6/1/2026		9		10

Pool # 483802, 5.50%, 2/1/2029		110		125

Pool # 524949, 7.50%, 3/1/2030		11		12

Pool # 545639, 6.50%, 4/1/2032		120		141

Pool # 702435, 5.50%, 5/1/2033		692		800

Pool # 709441, 5.50%, 7/1/2033		259		298

Pool # 730711, 5.50%, 8/1/2033		358		414

Pool # 743127, 5.50%, 10/1/2033		298		347

Pool # 747628, 5.00%, 11/1/2033		646		737


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 753662, 5.50%, 12/1/2033		421		491

Pool # 755615, 5.50%, 1/1/2034		443		515

Pool # 811755, 7.00%, 3/1/2035		972		1,162

Pool # 845834, 5.50%, 10/1/2035		256		288

Pool # 888201, 5.50%, 2/1/2036		111		128

Pool # 831409, 5.50%, 4/1/2036		528		608

Pool # 867420, 5.50%, 5/1/2036		258		297

Pool # 745802, 6.00%, 7/1/2036		543		645

Pool # 969708, 4.50%, 3/1/2038		39		42

Pool # AE1216, 3.50%, 1/1/2041		966		1,057

Pool # AE1260, 3.50%, 8/1/2041		559		612

Pool # AB5378, 3.50%, 5/1/2042		2,101		2,300

Pool # AO6710, 4.00%, 6/1/2042		3,124		3,516

Pool # AR5147, 3.00%, 3/1/2043		2,240		2,420

Pool # AT8192, 4.00%, 6/1/2043		1,886		2,085

Pool # AS1112, 4.00%, 11/1/2043		4,725		5,249

Pool # BM1109, 4.00%, 10/1/2044		3,403		3,825

Pool # AS4073, 4.00%, 12/1/2044		1,930		2,143

Pool # AL8660, 4.00%, 6/1/2045		5,150		5,789

Pool # AS5648, 3.50%, 7/1/2045		2,222		2,431

Pool # AS6208, 3.50%, 10/1/2045		1,306		1,429

Pool # AS6344, 3.50%, 12/1/2045		2,618		2,864

Pool # BM5560, 4.00%, 1/1/2046		10,101		11,351

Pool # AL8030, 4.00%, 2/1/2046		3,115		3,474

Pool # AX5520, 3.00%, 5/1/2046		1,092		1,180

Pool # AX5546, 3.00%, 9/1/2046		1,426		1,541

Pool # AX5547, 3.50%, 9/1/2046		2,322		2,546

Pool # BM3744, 4.00%, 3/1/2047		9,981		11,217

Pool # BM1049, 4.00%, 4/1/2047		9,378		10,238

Pool # CA0411, 4.00%, 9/1/2047		6,697		7,509

Pool # CA0861, 3.50%, 11/1/2047		4,543		4,980

Pool # BJ1666, 4.00%, 12/1/2047		5,828		6,388

Pool # BM3477, 4.00%, 1/1/2048		5,416		5,976

Pool # CA1006, 4.00%, 1/1/2048		6,606		7,290

Pool # CA1361, 3.50%, 2/1/2048		3,240		3,550

Pool # BD9074, 3.50%, 3/1/2048		1,294		1,408

Pool # BJ4640, 4.00%, 3/1/2048		2,422		2,653

Pool # BD9078, 4.00%, 4/1/2048		2,385		2,646

Pool # BD9077, 3.50%, 5/1/2048		1,039		1,139

Pool # BD9083, 4.00%, 7/1/2048		2,847		3,159

Pool # CA2489, 4.50%, 10/1/2048		2,382		2,569

Pool # BN7416, 3.50%, 9/1/2049		2,776		3,049

Pool # BO1418, 3.50%, 9/1/2049		3,938		4,165

Pool # BO1427, 3.50%, 9/1/2049		5,321		5,628

Pool # CA4431, 3.50%, 10/1/2049		6,974		7,375


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # MA3803, 3.50%, 10/1/2049		3,298		3,484

Pool # FM2014, 3.00%, 11/1/2049		10,919		11,629

Pool # BN0803, 3.50%, 12/1/2049		1,991		2,106

Pool # MA3872, 3.50%, 12/1/2049		3,351		3,543

Pool # BN0807, 3.50%, 1/1/2050		1,401		1,482

Pool # FM2437, 3.00%, 2/1/2050		14,625		15,408

Pool # CA6144, 2.50%, 6/1/2050		18,562		19,295

Pool # BP7345, 3.00%, 6/1/2050		16,610		17,497

Pool # BP9369, 2.00%, 7/1/2050		9,028		9,157

Pool # CA6322, 2.50%, 7/1/2050		15,871		16,498

Pool # BQ1645, 2.50%, 8/1/2050		8,794		9,156

Pool # BQ1911, 2.00%, 10/1/2050		5,153		5,251

Pool # BQ2999, 2.50%, 10/1/2050		9,161		9,552

Pool # BQ6051, 2.50%, 10/1/2050		8,380		8,731

Pool # BQ6118, 2.50%, 10/1/2050		9,356		9,726

FNMA, Other

Pool # AL1353, 3.16%, 1/1/2022 (a)		1,407		1,408

Pool # AM8674, 2.81%, 4/1/2025		6,500		6,944

Pool # AM4660, 3.77%, 12/1/2025		4,149		4,608

Pool # AN0571, 3.10%, 1/1/2026		6,500		7,081

Pool # AL8963, 2.92%, 5/1/2026 (a)		3,131		3,371

Pool # AN2493, 2.36%, 8/1/2026		3,857		4,090

Pool # AM6381, 3.29%, 8/1/2026		9,829		10,799

Pool # AM7199, 3.30%, 11/1/2026		3,000		3,318

Pool # AL9769, 2.64%, 12/1/2026 (a)		6,508		6,977

Pool # AN4635, 3.01%, 2/1/2027		6,777		7,422

Pool # FN0040, 3.05%, 6/1/2027 (a)		2,862		3,144

Pool # AN6800, 2.97%, 9/1/2027		3,402		3,736

Pool # AN6825, 2.80%, 10/1/2027		4,000		4,359

Pool # AN9486, 3.57%, 6/1/2028		12,449		14,202

Pool # 405220, 6.00%, 9/1/2028		5		5

Pool # BL0550, 3.77%, 11/1/2028		2,660		3,073

Pool # AN3908, 3.12%, 1/1/2029		8,092		9,017

Pool # BL1950, 3.47%, 3/1/2029		12,718		14,047

Pool # AN8493, 3.30%, 2/1/2030		4,802		5,321

Pool # BM5425, 3.15%, 3/1/2030 (a)		3,481		3,919

Pool # BL9023, 1.22%, 11/1/2030		20,475		20,078

Pool # BL4576, 2.70%, 10/1/2031		15,000		16,450

Pool # AN8412, 3.39%, 2/1/2033		4,500		5,138

Pool # AN8464, 3.33%, 3/1/2033		6,493		7,379

Pool # BL2944, 3.19%, 7/1/2034		1,700		1,941

Pool # BL3288, 2.52%, 9/1/2034		12,000		12,972

Pool # BL4331, 2.41%, 10/1/2034		16,000		17,093

Pool # BL4215, 2.56%, 9/1/2036		7,130		7,708

Pool # BL7125, 2.04%, 6/1/2037		8,385		8,458


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

GNMA I, 30 Year

Pool # 321560, 8.00%, 7/15/2022		1			1

Pool # 337141, 7.50%, 8/15/2022		2			2

Pool # 339969, 7.00%, 12/15/2022		—	(b)		—	(b)

Pool # 332022, 7.00%, 1/15/2023		1			1

Pool # 346572, 7.00%, 5/15/2023		—	(b)		—	(b)

Pool # 349788, 6.50%, 6/15/2023		—	(b)		—	(b)

Pool # 358801, 7.50%, 6/15/2023		3			3

Pool # 359588, 7.50%, 6/15/2023		3			3

Pool # 322200, 6.50%, 7/15/2023		4			5

Pool # 346673, 7.00%, 7/15/2023		1			1

Pool # 354538, 7.00%, 7/15/2023		—	(b)		—	(b)

Pool # 360889, 7.00%, 7/15/2023		1			1

Pool # 344505, 6.50%, 8/15/2023		2			2

Pool # 356717, 6.50%, 8/15/2023		2			2

Pool # 345375, 6.50%, 9/15/2023		5			6

Pool # 345391, 6.50%, 10/15/2023		1			1

Pool # 354681, 8.00%, 10/15/2023		3			3

Pool # 370927, 6.50%, 11/15/2023		—	(b)		—	(b)

Pool # 346944, 6.50%, 12/15/2023		—	(b)		—	(b)

Pool # 349265, 6.50%, 12/15/2023		5			5

Pool # 365740, 6.50%, 12/15/2023		1			1

Pool # 369830, 6.50%, 12/15/2023		—	(b)		—	(b)

Pool # 370289, 6.50%, 12/15/2023		—	(b)		—	(b)

Pool # 354747, 6.50%, 2/15/2024		27			31

Pool # 362341, 6.50%, 2/15/2024		15			17

Pool # 370338, 6.50%, 2/15/2024		—	(b)		—	(b)

Pool # 379328, 7.00%, 3/15/2024		1			1

Pool # 391552, 7.00%, 3/15/2024		24			24

Pool # 780029, 9.00%, 11/15/2024		—	(b)		—	(b)

Pool # 401860, 7.50%, 6/15/2025		1			1

Pool # 377557, 8.00%, 7/15/2025		5			6

Pool # 422308, 7.50%, 3/15/2026		9			9

Pool # 412644, 8.00%, 7/15/2026		3			3

Pool # 436445, 8.00%, 8/15/2026		—	(b)		—	(b)

Pool # 432398, 7.50%, 3/15/2027		11			11

Pool # 472679, 7.00%, 6/15/2028		—	(b)		—	(b)

Pool # 784010, 4.00%, 3/15/2045		435			513

Pool # 626938, 4.00%, 4/15/2045		252			288

Pool # 784041, 4.00%, 8/15/2045		3,038			3,570

Pool # 784208, 4.00%, 7/15/2046		4,202			4,664

Pool # 784897, 2.50%, 10/15/2049		9,340			9,915

Pool # BU5359, 3.00%, 4/15/2050		18,227			19,179

GNMA II, 30 Year

Pool # 2324, 8.00%, 11/20/2026		9			10


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # 2344, 8.00%, 12/20/2026		13		14

Pool # 2512, 8.00%, 11/20/2027		33		36


Total Mortgage-Backed Securities (Cost $681,916)				702,985

Collateralized Mortgage Obligations — 20.8%

FHLMC, REMIC

Series 1343, Class LA, 8.00%, 8/15/2022		2		2

Series 1367, Class K, 5.50%, 9/15/2022		15		15

Series 2688, Class DG, 4.50%, 10/15/2023		71		73

Series 1785, Class A, 6.00%, 10/15/2023		242		252

Series 1591, Class E, 10.00%, 10/15/2023		5		5

Series 1633, Class Z, 6.50%, 12/15/2023		42		44

Series 1694, Class PK, 6.50%, 3/15/2024		25		27

Series 3798, Class AY, 3.50%, 1/15/2026		1,426		1,498

Series 3809, Class BC, 3.50%, 2/15/2026		1,129		1,186

Series 4181, Class VA, 3.00%, 5/15/2026		1,616		1,629

Series 3188, Class GE, 6.00%, 7/15/2026		501		544

Series 3926, Class MW, 4.50%, 9/15/2026		4,039		4,321

Series 1999, Class PU, 7.00%, 10/15/2027		29		32

Series 2031, Class PG, 7.00%, 2/15/2028		65		74

Series 2035, Class PC, 6.95%, 3/15/2028		201		227

Series 2064, Class PD, 6.50%, 6/15/2028		120		137

Series 2095, Class PE, 6.00%, 11/15/2028		98		111

Series 4066, Class VB, 3.50%, 1/15/2029		807		808

Series 4050, Class VE, 4.00%, 1/15/2029		1,975		1,986

Series 4314, Class DY, 3.50%, 3/15/2029		1,450		1,588

Series 4336, Class YB, 3.00%, 5/15/2029		2,624		2,763

Series 2152, Class BD, 6.50%, 5/15/2029		40		44

Series 2162, Class TH, 6.00%, 6/15/2029		239		268

Series 4002, Class MV, 4.00%, 1/15/2030		494		494

Series 3737, Class DG, 5.00%, 10/15/2030		938		997

Series 3981, Class PA, 3.00%, 4/15/2031		4,247		4,375

Series 2367, Class ME, 6.50%, 10/15/2031		175		198

Series 2647, Class A, 3.25%, 4/15/2032		76		81

Series 2480, Class EJ, 6.00%, 8/15/2032		186		205

Series 4156, Class SB, IF, 5.35%, 1/15/2033 (a)		849		914

Series 4170, Class TS, IF, 5.86%, 2/15/2033 (a)		3,868		4,046

Series 4186, Class JE, 2.00%, 3/15/2033		8,539		8,813

Series 4188, Class JG, 2.00%, 4/15/2033		5,443		5,638

Series 4206, Class DA, 2.00%, 5/15/2033		4,062		4,214

Series 2611, Class QZ, 5.00%, 5/15/2033		2,098		2,329

Series 2882, Class QD, 4.50%, 7/15/2034		194		203

Series 2927, Class GA, 5.50%, 10/15/2034		28		28

Series 4429, Class HB, 3.00%, 1/15/2035		6,293		6,889


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2915, Class MU, 5.00%, 1/15/2035		1,358		1,539

Series 5000, Class CB, 1.25%, 1/25/2035		7,367		7,421

Series 4448, Class DY, 3.00%, 3/15/2035		5,542		6,044

Series 4458, Class BW, 3.00%, 4/15/2035		10,000		10,799

Series 3085, Class VS, HB, IF, 28.34%, 12/15/2035 (a)		230		374

Series 3181, Class OP, PO, 7/15/2036		807		741

Series 4867, Class WF, 0.50%, 4/15/2037 (a)		7,545		7,620

Series 3413, Class B, 5.50%, 4/15/2037		301		341

Series 3325, Class JL, 5.50%, 6/15/2037		2,092		2,416

Series 3341, Class PE, 6.00%, 7/15/2037		1,440		1,678

Series 4365, Class HZ, 3.00%, 1/15/2040		5,261		5,601

Series 3699, Class QH, 5.50%, 7/15/2040		1,506		1,670

Series 3772, Class PE, 4.50%, 12/15/2040		4,297		4,795

Series 4047, Class PB, 3.50%, 1/15/2041		5,380		5,531

Series 3927, Class PC, 4.50%, 9/15/2041		3,970		4,552

Series 4002, Class CY, 3.50%, 2/15/2042		4,819		5,398

Series 4039, Class SA, IF, IO, 6.40%, 5/15/2042 (a)		4,047		726

Series 4061, Class LB, 3.50%, 6/15/2042		3,570		4,029

Series 4062, Class GY, 4.00%, 6/15/2042		6,109		7,101

Series 4091, Class BQ, 2.00%, 8/15/2042		5,000		5,044

Series 4091, Class PB, 2.00%, 8/15/2042		3,673		3,646

Series 4122, Class PY, 3.00%, 10/15/2042		3,000		3,242

Series 4394, Class PL, 3.50%, 10/15/2044		5,000		5,651

Series 4594, Class GN, 2.50%, 2/15/2045		2,697		2,813

Series 4606, Class KP, 2.50%, 7/15/2046		16,173		16,990

Series 4748, Class HE, 3.00%, 1/15/2048		6,567		7,039

Series 4974, Class PH, 1.50%, 6/25/2048		2,596		2,650

Series 4933, Class PA, 2.50%, 10/25/2049		8,454		8,749

Series 4937, Class MD, 2.50%, 10/25/2049		33,821		35,303

Series 4925, Class PA, 3.00%, 10/25/2049		14,786		15,799

Series 5072, Class QC, 1.00%, 10/25/2050		9,508		9,306

FHLMC, STRIPS

Series 155, IO, 7.00%, 11/1/2023		5		—	(b)

Series 264, Class 30, 3.00%, 7/15/2042		5,017		5,264

Series 267, Class 30, 3.00%, 8/15/2042		2,933		3,048

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-54, Class 2A, 6.50%, 2/25/2043		1,127		1,349

Series T-56, Class A, PO, 5/25/2043		659		655

Series T-51, Class 1A, 6.50%, 9/25/2043 (a)		975		1,211

FNMA, Grantor Trust, Whole Loan Series 2004-T1, Class 1A2, 6.50%, 1/25/2044		208		243


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



FNMA, REMIC

Series G92-35, Class EB, 7.50%, 7/25/2022		—	(b)		—	(b)

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(b)		—	(b)

Series 1993-146, Class E, PO, 5/25/2023		8			8

Series 1993-110, Class H, 6.50%, 5/25/2023		10			11

Series 1993-217, Class H, PO, 8/25/2023		2			2

Series 1993-205, Class H, PO, 9/25/2023		2			2

Series 1993-228, Class G, PO, 9/25/2023		2			2

Series 1993-155, Class PJ, 7.00%, 9/25/2023		179			188

Series 2003-128, Class DY, 4.50%, 1/25/2024		317			326

Series 1994-51, Class PV, 6.00%, 3/25/2024		248			261

Series 1994-37, Class L, 6.50%, 3/25/2024		58			61

Series 2010-117, Class DY, 4.50%, 10/25/2025		5,000			5,295

Series 2010-155, Class B, 3.50%, 1/25/2026		2,503			2,621

Series 1998-58, Class PC, 6.50%, 10/25/2028		259			293

Series 2000-8, Class Z, 7.50%, 2/20/2030		105			121

Series 2002-92, Class FB, 0.73%, 4/25/2030 (a)		241			244

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		146			20

Series 2003-67, Class SA, HB, IF, 44.95%, 10/25/2031 (a)		45			76

Series 2011-145, Class PB, 3.50%, 1/25/2032		11,500			12,422

Series 2012-100, Class AY, 3.00%, 9/25/2032		5,750			6,301

Series 2013-50, Class YO, PO, 1/25/2033		2,612			2,346

Series 2003-21, Class PZ, 4.50%, 3/25/2033		1,210			1,330

Series 2013-106, Class PY, 3.00%, 10/25/2033		5,300			5,724

Series 2013-130, Class GY, 3.50%, 1/25/2034		3,699			4,206

Series 2014-2, Class QB, 3.00%, 2/25/2034		2,745			2,986

Series 2004-46, Class QD, HB, IF, 23.66%, 3/25/2034 (a)		257			325

Series 2004-54, Class FL, 0.48%, 7/25/2034 (a)		542			547

Series 2015-11, Class AQ, 3.00%, 3/25/2035		6,000			6,508


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-22, Class EH, 5.00%, 4/25/2035		2,271		2,598

Series 2015-28, Class GB, 3.50%, 5/25/2035		4,000		4,524

Series 2015-41, Class AY, 3.00%, 6/25/2035		4,653		5,144

Series 2015-51, Class LY, 3.00%, 7/25/2035		4,429		4,733

Series 2005-58, Class EP, 5.50%, 7/25/2035		242		273

Series 2006-3, Class SB, IF, IO, 6.62%, 7/25/2035 (a)		1,000		83

Series 2015-59, Class EB, 3.00%, 8/25/2035		5,879		6,371

Series 2005-83, Class LA, 5.50%, 10/25/2035		379		427

Series 2005-116, Class PC, 6.00%, 1/25/2036		1,730		1,948

Series 2006-51, Class FP, 0.43%, 3/25/2036 (a)		2,080		2,089

Series 2016-28, Class DW, 3.50%, 5/25/2036		4,491		5,158

Series 2006-81, Class FA, 0.43%, 9/25/2036 (a)		28		29

Series 2006-110, PO, 11/25/2036		297		278

Series 2007-76, Class PE, 6.00%, 8/25/2037		877		1,027

Series 2010-47, Class MB, 5.00%, 9/25/2039		2,110		2,412

Series 2010-68, Class EP, 4.50%, 12/25/2039		492		512

Series 2010-11, Class CB, 4.50%, 2/25/2040		112		124

Series 2010-4, Class SL, IF, 11.40%, 2/25/2040 (a)		46		61

Series 2012-115, Class ME, 1.75%, 3/25/2042		3,252		3,319

Series 2012-60, Class EP, 3.00%, 4/25/2042		1,197		1,256

Series 2012-50, Class HY, 4.00%, 5/25/2042		5,566		6,399

Series 2012-141, Class PB, 2.50%, 12/25/2042		1,400		1,459

Series 2012-139, Class JA, 3.50%, 12/25/2042		4,087		4,473

Series 2013-128, Class AO, PO, 12/25/2043		6,603		5,972

Series 2015-48, Class DE, 3.00%, 10/25/2044		11,897		12,755


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2016-45, Class PC, 3.00%, 9/25/2045		7,900		8,299

Series 2016-38, Class NA, 3.00%, 1/25/2046		9,199		9,923

Series 2019-71, Class CA, 2.50%, 7/25/2046		15,101		15,720

Series 2019-38, Class PC, 3.00%, 2/25/2048		9,180		9,660

Series 2019-65, Class PA, 2.50%, 5/25/2048		10,922		11,300

Series 2019-42, Class KA, 3.00%, 7/25/2049		15,652		16,391

Series 2019-81, Class JA, 2.50%, 9/25/2049		13,534		14,187

Series 2019-77, Class ZL, 3.00%, 1/25/2050		26,280		27,753

Series 2020-12, Class JC, 2.00%, 3/25/2050		31,556		32,475

Series 2021-4, Class GD, 1.00%, 2/25/2051		9,393		9,302

FNMA, REMIC Trust, Whole Loan

Series 1999-W4, Class A9, 6.25%, 2/25/2029		59		66

Series 2002-W7, Class A4, 6.00%, 6/25/2029		650		747

Series 2003-W1, Class 1A1, 5.09%, 12/25/2042 (a)		379		416

Series 2003-W1, Class 2A, 5.59%, 12/25/2042 (a)		205		228

Series 2005-W1, Class 1A2, 6.50%, 10/25/2044		1,228		1,461

Series 2009-W1, Class A, 6.00%, 12/25/2049		492		568

FNMA, REMIC, Whole Loan Series 2009-89, Class A1, 5.41%, 5/25/2035		116		120

FNMA, STRIPS

Series 278, Class 3, 0.96%, 11/25/2023 (a)		48		48

Series 278, Class 1, 0.85%, 8/25/2025 (a)		307		310

GNMA

Series 2004-27, Class PD, 5.50%, 4/20/2034		1,797		1,972

Series 2008-15, Class NB, 4.50%, 2/20/2038		288		313

Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (a)		1,818		323

Series 2009-42, Class TX, 4.50%, 6/20/2039		4,876		5,405


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2009-69, Class WM, 5.50%, 8/20/2039		1,340		1,516

Series 2011-29, Class Z, 5.00%, 5/20/2040		16,886		19,464

Series 2012-126, Class BE, 2.00%, 10/20/2042		4,000		3,993

Seasoned Credit Risk Transfer Trust

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		2,238		2,465

Series 2020-1, Class M55G, 3.00%, 8/25/2059		18,167		19,303


Total Collateralized Mortgage Obligations (Cost $576,472)				602,814

Commercial Mortgage-Backed Securities — 13.1%

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ14, Class A2, 2.81%, 9/25/2024		5,145		5,437

Series K046, Class A2, 3.21%, 3/25/2025		6,026		6,526

Series K048, Class A2, 3.28%, 6/25/2025 (a)		6,500		7,073

Series K049, Class A2, 3.01%, 7/25/2025		3,519		3,802

Series K052, Class A2, 3.15%, 11/25/2025		6,716		7,316

Series K734, Class A2, 3.21%, 2/25/2026		5,060		5,515

Series K067, Class A2, 3.19%, 7/25/2027		6,558		7,301

Series K069, Class A2, 3.19%, 9/25/2027 (a)		3,000		3,345

Series K087, Class A1, 3.59%, 10/25/2027		5,108		5,639

Series K086, Class A1, 3.67%, 12/25/2027		2,587		2,861

Series W5FX, Class AFX, 3.34%, 4/25/2028 (a)		3,436		3,845

Series K078, Class A2, 3.85%, 6/25/2028		5,779		6,714

Series K081, Class A2, 3.90%, 8/25/2028 (a)		9,055		10,574

Series K086, Class A2, 3.86%, 11/25/2028 (a)		7,320		8,551

Series K088, Class A2, 3.69%, 1/25/2029		8,700		10,080

Series K158, Class A1, 3.90%, 7/25/2030		8,981		10,364

Series K-1511, Class A1, 3.28%, 10/25/2030		9,496		10,577

Series K-1511, Class A3, 3.54%, 3/25/2034		10,000		11,791

Series K-1512, Class A3, 3.06%, 4/25/2034		10,000		11,306

Series Q007, Class APT2, 3.30%, 10/25/2047 (a)		4,616		4,870

Series Q013, Class APT2, 1.29%, 5/25/2050 (a)		14,207		14,095


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



FNMA ACES

Series 2015-M13, Class A2, 2.80%, 6/25/2025 (a)		4,262		4,542

Series 2016-M1, Class A2, 2.94%, 1/25/2026 (a)		19,004		20,369

Series 2017-M3, Class A2, 2.56%, 12/25/2026 (a)		5,934		6,342

Series 2017-M4, Class A2, 2.65%, 12/25/2026 (a)		5,809		6,249

Series 2017-M7, Class A2, 2.96%, 2/25/2027 (a)		4,394		4,777

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (a)		12,000		13,178

Series 2018-M4, Class A2, 3.15%, 3/25/2028 (a)		14,428		15,976

Series 2018-M8, Class A2, 3.44%, 6/25/2028 (a)		9,930		11,187

Series 2019-M1, Class A2, 3.67%, 9/25/2028 (a)		10,615		12,148

Series 2019-M2, Class A2, 3.75%, 11/25/2028 (a)		13,500		15,389

Series 2019-M5, Class A2, 3.27%, 2/25/2029		8,720		9,784

Series 2019-M25, Class A2, 2.33%, 11/25/2029 (a)		14,000		14,895

Series 2020-M8, Class A2, 1.82%, 2/25/2030		9,700		9,962

Series 2019-M21, Class 2A2, 2.35%, 2/25/2031		17,000		17,975

Series 2019-M4, Class A2, 3.61%, 2/25/2031		7,500		8,812

Series 2019-M31, Class A2, 2.85%, 4/25/2034		5,500		5,879

Series 2020-M8, Class AL, 2.01%, 3/25/2035		17,971		18,399

Series 2020-M24, Class A3, 1.75%, 1/25/2037		15,000		14,749

Series 2019-M14, Class AL2, 3.07%, 4/25/2048		10,000		11,233


Total Commercial Mortgage-Backed Securities (Cost $354,951)				379,427

U.S. Government Agency Securities — 4.3%

FFCB Funding Corp.

5.75%, 5/11/2026		10,000		12,309

5.75%, 12/7/2028		12,824		16,840

3.33%, 4/28/2037		15,000		17,841


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Government Agency Securities — continued

FNMA

6.25%, 5/15/2029		10,000		13,677

DN, 5.23%, 5/15/2030 (c)		10,000		8,798

FNMA, STRIPS

18.40%, 5/29/2026 (c)		9,200		8,841

2.65%, 10/8/2027 (c)		8,000		7,491

Resolution Funding Corp. STRIPS

DN, 21.39%, 4/15/2028 (c)		15,000		13,913

DN, 5.92%, 1/15/2030 (c)		15,700		13,849

DN, 20.59%, 4/15/2030 (c)		5,000		4,382

Tennessee Valley Authority 0.75%, 5/15/2025		7,000		7,065


Total U.S. Government Agency Securities (Cost $103,031)				125,006

Asset-Backed Securities — 1.1%

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 (Cost $29,027)		28,919		31,608


	SHARES (000)
Short-Term Investments — 5.4%

Investment Companies — 5.4%

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (d) (e) (Cost $157,495)		157,495		157,495

Total Investments — 99.8% (Cost $2,755,087)				2,889,562
Other Assets Less Liabilities — 0.2%				4,756

NET ASSETS — 100.0%				2,894,318

Percentages indicated are based on net assets.

Abbreviations


ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
DN		Discount Notes
FFCB		Federal Farm Credit Bank
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REMIC		Real Estate Mortgage Investment Conduit
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
UMBS		Uniform Mortgage-Backed Securities

(a)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(b)		Amount rounds to less than one thousand.
(c)		The rate shown is the effective yield as of August 31, 2021.
(d)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)		The rate shown is the current yield as of August 31, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 85.6%

Aerospace & Defense — 1.2%

Bombardier, Inc. (Canada) 6.00%, 10/15/2022 (a)		3,798		3,803

7.50%, 12/1/2024 (a)		11,760		12,256

7.13%, 6/15/2026 (a)		2,706		2,855

BWX Technologies, Inc. 4.13%, 6/30/2028 (a)		7,722		7,934

4.13%, 4/15/2029 (a)		9,074		9,335

Howmet Aerospace, Inc. 6.88%, 5/1/2025		1,915		2,263

6.75%, 1/15/2028		7,619		9,395

5.95%, 2/1/2037		1,250		1,577

Spirit AeroSystems, Inc. 5.50%, 1/15/2025 (a)		5,860		6,131

7.50%, 4/15/2025 (a)		5,708		6,043

TransDigm, Inc. 6.25%, 3/15/2026 (a)		12,652		13,285

Triumph Group, Inc. 8.88%, 6/1/2024 (a)		1,143		1,259


				76,136


Airlines — 0.7%

American Airlines, Inc. 5.50%, 4/20/2026 (a)		11,196		11,801

5.75%, 4/20/2029 (a)		9,571		10,335

Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)		17,004		18,472

United Airlines, Inc. 4.38%, 4/15/2026 (a)		6,856		7,112


				47,720


Auto Components — 3.1%

Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a)		7,139		7,335

Adient US LLC 9.00%, 4/15/2025 (a)		5,219		5,690

Allison Transmission, Inc. 4.75%, 10/1/2027 (a)		12,660		13,270

5.88%, 6/1/2029 (a)		7,800		8,580

3.75%, 1/30/2031 (a)		855		854

American Axle & Manufacturing, Inc. 6.25%, 4/1/2025		14,755		15,247

6.25%, 3/15/2026		11,864		12,221

6.50%, 4/1/2027		10,666		11,199

6.88%, 7/1/2028		5,535		5,980

5.00%, 10/1/2029		6,140		6,138

Clarios Global LP 6.75%, 5/15/2025 (a)		16,526		17,497

6.25%, 5/15/2026 (a)		630		664

Cooper-Standard Automotive, Inc. 13.00%, 6/1/2024 (a)		10,880		12,022

5.63%, 11/15/2026 (a)		30,427		25,597


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Auto Components — continued

Dana, Inc. 5.38%, 11/15/2027		14,155		14,934

5.63%, 6/15/2028		2,658		2,857

Goodyear Tire & Rubber Co. (The) 5.00%, 5/31/2026		3,050		3,141

5.00%, 7/15/2029 (a)		4,196		4,437

5.25%, 4/30/2031		5,736		6,130

5.25%, 7/15/2031 (a)		2,013		2,153

JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (a)		4,004		4,224

Tenneco, Inc. 5.38%, 12/15/2024		524		527

5.00%, 7/15/2026		7,324		7,318

7.88%, 1/15/2029 (a)		6,464		7,272

5.13%, 4/15/2029 (a)		5,955		6,178


				201,465


Automobiles — 0.6%

Ford Motor Co. 8.50%, 4/21/2023		5,433		6,007

9.00%, 4/22/2025		12,522		15,298

9.63%, 4/22/2030		3,956		5,638

PM General Purchaser LLC 9.50%, 10/1/2028 (a)		10,526		11,446


				38,389


Banks — 0.7%

Bank of America Corp. Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (b) (c) (d)		17,177		19,297

Barclays plc (United Kingdom)

(USD Swap Semi 5 Year + 4.84%), 7.75%, 9/15/2023 (b) (c) (d)		6,252		6,839

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.67%), 8.00%, 6/15/2024 (b) (c) (d)		5,787		6,575

Citigroup, Inc.

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (b) (c) (d)		2,725		2,991

Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (b) (c) (d)		9,565		11,119


				46,821


Beverages — 0.2%

Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)		10,103		9,999


Biotechnology — 0.1%

Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)		7,800		7,605


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Building Products — 1.4%

Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a)		2,082		2,165

APi Group DE, Inc. 4.13%, 7/15/2029 (a)		4,934		4,835

Builders FirstSource, Inc. 4.25%, 2/1/2032 (a)		6,013		6,177

Griffon Corp. 5.75%, 3/1/2028		18,095		19,202

JELD-WEN, Inc. 6.25%, 5/15/2025 (a)		6,670		7,070

4.88%, 12/15/2027 (a)		14,131		14,732

PGT Innovations, Inc. 6.75%, 8/1/2026 (a)		9,732		10,211

Standard Industries, Inc. 5.00%, 2/15/2027 (a)		6,715		6,942

4.75%, 1/15/2028 (a)		5,910		6,136

3.38%, 1/15/2031 (a)		4,599		4,432

Summit Materials LLC 5.13%, 6/1/2025 (a)		8,090		8,204

5.25%, 1/15/2029 (a)		2,323		2,459


				92,565


Chemicals — 2.5%

Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)		10,653		11,185

3.38%, 2/15/2029 (a)		8,157		7,994

Chemours Co. (The) 5.75%, 11/15/2028 (a)		9,242		9,797

CVR Partners LP 9.25%, 6/15/2023 (a)		4,316		4,321

6.13%, 6/15/2028 (a)		6,512		6,659

Element Solutions, Inc. 3.88%, 9/1/2028 (a)		5,223		5,327

GCP Applied Technologies, Inc. 5.50%, 4/15/2026 (a)		8,401		8,589

Hexion, Inc. 7.88%, 7/15/2027 (a)		5,560		5,908

INEOS Group Holdings SA (Luxembourg) 5.63%, 8/1/2024 (a)		10,757		10,770

INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)		1,985		2,010

NOVA Chemicals Corp. (Canada) 5.00%, 5/1/2025 (a)		4,732		5,028

5.25%, 6/1/2027 (a)		20,316		21,705

4.25%, 5/15/2029 (a)		7,057		7,092

Scotts Miracle-Gro Co. (The) 5.25%, 12/15/2026		895		927

4.50%, 10/15/2029		3,052		3,189

4.00%, 4/1/2031 (a)		5,901		5,916

4.38%, 2/1/2032 (a)		6,213		6,301

Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)		16,044		16,365

5.13%, 4/1/2029 (a)		4,468		4,512

Venator Finance SARL 9.50%, 7/1/2025 (a)		6,750		7,493


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Chemicals — continued

W.R. Grace & Co.-Conn. 4.88%, 6/15/2027 (a)		5,040		5,229

WR Grace Holdings LLC 5.63%, 8/15/2029 (a)		3,008		3,132


				159,449


Commercial Services & Supplies — 3.0%

ACCO Brands Corp. 4.25%, 3/15/2029 (a)		10,350		10,400

ADT Security Corp. (The) 4.13%, 8/1/2029 (a)		8,586		8,575

4.88%, 7/15/2032 (a)		10,447		10,603

Allied Universal Holdco LLC 6.63%, 7/15/2026 (a)		2,279		2,436

9.75%, 7/15/2027 (a)		2,905		3,177

4.63%, 6/1/2028 (a)		11,440		11,477

Aramark Services, Inc. 5.00%, 2/1/2028 (a)		12,128		12,611

Brink’s Co. (The) 4.63%, 10/15/2027 (a)		21,749		22,844

CoreCivic, Inc. 8.25%, 4/15/2026		9,468		9,994

Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)		9,805		9,830

9.50%, 11/1/2027 (a)		1,127		1,227

6.00%, 6/1/2029 (a)		7,870		7,603

GFL Environmental, Inc. (Canada) 3.75%, 8/1/2025 (a)		11,105		11,438

4.00%, 8/1/2028 (a)		5,384		5,344

4.75%, 6/15/2029 (a)		5,640		5,795

4.38%, 8/15/2029 (a)		4,235		4,256

Interface, Inc. 5.50%, 12/1/2028 (a)		7,000		7,315

Madison IAQ LLC 5.88%, 6/30/2029 (a)		8,205		8,400

Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (a)		4,398		4,508

Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a)		13,928		15,068

3.38%, 8/31/2027 (a)		11,842		11,427

Stericycle, Inc. 3.88%, 1/15/2029 (a)		6,206		6,316


				190,644


Communications Equipment — 1.0%

CommScope Technologies LLC 6.00%, 6/15/2025 (a)		3,248		3,303

5.00%, 3/15/2027 (a)		5,000		4,923

CommScope, Inc. 6.00%, 3/1/2026 (a)		19,426		20,383

8.25%, 3/1/2027 (a)		9,545		10,062

7.13%, 7/1/2028 (a)		8,830		9,260

4.75%, 9/1/2029 (a)		8,932		9,045

Plantronics, Inc. 4.75%, 3/1/2029 (a)		6,002		5,746


				62,722


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Construction & Engineering — 0.5%

Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)		6,653		6,792

MasTec, Inc. 4.50%, 8/15/2028 (a)		15,126		15,920

Pike Corp. 5.50%, 9/1/2028 (a)		7,866		7,994


				30,706


Consumer Finance — 2.6%

Ford Motor Credit Co. LLC 3.10%, 5/4/2023		2,945		3,010

3.37%, 11/17/2023		2,905		2,998

4.06%, 11/1/2024		2,098		2,217

4.69%, 6/9/2025		3,035		3,291

5.13%, 6/16/2025		12,405		13,614

4.13%, 8/4/2025		3,064		3,271

3.38%, 11/13/2025		6,320		6,541

4.39%, 1/8/2026		12,271		13,161

4.54%, 8/1/2026		24,154		26,238

4.27%, 1/9/2027		13,424		14,364

4.13%, 8/17/2027		13,285		14,215

3.82%, 11/2/2027		11,567		12,174

4.00%, 11/13/2030		13,062		13,780

ILFC E-Capital Trust II (US Treasury Yield Curve Rate T Note Constant Maturity 30 Year + 1.80%), 3.91%, 12/21/2065 (a) (c)		24,298		20,532

OneMain Finance Corp. 6.88%, 3/15/2025		2,220		2,514

7.13%, 3/15/2026		6,677		7,804

3.50%, 1/15/2027		2,437		2,467

6.63%, 1/15/2028		1,300		1,500

4.00%, 9/15/2030		1,642		1,646


				165,337


Containers & Packaging — 2.2%

Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a)		3,250		3,379

5.25%, 8/15/2027 (a)		36,185		37,451

Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a)		4,138		4,411

Greif, Inc. 6.50%, 3/1/2027 (a)		16,224		17,038

LABL, Inc. 6.75%, 7/15/2026 (a)		17,730		18,617

10.50%, 7/15/2027 (a)		1,017		1,107

Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a)		18,535		18,674

7.25%, 4/15/2025 (a)		14,704		14,536

Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)		6,260		6,752


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Containers & Packaging — continued

Reynolds Group Issuer, Inc. 4.00%, 10/15/2027 (a)		7,722		7,719

Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e)		5,803		6,115

8.50%, 8/15/2027 (a) (e)		4,462		4,791


				140,590


Distributors — 0.4%

Wolverine Escrow LLC 8.50%, 11/15/2024 (a)		4,092		3,887

9.00%, 11/15/2026 (a)		18,303		17,571

13.13%, 11/15/2027 (a)		4,215		3,383


				24,841


Diversified Consumer Services — 0.0% (f)

Service Corp. International 4.00%, 5/15/2031		2,450		2,538


Diversified Financial Services — 0.3%

Sabre GLBL, Inc. 9.25%, 4/15/2025 (a)		3,680		4,241

7.38%, 9/1/2025 (a)		11,600		12,267


				16,508


Diversified Telecommunication Services — 8.4%

Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a)		12,799		14,063

6.00%, 2/15/2028 (a)		4,795		4,753

Altice France SA (France)

7.38%, 5/1/2026 (a)		19,757		20,507

8.13%, 2/1/2027 (a)		8,162		8,866

5.13%, 7/15/2029 (a)		13,972		14,126

CCO Holdings LLC 5.75%, 2/15/2026 (a)		17,973		18,490

5.13%, 5/1/2027 (a)		83,009		86,728

5.00%, 2/1/2028 (a)		12,704		13,309

5.38%, 6/1/2029 (a)		1,091		1,192

4.75%, 3/1/2030 (a)		29,294		30,995

4.25%, 2/1/2031 (a)		23,313		23,925

4.25%, 1/15/2034 (a)		9,510		9,596

Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a)		13,403		13,655

8.00%, 10/15/2025 (a)		6,014		6,290

Embarq Corp. 8.00%, 6/1/2036		17,926		18,867

Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)		12,190		13,031

5.00%, 5/1/2028 (a)		18,805		19,651

6.75%, 5/1/2029 (a)		2,246		2,404

5.88%, 11/1/2029		2,110		2,145


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Telecommunication Services — continued

Intelsat Jackson Holdings SA (Luxembourg) 5.50%, 8/1/2023 (g)		29,162		15,164

8.00%, 2/15/2024 (a) (e) (g)		13,382		13,884

8.50%, 10/15/2024 (a) (g)		40,649		21,951

9.75%, 7/15/2025 (a) (g)		8,659		4,589

Level 3 Financing, Inc. 4.63%, 9/15/2027 (a)		1,875		1,934

4.25%, 7/1/2028 (a)		11,530		11,667

3.63%, 1/15/2029 (a)		5,406		5,244

Lumen Technologies, Inc. 5.13%, 12/15/2026 (a)		16,460		17,020

4.00%, 2/15/2027 (a)		16,190		16,615

Series G, 6.88%, 1/15/2028		4,143		4,656

4.50%, 1/15/2029 (a)		3,960		3,871

5.38%, 6/15/2029 (a)		8,375		8,600

Sprint Capital Corp. 8.75%, 3/15/2032		36,928		56,552

Switch Ltd. 3.75%, 9/15/2028 (a)		1,738		1,768

4.13%, 6/15/2029 (a)		2,820		2,908

Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033		2,764		3,248

6.00%, 9/30/2034		2,580		2,934

Virgin Media Secured Finance plc (United Kingdom) 4.50%, 8/15/2030 (a)		15,837		16,063


				531,261


Electric Utilities — 0.9%

NRG Energy, Inc. 6.63%, 1/15/2027		10,774		11,174

5.75%, 1/15/2028		5,434		5,808

3.38%, 2/15/2029 (a)		2,919		2,934

5.25%, 6/15/2029 (a)		4,145		4,500

3.88%, 2/15/2032 (a)		4,720		4,786

PG&E Corp. 5.00%, 7/1/2028		12,845		12,749

5.25%, 7/1/2030		2,206		2,173

Texas Competitive Electric Holdings Co. LLC 8.50%, 10/1/2021 ‡ (g)		83,215		125

8.50%, 12/1/2021 ‡ (g)		70,354		70

Vistra Operations Co. LLC 5.50%, 9/1/2026 (a)		11,717		12,052

4.38%, 5/1/2029 (a)		2,024		2,054


				58,425


Electrical Equipment — 0.1%

Sensata Technologies BV 4.00%, 4/15/2029 (a)		6,863		7,104


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Electronic Equipment, Instruments & Components — 0.3%

CDW LLC 4.25%, 4/1/2028		6,385		6,688

3.25%, 2/15/2029		4,026		4,132

Sensata Technologies, Inc. 3.75%, 2/15/2031 (a)		5,287		5,313


				16,133


Energy Equipment & Services — 0.6%

Archrock Partners LP 6.88%, 4/1/2027 (a)		1,752		1,820

Nabors Industries Ltd. 7.25%, 1/15/2026 (a)		2,825		2,627

Oceaneering International, Inc. 6.00%, 2/1/2028		2,565		2,537

Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)		8,000		8,180

6.88%, 1/15/2029 (a)		1,003		1,009

Telford Offshore Ltd. (United Arab Emirates) 12.00% (PIK), 12/31/2164 (b) (d) (h)		8,819		399

Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)		7,814		7,736

Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)		13,168		12,739

Transocean Proteus Ltd. 6.25%, 12/1/2024 (a)		1,100		1,084


				38,131


Entertainment — 1.7%

AMC Entertainment Holdings, Inc. 10.50%, 4/24/2026 (a)		4,861		5,201

12.00% (PIK), 6/15/2026 (a) (h)		8,508		7,446

Cinemark USA, Inc. 8.75%, 5/1/2025 (a)		4,715		5,109

5.25%, 7/15/2028 (a)		4,220		4,009

Live Nation Entertainment, Inc. 4.88%, 11/1/2024 (a)		8,400		8,516

5.63%, 3/15/2026 (a)		7,696		8,020

6.50%, 5/15/2027 (a)		18,428		20,317

4.75%, 10/15/2027 (a)		6,470		6,574

Netflix, Inc. 4.88%, 4/15/2028		1,836		2,146

5.88%, 11/15/2028		23,986		29,742

WMG Acquisition Corp. 3.88%, 7/15/2030 (a)		13,525		14,252


				111,332


Equity Real Estate Investment Trusts (REITs) — 1.9%

Iron Mountain, Inc. 5.00%, 7/15/2028 (a)		4,466		4,667

4.50%, 2/15/2031 (a)		7,816		8,038


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — continued

MGM Growth Properties Operating Partnership LP 5.75%, 2/1/2027		28,470		32,773

3.88%, 2/15/2029 (a)		6,913		7,328

RHP Hotel Properties LP 4.75%, 10/15/2027		16,939		17,647

4.50%, 2/15/2029 (a)		5,503		5,572

SBA Communications Corp. 3.88%, 2/15/2027		5,891		6,122

VICI Properties LP 4.25%, 12/1/2026 (a)		20,744		21,791

3.75%, 2/15/2027 (a)		9,165		9,532

4.63%, 12/1/2029 (a)		9,991		10,865


				124,335


Food & Staples Retailing — 1.8%

Albertsons Cos., Inc. 3.25%, 3/15/2026 (a)		6,497		6,668

7.50%, 3/15/2026 (a)		14,225		15,484

4.63%, 1/15/2027 (a)		7,110		7,528

5.88%, 2/15/2028 (a)		1,251		1,342

3.50%, 3/15/2029 (a)		15,624		15,779

New Albertsons LP 7.75%, 6/15/2026		2,278		2,614

6.63%, 6/1/2028		3,704		4,028

7.45%, 8/1/2029		3,725		4,330

8.00%, 5/1/2031		3,987		4,860

Performance Food Group, Inc. 6.88%, 5/1/2025 (a)		1,365		1,450

5.50%, 10/15/2027 (a)		7,255		7,554

4.25%, 8/1/2029 (a)		7,885		7,912

Rite Aid Corp. 7.50%, 7/1/2025 (a)		13,843		14,237

8.00%, 11/15/2026 (a)		19,725		20,339


				114,125


Food Products — 0.6%

Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (a)		17,571		18,074

Post Holdings, Inc. 5.75%, 3/1/2027 (a)		12,187		12,756

5.63%, 1/15/2028 (a)		3,005		3,163

4.63%, 4/15/2030 (a)		6,436		6,572

TreeHouse Foods, Inc. 4.00%, 9/1/2028		536		515


				41,080


Gas Utilities — 0.2%

AmeriGas Partners LP 5.88%, 8/20/2026		3,782		4,255

5.75%, 5/20/2027		2,258		2,540


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Gas Utilities — continued

Suburban Propane Partners LP 5.00%, 6/1/2031 (a)		3,792		3,906

Superior Plus LP (Canada) 4.50%, 3/15/2029 (a)		3,492		3,617


				14,318


Health Care Equipment & Supplies — 0.4%

Avantor Funding, Inc. 4.63%, 7/15/2028 (a)		15,366		16,248

Hologic, Inc. 3.25%, 2/15/2029 (a)		10,667		10,930


				27,178


Health Care Providers & Services — 6.9%

Acadia Healthcare Co., Inc. 5.00%, 4/15/2029 (a)		4,743		4,956

AdaptHealth LLC 4.63%, 8/1/2029 (a)		2,540		2,547

AHP Health Partners, Inc. 5.75%, 7/15/2029 (a)		4,800		4,856

Centene Corp. 4.25%, 12/15/2027		20,286		21,427

4.63%, 12/15/2029		40,973		44,943

Community Health Systems, Inc. 5.63%, 3/15/2027 (a)		7,800		8,229

6.00%, 1/15/2029 (a)		5,280		5,630

6.13%, 4/1/2030 (a)		5,422		5,465

4.75%, 2/15/2031 (a)		7,795		7,952

DaVita, Inc. 4.63%, 6/1/2030 (a)		9,560		9,992

3.75%, 2/15/2031 (a)		20,581		20,338

Encompass Health Corp. 4.50%, 2/1/2028		26,281		27,529

Envision Healthcare Corp. 8.75%, 10/15/2026 (a)		10,081		8,518

Global Medical Response, Inc. 6.50%, 10/1/2025 (a)		12,075		12,452

HCA, Inc. 5.38%, 2/1/2025		4,182		4,710

5.88%, 2/15/2026		18,710		21,700

5.38%, 9/1/2026		40,706		46,957

5.63%, 9/1/2028		28,070		33,474

5.88%, 2/1/2029		7,075		8,578

Owens & Minor, Inc. 4.50%, 3/31/2029 (a)		3,979		4,068

Radiology Partners, Inc. 9.25%, 2/1/2028 (a)		7,215		7,738

RP Escrow Issuer LLC 5.25%, 12/15/2025 (a)		5,161		5,282

Team Health Holdings, Inc. 6.38%, 2/1/2025 (a)		4,649		4,440

Tenet Healthcare Corp. 4.63%, 7/15/2024		13,707		13,895

4.63%, 9/1/2024 (a)		2,838		2,905


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Providers & Services — continued

7.50%, 4/1/2025 (a)		13,465		14,408

4.88%, 1/1/2026 (a)		43,219		44,832

6.25%, 2/1/2027 (a)		18,210		18,985

5.13%, 11/1/2027 (a)		17,731		18,662

4.25%, 6/1/2029 (a)		6,668		6,813


				442,281


Health Care Technology — 0.4%

IQVIA, Inc. 5.00%, 10/15/2026 (a)		15,503		15,968

5.00%, 5/15/2027 (a)		9,845		10,287


				26,255


Hotels, Restaurants & Leisure — 4.4%

1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a)		3,907		3,957

3.50%, 2/15/2029 (a)		2,303		2,291

4.00%, 10/15/2030 (a)		21,686		21,567

Boyne USA, Inc. 4.75%, 5/15/2029 (a)		5,892		6,083

Carnival Corp. 10.50%, 2/1/2026 (a)		2,818		3,251

4.00%, 8/1/2028 (a)		6,020		6,052

Cedar Fair LP 5.50%, 5/1/2025 (a)		6,925		7,220

5.38%, 4/15/2027		330		338

Chukchansi Economic Development Authority 8.00%, 4/15/2028 (a)		3,867		3,480

Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a)		7,677		7,427

Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a)		10,626		11,091

Hilton Domestic Operating Co., Inc. 5.38%, 5/1/2025 (a)		5,858		6,146

5.75%, 5/1/2028 (a)		1,550		1,674

3.75%, 5/1/2029 (a)		2,807		2,863

4.88%, 1/15/2030		6,285		6,756

Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024		3,861		4,008

Hilton Worldwide Finance LLC 4.88%, 4/1/2027		8,612		8,934

International Game Technology plc 6.50%, 2/15/2025 (a)		14,896		16,609

IRB Holding Corp. 7.00%, 6/15/2025 (a)		3,835		4,101

Marriott Ownership Resorts, Inc. 6.13%, 9/15/2025 (a)		9,095		9,561

6.50%, 9/15/2026		5,466		5,652

4.50%, 6/15/2029 (a)		1,296		1,309


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Hotels, Restaurants & Leisure — continued

MGM Resorts International 4.63%, 9/1/2026		14,218		15,004

Royal Caribbean Cruises Ltd. 10.88%, 6/1/2023 (a)		2,294		2,582

9.13%, 6/15/2023 (a)		6,325		6,894

11.50%, 6/1/2025 (a)		7,661		8,820

Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)		16,272		16,448

5.50%, 4/15/2027 (a)		7,264		7,518

Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)		4,652		4,972

Station Casinos LLC 5.00%, 10/1/2025 (a)		4,943		4,999

4.50%, 2/15/2028 (a)		13,855		14,062

Vail Resorts, Inc. 6.25%, 5/15/2025 (a)		16,228		17,291

Wynn Las Vegas LLC 5.50%, 3/1/2025 (a)		12,209		12,942

Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a)		10,378		10,793

Yum! Brands, Inc. 4.75%, 1/15/2030 (a)		2,748		3,033

3.63%, 3/15/2031		9,209		9,461

4.63%, 1/31/2032		6,503		7,068


				282,257


Household Durables — 0.4%

CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)		11,624		12,373

Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)		13,022		13,348


				25,721


Household Products — 0.8%

Central Garden & Pet Co. 4.13%, 10/15/2030		8,056		8,266

Energizer Holdings, Inc. 4.75%, 6/15/2028 (a)		16,631		17,089

4.38%, 3/31/2029 (a)		15,153		15,196

Spectrum Brands, Inc. 5.75%, 7/15/2025		815		833

5.00%, 10/1/2029 (a)		1,584		1,663

5.50%, 7/15/2030 (a)		7,953		8,540

3.88%, 3/15/2031 (a)		2,377		2,347


				53,934


Independent Power and Renewable Electricity Producers — 0.3%

Calpine Corp. 5.25%, 6/1/2026 (a)		11,737		12,104

4.63%, 2/1/2029 (a)		4,759		4,774

5.00%, 2/1/2031 (a)		1,655		1,684


				18,562


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Internet & Direct Marketing Retail — 0.4%

Millennium Escrow Corp. 6.63%, 8/1/2026 (a)		6,620		6,800

Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)		18,470		20,040


				26,840


IT Services — 0.8%

Ahead DB Holdings LLC 6.63%, 5/1/2028 (a)		5,470		5,566

Arches Buyer, Inc. 4.25%, 6/1/2028 (a)		5,853		5,948

6.13%, 12/1/2028 (a)		2,269		2,342

Black Knight InfoServ LLC 3.63%, 9/1/2028 (a)		8,546		8,653

Booz Allen Hamilton, Inc. 3.88%, 9/1/2028 (a)		9,253		9,537

Exela Intermediate LLC 10.00%, 7/15/2023 (a)		9,691		7,268

Gartner, Inc. 4.50%, 7/1/2028 (a)		2,351		2,489

3.63%, 6/15/2029 (a)		1,832		1,886

3.75%, 10/1/2030 (a)		1,893		1,981

Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)		4,820		4,989


				50,659


Leisure Products — 0.3%

Mattel, Inc. 3.38%, 4/1/2026 (a)		2,788		2,896

5.88%, 12/15/2027 (a)		4,110		4,485

3.75%, 4/1/2029 (a)		3,489		3,663

Vista Outdoor, Inc. 4.50%, 3/15/2029 (a)		11,108		11,233


				22,277


Life Sciences Tools & Services — 0.0% (f)

Syneos Health, Inc. 3.63%, 1/15/2029 (a)		2,504		2,491


Machinery — 0.7%

ATS Automation Tooling Systems, Inc. (Canada) 4.13%, 12/15/2028 (a)		3,017		3,109

RBS Global, Inc. 4.88%, 12/15/2025 (a)		15,325		15,631

SPX FLOW, Inc. 5.88%, 8/15/2026 (a)		10,739		11,055

Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a)		946		1,019

Terex Corp. 5.00%, 5/15/2029 (a)		4,210		4,426

TriMas Corp. 4.13%, 4/15/2029 (a)		7,856		8,002


				43,242


Media — 7.5%

Altice Financing SA (Luxembourg) 5.75%, 8/15/2029 (a)		8,598		8,829

Audacy Capital Corp. 6.50%, 5/1/2027 (a)		7,153		7,189


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Media — continued

Clear Channel Outdoor Holdings, Inc. 7.75%, 4/15/2028 (a)		10,980		11,447

7.50%, 6/1/2029 (a)		8,687		8,991

Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (a)		20,434		21,034

CSC Holdings LLC 5.50%, 4/15/2027 (a)		28,730		30,055

5.38%, 2/1/2028 (a)		10,162		10,696

4.50%, 11/15/2031 (a)		9,435		9,496

Diamond Sports Group LLC 5.38%, 8/15/2026 (a)		9,726		6,454

DISH DBS Corp. 5.88%, 7/15/2022		6,830		7,063

5.00%, 3/15/2023		20,382		21,274

5.88%, 11/15/2024		48,883		52,549

7.75%, 7/1/2026		23,228		26,607

GCI LLC 4.75%, 10/15/2028 (a)		10,787		11,313

Gray Television, Inc. 5.88%, 7/15/2026 (a)		8,110		8,363

7.00%, 5/15/2027 (a)		9,013		9,666

iHeartCommunications, Inc. 6.38%, 5/1/2026		4,591		4,849

8.38%, 5/1/2027		21,512		22,852

5.25%, 8/15/2027 (a)		6,860		7,188

Lamar Media Corp. 4.88%, 1/15/2029		3,265		3,473

Liberty Interactive LLC 8.25%, 2/1/2030		1,784		2,007

Mav Acquisition Corp. 5.75%, 8/1/2028 (a)		7,855		7,826

Meredith Corp. 6.88%, 2/1/2026		16,205		16,792

Midas OpCo Holdings LLC 5.63%, 8/15/2029 (a)		5,059		5,179

Midcontinent Communications 5.38%, 8/15/2027 (a)		4,561		4,754

National CineMedia LLC 5.88%, 4/15/2028 (a)		6,030		5,261

News Corp. 3.88%, 5/15/2029 (a)		6,240		6,416

Nexstar Media, Inc. 5.63%, 7/15/2027 (a)		14,153		15,026

4.75%, 11/1/2028 (a)		13,907		14,460

Outfront Media Capital LLC 5.00%, 8/15/2027 (a)		1,000		1,031

Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)		2,579		2,593

5.38%, 1/15/2031 (a)		3,542		3,505

Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)		1,300		1,335

Sirius XM Radio, Inc. 5.38%, 7/15/2026 (a)		43,101		44,260

3.13%, 9/1/2026 (a)		2,178		2,219


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Media — continued

5.00%, 8/1/2027 (a)		21,160		22,192

4.00%, 7/15/2028 (a)		4,413		4,506

5.50%, 7/1/2029 (a)		6,750		7,391

Univision Communications, Inc. 4.50%, 5/1/2029 (a)		2,638		2,676

UPC Holding BV (Netherlands) 5.50%, 1/15/2028 (a)		2,090		2,206

ViacomCBS, Inc. (ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (c)		9,929		10,053

Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a)		5,478		5,704


				476,780


Metals & Mining — 1.8%

Alcoa Nederland Holding BV 5.50%, 12/15/2027 (a)		8,367		9,005

Allegheny Technologies, Inc. 5.88%, 12/1/2027		7,169		7,518

Arconic Corp. 6.00%, 5/15/2025 (a)		6,610		6,997

6.13%, 2/15/2028 (a)		12,134		12,971

Big River Steel LLC 6.63%, 1/31/2029 (a)		8,645		9,401

Carpenter Technology Corp. 6.38%, 7/15/2028		6,581		7,131

Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a)		7,380		7,768

4.88%, 3/1/2031 (a)		5,271		5,666

Constellium SE 5.88%, 2/15/2026 (a)		2,990		3,069

Freeport-McMoRan, Inc. 4.13%, 3/1/2028		4,759		4,985

4.38%, 8/1/2028		15,062		15,965

Kaiser Aluminum Corp. 4.50%, 6/1/2031 (a)		4,160		4,311

Novelis Corp. 3.25%, 11/15/2026 (a)		4,869		4,992

4.75%, 1/30/2030 (a)		5,562		5,923

3.88%, 8/15/2031 (a)		2,434		2,456

United States Steel Corp. 6.88%, 3/1/2029		6,419		7,013


				115,171


Multiline Retail — 0.3%

NMG Holding Co., Inc. 7.13%, 4/1/2026 (a)		17,615		18,650


Oil, Gas & Consumable Fuels — 9.8%

Antero Midstream Partners LP 7.88%, 5/15/2026 (a)		8,633		9,507

5.75%, 3/1/2027 (a)		4,620		4,759

5.75%, 1/15/2028 (a)		9,914		10,323


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Oil, Gas & Consumable Fuels — continued

Antero Resources Corp. 8.38%, 7/15/2026 (a)		4,303		4,873

7.63%, 2/1/2029 (a)		2,405		2,646

5.38%, 3/1/2030 (a)		2,892		2,942

Apache Corp. 4.63%, 11/15/2025		1,297		1,404

4.88%, 11/15/2027		812		887

Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a)		11,310		11,084

Blue Racer Midstream LLC 7.63%, 12/15/2025 (a)		4,070		4,401

Buckeye Partners LP 4.15%, 7/1/2023		1,348		1,392

4.13%, 3/1/2025 (a)		7,080		7,320

4.13%, 12/1/2027		3,358		3,450

4.50%, 3/1/2028 (a)		6,996		7,252

California Resources Corp. 7.13%, 2/1/2026 (a)		8,584		9,005

Cheniere Energy Partners LP 4.50%, 10/1/2029		601		648

4.00%, 3/1/2031 (a)		2,299		2,419

Cheniere Energy, Inc. 4.63%, 10/15/2028		17,298		18,249

Chesapeake Energy Corp. 5.50%, 2/1/2026 (a)		3,204		3,348

5.88%, 2/1/2029 (a)		2,604		2,780

CNX Resources Corp. 6.00%, 1/15/2029 (a)		5,398		5,621

Comstock Resources, Inc. 7.50%, 5/15/2025 (a)		6,364		6,587

6.75%, 3/1/2029 (a)		12,359		12,971

5.88%, 1/15/2030 (a)		4,239		4,250

Continental Resources, Inc. 5.75%, 1/15/2031 (a)		7,350		8,958

Crestwood Midstream Partners LP 5.75%, 4/1/2025		10,009		10,222

DCP Midstream Operating LP 5.63%, 7/15/2027		5,224		5,936

6.75%, 9/15/2037 (a)		6,546		8,134

Devon Energy Corp. 5.88%, 6/15/2028 (a)		6,485		7,139

DT Midstream, Inc. 4.13%, 6/15/2029 (a)		6,556		6,719

4.38%, 6/15/2031 (a)		3,277		3,384

Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)		12,505		12,551

Endeavor Energy Resources LP 6.63%, 7/15/2025 (a)		4,650		4,931


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

EnLink Midstream Partners LP

Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (b) (c) (d)		9,142		6,862

4.40%, 4/1/2024		5,407		5,624

4.15%, 6/1/2025		2,605		2,683

EQM Midstream Partners LP 6.00%, 7/1/2025 (a)		11,608		12,538

4.13%, 12/1/2026		2,075		2,115

6.50%, 7/1/2027 (a)		5,150		5,742

4.50%, 1/15/2029 (a)		9,093		9,229

4.75%, 1/15/2031 (a)		8,593		8,743

EQT Corp. 6.63%, 2/1/2025 (e)		8,435		9,668

3.13%, 5/15/2026 (a)		3,607		3,706

5.00%, 1/15/2029		4,315		4,908

ESC Co. 6.00%, 10/15/2024 ‡ (g)		10,250		410

6.38%, 5/15/2025 ‡ (g)		1,796		72

6.38%, 1/15/2026 ‡ (g)		8,845		354

Genesis Energy LP 6.25%, 5/15/2026		5,665		5,452

8.00%, 1/15/2027		3,780		3,754

7.75%, 2/1/2028		2,796		2,740

Gulfport Energy Operating Corp. 8.00%, 5/17/2026 (a)		6,131		6,519

Hess Midstream Operations LP 4.25%, 2/15/2030 (a)		5,327		5,394

Holly Energy Partners LP 5.00%, 2/1/2028 (a)		5,425		5,535

MEG Energy Corp. (Canada) 6.50%, 1/15/2025 (a)		2,473		2,553

7.13%, 2/1/2027 (a)		9,678		10,184

5.88%, 2/1/2029 (a)		3,671		3,781

NGL Energy Operating LLC 7.50%, 2/1/2026 (a)		5,340		5,420

NuStar Logistics LP 5.75%, 10/1/2025		1,435		1,543

6.00%, 6/1/2026		3,170		3,431

5.63%, 4/28/2027		7,824		8,320

6.38%, 10/1/2030		4,295		4,749

Oasis Midstream Partners LP 8.00%, 4/1/2029 (a)		9,521		9,854

Oasis Petroleum, Inc. 6.38%, 6/1/2026 (a)		3,296		3,440

Occidental Petroleum Corp. 8.00%, 7/15/2025		9,286		11,190

5.88%, 9/1/2025		14,749		16,593

5.50%, 12/1/2025		6,186		6,897


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Oil, Gas & Consumable Fuels — continued

3.40%, 4/15/2026		3,455		3,550

8.50%, 7/15/2027		8,697		10,971

6.38%, 9/1/2028		5,434		6,446

8.88%, 7/15/2030		11,088		15,216

6.63%, 9/1/2030		5,642		7,038

6.13%, 1/1/2031		7,391		8,937

PBF Holding Co. LLC 9.25%, 5/15/2025 (a)		4,910		4,739

6.00%, 2/15/2028		6,790		4,447

Range Resources Corp. 9.25%, 2/1/2026		12,063		13,191

8.25%, 1/15/2029 (a)		4,797		5,325

SM Energy Co. 6.63%, 1/15/2027		4,748		4,771

6.50%, 7/15/2028		1,987		1,997

Southwestern Energy Co. 8.38%, 9/15/2028		10,708		11,993

5.38%, 3/15/2030		8,277		8,610

Sunoco LP 4.50%, 5/15/2029		4,333		4,387

Tallgrass Energy Partners LP 5.50%, 9/15/2024 (a)		8,283		8,415

7.50%, 10/1/2025 (a)		20,454		22,038

6.00%, 3/1/2027 (a)		1,750		1,811

6.00%, 12/31/2030 (a)		4,905		4,989

6.00%, 9/1/2031 (a)		8,510		8,521

Targa Resources Partners LP 5.88%, 4/15/2026		27,755		29,038

5.38%, 2/1/2027		1,455		1,508

6.50%, 7/15/2027		5,060		5,479

5.00%, 1/15/2028		7,284		7,648

4.88%, 2/1/2031		9,862		10,728

4.00%, 1/15/2032 (a)		4,114		4,309

Vine Energy Holdings LLC 6.75%, 4/15/2029 (a)		11,852		12,800


				624,997


Personal Products — 0.4%

Coty, Inc. 5.00%, 4/15/2026 (a)		5,904		6,093

Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)		12,375		13,102

4.13%, 4/1/2029 (a)		3,987		4,012

Prestige Brands, Inc. 5.13%, 1/15/2028 (a)		3,415		3,577


				26,784


Pharmaceuticals — 4.4%

Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)		33,844		36,467


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Pharmaceuticals — continued

8.50%, 1/31/2027 (a)		8,785		9,448

Bausch Health Cos., Inc. 6.13%, 4/15/2025 (a)		15,059		15,398

5.50%, 11/1/2025 (a)		52,812		54,021

9.00%, 12/15/2025 (a)		29,147		31,005

7.00%, 1/15/2028 (a)		9,083		9,413

5.00%, 1/30/2028 (a)		6,116		5,833

4.88%, 6/1/2028 (a)		9,900		10,172

5.00%, 2/15/2029 (a)		11,180		10,440

7.25%, 5/30/2029 (a)		6,171		6,356

5.25%, 2/15/2031 (a)		8,965		8,362

Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (a)		5,619		5,886

3.13%, 2/15/2029 (a)		1,429		1,412

Endo Dac 5.88%, 10/15/2024 (a)		5,067		4,953

9.50%, 7/31/2027 (a)		8,036		7,895

6.00%, 6/30/2028 (a)		9,312		5,820

Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029 (a)		3,595		3,559

Jazz Securities DAC 4.38%, 1/15/2029 (a)		6,406		6,638

Mallinckrodt International Finance SA 5.75%, 8/1/2022 (a) (g)		5,020		3,338

5.63%, 10/15/2023 (a) (g)		5,340		3,591

5.50%, 4/15/2025 (a) (g)		11,780		7,893

Organon & Co. 4.13%, 4/30/2028 (a)		16,528		17,052

5.13%, 4/30/2031 (a)		9,678		10,152

Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a)		7,912		8,011


				283,115


Professional Services — 0.1%

Jaguar Holding Co. II 4.63%, 6/15/2025 (a)		3,249		3,410

5.00%, 6/15/2028 (a)		2,630		2,834

Science Applications International Corp. 4.88%, 4/1/2028 (a)		2,475		2,585


				8,829


Real Estate Management & Development — 0.1%

Kennedy-Wilson, Inc. 4.75%, 3/1/2029		3,667		3,793

5.00%, 3/1/2031		3,237		3,367


				7,160


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Road & Rail — 0.6%

Avis Budget Car Rental LLC 5.25%, 3/15/2025 (a)		13,847		14,090

5.75%, 7/15/2027 (a)		5,830		6,083

5.38%, 3/1/2029 (a)		6,232		6,544

ESC GCBREGS EXIDE TECH 7.13%, 8/1/2026 (g)		22,954		1,549

6.00%, 1/15/2028 (g)		20,858		1,408

Hertz Corp. (The) 5.50%, 10/15/2024 (g)		6,563		164

NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)		2,526		2,620

Uber Technologies, Inc. 4.50%, 8/15/2029 (a)		7,160		7,046


				39,504


Semiconductors & Semiconductor Equipment — 0.6%

ams AG (Austria) 7.00%, 7/31/2025 (a)		4,910		5,266

Entegris, Inc. 4.38%, 4/15/2028 (a)		7,369		7,794

3.63%, 5/1/2029 (a)		5,146		5,318

ON Semiconductor Corp. 3.88%, 9/1/2028 (a)		17,250		18,124

Synaptics, Inc. 4.00%, 6/15/2029 (a)		3,400		3,464


				39,966


Software — 1.1%

ACI Worldwide, Inc. 5.75%, 8/15/2026 (a)		6,540		6,842

Ascend Learning LLC 6.88%, 8/1/2025 (a)		200		203

BY Crown Parent LLC 4.25%, 1/31/2026 (a)		5,728		6,029

CDK Global, Inc. 5.25%, 5/15/2029 (a)		15,353		16,692

Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)		5,150		5,241

4.88%, 7/1/2029 (a)		5,802		5,985

Nuance Communications, Inc. 5.63%, 12/15/2026		10,405		10,798

SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)		19,150		20,279


				72,069


Specialty Retail — 1.4%

Asbury Automotive Group, Inc. 4.50%, 3/1/2028		4,441		4,618

4.75%, 3/1/2030		2,040		2,152

Bath & Body Works, Inc. 9.38%, 7/1/2025 (a)		350		453

6.63%, 10/1/2030 (a)		5,033		5,800

6.88%, 11/1/2035		331		425

6.75%, 7/1/2036		2,199		2,802

PetSmart, Inc. 4.75%, 2/15/2028 (a)		6,651		6,925

7.75%, 2/15/2029 (a)		3,401		3,737


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Specialty Retail — continued

SRS Distribution, Inc. 4.63%, 7/1/2028 (a)		4,914		5,064

6.13%, 7/1/2029 (a)		4,111		4,265

Staples, Inc. 7.50%, 4/15/2026 (a)		28,387		28,742

10.75%, 4/15/2027 (a)		18,594		18,129

White Cap Buyer LLC 6.88%, 10/15/2028 (a)		4,730		5,032


				88,144


Technology Hardware, Storage & Peripherals — 0.6%

NCR Corp. 5.75%, 9/1/2027 (a)		16,560		17,511

5.00%, 10/1/2028 (a)		4,220		4,368

5.13%, 4/15/2029 (a)		7,182		7,447

6.13%, 9/1/2029 (a)		8,985		9,794


				39,120


Thrifts & Mortgage Finance — 0.5%

Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028(a)		7,658		7,954

5.13%, 12/15/2030 (a)		5,962		6,112

Quicken Loans LLC 3.63%, 3/1/2029 (a)		5,402		5,517

Rocket Mortgage LLC 5.25%, 1/15/2028 (a)		11,555		12,191


				31,774


Trading Companies & Distributors — 1.6%

Herc Holdings, Inc. 5.50%, 7/15/2027 (a)		13,460		14,190

Imola Merger Corp. 4.75%, 5/15/2029 (a)		24,057		24,899

United Rentals North America, Inc. 5.88%, 9/15/2026		13,292		13,695

4.88%, 1/15/2028		7,280		7,717

5.25%, 1/15/2030		7,520		8,244

3.88%, 2/15/2031		4,211		4,359

WESCO Distribution, Inc. 7.13%, 6/15/2025 (a)		11,730		12,618

7.25%, 6/15/2028 (a)		12,480		13,880


				99,602


Wireless Telecommunication Services — 2.0%

Hughes Satellite Systems Corp. 6.63%, 8/1/2026		7,034		7,992

Sprint Corp. 7.13%, 6/15/2024		23,172		26,648

7.63%, 2/15/2025		23,328		27,615

7.63%, 3/1/2026		28,504		35,144

T-Mobile USA, Inc. 4.75%, 2/1/2028		25,277		26,988


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Wireless Telecommunication Services — continued

United States Cellular Corp. 6.70%, 12/15/2033		4,743		5,773


				130,160


Total Corporate Bonds (Cost $5,250,280)				5,493,801

Loan Assignments — 7.8% (i)

Aerospace & Defense — 0.1%

Spirit AeroSystems, Inc. Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 6.00%, 1/15/2025 (c)		5,561		5,587


Auto Components — 0.2%

Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 4/10/2028 (c)		10,117		10,090

American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/6/2024 (c)		1,950		1,941

Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.00%, 1/31/2028 (c)		2,379		2,367


				14,398


Beverages — 0.1%

Triton Water Holdings, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 3/31/2028 (c)		7,337		7,283


Commercial Services & Supplies — 0.1%

Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 3.75%, 6/21/2028 (c)		7,723		7,670


Containers & Packaging — 0.7%

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 4/3/2024 (c)		22,195		21,598

Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027 (c)		20,851		20,749

Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 2/5/2023 (c)		3,364		3,343


				45,690


Diversified Financial Services — 0.1%

Sabre Holdings Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 12/17/2027 (c)		5,810		5,766


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Diversified Telecommunication Services — 0.6%

Altice France SA, 1st Lien Term Loan B-13 (France) (ICE LIBOR USD 3 Month + 4.00%), 4.12%, 8/14/2026 (c)		7,068		7,042

Cincinnati Bell, Inc., Term Loan B (1 Week LIBOR + 3.25%), 4.25%, 10/2/2024 (c)		7,727		7,716

Intelsat Jackson Holding, 1st Lien DIP Term Loan (ICE LIBOR USD 3 Month + 5.50%), 6.50%, 7/13/2022 (c)		21,665		21,753


				36,511


Food & Staples Retailing — 0.4%

Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (c)		1,866		1,950

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 7.00%), 8.00%, 4/1/2024 ‡ (c)		13,758		14,378

Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 1 Month + 10.75%), 11.75%, 10/1/2024 (c)		10,370		9,099


				25,427


Health Care Providers & Services — 0.3%

Envision Healthcare Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 10/10/2025 (c)		9,250		8,111

U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.13%, 6/26/2026 (c)		13,897		13,890


				22,001


Hotels, Restaurants & Leisure — 0.6%

IRB Holding Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/2027 (c)		10,612		10,598

Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 8/14/2024 (c)		15,818		15,667

UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 4/29/2026 (c)		10,348		10,278


				36,543


Household Durables — 0.2%

Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.75%, 5/17/2028 (c)		10,985		10,974


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Internet & Direct Marketing Retail — 0.1%

Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 9/25/2026 (c) (j)		4,688		4,673


IT Services — 0.2%

Exela Intermediate LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 7.50%, 7/12/2023 (c)		6,304		4,677

Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 3/9/2027 (c)		9,260		9,134


				13,811


Leisure Products — 0.2%

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (c) (g)		3,864		421

FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (c) (g)		20,508		—	(k)

Hercules Achievement, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.50%, 12/16/2024 (c)		12,648		12,361

Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 2/14/2025 (c)		1,808		1,786


				14,568


Life Sciences Tools & Services — 0.1%

PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 8/11/2028 (c) (j)		7,506		7,502


Machinery — 0.2%

Thyssenkrupp Elevators, 1st Lien Term Loan B1 (ICE LIBOR USD 6 Month + 3.50%), 4.00%, 7/30/2027 (c)		9,908		9,895

Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.17%, 3/28/2025 (c)		5,070		4,957


				14,852


Media — 0.8%

Directv Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 5.75%, 8/2/2027 (c)		13,910		13,902

iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 5/1/2026 (c)		12,331		12,215


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued

Media — continued

Meredith Corp., 1st Lien Term Loan B

(ICE LIBOR USD 1 Month + 2.50%), 2.58%, 1/31/2025 (c)		7,638		7,592

(ICE LIBOR USD 3 Month + 4.25%), 5.25%, 1/31/2025 (c)		11,301		11,527

Summer BC Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 4.50%), 5.25%, 12/4/2026 (c)		2,760		2,751


				47,987


Personal Products — 0.5%

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026 (c)		25,974		25,987

Revlon Consumer Products Corp., Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 9/7/2023 (c)		7,847		4,787


				30,774


Pharmaceuticals — 0.4%

Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.09%, 6/2/2025 (c)		28,820		28,708


Road & Rail — 0.2%

First Student Bidco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%), 3.50%, 7/21/2028 (c) (j)		7,423		7,365

First Student Bidco, Inc., 1st Lien Term Loan C (ICE LIBOR USD 2 Month + 3.00%), 3.50%, 7/21/2028 (c) (j)		2,740		2,718


				10,083


Software — 0.3%

Ascend Learning LLC, Term Loan B

(ICE LIBOR USD 1 Month + 3.00%), 4.00%, 7/12/2024 (c)		5,272		5,264

(ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024 (c)		4,288		4,292

Greeneden U.S. Holdings I LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.75%, 12/1/2027 (c)		12,848		12,870


				22,426


Specialty Retail — 1.3%

AppleCaramel Buyer LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 10/19/2027 (c)		20,045		20,047


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Specialty Retail — continued

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.58%, 12/18/2026 (c) (l)		13,273		12,764

Park River Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 12/28/2027 (c)		5,688		5,650

Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 3/3/2028 (c)		12,638		12,607

Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.58%, 12/22/2025 (c) (j)		16,207		15,928

Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.50%), 8.50%, 8/10/2023 (c)		13,076		12,418


				79,414


Wireless Telecommunication Services — 0.1%

CCI Buyer, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 12/17/2027 (c)		7,381		7,395


Total Loan Assignments (Cost $495,471)				500,043


	SHARES (000)
Common Stocks — 2.8%

Communications Equipment — 0.0% (f)

Goodman Networks, Inc. * ‡		300		—	(k)


Diversified Financial Services — 0.0% (f)

ACC Claims Holdings LLC * ‡		7,076		18


Diversified Telecommunication Services — 0.3%

Frontier Communications Parent, Inc. *		644		18,966


Energy Equipment & Services — 0.0% (f)

Telford Offshore Holdings Ltd. (Cayman Islands) * ‡		368		—	(k)


Food & Staples Retailing — 0.0% (f)

Moran Foods Backstop Equity * ‡		616		2,771


Independent Power and Renewable Electricity Producers — 0.2%

Vistra Common Equity *		27		510

Vistra Corp.		550		10,499


				11,009


Internet & Direct Marketing Retail — 0.5%

MYT Holding Co. * ‡		5,623		31,770


INVESTMENTS	SHARES ($000)		VALUE ($000)
Common Stocks — continued

Media — 0.2%

Clear Channel Outdoor Holdings, Inc. *		2,312		6,079

iHeartMedia, Inc., Class A *		273		6,796


				12,875


Multiline Retail — 0.0% (f)

Neiman Marcus Group Restricted Equity *		6		747


Oil, Gas & Consumable Fuels — 1.3%

California Resources Corp. *		285		9,769

Chesapeake Energy Corp.		43		2,406

EP Energy Corp. *		296		26,936

Gulfport Energy Operating Corp. *		230		15,391

Oasis Petroleum, Inc.		271		23,447

Whiting Petroleum Corp. *		205		9,644


				87,593


Professional Services — 0.2%

NMG, Inc. *		83		11,015


Specialty Retail — 0.1%

Claire’s Stores, Inc. * ‡		17		3,550


Total Common Stocks (Cost $101,599)				180,314


	PRINCIPAL AMOUNT ($000)
Convertible Bonds—0.6%

Hotels, Restaurants & Leisure — 0.0% (f)

Royal Caribbean Cruises Ltd. 4.25%, 6/15/2023		500		673


Media — 0.5%

DISH Network Corp.

Zero Coupon, 12/15/2025 (a)		7,845		9,373

3.38%, 8/15/2026		18,645		19,449

Liberty Interactive LLC 4.00%, 11/15/2029		2,570		1,992

3.75%, 2/15/2030		4,448		3,430


				34,244


Oil, Gas & Consumable Fuels — 0.1%

Gulfport Energy Corp. 10.00%, 10/4/2021 ‡		1		3,964


Total Convertible Bonds (Cost $29,693)				38,881


INVESTMENTS	SHARES ($000)			VALUE ($000)
Convertible Preferred Stocks — 0.4%

Specialty Retail — 0.4%

Claire’s Stores, Inc.

* ‡ (Cost $4,388)		12			28,255

Preferred Stocks — 0.2%

Banks — 0.0% (f)

GMAC Capital Trust I Series 2, (ICE LIBOR USD 3 Month + 5.79%), 5.91%, 2/15/2040 ($25 par value) (c)		18			486


Communications Equipment — 0.0% (f)

Goodman Networks, Inc. * ‡		358			4


Internet & Direct Marketing Retail — 0.2%

MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡		13,477			13,813


Oil, Gas & Consumable Fuels — 0.0% (f)

Gulfport Energy Corp. * ‡		—	(k)		330


Total Preferred Stocks (Cost $14,695)					14,633


	NO. OF WARRANTS (000)
Warrants — 0.1%

Diversified Telecommunication Services — 0.0% (f)

Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD * ‡		14			276


Media — 0.0% (f)

Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) * ‡		110			2,062


Oil, Gas & Consumable Fuels — 0.1%

Chesapeake Energy Corp. expiring 2/9/2026, price 27.27 USD *		45			1,346

expiring 2/9/2026, price 31.71 USD *		49			1,307

expiring 2/9/2026, price 35.71 USD *		27			648


					3,301


Total Warrants (Cost $1)					5,639


	NO. OF RIGHTS (000)
Rights — 0.1%

Independent Power and Renewable Electricity Producers — 0.1%

Vistra Corp., expiring 12/31/2049 * ‡ (Cost $—)		2,824			3,812


INVESTMENTS	SHARES ($000)		VALUE ($000)
Short-Term Investments — 1.1%

Investment Companies — 1.1%

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (m) (n) (Cost $70,343)		70,343		70,343

Total Investments — 98.7% (Cost $5,966,470)				6,335,721
Other Assets Less Liabilities — 1.3%				84,545

NET ASSETS—100.0%				6,420,266

Percentages indicated are based on net assets.


Abbreviations
DIP		Debtor-in-Possession
ICE		Intercontinental Exchange
LIBOR		London Interbank Offered Rate
SCA		Limited partnership with share capital
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.
(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(d)		Security is an interest bearing note with preferred security characteristics.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Corporate Bonds — 32.3%

Aerospace & Defense — 0.3%

Bombardier, Inc. (Canada) 6.00%, 10/15/2022 (a)		176		176

7.50%, 12/1/2024 (a)		589		614

7.50%, 3/15/2025 (a)		5,000		5,136

BWX Technologies, Inc. 4.13%, 6/30/2028 (a)		3,779		3,883

4.13%, 4/15/2029 (a)		3,025		3,112

Howmet Aerospace, Inc. 5.13%, 10/1/2024		4,373		4,806

6.88%, 5/1/2025		860		1,016

5.90%, 2/1/2027		3,054		3,599

6.75%, 1/15/2028		118		146

5.95%, 2/1/2037		110		139

Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027 (a)		1,420		1,557

Spirit AeroSystems, Inc. 5.50%, 1/15/2025 (a)		325		340

TransDigm, Inc. 6.25%, 3/15/2026 (a)		7,142		7,499

Triumph Group, Inc. 8.88%, 6/1/2024 (a)		862		949

6.25%, 9/15/2024 (a)		2,566		2,595

7.75%, 8/15/2025		2,540		2,541


				38,108


Airlines — 0.2%

American Airlines, Inc. 5.50%, 4/20/2026 (a)		6,246		6,584

5.75%, 4/20/2029 (a)		5,681		6,134

Delta Air Lines, Inc. 4.50%, 10/20/2025 (a)		1,852		1,986

4.75%, 10/20/2028 (a)		2,592		2,890

United Airlines, Inc. 4.38%, 4/15/2026 (a)		3,833		3,976

4.63%, 4/15/2029 (a)		1,273		1,321


				22,891


Auto Components — 0.8%

Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a)		3,620		3,720

Adient US LLC 9.00%, 4/15/2025 (a)		655		714

Allison Transmission, Inc. 4.75%, 10/1/2027 (a)		3,298		3,457

5.88%, 6/1/2029 (a)		8,796		9,676

3.75%, 1/30/2031 (a)		6,311		6,303


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Auto Components — continued

American Axle & Manufacturing, Inc. 6.25%, 4/1/2025		8,254		8,528

6.25%, 3/15/2026		5,066		5,218

6.50%, 4/1/2027		5,070		5,324

6.88%, 7/1/2028		2,140		2,312

5.00%, 10/1/2029		3,400		3,399

Clarios Global LP 6.75%, 5/15/2025 (a)		2,915		3,086

6.25%, 5/15/2026 (a)		5,017		5,287

8.50%, 5/15/2027 (a)		2,780		2,968

Cooper-Standard Automotive, Inc.

13.00%, 6/1/2024 (a)		140		155

5.63%, 11/15/2026 (a)		884		743

Dana, Inc.

5.38%, 11/15/2027		2,745		2,896

5.63%, 6/15/2028		2,747		2,953

Goodyear Tire & Rubber Co. (The) 5.00%, 5/31/2026		3,473		3,576

4.88%, 3/15/2027		255		274

5.00%, 7/15/2029 (a)		2,503		2,647

5.25%, 4/30/2031		8,465		9,046

5.25%, 7/15/2031 (a)		1,170		1,252

Icahn Enterprises LP 6.75%, 2/1/2024		370		377

4.75%, 9/15/2024		500		518

6.25%, 5/15/2026		2,691		2,836

IHO Verwaltungs GmbH (Germany) 4.75% (cash), 9/15/2026 (a) (b)		4,960		5,078

Tenneco, Inc. 5.38%, 12/15/2024		540		543

5.00%, 7/15/2026		2,718		2,715

7.88%, 1/15/2029 (a)		1,269		1,428

5.13%, 4/15/2029 (a)		1,538		1,596


				98,625


Automobiles — 0.0% (c)

Ford Motor Co. 8.50%, 4/21/2023		813		899

General Motors Co. 5.00%, 4/1/2035		240		289

Jaguar Land Rover Automotive plc

(United Kingdom) 4.50%, 10/1/2027 (a)		1,000		983


				2,171


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — 1.9%

Banco do Brasil SA (Brazil)

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024 (d) (e) (f) (g)		8,400		9,416

Banco Industrial SA (Guatemala)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.44%), 4.88%, 1/29/2031 (e ) (f)		1,600		1,656

Banco Mercantil del Norte SA (Mexico)

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (d) (e) (f) (g)		10,900		12,357

Bank of America Corp.

Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (d) (e) (g)		10,030		11,108

Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (d) (e) (g)		716		804

Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (d) (e) (g)		34		40

(SOFR + 1.32%), 2.69%, 4/22/2032 (e)		34,390		35,740

Banque Centrale de Tunisie

International Bond (Tunisia) 5.75%, 1/30/2025 (f)		6,600		5,816

Citigroup, Inc.

(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (d) (e) (g)		865		911

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (d) (e) (g)		4,714		5,174

Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (g)		21,230		22,026

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (g)		10,050		10,339

Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (d) (e) (g)		83		96

Credit Agricole SA (France)

(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a) (d) (e) (g)		15,850		19,278

Development Bank of the Republic of Belarus JSC (Belarus)

6.75%, 5/2/2024 (a)		2,600		2,418

HSBC Holdings plc (United Kingdom)

(USD ICE Swap Rate 5 Year + 4.37%), 6.37%, 3/30/2025 (d) (e) (g)		2,400		2,649

(USD ICE Swap Rate 5 Year + 3.75%), 6.00%, 5/22/2027 (d) (e) (g)		3,551		3,906


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (d) (e) (g)		8,336		8,534

ING Groep NV (Netherlands)

(USD Swap Semi 5 Year + 4.45%), 6.50%, 4/16/2025 (d) (e) (g)		1,800		2,001

Intesa Sanpaolo SpA (Italy) 4.20%, 6/1/2032 (a)		1,190		1,225

4.95%, 6/1/2042 (a)		6,402		6,633

National Australia Bank Ltd. (Australia)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (e)		1,400		1,528

Natwest Group plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (d) (e) (g)		12,295		13,766

Societe Generale SA (France)

(USD Swap Semi 5 Year + 6.24%), 7.38%, 9/13/2021 (a) (d) (e) (g)		739		740

(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (a) (d) (e) (g)		9,770		11,542

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026 (a) (d) (e) (g)		6,480		6,719

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030(a) (d) (e) (g)		5,000		5,413

Standard Chartered plc (United Kingdom)

(USD Swap Semi 5 Year + 6.30%), 7.50%, 4/2/2022 (a) (d) (e) (g)		500		518

Truist Financial Corp. Series Q,

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (e) (g)		5,000		5,751

UniCredit SpA (Italy)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (e)		9,140		9,148

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (e)		5,096		5,632

Wells Fargo & Co. Series BB,

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (g)		27,821		28,924


				251,808


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Beverages — 0.0% (c)

Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)		5,565		5,508


Biotechnology — 0.0% (c)

Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)		3,273		3,191


Building Products — 0.3%

Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a)		125		130

Builders FirstSource, Inc. 6.75%, 6/1/2027 (a)		1,516		1,618

4.25%, 2/1/2032 (a)		3,263		3,352

James Hardie International Finance DAC 5.00%, 1/15/2028 (a)		2,000		2,115

JELD-WEN, Inc. 6.25%, 5/15/2025 (a)		1,015		1,076

4.63%, 12/15/2025 (a)		740		754

4.88%, 12/15/2027 (a)		950		990

Masonite International Corp. 5.38%, 2/1/2028 (a)		4,325		4,595

PGT Innovations, Inc. 6.75%, 8/1/2026 (a)		625		656

Standard Industries, Inc. 5.00%, 2/15/2027 (a)		1,531		1,583

4.75%, 1/15/2028 (a)		10,203		10,594

4.38%, 7/15/2030 (a)		1,775		1,823

3.38%, 1/15/2031 (a)		2,299		2,216

Summit Materials LLC 5.13%, 6/1/2025 (a)		260		264

6.50%, 3/15/2027 (a)		1,145		1,202

5.25%, 1/15/2029 (a)		1,900		2,012


				34,980


Capital Markets — 0.7%

Charles Schwab Corp. (The)

Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (d) (e) (g)		32,590		34,301

Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (e) (g)		13,530		14,071

Credit Suisse Group AG (Switzerland)

(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (a) (d) (e) (g)		7,000		7,605


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.89%), 5.25%, 2/11/2027 (a) (d) (e) (g)		4,760		4,988

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.55%), 4.50%, 9/3/2030 (a) (d) (e) (g)		1,447		1,434

Goldman Sachs Group, Inc. (The)

Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (d) (e) (g)		5,070		5,113

Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (g)		1,340		1,437

Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (e) (g)		2,240		2,286

Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (d) (e) (g)		2,734		2,755

MSCI, Inc.

5.38%, 5/15/2027 (a)		2,543		2,714

4.00%, 11/15/2029 (a)		4,370		4,676

3.63%, 9/1/2030 (a)		1,000		1,053

UBS Group AG (Switzerland)

(USD Swap Semi 5 Year + 4.34%), 7.00%, 1/31/2024 (a) (d) (e) (g)		2,870		3,146

(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (d) (e) (f) (g)		250		287

(USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (d) (e) (f) (g)		2,303		2,634


				88,500


Chemicals — 1.0%

Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)		11,152		11,709

3.38%, 2/15/2029 (a)		7,473		7,324

Chemours Co. (The) 5.75%, 11/15/2028 (a)		7,708		8,170

CVR Partners LP 9.25%, 6/15/2023 (a)		346		346

Element Solutions, Inc. 3.88%, 9/1/2028 (a)		7,266		7,411

GCP Applied Technologies, Inc. 5.50%, 4/15/2026 (a)		3,485		3,563

Hexion, Inc. 7.88%, 7/15/2027 (a)		4,010		4,261


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Chemicals — continued

INEOS Group Holdings SA (Luxembourg)

5.63%, 8/1/2024 (a)		4,804		4,810

INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)		6,583		6,665

NOVA Chemicals Corp. (Canada) 4.88%, 6/1/2024 (a)		4,470		4,728

5.00%, 5/1/2025 (a)		2,802		2,977

5.25%, 6/1/2027 (a)		13,271		14,180

4.25%, 5/15/2029 (a)		2,690		2,703

Olin Corp. 5.63%, 8/1/2029		2,620		2,891

Rain CII Carbon LLC 7.25%, 4/1/2025 (a)		150		155

Sasol Financing USA LLC (South Africa) 5.50%, 3/18/2031		2,900		3,045

Scotts Miracle-Gro Co. (The) 5.25%, 12/15/2026		2,625		2,720

4.50%, 10/15/2029		7,092		7,411

4.00%, 4/1/2031 (a)		6,675		6,692

Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)		5,396		5,504

5.13%, 4/1/2029 (a)		9,910		10,007

Venator Finance SARL 9.50%, 7/1/2025 (a)		2,955		3,280

W.R. Grace & Co.-Conn. 4.88%, 6/15/2027 (a)		3,660		3,797

WR Grace Holdings LLC 5.63%, 8/15/2029 (a)		1,673		1,742

				126,091


Commercial Services & Supplies — 0.8%

ACCO Brands Corp. 4.25%, 3/15/2029 (a)		9,647		9,694

ADT Security Corp. (The) 4.13%, 6/15/2023		246		259

4.13%, 8/1/2029 (a)		4,591		4,585

4.88%, 7/15/2032 (a)		7,171		7,278

Allied Universal Holdco LLC 6.63%, 7/15/2026 (a)		4,662		4,983

9.75%, 7/15/2027 (a)		2,257		2,469

4.63%, 6/1/2028 (a)		5,179		5,198

Aramark Services, Inc. 5.00%, 2/1/2028 (a)		4,951		5,148

Atento Luxco 1 SA (Brazil) 8.00%, 2/10/2026 (f)		3,200		3,530

Brink’s Co. (The) 4.63%, 10/15/2027 (a)		3,320		3,487

Clean Harbors, Inc. 4.88%, 7/15/2027 (a)		3,790		3,968


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Commercial Services & Supplies — continued

Covanta Holding Corp. 5.88%, 7/1/2025		1,390		1,439

Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)		380		381

9.50%, 11/1/2027 (a)		510		555

GFL Environmental, Inc. (Canada) 3.75%, 8/1/2025 (a)		8,449		8,702

5.13%, 12/15/2026 (a)		2,085		2,200

4.00%, 8/1/2028 (a)		2,968		2,946

3.50%, 9/1/2028 (a)		1,400		1,397

Madison IAQ LLC 4.13%, 6/30/2028 (a)		11,967		12,032

5.88%, 6/30/2029 (a)		1,254		1,284

Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (a)		146		150

Nielsen Finance LLC 5.63%, 10/1/2028 (a)		4,711		4,953

4.50%, 7/15/2029 (a)		2,195		2,175

4.75%, 7/15/2031 (a)		1,311		1,295

Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a)		6,498		7,030

3.38%, 8/31/2027 (a)		6,385		6,161

Stericycle, Inc. 5.38%, 7/15/2024 (a)		630		646

3.88%, 1/15/2029 (a)		5,335		5,429

				109,374


Communications Equipment — 0.3%

CommScope Technologies LLC 6.00%, 6/15/2025 (a)		4,288		4,361

CommScope, Inc. 6.00%, 3/1/2026 (a)		12,676		13,299

8.25%, 3/1/2027 (a)		7,725		8,144

4.75%, 9/1/2029 (a)		4,980		5,043

Nokia OYJ (Finland)

4.38%, 6/12/2027		2,600		2,885

Plantronics, Inc.

4.75%, 3/1/2029 (a)		7,755		7,424

				41,156


Construction & Engineering — 0.3%

AECOM 5.13%, 3/15/2027		5,208		5,817

Aeropuerto Internacional de Tocumen SA (Panama)

5.13%, 8/11/2061 (a)		3,830		4,060

Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (f)		3,304		2,522


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Construction & Engineering — continued

Dycom Industries, Inc. 4.50%, 4/15/2029 (a)		1,330		1,367

Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)		1,025		1,046

International Airport Finance SA (Ecuador)

12.00%, 3/15/2033 (f)		8,580		9,223

MasTec, Inc. 4.50%, 8/15/2028 (a)		5,915		6,226

Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (f)		7,300		7,629


				37,890


Construction Materials — 0.1%

Cemex SAB de CV (Mexico)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.13%, 6/8/2026 (a) (d) (e) (g)		4,707		4,914

3.88%, 7/11/2031 (a)		7,155		7,361


				12,275


Consumer Finance — 1.1%

AerCap Ireland Capital DAC (Ireland) 4.50%, 9/15/2023		2,900		3,094

Ally Financial, Inc. 5.75%, 11/20/2025		6,835		7,830

8.00%, 11/1/2031		418		613

Avolon Holdings Funding Ltd. (Ireland) 3.63%, 5/1/2022 (a)		5,500		5,597

Ford Motor Credit Co. LLC 3.09%, 1/9/2023		5,350		5,450

4.14%, 2/15/2023		1,000		1,034

3.37%, 11/17/2023		4,669		4,818

3.66%, 9/8/2024		9,159		9,548

4.06%, 11/1/2024		20,997		22,194

4.69%, 6/9/2025		8,930		9,684

5.13%, 6/16/2025		2,000		2,195

4.13%, 8/4/2025		3,708		3,958

3.38%, 11/13/2025		5,271		5,455

4.39%, 1/8/2026		1,500		1,609

4.54%, 8/1/2026		3,245		3,525

2.70%, 8/10/2026		1,583		1,598

4.27%, 1/9/2027		22,907		24,511

4.13%, 8/17/2027		11,611		12,424

5.11%, 5/3/2029		1,000		1,130

4.00%, 11/13/2030		2,133		2,250


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Consumer Finance — continued

Navient Corp. 6.13%, 3/25/2024		2,180		2,363

OneMain Finance Corp. 6.13%, 5/15/2022		245		253

5.63%, 3/15/2023		272		287

6.88%, 3/15/2025		935		1,059

7.13%, 3/15/2026		3,197		3,736

6.63%, 1/15/2028		5,250		6,060

Park Aerospace Holdings Ltd. (Ireland) 4.50%, 3/15/2023 (a)		2,146		2,252


				144,527


Containers & Packaging — 0.8%

Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a)		4,740		4,928

5.25%, 8/15/2027 (a)		11,287		11,683

Berry Global, Inc. 4.50%, 2/15/2026 (a)		1,051		1,072

4.88%, 7/15/2026 (a)		7,076		7,462

5.63%, 7/15/2027 (a)		940		989

Crown Americas LLC 4.75%, 2/1/2026		860		892

Greif, Inc. 6.50%, 3/1/2027 (a)		3,435		3,607

Klabin Austria GmbH (Brazil) 7.00%, 4/3/2049 (f)		5,630		7,109

LABL, Inc. 6.75%, 7/15/2026 (a)		12,057		12,660

10.50%, 7/15/2027 (a)		935		1,018

Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a)		11,100		11,184

7.25%, 4/15/2025 (a)		6,329		6,257

OI European Group BV 4.00%, 3/15/2023 (a)		14		14

Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)		155		167

Reynolds Group Issuer, Inc. 4.00%, 10/15/2027 (a)		14,215		14,209

Sealed Air Corp. 5.13%, 12/1/2024 (a)		1,995		2,165

5.50%, 9/15/2025 (a)		250		280

Smurfit Kappa Treasury Funding DAC (Ireland) 7.50%, 11/20/2025		950		1,185

Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (h)		12,342		13,005

8.50%, 8/15/2027 (a) (h)		1,545		1,659


				101,545


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Distributors — 0.1%

Wolverine Escrow LLC 8.50%, 11/15/2024 (a)		2,536		2,409

9.00%, 11/15/2026 (a)		5,834		5,601


				8,010


Diversified Consumer Services — 0.1%

Service Corp. International 7.50%, 4/1/2027		535		653

4.63%, 12/15/2027		2,815		2,976

5.13%, 6/1/2029		5,309		5,788

3.38%, 8/15/2030		1,426		1,436

4.00%, 5/15/2031		1,300		1,347


				12,200


Diversified Telecommunication Services — 2.6%

Altice France Holding SA (Luxembourg)

10.50%, 5/15/2027 (a)		10,133		11,134

6.00%, 2/15/2028 (a)		995		986

Altice France SA (France) 7.38%, 5/1/2026 (a)		7,594		7,882

8.13%, 2/1/2027 (a)		8,762		9,517

5.50%, 1/15/2028 (a)		3,500		3,601

5.13%, 1/15/2029 (a)		416		419

5.13%, 7/15/2029 (a)		5,313		5,372

CCO Holdings LLC 5.75%, 2/15/2026 (a)		7,385		7,597

5.50%, 5/1/2026 (a)		4,734		4,877

5.13%, 5/1/2027 (a)		35,271		36,851

5.00%, 2/1/2028 (a)		42,307		44,321

5.38%, 6/1/2029 (a)		7,079		7,734

4.75%, 3/1/2030 (a)		7,082		7,493

4.50%, 8/15/2030 (a)		4,494		4,696

4.25%, 2/1/2031 (a)		4,673		4,796

4.50%, 6/1/2033 (a)		7,604		7,880

4.25%, 1/15/2034 (a)		5,270		5,317

Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a)		3,730		3,800

8.00%, 10/15/2025 (a)		2,325		2,432

DKT Finance ApS (Denmark) 9.38%, 6/17/2023 (a)		1,150		1,173

Embarq Corp. 8.00%, 6/1/2036		1,643		1,729

Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)		9,583		10,243

5.00%, 5/1/2028 (a)		2,217		2,317

5.88%, 11/1/2029		60		62


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

Intelsat Jackson Holdings SA (Luxembourg) 5.50%, 8/1/2023 (i)		8,602		4,473

8.00%, 2/15/2024 (a) (h) (i)		5,129		5,322

8.50%, 10/15/2024 (a) (i)		5,163		2,788

9.75%, 7/15/2025 (a) (i)		1,765		935

Level 3 Financing, Inc. 5.38%, 5/1/2025		4,436		4,538

5.25%, 3/15/2026		4,666		4,811

4.63%, 9/15/2027 (a)		9,916		10,225

4.25%, 7/1/2028 (a)		2,135		2,161

3.63%, 1/15/2029 (a)		5,000		4,850

Liquid Telecommunications Financing plc (South Africa) 5.50%, 9/4/2026 (a)		2,500		2,581

Lumen Technologies, Inc.

Series W, 6.75%, 12/1/2023		2,388		2,627

Series Y, 7.50%, 4/1/2024		10,252		11,405

5.63%, 4/1/2025		3,371		3,648

5.13%, 12/15/2026 (a)		6,468		6,688

4.00%, 2/15/2027 (a)		5,090		5,224

Series G, 6.88%, 1/15/2028		17		19

4.50%, 1/15/2029 (a)		2,575		2,517

5.38%, 6/15/2029 (a)		3,968		4,074

SES GLOBAL Americas Holdings GP (Luxembourg) 5.30%, 3/25/2044 (a)		110		129

Sprint Capital Corp. 6.88%, 11/15/2028		148		193

8.75%, 3/15/2032		18,410		28,193

Switch Ltd. 3.75%, 9/15/2028 (a)		1,547		1,574

4.13%, 6/15/2029 (a)		5,488		5,659

Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033		6,765		7,949

6.00%, 9/30/2034		2,211		2,514

7.72%, 6/4/2038		3,920		5,086

Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a)		500		543

Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)		6,015		6,444

Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a)		7,974		7,884


				337,283


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — 0.6%

Cleveland Electric Illuminating Co. (The) 4.55%, 11/15/2030 (a)		500		590

Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051 (a)		2,366		2,324

Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (f)		6,800		7,181

8.45%, 8/10/2028 (f)		4,400		5,003

FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040 (a)		9,677		10,284

Fenix Power Peru SA (Peru) 4.32%, 9/20/2027 (f)		3,499		3,543

Instituto Costarricense de Electricidad (Costa Rica) 6.95%, 11/10/2021 (f)		4,700		4,717

6.38%, 5/15/2043 (f)		690		607

NextEra Energy Operating Partners LP 4.25%, 7/15/2024 (a)		213		225

4.25%, 9/15/2024 (a)		4		4

4.50%, 9/15/2027 (a)		201		217

NRG Energy, Inc. 6.63%, 1/15/2027		2,928		3,037

5.75%, 1/15/2028		6,117		6,537

3.38%, 2/15/2029 (a)		4,210		4,231

5.25%, 6/15/2029 (a)		1,094		1,188

3.63%, 2/15/2031 (a)		900		916

3.88%, 2/15/2032 (a)		2,624		2,661

PG&E Corp. 5.00%, 7/1/2028		4,100		4,069

Trinidad Generation UnLtd (Trinidad and Tobago) 5.25%, 11/4/2027 (f)		2,000		2,054

Vistra Operations Co. LLC 5.50%, 9/1/2026 (a)		501		515

5.63%, 2/15/2027 (a)		6,661		6,936

5.00%, 7/31/2027 (a)		9,636		9,998

4.38%, 5/1/2029 (a)		1,901		1,930


				78,767


Electrical Equipment — 0.1%

Sensata Technologies BV

4.88%, 10/15/2023 (a)		255		273

5.63%, 11/1/2024 (a)		200		223

5.00%, 10/1/2025 (a)		1,007		1,126

4.00%, 4/15/2029 (a)		10,272		10,631


				12,253


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electronic Equipment, Instruments & Components — 0.2%

CDW LLC 5.50%, 12/1/2024		1,190		1,316

4.13%, 5/1/2025		255		265

4.25%, 4/1/2028		10,708		11,217

3.25%, 2/15/2029		1,000		1,026

Sensata Technologies, Inc. 4.38%, 2/15/2030 (a)		5,284		5,667

3.75%, 2/15/2031 (a)		3,990		4,010


				23,501


Energy Equipment & Services — 0.2%

Archrock Partners LP 6.88%, 4/1/2027 (a)		1,701		1,767

Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)		5,186		5,312

Nabors Industries Ltd. 7.25%, 1/15/2026 (a)		3,575		3,325

Nabors Industries, Inc. 5.75%, 2/1/2025		414		349

Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)		3,376		3,452

Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)		3,995		3,955

Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)		259		251

Transocean Proteus Ltd. 6.25%, 12/1/2024 (a)		265		261

Transocean, Inc. 11.50%, 1/30/2027 (a)		966		973


				19,645


Entertainment — 0.5%

AMC Entertainment Holdings, Inc. 10.50%, 4/24/2026 (a)		915		979

12.00% (PIK), 6/15/2026 (a) (b)		2,694		2,358

Live Nation Entertainment, Inc. 4.88%, 11/1/2024 (a)		7,050		7,147

5.63%, 3/15/2026 (a)		1,398		1,457

6.50%, 5/15/2027 (a)		11,481		12,658

4.75%, 10/15/2027 (a)		7,875		8,001

3.75%, 1/15/2028 (a)		315		315

Netflix, Inc. 5.88%, 2/15/2025		50		57

4.88%, 4/15/2028		6,345		7,416

5.88%, 11/15/2028		9,585		11,885

5.38%, 11/15/2029 (a)		952		1,171

4.88%, 6/15/2030 (a)		2,855		3,417


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Entertainment — continued

WMG Acquisition Corp. 3.88%, 7/15/2030 (a)		8,440		8,894

3.00%, 2/15/2031 (a)		1,780		1,753


				67,508


Equity Real Estate Investment Trusts (REITs) — 0.6%

Iron Mountain, Inc. 4.88%, 9/15/2027 (a)		6,720		6,997

5.25%, 3/15/2028 (a)		763		803

5.00%, 7/15/2028 (a)		417		436

4.88%, 9/15/2029 (a)		1,325		1,398

MGM Growth Properties Operating

Partnership LP 5.63%, 5/1/2024		4,022		4,384

4.63%, 6/15/2025 (a)		3,553		3,819

4.50%, 9/1/2026		1,000		1,089

5.75%, 2/1/2027		3,610		4,156

3.88%, 2/15/2029 (a)		1,950		2,067

MPT Operating Partnership LP 4.63%, 8/1/2029		1,472		1,574

RHP Hotel Properties LP 4.75%, 10/15/2027		12,666		13,195

4.50%, 2/15/2029 (a)		600		608

SBA Communications Corp. 4.88%, 9/1/2024		1,225		1,243

3.88%, 2/15/2027		4,386		4,559

3.13%, 2/1/2029 (a)		3,932		3,863

Uniti Group LP 7.13%, 12/15/2024 (a)		65		67

VICI Properties LP 3.50%, 2/15/2025 (a)		1,480		1,517

4.25%, 12/1/2026 (a)		5,978		6,279

3.75%, 2/15/2027 (a)		11,696		12,164

4.63%, 12/1/2029 (a)		1,532		1,666

4.13%, 8/15/2030 (a)		2,240		2,391


				74,275


Food & Staples Retailing — 0.5%

Albertsons Cos., Inc. 5.75%, 3/15/2025		2,858		2,919

3.25%, 3/15/2026 (a)		6,587		6,760

7.50%, 3/15/2026 (a)		2,682		2,919

4.63%, 1/15/2027 (a)		10,668		11,296

5.88%, 2/15/2028 (a)		1,317		1,412

3.50%, 3/15/2029 (a)		6,944		7,013

4.88%, 2/15/2030 (a)		1,867		2,037


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Food & Staples Retailing — continued

Cencosud SA (Chile) 6.63%, 2/12/2045 (f)		2,600		3,330

New Albertsons LP 6.63%, 6/1/2028		8		9

7.45%, 8/1/2029		113		131

8.00%, 5/1/2031		870		1,060

Performance Food Group, Inc. 6.88%, 5/1/2025 (a)		2,043		2,171

5.50%, 10/15/2027 (a)		6,382		6,645

4.25%, 8/1/2029 (a)		1,250		1,254

Rite Aid Corp. 7.50%, 7/1/2025 (a)		8,573		8,817

8.00%, 11/15/2026 (a)		8,757		9,030

Tesco plc (United Kingdom) 6.15%, 11/15/2037 (a)		870		1,163


				67,966


Food Products — 0.4%

B&G Foods, Inc. 5.25%, 4/1/2025		2,741		2,813

5.25%, 9/15/2027		1,420		1,475

Darling Ingredients, Inc. 5.25%, 4/15/2027 (a)		1,640		1,713

JBS USA LUX SA 6.75%, 2/15/2028 (a)		1,253		1,373

6.50%, 4/15/2029 (a)		757		857

Lamb Weston Holdings, Inc. 4.63%, 11/1/2024 (a)		2,568		2,635

4.88%, 11/1/2026 (a)		7,854		8,079

4.88%, 5/15/2028 (a)		585		651

MARB BondCo plc (Brazil) 3.95%, 1/29/2031 (a)		6,242		6,077

Pilgrim’s Pride Corp. 5.88%, 9/30/2027 (a)		397		424

Post Holdings, Inc. 5.75%, 3/1/2027 (a)		6,877		7,197

5.63%, 1/15/2028 (a)		5,629		5,925

5.50%, 12/15/2029 (a)		7,780		8,333

4.63%, 4/15/2030 (a)		3,130		3,196

4.50%, 9/15/2031 (a)		2,000		2,018

Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a)		3,000		3,008

TreeHouse Foods, Inc. 4.00%, 9/1/2028		1,450		1,394


				57,168


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Gas Utilities — 0.1%

AmeriGas Partners LP 5.63%, 5/20/2024		189		207

5.50%, 5/20/2025		3,952		4,341

5.88%, 8/20/2026		2,038		2,293

5.75%, 5/20/2027		1,637		1,842


				8,683


Health Care Equipment & Supplies — 0.2%

Avantor Funding, Inc. 4.63%, 7/15/2028 (a)		8,377		8,858

Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a)		3,908		4,094

Hologic, Inc. 4.63%, 2/1/2028 (a)		1,721		1,831

3.25%, 2/15/2029 (a)		10,488		10,746

Teleflex, Inc. 4.25%, 6/1/2028 (a)		1,000		1,041


				26,570


Health Care Providers & Services — 1.8%

Acadia Healthcare Co., Inc. 5.00%, 4/15/2029 (a)		165		172

Centene Corp. 4.25%, 12/15/2027		9,786		10,336

4.63%, 12/15/2029		12,270		13,460

3.38%, 2/15/2030		1,140		1,191

Community Health Systems, Inc. 8.00%, 3/15/2026 (a)		4,646		4,972

5.63%, 3/15/2027 (a)		4,326		4,564

6.00%, 1/15/2029 (a)		1,194		1,273

6.13%, 4/1/2030 (a)		1,450		1,462

4.75%, 2/15/2031 (a)		2,165		2,209

DaVita, Inc. 4.63%, 6/1/2030 (a)		8,923		9,326

3.75%, 2/15/2031 (a)		7,648		7,558

Encompass Health Corp. 5.75%, 9/15/2025		1,960		2,004

4.50%, 2/1/2028		11,708		12,264

4.75%, 2/1/2030		1,912		2,039

Envision Healthcare Corp. 8.75%, 10/15/2026 (a)		1,122		948

HCA, Inc. 5.38%, 2/1/2025		8,413		9,475

5.88%, 2/15/2026		23,266		26,984

5.25%, 6/15/2026		145		168

5.38%, 9/1/2026		10,441		12,044

5.63%, 9/1/2028		15,341		18,294

5.88%, 2/1/2029		19,680		23,862

3.50%, 9/1/2030		3,765		4,040


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

Owens & Minor, Inc. 4.50%, 3/31/2029 (a)		5,070		5,184

Team Health Holdings, Inc. 6.38%, 2/1/2025 (a)		1,018		972

Tenet Healthcare Corp. 4.63%, 7/15/2024		3,090		3,132

4.63%, 9/1/2024 (a)		686		702

4.88%, 1/1/2026 (a)		14,143		14,671

6.25%, 2/1/2027 (a)		14,783		15,411

5.13%, 11/1/2027 (a)		17,889		18,828

4.63%, 6/15/2028 (a)		5,843		6,048

4.25%, 6/1/2029 (a)		3,027		3,093


				236,686


Health Care Technology — 0.1%

IQVIA, Inc. 5.00%, 10/15/2026 (a)		9,503		9,788

5.00%, 5/15/2027 (a)		6,947		7,259


				17,047


Hotels, Restaurants & Leisure — 1.3%

1011778 BC ULC (Canada) 5.75%, 4/15/2025 (a)		1,971		2,077

3.88%, 1/15/2028 (a)		6,554		6,636

4.00%, 10/15/2030 (a)		4,385		4,361

Boyne USA, Inc. 4.75%, 5/15/2029 (a)		3,110		3,211

Caesars Resort Collection LLC 5.75%, 7/1/2025 (a)		2,490		2,616

5.25%, 10/15/2025 (a)		2,240		2,272

Carnival Corp. 9.88%, 8/1/2027 (a)		4,440		5,117

4.00%, 8/1/2028 (a)		3,266		3,283

Cedar Fair LP 5.50%, 5/1/2025 (a)		6,110		6,369

5.38%, 4/15/2027		1,194		1,224

5.25%, 7/15/2029		3,475		3,560

Cirsa Finance International SARL (Spain) 7.88%, 12/20/2023 (a)		1,820		1,849

Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a)		726		702

Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a)		851		888

Hilton Domestic Operating Co., Inc. 5.38%, 5/1/2025 (a)		3,907		4,099

5.75%, 5/1/2028 (a)		3,500		3,781


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Hotels, Restaurants & Leisure — continued

3.75%, 5/1/2029 (a)		4,090		4,172

4.88%, 1/15/2030		1,404		1,509

4.00%, 5/1/2031 (a)		640		660

Hilton Grand Vacations Borrower Escrow LLC 5.00%, 6/1/2029 (a)		925		937

Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024		459		476

Hilton Worldwide Finance LLC 4.88%, 4/1/2027		6,835		7,091

International Game Technology plc 6.50%, 2/15/2025 (a)		1,825		2,035

4.13%, 4/15/2026 (a)		200		208

6.25%, 1/15/2027 (a)		3,445		3,927

KFC Holding Co. 4.75%, 6/1/2027 (a)		1,440		1,509

Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026		1,187		1,227

4.75%, 1/15/2028		18		18

4.50%, 6/15/2029 (a)		3,331		3,365

Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026 (a)		3,050		3,149

MGM Resorts International 6.00%, 3/15/2023		745		789

5.75%, 6/15/2025		3,508		3,841

4.63%, 9/1/2026		1,954		2,062

5.50%, 4/15/2027		1,675		1,823

Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027 (a)		500		503

Royal Caribbean Cruises Ltd. 10.88%, 6/1/2023 (a)		1,180		1,328

11.50%, 6/1/2025 (a)		3,143		3,618

Scientific Games International, Inc. 5.00%, 10/15/2025 (a)		4,321		4,444

Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)		10,207		10,318

5.50%, 4/15/2027 (a)		4,723		4,888

Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)		3,746		4,004

Station Casinos LLC 5.00%, 10/1/2025 (a)		1,658		1,677

4.50%, 2/15/2028 (a)		760		771

Travel + Leisure Co. 6.00%, 4/1/2027 (h)		585		647

Vail Resorts, Inc. 6.25%, 5/15/2025 (a)		8,106		8,637

Wynn Las Vegas LLC 5.50%, 3/1/2025 (a)		5,189		5,500


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Hotels, Restaurants & Leisure — continued

5.25%, 5/15/2027 (a)		670		704

Wynn Resorts Finance LLC 7.75%, 4/15/2025 (a)		1,220		1,296

5.13%, 10/1/2029 (a)		15,995		16,634

Yum! Brands, Inc. 7.75%, 4/1/2025 (a)		560		603

4.75%, 1/15/2030 (a)		4,363		4,816

3.63%, 3/15/2031		1,968		2,022

4.63%, 1/31/2032		2,654		2,885


				166,138


Household Durables — 0.3%

CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)		2,769		2,947

Lennar Corp. 5.88%, 11/15/2024		117		132

4.75%, 5/30/2025		874		977

5.25%, 6/1/2026		4,166		4,812

5.00%, 6/15/2027		1,100		1,280

Newell Brands, Inc. 4.70%, 4/1/2026 (h)		10,112		11,300

5.87%, 4/1/2036 (h)		2,780		3,482

Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)		7,335		7,518

Toll Brothers Finance Corp. 3.80%, 11/1/2029		595		648


				33,096


Household Products — 0.4%

Central Garden & Pet Co. 5.13%, 2/1/2028		8,220		8,720

4.13%, 10/15/2030		3,550		3,643

Energizer Holdings, Inc. 4.75%, 6/15/2028 (a)		8,858		9,102

4.38%, 3/31/2029 (a)		10,114		10,143

Spectrum Brands, Inc. 5.75%, 7/15/2025		1,474		1,507

5.00%, 10/1/2029 (a)		7,521		7,898

5.50%, 7/15/2030 (a)		3,219		3,456

3.88%, 3/15/2031 (a)		1,935		1,910


				46,379


Independent Power and Renewable Electricity Producers — 0.2%

Calpine Corp. 5.25%, 6/1/2026 (a)		10,187		10,506

4.50%, 2/15/2028 (a)		815		839

4.63%, 2/1/2029 (a)		1,000		1,003


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Independent Power and Renewable Electricity Producers — continued

5.00%, 2/1/2031 (a)		1,000		1,018

Clearway Energy Operating LLC 5.00%, 9/15/2026		316		324

Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f)		6,105		6,409


				20,099


Insurance — 0.0% (c)

Massachusetts Mutual Life Insurance Co.

(ICE LIBOR USD 3 Month + 3.19%), 5.08%, 2/15/2069 (a) (e)		600		757


Internet & Direct Marketing Retail—0.1%

Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a)		551		581

Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)		7,873		8,542


				9,123


IT Services — 0.3%

Exela Intermediate LLC 10.00%, 7/15/2023 (a)		998		749

Gartner, Inc. 4.50%, 7/1/2028 (a)		11,528		12,206

3.75%, 10/1/2030 (a)		5,330		5,577

Square, Inc. 2.75%, 6/1/2026 (a)		4,470		4,599

3.50%, 6/1/2031 (a)		4,549		4,730

StoneCo Ltd. (Brazil) 3.95%, 6/16/2028 (a)		6,370		6,139


				34,000


Leisure Products — 0.1%

Mattel, Inc. 3.15%, 3/15/2023		765		780

3.38%, 4/1/2026 (a)		3,678		3,822

5.88%, 12/15/2027 (a)		3,386		3,695

3.75%, 4/1/2029 (a)		1,214		1,274

Vista Outdoor, Inc. 4.50%, 3/15/2029 (a)		4,826		4,880


				14,451


Machinery — 0.1%

Colfax Corp. 6.38%, 2/15/2026 (a)		1,143		1,202

Mueller Water Products, Inc. 4.00%, 6/15/2029 (a)		6,320		6,575

RBS Global, Inc. 4.88%, 12/15/2025 (a)		2,525		2,576

SPX FLOW, Inc. 5.88%, 8/15/2026 (a)		2,457		2,529


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Machinery — continued

TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)		2,085		2,203

TriMas Corp. 4.13%, 4/15/2029 (a)		360		367

Wabash National Corp. 5.50%, 10/1/2025 (a)		660		668

Welbilt, Inc. 9.50%, 2/15/2024		295		305


				16,425



Marine — 0.1%

MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a)		4,118		4,485

6.75%, 6/1/2034 (f)		2,801		3,050


				7,535


Media — 2.7%

Altice Financing SA (Luxembourg) 5.75%, 8/15/2029 (a)		4,775		4,903

AMC Networks, Inc. 5.00%, 4/1/2024		1,086		1,100

4.75%, 8/1/2025		1,785		1,829

Audacy Capital Corp. 6.50%, 5/1/2027 (a)		2,233		2,244

Clear Channel Outdoor Holdings, Inc. 7.75%, 4/15/2028 (a)		4,238		4,418

7.50%, 6/1/2029 (a)		7,069		7,317

Clear Channel Worldwide Holdings, Inc.

5.13%, 8/15/2027 (a)		19,103		19,664

CSC Holdings LLC 6.75%, 11/15/2021		115		116

5.25%, 6/1/2024		1,168		1,260

5.50%, 4/15/2027 (a)		2,075		2,171

5.38%, 2/1/2028 (a)		5,167		5,438

6.50%, 2/1/2029 (a)		20,145		22,236

4.50%, 11/15/2031 (a)		5,619		5,655

Diamond Sports Group LLC 5.38%, 8/15/2026 (a)		4,545		3,016

DIRECTV Holdings LLC 5.88%, 8/15/2027 (a)		5,796		6,057

DISH DBS Corp. 5.88%, 7/15/2022		1,830		1,893

5.00%, 3/15/2023		4,714		4,920

5.88%, 11/15/2024		50,425		54,207

7.75%, 7/1/2026		6,030		6,907

GCI LLC 4.75%, 10/15/2028 (a)		4,061		4,259


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Media — continued

Gray Television, Inc. 5.88%, 7/15/2026 (a)		1,237		1,276

7.00%, 5/15/2027 (a)		3,427		3,675

iHeartCommunications, Inc. 6.38%, 5/1/2026		6,843		7,228

8.38%, 5/1/2027		3,554		3,776

5.25%, 8/15/2027 (a)		11,916		12,485

Lamar Media Corp. 3.75%, 2/15/2028		710		729

4.88%, 1/15/2029		3,591		3,821

4.00%, 2/15/2030		2,500		2,581

Liberty Interactive LLC 8.25%, 2/1/2030		275		309

Meredith Corp. 6.50%, 7/1/2025 (a)		1,000		1,078

6.88%, 2/1/2026		6,140		6,362

Midas OpCo Holdings LLC 5.63%, 8/15/2029 (a)		4,125		4,223

Midcontinent Communications 5.38%, 8/15/2027 (a)		626		652

News Corp. 3.88%, 5/15/2029 (a)		5,172		5,318

Nexstar Media, Inc. 5.63%, 7/15/2027 (a)		13,008		13,811

4.75%, 11/1/2028 (a)		11,776		12,244

Outfront Media Capital LLC 5.00%, 8/15/2027 (a)		4,228		4,359

Quebecor Media, Inc. (Canada) 5.75%, 1/15/2023		220		233

Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)		3,060		3,076

Sinclair Television Group, Inc. 5.88%, 3/15/2026 (a)		184		188

5.13%, 2/15/2027 (a)		3,860		3,749

4.13%, 12/1/2030 (a)		4,800		4,692

Sirius XM Radio, Inc. 5.38%, 7/15/2026 (a)		6,764		6,946

3.13%, 9/1/2026 (a)		1,644		1,675

5.00%, 8/1/2027 (a)		24,300		25,485

4.00%, 7/15/2028 (a)		3,841		3,922

5.50%, 7/1/2029 (a)		8,974		9,827

4.13%, 7/1/2030 (a)		731		748

Summer BC Bidco B LLC 5.50%, 10/31/2026 (a)		1,703		1,726

TEGNA, Inc. 4.63%, 3/15/2028		1,360		1,411

5.00%, 9/15/2029		2,757		2,919


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Media — continued

Telenet Finance Luxembourg Notes SARL (Belgium) 5.50%, 3/1/2028 (a)		2,400		2,524

Univision Communications, Inc. 6.63%, 6/1/2027 (a)		1,220		1,321

4.50%, 5/1/2029 (a)		2,524		2,560

UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a)		3,685		3,763

UPC Holding BV (Netherlands) 5.50%, 1/15/2028 (a)		2,900		3,061

ViacomCBS, Inc.

(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (e)		530		537

(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (e)		1,712		1,952

Videotron Ltd. (Canada) 5.38%, 6/15/2024 (a)		190		209

5.13%, 4/15/2027 (a)		9,212		9,593

3.63%, 6/15/2029 (a)		3,146		3,240

Ziggo Bond Co. BV (Netherlands) 6.00%, 1/15/2027 (a)		1,050		1,099

Ziggo BV (Netherlands) 5.50%, 1/15/2027 (a)		2,063		2,132

4.88%, 1/15/2030 (a)		2,750		2,833


				344,958


Metals & Mining — 0.7%

Alcoa Nederland Holding BV 7.00%, 9/30/2026 (a)		5,405		5,647

5.50%, 12/15/2027 (a)		2,230		2,400

6.13%, 5/15/2028 (a)		2,625		2,855

Allegheny Technologies, Inc. 5.88%, 12/1/2027		2,180		2,286

ArcelorMittal SA (Luxembourg) 7.00%, 10/15/2039 (h)		200		288

Arconic Corp. 6.00%, 5/15/2025 (a)		3,725		3,943

6.13%, 2/15/2028 (a)		7,004		7,487

Big River Steel LLC 6.63%, 1/31/2029 (a)		2,826		3,073

Cleveland-Cliffs, Inc. 6.75%, 3/15/2026 (a)		3,498		3,751

4.63%, 3/1/2029 (a)		2,147		2,260

4.88%, 3/1/2031 (a)		1,000		1,075

Commercial Metals Co. 4.88%, 5/15/2023		40		42

5.38%, 7/15/2027		359		380


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Metals & Mining — continued

Constellium SE 5.88%, 2/15/2026 (f)		2,150		2,206

5.88%, 2/15/2026 (a)		835		857

5.63%, 6/15/2028 (a)		700		740

3.75%, 4/15/2029 (a)		1,000		995

CSN Inova Ventures (Brazil) 6.75%, 1/28/2028(f)		3,300		3,621

FMG Resources August 2006 Pty. Ltd. (Australia) 5.13%, 5/15/2024 (a)		174		187

4.50%, 9/15/2027 (a)		1,830		1,986

4.38%, 4/1/2031 (a)		4,170		4,494

Freeport-McMoRan, Inc. 4.55%, 11/14/2024		1,000		1,083

5.00%, 9/1/2027		1,500		1,579

4.13%, 3/1/2028		2,488		2,606

4.38%, 8/1/2028		2,840		3,011

4.25%, 3/1/2030		1,930		2,084

5.40%, 11/14/2034		98		123

5.45%, 3/15/2043		2,072		2,649

Glencore Finance Canada Ltd. (Switzerland) 6.00%, 11/15/2041 (a)		685		917

Indonesia Asahan Aluminium Persero PT (Indonesia)

6.76%, 11/15/2048(f)		7,500		9,845

Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a)		4,015		4,166

Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (f)		2,900		3,052

Novelis Corp. 3.25%, 11/15/2026 (a)		2,661		2,728

4.75%, 1/30/2030 (a)		3,120		3,323

3.88%, 8/15/2031 (a)		1,330		1,342


				89,081


Mortgage Real Estate Investment Trusts (REITs) — 0.4%

Arbor Realty Trust, Inc. REIT, 5.00%, 4/30/2026		15,000		15,226

Series QIB, REIT, 4.50%, 9/1/2026 (a)		14,500		14,500

Series QIB, REIT, 4.50%, 3/15/2027 (a)		20,000		19,980


				49,706


Multiline Retail — 0.1%

NMG Holding Co., Inc. 7.13%, 4/1/2026 (a)		6,175		6,538


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multi-Utilities — 0.1%

Empresas Publicas de Medellin ESP (Colombia)

4.25%, 7/18/2029 (f)		1,000		994

Sempra Energy

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (d) (e) (g)		9,803		10,645


				11,639

Oil, Gas & Consumable Fuels — 3.8%

AI Candelaria Spain SLU (Colombia) 7.50%, 12/15/2028 (f)		2,304		2,552

5.75%, 6/15/2033 (a)		5,974		6,061

Antero Midstream Partners LP 7.88%, 5/15/2026 (a)		650		716

5.75%, 3/1/2027 (a)		4,374		4,505

5.75%, 1/15/2028 (a)		1,369		1,425

5.38%, 6/15/2029 (a)		5,640		5,774

Antero Resources Corp. 5.00%, 3/1/2025		1,000		1,020

8.38%, 7/15/2026 (a)		1,676		1,898

7.63%, 2/1/2029 (a)		1,543		1,697

Apache Corp. 4.63%, 11/15/2025		2,304		2,494

4.88%, 11/15/2027		1,340		1,464

4.38%, 10/15/2028		900		971

Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (a)		3,495		3,561

Blue Racer Midstream LLC 7.63%, 12/15/2025 (a)		3,100		3,352

BP Capital Markets plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (g)		17,690		18,840

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (g)		7,880		8,686

Buckeye Partners LP 4.15%, 7/1/2023		2,211		2,283

4.13%, 3/1/2025 (a)		1,931		1,996

3.95%, 12/1/2026		5,740		5,921

4.13%, 12/1/2027		4,490		4,613

4.50%, 3/1/2028 (a)		1,972		2,044

5.60%, 10/15/2044		900		887

California Resources Corp. 7.13%, 2/1/2026 (a)		5,409		5,674

Callon Petroleum Co. 6.13%, 10/1/2024		294		284


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued

6.38%, 7/1/2026		159		148

Cheniere Energy Partners LP 5.63%, 10/1/2026		5,547		5,740

4.50%, 10/1/2029		5,105		5,501

4.00%, 3/1/2031 (a)		1,871		1,969

Cheniere Energy, Inc. 4.63%, 10/15/2028		9,310		9,822

Comstock Resources, Inc. 7.50%, 5/15/2025 (a)		3,842		3,977

6.75%, 3/1/2029 (a)		3,276		3,438

5.88%, 1/15/2030 (a)		2,345		2,351

Continental Resources, Inc. 4.50%, 4/15/2023		1,000		1,043

5.75%, 1/15/2031 (a)		3,153		3,842

Crestwood Midstream Partners LP 5.75%, 4/1/2025		229		234

5.63%, 5/1/2027 (a)		4,235		4,277

DCP Midstream LP

Series A, (ICE LIBOR USD 3 Month + 5.15%), 7.38%, 12/15/2022 (d) (e) (g)		235		227

DCP Midstream Operating LP 3.88%, 3/15/2023		350		360

5.38%, 7/15/2025		4,290		4,723

5.63%, 7/15/2027		2,000		2,273

6.75%, 9/15/2037 (a)		124		154

5.60%, 4/1/2044		25		29

Devon Energy Corp. 8.25%, 8/1/2023 (a)		2,741		3,092

5.88%, 6/15/2028 (a)		648		713

4.50%, 1/15/2030 (a)		618		675

DT Midstream, Inc. 4.13%, 6/15/2029 (a)		4,544		4,657

4.38%, 6/15/2031 (a)		2,145		2,215

Ecopetrol SA (Colombia) 5.88%, 5/28/2045		5,145		5,501

Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)		7,431		7,458

Energean Israel Finance Ltd. (Israel) 4.50%, 3/30/2024 (f)		3,732		3,799

4.88%, 3/30/2026 (f)		2,711		2,777

Energy Transfer LP

Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (d) (e) (g)		223		215

Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (d) (e) (g)		4,442		4,568


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Oil, Gas & Consumable Fuels — continued

5.35%, 5/15/2045		740		878

5.30%, 4/15/2047		430		509

EnLink Midstream Partners LP

Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (d) (e) (g)		460		345

4.40%, 4/1/2024		374		389

4.15%, 6/1/2025		4,292		4,420

4.85%, 7/15/2026		1,215		1,258

EQM Midstream Partners LP 4.75%, 7/15/2023		689		721

6.00%, 7/1/2025 (a)		6,329		6,836

6.50%, 7/1/2027 (a)		235		262

5.50%, 7/15/2028		1,115		1,217

4.50%, 1/15/2029 (a)		2,094		2,125

4.75%, 1/15/2031 (a)		6,133		6,240

EQT Corp. 3.13%, 5/15/2026 (a)		1,594		1,638

3.90%, 10/1/2027		3,500		3,778

5.00%, 1/15/2029		1,000		1,137

3.63%, 5/15/2031 (a)		1,305		1,380

ESC Co. 6.63%, 5/1/2023‡(i)		3,075		123

6.00%, 10/15/2024 ‡ (i)		6,189		248

6.38%, 1/15/2026 ‡ (i)		27		1

Genesis Energy LP 6.50%, 10/1/2025		515		505

6.25%, 5/15/2026		1,675		1,612

8.00%, 1/15/2027		2,853		2,833

7.75%, 2/1/2028		2,665		2,611

Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (f)		1,013		1,036

Gulfport Energy Operating Corp. 8.00%, 5/17/2026 (a)		2,745		2,919

Hess Midstream Operations LP 5.63%, 2/15/2026 (a)		7,585		7,876

5.13%, 6/15/2028 (a)		1,430		1,498

Hilcorp Energy I LP 6.25%, 11/1/2028 (a)		292		302

Holly Energy Partners LP 5.00%, 2/1/2028 (a)		75		77

Leviathan Bond Ltd. (Israel)

6.13%, 6/30/2025 (f)		2,490		2,706

6.50%, 6/30/2027 (f)		5,000		5,507

6.75%, 6/30/2030 (f)		1,553		1,736

Matador Resources Co. 5.88%, 9/15/2026		455		458


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued

Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (f)		3,800		3,864

Medco Platinum Road Pte. Ltd. (Indonesia) 6.75%, 1/30/2025 (f)		2,900		3,026

MEG Energy Corp. (Canada) 6.50%, 1/15/2025 (a)		4,751		4,906

7.13%, 2/1/2027 (a)		2,262		2,380

MPLX LP 4.50%, 4/15/2038		750		858

Murphy Oil Corp. 5.75%, 8/15/2025		2,680		2,740

NAK Naftogaz Ukraine via Kondor

Finance plc (Ukraine) 7.63%, 11/8/2026 (f)		4,700		4,820

NGL Energy Operating LLC 7.50%, 2/1/2026 (a)		3,757		3,813

NuStar Logistics LP 5.75%, 10/1/2025		1,832		1,969

6.00%, 6/1/2026		2,153		2,330

5.63%, 4/28/2027		3,692		3,927

6.38%, 10/1/2030		1,674		1,851

Occidental Petroleum Corp. 3.50%, 6/15/2025		2,915		3,053

8.00%, 7/15/2025		2,604		3,138

5.88%, 9/1/2025		3,825		4,303

5.50%, 12/1/2025		1,000		1,115

5.55%, 3/15/2026		2,919		3,255

3.40%, 4/15/2026		12,400		12,742

3.20%, 8/15/2026		960		990

3.00%, 2/15/2027		1,348		1,351

8.50%, 7/15/2027		2,762		3,484

6.38%, 9/1/2028		2,225		2,639

8.88%, 7/15/2030		3,112		4,271

6.63%, 9/1/2030		1,225		1,528

6.13%, 1/1/2031		2,412		2,917

4.50%, 7/15/2044		900		918

Oil and Gas Holding Co. BSCC (The) (Bahrain) 7.63%, 11/7/2024 (f)		1,400		1,551

8.38%, 11/7/2028 (f)		3,200		3,696

PBF Holding Co. LLC 6.00%, 2/15/2028		3,460		2,266

Peru LNG Srl (Peru) 5.38%, 3/22/2030 (f)		14,000		11,104

Petrobras Global Finance BV (Brazil) 5.50%, 6/10/2051		4,351		4,346

6.85%, 6/5/2115		1,000		1,108


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Oil, Gas & Consumable Fuels — continued

Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a)		5,460		5,672

Petroleos Mexicanos (Mexico) 6.88%, 8/4/2026		7,100		7,737

5.35%, 2/12/2028		7,800		7,742

6.38%, 1/23/2045		5,548		4,743

7.69%, 1/23/2050		5,000		4,774

6.95%, 1/28/2060		22,590		19,758

Plains All American Pipeline LP

Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (d) (e) (g)		475		424

Range Resources Corp. 5.00%, 3/15/2023		5,295		5,430

9.25%, 2/1/2026		50		55

8.25%, 1/15/2029 (a)		3,158		3,506

SM Energy Co. 6.75%, 9/15/2026		179		180

6.63%, 1/15/2027		2,778		2,792

Southwestern Energy Co. 6.45%, 1/23/2025 (h)		2,265		2,469

7.50%, 4/1/2026		4,390		4,653

7.75%, 10/1/2027		160		173

5.38%, 3/15/2030		5,936		6,175

Sunoco LP 6.00%, 4/15/2027		1,250		1,306

4.50%, 5/15/2029		1,659		1,680

Tallgrass Energy Partners LP 5.50%, 9/15/2024 (a)		4,688		4,763

7.50%, 10/1/2025 (a)		4,955		5,338

6.00%, 3/1/2027 (a)		2,600		2,691

5.50%, 1/15/2028 (a)		1,454		1,469

Targa Resources Partners LP 5.88%, 4/15/2026		11,960		12,514

5.38%, 2/1/2027		3,765		3,901

6.50%, 7/15/2027		4,231		4,581

5.00%, 1/15/2028		4,425		4,647

6.88%, 1/15/2029		2,240		2,518

5.50%, 3/1/2030		4,190		4,619

4.88%, 2/1/2031		2,025		2,203

4.00%, 1/15/2032 (a)		1,634		1,711

TerraForm Power Operating LLC 4.25%, 1/31/2023 (a)		255		262

5.00%, 1/31/2028 (a)		172		186

Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (e)		6,000		6,660


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued

Trinidad Petroleum Holdings Ltd. (Trinidad and Tobago) 9.75%, 6/15/2026 (a)		4,100		4,598

Vine Energy Holdings LLC 6.75%, 4/15/2029 (a)		4,442		4,797

Western Midstream Operating LP 4.65%, 7/1/2026		447		482


				493,145


Paper & Forest Products — 0.0% (c)

Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (f)		3,000		4,045


Personal Products — 0.2%

Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)		11,775		12,466

4.13%, 4/1/2029 (a)		1,683		1,694

Natura Cosmeticos SA (Brazil) 4.13%, 5/3/2028 (a)		5,084		5,219

Prestige Brands, Inc.

5.13%, 1/15/2028 (a)		3,048		3,193


				22,572


Pharmaceuticals — 1.3%

Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)		22,091		23,803

8.50%, 1/31/2027 (a)		15,949		17,152

Bausch Health Cos., Inc. 6.13%, 4/15/2025 (a)		6,507		6,653

5.50%, 11/1/2025 (a)		15,180		15,527

9.00%, 12/15/2025 (a)		13,624		14,492

5.75%, 8/15/2027 (a)		6,600		6,930

7.00%, 1/15/2028 (a)		3,590		3,721

5.00%, 1/30/2028 (a)		9,014		8,597

4.88%, 6/1/2028 (a)		4,978		5,115

5.00%, 2/15/2029 (a)		2,216		2,069

7.25%, 5/30/2029 (a)		256		264

5.25%, 1/30/2030 (a)		2,673		2,513

5.25%, 2/15/2031 (a)		1,777		1,657

Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (a)		980		1,027

3.13%, 2/15/2029 (a)		1,315		1,299

Elanco Animal Health, Inc. 5.90%, 8/28/2028 (h)		7,230		8,464

Endo Dac 5.88%, 10/15/2024 (a)		700		684

9.50%, 7/31/2027 (a)		135		133

6.00%, 6/30/2028 (a)		171		107


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Pharmaceuticals — continued

Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029 (a)		1,520		1,505

Jazz Securities DAC 4.38%, 1/15/2029 (a)		11,116		11,519

Mallinckrodt International Finance SA 5.63%, 10/15/2023 (a) (i)		445		299

5.50%, 4/15/2025 (a) (i)		225		151

Organon & Co. 4.13%, 4/30/2028 (a)		15,284		15,769

5.13%, 4/30/2031 (a)		3,905		4,096

Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a)		7,330		7,422

Teva Pharmaceutical Finance

Netherlands III BV (Israel) 3.15%, 10/1/2026		2,600		2,493


				163,461


Professional Services — 0.0% (c)

Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (a)		169		178


Real Estate Management & Development — 0.0% (c)

RKPF Overseas 2020 A Ltd. (China) 5.20%, 1/12/2026 (f)		1,900		1,869

RKPF Overseas Ltd. (China) 6.00%, 9/4/2025 (f)		3,600		3,663


				5,532


Road & Rail — 0.3%

Ashtead Capital, Inc. (United Kingdom) 4.38%, 8/15/2027 (a)		500		526

4.00%, 5/1/2028 (a)		2,630		2,793

Avis Budget Car Rental LLC

5.25%, 3/15/2025 (a)		2,660		2,707

5.75%, 7/15/2027 (a)		5,396		5,629

4.75%, 4/1/2028 (a)		5,410		5,577

5.38%, 3/1/2029 (a)		5,285		5,549

ESC GCBREGS EXIDE TECH 7.13%, 8/1/2026 (i)		2,755		186

6.00%, 1/15/2028 (i)		1,450		98

Hertz Corp. (The) 6.25%, 10/15/2022 (i)		185		5

5.50%, 10/15/2024 (i)		5,875		147

NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)		865		897

Prumo Participacoes e Investimentos

S/A (Brazil) 7.50%, 12/31/2031 (f)		5,661		6,296

7.50%, 12/31/2031 (a)		1,219		1,356


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Road & Rail — continued

Uber Technologies, Inc. 7.50%, 9/15/2027 (a)		4,055		4,419

4.50%, 8/15/2029 (a)		4,364		4,295

XPO Logistics, Inc. 6.13%, 9/1/2023 (a)		3,740		3,740

				44,220


Semiconductors & Semiconductor Equipment — 0.2%

Amkor Technology, Inc. 6.63%, 9/15/2027 (a)		788		849

Broadcom Corp. 3.50%, 1/15/2028		870		946

Entegris, Inc. 4.38%, 4/15/2028 (a)		4,213		4,456

3.63%, 5/1/2029 (a)		1,741		1,799

Microchip Technology, Inc. 4.25%, 9/1/2025		6,475		6,827

ON Semiconductor Corp. 3.88%, 9/1/2028 (a)		11,581		12,168

				27,045


Software — 0.3%

ACI Worldwide, Inc. 5.75%, 8/15/2026 (a)		605		633

Ascend Learning LLC 6.88%, 8/1/2025 (a)		1,850		1,881

CDK Global, Inc. 4.88%, 6/1/2027		2,890		3,034

5.25%, 5/15/2029 (a)		1,639		1,782

Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)		5,559		5,658

4.88%, 7/1/2029 (a)		5,683		5,862

Nuance Communications, Inc. 5.63%, 12/15/2026		8,974		9,313

Open Text Corp. (Canada) 5.88%, 6/1/2026 (a)		508		524

3.88%, 2/15/2028 (a)		1,235		1,289

SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)		11,085		11,739

				41,715


Specialty Retail — 0.6%

Bath & Body Works, Inc. 9.38%, 7/1/2025 (a)		1,465		1,895

5.25%, 2/1/2028		57		64

7.50%, 6/15/2029		3,254		3,779

6.75%, 7/1/2036		4,435		5,650

eG Global Finance plc (United Kingdom) 6.75%, 2/7/2025 (a)		2,500		2,569


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Specialty Retail — continued

Gap, Inc. (The) 8.63%, 5/15/2025 (a)		1,000		1,091

8.88%, 5/15/2027 (a)		2,905		3,337

Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)		920		936

Lithia Motors, Inc. 3.88%, 6/1/2029 (a)		4,362		4,574

Penske Automotive Group, Inc. 3.75%, 6/15/2029		5,180		5,271

PetSmart, Inc. 4.75%, 2/15/2028 (a)		15,371		16,005

7.75%, 2/15/2029 (a)		8,482		9,320

SRS Distribution, Inc. 4.63%, 7/1/2028 (a)		4,271		4,401

6.13%, 7/1/2029 (a)		1,935		2,008

Staples, Inc. 7.50%, 4/15/2026 (a)		10,613		10,745

10.75%, 4/15/2027 (a)		4,249		4,143

				75,788


Technology Hardware, Storage & Peripherals — 0.3%

Dell International LLC 7.13%, 6/15/2024 (a)		2,045		2,088

6.02%, 6/15/2026		4,170		4,981

EMC Corp. 3.38%, 6/1/2023		3,380		3,490

NCR Corp. 5.75%, 9/1/2027 (a)		4,750		5,023

5.00%, 10/1/2028 (a)		4,119		4,263

5.13%, 4/15/2029 (a)		6,727		6,975

6.13%, 9/1/2029 (a)		4,326		4,715

5.25%, 10/1/2030 (a)		951		994

Seagate HDD Cayman 3.13%, 7/15/2029 (a)		2,560		2,517

4.13%, 1/15/2031 (a)		1,030		1,088

Western Digital Corp. 4.75%, 2/15/2026		3,068		3,428

				39,562


Textiles, Apparel & Luxury Goods — 0.0% (c)

Hanesbrands, Inc. 4.63%, 5/15/2024 (a)		35		37

William Carter Co. (The) 5.63%, 3/15/2027 (a)		3,515		3,673

				3,710


Thrifts & Mortgage Finance — 0.1%

Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a)		1,925		2,000


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Thrifts & Mortgage Finance — continued

Quicken Loans LLC 3.63%, 3/1/2029 (a)		3,938		4,022

3.88%, 3/1/2031 (a)		2,794		2,858

Rocket Mortgage LLC 5.25%, 1/15/2028 (a)		5,570		5,876

				14,756


Tobacco — 0.1%

BAT Capital Corp. (United Kingdom) 3.46%, 9/6/2029		11,930		12,713

4.39%, 8/15/2037		1,230		1,337

4.54%, 8/15/2047		910		975

Reynolds American, Inc. (United Kingdom)

5.85%, 8/15/2045		1,360		1,682

				16,707


Trading Companies & Distributors — 0.5%

Aviation Capital Group LLC 5.50%, 12/15/2024 (a)		2,710		3,054

Herc Holdings, Inc. 5.50%, 7/15/2027 (a)		8,128		8,569

Imola Merger Corp. 4.75%, 5/15/2029 (a)		13,728		14,208

United Rentals North America, Inc. 5.88%, 9/15/2026		4,705		4,848

5.50%, 5/15/2027		9,442		9,959

3.88%, 11/15/2027		885		930

4.88%, 1/15/2028		8,725		9,248

3.88%, 2/15/2031		2,067		2,140

WESCO Distribution, Inc. 7.13%, 6/15/2025 (a)		8,854		9,524

7.25%, 6/15/2028 (a)		5,826		6,480

				68,960


Wireless Telecommunication Services — 1.0%

Hughes Satellite Systems Corp. 6.63%, 8/1/2026		5,652		6,422

Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (f)		5,500		5,529

Millicom International Cellular SA

(Colombia) 5.13%, 1/15/2028 (f)		2,340		2,435

6.25%, 3/25/2029 (a)		900		987

Oztel Holdings SPC Ltd. (Oman) 6.63%, 4/24/2028 (f)		1,700		1,862

Sprint Communications, Inc. 11.50%, 11/15/2021		1,775		1,812

Sprint Corp. 7.88%, 9/15/2023		8,107		9,185


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Wireless Telecommunication Services — continued

7.13%, 6/15/2024		7,672		8,823

7.63%, 2/15/2025		10,459		12,381

7.63%, 3/1/2026		27,185		33,517

T-Mobile USA, Inc. 3.50%, 4/15/2025		1,216		1,312

2.25%, 2/15/2026		1,640		1,675

3.75%, 4/15/2027		1,995		2,208

4.75%, 2/1/2028		10,131		10,817

3.88%, 4/15/2030		1,995		2,235

Turkcell Iletisim Hizmetleri A/S (Turkey)

5.80%, 4/11/2028 (f)		2,400		2,589

United States Cellular Corp. 6.70%, 12/15/2033		1,708		2,079

Vodafone Group plc (United Kingdom)

(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (e)		3,300		4,076

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081 (e)		5,135		5,218

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (e)		16,225		16,466

				131,628


Total Corporate Bonds (Cost $4,073,348)				4,169,151

Commercial Mortgage-Backed Securities — 28.9%

20 Times Square Trust

Series 2018-20TS, Class F, 3.20%, 5/15/2035 ‡ (a) (j)		600		582

BAMLL Re-REMIC Trust

Series 2013-FRR3, Class A, PO, 6/26/2023 (a)		7,500		6,946

Series 2014-FRR9, Class F, 2.24%, 12/26/2046 ‡ (a) (j)		17,089		17,014

Banc of America Commercial Mortgage Trust

Series 2007-5, Class AJ, 6.02%, 2/10/2051 (j)		189		194

Series 2007-4, Class H, 6.07%, 2/10/2051 ‡ (a) (j)		2,722		2,747

Bancorp Commercial Mortgage Trust

Series 2019-CRE5, Class D, 2.45%, 3/15/2036 ‡ (a) (j)		1,000		998

BANK

Series 2021-BN35, Class XB, IO, 0.70%, 8/15/2031 (j)		40,000		2,212


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-BN35, Class XA, IO, 1.16%, 8/15/2031 (j)		28,000		2,298

Series 2021-BN35, Class E, 2.50%, 8/15/2031 (a) (j)		5,300		4,531

Series 2019-BN16, Class D, 3.00%, 2/15/2052 ‡ (a)		8,795		8,279

Series 2019-BN16, Class F, 3.85%, 2/15/2052 ‡ (a) (j)		3,000		2,346

Series 2019-BN17, Class D, 3.00%, 4/15/2052 ‡ (a)		2,800		2,671

Series 2019-BN17, Class E, 3.00%, 4/15/2052 ‡ (a)		2,500		2,227

Series 2019-BN21, Class XA, IO, 0.99%, 10/17/2052 (j)		125,347		7,347

Series 2019-BN21, Class E, 2.50%, 10/17/2052 ‡ (a)		8,600		7,447

Series 2019-BN21, Class F, 2.68%, 10/17/2052 ‡ (a)		4,841		3,609

Series 2019-BN23, Class XA, IO, 0.81%, 12/15/2052 (j)		38,890		1,969

Series 2019-BN23, Class E, 2.50%, 12/15/2052 ‡ (a)		7,560		6,741

Series 2019-BN23, Class F, 2.75%, 12/15/2052 ‡ (a)		3,000		2,229

Series 2020-BN29, Class D, 2.50%, 11/15/2053 ‡ (a)		5,000		4,673

Series 2020-BN29, Class E, 2.50%, 11/15/2053 ‡ (a)		3,500		3,066

Series 2020-BN30, Class F, 2.00%, 12/15/2053 ‡ (a) (j)		5,000		3,483

Series 2020-BN30, Class D, 2.50%, 12/15/2053 ‡ (a) (j)		5,231		4,846

Series 2020-BN30, Class E, 2.50%, 12/15/2053 ‡ (a) (j)		4,145		3,631

Series 2017-BNK9, Class D, 2.80%, 11/15/2054 ‡ (a)		2,149		1,969

Series 2017-BNK5, Class D, 3.08%, 6/15/2060 ‡ (a) (j)		1,000		925

Series 2017-BNK5, Class C, 4.40%, 6/15/2060 ‡ (j)		2,050		2,220

Series 2018-BN14, Class XB, IO, 0.17%, 9/15/2060 (j)		132,263		887

Series 2017-BNK7, Class D, 2.71%, 9/15/2060 ‡ (a)		3,000		2,661

Series 2018-BN10, Class D, 2.60%, 2/15/2061 ‡ (a)		1,500		1,358

Series 2018-BN12, Class D, 3.00%, 5/15/2061 ‡ (a)		1,250		1,095

Series 2019-BN19, Class XA, IO, 1.09%, 8/15/2061 (j)		22,149		1,394


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2018-BN13, Class D, 3.00%, 8/15/2061 ‡ (a)		2,000		1,820

Series 2018-BN15, Class E, 3.00%, 11/15/2061 ‡ (a)		2,000		1,650

Series 2019-BN18, Class E, 3.00%, 5/15/2062 ‡ (a)		2,150		1,955

Series 2019-BN18, Class F, 3.33%, 5/15/2062 ‡ (a)		3,000		2,324

Series 2019-BN20, Class XA, IO, 0.96%, 9/15/2062 (j)		54,996		3,127

Series 2019-BN20, Class D, 2.50%, 9/15/2062 ‡ (a)		4,921		4,566

Series 2019-BN20, Class E, 2.50%, 9/15/2062 ‡ (a)		8,600		7,497

Series 2019-BN24, Class XA, IO, 0.76%, 11/15/2062 (j)		100,206		4,734

Series 2019-BN22, Class D, 2.50%, 11/15/2062 ‡ (a)		4,250		3,964

Series 2019-BN24, Class D, 2.50%, 11/15/2062 ‡ (a)		7,380		6,761

Series 2020-BN25, Class XA, IO, 1.00%, 1/15/2063 (j)		81,319		5,174

Series 2020-BN25, Class D, 2.50%, 1/15/2063 ‡ (a)		14,250		12,970

Series 2020-BN25, Class E, 2.50%, 1/15/2063 ‡ (a)		4,250		3,608

Series 2020-BN26, Class D, 2.50%, 3/15/2063 ‡ (a)		3,250		2,995

Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a)		4,000		3,423

Series 2021-BN34, Class XA, IO, 1.09%, 6/15/2063 (j)		173,901		13,459

Series 2021-BN33, Class XA, IO, 1.18%, 5/15/2064 (j)		135,055		10,871

Series 2021-BN33, Class D, 2.50%, 5/15/2064 ‡ (a)		3,700		3,413

Series 2021-BN33, Class E, 2.50%, 5/15/2064 ‡ (a)		3,850		3,334

Series 2021-BN33, Class C, 3.30%, 5/15/2064 ‡		7,609		7,962

Barclays Commercial Mortgage Trust

Series 2019-C4, Class D, 3.25%, 8/15/2052 ‡ (a)		8,451		8,007

Series 2019-C5, Class XA, IO, 1.02%, 11/15/2052 (j)		95,970		5,247

BBCMS Mortgage Trust

Series 2018-TALL, Class E, 2.53%, 3/15/2037 ‡ (a) (j)		6,000		5,815


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Benchmark Mortgage Trust

Series 2018-B1, Class D, 2.75%, 1/15/2051 ‡ (a)		2,000		1,805

Series 2018-B1, Class C, 4.25%, 1/15/2051 ‡ (j)		1,000		1,093

Series 2018-B2, Class XA, IO, 0.55%, 2/15/2051 (j)		48,451		935

Series 2018-B3, Class A4, 3.76%, 4/10/2051		16,500		18,448

Series 2018-B5, Class C, 4.76%, 7/15/2051 ‡ (j)		3,500		3,968

Series 2018-B8, Class D, 3.00%, 1/15/2052 ‡ (a)		3,050		2,839

Series 2019-B9, Class F, 3.92%, 3/15/2052 ‡ (a) (j)		6,000		4,741

Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (a)		1,900		1,855

Series 2020-B16, Class E, 2.50%, 2/15/2053 ‡ (a)		7,250		6,079

Series 2020-B21, Class E, 2.00%, 12/17/2053 ‡ (a)		2,500		1,898

Series 2020-B21, Class F, 2.00%, 12/17/2053 ‡ (a)		15,017		10,228

Series 2021-B26, Class F, 1.98%, 6/15/2054 (a) (j)		9,851		6,585

Series 2019-B14, Class E, 2.50%, 12/15/2062 ‡ (a)		3,000		2,593

Series 2019-B15, Class E, 2.75%, 12/15/2072 ‡ (a)		9,150		8,187

Series 2019-B15, Class F, 2.75%, 12/15/2072 ‡ (a) (j)		5,000		3,682

BMD2 Re-REMIC Trust

Series 2019-FRR1, Class 2B10, PO, 5/25/2052 (a)		22,815		20,494

Series 2019-FRR1, Class 3AB, PO, 5/25/2052 (a)		10,000		7,785

Series 2019-FRR1, Class 4A, PO, 5/25/2052 (a)		5,000		3,899

Series 2019-FRR1, Class 1A1, 2.58%, 5/25/2052 (a) (j)		5,866		5,827

Series 2019-FRR1, Class 1A5, 4.28%, 5/25/2052 (a) (j)		3,242		3,234

BX

Series 2021-MFM1, Class E, 2.35%, 1/15/2034 ‡ (a) (j)		3,250		3,253

Series 2021-MFM1, Class F, 3.10%, 1/15/2034 ‡ (a) (j)		2,000		2,012


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


BX Commercial Mortgage Trust

Series 2020-VIV4, Class X, IO, 0.70%, 11/10/2042 (a) (j)		211,200		11,272

Series 2020-VIV4, Class A, 2.84%, 3/9/2044 (a)		15,000		15,875

Series 2020-VIV2, Class C, 3.66%, 3/9/2044 ‡ (a) (j)		20,175		21,589

Series 2020-VIV3, Class B, 3.66%, 3/9/2044 ‡ (a) (j)		19,350		21,091

Series 2020-VIVA, Class D, 3.67%, 3/11/2044 ‡ (a) (j)		36,000		37,431

Cantor Commercial Real Estate Lending

Series 2019-CF2, Class E, 2.50%, 11/15/2052 ‡ (a)		2,300		1,982

Series 2019-CF2, Class F, 3.00%, 11/15/2052 ‡ (a) (j)		10,000		7,699

CD Mortgage Trust

Series 2016-CD1, Class C, 3.63%, 8/10/2049 (j)		3,000		3,111

Series 2017-CD3, Class D, 3.25%, 2/10/2050 ‡ (a)		700		572

Series 2017-CD4, Class D, 3.30%, 5/10/2050 ‡ (a)		1,550		1,460

Series 2017-CD5, Class D, 3.35%, 8/15/2050 ‡ (a)		266		251

Series 2017-CD6, Class C, 4.41%, 11/13/2050 ‡ (j)		914		996

Series 2018-CD7, Class D, 3.26%, 8/15/2051 ‡ (a) (j)		1,629		1,552

Series 2019-CD8, Class XB, IO, 0.85%, 8/15/2057 (a) (j)		78,512		4,202

Series 2019-CD8, Class E, 3.00%, 8/15/2057 ‡ (a)		1,500		1,317

Series 2019-CD8, Class F, 3.00%, 8/15/2057 ‡ (a)		3,500		2,396

CFCRE Commercial Mortgage Trust

Series 2016-C6, Class B, 3.80%, 11/10/2049 ‡		1,000		1,081

Series 2016-C6, Class C, 4.34%, 11/10/2049 ‡ (j)		800		851

Series 2016-C6, Class D, 4.34%, 11/10/2049 ‡ (a) (j)		1,900		1,767

CGMS Commercial Mortgage Trust

Series 2017-B1, Class D, 3.00%, 8/15/2050 ‡ (a)		4,359		4,013

Citigroup Commercial Mortgage Trust

Series 2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (a) (j)		4,500		4,628


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2012-GC8, Class D, 5.04%, 9/10/2045 ‡ (a) (j)		1,875		1,669

Series 2013-GC17, Class C, 5.26%, 11/10/2046 ‡ (j)		2,000		2,090

Series 2014-GC23, Class C, 4.58%, 7/10/2047 (j)		6,500		6,929

Series 2014-GC25, Class D, 3.55%, 10/10/2047 ‡ (a)		3,750		3,756

Series 2015-GC29, Class D, 3.11%, 4/10/2048 ‡ (a)		4,500		4,413

Series 2015-GC31, Class D, 4.19%, 6/10/2048 ‡ (j)		3,800		3,818

Series 2015-P1, Class D, 3.23%, 9/15/2048 ‡ (a)		2,285		2,183

Series 2016-P4, Class C, 4.10%, 7/10/2049 ‡ (j)		5,624		5,885

Series 2016-C2, Class D, 3.25%, 8/10/2049 ‡ (a) (j)		1,500		1,410

Series 2016-C2, Class C, 4.03%, 8/10/2049 ‡ (j)		7,434		7,630

Series 2017-P7, Class D, 3.25%, 4/14/2050 ‡ (a)		1,294		1,110

Series 2017-C4, Class D, 3.00%, 10/12/2050 ‡ (a)		5,453		5,089

Series 2019-GC43, Class E, 3.00%, 11/10/2052 ‡ (a)		5,287		4,794

Series 2020-GC46, Class XA, IO, 1.11%, 2/15/2053 (j)		165,579		11,370

Series 2020-GC46, Class E, 2.60%, 2/15/2053 ‡ (a)		4,500		3,697

Series 2019-GC41, Class E, 3.00%, 8/10/2056 ‡ (a)		5,000		4,437

Series 2015-GC33, Class D, 3.17%, 9/10/2058 ‡		8,000		7,284

Series 2015-GC33, Class E, 4.73%, 9/10/2058 ‡ (a) (j)		4,330		3,166

COMM Mortgage Trust

Series 2016-COR1, Class XB, IO, 0.61%, 10/10/2049 (a) (j)		27,554		591

Series 2016-COR1, Class C, 4.51%, 10/10/2049 ‡ (j)		1,000		1,081

Series 2017-COR2, Class A3, 3.51%, 9/10/2050		4,740		5,261

Commercial Mortgage Trust

Series 2020-CBM, Class D, 3.75%, 2/10/2037 ‡ (a) (j)		1,630		1,666

Series 2020-CBM, Class E, 3.75%, 2/10/2037 ‡ (a) (j)		2,670		2,668


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (a) (j)		17,870		17,383

Series 2013-CR8, Class D, 4.06%, 6/10/2046 ‡ (a) (j)		750		760

Series 2013-CR13, Class E, 5.04%, 11/10/2046 ‡ (a) (j)		1,500		1,468

Series 2014-UBS2, Class D, 5.17%, 3/10/2047 ‡ (a) (j)		3,210		3,218

Series 2014-LC15, Class D, 5.16%, 4/10/2047 ‡ (a) (j)		3,500		3,559

Series 2014-CR19, Class E, 4.36%, 8/10/2047 ‡ (a) (j)		6,000		5,609

Series 2014-CR19, Class D, 4.86%, 8/10/2047 ‡ (a) (j)		2,500		2,493

Series 2014-UBS5, Class D, 3.50%, 9/10/2047 ‡ (a)		3,760		3,082

Series 2014-LC17, Class D, 3.69%, 10/10/2047 (a)		25,708		25,775

Series 2014-CR20, Class E, 3.22%, 11/10/2047 ‡ (a)		1,000		721

Series 2014-CR20, Class D, 3.22%, 11/10/2047 ‡ (a)		8,010		6,853

Series 2014-CR21, Class D, 4.07%, 12/10/2047 ‡ (a) (j)		2,600		2,150

Series 2015-LC19, Class D, 2.87%, 2/10/2048 ‡ (a)		3,000		2,948

Series 2015-CR22, Class D, 4.24%, 3/10/2048 ‡ (a) (j)		4,174		4,229

Series 2015-CR23, Class D, 4.43%, 5/10/2048 ‡ (j)		1,490		1,509

Series 2015-LC21, Class E, 3.25%, 7/10/2048 ‡ (a)		3,000		2,137

Series 2015-LC21, Class D, 4.48%, 7/10/2048 ‡ (j)		4,200		4,286

Series 2015-CR24, Class D, 3.46%, 8/10/2048 (j)		553		517

Series 2015-CR25, Class D, 3.93%, 8/10/2048 ‡ (j)		1,000		946

Series 2015-CR27, Class D, 3.60%, 10/10/2048 ‡ (a) (j)		2,072		2,040

Series 2015-LC23, Class D, 3.77%, 10/10/2048 ‡ (a) (j)		2,000		2,033

Series 2015-LC23, Class E, 3.77%, 10/10/2048 ‡ (a) (j)		3,500		3,232

Series 2016-CR28, Class E, 4.29%, 2/10/2049 ‡ (a) (j)		3,588		3,595

Series 2016-DC2, Class C, 4.83%, 2/10/2049 ‡ (j)		2,500		2,675


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2013-CR11, Class D, 5.28%, 8/10/2050 ‡ (a) (j)		3,402		3,376

Series 2018-COR3, Class D, 2.96%, 5/10/2051 ‡ (a) (j)		3,250		2,923

Series 2019-GC44, Class E, 2.50%, 8/15/2057 (a)		8,493		7,421

Credit Suisse Commercial Mortgage Trust

Series 2007-C1, Class AM, 5.42%, 2/15/2040		1		1

Credit Suisse Mortgage Capital Certificates

Series 2019-ICE4, Class B, 1.33%, 5/15/2036 ‡ (a) (j)		4,400		4,418

CSAIL Commercial Mortgage Trust

Series 2015-C4, Class E, 3.71%, 11/15/2048 (j)		3,298		3,271

Series 2016-C5, Class D, 3.80%, 11/15/2048 ‡ (a) (j)		2,750		2,408

Series 2018-CX11, Class C, 4.95%, 4/15/2051 ‡ (j)		6,734		7,275

Series 2019-C16, Class C, 4.24%, 6/15/2052 ‡ (j)		5,500		5,943

Series 2019-C17, Class D, 2.50%, 9/15/2052 ‡ (a)		5,500		5,003

Series 2019-C18, Class XB, IO, 0.25%, 12/15/2052 (j)		61,932		842

Series 2019-C18, Class XA, IO, 1.21%, 12/15/2052 (j)		52,981		3,440

Series 2019-C18, Class E, 2.50%, 12/15/2052 ‡ (a)		10,015		8,865

Series 2019-C18, Class C, 4.08%, 12/15/2052 ‡ (j)		4,327		4,641

Series 2021-C20, Class E, 2.25%, 3/15/2054 ‡ (a)		5,659		4,648

Series 2015-C2, Class B, 4.21%, 6/15/2057 ‡ (j)		11,500		12,088

DBGS Mortgage Trust

Series 2018-C1, Class D, 3.03%, 10/15/2051 ‡ (a) (j)		1,000		938

Series 2018-C1, Class A4, 4.47%, 10/15/2051		2,800		3,293

DBJPM Mortgage Trust

Series 2016-C3, Class D, 3.63%, 8/10/2049 ‡ (a) (j)		2,950		2,509

Series 2016-C3, Class E, 4.38%, 8/10/2049 ‡ (a) (j)		1,250		934

Series 2017-C6, Class D, 3.36%, 6/10/2050 ‡ (a) (j)		1,800		1,696

FHLMC Multiclass Certificates

Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027		80,000		9,015


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (j)		50,000		5,511

Series 2020-RR11, Class BX, IO, 2.44%, 12/27/2028 (j)		15,068		1,948

Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029		38,620		5,133

Series 2020-RR06, Class BX, IO, 1.84%, 5/27/2033 (j)		20,000		3,104

Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (j)		36,687		8,089

Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (j)		50,000		5,365

FHLMC Multi-Family ML Certificates

Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040 (a) (j)		57,328		8,846

FHLMC, Multi-Family Structured Credit Risk

Series 2021-MN1, Class M1, 2.05%, 1/25/2051 (a) (j)		1,490		1,497

Series 2021-MN1, Class M2, 3.80%, 1/25/2051 (a) (j)		14,640		15,443

Series 2021-MN1, Class B1, 7.80%, 1/25/2051 (a) (j)		2,100		2,507

FHLMC, Multi-Family Structured Pass-Through Certificates

Series K016, Class X1, IO, 1.60%, 10/25/2021 (j)		4,365		—	(k)

Series K721, Class X1, IO, 0.42%, 8/25/2022 (j)		58,865		142

Series K033, Class X1, IO, 0.40%, 7/25/2023 (j)		6,437		32

Series K729, Class X1, IO, 0.48%, 10/25/2024 (j)		17,363		159

Series KC03, Class X1, IO, 0.63%, 11/25/2024 (j)		99,867		1,324

Series K731, Class X3, IO, 2.18%, 5/25/2025 (j)		11,529		780

Series K733, Class X3, IO, 2.26%, 1/25/2026 (j)		17,500		1,404

Series KC06, Class X1, IO, 1.03%, 6/25/2026 (j)		39,722		1,107

Series K736, Class X1, IO, 1.44%, 7/25/2026 (j)		91,889		4,885

Series K734, Class X3, IO, 2.24%, 7/25/2026 (j)		33,910		3,053

Series K737, Class X1, IO, 0.75%, 10/25/2026 (j)		147,900		4,208

Series KC04, Class X1, IO, 1.40%, 12/25/2026 (j)		47,979		2,155

Series K738, Class X1, IO, 1.63%, 1/25/2027 (j)		144,513		10,289


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series K064, Class X3, IO, 2.21%, 5/25/2027 (j)		18,830		2,034

Series KC05, Class X1, IO, 1.34%, 6/25/2027 (j)		107,195		5,135

Series K740, Class X1, IO, 0.84%, 9/25/2027 (j)		14,973		619

Series K741, Class X1, IO, 0.66%, 12/25/2027 (j)		52,434		1,723

Series K742, Class X1, IO, 0.87%, 3/25/2028 (j)		28,998		1,189

Series K742, Class X3, IO, 2.69%, 4/25/2028 (j)		13,000		1,982

Series K075, Class X3, IO, 2.20%, 5/25/2028 (j)		5,471		680

Series K080, Class X1, IO, 0.26%, 7/25/2028 (j)		84,397		875

Series K086, Class X1, IO, 0.39%, 11/25/2028 (j)		31,195		561

Series K084, Class X3, IO, 2.31%, 11/25/2028 (j)		19,450		2,726

Series K090, Class X1, IO, 0.85%, 2/25/2029 (j)		32,044		1,599

Series K095, Class X1, IO, 1.08%, 6/25/2029 (j)		51,736		3,417

Series K097, Class X1, IO, 1.22%, 7/25/2029 (j)		74,237		5,760

Series K096, Class X3, IO, 2.11%, 7/25/2029 (j)		48,669		6,718

Series K101, Class X3, IO, 1.95%, 10/25/2029 (j)		101,000		13,546

Series K090, Class X3, IO, 2.39%, 10/25/2029 (j)		152,080		23,617

Series K103, Class X1, IO, 0.76%, 11/25/2029 (j)		120,857		5,818

Series K109, Class X1, IO, 1.70%, 4/25/2030 (j)		17,969		2,125

Series K111, Class X1, IO, 1.68%, 5/25/2030 (j)		19,956		2,395

Series K114, Class X1, IO, 1.21%, 6/25/2030 (j)		9,985		871

Series K115, Class X1, IO, 1.43%, 6/25/2030 (j)		4,606		475

Series K113, Class X1, IO, 1.49%, 6/25/2030 (j)		118,993		12,742

Series K116, Class X1, IO, 1.53%, 7/25/2030 (j)		22,968		2,491

Series K117, Class X1, IO, 1.34%, 8/25/2030 (j)		72,479		6,901


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K121, Class XAM, IO, 1.29%, 11/25/2030 (j)		21,236		2,148

Series K124, Class XAM, IO, 1.03%, 1/25/2031 (j)		17,689		1,435

Series K128, Class X1, IO, 0.63%, 3/25/2031 (j)		111,961		4,989

Series K128, Class XAM, IO, 0.84%, 3/25/2031 (j)		30,467		2,020

Series K128, Class X3, IO, 2.89%, 4/25/2031 (j)		35,600		7,803

Series K129, Class X1, IO, 1.16%, 5/25/2031 (j)		290,974		25,200

Series K129, Class XAM, IO, 1.33%, 5/25/2031 (j)		23,800		2,594

Series K129, Class X3, IO, 3.28%, 5/25/2031 (j)		34,500		8,963

Series K130, Class X1, IO, 1.14%, 6/25/2031 (j)		70,000		6,231

Series K159, Class X1, IO, 0.26%, 11/25/2033 (j)		56,624		810

Series KX04, Class XFX, IO, 1.86%, 1/25/2034 (j)		94,615		9,637

Series K-1511, Class X3, IO, 3.54%, 4/25/2034 (j)		30,261		10,169

Series K723, Class X3, IO, 1.98%, 10/25/2034 (j)		6,850		263

Series K-1515, Class X1, IO, 1.64%, 2/25/2035 (j)		19,966		3,187

Series K153, Class X3, IO, 3.90%, 4/25/2035 (j)		9,945		3,107

Series K-1516, Class X1, IO, 1.63%, 5/25/2035 (j)		41,885		7,014

Series K-1517, Class X1, IO, 1.45%, 7/25/2035 (j)		51,124		7,540

Series Q012, Class X, IO, 4.20%, 9/25/2035 (j)		35,994		8,873

Series K-1518, Class X1, IO, 0.96%, 10/25/2035 (j)		41,333		3,894

Series K155, Class X3, IO, 3.23%, 5/25/2036 (j)		5,560		1,630

Series K-1510, Class X3, IO, 3.52%, 1/25/2037 (j)		27,488		9,000

Series K-1517, Class X3, IO, 3.40%, 8/25/2038 (j)		15,750		5,397

Series K-1518, Class X3, IO, 3.00%, 10/25/2038 (j)		26,265		8,192

Series K-1516, Class X3, IO, 3.57%, 10/25/2038 (j)		22,000		8,006


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series K-1519, Class X3, IO, 2.90%, 12/25/2038 (j)		17,700		5,358

Series K-1520, Class X3, IO, 3.20%, 4/25/2039 (j)		19,000		6,368

Series 2021-MN2, Class M2, 3.40%, 7/25/2041 (a) (j)		14,070		13,962

Series 2021-MN2, Class B1, 5.55%, 7/25/2041 (a) (j)		2,000		2,046

Series K036, Class X3, IO, 2.18%, 12/25/2041 (j)		3,253		144

Series K720, Class X3, IO, 1.38%, 8/25/2042 (j)		16,800		192

Series K721, Class X3, IO, 1.34%, 11/25/2042 (j)		12,550		167

Series K041, Class X3, IO, 1.70%, 11/25/2042 (j)		4,580		216

Series K718, Class X3, IO, 1.48%, 2/25/2043 (j)		6,035		33

Series K054, Class X3, IO, 1.65%, 4/25/2043 (j)		2,745		177

Series K047, Class X3, IO, 1.55%, 6/25/2043 (j)		3,400		171

Series K050, Class X3, IO, 1.61%, 10/25/2043 (j)		5,232		297

Series K051, Class X3, IO, 1.67%, 10/25/2043 (j)		4,995		300

Series K052, Class X3, IO, 1.67%, 1/25/2044 (j)		2,915		183

Series K726, Class X3, IO, 2.21%, 7/25/2044 (j)		36,795		1,972

Series K067, Class X3, IO, 2.19%, 9/25/2044 (j)		8,580		967

Series K727, Class X3, IO, 2.07%, 10/25/2044 (j)		15,000		811

Series K068, Class X3, IO, 2.13%, 10/25/2044 (j)		19,730		2,182

Series K059, Class X3, IO, 1.98%, 11/25/2044 (j)		8,000		711

Series K729, Class X3, IO, 2.04%, 11/25/2044 (j)		21,410		1,203

Series K724, Class X3, IO, 1.95%, 12/25/2044 (j)		4,930		198

Series K070, Class X3, IO, 2.11%, 12/25/2044 (j)		42,245		4,823

Series K730, Class X3, IO, 2.10%, 2/25/2045 (j)		47,270		2,918

Series K065, Class X3, IO, 2.26%, 7/25/2045 (j)		13,305		1,488


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K728, Class X3, IO, 2.01%, 11/25/2045 (j)		8,775		497

Series K071, Class X3, IO, 2.08%, 11/25/2045 (j)		12,470		1,405

Series K072, Class X3, IO, 2.21%, 12/25/2045 (j)		20,640		2,471

Series K089, Class X3, IO, 2.37%, 1/25/2046 (j)		132,506		19,915

Series K087, Class X3, IO, 2.39%, 1/25/2046 (j)		89,384		13,220

Series K091, Class X3, IO, 2.36%, 4/25/2046 (j)		81,933		12,647

Series K078, Class X3, IO, 2.29%, 6/25/2046 (j)		2,680		358

Series K079, Class X3, IO, 2.33%, 7/25/2046 (j)		9,000		1,216

Series K097, Class X3, IO, 2.09%, 9/25/2046 (j)		71,600		10,042

Series K081, Class X3, IO, 2.31%, 9/25/2046 (j)		29,425		4,082

Series K082, Class X3, IO, 2.29%, 10/25/2046 (j)		27,200		3,734

Series K083, Class X3, IO, 2.37%, 11/25/2046 (j)		15,000		2,136

Series K103, Class X3, IO, 1.91%, 12/25/2046 (j)		80,100		10,477

Series K102, Class X3, IO, 1.96%, 12/25/2046 (j)		69,791		9,400

Series K088, Class X3, IO, 2.42%, 2/25/2047 (j)		104,287		16,227

Series K735, Class X3, IO, 2.23%, 5/25/2047 (j)		40,000		3,649

Series K093, Class X3, IO, 2.28%, 5/25/2047 (j)		136,527		20,274

Series K092, Class X3, IO, 2.32%, 5/25/2047 (j)		91,000		13,814

Series K094, Class X3, IO, 2.20%, 7/25/2047 (j)		35,331		5,167

Series K095, Class X3, IO, 2.17%, 8/25/2047 (j)		91,253		13,169

Series K736, Class X3, IO, 2.08%, 9/25/2047 (j)		89,230		7,855

Series K116, Class X3, IO, 3.13%, 9/25/2047 (j)		23,000		5,252

Series K099, Class X3, IO, 2.02%, 10/25/2047 (j)		49,100		6,635

Series K098, Class X3, IO, 2.07%, 10/25/2047 (j)		145,702		19,893


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series K740, Class X3, IO, 2.57%, 11/25/2047 (j)		21,423		2,883

Series K737, Class X3, IO, 1.83%, 1/25/2048 (j)		74,853		6,186

Series K106, Class X3, IO, 1.99%, 3/25/2048 (j)		74,707		10,422

Series K111, Class X3, IO, 3.29%, 4/25/2048 (j)		52,234		12,475

Series K108, Class X3, IO, 3.61%, 4/25/2048 (j)		75,067		18,745

Series K738, Class X3, IO, 3.43%, 5/25/2048 (j)		71,537		11,590

Series K109, Class X3, IO, 3.50%, 5/25/2048 (j)		17,170		4,282

Series K110, Class X3, IO, 3.52%, 6/25/2048 (j)		28,200		7,085

Series K112, Class X3, IO, 3.10%, 7/25/2048 (j)		47,630		10,751

Series K114, Class X3, IO, 2.83%, 8/25/2048 (j)		10,750		2,178

Series K130, Class X3, IO, 3.20%, 8/25/2048 (j)		7,934		1,984

Series K119, Class X3, IO, 2.82%, 9/25/2048 (j)		7,800		1,650

Series K115, Class X3, IO, 3.06%, 9/25/2048 (j)		19,533		4,311

Series K117, Class X3, IO, 2.97%, 10/25/2048 (j)		36,500		7,978

Series K120, Class X3, IO, 2.83%, 11/25/2048 (j)		38,372		8,106

Series K121, Class X3, IO, 2.87%, 11/25/2048 (j)		48,007		10,478

Series K739, Class X3, IO, 2.95%, 11/25/2048 (j)		39,675		5,950

Series K122, Class X3, IO, 2.72%, 1/25/2049 (j)		36,631		7,478

Series K124, Class X3, IO, 2.71%, 2/25/2049 (j)		9,255		1,909

Series K123, Class X3, IO, 2.72%, 2/25/2049 (j)		20,167		4,138

Series K125, Class X3, IO, 2.75%, 2/25/2049 (j)		9,230		1,934

Series K127, Class X3, IO, 2.75%, 3/25/2049 (j)		7,443		1,572

Series K104, Class X1, IO, 1.25%, 2/25/2052 (j)		103,815		8,591

Series K104, Class X3, IO, 1.96%, 2/25/2052 (j)		45,985		6,338


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K105, Class X3, IO, 2.04%, 3/25/2053 (j)		118,746		16,977

Series Q014, Class X, IO, 2.80%, 10/25/2055 (j)		5,701		1,265

FNMA ACES

Series 2015-M1, Class X2, IO, 0.59%, 9/25/2024 (j)		26,172		438

Series 2016-M12, Class X2, IO, 0.06%, 9/25/2026 (j)		78,670		805

Series 2019-M28, Class XAV3, IO, 1.22%, 2/25/2027 (j)		36,316		1,642

Series 2017-M8, Class X, IO, 0.21%, 5/25/2027 (j)		56,672		868

Series 2020-M10, Class X7, IO, 1.81%, 11/25/2027 (j)		40,450		3,733

Series 2020-M26, Class X3, IO, 1.81%, 1/25/2028 (j)		34,327		2,707

Series 2020-M4, Class 1X2, IO, 0.84%, 2/25/2028 (j)		19,189		820

Series 2020-M4, Class 1X3, IO, 1.12%, 2/25/2028 (j)		105,213		6,008

Series 2020-M33, Class X, IO, 2.05%, 6/25/2028 (j)		43,079		4,046

Series 2019-M30, Class X4, IO, 1.08%, 8/25/2028 (j)		49,818		2,055

Series 2020-M10, Class X6, IO, 1.50%, 8/25/2028 (j)		19,000		1,621

Series 2019-M31, Class X, IO, 1.02%, 9/25/2028 (j)		55,321		3,490

Series 2019-M30, Class X1, IO, 0.41%, 11/25/2028 (j)		134,552		3,285

Series 2020-M10, Class X3, IO, 1.44%, 11/25/2028 (j)		66,181		5,178

Series 2020-M10, Class X5, IO, 1.55%, 11/25/2028 (j)		59,900		5,472

Series 2019-M12, Class X, IO, 0.70%, 6/25/2029 (j)		156,612		8,189

Series 2019-M19, Class X2, IO, 0.78%, 9/25/2029 (j)		97,644		4,498

Series 2019-M32, Class X2, IO, 1.19%, 10/25/2029 (j)		29,302		2,103

Series 2019-M30, Class X2, IO, 0.30%, 12/25/2029 (j)		127,645		3,052

Series 2019-M28, Class XA2, IO, 0.57%, 2/25/2030 (j)		27,849		909

Series 2019-M28, Class XA3, IO, 0.96%, 2/25/2030 (j)		49,736		2,810

Series 2020-M6, Class XD, IO, 1.03%, 2/25/2030 (j)		21,864		1,199


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2020-M19, Class X1, IO, 0.52%, 5/25/2030 (j)		29,798		908

Series 2020-M7, Class X, IO, 1.17%, 7/25/2030 (j)		37,511		2,607

Series 2020-M10, Class X1, IO, 1.92%, 12/25/2030 (j)		112,013		14,816

Series 2021-M16, Class X, IO, 0.84%, 1/1/2031 (j)		124,954		5,648

Series 2019-M21, Class X2, IO, 1.46%, 2/25/2031 (j)		83,000		8,312

Series 2020-M22, Class X, IO, 1.05%, 3/25/2031 (j)		85,199		5,519

Series 2020-M39, Class X2, IO, 1.72%, 8/25/2031 (j)		46,242		4,918

Series 2020-M21, Class XA, IO, 1.20%, 3/25/2032 (j)		82,048		7,257

Series 2020-M26, Class X1, IO, 0.89%, 4/25/2032 (j)		28,134		1,551

Series 2020-M47, Class X1, IO, 0.86%, 10/25/2032 (j)		71,212		3,107

Series 2020-M31, Class X1, IO, 0.97%, 10/25/2032 (j)		99,462		4,743

Series 2019-M30, Class X5, IO, 0.39%, 5/25/2033 (j)		185,831		5,939

Series 2019-M31, Class X1, IO, 1.19%, 4/25/2034 (j)		40,489		3,897

Series 2018-M15, Class X, IO, 0.82%, 1/25/2036 (j)		8,944		438

Series 2020-M6, Class XL, IO, 1.23%, 11/25/2049 (j)		33,046		2,203

FNMA, Multi-Family REMIC Trust

Series 2020-M37, Class X, IO, 1.20%, 4/25/2032 (j)		106,605		8,180

FREMF Mortgage Trust

Series 2015-K719, Class C, PO, 6/25/2022 (a)		22,000		21,174

Series 2017-KF29, Class B, 3.64%, 2/25/2024 (a) (j)		110		110

Series 2017-KF32, Class B, 2.64%, 5/25/2024 (a) (j)		219		219

Series 2017-KF35, Class B, 2.84%, 8/25/2024 (a) (j)		128		127

Series 2017-KF38, Class B, 2.59%, 9/25/2024 (a) (j)		304		304

Series 2017-KF41, Class B, 2.59%, 11/25/2024 (a) (j)		134		133

Series 2018-KL2B, Class CB, 3.83%, 1/25/2025 (a) (j)		15,000		15,715


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2018-KF49, Class B, 1.99%, 6/25/2025 (a) (j)		367		361

Series 2018-KC02, Class B, 4.22%, 7/25/2025 (a) (j)		2,520		2,596

Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (j)		15,000		15,046

Series 2018-KBF2, Class B, 2.09%, 10/25/2025 (a) (j)		1,716		1,712

Series 2018-KF53, Class B, 2.14%, 10/25/2025 (j)		915		909

Series 2019-KL4F, Class BAS, 4.40%, 10/25/2025 (a) (j)		7,998		8,277

Series 2018-KSL1, Class C, 3.96%, 11/25/2025 (a) (j)		15,000		14,754

Series 2019-KF58, Class B, 2.24%, 1/25/2026 (a) (j)		552		551

Series 2018-KBX1, Class C, 3.69%, 1/25/2026 (a) (j)		7,500		6,522

Series 2019-KC03, Class B, 4.51%, 1/25/2026 (a) (j)		5,000		5,174

Series 2019-K735, Class C, 4.16%, 5/25/2026 (a) (j)		4,774		5,160

Series 2019-KC06, Class B, 3.95%, 9/25/2026 (a) (j)		7,609		7,455

Series 2016-KF24, Class B, 5.09%, 10/25/2026 (a) (j)		76		78

Series 2020-KF74, Class B, 2.24%, 1/25/2027 (a) (j)		3,799		3,773

Series 2017-KF33, Class B, 2.64%, 6/25/2027 (a) (j)		3,885		3,852

Series 2017-KF40, Class B, 2.79%, 11/25/2027 (a) (j)		124		124

Series 2018-KHG1, Class C, 3.94%, 12/25/2027 (a) (j)		10,000		8,954

Series 2018-KW06, Class B, 4.37%, 6/25/2028 (a) (j)		6,326		6,814

Series 21K-F116, Class CS, 6.45%, 6/25/2028 (a) (j)		52,000		53,284

Series 2018-KF50, Class B, 1.99%, 7/25/2028 (a) (j)		263		259

Series 2018-KF56, Class B, 2.54%, 11/25/2028 (a) (j)		857		857

Series 2019-KF57, Class B, 2.34%, 1/25/2029 (a) (j)		3,302		3,280

Series 2019-KW08, Class B, 4.38%, 1/25/2029 (a) (j)		16,320		17,852

Series 2019-KBF3, Class C, 4.84%, 1/25/2029 (a) (j)		9,940		9,970


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2019-KF59, Class B, 2.44%, 2/25/2029 (a) (j)		840		840

Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)		10,000		10,075

Series 2019-KL05, Class BHG, 4.52%, 2/25/2029 (a) (j)		3,600		3,698

Series 2019-KF61, Class B, 2.29%, 4/25/2029 (a) (j)		4,557		4,568

Series 2019-KG01, Class B, 4.31%, 4/25/2029 (a) (j)		3,000		3,227

Series 2019-KF63, Class B, 2.44%, 5/25/2029 (a) (j)		7,486		7,486

Series 2019-KW09, Class B, 4.15%, 5/25/2029 (a) (j)		15,670		16,504

Series 2019-KF65, Class B, 2.49%, 7/25/2029 (a) (j)		8,052		8,077

Series 2019-KF66, Class B, 2.49%, 7/25/2029 (a) (j)		4,415		4,446

Series 2019-KC05, Class B, 4.29%, 7/25/2029 (a) (j)		16,737		16,683

Series 2019-KF67, Class B, 2.34%, 8/25/2029 (a) (j)		4,070		4,050

Series 2019-KF70, Class B, 2.39%, 9/25/2029 (a) (j)		2,233		2,239

Series 2019-KF71, Class B, 2.39%, 10/25/2029 (a) (j)		4,555		4,476

Series 2019-KF73, Class B, 2.54%, 11/25/2029 (a) (j)		11,811		11,782

Series 2020-KF75, Class B, 2.34%, 12/25/2029 (a) (j)		6,967		6,908

Series 2020-KF76, Class B, 2.84%, 1/25/2030 (a) (j)		3,471		3,461

Series 21K-F102, Class CS, 6.05%, 1/25/2031 (a) (j)		15,458		15,638

Series 2018-K158, Class B, 4.41%, 10/25/2033 (a) (j)		1,750		1,943

Series 19K-1510, Class X2B, IO, 0.10%, 1/25/2034 (a)		81,410		747

Series 2018-K156, Class X2A, IO, 0.10%, 7/25/2036 (a)		149,339		1,267

Series 2016-K53, Class B, 4.16%, 3/25/2049 (a) (j)		69		76

Series 2017-K67, Class B, 4.08%, 9/25/2049 (a) (j)		145		162

Series 2017-K67, Class C, 4.08%, 9/25/2049 (a) (j)		2,010		2,145

Series 2017-K61, Class C, 3.81%, 12/25/2049 (a) (j)		1,000		1,057


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-K70, Class C, 3.93%, 12/25/2049 (a) (j)		3,000		3,227

Series 2018-K80, Class C, 4.37%, 8/25/2050 (a) (j)		2,660		2,937

Series 2017-K728, Class B, 3.76%, 11/25/2050 (a) (j)		250		267

Series 2017-K728, Class C, 3.76%, 11/25/2050 (a) (j)		105		111

Series 2019-K89, Class C, 4.43%, 1/25/2051 (a) (j)		15,000		16,585

Series 2019-K87, Class C, 4.47%, 1/25/2051 (a) (j)		4,250		4,726

Series 2019-K734, Class C, 4.19%, 2/25/2051 (a) (j)		4,150		4,490

Series 2018-K75, Class D, PO, 4/25/2051 (a)		30,000		19,269

Series 2018-K75, Class X2A, IO, 0.10%, 4/25/2051 (a)		490,444		2,290

Series 2018-K75, Class X2B, IO, 0.10%, 4/25/2051 (a)		114,000		577

Series 2019-K91, Class C, 4.40%, 4/25/2051 (a) (j)		14,591		16,190

Series 2019-K97, Class C, 3.89%, 9/25/2051 (a) (j)		3,021		3,239

Series 2019-K103, Class B, 3.57%, 12/25/2051 (a) (j)		2,303		2,507

Series 2019-K102, Class B, 3.65%, 12/25/2051 (a) (j)		7,932		8,643

Series 2019-K102, Class C, 3.65%, 12/25/2051 (a) (j)		9,100		9,606

Series 2020-K104, Class C, 3.66%, 2/25/2052 (a) (j)		13,102		13,793

Series 2019-K90, Class C, 4.46%, 2/25/2052 (a) (j)		3,375		3,757

Series 2019-K88, Class C, 4.53%, 2/25/2052 (a) (j)		6,700		7,536

Series 2019-K93, Class C, 4.26%, 5/25/2052 (a) (j)		10,500		11,511

Series 2019-K92, Class C, 4.34%, 5/25/2052 (a) (j)		7,000		7,712

Series 2019-K94, Class D, PO, 7/25/2052 (a)		99,772		60,938

Series 2019-K94, Class X2A, IO, 0.10%, 7/25/2052 (a)		1,078,492		6,176

Series 2019-K94, Class X2B, IO, 0.10%, 7/25/2052 (a)		249,429		1,491

Series 2019-K94, Class C, 4.10%, 7/25/2052 (a) (j)		9,727		10,566


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2019-K95, Class C, 4.05%, 8/25/2052 (a) (j)		8,250		8,977

Series 2019-K99, Class C, 3.77%, 10/25/2052 (a) (j)		10,105		10,817

Series 2019-K98, Class C, 3.86%, 10/25/2052 (a) (j)		6,000		6,493

Series 2019-K100, Class B, 3.61%, 11/25/2052 (a) (j)		5,188		5,637

Series 2019-K100, Class C, 3.61%, 11/25/2052 (a) (j)		16,140		17,027

Series 2020-K737, Class B, 3.41%, 1/25/2053 (a) (j)		3,750		4,023

Series 2020-K737, Class C, 3.41%, 1/25/2053 (a) (j)		6,000		6,303

Series 2020-K105, Class B, 3.53%, 3/25/2053 (a) (j)		13,250		14,354

Series 2020-K105, Class C, 3.53%, 3/25/2053 (a) (j)		13,485		14,136

FREMF Mortgages Trust

Series 2018-KS10, Class B, 3.54%, 10/25/2028 (a) (j)		3,148		3,106

FRR Re-REMIC Trust

Series 2018-C1, Class C720, 0.00%, 8/27/2047 ‡ (a) (j)		7,000		6,763

Series 2018-C1, Class CK43, 0.00%, 2/27/2048 ‡ (a) (j)		9,400		8,350

Series 2018-C1, Class BK43, 2.85%, 2/27/2048 ‡ (a) (j)		12,434		12,428

Series 2018-C1, Class A725, 2.76%, 2/27/2050 (a)		1,000		1,008

Series 2018-C1, Class B725, 3.01%, 2/27/2050 ‡ (a) (j)		2,225		2,238

GNMA

Series 2012-88, Class DI, IO, 0.56%, 8/16/2046 (j)		30,586		431

Series 2013-72, IO, 0.39%, 11/16/2047 (j)		96,418		1,526

Series 2014-9, IO, 0.33%, 2/16/2048 (j)		13,601		154

Series 2014-172, IO, 0.45%, 1/16/2049 (j)		24,903		545

Series 2012-44, IO, 0.03%, 3/16/2049 (j)		4,032		8

Series 2015-48, IO, 0.61%, 2/16/2050 (j)		2,301		68

Series 2013-15, IO, 0.53%, 8/16/2051 (j)		7,692		161

Series 2013-80, IO, 0.87%, 3/16/2052 (j)		12,600		353

Series 2015-86, IO, 0.52%, 5/16/2052 (j)		15,532		427

Series 2013-35, IO, 0.37%, 1/16/2053 (j)		12,355		148

Series 2012-125, IO, 0.21%, 2/16/2053 (j)		21,107		164

Series 2013-7, IO, 0.30%, 5/16/2053 (j)		69,330		803

Series 2012-89, IO, 0.22%, 12/16/2053 (j)		10,721		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2012-115, IO, 0.42%, 4/16/2054 (j)		32,624		445

Series 2014-124, Class IE, IO, 0.59%, 5/16/2054 (j)		13,778		306

Series 2013-48, IO, 0.50%, 7/16/2054 (j)		6,366		126

Series 2014-130, Class IB, IO, 0.39%, 8/16/2054 (j)		794		14

Series 2014-186, IO, 0.55%, 8/16/2054 (j)		3,341		74

Series 2013-194, IO, 0.33%, 9/16/2054 (j)		9,846		146

Series 2015-93, IO, 0.52%, 11/16/2054 (j)		25,073		526

Series 2013-179, IO, 0.18%, 1/16/2055 (j)		42,549		222

Series 2015-104, IO, 0.36%, 5/16/2055 (j)		12,703		250

Series 2013-178, IO, 0.20%, 6/16/2055 (j)		25,465		342

Series 2016-102, IO, 0.66%, 10/16/2055 (j)		17,125		550

Series 2015-33, IO, 0.66%, 2/16/2056 (j)		22,148		730

Series 2015-59, IO, 0.91%, 6/16/2056 (j)		7,594		284

Series 2016-97, IO, 0.97%, 7/16/2056 (j)		28,006		1,562

Series 2016-143, IO, 0.85%, 10/16/2056		24,861		1,278

Series 2017-76, IO, 0.88%, 12/16/2056 (j)		13,408		732

Series 2014-89, IO, 0.28%, 1/16/2057 (j)		17,315		325

Series 2016-177, IO, 0.52%, 1/16/2057 (j)		34,807		1,236

Series 2014-110, IO, 0.53%, 1/16/2057 (j)		14,221		363

Series 2015-172, IO, 0.69%, 3/16/2057 (j)		10,960		327

Series 2017-72, IO, 0.61%, 4/16/2057 (j)		45,467		2,271

Series 2016-13, IO, 0.79%, 4/16/2057 (j)		13,048		534

Series 2015-188, IO, 0.43%, 7/16/2057 (j)		34,744		726

Series 2015-115, IO, 0.48%, 7/16/2057 (j)		3,383		97

Series 2016-40, IO, 0.64%, 7/16/2057 (j)		29,295		956

Series 2016-36, IO, 0.74%, 8/16/2057 (j)		9,379		383

Series 2017-146, IO, 0.59%, 9/16/2057 (j)		27,118		1,167

Series 2017-151, IO, 0.71%, 9/16/2057 (j)		16,780		856

Series 2017-173, IO, 0.85%, 9/16/2057 (j)		9,692		540

Series 2016-105, IO, 0.81%, 10/16/2057 (j)		36,930		1,493

Series 2016-157, IO, 0.89%, 11/16/2057 (j)		29,249		1,601

Series 2016-56, IO, 0.89%, 11/16/2057 (j)		26,983		1,317

Series 2016-71, Class QI, IO, 0.92%, 11/16/2057 (j)		63,537		3,210

Series 2016-96, IO, 0.80%, 12/16/2057 (j)		34,962		1,660

Series 2016-133, IO, 0.83%, 12/16/2057 (j)		33,731		1,485

Series 2016-94, IO, 0.86%, 12/16/2057 (j)		2,515		109

Series 2016-155, IO, 0.75%, 2/16/2058 (j)		51,175		2,522

Series 2016-35, IO, 0.77%, 3/16/2058 (j)		19,909		890

Series 2016-130, IO, 0.85%, 3/16/2058 (j)		28,420		1,328


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2016-92, IO, 0.78%, 4/16/2058 (j)		648		29

Series 2016-119, IO, 0.90%, 4/16/2058 (j)		93,129		4,181

Series 2016-151, IO, 1.01%, 6/16/2058 (j)		81,065		4,593

Series 2017-41, IO, 0.69%, 7/16/2058 (j)		14,428		632

Series 2016-87, IO, 0.90%, 8/16/2058 (j)		26,802		1,202

Series 2017-16, IO, 0.51%, 9/16/2058 (j)		28,799		1,128

Series 2016-175, IO, 0.73%, 9/16/2058 (j)		26,287		1,226

Series 2017-3, IO, 0.81%, 9/16/2058 (j)		55,357		2,721

Series 2017-54, IO, 0.58%, 12/16/2058 (j)		17,980		885

Series 2017-81, IO, 0.60%, 12/16/2058 (j)		7,597		325

Series 2017-70, IO, 0.60%, 2/16/2059 (j)		7,837		405

Series 2018-45, IO, 0.57%, 3/16/2059 (j)		16,787		833

Series 2017-105, IO, 0.58%, 5/16/2059 (j)		25,367		1,396

Series 2017-23, IO, 0.62%, 5/16/2059 (j)		16,278		750

Series 2017-35, IO, 0.66%, 5/16/2059 (j)		15,438		768

Series 2017-86, IO, 0.78%, 5/16/2059 (j)		6,476		342

Series 2017-51, IO, 0.82%, 5/16/2059 (j)		8,904		474

Series 2017-148, IO, 0.58%, 7/16/2059 (j)		19,577		901

Series 2017-69, IO, 0.85%, 7/16/2059 (j)		9,095		480

Series 2017-126, IO, 0.73%, 8/16/2059 (j)		31,625		1,714

Series 2017-171, IO, 0.66%, 9/16/2059 (j)		3,022		161

Series 2018-57, IO, 0.43%, 10/16/2059 (j)		82,380		3,858

Series 2018-4, IO, 0.58%, 10/16/2059 (j)		6,483		333

Series 2017-157, IO, 0.58%, 12/16/2059 (j)		15,435		859

Series 2018-9, IO, 0.50%, 1/16/2060 (j)		132,617		6,222

Series 2019-135, IO, 0.74%, 2/16/2060 (j)		30,081		1,810

Series 2019-67, IO, 0.89%, 2/16/2060 (j)		16,568		1,128

Series 2018-106, IO, 0.64%, 4/16/2060 (j)		14,076		838

Series 2018-119, IO, 0.69%, 5/16/2060 (j)		16,183		1,024

Series 2018-85, IO, 0.52%, 7/16/2060 (j)		11,197		648

Series 2018-98, IO, 0.48%, 8/16/2060 (j)		62,248		2,855

Series 2019-9, IO, 0.69%, 8/16/2060 (j)		22,026		1,384

Series 2019-114, IO, 1.14%, 2/16/2061 (j)		55,514		4,507

Series 2019-32, IO, 0.59%, 5/16/2061 (j)		60,599		3,790

Series 2019-53, Class IA, IO, 0.78%, 6/16/2061 (j)		5,566		401

Series 2019-155, IO, 0.63%, 7/16/2061 (j)		153,571		9,142

Series 2021-153, Class SA, IO, 3.60%, 8/16/2061 (j) (l)		55,000		12,479

Series 2020-28, IO, 0.86%, 11/16/2061 (j)		19,807		1,496

Series 2020-56, IO, 0.96%, 11/16/2061 (j)		61,847		4,604

Series 2020-124, IO, 1.08%, 12/16/2061 (j)		13,711		1,153

Series 2019-144, IO, 0.85%, 1/16/2062 (j)		22,180		1,786

Series 2019-130, IO, 0.87%, 1/16/2062 (j)		17,016		1,431

Series 2020-40, IO, 1.12%, 1/16/2062 (j)		54,157		4,467

Series 2020-14, IO, 0.71%, 2/16/2062 (j)		135,236		9,026


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-2, IO, 0.77%, 3/16/2062 (j)		68,364		4,235

Series 2020-27, IO, 0.82%, 3/16/2062 (j)		31,242		2,176

Series 2020-143, Class IB, IO, 0.89%, 3/16/2062 (j)		62,179		4,700

Series 2020-110, IO, 1.05%, 3/16/2062 (j)		33,249		2,663

Series 2020-94, IO, 1.09%, 3/16/2062 (j)		91,730		7,589

Series 2020-143, IO, 1.14%, 3/16/2062 (j)		31,656		2,822

Series 2020-73, IO, 1.26%, 3/16/2062 (j)		45,924		4,156

Series 2020-10, IO, 0.73%, 4/16/2062 (j)		45,155		2,933

Series 2020-23, IO, 0.73%, 4/16/2062 (j)		128,572		9,044

Series 2020-38, IO, 0.89%, 4/16/2062 (j)		132,018		9,814

Series 2020-70, IO, 0.92%, 4/16/2062 (j)		57,006		4,244

Series 2020-54, IO, 0.98%, 4/16/2062 (j)		184,497		14,475

Series 2020-89, Class IA, IO, 1.21%, 4/16/2062 (j)		56,708		5,303

Series 2020-69, Class IA, IO, 1.33%, 4/16/2062 (j)		22,005		2,071

Series 2020-120, IO, 0.85%, 5/16/2062 (j)		9,335		716

Series 2020-91, Class IU, IO, 1.09%, 5/16/2062 (j)		191,153		15,921

Series 2020-72, IO, 1.15%, 5/16/2062 (j)		141,600		12,571

Series 2020-50, IO, 0.69%, 6/16/2062 (j)		62,153		4,289

Series 2020-106, Class IC, IO, 0.82%, 6/16/2062 (j)		188,401		13,945

Series 2020-108, IO, 0.91%, 6/16/2062 (j)		41,778		3,242

Series 2020-118, IO, 0.97%, 6/16/2062 (j)		75,213		6,223

Series 2020-147, IO, 0.97%, 6/16/2062 (j)		186,129		15,700

Series 2020-169, IO, 0.93%, 7/16/2062 (j)		419,525		33,642

Series 2020-161, IO, 1.05%, 8/16/2062 (j)		24,467		2,178

Series 2020-136, IO, 1.13%, 8/16/2062 (j)		62,420		5,852

Series 2020-111, IO, 0.97%, 9/15/2062 (j)		20,247		1,580

Series 2020-114, IO, 0.89%, 9/16/2062 (j)		95,587		8,679

Series 2020-158, IO, 0.89%, 9/16/2062 (j)		64,403		5,092

Series 2021-88, IO, 0.91%, 9/16/2062 (j)		350,683		28,409

Series 2021-3, IO, 0.92%, 9/16/2062 (j)		234,461		19,404

Series 2020-192, IO, 0.99%, 9/16/2062 (j)		69,365		5,813

Series 2020-172, IO, 1.19%, 9/16/2062 (j)		48,739		4,662

Series 2021-102, IO, 0.88%, 10/16/2062 (j)		29,916		2,407

Series 2021-71, IO, 0.89%, 10/16/2062 (j)		180,924		14,699

Series 2020-128, IO, 0.98%, 10/16/2062 (j)		63,007		5,326

Series 2021-33, IO, 0.99%, 10/16/2062 (j)		238,510		20,524

Series 2020-159, IO, 1.05%, 10/16/2062 (j)		32,932		2,881

Series 2020-190, IO, 1.06%, 11/16/2062 (j)		69,279		6,430


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-80, IO, 0.91%, 12/16/2062 (j)		26,901		2,267

Series 2020-195, IO, 0.97%, 12/16/2062 (j)		39,498		3,409

Series 2020-150, IO, 0.97%, 12/16/2062 (j)		96,565		9,344

Series 2021-35, IO, 1.01%, 12/16/2062 (j)		106,034		9,586

Series 2021-11, IO, 1.02%, 12/16/2062 (j)		120,688		10,811

Series 2021-40, IO, 0.84%, 2/16/2063 (j)		54,552		4,305

Series 2021-120, IO, 1.01%, 2/16/2063 (j)		49,938		4,493

Series 2020-145, IO, 0.73%, 3/16/2063 (j)		36,811		2,547

Series 2021-101, IO, 0.71%, 4/16/2063 (j)		148,777		10,634

Series 2021-106, IO, 0.92%, 4/16/2063 (j)		209,153		17,313

Series 2021-151, IO, 0.95%, 4/16/2063 (j)		114,700		10,072

Series 2021-22, IO, 0.99%, 5/16/2063 (j)		59,243		5,285

Series 2021-10, IO, 1.00%, 5/16/2063 (j)		79,091		7,042

Series 2021-133, IO, 0.89%, 7/16/2063 (j)		99,877		8,354

Series 2021-112, IO, 0.96%, 10/16/2063 (j)		22,477		1,966

Series 2021-110, IO, 0.89%, 11/16/2063 (j)		2,972		250

Series 2021-150, IO, 1.04%, 11/16/2063		30,000		2,691

GNMA, STRIPS Series 3, Class 23, IO, 1.40%, 9/16/2045		34,265		3,058

GS Mortgage Securities Trust

Series 2012-GCJ9, Class D, 4.90%, 11/10/2045 ‡ (a) (j)		400		404

Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (a)		3,550		3,217

Series 2013-GC12, Class D, 4.59%, 6/10/2046 ‡ (a) (j)		4,880		4,854

Series 2015-GC28, Class D, 4.46%, 2/10/2048 ‡ (a) (j)		2,000		2,028

Series 2015-GC32, Class D, 3.35%, 7/10/2048 ‡		4,521		4,334

Series 2015-GC32, Class E, 4.61%, 7/10/2048 ‡ (a) (j)		4,000		3,222

Series 2015-GC34, Class D, 2.98%, 10/10/2048 ‡		12,874		11,692

Series 2016-GS3, Class C, 4.13%, 10/10/2049 ‡ (j)		3,250		3,430

Series 2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (a) (j)		5,547		5,441

Series 2015-GC30, Class D, 3.38%, 5/10/2050 ‡		4,000		3,983

Series 2019-GC40, Class E, 3.00%, 7/10/2052 ‡ (a)		2,250		1,973

Series 2019-GC42, Class D, 2.80%, 9/1/2052 ‡ (a)		11,880		11,239


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2019-GSA1, Class XB, IO, 0.42%, 11/10/2052 (j)		39,035		977

Series 2020-GC45, Class XA, IO, 0.79%, 2/13/2053 (j)		74,783		3,469

Series 2020-GC45, Class D, 2.85%, 2/13/2053 ‡ (a) (j)		3,000		2,756

Series 2020-GC45, Class E, 2.85%, 2/13/2053 ‡ (a) (j)		7,000		5,969

Series 2020-GC47, Class XA, IO, 1.25%, 5/12/2053 (j)		80,822		6,867

Series 2020-GSA2, Class XA, IO, 1.85%, 12/12/2053 (a) (j)		187,568		23,769

Series 2020-GSA2, Class D, 2.25%, 12/12/2053 ‡ (a)		18,158		16,329

Series 2020-GSA2, Class E, 2.25%, 12/12/2053 ‡ (a)		4,000		3,300

Harvest Commercial Capital Loan Trust Series 2019-1, Class A, 3.29%, 9/25/2046 (a) (j)		7,413		7,460

Jackson Park Trust

Series 2019-LIC, Class E, 3.35%, 10/14/2039 ‡ (a) (j)		3,725		3,534

Series 2019-LIC, Class F, 3.35%, 10/14/2039 ‡ (a) (j)		28,015		25,226

JPMBB Commercial Mortgage Securities Trust

Series 2013-C15, Class E, 3.50%, 11/15/2045 ‡ (a)		3,000		2,857

Series 2015-C31, Class B, 4.77%, 8/15/2048 ‡ (j)		2,000		2,195

Series 2015-C31, Class C, 4.77%, 8/15/2048 ‡ (j)		5,000		5,334

Series 2015-C33, Class D2, 4.27%, 12/15/2048 ‡ (a) (j)		1,000		943

Series 2016-C1, Class D1, 4.40%, 3/15/2049 ‡ (a) (j)		1,500		1,560

JPMCC Commercial Mortgage Securities Trust

Series 2017-JP5, Class XB, IO, 0.68%, 3/15/2050 (j)		31,917		933

Series 2017-JP5, Class D, 4.76%, 3/15/2050 ‡ (a) (j)		1,000		1,025

Series 2017-JP7, Class D, 4.54%, 9/15/2050 ‡ (a) (j)		367		374

JPMCC Re-REMIC Trust Series 2015-FRR2, Class BK39, PO, 8/27/2047 (a)		1,500		1,338

JPMDB Commercial Mortgage Securities Trust

Series 2017-C7, Class C, 4.30%, 10/15/2050 (j)		5,000		5,451


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2019-COR6, Class D, 2.50%, 11/13/2052 ‡ (a)		9,875		9,059

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2013-C16, Class D, 5.19%, 12/15/2046 ‡ (a) (j)		1,250		1,281

Series 2015-JP1, Class E, 4.39%, 1/15/2049 ‡ (a) (j)		3,250		2,786

Series 2015-JP1, Class C, 4.89%, 1/15/2049 ‡ (j)		1,000		1,091

Series 2016-JP3, Class D, 3.60%, 8/15/2049 ‡ (a) (j)		8,122		7,200

KKR Industrial Portfolio Trust Series 2021-KDIP, Class F, 2.15%, 12/15/2037 ‡ (a) (j)		5,250		5,257

LB Commercial Mortgage Trust Series 2007-C3, Class AJ, 6.10%, 7/15/2044 (j)		18		17

LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (j)		148		79

MF1 Multi-Family Housing Mortgage Loan Trust Series 2019-Q009, Class B, 2.84%, 4/25/2024 ‡ (a) (j)		640		640

MHC Commercial Mortgage Trust Series 2021-MHC, Class G, 3.30%, 4/15/2038 ‡ (a) (j)		9,600		9,666

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2012-C5, Class E, 4.82%, 8/15/2045 ‡ (a) (j)		2,530		2,553

Series 2014-C14, Class D, 5.22%, 2/15/2047 ‡ (a) (j)		5,350		5,570

Series 2014-C15, Class D, 5.06%, 4/15/2047 ‡ (a) (j)		1,000		1,037

Series 2014-C16, Class B, 4.49%, 6/15/2047 ‡ (j)		11,000		11,409

Series 2014-C16, Class C, 4.93%, 6/15/2047 ‡ (j)		2,300		2,282

Series 2014-C17, Class C, 4.63%, 8/15/2047 ‡ (j)		4,000		4,224

Series 2014-C17, Class D, 4.88%, 8/15/2047 ‡ (a) (j)		9,393		9,062

Series 2014-C18, Class D, 3.39%, 10/15/2047 ‡ (a)		7,157		6,498

Series 2015-C27, Class E, 3.24%, 12/15/2047 ‡ (a) (j)		2,500		1,973

Series 2015-C27, Class F, 3.24%, 12/15/2047 ‡ (a) (j)		6,334		3,980

Series 2014-C19, Class D, 3.25%, 12/15/2047 ‡ (a)		2,000		1,988

Series 2014-C19, Class E, 3.25%, 12/15/2047 ‡ (a)		6,500		4,834


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-C20, Class D, 3.07%, 2/15/2048 ‡ (a)		3,086		3,010

Series 2015-C21, Class XA, IO, 1.01%, 3/15/2048 (j)		21,724		520

Series 2015-C21, Class B, 3.85%, 3/15/2048 ‡ (j)		4,000		4,147

Series 2015-C24, Class D, 3.26%, 5/15/2048 ‡ (a)		3,000		2,937

Series 2015-C26, Class D, 3.06%, 10/15/2048 ‡ (a)		4,000		3,919

Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (j)		4,350		4,710

Series 2015-C23, Class D, 4.28%, 7/15/2050 ‡ (a) (j)		1,500		1,521

Morgan Stanley Capital I Series 2017-HR2, Class C, 4.36%, 12/15/2050 ‡ (j)		1,200		1,314

Morgan Stanley Capital I Trust

Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (a) (j)		1,000		995

Series 2007-T27, Class C, 6.21%, 6/11/2042 ‡ (a) (j)		6,633		6,671

Series 2015-UBS8, Class B, 4.32%, 12/15/2048 ‡ (j)		8,331		8,600

Series 2016-UB11, Class C, 3.69%, 8/15/2049 ‡ (j)		2,000		2,057

Series 2019-L3, Class D, 2.50%, 11/15/2052 (a)		4,500		4,136

Series 2020-L4, Class D, 2.50%, 2/15/2053 ‡ (a)		10,000		9,262

Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053 (j)		19,648		2,667

Series 2021-L5, Class XB, IO, 0.84%, 5/15/2054 (j)		60,000		3,918

Series 2021-L5, Class XA, IO, 1.42%, 5/15/2054 (j)		163,330		15,669

Series 2021-L5, Class D, 2.50%, 5/15/2054 ‡ (a)		1,818		1,628

Series 2021-L5, Class E, 2.50%, 5/15/2054 ‡ (a)		4,234		3,600

Series 2021-L5, Class C, 3.16%, 5/15/2054 ‡		6,000		6,196

Series 2021-L6, Class A4, 2.44%, 6/15/2054		14,994		15,570

Series 2021-L6, Class D, 2.50%, 6/15/2054 ‡ (a)		13,685		12,226

Series 2021-L6, Class E, 2.50%, 6/15/2054 ‡ (a)		5,500		4,630


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-L6, Class C, 3.58%, 6/15/2054 ‡ (j)		4,500		4,708

MRCD MARK Mortgage Trust

Series 2019-PARK, Class G, 2.72%, 12/15/2036 ‡ (a)		13,337		12,873

Series 2019-PARK, Class J, 4.25%, 12/15/2036 ‡ (a)		20,000		19,421

Multi-Family Connecticut Avenue Securities Trust

Series 2019-01, Class M7, 1.78%, 10/15/2049 ‡ (a)(j)		5,313		5,289

Series 2019-01, Class M10, 3.33%, 10/15/2049 ‡ (a) (j)		31,463		31,704

Series 2020-01, Class M10, 3.83%, 3/25/2050 ‡ (a) (j)		30,000		31,421

NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.31%, 4/10/2043 ‡ (a) (j)		5,000		4,366

PFP Ltd. (Cayman Islands) Series 2019-5, Class D, 2.75%, 4/14/2036 ‡ (a) (j)		3,500		3,491

SBALR Commercial Mortgage Trust

Series 2020-RR1, Class XA, IO, 1.41%, 2/13/2053 (a) (j)		94,294		8,152

Series 2020-RR1, Class A2, 2.53%, 2/13/2053 (a)		4,000		4,144

Series 2020-RR1, Class B, 3.48%, 2/13/2053 ‡ (a)		11,440		12,269

Series 2020-RR1, Class C, 3.98%, 2/13/2053 ‡ (a) (j)		4,750		5,010

Series 2020-RR1, Class D, 4.20%, 2/13/2053 ‡ (a) (j)		9,750		9,825

Series RR Trust Series 2015-1, Class B, PO, 4/26/2048 (a)		14,737		13,382

SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 ‡		2,000		2,109

SLG Office Trust

Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a)		32,123		33,787

Series 2021-OVA, Class G, 2.85%, 7/15/2041 ‡ (a)		10,000		9,221

TPGI Trust Series 2021-DGWD, Class A, 0.80%, 6/15/2026 (a) (j)		16,703		16,719

UBS Commercial Mortgage Trust

Series 2017-C1, Class C, 4.44%, 6/15/2050 ‡		5,330		5,327

Series 2017-C2, Class C, 4.30%, 8/15/2050 ‡ (j)		7,250		7,712


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-C5, Class C, 4.46%, 11/15/2050 ‡ (j)		1,000		1,060

Series 2018-C11, Class XB, IO, 0.38%, 6/15/2051 (j)		100,000		2,149

Series 2018-C11, Class B, 4.71%, 6/15/2051 (j)		5,000		5,636

UBS-Barclays Commercial Mortgage Trust Series 2012-C3, Class D, 5.21%, 8/10/2049 ‡ (a) (j)		3,000		3,064

Velocity Commercial Capital Loan Trust

Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (j)		2,771		2,873

Series 2018-2, Class M2, 4.51%, 10/26/2048 ‡ (a) (j)		212		220

Series 2018-2, Class M3, 4.72%, 10/26/2048 ‡ (a) (j)		391		402

Series 2019-1, Class A, 3.76%, 3/25/2049 (a) (j)		2,984		3,090

Series 2019-1, Class M1, 3.94%, 3/25/2049 ‡ (a) (j)		5,953		6,202

Series 2019-3, Class A, 3.03%, 10/25/2049 (a) (j)		5,546		5,670

Series 2021-1, Class A, 1.40%, 5/25/2051 (a) (j)		14,564		14,525

Series 2021-1, Class M1, 1.79%, 5/25/2051 ‡ (a) (j)		4,278		4,261

Series 2021-1, Class M2, 2.26%, 5/25/2051 ‡ (a) (j)		2,421		2,414

Series 2021-2, Class A, 1.52%, 8/25/2051 (a)(j)		6,158		6,201

Washington State Housing Finance Commission Series 2021-1, Class X, IO, 0.73%, 12/20/2035 (j)		94,671		5,888

Wells Fargo Commercial Mortgage Trust

Series 2014-LC18, Class D, 3.96%, 12/15/2047 ‡ (a) (j)		4,000		3,730

Series 2015-C26, Class D, 3.59%, 2/15/2048 ‡ (a)		3,000		2,990

Series 2015-C27, Class C, 3.89%, 2/15/2048 ‡		3,500		3,521

Series 2015-NXS1, Class E, 2.88%, 5/15/2048 ‡ (a) (j)		9,230		8,176

Series 2015-C29, Class D, 4.36%, 6/15/2048 ‡ (j)		2,000		2,029

Series 2016-C35, Class D, 3.14%, 7/15/2048 ‡ (a)		3,000		2,467

Series 2016-C35, Class C, 4.18%, 7/15/2048 ‡ (j)		3,000		3,113


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2016-NXS6, Class B, 3.81%, 11/15/2049 ‡		450		482

Series 2017-RB1, Class D, 3.40%, 3/15/2050 ‡ (a)		1,500		1,433

Series 2017-C38, Class D, 3.00%, 7/15/2050 ‡ (a)		4,500		4,172

Series 2017-C42, Class D, 2.80%, 12/15/2050 (a) (j)		1,185		1,078

Series 2018-C44, Class XB, IO, 0.29%, 5/15/2051 (j)		70,000		872

Series 2018-C46, Class D, 3.00%, 8/15/2051 (a)		1,890		1,683

Series 2018-C48, Class A5, 4.30%, 1/15/2052		4,700		5,489

Series 2019-C49, Class C, 4.87%, 3/15/2052 ‡ (j)		2,000		2,263

Series 2019-C52, Class XA, IO, 1.76%, 8/15/2052 (j)		16,208		1,604

Series 2020-C55, Class D, 2.50%, 2/15/2053 ‡ (a)		4,500		4,042

Series 2020-C55, Class E, 2.50%, 2/15/2053 ‡ (a)		6,850		5,381

Series 2021-C59, Class D, 2.50%, 4/15/2054 ‡ (a)		2,500		2,270

Series 2021-C59, Class E, 2.50%, 4/15/2054 ‡ (a)		5,000		4,248

Series 2015-NXS3, Class D, 3.15%, 9/15/2057 ‡ (a)		2,000		1,962

Series 2015-NXS2, Class D, 4.44%, 7/15/2058 ‡ (j)		2,226		2,097

Series 2015-LC22, Class D, 4.71%, 9/15/2058 (j)		5,107		5,230

Series 2016-C32, Class D, 3.79%, 1/15/2059 ‡ (a) (j)		4,000		3,962

Wells Fargo Re-REMIC Trust Series 2013-FRR1, Class BK20, PO, 5/27/2045 (a)		8,000		7,763

WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 4.05%, 9/15/2057 ‡ (a) (j)		6,540		6,145


Total Commercial Mortgage-Backed Securities (Cost $3,696,316)				3,747,188

Asset-Backed Securities — 15.8%

ABFC Trust Series 2002-OPT1, Class M1, 1.18%, 5/25/2032 ‡ (j)		158		159

ACC Trust

Series 2019-1, Class B, 4.47%, 10/20/2022 (a)		2,898		2,918


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-A, Class A, 6.00%, 3/20/2023 (a)		2,906		2,964

Series 2019-2, Class B, 3.63%, 8/21/2023 (a)		12,470		12,630

Series 2021-1, Class A, 0.74%, 11/20/2023 (a)		5,064		5,064

Series 2019-1, Class C, 6.41%, 2/20/2024 (a)		5,732		5,873

Series 2021-1, Class B, 1.43%, 7/22/2024 (a)		8,157		8,155

Series 2019-2, Class C, 5.24%, 10/21/2024 (a)		11,285		11,633

Series 2021-1, Class C, 2.08%, 12/20/2024 (a)		4,455		4,462

Series 2021-1, Class D, 5.25%, 3/22/2027 (a)		13,004		12,987

Accelerated Assets LLC

Series 2018-1, Class B, 4.51%, 12/2/2033 ‡ (a)		292		302

Series 2018-1, Class C, 6.65%, 12/2/2033 ‡ (a)		633		668

Affirm Asset Securitization Trust

Series 2021-A, Class B, 1.06%, 8/15/2025 ‡ (a)		900		902

Series 2021-A, Class C, 1.66%, 8/15/2025 ‡ (a)		630		633

Series 2021-A, Class D, 3.49%, 8/15/2025 ‡ (a)		750		761

American Credit Acceptance Receivables Trust

Series 2018-3, Class E, 5.17%, 10/15/2024 (a)		1,810		1,869

Series 2018-3, Class F, 6.44%, 6/12/2025 (a)		5,010		5,196

Series 2019-3, Class E, 3.80%, 9/12/2025 (a)		4,673		4,856

Series 2019-4, Class D, 2.97%, 12/12/2025 (a)		5,600		5,766

Series 2019-4, Class E, 3.85%, 12/12/2025 (a)		13,050		13,598

Series 2020-1, Class E, 3.32%, 3/13/2026 (a)		10,080		10,431

Series 2020-2, Class C, 3.88%, 4/13/2026 (a)		2,000		2,092

Series 2019-3, Class F, 5.42%, 5/12/2026 (a)		710		741

Series 2020-2, Class D, 5.65%, 5/13/2026 (a)		2,400		2,590


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2019-2, Class F, 5.81%, 6/12/2026 (a)		2,000		2,101

Series 2020-3, Class E, 3.88%, 8/13/2026 (a)		3,000		3,122

Series 2019-4, Class F, 5.37%, 9/14/2026 (a)		5,180		5,408

Series 2020-1, Class F, 4.75%, 11/13/2026 (a)		13,460		13,895

Series 2021-1, Class C, 0.83%, 3/15/2027 (a)		9,361		9,380

Series 2021-1, Class D, 1.14%, 3/15/2027 (a)		5,386		5,391

Series 2021-1, Class E, 2.29%, 3/15/2027 (a)		4,500		4,503

Series 2021-2, Class C, 0.97%, 7/13/2027 (a)		6,167		6,190

Series 2021-2, Class D, 1.34%, 7/13/2027 (a)		4,920		4,938

Series 2021-2, Class E, 2.54%, 7/13/2027 (a)		17,000		17,058

Series 2020-4, Class F, 5.22%, 8/13/2027 (a)		5,000		5,192

Series 2021-3, Class C, 0.98%, 11/15/2027 (a)		9,433		9,443

Series 2021-3, Class D, 1.34%, 11/15/2027 (a)		8,832		8,827

Series 2021-3, Class E, 2.56%, 11/15/2027 (a)		12,406		12,385

Series 2021-1, Class F, 4.01%, 11/15/2027 (a)		900		915

Series 2021-2, Class F, 3.73%, 1/13/2028 (a)		5,425		5,441

Series 2021-3, Class F, 3.64%, 5/15/2028 (a)		10,175		10,156

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-11, Class M2, 2.56%, 12/25/2033 ‡ (j)		20		21

AMSR Trust

Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a)		10,005		10,453

Series 2020-SFR2, Class H, 5.25%, 7/17/2037 ‡ (a)		7,500		7,779

Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (a)		2,325		2,311

Series 2020-SFR5, Class F, 2.69%, 11/17/2037 ‡ (a)		3,000		2,968


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-SFR4, Class F, 2.86%, 11/17/2037 ‡ (a)		15,556		15,492

Series 2020-SFR5, Class G, 4.11%, 11/17/2037 (a)		7,300		7,453

Series 2019-SFR1, Class F, 3.87%, 1/19/2039 ‡ (a)		5,310		5,417

Series 2019-SFR1, Class G, 4.86%, 1/19/2039 ‡ (a)		2,125		2,218

Series 2019-SFR1, Class H, 6.04%, 1/19/2039 ‡ (a)		2,125		2,276

Applebee’s Funding LLC Series 2019-1A, Class A2II, 4.72%, 6/7/2049 (a)		8,025		8,506

Aqua Finance Trust

Series 2019-A, Class C, 4.01%, 7/16/2040 ‡ (a)		7,400		7,724

Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (a)		4,250		4,472

Arivo Acceptance Auto Loan Receivables Trust

Series 2019-1, Class B, 3.37%, 6/15/2025 (a)		4,500		4,599

Series 2019-1, Class C, 4.35%, 6/15/2026 (a)		1,500		1,536

Avis Budget Rental Car Funding AESOP LLC

Series 2018-1A, Class C, 4.73%, 9/20/2024 (a)		560		593

Series 2019-2A, Class C, 4.24%, 9/22/2025 (a)		3,000		3,220

Series 2019-3A, Class B, 2.65%, 3/20/2026 (a)		3,000		3,132

Series 2020-1A, Class D, 3.34%, 8/20/2026 (a)		8,000		8,033

BlueMountain CLO Ltd. (Cayman Islands) Series 2012-2A, Class DR2, 3.03%, 11/20/2028 ‡ (a) (j)		600		595

Business Jet Securities LLC

Series 2019-1, Class A, 4.21%, 7/15/2034 (a)		7,285		7,502

Series 2019-1, Class C, 6.95%, 7/15/2034 ‡ (a)		3,633		3,776

Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		6,239		6,364

Series 2020-1A, Class B, 3.97%, 11/15/2035 ‡ (a)		4,862		5,010

Series 2020-1A, Class C, 7.14%, 11/15/2035 ‡ (a)		6,953		7,276

Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)		20,411		20,550


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (a)		3,705		3,748

Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)		3,758		3,792

BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034 ‡ (a)		1,512		1,583

Camillo Issuer LLC Series 2017-SFR1, Class A, 5.50%, 6/5/2027 ‡ (a)		944		979

Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)		2,791		2,896

CARS-DB4 LP

Series 2020-1A, Class A4, 3.19%, 2/15/2050 (a)		3,493		3,588

Series 2020-1A, Class A5, 3.48%, 2/15/2050 (a)		2,994		3,131

Series 2020-1A, Class B1, 4.17%, 2/15/2050 ‡ (a)		3,500		3,625

Series 2020-1A, Class B2, 4.52%, 2/15/2050 ‡ (a)		4,290		4,518

Series 2020-1A, Class B3, 4.95%, 2/15/2050 ‡ (a)		4,510		4,735

CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (a)		6,360		6,315

Carvana Auto Receivables Trust

Series 2019-1A, Class D, 3.88%, 10/15/2024 (a)		2,000		2,060

Series 2019-4A, Class D, 3.07%, 7/15/2025 (a)		4,591		4,757

Series 2019-1A, Class E, 5.64%, 1/15/2026 (a)		500		537

Series 2019-2A, Class E, 5.01%, 4/15/2026 (a)		3,000		3,206

Series 2019-3A, Class E, 4.60%, 7/15/2026 (a)		9,700		10,176

Series 2019-4A, Class E, 4.70%, 10/15/2026 (a)		6,990		7,327

Series 2020-P1, Class N, 2.84%, 9/8/2027 (a)		1,139		1,141

Cascade MH Asset Trust Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (j)		7,286		7,620

Centex Home Equity Loan Trust Series 2004-A, Class AF4, 5.01%, 8/25/2032 ‡ (h)		147		151

CF Hippolyta LLC Series 2020-1, Class B1, 2.28%, 7/15/2060 ‡ (a)		4,222		4,310

CIG Auto Receivables Trust Series 2019-1A, Class D, 4.85%, 5/15/2026 (a)		1,660		1,701


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Conn’s Receivables Funding LLC

Series 2019-B, Class B, 3.62%, 6/17/2024 ‡ (a)		399		399

Series 2019-B, Class C, 4.60%, 6/17/2024 ‡ (a)		4,800		4,818

Series 2020-A, Class C, 4.20%, 6/16/2025 ‡ (a)		4,648		4,664

Consumer Loan Underlying Bond Credit Trust

Series 2018-P2, Class C, 5.21%, 10/15/2025 ‡ (a)		1,163		1,182

Series 2020-P1, Class C, 4.61%, 3/15/2028 ‡ (a)		7,000		7,189

CoreVest American Finance Trust

Series 2019-1, Class E, 5.49%, 3/15/2052 ‡ (a)		575		641

Series 2019-2, Class E, 5.36%, 6/15/2052 ‡ (a) (j)		1,250		1,379

Series 2019-3, Class XB, IO, 1.56%, 10/15/2052 (a) (j)		53,875		4,618

Series 2019-3, Class XA, IO, 2.20%, 10/15/2052 (a) (j)		36,611		2,465

Series 2019-3, Class D, 3.76%, 10/15/2052 ‡ (a)		8,689		9,260

Series 2019-3, Class E, 4.91%, 10/15/2052 ‡ (a) (j)		3,650		3,926

CPS Auto Receivables Trust

Series 2020-A, Class D, 2.90%, 12/15/2025 (a)		4,200		4,315

Series 2021-A, Class D, 1.16%, 12/15/2026 (a)		2,875		2,871

Series 2021-A, Class E, 2.53%, 3/15/2028 (a)		3,100		3,091

Series 2021-B, Class E, 3.41%, 6/15/2028 (a)		6,750		6,835

Credit Acceptance Auto Loan Trust

Series 2020-1A, Class B, 2.39%, 4/16/2029 (a)		4,550		4,668

Series 2021-3A, Class A, 1.00%, 5/15/2030 (a)		4,681		4,701

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-4, Class M1, 0.80%, 7/25/2034 ‡ (j)		1,110		1,102

DataBank Issuer Series 2021-1A, Class C, 4.43%, 2/27/2051 ‡ (a)		3,800		3,874

Diamond Resorts Owner Trust

Series 2018-1, Class D, 5.90%, 1/21/2031 ‡ (a)		550		558


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2019-1A, Class D, 5.25%, 2/20/2032 ‡ (a)		1,982		2,055

Dominion Financial Services 2 LLC Series 2018-1, Class A, 5.35%, 9/15/2022 ‡ (a) (h)		6,825		6,825

Domino’s Pizza Master Issuer LLC Series 2021-1A, Class A2II, 3.15%, 4/25/2051 (a)		3,990		4,253

Drive Auto Receivables Trust

Series 2017-1, Class D, 3.84%, 3/15/2023		18		18

Series 2018-3, Class D, 4.30%, 9/16/2024		1,005		1,024

Series 2020-1, Class D, 2.70%, 5/17/2027		2,000		2,054

Driven Brands Funding LLC

Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a)		1,950		2,104

Series 2019-2A, Class A2, 3.98%, 10/20/2049 (a)		3,901		4,133

Series 2020-1A, Class A2, 3.79%, 7/20/2050 (a)		495		522

DT Auto Owner Trust

Series 2017-3A, Class E, 5.60%, 8/15/2024 (a)		328		331

Series 2019-1A, Class D, 3.87%, 11/15/2024 (a)		1,000		1,028

Series 2017-4A, Class E, 5.15%, 11/15/2024 (a)		1,347		1,354

Series 2018-1A, Class E, 5.42%, 3/17/2025 (a)		1,055		1,068

Series 2019-3A, Class D, 2.96%, 4/15/2025 (a)		2,300		2,371

Series 2020-1A, Class D, 2.55%, 11/17/2025 (a)		5,260		5,417

Series 2018-3A, Class E, 5.33%, 11/17/2025(a)		1,340		1,403

Series 2019-1A, Class E, 4.94%, 2/17/2026 (a)		4,520		4,762

Series 2020-2A, Class C, 3.28%, 3/16/2026 (a)		3,437		3,571

Series 2020-2A, Class D, 4.73%, 3/16/2026 (a)		3,770		4,072

Series 2019-3A, Class E, 3.85%, 8/17/2026 (a)		10,500		10,890

Series 2019-4A, Class E, 3.93%, 10/15/2026 (a)		13,080		13,594

Series 2021-1A, Class D, 1.16%, 11/16/2026 (a)		2,633		2,632

Series 2021-2A, Class D, 1.50%, 2/16/2027 (a)		2,022		2,033


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-1A, Class E, 3.48%, 2/16/2027 (a)		10,750		11,170

Series 2020-2A, Class E, 7.17%, 6/15/2027 (a)		6,880		7,702

Series 2020-3A, Class E, 3.62%, 10/15/2027 (a)		5,300		5,527

Series 2021-1A, Class E, 2.38%, 1/18/2028 (a)		2,000		1,998

Series 2021-2A, Class E, 2.97%, 7/17/2028 (a)		6,500		6,586

Series 2021-3A, Class E, 2.65%, 9/15/2028 (a)		3,405		3,395

E3 (Cayman Islands) Series 2019-1, Class C, 5.00%, 9/20/2055 ‡ (a)		830		837

Elara HGV Timeshare Issuer LLC Series 2019-A, Class C, 3.45%, 1/25/2034 ‡ (a)		1,569		1,588

Exeter Automobile Receivables Trust

Series 2017-3A, Class C, 3.68%, 7/17/2023 (a)		299		303

Series 2017-2A, Class D, 6.39%, 2/15/2024 (a)		867		879

Series 2018-3A, Class D, 4.35%, 6/17/2024 (a)		1,451		1,484

Series 2018-3A, Class E, 5.43%, 8/15/2024 (a)		9,255		9,798

Series 2018-1A, Class E, 4.64%, 10/15/2024 (a)		2,260		2,332

Series 2017-3A, Class D, 5.28%, 10/15/2024 (a)		1,000		1,026

Series 2019-1A, Class D, 4.13%, 12/16/2024 (a)		14,475		14,899

Series 2020-1A, Class C, 2.49%, 1/15/2025 (a)		4,940		5,010

Series 2020-2A, Class C, 3.28%, 5/15/2025 (a)		6,591		6,777

Series 2018-2A, Class E, 5.33%, 5/15/2025 (a)		2,900		3,050

Series 2018-4A, Class E, 5.38%, 7/15/2025 (a)		5,555		5,819

Series 2019-3A, Class D, 3.11%, 8/15/2025 (a)		4,260		4,411

Series 2018-3A, Class F, 6.55%, 8/25/2025 (a)		5,130		5,417

Series 2020-1A, Class D, 2.73%, 12/15/2025 (a)		10,000		10,316

Series 2019-1A, Class E, 5.20%, 1/15/2026 (a)		9,375		9,944


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)		10,000		10,663

Series 2019-2A, Class E, 4.68%, 5/15/2026 (a)		9,160		9,723

Series 2020-3A, Class E, 3.44%, 8/17/2026 (a)		5,000		5,185

Series 2019-3A, Class E, 4.00%, 8/17/2026 (a)		20,572		21,636

Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)		36,335		37,533

Series 2021-1A, Class D, 1.08%, 11/16/2026		13,609		13,622

Series 2020-1A, Class E, 3.74%, 1/15/2027 (a)		35,090		36,225

Series 2021-2A, Class D, 1.40%, 4/15/2027		14,798		14,827

Series 2020-2A, Class E, 7.19%, 9/15/2027 (a)		10,510		11,779

Series 2021-1A, Class E, 2.21%, 2/15/2028 (a)		33,320		33,346

Series 2021-2A, Class E, 2.90%, 7/17/2028 (a)		11,717		11,781

FirstKey Homes Trust

Series 2020-SFR1, Class F2, 4.28%, 8/17/2037 ‡ (a)		9,000		9,318

Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 ‡ (a)		7,333		7,373

Flagship Credit Auto Trust

Series 2017-4, Class D, 3.58%, 1/15/2024 (a)		175		179

Series 2017-2, Class E, 5.55%, 7/15/2024 (a)		530		541

Series 2019-1, Class D, 4.08%, 2/18/2025 (a)		3,833		4,003

Series 2020-1, Class D, 2.48%, 3/16/2026 (a)		4,000		4,119

Series 2019-2, Class E, 4.52%, 12/15/2026 (a)		4,500		4,745

Series 2021-3, Class E, 3.32%, 12/15/2028 (a)		6,401		6,419

Foundation Finance Trust

Series 2019-1A, Class B, 4.22%, 11/15/2034 (a)		855		914

Series 2019-1A, Class C, 5.66%, 11/15/2034 ‡ (a)		3,055		3,366

FREED ABS Trust

Series 2019-1, Class B, 3.87%, 6/18/2026 ‡ (a)		1,737		1,743


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2019-1, Class C, 5.39%, 6/18/2026 ‡ (a)		16,050		16,392

Series 2019-2, Class C, 4.86%, 11/18/2026 ‡ (a)		7,000		7,191

Series 2020-FP1, Class B, 3.06%, 3/18/2027 ‡ (a)		6,150		6,218

Series 2020-FP1, Class C, 4.37%, 3/18/2027 ‡ (a)		11,250		11,492

Series 2020-2CP, Class B, 5.50%, 6/18/2027 ‡ (a)		2,929		2,992

Series 2020-3FP, Class B, 4.18%, 9/20/2027 ‡ (a)		2,513		2,538

Series 2021-1CP, Class B, 1.41%, 3/20/2028 ‡ (a)		3,250		3,263

Series 2021-1CP, Class C, 2.83%, 3/20/2028 ‡ (a)		1,400		1,419

Series 2021-2, Class C, 1.94%, 6/19/2028 ‡ (a)		2,796		2,800

Genesis Sales Finance Master Trust Series 2020-AA, Class C, 2.99%, 9/22/2025 (a)		1,000		1,007

GLS Auto Receivables Issuer Trust

Series 2020-1A, Class C, 2.72%, 11/17/2025 (a)		5,000		5,132

Series 2019-1A, Class D, 4.94%, 12/15/2025 (a)		4,505		4,699

Series 2019-2A, Class D, 4.52%, 2/17/2026 (a)		7,950		8,291

Series 2019-3A, Class D, 3.84%, 5/15/2026 (a)		700		724

Series 2019-4A, Class D, 4.09%, 8/17/2026 (a)		8,950		9,307

Series 2020-4A, Class D, 1.64%, 10/15/2026 (a)		3,000		3,024

Series 2020-1A, Class D, 3.68%, 11/16/2026 (a)		15,750		16,210

Series 2020-3A, Class E, 4.31%, 7/15/2027 (a)		3,830		4,020

Series 2020-4A, Class E, 3.51%, 10/15/2027 (a)		11,700		12,082

GLS Auto Receivables Trust

Series 2018-3A, Class D, 5.34%, 8/15/2025 (a)		680		712

Series 2021-2A, Class C, 1.08%, 6/15/2026 (a)		2,187		2,195

Series 2021-2A, Class E, 2.87%, 5/15/2028 (a)		1,130		1,128

Golden Bear LLC Series 2016-R, Class R, 5.65%, 9/20/2047 (a)		405		405


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

HERO Funding II (Cayman Islands)

Series 2016-3B, Class B, 5.24%, 9/20/2042 (a)		218		218

Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)		247		252

Hertz Vehicle Financing III LP

Series 2021-2A, Class A, 1.68%, 12/27/2027 (a)		5,999		6,060

Series 2021-2A, Class B, 2.12%, 12/27/2027 (a)		2,695		2,737

Series 2021-2A, Class D, 4.34%, 12/27/2027 (a)		7,000		7,095

HIN Timeshare Trust

Series 2020-A, Class B, 2.23%, 10/9/2039 ‡ (a)		2,768		2,821

Series 2020-A, Class D, 5.50%, 10/9/2039 ‡ (a)		2,408		2,509

Lakeview CDO LLC 2.85%, 11/10/2032 ‡ (j)		6,650		6,626

Lending Point Asset Securitization Trust Series 2020-1, Class C, 4.14%, 2/10/2026 ‡ (a)		4,500		4,528

Lendingpoint Asset Securitization Trust

Series 2021-A, Class C, 2.75%, 12/15/2028 ‡ (a)		8,511		8,535

Series 2021-A, Class D, 5.73%, 12/15/2028 ‡ (a)		11,540		11,549

LendingPoint Asset Securitization Trust Series 2021-1, Class C, 4.94%, 4/15/2027 ‡ (a)		10,628		10,669

Lendmark Funding Trust

Series 2018-2A, Class C, 5.26%, 4/20/2027 ‡ (a)		1,700		1,710

Series 2018-2A, Class D, 6.78%, 4/20/2027 (a)		6,900		6,943

Series 2019-1A, Class D, 5.34%, 12/20/2027 (a)		6,000		6,164

Series 2019-2A, Class C, 3.72%, 4/20/2028 ‡ (a)		3,040		3,110

Series 2019-2A, Class D, 5.24%, 4/20/2028 (a)		16,710		17,303

Series 2021-1A, Class A, 1.90%, 11/20/2031 (a)		3,729		3,784

Series 2021-1A, Class B, 2.47%, 11/20/2031 ‡ (a)		1,326		1,348

Series 2021-1A, Class C, 3.41%, 11/20/2031 ‡ (a)		1,312		1,337

Series 2021-1A, Class D, 5.05%, 11/20/2031 ‡ (a)		6,750		6,924


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


LFT CRE Ltd. (Cayman Islands)

Series 2021-FL1, Class D, 2.55%, 6/15/2039 ‡ (a) (j)		22,600		22,607

Series 2021-FL1, Class E, 3.05%, 6/15/2039 ‡ (a) (j)		10,000		10,003

LL ABS Trust

Series 2019-1A, Class C, 5.07%, 3/15/2027 (a)		11,117		11,440

Series 2020-1A, Class A, 2.33%, 1/17/2028 (a)		2,796		2,812

Series 2020-1A, Class C, 6.54%, 1/17/2028 ‡ (a)		5,410		5,831

Series 2021-1A, Class A, 1.07%, 5/15/2029 (a)		10,384		10,384

Series 2021-1A, Class B, 2.17%, 5/15/2029 (a)		2,269		2,269

Series 2021-1A, Class C, 3.54%, 5/15/2029 (a)		5,120		5,120

LP LMS Asset Securitization Trust Series 2019-1A, Class A, 4.21%, 11/10/2025 (a)		979		983

Magnetite Ltd. (Cayman Islands) Series 2020-27A, Class ER, 10/20/2034 (a) (j) (l)		7,000		7,000

Mariner Finance Issuance Trust Series 2019-AA, Class D, 5.44%, 7/20/2032 ‡ (a)		5,120		5,284

Marlette Funding Trust Series 2017-3A, Class D, 5.03%, 12/15/2024 ‡ (a)		2,005		2,015

ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (a)		27,628		29,267

New Residential Mortgage LLC

Series 2020-FNT1, Class A, 5.44%, 6/25/2025 (a)		18,514		18,918

Series 2018-FNT2, Class D, 4.92%, 7/25/2054 ‡ (a)		304		304

Series 2018-FNT2, Class E, 5.12%, 7/25/2054 ‡ (a)		456		456

Series 2018-FNT2, Class F, 5.95%, 7/25/2054 ‡ (a)		1,519		1,519

NRZ Excess Spread-Collateralized Notes

Series 2018-FNT1, Class D, 4.69%, 5/25/2023 ‡ (a)		500		500

Series 2018-FNT1, Class E, 4.89%, 5/25/2023 ‡ (a)		716		715

Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)		9,764		9,867

Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a)		7,238		7,224

Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)		16,171		16,161


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a)		39,333		39,151

NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)		6,569		6,627

Ocean Beach SPC (Cayman Islands) Series 2020-1I, Class A, 4.00%, 9/26/2022		6,097		6,097

Octane Receivables Trust

Series 2019-1A, Class A, 3.16%, 9/20/2023 (a)		2,417		2,434

Series 2019-1A, Class B, 3.77%, 7/22/2024 ‡ (a)		12,591		12,902

OnDeck Asset Securitization Trust III LLC

Series 2021-1A, Class A, 1.59%, 5/17/2027 (a)		2,685		2,700

Series 2021-1A, Class C, 2.97%, 5/17/2027 ‡ (a)		2,500		2,522

Series 2021-1A, Class D, 4.94%, 5/17/2027 ‡ (a)		2,027		2,051

OneMain Direct Auto Receivables Trust

Series 2018-1A, Class D, 4.40%, 1/14/2028 (a)		580		584

Series 2019-1A, Class D, 4.68%, 4/14/2031 (a)		4,500		4,991

OneMain Financial Issuance Trust

Series 2019-1A, Class B, 3.79%, 2/14/2031 ‡ (a)		745		747

Series 2018-2A, Class D, 4.29%, 3/14/2033 ‡ (a)		1,500		1,546

Series 2020-2A, Class A, 1.75%, 9/14/2035 (a)		6,822		6,993

Series 2020-2A, Class B, 2.21%, 9/14/2035 ‡ (a)		4,000		4,110

Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a)		45,500		45,876

Oportun Issuance Trust

Series 2021-B, Class C, 3.65%, 5/8/2031 ‡ (a)		1,077		1,085

Series 2021-B, Class D, 5.41%, 5/8/2031 ‡ (a)		1,760		1,773

Orange Lake Timeshare Trust

Series 2018-A, Class C, 3.74%, 11/8/2030 ‡ (a)		1,813		1,853

Series 2019-A, Class D, 4.93%, 4/9/2038 ‡ (a)		2,396		2,475

Oxford Finance Funding LLC Series 2020-1A, Class A2, 3.10%, 2/15/2028 (a)		4,000		4,109

Pagaya AI Debt Selection Trust

Series 2020-3, Class C, 6.43%, 5/17/2027 ‡ (a)		3,396		3,567


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-1, Class A, 1.18%, 11/15/2027 (a)		13,349		13,383

Series 2021-1, Class B, 2.13%, 11/15/2027 ‡ (a)		6,000		6,049

Planet Fitness Master Issuer LLC

Series 2018-1A, Class A2I, 4.26%, 9/5/2048 (a)		17,213		17,260

Series 2018-1A, Class A2II, 4.67%, 9/5/2048 (a)		1,396		1,443

PNMAC FMSR Issuer Trust Series 2018-FT1, Class A, 2.43%, 4/25/2023 (a) (j)		4,626		4,610

PNMAC GMSR Issuer Trust

Series 2018-GT1, Class A, 2.93%, 2/25/2023 (a) (j)		4,655		4,676

Series 2018-GT2, Class A, 2.73%, 8/25/2025 (a) (j)		4,320		4,314

Popular ABS Mortgage Pass-Through Trust Series 2005-3, Class M1, 5.60%, 7/25/2035 ‡ (h)		200		203

Prestige Auto Receivables Trust Series 2017-1A, Class E, 4.89%, 5/15/2024 (a)		1,160		1,171

PRET LLC Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (a) (h)		3,333		3,336

Pretium Mortgage Credit Partners I LLC

Series 2020-NPL3, Class A2, 6.41%, 6/27/2060 ‡ (a) (h)		14,500		14,602

Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (a) (h)		14,000		14,203

Progress Residential Series 2021-SFR1, Class G, 3.86%, 4/17/2038 ‡ (a)		7,000		7,016

Progress Residential Trust

Series 2020-SFR3, Class F, 2.80%, 10/17/2027 ‡ (a)		5,000		5,040

Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a)		3,000		3,073

Series 2019-SFR1, Class E, 4.47%, 8/17/2035 ‡ (a)		2,000		2,024

Series 2018-SFR3, Class D, 4.43%, 10/17/2035 ‡ (a)		1,047		1,047

Series 2018-SFR3, Class E, 4.87%, 10/17/2035 ‡ (a)		524		524

Series 2019-SFR2, Class E, 4.14%, 5/17/2036 ‡ (a)		4,000		4,080

Series 2019-SFR3, Class E, 3.37%, 9/17/2036 ‡ (a)		6,100		6,260

Prosper Marketplace Issuance Trust Series 2019-2A, Class C, 5.05%, 9/15/2025 ‡ (a)		7,239		7,329

PRPM LLC Series 2020-4, Class A2, 3.44%, 10/25/2025 ‡ (a) (h)		7,000		7,056


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

RAMP Trust Series 2002-RS2, Class AI5, 6.03%, 3/25/2032 ‡ (j)		79		81

ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 2.75%, 12/27/2044 (a) (j)		11,859		11,349

Regional Management Issuance Trust

Series 2019-1, Class C, 4.11%, 11/15/2028 ‡ (a)		5,110		5,195

Series 2020-1, Class A, 2.34%, 10/15/2030 (a)		6,000		6,117

Series 2020-1, Class D, 6.77%, 10/15/2030 ‡ (a)		2,410		2,496

Series 2021-1, Class A, 1.68%, 3/17/2031 (a)		5,728		5,752

Series 2021-1, Class B, 2.42%, 3/17/2031 ‡ (a)		895		899

Series 2021-1, Class C, 3.04%, 3/17/2031 ‡ (a)		2,500		2,511

Series 2021-1, Class D, 5.07%, 3/17/2031 ‡ (a)		2,600		2,674

Renaissance Home Equity Loan Trust

Series 2003-4, Class M2F, 6.24%, 3/25/2034 ‡ (h)		125		127

Series 2005-2, Class M1, 5.05%, 8/25/2035 ‡ (h)		525		561

Renew (Cayman Islands) Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)		183		187

Republic Finance Issuance Trust

Series 2019-A, Class A, 3.43%, 11/22/2027 (a)		4,185		4,224

Series 2020-A, Class A, 2.47%, 11/20/2030 (a)		2,857		2,911

Santander Drive Auto Receivables Trust

Series 2017-3, Class E, 4.97%, 1/15/2025		5,770		5,842

Series 2018-2, Class E, 5.02%, 9/15/2025		5,584		5,743

Series 2020-2, Class D, 2.22%, 9/15/2026		2,350		2,401

Series 2021-2, Class D, 1.35%, 7/15/2027		5,360		5,401

Santander Prime Auto Issuance Notes Trust

Series 2018-A, Class E, 5.04%, 9/15/2025 (a)		628		644

Series 2018-A, Class F, 6.80%, 9/15/2025 (a)		1,278		1,292

Santander Revolving Auto Loan Trust

Series 2019-A, Class A, 2.51%, 1/26/2032 (a)		11,500		12,121

Series 2019-A, Class C, 3.00%, 1/26/2032 (a)		880		927

Series 2019-A, Class D, 3.45%, 1/26/2032 (a)		8,085		8,483


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


SCF Equipment Leasing LLC

Series 2021-1A, Class E, 3.56%, 8/20/2032 ‡ (a)		3,300		3,291

Series 2021-1A, Class F, 5.52%, 8/20/2032 ‡ (a)		20,757		20,942

Sierra Timeshare Receivables Funding LLC

Series 2019-1A, Class D, 4.75%, 1/20/2036 ‡ (a)		469		483

Series 2019-2A, Class D, 4.54%, 5/20/2036 ‡ (a)		1,292		1,323

Series 2019-3A, Class D, 4.18%, 8/20/2036 ‡ (a)		2,983		3,016

Series 2020-2A, Class D, 6.59%, 7/20/2037 ‡ (a)		2,752		2,907

Small Business Lending Trust

Series 2020-A, Class C, 5.01%, 12/15/2026 ‡ (a)		3,250		3,195

SoFi Consumer Loan Program LLC Series 2017-6, Class C, 4.02%, 11/25/2026 ‡ (a)		100		101

Sofi Consumer Loan Program Trust Series 2018-2, Class C, 4.25%, 4/26/2027 ‡ (a)		5,000		5,121

SoFi Consumer Loan Program Trust Series 2018-1, Class C, 3.97%, 2/25/2027 ‡ (a)		450		459

Sonic Capital LLC

Series 2018-1A, Class A2, 4.03%, 2/20/2048 (a)		102		105

Series 2021-1A, Class A2II, 2.64%, 8/20/2051 (a) (l)		5,417		5,446

Springleaf Funding Trust Series 2015-BA, Class B, 3.80%, 5/15/2028 ‡ (a)		900		902

Stanwich Mortgage Loan Trust Series 2019-NPB2, Class A1, 3.48%, 11/16/2024 ‡ (a) (h)		868		869

Structured Asset Investment Loan Trust Series 2004-8, Class M3, 1.06%, 9/25/2034 ‡ (j)		150		150

Tesla Auto Lease Trust

Series 2019-A, Class D, 3.37%, 1/20/2023 (a)		2,700		2,779

Series 2019-A, Class E, 5.48%, 5/22/2023 (a)		18,790		19,618

Series 2020-A, Class E, 4.64%, 8/20/2024 (a)		4,493		4,708

Series 2021-A, Class E, 2.64%, 3/20/2025 (a)		11,000		11,144


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (a)		8,410		8,413

Towd Point Mortgage Trust Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (a) (h)		4,671		4,720

Tricolor Auto Securitization Trust

Series 2021-1A, Class E, 3.23%, 9/15/2026 (a)		500		500

Series 2020-1A, Class B, 8.25%, 11/15/2026 (a)		6,349		6,498

Series 2021-1A, Class F, 5.08%, 5/15/2028 (a)		500		500

Upstart Pass-Through Trust

Series 2021-ST4, Class CERT, 7/20/2027 ‡ (a)		1,875		1,961

Series 2021-ST6, Class CERT, 8/20/2027 ‡ (a)		2,900		3,290

Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a)		5,737		5,738

Series 2021-PT1, Class A, HB, 20.82%, 9/20/2027 (a)		8,620		8,620

Series 2021-ST7, Class CERT, 9/20/2029 (a)		3,500		4,060

Series 2021-ST7, Class A, 1.85%, 9/20/2029 (a)		6,554		6,572

Upstart Securitization Trust

Series 2020-1, Class C, 4.90%, 4/22/2030 ‡ (a)		6,100		6,328

Series 2021-1, Class C, 4.06%, 3/20/2031 ‡ (a)		2,500		2,579

Series 2021-2, Class C, 3.61%, 6/20/2031 ‡ (a)		6,391		6,487

Series 2021-3, Class C, 3.28%, 7/20/2031 (a)		6,518		6,540

US Auto Funding

Series 2021-1A, Class A, 0.79%, 7/15/2024 (a)		7,605		7,608

Series 2021-1A, Class B, 1.49%, 3/17/2025 (a)		3,407		3,406

Series 2021-1A, Class C, 2.20%, 5/15/2026 (a)		6,250		6,251

Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)		6,642		6,642

US Auto Funding LLC Series 2019-1A, Class C, 5.34%, 3/15/2023 (a)		7,000		7,087

Veros Automobile Receivables Trust Series 2018-1, Class D, 5.74%, 8/15/2025 (a)		2,500		2,503

VM DEBT TRUST Series 2019-1, 9.50%, 5/31/2024		10,240		10,093


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (h)		14,555		14,576

VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (h)		6,119		6,132

Voya CLO Ltd. (Cayman Islands) Series 2016-3A, Class CR, 3.38%, 10/18/2031 ‡ (a) (j)		535		519

Welk Resorts LLC

Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (a)		3,011		3,087

Series 2019-AA, Class D, 4.03%, 6/15/2038 ‡ (a)		1,187		1,223

Westgate Resorts LLC Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (a)		8,346		8,785

Westlake Automobile Receivables Trust

Series 2018-3A, Class E, 4.90%, 12/15/2023 (a)		670		690

Series 2019-2A, Class D, 3.20%, 11/15/2024 (a)		1,013		1,041

Series 2018-2A, Class F, 6.04%, 1/15/2025 (a)		1,320		1,340

Series 2018-3A, Class F, 6.02%, 2/18/2025 (a)		3,690		3,800

Series 2019-3A, Class E, 3.59%, 3/17/2025 (a)		600		622

Series 2019-2A, Class E, 4.02%, 4/15/2025 (a)		4,815		4,984

Series 2020-2A, Class C, 2.01%, 7/15/2025 (a)		1,000		1,018

Series 2020-2A, Class D, 2.76%, 1/15/2026 (a)		2,000		2,067

Series 2019-1A, Class F, 5.67%, 2/17/2026 (a)		3,009		3,118

Series 2019-2A, Class F, 5.00%, 3/16/2026 (a)		1,880		1,922

Series 2019-3A, Class F, 4.72%, 4/15/2026 (a)		3,400		3,487

Series 2021-2A, Class D, 1.23%, 12/15/2026 (a)		1,380		1,381

Series 2021-2A, Class E, 2.38%, 3/15/2027 (a)		1,700		1,699

Series 2021-2A, Class F, 3.66%, 12/15/2027 (a)		2,975		2,969

ZAXBY’S FUNDING LLC Series 2021-1A, Class A2, 3.24%, 7/30/2051 (a)		13,795		14,202


Total Asset-Backed Securities (Cost $2,019,589)				2,050,734


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — 10.7%

ACC 0.00%, 9/15/2022 ‡		8,452		8,452

Acre Series 2017-B, 8.39%, 12/22/2021 ‡		273		270

Adjustable Rate Mortgage Trust Series 2006-2, Class 1A4, 3.15%, 5/25/2036 (j)		1,301		1,266

Alternative Loan Trust

Series 2004-18CB, Class 5A1, 6.25%, 9/25/2034		25		26

Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034		17		18

Series 2005-23CB, Class A7, 5.25%, 7/25/2035		23		22

Series 2005-23CB, Class A16, 5.50%, 7/25/2035		63		61

Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035		433		437

Series 2005-J14, Class A3, 5.50%, 12/25/2035		287		241

Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037		560		417

Angel Oak Mortgage Trust

Series 2019-5, Class M1, 3.30%, 10/25/2049 ‡ (a) (j)		8,000		8,017

Series 2019-5, Class B1, 3.96%, 10/25/2049 ‡ (a) (j)		2,470		2,472

Series 2019-6, Class B3, 6.01%, 11/25/2059 ‡ (a) (j)		1,250		1,202

Series 2020-1, Class M1, 3.16%, 12/25/2059 ‡ (a) (j)		4,400		4,416

Series 2020-1, Class B1, 3.76%, 12/25/2059 ‡ (a) (j)		1,550		1,553

Angel Oak Mortgage Trust I LLC Series 2018-3, Class B1, 5.04%, 9/25/2048 ‡ (a) (j)		1,000		1,018

Arroyo Mortgage Trust

Series 2019-3, Class M1, 4.20%, 10/25/2048 ‡ (a) (j)		1,000		1,046

Series 2019-2, Class A3, 3.80%, 4/25/2049 (a) (j)		952		964

Banc of America Funding Trust Series 2007-5, Class 4A1, 0.45%, 7/25/2037 (j)		1,004		718

Bear Stearns ALT-A Trust Series 2004-7, Class 2A1, 2.50%, 8/25/2034 (j)		111		115

Bear Stearns Asset-Backed Securities Trust Series 2003-AC4, Class M1, 5.66%, 9/25/2033 ‡ (h)		101		97

Bellemeade Re Ltd. (Bermuda)

Series 2019-1A, Class M2, 2.78%, 3/25/2029 ‡ (a) (j)		1,000		1,005

Series 2019-3A, Class B1, 2.58%, 7/25/2029 ‡ (a) (j)		1,000		1,000


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


CHL GMSR Issuer Trust

Series 2018-GT1, Class A, 2.83%, 5/25/2023 (a) (j)		840		841

Series 2018-GT1, Class B, 3.58%, 5/25/2023 ‡ (a) (j)		3,200		3,200

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8, Class 1A5, 5.50%, 11/25/2035		45		44

Citigroup Mortgage Loan Trust, Inc.

Series 2004-NCM2, Class 3CB2, 6.50%, 8/25/2019 ‡		6		6

Series 2003-1, Class 3A5, 5.25%, 9/25/2033		87		88

COLT Mortgage Loan Trust Series 2020-1, Class A1, 2.49%, 2/25/2050 (a) (j)		799		800

Connecticut Avenue Securities Trust

Series 2018-R07, Class 1B1, 4.43%, 4/25/2031 ‡ (a) (j)		8,186		8,480

Series 2019-R01, Class 2M2, 2.53%, 7/25/2031 ‡ (a) (j)		8,321		8,363

Series 2019-R01, Class 2B1, 4.43%, 7/25/2031 ‡ (a) (j)		1,000		1,028

Series 2019-R02, Class 1B1, 4.23%, 8/25/2031 ‡ (a) (j)		10,130		10,425

Series 2019-R04, Class 2B1, 5.33%, 6/25/2039 (a) (j)		5,000		5,177

Series 2019-R05, Class 1M2, 2.08%, 7/25/2039 (a) (j)		387		388

Series 2019-R05, Class 1B1, 4.18%, 7/25/2039 ‡ (a) (j)		1,500		1,526

Series 2019-R06, Class 2B1, 3.83%, 9/25/2039 (a) (j)		26,974		27,338

Series 2019-R07, Class 1M2, 2.18%, 10/25/2039 ‡ (a) (j)		5,753		5,777

Series 2019-R07, Class 1B1, 3.48%, 10/25/2039 ‡ (a) (j)		3,000		3,033

Series 2020-R01, Class 1M2, 2.13%, 1/25/2040 (a) (j)		2,568		2,581

Series 2020-R01, Class 1B1, 3.33%, 1/25/2040 ‡ (a) (j)		2,000		1,998

CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4, Class 2A5, 0.63%, 6/25/2035 (j)		241		182

Deephaven Residential Mortgage Trust

Series 2019-4A, Class B1, 3.99%, 10/25/2059 ‡ (a) (j)		6,690		6,752

Series 2019-4A, Class B2, 4.92%, 10/25/2059 ‡ (a) (j)		5,650		5,717


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2020-1, Class A1, 2.34%, 1/25/2060 (a) (j)		2,142		2,153

Series 2020-1, Class A3, 2.65%, 1/25/2060 (a) (j)		2,711		2,722

Series 2020-1, Class M1, 3.01%, 1/25/2060 ‡ (a) (j)		9,500		9,487

Series 2020-1, Class B1, 3.66%, 1/25/2060 ‡ (a) (j)		4,000		4,014

Deutsche Mortgage Securities, Inc., Mortgage Loan Trust Series 2004-1, Class 3A5, 6.16%, 12/25/2033 (h)		126		130

Eagle RE Ltd. (Bermuda) Series 2019-1, Class M2, 3.38%, 4/25/2029 ‡ (a) (j)		6,240		6,302

FHLMC STACR REMIC Trust Series 2021-DNA1, Class B2, 4.80%, 1/25/2051 ‡ (a) (j)		6,400		6,464

FHLMC STACR Trust Series 2019-HQA2, Class M2, 2.13%, 4/25/2049 (a) (j)		1,453		1,460

FHLMC Structured Agency Credit Risk Debt Notes

Series 2015-HQA2, Class M3, 4.88%, 5/25/2028 (j)		2,587		2,662

Series 2016-DNA1, Class M3, 5.63%, 7/25/2028 (j)		5,778		6,039

Series 2016-HQA1, Class M3, 6.43%, 9/25/2028 (j)		1,885		1,975

Series 2016-DNA2, Class M3, 4.73%, 10/25/2028 (j)		3,426		3,559

Series 2016-HQA2, Class M3, 5.23%, 11/25/2028 (j)		16,131		16,713

Series 2016-DNA4, Class M3, 3.88%, 3/25/2029 (j)		2,326		2,399

Series 2016-HQA4, Class M3, 3.98%, 4/25/2029 (j)		15,776		16,251

Series 2017-HQA1, Class M2, 3.63%, 8/25/2029 (j)		5,144		5,296

Series 2017-DNA2, Class B1, 5.23%, 10/25/2029 (j)		7,000		7,648

Series 2017-HQA2, Class B1, 4.83%, 12/25/2029 (j)		2,500		2,678

Series 2017-DNA3, Class B1, 4.53%, 3/25/2030 (j)		3,500		3,697

Series 2017-HQA3, Class B1, 4.53%, 4/25/2030 (j)		1,000		1,050

Series 2018-HQA1, Class M2, 2.38%, 9/25/2030 (j)		6,855		6,942

Series 2018-HQA1, Class B1, 4.43%, 9/25/2030 (j)		13,010		13,583

Series 2021-DNA2, Class M2, 2.35%, 8/25/2033 (a) (j)		3,400		3,478

Series 2021-DNA2, Class B2, 6.05%, 8/25/2033 (a) (j)		9,500		10,475


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


FHLMC, REMIC

Series 4102, Class BI, IO, 3.50%, 8/15/2027		1,833		177

Series 4149, IO, 3.00%, 1/15/2033		419		44

Series 4160, IO, 3.00%, 1/15/2033		1,185		129

Series 4212, Class MI, IO, 3.00%, 6/15/2033		1,592		173

Series 2916, Class S, IF, IO, 7.15%, 1/15/2035 (j)		2,250		457

Series 3145, Class GI, IF, IO, 6.50%, 4/15/2036 (j)		2,096		403

Series 4116, Class LS, IF, IO, 6.10%, 10/15/2042 (j)		312		72

Series 4495, Class PI, IO, 4.00%, 9/15/2043		388		29

Series 4321, Class PI, IO, 4.50%, 1/15/2044		390		59

Series 4670, Class TI, IO, 4.50%, 1/15/2044		649		63

Series 4550, Class DI, IO, 4.00%, 3/15/2044		307		23

Series 4612, Class QI, IO, 3.50%, 5/15/2044		486		47

Series 4612, Class PI, IO, 3.50%, 6/15/2044		44		5

Series 4657, Class QI, IO, 4.00%, 9/15/2044		519		50

Series 4585, Class JI, IO, 4.00%, 5/15/2045		387		53

Series 4628, Class PI, IO, 4.00%, 7/15/2045		313		29

Series 4599, Class SA, IF, IO, 5.90%, 7/15/2046 (j)		270		58

Series 4681, Class SD, IF, IO, 6.05%, 5/15/2047 (j)		599		137

Series 4694, Class SA, IF, IO, 6.00%, 6/15/2047 (j)		952		175

Series 4689, Class SD, IF, IO, 6.05%, 6/15/2047 (j)		868		193

Series 4717, Class SP, IF, IO, 6.00%, 8/15/2047 (j)		26,049		6,250

Series 4707, Class SA, IF, IO, 6.05%, 8/15/2047 (j)		863		220

Series 4714, Class SA, IF, IO, 6.05%, 8/15/2047 (j)		692		149

Series 4746, Class SC, IF, IO, 6.05%, 1/15/2048 (j)		10,270		2,400

Series 4910, Class PI, IO, 5.00%, 7/25/2049		2,864		491


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4919, Class SH, IF, IO, 5.92%, 9/25/2049 (j)		17,383		2,724

Series 4906, Class QS, IF, IO, 5.97%, 9/25/2049 (j)		19,234		3,760

Series 4925, Class SA, IF, IO, 5.97%, 10/25/2049 (j)		29,420		5,587

Series 4932, Class SA, IF, IO, 5.92%, 11/25/2049 (j)		25,460		4,582

Series 4937, Class MS, IF, IO, 5.97%, 12/25/2049 (j)		45,264		8,433

Series 4954, Class SY, IF, IO, 5.97%, 2/25/2050 (j)		28,059		5,434

Series 4983, Class SY, IF, IO, 6.02%, 5/25/2050 (j)		19,652		4,170

Series 4983, Class SA, IF, IO, 6.02%, 6/25/2050 (j)		16,889		3,475

Series 4995, Class SB, IF, IO, 6.02%, 7/25/2050 (j)		17,189		3,971

Series 5011, Class MI, IO, 3.00%, 9/25/2050		47,298		7,165

Series 5023, Class HI, IO, 3.00%, 10/25/2050		13,134		2,041

Series 5052, Class EI, IO, 3.00%, 12/25/2050		37,951		6,205

Series 5072, Class BI, IO, 3.00%, 2/25/2051		45,500		7,180

Series 5143, Class PI, IO, 2.50%, 5/25/2051		3,600		311

Series 5143, Class Z, 2.50%, 5/25/2051		4,000		3,984

Series 4839, Class WS, IF, IO, 6.00%, 8/15/2056 (j)		33,634		7,626

FHLMC, STRIPS

Series 304, Class C32, IO, 3.00%, 10/15/2026		260		15

Series 342, Class S7, IF, IO, 6.01%, 2/15/2045 (j)		11,130		2,110

Fhr

0.00%, 7/25/2030 (l)		10,000		1,025

0.00%, 8/15/2048 (l)		14,746		14,678

FMC GMSR Issuer Trust

3.69%, 2/25/2024		29,500		29,549

Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (j)		7,000		6,999

Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (j)		25,000		25,012

FNMA, Connecticut Avenue Securities

Series 2015-C03, Class 1M2, 5.08%, 7/25/2025 ‡ (j)		1,999		2,047


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2016-C01, Class 1M2, 6.83%, 8/25/2028 (j)		5,952		6,294

Series 2016-C02, Class 1M2, 6.08%, 9/25/2028 (j)		1,467		1,535

Series 2016-C03, Class 1M2, 5.38%, 10/25/2028 (j)		2,021		2,124

Series 2016-C03, Class 2M2, 5.98%, 10/25/2028 (j)		1,062		1,114

Series 2016-C05, Class 2M2, 4.53%, 1/25/2029 (j)		1,697		1,761

Series 2016-C06, Class 1M2, 4.33%, 4/25/2029 (j)		21,698		22,414

Series 2016-C07, Class 2M2, 4.43%, 5/25/2029 (j)		5,964		6,193

Series 2017-C01, Class 1M2, 3.63%, 7/25/2029 (j)		976		1,004

Series 2017-C01, Class 1B1, 5.83%, 7/25/2029 (j)		16,485		18,018

Series 2017-C02, Class 2M2, 3.73%, 9/25/2029 (j)		10,911		11,287

Series 2017-C02, Class 2B1, 5.58%, 9/25/2029 (j)		5,500		6,002

Series 2017-C03, Class 1B1, 4.93%, 10/25/2029 (j)		3,000		3,255

Series 2017-C05, Class 1B1, 3.68%, 1/25/2030 (j)		2,760		2,883

Series 2017-C06, Class 1M2, 2.73%, 2/25/2030 (j)		2,323		2,364

Series 2017-C06, Class 2B1, 4.53%, 2/25/2030 (j)		8,015		8,367

Series 2017-C07, Class 2M2, 2.58%, 5/25/2030 (j)		4,790		4,846

Series 2017-C07, Class 1B1, 4.08%, 5/25/2030 (j)		5,200		5,388

Series 2018-C01, Class 1B1, 3.63%, 7/25/2030 (j)		2,870		2,938

Series 2018-C02, Class 2M2, 2.28%, 8/25/2030 (j)		1,407		1,422

Series 2018-C03, Class 1M2, 2.23%, 10/25/2030 (j)		289		293

Series 2018-C04, Class 2M2, 2.63%, 12/25/2030 (j)		4,314		4,384

Series 2018-C04, Class 2B1, 4.58%, 12/25/2030 (j)		4,250		4,467

Series 2018-C05, Class 1M2, 2.43%, 1/25/2031 (j)		1,123		1,136

Series 2018-C05, Class 1B1, 4.33%, 1/25/2031 (j)		3,000		3,137

Series 2018-C06, Class 1M2, 2.08%, 3/25/2031 (j)		1,335		1,344


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2018-C06, Class 2M2, 2.18%, 3/25/2031 (j)		927		934

Series 2018-C06, Class 1B1, 3.83%, 3/25/2031 (j)		15,310		15,663

Series 2018-C06, Class 2B1, 4.18%, 3/25/2031 (j)		2,860		2,949

FNMA, REMIC

Series 2016-68, Class BI, IO, 3.00%, 10/25/2031		927		78

Series 2012-93, Class FS, IF, IO, 6.07%, 9/25/2032 (j)		3,038		532

Series 2013-55, Class AI, IO, 3.00%, 6/25/2033		2,464		253

Series 2003-76, Class SB, IF, IO, 6.97%, 8/25/2033 (j)		2,257		370

Series 2006-42, Class LI, IF, IO, 6.48%, 6/25/2036 (j)		1,817		354

Series 2011-79, Class SD, IF, IO, 5.82%, 8/25/2041 (j)		4,947		942

Series 2011-78, Class JS, IF, IO, 5.92%, 8/25/2041 (j)		2,318		413

Series 2012-133, Class HS, IF, IO, 6.07%, 12/25/2042 (j)		284		73

Series 2012-133, Class NS, IF, IO, 6.07%, 12/25/2042 (j)		1,254		256

Series 2016-6, Class KI, IO, 4.00%, 2/25/2044		515		57

Series 2015-35, Class SA, IF, IO, 5.52%, 6/25/2045 (j)		11,865		2,043

Series 2016-43, Class MI, IO, 4.00%, 10/25/2045		442		67

Series 2016-56, Class ST, IF, IO, 5.92%, 8/25/2046 (j)		7,092		1,635

Series 2016-63, Class AS, IF, IO, 5.92%, 9/25/2046 (j)		143		32

Series 2016-75, Class SC, IF, IO, 6.02%, 10/25/2046 (j)		9,945		1,873

Series 2016-90, Class IN, IO, 3.50%, 12/25/2046		455		72

Series 2016-95, Class ES, IF, IO, 5.92%, 12/25/2046 (j)		2,388		535

Series 2017-13, Class AS, IF, IO, 5.97%, 2/25/2047 (j)		859		198

Series 2017-6, Class SB, IF, IO, 5.97%, 2/25/2047 (j)		153		32

Series 2017-16, Class SM, IF, IO, 5.97%, 3/25/2047 (j)		4,987		1,112

Series 2017-39, Class ST, IF, IO, 6.02%, 5/25/2047 (j)		2,041		445


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-70, Class SA, IF, IO, 6.07%, 9/25/2047 (j)		1,293		279

Series 2017-69, Class SH, IF, IO, 6.12%, 9/25/2047 (j)		1,043		232

Series 2017-81, Class SM, IF, IO, 6.12%, 10/25/2047 (j)		22,888		5,592

Series 2017-90, Class SP, IF, IO, 6.07%, 11/25/2047 (j)		3,694		898

Series 2017-112, Class SC, IF, IO, 6.07%, 1/25/2048 (j)		4,531		844

Series 2018-16, Class SN, IF, IO, 6.17%, 3/25/2048 (j)		2,355		438

Series 2018-27, Class SE, IF, IO, 6.12%, 5/25/2048 (j)		4,124		917

Series 2018-67, Class SN, IF, IO, 6.12%, 9/25/2048 (j)		8,149		1,670

Series 2019-32, Class PI, IO, 5.00%, 10/25/2048		1,679		266

Series 2018-73, Class SC, IF, IO, 6.12%, 10/25/2048 (j)		5,543		1,083

Series 2019-47, Class QI, IO, 4.50%, 6/25/2049		2,873		474

Series 2019-37, Class CS, IF, IO, 5.97%, 7/25/2049 (j)		5,090		1,189

Series 2019-42, Class SK, IF, IO, 5.97%, 8/25/2049 (j)		10,017		1,871

Series 2019-62, Class SP, IF, IO, 5.97%, 11/25/2049 (j)		22,706		5,046

Series 2020-54, Class AS, IF, IO, 6.07%, 8/25/2050 (j)		39,621		8,649

Series 2020-89, Class GI, IO, 3.00%, 12/25/2050		68,491		10,855

Series 2020-100, Class IA, IO, 3.00%, 1/25/2051		115,252		18,145

Series 2021-8, Class GI, IO, 3.00%, 3/25/2051		15,705		2,627

Series 2017-57, Class SA, IF, IO, 6.02%, 8/25/2057 (j)		1,071		253

FNMA, STRIPS

Series 421, Class 7, IO, 3.50%, 5/25/2030		191		11

Series 421, Class C3, IO, 4.00%, 7/25/2030		403		37

FTF 8.00%, 8/15/2024		6,500		3,575

GCAT Trust

Series 2020-NQM1, Class M1, 2.93%, 1/25/2060 ‡ (a) (j)		10,871		11,143

Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 ‡ (a) (j)		3,000		3,044

GMACM Mortgage Loan Trust Series 2004-J2, Class A8, 5.75%, 6/25/2034		44		45


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

GNMA

Series 2013-182, Class MS, IF, IO, 6.05%, 12/20/2043 (j)		11,681		2,267

Series 2015-110, Class MS, IF, IO, 5.62%, 8/20/2045 (j)		7,302		1,165

Series 2016-49, Class SB, IF, IO, 5.96%, 4/20/2046 (j)		4,910		951

Series 2016-83, Class SA, IF, IO, 6.01%, 6/20/2046 (j)		3,204		657

Series 2016-108, Class SN, IF, IO, 5.99%, 8/20/2046 (j)		16,618		3,874

Series 2016-108, Class SM, IF, IO, 6.01%, 8/20/2046 (j)		3,775		812

Series 2016-111, Class SA, IF, IO, 6.01%, 8/20/2046 (j)		6,096		1,384

Series 2016-120, Class NS, IF, IO, 6.01%, 9/20/2046 (j)		4,279		905

Series 2016-120, Class SA, IF, IO, 6.01%, 9/20/2046 (j)		19,950		3,943

Series 2016-146, Class NS, IF, IO, 6.01%, 10/20/2046 (j)		5,330		1,247

Series 2016-147, Class AS, IF, IO, 6.01%, 10/20/2046 (j)		7,213		1,105

Series 2017-36, Class SL, IF, IO, 6.10%, 3/16/2047 (j)		8,389		1,648

Series 2019-132, Class KI, IO, 3.50%, 3/20/2047		1,468		56

Series 2017-68, Class DS, IF, IO, 6.06%, 5/20/2047 (j)		15,921		3,127

Series 2017-68, Class SA, IF, IO, 6.06%, 5/20/2047 (j)		3,635		732

Series 2017-80, Class AS, IF, IO, 6.11%, 5/20/2047 (j)		3,747		750

Series 2017-85, Class SA, IF, IO, 6.06%, 6/20/2047 (j)		5,029		1,001

Series 2017-107, Class KS, IF, IO, 6.11%, 7/20/2047 (j)		7,045		1,295

Series 2017-120, Class ES, IF, IO, 6.11%, 8/20/2047 (j)		6,873		1,495

Series 2017-134, Class SB, IF, IO, 6.11%, 9/20/2047 (j)		4,973		836

Series 2017-134, Class SD, IF, IO, 6.11%, 9/20/2047 (j)		8,911		1,920

Series 2017-155, Class KS, IF, IO, 6.11%, 10/20/2047 (j)		5,848		1,067

Series 2017-161, Class DS, IF, IO, 6.16%, 10/20/2047 (j)		4,536		991

Series 2017-163, Class HS, IF, IO, 6.11%, 11/20/2047 (j)		10,911		2,003


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2017-180, Class SD, IF, IO, 6.11%, 12/20/2047 (j)		6,042		1,112

Series 2018-7, Class DS, IF, IO, 5.61%, 1/20/2048 (j)		3,903		722

Series 2018-6, Class CS, IF, IO, 6.11%, 1/20/2048 (j)		4,979		1,117

Series 2018-36, Class SG, IF, IO, 6.11%, 3/20/2048 (j)		4,198		915

Series 2018-46, Class AS, IF, IO, 6.11%, 3/20/2048 (j)		15,743		3,298

Series 2018-63, Class BS, IF, IO, 6.11%, 4/20/2048 (j)		9,680		2,042

Series 2018-63, Class SB, IF, IO, 6.11%, 4/20/2048 (j)		4,726		924

Series 2018-65, Class DS, IF, IO, 6.11%, 5/20/2048 (j)		5,681		1,162

Series 2018-125, Class SU, IF, IO, 6.11%, 9/20/2048 (j)		17,282		3,030

Series 2018-147, Class SD, IF, IO, 6.06%, 10/20/2048 (j)		3,520		664

Series 2019-33, Class PI, IO, 4.00%, 11/20/2048		133		28

Series 2019-1, Class SG, IF, IO, 5.96%, 1/20/2049 (j)		13,682		2,568

Series 2019-49, Class SB, IF, IO, 5.45%, 4/20/2049 (j)		7,724		1,102

Series 2019-42, Class SJ, IF, IO, 5.96%, 4/20/2049 (j)		7,508		1,150

Series 2019-43, Class LS, IF, IO, 5.96%, 4/20/2049 (j)		3,914		748

Series 2019-65, Class ST, IF, IO, 5.96%, 5/20/2049 (j)		14,619		2,023

Series 2019-56, Class GS, IF, IO, 6.06%, 5/20/2049 (j)		7,649		1,131

Series 2019-71, Class SA, IF, IO, 6.06%, 6/20/2049 (j)		16,370		3,050

Series 2019-71, Class SK, IF, IO, 6.06%, 6/20/2049 (j)		12,399		2,085

Series 2019-85, Class CS, IF, IO, 6.01%, 7/20/2049 (j)		25,189		4,064

Series 2019-86, Class ST, IF, IO, 6.01%, 7/20/2049 (j)		10,053		1,237

Series 2019-89, Class KS, IF, IO, 6.01%, 7/20/2049 (j)		17,419		2,405

Series 2019-103, Class SC, IF, IO, 5.96%, 8/20/2049 (j)		24,471		4,078

Series 2019-99, Class SJ, IF, IO, 5.96%, 8/20/2049 (j)		11,908		1,899


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2019-97, Class GS, IF, IO, 6.01%, 8/20/2049 (j)		29,336		5,138

Series 2019-115, Class SA, IF, IO, 5.96%, 9/20/2049 (j)		12,236		2,072

Series 2019-115, Class US, IF, IO, 5.96%, 9/20/2049 (j)		16,776		2,577

Series 2019-119, Class SA, IF, IO, 5.96%, 9/20/2049 (j)		22,773		3,865

Series 2019-120, Class DS, IF, IO, 5.96%, 9/20/2049 (j)		15,426		3,010

Series 2019-115, Class SW, IF, IO, 6.01%, 9/20/2049 (j)		28,001		4,557

Series 2019-117, Class SA, IF, IO, 6.01%, 9/20/2049 (j)		19,866		3,910

Series 2019-132, Class SK, IF, IO, 5.96%, 10/20/2049 (j)		14,135		1,851

Series 2019-138, Class SW, IF, IO, 5.96%, 10/20/2049 (j)		3,635		685

Series 2019-158, Class SG, IF, IO, 5.96%, 12/20/2049 (j)		18,471		2,969

Series 2020-11, Class LS, IF, IO, 5.96%, 1/20/2050 (j)		49,646		7,581

Series 2020-33, Class SB, IF, IO, 5.96%, 3/20/2050 (j)		25,754		5,133

Series 2020-86, Class TS, IF, IO, 5.51%, 6/20/2050 (j)		15,868		2,426

Series 2020-101, Class SA, IF, IO, 6.11%, 7/20/2050 (j)		84,349		17,450

Series 2020-101, Class SJ, IF, IO, 6.11%, 7/20/2050 (j)		58,348		11,530

Series 2020-140, Class SG, IF, IO, 6.26%, 9/20/2050 (j)		81,079		17,108

Series 2021-42, Class SD, IF, IO, 6.21%, 11/20/2050 (j)		48,826		12,851

Series 2021-9, Class MI, IO, 2.50%, 1/20/2051		212,438		25,704

Series 2021-23, Class IA, IO, 2.50%, 2/20/2051		104,175		12,109

Series 2021-81, Class IC, IO, 3.00%, 5/20/2051		25,765		3,945

Series 2021-91, Class CI, IO, 3.00%, 5/20/2051		21,879		3,073

Series 2021-131, Class Z, 3.00%, 7/20/2051 (l)		3,758		3,766

Series 2021-162, Class Z, 2.50%, 9/20/2051 (l)		5,000		4,988

IO, 3.60%, 4/16/2061 (j)		72,570		15,364

3.63%, 6/16/2061 (j)		50,000		10,919

IO, 3.60%, 2/16/2063 (j)		123,363		30,104


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-H13, Class GI, IO, 1.58%, 4/20/2065 (j)		2,032		78

GNMA, REMIC Trust 3.65%, 6/16/2063		46,382		9,109

Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡		310		308

GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (a) (j)		169		68

GSR Mortgage Loan Trust Series 2005-AR6, Class 2A1, 2.87%, 9/25/2035 (j)		148		151

HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 0.27%, 1/25/2047 (j)		8,219		8,197

Homeward Opportunities Fund I Trust Series 2019-3, Class B1, 4.02%, 11/25/2059 ‡ (a) (j)		5,000		5,238

Homeward Opportunities Fund Trust Series 2020-BPL1, Class A2, 5.44%, 8/25/2025 (a) (h)		7,620		7,838

Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025		7,000		7,000

Impac CMB Trust Series 2005-1, Class 1A2, 0.70%, 4/25/2035 (j)		240		242

IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 2.78%, 9/25/2037 (j)		14,501		12,408

JPMorgan Alternative Loan Trust Series 2006-S3, Class A4, 6.81%, 8/25/2036 (h)		2,407		2,353

JPMorgan Mortgage Trust Series 2006-S1, Class 1A1, 6.00%, 4/25/2036		44		45

Lehman Mortgage Trust Series 2007-7, Class 5A7, 6.50%, 8/25/2037		12,885		8,845

LHOME Mortgage Trust

Series 2019-RTL2, Class A2, 4.34%, 3/25/2024 (a) (h)		6,500		6,568

Series 2019-RTL3, Class A1, 3.87%, 7/25/2024 (a)		12,000		12,081

Series 2019-RTL3, Class A2, 4.34%, 7/25/2024 (a) (h)		9,300		9,415

Series 2020-RTL1, Class A2, 3.72%, 10/25/2024 (a) (h)		4,250		4,279

MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.91%, 8/25/2033 ‡ (j)		48		45

MASTR Asset Securitization Trust Series 2003-11, Class 7A2, 5.25%, 12/25/2033		37		35

Merrill Lynch Mortgage Investors Trust Series 2003-A5, Class 2A6, 2.02%, 8/25/2033 (j)		51		51


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

New Residential Mortgage Loan Trust

Series 2019-2A, Class A1IB, IO, 1.00%, 12/25/2057 (a) (j)		13,909		323

Series 2018-3A, Class A1IC, IO, 1.50%, 5/25/2058 (a) (j)		32,417		1,279

Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 ‡ (a) (j)		3,042		3,038

OBX Trust Series 2020-EXP1, Class 2A1, 0.83%, 2/25/2060 (a) (j)		2,456		2,455

Ocwen Series 2021-GNMSR1, 5.00%, 3/15/2022		23,000		23,036

P-stlb 9.25%, 10/11/2026 ‡		7,700		7,700

PMT Credit Risk Transfer Trust

Series 2021-1R, Class A, 3.00%, 2/27/2024 (a) (j)		16,948		17,246

Series 2019-1R, Class A, 2.09%, 3/27/2024 (a) (j)		2,975		2,971

PRPM

Series 2019-GS1, Class A1, 3.50%, 10/25/2024 (a) (j)		10,621		10,661

Series 2019-GS1, Class A2, 4.75%, 10/25/2024 (a) (j)		8,470		8,518

PRPM LLC

Series 2020-2, Class A1, 3.67%, 8/25/2025 (a) (h)		1,641		1,652

Series 2020-3, Class A1, 2.86%, 9/25/2025 (a) (h)		1,409		1,412

Series 2020-3, Class A2, 5.07%, 9/25/2025 (a) (h)		3,400		3,422

Series 2021-1, Class A2, 3.72%, 1/25/2026 (a) (j)		5,000		5,016

Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (h)		33,030		33,006

Series 2021-6, Class A2, 3.47%, 7/25/2026 (a) (h)		2,749		2,745

Series 2021-7, Class A2, 3.67%, 8/25/2026 (a) (h)		11,837		11,837

RAAC Trust Series 2005-SP1, Class 4A1, 7.00%, 9/25/2034		63		65

RCO VII Mortgage LLC Series 2021-1, Class A2, 3.97%, 5/25/2026 (a) (h)		2,500		2,497

Repo Buyer 8.32%, 5/14/2022 ‡		3,999		3,999

Repo Buyer RRI Trust 3.06%, 4/14/2055 ‡		8,629		8,625

RSFR Series 2020-1, Class PT, 4.21%, 2/17/2025 (a) (h)		19,700		19,313

SART

5.64%, 2/15/2024 ‡		1,001		973

4.75%, 7/15/2024		259		260


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


4.76%, 6/15/2025		648		648

SART CRR

Series 4, Class B, 4.70%, 10/15/2024 ‡		2,004		1,945

5.01%, 4/15/2026 ‡		1,526		1,483

4.60%, 7/15/2026 ‡		1,888		1,832

Seasoned Credit Risk Transfer Trust

Series 2017-3, Class A, IO, 0.00%, 7/25/2056(j)		23,192		12

Series 2021-2, Class BXS, 13.96%, 11/25/2060 ‡ (a) (j)		5,000		4,780

STACR Trust

Series 2018-HRP1, Class M2, 1.73%, 4/25/2043 ‡ (a) (j)		843		845

Series 2018-HRP1, Class B1, 3.83%, 4/25/2043 ‡ (a) (j)		2,830		2,908

Series 2018-HRP2, Class M3, 2.48%, 2/25/2047 ‡ (a) (j)		13,859		14,109

Series 2018-DNA3, Class B1, 3.98%, 9/25/2048 ‡ (a) (j)		2,300		2,398

Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 1.65%, 10/25/2037 (j)		2,162		2,208

Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1, 0.93%, 5/25/2047 (j)		15,115		13,342

Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)		30,000		30,433

TVC Mortgage Trust Series 2020-RTL1, Class A2, 3.97%, 9/25/2024 (a) (h)		5,500		5,447

VCAT LLC Series 2021-NPL2, Class A2, 4.21%, 3/27/2051 (a) (h)		5,500		5,532

Verus Securitization Trust

Series 2019-4, Class M1, 3.21%, 11/25/2059 ‡ (a) (j)		5,200		5,287

Series 2019-INV3, Class B1, 3.73%, 11/25/2059 ‡ (a) (j)		7,606		7,646

Series 2019-4, Class B1, 3.86%, 11/25/2059 ‡ (a) (j)		2,200		2,227

Series 2020-1, Class A2, 2.64%, 1/25/2060 (a) (h)		6,307		6,391

Series 2020-1, Class A3, 2.72%, 1/25/2060 (a) (h)		4,483		4,535

Series 2020-1, Class M1, 3.02%, 1/25/2060 ‡ (a) (j)		1,990		2,022

Series 2020-2, Class A1, 2.23%, 5/25/2060 (a) (j)		412		415

Visio Trust Series 2019-2, Class B1, 3.91%, 11/25/2054 ‡ (a) (j)		820		845


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

WaMu Mortgage Pass-Through Certificates Series 2003-S4, Class 2A2, 5.50%, 6/25/2033		87		90

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 2.66%, 8/25/2033 (j)		115		120

Series 2004-S2, Class 2A4, 5.50%, 6/25/2034		76		78

Series 2005-AR7, Class A3, 2.54%, 8/25/2035 (j)		77		80

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR8, Class 2A, 0.95%, 10/25/2046 (j)		2,623		2,376

ZH Trust

Series 2021-1, Class A, 2.25%, 2/18/2027 (a)		11,853		11,859

Series 2021-1, Class B, 3.26%, 2/18/2027 (a)		7,655		7,659


Total Collateralized Mortgage Obligations (Cost $1,388,411)				1,368,219

Foreign Government Securities — 4.1%

Arab Republic of Egypt (Egypt) 7.50%, 1/31/2027 (f)		4,400		4,877

5.88%, 2/16/2031 (a)		3,091		3,037

5.88%, 2/16/2031 (f)		3,000		2,948

7.05%, 1/15/2032 (f)		12,800		13,230

7.90%, 2/21/2048 (f)		1,000		989

8.88%, 5/29/2050 (f)		16,200		17,367

Dominican Republic Government Bond (Dominican Republic) 5.30%, 1/21/2041 (a)		10,822		11,044

7.45%, 4/30/2044 (f)		1,000		1,226

6.40%, 6/5/2049 (f)		1,600		1,749

5.88%, 1/30/2060 (a)		13,650		13,913

5.88%, 1/30/2060 (f)		10,600		10,804

Federal Democratic Republic of Ethiopia (Ethiopia) 6.63%, 12/11/2024 (f)		10,100		8,959

Federal Republic of Nigeria (Nigeria) 6.50%, 11/28/2027 (f)		7,400		7,792

7.14%, 2/23/2030 (f)		21,500		22,566

7.70%, 2/23/2038 (f)		5,700		5,828

7.63%, 11/28/2047 (f)		4,800		4,820

Hashemite Kingdom of Jordan (Jordan) 5.85%, 7/7/2030 (f)		3,100		3,263

7.38%, 10/10/2047 (f)		9,100		9,761

Islamic Republic of Pakistan (Pakistan) 8.25%, 9/30/2025 (f)		3,100		3,372


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


6.00%, 4/8/2026 (a)		19,530		19,630

7.38%, 4/8/2031 (a)		8,513		8,620

Kingdom of Bahrain (Bahrain) 7.00%, 10/12/2028 (f)		1,900		2,092

6.75%, 9/20/2029 (f)		1,700		1,844

5.45%, 9/16/2032 (a)		9,389		9,201

Republic of Angola (Angola) 9.50%, 11/12/2025(f)		700		781

8.00%, 11/26/2029 (f)		7,100		7,460

8.00%, 11/26/2029 (a)		5,720		6,011

9.13%, 11/26/2049 (f)		6,700		6,978

Republic of Armenia (Armenia) 3.60%, 2/2/2031 (a)		6,100		5,798

3.60%, 2/2/2031 (f)		200		190

Republic of Belarus (Belarus) 6.88%, 2/28/2023 (f)		2,600		2,623

5.88%, 2/24/2026 (f)		800		743

6.38%, 2/24/2031 (f)		4,000		3,487

Republic of Costa Rica (Costa Rica) 4.38%, 4/30/2025 (f)		2,100		2,172

6.13%, 2/19/2031 (f)		15,100		16,023

5.63%, 4/30/2043 (f)		1,200		1,115

7.00%, 4/4/2044 (f)		1,000		1,033

Republic of Cote d’Ivoire (Ivory Coast) 6.38%, 3/3/2028 (f)		14,737		16,406

5.75%, 12/31/2032 (f) (h)		2,088		2,113

6.13%, 6/15/2033 (f)		10,100		11,068

Republic of El Salvador (El Salvador)

6.38%, 1/18/2027 (f)		500		433

8.63%, 2/28/2029 (f)		7,700		7,103

7.63%, 2/1/2041 (f)		4,400		3,702

7.12%, 1/20/2050 (f)		9,900		8,080

Republic of Ghana (Ghana)

Zero Coupon, 4/7/2025 (a)		4,100		3,218

6.38%, 2/11/2027 (f)		10,700		10,451

8.63%, 4/7/2034 (a)		3,966		4,006

7.88%, 2/11/2035 (a)		7,220		6,928

8.88%, 5/7/2042 (f)		1,100		1,093

8.95%, 3/26/2051 (f)		2,000		1,960

8.75%, 3/11/2061 (f)		8,000		7,672

8.75%, 3/11/2061 (a)		3,300		3,164

Republic of Iraq (Iraq)

6.75%, 3/9/2023 (f)		8,400		8,522

5.80%, 1/15/2028 (f)		12,513		12,019

Republic of Kenya (Kenya)

6.88%, 6/24/2024 (f)		1,700		1,868


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Foreign Government Securities — continued

7.25%, 2/28/2028 (f)		8,900		9,986

8.00%, 5/22/2032 (f)		15,300		17,460

8.00%, 5/22/2032 (a)		1,780		2,031

6.30%, 1/23/2034 (a)		6,093		6,283

8.25%, 2/28/2048 (f)		6,600		7,461

Republic of Namibia (Namibia) 5.25%, 10/29/2025 (f)		4,900		5,273

Republic of Paraguay (Paraguay)

6.10%, 8/11/2044 (f)		8,675		10,927

5.40%, 3/30/2050 (a)		3,970		4,725

Republic of Rwanda (Rwanda) 5.50%, 8/9/2031 (a)		6,300		6,486

Republic of Senegal (Senegal)

6.25%, 5/23/2033 (f)		8,400		9,042

6.75%, 3/13/2048 (f)		18,800		19,532

Republic of South Africa (South Africa)

5.00%, 10/12/2046		2,600		2,432

5.75%, 9/30/2049		8,406		8,458

Republic of Turkey (Turkey)

4.25%, 4/14/2026		3,700		3,599

4.25%, 4/14/2026		2,600		2,530

4.88%, 4/16/2043		5,000		4,117

State of Mongolia (Mongolia) 4.45%, 7/7/2031 (a)		6,400		6,297

Sultanate of Oman Government Bond (Oman)

4.88%, 2/1/2025 (f)		4,100		4,289

5.38%, 3/8/2027 (f)		6,500		6,859

6.25%, 1/25/2031 (a)		6,559		7,133

7.38%, 10/28/2032 (a)		7,291		8,439

6.50%, 3/8/2047 (f)		600		601

6.75%, 1/17/2048 (f)		5,400		5,514

Ukraine Government Bond (Ukraine)

8.99%, 2/1/2024 (f)		4,800		5,340

7.75%, 9/1/2025 (f)		5,600		6,182

7.75%, 9/1/2027 (f)		3,000		3,341

9.75%, 11/1/2028 (f)		6,700		8,117

6.88%, 5/21/2029 (f)		1,100		1,162


Total Foreign Government Securities (Cost $538,516)				536,768

Mortgage-Backed Securities — 2.6%

FNMA/FHLMC UMBS, Single Family, 15 Year

TBA, 2.00%, 10/25/2036 (l)		4,985		5,150

GNMA I

IO, 3.60%, 6/16/2061 (j)		59,063		12,688


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



IO, 3.60%, 12/16/2062 (j)		102,444		26,411

GNMA II, 30 Year

Pool # BF2605, 5.50%, 5/20/2048		738		835

Pool # BN2462, 4.50%, 6/20/2048		108		115

Pool # BH2761, 4.50%, 9/20/2048		1,538		1,698

Pool # BJ4027, 4.50%, 9/20/2048		371		409

Pool # BJ4052, 4.50%, 9/20/2048		214		235

Pool # BH5219, 4.50%, 10/20/2048		497		550

Pool # BI9909, 4.50%, 10/20/2048		813		899

Pool # BJ0977, 4.50%, 10/20/2048		354		387

Pool # BJ4126, 4.50%, 10/20/2048		427		466

Pool # BJ4168, 4.50%, 10/20/2048		671		741

Pool # BJ4297, 4.50%, 10/20/2048		412		451

Pool # BJ4354, 4.50%, 10/20/2048		572		630

Pool # BJ4396, 4.50%, 10/20/2048		642		709

Pool # BJ9835, 4.50%, 1/20/2049		1,071		1,192

Pool # BJ9839, 4.38%, 4/20/2049		605		678

Pool # BL9253, 4.50%, 6/20/2049		301		324

Pool # BJ9846, 4.50%, 7/20/2049		1,309		1,444

Pool # BM5450, 4.50%, 7/20/2049		635		695

Pool # BJ9850, 4.50%, 8/20/2049		738		824

Pool # BJ9854, 4.50%, 9/20/2049		851		949

Pool # BJ9863, 4.50%, 11/20/2049		1,466		1,635

Pool # BQ8922, 4.50%, 12/20/2049		685		784

Pool # MA7255, 2.50%, 3/20/2051		62,697		65,066

Pool # MA7257, 3.50%, 3/20/2051		18,833		19,997

Pool # MA7590, 3.00%, 9/20/2051 (l)		185,000		194,539


Total Mortgage-Backed Securities (Cost $334,372)				340,501


	SHARES (000)
Exchange-Traded Funds — 2.0%

Fixed Income — 2.0%

iShares iBoxx High Yield Corporate Bond ETF		1,499		132,003

SPDR Blackstone Senior Loan ETF		2,395		110,098

SPDR Bloomberg Barclays High Yield Bond ETF		179		19,690


Total Fixed Income				261,791


Total Exchange-Traded Funds (Cost $258,301)				261,791


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — 1.3%

U.S. Treasury Bonds 8.00%, 11/15/2021		50		51

U.S. Treasury Notes

0.75%, 4/30/2026		83,400		83,465

1.25%, 4/30/2028		83,300		84,429


Total U.S. Treasury Obligations (Cost $166,436)				167,945

Loan Assignments — 0.4% (m)

Aerospace & Defense — 0.0% (c)

MacDonald Dettwiler and Associates Ltd., Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.84%, 10/4/2024 (e)		4		4


Auto Components — 0.1%

Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 4/10/2028 (e)		3,529		3,519

Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.00%, 1/31/2028 (e)		1,995		1,986


				5,505


Beverages — 0.0% (c)

Triton Water Holdings, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 3/31/2028 (e)		2,000		1,985


Chemicals — 0.0% (c)

Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.90%, 6/1/2024 (e)		256		255

Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.25%, 3/31/2027 (e)		2,445		2,432


				2,687


Construction & Engineering — 0.0% (c)

Thor, Inc. 1st Lien Term Loan C Series 2018, Class C Shares, (ICE LIBOR USD 1 Month + 4.25%), 4.25%, 5/15/2025 ‡ (e)		679		681


Containers & Packaging — 0.0% (c)

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 4/3/2024 (e)		1,488		1,448

Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027 (e)		3,274		3,258


				4,706


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Consumer Services — 0.0% (c)

Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 8/3/2026 (e)		88		88


Diversified Telecommunication Services — 0.0% (c)

Cincinnati Bell, Inc., Term Loan B (1 Week LIBOR + 3.25%), 4.25%, 10/2/2024 (e)		204		204

Intelsat Jackson Holdings SA, 1st Lien Term Loan (Luxembourg) (1-MONTH PRIME + 4.75%), 8.00%, 11/27/2023 (e) (i)		50		51


				255


Electronic Equipment, Instruments & Components — 0.0% (c)

Ingram Micro, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.50%), 4.00%, 6/30/2028 (e) (n)		2,500		2,504


Food & Staples Retailing — 0.0% (c)

Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (e)		315		330

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 7.00%), 8.00%, 4/1/2024 ‡ (e)		2,325		2,429

Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 1 Month + 10.75%), 11.75%, 10/1/2024 (e)		87		77


				2,836


Hotels, Restaurants & Leisure — 0.0% (c)

Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 8/14/2024 (e)		98		97


IT Services — 0.0% (c)

Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 3/9/2027 (e)		1,791		1,766


Leisure Products — 0.0% (c)

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (e) (i)		45		5

FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (e) (i)		253		—


				5


Life Sciences Tools & Services — 0.0% (c)

Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.75%, 11/8/2027 (e)		1,493		1,491


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Loan Assignments — continued
Life Sciences Tools & Services — continued

PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 8/11/2028 (e) (n)		3,200		3,198


				4,689


Machinery — 0.0% (c)

Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027 (e)		1,969		1,968


Media — 0.0% (c)

Directv Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 5.75%, 8/2/2027 (e) (n)		3,000		2,998


Personal Products — 0.1%

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026 (e)		5,985		5,988


Pharmaceuticals — 0.0% (c)

Elanco Animal Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.85%, 8/1/2027 (e)		2,161		2,122


Software — 0.0% (c)

Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024 (e)		1,489		1,490

Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/25/2027 (e)		1,985		1,971


				3,461


Specialty Retail — 0.2%

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.58%, 12/18/2026 (e) (i) (o)		12		12

Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 3/3/2028 (e)		2,993		2,985

Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.58%, 12/22/2025 (e) (n)		4,982		4,897


				7,894


Wireless Telecommunication Services — 0.0% (c)

CCI Buyer, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 12/17/2027 (e)		1,995		1,999


Total Loan Assignments (Cost $53,715)				54,238


INVESTMENTS	SHARES (000)			VALUE ($000)
Common Stocks — 0.2%

Diversified Telecommunication Services — 0.0% (c)

Frontier Communications Parent, Inc. *		20			581


Food & Staples Retailing — 0.0% (c)

Moran Foods Backstop Equity * ‡		45			204


Media — 0.0% (c)

Clear Channel Outdoor Holdings, Inc. *		6			15

iHeartMedia, Inc., Class A *		2			58


					73


Oil, Gas & Consumable Fuels — 0.2%

Battalion Oil Corp. *		1			7

California Resources Corp. *		4			136

Chesapeake Energy Corp.		5			288

EP Energy Corp. *		11			983

Gulfport Energy Operating Corp. *		103			6,892

Oasis Petroleum, Inc.		90			7,752

Whiting Petroleum Corp. *		98			4,620


					20,678


Professional Services — 0.0% (c)

NMG, Inc.*		—	(k)		1


Specialty Retail — 0.0% (c)

Claire’s Stores, Inc.*‡		—	(k)		2


Total Common Stocks (Cost $16,600)					21,539

Preferred Stocks — 0.1%

Electric Utilities — 0.1%

SCE Trust VI 5.00%, 6/26/2022 ($25 par value) (p)		240			5,984

Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value)		193			5,159


					11,143


Insurance — 0.0% (c)

MetLife, Inc. Series F, 4.75%, 3/15/2025 ($25 par value) (p)		97			2,580


Internet & Direct Marketing Retail — 0.0% (c)

MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡		14			14


Total Preferred Stocks (Cost $12,914)					13,737


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 0.0% (c) (q)

California — 0.0% (c)

Los Angeles Community College District, Election of 2008 Series E, GO, 6.75%, 8/1/2049		100		175

Orange County Water District Series 2017B, Rev., 4.06%, 8/15/2041		290		321

Regents of the University of California Medical Center Pooled Series F, Rev., 6.58%, 5/15/2049		255		393

University of California, Taxable Build America Series R, Rev., 5.77%, 5/15/2043		140		199

University of California, Taxable Limited Project Series J, Rev., 4.13%, 9/10/2021		100		120


Total California				1,208


Colorado — 0.0% (c)

Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%, 1/15/2045		175		193


Illinois — 0.0% (c)

Illinois Finance Authority, The University of Chicago Series A, Rev., 4.00%, 4/1/2023 (r)		25		27


Indiana — 0.0% (c)

Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital Series B-2, Rev., 6.12%, 1/15/2040		240		342


New Jersey — 0.0% (c)

New Jersey Transportation Trust Fund Authority, Transportation System Series 2012A, Rev., 5.00%, 6/15/2042		25		26


Texas — 0.0% (c)

North Texas Tollway Authority, First Tier Series B, Rev., 6.72%, 1/1/2049		131		222


Total Municipal Bonds (Cost $1,734)				2,018


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Convertible Bonds — 0.0% (c)

Oil, Gas & Consumable Fuels — 0.0% (c)

Gulfport Energy Corp. 10.00%, 10/4/2021 ‡ (d) (g) (Cost $259)		—	(k)		1,256


	NO. OF WARRANTS (000)
Warrants — 0.0% (c)

Diversified Telecommunication Services — 0.0% (c)

Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD * ‡		—	(k)		10


Media — 0.0% (c)

Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) * ‡		—	(k)		6


Oil, Gas & Consumable Fuels — 0.0% (c)

Chesapeake Energy Corp. expiring 2/9/2026, price 27.27 USD *		16			477

expiring 2/9/2026, price 31.71 USD *		18			462

expiring 2/9/2026, price 35.71 USD *		10			229


					1,168


Total Warrants (Cost $–(k))					1,184


	SHARES (000)
Short-Term Investments — 2.5%

Investment Companies — 2.5%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (s) (t) (Cost $325,579)		325,416			325,579

Total Investments — 100.9% (Cost $12,886,090)					13,061,848
Liabilities in Excess of Other Assets — (0.9)%					(116,381	)

NET ASSETS — 100.0%					12,945,467

Percentages indicated are based on net assets.


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
CDO		Collateralized Debt Obligations
CLO		Collateralized Loan Obligations
ETF		Exchange-Traded Fund
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
GO		General Obligation
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
JSC		Joint Stock Company
LIBOR		London Interbank Offered Rate
OYJ		Public Limited Company
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
PT		Limited liability company
REMIC		Real Estate Mortgage Investment Conduit
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
Rev.		Revenue
SCA		Limited partnership with share capital
SOFR		Secured Overnight Financing Rate
SPC		Special purpose company
SPDR		Standard & Poor’s Depository Receipts
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities


USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
(c)		Amount rounds to less than 0.1% of net assets.
(d)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.
(e)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(f)		Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(g)		Security is an interest bearing note with preferred security characteristics.
(h)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(i)		Defaulted security.
(j)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(k)		Amount rounds to less than one thousand.
(l)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(m)		Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
(n)		All or a portion of this security is unsettled as of August 31, 2021. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.
(o)		Fund is subject to legal or contractual restrictions on the resale of the security.
(p)		The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of August 31, 2021.
(q)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(r)		Security is prerefunded or escrowed to maturity.
(s)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(t)		The rate shown is the current yield as of August 31, 2021.
*		Non-income producing security.
‡		Value determined using significant unobservable inputs.

Centrally Cleared Credit default swap contracts outstanding — sell protection ^(a) as of August 31, 2021 (amounts in thousands):

Summary of total OTC swap contracts outstanding as of August 31, 2021 (amounts in thousands):


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 36.8%

Aerospace & Defense — 1.5%

BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (a)		1,000		1,096

Boeing Co. (The) 1.43%, 2/4/2024		877		879

4.88%, 5/1/2025		541		605

2.75%, 2/1/2026		1,646		1,720

2.20%, 2/4/2026		1,072		1,076

3.10%, 5/1/2026		2,500		2,653

General Dynamics Corp. 2.25%, 11/15/2022		1,000		1,019

L3Harris Technologies, Inc. 3.85%, 12/15/2026		475		531

4.85%, 4/27/2035		500		634

Leidos, Inc. 2.30%, 2/15/2031		1,000		986

Lockheed Martin Corp. 3.35%, 9/15/2021		211		211

3.55%, 1/15/2026		700		774

Northrop Grumman Corp. 2.93%, 1/15/2025		1,800		1,914

Precision Castparts Corp. 2.50%, 1/15/2023		500		512

3.25%, 6/15/2025		800		869

Raytheon Technologies Corp. 3.20%, 3/15/2024		300		319

3.15%, 12/15/2024		476		507

3.95%, 8/16/2025		2,000		2,218

4.13%, 11/16/2028		500		575

2.25%, 7/1/2030		300		307

4.15%, 5/15/2045		311		371

Textron, Inc. 3.00%, 6/1/2030		1,100		1,175


				20,951


Airlines — 0.0% (b)

Continental Airlines Pass-Through Trust

Series 2012-2, Class A Shares, 4.00%, 10/29/2024		186		196


Automobiles — 0.7%

BMW US Capital LLC (Germany) 1.85%, 9/15/2021 (a)		250		250

Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025 (a)		1,250		1,295

General Motors Co. 6.13%, 10/1/2025		700		826

Hyundai Capital America 3.00%, 6/20/2022 (a)		530		540

2.85%, 11/1/2022 (a)		266		273

1.50%, 6/15/2026 (a)		728		724

3.00%, 2/10/2027 (a)		1,345		1,426

2.38%, 10/15/2027 (a)		479		490

1.80%, 1/10/2028 (a)		308		306


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Automobiles — continued

Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (a)		600		642

4.35%, 9/17/2027 (a)		1,600		1,780

Volkswagen Group of America Finance LLC (Germany) 2.50%, 9/24/2021 (a)		345		345

1.63%, 11/24/2027 (a)		621		621


				9,518


Banks — 6.5%

AIB Group plc (Ireland) 4.75%, 10/12/2023 (a)		800		864

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a)		1,000		1,130

Banco Santander SA (Spain) 2.75%, 12/3/2030		600		603

Bank of America Corp. 3.30%, 1/11/2023		32		33

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)		2,487		2,597

4.00%, 1/22/2025		1,154		1,261

(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (c)		1,500		1,611

4.45%, 3/3/2026		556		627

(SOFR + 1.15%), 1.32%, 6/19/2026 (c)		21		21

Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c)		1,500		1,516

(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c)		1,500		1,671

(SOFR + 1.53%), 1.90%, 7/23/2031 (c)		4,000		3,919

Bank of Montreal (Canada) 2.35%, 9/11/2022		100		102

2.50%, 6/28/2024		500		526

(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028 (c)		800		856

Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a)		1,580		1,690

Bank of Nova Scotia (The) (Canada) 2.20%, 2/3/2025		600		627

Barclays plc (United Kingdom) 3.65%, 3/16/2025		1,255		1,360

(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (c)		500		539

BNP Paribas SA (France) 3.38%, 1/9/2025 (a)		800		858

(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (a) (c)		500		544

4.63%, 3/13/2027 (a)		1,000		1,133


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024		1,050		1,115

Capital One Bank USA NA 3.38%, 2/15/2023		660		688

Citigroup, Inc.

(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (c)		1,500		1,599

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (c) (d) (e)		198		204

(SOFR + 0.77%), 1.12%, 1/28/2027 (c)		2,200		2,180

(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c)		1,200		1,319

(SOFR + 1.15%), 2.67%, 1/29/2031 (c)		2,400		2,493

(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c)		2,000		2,323

Citizens Financial Group, Inc. 2.64%, 9/30/2032		500		508

Cooperatieve Rabobank UA (Netherlands) 3.88%, 2/8/2022		903		918

2.63%, 7/22/2024 (a)		400		421

Credit Agricole SA (France)

(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c)		1,500		1,535

(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c)		874		866

Discover Bank 2.45%, 9/12/2024		900		940

3.45%, 7/27/2026		447		488

HSBC Holdings plc (United Kingdom) 4.25%, 3/14/2024		800		863

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c)		1,800		1,903

(SOFR + 1.40%), 2.63%, 11/7/2025 (c)		1,000		1,047

(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c)		1,250		1,388

(SOFR + 1.73%), 2.01%, 9/22/2028 (c)		300		303

(SOFR + 2.39%), 2.85%, 6/4/2031 (c)		941		982

Huntington Bancshares, Inc. 2.55%, 2/4/2030		1,600		1,683

ING Groep NV (Netherlands) 3.95%, 3/29/2027		406		457

(SOFR + 1.01%), 1.73%, 4/1/2027 (c)		480		487

KeyBank NA 3.30%, 6/1/2025		800		873

Lloyds Banking Group plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c)		350		365

3.75%, 1/11/2027		1,269		1,407


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.00%, 2/22/2022		221		224

3.76%, 7/26/2023		864		918

2.19%, 2/25/2025		1,550		1,613

Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a)		1,000		1,089

Mizuho Financial Group, Inc. (Japan) 2.95%, 2/28/2022		580		588

2.60%, 9/11/2022		300		307

Natwest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c)		1,435		1,532

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c)		286		288

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c)		620		715

NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a)		377		377

Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (a)		591		615

PNC Financial Services Group, Inc. (The) 2.55%, 1/22/2030		1,050		1,103

Royal Bank of Canada (Canada) 4.65%, 1/27/2026		1,097		1,253

Santander UK Group Holdings plc (United Kingdom)

(SOFR + 0.79%), 1.09%, 3/15/2025 (c)		1,632		1,636

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c)		1,200		1,206

Societe Generale SA (France) 2.63%, 1/22/2025 (a)		1,200		1,252

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c)		480		477

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c)		937		939

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (a)		1,200		1,310

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c)		600		627

Sumitomo Mitsui Financial Group, Inc. (Japan) 2.70%, 7/16/2024		1,982		2,090

2.35%, 1/15/2025		800		835

Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.55%, 3/25/2026 (a)		515		522


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Svenska Handelsbanken AB (Sweden) 3.90%, 11/20/2023		442		477

Truist Bank

2.75%, 5/1/2023		1,500		1,559

UniCredit SpA (Italy)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c)		635		636

(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c)		600		669

US Bancorp

Series V, 2.63%, 1/24/2022		732		737

Wachovia Corp. 7.57%, 8/1/2026 (f)		700		900

Wells Fargo & Co.

(SOFR + 1.09%), 2.41%, 10/30/2025 (c)		2,700		2,822

4.30%, 7/22/2027		2,000		2,292

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c)		1,850		2,052

(SOFR + 2.10%), 2.39%, 6/2/2028 (c)		800		834

Westpac Banking Corp. (Australia) 2.50%, 6/28/2022		1,100		1,122

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c)		500		520


				89,579


Beverages — 0.9%

Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026		3,050		3,367

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		1,395		1,659

Coca-Cola Co. (The) 1.45%, 6/1/2027		382		390

Coca-Cola Europacific Partners plc (United Kingdom) 1.50%, 1/15/2027 (a)		1,400		1,399

Coca-Cola Femsa SAB de CV (Mexico) 2.75%, 1/22/2030		250		261

1.85%, 9/1/2032		401		385

Constellation Brands, Inc. 3.15%, 8/1/2029		400		432

2.88%, 5/1/2030		119		125

Diageo Investment Corp. (United Kingdom) 2.88%, 5/11/2022		1,000		1,018

Keurig Dr Pepper, Inc. 4.42%, 5/25/2025		745		834

4.60%, 5/25/2028		400		469

PepsiCo, Inc. 2.38%, 10/6/2026		200		214


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Beverages — continued

2.63%, 7/29/2029		1,400		1,506


				12,059


Biotechnology — 0.8%

AbbVie, Inc. 2.90%, 11/6/2022		500		515

3.85%, 6/15/2024		1,250		1,350

2.95%, 11/21/2026		3,978		4,287

4.25%, 11/14/2028		1,000		1,159

3.20%, 11/21/2029		475		519

Amgen, Inc. 2.20%, 2/21/2027		356		371

Baxalta, Inc. 3.60%, 6/23/2022		35		36

Biogen, Inc. 2.25%, 5/1/2030		594		603

Gilead Sciences, Inc. 3.70%, 4/1/2024		1,456		1,561

3.50%, 2/1/2025		35		38

1.65%, 10/1/2030		400		390

Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030		381		366


				11,195


Building Products — 0.0% (b)

CRH America Finance, Inc. (Ireland) 3.40%, 5/9/2027 (a)		222		244


Capital Markets — 2.7%

Ameriprise Financial, Inc. 3.70%, 10/15/2024		550		600

Bank of New York Mellon Corp. (The) 3.40%, 1/29/2028		1,500		1,674

Blackstone Holdings Finance Co. LLC 4.75%, 2/15/2023 (a)		470		499

Blackstone Secured Lending Fund 3.65%, 7/14/2023		550		574

Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026		850		958

Charles Schwab Corp. (The) 3.20%, 3/2/2027		250		275

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		2,320		2,514

Credit Suisse Group AG (Switzerland) 4.55%, 4/17/2026		500		567

(SOFR + 1.73%), 3.09%, 5/14/2032 (a) (c)		378		394

Deutsche Bank AG (Germany) 4.25%, 10/14/2021		600		603

3.95%, 2/27/2023		500		524

(SOFR + 2.16%), 2.22%, 9/18/2024 (c)		360		369

(SOFR + 1.72%), 3.04%, 5/28/2032 (c)		626		646


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

Goldman Sachs Group, Inc. (The) 4.00%, 3/3/2024		750		812

(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c)		403		431

4.25%, 10/21/2025		1,592		1,777

3.50%, 11/16/2026		1,750		1,905

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)		2,580		2,867

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c)		500		572

(SOFR + 1.09%), 1.99%, 1/27/2032 (c)		800		784

Invesco Finance plc

3.75%, 1/15/2026		436		482

Macquarie Bank Ltd. (Australia) 2.30%, 1/22/2025 (a)		1,000		1,046

Macquarie Group Ltd. (Australia)

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c)		200		239

Morgan Stanley

(SOFR + 1.99%), 2.19%, 4/28/2026 (c)		4,000		4,158

4.35%, 9/8/2026		2,880		3,272

(SOFR + 0.72%), 0.99%, 12/10/2026 (c)		4,000		3,952

(SOFR + 1.02%), 1.93%, 4/28/2032 (c)		750		733

Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030		453		462

State Street Corp. 3.10%, 5/15/2023		1,724		1,804

TD Ameritrade Holding Corp. 2.95%, 4/1/2022		219		222

UBS Group AG (Switzerland)

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (c)		700		716

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c)		449		485


				36,916


Chemicals — 0.3%

Ecolab, Inc. 3.25%, 1/14/2023		330		341

International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (a)		310		312

Linde, Inc. 2.20%, 8/15/2022		500		507

LYB International Finance III LLC 2.25%, 10/1/2030		1,000		1,017

Mosaic Co. (The) 3.25%, 11/15/2022		243		251

Nutrien Ltd. (Canada) 3.38%, 3/15/2025		168		181

2.95%, 5/13/2030		200		213

PPG Industries, Inc. 1.20%, 3/15/2026		457		457


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — continued

Sherwin-Williams Co. (The) 3.30%, 2/1/2025		225		240

Westlake Chemical Corp. 3.60%, 8/15/2026		1,150		1,270


				4,789


Commercial Services & Supplies — 0.0% (b)

Republic Services, Inc. 1.45%, 2/15/2031		254		242


Communications Equipment — 0.0% (b)

Cisco Systems, Inc. 2.95%, 2/28/2026		200		218


Construction & Engineering — 0.0% (b)

Quanta Services, Inc. 2.90%, 10/1/2030		175		184


Construction Materials — 0.1%

CRH America, Inc. (Ireland) 3.88%, 5/18/2025 (a)		250		274

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		260		285

3.50%, 12/15/2027		300		333


				892


Consumer Finance — 1.5%

AerCap Ireland Capital DAC (Ireland) 3.50%, 5/26/2022		400		408

3.30%, 1/23/2023		1,200		1,240

4.50%, 9/15/2023		234		250

2.88%, 8/14/2024		700		730

4.45%, 10/1/2025		800		878

3.65%, 7/21/2027		594		633

American Express Co. 2.50%, 7/30/2024		1,000		1,053

American Honda Finance Corp. 2.40%, 6/27/2024		800		839

2.00%, 3/24/2028		1,000		1,030

Avolon Holdings Funding Ltd. (Ireland) 3.95%, 7/1/2024 (a)		660		704

2.88%, 2/15/2025 (a)		1,400		1,444

5.50%, 1/15/2026 (a)		400		452

2.13%, 2/21/2026 (a)		880		878

4.25%, 4/15/2026 (a)		1,080		1,171

2.53%, 11/18/2027 (a)		3,603		3,577

Caterpillar Financial Services Corp. 2.85%, 6/1/2022		900		918

General Motors Financial Co., Inc. 2.35%, 1/8/2031		2,500		2,477

John Deere Capital Corp. 3.15%, 10/15/2021		650		652

2.70%, 1/6/2023		298		308

3.45%, 3/13/2025		500		548


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Consumer Finance — continued

Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (a)		392		430


				20,620


Containers & Packaging — 0.1%

Graphic Packaging International LLC 1.51%, 4/15/2026 (a)		513		513

International Paper Co. 3.80%, 1/15/2026		354		393

Packaging Corp. of America 3.00%, 12/15/2029		300		321

WRKCo, Inc. 3.00%, 9/15/2024		350		371

4.90%, 3/15/2029		150		180


				1,778


Diversified Financial Services — 1.1%

AIG Global Funding 2.30%, 7/1/2022 (a)		200		203

GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035		3,600		4,370

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (a)		490		506

LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a)		1,700		1,730

Mitsubishi HC Capital, Inc. (Japan) 3.96%, 9/19/2023 (a)		820		872

National Rural Utilities Cooperative Finance Corp. 3.40%, 2/7/2028		1,250		1,381

ORIX Corp. (Japan) 2.90%, 7/18/2022		277		283

Shell International Finance BV (Netherlands) 3.40%, 8/12/2023		150		159

3.25%, 5/11/2025		2,500		2,708

2.88%, 5/10/2026		788		851

3.88%, 11/13/2028		500		574

2.75%, 4/6/2030		500		535

Siemens Financieringsmaatschappij NV (Germany) 3.13%, 3/16/2024 (a)		400		426


				14,598


Diversified Telecommunication Services — 1.0%

AT&T, Inc. 1.65%, 2/1/2028		4,400		4,398

2.55%, 12/1/2033 (a)		1,627		1,635

NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (a)		1,100		1,134

Verizon Communications, Inc. 0.85%, 11/20/2025		1,800		1,787

2.63%, 8/15/2026		2,000		2,127

4.02%, 12/3/2029		533		613


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

1.68%, 10/30/2030		1,818		1,756

4.40%, 11/1/2034		350		421

2.99%, 10/30/2056		382		369


				14,240


Electric Utilities — 1.6%

Arizona Public Service Co. 3.35%, 6/15/2024		372		396

Baltimore Gas and Electric Co. 2.80%, 8/15/2022		1,595		1,622

Cleveland Electric Illuminating Co. (The) 3.50%, 4/1/2028 (a)		476		517

4.55%, 11/15/2030 (a)		290		342

Connecticut Light and Power Co. (The)

Series A, 3.20%, 3/15/2027		700		773

DTE Electric Co. 2.65%, 6/15/2022		197		199

3.65%, 3/15/2024		500		537

Duke Energy Carolinas LLC 3.95%, 11/15/2028		1,500		1,720

6.45%, 10/15/2032		50		69

Duke Energy Progress LLC 2.80%, 5/15/2022		461		466

Duquesne Light Holdings, Inc.

2.53%, 10/1/2030 (a)		421		419

2.78%, 1/7/2032 (a)		254		258

Edison International 3.55%, 11/15/2024		600		638

Enel Finance International NV (Italy) 3.63%, 5/25/2027 (a)		450		500

Entergy Arkansas LLC 3.05%, 6/1/2023		765		795

3.50%, 4/1/2026		260		286

Entergy Mississippi LLC 2.85%, 6/1/2028		269		288

Evergy, Inc. 2.90%, 9/15/2029		368		393

Fortis, Inc. (Canada) 3.06%, 10/4/2026		541		584

Indiana Michigan Power Co.

Series J, 3.20%, 3/15/2023		100		104

Interstate Power and Light Co. 4.10%, 9/26/2028		1,000		1,154

ITC Holdings Corp. 2.95%, 5/14/2030 (a)		251		267

Jersey Central Power & Light Co. 2.75%, 3/1/2032 (a)		288		299

Kentucky Utilities Co. 3.30%, 10/1/2025		200		217

Louisville Gas & Electric Co.

Series 25, 3.30%, 10/1/2025		94		102

NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030		150		153

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a)		938		1,006


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

NRG Energy, Inc. 2.45%, 12/2/2027 (a)		445		452

OGE Energy Corp. 0.70%, 5/26/2023		208		208

Ohio Power Co.

Series M, 5.38%, 10/1/2021		1,200		1,205

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		300		377

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (c)		893		894

4.55%, 7/1/2030		1,200		1,277

Pennsylvania Electric Co. 3.25%, 3/15/2028 (a)		256		273

PPL Electric Utilities Corp. 2.50%, 9/1/2022		224		228

Public Service Co. of New Hampshire 3.50%, 11/1/2023		283		299

SCE Recovery Funding LLC

Series A-2, 1.94%, 5/15/2038		285		281

Southern Co. (The) 3.25%, 7/1/2026		500		542

Virginia Electric and Power Co.

Series C, 2.75%, 3/15/2023		1,600		1,650


				21,790


Electrical Equipment — 0.2%

ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022		350		356

Eaton Corp. 3.10%, 9/15/2027		400		436

Rockwell Automation, Inc. 1.75%, 8/15/2031		1,400		1,389


				2,181


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc. 3.88%, 1/12/2028		926		1,019


Energy Equipment & Services — 0.1%

Baker Hughes a GE Co. LLC 3.34%, 12/15/2027		250		276

Halliburton Co. 3.80%, 11/15/2025		22		24

2.92%, 3/1/2030		150		156

Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a)		460		493


				949


Entertainment — 0.1%

Walt Disney Co. (The) 3.70%, 10/15/2025		1,000		1,105

7.43%, 10/1/2026		600		784


				1,889


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — 1.6%

Alexandria Real Estate Equities, Inc. 3.95%, 1/15/2027		285		321

3.38%, 8/15/2031		675		746

American Tower Corp. 3.50%, 1/31/2023		860		896

2.40%, 3/15/2025		400		418

1.50%, 1/31/2028		545		534

AvalonBay Communities, Inc. 3.35%, 5/15/2027		225		249

2.45%, 1/15/2031		900		937

Boston Properties LP 3.80%, 2/1/2024		909		968

Brixmor Operating Partnership LP 3.85%, 2/1/2025		375		407

2.25%, 4/1/2028		186		190

2.50%, 8/16/2031		450		452

Corporate Office Properties LP 2.00%, 1/15/2029		257		255

Crown Castle International Corp. 4.45%, 2/15/2026		1,200		1,351

Equinix, Inc. 2.90%, 11/18/2026		1,177		1,260

Essex Portfolio LP 1.65%, 1/15/2031		529		506

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)		163		178

Healthcare Trust of America Holdings LP 3.10%, 2/15/2030		269		288

2.00%, 3/15/2031		575		558

Life Storage LP 2.20%, 10/15/2030		550		551

Mid-America Apartments LP 1.70%, 2/15/2031		387		373

National Retail Properties, Inc.

3.60%, 12/15/2026		247		271

4.30%, 10/15/2028		550		627

Office Properties Income Trust 2.65%, 6/15/2026		218		222

2.40%, 2/1/2027		770		771

Realty Income Corp. 3.88%, 7/15/2024		400		433

Regency Centers LP 2.95%, 9/15/2029		566		601

Safehold Operating Partnership LP 2.80%, 6/15/2031		1,058		1,069

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)		400		429

Simon Property Group LP 2.00%, 9/13/2024		1,200		1,243

2.45%, 9/13/2029		520		537

SITE Centers Corp. 3.63%, 2/1/2025		100		106


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — continued

UDR, Inc. 2.95%, 9/1/2026		106		114

3.50%, 7/1/2027		323		357

3.20%, 1/15/2030		260		282

2.10%, 8/1/2032		306		299

2.10%, 6/15/2033		400		387

Ventas Realty LP 3.75%, 5/1/2024		470		503

3.50%, 2/1/2025		90		97

4.13%, 1/15/2026		45		50

3.25%, 10/15/2026		113		122

Welltower, Inc. 4.50%, 1/15/2024		900		972

WP Carey, Inc. 2.40%, 2/1/2031		285		286

2.25%, 4/1/2033		1,400		1,368


				22,584


Food & Staples Retailing — 0.4%

7-Eleven, Inc. 1.30%, 2/10/2028 (a)		1,120		1,088

Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (a)		600		630

Kroger Co. (The) 4.50%, 1/15/2029		950		1,126

5.40%, 7/15/2040		92		123

Sysco Corp. 3.25%, 7/15/2027		600		653

Walmart, Inc. 3.30%, 4/22/2024		200		214

3.70%, 6/26/2028		1,000		1,141


				4,975


Food Products — 0.4%

Archer-Daniels-Midland Co. 3.25%, 3/27/2030		561		625

Bunge Ltd. Finance Corp. 1.63%, 8/17/2025		900		914

Campbell Soup Co. 3.95%, 3/15/2025		300		329

2.38%, 4/24/2030		576		586

Cargill, Inc.

2.13%, 4/23/2030 (a)		400		410

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		89		100

Mondelez International, Inc. 1.88%, 10/15/2032		1,200		1,169

Smithfield Foods, Inc. 5.20%, 4/1/2029 (a)		556		649

Tyson Foods, Inc. 3.90%, 9/28/2023		500		534

Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025		200		217


				5,533


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Gas Utilities — 0.1%

Atmos Energy Corp. 2.63%, 9/15/2029		600		633

ONE Gas, Inc. 2.00%, 5/15/2030		248		247


				880


Health Care Equipment & Supplies — 0.5%

Abbott Laboratories 3.88%, 9/15/2025		1,284		1,430

3.75%, 11/30/2026		650		735

Becton Dickinson and Co. 3.36%, 6/6/2024		46		49

3.70%, 6/6/2027		1,500		1,673

Boston Scientific Corp. 3.75%, 3/1/2026		316		350

4.00%, 3/1/2029		189		216

Medtronic, Inc. 3.50%, 3/15/2025		1,307		1,427

Zimmer Biomet Holdings, Inc. 3.70%, 3/19/2023		174		182

3.55%, 4/1/2025		530		573


				6,635


Health Care Providers & Services — 1.1%

Anthem, Inc. 3.30%, 1/15/2023		700		728

3.65%, 12/1/2027		1,000		1,119

Cigna Corp. 3.50%, 6/15/2024		400		428

4.38%, 10/15/2028		1,000		1,167

CommonSpirit Health 3.35%, 10/1/2029		733		795

2.78%, 10/1/2030		600		628

CVS Health Corp. 3.70%, 3/9/2023		137		143

1.88%, 2/28/2031		2,198		2,154

2.70%, 8/21/2040		750		737

HCA, Inc. 4.13%, 6/15/2029		1,750		1,980

2.38%, 7/15/2031		800		799

Laboratory Corp. of America Holdings 3.25%, 9/1/2024		1,000		1,066

Quest Diagnostics, Inc. 2.95%, 6/30/2030		93		100

2.80%, 6/30/2031		691		733

UnitedHealth Group, Inc.

3.38%, 11/15/2021		187		187

2.75%, 2/15/2023		365		376

2.88%, 3/15/2023		645		671


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Providers & Services — 1.1%

Universal Health Services, Inc. 2.65%, 10/15/2030 (a)		466		475

2.65%, 1/15/2032 (a)		365		367


				14,653


Hotels, Restaurants & Leisure — 0.3%

Expedia Group, Inc. 3.25%, 2/15/2030		1,400		1,452

McDonald’s Corp. 3.38%, 5/26/2025		1,250		1,352

3.80%, 4/1/2028		440		498

Starbucks Corp. 2.70%, 6/15/2022		326		331

2.25%, 3/12/2030		850		868


				4,501


Household Durables — 0.1%

Lennar Corp. 5.25%, 6/1/2026		1,100		1,271


Independent Power and Renewable Electricity Producers — 0.0% (b)

Exelon Generation Co. LLC 3.40%, 3/15/2022		90		91

4.25%, 6/15/2022		90		92


				183


Industrial Conglomerates — 0.1%

Roper Technologies, Inc. 3.80%, 12/15/2026		1,000		1,120


Insurance — 1.4%

AIA Group Ltd. (Hong Kong) 3.60%, 4/9/2029 (a)		595		662

3.38%, 4/7/2030 (a)		200		221

Allstate Corp. (The) 3.15%, 6/15/2023		651		684

American International Group, Inc. 3.75%, 7/10/2025		818		897

3.90%, 4/1/2026		400		445

Assurant, Inc. 4.20%, 9/27/2023		145		155

Athene Global Funding 2.75%, 6/25/2024 (a)		550		580

Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a)		528		532

Chubb INA Holdings, Inc. 2.70%, 3/13/2023		1,900		1,969

CNA Financial Corp. 3.95%, 5/15/2024		499		539

4.50%, 3/1/2026		364		412

Guardian Life Global Funding 2.50%, 5/8/2022 (a)		500		508

3.40%, 4/25/2023 (a)		230		241

0.88%, 12/10/2025 (a)		800		795


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Insurance — continued

Jackson National Life Global Funding 3.05%, 4/29/2026 (a)		1,135		1,225

Liberty Mutual Group, Inc. 4.25%, 6/15/2023 (a)		210		223

4.57%, 2/1/2029 (a)		1,640		1,927

Lincoln National Corp. 4.20%, 3/15/2022		864		882

Manulife Financial Corp. (Canada) 4.15%, 3/4/2026		449		507

Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024		700		755

Metropolitan Life Global Funding I 3.88%, 4/11/2022 (a)		426		436

3.00%, 1/10/2023 (a)		1,600		1,657

New York Life Global Funding 2.35%, 7/14/2026 (a)		953		1,003

Principal Financial Group, Inc. 3.13%, 5/15/2023		471		491

3.70%, 5/15/2029		800		904

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)		650		812


				19,462


Interactive Media & Services — 0.1%

Alphabet, Inc. 1.10%, 8/15/2030		2,000		1,899


Internet & Direct Marketing Retail — 0.2%

Amazon.com, Inc. 3.15%, 8/22/2027		900		996

3.88%, 8/22/2037		350		418

eBay, Inc. 2.60%, 5/10/2031		1,250		1,288


				2,702


IT Services — 0.2%

DXC Technology Co. 4.25%, 4/15/2024		151		163

Global Payments, Inc. 3.20%, 8/15/2029		600		644

International Business Machines Corp. 3.50%, 5/15/2029		1,800		2,016


				2,823


Leisure Products — 0.1%

Hasbro, Inc. 3.90%, 11/19/2029		850		949


Life Sciences Tools & Services — 0.1%

Thermo Fisher Scientific, Inc. 3.20%, 8/15/2027		1,250		1,373


Machinery — 0.2%

Illinois Tool Works, Inc. 3.50%, 3/1/2024		1,400		1,494

Parker-Hannifin Corp. 3.30%, 11/21/2024		228		244


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Machinery — continued

Stanley Black & Decker, Inc. 3.40%, 3/1/2026		900		990

Xylem, Inc. 3.25%, 11/1/2026		111		122


				2,850


Media — 0.9%

Charter Communications Operating LLC 4.91%, 7/23/2025		2,460		2,783

Comcast Corp. 3.70%, 4/15/2024		1,500		1,620

3.38%, 2/15/2025		1,226		1,327

3.15%, 3/1/2026		221		240

4.15%, 10/15/2028		1,050		1,218

Cox Communications, Inc. 3.50%, 8/15/2027 (a)		615		678

1.80%, 10/1/2030 (a)		450		435

Discovery Communications LLC 3.95%, 3/20/2028		900		1,005

Fox Corp. 4.71%, 1/25/2029		910		1,071

Grupo Televisa SAB (Mexico) 4.63%, 1/30/2026		285		317

Time Warner Entertainment Co. LP 8.38%, 7/15/2033		500		745

ViacomCBS, Inc. 3.70%, 8/15/2024		480		517

2.90%, 1/15/2027		539		575


				12,531


Metals & Mining — 0.3%

Anglo American Capital plc (South Africa) 4.50%, 3/15/2028 (a)		1,000		1,140

Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (a)		500		499

2.85%, 4/27/2031 (a)		1,700		1,740

Nucor Corp. 4.00%, 8/1/2023		305		323

Steel Dynamics, Inc. 1.65%, 10/15/2027		374		374

3.45%, 4/15/2030		28		31

Teck Resources Ltd. (Canada) 3.90%, 7/15/2030		400		436


				4,543


Multiline Retail — 0.2%

Dollar General Corp. 3.50%, 4/3/2030		1,750		1,949

Kohl’s Corp. 3.38%, 5/1/2031		1,100		1,154


				3,103


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multi-Utilities — 0.3%

CenterPoint Energy, Inc. 1.45%, 6/1/2026		288		290

CMS Energy Corp. 2.95%, 2/15/2027		170		181

Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028		690		783

Dominion Energy, Inc.

Series B, 2.75%, 9/15/2022		350		356

NiSource, Inc. 3.95%, 3/30/2048		100		116

Public Service Enterprise Group, Inc. 1.60%, 8/15/2030		817		782

Puget Energy, Inc. 2.38%, 6/15/2028 (a)		234		237

Sempra Energy 4.05%, 12/1/2023		192		205

WEC Energy Group, Inc. 1.38%, 10/15/2027		800		791


				3,741


Oil, Gas & Consumable Fuels — 3.6%

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a)		922		1,053

BP Capital Markets America, Inc. 3.22%, 11/28/2023		750		792

3.22%, 4/14/2024		3,067		3,260

4.23%, 11/6/2028		500		578

Cameron LNG LLC 2.90%, 7/15/2031 (a)		146		157

Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025		750		852

5.13%, 6/30/2027		900		1,047

Chevron Corp. 1.55%, 5/11/2025		300		308

2.95%, 5/16/2026		1,200		1,301

Chevron USA, Inc. 3.85%, 1/15/2028		350		397

3.25%, 10/15/2029		600		666

Cimarex Energy Co. 3.90%, 5/15/2027		700		773

CNOOC Finance 2014 ULC (China) 4.25%, 4/30/2024		833		902

ConocoPhillips 3.75%, 10/1/2027 (a)		600		674

2.40%, 2/15/2031 (a)		125		129

Diamondback Energy, Inc. 3.25%, 12/1/2026		1,300		1,393

Ecopetrol SA (Colombia) 4.13%, 1/16/2025		467		488

5.38%, 6/26/2026		773		850

Energy Transfer LP 3.60%, 2/1/2023		267		276

4.90%, 2/1/2024		570		617

4.05%, 3/15/2025		182		197

2.90%, 5/15/2025		2,700		2,834


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

5.95%, 12/1/2025		506		591

5.50%, 6/1/2027		244		288

Eni SpA (Italy)

Series X-R, 4.00%, 9/12/2023 (a)		1,145		1,218

Enterprise Products Operating LLC 3.35%, 3/15/2023		225		233

3.90%, 2/15/2024		263		282

3.70%, 2/15/2026		651		719

3.95%, 2/15/2027		596		667

Equinor ASA (Norway) 2.88%, 4/6/2025		1,179		1,259

Exxon Mobil Corp. 2.71%, 3/6/2025		1,200		1,277

Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a)		1,632		1,670

Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a)		312		321

3.45%, 10/15/2027 (a)		400		425

HollyFrontier Corp. 2.63%, 10/1/2023		95		98

5.88%, 4/1/2026		500		574

Kinder Morgan, Inc. 3.15%, 1/15/2023		1,500		1,553

Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (a)		730		736

Marathon Petroleum Corp. 3.63%, 9/15/2024		964		1,036

MPLX LP 3.38%, 3/15/2023		200		208

4.13%, 3/1/2027		518		581

4.25%, 12/1/2027		118		134

2.65%, 8/15/2030		514		522

NGPL PipeCo LLC 3.25%, 7/15/2031 (a)		271		280

ONEOK Partners LP 3.38%, 10/1/2022		600		614

ONEOK, Inc. 3.40%, 9/1/2029		1,000		1,074

Ovintiv Exploration, Inc. 5.38%, 1/1/2026		480		543

Phillips 66 1.30%, 2/15/2026		178		178

2.15%, 12/15/2030		700		690

Pioneer Natural Resources Co. 1.13%, 1/15/2026		700		693

1.90%, 8/15/2030		600		579

Plains All American Pipeline LP 3.65%, 6/1/2022		705		716

4.65%, 10/15/2025		800		891

3.55%, 12/15/2029		100		106

Sabine Pass Liquefaction LLC 4.50%, 5/15/2030		250		290

Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (a)		210		212


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Suncor Energy, Inc. (Canada) 3.60%, 12/1/2024		1,350		1,455

5.95%, 12/1/2034		300		399

TC PipeLines LP 3.90%, 5/25/2027		141		157

Texas Eastern Transmission LP 2.80%, 10/15/2022 (a)		1,153		1,175

TotalEnergies Capital Canada Ltd. (France) 2.75%, 7/15/2023		821		858

TotalEnergies Capital International SA (France) 2.70%, 1/25/2023		200		207

3.75%, 4/10/2024		600		649

TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023		2,345		2,483

Valero Energy Corp. 2.85%, 4/15/2025		1,200		1,266

Williams Cos., Inc. (The) 2.60%, 3/15/2031		500		510


				49,961


Pharmaceuticals — 1.1%

AstraZeneca plc (United Kingdom) 0.70%, 4/8/2026		400		393

1.38%, 8/6/2030		616		593

Bristol-Myers Squibb Co. 3.25%, 8/15/2022		600		617

2.90%, 7/26/2024		638		680

3.40%, 7/26/2029		3,061		3,442

Eli Lilly & Co. 3.38%, 3/15/2029		600		676

Merck & Co., Inc. 3.40%, 3/7/2029		750		843

Mylan, Inc. 3.13%, 1/15/2023 (a)		600		620

Pfizer, Inc. 3.20%, 9/15/2023		3,200		3,378

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026		700		760

Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030		1,800		1,795

Zoetis, Inc. 3.00%, 9/12/2027		900		978


				14,775


Professional Services — 0.0% (b)

IHS Markit Ltd. 4.25%, 5/1/2029		346		400


Real Estate Management & Development — 0.0% (b)

Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (a)		219		243

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a)		325		362


				605


Road & Rail — 0.9%

Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022		1,146		1,164


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Road & Rail — continued

CSX Corp. 3.25%, 6/1/2027		1,068		1,170

4.25%, 3/15/2029		500		581

ERAC USA Finance LLC 3.85%, 11/15/2024 (a)		650		706

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		400		446

Norfolk Southern Corp. 2.90%, 2/15/2023		562		579

3.85%, 1/15/2024		750		801

2.90%, 6/15/2026		200		216

Penske Truck Leasing Co. LP 4.20%, 4/1/2027 (a)		1,250		1,413

Ryder System, Inc. 4.63%, 6/1/2025		800		899

Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (a)		1,550		1,564

Union Pacific Corp. 3.75%, 3/15/2024		800		857

3.25%, 1/15/2025		850		912

2.40%, 2/5/2030		600		622


				11,930


Semiconductors & Semiconductor Equipment — 0.7%

Analog Devices, Inc. 3.13%, 12/5/2023		122		129

3.50%, 12/5/2026		150		166

Broadcom, Inc. 4.11%, 9/15/2028		2,687		3,011

Intel Corp. 2.45%, 11/15/2029		1,400		1,477

Marvell Technology, Inc. 2.45%, 4/15/2028 (a)		650		669

Microchip Technology, Inc. 0.97%, 2/15/2024 (a)		834		835

0.98%, 9/1/2024 (a)		600		600

NXP BV (China) 2.50%, 5/11/2031 (a)		1,250		1,291

QUALCOMM, Inc. 3.25%, 5/20/2027		913		1,008

Xilinx, Inc. 2.38%, 6/1/2030		600		616


				9,802


Software — 0.6%

Citrix Systems, Inc. 1.25%, 3/1/2026		302		299

Intuit, Inc. 1.65%, 7/15/2030		1,100		1,095

Microsoft Corp. 3.13%, 11/3/2025		1,800		1,962

2.40%, 8/8/2026		1,200		1,282

Oracle Corp. 2.50%, 5/15/2022		540		546


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Software — continued

2.88%, 3/25/2031		2,350		2,476

6.50%, 4/15/2038		50		71


				7,731


Specialty Retail — 0.4%

AutoZone, Inc. 4.00%, 4/15/2030		823		943

Home Depot, Inc. (The) 3.75%, 2/15/2024		486		521

2.95%, 6/15/2029		1,500		1,643

Lowe’s Cos., Inc. 3.13%, 9/15/2024		1,004		1,074

3.65%, 4/5/2029		638		716

O’Reilly Automotive, Inc. 3.55%, 3/15/2026		300		331

3.60%, 9/1/2027		463		520


				5,748


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc. 2.75%, 1/13/2025		1,700		1,809

3.20%, 5/13/2025		1,154		1,253

2.45%, 8/4/2026		300		320

2.38%, 2/8/2041		900		883

Dell International LLC 4.90%, 10/1/2026		600		694

5.30%, 10/1/2029		1,000		1,218


				6,177


Thrifts & Mortgage Finance — 0.1%

BPCE SA (France)

(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)		694		685

Nationwide Building Society (United Kingdom)

1.00%, 8/28/2025 (a)		963		958


				1,643


Tobacco — 0.3%

Altria Group, Inc. 2.45%, 2/4/2032		1,068		1,044

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		1,000		1,061

2.26%, 3/25/2028		1,062		1,067

Philip Morris International, Inc. 3.38%, 8/11/2025		850		925


				4,097


Trading Companies & Distributors — 0.4%

Air Lease Corp. 3.88%, 7/3/2023		400		422

3.00%, 9/15/2023		1,400		1,459


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Trading Companies & Distributors — continued

1.88%, 8/17/2026		624		626

3.63%, 4/1/2027		1,000		1,081

Aircastle Ltd. 4.40%, 9/25/2023		550		587

Aviation Capital Group LLC 5.50%, 12/15/2024 (a)		860		969

BOC Aviation Ltd. (Singapore) 2.38%, 9/15/2021 (a)		500		501

3.50%, 10/10/2024 (a)		400		425


				6,070


Water Utilities — 0.1%

American Water Capital Corp. 3.40%, 3/1/2025		664		719


Wireless Telecommunication Services — 0.3%

America Movil SAB de CV (Mexico) 3.13%, 7/16/2022		693		707

Rogers Communications, Inc. (Canada) 3.63%, 12/15/2025		808		887

T-Mobile USA, Inc. 2.05%, 2/15/2028		275		280

3.88%, 4/15/2030		1,400		1,569

2.25%, 11/15/2031		1,000		995


				4,438


Total Corporate Bonds (Cost $488,623)				508,454

U.S. Treasury Obligations — 24.0%

U.S. Treasury Inflation Indexed Notes 0.13%, 1/15/2022		23,138		28,106

0.13%, 4/15/2022 (g)		80,279		91,181

US Treasury Inflation Indexed Notes 0.63%, 4/15/2023		185,088		212,655


Total U.S. Treasury Obligations (Cost $330,877)				331,942

Commercial Mortgage-Backed Securities — 10.6%

20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (h)		1,162		1,193

BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a)		1,400		1,483

FHLMC, Multi-Family Structured Pass-Through Certificates Series KJ08, Class A2, 2.36%, 8/25/2022		169		171

Series KJ13, Class A2, 2.86%, 8/25/2022		428		436

Series KJ18, Class A2, 3.07%, 8/25/2022		647		657


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series KF12, Class A, 0.79%, 9/25/2022 (h)		15		15

Series KJ09, Class A2, 2.84%, 9/25/2022		135		137

Series KSMC, Class A2, 2.62%, 1/25/2023		6,000		6,188

Series K027, Class A2, 2.64%, 1/25/2023		800		821

Series KJ11, Class A2, 2.93%, 1/25/2023		753		775

Series K029, Class A2, 3.32%, 2/25/2023 (h)		2,045		2,123

Series K034, Class A2, 3.53%, 7/25/2023 (h)		5,000		5,262

Series K036, Class A2, 3.53%, 10/25/2023 (h)		3,000		3,178

Series K038, Class A2, 3.39%, 3/25/2024		4,768		5,088

Series K727, Class AM, 3.04%, 7/25/2024		1,400		1,480

Series K039, Class A2, 3.30%, 7/25/2024		2,550		2,733

Series J22F, Class A2, 4.09%, 9/25/2024		242		260

Series K729, Class A2, 3.14%, 10/25/2024		1,219		1,303

Series K041, Class A2, 3.17%, 10/25/2024		7,000		7,523

Series K046, Class A2, 3.21%, 3/25/2025		2,503		2,711

Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (h)		2,000		2,164

Series KPLB, Class A, 2.77%, 5/25/2025		1,750		1,878

Series K048, Class A2, 3.28%, 6/25/2025 (h)		3,480		3,787

Series K049, Class A2, 3.01%, 7/25/2025		2,469		2,668

Series KLU2, Class A7, 2.23%, 9/25/2025 (h)		550		577

Series K056, Class A2, 2.53%, 5/25/2026		4,000		4,276

Series K058, Class A1, 2.34%, 7/25/2026		1,560		1,634

Series K737, Class AM, 2.10%, 10/25/2026		3,110		3,261

Series K060, Class A2, 3.30%, 10/25/2026		2,000		2,221

Series K066, Class A2, 3.12%, 6/25/2027		1,362		1,508

Series K067, Class A2, 3.19%, 7/25/2027		1,686		1,877

Series K069, Class A2, 3.19%, 9/25/2027 (h)		3,500		3,903

Series K070, Class A2, 3.30%, 11/25/2027 (h)		910		1,022

Series K072, Class A2, 3.44%, 12/25/2027		473		536

Series K081, Class A1, 3.88%, 2/25/2028		1,122		1,251

Series K078, Class A2, 3.85%, 6/25/2028		1,541		1,790

Series K079, Class A2, 3.93%, 6/25/2028		3,600		4,206

Series K083, Class A2, 4.05%, 9/25/2028 (h)		594		700

FNMA ACES

Series 2013-M7, Class A2, 2.28%, 12/27/2022		1,331		1,358

Series 2013-M9, Class A2, 2.39%, 1/25/2023 (h)		3,419		3,489


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2013-M13, Class A2, 2.63%, 4/25/2023 (h)		1,110		1,139

Series 2014-M1, Class A2, 3.19%, 7/25/2023 (h)		1,792		1,872

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (h)		4,716		4,999

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (h)		1,666		1,766

Series 2014-M8, Class A2, 3.06%, 6/25/2024 (h)		5,151		5,437

Series 2014-M9, Class A2, 3.10%, 7/25/2024 (h)		4,135		4,387

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (h)		1,512		1,606

Series 2016-M6, Class A2, 2.49%, 5/25/2026		800		853

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h)		1,385		1,523

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h)		1,500		1,647

Series 2017-M12, Class A2, 3.18%, 6/25/2027 (h)		3,809		4,218

Series 2017-M13, Class A2, 3.02%, 9/25/2027 (h)		418		459

Series 2018-M2, Class A2, 3.00%, 1/25/2028 (h)		3,400		3,714

Series 2018-M4, Class A2, 3.15%, 3/25/2028 (h)		2,323		2,572

Series 2018-M9, Class APT2, 3.22%, 4/25/2028 (h)		3,523		3,927

Series 2018-M14, Class A2, 3.70%, 8/25/2028 (h)		400		458

Series 2017-M5, Class A2, 3.23%, 4/25/2029 (h)		3,302		3,703

Series 2018-M3, Class A2, 3.19%, 2/25/2030 (h)		1,384		1,555

Series 2018-M13, Class A1, 3.82%, 3/25/2030 (h)		610		692

Series 2020-M50, Class A1, 0.67%, 10/25/2030		1,163		1,146

Series 2020-M50, Class A2, 1.20%, 10/25/2030		415		413

Series 2020-M50, Class X1, IO, 2.02%, 10/25/2030 (h)		6,873		748

Series 2021-M11, Class A2, 1.51%, 3/25/2031 (h)		1,517		1,509

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		74		74


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-M3, Class X1, IO, 2.12%, 11/25/2033 (h)		388		53

FREMF Mortgage Trust

Series 2015-K44, Class B, 3.81%, 1/25/2048 (a) (h)		1,500		1,615

Series 2016-K722, Class B, 3.99%, 7/25/2049 (a) (h)		735		770

ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 1.37%, 12/12/2049 ‡ (a) (h)		14		—	(i)

MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a)		300		313

SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a)		1,770		1,862

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		866		871

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		1,486		1,535

Series 2012-C2, Class A4, 3.53%, 5/10/2063		1,040		1,057

WFRBS Commercial Mortgage Trust Series 2012-C6, Class A4, 3.44%, 4/15/2045		387		388


Total Commercial Mortgage-backed Securities (Cost $138,305)				146,524

Mortgage-Backed Securities — 10.2%

FHLMC Gold Pools, 15 Year Pool # G13603, 5.50%, 2/1/2024		1		1

FHLMC Gold Pools, 20 Year

Pool # C91030, 5.50%, 5/1/2027		46		52

Pool # C91802, 3.50%, 1/1/2035		3,129		3,386

FHLMC Gold Pools, 30 Year

Pool # A15232, 5.00%, 10/1/2033		122		138

Pool # A57681, 6.00%, 12/1/2036		1		1

Pool # G06493, 4.50%, 5/1/2041		609		683

FHLMC Gold Pools, Other Pool # U90690, 3.50%, 6/1/2042		643		695

FHLMC UMBS, 30 Year Pool # ZM6956, 4.50%, 6/1/2048		1,332		1,474

FNMA Pool # AM2292, ARM, 0.44%, 1/1/2023 (h)		742		741

FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024		1		1

FNMA UMBS, 20 Year

Pool # MA1138, 3.50%, 8/1/2032		522		559

Pool # AP9584, 3.00%, 10/1/2032		2,521		2,690


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

FNMA UMBS, 30 Year

Pool # AL0045, 6.00%, 12/1/2032		220		260

Pool # 735503, 6.00%, 4/1/2035		57		66

Pool # 888460, 6.50%, 10/1/2036		348		409

Pool # 888890, 6.50%, 10/1/2037		8		10

Pool # 949320, 7.00%, 10/1/2037		42		46

Pool # 995149, 6.50%, 10/1/2038		19		23

Pool # 994410, 7.00%, 11/1/2038		152		185

Pool # AD9151, 5.00%, 8/1/2040		288		326

Pool # AE0681, 4.50%, 12/1/2040		710		796

Pool # BM3500, 4.00%, 9/1/2047		1,438		1,587

Pool # BM3499, 4.00%, 12/1/2047		1,677		1,821

Pool # BE8354, 4.00%, 3/1/2048		968		1,041

FNMA, Other

Pool # 469873, 3.03%, 12/1/2021		1,127		1,127

Pool # AL2044, 3.42%, 5/1/2022 (h)		92		92

Pool # 471513, 2.90%, 6/1/2022		973		981

Pool # 471881, 2.67%, 7/1/2022		2,000		2,019

Pool # 471828, 2.65%, 8/1/2022		2,000		2,022

Pool # AM1804, 2.19%, 12/1/2022		816		827

Pool # AM1619, 2.34%, 12/1/2022		2,109		2,142

Pool # AM2285, 2.41%, 1/1/2023		3,335		3,396

Pool # AL3594, 2.70%, 4/1/2023 (h)		1,526		1,566

Pool # AM3301, 2.35%, 5/1/2023		2,099		2,148

Pool # AM3244, 2.52%, 5/1/2023		3,000		3,078

Pool # AM3432, 2.40%, 7/1/2023		2,882		2,960

Pool # AM4628, 3.69%, 11/1/2023		1,106		1,166

Pool # AM4716, 3.38%, 12/1/2023		1,408		1,480

Pool # AM7290, 2.97%, 12/1/2024		388		415

Pool # AM8674, 2.81%, 4/1/2025		2,200		2,350

Pool # AM8846, 2.68%, 5/1/2025		1,859		1,976

Pool # AN0029, 3.10%, 9/1/2025		2,388		2,591

Pool # AN1413, 2.49%, 5/1/2026		817		870

Pool # AN1497, 2.61%, 6/1/2026		860		922

Pool # AN1243, 2.64%, 6/1/2026		1,600		1,717

Pool # AN1247, 2.64%, 6/1/2026		1,576		1,691

Pool # AN3076, 2.46%, 10/1/2026		1,700		1,813

Pool # AN6732, 2.83%, 5/1/2027		1,200		1,304

Pool # AN7338, 3.06%, 11/1/2027		988		1,091

Pool # AN7943, 3.10%, 1/1/2028		2,476		2,744

Pool # AN1161, 3.05%, 4/1/2028		974		1,025

Pool # AN9486, 3.57%, 6/1/2028		3,716		4,240

Pool # AN2069, 2.35%, 8/1/2028		1,440		1,538

Pool # BL0907, 3.88%, 12/1/2028		700		815

Pool # BM4162, 3.20%, 10/1/2029 (h)		475		532


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BL4333, 2.52%, 11/1/2029		1,185		1,278

Pool # MA1125, 4.00%, 7/1/2042		888		969

Pool # MA1437, 3.50%, 5/1/2043		1,184		1,283

Pool # MA1463, 3.50%, 6/1/2043		1,093		1,185

Pool # BF0230, 5.50%, 1/1/2058		4,481		5,360

Pool # BF0497, 3.00%, 7/1/2060		2,461		2,619

FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 10/25/2036 (j)		2,840		2,934

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 10/25/2051 (j)		41,555		43,078

GNMA II, 30 Year

Pool # 4245, 6.00%, 9/20/2038		93		107

Pool # BA7567, 4.50%, 5/20/2048		1,147		1,226

Pool # BI0416, 4.50%, 11/20/2048		127		137

Pool # BM9692, 4.50%, 7/20/2049		634		681

Pool # MA7534, 2.50%, 8/20/2051		10,295		10,687


Total Mortgage-Backed Securities (Cost $137,322)				141,173

Asset-Backed Securities — 8.6%

ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a)		58		58

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (a)		412		422

Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)		181		184

Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a)		1,966		1,977

Ally Auto Receivables Trust Series 2019-1, Class A3, 2.91%, 9/15/2023		202		204

American Airlines Pass-Through Trust

Series 2016-3, Class AA, 3.00%, 10/15/2028		163		164

Series 2017-1, Class AA, 3.65%, 2/15/2029		220		229

American Credit Acceptance Receivables Trust

Series 2019-4, Class B, 2.43%, 10/12/2023 (a)		3		3

Series 2020-3, Class A, 0.62%, 10/13/2023 (a)		161		161

Series 2020-4, Class A, 0.53%, 3/13/2024 (a)		1,485		1,487

Series 2021-1, Class A, 0.35%, 5/13/2024 (a)		476		476

American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024		1,120		1,136


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Asset-Backed Securities — continued

American Tower Trust #1 REIT, 3.07%, 3/15/2023 (a)		500			502

AmeriCredit Automobile Receivables Trust

Series 2018-3, Class A3, 3.38%, 7/18/2023		551			554

Series 2019-1, Class A3, 2.97%, 11/20/2023		126			127

Series 2019-2, Class A3, 2.28%, 1/18/2024		876			880

Series 2020-1, Class A3, 1.11%, 8/19/2024		784			787

Series 2020-2, Class A3, 0.66%, 12/18/2024		166			167

Series 2021-1, Class A3, 0.37%, 8/18/2025		1,100			1,101

Series 2020-3, Class B, 0.76%, 12/18/2025		740			743

Series 2021-2, Class B, 0.69%, 1/19/2027		704			704

Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (a)		710			743

BA Credit Card Trust

Series 2019-A1, Class A1, 1.74%, 1/15/2025		1,600			1,625

Series 2020-A1, Class A1, 0.34%, 5/15/2026		930			928

Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		387			395

CarMax Auto Owner Trust

Series 2018-1, Class A3, 2.48%, 11/15/2022		—	(i)		—	(i)

Series 2018-2, Class A3, 2.98%, 1/17/2023		602			604

Series 2018-3, Class A3, 3.13%, 6/15/2023		499			503

Series 2018-4, Class A3, 3.36%, 9/15/2023		116			117

Series 2019-1, Class A3, 3.05%, 3/15/2024		403			408

Series 2020-1, Class A3, 1.89%, 12/16/2024		692			702

Series 2020-3, Class A3, 0.62%, 3/17/2025		665			668

Series 2021-1, Class A3, 0.34%, 12/15/2025		2,520			2,518

Carvana Auto Receivables Trust Series 2019-2A, Class C, 3.00%, 6/17/2024 (a)		1,100			1,118

CNH Equipment Trust Series 2017-C, Class A3, 2.08%, 2/15/2023		3			3


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022		144		146

CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (a)		233		244

CPS Auto Receivables Trust

Series 2021-A, Class A, 0.35%, 1/16/2024 (a)		159		160

Series 2021-B, Class B, 0.81%, 12/15/2025 (a)		1,248		1,248

Credit Acceptance Auto Loan Trust

Series 2019-3A, Class A, 2.38%, 11/15/2028 (a)		265		269

Series 2020-1A, Class A, 2.01%, 2/15/2029 (a)		1,575		1,599

Series 2020-2A, Class A, 1.37%, 7/16/2029 (a)		3,500		3,537

Series 2020-3A, Class A, 1.24%, 10/15/2029 (a)		2,000		2,021

Series 2021-2A, Class A, 0.96%, 2/15/2030 (a)		1,396		1,402

Series 2021-3A, Class A, 1.00%, 5/15/2030 (a)		695		698

Dell Equipment Finance Trust Series 2019-1, Class A3, 2.83%, 3/22/2024 (a)		319		320

Drive Auto Receivables Trust

Series 2020-1, Class A3, 2.02%, 11/15/2023		11		11

Series 2021-1, Class A3, 0.44%, 11/15/2024		564		565

Series 2020-2, Class B, 1.42%, 3/17/2025		160		161

DT Auto Owner Trust

Series 2020-3A, Class B, 0.91%, 12/16/2024 (a)		535		538

Series 2019-2A, Class C, 3.18%, 2/18/2025 (a)		615		622

Series 2021-1A, Class B, 0.62%, 9/15/2025 (a)		272		273

Series 2021-3A, Class C, 0.87%, 5/17/2027 (a)		1,292		1,291

Exeter Automobile Receivables Trust

Series 2020-3A, Class B, 0.79%, 9/16/2024		370		371

Series 2021-1A, Class B, 0.50%, 2/18/2025		1,082		1,083

Series 2021-2A, Class B, 0.57%, 9/15/2025		719		720

Series 2021-3A, Class B, 0.69%, 1/15/2026		594		595


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Fifth Third Auto Trust Series 2019-1, Class A4, 2.69%, 11/16/2026		355		364

First Investors Auto Owner Trust

Series 2019-1A, Class A, 2.89%, 3/15/2024 (a)		35		35

Series 2021-1A, Class A, 0.45%, 3/16/2026 (a)		376		376

FirstKey Homes Trust

Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a)		379		380

Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (a)		2,900		2,903

Flagship Credit Auto Trust

Series 2019-2, Class A, 2.83%, 10/16/2023 (a)		415		416

Series 2020-4, Class A, 0.53%, 4/15/2025 (a)		1,950		1,954

Series 2019-2, Class B, 2.92%, 4/15/2025 (a)		650		659

Series 2019-4, Class C, 2.77%, 12/15/2025 (a)		310		320

Series 2021-3, Class A, 0.36%, 7/15/2027 (a)		2,100		2,100

Ford Credit Auto Lease Trust

Series 2020-A, Class A3, 1.85%, 3/15/2023		474		476

Series 2020-B, Class A4, 0.69%, 10/15/2023		456		459

Series 2021-A, Class A3, 0.26%, 2/15/2024		921		921

Ford Credit Auto Owner Trust Series 2018-B, Class A4, 3.38%, 3/15/2024		340		348

FREED ABS Trust

Series 2020-FP1, Class A, 2.52%, 3/18/2027 (a)		85		85

Series 2021-2, Class A, 0.68%, 6/19/2028 (a)		298		298

FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a)		2,118		2,118

GLS Auto Receivables Issuer Trust Series 2020-4A, Class A, 0.52%, 2/15/2024 (a)		299		299

GLS Auto Receivables Trust Series 2021-2A, Class B, 0.77%, 9/15/2025 (a)		408		409

GM Financial Automobile Leasing Trust

Series 2019-3, Class A3, 2.03%, 6/20/2022		79		79

Series 2020-3, Class A3, 0.45%, 8/21/2023		640		641


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-3, Class A3, 0.39%, 10/21/2024		1,137		1,138

GM Financial Consumer Automobile Receivables Trust

Series 2018-2, Class A3, 2.81%, 12/16/2022		112		112

Series 2018-3, Class A3, 3.02%, 5/16/2023		1,355		1,364

Series 2020-1, Class A3, 1.84%, 9/16/2024		3,455		3,490

Series 2021-1, Class A3, 0.35%, 10/16/2025		468		469

Series 2021-1, Class A4, 0.54%, 5/17/2027		2,800		2,794

GM Financial Leasing Trust Series 2021-1, Class A4, 0.33%, 2/20/2025		1,000		1,001

Harley-Davidson Motorcycle Trust Series 2019-A, Class A3, 2.34%, 2/15/2024		403		406

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)		202		214

Honda Auto Receivables Owner Trust

Series 2018-3, Class A3, 2.95%, 8/22/2022		434		435

Series 2019-4, Class A3, 1.83%, 1/18/2024		489		494

Hyundai Auto Lease Securitization Trust

Series 2020-B, Class A3, 0.51%, 9/15/2023 (a)		1,185		1,189

Series 2021-A, Class A3, 0.33%, 1/16/2024 (a)		461		461

Hyundai Auto Receivables Trust Series 2018-B, Class A3, 3.20%, 12/15/2022		109		109

John Deere Owner Trust Series 2018-B, Class A3, 3.08%, 11/15/2022		94		94

Mercedes-Benz Auto Lease Trust

Series 2019-B, Class A3, 2.00%, 10/17/2022		47		47

Series 2020-A, Class A3, 1.84%, 12/15/2022		611		614

Series 2021-A, Class A3, 0.25%, 1/16/2024		753		754

MVW LLC Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a)		303		303

Nissan Auto Lease Trust

Series 2019-B, Class A3, 2.27%, 7/15/2022		75		75

Series 2020-B, Class A3, 0.43%, 10/16/2023		755		756

Series 2019-A, Class A4, 2.78%, 7/15/2024		3		3


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Nissan Auto Receivables Owner Trust

Series 2018-C, Class A3, 3.22%, 6/15/2023		359		362

Series 2017-C, Class A4, 2.28%, 2/15/2024		265		266

Octane Receivables Trust Series 2020-1A, Class A, 1.71%, 2/20/2025 (a)		1,422		1,434

OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (a)		289		290

Progress Residential Trust

Series 2020-SFR3, Class B, 1.50%, 10/17/2027 ‡ (a)		785		783

Series 2021-SFR8, Class E1, 2.38%, 9/17/2038 (a)		1,144		1,145

Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (a)		510		510

Santander Drive Auto Receivables Trust

Series 2020-2, Class A3, 0.67%, 4/15/2024		193		193

Series 2020-3, Class B, 0.69%, 3/17/2025		635		637

Series 2021-1, Class B, 0.50%, 4/15/2025		1,825		1,827

Series 2021-3, Class B, 0.60%, 12/15/2025		1,426		1,429

Series 2020-4, Class C, 1.01%, 1/15/2026		465		469

Series 2021-2, Class C, 0.90%, 6/15/2026		956		960

Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022 (a)		367		368

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		124		127

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		2,600		2,603

Tesla Auto Lease Trust Series 2019-A, Class A3, 2.16%, 10/20/2022 (a)		370		374

Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (a)		2,700		2,701

Toyota Auto Receivables Owner Trust

Series 2020-A, Class A2, 1.67%, 11/15/2022		705		706

Series 2020-A, Class A3, 1.66%, 5/15/2024		350		354

Series 2021-A, Class A3, 0.26%, 5/15/2025		1,651		1,651

Series 2020-C, Class A4, 0.57%, 10/15/2025		532		534

United Airlines Pass-Through Trust

Series 2016-1, Class AA, 3.10%, 7/7/2028		1,105		1,158

Series 2016-2, Class AA, 2.88%, 10/7/2028		1,141		1,165


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2018-1, Class AA, 3.50%, 3/1/2030		704		734

Series 2018-1, Class A, 3.70%, 3/1/2030		1,202		1,238

United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (a)		270		270

US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (a)		1,472		1,473

US Auto Funding LLC

Series 2019-1A, Class B, 3.99%, 12/15/2022 (a)		241		242

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		188		189

Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024		471		472

VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (f)		704		705

VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (f)		1,081		1,083

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (f)		1,001		1,005

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (f)		1,380		1,382

VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (f)		786		788

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (f)		1,460		1,461

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (f)		1,725		1,727

Westlake Automobile Receivables Trust

Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (a)		456		457

Series 2020-3A, Class B, 0.78%, 11/17/2025 (a)		815		819

World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025		1,564		1,566

World Omni Auto Receivables Trust

Series 2020-A, Class A3, 1.70%, 1/17/2023		1,955		1,980

Series 2017-B, Class A3, 1.95%, 2/15/2023		23		23

Series 2018-C, Class A3, 3.13%, 11/15/2023		2,198		2,219

Series 2019-B, Class A3, 2.59%, 7/15/2024		512		518

Series 2021-A, Class A3, 0.30%, 1/15/2026		1,548		1,548

Series 2021-C, Class A3, 0.44%, 8/17/2026		747		746


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Asset-Backed Securities — continued

World Omni Automobile Lease Securitization Trust

Series 2021-A, Class A3, 0.42%, 8/15/2024		912			913

Series 2020-B, Class A4, 0.52%, 2/17/2026		480			480

World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025		540			541


Total Asset-Backed Securities (Cost $118,227)					118,859

Collateralized Mortgage Obligations — 6.2%

CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019		—	(i)		—	(i)

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class 3A4, 5.25%, 9/25/2033		8			8

Series 2004-HYB4, Class WA, 2.44%, 12/25/2034 ‡ (h)		20			21

CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033		11			11

FHLMC, REMIC

Series 2626, Class JC, 5.00%, 6/15/2023		138			141

Series 2649, Class WB, 3.50%, 7/15/2023		88			88

Series 1578, Class K, 6.90%, 9/15/2023		4			4

Series 2685, Class DT, 5.00%, 10/15/2023		134			138

Series 2687, Class JH, 5.00%, 10/15/2023		33			34

Series 2701, Class AC, 5.00%, 11/15/2023		235			244

Series 3521, Class B, 4.00%, 4/15/2024		172			177

Series 3544, Class BC, 4.00%, 6/15/2024		16			16

Series 3546, Class NB, 4.00%, 6/15/2024		744			769

Series 3562, Class JC, 4.00%, 8/15/2024		375			388

Series 3563, Class BD, 4.00%, 8/15/2024		239			247

Series 3571, Class MY, 4.00%, 9/15/2024		86			89

Series 3575, Class EB, 4.00%, 9/15/2024		253			262

Series 3577, Class B, 4.00%, 9/15/2024		420			435

Series 3578, Class KB, 4.00%, 9/15/2024		59			61

Series 2989, Class TG, 5.00%, 6/15/2025		276			291

Series 2988, Class TY, 5.50%, 6/15/2025		12			13

Series 3816, Class HA, 3.50%, 11/15/2025		1,152			1,212

Series 3087, Class KX, 5.50%, 12/15/2025		33			35

Series 3787, Class AY, 3.50%, 1/15/2026		409			430

Series 3794, Class LB, 3.50%, 1/15/2026		347			365

Series 3102, Class CE, 5.50%, 1/15/2026		404			428

Series 3123, Class HT, 5.00%, 3/15/2026		46			48

Series 3121, Class JD, 5.50%, 3/15/2026		15			16


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3150, Class EQ, 5.00%, 5/15/2026		147		156

Series 3898, Class KH, 3.50%, 6/15/2026		540		567

Series 3885, Class AC, 4.00%, 6/15/2026		289		300

Series 3911, Class B, 3.50%, 8/15/2026		524		553

Series 3959, Class PB, 3.00%, 11/15/2026		2,500		2,635

Series 4337, Class VJ, 3.50%, 6/15/2027		1,497		1,555

Series 3337, Class MD, 5.50%, 6/15/2027		29		32

Series 2110, Class PG, 6.00%, 1/15/2029		73		82

Series 3563, Class LB, 4.00%, 8/15/2029		14		15

Series 3653, Class B, 4.50%, 4/15/2030		98		107

Series 3824, Class EY, 3.50%, 3/15/2031		255		275

Series 2525, Class AM, 4.50%, 4/15/2032		494		551

Series 2441, Class GF, 6.50%, 4/15/2032		16		19

Series 2436, Class MC, 7.00%, 4/15/2032		10		12

Series 2760, Class KT, 4.50%, 9/15/2032		64		71

Series 2505, Class D, 5.50%, 9/15/2032		84		96

Series 2544, Class KE, 5.50%, 12/15/2032		43		50

Series 2557, Class HL, 5.30%, 1/15/2033		122		140

Series 2575, Class PE, 5.50%, 2/15/2033		34		39

Series 2586, Class WG, 4.00%, 3/15/2033		152		168

Series 2596, Class QD, 4.00%, 3/15/2033		125		137

Series 2621, Class QH, 5.00%, 5/15/2033		141		158

Series 2649, Class PJ, 3.50%, 6/15/2033		3		3

Series 2624, Class QH, 5.00%, 6/15/2033		173		198

Series 2648, Class BK, 5.00%, 7/15/2033		14		16

Series 4238, Class UY, 3.00%, 8/15/2033		3,567		3,823

Series 2673, Class PE, 5.50%, 9/15/2033		306		351

Series 2696, Class DG, 5.50%, 10/15/2033		252		277

Series 2725, Class TA, 4.50%, 12/15/2033		284		327

Series 2733, Class ME, 5.00%, 1/15/2034		242		273

Series 2768, Class PK, 5.00%, 3/15/2034		199		226

Series 3659, Class VG, 5.00%, 9/15/2034		71		72

Series 2934, Class KG, 5.00%, 2/15/2035		183		210

Series 3077, Class TO, PO, 4/15/2035		10		10

Series 2960, Class JH, 5.50%, 4/15/2035		534		614

Series 3082, Class PW, 5.50%, 12/15/2035		37		42

Series 3084, Class BH, 5.50%, 12/15/2035		825		953

Series 3098, Class KG, 5.50%, 1/15/2036		799		920

Series 3136, Class CO, PO, 4/15/2036		21		20

Series 3145, Class AJ, 5.50%, 4/15/2036		28		32

Series 3819, Class ZQ, 6.00%, 4/15/2036		555		655

Series 3200, PO, 8/15/2036		54		51

Series 3270, Class AT, 5.50%, 1/15/2037		20		22

Series 3272, Class PA, 6.00%, 2/15/2037		6		7

Series 3348, Class HT, 6.00%, 7/15/2037		49		58


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4085, Class FB, 0.50%, 1/15/2039 (h)		29		29

Series 3501, Class A, 4.50%, 1/15/2039		164		180

Series 3508, Class PK, 4.00%, 2/15/2039		3		4

Series 3513, Class A, 4.50%, 2/15/2039		14		15

Series 4219, Class JA, 3.50%, 8/15/2039		165		166

Series 3653, Class HJ, 5.00%, 4/15/2040		635		725

Series 3677, Class KB, 4.50%, 5/15/2040		1,068		1,193

Series 3677, Class PB, 4.50%, 5/15/2040		588		644

Series 3715, Class PC, 4.50%, 8/15/2040		167		188

Series 3955, Class HB, 3.00%, 12/15/2040		126		132

Series 3828, Class PU, 4.50%, 3/15/2041		64		68

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h)		223		242

Series 3956, Class EB, 3.25%, 11/15/2041		1,119		1,218

Series 3963, Class JB, 4.50%, 11/15/2041		1,507		1,686

Series 4026, Class MQ, 4.00%, 4/15/2042		63		68

Series 4616, Class HP, 3.00%, 9/15/2046		1,589		1,676

Series 3688, Class GT, 7.44%, 11/15/2046 (h)		31		36

FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042		668		726

FNMA, REMIC

Series 2003-5, Class EQ, 5.50%, 2/25/2023		11		11

Series 2003-48, Class TC, 5.00%, 6/25/2023		16		16

Series 2003-55, Class HY, 5.00%, 6/25/2023		14		14

Series 2008-70, Class BY, 4.00%, 8/25/2023		2		2

Series 2006-22, Class CE, 4.50%, 8/25/2023		48		49

Series 2004-44, Class KT, 6.00%, 6/25/2024		43		44

Series 2004-53, Class NC, 5.50%, 7/25/2024		22		22

Series 2009-71, Class MB, 4.50%, 9/25/2024		11		12

Series 2004-70, Class EB, 5.00%, 10/25/2024		45		46

Series 2010-49, Class KB, 4.00%, 5/25/2025		313		323

Series 2010-41, Class DC, 4.50%, 5/25/2025		88		91

Series 1997-57, Class PN, 5.00%, 9/18/2027		90		97


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-39, Class LB, 4.50%, 6/25/2029		73		79

Series 2009-96, Class DB, 4.00%, 11/25/2029		95		103

Series 2010-28, Class DE, 5.00%, 4/25/2030		232		258

Series 2001-63, Class TC, 6.00%, 12/25/2031		47		54

Series 2001-81, Class HE, 6.50%, 1/25/2032		123		145

Series 2002-75, Class GB, 5.50%, 11/25/2032		62		65

Series 2011-39, Class ZA, 6.00%, 11/25/2032		489		565

Series 2002-85, Class PE, 5.50%, 12/25/2032		39		45

Series 2003-21, Class OU, 5.50%, 3/25/2033		28		32

Series 2003-26, Class EB, 3.50%, 4/25/2033		800		864

Series 2003-23, Class CH, 5.00%, 4/25/2033		33		37

Series 2003-63, Class YB, 5.00%, 7/25/2033		110		125

Series 2003-69, Class N, 5.00%, 7/25/2033		193		221

Series 2003-80, Class QG, 5.00%, 8/25/2033		250		279

Series 2003-85, Class QD, 5.50%, 9/25/2033		111		128

Series 2003-94, Class CE, 5.00%, 10/25/2033		24		26

Series 2005-5, Class CK, 5.00%, 1/25/2035		190		206

Series 2005-29, Class WC, 4.75%, 4/25/2035		340		371

Series 2005-48, Class TD, 5.50%, 6/25/2035		244		281

Series 2005-53, Class MJ, 5.50%, 6/25/2035		266		308

Series 2005-62, Class CP, 4.75%, 7/25/2035		7		7

Series 2005-58, Class EP, 5.50%, 7/25/2035		22		25

Series 2005-68, Class BE, 5.25%, 8/25/2035		250		285

Series 2005-68, Class PG, 5.50%, 8/25/2035		106		121

Series 2005-102, Class PG, 5.00%, 11/25/2035		349		402


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-110, Class GL, 5.50%, 12/25/2035		426		486

Series 2006-49, Class PA, 6.00%, 6/25/2036		46		54

Series 2009-19, Class PW, 4.50%, 10/25/2036		273		305

Series 2006-114, Class HE, 5.50%, 12/25/2036		319		370

Series 2007-33, Class HE, 5.50%, 4/25/2037		24		27

Series 2007-71, Class KP, 5.50%, 7/25/2037		35		38

Series 2007-71, Class GB, 6.00%, 7/25/2037		180		211

Series 2007-65, Class KI, IF, IO, 6.54%, 7/25/2037 (h)		6		1

Series 2009-86, Class OT, PO, 10/25/2037		35		32

Series 2010-9, Class MD, 5.00%, 2/25/2038		33		33

Series 2008-72, Class BX, 5.50%, 8/25/2038		16		19

Series 2008-74, Class B, 5.50%, 9/25/2038		7		7

Series 2009-62, Class HJ, 6.00%, 5/25/2039		138		145

Series 2009-37, Class KI, IF, IO, 5.92%, 6/25/2039 (h)		8		1

Series 2009-86, Class IP, IO, 5.50%, 10/25/2039		11		2

Series 2009-92, Class AD, 6.00%, 11/25/2039		589		643

Series 2009-112, Class ST, IF, IO, 6.17%, 1/25/2040 (h)		81		15

Series 2010-22, Class PE, 5.00%, 3/25/2040		1,776		2,015

Series 2010-37, Class CY, 5.00%, 4/25/2040		1,013		1,149

Series 2010-35, Class SB, IF, IO, 6.34%, 4/25/2040 (h)		38		6

Series 2010-54, Class EA, 4.50%, 6/25/2040		37		41

Series 2010-64, Class DM, 5.00%, 6/25/2040		6		6

Series 2010-71, Class HJ, 5.50%, 7/25/2040		113		130

Series 2010-123, Class BP, 4.50%, 11/25/2040		2,530		2,827

Series 2011-5, Class CP, 4.50%, 11/25/2040		54		56


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2011-41, Class KL, 4.00%, 5/25/2041		1,006		1,123

Series 2011-50, Class LP, 4.00%, 6/25/2041		500		556

Series 2012-137, Class CF, 0.38%, 8/25/2041 (h)		258		258

Series 2012-103, Class DA, 3.50%, 10/25/2041		61		62

Series 2012-14, Class DE, 3.50%, 3/25/2042		852		930

Series 2012-139, Class JA, 3.50%, 12/25/2042		423		463

Series 2013-104, Class CY, 5.00%, 10/25/2043		2,250		2,761

Series 2019-65, Class PA, 2.50%, 5/25/2048		364		377

Series 2009-96, Class CB, 4.00%, 11/25/2049		24		26

Series 2019-7, Class CA, 3.50%, 11/25/2057		4,048		4,314

FNMA, STRIPS

Series 293, Class 1, PO, 12/25/2024		8		8

Series 314, Class 1, PO, 7/25/2031		35		33

GNMA

Series 2003-10, Class KJ, 5.50%, 2/20/2033		55		58

Series 2003-29, Class PD, 5.50%, 4/16/2033		209		225

Series 2003-33, Class NE, 5.50%, 4/16/2033		119		124

Series 2003-65, Class AP, 5.50%, 8/20/2033		74		83

Series 2003-77, Class TK, 5.00%, 9/16/2033		274		287

Series 2004-16, Class GC, 5.50%, 2/20/2034		772		861

Series 2004-54, Class BG, 5.50%, 7/20/2034		17		19

Series 2004-93, Class PD, 5.00%, 11/16/2034		476		519

Series 2004-101, Class BE, 5.00%, 11/20/2034		389		432

Series 2005-11, Class PL, 5.00%, 2/20/2035		182		204

Series 2005-26, Class XY, 5.50%, 3/20/2035		710		802

Series 2005-33, Class AY, 5.50%, 4/16/2035		181		201


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-49, Class B, 5.50%, 6/20/2035		62		70

Series 2005-51, Class DC, 5.00%, 7/20/2035		149		165

Series 2005-56, Class BD, 5.00%, 7/20/2035		23		26

Series 2006-7, Class ND, 5.50%, 8/20/2035		23		26

Series 2007-37, Class LB, 5.50%, 6/16/2037		180		204

Series 2007-79, Class BL, 5.75%, 8/20/2037		123		136

Series 2008-7, Class PQ, 5.00%, 2/20/2038		365		395

Series 2008-9, Class PW, 5.25%, 2/20/2038		389		430

Series 2009-106, Class ST, IF, IO, 5.91%, 2/20/2038 (h)		119		19

Series 2008-23, Class YA, 5.25%, 3/20/2038		91		101

Series 2008-35, Class NF, 5.00%, 4/20/2038		93		103

Series 2008-34, Class PG, 5.25%, 4/20/2038		110		120

Series 2008-33, Class PB, 5.50%, 4/20/2038		325		365

Series 2008-38, Class BG, 5.00%, 5/16/2038		520		576

Series 2008-43, Class NB, 5.50%, 5/20/2038		155		172

Series 2008-56, Class PX, 5.50%, 6/20/2038		304		328

Series 2008-58, Class PE, 5.50%, 7/16/2038		847		957

Series 2008-62, Class SA, IF, IO, 6.06%, 7/20/2038 (h)		2		—	(i)

Series 2008-76, Class US, IF, IO, 5.81%, 9/20/2038 (h)		68		11

Series 2011-97, Class WA, 6.12%, 11/20/2038 (h)		759		885

Series 2008-95, Class DS, IF, IO, 7.21%, 12/20/2038 (h)		63		9

Series 2009-14, Class AG, 4.50%, 3/20/2039		109		118

Series 2009-72, Class SM, IF, IO, 6.15%, 8/16/2039 (h)		151		22

Series 2009-61, Class AP, 4.00%, 8/20/2039		13		14


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2010-130, Class BD, 4.00%, 12/20/2039		277		298

Series 2010-157, Class OP, PO, 12/20/2040		108		103

Series 2014-H11, Class VA, 0.60%, 6/20/2064 (h)		1,279		1,286

Series 2015-H20, Class FA, 0.57%, 8/20/2065 (h)		1,826		1,835

Series 2015-H26, Class FG, 0.62%, 10/20/2065 (h)		1,309		1,316

GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034		62		65

JPMorgan Mortgage Trust

Series 2006-A2, Class 5A3, 2.43%, 11/25/2033 (h)		167		169

Series 2007-A1, Class 5A5, 2.54%, 7/25/2035 (h)		36		37

MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 2.66%, 4/21/2034 (h)		46		46

MASTR Asset Securitization Trust Series 2003-11, Class 8A1, 5.50%, 12/25/2033		26		26

Merrill Lynch Mortgage Investors Trust

Series 2003-F, Class A1, 0.72%, 10/25/2028 (h)		68		69

Series 2004-B, Class A1, 0.58%, 5/25/2029(h)		125		124

Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (h)		28		29

PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038		7		8

Seasoned Credit Risk Transfer Trust

Series 2018-1, Class M60C, 3.50%, 5/25/2057		2,035		2,170

Series 2017-4, Class M60C, 3.50%, 6/25/2057		1,887		2,020

Series 2018-2, Class M55D, 4.00%, 11/25/2057		2,046		2,227

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		485		534

Series 2020-1, Class M55G, 3.00%, 8/25/2059		4,542		4,826

Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028		566		597

Sequoia Mortgage Trust Series 2004-11, Class A1, 0.69%, 12/20/2034 (h)		220		226

Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 0.79%, 1/19/2034 (h)		109		109


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 1.92%, 12/25/2044 (h)		130		130

Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033		446		504

WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 2.80%, 10/25/2033 (h)		79		80


Total Collateralized Mortgage Obligations (Cost $81,620)				85,035

U.S. Government Agency Securities — 1.1%

FNMA 0.50%, 6/17/2025 (Cost $15,029)		15,000		14,961

Foreign Government Securities — 0.4%

Republic of Colombia (Colombia) 3.00%, 1/30/2030		500		489

7.38%, 9/18/2037		300		388

Republic of Panama (Panama) 4.00%, 9/22/2024		347		375

3.16%, 1/23/2030		400		423

United Mexican States (Mexico) 4.00%, 10/2/2023		296		318


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


3.60%, 1/30/2025		1,076		1,180

4.13%, 1/21/2026		332		376

2.66%, 5/24/2031		1,646		1,628


Total Foreign Government Securities (Cost $4,951)				5,177


	SHARES (000)
Short-Term Investments — 5.2%

Investment Companies — 5.2%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (k) (l) (Cost $72,477)		72,460		72,497

Total Investments — 103.1% (Cost $1,387,431)				1,424,622
Liabilities in Excess of Other Assets — (3.1)%				(42,649	)

NET ASSETS — 100.0%				1,381,973

Percentages indicated are based on net assets.


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
LIBOR		London Interbank Offered Rate


PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Amount rounds to less than 0.1% of net assets.
(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(d)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — 37.0%

ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (a)		2,743		2,746

ACC Trust Series 2021-1, Class A, 0.74%, 11/20/2023 (a)		3,167		3,167

Accredited Mortgage Loan Trust Series 2003-3, Class A1, 5.21%, 1/25/2034 ‡ (b)		602		629

American Credit Acceptance Receivables Trust

Series 2020-2, Class A, 1.65%, 12/13/2023 (a)		484		484

Series 2020-1, Class B, 2.08%, 12/13/2023 (a)		1,846		1,849

Series 2021-2, Class B, 0.68%, 5/13/2025 (a)		5,000		5,004

American Express Credit Account Master Trust

Series 2019-1, Class A, 2.87%, 10/15/2024		4,265		4,328

Series 2018-5, Class A, 0.44%, 12/15/2025 (c)		10,000		10,046

AmeriCredit Automobile Receivables Trust

Series 2019-2, Class A3, 2.28%, 1/18/2024		4,261		4,284

Series 2020-1, Class A3, 1.11%, 8/19/2024		2,696		2,706

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-7, Class M1, 1.36%, 8/25/2033 ‡ (c)		101		101

Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 1.73%, 12/25/2032 ‡ (c)		1,468		1,479

AMRESCO Residential Securities Corp. Mortgage Loan Trust Series 1998-3, Class M1A, 0.71%, 9/25/2028 ‡ (c)		39		39

AMSR Trust

Series 2021-SFR2, Class A, 1.53%, 8/17/2026 (a)		4,000		4,009

Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a)		7,104		7,112

Amur Equipment Finance Receivables VIII LLC Series 2020-1A, Class A2, 1.68%, 8/20/2025 (a)		3,048		3,072

Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a)		926		927

Avis Budget Rental Car Funding AESOP LLC

Series 2019-1A, Class A, 3.45%, 3/20/2023 (a)		1,429		1,444

Series 2019-3A, Class A, 2.36%, 3/20/2026 (a)		10,490		10,957

BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026		3,400		3,394


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Ballyrock CLO Ltd. (Cayman Islands) Series 2019-1A, Class A1R, 1.16%, 7/15/2032 (a) (c)		6,415		6,413

Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 1.33%, 1/25/2035 ‡ (c)		713		716

Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 0.98%, 12/25/2033 ‡ (c)		504		498

BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a)		2,224		2,333

Business Jet Securities LLC

Series 2019-1, Class A, 4.21%, 7/15/2034 (a)		4,426		4,558

Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		2,767		2,822

Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)		2,652		2,670

BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a)		1,765		1,874

CarMax Auto Owner Trust

Series 2020-3, Class A3, 0.62%, 3/17/2025		3,095		3,108

Series 2020-4, Class A3, 0.50%, 8/15/2025		2,710		2,718

CarNow Auto Receivables Trust Series 2020-1A, Class A, 1.76%, 2/15/2023 (a)		940		942

Carvana Auto Receivables Trust

Series 2019-3A, Class B, 2.51%, 4/15/2024 (a)		2,855		2,874

Series 2020-P1, Class A3, 0.44%, 6/9/2025		3,015		3,022

Series 2020-P1, Class A4, 0.61%, 10/8/2026		2,220		2,214

Centex Home Equity Loan Trust Series 2002-A, Class MV1, 0.93%, 1/25/2032 ‡ (c)		89		92

CF Hippolyta LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a)		2,434		2,480

CIG Auto Receivables Trust Series 2019-1A, Class A, 3.33%, 8/15/2024 (a)		54		54

Citibank Credit Card Issuance Trust Series 2017-A7, Class A7, 0.47%, 8/8/2024 (c)		5,000		5,017

CNH Equipment Trust Series 2019-C, Class A3, 2.01%, 12/16/2024		3,944		4,004

CoreVest American Finance Trust

Series 2019-1, Class A, 3.32%, 3/15/2052 (a)		3,018		3,167

Series 2020-2, Class A, 3.38%, 5/15/2052 (a)		1,857		2,002


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2020-4, Class A, 1.17%, 12/15/2052 (a)		5,293		5,267

Countrywide Asset-Backed Certificates

Series 2003-BC2, Class 2A1, 0.69%, 6/25/2033 ‡ (c)		287		281

Series 2003-BC5, Class M1, 1.13%, 9/25/2033 ‡ (c)		60		63

Series 2004-S1, Class M2, 5.58%, 2/25/2035 ‡ (b)		21		21

CPS Auto Receivables Trust

Series 2020-B, Class A, 1.15%, 7/17/2023 (a)		95		95

Series 2020-A, Class B, 2.36%, 2/15/2024 (a)		1,691		1,698

Series 2020-C, Class A, 0.63%, 3/15/2024 (a)		875		876

Series 2020-C, Class B, 1.01%, 1/15/2025 (a)		1,410		1,415

Series 2021-A, Class B, 0.61%, 2/18/2025 (a)		1,750		1,752

Credit Acceptance Auto Loan Trust

Series 2020-2A, Class A, 1.37%, 7/16/2029 (a)		10,010		10,117

Series 2020-3A, Class A, 1.24%, 10/15/2029 (a)		10,905		11,019

Series 2021-2A, Class A, 0.96%, 2/15/2030 (a)		5,580		5,605

Diamond Resorts Owner Trust

Series 2018-1, Class A, 3.70%, 1/21/2031 (a)		659		684

Series 2019-1A, Class A, 2.89%, 2/20/2032 (a)		3,695		3,805

Series 2021-1A, Class A, 1.51%, 11/21/2033 (a)		1,442		1,450

Discover Card Execution Note Trust Series 2019-A1, Class A1, 3.04%, 7/15/2024		3,160		3,194

Drive Auto Receivables Trust Series 2019-4, Class B, 2.23%, 1/16/2024		692		693

DT Auto Owner Trust

Series 2020-2A, Class A, 1.14%, 1/16/2024 (a)		1,145		1,148

Series 2020-3A, Class B, 0.91%, 12/16/2024 (a)		2,500		2,513

Series 2021-2A, Class A, 0.41%, 3/17/2025 (a)		4,015		4,018

Series 2021-3A, Class A, 0.33%, 4/15/2025 (a)		5,760		5,760

Series 2021-1A, Class C, 0.84%, 10/15/2026 (a)		1,300		1,302


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Elmwood CLO V Ltd. (Cayman Islands) Series 2020-2A, Class AR, 1.27%, 10/20/2034 (a) (c)		7,500		7,498

Exeter Automobile Receivables Trust

Series 2020-2A, Class A, 1.13%, 8/15/2023 (a)		113		113

Series 2019-4A, Class B, 2.30%, 12/15/2023 (a)		1,091		1,093

Series 2020-3A, Class B, 0.79%, 9/16/2024		2,865		2,873

Series 2019-1A, Class C, 3.82%, 12/16/2024 (a)		726		730

Series 2021-2A, Class B, 0.57%, 9/15/2025		3,255		3,259

First Franklin Mortgage Loan Trust

Series 2002-FF1, Class M1, 1.13%, 4/25/2032 ‡ (c)		80		80

Series 2002-FF4, Class M1, 1.66%, 2/25/2033 ‡ (c)		578		501

Series 2003-FFH1, Class M2, 2.71%, 9/25/2033 ‡ (c)		239		245

Series 2004-FF8, Class M4, 1.69%, 10/25/2034 ‡ (c)		201		212

First Investors Auto Owner Trust

Series 2020-1A, Class A, 1.49%, 1/15/2025 (a)		1,362		1,367

Series 2021-1A, Class A, 0.45%, 3/16/2026 (a)		2,677		2,679

FirstKey Homes Trust

Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (a)		12,690		12,716

Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a)		7,000		7,023

Flagship Credit Auto Trust

Series 2019-2, Class A, 2.83%, 10/16/2023 (a)		368		369

Series 2020-4, Class A, 0.53%, 4/15/2025 (a)		2,989		2,995

FREED ABS Trust

Series 2020-FP1, Class A, 2.52%, 3/18/2027 (a)		513		515

Series 2021-1CP, Class A, 0.66%, 3/20/2028 (a)		658		658

Fremont Home Loan Trust Series 2005-C, Class M2, 0.82%, 7/25/2035 ‡ (c)		1,775		1,768

Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 1.10%, 10/15/2030 (a) (c)		1,974		1,975


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

GM Financial Consumer Automobile Receivables Trust Series 2019-1, Class A3, 2.97%, 11/16/2023		1,043		1,053

Goodgreen (Cayman Islands)

Series 2018-1A, Class A, 3.93%, 10/15/2053 (a) (c)		3,051		3,243

Series 2019-1A, Class A, 3.86%, 10/15/2054 (a)		2,277		2,419

Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 (a)		1,892		1,984

GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 0.28%, 9/15/2030 ‡ (c)		15		15

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)		1,392		1,472

Hilton Grand Vacations Trust

Series 2018-AA, Class A, 3.54%, 2/25/2032 (a)		835		878

Series 2020-AA, Class A, 2.74%, 2/25/2039 (a)		1,660		1,733

Hyundai Auto Lease Securitization Trust Series 2021-A, Class B, 0.61%, 10/15/2025 (a)		1,475		1,478

Series 2021-B, Class B, 0.62%, 3/16/2026 (a)		4,635		4,631

Lakeview CDO LLC 1.85%, 11/10/2032 ‡ (c)		444		444

LCM Ltd. (Cayman Islands) Series 29A, Class AR, 1.20%, 4/15/2031 (a) (c)		5,000		4,995

Lehman Home Equity Loan Trust Series 1998-1, Class A1, 7.00%, 5/25/2028 ‡		3		1

Lendmark Funding Trust

Series 2019-1A, Class A, 3.00%, 12/20/2027 (a)		8,400		8,558

Series 2019-2A, Class A, 2.78%, 4/20/2028 (a)		6,003		6,160

Mariner Finance Issuance Trust

Series 2020-AA, Class A, 2.19%, 8/21/2034 (a)		2,610		2,657

Series 2021-AA, Class A, 1.86%, 3/20/2036 (a)		3,000		3,030

Marlette Funding Trust Series 2019-2A, Class A, 3.13%, 7/16/2029 (a)		82		83

Mercury Financial Credit Card Master Trust

Series 2021-1A, Class A, 1.54%, 3/20/2026 (a)		6,375		6,398

Metlife Securitization Trust Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (c)		960		982

Morgan Stanley ABS Capital I, Inc. Trust Series 2005-WMC4, Class M5, 1.06%, 4/25/2035 ‡ (c)		2,015		2,059

Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 1.10%, 7/20/2031 (a) (c)		4,425		4,424


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


New Century Home Equity Loan Trust Series 2003-5, Class AII, 0.88%, 11/25/2033 ‡ (c)		176		166

New Residential Advance Receivables Trust Advance Receivables Backed Series 2020-T1, Class AT1, 1.43%, 8/15/2053 (a)		9,535		9,554

OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (a)		590		592

OneMain Financial Issuance Trust Series 2020-1A, Class A, 3.84%, 5/14/2032 (a)		4,650		4,818

Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2021-3A, Class A1, 0.97%, 7/20/2029 (a) (c)		3,448		3,447

Pretium Mortgage Credit Partners I LLC Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (a) (b)		4,593		4,638

Progress Residential

Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a)		3,030		2,990

Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a)		5,000		5,029

Progress Residential Trust

Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (a)		8,991		8,974

Series 2019-SFR1, Class A, 3.42%, 8/17/2035 (a)		9,491		9,596

Series 2018-SFR3, Class A, 3.88%, 10/17/2035 (a)		4,991		4,996

Series 2019-SFR2, Class A, 3.15%, 5/17/2036 (a)		6,938		7,045

Series 2019-SFR4, Class A, 2.69%, 10/17/2036 (a)		8,500		8,670

Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a)		5,055		5,164

Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a)		11,000		11,036

Series 2021-SFR8, Class A, 1.51%, 9/17/2038 (a)		4,500		4,506

RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 ‡ (b)		523		494

Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a)		2,750		2,746

Santander Drive Auto Receivables Trust Series 2020-3, Class B, 0.69%, 3/17/2025		3,265		3,274

Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022(a)		1,222		1,224

Sierra Timeshare Receivables Funding LLC

Series 2019-2A, Class A, 2.59%, 5/20/2036 (a)		1,018		1,044


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2020-2A, Class A, 1.33%, 7/20/2037 (a)		1,490		1,498

SoFi Consumer Loan Program LLC Series 2016-1, Class A, 3.26%, 8/25/2025 (a)		72		73

SoFi Professional Loan Program LLC

Series 2016-B, Class A1, 1.28%, 6/25/2033 (a) (c)		258		260

Series 2017-E, Class A1, 0.58%, 11/26/2040 (a) (c)		136		136

SoFi Professional Loan Program Trust Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a)		2,576		2,643

Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 0.78%, 4/25/2033 ‡ (c)		28		28

Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 1.25%, 7/23/2033 (a) (c)		5,000		4,999

Synchrony Card Funding LLC Series 2019-A2, Class A, 2.34%, 6/15/2025		5,800		5,899

Synchrony Credit Card Master Note Trust Series 2017-2, Class A, 2.62%, 10/15/2025		3,077		3,160

Tesla Auto Lease Trust

Series 2019-A, Class A2, 2.13%, 4/20/2022 (a)		1,911		1,917

Series 2020-A, Class A3, 0.68%, 12/20/2023 (a)		3,835		3,853

Series 2021-A, Class A3, 0.56%, 3/20/2025 (a)		2,000		2,004

Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 ‡ (a) (c)		4,430		4,602

Toyota Auto Receivables Owner Trust Series 2020-C, Class A4, 0.57%, 10/15/2025		5,300		5,321

Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a)		5,995		6,032

Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a)		3,282		3,427

US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (a)		5,565		5,567

USASF Receivables LLC Series 2020-1A, Class A, 2.47%, 8/15/2023 (a)		995		1,000

VCAT LLC Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (a) (b)		1,995		2,000

Verizon Owner Trust

Series 2018-A, Class A1A, 3.23%, 4/20/2023		435		438

Series 2019-B, Class A1A, 2.33%, 12/20/2023		7,063		7,135


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Veros Automobile Receivables Trust Series 2020-1, Class A, 1.67%, 9/15/2023 (a)		729		730

Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024		3,515		3,523

Volkswagen Auto Loan Enhanced Trust Series 2020-1, Class A2A, 0.93%, 12/20/2022		212		212

VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (b)		2,815		2,818

VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (b)		1,776		1,777

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (b)		6,014		6,037

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (b)		5,083		5,090

VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (b)		1,675		1,679

VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (b)		3,400		3,407

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (b)		3,845		3,848

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (b)		4,929		4,933

VOLT XCVIII LLC Series 2021-NPL7, Class A1, 2.12%, 4/25/2051 (a) (b)		1,470		1,475

Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a)		2,480		2,530

Westlake Automobile Receivables Trust

Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (a)		3,929		3,938

Series 2020-3A, Class A2, 0.56%, 5/15/2024 (a)		2,040		2,043

Series 2021-1A, Class A2A, 0.39%, 10/15/2024 (a)		5,040		5,044

Series 2020-2A, Class B, 1.32%, 7/15/2025 (a)		1,625		1,638

World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025		8,158		8,168

World Omni Select Auto Trust Series 2020-A, Class B, 0.84%, 6/15/2026		4,750		4,763


Total Asset-Backed Securities (Cost $512,449)				517,145

Collateralized Mortgage Obligations -28.1%

Alternative Loan Trust

Series 2004-J4, Class 1A6, 5.40%, 6/25/2034 (b)		1		1

Series 2004-33, Class 3A3, 2.93%, 12/25/2034 (c)		175		187

Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036		114		112


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Banc of America Mortgage Trust

Series 2004-D, Class 2A2, 2.54%, 5/25/2034 (c)		128			133

Series 2005-A, Class 3A1, 2.37%, 2/25/2035 (c)		14			14

Bayview Financing Trust Series 2021-2F, Class M1, 1.60%, 12/31/2049 ‡ (a) (c)		148			148

Bayview Opportunity Master Fund Trust Series 2014-1SBC, 1.59%, 1/10/2031 ‡ (c)		246			246


Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 1.09%, 11/25/2034 ‡ (c)		178			43

Credit Suisse First Boston Mortgage Securities Corp.

Series 2005-5, Class 1A1, 5.00%, 7/25/2020		4			4

Series 2004-5, Class 4A1, 6.00%, 9/25/2034		311			328

CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 2.59%, 10/25/2033 (c)		348			343

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 4.39%, 2/25/2020 (c)		34			33

FHLMC STACR REMIC Trust

Series 2020-DNA4, Class M2AR, 1.58%, 8/25/2050 (a) (c)		939			939

Series 2020-DNA6, Class M1, 0.95%, 12/25/2050 (a) (c)		2,413			2,414

Series 2021-DNA1, Class M1, 0.70%, 1/25/2051 (a) (c)		2,487			2,488

FHLMC Structured Agency Credit Risk Debt Notes

Series 2019-CS03, 0.08%, 10/25/2032 (a) (c)		8,429			8,324

Series 2021-DNA2, Class M1, 0.85%, 8/25/2033 (a) (c)		7,090			7,097

FHLMC, REMIC

Series 3952, Class MA, 3.00%, 11/15/2021		12			12

Series 1343, Class LA, 8.00%, 8/15/2022		1			1

Series 1370, Class JA, 1.25%, 9/15/2022 (c)		1			1

Series 1379, Class W, 0.94%, 10/15/2022 (c)		1			1

Series 1508, Class KA, 0.91%, 5/15/2023 (c)		—	(d)		—	(d)

Series 1689, Class M, PO, 3/15/2024		22			22

Series 2033, Class PR, PO, 3/15/2024		11			11

Series 1771, Class PK, 8.00%, 2/15/2025		17			18

Series 1981, Class Z, 6.00%, 5/15/2027		6			6


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1974, Class ZA, 7.00%, 7/15/2027		33		36

Series 2338, Class FN, 0.60%, 8/15/2028 (c)		13		12

Series 3737, Class DG, 5.00%, 10/15/2030		313		332

Series 2477, Class FZ, 0.65%, 6/15/2031 (c)		5		5

Series 2416, Class SA, IF, 15.41%, 2/15/2032 (c)		25		32

Series 2416, Class SH, IF, 15.81%, 2/17/2032 (c)		9		10

Series 4120, Class KI, IO, 3.00%, 10/15/2032		1,402		111

Series 5000, Class CB, 1.25%, 1/25/2035		7,367		7,421

Series 3300, Class FA, 0.40%, 8/15/2035 (c)		167		167

Series 3085, Class VS, HB, IF, 28.34%, 12/15/2035 (c)		158		256

Series 4867, Class WF, 0.50%, 4/15/2037 (c)		13,982		14,121

Series 4350, Class AF, 0.45%, 12/15/2037 (c)		3,328		3,309

Series 4350, Class FK, 0.45%, 6/15/2038 (c)		3,543		3,531

Series 4515, Class FA, 0.47%, 8/15/2038 (c)		1,879		1,891

Series 4350, Class KF, 0.45%, 1/15/2039 (c)		672		667

Series 4448, Class TF, 0.42%, 5/15/2040 (c)		4,008		3,991

Series 4480, Class FM, 0.45%, 6/15/2040 (c)		4,419		4,425

Series 3860, Class FP, 0.50%, 6/15/2040 (c)		314		314

Series 4457, Class KF, 0.45%, 10/15/2040 (c)		6,378		6,390

Series 4363, Class FA, 0.47%, 9/15/2041 (c)		2,930		2,921

Series 4413, Class WF, 0.45%, 10/15/2041 (c)		2,816		2,802

Series 4559, Class AF, 0.60%, 3/15/2042 (c)		1,835		1,862

Series 4074, Class FE, 0.50%, 7/15/2042 (c)		2,165		2,176

Series 4150, Class F, 0.47%, 1/15/2043 (c)		5,319		5,358

Series 4161, Class YF, 0.47%, 2/15/2043 (c)		3,859		3,887

Series 4281, Class FB, 0.65%, 12/15/2043 (c)		3,123		3,159


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4606, Class FL, 0.60%, 12/15/2044 (c)		5,721			5,784

Series 4594, Class GN, 2.50%, 2/15/2045		2,697			2,813

Series 5072, Class QC, 1.00%, 10/25/2050		6,655			6,514

FHLMC, STRIPS

Series 343, Class F4, 0.45%, 10/15/2037 (c)		3,618			3,644

Series 328, Class S4, IF, IO, 1.81%, 2/15/2038 (c)		5,741			331

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-51, Class 1A, PO, 9/25/2042		43			38

Series T-54, Class 4A, 3.45%, 2/25/2043 (c)		1,218			1,320

First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 3.27%, 12/25/2034 (c)		119			122

Flagstar Mortgage Trust

Series 2018-5, Class A2, 4.00%, 9/25/2048 (a) (c)		372			375

Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (c)		2,867			2,940

FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 3.14%, 2/25/2044 (c)		210			220

FNMA, Grantor Trust, Whole Loan

Series 2002-T6, Class A4, 4.17%, 3/25/2041 (c)		582			626

Series 2001-T8, Class A1, 7.50%, 7/25/2041		182			216

FNMA, REMIC

Series 1991-156, Class F, 1.38%, 11/25/2021 (c)		1			1

Series 1992-112, Class GB, 7.00%, 7/25/2022		5			5

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(d)		—	(d)

Series 1992-154, Class SA, IF, IO, 5.40%, 8/25/2022 (c)		—	(d)		—	(d)

Series 1992-200, Class FK, 1.58%, 11/25/2022 (c)		2			2

Series 1993-27, Class S, IF, 9.62%, 2/25/2023 (c)		4			4

Series 1993-146, Class E, PO, 5/25/2023		9			9

Series 1993-110, Class H, 6.50%, 5/25/2023		9			9

Series 1993-119, Class H, 6.50%, 7/25/2023		1			1

Series 1993-165, Class FH, 1.23%, 9/25/2023 (c)		5			5


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 1993-179, Class FM, 1.53%, 10/25/2023 (c)		27			27

Series G94-9, Class PJ, 6.50%, 8/17/2024		85			90

Series 2013-26, Class AV, 3.50%, 4/25/2026		2,299			2,361

Series 1997-74, Class E, 7.50%, 10/20/2027		12			14

Series 2001-9, Class F, 0.34%, 2/17/2031 (c)		—	(d)		—	(d)

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		31			4

Series 2003-21, Class FK, 0.48%, 3/25/2033 (c)		10			10

Series 2013-43, Class YH, 2.50%, 5/25/2033		1,195			1,253

Series 2004-17, Class BF, 0.43%, 1/25/2034 (c)		220			221

Series 2006-3, Class SB, IF, IO, 6.62%, 7/25/2035 (c)		286			24

Series 2006-16, Class HZ, 5.50%, 3/25/2036		229			262

Series 2006-124, Class FC, 0.43%, 1/25/2037 (c)		823			833

Series 2014-23, Class FA, 0.40%, 10/25/2039 (c)		14,342			14,364

Series 2012-38, Class PA, 2.00%, 9/25/2041		1,395			1,435

Series 2013-54, Class HF, 0.28%, 10/25/2041 (c)		1,432			1,431

Series 2012-93, Class ME, 2.50%, 1/25/2042		1,970			2,033

Series 2012-13, Class FA, 0.66%, 2/25/2042 (c)		7,528			7,620

Series 2012-31, Class FB, 0.63%, 4/25/2042 (c)		6,614			6,688

Series 2013-23, Class KJ, 2.25%, 5/25/2042		2,453			2,542

Series 2012-119, Class FB, 0.43%, 11/25/2042 (c)		4,193			4,222

Series 2012-139, Class JA, 3.50%, 12/25/2042		2,931			3,208

Series 2013-6, Class FL, 0.48%, 2/25/2043 (c)		977			985

Series 2014-49, Class AF, 0.42%, 8/25/2044 (c)		172			172

Series 2015-42, Class BF, 0.41%, 6/25/2045 (c)		4,513			4,498

Series 2016-25, Class LA, 3.00%, 7/25/2045		10,549			11,131


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2016-33, Class JA, 3.00%, 7/25/2045		3,796		4,002

Series 2015-91, Class AF, 0.47%, 12/25/2045 (c)		4,035		4,039

Series 2016-58, Class SA, IO, 1.57%, 8/25/2046 (c)		13,472		615

Series 2017-108, Class PA, 3.00%, 6/25/2047		2,532		2,651

Series 2017-104, Class LA, 3.00%, 11/25/2047		1,813		1,893

Series 2019-38, Class PC, 3.00%, 2/25/2048		3,964		4,171

Series 2019-77, Class FP, 0.63%, 1/25/2050 (c)		13,815		13,942

Series 2014-66, Class WF, 0.45%, 10/25/2054 (c)		1,962		1,969

FNMA, REMIC Trust, Whole Loan

Series 2003-W4, Class 5A, 3.27%, 10/25/2042 (c)		564		591

Series 2003-W15, Class 3A, 3.72%, 12/25/2042 (c)		635		712

Series 2003-W1, Class 2A, 5.59%, 12/25/2042 (c)		147		163

Series 2009-W1, Class A, 6.00%, 12/25/2049		258		298

Freedom Frn 0.00%, 3/25/2022		5,000		5,000

GNMA

Series 2011-158, Class EB, 4.00%, 12/20/2026		2,358		2,570

Series 2010-166, Class GP, 3.00%, 4/20/2039		974		994

Series 2012-61, Class FM, 0.50%, 5/16/2042 (c)		4,275		4,322

Series 2012-H21, Class FA, 0.60%, 7/20/2062 (c)		1,764		1,772

Series 2012-H29, Class FA, 0.62%, 10/20/2062 (c)		2,643		2,652

Series 2013-H16, Class FA, 0.64%, 7/20/2063 (c)		7,365		7,395

Series 2014-H07, Class FC, 0.70%, 5/20/2064 (c)		11,897		12,011

Series 2014-H11, Class JA, 0.60%, 6/20/2064 (c)		3,176		3,193

Series 2014-H17, Class FM, 0.57%, 8/20/2064 (c)		9,186		9,233

Series 2015-H03, Class FD, 0.74%, 1/20/2065 (c)		5,539		5,585

Series 2015-H04, Class FL, 0.57%, 2/20/2065 (c)		9,345		9,397


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-H12, Class FJ, 0.53%, 5/20/2065 (c)		9,944		9,966

Series 2015-H14, Class FB, 0.53%, 5/20/2065 (c)		13,677		13,708

Series 2015-H12, Class FA, 0.58%, 5/20/2065 (c)		6,270		6,300

Series 2015-H15, Class FB, 0.70%, 6/20/2065 (c)		9,048		9,110

Series 2015-H19, Class FN, 0.54%, 7/20/2065 (c)		10,592		10,633

Series 2015-H23, Class TA, 0.57%, 9/20/2065 (c)		12,959		13,025

GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034		406		431

GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034		114		117

Impac CMB Trust

Series 2004-3, Class 3A, 0.72%, 3/25/2034 (c)		1		1

Series 2004-6, Class 1A2, 0.86%, 10/25/2034 (c)		69		71

Series 2005-5, Class A1, 0.72%, 8/25/2035 (c)		496		482

IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 3.01%, 3/25/2037 (c)		293		276

JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 1.90%, 10/25/2033 (c)		41		42

LHOME Mortgage Trust Series 2020-RTL1, Class A1, 3.23%, 10/25/2024 (a)		2,500		2,519

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 2.66%, 4/21/2034 (c)		82		82

Series 2004-13, Class 3A7B, 2.08%, 11/21/2034 (c)		291		297

MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 0.48%, 2/25/2033 (c)		46		44

Mellon Residential Funding Corp. Mortgage Pass-Through Certificates

Series 2002-TBC1, Class B1, 1.10%, 9/15/2030 ‡ (c)		40		40

Series 2002-TBC1, Class B2, 1.50%, 9/15/2030 ‡ (c)		19		18

Series 2001-TBC1, Class B1, 0.97%, 11/15/2031 ‡ (c)		118		119

Merrill Lynch Mortgage Investors Trust

Series 2004-D, Class A1, 0.74%, 9/25/2029 (c)		134		132


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-1, Class 2A3, 2.08%, 12/25/2034 (c)		119		120

Metlife Securitization Trust Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (c)		2,734		2,828

Morgan Stanley Dean Witter Capital I, Inc. Trust

Series 2003-HYB1, Class A4, 1.58%, 3/25/2033 (c)		92		94

Series 2003-HYB1, Class B1, 1.58%, 3/25/2033 ‡(c)		84		61

Morgan Stanley Mortgage Loan Trust

Series 2004-3, Class 4A, 5.65%, 4/25/2034 (c)		918		977

Series 2004-5AR, Class 3A3, 2.28%, 7/25/2034 (c)		121		124

Series 2004-5AR, Class 3A5, 2.28%, 7/25/2034 (c)		679		701

Series 2004-11AR, Class 1A2A, 0.39%, 1/25/2035(c)		263		288

MRA Issuance Trust Series 2021-EBO2, Class A, 2.83%, 12/31/2049 (a) (c)		4,450		4,450

MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 0.95%, 8/15/2032 ‡ (c)		66		63

NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 0.54%, 2/25/2035 (a) (c)		705		613

New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 0.83%, 1/25/2048 (a) (c)		2,263		2,266

Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%, 8/25/2033 (b)		191		197

Prime Mortgage Trust Series 2005-2, Class 2A1, 6.24%, 10/25/2032 (c)		240		244

PRPM LLC

Series 2020-2, Class A1, 3.67%, 8/25/2025 (a) (b)		6,538		6,583

Series 2020-6, Class A1, 2.36%, 11/25/2025 (a) (b)		3,161		3,183

RFMSI Trust

Series 2005-SA2, Class 2A2, 2.89%, 6/25/2035 (c)		593		595

Series 2006-SA4, Class 2A1, 4.66%, 11/25/2036 (c)		268		261

Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059		9,841		10,456

Sequoia Mortgage Trust

Series 11, Class A, 0.99%, 12/20/2032 (c)		13		13

Series 2003-3, Class A2, 0.86%, 7/20/2033 (c)		82		82


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2004-11, Class A2, 0.82%, 12/20/2034 (c)		554		562

Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 0.79%, 3/19/2034 (c)		43		43

Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 0.84%, 7/19/2032 (c)		260		225

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

Series 2003-24A, Class 2A, 2.50%, 7/25/2033 (c)		392		405

Series 2003-40A, Class 4A, 2.25%, 1/25/2034 (c)		210		211

Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 2.03%, 12/25/2044 (c)		1,695		1,638

Two Harbors Series 2021-FNT1, Class A, 3.65%, 3/25/2020		5,000		5,014

WaMu Mortgage Pass-Through Certificates Trust

Series 2004-AR3, Class A1, 2.59%, 6/25/2034 (c)		347		357

Series 2004-AR11, Class A, 2.55%, 10/25/2034 (c)		192		192


Total Collateralized Mortgage Obligations (Cost $387,839)				391,948

Corporate Bonds — 14.1%

Automobiles — 0.2%

Hyundai Capital America 1.30%, 1/8/2026 (a)		2,960		2,929


Banks — 5.0%

Banco Santander SA (Spain) 2.75%, 5/28/2025		2,000		2,109

Bank of America Corp. (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (e)		1,724		1,780

BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (e)		6,470		6,417

Canadian Imperial Bank of Commerce (Canada) (ICE LIBOR USD 3 Month + 0.66%), 0.78%, 9/13/2023 (e)		3,000		3,037

Citigroup, Inc. (ICE LIBOR USD 3 Month + 1.07%), 1.20%, 12/8/2021 (e)		4,000		4,007

Cooperatieve Rabobank UA (Netherlands) (SOFR + 0.30%), 0.35%, 1/12/2024 (e)		10,000		10,014

Mitsubishi UFJ Financial Group, Inc. (Japan) (ICE LIBOR USD 3 Month + 1.06%), 1.18%, 9/13/2021 (e)		2,539		2,540

Mizuho Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 1.14%), 1.26%, 9/13/2021 (e)		3,000		3,001

(ICE LIBOR USD 3 Month + 0.94%), 1.06%, 2/28/2022 (e)		4,000		4,018


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Sumitomo Mitsui Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 0.97%), 1.09%, 1/11/2022 (e)		3,000		3,010

0.95%, 1/12/2026		2,900		2,876

Toronto-Dominion Bank (The) (Canada) 0.25%, 1/6/2023		10,000		10,002

Truist Financial Corp. 1.20%, 8/5/2025		4,000		4,055

Wells Fargo & Co. (ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (e)		6,400		6,643

Wells Fargo Bank NA (ICE LIBOR USD 3 Month + 0.66%), 0.78%, 9/9/2022 (e)		6,000		6,005


				69,514


Biotechnology — 0.6%

AbbVie, Inc. (ICE LIBOR USD 3 Month + 0.65%), 0.78%, 11/21/2022 (e)		8,500		8,559


Capital Markets — 0.8%

Goldman Sachs Group, Inc. (The) (ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (e)		1,000		1,019

Morgan Stanley (SOFR + 0.46%), 0.53%, 1/25/2024 (e)		10,000		10,004


				11,023


Chemicals — 0.2%

Mosaic Co. (The) 3.25%, 11/15/2022		2,559		2,638


Consumer Finance — 2.4%

American Honda Finance Corp.

(ICE LIBOR USD 3 Month + 0.61%), 0.73%, 9/9/2021 (e)		3,000		3,000

(ICE LIBOR USD 3 Month + 0.28%), 0.40%, 1/12/2024 (e)		10,000		10,027

Caterpillar Financial Services Corp. 0.95%, 5/13/2022		7,000		7,039

General Motors Financial Co., Inc. (ICE LIBOR USD 3 Month + 1.55%), 1.68%, 1/14/2022 (e)		4,000		4,020

Toyota Motor Credit Corp.

(ICE LIBOR USD 3 Month + 0.69%), 0.81%, 1/11/2022 (e)		4,000		4,010

(SOFR + 0.33%), 0.38%, 1/11/2024 (e)		5,000		5,014


				33,110


Diversified Telecommunication Services — 0.3%

AT&T, Inc. 1.65%, 2/1/2028		4,335		4,332


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — 0.7%

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (e)		3,250		3,252

1.75%, 6/16/2022		5,850		5,847


				9,099


Independent Power and Renewable Electricity Producers — 0.1%

Southern Power Co. 0.90%, 1/15/2026		1,780		1,754


Insurance — 2.6%

Athene Global Funding 0.95%, 1/8/2024 (a)		4,160		4,185

Metropolitan Life Global Funding I (SOFR + 0.32%), 0.37%, 1/7/2024 (a) (e)		10,000		10,047

New York Life Global Funding 0.40%, 10/21/2023 (a)		8,000		8,010

Principal Life Global Funding II 0.88%, 1/12/2026 (a)		8,790		8,677

Protective Life Global Funding 1.17%, 7/15/2025 (f)		5,190		5,206


				36,125


Multi-Utilities — 0.4%

Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.65%, 9/15/2023 (e)		6,000		6,001


Oil, Gas & Consumable Fuels — 0.5%

Phillips 66 Partners LP 2.45%, 12/15/2024		1,585		1,648

Valero Energy Corp. (ICE LIBOR USD 3 Month + 1.15%), 1.27%, 9/15/2023 (e)		6,000		6,004


				7,652


Specialty Retail — 0.3%

Home Depot, Inc. (The) 0.90%, 3/15/2028		3,915		3,805


Total Corporate Bonds (Cost $195,835)				196,541

Commercial Mortgage-backed Securities — 9.3%

20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (c)		3,291		3,378

ACRE Commercial Mortgage Ltd. (Cayman Islands) Series 2021-FL4, Class A, 0.92%, 12/18/2037 (a) (c)		3,170		3,162

BAMLL Commercial Mortgage Securities Trust

Series 2015-200P, Class A, 3.22%, 4/14/2033 (a)		3,500		3,740

Series 2018-DSNY, Class A, 0.95%, 9/15/2034 (a) (c)		6,000		6,000

BANK Series 2021-BN35, Class A2, 1.87%, 8/15/2031 (c)		2,650		2,724


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Bayview Commercial Asset Trust

Series 2004-3, Class A2, 0.71%, 1/25/2035 (a) (c)		129		128

Series 2005-2A, Class A2, 0.61%, 8/25/2035 (a) (c)		583		561

Series 2005-2A, Class M1, 0.73%, 8/25/2035 ‡ (a) (c)		116		112

Series 2007-3, Class A2, 0.37%, 7/25/2037 (a) (c)		513		489

BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053		1,000		1,026

BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a)		1,450		1,479

BHMS Series 2018-ATLS, Class A, 1.35%, 7/15/2035 (a) (c)		6,000		6,008

BPR Trust Series 2021-KEN, Class A, 1.35%, 2/15/2029 (a) (c)		2,115		2,115

BX Series 2021-MFM1, Class A, 0.80%, 1/15/2034 (a) (c)		4,000		4,004

BX Commercial Mortgage Trust Series 2018-IND, Class A, 0.85%, 11/15/2035 (a) (c)		1,094		1,094

BX Trust Series 2021-LBA, Class AJV, 0.90%, 2/15/2036 (a) (c)		6,500		6,512

BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 1.56%, 3/15/2037 (a) (c)		9,000		9,017

Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.31%, 2/10/2037 (a) (c)		12,200		12,386

FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 2.05%, 1/25/2051 (a) (c)		335		337

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KL3W, Class AFLW, 0.55%, 8/25/2025 (c)		10,000		10,052

Series K086, Class A1, 3.67%, 12/25/2027		1,722		1,904

Series Q007, Class APT2, 3.30%, 10/25/2047 (c)		2,308		2,435

Series Q013, Class APT1, 1.18%, 5/25/2050 (c)		5,239		5,276

FNMA ACES Series 2017-M15, Class ATS1, 2.99%, 11/25/2027		465		472

Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)		5,000		5,289

KKR Industrial Portfolio Trust Series 2021-KDIP, Class A, 0.65%, 12/15/2037 (a) (c)		3,655		3,656

One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a)		5,000		5,231

One Market Plaza Trust Series 2017-1MKT, Class A, 3.61%, 2/10/2032 (a)		5,000		5,081


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


ONE Mortgage Trust Series 2021-PARK, Class A, 0.80%, 3/15/2036 (a) (c)		7,000			7,000

PFP Ltd. (Cayman Islands)

Series 2019-5, Class A, 1.07%, 4/14/2036 (a) (c)		787			787

Series 2021-7, Class A, 0.95%, 4/14/2038 (a) (c)		3,000			2,992

UBS Commercial Mortgage Trust

Series 2018-C10, Class A1, 3.18%, 5/15/2051		2,883			2,939

Series 2018-C14, Class A2, 4.26%, 12/15/2051		6,346			6,756

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		1,155			1,161

Wells Fargo Commercial Mortgage Trust

Series 2021-SAVE, Class A, 1.25%, 2/15/2040 (a) (c)		3,427			3,444

Series 2020-C58, Class A1, 0.55%, 7/15/2053		1,433			1,431


Total Commercial Mortgage-backed Securities (Cost $128,340)					130,178

Mortgage-Backed Securities — 5.8%

FHLMC

Pool # 645083, ARM, 2.09%, 12/1/2021 (c)		—	(d)		—	(d)

Pool # 846013, ARM, 2.37%, 6/1/2022 (c)		—	(d)		—	(d)

Pool # 611299, ARM, 2.43%, 1/1/2023 (c)		7			7

Pool # 845297, ARM, 2.37%, 2/1/2023 (c)		2			2

Pool # 846144, ARM, 2.47%, 6/1/2025 (c)		2			2

Pool # 755248, ARM, 2.30%, 12/1/2026 (c)		56			56

Pool # 785866, ARM, 2.32%, 12/1/2026 (c)		1			1

Pool # 611141, ARM, 2.23%, 1/1/2027 (c)		12			12

Pool # 788688, ARM, 2.30%, 8/1/2027 (c)		58			58

Pool # 788665, ARM, 2.53%, 11/1/2027 (c)		12			12

Pool # 846774, ARM, 2.35%, 12/1/2027 (c)		17			17

Pool # 788664, ARM, 2.28%, 7/1/2028 (c)		14			14

Pool # 786902, ARM, 2.46%, 10/1/2029 (c)		4			4

Pool # 846716, ARM, 2.55%, 12/1/2029 (c)		2			2

Pool # 645242, ARM, 3.17%, 1/1/2030 (c)		7			7

Pool # 846812, ARM, 2.37%, 4/1/2030 (c)		6			6

Pool # 611278, ARM, 2.34%, 7/1/2030 (c)		96			97

Pool # 847263, ARM, 2.33%, 4/1/2032 (c)		37			37


Investments	Principal Amount ($000)			Value ($000)
Mortgage-Backed Securities — continued

FHLMC Gold Pools, 30 Year

Pool # C00387, 9.00%, 2/1/2025		1			1

Pool # C35263, 7.50%, 5/1/2028		1			1

Pool # G00981, 8.50%, 7/1/2028		5			6

FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028		1,963			2,079

FHLMC UMBS, 30 Year

Pool # RA2459, 4.00%, 4/1/2050		8,633			9,288

Pool # RA2904, 3.00%, 6/1/2050		7,252			7,625

Pool # RA2970, 2.50%, 7/1/2050		7,961			8,295

FNMA

Pool # 276617, ARM, 1.70%, 4/1/2024 (c)		5			5

Pool # 323269, ARM, 2.49%, 1/1/2025 (c)		67			67

Pool # 326092, ARM, 2.23%, 7/1/2025 (c)		—	(d)		—	(d)

Pool # 313555, ARM, 2.47%, 6/1/2026 (c)		1			1

Pool # 423291, ARM, 2.45%, 8/1/2026 (c)		27			27

Pool # 70179, ARM, 3.50%, 7/1/2027 (c)		4			4

Pool # 535984, ARM, 2.70%, 12/1/2028 (c)		11			11

Pool # 576757, ARM, 2.54%, 3/1/2029 (c)		14			14

Pool # 323798, ARM, 2.23%, 5/1/2029 (c)		2			2

Pool # 540206, ARM, 2.03%, 5/1/2030 (c)		21			21

Pool # 594577, ARM, 2.58%, 11/1/2030 (c)		29			29

Pool # 124945, ARM, 2.21%, 1/1/2031 (c)		1			1

Pool # 555563, ARM, 2.24%, 5/1/2033 (c)		74			74

Pool # 725111, ARM, 2.32%, 9/1/2033 (c)		26			26

Pool # 788301, ARM, 2.45%, 2/1/2034 (c)		43			43

Pool # 545182, ARM, 2.27%, 3/1/2038 (c)		4			4

FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025		513			544

FNMA UMBS, 20 Year

Pool # 254911, 5.00%, 10/1/2023		316			346

Pool # MA1338, 3.00%, 2/1/2033		1,347			1,437

Pool # MA1401, 3.00%, 4/1/2033		526			562

Pool # MA1490, 3.00%, 7/1/2033		1,722			1,837

FNMA UMBS, 30 Year

Pool # 50748, 7.50%, 6/1/2023		—	(d)		—	(d)

Pool # 331955, 7.50%, 11/1/2024		7			7

Pool # 567874, 7.50%, 10/1/2030		22			23

Pool # 995724, 6.00%, 4/1/2039		234			278

Pool # AD0588, 5.00%, 12/1/2039		1,089			1,247

Pool # AD9721, 5.50%, 8/1/2040		280			313

Pool # BM3048, 4.00%, 10/1/2042		4,269			4,800

Pool # AS4592, 4.00%, 2/1/2045		6,480			7,197

Pool # BM5560, 4.00%, 1/1/2046		5,366			6,030

Pool # CA0411, 4.00%, 9/1/2047		4,981			5,585


Investments	Principal Amount ($000)			Value ($000)


Pool # CA2489, 4.50%, 10/1/2048		1,429			1,541

Pool # BP7345, 3.00%, 6/1/2050		8,720			9,187

FNMA, 30 Year

Pool # 595470, 7.00%, 3/1/2027		3			2

Pool # 421016, 8.00%, 11/1/2027		1			1

FNMA, Other

Pool # 570566, 12.00%, 11/1/2030		46			48

Pool # BK7908, 4.00%, 11/1/2048		895			957

GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024		297			313

GNMA I, 30 Year

Pool # 378315, 7.00%, 6/15/2024		3			3

Pool # 780029, 9.00%, 11/15/2024		—	(d)		—	(d)

Pool # 781090, 9.50%, 7/15/2025		1			1

Pool # 412336, 8.00%, 10/15/2027		3			3

GNMA II, 30 Year

Pool # 314500, 7.40%, 3/20/2022		2			2

Pool # 334396, 7.25%, 8/20/2022		3			3

Pool # 1429, 7.50%, 10/20/2023		1			2

Pool # 2036, 8.00%, 7/20/2025		5			5

Pool # 2270, 8.00%, 8/20/2026		7			8

Pool # CG5224, 3.50%, 8/20/2051		10,000			10,888


Total Mortgage-Backed Securities (Cost $79,192)					81,128


	SHARES (000)
Short-Term Investments — 5.9%

Investment Companies — 5.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (g) (h) (Cost $82,612)		82,606			82,647

Total Investments — 100.2% (Cost $1,386,267)					1,399,587
Liabilities in Excess of Other Assets — (0.2)%					(2,374	)

NET ASSETS — 100.0%					1,397,213

Percentages indicated are based on net assets.


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
CDO		Collateralized Debt Obligations
CLO		Collateralized Loan Obligations
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
LIBOR		London Interbank Offered Rate
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.


REMIC		Real Estate Mortgage Investment Conduit
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(c)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(d)		Amount rounds to less than one thousand.
(e)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(f)		Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(g)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(h)		The rate shown is the current yield as of August 31, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — 49.2%

FHLMC

Pool # 645242, ARM, 3.17%, 1/1/2030 (a)		4			4

Pool # 781087, ARM, 2.36%, 12/1/2033 (a)		41			41

Pool # 1B1665, ARM, 2.07%, 4/1/2034 (a)		24			24

Pool # 782979, ARM, 2.37%, 1/1/2035 (a)		56			60

Pool # 1B2844, ARM, 1.96%, 3/1/2035 (a)		36			36

Pool # 1Q0007, ARM, 2.39%, 12/1/2035 (a)		25			25

Pool # 972200, ARM, 2.21%, 3/1/2036 (a)		58			58

Pool # 1J1380, ARM, 2.82%, 3/1/2036 (a)		25			26

Pool # 1H2618, ARM, 2.37%, 5/1/2036 (a)		37			40

Pool # 1G2557, ARM, 2.22%, 6/1/2036 (a)		81			86

Pool # 1A1085, ARM, 1.92%, 8/1/2036 (a)		37			39

Pool # 1Q0105, ARM, 2.10%, 9/1/2036 (a)		26			27

Pool # 1N0249, ARM, 1.95%, 10/1/2036 (a)		13			13

Pool # 1A1096, ARM, 1.98%, 10/1/2036 (a)		102			106

Pool # 1B7163, ARM, 2.57%, 10/1/2036 (a)		2			2

Pool # 1J1348, ARM, 2.74%, 10/1/2036 (a)		105			106

Pool # 1J1378, ARM, 2.01%, 11/1/2036 (a)		51			53

Pool # 1G2671, ARM, 2.07%, 11/1/2036 (a)		50			51

Pool # 1Q0737, ARM, 2.29%, 11/1/2036 (a)		55			56

Pool # 782760, ARM, 2.36%, 11/1/2036 (a)		93			100

Pool # 1G1386, ARM, 2.31%, 12/1/2036 (a)		22			23

Pool # 1J1516, ARM, 2.07%, 2/1/2037 (a)		21			22

Pool # 1J0282, ARM, 2.26%, 2/1/2037 (a)		14			14

Pool # 1J1543, ARM, 2.48%, 2/1/2037 (a)		5			5

Pool # 1G1555, ARM, 2.49%, 2/1/2037 (a)		24			26

Pool # 1Q0739, ARM, 2.09%, 3/1/2037 (a)		74			78

Pool # 1Q0697, ARM, 1.83%, 5/1/2037 (a)		49			51

Pool # 1B3485, ARM, 2.16%, 7/1/2037 (a)		9			9

Pool # 1G2229, ARM, 2.23%, 9/1/2037 (a)		22			23

Pool # 1K0134, ARM, 2.36%, 10/1/2037 (a)		6			6

Pool # 1Q0722, ARM, 2.40%, 4/1/2038 (a)		33			35

Pool # 1Q0789, ARM, 2.22%, 5/1/2038 (a)		9			9

FHLMC Gold Pools, 15 Year

Pool # G12825, 6.50%, 3/1/2022		—	(b)		—	(b)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # G12978, 5.50%, 12/1/2022		15			16

FHLMC Gold Pools, 20 Year

Pool # C91042, 5.50%, 5/1/2027		211			235

Pool # C91158, 6.50%, 1/1/2028		122			131

Pool # C91180, 5.50%, 3/1/2028		78			86

Pool # D98938, 4.00%, 2/1/2032		401			434

FHLMC Gold Pools, 30 Year

Pool # D53146, 6.50%, 5/1/2024		—	(b)		—	(b)

Pool # C18115, 6.00%, 11/1/2028		1			1

Pool # C00701, 6.50%, 1/1/2029		19			22

Pool # G03029, 6.00%, 10/1/2029		35			39

Pool # C68485, 7.00%, 7/1/2032		17			20

Pool # G01448, 7.00%, 8/1/2032		32			37

Pool # C75791, 5.50%, 1/1/2033		73			84

Pool # C01735, 4.00%, 10/1/2033		56			61

Pool # A13625, 5.50%, 10/1/2033		198			231

Pool # A16253, 6.00%, 11/1/2033		26			30

Pool # A16843, 6.00%, 12/1/2033		57			65

Pool # A24712, 6.50%, 7/1/2034		20			22

Pool # A28796, 6.50%, 11/1/2034		91			107

Pool # A46417, 7.00%, 4/1/2035		218			259

Pool # A46987, 5.50%, 7/1/2035		432			499

Pool # A80290, 5.00%, 11/1/2035		493			562

Pool # G05713, 6.50%, 12/1/2035		404			463

Pool # A54679, 6.50%, 6/1/2036		21			24

Pool # C02637, 7.00%, 10/1/2036		144			165

Pool # C02660, 6.50%, 11/1/2036		66			77

Pool # G04077, 6.50%, 3/1/2038		131			157

Pool # G05190, 7.50%, 9/1/2038		18			20

Pool # C03466, 5.50%, 3/1/2040		113			131

Pool # A93511, 5.00%, 8/1/2040		915			1,048

Pool # G06493, 4.50%, 5/1/2041		1,354			1,518

Pool # G60039, 3.00%, 4/1/2043		4,799			5,137

Pool # G60105, 5.00%, 6/1/2044		1,872			2,135

Pool # Q37784, 3.50%, 12/1/2045		1,290			1,392

Pool # Q39412, 3.50%, 3/1/2046		815			873

Pool # Q40797, 3.50%, 5/1/2046		1,637			1,752

Pool # Q40922, 3.50%, 6/1/2046		760			817

Pool # Q42079, 3.50%, 7/1/2046		1,335			1,427

Pool # V84637, 4.00%, 9/1/2048		755			809

Pool # Q61709, 4.50%, 2/1/2049		1,917			2,072

Pool # Q62088, 4.50%, 2/1/2049		756			840

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		6			6

Pool # B90491, 7.50%, 1/1/2032		103			117


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # U80047, 4.00%, 9/1/2032		497		538

Pool # U80068, 3.50%, 10/1/2032		476		514

Pool # U80125, 3.50%, 1/1/2033		1,293		1,395

Pool # U80173, 3.50%, 1/1/2033		1,226		1,323

Pool # U80265, 3.50%, 4/1/2033		1,398		1,508

Pool # L10221, 6.00%, 1/1/2034		41		43

Pool # L10224, 6.00%, 12/1/2034		114		123

Pool # H00158, 6.00%, 4/1/2036		205		216

Pool # L10291, 6.50%, 11/1/2036		244		283

Pool # P51353, 6.50%, 11/1/2036		110		127

Pool # P50595, 6.50%, 12/1/2036		356		425

Pool # P51361, 6.50%, 12/1/2036		78		93

Pool # G20028, 7.50%, 12/1/2036		125		141

Pool # G80365, 6.50%, 10/17/2038		138		158

Pool # U90690, 3.50%, 6/1/2042		3,860		4,172

Pool # U90975, 4.00%, 6/1/2042		2,178		2,383

Pool # T65101, 4.00%, 10/1/2042		475		501

Pool # U90378, 4.00%, 11/1/2042		3,269		3,567

Pool # U90542, 4.00%, 12/1/2042		1,392		1,519

Pool # U91449, 4.00%, 5/1/2043		3,239		3,535

Pool # U99051, 3.50%, 6/1/2043		541		584

Pool # U99134, 4.00%, 1/1/2046		2,010		2,211

Pool # U69030, 4.50%, 1/1/2046		1,468		1,625

Pool # U69039, 4.00%, 2/1/2046		3,430		3,779

FHLMC UMBS, 20 Year

Pool # SC0104, 3.50%, 8/1/2035		5,822		6,233

Pool # ZT1675, 3.50%, 4/1/2037		3,429		3,709

FHLMC UMBS, 30 Year

Pool # RA1617, 3.50%, 8/1/2049		1,499		1,583

Pool # RA1611, 3.00%, 9/1/2049		3,035		3,177

Pool # RA1623, 4.00%, 9/1/2049		3,198		3,461

Pool # QA5403, 4.00%, 11/1/2049		1,165		1,281

Pool # QA5096, 4.00%, 12/1/2049		2,777		2,976

Pool # QA5982, 4.00%, 12/1/2049		973		1,068

Pool # RA2008, 4.00%, 1/1/2050		4,077		4,434

Pool # QA7351, 3.00%, 2/1/2050		453		477

Pool # RA2272, 3.50%, 2/1/2050		24,841		26,920

Pool # QA9332, 2.50%, 5/1/2050		6,601		6,862

Pool # QB0097, 4.00%, 5/1/2050		903		994

Pool # QB4045, 2.50%, 10/1/2050		6,362		6,629

Pool # RA4515, 4.00%, 2/1/2051		9,429		10,321

Pool # QC2209, 3.50%, 5/1/2051		2,335		2,482

FNMA

Pool # 54844, ARM, 2.19%, 9/1/2027 (a)		3		3

Pool # 303532, ARM, 3.87%, 3/1/2029 (a)		6		6


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BS2915, 1.87%, 5/1/2031(c)		7,612		7,775

Pool # 555258, ARM, 1.66%, 1/1/2033 (a)		59		60

Pool # 722421, ARM, 1.66%, 7/1/2033 (a)		12		12

Pool # 686040, ARM, 2.26%, 7/1/2033 (a)		82		83

Pool # 746299, ARM, 2.15%, 9/1/2033 (a)		48		50

Pool # 743546, ARM, 1.99%, 11/1/2033 (a)		134		135

Pool # 749923, ARM, 2.28%, 11/1/2033 (a)		1		1

Pool # 766610, ARM, 2.09%, 1/1/2034 (a)		23		24

Pool # 735648, ARM, 2.09%, 2/1/2034 (a)		45		45

Pool # 770377, ARM, 1.67%, 4/1/2034 (a)		37		37

Pool # 751531, ARM, 2.34%, 5/1/2034 (a)		55		55

Pool # 778908, ARM, 1.80%, 6/1/2034 (a)		29		29

Pool # 800422, ARM, 1.32%, 8/1/2034 (a)		181		182

Pool # 793062, ARM, 2.00%, 8/1/2034 (a)		34		34

Pool # 735332, ARM, 2.27%, 8/1/2034 (a)		61		62

Pool # 790964, ARM, 1.89%, 9/1/2034 (a)		14		14

Pool # 735740, ARM, 1.81%, 10/1/2034 (a)		62		62

Pool # 794797, ARM, 1.81%, 10/1/2034 (a)		42		43

Pool # 803594, ARM, 2.02%, 10/1/2034 (a)		31		31

Pool # 803599, ARM, 2.05%, 10/1/2034 (a)		65		66

Pool # 896463, ARM, 2.42%, 10/1/2034 (a)		105		112

Pool # 810896, ARM, 1.76%, 1/1/2035 (a)		372		386

Pool # 816594, ARM, 1.68%, 2/1/2035 (a)		14		15

Pool # 735539, ARM, 2.33%, 4/1/2035 (a)		173		184

Pool # 745862, ARM, 2.35%, 4/1/2035 (a)		76		77

Pool # 821378, ARM, 1.52%, 5/1/2035 (a)		64		64

Pool # 823660, ARM, 1.97%, 5/1/2035 (a)		40		40

Pool # 821179, ARM, 2.01%, 5/1/2035 (a)		13		13

Pool # 745766, ARM, 1.94%, 6/1/2035 (a)		39		39

Pool # 832801, ARM, 1.92%, 9/1/2035 (a)		39		40

Pool # 849251, ARM, 1.98%, 1/1/2036 (a)		36		37

Pool # 920843, ARM, 2.72%, 3/1/2036 (a)		539		577

Pool # 872825, ARM, 2.11%, 6/1/2036 (a)		87		93

Pool # 892868, ARM, 2.02%, 7/1/2036 (a)		43		44

Pool # 886558, ARM, 2.02%, 8/1/2036 (a)		35		36

Pool # 920547, ARM, 1.85%, 9/1/2036 (a)		125		131

Pool # 894239, ARM, 2.16%, 10/1/2036 (a)		44		44

Pool # 900191, ARM, 2.49%, 10/1/2036 (a)		30		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 902818, ARM, 2.32%, 11/1/2036 (a)		1			1

Pool # 902955, ARM, 2.23%, 12/1/2036 (a)		31			31

Pool # 905189, ARM, 2.31%, 12/1/2036 (a)		11			11

Pool # 995919, ARM, 1.97%, 7/1/2037 (a)		73			77

Pool # 938346, ARM, 2.08%, 7/1/2037 (a)		21			21

Pool # AD0085, ARM, 1.67%, 11/1/2037 (a)		53			55

Pool # AD0179, ARM, 2.35%, 12/1/2037 (a)		49			52

Pool # 966946, ARM, 2.16%, 1/1/2038 (a)		16			16

FNMA UMBS, 15 Year

Pool # 888834, 6.50%, 4/1/2022		—	(b)		—	(b)

Pool # 995428, 5.50%, 11/1/2023		—	(b)		—	(b)

Pool # 995456, 6.50%, 2/1/2024		26			27

Pool # AD0133, 5.00%, 8/1/2024		25			26

Pool # AX7598, 3.00%, 1/1/2030		1,935			2,060

FNMA UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		5			5

Pool # 555791, 6.50%, 12/1/2022		5			5

Pool # 889889, 6.50%, 7/1/2024		4			5

Pool # 257055, 6.50%, 12/1/2027		63			71

Pool # AE0049, 6.00%, 9/1/2029		65			73

Pool # MA0602, 3.50%, 12/1/2030		678			720

Pool # AP3582, 3.50%, 8/1/2032		906			969

Pool # AB9830, 3.50%, 7/1/2033		4,941			5,286

Pool # AL6238, 4.00%, 1/1/2035		1,320			1,451

FNMA UMBS, 30 Year

Pool # 689977, 8.00%, 3/1/2027		21			23

Pool # 695533, 8.00%, 6/1/2027		11			12

Pool # 756020, 8.50%, 12/1/2027		10			10

Pool # 527285, 7.00%, 11/1/2028		6			6

Pool # 755973, 8.00%, 11/1/2028		68			78

Pool # 455759, 6.00%, 12/1/2028		11			12

Pool # 776702, 4.50%, 5/1/2029		12			13

Pool # 889020, 6.50%, 11/1/2029		83			94

Pool # 567036, 8.50%, 2/1/2030		23			24

Pool # 598559, 6.50%, 8/1/2031		28			33

Pool # 613000, 7.00%, 11/1/2031		24			25

Pool # 610591, 7.00%, 1/1/2032		34			36

Pool # 788150, 6.00%, 3/1/2032		19			21

Pool # 649734, 7.00%, 6/1/2032		28			30

Pool # 668825, 7.00%, 8/1/2032		8			8

Pool # 682078, 5.50%, 11/1/2032		202			233


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 668562, 6.00%, 12/1/2032		28		32

Pool # 675555, 6.00%, 12/1/2032		13		15

Pool # AL0045, 6.00%, 12/1/2032		183		217

Pool # 357363, 5.50%, 3/1/2033		278		321

Pool # 674349, 6.00%, 3/1/2033		15		17

Pool # 688625, 6.00%, 3/1/2033		26		30

Pool # 688655, 6.00%, 3/1/2033		11		12

Pool # 695584, 6.00%, 3/1/2033		6		7

Pool # 702901, 6.00%, 5/1/2033		173		205

Pool # 695403, 5.00%, 6/1/2033		112		127

Pool # 995656, 7.00%, 6/1/2033		141		165

Pool # 723852, 5.00%, 7/1/2033		42		48

Pool # 729296, 5.00%, 7/1/2033		128		145

Pool # 726912, 4.00%, 8/1/2033		5		6

Pool # 753696, 4.00%, 8/1/2033		23		24

Pool # 729379, 6.00%, 8/1/2033		20		22

Pool # 726914, 6.50%, 8/1/2033		8		9

Pool # 737825, 6.00%, 9/1/2033		35		40

Pool # AA7943, 4.00%, 10/1/2033		346		385

Pool # 750977, 4.50%, 11/1/2033		28		31

Pool # 725017, 5.50%, 12/1/2033		266		309

Pool # 759424, 5.50%, 1/1/2034		70		82

Pool # 751182, 5.50%, 3/1/2034		51		59

Pool # 751341, 5.50%, 3/1/2034		18		20

Pool # 767378, 5.50%, 3/1/2034		24		27

Pool # 776565, 4.00%, 4/1/2034		234		258

Pool # AC1317, 4.50%, 9/1/2034		255		280

Pool # 820347, 5.00%, 9/1/2035		42		48

Pool # 745281, 6.00%, 1/1/2036		35		42

Pool # 888417, 6.50%, 1/1/2036		73		83

Pool # 833629, 7.00%, 3/1/2036		28		31

Pool # 893268, 6.50%, 8/1/2036		66		74

Pool # 833657, 7.50%, 8/1/2036		16		19

Pool # AA0922, 6.00%, 9/1/2036		209		246

Pool # 878225, 6.50%, 10/1/2036		70		79

Pool # 985683, 8.00%, 10/1/2036		89		105

Pool # 888476, 7.50%, 5/1/2037		52		65

Pool # 945870, 6.50%, 8/1/2037		56		64

Pool # 946338, 7.00%, 9/1/2037		41		48

Pool # 888707, 7.50%, 10/1/2037		103		124

Pool # 889883, 6.50%, 3/1/2038		82		95

Pool # AC9081, 6.50%, 9/1/2038		152		182

Pool # 909236, 7.00%, 9/1/2038		293		365

Pool # 934591, 7.00%, 10/1/2038		56		69

Pool # AB2869, 6.00%, 11/1/2038		228		264


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 995504, 7.50%, 11/1/2038		25		31

Pool # 257510, 7.00%, 12/1/2038		140		169

Pool # AD0753, 7.00%, 1/1/2039		245		299

Pool # 890661, 7.00%, 2/1/2039		1,181		1,382

Pool # AD0780, 7.50%, 4/1/2039		487		608

Pool # AD6377, 5.50%, 5/1/2040		115		132

Pool # AD4951, 5.00%, 7/1/2040		1,600		1,808

Pool # BM5364, 4.00%, 4/1/2042		2,121		2,344

Pool # AL6839, 5.00%, 4/1/2042		1,049		1,189

Pool # AR8128, 3.50%, 3/1/2043		1,342		1,461

Pool # AL8256, 3.00%, 8/1/2043		3,177		3,448

Pool # AZ8089, 4.00%, 7/1/2045		700		766

Pool # BA2343, 4.00%, 9/1/2045		2,380		2,610

Pool # BC9441, 3.50%, 4/1/2046		486		526

Pool # BC6982, 4.00%, 4/1/2046		2,005		2,188

Pool # BD0299, 3.50%, 5/1/2046		442		476

Pool # BC1249, 3.50%, 6/1/2046		250		265

Pool # BD1243, 3.50%, 6/1/2046		484		519

Pool # BD3066, 3.50%, 7/1/2046		1,061		1,135

Pool # BD3088, 3.50%, 7/1/2046		541		584

Pool # BD5248, 3.50%, 8/1/2046		1,756		1,882

Pool # BD7764, 3.50%, 9/1/2046		1,508		1,620

Pool # BE5870, 3.50%, 1/1/2047		3,893		4,215

Pool # BH4665, 4.00%, 6/1/2047		4,543		4,963

Pool # BH7626, 4.00%, 8/1/2047		1,693		1,829

Pool # BM3500, 4.00%, 9/1/2047		2,588		2,859

Pool # BH7663, 4.00%, 10/1/2047		3,305		3,601

Pool # BJ1778, 4.50%, 10/1/2047		949		1,034

Pool # BM3044, 4.00%, 11/1/2047		2,801		3,070

Pool # BE8351, 4.00%, 2/1/2048		1,223		1,315

Pool # BM3455, 4.50%, 2/1/2048		2,334		2,587

Pool # BK7006, 4.50%, 6/1/2048		1,141		1,249

Pool # BD9084, 4.50%, 7/1/2048		1,332		1,485

Pool # BK9303, 4.00%, 8/1/2048		5,316		5,810

Pool # CA4662, 3.50%, 9/1/2048		3,119		3,402

Pool # 890863, 5.00%, 9/1/2048		2,903		3,303

Pool # BN1829, 4.50%, 10/1/2048		1,279		1,393

Pool # BN4960, 5.00%, 12/1/2048		814		895

Pool # BM5430, 5.00%, 1/1/2049		3,520		3,939

Pool # BN5013, 5.00%, 1/1/2049		3,160		3,510

Pool # BN6788, 4.50%, 2/1/2049		726		786

Pool # BK0317, 4.00%, 3/1/2049		2,265		2,442

Pool # BO0719, 5.00%, 6/1/2049		1,830		2,054

Pool # BO0721, 5.00%, 6/1/2049		2,534		2,838

Pool # BO0722, 5.00%, 6/1/2049		1,632		1,844


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # BO4276, 3.50%, 7/1/2049		3,341		3,607

Pool # BO4277, 3.50%, 7/1/2049		6,115		6,590

Pool # BO4280, 4.00%, 7/1/2049		5,199		5,665

Pool # BN8529, 4.50%, 7/1/2049		750		825

Pool # BO3436, 4.50%, 7/1/2049		3,714		4,159

Pool # BO0718, 5.00%, 7/1/2049		2,205		2,488

Pool # BO0720, 5.00%, 7/1/2049		1,981		2,205

Pool # BO2496, 5.00%, 7/1/2049		3,144		3,555

Pool # BO2497, 5.00%, 7/1/2049		3,082		3,468

Pool # BO2498, 5.00%, 7/1/2049		3,490		3,939

Pool # BO2499, 5.00%, 7/1/2049		1,158		1,315

Pool # BO3408, 5.00%, 7/1/2049		979		1,073

Pool # BO3749, 4.00%, 8/1/2049		2,525		2,780

Pool # BO3999, 4.00%, 8/1/2049		1,943		2,084

Pool # BO1036, 4.50%, 8/1/2049		289		313

Pool # BO2495, 5.00%, 8/1/2049		3,325		3,771

Pool # BK8769, 3.50%, 10/1/2049		3,012		3,187

Pool # CA4363, 4.00%, 10/1/2049		2,694		2,896

Pool # BO2888, 4.00%, 11/1/2049		1,988		2,147

Pool # BO4387, 4.00%, 11/1/2049		2,196		2,371

Pool # BP1125, 4.00%, 12/1/2049		360		385

Pool # FM2526, 4.00%, 12/1/2049		4,405		4,828

Pool # BP1128, 4.00%, 1/1/2050		1,040		1,125

Pool # BP1132, 4.00%, 1/1/2050		1,197		1,321

Pool # BP1141, 4.00%, 1/1/2050		667		717

Pool # BP1847, 4.50%, 1/1/2050		1,834		2,067

Pool # BP6363, 3.00%, 4/1/2050		6,652		6,988

Pool # BP5296, 3.50%, 4/1/2050		4,012		4,323

Pool # BP5302, 4.00%, 4/1/2050		3,337		3,571

Pool # BP7684, 2.50%, 5/1/2050		4,563		4,743

Pool # BP7685, 2.50%, 5/1/2050		4,974		5,196

Pool # BP8335, 2.50%, 5/1/2050		6,675		7,057

Pool # BP8337, 3.00%, 5/1/2050		4,773		5,132

Pool # CA5729, 3.00%, 5/1/2050		10,124		10,590

Pool # BO4404, 2.50%, 6/1/2050		5,176		5,400

Pool # BP4091, 2.50%, 6/1/2050		6,834		7,119

Pool # BP8336, 2.50%, 6/1/2050		9,181		9,545

Pool # BP8338, 3.00%, 6/1/2050		5,736		6,167

Pool # BK2693, 3.50%, 6/1/2050		1,411		1,494

Pool # BP9337, 3.50%, 6/1/2050		4,204		4,624

Pool # BP9950, 3.50%, 6/1/2050		4,212		4,459

Pool # CA6430, 3.50%, 7/1/2050		7,436		7,997

Pool # BO4410, 3.00%, 8/1/2050		6,145		6,560

Pool # BQ1646, 3.00%, 8/1/2050		4,904		5,266

Pool # BQ4113, 3.00%, 9/1/2050		2,799		2,932


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BQ5586, 3.00%, 10/1/2050		4,073		4,268

Pool # BR0870, 3.50%, 2/1/2051		1,473		1,560

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		4		4

Pool # 252155, 7.00%, 10/1/2028		20		22

Pool # 252334, 6.50%, 2/1/2029		65		73

Pool # 252409, 6.50%, 3/1/2029		68		75

Pool # 253275, 8.50%, 3/1/2030		1		1

Pool # 535442, 8.50%, 6/1/2030		1		1

Pool # 653815, 7.00%, 2/1/2033		17		17

Pool # 752786, 6.00%, 9/1/2033		29		31

Pool # 954255, 6.50%, 8/1/2037		546		622

Pool # 931717, 6.50%, 8/1/2039		253		288

Pool # CA3030, 4.50%, 1/1/2049		7,610		8,322

Pool # CA4047, 4.00%, 8/1/2049		7,892		8,383

Pool # CA4520, 3.50%, 11/1/2049		6,067		6,494

Pool # CB1538, 2.50%, 9/1/2051 (c)		16,980		17,757

FNMA, Other

Pool # 469873, 3.03%, 12/1/2021		6,642		6,641

Pool # 470302, 3.13%, 1/1/2022		1,623		1,623

Pool # 470350, 3.24%, 1/1/2022		4,315		4,315

Pool # 470546, 2.99%, 2/1/2022		1,914		1,914

Pool # 470622, 2.75%, 3/1/2022		741		747

Pool # 471151, 3.02%, 5/1/2022		4,171		4,198

Pool # 471313, 3.08%, 5/1/2022		2,054		2,068

Pool # 471674, 2.79%, 6/1/2022		1,790		1,804

Pool # 471735, 2.79%, 6/1/2022		2,188		2,206

Pool # 471947, 2.75%, 7/1/2022		1,532		1,547

Pool # 471828, 2.65%, 8/1/2022		8,320		8,413

Pool # 471901, 2.90%, 9/1/2022		2,625		2,663

Pool # AM0585, 2.38%, 11/1/2022		1,666		1,690

Pool # AM1619, 2.34%, 12/1/2022		3,745		3,804

Pool # AM2111, 2.34%, 1/1/2023		3,088		3,142

Pool # AM2859, 2.65%, 3/1/2023		2,000		2,058

Pool # AM3069, 2.64%, 4/1/2023		1,720		1,763

Pool # AM3563, 2.51%, 6/1/2023		831		854

Pool # AM3990, 3.74%, 7/1/2023		926		968

Pool # AM4066, 3.59%, 8/1/2023		3,000		3,138

Pool # AM4044, 3.49%, 9/1/2023		5,897		6,170

Pool # AM4716, 3.38%, 12/1/2023		1,408		1,480

Pool # AM7024, 2.90%, 12/1/2024		1,000		1,069

Pool # AM7589, 2.95%, 12/1/2024		1,872		2,000

Pool # AM7290, 2.97%, 12/1/2024		1,131		1,210

Pool # AM7576, 3.04%, 12/1/2024		1,945		2,084

Pool # AM7124, 3.11%, 12/1/2024		3,886		4,174


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # AM7682, 2.84%, 1/1/2025		1,621		1,729

Pool # AM7571, 2.89%, 1/1/2025		1,510		1,615

Pool # AN0029, 3.10%, 9/1/2025		2,288		2,482

Pool # AN0287, 2.95%, 11/1/2025		4,500		4,864

Pool # AM4660, 3.77%, 12/1/2025		4,786		5,314

Pool # AM6381, 3.29%, 8/1/2026		4,914		5,399

Pool # 468574, 4.55%, 8/1/2026		2,445		2,724

Pool # 468573, 4.76%, 8/1/2026		2,503		2,849

Pool # AM6808, 3.24%, 10/1/2026		1,924		2,119

Pool # AM7321, 3.12%, 11/1/2026		936		1,027

Pool # 469615, 4.08%, 11/1/2026		9,525		10,708

Pool # AM7118, 3.14%, 12/1/2026		1,744		1,917

Pool # AN4571, 3.07%, 2/1/2027		1,698		1,862

Pool # AN4363, 3.25%, 2/1/2027		4,129		4,561

Pool # AN4917, 3.13%, 3/1/2027		4,100		4,535

Pool # BL1958, 3.42%, 4/1/2027		3,233		3,602

Pool # 470893, 3.46%, 4/1/2027		2,063		2,285

Pool # AM8745, 2.81%, 5/1/2027		1,627		1,766

Pool # AM8595, 2.83%, 5/1/2027		4,000		4,355

Pool # AM8987, 2.79%, 6/1/2027		884		959

Pool # AM9169, 3.08%, 6/1/2027		2,280		2,510

Pool # AN6318, 3.18%, 8/1/2027		3,000		3,244

Pool # 109421, 3.75%, 9/1/2028		1,926		2,210

Pool # AN9248, 3.81%, 9/1/2028		5,250		5,499

Pool # BL0920, 3.82%, 9/1/2028		2,446		2,820

Pool # AN3828, 2.67%, 12/1/2028		3,557		3,865

Pool # BL0819, 3.95%, 12/1/2028		5,075		5,937

Pool # AN4154, 3.17%, 1/1/2029		6,060		6,789

Pool # AN4349, 3.35%, 1/1/2029		2,970		3,365

Pool # AN5989, 3.21%, 7/1/2029		2,949		3,287

Pool # AN8154, 3.17%, 2/1/2030		6,326		7,108

Pool # AM7516, 3.55%, 2/1/2030		2,000		2,271

Pool # AN6878, 3.11%, 4/1/2030		902		1,007

Pool # AN0099, 3.28%, 11/1/2030		6,895		7,804

Pool # 467096, 4.97%, 2/1/2031		2,779		3,204

Pool # AN1676, 2.99%, 5/1/2031		3,835		4,248

Pool # AI2479, 5.00%, 5/1/2031		128		141

Pool # AN6123, 3.06%, 8/1/2032		800		884

Pool # AN6651, 2.94%, 10/1/2032		651		715

Pool # AD8548, 5.50%, 1/1/2033		159		174

Pool # AR7484, 3.50%, 2/1/2033		1,067		1,151

Pool # AT7117, 3.50%, 6/1/2033		1,380		1,488

Pool # 754922, 5.50%, 9/1/2033		53		60

Pool # 762520, 4.00%, 11/1/2033		198		209

Pool # BL1425, 4.06%, 1/1/2034		2,843		3,393


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AM9188, 3.12%, 6/1/2035		2,000			2,273

Pool # 847108, 6.50%, 10/1/2035		72			81

Pool # 881628, 5.00%, 1/1/2036		22			24

Pool # 256128, 6.00%, 2/1/2036		13			14

Pool # 868763, 6.50%, 4/1/2036		7			7

Pool # 872740, 6.50%, 6/1/2036		37			39

Pool # 907742, 7.00%, 12/1/2036		35			39

Pool # 256651, 6.00%, 3/1/2037		23			25

Pool # 888408, 6.00%, 3/1/2037		48			52

Pool # 888373, 7.00%, 3/1/2037		48			53

Pool # 888796, 6.00%, 9/1/2037		125			140

Pool # 888698, 7.00%, 10/1/2037		129			152

Pool # 257172, 5.50%, 4/1/2038		23			26

Pool # AD0810, 6.00%, 11/1/2039		—	(b)		—	(b)

Pool # AB1830, 3.50%, 11/1/2040		331			353

Pool # AL2606, 4.00%, 3/1/2042		215			226

Pool # AO6757, 4.00%, 6/1/2042		1,500			1,649

Pool # AO7225, 4.00%, 7/1/2042		917			1,001

Pool # AO9352, 4.00%, 7/1/2042		597			651

Pool # AO9353, 4.00%, 7/1/2042		630			693

Pool # AP0838, 4.00%, 7/1/2042		4,599			5,017

Pool # MA1125, 4.00%, 7/1/2042		370			404

Pool # MA1177, 3.50%, 9/1/2042		493			533

Pool # MA1178, 4.00%, 9/1/2042		1,066			1,163

Pool # MA1213, 3.50%, 10/1/2042		2,365			2,555

Pool # AR1397, 3.00%, 1/1/2043		1,062			1,136

Pool # AB8517, 3.00%, 2/1/2043		553			589

Pool # MA1373, 3.50%, 3/1/2043		2,559			2,775

Pool # MA1437, 3.50%, 5/1/2043		779			844

Pool # MA1442, 4.00%, 5/1/2043		2,043			2,234

Pool # MA1463, 3.50%, 6/1/2043		1,286			1,394

Pool # MA1552, 3.00%, 8/1/2043		819			876

Pool # MA1582, 3.50%, 9/1/2043		173			188

Pool # MA2434, 3.50%, 9/1/2045		914			990

Pool # MA2493, 3.50%, 12/1/2045		198			214

Pool # BC1157, 3.50%, 1/1/2046		657			708

Pool # MA2545, 3.50%, 2/1/2046		396			428

Pool # BC4832, 3.50%, 3/1/2046		134			142

Pool # AS6970, 3.50%, 4/1/2046		2,401			2,588

Pool # BC8400, 3.50%, 5/1/2046		583			626

Pool # AS7424, 3.50%, 6/1/2046		1,491			1,617

Pool # MA2658, 3.50%, 6/1/2046		4,645			5,037

Pool # BF0491, 3.50%, 12/1/2054		20,634			22,530

Pool # BF0141, 5.50%, 9/1/2056 (c)		10,913			12,947

Pool # BF0230, 5.50%, 1/1/2058		9,308			11,131


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # BF0271, 5.50%, 5/1/2058		5,591			6,645

Pool # BF0340, 5.00%, 1/1/2059		10,849			12,623

Pool # BF0464, 3.50%, 3/1/2060		7,455			8,116

Pool # BF0507, 3.00%, 9/1/2060		4,134			4,403

FNMA/FHLMC UMBS, Single Family, 15 Year

TBA, 2.00%, 10/25/2036 (c)		102,770			106,181

FNMA/FHLMC UMBS, Single Family, 30 Year

TBA, 2.50%, 10/25/2051 (c)		366,630			380,065

GNMA I, 30 Year

Pool # 608665, 6.50%, 8/15/2022		18			18

Pool # 554105, 6.50%, 3/15/2023		4			4

Pool # 345288, 7.50%, 3/15/2023		1			1

Pool # 623185, 7.00%, 8/15/2023		5			5

Pool # 628407, 6.50%, 11/15/2023		10			10

Pool # 782507, 9.50%, 10/15/2024		—	(b)		—	(b)

Pool # 441957, 6.38%, 8/15/2026		16			18

Pool # 780653, 6.50%, 10/15/2027		222			248

Pool # 450038, 7.50%, 7/15/2028		5			5

Pool # 486537, 7.50%, 9/15/2028		3			4

Pool # 486631, 6.50%, 10/15/2028		1			1

Pool # 556255, 6.50%, 10/15/2031		32			36

Pool # 569568, 6.50%, 1/15/2032		142			166

Pool # 611453, 7.00%, 4/15/2032		10			10

Pool # 569423, 7.00%, 5/15/2032		43			48

Pool # 591882, 6.50%, 7/15/2032		18			20

Pool # 552665, 7.00%, 7/15/2032		28			30

Pool # 782032, 7.00%, 10/15/2032		91			106

Pool # 591420, 7.50%, 1/15/2033		18			18

Pool # 607645, 6.50%, 2/15/2033		16			18

Pool # 604168, 6.50%, 4/15/2033		13			14

Pool # 615786, 7.00%, 5/15/2033		18			19

Pool # 781614, 7.00%, 6/15/2033		37			45

Pool # 638733, 7.00%, 3/15/2037		155			170

Pool # 759537, 3.49%, 1/15/2041		1,509			1,651

Pool # 759561, 3.49%, 1/15/2041		940			1,028

Pool # 759374, 3.49%, 2/15/2041		1,486			1,624

Pool # 762703, 3.49%, 2/15/2041		643			702

Pool # 762954, 2.99%, 3/15/2041		214			235

Pool # 763239, 2.99%, 3/15/2041		229			251

Pool # 763025, 3.13%, 3/15/2041		212			232

Pool # 762751, 3.49%, 3/15/2041		1,341			1,467

Pool # 762953, 3.49%, 3/15/2041		883			966

Pool # 762973, 3.49%, 3/15/2041		219			239

Pool # 763140, 3.13%, 4/15/2041		124			136

Pool # 763021, 3.49%, 4/15/2041		304			332


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 763180, 3.49%, 4/15/2041		67		73

Pool # 380437, 3.13%, 5/15/2041		128		140

Pool # 770881, 3.13%, 5/15/2041		123		135

Pool # 763366, 3.49%, 5/15/2041		60		65

Pool # 770909, 2.99%, 6/15/2041		292		319

Pool # 380436, 3.38%, 6/15/2041		330		361

Pool # 770754, 3.38%, 6/15/2041		382		418

Pool # 770879, 3.38%, 6/15/2041		177		194

Pool # AT7652, 4.00%, 8/15/2046		1,448		1,595

Pool # 784450, 4.00%, 2/15/2048		6,522		7,011

Pool # BI6468, 5.00%, 12/15/2048		3,866		4,469

Pool # BM1750, 5.00%, 4/15/2049		2,556		2,939

Pool # BM4206, 5.00%, 4/15/2049		1,653		1,893

Pool # BM4207, 5.00%, 4/15/2049		1,013		1,160

Pool # BM4208, 5.00%, 4/15/2049		4,182		4,790

Pool # BM1957, 5.00%, 5/15/2049		3,533		4,085

Pool # BN4051, 5.00%, 6/15/2049		3,481		3,987

Pool # BN4052, 5.00%, 6/15/2049		5,379		6,160

Pool # BN4053, 5.00%, 6/15/2049		6,099		6,972

Pool # BM9691, 4.50%, 7/15/2049		5,896		6,575

Pool # BM2141, 5.00%, 7/15/2049		2,631		3,012

Pool # BM2163, 5.00%, 7/15/2049		4,695		5,384

Pool # BM2281, 5.00%, 7/15/2049		3,832		4,416

Pool # BM2305, 5.00%, 8/15/2049		2,048		2,343

Pool # BV2390, 3.50%, 7/15/2050		2,160		2,347

Pool # BW7021, 3.50%, 8/15/2050		4,217		4,583

Pool # BW7044, 3.50%, 9/15/2050		4,104		4,459

Pool # BW7064, 3.50%, 10/15/2050		1,857		2,019

Pool # BY7857, 3.50%, 11/15/2050		1,829		1,988

Pool # BY7874, 3.50%, 12/15/2050		1,281		1,393

Pool # CA3251, 3.50%, 12/15/2050		1,194		1,298

Pool # BY7887, 3.50%, 1/15/2051		3,037		3,300

Pool # CA3320, 3.50%, 1/15/2051		1,618		1,759

Pool # CA3304, 3.50%, 2/15/2051		1,177		1,280

Pool # CE2513, 3.50%, 5/15/2051		1,191		1,252

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		1		2

Pool # 2006, 8.50%, 5/20/2025		1		1

Pool # 2234, 8.00%, 6/20/2026		1		1

Pool # 2270, 8.00%, 8/20/2026		1		1

Pool # 2324, 8.00%, 11/20/2026		1		1

Pool # 2499, 8.00%, 10/20/2027		3		3

Pool # 2549, 7.50%, 2/20/2028		1		1

Pool # 2646, 7.50%, 9/20/2028		2		3

Pool # 737076, 6.50%, 10/20/2033		171		190


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # 616732, 6.50%, 9/20/2034		114		121

Pool # 748766, 6.50%, 1/20/2039		41		43

Pool # 752496, 6.50%, 1/20/2039		125		147

Pool # 783389, 6.00%, 8/20/2039		598		683

Pool # 783444, 5.50%, 9/20/2039		126		144

Pool # 742853, 3.88%, 4/20/2040		1,714		1,885

Pool # 742810, 3.88%, 6/20/2040		1,580		1,729

Pool # 742801, 3.88%, 8/20/2040		649		712

Pool # 742876, 3.25%, 11/20/2040		1,407		1,517

Pool # 742878, 3.88%, 11/20/2040		5,121		5,633

Pool # BZ8504, 2.50%, 12/20/2040		1,022		1,061

Pool # 742883, 3.25%, 2/20/2041		2,398		2,610

Pool # 742885, 3.75%, 2/20/2041		262		279

Pool # 742884, 3.88%, 2/20/2041		2,821		3,078

Pool # 751810, 3.50%, 3/20/2041		910		996

Pool # BZ1781, 4.50%, 5/20/2041		1,306		1,421

Pool # BZ1778, 4.00%, 10/20/2041		1,086		1,169

Pool # BZ1774, 3.50%, 12/20/2041		1,898		2,037

Pool # BZ1664, 4.00%, 12/20/2042		1,388		1,498

Pool # BZ1780, 4.50%, 10/20/2043		1,856		2,023

Pool # AE8053, 4.00%, 12/20/2043		1,188		1,275

Pool # BZ1770, 3.00%, 6/20/2044		2,780		2,947

Pool # BZ1661, 3.50%, 8/20/2044		1,407		1,498

Pool # BZ1773, 3.50%, 9/20/2044		2,914		3,128

Pool # AJ9020, 4.50%, 10/20/2044		142		150

Pool # 783967, 4.25%, 12/20/2044		1,683		1,826

Pool # BZ1777, 4.00%, 3/20/2045		1,272		1,376

Pool # BY6444, 2.50%, 11/20/2045		869		904

Pool # BZ8502, 2.50%, 12/20/2045		1,744		1,828

Pool # BZ8503, 2.50%, 12/20/2045		1,244		1,300

Pool # AK8803, 4.00%, 3/20/2046		1,299		1,458

Pool # BZ1663, 4.00%, 7/20/2046		1,978		2,134

Pool # AS8110, 3.75%, 8/20/2046		2,422		2,691

Pool # AY2378, 3.25%, 2/20/2047		340		370

Pool # AY2381, 4.25%, 7/20/2047		1,283		1,439

Pool # BZ1769, 3.00%, 8/20/2047		2,234		2,384

Pool # BZ1654, 3.00%, 9/20/2047		1,002		1,063

Pool # AY2388, 4.25%, 9/20/2047		3,498		3,925

Pool # BD3185, 4.00%, 10/20/2047		12,039		12,955

Pool # BZ1660, 3.50%, 11/20/2047		2,627		2,815

Pool # BZ1772, 3.50%, 11/20/2047		5,155		5,521

Pool # BZ1776, 4.00%, 11/20/2047		2,556		2,749

Pool # AY2392, 4.25%, 11/20/2047		3,784		4,245

Pool # BE4662, 4.00%, 12/20/2047		18,988		20,681

Pool # BB8795, 4.00%, 1/20/2048		4,265		4,677


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AY2395, 4.25%, 1/20/2048		3,039		3,410

Pool # AY2404, 4.25%, 5/20/2048		4,570		5,128

Pool # BG6360, 5.00%, 5/20/2048		3,684		4,096

Pool # BF2645, 5.50%, 5/20/2048		791		901

Pool # AY2405, 4.25%, 6/20/2048		5,735		6,436

Pool # BD0531, 5.00%, 6/20/2048		1,380		1,505

Pool # BD0532, 5.00%, 6/20/2048		1,206		1,303

Pool # BF2971, 5.00%, 6/20/2048		1,671		1,839

Pool # AY2407, 4.25%, 7/20/2048		2,058		2,309

Pool # AY2408, 4.50%, 7/20/2048		1,380		1,539

Pool # BG7397, 4.50%, 7/20/2048		1,190		1,288

Pool # BF3017, 5.00%, 7/20/2048		1,142		1,250

Pool # AY2409, 4.25%, 8/20/2048		1,668		1,872

Pool # AY2410, 4.50%, 8/20/2048		1,127		1,257

Pool # BD0550, 5.00%, 8/20/2048		2,382		2,590

Pool # BG7389, 5.00%, 8/20/2048		1,572		1,734

Pool # BG7391, 5.00%, 8/20/2048		1,536		1,677

Pool # AY2412, 4.50%, 9/20/2048		5,416		6,041

Pool # 784626, 4.50%, 10/20/2048		1,249		1,344

Pool # BI4488, 4.50%, 11/20/2048		1,172		1,266

Pool # BK2584, 5.00%, 11/20/2048		351		378

Pool # BK2585, 5.00%, 11/20/2048		921		1,008

Pool # BK2586, 5.00%, 11/20/2048		776		847

Pool # BI6431, 4.50%, 12/20/2048		2,265		2,513

Pool # BI6669, 4.50%, 12/20/2048		2,341		2,569

Pool # BH3133, 5.00%, 12/20/2048		3,556		3,972

Pool # BJ7083, 5.00%, 12/20/2048		485		523

Pool # BJ7084, 5.00%, 12/20/2048		1,866		2,039

Pool # BK7169, 5.00%, 12/20/2048		2,259		2,461

Pool # BJ1334, 5.00%, 1/20/2049		3,384		3,769

Pool # BJ9637, 5.00%, 1/20/2049		1,019		1,137

Pool # BJ9641, 5.00%, 1/20/2049		1,835		2,048

Pool # BJ9642, 5.00%, 1/20/2049		1,353		1,513

Pool # BJ9824, 4.50%, 2/20/2049		2,294		2,558

Pool # BJ9825, 4.50%, 2/20/2049		1,346		1,501

Pool # BK7188, 4.50%, 2/20/2049		2,573		2,787

Pool # BJ9630, 5.00%, 2/20/2049		889		974

Pool # BJ9633, 5.00%, 2/20/2049		1,076		1,176

Pool # BK7189, 5.00%, 2/20/2049		2,579		2,820

Pool # BK7198, 4.50%, 3/20/2049		1,898		2,037

Pool # BL6765, 5.50%, 5/20/2049		5,115		5,773

Pool # BN0907, 4.50%, 6/20/2049		992		1,089

Pool # BN1498, 5.00%, 6/20/2049		2,328		2,542

Pool # BN1499, 5.00%, 6/20/2049		5,347		5,872

Pool # BN1500, 5.50%, 6/20/2049		1,476		1,698


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # BN2627, 4.00%, 7/20/2049		2,833		3,101

Pool # BN2628, 4.00%, 7/20/2049		3,423		3,718

Pool # BO0521, 4.00%, 7/20/2049		748		804

Pool # BM9692, 4.50%, 7/20/2049		1,637		1,758

Pool # BN0879, 5.00%, 7/20/2049		337		369

Pool # BO3160, 5.00%, 7/20/2049		928		1,040

Pool # BP4237, 5.00%, 7/20/2049		1,040		1,154

Pool # BP4238, 5.00%, 7/20/2049		944		1,056

Pool # BP4240, 5.00%, 7/20/2049		833		928

Pool # BP4241, 5.00%, 7/20/2049		1,495		1,664

Pool # BP4242, 5.00%, 7/20/2049		971		1,088

Pool # BL9354, 4.00%, 8/20/2049		2,368		2,606

Pool # BM2327, 4.00%, 8/20/2049		575		604

Pool # BM2418, 4.00%, 8/20/2049		2,939		3,187

Pool # BN0884, 4.00%, 8/20/2049		509		544

Pool # BN0889, 4.50%, 8/20/2049		582		635

Pool # BN7048, 4.50%, 8/20/2049		4,062		4,449

Pool # BN7049, 4.50%, 8/20/2049		5,606		6,208

Pool # BN0890, 5.00%, 8/20/2049		644		728

Pool # BN0891, 5.00%, 8/20/2049		371		408

Pool # BN0892, 5.00%, 8/20/2049		299		324

Pool # BN0893, 5.00%, 8/20/2049		585		645

Pool # BO3257, 5.00%, 8/20/2049		1,105		1,238

Pool # BP4290, 5.00%, 8/20/2049		917		1,001

Pool # BP4291, 5.00%, 8/20/2049		1,281		1,403

Pool # BP4292, 5.00%, 8/20/2049		2,557		2,804

Pool # BP4293, 5.00%, 8/20/2049		1,857		2,030

Pool # BP4294, 5.00%, 8/20/2049		1,913		2,104

Pool # BN0896, 4.00%, 9/20/2049		1,689		1,820

Pool # BI0930, 4.50%, 9/20/2049		2,201		2,437

Pool # BM9714, 4.50%, 9/20/2049		2,137		2,342

Pool # 784810, 5.00%, 9/20/2049		5,507		6,193

Pool # AC2995, 5.00%, 9/20/2049		3,646		4,043

Pool # BP2853, 5.00%, 9/20/2049		3,668		4,066

Pool # BP8644, 5.00%, 9/20/2049		1,524		1,723

Pool # BP8645, 5.00%, 9/20/2049		1,181		1,333

Pool # BQ3138, 4.00%, 10/20/2049		1,113		1,209

Pool # AC2994, 4.50%, 10/20/2049		1,063		1,164

Pool # BQ9513, 3.50%, 11/20/2049		2,595		2,767

Pool # BQ3791, 4.00%, 11/20/2049		3,203		3,487

Pool # BR2638, 4.00%, 11/20/2049		504		552

Pool # 784847, 4.50%, 11/20/2049		5,435		5,932

Pool # BP2896, 4.50%, 11/20/2049		2,682		3,014

Pool # BP7772, 4.50%, 11/20/2049		362		396

Pool # BP8665, 4.50%, 11/20/2049		539		584


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BP8666, 4.50%, 11/20/2049		2,026		2,222

Pool # BP8667, 5.00%, 11/20/2049		783		879

Pool # BP8668, 5.00%, 11/20/2049		381		414

Pool # BR1542, 5.00%, 11/20/2049		1,846		2,038

Pool # BP8669, 5.50%, 11/20/2049		941		1,091

Pool # BP7668, 3.50%, 12/20/2049		8,282		8,873

Pool # BP7795, 3.50%, 12/20/2049		2,604		2,784

Pool # BP8670, 3.50%, 12/20/2049		938		1,019

Pool # BL9372, 4.00%, 12/20/2049		1,482		1,649

Pool # BP5516, 4.00%, 12/20/2049		2,024		2,232

Pool # BP8672, 4.00%, 12/20/2049		1,032		1,136

Pool # BP8673, 4.00%, 12/20/2049		1,078		1,176

Pool # BP8674, 4.00%, 12/20/2049		1,470		1,592

Pool # BQ3790, 4.00%, 12/20/2049		7,343		8,098

Pool # BJ9866, 4.50%, 12/20/2049		3,039		3,389

Pool # BL9374, 4.50%, 12/20/2049		371		408

Pool # BP8676, 4.50%, 12/20/2049		915		1,005

Pool # BP8677, 4.50%, 12/20/2049		1,946		2,134

Pool # BP8678, 5.00%, 12/20/2049		1,448		1,636

Pool # BP8679, 5.50%, 12/20/2049		1,035		1,200

Pool # BP8021, 3.50%, 1/20/2050		2,383		2,577

Pool # BP8681, 3.50%, 1/20/2050		1,539		1,628

Pool # BL9379, 4.00%, 1/20/2050		3,142		3,497

Pool # BP8682, 4.00%, 1/20/2050		1,576		1,735

Pool # BP8683, 4.00%, 1/20/2050		1,568		1,717

Pool # BT0281, 4.00%, 1/20/2050		5,331		5,860

Pool # BP8688, 4.50%, 1/20/2050		2,244		2,462

Pool # BR0539, 4.50%, 1/20/2050		4,889		5,495

Pool # BP8020, 3.50%, 2/20/2050		1,759		1,902

Pool # BP8022, 3.50%, 2/20/2050		1,826		1,974

Pool # BQ1338, 4.00%, 2/20/2050		6,101		6,718

Pool # BQ7054, 4.00%, 2/20/2050		2,665		2,993

Pool # BS8384, 5.00%, 2/20/2050		2,701		2,966

Pool # BS8400, 3.00%, 3/20/2050		6,125		6,405

Pool # BT0397, 3.00%, 3/20/2050		1,453		1,521

Pool # BQ4110, 3.50%, 3/20/2050		7,456		8,149

Pool # BS5879, 3.50%, 3/20/2050		1,147		1,256

Pool # BS8411, 3.50%, 3/20/2050		6,479		6,817

Pool # BT0399, 3.50%, 3/20/2050		2,254		2,380

Pool # BT3628, 3.50%, 3/20/2050		2,199		2,403

Pool # BT3629, 3.50%, 3/20/2050		781		852

Pool # BT8043, 3.50%, 3/20/2050		1,395		1,526

Pool # BT8044, 3.50%, 3/20/2050		3,585		3,898

Pool # BT8045, 3.50%, 3/20/2050		4,462		4,848

Pool # BT8046, 3.50%, 3/20/2050		6,381		6,887


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # BT8047, 3.50%, 3/20/2050		4,317		4,701

Pool # BT8048, 3.50%, 3/20/2050		4,021		4,396

Pool # BS5873, 4.00%, 3/20/2050		1,167		1,282

Pool # BS5874, 4.00%, 3/20/2050		3,902		4,288

Pool # BQ7064, 3.50%, 4/20/2050		1,084		1,202

Pool # BT3736, 3.50%, 4/20/2050		3,257		3,508

Pool # BU3072, 5.00%, 4/20/2050		2,382		2,632

Pool # BQ4098, 3.00%, 5/20/2050		8,752		9,166

Pool # BR3899, 3.00%, 5/20/2050		1,037		1,085

Pool # BT4019, 3.00%, 5/20/2050		3,722		3,895

Pool # BQ7069, 3.25%, 5/20/2050		2,423		2,645

Pool # BQ7083, 3.25%, 5/20/2050		990		1,080

Pool # BS7609, 3.50%, 5/20/2050		4,790		5,065

Pool # BT3843, 3.50%, 5/20/2050		2,305		2,491

Pool # BQ7073, 4.00%, 5/20/2050		1,213		1,300

Pool # BV2935, 4.50%, 5/20/2050		1,795		1,987

Pool # BV6609, 4.50%, 5/20/2050		756		840

Pool # BV6631, 4.50%, 5/20/2050		1,828		2,031

Pool # BV6670, 4.50%, 5/20/2050		1,088		1,194

Pool # MA6661, 5.50%, 5/20/2050		133		147

Pool # BT4096, 3.00%, 6/20/2050		5,935		6,207

Pool # BU7682, 3.00%, 6/20/2050		5,583		5,895

Pool # BQ7084, 3.25%, 6/20/2050		2,771		3,025

Pool # BV8680, 3.50%, 6/20/2050		2,194		2,383

Pool # BV8683, 3.50%, 6/20/2050		927		999

Pool # BV8684, 3.50%, 6/20/2050		1,681		1,798

Pool # BV8685, 3.50%, 6/20/2050		2,607		2,757

Pool # BQ7086, 4.00%, 6/20/2050		3,258		3,660

Pool # BQ7092, 4.00%, 6/20/2050		3,800		4,118

Pool # BR3901, 4.00%, 6/20/2050		3,239		3,578

Pool # BT4070, 4.00%, 6/20/2050		1,097		1,205

Pool # BV8688, 4.00%, 6/20/2050		1,496		1,611

Pool # BQ7087, 4.25%, 6/20/2050		1,046		1,174

Pool # BV2372, 4.50%, 6/20/2050		2,347		2,598

Pool # BV6632, 4.50%, 6/20/2050		3,374		3,745

Pool # BQ7088, 5.00%, 6/20/2050		1,434		1,618

Pool # BV8696, 3.00%, 7/20/2050		3,373		3,528

Pool # BV8711, 3.00%, 7/20/2050		3,716		3,888

Pool # BV8727, 3.00%, 7/20/2050		2,173		2,284

Pool # BW0561, 3.00%, 7/20/2050		1,891		1,979

Pool # BQ7085, 3.25%, 7/20/2050		4,997		5,387

Pool # BV8699, 3.50%, 7/20/2050		1,925		2,091

Pool # BV8700, 3.50%, 7/20/2050		1,949		2,061

Pool # BV8716, 3.50%, 7/20/2050		2,327		2,461

Pool # BQ7097, 4.00%, 7/20/2050		4,068		4,531


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BU7564, 4.00%, 7/20/2050		3,598		3,988

Pool # BV8702, 4.00%, 7/20/2050		898		972

Pool # BW5975, 4.00%, 7/20/2050		2,628		2,798

Pool # BW5994, 4.00%, 7/20/2050		2,400		2,621

Pool # BV2395, 4.50%, 7/20/2050		3,122		3,528

Pool # BV8722, 2.50%, 8/20/2050		4,003		4,154

Pool # BV8726, 3.00%, 8/20/2050		860		915

Pool # BX4922, 3.00%, 8/20/2050		1,046		1,126

Pool # BX4923, 3.00%, 8/20/2050		3,010		3,149

Pool # BW1746, 3.25%, 8/20/2050		4,451		4,859

Pool # BR3911, 3.50%, 8/20/2050		4,898		5,389

Pool # BV2402, 3.50%, 8/20/2050		7,279		7,998

Pool # BX4927, 3.50%, 8/20/2050		1,411		1,509

Pool # BX4928, 3.50%, 8/20/2050		2,338		2,475

Pool # BX4939, 3.50%, 8/20/2050		3,174		3,420

Pool # BW1747, 4.00%, 8/20/2050		980		1,101

Pool # BW7383, 4.00%, 8/20/2050		5,291		5,871

Pool # BX6092, 4.00%, 8/20/2050		3,626		4,023

Pool # BX6093, 4.00%, 8/20/2050		9,206		10,136

Pool # BW0559, 4.50%, 8/20/2050		1,340		1,466

Pool # BW7033, 4.50%, 8/20/2050		1,093		1,229

Pool # BZ1653, 3.00%, 9/20/2050		1,057		1,134

Pool # BW1757, 3.25%, 9/20/2050		4,979		5,368

Pool # BR3917, 3.50%, 9/20/2050		9,822		10,805

Pool # BU7559, 3.50%, 9/20/2050		6,239		6,752

Pool # BW1718, 3.50%, 9/20/2050		6,045		6,618

Pool # BW1758, 3.50%, 9/20/2050		2,708		2,972

Pool # BX4956, 3.50%, 9/20/2050		2,279		2,480

Pool # BY3407, 3.50%, 9/20/2050		3,686		4,015

Pool # BY3408, 3.50%, 9/20/2050		1,878		2,044

Pool # BY3432, 3.50%, 9/20/2050		4,074		4,435

Pool # BR3918, 4.00%, 9/20/2050		1,260		1,402

Pool # BW1759, 4.00%, 9/20/2050		1,796		2,017

Pool # BX3717, 4.00%, 9/20/2050		1,031		1,116

Pool # BX3718, 4.00%, 9/20/2050		1,529		1,657

Pool # BW7043, 4.50%, 9/20/2050		1,535		1,727

Pool # BW1760, 4.75%, 9/20/2050		1,192		1,326

Pool # BX4971, 2.50%, 10/20/2050		1,482		1,554

Pool # BY6410, 2.50%, 10/20/2050		1,588		1,648

Pool # BW1771, 3.00%, 10/20/2050		1,514		1,648

Pool # BW1772, 3.25%, 10/20/2050		2,154		2,351

Pool # BU7550, 3.50%, 10/20/2050		8,443		9,136

Pool # BW1773, 3.50%, 10/20/2050		2,036		2,256

Pool # BW7062, 3.50%, 10/20/2050		24,404		26,823

Pool # BY6416, 3.50%, 10/20/2050		1,775		1,931


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # BZ1658, 3.50%, 10/20/2050		1,353		1,469

Pool # BY6421, 4.00%, 10/20/2050		1,046		1,120

Pool # BZ1662, 4.00%, 10/20/2050		1,483		1,601

Pool # BW1774, 4.25%, 10/20/2050		1,223		1,372

Pool # BS8528, 2.50%, 11/20/2050		21,844		22,999

Pool # BY6440, 2.50%, 11/20/2050		2,843		2,981

Pool # BY6441, 2.50%, 11/20/2050		2,232		2,351

Pool # BY6443, 2.50%, 11/20/2050		2,157		2,250

Pool # BY6445, 2.50%, 11/20/2050		2,386		2,476

Pool # BY6447, 3.00%, 11/20/2050		4,553		4,890

Pool # BZ2574, 3.00%, 11/20/2050		1,050		1,142

Pool # BZ3559, 3.00%, 11/20/2050		1,008		1,074

Pool # BZ2575, 3.25%, 11/20/2050		3,396		3,707

Pool # BY6453, 3.50%, 11/20/2050		1,175		1,283

Pool # BY6454, 3.50%, 11/20/2050		2,031		2,211

Pool # BY6455, 3.50%, 11/20/2050		1,744		1,898

Pool # BY6456, 3.50%, 11/20/2050		1,005		1,078

Pool # BZ1771, 3.50%, 11/20/2050		3,130		3,353

Pool # BZ3527, 3.50%, 11/20/2050		6,521		7,099

Pool # BZ3560, 3.50%, 11/20/2050		1,493		1,628

Pool # BY5559, 4.00%, 11/20/2050		11,010		12,125

Pool # BY6457, 4.00%, 11/20/2050		1,024		1,124

Pool # BY6458, 4.00%, 11/20/2050		905		987

Pool # BZ2576, 4.00%, 11/20/2050		4,558		5,119

Pool # BY7851, 4.50%, 11/20/2050		1,761		1,982

Pool # BZ1779, 4.50%, 11/20/2050		1,309		1,424

Pool # BS8546, 2.50%, 12/20/2050		7,299		7,680

Pool # BZ8499, 2.50%, 12/20/2050		2,003		2,090

Pool # BZ8500, 2.50%, 12/20/2050		2,425		2,551

Pool # BZ8501, 2.50%, 12/20/2050		2,796		2,932

Pool # BZ8505, 2.50%, 12/20/2050		1,125		1,176

Pool # BZ8507, 2.50%, 12/20/2050		2,734		2,837

Pool # BZ2590, 3.25%, 12/20/2050		2,333		2,523

Pool # BZ2591, 3.50%, 12/20/2050		1,711		1,897

Pool # BZ2592, 3.50%, 12/20/2050		2,136		2,350

Pool # BZ8515, 3.50%, 12/20/2050		1,861		2,027

Pool # BZ8516, 3.50%, 12/20/2050		972		1,052

Pool # BZ1775, 4.00%, 12/20/2050		2,480		2,681

Pool # BZ6501, 4.00%, 12/20/2050		10,222		11,239

Pool # BZ8495, 4.00%, 12/20/2050		2,020		2,162

Pool # BY7873, 4.50%, 12/20/2050		1,440		1,621

Pool # CB4508, 5.00%, 12/20/2050		950		1,074

Pool # BZ8530, 2.50%, 1/20/2051		1,266		1,319

Pool # CB4502, 3.00%, 1/20/2051		1,697		1,819

Pool # CB4503, 3.00%, 1/20/2051		1,169		1,223


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BZ2606, 3.25%, 1/20/2051		2,147		2,344

Pool # 785294, 3.50%, 1/20/2051		14,442		15,904

Pool # BY7890, 3.50%, 1/20/2051		11,519		12,664

Pool # BZ8541, 3.50%, 1/20/2051		1,033		1,107

Pool # BZ8542, 3.50%, 1/20/2051		1,092		1,149

Pool # CB1505, 3.50%, 1/20/2051		13,795		15,020

Pool # CB4504, 3.50%, 1/20/2051		1,475		1,606

Pool # BZ2614, 4.00%, 1/20/2051		970		1,079

Pool # BZ8544, 4.00%, 1/20/2051		852		935

Pool # CB2357, 4.00%, 1/20/2051		1,757		1,905

Pool # CB4506, 4.00%, 1/20/2051		2,156		2,381

Pool # CB1543, 3.00%, 2/20/2051		6,590		7,015

Pool # CB3225, 3.25%, 2/20/2051		1,036		1,131

Pool # CA9001, 3.50%, 2/20/2051		8,525		9,368

Pool # CB3226, 3.50%, 2/20/2051		1,111		1,233

Pool # CB4521, 3.50%, 2/20/2051		1,933		2,100

Pool # CB4522, 3.50%, 2/20/2051		1,370		1,483

Pool # CB4524, 4.00%, 2/20/2051		1,153		1,256

Pool # CA8994, 4.50%, 2/20/2051		1,672		1,866

Pool # CB4433, 3.00%, 3/20/2051		5,080		5,315

Pool # CB3240, 3.25%, 3/20/2051		1,264		1,363

Pool # CB3242, 3.50%, 3/20/2051		2,205		2,389

Pool # CB4538, 3.50%, 3/20/2051		1,167		1,271

Pool # CB3253, 3.25%, 4/20/2051		1,127		1,230

Pool # CB3254, 3.50%, 4/20/2051		1,657		1,838

Pool # CB3255, 3.50%, 4/20/2051		1,776		1,970

Pool # CB3256, 3.50%, 4/20/2051		3,505		3,885

Pool # CC9816, 3.00%, 5/20/2051		2,621		2,760

Pool # CD0432, 3.50%, 5/20/2051		2,183		2,422

Pool # CD0433, 3.50%, 5/20/2051		2,351		2,607

Pool # CD0434, 3.50%, 5/20/2051		2,882		3,196

Pool # CC9825, 2.50%, 6/20/2051		1,851		1,941

Pool # CC9826, 2.50%, 6/20/2051		2,076		2,171

Pool # CC9831, 3.00%, 6/20/2051		1,698		1,778

Pool # CD0442, 3.50%, 6/20/2051		2,016		2,208

Pool # CD0443, 3.50%, 6/20/2051		1,601		1,751

Pool # CD0444, 3.50%, 6/20/2051		2,106		2,292

Pool # CC9835, 4.00%, 6/20/2051		1,003		1,107

Pool # CC9836, 4.00%, 6/20/2051		1,222		1,330

Pool # CC9837, 4.00%, 6/20/2051		1,251		1,340

Pool # CD0454, 3.50%, 7/20/2051		2,809		3,075

Pool # CE9918, 3.50%, 7/20/2051		1,945		2,118

Pool # CE9919, 3.50%, 7/20/2051		1,135		1,225

Pool # CE9920, 3.50%, 7/20/2051		2,186		2,327

Pool # CE9923, 4.00%, 7/20/2051		1,327		1,422


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # MA7534, 2.50%, 8/20/2051		138,420		143,701

Pool # CE9932, 3.00%, 8/20/2051		2,376		2,499

Pool # CD0461, 3.50%, 8/20/2051		1,488		1,636

Pool # CE9935, 3.50%, 8/20/2051		1,176		1,268

Pool # CE9936, 3.50%, 8/20/2051		1,424		1,526

Pool # CE9937, 3.50%, 8/20/2051		1,508		1,605

Pool # CE9939, 4.00%, 8/20/2051		1,172		1,256

GNMA II, Other

Pool # AD0018, 3.75%, 12/20/2032		1,124		1,210

Pool # AH5895, 4.00%, 6/20/2034		293		322

Pool # 4285, 6.00%, 11/20/2038		17		19

Pool # BO1377, 3.75%, 2/20/2040		1,190		1,302

Pool # BO1378, 4.00%, 1/20/2041		1,397		1,560

Pool # CD7341, 3.50%, 7/20/2047		8,685		9,234

Pool # BS0536, 3.00%, 3/20/2048		3,029		3,169

Pool # BS0538, 4.00%, 12/20/2048		2,863		3,085

Pool # BS0539, 4.50%, 1/20/2049		1,912		2,073

Pool # MA6145, 3.50%, 9/20/2049		1,119		1,152

Pool # CE3912, 5.00%, 9/20/2049		7,651		8,251

Pool # BS0537, 3.50%, 12/20/2049		1,142		1,211

Pool # AC0979, 4.14%, 4/20/2063 (a)		17		17

Pool # AC0977, 4.01%, 5/20/2063 (a)		40		41

Pool # AC0973, 4.39%, 5/20/2063 (a)		5		5


Total Mortgage-Backed Securities (Cost $2,578,738)				2,614,997

Collateralized Mortgage Obligations — 23.7%

Acre 6.25%, 12/22/2021 ‡		1,808		1,790

Alternative Loan Trust

Series 2004-J3, Class 4A1, 4.75%, 4/25/2019		7		7

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		513		517

Series 2005-1CB, Class 1A6, IF, IO, 7.02%, 3/25/2035 ‡ (a)		307		47

Series 2005-22T1, Class A2, IF, IO, 4.99%, 6/25/2035 ‡ (a)		1,629		259

Series 2005-20CB, Class 3A8, IF, IO, 4.67%, 7/25/2035 ‡ (a)		1,655		227

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		64		41

Series 2005-37T1, Class A2, IF, IO, 4.97%, 9/25/2035 ‡ (a)		2,811		439

Series 2005-54CB, Class 1A2, IF, IO, 4.77%, 11/25/2035 ‡ (a)		1,707		262

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		286		268


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035		9		9

Series 2005-57CB, Class 3A2, IF, IO, 5.02%, 12/25/2035 ‡ (a)		206		27

Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		163		164

Series 2005-86CB, Class A11, 5.50%, 2/25/2036		235		188

Series 2006-7CB, Class 1A2, IF, IO, 5.22%, 5/25/2036 ‡ (a)		8,455		1,870

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		316		224

American General Mortgage Loan Trust

Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (d)		4		4

Anchor Mortgage Trust

Series 2021-1, Class A1, 2.60%, 10/25/2026 (d)		14,380		14,549

ANTLR Mortgage Trust

Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (a) (d)		8,453		8,462

ASG Resecuritization Trust

Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (a) (d)		82		76

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		41		33

Series 2004-3, Class 1A1, 5.50%, 10/25/2034		71		72

Series 2004-C, Class 1A1, 3.23%, 12/20/2034 (a)		126		130

Series 2005-1, Class 30, IO, 5.50%, 2/25/2035 ‡		136		22

Series 2005-4, Class 30, PO, 8/25/2035 ‡		24		19

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		105		107

Series 2005-7, Class 30, PO, 11/25/2035 ‡		14		13

Series 2005-8, Class 30, PO, 1/25/2036 ‡		52		39

Banc of America Mortgage Trust

Series 2003-C, Class 3A1, 2.37%, 4/25/2033 (a)		69		70

Series 2003-J, Class 3A2, 2.52%, 11/25/2033 (a)		100		103

Baring

Series 2021-EBO1, Class PA, 3.34%, 4/15/2023 ‡		10,100		10,100

Bayview Finance LLC

0.00%, 7/12/2033 ‡		6,845		6,845


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Bayview Financing Trust

Series 2020-3F, Class A, 3.10%, 11/10/2022 ‡ (a) (d)		4,966		4,966

Series 2021-2F, Class M1, 1.60%, 12/31/2049 ‡ (a) (d)		1,633		1,633

Series 2021-2F, Class M2, 2.52%, 12/31/2049 ‡ (a) (d)		10,000		10,000

Bayview Opportunity Master Fund IVB LLC 2.10%, 1/10/2031 ‡ (a)		2,140		2,140

Bayview Opportunity Master Fund Trust

Series 2014-1SBC, 1.59%, 1/10/2031 ‡ (a)		1,541		1,541

Bear Stearns ARM Trust

Series 2003-4, Class 3A1, 2.21%, 7/25/2033 (a)		63		65

Series 2003-7, Class 3A, 2.53%, 10/25/2033 (a)		18		18

Series 2004-1, Class 12A1, 2.80%, 4/25/2034 (a)		165		166

Series 2004-2, Class 14A, 2.74%, 5/25/2034 (a)		67		66

Series 2006-1, Class A1, 2.37%, 2/25/2036 (a)		221		225

Bear Stearns Asset-Backed Securities Trust

Series 2003-AC5, Class A1, 5.75%, 10/25/2033 (e)		186		195

Cascade MH Asset Trust

Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (d)		3,733		3,755

Series 2021-MH1, Class M1, 2.99%, 2/25/2046 ‡ (d)		2,000		2,078

Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-9, Class 1P, PO, 11/25/2033 ‡		8		8

CFMT LLC

Series 2021-HB5, Class A, 0.80%, 2/25/2031 (a) (d)		30,512		30,517

Series 2021-HB5, Class M2, 1.85%, 2/25/2031 ‡ (a) (d)		9,000		8,974

Chase Mortgage Finance Trust

Series 2007-A2, Class 2A1, 2.52%, 6/25/2035 (a)		142		145

Series 2007-A1, Class 2A1, 2.40%, 2/25/2037 (a)		45		45

Series 2007-A1, Class 1A3, 2.45%, 2/25/2037 (a)		515		523

Series 2007-A1, Class 9A1, 2.71%, 2/25/2037 (a)		130		133

Series 2007-A1, Class 7A1, 2.79%, 2/25/2037 (a)		65		67


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

CHL Mortgage Pass-Through Trust

Series 2004-3, PO, 4/25/2034 ‡		7		6

Series 2004-3, Class A26, 5.50%, 4/25/2034		104		108

Series 2004-HYB1, Class 2A, 2.59%, 5/20/2034 (a)		41		42

Series 2004-HYB3, Class 2A, 2.10%, 6/20/2034 (a)		232		237

Series 2004-7, Class 2A1, 2.46%, 6/25/2034 (a)		36		37

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		278		286

Series 2004-13, Class 1A4, 5.50%, 8/25/2034		198		205

Series 2004-HYB6, Class A3, 2.68%, 11/20/2034 (a)		150		156

Series 2005-16, Class A23, 5.50%, 9/25/2035		72		62

Series 2005-22, Class 2A1, 2.58%, 11/25/2035 (a)		402		383

Series 2007-4, Class 1A52, IF, IO, 5.32%, 5/25/2037 ‡ (a)		1,539		345

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-6, Class A, PO, 9/25/2035 ‡		18		15

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 12/25/2018 ‡		1		—	(b)

Series 2003-HYB1, Class A, 2.59%, 9/25/2033 (a)		63		66

Citigroup Mortgage Loan Trust

Series 2009-10, Class 1A1, 2.63%, 9/25/2033 (a) (d)		131		133

Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (d)		516		539

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class WPO2, PO, 6/25/2031 ‡		3		3

Series 2003-1, Class WA2, 6.50%, 6/25/2031 ‡		5		5

Series 2003-1, Class 3, PO, 9/25/2033 ‡		28		25

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		6		6

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		18		18

Series 2004-UST1, Class A6, 1.95%, 8/25/2034 (a)		19		18

Series 2004-UST1, Class A3, 2.21%, 8/25/2034 (a)		47		48


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2005-1, Class 2A1A, 2.24%, 2/25/2035 (a)		104			99

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		209			215

Series 2005-5, Class 1A2, 2.80%, 8/25/2035 (a)		318			270

Conix Mortgage Asset Trust

Series 2013-1, Class A, 0.00%, 12/25/2047 ‡ (a) (f)		1,618			26

Credit Suisse First Boston Mortgage Securities Corp.

Series 2004-5, Class 3A1, 5.25%, 8/25/2019		32			29

Series 2003-1, Class DB1, 6.70%, 2/25/2033 (a)		366			371

Series 2003-AR15, Class 3A1, 2.30%, 6/25/2033 (a)		145			150

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		68			70

Series 2004-AR2, Class 2A1, 2.28%, 3/25/2034 (a)		67			68

CSFB Mortgage-Backed Pass-Through Certificates

Series 2003-27, Class 5A4, 5.25%, 11/25/2033		106			107

Series 2003-29, Class 1A1, 6.50%, 12/25/2033		156			160

Series 2003-29, Class 5A1, 7.00%, 12/25/2033		78			80

Series 2004-4, Class 2A4, 5.50%, 9/25/2034		98			102

Series 2004-8, Class 1A4, 5.50%, 12/25/2034		204			207

Series 2005-4, Class 2X, IO, 5.50%, 6/25/2035 ‡ (a)		580			50

Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 ‡		410			48

CSMC Trust

Series 2020-RPL5, Class A1, 3.02%, 8/25/2060 (a) (d)		6,495			6,593

Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (d)		14,482			14,543

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

Series 2005-1, Class 2A1, 4.39%, 2/25/2020 (a)		20			20

FHLMC, REMIC

Series 1144, Class KB, 8.50%, 9/15/2021		—	(b)		—	(b)

Series 3688, Class CU, 6.62%, 11/15/2021 (a)		—	(b)		—	(b)

Series 3511, IO, 5.00%, 12/15/2021		—	(b)		—


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3282, Class YD, 5.50%, 2/15/2022		8			8

Series 2462, Class NB, 6.50%, 6/15/2022		5			5

Series 1343, Class LB, 7.50%, 8/15/2022		—	(b)		—	(b)

Series 1343, Class LA, 8.00%, 8/15/2022		1			1

Series 1395, Class G, 6.00%, 10/15/2022		1			1

Series 1374, Class Z, 7.00%, 10/15/2022		2			2

Series 1401, Class J, 7.00%, 10/15/2022		3			3

Series 2535, Class BK, 5.50%, 12/15/2022		4			4

Series 1470, Class F, 1.31%, 2/15/2023 (a)		—	(b)		—	(b)

Series 1466, Class PZ, 7.50%, 2/15/2023		9			10

Series 1798, Class F, 5.00%, 5/15/2023		5			5

Series 1518, Class G, IF, 8.85%, 5/15/2023 (a)		3			3

Series 1505, Class QB, HB, IF, 20.55%, 5/15/2023 (a)		—	(b)		—	(b)

Series 2033, Class J, 5.60%, 6/15/2023		15			16

Series 1526, Class L, 6.50%, 6/15/2023		2			2

Series 1541, Class O, 0.77%, 7/15/2023 (a)		4			4

Series 1677, Class Z, 7.50%, 7/15/2023		14			14

Series 1570, Class F, 1.78%, 8/15/2023 (a)		1			1

Series 1552, Class IA, IF, 19.26%, 8/15/2023 (a)		34			38

Series 1570, Class SA, HB, IF, 25.42%, 8/15/2023 (a)		2			3

Series 1578, Class K, 6.90%, 9/15/2023		10			10

Series 1578, Class V, IO, 7.00%, 9/15/2023		1			—	(b)

Series 2571, Class SK, HB, IF, 34.09%, 9/15/2023 (a)		6			7

Series 1591, Class PV, 6.25%, 10/15/2023		19			20

Series 1602, Class SA, HB, IF, 22.45%, 10/15/2023 (a)		4			5

Series 1813, Class I, PO, 11/15/2023		42			42

Series 1813, Class J, IF, IO, 5.75%, 11/15/2023 (a)		161			8

Series 2720, Class PC, 5.00%, 12/15/2023		49			50

Series 1628, Class LZ, 6.50%, 12/15/2023		29			30

Series 1638, Class H, 6.50%, 12/15/2023		32			33

Series 2283, Class K, 6.50%, 12/15/2023		6			6

Series 1644, Class K, 6.75%, 12/15/2023		11			11

Series 1658, Class GZ, 7.00%, 1/15/2024		37			39

Series 1865, Class D, PO, 2/15/2024		4			4

Series 1760, Class ZD, 0.76%, 2/15/2024 (a)		45			45

Series 2756, Class NA, 5.00%, 2/15/2024		14			15

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (a)		4			4


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1686, Class SH, IF, 19.03%, 2/15/2024 (a)		1		1

Series 1699, Class FC, 0.70%, 3/15/2024 (a)		2		2

Series 1695, Class EB, 7.00%, 3/15/2024		15		15

Series 2033, Class SN, HB, IF, 30.16%, 3/15/2024 (a)		1		—	(b)

Series 2306, Class K, PO, 5/15/2024		4		4

Series 2306, Class SE, IF, IO, 9.34%, 5/15/2024 (a)		9		1

Series 1745, Class D, 7.50%, 8/15/2024		8		9

Series 3614, Class QB, 4.00%, 12/15/2024		606		632

Series 2967, Class S, HB, IF, 33.30%, 4/15/2025 (a)		14		17

Series 3022, Class SX, IF, 16.64%, 8/15/2025 (a)		18		21

Series 1829, Class ZB, 6.50%, 3/15/2026		10		10

Series 1863, Class Z, 6.50%, 7/15/2026		20		21

Series 1899, Class ZE, 8.00%, 9/15/2026		14		16

Series 1963, Class Z, 7.50%, 1/15/2027		15		16

Series 2470, Class SL, IF, 9.00%, 1/15/2027 (a)		6		6

Series 1985, Class PR, IO, 8.00%, 7/15/2027		4		—	(b)

Series 2065, Class PX, IO, 0.75%, 8/17/2027		1,634		11

Series 1987, Class PE, 7.50%, 9/15/2027		6		7

Series 2038, Class PN, IO, 7.00%, 3/15/2028		3		—	(b)

Series 2042, Class T, 7.00%, 3/15/2028		3		3

Series 2040, Class PE, 7.50%, 3/15/2028		31		36

Series 2060, Class Z, 6.50%, 5/15/2028		11		12

Series 2061, Class DC, IO, 6.50%, 6/15/2028		26		2

Series 2075, Class PH, 6.50%, 8/15/2028		74		84

Series 2086, Class GB, 6.00%, 9/15/2028		9		11

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		6		1

Series 2110, Class PG, 6.00%, 1/15/2029		47		53

Series 2111, Class SB, IF, IO, 7.40%, 1/15/2029 (a)		64		6

Series 2125, Class JZ, 6.00%, 2/15/2029		17		19

Series 2130, Class QS, 6.00%, 3/15/2029		35		39

Series 2132, Class ZL, 6.50%, 3/15/2029		11		12

Series 2132, Class SB, HB, IF, 30.14%, 3/15/2029 (a)		7		11

Series 2141, IO, 7.00%, 4/15/2029		1		—	(b)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2303, Class ZN, 8.50%, 4/15/2029		107		125

Series 2163, Class PC, IO, 7.50%, 6/15/2029		5		1

Series 2178, Class PB, 7.00%, 8/15/2029		11		12

Series 2201, Class C, 8.00%, 11/15/2029		16		18

Series 2204, Class GB, 8.00%, 12/20/2029 (a)		2		—	(b)

Series 2209, Class TC, 8.00%, 1/15/2030		66		78

Series 2210, Class Z, 8.00%, 1/15/2030		38		46

Series 2224, Class CB, 8.00%, 3/15/2030		13		15

Series 2247, Class Z, 7.50%, 8/15/2030		9		11

Series 2256, Class MC, 7.25%, 9/15/2030		42		50

Series 2254, Class Z, 9.00%, 9/15/2030		94		115

Series 2259, Class ZM, 7.00%, 10/15/2030		48		56

Series 2271, Class PC, 7.25%, 12/15/2030		58		68

Series 2296, Class PD, 7.00%, 3/15/2031		18		21

Series 2303, Class ZD, 7.00%, 4/15/2031		274		325

Series 2694, Class BA, 4.00%, 6/15/2031		14		14

Series 2359, Class ZB, 8.50%, 6/15/2031		40		49

Series 2388, Class UZ, 8.50%, 6/15/2031		14		17

Series 2344, Class ZD, 6.50%, 8/15/2031		113		131

Series 2344, Class ZJ, 6.50%, 8/15/2031		13		15

Series 2345, Class NE, 6.50%, 8/15/2031		7		8

Series 2372, Class F, 0.60%, 10/15/2031 (a)		8		8

Series 2367, Class ZK, 6.00%, 10/15/2031		128		147

Series 2368, Class AS, HB, IF, 20.68%, 10/15/2031 (a)		6		7

Series 2383, Class FD, 0.60%, 11/15/2031 (a)		8		8

Series 2399, Class TH, 6.50%, 1/15/2032		129		151

Series 2410, Class OE, 6.38%, 2/15/2032		18		20

Series 2494, Class SX, IF, IO, 6.90%, 2/15/2032 (a)		312		47

Series 2410, Class QX, IF, IO, 8.55%, 2/15/2032 (a)		22		4

Series 2410, Class QS, IF, 19.25%, 2/15/2032 (a)		29		42

Series 2433, Class SA, HB, IF, 20.68%, 2/15/2032 (a)		60		86

Series 2431, Class F, 0.60%, 3/15/2032 (a)		368		369

Series 2464, Class FE, 1.10%, 3/15/2032 (a)		98		100

Series 2423, Class MC, 7.00%, 3/15/2032		33		39

Series 2423, Class MT, 7.00%, 3/15/2032		39		47

Series 2444, Class ES, IF, IO, 7.85%, 3/15/2032 (a)		26		5


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2450, Class SW, IF, IO, 7.90%, 3/15/2032 (a)		30		5

Series 2434, Class TC, 7.00%, 4/15/2032		42		50

Series 2436, Class MC, 7.00%, 4/15/2032		53		60

Series 2450, Class GZ, 7.00%, 5/15/2032		34		40

Series 3393, Class JO, PO, 9/15/2032		122		114

Series 2513, Class ZC, 5.50%, 10/15/2032		88		102

Series 2517, Class Z, 5.50%, 10/15/2032		86		95

Series 2835, Class QO, PO, 12/15/2032		36		34

Series 2552, Class FP, 1.10%, 1/15/2033 (a)		516		528

Series 2557, Class HL, 5.30%, 1/15/2033		352		404

Series 2586, Class WI, IO, 6.50%, 3/15/2033		99		19

Series 2611, Class SQ, IF, 12.81%, 5/15/2033 (a)		30		37

Series 2631, Class SA, IF, 14.67%, 6/15/2033 (a)		18		23

Series 2692, Class SC, IF, 13.10%, 7/15/2033 (a)		61		81

Series 2671, Class S, IF, 14.58%, 9/15/2033 (a)		29		38

Series 2725, Class SC, IF, 8.93%, 11/15/2033 (a)		50		53

Series 2722, Class PF, 0.70%, 12/15/2033 (a)		689		698

Series 2763, Class ZA, 6.00%, 3/15/2034		2,632		3,068

Series 2779, Class ZC, 6.00%, 4/15/2034		1,625		1,903

Series 2802, Class ZY, 6.00%, 5/15/2034		247		298

Series 3318, Class BT, IF, 7.00%, 5/15/2034 (a)		740		821

Series 2990, Class SL, HB, IF, 24.14%, 6/15/2034 (a)		21		25

Series 3611, PO, 7/15/2034		147		138

Series 3305, Class MB, IF, 2.58%, 7/15/2034 (a)		52		55

Series 3077, Class TO, PO, 4/15/2035		82		80

Series 2990, Class WP, IF, 16.79%, 6/15/2035 (a)		1		2

Series 3035, Class Z, 5.85%, 9/15/2035		753		866

Series 3117, Class EO, PO, 2/15/2036		95		89

Series 3117, Class OG, PO, 2/15/2036		82		77

Series 3117, Class OK, PO, 2/15/2036		98		91

Series 3143, Class BC, 5.50%, 2/15/2036		172		200

Series 3122, Class OH, PO, 3/15/2036		15		14

Series 3134, PO, 3/15/2036		14		13

Series 3152, Class MO, PO, 3/15/2036		188		177


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3122, Class ZB, 6.00%, 3/15/2036		27		41

Series 3138, PO, 4/15/2036		52		48

Series 3607, Class AO, PO, 4/15/2036		123		112

Series 3607, Class BO, PO, 4/15/2036		123		115

Series 3137, Class XP, 6.00%, 4/15/2036		516		609

Series 3219, Class DI, IO, 6.00%, 4/15/2036		78		16

Series 3149, Class SO, PO, 5/15/2036		52		47

Series 3151, PO, 5/15/2036		164		154

Series 3153, Class EO, PO, 5/15/2036		85		78

Series 3210, PO, 5/15/2036		61		60

Series 3604, PO, 5/15/2036		127		115

Series 3171, Class MO, PO, 6/15/2036		72		69

Series 3179, Class OA, PO, 7/15/2036		60		54

Series 3194, Class SA, IF, IO, 7.00%, 7/15/2036 (a)		37		8

Series 3200, PO, 8/15/2036		108		101

Series 3232, Class ST, IF, IO, 6.60%, 10/15/2036 (a)		128		26

Series 3237, Class AO, PO, 11/15/2036		127		115

Series 3704, Class DT, 7.50%, 11/15/2036		637		777

Series 3704, Class ET, 7.50%, 12/15/2036		488		602

Series 3260, Class CS, IF, IO, 6.04%, 1/15/2037 (a)		79		16

Series 3262, Class SG, IF, IO, 6.30%, 1/15/2037 (a)		20		3

Series 3274, Class JO, PO, 2/15/2037		22		21

Series 3274, Class MO, PO, 2/15/2037		47		44

Series 3275, Class FL, 0.54%, 2/15/2037 (a)		25		25

Series 3288, Class GS, IF, 0.00%, 3/15/2037 (a)		18		17

Series 3290, Class SB, IF, IO, 6.35%, 3/15/2037 (a)		240		51

Series 3373, Class TO, PO, 4/15/2037		99		92

Series 3316, Class JO, PO, 5/15/2037		13		13

Series 3607, PO, 5/15/2037		310		283

Series 3322, Class NS, IF, 7.00%, 5/15/2037 (a)		537		627

Series 3371, Class FA, 0.70%, 9/15/2037 (a)		35		36

Series 3385, Class SN, IF, IO, 5.90%, 11/15/2037 (a)		53		8

Series 3387, Class SA, IF, IO, 6.32%, 11/15/2037 (a)		153		29

Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e)		631		4


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3404, Class SC, IF, IO, 5.90%, 1/15/2038 (a)		240		47

Series 3451, Class SA, IF, IO, 5.95%, 5/15/2038 (a)		32		3

Series 3537, Class MI, IO, 5.00%, 6/15/2038		364		60

Series 3461, Class LZ, 6.00%, 6/15/2038		72		85

Series 3481, Class SJ, IF, IO, 5.75%, 8/15/2038 (a)		293		56

Series 3895, Class WA, 5.70%, 10/15/2038 (a)		183		212

Series 3546, Class A, 1.74%, 2/15/2039(a)		42		44

Series 3511, Class SA, IF, IO, 5.90%, 2/15/2039 (a)		77		12

Series 3531, Class SA, IF, IO, 6.20%, 5/15/2039 (a)		215		19

Series 3549, Class FA, 1.30%, 7/15/2039 (a)		30		30

Series 4580, Class PT, 6.83%, 8/15/2039 (a)		1,068		1,250

Series 3572, Class JS, IF, IO, 6.70%, 9/15/2039 (a)		211		32

Series 3795, Class EI, IO, 5.00%, 10/15/2039		289		15

Series 3621, PO, 1/15/2040		220		205

Series 3621, Class BO, PO, 1/15/2040		151		141

Series 3623, Class LO, PO, 1/15/2040		208		189

Series 3632, Class BS, IF, 17.18%, 2/15/2040 (a)		622		862

Series 3714, Class IP, IO, 5.00%, 8/15/2040		623		59

Series 3966, Class BF, 0.60%, 10/15/2040 (a)		228		228

Series 3747, Class PY, 4.00%, 10/15/2040		1,500		1,697

Series 3747, Class CY, 4.50%, 10/15/2040		2,373		2,699

Series 3740, Class SC, IF, IO, 5.90%, 10/15/2040 (a)		346		67

Series 3753, PO, 11/15/2040		1,017		940

Series 3770, Class PY, 5.00%, 12/15/2040		1,655		1,965

Series 3860, Class PZ, 5.00%, 5/15/2041		3,335		3,855

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (a)		82		89

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (a)		131		142

Series 3966, Class NA, 4.00%, 12/15/2041		1,189		1,322

Series 4015, Class MY, 3.50%, 3/15/2042		1,000		1,100

Series 4136, Class HS, IF, 3.90%, 11/15/2042 (a)		581		583


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4177, Class MQ, 2.50%, 3/15/2043		1,000			1,037

Series 4274, Class EM, 4.00%, 11/15/2043		1,000			1,176

Series 4280, Class EO, PO, 12/15/2043		739			625

Series 4281, Class OB, PO, 12/15/2043		833			708

Series 4377, Class JP, 3.00%, 8/15/2044		3,536			3,779

Series 4456, Class SA, IF, IO, 6.05%, 3/15/2045 (a)		4,765			869

Series 4480, Class SE, IF, IO, 6.08%, 6/15/2045 (a)		4,846			1,014

Series 4708, Class F, 0.40%, 8/15/2047 (a)		3,676			3,676

Series 4888, Class AZ, 4.00%, 12/15/2048		6,126			6,568

Series 4848, Class QY, 4.50%, 12/15/2048		1,396			1,495

Series 4903, Class SN, IF, IO, 6.02%, 8/25/2049 (a)		12,832			3,020

Series 5048, Class TI, IO, 3.00%, 11/25/2050		23,417			3,506

FHLMC, STRIPS

Series 134, Class B, IO, 9.00%, 4/1/2022		—	(b)		—	(b)

Series 191, IO, 8.00%, 1/1/2028		341			51

Series 197, PO, 4/1/2028		136			132

Series 233, Class 11, IO, 5.00%, 9/15/2035		172			31

Series 233, Class 12, IO, 5.00%, 9/15/2035		100			15

Series 233, Class 13, IO, 5.00%, 9/15/2035		237			43

Series 239, Class S30, IF, IO, 7.60%, 8/15/2036 (a)		337			83

Series 262, Class 35, 3.50%, 7/15/2042		9,220			10,018

Series 299, Class 300, 3.00%, 1/15/2043		412			430

Series 310, PO, 9/15/2043		1,209			1,061

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.00%, 7/25/2032 (a)		157			176

Series T-76, Class 2A, 1.68%, 10/25/2037 (a)		2,133			2,170

Series T-42, Class A5, 7.50%, 2/25/2042		558			685

Series T-51, Class 2A, 7.50%, 8/25/2042 (a)		47			62

Series T-54, Class 2A, 6.50%, 2/25/2043		1,040			1,244

Series T-54, Class 3A, 7.00%, 2/25/2043		478			578

Series T-56, Class A5, 5.23%, 5/25/2043		851			976

Series T-58, Class A, PO, 9/25/2043		67			56

Series T-51, Class 1A, 6.50%, 9/25/2043 (a)		38			47

Series T-59, Class 1AP, PO, 10/25/2043		68			48

Series T-62, Class 1A1, 1.30%, 10/25/2044 (a)		723			742


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


First Horizon Alternative Mortgage Securities Trust

Series 2004-AA4, Class A1, 2.38%, 10/25/2034 (a)		176		182

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		175		126

Series 2007-FA4, Class 1A2, IF, IO, 5.57%, 8/25/2037 ‡ (a)		2,981		687

FMC GMSR Issuer Trust 3.69%, 2/25/2024		15,000		15,025

Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (d)		9,800		9,799

Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (d)		11,250		11,255

FNMA Trust, Whole Loan

Series 2003-W17, Class 1A7, 5.75%, 8/25/2033		2,726		3,111

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		201		236

Series 2003-W8, Class 3F1, 0.48%, 5/25/2042 (a)		132		132

Series 2003-W2, Class 1A1, 6.50%, 7/25/2042		175		205

Series 2003-W8, Class 2A, 7.00%, 10/25/2042		112		130

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		149		175

Series 2005-W3, Class 2AF, 0.31%, 3/25/2045 (a)		327		326

Series 2005-W4, Class 3A, 2.65%, 6/25/2045 (a)		747		790

Series 2005-W4, Class 1A1, 6.00%, 8/25/2045		127		146

Series 2006-W2, Class 1AF1, 0.31%, 2/25/2046 (a)		167		167

FNMA, Grantor Trust, Whole Loan

Series 2001-T7, Class A1, 7.50%, 2/25/2041		291		345

Series 2001-T12, Class A1, 6.50%, 8/25/2041		3,497		3,988

Series 2001-T12, Class A2, 7.50%, 8/25/2041		181		214

Series 2001-T10, PO, 12/25/2041		12		12

Series 2002-T4, Class A2, 7.00%, 12/25/2041		118		138

Series 2002-T4, Class A3, 7.50%, 12/25/2041		274		328

Series 2002-T16, Class A2, 7.00%, 7/25/2042		107		129


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2002-T19, Class A2, 7.00%, 7/25/2042		278			332

Series 2004-T1, Class 1A1, 6.00%, 1/25/2044		187			215

Series 2004-T3, Class PT1, 10.33%, 1/25/2044 (a)		144			175

FNMA, REMIC

Series G92-7, Class JQ, 8.50%, 1/25/2022		—	(b)		—	(b)

Series G92-14, Class Z, 7.00%, 2/25/2022		—	(b)		—	(b)

Series 2007-15, Class NO, PO, 3/25/2022		—	(b)		—	(b)

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(b)		—	(b)

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(b)		—	(b)

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(b)		—	(b)

Series 1996-59, Class J, 6.50%, 8/25/2022		—	(b)		—	(b)

Series G92-54, Class ZQ, 7.50%, 9/25/2022		—	(b)		—	(b)

Series G92-62, Class B, PO, 10/25/2022		—	(b)		—	(b)

Series G92-61, Class Z, 7.00%, 10/25/2022		2			2

Series G93-1, Class KA, 7.90%, 1/25/2023		2			2

Series 1993-108, Class D, PO, 2/25/2023		—	(b)		—	(b)

Series 1993-27, Class S, IF, 9.62%, 2/25/2023 (a)		4			4

Series 1993-25, Class J, 7.50%, 3/25/2023		8			9

Series 1993-31, Class K, 7.50%, 3/25/2023		1			1

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (a)		3			3

Series 1993-54, Class Z, 7.00%, 4/25/2023		17			18

Series 1993-62, Class SA, IF, 19.88%, 4/25/2023 (a)		1			1

Series 1998-43, Class SA, IF, IO, 19.94%, 4/25/2023 (a)		7			1

Series 1993-97, Class FA, 1.33%, 5/25/2023 (a)		1			1

Series 2008-47, Class SI, IF, IO, 6.42%, 6/25/2023 (a)		1			—	(b)

Series 1993-162, Class F, 1.03%, 8/25/2023 (a)		2			2

Series 1996-14, Class SE, IF, IO, 9.49%, 8/25/2023 (a)		14			1

Series 1993-228, Class G, PO, 9/25/2023		1			1

Series 1993-165, Class SD, IF, 14.26%, 9/25/2023 (a)		—	(b)		—	(b)

Series 2000-18, Class EC, PO, 10/25/2023		29			29

Series 1993-179, Class SB, HB, IF, 28.52%, 10/25/2023 (a)		5			5

Series 1993-230, Class FA, 0.68%, 12/25/2023 (a)		1			1


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2002-1, Class UD, HB, IF, 24.20%, 12/25/2023 (a)		7			8

Series 1994-26, Class J, PO, 1/25/2024		73			73

Series 2009-12, IO, 4.50%, 3/25/2024		—	(b)		—	(b)

Series 1994-37, Class L, 6.50%, 3/25/2024		7			7

Series G94-7, Class PJ, 7.50%, 5/17/2024		37			39

Series 2004-53, Class NC, 5.50%, 7/25/2024		34			35

Series 1995-2, Class Z, 8.50%, 1/25/2025		3			3

Series 2006-72, Class HO, PO, 8/25/2026		41			39

Series 2006-94, Class GI, IF, IO, 6.57%, 10/25/2026 (a)		459			38

Series 2006-94, Class GK, HB, IF, 32.83%, 10/25/2026 (a)		19			27

Series G97-2, Class ZA, 8.50%, 2/17/2027		16			18

Series 1997-20, IO, 1.84%, 3/25/2027 (a)		2			—	(b)

Series 1997-27, Class J, 7.50%, 4/18/2027		3			4

Series 1997-24, Class Z, 8.00%, 4/18/2027		3			4

Series 1997-46, Class Z, 7.50%, 6/17/2027		87			97

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		3			—	(b)

Series 1998-30, Class ZA, 6.50%, 5/20/2028		191			215

Series 1998-36, Class ZB, 6.00%, 7/18/2028		22			25

Series 2002-7, Class FD, 0.78%, 4/25/2029 (a)		54			55

Series 1999-62, Class PB, 7.50%, 12/18/2029		20			23

Series 2000-52, IO, 8.50%, 1/25/2031		4			1

Series 2002-60, Class FA, 0.83%, 2/25/2031 (a)		174			176

Series 2002-60, Class FB, 0.83%, 2/25/2031 (a)		174			176

Series 2001-4, Class ZA, 6.50%, 3/25/2031		186			211

Series 2001-7, Class PF, 7.00%, 3/25/2031		15			18

Series 2002-50, Class ZA, 6.00%, 5/25/2031		259			292

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		23			3

Series 2001-49, Class LZ, 8.50%, 7/25/2031		38			45

Series 2001-38, Class FB, 0.58%, 8/25/2031 (a)		56			57

Series 2001-36, Class DE, 7.00%, 8/25/2031		34			40

Series 2001-44, Class PD, 7.00%, 9/25/2031		16			19


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2001-44, Class PU, 7.00%, 9/25/2031		27		32

Series 2001-53, Class FX, 0.43%, 10/25/2031 (a)		194		194

Series 2003-52, Class SX, HB, IF, 22.70%, 10/25/2031 (a)		9		13

Series 2001-61, Class Z, 7.00%, 11/25/2031		100		119

Series 2001-72, Class SX, IF, 17.27%, 12/25/2031 (a)		9		12

Series 2002-1, Class SA, HB, IF, 24.91%, 2/25/2032 (a)		5		7

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (a)		106		4

Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (a)		5		6

Series 2002-30, Class Z, 6.00%, 5/25/2032		150		175

Series 2002-37, Class Z, 6.50%, 6/25/2032		11		12

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		213		30

Series 2004-61, Class FH, 0.88%, 11/25/2032 (a)		933		951

Series 2011-39, Class ZA, 6.00%, 11/25/2032		979		1,130

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (a)		37		43

Series 2004-59, Class BG, PO, 12/25/2032		49		46

Series 2002-77, Class S, IF, 14.33%, 12/25/2032 (a)		23		29

Series 2003-2, Class F, 0.83%, 2/25/2033 (a)		372		379

Series 2003-14, Class TI, IO, 5.00%, 3/25/2033		178		8

Series 2003-22, Class UD, 4.00%, 4/25/2033		296		326

Series 2003-39, IO, 6.00%, 5/25/2033 (a)		17		3

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		360		73

Series 2003-44, Class IU, IO, 7.00%, 6/25/2033		485		95

Series 2004-4, Class QI, IF, IO, 7.02%, 6/25/2033 (a)		44		1

Series 2004-4, Class QM, IF, 14.03%, 6/25/2033 (a)		11		12

Series 2003-132, Class OA, PO, 8/25/2033		11		11

Series 2003-132, Class PI, IO, 5.50%, 8/25/2033		33		2

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		149		24


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-74, Class SH, IF, 10.02%, 8/25/2033 (a)		27		31

Series 2003-86, Class ZA, 5.50%, 9/25/2033		169		193

Series 2003-91, Class SD, IF, 12.36%, 9/25/2033 (a)		26		31

Series 2003-105, Class AZ, 5.50%, 10/25/2033		982		1,132

Series 2003-116, Class SB, IF, IO, 7.52%, 11/25/2033 (a)		188		36

Series 2006-44, Class P, PO, 12/25/2033		370		347

Series 2003-122, Class ZJ, 6.00%, 12/25/2033		1,070		1,258

Series 2004-87, Class F, 0.83%, 1/25/2034 (a)		143		146

Series 2003-130, Class SX, IF, 11.39%, 1/25/2034 (a)		8		9

Series 2003-131, Class SK, IF, 16.03%, 1/25/2034 (a)		13		15

Series 2004-46, Class EP, PO, 3/25/2034		96		95

Series 2004-28, Class PF, 0.48%, 3/25/2034 (a)		240		241

Series 2004-17, Class H, 5.50%, 4/25/2034		295		344

Series 2004-25, Class SA, IF, 19.29%, 4/25/2034 (a)		67		95

Series 2004-46, Class SK, IF, 16.27%, 5/25/2034 (a)		30		39

Series 2004-36, Class SA, IF, 19.29%, 5/25/2034 (a)		120		176

Series 2004-46, Class QB, HB, IF, 23.66%, 5/25/2034 (a)		52		76

Series 2004-50, Class VZ, 5.50%, 7/25/2034		1,233		1,403

Series 2004-51, Class SY, IF, 14.07%, 7/25/2034 (a)		16		19

Series 2014-44, Class B, 2.50%, 8/25/2034		928		978

Series 2005-7, Class LO, PO, 2/25/2035		381		363

Series 2005-15, Class MO, PO, 3/25/2035		95		86

Series 2005-13, Class FL, 0.48%, 3/25/2035 (a)		78		79

Series 2005-74, Class SK, IF, 19.90%, 5/25/2035 (a)		135		167

Series 2005-56, Class S, IF, IO, 6.63%, 7/25/2035 (a)		200		40

Series 2005-66, Class SV, IF, IO, 6.67%, 7/25/2035 (a)		186		21


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-103, Class SC, IF, 11.12%, 7/25/2035 (a)		212		265

Series 2005-66, Class SG, IF, 17.16%, 7/25/2035 (a)		89		129

Series 2005-68, Class PG, 5.50%, 8/25/2035		201		229

Series 2005-73, Class PS, IF, 16.49%, 8/25/2035 (a)		57		76

Series 2005-90, PO, 9/25/2035		73		72

Series 2005-90, Class AO, PO, 10/25/2035		25		24

Series 2010-39, Class OT, PO, 10/25/2035		117		112

Series 2005-84, Class XM, 5.75%, 10/25/2035		113		127

Series 2005-90, Class ES, IF, 16.66%, 10/25/2035 (a)		186		258

Series 2005-106, Class US, HB, IF, 24.26%, 11/25/2035 (a)		120		171

Series 2006-8, Class WQ, PO, 3/25/2036		363		328

Series 2006-16, Class HZ, 5.50%, 3/25/2036		114		131

Series 2006-8, Class WN, IF, IO, 6.62%, 3/25/2036 (a)		1,329		280

Series 2006-23, Class KO, PO, 4/25/2036		49		48

Series 2006-27, Class OH, PO, 4/25/2036		105		99

Series 2006-44, Class GO, PO, 6/25/2036		144		136

Series 2006-50, Class JO, PO, 6/25/2036		88		82

Series 2006-50, Class PS, PO, 6/25/2036		124		119

Series 2006-53, Class US, IF, IO, 6.50%, 6/25/2036 (a)		224		43

Series 2006-58, PO, 7/25/2036		144		134

Series 2006-58, Class AP, PO, 7/25/2036		46		43

Series 2006-65, Class QO, PO, 7/25/2036		59		55

Series 2006-56, Class FT, 0.83%, 7/25/2036 (a)		574		606

Series 2006-63, Class ZH, 6.50%, 7/25/2036		174		208

Series 2006-72, Class TO, PO, 8/25/2036		61		56

Series 2006-79, Class DO, PO, 8/25/2036		92		89

Series 2007-7, Class SG, IF, IO, 6.42%, 8/25/2036 (a)		254		69

Series 2006-77, Class PC, 6.50%, 8/25/2036		457		527

Series 2006-78, Class BZ, 6.50%, 8/25/2036		89		106

Series 2006-86, Class OB, PO, 9/25/2036		118		110

Series 2006-90, Class AO, PO, 9/25/2036		96		91

Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		682		138


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-110, PO, 11/25/2036		68		64

Series 2006-111, Class EO, PO, 11/25/2036		45		41

Series 2006-105, Class ME, 5.50%, 11/25/2036		731		845

Series 2006-115, Class OK, PO, 12/25/2036		161		147

Series 2006-119, PO, 12/25/2036		48		46

Series 2006-118, Class A2, 0.14%, 12/25/2036 (a)		77		76

Series 2006-120, Class PF, 0.33%, 12/25/2036 (a)		96		95

Series 2006-120, IO, 6.50%, 12/25/2036		273		51

Series 2006-117, Class GS, IF, IO, 6.57%, 12/25/2036 (a)		149		23

Series 2015-91, Class AC, 7.50%, 12/25/2036		2,015		2,428

Series 2006-126, Class AO, PO, 1/25/2037		270		250

Series 2007-1, Class SD, HB, IF, 38.49%, 2/25/2037 (a)		33		97

Series 2007-14, Class OP, PO, 3/25/2037		89		84

Series 2007-16, Class FC, 0.83%, 3/25/2037 (a)		34		35

Series 2009-63, Class P, 5.00%, 3/25/2037		15		17

Series 2007-22, Class SC, IF, IO, 6.00%, 3/25/2037 (a)		28		1

Series 2007-18, Class MZ, 6.00%, 3/25/2037		256		289

Series 2007-14, Class ES, IF, IO, 6.36%, 3/25/2037 (a)		3,033		555

Series 2007-39, Class EF, 0.33%, 5/25/2037 (a)		32		32

Series 2007-46, Class ZK, 5.50%, 5/25/2037		462		523

Series 2007-54, Class WI, IF, IO, 6.02%, 6/25/2037 (a)		317		63

Series 2007-72, Class EK, IF, IO, 6.32%, 7/25/2037 (a)		796		156

Series 2007-65, Class KI, IF, IO, 6.54%, 7/25/2037 (a)		163		29

Series 2007-60, Class AX, IF, IO, 7.07%, 7/25/2037 (a)		273		70

Series 2007-76, Class ZG, 6.00%, 8/25/2037		217		255

Series 2007-78, Class CB, 6.00%, 8/25/2037		64		76

Series 2007-79, Class SB, HB, IF, 23.71%, 8/25/2037 (a)		29		47


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-88, Class VI, IF, IO, 6.46%, 9/25/2037 (a)		121		26

Series 2009-86, Class OT, PO, 10/25/2037		408		374

Series 2007-100, Class SM, IF, IO, 6.37%, 10/25/2037 (a)		262		54

Series 2007-91, Class ES, IF, IO, 6.38%, 10/25/2037 (a)		378		81

Series 2007-112, Class SA, IF, IO, 6.37%, 12/25/2037 (a)		733		164

Series 2007-116, Class HI, IO, 1.41%, 1/25/2038 (a)		598		25

Series 2008-1, Class BI, IF, IO, 5.83%, 2/25/2038 (a)		223		44

Series 2008-12, Class CO, PO, 3/25/2038		454		428

Series 2008-16, Class IS, IF, IO, 6.12%, 3/25/2038 (a)		129		22

Series 2008-10, Class XI, IF, IO, 6.15%, 3/25/2038 (a)		120		23

Series 2008-20, Class SA, IF, IO, 6.91%, 3/25/2038 (a)		185		38

Series 2009-79, Class UA, 7.00%, 3/25/2038		20		23

Series 2008-32, Class SA, IF, IO, 6.77%, 4/25/2038 (a)		35		6

Series 2008-27, Class SN, IF, IO, 6.82%, 4/25/2038 (a)		72		13

Series 2008-44, PO, 5/25/2038		12		11

Series 2011-47, Class ZA, 5.50%, 7/25/2038		382		443

Series 2008-53, Class CI, IF, IO, 7.12%, 7/25/2038 (a)		98		18

Series 2008-80, Class SA, IF, IO, 5.77%, 9/25/2038 (a)		204		38

Series 2008-81, Class SB, IF, IO, 5.77%, 9/25/2038 (a)		137		23

Series 2008-80, Class GP, 6.25%, 9/25/2038		15		18

Series 2009-4, Class BD, 4.50%, 2/25/2039		12		13

Series 2009-6, Class GS, IF, IO, 6.47%, 2/25/2039 (a)		98		22

Series 2009-17, Class QS, IF, IO, 6.57%, 3/25/2039 (a)		93		15

Series 2009-62, Class HJ, 6.00%, 5/25/2039		69		72

Series 2009-52, Class PI, IO, 5.00%, 7/25/2039		243		36

Series 2009-47, Class MT, 7.00%, 7/25/2039		15		18


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-69, PO, 9/25/2039		95		87

Series 2009-86, Class IP, IO, 5.50%, 10/25/2039		159		28

Series 2009-84, Class WS, IF, IO, 5.82%, 10/25/2039 (a)		83		13

Series 2009-92, Class AD, 6.00%, 11/25/2039		147		161

Series 2009-103, Class MB, 2.11%, 12/25/2039 (a)		481		502

Series 2009-99, Class SC, IF, IO, 6.10%, 12/25/2039 (a)		63		10

Series 2009-99, Class WA, 6.29%, 12/25/2039 (a)		366		419

Series 2009-113, Class FB, 0.63%, 1/25/2040 (a)		142		144

Series 2009-112, Class ST, IF, IO, 6.17%, 1/25/2040 (a)		203		37

Series 2010-1, Class WA, 6.22%, 2/25/2040 (a)		710		808

Series 2010-23, Class KS, IF, IO, 7.02%, 2/25/2040 (a)		160		27

Series 2010-16, Class WB, 6.18%, 3/25/2040 (a)		1,301		1,490

Series 2010-16, Class WA, 6.44%, 3/25/2040 (a)		609		690

Series 2010-49, Class SC, IF, 12.49%, 3/25/2040 (a)		244		312

Series 2010-40, Class FJ, 0.68%, 4/25/2040 (a)		105		106

Series 2010-35, Class SB, IF, IO, 6.34%, 4/25/2040 (a)		198		32

Series 2010-43, Class FD, 0.68%, 5/25/2040 (a)		283		288

Series 2010-42, Class S, IF, IO, 6.32%, 5/25/2040 (a)		80		13

Series 2010-61, Class WA, 6.02%, 6/25/2040 (a)		229		264

Series 2010-68, Class SA, IF, IO, 4.92%, 7/25/2040 (a)		515		72

Series 2010-103, Class ME, 4.00%, 9/25/2040		576		628

Series 2010-111, Class AM, 5.50%, 10/25/2040		671		795

Series 2010-123, Class FL, 0.51%, 11/25/2040’ (a)		66		67

Series 2010-125, Class SA, IF, IO, 4.36%, 11/25/2040 (a)		506		64

Series 2010-130, Class CY, 4.50%, 11/25/2040		2,299		2,540


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2010-147, Class SA, IF, IO, 6.45%, 1/25/2041 (a)		1,802		397

Series 2011-20, Class MW, 5.00%, 3/25/2041		1,674		1,959

Series 2011-30, Class LS, IO, 1.60%, 4/25/2041 (a)		395		26

Series 2011-75, Class FA, 0.63%, 8/25/2041 (a)		78		79

Series 2011-118, Class LB, 7.00%, 11/25/2041		633		771

Series 2011-118, Class MT, 7.00%, 11/25/2041		1,048		1,271

Series 2011-118, Class NT, 7.00%, 11/25/2041		1,022		1,231

Series 2013-2, Class LZ, 3.00%, 2/25/2043		211		215

Series 2013-4, Class AJ, 3.50%, 2/25/2043		1,990		2,103

Series 2013-92, PO, 9/25/2043		1,248		1,141

Series 2013-101, Class DO, PO, 10/25/2043		1,355		1,180

Series 2018-11, Class LA, 3.50%, 7/25/2045		2,829		2,936

Series 2018-63, Class DA, 3.50%, 9/25/2048		1,597		1,699

Series 2018-68, Class DZ, 4.00%, 9/25/2048		2,074		2,202

Series 2019-20, Class H, 3.50%, 5/25/2049		2,635		2,795

Series 2019-32, Class SD, IF, IO, 5.97%, 6/25/2049 (a)		6,588		955

Series 2010-103, Class SB, IF, IO, 6.02%, 11/25/2049 (a)		628		75

Series 2020-36, Class SH, IF, IO, 5.97%, 6/25/2050 (a)		19,206		3,706

Series 2020-61, Class SB, IF, IO, 4.12%, 9/25/2050 (a)		14,082		1,720

Series 2011-2, Class WA, 5.85%, 2/25/2051 (a)		126		144

Series 2011-43, Class WA, 5.82%, 5/25/2051 (a)		183		212

Series 2011-58, Class WA, 5.50%, 7/25/2051 (a)		370		433

Series 2012-21, Class WA, 5.64%, 3/25/2052 (a)		807		940

Series 2019-7, Class CA, 3.50%, 11/25/2057		16,040		17,095

FNMA, REMIC Trust

Series 2006-72, Class GO, PO, 8/25/2036		103		99


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


FNMA, REMIC Trust, Whole Loan

Series 2004-W4, Class A7, 5.50%, 6/25/2034		573		656

Series 2007-W2, Class 1A1, 0.40%, 3/25/2037 (a)		193		194

Series 2007-W3, Class 1A3, 6.75%, 4/25/2037		96		105

Series 2007-W7, Class 1A4, HB, IF, 38.67%, 7/25/2037 (a)		14		24

Series 2001-W3, Class A, 7.00%, 9/25/2041 (a)		359		395

Series 2002-W10, IO, 0.92%, 8/25/2042 (a)		1,442		27

Series 2003-W4, Class 2A, 5.66%, 10/25/2042 (a)		22		26

Series 2003-W1, Class 1A1, 5.09%, 12/25/2042 (a)		165		181

Series 2003-W1, Class 2A, 5.59%, 12/25/2042 (a)		106		118

Series 2004-W11, Class 1A1, 6.00%, 5/25/2044		365		436

Series 2006-W3, Class 2A, 6.00%, 9/25/2046		141		159

Series 2006-W3, Class 1AF1, 0.33%, 10/25/2046 (a)		104		103

Series 2009-W1, Class A, 6.00%, 12/25/2049		703		812

FNMA, REMIC, Whole Loan

Series 2007-101, Class A2, 0.33%, 6/27/2036 (a)		211		208

Series 2007-54, Class FA, 0.48%, 6/25/2037 (a)		97		98

Series 2007-64, Class FB, 0.45%, 7/25/2037 (a)		168		170

Series 2007-106, Class A7, 6.25%, 10/25/2037 (a)		50		59

Series 2003-7, Class A1, 6.50%, 12/25/2042		198		228

FNMA, STRIPS

Series 213, Class 2, IO, 8.00%, 3/25/2023		15		—	(b)

Series 218, Class 2, IO, 7.50%, 4/25/2023		25		1

Series 265, Class 2, 9.00%, 3/25/2024		1		1

Series 300, Class 1, PO, 9/25/2024		34		34

Series 293, Class 1, PO, 12/25/2024		70		69

Series 285, Class 1, PO, 2/25/2027		2		2

Series 331, Class 13, IO, 7.00%, 11/25/2032		110		20


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 345, Class 6, IO, 5.00%, 12/25/2033 (a)		50		7

Series 351, Class 7, IO, 5.00%, 4/25/2034 (a)		113		14

Series 356, Class 3, IO, 5.00%, 1/25/2035		136		19

Series 365, Class 8, IO, 5.50%, 5/25/2036		171		34

Series 373, Class 1, PO, 7/25/2036		1,094		1,038

Series 374, Class 5, IO, 5.50%, 8/25/2036		69		12

Series 393, Class 6, IO, 5.50%, 4/25/2037		29		4

Series 383, Class 32, IO, 6.00%, 1/25/2038		154		36

Freedom Frn 0.00%, 3/25/2022		18,000		18,000

GMACM Mortgage Loan Trust

Series 2005-AR3, Class 3A4, 3.09%, 6/19/2035 (a)		300		292

GNMA

Series 1999-4, Class ZB, 6.00%, 2/20/2029		51		51

Series 2001-35, Class SA, IF, IO, 8.15%, 8/16/2031 (a)		38		—	(b)

Series 2003-24, PO, 3/16/2033		5		5

Series 2003-41, Class ID, IO, 5.50%, 5/20/2033		195		17

Series 2003-90, PO, 10/20/2033		15		15

Series 2010-41, Class WA, 5.83%, 10/20/2033 (a)		699		784

Series 2003-112, Class SA, IF, IO, 6.45%, 12/16/2033 (a)		230		24

Series 2004-28, Class S, IF, 19.40%, 4/16/2034 (a)		61		86

Series 2004-46, Class AO, PO, 6/20/2034		81		77

Series 2004-73, Class AE, IF, 14.66%, 8/17/2034 (a)		2		2

Series 2010-103, Class WA, 5.70%, 8/20/2034 (a)		378		431

Series 2004-73, Class JL, IF, IO, 6.45%, 9/16/2034 (a)		796		153

Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (a)		18		20

Series 2004-90, Class SI, IF, IO, 6.01%, 10/20/2034 (a)		245		37

Series 2005-68, Class DP, IF, 16.20%, 6/17/2035 (a)		65		80

Series 2010-14, Class CO, PO, 8/20/2035		540		507

Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (a)		710		104

Series 2005-72, Class AZ, 5.50%, 9/20/2035		462		522

Series 2005-68, Class KI, IF, IO, 6.21%, 9/20/2035 (a)		447		91


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2005-85, IO, 5.50%, 11/16/2035		186		22

Series 2010-14, Class BO, PO, 11/20/2035		89		84

Series 2006-16, Class OP, PO, 3/20/2036		79		74

Series 2006-22, Class AO, PO, 5/20/2036		54		53

Series 2006-38, Class SW, IF, IO, 6.41%, 6/20/2036 (a)		70		3

Series 2006-34, PO, 7/20/2036		45		44

Series 2006-59, Class SD, IF, IO, 6.61%, 10/20/2036 (a)		68		10

Series 2011-22, Class WA, 5.88%, 2/20/2037 (a)		1,027		1,178

Series 2007-57, PO, 3/20/2037		146		142

Series 2007-17, Class JO, PO, 4/16/2037		63		57

Series 2007-17, Class JI, IF, IO, 6.71%, 4/16/2037 (a)		455		99

Series 2010-129, Class AW, 5.94%, 4/20/2037 (a)		381		436

Series 2007-31, Class AO, PO, 5/16/2037		330		300

Series 2007-25, Class FN, 0.40%, 5/16/2037 (a)		51		52

Series 2007-28, Class BO, PO, 5/20/2037		10		10

Series 2007-26, Class SC, IF, IO, 6.11%, 5/20/2037 (a)		201		32

Series 2007-36, Class HO, PO, 6/16/2037		10		9

Series 2007-36, Class SE, IF, IO, 6.37%, 6/16/2037 (a)		193		22

Series 2007-36, Class SG, IF, IO, 6.38%, 6/20/2037 (a)		299		43

Series 2007-45, Class QA, IF, IO, 6.55%, 7/20/2037 (a)		93		13

Series 2007-40, Class SD, IF, IO, 6.66%, 7/20/2037 (a)		225		35

Series 2007-42, Class SB, IF, IO, 6.66%, 7/20/2037 (a)		223		35

Series 2007-50, Class AI, IF, IO, 6.69%, 8/20/2037 (a)		142		2

Series 2008-20, PO, 9/20/2037		14		14

Series 2007-53, Class SW, IF, 19.94%, 9/20/2037 (a)		28		37

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		88		4

Series 2009-79, Class OK, PO, 11/16/2037		140		132

Series 2007-74, Class SL, IF, IO, 6.44%, 11/16/2037 (a)		635		73

Series 2007-76, Class SA, IF, IO, 6.44%, 11/20/2037 (a)		184		23

Series 2007-79, Class SY, IF, IO, 6.46%, 12/20/2037 (a)		245		34


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2008-2, Class MS, IF, IO, 7.06%, 1/16/2038 (a)		134		24

Series 2008-1, PO, 1/20/2038		31		30

Series 2015-137, Class WA, 5.52%, 1/20/2038 (a)		285		334

Series 2008-13, Class PI, IO, 5.50%, 2/16/2038		419		50

Series 2008-10, Class S, IF, IO, 5.74%, 2/20/2038 (a)		101		12

Series 2009-106, Class ST, IF, IO, 5.91%, 2/20/2038 (a)		596		93

Series 2008-33, Class XS, IF, IO, 7.60%, 4/16/2038 (a)		103		17

Series 2012-52, Class WA, 6.18%, 4/20/2038 (a)		2,397		2,808

Series 2008-36, Class SH, IF, IO, 6.21%, 4/20/2038 (a)		217		1

Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (a)		872		155

Series 2008-55, Class SA, IF, IO, 6.11%, 6/20/2038 (a)		107		16

Series 2008-62, Class SA, IF, IO, 6.06%, 7/20/2038 (a)		665		78

Series 2012-59, Class WA, 5.58%, 8/20/2038 (a)		452		518

Series 2008-71, Class SC, IF, IO, 5.91%, 8/20/2038 (a)		39		5

Series 2009-25, Class SE, IF, IO, 7.51%, 9/20/2038 (a)		105		16

Series 2011-97, Class WA, 6.12%, 11/20/2038 (a)		1,063		1,239

Series 2008-93, Class AS, IF, IO, 5.61%, 12/20/2038 (a)		173		22

Series 2011-163, Class WA, 5.88%, 12/20/2038 (a)		1,112		1,292

Series 2008-96, Class SL, IF, IO, 5.91%, 12/20/2038 (a)		124		11

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		19		1

Series 2008-95, Class DS, IF, IO, 7.21%, 12/20/2038 (a)		420		63

Series 2009-6, Class SA, IF, IO, 6.00%, 2/16/2039 (a)		135		12

Series 2009-10, Class SA, IF, IO, 5.86%, 2/20/2039 (a)		230		33

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		704		87

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		156		27


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		181		39

Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		52		7

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		124		21

Series 2009-43, Class SA, IF, IO, 5.86%, 6/20/2039 (a)		151		19

Series 2009-42, Class SC, IF, IO, 5.99%, 6/20/2039 (a)		282		41

Series 2009-64, Class SN, IF, IO, 6.00%, 7/16/2039 (a)		233		29

Series 2009-54, Class JZ, 5.50%, 7/20/2039		1,098		1,269

Series 2009-67, Class SA, IF, IO, 5.95%, 8/16/2039 (a)		218		29

Series 2009-72, Class SM, IF, IO, 6.15%, 8/16/2039 (a)		397		59

Series 2009-104, Class AB, 7.00%, 8/16/2039		234		251

Series 2009-106, Class AS, IF, IO, 6.30%, 11/16/2039 (a)		468		85

Series 2015-91, Class W, 5.25%, 5/20/2040 (a)		853		982

Series 2013-75, Class WA, 5.14%, 6/20/2040 (a)		441		504

Series 2011-137, Class WA, 5.58%, 7/20/2040 (a)		1,471		1,720

Series 2010-130, Class CP, 7.00%, 10/16/2040		299		356

Series 2010-157, Class OP, PO, 12/20/2040		742		705

Series 2020-187, Class WA, 3.75%, 7/16/2041 (a)		6,871		7,555

Series 2011-100, Class MY, 4.00%, 7/20/2041		1,300		1,431

Series 2012-24, Class WA, 5.60%, 7/20/2041 (a)		2,174		2,506

Series 2013-26, Class AK, 4.71%, 9/20/2041 (a)		1,056		1,199

Series 2014-188, Class W, 4.59%, 10/20/2041 (a)		995		1,107

Series 2012-141, Class WA, 4.53%, 11/16/2041 (a)		3,220		3,599

Series 2012-141, Class WC, 3.67%, 1/20/2042 (a)		1,658		1,814

Series 2012-141, Class WB, 3.98%, 9/16/2042 (a)		2,291		2,556


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2012-138, Class PT, 3.97%, 11/16/2042 (a)		2,633		2,926

Series 2013-54, Class WA, 4.88%, 11/20/2042 (a)		1,636		1,861

Series 2017-99, Class PT, 6.01%, 8/20/2044 (a)		967		1,138

Series 2021-103, Class WA, 4.30%, 6/20/2045 (a)		5,011		5,603

Series 2019-31, Class HC, 3.50%, 5/20/2046		4,087		4,216

Series 2018-160, Class PA, 3.50%, 7/20/2046		3,495		3,623

Series 2016-90, Class LI, IO, 4.00%, 7/20/2046		2,646		306

Series 2019-111, IO, 5.00%, 4/20/2049		10,588		1,144

Series 2019-65, Class ST, IF, IO, 5.96%, 5/20/2049 (a)		12,712		1,759

Series 2020-133, Class IH, IO, 5.00%, 6/20/2049		7,935		847

Series 2019-112, Class GS, IF, IO, 5.98%, 9/20/2049 (a)		3,438		461

Series 2019-112, Class SG, IF, IO, 6.01%, 9/20/2049 (a)		5,043		629

Series 2020-47, Class AI, IO, 4.50%, 4/16/2050		8,615		1,120

Series 2020-85, Class IA, IO, 4.50%, 6/20/2050		29,958		4,510

Series 2020-95, Class HI, IO, 4.00%, 7/20/2050		20,176		3,059

Series 2020-97, Class AI, IO, 4.75%, 7/20/2050		13,440		2,477

Series 2020-97, Class IA, IO, 5.00%, 7/20/2050		17,521		3,184

Series 2020-122, Class HI, IO, 3.00%, 8/20/2050		25,446		3,786

Series 2020-112, Class GI, IO, 4.50%, 8/20/2050		17,155		2,607

Series 2020-133, Class EI, IO, 3.00%, 9/20/2050		25,296		3,268

Series 2020-134, Class IH, IO, 3.00%, 9/20/2050		28,071		4,034

Series 2020-149, Class SH, IF, IO, 3.56%, 10/20/2050 (a)		26,528		2,917

Series 2020-149, Class TS, IF, IO, 3.56%, 10/20/2050 (a)		22,273		2,670

Series 2021-16, Class JI, IO, 3.00%, 12/20/2050		28,743		4,059

Series 2020-189, Class JI, IO, 3.50%, 12/20/2050		21,910		2,881


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-15, Class EI, IO, 2.50%, 1/20/2051		25,784		3,037

Series 2021-27, Class TI, IO, 3.00%, 2/20/2051		16,692		2,322

Series 2021-69, Class CI, IO, 3.50%, 4/20/2051		13,024		2,069

Series 2012-H24, Class FG, 0.53%, 4/20/2060 (a)		17		17

Series 2013-H03, Class FA, 0.40%, 8/20/2060 (a)		5		5

Series 2013-H05, Class FB, 0.50%, 2/20/2062 (a)		27		27

Series 2013-H07, Class MA, 0.65%, 4/20/2062 (a)		7		7

Series 2012-H08, Class FC, 0.67%, 4/20/2062 (a)		1,989		1,999

Series 2013-H02, Class HF, 0.40%, 11/20/2062 (a)		14		14

Series 2013-H01, Class JA, 0.42%, 1/20/2063 (a)		2,236		2,236

Series 2013-H04, Class SA, 0.52%, 2/20/2063 (a)		1,752		1,757

Series 2013-H08, Class BF, 0.50%, 3/20/2063 (a)		861		863

Series 2013-H07, Class HA, 0.51%, 3/20/2063 (a)		2,661		2,666

Series 2013-H09, Class HA, 1.65%, 4/20/2063		142		143

Series 2013-H19, Class FB, 0.70%, 8/20/2063 (a)		4,155		4,179

Series 2014-H17, Class FC, 0.60%, 7/20/2064 (a)		652		655

Series 2015-H11, Class FC, 0.65%, 5/20/2065 (a)		29,208		29,364

Series 2015-H24, Class FA, 0.75%, 9/20/2065 (a)		1,883		1,900

Series 2015-H32, Class FH, 0.76%, 12/20/2065 (a)		3,199		3,235

Series 2016-H13, Class FD, 0.53%, 5/20/2066 (a)		3,909		3,879

Series 2016-H11, Class FD, 0.68%, 5/20/2066 (a)		1,784		1,785

Series 2016-H13, Class FT, 0.68%, 5/20/2066 (a)		1,549		1,554

Series 2016-H16, Class FC, 0.63%, 7/20/2066 (a)		5,653		5,651

Series 2016-H23, Class F, 0.85%, 10/20/2066 (a)		1,926		1,949


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2016-H26, Class FC, 1.10%, 12/20/2066 (a)		1,306		1,334

Series 2017-H05, Class FC, 0.85%, 2/20/2067 (a)		1,365		1,383

Series 2017-H08, Class XI, IO, 2.18%, 3/20/2067 (a)		5,459		516

Series 2017-H11, Class XI, IO, 2.01%, 5/20/2067 (a)		14,342		1,233

Series 2017-H14, Class XI, IO, 1.68%, 6/20/2067 (a)		6,249		464

Series 2017-H14, Class AI, IO, 2.03%, 6/20/2067 (a)		7,590		728

Series 2020-H11, Class GI, IO, 3.35%, 7/20/2067 (a)		6,640		473

Series 2017-H16, Class F, 0.29%, 8/20/2067 (a)		3,567		3,526

Series 2017-H17, Class FQ, 0.72%, 9/20/2067 (a)		4,528		4,508

Series 2017-H25, Class HI, IO, 2.13%, 10/20/2067 (a)		28,103		1,185

Series 2018-H04, Class FE, 0.36%, 2/20/2068 (a)		1,600		1,580

Series 2018-H13, Class DF, 0.26%, 7/20/2068 (a)		4,470		4,412

Series 2019-H09, Class IB, IO, 1.82%, 4/20/2069 (a)		16,264		576

Series 2019-H14, Class IE, IO, 0.91%, 5/20/2069 (a)		51,999		1,372

Series 2019-H10, Class IB, IO, 2.10%, 5/20/2069 (a)		24,196		946

Series 2019-H12, Class JI, IO, 2.09%, 7/20/2069 (a)		22,148		1,034

Series 2019-H14, Class KI, IO, 2.32%, 7/20/2069 (a)		15,228		809

Series 2019-H15, Class IJ, IO, 2.30%, 8/20/2069 (a)		15,818		1,069

Series 2019-H18, Class CI, IO, 1.14%, 10/20/2069 (a)		31,119		2,322

Series 2019-H18, Class KI, IO, 2.40%, 11/20/2069 (a)		17,662		920

Series 2020-H02, Class DI, IO, 2.32%, 12/20/2069 (a)		22,847		1,359

Series 2020-H04, Class FH, 0.70%, 2/20/2070 (a)		4,906		4,986

Series 2020-H05, Class FK, 0.70%, 3/20/2070 (a)		5,602		5,695

Series 2020-H05, IO, 1.06%, 3/20/2070 (a)		31,400		2,421


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-H07, Class DI, IO, 1.21%, 4/20/2070 (a)		42,107		3,666

Series 2020-H09, Class IE, IO, 1.80%, 5/20/2070 (a)		12,308		918

Series 2020-H13, Class EF, 0.64%, 8/20/2070 (a)		19,489		19,717

Series 2020-H13, Class FE, 0.64%, 8/20/2070 (a)		35,218		35,630

Series 2020-H17, Class IJ, IO, 1.20%, 10/20/2070 (a)		18,772		1,287

Series 2020-H17, Class IK, IO, 1.36%, 10/20/2070 (a)		59,409		4,918

Series 2020-H19, Class FA, 0.59%, 11/20/2070 (a)		15,581		15,759

Series 2021-H01, Class AI, IO, 1.37%, 11/20/2070 (a)		113,956		9,285

Series 2020-H22, Class JI, IO, 1.03%, 12/20/2070 (a)		179,802		12,516

Series 2020-H22, Class IH, IO, 1.04%, 12/20/2070 (a)		14,859		1,051

Series 2020-H21, Class FL, 1.34%, 12/20/2070 (a)		19,317		20,394

Series 2021-H01, Class DI, IO, 1.83%, 12/20/2070 (a)		37,498		4,078

Series 2021-H02, Class JI, IO, 0.75%, 1/20/2071 (a)		35,258		2,305

Series 2021-H02, Class IH, IO, 0.87%, 1/20/2071 (a)		32,154		2,309

Series 2021-H02, Class IJ, IO, 1.04%, 1/20/2071 (a)		164,131		11,273

Series 2021-H02, Class HI, IO, 1.07%, 1/20/2071 (a)		64,453		3,093

Series 2021-H02, Class F, 1.37%, 1/20/2071 (a)		40,879		43,399

Series 2021-H02, Class TF, 1.37%, 1/20/2071 (a)		11,867		12,605

Series 2021-H03, Class IE, IO, 0.64%, 2/20/2071 ‡ (a)		12,849		635

Series 2021-H03, Class IN, IO, 0.70%, 2/20/2071 (a)		70,033		4,462

Series 2021-H05, Class IQ, IO, 0.80%, 2/20/2071 (a)		108,100		5,817

Series 2021-H03, Class NI, IO, 0.81%, 2/20/2071 (a)		42,291		2,931

Series 2021-H03, Class IP, IO, 0.89%, 2/20/2071 (a)		55,768		3,757

Series 2021-H03, Class TI, IO, 0.92%, 2/20/2071 (a)		44,760		3,563


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2021-H03, Class PI, IO, 1.01%, 2/20/2071 (a)		47,517		3,195

Series 2021-H03, Class LF, 1.37%, 2/20/2071 (a)		19,772		21,014

Series 2021-H05, Class QI, IO, 0.52%, 3/20/2071 (a)		140,737		5,540

Series 2021-H06, Class IA, IO, 0.53%, 3/20/2071 (a)		22,925		1,136

Series 2021-H06, Class LF, 1.55%, 3/20/2071 (a)		51,194		55,255

Series 2021-H06, Class QI, IO, 0.45%, 4/20/2071 (a)		50,948		2,383

Series 2021-H06, IO, 0.93%, 4/20/2071 (a)		95,106		7,081

Series 21-H14, Class IY, IO, 0.20%, 9/20/2071(a)(c)		33,000		763

Goodgreen Trust

Series 2017-R1, 5.00%, 10/20/2051 ‡		2,091		2,073

GSMPS Mortgage Loan Trust

Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (d)		211		212

Series 2004-4, Class 1AF, 0.48%, 6/25/2034 (a) (d)		114		102

Series 2005-RP2, Class 1AF, 0.43%, 3/25/2035 (a) (d)		212		198

Series 2005-RP3, Class 1AF, 0.44%, 9/25/2035 (a) (d)		1,378		1,177

Series 2005-RP3, Class 1AS, IO, 4.22%, 9/25/2035 ‡ (a) (d)		627		74

Series 2006-RP2, Class 1AS2, IF, IO, 4.30%, 4/25/2036 ‡ (a) (d)		1,235		187

GSR Mortgage Loan Trust

Series 2003-7F, Class 1A4, 5.25%, 6/25/2033		168		173

Series 2003-13, Class 1A1, 2.63%, 10/25/2033 (a)		34		36

Series 2004-3F, Class 3A8, 13.50%, 2/25/2034		14		16

Series 2004-6F, Class 2A4, 5.50%, 5/25/2034		169		176

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		197		202

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		121		126

Series 2005-5F, Class 8A3, 0.58%, 6/25/2035 (a)		31		30

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		323		336


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-1F, Class 1AP, PO, 2/25/2036 ‡		91		70

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		1,497		1,052

Headlands Residential LLC

Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (d) (e)		1,687		1,695

Series 2018-RPL1, Class A, 3.88%, 8/25/2024 (d) (e)		3,570		3,592

Series 2017-RPL1, Class A, 3.88%, 11/25/2024 (d) (e)		3,325		3,350

Home RE Ltd. (Bermuda)

Series 2021-2, Class M1B, 1.65%, 1/25/2034 (a) (d)		3,095		3,097

Impac CMB Trust

Series 2005-2, Class 2M1, 0.87%, 4/25/2035 ‡ (a)		49		48

Impac Secured Assets CMN Owner Trust

Series 2001-8, Class A6, 6.44%, 1/25/2032		286		298

IndyMac INDX Mortgage Loan Trust

Series 2006-AR3, Class 2A1A, 2.97%, 3/25/2036 (a)		92		81

JPMorgan Mortgage Trust

Series 2006-A2, Class 5A2, 2.43%, 11/25/2033 (a)		140		142

Series 2006-A2, Class 5A3, 2.43%, 11/25/2033 (a)		254		256

Series 2004-A3, Class 4A1, 2.30%, 7/25/2034 (a)		15		15

Series 2006-A2, Class 4A1, 2.23%, 8/25/2034 (a)		194		204

Series 2006-A3, Class 6A1, 2.58%, 8/25/2034 (a)		75		76

Series 2004-A4, Class 1A1, 2.24%, 9/25/2034 (a)		28		28

Series 2004-S1, Class 1A7, 5.00%, 9/25/2034		8		8

Series 2005-A1, Class 3A4, 2.65%, 2/25/2035 (a)		110		109

Series 2007-A1, Class 5A2, 2.54%, 7/25/2035 (a)		83		84

Legacy Mortgage Asset Trust

Series 2020-GS1, Class A1, 2.88%, 10/25/2059 (d) (e)		4,288		4,307

Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (d) (e)		4,703		4,711


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.94%, 4/25/2036 (a)		208			175

Series 2007-6, Class 1A8, 6.00%, 7/25/2037		55			55

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		356			183

LHOME Mortgage Trust

Series 2019-RTL2, Class A1, 3.84%, 3/25/2024 (d)		1,634			1,639

Series 2019-RTL3, Class A1, 3.87%, 7/25/2024 (d)		5,500			5,537

Series 2020-RTL1, Class A1, 3.23%, 10/25/2024 (d)		7,250			7,304

Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (d)		4,805			4,794

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 2.66%, 4/21/2034 (a)		49			50

Series 2004-3, Class 4A2, 2.23%, 4/25/2034 (a)		28			29

Series 2004-4, Class 2A1, 2.22%, 5/25/2034 (a)		18			17

Series 2004-13, Class 3A7, 2.75%, 11/21/2034 (a)		271			273

Series 2004-15, Class 3A1, 2.62%, 12/25/2034 (a)		35			35

MASTR Alternative Loan Trust

Series 2003-8, Class 5A1, 5.00%, 11/25/2018		—	(b)		—	(b)

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		4			4

Series 2003-4, Class 2A1, 6.25%, 6/25/2033		166			174

Series 2003-8, Class 3A1, 5.50%, 12/25/2033		2			2

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		48			50

Series 2004-1, Class 30, PO, 2/25/2034 ‡		43			37

Series 2004-3, Class 30, PO, 4/25/2034 ‡		92			78

Series 2004-3, Class 30X1, IO, 6.00%, 4/25/2034 ‡		57			10

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		133			135

Series 2004-5, Class 30, PO, 6/25/2034 ‡		111			93

Series 2004-5, Class 30X1, IO, 6.00%, 6/25/2034 ‡		31			4

Series 2004-6, Class 30X1, IO, 5.50%, 7/25/2034 ‡		45			6


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2004-6, Class 7A1, 6.00%, 7/25/2034		465			487

Series 2004-7, Class 30, PO, 8/25/2034 ‡		26			22

Series 2004-7, Class AX1, IO, 5.50%, 8/25/2034 ‡		128			18

Series 2005-3, Class AX2, IO, 6.00%, 4/25/2035 ‡		902			143

MASTR Asset Securitization Trust

Series 2003-11, Class 15, PO, 12/25/2018 ‡		—	(b)		—	(b)

Series 2003-12, Class 6A1, 5.00%, 12/25/2033		38			39

Series 2004-P7, Class A6, 5.50%, 12/27/2033 (d)		47			47

Series 2004-1, Class 30, PO, 2/25/2034 ‡		6			5

Series 2004-3, PO, 3/25/2034 ‡		3			3

MASTR Reperforming Loan Trust

Series 2005-2, Class 1A1F, 0.44%, 5/25/2035 (a) (d)		1,333			709

MASTR Resecuritization Trust

Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (d)		70			58

Merrill Lynch Mortgage Investors Trust

Series 2003-A, Class 2A2, 0.97%, 3/25/2028 (a)		47			47

Series 2003-E, Class A1, 0.70%, 10/25/2028 (a)		271			274

Series 2003-F, Class A1, 0.72%, 10/25/2028 (a)		379			381

Series 2004-D, Class A2, 0.87%, 9/25/2029 (a)		201			196

Series 2004-E, Class A2A, 0.91%, 11/25/2029 (a)		76			78

Series 2003-A5, Class 2A6, 2.02%, 8/25/2033 (a)		85			86

Series 2004-A4, Class A2, 2.62%, 8/25/2034 (a)		164			167

Series 2004-1, Class 2A1, 2.08%, 12/25/2034 (a)		151			153

Merrill Lynch Mortgage Investors Trust MLMI

Series 2003-A4, Class 2A, 2.44%, 7/25/2033 (a)		51			51

Series 2005-A1, Class 3A, 2.84%, 12/25/2034 (a)		21			22

Morgan Stanley Mortgage Loan Trust

Series 2004-3, Class 4A, 5.65%, 4/25/2034 (a)		230			244


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

MortgageIT Trust

Series 2005-5, Class A1, 0.60%, 12/25/2035 (a)		41			42

MRA Issuance Trust

Series 2021-EBO5, Class A1X, 1.85%, 2/16/2022 (a) (d)		18,400			18,413

Series 2021-EBO7, Class A1X, 2.85%, 2/16/2022 (a) (d)		18,400			18,405

Series 2021-EBO2, Class A, 2.83%, 12/31/2049 (a) (d)		15,300			15,300

NACC Reperforming Loan REMIC Trust

Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (d)		223			221

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		23			24

Series 2003-A1, Class A1, 5.50%, 5/25/2033		5			6

Series 2003-A1, Class A2, 6.00%, 5/25/2033		15			15

P-stla

7.25%, 10/11/2026 ‡		3,200			3,200

Prime Mortgage Trust

Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034		156			158

Series 2005-4, Class 2, PO, 10/25/2035 ‡		73			76

PRPM

Series 2019-GS1, Class A1, 3.50%, 10/25/2024 (a) (d)		1,897			1,904

PRPM LLC

Series 2020-5, Class A1, 3.10%, 11/25/2025 (d) (e)		6,485			6,531

Series 2021-1, Class A1, 2.12%, 1/25/2026 (a) (d)		14,093			14,132

Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (d)		7,123			7,140

Radnor RE Ltd. (Bermuda)

Series 2021-1, Class M1B, 1.75%, 12/27/2033 ‡ (a) (d)		3,000			3,002

RALI Trust

Series 2002-QS16, Class A3, IF, 16.45%, 10/25/2017 (a)		—	(b)		—	(b)

Series 2003-QS9, Class A3, IF, IO, 7.46%, 5/25/2018 ‡ (a)		1			—	(b)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡		—	(b)		—

Series 2003-QS12, Class A2A, IF, IO, 7.52%, 6/25/2018 ‡ (a)		—	(b)		—


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2003-QS14, Class A1, 5.00%, 7/25/2018		3		2

Series 2004-QA4, Class NB3, 2.93%, 9/25/2034 ‡ (a)		83		84

Series 2004-QA6, Class NB2, 2.89%, 12/26/2034 (a)		67		60

Series 2005-QA6, Class A32, 3.50%, 5/25/2035 (a)		551		374

Series 2005-QA10, Class A31, 3.83%, 9/25/2035 (a)		71		62

Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037		139		136

RBSSP Resecuritization Trust

Series 2009-12, Class 1A1, 5.16%, 11/25/2033 (a) (d)		11		11

Series 2009-1, Class 1A1, 6.50%, 2/26/2036 (a) (d)		33		32

Repo Buyer

8.32%, 5/14/2022 ‡		5,499		5,499

Repo Buyer RRI Trust

3.06%, 4/14/2055 ‡		4,013		4,011

Residential Asset Securitization Trust

Series 2003-A5, Class A1, 5.50%, 6/25/2033		100		102

Series 2004-IP2, Class 1A1, 2.79%, 12/25/2034 (a)		290		307

Series 2005-A16, Class AX, IO, 5.75%, 2/25/2036 ‡		599		114

Series 2006-A6, Class 2A13, 6.00%, 7/25/2036		214		169

RFMSI Trust

Series 2005-SA4, Class 1A1, 2.53%, 9/25/2035 (a)		68		61

RMIP

5.60%, 8/25/2021 ‡		1,636		1,608

Seasoned Credit Risk Transfer Trust

Series 2018-1, Class M60C, 3.50%, 5/25/2057		17,958		19,151

Series 2017-4, Class M60C, 3.50%, 6/25/2057		17,296		18,516

Series 2017-4, Class MT, 3.50%, 6/25/2057 ‡		3,240		3,561

Series 2018-3, Class M55D, 4.00%, 8/25/2057 (a)		11,577		12,684

Series 2018-2, Class M55D, 4.00%, 11/25/2057		14,521		15,809

Series 2019-1, Class M55D, 4.00%, 7/25/2058		4,281		4,719


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		3,447		3,797

Series 2019-4, Class M55D, 4.00%, 2/25/2059		3,292		3,631

Series 2020-1, Class M55G, 3.00%, 8/25/2059		5,450		5,791

Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡		8,854		9,442

Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡		15,413		16,313

Sequoia Mortgage Trust

Series 2003-1, Class 1A, 0.85%, 4/20/2033 (a)		187		189

Series 2004-8, Class A1, 0.79%, 9/20/2034 (a)		340		337

Series 2004-8, Class A2, 0.90%, 9/20/2034 (a)		306		313

Series 2004-9, Class A1, 0.77%, 10/20/2034 (a)		824		806

Series 2004-10, Class A1A, 0.71%, 11/20/2034 (a)		321		318

Structured Asset Mortgage Investments II Trust

Series 2004-AR5, Class 1A1, 0.75%, 10/19/2034 (a)		442		436

Series 2005-AR5, Class A3, 0.59%, 7/19/2035 (a)		681		691

Structured Asset Securities Corp.

Series 2003-37A, Class 2A, 2.21%, 12/25/2033 (a)		586		589

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

Series 2003-34A, Class 3A3, 2.83%, 11/25/2033 (a)		76		78

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 0.72%, 9/25/2043 (a)		28		28

Series 2004-1, Class II2A, 1.46%, 3/25/2044 ‡ (a)		21		21

Toorak Mortgage Corp. Ltd.

Series 2019-2, Class A1, 3.72%, 9/25/2022 (e)		3,440		3,472

Towd Point Mortgage Trust

Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (d)		9,756		9,964

Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (d)		10,250		10,398

TVC Mortgage Trust

Series 2020-RTL1, Class A1, 3.47%, 9/25/2024 (d)		6,660		6,704


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Two Harbors

Series 2021-FNT1, Class A, 3.65%, 3/25/2020		18,000		18,049

VCAT LLC

Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (d) (e)		6,090		6,109

Vendee Mortgage Trust

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		420		443

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		121		135

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		64		71

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		146		164

Series 1998-1, Class 2E, 7.00%, 3/15/2028		109		121

vMobo, Inc.

7.50%, 5/31/2024		10,190		10,190

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-S1, Class A5, 5.50%, 4/25/2033		141		145

Series 2003-S3, Class 1A4, 5.50%, 6/25/2033		56		57

Series 2003-AR7, Class A7, 2.38%, 8/25/2033 (a)		144		148

Series 2003-AR8, Class A, 2.66%, 8/25/2033 (a)		114		117

Series 2003-AR9, Class 2A, 2.40%, 9/25/2033 (a)		77		77

Series 2003-AR9, Class 1A6, 2.63%, 9/25/2033 (a)		428		430

Series 2003-S9, Class P, PO, 10/25/2033 ‡		8		7

Series 2003-AR11, Class A6, 2.80%, 10/25/2033 (a)		289		292

Series 2003-S9, Class A8, 5.25%, 10/25/2033		350		359

Series 2004-AR3, Class A1, 2.59%, 6/25/2034 (a)		24		25

Series 2004-AR3, Class A2, 2.59%, 6/25/2034 (a)		164		169

Series 2004-S2, Class 2A4, 5.50%, 6/25/2034		406		419

Series 2006-AR10, Class 2P, 2.87%, 9/25/2036 ‡ (a)		39		34

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-1, Class 1A1, 5.50%, 3/25/2035		42		43

Series 2005-2, Class 1A4, IF, IO, 4.96%, 4/25/2035 ‡ (a)		2,260		305

Series 2005-4, Class CB7, 5.50%, 6/25/2035		284		286


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		190		188

Series 2005-11, Class A4, IF, IO, 4.86%, 1/25/2036 ‡ (a)		3,260		445

Washington Mutual MSC Mortgage Pass-Through Certificates Trust

Series 2004-RA2, Class 2A, 7.00%, 7/25/2033		166		179

Wells Fargo Mortgage-Backed Securities Trust

Series 2004-U, Class A1, 2.87%, 10/25/2034 (a)		319		317

Series 2007-7, Class A7, 6.00%, 6/25/2037		121		120


Total Collateralized Mortgage Obligations (Cost $1,244,240)				1,260,687

Asset-Backed Securities — 8.8%

Accelerated Assets LLC

Series 2018-1, Class B, 4.51%, 12/2/2033 ‡ (d)		1,851		1,913

Ajax Mortgage Loan Trust

Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (d) (e)		8,315		8,305

American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (d)		1,766		1,875

Series 2015-SFR1, Class D, 4.41%, 4/17/2052 ‡ (d)		4,390		4,682

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (d)		3,975		4,308

American Homes 4 Rent Trust

Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (d)		3,026		3,219

Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (d)		4,085		4,396

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (d)		1,500		1,639

Series 2014-SFR3, Class B, 4.20%, 12/17/2036 ‡ (d)		4,350		4,630

Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (d)		1,570		1,683

Series 2014-SFR3, Class D, 5.04%, 12/17/2036 ‡ (d)		3,650		3,933

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (d)		3,172		3,496

Series 2015-SFR2, Class A, 3.73%, 10/17/2052 ‡ (d)		1,796		1,926

Series 2015-SFR2, Class C, 4.69%, 10/17/2052 ‡ (d)		7,186		7,841


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2015-SFR2, Class D, 5.04%, 10/17/2052 ‡ (d)		3,100		3,399

Series 2015-SFR2, Class E, 6.07%, 10/17/2052 ‡ (d)		3,600		4,024

AMSR Trust

Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (d)		4,000		3,976

Camillo Issuer LLC

Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		3,752		3,851

Series 2018-SFR1, Class A, 5.25%, 6/5/2028 ‡ (d)		2,754		2,833

Cars Net Lease Mortgage Notes

Series 2020-1A, Class A3, 3.10%, 12/15/2050 (d)		1,141		1,184

CARS-DB4 LP

Series 2020-1A, Class B1, 4.17%, 2/15/2050 ‡ (d)		11,500		11,909

CFMT LLC

Series 2020-HB4, Class A, 0.95%, 12/26/2030 (a) (d)		6,204		6,215

Chase Funding Trust

Series 2002-3, Class 1A5, 5.91%, 6/25/2032 ‡ (e)		618		619

Series 2003-4, Class 1A5, 5.92%, 5/25/2033 ‡ (e)		349		357

Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (e)		211		222

CoreVest American Finance Trust

Series 2017-2, Class M, 5.62%, 12/25/2027 ‡ (d)		2,200		2,411

Series 2019-2, Class B, 3.42%, 6/15/2052 ‡ (d)		4,724		5,110

Series 2019-3, Class XB, IO, 1.56%, 10/15/2052 (a) (d)		27,000		2,314

Series 2019-3, Class XA, IO, 2.20%, 10/15/2052 (a) (d)		18,306		1,232

Series 2019-3, Class A, 2.71%, 10/15/2052 (d)		2,388		2,498

Series 2021-1, Class A, 1.57%, 4/15/2053 (d)		4,492		4,513

Credit Suisse Mortgage Capital Certificates

Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (d)		7,668		7,670

Diamond Resorts Owner Trust

Series 2017-1A, Class A, 3.27%, 10/22/2029 (d)		410		416

Series 2017-1A, Class B, 4.11%, 10/22/2029 ‡ (d)		280		283


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2018-1, Class B, 4.19%, 1/21/2031 ‡ (d)		1,575		1,635

Series 2019-1A, Class A, 2.89%, 2/20/2032 (d)		2,998		3,087

Series 2019-1A, Class B, 3.53%, 2/20/2032 ‡ (d)		2,499		2,581

Series 2019-1A, Class C, 4.02%, 2/20/2032 ‡ (d)		2,456		2,535

Series 2021-1A, Class A, 1.51%, 11/21/2033 (d)		9,148		9,199

Series 2021-1A, Class B, 2.05%, 11/21/2033 ‡ (d)		4,888		4,942

Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (d)		8,324		8,440

Dominion Financial Services 2 LLC

Series 2018-1, Class A, 5.35%, 9/15/2022 ‡ (d) (e)		7,300		7,300

E3 (Cayman Islands)

Series 2019-1, Class B, 4.15%, 9/20/2055 ‡ (d)		1,988		2,044

Series 2019-1, Class C, 5.00%, 9/20/2055 ‡ (d)		1,187		1,198

Finance of America HECM Buyout

Series 2021-HB1, Class A, 0.88%, 2/25/2031 ‡ (a) (d)		12,125		12,125

Series 2021-HB1, Class M1, 1.59%, 2/25/2031 ‡ (a) (d)		2,050		2,051

Series 2021-HB1, Class M3, 3.64%, 2/25/2031 ‡ (a) (d)		2,700		2,701

FNMA, Grantor Trust

Series 2017-T1, Class A, 2.90%, 6/25/2027		5,852		6,397

FNMA, REMIC Trust

Series 2001-W4, Class AF6, 5.11%, 1/25/2032 (e)		24		26

Golden Bear LLC

Series 2016-R, Class R, 5.65%, 9/20/2047 (d)		441		441

Goodgreen

Series 2019-2A, Class A, 2.76%, 4/15/2055 (d)		2,342		2,408

Goodgreen Trust

Series 2017-1A, Class A, 3.74%, 10/15/2052 (d)		328		348

Harvest SBA Loan Trust

Series 2021-1, Class A, 2.08%, 4/25/2048 (a) (d)		5,780		5,679

HERO Funding (Cayman Islands)

Series 2017-3A, Class A2, 3.95%, 9/20/2048 (d)		1,063		1,124


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


HERO Funding II (Cayman Islands)

Series 2016-3B, Class B, 5.24%, 9/20/2042 (d)		763		763

Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (d)		1,237		1,261

HERO Funding III (Cayman Islands)

Series 2017-1A, Class A, 3.50%, 9/21/2043 (d)		895		925

HERO Funding Trust

Series 2015-1A, Class A, 3.84%, 9/21/2040 (d)		25		26

Series 2016-2A, Class A, 3.75%, 9/20/2041 (d)		1,043		1,087

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (d)		694		716

Series 2016-4A, Class A1, 3.57%, 9/20/2047 (d)		2,121		2,187

Series 2016-4A, Class A2, 4.29%, 9/20/2047 (d)		2,121		2,201

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (d)		962		1,011

Series 2017-2A, Class A1, 3.28%, 9/20/2048 (d)		1,497		1,555

Hilton Grand Vacations Trust

Series 2020-AA, Class B, 4.22%, 2/25/2039 ‡ (d)		3,120		3,321

HIN Timeshare Trust

Series 2020-A, Class B, 2.23%, 10/9/2039 ‡ (d)		2,953		3,009

Home Equity Mortgage Loan Asset-Backed Trust

Series 2006-A, Class A3, 0.48%, 3/25/2036 ‡ (a)		13		13

Home Partners of America Trust

Series 2019-1, Class E, 3.60%, 9/17/2039 (d)		3,912		3,965

KGS-Alpha SBA COOF Trust

Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (a) (d)		118		1

Series 2012-4, Class A, IO, 1.03%, 9/25/2037 ‡ (a) (d)		6,363		156

Series 2012-6, Class A, IO, 0.66%, 5/25/2039 ‡ (a) (d)		4,686		65

Series 2015-2, Class A, IO, 3.31%, 7/25/2041 ‡ (a) (d)		808		92

Lakeview CDO LLC

1.85%, 11/10/2032 ‡ (a)		1,361		1,361

2.35%, 11/10/2032 ‡ (a)		4,620		4,620


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

LFT CRE Ltd. (Cayman Islands)

Series 2021-FL1, Class C, 2.05%, 6/15/2039 ‡ (a) (d)		8,000		8,002

Long Beach Mortgage Loan Trust

Series 2004-1, Class M1, 0.83%, 2/25/2034 ‡ (a)		420		419

Madison Avenue Manufactured Housing Contract Trust

Series 2002-A, IO, 0.30%, 3/25/2032 ‡		43,651		325

Mid-State Capital Corp. Trust

Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (d)		1,298		1,377

MVW LLC

Series 2020-1A, Class B, 2.73%, 10/20/2037 ‡ (d)		2,120		2,184

Series 2020-1A, Class C, 4.21%, 10/20/2037 ‡ (d)		1,414		1,498

Series 2021-1WA, Class B, 1.44%, 1/22/2041 ‡ (d)		4,155		4,165

Series 2021-1WA, Class C, 1.94%, 1/22/2041 ‡ (d)		6,814		6,862

Nationstar HECM Loan Trust

Series 2020-1A, Class A1, 1.27%, 9/25/2030 (a) (d)		4,947		4,960

New Century Home Equity Loan Trust

Series 2003-5, Class AI6, 6.00%, 11/25/2033 ‡ (e)		199		204

NRZ Excess Spread-Collateralized Notes

Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (d)		6,335		6,402

Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (d)		11,536		11,514

Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (d)		11,896		11,889

NRZ FHT Excess LLC

Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (d)		6,240		6,296

Orange Lake Timeshare Trust

Series 2019-A, Class C, 3.61%, 4/9/2038 ‡ (d)		3,546		3,660

Pretium Mortgage Credit Partners I LLC

Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (d) (e)		4,019		4,058

Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (d) (e)		9,230		9,240

Progress Residential

Series 2021-SFR1, Class D, 1.81%, 4/17/2038 ‡ (d)		4,000		3,986


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-SFR4, Class E2, 2.56%, 5/17/2038 ‡ (d)		3,458		3,485

Progress Residential Trust

Series 2019-SFR1, Class E, 4.47%, 8/17/2035 ‡ (d)		6,400		6,476

Series 2019-SFR2, Class E, 4.14%, 5/17/2036 ‡ (d)		6,285		6,411

Series 2019-SFR3, Class E, 3.37%, 9/17/2036 ‡ (d)		12,690		13,024

Series 2019-SFR4, Class E, 3.44%, 10/17/2036 ‡ (d)		1,325		1,349

Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 ‡ (d)		7,500		7,541

Renaissance Home Equity Loan Trust

Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (e)		479		192

Renew (Cayman Islands)

Series 2017-1A, Class A, 3.67%, 9/20/2052 (d)		412		433

Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (d)		252		258

Securitized Asset-Backed Receivables LLC Trust

Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 ‡ (e)		61		61

Sierra Timeshare Receivables Funding LLC

Series 2018-3A, Class C, 4.17%, 9/20/2035 ‡ (d)		302		312

Series 2019-1A, Class C, 3.77%, 1/20/2036 ‡ (d)		1,251		1,290

Series 2019-3A, Class B, 2.75%, 8/20/2036 ‡ (d)		3,869		3,940

Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (d)		8,322		8,347

Series 2021-1A, Class C, 1.79%, 11/20/2037 ‡ (d)		5,286		5,314

Structured Asset Securities Corp. Pass-Through Certificates

Series 2002-AL1, Class A2, 3.45%, 2/25/2032 ‡		66		63

Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡		231		213

Towd Point Mortgage Trust

Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (d) (e)		7,474		7,551

Series 2019-3, Class M2, 4.25%, 2/25/2059 ‡ (a) (d)		7,550		8,181

VCAT LLC

Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (d) (e)		13,015		13,053


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

VOLT C LLC

Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (d) (e)		6,087		6,093

VOLT XCII LLC

Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (d) (e)		3,351		3,353

VOLT XCIII LLC

Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (d) (e)		11,589		11,632

VOLT XCIV LLC

Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (d) (e)		13,102		13,121

VOLT XCIX LLC

Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (d) (e)		5,395		5,409

VOLT XCV LLC

Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (d) (e)		6,119		6,132

VOLT XCVI LLC

Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (d) (e)		9,835		9,846

VOLT XCVIII LLC

Series 2021-NPL7, Class A1, 2.12%, 4/25/2051 (d) (e)		4,588		4,601

VSE VOI Mortgage LLC

Series 2018-A, Class A, 3.56%, 2/20/2036 (d)		534		558

Welk Resorts LLC

Series 2019-AA, Class A, 2.80%, 6/15/2038 (d)		2,635		2,740

Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (d)		2,606		2,672

Westgate Resorts LLC

Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (d)		3,269		3,441


Total Asset-Backed Securities (Cost $460,764)				467,611

U.S. Treasury Obligations — 8.3%

U.S. Treasury Bonds

2.25%, 5/15/2041		10,000		10,700

U.S. Treasury Notes

1.25%, 3/31/2028		24,915		25,267

1.25%, 4/30/2028		94,210		95,487

1.50%, 2/15/2030		72,350		74,060

0.88%, 11/15/2030		10,780		10,417

U.S. Treasury STRIPS Bonds 1.37%, 2/15/2028 (g)		50,000		46,568


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


1.58%, 8/15/2028 (g)		19,010		17,541

1.74%, 8/15/2029 (g)		35,590		32,107

1.77%, 11/15/2029 (g)		34,625		31,053

1.67%, 8/15/2030 (g)		50,000		44,120

7.41%, 11/15/2030 (g)		150		132

1.81%, 2/15/2032 (g)		66,000		56,237


Total U.S. Treasury Obligations (Cost $433,044)				443,689

Commercial Mortgage-Backed Securities — 7.8%

ACRE Commercial Mortgage Ltd. (Cayman Islands)

Series 2021-FL4, Class A, 0.92%, 12/18/2037 (a) (d)		12,670		12,639

Series 2021-FL4, Class B, 1.49%, 12/18/2037 ‡ (a) (d)		2,000		1,995

BAMLL Commercial Mortgage Securities Trust

Series 2014-520M, Class C, 4.35%, 8/15/2046 (a) (d)		2,500		2,772

BAMLL Re-REMIC Trust

Series 2014-FRR5, Class AK30, PO, 6/27/2045 (d)		4,500		4,372

Series 2016-FR13, Class A, 1.50%, 8/27/2045 (a) (d)		6,365		6,344

Series 2015-FR11, Class AK25, 2.45%, 9/27/2045 (a) (d)		8,000		8,046

Series 2014-FRR8, Class A, 2.09%, 11/26/2047 (a) (d)		8,915		8,899

Bancorp Commercial Mortgage Trust

Series 2019-CRE5, Class D, 2.45%, 3/15/2036 ‡ (a) (d)		2,000		1,995

BB-UBS Trust

Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (d)		4,100		4,344

Series 2012-SHOW, Class E, 4.16%, 11/5/2036 (a) (d)		3,575		3,055

BPR Trust

Series 2021-KEN, Class A, 1.35%, 2/15/2029 (a) (d)		7,855		7,855

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (d)		1,500		1,584

Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (a) (d)		1,247		1,276

Series 2020-SBX, Class D, 2.40%, 1/10/2038 ‡ (a) (d)		4,000		4,039

Series 2013-CR9, Class XB, IO, 0.25%, 7/10/2045 ‡ (a) (d)		140,329		600

Series 2012-CR2, Class XA, IO, 1.77%, 8/15/2045 ‡ (a)		4,501		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2014-CR19, Class A5, 3.80%, 8/10/2047		1,500		1,624

Series 2015-CR24, Class A5, 3.70%, 8/10/2048		1,542		1,686

Series 2015-CR25, Class A4, 3.76%, 8/10/2048		1,562		1,717

CSAIL Commercial Mortgage Trust

Series 2017-CX10, Class UESB, 4.38%, 10/15/2032 ‡ (a) (d)		7,969		8,140

Series 2017-CX10, Class UESC, 4.38%, 10/15/2032 ‡ (a) (d)		2,900		2,856

CSMC OA LLC

Series 2014-USA, Class A2, 3.95%, 9/15/2037 (d)		3,900		4,206

Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (d)		1,700		1,619

DBWF Mortgage Trust

Series 2015-LCM, Class A1, 3.00%, 6/10/2034 (d)		973		991

FHLMC Multi-Family ML Certificates

Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040 (a) (d)		57,328		8,846

FHLMC, Multi-Family Structured Credit Risk

Series 2021-MN1, Class M1, 2.05%, 1/25/2051 (a) (d)		10,295		10,342

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ09, Class A2, 2.84%, 9/25/2022		485		494

Series KJ07, Class A2, 2.31%, 12/25/2022		2,336		2,383

Series KS01, Class A2, 2.52%, 1/25/2023		1,606		1,633

Series Q013, Class XPT1, IO, 1.66%, 5/25/2025		72,540		2,363

Series KPLB, Class A, 2.77%, 5/25/2025		321		345

Series K065, Class A2, 3.24%, 4/25/2027		1,848		2,056

Series Q013, Class XPT2, IO, 1.81%, 5/25/2027		64,431		2,391

Series K065, Class AM, 3.33%, 5/25/2027		993		1,108

Series K740, Class XAM, IO, 1.20%, 10/25/2027 (a)		33,000		2,121

Series K077, Class AM, 3.85%, 5/25/2028 (a)		4,025		4,668

Series KW10, Class X1, IO, 0.77%, 9/25/2029 (a)		110,744		5,181

Series KL06, Class XFX, IO, 1.36%, 12/25/2029		53,095		4,764

Series KLU3, Class X1, IO, 2.08%, 1/25/2031 (a)		99,561		13,995

Series K128, Class XAM, IO, 0.84%, 3/25/2031 (a)		26,300		1,744


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K-1518, Class X1, IO, 0.96%, 10/25/2035 (a)		129,475		12,199

Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (a)		98,310		5,338

FNMA ACES

Series 2016-M2, Class AV2, 2.15%, 1/25/2023		1,871		1,900

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (a)		1,343		1,424

Series 2014-M9, Class A2, 3.10%, 7/25/2024 (a)		3,751		3,981

Series 2015-M3, Class A2, 2.72%, 10/25/2024		2,719		2,858

Series 2015-M7, Class A2, 2.59%, 12/25/2024		965		1,017

Series 2015-M2, Class A3, 3.11%, 12/25/2024 (a)		1,690		1,802

Series 2015-M13, Class A2, 2.80%, 6/25/2025 (a)		2,951		3,145

Series 2016-M6, Class A2, 2.49%, 5/25/2026		2,900		3,094

Series 2017-M3, Class A2, 2.56%, 12/25/2026 (a)		1,869		1,998

Series 2017-M15, Class A2, 3.06%, 9/25/2027 (a)		5,000		5,492

Series 2018-M7, Class A2, 3.15%, 3/25/2028 (a)		4,377		4,873

Series 2020-M39, Class 1A1, 0.75%, 9/25/2028		11,204		11,080

Series 2019-M1, Class A2, 3.67%, 9/25/2028 (a)		4,615		5,281

Series 2020-M38, Class 2A1, 1.59%, 11/25/2028		1,330		1,348

Series 2020-M38, Class X2, IO, 2.11%, 11/25/2028 (a)		5,625		686

Series 2020-M11, IO, 1.87%, 1/25/2029 (a)		79,978		8,848

Series 2018-M3, Class A2, 3.19%, 2/25/2030 (a)		1,255		1,410

Series 2020-M39, Class X1, IO, 2.12%, 7/25/2030 (a)		51,389		6,542

Series 2020-M50, Class A1, 0.67%, 10/25/2030		364		359

Series 2020-M50, Class A2, 1.20%, 10/25/2030		130		129

Series 2020-M50, Class X1, IO, 2.02%, 10/25/2030 (a)		2,144		234

Series 2021-M4, Class A1, 0.96%, 2/25/2031		18,515		18,317


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		2,883		2,875

Series 2021-M3, Class X1, IO, 2.12%, 11/25/2033 (a)		14,868		2,020

Series 2019-M10, Class X, IO, 1.08%, 5/25/2049 (a)		66,184		4,845

FREMF Mortgage Trust

Series 2018-KBX1, Class B, 3.69%, 1/25/2026 (a) (d)		2,050		2,118

Series 2019-K736, Class B, 3.88%, 7/25/2026 (a) (d)		6,500		7,065

Series 2014-K39, Class C, 4.28%, 8/25/2047 (a) (d)		3,099		3,342

Series 2014-K41, Class C, 3.96%, 11/25/2047 (a) (d)		1,830		1,968

Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (d)		1,626		1,748

Series 2015-K44, Class B, 3.81%, 1/25/2048 (a) (d)		3,790		4,081

Series 2015-K44, Class C, 3.81%, 1/25/2048 (a) (d)		4,095		4,338

Series 2015-K45, Class B, 3.71%, 4/25/2048 (a) (d)		5,075		5,474

Series 2015-K46, Class C, 3.82%, 4/25/2048 (a) (d)		3,000		3,162

Series 2016-K54, Class C, 4.19%, 4/25/2048 (a) (d)		3,691		3,971

Series 2015-K48, Class B, 3.77%, 8/25/2048 (a) (d)		5,545		6,021

Series 2015-K48, Class C, 3.77%, 8/25/2048 (a) (d)		6,175		6,547

Series 2015-K49, Class C, 3.85%, 10/25/2048 (a) (d)		3,000		3,170

Series 2015-K50, Class B, 3.91%, 10/25/2048 (a) (d)		2,100		2,288

Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (d)		1,000		1,099

Series 2016-K722, Class B, 3.99%, 7/25/2049 (a) (d)		5,250		5,499

Series 2016-K59, Class B, 3.70%, 11/25/2049 (a) (d)		1,902		2,073

Series 2017-K65, Class C, 4.21%, 7/25/2050 (a) (d)		3,662		3,972

Series 2017-K71, Class B, 3.88%, 11/25/2050 (a) (d)		1,240		1,371

Series 2018-K73, Class B, 3.98%, 2/25/2051 (a) (d)		1,150		1,269

GS Mortgage Securities Trust

Series 2006-GG8, Class X, IO, 1.27%, 11/10/2039 ‡ (a) (d)		1,919		3


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


JPMCC Re-REMIC Trust

Series 2015-FRR2, Class AK36, 2.14%, 12/27/2046 (a) (d)		13,390		13,439

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2006-CB15, Class X1, IO, 0.38%, 6/12/2043 ‡ (a)		3,261		—	(b)

Ladder Capital Commercial Mortgage Trust

Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (d)		2,686		3,012

LB-UBS Commercial Mortgage Trust

Series 2006-C1, Class XCL, IO, 0.37%, 2/15/2041 ‡ (a) (d)		2,432		1

Merchants Bank of Indiana Multi-Family Housing Mortgage Loan Trust

Series 2021-Q015, Class B, 2.90%, 8/25/2024 ‡ (a) (d)		10,664		10,664

MHC Commercial Mortgage Trust

Series 2021-MHC, Class E, 2.20%, 4/15/2038 ‡ (a) (d)		2,400		2,400

MRCD MARK Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (d)		5,000		5,217

Series 2019-PARK, Class E, 2.72%, 12/15/2036 ‡ (d)		7,000		7,005

Multi-Family Connecticut Avenue Securities Trust

Series 2019-01, Class M7, 1.78%, 10/15/2049 ‡ (a) (d)		5,541		5,516

PFP Ltd. (Cayman Islands)

Series 2019-5, Class D, 2.75%, 4/14/2036 ‡ (a) (d)		3,000		2,993

Series 2021-7, Class B, 1.50%, 4/14/2038 ‡ (a) (d)		7,100		7,073

RBS Commercial Funding, Inc. Trust

Series 2013-SMV, Class A, 3.26%, 3/11/2031 (d)		2,123		2,168

UBS Commercial Mortgage Trust

Series 2012-C1, Class XA, IO, 2.20%, 5/10/2045 (a) (d)		4,820		16

UBS-BAMLL Trust

Series 2012-WRM, Class A, 3.66%, 6/10/2030 (d)		3,015		3,031

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		857		886

Series 2012-C2, Class XA, IO, 1.43%, 5/10/2063 ‡ (a) (d)		9,809		66

Series 2012-C2, Class A4, 3.53%, 5/10/2063		1,300		1,321


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

VNDO Mortgage Trust

Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (d)		2,991		3,060

Wachovia Bank Commercial Mortgage Trust

Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 ‡ (a) (d)		445		—	(b)

Wells Fargo Commercial Mortgage Trust

Series 2021-SAVE, Class A, 1.25%, 2/15/2040 (a) (d)		4,586		4,608

Wells Fargo Re-REMIC Trust

Series 2013-FRR1, Class AK20, PO, 5/27/2045 (d)		1,577		1,562

WFRBS Commercial Mortgage Trust

Series 2013-C11, Class D, 4.38%, 3/15/2045 ‡ (a) (d)		750		743

Series 2012-C6, Class A4, 3.44%, 4/15/2045		258		258


Total Commercial Mortgage-Backed Securities (Cost $400,233)				415,832


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 12.1%

Investment Companies — 12.1%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (h) (i) (Cost $643,117)		642,813		643,134

Total Investments — 109.9% (Cost $5,760,136)				5,845,950
Liabilities in Excess of Other Assets — (9.9)%				(526,993	)

NET ASSETS — 100.0%				5,318,957

Percentages indicated are based on net assets.


ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
CDO		Collateralized Debt Obligations
CSMC		Credit Suisse Mortgage Trust
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.


REMIC		Real Estate Mortgage Investment Conduit
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities

(a)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(b)		Amount rounds to less than one thousand.
(c)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(d)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(f)		Defaulted security.
(g)		The rate shown is the effective yield as of August 31, 2021.
(h)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(i)		The rate shown is the current yield as of August 31, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Corporate Bonds — 26.6%

Aerospace & Defense — 0.4%

Boeing Co. (The)

1.43%, 2/4/2024		20,280		20,325

4.88%, 5/1/2025		23,410		26,169

Leidos, Inc. 2.95%, 5/15/2023		4,150		4,295


				50,789


Auto Components — 0.0% (a)

Toyota Industries Corp. (Japan) 3.11%, 3/12/2022 (b)		4,050		4,103


Automobiles — 1.4%

BMW US Capital LLC (Germany)

1.85%, 9/15/2021 (b)		1,826		1,827

3.80%, 4/6/2023 (b)		16,490		17,356

Daimler Finance North America LLC (Germany)

2.85%, 1/6/2022 (b)		1,178		1,189

3.40%, 2/22/2022 (b)		5,000		5,074

0.75%, 3/1/2024 (b)		20,000		20,054

2.70%, 6/14/2024 (b)		6,150		6,466

General Motors Co. 6.13%, 10/1/2025		18,140		21,394

Hyundai Capital America

3.95%, 2/1/2022 (b)		1,500		1,521

3.00%, 6/20/2022 (b)		1,445		1,473

2.85%, 11/1/2022 (b)		7,987		8,195

2.38%, 2/10/2023 (b)		7,302		7,475

5.75%, 4/6/2023 (b)		7,500		8,086

1.80%, 10/15/2025 (b)		8,440		8,545

1.30%, 1/8/2026 (b)		5,075		5,021

3.00%, 2/10/2027 (b)		5,806		6,153

Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (b)		21,920		23,449

Volkswagen Group of America Finance LLC (Germany)

4.00%, 11/12/2021 (b)		2,700		2,719

2.90%, 5/13/2022 (b)		13,965		14,206

3.13%, 5/12/2023 (b)		2,359		2,457

4.25%, 11/13/2023 (b)		7,520		8,077


				170,737


Banks — 11.4%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (b)		9,191		10,278

AIB Group plc (Ireland)

4.75%, 10/12/2023 (b)		11,415		12,328

(ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (b) (c)		14,465		15,539


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

ANZ New Zealand Int’l Ltd. (New Zealand) 2.88%, 1/25/2022 (b)		3,000		3,032

Australia & New Zealand Banking Group Ltd. (Australia) 4.50%, 3/19/2024 (b)		1,000		1,090

Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023		21,200		21,294


Banco Santander SA (Spain)

2.71%, 6/27/2024		15,000		15,848

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (c)		21,200		21,261

2.75%, 5/28/2025		4,400		4,639

5.18%, 11/19/2025		16,800		19,236

Bank of America Corp.

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (c)		5,370		5,427

(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (c)		25,285		26,108

(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (c)		13,480		14,289

(SOFR + 0.69%), 0.74%, 4/22/2025 (c)		23,670		23,885

(SOFR + 0.91%), 0.98%, 9/25/2025 (c)		15,110		15,152

(SOFR + 1.15%), 1.32%, 6/19/2026 (c)		14,105		14,152

Bank of Nova Scotia (The) (Canada)

2.00%, 11/15/2022		14,818		15,128

1.95%, 2/1/2023		2,285		2,338

Banque Federative du Credit Mutuel SA (France)

2.70%, 7/20/2022 (b)		6,000		6,131

2.13%, 11/21/2022 (b)		11,835		12,104

3.75%, 7/20/2023 (b)		1,480		1,570

Barclays Bank plc (United Kingdom) 1.70%, 5/12/2022		7,470		7,538

Barclays plc (United Kingdom) 3.68%, 1/10/2023		2,835		2,868

(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 2/15/2023 (c)		7,355		7,495

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c)		14,600		14,665

(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (c)		12,500		13,471

BBVA USA 2.88%, 6/29/2022		3,824		3,898

BNP Paribas SA (France)

3.50%, 3/1/2023 (b)		2,100		2,195

3.80%, 1/10/2024 (b)		14,267		15,258

3.38%, 1/9/2025 (b)		8,424		9,035


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (b) (c)		15,000		16,325

4.38%, 9/28/2025 (b)		4,883		5,402

(SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c)		8,200		8,132

BNZ International Funding Ltd. (New Zealand) 2.90%, 2/21/2022 (b)		5,410		5,479

Canadian Imperial Bank of Commerce (Canada) 0.95%, 6/23/2023		4,480		4,522

(ICE LIBOR USD 3 Month + 0.79%), 2.61%, 7/22/2023 (c)		2,500		2,549

3.10%, 4/2/2024		4,805		5,105

Citigroup, Inc.

2.70%, 10/27/2022		2,500		2,566

(SOFR + 0.87%), 2.31%, 11/4/2022 (c)		3,960		3,974

(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 1/24/2023 (c)		13,924		14,076

(ICE LIBOR USD 3 Month + 0.95%), 2.88%, 7/24/2023 (c)		6,966		7,118

(SOFR + 0.69%), 0.78%, 10/30/2024 (c)		12,175		12,212

(SOFR + 2.84%), 3.11%, 4/8/2026 (c)		8,525		9,117

(SOFR + 0.77%), 1.12%, 1/28/2027 (c)		13,725		13,604

Cooperatieve Rabobank UA (Netherlands)

2.75%, 1/10/2022		500		505

3.88%, 2/8/2022		2,000		2,032

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (b) (c)		10,550		10,472

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 1.11%, 2/24/2027 (b) (c)		16,355		16,229

Credit Agricole SA (France)

3.38%, 1/10/2022 (b)		5,000		5,055

3.75%, 4/24/2023 (b)		8,885		9,368

4.38%, 3/17/2025 (b)		13,670		15,002

(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c)		12,090		12,375

Credit Suisse Group Funding Guernsey Ltd. (Switzerland) 3.80%, 9/15/2022		3,000		3,106

Danske Bank A/S (Denmark)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (c)		18,115		18,207

DNB Bank ASA (Norway)

2.15%, 12/2/2022 (b)		14,706		15,065

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (b) (c)		14,945		14,881


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Federation des Caisses Desjardins du Quebec (Canada) 2.05%, 2/10/2025 (b)		4,430		4,586

Fifth Third Bancorp

3.50%, 3/15/2022		1,000		1,015

2.60%, 6/15/2022		6,850		6,962

2.38%, 1/28/2025		3,196		3,344

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.06%), 3.26%, 3/13/2023 (c)		5,218		5,299

(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (c)		6,364		6,570

(SOFR + 0.53%), 0.73%, 8/17/2024 (c)		25,530		25,574

(SOFR + 0.71%), 0.98%, 5/24/2025 (c)		7,325		7,329

(SOFR + 1.54%), 1.64%, 4/18/2026 (c)		15,272		15,463

ING Groep NV (Netherlands) 4.10%, 10/2/2023		16,770		17,999

KeyBank NA 2.50%, 11/22/2021		750		754

Lloyds Bank plc (United Kingdom) 2.25%, 8/14/2022		600		611

Lloyds Banking Group plc (United Kingdom)

3.00%, 1/11/2022		1,200		1,212

(ICE LIBOR USD 3 Month + 1.25%), 2.86%, 3/17/2023 (c)		17,350		17,582

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.33%, 6/15/2023 (c)		6,845		6,893

4.05%, 8/16/2023		15,000		16,015

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, 5/11/2024 (c)		14,735		14,789

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (c)		5,850		6,335

4.58%, 12/10/2025		5,977		6,733

Mitsubishi UFJ Financial Group, Inc. (Japan)

3.22%, 3/7/2022		1,400		1,421

2.62%, 7/18/2022		800		817

2.67%, 7/25/2022		3,535		3,610

3.76%, 7/26/2023		4,272		4,541

3.41%, 3/7/2024		2,970		3,173

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (c)		8,340		8,383

2.19%, 2/25/2025		13,695		14,245

1.41%, 7/17/2025		5,310		5,376

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (c)		27,160		27,260


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Mizuho Financial Group Cayman 3 Ltd. (Japan)

4.60%, 3/27/2024 (b)		41,100		44,741

Mizuho Financial Group, Inc. (Japan)

2.95%, 2/28/2022		4,290		4,347

2.60%, 9/11/2022		536		549

(ICE LIBOR USD 3 Month + 0.84%), 2.72%, 7/16/2023 (c)		5,022		5,125

(SOFR + 1.25%), 1.24%, 7/10/2024 (c)		21,195		21,458

(SOFR + 0.87%), 0.85%, 9/8/2024 (c)		6,315		6,344

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c)		18,070		17,908

National Bank of Canada (Canada)

2.15%, 10/7/2022 (b)		3,890		3,968

2.10%, 2/1/2023		5,755		5,894

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.77%), 0.90%, 8/15/2023 (c)		3,750		3,769

Natwest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 5/15/2023 (c)		14,560		14,869

3.88%, 9/12/2023		7,780		8,280

4.80%, 4/5/2026		13,000		14,874

NatWest Markets plc (United Kingdom)

3.63%, 9/29/2022 (b)		15,000		15,534

2.38%, 5/21/2023 (b)		6,015		6,218

0.80%, 8/12/2024 (b)		12,455		12,449

Nordea Bank Abp (Finland)

4.25%, 9/21/2022 (b)		870		905

1.00%, 6/9/2023 (b)		3,120		3,158

3.75%, 8/30/2023 (b)		1,115		1,187

Santander UK Group Holdings plc (United Kingdom)

3.57%, 1/10/2023		10,000		10,112

(SOFR + 0.79%), 1.09%, 3/15/2025 (c)		15,360		15,405

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c)		5,660		5,687

Skandinaviska Enskilda Banken AB (Sweden)

2.80%, 3/11/2022		1,700		1,724

3.05%, 3/25/2022 (b)		1,600		1,624

Societe Generale SA (France)

3.25%, 1/12/2022 (b)		1,905		1,925

4.25%, 9/14/2023 (b)		2,850		3,052

5.00%, 1/17/2024 (b)		14,000		15,197

3.88%, 3/28/2024 (b)		9,650		10,354


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

2.63%, 10/16/2024 (b)		17,970		18,746

2.63%, 1/22/2025 (b)		3,500		3,652

4.25%, 4/14/2025 (b)		13,088		14,215

1.38%, 7/8/2025 (b)		9,555		9,616

4.25%, 8/19/2026 (b)		7,000		7,689

Standard Chartered plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.20%), 2.74%, 9/10/2022 (b) (c)		15,615		15,623

(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (b) (c)		15,645		15,871

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (c)		12,805		13,408

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (b) (c)		24,444		24,397

Sumitomo Mitsui Financial Group, Inc. (Japan)

2.44%, 10/19/2021		900		903

2.85%, 1/11/2022		1,890		1,908

2.78%, 7/12/2022		3,010		3,076

4.44%, 4/2/2024 (b)		30,250		32,831

1.47%, 7/8/2025		20,905		21,208

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.85%, 3/25/2024 (b)		25,935		26,059

Svenska Handelsbanken AB (Sweden) 0.63%, 6/30/2023 (b)		3,350		3,367

Truist Bank 2.80%, 5/17/2022		1,500		1,525

Truist Financial Corp. 3.05%, 6/20/2022		8,275		8,442

UniCredit SpA (Italy)

3.75%, 4/12/2022 (b)		15,000		15,282

7.83%, 12/4/2023 (b)		10,000		11,465

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c)		2,120		2,159

Wells Fargo & Co.

(SOFR + 1.60%), 1.65%, 6/2/2024 (c)		31,246		31,905

(SOFR + 1.09%), 2.41%, 10/30/2025 (c)		600		627

(SOFR + 2.00%), 2.19%, 4/30/2026 (c)		4,065		4,222

Wells Fargo Bank NA 3.63%, 10/22/2021		3,300		3,316


				1,351,790


Beverages — 0.2%

Keurig Dr Pepper, Inc.

3.13%, 12/15/2023		1,735		1,831

0.75%, 3/15/2024		16,475		16,495


				18,326


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Biotechnology — 0.5%

AbbVie, Inc.

5.00%, 12/15/2021		420		421

2.30%, 11/21/2022		19,695		20,143

2.60%, 11/21/2024		5,500		5,795

Gilead Sciences, Inc.

4.40%, 12/1/2021		5,015		5,015

0.75%, 9/29/2023		22,895		22,901


				54,275


Capital Markets — 3.6%

Ameriprise Financial, Inc.

3.00%, 3/22/2022		1,035		1,051

3.00%, 4/2/2025		4,755		5,077

Credit Suisse Group AG (Switzerland)

3.57%, 1/9/2023 (b)		24,956		25,228

3.80%, 6/9/2023		5,550		5,852

(ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (b) (c)		10,585		11,213

(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c)		30,000		31,225

(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c)		13,115		12,903

Deutsche Bank AG (Germany)

(SOFR + 2.16%), 2.22%, 9/18/2024 (c)		18,255		18,733

(SOFR + 1.13%), 1.45%, 4/1/2025 (c)		5,000		5,035

(SOFR + 1.87%), 2.13%, 11/24/2026 (c)		13,700		13,997

Goldman Sachs Group, Inc. (The)

(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (c)		18,799		18,875

(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (c)		6,825		6,951

(SOFR + 0.57%), 0.67%, 3/8/2024 (c)		51,280		51,364

3.50%, 4/1/2025		8,685		9,403

Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (c)		13,850		13,743

Macquarie Group Ltd. (Australia)

(ICE LIBOR USD 3 Month + 1.02%), 3.19%, 11/28/2023 (b) (c)		2,000		2,064

(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c)		15,754		15,704

Morgan Stanley

3.13%, 1/23/2023		10,319		10,719

3.75%, 2/25/2023		4,362		4,578

(SOFR + 0.46%), 0.53%, 1/25/2024 (c)		40,595		40,614

(SOFR + 0.51%), 0.79%, 1/22/2025 (c)		31,485		31,545

4.00%, 7/23/2025		3,205		3,556

(SOFR + 1.99%), 2.19%, 4/28/2026 (c)		4,805		4,994


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — continued

Nomura Holdings, Inc. (Japan)

1.85%, 7/16/2025		8,625		8,818

1.65%, 7/14/2026		20,765		20,785

State Street Corp. (SOFR + 2.69%), 2.82%, 3/30/2023 (c)		5,355		5,435

UBS AG (Switzerland)

1.75%, 4/21/2022 (b)		8,310		8,383

0.70%, 8/9/2024 (b)		19,275		19,291

UBS Group AG (Switzerland)

2.65%, 2/1/2022 (b)		3,626		3,663

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (b) (c)		8,160		8,212

4.13%, 9/24/2025 (b)		10,350		11,524


				430,535


Chemicals — 0.1%

International Flavors & Fragrances, Inc. 1.23%, 10/1/2025 (b)		6,020		6,002


Consumer Finance — 1.6%

AerCap Ireland Capital DAC (Ireland)

3.95%, 2/1/2022		1,105		1,118

3.30%, 1/23/2023		3,500		3,619

3.15%, 2/15/2024		12,885		13,473

6.50%, 7/15/2025		11,165		13,027

4.45%, 10/1/2025		4,295		4,715

1.75%, 1/30/2026		8,260		8,173

American Honda Finance Corp. 2.05%, 1/10/2023		4,674		4,785

0.88%, 7/7/2023		9,380		9,458

Avolon Holdings Funding Ltd. (Ireland) 3.63%, 5/1/2022 (b)		4,330		4,406

5.13%, 10/1/2023 (b)		7,787		8,394

5.25%, 5/15/2024 (b)		3,675		4,029

3.95%, 7/1/2024 (b)		8,000		8,535

5.50%, 1/15/2026 (b)		16,775		18,976

Capital One Financial Corp. 3.05%, 3/9/2022		5,340		5,405

2.60%, 5/11/2023		6,365		6,590

Caterpillar Financial Services Corp. 1.93%, 10/1/2021		1,952		1,955

2.95%, 2/26/2022		7,135		7,228

General Motors Financial Co., Inc. 1.05%, 3/8/2024		6,435		6,475

Park Aerospace Holdings Ltd. (Ireland) 5.25%, 8/15/2022 (b)		9,172		9,534


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Consumer Finance — continued

4.50%, 3/15/2023 (b)		6,254		6,563

5.50%, 2/15/2024 (b)		17,662		19,380

Toyota Motor Credit Corp. 1.15%, 5/26/2022		14,550		14,658

2.90%, 3/30/2023		8,880		9,239


				189,735


Diversified Financial Services — 0.2%

AIG Global Funding 2.70%, 12/15/2021 (b)		1,700		1,712

CK Hutchison International 17 Ltd. (United Kingdom) 2.88%, 4/5/2022 (b)		1,200		1,217

Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b)		21,754		22,081

Mitsubishi HC Capital, Inc. (Japan) 3.41%, 2/28/2022 (b)		685		693

3.96%, 9/19/2023 (b)		1,000		1,063


				26,766


Diversified Telecommunication Services — 0.1%

AT&T, Inc.

(SOFR + 0.64%), 0.69%, 3/25/2024 (c)		10,945		10,969


Electric Utilities — 1.1%

Alliant Energy Finance LLC 1.40%, 3/15/2026 (b)		4,640		4,613

Edison International 2.95%, 3/15/2023		7,680		7,890

Entergy Corp. 0.90%, 9/15/2025		2,915		2,879

Exelon Corp. 3.50%, 6/1/2022		850		867

NextEra Energy Capital Holdings, Inc. 2.90%, 4/1/2022		860		873

(ICE LIBOR USD 3 Month + 0.27%), 0.40%, 2/22/2023 (c)		12,995		12,996

0.65%, 3/1/2023		31,485		31,606

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (c)		14,500		14,509

1.37%, 3/10/2023		24,650		24,577

Southern California Edison Co. 1.85%, 2/1/2022		119		119

(SOFR + 0.83%), 0.88%, 4/1/2024 (c)		18,425		18,509

Vistra Operations Co. LLC 3.55%, 7/15/2024 (b)		12,000		12,694


				132,132


Equity Real Estate Investment Trusts (REITs) — 0.1%

American Tower Corp. 2.25%, 1/15/2022		1,000		1,007

3.00%, 6/15/2023		3,140		3,277


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

Public Storage

(SOFR + 0.47%), 0.52%, 4/23/2024 (c)		12,850		12,871


				17,155


Food & Staples Retailing — 0.2%

7-Eleven, Inc. 0.63%, 2/10/2023 (b)		6,640		6,633

0.80%, 2/10/2024 (b)		15,035		15,032


				21,665


Food Products — 0.0% (a)

McCormick & Co., Inc. 3.50%, 9/1/2023		1,000		1,050


Gas Utilities — 0.5%

Atmos Energy Corp. 0.63%, 3/9/2023		6,975		6,976

CenterPoint Energy Resources Corp. 0.70%, 3/2/2023		22,550		22,552

ONE Gas, Inc.

(ICE LIBOR USD 3 Month + 0.61%), 0.73%, 3/11/2023 (c)		6,404		6,405

Southern California Gas Co.

(ICE LIBOR USD 3 Month + 0.35%), 0.47%, 9/14/2023 (c)		12,565		12,567

Southern Natural Gas Co. LLC 0.63%, 4/28/2023 (b)		6,210		6,215


				54,715


Health Care Providers & Services — 0.5%

AmerisourceBergen Corp. 0.74%, 3/15/2023		9,460		9,476

Cigna Corp. 3.75%, 7/15/2023		720		763

0.61%, 3/15/2024		11,705		11,707

CVS Health Corp. 3.70%, 3/9/2023		1,189		1,244

Humana, Inc. 0.65%, 8/3/2023		36,025		36,051


				59,241


Household Products — 0.0% (a)

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (b)		800		813


Independent Power and Renewable Electricity Producers — 0.3%

Alexander Funding Trust 1.84%, 11/15/2023 (b)		32,710		33,335

Exelon Generation Co. LLC 3.40%, 3/15/2022		1,798		1,823

3.25%, 6/1/2025		4,675		5,025


				40,183


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Insurance — 1.1%

Athene Global Funding 4.00%, 1/25/2022 (b)		600		609

3.00%, 7/1/2022 (b)		3,863		3,949

1.20%, 10/13/2023 (b)		14,000		14,179

0.95%, 1/8/2024 (b)		10,315		10,377

2.75%, 6/25/2024 (b)		2,970		3,129

0.91%, 8/19/2024 (b)		29,420		29,468

Equitable Financial Life Global Funding 1.00%, 1/9/2026 (b)		13,395		13,249

F&G Global Funding 1.75%, 6/30/2026 (b)		11,240		11,427

Jackson National Life Global Funding 3.30%, 2/1/2022 (b)		1,295		1,312

2.50%, 6/27/2022 (b)		9,615		9,791

3.25%, 1/30/2024 (b)		14,750		15,673

Liberty Mutual Group, Inc. 4.95%, 5/1/2022 (b)		500		515

Lincoln National Corp. 4.20%, 3/15/2022		600		612

Metropolitan Life Global Funding I 3.38%, 1/11/2022 (b)		1,500		1,517

2.40%, 6/17/2022 (b)		1,650		1,679

3.00%, 1/10/2023 (b)		5,600		5,803

1.95%, 1/13/2023 (b)		4,955		5,063

Pricoa Global Funding I 3.45%, 9/1/2023 (b)		466		496

Protective Life Global Funding 1.08%, 6/9/2023 (b)		2,735		2,772

Reliance Standard Life Global Funding II 2.15%, 1/21/2023 (b)		3,770		3,854

3.85%, 9/19/2023 (b)		1,388		1,477


				136,951


Metals & Mining — 0.0% (a)

Glencore Funding LLC (Australia) 1.63%, 9/1/2025 (b)		5,520		5,583


Multiline Retail — 0.0% (a)

Nordstrom, Inc. 2.30%, 4/8/2024		2,350		2,365


Multi-Utilities — 0.3%

CenterPoint Energy, Inc. (SOFR + 0.65%), 0.70%, 5/13/2024 (c)		9,805		9,819

Dominion Energy, Inc.

Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.65%, 9/15/2023 (c)		21,235		21,239

NiSource, Inc. 0.95%, 8/15/2025		7,710		7,656


				38,714


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — 0.2%

BG Energy Capital plc (United Kingdom) 4.00%, 10/15/2021 (b)		1,990		1,999

BP Capital Markets America, Inc. 2.94%, 4/6/2023		4,027		4,192

Enbridge, Inc. (Canada) 2.90%, 7/15/2022		400		408

Gray Oak Pipeline LLC

2.00%, 9/15/2023 (b)		9,850		10,040

2.60%, 10/15/2025 (b)		12,825		13,200


				29,839


Pharmaceuticals — 0.2%

Bristol-Myers Squibb Co.

3.55%, 8/15/2022		5,985		6,175

2.75%, 2/15/2023		1,500		1,552

Royalty Pharma plc 0.75%, 9/2/2023		7,384		7,416

Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023		8,647		9,029


				24,172


Real Estate Management & Development — 0.0% (a)

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (b)		3,000		3,040


Road & Rail — 0.4%

Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (b)		9,600		9,550

Ryder System, Inc. 3.35%, 9/1/2025		2,705		2,923

SMBC Aviation Capital Finance DAC (Ireland) 3.00%, 7/15/2022 (b)		6,200		6,323

Triton Container International Ltd. (Bermuda) 0.80%, 8/1/2023 (b)		25,515		25,508


				44,304


Semiconductors & Semiconductor Equipment — 0.2%

Microchip Technology, Inc. 0.97%, 2/15/2024 (b)		21,060		21,085


Software — 0.1%

VMware, Inc. 1.00%, 8/15/2024		11,550		11,599


Specialty Retail — 0.0% (a)

O’Reilly Automotive, Inc. 3.80%, 9/1/2022		725		744


Thrifts & Mortgage Finance — 1.0%

BPCE SA (France)

2.75%, 12/2/2021		500		503

4.00%, 9/12/2023 (b)		14,685		15,674

5.70%, 10/22/2023 (b)		13,600		14,941

4.63%, 7/11/2024 (b)		10,774		11,781

5.15%, 7/21/2024 (b)		15,685		17,438


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Thrifts & Mortgage Finance — continued

2.38%, 1/14/2025 (b)		6,000		6,236

(SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c)		10,680		10,739

Nationwide Building Society (United Kingdom)

2.00%, 1/27/2023 (b)		5,085		5,207

(ICE LIBOR USD 3 Month + 1.18%), 3.62%, 4/26/2023 (b) (c)		19,655		20,062

(ICE LIBOR USD 3 Month + 1.06%), 3.77%, 3/8/2024 (b) (c)		6,285		6,571

4.00%, 9/14/2026 (b)		5,000		5,535


				114,687


Tobacco — 0.3%

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		2,700		2,865

BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026		4,925		4,954

Philip Morris International, Inc. 2.63%, 2/18/2022		12,340		12,457

Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025		11,059		12,255


				32,531


Trading Companies & Distributors — 0.6%

Air Lease Corp.

2.25%, 1/15/2023		3,095		3,170

2.75%, 1/15/2023		6,305		6,490

4.25%, 9/15/2024		2,500		2,717

2.88%, 1/15/2026		14,240		14,974

1.88%, 8/17/2026		19,605		19,668

Aviation Capital Group LLC

5.50%, 12/15/2024 (b)		4,330		4,880

4.88%, 10/1/2025 (b)		2,619		2,915

1.95%, 1/30/2026 (b)		13,100		13,172

BOC Aviation Ltd. (Singapore) 2.38%, 9/15/2021 (b)		1,900		1,901


				69,887


Total Corporate Bonds (Cost $3,148,326)				3,176,482


Asset-Backed Securities — 23.7%

ACC Auto Trust

Series 2021-A, Class A, 1.08%, 4/15/2027 (b)		20,635		20,659

ACC Trust

Series 2019-2, Class A, 2.82%, 2/21/2023 (b)		1,122		1,125


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-1, Class A, 0.74%, 11/20/2023 (b)		6,087		6,088

Affirm Asset Securitization Trust

Series 2020-A, Class A, 2.10%, 2/18/2025 (b)		11,877		11,944

AIMCO CLO Ltd. (Cayman Islands)

Series 2019-10A, Class AR, 1.17%, 7/22/2032 (b) (d)		15,000		15,000

Aligned Data Centers Issuer LLC

Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b)		3,123		3,140

American Credit Acceptance Receivables Trust

Series 2018-2, Class D, 4.07%, 7/10/2024(b)		862		875

Series 2020-3, Class B, 1.15%, 8/13/2024 (b)		4,250		4,265

Series 2018-3, Class D, 4.14%, 10/15/2024 (b)		1,881		1,899

Series 2018-4, Class D, 4.40%, 1/13/2025 (b)		11,130		11,333

Series 2021-1, Class B, 0.61%, 3/13/2025 (b)		1,750		1,751

Series 2019-2, Class C, 3.17%, 6/12/2025 (b)		4,076		4,111

Series 2019-2, Class D, 3.41%, 6/12/2025 (b)		13,725		14,100

Series 2019-3, Class C, 2.76%, 9/12/2025 (b)		4,954		4,995

Series 2019-3, Class D, 2.89%, 9/12/2025 (b)		4,907		5,017

Series 2019-3, Class E, 3.80%, 9/12/2025 (b)		9,150		9,509

Series 2019-4, Class C, 2.69%, 12/12/2025 (b)		5,500		5,550

Series 2020-1, Class C, 2.19%, 3/13/2026 (b)		10,120		10,225

Series 2020-2, Class D, 5.65%, 5/13/2026 (b)		4,000		4,317

Series 2020-3, Class C, 1.85%, 6/15/2026 (b)		12,500		12,703

Series 2020-4, Class C, 1.31%, 12/14/2026 (b)		7,320		7,388

Series 2020-4, Class D, 1.77%, 12/14/2026(b)		4,790		4,869

Series 2021-1, Class C, 0.83%, 3/15/2027 (b)		3,291		3,298

Series 2021-2, Class C, 0.97%, 7/13/2027 (b)		10,749		10,789


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

AmeriCredit Automobile Receivables Trust

Series 2018-2, Class B, 3.45%, 6/18/2024		2,522		2,539

AMSR Trust

Series 2021-SFR2, Class A, 1.53%, 8/17/2026 (b)		3,867		3,876

Series 2021-SFR2, Class B, 1.78%, 8/17/2026 ‡ (b)		19,289		19,342

Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (b)		5,682		5,688

Series 2020-SFR3, Class B, 1.81%, 9/17/2037 ‡ (b)		9,780		9,846

Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b)		12,400		12,412

Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (b)		8,000		8,032

Amur Equipment Finance Receivables IX LLC

Series 2021-1A, Class A2, 0.75%, 11/20/2026 (b)		15,647		15,658

Amur Equipment Finance Receivables VIII LLC

Series 2020-1A, Class A2, 1.68%, 8/20/2025 (b)		1,526		1,538

Anchorage Capital CLO Ltd. (Cayman Islands)

Series 2016-9A, Class AR2, 1.24%, 7/15/2032 (b) (d)		15,000		15,000

Apidos CLO (Cayman Islands)

Series 2015-21A, Class A1R, 1.06%, 7/18/2027 (b) (d)		1,377		1,378

Series 2016-24A, Class A1AL, 1.08%, 10/20/2030 (b) (d)		12,000		11,997

Aqua Finance Trust

Series 2019-A, Class A, 3.14%, 7/16/2040 (b)		6,102		6,254

Series 2020-AA, Class A, 1.90%, 7/17/2046 (b)		2,982		3,016

Atlas Senior Loan Fund (Cayman Islands)

Series 2019-13A, Class A1NR, 1.22%, 4/22/2031 (b) (d)		6,500		6,498

Avery Point CLO Ltd. (Cayman Islands)

Series 2015-6A, Class AR2, 1.02%, 8/5/2027 (b) (d)		10,924		10,923

Bain Capital Credit CLO Ltd. (Cayman Islands)

Series 2016-2A, Class ARR, 1.10%, 1/15/2029 (b) (d)		13,310		13,305

Series 2017-1A, Class A1R, 1.10%, 7/20/2030 (b) (d)		12,445		12,442

BCC Funding Corp. XVI LLC

Series 2019-1A, Class A2, 2.46%, 8/20/2024 (b)		3,778		3,822


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Bear Stearns Asset-Backed Securities Trust

Series 2003-SD2, Class 2A, 2.91%, 6/25/2043 ‡ (d)		156		164

Benefit Street Partners CLO Ltd. (Cayman Islands)

Series 2013-IIA, Class A1R2, 1.00%, 7/15/2029 (b) (d)		11,084		11,081

Series 2013-IIIA, Class A1R2, 1.13%, 7/20/2029 (b) (d)		5,202		5,201

British Airways Pass-Through Trust (United Kingdom)

Series 2013-1, Class A, 4.63%, 6/20/2024 (b)		1,420		1,504

BRSP Ltd.

Series 2021-FL1, Class A, 1.24%, 8/19/2038 (b) (d)		6,000		6,000

Business Jet Securities LLC

Series 2020-1A, Class A, 2.98%, 11/15/2035 (b)		4,920		5,019

Series 2021-1A, Class A, 2.16%, 4/15/2036 (b)		24,853		25,021

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands)

Series 2015-1A, Class AR3, 1.11%, 7/20/2031 (b) (d)		18,666		18,661

Carnow Auto Receivables Trust

Series 2019-1A, Class B, 2.71%, 4/17/2023 (b)		6,168		6,190

Series 2019-1A, Class C, 3.36%, 6/17/2024 (b)		1,000		1,016

CarNow Auto Receivables Trust

Series 2020-1A, Class A, 1.76%, 2/15/2023 (b)		1,033		1,036

Series 2020-1A, Class C, 3.84%, 9/16/2024 (b)		1,900		1,933

Series 2021-1A, Class A, 0.97%, 10/15/2024 (b)		4,496		4,498

Carvana Auto Receivables Trust

Series 2019-3A, Class B, 2.51%, 4/15/2024 (b)		9,226		9,286

Series 2019-4A, Class B, 2.53%, 7/15/2024 (b)		8,981		9,077

Series 2020-N1A, Class B, 2.01%, 3/17/2025 (b)		10,946		11,039

Series 2020-N1A, Class C, 2.45%, 6/16/2025 (b)		9,250		9,457

Series 2020-N1A, Class D, 3.43%, 1/15/2026 (b)		10,600		11,022

CFMT LLC

Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (d)		5,091		5,100


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

CIFC Funding Ltd. (Cayman Islands)

Series 2017-1A, Class AR, 1.14%, 4/23/2029 (b) (d)		3,697		3,699

CIG Auto Receivables Trust

Series 2019-1A, Class A, 3.33%, 8/15/2024 (b)		40		40

Consumer Loan Underlying Bond Certificate Issuer Trust I

Series 2019-HP1, Class B, 3.48%, 12/15/2026 ‡ (b)		3,800		3,874

Consumer Loan Underlying Bond Credit Trust

Series 2019-P2, Class B, 2.83%, 10/15/2026 ‡ (b)		4,775		4,800

Series 2020-P1, Class A, 2.26%, 3/15/2028 (b)		2,515		2,521

Consumer Underlying Bond Securitization

Series 2018-1, Class A, 4.79%, 2/17/2026 (b)		8,218		8,315

Continental Finance Credit Card ABS Master Trust

Series 2020-1A, Class A, 2.24%, 12/15/2028 (b)		4,480		4,522

CoreVest American Finance Trust

Series 2020-4, Class A, 1.17%, 12/15/2052 (b)		3,881		3,862

Series 2021-1, Class A, 1.57%, 4/15/2053 (b)		13,114		13,177

Series 2020-3, Class A, 1.36%, 8/15/2053 (b)		4,349		4,332

CPS Auto Receivables Trust

Series 2017-C, Class D, 3.79%, 6/15/2023 (b)		1,101		1,107

Series 2019-D, Class B, 2.35%, 11/15/2023 (b)		1,397		1,400

Series 2020-A, Class B, 2.36%, 2/15/2024 (b)		2,601		2,612

Series 2019-A, Class D, 4.35%, 12/16/2024 (b)		6,900		7,122

Series 2019-B, Class D, 3.69%, 3/17/2025 (b)		2,000		2,035

Series 2021-C, Class B, 0.84%, 7/15/2025 (b)		16,661		16,667

Series 2019-D, Class D, 2.72%, 9/15/2025 (b)		15,222		15,500

Series 2020-A, Class D, 2.90%, 12/15/2025 (b)		1,000		1,027

Series 2020-B, Class C, 3.30%, 4/15/2026 (b)		6,289		6,427

Series 2020-B, Class D, 4.75%, 4/15/2026 (b)		6,403		6,797

Series 2020-C, Class C, 1.71%, 8/17/2026 (b)		4,685		4,755


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2021-A, Class C, 0.83%, 9/15/2026 (b)		8,000		8,009

Series 2020-C, Class D, 2.41%, 11/16/2026 (b)		17,250		17,779

Series 2021-C, Class C, 1.21%, 6/15/2027 (b)		7,138		7,137

Credit Acceptance Auto Loan Trust

Series 2019-1A, Class A, 3.33%, 2/15/2028 (b)		2,709		2,720

Series 2019-1A, Class B, 3.75%, 4/17/2028 (b)		8,660		8,823

Series 2019-3A, Class B, 2.86%, 1/16/2029 (b)		4,250		4,393

Series 2020-1A, Class A, 2.01%, 2/15/2029 (b)		8,835		8,971

Series 2020-2A, Class A, 1.37%, 7/16/2029 (b)		15,321		15,484

Series 2020-2A, Class B, 1.93%, 9/17/2029 (b)		9,300		9,479

Series 2020-3A, Class A, 1.24%, 10/15/2029 (b)		3,000		3,031

Series 2020-3A, Class B, 1.77%, 12/17/2029 (b)		7,371		7,500

Series 2021-2A, Class A, 0.96%, 2/15/2030 (b)		24,545		24,655

Series 2020-3A, Class C, 2.28%, 2/15/2030 (b)		2,330		2,384

Series 2021-2A, Class C, 1.64%, 6/17/2030 (b)		2,500		2,513

Credito Real USA Auto Receivables Trust

Series 2021-1A, Class A, 1.35%, 2/16/2027 (b)		6,822		6,825

Crossroads Asset Trust

Series 2021-A, Class A2, 0.82%, 3/20/2024 (b)		8,701		8,711

Crown Castle Towers LLC

3.72%, 7/15/2023 (b)		1,400		1,444

CWABS, Inc. Asset-Backed Certificates Trust

Series 2004-6, Class M1, 0.98%, 10/25/2034 (d)		135		134

DataBank Issuer

Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b)		11,667		11,711

Diamond Resorts Owner Trust

Series 2019-1A, Class A, 2.89%, 2/20/2032 (b)		5,312		5,470

Series 2021-1A, Class A, 1.51%, 11/21/2033 (b)		4,656		4,683

Series 2021-1A, Class B, 2.05%, 11/21/2033 ‡ (b)		1,071		1,083


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Drive Auto Receivables Trust

Series 2018-2, Class D, 4.14%, 8/15/2024		2,774		2,820

Series 2017-2, Class E, 5.27%, 11/15/2024		7,694		7,790

Series 2018-4, Class D, 4.09%, 1/15/2026		1,462		1,497

Series 2020-1, Class C, 2.36%, 3/16/2026		2,750		2,794

Series 2019-4, Class D, 2.70%, 2/16/2027		7,115		7,306

Series 2020-1, Class D, 2.70%, 5/17/2027		13,200		13,557

Series 2021-2, Class C, 0.87%, 10/15/2027		2,875		2,877

Dryden Senior Loan Fund (Cayman Islands)

Series 2017-49A, Class AR, 1.08%, 7/18/2030 (b) (d)		737		738

DT Auto Owner Trust

Series 2019-3A, Class B, 2.60%, 5/15/2023 (b)		5		5

Series 2019-4A, Class B, 2.36%, 1/16/2024 (b)		1,145		1,149

Series 2018-3A, Class C, 3.79%, 7/15/2024 (b)		931		932

Series 2018-3A, Class D, 4.19%, 7/15/2024 (b)		25,048		25,591

Series 2019-1A, Class D, 3.87%, 11/15/2024 (b)		8,500		8,741

Series 2017-4A, Class E, 5.15%, 11/15/2024 (b)		11,934		11,996

Series 2019-2A, Class D, 3.48%, 2/18/2025 (b)		9,325		9,640

Series 2019-3A, Class C, 2.74%, 4/15/2025 (b)		6,120		6,177

Series 2019-3A, Class D, 2.96%, 4/15/2025 (b)		9,356		9,647

Series 2018-2A, Class E, 5.54%, 6/16/2025 (b)		13,500		14,061

Series 2019-4A, Class C, 2.73%, 7/15/2025 (b)		12,900		13,106

Series 2021-1A, Class B, 0.62%, 9/15/2025 (b)		1,500		1,503

Series 2021-3A, Class B, 0.58%, 11/17/2025 (b)		14,619		14,608

Series 2020-1A, Class C, 2.29%, 11/17/2025 (b)		7,140		7,278

Series 2020-1A, Class D, 2.55%, 11/17/2025 (b)		9,660		9,947


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2020-2A, Class C, 3.28%, 3/16/2026 (b)		11,250		11,690

Series 2020-3A, Class C, 1.47%, 6/15/2026 (b)		1,445		1,463

Series 2021-1A, Class C, 0.84%, 10/15/2026 (b)		9,210		9,222

Series 2021-1A, Class D, 1.16%, 11/16/2026 (b)		3,250		3,249

Series 2021-2A, Class B, 0.81%, 1/15/2027 (b)		1,083		1,087

Series 2021-2A, Class C, 1.10%, 2/16/2027 (b)		4,433		4,453

Series 2021-3A, Class C, 0.87%, 5/17/2027 (b)		12,495		12,492

Elmwood CLO Ltd. (Cayman Islands)

Series 2021-3A, Class A, 1.13%, 10/20/2034 (b) (d)		7,302		7,300

Encina Equipment Finance LLC

Series 2021-1A, Class A2, 0.74%, 12/15/2026 (b)		8,700		8,699

Exeter Automobile Receivables Trust

Series 2017-3A, Class C, 3.68%, 7/17/2023 (b)		2,480		2,514

Series 2018-4A, Class C, 3.97%, 9/15/2023 (b)		643		644

Series 2018-1A, Class D, 3.53%, 11/15/2023 (b)		11,082		11,276

Series 2017-1A, Class D, 6.20%, 11/15/2023 (b)		2,187		2,201

Series 2019-4A, Class B, 2.30%, 12/15/2023 (b)		1,665		1,667

Series 2017-2A, Class D, 6.39%, 2/15/2024 (b)		13,874		14,071

Series 2020-1A, Class B, 2.26%, 4/15/2024 (b)		1,997		2,004

Series 2019-3A, Class C, 2.79%, 5/15/2024 (b)		6,584		6,642

Series 2018-3A, Class E, 5.43%, 8/15/2024 (b)		1,000		1,059

Series 2018-4A, Class D, 4.35%, 9/16/2024 (b)		6,000		6,185

Series 2019-2A, Class D, 3.71%, 3/17/2025 (b)		17,335		18,012

Series 2020-2A, Class C, 3.28%, 5/15/2025 (b)		9,700		9,974

Series 2020-3A, Class C, 1.32%, 7/15/2025		3,500		3,541

Series 2019-4A, Class D, 2.58%, 9/15/2025 (b)		12,865		13,204


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Series 2021-1A, Class C, 0.74%, 1/15/2026		7,500		7,517

Series 2020-2A, Class D, 4.73%, 4/15/2026 (b)		5,075		5,411

Series 2021-2A, Class C, 0.98%, 6/15/2026		3,913		3,925

Series 2019-3A, Class E, 4.00%, 8/17/2026 (b)		9,000		9,465

Series 2021-3A, Class C, 0.96%, 10/15/2026		30,673		30,696

Fair Square Issuance Trust

Series 2020-AA, Class A, 2.90%, 9/20/2024 (b)		7,050		7,107

FCI Funding LLC

Series 2021-1A, Class A, 1.13%, 4/15/2033 (b)		9,177		9,187

FHF Trust

Series 2021-2A, Class A, 0.83%, 12/15/2026 (b)		22,277		22,276

Series 2021-1A, Class A, 1.27%, 3/15/2027 (b)		11,270		11,269

FHLMC Structured Pass-Through Securities Certificates

Series T-20, Class A6, 7.99%, 9/25/2029 (e)		1		1

First Investors Auto Owner Trust

Series 2017-1A, Class E, 5.86%, 11/15/2023 (b)		4,360		4,366

Series 2017-3A, Class C, 3.00%, 1/16/2024 (b)		942		946

Series 2019-1A, Class A, 2.89%, 3/15/2024 (b)		124		124

Series 2018-2A, Class D, 4.28%, 1/15/2025 (b)		3,440		3,534

Series 2020-1A, Class C, 2.55%, 2/17/2026 (b)		2,000		2,053

Series 2021-1A, Class B, 0.89%, 3/15/2027 (b)		2,500		2,509

FirstKey Homes Trust

Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (b)		5,998		6,010

Series 2020-SFR1, Class C, 1.94%, 8/17/2037 ‡ (b)		2,307		2,326

Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (b)		6,918		6,927

Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (b)		6,508		6,530

Series 2021-SFR1, Class C, 1.89%, 8/17/2038 ‡ (b)		10,000		10,009


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b)		13,000		13,041

Flagship Credit Auto Trust

Series 2019-1, Class A, 3.11%, 8/15/2023 (b)		176		176

Series 2017-3, Class C, 2.91%, 9/15/2023 (b)		952		954

Series 2017-3, Class D, 3.73%, 9/15/2023 (b)		5,500		5,598

Series 2017-4, Class C, 2.92%, 11/15/2023 (b)		1,313		1,319

Series 2019-3, Class A, 2.33%, 2/15/2024 (b)		629		632

Series 2018-4, Class C, 4.11%, 10/15/2024 (b)		4,500		4,611

Series 2017-4, Class E, 5.02%, 2/17/2025 (b)		11,250		11,629

Series 2019-1, Class D, 4.08%, 2/18/2025 (b)		3,750		3,917

Series 2019-2, Class C, 3.09%, 5/15/2025 (b)		6,494		6,685

Series 2019-3, Class C, 2.74%, 10/15/2025 (b)		12,000		12,357

Series 2019-4, Class C, 2.77%, 12/15/2025 (b)		13,300		13,742

Series 2020-2, Class D, 5.75%, 4/15/2026 (b)		5,000		5,460

Series 2020-3, Class C, 1.73%, 9/15/2026 (b)		8,335		8,500

Series 2020-3, Class D, 2.50%, 9/15/2026 (b)		4,665		4,835

Series 2021-1, Class B, 0.68%, 2/16/2027 (b)		7,330		7,324

Series 2020-4, Class C, 1.28%, 2/16/2027 (b)		1,090		1,101

Series 2021-1, Class C, 0.91%, 3/15/2027 (b)		10,600		10,575

Series 2021-3, Class C, 1.46%, 9/15/2027 (b)		16,250		16,281

Ford Credit Auto Owner Trust

Series 2019-C, Class A3, 1.87%, 3/15/2024		377		381

Foundation Finance Trust

Series 2020-1A, Class A, 3.54%, 7/16/2040 (b)		5,901		6,119

Series 2021-1A, Class A, 1.27%, 5/15/2041 (b)		22,489		22,411


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Foursight Capital Automobile Receivables Trust

Series 2018-1, Class E, 5.56%, 1/16/2024 (b)		2,500		2,537

Series 2018-1, Class F, 6.82%, 4/15/2025 (b)		6,960		7,079

Series 2018-2, Class F, 6.48%, 6/15/2026 (b)		6,855		7,109

FREED ABS Trust

Series 2020-FP1, Class A, 2.52%, 3/18/2027 (b)		933		936

Series 2020-FP1, Class B, 3.06%, 3/18/2027 ‡ (b)		1,759		1,778

Series 2020-2CP, Class B, 5.50%, 6/18/2027 ‡ (b)		3,855		3,938

Series 2020-3FP, Class B, 4.18%, 9/20/2027 ‡ (b)		1,676		1,692

Series 2021-1CP, Class A, 0.66%, 3/20/2028 (b)		5,550		5,553

Series 2021-2, Class A, 0.68%, 6/19/2028 (b)		8,235		8,240

FRTKL

Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (b)		4,960		4,956

Galaxy CLO Ltd. (Cayman Islands)

Series 2015-19A, Class A1RR, 1.08%, 7/24/2030 (b) (d)		11,000		10,997

GLS Auto Receivables Issuer Trust

Series 2019-3A, Class A, 2.58%, 7/17/2023 (b)		105		105

Series 2019-2A, Class B, 3.32%, 3/15/2024 (b)		11,185		11,300

Series 2019-3A, Class B, 2.72%, 6/17/2024 (b)		2,000		2,021

Series 2019-4A, Class B, 2.78%, 9/16/2024 (b)		3,500		3,559

Series 2019-1A, Class B, 3.65%, 12/16/2024 (b)		492		495

Series 2019-1A, Class C, 3.87%, 12/16/2024 (b)		14,531		14,935

Series 2019-2A, Class C, 3.54%, 2/18/2025 (b)		7,680		7,928

Series 2020-3A, Class C, 1.92%, 5/15/2025 (b)		15,235		15,498

Series 2019-3A, Class C, 2.96%, 5/15/2025 (b)		13,300		13,580

Series 2020-2A, Class B, 3.16%, 6/16/2025 (b)		7,150		7,389

Series 2020-4A, Class C, 1.14%, 11/17/2025 (b)		5,445		5,477


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2020-2A, Class C, 4.57%, 4/15/2026 (b)		5,250		5,604

Series 2020-4A, Class D, 1.64%, 10/15/2026 (b)		9,250		9,324

GLS Auto Receivables Trust

Series 2018-2A, Class C, 4.17%, 4/15/2024 (b)		973		990

GM Financial Leasing Trust

Series 2021-1, Class B, 0.54%, 2/20/2025		2,058		2,060

GMF Floorplan Owner Revolving Trust

Series 2018-4, Class B, 3.68%, 9/15/2023 (b)		4,760		4,766

Goldman Home Improvement Trust Issuer Trust

Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (b)		36,850		36,719

Hilton Grand Vacations Trust

Series 2020-AA, Class A, 2.74%, 2/25/2039 (b)		503		525

KREF Ltd.

Series 2021-FL2, Class A, 1.16%, 2/15/2039 (b) (d)		7,187		7,187

LCM LP (Cayman Islands)

Series 14A, Class AR, 1.17%, 7/20/2031 (b) (d)		25,255		25,289

LCM Ltd. (Cayman Islands)

Series 24A, Class AR, 1.11%, 3/20/2030 (b) (d)		10,288		10,288

Legacy Mortgage Asset Trust

Series 2019-GS5, Class A1, 3.20%, 5/25/2059 ‡ (b) (e)		2,014		2,022

Lendingpoint Asset Securitization Trust

Series 2021-A, Class A, 1.00%, 12/15/2028 (b)		30,042		30,052

LendingPoint Asset Securitization Trust

Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b)		14,000		14,140

Lendmark Funding Trust

Series 2019-1A, Class A, 3.00%, 12/20/2027 (b)		6,400		6,520

LL ABS Trust

Series 2019-1A, Class B, 3.52%, 3/15/2027 ‡ (b)		3,912		3,938

Series 2020-1A, Class A, 2.33%, 1/17/2028 (b)		1,118		1,125

Series 2021-1A, Class A, 1.07%, 5/15/2029 (b)		17,711		17,710


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

LMREC LLC

Series 2021-CRE4, Class A, 1.19%, 4/22/2037 (b) (d)		16,181		16,183

Longfellow Place CLO Ltd. (Cayman Islands)

Series 2013-1A, Class AR3, 1.13%, 4/15/2029 (b) (d)		15,120		15,116

Magnetite XV Ltd. (Cayman Islands)

Series 2015-15A, Class AR, 1.14%, 7/25/2031 (b) (d)		1,000		1,000

Mariner Finance Issuance Trust

Series 2019-AA, Class A, 2.96%, 7/20/2032 (b)		7,845		8,016

Series 2020-AA, Class A, 2.19%, 8/21/2034 (b)		4,900		4,988

Series 2021-AA, Class A, 1.86%, 3/20/2036 (b)		15,923		16,084

Marlette Funding Trust

Series 2019-2A, Class A, 3.13%, 7/16/2029 (b)		45		45

Series 2019-3A, Class A, 2.69%, 9/17/2029 (b)		531		532

Series 2020-1A, Class A, 2.24%, 3/15/2030 (b)		28		28

Mercury Financial Credit Card Master Trust

Series 2021-1A, Class A, 1.54%, 3/20/2026 (b)		20,882		20,957

Mission Lane Credit Card Master Trust

Series 2021-A, Class A, 1.59%, 9/15/2026 (b)		26,014		26,033

Morgan Stanley ABS Capital I, Inc. Trust

Series 2003-SD1, Class M1, 2.33%, 3/25/2033 ‡ (d)		239		237

MVW LLC

Series 2020-1A, Class A, 1.74%, 10/20/2037 (b)		2,951		2,991

Neuberger Berman CLO Ltd.

Series 13-15A, Class A1R2, 0.00%, 10/15/2029 (b) (d) (f)		13,072		13,072

Series 2013-14A, Class AR2, 1.16%, 1/28/2030 (b) (d)		10,700		10,700

New Residential Advance Receivables Trust Advance Receivables Backed

Series 2020-T1, Class AT1, 1.43%, 8/15/2053 (b)		15,556		15,587

Newark BSL CLO 2 Ltd. (Cayman Islands)

Series 2017-1A, Class A1R, 1.10%, 7/25/2030 (b) (d)		10,996		10,993


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



NMEF Funding LLC

Series 2021-A, Class A2, 0.81%, 12/15/2027 (b)		14,687		14,692

Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (b)		5,406		5,406

NRZ Excess Spread-Collateralized Notes

Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b)		1,812		1,809

Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b)		18,590		18,578

OCP CLO Ltd. (Cayman Islands)

Series 2017-13A, Class A1AR, 0.00%, 7/15/2030 (b) (d) (f)		21,210		21,210

Octagon Investment Partners 30 Ltd. (Cayman Islands)

Series 2017-1A, Class A1R, 1.13%, 3/17/2030 (b) (d)		14,060		14,063

Octane Receivables Trust

Series 2019-1A, Class A, 3.16%, 9/20/2023 (b)		3,031		3,053

Series 2019-1A, Class B, 3.77%, 7/22/2024 ‡ (b)		8,592		8,803

Series 2020-1A, Class A, 1.71%, 2/20/2025 (b)		6,550		6,605

Series 2020-1A, Class B, 1.98%, 6/20/2025 ‡ (b)		734		744

OneMain Direct Auto Receivables Trust

Series 2018-1A, Class A, 3.43%, 12/16/2024 (b)		632		634

OneMain Financial Issuance Trust

Series 2019-1A, Class A, 3.48%, 2/14/2031 (b)		4,313		4,317

Oportun Funding LLC

Series 2020-1, Class A, 2.20%, 5/15/2024 (b)		6,089		6,113

Oportun Funding XIII LLC

Series 2019-A, Class A, 3.08%, 8/8/2025 (b)		8,950		9,136

Oportun Funding XIV LLC

Series 2021-A, Class A, 1.21%, 3/8/2028 (b)		8,132		8,160

Pagaya AI Debt Selection Trust

Series 2021-1, Class A, 1.18%, 11/15/2027 (b)		28,258		28,331

Series 2021-HG1, Class A, 1.22%, 1/16/2029 (b)		10,634		10,650

Palmer Square Loan Funding Ltd. (Cayman Islands)

Series 2021-1A, Class A1, 1.03%, 4/20/2029 (b) (d)		8,582		8,580


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Series 2021-2A, Class A1, 0.93%, 5/20/2029 (b) (d)		13,879		13,875

Series 2021-3A, Class A1, 0.97%, 7/20/2029 (b) (d)		12,413		12,410

Prestige Auto Receivables Trust

Series 2017-1A, Class D, 3.61%, 10/16/2023 (b)		5,880		5,912

Series 2019-1A, Class B, 2.53%, 1/16/2024 (b)		4,000		4,022

PRET LLC

Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (b) (e)		14,178		14,182

Pretium Mortgage Credit Partners I LLC

Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (b) (d)		15,618		15,619

Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (b) (e)		11,713		11,827

Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b) (e)		9,718		9,729

Progress Residential

Series 2021-SFR3, Class B, 1.89%, 5/17/2026 ‡ (b)		667		673

Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 ‡ (b)		1,800		1,809

Progress Residential Trust

Series 2018-SFR3, Class C, 4.18%, 10/17/2035 ‡ (b)		2,000		2,000

Series 2018-SFR3, Class D, 4.43%, 10/17/2035 ‡ (b)		2,500		2,499

Series 2021-SFR6, Class A, 1. 52%, 7/17/2038 (b)		7,287		7,311

Series 2021-SFR6, Class B, 1.75%, 7/17/2038 ‡ (b)		17,500		17,539

Series 2021-SFR8, Class E1, 2.38%, 9/17/2038 (b)		4,650		4,653

PRPM LLC

Series 2020-4, Class A1, 2.95%, 10/25/2025 ‡ (b) (e)		11,142		11,195

Regional Management Issuance Trust

Series 2020-1, Class A, 2.34%, 10/15/2030 (b)		6,210		6,331

Series 2021-1, Class A, 1.68%, 3/17/2031 (b)		14,957		15,021

Republic Finance Issuance Trust

Series 2020-A, Class A, 2.47%, 11/20/2030 (b)		7,592		7,734

Republic FInance Issuance Trust

Series 2019-A, Class A, 3.43%, 11/22/2027 (b)		8,900		8,983


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Santander Consumer Auto Receivables Trust

Series 2020-AA, Class C, 3.71%, 2/17/2026 (b)		2,984		3,140

Series 2021-AA, Class C, 1.03%, 11/16/2026 (b)		1,500		1,496

Santander Drive Auto Receivables Trust

Series 2019-3, Class D, 2.68%, 10/15/2025		1,605		1,644

Series 2018-4, Class D, 3.98%, 12/15/2025		3,066		3,145

Series 2020-3, Class C, 1.12%, 1/15/2026		2,365		2,382

Series 2021-2, Class C, 0.90%, 6/15/2026		8,100		8,136

Series 2020-2, Class D, 2.22%, 9/15/2026		6,680		6,824

Series 2021-1, Class D, 1.13%, 11/16/2026		6,000		6,030

Series 2020-3, Class D, 1.64%, 11/16/2026		1,725		1,753

Series 2020-4, Class D, 1.48%, 1/15/2027		14,510		14,720

Series 2021-2, Class D, 1.35%, 7/15/2027		3,500		3,527

Series 2021-3, Class C, 0.95%, 9/15/2027		19,038		19,087

Series 2021-3, Class D, 1.33%, 9/15/2027		2,700		2,709

Santander Retail Auto Lease Trust

Series 2019-B, Class A3, 2.30%, 1/20/2023 (b)		5,415		5,446

Series 2019-A, Class C, 3.30%, 5/22/2023 (b)		6,000		6,068

Series 2019-A, Class D, 3.66%, 5/20/2024 (b)		8,590		8,723

Shackleton CLO Ltd. (Cayman Islands)

Series 2017-11A, Class AR, 1.21%, 8/15/2030 (b) (d)		10,000		10,009

Sierra Timeshare Receivables Funding LLC

Series 2018-3A, Class A, 3.69%, 9/20/2035 (b)		671		700

Series 2019-3A, Class A, 2.34%, 8/20/2036 (b)		1,025		1,046

Series 2020-2A, Class A, 1.33%, 7/20/2037 (b)		573		576

Series 2020-2A, Class B, 2.32%, 7/20/2037 ‡ (b)		2,243		2,279

Series 2021-1A, Class A, 0.99%, 11/20/2037 (b)		3,459		3,454


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (b)		2,127		2,133

Series 2021-1A, Class C, 1.79%, 11/20/2037 ‡ (b)		1,891		1,901

Skopos Auto Receivables Trust

Series 2019-1A, Class B, 3.43%, 9/15/2023 (b)		3,951		3,965

Series 2019-1A, Class C, 3.63%, 9/16/2024 (b)		1,075		1,094

Small Business Lending Trust

Series 2020-A, Class A, 2.62%, 12/15/2026 (b)		2,815		2,822

SoFi Consumer Loan Program LLC

Series 2017-6, Class B, 3.52%, 11/25/2026 ‡ (b)		1,621		1,633

Synchrony Credit Card Master Note Trust

Series 2017-2, Class A, 2.62%, 10/15/2025		3,839		3,943

Theorem Funding Trust

Series 2021-1A, Class A, 1.21%, 12/15/2027 (b)		9,966		9,969

THL Credit Wind River CLO Ltd. (Cayman Islands)

Series 2014-2A, Class AR, 1.27%, 1/15/2031 (b) (d)		9,050		9,053

United Auto Credit Securitization Trust

Series 2019-1, Class D, 3.47%, 8/12/2024 (b)		5,270		5,304

Series 2020-1, Class C, 2.15%, 2/10/2025 (b)		4,400		4,432

Upstart Pass-Through Trust

Series 2021-ST5, Class A, 2.00%, 7/20/2027 (b)		2,788		2,786

Series 2021-ST6, Class A, 1.85%, 8/20/2027 (b)		7,365		7,367

Upstart Securitization Trust

Series 2019-3, Class A, 2.68%, 1/21/2030 (b)		1,817		1,824

Series 2019-3, Class B, 3.83%, 1/21/2030 ‡ (b)		4,750		4,823

Series 2020-1, Class A, 2.32%, 4/22/2030 (b)		2,126		2,138

Series 2020-3, Class A, 1.70%, 11/20/2030 (b)		8,824		8,871

Series 2021-1, Class A, 0.87%, 3/20/2031 (b)		11,786		11,810

Series 2021-2, Class A, 0.91%, 6/20/2031 (b)		9,586		9,596


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2021-3, Class A, 0.83%, 7/20/2031 (b)		19,187		19,199

US Auto Funding

Series 2021-1A, Class A, 0.79%, 7/15/2024 (b)		14,200		14,205

US Auto Funding LLC

Series 2019-1A, Class B, 3.99%, 12/15/2022 (b)		516		519

USASF Receivables LLC

Series 2020-1A, Class A, 2.47%, 8/15/2023 (b)		1,431		1,438

Series 2020-1A, Class B, 3.22%, 5/15/2024 (b)		7,500		7,635

VCAT LLC

Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (b) (e)		3,055		3,064

Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (b) (e)		5,479		5,474

Venture CLO Ltd. (Cayman Islands)

Series 2018-33A, Class A1LR, 1.19%, 7/15/2031 (b) (d)		16,714		16,710

Veros Auto Receivables Trust

Series 2021-1, Class A, 0.92%, 10/15/2026 (b)		9,879		9,880

Veros Automobile Receivables Trust

Series 2020-1, Class A, 1.67%, 9/15/2023 (b)		912		914

Volkswagen Auto Loan Enhanced Trust

Series 2018-1, Class A4, 3.15%, 7/22/2024		3,450		3,481

VOLT C LLC

Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (e)		7,654		7,663

VOLT CI LLC

Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e)		17,804		17,835

VOLT CIII LLC

Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (b) (e)		21,001		21,014

VOLT XCII LLC

Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (e)		7,963		7,968

VOLT XCIII LLC

Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e)		18,059		18,126

VOLT XCIV LLC

Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e)		18,041		18,067


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

VOLT XCIX LLC

Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (e)		9,211		9,236

VOLT XCV LLC

Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (e)		18,556		18,594

VOLT XCVI LLC

Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e)		16,593		16,610

VOLT XCVII LLC

Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e)		11,921		11,931

Westgate Resorts LLC

Series 2020-1A, Class A, 2.71%, 3/20/2034 (b)		1,963		2,003

Westlake Automobile Receivables Trust

Series 2018-3A, Class D, 4.00%, 10/16/2023 (b)		10,389		10,507

Series 2018-3A, Class E, 4.90%, 12/15/2023 (b)		8,000		8,236

Series 2018-2A, Class E, 4.86%, 1/16/2024 (b)		8,800		8,968

Series 2019-1A, Class D, 3.67%, 3/15/2024 (b)		9,000		9,192

Series 2019-2A, Class C, 2.84%, 7/15/2024 (b)		8,455		8,541

Series 2019-3A, Class C, 2.49%, 10/15/2024 (b)		3,065		3,107

Series 2019-3A, Class D, 2.72%, 11/15/2024 (b)		19,850		20,353

Series 2019-2A, Class D, 3.20%, 11/15/2024 (b)		5,492		5,642

Series 2019-3A, Class E, 3.59%, 3/17/2025 (b)		2,950		3,056

Series 2020-1A, Class C, 2.52%, 4/15/2025 (b)		18,500		18,883

Series 2020-1A, Class D, 2.80%, 6/16/2025 (b)		17,575		18,124

Series 2020-2A, Class C, 2.01%, 7/15/2025 (b)		2,500		2,545

Series 2020-3A, Class C, 1.24%, 11/17/2025 (b)		5,000		5,047

Series 2020-2A, Class D, 2.76%, 1/15/2026 (b)		19,100		19,737

Series 2020-3A, Class D, 1.65%, 2/17/2026 (b)		5,500		5,589

Series 2021-1A, Class D, 1.23%, 4/15/2026 (b)		18,411		18,464


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



World Financial Network Credit Card Master Trust

Series 2019-B, Class A, 2.49%, 4/15/2026		13,300		13,539

Series 2019-C, Class A, 2.21%, 7/15/2026		3,090		3,154

World Omni Auto Receivables Trust

Series 2017-B, Class A3, 1.95%, 2/15/2023		112		112

Series 2019-A, Class A3, 3.04%, 5/15/2024		1,718		1,739

Total Asset-Backed Securities (Cost $2,833,707)				2,841,186


U.S. Treasury Obligations — 23.7%

U.S. Treasury Notes

1.25%, 10/31/2021		47,315		47,408

1.50%, 10/31/2021		2,265		2,270

2.00%, 10/31/2021		18,500		18,559

1.75%, 11/30/2021		37,000		37,155

2.50%, 1/15/2022		22,115		22,315

0.13%, 5/31/2022		28,710		28,721

0.13%, 6/30/2022		230,725		230,815

0.13%, 7/31/2022		129,325		129,376

1.63%, 8/31/2022		114,025		115,784

1.50%, 9/15/2022		75,500		76,603

0.13%, 10/31/2022		50,000		50,008

1.63%, 11/15/2022		45,235		46,058

0.13%, 11/30/2022		99,200		99,223

2.00%, 11/30/2022		100,505		102,868

1.63%, 12/15/2022		102,216		104,200

0.13%, 12/31/2022		152,350		152,332

1.50%, 1/15/2023		37,515		38,221

2.38%, 1/31/2023		337,090		347,782

0.13%, 2/28/2023		38,490		38,475

0.50%, 3/15/2023		33,180		33,364

0.13%, 4/30/2023		353,290		353,056

0.13%, 5/31/2023		400,975		400,631

0.13%, 6/30/2023		276,345		276,140

0.13%, 12/15/2023		115		115

0.38%, 8/15/2024		81,515		81,451

Total U.S. Treasury Obligations (Cost $2,829,499)				2,832,930


Collateralized Mortgage Obligations — 11.3%

Alternative Loan Trust

Series 2003-J3, Class 2A1, 6.25%, 12/25/2033		10		10

Angel Oak Mortgage Trust LLC

Series 2020-5, Class A1, 1.37%, 5/25/2065 (b) (d)		3,888		3,906


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

ANTLR Mortgage Trust

Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (b) (d)		11,384		11,396

Bear Stearns ARM Trust

Series 2003-7, Class 3A, 2.53%, 10/25/2033 (d)		16		16

Cascade Funding Mortgage Trust

Series 2021-HB6, Class A, 0.90%, 6/25/2036 (b) (d)		19,317		19,322

CFMT LLC

Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (d)		9,747		9,749

Series 2021-HB5, Class M2, 1.85%, 2/25/2031 ‡ (b) (d)		2,000		1,994

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		2		—	(g)

Citicorp Mortgage Securities Trust

Series 2006-1, Class 2A1, 5.00%, 2/25/2021		23		23

Citigroup Mortgage Loan Trust, Inc.

Series 2003-UP3, Class A1, 7.00%, 9/25/2033		26		26

Series 2004-UST1, Class A6, 1.95%, 8/25/2034 (d)		131		127

COLT Mortgage Loan Trust

Series 2019-4, Class A1, 2.58%, 11/25/2049 (b) (d)		1,092		1,094

CSFB Mortgage-Backed Pass-Through Certificates

Series 2004-8, Class 6A1, 4.50%, 12/25/2019		67		20

CSMC Mortgage-Backed Trust

Series 2007-5, Class 5A5, 5.46%, 4/1/2037 (d)		484		215

CSMC Trust

Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (d)		13,106		13,160

FHLMC — GNMA

Series 31, Class Z, 8.00%, 4/25/2024		36		38

Series 56, Class Z, 7.50%, 9/20/2026		22		25

FHLMC STACR REMIC Trust

Series 2020-DNA1, Class M2, 1.78%, 1/25/2050 (b) (d)		5,090		5,111

Series 2021-DNA1, Class M1, 0.70%, 1/25/2051 (b) (d)		5,605		5,605


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



FHLMC Structured Agency Credit Risk Debt Notes

Series 2019-CS03, 0.08%, 10/25/2032 (b) (d)		8,286			8,182

Series 2021-DNA2, Class M1, 0.85%, 8/25/2033 (b) (d)		6,750			6,757

FHLMC, REMIC

Series 3925, Class CA, 2.00%, 9/15/2021		4			4

Series 3872, Class ND, 2.00%, 12/15/2021		—	(g)		—	(g)

Series 2418, Class MF, 6.00%, 2/15/2022		6			6

Series 1343, Class LA, 8.00%, 8/15/2022		1			1

Series 1424, Class F, 0.83%, 11/15/2022 (d)		—	(g)		—	(g)

Series 1480, Class LZ, 7.50%, 3/15/2023		7			7

Series 3784, Class F, 0.50%, 7/15/2023 (d)		276			276

Series 3784, Class S, IF, IO, 6.50%, 7/15/2023 (d)		297			11

Series 3229, Class AF, 0.35%, 8/15/2023 (d)		165			165

Series 1560, Class Z, 7.00%, 8/15/2023		23			24

Series 2682, Class JG, 4.50%, 10/15/2023		456			470

Series 2686, Class GC, 5.00%, 10/15/2023		552			571

Series 2790, Class TN, 4.00%, 5/15/2024		76			78

Series 1754, Class Z, 8.50%, 9/15/2024		13			14

Series 1779, Class Z, 8.50%, 4/15/2025		44			49

Series 3763, Class NE, 2.50%, 5/15/2025		11			11

Series 4303, Class VA, 3.50%, 5/15/2025		381			398

Series 2989, Class TG, 5.00%, 6/15/2025		1,104			1,165

Series 2997, Class BC, 5.00%, 6/15/2025		1,382			1,459

Series 3005, Class ED, 5.00%, 7/15/2025		537			567

Series 3826, Class BK, 3.00%, 3/15/2026		468			487


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3945, Class CA, 3.00%, 3/15/2026		146		147

Series 3864, Class PG, 3.50%, 5/15/2026		76		80

Series 3887, Class GM, 4.00%, 7/15/2026 (e)		95		102

Series 3903, Class GB, 4.00%, 8/15/2026		430		448

Series 3909, Class HG, 4.00%, 8/15/2026 (e)		245		261

Series 1888, Class Z, 7.00%, 8/15/2026		47		51

Series 3936, Class AB, 3.00%, 10/15/2026		480		501

Series 3946, Class BU, 3.00%, 10/15/2026		179		187

Series 3996, Class BA, 1.50%, 2/15/2027		176		179

Series 4015, Class GL, 2.25%, 3/15/2027		154		160

Series 4020, Class N, 3.00%, 3/15/2027		83		87

Series 4054, Class AE, 1.50%, 4/15/2027		327		332

Series 4029, Class LY, 3.00%, 4/15/2027		1,000		1,083

Series 4039, Class AB, 1.50%, 5/15/2027		289		296

Series 4039, Class PB, 1.50%, 5/15/2027		785		798

Series 4043, Class PB, 1.50%, 5/15/2027		590		600

Series 4097, Class HJ, 1.50%, 8/15/2027		966		981

Series 4089, Class AI, IO, 3.00%, 8/15/2027		4,384		229

Series 4103, Class HA, 2.50%, 9/15/2027		257		267

Series 4361, Class CA, 2.50%, 9/15/2027		641		665

Series 4257, Class A, 2.50%, 10/15/2027		425		435

Series 4131, Class BC, 1.25%, 11/15/2027		169		172

Series 4129, Class AP, 1.50%, 11/15/2027		977		990

Series 4286, Class J, 2.50%, 11/15/2027		423		429


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 4141, Class BI, IO, 2.50%, 12/15/2027		4,232		221

Series 4304, Class DW, 2.50%, 12/15/2027		1,000		1,055

Series 4251, Class KW, 2.50%, 4/15/2028		1,000		1,041

Series 4207, Class JD, 1.50%, 5/15/2028		268		271

Series 4204, Class EG, 1.75%, 5/15/2028		1,489		1,529

Series 4204, Class HA, 2.50%, 5/15/2028		3,927		4,087

Series 4217, Class UD, 1.75%, 6/15/2028		414		421

Series 4085, Class VB, 3.50%, 9/15/2028		2,083		2,123

Series 2090, Class F, 0.30%, 10/15/2028 (d)		115		114

Series 4304, Class TD, 2.00%, 12/15/2028		2,079		2,138

Series 3523, Class MX, 4.50%, 4/15/2029		118		129

Series 2995, Class FT, 0.35%, 5/15/2029 (d)		140		140

Series 4338, Class TH, 2.25%, 5/15/2029		1,709		1,756

Series 4338, Class GE, 2.50%, 5/15/2029		125		130

Series 4564, Class QA, 3.00%, 7/15/2029		5,605		5,779

Series 3721, Class DG, 2.75%, 9/15/2030		286		298

Series 5065, Class A, 2.00%, 9/25/2030		3,512		3,537

Series 3775, Class DB, 4.00%, 12/15/2030		445		484

Series 3779, Class LB, 4.00%, 12/15/2030		481		527

Series 2303, Class FY, 0.40%, 4/15/2031 (d)		195		195

Series 4051, Class MB, 2.00%, 4/15/2031		126		127

Series 2326, Class ZQ, 6.50%, 6/15/2031		174		197

Series 4252, Class MD, 3.00%, 7/15/2031		59		59

Series 2362, Class F, 0.50%, 9/15/2031 (d)		104		104

Series 4254, Class TA, 2.50%, 10/15/2031		747		768


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2500, Class FD, 0.60%, 3/15/2032 (d)		193		194

Series 4318, Class KB, 2.50%, 4/15/2032		292		297

Series 4170, Class QE, 2.00%, 5/15/2032		185		189

Series 4094, Class BF, 0.50%, 8/15/2032 (d)		503		503

Series 2492, Class GH, 6.00%, 8/15/2032		269		311

Series 4120, Class KA, 1.75%, 10/15/2032		841		864

Series 4142, Class PG, 2.00%, 12/15/2032		118		121

Series 2711, Class FC, 1.00%, 2/15/2033 (d)		1,200		1,227

Series 2602, Class FH, 0.41%, 4/15/2033 (d)		257		257

Series 4206, Class DZ, 3.00%, 5/15/2033		754		788

Series 4423, Class VN, 3.00%, 5/15/2033		1,100		1,157

Series 2617, Class Z, 5.50%, 5/15/2033		4,609		5,286

Series 4283, Class ZL, 3.00%, 8/15/2033		12,582		13,622

Series 2662, Class MT, 4.50%, 8/15/2033		95		104

Series 4620, IO, 5.00%, 9/15/2033		394		64

Series 2686, Class KZ, 4.50%, 10/15/2033		1,332		1,461

Series 2693, Class Z, 5.50%, 10/15/2033		187		214

Series 3005, Class PV, IF, 12.58%, 10/15/2033 (d)		5		6

Series 2727, Class PM, 4.50%, 1/15/2034		1,081		1,203

Series 2736, Class PE, 5.00%, 1/15/2034		4,161		4,717

Series 2806, Class FA, 1.10%, 2/15/2034 (d)		335		344

Series 4482, Class CA, 3.00%, 4/15/2034		9,081		9,391

Series 2989, Class MU, IF, IO, 6.90%, 7/15/2034 (d)		1,588		228

Series 3204, Class ZM, 5.00%, 8/15/2034		671		760

Series 2963, Class ZG, 5.00%, 11/15/2034		620		704

Series 2953, Class MF, 0.40%, 12/15/2034 (d)		68		68

Series 2898, Class PG, 5.00%, 12/15/2034		853		973

Series 3003, Class LD, 5.00%, 12/15/2034		146		167

Series 2901, Class S, IF, 9.98%, 12/15/2034 (d)		362		432

Series 4265, Class FD, 0.50%, 1/15/2035 (d)		365		368

Series 2933, Class EM, 5.50%, 1/15/2035		90		99

Series 2929, Class PG, 5.00%, 2/15/2035		107		122

Series 2941, Class Z, 4.50%, 3/15/2035		1,049		1,129

Series 2953, Class PG, 5.50%, 3/15/2035		373		433

Series 2973, Class EB, 5.50%, 4/15/2035		2,266		2,396


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2976, Class HZ, 4.50%, 5/15/2035		346		381

Series 2996, Class PB, 5.50%, 5/15/2035		1,960		2,114

Series 3002, Class BN, 5.00%, 7/15/2035		306		347

Series 3013, Class HZ, 5.00%, 8/15/2035		1,053		1,190

Series 3036, Class NE, 5.00%, 9/15/2035		119		135

Series 3101, Class UZ, 6.00%, 1/15/2036		252		295

Series 3174, Class LF, 0.45%, 5/15/2036 (d)		301		302

Series 3662, Class ZB, 5.50%, 8/15/2036		192		224

Series 4646, Class JV, 3.50%, 11/15/2036		6,446		6,916

Series 3704, Class DC, 4.00%, 11/15/2036		605		623

Series 3688, Class NB, 4.50%, 11/15/2036		824		922

Series 3855, Class AM, 6.50%, 11/15/2036		2,593		2,968

Series 3704, Class CZ, 4.00%, 12/15/2036		1,727		1,897

Series 3249, Class CL, 4.25%, 12/15/2036		1,917		2,081

Series 3258, Class PM, 5.50%, 12/15/2036		537		615

Series 4279, Class JA, 3.00%, 2/15/2037		350		354

Series 3305, Class IW, IF, IO, 6.35%, 4/15/2037 (d)		404		39

Series 3318, Class HF, 0.36%, 5/15/2037 (d)		314		315

Series 3326, Class FG, 0.45%, 6/15/2037 (d)		774		781

Series 3724, Class CM, 5.50%, 6/15/2037		392		449

Series 3351, Class ZC, 5.50%, 7/15/2037		1,539		1,786

Series 3420, Class EI, IO, 1.12%, 8/15/2037 (e)		4,432		236

Series 3429, Class S, IF, IO, 6.72%, 3/15/2038 (d)		632		140

Series 3447, Class DB, 5.00%, 5/15/2038		2,099		2,330

Series 3459, Class MB, 5.00%, 6/15/2038		123		139

Series 3575, Class ZA, 5.00%, 6/15/2038		5,131		5,843

Series 4773, Class VK, 4.00%, 7/15/2038		1,944		1,969

Series 4290, Class CA, 3.50%, 12/15/2038		53		53

Series 4085, Class FB, 0.50%, 1/15/2039 (d)		20		20

Series 3546, Class A, 1.74%, 2/15/2039 (d)		610		632

Series 3540, Class A, 5.00%, 5/15/2039		357		387

Series 4428, Class LA, 3.00%, 6/15/2039		1,214		1,262

Series 4346, Class A, 3.50%, 7/15/2039		107		114

Series 4444, Class CD, 3.00%, 8/15/2039		365		365

Series 3597, Class HM, 4.50%, 8/15/2039		278		296

Series 3569, Class NY, 5.00%, 8/15/2039		696		792

Series 3572, Class JS, IF, IO, 6.70%, 9/15/2039 (d)		486		73


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4212, Class LA, 3.00%, 10/15/2039		836		852

Series 3585, Class KW, 4.50%, 10/15/2039		2,042		2,270

Series 3768, Class MB, 4.00%, 12/15/2039		73		75

Series 3910, Class CT, 4.00%, 12/15/2039		49		49

Series 3609, Class SA, IF, IO, 6.24%, 12/15/2039 (d)		2,562		385

Series 4329, Class KA, 3.00%, 1/15/2040		323		327

Series 3632, Class PK, 5.00%, 2/15/2040		502		557

Series 4352, Class A, 3.00%, 4/15/2040		114		116

Series 3656, Class PM, 5.00%, 4/15/2040		3,161		3,609

Series 4390, Class NY, 3.00%, 6/15/2040		909		918

Series 3819, Class G, 4.00%, 6/15/2040		47		48

Series 3786, Class NA, 4.50%, 7/15/2040		140		149

Series 3960, Class FJ, 0.45%, 8/15/2040 (d)		35		35

Series 3726, Class PA, 3.00%, 8/15/2040		339		353

Series 3706, Class P, 4.00%, 8/15/2040		5,883		6,316

Series 4655, Class DJ, 3.00%, 10/15/2040		3,107		3,329

Series 4088, Class LE, 4.00%, 10/15/2040		556		568

Series 4318, Class KZ, 4.00%, 12/15/2040		2,958		3,283

Series 3769, Class ZC, 4.50%, 12/15/2040		1,704		1,871

Series 3803, Class FY, 0.50%, 1/15/2041 (d)		109		109

Series 3822, Class ZG, 4.00%, 2/15/2041		6,442		7,238

Series 4080, Class DA, 2.00%, 3/15/2041		406		416

Series 4288, Class JZ, 2.50%, 3/15/2041		288		288

Series 3844, Class FA, 0.55%, 4/15/2041 (d)		316		320

Series 3862, Class GA, 4.00%, 4/15/2041		304		330

Series 4074, Class PA, 3.00%, 5/15/2041		1,352		1,393

Series 4050, Class BA, 3.50%, 5/15/2041		727		736

Series 4229, Class MA, 3.50%, 5/15/2041		9,997		10,480

Series 3859, Class JB, 5.00%, 5/15/2041		447		503

Series 4150, Class JE, 2.00%, 6/15/2041		1,174		1,207

Series 3884, Class BL, 4.50%, 6/15/2041		6,633		7,241

Series 3939, Class BZ, 4.50%, 6/15/2041		3,063		3,278

Series 4150, Class FN, 0.40%, 7/15/2041 (d)		554		556

Series 4105, Class HA, 2.00%, 7/15/2041		1,768		1,812

Series 4150, Class FY, 0.40%, 8/15/2041 (d)		551		553

Series 4152, Class LE, 1.75%, 8/15/2041		5,243		5,383

Series 4143, Class NA, 2.50%, 8/15/2041		3,592		3,715

Series 3904, Class HC, 4.00%, 8/15/2041		1,485		1,630

Series 3906, Class B, 4.00%, 8/15/2041		4,427		4,751

Series 3952, Class BQ, 2.00%, 10/15/2041		3,616		3,703


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3947, Class BH, 2.50%, 10/15/2041		5,324		5,580

Series 3934, Class KB, 5.00%, 10/15/2041		600		700

Series 3966, Class VZ, 4.00%, 12/15/2041		1,061		1,159

Series 4550, Class NA, 3.00%, 1/15/2042		1,074		1,100

Series 4122, Class PA, 1.50%, 2/15/2042		429		437

Series 4144, Class KD, 1.75%, 3/15/2042		743		752

Series 4215, Class NA, 3.00%, 4/15/2042		209		219

Series 4499, Class AB, 3.00%, 6/15/2042		939		955

Series 4088, Class BP, 3.00%, 8/15/2042		3,435		3,619

Series 4143, Class AE, 2.00%, 9/15/2042		2,438		2,509

Series 4158, Class TC, 1.75%, 12/15/2042		363		369

Series 4690, Class KA, 3.50%, 12/15/2042		85		85

Series 4821, Class NY, 4.00%, 12/15/2042		9,413		9,913

Series 4247, Class AK, 4.50%, 12/15/2042		708		747

Series 4158, Class LD, 2.00%, 1/15/2043		680		705

Series 4966, Class A, 2.50%, 4/25/2043		328		330

Series 4199, Class YZ, 3.50%, 5/15/2043		5,337		5,767

Series 4795, Class MP, 3.50%, 5/15/2043		1,935		1,979

Series 4302, Class MA, 3.00%, 7/15/2043		2,132		2,224

Series 4314, Class LP, 3.50%, 7/15/2043		87		91

Series 4558, Class DA, 3.50%, 7/15/2043		1,163		1,183

Series 4492, Class MA, 4.00%, 7/15/2043		1,709		1,757

Series 4655, Class WA, 3.50%, 8/15/2043		142		142

Series 4311, Class ED, 2.75%, 9/15/2043		202		206

Series 4480, Class LA, 3.50%, 9/15/2043		389		403

Series 4450, Class NH, 2.00%, 10/15/2043		392		395

Series 4330, Class PE, 3.00%, 11/15/2043		254		263

Series 4286, Class MP, 4.00%, 12/15/2043		518		568

Series 4316, Class DZ, 3.00%, 3/15/2044		3,122		3,396

Series 4688, Class A, 3.50%, 3/15/2044		970		978

Series 4338, Class A, 2.50%, 5/15/2044		722		756

Series 4505, Class P, 3.50%, 5/15/2044		1,816		1,947

Series 4360, Class PZ, 3.00%, 7/15/2044		2,191		2,249

Series 4748, Class YA, 3.50%, 9/15/2044		762		766

Series 4545, Class PG, 3.00%, 12/15/2044		1,478		1,505

Series 4745, Class EC, 3.00%, 12/15/2044		3,598		3,671

Series 4425, Class TA, 2.00%, 1/15/2045		545		554

Series 4461, Class LZ, 3.00%, 3/15/2045		5,227		5,459

Series 4457, Class KZ, 3.00%, 4/15/2045		11,730		12,272

Series 4753, Class DA, 4.00%, 4/15/2045		806		814

Series 4478, Class PC, 2.00%, 5/15/2045		1,479		1,522

Series 4631, Class PA, 3.00%, 5/15/2045		2,734		2,869

Series 4664, Class PH, 3.50%, 5/15/2045		1,719		1,795

Series 4698, Class DA, 4.50%, 5/15/2045		3,809		4,059

Series 4758, Class HA, 4.00%, 6/15/2045		444		449

Series 4759, Class MA, 3.00%, 9/15/2045		210		216


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4777, Class CB, 3.50%, 10/15/2045		3,284			3,419

Series 4591, Class QE, 2.75%, 4/15/2046		353			363

Series 4574, Class YH, 3.00%, 4/15/2046		622			641

Series 4774, Class LP, 3.50%, 9/15/2046		6,905			7,173

Series 4714, Class PA, 3.00%, 11/15/2046		2,887			3,019

Series 4657, Class VZ, 3.00%, 2/15/2047		13,880			14,405

Series 4830, Class AP, 4.00%, 2/15/2047		1,645			1,754

Series 4675, Class EZ, 3.50%, 4/15/2047		1,513			1,683

Series 4682, Class LC, 2.50%, 5/15/2047		966			999

Series 4682, Class AP, 3.00%, 5/15/2047		1,267			1,315

Series 4740, Class JA, 3.00%, 10/15/2047		2,920			3,012

Series 4749, Class ZL, 3.50%, 12/15/2047		17,619			19,056

Series 4936, Class AP, 2.50%, 9/25/2048		528			546

Series 4941, Class NP, 2.50%, 5/25/2049		1,308			1,361

Series 4922, Class GE, 2.50%, 7/25/2049		1,627			1,675

Series 4952, Class PA, 2.50%, 2/25/2050		2,063			2,144

FHLMC, STRIPS

Series 302, Class 350, 3.50%, 2/15/2028		279			294

Series 218, PO, 2/1/2032		115			110

Series 290, Class 200, 2.00%, 11/15/2032		594			606

Series 277, Class 30, 3.00%, 9/15/2042		3,509			3,714

Series 359, Class 350, 3.50%, 10/15/2047		2,651			2,834

FNMA, REMIC

Series G92-19, Class M, 8.50%, 4/25/2022		3			4

Series G92-40, Class ZC, 7.00%, 7/25/2022		—	(g)		—	(g)

Series G92-35, Class E, 7.50%, 7/25/2022		—	(g)		—	(g)

Series G92-35, Class EA, 8.00%, 7/25/2022		7			7

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(g)		—	(g)

Series 1992-131, Class KB, 8.00%, 8/25/2022		42			43

Series G92-54, Class ZQ, 7.50%, 9/25/2022		—	(g)		—	(g)

Series 1992-185, Class L, 8.00%, 10/25/2022		47			48

Series G92-64, Class J, 8.00%, 11/25/2022		83			85

Series G92-66, Class K, 8.00%, 12/25/2022		38			39

Series 1997-44, Class N, PO, 6/25/2023		37			36

Series 1993-216, Class E, PO, 8/25/2023		20			20

Series 1993-235, Class G, PO, 9/25/2023		1			1

Series 1993-165, Class SN, IF, 11.47%, 9/25/2023 (d)		—	(g)		—	(g)

Series 2003-106, Class WG, 4.50%, 11/25/2023		1,121			1,156

Series 1993-226, Class PK, 6.00%, 12/25/2023		75			78


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1994-15, Class ZK, 5.50%, 2/25/2024		164		171

Series 1994-43, Class PK, 6.35%, 2/25/2024		73		76

Series 2001-40, PO, 4/25/2024		31		30

Series G94-6, Class PJ, 8.00%, 5/17/2024		49		51

Series 2013-52, Class PV, 3.00%, 10/25/2024		1,516		1,529

Series 2010-38, Class B, 4.00%, 4/25/2025		142		146

Series 2011-141, Class CA, 2.00%, 12/25/2025		105		105

Series 2011-17, Class GD, 3.50%, 2/25/2026		44		45

Series 2011-48, Class CN, 4.00%, 6/25/2026 (e)		75		82

Series 2011-61, Class B, 3.00%, 7/25/2026		451		470

Series 2011-72, Class KB, 3.50%, 8/25/2026		604		632

Series 2013-100, Class VW, 3.00%, 11/25/2026		1,087		1,112

Series 2012-32, Class DE, 3.00%, 12/25/2026		241		250

Series 2015-96, Class EA, 3.00%, 12/25/2026		2,057		2,165

Series 2012-26, Class CA, 2.50%, 3/25/2027		827		851

Series 2012-53, Class BK, 1.75%, 5/25/2027		2,710		2,771

Series 2012-46, Class KI, IO, 3.50%, 5/25/2027		7,320		405

Series 2012-102, Class GA, 1.38%, 9/25/2027		2,146		2,177

Series 2012-102, Class IB, IO, 3.50%, 9/25/2027		3,614		235

Series 2020-9, Class D, 6.50%, 9/25/2027		1,698		1,801

Series 2012-127, Class AC, 1.50%, 11/25/2027		701		713

Series 2012-124, Class HG, 2.00%, 11/25/2027		407		420

Series 2013-5, Class DA, 1.50%, 2/25/2028		453		459

Series 2014-26, Class HC, 2.50%, 2/25/2028		133		135

Series 2013-13, Class KD, 1.50%, 3/25/2028		333		339

Series 2008-72, IO, 5.00%, 8/25/2028		40		1

Series 2013-137, Class BA, 1.50%, 1/25/2029		614		620


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2012-63, Class VB, 4.00%, 2/25/2029		207		207

Series 2009-15, Class AC, 5.50%, 3/25/2029		995		1,096

Series 2009-58, Class B, 4.50%, 8/25/2029		1,246		1,353

Series 2010-14, Class AC, 4.00%, 3/25/2030		250		270

Series 2013-101, Class HA, 3.00%, 10/25/2030		73		74

Series 2012-14, Class EA, 2.50%, 12/25/2030		52		53

Series 2012-20, Class BD, 2.00%, 1/25/2031		3,326		3,397

Series 2020-6, Class VA, 3.00%, 6/25/2031		915		916

Series 2001-38, Class EA, PO, 8/25/2031		56		54

Series 2015-89, Class KE, 2.00%, 11/25/2031		148		152

Series 2012-98, Class QG, 1.75%, 1/25/2032		661		676

Series 2001-81, Class HE, 6.50%, 1/25/2032		2,490		2,932

Series 2002-34, Class FA, 0.59%, 5/18/2032 (d)		132		133

Series 2016-12, Class EG, 2.00%, 5/25/2032		1,491		1,532

Series 2013-109, Class BA, 3.00%, 10/25/2032		962		1,007

Series 2002-64, Class PG, 5.50%, 10/25/2032		1,959		2,245

Series 2004-61, Class FH, 0.88%, 11/25/2032 (d)		1,088		1,110

Series 2002-77, Class TF, 1.09%, 12/18/2032 (d)		197		202

Series 2002-77, Class QG, 5.50%, 12/25/2032		457		519

Series 2002-84, Class DZ, 5.50%, 12/25/2032		288		333

Series 2012-148, Class CK, 1.75%, 1/25/2033		1,434		1,486

Series 2002-94, Class BZ, 5.50%, 1/25/2033		1,165		1,333

Series 2003-7, Class FB, 0.83%, 2/25/2033 (d)		287		292

Series 2013-18, Class TG, 2.00%, 2/25/2033		614		632

Series 2019-66, Class MA, 3.00%, 2/25/2033		3,731		3,793


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2013-116, Class CE, 3.00%, 4/25/2033		1,708		1,762

Series 2013-31, Class NL, 4.00%, 4/25/2033		563		622

Series 2003-42, Class CI, IO, 6.50%, 5/25/2033		205		31

Series 2003-63, Class A7, 5.50%, 6/25/2033		2,377		2,693

Series 2003-49, IO, 6.50%, 6/25/2033		290		60

Series 2003-58, Class GL, 3.50%, 7/25/2033		147		161

Series 2013-133, Class WA, 3.00%, 8/25/2033		3,086		3,212

Series 2003-84, Class PZ, 5.00%, 9/25/2033		78		88

Series 2013-119, Class VA, 3.00%, 10/25/2033		2,101		2,159

Series 2003-107, Class ZD, 6.00%, 11/25/2033		1,649		1,922

Series 2014-1, Class KV, 3.00%, 1/25/2034		3,000		3,068

Series 2014-19, Class VK, 4.50%, 4/25/2034		2,000		2,058

Series 2004-60, Class LB, 5.00%, 4/25/2034		17		17

Series 2004-38, Class AO, PO, 5/25/2034		2,864		2,402

Series 2004-72, Class F, 0.58%, 9/25/2034(d)		165		167

Series 2004-91, Class BR, 5.50%, 12/25/2034		82		94

Series 2004-90, Class ZU, 6.00%, 12/25/2034		1,221		1,438

Series 2005-5, Class PA, 5.00%, 1/25/2035		479		520

Series 2004-101, Class AR, 5.50%, 1/25/2035		15		17

Series 2005-27, Class HZ, 5.00%, 4/25/2035		2,265		2,557

Series 2005-31, Class PB, 5.50%, 4/25/2035		1,127		1,285

Series 2005-38, Class FK, 0.38%, 5/25/2035 (d)		566		562

Series 2015-41, Class CA, 3.00%, 6/25/2035		697		745

Series 2005-66, Class PF, 0.33%, 7/25/2035 (d)		178		175

Series 2005-55, Class PN, 5.50%, 7/25/2035		2,685		3,100

Series 2005-64, Class PL, 5.50%, 7/25/2035		85		96


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-103, Class BT, IF, 6.50%, 7/25/2035(d)		266		304

Series 2006-4, Class PB, 6.00%, 9/25/2035		788		833

Series 2010-39, Class FT, 1.03%, 10/25/2035 (d)		875		897

Series 2005-88, Class ZC, 5.00%, 10/25/2035		2,627		2,966

Series 2007-109, Class VZ, 5.00%, 10/25/2035		2,174		2,463

Series 2005-84, Class MB, 5.75%, 10/25/2035		1,138		1,275

Series 2013-114, Class JA, 3.00%, 11/25/2035		148		152

Series 2015-87, Class TB, 4.00%, 11/25/2035		5,817		6,412

Series 2005-101, Class B, 5.00%, 11/25/2035		1,236		1,397

Series 2005-99, Class AF, 0.43%, 12/25/2035 (d)		132		133

Series 2014-88, Class ER, 2.50%, 2/25/2036		111		117

Series 2006-16, Class FC, 0.38%, 3/25/2036 (d)		121		122

Series 2006-14, Class DB, 5.50%, 3/25/2036		495		563

Series 2006-27, Class BF, 0.38%, 4/25/2036 (d)		228		228

Series 2006-46, Class FW, 0.48%, 6/25/2036 (d)		369		371

Series 2006-42, Class PF, 0.49%, 6/25/2036 (d)		271		273

Series 2006-50, Class PE, 5.00%, 6/25/2036		442		503

Series 2009-71, Class JT, 6.00%, 6/25/2036		247		282

Series 2006-101, Class FC, 0.38%, 7/25/2036 (d)		288		288

Series 2006-101, Class FD, 0.38%, 7/25/2036 (d)		184		184

Series 2006-56, Class DC, 0.73%, 7/25/2036 (d)		338		340

Series 2006-58, Class ST, IF, IO, 7.07%, 7/25/2036 (d)		355		68

Series 2007-1, Class NF, 0.33%, 2/25/2037 (d)		447		448

Series 2007-16, Class FC, 0.83%, 3/25/2037 (d)		21		22

Series 2007-22, Class SC, IF, IO, 6.00%, 3/25/2037 (d)		37		1


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2007-33, Class MS, IF, IO, 6.51%, 4/25/2037 (d)		1,795		257

Series 2011-71, Class FB, 0.58%, 5/25/2037 (d)		254		255

Series 2007-57, Class ZE, 4.75%, 5/25/2037		494		518

Series 2007-B2, Class ZA, 5.50%, 6/25/2037		2,526		2,937

Series 2008-93, Class AM, 5.50%, 6/25/2037		82		83

Series 2008-5, Class PE, 5.00%, 8/25/2037		126		144

Series 2007-85, Class SH, IF, IO, 6.42%, 9/25/2037 (d)		1,035		91

Series 2007-117, Class FM, 0.78%, 1/25/2038 (d)		205		210

Series 2007-117, Class MF, 0.78%, 1/25/2038 (d)		384		393

Series 2008-24, Class PF, 0.73%, 2/25/2038 (d)		161		162

Series 2008-18, Class SE, IF, IO, 6.19%, 3/25/2038 (d)		97		11

Series 2008-25, Class DZ, 5.75%, 4/25/2038		453		527

Series 2013-96, Class YA, 3.50%, 9/25/2038		644		663

Series 2008-83, Class CA, 6.00%, 9/25/2038		624		732

Series 2013-15, Class EF, 0.43%, 3/25/2039 (d)		42		42

Series 2010-134, Class DJ, 2.25%, 3/25/2039		758		765

Series 2011-104, Class KE, 2.50%, 3/25/2039		27		27

Series 2011-104, Class KY, 4.00%, 3/25/2039		209		216

Series 2009-29, Class LA, 1.34%, 5/25/2039 (d)		1,271		1,271

Series 2009-62, Class HJ, 6.00%, 5/25/2039		247		258

Series 2013-25, Class DC, 2.50%, 6/25/2039		674		699

Series 2009-59, Class HB, 5.00%, 8/25/2039		1,612		1,828

Series 2009-70, Class FA, 1.28%, 9/25/2039 (d)		121		122

Series 2009-73, Class HJ, 6.00%, 9/25/2039		164		191

Series 2010-118, Class EF, 0.53%, 10/25/2039 (d)		140		141


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2009-86, Class PE, 5.00%, 10/25/2039		3,812			4,321

Series 2013-125, Class AB, 4.00%, 11/25/2039		296			321

Series 2009-87, Class B, 4.50%, 11/25/2039		2,142			2,333

Series 2012-118, Class BE, 2.00%, 12/25/2039		342			343

Series 2009-112, Class SW, IF, IO, 6.17%, 1/25/2040 (d)		3,101			416

Series 2013-1, Class BA, 3.00%, 2/25/2040		833			845

Series 2015-21, Class D, 3.00%, 2/25/2040		217			217

Series 2010-35, Class KF, 0.58%, 4/25/2040 (d)		333			335

Series 2011-4, Class PK, 3.00%, 4/25/2040		1,186			1,218

Series 2010-37, Class CY, 5.00%, 4/25/2040		71			80

Series 2011-3, Class KA, 5.00%, 4/25/2040		395			416

Series 2011-61, Class ZA, 5.00%, 4/25/2040		1,325			1,501

Series 2011-21, Class PA, 4.50%, 5/25/2040		1,131			1,208

Series 2010-43, Class HJ, 5.50%, 5/25/2040		225			262

Series 2010-58, Class FA, 0.63%, 6/25/2040 (d)		445			452

Series 2010-58, Class FY, 0.81%, 6/25/2040 (d)		184			188

Series 2014-70, Class A, 3.00%, 6/25/2040		790			793

Series 2012-63, Class MA, 4.00%, 6/25/2040		877			912

Series 2010-64, Class DM, 5.00%, 6/25/2040		1,101			1,239

Series 2014-82, Class LM, 3.00%, 7/25/2040		353			353

Series 2016-66, Class DE, 2.00%, 9/25/2040		1,457			1,463

Series 2010-109, Class M, 3.00%, 9/25/2040		1,730			1,817

Series 2012-44, Class LA, 3.50%, 9/25/2040		—	(g)		–	(g)

Series 2012-9, Class YF, 0.48%, 11/25/2040 (d)		88			88

Series 2013-106, Class GA, 2.50%, 11/25/2040		74			75


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2010-126, Class LI, IO, 4.00%, 11/25/2040		900		64

Series 2015-44, Class J, 3.50%, 12/25/2040		19		19

Series 2012-70, Class HP, 2.00%, 1/25/2041		3,621		3,719

Series 2010-154, Class MW, 3.50%, 1/25/2041		5,327		5,743

Series 2011-18, Class KY, 4.00%, 3/25/2041		858		929

Series 2013-15, Class CP, 1.75%, 4/25/2041		2,903		2,945

Series 2014-70, Class CW, 3.00%, 4/25/2041		9,307		9,574

Series 2011-35, Class PE, 4.00%, 4/25/2041		1,994		2,140

Series 2013-96, Class CA, 4.00%, 4/25/2041		508		519

Series 2011-53, Class FT, 0.66%, 6/25/2041 (d)		170		172

Series 2011-52, Class GB, 5.00%, 6/25/2041		128		147

Series 2013-77, Class EP, 2.50%, 7/25/2041		1,539		1,568

Series 2012-16, Class WH, 4.00%, 7/25/2041		21		21

Series 2011-128, Class KP, 4.50%, 7/25/2041		94		99

Series 2011-59, Class NZ, 5.50%, 7/25/2041		895		1,011

Series 2012-147, Class NE, 1.75%, 8/25/2041		2,815		2,859

Series 2012-14, Class PA, 2.00%, 8/25/2041		326		336

Series 2013-72, Class LY, 3.50%, 8/25/2041		906		950

Series 2013-5, Class AE, 1.75%, 9/25/2041		3,601		3,685

Series 2015-45, Class GA, 2.50%, 9/25/2041		767		781

Series 2013-126, Class CA, 4.00%, 9/25/2041		448		481

Series 2011-123, Class BP, 2.00%, 10/25/2041		5,322		5,433

Series 2011-141, Class MA, 3.50%, 10/25/2041		581		610

Series 2013-100, Class MP, 4.50%, 11/25/2041		4,160		4,407

Series 2012-64, Class PK, 4.50%, 12/25/2041		1,699		1,808


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2012-113, Class DC, 2.25%, 1/25/2042		275		284

Series 2012-27, Class PL, 2.00%, 2/25/2042		349		359

Series 2012-139, Class NY, 5.00%, 2/25/2042		2,195		2,414

Series 2012-133, Class AP, 1.75%, 3/25/2042		5,269		5,348

Series 2016-21, Class BA, 3.00%, 3/25/2042		1,616		1,640

Series 2012-100, Class TL, 4.00%, 4/25/2042		378		410

Series 2012-80, Class EB, 4.50%, 4/25/2042		1,169		1,223

Series 2013-9, Class CB, 5.50%, 4/25/2042		3,713		4,256

Series 2012-128, Class VF, 0.33%, 6/25/2042 (d)		689		690

Series 2013-73, Class PG, 2.50%, 6/25/2042		1,253		1,298

Series 2016-95, Class KA, 3.00%, 6/25/2042		2,912		2,995

Series 2013-96, Class FY, 0.43%, 7/25/2042 (d)		270		274

Series 2012-144, Class HP, 1.75%, 7/25/2042		631		651

Series 2013-93, Class PJ, 3.00%, 7/25/2042		1,023		1,046

Series 2013-34, Class PC, 2.50%, 8/25/2042		753		784

Series 2017-46, Class NA, 3.00%, 8/25/2042		734		739

Series 2014-18, Class DE, 4.00%, 8/25/2042		1,655		1,729

Series 2012-94, Class K, 2.00%, 9/25/2042		1,348		1,385

Series 2013-60, Class PD, 2.00%, 10/25/2042		951		974

Series 2012-112, Class DA, 3.00%, 10/25/2042		3,089		3,246

Series 2013-81, Class NC, 3.00%, 10/25/2042		869		911

Series 2013-72, Class AF, 0.33%, 11/25/2042 (d)		100		100

Series 2012-128, Class BA, 1.50%, 11/25/2042		6,221		6,360

Series 2013-20, Class JP, 2.00%, 11/25/2042		1,427		1,466

Series 2013-6, Class HD, 1.50%, 12/25/2042		500		507


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2013-35, Class LP, 3.00%, 1/25/2043		6,100		6,330

Series 2013-61, Class BA, 3.00%, 1/25/2043		2,402		2,466

Series 2013-58, Class FP, 0.33%, 2/25/2043 (d)		955		956

Series 2013-10, Class PA, 1.50%, 2/25/2043		1,229		1,240

Series 2013-10, Class UB, 2.00%, 2/25/2043		1,871		1,897

Series 2015-55, Class PK, 2.50%, 3/25/2043		4,884		5,021

Series 2016-36, Class BC, 2.50%, 3/25/2043		1,438		1,463

Series 2013-100, Class PL, 4.50%, 3/25/2043		1,029		1,143

Series 2013-64, Class PF, 0.33%, 4/25/2043 (d)		766		767

Series 2013-66, Class LB, 1.50%, 4/25/2043		127		129

Series 2020-18, Class BA, 2.50%, 4/25/2043		1,395		1,400

Series 2017-46, Class MG, 3.00%, 4/25/2043		521		526

Series 2013-26, Class ZV, 3.50%, 4/25/2043		10,736		11,811

Series 2013-33, Class UZ, 3.50%, 4/25/2043		8,052		8,797

Series 2018-18, Class P, 3.50%, 4/25/2043		2,881		2,912

Series 2020-11, Class CD, 3.00%, 5/25/2043		3		3

Series 2014-3, Class BL, 2.50%, 6/25/2043		127		130

Series 2013-66, Class MB, 3.00%, 7/25/2043		2,000		2,141

Series 2014-43, Class PZ, 3.00%, 7/25/2043		1,867		1,951

Series 2014-32, Class DK, 3.00%, 8/25/2043		491		511

Series 2013-92, Class DE, 4.00%, 9/25/2043		600		707

Series 2015-34, Class UP, 3.00%, 11/25/2043		1,322		1,369

Series 2018-29, Class PA, 3.50%, 3/25/2044		451		453

Series 2014-15, Class AC, 3.50%, 4/25/2044		6,483		7,076

Series 2014-56, Class Z, 3.50%, 9/25/2044		10,002		10,486


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2017-74, Class KA, 3.00%, 11/25/2044		803		819

Series 2016-100, Class P, 3.50%, 11/25/2044		111		117

Series 2020-18, Class DC, 2.50%, 2/25/2045		1,008		1,019

Series 2015-33, Class DT, 2.50%, 6/25/2045		766		802

Series 2015-33, Class P, 2.50%, 6/25/2045		1,552		1,615

Series 2015-51, Class KC, 3.00%, 6/25/2045		654		666

Series 2016-106, Class BA, 3.00%, 6/25/2045		5,189		5,395

Series 2017-18, Class DA, 3.00%, 8/25/2045		2,183		2,259

Series 2016-84, Class LA, 3.00%, 12/25/2045		1,485		1,548

Series 2016-2, Class GA, 3.00%, 2/25/2046		2,510		2,687

Series 2020-3, Class AB, 3.00%, 2/25/2046		102		102

Series 2016-16, Class AL, 3.00%, 4/25/2046		12,800		13,636

Series 2017-15, Class PE, 3.50%, 4/25/2046		1,892		1,991

Series 2017-58, Class P, 3.00%, 6/25/2046		5,109		5,317

Series 2018-48, Class PA, 4.00%, 6/25/2046		11,778		12,516

Series 2017-68, Class HQ, 3.00%, 7/25/2046		1,771		1,841

Series 2016-80, Class JP, 3.00%, 11/25/2046		894		936

Series 2017-85, Class HA, 3.00%, 12/25/2046		2,051		2,178

Series 2017-10, Class FA, 0.48%, 3/25/2047 (d)		343		345

Series 2017-11, Class PH, 2.50%, 3/25/2047		423		444

Series 2017-89, Class KZ, 3.50%, 8/25/2047		6,462		7,180

Series 2017-84, Class JA, 2.75%, 9/25/2047		1,147		1,170

Series 2017-96, Class MA, 3.00%, 12/25/2047		802		826

Series 2017-102, Class PZ, 3.50%, 12/25/2047		2,166		2,384


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 2018-37, Class BC, 3.50%, 12/25/2047		656			675

Series 2018-13, Class PA, 3.00%, 3/25/2048		14,142			14,669

Series 2018-15, Class NZ, 3.00%, 3/25/2048		8,885			9,259

Series 2018-15, Class ZG, 3.50%, 3/25/2048		3,336			3,483

Series 2019-17, Class KA, 3.50%, 4/25/2048		855			877

Series 2019-65, Class PA, 2.50%, 5/25/2048		288			298

Series 2019-11, Class EA, 3.00%, 5/25/2048		1,364			1,417

Series 2018-87, Class BA, 4.00%, 7/25/2048		652			673

Series 2020-94, PO, 9/25/2048		913			842

Series 2019-9, Class ZA, 3.50%, 9/25/2048		7,602			8,127

Series 2019-51, Class DW, 3.50%, 11/25/2048		1,628			1,660

Series 2020-49, Class GA, 1.50%, 2/25/2049		4,537			4,582

Series 2020-49, Class GC, 2.00%, 2/25/2049		4,533			4,650

Series 2009-11, Class ZY, 5.50%, 3/25/2049		3,469			3,599

Series 2019-18, Class BA, 3.50%, 5/25/2049		13,517			14,706

Series 2019-72, Class KA, 2.50%, 9/25/2049		530			543

Series 2020-15, Class EA, 2.00%, 10/25/2049		1,288			1,314

Series 2019-70, Class MB, 2.50%, 12/25/2049		1,000			1,033

Series 2019-81, Class LA, 2.50%, 12/25/2049		649			675

Series 2020-7, Class DZ, 3.00%, 2/25/2050		1,349			1,396

Series 2020-15, Class EM, 3.00%, 3/25/2050		1,033			1,078

Series 2019-33, Class MA, 3.50%, 7/25/2055		1,367			1,437

Series 2018-70, Class HA, 3.50%, 10/25/2056		1,108			1,169

FNMA, REMIC Trust, Whole Loan

Series 1995-W3, Class A, 9.00%, 4/25/2025		—	(g)		–	(g)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

FNMA, REMIC, Whole Loan

Series 2007-54, Class FA, 0.48%, 6/25/2037 (d)		161			164

Series 2007-106, Class A7, 6.25%, 10/25/2037 (d)		210			246

Series 2001-50, Class BA, 7.00%, 10/25/2041		95			109

FNMA, STRIPS

Series 268, Class 2, IO, 9.00%, 2/25/2023		—	(g)		–	(g)

Series 289, Class 1, PO, 11/25/2027		106			103

Series 334, Class 17, IO, 6.50%, 2/25/2033 (d)		183			32

Series 334, Class 9, IO, 6.00%, 3/25/2033		378			64

Series 334, Class 13, IO, 6.00%, 3/25/2033 (d)		153			24

Series 356, Class 16, IO, 5.50%, 6/25/2035 (d)		123			19

Series 359, Class 16, IO, 5.50%, 10/25/2035 (d)		122			20

Series 369, Class 19, IO, 6.00%, 10/25/2036 (d)		114			22

Series 369, Class 26, IO, 6.50%, 10/25/2036 (d)		84			17

Series 386, Class 20, IO, 6.50%, 8/25/2038 (d)		202			38

Series 394, Class C3, IO, 6.50%, 9/25/2038		367			74

Series 411, Class A3, 3.00%, 8/25/2042		1,805			1,934

FNMA, Whole Loan

Series 2007-W1, Class 1AF1, 0.35%, 11/25/2046(d)		1,717			1,705

GNMA

Series 2011-132, Class GJ, 2.00%, 9/16/2026		367			379

Series 2011-155, Class A, 3.00%, 11/20/2026		114			119

Series 2011-158, Class AB, 3.00%, 11/20/2026		304			314

Series 2012-3, Class AK, 3.00%, 1/16/2027		1,565			1,636

Series 2012-32, Class EG, 3.00%, 3/16/2027		752			783

Series 2013-75, Class AC, 1.50%, 5/20/2028		1,547			1,574

Series 2018-78, Class EV, 3.00%, 8/20/2031		1,618			1,676

Series 2003-50, Class F, 0.40%, 5/16/2033 (d)		147			147


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2004-39, Class IN, IO, 5.50%, 6/20/2033		170		13

Series 2006-26, Class S, IF, IO, 6.41%, 6/20/2036 (d)		4,474		622

Series 2007-16, Class KU, IF, IO, 6.56%, 4/20/2037 (d)		2,780		459

Series 2009-106, Class XL, IF, IO, 6.66%, 6/20/2037 (d)		2,617		452

Series 2013-23, Class BP, 3.00%, 9/20/2037		540		552

Series 2008-75, Class SP, IF, IO, 7.38%, 8/20/2038 (d)		919		115

Series 2009-14, Class SA, IF, IO, 5.99%, 3/20/2039 (d)		2,824		264

Series 2009-14, Class KS, IF, IO, 6.21%, 3/20/2039 (d)		1,171		150

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		344		74

Series 2009-75, Class NB, 4.50%, 6/20/2039		144		152

Series 2010-144, Class DA, 4.00%, 9/16/2039		31		32

Series 2013-117, Class A, 2.50%, 10/20/2039		243		244

Series 2013-167, Class EP, 2.50%, 11/20/2039		395		398

Series 2010-59, Class HZ, 4.50%, 5/16/2040		1,956		2,187

Series 2011-26, Class PA, 4.00%, 7/20/2040		55		56

Series 2011-73, Class KB, 4.00%, 1/16/2041		735		758

Series 2013-71, Class NA, 2.50%, 8/20/2041		110		114

Series 2015-116, Class A, 2.50%, 3/20/2042		1,133		1,162

Series 2012-96, Class WP, 6.50%, 8/16/2042		3,221		3,846

Series 2012-127, Class PA, 2.00%, 9/16/2042		1,814		1,874

Series 2013-42, Class ND, 1.75%, 11/20/2042		178		180

Series 2013-28, Class DE, 1.75%, 12/20/2042		350		360

Series 2014-12, Class ZA, 3.00%, 1/20/2044		20,082		21,518

Series 2018-33, Class D, 3.00%, 1/20/2044		2,570		2,617


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2018-29, Class LC, 3.00%, 4/20/2044		422		427

Series 2016-25, Class QH, 3.00%, 12/16/2044		1,939		2,032

Series 2015-80, Class CP, 4.50%, 6/20/2045		474		522

Series 2015-80, Class CQ, 5.00%, 6/20/2045		342		381

Series 2018-36, Class AM, 3.00%, 7/20/2045		868		900

Series 2016-79, Class LA, 3.00%, 9/20/2045		941		954

Series 2016-90, Class MA, 3.00%, 10/20/2045		754		761

Series 2016-104, Class MA, 3.00%, 11/20/2045		1,326		1,338

Series 2020-125, Class AG, 2.50%, 2/20/2046		4,563		4,622

Series 2016-91, Class WH, 2.75%, 3/20/2046		1,542		1,600

Series 2017-99, Class DB, 3.00%, 3/20/2046		1,095		1,173

Series 2018-124, Class BY, 4.00%, 11/20/2046		906		909

Series 2018-168, Class NA, 3.00%, 12/20/2046		1,784		1,867

Series 2017-65, Class DZ, 3.00%, 4/20/2047		2,665		2,805

Series 2019-86, Class AB, 3.50%, 5/20/2047		582		585

Series 2017-149, Class DA, 2.50%, 6/20/2047		4,136		4,339

Series 2017-139, Class PE, 2.75%, 8/20/2047		7,841		8,073

Series 2018-34, Class TY, 3.50%, 3/20/2048		1,749		1,799

Series 2019-74, Class AT, 3.00%, 6/20/2049		712		766

Series 2019-145, Class PA, 3.50%, 8/20/2049		685		695

Series 2020-5, Class NA, 3.50%, 12/20/2049		7,390		7,594

Series 2020-74, Class DY, 2.00%, 5/20/2050		2,236		2,291

Series 2020-83, Class KP, 3.00%, 6/20/2050		567		578

Series 2010-H26, Class LF, 0.45%, 8/20/2058 (d)		278		279


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 2010-H03, Class FA, 0.77%, 3/20/2060 (d)		3,633			3,650

Series 2011-H07, Class FA, 0.60%, 2/20/2061 (d)		3,420			3,430

Series 2011-H08, Class FA, 0.70%, 2/20/2061 (d)		2,670			2,684

Series 2011-H11, Class FA, 0.60%, 3/20/2061 (d)		514			516

Series 2011-H11, Class FB, 0.60%, 4/20/2061 (d)		454			456

Series 2011-H21, Class FA, 0.70%, 10/20/2061 (d)		280			282

Series 2013-H05, Class FB, 0.50%, 2/20/2062 (d)		402			402

Series 2012-H14, Class NA, 2.00%, 6/20/2062		—	(g)		—	(g)

Series 2012-H14, Class FK, 0.68%, 7/20/2062 (d)		384			386

Series 2012-H18, Class NA, 0.62%, 8/20/2062 (d)		278			279

Series 2012-H20, Class BA, 0.66%, 9/20/2062 (d)		690			693

Series 2012-H29, Class FA, 0.62%, 10/20/2062 (d)		144			145

Series 2012-H23, Class WA, 0.62%, 10/20/2062 (d)		331			333

Series 2012-H30, Class GA, 0.45%, 12/20/2062 (d)		347			347

Series 2013-H08, Class FA, 0.45%, 3/20/2063 (d)		516			516

Series 2013-H11, Class FA, 0.55%, 4/20/2063 (d)		519			521

Series 2013-H14, Class FG, 0.57%, 5/20/2063 (d)		147			147

Series 2013-H15, Class FA, 0.64%, 6/20/2063 (d)		1,431			1,437

Series 2013-H19, Class FC, 0.70%, 8/20/2063 (d)		4,040			4,054

Series 2014-H05, Class FB, 0.70%, 12/20/2063 (d)		673			677

Series 2014-H02, Class FB, 0.75%, 12/20/2063(d)		2,313			2,327

Series 2014-H16, Class FL, 0.56%, 7/20/2064 (d)		905			907

Series 2014-H14, Class GF, 0.57%, 7/20/2064 (d)		355			356

Series 2014-H21, Class FA, 0.75%, 10/20/2064 (d)		361			364


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2015-H04, Class FL, 0.57%, 2/20/2065 (d)		220		221

Series 2015-H13, Class FG, 0.50%, 4/20/2065 (d)		505		506

Series 2015-H10, Class FH, 0.70%, 4/20/2065 (d)		1,587		1,598

Series 2015-H09, Class FA, 0.72%, 4/20/2065 (d)		481		485

Series 2015-H10, Class FK, 0.72%, 4/20/2065 (d)		15,691		15,808

Series 2015-H14, Class FB, 0.53%, 5/20/2065 (d)		240		241

Series 2015-H12, Class FB, 0.70%, 5/20/2065 (d)		12,209		12,288

Series 2015-H12, Class FD, 0.70%, 5/20/2065 (d)		1,622		1,633

Series 2015-H14, Class FA, 0.67%, 6/20/2065 (d)		6,115		6,150

Series 2015-H16, Class FM, 0.70%, 7/20/2065 (d)		3,919		3,948

Series 2015-H24, Class FA, 0.75%, 9/20/2065 (d)		6,647		6,705

Series 2015-H27, Class FA, 0.85%, 9/20/2065 (d)		1,873		1,895

Series 2015-H25, Class FD, 0.75%, 10/20/2065 (d)		8,332		8,431

Series 2015-H29, Class FA, 0.80%, 10/20/2065 (d)		13		13

Series 2015-H29, Class FJ, 0.78%, 11/20/2065 (d)		5,208		5,258

Series 2016-H01, Class FA, 1.00%, 1/20/2066 (d)		3,887		3,953

Series 2016-H06, Class FC, 1.02%, 2/20/2066 (d)		2,936		2,983

Series 2016-H06, Class FA, 1.05%, 2/20/2066 (d)		2,818		2,870

Series 2016-H09, Class FN, 0.95%, 3/20/2066 (d)		3,686		3,740

Series 2016-H14, Class FA, 0.90%, 6/20/2066 (d)		2,088		2,117

Series 2016-H24, Class AF, 0.95%, 11/20/2066 (d)		2,828		2,874

Series 2017-H07, Class FG, 0.56%, 2/20/2067 (d)		609		611

Series 2017-H14, Class FD, 0.57%, 6/20/2067 (d)		686		689

Series 2017-H16, Class CF, 0.57%, 7/20/2067 (d)		880		884


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 2017-H15, Class FN, 0.60%, 7/20/2067 (d)		598			600

Series 2017-H19, Class FA, 0.55%, 8/20/2067 (d)		2,916			2,922

Series 2018-H04, Class FG, 0.38%, 2/20/2068 (d)		688			687

Series 2018-H07, Class FE, 0.45%, 2/20/2068 (d)		260			260

Series 2019-H01, Class FT, 0.50%, 10/20/2068 (d)		3,147			3,151

Series 2019-H05, Class FT, 0.51%, 4/20/2069 (d)		8,881			8,890

Headlands Residential LLC

Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (b) (e)		1,968			1,977

JPMorgan Mortgage Trust

Series 2004-S2, Class 5A1, 5.50%, 12/25/2019		200			200

Series 2006-A2, Class 4A1, 2.23%, 8/25/2034 (d)		588			619

Legacy Mortgage Asset Trust

Series 2020-GS5, Class A1, 3.25%, 6/25/2060 (b)		1,145			1,164

Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (b) (e)		10,022			10,047

Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (b) (e)		4,573			4,585

Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (e)		7,937			7,951

LHOME Mortgage Trust

Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (d)		6,000			5,987

MASTR Alternative Loan Trust

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		—	(g)		—	(g)

MFRA Trust

Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (b) (d)		2,111			2,109

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2005-AR6, Class 4A1, 0.60%, 12/25/2035 (d)		1,348			461

NYMT Loan Trust

Series 2020-SP2, Class A1, 2.94%, 10/25/2060 (b) (d)		11,954			12,070

Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (b)		13,524			13,524

OBX Trust

Series 2020-EXP3, Class 2A1, 0.98%, 1/25/2060 (b) (d)		2,164			2,163


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

PRPM LLC

Series 2020-2, Class A1, 3.67%, 8/25/2025 (b) (e)		1,094		1,102

Series 2020-3, Class A1, 2.86%, 9/25/2025 (b) (e)		11,270		11,296

Series 2020-6, Class A1, 2.36%, 11/25/2025 (b) (e)		5,295		5,331

Series 2020-5, Class A1, 3.10%, 11/25/2025 (b) (e)		13,619		13,716

Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (d)		12,358		12,391

Series 2021-2, Class A1, 2.12%, 3/25/2026 (b) (d)		12,677		12,707

Series 2021-3, Class A1, 1.87%, 4/25/2026 (b) (e)		6,204		6,235

Series 2021-4, Class A1, 1.87%, 4/25/2026 (b) (e)		7,768		7,768

Series 2021-5, Class A1, 1.79%, 6/25/2026 (b) (e)		17,273		17,301

Series 2021-6, Class A1, 1.79%, 7/25/2026 (b) (e)		18,822		18,808

Series 2021-7, Class A1, 1.87%, 8/25/2026 (b) (e)		16,194		16,202

RCO VII Mortgage LLC

Series 2021-1, Class A1, 1.87%, 5/25/2026 (b) (e)		14,955		14,948

VCAT LLC

Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (e)		4,138		4,151

Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (b) (e)		13,630		13,636

Visio Trust

Series 2019-2, Class A1, 2.72%, 11/25/2054 (b) (d)		5,347		5,488

ZH Trust

Series 2021-1, Class A, 2.25%, 2/18/2027 (b)		5,603		5,605


Total Collateralized Mortgage Obligations (Cost $1,349,449)				1,351,938

Commercial Mortgage-Backed Securities — 3.8%

ACRE Commercial Mortgage Ltd. (Cayman Islands)

Series 2021-FL4, Class A, 0.92%, 12/18/2037 (b) (d)		6,667		6,650

Banc of America Commercial Mortgage Trust

Series 2016-UB10, Class A3, 2.90%, 7/15/2049		6,550		6,920

BANK

Series 2020-BN30, Class XA, IO, 1.44%, 12/15/2053 (d)		85,297		8,142


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Benchmark Mortgage Trust

Series 2018-B6, Class A2, 4.20%, 10/10/2051		1,267		1,335

BX

Series 2021-MFM1, Class A, 0.80%, 1/15/2034 (b) (d)		3,000		3,003

BX Commercial Mortgage Trust

Series 2020-BXLP, Class A, 0.90%, 12/15/2036 (b) (d)		7,682		7,692

BXMT Ltd. (Cayman Islands)

Series 2021-FL4, Class A, 1.15%, 5/15/2038 (b) (d)		6,000		6,000

Citigroup Commercial Mortgage Trust

Series 2013-GC17, Class C, 5.26%, 11/10/2046 ‡ (d)		3,000		3,135

Series 2014-GC21, Class A4, 3.58%, 5/10/2047		2,023		2,117

Series 2014-GC23, Class C, 4.58%, 7/10/2047 (d)		4,385		4,675

COMM Mortgage Trust

Series 2015-CR26, Class B, 4.69%, 10/10/2048 ‡ (d)		2,000		2,202

Series 2016-CR28, Class A3, 3.50%, 2/10/2049		2,100		2,286

Commercial Mortgage Trust

Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (b)		4,355		4,526

Series 2020-CBM, Class B, 3.10%, 2/10/2037 ‡ (b)		4,765		4,912

Series 2014-CR16, Class AM, 4.28%, 4/10/2047		9,853		10,627

Series 2014-UBS3, Class B, 4.31%, 6/10/2047 ‡		3,000		3,205

Series 2014-CR19, Class B, 4.70%, 8/10/2047 ‡ (d)		4,350		4,724

CSAIL Commercial Mortgage Trust

Series 2015-C1, Class A3, 3.24%, 4/15/2050		2,403		2,509

Series 2015-C2, Class B, 4.21%, 6/15/2057 ‡ (d)		1,750		1,839

DBJPM Mortgage Trust

Series 2017-C6, Class A3, 3.27%, 6/10/2050		2,500		2,616

FHLMC, Multi-Family Structured Pass-Through Certificates

Series K068, Class X1, IO, 0.56%, 8/25/2027 (d)		68,272		1,643

Series K740, Class X1, IO, 0.84%, 9/25/2027 (d)		104,814		4,336


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series K114, Class X1, IO, 1.21%, 6/25/2030 (d)		39,939		3,486

FNMA ACES

Series 2020-M10, Class X1, IO, 1.92%, 12/25/2030 (d)		57,498		7,605

FREMF Mortgage Trust

Series 2016-K723, Class C, 3.70%, 11/25/2023 (b) (d)		2,700		2,811

Series 2018-K733, Class C, 4.22%, 9/25/2025 (b) (d)		7,000		7,492

Series 2019-K735, Class B, 4.16%, 5/25/2026 (b) (d)		7,480		8,282

Series 2012-K20, Class C, 4.00%, 5/25/2045 (b) (d)		4,500		4,593

Series 2013-K24, Class C, 3.63%, 11/25/2045 (b) (d)		4,500		4,616

Series 2013-K29, Class C, 3.60%, 5/25/2046 (b) (d)		1,580		1,644

Series 2013-K28, Class C, 3.61%, 6/25/2046 (b) (d)		7,000		7,264

Series 2013-K32, Class C, 3.65%, 10/25/2046 (b) (d)		3,000		3,132

Series 2013-K35, Class C, 4.07%, 12/25/2046 (b) (d)		5,000		5,273

Series 2014-K37, Class B, 4.72%, 1/25/2047 (b) (d)		3,150		3,413

Series 2014-K39, Class C, 4.28%, 8/25/2047 (b) (d)		6,500		7,010

Series 2015-K721, Class C, 3.68%, 11/25/2047 (b) (d)		6,100		6,249

Series 2014-K41, Class B, 3.96%, 11/25/2047 (b) (d)		18,840		20,438

Series 2014-K41, Class C, 3.96%, 11/25/2047 (b) (d)		4,350		4,679

Series 2015-K44, Class B, 3.81%, 1/25/2048 (b) (d)		6,000		6,461

Series 2015-K42, Class C, 3.98%, 1/25/2048 (b) (d)		1,000		1,064

Series 2015-K43, Class C, 3.86%, 2/25/2048 (b) (d)		6,000		6,367

Series 2015-K45, Class B, 3.71%, 4/25/2048 (b) (d)		1,246		1,344

Series 2015-K45, Class C, 3.71%, 4/25/2048 (b) (d)		9,700		10,202

Series 2016-K54, Class B, 4.19%, 4/25/2048 (b) (d)		1,500		1,656

Series 2015-K49, Class B, 3.85%, 10/25/2048 (b) (d)		11,350		12,290


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2015-K50, Class B, 3.91%, 10/25/2048 (b) (d)		8,000		8,717

Series 2015-K50, Class C, 3.91%, 10/25/2048 (b) (d)		2,000		2,120

Series 2016-K722, Class C, 3.99%, 7/25/2049 (b) (d)		4,000		4,153

Series 2017-K726, Class B, 4.12%, 7/25/2049 (b) (d)		7,375		7,904

Series 2017-K729, Class B, 3.80%, 11/25/2049 (b) (d)		5,600		6,015

Series 2017-K724, Class B, 3.63%, 12/25/2049 (b) (d)		3,000		3,161

Series 2018-K730, Class C, 3.92%, 2/25/2050 (b) (d)		1,620		1,722

Series 2017-K725, Class B, 4.02%, 2/25/2050 (b) (d)		2,500		2,669

Series 2019-K734, Class B, 4.19%, 2/25/2051 (b) (d)		3,400		3,764

Series 2020-K737, Class B, 3.41%, 1/25/2053 (b) (d)		1,540		1,652

GS Mortgage Securities Trust

Series 2013-GC12, Class B, 3.78%, 6/10/2046 ‡ (d)		2,625		2,727

Series 2014-GC24, Class A5, 3.93%, 9/10/2047		14,925		16,170

Independence Plaza Trust

Series 2018-INDP, Class C, 4.16%, 7/10/2035 ‡ (b)		3,225		3,379

JPMBB Commercial Mortgage Securities Trust

Series 2015-C30, Class C, 4.41%, 7/15/2048 ‡ (d)		9,000		9,464

Series 2015-C31, Class C, 4.77%, 8/15/2048 ‡ (d)		2,750		2,934

JPMCC Commercial Mortgage Securities Trust

Series 2017-JP6, Class A3, 3.11%, 7/15/2050		8,000		8,307

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2016-JP2, Class A3, 2.56%, 8/15/2049		5,624		5,876

KKR Industrial Portfolio Trust

Series 2021-KDIP, Class A, 0.65%, 12/15/2037 (b) (d)		5,130		5,132

Series 2021-KDIP, Class B, 0.90%, 12/15/2037 ‡ (b) (d)		3,000		3,000

MHC Commercial Mortgage Trust

Series 2021-MHC, Class A, 0.90%, 4/15/2038 (b) (d)		3,500		3,502

Series 2021-MHC, Class D, 1.70%, 4/15/2038 ‡ (b) (d)		2,500		2,508


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2013-C13, Class A3, 3.77%, 11/15/2046		889		937

Series 2014-C17, Class A4, 3.44%, 8/15/2047		1,644		1,688

Series 2014-C17, Class C, 4.63%, 8/15/2047 ‡ (d)		5,339		5,638

Series 2014-C18, Class B, 4.61%, 10/15/2047 ‡ (d)		5,250		5,654

Series 2015-C24, Class A3, 3.48%, 5/15/2048		7,874		8,452

Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (d)		4,140		4,483

Morgan Stanley Capital I

Series 2017-HR2, Class A2, 3.35%, 12/15/2050		4,000		4,102

Morgan Stanley Capital I Trust

Series 2021-L6, Class A2, 2.13%, 6/15/2054		3,884		4,015

MRCD MARK Mortgage Trust

Series 2019-PARK, Class B, 2.72%, 12/15/2036 ‡ (b)		6,000		6,214

PFP Ltd. (Cayman Islands)

Series 2021-7, Class A, 0.95%, 4/14/2038 (b) (d)		21,999		21,944

Velocity Commercial Capital Loan Trust

Series 2021-1, Class A, 1.40%, 5/25/2051 (b) (d)		4,732		4,719

Series 2021-2, Class A, 1.52%, 8/25/2051 (b) (d)		26,316		26,499

Wells Fargo Commercial Mortgage Trust

Series 2021-SAVE, Class A, 1.25%, 2/15/2040 (b) (d)		10,497		10,550

Series 2015-C28, Class B, 4.23%, 5/15/2048 ‡ (d)		3,000		3,246

Series 2015-C29, Class C, 4.36%, 6/15/2048 ‡ (d)		1,250		1,346

Series 2016-C37, Class A3, 3.70%, 12/15/2049		1,000		1,040

Series 2017-C41, Class A2, 2.59%, 11/15/2050		2,000		2,032

WFRBS Commercial Mortgage Trust

Series 2014-C25, Class AS, 3.98%, 11/15/2047		7,605		8,202


Total Commercial Mortgage-Backed Securities (Cost $458,648)				458,102


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — 2.7%

FHLMC

Pool # 611141, ARM, 2.23%, 1/1/2027 (d)		11			11

Pool # 846774, ARM, 2.35%, 12/1/2027 (d)		9			9

Pool # 1B2844, ARM, 1.96%, 3/1/2035 (d)		61			62

Pool # 1L1380, ARM, 2.77%, 3/1/2035 (d)		1,113			1,197

Pool # 1L1379, ARM, 2.92%, 10/1/2035 (d)		568			578

Pool # 1G1861, ARM, 2.41%, 3/1/2036 (d)		353			377

Pool # 1J1380, ARM, 2.82%, 3/1/2036 (d)		288			308

Pool # 1J1313, ARM, 1.76%, 6/1/2036 (d)		70			74

Pool # 1G1028, ARM, 2.04%, 7/1/2036 (d)		22			23

Pool # 1N0273, ARM, 2.04%, 8/1/2036 (d)		53			54

Pool # 1K0035, ARM, 2.36%, 8/1/2036 (d)		60			60

Pool # 1J1393, ARM, 1.92%, 10/1/2036 (d)		534			562

Pool # 1J1378, ARM, 2.01%, 11/1/2036 (d)		156			163

Pool # 1N0346, ARM, 1.82%, 12/1/2036 (d)		107			107

Pool # 1J1418, ARM, 2.07%, 12/1/2036 (d)		73			73

Pool # 1J1467, ARM, 2.23%, 12/1/2036 (d)		140			148

Pool # 1J1541, ARM, 2.09%, 1/1/2037 (d)		466			483

Pool # 1J1516, ARM, 2.07%, 2/1/2037 (d)		73			77

Pool # 1J1543, ARM, 2.48%, 2/1/2037 (d)		48			48

Pool # 1N1458, ARM, 1.79%, 3/1/2037 (d)		218			227

Pool # 1J1635, ARM, 1.95%, 3/1/2037 (d)		178			188

Pool # 1J1522, ARM, 2.55%, 3/1/2037 (d)		116			123

Pool # 1Q0339, ARM, 2.21%, 4/1/2037 (d)		19			20

Pool # 1Q0697, ARM, 1.83%, 5/1/2037 (d)		618			643

Pool # 1J1681, ARM, 2.23%, 6/1/2037 (d)		921			982

Pool # 1J1685, ARM, 2.23%, 6/1/2037 (d)		393			397

Pool # 847871, ARM, 1.33%, 8/1/2037 (d)		113			113

Pool # 1J2834, ARM, 2.52%, 8/1/2037 (d)		127			135

Pool # 1Q0476, ARM, 2.30%, 10/1/2037 (d)		158			159

Pool # 1J2945, ARM, 2.37%, 11/1/2037 (d)		53			53

Pool # 1Q0894, ARM, 2.45%, 1/1/2038 (d)		285			288

Pool # 1Q0722, ARM, 2.40%, 4/1/2038 (d)		296			314

FHLMC Gold Pools, 15 Year

Pool # J03447, 6.00%, 9/1/2021		—	(g)		—	(g)

Pool # G13821, 6.00%, 11/1/2021		—	(g)		—	(g)

Pool # G13274, 5.50%, 10/1/2023		164			169


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # G13301, 5.50%, 10/1/2023		662		684

Pool # J10284, 6.00%, 12/1/2023		17		17

Pool # G13433, 5.50%, 1/1/2024		81		84

Pool # J14783, 4.00%, 3/1/2026		71		75

Pool # G14643, 4.00%, 8/1/2026		91		97

Pool # G14973, 4.00%, 12/1/2028		99		107

Pool # J31731, 3.00%, 5/1/2030		509		542

FHLMC Gold Pools, 20 Year

Pool # G30262, 6.00%, 10/1/2024		49		54

Pool # G30325, 5.50%, 3/1/2027		745		831

Pool # C91261, 4.50%, 8/1/2029		144		156

Pool # C91349, 4.50%, 12/1/2030		139		152

Pool # G30565, 4.50%, 10/1/2031		305		333

Pool # G30701, 5.00%, 11/1/2031		112		125

Pool # C91388, 3.50%, 2/1/2032		2,995		3,210

Pool # C91447, 3.50%, 5/1/2032		232		248

Pool # C91449, 4.00%, 5/1/2032		1,146		1,260

Pool # C91581, 3.00%, 11/1/2032		1,156		1,233

Pool # G30669, 4.50%, 12/1/2033		1,698		1,861

Pool # C91761, 4.00%, 5/1/2034		1,116		1,223

Pool # K92617, 3.00%, 4/1/2035		5,221		5,570

Pool # C91862, 3.50%, 1/1/2036		4,133		4,452

Pool # C91880, 3.50%, 6/1/2036		2,411		2,634

FHLMC Gold Pools, 30 Year

Pool # A30588, 6.00%, 7/1/2032		102		115

Pool # G01665, 5.50%, 3/1/2034		2,087		2,415

Pool # G05046, 5.00%, 11/1/2036		121		138

Pool # G03073, 5.50%, 7/1/2037		946		1,093

Pool # G04772, 7.00%, 8/1/2038		125		146

Pool # G05798, 5.50%, 1/1/2040		237		276

Pool # G06061, 4.00%, 10/1/2040		4,787		5,295

Pool # Q06999, 4.00%, 3/1/2042		2,960		3,253

Pool # Q35618, 4.00%, 8/1/2045		3,577		3,954

Pool # G60701, 4.50%, 3/1/2046		3,159		3,496

Pool # G08729, 4.50%, 9/1/2046		707		773

Pool # Q53595, 3.50%, 1/1/2048		4,152		4,430

FHLMC Gold Pools, Other

Pool # T45022, 2.50%, 1/1/2028		3,946		4,077

Pool # U79013, 2.50%, 4/1/2028		820		857

Pool # U79014, 2.50%, 5/1/2028		1,046		1,094

Pool # T40143, 2.50%, 7/1/2028		849		877

Pool # U79019, 3.00%, 7/1/2028		176		186

Pool # U79026, 2.50%, 9/1/2028		237		248

Pool # U49013, 3.00%, 9/1/2028		1,704		1,805

Pool # G20027, 10.00%, 10/1/2030		35		38


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # RE6019, 3.00%, 12/1/2049		934		961

Pool # RE6030, 3.50%, 2/1/2050		774		803

Pool # RE6028, 3.00%, 4/1/2050		582		599

Pool # RE6048, 2.50%, 5/1/2050		2,173		2,229

Pool # RE6041, 3.00%, 5/1/2050		8,966		9,229

Pool # RE6052, 3.00%, 7/1/2050		3,676		3,783

FHLMC UMBS, 15 Year

Pool # ZS8076, 4.00%, 7/1/2033		2,753		2,964

Pool # ZS8124, 4.00%, 8/1/2033		4,129		4,514

FHLMC UMBS, 20 Year

Pool # ZT1674, 5.00%, 2/1/2035		6,036		6,665

FHLMC UMBS, 30 Year

Pool # ZM4070, 4.00%, 9/1/2047		5,783		6,278

Pool # ZM4714, 3.50%, 11/1/2047		2,774		2,952

FNMA

Pool # 325081, ARM, 2.72%, 10/1/2025 (d)		3		3

Pool # 409902, ARM, 2.24%, 6/1/2027 (d)		6		6

Pool # 52597, ARM, 2.19%, 7/1/2027 (d)		2		2

Pool # 725902, ARM, 2.16%, 9/1/2034 (d)		49		49

Pool # G20028, 7.50%, 12/1/2036		2,396		2,701

Pool # 810896, ARM, 1.76%, 1/1/2035 (d)		31		33

Pool # 865095, ARM, 2.69%, 10/1/2035 (d)		562		573

Pool # AD0295, ARM, 2.52%, 3/1/2036 (d)		425		426

Pool # 877009, ARM, 2.66%, 3/1/2036 (d)		521		552

Pool # 894571, ARM, 2.73%, 3/1/2036 (d)		815		871

Pool # 895687, ARM, 1.92%, 5/1/2036 (d)		74		77

Pool # 882099, ARM, 1.91%, 7/1/2036 (d)		74		74

Pool # 745858, ARM, 2.01%, 8/1/2036 (d)		73		77

Pool # 886558, ARM, 2.02%, 8/1/2036 (d)		157		165

Pool # 884722, ARM, 2.15%, 8/1/2036 (d)		123		125

Pool # 887714, ARM, 2.17%, 8/1/2036 (d)		98		99


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 745762, ARM, 2.27%, 8/1/2036 (d)		1		1

Pool # 882241, ARM, 2.00%, 10/1/2036 (d)		202		203

Pool # AD0296, ARM, 1.94%, 12/1/2036 (d)		428		428

Pool # 870920, ARM, 2.01%, 12/1/2036 (d)		19		20

Pool # 905593, ARM, 2.12%, 12/1/2036 (d)		45		47

Pool # 905196, ARM, 2.41%, 12/1/2036 (d)		18		19

Pool # 920954, ARM, 1.71%, 1/1/2037 (d)		529		550

Pool # 888143, ARM, 1.93%, 1/1/2037 (d)		49		51

Pool # 913984, ARM, 1.61%, 2/1/2037 (d)		317		329

Pool # 910178, ARM, 2.18%, 3/1/2037 (d)		440		442

Pool # 936588, ARM, 1.61%, 4/1/2037 (d)		115		119

Pool # 888750, ARM, 2.08%, 4/1/2037 (d)		71		74

Pool # 944105, ARM, 1.48%, 7/1/2037 (d)		7		8

Pool # 948208, ARM, 1.48%, 7/1/2037 (d)		511		527

Pool # 888620, ARM, 1.71%, 7/1/2037 (d)		83		83

Pool # 950385, ARM, 1.08%, 8/1/2037 (d)		7		7

Pool # 950382, ARM, 1.25%, 8/1/2037 (d)		962		986

Pool # AD0081, ARM, 1.92%, 11/1/2037 (d)		192		193

Pool # 995108, ARM, 2.10%, 11/1/2037 (d)		689		738

Pool # 952182, ARM, 2.20%, 11/1/2037 (d)		202		214

Pool # 966911, ARM, 2.13%, 12/1/2037 (d)		120		127

FNMA UMBS, 10 Year

Pool # MA2233, 2.50%, 4/1/2025		75		78

FNMA UMBS, 15 Year

Pool # 890129, 6.00%, 12/1/2021		1		1


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # 889094, 6.50%, 1/1/2023		49		49

Pool # 995286, 6.50%, 3/1/2023		4		4

Pool # AL0229, 5.50%, 9/1/2023		68		69

Pool # AA1035, 6.00%, 12/1/2023		27		28

Pool # AD0471, 5.50%, 1/1/2024		37		38

Pool # 995381, 6.00%, 1/1/2024		44		46

Pool # AE0081, 6.00%, 7/1/2024		215		222

Pool # 931730, 5.00%, 8/1/2024		90		94

Pool # AD0365, 5.50%, 9/1/2024		38		39

Pool # AD0662, 5.50%, 1/1/2025		464		480

Pool # AL2193, 5.50%, 7/1/2025		662		685

Pool # AJ5336, 3.00%, 11/1/2026		83		88

Pool # AK0971, 3.00%, 2/1/2027		79		84

Pool # AO0800, 3.00%, 4/1/2027		111		118

Pool # AP7842, 3.00%, 9/1/2027		95		101

Pool # AL3439, 4.00%, 9/1/2027		399		425

Pool # AL4307, 4.00%, 10/1/2028		766		828

Pool # AL6105, 4.00%, 12/1/2029		70		75

Pool # MA2246, 3.00%, 4/1/2030		1,943		2,067

Pool # FM4436, 4.00%, 6/1/2034		3,339		3,636

Pool # FM2989, 3.00%, 9/1/2034		11,393		12,112

FNMA UMBS, 20 Year

Pool # 254344, 6.50%, 6/1/2022		46		52

Pool # 745763, 6.50%, 3/1/2025		55		62

Pool # 256714, 5.50%, 5/1/2027		191		213


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # MA0214, 5.00%, 10/1/2029		939		1,037

Pool # AD5474, 5.00%, 5/1/2030		300		332

Pool # MA0534, 4.00%, 10/1/2030		137		148

Pool # AL4165, 4.50%, 1/1/2031		791		863

Pool # MA0804, 4.00%, 7/1/2031		142		154

Pool # MA0792, 4.50%, 7/1/2031		1,247		1,361

Pool # MA3894, 4.00%, 9/1/2031		191		207

Pool # 890653, 4.50%, 1/1/2032		634		692

Pool # AL5958, 4.00%, 3/1/2032		1,524		1,652

Pool # MA1037, 3.00%, 4/1/2032		1,315		1,403

Pool # AL1722, 4.50%, 4/1/2032		111		121

Pool # AB5811, 3.00%, 8/1/2032		1,852		1,977

Pool # AL7474, 3.50%, 10/1/2032		1,355		1,440

Pool # MA1270, 2.50%, 11/1/2032		774		805

Pool # AL3190, 4.00%, 12/1/2032		485		532

Pool # MA1802, 3.00%, 1/1/2034		953		1,015

Pool # AL8051, 4.00%, 5/1/2034		4,461		4,903

Pool # AL5373, 4.50%, 5/1/2034		568		624

Pool # MA2587, 3.50%, 4/1/2036		2,775		2,983

Pool # FM2477, 3.00%, 5/1/2036		4,116		4,389

Pool # AS7789, 3.00%, 8/1/2036		4,943		5,218

Pool # BM1370, 3.00%, 4/1/2037		2,450		2,570

Pool # BJ2544, 3.00%, 12/1/2037		1,805		1,895

Pool # FM2922, 3.00%, 2/1/2038		2,928		3,121


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



FNMA UMBS, 30 Year

Pool # 250511, 6.50%, 3/1/2026		1		1

Pool # 555889, 8.00%, 12/1/2030		15		16

Pool # 254548, 5.50%, 12/1/2032		1,111		1,283

Pool # 555458, 5.50%, 5/1/2033		2,108		2,452

Pool # AB0054, 4.50%, 12/1/2034		2,696		2,982

Pool # 735503, 6.00%, 4/1/2035		1,497		1,729

Pool # 745275, 5.00%, 2/1/2036		2,630		2,999

Pool # 889118, 5.50%, 4/1/2036		2,975		3,436

Pool # 889209, 5.00%, 5/1/2036		151		172

Pool # 745948, 6.50%, 10/1/2036		232		274

Pool # 889494, 5.50%, 1/1/2037		208		241

Pool # AD0249, 5.50%, 4/1/2037		2,050		2,366

Pool # 995024, 5.50%, 8/1/2037		312		362

Pool # 950302, 7.00%, 8/1/2037		532		641

Pool # 888890, 6.50%, 10/1/2037		658		784

Pool # 929005, 6.00%, 1/1/2038		503		594

Pool # 890268, 6.50%, 10/1/2038		1,136		1,320

Pool # 995149, 6.50%, 10/1/2038		714		833

Pool # AL7521, 5.00%, 6/1/2039		396		449

Pool # AC3237, 5.00%, 10/1/2039		172		197

Pool # AB2025, 5.00%, 1/1/2040		993		1,123

Pool # AD6431, 4.50%, 6/1/2040		214		239

Pool # AT6153, 4.00%, 2/1/2042		8,770		9,698

Pool # AK6740, 4.00%, 3/1/2042		2,045		2,283


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AL2171, 4.00%, 6/1/2042		2,633		2,938

Pool # AO9370, 3.50%, 7/1/2042		3,716		4,049

Pool # AO7185, 4.00%, 9/1/2042		1,028		1,133

Pool # AB9260, 3.50%, 5/1/2043		3,207		3,478

Pool # AS1334, 4.50%, 12/1/2043		3,363		3,770

Pool # BM3560, 4.00%, 11/1/2044		1,505		1,658

Pool # FM3582, 4.00%, 11/1/2044		2,085		2,323

Pool # AL7622, 4.00%, 5/1/2045		3,251		3,585

Pool # AL7590, 3.50%, 10/1/2045		890		964

Pool # BM5450, 5.00%, 2/1/2049		5,547		6,153

FNMA, 30 Year

Pool # 801357, 5.50%, 8/1/2034		59		64


FNMA, Other

Pool # AB7351, 2.50%, 12/1/2027		772		813

Pool # AQ8837, 2.50%, 12/1/2027		459		480

Pool # AQ9357, 2.50%, 1/1/2028		273		282

Pool # AQ9760, 2.50%, 2/1/2028		1,432		1,507

Pool # MA1360, 2.50%, 2/1/2028		1,689		1,766

Pool # MA1557, 3.00%, 8/1/2028		304		322

Pool # BK4847, 2.50%, 4/1/2033		405		416

Pool # MA0896, 4.00%, 11/1/2041		565		596

Pool # MA1188, 3.00%, 9/1/2042		2,510		2,593

Pool # MA1349, 3.00%, 2/1/2043		2,413		2,494

Pool # MA1371, 3.00%, 3/1/2043		799		826

Pool # MA1433, 3.00%, 5/1/2043		1,027		1,062


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # MA1510, 4.00%, 7/1/2043		1,214		1,332

Pool # AL6167, 3.50%, 1/1/2044		1,758		1,906

Pool # BM3994, 3.50%, 1/1/2044		2,323		2,519

Pool # AL6854, 3.00%, 2/1/2044		3,157		3,380

Pool # AL7826, 3.50%, 1/1/2046		2,641		2,832

Pool # MA2621, 3.50%, 5/1/2046		730		763

Pool # MA2744, 3.50%, 9/1/2046		1,456		1,519

Pool # BH8493, 3.00%, 11/1/2047		2,136		2,200

Pool # MA3197, 3.00%, 11/1/2047		1,064		1,096

Pool # BM5053, 3.00%, 4/1/2048		828		853

Pool # BM6073, 3.00%, 7/1/2049		2,143		2,227

Pool # MA3876, 3.00%, 12/1/2049		3,866		3,981

Pool # MA3913, 3.00%, 1/1/2050		1,914		1,970

Pool # CA5133, 3.00%, 2/1/2050		830		849

Pool # MA3971, 3.00%, 3/1/2050		5,969		6,144

Pool # MA3997, 3.00%, 4/1/2050		779		802

Pool # CA5979, 3.00%, 5/1/2050		759		782

Pool # MA4029, 3.00%, 5/1/2050		776		799

Pool # MA4057, 2.50%, 6/1/2050		1,220		1,252

Pool # CA6065, 3.00%, 6/1/2050		628		647

Pool # MA4058, 3.00%, 6/1/2050		575		592

Pool # MA4108, 2.50%, 8/1/2050		1,170		1,195

GNMA I, 15 Year

Pool # 782933, 6.50%, 10/15/2023		32		33

Pool # 783929, 4.00%, 5/15/2026		106		112


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

GNMA I, 30 Year

Pool # 780010, 9.50%, 3/15/2023		—	(g)		—	(g)

Pool # 403964, 9.00%, 9/15/2024		1			1

Pool # 780831, 9.50%, 12/15/2024		1			1

Pool # 780115, 8.50%, 4/15/2025		2			2

Pool # 780965, 9.50%, 12/15/2025		—	(g)		—	(g)

Pool # 423946, 9.00%, 10/15/2026		—	(g)		—	(g)

Pool # 687926, 6.50%, 9/15/2038		1,479			1,764

Pool # 785282, 4.25%, 10/15/2040		14,784			16,554

Pool # AE7700, 3.50%, 8/15/2043		720			769

GNMA II

Pool # 8938, ARM, 2.00%, 3/20/2022 (d)		1			1

Pool # 8046, ARM, 2.25%, 9/20/2022 (d)		3			3

Pool # 8746, ARM, 2.13%, 11/20/2025 (d)		18			18

Pool # 8790, ARM, 2.00%, 1/20/2026 (d)		8			8

Pool # 80053, ARM, 2.00%, 3/20/2027 (d)		1			1

Pool # 80152, ARM, 2.00%, 1/20/2028 (d)		—	(g)		–	(g)

GNMA II, 15 Year

Pool # 5136, 4.00%, 8/20/2026		78			83

Pool # 5208, 3.00%, 10/20/2026		1,248			1,306

Pool # 5277, 3.50%, 1/20/2027		245			261

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		3			3

Pool # 1989, 8.50%, 4/20/2025		4			4

Pool # 2285, 8.00%, 9/20/2026		6			6

Pool # 2499, 8.00%, 10/20/2027		2			2


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Pool # 2525, 8.00%, 12/20/2027		1		1

Pool # 2646, 7.50%, 9/20/2028		3		3

Pool # 4224, 7.00%, 8/20/2038		773		912

Pool # 4245, 6.00%, 9/20/2038		955		1,104

Pool # 4247, 7.00%, 9/20/2038		1,396		1,669

GNMA II, Other

Pool # MA6081, 3.50%, 8/20/2049		1,815		1,861

Total Mortgage-Backed Securities (Cost $322,852)				326,719


	SHARES (000)
Short-Term Investments — 9.4%

Investment Companies — 4.3%

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (h )(i) (Cost $514,025)		514,025	514,025


	PRINCIPAL AMOUNT ($000)
U.S. Treasury Obligations — 5.1%

U.S. Treasury Bills 0.04%, 9/16/2021 (j)		102,115	102,114

0.12%, 10/7/2021 (j)		31,600	31,599

0.05%, 12/23/2021 (j) (k)		12,118	12,116

0.08%, 6/16/2022 (j)		204,380	204,277

0.07%, 8/11/2022 (j)		259,835	259,661

Total U.S. Treasury Obligations (Cost $609,744)			609,767

Total Short-Term Investments (Cost $1,123,769)			1,123,792


Total Investments — 101.2% (Cost $12,066,250)			12,111,149
Liabilities in Excess of Other Assets — (1.2)%			(139,312	)

NET ASSETS — 100.0%			11,971,837

Percentages indicated are based on net assets.


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2021.
CIFC		Commercial Industrial Finance Corp.
CLO		Collateralized Loan Obligations
CSMC		Credit Suisse Mortgage Trust
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
LIBOR		London Interbank Offered Rate
PO		Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REMIC		Real Estate Mortgage Investment Conduit


SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Amount rounds to less than 0.1% of net assets.
(b)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(d)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(f)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(g)		Amount rounds to less than one thousand.
(h)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(i)		The rate shown is the current yield as of August 31, 2021.
(j)		The rate shown is the effective yield as of August 31, 2021.
(k)		All or a portion of this security is deposited with the broker as initial margin for futures contracts.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 38.7%

Aerospace & Defense — 0.6%

Boeing Co. (The) 4.88%, 5/1/2025		21,520		24,057

2.20%, 2/4/2026		13,285		13,335

BWX Technologies, Inc. 4.13%, 6/30/2028 (a)		1,116		1,147

4.13%, 4/15/2029 (a)		1,620		1,666

Howmet Aerospace, Inc. 5.13%, 10/1/2024		930		1,022

6.88%, 5/1/2025		1,255		1,483

5.90%, 2/1/2027		1,175		1,385

Moog, Inc. 4.25%, 12/15/2027 (a)		1,860		1,911

Raytheon Technologies Corp. 3.10%, 11/15/2021		100		100

Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027(a)		1,282		1,406

Spirit AeroSystems, Inc. 7.50%, 4/15/2025 (a)		1,400		1,482

TransDigm, Inc. 6.25%, 3/15/2026 (a)		4,545		4,772

Triumph Group, Inc. 8.88%, 6/1/2024 (a)		948		1,044

6.25%, 9/15/2024 (a)		500		506

7.75%, 8/15/2025		385		385


				55,701


Airlines — 0.1%

American Airlines, Inc. 5.50%, 4/20/2026 (a)		1,325		1,396

5.75%, 4/20/2029 (a)		1,149		1,241

Delta Air Lines, Inc. 4.50%, 10/20/2025 (a)		328		352

4.75%, 10/20/2028 (a)		2,180		2,430

United Airlines Holdings, Inc. 5.00%, 2/1/2024		200		207

4.88%, 1/15/2025		465		476

United Airlines, Inc. 4.38%, 4/15/2026 (a)		1,886		1,957


				8,059


Auto Components — 0.3%

Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a)		675		694

Adient US LLC 9.00%, 4/15/2025 (a)		450		491

Allison Transmission, Inc. 4.75%, 10/1/2027 (a)		500		524

5.88%, 6/1/2029 (a)		1,730		1,903

3.75%, 1/30/2031 (a)		1,352		1,350

American Axle & Manufacturing, Inc. 6.25%, 4/1/2025		1,771		1,830

6.25%, 3/15/2026		454		468


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Auto Components — continued

6.50%, 4/1/2027		2,745		2,883

5.00%, 10/1/2029		1,810		1,809

Clarios Global LP 6.75%, 5/15/2025 (a)		1,600		1,694

6.25%, 5/15/2026 (a)		2,422		2,552

Dana, Inc. 5.63%, 6/15/2028		1,220		1,311

Goodyear Tire & Rubber Co. (The) 5.00%, 7/15/2029 (a)		2,130		2,252

5.25%, 4/30/2031		1,909		2,040

5.25%, 7/15/2031 (a)		530		567

Icahn Enterprises LP 6.75%, 2/1/2024		365		372

4.75%, 9/15/2024		835		866

6.25%, 5/15/2026		620		653

5.25%, 5/15/2027		1,355		1,407

Toyota Industries Corp. (Japan) 3.11%, 3/12/2022 (a)		1,695		1,717


				27,383


Automobiles — 1.4%

BMW US Capital LLC (Germany) 3.80%, 4/6/2023 (a)		13,805		14,530

Daimler Finance North America LLC (Germany) 3.40%, 2/22/2022 (a)		10,540		10,697

2.55%, 8/15/2022 (a)		5,710		5,832

3.35%, 2/22/2023 (a)		150		156

1.75%, 3/10/2023 (a)		4,960		5,055

Ford Motor Co. 9.00%, 4/22/2025		400		489

Hyundai Capital America 3.00%, 6/20/2022 (a)		4,680		4,771

2.85%, 11/1/2022 (a)		13,345		13,693

2.38%, 2/10/2023 (a)		4,375		4,479

5.75%, 4/6/2023 (a)		6,455		6,959

1.80%, 10/15/2025 (a)		6,110		6,186

1.30%, 1/8/2026 (a)		3,280		3,245

3.00%, 2/10/2027 (a)		4,606		4,881

Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (a)		13,105		14,019

4.35%, 9/17/2027 (a)		7,500		8,345

Volkswagen Group of America Finance LLC (Germany) 2.90%, 5/13/2022 (a)		3,355		3,413

2.70%, 9/26/2022 (a)		7,290		7,468

4.25%, 11/13/2023 (a)		1,605		1,724

3.35%, 5/13/2025 (a)		5,465		5,885


				121,827


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — 10.6%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a)		10,978		12,277

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (b)		3,500		3,497

AIB Group plc (Ireland) 4.75%, 10/12/2023 (a)		7,200		7,776

(ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (b)		1,520		1,633

ANZ New Zealand Int’l Ltd. (New Zealand) 3.40%, 3/19/2024 (a)		560		600

ASB Bank Ltd. (New Zealand)

3.75%, 6/14/2023 (a)		1,750		1,854

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a)		9,310		10,524

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.29%), 2.95%, 7/22/2030 (a) (b)		27,660		28,902

Banco Bilbao Vizcaya Argentaria SA (Spain) 1.13%, 9/18/2025		17,400		17,308

Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a)		3,600		3,569

Banco Santander SA (Spain) 3.50%, 4/11/2022		7,000		7,135

3.85%, 4/12/2023		6,000		6,316

2.71%, 6/27/2024		11,800		12,467

2.75%, 5/28/2025		3,200		3,374

5.18%, 11/19/2025		5,400		6,183

1.85%, 3/25/2026		6,400		6,504

Bank of America Corp.

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (b)		4,820		4,871

(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (b)		6,000		6,097

(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (b)		9,280		9,582

(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (b)		7,825		8,059

(SOFR + 0.96%), 1.73%, 7/22/2027 (b)		11,829		11,987

Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a)		5,190		5,550

Banque Centrale de Tunisie International Bond (Tunisia) 5.75%, 1/30/2025 (c)		1,933		1,703

Banque Federative du Credit Mutuel SA (France) 3.75%, 7/20/2023 (a)		15,790		16,751

Barclays plc (United Kingdom) 3.68%, 1/10/2023		11,858		11,997


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 2/15/2023 (b)		6,115		6,231

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (b)		10,460		10,507

BBVA USA 2.88%, 6/29/2022		4,000		4,077

BNP Paribas SA (France) 3.38%, 1/9/2025 (a)		8,080		8,666

4.38%, 9/28/2025 (a)		8,158		9,024

(ICE LIBOR USD 3 Month + 1.11%), 2.82%, 11/19/2025 (a) (b)		7,170		7,532

(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b)		4,800		4,941

4.63%, 3/13/2027 (a)		7,060		7,995

BNZ International Funding Ltd. (New Zealand) 2.90%, 2/21/2022 (a)		750		760

Canadian Imperial Bank of Commerce (Canada)

(ICE LIBOR USD 3 Month + 0.79%), 2.61%, 7/22/2023 (b)		15,825		16,137

3.10%, 4/2/2024		6,786		7,209

Capital One Bank USA NA

(SOFR + 0.62%), 2.01%, 1/27/2023 (b)		7,490		7,540

Capital One NA 2.15%, 9/6/2022		2,040		2,075

CIT Group, Inc. 5.00%, 8/1/2023		225		242

4.75%, 2/16/2024		835		901

6.13%, 3/9/2028		2,385		2,926

Citigroup, Inc.

(SOFR + 0.87%), 2.31%, 11/4/2022 (b)		4,665		4,681

(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 1/24/2023 (b)		6,130		6,197

(ICE LIBOR USD 3 Month + 0.95%), 2.88%, 7/24/2023 (b)		12,210		12,476

(SOFR + 0.67%), 0.98%, 5/1/2025 (b)		9,185		9,226

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025(b) (d) (e)		680		746

(SOFR + 2.84%), 3.11%, 4/8/2026 (b)		12,730		13,614

(SOFR + 0.77%), 1.12%, 1/28/2027 (b)		8,730		8,653

Credit Agricole SA (France) 4.38%, 3/17/2025 (a)		17,360		19,052

(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b)		19,033		19,481

Credit Suisse Group Funding Guernsey Ltd. (Switzerland) 3.80%, 9/15/2022		5,000		5,177

Danske Bank A/S (Denmark)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (a) (b)		12,715		12,803


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Fifth Third Bancorp 2.60%, 6/15/2022		100		102

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.06%), 3.26%, 3/13/2023 (b)		4,435		4,504

(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (b)		5,130		5,296

(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (b)		4,000		4,289

(SOFR + 1.40%), 2.63%, 11/7/2025 (b)		2,730		2,858

(SOFR + 1.54%), 1.64%, 4/18/2026 (b)		16,255		16,459

(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (b)		5,995		6,659

Huntington Bancshares, Inc. 2.30%, 1/14/2022		289		291

ING Groep NV (Netherlands) 4.10%, 10/2/2023		7,455		8,001

3.55%, 4/9/2024		475		511

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b)		7,310		7,355

(SOFR + 1.01%), 1.73%, 4/1/2027 (b)		6,355		6,451

Lloyds Bank plc (United Kingdom) 2.25%, 8/14/2022		1,890		1,926

Lloyds Banking Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.25%), 2.86%, 3/17/2023 (b)		12,345		12,511

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.33%, 6/15/2023 (b)		4,545		4,577

(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (b)		9,830		10,100

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (b)		5,605		6,070

4.58%, 12/10/2025		10,000		11,265

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b)		4,130		4,302

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.46%, 3/2/2023		4,000		4,187

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b)		15,615		15,696

2.19%, 2/25/2025		8,175		8,503

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (b)		21,845		21,983


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a)		30,300		32,984

Mizuho Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 0.84%), 2.72%, 7/16/2023 (b)		6,040		6,164

(SOFR + 1.25%), 1.24%, 7/10/2024 (b)		15,000		15,186

(SOFR + 0.87%), 0.85%, 9/8/2024 (b)		5,665		5,691

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (b)		14,165		14,038

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.55%, 7/9/2027 (b)		9,600		9,662

MUFG Union Bank NA 3.15%, 4/1/2022		700		710

Natwest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 5/15/2023 (b)		9,370		9,569

3.88%, 9/12/2023		17,930		19,083

(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (b)		8,555		9,134

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (b)		12,030		12,104

Santander UK Group Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.08%), 3.37%, 1/5/2024 (b)		10,000		10,358

(ICE LIBOR USD 3 Month + 1.57%), 4.80%, 11/15/2024 (b)		13,415		14,578

(SOFR + 0.79%), 1.09%, 3/15/2025 (b)		11,070		11,102

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b)		9,295		9,339

Societe Generale SA (France) 3.25%, 1/12/2022 (a)		6,400		6,467

5.00%, 1/17/2024 (a)		7,592		8,241

2.63%, 10/16/2024 (a)		10,975		11,449

2.63%, 1/22/2025 (a)		5,515		5,754

4.25%, 4/14/2025 (a)		11,164		12,125

4.25%, 8/19/2026 (a)		5,000		5,492

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b)		7,480		7,440

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b)		14,215		14,243


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Standard Chartered plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.20%), 2.74%, 9/10/2022 (a) (b)		5,000		5,002

(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (a) (b)		20,555		20,853

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (b)		3,475		3,631

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (b)		6,870		6,808

Sumitomo Mitsui Financial Group, Inc. (Japan)

2.78%, 10/18/2022		65		67

4.44%, 4/2/2024 (a)		18,100		19,645

1.47%, 7/8/2025		19,345		19,625

UniCredit SpA (Italy) 3.75%, 4/12/2022 (a)		13,900		14,161

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (a) (b)		14,430		14,697

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (b)		5,410		5,415

Wells Fargo & Co. 3.75%, 1/24/2024		2,400		2,572

(SOFR + 1.09%), 2.41%, 10/30/2025 (b)		2,600		2,717

(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (b)		5,080		5,273

(SOFR + 2.00%), 2.19%, 4/30/2026 (b)		7,150		7,426

Westpac Banking Corp. (Australia)

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (b)		17,920		18,649


				976,735


Beverages — 0.1%

Constellation Brands, Inc. 4.25%, 5/1/2023		7,640		8,097

Keurig Dr Pepper, Inc. 4.06%, 5/25/2023		2,764		2,931


				11,028


Biotechnology — 0.2%

AbbVie, Inc. 3.45%, 3/15/2022		300		304

2.60%, 11/21/2024		17,445		18,381

Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)		3,150		3,071


				21,756


Building Products — 0.2%

Builders FirstSource, Inc. 6.75%, 6/1/2027 (a)		865		923

4.25%, 2/1/2032 (a)		1,553		1,596


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Building Products — continued

Griffon Corp. 5.75%, 3/1/2028		3,095		3,284

JELD-WEN, Inc. 4.88%, 12/15/2027 (a)		1,700		1,772

St Marys Cement, Inc. Canada (Brazil) 5.75%, 1/28/2027 (c)		4,400		5,119

Standard Industries, Inc. 5.00%, 2/15/2027 (a)		500		517

4.75%, 1/15/2028 (a)		3,305		3,431

3.38%, 1/15/2031 (a)		1,468		1,415

Summit Materials LLC 5.13%, 6/1/2025 (a)		260		264

5.25%, 1/15/2029 (a)		2,790		2,954


				21,275


Capital Markets — 3.2%

Credit Suisse Group AG (Switzerland) 3.57%, 1/9/2023 (a)		17,750		17,943

3.80%, 6/9/2023		1,000		1,054

(ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (a) (b)		250		265

(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b)		15,000		15,613

(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b)		6,840		7,018

(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (b)		14,765		14,526

Deutsche Bank AG (Germany)

Series D, 5.00%, 2/14/2022		4,950		5,050

3.95%, 2/27/2023		2,020		2,118

(SOFR + 2.16%), 2.22%, 9/18/2024 (b)		11,880		12,191

(SOFR + 1.87%), 2.13%, 11/24/2026 (b)		5,250		5,364

Goldman Sachs Group, Inc. (The)

Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (b) (d) (e)		755		761

0.52%, 3/8/2023		5,000		5,002

(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (b)		1,995		2,032

(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (b)		18,190		18,591

(SOFR + 0.57%), 0.67%, 3/8/2024 (b)		13,325		13,347

3.50%, 4/1/2025		7,750		8,391

LPL Holdings, Inc. 4.00%, 3/15/2029 (a)		955		975

Macquarie Group Ltd. (Australia)

(ICE LIBOR USD 3 Month + 1.02%), 3.19%, 11/28/2023 (a) (b)		5,005		5,166

(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (b)		5,680		5,662

(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (b)		10,310		10,354


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

Morgan Stanley 4.88%, 11/1/2022		14,000		14,717

(SOFR + 0.62%), 0.73%, 4/5/2024 (b)		17,970		18,025

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (b)		1,885		1,984

(SOFR + 1.99%), 2.19%, 4/28/2026 (b)		7,750		8,055

(SOFR + 0.86%), 1.51%, 7/20/2027 (b)		18,405		18,479

MSCI, Inc. 5.38%, 5/15/2027 (a)		800		854

3.63%, 9/1/2030 (a)		98		103

Nomura Holdings, Inc. (Japan) 1.85%, 7/16/2025		19,235		19,666

1.65%, 7/14/2026		17,065		17,081

UBS Group AG (Switzerland)

3.49%, 5/23/2023 (a)		4,054		4,145

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (b)		9,415		9,631

4.13%, 9/24/2025 (a)		7,852		8,743

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (a) (b)		2,865		2,859

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (b)		13,560		13,543


				289,308


Chemicals — 0.7%

Air Liquide Finance SA (France) 1.75%, 9/27/2021 (a)		200		200

Alpek SAB de CV (Mexico) 4.25%, 9/18/2029 (c)		4,100		4,510

Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)		3,425		3,596

3.38%, 2/15/2029 (a)		365		358

Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (c)		3,250		3,476

Celanese US Holdings LLC 3.50%, 5/8/2024		290		309

1.40%, 8/5/2026		6,110		6,099

CF Industries, Inc. 5.15%, 3/15/2034		875		1,093

4.95%, 6/1/2043		974		1,201

Chemours Co. (The) 5.38%, 5/15/2027		1,190		1,292

5.75%, 11/15/2028 (a)		2,925		3,101

CVR Partners LP 9.25%, 6/15/2023 (a)		75		75

Element Solutions, Inc. 3.88%, 9/1/2028 (a)		3,280		3,346

INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)		2,375		2,405

International Flavors & Fragrances, Inc. 1.23%, 10/1/2025 (a)		5,345		5,328


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — continued

MEGlobal Canada ULC (Kuwait) 5.00%, 5/18/2025 (c)		2,700		3,010

NOVA Chemicals Corp. (Canada) 5.00%, 5/1/2025 (a)		1,991		2,115

5.25%, 6/1/2027 (a)		3,200		3,419

4.25%, 5/15/2029 (a)		650		653

OCI NV (Netherlands) 4.63%, 10/15/2025 (a)		1,250		1,309

Olin Corp. 5.13%, 9/15/2027		925		961

5.63%, 8/1/2029		570		629

Rain CII Carbon LLC 7.25%, 4/1/2025 (a)		929		961

Sasol Financing USA LLC (South Africa) 4.38%, 9/18/2026		700		725

Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029		4,648		4,857

Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)		3,680		3,754

Valvoline, Inc. 4.25%, 2/15/2030 (a)		1,750		1,816

W.R. Grace & Co.-Conn. 4.88%, 6/15/2027 (a)		1,839		1,908

WR Grace Holdings LLC 5.63%, 8/15/2029 (a)		547		570


				63,076


Commercial Services & Supplies — 0.4%

ACCO Brands Corp. 4.25%, 3/15/2029 (a)		2,330		2,341

ADT Security Corp. (The) 4.13%, 6/15/2023		315		331

4.13%, 8/1/2029 (a)		1,479		1,477

Allied Universal Holdco LLC 6.63%, 7/15/2026 (a)		1,855		1,983

4.63%, 6/1/2028 (a)		2,200		2,208

Aramark Services, Inc. 5.00%, 2/1/2028 (a)		980		1,019

Brambles USA, Inc. (Australia) 4.13%, 10/23/2025 (a)		240		266

Brink’s Co. (The) 4.63%, 10/15/2027 (a)		1,595		1,675

Clean Harbors, Inc. 4.88%, 7/15/2027 (a)		475		497

Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)		3,055		3,063

9.50%, 11/1/2027 (a)		825		898

GFL Environmental, Inc. (Canada) 3.75%, 8/1/2025 (a)		1,965		2,024

4.00%, 8/1/2028 (a)		4,660		4,626

3.50%, 9/1/2028 (a)		1,215		1,212

Madison IAQ LLC 4.13%, 6/30/2028 (a)		3,045		3,062

Nielsen Finance LLC 5.63%, 10/1/2028 (a)		3,660		3,848

Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a)		6,065		6,561


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Commercial Services & Supplies — continued

Stericycle, Inc. 5.38%, 7/15/2024 (a)		2,100		2,153

3.88%, 1/15/2029 (a)		1,640		1,669


				40,913


Communications Equipment — 0.1%

CommScope Technologies LLC 6.00%, 6/15/2025 (a)		1,940		1,973

CommScope, Inc. 6.00%, 3/1/2026 (a)		6,755		7,087

8.25%, 3/1/2027 (a)		995		1,049

4.75%, 9/1/2029 (a)		1,631		1,652

Plantronics, Inc. 4.75%, 3/1/2029 (a)		2,225		2,130


				13,891


Construction & Engineering — 0.1%

AECOM 5.13%, 3/15/2027		755		843

Dycom Industries, Inc. 4.50%, 4/15/2029 (a)		2,600		2,672

MasTec, Inc. 4.50%, 8/15/2028 (a)		3,240		3,410

Weekley Homes LLC 4.88%, 9/15/2028 (a)		2,025		2,098


				9,023


Construction Materials — 0.0% (f)

Cemex SAB de CV (Mexico) 3.88%, 7/11/2031 (a)		3,188		3,280


Consumer Finance — 1.8%

AerCap Ireland Capital DAC (Ireland) 3.95%, 2/1/2022		4,726		4,779

3.30%, 1/23/2023		8,730		9,026

4.88%, 1/16/2024		10		11

3.15%, 2/15/2024		3,800		3,974

2.88%, 8/14/2024		4,350		4,537

3.50%, 1/15/2025		155		164

6.50%, 7/15/2025		7,350		8,576

1.75%, 1/30/2026		7,120		7,045

Ally Financial, Inc. 5.13%, 9/30/2024		730		819

5.75%, 11/20/2025		1,870		2,143

American Express Co. 2.75%, 5/20/2022		1,460		1,484

3.40%, 2/27/2023		265		276

(ICE LIBOR USD 3 Month + 0.75%), 0.87%, 8/3/2023(b)		35		35

3.70%, 8/3/2023		35		37

Avolon Holdings Funding Ltd. (Ireland) 3.63%, 5/1/2022(a)		5,500		5,597

5.50%, 1/15/2023(a)		3,000		3,172


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Consumer Finance — continued

5.25%, 5/15/2024 (a)		8,786		9,632

3.95%, 7/1/2024 (a)		4,239		4,522

5.50%, 1/15/2026 (a)		5,000		5,656

4.25%, 4/15/2026 (a)		3,010		3,264

Capital One Financial Corp. 2.60%, 5/11/2023		5,940		6,149

3.50%, 6/15/2023		2,195		2,313

3.90%, 1/29/2024		2,405		2,582

Ford Motor Credit Co. LLC 3.22%, 1/9/2022		1,250		1,258

3.37%, 11/17/2023		415		428

4.06%, 11/1/2024		1,275		1,348

5.13%, 6/16/2025		230		252

4.13%, 8/4/2025		3,015		3,219

3.38%, 11/13/2025		442		457

4.39%, 1/8/2026		1,710		1,834

4.54%, 8/1/2026		1,385		1,504

2.70%, 8/10/2026		519		524

4.27%, 1/9/2027		2,105		2,252

4.13%, 8/17/2027		8,545		9,144

5.11%, 5/3/2029		3,940		4,453

4.00%, 11/13/2030		535		564

General Motors Financial Co., Inc. 1.05%, 3/8/2024		5,395		5,429

Global Aircraft Leasing Co. Ltd. (Cayman Islands) 7.25% (PIK), 9/15/2024 (a) (g)		1,165		1,115

Navient Corp. 6.13%, 3/25/2024		1,960		2,124

5.00%, 3/15/2027		175		184

OneMain Finance Corp. 6.13%, 5/15/2022		740		763

7.13%, 3/15/2026		3,498		4,088

5.38%, 11/15/2029		1,195		1,306

Park Aerospace Holdings Ltd. (Ireland) 5.25%, 8/15/2022 (a)		10,460		10,873

4.50%, 3/15/2023 (a)		7,400		7,766

5.50%, 2/15/2024 (a)		10,597		11,628


				158,306


Containers & Packaging — 0.4%

Ardagh Packaging Finance plc 5.25%, 4/30/2025 (a)		400		419

4.13%, 8/15/2026 (a)		3,235		3,364

5.25%, 8/15/2027 (a)		2,205		2,282

Ball Corp. 5.25%, 7/1/2025		555		627

2.88%, 8/15/2030		650		652


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Containers & Packaging — continued

Berry Global, Inc. 4.88%, 7/15/2026 (a)		1,600		1,687

5.63%, 7/15/2027 (a)		1,000		1,053

Crown Americas LLC 4.75%, 2/1/2026		355		368

Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a)		1,700		1,812

Graphic Packaging International LLC 4.88%, 11/15/2022		936		977

1.51%, 4/15/2026 (a)		2,925		2,926

4.75%, 7/15/2027 (a)		350		379

Greif, Inc. 6.50%, 3/1/2027 (a)		2,695		2,830

LABL, Inc. 6.75%, 7/15/2026 (a)		3,100		3,255

Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a)		3,950		3,980

7.25%, 4/15/2025 (a)		815		806

OI European Group BV 4.00%, 3/15/2023 (a)		12		12

Owens-Brockway Glass Container, Inc. 5.88%, 8/15/2023 (a)		1,130		1,201

6.63%, 5/13/2027 (a)		2,205		2,378

Reynolds Group Issuer, Inc. 4.00%, 10/15/2027 (a)		3,860		3,858

Sealed Air Corp. 4.88%, 12/1/2022 (a)		955		988

5.13%, 12/1/2024 (a)		345		374

4.00%, 12/1/2027 (a)		1,675		1,797

Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (h)		1,965		2,070


				40,095


Distributors — 0.0% (f)

Wolverine Escrow LLC

9.00%, 11/15/2026 (a)		966		927


Diversified Consumer Services — 0.0% (f)

Service Corp. International 4.63%, 12/15/2027		1,275		1,348

3.38%, 8/15/2030		1,835		1,847


				3,195


Diversified Financial Services — 0.3%

CK Hutchison International 17 Ltd. (United Kingdom) 2.88%, 4/5/2022 (a)		9,735		9,870

Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (a)		2,165		2,198

3.85%, 6/15/2025 (a)		14,380		15,520


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Financial Services — continued

Sabre GLBL, Inc. 9.25%, 4/15/2025 (a)		1,805		2,081

7.38%, 9/1/2025 (a)		250		264


				29,933


Diversified Telecommunication Services — 1.2%

Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a)		425		467

6.00%, 2/15/2028 (a)		2,005		1,987

Altice France SA (France) 7.38%, 5/1/2026 (a)		767		796

5.13%, 7/15/2029 (a)		2,747		2,777

AT&T, Inc. 2.30%, 6/1/2027		3,080		3,213

CCO Holdings LLC 4.00%, 3/1/2023 (a)		200		201

5.75%, 2/15/2026 (a)		224		230

5.13%, 5/1/2027 (a)		9,398		9,820

5.00%, 2/1/2028 (a)		11,815		12,378

5.38%, 6/1/2029 (a)		1,905		2,081

4.75%, 3/1/2030 (a)		4,845		5,126

4.50%, 8/15/2030 (a)		3,495		3,652

4.25%, 2/1/2031 (a)		5,281		5,420

4.25%, 1/15/2034 (a)		1,725		1,741

Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a)		270		275

Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)		2,084		2,228

6.75%, 5/1/2029 (a)		2,425		2,595

Intelsat Jackson Holdings SA (Luxembourg) 5.50%, 8/1/2023 (i)		1,590		827

8.00%, 2/15/2024 (a) (h) (i)		767		796

Level 3 Financing, Inc. 5.38%, 5/1/2025		495		506

4.63%, 9/15/2027 (a)		1,755		1,810

Lumen Technologies, Inc.

Series T, 5.80%, 3/15/2022		545		557

Series W, 6.75%, 12/1/2023		245		270

Series Y, 7.50%, 4/1/2024		575		640

5.63%, 4/1/2025		975		1,055

5.13%, 12/15/2026 (a)		4,885		5,051

4.00%, 2/15/2027 (a)		8,519		8,742

5.38%, 6/15/2029 (a)		1,212		1,245

NBN Co. Ltd. (Australia) 1.45%, 5/5/2026 (a)		15,335		15,438

Sprint Capital Corp. 8.75%, 3/15/2032		2,850		4,365

Switch Ltd. 3.75%, 9/15/2028 (a)		2,257		2,296

4.13%, 6/15/2029 (a)		1,250		1,289


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Telecommunication Services — continued

Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033		2,380		2,796

Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a)		550		597

Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)		2,400		2,571

Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a)		2,480		2,452


				108,290


Electric Utilities — 1.8%

AES Panama Generation Holdings SRL (Panama) 4.38%, 5/31/2030 (a)		2,290		2,373

American Electric Power Co., Inc. Series I, 3.65%, 12/1/2021		145		146

American Transmission Systems, Inc. 5.25%, 1/15/2022 (a)		200		203

Ausgrid Finance Pty. Ltd. (Australia) 3.85%, 5/1/2023 (a)		6,087		6,336

Comision Federal de Electricidad (Mexico) 3.35%, 2/9/2031 (a)		4,618		4,606

Edison International 2.40%, 9/15/2022		6,000		6,100

2.95%, 3/15/2023		5,410		5,558

Enel Finance International NV (Italy) 1.38%, 7/12/2026 (a)		12,055		12,089

Eskom Holdings SOC Ltd. (South Africa) 6.75%, 8/6/2023 (c)		3,200		3,339

7.13%, 2/11/2025 (c)		1,000		1,056

Evergy, Inc. 2.45%, 9/15/2024		1,300		1,358

Exelon Corp. 3.50%, 6/1/2022		375		383

Fenix Power Peru SA (Peru) 4.32%, 9/20/2027 (c)		1,379		1,396

Greenko Investment Co. (India) 4.88%, 8/16/2023 (c)		1,155		1,168

Indiana Michigan Power Co. Series J, 3.20%, 3/15/2023		20		21

Instituto Costarricense de Electricidad (Costa Rica) 6.95%, 11/10/2021 (c)		3,300		3,312

ITC Holdings Corp. 2.70%, 11/15/2022		5,805		5,952

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (a)		230		256

NextEra Energy Capital Holdings, Inc. 2.90%, 4/1/2022		600		609

NRG Energy, Inc.

3.75%, 6/15/2024 (a)		10,148		10,824

2.00%, 12/2/2025 (a)		10,000		10,216


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

6.63%, 1/15/2027		2,016		2,091

5.75%, 1/15/2028		1,545		1,651

5.25%, 6/15/2029 (a)		1,085		1,178

3.63%, 2/15/2031 (a)		235		239

3.88%, 2/15/2032 (a)		860		872

Pacific Gas and Electric Co. (ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (b)		12,000		12,007

1.37%, 3/10/2023		16,985		16,934

PG&E Corp. 5.00%, 7/1/2028		3,190		3,166

5.25%, 7/1/2030		630		621

Southern California Edison Co. 1.10%, 4/1/2024		14,195		14,252

Vistra Operations Co. LLC 5.50%, 9/1/2026 (a)		2,964		3,049

3.70%, 1/30/2027 (a)		18,840		19,991

5.63%, 2/15/2027 (a)		2,215		2,307

5.00%, 7/31/2027 (a)		2,370		2,459

4.38%, 5/1/2029 (a)		402		408


				158,526


Electronic Equipment, Instruments & Components — 0.1%

CDW LLC 5.50%, 12/1/2024		500		553

4.25%, 4/1/2028		1,885		1,974

3.25%, 2/15/2029		410		421

Sensata Technologies, Inc. 4.38%, 2/15/2030 (a)		2,915		3,126


				6,074


Energy Equipment & Services — 0.1%

Archrock Partners LP 6.88%, 4/1/2027 (a)		555		577

Baker Hughes a GE Co. LLC 2.77%, 12/15/2022		5,251		5,408

Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)		3,810		3,903

Nabors Industries Ltd. 7.25%, 1/15/2026 (a)		745		693

Nabors Industries, Inc. 4.63%, 9/15/2021		58		58

Oceaneering International, Inc. 4.65%, 11/15/2024		2,205		2,246

Transocean Guardian Ltd. 5.88%, 1/15/2024 (a)		486		461

Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)		125		123

Transocean Proteus Ltd. 6.25%, 12/1/2024 (a)		165		163


				13,632


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Entertainment — 0.2%

Cinemark USA, Inc. 8.75%, 5/1/2025 (a)		270		293

5.25%, 7/15/2028 (a)		2,535		2,408

Live Nation Entertainment, Inc. 4.88%, 11/1/2024 (a)		1,415		1,434

6.50%, 5/15/2027 (a)		1,465		1,615

4.75%, 10/15/2027 (a)		3,015		3,064

Netflix, Inc. 4.88%, 4/15/2028		3,350		3,915

5.88%, 11/15/2028		3,835		4,756

4.88%, 6/15/2030 (a)		855		1,023

WMG Acquisition Corp. 3.88%, 7/15/2030 (a)		3,168		3,338

3.00%, 2/15/2031 (a)		1,030		1,015


				22,861


Equity Real Estate Investment Trusts (REITs) — 0.8%

American Tower Corp. 3.50%, 1/31/2023		5,305		5,533

3.00%, 6/15/2023		110		115

2.40%, 3/15/2025		2,640		2,758

2.75%, 1/15/2027		3,000		3,168

HAT Holdings I LLC 6.00%, 4/15/2025 (a)		720		759

Iron Mountain, Inc. 4.88%, 9/15/2027 (a)		2,805		2,921

MGM Growth Properties Operating Partnership LP 5.63%, 5/1/2024		1,500		1,635

4.63%, 6/15/2025 (a)		820		881

5.75%, 2/1/2027		1,065		1,226

MPT Operating Partnership LP 4.63%, 8/1/2029		1,360		1,454

Office Properties Income Trust 2.65%, 6/15/2026		11,480		11,716

2.40%, 2/1/2027		15,380		15,384

RHP Hotel Properties LP 4.75%, 10/15/2027		3,930		4,094

SBA Communications Corp. 4.88%, 9/1/2024		580		589

3.88%, 2/15/2027		650		676

3.13%, 2/1/2029 (a)		2,110		2,072

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)		6,294		6,757

VICI Properties LP 3.50%, 2/15/2025 (a)		2,335		2,394

4.25%, 12/1/2026 (a)		1,370		1,439

3.75%, 2/15/2027 (a)		1,430		1,487

4.13%, 8/15/2030 (a)		610		651


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

WEA Finance LLC (France) 2.88%, 1/15/2027 (a)		3,110		3,239

Welltower, Inc. 3.63%, 3/15/2024		2,325		2,483


				73,431


Food & Staples Retailing — 0.3%

Albertsons Cos., Inc. 3.50%, 2/15/2023 (a)		135		139

5.75%, 3/15/2025		28		29

3.25%, 3/15/2026 (a)		283		290

4.63%, 1/15/2027 (a)		12,530		13,267

5.88%, 2/15/2028 (a)		350		375

3.50%, 3/15/2029 (a)		283		286

4.88%, 2/15/2030 (a)		190		207

Performance Food Group, Inc. 5.50%, 10/15/2027 (a)		2,725		2,837

Rite Aid Corp. 8.00%, 11/15/2026 (a)		5,549		5,722

Sysco Corp. 5.65%, 4/1/2025		6,000		6,921


				30,073


Food Products — 0.5%

Bunge Ltd. Finance Corp. 3.00%, 9/25/2022		100		103

1.63%, 8/17/2025		10,338		10,501

Campbell Soup Co. 3.65%, 3/15/2023		1,018		1,064

Darling Ingredients, Inc. 5.25%, 4/15/2027 (a)		3,020		3,154

Kraft Heinz Foods Co. 4.38%, 6/1/2046		2,420		2,806

Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (a)		900		926

4.88%, 5/15/2028 (a)		2,740		3,047

Post Holdings, Inc. 5.75%, 3/1/2027 (a)		3,515		3,679

5.63%, 1/15/2028 (a)		595		626

4.63%, 4/15/2030 (a)		2,404		2,455

Viterra Finance BV (Netherlands) 2.00%, 4/21/2026 (a)		14,555		14,706


				43,067


Gas Utilities — 0.0% (f)

AmeriGas Partners LP 5.63%, 5/20/2024		580		634

5.50%, 5/20/2025		955		1,050

5.75%, 5/20/2027		785		883


				2,567


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Health Care Equipment & Supplies — 0.1%

Avantor Funding, Inc. 4.63%, 7/15/2028 (a)		3,445		3,643

Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a)		2,775		2,907

Hologic, Inc. 3.25%, 2/15/2029 (a)		3,455		3,540

Teleflex, Inc. 4.63%, 11/15/2027		970		1,016


				11,106


Health Care Providers & Services — 1.2%

Acadia Healthcare Co., Inc. 5.50%, 7/1/20280 (a)		4,285		4,520

5.00%, 4/15/2029 (a)		100		105

AdaptHealth LLC 4.63%, 8/1/2029 (a)		4,052		4,063

Aetna, Inc. 2.75%, 11/15/2022		223		228

2.80%, 6/15/2023		60		62

Anthem, Inc. 2.95%, 12/1/2022		75		77

Centene Corp. 4.25%, 12/15/2027		2,175		2,297

4.63%, 12/15/2029		10,840		11,890

3.38%, 2/15/2030		995		1,040

Community Health Systems, Inc. 5.63%, 3/15/2027 (a)		998		1,053

6.00%, 1/15/2029 (a)		1,809		1,929

4.75%, 2/15/2031 (a)		5,295		5,401

CVS Health Corp.

3.70%, 3/9/2023		2,134		2,234

DaVita, Inc. 4.63%, 6/1/2030 (a)		4,415		4,614

3.75%, 2/15/2031 (a)		2,128		2,103

Encompass Health Corp. 5.13%, 3/15/2023		90		90

4.50%, 2/1/2028		1,460		1,529

4.75%, 2/1/2030		3,385		3,610

HCA, Inc. 5.38%, 2/1/2025		200		225

5.88%, 2/15/2026		4,495		5,213

5.38%, 9/1/2026		3,035		3,501

5.63%, 9/1/2028		8,510		10,149

5.88%, 2/1/2029		7,450		9,034

Highmark, Inc. 1.45%, 5/10/2026 (a)		13,265		13,280

Laboratory Corp. of America Holdings 2.30%, 12/1/2024		2,774		2,897

Tenet Healthcare Corp. 6.75%, 6/15/2023		560		607

4.63%, 9/1/2024 (a)		2,030		2,078

7.50%, 4/1/2025 (a)		800		856

4.88%, 1/1/2026 (a)		7,971		8,269


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

6.25%, 2/1/2027 (a)		3,280		3,420

5.13%, 11/1/2027 (a)		1,720		1,810

4.25%, 6/1/2029 (a)		2,443		2,496


				110,680


Health Care Technology — 0.1%

IQVIA, Inc. 5.00%, 10/15/2026 (a)		1,050		1,082

5.00%, 5/15/2027 (a)		3,815		3,986


				5,068


Hotels, Restaurants & Leisure — 0.7%

1011778 BC ULC (Canada) 5.75%, 4/15/2025 (a)		810		854

3.88%, 1/15/2028 (a)		1,380		1,397

4.00%, 10/15/2030 (a)		1,550		1,541

Boyd Gaming Corp. 8.63%, 6/1/2025 (a)		1,000		1,085

4.75%, 12/1/2027		1,500		1,547

Boyne USA, Inc. 4.75%, 5/15/2029 (a)		2,065		2,132

Caesars Resort Collection LLC 5.75%, 7/1/2025 (a)		3,351		3,521

5.25%, 10/15/2025 (a)		755		766

Carnival Corp. 9.88%, 8/1/2027 (a)		3,235		3,728

4.00%, 8/1/2028 (a)		1,083		1,089

Cedar Fair LP 5.38%, 6/1/2024		260		262

5.38%, 4/15/2027		1,446		1,482

5.25%, 7/15/2029		1,835		1,880

Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a)		271		283

Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (c)		4,000		4,236

Hilton Domestic Operating Co., Inc. 5.38%, 5/1/2025 (a)		1,015		1,065

3.75%, 5/1/2029 (a)		1,135		1,158

4.00%, 5/1/2031 (a)		141		145

3.63%, 2/15/2032 (a)		675		670

Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024		321		333

Hilton Worldwide Finance LLC 4.88%, 4/1/2027		1,585		1,644

International Game Technology plc 6.50%, 2/15/2025 (a)		2,280		2,542

6.25%, 1/15/2027 (a)		440		502

KFC Holding Co. 4.75%, 6/1/2027 (a)		1,365		1,431


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Hotels, Restaurants & Leisure — continued

Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026		671		694

4.50%, 6/15/2029 (a)		1,990		2,010

MGM Resorts International 7.75%, 3/15/2022		1,450		1,499

5.75%, 6/15/2025		1,759		1,925

4.63%, 9/1/2026		33		35

5.50%, 4/15/2027		1,317		1,433

Royal Caribbean Cruises Ltd. 9.13%, 6/15/2023 (a)		1,785		1,945

11.50%, 6/1/2025 (a)		164		189

Scientific Games International, Inc. 5.00%, 10/15/2025 (a)		1,674		1,722

Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)		2,905		2,936

Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)		1,150		1,229

Station Casinos LLC 5.00%, 10/1/2025 (a)		2,983		3,017

Travel + Leisure Co. 3.90%, 3/1/2023		1,285		1,324

Vail Resorts, Inc. 6.25%, 5/15/2025 (a)		1,500		1,598

Wynn Las Vegas LLC 5.50%, 3/1/2025 (a)		2,725		2,889

Wynn Resorts Finance LLC 7.75%, 4/15/2025 (a)		1,460		1,551

5.13%, 10/1/2029 (a)		2,095		2,179

Yum! Brands, Inc. 7.75%, 4/1/2025 (a)		1,162		1,252

3.63%, 3/15/2031		352		362

4.63%, 1/31/2032		828		900


				65,982


Household Durables — 0.4%

Controladora Mabe SA de CV (Mexico) 5.60%, 10/23/2028 (c)		1,400		1,648

Lennar Corp. 4.88%, 12/15/2023		150		162

5.25%, 6/1/2026		2,965		3,425

4.75%, 11/29/2027		6,500		7,564

Meritage Homes Corp. 6.00%, 6/1/2025		455		522

Newell Brands, Inc. 4.70%, 4/1/2026 (h)		2,950		3,297

5.87%, 4/1/2036 (h)		825		1,033

PulteGroup, Inc.

5.50%, 3/1/2026		9,819		11,447

Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)		4,120		4,223


				33,321


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Household Products — 0.1%

Central Garden & Pet Co. 5.13%, 2/1/2028		1,010		1,072

4.13%, 10/15/2030		1,181		1,211

4.13%, 4/30/2031 (a)		537		545

Energizer Holdings, Inc. 4.75%, 6/15/2028 (a)		2,280		2,343

4.38%, 3/31/2029 (a)		3,065		3,074

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (a)		1,900		1,930

Spectrum Brands, Inc. 5.75%, 7/15/2025		70		72

5.00%, 10/1/2029 (a)		1,870		1,963

5.50%, 7/15/2030 (a)		867		931


				13,141


Independent Power and Renewable Electricity Producers — 0.2%

Calpine Corp. 5.25%, 6/1/2026 (a)		3,605		3,718

4.50%, 2/15/2028 (a)		2,740		2,822

5.13%, 3/15/2028 (a)		1,665		1,694

Exelon Generation Co. LLC 3.40%, 3/15/2022		380		385

3.25%, 6/1/2025		5,185		5,574

NTPC Ltd. (India) 4.25%, 2/26/2026 (c)		2,600		2,818

Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (c)		648		680


				17,691


Insurance — 0.6%

American International Group, Inc. 2.50%, 6/30/2025		2,705		2,844

Athene Global Funding 3.00%, 7/1/2022 (a)		5,165		5,280

1.45%, 1/8/2026 (a)		16,929		17,049

2.95%, 11/12/2026 (a)		7,071		7,579

Jackson National Life Global Funding 3.25%, 1/30/2024 (a)		9,500		10,095

Reliance Standard Life Global Funding II 2.63%, 7/22/2022 (a)		2,415		2,465

2.15%, 1/21/2023 (a)		4,505		4,605

3.85%, 9/19/2023 (a)		45		48

2.50%, 10/30/2024 (a)		6,190		6,454


				56,419


Internet & Direct Marketing Retail — 0.1%

B2W Digital Lux SARL (Brazil) 4.38%, 12/20/2030 (c)		4,300		4,300


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Internet & Direct Marketing Retail — continued

MercadoLibre, Inc. (Argentina) 2.38%, 1/14/2026		4,300		4,306

Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)		1,735		1,882


				10,488


IT Services — 0.2%

Arches Buyer, Inc. 4.25%, 6/1/2028 (a)		1,215		1,235

6.13%, 12/1/2028 (a)		2,890		2,983

Black Knight InfoServ LLC 3.63%, 9/1/2028 (a)		2,625		2,658

Exela Intermediate LLC 10.00%, 7/15/2023 (a)		104		78

Gartner, Inc. 4.50%, 7/1/2028 (a)		1,915		2,028

3.63%, 6/15/2029 (a)		1,675		1,724

3.75%, 10/1/2030 (a)		1,992		2,084

Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)		2,810		2,908

Square, Inc. 2.75%, 6/1/2026 (a)		1,349		1,388

3.50%, 6/1/2031 (a)		2,579		2,682

StoneCo Ltd. (Brazil) 3.95%, 6/16/2028 (a)		3,090		2,978


				22,746


Leisure Products — 0.0% (f)

Mattel, Inc. 3.38%, 4/1/2026 (a)		301		313

5.88%, 12/15/2027 (a)		750		818

3.75%, 4/1/2029 (a)		2,212		2,322


				3,453


Life Sciences Tools & Services — 0.0% (f)

Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a)		2,725		2,809


Machinery — 0.1%

Colfax Corp. 6.38%, 2/15/2026 (a)		793		834

RBS Global, Inc. 4.88%, 12/15/2025 (a)		2,885		2,942

TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)		1,550		1,638


				5,414


Media — 1.0%

Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a)		2,995		2,993

5.75%, 8/15/2029 (a)		1,563		1,605

AMC Networks, Inc. 5.00%, 4/1/2024		323		327


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Media — continued

Audacy Capital Corp. 6.50%, 5/1/2027 (a)		177		178

Clear Channel Outdoor Holdings, Inc. 7.75%, 4/15/2028 (a)		917		956

Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (a)		4,405		4,534

CSC Holdings LLC 5.88%, 9/15/2022		450		468

5.25%, 6/1/2024		935		1,009

5.50%, 4/15/2027 (a)		1,380		1,444

5.38%, 2/1/2028 (a)		1,815		1,910

6.50%, 2/1/2029 (a)		7,700		8,498

4.50%, 11/15/2031 (a)		1,316		1,325

Diamond Sports Group LLC 5.38%, 8/15/2026 (a)		1,077		715

DIRECTV Holdings LLC 5.88%, 8/15/2027 (a)		2,926		3,058

DISH DBS Corp. 5.88%, 7/15/2022		820		848

5.00%, 3/15/2023		550		574

5.88%, 11/15/2024		4,884		5,251

7.75%, 7/1/2026		7,070		8,099

Gray Television, Inc. 7.00%, 5/15/2027 (a)		385		413

iHeartCommunications, Inc. 6.38%, 5/1/2026		1,450		1,532

8.38%, 5/1/2027		2,195		2,331

5.25%, 8/15/2027 (a)		1,425		1,493

Lamar Media Corp. 3.75%, 2/15/2028		120		123

4.88%, 1/15/2029		2,005		2,133

4.00%, 2/15/2030		85		88

Meredith Corp. 6.50%, 7/1/2025 (a)		1,010		1,088

6.88%, 2/1/2026		3,062		3,173

News Corp. 3.88%, 5/15/2029 (a)		2,623		2,697

Nexstar Media, Inc. 5.63%, 7/15/2027 (a)		4,250		4,512

4.75%, 11/1/2028 (a)		1,406		1,462

Outfront Media Capital LLC 6.25%, 6/15/2025 (a)		2,212		2,349

5.00%, 8/15/2027 (a)		1,195		1,232

Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)		760		764

5.38%, 1/15/2031 (a)		1,450		1,435

Sinclair Television Group, Inc. 5.13%, 2/15/2027 (a)		1,645		1,598

4.13%, 12/1/2030 (a)		1,150		1,124

Sirius XM Radio, Inc. 5.38%, 7/15/2026 (a)		2,455		2,521


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Media — continued

3.13%, 9/1/2026 (a)		538		548

5.00%, 8/1/2027 (a)		1,375		1,442

4.00%, 7/15/2028 (a)		660		674

5.50%, 7/1/2029 (a)		6,225		6,817

4.13%, 7/1/2030 (a)		1,700		1,740

Summer BC Bidco B LLC 5.50%, 10/31/2026 (a)		800		811

TEGNA, Inc. 5.50%, 9/15/2024 (a)		209		211

4.63%, 3/15/2028		1,220		1,266

Univision Communications, Inc. 4.50%, 5/1/2029 (a)		2,220		2,252

UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a)		831		848

ViacomCBS, Inc. (ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (b)		550		627

Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a)		2,784		2,899


				95,995


Metals & Mining — 0.5%

Alcoa Nederland Holding BV 7.00%, 9/30/2026 (a)		1,560		1,630

5.50%, 12/15/2027 (a)		925		996

6.13%, 5/15/2028 (a)		2,370		2,577

Allegheny Technologies, Inc. 5.88%, 12/1/2027		2,895		3,036

Arconic Corp. 6.00%, 5/15/2025 (a)		1,554		1,645

6.13%, 2/15/2028 (a)		3,280		3,506

Cleveland-Cliffs, Inc. 6.75%, 3/15/2026 (a)		2,630		2,821

4.63%, 3/1/2029 (a)		1,200		1,263

Commercial Metals Co. 4.88%, 5/15/2023		895		943

Constellium SE 5.88%, 2/15/2026 (a)		2,199		2,257

CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (c)		1,000		1,097

FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a)		3,345		3,629

Freeport-McMoRan, Inc. 3.88%, 3/15/2023		200		207

5.00%, 9/1/2027		1,230		1,295

4.13%, 3/1/2028		407		426

4.38%, 8/1/2028		2,098		2,224

4.25%, 3/1/2030		2,810		3,034

5.40%, 11/14/2034		810		1,016

5.45%, 3/15/2043		905		1,157


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Metals & Mining — continued

Gerdau Trade, Inc. (Brazil) 4.88%, 10/24/2027 (c)		2,000		2,273

Glencore Funding LLC (Australia) 1.63%, 9/1/2025 (a)		5,443		5,505

Indonesia Asahan Aluminium Persero PT (Indonesia) 6.53%, 11/15/2028 (a)		500		614

Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a)		2,350		2,438

Novelis Corp. 3.25%, 11/15/2026 (a)		882		904

4.75%, 1/30/2030 (a)		2,780		2,961

3.88%, 8/15/2031 (a)		442		446


				49,900


Multiline Retail — 0.0% (f)

Nordstrom, Inc. 2.30%, 4/8/2024		2,070		2,084


Multi-Utilities — 0.2%

Dominion Energy, Inc. Series A, 3.30%, 3/15/2025		6,570		7,087

Empresas Publicas de Medellin ESP (Colombia) 4.25%, 7/18/2029 (c)		3,000		2,982

Public Service Enterprise Group, Inc. 2.65%, 11/15/2022		75		77

Puget Energy, Inc. 2.38%, 6/15/2028 (a)		4,515		4,574


				14,720


Oil, Gas & Consumable Fuels — 2.8%

Antero Midstream Partners LP 7.88%, 5/15/2026 (a)		1,995		2,197

5.38%, 6/15/2029 (a)		1,800		1,843

Antero Resources Corp. 5.00%, 3/1/2025		1,500		1,530

7.63%, 2/1/2029 (a)		1,875		2,063

Apache Corp. 4.63%, 11/15/2025		1,999		2,163

4.88%, 11/15/2027		699		764

APT Pipelines Ltd. (Australia) 4.20%, 3/23/2025 (a)		3,088		3,389

Baytex Energy Corp. (Canada) 5.63%, 6/1/2024 (a)		1,500		1,507

BP Capital Markets America, Inc. 3.19%, 4/6/2025		4,000		4,300

Buckeye Partners LP 4.15%, 7/1/2023		665		687

4.13%, 3/1/2025 (a)		285		295

4.13%, 12/1/2027		1,725		1,772

4.50%, 3/1/2028 (a)		800		829

Cenovus Energy, Inc. (Canada) 5.38%, 7/15/2025		1,573		1,785


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

Cheniere Corpus Christi Holdings LLC 5.13%, 6/30/2027		16,440		19,120

Cheniere Energy Partners LP 4.50%, 10/1/2029		2,775		2,990

4.00%, 3/1/2031 (a)		2,102		2,212

Cheniere Energy, Inc. 4.63%, 10/15/2028		1,780		1,878

Chesapeake Energy Corp. 5.88%, 2/1/2029 (a)		1,520		1,623

CNX Resources Corp. 7.25%, 3/14/2027 (a)		2,485		2,634

Comstock Resources, Inc. 6.75%, 3/1/2029 (a)		1,656		1,738

Continental Resources, Inc. 5.75%, 1/15/2031 (a)		1,945		2,370

DCP Midstream Operating LP 3.88%, 3/15/2023		785		807

5.38%, 7/15/2025		1,020		1,123

5.63%, 7/15/2027		1,295		1,471

Devon Energy Corp. 5.25%, 9/15/2024 (a)		2,083		2,312

4.50%, 1/15/2030 (a)		610		666

DT Midstream, Inc. 4.13%, 6/15/2029 (a)		2,996		3,071

4.38%, 6/15/2031 (a)		1,905		1,967

Ecopetrol SA (Colombia) 5.38%, 6/26/2026		1,600		1,759

Enbridge, Inc. (Canada) 2.90%, 7/15/2022		75		77

Endeavor Energy Resources LP 5.50%, 1/30/2026 (a)		2,388		2,472

Energean Israel Finance Ltd. (Israel) 4.50%, 3/30/2024 (c)		1,744		1,775

4.88%, 3/30/2026 (c)		1,363		1,396

Energy Transfer LP 4.05%, 3/15/2025		14,000		15,165

EnLink Midstream Partners LP 4.40%, 4/1/2024		1,085		1,128

4.15%, 6/1/2025		955		984

EQM Midstream Partners LP 4.75%, 7/15/2023		335		351

4.00%, 8/1/2024		1,065		1,089

6.00%, 7/1/2025 (a)		1,357		1,465

4.50%, 1/15/2029 (a)		1,377		1,398

4.75%, 1/15/2031 (a)		582		592

EQT Corp. 6.63%, 2/1/2025 (h)		1,710		1,960

3.90%, 10/1/2027		2,265		2,445

ESC Co. 6.63%, 5/1/2023 ‡ (i)		660		26

6.00%, 10/15/2024 ‡ (i)		1,080		44


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Genesis Energy LP 6.25%, 5/15/2026		1,923		1,851

7.75%, 2/1/2028		247		242

Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a)		20,959		21,573

Greenko Dutch BV (India) 3.85%, 3/29/2026 (a)		4,140		4,221

Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (c)		1,296		1,325

Gulfport Energy Operating Corp. 8.00%, 5/17/2026 (a)		514		547

Hess Midstream Operations LP 5.63%, 2/15/2026 (a)		3,560		3,697

Indigo Natural Resources LLC 5.38%, 2/1/2029 (a)		2,635		2,721

Leviathan Bond Ltd. (Israel) 6.13%, 6/30/2025 (c)		2,700		2,934

6.50%, 6/30/2027 (c)		1,850		2,038

Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (a)		16,355		16,482

Medco Platinum Road Pte. Ltd. (Indonesia) 6.75%, 1/30/2025 (c)		700		730

MEG Energy Corp. (Canada) 6.50%, 1/15/2025 (a)		803		829

7.13%, 2/1/2027 (a)		1,248		1,313

NGL Energy Operating LLC 7.50%, 2/1/2026 (a)		1,805		1,832

NuStar Logistics LP 5.75%, 10/1/2025		1,417		1,524

6.00%, 6/1/2026		1,085		1,174

5.63%, 4/28/2027		1,060		1,127

6.38%, 10/1/2030		192		212

Occidental Petroleum Corp. 8.00%, 7/15/2025		413		498

5.88%, 9/1/2025		4,817		5,419

8.50%, 7/15/2027		2,064		2,604

6.38%, 9/1/2028		192		228

8.88%, 7/15/2030		494		678

6.63%, 9/1/2030		1,807		2,254

6.13%, 1/1/2031		1,712		2,070

7.88%, 9/15/2031		850		1,129

PBF Holding Co. LLC 9.25%, 5/15/2025 (a)		1,312		1,267

6.00%, 2/15/2028		590		386

Peru LNG Srl (Peru) 5.38%, 3/22/2030 (c)		2,300		1,824

Petroleos Mexicanos (Mexico) 4.25%, 1/15/2025		3,000		3,047

4.50%, 1/23/2026		6,800		6,875


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

6.88%, 8/4/2026		3,950		4,304

6.49%, 1/23/2027		2,000		2,114

Range Resources Corp. 5.00%, 3/15/2023		748		767

4.88%, 5/15/2025		2,465		2,551

Sabine Pass Liquefaction LLC 5.88%, 6/30/2026		4,829		5,701

SM Energy Co. 6.63%, 1/15/2027		685		688

Southwestern Energy Co. 4.10%, 3/15/2022		2,560		2,566

7.50%, 4/1/2026		2,220		2,353

5.38%, 3/15/2030		1,508		1,569

Sunoco LP 5.50%, 2/15/2026		835		858

6.00%, 4/15/2027		870		909

Tallgrass Energy Partners LP 7.50%, 10/1/2025 (a)		2,285		2,462

5.50%, 1/15/2028 (a)		2,470		2,495

6.00%, 12/31/2030 (a)		1,290		1,312

Targa Resources Partners LP 5.88%, 4/15/2026		4,010		4,195

5.38%, 2/1/2027		1,715		1,777

6.88%, 1/15/2029		4,635		5,211

5.50%, 3/1/2030		605		667

4.88%, 2/1/2031		1,135		1,235

4.00%, 1/15/2032 (a)		483		506

TerraForm Power Operating LLC 4.25%, 1/31/2023 (a)		314		323

Trinidad Petroleum Holdings Ltd. (Trinidad and Tobago) 9.75%, 6/15/2026 (a)		2,200		2,467

Western Midstream Operating LP 4.00%, 7/1/2022		380		385

4.35%, 2/1/2025 (h)		450		473

5.30%, 2/1/2030 (h)		2,250		2,521


				250,292


Paper & Forest Products — 0.0% (f)

Fibria Overseas Finance Ltd. (Brazil) 5.50%, 1/17/2027		2,000		2,309


Personal Products — 0.1%

Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)		3,669		3,884

Natura Cosmeticos SA (Brazil) 4.13%, 5/3/2028 (a)		1,764		1,811

Prestige Brands, Inc. 5.13%, 1/15/2028 (a)		1,070		1,121


				6,816


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pharmaceuticals — 0.7%

Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)		5,395		5,813

8.50%, 1/31/2027 (a)		6,370		6,850

Bausch Health Cos., Inc.

6.13%, 4/15/2025 (a)		3,051		3,120

5.50%, 11/1/2025 (a)		4,155		4,250

5.75%, 8/15/2027 (a)		2,915		3,061

7.00%, 1/15/2028 (a)		1,562		1,619

5.00%, 1/30/2028 (a)		5,184		4,944

4.88%, 6/1/2028 (a)		5,408		5,556

5.00%, 2/15/2029 (a)		5,338		4,984

5.25%, 1/30/2030 (a)		228		214

5.25%, 2/15/2031 (a)		465		434

Elanco Animal Health, Inc. 5.90%, 8/28/2028 (h)		950		1,112

EMD Finance LLC (Germany) 2.95%, 3/19/2022 (a)		150		152

Jazz Securities DAC 4.38%, 1/15/2029 (a)		4,194		4,346

Organon & Co. 4.13%, 4/30/2028 (a)		1,924		1,985

5.13%, 4/30/2031 (a)		1,827		1,916

Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a)		3,560		3,605

Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023		9,068		9,469

Viatris, Inc. 1.65%, 6/22/2025 (a)		5,285		5,370


				68,800


Professional Services — 0.0% (f)

Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (a)		240		253


Real Estate Management & Development — 0.1%

Country Garden Holdings Co. Ltd. (China) 3.13%, 10/22/2025 (c)		2,700		2,683

Kennedy-Wilson, Inc. 4.75%, 3/1/2029		3,730		3,858

5.00%, 3/1/2031		468		487

RKPF Overseas Ltd. (China) 6.00%, 9/4/2025 (c)		2,700		2,747

Vanke Real Estate Hong Kong Co. Ltd. (China) 3.98%, 11/9/2027 (c)		2,600		2,796


				12,571


Road & Rail — 0.4%

Avis Budget Car Rental LLC 5.25%, 3/15/2025 (a)		874		889

5.75%, 7/15/2027 (a)		2,520		2,631


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Road & Rail — continued

Georgian Railway JSC (Georgia) 4.00%, 6/17/2028 (a)		4,449		4,514

Ryder System, Inc. 3.35%, 9/1/2025		4,405		4,761

Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (a)		22,800		23,003

Uber Technologies, Inc. 4.50%, 8/15/2029 (a)		1,304		1,283

XPO Logistics, Inc. 6.13%, 9/1/2023 (a)		318		318

6.25%, 5/1/2025 (a)		3,575		3,776


				41,175


Semiconductors & Semiconductor Equipment — 0.3%

ams AG (Austria) 7.00%, 7/31/2025 (a)		2,210		2,370

Analog Devices, Inc. 2.50%, 12/5/2021		75		75

Broadcom Corp. 3.88%, 1/15/2027		3,020		3,333

Entegris, Inc. 4.38%, 4/15/2028 (a)		2,310		2,443

Marvell Technology, Inc. 1.65%, 4/15/2026 (a)		9,090		9,151

Microchip Technology, Inc. 4.25%, 9/1/2025		1,413		1,490

ON Semiconductor Corp. 3.88%, 9/1/2028 (a)		3,495		3,672

Qorvo, Inc. 3.38%, 4/1/2031 (a)		1,320		1,406


				23,940


Software — 0.2%

CDK Global, Inc. 4.88%, 6/1/2027		1,235		1,297

Citrix Systems, Inc. 1.25%, 3/1/2026		4,275		4,227

Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)		2,224		2,263

Fair Isaac Corp. 4.00%, 6/15/2028 (a)		1,415		1,465

Nuance Communications, Inc. 5.63%, 12/15/2026		2,039		2,116

SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)		2,815		2,981


				14,349


Specialty Retail — 0.3%

Asbury Automotive Group, Inc. 4.50%, 3/1/2028		2,000		2,079

4.75%, 3/1/2030		813		858

Bath & Body Works, Inc. 5.63%, 10/15/2023		825		909

5.25%, 2/1/2028		1,170		1,310

7.50%, 6/15/2029		1,650		1,916

6.88%, 11/1/2035		1,190		1,528

Gap, Inc. (The) 8.88%, 5/15/2027 (a)		2,230		2,562

Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)		3,275		3,332


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Specialty Retail — continued

Lithia Motors, Inc. 4.63%, 12/15/2027 (a)		934		990

3.88%, 6/1/2029 (a)		2,100		2,202

Penske Automotive Group, Inc. 3.50%, 9/1/2025		1,320		1,366

3.75%, 6/15/2029		2,710		2,757

PetSmart, Inc. 4.75%, 2/15/2028 (a)		5,406		5,629

Staples, Inc. 7.50%, 4/15/2026 (a)		4,060		4,111

10.75%, 4/15/2027 (a)		830		809


				32,358


Technology Hardware, Storage & Peripherals — 0.1%

EMC Corp.

3.38%, 6/1/2023		1,989		2,054

NCR Corp. 5.75%, 9/1/2027 (a)		1,635		1,729

5.00%, 10/1/2028 (a)		1,929		1,997

5.13%, 4/15/2029 (a)		823		853

6.13%, 9/1/2029 (a)		960		1,046

Seagate HDD Cayman 3.13%, 7/15/2029 (a)		1,250		1,229

4.13%, 1/15/2031 (a)		1,250		1,320

Western Digital Corp. 4.75%, 2/15/2026		1,115		1,246

Xerox Corp. 4.38%, 3/15/2023 (h)		92		96


				11,570


Textiles, Apparel & Luxury Goods — 0.0% (f)

Hanesbrands, Inc. 4.63%, 5/15/2024 (a)		250		265

William Carter Co. (The) 5.50%, 5/15/2025 (a)		665		698

5.63%, 3/15/2027 (a)		980		1,025


				1,988


Thrifts & Mortgage Finance — 1.0%

BPCE SA (France)

(ICE LIBOR USD 3 Month + 1.24%), 1.36%, 9/12/2023 (a) (b)		250		255

5.70%, 10/22/2023 (a)		3,200		3,515

4.63%, 7/11/2024 (a)		17,000		18,590

5.15%, 7/21/2024 (a)		10,000		11,117

2.38%, 1/14/2025 (a)		3,855		4,006

(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b)		11,305		11,367

Ladder Capital Finance Holdings LLLP

REIT, 5.25%, 3/15/2022 (a)		210		211

Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a)		2,900		3,056


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Thrifts & Mortgage Finance — continued

Nationwide Building Society (United Kingdom)

(ICE LIBOR USD 3 Month + 1.18%), 3.62%, 4/26/2023 (a) (b)		5,375		5,486

(ICE LIBOR USD 3 Month + 1.06%), 3.77%, 3/8/2024 (a) (b)		1,000		1,046

3.90%, 7/21/2025 (a)		9,150		10,140

4.00%, 9/14/2026 (a)		13,890		15,376

Quicken Loans LLC 3.63%, 3/1/2029 (a)		3,180		3,248

3.88%, 3/1/2031 (a)		130		133

Radian Group, Inc. 4.50%, 10/1/2024		335		362

Rocket Mortgage LLC 5.25%, 1/15/2028 (a)		900		950


				88,858


Tobacco — 0.3%

BAT Capital Corp. (United Kingdom) 2.79%, 9/6/2024		9,615		10,104

4.70%, 4/2/2027		2,760		3,135

BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026		5,320		5,351

Imperial Brands Finance plc (United Kingdom) 3.75%, 7/21/2022 (a)		1,500		1,532

3.13%, 7/26/2024 (a)		8,410		8,867


				28,989


Trading Companies & Distributors — 0.9%

Air Lease Corp. 3.50%, 1/15/2022		1,500		1,517

3.75%, 2/1/2022		3,919		3,951

2.63%, 7/1/2022		485		493

2.25%, 1/15/2023		5,811		5,951

2.75%, 1/15/2023		9,004		9,268

3.88%, 7/3/2023		3,000		3,168

3.38%, 7/1/2025		3,960		4,239

2.88%, 1/15/2026		9,615		10,110

Aviation Capital Group LLC 5.50%, 12/15/2024 (a)		4,935		5,562

4.13%, 8/1/2025 (a)		3,300		3,577

4.88%, 10/1/2025 (a)		3,196		3,557

1.95%, 1/30/2026 (a)		11,525		11,588

Herc Holdings, Inc. 5.50%, 7/15/2027 (a)		3,040		3,205

Imola Merger Corp. 4.75%, 5/15/2029 (a)		4,717		4,882

United Rentals North America, Inc. 3.88%, 11/15/2027		500		525

4.88%, 1/15/2028		5,830		6,180

5.25%, 1/15/2030		1,695		1,858

3.88%, 2/15/2031		2,352		2,435


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Trading Companies & Distributors — continued

WESCO Distribution, Inc. 7.13%, 6/15/2025 (a)		3,362		3,616

7.25%, 6/15/2028 (a)		1,780		1,980


				87,662


Transportation Infrastructure — 0.1%

Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a)		7,105		7,586


Wireless Telecommunication Services — 0.4%

Hughes Satellite Systems Corp. 6.63%, 8/1/2026		3,210		3,647

Kenbourne Invest SA (Chile) 6.88%, 11/26/2024 (c)		2,100		2,221

4.70%, 1/22/2028 (a)		400		402

Sprint Corp. 7.25%, 9/15/2021		300		301

7.88%, 9/15/2023		1,025		1,161

7.13%, 6/15/2024		306		352

7.63%, 2/15/2025		546		646

7.63%, 3/1/2026		14,654		18,068

T-Mobile USA, Inc. 1.50%, 2/15/2026		5,062		5,095

2.25%, 2/15/2026		480		490

4.75%, 2/1/2028		6,713		7,168

Vodafone Group plc (United Kingdom) 4.13%, 5/30/2025		135		150


				39,701


Total Corporate Bonds (Cost $3,543,900)				3,594,466

U.S. Treasury Obligations — 17.3%

U.S. Treasury Notes 1.75%, 7/15/2022		2,620		2,658

0.13%, 1/31/2023		32,200		32,195

0.13%, 2/28/2023		21,720		21,712

0.13%, 5/31/2023		32,005		31,977

0.25%, 6/15/2023		1,980		1,982

0.13%, 6/30/2023		171,440		171,313

0.13%, 7/15/2023		32,095		32,059

0.13%, 8/15/2023		28,810		28,768

0.13%, 9/15/2023		44,830		44,739

0.25%, 11/15/2023		70,230		70,233

0.13%, 12/15/2023		164,061		163,523

0.13%, 1/15/2024		442,635		440,940

0.13%, 2/15/2024		77,265		76,948

0.38%, 4/15/2024		109,546		109,658

0.25%, 5/15/2024		151,800		151,391


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — continued

0.25%, 6/15/2024		28,240		28,152

0.38%, 8/15/2024		121,485		121,390

0.75%, 3/31/2026		7,470		7,479

0.75%, 4/30/2026		27,660		27,682

0.75%, 5/31/2026		19,823		19,828

0.88%, 6/30/2026		5,201		5,230

0.63%, 7/31/2026		8,730		8,670

1.25%, 5/31/2028		5,100		5,167

2.38%, 5/15/2029		985		1,074


Total U.S. Treasury Obligations (Cost $1,605,622)				1,604,768

Asset-Backed Securities — 16.1%

ACC Trust

Series 2019-2, Class A, 2.82%, 2/21/2023 (a)		1,238		1,242

Series 2020-A, Class A, 6.00%, 3/20/2023 (a)		5,804		5,920

Series 2020-A, Class B, 12.50%, 6/20/2025 (a)		5,000		5,331

Affirm Asset Securitization Trust

Series 2020-A, Class A, 2.10%, 2/18/2025 (a)		5,000		5,028

Series 2021-A, Class A, 0.88%, 8/15/2025 (a)		3,500		3,507

AIMCO CLO Ltd. (Cayman Islands)

Series 2019-10A, Class AR, 1.17%, 7/22/2032 (a) (j)		19,700		19,700

Aligned Data Centers Issuer LLC

Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a)		20,613		20,724

American Credit Acceptance Receivables Trust

Series 2019-4, Class B, 2.43%, 10/12/2023 (a)		40		40

Series 2018-1, Class D, 3.93%, 4/10/2024 (a)		165		166

Series 2018-2, Class E, 5.16%, 9/10/2024 (a)		750		778

Series 2018-3, Class E, 5.17%, 10/15/2024 (a)		750		775

Series 2019-1, Class D, 3.81%, 4/14/2025 (a)		7,000		7,173

Series 2019-1, Class E, 4.84%, 4/14/2025 (a)		5,500		5,786

Series 2019-3, Class D, 2.89%, 9/12/2025 (a)		913		933

Series 2019-3, Class E, 3.80%, 9/12/2025 (a)		577		600


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2019-4, Class C, 2.69%, 12/12/2025 (a)		4,010		4,047

Series 2019-4, Class D, 2.97%, 12/12/2025 (a)		2,980		3,068

Series 2019-4, Class E, 3.85%, 12/12/2025 (a)		3,340		3,480

Series 2020-1, Class C, 2.19%, 3/13/2026 (a)		14,630		14,782

Series 2020-1, Class E, 3.32%, 3/13/2026 (a)		5,000		5,174

Series 2020-3, Class C, 1.85%, 6/15/2026 (a)		3,150		3,201

Series 2020-3, Class E, 3.88%, 8/13/2026 (a)		5,700		5,932

Series 2020-4, Class C, 1.31%, 12/14/2026 (a)		3,510		3,543

Series 2020-4, Class D, 1.77%, 12/14/2026 (a)		5,527		5,619

Series 2021-1, Class D, 1.14%, 3/15/2027 (a)		5,614		5,619

Series 2021-1, Class E, 2.29%, 3/15/2027 (a)		8,040		8,046

Series 2021-2, Class D, 1.34%, 7/13/2027 (a)		8,400		8,431

AmeriCredit Automobile Receivables Trust

Series 2017-2, Class D, 3.42%, 4/18/2023		5,160		5,207

Series 2017-3, Class D, 3.18%, 7/18/2023		500		507

Series 2019-1, Class C, 3.36%, 2/18/2025		750		773

Series 2019-2, Class C, 2.74%, 4/18/2025		1,000		1,029

Series 2019-2, Class D, 2.99%, 6/18/2025		3,500		3,633

AMSR Trust

Series 2021-SFR2, Class C, 1.88%, 8/17/2026 ‡ (a)		2,853		2,854

Series 2021-SFR1, Class C, 2.35%, 6/17/2038 ‡ (a) (j)		581		587

Apidos CLO (Cayman Islands)

Series 2016-24A, Class A1AL, 1.08%, 10/20/2030 (a) (j)		18,000		17,996

Series 2019-31A, Class A1R, 1.23%, 4/15/2031 (a) (j)		10,908		10,905

Aqua Finance Trust

Series 2020-AA, Class A, 1.90%, 7/17/2046 (a)		2,873		2,906

Atlas Senior Loan Fund (Cayman Islands)

Series 2019-13A, Class A1NR, 1.22%, 4/22/2031 (a) (j)		14,050		14,046

Avis Budget Rental Car Funding AESOP LLC

Series 2020-1A, Class A, 2.33%, 8/20/2026 (a)		4,730		4,951


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Bain Capital Credit CLO Ltd. (Cayman Islands)

Series 2016-2A, Class ARR, 1.10%, 1/15/2029 (a) (j)		11,248		11,245

Series 2017-1A, Class A1R, 1.10%, 7/20/2030 (a) (j)		10,090		10,087

Ballyrock CLO Ltd. (Cayman Islands)

Series 2019-1A, Class A1R, 1.16%, 7/15/2032 (a) (j)		16,195		16,191

BCC Funding Corp. XVI LLC

Series 2019-1A, Class A2, 2.46%, 8/20/2024 (a)		6,297		6,369

Benefit Street Partners CLO Ltd. (Cayman Islands) Series 2013-IIA, Class A1R2, 1.00%, 7/15/2029 (a) (j)		8,313		8,311

Business Jet Securities LLC

Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		4,026		4,106

Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)		11,678		11,757

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) Series 2015-1A, Class AR3, 1.11%, 7/20/2031 (a) (j)		14,187		14,183

CarNow Auto Receivables Trust

Series 2021-1A, Class A, 0.97%, 10/15/2024 (a)		1,124		1,125

Series 2021-1A, Class C, 2.16%, 2/17/2026 (a)		2,154		2,164

CARS-DB4 LP

Series 2020-1A, Class A4, 3.19%, 2/15/2050 (a)		1,497		1,538

Series 2020-1A, Class B1, 4.17%, 2/15/2050 ‡ (a)		1,500		1,553

Carvana Auto Receivables Trust

Series 2019-4A, Class B, 2.53%, 7/15/2024 (a)		7,550		7,631

Series 2019-4A, Class D, 3.07%, 7/15/2025 (a)		1,821		1,887

Series 2020-N1A, Class D, 3.43%, 1/15/2026 (a)		4,200		4,367

Cascade MH Asset Trust

Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (j)		4,286		4,482

CF Hippolyta LLC

Series 2020-1, Class A1, 1.69%, 7/15/2060 (a)		5,038		5,134

Series 2020-1, Class B1, 2.28%, 7/15/2060 ‡ (a)		2,785		2,842

Series 2021-1A, Class B1, 1.98%, 3/15/2061 ‡ (a)		2,366		2,388


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


CIFC Funding Ltd. (Cayman Islands)

Series 2012-2RA, Class A1, 0.93%, 1/20/2028 (a) (j)		595		594

Series 2019-1A, Class AR, 1.23%, 4/20/2032 (a) (j)		11,690		11,706

CIG Auto Receivables Trust

Series 2019-1A, Class B, 3.59%, 8/15/2024 (a)		3,675		3,721

Series 2020-1A, Class B, 1.55%, 1/13/2025 (a)		9,500		9,571

Conn’s Receivables Funding LLC

Series 2019-B, Class B, 3.62%, 6/17/2024 ‡ (a)		220		220

Consumer Underlying Bond Securitization

Series 2018-1, Class A, 4.79%, 2/17/2026 (a)		3,142		3,179

CPS Auto Receivables Trust

Series 2016-B, Class D, 6.58%, 3/15/2022 (a)		268		268

Series 2019-B, Class C, 3.35%, 1/15/2024 (a)		2,528		2,541

Series 2020-A, Class B, 2.36%, 2/15/2024 (a)		1,776		1,783

Series 2018-D, Class E, 5.82%, 6/16/2025 (a)		12,215		12,880

Series 2019-D, Class D, 2.72%, 9/15/2025 (a)		2,100		2,138

Series 2019-D, Class E, 3.86%, 10/15/2025 (a)		13,013		13,405

Series 2020-A, Class C, 2.54%, 12/15/2025 (a)		1,690		1,717

Series 2020-A, Class D, 2.90%, 12/15/2025 (a)		5,500		5,651

Series 2020-A, Class E, 4.09%, 12/15/2025 (a)		2,000		2,064

Series 2020-C, Class D, 2.41%, 11/16/2026 (a)		3,500		3,607

Series 2021-A, Class D, 1.16%, 12/15/2026 (a)		2,875		2,871

Series 2020-C, Class E, 4.22%, 5/17/2027 (a)		13,600		14,234

Series 2021-C, Class C, 1.21%, 6/15/2027 (a)		10,720		10,719

CPS Auto Trust

Series 2016-D, Class D, 4.53%, 1/17/2023 (a)		4		4

Series 2018-C, Class D, 4.40%, 6/17/2024 (a)		500		510


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Credit Acceptance Auto Loan Trust

Series 2018-3A, Class B, 3.89%, 10/15/2027 (a)		50		50

Series 2018-3A, Class C, 4.04%, 12/15/2027 (a)		350		353

Series 2019-3A, Class A, 2.38%, 11/15/2028 (a)		3,210		3,259

Series 2019-3A, Class B, 2.86%, 1/16/2029 (a)		9,250		9,560

Series 2020-3A, Class B, 1.77%, 12/17/2029 (a)		8,600		8,751

Series 2021-2A, Class B, 1.26%, 4/15/2030 (a)		6,000		6,012

Series 2021-3A, Class A, 1.00%, 5/15/2030 (a)		5,319		5,341

Series 2021-2A, Class C, 1.64%, 6/17/2030 (a)		2,500		2,513

Series 2021-3A, Class B, 1.38%, 7/15/2030 (a)		3,400		3,404

Series 2021-3A, Class C, 1.63%, 9/16/2030 (a)		2,500		2,506

Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (a)		2,134		2,137

DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a)		9,333		9,369

Diamond Resorts Owner Trust Series 2021-1A, Class C, 2.70%, 11/21/2033‡ (a)		1,041		1,055

Drive Auto Receivables Trust

Series 2019-3, Class B, 2.65%, 2/15/2024		259		260

Series 2018-3, Class D, 4.30%, 9/16/2024		345		351

Series 2019-3, Class C, 2.90%, 8/15/2025		1,000		1,013

Series 2019-4, Class C, 2.51%, 11/17/2025		2,000		2,023

Series 2018-4, Class D, 4.09%, 1/15/2026		450		461

Series 2019-2, Class D, 3.69%, 8/17/2026		500		517

Series 2019-3, Class D, 3.18%, 10/15/2026		3,000		3,092

Series 2019-4, Class D, 2.70%, 2/16/2027		5,000		5,134

Dryden Senior Loan Fund (Cayman Islands) Series 2017-49A, Class AR, 1.08%, 7/18/2030 (a) (j)		16,250		16,270

DT Auto Owner Trust

Series 2019-4A, Class B, 2.36%, 1/16/2024 (a)		2,397		2,405

Series 2018-3A, Class D, 4.19%, 7/15/2024 (a)		800		817

Series 2019-4A, Class C, 2.73%, 7/15/2025 (a)		2,068		2,101

Series 2019-4A, Class D, 2.85%, 7/15/2025 (a)		10,000		10,328


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-1A, Class C, 2.29%, 11/17/2025 (a)		5,156		5,256

Series 2020-1A, Class D, 2.55%, 11/17/2025 (a)		3,735		3,846

Series 2020-3A, Class D, 1.84%, 6/15/2026 (a)		1,750		1,785

Series 2021-1A, Class D, 1.16%, 11/16/2026 (a)		1,567		1,567

Series 2021-2A, Class D, 1.50%, 2/16/2027 (a)		3,611		3,630

Series 2020-1A, Class E, 3.48%, 2/16/2027 (a)		10,000		10,392

Series 2021-3A, Class D, 1.31%, 5/17/2027 (a)		10,150		10,122

Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class A, 1.13%, 10/20/2034 (a) (j)		20,727		20,722

Exeter Automobile Receivables Trust

Series 2017-1A, Class D, 6.20%, 11/15/2023 (a)		1,544		1,554

Series 2019-3A, Class C, 2.79%, 5/15/2024 (a)		1,411		1,423

Series 2018-3A, Class E, 5.43%, 8/15/2024 (a)		3,385		3,584

Series 2019-4A, Class C, 2.44%, 9/16/2024 (a)		5,000		5,051

Series 2019-1A, Class D, 4.13%, 12/16/2024 (a)		3,850		3,963

Series 2020-1A, Class C, 2.49%, 1/15/2025 (a)		2,700		2,738

Series 2019-3A, Class D, 3.11%, 8/15/2025 (a)		620		642

Series 2019-4A, Class D, 2.58%, 9/15/2025 (a)		7,940		8,149

Series 2020-1A, Class D, 2.73%, 12/15/2025 (a)		1,440		1,486

Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)		5,000		5,331

Series 2019-3A, Class E, 4.00%, 8/17/2026 (a)		810		852

Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)		13,000		13,429

Series 2021-1A, Class D, 1.08%, 11/16/2026		5,391		5,396

Series 2021-2A, Class D, 1.40%, 4/15/2027		13,533		13,559

Fair Square Issuance Trust Series 2020-AA, Class A, 2.90%, 9/20/2024 (a)		2,750		2,772


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

First Investors Auto Owner Trust

Series 2019-2A, Class B, 2.47%, 1/15/2025 (a)		3,095		3,149

Series 2021-1A, Class C, 1.17%, 3/15/2027 (a)		2,250		2,256

Flagship Credit Auto Trust

Series 2017-4, Class D, 3.58%, 1/15/2024 (a)		300		307

Series 2019-4, Class B, 2.53%, 11/17/2025 (a)		3,360		3,435

Series 2019-4, Class C, 2.77%, 12/15/2025 (a)		2,480		2,562

Series 2020-1, Class C, 2.24%, 1/15/2026 (a)		3,460		3,553

Series 2021-1, Class D, 1.27%, 3/15/2027 (a)		4,361		4,331

Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a)		17,799		17,738

FREED ABS Trust

Series 2018-2, Class B, 4.61%, 10/20/2025 ‡ (a)		98		98

Series 2019-1, Class B, 3.87%, 6/18/2026 ‡ (a)		150		151

Series 2019-1, Class C, 5.39%, 6/18/2026 ‡ (a)		5,000		5,107

Series 2019-2, Class B, 3.19%, 11/18/2026 ‡ (a)		5,765		5,798

Series 2019-2, Class C, 4.86%, 11/18/2026 ‡ (a)		5,000		5,136

Series 2020-FP1, Class A, 2.52%, 3/18/2027 (a)		1,119		1,123

Series 2020-2CP, Class B, 5.50%, 6/18/2027 ‡ (a)		6,196		6,329

Series 2020-3FP, Class B, 4.18%, 9/20/2027 ‡ (a)		8,378		8,459

Series 2021-1CP, Class B, 1.41%, 3/20/2028 ‡ (a)		1,815		1,822

FRTKL

Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a)		9,762		9,756

Series 2021-SFR1, Class E1, 2.37%, 9/17/2038 (a)		3,750		3,753

Galaxy CLO Ltd. (Cayman Islands)

Series 2015-19A, Class A1RR, 1.08%, 7/24/2030 (a) (j)		18,750		18,745

Series 2013-15A, Class ARR, 1.10%, 10/15/2030 (a) (j)		15,398		15,407


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


GLS Auto Receivables Issuer Trust

Series 2019-4A, Class A, 2.47%, 11/15/2023 (a)		530		532

Series 2019-4A, Class B, 2.78%, 9/16/2024 (a)		1,500		1,525

Series 2019-3A, Class C, 2.96%, 5/15/2025 (a)		5,000		5,106

Series 2019-4A, Class C, 3.06%, 8/15/2025 (a)		1,200		1,240

Series 2020-4A, Class D, 1.64%, 10/15/2026 (a)		3,000		3,024

GLS Auto Receivables Trust

Series 2018-1A, Class B, 3.52%, 8/15/2023 (a)		191		192

Series 2018-2A, Class C, 4.17%, 4/15/2024 (a)		292		297

Goldentree Loan Management US CLO Ltd. (Cayman Islands) Series 2019-4A, Class AR, 1.24%, 4/24/2031 (a) (j)		2,582		2,581

Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a)		30,000		29,893

KREF Ltd. Series 2021-FL2, Class AS, 1.39%, 2/15/2039 (a) (j)		7,500		7,500

LCM LP (Cayman Islands) Series 14A, Class AR, 1.17%, 7/20/2031 (a) (j)		5,900		5,908

LCM Ltd. (Cayman Islands) Series 24A, Class AR, 1.11%, 3/20/2030 (a) (j)		8,359		8,359

Lendingpoint Asset Securitization Trust

Series 2021-A, Class A, 1.00%, 12/15/2028 (a)		21,722		21,729

Series 2021-A, Class B, 1.46%, 12/15/2028 (a)		4,708		4,713

LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (a)		12,000		12,120

Lendmark Funding Trust

Series 2019-2A, Class A, 2.78%, 4/20/2028 (a)		12,030		12,345

Series 2021-1A, Class B, 2.47%, 11/20/2031 ‡ (a)		2,750		2,796

Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (a)		6,885		6,955

Marlette Funding Trust

Series 2019-4A, Class A, 2.39%, 12/17/2029 (a)		1,431		1,436

Series 2020-1A, Class A, 2.24%, 3/15/2030 (a)		35		35


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (a)		737		781

Mercury Financial Credit Card Master Trust

Series 2021-1A, Class A, 1.54%, 3/20/2026 (a)		9,630		9,665

Series 2021-1A, Class B, 2.33%, 3/20/2026 (a)		2,000		1,987

Morgan Stanley ABS Capital I, Inc. Trust Series 2004-SD1, Class A, 0.88%, 8/25/2034 ‡ (j)		424		417

Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 1.10%, 7/20/2031 (a) (j)		26,548		26,541

Newark BSL CLO 2 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 1.10%, 7/25/2030 (a) (j)		7,636		7,634

NMEF Funding LLC

Series 2021-A, Class A2, 0.81%, 12/15/2027 (a)		8,813		8,816

Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (a)		2,416		2,416

NRZ Excess Spread-Collateralized Notes Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)		15,161		15,151

Octagon Investment Partners 30 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 1.13%, 3/17/2030 (a) (j)		11,795		11,798

Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a)		4,346		4,361

Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (a)		4,384		4,394

Pagaya AI Debt Selection Trust

Series 2021-1, Class A, 1.18%, 11/15/2027 (a)		10,951		10,979

Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a)		18,964		18,992

Palmer Square Loan Funding Ltd. (Cayman Islands)

Series 2020-1A, Class A1, 0.93%, 2/20/2028 (a) (j)		899		896

Series 2021-2A, Class A1, 0.93%, 5/20/2029 (a) (j)		18,321		18,315

Series 2021-3A, Class A1, 0.97%, 7/20/2029 (a) (j)		8,621		8,619

Prestige Auto Receivables Trust

Series 2017-1A, Class E, 4.89%, 5/15/2024 (a)		1,000		1,009

Series 2018-1A, Class C, 3.75%, 10/15/2024 (a)		423		426

Series 2018-1A, Class D, 4.14%, 10/15/2024 (a)		7,240		7,422


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


PRET LLC Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (h)		4,489		4,490

Pretium Mortgage Credit Partners I LLC Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (j)		7,443		7,444

Progress Residential

Series 2021-SFR1, Class C, 1.56%, 4/17/2038 ‡ (a)		3,000		2,974

Series 2021-SFR1, Class D, 1.81%, 4/17/2038 ‡ (a)		3,171		3,160

Progress Residential Trust

Series 2021-SFR6, Class C, 1.86%, 7/17/2038 ‡ (a)		6,250		6,250

Series 2021-SFR8, Class E1, 2.38%, 9/17/2038 (a)		22,500		22,515

Regional Management Issuance Trust

Series 2019-1, Class A, 3.05%, 11/15/2028 (a)		8,182		8,274

Series 2021-1, Class A, 1.68%, 3/17/2031 (a)		5,728		5,752

Santander Consumer Auto Receivables Trust Series 2021-AA, Class D, 1.57%, 1/15/2027 (a)		1,500		1,514

Santander Drive Auto Receivables Trust

Series 2017-3, Class E, 4.97%, 1/15/2025		5,000		5,063

Series 2018-1, Class E, 4.37%, 5/15/2025 (a)		5,000		5,085

Series 2018-4, Class D, 3.98%, 12/15/2025		500		513

Series 2020-3, Class C, 1.12%, 1/15/2026		1,970		1,984

Series 2020-2, Class D, 2.22%, 9/15/2026		6,175		6,308

Series 2021-1, Class D, 1.13%, 11/16/2026		6,475		6,508

Series 2020-4, Class D, 1.48%, 1/15/2027		1,785		1,811

Series 2021-2, Class D, 1.35%, 7/15/2027		13,000		13,099

Series 2021-3, Class D, 1.33%, 9/15/2027		24,000		24,079

Santander Revolving Auto Loan Trust

Series 2019-A, Class A, 2.51%, 1/26/2032 (a)		14,400		15,178

Series 2019-A, Class D, 3.45%, 1/26/2032 (a)		2,390		2,508

Sierra Timeshare Receivables Funding LLC

Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (a)		1,347		1,351

Series 2021-1A, Class C, 1.79%, 11/20/2037 ‡ (a)		1,197		1,204

Small Business Lending Trust Series 2020-A, Class A, 2.62%, 12/15/2026 (a)		736		738


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

SoFi Consumer Loan Program LLC

Series 2017-6, Class B, 3.52%, 11/25/2026 ‡ (a)		104		104

Series 2017-6, Class C, 4.02%, 11/25/2026 ‡ (a)		300		304

SoFi Professional Loan Program Trust Series 2020-A, Class A2FX, 2.54%, 5/15/2046 (a)		2,625		2,709

Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 1.19%, 1/20/2032 (a) (j)		19,340		19,335

Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 1.25%, 7/23/2033 (a) (j)		23,705		23,699

Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (a)		7,721		7,723

Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A, 2.56%, 11/25/2031 (a)		2,167		2,283

United Airlines Pass-Through Trust Series 2019-1, Class AA, 4.15%, 8/25/2031		287		313

United Auto Credit Securitization Trust

Series 2020-1, Class C, 2.15%, 2/10/2025 (a)		3,800		3,828

Series 2021-1, Class D, 1.14%, 6/10/2026 (a)		13,000		13,024

Upstart Pass-Through Trust

Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a)		4,642		4,640

Series 2021-ST7, Class A, 1.85%, 9/20/2029 (a)		6,950		6,969

Upstart Securitization Trust

Series 2020-1, Class A, 2.32%, 4/22/2030 (a)		2,608		2,622

Series 2020-3, Class A, 1.70%, 11/20/2030 (a)		4,663		4,688

Series 2021-1, Class A, 0.87%, 3/20/2031 (a)		1,612		1,616

Series 2021-2, Class A, 0.91%, 6/20/2031 (a)		3,595		3,599

Series 2021-2, Class B, 1.75%, 6/20/2031 ‡ (a)		6,943		6,962

US Auto Funding

Series 2021-1A, Class A, 0.79%, 7/15/2024 (a)		7,731		7,734

Series 2021-1A, Class B, 1.49%, 3/17/2025 (a)		2,686		2,685

USASF Receivables LLC Series 2020-1A, Class A, 2.47%, 8/15/2023 (a)		1,306		1,313

Vantage Data Centers Issuer LLC Series 2019-1A, Class A2, 3.19%, 7/15/2044 (a)		686		710


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


VCAT LLC Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (h)		13,317		13,305

Venture CLO Ltd. (Cayman Islands)

Series 2018-33A, Class A1LR, 1.19%, 7/15/2031 (a) (j)		13,530		13,527

Series 2019-36A, Class A1AR, 1.26%, 4/20/2032 (a) (j)		11,936		11,933

Veros Automobile Receivables Trust Series 2020-1, Class A, 1.67%, 9/15/2023 (a)		1,094		1,096

VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (h)		5,902		5,909

VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (h)		7,981		7,995

VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (h)		15,375		15,385

VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (h)		3,734		3,736

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (h)		12,718		12,765

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (h)		9,020		9,033

VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051‡ (a) (h)		9,674		9,694

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (h)		5,742		5,748

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (h)		6,757		6,762

VOLT XCVIII LLC

Series 2021-NPL7, Class A1, 2.12%, 4/25/2051 (a) (h)		3,388		3,398

Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a)		1,447		1,476

Westlake Automobile Receivables Trust

Series 2018-3A, Class D, 4.00%, 10/16/2023 (a)		493		499

Series 2019-2A, Class C, 2.84%, 7/15/2024 (a)		2,000		2,020

Series 2019-3A, Class C, 2.49%, 10/15/2024 (a)		4,500		4,561

Series 2019-3A, Class D, 2.72%, 11/15/2024 (a)		7,500		7,690

Series 2019-2A, Class D, 3.20%, 11/15/2024 (a)		1,000		1,027

Series 2019-3A, Class E, 3.59%, 3/17/2025 (a)		1,700		1,761

Series 2020-1A, Class D, 2.80%, 6/16/2025 (a)		4,000		4,125

Series 2020-3A, Class D, 1.65%, 2/17/2026 (a)		13,000		13,211


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2019-3A, Class F, 4.72%, 4/15/2026 (a)		2,000		2,051


Total Asset-Backed Securities (Cost $1,484,200)				1,492,402

Mortgage-Backed Securities — 9.3%

FHLMC Gold Pools, 15 Year

Pool # J24740, 3.00%, 7/1/2028		59		62

Pool # G15655, 3.00%, 10/1/2028		149		158

Pool # G18528, 3.50%, 10/1/2029		3,851		4,112

Pool # G15890, 3.00%, 7/1/2031		4,086		4,350

FHLMC Gold Pools, 20 Year Pool # C91649, 3.00%, 4/1/2033		45		48

FHLMC Gold Pools, 30 Year Pool # G61879, 4.50%, 3/1/2047		279		308

FHLMC UMBS, 10 Year Pool # RD5053, 2.00%, 3/1/2031		24,346		25,209

FHLMC UMBS, 15 Year

Pool # ZS8594, 3.00%, 1/1/2031		1,865		1,979

Pool # ZS8598, 3.00%, 2/1/2031		1,972		2,092

Pool # SB0268, 3.00%, 5/1/2033		575		610

Pool # SB0041, 3.50%, 7/1/2034		3,917		4,198

FHLMC UMBS, 30 Year

Pool # ZS9524, 3.50%, 1/1/2044		14,989		16,314

Pool # SD0057, 3.50%, 5/1/2048		6,237		6,785

FNMA UMBS, 15 Year

Pool # BM4202, 3.50%, 12/1/2029		6,125		6,565

Pool # AL8153, 3.00%, 3/1/2031		4,244		4,506

Pool # AL9552, 3.50%, 8/1/2031		400		433

Pool # AS9697, 3.50%, 5/1/2032		144		156

Pool # CA0778, 3.00%, 11/1/2032		261		279

Pool # MA4360, 2.00%, 6/1/2036		111,398		115,345

Pool # MA4403, 2.00%, 8/1/2036		169,537		175,545

Pool # MA4442, 2.00%, 9/1/2036 (k)		21,600		22,365

FNMA UMBS, 20 Year

Pool # MA1446, 3.50%, 5/1/2033		223		237

Pool # MA1527, 3.00%, 8/1/2033		139		149

Pool # MA1921, 3.50%, 6/1/2034		7,718		8,352

Pool # CA1791, 3.50%, 2/1/2038		13,468		14,597

FNMA UMBS, 30 Year

Pool # AB1463, 4.00%, 9/1/2040		7,640		8,462

Pool # AL7453, 4.00%, 2/1/2045		5,511		6,170

Pool # AS7039, 4.50%, 4/1/2046		1,193		1,313

Pool # FM1719, 4.50%, 11/1/2046		14,318		15,969

Pool # CA3519, 4.50%, 5/1/2049		26,433		29,518


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


FNMA, Other

Pool # BF0125, 4.00%, 7/1/2056		12,385		13,886

Pool # BF0144, 3.50%, 10/1/2056		6,981		7,627

Pool # BF0184, 4.00%, 2/1/2057		3,916		4,392

Pool # BF0263, 3.50%, 5/1/2058		7,165		7,877

Pool # BF0381, 4.00%, 4/1/2059		3,781		4,238

FNMA/FHLMC UMBS, Single Family, 15 Year

TBA, 1.50%, 9/25/2036 (k)		102,090		103,723

TBA, 2.00%, 9/25/2036 (k)		58,470		60,502

TBA, 2.50%, 9/25/2036 (k)		53,810		56,270

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 3.00%, 9/25/2051 (k)		16,580		17,344

GNMA II, 30 Year

Pool # MA7257, 3.50%, 3/20/2051		15,154		16,090

Pool # MA7419, 3.00%, 6/20/2051		31,278		32,772

Pool # MA7472, 2.50%, 7/20/2051		35,073		36,386

Pool # MA7535, 3.00%, 8/20/2051		23,420		24,577


Total Mortgage-Backed Securities (Cost $855,178)				861,870

Commercial Mortgage-Backed Securities — 7.6%

Ashford Hospitality Trust Series 2018-KEYS, Class B, 1.55%, 6/15/2035 ‡ (a) (j)		600		600

BANK Series 2020-BN30, Class XA, IO, 1.44%, 12/15/2053 (j)		84,409		8,057

Barclays Commercial Mortgage Trust Series 2019-C5, Class XA, IO, 1.02%, 11/15/2052 (j)		111,984		6,122

BHMS Series 2018-ATLS, Class A, 1.35%, 7/15/2035 (a) (j)		500		501

BX

Series 2021-MFM1, Class D, 1.60%, 1/15/2034 ‡ (a) (j)		2,000		2,001

Series 2021-MFM1, Class E, 2.35%, 1/15/2034 ‡ (a) (j)		2,546		2,547

BX Commercial Mortgage Trust

Series 2018-IND, Class E, 1.80%, 11/15/2035 ‡ (a) (j)		1,435		1,436

Series 2020-BXLP, Class C, 1.22%, 12/15/2036 ‡ (a) (j)		4,938		4,936

Series 2020-BXLP, Class D, 1.35%, 12/15/2036 ‡ (a) (j)		3,509		3,508

Series 2020-BXLP, Class F, 2.10%, 12/15/2036 ‡ (a)(j)		7,083		7,090

BX Trust Series 2019-CALM, Class E, 2.10%, 11/15/2032‡ (a) (j)		3,750		3,750

BXMT Ltd. (Cayman Islands)

Series 2021-FL4, Class A, 1.15%, 5/15/2038 (a) (j)		3,000		3,000


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-FL4, Class C, 1.85%, 5/15/2038 ‡ (a) (j)		1,750		1,750

CAMB Commercial Mortgage Trust Series 2019-LIFE, Class E, 2.25%, 12/15/2037 ‡ (a) (j)		200		200

Citigroup Commercial Mortgage Trust

Series 2019-SMRT, Class D, 4.90%, 1/10/2036 ‡ (a) (j)		400		425

Series 2019-PRM, Class C, 3.90%, 5/10/2036 ‡ (a)		1,750		1,849

Series 2019-PRM, Class D, 4.35%, 5/10/2036 ‡ (a)		2,144		2,224

Series 2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (a) (j)		1,000		1,028

Series 2014-GC19, Class D, 5.26%, 3/10/2047 ‡ (a) (j)		9,750		10,391

Series 2014-GC23, Class C, 4.58%, 7/10/2047 (j)		10,000		10,660

Series 2015-GC27, Class B, 3.77%, 2/10/2048 ‡		3,900		4,113

Series 2015-GC27, Class C, 4.57%, 2/10/2048‡ (j)		10,337		10,908

Series 2015-GC29, Class C, 4.29%, 4/10/2048‡ (j)		3,600		3,868

Series 2015-GC31, Class C, 4.19%, 6/10/2048‡ (j)		530		555

Series 2015-P1, Class D, 3.23%, 9/15/2048 ‡ (a)		2,000		1,911

Series 2016-C1, Class D, 5.11%, 5/10/2049 ‡ (a) (j)		6,116		6,293

Series 2015-GC33, Class B, 4.73%, 9/10/2058 (j)		3,500		3,844

COMM Mortgage Trust

Series 2014-UBS5, Class C, 4.75%, 9/10/2047 ‡ (j)		2,750		2,874

Series 2015-CR26, Class B, 4.69%, 10/10/2048 ‡ (j)		2,550		2,807

Series 2015-PC1, Class B, 4.46%, 7/10/2050 ‡ (j)		8,150		8,880

Commercial Mortgage Trust

Series 2015-3BP, Class B, 3.35%, 2/10/2035 ‡ (a) (j)		7,185		7,627

Series 2020-CBM, Class D, 3.75%, 2/10/2037 ‡ (a) (j)		10,000		10,219

Series 2020-CBM, Class E, 3.75%, 2/10/2037 ‡ (a) (j)		10,000		9,993

Series 2014-CR14, Class B, 4.76%, 2/10/2047 ‡ (j)		4,523		4,843

Series 2014-UBS2, Class D, 5.17%, 3/10/2047 ‡ (a) (j)		1,500		1,504


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2014-UBS3, Class B, 4.31%, 6/10/2047 ‡		2,000		2,136

Series 2014-CR19, Class D, 4.86%, 8/10/2047 ‡ (a) (j)		3,291		3,282

Series 2014-CR20, Class D, 3.22%, 11/10/2047 ‡ (a)		4,000		3,422

Series 2014-CR20, Class C, 4.65%, 11/10/2047 ‡ (j)		1,000		1,037

Series 2014-CR21, Class D, 4.07%, 12/10/2047 ‡ (a) (j)		4,000		3,307

Series 2015-CR23, Class D, 4.43%, 5/10/2048 ‡ (j)		2,000		2,025

Series 2015-LC21, Class D, 4.48%, 7/10/2048 ‡ (j)		1,000		1,021

Series 2015-CR25, Class B, 4.68%, 8/10/2048 (j)		5,899		6,493

Series 2019-GC44, Class XA, IO, 0.77%, 8/15/2057 (j)		66,547		2,669

Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class B, 1.33%, 5/15/2036 ‡ (a) (j)		1,200		1,205

CSAIL Commercial Mortgage Trust

Series 2015-C4, Class E, 3.71%, 11/15/2048 (j)		2,973		2,948

Series 2015-C2, Class B, 4.21%, 6/15/2057 ‡ (j)		3,250		3,417

FHLMC Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 1.85%, 7/25/2041 (a) (j)		10,000		10,010

FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 2.05%, 1/25/2051 (a) (j)		948		953

FHLMC, Multi-Family Structured Pass-Through Certificates

Series K018, Class X1, IO, 1.37%, 1/25/2022 (j)		4,387		1

Series K027, Class X1, IO, 0.84%, 1/25/2023 (j)		10,249		82

Series K034, Class X1, IO, 0.19%, 7/25/2023 (j)		158,712		235

Series K033, Class X1, IO, 0.40%, 7/25/2023 (j)		50,003		247

Series KC03, Class X1, IO, 0.63%, 11/25/2024 (j)		58,422		775

Series KC06, Class X1, IO, 1.03%, 6/25/2026 (j)		37,996		1,059

Series K734, Class X3, IO, 2.24%, 7/25/2026 (j)		40,000		3,601

Series KC05, Class X1, IO, 1.34%, 6/25/2027 (j)		28,888		1,384


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series K068, Class X1, IO, 0.56%, 8/25/2027 (j)		241,955		5,823

Series K739, Class X1, IO, 1.39%, 9/25/2027 (j)		67,000		4,373

Series K078, Class X1, IO, 0.23%, 6/25/2028 (j)		49,691		411

Series K096, Class X3, IO, 2.11%, 7/25/2029 (j)		48,000		6,626

Series K090, Class X3, IO, 2.39%, 10/25/2029 (j)		32,598		5,062

Series K112, Class X1, IO, 1.54%, 5/25/2030 (j)		24,977		2,767

Series K114, Class X1, IO, 1.21%, 6/25/2030 (j)		66,398		5,795

Series K723, Class X3, IO, 1.98%, 10/25/2034 (j)		7,410		284

Series K-1516, Class X1, IO, 1.63%, 5/25/2035 (j)		34,905		5,845

Series Q012, Class X, IO, 4.20%, 9/25/2035 (j)		14,208		3,503

Series K025, Class X3, IO, 1.81%, 11/25/2040 (j)		3,360		65

Series K028, Class X3, IO, 1.72%, 6/25/2041 (j)		145,000		3,850

Series K721, Class X3, IO, 1.34%, 11/25/2042 (j)		6,071		81

Series K054, Class X3, IO, 1.65%, 4/25/2043 (j)		3,700		238

Series K068, Class X3, IO, 2.13%, 10/25/2044 (j)		3,368		372

Series K059, Class X3, IO, 1.98%, 11/25/2044 (j)		5,700		507

Series K061, Class X3, IO, 2.04%, 12/25/2044 (j)		2,775		261

Series K070, Class X3, IO, 2.11%, 12/25/2044 (j)		16,537		1,888

Series K072, Class X3, IO, 2.21%, 12/25/2045 (j)		1,200		144

Series K087, Class X3, IO, 2.39%, 1/25/2046 (j)		14,050		2,078

Series K097, Class X3, IO, 2.09%, 9/25/2046 (j)		20,477		2,872

Series K082, Class X3, IO, 2.29%, 10/25/2046 (j)		8,700		1,194

Series K103, Class X3, IO, 1.91%, 12/25/2046 (j)		44,892		5,872

Series K088, Class X3, IO, 2.42%, 2/25/2047 (j)		10,500		1,634


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series K735, Class X3, IO, 2.23%, 5/25/2047 (j)		40,532		3,697

Series K093, Class X3, IO, 2.28%, 5/25/2047 (j)		50,000		7,424

Series K092, Class X3, IO, 2.32%, 5/25/2047 (j)		39,434		5,986

Series K095, Class X3, IO, 2.17%, 8/25/2047 (j)		25,000		3,608

Series K736, Class X3, IO, 2.08%, 9/25/2047 (j)		50,000		4,401

Series K099, Class X3, IO, 2.02%, 10/25/2047 (j)		13,745		1,857

Series K111, Class X3, IO, 3.29%, 4/25/2048 (j)		15,644		3,736

Series K110, Class X3, IO, 3.52%, 6/25/2048 (j)		15,544		3,905

Series K112, Class X3, IO, 3.10%, 7/25/2048 (j)		8,600		1,941

Series K114, Class X3, IO, 2.83%, 8/25/2048 (j)		10,750		2,178

Series K119, Class X3, IO, 2.82%, 9/25/2048 (j)		24,710		5,226

Series K115, Class X3, IO, 3.06%, 9/25/2048 (j)		21,273		4,696

Series K125, Class X3, IO, 2.75%, 2/25/2049 (j)		15,690		3,288

Series K104, Class X3, IO, 1.96%, 2/25/2052 (j)		25,300		3,487

Series K105, Class X3, IO, 2.04%, 3/25/2053 (j)		40,058		5,727

FNMA ACES

Series 2020-M10, Class X1, IO, 1.92%, 12/25/2030 (j)		49,568		6,556

Series 2019-M21, Class X2, IO, 1.46%, 2/25/2031 (j)		34,451		3,450

FNMA, Multi-Family REMIC Trust Series 2020-M37, Class X, IO, 1.20%, 4/25/2032 (j)		81,127		6,225

FREMF Series 2018-KF46, Class B, 2.04%, 3/25/2028 (a) (j)		262		255

FREMF Mortgage Trust

Series 2017-K727, Class C, 3.87%, 7/25/2024 (a) (j)		2,000		2,111

Series 2017-KF36, Class B, 2.74%, 8/25/2024 (a) (j)		2,837		2,837

Series 2017-KF34, Class B, 2.79%, 8/25/2024 (a) (j)		3,625		3,625

Series 2017-KF38, Class B, 2.59%, 9/25/2024 (a) (j)		105		105


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2017-KF39, Class B, 2.59%, 11/25/2024 (a) (j)		138		137

Series 2018-KF42, Class B, 2.29%, 12/25/2024 (a) (j)		1,413		1,406

Series 2018-KF53, Class B, 2.14%, 10/25/2025 (j)		686		682

Series 2019-KC03, Class B, 4.51%, 1/25/2026 (a) (j)		5,000		5,174

Series 2019-KF60, Class B, 2.44%, 2/25/2026 (a) (j)		2,923		2,926

Series 2019-KF62, Class B, 2.14%, 4/25/2026 (a) (j)		620		615

Series 2019-KC06, Class B, 3.95%, 9/25/2026 (a) (j)		7,600		7,445

Series 2018-KSW4, Class B, 2.54%, 10/25/2028 (j)		7,243		7,243

Series 2012-K17, Class B, 4.58%, 12/25/2044 (a) (j)		280		281

Series 2012-K18, Class B, 4.32%, 1/25/2045 (a) (j)		385		390

Series 2012-K19, Class B, 4.15%, 5/25/2045 (a) (j)		300		305

Series 2012-K21, Class B, 4.06%, 7/25/2045 (a) (j)		530		543

Series 2013-K26, Class B, 3.72%, 12/25/2045 (a) (j)		6,500		6,722

Series 2013-K31, Class C, 3.75%, 7/25/2046 (a) (j)		3,000		3,124

Series 2013-K34, Class B, 3.85%, 9/25/2046 (a) (j)		1,000		1,054

Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (j)		2,000		2,150

Series 2015-K49, Class B, 3.85%, 10/25/2048 (a) (j)		5,282		5,719

Series 2015-K51, Class C, 4.09%, 10/25/2048 (a) (j)		4,955		5,293

Series 2017-K726, Class C, 4.12%, 7/25/2049 (a) (j)		2,300		2,437

Series 2017-K729, Class B, 3.80%, 11/25/2049 (a) (j)		200		215

Series 2017-K729, Class C, 3.80%, 11/25/2049 (a) (j)		3,000		3,173

Series 2017-K62, Class C, 4.00%, 1/25/2050 (a) (j)		5,145		5,548

Series 2018-K730, Class C, 3.92%, 2/25/2050 (a) (j)		3,000		3,189

Series 2017-K728, Class B, 3.76%, 11/25/2050 (a) (j)		1,825		1,951


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


GNMA

Series 2015-115, IO, 0.48%, 7/16/2057 (j)		2,055		59

Series 2017-54, IO, 0.58%, 12/16/2058 (j)		12,996		640

Series 2017-23, IO, 0.62%, 5/16/2059 (j)		1,900		88

GS Mortgage Securities Corp. II Series 2013-GC10, Class C, 4.29%, 2/10/2046 ‡ (a) (j)		3,291		3,384

GS Mortgage Securities Trust

Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (a)		2,000		1,812

Series 2013-GC12, Class D, 4.59%, 6/10/2046 ‡ (a) (j)		2,000		1,989

Series 2015-GC34, Class D, 2.98%, 10/10/2048 ‡		1,500		1,362

Series 2016-GS3, Class C, 4.13%, 10/10/2049 ‡ (j)		4,085		4,311

Series 2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (a) (j)		2,250		2,207

Series 2015-GC30, Class C, 4.21%, 5/10/2050 (j)		3,695		3,925

Series 2020-GSA2, Class XA, IO, 1.85%, 12/12/2053 (a) (j)		39,874		5,054

Independence Plaza Trust

Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)		10,950		11,582

Series 2018-INDP, Class C, 4.16%, 7/10/2035 ‡ (a)		17,650		18,495

JPMBB Commercial Mortgage Securities Trust

Series 2014-C19, Class C, 4.81%, 4/15/2047 ‡ (j)		2,000		2,111

Series 2015-C30, Class C, 4.41%, 7/15/2048 ‡ (j)		7,732		8,130

Series 2015-C31, Class B, 4.77%, 8/15/2048 ‡ (j)		4,410		4,839

Series 2015-C31, Class C, 4.77%, 8/15/2048 ‡ (j)		3,360		3,585

Series 2016-C1, Class D1, 4.40%, 3/15/2049 ‡ (a) (j)		4,600		4,784

JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.76%, 3/15/2050 ‡ (a) (j)		3,725		3,817

JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class E, 4.39%, 1/15/2049 ‡ (a) (j)		2,320		1,989

KKR Industrial Portfolio Trust

Series 2021-KDIP, Class C, 1.10%, 12/15/2037 ‡ (a) (j)		1,500		1,500


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2021-KDIP, Class D, 1.35%, 12/15/2037 ‡ (a) (j)		1,100		1,098

Series 2021-KDIP, Class E, 1.65%, 12/15/2037 ‡ (a) (j)		1,000		997

KNDL Mortgage Trust

Series 2019-KNSQ, Class A, 0.90%, 5/15/2036 (a) (j)		950		951

Life Mortgage Trust

Series 2021-BMR, Class A, 0.80%, 3/15/2038 (a) (j)		10,000		10,009

Series 2021-BMR, Class C, 1.20%, 3/15/2038 ‡ (a) (j)		2,805		2,808

MHC Commercial Mortgage Trust

Series 2021-MHC, Class A, 0.90%, 4/15/2038 (a) (j)		10,000		10,006

Series 2021-MHC, Class D, 1.70%, 4/15/2038 ‡ (a) (j)		2,250		2,257

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2014-C14, Class D, 5.22%, 2/15/2047 ‡ (a) (j)		1,627		1,694

Series 2014-C15, Class C, 5.06%, 4/15/2047 (j)		300		319

Series 2014-C17, Class C, 4.63%, 8/15/2047 ‡ (j)		5,411		5,714

Series 2014-C17, Class D, 4.88%, 8/15/2047 ‡ (a) (j)		2,000		1,930

Series 2014-C18, Class B, 4.61%, 10/15/2047 ‡ (j)		12,000		12,923

Series 2014-C18, Class C, 4.65%, 10/15/2047 ‡ (j)		4,366		4,543

Series 2015-C20, Class C, 4.60%, 2/15/2048 ‡ (j)		5,400		5,661

Series 2015-C24, Class D, 3.26%, 5/15/2048 ‡ (a)		3,150		3,083

Series 2015-C24, Class C, 4.49%, 5/15/2048 ‡ (j)		2,060		2,176

Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (j)		2,577		2,790

Series 2015-C23, Class D, 4.28%, 7/15/2050 ‡ (a) (j)		2,000		2,028

Morgan Stanley Capital I Trust

Series 2018-SUN, Class B, 1.30%, 7/15/2035 ‡ (a) (j)		250		250

Series 2015-MS1, Class B, 4.17%, 5/15/2048 ‡ (j)		5,450		5,860

Series 2015-UBS8, Class B, 4.32%, 12/15/2048 ‡ (j)		2,000		2,065

Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053 (j)		21,243		2,884


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


MRCD MARK Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a)		6,960		7,262

Series 2019-PARK, Class B, 2.72%, 12/15/2036 ‡ (a)		6,000		6,214

Series 2019-PARK, Class D, 2.72%, 12/15/2036 ‡ (a)		10,000		10,100

Series 2019-PARK, Class E, 2.72%, 12/15/2036 ‡ (a)		7,500		7,505

MSCG Trust Series 2018-SELF, Class A, 1.00%, 10/15/2037 (a) (j)		9,800		9,810

Multi-Family Connecticut Avenue Securities Trust Series 2019-01, Class M7, 1.78%, 10/15/2049 ‡ (a) (j)		4,309		4,290

Nationslink Funding Corp. Commercial Loan Pass-Through Certificates Series 1999-LTL1, Class E, 5.00%, 1/22/2026 ‡ (a)		46		46

PFP Ltd. (Cayman Islands)

Series 2021-7, Class C, 1.75%, 4/14/2038 ‡ (a) (j)		3,333		3,321

SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 ‡		275		290

Velocity Commercial Capital Loan Trust

Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (j)		1,963		2,035

Series 2021-1, Class A, 1.40%, 5/25/2051 (a) (j)		5,060		5,047

Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (j)		11,211		11,289

Wells Fargo Commercial Mortgage Trust

Series 2021-SAVE, Class A, 1.25%, 2/15/2040 (a) (j)		10,497		10,550

Series 2015-C27, Class C, 3.89%, 2/15/2048 ‡		2,500		2,515

Series 2015-C29, Class C, 4.36%, 6/15/2048 ‡ (j)		3,750		4,039

Series 2018-C43, Class A3, 3.75%, 3/15/2051		1,875		2,078

Series 2015-LC22, Class D, 4.71%, 9/15/2058 (j)		10,106		10,349

WFRBS Commercial Mortgage Trust

Series 2013-C11, Class B, 3.71%, 3/15/2045 ‡ (j)		150		154

Series 2013-C12, Class B, 3.86%, 3/15/2048 (j)		150		155


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2014-C22, Class C, 3.91%, 9/15/2057 ‡ (j)		13,583		14,176

Series 2014-C22, Class D, 4.05%, 9/15/2057‡ (a) (j)		1,000		940

Series 2014-C22, Class B, 4.37%, 9/15/2057 ‡ (j)		8,000		8,608


Total Commercial Mortgage-Backed Securities (Cost $703,133)				707,693

Collateralized Mortgage Obligations — 4.9%

Alternative Loan Trust

Series 2004-25CB, Class A1, 6.00%, 12/25/2034		217		220

Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036		165		167

Angel Oak Mortgage Trust

Series 2019-5, Class A1, 2.59%, 10/25/2049 (a) (j)		2,077		2,081

Series 2019-5, Class A3, 2.92%, 10/25/2049 (a) (j)		1,662		1,665

Series 2019-5, Class B1, 3.96%, 10/25/2049 ‡ (a) (j)		1,060		1,061

Series 2019-3, Class A1, 2.93%, 5/25/2059 (a) (j)		498		499

Series 2019-3, Class B1, 4.10%, 5/25/2059 ‡ (a) (j)		1,000		1,009

Angel Oak Mortgage Trust I LLC Series 2018-3, Class B1, 5.04%, 9/25/2048 ‡ (a) (j)		4,000		4,074

ANTLR Mortgage Trust Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (a) (j)		7,538		7,546

Arroyo Mortgage Trust

Series 2019-1, Class A1, 3.80%, 1/25/2049 (a) (j)		166		169

Series 2019-2, Class A3, 3.80%, 4/25/2049 (a) (j)		441		446

CFMT LLC

Series 2021-HB5, Class M1, 1.37%, 2/25/2031 ‡ (a) (j)		2,550		2,544

Series 2021-HB5, Class M2, 1.85%, 2/25/2031 ‡ (a) (j)		3,000		2,992

CHL Mortgage Pass-Through Trust

Series 2005-J2, Class 3A8, 5.50%, 8/25/2035		598		471

Series 2006-HYB2, Class 2A1B, 2.89%, 4/20/2036 (j)		119		115

CIM Trust

Series 2019-INV2, Class A11, 1.04%, 5/25/2049 ‡ (a) (j)		204		204

Series 2019-INV3, Class A11, 1.04%, 8/25/2049 (a) (j)		1,597		1,596


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Citigroup Mortgage Loan Trust

Series 2019-IMC1, Class A1, 2.72%, 7/25/2049 (a) (j)		400		403

Series 2019-IMC1, Class A3, 3.03%, 7/25/2049 (a) (j)		378		382

Series 2019-IMC1, Class B1, 3.97%, 7/25/2049‡ (a) (j)		410		418

COLT Mortgage Loan Trust

Series 2019-4, Class A1, 2.58%, 11/25/2049 (a) (j)		596		597

Series 2019-4, Class A2, 2.84%, 11/25/2049 (a) (j)		523		524

Series 2019-4, Class A3, 2.99%, 11/25/2049 (a) (j)		784		785

Connecticut Avenue Securities Trust

Series 2019-R02, Class 1M2, 2.38%, 8/25/2031 (a) (j)		2,041		2,055

Series 2019-R04, Class 2M2, 2.18%, 6/25/2039 (a) (j)		1,475		1,479

Series 2019-R05, Class 1M2, 2.08%, 7/25/2039 (a) (j)		309		310

Series 2019-R06, Class 2M2, 2.18%, 9/25/2039 ‡ (a) (j)		3,274		3,285

Series 2019-R07, Class 1M2, 2.18%, 10/25/2039 ‡ (a) (j)		1,162		1,167

Series 2020-R01, Class 1M2, 2.13%, 1/25/2040 (a) (j)		497		499

CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9, Class 1A2, 5.25%, 10/25/2035		1,069		1,079

CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (j)		6,552		6,580

Deephaven Residential Mortgage Trust

Series 2019-4A, Class A3, 3.05%, 10/25/2059 (a) (j)		1,121		1,122

Series 2019-4A, Class B1, 3.99%, 10/25/2059 ‡ (a) (j)		2,620		2,645

Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3, Class 2A1, 0.83%, 10/25/2047 (j)		808		759

FHLMC STACR REMIC Trust

Series 2020-DNA1, Class M2, 1.78%, 1/25/2050 (a) (j)		18,578		18,656

Series 2020-DNA6, Class M1, 0.95%, 12/25/2050 (a) (j)		1,462		1,463

Series 2021-DNA1, Class M1, 0.70%, 1/25/2051 (a) (j)		4,999		4,999


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

FHLMC Structured Agency Credit Risk Debt Notes

Series 2015-DNA1, Class M3, 3.38%, 10/25/2027 (j)		458		466

Series 2017-DNA3, Class M1, 0.83%, 3/25/2030 (j)		22		22

Series 2017-DNA3, Class M2, 2.58%, 3/25/2030 (j)		250		255

Series 2018-HQA1, Class M2, 2.38%, 9/25/2030 (j)		309		313

Series 2019-CS03, 0.08%, 10/25/2032 (a) (j)		7,505		7,410

Series 2021-DNA2, Class M1, 0.85%, 8/25/2033 (a) (j)		6,750		6,757

FHLMC, REMIC

Series 3806, Class L, 3.50%, 2/15/2026		4,254		4,467

Series 4533, Class KA, 3.00%, 11/15/2026		430		452

Series 3703, Class DY, 4.00%, 8/15/2030		156		166

Series 3036, Class NE, 5.00%, 9/15/2035		132		151

Series 3294, Class NE, 5.50%, 3/15/2037		261		305

Series 4284, Class EJ, 3.00%, 10/15/2038		20		20

Series 3820, Class GJ, 3.50%, 12/15/2039		53		55

Series 3966, Class AG, 3.00%, 10/15/2040		456		460

Series 4091, Class TA, 3.00%, 5/15/2041		95		99

Series 4467, Class AB, 3.00%, 7/15/2041		69		69

Series 4048, Class CA, 2.00%, 9/15/2041		204		209

Series 4012, Class GS, IF, IO, 6.40%, 3/15/2042 (j)		6,423		1,305

Series 4661, Class HA, 3.00%, 5/15/2043		946		965

Series 4239, Class LD, 3.00%, 8/15/2043		94		101

Series 4480, Class QA, 3.00%, 11/15/2043		105		109

Series 4711, Class HA, 3.00%, 12/15/2043		50		51

Series 4466, Class NL, 3.50%, 12/15/2043		2,150		2,246

Series 4338, Class SA, IF, IO, 5.90%, 5/15/2044 (j)		6,856		1,418

Series 4623, Class EB, 2.50%, 12/15/2044		203		210

Series 4477, Class SA, IF, IO, 6.05%, 5/15/2045 (j)		5,842		1,215

Series 4505, Class SA, IF, IO, 6.05%, 8/15/2045 (j)		5,227		1,256

Series 4843, Class PH, 4.00%, 7/15/2046		258		259

Series 4681, Class SD, IF, IO, 6.05%, 5/15/2047 (j)		462		106

Series 4924, Class YP, 3.00%, 2/25/2049		4,721		4,957

Series 4906, Class QS, IF, IO, 5.97%, 9/25/2049 (j)		6,327		1,237

Series 4925, Class SA, IF, IO, 5.97%, 10/25/2049 (j)		6,605		1,254


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 4925, Class SH, IF, IO, 6.02%, 10/25/2049 (j)		11,358		2,489

Series 4937, Class MS, IF, IO, 5.97%, 12/25/2049 (j)		20,414		3,803

Series 4954, Class SB, IF, IO, 5.97%, 2/25/2050 (j)		11,285		2,365

Series 4954, Class SY, IF, IO, 5.97%, 2/25/2050 (j)		11,757		2,277

Series 5021, Class MI, IO, 3.00%, 10/25/2050		33,589		5,303

Series 4632, Class MA, 4.00%, 8/15/2054		8,788		9,309

Series 4634, Class MD, 5.00%, 11/15/2054		17,034		18,193

Series 4630, Class MA, 4.00%, 1/15/2055		15,951		16,698

Series 4839, Class WS, IF, IO, 6.00%, 8/15/2056 (j)		16,447		3,728

FHLMC, STRIPS

Series 306, Class 250, 2.50%, 5/15/2028		110		113

Series 267, Class S5, IF, IO, 5.90%, 8/15/2042 (j)		5,255		1,022

Series 342, Class S7, IF, IO, 6.01%, 2/15/2045 (j)		2,226		422

FNMA, Connecticut Avenue Securities

Series 2017-C07, Class 2M2, 2.58%, 5/25/2030 (j)		4,071		4,119

Series 2018-C01, Class 1M2, 2.33%, 7/25/2030 (j)		2,137		2,164

Series 2018-C02, Class 2M2, 2.28%, 8/25/2030 (j)		2,558		2,586

Series 2018-C05, Class 1M2, 2.43%, 1/25/2031 (j)		6,890		6,969

FNMA, REMIC

Series 2013-40, Class VA, 3.50%, 5/25/2026		778		804

Series 2017-41, Class MV, 4.00%, 8/25/2028		2,006		2,199

Series 2014-3, Class AM, 2.50%, 1/25/2032		684		697

Series 2013-67, Class VB, 4.00%, 6/25/2032		249		252

Series 2014-12, Class ED, 2.50%, 12/25/2032		695		715

Series 2013-55, Class AI, IO, 3.00%, 6/25/2033		1,389		143

Series 2014-84, Class KA, 3.00%, 11/25/2040		199		201

Series 2013-81, Class AE, 3.50%, 2/25/2041		541		561

Series 2016-11, Class LA, 3.50%, 5/25/2042		1,077		1,104


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2015-2, Class PA, 2.25%, 3/25/2044		112		116

Series 2015-27, Class HA, 3.00%, 3/25/2044		4,802		4,994

Series 2014-75, Class JA, 3.00%, 10/25/2044		313		330

Series 2016-63, Class JA, 2.50%, 12/25/2044		325		339

Series 2017-14, Class DA, 3.00%, 2/25/2045		581		604

Series 2015-54, Class FA, 0.43%, 7/25/2045 (j)		77		78

Series 2015-85, Class SA, IF, IO, 5.54%, 11/25/2045 (j)		5,006		1,006

Series 2016-40, Class FA, 0.73%, 7/25/2046 (j)		24		24

Series 2016-74, Class GS, IF, IO, 5.92%, 10/25/2046 (j)		2,406		581

Series 2017-13, Class AS, IF, IO, 5.97%, 2/25/2047 (j)		576		133

Series 2017-31, Class SG, IF, IO, 6.02%, 5/25/2047 (j)		12,491		2,544

Series 2017-47, Class ST, IF, IO, 6.02%, 6/25/2047 (j)		585		138

Series 2017-69, Class SH, IF, IO, 6.12%, 9/25/2047 (j)		501		111

Series 2019-17, Class GB, 4.00%, 10/25/2047		1,153		1,229

Series 2018-27, Class SE, IF, IO, 6.12%, 5/25/2048 (j)		1,121		249

Series 2019-31, Class S, IF, IO, 5.97%, 7/25/2049 (j)		6,253		1,163

Series 2019-42, Class SK, IF, IO, 5.97%, 8/25/2049 (j)		5,295		989

Series 2016-98, Class A, 4.00%, 6/25/2050		19,239		20,264

Series 2016-98, Class DA, 4.00%, 12/25/2051		24,862		26,668

Series 2017-46, Class LB, 3.50%, 12/25/2052		380		393

Series 2017-49, Class JD, 3.50%, 7/25/2053		1,274		1,311

Series 2017-49, Class JA, 4.00%, 7/25/2053		1,194		1,239

Series 2017-96, Class KA, 3.00%, 1/25/2055		520		545

FWDSecuritization Trust

Series 2019-INV1, Class A3, 3.11%, 6/25/2049 (a) (j)		469		477


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2019-INV1, Class M1, 3.48%, 6/25/2049 ‡ (a) (j)		500		506

GCAT LLC Series 2019-NQM1, Class M1, 3.85%, 2/25/2059‡ (a) (j)		500		504

GCAT Trust

Series 2019-NQM2, Class A1, 2.86%, 9/25/2059 (a) (h)		1,160		1,165

Series 2019-NQM2, Class A3, 3.16%, 9/25/2059 (a) (h)		2,456		2,460

Series 2019-NQM2, Class B1, 4.01%, 9/25/2059‡ (a) (j)		2,000		2,036

GNMA

Series 2013-180, Class VM, 3.00%, 8/16/2036		41		41

Series 2010-166, Class SD, IF, IO, 5.93%, 12/20/2040 (j)		837		204

Series 2012-39, Class MI, IO, 4.00%, 3/16/2042		387		57

Series 2015-123, Class SE, IF, IO, 5.63%, 9/20/2045 (j)		6,462		1,102

Series 2016-108, Class SM, IF, IO, 6.01%, 8/20/2046 (j)		1,049		226

Series 2016-146, Class NS, IF, IO, 6.01%, 10/20/2046 (j)		1,370		320

Series 2017-80, Class AS, IF, IO, 6.11%, 5/20/2047 (j)		1,105		221

Series 2017-93, Class SE, IF, IO, 6.11%, 6/20/2047 (j)		1,231		251

Series 2017-163, Class PA, 3.00%, 7/20/2047		9,254		9,818

Series 2017-117, Class SB, IF, IO, 6.11%, 8/20/2047 (j)		871		205

Series 2017-134, Class SD, IF, IO, 6.11%, 9/20/2047 (j)		1,217		262

Series 2017-155, Class KS, IF, IO, 6.11%, 10/20/2047 (j)		1,198		219

Series 2017-163, Class HS, IF, IO, 6.11%, 11/20/2047 (j)		4,945		908

Series 2017-180, Class SD, IF, IO, 6.11%, 12/20/2047 (j)		1,233		227

Series 2018-36, Class SG, IF, IO, 6.11%, 3/20/2048 (j)		1,130		246

Series 2018-46, Class AS, IF, IO, 6.11%, 3/20/2048 (j)		6,377		1,336

Series 2018-139, Class SB, IF, IO, 6.06%, 10/20/2048 (j)		9,568		1,980

Series 2019-71, Class SK, IF, IO, 6.06%, 6/20/2049 (j)		5,431		913


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2019-115, Class SW, IF, IO, 6.01%, 9/20/2049 (j)		14,980		2,438

Series 2019-117, Class SA, IF, IO, 6.01%, 9/20/2049 (j)		9,691		1,907

Homeward Opportunities Fund I Trust

Series 2019-2, Class A1, 2.70%, 9/25/2059 (a) (j)		394		395

Legacy Mortgage Asset Trust

Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (a) (h)		5,492		5,506

Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (h)		10,554		10,580

Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (a) (h)		5,729		5,739

LHOME Mortgage Trust

Series 2019-RTL3, Class A1, 3.87%, 7/25/2024 (a)		4,255		4,283

Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (j)		2,812		2,806

New Residential Mortgage Loan Trust

Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (j)		5,000		5,065

Series 2019-NQM5, Class A3, 3.07%, 11/25/2059 (a) (j)		2,231		2,256

Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 ‡ (a) (j)		3,041		3,036

NYMT Loan Trust

Series 2020-SP2, Class A1, 2.94%, 10/25/2060 (a) (j)		2,490		2,515

Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a)		6,133		6,133

OBX Trust

Series 2020-INV1, Class A11, 0.99%, 12/25/2049 (a) (j)		1,745		1,743

Series 2019-EXP3, Class 2A1A, 0.98%, 10/25/2059 (a) (j)		1,058		1,059

Series 2019-EXP3, Class 2A1B, 0.98%, 10/25/2059 (a) (j)		2,160		2,163

Series 2020-EXP3, Class 2A1, 0.98%, 1/25/2060 (a) (j)		2,163		2,163

PRPM

Series 2019-GS1, Class A1, 3.50%, 10/25/2024 (a) (j)		4,552		4,569

PRPM LLC

Series 2020-2, Class A1, 3.67%, 8/25/2025 (a) (h)		1,176		1,184

Series 2020-3, Class A1, 2.86%, 9/25/2025 (a) (h)		10,017		10,040


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2020-5, Class A1, 3.10%, 11/25/2025 (a) (h)		7,350			7,402

Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (j)		3,943			3,953

Series 2021-3, Class A1, 1.87%, 4/25/2026 (a) (h)		5,452			5,479

Series 2021-4, Class A1, 1.87%, 4/25/2026 (a) (h)		12,946			12,946

Series 2021-6, Class A1, 1.79%, 7/25/2026(a)(h)		14,519			14,507

Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (h)		13,360			13,367

RALI Trust

Series 2003-QS12, Class A4, 3.35%, 6/25/2018		—	(l)		–	(l)

RCO VII Mortgage LLC

Series 2021-1, Class A1, 1.87%, 5/25/2026 (a) (h)		13,218			13,212

Spruce Hill Mortgage Loan Trust

Series 2019-SH1, Class A3, 3.65%, 4/29/2049 (a) (j)		107			107

Structured Asset Mortgage Investments II Trust Series 2006-AR6, Class 2A1, 0.46%, 7/25/2046 (j) 1,212					1,055

VCAT LLC

Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (h)		10,384			10,389

Verus Securitization Trust

Series 2019-4, Class A1, 2.64%, 11/25/2059 (a) (h)		1,551			1,575

Series 2019-4, Class M1, 3.21%, 11/25/2059 ‡ (a) (j)		1,600			1,627

Series 2019-4, Class B1, 3.86%, 11/25/2059 ‡ (a) (j)		600			607

WaMu Mortgage Pass-Through Certificates Trust

Series 2005-AR5, Class A6, 2.79%, 5/25/2035 (j)		98			102

ZH Trust

Series 2021-1, Class A, 2.25%, 2/18/2027 (a)		3,676			3,678


Total Collateralized Mortgage Obligations (Cost $457,215)					458,985

Foreign Government Securities — 1.4%

Arab Republic of Egypt (Egypt) 6.13%, 1/31/2022 (c)		700			709

5.58%, 2/21/2023 (c)		1,500			1,570

5.75%, 5/29/2024 (c)		2,600			2,763

5.75%, 5/29/2024 (a)		2,100			2,232


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Foreign Government Securities — continued

5.88%, 6/11/2025 (c)		1,400		1,491

3.88%, 2/16/2026 (a)		3,365		3,297

7.50%, 1/31/2027 (c)		1,800		1,995

Dominican Republic Government Bond (Dominican Republic) 5.88%, 4/18/2024 (c)		1,100		1,165

5.50%, 1/27/2025 (c)		2,500		2,734

5.95%, 1/25/2027 (c)		1,000		1,134

4.50%, 1/30/2030 (a)		8,040		8,355

Federal Democratic Republic of Ethiopia (Ethiopia) 6.63%, 12/11/2024 (c)		7,500		6,653

Federal Republic of Nigeria (Nigeria) 7.63%, 11/21/2025 (c)		2,800		3,130

6.50%, 11/28/2027 (c)		9,200		9,688

Hashemite Kingdom of Jordan (Jordan) 4.95%, 7/7/2025 (a)		5,520		5,775

4.95%, 7/7/2025 (c)		3,000		3,139

Islamic Republic of Pakistan (Pakistan) 8.25%, 4/15/2024 (c)		1,700		1,823

6.00%, 4/8/2026 (a)		4,336		4,358

Kingdom of Bahrain (Bahrain) 5.45%, 9/16/2032 (a)		4,414		4,326

Lebanese Republic (Lebanon) 6.38%, 3/9/2020 (i)		4,362		542

Republic of Armenia (Armenia) 7.15%, 3/26/2025 (c)		1,800		2,055

3.60%, 2/2/2031 (a)		1,790		1,701

Republic of Belarus (Belarus) 6.88%, 2/28/2023 (c)		3,300		3,329

5.88%, 2/24/2026 (c)		400		372

Republic of Costa Rica (Costa Rica) 4.25%, 1/26/2023 (c)		1,000		1,022

4.38%, 4/30/2025 (c)		3,800		3,931

Republic of Cote d’Ivoire (Ivory Coast) 6.38%, 3/3/2028 (c)		1,500		1,670

5.75%, 12/31/2032 (c) (h)		2,250		2,277

Republic of Ecuador (Ecuador)

Zero Coupon, 7/31/2030 (a)		174		98

5.00%, 7/31/2030 (a) (h)		1,614		1,442

1.00%, 7/31/2035 (a) (h)		1,609		1,159

0.50%, 7/31/2040 (a) (h)		738		471

Republic of El Salvador (El Salvador) 5.88%, 1/30/2025 (c)		5,400		4,766

Republic of Georgia (Georgia) 2.75%, 4/22/2026 (a)		860		876


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Republic of Ghana (Ghana)

Zero Coupon, 4/7/2025 (a)		6,080		4,772

6.38%, 2/11/2027 (c)		6,600		6,447

Republic of Iraq (Iraq) 6.75%, 3/9/2023 (c)		3,900		3,957

Republic of Kenya (Kenya) 6.88%, 6/24/2024 (c)		5,800		6,374

7.00%, 5/22/2027 (c)		2,200		2,417

6.30%, 1/23/2034 (a)		717		739

Republic of Turkey (Turkey) 3.25%, 3/23/2023		1,000		1,006

Sultanate of Oman Government Bond (Oman) 4.88%, 2/1/2025 (a)		1,913		2,001

Ukraine Government Bond (Ukraine) 7.75%, 9/1/2022 (c)		1,000		1,046

7.75%, 9/1/2023 (c)		5,700		6,141

8.99%, 2/1/2024 (c)		3,600		4,005

7.75%, 9/1/2025 (c)		400		442


Total Foreign Government Securities (Cost $134,920)				131,395

Loan Assignments — 0.2% (m)

Containers & Packaging — 0.0% (f)

Graham Packaging, 1st Lien Term Loan

(ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027 (b)		1,222		1,216


Electrical Equipment — 0.0% (f)

Cortes NP Acquisition Corp., 1st Lien Term Loan B

(ICE LIBOR USD 1 Month + 2.75%), 2.85%, 3/2/2027 (b)		1,092		1,084


Internet & Direct Marketing Retail — 0.0% (f)

GoodRx, Inc., 1st Lien Term Loan

(ICE LIBOR USD 1 Month + 2.75%), 2.83%, 10/10/2025 (b)		2,866		2,851


Machinery — 0.0% (f)

Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027 (b)		1,230		1,230


Personal Products — 0.0% (f)

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026 (b)		2,463		2,464


Software — 0.2%

Ascend Learning LLC, Term Loan B

(ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024 (b)		1,092		1,093


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Loan Assignments — continued

Software — continued

Greeneden U.S. Holdings I LLC, 1st Lien Term Loan B

(ICE LIBOR USD 1 Month + 4.00%), 4.75%, 12/1/2027 (b)		2,090			2,093

Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 2/25/2027 (b)		2,887			2,866


					6,052

Specialty Retail — 0.0% (f)

AppleCaramel Buyer LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 10/19/2027 (b)		1,092			1,092


Total Loan Assignments (Cost $15,953)					15,989

Supranational — 0.1%

Africa Finance Corp. (Supranational) 4.38%, 4/17/2026 (c) (Cost $5,157)		4,700			5,158

Municipal Bonds — 0.0% (f) (n)

California — 0.0% (f)

California Housing Finance

Series 2021-1, Class X, Rev., 0.80%, 9/20/2021 (j) (Cost $3,624)		54,745			3,750

	SHARES (000)
Common Stocks — 0.0% (f)

Oil, Gas & Consumable Fuels — 0.0% (f)

EP Energy Corp.*		2			145

Gulfport Energy Operating Corp.*		19			1,291

Oasis Petroleum, Inc.		17			1,437

Whiting Petroleum Corp.*		10			464


Total Common Stocks (Cost $2,326)					3,337

	PRINCIPAL AMOUNT ($000)
Convertible Bonds — 0.0% (f)

Oil, Gas & Consumable Fuels — 0.0% (f)

Gulfport Energy Corp. 10.00%, 10/4/2021 ‡ (d) (e) (Cost $47)		—	(l)		229


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 7.5%

Investment Companies — 7.0%

JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (o) (p) (Cost $645,944)		645,626		645,949

	PRINCIPAL AMOUNT ($000)
U.S. Treasury Obligations — 0.5%

U.S. Treasury Bills 0.05%, 12/23/2021 (q) (r)		20,654		20,651

0.08%, 2/24/2022 (r)		26,650		26,643


Total U.S. Treasury Obligations (Cost $47,291)				47,294


Total Short-Term Investments (Cost $693,235)				693,243

Total Investments — 103.1% (Cost $9,504,510)				9,573,285
Liabilities in Excess of Other Assets — (3.1)%				(290,840	)

NET ASSETS — 100.0%				9,282,445

Percentages indicated are based on net assets.

Abbreviations


ABS		Asset-Backed Securities
ACES		Alternative Credit Enhancement Securities
CIFC		Commercial Industrial Finance Corp.
CLO		Collateralized Loan Obligations
CSMC		Credit Suisse Mortgage Trust
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
ICE		Intercontinental Exchange
IF		Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
JSC		Joint Stock Company
LIBOR		London Interbank Offered Rate
PT		Limited liability company


REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit
Rev.		Revenue
SCA		Limited partnership with share capital
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar


(a)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(c)		Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(d)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2021.
(e)		Security is an interest bearing note with preferred security characteristics.


(f)		Amount rounds to less than 0.1% of net assets.
(g)		Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
(h)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2021.
(i)		Defaulted security.
(j)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2021.
(k)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(l)		Amount rounds to less than one thousand.
(m)		Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
(n)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(o)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(p)		The rate shown is the current yield as of August 31, 2021.
(q)		All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps.
(r)		The rate shown is the effective yield as of August 31, 2021.
*		Non-income producing security.
‡		Value determined using significant unobservable inputs.

Centrally Cleared Credit default swap contracts outstanding — sell protection^(a) as of August 31, 2021 (amounts in thousands):

For purposes of reporting the Statement of Cash Flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents.

Reconciliation of restricted and unrestricted cash and foreign currency at the end of period to the Statement of Assets and Liabilities:

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 11 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

The investment objective of JPMorgan Core Bond Fund (“Core Bond Fund”) is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

The investment objective of JPMorgan Core Plus Bond Fund (“Core Plus Bond Fund”) is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.

The investment objective of JPMorgan Floating Rate Income Fund (“Floating Rate Income Fund”) is to seek to provide current income with a secondary objective of capital appreciation.

The investment objective of JPMorgan Government Bond Fund (“Government Bond Fund”) is to seek a high level of current income with liquidity and safety of principal.

The investment objective of JPMorgan High Yield Fund (“High Yield Fund”) is to seek a high level of current income by investing primarily in a diversified portfolio of debt securities which are rated below investment grade or unrated. Capital appreciation is a secondary objective.

The investment objective of JPMorgan Income Fund (“Income Fund”) is to seek to provide income with a secondary objective of capital appreciation.

The investment objective of JPMorgan Inflation Managed Bond Fund (“Inflation Managed Bond Fund”) is to seek to maximize inflation protected total return.

The investment objective of JPMorgan Limited Duration Bond Fund (“Limited Duration Bond Fund”) is to seek a high level of current income consistent with low volatility of principal.

The investment objective of JPMorgan Mortgage-Backed Securities Fund (“Mortgage-Backed Securities Fund”) is to seek to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.

The investment objective of JPMorgan Short Duration Bond Fund (‘Short Duration Bond Fund”) is to seek current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities.

The investment objective of JPMorgan Short Duration Core Plus Fund (“Short Duration Core Plus Fund”) is to seek total return consistent with preservation of capital.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.

Investments in open-end investment companies, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

See the tables on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by Core Bond Fund, Core Plus Bond Fund, Floating Rate Income Fund, High Yield Fund, Income Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund at August 31, 2021.

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:

There were no significant transfers into or out of level 3 for the six months ended August 31, 2021.

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the six months ended August 31, 2021.

Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the six months ended August 31, 2021.

There were no significant transfers into or out of level 3 for the six months ended August 31, 2021.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2021, which were valued using significant unobservable inputs (level 3) were as follows:

These amounts are included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.

The significant unobservable inputs used in the fair value measurement of the Funds’ investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.

As of August 31, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. Loan Assignments — Core Plus Bond Fund, Floating Rate Income Fund, High Yield Fund, Income Fund and Short Duration Core Plus Fund invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers

(a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The above Funds invest in loan assignments of all or a portion of the loans. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the Lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, a

Fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A Fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to claims by their creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.

Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments, and certain assignments which were liquid when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a Fund may not receive the proceeds from a sale of such investments for a period after the sale.

Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.

At August 31, 2021, Floating Rate Income Fund had investments in loan assignments that amounted to more than 5% of the Fund’s net assets, by agent bank as follows:

D. Unfunded Commitments — Floating Rate Income Fund, High Yield Fund and Income Fund entered into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of their normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Funds to provide cash to the borrower on demand. Unfunded commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statements of Assets and Liabilities. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Funds may receive an ongoing commitment fee based on the undrawn portion of the underlying loan facility, which is recorded as a component of Interest income from non-affiliates on the Statements of Operations.

At August 31, 2021, Floating Rate Income Fund, High Yield Fund and Income Fund had the following loan commitments outstanding in which all or a portion of the commitment was unfunded which could be extended at the options of the borrower:

E. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — Core Bond Fund, Core Plus Bond Fund, Floating Rate Income Fund, High Yield Fund, Income Fund, Inflation Managed Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.

The Funds may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund’s transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund’s custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan. These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.

Core Bond Fund, Core Plus Bond Fund, Floating Rate Income Fund, High Yield Fund, Income Fund, Inflation Managed Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2021 are detailed on the SOIs.

The Funds’ delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2021 are as follows:

F. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of August 31, 2021.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended August 31, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

Core Bond Fund, Floating Rate Income Fund, Government Bond Fund, High Yield Fund, Income Fund, Inflation Managed Bond Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund did not lend out any securities during the six months ended August 31, 2021.

G. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.

H. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

I. Derivatives — Core Plus Bond Fund, Income Fund, Inflation Managed Bond Fund, Short Duration Bond Fund and Short Duration Core Plus Fund used derivative instruments including futures contracts, forward foreign currency exchange contracts and swaps in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Funds.

(1). Futures Contracts — Core Plus Bond Fund, Income Fund, Inflation Managed Bond Fund, Short Duration Bond Fund and Short Duration Core Plus Fund used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(2). Forward Foreign Currency Exchange Contracts — Core Plus Bond Fund and Income Fund are exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Funds also record a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.

The Funds’ forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).

The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

(3). Swaps — Core Plus Bond Fund, Income Fund, Inflation Managed Bond Fund and Short Duration Core Plus Fund engaged in various swap transactions to manage credit and interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between a fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by a Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.

Core Plus Bond Fund, Income Fund and Short Duration Core Plus Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

Inflation Managed Bond Fund used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.

The following tables present the value of derivatives held as of August 31, 2021 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:

The following tables present the effect of derivatives on the Statements of Operations for the six months ended August 31, 2021, by primary underlying risk exposure:

The table below discloses the volume of the Funds’ futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended August 31, 2021. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:

The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding non-deliverable forward foreign currency exchange contracts and/or OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.F.), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMCB, an affiliate of the Funds. These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.

Core Plus Bond Fund’s and Income Fund’s derivative contracts collateral requirements and collateral posted or received by counterparty as of August 31, 2021 are as follows:

The Funds’ derivatives contracts held at August 31, 2021 are not accounted for as hedging instruments under GAAP.

J. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds and ETFs, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend. Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Funds. These amounts are included in Interest income from non-affiliates on the Statements of Operations.

Core Bond Fund, Core Plus Bond Fund, Government Bond Fund and Inflation Managed Bond Fund invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.

K. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended August 31, 2021 are as follows:

L. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

M. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.

N. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly, except for Income Fund, for which distributions are generally declared daily and paid monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.

O. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended August 31, 2021, the effective annualized rate for Core Bond Fund, Core Plus Bond Fund, Floating Rate Income Fund, Government Bond Fund, High Yield Fund, Income Fund, Inflation Managed Bond Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund was 0.04%, 0.07%, 0.08%, 0.08%, 0.08%, 0.07%, 0.08%, 0.08%, 0.08%, 0.07% and 0.08%, respectively, of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares (except for Class C Shares of Limited Duration Bond Fund and Short Duration Bond Fund purchased prior to September 3, 2013) and certain Class A Shares for which front-end sales charges have been waived. For the six months ended August 31, 2021, JPMDS retained the following:

D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

The amounts of these waivers resulting from investments in these money market funds for the six months ended August 31, 2021 were as follows:

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

During the six months ended August 31, 2021, Core Bond Fund, Core Plus Bond Fund, High Yield Fund, Income Fund, Inflation Managed Bond Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Short Duration Core Plus Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

During the six months ended August 31, 2021, purchases and sales of investments (excluding short-term investments) were as follows:

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2021 were as follows:

At February 28, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:

Specified ordinary losses and net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2021, the Funds deferred to March 1, 2021, the following specified ordinary losses and net capital (gains) losses of:

During the year ended February 28, 2021, the following Funds utilized capital loss carryforwards as follows:

The Funds had no borrowings outstanding from another fund during the six months ended August 31, 2021.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2021.

The Funds did not utilize the Credit Facility during the six months ended August 31, 2021.

As of August 31, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:

As of August 31, 2021, J.P. Morgan Investor Funds, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:

Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.

The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

Core Plus Bond Fund, Floating Rate Income Fund, High Yield Fund, Income Fund and Short Duration Core Plus Fund invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the

derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.

The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.

JPMorgan Trust IV, J.P. Morgan Fleming Mutual Fund Group, Inc., J.P. Morgan Mutual Fund Investment Trust, JPMorgan Insurance Trust, Undiscovered Managers Funds, JPMorgan Institutional Trust and J.P. Morgan Exchange-Traded Fund Trust (collectively with the Trusts, the “J.P. Morgan Funds”).

If shareholder approval is obtained for all of the J.P. Morgan Funds, this will result in a unified board structure across all of the J.P. Morgan Funds.

Actual Expenses

Hypothetical Example for Comparison Purposes

eration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, including additional reporting and information provided in connection with the COVID-19 pandemic, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

Nature, Extent and Quality of Services Provided by the Adviser

Costs of Services Provided and Profitability to the Adviser and its Affiliates

(“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so.

Economies of Scale

Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior Officer

The Trustees noted that, upon their direction, the Senior Officer for the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, and Short Duration Bond Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees noted that the Core Bond Fund’s performance for Class A shares was in the fifth, fourth and fourth quintiles based upon the Peer Group for the one-, three- and five-year periods ended December 31, 2020, respectively, and in the third quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the third, second and fourth quintiles based upon the Peer Group, and in the third, second and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth, third and third quintiles based upon the Peer Group for the one-, three- and five-year periods ended December 31, 2020, respectively, and in the second quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Core Plus Bond Fund’s performance for Class A shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the fourth, third and third quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth, fifth and fourth quintiles based upon the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Floating Rate Income Fund’s performance for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the second, third and third quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2020, respectively, and in the fourth quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the fifth quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2020, and in the third, fourth and fourth quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Government Bond Fund’s performance for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I

shares was in the first quintile based upon both the Peer Group and Universe for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group for the one-year period ended December 31, 2020, and in the first quintile based upon the Universe for both the one- and three-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the High Yield Fund’s performance for Class A shares was in fifth quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2020, and in the fifth, fifth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fifth, and fourth quintiles based upon the Peer Group, and in the fifth, fourth and fourth quintiles based upon the Universe, for the one, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2020, and in the fifth, fourth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Income Fund’s performance for Class A shares was in the fifth, third, and third quintiles based upon the Peer Group, and in the fifth, third, and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the fifth, second and second quintiles based upon both the Peer Group and Universe, for the one-, three, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth, fourth and third quintiles based upon the Peer Group, and in the fifth, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and

investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Inflation Managed Bond Fund’s performance for Class A shares was in the fifth, fourth and fourth quintiles based upon the Peer Group, and in the fifth, fourth and fifth quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the fourth quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the fourth quintile based upon the Universe for each of the one-, three-, and five- year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Limited Duration Bond Fund’s performance for Class A shares was in the fifth quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the fifth, fourth and fourth quintiles based upon the Peer Group, and in the fifth, fifth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2020, and in the fifth, fourth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Mortgage-Backed Securities Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group, and in the second, first and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that performance for Class I shares was in the first quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2020, and in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Short Duration Bond Fund’s performance for Class A shares was in the second, fourth and fifth quintiles based upon the Peer Group, and in the second, third and fifth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that performance for Class I shares was in the first, first and fourth quintiles based upon the Peer Group, and in the second, second and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the third and fourth quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2020, respectively, and in the second, second and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Short Duration Core Plus Fund’s performance for Class A shares was in the first quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2020, and in the second, first and first quintiles based upon the Universe for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares and Class R6 shares was in the first quintile based upon both the Peer Group and Universe for each of the one-, three-, and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these

discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Core Bond Fund’s net advisory fee for Class A shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Core Plus Bond Fund’s net advisory fee for Class A shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the fourth and third quintiles based upon the Peer Group and

Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the fourth and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Floating Rate Income Fund’s net advisory fee for Class A shares was in the fourth and fifth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the fifth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the fourth and fifth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the fourth and second quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Government Bond Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the High Yield Fund’s net advisory fee for Class A shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe,

respectively. The Trustees noted that the net advisory fee for Class I shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the third and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, including a reduction to the Fund’s expense caps effective November 1, 2021, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Income Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Inflation Managed Bond Fund’s net advisory fee for Class A shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the third quintile based upon both the Peer Group and Universe The Trustees noted that the net advisory fee for Class I shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the third and first quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Limited Duration Bond Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first and second quintiles based upon the Peer Group and Universe,

respectively. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Mortgage-Backed Securities Fund’s net advisory fee and actual total expenses for Class A, Class I, and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Short Duration Bond Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares and Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Short Duration Core Plus Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


REPORTING PERIOD RETURN:
Fund (Class I Shares)*			1.82%
Bloomberg LB California 1–17 Year Muni Index (formerly Bloomberg Barclays LB California 1-17 Year Muni Index)			1.85%

Net Assets as of 8/31/2021 (In Thousands) . . . . . . . . . . . . . . . . . .			$430,711
Duration as of 8/31/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .			4.8 Years


REPORTING PERIOD RETURN:
Fund (Class I Shares)*			5.20%
Bloomberg U.S. Municipal Index (formerly Bloomberg Barclays U.S. Municipal Index)			2.51%
Bloomberg High Yield Municipal Bond Index (formerly Bloomberg Barclays High Yield Municipal Bond Index)			6.15%

Net Assets as of 8/31/2021 (In Thousands)			$528,265
Duration as of 8/31/2021 . . .			6.8 Years


REPORTING PERIOD RETURN:
Fund (Class I Shares)*		2.35%
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index)		1.91%

Net Assets as of 8/31/2021 (In Thousands)	$	4,586,568
Duration as of 8/31/2021		5.0 Years


REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*		1.87%
Bloomberg New York Intermediate (1–17 Year) Maturities Index (formerly Bloomberg Barclays New York Intermediate (1–17 Year) Maturities Index)		2.08%

Net Assets as of 8/31/2021 (In Thousands)	$	413,264
Duration as of 8/31/2021		4.5 Years


REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*			1.08%
Bloomberg U.S. 1-5 Year Blend (1-6) Municipal Bond Index (formerly Bloomberg Barclays U.S. 1-5 Year Blend (1-6) Municipal Bond Index)			0.94%

Net Assets as of 8/31/2021 (In Thousands)			$1,712,367
Duration as of 8/31/2021			3.4 Years


Letter to Shareholders			1

Market Overview			2

Fund Commentaries:

JPMorgan California Tax Free Bond Fund			3

JPMorgan High Yield Municipal Fund			5

JPMorgan Intermediate Tax Free Bond Fund			7

JPMorgan New York Tax Free Bond Fund			9

JPMorgan Short-Intermediate Municipal Bond Fund			11

JPMorgan Sustainable Municipal Income Fund			13

JPMorgan Tax Free Bond Fund			15

JPMorgan Ultra-Short Municipal Fund			17

Schedules of Portfolio Investments			19

Financial Statements			184

Financial Highlights			206

Notes to Financial Statements			222

Schedule of Shareholder Expenses			237

Board Approval of Investment Advisory Agreements			240


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2021

	INCEPTION DATE OF CLASS	6 MONTH*			1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	September 10, 2001
With Sales Charge**			(2.08	)%		(2.67	)%		1.27	%		2.50	%
Without Sales Charge			1.72			1.15			2.05			2.89
CLASS C SHARES	February 19, 2005
With CDSC***			0.48			(0.44	)		1.55			2.48
Without CDSC			1.48			0.56			1.55			2.48
CLASS I SHARES	December 23, 1996		1.82			1.19			2.16			2.99
CLASS R6 SHARES	October 1, 2018		1.87			1.29			2.23			3.02


REPORTING PERIOD RETURN:
Fund (Class I Shares)*			2.44%
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index)			1.91%

Net Assets as of 8/31/2021 (In Thousands)			$328,463
Duration as of 8/31/2021			5.1 Years


REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*			3.42%
Bloomberg U.S. Municipal Index (formerly Bloomberg Barclays U.S. Municipal Index)			2.51%

Net Assets as of 8/31/2021 (In Thousands)			$685,758
Duration as of 8/31/2021			6.4 Years


REPORTING PERIOD RETURN:
Fund (Class I Shares)*			0.23%
Bloomberg 1 Year Municipal Bond Index (formerly Bloomberg Barclays 1 Year Municipal Bond Index)			0.28%

Net Assets as of 8/31/2021 (In Thousands)			$5,647,467
Duration as of 8/31/2021			1.0 Years


Futures contracts outstanding as of August 31, 2021 (amounts in thousands, except number of contracts):
DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY		NOTIONAL AMOUNT ($)			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($)
Short Contracts
U.S. Treasury 10 Year Note		(42	)		12/2021		USD		(5,604	)		(13	)
U.S. Treasury 10 Year Ultra Note		(150	)		12/2021		USD		(22,195	)		(74	)

												(87	)


	JPMorgan California Tax Free Bond Fund			JPMorgan High Yield Municipal Fund			JPMorgan Intermediate Tax Free Bond Fund
ASSETS:
Investments in non-affiliates, at value	$	401,393		$	523,418		$	4,457,192
Investments in affiliates, at value		26,737			4,342			81,583
Cash		—	(a)		—	(a)		1,128
Deposits at broker for futures contracts		—			—			3,272
Receivables:
Investment securities sold		—			1,785			6,151
Investment securities sold — delayed delivery securities		—			12,309			16,988
Fund shares sold		473			558			3,114
Interest from non-affiliates		3,498			5,548			44,607
Dividends from affiliates		—	(a)		—	(a)		1
Variation margin on futures contracts		—			—			393

Total Assets		432,101			547,960			4,614,429


LIABILITIES:
Payables:
Investment securities purchased		—			5,561			5,819
Investment securities purchased — delayed delivery securities		—			13,090			16,799
Fund shares redeemed		1,181			639			3,718
Accrued liabilities:
Investment advisory fees		95			131			944
Administration fees		23			23			143
Distribution fees		53			63			85
Service fees		8			23			84
Custodian and accounting fees		11			29			186
Trustees’ and Chief Compliance Officer’s fees		—			—	(a)		—
Other		19			136			83

Total Liabilities		1,390			19,695			27,861

Net Assets	$	430,711		$	528,265		$	4,586,568


	JPMorgan California Tax Free Bond Fund			JPMorgan High Yield Municipal Fund			JPMorgan Intermediate Tax Free Bond Fund
NET ASSETS:
Paid-in-Capital	$	412,346		$	497,677		$	4,194,384
Total distributable earnings (loss)		18,365			30,588			392,184

Total Net Assets	$	430,711		$	528,265		$	4,586,568


Net Assets:
Class A	$	156,729		$	199,631		$	350,950
Class C		30,316			31,956			16,794
Class I		93,977			275,494			632,953
Class R6		149,689			21,184			3,585,871

Total	$	430,711		$	528,265		$	4,586,568


Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		14,035			16,752			30,517
Class C		2,739			2,687			1,499
Class I		8,616			23,121			56,121
Class R6		13,725			1,778			317,981

Net Asset Value (a):
Class A — Redemption price per share	$	11.17		$	11.92		$	11.50
Class C — Offering price per share (b)		11.07			11.89			11.20
Class I — Offering and redemption price per share		10.91			11.92			11.28
Class R6 — Offering and redemption price per share		10.91			11.92			11.28
Class A maximum sales charge		3.75	%		3.75	%		3.75	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	11.61		$	12.38		$	11.95


Cost of investments in non-affiliates	$	379,961		$	490,371		$	4,098,842
Cost of investments in affiliates		26,734			4,342			81,566


	JPMorgan New York Tax Free Bond Fund			JPMorgan Short- Intermediate Municipal Bond Fund			JPMorgan Sustainable Municipal Income Fund
ASSETS:
Investments in non-affiliates, at value	$	403,563		$	1,532,669		$	322,141
Investments in affiliates, at value		5,348			176,734			4,873
Cash		—			82			—
Deposits at broker for futures contracts		—			—			35
Receivables:
Investment securities sold		—			—	(a)		915
Investment securities sold — delayed delivery securities		—			95			2,953
Fund shares sold		112			2,806			177
Interest from non-affiliates		4,636			15,168			3,168
Dividends from affiliates		—	(a)		2			—	(a)
Variation margin on futures contracts		—			—			4

Total Assets		413,659			1,727,556			334,266


LIABILITIES:
Payables:
Due to custodian		—			—			—	(a)
Investment securities purchased		—			10,780			2,509
Investment securities purchased — delayed delivery securities		—			3,078			2,885
Fund shares redeemed		151			934			211
Accrued liabilities:
Investment advisory fees		100			227			67
Administration fees		23			20			9
Distribution fees		54			22			32
Service fees		23			59			22
Custodian and accounting fees		10			37			11
Trustees’ and Chief Compliance Officer’s fees		—	(a)		1			—	(a)
Other		34			31			57

Total Liabilities		395			15,189			5,803

Net Assets	$	413,264		$	1,712,367		$	328,463


	JPMorgan New York Tax Free Bond Fund			JPMorgan Short- Intermediate Municipal Bond Fund			JPMorgan Sustainable Municipal Income Fund
NET ASSETS:
Paid-in-Capital	$	389,381		$	1,663,161		$	312,119
Total distributable earnings (loss)		23,883			49,206			16,344

Total Net Assets	$	413,264		$	1,712,367		$	328,463

Net Assets:
Class A	$	166,508		$	94,155		$	126,331
Class C		29,373			4,041			8,493
Class I		86,042			931,648			121,842
Class R6		131,341			682,523			71,797

Total	$	413,264		$	1,712,367		$	328,463

Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		23,789			8,689			12,512
Class C		4,196			369			850
Class I		12,230			85,494			12,161
Class R6		18,674			62,654			7,169

Net Asset Value (a):
Class A — Redemption price per share	$	7.00		$	10.84		$	10.10
Class C — Offering price per share (b)		7.00			10.94			9.99
Class I — Offering and redemption price per share		7.04			10.90			10.02
Class R6 — Offering and redemption price per share		7.03			10.89			10.02
Class A maximum sales charge		3.75	%		2.25	%		3.75	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	7.27		$	11.09		$	10.49


Cost of investments in non-affiliates	$	377,329		$	1,472,828		$	305,608
Cost of investments in affiliates		5,346			176,726			4,871



AUGUST 31, 2021	J.P. MORGAN MUNICIPAL BOND FUNDS	1



2	J.P. MORGAN MUNICIPAL BOND FUNDS	AUGUST 31, 2021



AUGUST 31, 2021	J.P. MORGAN MUNICIPAL BOND FUNDS	3



4	J.P. MORGAN MUNICIPAL BOND FUNDS	AUGUST 31, 2021


	JPMorgan Tax Free Bond Fund			JPMorgan Ultra-Short Municipal Fund
ASSETS:
Investments in non-affiliates, at value	$	646,584		$	5,000,658
Investments in affiliates, at value		30,746			672,582
Cash		—			21
Deposits at broker for futures contracts		467			—
Receivables:
Investment securities sold		191			602
Investment securities sold — delayed delivery securities		4,597			315
Fund shares sold		1,267			48,656
Interest from non-affiliates		6,195			24,152
Dividends from affiliates		1			11
Variation margin on futures contracts		51			—
Due from adviser		—			9

Total Assets		690,099			5,747,006


LIABILITIES:
Payables:
Due to custodian		—	(a)		—
Investment securities purchased		—			89,012
Investment securities purchased — delayed delivery securities		3,688			—
Fund shares redeemed		273			9,077
Accrued liabilities:
Investment advisory fees		163			—
Administration fees		36			—
Distribution fees		80			21
Service fees		14			1,111
Custodian and accounting fees		32			83
Trustees’ and Chief Compliance Officer’s fees		—	(a)		—	(a)
Other		55			235

Total Liabilities		4,341			99,539

Net Assets	$	685,758		$	5,647,467


	JPMorgan Tax Free Bond Fund			JPMorgan Ultra-Short Municipal Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	9,194		$	14,814
Dividend income from affiliates		4			47

Total investment income		9,198			14,861


EXPENSES:
Investment advisory fees		1,004			4,571
Administration fees		251			2,286
Distribution fees:
Class A		402			147
Class C		60			—
Service fees:
Class A		402			147
Class C		20			—
Class I		229			7,472
Custodian and accounting fees		78			245
Interest expense to affiliates		—	(a)		—
Professional fees		35			52
Trustees’ and Chief Compliance Officer’s fees		14			20
Printing and mailing costs		3			12
Registration and filing fees		62			235
Transfer agency fees (See Note 2.H.)		8			20
Other		8			59

Total expenses		2,576			15,266

Less fees waived		(705	)		(7,682	)

Net expenses		1,871			7,584

Net investment income (loss)		7,327			7,277


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		225			(84	)
Investments in affiliates		(3	)		(20	)
Futures contracts		(562	)		—

Net realized gain (loss)		(340	)		(104	)

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		14,992			5,815
Investments in affiliates		4			20
Futures contracts		(140	)		—

Change in net unrealized appreciation/depreciation		14,856			5,835

Net realized/unrealized gains (losses)		14,516			5,731

Change in net assets resulting from operations	$	21,843		$	13,008


	JPMorgan California Tax Free Bond Fund						JPMorgan High Yield Municipal Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	3,168		$	6,302		$	7,378		$	14,687
Net realized gain (loss)		(197	)		(129	)		942			(3,564	)
Distributions of capital gains received from investment company affiliates		—			—	(a)		—			—	(a)
Change in net unrealized appreciation/depreciation		4,260			(7,247	)		17,238			(15,351	)

Change in net assets resulting from operations		7,231			(1,074	)		25,558			(4,228	)


DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(1,122	)		(2,120	)		(2,750	)		(5,122	)
Class C		(148	)		(431	)		(386	)		(890	)
Class I		(750	)		(1,333	)		(3,986	)		(8,504	)
Class R6		(1,204	)		(2,386	)		(315	)		(439	)

Total distributions to shareholders		(3,224	)		(6,270	)		(7,437	)		(14,955	)


CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		1,842			66,593			20,393			(25,822	)


NET ASSETS:
Change in net assets		5,849			59,249			38,514			(45,005	)
Beginning of period		424,862			365,613			489,751			534,756

End of period	$	430,711		$	424,862		$	528,265		$	489,751


	JPMorgan Intermediate Tax Free Bond Fund						JPMorgan New York Tax Free Bond Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	54,307		$	126,027		$	3,558		$	7,696
Net realized gain (loss)		1,995			51,626			—	(a)		(1,044	)
Distributions of capital gains received from investment company affiliates		—			—	(a)		—			—	(a)
Change in net unrealized appreciation/depreciation		53,314			(97,800	)		4,434			(8,679	)

Change in net assets resulting from operations		109,616			79,853			7,992			(2,027	)


DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(3,366	)		(4,936	)		(1,415	)		(2,780	)
Class C		(137	)		(324	)		(177	)		(523	)
Class I		(7,367	)		(15,413	)		(831	)		(1,728	)
Class R6		(44,191	)		(104,860	)		(1,305	)		(2,462	)

Total distributions to shareholders		(55,061	)		(125,533	)		(3,728	)		(7,493	)


CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(99,320	)		(591,833	)		839			(29,677	)


NET ASSETS:
Change in net assets		(44,765	)		(637,513	)		5,103			(39,197	)
Beginning of period		4,631,333			5,268,846			408,161			447,358

End of period	$	4,586,568		$	4,631,333		$	413,264		$	408,161


	JPMorgan Short-Intermediate Municipal Bond Fund						JPMorgan Sustainable Municipal Income Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	12,329		$	28,092		$	3,018		$	5,467
Net realized gain (loss)		(504	)		1,191			364			(50	)
Distributions of capital gains received from investment company affiliates		—			—	(a)		—			—	(a)
Change in net unrealized appreciation/depreciation		9,733			(16,498	)		3,915			(2,572	)

Change in net assets resulting from operations		21,558			12,785			7,297			2,845


DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(463	)		(779	)		(1,106	)		(1,927	)
Class C		(11	)		(33	)		(53	)		(125	)
Class I		(6,629	)		(11,441	)		(1,182	)		(2,091	)
Class R6		(5,411	)		(14,636	)		(713	)		(1,289	)

Total distributions to shareholders		(12,514	)		(26,889	)		(3,054	)		(5,432	)


CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		99,074			(43,014	)		15,148			26,239


NET ASSETS:
Change in net assets		108,118			(57,118	)		19,391			23,652
Beginning of period		1,604,249			1,661,367			309,072			285,420

End of period	$	1,712,367		$	1,604,249		$	328,463		$	309,072


	JPMorgan Tax Free Bond Fund						JPMorgan Ultra-Short Municipal Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	7,327		$	13,381		$	7,277		$	27,753
Net realized gain (loss)		(340	)		(1,806	)		(104	)		(6,192	)
Distributions of capital gains received from investment company affiliates		—			—	(a)		—			—	(a)
Change in net unrealized appreciation/depreciation		14,856			(9,442	)		5,835			(6,202	)

Change in net assets resulting from operations		21,843			2,133			13,008			15,359


DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(3,400	)		(5,779	)		(34	)		(512	)
Class C		(121	)		(357	)		—			—
Class I		(2,144	)		(4,166	)		(7,595	)		(26,593	)
Class R6		(1,778	)		(2,984	)		—			—

Total distributions to shareholders		(7,443	)		(13,286	)		(7,629	)		(27,105	)


CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		42,178			88,555			(1,168,534	)		2,664,857


NET ASSETS:
Change in net assets		56,578			77,402			(1,163,155	)		2,653,111
Beginning of period		629,180			551,778			6,810,622			4,157,511

End of period	$	685,758		$	629,180		$	5,647,467		$	6,810,622


	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
JPMorgan California Tax Free Bond Fund
Class A
Six Months Ended August 31, 2021 (Unaudited)	$	11.06	$	0.08	$	0.11		$	0.19		$	(0.08	)	$	—		$	(0.08	)
Year Ended February 28, 2021		11.25		0.17		(0.19	)		(0.02	)		(0.17	)		—			(0.17	)
Year Ended February 29, 2020		10.71		0.23		0.54			0.77			(0.23	)		—			(0.23	)
Year Ended February 28, 2019		10.64		0.28		0.07			0.35			(0.28	)		—			(0.28	)
Year Ended February 28, 2018		10.78		0.28		(0.14	)		0.14			(0.28	)		—			(0.28	)
Year Ended February 28, 2017		11.15		0.27		(0.37	)		(0.10	)		(0.27	)		—	(f)		(0.27	)

Class C
Six Months Ended August 31, 2021 (Unaudited)		10.96		0.05		0.11			0.16			(0.05	)		—			(0.05	)
Year Ended February 28, 2021		11.15		0.12		(0.20	)		(0.08	)		(0.11	)		—			(0.11	)
Year Ended February 29, 2020		10.62		0.18		0.53			0.71			(0.18	)		—			(0.18	)
Year Ended February 28, 2019		10.55		0.22		0.07			0.29			(0.22	)		—			(0.22	)
Year Ended February 28, 2018		10.69		0.22		(0.14	)		0.08			(0.22	)		—			(0.22	)
Year Ended February 28, 2017		11.06		0.21		(0.37	)		(0.16	)		(0.21	)		—	(f)		(0.21	)

Class I
Six Months Ended August 31, 2021 (Unaudited)		10.80		0.08		0.12			0.20			(0.09	)		—			(0.09	)
Year Ended February 28, 2021		10.99		0.18		(0.19	)		(0.01	)		(0.18	)		—			(0.18	)
Year Ended February 29, 2020		10.47		0.24		0.52			0.76			(0.24	)		—			(0.24	)
Year Ended February 28, 2019		10.41		0.28		0.07			0.35			(0.29	)		—			(0.29	)
Year Ended February 28, 2018		10.55		0.29		(0.14	)		0.15			(0.29	)		—			(0.29	)
Year Ended February 28, 2017		10.92		0.27		(0.36	)		(0.09	)		(0.28	)		—	(f)		(0.28	)

Class R6
Six Months Ended August 31, 2021 (Unaudited)		10.80		0.09		0.11			0.20			(0.09	)		—			(0.09	)
Year Ended February 28, 2021		10.99		0.19		(0.19	)		—	(f)		(0.19	)		—			(0.19	)
Year Ended February 29, 2020		10.47		0.25		0.52			0.77			(0.25	)		—			(0.25	)
October 1, 2018 (g) through February 28, 2019		10.33		0.13		0.13			0.26			(0.12	)		—			(0.12	)


		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)


$	11.17		1.72	%	$	156,729		0.60	%		1.42	%		0.93	%		5	%
	11.06		(0.19	)		154,108		0.59			1.54			0.93			6
	11.25		7.29			126,253		0.60			2.13			0.96			8
	10.71		3.31			67,275		0.60			2.63			0.97			17
	10.64		1.27			69,092		0.60			2.58			0.98			8
	10.78		(0.95	)		78,688		0.59			2.42			0.97			14


	11.07		1.48			30,316		1.10			0.93			1.43			5
	10.96		(0.70	)		33,234		1.09			1.07			1.43			6
	11.15		6.72			52,168		1.10			1.66			1.47			8
	10.62		2.82			46,950		1.10			2.13			1.48			17
	10.55		0.78			54,655		1.10			2.08			1.48			8
	10.69		(1.46	)		69,042		1.09			1.92			1.47			14


	10.91		1.82			93,977		0.50			1.53			0.68			5
	10.80		(0.09	)		100,163		0.49			1.62			0.68			6
	10.99		7.37			60,122		0.50			2.26			0.71			8
	10.47		3.39			62,069		0.50			2.72			0.72			17
	10.41		1.41			143,734		0.50			2.68			0.71			8
	10.55		(0.86	)		141,018		0.49			2.52			0.56			14


	10.91		1.87			149,689		0.40			1.62			0.43			5
	10.80		0.01			137,357		0.39			1.74			0.43			6
	10.99		7.48			127,070		0.40			2.35			0.46			8
	10.47		2.58			80,424		0.35			2.95			0.48			17


	Classes Offered	Trust	Diversification Classification
JPMorgan California Tax Free Bond Fund	Class A, Class C, Class I and Class R6	JPM I	Diversified
JPMorgan High Yield Municipal Fund	Class A, Class C, Class I and Class R6	JPM I	Diversified
JPMorgan Intermediate Tax Free Bond Fund	Class A, Class C, Class I and Class R6	JPM I	Diversified
JPMorgan New York Tax Free Bond Fund	Class A, Class C, Class I and Class R6	JPM I	Diversified
JPMorgan Short-Intermediate Municipal Bond Fund	Class A, Class C, Class I and Class R6	JPM II	Diversified
JPMorgan Sustainable Municipal Income Fund	Class A, Class C, Class I and Class R6	JPM II	Diversified
JPMorgan Tax Free Bond Fund	Class A, Class C, Class I and Class R6	JPM II	Diversified
JPMorgan Ultra-Short Municipal Fund	Class A and Class I	JPM IV	Diversified


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Municipal Bonds
California
Certificate of Participation/Lease	$	—	$	1,082	$	—	$	1,082
Education		—		20,487		—		20,487
General Obligation		—		136,389		—		136,389
Hospital		—		23,724		—		23,724
Housing		—		2,398		—		2,398
Industrial Development Revenue/Pollution Control Revenue		—		2,803		—		2,803
Other Revenue		—		29,763		564		30,327
Prerefunded		—		26,427		—		26,427
Transportation		—		59,305		—		59,305
Utility		—		25,425		—		25,425
Water & Sewer		—		73,026		—		73,026

Total California		—		400,829		564		401,393

Total Municipal Bonds		—		400,829		564		401,393

Short-Term Investments
Investment Companies		26,737		—		—		26,737

Total Investments in Securities	$	26,737	$	400,829	$	564	$	428,130


Sustainable Municipal Income Fund (continued)
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
North Carolina	$	—		$	4,539	$	—		$	4,539
North Dakota		—			2,624		—			2,624
Ohio		—			15,069		—			15,069
Oklahoma		—			201		—			201
Oregon		—			1,133		—			1,133
Other		—			927		—			927
Pennsylvania		—			21,634		—			21,634
South Carolina		—			2,178		—			2,178
South Dakota		—			2,714		—			2,714
Tennessee		—			4,605		—			4,605
Texas		—			17,610		—			17,610
Utah		—			10,066		—			10,066
Vermont		—			5,789		—			5,789
Virginia		—			1,328		—			1,328
Washington		—			13,644		—			13,644
Wisconsin		—			13,032		—			13,032
Wyoming		—			1,726		—			1,726

Total Municipal Bonds		—			322,141		—	(a)		322,141

Short-Term Investments
Investment Companies		4,873			—		—			4,873

Total Investments in Securities	$	4,873		$	322,141	$	—	(a)	$	327,014

Depreciation in Other Financial Instruments
Futures Contracts	$	(6	)	$	—	$	—		$	(6	)


For the six months ended August 31, 2021
Security Description	Value at February 28, 2021		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)		Change in Unrealized Appreciation/ (Depreciation)			Value at August 31, 2021		Shares at August 31, 2021		Dividend Income		Capital Gain Distributions
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02% (a) (b)	$	18,709	$	61,522	$	53,494	$	3	$	(3	)	$	26,737		26,723	$	2	$	—


	Intermediate Tax Free Bond Fund			Sustainable Municipal Income Fund			Tax Free Bond Fund
Futures Contracts — Interest:
Average Notional Balance Short	$	128,171	(a)	$	1,790	(b)	$	17,319
Ending Notional Balance Short		186,293			1,776			27,799


California Tax Free Bond Fund	0.30	%
High Yield Municipal Fund	0.35
Intermediate Tax Free Bond Fund	0.30
New York Tax Free Bond Fund	0.30
Short-Intermediate Municipal Bond Fund	0.25
Sustainable Municipal Income Fund	0.30
Tax Free Bond Fund	0.30
Ultra-Short Municipal Fund	0.15


	Front-End Sales Charge		CDSC
California Tax Free Bond Fund		$2	$	—
High Yield Municipal Fund		5		1
Intermediate Tax Free Bond Fund		15		—	(a)
New York Tax Free Bond Fund		3		—
Short-Intermediate Municipal Bond Fund		9		—
Sustainable Municipal Income Fund		1		—
Tax Free Bond Fund		8		—	(a)


	Contractual Waivers
	Investment Advisory Fees		Administration Fees		Service Fees		Total		Contractual Reimbursements
California Tax Free Bond Fund	$	37	$	24	$	308	$	369	$	50
High Yield Municipal Fund		95		63		487		645		58
Intermediate Tax Free Bond Fund		1,412		941		741		3,094		—
New York Tax Free Bond Fund		36		24		221		281		—
Short-Intermediate Municipal Bond Fund		774		516		895		2,185		2
Sustainable Municipal Income Fund		103		69		191		363		—
Tax Free Bond Fund		71		47		572		690		—
Ultra-Short Municipal Fund		4,571		2,286		672		7,529		—


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
California Tax Free Bond Fund	$	20,301	$	23,250	$	—	$	—
High Yield Municipal Fund		90,685		79,966		—		—
Intermediate Tax Free Bond Fund		271,859		338,751		—		—
New York Tax Free Bond Fund		34,885		24,576		—		—
Short-Intermediate Municipal Bond Fund		225,901		220,128		—		—
Sustainable Municipal Income Fund		52,002		37,029		—		—
Tax Free Bond Fund		82,243		42,021		—		—
Ultra-Short Municipal Fund		1,214,942		1,836,951		—		100,848


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
California Tax Free Bond Fund	$	406,695	$	21,790	$	355	$	21,435
High Yield Municipal Fund		494,713		33,917		870		33,047
Intermediate Tax Free Bond Fund		4,180,408		360,685		2,941		357,744
New York Tax Free Bond Fund		382,675		26,386		150		26,236
Short-Intermediate Municipal Bond Fund		1,649,554		61,032		1,183		59,849
Sustainable Municipal Income Fund		310,479		16,674		145		16,529
Tax Free Bond Fund		625,250		52,322		329		51,993
Ultra-Short Municipal Fund		5,653,024		21,258		1,042		20,216


	Capital Loss Carryforward Character
	Short-Term		Long-Term
California Tax Free Bond Fund	$	2,649	$	195
High Yield Municipal Fund		2,324		1,050
New York Tax Free Bond Fund		2,202		149
Short Intermediate Municipal Bond Fund		10,315		—
Sustainable Municipal Income Fund		—		379
Tax Free Bond Fund		6,507		3,845
Ultra-Short Municipal Fund		5,585		1,545


	Net Capital Losses (Gains)
	Short-Term			Long-Term
California Tax Free Bond Fund	$	—	(a)	$	—
High Yield Municipal Fund		—			185
New York Tax Free Bond Fund		1			2
Sustainable Municipal Income Fund		—			144
Ultra-Short Municipal Fund		8			(5	)