NPORT-P
    false
    
      
      
        
          0000851680
          XXXXXXXX
        
      
      
      
      
        S000003424
        C000200994
        C000110199
        C000009468
      
      
      
    
  
  
    
      Domini Investment Trust
      811-05823
      0000851680
      5493006VPRSG0L2XPG69
      180 Maiden Lane
      Suite 1302
      New York
      
      10038
      212-217-1100
      Domini Impact Bond Fund
      S000003424
      549300L3R89PNGQIDE43
      2022-07-31
      2022-04-30
      N
    
    
      337114659.700000000000
      88686970.450000000000
      248427689.250000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      62495718.070000000000
      0.000000000000
      0.000000000000
      7693516.680000000000
      
        
          CAD
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        N/A
        N/A
        BANK OF MONTREAL
        N/A
        
          
        
        1
        NC
        USD
        -5633.0000000000
        -0.0022674606
        N/A
        DFE
        CORP
        N/A
        N
        
        2
        
          
            
              BANK OF MONTREAL
              NQQ6HPCNCCU6TUTQYE16
            
            287284.0700000000
            USD
            360000.0000000000
            CAD
            2022-06-15
            -5633.0000000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TORONTO DOMINION BANK
        N/A
        
          
        
        1
        NC
        USD
        3725.0900000000
        0.0014994665
        N/A
        DFE
        CORP
        N/A
        N
        
        2
        
          
            
              TORONTO DOMINION BANK
              PT3QB789TSUIDF371261
            
            3967000.0000000000
            CAD
            3107363.4400000000
            USD
            2022-06-15
            3725.0900000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DEUTSCHE BANK AG
        N/A
        
          
        
        1
        NC
        USD
        29569.7700000000
        0.0119027674
        N/A
        DFE
        CORP
        N/A
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            465000.0000000000
            EUR
            521088.3000000000
            USD
            2022-06-15
            29569.7700000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC WHOLESALE
        G5GSEF7VJP5I7OUK5573
        BARCLAYS BANK PLC WHOLESALE
        N/A
        
          
        
        1
        NC
        USD
        27249.7700000000
        0.0109688940
        N/A
        DFE
        CORP
        N/A
        N
        
        2
        
          
            
              BARCLAYS BANK PLC WHOLESALE
              G5GSEF7VJP5I7OUK5573
            
            2230000.0000000000
            EUR
            2382556.5300000000
            USD
            2022-05-31
            27249.7700000000
          
        
        
          N
          N
          N
        
      
      
        AIA Group Ltd, Hong Kong
        ZP5ILWVSYE4LJGMMVD57
        AIA 4.5 03/16/46 144A
        00131LAE5
        
          
          
          
        
        325000.0000000000
        PA
        USD
        316495.2300000000
        0.1273993374
        Long
        DBT
        CORP
        HK
        Y
        
        2
        
          2046-03-16
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        T 2.75 06/01/31
        00206RJY9
        
          
          
          
        
        1285000.0000000000
        PA
        USD
        1135141.3100000000
        0.4569302695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        T 3.55 09/15/55
        00206RLJ9
        
          
          
          
        
        572000.0000000000
        PA
        USD
        444890.3100000000
        0.1790824168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2055-09-15
          Fixed
          3.550000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adient
        213800SOTRCDGZUHL712
        Adient Term Loan B 350 2028-03-27
        00687MAC5
        
          
          
        
        523.6800000000
        PA
        USD
        521.5000000000
        0.0002099202
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-27
          Floating
          3.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Advocate Health & Hospitals Corp.
        549300AEHU3PPOUCIL87
        ADVHEA 3.829 08/15/28
        007589AA2
        
          
          
          
        
        1115000.0000000000
        PA
        USD
        1109600.2000000000
        0.4466491651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          3.829000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Advocate Health & Hospitals Corp.
        549300AEHU3PPOUCIL87
        ADVHEA 2.211 06/15/30 2020
        007589AD6
        
          
          
          
        
        325000.0000000000
        PA
        USD
        286518.2900000000
        0.1153326712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.211000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegea Finance S.a r.l.
        N/A
        AEGEBZ 5.75 10/10/24 144A
        00775CAA4
        
          
          
          
        
        970000.0000000000
        PA
        USD
        995501.3000000000
        0.4007207502
        Long
        DBT
        CORP
        BR
        Y
        
        2
        
          2024-10-10
          Fixed
          5.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corporation
        5493004NW4M4P8TMMK63
        AL 3.625 12/01/27
        00912XAY0
        
          
          
          
        
        500000.0000000000
        PA
        USD
        472092.7200000000
        0.1900322470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alibaba Group Holding Ltd
        5493001NTNQJDH60PM02
        BABA 2.8 06/06/23
        01609WAS1
        
          
          
          
        
        200000.0000000000
        PA
        USD
        199061.7400000000
        0.0801286445
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-06-06
          Fixed
          2.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allina Health System
        5493001V00JCD7SQ0G44
        ALLINA 4.805 11/15/45
        01959LAA0
        
          
          
          
        
        291000.0000000000
        PA
        USD
        302961.8100000000
        0.1219517079
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-11-15
          Fixed
          4.805000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F020653
        
          
          
          
        
        5025000.0000000000
        PA
        USD
        4438488.2800000000
        1.7866318740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F020661
        
          
          
          
        
        9975000.0000000000
        PA
        USD
        8795598.1900000000
        3.5405063810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F022659
        
          
          
          
        
        13900000.0000000000
        PA
        USD
        12695695.3800000000
        5.1104188178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F022667
        
          
          
          
        
        13900000.0000000000
        PA
        USD
        12669561.1600000000
        5.0998989679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F030652
        
          
          
          
        
        1800000.0000000000
        PA
        USD
        1699382.8100000000
        0.6840553141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F032658
        
          
          
          
        
        1700000.0000000000
        PA
        USD
        1651125.0000000000
        0.6646300197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA-30YR
        01F040651
        
          
          
          
        
        5800000.0000000000
        PA
        USD
        5774964.8200000000
        2.3246059396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Misys
        549300ZB2RO6QC7YTK71
        Misys First-lien Term Loan 350 2024-04-10
        02034DAC1
        
          
          
          
        
        249162.5900000000
        PA
        USD
        242522.9100000000
        0.0976231396
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-04-10
          Floating
          4.660000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Builders & Contractors Supply Co
        549300H5GQ4C1BEKG397
        American Builders & Contractors Supply Co Term Loan B 200 2027-01-01
        02474RAH6
        
          
          
        
        387500.0000000000
        PA
        USD
        382788.3900000000
        0.1540844304
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-01-01
          Floating
          3.940000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American International Group, Inc.
        ODVCVCQG2BP6VHV36M30
        AIG 3.9 04/01/26
        026874DH7
        
          
          
          
        
        380000.0000000000
        PA
        USD
        378725.0300000000
        0.1524487995
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.900000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN MUN PWR OHIO INC
        EARKGGZJJEMVD66XQ486
        OH AMEPWR 6.27 02/15/2050
        02765UEQ3
        
          
          
          
        
        470000.0000000000
        PA
        USD
        560888.6500000000
        0.2257754165
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.270000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corporation
        5493006ORUSIL88JOE18
        AMT 5 02/15/24
        03027XAD2
        
          
          
          
        
        362000.0000000000
        PA
        USD
        371507.9400000000
        0.1495436926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corporation
        5493006ORUSIL88JOE18
        AMT 3.375 05/15/24
        03027XAT7
        
          
          
          
        
        235000.0000000000
        PA
        USD
        234599.6800000000
        0.0944337890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amgen Inc.
        62QBXGPJ34PQ72Z12S66
        AMGN 3.2 11/02/27
        031162CQ1
        
          
          
          
        
        525000.0000000000
        PA
        USD
        505165.5900000000
        0.2033451229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-02
          Fixed
          3.200000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amgen Inc.
        62QBXGPJ34PQ72Z12S66
        AMGN 3.35 02/22/32
        031162DE7
        
          
          
        
        150000.0000000000
        PA
        USD
        138597.7300000000
        0.0557899687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-22
          Fixed
          3.350000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc.
        HWUPKR0MPOU8FGXBT394
        AAPL 2.65 05/11/50
        037833DW7
        
          
          
          
        
        300000.0000000000
        PA
        USD
        230101.4600000000
        0.0926231133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-11
          Fixed
          2.650000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        athenahealth
        N/A
        athenahealth Term Loan B 350 2029-01-16
        04686RAB9
        
          
        
        342028.9900000000
        PA
        USD
        338865.2200000000
        0.1364039657
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-16
          Floating
          3.670000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENAHEALTH INC 2022 DELAYED DRAW TERM LOAN
        N/A
        ATHENAHEALTH INC 2022 DELAYED DRAW TERM LOAN
        04686RAC7
        
          
        
        57971.0100000000
        PA
        USD
        57434.7800000000
        0.0231193150
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-02-15
          Floating
          0.0000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Axa SA
        F5WCUMTUM4RKZ1MAIE39
        AXASA 8.6 12/15/30
        054536AA5
        
          
          
          
        
        400000.0000000000
        PA
        USD
        504034.0000000000
        0.2028896221
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-12-15
          Fixed
          8.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Axian Telecom
        984500C6FIA50FZSE337
        AXNTLC 7.375 02/16/27 144A
        05466AAA1
        
          
          
          
        
        445000.0000000000
        PA
        USD
        436213.0300000000
        0.1755895373
        Long
        DBT
        CORP
        MR
        
        Y
        
        2
        
          2027-02-16
          Fixed
          7.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Azure Power Energy Limited
        54930051LQDFHGQMHF47
        AZUPOE 3.575 08/19/26 144A
        05502VAA1
        
          
          
          
        
        428846.5000000000
        PA
        USD
        388213.2900000000
        0.1562681242
        Long
        DBT
        CORP
        MU
        
        Y
        
        2
        
          2026-08-19
          Fixed
          3.575000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCEGP 4.875 04/01/26 144A
        05578QAE3
        
          
          
          
        
        500000.0000000000
        PA
        USD
        501943.3000000000
        0.2020480493
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2026-04-01
          Fixed
          4.875000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        BNP 3.8 01/10/24 144A
        05581KAB7
        
          
          
          
        
        245000.0000000000
        PA
        USD
        245176.9000000000
        0.0986914545
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2024-01-10
          Fixed
          3.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCEGP 3 05/22/22 144A
        05583JAA0
        
          
          
          
        
        250000.0000000000
        PA
        USD
        250185.3800000000
        0.1007075261
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2022-05-22
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bway Corporation
        549300RY13CUZRBP7216
        BWAY 2013-1515 A1
        05604FAA3
        
          
          
          
        
        72012.7300000000
        PA
        USD
        71286.0100000000
        0.0286948730
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2033-03-10
          Fixed
          2.809300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bway Corporation
        549300RY13CUZRBP7216
        BWAY 2013-1515 A2
        05604FAC9
        
          
          
          
        
        1000000.0000000000
        PA
        USD
        983496.8000000000
        0.3958885594
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2033-03-10
          Fixed
          3.454300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX COMMERCIAL MORTGAGE TRUST 2022-AHP
        N/A
        BX 2022-AHP A
        05610FAA5
        
          
          
        
        1465000.0000000000
        PA
        USD
        1444968.7600000000
        0.5816456146
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-01-17
          Floating
          1.291160000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC V2.456 10/22/25 MTN
        06051GHW2
        
          
          
          
        
        545000.0000000000
        PA
        USD
        525494.3400000000
        0.2115280875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-22
          Fixed
          2.456000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC V4.083 03/20/51 MTN
        06051GJA8
        
          
          
        
        500000.0000000000
        PA
        USD
        452569.2600000000
        0.1821734370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-20
          Fixed
          4.083000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK 2019-BNK18
        N/A
        BANK 2019-BN18 XA
        065402BD0
        
          
          
        
        2132477.3400000000
        PA
        USD
        108021.0700000000
        0.0434818962
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-05-17
          Floating
          1.041421400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank 2017-Bnk4
        N/A
        BANK 2019-BN24 XA
        06540VBC8
        
          
          
        
        5528141.9600000000
        PA
        USD
        229192.3400000000
        0.0922571637
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-11-17
          Floating
          0.761190300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK 2020-BNK28
        N/A
        BANK 2020-BN28 XA
        06540YAN9
        
          
          
        
        1927647.5900000000
        PA
        USD
        217483.1800000000
        0.0875438566
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2063-03-16
          Floating
          1.897754800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank 2017 Bnk8
        N/A
        BANK 2017-BNK8 ASB
        06650AAC1
        
          
          
        
        147000.0000000000
        PA
        USD
        145257.6200000000
        0.0584707850
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-11-17
          Fixed
          3.314000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton, Dickinson and Company
        ICE2EP6D98PQUILVRZ91
        Becton, Dickinson and Company DEPOSITARY SHARES EACH REPRESENTING A 1/20TH INTEREST IN A SHARE OF 6.00% MANDATORY CONVERTIBLE PREFERRED STOCK, SERIES
        075887406
        
          
          
          
        
        5000.0000000000
        NS
        USD
        255550.0000000000
        0.1028669553
        Long
        EP
        CORP
        US
        N
        
        1
        
          2023-06-01
          None
          0.0000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benchmark 2019-B10 Mtg Tr
        N/A
        BMARK 2019-B10 XA
        08162VAF5
        
          
          
        
        2329094.2600000000
        PA
        USD
        143073.2300000000
        0.0575914989
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-03-17
          Floating
          1.388203200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK MORTGAGE TRUST
        N/A
        BMARK 2020-B18 XA
        08163AAF0
        
          
          
        
        503702.2500000000
        PA
        USD
        47045.9900000000
        0.0189374985
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-07-17
          Floating
          1.916500700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK MORTGAGE TRUST
        N/A
        BMARK 2020-B22 XA
        08163BBF7
        
          
          
        
        884629.7000000000
        PA
        USD
        89587.3300000000
        0.0360617330
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2054-01-16
          Floating
          1.632869900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Beth Israel Deaconess Medical Center Inc
        549300X0AUMNEAKC6J55
        BETHIS 2.22 07/01/28 L
        08661UAA4
        
          
          
        
        1400000.0000000000
        PA
        USD
        1253007.0400000000
        0.5043749526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          2.220000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        BIIB 3.25 02/15/51 144A
        09062XAJ2
        
          
          
          
        
        448000.0000000000
        PA
        USD
        321517.8500000000
        0.1294211008
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2051-02-15
          Fixed
          3.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Black Knight InfoServ LLC
        549300H5PS5C68DAUX66
        BKFS 3.625 09/01/28 144A
        092174AA9
        
          
          
          
        
        200000.0000000000
        PA
        USD
        185745.0000000000
        0.0747682356
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-09-01
          Fixed
          3.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackhawk Network Holdings
        549300LFU3K8UIR03132
        Blackhawk Network Holdings First-lien Term Loan 300 2025-05-05
        09238FAK7
        
          
          
        
        173250.0000000000
        PA
        USD
        171318.9600000000
        0.0689612984
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-05-05
          Floating
          5.330000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluehub Loan Fund, Inc.
        N/A
        BLULNF 2.89 01/01/27 2020
        095623AA2
        
          
          
        
        600000.0000000000
        PA
        USD
        568526.7600000000
        0.2288499972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-01
          Fixed
          2.890000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bon Secours Mercy Health Inc.
        5493006NA7JSVYYYF398
        BSHSI 1.35 06/01/25
        09778PAD7
        
          
          
          
        
        155000.0000000000
        PA
        USD
        143180.0200000000
        0.0576344853
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.350000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Medical Center Corporation
        54930000C3BLYBHD3L38
        BSTMCC 4.519 07/01/26
        10103DAA4
        
          
          
        
        705000.0000000000
        PA
        USD
        712467.5900000000
        0.2867907326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          4.519000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Properties Limited Partnership
        BVHHEFJI6SHNOKQT2572
        BXP 3.65 02/01/26
        10112RAX2
        
          
          
          
        
        430000.0000000000
        PA
        USD
        425351.4700000000
        0.1712174159
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          3.650000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brandywine Operating Partnership L.P.
        IXBXSCONLDQ1ZI73YU71
        BDN 4.55 10/01/29
        105340AP8
        
          
          
          
        
        500000.0000000000
        PA
        USD
        495436.6700000000
        0.1994289250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.550000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brighthouse Financial Inc.
        5493003T8SZSHOGGAW52
        BHF 5.625 05/15/30
        10922NAG8
        
          
          
          
        
        1500000.0000000000
        PA
        USD
        1569903.7800000000
        0.6319359105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          5.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        AVGO 4.15 11/15/30
        11135FAQ4
        
          
          
          
        
        1200000.0000000000
        PA
        USD
        1139340.3100000000
        0.4586204998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        AVGO 3.187 11/15/36 144A
        11135FBQ3
        
          
          
          
        
        852000.0000000000
        PA
        USD
        674753.3300000000
        0.2716095505
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2036-11-15
          Fixed
          3.187000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Paramount Global
        5KYC8KF17ROCY24M3H09
        PARA 2.9 01/15/27
        124857AR4
        
          
          
          
        
        400000.0000000000
        PA
        USD
        377215.4000000000
        0.1518411257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          2.900000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHNGE MORTGAGE TRUST 2022-2
        N/A
        CHNGE 2022-2 A1
        12546YAA9
        
          
          
        
        700599.8300000000
        PA
        USD
        684286.7100000000
        0.2754470374
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2067-03-25
          Floating
          3.757000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM 2020-SBX MORTGAGE TRUST
        N/A
        COMM 2020-SBX A
        12598EAA0
        
          
          
        
        595000.0000000000
        PA
        USD
        552736.6700000000
        0.2224939867
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-01-12
          Fixed
          1.670000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        COMM 2013-WWP A2
        12625CAC7
        
          
          
          
        
        640000.0000000000
        PA
        USD
        643864.5100000000
        0.2591758237
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2031-03-12
          Fixed
          3.424400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        COMM 2013-WWP B
        12625CAJ2
        
          
          
        
        644000.0000000000
        PA
        USD
        649021.0700000000
        0.2612515022
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2031-03-12
          Fixed
          3.725500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cpts 2019-Cpt Mtg Trust
        N/A
        CPTS 2019-CPT A
        12654YAA7
        
          
          
        
        240000.0000000000
        PA
        USD
        220755.8400000000
        0.0888612057
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-11-16
          Fixed
          2.865000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST
        N/A
        COMM 2020-CX A
        12656KAA5
        
          
          
        
        825000.0000000000
        PA
        USD
        713352.3400000000
        0.2871468725
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2046-11-10
          Fixed
          2.173000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST
        N/A
        COMM 2020-CX B
        12656KAE7
        
          
          
        
        524000.0000000000
        PA
        USD
        450040.0700000000
        0.1811553581
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2046-11-10
          Fixed
          2.446000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST
        N/A
        COMM 2020-CX C
        12656KAG2
        
          
          
        
        100000.0000000000
        PA
        USD
        85975.5200000000
        0.0346078653
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2046-11-10
          Floating
          2.772948000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST
        N/A
        COMM 2020-CX D
        12656KAJ6
        
          
          
        
        100000.0000000000
        PA
        USD
        83844.5600000000
        0.0337500865
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2046-11-10
          Floating
          2.772947900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM 2022-HC MORTGAGE TRUST
        N/A
        COMM 2022-HC A
        12659DAA8
        
          
          
        
        886000.0000000000
        PA
        USD
        834926.5300000000
        0.3360843280
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-01-10
          Fixed
          2.820000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Change Healthcare Holdings LLC/ Change Healthcare Finance Inc
        549300GHXFJ3EKF50583
        EM 5.75 03/01/25 144A
        15911NAA3
        
          
          
          
        
        395000.0000000000
        PA
        USD
        394512.1800000000
        0.1588036266
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2025-03-01
          Fixed
          5.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Operating, LLC/Charter Communications Operating Capital Corp.
        549300TPZNMN50BJ3745
        CHTR 6.484 10/23/45
        161175BA1
        
          
          
          
        
        1325000.0000000000
        PA
        USD
        1340284.8400000000
        0.5395070268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.484000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Operating
        549300TPZNMN50BJ3745
        Charter Communications Operating Term Loan B-2 175 2027-02-01
        16117LBX6
        
          
          
        
        283070.5500000000
        PA
        USD
        279992.1600000000
        0.1127056975
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-01
          Floating
          3.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO ILL TRAN AUTH
        549300CB8XLRGIPN3E12
        IL CHITRN 3.91 12/01/2040
        16772PCX2
        
          
          
        
        260000.0000000000
        PA
        USD
        244733.1900000000
        0.0985128472
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-12-01
          Fixed
          3.912000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chile (Republic of)
        549300FLZTJM5YJF8D34
        CHILE 3.5 01/31/34
        168863DV7
        
          
          
        
        1465000.0000000000
        PA
        USD
        1332402.8500000000
        0.5363342766
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2034-01-31
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C V3.352 04/24/25
        172967MF5
        
          
          
          
        
        475000.0000000000
        PA
        USD
        468032.3200000000
        0.1883978076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          3.352000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C V4.412 03/31/31
        172967MP3
        
          
          
          
        
        750000.0000000000
        PA
        USD
        734215.7400000000
        0.2955450506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.412000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C V1.678 05/15/24
        172967MR9
        
          
          
          
        
        1000000.0000000000
        PA
        USD
        985706.3500000000
        0.3967779731
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          1.678000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C V2.561 05/01/32
        172967MY4
        
          
          
          
        
        500000.0000000000
        PA
        USD
        423191.5400000000
        0.1703479758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          2.561000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cityline Mortgage Trust 2016-C
        N/A
        CLMT 2016-CLNE A
        178772AA7
        
          
          
        
        800000.0000000000
        PA
        USD
        788638.0000000000
        0.3174517311
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2031-11-13
          Floating
          2.870703300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Clearway Energy Operating LLC
        549300Z3NFMM54NWBB87
        CWENA 3.75 02/15/31 144A
        18539UAD7
        
          
          
          
        
        560000.0000000000
        PA
        USD
        482454.0000000000
        0.1942029898
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-02-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLORADO HEALTH FACS AUTH
        5493002JB6DRFRZPEQ21
        CO COSMED 4.48 12/01/2040
        19648FRZ9
        
          
          
        
        940000.0000000000
        PA
        USD
        941751.9700000000
        0.3790849453
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.480000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust 2015-Lc19
        N/A
        COMM 2015-LC19 A4
        200474BC7
        
          
          
        
        291000.0000000000
        PA
        USD
        286851.0400000000
        0.1154666136
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-12
          Fixed
          3.183000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        COMM 2013-LC6 A4
        20048EAY7
        
          
          
          
        
        285669.4600000000
        PA
        USD
        285587.8200000000
        0.1149581276
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-12
          Fixed
          2.941000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CommonSpirit Health
        N/A
        CATMED 3.347 10/01/29
        20268JAB9
        
          
          
          
        
        600000.0000000000
        PA
        USD
        560138.0700000000
        0.2254732843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.347000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CommonSpirit Health
        N/A
        CATMED 2.782 10/01/30
        20268JAF0
        
          
          
          
        
        185000.0000000000
        PA
        USD
        164027.3200000000
        0.0660261827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.782000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conservation Fund / Sustainable Conservation Inc
        N/A
        CONSFD 3.474 12/15/29 2019
        20848FAA8
        
          
          
        
        800000.0000000000
        PA
        USD
        771090.5800000000
        0.3103883397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.474000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOK CNTY ILL CMNTY HIGH SCH DIST NO 228 BREMEN
        N/A
        IL COOSCD 5.02 12/01/2041
        215813HU3
        
          
          
        
        435000.0000000000
        PA
        USD
        484847.9600000000
        0.1951666344
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-12-01
          Fixed
          5.019000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COREVEST AMERICAN FINANCE TRUST
        N/A
        CAFL 2020-4 C
        21873AAJ6
        
          
          
        
        100000.0000000000
        PA
        USD
        84469.4000000000
        0.0340016044
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2052-12-17
          Fixed
          2.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        G2-30YR-Multi
        21H022655
        
          
          
          
        
        3500000.0000000000
        PA
        USD
        3253906.2900000000
        1.3098001675
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        G2-30YR-Multi
        21H030658
        
          
          
          
        
        3100000.0000000000
        PA
        USD
        2959652.3400000000
        1.1913536486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        G2-30YR-Multi
        21H032654
        
          
          
          
        
        5300000.0000000000
        PA
        USD
        5193171.8800000000
        2.0904158855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        G2-30YR-Multi
        21H040657
        
          
          
        
        1600000.0000000000
        PA
        USD
        1604531.2500000000
        0.6458745621
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        G2-30YR-Multi
        21H042653
        
          
          
        
        900000.0000000000
        PA
        USD
        917854.0800000000
        0.3694652890
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications, Inc.
        5493001NEDZNIFRP2R92
        COXENT 3.85 02/01/25 144A
        224044CE5
        
          
          
          
        
        10000.0000000000
        PA
        USD
        10007.6400000000
        0.0040283915
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2025-02-01
          Fixed
          3.850000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications, Inc.
        5493001NEDZNIFRP2R92
        COXENT 3.15 08/15/24 144A
        224044CH8
        
          
          
          
        
        57000.0000000000
        PA
        USD
        56451.0800000000
        0.0227233446
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2024-08-15
          Fixed
          3.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole S.A. London Branch
        N/A
        ACAFP 4.125 01/10/27 144A
        22535WAB3
        
          
          
          
        
        1000000.0000000000
        PA
        USD
        988008.3900000000
        0.3977046170
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-01-10
          Fixed
          4.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown Castle International Corp.
        54930012H97VSM0I2R19
        CCI 3.7 06/15/26
        22822VAC5
        
          
          
          
        
        300000.0000000000
        PA
        USD
        294983.0600000000
        0.1187400088
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBJPM MORTGAGE TRUST
        N/A
        DBJPM 2020-C9 XA
        233063AW6
        
          
          
        
        642296.2900000000
        PA
        USD
        53440.5300000000
        0.0215115031
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-08-15
          Floating
          1.828790300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dc Office Trust 2019-Mtc
        N/A
        DCOT 2019-MTC A
        23312BAA8
        
          
          
        
        1030000.0000000000
        PA
        USD
        942384.2900000000
        0.3793394741
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2045-09-15
          Fixed
          2.965000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danaher Corporation
        S4BKK9OTCEWQ3YHPFM11
        Danaher Corporation 5.00% MANDATORY CONVERTIBLE PREFERRED STOCK, SERIES B
        235851409
        
          
          
          
        
        170.0000000000
        NS
        USD
        234532.0000000000
        0.0944065457
        Long
        EP
        CORP
        US
        N
        
        1
        
          2023-04-15
          Floating
          0.0000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DigiCert
        549300EF826JEEUCHZ67
        DigiCert First-lien Term Loan 400 2026-07-27
        24022KAB5
        
          
          
        
        386876.5600000000
        PA
        USD
        385828.9000000000
        0.1553083318
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-07-27
          Floating
          6.180000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DexCom Inc
        549300YSK3QDSFR5EU59
        DXCM 0.25 11/15/25
        252131AK3
        
          
          
          
        
        205000.0000000000
        PA
        USD
        215378.1300000000
        0.0866965074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          0.250000000000
          N
          N
          N
          N
          Y
          
            
              DexCom Inc
              DexCom Inc COM
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Dignity Health
        TFVG45LTYVO3XKPZWP18
        CATMED 4.5 11/01/42
        254010AB7
        
          
          
          
        
        408000.0000000000
        PA
        USD
        394044.6900000000
        0.1586154471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dignity Health
        TFVG45LTYVO3XKPZWP18
        CATMED 5.267 11/01/64
        254010AE1
        
          
          
          
        
        250000.0000000000
        PA
        USD
        257471.9300000000
        0.1036405929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2064-11-01
          Fixed
          5.267000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Financial Services
        Z1YLO2USPORE63VVUL20
        DFS 3.75 03/04/25
        254709AL2
        
          
          
          
        
        325000.0000000000
        PA
        USD
        325424.8000000000
        0.1309937717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-04
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISTRICT COLUMBIA
        549300HWFOZXPKGOX654
        DC DISREV 4.12 07/01/2027
        25483VSC9
        
          
          
        
        500000.0000000000
        PA
        USD
        500560.2000000000
        0.2014913078
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          4.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISTRICT COLUMBIA
        549300HWFOZXPKGOX654
        DC DISREV 3.43 04/01/2042
        25483VXM1
        
          
          
        
        430000.0000000000
        PA
        USD
        384579.4900000000
        0.1548054048
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2042-04-01
          Fixed
          3.432000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDP Finance B.V.
        5299007L43AQDFOW5739
        EDPPL 1.71 01/24/28 144A
        26835PAH3
        
          
          
          
        
        1300000.0000000000
        PA
        USD
        1124596.8900000000
        0.4526858070
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2028-01-24
          Fixed
          1.710000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ERAC USA Finance Co.
        LTKX5ODQW6Z7BQ2K1V47
        ENTERP 3.85 11/15/24 144A
        26884TAL6
        
          
          
          
        
        500000.0000000000
        PA
        USD
        503886.4000000000
        0.2028302085
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2024-11-15
          Fixed
          3.850000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        eBay Inc.
        OML71K8X303XQONU6T67
        EBAY 3.6 06/05/27
        278642AU7
        
          
          
        
        195000.0000000000
        PA
        USD
        192432.2200000000
        0.0774600531
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-05
          Fixed
          3.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Etsy Inc
        54930089Q7XT501AEA40
        ETSY 0.125 10/01/26
        29786AAJ5
        
          
          
          
        
        110000.0000000000
        PA
        USD
        145145.0000000000
        0.0584254519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          0.125000000000
          N
          N
          N
          N
          Y
          
            
              Etsy Inc
              Etsy Inc COM
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Etsy Inc
        54930089Q7XT501AEA40
        ETSY 0.125 09/01/27
        29786AAL0
        
          
          
          
        
        50000.0000000000
        PA
        USD
        43550.0000000000
        0.0175302520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-01
          Fixed
          0.125000000000
          N
          N
          N
          N
          Y
          
            
              Etsy Inc
              Etsy Inc COM
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        European Investment Bank
        5493006YXS1U5GIHE750
        EIB 0.75 09/23/30
        298785JH0
        
          
          
        
        3000000.0000000000
        PA
        USD
        2510720.7300000000
        1.0106444807
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2030-09-23
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2018-K154 B
        302968AE2
        
          
          
        
        67000.0000000000
        PA
        USD
        62343.7900000000
        0.0250953467
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2032-11-25
          Floating
          4.160304000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-Kf27
        N/A
        FREMF 2017-K64 B
        30296CAE3
        
          
          
        
        70000.0000000000
        PA
        USD
        68627.1900000000
        0.0276246139
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-05-25
          Floating
          4.123204500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2018-K77 B
        30296VAS0
        
          
          
        
        700000.0000000000
        PA
        USD
        697032.6300000000
        0.2805776732
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2028-05-25
          Floating
          4.302589200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2018-KW07 B
        30297NAE8
        
          
          
        
        461000.0000000000
        PA
        USD
        440935.7100000000
        0.1774905653
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2028-09-25
          Floating
          4.221795900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2020-K104 B
        302984AS8
        
          
          
        
        520000.0000000000
        PA
        USD
        491216.3900000000
        0.1977301288
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2030-01-25
          Floating
          3.660367200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mortgage Trust 2019-K736
        N/A
        FREMF 2019-K736 C
        30298MAC3
        
          
          
        
        400000.0000000000
        PA
        USD
        386943.2000000000
        0.1557568728
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2052-09-25
          Floating
          3.884774400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2019-K97 C
        30298PAU6
        
          
          
        
        204000.0000000000
        PA
        USD
        193820.8700000000
        0.0780190286
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2029-08-25
          Floating
          3.893957200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2017-K67 B
        30300YAS8
        
          
          
        
        85000.0000000000
        PA
        USD
        83523.3000000000
        0.0336207692
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-09-25
          Floating
          4.080209500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2017-K67 C
        30300YAU3
        
          
          
        
        100000.0000000000
        PA
        USD
        97142.7200000000
        0.0391030164
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-09-25
          Floating
          4.080209600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mortgage Trust 2017-K61
        N/A
        FREMF 2017-K725 B
        30301TAE9
        
          
          
        
        100000.0000000000
        PA
        USD
        99992.0400000000
        0.0402499578
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-02-25
          Floating
          4.016200600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-K65
        N/A
        FREMF 2017-K65 B
        30302XAE9
        
          
          
        
        155000.0000000000
        PA
        USD
        152098.7600000000
        0.0612245601
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-07-25
          Floating
          4.214508300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf 2017-K68 Mortgage Trust
        N/A
        FREMF 2017-K68 B
        30305EAE8
        
          
          
        
        90000.0000000000
        PA
        USD
        87369.4700000000
        0.0351689742
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-10-25
          Floating
          3.972267900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-K69
        N/A
        FREMF 2017-K69 C
        30305KAJ3
        
          
          
        
        40000.0000000000
        PA
        USD
        37846.4300000000
        0.0152343847
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-10-25
          Floating
          3.854004500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-K729
        N/A
        FREMF 2017-K729 B
        30306HAS9
        
          
          
        
        250000.0000000000
        PA
        USD
        247889.4500000000
        0.0997833417
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-11-25
          Floating
          3.796564400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-K729
        N/A
        FREMF 2017-K729 C
        30306HAU4
        
          
          
        
        90000.0000000000
        PA
        USD
        88404.9100000000
        0.0355857716
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-11-25
          Floating
          3.796564600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2018-K85 C
        30308KAC5
        
          
          
          
        
        550000.0000000000
        PA
        USD
        537566.4800000000
        0.2163875056
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-12-25
          Floating
          4.464338200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2019-K95 B
        30311MAS1
        
          
          
        
        500000.0000000000
        PA
        USD
        488355.1000000000
        0.1965783691
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2052-08-25
          Floating
          4.054435500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2019-K95 C
        30311MAU6
        
          
          
        
        307000.0000000000
        PA
        USD
        293325.3300000000
        0.1180727200
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2052-08-25
          Floating
          4.054435600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2019-K100 C
        30313PAU7
        
          
          
        
        700000.0000000000
        PA
        USD
        646875.8800000000
        0.2603879954
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2029-09-25
          Floating
          3.612713600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2019-K99 B
        30314FAA2
        
          
          
        
        565000.0000000000
        PA
        USD
        545030.9800000000
        0.2193922029
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2029-09-25
          Floating
          3.764845200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf 2019-K103 Mortgage Trust
        N/A
        FREMF 2019-K103 B
        30315DAS7
        
          
          
        
        525000.0000000000
        PA
        USD
        485464.6700000000
        0.1954148797
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2029-11-25
          Floating
          3.572745300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        CAS 2016-C07 2M2
        30711XEC4
        
          
          
        
        118228.7200000000
        PA
        USD
        123674.2200000000
        0.0497827840
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2029-05-25
          Floating
          4.806569900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        CAS 2017-C01 1M2
        30711XEP5
        
          
          
        
        69129.3700000000
        PA
        USD
        71658.9800000000
        0.0288450052
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          4.006570300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G01779
        31283H6Q3
        
          
          
        
        13379.2900000000
        PA
        USD
        14195.0400000000
        0.0057139524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G30614
        3128CUVF0
        
          
          
        
        115821.8800000000
        PA
        USD
        115623.8100000000
        0.0465422395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G01828
        3128LXA59
        
          
          
        
        62759.6200000000
        PA
        USD
        65572.0600000000
        0.0263948275
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G01837
        3128LXBE9
        
          
          
          
        
        88400.4000000000
        PA
        USD
        93732.6900000000
        0.0377303715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G01838
        3128LXBF6
        
          
          
          
        
        14850.4800000000
        PA
        USD
        15764.3400000000
        0.0063456453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G02424
        3128M4AZ6
        
          
          
        
        55643.9400000000
        PA
        USD
        59304.0800000000
        0.0238717673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G04997
        3128M63E6
        
          
          
          
        
        55971.3900000000
        PA
        USD
        59288.8600000000
        0.0238656408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G05052
        3128M65M6
        
          
          
        
        5599.2400000000
        PA
        USD
        5858.8000000000
        0.0023583523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G06079
        3128M8CQ5
        
          
          
        
        51393.6800000000
        PA
        USD
        56892.7500000000
        0.0229011308
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G06990
        3128M9C34
        
          
          
        
        79175.1900000000
        PA
        USD
        84366.4000000000
        0.0339601436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G14599
        3128MDKL6
        
          
          
        
        62526.4300000000
        PA
        USD
        61433.7700000000
        0.0247290349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G08816
        3128MJ4A5
        
          
          
        
        425432.7100000000
        PA
        USD
        416859.9700000000
        0.1677993187
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G08347
        3128MJL57
        
          
          
          
        
        111876.2300000000
        PA
        USD
        116929.4300000000
        0.0470677928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG G08499
        3128MJRV4
        
          
          
        
        23541.7600000000
        PA
        USD
        22749.5500000000
        0.0091574132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG J17791
        3128PXUQ7
        
          
          
        
        80368.1700000000
        PA
        USD
        79868.8700000000
        0.0321497456
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-01-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A87874
        312934XB3
        
          
          
        
        25619.3400000000
        PA
        USD
        26062.8700000000
        0.0104911293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A89148
        312936EV5
        
          
          
          
        
        48485.1300000000
        PA
        USD
        49162.1900000000
        0.0197893359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A89384
        312936M95
        
          
          
        
        46849.5400000000
        PA
        USD
        47427.0100000000
        0.0190908711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A89729
        312936Y27
        
          
          
        
        23013.2400000000
        PA
        USD
        23334.6400000000
        0.0093929304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A93101
        312941NS2
        
          
          
          
        
        34733.1000000000
        PA
        USD
        36874.0300000000
        0.0148429630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A93996
        312942NM3
        
          
          
          
        
        15997.1800000000
        PA
        USD
        16636.3700000000
        0.0066966650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A94362
        312942Z32
        
          
          
          
        
        71482.9800000000
        PA
        USD
        72823.2600000000
        0.0293136648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A94742
        312943HT3
        
          
          
        
        11092.3400000000
        PA
        USD
        11278.2400000000
        0.0045398482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A95084
        312943UH4
        
          
          
        
        8484.1100000000
        PA
        USD
        8602.1200000000
        0.0034626253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A95085
        312943UJ0
        
          
          
        
        64637.3000000000
        PA
        USD
        65536.5300000000
        0.0263805255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A95796
        312944NM9
        
          
          
        
        29326.5900000000
        PA
        USD
        29688.6500000000
        0.0119506204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A97047
        312945ZL5
        
          
          
          
        
        33589.1500000000
        PA
        USD
        35015.5400000000
        0.0140948620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A12413
        31296LVE8
        
          
          
        
        11531.6300000000
        PA
        USD
        12301.3200000000
        0.0049516703
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG A37619
        31297TPC1
        
          
          
        
        91994.6900000000
        PA
        USD
        96125.2700000000
        0.0386934606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FH 849167
        31300MFG3
        
          
          
        
        36658.3800000000
        PA
        USD
        37080.3700000000
        0.0149260214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Variable
          3.018000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG J20118
        31306XDX8
        
          
          
        
        22502.4500000000
        PA
        USD
        22109.0000000000
        0.0088995716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Banks
        2549001DPIFGXC1TOL40
        FHLB 2.375 03/14/25
        3130A4CH3
        
          
          
          
        
        2710000.0000000000
        PA
        USD
        2673154.8400000000
        1.0760293460
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-03-14
          Fixed
          2.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Banks
        2549001DPIFGXC1TOL40
        FHLB 3.25 11/16/28
        3130AFFX0
        
          
          
          
        
        5000000.0000000000
        PA
        USD
        5065881.4000000000
        2.0391774425
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-11-16
          Fixed
          3.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Banks
        2549001DPIFGXC1TOL40
        FHLB 0.9 02/26/27
        3130AL5A8
        
          
          
          
        
        3000000.0000000000
        PA
        USD
        2713569.6600000000
        1.0922975890
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2027-02-26
          Fixed
          0.900000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Z40004
        3132FCAD7
        
          
          
        
        9108.9300000000
        PA
        USD
        10083.5100000000
        0.0040589316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Q00291
        3132GDKC5
        
          
          
        
        31949.6000000000
        PA
        USD
        34099.1800000000
        0.0137259981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Q01807
        3132GFAG2
        
          
          
        
        60184.8300000000
        PA
        USD
        62887.2500000000
        0.0253141066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Q06160
        3132GRE98
        
          
          
        
        42714.8900000000
        PA
        USD
        43687.8000000000
        0.0175857209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Q17103
        3132J8KR0
        
          
          
        
        6214.1600000000
        PA
        USD
        6206.7600000000
        0.0024984172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FG Q33602
        3132QQAC6
        
          
          
        
        230231.7000000000
        PA
        USD
        221011.3400000000
        0.0889640525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCBDN 0 06/23/22
        313313YL6
        
          
          
        
        12000000.0000000000
        PA
        USD
        11987743.0800000000
        4.8254456322
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-06-23
          None
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Banks
        2549001DPIFGXC1TOL40
        FHLBDN 0 05/04/22
        313385WJ1
        
          
          
          
        
        6060000.0000000000
        PA
        USD
        6059842.1400000000
        2.4392780685
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-05-04
          None
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Banks
        2549001DPIFGXC1TOL40
        FHLBDN 0 06/17/22
        313385YE0
        
          
          
          
        
        12000000.0000000000
        PA
        USD
        11989156.6800000000
        4.8260146509
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2022-06-17
          None
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCB 3.43 04/06/45
        3133EEWR7
        
          
          
          
        
        1000000.0000000000
        PA
        USD
        908481.3300000000
        0.3656924607
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2045-04-06
          Fixed
          3.430000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCB 2.78 11/02/37
        3133EGC52
        
          
          
          
        
        1800000.0000000000
        PA
        USD
        1617574.5700000000
        0.6511249108
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2037-11-02
          Fixed
          2.780000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCB 3.66 03/07/44
        3133EJFF1
        
          
          
          
        
        974000.0000000000
        PA
        USD
        928509.2300000000
        0.3737543238
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2044-03-07
          Fixed
          3.660000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCB 2.625 10/15/49
        3133EK2P0
        
          
          
          
        
        3250000.0000000000
        PA
        USD
        2755037.2200000000
        1.1089895930
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2049-10-15
          Fixed
          2.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA 0.875 08/05/30
        3135G05Q2
        
          
          
          
        
        8000000.0000000000
        PA
        USD
        6685071.2800000000
        2.6909525666
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-08-05
          Fixed
          0.875000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA 0.75 10/08/27
        3135G05Y5
        
          
          
          
        
        5000000.0000000000
        PA
        USD
        4453014.6000000000
        1.7924791771
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2027-10-08
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 190370
        31368HMT7
        
          
          
          
        
        43225.1600000000
        PA
        USD
        47838.6900000000
        0.0192565853
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2012-17 BC
        3136A4A82
        
          
          
        
        368000.0000000000
        PA
        USD
        367414.7000000000
        0.1478960341
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2027-03-25
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2019-6 GJ
        3136B3T59
        
          
          
        
        88020.1100000000
        PA
        USD
        86625.1600000000
        0.0348693659
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2049-02-25
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2020-1 AC
        3136B8NW5
        
          
          
        
        283581.9500000000
        PA
        USD
        281831.1700000000
        0.1134459572
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2058-08-25
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 3768 CB
        3137A4BE6
        
          
          
        
        91885.5500000000
        PA
        USD
        92795.5300000000
        0.0373531349
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2025-12-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 3806 L
        3137A6YW6
        
          
          
        
        549522.8400000000
        PA
        USD
        555367.8400000000
        0.2235531159
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 3800 CB
        3137A7GE4
        
          
          
        
        167002.1900000000
        PA
        USD
        168842.9400000000
        0.0679646220
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 3877 LM
        3137ACFM6
        
          
          
        
        340321.9800000000
        PA
        USD
        343935.0400000000
        0.1384447285
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHLMC 1.5 02/12/25
        3137EAEP0
        
          
          
          
        
        5600000.0000000000
        PA
        USD
        5397302.6800000000
        2.1725849869
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-02-12
          Fixed
          1.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        N/A
        FHMS K119 X1
        3137F6GV3
        
          
          
        
        4968375.3200000000
        PA
        USD
        311609.5400000000
        0.1254326927
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-09-25
          Floating
          1.025750000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS K740 X1
        3137F72D6
        
          
          
        
        1295584.2800000000
        PA
        USD
        44788.2200000000
        0.0180286747
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2027-09-25
          Floating
          0.843846000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS Q014 X
        3137F72J3
        
          
          
        
        2143844.0900000000
        PA
        USD
        446032.9800000000
        0.1795423776
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2055-10-25
          Floating
          2.797309000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS K122 X1
        3137F82T9
        
          
          
        
        364276.6000000000
        PA
        USD
        21862.3900000000
        0.0088003032
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-11-25
          Floating
          0.973306000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS K121 X1
        3137F83S0
        
          
          
        
        659648.4900000000
        PA
        USD
        44967.4500000000
        0.0181008205
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-10-25
          Floating
          1.120498000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS KG04 X1
        3137F84T7
        
          
          
        
        2417323.1400000000
        PA
        USD
        140312.0700000000
        0.0564800447
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-11-25
          Floating
          0.940020000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        B1V7KEBTPIMZEU4LTD58
        FHMS K124 X1
        3137F9YZ8
        
          
          
        
        1466790.1700000000
        PA
        USD
        74236.0100000000
        0.0298823413
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-12-25
          Floating
          0.811528000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS KG05 X1
        3137FFXM4
        
          
          
        
        2465000.0000000000
        PA
        USD
        58039.1600000000
        0.0233625970
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2031-01-25
          Floating
          0.402383000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        N/A
        FHMS K103 X1
        3137FQKQ5
        
          
          
        
        8914165.6800000000
        PA
        USD
        365466.5300000000
        0.1471118341
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2029-11-25
          Floating
          0.756960000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4961 JB
        3137FRK75
        
          
          
        
        209832.3600000000
        PA
        USD
        198638.7700000000
        0.0799583857
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS K111 X1
        3137FUZE7
        
          
          
        
        1449811.9900000000
        PA
        USD
        147657.8400000000
        0.0594369494
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Floating
          1.680510000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS K112 X1
        3137FUZX5
        
          
          
        
        1502235.0900000000
        PA
        USD
        141032.6800000000
        0.0567701130
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Floating
          1.535530000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        N/A
        FHMS K113 X1
        3137FV5Q1
        
          
          
        
        2549763.3300000000
        PA
        USD
        230022.0500000000
        0.0925911482
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Floating
          1.490205000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS KG03 X1
        3137FVEE8
        
          
          
        
        3210000.0000000000
        PA
        USD
        285806.5200000000
        0.1150461613
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Floating
          1.483151000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        N/A
        FHMS K114 X1
        3137FVNJ7
        
          
          
        
        2348284.2500000000
        PA
        USD
        173309.7200000000
        0.0697626422
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Floating
          1.211796000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS KSG1 X1
        3137FXLY2
        
          
          
        
        4063897.6000000000
        PA
        USD
        309992.8900000000
        0.1247819399
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2030-09-25
          Floating
          1.256507000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        STACR 2018-HRP1 M2
        3137G0VC0
        
          
          
          
        
        26075.1000000000
        PA
        USD
        26049.5400000000
        0.0104857635
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2043-05-25
          Floating
          2.106569900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMR 2021-P011 X1
        3137H2NR1
        
          
          
        
        2313744.3500000000
        PA
        USD
        328086.6400000000
        0.1320652464
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2045-09-25
          Floating
          1.841812400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHMS KG06 X1
        3137H4C73
        
          
          
        
        2298479.6900000000
        PA
        USD
        94087.5800000000
        0.0378732259
        Long
        ABS-O
        USGSE
        US
        N
        
        2
        
          2031-10-25
          Floating
          0.626270000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AI7951
        3138AMZR9
        
          
          
        
        10414.2600000000
        PA
        USD
        10779.4700000000
        0.0043390775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AJ5974
        3138AXT84
        
          
          
        
        19544.3600000000
        PA
        USD
        19971.9700000000
        0.0080393494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AL0005
        3138EGAF1
        
          
          
        
        18853.1000000000
        PA
        USD
        19677.1300000000
        0.0079206670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AL0049
        3138EGBT0
        
          
          
        
        19750.6600000000
        PA
        USD
        21195.7100000000
        0.0085319435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AL1627
        3138EHYZ9
        
          
          
        
        39140.5400000000
        PA
        USD
        40859.2100000000
        0.0164471240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AP9592
        3138MDUS9
        
          
          
        
        77087.4100000000
        PA
        USD
        76889.9600000000
        0.0309506401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AR1524
        3138NXVS3
        
          
          
        
        74061.2200000000
        PA
        USD
        70327.2700000000
        0.0283089499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AS3608
        3138WDAJ0
        
          
          
        
        110069.5000000000
        PA
        USD
        101281.0500000000
        0.0407688250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AS8449
        3138WJL71
        
          
          
        
        15292.6400000000
        PA
        USD
        15010.7600000000
        0.0060423055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AW4685
        3138XUF31
        
          
          
        
        13448.9700000000
        PA
        USD
        13735.0700000000
        0.0055288000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-01
          Variable
          2.078000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AY3370
        3138YGW81
        
          
          
        
        123017.2500000000
        PA
        USD
        113413.8400000000
        0.0456526567
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNMA 5.625 07/15/37
        31398AFD9
        
          
          
          
        
        2000000.0000000000
        PA
        USD
        2495014.0400000000
        1.0043220414
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2037-07-15
          Fixed
          5.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 745044
        31403CWD9
        
          
          
        
        18712.5400000000
        PA
        USD
        19529.0600000000
        0.0078610641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 745327
        31403DA41
        
          
          
          
        
        128412.3800000000
        PA
        USD
        138813.4100000000
        0.0558767867
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BC1171
        3140EVJR9
        
          
          
        
        401042.2900000000
        PA
        USD
        394890.8200000000
        0.1589560412
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BD1153
        3140F8H75
        
          
          
        
        31421.3700000000
        PA
        USD
        30039.1200000000
        0.0120916956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BD1165
        3140F8JK4
        
          
          
        
        570917.9000000000
        PA
        USD
        547415.9400000000
        0.2203522247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BE1416
        3140FLSE9
        
          
          
        
        57451.9700000000
        PA
        USD
        56395.5400000000
        0.0227009880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BE4435
        3140FP4V8
        
          
          
        
        664934.7800000000
        PA
        USD
        637425.3700000000
        0.2565838663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BE8063
        3140FT5Z0
        
          
          
        
        253848.0200000000
        PA
        USD
        242817.2300000000
        0.0977416128
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN BJ6137
        3140H7ZB6
        
          
          
        
        268420.3800000000
        PA
        USD
        261849.8100000000
        0.1054028280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fnma Pass-Thru I
        B1V7KEBTPIMZEU4LTD58
        FN BV1907
        3140MFDM2
        
          
          
        
        3076219.6400000000
        PA
        USD
        2818427.6400000000
        1.1345062414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-12-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fnma Pass-Thru I
        B1V7KEBTPIMZEU4LTD58
        FN CB2770
        3140QNCG5
        
          
          
        
        4947615.5300000000
        PA
        USD
        4383161.4200000000
        1.7643610635
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fnma Pass-Thru I
        B1V7KEBTPIMZEU4LTD58
        FN CB2781
        3140QNCT7
        
          
          
        
        5227215.0000000000
        PA
        USD
        4953995.6900000000
        1.9941399064
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fnma Pass-Thru I
        B1V7KEBTPIMZEU4LTD58
        FN CB3033
        3140QNLP5
        
          
          
        
        4881420.7700000000
        PA
        USD
        4329046.3200000000
        1.7425780246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fnma Pass-Thru I
        B1V7KEBTPIMZEU4LTD58
        FN FS0508
        3140XFR60
        
          
          
        
        2886293.9900000000
        PA
        USD
        2735421.9200000000
        1.1010938146
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 889529
        31410KHE7
        
          
          
        
        21988.0100000000
        PA
        USD
        24336.2900000000
        0.0097961262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 890248
        31410LBR2
        
          
          
        
        11844.3800000000
        PA
        USD
        12982.8200000000
        0.0052259956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 930672
        31412N6H4
        
          
          
        
        60827.6100000000
        PA
        USD
        63508.2000000000
        0.0255640586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 932441
        31412Q5A3
        
          
          
        
        203980.3900000000
        PA
        USD
        206639.2600000000
        0.0831788359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 995082
        31416BM70
        
          
          
        
        37734.9700000000
        PA
        USD
        40185.0800000000
        0.0161757653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN 995243
        31416BS82
        
          
          
        
        44640.9800000000
        PA
        USD
        46561.3600000000
        0.0187424196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AA9846
        31416T5G0
        
          
          
        
        24835.2300000000
        PA
        USD
        25158.1100000000
        0.0101269348
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AB1763
        31416W5Z1
        
          
          
        
        10276.0500000000
        PA
        USD
        10324.7200000000
        0.0041560263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AB1343
        31416WP55
        
          
          
        
        61697.2800000000
        PA
        USD
        64420.9100000000
        0.0259314532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AB4168
        31417AT25
        
          
          
        
        96746.3400000000
        PA
        USD
        96499.4900000000
        0.0388440960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AB6472
        31417DFN8
        
          
          
        
        87777.6000000000
        PA
        USD
        83363.1700000000
        0.0335563118
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-01
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AC1877
        31417LCP8
        
          
          
          
        
        19926.1800000000
        PA
        USD
        20700.9700000000
        0.0083327950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AC2817
        31417MDX8
        
          
          
        
        16205.4300000000
        PA
        USD
        16416.4500000000
        0.0066081402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AC5401
        31417SAB6
        
          
          
          
        
        2274.4200000000
        PA
        USD
        2403.2800000000
        0.0009673962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AC9564
        31417WTW1
        
          
          
        
        28748.0700000000
        PA
        USD
        30014.7500000000
        0.0120818859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN MA0639
        31417YV95
        
          
          
          
        
        38711.3700000000
        PA
        USD
        39217.6100000000
        0.0157863281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN MA0919
        31418AAV0
        
          
          
        
        5861.2400000000
        PA
        USD
        5846.1900000000
        0.0023532763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN MA0949
        31418ABT4
        
          
          
          
        
        57458.7200000000
        PA
        USD
        57311.1800000000
        0.0230695621
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN MA1630
        31418AY44
        
          
          
          
        
        64448.5600000000
        PA
        USD
        65550.2000000000
        0.0263860281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN MA1931
        31418BED4
        
          
          
        
        67227.0600000000
        PA
        USD
        65337.7300000000
        0.0263005022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AD1649
        31418NZP8
        
          
          
        
        24080.6300000000
        PA
        USD
        24356.6500000000
        0.0098043218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AD8033
        31418V4T6
        
          
          
        
        8859.6800000000
        PA
        USD
        8975.2700000000
        0.0036128300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE0216
        31419AG27
        
          
          
        
        48590.1000000000
        PA
        USD
        49222.1300000000
        0.0198134637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE0215
        31419AGZ4
        
          
          
        
        22386.0600000000
        PA
        USD
        22676.6600000000
        0.0091280727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE0624
        31419AVS3
        
          
          
        
        17062.5300000000
        PA
        USD
        17285.3000000000
        0.0069578798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE0625
        31419AVT1
        
          
          
        
        41446.4500000000
        PA
        USD
        42429.5500000000
        0.0170792355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE4113
        31419ESB6
        
          
          
        
        16145.0700000000
        PA
        USD
        16355.6700000000
        0.0065836743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE4192
        31419EUS6
        
          
          
        
        118270.3100000000
        PA
        USD
        120387.7400000000
        0.0484598719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FN AE5143
        31419FWD4
        
          
          
        
        13209.5100000000
        PA
        USD
        13382.0200000000
        0.0053866862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fifth Third Bancorp
        THRNG6BD57P9QWTQLG42
        FITB 8.25 03/01/38
        316773CH1
        
          
          
          
        
        425000.0000000000
        PA
        USD
        588516.1100000000
        0.2368963427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          8.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLORIDA DEV FIN CORP
        549300HC854CNBLMWC48
        FL FLSDEV 4.01 04/01/2040
        34061UEP9
        
          
          
        
        925000.0000000000
        PA
        USD
        840143.0000000000
        0.3381841221
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.009000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLORIDA ST BRD ADMIN FIN CORP
        N/A
        FL FLSGEN 1.26 07/01/2025
        341271AD6
        
          
          
        
        375000.0000000000
        PA
        USD
        350659.3900000000
        0.1411514920
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          1.258000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mtg Tr 2017-K66
        N/A
        FREMF 2017-K66 B
        35708QAU7
        
          
          
          
        
        136000.0000000000
        PA
        USD
        134056.3600000000
        0.0539619237
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-08-25
          Floating
          4.174320200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF MORTGAGE TRUST
        N/A
        FREMF 2017-K726 B
        35708TAS6
        
          
          
          
        
        175000.0000000000
        PA
        USD
        174449.6300000000
        0.0702214920
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2049-07-25
          Floating
          4.135858400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mortgage Trust 2017-K71
        N/A
        FREMF 2017-K71 B
        35708WAS9
        
          
          
        
        220000.0000000000
        PA
        USD
        213982.4900000000
        0.0861347182
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-11-25
          Floating
          3.881064100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremf Mortgage Trust 2017-K71
        N/A
        FREMF 2017-K71 C
        35708WAU4
        
          
          
          
        
        65000.0000000000
        PA
        USD
        62318.7700000000
        0.0250852754
        Long
        ABS-O
        USGSE
        US
        Y
        
        2
        
          2050-11-25
          Floating
          3.881064200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRETE 2021-ML12 TR
        N/A
        FRETE 2021-ML12 XUS
        35833TAB1
        
          
          
        
        1200758.5500000000
        PA
        USD
        139336.0200000000
        0.0560871537
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-07-25
          None
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCAT TRUST
        N/A
        GCAT 2021-CM2 A1
        36167AAA8
        
          
          
        
        471884.8400000000
        PA
        USD
        457831.2600000000
        0.1842915584
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2066-08-25
          Floating
          2.352000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Go Daddy Operating Company LLC and GD Finance Co Inc
        5493005GJOH8HLL11157
        GDDY 3.5 03/01/29 144A
        38016LAC9
        
          
          
          
        
        250000.0000000000
        PA
        USD
        222173.7500000000
        0.0894319593
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-03-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoDaddy
        5493005GJOH8HLL11157
        GoDaddy Term Loan B-3 200 2027-08-01
        38017BAQ9
        
          
          
        
        304575.0000000000
        PA
        USD
        301957.4800000000
        0.1215474333
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-08-01
          Floating
          2.190000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRACE TRUST
        N/A
        GRACE 2020-GRCE A
        38406JAA6
        
          
          
          
        
        925000.0000000000
        PA
        USD
        798641.3000000000
        0.3214783756
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2040-12-12
          Fixed
          2.347000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenko Dutch BV
        724500PT585P4JPVRP08
        GRNKEN 3.85 03/29/26 144A
        39530LAD2
        
          
          
        
        882700.0000000000
        PA
        USD
        805816.8300000000
        0.3243667533
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2026-03-29
          Fixed
          3.850000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hologic Inc
        549300DYP6F5ZJL0LB74
        HOLX 3.25 02/15/29 144A
        436440AP6
        
          
          
          
        
        695000.0000000000
        PA
        USD
        620079.0000000000
        0.2496014039
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-02-15
          Fixed
          3.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Home Depot, Inc.
        QEKMOTMBBKA8I816DO57
        HD 5.95 04/01/41
        437076AV4
        
          
          
          
        
        420000.0000000000
        PA
        USD
        496039.8900000000
        0.1996717401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Government of Hong Kong Special Administrative Region
        549300DSMAD69T7GGN13
        HKINTL 2.5 05/28/24 144A
        43858AAB6
        
          
          
        
        750000.0000000000
        PA
        USD
        744792.6500000000
        0.2998025913
        Long
        DBT
        NUSS
        HK
        Y
        
        2
        
          2024-05-28
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Howard University
        K51157D64JPMRRMNLC27
        HOWUNI 2.657 10/01/26 2020
        442851AH4
        
          
          
        
        100000.0000000000
        PA
        USD
        93262.8900000000
        0.0375412621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.657000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Howard University
        K51157D64JPMRRMNLC27
        HOWUNI 1.991 10/01/25 2020
        442851AP6
        
          
          
          
        
        120000.0000000000
        PA
        USD
        110862.5400000000
        0.0446256777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.991000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Howard University
        K51157D64JPMRRMNLC27
        HOWUNI 3.476 10/01/41 2020
        442851AY7
        
          
          
          
        
        1850000.0000000000
        PA
        USD
        1546959.4600000000
        0.6227000962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-10-01
          Fixed
          3.476000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Howard University
        K51157D64JPMRRMNLC27
        HOWUNI 5.209 10/01/52 22A
        442851BH3
        
          
          
          
        
        470000.0000000000
        PA
        USD
        431028.0500000000
        0.1735024189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-10-01
          Fixed
          5.209000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUDSON YARDS MORTGAGE TRUST
        N/A
        HY 2019-30HY A
        44421GAA1
        
          
          
          
        
        700000.0000000000
        PA
        USD
        661732.5400000000
        0.2663682708
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-07-12
          Fixed
          3.228000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUDSON YARDS MORTGAGE TRUST
        N/A
        HY 2019-30HY D
        44421GAJ2
        
          
          
        
        365000.0000000000
        PA
        USD
        329670.9900000000
        0.1327029974
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-07-12
          Floating
          3.557897100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hudson Yards 2016-10HY Mortgage Trust
        N/A
        HY 2016-10HY A
        44421LAA0
        
          
          
          
        
        800000.0000000000
        PA
        USD
        760442.8000000000
        0.3061022716
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2038-08-12
          Fixed
          2.835000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLINOIS FIN AUTH
        549300ZG6UBPNNNRN315
        IL ILSGEN 3.51 05/15/2041
        45204FED3
        
          
          
        
        1000000.0000000000
        PA
        USD
        839138.3000000000
        0.3377796986
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-05-15
          Fixed
          3.510000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ing Groep N V / Ing Bank N V
        549300NYKK9MWM7GGW15
        INTNED 4.625 01/06/26 144A
        45685NAA4
        
          
          
          
        
        750000.0000000000
        PA
        USD
        757893.8000000000
        0.3050762185
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2026-01-06
          Fixed
          4.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Instituto Costarricense de Electricidad
        5493009VA6AFUB2Q0289
        COSICE 6.75 10/07/31 144A
        45777VAE7
        
          
          
          
        
        700000.0000000000
        PA
        USD
        700493.3900000000
        0.2819707385
        Long
        DBT
        CORP
        CR
        Y
        
        2
        
          2031-10-07
          Fixed
          6.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Insulet Corporation
        549300TZTYD2PYN92D43
        PODD 0.375 09/01/26
        45784PAK7
        
          
          
          
        
        195000.0000000000
        PA
        USD
        240825.0000000000
        0.0969396772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          0.375000000000
          N
          N
          N
          N
          Y
          
            
              Insulet Corporation
              Insulet Corporation COM
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Insulet
        549300TZTYD2PYN92D43
        Insulet Term Loan B 325 2028-04-17
        45784QAB5
        
          
          
        
        263012.5000000000
        PA
        USD
        263341.2700000000
        0.1060031878
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-17
          Floating
          3.430000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Interchile Sa
        549300Y105FQQX6RCE16
        INTERC 4.5 06/30/56 144A
        45846AAA8
        
          
          
          
        
        1315000.0000000000
        PA
        USD
        1154103.1800000000
        0.4645630217
        Long
        DBT
        CORP
        CL
        Y
        
        2
        
          2056-06-30
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Investment Energy Resources Limited
        254900A71Y7WHN7L5K89
        CMIENE 6.25 04/26/29 144A
        46143NAB6
        
          
          
          
        
        925000.0000000000
        PA
        USD
        914126.6300000000
        0.3679648725
        Long
        DBT
        CORP
        BM
        Y
        
        2
        
          2029-04-26
          Fixed
          6.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Chase Commercial Mortgage Securities Trust
        N/A
        JPMCC 2018-AON A
        46649XAA5
        
          
          
        
        555000.0000000000
        PA
        USD
        556358.6400000000
        0.2239519442
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2031-07-08
          Fixed
          4.128300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
        N/A
        JPMCC 2021-NYAH G
        46654EAN1
        
          
          
        
        655000.0000000000
        PA
        USD
        629271.3400000000
        0.2533016114
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2038-06-15
          Floating
          3.037000100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-OPO
        N/A
        JPMCC 2022-OPO A
        46655AAA6
        
          
          
        
        2150000.0000000000
        PA
        USD
        2047670.1100000000
        0.8242519649
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2039-01-07
          Floating
          3.024200000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        John D & Catherine T Macarthur Foundation
        UJ37UD5B4O5WRVV6NV96
        MACFDN 1.299 12/01/30
        477854AA1
        
          
          
        
        1440000.0000000000
        PA
        USD
        1189074.3300000000
        0.4786400154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-01
          Fixed
          1.299000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kaiser Foundation Hospitals/Health Plan, Inc.
        DW4Z57L3G4IRMHYZYK62
        KPERM 3.15 05/01/27
        48305QAC7
        
          
          
          
        
        185000.0000000000
        PA
        USD
        180125.2400000000
        0.0725061045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Klabin Austria GmbH
        984500578YEA8DD41B09
        KLAB 5.75 04/03/29 144A
        49836AAA2
        
          
          
          
        
        905000.0000000000
        PA
        USD
        889927.2300000000
        0.3582238488
        Long
        DBT
        CORP
        AT
        
        Y
        
        2
        
          2029-04-03
          Fixed
          5.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kreditanstalt Fur Wiederaufbau
        549300GDPG70E3MBBU98
        KFW 0 06/29/37
        500769CH5
        
          
          
        
        6000000.0000000000
        PA
        USD
        3711615.3600000000
        1.4940425406
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2037-06-29
          None
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LANCASTER CNTY PA HOSP AUTH
        N/A
        PA LANMED 5 07/01/2024
        514045R39
        
          
          
        
        165000.0000000000
        PA
        USD
        169961.8500000000
        0.0684150187
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LANCASTER CNTY PA HOSP AUTH
        N/A
        PA LANMED 5 07/01/2025
        514045R47
        
          
          
        
        135000.0000000000
        PA
        USD
        140224.5800000000
        0.0564448272
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDBUZZ SECURITIZATION TRUST 2021-1
        N/A
        LBZZ 2021-1A A
        52607BAA1
        
          
          
        
        482844.4600000000
        PA
        USD
        473051.9900000000
        0.1904183835
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2026-06-15
          Fixed
          1.460000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDBUZZ SECURITIZATION TRUST 2022-1
        N/A
        LBZZ 2022-1A A
        52607KAA1
        
          
          
        
        1290000.0000000000
        PA
        USD
        1286025.3800000000
        0.5176658785
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2027-05-17
          Fixed
          4.220000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIFE 2021-BMR MORTGAGE TRUST
        N/A
        LIFE 2021-BMR D
        53218CAG5
        
          
          
        
        117956.4200000000
        PA
        USD
        113706.5100000000
        0.0457704656
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2038-03-15
          Floating
          1.797000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mad Mortgage Trust 2017-330m
        N/A
        MAD 2017-330M A
        55282MAA2
        
          
          
          
        
        829000.0000000000
        PA
        USD
        809833.0200000000
        0.3259833968
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2034-08-17
          Floating
          3.294370000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MKT 2020-525M MORTGAGE TRUST
        N/A
        MKT 2020-525M A
        55316PAA5
        
          
          
          
        
        600000.0000000000
        PA
        USD
        534962.4000000000
        0.2153392811
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2040-02-12
          Fixed
          2.694000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marsh & McLennan Companies, Inc.
        549300XMP3KDCKJXIU47
        MMC 3.3 03/14/23
        571748BA9
        
          
          
          
        
        100000.0000000000
        PA
        USD
        100526.7200000000
        0.0404651834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-14
          Fixed
          3.300000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARYLAND ST HEALTH & HIGHER EDL FACS AUTH
        N/A
        MD MDSMED 3.97 07/01/2027
        574218X32
        
          
          
        
        205000.0000000000
        PA
        USD
        206446.6900000000
        0.0831013204
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          3.968000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSACHUSETTS EDL FING AUTH
        5493007K5OP7V6CL0Y88
        MA MASEDU 3.91 07/01/2025
        57563RPL7
        
          
          
        
        125000.0000000000
        PA
        USD
        125544.1900000000
        0.0505355061
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.911000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSACHUSETTS EDL FING AUTH
        5493007K5OP7V6CL0Y88
        MA MASEDU 2.31 07/01/2025
        57563RQY8
        
          
          
        
        200000.0000000000
        PA
        USD
        191390.7200000000
        0.0770408164
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          2.306000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSACHUSETTS EDL FING AUTH
        5493007K5OP7V6CL0Y88
        MA MASEDU 1.92 07/01/2027
        57563RRU5
        
          
          
        
        615000.0000000000
        PA
        USD
        557906.2900000000
        0.2245749223
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.921000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSACHUSETTS EDL FING AUTH
        5493007K5OP7V6CL0Y88
        MA MASEDU 2.31 07/01/2029
        57563RRW1
        
          
          
        
        1000000.0000000000
        PA
        USD
        891812.3000000000
        0.3589826491
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          2.305000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSACHUSETTS ST DEV FIN AGY
        549300UZSVMFXJK08K70
        MA MASDEV 4 10/01/2027
        57584X4J7
        
          
          
        
        100000.0000000000
        PA
        USD
        105560.2200000000
        0.0424913263
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-10-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McCormick & Company, Incorporated
        549300JQQA6MQ4OJP259
        MKC 2.5 04/15/30
        579780AQ0
        
          
          
          
        
        700000.0000000000
        PA
        USD
        621028.2200000000
        0.2499834949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mercadolibre Inc
        549300DKPDN9M5S8GB14
        MELI 2.375 01/14/26
        58733RAE2
        
          
          
          
        
        1025000.0000000000
        PA
        USD
        926456.5000000000
        0.3729280350
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-01-14
          Fixed
          2.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 7.75 05/14/38
        59023VAA8
        
          
          
          
        
        700000.0000000000
        PA
        USD
        901264.4500000000
        0.3627874384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-14
          Fixed
          7.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET GOVT NASHVILLE & DAVIDSON CNTY TENN H & E FACS BRD
        N/A
        TN METHGR 3.23 07/01/2052
        592041ZW0
        
          
          
        
        800000.0000000000
        PA
        USD
        669910.8800000000
        0.2696603112
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2052-07-01
          Fixed
          3.235000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METROPOLITAN TRANSN AUTH N Y
        5493000TKYODLXADQD60
        NY MTATRN 5.17 11/15/2049
        59261AG76
        
          
          
          
        
        855000.0000000000
        PA
        USD
        921191.1900000000
        0.3708085813
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.175000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Millicom International Cellular SA
        549300CTHC1CP86P2G96
        TIGO 4.5 04/27/31 144A
        600814AR8
        
          
          
          
        
        950000.0000000000
        PA
        USD
        824125.0000000000
        0.3317363706
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2031-04-27
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MStanley Cap I Tr
        N/A
        MSC 2017-CLS A
        61691LAA7
        
          
          
          
        
        531000.0000000000
        PA
        USD
        528533.4000000000
        0.2127514053
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2034-11-15
          Floating
          1.097000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MStanley Cap I Tr
        N/A
        MSC 2017-CLS F
        61691LAQ2
        
          
          
        
        650000.0000000000
        PA
        USD
        637826.0200000000
        0.2567451406
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2034-11-15
          Floating
          2.997000100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS V2.699 01/22/31 GMTN
        6174468L6
        
          
          
          
        
        640000.0000000000
        PA
        USD
        563835.3400000000
        0.2269615524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.699000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS V2.511 10/20/32 MTN
        61747YEH4
        
          
          
        
        1000000.0000000000
        PA
        USD
        842758.9800000000
        0.3392371368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.511000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 3.95 04/23/27
        61761JZN2
        
          
          
          
        
        210000.0000000000
        PA
        USD
        206296.2400000000
        0.0830407595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        MSBAM 2013-C12 A4
        61762XAU1
        
          
          
          
        
        300000.0000000000
        PA
        USD
        302257.3200000000
        0.1216681284
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-10-17
          Floating
          4.259000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
        N/A
        MSBAM 2014-C15 A4
        61763KBA1
        
          
          
        
        300000.0000000000
        PA
        USD
        301580.6700000000
        0.1213957554
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-04-17
          Fixed
          4.051000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        MSBAM 2014-C19 A4
        61764PBU5
        
          
          
          
        
        180167.0000000000
        PA
        USD
        178749.5900000000
        0.0719523619
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-12-17
          Fixed
          3.526000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOSAIC SOLAR LOAN TRUST
        N/A
        MSAIC 2020-2A A
        61946PAA1
        
          
          
        
        149761.5300000000
        PA
        USD
        134217.8400000000
        0.0540269245
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2046-08-20
          Fixed
          1.440000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Mount Sinai Hospital
        549300IJEDK5LH7YPT15
        MSINAI 3.831 07/01/35 2017
        623115AC6
        
          
          
        
        1400000.0000000000
        PA
        USD
        1319395.5000000000
        0.5310984069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-07-01
          Fixed
          3.831000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIO Inc.
        549300JBU4TV5OCKJV96
        NIO 0.5 02/01/27
        62914VAF3
        
          
          
          
        
        325000.0000000000
        PA
        USD
        255116.1800000000
        0.1026923290
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          0.500000000000
          N
          N
          N
          N
          Y
          
            
              NIO Inc.
              NIO Inc. SPON ADS
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Nature Conservancy
        549300GJ1IZME7V1JJ28
        NACONV 1.154 07/01/27 A
        63902HAK5
        
          
          
        
        430000.0000000000
        PA
        USD
        378184.2500000000
        0.1522311185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.154000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW JERSEY ST EDL FACS AUTH
        549300UTOO4X537XXG70
        NJ NJSEDU 3.96 07/01/2048
        6460667H7
        
          
          
        
        1000000.0000000000
        PA
        USD
        891052.6000000000
        0.3586768458
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2048-07-01
          Fixed
          3.958000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK TRANSN DEV CORP
        N/A
        NY NYTTRN 3.47 07/01/2028
        650116BD7
        
          
          
        
        500000.0000000000
        PA
        USD
        458501.3500000000
        0.1845612908
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-07-01
          Fixed
          3.473000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK TRANSN DEV CORP
        N/A
        NY NYTTRN 4.25 09/01/2035
        650117AA2
        
          
          
        
        555000.0000000000
        PA
        USD
        550962.2100000000
        0.2217797105
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.248000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northeastern University
        549300I2J5CUY7XEVC78
        NEUNIV 5.285 03/01/32
        664675AM7
        
          
          
          
        
        100000.0000000000
        PA
        USD
        106291.8100000000
        0.0427858144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          5.285000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        O'Reilly Automotive Inc.
        549300K2RLMQL149Q332
        ORLY 3.8 09/01/22
        67103HAC1
        
          
          
          
        
        155000.0000000000
        PA
        USD
        155173.9600000000
        0.0624624254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-01
          Fixed
          3.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ochsner Clinic Foundation
        N/A
        OSCFND 5.897 05/15/45
        675553AA9
        
          
          
          
        
        400000.0000000000
        PA
        USD
        469733.6400000000
        0.1890826427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          5.897000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ochsner Lsu Health System North Louisiana
        N/A
        OLHSNL 2.51 05/15/31 2021
        67555JAA4
        
          
          
          
        
        1250000.0000000000
        PA
        USD
        1022987.0800000000
        0.4117846457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          2.510000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OKLAHOMA DEV FIN AUTH
        549300PXGPHUWC32DJ91
        OK OKSMED 5.45 08/15/2028
        67884XCP0
        
          
          
        
        770000.0000000000
        PA
        USD
        787042.3300000000
        0.3168094234
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-08-15
          Fixed
          5.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OKLAHOMA DEV FIN AUTH
        549300PXGPHUWC32DJ91
        OK OKSMED 4.65 08/15/2030
        67884XCQ8
        
          
          
        
        130000.0000000000
        PA
        USD
        131774.9800000000
        0.0530435961
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-08-15
          Fixed
          4.650000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OKLAHOMA ST UNIV
        N/A
        OK OKSHGR 3.43 09/01/2036
        679191JR8
        
          
          
        
        100000.0000000000
        PA
        USD
        91990.4400000000
        0.0370290608
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-09-01
          Fixed
          3.427000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        One Market Plaza Trust
        N/A
        OMPT 2017-1MKT A
        68245HAA2
        
          
          
        
        710000.0000000000
        PA
        USD
        707370.7300000000
        0.2847390853
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2032-02-10
          Fixed
          3.613900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OREGON ST UNIV
        549300UBMR6O3SFCEV73
        OR ORSHGR 3.42 03/01/2060
        68608WAL6
        
          
          
        
        1000000.0000000000
        PA
        USD
        879364.5000000000
        0.3539720160
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2060-03-01
          Fixed
          3.424000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ottawa Ontario
        5493007HQAUURLO7D125
        OTTAWA 2.5 05/11/51
        689551FG9
        
          
          
        
        1240000.0000000000
        PA
        
        728440.4500000000
        0.2932203138
        Long
        DBT
        MUN
        CA
        N
        
        2
        
          2051-05-11
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pattern Energy Operations LP / Pattern Energy Operations Inc
        254900P898KPCM50SP51
        PEGI 4.5 08/15/28 144A
        70339PAA7
        
          
          
          
        
        250000.0000000000
        PA
        USD
        234078.7500000000
        0.0942240983
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-08-15
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PeaceHealth
        PLDU35L52IYZUL5SMS69
        PEAHEA 1.375 11/15/25 2020
        70462GAB4
        
          
          
          
        
        1000000.0000000000
        PA
        USD
        926142.3100000000
        0.3728015636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          1.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENNSYLVANIA ST INDL DEV AUTH
        N/A
        PA PASDEV 3.56 07/01/2024
        709193LY0
        
          
          
        
        505000.0000000000
        PA
        USD
        504240.2300000000
        0.2029726362
        Long
        DBT
        MUN
        US
        Y
        
        2
        
          2024-07-01
          Fixed
          3.556000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILADELPHIA PA REDEV AUTH
        N/A
        PA PHIDEV 2.24 09/01/2029
        717868GQ0
        
          
          
        
        145000.0000000000
        PA
        USD
        129785.9800000000
        0.0522429607
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-09-01
          Fixed
          2.239000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILADELPHIA PA REDEV AUTH
        N/A
        PA PHIDEV 2.34 09/01/2030
        717868GR8
        
          
          
        
        1000000.0000000000
        PA
        USD
        889272.8000000000
        0.3579604201
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.339000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILADELPHIA PA
        549300IVFOPB4AG7UL47
        PA PHIUTL 4.19 10/01/2037
        717893L25
        
          
          
        
        665000.0000000000
        PA
        USD
        650987.9200000000
        0.2620432215
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-10-01
          Fixed
          4.189000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prologis, L.P.
        GL16H1DHB0QSHP25F723
        PLD 3.25 10/01/26
        74340XBK6
        
          
          
          
        
        165000.0000000000
        PA
        USD
        162470.9300000000
        0.0653996865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          3.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank U.A.
        DG3RU1DBUFHT4ZF9WN62
        RABOBK 3.875 09/26/23 144A
        74977RDE1
        
          
          
          
        
        250000.0000000000
        PA
        USD
        252479.2200000000
        0.1016308692
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2023-09-26
          Fixed
          3.875000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regency Centers, L.P.
        5493008PTR2GAOYBXW28
        REG 3.75 06/15/24
        75884RAT0
        
          
          
          
        
        300000.0000000000
        PA
        USD
        300756.1100000000
        0.1210638439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reinsurance Group of America, Incorporated
        LORM1GNEU1DKEW527V90
        RGA 4.7 09/15/23 MTN
        759351AL3
        
          
          
          
        
        164000.0000000000
        PA
        USD
        166855.4900000000
        0.0671646106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reinsurance Group of America, Incorporated
        LORM1GNEU1DKEW527V90
        RGA 3.95 09/15/26
        759351AM1
        
          
          
          
        
        250000.0000000000
        PA
        USD
        249299.5500000000
        0.1003509515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIVERSIDE CNTY CALIF
        254900CB5HEOBAVTY629
        CA RIV 2.96 02/15/2027
        76913CBB4
        
          
          
        
        670000.0000000000
        PA
        USD
        645377.5700000000
        0.2597848782
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.963000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIVERSIDE CNTY CALIF
        254900CB5HEOBAVTY629
        CA RIV 3.07 02/15/2028
        76913CBC2
        
          
          
        
        670000.0000000000
        PA
        USD
        641357.3700000000
        0.2581666206
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.070000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royalty Pharma PLC
        549300FGFN7VOK8BZR03
        RPRX 3.3 09/02/40
        78081BAL7
        
          
          
          
        
        1250000.0000000000
        PA
        USD
        979294.5800000000
        0.3941970329
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2040-09-02
          Fixed
          3.300000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royalty Pharma PLC
        549300FGFN7VOK8BZR03
        RPRX 2.15 09/02/31
        78081BAN3
        
          
          
          
        
        350000.0000000000
        PA
        USD
        282189.4600000000
        0.1135901802
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-09-02
          Fixed
          2.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russell Investments
        5493008YG7V0FQCJQI74
        Russell Investments Term Loan B 300 2025-05-01
        78249LAD2
        
          
          
        
        383619.9900000000
        PA
        USD
        380023.5500000000
        0.1529714949
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-05-01
          Floating
          3.230000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA Tower Trust
        N/A
        SBATOW 3.869 10/08/24 144A
        78403DAH3
        
          
          
          
        
        500000.0000000000
        PA
        USD
        502425.5000000000
        0.2022421500
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2049-10-15
          Fixed
          3.869000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLG OFFICE TRUST
        N/A
        SLG 2021-OVA A
        78449RAA3
        
          
          
        
        1013000.0000000000
        PA
        USD
        904904.1900000000
        0.3642525488
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2041-07-15
          Fixed
          2.585000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLG OFFICE TRUST
        N/A
        SLG 2021-OVA C
        78449RAG0
        
          
          
        
        835000.0000000000
        PA
        USD
        715866.1200000000
        0.2881587484
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2041-07-15
          Fixed
          2.851000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SS&C Technologies
        549300KY09TR3J12JU49
        SS&C Technologies Term Loan B-3 175 2025-04-01
        78466DBD5
        
          
          
        
        45851.9100000000
        PA
        USD
        45254.1800000000
        0.0182162383
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-01
          Floating
          3.560000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SS&C Technologies
        N/A
        SS&C Technologies Term Loan B-4 175 2025-04-01
        78466DBE3
        
          
          
        
        37221.6300000000
        PA
        USD
        36736.4100000000
        0.0147875666
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-01
          Floating
          2.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STWD TRUST 2021-LIH
        N/A
        STWD 2021-LIH E
        78486EAQ1
        
          
          
        
        955000.0000000000
        PA
        USD
        931912.0200000000
        0.3751240543
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2036-11-17
          Floating
          3.300000100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SACRAMENTO CNTY CALIF
        549300M77I6MNR6S4802
        CA SACGEN 5.73 08/15/2023
        786091AD0
        
          
          
        
        340000.0000000000
        PA
        USD
        345629.9600000000
        0.1391269874
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-15
          Variable
          5.730000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAN BERNARDINO CNTY CALIF
        N/A
        CA SBDGEN 6.02 08/01/2023
        796839BP2
        
          
          
        
        145000.0000000000
        PA
        USD
        148873.8500000000
        0.0599264319
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-01
          Fixed
          6.020000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scentre Group Trust 1 / Scentre Group Trust 2
        N/A
        SCGAU 4.375 05/28/30 144A
        80622GAE4
        
          
          
          
        
        615000.0000000000
        PA
        USD
        614333.7800000000
        0.2472887712
        Long
        DBT
        CORP
        AU
        Y
        
        2
        
          2030-05-28
          Fixed
          4.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Self-Help Federal Credit Union(North Carolina)
        549300UHEEV73TKCZY62
        SLFFCU 2.5 06/27/22
        81632NAG0
        
          
          
        
        400000.0000000000
        PA
        USD
        401247.2800000000
        0.1615147173
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2022-06-27
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELBY CNTY TENN HEALTH EDL & HSG FACS BRD
        N/A
        TN SHEMED 4 09/01/2022
        821697P45
        
          
          
        
        250000.0000000000
        PA
        USD
        248902.4300000000
        0.1001910982
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-09-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN OHIO PORT AUTH
        N/A
        OH SHNTRN 6.5 12/01/2030
        84355AAB8
        
          
          
        
        470000.0000000000
        PA
        USD
        448025.9500000000
        0.1803446111
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-12-01
          Fixed
          6.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Block Inc
        549300OHIIUWSTIZME52
        SQ 0.125 03/01/25
        852234AF0
        
          
          
          
        
        215000.0000000000
        PA
        USD
        240665.6300000000
        0.0968755257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          0.125000000000
          N
          N
          N
          N
          Y
          
            
              Block Inc
              Block Inc CL A
              USD
              
                
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Stanford Health Care
        5493005311WCPXQGDG42
        STNFHC 3.31 08/15/30 2020
        85434VAB4
        
          
          
          
        
        595000.0000000000
        PA
        USD
        574096.6300000000
        0.2310920460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          3.310000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corporation
        OQSJ1DU9TAOC51A47K68
        SBUX 3.75 12/01/47
        855244AM1
        
          
          
          
        
        275000.0000000000
        PA
        USD
        233445.5300000000
        0.0939692072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corporation
        OQSJ1DU9TAOC51A47K68
        SBUX 4.45 08/15/49
        855244AU3
        
          
          
        
        750000.0000000000
        PA
        USD
        696046.9100000000
        0.2801808897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-08-15
          Fixed
          4.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corporation
        OQSJ1DU9TAOC51A47K68
        SBUX 2.55 11/15/30
        855244AZ2
        
          
          
        
        990000.0000000000
        PA
        USD
        860445.8900000000
        0.3463566773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          2.550000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMIT 2022-BVUE MORTGAGE TRUST
        N/A
        SUMMT 2022-BVUE A
        865592AA7
        
          
          
        
        1615000.0000000000
        PA
        USD
        1487160.3100000000
        0.5986290475
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2041-02-12
          Fixed
          2.790000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Trust Bank, Limited
        5493006GGLR4BTEL8O61
        SUMITR 1.55 03/25/26 144A
        86563VAV1
        
          
          
        
        1500000.0000000000
        PA
        USD
        1372856.3400000000
        0.5526180854
        Long
        DBT
        CORP
        JP
        Y
        
        2
        
          2026-03-25
          Fixed
          1.550000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUSTAINABLE ENERGY UTIL INC DEL
        N/A
        DE SSTPWR 2.34 09/15/2029
        86932UCH6
        
          
          
        
        900000.0000000000
        PA
        USD
        823123.5300000000
        0.3313332473
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.344000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIAA Asset Management Finance Company, LLC
        N/A
        TIAAGL 4.125 11/01/24 144A
        87246YAC0
        
          
          
          
        
        160000.0000000000
        PA
        USD
        161144.4200000000
        0.0648657243
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2024-11-01
          Fixed
          4.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thomas Jefferson University
        DB1TWPCZX5RK7VR27A68
        TJUNIV 3.847 11/01/57
        88444NAS7
        
          
          
          
        
        2100000.0000000000
        PA
        USD
        1775984.2600000000
        0.7148898198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-11-01
          Fixed
          3.847000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toll Brothers Finance Corp.
        N/A
        TOL 4.35 02/15/28
        88947EAT7
        
          
          
          
        
        600000.0000000000
        PA
        USD
        573794.9800000000
        0.2309706224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.350000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto Metropolitan Municipality Ontario
        54930037NB6NXS8EKP78
        TRNT 2.6 09/24/39
        891288DT6
        
          
          
          
        
        1060000.0000000000
        PA
        
        686810.8300000000
        0.2764630755
        Long
        DBT
        MUN
        CA
        N
        
        2
        
          2039-09-24
          Fixed
          2.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRICOLOR AUTO SECURITIZATION TRUST
        N/A
        TAST 2021-1A A
        89615BAA3
        
          
          
          
        
        124741.0300000000
        PA
        USD
        124312.1600000000
        0.0500395750
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2024-04-15
          Fixed
          0.740000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        245 Park Avenue Trust 2017
        N/A
        PRKAV 2017-245P A
        90187LAA7
        
          
          
        
        800000.0000000000
        PA
        USD
        757524.2400000000
        0.3049274589
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2037-06-05
          Fixed
          3.508000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USAA Capital Corp.
        5493007XLF4LU3U2W757
        USAACA 2.125 05/01/30
        90327QD55
        
          
          
          
        
        885000.0000000000
        PA
        USD
        779194.6500000000
        0.3136504841
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-05-01
          Fixed
          2.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USI Inc
        N/A
        USI Inc Term Loan B (Add-on) 300 2024-05-01
        90351NAE5
        
          
          
        
        167125.0100000000
        PA
        USD
        165850.6800000000
        0.0667601428
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-01
          Floating
          4.310000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        U.S. Bancorp.
        N1GZ7BBF3NP8GI976H15
        USB 3.6 09/11/24 MTN
        91159HHK9
        
          
          
          
        
        493000.0000000000
        PA
        USD
        495771.2700000000
        0.1995636121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-11
          Fixed
          3.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIV CALIF REGTS MED CTR
        RRR42I7GG51DB5HDQR14
        CA UNVHGR 3.71 05/15/2120
        913366KD1
        
          
          
        
        900000.0000000000
        PA
        USD
        681400.5300000000
        0.2742852586
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2120-05-15
          Fixed
          3.706000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPTOWN DEV AUTH TEX
        N/A
        TX UTWDEV 2.58 09/01/2031
        916856HB6
        
          
          
        
        100000.0000000000
        PA
        USD
        88523.4400000000
        0.0356334836
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-09-01
          Fixed
          2.581000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vancouver, British Columbia
        549300WQBP3HPFWQXI92
        VANC 2.3 11/05/31
        921577RP9
        
          
          
        
        1750000.0000000000
        PA
        
        1226722.5500000000
        0.4937946143
        Long
        DBT
        MUN
        CA
        N
        
        2
        
          2031-11-05
          Fixed
          2.300000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ventas Realty L.P./Ventas Capital Corp.
        32SXKSJ72K64GM3HOU64
        VTR 3.5 02/01/25
        92277GAE7
        
          
          
          
        
        500000.0000000000
        PA
        USD
        495750.7400000000
        0.1995553481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VZ 3.4 03/22/41
        92343VGK4
        
          
          
          
        
        1250000.0000000000
        PA
        USD
        1055152.7800000000
        0.4247323570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.400000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VZ 2.355 03/15/32 WI
        92343VGN8
        
          
          
        
        1000000.0000000000
        PA
        USD
        841786.5900000000
        0.3388457191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.355000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Paramount Global
        5KYC8KF17ROCY24M3H09
        PARA 4.95 01/15/31
        92556HAB3
        
          
          
          
        
        985000.0000000000
        PA
        USD
        977425.3600000000
        0.3934446128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          4.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        VOD 6.15 02/27/37
        92857WAQ3
        
          
          
          
        
        185000.0000000000
        PA
        USD
        205001.2500000000
        0.0825194851
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2037-02-27
          Fixed
          6.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        VOD 4.375 02/19/43
        92857WBD1
        
          
          
          
        
        70000.0000000000
        PA
        USD
        63586.4300000000
        0.0255955486
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2043-02-19
          Fixed
          4.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alon USA Energy
        N/A
        Alon USA Energy TLb 800 2018-11-09
        02052FAB5
        
          
          
        
        300000.0000000000
        PA
        
        306990.5200000000
        0.1235733911
        Long
        LON
        CORP
        US
        N
        
        2
        
          2018-11-09
          Floating
          N/A
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alon USA Energy
        N/A
        Alon USA Energy TLb 800 2018-11-09
        02052FAB5
        
          
          
        
        465000.0000000000
        PA
        
        473893.7100000000
        0.1907572024
        Long
        LON
        CORP
        US
        N
        
        2
        
          2018-11-09
          Floating
          N/A
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alon USA Energy
        N/A
        Alon USA Energy TLb 800 2018-11-09
        02052FAB5
        
          
          
        
        400000.0000000000
        PA
        
        411882.5400000000
        0.1657957457
        Long
        LON
        CORP
        US
        N
        
        2
        
          2018-11-09
          Floating
          N/A
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON ST HSG FIN COMMN
        549300YL1HU59NREG764
        WA WASHSG 4 01/01/2024
        939783TL0
        
          
          
        
        100000.0000000000
        PA
        USD
        99554.5700000000
        0.0400738623
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-01-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alon USA Energy
        N/A
        Alon USA Energy TLb 800 2018-11-09
        02052FAB5
        
          
          
        
        100000.0000000000
        PA
        
        103516.9900000000
        0.0416688616
        Long
        LON
        CORP
        US
        N
        
        2
        
          2018-11-09
          Floating
          N/A
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crocs
        N/A
        Crocs Term Loan B 350 2029-01-08
        944YRFII5
        
          
        
        200000.0000000000
        PA
        USD
        195791.6000000000
        0.0788123098
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-08
          Floating
          3.770000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust 2015-Nxs3
        549300ZVNWG0TX42H716
        WFCM 2015-NXS3 A4
        94989VAD1
        
          
          
        
        340000.0000000000
        PA
        USD
        337738.4600000000
        0.1359504092
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-09-17
          Fixed
          3.617000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WestRock Company
        549300JEB576INN13W07
        WRK 3 09/15/24
        96145DAB1
        
          
          
          
        
        375000.0000000000
        PA
        USD
        371202.0700000000
        0.1494205703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WISCONSIN ST HEALTH & EDL FACS AUTH
        549300ISNGXS0VHGVD41
        WI WISMED 3.94 08/15/2041
        97712D7X8
        
          
          
        
        335000.0000000000
        PA
        USD
        304587.0900000000
        0.1226059345
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-08-15
          Fixed
          3.940000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WISCONSIN ST HEALTH & EDL FACS AUTH
        549300ISNGXS0VHGVD41
        WI WISMED 4.19 08/15/2055
        97712D7Y6
        
          
          
        
        190000.0000000000
        PA
        USD
        169611.8400000000
        0.0682741286
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2055-08-15
          Fixed
          4.190000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YMCA Greater New York
        N/A
        YMCANY 3.23 08/01/32 2020
        98425BAN6
        
          
          
        
        375000.0000000000
        PA
        USD
        343784.0300000000
        0.1383839422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-08-01
          Fixed
          3.230000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YMCA Greater New York
        N/A
        YMCANY 2.303 08/01/26
        98425BAU0
        
          
          
        
        765000.0000000000
        PA
        USD
        722626.3700000000
        0.2908799628
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-01
          Fixed
          2.303000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zelis Healthcare
        N/A
        Zelis Healthcare Term Loan B 350 2026-09-01
        98932TAD5
        
          
          
        
        466705.4100000000
        PA
        USD
        464488.5600000000
        0.1869713321
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-01
          Floating
          3.710000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vena Energy Capital Pte. Ltd
        254900WSETM7TQMYGS40
        VENAEN 3.133 02/26/25 EMTN
        Y936EJAA9
        
          
          
          
        
        1380000.0000000000
        PA
        USD
        1331800.9500000000
        0.5360919928
        Long
        DBT
        CORP
        SG
        Y
        
        2
        
          2025-02-26
          Fixed
          3.133000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thermo Fisher Scientific Inc
        HCHV7422L5HDJZCRFL38
        TMO 2.375 04/15/32
        883556CJ9
        
          
          
          
        
        305000.0000000000
        PA
        
        321806.4900000000
        0.1295372875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          2.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Yuzhou Group Holdings Company Ltd
        213800MP59KHGJSPHE82
        YUZHOU 6.35 01/13/27
        G9884AAC6
        
          
          
          
        
        255000.0000000000
        PA
        USD
        35700.0000000000
        0.0143703788
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2027-01-13
          Fixed
          6.350000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KWG Group Holdings Limited
        549300LK82ZOM9ZE7H90
        KWGPRO 6 08/14/26
        G53224BJ2
        
          
          
          
        
        475000.0000000000
        PA
        USD
        167556.2500000000
        0.0674466886
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2026-08-14
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THE MONTREAL EXCHANGE / BOURSE DE MONTREAL
        N/A
        Ten-Year Government of Canada Bond Futures,Jun-2022,Composite
        N/A
        
          
          
        
        -15.0000000000
        NC
        
        115683.4600000000
        0.0465662505
        N/A
        DIR
        CORP
        CA
        N
        
        2
        
          
            
              EUREX Clearing
              529900LN3S50JPU47S06
            
            Short
            
              
                CAN 10 YR BOND FUT
                BBG011K9TST0
              
            
            2022-06-21
            -2043249.2500000000
            CAD
            115683.4600000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        EURO-BUND FUTURE  JUN22
        N/A
        
          
          
          
        
        -44.0000000000
        NC
        
        421574.8400000000
        0.1696972029
        N/A
        DCO
        CORP
        DE
        N
        
        2
        
          
            
              EUREX Clearing
              529900LN3S50JPU47S06
            
            Short
            
              
                EURO-BUND FUTURE
                BBG012FFPKW7
              
            
            2022-06-08
            -7157575.8500000000
            EUR
            421574.8400000000
          
        
        
          N
          N
          N
        
      
      
        Xplornet
        N/A
        Xplornet First-lien Term Loan 400 2028-09-12
        C8614YAD5
        
          
        
        268650.0000000000
        PA
        USD
        264200.6200000000
        0.1063491034
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-09-12
          Floating
          4.120000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stoneco Ltd
        549300O1A9LEF0XZCR35
        STNE 3.95 06/16/28 REGS
        G85158AA4
        
          
          
          
        
        1200000.0000000000
        PA
        USD
        988476.0000000000
        0.3978928448
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2028-06-16
          Fixed
          3.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIVERSEY INC 2021 TERM LOAN B
        N/A
        DIVERSEY INC 2021 TERM LOAN B
        N2611UAF2
        
          
        
        1246.8800000000
        PA
        USD
        1207.2900000000
        0.0004859724
        Long
        LON
        CORP
        NL
        N
        
        2
        
          2028-09-29
          Floating
          0.0000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        B9D0NRDJ9
        
          
        
        22395000.0000000000
        OU
        Swap Contract Amount
        USD
        1961168.1700000016
        0.7894321989
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-06-16
            -2969.519999999553
            USD
            0.000000000000
            USD
            22395000.0000000000
            USD
            1951614.65
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0NRCV3
        
          
        
        9835000.0000000000
        OU
        Swap Contract Amount
        USD
        -670358.5300000005
        -0.2698405045
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            -63754.150000000370
            USD
            0.000000000000
            USD
            9835000.0000000000
            USD
            -613261.02
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        B9D0NRE74
        
          
        
        3015000.0000000000
        OU
        Swap Contract Amount
        USD
        300620.4700000001
        0.1210092445
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            -47416.700000000186
            USD
            0.000000000000
            USD
            3015000.0000000000
            USD
            346151.67
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0QKZP3
        
          
        
        8400000.0000000000
        OU
        Swap Contract Amount
        USD
        -769777.95
        -0.3098599646
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2029-03-16
            -514106.410000000150
            USD
            0.000000000000
            USD
            8400000.0000000000
            USD
            -262264.68
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0QP1P9
        
          
        
        3000000.0000000000
        OU
        Swap Contract Amount
        USD
        -138390.68999999986
        -0.0557066285
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-03-16
            -2347.000000000000
            USD
            0.000000000000
            USD
            3000000.0000000000
            USD
            -136279.18999999997
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S9D0RP5D1 CDS USD R F  5.00000 1 CCPCDX;S9D0RP5D1 CDS USD P V 03MEVENT 2 CCPCDX
        S9D0RP5D1
        
          
        
        2380000.0000000000
        OU
        Swap Contract Amount
        USD
        48614.62000000004
        0.0195689217
        N/A
        DO
        CORP
        US
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                Markit CDX North America High Yield Index Series 38
                Markit CDX North America High Yield Index Series 38
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-20
            66164.000000000000
            USD
            0.000000000000
            USD
            2380000.0000000000
            USD
            -17303.29
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0RR5D7
        
          
        
        1980000.0000000000
        OU
        Swap Contract Amount
        USD
        -179604.77000000002
        -0.0722965989
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-06-15
            -6771.000000000000
            USD
            0.000000000000
            USD
            1980000.0000000000
            USD
            -172844.8
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        B9D0RQKW0
        
          
        
        4365000.0000000000
        OU
        Swap Contract Amount
        USD
        178978.91999999993
        0.0720446745
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-06-15
            116038.200000000190
            USD
            0.000000000000
            USD
            4365000.0000000000
            USD
            62940.720000000016
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0RZOM8
        
          
        
        4185000.0000000000
        OU
        Swap Contract Amount
        USD
        3475.1400000001304
        0.0013988537
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-06-15
            -2755.000000000000
            USD
            0.000000000000
            USD
            4185000.0000000000
            USD
            6226.89
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0RZNZ0
        
          
        
        1770000.0000000000
        OU
        Swap Contract Amount
        USD
        -6829.649999999907
        -0.0027491501
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2042-06-15
            -1113.000000000000
            USD
            0.000000000000
            USD
            1770000.0000000000
            USD
            -5718.62
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        B9D0RZPA3
        
          
        
        17680000.0000000000
        OU
        Swap Contract Amount
        USD
        91311.89999999851
        0.0367559270
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-06-15
            -4625.000000000000
            USD
            0.000000000000
            USD
            17680000.0000000000
            USD
            95936.9
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley LCH
        WAM6YERMS7OXFZUOY219
        Morgan Stanley LCH
        S9D0RZQ12
        
          
        
        14090000.0000000000
        OU
        Swap Contract Amount
        USD
        -60029.460000000894
        -0.0241637557
        N/A
        DIR
        CORP
        N/A
        N
        
        2
        
          
            
              Morgan Stanley LCH
              WAM6YERMS7OXFZUOY219
            
            
              
                United States SOFR Rate
                United States SOFR Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            -5013.000000000000
            USD
            0.000000000000
            USD
            14090000.0000000000
            USD
            -55092.9
          
        
        
          N
          N
          N
        
      
    
    
      2022-06-29
      Domini Investment Trust
      Carole M. Laible
      Carole M. Laible
      President
    
  
  XXXX




HTML

Domini Impact Equity Fund

Portfolio of Investments

April 30, 2022 (Unaudited)

 

Security

   Shares      Value  

Long Term Investments – 99.4%

     

Common Stocks – 99.4%

     

Communication Services – 9.3%

     

Alphabet, Inc., Class A (a)

     19,050      $ 43,475,719  

Altice USA, Inc., Class A (a)

     8,300        77,024  

AT&T, Inc.

     240,385        4,533,661  

Charter Communications, Inc., Class A (a)

     3,758        1,610,265  

Comcast Corp., Class A

     151,021        6,004,595  

Electronic Arts, Inc.

     9,318        1,099,990  

Lumen Technologies, Inc.

     33,100        332,986  

Match Group, Inc. (a)

     9,100        720,265  

Netflix, Inc. (a)

     14,738        2,805,526  

New York Times Co. (The), Class A

     93,026        3,564,756  

Omnicom Group, Inc.

     6,700        510,071  

Pinterest, Inc., Class A (a)

     19,300        396,036  

Roku, Inc. (a)

     4,000        371,600  

SoftBank Group Corp. ADR

     75,970        1,562,703  

Spotify Technology SA (a)

     3,900        396,435  

Take-Two Interactive Software, Inc. (a)

     3,481        416,014  

TELUS Corp.

     45,694        1,142,807  

T-Mobile US, Inc. (a)

     22,000        2,709,080  

Verizon Communications, Inc.

     125,495        5,810,419  

Walt Disney Co. (The) (a)

     61,393        6,853,301  

Warner Bros Discovery, Inc. (a)

     58,153        1,055,477  
     

 

 

 
        85,448,730  
     

 

 

 

Consumer Discretionary – 12.1%

     

Advance Auto Parts, Inc.

     2,057        410,639  

Amazon.com, Inc. (a)

     14,784        36,747,554  

Aptiv PLC (a)

     9,100        968,240  

Best Buy Co., Inc.

     7,049        633,917  

BorgWarner, Inc.

     8,400        309,372  

Bright Horizons Family Solutions, Inc. (a)

     2,000        228,480  

Chegg, Inc. (a)

     69,618        1,722,349  

Chipotle Mexican Grill, Inc. (a)

     917        1,334,794  

Cie Generale des Etablissements Michelin SCA ADR

     27,250        673,075  

Dollar General Corp.

     7,700        1,828,981  

eBay, Inc.

     20,400        1,059,168  

Etsy, Inc. (a)

     4,300        400,717  

Garmin, Ltd.

     5,246        575,696  

Gildan Activewear, Inc.

     6,800        230,384  

Home Depot, Inc. (The)

     35,251        10,589,401  

Lowe’s Cos., Inc.

     22,641        4,476,805  

MercadoLibre, Inc. (a)

     1,650        1,606,490  

NIKE, Inc., Class B

     42,649        5,318,330  

 

0


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Consumer Discretionary (Continued)

     

NIO, Inc. ADR (a)

     44,300      $ 739,810  

NVR, Inc. (a)

     110        481,383  

O’Reilly Automotive, Inc. (a)

     2,200        1,334,410  

Peloton Interactive, Inc., Class A (a)

     8,900        156,284  

Sony Group Corp. ADR

     41,555        3,575,808  

Starbucks Corp.

     38,967        2,908,497  

Tapestry, Inc.

     9,300        306,156  

Target Corp.

     16,151        3,692,926  

Tesla, Inc. (a)

     28,433        24,758,319  

TJX Cos., Inc.

     37,300        2,285,744  

Ulta Beauty, Inc. (a)

     1,798        713,446  

VF Corp.

     11,800        613,600  

Williams-Sonoma, Inc.

     2,600        339,248  
     

 

 

 
        111,020,023  
     

 

 

 

Consumer Staples – 6.3%

     

AppHarvest, Inc. (a)

     262,185        1,077,580  

Campbell Soup Co.

     6,491        306,505  

Church & Dwight Co., Inc.

     8,212        801,163  

Clorox Co. (The)

     4,100        588,227  

Colgate-Palmolive Co.

     28,025        2,159,326  

Costco Wholesale Corp.

     14,903        7,924,223  

Estee Lauder Cos., Inc. (The), Class A

     7,177        1,895,159  

General Mills, Inc.

     19,999        1,414,529  

JM Smucker Co. (The)

     3,346        458,168  

Keurig Dr Pepper, Inc.

     29,000        1,084,600  

Kimberly-Clark Corp.

     11,318        1,571,278  

Kraft Heinz Co. (The)

     22,123        943,103  

Kroger Co. (The)

     22,311        1,203,902  

Lamb Weston Holdings, Inc.

     4,900        323,890  

L’Oreal SA ADR

     41,200        2,989,884  

McCormick & Co., Inc.

     8,800        885,016  

Mondelez International, Inc., Class A

     46,347        2,988,455  

PepsiCo, Inc.

     46,531        7,989,838  

Procter & Gamble Co. (The)

     80,625        12,944,344  

SunOpta, Inc. (a)

     314,322        1,725,628  

Sysco Corp.

     16,503        1,410,676  

Unilever PLC ADR

     85,685        3,963,788  

Walgreens Boots Alliance, Inc.

     24,248        1,028,115  
     

 

 

 
        57,677,397  
     

 

 

 

Financials – 9.7%

     

Aflac, Inc.

     20,315        1,163,643  

AGNC Investment Corp.

     18,200        199,836  

Allstate Corp.

     9,100        1,151,514  

 

1


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Financials (Continued)

     

American Express Co.

     18,948      $ 3,310,405  

Annaly Capital Management, Inc.

     47,900        307,518  

Aon PLC, Class A

     6,800        1,958,332  

Banco do Brasil SA ADR

     49,300        331,296  

Bank of America Corp.

     237,054        8,458,087  

Bank of Montreal

     21,231        2,251,335  

Bank of New York Mellon Corp. (The)

     24,200        1,017,852  

Bank of Nova Scotia (The)

     38,466        2,435,667  

BlackRock, Inc.

     4,734        2,957,235  

Canadian Imperial Bank of Commerce

     14,600        1,614,030  

Capital One Financial Corp.

     13,718        1,709,537  

Cboe Global Markets, Inc.

     3,700        418,026  

Charles Schwab Corp. (The)

     50,878        3,374,738  

Chubb, Ltd.

     12,587        2,598,586  

Cincinnati Financial Corp.

     5,111        626,915  

Citigroup, Inc.

     66,408        3,201,530  

CME Group, Inc.

     11,998        2,631,641  

Comerica, Inc.

     4,654        381,163  

Discover Financial Services

     9,700        1,090,862  

DNB Bank ASA ADR

     30,840        599,838  

East West Bancorp, Inc.

     4,800        342,240  

Equitable Holdings, Inc.

     13,200        380,556  

Everest Re Group, Ltd.

     1,300        357,123  

FactSet Research Systems, Inc.

     1,300        524,537  

Fifth Third Bancorp

     23,456        880,304  

First Republic Bank

     6,100        910,242  

Hartford Financial Services Group, Inc. (The)

     11,293        789,720  

Huntington Bancshares, Inc.

     47,600        625,940  

Intercontinental Exchange, Inc.

     18,595        2,153,487  

Invesco, Ltd.

     13,803        253,699  

KeyCorp

     30,900        596,679  

London Stock Exchange Group PLC ADR

     47,500        1,170,875  

M&T Bank Corp.

     4,300        716,552  

Markel Corp. (a)

     450        608,976  

MarketAxess Holdings, Inc.

     1,300        342,693  

Marsh & McLennan Cos., Inc.

     17,030        2,753,751  

MetLife, Inc.

     20,900        1,372,712  

Moody’s Corp.

     5,314        1,681,775  

Morgan Stanley

     46,659        3,760,249  

MSCI, Inc.

     2,705        1,139,481  

Nasdaq, Inc.

     3,900        613,743  

Northern Trust Corp.

     6,600        680,130  

PNC Financial Services Group, Inc. (The)

     14,049        2,333,539  

Principal Financial Group, Inc.

     8,700        592,818  

 

2


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Financials (Continued)

     

Progressive Corp. (The)

     19,858      $ 2,131,955  

Prudential Financial, Inc.

     12,761        1,384,696  

Raymond James Financial, Inc.

     6,450        628,617  

Regions Financial Corp.

     31,528        653,260  

S&P Global, Inc.

     11,558        4,351,587  

T Rowe Price Group, Inc.

     7,411        911,849  

Toronto-Dominion Bank (The)

     60,017        4,335,628  

Travelers Cos., Inc. (The)

     8,216        1,405,429  

Truist Financial Corp.

     44,202        2,137,167  

US Bancorp

     44,916        2,181,121  
     

 

 

 
        89,492,716  
     

 

 

 

Health Care – 13.9%

     

AbbVie, Inc.

     59,552        8,746,998  

ABIOMED, Inc. (a)

     1,400        401,212  

Agilent Technologies, Inc.

     10,000        1,192,700  

Alcon, Inc.

     16,562        1,179,380  

Align Technology, Inc. (a)

     2,500        724,775  

Alnylam Pharmaceuticals, Inc. (a)

     4,100        547,063  

Amgen, Inc.

     18,819        4,388,403  

Becton Dickinson and Co.

     9,451        2,336,193  

Biogen, Inc. (a)

     4,967        1,030,354  

BioMarin Pharmaceutical, Inc. (a)

     6,300        512,505  

Bio-Rad Laboratories, Inc., Class A (a)

     700        358,442  

Bio-Techne Corp.

     1,300        493,597  

Bristol-Myers Squibb Co.

     73,501        5,532,420  

Catalent, Inc. (a)

     5,900        534,304  

Cerner Corp.

     9,823        919,826  

Cooper Cos., Inc. (The)

     1,700        613,768  

CSL, Ltd. ADR

     33,100        3,153,437  

Danaher Corp.

     21,915        5,503,514  

DENTSPLY SIRONA, Inc.

     7,516        300,565  

DexCom, Inc. (a)

     11,750        4,800,815  

Edwards Lifesciences Corp. (a)

     20,672        2,186,684  

Embecta Corp. (a)

     1,930        58,730  

Exact Sciences Corp. (a)

     32,211        1,773,215  

Genmab A/S ADR (a)

     21,800        766,924  

Gilead Sciences, Inc.

     41,946        2,489,076  

GlaxoSmithKline PLC ADR

     84,025        3,804,652  

Guardant Health, Inc. (a)

     3,300        203,610  

Henry Schein, Inc. (a)

     4,800        389,280  

Hologic, Inc. (a)

     80,421        5,789,508  

IDEXX Laboratories, Inc. (a)

     2,819        1,213,523  

Illumina, Inc. (a)

     5,349        1,586,781  

 

3


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Health Care (Continued)

     

Incyte Corp. (a)

     6,500      $ 487,240  

Inspire Medical Systems, Inc. (a)

     15,677        3,225,699  

Insulet Corp. (a)

     2,300        549,677  

Intuitive Surgical, Inc. (a)

     12,000        2,871,600  

Koninklijke Philips NV

     29,076        749,579  

Masimo Corp. (a)

     1,800        203,346  

Merck & Co., Inc.

     84,935        7,532,885  

Mettler-Toledo International, Inc. (a)

     790        1,009,249  

Moderna, Inc. (a)

     11,200        1,505,392  

Neurocrine Biosciences, Inc. (a)

     3,100        279,093  

Novo Nordisk A/S ADR

     55,078        6,278,892  

Organon & Co.

     8,823        285,247  

PerkinElmer, Inc.

     3,900        571,779  

Pfizer, Inc.

     188,670        9,258,037  

QIAGEN N.V. (a)

     7,600        344,812  

Quest Diagnostics, Inc.

     4,115        550,752  

Regeneron Pharmaceuticals, Inc. (a)

     3,442        2,268,657  

ResMed, Inc.

     4,946        989,052  

Sanofi ADR

     73,016        3,815,086  

Seagen, Inc. (a)

     36,816        4,823,264  

STERIS PLC

     3,300        739,365  

Stryker Corp.

     11,228        2,708,867  

Teladoc Health, Inc. (a)

     26,633        899,130  

Teleflex, Inc.

     1,500        428,430  

Thermo Fisher Scientific, Inc.

     13,288        7,347,201  

Veeva Systems, Inc., Class A (a)

     4,506        819,867  

Vertex Pharmaceuticals, Inc. (a)

     8,643        2,361,440  

Waters Corp. (a)

     1,963        594,828  

West Pharmaceutical Services, Inc.

     2,500        787,650  
     

 

 

 
        127,818,370  
     

 

 

 

Industrials – 5.9%

     

ABB, Ltd. ADR

     57,600        1,720,512  

Allegion PLC

     3,100        354,144  

Ameresco, Inc., Class A (a)

     114,019        5,751,118  

AO Smith Corp.

     4,500        262,935  

Assa Abloy AB ADR

     66,242        832,662  

Brambles, Ltd. ADR

     25,600        379,648  

Carrier Global Corp.

     29,200        1,117,484  

CH Robinson Worldwide, Inc.

     4,200        445,830  

Cintas Corp.

     3,000        1,191,780  

Copart, Inc. (a)

     7,100        806,915  

CoStar Group, Inc. (a)

     12,910        821,334  

Cummins, Inc.

     4,741        896,950  

 

4


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Industrials (Continued)

     

Deere & Co.

     9,345      $ 3,528,205  

Deutsche Post AG ADR

     32,837        1,397,543  

Donaldson Co., Inc.

     4,000        196,160  

Emerson Electric Co.

     20,126        1,814,963  

Expeditors International of Washington, Inc.

     5,900        584,513  

Fastenal Co.

     19,358        1,070,691  

Fortune Brands Home & Security, Inc.

     4,800        342,000  

Generac Holdings, Inc. (a)

     2,100        460,698  

Graco, Inc.

     5,700        353,514  

Hubbell, Inc.

     1,800        351,648  

IAA, Inc. (a)

     4,400        161,260  

IDEX Corp.

     2,600        493,532  

Illinois Tool Works, Inc.

     9,452        1,863,084  

Ingersoll Rand, Inc.

     12,969        570,117  

JB Hunt Transport Services, Inc.

     2,800        478,380  

JetBlue Airways Corp. (a)

     10,288        113,271  

Lennox International, Inc.

     1,200        255,828  

Masco Corp.

     8,100        426,789  

Nidec Corp. ADR

     68,956        1,122,604  

Nordson Corp.

     1,800        388,242  

Old Dominion Freight Line, Inc.

     3,500        980,420  

Otis Worldwide Corp.

     14,300        1,041,612  

Owens Corning

     3,133        284,884  

PACCAR, Inc.

     10,600        880,330  

Pentair PLC

     5,500        279,125  

Plug Power, Inc. (a)

     19,000        399,380  

RELX PLC ADR

     64,900        1,911,305  

Rockwell Automation, Inc.

     3,972        1,003,605  

Schneider Electric SE ADR

     94,300        2,684,721  

Siemens AG ADR

     55,236        3,373,262  

Snap-on, Inc.

     1,700        361,233  

Stanley Black & Decker, Inc.

     5,654        679,328  

Toro Co. (The)

     3,700        296,481  

Trane Technologies PLC

     7,707        1,078,132  

Trex Co., Inc. (a)

     4,000        232,760  

United Parcel Service, Inc., Class B

     24,593        4,426,248  

United Rentals, Inc. (a)

     2,500        791,300  

Vestas Wind Systems A/S ADR

     98,600        844,016  

Westinghouse Air Brake Technologies Corp.

     6,191        556,633  

Wolters Kluwer NV ADR

     8,700        876,699  

WW Grainger, Inc.

     1,470        735,044  

Xylem, Inc.

     6,300        507,150  
     

 

 

 
        54,778,022  
     

 

 

 

 

5


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Information Technology – 36.2%

     

Accenture PLC, Class A

     22,200      $ 6,667,992  

Adobe, Inc. (a)

     15,861        6,280,163  

Advanced Micro Devices, Inc. (a)

     54,450        4,656,564  

Analog Devices, Inc.

     17,611        2,718,786  

Apple, Inc.

     519,396        81,882,779  

Applied Materials, Inc.

     29,802        3,288,651  

ASML Holding NV

     13,600        7,667,272  

Atlassian Corp. PLC, Class A (a)

     4,600        1,034,218  

Autodesk, Inc. (a)

     20,177        3,819,102  

Automatic Data Processing, Inc.

     14,168        3,091,174  

Broadcom, Inc.

     13,313        7,380,594  

Cadence Design Systems, Inc. (a)

     9,384        1,415,576  

Cerence, Inc. (a)

     64,444        1,901,098  

Cisco Systems, Inc.

     127,891        6,264,101  

Crowdstrike Holdings, Inc., Class A (a)

     6,600        1,311,816  

DocuSign, Inc. (a)

     19,689        1,594,809  

Dropbox, Inc., Class A (a)

     10,500        228,375  

Enphase Energy, Inc. (a)

     48,960        7,902,144  

First Solar, Inc. (a)

     2,900        211,787  

Fiserv, Inc. (a)

     20,600        2,017,152  

Five9, Inc. (a)

     2,300        253,230  

Infineon Technologies AG ADR

     40,000        1,135,600  

Intel Corp.

     136,879        5,966,556  

International Business Machines Corp.

     30,166        3,988,247  

Intuit, Inc.

     9,322        3,903,587  

KLA Corp.

     5,110        1,631,419  

Lam Research Corp.

     4,700        2,189,072  

Mastercard, Inc., Class A

     28,952        10,520,578  

Micron Technology, Inc.

     37,400        2,550,306  

Microsoft Corp.

     252,461        70,062,977  

NetApp, Inc.

     7,708        564,611  

NortonLifeLock, Inc.

     18,400        460,736  

NVIDIA Corp.

     80,908        15,006,007  

Okta, Inc. (a)

     5,000        596,550  

Palo Alto Networks, Inc. (a)

     14,480        8,127,334  

Paychex, Inc.

     10,931        1,385,286  

Paycom Software, Inc. (a)

     1,700        478,499  

PayPal Holdings, Inc. (a)

     39,200        3,446,856  

QUALCOMM, Inc.

     38,000        5,308,220  

Roper Technologies, Inc.

     3,557        1,671,505  

salesforce.com, Inc. (a)

     32,234        5,671,250  

ServiceNow, Inc. (a)

     6,700        3,203,270  

Shopify, Inc., Class A (a)

     3,800        1,621,916  

Snowflake, Inc., Class A (a)

     8,900        1,525,816  

 

6


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Information Technology (Continued)

     

Splunk, Inc. (a)

     5,200      $ 634,504  

STMicroelectronics NV, Class Y

     120,949        4,429,152  

Synopsys, Inc. (a)

     5,043        1,446,282  

Texas Instruments, Inc.

     31,152        5,303,628  

Twilio, Inc., Class A (a)

     5,600        626,192  

Ultra Clean Holdings, Inc. (a)

     75,874        2,364,993  

Visa, Inc., Class A

     55,500        11,828,715  

VMware, Inc., Class A

     6,696        723,436  

WEX, Inc. (a)

     1,516        252,020  

Workday, Inc., Class A (a)

     6,500        1,343,550  

Zoom Video Communications, Inc., Class A (a)

     20,047        1,996,080  
     

 

 

 
        333,552,133  
     

 

 

 

Materials – 2.3%

     

Air Liquide SA ADR

     79,500        2,739,570  

Air Products and Chemicals, Inc.

     7,359        1,722,521  

AptarGroup, Inc.

     2,100        241,143  

Avery Dennison Corp.

     2,900        523,740  

CRH PLC ADR

     25,800        1,021,164  

Ecolab, Inc.

     8,648        1,464,452  

International Paper Co.

     12,300        569,244  

Linde PLC

     17,030        5,312,679  

Novozymes A/S ADR

     6,937        482,607  

Nucor Corp.

     9,492        1,469,172  

PPG Industries, Inc.

     8,042        1,029,296  

Sherwin-Williams Co. (The)

     7,992        2,197,480  

Smurfit Kappa Group PLC ADR

     8,400        354,564  

Steel Dynamics, Inc.

     6,400        548,800  

Vulcan Materials Co.

     4,344        748,428  

Westrock Co.

     8,885        440,074  
     

 

 

 
        20,864,934  
     

 

 

 

Real Estate – 3.1%

     

Alexandria Real Estate Equities, Inc.

     5,286        962,898  

American Tower Corp.

     15,209        3,665,673  

Boston Properties, Inc.

     4,946        581,650  

CBRE Group, Inc., Class A (a)

     10,822        898,659  

Crown Castle International Corp.

     14,622        2,708,141  

Digital Realty Trust, Inc.

     9,592        1,401,583  

Duke Realty Corp.

     12,900        706,275  

Equinix, Inc.

     3,031        2,179,531  

Equity LifeStyle Properties, Inc.

     5,700        440,496  

Essex Property Trust, Inc.

     2,200        724,394  

Extra Space Storage, Inc.

     4,500        855,000  

Federal Realty Investment Trust

     2,500        292,650  

 

7


Domini Impact Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Security

   Shares      Value  

Real Estate (Continued)

     

Host Hotels & Resorts, Inc.

     23,922      $ 486,813  

Kilroy Realty Corp.

     3,700        259,000  

Mid-America Apartment Communities, Inc.

     3,800        747,384  

Prologis, Inc.

     24,895        3,990,419  

Public Storage

     5,077        1,886,105  

Realty Income Corp.

     18,921        1,312,361  

SBA Communications Corp.

     3,607        1,252,026  

Simon Property Group, Inc.

     11,100        1,309,800  

UDR, Inc.

     10,169        541,092  

Ventas, Inc.

     13,063        725,650  

WP Carey, Inc.

     6,300        508,851  

Zillow Group, Inc., Class A (a)

     7,100        274,415  
     

 

 

 
        28,710,866  
     

 

 

 

Utilities – 0.6%

     

Alliant Energy Corp.

     8,600        505,766  

Consolidated Edison, Inc.

     12,061        1,118,537  

Eversource Energy

     11,458        1,001,429  

Fortis, Inc.

     15,700        763,805  

National Grid PLC ADR

     24,419        1,810,913  

SSE PLC ADR

     36,700        851,440  
     

 

 

 
        6,051,890  
     

 

 

 

Total Investments 99.4% (Cost $596,881,391)

        915,415,081  

Other Assets, less liabilities – 0.6%

        5,159,417  
     

 

 

 

Net Assets – 100.0%

      $ 920,574,498  
     

 

 

 

 

(a)

Non-income producing security.

Abbreviations

ADR — American Depositary Receipt

See Notes to Portfolio of Investments

 

8


Domini International Opportunities Fund

Portfolio of Investments

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Long Term Investments – 98.4%

        

Common Stocks – 98.4%

        

Australia – 3.4%

        

APA Group

     Utilities        3,442      $ 27,817  

ASX, Ltd.

     Diversified Financials        558        33,932  

Brambles, Ltd.

     Commercial & Professional Services        4,200        31,194  

Cochlear, Ltd.

     Health Care Equipment & Services        726        117,614  

CSL, Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        1,410        270,660  

Dexus

     Real Estate        3,114        24,488  

Fortescue Metals Group, Ltd.

     Materials        5,170        78,588  

GPT Group (The)

     Real Estate        5,564        19,894  

IDP Education, Ltd.

     Consumer Services        603        11,252  

Magellan Financial Group, Ltd.

     Diversified Financials        418        4,756  

Mirvac Group

     Real Estate        11,458        19,478  

Reece, Ltd.

     Capital Goods        859        10,497  

Stockland

     Real Estate        6,310        18,370  

Transurban Group

     Transportation        8,991        90,808  
        

 

 

 
           759,348  
        

 

 

 

Austria – 0.3%

        

Erste Group Bank AG

     Banks        939        29,236  

Mondi PLC

     Materials        1,410        26,447  

Verbund AG

     Utilities        192        20,523  
        

 

 

 
           76,206  
        

 

 

 

Belgium – 0.4%

        

Elia Group SA

     Utilities        83        13,212  

Etablissements Franz Colruyt NV

     Food & Staples Retailing        147        5,398  

KBC Group NV

     Banks        819        55,718  

Umicore SA

     Materials        559        21,490  
        

 

 

 
           95,818  
        

 

 

 

Brazil – 0.6%

        

MercadoLibre, Inc. (a)

     Retailing        143        139,229  
        

 

 

 
           139,229  
        

 

 

 

Canada – 2.3%

        

Fortis, Inc.

     Utilities        1,379        67,447  

Saputo, Inc.

     Food, Beverage & Tobacco        800        17,189  

SunOpta, Inc. (a)

     Food, Beverage & Tobacco        9,279        50,942  

 

9


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Canada (Continued)

        

Toronto-Dominion Bank (The)

     Banks        5,239      $ 380,366  
        

 

 

 
           515,944  
        

 

 

 

China – 1.0%

        

BYD Co., Ltd., Class H

     Automobiles & Components        5,360        156,002  

NIO, Inc. ADR (a)

     Automobiles & Components        3,920        65,464  
        

 

 

 
           221,466  
        

 

 

 

Denmark – 4.4%

        

Ambu A/S, Class B

     Health Care Equipment & Services        498        6,555  

Chr Hansen Holding A/S

     Materials        300        23,372  

Coloplast A/S, Class B

     Health Care Equipment & Services        359        48,367  

Demant A/S (a)

     Health Care Equipment & Services        284        12,480  

DSV A/S

     Transportation        558        91,484  

Genmab A/S (a)

     Pharmaceuticals, Biotechnology & Life Sciences        189        66,459  

GN Store Nord A/S

     Health Care Equipment & Services        366        13,736  

Novo Nordisk A/S, Class B

     Pharmaceuticals, Biotechnology & Life Sciences        4,753        542,909  

Novozymes A/S, Class B

     Materials        594        41,407  

Orsted A/S

     Utilities        522        57,748  

Rockwool A/S, Class B

     Capital Goods        35        9,789  

Vestas Wind Systems A/S

     Capital Goods        2,941        74,997  
        

 

 

 
           989,303  
        

 

 

 

Finland – 1.4%

        

Kesko OYJ, Class B

     Food & Staples Retailing        981        24,698  

Kone OYJ, Class B

     Capital Goods        1,032        49,616  

Nokia Oyj (a)

     Technology Hardware & Equipment        15,443        78,297  

Nordea Bank Abp

     Banks        9,834        98,307  

Sampo OYJ, Class A

     Insurance        1,201        58,318  
        

 

 

 
           309,236  
        

 

 

 

France – 8.6%

        

Adevinta ASA (a)

     Media & Entertainment        793        6,168  

Aeroports de Paris (a)

     Transportation        95        13,438  

Air Liquide SA

     Materials        1,389        240,308  

 

10


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

France (Continued)

        

Amundi SA

     Diversified Financials        179      $ 10,763  

BioMerieux

     Health Care Equipment & Services        119        11,329  

BNP Paribas SA

     Banks        3,298        171,006  

Capgemini SE

     Software & Services        469        95,479  

Carrefour SA

     Food & Staples Retailing        1,450        30,751  

Cie Generale des Etablissements Michelin SCA

     Automobiles & Components        476        58,957  

Credit Agricole SA

     Banks        4,363        47,112  

Edenred

     Software & Services        727        36,511  

Eiffage SA

     Capital Goods        232        22,910  

Gecina SA

     Real Estate        160        18,024  

Getlink SE

     Transportation        1,123        20,550  

Hermes International

     Consumer Durables & Apparel        99        122,073  

Kering SA

     Consumer Durables & Apparel        213        113,331  

Legrand SA

     Capital Goods        768        68,056  

L’Oreal SA

     Household & Personal Products        707        257,214  

Nexans SA

     Capital Goods        804        73,234  

Orange SA

     Telecommunication Services        5,860        69,766  

Rexel SA (a)

     Capital Goods        857        17,555  

Sanofi

     Pharmaceuticals, Biotechnology & Life Sciences        3,180        336,110  

Sartorius Stedim Biotech

     Pharmaceuticals, Biotechnology & Life Sciences        70        22,906  

SEB SA

     Consumer Durables & Apparel        85        10,207  

Unibail-Rodamco-Westfield (a)

     Real Estate        300        21,172  

Valeo

     Automobiles & Components        568        10,327  

Worldline SA (a)

     Software & Services        622        24,472  
        

 

 

 
           1,929,729  
        

 

 

 

Germany – 9.0%

        

adidas AG

     Consumer Durables & Apparel        498        100,426  

Allianz SE

     Insurance        1,156        260,833  

Aroundtown SA

     Real Estate        2,864        14,402  

 

11


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Germany (Continued)

        

Beiersdorf AG

     Household & Personal Products        283      $ 28,425  

Carl Zeiss Meditec AG

     Health Care Equipment & Services        104        13,063  

Deutsche Boerse AG

     Diversified Financials        532        92,618  

Deutsche Post AG

     Transportation        2,852        121,844  

Encavis AG

     Utilities        5,804        126,705  

Henkel AG & Co. KGaA

     Household & Personal Products        494        31,350  

Infineon Technologies AG

     Semiconductors & Semiconductor Equipment        3,463        98,291  

Knorr-Bremse AG

     Capital Goods        189        13,478  

LEG Immobilien SE

     Real Estate        207        21,224  

Merck KGaA

     Pharmaceuticals, Biotechnology & Life Sciences        376        69,758  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     Insurance        631        150,267  

Puma SE

     Consumer Durables & Apparel        289        21,264  

SAP SE

     Software & Services        2,933        297,248  

Sartorius AG, Pfd Shares

     Health Care Equipment & Services        104        38,993  

Siemens AG

     Capital Goods        2,386        293,371  

Siemens Energy AG (a)

     Capital Goods        1,260        24,270  

Siemens Healthineers AG

     Health Care Equipment & Services        800        42,776  

Symrise AG

     Materials        374        44,504  

Vonovia SE

     Real Estate        2,269        90,399  

Zalando SE (a)

     Retailing        647        25,457  
        

 

 

 
           2,020,966  
        

 

 

 

Hong Kong – 2.5%

        

AIA Group, Ltd.

     Insurance        35,494        348,722  

Hong Kong Exchanges & Clearing, Ltd.

     Diversified Financials        3,731        158,283  

Techtronic Industries Co., Ltd.

     Capital Goods        4,232        56,495  
        

 

 

 
           563,500  
        

 

 

 

Hungary – 0.1%

        

OTP Bank Nyrt (a)

     Banks        637        18,999  
        

 

 

 
           18,999  
        

 

 

 

Ireland – 1.0%

        

Bank of Ireland Group PLC (a)

     Banks        2,802        16,982  

CRH PLC

     Materials        2,247        89,340  

 

12


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Ireland (Continued)

        

Kerry Group PLC, Class A

     Food, Beverage & Tobacco        456      $ 50,511  

Kingspan Group plc

     Capital Goods        444        41,331  

Smurfit Kappa Group PLC

     Materials        749        31,649  
        

 

 

 
           229,813  
        

 

 

 

Italy – 0.8%

        

A2A S.p.A.

     Utilities        4,467        7,632  

Amplifon S.p.A.

     Health Care Equipment & Services        361        14,402  

DiaSorin SpA

     Health Care Equipment & Services        54        7,074  

Hera SpA

     Utilities        2,430        9,063  

Intesa Sanpaolo SpA

     Banks        50,263        102,422  

Terna—Rete Elettrica Nazionale

     Utilities        4,109        33,513  
        

 

 

 
           174,106  
        

 

 

 

Japan – 20.7%

        

Aeon Co., Ltd.

     Food & Staples Retailing        2,077        39,539  

Asahi Intecc Co., Ltd.

     Health Care Equipment & Services        663        12,833  

Asahi Kasei Corp.

     Materials        3,872        31,821  

Canon, Inc.

     Technology Hardware & Equipment        3,000        69,142  

Central Japan Railway Co.

     Transportation        521        65,695  

Chiba Bank, Ltd. (The)

     Banks        1,900        10,968  

Daifuku Co., Ltd.

     Capital Goods        364        22,419  

Dai-ichi Life Holdings, Inc.

     Insurance        2,705        54,255  

Daiichi Sankyo Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        5,540        139,723  

Daiwa House Industry Co., Ltd.

     Real Estate        1,753        42,212  

Eisai Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        840        36,643  

FANUC Corp.

     Capital Goods        590        90,555  

Fast Retailing Co., Ltd.

     Retailing        169        77,938  

FUJIFILM Holdings Corp.

     Technology Hardware & Equipment        1,075        59,192  

Fukuoka Financial Group, Inc.

     Banks        500        9,151  

Hankyu Hanshin Holdings, Inc.

     Transportation        642        16,972  

Hoya Corp.

     Health Care Equipment & Services        1,129        112,230  

Kao Corp.

     Household & Personal Products        1,346        54,035  

Keio Corp.

     Transportation        352        13,523  

 

13


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Japan (Continued)

        

Keyence Corp.

     Technology Hardware & Equipment        582      $ 234,355  

Kose Corp.

     Household & Personal Products        96        9,872  

Kuraray Co., Ltd.

     Materials        900        7,210  

Kurita Water Industries, Ltd.

     Capital Goods        2,546        87,004  

Lasertec Corp.

     Semiconductors & Semiconductor Equipment        236        31,582  

Lixil Corp.

     Capital Goods        778        13,706  

Makita Corp.

     Capital Goods        743        21,997  

Mitsubishi Estate Co., Ltd.

     Real Estate        3,416        49,842  

Mitsui Fudosan Co., Ltd.

     Real Estate        2,551        54,155  

MS&AD Insurance Group Holdings, Inc.

     Insurance        1,335        39,805  

Murata Manufacturing Co., Ltd.

     Technology Hardware & Equipment        1,833        109,442  

Nidec Corp.

     Capital Goods        1,464        94,803  

Nintendo Co., Ltd.

     Media & Entertainment        363        165,945  

Nippon Paint Holdings Co., Ltd.

     Materials        2,616        20,757  

Nippon Prologis REIT, Inc.

     Real Estate        6        16,634  

Nippon Telegraph & Telephone Corp.

     Telecommunication Services        6,466        190,865  

Nissin Foods Holdings Co., Ltd.

     Food, Beverage & Tobacco        222        15,469  

Nitto Denko Corp.

     Materials        471        31,666  

Nomura Holdings, Inc.

     Diversified Financials        8,705        33,574  

NTT Data Corp.

     Software & Services        1,828        33,760  

Omron Corp.

     Technology Hardware & Equipment        591        34,900  

Ono Pharmaceutical Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences      1,185        30,494  

Oriental Land Co., Ltd.

     Consumer Services        617        93,489  

ORIX Corp.

     Diversified Financials        3,529        64,472  

Otsuka Corp.

     Software & Services        300        9,848  

Rakuten Group, Inc.

     Retailing        2,507        17,653  

Recruit Holdings Co., Ltd.

     Commercial & Professional Services        4,082        148,347  

Renesas Electronics Corp. (a)

     Semiconductors & Semiconductor Equipment        3,343        35,756  

Resona Holdings, Inc.

     Banks        21,740        94,692  

 

14


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Japan (Continued)

        

Rohm Co., Ltd.

     Semiconductors & Semiconductor Equipment        274      $ 19,174  

Santen Pharmaceutical Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        1,109        9,036  

Sekisui House, Ltd.

     Consumer Durables & Apparel        1,713        29,801  

Shimano, Inc.

     Consumer Durables & Apparel        247        43,837  

Shionogi & Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        914        50,926  

Shiseido Co., Ltd.

     Household & Personal Products        1,125        53,269  

Shizuoka Bank, Ltd. (The)

     Banks        1,400        9,073  

SMC Corp.

     Capital Goods        193        93,610  

SoftBank Group Corp.

     Telecommunication Services        3,304        136,120  

Sony Group Corp.

     Consumer Durables & Apparel        3,665        316,818  

Sumitomo Realty & Development Co., Ltd.

     Real Estate        874        23,224  

Sysmex Corp.

     Health Care Equipment & Services        479        31,473  

Terumo Corp.

     Health Care Equipment & Services        2,111        62,938  

Tobu Railway Co., Ltd.

     Transportation        528        11,888  

Tokio Marine Holdings, Inc.

     Insurance        1,766        95,644  

Tokyo Electron, Ltd.

     Semiconductors & Semiconductor Equipment        461        194,840  

Tokyu Corp.

     Transportation        1,598        19,574  

Toray Industries, Inc.

     Materials        4,316        20,489  

TOTO, Ltd.

     Capital Goods        399        13,468  

Toyota Motor Corp.

     Automobiles & Components        32,170        552,106  

Unicharm Corp.

     Household & Personal Products        1,129        39,345  

Welcia Holdings Co., Ltd.

     Food & Staples Retailing        272        5,585  

Yaskawa Electric Corp.

     Capital Goods        705        23,978  

Yokogawa Electric Corp.

     Technology Hardware & Equipment        764        12,200  

Z Holdings Corp.

     Media & Entertainment        7,673        30,173  
        

 

 

 
           4,649,529  
        

 

 

 

 

15


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Luxembourg – 0.2%

        

Eurofins Scientific SE

     Pharmaceuticals, Biotechnology & Life Sciences        375      $ 34,852  
        

 

 

 
           34,852  
        

 

 

 

Netherlands – 8.1%

        

Aalberts NV

     Capital Goods        275        13,363  

ABN AMRO Bank NV

     Banks        2,738        34,037  

Adyen N.V. (a)(b)

     Software & Services        78        130,829  

Akzo Nobel NV

     Materials        484        41,985  

Alfen Beheer BV (a)

     Capital Goods        1,376        123,748  

Arcadis N.V.

     Capital Goods        3,615        150,831  

ASML Holding NV

     Semiconductors & Semiconductor Equipment        1,176        667,425  

Basic-Fit N.V. (a)

     Consumer Services        3,456        144,797  

ING Groep NV

     Banks        11,088        105,050  

JDE Peet’s NV

     Food, Beverage & Tobacco        271        7,973  

Koninklijke Ahold Delhaize NV

     Food & Staples Retailing        2,969        87,573  

Koninklijke DSM NV

     Materials        505        84,895  

Koninklijke KPN NV

     Telecommunication Services        9,338        32,222  

Koninklijke Philips NV

     Health Care Equipment & Services        2,554        66,739  

NN Group NV

     Insurance        776        38,010  

Signify NV

     Capital Goods        362        15,315  

Wolters Kluwer NV

     Commercial & Professional Services        757        76,444  
        

 

 

 
           1,821,236  
        

 

 

 

New Zealand – 0.3%

        

Contact Energy, Ltd.

     Utilities        2,240        11,831  

Meridian Energy, Ltd.

     Utilities        3,308        10,094  

Spark New Zealand, Ltd.

     Telecommunication Services        5,364        17,055  

Xero Ltd. (a)

     Software & Services        382        25,336  
        

 

 

 
           64,316  
        

 

 

 

Norway – 0.6%

        

DNB Bank ASA

     Banks        2,579        50,311  

Kahoot! ASA (a)

     Media & Entertainment        24,130        58,557  

Orkla ASA

     Food, Beverage & Tobacco        2,162        17,662  

Schibsted ASA, Class A

     Media & Entertainment        433        9,084  

 

16


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Norway (Continued)

        

Storebrand ASA

     Insurance        1,289      $ 11,272  
        

 

 

 
           146,886  
        

 

 

 

Singapore – 1.0%

        

DBS Group Holdings, Ltd.

     Banks        3,957        96,142  

STMicroelectronics NV

     Semiconductors & Semiconductor Equipment        3,598        133,025  
        

 

 

 
           229,167  
        

 

 

 

South Africa – 0.4%

        

Clicks Group, Ltd.

     Food & Staples Retailing        540        10,612  

FirstRand, Ltd.

     Diversified Financials        10,937        47,031  

Nedbank Group, Ltd.

     Banks        1,156        16,119  

Sanlam, Ltd.

     Insurance        4,843        20,032  
        

 

 

 
           93,794  
        

 

 

 

South Korea – 0.1%

        

Coupang Inc. (a)

     Retailing        1,988        25,586  
        

 

 

 
           25,586  
        

 

 

 

Spain – 2.5%

        

Acciona SA

     Utilities        68        13,311  

Aena SME SA (a)

     Transportation        201        28,524  

Amadeus IT Group SA (a)

     Software & Services        1,317        82,527  

Banco Bilbao Vizcaya Argentaria SA

     Banks        18,858        98,953  

Banco Santander SA

     Banks        49,680        145,182  

Bankinter SA

     Banks        1,818        10,699  

CaixaBank SA

     Banks        12,659        40,862  

EDP Renovaveis SA

     Utilities        700        16,567  

Grifols SA

         Pharmaceuticals, Biotechnology & Life Sciences        1,310        21,941  

Red Electrica Corp. SA

     Utilities        1,181        23,778  

Siemens Gamesa Renewable Energy SA (a)

     Capital Goods        652        10,385  

Telefonica SA

     Telecommunication Services        14,894        72,454  
        

 

 

 
           565,183  
        

 

 

 

Sweden – 3.5%

        

Assa Abloy AB, Class B

     Capital Goods        2,843        72,040  

Autoliv, Inc.

     Automobiles & Components        282        20,778  

Axfood AB

     Food & Staples Retailing        2,452        72,884  

Castellum AB

     Real Estate        670        13,304  

Essity AB, Class B

     Household & Personal Products        1,842        48,705  

Fabege AB

     Real Estate        753        9,164  

 

17


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Sweden (Continued)

        

H & M Hennes & Mauritz AB, Class B

     Retailing        2,047      $ 25,838  

Industrivarden AB, Class A

     Diversified Financials        794        20,398  

Investment AB Latour, Class B

     Capital Goods        392        10,413  

Kinnevik AB, Class B (a)

     Diversified Financials        718        14,090  

MIPS AB

     Consumer Durables & Apparel        1,661        118,278  

Nibe Industrier AB, Class B

     Capital Goods        4,681        46,017  

Sagax AB, Class B

     Real Estate        544        13,933  

Samhallsbyggnadsbolaget i Norden AB

     Real Estate        24,277        76,461  

Sandvik AB

     Capital Goods        3,118        59,176  

Sinch AB (a)

     Software & Services        2,011        8,911  

Skandinaviska Enskilda Banken AB, Class A

     Banks        4,329        48,675  

SKF AB, Class B

     Capital Goods        1,153        18,882  

SSAB AB, Class A

     Materials        2,181        13,889  

Svenska Cellulosa AB SCA, Class B

     Materials        1,834        35,588  

Svenska Handelsbanken AB, Class A

     Banks        4,388        44,377  
        

 

 

 
           791,801  
        

 

 

 

Switzerland – 7.0%

        

ABB, Ltd.

     Capital Goods        4,938        148,470  

Adecco Group AG

     Commercial & Professional Services        491        18,989  

Chocoladefabriken Lindt & Spruengli AG

     Food, Beverage & Tobacco        6        67,435  

EMS-Chemie Holding AG

     Materials        20        17,881  

Geberit AG

     Capital Goods        101        57,722  

Kuehne + Nagel International AG

     Transportation        164        45,978  

Lonza Group AG

     Pharmaceuticals, Biotechnology & Life Sciences        218        128,818  

Novartis AG

     Pharmaceuticals, Biotechnology & Life Sciences        6,870        608,410  

Sika AG

     Materials        448        137,141  

Sonova Holding AG

     Health Care Equipment & Services        154        55,657  

Straumann Holding AG

     Health Care Equipment & Services        290        34,263  

Swisscom AG

     Telecommunication Services        74        43,851  

Temenos AG

     Software & Services        183        18,513  

Zurich Insurance Group AG

     Insurance        441        201,208  
        

 

 

 
           1,584,336  
        

 

 

 

 

18


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

  

Industry

   Shares     

Value

United Kingdom – 8.9%

        

3i Group PLC

   Diversified Financials      2,794      $45,654

Abrdn PLC

   Diversified Financials      6,365      14,923

Barratt Developments PLC

   Consumer Durables & Apparel      2,954      18,045

Berkeley Group Holdings PLC

   Consumer Durables & Apparel      312      15,799

Bunzl PLC

   Capital Goods      984      37,904

Burberry Group PLC

   Consumer Durables & Apparel      1,159      22,838

Compass Group PLC

   Consumer Services      5,229      110,170

Dr. Martens PLC

   Consumer Durables & Apparel      1,555      4,059

Farfetch Ltd., Class A (a)

   Retailing      900      10,080

Halma PLC

   Technology Hardware & Equipment      1,192      36,532

Hiscox, Ltd.

   Insurance      993      11,773

Informa PLC (a)

   Media & Entertainment      4,373      30,974

Intermediate Capital Group PLC

   Diversified Financials      834      15,935

Intertek Group PLC

   Commercial & Professional Services      469      29,180

J Sainsbury PLC

   Food & Staples Retailing      5,841      17,016

Johnson Matthey PLC

   Materials      539      14,804

Just Eat Takeaway.com NV (a)

   Retailing      560      15,211

Kingfisher PLC

   Retailing      5,946      18,722

Land Securities Group PLC

   Real Estate      2,165      20,273

Legal & General Group PLC

   Insurance      17,466      54,359

Linde PLC

   Materials      1,505      469,500

London Stock Exchange Group PLC

   Diversified Financials      1,050      103,361

National Grid PLC

   Utilities      10,695      158,649

Next PLC

   Retailing      354      26,474

Ocado Group PLC (a)

   Food & Staples Retailing      1,464      16,717

Pennon Group PLC

   Utilities      760      10,545

Schroders PLC

   Diversified Financials      414      14,592

Segro PLC

   Real Estate      3,511      58,690

Spirax-Sarco Engineering PLC

   Capital Goods      214      32,242

SSE PLC

   Utilities      3,119      72,329

Taylor Wimpey PLC

   Consumer Durables & Apparel      10,366      16,278

 

19


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

United Kingdom (Continued)

        

Unilever PLC

     Household & Personal Products        7,383      $ 342,704  

Vodafone Group PLC

     Telecommunication Services        79,035        119,470  

Wise PLC, Class A (a)

     Software & Services        1,277        6,248  
        

 

 

 
           1,992,050  
        

 

 

 

United States – 9.3%

        

Alliant Energy Corp.

     Utilities        700        41,167  

Autodesk, Inc. (a)

     Software & Services        507        95,965  

Campbell Soup Co.

     Food, Beverage & Tobacco        553        26,113  

Clorox Co. (The)

     Household & Personal Products        377        54,088  

Consolidated Edison, Inc.

     Utilities        1,051        97,469  

Copart, Inc. (a)

     Commercial & Professional Services        652        74,100  

Enphase Energy, Inc. (a)

     Semiconductors & Semiconductor Equipment        927        149,618  

Eversource Energy

     Utilities        952        83,205  

Ferguson PLC

     Capital Goods        640        80,163  

General Mills, Inc.

     Food, Beverage & Tobacco        1,781        125,970  

GlaxoSmithKline PLC

     Pharmaceuticals, Biotechnology & Life Sciences        14,933        336,107  

Kroger Co. (The)

     Food & Staples Retailing        2,000        107,920  

McCormick & Co., Inc.

     Food, Beverage & Tobacco        813        81,763  

Nucor Corp.

     Materials        802        124,133  

Oatly Group AB ADR (a)

     Food, Beverage & Tobacco        1,700        6,052  

Pentair PLC

     Capital Goods        506        25,680  

QIAGEN N.V. (a)

     Pharmaceuticals, Biotechnology & Life Sciences        700        31,759  

Schneider Electric SE

     Capital Goods        1,631        233,998  

Spotify Technology SA (a)

     Media & Entertainment        357        36,289  

Swiss Re AG

     Insurance        843        69,282  

Tesla, Inc. (a)

     Automobiles & Components        199        173,281  

Zoom Video Communications, Inc., Class A (a)

     Software & Services        334        33,256  
        

 

 

 
           2,087,378  
        

 

 

 

 

20


Domini International Opportunities Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Warrant – 0.0%

        

Australia – 0.0%

        

Magellan Financial Group, Ltd. (Exp. 04/16/2027) (a)

     Diversified Financials        52      $ 58  
        

 

 

 
           58  
        

 

 

 

Total Investments 98.4% (Cost $23,959,875)

           22,129,835  

Other Assets, less liabilities – 1.6%

           356,605  
        

 

 

 

Net Assets – 100.0%

         $ 22,486,440  
        

 

 

 

 

(a)

Non-income producing security.

(b)

Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2022, the aggregate value of these securities was $130,829, representing 0.6% of net assets.

Abbreviations

ADR — American Depositary Receipt

As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.

See Notes to Portfolio of Investments

 

21


Domini Sustainable Solutions Fund

Portfolio of Investments

April 30, 2022 (Unaudited)

 

Security

   Shares      Value  

Long Term Investments – 93.6%

     

Common Stocks – 93.6%

     

Communication Services – 3.1%

     

New York Times Co. (The), Class A

     22,439      $ 859,863  
     

 

 

 
        859,863  
     

 

 

 

Consumer Discretionary – 12.5%

     

Basic-Fit N.V. (a)

     13,185        552,414  

Chegg, Inc. (a)

     12,141        300,368  

Levi Strauss & Co., Class A

     34,422        623,383  

MIPS AB

     6,170        439,358  

Tesla, Inc. (a)

     1,592        1,386,250  

YETI Holdings, Inc. (a)

     4,199        205,205  
     

 

 

 
        3,506,978  
     

 

 

 

Consumer Staples – 2.0%

     

AppHarvest, Inc. (a)

     64,789        266,283  

SunOpta, Inc. (a)

     53,093        291,480  
     

 

 

 
        557,763  
     

 

 

 

Financials – 15.5%

     

Amalgamated Financial Corp.

     21,663        381,052  

Amundi SA

     6,332        380,743  

East West Bancorp, Inc.

     6,445        459,529  

Federal Agricultural Mortgage Corp., Class C

     8,788        900,155  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     4,548        1,083,064  

Resona Holdings, Inc.

     127,579        555,688  

Storebrand ASA

     66,277        579,575  
     

 

 

 
        4,339,806  
     

 

 

 

Health Care – 20.1%

     

Align Technology, Inc. (a)

     826        239,465  

Cochlear, Ltd.

     4,781        774,532  

DexCom, Inc. (a)

     1,833        748,927  

Exact Sciences Corp. (a)

     5,231        287,967  

GlaxoSmithKline PLC

     36,098        812,480  

Hologic, Inc. (a)

     14,562        1,048,318  

Inspire Medical Systems, Inc. (a)

     2,992        615,634  

Seagen, Inc. (a)

     6,577        861,653  

Teladoc Health, Inc. (a)

     7,239        244,389  
     

 

 

 
        5,633,365  
     

 

 

 

Industrials – 10.9%

     

Alfen Beheer BV (a)

     6,140        552,192  

Ameresco, Inc., Class A (a)

     14,018        707,068  

Arcadis N.V.

     7,687        320,730  

Kurita Water Industries, Ltd.

     20,297        693,608  

Nexans SA

     3,521        320,719  

 

22


Domini Sustainable Solutions Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Shares      Value  

Industrials (Continued)

     

TOMRA Systems ASA

     6,175      $ 244,471  

Watts Water Technologies, Inc., Class A

     1,800        229,428  
     

 

 

 
        3,068,216  
     

 

 

 

Information Technology – 21.7%

     

ASML Holding NV

     1,604        904,287  

Autodesk, Inc. (a)

     2,788        527,713  

Crowdstrike Holdings, Inc., Class A (a)

     1,308        259,978  

Enphase Energy, Inc. (a)

     8,021        1,294,589  

Halma PLC

     8,311        254,715  

Palo Alto Networks, Inc. (a)

     2,553        1,432,948  

STMicroelectronics NV

     20,152        745,060  

Wolfspeed, Inc. (a)

     2,955        271,003  

Zoom Video Communications, Inc., Class A (a)

     3,852        383,544  
     

 

 

 
        6,073,837  
     

 

 

 

Real Estate – 7.0%

     

Alexandria Real Estate Equities, Inc.

     2,746        500,211  

American Tower Corp.

     1,812        436,728  

Kilroy Realty Corp.

     6,258        438,060  

Samhallsbyggnadsbolaget i Norden AB

     183,371        577,534  
     

 

 

 
        1,952,533  
     

 

 

 

Utilities – 0.8%

     

Encavis AG

     10,149        221,559  
     

 

 

 
        221,559  
     

 

 

 

Total Investments –93.6% (Cost $26,964,763)

        26,213,920  

Other Assets, less liabilities – 6.4%

        1,805,158  
     

 

 

 

Net Assets – 100.0%

      $ 28,019,078  
     

 

 

 

 

(a)

Non-income producing security.

As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.

Portfolio Holdings by Country (% Of Net Assets) (Unaudited)

 

United States

     59.7

Netherlands

     8.3

Germany

     4.7

Japan

     4.5

Sweden

     3.6

Norway

     2.9

Australia

     2.8

Singapore

     2.7

France

     2.5

 

23


Domini Sustainable Solutions Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Portfolio Holdings by Country (% Of Net Assets) (Unaudited)

Canada

     1.0

United Kingdom

     0.9

Total

     93.6
  

 

 

 

See Notes to Portfolio of Investments

 

24


Domini Impact International Equity Fund

Portfolio of Investments

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Long Term Investments – 98.8%

        

Common Stocks – 98.8%

        

Australia – 6.9%

        

Bendigo & Adelaide Bank, Ltd.

     Banks        305,470      $ 2,290,747  

BlueScope Steel, Ltd.

     Materials        814,833        11,650,557  

Charter Hall Group

     Real Estate        638,021        6,896,864  

Fortescue Metals Group, Ltd.

     Materials        1,691,907        25,718,294  

Goodman Group

     Real Estate        636,499        10,655,296  

Harvey Norman Holdings, Ltd.

     Retailing        1,050,628        3,764,121  

IDP Education, Ltd.

     Consumer Services        358,591        6,690,970  

IGO, Ltd.

     Materials        1,272,986        11,641,626  

JB Hi-Fi, Ltd.

     Retailing        279,182        10,399,886  

Mirvac Group

     Real Estate        6,693        11,377  

SEEK, Ltd.

     Media & Entertainment        79,250        1,561,946  

WiseTech Global, Ltd.

     Software & Services        252,894        7,885,920  
        

 

 

 
           99,167,604  
        

 

 

 

Austria – 0.4%

        

Raiffeisen Bank International AG

     Banks        124,707        1,419,578  

voestalpine AG

     Materials        155,877        4,056,366  
        

 

 

 
           5,475,944  
        

 

 

 

Belgium – 0.4%

        

D’ieteren Group

     Retailing        23,747        3,811,694  

Elia Group SA

     Utilities        10,256        1,632,533  
        

 

 

 
           5,444,227  
        

 

 

 

Brazil – 0.8%

        

Banco do Brasil SA

     Banks        323,400        2,169,409  

Cia Paranaense de Energia

     Utilities        1,711,100        2,570,693  

Itausa SA

     Banks        3,413,570        6,348,487  

Raia Drogasil SA

     Food & Staples Retailing        2,380        10,059  
        

 

 

 
           11,098,648  
        

 

 

 

China – 1.7%

        

Alibaba Group Holding, Ltd. (a)

     Retailing        202,400        2,469,077  

CSPC Pharmaceutical Group, Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        2,262,000        2,312,796  

Daqo New Energy Corp. ADR (a)

     Semiconductors & Semiconductor Equipment        39,229        1,630,750  

Lenovo Group, Ltd.

     Technology Hardware & Equipment        7,092,000        6,887,097  

SITC International Holdings Co. Ltd.

     Transportation        3,308,000        10,998,533  
        

 

 

 
           24,298,253  
        

 

 

 

Denmark – 1.4%

        

Demant A/S (a)

     Health Care Equipment & Services        47,727        2,097,262  

ISS A/S (a)

     Commercial & Professional Services        204,665        3,359,332  

Novo Nordisk A/S, Class B

     Pharmaceuticals, Biotechnology & Life Sciences        179        20,446  

Pandora A/S

     Consumer Durables & Apparel        160,727        14,112,658  

 

1


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Denmark (Continued)

        

Vestas Wind Systems A/S

     Capital Goods        290      $ 7,395  
        

 

 

 
           19,597,093  
        

 

 

 

Finland – 0.7%

        

Kesko OYJ, Class B

     Food & Staples Retailing        382,330        9,625,712  
        

 

 

 
           9,625,712  
        

 

 

 

France – 8.0%

        

Amundi SA

     Diversified Financials        28,187        1,694,885  

BNP Paribas SA

     Banks        487,256        25,264,893  

Carrefour SA

     Food & Staples Retailing        943,180        20,002,552  

Credit Agricole SA

     Banks        844,634        9,120,410  

Eiffage SA

     Capital Goods        40,163        3,966,043  

Kering SA

     Consumer Durables & Apparel        18        9,577  

L’Oreal SA

     Household & Personal Products        7,398        2,691,465  

Publicis Groupe SA

     Media & Entertainment        227,406        13,652,699  

Rexel SA (a)

     Capital Goods        323,879        6,634,551  

Sanofi

     Pharmaceuticals, Biotechnology & Life Sciences        296,584        31,347,411  
        

 

 

 
           114,384,486  
        

 

 

 

Germany – 6.3%

        

adidas AG

     Consumer Durables & Apparel        33        6,655  

Deutsche Telekom AG

     Telecommunication Services        304,221        5,604,100  

Evonik Industries AG

     Materials        245,927        6,432,558  

GEA Group AG

     Capital Goods        152,450        5,934,337  

Henkel AG & Co. KGaA, Pfd Shs

     Household & Personal Products        83,853        5,384,310  

HUGO BOSS AG

     Consumer Durables & Apparel        240,749        13,501,901  

LEG Immobilien SE

     Real Estate        86,696        8,888,984  

Merck KGaA

     Pharmaceuticals, Biotechnology & Life Sciences        151,052        28,024,265  

Nemetschek SE

     Software & Services        68,259        5,416,648  

Scout24 SE

     Media & Entertainment        45,022        2,847,565  

Telefonica Deutschland Holding AG

     Telecommunication Services        2,168,044        6,520,456  

Wacker Chemie AG

     Materials        8,668        1,375,334  
        

 

 

 
           89,937,113  
        

 

 

 

Hong Kong – 0.7%

        

Swire Properties, Ltd.

     Real Estate        691,800        1,658,118  

Techtronic Industries Co., Ltd.

     Capital Goods        676,500        9,030,964  
        

 

 

 
           10,689,082  
        

 

 

 

Hungary – 0.1%

        

Richter Gedeon Nyrt

     Pharmaceuticals, Biotechnology & Life Sciences        100,312        2,001,142  
        

 

 

 
           2,001,142  
        

 

 

 

India – 0.4%

        

Adani Green Energy, Ltd. (a)

     Utilities        56,424        2,107,960  

Cipla, Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        249,385        3,179,031  

 

2


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

India (Continued)

        

Dr Reddy’s Laboratories, Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        250      $ 13,484  
        

 

 

 
           5,300,475  
        

 

 

 

Ireland – 1.1%

        

Bank of Ireland Group PLC (a)

     Banks        626,638        3,797,868  

CRH PLC

     Materials        318,402        12,584,789  
        

 

 

 
           16,382,657  
        

 

 

 

Israel – 0.8%

        

Check Point Software Technologies, Ltd. (a)

     Software & Services        90,176        11,388,327  
        

 

 

 
           11,388,327  
        

 

 

 

Italy – 3.0%

        

Amplifon S.p.A.

     Health Care Equipment & Services        245,344        9,787,965  

Banco BPM SpA

     Banks        3,929,668        12,381,191  

Intesa Sanpaolo SpA

     Banks        6,378,912        12,998,415  

Moncler SpA

     Consumer Durables & Apparel        55,118        2,871,300  

Pirelli & C Spa

     Automobiles & Components        350,918        1,739,151  

Unipol Gruppo SpA

     Insurance        521,545        2,843,786  
        

 

 

 
           42,621,808  
        

 

 

 

Japan – 23.0%

        

Aisin Corp.

     Automobiles & Components        64,000        1,862,321  

Alps Alpine Co., Ltd.

     Technology Hardware & Equipment        150,000        1,330,096  

Benefit One, Inc.

     Commercial & Professional Services        308,800        4,689,926  

Benesse Holdings, Inc.

     Consumer Services        136,482        2,391,972  

Brother Industries, Ltd.

     Technology Hardware & Equipment        174,675        3,040,816  

Canon, Inc.

     Technology Hardware & Equipment        554,900        12,788,963  

Central Japan Railway Co.

     Transportation        80        10,088  

Dai Nippon Printing Co., Ltd.

     Commercial & Professional Services        400        8,373  

Dai-ichi Life Holdings, Inc.

     Insurance        1,185,500        23,777,862  

Eisai Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        150        6,544  

Fast Retailing Co., Ltd.

     Retailing        23,800        10,975,843  

GungHo Online Entertainment, Inc.

     Media & Entertainment        170,314        3,480,572  

Hachijuni Bank, Ltd. (The)

     Banks        488,522        1,613,691  

Hino Motors, Ltd.

     Capital Goods        708,300        3,662,306  

Hoya Corp.

     Health Care Equipment & Services        140,569        13,973,513  

Kao Corp.

     Household & Personal Products        690,500        27,720,107  

Kose Corp.

     Household & Personal Products        66,587        6,847,231  

Lixil Corp.

     Capital Goods        121,100        2,133,479  

M3, Inc.

     Health Care Equipment & Services        76,800        2,456,596  

Medipal Holdings Corp.

     Health Care Equipment & Services        330,857        5,457,726  

MISUMI Group, Inc.

     Capital Goods        283,400        7,117,853  

Mitsubishi Estate Co., Ltd.

     Real Estate        1,648,225        24,048,827  

Mitsubishi HC Capital, Inc.

     Diversified Financials        448,200        2,020,010  

Mitsui Fudosan Co., Ltd.

     Real Estate        405,000        8,597,707  

MS&AD Insurance Group Holdings, Inc.

     Insurance        310        9,243  

 

3


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Japan (Continued)

        

Nihon M&A Center Holdings, Inc.

     Commercial & Professional Services        774,100      $ 9,547,938  

Nikon Corp.

     Consumer Durables & Apparel        585,900        6,594,578  

Nintendo Co., Ltd.

     Media & Entertainment        60,877        27,829,803  

Nippon Electric Glass Co., Ltd.

     Technology Hardware & Equipment        221,775        4,471,835  

Nissan Motor Co., Ltd. (a)

     Automobiles & Components        252,800        1,013,776  

Nomura Real Estate Holdings, Inc.

     Real Estate        430        10,495  

NTN Corp. (a)

     Capital Goods        5,300        8,480  

ORIX Corp.

     Diversified Financials        630        11,510  

Otsuka Corp.

     Software & Services        84,700        2,780,404  

Panasonic Corp.

     Consumer Durables & Apparel        200,400        1,789,168  

Persol Holdings Co., Ltd.

     Commercial & Professional Services        116,400        2,313,165  

Pola Orbis Holdings, Inc.

     Household & Personal Products        434,500        5,017,715  

Recruit Holdings Co., Ltd.

     Commercial & Professional Services        468,700        17,033,401  

Ricoh Co., Ltd.

     Technology Hardware & Equipment        1,237,200        9,048,910  

Seiko Epson Corp.

     Technology Hardware & Equipment        335,700        4,737,029  

Seino Holdings Co., Ltd.

     Transportation        276,620        2,263,447  

Shimamura Co., Ltd.

     Retailing        49,019        4,354,630  

Shiseido Co., Ltd.

     Household & Personal Products        276,400        13,087,506  

Sony Group Corp.

     Consumer Durables & Apparel        170        14,696  

Sumitomo Realty & Development Co., Ltd.

     Real Estate        219,200        5,824,691  

Sundrug Co., Ltd.

     Food & Staples Retailing        105,496        2,460,244  

Sysmex Corp.

     Health Care Equipment & Services        35,300        2,319,436  

T&D Holdings, Inc.

     Insurance        59,300        763,295  

Taisho Pharmaceutical Holdings Co., Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        29,600        1,167,817  

Toho Gas Co., Ltd.

     Utilities        143,549        3,373,113  

TOPPAN, Inc.

     Commercial & Professional Services        540        8,941  

Toyo Seikan Group Holdings, Ltd.

     Materials        137,427        1,488,930  

Trend Micro, Inc.

     Software & Services        64,500        3,602,289  

USS Co., Ltd.

     Retailing        188,000        3,135,028  

Yamato Holdings Co., Ltd.

     Transportation        565,300        10,595,446  

Yamazaki Baking Co., Ltd.

     Food, Beverage & Tobacco        240,500        2,978,027  

ZOZO, Inc.

     Retailing        462,700        9,703,851  
        

 

 

 
           329,371,259  
        

 

 

 

Mexico – 0.4%

        

America Movil SAB de CV, Class L ADR

     Telecommunication Services        131,560        2,556,211  

Gruma SAB de C.V., Class B

     Food, Beverage & Tobacco        116,795        1,390,884  

Grupo Aeroportuario del Sureste SAB de CV ADR

     Transportation        10,829        2,363,104  
        

 

 

 
           6,310,199  
        

 

 

 

Netherlands – 5.6%

        

Aegon NV

     Insurance        2,629,099        13,631,036  

ASML Holding NV

     Semiconductors & Semiconductor Equipment        67,224        38,152,207  

ASR Nederland NV

     Insurance        65,165        2,961,663  

 

4


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Country/Security

   Industry      Shares      Value  

Netherlands (Continued)

        

Koninklijke Ahold Delhaize NV

     Food & Staples Retailing        877,776      $ 25,890,849  
        

 

 

 
           80,635,755  
        

 

 

 

Norway – 1.1%

        

Norsk Hydro ASA

     Materials        1,019,623        8,620,020  

Orkla ASA

     Food, Beverage & Tobacco        165,021        1,348,113  

Storebrand ASA

     Insurance        619,820        5,420,165  
        

 

 

 
           15,388,298  
        

 

 

 

Singapore – 1.9%

        

DBS Group Holdings, Ltd.

     Banks        1,048,356        25,471,521  

United Overseas Bank, Ltd.

     Banks        73,200        1,569,263  
        

 

 

 
           27,040,784  
        

 

 

 

South Africa – 1.1%

        

Aspen Pharmacare Holdings, Ltd.

     Pharmaceuticals, Biotechnology & Life Sciences        403,387        4,339,096  

Clicks Group, Ltd.

     Food & Staples Retailing        37,187        730,797  

Foschini Group, Ltd. (The)

     Retailing        158,583        1,392,893  

Nedbank Group, Ltd.

     Banks        428,519        5,975,013  

Shoprite Holdings, Ltd.

     Food & Staples Retailing        241,095        3,477,154  
        

 

 

 
           15,914,953  
        

 

 

 

South Korea – 0.5%

        

LG Innotek Co., Ltd.

     Technology Hardware & Equipment        24,577        6,668,675  
        

 

 

 
           6,668,675  
        

 

 

 

Spain – 2.7%

        

Banco Bilbao Vizcaya Argentaria SA

     Banks        3,452,377        18,115,488  

Banco de Sabadell SA

     Banks        15,332,367        11,899,054  

Banco Santander SA

     Banks        873,669        2,553,165  

Fluidra SA

     Capital Goods        39,155        1,059,698  

Red Electrica Corp. SA

     Utilities        256,546        5,165,361  
        

 

 

 
           38,792,766  
        

 

 

 

Sweden – 2.0%

        

Alfa Laval AB

     Capital Goods        208,765        5,826,726  

Elekta AB, Class B

     Health Care Equipment & Services        268,439        1,812,828  

Essity AB, Class B

     Household & Personal Products        318        8,408  

Getinge AB, Class B

     Health Care Equipment & Services        351,380        10,191,737  

H & M Hennes & Mauritz AB, Class B

     Retailing        484        6,109  

Husqvarna AB, Class B

     Capital Goods        112,942        1,082,502  

Skanska AB, Class B

     Capital Goods        126,856        2,429,686  

Swedish Orphan Biovitrum AB (a)

     Pharmaceuticals, Biotechnology & Life Sciences        156,425        3,299,454  

Trelleborg AB, Class B

     Capital Goods        223,935        4,924,787  
        

 

 

 
           29,582,237  
        

 

 

 

Switzerland – 12.1%

        

ABB, Ltd.

     Capital Goods        530,620        15,954,071  

Kuehne + Nagel International AG

     Transportation        5,153        1,444,651  

 

5


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Country/Security

   Industry      Shares      Value  

Switzerland (Continued)

        

Lonza Group AG

     Pharmaceuticals, Biotechnology & Life Sciences        19,858      $ 11,734,281  

Novartis AG

     Pharmaceuticals, Biotechnology & Life Sciences        532,936        47,197,041  

PSP Swiss Property AG

     Real Estate        32,770        4,139,002  

Sika AG

     Materials        102,212        31,289,019  

Sonova Holding AG

     Health Care Equipment & Services        19,435        7,023,932  

Straumann Holding AG

     Health Care Equipment & Services        64,263        7,592,457  

Swatch Group AG

     Consumer Durables & Apparel        27,311        7,024,334  

Swiss Life Holding AG

     Insurance        34,313        20,106,735  

Swisscom AG

     Telecommunication Services        16,178        9,586,760  

VAT Group AG

     Capital Goods        35,457        10,990,984  
        

 

 

 
           174,083,267  
        

 

 

 

Taiwan – 1.9%

        

Acer, Inc.

     Technology Hardware & Equipment        1,850,000        1,716,349  

Asustek Computer, Inc.

     Technology Hardware & Equipment        329,000        3,957,316  

China Development Financial Holding Corp.

     Insurance        11,772,000        7,099,012  

Novatek Microelectronics Corp.

     Semiconductors & Semiconductor Equipment        194,277        2,570,007  

Realtek Semiconductor Corp. (a)

     Semiconductors & Semiconductor Equipment        83,000        1,126,270  

Taishin Financial Holding Co., Ltd.

     Banks        8,513,000        5,568,451  

Unimicron Technology Corp.

     Technology Hardware & Equipment        766,000        5,372,819  
        

 

 

 
           27,410,224  
        

 

 

 

Thailand – 0.5%

        

Kasikornbank PCL

     Banks        1,690,400        7,438,869  
        

 

 

 
           7,438,869  
        

 

 

 

United Kingdom – 10.4%

        

3i Group PLC

     Diversified Financials        331,612        5,418,498  

Ashtead Group PLC

     Capital Goods        339,833        17,544,577  

Aviva PLC

     Insurance        271,270        1,453,141  

Berkeley Group Holdings PLC (a)

     Consumer Durables & Apparel        39,216        1,985,814  

CNH Industrial NV

     Capital Goods        1,006,500        14,258,367  

Dechra Pharmaceuticals PLC

     Pharmaceuticals, Biotechnology & Life Sciences        96,394        4,361,355  

Experian PLC

     Commercial & Professional Services        188,412        6,496,597  

Halma PLC

     Technology Hardware & Equipment        171,133        5,244,873  

Inchcape PLC

     Retailing        380,831        3,402,264  

J Sainsbury PLC

     Food & Staples Retailing        3,388,967        9,872,840  

JD Sports Fashion PLC (a)

     Retailing        1,234,620        2,031,098  

Kingfisher PLC

     Retailing        315,400        993,094  

Man Group PLC/Jersey

     Diversified Financials        1,187,166        3,454,663  

Marks & Spencer Group PLC (a)

     Food & Staples Retailing        2,009,401        3,424,969  

Next PLC

     Retailing        19,026        1,422,850  

Pennon Group PLC

     Utilities        610,435        8,469,605  

Rightmove PLC

     Media & Entertainment        728,721        5,593,064  

Sage Group PLC (The)

     Software & Services        409,127        3,748,569  

Segro PLC

     Real Estate        922,334        15,417,867  

 

6


Domini Impact International Equity Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

 

Country/Security

   Industry      Shares      Value  

United Kingdom (Continued)

        

Travis Perkins PLC

     Capital Goods        116,312      $ 1,771,289  

Unilever PLC

     Household & Personal Products        237        11,001  

Vodafone Group PLC

     Telecommunication Services        21,400,029        32,348,530  
        

 

 

 
           148,724,925  
        

 

 

 

United States – 2.9%

        

CyberArk Software, Ltd. (a)

     Software & Services        13,019        2,045,806  

Ferguson PLC

     Capital Goods        151,352        18,957,546  

GlaxoSmithKline PLC

     Pharmaceuticals, Biotechnology & Life Sciences        163,906        3,689,135  

Parade Technologies, Ltd.

     Semiconductors & Semiconductor Equipment        38,000        1,807,150  

QIAGEN N.V. (a)

     Pharmaceuticals, Biotechnology & Life Sciences        332,282        15,075,634  
        

 

 

 
           41,575,271  
        

 

 

 

Total Investments 98.8% (Cost $ 1,479,122,822)

           1,416,350,053  

Other Assets, less liabilities – 1.2%

           16,555,048  
        

 

 

 

Net Assets – 100.0%

         $ 1,432,905,101  
        

 

 

 

 

(a)

Non-income producing security.

Abbreviations

ADR — American Depositary Receipt

As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.

See Notes to Portfolio of Investments

 

7


Domini Impact Equity Fund

Domini International Opportunities Fund

Domini Sustainable Solutions Fund

Domini Impact International Equity Fund

NOTES TO PORTFOLIO OF INVESTMENTS

April 30, 2022 (Unaudited)

1.ORGANIZATION

The Domini Investment Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Domini Investment Trust comprises five separate series: Domini Impact Equity Fund, Domini International Opportunities Fund, Domini Sustainable Solutions Fund, Domini Impact International Equity Fund and Domini Impact Bond Fund (each the “Fund,” collectively the “Funds”). The financial statements of the Domini Impact Bond Fund are included elsewhere in this report. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”.

The Domini Impact Equity Fund offers four classes of shares: Investor shares, Class A shares, Institutional shares and Class Y shares. The Domini International Opportunities Fund offers two classes of shares: Investor shares and Institutional shares. The Domini Sustainable Solutions Fund offers two classes of shares: Investor shares and Institutional shares. The Domini Impact International Equity Fund offers four classes of shares: Investor shares, Class A shares, Institutional shares and Class Y shares. The Investor shares, Institutional shares and Class Y shares are sold at their offering price, which is net asset value. The Class A shares are sold with a front-end sales charge (load) of up to 4.75%.

All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets, and net asset value per share may differ due to each class having its own expenses, directly attributable to that class. The Funds seek to provide their shareholders with long-term total return.

2. SIGNIFICANT ACCOUNTING POLICIES

(A) Valuation of Investments. Securities listed or traded on national securities exchanges are valued at the last sale price reported by the security’s primary exchange or, if there have been no sales that day, at the mean of the current bid and ask price that represents the current value of the security. Securities listed on the NASDAQ National Market System are valued using the NASDAQ Official Closing Price (the “NOCP”). If an NOCP is not available for a security listed on the NASDAQ National Market System, the security will be valued at the last sale price or, if there have been no sales that day, at the mean of the current bid and ask price.

Securities that are primarily traded on foreign exchanges are valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange Traded Funds, and the movement of the certain indexes of securities based on a statistical analysis of the historical relationship.

Securities for which market quotations are not readily available or as a result of an event occurring after the close of the foreign market but before pricing the Funds are valued at fair value as determined in good faith under procedures established by and under the supervision of the Funds’ Board of Trustees.

At least annually, Domini Impact Investments LLC (Domini) reviews and performs due diligence with respect to the pricing methodologies employed by any independent pricing service approved by the Funds’ Board of Trustees and utilized on behalf of the Funds. As part of this due diligence, Do-mini reviews each pricing service provider’s policies, procedures, and quality controls. Domini also tests certain valuations provided by the Funds’ pricing services with those received from other vendors, if available, and performs back testing, as applicable. Domini provides an annual due diligence report to the Funds’ Board of Trustees including its determination of whether the pricing methodology employed by such pricing service requires adjustments.

The Funds follow a fair value hierarchy that distinguishes between (a) market participant assumptions developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) the Fund’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). These inputs are used in determining the value of the Funds’ investments and are summarized in the following fair value hierarchy:

Level 1 — quoted prices in active markets for identical securities

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, and evaluated quotation obtained from pricing services)

Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

8


Domini Impact Equity Fund

Domini International Opportunities Fund

Domini Sustainable Solutions Fund

Domini Impact International Equity Fund

NOTES TO PORTFOLIO OF INVESTMENTS (continued)

April 30, 2022 (Unaudited)

 

The following is a summary of the inputs used by the Domini Impact Equity Fund, as of April 30, 2022, in valuing the Fund’s assets carried at fair value:

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant

Unobservable
Inputs
     Total  

Common Stocks

           

Communication Services

   $ 85,448,730      $ —        $ —        $ 85,448,730  

Consumer Discretionary

     111,020,023        —          —          111,020,023  

Consumer Staples

     57,677,397        —          —          57,677,397  

Financials

     89,492,716        —          —          89,492,716  

Health Care

     127,818,370        —          —          127,818,370  

Industrials

     54,778,022        —          —          54,778,022  

Information Technology

     333,552,133        —          —          333,552,133  

Materials

     20,864,934        —          —          20,864,934  

Real Estate

     28,710,866        —          —          28,710,866  

Utilities

     6,051,890        —          —          6,051,890  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 915,415,081      $ —        $ —        $ 915,415,081  
  

 

 

    

 

 

    

 

 

    

 

 

 

The following is a summary of the inputs used by the Domini International Opportunities Fund, as of April 30, 2022, in valuing the Fund’s assets carried at fair value:

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant
Unobservable
Inputs
     Total  

Common Stocks

           

Australia

   $ —        $ 759,348      $ —        $ 759,348  

Austria

     —          76,206        —          76,206  

Belgium

     —          95,818        —          95,818  

Brazil

     139,229        —          —          139,229  

Canada

     515,944        —          —          515,944  

China

     65,464        156,002        —          221,466  

Denmark

     —          989,303        —          989,303  

Finland

     —          309,236        —          309,236  

France

     —          1,929,729        —          1,929,729  

Germany

     —          2,020,966        —          2,020,966  

Hong Kong

     —          563,500        —          563,500  

Hungary

     —          18,999        —          18,999  

Ireland

     50,511        179,302        —          229,813  

Italy

     —          174,106        —          174,106  

Japan

     —          4,649,529        —          4,649,529  

Luxembourg

     —          34,852        —          34,852  

Netherlands

     —          1,821,236        —          1,821,236  

New Zealand

     —          64,316        —          64,316  

 

9


Domini Impact Equity Fund

Domini International Opportunities Fund

Domini Sustainable Solutions Fund

Domini Impact International Equity Fund

NOTES TO PORTFOLIO OF INVESTMENTS (continued)

April 30, 2022 (Unaudited)

 

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant
Unobservable
Inputs
     Total  

Norway

     —          146,886        —          146,886  

Singapore

     —          229,167        —          229,167  

South Africa

     10,612        83,182        —          93,794  

South Korea

     25,586        —          —          25,586  

Spain

     —          565,183        —          565,183  

Sweden

     93,662        698,139        —          791,801  

Switzerland

     —          1,584,336        —          1,584,336  

United Kingdom

     479,580        1,512,470        —          1,992,050  

United States

     1,367,828        719,550        —          2,087,378  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,748,416      $ 19,381,361      $ —        $ 22,129,777  
  

 

 

    

 

 

    

 

 

    

 

 

 

Warrant

           

Australia

     58        —          —          58  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,748,474      $ 19,381,361      $ —        $ 22,129,835  
  

 

 

    

 

 

    

 

 

    

 

 

 

The following is a summary of the inputs used by the Domini Sustainable Solutions Fund, as of April 30, 2022, in valuing the Fund’s assets carried at fair value:

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant
Unobservable
Inputs
     Total  

Common Stocks

           

Communication Services

   $ 859,863      $ —        $ —        $ 859,863  

Consumer Discretionary

     2,515,206        991,772        —          3,506,978  

Consumer Staples

     557,763        —          —          557,763  

Financials

     1,740,736        2,599,070        —          4,339,806  

Health Care

     4,046,353        1,587,012        —          5,633,365  

Industrials

     936,496        2,131,720        —          3,068,216  

Information Technology

     5,074,062        999,775        —          6,073,837  

Real Estate

     1,374,999        577,534        —          1,952,533  

Utilities

     —          221,559        —          221,559  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 17,105,478      $ 9,108,442      $ —        $ 26,213,920  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

 

10


Domini Impact Equity Fund

Domini International Opportunities Fund

Domini Sustainable Solutions Fund

Domini Impact International Equity Fund

NOTES TO PORTFOLIO OF INVESTMENTS (continued)

April 30, 2022 (Unaudited)

 

The following is a summary of the inputs used by the Domini Impact International Equity Fund, as of April 30, 2022, in valuing the Fund’s assets carried at fair value:

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant
Unobservable
Inputs
     Total  

Common Stocks

           

Australia

   $ —        $ 99,167,604      $ —        $ 99,167,604  

Austria

     —          5,475,944        —          5,475,944  

Belgium

     —          5,444,227        —          5,444,227  

Brazil

     11,098,648        —          —          11,098,648  

China

     1,630,750        22,667,503        —          24,298,253  

Denmark

     —          19,597,093        —          19,597,093  

Finland

     —          9,625,712        —          9,625,712  

France

     —          114,384,486        —          114,384,486  

Germany

     —          89,937,113        —          89,937,113  

Hong Kong

     —          10,689,082        —          10,689,082  

Hungary

     —          2,001,142        —          2,001,142  

India

     —          5,300,475        —          5,300,475  

Ireland

     —          16,382,657        —          16,382,657  

Israel

     11,388,327        —          —          11,388,327  

Italy

     —          42,621,808        —          42,621,808  

Japan

     —          329,371,259        —          329,371,259  

Mexico

     6,310,199        —          —          6,310,199  

Netherlands

     —          80,635,755        —          80,635,755  

Norway

     —          15,388,298        —          15,388,298  

Singapore

     —          27,040,784        —          27,040,784  

South Africa

     6,462,786        9,452,167        —          15,914,953  

South Korea

     —          6,668,675        —          6,668,675  

Spain

     —          38,792,766        —          38,792,766  

Sweden

     —          29,582,237        —          29,582,237  

Switzerland

     —          174,083,267        —          174,083,267  

Taiwan

     —          27,410,224        —          27,410,224  

Thailand

     —          7,438,869        —          7,438,869  

United Kingdom

     —          148,724,925        —          148,724,925  

United States

     17,121,440        24,453,831        —          41,575,271  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 54,012,150      $ 1,362,337,903      $ —        $ 1,416,350,053  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

11


Domini Impact Bond Fund

Portfolio of Investments

April 30, 2022 (Unaudited)

 

 

Security

   Principal
Amount*
     Value  

Long Term Investments – 108.4%

     

Mortgage Backed Securities – 50.6%

     

Agency Collateralized Mortgage Obligations – 5.5%

     

CHNGE Mortgage Trust 2022-2, Series 2, Class A1, 3.757%, 3/25/67 (a)(b)

     700,600      $ 684,287  

Federal Home Loan Mortgage Corp.

     

Series 3768, Class CB, 3.500%, 12/15/25

     91,886        92,796  

Series 3800, Class CB, 3.500%, 2/15/26

     167,002        168,843  

Series 3806, Class L, 3.500%, 2/15/26

     549,523        555,368  

Series 3877, Class LM, 3.500%, 6/15/26

     340,322        343,935  

Series 4961, Class JB, 2.500%, 12/15/42

     209,832        198,639  

Federal National Mortgage Association

     

Series 2012-17, Class BC, 3.500%, 3/25/27

     368,000        367,415  

Series 2019-6, Class GJ, 3.000%, 2/25/49

     88,020        86,625  

Series 2020-1, Class AC, 3.500%, 8/25/58

     283,582        281,831  

Federal National Mortgage Association Connecticut Avenue Securities

     

Series 2016-C07, Class 2M2, 5.018%, (1 Month USD-LIBOR + 4.35%), 5/25/29 (b)

     118,229        123,674  

Series 2017-C01, Class 1M2, 4.218%, (1 Month USD-LIBOR + 3.55%), 7/25/29 (b)

     69,129        71,659  

Freddie Mac Multiclass Certificates

     

Series 2021-ML12, Class XUS, 1.219%, 7/25/41 (b)

     1,200,759        139,336  

Series 2021-P011, Class X1, 1.842%, 9/25/45 (b)

     2,313,744        328,087  

Freddie Mac Multifamily Structured Pass Through Certificates

     

Series K103, Class X1, 0.757%, 11/25/29 (b)

     8,914,166        365,467  

Series K111, Class X1, 1.681%, 5/25/30 (b)

     1,449,812        147,658  

Series K112, Class X1, 1.536%, 5/25/30 (b)

     1,502,235        141,033  

Series K113, Class X1, 1.490%, 6/25/30 (b)

     2,549,763        230,022  

Series K114, Class X1, 1.212%, 6/25/30 (b)

     2,348,284        173,310  

Series K119, Class X1, 1.026%, 9/25/30 (b)

     4,968,375        311,610  

Series K121, Class X1, 1.120%, 10/25/30 (b)

     659,648        44,967  

Series K122, Class X1, 0.973%, 11/25/30 (b)

     364,277        21,862  

Series K124, Class X1, 0.812%, 12/25/30 (b)

     1,466,790        74,236  

Series K740, Class X1, 0.844%, 9/25/27 (b)

     1,295,584        44,788  

Series KG03, Class X1, 1.483%, 6/25/30 (b)

     3,210,000        285,806  

Series KG04, Class X1, 0.940%, 11/25/30 (b)

     2,417,323        140,312  

Series KG05, Class X1, 0.402%, 1/25/31 (b)

     2,465,000        58,039  

Series KG06, Class X1, 0.626%, 10/25/31 (b)

     2,298,480        94,088  

Series KSG1, Class X1, 1.257%, 9/25/30 (b)

     4,063,898        309,993  

Series Q014, Class X, 2.797%, 10/25/55 (b)

     2,143,844        446,033  

FREMF Mortgage Trust

     

Series 2017-K64, Class B, 4.123%, 5/25/50 (a)(b)

     70,000        68,627  

Series 2017-K65, Class B, 4.215%, 7/25/50 (a)(b)

     155,000        152,099  

Series 2017-K66, Class B, 4.174%, 7/25/27 (a)(b)

     136,000        134,056  

Series 2017-K67, Class B, 4.080%, 9/25/49 (a)(b)

     85,000        83,523  

Series 2017-K67, Class C, 4.080%, 9/25/49 (a)(b)

     100,000        97,143  

 

12


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Agency Collateralized Mortgage Obligations (Continued)

     

Series 2017-K68, Class B, 3.972%, 10/25/49 (a)(b)

     90,000      $ 87,369  

Series 2017-K69, Class C, 3.854%, 10/25/49 (a)(b)

     40,000        37,846  

Series 2017-K71, Class B, 3.881%, 11/25/50 (a)(b)

     220,000        213,982  

Series 2017-K71, Class C, 3.881%, 11/25/50 (a)(b)

     65,000        62,319  

Series 2017-K725, Class B, 4.016%, 2/25/50 (a)(b)

     100,000        99,992  

Series 2017-K726, Class B, 4.136%, 7/25/49 (a)(b)

     175,000        174,450  

Series 2017-K729, Class B, 3.797%, 11/25/49 (a)(b)

     250,000        247,889  

Series 2017-K729, Class C, 3.797%, 11/25/49 (a)(b)

     90,000        88,405  

Series 2018-K154, Class B, 4.160%, 11/25/32 (a)(b)

     67,000        62,344  

Series 2018-K77, Class B, 4.303%, 5/25/51 (a)(b)

     700,000        697,033  

Series 2018-K85, Class C, 4.464%, 12/25/50 (a)(b)

     550,000        537,566  

Series 2018-KW07, Class B, 4.222%, 10/25/31 (a)(b)

     461,000        440,936  

Series 2019-100, Class C, 3.613%, 11/25/52 (a)(b)

     700,000        646,876  

Series 2019-K103, Class B, 3.573%, 12/25/51 (a)(b)

     525,000        485,465  

Series 2019-K736, Class C, 3.885%, 7/25/26 (a)(b)

     400,000        386,943  

Series 2019-K95, Class B, 4.054%, 8/25/52 (a)(b)

     500,000        488,355  

Series 2019-K95, Class C, 4.054%, 8/25/52 (a)(b)

     307,000        293,325  

Series 2019-K97 , Class C, 3.894%, 9/25/51 (a)(b)

     204,000        193,821  

Series 2020-K104, Class B, 3.660%, 2/25/52 (a)(b)

     520,000        491,216  

Series K99, Class B, 3.765%, 10/25/52 (a)(b)

     565,000        545,031  

GCAT 2021-CM2 Trust, Series CM2, Class A1, 2.352%, 8/25/66 (a)(b)

     471,885        457,831  

STACR Trust, Series 2018-HRP1, Class M2, 2.318%, (1 Month USD-LIBOR + 1.65%), 4/25/43 (a)(b)

     26,075        26,050  
     

 

 

 
        13,632,211  
     

 

 

 

Commercial Mortgage-Backed Securities – 10.1%

     

245 Park Avenue Trust, Series 2017-245P, Class A, 3.508%, 6/5/37 (a) BANK

     800,000        757,524  

Series 2017-BNK8, Class ASB, 3.314%, 11/15/50

     147,000        145,258  

Series 2019-BN18, Class XA, 1.041%, 5/15/62 (b)

     2,132,477        108,021  

Series 2019-BN24, Class XA, 0.761%, 11/15/62 (b)

     5,528,142        229,192  

Series 2020-BN28, Class XA, 1.898%, 3/15/63 (b)

     1,927,648        217,483  

Benchmark Mortgage Trust

     

Series 2019-B10, Class XA, 1.388%, 3/15/62 (b)

     2,329,094        143,073  

Series 2020-B18, Class XA, 1.917%, 7/15/53 (b)

     503,702        47,046  

Series 2020-B22, Class XA, 1.633%, 1/15/54 (b)

     884,630        89,587  

BWAY Mortgage Trust

     

Series 2013-1515, Class A1, 2.809%, 3/10/33 (a)

     72,013        71,286  

Series 2013-1515, Class A2, 3.454%, 3/10/33 (a)

     1,000,000        983,497  

BX Commercial Mortgage Trust 2022-AHP, Series AHP, Class A, 1.499%, (1-month CME Term SOFR + 0.99%), 1/17/39 (a)(b)

     1,465,000        1,444,969  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871%, 11/10/31 (a)(b)

     800,000        788,638  

COMM Mortgage Trust

     

 

13


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Commercial Mortgage-Backed Securities (Continued)

     

Series 2013-WWP, Class A2, 3.424%, 3/10/31 (a)

     640,000      $ 643,864  

Series 2013-WWP, Class B, 3.726%, 3/10/31 (a)

     644,000        649,021  

Series 2015-LC19, Class A4, 3.183%, 2/10/48

     291,000        286,851  

Series 2016-LC6, Class A4, 2.941%, 1/10/46

     285,670        285,588  

Series 2020-CX, Class A, 2.173%, 11/10/46 (a)

     825,000        713,352  

Series 2020-CX, Class B, 2.446%, 11/10/46 (a)

     524,000        450,040  

Series 2020-CX, Class C, 2.773%, 11/10/46 (a)(b)

     100,000        85,976  

Series 2020-CX, Class D, 2.773%, 11/10/46 (a)(b)

     100,000        83,845  

Series 2020-SBX, Class A, 1.670%, 1/10/38 (a)

     595,000        552,737  

Series 2022-HC, Class A, 2.819%, 1/10/39 (a)

     886,000        834,927  

CPT Mortgage Trust, Series 2019-CPT, Class A, 2.865%, 11/13/39 (a)

     240,000        220,756  

DBJPM Mortgage Trust, Series 2020-C9, Class XA, 1.829%, 9/15/53 (b)

     642,296        53,441  

DC Office Trust, Series 2019-MTC, Class A, 2.965%, 9/15/45 (a)

     1,030,000        942,384  

Grace Trust, Series 2020-GRCE, Class A, 2.347%, 12/10/40 (a)

     925,000        798,641  

Hudson Yards Mortgage Trust

     

Series 2016-10HY, Class A, 2.835%, 8/10/38 (a)

     800,000        760,443  

Series 2019-30HY, Class A, 3.228%, 7/10/39 (a)

     700,000        661,733  

Series 2019-30HY, Class D, 3.558%, 7/10/39 (a)(b)

     365,000        329,671  

JP Morgan Chase Commercial Mortgage Securities Corp.

     

Series 2018-AON, Class A, 4.128%, 7/5/31 (a)

     555,000        556,359  

Series 2021-NYAH, Class G, 3.194%, (1 Month USD-LIBOR + 2.64%), 6/15/38 (a)(b)

     655,000        629,271  

Series 2022-OPO, Class A, 3.024%, 1/5/39 (a)

     2,150,000        2,047,670  

Life Mortgage Trust, Series 2021-BMR, Class D, 1.954%, (1 Month USD-LIBOR + 1.4%), 3/15/38 (a)(b)

     117,956        113,707  

MAD Mortgage Trust, Series 2017-330M, Class A, 3.294%, 8/15/34 (a)(b)

     829,000        809,833  

MKT Mortgage Trust, Series 2020-525M, Class A, 2.694%, 2/12/40 (a)

     600,000        534,962  

Morgan Stanley Bank of America Merrill Lynch Trust

     

Series 2013-C12, Class A4, 4.259%, 10/15/46 (b)

     300,000        302,257  

Series 2014-C15, Class A4, 4.051%, 4/15/47

     300,000        301,581  

Series 2014-C19, Class A4, 3.526%, 12/15/47

     180,167        178,750  

Morgan Stanley Capital I Trust

     

Series 2017-CLS, Class A, 1.254%, (1 Month USD-LIBOR + 0.7%), 11/15/34 (a)(b)

     531,000        528,533  

Series 2017-CLS, Class F, 3.154%, (1 Month USD-LIBOR + 2.6%), 11/15/34 (a)(b)

     650,000        637,826  

One Market Plaza Trust, Series 2017-1MKT, Class A, 3.614%, 2/10/32 (a)

     710,000        707,371  

SLG Office Trust 2021-OVA

     

Series OVA, Class A, 2.585%, 7/15/41 (a)

     1,013,000        904,904  

Series OVA, Class C, 2.851%, 7/15/41 (a)

     835,000        715,866  

STWD 2021-LIH Mortgage Trust, Series LIH, Class E, 3.457%, (1 Month USD-LIBOR + 2.903%), 11/15/36 (a)(b)

     955,000        931,912  

SUMIT Mortgage Trust, Series 2022-BVUE, Class A, 2.789%, 2/12/41 (a)

     1,615,000        1,487,160  

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617%, 9/15/57

     340,000        337,738  
     

 

 

 
        25,104,544  
     

 

 

 

 

14


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Federal Home Loan Mortgage Corporation – 0.9%

     

Federal Home Loan Mortgage Corp.

     

2.500%, 8/1/27

     22,503      $ 22,109  

2.500%, 11/1/27

     62,526        61,434  

3.000%, 1/1/27

     80,368        79,869  

3.000%, 7/1/42

     23,542        22,750  

3.000%, 5/1/45

     230,232        221,011  

3.018%, (12 Month USD-LIBOR + 1.627%), 10/1/43 (b)

     36,658        37,080  

3.500%, 12/1/32

     115,822        115,624  

3.500%, 6/1/48

     425,433        416,860  

4.000%, 2/1/37

     42,715        43,688  

4.000%, 8/1/39

     25,619        26,063  

4.000%, 10/1/39

     48,485        49,162  

4.000%, 10/1/39

     46,850        47,427  

4.000%, 11/1/39

     23,013        23,335  

4.000%, 10/1/40

     71,483        72,823  

4.000%, 11/1/40

     64,637        65,537  

4.000%, 11/1/40

     11,092        11,278  

4.000%, 11/1/40

     8,484        8,602  

4.000%, 12/1/40

     29,327        29,689  

4.000%, 6/1/41

     6,214        6,207  

4.500%, 4/1/35

     62,760        65,572  

4.500%, 9/1/35

     91,995        96,125  

4.500%, 7/1/36

     60,185        62,887  

4.500%, 6/1/39

     111,876        116,929  

4.500%, 9/1/40

     15,997        16,636  

4.500%, 2/1/41

     33,589        35,016  

5.000%, 8/1/33

     11,532        12,301  

5.000%, 10/1/33

     5,599        5,859  

5.000%, 4/1/35

     13,379        14,195  

5.000%, 7/1/35

     88,400        93,733  

5.000%, 7/1/35

     14,851        15,764  

5.000%, 1/1/37

     55,971        59,289  

5.000%, 7/1/40

     34,733        36,874  

5.000%, 4/1/41

     31,950        34,099  

5.500%, 12/1/36

     55,644        59,304  

5.500%, 8/1/40

     79,175        84,366  

6.000%, 8/1/36

     9,109        10,083  

6.000%, 7/1/39

     51,394        56,893  
     

 

 

 
        2,236,473  
     

 

 

 

Federal National Mortgage Association – 28.5%

     

Federal National Mortgage Association

     

2.000%, 10/1/27

     87,778        83,363  

 

15


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Federal National Mortgage Association (Continued)

     

2.000%, 1/1/28

     74,061      $ 70,327  

2.000%, 2/1/52

     4,947,616        4,383,161  

2.000%, 3/1/52

     4,881,421        4,329,046  

2.078%, (12 Month USD-LIBOR + 1.58%), 5/1/44 (b)

     13,449        13,735  

2.500%, 6/1/24

     67,227        65,338  

2.500%, 11/1/31

     57,452        56,396  

2.500%, 12/1/31

     15,293        15,011  

2.500%, 12/1/43

     110,070        101,281  

2.500%, 4/1/45

     123,017        113,414  

2.500%, 12/1/51

     3,076,220        2,818,428  

3.000%, 8/1/46

     31,421        30,039  

3.000%, 10/1/46

     570,918        547,416  

3.000%, 11/1/46

     664,935        637,425  

3.000%, 12/1/46

     253,848        242,817  

3.000%, 1/1/52

     2,886,294        2,735,422  

3.000%, 2/1/52

     5,227,215        4,953,996  

3.500%, 12/1/31

     5,861        5,846  

3.500%, 1/1/32

     96,746        96,500  

3.500%, 1/1/32

     57,459        57,311  

3.500%, 10/1/32

     77,087        76,890  

3.500%, 6/1/46

     401,042        394,891  

3.500%, 1/1/48

     268,420        261,850  

4.000%, 11/1/30

     10,276        10,325  

4.000%, 10/1/33

     64,449        65,550  

4.000%, 12/1/36

     19,544        19,972  

4.000%, 8/1/39

     24,835        25,158  

4.000%, 10/1/39

     16,205        16,416  

4.000%, 12/1/39

     22,386        22,677  

4.000%, 1/1/40

     203,980        206,639  

4.000%, 3/1/40

     24,081        24,357  

4.000%, 8/1/40

     48,590        49,222  

4.000%, 8/1/40

     8,860        8,975  

4.000%, 10/1/40

     118,270        120,388  

4.000%, 10/1/40

     16,145        16,356  

4.000%, 11/1/40

     17,063        17,285  

4.000%, 11/1/40

     13,210        13,382  

4.000%, 12/1/40

     41,447        42,430  

4.000%, 2/1/41

     38,711        39,218  

4.500%, 8/1/35

     18,713        19,529  

4.500%, 8/1/36

     10,414        10,780  

4.500%, 8/1/38

     44,641        46,561  

4.500%, 3/1/39

     60,828        63,508  

 

16


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Federal National Mortgage Association (Continued)

     

4.500%, 9/1/39

     19,926      $ 20,701  

4.500%, 2/1/40

     28,748        30,015  

4.500%, 8/1/40

     61,697        64,421  

4.500%, 1/1/41

     18,853        19,677  

4.500%, 9/1/41

     39,141        40,859  

5.000%, 10/1/39

     2,274        2,403  

5.500%, 8/1/37

     37,735        40,185  

6.000%, 12/1/35

     19,751        21,196  

6.000%, 3/1/36

     128,412        138,813  

6.000%, 6/1/36

     43,225        47,839  

6.000%, 8/1/37

     11,844        12,983  

6.000%, 3/1/38

     21,988        24,336  

TBA 30 Yr, 2.000%, 5/12/52 (c)

     5,025,000        4,438,488  

TBA 30 Yr, 2.000%, 6/13/52 (c)

     9,975,000        8,795,598  

TBA 30 Yr, 2.500%, 5/12/52 (c)

     13,900,000        12,695,695  

TBA 30 Yr, 2.500%, 6/13/52 (c)

     13,900,000        12,669,561  

TBA 30 Yr, 3.000%, 5/12/52 (c)

     1,800,000        1,699,383  

TBA 30 Yr, 3.500%, 5/12/52 (c)

     1,700,000        1,651,125  

TBA 30 Yr, 4.000%, 5/12/52 (c)

     5,800,000        5,774,965  
     

 

 

 
        71,116,874  
     

 

 

 

Government National Mortgage Association – 5.6%

     

Government National Mortgage Association

     

TBA 30 Yr, 2.500%, 5/19/52 (c)

     3,500,000        3,253,906  

TBA 30 Yr, 3.000%, 5/19/52 (c)

     3,100,000        2,959,653  

TBA 30 Yr, 3.500%, 5/19/52 (c)

     5,300,000        5,193,172  

TBA 30 Yr, 4.000%, 5/19/52 (c)

     1,600,000        1,604,531  

TBA 30 Yr, 4.500%, 5/19/52 (c)

     900,000        917,854  
     

 

 

 
        13,929,116  
     

 

 

 

Total Mortgage Backed Securities
(Cost $131,798,256)

        126,019,218  
     

 

 

 

Corporate Bonds and Notes – 29.5%

     

Communications – 3.7%

     

Alibaba Group Holding, Ltd., 2.800%, 6/6/23

     200,000        199,062  

AT&T, Inc.

     

2.750%, 6/1/31

     1,285,000        1,135,141  

3.550%, 9/15/55

     572,000        444,890  

Axian Telecom, 7.375%, 2/16/27 (a)

     445,000        436,213  

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.484%, 10/23/45

     1,325,000        1,340,285  

Cox Communications, Inc.

     

3.150%, 8/15/24 (a)

     57,000        56,451  

3.850%, 2/1/25 (a)

     10,000        10,008  

 

17


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Communications (Continued)

     

eBay, Inc., 3.600%, 6/5/27

     195,000      $ 192,432  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/1/29 (a)

     250,000        222,174  

MercadoLibre, Inc., 2.375%, 1/14/26

     1,025,000        926,457  

Millicom International Cellular SA, 4.500%, 4/27/31 (a)

     950,000        824,125  

Paramount Global

     

2.900%, 1/15/27

     400,000        377,215  

4.950%, 1/15/31

     985,000        977,425  

Verizon Communications, Inc.

     

2.355%, 3/15/32 (b)

     1,000,000        841,787  

3.400%, 3/22/41

     1,250,000        1,055,153  

Vodafone Group PLC

     

4.375%, 2/19/43

     70,000        63,586  

6.150%, 2/27/37

     185,000        205,001  
     

 

 

 
        9,307,405  
     

 

 

 

Consumer, Cyclical – 1.7%

     

Home Depot, Inc. (The), 5.950%, 4/1/41

     420,000        496,040  

O’Reilly Automotive, Inc., 3.800%, 9/1/22

     155,000        155,174  

Starbucks Corp.

     

2.550%, 11/15/30

     990,000        860,446  

3.750%, 12/1/47

     275,000        233,446  

4.450%, 8/15/49

     750,000        696,047  

Toll Brothers Finance Corp., 4.350%, 2/15/28

     600,000        573,795  

YMCA of Greater New York

     

2.303%, 8/1/26

     765,000        722,626  

Series 2020, 3.230%, 8/1/32

     375,000        343,784  
     

 

 

 
        4,081,358  
     

 

 

 

Consumer, Non-cyclical – 8.4%

     

Advocate Health & Hospitals Corp.

     

Series 2020, 2.211%, 6/15/30

     325,000        286,518  

3.829%, 8/15/28

     1,115,000        1,109,600  

Allina Health System, 4.805%, 11/15/45

     291,000        302,962  

Amgen, Inc.

     

3.200%, 11/2/27

     525,000        505,166  

3.350%, 2/22/32

     150,000        138,598  

Beth Israel Lahey Health, Inc., 2.220%, 7/1/28

     1,400,000        1,253,007  

Biogen, Inc., 3.250%, 2/15/51 (a)

     448,000        321,518  

Bon Secours Mercy Health, Inc., 1.350%, 6/1/25

     155,000        143,180  

Boston Medical Center Corp., 4.519%, 7/1/26

     705,000        712,468  

CommonSpirit Health senior secured note

     

2.782%, 10/1/30

     185,000        164,027  

3.347%, 10/1/29

     600,000        560,138  

 

18


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Consumer, Non-cyclical (Continued)

     

Conservation Fund A Nonprofit Corp. (The), 3.474%, 12/15/29

     800,000      $ 771,091  

Dignity Health

     

4.500%, 11/1/42

     408,000        394,045  

5.267%, 11/1/64

     250,000        257,472  

ERAC USA Finance LLC, 3.850%, 11/15/24 (a)

     500,000        503,886  

Hologic, Inc., 3.250%, 2/15/29 (a)

     695,000        620,079  

Howard University

     

Series 2020, 1.991%, 10/1/25

     120,000        110,863  

Series 2020, 2.657%, 10/1/26

     100,000        93,263  

Series 2020, 3.476%, 10/1/41

     1,850,000        1,546,959  

Series 22A, 5.209%, 10/1/52

     470,000        431,028  

John D and Catherine T MacArthur Foundation, 1.299%, 12/1/30

     1,440,000        1,189,074  

Kaiser Foundation Hospitals, 3.150%, 5/1/27

     185,000        180,125  

McCormick & Co, Inc., 2.500%, 4/15/30

     700,000        621,028  

Mount Sinai Hospitals Group, Inc., 3.831%, 7/1/35

     1,400,000        1,319,396  

Northeastern University, 5.285%, 3/1/32

     100,000        106,292  

Ochsner Clinic Foundation, 5.897%, 5/15/45

     400,000        469,734  

Ochsner LSU Health System of North Louisiana, 2.510%, 5/15/31

     1,250,000        1,022,987  

PeaceHealth Obligated Group, 1.375%, 11/15/25

     1,000,000        926,142  

Royalty Pharma PLC

     

2.150%, 9/2/31

     350,000        282,189  

3.300%, 9/2/40

     1,250,000        979,295  

Stanford Health Care, 3.310%, 8/15/30

     595,000        574,097  

StoneCo, Ltd., 3.950%, 6/16/28

     1,200,000        988,476  

Thermo Fisher Scientific, Inc., 2.375%, 4/15/32

     305,000        321,806  

Thomas Jefferson University , 3.847%, 11/1/57

     2,100,000        1,775,984  
     

 

 

 
        20,982,493  
     

 

 

 

Energy – 0.7%

     

Greenko Dutch BV, 3.850%, 3/29/26 (a)

     882,700        805,817  

Investment Energy Resources, Ltd., 6.250%, 4/26/29 (a)

     925,000        914,126  
     

 

 

 
        1,719,943  
     

 

 

 

Financial – 9.8%

     

AIA Group, Ltd., 4.500%, 3/16/46 (a)

     325,000        316,495  

Air Lease Corp., 3.625%, 12/1/27

     500,000        472,093  

American International Group, Inc., 3.900%, 4/1/26

     380,000        378,725  

American Tower Corp.

     

3.375%, 5/15/24

     235,000        234,600  

5.000%, 2/15/24

     362,000        371,508  

AXA SA, 8.600%, 12/15/30

     400,000        504,034  

 

19


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Financial (Continued)

     

Bank of America Corp.

     

Series MTN, 2.456%, (3 Month USD-LIBOR + 0.87%), 10/22/25 (b)

     545,000      $ 525,494  

Series MTN, 4.083%, (3 Month USD-LIBOR + 3.15%), 3/20/51 (b)

     500,000        452,569  

7.750%, 5/14/38

     700,000        901,264  

BlueHub Loan Fund, Inc., 2.890%, 1/1/27

     600,000        568,527  

BNP Paribas SA, 3.800%, 1/10/24 (a)

     245,000        245,177  

Boston Properties L.P., 3.650%, 2/1/26

     430,000        425,352  

BPCE SA

     

3.000%, 5/22/22 (a)

     250,000        250,185  

4.875%, 4/1/26 (a)

     500,000        501,943  

Brandywine Operating Partnership L.P., 4.550%, 10/1/29

     500,000        495,437  

Brighthouse Financial, Inc., 5.625%, 5/15/30

     1,500,000        1,569,904  

Citigroup, Inc.

     

1.678%, (SOFR + 1.667), 5/15/24 (b)

     1,000,000        985,706  

2.561%, (SOFR + 1.167), 5/1/32 (b)

     500,000        423,192  

3.352%, (3 Month USD-LIBOR + 0.8966%), 4/24/25 (b)

     475,000        468,032  

4.412%, (SOFR + 3.914), 3/31/31 (b)

     750,000        734,216  

Cooperatieve Rabobank UA, 3.875%, 9/26/23 (a)

     250,000        252,479  

Credit Agricole SA, 4.125%, 1/10/27 (a)

     1,000,000        988,008  

Crown Castle International Corp., 3.700%, 6/15/26

     300,000        294,983  

Discover Financial Services, 3.750%, 3/4/25

     325,000        325,425  

Fifth Third Bancorp, 8.250%, 3/1/38

     425,000        588,516  

ING Groep NV, 4.625%, 1/6/26 (a)

     750,000        757,894  

Kreditanstalt fuer Wiederaufbau, 0.000%, 6/29/37

     6,000,000        3,711,615  

KWG Group Holdings, Ltd., 6.000%, 8/14/26

     475,000        167,556  

Marsh & McLennan Cos., Inc., 3.300%, 3/14/23

     100,000        100,527  

Morgan Stanley

     

Series MTN, 2.511%, (SOFR + 1.200), 10/20/32 (b)

     1,000,000        842,759  

Series GMTN, 2.699%, (SOFR + 1.143), 1/22/31 (b)

     640,000        563,835  

3.950%, 4/23/27

     210,000        206,296  

Nuveen Finance LLC, 4.125%, 11/1/24 (a)

     160,000        161,144  

Prologis L.P., 3.250%, 10/1/26

     165,000        162,471  

Regency Centers L.P., 3.750%, 6/15/24

     300,000        300,756  

Reinsurance Group of America, Inc.

     

3.950%, 9/15/26

     250,000        249,300  

Series MTN, 4.700%, 9/15/23

     164,000        166,856  

Scentre Group Trust 1/Scentre Group Trust 2, 4.375%, 5/28/30 (a)

     615,000        614,334  

Sumitomo Mitsui Trust Bank, Ltd., 1.550%, 3/25/26 (a)

     1,500,000        1,372,856  

U.S. Bancorp, Series MTN, 3.600%, 9/11/24

     493,000        495,771  

USAA Capital Corp., 2.125%, 5/1/30 (a)

     885,000        779,195  

Ventas Realty L.P., 3.500%, 2/1/25

     500,000        495,751  

 

20


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Financial (Continued)

     

Yuzhou Group Holdings Co., Ltd., 6.350%, 1/13/27

     255,000      $ 35,700  
     

 

 

 
        24,458,480  
     

 

 

 

Government – 1.0%

     

European Investment Bank, 0.750%, 9/23/30

     3,000,000        2,510,721  
     

 

 

 
        2,510,721  
     

 

 

 

Industrial – 0.7%

     

Klabin Austria GmbH, 5.750%, 4/3/29 (a)

     905,000        889,927  

Nature Conservancy (The), Series A, 1.154%, 7/1/27

     430,000        378,185  

WRKCo, Inc., 3.000%, 9/15/24

     375,000        371,202  
     

 

 

 
        1,639,314  
     

 

 

 

Technology – 1.1%

     

Apple, Inc., 2.650%, 5/11/50

     300,000        230,102  

Black Knight InfoServ LLC, 3.625%, 9/1/28 (a)

     200,000        185,745  

Broadcom, Inc.

     

3.187%, 11/15/36 (a)

     852,000        674,753  

4.150%, 11/15/30

     1,200,000        1,139,340  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.750%, 3/1/25 (a)

     395,000        394,512  
     

 

 

 
        2,624,452  
     

 

 

 

Utilities – 2.4%

     

Aegea Finance S.a.r.l., 5.750%, 10/10/24 (a)

     970,000        995,501  

Clearway Energy Operating LLC, 3.750%, 2/15/31 (a)

     560,000        482,454  

EDP Finance B.V., 1.710%, 1/24/28 (a)

     1,300,000        1,124,597  

Instituto Costarricense de Electricidad, 6.750%, 10/7/31 (a)

     700,000        700,493  

Interchile SA, 4.500%, 6/30/56 (a)

     1,315,000        1,154,103  

Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.500%, 8/15/28 (a)

     250,000        234,079  

Vena Energy Capital Pte, Ltd., 3.133%, 2/26/25

     1,380,000        1,331,801  
     

 

 

 
        6,023,028  
     

 

 

 

Total Corporate Bonds and Notes
(Cost $81,484,687)

        73,347,194  
     

 

 

 

U.S. Government Agency Obligations – 14.3%

     

Federal Farm Credit Banks Funding Corp.

     

2.625%, 10/15/49

     3,250,000        2,755,037  

2.780%, 11/2/37

     1,800,000        1,617,575  

3.430%, 4/6/45

     1,000,000        908,481  

3.660%, 3/7/44

     974,000        928,509  

Federal Home Loan Banks

     

0.900%, 2/26/27

     3,000,000        2,713,570  

2.375%, 3/14/25

     2,710,000        2,673,155  

3.250%, 11/16/28

     5,000,000        5,065,881  

Federal Home Loan Mortgage Corp. , 1.500%, 2/12/25

     5,600,000        5,397,303  

 

21


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

U.S. Government Agency Obligations (Continued)

     

Federal National Mortgage Association

     

0.750%, 10/8/27

     5,000,000      $ 4,453,015  

0.875%, 8/5/30

     8,000,000        6,685,071  

5.625%, 7/15/37

     2,000,000        2,495,014  
     

 

 

 

Total U.S. Government Agency Obligations
(Cost $39,321,690)

        35,692,611  
     

 

 

 

Municipal Bonds – 7.9%

     

American Municipal Power-Ohio, Inc., (Meldahl Hydroelectric Project), 6.270%, 2/15/50

     470,000        560,889  

Chicago Transit Authority Sales Tax Receipts Fund, 3.912%, 12/1/40

     260,000        244,733  

Colorado Health Facilities Authority, 4.480%, 12/1/40

     940,000        941,752  

Cook County Community High School District No. 228, IL, 5.019%, 12/1/41 (Insurer AGM)

     435,000        484,848  

County of Riverside, CA

     

2.963%, 2/15/27

     670,000        645,378  

3.070%, 2/15/28

     670,000        641,357  

District of Columbia, (Ingleside at Rock Creek)

     

3.432%, 4/1/42

     430,000        384,580  

4.125%, 7/1/27

     500,000        500,560  

Florida Development Finance Corp., 4.009%, 4/1/40

     925,000        840,143  

Illinois Finance Authority, 3.510%, 5/15/41

     1,000,000        839,138  

Lancaster County Hospital Authority, PA, (Brethren Village)

     

5.000%, 7/1/24

     165,000        169,962  

5.000%, 7/1/25

     135,000        140,225  

Maryland Health and Higher Educational Facilities Authority, (Meritus Medical Center), 3.968%, 7/1/27

     205,000        206,447  

Massachusetts Development Finance Agency, (NewBridge on the Charles, Inc.), 4.000%, 10/1/27

     100,000        105,560  

Massachusetts Educational Financing Authority

     

1.921%, 7/1/27

     615,000        557,906  

2.305%, 7/1/29

     1,000,000        891,812  

2.306%, 7/1/25

     200,000        191,391  

3.911%, 7/1/25

     125,000        125,544  

Metropolitan Government of Nashville and Davidson County, TN, (Vanderbilt University), 3.235%, 7/1/52

     800,000        669,911  

Metropolitan Transportation Authority, 5.175%, 11/15/49

     855,000        921,191  

New Jersey Educational Facilities Authority, 3.958%, 7/1/48 (Insurer AGM)

     1,000,000        891,053  

New York Transportation Development Corp., 4.248%, 9/1/35

     555,000        550,962  

New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment), 3.473%, 7/1/28

     500,000        458,501  

Oklahoma Development Finance Authority, (OU Medicine)

     

4.650%, 8/15/30 (Insurer AGM)

     130,000        131,775  

5.450%, 8/15/28

     770,000        787,042  

Oklahoma State University, 3.427%, 9/1/36

     100,000        91,990  

Oregon State University, 3.424%, 3/1/60 (Insurer BAM)

     1,000,000        879,365  

 

22


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
            Value  

Municipal Bonds (Continued)

        

Pennsylvania Industrial Development Authority, 3.556%, 7/1/24 (a)

     505,000         $ 504,240  

Philadelphia, PA, Water and Wastewater Revenue, 4.189%, 10/1/37

     665,000           650,988  

Redevelopment Authority of the City of Philadelphia

        

2.239%, 9/1/29

     145,000           129,786  

2.339%, 9/1/30

     1,000,000           889,273  

Regents of the University of California Medical Center Pooled Revenue, 3.706%, 5/15/20

     900,000           681,401  

Sacramento, CA, 5.730%, 8/15/23 (Insurer NATL) (b)

     340,000           345,630  

San Bernardino County, CA, Pension Obligation Revenue, 6.020%, 8/1/23 (Insurer AGM)

     145,000           148,874  

Shelby County, Health, Educational and Housing Facilities Board, (Trezevant Manor Project), 4.000%, 9/1/22

     250,000           248,902  

Southern Ohio Port Authority, 6.500%, 12/1/30

     470,000           448,026  

State Board of Administration Finance Corp., 1.258%, 7/1/25

     375,000           350,659  

Sustainable Energy Utility, Inc., 2.344%, 9/15/29

     900,000           823,124  

Uptown Development Authority, 2.581%, 9/1/31 (Insurer AGM)

     100,000           88,523  

Washington Housing Finance Commission, (Presbyterian Retirement Communities), 4.000%, 1/1/24

     100,000           99,555  

Wisconsin Health & Educational Facilities Authority

        

3.940%, 8/15/41

     335,000           304,587  

4.190%, 8/15/55

     190,000           169,612  
        

 

 

 

Total Municipal Bonds
(Cost $21,182,035)

           19,737,195  
        

 

 

 

Senior Floating Rate Interests – 2.1%

        

Communication Services – 0.3%

        

Charter Communications Operating, LLC 2019 Term Loan B2, 2.520%, (1 mo. USD LIBOR + 1.750%), 2/1/27 (b)

     283,071           279,992  

Go Daddy Operating Company, LLC 2021 Term Loan B4, 2.764%, (1 mo. USD LIBOR + 2.000%), 8/10/27 (b)

     304,575           301,957  

Xplornet Communications, Inc. 2021 Term Loan, 4.764%, (1 mo. USD LIBOR + 4.000%), 10/2/28 (b)

     268,650           264,201  
        

 

 

 
           846,150  
        

 

 

 

Consumer Discretionary – 0.2%

        

Adient US LLC 2021 Term Loan B, 4.014%, (1 mo. USD LIBOR + 3.250%), 4/10/28 (b)

     524           522  

American Builders & Contractors Supply Co., Inc. 2019 Term Loan, 2.764%, (1 mo. USD LIBOR + 2.000%), 1/15/27 (b)

     387,500           382,788  

Crocs, Inc. Term Loan B, 4.449%, (3 mo. USD SOFR CME + 3.500%), 2/17/29 (b)

     200,000           195,792  
        

 

 

 
           579,102  
        

 

 

 

Consumer Staples – 0.6%

        

Biogroup-LCD 2021 EUR Term Loan B, 3.000%, (6 mo. EUR Euribor + 3.000%), 2/9/28 (b)

     465,000        EUR        473,894  

Boels Topholding BV 2021 EUR Term Loan B, 3.250%, (3 mo. EUR Euribor + 3.250%), 2/6/27 (b)

     400,000        EUR        411,883  

Insulet Corporation Term Loan B, 4.014%, (1 mo. USD LIBOR + 3.250%), 5/4/28 (b)

     263,012           263,341  

 

23


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
            Value  

Consumer Staples (Continued)

        

Verisure Holding AB 2021 EUR Term Loan, 3.250%, (6 mo. EUR EURIBOR + 3.250%), 3/27/28 (b)

     300,000        EUR      $ 306,990  
        

 

 

 
           1,456,108  
        

 

 

 

Financials – 0.3%

        

Blackhawk Network Holdings, Inc. 2018 1st Lien Term Loan, 3.764%, (1 mo. USD LIBOR + 3.000%), 6/15/25 (b)

     173,250           171,319  

Russell Investments US Inst’l Holdco, Inc. 2020 Term Loan, 5.000%, (6 mo. USD LIBOR + 3.500%), 5/30/25 (b)

     383,620           380,023  

USI, Inc. 2017 Repriced Term Loan, 4.006%, (3 mo. USD LIBOR + 3.000%), 5/16/24 (b)

     167,125           165,851  
        

 

 

 
           717,193  
        

 

 

 

Industrials – 0.1%

        

Zephyr German BidCo GmbH EUR Term Loan B1, 3.400%, (3 mo. EUR Euribor + 3.400%), 3/10/28 (b)

     100,000        EUR        103,517  
        

 

 

 
           103,517  
        

 

 

 

Information Technology – 0.6%

        

Athenahealth, Inc. 2022 Term Loan B, 4.009%, (1 mo. USD SOFRTE + 3.500%), 2/15/29 (b)

     342,029           338,865  

Athenahealth, Inc. 2022 Delayed Draw Term Loan , 1.750%, 2/15/29 (d)

     57,971           57,435  

DCert Buyer, Inc. 2019 Term Loan B, 4.764%, (1 mo. USD LIBOR + 4.000%), 10/16/26 (b)

     386,876           385,829  

Finastra USA, Inc. USD 1st Lien Term Loan, 4.739%, (3 mo. USD LIBOR + 3.500%), 6/13/24 (b)

     249,163           242,523  

SS&C European Holdings S.A.R.L. 2018 Term Loan B4, 2.514%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (b)

     37,222           36,736  

SS&C Technologies Inc. 2018 Term Loan B3, 2.514%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (b)

     45,852           45,254  

Zelis Healthcare Corporation 2021 Term Loan, 3.955%, (1 mo. USD LIBOR + 3.500%), 9/30/26 (b)

     466,705           464,489  
        

 

 

 
           1,571,131  
        

 

 

 

Materials – 0.0%

        

Diamond (BC) B.V. 2021 Term Loan B, 3.514%, (1 mo. USD LIBOR + 2.750%), 9/29/28 (b)

     1,247           1,207  
        

 

 

 
           1,207  
        

 

 

 

Total Senior Floating Rate Interests
(Cost $5,543,464)

           5,274,408  
        

 

 

 

Foreign Government & Agency Securities – 1.9%

        

City of Ottawa Ontario, 2.500%, 5/11/51

     1,240,000        CAD        728,440  

City of Toronto Canada, 2.600%, 9/24/39

     1,060,000        CAD        686,811  

City of Vancouver, 2.300%, 11/5/31

     1,750,000        CAD        1,226,722  

Hong Kong Government International Bond, 2.500%, 5/28/24 (a)

     750,000           744,793  

Republic of Chile, 3.500%, 1/31/34

     1,465,000           1,332,403  
        

 

 

 

Total Foreign Government & Agency Securities
(Cost $5,324,732)

           4,719,169  
        

 

 

 

 

24


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Asset Backed Securities – 1.2%

     

Corevest American Finance Trust Series 2020-4 , 2.250%, 12/15/52 (a)

     100,000      $ 84,470  

Lendbuzz Securitization Trust

     

Series 2021-1A, 1.460%, 6/15/26 (a)

     482,844        473,052  

Series 2022-1A, 4.220%, 5/17/27 (a)

     1,290,000        1,286,025  

Mosaic Solar Loan Trust Series 2020-2A, 1.440%, 8/20/46 (a)

     149,762        134,218  

SBA Tower Trust Series 2014-2A, 3.869%, 10/15/49 (a)(e)

     500,000        502,426  

Tricolor Auto Securitization Trust

     

Series 2021-1A, 0.740%, 4/15/24 (a)

     124,741        124,312  

Series 2022-1A, 3.300%, 2/18/25 (a)

     350,000        349,988  
     

 

 

 

Total Asset Backed Securities
(Cost $2,996,032)

        2,954,491  
     

 

 

 

Convertible Bonds – 0.5%

     

Consumer Discretionary – 0.2%

     

Etsy, Inc.

     

0.125%, 10/1/26

     110,000        145,145  

0.125%, 9/1/27

     50,000        43,550  

NIO, Inc., 0.500%, 2/1/27

     325,000        255,116  
     

 

 

 
        443,811  
     

 

 

 

Health Care – 0.2%

     

Dexcom, Inc., 0.250%, 11/15/25

     205,000        215,378  

Insulet Corp., 0.375%, 9/1/26

     195,000        240,825  
     

 

 

 
        456,203  
     

 

 

 

Technology – 0.1%

     

Square, Inc., 0.125%, 3/1/25

     215,000        240,666  
     

 

 

 
        240,666  
     

 

 

 

Total Convertible Bonds
(Cost $1,472,548)

        1,140,680  
     

 

 

 

Certificates of Deposit – 0.2%

     

Self-Help Federal Credit Union, 2.500%, 6/27/22

     400,000        401,247  
     

 

 

 

Total Certificates of Deposit
(Cost $400,000)

        401,247  
     

 

 

 

Preferred Stocks – 0.2%

     

Health Care – 0.2%

     

Becton Dickinson and Co., Series B, 6.000%, 6/1/23

     5,000        255,550  

Danaher Corp., 5.000%, 4/15/23

     170        234,532  
     

 

 

 
        490,082  
     

 

 

 

Total Preferred Stocks
(Cost $548,610)

        490,082  
     

 

 

 

Total Long Term Investments
(Cost $290,072,054)

        269,776,295  
     

 

 

 

 

25


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Security

   Principal
Amount*
     Value  

Short Term Investments – 12.1%

     

U.S. Government Agency Obligations – 12.1%

     

Federal Farm Credit Discount Notes, 0.000%, 6/23/22

     12,000,000      $ 11,987,743  

Federal Home Loan Bank Discount Notes

     

0.000%, 5/4/22

     6,060,000        6,059,842  

0.000%, 6/17/22

     12,000,000        11,989,157  
     

 

 

 

Total Short Term Investments
(Cost $30,055,646)

        30,036,742  
     

 

 

 

Total Investments–120.5% (Cost $320,127,700)

        299,813,037  

Less Unfunded Loan Commitments (0.0)%(f)

        (57,435
     

 

 

 

Net Investments—120.5% (Cost $320,069,729)

        299,755,602  

Other Liabilities, less assets – (20.5)%

        (50,858,208
     

 

 

 

Net Assets – 100.0%

      $ 248,897,394  
     

 

 

 

 

*

The principal amount is stated in U.S. dollars unless otherwise indicated.

(a)

Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2022, the aggregate value of these securities was $52,357,252, representing 21.0% of net assets.

(b)

Floating/Variable note with current rate and current maturity or next reset date shown. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(c)

A portion or all of the security was purchased as a when issued or delayed delivery security.

(d)

Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2022, the total value of unfunded loan commitments is $73,913.

(e)

Step coupon bond.

(f)

Amount is less than 0.05%.

Abbreviations

TBA — To Be Announced

AGM — Assured Guaranty Municipal Corporation

BAM — Build America Mutual

NATL — National Public Finance Guarantee Corporation

EUR – Euro

 

26


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

At April 30, 2022, the Fund had the following forward currency contracts outstanding.

 

Currency Bought

   Currency Sold      Counterparty      Settlement
Date
     Quantity     Value      Unrealized
Appreciation
(Depreciation)
 

United States Dollar

     Canadian Dollar        Toronto Dominion Bank        6/15/22        3,967,000     $ 3,103,638      $ 3,725  

United States Dollar

     Euro Currency        Barclays Bank PLC        5/31/22        2,230,000       2,355,307        27,250  

United States Dollar

     Euro Currency        Deutsche Bank AG        6/15/22        465,000       491,519        29,570  

Canadian Dollar

     United States Dollar        Bank Of Montreal        6/15/22        (360,000     281,651        (5,633
                

 

 

 
                 $ 54,912  
                

 

 

 

At April 30, 2022, the Fund had the following future contracts outstanding.

 

Description

   Number of Contracts      Notional
Amount
    Value     Expiration Date      Unrealized
Appreciation
(Depreciation)
 

Euro-Bund (Short)

     44      $ (4,400,000   $ (7,129,312     6/8/22      $ 421,575  

10-Year Canadian Government Bond (Short)

     15      $ (1,500,000   $ (1,483,040     6/21/22      $ 115,683  
            

 

 

 
             $ 537,258  
            

 

 

 

At April 30, 2022, the Fund had the following centrally cleared interest rate swap contracts outstanding.

 

Description

   Counterparty/
Exchange
     Expiration Date      Notional
Amount
     Value     Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Pay Fixed rate annually 1.167% Receive Floating rate annually 12 month SOFR

     Morgan Stanley/LCH        6/16/28      $ 22,395,000      $ 1,945,421     $ 9,558     $ 1,935,863  

Pay Fixed rate annually 1.470% Receive Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        6/16/31        3,015,000        298,498       (45,545     344,043  

Receive Fixed rate annually 0.821% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        6/16/26        9,835,000        (741,149     (57,135     (684,014

Receive Fixed rate annually 1.220% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        3/16/29        8,400,000        (782,974     (507,715     (275,259

Receive Fixed rate annually 1.060% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        3/16/25        3,000,000        (142,542     (2,114     (140,428

Pay Fixed rate annually 2.250% Receive Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        6/15/32        2,910,000        119,320       81,684       37,636  

Pay Fixed rate annually 2.660% Receive Floating rate annually 12 month SOFR

     Morgan Stanley/ LCH        6/15/32        16,540,000        85,424       (4,327     89,751  

 

27


Domini Impact Bond Fund

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

 

Description

   Counterparty/
Exchange
     Expiration Date      Notional
Amount
     Value     Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Receive Fixed rate annually 2.030% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/LCH        6/15/52        1,980,000        (179,605     (6,761     (172,844

Receive Fixed rate annually 2.630% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/LCH        6/15/42        2,090,000        (8,064     (4,284     (3,780

Receive Fixed rate annually 2.470% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/LCH        6/15/52        4,185,000        3,475       (2,752     6,227  

Receive Fixed rate annually 2.630% Pay Floating rate annually 12 month SOFR

     Morgan Stanley/LCH        6/15/24        14,090,000        (60,030     (4,943 )       (55,087 )  
             

 

 

   

 

 

 
              $ (544,334   $ 1,082,108  
             

 

 

   

 

 

 

At April 30, 2022, the Fund had the following centrally cleared credit default swap contracts outstanding.

 

Description

   Counterparty/
Exchange
     Expiration
Date
     Notional
Amount (a)
     Value (b)      Upfront
Premiums
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

Sell Protection (c):

                 

CDX-NAHY Series 38, Version 1, 5 Year Index, Fixed Rate 5.000% (d)

     Morgan Stanley/ICE        6/20/27      $ 2,380,000      $ 34,731      $ 65,953      $ (31,222
              

 

 

    

 

 

 
               $ 65,953      $ (31,222
              

 

 

    

 

 

 

 

(a)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(b)

The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(c)

If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap and deliver/(take delivery) of the referenced obligation or underlying securities comprising the referenced index or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index.

(d)

Ratings of Moody’s/S&P - B1/B+

Abbreviations

LCH — London Clearing House

ICE — Intercontinental Exchange

See Notes to Portfolio of Investments

 

28


Domini Impact Bond Fund

NOTES TO PORTFOLIO OF INVESTMENTS

April 30, 2022 (Unaudited)

 

1. ORGANIZATION

The Domini Impact Bond Fund (the “Fund”) is a series of the Domini Investment Trust. The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”.

The Fund offers three classes of shares: Investor Shares, Institutional Shares and Class Y shares. Each class of shares is sold at its offering price, which is net asset value.

Each class of shares has identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets, and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and registration fees, directly attributable to that class. The Fund seeks to provide its shareholders with a high level of current income and total return.

2. SIGNIFICANT ACCOUNTING POLICIES

(A) Valuation of Investments. Bonds and other fixed-income securities (other than obligations with maturities of 60 days or less) are valued on the basis of valuations furnished by an independent pricing service, use of which has been approved by the Board of Trustees of the Fund. In making such valuations, the pricing service utilizes both dealer-supplied valuations and electronic data processing techniques that take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data, without exclusive reliance upon quoted prices or exchange or over-the-counter prices, since such valuations are believed to reflect more accurately the fair value of such securities.

Securities of sufficient credit quality (maturing in 60 days or less) are valued at amortized cost, which constitutes fair value as determined by the Board of Trustees of the Fund.

To Be Announced (TBA) or when-issued securities are valued at their issue price for up to five (5) trading days, or until broker quotes are readily available or an Authorized Pricing Service begins to provide quotations, whichever is shorter.

Derivative contracts traded on an exchange are valued at their most recent sale or official closing price on the exchange on which they are primarily traded, or, if no sales are reported on such exchange, at the mean between the last available bid and asked quotations on the exchange on which they are primarily traded.

Option contracts on securities, currencies and other financial instruments traded over-the-counter are valued at the most recent bid quotation in the case of purchased options and at the most recent asked quotation in the case of written options.

Futures contracts are valued at the most recent settlement price.

Foreign currency forward contracts are valued at the value of the underlying currencies at the prevailing currency exchange rates.

Swap contracts are valued at the evaluated price provided by an independent pricing service or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Securities (other than short-term obligations with remaining maturities of 60 days or less) for which there are no such quotations or valuations are valued at fair value as determined in good faith by or at the direction of the Fund’s Board of Trustees.

At least annually, Domini Impact Investments LLC (Domini) reviews and performs due diligence with respect to the pricing methodologies employed by any independent pricing service approved by the Fund’s Board of Trustees and utilized on behalf of the Funds. As part of this due diligence, Do-mini reviews each pricing service provider’s policies, procedures, and quality controls. Domini also tests certain valuations provided by the Fund’s pricing services with those received from other vendors, if available, and performs back testing, as applicable. Domini provides an annual due diligence report to the Fund’s Board of Trustees including its determination of whether the pricing methodology employed by such pricing service requires adjustments.

The Fund follows a fair value hierarchy that distinguishes between (a) market participant assumptions developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) the Fund’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). These inputs are used in determining the value of the Fund’s investments and are summarized in the following fair value hierarchy:

Level 1 - quoted prices in active markets for identical securities

Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, and evaluated quotation obtained from pricing services)

 

29


Domini Impact Bond Fund

NOTES TO PORTFOLIO OF INVESTMENTS

April 30, 2022 (Unaudited)

 

Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of April 30, 2022, in valuing the Fund’s assets carried at fair value:

 

     Level 1 -
Quoted Prices
     Level 2 -
Other
Significant
Observable
Inputs
     Level 3 -
Significant
Unobservable
Inputs
     Total  

Assets:

           

Long Term Investments in Securities:

           

Mortgage Backed Securities

   $ —        $ 126,019,218      $ —        $ 126,019,218  

Corporate Bonds and Notes

     —          73,347,194        —          73,347,194  

U.S. Government Agency Obligations

     —          35,692,611        —          35,692,611  

Municipal Bonds

     —          19,737,195        —          19,737,195  

Senior Floating Rate Interests

     —          5,274,408        —          5,274,408  

Foreign Government & Agency Securities

     —          4,719,169        —          4,719,169  

Asset Backed Securities

     —          2,954,491        —          2,954,491  

Convertible Bonds

     —          1,140,680        —          1,140,680  

Preferred Stocks

     490,082        —          —          490,082  

Certificates of Deposit

     —          401,247        —          401,247  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long Term Investments

   $ 490,082      $ 269,286,213      $ —        $ 269,776,295  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short Term Investments in Securities:

           

U.S. Government Agency Obligations

     —          30,036,742        —          30,036,742  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Short Term Investments

   $ —        $ 30,036,742      $ —        $ 30,036,742  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investment in Securities

   $ 490,082      $ 299,322,955      $ —        $ 299,813,037  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:

           

Forward Currency Contracts

     —          60,545        —          60,545  

Futures

     537,258        —          —          537,258  

Interest Rate Swap—CCP-

     —          2,413,520        —          2,413,520  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Other Financial Instruments

   $ 537,258      $ 2,474,065      $ —        $ 3,011,323  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities:

           

Other Financial Instruments:

           

Forward Currency Contracts

     —          (5,633      —          (5,633

Credit Default Swap—CCP

     —          (31,222      —          (31,222

Interest Rate Swap—CCP

     —          (1,331,412      —          (1,331,412

Unfunded Loans

     —          (16,478      —          (16,478
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Other Financial Instruments

   $ —        $ (1,384,745    $ —        $ (1,384,745
  

 

 

    

 

 

    

 

 

    

 

 

 

 

30