Nonconvertible Bonds - 61.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
COMMUNICATION SERVICES - 2.8%
|
|||
Diversified Telecommunication Services - 1.5%
|
|||
AT&T, Inc.:
|
|||
0.9% 3/25/24
|
5,000,000
|
4,818,335
|
|
1.65% 2/1/28
|
12,588,000
|
11,144,412
|
|
NTT Finance Corp.:
|
|||
0.583% 3/1/24 (b)
|
4,260,000
|
4,077,961
|
|
1.162% 4/3/26 (b)
|
8,933,000
|
8,131,530
|
|
1.591% 4/3/28 (b)
|
10,000,000
|
8,798,434
|
|
Verizon Communications, Inc.:
|
|||
2.355% 3/15/32
|
12,779,000
|
11,006,006
|
|
3% 3/22/27
|
626,000
|
606,903
|
|
48,583,581
|
|||
Media - 0.6%
|
|||
Comcast Corp.:
|
|||
3.7% 4/15/24
|
4,500,000
|
4,574,382
|
|
3.95% 10/15/25
|
2,610,000
|
2,662,516
|
|
Discovery Communications LLC:
|
|||
2.95% 3/20/23
|
7,000,000
|
6,989,914
|
|
3.625% 5/15/30
|
1,664,000
|
1,537,590
|
|
Magallanes, Inc.:
|
|||
3.638% 3/15/25 (b)
|
1,048,000
|
1,034,735
|
|
3.755% 3/15/27 (b)
|
2,049,000
|
1,988,760
|
|
18,787,897
|
|||
Wireless Telecommunication Services - 0.7%
|
|||
Rogers Communications, Inc. 2.95% 3/15/25 (b)
|
5,568,000
|
5,470,029
|
|
T-Mobile U.S.A., Inc.:
|
|||
2.625% 4/15/26
|
10,100,000
|
9,582,855
|
|
3.5% 4/15/25
|
6,000,000
|
5,954,006
|
|
21,006,890
|
|||
TOTAL COMMUNICATION SERVICES
|
88,378,368
|
||
CONSUMER DISCRETIONARY - 3.7%
|
|||
Automobiles - 3.0%
|
|||
BMW U.S. Capital LLC 3.45% 4/12/23 (b)
|
7,000,000
|
7,040,838
|
|
Daimler Finance North America LLC:
|
|||
0.75% 3/1/24 (b)
|
17,889,000
|
17,155,033
|
|
1.45% 3/2/26 (b)
|
6,948,000
|
6,384,288
|
|
General Motors Financial Co., Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.9851% 11/17/23 (c)(d)
|
10,000,000
|
9,900,038
|
|
1.05% 3/8/24
|
2,306,000
|
2,209,917
|
|
1.25% 1/8/26
|
8,359,000
|
7,512,960
|
|
1.7% 8/18/23
|
10,000,000
|
9,841,357
|
|
2.35% 2/26/27
|
7,500,000
|
6,804,506
|
|
3.25% 1/5/23
|
5,000,000
|
5,013,898
|
|
4.15% 6/19/23
|
5,231,000
|
5,272,648
|
|
Volkswagen Group of America Finance LLC:
|
|||
1.25% 11/24/25 (b)
|
15,040,000
|
13,770,431
|
|
3.95% 6/6/25 (b)
|
3,270,000
|
3,268,529
|
|
94,174,443
|
|||
Distributors - 0.2%
|
|||
Genuine Parts Co. 1.75% 2/1/25
|
5,796,000
|
5,503,323
|
|
Hotels, Restaurants & Leisure - 0.1%
|
|||
McDonald's Corp. 3.3% 7/1/25
|
1,040,000
|
1,040,004
|
|
Starbucks Corp. 3.8% 8/15/25
|
2,340,000
|
2,369,831
|
|
3,409,835
|
|||
Multiline Retail - 0.2%
|
|||
Dollar Tree, Inc. 4% 5/15/25
|
6,000,000
|
6,057,932
|
|
Specialty Retail - 0.2%
|
|||
AutoZone, Inc. 3.625% 4/15/25
|
545,000
|
545,417
|
|
Ross Stores, Inc. 0.875% 4/15/26
|
7,357,000
|
6,596,159
|
|
7,141,576
|
|||
TOTAL CONSUMER DISCRETIONARY
|
116,287,109
|
||
CONSUMER STAPLES - 5.4%
|
|||
Beverages - 0.8%
|
|||
Constellation Brands, Inc. 3.6% 5/9/24
|
6,000,000
|
6,048,673
|
|
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24
|
10,000,000
|
9,588,332
|
|
Molson Coors Beverage Co. 3% 7/15/26
|
10,575,000
|
10,178,107
|
|
25,815,112
|
|||
Food & Staples Retailing - 0.8%
|
|||
7-Eleven, Inc.:
|
|||
0.8% 2/10/24 (b)
|
7,321,000
|
7,005,223
|
|
0.95% 2/10/26 (b)
|
7,891,000
|
7,097,555
|
|
1.3% 2/10/28 (b)
|
3,614,000
|
3,084,757
|
|
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b)
|
9,342,000
|
8,824,417
|
|
26,011,952
|
|||
Food Products - 1.9%
|
|||
Conagra Brands, Inc. 0.5% 8/11/23
|
6,707,000
|
6,512,635
|
|
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b)
|
5,515,000
|
4,933,887
|
|
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (b)
|
10,730,000
|
11,075,421
|
|
JDE Peet's BV:
|
|||
0.8% 9/24/24 (b)
|
8,000,000
|
7,492,583
|
|
1.375% 1/15/27 (b)
|
10,440,000
|
9,100,206
|
|
McCormick & Co., Inc. 0.9% 2/15/26
|
15,000,000
|
13,500,212
|
|
Mondelez International, Inc. 2.125% 3/17/24
|
8,500,000
|
8,368,933
|
|
60,983,877
|
|||
Tobacco - 1.9%
|
|||
Altria Group, Inc. 2.35% 5/6/25
|
1,003,000
|
962,561
|
|
BAT Capital Corp. 3.222% 8/15/24
|
7,000,000
|
6,946,435
|
|
BAT International Finance PLC:
|
|||
1.668% 3/25/26
|
15,000,000
|
13,543,795
|
|
3.95% 6/15/25 (b)
|
5,000,000
|
4,967,558
|
|
Imperial Tobacco Finance PLC:
|
|||
3.125% 7/26/24 (b)
|
8,250,000
|
8,073,891
|
|
4.25% 7/21/25 (b)
|
13,000,000
|
12,903,477
|
|
Philip Morris International, Inc.:
|
|||
0.875% 5/1/26
|
4,502,000
|
4,046,648
|
|
1.5% 5/1/25
|
3,501,000
|
3,329,942
|
|
2.875% 5/1/24
|
4,910,000
|
4,916,162
|
|
59,690,469
|
|||
TOTAL CONSUMER STAPLES
|
172,501,410
|
||
ENERGY - 4.2%
|
|||
Energy Equipment & Services - 0.1%
|
|||
Baker Hughes Co.:
|
|||
1.231% 12/15/23
|
1,898,000
|
1,853,032
|
|
2.061% 12/15/26
|
1,781,000
|
1,659,048
|
|
3,512,080
|
|||
Oil, Gas & Consumable Fuels - 4.1%
|
|||
Canadian Natural Resources Ltd. 2.05% 7/15/25
|
3,668,000
|
3,479,493
|
|
ConocoPhillips Co. 2.4% 3/7/25
|
3,533,000
|
3,468,766
|
|
Enbridge, Inc.:
|
|||
1.6% 10/4/26
|
10,000,000
|
9,090,191
|
|
2.15% 2/16/24
|
1,379,000
|
1,351,827
|
|
2.5% 2/14/25
|
1,440,000
|
1,399,483
|
|
Energy Transfer LP:
|
|||
2.9% 5/15/25
|
7,150,000
|
6,966,292
|
|
3.6% 2/1/23
|
2,824,000
|
2,828,561
|
|
4.2% 9/15/23
|
1,441,000
|
1,458,454
|
|
4.25% 3/15/23
|
6,314,000
|
6,350,353
|
|
4.5% 4/15/24
|
570,000
|
577,846
|
|
Equinor ASA:
|
|||
1.75% 1/22/26
|
1,120,000
|
1,057,578
|
|
2.875% 4/6/25
|
7,000,000
|
6,954,311
|
|
Hess Corp. 4.3% 4/1/27
|
4,500,000
|
4,490,084
|
|
Kinder Morgan Energy Partners LP 3.5% 9/1/23
|
5,738,000
|
5,757,174
|
|
MPLX LP:
|
|||
1.75% 3/1/26
|
15,044,000
|
13,759,770
|
|
3.375% 3/15/23
|
6,618,000
|
6,646,954
|
|
4.5% 7/15/23
|
856,000
|
866,154
|
|
Occidental Petroleum Corp. 2.9% 8/15/24
|
6,061,000
|
5,909,475
|
|
Ovintiv Exploration, Inc. 5.625% 7/1/24
|
1,967,000
|
2,068,907
|
|
Petroleos Mexicanos:
|
|||
6.49% 1/23/27
|
6,035,000
|
5,764,632
|
|
6.5% 3/13/27
|
12,000,000
|
11,447,280
|
|
Phillips 66 Co.:
|
|||
1.3% 2/15/26
|
6,892,000
|
6,327,089
|
|
3.7% 4/6/23
|
4,430,000
|
4,453,453
|
|
3.85% 4/9/25
|
7,000,000
|
7,075,789
|
|
Pioneer Natural Resources Co. 0.55% 5/15/23
|
7,781,000
|
7,610,065
|
|
Valero Energy Corp. 2.85% 4/15/25
|
2,437,000
|
2,387,705
|
|
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 2.6214% 1/13/23 (c)(d)
|
2,040,000
|
2,021,640
|
|
131,569,326
|
|||
TOTAL ENERGY
|
135,081,406
|
||
FINANCIALS - 31.4%
|
|||
Banks - 17.9%
|
|||
ABN AMRO Bank NV 1.542% 6/16/27 (b)(c)
|
8,114,000
|
7,264,040
|
|
Banco Santander SA 1.722% 9/14/27 (c)
|
5,000,000
|
4,449,902
|
|
Bank of America Corp.:
|
|||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(d)
|
11,000,000
|
10,457,981
|
|
1.197% 10/24/26 (c)
|
13,673,000
|
12,457,254
|
|
1.319% 6/19/26 (c)
|
16,000,000
|
14,763,185
|
|
1.734% 7/22/27 (c)
|
7,174,000
|
6,531,914
|
|
4.2% 8/26/24
|
15,750,000
|
16,006,456
|
|
Barclays PLC:
|
|||
1.007% 12/10/24 (c)
|
5,000,000
|
4,791,879
|
|
2.279% 11/24/27 (c)
|
5,000,000
|
4,528,126
|
|
2.852% 5/7/26 (c)
|
18,848,000
|
18,126,213
|
|
3.932% 5/7/25 (c)
|
4,000,000
|
3,994,285
|
|
4.338% 5/16/24 (c)
|
5,045,000
|
5,085,495
|
|
BNP Paribas SA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (b)(c)(d)
|
7,417,000
|
6,624,994
|
|
2.219% 6/9/26 (b)(c)
|
8,627,000
|
8,107,402
|
|
BPCE SA:
|
|||
1.652% 10/6/26 (b)(c)
|
20,000,000
|
18,233,047
|
|
2.045% 10/19/27 (b)(c)
|
6,865,000
|
6,166,510
|
|
4% 9/12/23 (b)
|
5,000,000
|
5,026,500
|
|
Capital One Bank NA 2.28% 1/28/26 (c)
|
7,000,000
|
6,711,493
|
|
Citigroup, Inc.:
|
|||
0.981% 5/1/25 (c)
|
5,320,000
|
5,054,081
|
|
2.014% 1/25/26 (c)
|
7,350,000
|
6,994,912
|
|
3.106% 4/8/26 (c)
|
10,000,000
|
9,761,352
|
|
4.4% 6/10/25
|
3,018,000
|
3,050,745
|
|
Danske Bank A/S 3.875% 9/12/23 (b)
|
6,000,000
|
6,024,245
|
|
DNB Bank ASA:
|
|||
1.535% 5/25/27 (b)(c)
|
4,643,000
|
4,199,657
|
|
1.605% 3/30/28 (b)(c)
|
9,570,000
|
8,466,912
|
|
First Citizens Bank & Trust Co. 3.929% 6/19/24 (c)
|
815,000
|
818,810
|
|
HSBC Holdings PLC:
|
|||
1.589% 5/24/27 (c)
|
10,000,000
|
8,945,572
|
|
1.645% 4/18/26 (c)
|
6,567,000
|
6,113,158
|
|
3.803% 3/11/25 (c)
|
5,000,000
|
4,988,676
|
|
3.95% 5/18/24 (c)
|
3,000,000
|
3,010,836
|
|
Huntington Bancshares, Inc. 2.625% 8/6/24
|
4,610,000
|
4,540,182
|
|
ING Groep NV 1.726% 4/1/27 (c)
|
4,192,000
|
3,786,060
|
|
Intesa Sanpaolo SpA:
|
|||
3.25% 9/23/24 (b)
|
14,000,000
|
13,739,896
|
|
3.375% 1/12/23 (b)
|
5,775,000
|
5,768,154
|
|
5.71% 1/15/26 (b)
|
5,031,000
|
5,067,689
|
|
JPMorgan Chase & Co.:
|
|||
0.824% 6/1/25 (c)
|
7,855,000
|
7,447,372
|
|
1.045% 11/19/26 (c)
|
15,000,000
|
13,606,633
|
|
1.47% 9/22/27 (c)
|
10,000,000
|
9,006,893
|
|
1.514% 6/1/24 (c)
|
5,770,000
|
5,689,121
|
|
2.083% 4/22/26 (c)
|
25,219,000
|
23,977,834
|
|
2.956% 5/13/31 (c)
|
12,053,000
|
10,755,762
|
|
3.559% 4/23/24 (c)
|
10,000,000
|
10,034,043
|
|
Lloyds Banking Group PLC:
|
|||
0.695% 5/11/24 (c)
|
5,000,000
|
4,871,364
|
|
2.438% 2/5/26 (c)
|
2,636,000
|
2,530,549
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
0.848% 9/15/24 (c)
|
7,000,000
|
6,781,075
|
|
1.412% 7/17/25
|
8,000,000
|
7,434,570
|
|
1.538% 7/20/27 (c)
|
10,000,000
|
8,978,720
|
|
1.64% 10/13/27 (c)
|
5,000,000
|
4,478,972
|
|
2.193% 2/25/25
|
7,200,000
|
6,920,307
|
|
Mizuho Financial Group, Inc.:
|
|||
0.849% 9/8/24 (c)
|
17,495,000
|
16,922,814
|
|
1.234% 5/22/27 (c)
|
10,000,000
|
8,867,113
|
|
NatWest Group PLC:
|
|||
2.359% 5/22/24 (c)
|
4,223,000
|
4,178,604
|
|
3.875% 9/12/23
|
12,600,000
|
12,673,684
|
|
4.519% 6/25/24 (c)
|
10,962,000
|
11,066,114
|
|
NatWest Markets PLC 0.8% 8/12/24 (b)
|
5,141,000
|
4,827,651
|
|
Rabobank Nederland 1.98% 12/15/27 (b)(c)
|
7,500,000
|
6,797,200
|
|
Regions Financial Corp. 2.25% 5/18/25
|
3,135,000
|
3,026,101
|
|
Royal Bank of Canada 1.15% 6/10/25
|
15,000,000
|
13,997,071
|
|
Santander Holdings U.S.A., Inc.:
|
|||
2.49% 1/6/28 (c)
|
2,768,000
|
2,513,420
|
|
3.4% 1/18/23
|
5,500,000
|
5,510,171
|
|
3.45% 6/2/25
|
5,700,000
|
5,602,090
|
|
Societe Generale:
|
|||
1.488% 12/14/26 (b)(c)
|
7,870,000
|
7,032,750
|
|
1.792% 6/9/27 (b)(c)
|
6,750,000
|
5,992,855
|
|
2.625% 10/16/24 (b)
|
1,530,000
|
1,489,843
|
|
3.875% 3/28/24 (b)
|
6,015,000
|
6,017,781
|
|
Sumitomo Mitsui Financial Group, Inc.:
|
|||
0.508% 1/12/24
|
989,000
|
948,177
|
|
1.402% 9/17/26
|
10,000,000
|
8,962,445
|
|
1.474% 7/8/25
|
10,000,000
|
9,331,426
|
|
SVB Financial Group 3.125% 6/5/30
|
3,077,000
|
2,724,838
|
|
Synovus Financial Corp. 3.125% 11/1/22
|
7,118,000
|
7,125,789
|
|
Wells Fargo & Co.:
|
|||
1.654% 6/2/24 (c)
|
5,500,000
|
5,427,064
|
|
2.164% 2/11/26 (c)
|
10,000,000
|
9,556,747
|
|
2.188% 4/30/26 (c)
|
5,000,000
|
4,755,062
|
|
2.406% 10/30/25 (c)
|
14,000,000
|
13,572,695
|
|
4.3% 7/22/27
|
7,000,000
|
7,036,444
|
|
Westpac Banking Corp. 4.11% 7/24/34 (c)
|
1,710,000
|
1,603,152
|
|
569,729,929
|
|||
Capital Markets - 6.2%
|
|||
Ares Capital Corp. 3.25% 7/15/25
|
10,000,000
|
9,515,005
|
|
Credit Suisse AG 0.52% 8/9/23
|
8,000,000
|
7,768,471
|
|
Credit Suisse Group AG:
|
|||
1.305% 2/2/27 (b)(c)
|
10,000,000
|
8,770,100
|
|
2.593% 9/11/25 (b)(c)
|
4,805,000
|
4,596,490
|
|
Deutsche Bank AG 4.5% 4/1/25
|
2,904,000
|
2,881,943
|
|
Deutsche Bank AG New York Branch:
|
|||
0.898% 5/28/24
|
2,899,000
|
2,746,335
|
|
1.447% 4/1/25 (c)
|
6,811,000
|
6,464,349
|
|
2.129% 11/24/26 (c)
|
14,479,000
|
13,231,999
|
|
2.222% 9/18/24 (c)
|
22,621,000
|
22,046,942
|
|
2.311% 11/16/27 (c)
|
7,028,000
|
6,221,051
|
|
Goldman Sachs Group, Inc.:
|
|||
0.657% 9/10/24 (c)
|
4,500,000
|
4,342,551
|
|
1.757% 1/24/25 (c)
|
5,000,000
|
4,862,357
|
|
2.64% 2/24/28 (c)
|
5,000,000
|
4,662,476
|
|
3.272% 9/29/25 (c)
|
5,000,000
|
4,950,408
|
|
Intercontinental Exchange, Inc.:
|
|||
3.65% 5/23/25
|
4,670,000
|
4,731,700
|
|
4% 9/15/27
|
7,139,000
|
7,185,858
|
|
Moody's Corp. 4.875% 2/15/24
|
4,000,000
|
4,108,250
|
|
Morgan Stanley:
|
|||
0.79% 5/30/25 (c)
|
10,000,000
|
9,437,791
|
|
0.791% 1/22/25 (c)
|
11,500,000
|
11,001,178
|
|
2.188% 4/28/26 (c)
|
5,000,000
|
4,776,766
|
|
2.72% 7/22/25 (c)
|
3,953,000
|
3,869,303
|
|
3.737% 4/24/24 (c)
|
12,000,000
|
12,051,673
|
|
Nomura Holdings, Inc. 1.653% 7/14/26
|
12,500,000
|
11,254,852
|
|
S&P Global, Inc. 2.45% 3/1/27 (b)
|
7,508,000
|
7,124,467
|
|
State Street Corp. 2.901% 3/30/26 (c)
|
305,000
|
299,290
|
|
UBS AG London Branch:
|
|||
1.25% 6/1/26 (b)
|
8,000,000
|
7,236,579
|
|
1.375% 1/13/25 (b)
|
5,000,000
|
4,735,390
|
|
UBS Group AG 1.008% 7/30/24 (b)(c)
|
7,594,000
|
7,387,226
|
|
198,260,800
|
|||
Consumer Finance - 3.2%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.65% 10/29/24
|
5,760,000
|
5,399,750
|
|
1.75% 1/30/26
|
7,095,000
|
6,335,506
|
|
2.45% 10/29/26
|
2,102,000
|
1,879,571
|
|
3.3% 1/23/23
|
7,000,000
|
6,998,296
|
|
4.125% 7/3/23
|
1,826,000
|
1,824,533
|
|
4.875% 1/16/24
|
1,481,000
|
1,491,581
|
|
Ally Financial, Inc.:
|
|||
1.45% 10/2/23
|
1,220,000
|
1,192,466
|
|
3.05% 6/5/23
|
8,326,000
|
8,330,422
|
|
5.125% 9/30/24
|
9,760,000
|
10,067,450
|
|
American Express Co. 2.25% 3/4/25
|
4,097,000
|
3,986,678
|
|
Capital One Financial Corp.:
|
|||
1.343% 12/6/24 (c)
|
5,000,000
|
4,825,566
|
|
1.878% 11/2/27 (c)
|
7,000,000
|
6,271,025
|
|
3.9% 1/29/24
|
3,000,000
|
3,030,319
|
|
Ford Motor Credit Co. LLC:
|
|||
2.3% 2/10/25
|
5,000,000
|
4,659,813
|
|
3.087% 1/9/23
|
12,000,000
|
11,959,200
|
|
4.14% 2/15/23
|
5,000,000
|
5,005,500
|
|
Hyundai Capital America 1% 9/17/24 (b)
|
9,737,000
|
9,150,121
|
|
Synchrony Financial:
|
|||
4.25% 8/15/24
|
2,551,000
|
2,555,220
|
|
4.375% 3/19/24
|
4,922,000
|
4,961,277
|
|
99,924,294
|
|||
Diversified Financial Services - 1.8%
|
|||
AIG Global Funding 0.9% 9/22/25 (b)
|
7,000,000
|
6,387,033
|
|
Athene Global Funding:
|
|||
0.95% 1/8/24 (b)
|
8,877,000
|
8,486,664
|
|
1% 4/16/24 (b)
|
8,000,000
|
7,597,060
|
|
1.73% 10/2/26 (b)
|
5,000,000
|
4,425,710
|
|
Blackstone Private Credit Fund 4.7% 3/24/25 (b)
|
8,250,000
|
8,042,060
|
|
Brixmor Operating Partnership LP 2.25% 4/1/28
|
4,348,000
|
3,832,440
|
|
Equitable Holdings, Inc. 3.9% 4/20/23
|
303,000
|
305,456
|
|
GA Global Funding Trust 1.25% 12/8/23 (b)
|
9,500,000
|
9,172,946
|
|
Jackson Financial, Inc. 1.125% 11/22/23 (b)
|
10,000,000
|
9,650,486
|
|
57,899,855
|
|||
Insurance - 2.3%
|
|||
American International Group, Inc. 2.5% 6/30/25
|
5,000,000
|
4,826,221
|
|
Empower Finance 2020 LP 1.357% 9/17/27 (b)
|
5,321,000
|
4,647,863
|
|
Equitable Financial Life Global Funding:
|
|||
1.4% 8/27/27 (b)
|
15,000,000
|
13,225,335
|
|
1.7% 11/12/26 (b)
|
5,000,000
|
4,552,400
|
|
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)
|
3,381,000
|
3,111,039
|
|
Guardian Life Global Funding:
|
|||
1.1% 6/23/25 (b)
|
7,850,000
|
7,311,105
|
|
1.4% 7/6/27 (b)
|
8,010,000
|
7,157,615
|
|
Marsh & McLennan Companies, Inc. 3.875% 3/15/24
|
6,123,000
|
6,193,600
|
|
Pacific Life Global Funding II 1.2% 6/24/25 (b)
|
4,494,000
|
4,163,732
|
|
Pricoa Global Funding I 2.4% 9/23/24 (b)
|
6,476,000
|
6,334,008
|
|
Protective Life Global Funding 3.218% 3/28/25 (b)
|
1,979,000
|
1,957,659
|
|
RGA Global Funding 2% 11/30/26 (b)
|
3,680,000
|
3,419,356
|
|
SunAmerica, Inc.:
|
|||
3.5% 4/4/25 (b)
|
943,000
|
934,155
|
|
3.65% 4/5/27 (b)
|
1,345,000
|
1,309,796
|
|
Willis Group North America, Inc. 4.5% 9/15/28
|
5,000,000
|
4,977,811
|
|
74,121,695
|
|||
TOTAL FINANCIALS
|
999,936,573
|
||
HEALTH CARE - 3.4%
|
|||
Health Care Equipment & Supplies - 0.3%
|
|||
Alcon Finance Corp. 2.75% 9/23/26 (b)
|
4,038,000
|
3,819,426
|
|
Boston Scientific Corp. 1.9% 6/1/25
|
5,000,000
|
4,757,628
|
|
8,577,054
|
|||
Health Care Providers & Services - 0.9%
|
|||
Anthem, Inc. 0.45% 3/15/23
|
10,171,000
|
9,977,222
|
|
Cigna Corp. 0.613% 3/15/24
|
2,410,000
|
2,306,105
|
|
HCA Holdings, Inc. 3.125% 3/15/27 (b)
|
7,100,000
|
6,759,660
|
|
Humana, Inc. 0.65% 8/3/23
|
10,000,000
|
9,734,409
|
|
28,777,396
|
|||
Life Sciences Tools & Services - 0.6%
|
|||
PerkinElmer, Inc. 0.85% 9/15/24
|
10,160,000
|
9,546,965
|
|
Thermo Fisher Scientific, Inc. 1.215% 10/18/24
|
10,000,000
|
9,575,283
|
|
19,122,248
|
|||
Pharmaceuticals - 1.6%
|
|||
AstraZeneca Finance LLC 0.7% 5/28/24
|
7,493,000
|
7,173,913
|
|
Bayer U.S. Finance II LLC:
|
|||
3.375% 7/15/24 (b)
|
5,000,000
|
4,960,618
|
|
4.25% 12/15/25 (b)
|
10,500,000
|
10,592,181
|
|
Bayer U.S. Finance LLC 3.375% 10/8/24 (b)
|
7,000,000
|
6,943,427
|
|
Bristol-Myers Squibb Co. 2.9% 7/26/24
|
6,000,000
|
6,009,630
|
|
Elanco Animal Health, Inc. 5.772% 8/28/23 (c)
|
552,000
|
563,040
|
|
GSK Consumer Healthcare Capital 3.125% 3/24/25 (b)
|
8,600,000
|
8,503,155
|
|
Mylan NV 3.125% 1/15/23 (b)
|
5,791,000
|
5,779,841
|
|
Viatris, Inc. 1.65% 6/22/25
|
480,000
|
442,576
|
|
50,968,381
|
|||
TOTAL HEALTH CARE
|
107,445,079
|
||
INDUSTRIALS - 3.6%
|
|||
Aerospace & Defense - 0.6%
|
|||
The Boeing Co.:
|
|||
1.167% 2/4/23
|
7,169,000
|
7,072,378
|
|
1.95% 2/1/24
|
10,390,000
|
10,130,427
|
|
4.875% 5/1/25
|
3,000,000
|
3,035,840
|
|
20,238,645
|
|||
Airlines - 0.4%
|
|||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29
|
4,528,160
|
4,080,321
|
|
Delta Air Lines, Inc. 2.9% 10/28/24
|
5,500,000
|
5,279,313
|
|
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29
|
3,182,186
|
2,851,604
|
|
12,211,238
|
|||
Building Products - 0.0%
|
|||
Carrier Global Corp. 2.242% 2/15/25
|
548,000
|
526,587
|
|
Commercial Services & Supplies - 0.4%
|
|||
Republic Services, Inc. 0.875% 11/15/25
|
15,000,000
|
13,656,128
|
|
Industrial Conglomerates - 0.4%
|
|||
Siemens Financieringsmaatschappij NV:
|
|||
0.65% 3/11/24 (b)
|
6,309,000
|
6,068,039
|
|
1.2% 3/11/26 (b)
|
6,674,000
|
6,120,088
|
|
12,188,127
|
|||
Machinery - 0.7%
|
|||
Daimler Trucks Finance North America LLC:
|
|||
1.625% 12/13/24 (b)
|
3,204,000
|
3,055,599
|
|
2% 12/14/26 (b)
|
5,000,000
|
4,598,103
|
|
Otis Worldwide Corp. 2.056% 4/5/25
|
7,000,000
|
6,715,393
|
|
Westinghouse Air Brake Tech Co. 4.4% 3/15/24
|
5,900,000
|
5,972,177
|
|
20,341,272
|
|||
Road & Rail - 0.1%
|
|||
Canadian Pacific Railway Co. 1.75% 12/2/26
|
2,099,000
|
1,933,060
|
|
Trading Companies & Distributors - 0.7%
|
|||
Air Lease Corp.:
|
|||
0.7% 2/15/24
|
3,555,000
|
3,372,924
|
|
0.8% 8/18/24
|
4,323,000
|
4,032,748
|
|
2.2% 1/15/27
|
3,565,000
|
3,187,917
|
|
2.625% 7/1/22
|
5,000,000
|
4,997,775
|
|
4.25% 2/1/24
|
2,597,000
|
2,607,238
|
|
International Lease Finance Corp. 5.875% 8/15/22
|
4,375,000
|
4,397,397
|
|
22,595,999
|
|||
Transportation Infrastructure - 0.3%
|
|||
Avolon Holdings Funding Ltd.:
|
|||
2.875% 2/15/25 (b)
|
7,180,000
|
6,751,334
|
|
3.95% 7/1/24 (b)
|
955,000
|
933,561
|
|
5.5% 1/15/26 (b)
|
2,089,000
|
2,084,845
|
|
9,769,740
|
|||
TOTAL INDUSTRIALS
|
113,460,796
|
||
INFORMATION TECHNOLOGY - 1.7%
|
|||
Electronic Equipment & Components - 0.2%
|
|||
Amphenol Corp. 3.2% 4/1/24
|
896,000
|
894,759
|
|
Dell International LLC/EMC Corp. 5.45% 6/15/23
|
4,693,000
|
4,785,676
|
|
5,680,435
|
|||
IT Services - 0.3%
|
|||
PayPal Holdings, Inc. 1.65% 6/1/25
|
2,097,000
|
2,001,064
|
|
The Western Union Co.:
|
|||
2.85% 1/10/25
|
1,242,000
|
1,210,393
|
|
4.25% 6/9/23
|
5,000,000
|
5,065,527
|
|
8,276,984
|
|||
Semiconductors & Semiconductor Equipment - 0.7%
|
|||
Broadcom, Inc. 1.95% 2/15/28 (b)
|
15,000,000
|
13,041,085
|
|
Microchip Technology, Inc. 0.983% 9/1/24 (b)
|
5,060,000
|
4,756,386
|
|
Micron Technology, Inc. 4.185% 2/15/27
|
6,000,000
|
6,002,499
|
|
23,799,970
|
|||
Software - 0.5%
|
|||
Oracle Corp. 1.65% 3/25/26
|
3,618,000
|
3,294,268
|
|
Roper Technologies, Inc. 3.65% 9/15/23
|
3,078,000
|
3,103,958
|
|
VMware, Inc.:
|
|||
1% 8/15/24
|
6,564,000
|
6,205,982
|
|
1.4% 8/15/26
|
2,882,000
|
2,583,468
|
|
15,187,676
|
|||
TOTAL INFORMATION TECHNOLOGY
|
52,945,065
|
||
MATERIALS - 0.6%
|
|||
Chemicals - 0.6%
|
|||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (b)
|
3,089,000
|
3,100,720
|
|
International Flavors & Fragrances, Inc.:
|
|||
0.697% 9/15/22 (b)
|
1,352,000
|
1,345,099
|
|
1.23% 10/1/25 (b)
|
7,000,000
|
6,418,001
|
|
LYB International Finance III LLC 1.25% 10/1/25
|
6,185,000
|
5,690,789
|
|
Westlake Corp. 0.875% 8/15/24
|
2,986,000
|
2,864,458
|
|
19,419,067
|
|||
REAL ESTATE - 1.5%
|
|||
Equity Real Estate Investment Trusts (REITs) - 1.4%
|
|||
American Tower Corp. 1.3% 9/15/25
|
2,406,000
|
2,216,079
|
|
Boston Properties, Inc. 3.2% 1/15/25
|
3,000,000
|
2,968,369
|
|
Crown Castle International Corp. 1.35% 7/15/25
|
566,000
|
523,652
|
|
ERP Operating LP 3.375% 6/1/25
|
3,000,000
|
2,979,212
|
|
Healthcare Trust of America Holdings LP 3.5% 8/1/26
|
621,000
|
608,761
|
|
Kimco Realty Corp. 3.3% 2/1/25
|
5,500,000
|
5,447,831
|
|
Kite Realty Group Trust 4% 3/15/25
|
2,778,000
|
2,755,342
|
|
Omega Healthcare Investors, Inc. 4.375% 8/1/23
|
1,211,000
|
1,215,371
|
|
Realty Income Corp. 2.2% 6/15/28
|
456,000
|
410,031
|
|
Simon Property Group LP 2.75% 6/1/23
|
3,463,000
|
3,466,454
|
|
SITE Centers Corp. 4.25% 2/1/26
|
1,865,000
|
1,848,527
|
|
Spirit Realty LP 2.1% 3/15/28
|
5,695,000
|
4,972,796
|
|
Ventas Realty LP:
|
|||
2.65% 1/15/25
|
3,710,000
|
3,605,182
|
|
3% 1/15/30
|
4,013,000
|
3,620,508
|
|
3.5% 4/15/24
|
2,140,000
|
2,146,344
|
|
Vornado Realty LP 2.15% 6/1/26
|
1,017,000
|
927,701
|
|
Welltower, Inc. 3.625% 3/15/24
|
4,035,000
|
4,047,633
|
|
43,759,793
|
|||
Real Estate Management & Development - 0.1%
|
|||
Brandywine Operating Partnership LP:
|
|||
3.95% 2/15/23
|
3,334,000
|
3,344,351
|
|
4.1% 10/1/24
|
372,000
|
375,096
|
|
3,719,447
|
|||
TOTAL REAL ESTATE
|
47,479,240
|
||
UTILITIES - 2.9%
|
|||
Electric Utilities - 1.2%
|
|||
Cleco Corporate Holdings LLC 3.743% 5/1/26
|
2,893,000
|
2,827,415
|
|
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 1.326% 6/15/23 (b)(c)(d)
|
8,354,000
|
8,313,068
|
|
Edison International 2.95% 3/15/23
|
730,000
|
728,625
|
|
Exelon Corp. 2.75% 3/15/27 (b)
|
681,000
|
646,583
|
|
FirstEnergy Corp.:
|
|||
1.6% 1/15/26
|
606,000
|
549,487
|
|
2.05% 3/1/25
|
3,271,000
|
3,046,282
|
|
Florida Power & Light Co. 2.85% 4/1/25
|
1,508,000
|
1,501,388
|
|
IPALCO Enterprises, Inc. 3.7% 9/1/24
|
1,115,000
|
1,114,480
|
|
NextEra Energy Capital Holdings, Inc. 0.65% 3/1/23
|
8,000,000
|
7,875,061
|
|
Southern Co. 0.6% 2/26/24
|
3,789,000
|
3,623,566
|
|
Vistra Operations Co. LLC 5% 7/31/27 (b)
|
10,000,000
|
9,783,050
|
|
40,009,005
|
|||
Gas Utilities - 0.5%
|
|||
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 1.0043% 3/2/23 (c)(d)
|
4,993,000
|
4,979,997
|
|
Dominion Gas Holdings LLC 2.5% 11/15/24
|
1,156,000
|
1,130,746
|
|
ONE Gas, Inc. 0.85% 3/11/23
|
10,000,000
|
9,851,184
|
|
15,961,927
|
|||
Independent Power and Renewable Electricity Producers - 0.3%
|
|||
Emera U.S. Finance LP 0.833% 6/15/24
|
4,654,000
|
4,381,737
|
|
The AES Corp. 3.3% 7/15/25 (b)
|
4,133,000
|
4,022,153
|
|
8,403,890
|
|||
Multi-Utilities - 0.9%
|
|||
Berkshire Hathaway Energy Co. 2.8% 1/15/23
|
5,944,000
|
6,025,390
|
|
Dominion Energy, Inc.:
|
|||
1.45% 4/15/26
|
8,000,000
|
7,325,692
|
|
3.071% 8/15/24 (c)
|
5,000,000
|
4,976,080
|
|
NiSource, Inc.:
|
|||
0.95% 8/15/25
|
2,873,000
|
2,630,945
|
|
2.95% 9/1/29
|
3,000,000
|
2,712,908
|
|
Sempra Energy 3.3% 4/1/25
|
3,298,000
|
3,277,239
|
|
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 3.5238% 5/15/67 (c)(d)
|
454,000
|
357,185
|
|
27,305,439
|
|||
TOTAL UTILITIES
|
91,680,261
|
||
|
TOTAL NONCONVERTIBLE BONDS
(Cost $2,053,880,262)
|
1,944,614,374
|
||
U.S. Treasury Obligations - 10.4%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Notes:
|
|||
0.25% 6/15/24
|
10,000,000
|
9,545,703
|
|
0.25% 7/31/25
|
67,738,400
|
62,599,807
|
|
0.75% 3/31/26 (e)
|
85,000,000
|
78,664,844
|
|
0.875% 6/30/26
|
110,000,000
|
101,784,369
|
|
1.25% 12/31/26
|
49,500,000
|
46,141,348
|
|
1.625% 9/30/26
|
35,257,000
|
33,538,221
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $353,475,241)
|
332,274,292
|
||
U.S. Government Agency - Mortgage Securities - 0.7%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Fannie Mae - 0.5%
|
|||
3% 7/1/36
|
10,399,632
|
10,299,786
|
|
4.5% to 4.5% 3/1/35 to 9/1/49
|
5,303,134
|
5,499,888
|
|
6.5% 7/1/32 to 8/1/36
|
125,570
|
138,180
|
|
7% 8/1/28 to 6/1/33
|
114,726
|
127,645
|
|
7.5% to 7.5% 11/1/26 to 2/1/28
|
20,077
|
21,600
|
|
8.5% 9/1/25
|
591
|
625
|
|
TOTAL FANNIE MAE
|
16,087,724
|
||
Freddie Mac - 0.2%
|
|||
3% 2/1/34
|
5,291,779
|
5,293,771
|
|
8.5% 2/1/27 to 8/1/27
|
9,797
|
10,597
|
|
TOTAL FREDDIE MAC
|
5,304,368
|
||
Ginnie Mae - 0.0%
|
|||
7% to 7% 7/15/28 to 11/15/28
|
17,880
|
19,146
|
|
7.5% 2/15/28 to 10/15/28
|
2,063
|
2,232
|
|
8% 6/15/24
|
12
|
12
|
|
TOTAL GINNIE MAE
|
21,390
|
||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $22,437,358)
|
21,413,482
|
||
Asset-Backed Securities - 12.7%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
AASET Trust:
|
|||
Series 2019-2 Class A, 3.376% 10/16/39 (b)
|
2,419,999
|
1,862,431
|
|
Series 2021-1A Class A, 2.95% 11/16/41 (b)
|
3,243,937
|
2,743,983
|
|
Series 2021-2A Class A, 2.798% 1/15/47 (b)
|
5,744,370
|
4,975,191
|
|
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b)
|
1,293,000
|
1,272,299
|
|
Aimco:
|
|||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 2.1963% 7/22/32 (b)(c)(d)
|
10,230,000
|
9,950,946
|
|
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 1/15/32 (b)(c)(d)
|
10,545,000
|
10,314,233
|
|
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 2.0212% 1/17/32 (b)(c)(d)
|
5,000,000
|
4,860,210
|
|
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26
|
9,667,000
|
9,354,100
|
|
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b)
|
883,040
|
745,679
|
|
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 2.1863% 4/22/31 (b)(c)(d)
|
8,959,000
|
8,817,663
|
|
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 2.1307% 2/25/35 (c)(d)
|
104,641
|
104,263
|
|
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b)
|
4,440,215
|
3,848,906
|
|
CarMax Auto Owner Trust:
|
|||
Series 2020-4 Class A3, 0.5% 8/15/25
|
5,979,000
|
5,869,523
|
|
Series 2021-1 Class A3, 0.34% 12/15/25
|
6,074,000
|
5,955,601
|
|
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26
|
8,448,000
|
8,172,581
|
|
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b)
|
4,326,175
|
3,886,574
|
|
Cedar Funding Ltd.:
|
|||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 2.1627% 10/20/32 (b)(c)(d)
|
2,685,000
|
2,617,475
|
|
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 2.1443% 7/15/33 (b)(c)(d)
|
11,007,000
|
10,753,311
|
|
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 2.1949% 7/27/30 (b)(c)(d)
|
10,010,000
|
9,879,870
|
|
Chesapeake Funding II LLC Series 2019-1A Class A1, 2.94% 4/15/31 (b)
|
612,094
|
612,299
|
|
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b)
|
11,940,000
|
10,716,317
|
|
Dell Equipment Finance Trust:
|
|||
Series 2019-2 Class A3, 1.91% 10/22/24 (b)
|
318,182
|
318,177
|
|
Series 2020-2 Class A3, 0.57% 10/23/23 (b)
|
4,354,896
|
4,313,827
|
|
Series 2021-1 Class A3, 0.43% 5/22/26 (b)
|
3,966,000
|
3,867,029
|
|
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b)
|
4,758,268
|
4,650,378
|
|
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 4/15/31 (b)(c)(d)
|
9,586,000
|
9,388,826
|
|
Enterprise Fleet Financing LLC:
|
|||
Series 2020-1 Class A2, 1.78% 12/22/25 (b)
|
2,594,344
|
2,581,878
|
|
Series 2020-2 Class A2, 0.61% 7/20/26 (b)
|
5,725,252
|
5,582,518
|
|
Series 2021-1 Class A2, 0.44% 12/21/26 (b)
|
2,757,277
|
2,684,047
|
|
Exeter Automobile Receivables Trust Series 2021-2A Class A3, 0.3% 10/15/24
|
1,903,021
|
1,899,006
|
|
Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (b)
|
14,774,000
|
13,598,245
|
|
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25
|
12,656,000
|
12,281,772
|
|
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25
|
6,766,758
|
6,664,154
|
|
GMF Floorplan Owner Revolving Trust:
|
|||
Series 2020-1 Class A, 0.68% 8/15/25 (b)
|
3,438,000
|
3,337,289
|
|
Series 2020-2 Class A, 0.69% 10/15/25 (b)
|
7,860,000
|
7,592,321
|
|
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)
|
1,123,230
|
999,671
|
|
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c)
|
2,311,000
|
2,298,525
|
|
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 2.1363% 1/22/31 (b)(c)(d)
|
8,045,000
|
7,932,812
|
|
Marlette Funding Trust:
|
|||
Series 2021-2A Class A, 0.51% 9/15/31 (b)
|
2,323,707
|
2,304,086
|
|
Series 2021-3A Class A, 0.65% 12/15/31 (b)
|
2,816,803
|
2,770,737
|
|
Series 2022-1A Class A, 1.36% 4/15/32 (b)
|
5,716,682
|
5,645,027
|
|
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b)
|
466,482
|
465,120
|
|
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b)
|
3,210,765
|
3,186,212
|
|
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 2.0443% 7/17/32 (b)(c)(d)
|
10,020,000
|
9,785,833
|
|
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)
|
9,803,000
|
9,267,582
|
|
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 2.278% 5/20/29 (b)(c)(d)
|
7,843,737
|
7,766,939
|
|
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.2842% 4/15/30 (b)(c)(d)
|
9,270,000
|
9,154,246
|
|
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 2.2507% 1/25/36 (c)(d)
|
51,228
|
50,893
|
|
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
|
1,578,697
|
1,477,753
|
|
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)
|
5,884,589
|
5,492,993
|
|
Santander Retail Auto Lease Trust Series 2020-B Class A3, 0.57% 4/22/24 (b)
|
8,691,000
|
8,504,989
|
|
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b)
|
5,834,049
|
5,077,038
|
|
SBA Tower Trust:
|
|||
Series 2019, 2.836% 1/15/50 (b)
|
2,797,000
|
2,728,837
|
|
1.884% 7/15/50 (b)
|
1,204,000
|
1,123,468
|
|
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b)
|
12,253,215
|
10,568,233
|
|
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 2.1043% 7/15/32 (b)(c)(d)
|
7,582,000
|
7,444,296
|
|
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 2.0643% 1/15/34 (b)(c)(d)
|
9,700,000
|
9,559,913
|
|
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 2.4037% 11/18/30 (b)(c)(d)
|
10,490,000
|
10,320,251
|
|
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.9743% 7/15/30 (b)(c)(d)
|
11,301,000
|
11,130,298
|
|
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.8657% 9/25/34 (c)(d)
|
1,824
|
1,784
|
|
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (b)
|
3,279,391
|
3,246,445
|
|
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b)
|
3,961,000
|
3,710,563
|
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.529% 4/6/42 (b)(c)(d)
|
304,000
|
222,980
|
|
Upstart Securitization Trust:
|
|||
Series 2021-1 Class A, 0.87% 3/20/31 (b)
|
148,804
|
147,461
|
|
Series 2021-2 Class A, 0.91% 6/20/31 (b)
|
2,610,383
|
2,557,616
|
|
Series 2021-3 Class A, 0.83% 7/20/31 (b)
|
4,410,137
|
4,304,746
|
|
Series 2021-4 Class A, 0.84% 9/20/31 (b)
|
6,385,343
|
6,183,552
|
|
Series 2021-5 Class A, 1.31% 11/20/31 (b)
|
7,397,665
|
7,170,839
|
|
VCAT Asset Securitization, LLC:
|
|||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b)
|
1,906,994
|
1,846,785
|
|
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b)
|
6,561,939
|
6,302,100
|
|
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c)
|
8,188,992
|
7,841,170
|
|
Verizon Master Trust Series 2021-1:
|
|||
Class A, 0.5% 5/20/27
|
7,466,000
|
7,094,907
|
|
Class B, 0.69% 5/20/27
|
8,000,000
|
7,593,213
|
|
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.9943% 4/17/30 (b)(c)(d)
|
10,000,000
|
9,862,400
|
|
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24
|
4,956,000
|
4,893,380
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $420,599,389)
|
404,108,615
|
||
Collateralized Mortgage Obligations - 4.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 3.2%
|
|||
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c)
|
3,580,389
|
3,362,412
|
|
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)
|
6,773,474
|
6,344,263
|
|
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
|
1,839,047
|
1,773,566
|
|
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (b)
|
4,339,502
|
4,059,547
|
|
Cascade Funding Mortgage Trust:
|
|||
sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)
|
2,830,616
|
2,822,368
|
|
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
|
2,674,301
|
2,625,494
|
|
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b)
|
2,028,431
|
2,001,282
|
|
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)
|
2,224,281
|
2,194,625
|
|
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
|
2,692,029
|
2,646,894
|
|
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b)
|
1,357,551
|
1,344,275
|
|
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57
|
1,274,533
|
1,271,615
|
|
CSMC Trust sequential payer:
|
|||
Series 2020-RPL4 Class A1, 2% 1/25/60 (b)
|
1,154,745
|
1,116,381
|
|
Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)
|
8,965,034
|
8,501,964
|
|
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)
|
6,398,128
|
6,279,183
|
|
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)
|
3,855,733
|
3,687,719
|
|
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 1.9739% 8/25/60 (b)(c)(d)
|
142,305
|
142,192
|
|
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)
|
7,792,006
|
7,430,750
|
|
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 1.3421% 9/10/22 (b)(c)(d)
|
8,000,000
|
8,000,000
|
|
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b)
|
1,498,460
|
1,493,277
|
|
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)
|
2,744,150
|
2,535,077
|
|
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)
|
3,018,997
|
2,903,061
|
|
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c)
|
5,273,691
|
5,234,569
|
|
Preston Ridge Partners Mortgage Trust:
|
|||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)
|
7,297,375
|
6,946,440
|
|
Series 2021-2 Class A1, 2.115% 3/25/26 (b)
|
6,013,844
|
5,792,549
|
|
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)
|
1,223,925
|
1,159,861
|
|
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)
|
4,753,761
|
4,711,195
|
|
RMF Buyout Issuance Trust sequential payer:
|
|||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)
|
4,397,244
|
4,237,905
|
|
Series 2022-HB1 Class A, 4.272% 4/25/32 (b)
|
1,797,744
|
1,787,526
|
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (c)(d)
|
571
|
543
|
|
TOTAL PRIVATE SPONSOR
|
102,406,533
|
||
U.S. Government Agency - 0.8%
|
|||
Fannie Mae:
|
|||
planned amortization class:
|
|||
Series 2015-28 Class P, 2.5% 5/25/45
|
1,931,687
|
1,870,390
|
|
Series 2019-33 Class N, 3% 3/25/48
|
7,101,651
|
7,037,755
|
|
Series 2015-28 Class JE, 3% 5/25/45
|
1,387,057
|
1,370,387
|
|
Series 2018-3 Class LP, 3% 2/25/47
|
5,136,152
|
5,101,222
|
|
Series 2019-59 Class AB, 2.5% 10/25/39
|
2,196,655
|
2,132,867
|
|
Freddie Mac:
|
|||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48
|
3,331,769
|
3,309,656
|
|
sequential payer Series 4873 Class CA, 4% 7/15/47
|
2,297,840
|
2,322,049
|
|
Series 3949 Class MK, 4.5% 10/15/34
|
55,668
|
57,362
|
|
Series 4472 Class WL, 3% 5/15/45
|
639,497
|
631,638
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
23,833,326
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $130,660,164)
|
126,239,859
|
||
Commercial Mortgage Securities - 8.9%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
BAMLL Commercial Mortgage Securities Trust:
|
|||
floater Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.932% 1/15/39 (b)(c)(d)
|
2,178,000
|
2,125,327
|
|
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)
|
1,767,000
|
1,699,140
|
|
BANK Series 2021-BN33 Class XA, 1.0605% 5/15/64 (c)(f)
|
20,617,388
|
1,383,651
|
|
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48
|
7,465,938
|
7,466,064
|
|
Benchmark Mortgage Trust:
|
|||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51
|
5,621,000
|
5,623,748
|
|
Series 2019-B14 Class XA, 0.7808% 12/15/62 (c)(f)
|
24,686,632
|
935,991
|
|
Series 2020-B17 Class XA, 1.4175% 3/15/53 (c)(f)
|
49,418,189
|
3,507,668
|
|
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 1.625% 9/15/26 (b)(c)(d)
|
5,047,000
|
4,778,328
|
|
BPR Trust floater Series 2022-OANA Class A, CME TERM SOFR 1 MONTH INDEX + 1.890% 2.6797% 4/15/37 (b)(c)(d)
|
7,152,000
|
6,962,957
|
|
BX Commercial Mortgage Trust floater:
|
|||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 1.5641% 10/15/36 (b)(c)(d)
|
4,501,000
|
4,279,729
|
|
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 1.5273% 5/15/38 (b)(c)(d)
|
4,000,000
|
3,839,765
|
|
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.8089% 2/15/39 (b)(c)(d)
|
5,205,828
|
5,026,605
|
|
BX Trust:
|
|||
floater:
|
|||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.725% 11/15/38 (b)(c)(d)
|
4,360,000
|
4,206,079
|
|
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 1.5109% 10/15/26 (b)(c)(d)
|
4,085,000
|
3,922,619
|
|
floater sequential payer:
|
|||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 1.5747% 1/15/34 (b)(c)(d)
|
2,100,000
|
2,039,421
|
|
Series 2021-SOAR Class A, 1.545% 6/15/38 (b)(c)
|
4,342,000
|
4,165,464
|
|
floater, sequential payer:
|
|||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.875% 4/15/34 (b)(c)(d)
|
614,000
|
601,303
|
|
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.795% 10/15/36 (b)(c)(d)
|
5,031,441
|
4,968,360
|
|
CF Hippolyta Issuer LLC sequential payer:
|
|||
Series 2020-1 Class A1, 1.69% 7/15/60 (b)
|
6,779,508
|
6,219,727
|
|
Series 2021-1A Class A1, 1.53% 3/15/61 (b)
|
5,454,278
|
4,916,975
|
|
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.8247% 11/15/36 (b)(c)(d)
|
1,313,000
|
1,278,082
|
|
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b)
|
10,000,000
|
9,984,070
|
|
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.995% 6/15/34 (b)(c)(d)
|
4,628,218
|
4,522,525
|
|
Citigroup Commercial Mortgage Trust sequential payer:
|
|||
Series 2012-GC8:
|
|||
Class A/S, 3.683% 9/10/45 (b)
|
6,670,000
|
6,665,558
|
|
Class A4, 3.024% 9/10/45
|
284,030
|
283,788
|
|
Series 2014-GC21 Class AAB, 3.477% 5/10/47
|
647,414
|
648,705
|
|
Series 2016-GC36 Class AAB, 3.368% 2/10/49
|
1,843,701
|
1,832,860
|
|
COMM Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2013-CR7:
|
|||
Class A4, 3.213% 3/10/46
|
2,666,224
|
2,664,874
|
|
Class AM, 3.314% 3/10/46 (b)
|
1,343,000
|
1,339,733
|
|
Series 2015-CR22 Class ASB, 3.144% 3/10/48
|
1,100,487
|
1,095,305
|
|
Series 2015-CR23 Class ASB, 3.257% 5/10/48
|
916,466
|
915,332
|
|
Series 2020-SBX Class A, 1.67% 1/10/38 (b)
|
8,241,000
|
7,605,632
|
|
Series 2013-CR13 Class AM, 4.449% 11/10/46
|
2,731,000
|
2,745,210
|
|
Series 2013-LC6 Class ASB, 2.478% 1/10/46
|
365,497
|
365,309
|
|
Credit Suisse Mortgage Trust:
|
|||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.855% 5/15/36 (b)(c)(d)
|
5,000,000
|
4,918,716
|
|
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
|
2,151,477
|
2,003,622
|
|
Series 2018-SITE Class A, 4.284% 4/15/36 (b)
|
1,635,000
|
1,601,255
|
|
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52
|
3,010,832
|
2,972,798
|
|
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 1.576% 11/15/38 (b)(c)(d)
|
6,073,000
|
5,803,045
|
|
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.955% 7/15/38 (b)(c)(d)
|
2,080,197
|
2,033,330
|
|
GS Mortgage Securities Trust:
|
|||
floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.825% 10/15/36 (b)(c)(d)
|
2,682,000
|
2,593,436
|
|
sequential payer:
|
|||
Series 2012-GCJ9 Class A3, 2.773% 11/10/45
|
3,980,165
|
3,976,606
|
|
Series 2013-GC10 Class A5, 2.943% 2/10/46
|
5,531,000
|
5,518,101
|
|
Series 2014-GC18 Class AAB, 3.648% 1/10/47
|
227,461
|
228,404
|
|
Series 2014-GC20 Class AAB, 3.655% 4/10/47
|
268,792
|
269,789
|
|
Series 2014-GC26 Class AAB, 3.365% 11/10/47
|
1,637,409
|
1,634,143
|
|
Series 2015-GC28 Class AAB, 3.206% 2/10/48
|
1,173,626
|
1,167,695
|
|
Series 2015-GC30 Class A4, 3.382% 5/10/50
|
3,541,000
|
3,486,701
|
|
Series 2011-GC5 Class A/S, 5.1589% 8/10/44 (b)(c)
|
4,802,735
|
4,790,645
|
|
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45
|
4,022,000
|
4,023,146
|
|
Series 2013-GC13 Class A/S, 4.0645% 7/10/46 (b)(c)
|
9,739,000
|
9,767,167
|
|
Series 2013-GC16 Class A/S, 4.649% 11/10/46
|
1,900,000
|
1,916,194
|
|
Series 2015-GC32 Class A2, 3.062% 7/10/48
|
245,081
|
245,187
|
|
JPMBB Commercial Mortgage Securities Trust:
|
|||
sequential payer:
|
|||
Series 2013-C17 Class ASB, 3.705% 1/15/47
|
298,580
|
299,816
|
|
Series 2014-C22 Class A4, 3.8012% 9/15/47
|
4,450,000
|
4,442,579
|
|
Series 2014-C25 Class ASB, 3.4074% 11/15/47
|
906,536
|
906,172
|
|
Series 2013-C17 Class A/S, 4.4584% 1/15/47
|
6,642,000
|
6,688,345
|
|
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49
|
390,197
|
389,764
|
|
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b)
|
5,520,000
|
5,509,545
|
|
JPMorgan Chase Commercial Mortgage Securities Trust:
|
|||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.875% 9/15/29 (b)(c)(d)
|
2,132,634
|
2,104,039
|
|
sequential payer Series 2012-C8 Class A3, 2.8291% 10/15/45
|
1,142,810
|
1,141,964
|
|
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b)
|
2,044,000
|
2,042,443
|
|
Series 2013-C10 Class A5, 3.1425% 12/15/47
|
4,747,844
|
4,736,398
|
|
Series 2013-C16 Class A/S, 4.5169% 12/15/46
|
8,570,171
|
8,642,352
|
|
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b)
|
2,708,000
|
2,692,110
|
|
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 1.575% 3/15/38 (b)(c)(d)
|
3,997,740
|
3,827,567
|
|
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 1.575% 7/15/38 (b)(c)(d)
|
2,266,000
|
2,176,595
|
|
Morgan Stanley BAML Trust:
|
|||
sequential payer:
|
|||
Series 2013-C11 Class A4, 4.1505% 8/15/46 (c)
|
1,443,000
|
1,434,044
|
|
Series 2014-C15 Class ASB, 3.654% 4/15/47
|
635,816
|
638,437
|
|
Series 2014-C19 Class ASB, 3.326% 12/15/47
|
5,577,935
|
5,578,500
|
|
Series 2016-C28 Class A3, 3.272% 1/15/49
|
1,540,586
|
1,500,740
|
|
Series 2014-C17 Class ASB, 3.477% 8/15/47
|
1,764,140
|
1,762,876
|
|
Series 2015-C22 Class ASB, 3.04% 4/15/48
|
595,582
|
590,953
|
|
Morgan Stanley Capital I Trust:
|
|||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
|
3,837,000
|
3,723,647
|
|
Series 2021-L6 Class XA, 1.2342% 6/15/54 (c)(f)
|
7,127,146
|
518,247
|
|
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 1.359% 10/15/36 (b)(c)(d)
|
10,140,000
|
9,607,025
|
|
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 1.6055% 11/15/38 (b)(c)(d)
|
4,056,000
|
3,937,262
|
|
UBS-Barclays Commercial Mortgage Trust:
|
|||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 1.6331% 4/10/46 (b)(c)(d)
|
3,372,343
|
3,363,110
|
|
Series 2012-C2 Class ASEC, 4.179% 5/10/63 (b)
|
2,974,216
|
2,969,629
|
|
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b)
|
3,319,000
|
3,321,758
|
|
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57
|
670,779
|
667,189
|
|
Wells Fargo Commercial Mortgage Trust sequential payer:
|
|||
Series 2012-LC5 Class A3, 2.918% 10/15/45
|
2,482,550
|
2,480,740
|
|
Series 2015-C27 Class ASB, 3.278% 2/15/48
|
1,649,030
|
1,644,763
|
|
Series 2015-LC22 Class ASB, 3.571% 9/15/58
|
4,156,203
|
4,161,479
|
|
Series 2017-RC1 Class ASB, 3.453% 1/15/60
|
3,617,501
|
3,607,944
|
|
WF-RBS Commercial Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2012-C9 Class A3, 2.87% 11/15/45
|
2,619,875
|
2,616,553
|
|
Series 2013-C12 Class ASB, 2.838% 3/15/48
|
542,332
|
542,621
|
|
Series 2013-C16 Class ASB, 3.963% 9/15/46
|
316,645
|
318,235
|
|
Series 2014-C22 Class ASB, 3.464% 9/15/57
|
2,508,219
|
2,510,011
|
|
Series 2013-C11 Class ASB, 2.63% 3/15/45
|
156,525
|
156,573
|
|
Series 2013-C12 Class A4, 3.198% 3/15/48
|
1,071,747
|
1,070,513
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $295,514,618)
|
283,888,422
|
||
Municipal Securities - 0.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
California Gen. Oblig. Series 2019, 2.4% 10/1/25
|
4,420,000
|
4,292,590
|
|
Illinois Gen. Oblig. Series 2003, 4.95% 6/1/23
|
1,346,545
|
1,360,693
|
|
New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24
|
1,320,000
|
1,317,825
|
|
|
TOTAL MUNICIPAL SECURITIES
(Cost $7,119,416)
|
6,971,108
|
||
Foreign Government and Government Agency Obligations - 0.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
United Mexican States 3.25% 4/16/30
(Cost $3,510,048)
|
3,525,000
|
3,237,713
|
|
Bank Notes - 0.5%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Citizens Bank NA 2.25% 4/28/25
|
4,046,000
|
3,886,573
|
|
First Citizens Bank & Trust Co. 2.969% 9/27/25 (c)
|
6,655,000
|
6,511,201
|
|
Truist Bank 1.5% 3/10/25
|
7,000,000
|
6,680,993
|
|
|
TOTAL BANK NOTES
(Cost $17,841,947)
|
17,078,767
|
||
Commercial Paper - 0.8%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Enel Finance America LLC yankee:
|
|||
0.37% 7/11/22
|
10,000,000
|
9,984,614
|
|
0.4% 9/27/22
|
10,000,000
|
9,923,576
|
|
HSBC U.S.A., Inc. 0.33% 10/4/22
|
5,000,000
|
4,968,413
|
|
|
TOTAL COMMERCIAL PAPER
(Cost $24,977,049)
|
24,876,603
|
||
Fixed-Income Funds - 0.0%
|
|||
Shares
|
Value ($)
|
||
Fidelity Specialized High Income Central Fund (g)
(Cost $44,010)
|
444
|
39,019
|
|
Money Market Funds - 0.3%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 0.82% (h)
(Cost $8,455,264)
|
8,453,573
|
8,455,264
|
|
|
TOTAL INVESTMENT IN SECURITIES - 99.8%
(Cost $3,338,514,766)
|
3,173,197,518
|
NET OTHER ASSETS (LIABILITIES) - 0.2%
|
6,829,406
|
NET ASSETS - 100.0%
|
3,180,026,924
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
1,312
|
Sep 2022
|
148,194,500
|
(117,333)
|
(117,333)
|
The notional amount of futures purchased as a percentage of Net Assets is 4.7%
|
|||||
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,183,050,244 or 37.2% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(e)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $918,102.
|
(f)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(h)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
%ownership,
end
of period
|
Fidelity Cash Central Fund 0.82%
|
36,111,829
|
749,557,336
|
777,213,901
|
22,599
|
-
|
-
|
8,455,264
|
0.0%
|
Fidelity Securities Lending Cash Central Fund 0.82%
|
-
|
28,624,896
|
28,624,896
|
2,959
|
-
|
-
|
-
|
0.0%
|
Fidelity Specialized High Income Central Fund
|
41,854
|
2,774
|
-
|
2,775
|
-
|
(5,609)
|
39,019
|
0.0%
|
Total
|
36,153,683
|
778,185,006
|
805,838,797
|
28,333
|
-
|
(5,609)
|
8,494,283
|