|
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
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© J.P. Morgan Chase & Co., 2024.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 28.2%
|
||
|
Aerospace & Defense — 0.1%
|
||
|
Boeing Co. (The) 6.30%, 5/1/2029 (a)
|
9,980
|
10,061
|
|
Automobiles — 0.5%
|
||
|
General Motors Co. 6.13%, 10/1/2025
|
9,000
|
9,044
|
|
Hyundai Capital America
|
||
|
1.80%, 10/15/2025 (a)
|
8,440
|
8,007
|
|
1.30%, 1/8/2026 (a)
|
5,075
|
4,738
|
|
3.00%, 2/10/2027 (a)
|
5,806
|
5,442
|
|
Mercedes-Benz Finance North America LLC (Germany) 2.70%, 6/14/2024 (a)
|
6,150
|
6,144
|
|
Volkswagen Group of America Finance LLC (Germany) 5.25%, 3/22/2029 (a)
|
11,430
|
11,320
|
|
|
|
44,695
|
|
Banks — 16.3%
|
||
|
ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a)
|
9,191
|
9,050
|
|
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b)
|
14,120
|
14,518
|
|
ASB Bank Ltd. (New Zealand) 5.35%, 6/15/2026 (a)
|
17,260
|
17,247
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 2.30%), 5.86%,
9/14/2026 (b)
|
24,200
|
24,181
|
|
Banco Santander SA (Spain)
|
||
|
2.75%, 5/28/2025
|
4,400
|
4,273
|
|
5.15%, 8/18/2025
|
8,400
|
8,327
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b)
|
5,000
|
4,569
|
|
6.61%, 11/7/2028
|
8,200
|
8,598
|
|
Bank of America Corp.
|
||
|
(SOFR + 0.91%), 0.98%, 9/25/2025 (b)
|
15,110
|
14,885
|
|
(3-MONTH CME TERM SOFR + 1.13%), 2.46%, 10/22/2025 (b)
|
11,710
|
11,558
|
|
(SOFR + 1.15%), 1.32%, 6/19/2026 (b)
|
14,105
|
13,471
|
|
(SOFR + 1.29%), 5.08%, 1/20/2027 (b)
|
35,240
|
34,987
|
|
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (b)
|
6,558
|
6,260
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (b)
|
25,545
|
25,407
|
|
Bank of Ireland Group plc (Ireland)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (b)
|
11,690
|
11,738
|
|
(SOFR + 1.62%), 5.60%, 3/20/2030 (a) (b)
|
8,870
|
8,764
|
|
Bank of Montreal (Canada)
|
||
|
5.30%, 6/5/2026
|
20,025
|
19,989
|
|
5.27%, 12/11/2026
|
10,410
|
10,391
|
|
Bank of New Zealand (New Zealand)
|
||
|
4.85%, 2/7/2028 (a)
|
15,120
|
14,894
|
|
5.08%, 1/30/2029 (a)
|
8,570
|
8,500
|
|
Bank of Nova Scotia (The) (Canada)
|
||
|
4.75%, 2/2/2026
|
21,890
|
21,650
|
|
5.35%, 12/7/2026
|
16,400
|
16,390
|
|
Banque Federative du Credit Mutuel SA (France)
|
||
|
4.94%, 1/26/2026 (a)
|
19,910
|
19,736
|
|
5.90%, 7/13/2026 (a)
|
13,540
|
13,664
|
|
5.09%, 1/23/2027 (a)
|
11,975
|
11,916
|
|
Barclays plc (United Kingdom) (SOFR + 1.49%), 5.67%, 3/12/2028 (b)
|
20,355
|
20,366
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
BNP Paribas SA (France)
|
||
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b)
|
17,100
|
16,500
|
|
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (b)
|
9,670
|
9,018
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b)
|
12,000
|
11,985
|
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (b)
|
13,370
|
13,312
|
|
BPCE SA (France)
|
||
|
4.63%, 7/11/2024 (a)
|
10,774
|
10,754
|
|
5.15%, 7/21/2024 (a)
|
15,685
|
15,655
|
|
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b)
|
16,801
|
15,871
|
|
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b)
|
10,480
|
10,509
|
|
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (b)
|
10,000
|
10,390
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.96%), 5.72%, 1/18/2030 (a) (b)
|
9,825
|
9,820
|
|
CaixaBank SA (Spain) (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b)
|
18,495
|
18,830
|
|
Canadian Imperial Bank of Commerce (Canada)
|
||
|
5.00%, 4/28/2028
|
17,230
|
17,072
|
|
5.26%, 4/8/2029
|
13,820
|
13,777
|
|
Citibank NA 5.49%, 12/4/2026
|
12,135
|
12,202
|
|
Citigroup, Inc.
|
||
|
(SOFR + 2.84%), 3.11%, 4/8/2026 (b)
|
8,525
|
8,337
|
|
(SOFR + 1.55%), 5.61%, 9/29/2026 (b)
|
23,415
|
23,406
|
|
(SOFR + 0.77%), 1.12%, 1/28/2027 (b)
|
13,725
|
12,766
|
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (b)
|
18,585
|
18,404
|
|
Cooperatieve Rabobank UA (Netherlands)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (a) (b)
|
10,550
|
9,933
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b)
|
9,495
|
9,513
|
|
Credit Agricole SA (France)
|
||
|
4.38%, 3/17/2025 (a)
|
29,887
|
29,461
|
|
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b)
|
12,090
|
11,620
|
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (b)
|
8,895
|
9,169
|
|
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (b)
|
14,830
|
14,735
|
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (b)
|
18,460
|
18,207
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (b)
|
7,155
|
7,163
|
|
DNB Bank ASA (Norway)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (b)
|
14,945
|
14,109
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (b)
|
20,942
|
18,808
|
|
Federation des Caisses Desjardins du Quebec (Canada)
|
||
|
2.05%, 2/10/2025 (a)
|
2,378
|
2,319
|
|
4.40%, 8/23/2025 (a)
|
2,052
|
2,025
|
|
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (a) (b)
|
25,970
|
25,870
|
|
5.25%, 4/26/2029 (a)
|
15,410
|
15,316
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.43%), 3.00%, 3/10/2026 (b)
|
10,650
|
10,426
|
|
(SOFR + 1.54%), 1.65%, 4/18/2026 (b)
|
15,272
|
14,731
|
|
(SOFR + 1.93%), 2.10%, 6/4/2026 (b)
|
11,950
|
11,517
|
|
(SOFR + 1.57%), 5.89%, 8/14/2027 (b)
|
15,380
|
15,484
|
|
(SOFR + 1.06%), 5.60%, 5/17/2028 (b)
|
18,740
|
18,793
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 2.10%), 5.80%,
1/19/2029 (a) (b)
|
5,645
|
5,676
|
|
Lloyds Banking Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (b)
|
21,380
|
21,119
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (b)
|
16,745
|
16,827
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b)
|
13,210
|
13,356
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (b)
|
20,665
|
20,784
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
|
1.41%, 7/17/2025
|
5,310
|
5,073
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (b)
|
12,160
|
12,083
|
|
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 0.67%), 1.23%,
5/22/2027 (b)
|
18,070
|
16,642
|
|
NatWest Group plc (United Kingdom)
|
||
|
4.80%, 4/5/2026
|
13,000
|
12,836
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (b)
|
2,770
|
2,837
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b)
|
16,754
|
16,799
|
|
NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (a)
|
15,350
|
15,304
|
|
Nordea Bank Abp (Finland) 4.75%, 9/22/2025 (a)
|
19,165
|
19,006
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b)
|
5,660
|
5,374
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (b)
|
10,560
|
10,713
|
|
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a)
|
15,980
|
15,908
|
|
Societe Generale SA (France)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b)
|
13,440
|
13,113
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (b)
|
31,760
|
32,010
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b)
|
2,059
|
1,897
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (b)
|
22,960
|
22,772
|
|
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.05%), 5.69%,
5/14/2028 (a) (b)
|
33,120
|
33,120
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan) 1.47%, 7/8/2025
|
20,905
|
20,004
|
|
Sumitomo Mitsui Trust Bank Ltd. (Japan) 5.65%, 3/9/2026 (a)
|
7,590
|
7,619
|
|
Toronto-Dominion Bank (The) (Canada) 5.53%, 7/17/2026
|
17,645
|
17,693
|
|
UBS AG (Switzerland) 5.00%, 7/9/2027
|
6,725
|
6,649
|
|
Wells Fargo & Co.
|
||
|
(SOFR + 1.32%), 3.91%, 4/25/2026 (b)
|
600
|
590
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (b)
|
14,645
|
13,925
|
|
(SOFR + 1.07%), 5.71%, 4/22/2028 (b)
|
23,760
|
23,923
|
|
(SOFR + 1.98%), 4.81%, 7/25/2028 (b)
|
14,025
|
13,775
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (b)
|
16,450
|
16,543
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (b)
|
7,920
|
8,196
|
|
Westpac New Zealand Ltd. (New Zealand)
|
||
|
5.13%, 2/26/2027 (a)
|
10,695
|
10,655
|
|
4.90%, 2/15/2028 (a)
|
8,935
|
8,822
|
|
|
|
1,344,779
|
|
Beverages — 0.2%
|
||
|
Constellation Brands, Inc. 5.00%, 2/2/2026
|
13,160
|
13,143
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Biotechnology — 0.1%
|
||
|
AbbVie, Inc. 2.60%, 11/21/2024
|
5,500
|
5,423
|
|
Capital Markets — 4.5%
|
||
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 1.87%), 2.13%, 11/24/2026 (b)
|
8,703
|
8,242
|
|
(SOFR + 1.22%), 2.31%, 11/16/2027 (b)
|
4,997
|
4,592
|
|
(SOFR + 1.59%), 5.71%, 2/8/2028 (b)
|
6,000
|
5,988
|
|
5.41%, 5/10/2029
|
5,235
|
5,226
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (b)
|
22,395
|
23,247
|
|
Goldman Sachs Bank USA (SOFR + 0.75%), 5.41%, 5/21/2027 (b)
|
7,050
|
7,029
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 1.08%), 5.80%, 8/10/2026 (b)
|
28,070
|
28,089
|
|
(SOFR + 0.79%), 1.09%, 12/9/2026 (b)
|
13,850
|
12,929
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (b)
|
13,300
|
13,840
|
|
(SOFR + 1.27%), 5.73%, 4/25/2030 (b)
|
13,460
|
13,638
|
|
Macquarie Group Ltd. (Australia) (SOFR + 1.07%), 1.34%, 1/12/2027 (a) (b)
|
15,754
|
14,691
|
|
Morgan Stanley
|
||
|
(SOFR + 0.51%), 5.88%, 1/22/2025 (b)
|
46,955
|
46,988
|
|
(SOFR + 0.72%), 0.99%, 12/10/2026 (b)
|
18,126
|
16,893
|
|
(SOFR + 2.24%), 6.30%, 10/18/2028 (b)
|
20,930
|
21,528
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (b)
|
10,610
|
10,540
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (b)
|
3,690
|
3,703
|
|
(SOFR + 1.26%), 5.66%, 4/18/2030 (b)
|
17,775
|
18,008
|
|
Nomura Holdings, Inc. (Japan)
|
||
|
1.85%, 7/16/2025
|
8,625
|
8,254
|
|
1.65%, 7/14/2026
|
20,765
|
19,125
|
|
State Street Corp. (SOFR + 1.48%), 5.68%, 11/21/2029 (b)
|
16,125
|
16,463
|
|
UBS AG (Switzerland) 7.50%, 2/15/2028
|
1,030
|
1,100
|
|
UBS Group AG (Switzerland)
|
||
|
3.75%, 3/26/2025
|
2,555
|
2,515
|
|
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b)
|
30,000
|
29,728
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b)
|
8,594
|
8,590
|
|
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b)
|
5,038
|
5,163
|
|
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (b)
|
24,645
|
24,689
|
|
|
|
370,798
|
|
Construction & Engineering — 0.2%
|
||
|
Quanta Services, Inc. 0.95%, 10/1/2024
|
16,200
|
15,935
|
|
Consumer Finance — 1.8%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
1.65%, 10/29/2024
|
5,830
|
5,732
|
|
6.50%, 7/15/2025
|
12,660
|
12,756
|
|
4.45%, 10/1/2025
|
4,295
|
4,230
|
|
6.45%, 4/15/2027
|
14,854
|
15,205
|
|
American Express Co.
|
||
|
(SOFR + 1.00%), 4.99%, 5/1/2026 (b)
|
11,195
|
11,121
|
|
(SOFR + 0.75%), 5.65%, 4/23/2027 (b)
|
20,170
|
20,240
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
5.50%, 1/15/2026 (a)
|
16,775
|
16,598
|
|
5.75%, 3/1/2029 (a)
|
22,610
|
22,451
|
|
Capital One Financial Corp.
|
||
|
(SOFR + 2.08%), 5.47%, 2/1/2029 (b)
|
10,450
|
10,366
|
|
(SOFR + 1.91%), 5.70%, 2/1/2030 (b)
|
13,230
|
13,223
|
|
General Motors Financial Co., Inc. 5.55%, 7/15/2029
|
15,965
|
15,894
|
|
|
|
147,816
|
|
Electric Utilities — 0.7%
|
||
|
Alliant Energy Finance LLC 1.40%, 3/15/2026 (a)
|
4,640
|
4,268
|
|
Entergy Corp. 0.90%, 9/15/2025
|
2,915
|
2,746
|
|
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025
|
7,435
|
7,448
|
|
Pacific Gas and Electric Co. 5.55%, 5/15/2029
|
26,901
|
26,883
|
|
Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027
|
4,085
|
4,062
|
|
Vistra Operations Co. LLC 3.55%, 7/15/2024 (a)
|
12,000
|
11,963
|
|
|
|
57,370
|
|
Financial Services — 0.4%
|
||
|
Global Payments, Inc. 4.95%, 8/15/2027
|
12,305
|
12,143
|
|
Nationwide Building Society (United Kingdom)
|
||
|
(SOFR + 1.91%), 6.56%, 10/18/2027 (a) (b)
|
17,115
|
17,454
|
|
(SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b)
|
5,000
|
4,669
|
|
|
|
34,266
|
|
Ground Transportation — 0.1%
|
||
|
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a)
|
9,600
|
9,005
|
|
Health Care Providers & Services — 0.2%
|
||
|
McKesson Corp. 5.25%, 2/15/2026
|
17,250
|
17,188
|
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
|
Constellation Energy Generation LLC
|
||
|
3.25%, 6/1/2025
|
4,675
|
4,568
|
|
5.60%, 3/1/2028
|
10,415
|
10,509
|
|
|
|
15,077
|
|
Insurance — 1.4%
|
||
|
Athene Global Funding
|
||
|
2.75%, 6/25/2024 (a)
|
2,970
|
2,964
|
|
0.91%, 8/19/2024 (a)
|
29,420
|
29,115
|
|
2.50%, 1/14/2025 (a)
|
3,165
|
3,103
|
|
CNO Global Funding 5.88%, 6/4/2027 (a)
|
16,775
|
16,816
|
|
Equitable Financial Life Global Funding 1.00%, 1/9/2026 (a)
|
13,395
|
12,452
|
|
F&G Global Funding 1.75%, 6/30/2026 (a)
|
11,240
|
10,302
|
|
Jackson National Life Global Funding 3.88%, 6/11/2025 (a)
|
10,000
|
9,805
|
|
Metropolitan Life Global Funding I 4.85%, 1/8/2029 (a)
|
13,780
|
13,597
|
|
Protective Life Global Funding 5.21%, 4/14/2026 (a)
|
17,325
|
17,279
|
|
|
|
115,433
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — 0.4%
|
||
|
DTE Energy Co. 5.10%, 3/1/2029
|
20,225
|
19,951
|
|
NiSource, Inc. 0.95%, 8/15/2025
|
7,710
|
7,296
|
|
WEC Energy Group, Inc. 5.00%, 9/27/2025
|
5,625
|
5,587
|
|
|
|
32,834
|
|
Oil, Gas & Consumable Fuels — 0.4%
|
||
|
Energy Transfer LP 5.63%, 5/1/2027 (a)
|
16,335
|
16,284
|
|
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a)
|
12,825
|
12,280
|
|
|
|
28,564
|
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
|
Microchip Technology, Inc. 4.25%, 9/1/2025
|
7,850
|
7,726
|
|
Software — 0.1%
|
||
|
VMware LLC 1.00%, 8/15/2024
|
11,550
|
11,436
|
|
Trading Companies & Distributors — 0.3%
|
||
|
Air Lease Corp.
|
||
|
4.25%, 9/15/2024
|
2,500
|
2,488
|
|
1.88%, 8/15/2026
|
19,605
|
18,101
|
|
|
|
20,589
|
|
Wireless Telecommunication Services — 0.2%
|
||
|
T-Mobile USA, Inc. 3.38%, 4/15/2029
|
17,770
|
16,263
|
|
Total Corporate Bonds
(Cost $2,343,901)
|
|
2,318,401
|
|
U.S. Treasury Obligations — 24.5%
|
||
|
U.S. Treasury Notes
|
|
|
|
4.25%, 9/30/2024
|
2,445
|
2,436
|
|
4.25%, 12/31/2024
|
3,410
|
3,389
|
|
3.88%, 3/31/2025
|
1,417
|
1,402
|
|
4.63%, 6/30/2025
|
2,925
|
2,909
|
|
5.00%, 8/31/2025
|
3,685
|
3,679
|
|
4.00%, 12/15/2025
|
6,360
|
6,265
|
|
3.88%, 1/15/2026
|
9,835
|
9,665
|
|
4.00%, 2/15/2026
|
983
|
968
|
|
4.63%, 2/28/2026
|
1,695
|
1,686
|
|
4.63%, 3/15/2026
|
2,240
|
2,228
|
|
4.88%, 4/30/2026
|
9,030
|
9,027
|
|
3.63%, 5/15/2026
|
41,665
|
40,695
|
|
4.13%, 6/15/2026
|
10,400
|
10,252
|
|
4.50%, 7/15/2026
|
171,595
|
170,415
|
|
4.63%, 10/15/2026
|
133,540
|
133,060
|
|
4.63%, 11/15/2026
|
120,125
|
119,740
|
|
4.38%, 12/15/2026
|
29,655
|
29,392
|
|
4.00%, 1/15/2027
|
401,135
|
393,974
|
|
4.13%, 2/15/2027
|
255,220
|
251,451
|
|
4.25%, 3/15/2027
|
289,340
|
285,994
|
|
4.50%, 4/15/2027
|
159,840
|
159,066
|
|
2.75%, 4/30/2027
|
3,000
|
2,844
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
4.50%, 5/15/2027
|
368,290
|
366,564
|
|
4.25%, 2/28/2029
|
5,195
|
5,137
|
|
Total U.S. Treasury Obligations
(Cost $2,024,585)
|
|
2,012,238
|
|
Asset-Backed Securities — 24.0%
|
||
|
ACC Trust Series 2022-1, Class B, 2.55%, 2/20/2025 (a)
|
1,434
|
1,410
|
|
Accelerated LLC Series 2021-1H, Class A, 1.35%, 10/20/2040 (a)
|
925
|
844
|
|
ACHV ABS TRUST Series 2023-1PL, Class B, 6.80%, 3/18/2030 (a)
|
2,848
|
2,850
|
|
ACM Auto Trust Series 2023-1A, Class B, 7.26%, 1/22/2030 (a)
|
2,237
|
2,239
|
|
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 6.26%, 12/18/2037 (a) (c)
|
110
|
109
|
|
Affirm Asset Securitization Trust
|
|
|
|
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (a)
|
11,645
|
11,685
|
|
Series 2024-X1, Class A, 6.27%, 5/15/2029 (a)
|
9,000
|
9,008
|
|
Ally Auto Receivables Trust Series 2024-1, Class A3, 5.08%, 12/15/2028
|
7,491
|
7,455
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2023-2, Class B, 5.61%, 6/14/2027 (a)
|
3,800
|
3,791
|
|
Series 2024-2, Class B, 6.10%, 12/13/2027 (a)
|
5,330
|
5,334
|
|
Series 2021-4, Class C, 1.32%, 2/14/2028 (a)
|
607
|
606
|
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (a)
|
4,299
|
4,288
|
|
Series 2022-4, Class C, 7.86%, 2/15/2029 (a)
|
8,395
|
8,458
|
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (a)
|
2,500
|
2,490
|
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (a)
|
3,625
|
3,624
|
|
Series 2024-2, Class C, 6.24%, 4/12/2030 (a)
|
11,879
|
11,899
|
|
AMSR Trust
|
|
|
|
Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a)
|
5,682
|
5,377
|
|
Series 2020-SFR3, Class B, 1.81%, 9/17/2037 (a)
|
9,780
|
9,260
|
|
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a)
|
4,130
|
3,886
|
|
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (a)
|
12,400
|
11,684
|
|
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 (a)
|
8,000
|
7,513
|
|
Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (a)
|
8,230
|
7,160
|
|
Series 2021-SFR2, Class B, 1.78%, 8/17/2038 (a)
|
15,096
|
13,780
|
|
Series 2021-SFR2, Class C, 1.88%, 8/17/2038 (a)
|
2,000
|
1,820
|
|
Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a)
|
1,422
|
1,290
|
|
Series 2021-SFR3, Class B, 1.73%, 10/17/2038 (a)
|
7,207
|
6,532
|
|
Series 2022-SFR3, Class C, 4.00%, 10/17/2039 (a)
|
2,000
|
1,871
|
|
Amur Equipment Finance Receivables LLC
|
|
|
|
Series 2021-1A, Class A2, 0.75%, 11/20/2026 (a)
|
119
|
119
|
|
Series 2023-1A, Class A2, 6.09%, 12/20/2029 (a)
|
4,781
|
4,805
|
|
Series 2024-1A, Class A2, 5.38%, 1/21/2031 (a)
|
6,125
|
6,101
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class A, 3.14%, 7/16/2040 (a)
|
1,296
|
1,220
|
|
Series 2021-A, Class A, 1.54%, 7/17/2046 (a)
|
1,570
|
1,405
|
|
Series 2020-AA, Class A, 1.90%, 7/17/2046 (a)
|
641
|
594
|
|
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4, Class A, 6.78%, 11/15/2036 (a) (c)
|
3,425
|
3,411
|
|
AREIT Trust Series 2021-CRE5, Class C, 7.69%, 11/17/2038 ‡ (a) (c)
|
8,292
|
7,981
|
|
Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a)
|
12,500
|
12,537
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2020-2A, Class A, 2.02%, 2/20/2027 (a)
|
22,865
|
21,605
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-2A, Class A, 1.66%, 2/20/2028 (a)
|
4,500
|
4,091
|
|
Barings CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-4A, Class A1R, 6.48%, 10/15/2030 (a) (c)
|
16,615
|
16,619
|
|
Series 2015-2A, Class B2R, 7.18%, 10/20/2030 (a) (c)
|
1,800
|
1,802
|
|
Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class A, 6.42%, 12/26/2031 (a) (c)
|
8,614
|
8,638
|
|
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class C, 5.83%, 12/15/2028 (a)
|
1,000
|
997
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 5.74%, 6/25/2043 (c)
|
92
|
87
|
|
BHG Securitization Trust Series 2021-B, Class A, 0.90%, 10/17/2034 (a)
|
2,574
|
2,523
|
|
BOF Funding Trust Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a)
|
2,012
|
1,962
|
|
BofA Auto Trust
|
|
|
|
Series 2024-1A, Class A3, 5.35%, 11/15/2028 (a)
|
6,975
|
6,953
|
|
Series 2024-1A, Class A4, 5.31%, 6/17/2030 (a)
|
4,260
|
4,239
|
|
Bridge Trust Series 2022-SFR1, Class B, 4.15%, 11/17/2037 (a)
|
10,575
|
10,202
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-1, Class A3, 5.53%, 1/18/2028
|
4,000
|
3,994
|
|
Series 2024-1, Class B, 5.43%, 8/15/2028
|
5,500
|
5,475
|
|
Series 2024-1, Class C, 5.65%, 4/16/2029
|
6,750
|
6,727
|
|
Series 2023-1, Class B, 6.80%, 8/15/2029
|
1,546
|
1,570
|
|
Series 2023-1, Class C, 7.10%, 8/15/2029
|
6,950
|
7,116
|
|
Series 2024-2, Class B, 5.94%, 2/15/2030
|
1,075
|
1,077
|
|
Series 2024-2, Class C, 6.07%, 2/15/2030
|
10,360
|
10,389
|
|
British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%,
6/20/2024 (a)
|
292
|
292
|
|
BRSP Ltd. Series 2021-FL1, Class A, 6.58%, 8/19/2038 (a) (c)
|
4,348
|
4,297
|
|
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 7.48%, 12/15/2038 (a) (c)
|
7,025
|
6,901
|
|
Business Jet Securities LLC
|
|
|
|
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a)
|
9,943
|
9,349
|
|
Series 2024-1A, Class A, 6.20%, 5/15/2039 (a)
|
15,666
|
15,731
|
|
Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1R, 0.00%, 10/15/2031 (a) (c) (d)
|
8,902
|
8,902
|
|
BXMT Ltd. Series 2021-FL4, Class A, 6.49%, 5/15/2038 (a) (c)
|
5,777
|
5,549
|
|
CarMax Auto Owner Trust Series 2024-2, Class A3, 5.50%, 1/16/2029
|
5,125
|
5,143
|
|
CarNow Auto Receivables Trust Series 2023-1A, Class B, 6.95%, 3/16/2026 (a)
|
3,024
|
3,023
|
|
CarVal CLO Ltd. (Cayman Islands) Series 2018-1A, Class AR, 6.55%, 7/16/2031 (a) (c)
|
17,492
|
17,520
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2019-3A, Class E, 4.60%, 7/15/2026 (a)
|
1,300
|
1,296
|
|
Series 2023-N1, Class B, 5.85%, 11/10/2027 (a)
|
13,950
|
13,931
|
|
Series 2024-N1, Class A3, 5.60%, 3/10/2028 (a)
|
6,500
|
6,482
|
|
Series 2023-P3, Class A3, 5.82%, 8/10/2028 (a)
|
3,445
|
3,454
|
|
Series 2021-N4, Class B, 1.24%, 9/11/2028
|
1,207
|
1,137
|
|
Series 2021-N4, Class C, 1.72%, 9/11/2028
|
1,314
|
1,239
|
|
Series 2023-P1, Class A4, 5.94%, 1/10/2029 (a)
|
3,500
|
3,534
|
|
Series 2024-P1, Class A3, 5.05%, 4/10/2029 (a)
|
6,900
|
6,845
|
|
Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a)
|
1,750
|
1,765
|
|
Series 2024-P1, Class A4, 5.08%, 3/11/2030 (a)
|
3,250
|
3,220
|
|
Series 2024-N1, Class B, 5.63%, 5/10/2030 (a)
|
9,857
|
9,835
|
|
CFMT LLC
|
|
|
|
Series 2021-HB7, Class A, 1.15%, 10/27/2031 ‡ (a) (c)
|
3,924
|
3,840
|
|
Series 2022-HB9, Class A, 3.25%, 9/25/2037 ‡ (a) (c)
|
5,892
|
5,634
|
|
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (a)
|
1,562
|
1,550
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
CoreVest American Finance Trust
|
|
|
|
Series 2020-4, Class A, 1.17%, 12/15/2052 (a)
|
2,381
|
2,246
|
|
Series 2020-3, Class A, 1.36%, 8/15/2053 (a)
|
1,712
|
1,610
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2020-C, Class D, 2.41%, 11/16/2026 (a)
|
1,766
|
1,761
|
|
Series 2021-D, Class C, 1.59%, 12/15/2027 (a)
|
7,545
|
7,487
|
|
Series 2022-A, Class C, 2.17%, 4/16/2029 (a)
|
9,256
|
9,114
|
|
Series 2022-A, Class D, 2.84%, 4/16/2029 (a)
|
4,425
|
4,232
|
|
Series 2023-A, Class D, 6.44%, 4/16/2029 (a)
|
2,250
|
2,259
|
|
Series 2022-C, Class C, 5.28%, 4/15/2030 (a)
|
8,120
|
8,059
|
|
Series 2022-C, Class D, 6.45%, 4/15/2030 (a)
|
5,040
|
5,054
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2021-2A, Class C, 1.64%, 6/17/2030 (a)
|
1,553
|
1,550
|
|
Series 2021-4, Class A, 1.26%, 10/15/2030 (a)
|
4,930
|
4,879
|
|
Series 2021-4, Class B, 1.74%, 12/16/2030 (a)
|
2,596
|
2,524
|
|
Series 2023-1A, Class A, 6.48%, 3/15/2033 (a)
|
2,250
|
2,267
|
|
Series 2023-2A, Class A, 5.92%, 5/16/2033 (a)
|
9,250
|
9,257
|
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (a)
|
6,000
|
6,107
|
|
Series 2023-2A, Class B, 6.61%, 7/15/2033 (a)
|
6,000
|
6,065
|
|
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a)
|
7,000
|
7,198
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
|
1,858
|
1,879
|
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a)
|
1,350
|
1,381
|
|
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a)
|
5,952
|
6,149
|
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
4,000
|
4,068
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (a)
|
14,025
|
14,029
|
|
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a)
|
8,892
|
9,132
|
|
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a)
|
10,450
|
10,554
|
|
Crossroads Asset Trust Series 2022-A, Class A, 6.35%, 4/21/2031 (a)
|
3,785
|
3,779
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 6.34%, 10/25/2034 (c)
|
78
|
77
|
|
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a)
|
1,069
|
1,059
|
|
Diamond Resorts Owner Trust
|
|
|
|
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a)
|
1,289
|
1,205
|
|
Series 2021-1A, Class B, 2.05%, 11/21/2033 (a)
|
297
|
279
|
|
Drive Auto Receivables Trust
|
|
|
|
Series 2021-2, Class C, 0.87%, 10/15/2027
|
386
|
384
|
|
Series 2024-1, Class B, 5.31%, 1/16/2029
|
3,750
|
3,726
|
|
Series 2024-1, Class C, 5.43%, 11/17/2031
|
7,142
|
7,103
|
|
Driven Brands Funding LLC Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a)
|
1,161
|
1,127
|
|
Dryden Senior Loan Fund (Cayman Islands) Series 2017-49A, Class AR, 6.54%, 7/18/2030 (a) (c)
|
629
|
630
|
|
DT Auto Owner Trust
|
|
|
|
Series 2020-1A, Class D, 2.55%, 11/17/2025 (a)
|
1,647
|
1,640
|
|
Series 2020-3A, Class C, 1.47%, 6/15/2026 (a)
|
44
|
44
|
|
Series 2021-1A, Class C, 0.84%, 10/15/2026 (a)
|
953
|
949
|
|
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a)
|
3,250
|
3,155
|
|
Series 2021-2A, Class C, 1.10%, 2/16/2027 (a)
|
933
|
929
|
|
Series 2021-3A, Class C, 0.87%, 5/17/2027 (a)
|
5,855
|
5,791
|
|
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a)
|
9,655
|
9,138
|
|
Series 2021-4A, Class C, 1.50%, 9/15/2027 (a)
|
6,211
|
6,085
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a)
|
7,478
|
7,611
|
|
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a)
|
13,425
|
13,352
|
|
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a)
|
1,993
|
2,000
|
|
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a)
|
6,746
|
6,770
|
|
Elara HGV Timeshare Issuer LLC
|
|
|
|
Series 2021-A, Class A, 1.36%, 8/27/2035 (a)
|
491
|
451
|
|
Series 2021-A, Class B, 1.74%, 8/27/2035 (a)
|
672
|
617
|
|
Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class A1R, 6.59%, 7/20/2037 (a) (c)
|
21,665
|
21,691
|
|
Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a)
|
7,818
|
7,844
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2019-4A, Class D, 2.58%, 9/15/2025 (a)
|
1,329
|
1,324
|
|
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)
|
795
|
794
|
|
Series 2021-2A, Class C, 0.98%, 6/15/2026
|
268
|
267
|
|
Series 2021-3A, Class C, 0.96%, 10/15/2026
|
12,410
|
12,271
|
|
Series 2022-2A, Class B, 3.65%, 10/15/2026
|
469
|
468
|
|
Series 2023-3A, Class B, 6.11%, 9/15/2027
|
2,062
|
2,063
|
|
Series 2021-4A, Class C, 1.46%, 10/15/2027
|
5,483
|
5,422
|
|
Series 2024-2A, Class B, 5.61%, 4/17/2028
|
2,383
|
2,379
|
|
Series 2023-3A, Class C, 6.21%, 6/15/2028
|
6,815
|
6,835
|
|
Series 2023-5A, Class C, 6.85%, 1/16/2029
|
9,000
|
9,175
|
|
Series 2022-6A, Class D, 8.03%, 4/6/2029
|
6,964
|
7,205
|
|
Series 2024-2A, Class C, 5.74%, 5/15/2029
|
15,216
|
15,174
|
|
Series 2023-5A, Class D, 7.13%, 2/15/2030
|
3,300
|
3,386
|
|
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a)
|
704
|
695
|
|
FHF Trust
|
|
|
|
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a)
|
3,825
|
3,734
|
|
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a)
|
1,697
|
1,668
|
|
Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a)
|
8,145
|
8,167
|
|
First Investors Auto Owner Trust Series 2023-1A, Class B, 6.55%, 12/17/2029 (a)
|
5,685
|
5,775
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (a)
|
5,776
|
5,471
|
|
Series 2020-SFR1, Class C, 1.94%, 8/17/2037 (a)
|
2,307
|
2,188
|
|
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a)
|
6,534
|
6,151
|
|
Series 2021-SFR1, Class B, 1.79%, 8/17/2038 (a)
|
2,735
|
2,497
|
|
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (a)
|
4,000
|
3,645
|
|
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (a)
|
13,000
|
11,875
|
|
Series 2022-SFR1, Class B, 4.49%, 5/19/2039 (a)
|
5,000
|
4,815
|
|
Series 2022-SFR1, Class C, 4.64%, 5/19/2039 (a)
|
7,000
|
6,709
|
|
Flagship Credit Auto Trust
|
|
|
|
Series 2020-2, Class D, 5.75%, 4/15/2026 (a)
|
2,732
|
2,724
|
|
Series 2020-3, Class C, 1.73%, 9/15/2026 (a)
|
3,464
|
3,419
|
|
Series 2020-3, Class D, 2.50%, 9/15/2026 (a)
|
4,665
|
4,496
|
|
Series 2020-4, Class C, 1.28%, 2/16/2027 (a)
|
442
|
436
|
|
Series 2021-1, Class C, 0.91%, 3/15/2027 (a)
|
6,832
|
6,693
|
|
Series 2021-3, Class C, 1.46%, 9/15/2027 (a)
|
16,250
|
15,515
|
|
Series 2022-3, Class D, 6.00%, 7/17/2028 (a)
|
6,666
|
6,578
|
|
Series 2023-3, Class C, 6.01%, 7/16/2029 (a)
|
2,550
|
2,560
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Foundation Finance Trust
|
|
|
|
Series 2020-1A, Class A, 3.54%, 7/16/2040 (a)
|
1,459
|
1,429
|
|
Series 2021-1A, Class A, 1.27%, 5/15/2041 (a)
|
8,154
|
7,386
|
|
FRTKL
|
|
|
|
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a)
|
4,960
|
4,498
|
|
Series 2021-SFR1, Class C, 1.92%, 9/17/2038 (a)
|
5,000
|
4,526
|
|
Galaxy CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2015-19A, Class A1RR, 6.53%, 7/24/2030 (a) (c)
|
3,809
|
3,816
|
|
Series 2018-26A, Class AR, 6.50%, 11/22/2031 (a) (c)
|
13,865
|
13,865
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2020-2A, Class C, 4.57%, 4/15/2026 (a)
|
952
|
951
|
|
Series 2021-3A, Class C, 1.11%, 9/15/2026 (a)
|
4,627
|
4,557
|
|
Series 2020-4A, Class D, 1.64%, 10/15/2026 (a)
|
5,911
|
5,824
|
|
Series 2024-1A, Class C, 5.64%, 12/17/2029 (a)
|
4,925
|
4,894
|
|
GLS Auto Select Receivables Trust
|
|
|
|
Series 2023-2A, Class A2, 6.37%, 6/15/2028 (a)
|
5,522
|
5,552
|
|
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a)
|
4,000
|
4,024
|
|
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a)
|
3,400
|
3,441
|
|
Series 2024-1A, Class A2, 5.24%, 3/15/2030 (a)
|
5,149
|
5,120
|
|
Series 2024-1A, Class C, 5.69%, 3/15/2030 (a)
|
973
|
967
|
|
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a)
|
7,085
|
6,668
|
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class A3, 6.46%, 9/20/2032 (a)
|
12,000
|
12,167
|
|
Harley-Davidson Motorcycle Trust Series 2024-A, Class A3, 5.37%, 3/15/2029
|
15,539
|
15,546
|
|
Hertz Vehicle Financing LLC
|
|
|
|
Series 2022-4A, Class A, 3.73%, 9/25/2026 (a)
|
1,140
|
1,115
|
|
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
10,000
|
10,014
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2023-1A, Class A, 5.72%, 1/25/2038 (a)
|
2,704
|
2,718
|
|
Series 2024-2A, Class A, 5.50%, 3/25/2038 (a)
|
1,843
|
1,845
|
|
Series 2020-AA, Class A, 2.74%, 2/25/2039 (a)
|
198
|
188
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class A, 1.90%, 12/17/2026 (a)
|
1,312
|
1,199
|
|
Series 2021-2, Class B, 2.30%, 12/17/2026 (a)
|
5,766
|
5,291
|
|
Honda Auto Receivables Owner Trust Series 2024-1, Class A3, 5.21%, 8/15/2028
|
18,416
|
18,395
|
|
Hyundai Auto Lease Securitization Trust Series 2024-A, Class A4, 5.07%, 2/15/2028 (a)
|
5,000
|
4,969
|
|
Hyundai Auto Receivables Trust Series 2024-A, Class A3, 4.99%, 2/15/2029
|
9,487
|
9,433
|
|
KKR Static CLO Ltd. (Cayman Islands) Series 2022-1A, Class AR, 6.71%, 7/20/2031 (a) (c)
|
8,526
|
8,543
|
|
LCM LP (Cayman Islands) Series 14A, Class AR, 6.63%, 7/20/2031 (a) (c)
|
10,674
|
10,693
|
|
Lendbuzz Securitization Trust
|
|
|
|
Series 2021-1A, Class A, 1.46%, 6/15/2026 (a)
|
5,042
|
4,931
|
|
Series 2022-1A, Class A, 4.22%, 5/17/2027 (a)
|
3,184
|
3,137
|
|
Series 2023-2A, Class A2, 7.09%, 10/16/2028 (a)
|
3,141
|
3,167
|
|
Lendmark Funding Trust Series 2021-2A, Class A, 2.00%, 4/20/2032 (a)
|
4,888
|
4,415
|
|
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a)
|
5,595
|
5,609
|
|
M&T Equipment Notes Series 2023-1A, Class A3, 5.74%, 7/15/2030 (a)
|
11,454
|
11,442
|
|
Magnetite Ltd. (Cayman Islands) Series 2015-15A, Class AR, 6.60%, 7/25/2031 (a) (c)
|
734
|
735
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2020-AA, Class A, 2.19%, 8/21/2034 (a)
|
1,282
|
1,268
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2023-AA, Class A, 6.70%, 10/22/2035 (a)
|
14,800
|
14,943
|
|
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a)
|
15,923
|
14,645
|
|
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a)
|
13,694
|
13,754
|
|
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a)
|
15,481
|
15,592
|
|
Mission Lane Credit Card Master Trust Series 2022-A, Class A, 6.92%, 9/15/2027 (a)
|
3,616
|
3,616
|
|
Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 7.69%, 3/25/2033 (c)
|
102
|
100
|
|
MVW LLC Series 2020-1A, Class A, 1.74%, 10/20/2037 (a)
|
973
|
914
|
|
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.51%, 10/15/2029 (a) (c)
|
10,620
|
10,635
|
|
New Economy Assets Phase Sponsor LLC Series 2021-1, Class A1, 1.91%, 10/20/2061 (a)
|
1,816
|
1,608
|
|
Nissan Auto Lease Trust
|
|
|
|
Series 2024-A, Class A2A, 5.11%, 10/15/2026
|
5,300
|
5,280
|
|
Series 2024-A, Class A3, 4.91%, 4/15/2027
|
5,714
|
5,660
|
|
NMEF Funding LLC
|
|
|
|
Series 2021-A, Class B, 1.85%, 12/15/2027 (a)
|
256
|
256
|
|
Series 2022-A, Class B, 3.35%, 10/16/2028 (a)
|
2,750
|
2,683
|
|
Series 2023-A, Class A2, 6.57%, 6/17/2030 (a)
|
9,715
|
9,764
|
|
NRZ Excess Spread-Collateralized Notes
|
|
|
|
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a)
|
803
|
758
|
|
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)
|
8,723
|
8,227
|
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
2,713
|
2,515
|
|
OCP CLO Ltd. (Cayman Islands) Series 2014-6A, Class A1R2, 6.47%, 10/17/2030 (a) (c)
|
19,170
|
19,173
|
|
Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 6.55%,
4/16/2031 (a) (c)
|
2,327
|
2,330
|
|
Octane Receivables Trust
|
|
|
|
Series 2020-1A, Class C, 2.89%, 3/20/2026 (a)
|
3,486
|
3,465
|
|
Series 2021-2A, Class A, 1.21%, 9/20/2028 (a)
|
928
|
910
|
|
Series 2021-2A, Class B, 2.02%, 9/20/2028 (a)
|
4,800
|
4,567
|
|
Series 2023-1A, Class A, 5.87%, 5/21/2029 (a)
|
4,256
|
4,256
|
|
Series 2023-1A, Class B, 5.96%, 7/20/2029 (a)
|
4,100
|
4,091
|
|
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a)
|
5,850
|
5,940
|
|
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a)
|
2,614
|
2,534
|
|
Oportun Issuance Trust
|
|
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (a)
|
6,148
|
5,824
|
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (a)
|
18,975
|
17,964
|
|
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a)
|
1,380
|
1,354
|
|
Pagaya AI Debt Trust Series 2023-1, Class A, 7.56%, 7/15/2030 (a)
|
2,629
|
2,639
|
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
|
Series 2022-1A, Class A1, 6.38%, 4/15/2030 (a) (c)
|
7,147
|
7,157
|
|
Series 2023-2A, Class A1, 6.77%, 1/25/2032 (a) (c)
|
15,825
|
15,908
|
|
Series 2024-3A, Class A1, 0.00%, 8/8/2032 (a) (c) (d)
|
16,832
|
16,832
|
|
Pawneee Equipment Receivables LLC
|
|
|
|
Series 2021-1, Class A2, 1.10%, 7/15/2027 (a)
|
632
|
625
|
|
Series 2021-1, Class B, 1.82%, 7/15/2027 (a)
|
5,934
|
5,737
|
|
Series 2022-1, Class A3, 5.17%, 2/15/2028 (a)
|
5,612
|
5,585
|
|
Post Road Equipment Finance LLC Series 2024-1A, Class A2, 5.59%, 11/15/2029 (a)
|
16,384
|
16,362
|
|
PowerPay Issuance Trust Series 2024-1A, Class A, 6.53%, 2/18/2039 (a)
|
2,850
|
2,844
|
|
PRET LLC
|
|
|
|
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (e)
|
9,762
|
9,474
|
|
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (e)
|
5,243
|
5,122
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Pretium Mortgage Credit Partners I LLC
|
|
|
|
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (e)
|
9,290
|
9,083
|
|
Series 2021-NPL1, Class A1, 5.24%, 9/27/2060 (a) (e)
|
4,491
|
4,444
|
|
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (e)
|
6,509
|
6,347
|
|
Progress Residential
|
|
|
|
Series 2021-SFR3, Class B, 1.89%, 5/17/2026 (a)
|
16,067
|
14,859
|
|
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a)
|
1,800
|
1,658
|
|
Series 2021-SFR1, Class B, 1.30%, 4/17/2038 (a)
|
2,750
|
2,532
|
|
Series 2021-SFR4, Class B, 1.81%, 5/17/2038 (a)
|
8,800
|
8,148
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a)
|
7,256
|
6,654
|
|
Series 2021-SFR6, Class B, 1.75%, 7/17/2038 (a)
|
17,500
|
16,033
|
|
Series 2021-SFR8, Class B, 1.68%, 10/17/2038 (a)
|
9,000
|
8,157
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a)
|
4,650
|
4,186
|
|
Series 2022-SFR6, Class B, 5.00%, 7/20/2039 (a)
|
4,000
|
3,907
|
|
PRPM LLC
|
|
|
|
Series 2021-2, Class A1, 5.11%, 3/25/2026 (a) (c)
|
5,896
|
5,846
|
|
Series 2021-3, Class A1, 4.87%, 4/25/2026 (a) (e)
|
2,869
|
2,817
|
|
Series 2021-4, Class A1, 4.87%, 4/25/2026 (a) (e)
|
4,879
|
4,833
|
|
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (e)
|
12,398
|
12,186
|
|
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (e)
|
9,783
|
9,508
|
|
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (e)
|
4,446
|
4,303
|
|
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (e)
|
1,702
|
1,668
|
|
Reach ABS Trust Series 2023-1A, Class A, 7.05%, 2/18/2031 (a)
|
1,225
|
1,228
|
|
Regional Management Issuance Trust
|
|
|
|
Series 2020-1, Class A, 2.34%, 10/15/2030 (a)
|
2,220
|
2,191
|
|
Series 2021-1, Class A, 1.68%, 3/17/2031 (a)
|
11,173
|
10,853
|
|
Series 2021-2, Class A, 1.90%, 8/15/2033 (a)
|
1,103
|
995
|
|
Republic Finance Issuance Trust
|
|
|
|
Series 2020-A, Class A, 2.47%, 11/20/2030 (a)
|
2,266
|
2,247
|
|
Series 2021-A, Class A, 2.30%, 12/22/2031 (a)
|
9,937
|
9,561
|
|
Series 2021-A, Class B, 2.80%, 12/22/2031 (a)
|
3,000
|
2,794
|
|
Santander Bank Auto Credit-Linked Notes Series 2023-B, Class D, 6.66%, 12/15/2033 (a)
|
1,200
|
1,199
|
|
Santander Consumer Auto Receivables Trust Series 2021-AA, Class C, 1.03%, 11/16/2026 (a)
|
1,500
|
1,437
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2020-2, Class D, 2.22%, 9/15/2026
|
764
|
762
|
|
Series 2021-1, Class D, 1.13%, 11/16/2026
|
3,164
|
3,108
|
|
Series 2020-3, Class D, 1.64%, 11/16/2026
|
498
|
493
|
|
Series 2020-4, Class D, 1.48%, 1/15/2027
|
6,108
|
6,023
|
|
Series 2021-2, Class D, 1.35%, 7/15/2027
|
2,798
|
2,726
|
|
Series 2021-3, Class D, 1.33%, 9/15/2027
|
2,694
|
2,613
|
|
Series 2023-4, Class B, 5.77%, 12/15/2028
|
7,291
|
7,324
|
|
Series 2023-6, Class B, 5.98%, 4/16/2029
|
2,500
|
2,528
|
|
Series 2022-3, Class C, 4.49%, 8/15/2029
|
1,000
|
981
|
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
20,750
|
20,432
|
|
Series 2023-3, Class C, 5.77%, 11/15/2030
|
4,000
|
4,011
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
16,625
|
16,458
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
10,600
|
10,550
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2023-5, Class C, 6.43%, 2/18/2031
|
6,750
|
6,924
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
4,700
|
4,750
|
|
Series 2023-4, Class C, 6.04%, 12/15/2031
|
14,925
|
15,087
|
|
SBNA Auto Lease Trust
|
|
|
|
Series 2024-A, Class A3, 5.39%, 11/20/2026 (a)
|
22,050
|
21,994
|
|
Series 2024-B, Class A3, 5.56%, 11/22/2027 (a)
|
1,560
|
1,560
|
|
Series 2024-B, Class A4, 5.55%, 12/20/2028 (a)
|
9,000
|
9,017
|
|
Series 2024-A, Class A4, 5.24%, 1/22/2029 (a)
|
4,000
|
3,984
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2022-2A, Class B, 6.50%, 2/20/2032 (a)
|
2,000
|
2,030
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a)
|
4,057
|
4,133
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2019-3A, Class A, 2.34%, 8/20/2036 (a)
|
274
|
271
|
|
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a)
|
156
|
150
|
|
Series 2020-2A, Class B, 2.32%, 7/20/2037 (a)
|
610
|
588
|
|
Series 2021-1A, Class A, 0.99%, 11/20/2037 (a)
|
874
|
829
|
|
Series 2021-1A, Class B, 1.34%, 11/20/2037 (a)
|
538
|
510
|
|
Series 2021-1A, Class C, 1.79%, 11/20/2037 (a)
|
478
|
453
|
|
Series 2022-3A, Class B, 6.32%, 7/20/2039 (a)
|
1,244
|
1,245
|
|
Series 2022-2A, Class B, 5.04%, 6/20/2040 (a)
|
630
|
615
|
|
Series 2022-2A, Class C, 6.36%, 6/20/2040 (a)
|
630
|
622
|
|
Stonepeak ABS Series 2021-1A, 2.30%, 2/28/2033 ‡ (a)
|
4,974
|
4,639
|
|
Symphony CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-19A, Class A, 6.55%, 4/16/2031 (a) (c)
|
2,401
|
2,406
|
|
Series 2015-16A, Class ARR, 6.52%, 10/15/2031 (a) (c)
|
19,155
|
19,155
|
|
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2016-1A, Class AR2, 6.61%, 10/13/2032 (a) (c)
|
5,308
|
5,317
|
|
Tesla Auto Lease Trust Series 2024-A, Class A3, 5.30%, 6/21/2027 (a)
|
16,104
|
16,055
|
|
Theorem Funding Trust
|
|
|
|
Series 2022-2A, Class A, 6.06%, 12/15/2028 (a)
|
3,882
|
3,876
|
|
Series 2022-3A, Class A, 7.60%, 4/15/2029 (a)
|
2,530
|
2,545
|
|
Toyota Lease Owner Trust Series 2024-A, Class A3, 5.25%, 4/20/2027 (a)
|
18,400
|
18,360
|
|
Tricon Residential Trust
|
|
|
|
Series 2021-SFR1, Class A, 1.94%, 7/17/2038 (a)
|
1,795
|
1,658
|
|
Series 2021-SFR1, Class B, 2.24%, 7/17/2038 (a)
|
4,100
|
3,791
|
|
Series 2024-SFR2, Class A, 4.75%, 6/17/2040 ‡ (a) (d)
|
11,395
|
11,000
|
|
Upstart Pass-Through Trust
|
|
|
|
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a)
|
400
|
391
|
|
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a)
|
961
|
946
|
|
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a)
|
431
|
427
|
|
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a)
|
1,078
|
1,067
|
|
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a)
|
3,216
|
3,159
|
|
Upstart Securitization Trust
|
|
|
|
Series 2021-5, Class B, 2.49%, 11/20/2031 (a)
|
2,425
|
2,396
|
|
Series 2022-4, Class A, 5.98%, 8/20/2032 (a)
|
2,863
|
2,855
|
|
Series 2023-1, Class A, 6.59%, 2/20/2033 (a)
|
1,050
|
1,051
|
|
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a)
|
3,234
|
3,239
|
|
VCAT LLC
|
|
|
|
Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (e)
|
609
|
605
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-NPL2, Class A1, 5.11%, 3/27/2051 (a) (e)
|
1,500
|
1,478
|
|
Series 2021-NPL3, Class A1, 4.74%, 5/25/2051 (a) (e)
|
2,505
|
2,429
|
|
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (e)
|
5,548
|
5,449
|
|
Veros Auto Receivables Trust
|
|
|
|
Series 2022-1, Class A, 3.47%, 12/15/2025 (a)
|
81
|
81
|
|
Series 2022-1, Class C, 5.03%, 8/16/2027 (a)
|
2,750
|
2,707
|
|
Series 2024-1, Class A, 6.28%, 11/15/2027 (a)
|
3,750
|
3,750
|
|
Series 2023-1, Class A, 7.12%, 11/15/2028 (a)
|
3,231
|
3,241
|
|
Series 2023-1, Class B, 7.17%, 11/15/2028 (a)
|
5,000
|
5,052
|
|
Series 2023-1, Class C, 8.32%, 11/15/2028 (a)
|
1,500
|
1,547
|
|
Series 2022-1, Class D, 7.23%, 7/16/2029 (a)
|
2,750
|
2,716
|
|
VFI ABS LLC Series 2023-1A, Class A, 7.27%, 3/26/2029 (a)
|
5,179
|
5,194
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (a) (e)
|
3,179
|
3,087
|
|
VOLT CI LLC Series 2021-NP10, Class A1, 4.99%, 5/25/2051 (a) (e)
|
9,131
|
8,894
|
|
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (e)
|
10,203
|
9,847
|
|
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (e)
|
3,120
|
3,054
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (e)
|
8,223
|
8,061
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (e)
|
8,278
|
8,169
|
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (e)
|
4,385
|
4,322
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (e)
|
7,186
|
7,107
|
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (e)
|
6,927
|
6,832
|
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (e)
|
5,659
|
5,584
|
|
VStrong Auto Receivables Trust
|
|
|
|
Series 2023-A, Class A3, 6.87%, 11/15/2027 (a)
|
6,400
|
6,461
|
|
Series 2023-A, Class B, 7.11%, 2/15/2030 (a)
|
5,375
|
5,487
|
|
Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a)
|
156
|
156
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2020-3A, Class D, 1.65%, 2/17/2026 (a)
|
2,470
|
2,454
|
|
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a)
|
22,136
|
21,824
|
|
Series 2021-3A, Class C, 1.58%, 1/15/2027 (a)
|
22,066
|
21,759
|
|
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a)
|
9,550
|
9,172
|
|
Series 2023-3A, Class B, 5.92%, 9/15/2028 (a)
|
11,000
|
11,020
|
|
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a)
|
6,400
|
6,411
|
|
Series 2023-4A, Class C, 6.64%, 11/15/2028 (a)
|
5,000
|
5,067
|
|
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a)
|
3,500
|
3,554
|
|
Westlake Flooring Master Trust Series 2024-1A, Class A, 5.43%, 2/15/2028 (a)
|
7,750
|
7,730
|
|
Wheels Fleet Lease Funding LLC Series 2024-1A, Class A1, 5.49%, 2/18/2039 (a)
|
12,736
|
12,714
|
|
World Omni Automobile Lease Securitization Trust Series 2024-A, Class A3, 5.26%, 10/15/2027
|
11,571
|
11,556
|
|
Total Asset-Backed Securities
(Cost $1,997,773)
|
|
1,977,172
|
|
Collateralized Mortgage Obligations — 8.4%
|
||
|
Alternative Loan Trust Series 2003-J3, Class 2A1, 6.25%, 12/25/2033
|
5
|
5
|
|
Angel Oak Mortgage Trust Series 2020-5, Class A1, 1.37%, 5/25/2065 (a) (c)
|
1,024
|
948
|
|
Bear Stearns ARM Trust Series 2003-7, Class 3A, 6.93%, 10/25/2033 (c)
|
10
|
9
|
|
CFMT LLC Series 2024-HB13, Class A, 3.00%, 5/25/2034 (a) (c)
|
4,804
|
4,579
|
|
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡
|
2
|
1
|
|
Citigroup Mortgage Loan Trust Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (c)
|
107
|
98
|
|
Connecticut Avenue Securities Trust Series 2022-R02, Class 2M2, 8.32%, 1/25/2042 (a) (c)
|
1,775
|
1,826
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8, Class 6A1, 4.50%, 12/25/2019
|
67
|
53
|
|
CSMC Mortgage-Backed Trust Series 2007-5, Class 5A5, 5.50%, 4/1/2037 (c)
|
286
|
31
|
|
CSMC Trust Series 2021-RPL1, Class A1, 4.05%, 9/27/2060 (a) (c)
|
8,252
|
8,001
|
|
FHLMC - GNMA Series 56, Class Z, 7.50%, 9/20/2026
|
5
|
5
|
|
FHLMC Structured Pass-Through Securities Certificates Series T-20, Class A6, 7.99%,
9/25/2029 (e)
|
—
|
—
|
|
FHLMC, Reference REMIC Series R005, Class ZA, 5.50%, 2/15/2036
|
2,048
|
2,072
|
|
FHLMC, REMIC
|
|
|
|
Series 1754, Class Z, 8.50%, 9/15/2024
|
—
|
—
|
|
Series 1779, Class Z, 8.50%, 4/15/2025
|
4
|
4
|
|
Series 4303, Class VA, 3.50%, 5/15/2025
|
106
|
105
|
|
Series 3005, Class ED, 5.00%, 7/15/2025
|
64
|
63
|
|
Series 3826, Class BK, 3.00%, 3/15/2026
|
92
|
90
|
|
Series 3864, Class PG, 3.50%, 5/15/2026
|
15
|
15
|
|
Series 3887, Class GM, 4.00%, 7/15/2026 (e)
|
20
|
20
|
|
Series 3903, Class GB, 4.00%, 8/15/2026
|
45
|
45
|
|
Series 3909, Class HG, 4.00%, 8/15/2026 (e)
|
61
|
60
|
|
Series 1888, Class Z, 7.00%, 8/15/2026
|
9
|
9
|
|
Series 3936, Class AB, 3.00%, 10/15/2026
|
145
|
142
|
|
Series 3946, Class BU, 3.00%, 10/15/2026
|
50
|
48
|
|
Series 3996, Class BA, 1.50%, 2/15/2027
|
37
|
35
|
|
Series 4015, Class GL, 2.25%, 3/15/2027
|
42
|
40
|
|
Series 4020, Class N, 3.00%, 3/15/2027
|
25
|
24
|
|
Series 4054, Class AE, 1.50%, 4/15/2027
|
76
|
73
|
|
Series 4029, Class LY, 3.00%, 4/15/2027
|
1,000
|
964
|
|
Series 4039, Class AB, 1.50%, 5/15/2027
|
84
|
80
|
|
Series 4039, Class PB, 1.50%, 5/15/2027
|
277
|
264
|
|
Series 4043, Class PB, 1.50%, 5/15/2027
|
204
|
195
|
|
Series 4097, Class HJ, 1.50%, 8/15/2027
|
312
|
296
|
|
Series 4089, Class AI, IO, 3.00%, 8/15/2027
|
1,300
|
37
|
|
Series 4103, Class HA, 2.50%, 9/15/2027
|
96
|
92
|
|
Series 4361, Class CA, 2.50%, 9/15/2027
|
218
|
210
|
|
Series 4131, Class BC, 1.25%, 11/15/2027
|
63
|
59
|
|
Series 4129, Class AP, 1.50%, 11/15/2027
|
366
|
346
|
|
Series 4141, Class BI, IO, 2.50%, 12/15/2027
|
1,551
|
45
|
|
Series 4304, Class DW, 2.50%, 12/15/2027
|
884
|
850
|
|
Series 4207, Class JD, 1.50%, 5/15/2028
|
85
|
81
|
|
Series 4217, Class UD, 1.75%, 6/15/2028
|
144
|
136
|
|
Series 2090, Class F, 5.64%, 10/15/2028 (c)
|
8
|
7
|
|
Series 3523, Class MX, 4.50%, 4/15/2029
|
49
|
48
|
|
Series 4338, Class GE, 2.50%, 5/15/2029
|
24
|
24
|
|
Series 2995, Class FT, 5.69%, 5/15/2029 (c)
|
71
|
70
|
|
Series 3721, Class DG, 2.75%, 9/15/2030
|
117
|
110
|
|
Series 3775, Class DB, 4.00%, 12/15/2030
|
221
|
215
|
|
Series 3779, Class LB, 4.00%, 12/15/2030
|
243
|
237
|
|
Series 2303, Class FY, 5.74%, 4/15/2031 (c)
|
70
|
70
|
|
Series 2326, Class ZQ, 6.50%, 6/15/2031
|
67
|
67
|
|
Series 2362, Class F, 5.84%, 9/15/2031 (c)
|
14
|
14
|
|
Series 2500, Class FD, 5.94%, 3/15/2032 (c)
|
95
|
95
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4170, Class QE, 2.00%, 5/15/2032
|
41
|
40
|
|
Series 4094, Class BF, 5.84%, 8/15/2032 (c)
|
258
|
257
|
|
Series 2492, Class GH, 6.00%, 8/15/2032
|
148
|
150
|
|
Series 4120, Class KA, 1.75%, 10/15/2032
|
376
|
347
|
|
Series 4142, Class PG, 2.00%, 12/15/2032
|
40
|
38
|
|
Series 2711, Class FC, 6.34%, 2/15/2033 (c)
|
636
|
641
|
|
Series 2602, Class FH, 5.75%, 4/15/2033 (c)
|
118
|
117
|
|
Series 4206, Class DZ, 3.00%, 5/15/2033
|
519
|
469
|
|
Series 4423, Class VN, 3.00%, 5/15/2033
|
1,100
|
1,064
|
|
Series 2617, Class Z, 5.50%, 5/15/2033
|
2,650
|
2,668
|
|
Series 2662, Class MT, 4.50%, 8/15/2033
|
37
|
36
|
|
Series 4620, IO, 5.00%, 9/15/2033
|
233
|
35
|
|
Series 4255, Class LZ, 3.00%, 10/15/2033
|
8,513
|
7,946
|
|
Series 3005, Class PV, IF, 4.18%, 10/15/2033 (c)
|
1
|
1
|
|
Series 2686, Class KZ, 4.50%, 10/15/2033
|
510
|
485
|
|
Series 2693, Class Z, 5.50%, 10/15/2033
|
109
|
109
|
|
Series 2727, Class PM, 4.50%, 1/15/2034
|
629
|
614
|
|
Series 2736, Class PE, 5.00%, 1/15/2034
|
2,584
|
2,562
|
|
Series 4301, Class UL, 3.50%, 2/15/2034
|
7,977
|
7,571
|
|
Series 2806, Class FA, 6.44%, 2/15/2034 (c)
|
193
|
187
|
|
Series 2989, Class MU, IF, IO, 1.56%, 7/15/2034 (c)
|
784
|
34
|
|
Series 3204, Class ZM, 5.00%, 8/15/2034
|
400
|
396
|
|
Series 2963, Class ZG, 5.00%, 11/15/2034
|
350
|
347
|
|
Series 2901, Class S, IF, 4.64%, 12/15/2034 (c)
|
289
|
282
|
|
Series 2898, Class PG, 5.00%, 12/15/2034
|
526
|
522
|
|
Series 3003, Class LD, 5.00%, 12/15/2034
|
85
|
84
|
|
Series 2933, Class EM, 5.50%, 1/15/2035
|
43
|
43
|
|
Series 4265, Class FD, 5.84%, 1/15/2035 (c)
|
206
|
203
|
|
Series 2929, Class PG, 5.00%, 2/15/2035
|
61
|
61
|
|
Series 2941, Class Z, 4.50%, 3/15/2035
|
1,187
|
1,120
|
|
Series 2953, Class PG, 5.50%, 3/15/2035
|
213
|
215
|
|
Series 3002, Class BN, 5.00%, 7/15/2035
|
178
|
173
|
|
Series 3013, Class HZ, 5.00%, 8/15/2035
|
585
|
580
|
|
Series 3101, Class UZ, 6.00%, 1/15/2036
|
145
|
148
|
|
Series 3174, Class LF, 5.79%, 5/15/2036 (c)
|
102
|
101
|
|
Series 3662, Class ZB, 5.50%, 8/15/2036
|
115
|
116
|
|
Series 4646, Class JV, 3.50%, 11/15/2036
|
6,446
|
6,153
|
|
Series 3688, Class NB, 4.50%, 11/15/2036
|
470
|
459
|
|
Series 3855, Class AM, 6.50%, 11/15/2036
|
1,133
|
1,144
|
|
Series 3704, Class CZ, 4.00%, 12/15/2036
|
1,202
|
1,144
|
|
Series 3249, Class CL, 4.25%, 12/15/2036
|
702
|
676
|
|
Series 3258, Class PM, 5.50%, 12/15/2036
|
248
|
249
|
|
Series 5280, Class T, 5.50%, 1/25/2037
|
20,333
|
20,511
|
|
Series 3305, Class IW, IF, IO, 1.01%, 4/15/2037 (c)
|
226
|
6
|
|
Series 3318, Class HF, 5.70%, 5/15/2037 (c)
|
107
|
105
|
|
Series 3724, Class CM, 5.50%, 6/15/2037
|
245
|
248
|
|
Series 3326, Class FG, 5.79%, 6/15/2037 (c)
|
431
|
423
|
|
Series 3351, Class ZC, 5.50%, 7/15/2037
|
965
|
976
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3420, Class EI, IO, 1.12%, 8/15/2037 (e)
|
2,040
|
92
|
|
Series 3429, Class S, IF, IO, 1.38%, 3/15/2038 (c)
|
383
|
26
|
|
Series 3447, Class DB, 5.00%, 5/15/2038
|
1,159
|
1,149
|
|
Series 3459, Class MB, 5.00%, 6/15/2038
|
80
|
79
|
|
Series 3575, Class ZA, 5.00%, 6/15/2038
|
3,004
|
2,986
|
|
Series 3546, Class A, 5.73%, 2/15/2039 (c)
|
285
|
287
|
|
Series 3540, Class A, 5.00%, 5/15/2039
|
154
|
153
|
|
Series 4346, Class A, 3.50%, 7/15/2039
|
42
|
41
|
|
Series 3597, Class HM, 4.50%, 8/15/2039
|
70
|
69
|
|
Series 3569, Class NY, 5.00%, 8/15/2039
|
528
|
524
|
|
Series 3572, Class JS, IF, IO, 1.36%, 9/15/2039 (c)
|
214
|
12
|
|
Series 4212, Class LA, 3.00%, 10/15/2039
|
103
|
102
|
|
Series 3585, Class KW, 4.50%, 10/15/2039
|
1,232
|
1,201
|
|
Series 3609, Class SA, IF, IO, 0.90%, 12/15/2039 (c)
|
1,318
|
58
|
|
Series 3632, Class PK, 5.00%, 2/15/2040
|
209
|
208
|
|
Series 3656, Class PM, 5.00%, 4/15/2040
|
1,970
|
1,957
|
|
Series 3786, Class NA, 4.50%, 7/15/2040
|
57
|
56
|
|
Series 3726, Class PA, 3.00%, 8/15/2040
|
78
|
76
|
|
Series 3706, Class P, 4.00%, 8/15/2040
|
2,712
|
2,567
|
|
Series 4655, Class DJ, 3.00%, 10/15/2040
|
1,834
|
1,687
|
|
Series 4088, Class LE, 4.00%, 10/15/2040
|
40
|
40
|
|
Series 4318, Class KZ, 4.00%, 12/15/2040
|
2,202
|
2,084
|
|
Series 3769, Class ZC, 4.50%, 12/15/2040
|
987
|
942
|
|
Series 3803, Class FY, 5.84%, 1/15/2041 (c)
|
24
|
24
|
|
Series 3822, Class ZG, 4.00%, 2/15/2041
|
5,731
|
5,424
|
|
Series 4080, Class DA, 2.00%, 3/15/2041
|
175
|
163
|
|
Series 3862, Class GA, 4.00%, 4/15/2041
|
163
|
158
|
|
Series 3844, Class FA, 5.89%, 4/15/2041 (c)
|
189
|
186
|
|
Series 4074, Class PA, 3.00%, 5/15/2041
|
290
|
281
|
|
Series 3859, Class JB, 5.00%, 5/15/2041
|
262
|
260
|
|
Series 4150, Class JE, 2.00%, 6/15/2041
|
607
|
564
|
|
Series 3884, Class BL, 4.50%, 6/15/2041
|
4,331
|
4,192
|
|
Series 3939, Class BZ, 4.50%, 6/15/2041
|
2,020
|
1,921
|
|
Series 3881, Class AT, 5.85%, 6/15/2041
|
18,183
|
18,520
|
|
Series 4150, Class FN, 5.74%, 7/15/2041 (c)
|
287
|
283
|
|
Series 4152, Class LE, 1.75%, 8/15/2041
|
2,289
|
2,078
|
|
Series 3904, Class HC, 4.00%, 8/15/2041
|
591
|
550
|
|
Series 3906, Class B, 4.00%, 8/15/2041
|
2,634
|
2,486
|
|
Series 4150, Class FY, 5.74%, 8/15/2041 (c)
|
282
|
278
|
|
Series 3952, Class BQ, 2.00%, 10/15/2041
|
2,098
|
1,837
|
|
Series 3947, Class BH, 2.50%, 10/15/2041
|
2,909
|
2,484
|
|
Series 3934, Class KB, 5.00%, 10/15/2041
|
434
|
431
|
|
Series 3966, Class VZ, 4.00%, 12/15/2041
|
599
|
561
|
|
Series 4550, Class NA, 3.00%, 1/15/2042
|
326
|
316
|
|
Series 4122, Class PA, 1.50%, 2/15/2042
|
202
|
188
|
|
Series 4144, Class KD, 1.75%, 3/15/2042
|
410
|
363
|
|
Series 4215, Class NA, 3.00%, 4/15/2042
|
101
|
96
|
|
Series 4088, Class BP, 3.00%, 8/15/2042
|
3,435
|
3,013
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4143, Class AE, 2.00%, 9/15/2042
|
1,339
|
1,227
|
|
Series 4158, Class TC, 1.75%, 12/15/2042
|
203
|
184
|
|
Series 4247, Class AK, 4.50%, 12/15/2042
|
230
|
227
|
|
Series 4158, Class LD, 2.00%, 1/15/2043
|
415
|
351
|
|
Series 4199, Class YZ, 3.50%, 5/15/2043
|
3,587
|
3,258
|
|
Series 4302, Class MA, 3.00%, 7/15/2043
|
846
|
816
|
|
Series 4314, Class LP, 3.50%, 7/15/2043
|
23
|
23
|
|
Series 4558, Class DA, 3.50%, 7/15/2043
|
82
|
81
|
|
Series 5115, Class FD, 4.00%, 8/15/2043 (c)
|
6,749
|
6,312
|
|
Series 4311, Class ED, 2.75%, 9/15/2043
|
55
|
53
|
|
Series 4480, Class LA, 3.50%, 9/15/2043
|
90
|
88
|
|
Series 4330, Class PE, 3.00%, 11/15/2043
|
104
|
98
|
|
Series 4286, Class MP, 4.00%, 12/15/2043
|
330
|
313
|
|
Series 4316, Class DZ, 3.00%, 3/15/2044
|
3,390
|
2,994
|
|
Series 4338, Class A, 2.50%, 5/15/2044
|
340
|
316
|
|
Series 4505, Class P, 3.50%, 5/15/2044
|
897
|
849
|
|
Series 4571, Class EB, 3.50%, 5/15/2044
|
1,792
|
1,699
|
|
Series 4483, Class CA, 3.00%, 6/15/2044
|
35,427
|
33,003
|
|
Series 4360, Class PZ, 3.00%, 7/15/2044
|
1,173
|
1,019
|
|
Series 4417, Class PZ, 3.00%, 12/15/2044
|
3,149
|
2,740
|
|
Series 4545, Class PG, 3.00%, 12/15/2044
|
369
|
351
|
|
Series 4745, Class EC, 3.00%, 12/15/2044
|
1,101
|
1,052
|
|
Series 4425, Class TA, 2.00%, 1/15/2045
|
298
|
242
|
|
Series 4461, Class LZ, 3.00%, 3/15/2045
|
3,897
|
3,345
|
|
Series 4457, Class KZ, 3.00%, 4/15/2045
|
7,718
|
6,619
|
|
Series 4478, Class PC, 2.00%, 5/15/2045
|
861
|
722
|
|
Series 4631, Class PA, 3.00%, 5/15/2045
|
1,802
|
1,643
|
|
Series 4664, Class PH, 3.50%, 5/15/2045
|
783
|
747
|
|
Series 4698, Class DA, 4.50%, 5/15/2045
|
1,560
|
1,493
|
|
Series 4759, Class MA, 3.00%, 9/15/2045
|
57
|
55
|
|
Series 4591, Class QE, 2.75%, 4/15/2046
|
186
|
162
|
|
Series 4574, Class YH, 3.00%, 4/15/2046
|
260
|
226
|
|
Series 4774, Class LP, 3.50%, 9/15/2046
|
2,676
|
2,544
|
|
Series 4714, Class PA, 3.00%, 11/15/2046
|
1,626
|
1,472
|
|
Series 4657, Class VZ, 3.00%, 2/15/2047
|
9,453
|
8,116
|
|
Series 4830, Class AP, 4.00%, 2/15/2047
|
880
|
823
|
|
Series 4675, Class EZ, 3.50%, 4/15/2047
|
1,665
|
1,436
|
|
Series 4682, Class LC, 2.50%, 5/15/2047
|
473
|
396
|
|
Series 4682, Class AP, 3.00%, 5/15/2047
|
621
|
531
|
|
Series 4703, Class KZ, 3.50%, 7/15/2047
|
5,661
|
5,070
|
|
Series 4740, Class JA, 3.00%, 10/15/2047
|
1,640
|
1,411
|
|
Series 4749, Class ZL, 3.50%, 12/15/2047
|
15,789
|
13,880
|
|
Series 4936, Class AP, 2.50%, 9/25/2048
|
228
|
203
|
|
Series 4941, Class NP, 2.50%, 5/25/2049
|
776
|
641
|
|
Series 4922, Class GE, 2.50%, 7/25/2049
|
726
|
614
|
|
Series 4952, Class PA, 2.50%, 2/25/2050
|
1,185
|
987
|
|
FHLMC, STRIPS
|
|
|
|
Series 302, Class 350, 3.50%, 2/15/2028
|
98
|
95
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 218, PO, 2/1/2032
|
64
|
54
|
|
Series 290, Class 200, 2.00%, 11/15/2032
|
319
|
290
|
|
Series 277, Class 30, 3.00%, 9/15/2042
|
2,367
|
2,073
|
|
Series 359, Class 350, 3.50%, 10/15/2047
|
1,385
|
1,257
|
|
FNMA, REMIC
|
|
|
|
Series 2011-48, Class CN, 4.00%, 6/25/2026 (e)
|
21
|
21
|
|
Series 2011-61, Class B, 3.00%, 7/25/2026
|
102
|
100
|
|
Series 2011-72, Class KB, 3.50%, 8/25/2026
|
118
|
116
|
|
Series 2012-32, Class DE, 3.00%, 12/25/2026
|
17
|
17
|
|
Series 2012-26, Class CA, 2.50%, 3/25/2027
|
196
|
190
|
|
Series 2012-46, Class KI, IO, 3.50%, 5/25/2027
|
2,073
|
56
|
|
Series 2012-102, Class IB, IO, 3.50%, 9/25/2027
|
1,204
|
39
|
|
Series 2012-127, Class AC, 1.50%, 11/25/2027
|
229
|
218
|
|
Series 2012-124, Class HG, 2.00%, 11/25/2027
|
99
|
95
|
|
Series 2013-5, Class DA, 1.50%, 2/25/2028
|
124
|
118
|
|
Series 2013-13, Class KD, 1.50%, 3/25/2028
|
126
|
119
|
|
Series 2013-137, Class BA, 1.50%, 1/25/2029
|
224
|
210
|
|
Series 2009-15, Class AC, 5.50%, 3/25/2029
|
453
|
450
|
|
Series 2009-58, Class B, 4.50%, 8/25/2029
|
565
|
555
|
|
Series 2010-14, Class AC, 4.00%, 3/25/2030
|
118
|
115
|
|
Series 2010-92, Class B, 4.50%, 8/25/2030
|
2,000
|
1,962
|
|
Series 2016-8, Class CA, 2.00%, 3/25/2031
|
9,562
|
8,882
|
|
Series 2001-38, Class EA, PO, 8/25/2031
|
14
|
14
|
|
Series 2015-89, Class KE, 2.00%, 11/25/2031
|
59
|
54
|
|
Series 2012-98, Class QG, 1.75%, 1/25/2032
|
148
|
143
|
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
1,338
|
1,367
|
|
Series 2002-34, Class FA, 5.94%, 5/18/2032 (c)
|
51
|
50
|
|
Series 2012-112, Class AY, 3.00%, 10/25/2032
|
13,425
|
12,274
|
|
Series 2013-109, Class BA, 3.00%, 10/25/2032
|
428
|
412
|
|
Series 2002-64, Class PG, 5.50%, 10/25/2032
|
1,107
|
1,111
|
|
Series 2004-61, Class FH, 6.24%, 11/25/2032 (c)
|
574
|
577
|
|
Series 2002-77, Class TF, 6.44%, 12/18/2032 (c)
|
107
|
108
|
|
Series 2012-134, Class JY, 3.00%, 12/25/2032
|
14,229
|
13,057
|
|
Series 2002-77, Class QG, 5.50%, 12/25/2032
|
241
|
242
|
|
Series 2002-84, Class DZ, 5.50%, 12/25/2032
|
130
|
131
|
|
Series 2002-94, Class BZ, 5.50%, 1/25/2033
|
694
|
682
|
|
Series 2013-18, Class TG, 2.00%, 2/25/2033
|
242
|
228
|
|
Series 2003-7, Class FB, 6.19%, 2/25/2033 (c)
|
153
|
153
|
|
Series 2013-31, Class NL, 4.00%, 4/25/2033
|
315
|
305
|
|
Series 2003-42, Class CI, IO, 6.50%, 5/25/2033
|
112
|
13
|
|
Series 2003-63, Class A7, 5.50%, 6/25/2033
|
1,160
|
1,144
|
|
Series 2003-49, IO, 6.50%, 6/25/2033
|
160
|
25
|
|
Series 2013-69, Class L, 3.00%, 7/25/2033
|
10,000
|
9,235
|
|
Series 2003-58, Class GL, 3.50%, 7/25/2033
|
80
|
76
|
|
Series 2013-133, Class WA, 3.00%, 8/25/2033
|
1,479
|
1,407
|
|
Series 2013-91, Class DZ, 3.00%, 9/25/2033
|
21,390
|
19,561
|
|
Series 2003-84, Class PZ, 5.00%, 9/25/2033
|
42
|
41
|
|
Series 2013-100, Class WB, 3.00%, 10/25/2033
|
5,623
|
5,273
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2003-107, Class ZD, 6.00%, 11/25/2033
|
947
|
956
|
|
Series 2013-126, Class JZ, 3.50%, 12/25/2033
|
16,534
|
15,656
|
|
Series 2004-38, Class AO, PO, 5/25/2034
|
1,622
|
1,205
|
|
Series 2004-72, Class F, 5.94%, 9/25/2034 (c)
|
66
|
65
|
|
Series 2004-91, Class BR, 5.50%, 12/25/2034
|
47
|
47
|
|
Series 2004-90, Class ZU, 6.00%, 12/25/2034
|
744
|
756
|
|
Series 2005-5, Class PA, 5.00%, 1/25/2035
|
213
|
208
|
|
Series 2004-101, Class AR, 5.50%, 1/25/2035
|
6
|
6
|
|
Series 2005-27, Class HZ, 5.00%, 4/25/2035
|
1,333
|
1,319
|
|
Series 2005-31, Class PB, 5.50%, 4/25/2035
|
482
|
482
|
|
Series 2005-38, Class FK, 5.74%, 5/25/2035 (c)
|
269
|
266
|
|
Series 2015-41, Class CA, 3.00%, 6/25/2035
|
407
|
377
|
|
Series 2005-55, Class PN, 5.50%, 7/25/2035
|
1,388
|
1,401
|
|
Series 2005-64, Class PL, 5.50%, 7/25/2035
|
36
|
36
|
|
Series 2005-66, Class PF, 5.69%, 7/25/2035 (c)
|
74
|
73
|
|
Series 2005-103, Class BT, IF, 6.50%, 7/25/2035 (c)
|
177
|
173
|
|
Series 2005-88, Class ZC, 5.00%, 10/25/2035
|
1,600
|
1,584
|
|
Series 2007-109, Class VZ, 5.00%, 10/25/2035
|
1,197
|
1,184
|
|
Series 2005-84, Class MB, 5.75%, 10/25/2035
|
429
|
428
|
|
Series 2010-39, Class FT, 6.39%, 10/25/2035 (c)
|
489
|
492
|
|
Series 2013-114, Class JA, 3.00%, 11/25/2035
|
4
|
4
|
|
Series 2015-87, Class TB, 4.00%, 11/25/2035
|
3,067
|
2,962
|
|
Series 2005-101, Class B, 5.00%, 11/25/2035
|
711
|
704
|
|
Series 2005-99, Class AF, 5.79%, 12/25/2035 (c)
|
80
|
80
|
|
Series 2014-88, Class ER, 2.50%, 2/25/2036
|
50
|
47
|
|
Series 2006-14, Class DB, 5.50%, 3/25/2036
|
249
|
251
|
|
Series 2006-16, Class FC, 5.74%, 3/25/2036 (c)
|
55
|
55
|
|
Series 2006-27, Class BF, 5.74%, 4/25/2036 (c)
|
93
|
92
|
|
Series 2006-50, Class PE, 5.00%, 6/25/2036
|
252
|
250
|
|
Series 2006-46, Class FW, 5.84%, 6/25/2036 (c)
|
195
|
193
|
|
Series 2006-42, Class PF, 5.85%, 6/25/2036 (c)
|
138
|
136
|
|
Series 2009-71, Class JT, 6.00%, 6/25/2036
|
150
|
153
|
|
Series 2006-58, Class ST, IF, IO, 1.71%, 7/25/2036 (c)
|
355
|
26
|
|
Series 2006-101, Class FC, 5.50%, 7/25/2036 (c)
|
116
|
114
|
|
Series 2006-101, Class FD, 5.50%, 7/25/2036 (c)
|
74
|
73
|
|
Series 2006-56, Class DC, 6.09%, 7/25/2036 (c)
|
180
|
179
|
|
Series 2007-1, Class NF, 5.69%, 2/25/2037 (c)
|
189
|
187
|
|
Series 2007-22, Class SC, IF, IO, 0.64%, 3/25/2037 (c)
|
22
|
—
|
|
Series 2007-16, Class FC, 6.19%, 3/25/2037 (c)
|
13
|
12
|
|
Series 2007-33, Class MS, IF, IO, 1.15%, 4/25/2037 (c)
|
919
|
57
|
|
Series 2007-57, Class ZE, 4.75%, 5/25/2037
|
130
|
130
|
|
Series 2007-B2, Class ZA, 5.50%, 6/25/2037
|
1,447
|
1,459
|
|
Series 2008-5, Class PE, 5.00%, 8/25/2037
|
76
|
76
|
|
Series 2007-85, Class SH, IF, IO, 1.06%, 9/25/2037 (c)
|
605
|
12
|
|
Series 2017-59, Class DW, 3.50%, 12/25/2037
|
7
|
7
|
|
Series 2007-117, Class FM, 6.14%, 1/25/2038 (c)
|
124
|
123
|
|
Series 2007-117, Class MF, 6.14%, 1/25/2038 (c)
|
232
|
231
|
|
Series 2008-24, Class PF, 6.09%, 2/25/2038 (c)
|
31
|
31
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-18, Class SE, IF, IO, 0.83%, 3/25/2038 (c)
|
77
|
5
|
|
Series 2008-25, Class DZ, 5.75%, 4/25/2038
|
397
|
386
|
|
Series 2008-83, Class CA, 6.00%, 9/25/2038
|
398
|
408
|
|
Series 2009-29, Class LA, 1.17%, 5/25/2039 (c)
|
803
|
659
|
|
Series 2013-25, Class DC, 2.50%, 6/25/2039
|
343
|
320
|
|
Series 2009-59, Class HB, 5.00%, 8/25/2039
|
977
|
968
|
|
Series 2009-73, Class HJ, 6.00%, 9/25/2039
|
100
|
102
|
|
Series 2009-70, Class FA, 6.64%, 9/25/2039 (c)
|
60
|
59
|
|
Series 2009-86, Class PE, 5.00%, 10/25/2039
|
2,245
|
2,223
|
|
Series 2013-125, Class AB, 4.00%, 11/25/2039
|
173
|
165
|
|
Series 2009-87, Class B, 4.50%, 11/25/2039
|
971
|
955
|
|
Series 2009-112, Class SW, IF, IO, 0.81%, 1/25/2040 (c)
|
1,815
|
117
|
|
Series 2010-37, Class CY, 5.00%, 4/25/2040
|
42
|
42
|
|
Series 2011-3, Class KA, 5.00%, 4/25/2040
|
50
|
50
|
|
Series 2011-61, Class ZA, 5.00%, 4/25/2040
|
763
|
755
|
|
Series 2010-35, Class KF, 5.94%, 4/25/2040 (c)
|
127
|
127
|
|
Series 2010-43, Class HJ, 5.50%, 5/25/2040
|
136
|
138
|
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
465
|
459
|
|
Series 2010-58, Class FA, 5.99%, 6/25/2040 (c)
|
254
|
252
|
|
Series 2010-58, Class FY, 6.17%, 6/25/2040 (c)
|
111
|
110
|
|
Series 2010-109, Class M, 3.00%, 9/25/2040
|
903
|
854
|
|
Series 2010-126, Class LI, IO, 4.00%, 11/25/2040
|
203
|
10
|
|
Series 2010-154, Class MW, 3.50%, 1/25/2041
|
3,059
|
2,899
|
|
Series 2011-63, Class LB, 4.00%, 1/25/2041
|
2,474
|
2,353
|
|
Series 2011-18, Class KY, 4.00%, 3/25/2041
|
529
|
501
|
|
Series 2011-35, Class PE, 4.00%, 4/25/2041
|
986
|
928
|
|
Series 2011-52, Class GB, 5.00%, 6/25/2041
|
76
|
76
|
|
Series 2011-53, Class FT, 6.02%, 6/25/2041 (c)
|
98
|
97
|
|
Series 2011-128, Class KP, 4.50%, 7/25/2041
|
38
|
36
|
|
Series 2011-59, Class NZ, 5.50%, 7/25/2041
|
544
|
550
|
|
Series 2012-147, Class NE, 1.75%, 8/25/2041
|
1,065
|
991
|
|
Series 2012-14, Class PA, 2.00%, 8/25/2041
|
143
|
132
|
|
Series 2013-72, Class LY, 3.50%, 8/25/2041
|
321
|
312
|
|
Series 2015-45, Class GA, 2.50%, 9/25/2041
|
244
|
236
|
|
Series 2013-126, Class CA, 4.00%, 9/25/2041
|
221
|
210
|
|
Series 2011-123, Class BP, 2.00%, 10/25/2041
|
2,600
|
2,335
|
|
Series 2011-141, Class MA, 3.50%, 10/25/2041
|
150
|
145
|
|
Series 2012-64, Class PK, 4.50%, 12/25/2041
|
799
|
773
|
|
Series 2012-113, Class DC, 2.25%, 1/25/2042
|
114
|
106
|
|
Series 2012-27, Class PL, 2.00%, 2/25/2042
|
140
|
131
|
|
Series 2012-139, Class NY, 5.00%, 2/25/2042
|
1,248
|
1,234
|
|
Series 2012-133, Class AP, 1.75%, 3/25/2042
|
3,107
|
2,733
|
|
Series 2012-100, Class TL, 4.00%, 4/25/2042
|
222
|
213
|
|
Series 2012-80, Class EB, 4.50%, 4/25/2042
|
100
|
98
|
|
Series 2013-9, Class CB, 5.50%, 4/25/2042
|
2,161
|
2,174
|
|
Series 2013-73, Class PG, 2.50%, 6/25/2042
|
649
|
595
|
|
Series 2012-128, Class VF, 5.69%, 6/25/2042 (c)
|
361
|
356
|
|
Series 2013-93, Class PJ, 3.00%, 7/25/2042
|
564
|
528
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-96, Class FY, 5.79%, 7/25/2042 (c)
|
169
|
165
|
|
Series 2013-34, Class PC, 2.50%, 8/25/2042
|
434
|
399
|
|
Series 2014-18, Class DE, 4.00%, 8/25/2042
|
618
|
593
|
|
Series 2012-94, Class K, 2.00%, 9/25/2042
|
814
|
672
|
|
Series 2013-60, Class PD, 2.00%, 10/25/2042
|
469
|
426
|
|
Series 2012-112, Class DA, 3.00%, 10/25/2042
|
1,709
|
1,508
|
|
Series 2013-81, Class NC, 3.00%, 10/25/2042
|
298
|
288
|
|
Series 2013-72, Class AF, 5.69%, 11/25/2042 (c)
|
31
|
31
|
|
Series 2013-6, Class HD, 1.50%, 12/25/2042
|
309
|
264
|
|
Series 2013-35, Class LP, 3.00%, 1/25/2043
|
6,100
|
5,654
|
|
Series 2013-61, Class BA, 3.00%, 1/25/2043
|
1,480
|
1,344
|
|
Series 2013-10, Class PA, 1.50%, 2/25/2043
|
841
|
688
|
|
Series 2013-10, Class UB, 2.00%, 2/25/2043
|
973
|
802
|
|
Series 2013-58, Class FP, 5.69%, 2/25/2043 (c)
|
526
|
517
|
|
Series 2013-18, Class BZ, 3.00%, 3/25/2043
|
6,916
|
6,483
|
|
Series 2013-100, Class PL, 4.50%, 3/25/2043
|
587
|
572
|
|
Series 2013-66, Class LB, 1.50%, 4/25/2043
|
53
|
49
|
|
Series 2013-26, Class ZV, 3.50%, 4/25/2043
|
11,802
|
10,551
|
|
Series 2013-33, Class UZ, 3.50%, 4/25/2043
|
8,339
|
7,553
|
|
Series 2013-64, Class PF, 5.69%, 4/25/2043 (c)
|
466
|
456
|
|
Series 2014-3, Class BL, 2.50%, 6/25/2043
|
8
|
8
|
|
Series 2013-66, Class MB, 3.00%, 7/25/2043
|
1,831
|
1,618
|
|
Series 2014-43, Class PZ, 3.00%, 7/25/2043
|
1,281
|
1,018
|
|
Series 2014-32, Class DK, 3.00%, 8/25/2043
|
330
|
310
|
|
Series 2013-92, Class DE, 4.00%, 9/25/2043
|
600
|
534
|
|
Series 2015-34, Class UP, 3.00%, 11/25/2043
|
561
|
529
|
|
Series 2020-45, Class CB, 2.00%, 2/25/2044
|
3,881
|
3,526
|
|
Series 2016-80, Class KV, 3.00%, 6/25/2044
|
3,452
|
3,298
|
|
Series 2014-56, Class Z, 3.50%, 9/25/2044
|
5,751
|
5,194
|
|
Series 2017-74, Class KA, 3.00%, 11/25/2044
|
134
|
131
|
|
Series 2016-100, Class P, 3.50%, 11/25/2044
|
57
|
54
|
|
Series 2020-18, Class DC, 2.50%, 2/25/2045
|
98
|
96
|
|
Series 2015-33, Class DT, 2.50%, 6/25/2045
|
433
|
393
|
|
Series 2015-51, Class KC, 3.00%, 6/25/2045
|
223
|
207
|
|
Series 2017-18, Class DA, 3.00%, 8/25/2045
|
856
|
817
|
|
Series 2016-84, Class LA, 3.00%, 12/25/2045
|
784
|
714
|
|
Series 2016-2, Class GA, 3.00%, 2/25/2046
|
1,502
|
1,379
|
|
Series 2016-16, Class AL, 3.00%, 4/25/2046
|
8,534
|
7,534
|
|
Series 2017-15, Class PE, 3.50%, 4/25/2046
|
1,031
|
951
|
|
Series 2017-68, Class HQ, 3.00%, 7/25/2046
|
1,037
|
943
|
|
Series 2016-80, Class JP, 3.00%, 11/25/2046
|
613
|
525
|
|
Series 2017-85, Class HA, 3.00%, 12/25/2046
|
1,195
|
1,086
|
|
Series 2017-11, Class PH, 2.50%, 3/25/2047
|
187
|
157
|
|
Series 2017-10, Class AE, 3.00%, 3/25/2047
|
1,856
|
1,715
|
|
Series 2017-9, Class B, 3.00%, 3/25/2047
|
2,035
|
1,883
|
|
Series 2017-10, Class FA, 5.84%, 3/25/2047 (c)
|
179
|
176
|
|
Series 2017-89, Class KZ, 3.50%, 8/25/2047
|
7,114
|
5,848
|
|
Series 2017-84, Class JA, 2.75%, 9/25/2047
|
516
|
442
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2017-96, Class MA, 3.00%, 12/25/2047
|
419
|
359
|
|
Series 2017-102, Class PZ, 3.50%, 12/25/2047
|
2,385
|
1,995
|
|
Series 2018-37, Class BC, 3.50%, 12/25/2047
|
250
|
228
|
|
Series 2018-13, Class PA, 3.00%, 3/25/2048
|
7,465
|
6,347
|
|
Series 2018-15, Class NZ, 3.00%, 3/25/2048
|
7,344
|
6,374
|
|
Series 2018-15, Class ZG, 3.50%, 3/25/2048
|
1,695
|
1,496
|
|
Series 2019-17, Class KA, 3.50%, 4/25/2048
|
232
|
220
|
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
153
|
134
|
|
Series 2019-11, Class EA, 3.00%, 5/25/2048
|
618
|
561
|
|
Series 2019-20, Class PB, 2.75%, 7/25/2048
|
250
|
218
|
|
Series 2018-87, Class BA, 4.00%, 7/25/2048
|
118
|
111
|
|
Series 2020-94, PO, 9/25/2048
|
406
|
330
|
|
Series 2019-9, Class ZA, 3.50%, 9/25/2048
|
6,219
|
5,465
|
|
Series 2019-51, Class DW, 3.50%, 11/25/2048
|
475
|
452
|
|
Series 2020-49, Class GA, 1.50%, 2/25/2049
|
2,366
|
1,858
|
|
Series 2009-11, Class ZY, 5.50%, 3/25/2049
|
2,597
|
2,594
|
|
Series 2019-18, Class BA, 3.50%, 5/25/2049
|
7,737
|
7,188
|
|
Series 2019-70, Class JA, 2.50%, 9/25/2049
|
120
|
102
|
|
Series 2019-72, Class KA, 2.50%, 9/25/2049
|
167
|
139
|
|
Series 2020-15, Class EA, 2.00%, 10/25/2049
|
614
|
502
|
|
Series 2019-70, Class MB, 2.50%, 12/25/2049
|
1,000
|
704
|
|
Series 2019-81, Class LA, 2.50%, 12/25/2049
|
347
|
285
|
|
Series 2020-7, Class DZ, 3.00%, 2/25/2050
|
684
|
564
|
|
Series 2020-15, Class EM, 3.00%, 3/25/2050
|
545
|
454
|
|
Series 2019-33, Class MA, 3.50%, 7/25/2055
|
513
|
491
|
|
Series 2018-70, Class HA, 3.50%, 10/25/2056
|
520
|
495
|
|
FNMA, REMIC, Whole Loan
|
|
|
|
Series 2007-54, Class FA, 5.84%, 6/25/2037 (c)
|
100
|
98
|
|
Series 2007-106, Class A7, 6.02%, 10/25/2037 (c)
|
110
|
112
|
|
Series 2001-50, Class BA, 7.00%, 10/25/2041
|
49
|
49
|
|
FNMA, STRIPS
|
|
|
|
Series 289, Class 1, PO, 11/25/2027
|
36
|
34
|
|
Series 334, Class 17, IO, 6.50%, 2/25/2033 (c)
|
102
|
14
|
|
Series 334, Class 13, IO, 6.00%, 3/25/2033 (c)
|
84
|
11
|
|
Series 334, Class 9, IO, 6.00%, 3/25/2033
|
222
|
28
|
|
Series 356, Class 16, IO, 5.50%, 6/25/2035 (c)
|
71
|
10
|
|
Series 359, Class 16, IO, 5.50%, 10/25/2035 (c)
|
58
|
9
|
|
Series 369, Class 19, IO, 6.00%, 10/25/2036 (c)
|
44
|
8
|
|
Series 369, Class 26, IO, 6.50%, 10/25/2036 (c)
|
29
|
5
|
|
Series 386, Class 20, IO, 6.50%, 8/25/2038 (c)
|
121
|
21
|
|
Series 394, Class C3, IO, 6.50%, 9/25/2038
|
225
|
39
|
|
Series 411, Class A3, 3.00%, 8/25/2042
|
1,037
|
916
|
|
FNMA, Whole Loan Series 2007-W1, Class 1AF1, 5.70%, 11/25/2046 (c)
|
898
|
889
|
|
GNMA
|
|
|
|
Series 2011-132, Class GJ, 2.00%, 9/16/2026
|
79
|
78
|
|
Series 2011-155, Class A, 3.00%, 11/20/2026
|
27
|
26
|
|
Series 2013-75, Class AC, 1.50%, 5/20/2028
|
550
|
519
|
|
Series 2003-50, Class F, 5.73%, 5/16/2033 (c)
|
50
|
50
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-39, Class IN, IO, 5.50%, 6/20/2033
|
52
|
1
|
|
Series 2003-102, Class PE, 6.00%, 11/20/2033
|
852
|
851
|
|
Series 2006-26, Class S, IF, IO, 1.07%, 6/20/2036 (c)
|
2,872
|
86
|
|
Series 2007-16, Class KU, IF, IO, 1.22%, 4/20/2037 (c)
|
1,630
|
67
|
|
Series 2009-106, Class XL, IF, IO, 1.32%, 6/20/2037 (c)
|
1,493
|
69
|
|
Series 2013-23, Class BP, 3.00%, 9/20/2037
|
64
|
64
|
|
Series 2008-75, Class SP, IF, IO, 2.04%, 8/20/2038 (c)
|
589
|
22
|
|
Series 2009-14, Class SA, IF, IO, 0.65%, 3/20/2039 (c)
|
1,733
|
31
|
|
Series 2009-14, Class KS, IF, IO, 0.87%, 3/20/2039 (c)
|
719
|
18
|
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
220
|
27
|
|
Series 2009-75, Class NB, 4.50%, 6/20/2039
|
45
|
44
|
|
Series 2010-59, Class HZ, 4.50%, 5/16/2040
|
1,190
|
1,147
|
|
Series 2011-26, Class PA, 4.00%, 7/20/2040
|
—
|
—
|
|
Series 2010-98, Class ME, 4.50%, 8/20/2040
|
11,695
|
11,394
|
|
Series 2013-71, Class NA, 2.50%, 8/20/2041
|
47
|
44
|
|
Series 2012-96, Class WP, 6.50%, 8/16/2042
|
1,940
|
1,989
|
|
Series 2013-42, Class ND, 1.75%, 11/20/2042
|
82
|
74
|
|
Series 2013-28, Class DE, 1.75%, 12/20/2042
|
192
|
161
|
|
Series 2014-3, Class GA, 2.50%, 1/16/2044
|
3,358
|
3,060
|
|
Series 2014-12, Class ZA, 3.00%, 1/20/2044
|
14,182
|
12,449
|
|
Series 2018-29, Class LC, 3.00%, 4/20/2044
|
74
|
72
|
|
Series 2016-25, Class QH, 3.00%, 12/16/2044
|
1,042
|
958
|
|
Series 2015-80, Class CP, 4.50%, 6/20/2045
|
214
|
202
|
|
Series 2015-80, Class CQ, 5.00%, 6/20/2045
|
154
|
147
|
|
Series 2018-36, Class AM, 3.00%, 7/20/2045
|
379
|
356
|
|
Series 2016-79, Class LA, 3.00%, 9/20/2045
|
203
|
196
|
|
Series 2016-90, Class MA, 3.00%, 10/20/2045
|
141
|
137
|
|
Series 2016-104, Class MA, 3.00%, 11/20/2045
|
99
|
98
|
|
Series 2020-125, Class AG, 2.50%, 2/20/2046
|
1,191
|
1,122
|
|
Series 2016-91, Class WH, 2.75%, 3/20/2046
|
931
|
823
|
|
Series 2017-65, Class DZ, 3.00%, 4/20/2047
|
2,894
|
2,317
|
|
Series 2017-139, Class PE, 2.75%, 8/20/2047
|
3,643
|
3,037
|
|
Series 2018-34, Class TY, 3.50%, 3/20/2048
|
836
|
731
|
|
Series 2019-74, Class AT, 3.00%, 6/20/2049
|
446
|
399
|
|
Series 2019-145, Class PA, 3.50%, 8/20/2049
|
186
|
172
|
|
Series 2020-5, Class NA, 3.50%, 12/20/2049
|
3,082
|
2,769
|
|
Series 2020-74, Class DY, 2.00%, 5/20/2050
|
890
|
717
|
|
Series 2020-83, Class KP, 3.00%, 6/20/2050
|
270
|
231
|
|
Series 2010-H26, Class LF, 5.79%, 8/20/2058 (c)
|
70
|
69
|
|
Series 2010-H03, Class FA, 5.98%, 3/20/2060 (c)
|
1,045
|
1,044
|
|
Series 2011-H07, Class FA, 5.94%, 2/20/2061 (c)
|
678
|
677
|
|
Series 2011-H08, Class FA, 6.04%, 2/20/2061 (c)
|
609
|
609
|
|
Series 2011-H11, Class FA, 5.94%, 3/20/2061 (c)
|
189
|
189
|
|
Series 2011-H11, Class FB, 5.94%, 4/20/2061 (c)
|
118
|
118
|
|
Series 2011-H21, Class FA, 6.04%, 10/20/2061 (c)
|
79
|
79
|
|
Series 2013-H05, Class FB, 5.83%, 2/20/2062 (c)
|
57
|
56
|
|
Series 2012-H14, Class FK, 6.02%, 7/20/2062 (c)
|
91
|
91
|
|
Series 2012-H18, Class NA, 5.96%, 8/20/2062 (c)
|
74
|
74
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2012-H20, Class BA, 6.00%, 9/20/2062 (c)
|
118
|
116
|
|
Series 2012-H29, Class FA, 5.95%, 10/20/2062 (c)
|
29
|
29
|
|
Series 2012-H23, Class WA, 5.96%, 10/20/2062 (c)
|
110
|
110
|
|
Series 2012-H30, Class GA, 5.79%, 12/20/2062 (c)
|
80
|
79
|
|
Series 2013-H08, Class FA, 5.79%, 3/20/2063 (c)
|
300
|
299
|
|
Series 2013-H11, Class FA, 5.89%, 4/20/2063 (c)
|
90
|
90
|
|
Series 2013-H14, Class FG, 5.91%, 5/20/2063 (c)
|
260
|
260
|
|
Series 2013-H15, Class FA, 5.98%, 6/20/2063 (c)
|
307
|
307
|
|
Series 2013-H19, Class FC, 6.04%, 8/20/2063 (c)
|
487
|
487
|
|
Series 2014-H05, Class FB, 6.04%, 12/20/2063 (c)
|
61
|
61
|
|
Series 2014-H02, Class FB, 6.09%, 12/20/2063 (c)
|
263
|
263
|
|
Series 2014-H14, Class GF, 5.91%, 7/20/2064 (c)
|
65
|
65
|
|
Series 2014-H16, Class FL, 5.91%, 7/20/2064 (c)
|
486
|
482
|
|
Series 2014-H21, Class FA, 6.09%, 10/20/2064 (c)
|
220
|
220
|
|
Series 2015-H04, Class FL, 5.91%, 2/20/2065 (c)
|
114
|
114
|
|
Series 2015-H06, Class FB, 6.09%, 2/20/2065 (c)
|
7,889
|
7,848
|
|
Series 2015-H13, Class FG, 5.84%, 4/20/2065 (c)
|
144
|
144
|
|
Series 2015-H10, Class FH, 6.04%, 4/20/2065 (c)
|
905
|
900
|
|
Series 2015-H09, Class FA, 6.06%, 4/20/2065 (c)
|
311
|
309
|
|
Series 2015-H10, Class FK, 6.06%, 4/20/2065 (c)
|
9,154
|
9,105
|
|
Series 2015-H14, Class FB, 5.87%, 5/20/2065 (c)
|
38
|
38
|
|
Series 2015-H12, Class FB, 6.04%, 5/20/2065 (c)
|
6,615
|
6,583
|
|
Series 2015-H12, Class FD, 6.04%, 5/20/2065 (c)
|
1,072
|
1,065
|
|
Series 2015-H14, Class FA, 6.01%, 6/20/2065 (c)
|
3,554
|
3,537
|
|
Series 2015-H16, Class FM, 6.04%, 7/20/2065 (c)
|
2,529
|
2,515
|
|
Series 2015-H24, Class FA, 6.09%, 9/20/2065 (c)
|
4,200
|
4,178
|
|
Series 2015-H27, Class FA, 6.19%, 9/20/2065 (c)
|
1,132
|
1,129
|
|
Series 2015-H25, Class FD, 6.09%, 10/20/2065 (c)
|
4,830
|
4,805
|
|
Series 2015-H29, Class FA, 6.14%, 10/20/2065 (c)
|
3
|
3
|
|
Series 2015-H29, Class FJ, 6.12%, 11/20/2065 (c)
|
3,118
|
3,105
|
|
Series 2016-H01, Class FA, 6.34%, 1/20/2066 (c)
|
2,523
|
2,530
|
|
Series 2016-H06, Class FC, 6.36%, 2/20/2066 (c)
|
1,681
|
1,679
|
|
Series 2016-H06, Class FA, 6.39%, 2/20/2066 (c)
|
1,817
|
1,815
|
|
Series 2016-H09, Class FN, 6.29%, 3/20/2066 (c)
|
2,125
|
2,120
|
|
Series 2016-H14, Class FA, 6.24%, 6/20/2066 (c)
|
1,114
|
1,111
|
|
Series 2016-H22, Class FA, 6.21%, 10/20/2066 (c)
|
3,994
|
4,002
|
|
Series 2016-H24, Class AF, 6.29%, 11/20/2066 (c)
|
1,662
|
1,658
|
|
Series 2017-H07, Class FG, 5.90%, 2/20/2067 (c)
|
197
|
197
|
|
Series 2017-H14, Class FD, 5.91%, 6/20/2067 (c)
|
324
|
321
|
|
Series 2017-H16, Class CF, 5.91%, 7/20/2067 (c)
|
5,659
|
5,646
|
|
Series 2017-H15, Class FN, 5.94%, 7/20/2067 (c)
|
147
|
146
|
|
Series 2017-H19, Class FA, 5.89%, 8/20/2067 (c)
|
406
|
405
|
|
Series 2018-H04, Class FG, 5.72%, 2/20/2068 (c)
|
255
|
254
|
|
Series 2018-H07, Class FE, 5.79%, 2/20/2068 (c)
|
52
|
51
|
|
Series 2019-H01, Class FT, 5.84%, 10/20/2068 (c)
|
418
|
418
|
|
Series 2019-H05, Class FT, 5.44%, 4/20/2069 (c)
|
1,140
|
1,139
|
|
Series 2020-H13, Class FK, 5.94%, 7/20/2070 (c)
|
3,355
|
3,318
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2004-S2, Class 5A1, 5.50%, 12/25/2019
|
110
|
98
|
|
Series 2006-A2, Class 4A1, 6.02%, 8/25/2034 (c)
|
300
|
298
|
|
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 4.75%, 7/25/2061 (a) (e)
|
3,317
|
3,247
|
|
MASTR Alternative Loan Trust Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
MFA Trust Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (a) (c)
|
927
|
794
|
|
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (e)
|
6,035
|
6,079
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-AR6, Class 4A1, 5.96%,
12/25/2035 (c)
|
1,233
|
325
|
|
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (e)
|
9,213
|
8,903
|
|
OBX Trust Series 2020-EXP3, Class 2A1, 6.34%, 1/25/2060 (a) (c)
|
636
|
633
|
|
PRPM LLC
|
|
|
|
Series 2020-4, Class A1, 5.61%, 10/25/2025 (a) (e)
|
7,010
|
7,001
|
|
Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (e)
|
2,825
|
2,812
|
|
Series 2021-RPL2, Class A1, 1.46%, 10/25/2051 (a) (c)
|
1,589
|
1,417
|
|
Visio Trust Series 2019-2, Class A1, 2.72%, 11/25/2054 (a) (c)
|
1,544
|
1,465
|
|
Total Collateralized Mortgage Obligations
(Cost $747,522)
|
|
687,232
|
|
Mortgage-Backed Securities — 8.3%
|
||
|
FHLMC
|
|
|
|
Pool # 611141, ARM, 6.30%, 1/1/2027 (c)
|
3
|
3
|
|
Pool # 846774, ARM, 6.28%, 12/1/2027 (c)
|
—
|
—
|
|
Pool # 1B2844, ARM, 6.27%, 3/1/2035 (c)
|
27
|
27
|
|
Pool # 1L1380, ARM, 6.55%, 3/1/2035 (c)
|
582
|
603
|
|
Pool # 1L1379, ARM, 7.08%, 10/1/2035 (c)
|
357
|
357
|
|
Pool # 1J1380, ARM, 6.31%, 3/1/2036 (c)
|
89
|
89
|
|
Pool # 1G1861, ARM, 6.54%, 3/1/2036 (c)
|
178
|
179
|
|
Pool # 1J1313, ARM, 5.50%, 6/1/2036 (c)
|
35
|
36
|
|
Pool # 1G1028, ARM, 5.92%, 7/1/2036 (c)
|
16
|
17
|
|
Pool # 1K0035, ARM, 6.36%, 8/1/2036 (c)
|
50
|
50
|
|
Pool # 1N0273, ARM, 7.66%, 8/1/2036 (c)
|
42
|
42
|
|
Pool # 1J1393, ARM, 5.82%, 10/1/2036 (c)
|
240
|
245
|
|
Pool # 1J1378, ARM, 5.89%, 11/1/2036 (c)
|
98
|
98
|
|
Pool # 1J1418, ARM, 5.94%, 12/1/2036 (c)
|
63
|
63
|
|
Pool # 1J1467, ARM, 5.99%, 12/1/2036 (c)
|
88
|
91
|
|
Pool # 1N0346, ARM, 7.44%, 12/1/2036 (c)
|
93
|
93
|
|
Pool # 1J1541, ARM, 6.05%, 1/1/2037 (c)
|
302
|
304
|
|
Pool # 1J1516, ARM, 6.07%, 2/1/2037 (c)
|
62
|
63
|
|
Pool # 1J1635, ARM, 6.06%, 3/1/2037 (c)
|
130
|
132
|
|
Pool # 1J1522, ARM, 6.66%, 3/1/2037 (c)
|
62
|
64
|
|
Pool # 1N1458, ARM, 7.07%, 3/1/2037 (c)
|
81
|
83
|
|
Pool # 1Q0339, ARM, 5.78%, 4/1/2037 (c)
|
11
|
11
|
|
Pool # 1Q0697, ARM, 7.35%, 5/1/2037 (c)
|
431
|
434
|
|
Pool # 1J1681, ARM, 5.73%, 6/1/2037 (c)
|
441
|
446
|
|
Pool # 1J1685, ARM, 5.73%, 6/1/2037 (c)
|
139
|
139
|
|
Pool # 1J2834, ARM, 6.14%, 8/1/2037 (c)
|
49
|
49
|
|
Pool # 847871, ARM, 6.59%, 8/1/2037 (c)
|
99
|
99
|
|
Pool # 1Q0476, ARM, 6.03%, 10/1/2037 (c)
|
87
|
87
|
|
Pool # 1J2945, ARM, 6.00%, 11/1/2037 (c)
|
47
|
47
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 1Q0894, ARM, 5.93%, 1/1/2038 (c)
|
161
|
160
|
|
Pool # 1Q0722, ARM, 6.32%, 4/1/2038 (c)
|
145
|
145
|
|
FHLMC Gold Pools, 15 Year
|
|
|
|
Pool # J14783, 4.00%, 3/1/2026
|
14
|
14
|
|
Pool # G14643, 4.00%, 8/1/2026
|
20
|
20
|
|
Pool # G14973, 4.00%, 12/1/2028
|
38
|
38
|
|
Pool # J31731, 3.00%, 5/1/2030
|
221
|
211
|
|
Pool # G16018, 3.00%, 12/1/2031
|
3,027
|
2,864
|
|
Pool # G18692, 3.50%, 6/1/2033 (d)
|
7,924
|
7,536
|
|
Pool # G16584, 3.50%, 8/1/2033 (d)
|
11,478
|
10,916
|
|
Pool # G18713, 3.50%, 11/1/2033 (d)
|
18,687
|
17,771
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # G30262, 6.00%, 10/1/2024
|
—
|
—
|
|
Pool # G30325, 5.50%, 3/1/2027
|
241
|
238
|
|
Pool # C91261, 4.50%, 8/1/2029
|
66
|
65
|
|
Pool # C91349, 4.50%, 12/1/2030
|
70
|
69
|
|
Pool # G30565, 4.50%, 10/1/2031
|
165
|
162
|
|
Pool # G30701, 5.00%, 11/1/2031
|
56
|
56
|
|
Pool # C91388, 3.50%, 2/1/2032
|
1,614
|
1,538
|
|
Pool # C91447, 3.50%, 5/1/2032
|
123
|
117
|
|
Pool # C91449, 4.00%, 5/1/2032
|
572
|
554
|
|
Pool # C91581, 3.00%, 11/1/2032
|
649
|
606
|
|
Pool # K90311, 3.00%, 4/1/2033
|
1,294
|
1,203
|
|
Pool # G30669, 4.50%, 12/1/2033
|
864
|
847
|
|
Pool # C91761, 4.00%, 5/1/2034
|
650
|
626
|
|
Pool # K92617, 3.00%, 4/1/2035
|
3,537
|
3,255
|
|
Pool # C91862, 3.50%, 1/1/2036
|
2,363
|
2,224
|
|
Pool # C91880, 3.50%, 6/1/2036
|
1,326
|
1,241
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # A30588, 6.00%, 7/1/2032
|
56
|
57
|
|
Pool # G01665, 5.50%, 3/1/2034
|
1,206
|
1,211
|
|
Pool # G05046, 5.00%, 11/1/2036
|
69
|
69
|
|
Pool # G03073, 5.50%, 7/1/2037
|
569
|
572
|
|
Pool # G04772, 7.00%, 8/1/2038
|
69
|
72
|
|
Pool # G05091, 4.50%, 9/1/2038
|
562
|
542
|
|
Pool # G05798, 5.50%, 1/1/2040
|
140
|
141
|
|
Pool # G08729, 4.50%, 9/1/2046
|
385
|
369
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # T45022, 2.50%, 1/1/2028
|
1,706
|
1,631
|
|
Pool # U79013, 2.50%, 4/1/2028
|
314
|
301
|
|
Pool # U79014, 2.50%, 5/1/2028
|
391
|
374
|
|
Pool # T40143, 2.50%, 7/1/2028
|
365
|
348
|
|
Pool # U79019, 3.00%, 7/1/2028
|
69
|
66
|
|
Pool # U79026, 2.50%, 9/1/2028
|
79
|
75
|
|
Pool # U49013, 3.00%, 9/1/2028
|
638
|
614
|
|
Pool # G20027, 10.00%, 10/1/2030
|
6
|
6
|
|
Pool # ZT1051, 3.50%, 12/1/2033
|
1,702
|
1,607
|
|
Pool # G20028, 7.50%, 12/1/2036
|
993
|
1,006
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # RE6019, 3.00%, 12/1/2049
|
538
|
445
|
|
Pool # RE6030, 3.50%, 2/1/2050
|
369
|
319
|
|
Pool # RE6028, 3.00%, 4/1/2050
|
311
|
257
|
|
Pool # RE6048, 2.50%, 5/1/2050
|
1,288
|
1,021
|
|
Pool # RE6041, 3.00%, 5/1/2050
|
4,826
|
3,988
|
|
FHLMC UMBS, 10 Year
|
|
|
|
Pool # RD5058, 2.00%, 5/1/2031
|
13,505
|
12,440
|
|
Pool # RD5059, 1.50%, 6/1/2031
|
14,586
|
13,213
|
|
Pool # RD5121, 4.50%, 9/1/2032
|
2,396
|
2,338
|
|
Pool # RD5122, 4.00%, 10/1/2032
|
2,758
|
2,647
|
|
Pool # RD5146, 4.50%, 5/1/2033
|
3,068
|
2,993
|
|
Pool # RD5150, 5.00%, 5/1/2033
|
5,262
|
5,211
|
|
Pool # RD5157, 4.50%, 7/1/2033
|
2,087
|
2,036
|
|
FHLMC UMBS, 15 Year
|
|
|
|
Pool # ZS6893, 3.00%, 1/1/2029
|
12,724
|
12,194
|
|
Pool # ZK7588, 3.00%, 2/1/2029
|
8,057
|
7,752
|
|
Pool # ZS7344, 3.00%, 1/1/2031
|
10,657
|
10,083
|
|
Pool # ZS8602, 3.00%, 3/1/2031 (d)
|
3,250
|
3,071
|
|
Pool # ZK8739, 3.00%, 5/1/2032
|
8,128
|
7,626
|
|
Pool # SB0722, 3.00%, 4/1/2033
|
4,602
|
4,354
|
|
Pool # ZS8076, 4.00%, 7/1/2033
|
1,398
|
1,354
|
|
Pool # ZS8124, 4.00%, 8/1/2033
|
2,173
|
2,103
|
|
Pool # ZT1403, 3.50%, 11/1/2033 (d)
|
12,390
|
11,768
|
|
Pool # ZT1412, 4.00%, 11/1/2033
|
13,427
|
13,000
|
|
Pool # SB1084, 3.00%, 3/1/2035
|
14,572
|
13,826
|
|
Pool # SB0754, 2.00%, 3/1/2036
|
931
|
820
|
|
FHLMC UMBS, 20 Year
|
|
|
|
Pool # ZT2375, 4.00%, 3/1/2032
|
8,904
|
8,626
|
|
Pool # ZT1674, 5.00%, 2/1/2035
|
2,725
|
2,702
|
|
Pool # SC0379, 4.50%, 4/1/2035
|
3,644
|
3,557
|
|
Pool # ZT1808, 3.50%, 5/1/2037
|
8,132
|
7,673
|
|
FHLMC UMBS, 30 Year Pool # SD4986, 5.50%, 11/1/2052
|
6,208
|
6,230
|
|
FNMA
|
|
|
|
Pool # 325081, ARM, 6.72%, 10/1/2025 (c)
|
1
|
1
|
|
Pool # 409902, ARM, 6.49%, 6/1/2027 (c)
|
3
|
3
|
|
Pool # 52597, ARM, 4.47%, 7/1/2027 (c)
|
1
|
1
|
|
Pool # 810896, ARM, 7.27%, 1/1/2035 (c)
|
15
|
15
|
|
Pool # 865095, ARM, 6.68%, 10/1/2035 (c)
|
177
|
176
|
|
Pool # 877009, ARM, 6.42%, 3/1/2036 (c)
|
192
|
195
|
|
Pool # AD0295, ARM, 6.43%, 3/1/2036 (c)
|
217
|
217
|
|
Pool # 894571, ARM, 6.71%, 3/1/2036 (c)
|
478
|
498
|
|
Pool # 895687, ARM, 7.58%, 5/1/2036 (c)
|
32
|
32
|
|
Pool # 882099, ARM, 7.03%, 7/1/2036 (c)
|
63
|
62
|
|
Pool # 884722, ARM, 5.24%, 8/1/2036 (c)
|
27
|
27
|
|
Pool # 745858, ARM, 5.77%, 8/1/2036 (c)
|
19
|
19
|
|
Pool # 886558, ARM, 6.02%, 8/1/2036 (c)
|
134
|
135
|
|
Pool # 887714, ARM, 6.17%, 8/1/2036 (c)
|
49
|
48
|
|
Pool # 882241, ARM, 5.91%, 10/1/2036 (c)
|
103
|
102
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 905593, ARM, 5.81%, 12/1/2036 (c)
|
11
|
11
|
|
Pool # AD0296, ARM, 5.86%, 12/1/2036 (c)
|
319
|
318
|
|
Pool # 870920, ARM, 5.87%, 12/1/2036 (c)
|
14
|
15
|
|
Pool # 905196, ARM, 6.29%, 12/1/2036 (c)
|
14
|
14
|
|
Pool # 888143, ARM, 5.81%, 1/1/2037 (c)
|
37
|
37
|
|
Pool # 920954, ARM, 7.30%, 1/1/2037 (c)
|
295
|
298
|
|
Pool # 913984, ARM, 7.18%, 2/1/2037 (c)
|
161
|
162
|
|
Pool # 910178, ARM, 6.37%, 3/1/2037 (c)
|
298
|
298
|
|
Pool # 888750, ARM, 6.57%, 4/1/2037 (c)
|
35
|
35
|
|
Pool # 936588, ARM, 6.77%, 4/1/2037 (c)
|
55
|
56
|
|
Pool # 944105, ARM, 5.53%, 7/1/2037 (c)
|
4
|
4
|
|
Pool # 948208, ARM, 7.12%, 7/1/2037 (c)
|
226
|
228
|
|
Pool # 950385, ARM, 6.57%, 8/1/2037 (c)
|
2
|
2
|
|
Pool # 950382, ARM, 6.70%, 8/1/2037 (c)
|
462
|
470
|
|
Pool # AD0081, ARM, 5.84%, 11/1/2037 (c)
|
56
|
56
|
|
Pool # 952182, ARM, 5.95%, 11/1/2037 (c)
|
111
|
112
|
|
Pool # 995108, ARM, 6.02%, 11/1/2037 (c)
|
292
|
299
|
|
Pool # 966911, ARM, 6.04%, 12/1/2037 (c)
|
35
|
35
|
|
FNMA UMBS, 10 Year
|
|
|
|
Pool # MA2233, 2.50%, 4/1/2025
|
8
|
8
|
|
Pool # MA4040, 2.00%, 6/1/2030
|
353
|
328
|
|
Pool # MA4332, 2.00%, 5/1/2031
|
13,228
|
12,202
|
|
Pool # MA4367, 1.50%, 6/1/2031
|
17,516
|
15,868
|
|
Pool # BP3513, 2.00%, 6/1/2031
|
1,060
|
976
|
|
Pool # FS0868, 2.50%, 3/1/2032
|
2,636
|
2,439
|
|
Pool # MA4637, 3.00%, 6/1/2032
|
691
|
648
|
|
Pool # MA5079, 5.00%, 6/1/2033
|
1,917
|
1,898
|
|
Pool # MA5117, 4.50%, 7/1/2033
|
2,074
|
2,025
|
|
FNMA UMBS, 15 Year
|
|
|
|
Pool # 931730, 5.00%, 8/1/2024
|
3
|
2
|
|
Pool # AD0662, 5.50%, 1/1/2025
|
3
|
3
|
|
Pool # AL2193, 5.50%, 7/1/2025
|
1
|
1
|
|
Pool # AJ5336, 3.00%, 11/1/2026
|
23
|
22
|
|
Pool # AK0971, 3.00%, 2/1/2027
|
25
|
25
|
|
Pool # AO0800, 3.00%, 4/1/2027
|
35
|
34
|
|
Pool # AP7842, 3.00%, 9/1/2027
|
27
|
26
|
|
Pool # AL3439, 4.00%, 9/1/2027
|
115
|
113
|
|
Pool # AL4307, 4.00%, 10/1/2028
|
285
|
278
|
|
Pool # AL6105, 4.00%, 12/1/2029
|
19
|
19
|
|
Pool # AZ0888, 3.50%, 7/1/2030
|
2,627
|
2,526
|
|
Pool # AZ8018, 3.00%, 9/1/2030
|
3,660
|
3,469
|
|
Pool # FM9465, 3.00%, 1/1/2031
|
3,492
|
3,350
|
|
Pool # FM3524, 3.00%, 4/1/2032
|
5,620
|
5,356
|
|
Pool # BN6225, 3.50%, 3/1/2034
|
2,769
|
2,630
|
|
Pool # CA4258, 2.50%, 10/1/2034
|
4,352
|
3,922
|
|
Pool # CA4263, 3.00%, 10/1/2034 (d)
|
4,154
|
3,861
|
|
Pool # FS4368, 4.00%, 11/1/2034
|
26,863
|
25,923
|
|
Pool # FS4292, 3.00%, 2/1/2035
|
3,141
|
2,973
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS3924, 3.00%, 6/1/2035
|
19,450
|
18,384
|
|
Pool # FS4504, 3.50%, 9/1/2035
|
5,311
|
5,098
|
|
Pool # FS4848, 3.00%, 7/1/2036
|
3,318
|
3,112
|
|
Pool # FS4430, 3.50%, 1/1/2037
|
4,539
|
4,348
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # 256714, 5.50%, 5/1/2027
|
60
|
60
|
|
Pool # MA0214, 5.00%, 10/1/2029
|
453
|
448
|
|
Pool # AD5474, 5.00%, 5/1/2030
|
171
|
168
|
|
Pool # MA0534, 4.00%, 10/1/2030
|
66
|
64
|
|
Pool # AL4165, 4.50%, 1/1/2031
|
379
|
370
|
|
Pool # MA0804, 4.00%, 7/1/2031
|
76
|
74
|
|
Pool # MA0792, 4.50%, 7/1/2031
|
658
|
646
|
|
Pool # MA3894, 4.00%, 9/1/2031
|
98
|
94
|
|
Pool # 890653, 4.50%, 1/1/2032
|
316
|
309
|
|
Pool # AL5958, 4.00%, 3/1/2032
|
753
|
727
|
|
Pool # MA1037, 3.00%, 4/1/2032
|
688
|
645
|
|
Pool # AL1722, 4.50%, 4/1/2032
|
56
|
55
|
|
Pool # AB5811, 3.00%, 8/1/2032
|
1,005
|
939
|
|
Pool # AL7474, 3.50%, 10/1/2032
|
625
|
591
|
|
Pool # MA1270, 2.50%, 11/1/2032
|
444
|
409
|
|
Pool # AL3190, 4.00%, 12/1/2032
|
296
|
285
|
|
Pool # MA1802, 3.00%, 1/1/2034
|
550
|
508
|
|
Pool # BM4298, 3.50%, 4/1/2034
|
9,717
|
9,200
|
|
Pool # AL8051, 4.00%, 5/1/2034
|
2,587
|
2,486
|
|
Pool # AL5373, 4.50%, 5/1/2034
|
297
|
290
|
|
Pool # MA1922, 4.00%, 6/1/2034
|
15,152
|
14,543
|
|
Pool # BM4606, 4.00%, 1/1/2036
|
10,690
|
10,317
|
|
Pool # MA2587, 3.50%, 4/1/2036
|
1,611
|
1,515
|
|
Pool # FM2477, 3.00%, 5/1/2036
|
2,348
|
2,190
|
|
Pool # AS7789, 3.00%, 8/1/2036
|
2,945
|
2,699
|
|
Pool # FM6297, 3.50%, 12/1/2036
|
2,477
|
2,342
|
|
Pool # FS0448, 3.00%, 1/1/2037
|
5,904
|
5,484
|
|
Pool # BM1370, 3.00%, 4/1/2037
|
1,446
|
1,318
|
|
Pool # BJ2544, 3.00%, 12/1/2037
|
1,064
|
958
|
|
Pool # FM2922, 3.00%, 2/1/2038
|
1,684
|
1,565
|
|
Pool # FS4583, 4.00%, 6/1/2038
|
1,742
|
1,673
|
|
Pool # FS1689, 4.50%, 4/1/2039
|
1,448
|
1,418
|
|
Pool # FS4048, 4.50%, 4/1/2039
|
11,504
|
11,261
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 250511, 6.50%, 3/1/2026
|
—
|
—
|
|
Pool # 555889, 8.00%, 12/1/2030
|
5
|
5
|
|
Pool # 254548, 5.50%, 12/1/2032
|
605
|
612
|
|
Pool # 555458, 5.50%, 5/1/2033
|
1,220
|
1,214
|
|
Pool # AB0054, 4.50%, 12/1/2034
|
1,588
|
1,535
|
|
Pool # 735503, 6.00%, 4/1/2035
|
883
|
902
|
|
Pool # 745275, 5.00%, 2/1/2036
|
1,520
|
1,501
|
|
Pool # 889118, 5.50%, 4/1/2036
|
1,660
|
1,656
|
|
Pool # 889209, 5.00%, 5/1/2036
|
86
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 745948, 6.50%, 10/1/2036
|
131
|
135
|
|
Pool # 889494, 5.50%, 1/1/2037
|
116
|
117
|
|
Pool # AD0249, 5.50%, 4/1/2037
|
1,172
|
1,176
|
|
Pool # 995024, 5.50%, 8/1/2037
|
182
|
183
|
|
Pool # FS4003, 5.50%, 8/1/2037
|
6,381
|
6,404
|
|
Pool # 950302, 7.00%, 8/1/2037
|
299
|
307
|
|
Pool # 888890, 6.50%, 10/1/2037
|
385
|
401
|
|
Pool # 929005, 6.00%, 1/1/2038
|
244
|
250
|
|
Pool # 890268, 6.50%, 10/1/2038
|
681
|
698
|
|
Pool # 995149, 6.50%, 10/1/2038
|
411
|
418
|
|
Pool # AL7521, 5.00%, 6/1/2039
|
225
|
222
|
|
Pool # AC3237, 5.00%, 10/1/2039
|
112
|
110
|
|
Pool # AB2025, 5.00%, 1/1/2040
|
609
|
601
|
|
Pool # AD6431, 4.50%, 6/1/2040
|
121
|
117
|
|
Pool # AK6740, 4.00%, 3/1/2042
|
1,299
|
1,223
|
|
Pool # AO7185, 4.00%, 9/1/2042
|
655
|
611
|
|
Pool # AL7590, 3.50%, 10/1/2045
|
589
|
529
|
|
Pool # FS5552, 5.00%, 12/1/2047
|
6,013
|
5,936
|
|
Pool # FS6870, 5.50%, 11/1/2052
|
4,241
|
4,257
|
|
FNMA, 30 Year Pool # 801357, 5.50%, 8/1/2034
|
31
|
31
|
|
FNMA, Other
|
|
|
|
Pool # AN0254, 2.97%, 12/1/2025
|
4,761
|
4,593
|
|
Pool # AN1461, 2.59%, 5/1/2026
|
10,000
|
9,510
|
|
Pool # AN1613, 2.55%, 7/1/2026
|
9,564
|
9,074
|
|
Pool # BL4482, 2.19%, 11/1/2026
|
10,165
|
9,511
|
|
Pool # AM8146, 2.78%, 2/1/2027
|
7,308
|
6,925
|
|
Pool # AN5041, 3.08%, 3/1/2027
|
5,099
|
4,863
|
|
Pool # AN6585, 2.84%, 9/1/2027
|
6,539
|
6,140
|
|
Pool # AN6586, 2.84%, 9/1/2027
|
5,982
|
5,617
|
|
Pool # AN7079, 2.80%, 10/1/2027
|
2,748
|
2,579
|
|
Pool # AN7169, 2.83%, 10/1/2027
|
5,354
|
5,024
|
|
Pool # BL9763, 1.24%, 12/1/2027
|
2,500
|
2,202
|
|
Pool # AB7351, 2.50%, 12/1/2027
|
318
|
304
|
|
Pool # AQ8837, 2.50%, 12/1/2027
|
206
|
198
|
|
Pool # AQ9357, 2.50%, 1/1/2028
|
117
|
112
|
|
Pool # AN8048, 3.08%, 1/1/2028
|
3,160
|
3,005
|
|
Pool # AQ9760, 2.50%, 2/1/2028
|
572
|
544
|
|
Pool # MA1360, 2.50%, 2/1/2028
|
647
|
618
|
|
Pool # BS1625, 1.35%, 4/1/2028
|
5,041
|
4,435
|
|
Pool # BS8763, 4.50%, 6/1/2028
|
1,335
|
1,314
|
|
Pool # BS9129, 4.39%, 7/1/2028
|
3,798
|
3,720
|
|
Pool # MA1557, 3.00%, 8/1/2028
|
118
|
113
|
|
Pool # AN9814, 3.63%, 8/1/2028
|
3,588
|
3,413
|
|
Pool # BS9590, 4.82%, 9/1/2028
|
7,345
|
7,302
|
|
Pool # BS9454, 5.34%, 9/1/2028
|
4,505
|
4,574
|
|
Pool # BZ0016, 5.55%, 12/1/2028
|
5,000
|
5,090
|
|
Pool # BZ0809, 4.89%, 4/1/2029
|
1,272
|
1,268
|
|
Pool # BM7222, 3.50%, 10/1/2029
|
3,306
|
3,188
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BM7221, 3.00%, 2/1/2031
|
6,679
|
6,422
|
|
Pool # BK4847, 2.50%, 4/1/2033
|
194
|
186
|
|
Pool # BM6947, 3.50%, 7/1/2033
|
2,854
|
2,714
|
|
Pool # BM6595, 4.00%, 6/1/2037
|
1,751
|
1,682
|
|
Pool # BF0194, 4.50%, 7/1/2040
|
2,206
|
2,088
|
|
Pool # BF0238, 4.50%, 8/1/2041
|
12,901
|
12,506
|
|
Pool # MA0896, 4.00%, 11/1/2041
|
291
|
267
|
|
Pool # MA1188, 3.00%, 9/1/2042
|
1,501
|
1,301
|
|
Pool # MA1349, 3.00%, 2/1/2043
|
1,518
|
1,315
|
|
Pool # MA1371, 3.00%, 3/1/2043
|
512
|
441
|
|
Pool # MA1433, 3.00%, 5/1/2043
|
670
|
577
|
|
Pool # MA1510, 4.00%, 7/1/2043
|
717
|
667
|
|
Pool # AL6167, 3.50%, 1/1/2044
|
1,084
|
983
|
|
Pool # BM3994, 3.50%, 1/1/2044
|
1,395
|
1,265
|
|
Pool # AL6854, 3.00%, 2/1/2044
|
2,024
|
1,774
|
|
Pool # AL7826, 3.50%, 1/1/2046
|
1,599
|
1,498
|
|
Pool # MA2621, 3.50%, 5/1/2046
|
322
|
281
|
|
Pool # MA2744, 3.50%, 9/1/2046
|
808
|
705
|
|
Pool # BH8493, 3.00%, 11/1/2047
|
1,097
|
926
|
|
Pool # MA3197, 3.00%, 11/1/2047
|
565
|
477
|
|
Pool # BM5053, 3.00%, 4/1/2048
|
414
|
359
|
|
Pool # BF0371, 5.00%, 7/1/2048
|
1,703
|
1,683
|
|
Pool # BF0573, 5.50%, 12/1/2048
|
13,230
|
13,080
|
|
Pool # BM6073, 3.00%, 7/1/2049
|
958
|
832
|
|
Pool # MA3876, 3.00%, 12/1/2049
|
2,063
|
1,705
|
|
Pool # MA3913, 3.00%, 1/1/2050
|
971
|
802
|
|
Pool # CA5133, 3.00%, 2/1/2050
|
484
|
401
|
|
Pool # MA3971, 3.00%, 3/1/2050
|
3,145
|
2,600
|
|
Pool # CA5979, 3.00%, 5/1/2050
|
453
|
374
|
|
Pool # MA4029, 3.00%, 5/1/2050
|
410
|
339
|
|
Pool # MA4057, 2.50%, 6/1/2050
|
768
|
610
|
|
Pool # CA6065, 3.00%, 6/1/2050
|
377
|
311
|
|
Pool # MA4058, 3.00%, 6/1/2050
|
320
|
264
|
|
Pool # CA6385, 3.00%, 7/1/2050
|
482
|
399
|
|
GNMA I, 15 Year Pool # 783929, 4.00%, 5/15/2026
|
7
|
7
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 780115, 8.50%, 4/15/2025
|
—
|
—
|
|
Pool # 423946, 9.00%, 10/15/2026
|
—
|
—
|
|
Pool # 786458, 5.50%, 3/15/2033
|
3,111
|
3,144
|
|
Pool # 784278, 5.50%, 1/15/2034
|
2,254
|
2,293
|
|
Pool # 687926, 6.50%, 9/15/2038
|
923
|
954
|
|
Pool # 785282, 4.25%, 10/15/2040
|
7,822
|
7,321
|
|
Pool # 785859, 5.50%, 6/15/2041
|
24,228
|
24,659
|
|
Pool # AE7700, 3.50%, 8/15/2043
|
436
|
398
|
|
GNMA II
|
|
|
|
Pool # 8746, ARM, 3.75%, 11/20/2025 (c)
|
4
|
4
|
|
Pool # 8790, ARM, 4.62%, 1/20/2026 (c)
|
2
|
2
|
|
Pool # 80053, ARM, 4.62%, 3/20/2027 (c)
|
—
|
—
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 80152, ARM, 4.62%, 1/20/2028 (c)
|
—
|
—
|
|
GNMA II, 15 Year
|
|
|
|
Pool # 5136, 4.00%, 8/20/2026
|
18
|
18
|
|
Pool # 5208, 3.00%, 10/20/2026
|
336
|
328
|
|
Pool # 5277, 3.50%, 1/20/2027
|
73
|
72
|
|
Pool # MA3495, 2.50%, 3/20/2031
|
7,889
|
7,372
|
|
Pool # MA3638, 2.50%, 5/20/2031
|
4,223
|
3,937
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 1989, 8.50%, 4/20/2025
|
1
|
1
|
|
Pool # 2285, 8.00%, 9/20/2026
|
2
|
2
|
|
Pool # 2499, 8.00%, 10/20/2027
|
1
|
1
|
|
Pool # 2525, 8.00%, 12/20/2027
|
—
|
—
|
|
Pool # 2646, 7.50%, 9/20/2028
|
1
|
2
|
|
Pool # 4224, 7.00%, 8/20/2038
|
414
|
422
|
|
Pool # 4245, 6.00%, 9/20/2038
|
598
|
622
|
|
Pool # 4247, 7.00%, 9/20/2038
|
861
|
878
|
|
Pool # MA8619, 6.50%, 11/20/2038
|
2,872
|
2,947
|
|
Pool # MA8918, 5.50%, 12/20/2038
|
1,959
|
1,977
|
|
GNMA II, Other Pool # MA6081, 3.50%, 8/20/2049
|
698
|
618
|
|
Total Mortgage-Backed Securities
(Cost $707,678)
|
|
686,919
|
|
Commercial Mortgage-Backed Securities — 2.1%
|
||
|
BX Series 2021-MFM1, Class A, 6.13%, 1/15/2034 (a) (c)
|
2,299
|
2,287
|
|
Commercial Mortgage Trust
|
|
|
|
Series 2020-CBM, Class B, 3.10%, 2/10/2037 (a)
|
4,765
|
4,604
|
|
Series 2014-CR16, Class AM, 4.28%, 4/10/2047
|
9,853
|
9,513
|
|
Series 2014-UBS3, Class B, 4.31%, 6/10/2047
|
3,000
|
2,696
|
|
Series 2015-CR26, Class B, 4.46%, 10/10/2048 (c)
|
2,000
|
1,910
|
|
CSAIL Commercial Mortgage Trust Series 2015-C1, Class A3, 3.24%, 4/15/2050
|
2,246
|
2,222
|
|
DBJPM Mortgage Trust Series 2017-C6, Class A3, 3.27%, 6/10/2050
|
1,603
|
1,594
|
|
FHLMC, Multifamily Structured Pass-Through Certificates
|
|
|
|
Series K506, Class A1, 4.65%, 5/25/2028
|
1,182
|
1,168
|
|
Series K507, Class A2, 4.80%, 9/25/2028 (c)
|
2,500
|
2,480
|
|
Series KG04, Class A1, 0.85%, 6/25/2030
|
3,631
|
3,150
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KC07, Class A7, 2.51%, 10/25/2026
|
2,372
|
2,231
|
|
Series K068, Class X1, IO, 0.42%, 8/25/2027 (c)
|
65,027
|
770
|
|
Series K740, Class X1, IO, 0.74%, 9/25/2027 (c)
|
102,831
|
2,085
|
|
Series K114, Class X1, IO, 1.11%, 6/25/2030 (c)
|
39,705
|
2,149
|
|
FNMA ACES Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (c)
|
53,957
|
3,768
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2018-K733, Class C, 4.07%, 9/25/2025 (a) (c)
|
7,000
|
6,781
|
|
Series 2019-K735, Class B, 4.02%, 5/25/2026 (a) (c)
|
7,480
|
7,210
|
|
Series 2014-K39, Class C, 4.05%, 8/25/2047 (a) (c)
|
6,500
|
6,458
|
|
Series 2014-K41, Class C, 3.83%, 11/25/2047 (a) (c)
|
4,350
|
4,289
|
|
Series 2015-K44, Class C, 3.72%, 1/25/2048 (a) (c)
|
2,000
|
1,964
|
|
Series 2015-K42, Class C, 3.85%, 1/25/2048 (a) (c)
|
1,000
|
983
|
|
Series 2015-K43, Class C, 3.73%, 2/25/2048 (a) (c)
|
6,000
|
5,882
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2015-K45, Class B, 3.60%, 4/25/2048 (a) (c)
|
1,246
|
1,224
|
|
Series 2015-K45, Class C, 3.60%, 4/25/2048 (a) (c)
|
9,700
|
9,509
|
|
Series 2016-K54, Class B, 4.05%, 4/25/2048 (a) (c)
|
1,500
|
1,455
|
|
Series 2015-K50, Class B, 3.78%, 10/25/2048 (a) (c)
|
8,000
|
7,785
|
|
Series 2015-K50, Class C, 3.78%, 10/25/2048 (a) (c)
|
2,000
|
1,935
|
|
Series 2016-K53, Class B, 4.02%, 3/25/2049 (a) (c)
|
2,260
|
2,198
|
|
Series 2016-K57, Class B, 3.92%, 8/25/2049 (a) (c)
|
2,000
|
1,920
|
|
Series 2019-K734, Class B, 4.05%, 2/25/2051 (a) (c)
|
3,400
|
3,290
|
|
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a)
|
3,225
|
3,034
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.23%, 7/15/2048 (c)
|
9,000
|
7,145
|
|
Series 2015-C31, Class C, 4.62%, 8/15/2048 (c)
|
2,750
|
2,336
|
|
JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A3, 3.11%, 7/15/2050
|
3,895
|
3,742
|
|
MHC Commercial Mortgage Trust
|
|
|
|
Series 2021-MHC, Class A, 6.23%, 4/15/2038 (a) (c)
|
2,936
|
2,919
|
|
Series 2021-MHC, Class D, 7.03%, 4/15/2038 (a) (c)
|
2,097
|
2,084
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
Series 2014-C17, Class C, 4.40%, 8/15/2047 (c)
|
5,339
|
5,252
|
|
Series 2014-C18, Class B, 4.37%, 10/15/2047 (c)
|
5,250
|
5,167
|
|
Series 2016-C31, Class B, 3.88%, 11/15/2049 (c)
|
4,140
|
3,653
|
|
Morgan Stanley Capital I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (c)
|
3,884
|
3,384
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class B, 2.72%, 12/15/2036 (a)
|
6,000
|
4,968
|
|
OPG Trust Series 2021-PORT, Class B, 6.14%, 10/15/2036 (a) (c)
|
4,075
|
4,025
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
Series 2021-SAVE, Class A, 6.58%, 2/15/2040 (a) (c)
|
6,613
|
6,586
|
|
Series 2015-C28, Class B, 4.08%, 5/15/2048 (c)
|
3,000
|
2,859
|
|
Series 2015-C29, Class C, 4.22%, 6/15/2048 (c)
|
1,250
|
1,142
|
|
Series 2017-C41, Class A2, 2.59%, 11/15/2050
|
1,452
|
1,338
|
|
WFRBS Commercial Mortgage Trust Series 2014-C25, Class AS, 3.98%, 11/15/2047
|
7,605
|
7,412
|
|
Total Commercial Mortgage-Backed Securities
(Cost $184,895)
|
|
172,556
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 5.3%
|
||
|
Investment Companies — 3.9%
|
||
|
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.17% (f) (g)
(Cost $324,419)
|
324,419
|
324,419
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — 1.4%
|
||
|
U.S. Treasury Bills
|
|
|
|
5.21%, 8/8/2024 (h) (i)
|
21,353
|
21,148
|
|
21.73%, 1/23/2025 (h)
|
95,105
|
92,062
|
|
Total U.S. Treasury Obligations
(Cost $113,318)
|
|
113,210
|
|
Total Short-Term Investments
(Cost $437,737)
|
|
437,629
|
|
Total Investments — 100.8%
(Cost $8,444,091)
|
|
8,292,147
|
|
Liabilities in Excess of Other Assets — (0.8)%
|
|
(63,182
)
|
|
NET ASSETS — 100.0%
|
|
8,228,965
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2024.
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
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 May 31, 2024. 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
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the 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
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
(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 May 31, 2024.
|
|
(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 May 31,
2024.
|
|
(d)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(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 May 31, 2024.
|
|
(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 May 31, 2024.
|
|
(h)
|
The rate shown is the effective yield as of May 31, 2024.
|
|
(i)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 2 Year Note
|
10,686
|
09/30/2024
|
USD
|
2,177,940
|
1,612
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(1,379
)
|
09/19/2024
|
USD
|
(150,268
)
|
(3
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(708
)
|
09/19/2024
|
USD
|
(79,506
)
|
9
|
|
U.S. Treasury Ultra Bond
|
(86
)
|
09/19/2024
|
USD
|
(10,559
)
|
149
|
|
U.S. Treasury 5 Year Note
|
(10,921
)
|
09/30/2024
|
USD
|
(1,157,114
)
|
(1,639
)
|
|
|
|
|
|
|
(1,484
)
|
|
|
|
|
|
|
128
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,934,034
|
$43,138
|
$1,977,172
|
|
Collateralized Mortgage Obligations
|
—
|
687,231
|
1
|
687,232
|
|
Commercial Mortgage-Backed Securities
|
—
|
172,556
|
—
|
172,556
|
|
Corporate Bonds
|
—
|
2,318,401
|
—
|
2,318,401
|
|
Mortgage-Backed Securities
|
—
|
686,919
|
—
|
686,919
|
|
U.S. Treasury Obligations
|
—
|
2,012,238
|
—
|
2,012,238
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
324,419
|
—
|
—
|
324,419
|
|
U.S. Treasury Obligations
|
—
|
113,210
|
—
|
113,210
|
|
Total Short-Term Investments
|
324,419
|
113,210
|
—
|
437,629
|
|
Total Investments in Securities
|
$324,419
|
$7,924,589
|
$43,139
|
$8,292,147
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$1,770
|
$—
|
$—
|
$1,770
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
(1,642
)
|
—
|
—
|
(1,642
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$128
|
$—
|
$—
|
$128
|
|
|
Balance as of
February 29,
2024
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
May 31,
2024
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$43,814
|
$—
|
$702
|
$8
|
$11,009
|
$(12,395
)
|
$—
|
$—
|
$43,138
|
|
Collateralized Mortgage
Obligations
|
56
|
—
|
—
(a)
|
—
|
—
|
—
|
—
|
(55
)
|
1
|
|
Total
|
$43,870
|
$—
|
$702
|
$8
|
$11,009
|
$(12,395
)
|
$—
|
$(55
)
|
$43,139
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value at
May 31, 2024
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
|
$24,158
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (26.01%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.03% - 7.33% (6.42%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
24,158
|
|
|
|
|
Total
|
$24,158
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2024, the value of
these investments was $18,981. The inputs for these investments are not readily available
or cannot be reasonably estimated and are generally
those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended May 31, 2024
|
|||||||||
|
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 5.17% (a) (b)
|
$184,181
|
$795,757
|
$655,519
|
$—
|
$—
|
$324,419
|
324,419
|
$3,268
|
$—
|
|
|
|
|
(a)
|
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.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2024.
|