|
THE “UNAUDITED EXCHANGE-TRADED FUNDS HOLDINGS”
LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES
ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS
ADVERTISING OR SALES LITERATURE WITH THE GENERAL
PUBLIC. The list is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to
prospective investors in the Fund unless preceded or accompanied by a
prospectus. The list has been created from the books and records of
the Fund. Holdings are available 60 days after the fund’s fiscal quarter,
using a trade date accounting convention, by contacting the appropriate
service center. The list is subject to change without notice. The list is
for informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2026.
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — 34.5%
|
||
|
U.S. Treasury Bonds
|
|
|
|
1.13%, 5/15/2040
|
24,490,000
|
15,378,955
|
|
3.88%, 8/15/2040
|
600,000
|
545,250
|
|
4.25%, 11/15/2040
|
24,092,000
|
22,774,469
|
|
4.75%, 2/15/2041
|
4,000
|
3,987
|
|
2.88%, 5/15/2043
|
3,900,000
|
2,975,883
|
|
4.38%, 8/15/2043
|
8,650,000
|
8,098,225
|
|
3.63%, 2/15/2044
|
6,250,000
|
5,268,799
|
|
3.13%, 8/15/2044
|
10,360,000
|
8,059,756
|
|
4.13%, 8/15/2044
|
1,375,000
|
1,237,178
|
|
3.00%, 11/15/2044
|
3,200,000
|
2,432,000
|
|
3.00%, 5/15/2045
|
3,230,000
|
2,438,650
|
|
4.63%, 11/15/2045
|
11,666,000
|
11,148,321
|
|
3.00%, 8/15/2048
|
10,238,000
|
7,444,946
|
|
5.04%, 5/15/2049 (a)
|
12,315,000
|
3,805,517
|
|
2.88%, 5/15/2049
|
34,298,000
|
24,172,051
|
|
2.25%, 8/15/2049
|
31,585,000
|
19,474,127
|
|
2.38%, 11/15/2049
|
32,324,000
|
20,409,576
|
|
1.38%, 8/15/2050
|
50,531,000
|
24,505,561
|
|
2.25%, 2/15/2052
|
77,671,000
|
46,314,368
|
|
4.13%, 8/15/2053
|
1,194,000
|
1,035,375
|
|
4.25%, 2/15/2054
|
1,000,000
|
885,508
|
|
U.S. Treasury Notes
|
|
|
|
4.25%, 1/15/2028
|
23,590,000
|
23,682,148
|
|
4.25%, 2/15/2028
|
10,180,000
|
10,221,754
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|
3.75%, 4/15/2028
|
1,970,000
|
1,960,996
|
|
3.75%, 5/15/2028
|
8,775,000
|
8,732,496
|
|
3.88%, 7/15/2028
|
37,000,000
|
36,888,711
|
|
4.38%, 8/31/2028
|
14,066,000
|
14,168,748
|
|
4.63%, 9/30/2028
|
6,585,000
|
6,671,685
|
|
4.38%, 11/30/2028
|
3,000,000
|
3,023,789
|
|
4.00%, 1/31/2029
|
24,085,000
|
24,053,012
|
|
2.63%, 2/15/2029
|
47,800,000
|
46,061,648
|
|
2.38%, 3/31/2029
|
500,000
|
477,754
|
|
4.13%, 3/31/2029
|
3,895,000
|
3,902,151
|
|
4.50%, 5/31/2029
|
8,675,000
|
8,781,065
|
|
3.63%, 8/31/2029
|
138,138,000
|
136,249,394
|
|
4.13%, 10/31/2029
|
9,050,000
|
9,060,959
|
|
4.13%, 11/30/2029
|
2,770,000
|
2,773,462
|
|
4.00%, 2/28/2030
|
16,000,000
|
15,946,250
|
|
4.00%, 3/31/2030
|
2,120,000
|
2,112,630
|
|
3.88%, 7/31/2030
|
9,925,000
|
9,834,667
|
|
3.63%, 8/31/2030
|
55,862,000
|
54,788,402
|
|
4.13%, 8/31/2030
|
36,176,000
|
36,171,760
|
|
3.63%, 9/30/2030
|
18,647,000
|
18,282,801
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|
3.63%, 10/31/2030
|
54,991,000
|
53,886,884
|
|
4.88%, 10/31/2030
|
26,623,000
|
27,415,450
|
|
4.38%, 11/30/2030
|
6,300,000
|
6,362,508
|
|
3.63%, 12/31/2030
|
36,694,000
|
35,922,853
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — continued
|
||
|
3.88%, 3/31/2031
|
2,255,000
|
2,229,103
|
|
1.25%, 8/15/2031
|
4,190,000
|
3,622,386
|
|
3.75%, 8/31/2031
|
17,907,000
|
17,555,155
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|
1.38%, 11/15/2031
|
18,827,000
|
16,262,557
|
|
4.13%, 11/30/2031
|
5,951,000
|
5,934,263
|
|
4.50%, 12/31/2031
|
35,855,000
|
36,401,229
|
|
4.38%, 1/31/2032
|
38,225,000
|
38,563,948
|
|
1.88%, 2/15/2032
|
133,384,000
|
117,700,960
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|
4.13%, 2/29/2032
|
77,535,000
|
77,223,043
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|
4.00%, 6/30/2032
|
2,300,000
|
2,272,328
|
|
4.00%, 7/31/2032
|
93,778,000
|
92,594,785
|
|
3.88%, 8/31/2032
|
60,508,000
|
59,300,203
|
|
3.88%, 12/31/2032
|
42,247,000
|
41,314,596
|
|
3.50%, 2/15/2033
|
26,012,000
|
24,848,573
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|
4.50%, 11/15/2033
|
142,811,000
|
144,495,724
|
|
4.00%, 2/15/2034
|
123,148,400
|
120,497,823
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|
3.88%, 8/15/2034
|
155,290,000
|
150,158,150
|
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4.25%, 11/15/2034
|
22,025,000
|
21,833,142
|
|
4.63%, 2/15/2035
|
9,995,000
|
10,166,399
|
|
4.25%, 5/15/2035
|
11,995,000
|
11,860,993
|
|
4.25%, 8/15/2035
|
15,705,000
|
15,511,755
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U.S. Treasury STRIPS Bonds
|
|
|
|
4.34%, 5/15/2030 (a)
|
35,000,000
|
29,737,031
|
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4.58%, 8/15/2030 (a)
|
54,875,000
|
46,122,852
|
|
3.74%, 11/15/2030 (a)
|
74,109,000
|
61,644,783
|
|
4.07%, 2/15/2031 (a)
|
41,185,000
|
33,885,452
|
|
4.70%, 5/15/2031 (a)
|
3,040,000
|
2,473,180
|
|
4.04%, 8/15/2031 (a)
|
55,940,000
|
44,997,423
|
|
4.54%, 11/15/2031 (a)
|
28,440,000
|
22,620,162
|
|
4.42%, 2/15/2032 (a)
|
11,285,000
|
8,872,531
|
|
4.25%, 11/15/2033 (a)
|
26,345,000
|
19,078,229
|
|
4.11%, 8/15/2034 (a)
|
7,772,000
|
5,419,387
|
|
4.06%, 11/15/2034 (a)
|
3,886,000
|
2,675,063
|
|
4.31%, 2/15/2035 (a)
|
2,752,000
|
1,870,428
|
|
4.39%, 8/15/2035 (a)
|
84,484,000
|
55,978,145
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|
4.22%, 11/15/2035 (a)
|
9,000,000
|
5,885,193
|
|
4.44%, 2/15/2036 (a)
|
151,817,000
|
97,957,440
|
|
4.37%, 5/15/2036 (a)
|
23,384,000
|
14,884,248
|
|
4.53%, 8/15/2036 (a)
|
53,279,000
|
33,472,033
|
|
4.47%, 11/15/2036 (a)
|
9,812,000
|
6,078,901
|
|
4.58%, 2/15/2037 (a)
|
74,663,000
|
45,612,066
|
|
4.49%, 5/15/2037 (a)
|
35,545,000
|
21,427,051
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|
4.59%, 8/15/2037 (a)
|
122,248,000
|
72,609,691
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|
4.52%, 11/15/2037 (a)
|
99,656,000
|
58,339,530
|
|
4.73%, 2/15/2038 (a)
|
125,000,000
|
72,135,545
|
|
1.48%, 2/15/2040 (a)
|
147,271,000
|
75,369,382
|
|
4.73%, 5/15/2040 (a)
|
50,787,000
|
25,602,255
|
|
4.81%, 8/15/2040 (a)
|
15,766,000
|
7,821,817
|
|
5.39%, 11/15/2040 (a)
|
7,210,000
|
3,524,914
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — continued
|
||
|
6.24%, 2/15/2041 (a)
|
2,249,000
|
1,081,767
|
|
5.00%, 2/15/2042 (a)
|
1,211,000
|
548,795
|
|
5.06%, 11/15/2042 (a)
|
5,310,000
|
2,300,999
|
|
4.96%, 5/15/2043 (a)
|
28,680,000
|
12,051,736
|
|
5.10%, 8/15/2043 (a)
|
104,542,000
|
43,231,242
|
|
5.14%, 2/15/2044 (a)
|
65,000,000
|
26,116,279
|
|
5.10%, 2/15/2045 (a)
|
14,300,000
|
5,418,986
|
|
5.32%, 2/15/2049 (a)
|
9,435,000
|
2,900,391
|
|
5.13%, 11/15/2049 (a)
|
70,445,000
|
20,896,069
|
|
Total U.S. Treasury Obligations
(Cost $2,864,977,526)
|
|
2,826,830,590
|
|
Asset-Backed Securities — 19.6%
|
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|
ACHD Trust Series 2025-DS1, Class A, 5.98%, 1/9/2034 (b)
|
2,436,239
|
2,439,696
|
|
ACHM Trust Series 2025-HE3, Class A, 5.20%, 11/25/2055 (b) (c)
|
3,989,559
|
3,944,904
|
|
AMCR ABS Trust Series 2026-A, Class B, 6.25%, 5/18/2033 (b)
|
2,357,000
|
2,364,699
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2016-1, Class A, 4.10%, 1/15/2028
|
6,028,922
|
5,927,451
|
|
Series 2016-2, Class A, 3.65%, 6/15/2028
|
2,922,500
|
2,833,182
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2023-4, Class C, 6.99%, 9/12/2030 (b)
|
110,500
|
110,958
|
|
Series 2025-1, Class D, 5.54%, 8/12/2031 (b)
|
8,000,000
|
8,089,493
|
|
Series 2024-1, Class E, 7.98%, 11/12/2031 (b)
|
6,500,000
|
6,727,542
|
|
Series 2024-3, Class E, 7.92%, 3/12/2032 (b)
|
4,500,000
|
4,692,943
|
|
Series 2026-2, Class C, 4.85%, 5/10/2032 (b)
|
5,077,000
|
5,062,725
|
|
Series 2026-1, Class D, 5.10%, 1/12/2033 (b)
|
9,245,000
|
9,183,637
|
|
Series 2025-2, Class E, 7.66%, 2/14/2033 (b)
|
6,000,000
|
6,259,871
|
|
AMSR Trust
|
|
|
|
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (b)
|
1,000,000
|
939,708
|
|
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b)
|
705,000
|
695,703
|
|
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (b)
|
1,000,000
|
971,995
|
|
Series 2023-SFR1, Class E1, 4.00%, 4/17/2040 (b)
|
520,000
|
503,194
|
|
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (b)
|
3,000,000
|
2,895,534
|
|
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (b)
|
700,000
|
672,477
|
|
Series 2023-SFR2, Class E2, 3.95%, 6/17/2040 (b)
|
1,530,000
|
1,466,807
|
|
Series 2024-SFR2, Class D, 4.15%, 11/17/2041 (b)
|
1,097,000
|
1,049,808
|
|
Series 2025-SFR1, Class D, 3.66%, 6/17/2042 (b)
|
1,750,000
|
1,618,459
|
|
Series 2025-SFR1, Class E1, 3.66%, 6/17/2042 (b)
|
5,750,000
|
5,262,697
|
|
Series 2025-SFR2, Class D, 4.28%, 11/17/2042 (b)
|
3,417,000
|
3,225,721
|
|
Series 2026-SFR1, Class B, 3.78%, 4/17/2043 (b)
|
10,000,000
|
9,310,241
|
|
Series 2026-SFR1, Class C, 3.78%, 4/17/2043 (b)
|
8,853,000
|
8,178,275
|
|
Ansley Park Capital LLC
|
|
|
|
Series 2025-A, Class C, 4.82%, 4/20/2035 (b)
|
2,000,000
|
1,966,909
|
|
Series 2025-A, Class D, 5.33%, 4/20/2035 (b)
|
7,440,000
|
7,329,676
|
|
Aqua Finance Issuer Trust
|
|
|
|
Series 2025-A, Class C, 5.81%, 12/19/2050 (b)
|
1,660,649
|
1,670,499
|
|
Series 2026-A, Class A, 4.76%, 4/17/2051 (b)
|
4,421,062
|
4,385,415
|
|
Series 2025-B, Class B, 5.04%, 5/17/2051 (b)
|
2,316,923
|
2,316,392
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class B, 3.47%, 7/16/2040 (b)
|
2,826,669
|
2,751,210
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2019-A, Class C, 4.01%, 7/16/2040 (b)
|
362,167
|
354,139
|
|
Series 2021-A, Class B, 2.40%, 7/17/2046 (b)
|
6,135,506
|
5,682,188
|
|
Series 2021-A, Class C, 3.14%, 7/17/2046 (b)
|
5,800,842
|
5,369,839
|
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (b)
|
188,485
|
181,436
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2025-1A, Class C, 5.87%, 8/20/2029 (b)
|
2,000,000
|
2,013,901
|
|
Series 2025-3A, Class C, 4.95%, 2/20/2030 (b)
|
1,235,000
|
1,216,802
|
|
Series 2025-2A, Class C, 6.24%, 8/20/2031 (b)
|
3,500,000
|
3,543,484
|
|
BARC Series 2026-CES1, Class A1A, 4.84%, 1/25/2056 (b) (d)
|
3,612,322
|
3,569,175
|
|
BDS LLC Series 2026-FL17, Class A, 5.00%, 5/19/2043 (b) (c)
|
10,227,000
|
10,229,690
|
|
BG Beta Ltd. (Cayman Islands)
|
|
|
|
6.28%, 7/16/2054 ‡
|
965,000
|
966,159
|
|
7.12%, 7/16/2054 ‡
|
964,646
|
958,569
|
|
Blue Owl Asset Leasing Trust LLC Series 2024-1A, Class C, 6.38%, 1/15/2031 (b)
|
1,550,000
|
1,568,955
|
|
Bridge Trust
|
|
|
|
Series 2024-SFR1, Class C, 4.30%, 8/17/2040 (b)
|
525,000
|
506,732
|
|
Series 2025-SFR1, Class B, 4.20%, 9/17/2042 (b)
|
5,155,965
|
4,867,120
|
|
Series 2025-SFR1, Class C, 4.20%, 9/17/2042 (b)
|
1,391,213
|
1,297,306
|
|
Series 2025-SFR1, Class D, 4.20%, 9/17/2042 (b)
|
7,973,296
|
7,392,655
|
|
Series 2025-SFR1, Class E, 4.35%, 9/17/2042 (b)
|
4,274,365
|
3,931,529
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-3, Class C, 5.70%, 7/16/2029
|
1,564,000
|
1,575,906
|
|
Series 2023-1, Class C, 7.10%, 8/15/2029
|
296,658
|
299,514
|
|
Series 2024-1, Class D, 6.03%, 11/15/2029
|
5,000,000
|
5,070,532
|
|
Series 2024-3, Class D, 5.83%, 5/15/2030
|
12,017,000
|
12,167,037
|
|
Series 2024-4, Class D, 5.23%, 8/15/2030
|
1,150,000
|
1,153,384
|
|
Series 2025-1, Class D, 5.64%, 11/15/2030
|
6,375,000
|
6,440,175
|
|
Series 2025-2, Class D, 5.62%, 3/17/2031
|
9,080,000
|
9,188,590
|
|
Series 2025-3, Class D, 5.27%, 5/15/2031
|
5,500,000
|
5,517,075
|
|
Series 2025-4, Class D, 5.41%, 8/15/2031
|
4,889,000
|
4,910,706
|
|
Series 2026-1, Class D, 4.99%, 11/17/2031
|
4,500,000
|
4,462,535
|
|
Business Jet Securities LLC
|
|
|
|
Series 2022-1A, Class B, 5.19%, 6/15/2037 ‡ (b)
|
1,042,629
|
1,028,290
|
|
Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (b)
|
3,188,659
|
3,178,685
|
|
Series 2024-2A, Class B, 5.75%, 9/15/2039 ‡ (b)
|
1,559,558
|
1,543,202
|
|
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 (b)
|
100,364
|
99,899
|
|
CarMax Select Receivables Trust Series 2025-A, Class C, 5.46%, 7/15/2031
|
5,000,000
|
5,065,302
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2021-P4, Class A4, 1.64%, 12/10/2027
|
83,926
|
83,648
|
|
Series 2022-P1, Class A4, 3.52%, 2/10/2028
|
85,264
|
85,190
|
|
Series 2024-N2, Class C, 5.82%, 9/10/2030 (b)
|
2,085,000
|
2,115,564
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2019-MH1, Class M, 5.99%, 11/25/2044 (b) (c)
|
5,200,000
|
5,009,753
|
|
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (b)
|
3,240,412
|
2,957,002
|
|
Series 2021-MH1, Class M2, 3.69%, 2/25/2046 (b)
|
3,007,000
|
2,424,866
|
|
Series 2024-MH1, Class A1, 5.69%, 11/25/2056 (b) (c)
|
1,169,308
|
1,181,684
|
|
Series 2024-MH1, Class A2, 6.06%, 11/25/2056 (b) (c)
|
1,554,000
|
1,590,130
|
|
Series 2024-MH1, Class M1, 6.26%, 11/25/2056 (b) (c)
|
1,000,000
|
1,023,222
|
|
Series 2024-MH1, Class M2, 6.56%, 11/25/2056 (b) (c)
|
324,000
|
331,912
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Cherry Securitization Trust
|
|
|
|
Series 2024-1A, Class A, 5.70%, 4/15/2032 (b)
|
1,375,000
|
1,379,291
|
|
Series 2025-1A, Class A, 6.13%, 11/15/2032 (b)
|
1,500,000
|
1,516,863
|
|
Consumer Portfolio Services Auto Trust
|
|
|
|
Series 2025-B, Class D, 5.56%, 7/15/2031 (b)
|
2,200,000
|
2,220,430
|
|
Series 2025-D, Class C, 4.85%, 2/17/2032 (b)
|
4,000,000
|
3,995,572
|
|
Continental Finance Credit Card ABS Master Trust
|
|
|
|
Series 2024-A, Class A, 5.78%, 12/15/2032 (b)
|
3,160,000
|
3,176,591
|
|
Series 2024-A, Class B, 6.22%, 12/15/2032 (b)
|
810,000
|
817,489
|
|
Series 2025-A, Class A, 5.40%, 12/17/2035 (b)
|
9,755,000
|
9,721,219
|
|
Corevest American Finance Trust
|
|
|
|
Series 2020-2, Class C, 4.48%, 5/15/2052 (b) (c)
|
525,000
|
518,758
|
|
Series 2020-2, Class E, 4.48%, 5/15/2052 (b) (c)
|
2,699,000
|
2,542,596
|
|
Series 2020-4, Class E, 3.38%, 12/15/2052 (b)
|
3,432,000
|
2,997,631
|
|
CoreVest American Finance Trust Series 2017-2, Class M, 5.30%, 12/25/2027 (b) (c)
|
7,250,000
|
7,141,959
|
|
CPS Auto Receivables Trust Series 2023-D, Class C, 7.17%, 1/15/2030 (b)
|
256,602
|
258,462
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2024-3A, Class C, 5.39%, 1/16/2035 (b)
|
7,083,000
|
7,113,816
|
|
Series 2025-1A, Class C, 5.71%, 7/16/2035 (b)
|
6,145,000
|
6,187,582
|
|
Series 2025-2A, Class B, 4.87%, 1/15/2036 (b)
|
2,955,000
|
2,941,610
|
|
Series 2025-2A, Class C, 5.38%, 3/17/2036 (b)
|
12,509,000
|
12,514,991
|
|
Series 2026-1A, Class B, 4.96%, 6/16/2036 (b)
|
4,430,000
|
4,402,118
|
|
Crossroads Asset Trust
|
|
|
|
Series 2022-A, Class D, 8.99%, 4/21/2031 ‡ (b)
|
3,000,000
|
3,005,810
|
|
Series 2025-A, Class D, 6.16%, 2/20/2032 (b)
|
1,680,000
|
1,691,276
|
|
CVS Pass-Through Trust
|
|
|
|
6.04%, 12/10/2028
|
3,887,960
|
3,904,125
|
|
6.94%, 1/10/2030
|
200,291
|
206,359
|
|
5.93%, 1/10/2034 (b)
|
357,774
|
362,984
|
|
D2 Multifamily Credit Issuer Ltd. (Cayman Islands) Series 2026-FL1, Class A, 5.11%,
11/19/2043 (b) (c)
|
4,105,000
|
4,108,629
|
|
Dec
|
|
|
|
6.02%, 3/13/2030 ‡ (b)
|
8,000,000
|
8,000,000
|
|
6.91%, 1/15/2031 ‡ (b)
|
8,000,000
|
8,000,000
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
Series 2025-CES1, Class A1A, 5.22%, 10/25/2055 (b) (d)
|
10,471,287
|
10,439,300
|
|
Series 2026-CES1, Class A1A, 5.31%, 3/25/2061 (b) (d)
|
11,958,845
|
11,912,432
|
|
Dext ABS LLC Series 2025-2, Class A3, 4.23%, 4/15/2036 (b)
|
2,765,000
|
2,756,912
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b)
|
1,709,144
|
1,705,042
|
|
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043
|
178,224
|
182,065
|
|
Drive Auto Receivables Trust
|
|
|
|
Series 2024-2, Class C, 4.67%, 5/17/2032
|
720,000
|
723,057
|
|
Series 2024-2, Class D, 4.94%, 5/17/2032
|
2,000,000
|
2,012,471
|
|
Series 2025-1, Class D, 5.41%, 9/15/2032
|
2,900,000
|
2,919,562
|
|
Series 2025-2, Class D, 4.90%, 12/15/2032
|
5,615,000
|
5,576,002
|
|
DT Auto Owner Trust
|
|
|
|
Series 2023-2A, Class D, 6.62%, 2/15/2029 (b)
|
1,000,000
|
1,015,670
|
|
Series 2022-2A, Class E, 6.45%, 5/15/2029 (b)
|
2,000,000
|
2,007,204
|
|
Series 2023-1A, Class E, 10.39%, 1/15/2030 (b)
|
2,000,000
|
2,064,874
|
|
EJ 6.37%, 10/10/2041 ‡
|
14,474,000
|
14,474,000
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
EJ Hugoton 5.39%, 10/10/2041 ‡
|
5,000,000
|
5,000,000
|
|
Elara Hgv Timeshare Issuer LLC Series 2025-A, Class A, 4.54%, 1/25/2040 (b)
|
2,051,943
|
2,033,616
|
|
Energy Assets 8.11%, 8/25/2044 ‡
|
210,386
|
211,567
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2025-2A, Class D, 5.89%, 7/15/2031
|
4,900,000
|
4,994,075
|
|
Series 2025-3A, Class D, 5.57%, 10/15/2031
|
2,400,000
|
2,420,626
|
|
Series 2025-4A, Class D, 5.23%, 1/15/2032
|
6,080,000
|
6,079,216
|
|
Series 2025-5A, Class C, 4.68%, 3/15/2032
|
3,445,000
|
3,432,071
|
|
Series 2025-5A, Class D, 5.16%, 3/15/2032
|
3,098,000
|
3,098,820
|
|
Series 2026-2A, Class D, 5.51%, 8/16/2032
|
11,250,000
|
11,301,771
|
|
Exeter Select Automobile Receivables Trust Series 2025-3, Class C, 5.00%, 3/15/2032
|
5,000,000
|
5,003,884
|
|
FHF Issuer Trust Series 2023-2A, Class B, 7.49%, 11/15/2029 (b)
|
450,000
|
459,436
|
|
FIGRE Trust
|
|
|
|
Series 2025-HE5, Class B, 5.48%, 8/25/2055 (b) (c)
|
826,917
|
824,782
|
|
Series 2025-HE7, Class A, 5.15%, 11/25/2055 (b) (c)
|
2,748,814
|
2,729,713
|
|
Series 2026-HE4, Class A, 5.30%, 5/25/2056 (b) (c)
|
8,074,933
|
8,043,296
|
|
First Investors Auto Owner Trust
|
|
|
|
Series 2023-1A, Class C, 6.81%, 12/17/2029 (b)
|
340,000
|
347,090
|
|
Series 2025-1A, Class C, 4.75%, 12/15/2031 (b)
|
2,410,000
|
2,391,848
|
|
Series 2025-1A, Class D, 5.22%, 12/15/2033 (b)
|
1,755,000
|
1,740,259
|
|
FirstKey Homes Trust
|
|
|
|
Series 2022-SFR3, Class E2, 3.50%, 7/17/2038 (b)
|
10,000,000
|
9,958,943
|
|
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (b)
|
450,000
|
446,869
|
|
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b)
|
6,355,000
|
6,310,873
|
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (b)
|
4,000,000
|
3,972,069
|
|
Series 2021-SFR2, Class C, 1.71%, 9/17/2038 (b)
|
1,000,000
|
990,212
|
|
Series 2022-SFRA, Class A, 3.10%, 3/17/2039 (b)
|
290,643
|
286,948
|
|
Series 2022-SFRA, Class E1, 4.56%, 3/17/2039 (b)
|
1,500,000
|
1,485,305
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (c)
|
7,401,964
|
7,125,433
|
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (b) (c)
|
7,500,000
|
7,275,100
|
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (c)
|
3,022,400
|
2,909,767
|
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (b) (c)
|
6,680,000
|
6,472,402
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (b)
|
500,000
|
500,816
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2028 (b) (c)
|
1,600,000
|
1,578,529
|
|
Fortiva Retail Credit Master Note Business Trust
|
|
|
|
Series 2025-TWO, Class A, 5.92%, 5/15/2031 (b)
|
11,050,000
|
11,050,126
|
|
Series 2025-TWO, Class B, 6.90%, 5/15/2031 ‡ (b)
|
4,000,000
|
4,010,000
|
|
Foundation Finance Trust
|
|
|
|
Series 2021-1A, Class A, 1.27%, 5/15/2041 (b)
|
417,731
|
398,730
|
|
Series 2023-2A, Class D, 9.10%, 6/15/2049 (b)
|
382,389
|
404,803
|
|
Series 2024-1A, Class C, 6.53%, 12/15/2049 (b)
|
356,297
|
364,673
|
|
Series 2024-1A, Class D, 8.13%, 12/15/2049 (b)
|
1,781,486
|
1,855,497
|
|
Series 2024-2A, Class B, 4.93%, 3/15/2050 (b)
|
446,238
|
444,025
|
|
FRTKL
|
|
|
|
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (b)
|
3,000,000
|
2,969,003
|
|
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (b)
|
905,000
|
895,490
|
|
Series 2021-SFR1, Class E1, 2.37%, 9/17/2038 (b)
|
1,250,000
|
1,236,991
|
|
Series 2021-SFR1, Class E2, 2.52%, 9/17/2038 (b)
|
1,150,000
|
1,137,804
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
FW Energy Asset Issuer LLC 7.15%, 8/25/2044 ‡
|
424,535
|
429,242
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2021-4A, Class D, 2.48%, 10/15/2027 (b)
|
193,784
|
193,261
|
|
Series 2022-2A, Class E, 5.50%, 6/15/2029 (b)
|
7,470,000
|
7,489,121
|
|
Series 2025-1A, Class D, 5.61%, 11/15/2030 (b)
|
2,900,000
|
2,939,200
|
|
Series 2025-2A, Class D, 5.59%, 1/15/2031 (b)
|
3,300,000
|
3,334,993
|
|
Series 2024-3A, Class D, 5.53%, 2/18/2031 (b)
|
1,000,000
|
1,009,001
|
|
Series 2025-3A, Class D, 5.16%, 6/16/2031 (b)
|
2,310,000
|
2,303,451
|
|
Series 2025-4A, Class D, 5.13%, 8/15/2031 (b)
|
6,000,000
|
5,971,526
|
|
Series 2026-2A, Class C, 4.90%, 1/15/2032 (b)
|
3,500,000
|
3,494,670
|
|
Series 2026-2A, Class D, 5.38%, 1/15/2032 (b)
|
2,685,000
|
2,690,330
|
|
GLS Auto Select Receivables Trust
|
|
|
|
Series 2023-2A, Class A3, 6.38%, 2/15/2029 (b)
|
484,896
|
488,292
|
|
Series 2024-1A, Class C, 5.69%, 3/15/2030 (b)
|
300,000
|
305,125
|
|
Series 2023-1A, Class D, 7.93%, 7/15/2030 (b)
|
2,000,000
|
2,103,050
|
|
Series 2024-3A, Class B, 5.64%, 8/15/2030 (b)
|
1,000,000
|
1,016,271
|
|
Series 2024-1A, Class D, 6.43%, 1/15/2031 (b)
|
295,000
|
302,922
|
|
Series 2025-3A, Class C, 4.94%, 9/15/2031 (b)
|
1,350,000
|
1,348,697
|
|
Golden Bear LLC Series 2016-1A, Class A, 3.75%, 9/20/2047 (b)
|
1,860,512
|
1,706,748
|
|
Goldman Home Improvement Trust Issuer Trust Series 2022-GRN2, Class D, 9.75%, 10/25/2052 (b)
|
2,874,389
|
2,999,730
|
|
Goodgreen (Cayman Islands)
|
|
|
|
Series 2018-1A, Class A, 3.93%, 10/15/2053 (b) (c)
|
8,499,387
|
7,885,435
|
|
Series 2019-1A, Class A, 3.86%, 10/15/2054 (b)
|
7,981,791
|
7,336,809
|
|
Series 2019-2A, Class A, 2.76%, 4/15/2055 (b)
|
7,568,310
|
6,514,145
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 (b)
|
1,129,609
|
1,117,672
|
|
Goodgreen Ltd.
|
|
|
|
Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (b)
|
397,069
|
397,006
|
|
Series 2024-1A, Class B, 8.12%, 7/15/2056 ‡ (b)
|
397,105
|
398,299
|
|
Goodgreen Trust
|
|
|
|
Series 2016-1A, Class A, 3.23%, 10/15/2052 (b)
|
3,118,012
|
2,835,594
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)
|
1,630,385
|
1,510,186
|
|
Series 2017-2A, Class A, 3.26%, 10/15/2053 (b)
|
1,402,547
|
1,261,253
|
|
Series 2020-1A, Class A, 2.63%, 4/15/2055 (b)
|
7,412,433
|
6,197,913
|
|
Series 2021-1A, Class B, 3.01%, 10/15/2056 (b)
|
390,642
|
293,080
|
|
GoodLeap Home Improvement Solutions Trust
|
|
|
|
Series 2025-1A, Class A, 5.38%, 2/20/2049 (b)
|
1,216,894
|
1,216,577
|
|
Series 2025-3A, Class A, 5.00%, 10/20/2049 (b)
|
5,501,130
|
5,443,808
|
|
Series 2026-1A, Class A, 5.31%, 12/20/2049 (b)
|
12,991,105
|
12,939,590
|
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class D, 7.00%, 8/22/2033 (b)
|
350,000
|
352,826
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2026-CES1, Class A1, 4.90%, 5/25/2056 (b) (d)
|
6,101,473
|
6,049,704
|
|
Series 2026-CES2, Class A1A, 5.23%, 6/25/2056 (b) (d)
|
12,315,125
|
12,263,819
|
|
Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (b) (c)
|
4,829,667
|
4,855,369
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A1, 3.19%, 9/20/2048 (b)
|
1,806,064
|
1,648,607
|
|
Series 2018-1A, Class A2, 4.67%, 9/20/2048 (b)
|
4,357,716
|
4,201,002
|
|
HERO Funding Trust
|
|
|
|
Series 2015-3A, Class A, 4.28%, 9/20/2041 (b)
|
652,073
|
633,195
|
|
Series 2020-1A, Class A, 2.59%, 9/20/2057 (b)
|
403,799
|
349,870
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-2A, Class B, 4.74%, 1/25/2037 (b)
|
171,719
|
170,615
|
|
Series 2024-1B, Class B, 5.99%, 9/15/2039 (b)
|
158,141
|
160,416
|
|
Series 2024-3A, Class C, 5.71%, 8/27/2040 (b)
|
2,734,044
|
2,737,633
|
|
Series 2025-1A, Class C, 5.52%, 5/27/2042 (b)
|
1,864,409
|
1,864,382
|
|
Series 2026-1A, Class B, 5.01%, 2/25/2043 (b)
|
5,618,987
|
5,604,730
|
|
Series 2026-1A, Class C, 5.36%, 2/25/2043 (b)
|
4,723,328
|
4,711,058
|
|
Series 2025-2A, Class B, 4.73%, 5/25/2044 (b)
|
8,807,509
|
8,708,661
|
|
Series 2025-2A, Class C, 5.12%, 5/25/2044 (b)
|
1,628,061
|
1,611,828
|
|
Series 2025-3EXT, Class B, 4.90%, 10/25/2044 (b)
|
6,356,878
|
6,309,119
|
|
Series 2025-3EXT, Class C, 5.39%, 10/25/2044 (b)
|
5,387,816
|
5,363,168
|
|
HINNT LLC
|
|
|
|
Series 2022-A, Class B, 4.65%, 5/15/2041 (b)
|
1,757,154
|
1,747,106
|
|
Series 2024-A, Class C, 6.32%, 3/15/2043 (b)
|
271,827
|
274,612
|
|
Series 2025-A, Class B, 5.45%, 3/15/2044 (b)
|
2,194,868
|
2,209,312
|
|
Series 2025-B, Class C, 5.24%, 5/15/2045 (b)
|
2,174,101
|
2,149,099
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class D, 2.65%, 12/17/2026 (b)
|
3,117,871
|
3,072,395
|
|
Series 2021-2, Class E1, 2.85%, 12/17/2026 (b)
|
7,334,192
|
7,232,543
|
|
Series 2022-1, Class D, 4.73%, 4/17/2039 (b)
|
333,673
|
330,505
|
|
Series 2020-2, Class B, 1.98%, 1/17/2041 (b)
|
1,418,758
|
1,314,654
|
|
Series 2021-3, Class D, 3.00%, 1/17/2041 (b)
|
2,416,280
|
2,259,773
|
|
Series 2020-2, Class E, 3.08%, 1/17/2041 (b)
|
471,737
|
441,732
|
|
Series 2021-3, Class E1, 3.20%, 1/17/2041 (b)
|
6,264,430
|
5,845,914
|
|
Hornbeck Offshore 8.90%, 1/1/2044 ‡ (b)
|
2,913,180
|
2,978,727
|
|
Huntington Bank Auto Credit-Linked Notes Series 2025-2, Class B1, 4.84%, 9/20/2033 (b)
|
4,665,262
|
4,662,706
|
|
Identity Digital Capital LLC 6.79%, 3/20/2065 ‡
|
3,500,000
|
3,486,000
|
|
Invitation Homes Trust
|
|
|
|
Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (b)
|
1,615,000
|
1,546,615
|
|
Series 2024-SFR1, Class E, 4.50%, 9/17/2041 (b)
|
1,720,000
|
1,642,648
|
|
JBHP 6.31%, 12/15/2041 ‡
|
17,813,000
|
17,813,000
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2022-1, Class A1, 7.20%, 12/10/2037 (b)
|
2,046,433
|
2,073,274
|
|
Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (b)
|
2,803,101
|
2,807,305
|
|
Series 2025-1A, Class A2, 7.36%, 12/10/2040 (b)
|
1,767,123
|
1,761,292
|
|
Series 2025-2A, Class A1, 5.91%, 1/10/2041 ‡ (b)
|
1,445,859
|
1,443,979
|
|
Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031 (b)
|
1,470,000
|
1,450,468
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class B, 2.47%, 11/20/2031 (b)
|
400,000
|
381,822
|
|
Series 2021-1A, Class C, 3.41%, 11/20/2031 (b)
|
1,900,000
|
1,820,968
|
|
Series 2021-2A, Class B, 2.37%, 4/20/2032 (b)
|
1,540,000
|
1,454,231
|
|
Series 2024-2A, Class D, 5.69%, 2/21/2034 (b)
|
2,000,000
|
2,002,245
|
|
Series 2025-1A, Class C, 5.68%, 9/20/2034 (b)
|
2,250,000
|
2,263,414
|
|
Series 2025-1A, Class D, 6.48%, 9/20/2034 (b)
|
1,910,000
|
1,936,248
|
|
Series 2025-2A, Class D, 5.98%, 10/20/2034 (b)
|
3,000,000
|
3,005,878
|
|
Liberty 7.25%, 5/14/2031 ‡
|
30,000,000
|
30,024,910
|
|
M&T Bank RV Trust Series 2026-1A, Class A, 4.35%, 1/15/2046 (b)
|
5,171,135
|
5,108,209
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2021-AA, Class B, 2.33%, 3/20/2036 (b)
|
310,000
|
301,067
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-AA, Class C, 2.96%, 3/20/2036 (b)
|
200,000
|
193,313
|
|
Series 2021-AA, Class D, 3.83%, 3/20/2036 (b)
|
225,000
|
217,734
|
|
Series 2024-AA, Class D, 6.77%, 9/22/2036 (b)
|
714,000
|
723,768
|
|
Series 2021-BA, Class C, 2.66%, 11/20/2036 (b)
|
200,000
|
189,855
|
|
Series 2025-AA, Class C, 5.69%, 5/20/2038 (b)
|
2,962,000
|
2,977,497
|
|
Series 2025-AA, Class D, 6.54%, 5/20/2038 (b)
|
6,650,000
|
6,748,820
|
|
Series 2025-BA, Class D, 5.84%, 11/22/2038 (b)
|
6,985,000
|
6,949,383
|
|
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (b)
|
85,692
|
86,149
|
|
Mercury Financial Credit Card Master Trust
|
|
|
|
Series 2025-1A, Class B, 6.16%, 12/22/2031 (b)
|
15,000,000
|
15,085,620
|
|
Series 2026-1A, Class A, 5.34%, 2/20/2032 (b)
|
12,070,000
|
12,059,285
|
|
Series 2026-1A, Class B, 6.31%, 2/20/2032 (b)
|
2,830,000
|
2,827,123
|
|
Series 2026-2A, Class B, 5.46%, 6/21/2032 (b)
|
16,899,000
|
16,940,842
|
|
Series 2026-2A, Class D, 6.39%, 6/21/2032 (b)
|
3,706,000
|
3,722,340
|
|
Midcon Energy Asset Issuer LLC
|
|
|
|
5.31%, 2/27/2051 ‡ (c)
|
9,444,491
|
9,444,491
|
|
6.53%, 2/27/2051 ‡
|
4,884,250
|
4,884,250
|
|
Mission Lane Credit Card Master Trust Series 2025-B, Class A, 5.06%, 9/15/2031 (b)
|
1,750,000
|
1,749,459
|
|
Mpire Frn Series 2026, 8.29%, 9/13/2030 ‡ (b)
|
5,994,803
|
6,011,768
|
|
MVW LLC
|
|
|
|
Series 2021-1WA, Class C, 1.94%, 1/22/2041 (b)
|
56,920
|
55,285
|
|
Series 2024-2A, Class B, 4.58%, 3/20/2042 (b)
|
4,495,222
|
4,460,286
|
|
Series 2024-2A, Class C, 4.92%, 3/20/2042 (b)
|
1,424,161
|
1,402,583
|
|
Series 2025-1A, Class B, 5.21%, 9/22/2042 (b)
|
5,106,507
|
5,122,134
|
|
Series 2025-1A, Class C, 5.75%, 9/22/2042 (b)
|
2,502,631
|
2,503,676
|
|
Series 2026-1A, Class C, 5.36%, 3/20/2043 (b)
|
5,836,598
|
5,813,695
|
|
Series 2025-2A, Class B, 4.72%, 10/20/2044 (b)
|
6,874,103
|
6,790,242
|
|
Series 2025-2A, Class C, 4.97%, 10/20/2044 (b)
|
3,477,052
|
3,394,741
|
|
NALP Business Loan Trust
|
|
|
|
Series 2026-1, Class A, 5.72%, 6/26/2051 (b)
|
3,956,250
|
3,918,503
|
|
Series 2026-1, Class B, 7.18%, 6/26/2051 (b)
|
1,191,271
|
1,193,228
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (b)
|
455,000
|
447,515
|
|
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (b)
|
3,000,000
|
2,945,199
|
|
Nexgen, Inc.0.00, 11/16/2033‡ (c)
|
7,062,338
|
7,053,510
|
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
8,000,000
|
8,000,240
|
|
NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/22/2055 (b)
|
10,871,394
|
10,575,053
|
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
194,818
|
192,889
|
|
Octane Receivables Trust Series 2023-1A, Class E, 9.25%, 8/20/2030 (b)
|
3,000,000
|
3,143,296
|
|
OneMain Direct Auto Receivables Trust
|
|
|
|
Series 2026-1A, Class B, 4.70%, 1/17/2034 (b)
|
6,000,000
|
5,932,005
|
|
Series 2025-1A, Class C, 5.76%, 10/15/2035 (b)
|
1,000,000
|
1,017,927
|
|
Series 2025-1A, Class D, 6.10%, 7/14/2037 (b)
|
5,000,000
|
5,077,008
|
|
OneMain Financial Issuance Trust
|
|
|
|
Series 2020-2A, Class C, 2.76%, 9/14/2035 (b)
|
3,600,000
|
3,504,341
|
|
Series 2021-1A, Class B, 1.95%, 6/16/2036 (b)
|
4,700,000
|
4,476,028
|
|
Series 2021-1A, Class D, 2.47%, 6/16/2036 (b)
|
3,910,000
|
3,609,563
|
|
Series 2019-2A, Class B, 3.41%, 10/14/2036 (b)
|
1,900,000
|
1,845,039
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Oportun Funding Trust
|
|
|
|
Series 2024-3, Class B, 5.48%, 8/15/2029 (b)
|
275,336
|
275,445
|
|
Series 2024-3, Class C, 6.25%, 8/15/2029 (b)
|
1,300,000
|
1,301,738
|
|
Oportun Issuance Trust
|
|
|
|
Series 2021-B, Class A, 1.47%, 5/8/2031 (b)
|
110,094
|
108,430
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (b)
|
676,214
|
666,720
|
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (b)
|
205,077
|
203,430
|
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (b)
|
816,580
|
805,995
|
|
Series 2021-C, Class B, 2.67%, 10/8/2031 (b)
|
326,173
|
321,829
|
|
Series 2021-C, Class C, 3.61%, 10/8/2031 (b)
|
416,835
|
412,350
|
|
Series 2024-2, Class B, 5.83%, 2/9/2032 (b)
|
73,575
|
73,592
|
|
Series 2024-2, Class C, 6.61%, 2/9/2032 (b)
|
2,083,000
|
2,086,871
|
|
Series 2025-D, Class B, 5.31%, 2/8/2033 (b)
|
8,105,000
|
8,092,605
|
|
Series 2025-B, Class B, 5.28%, 5/9/2033 (b)
|
14,250,000
|
14,262,739
|
|
Series 2025-B, Class C, 5.52%, 5/9/2033 (b)
|
6,150,000
|
6,145,051
|
|
Series 2025-B, Class D, 6.45%, 5/9/2033 (b)
|
3,000,000
|
3,004,643
|
|
Series 2025-C, Class B, 4.93%, 7/8/2033 (b)
|
1,700,000
|
1,693,915
|
|
Series 2026-A, Class B, 5.06%, 1/9/2034 (b)
|
12,308,000
|
12,264,745
|
|
Series 2026-A, Class C, 5.45%, 1/9/2034 (b)
|
15,176,000
|
15,135,142
|
|
Pagaya AI Technology in Housing Trust
|
|
|
|
Series 2023-1, Class A, 3.60%, 10/25/2040 (b)
|
550,000
|
530,657
|
|
Series 2023-1, Class E2, 3.60%, 10/25/2040 (b)
|
1,100,000
|
1,010,604
|
|
PEAC Solutions Receivables LLC Series 2024-1A, Class A3, 5.64%, 11/20/2030 (b)
|
1,000,000
|
1,014,346
|
|
Perimeter Master Note Business Trust
|
|
|
|
Series 2025-1A, Class A, 5.58%, 12/16/2030 (b)
|
4,000,000
|
3,976,480
|
|
Series 2025-1A, Class B, 6.12%, 12/16/2030 (b)
|
2,997,000
|
2,973,732
|
|
PFP Ltd. (Cayman Islands) Series 2026-14, Class AS, 5.30%, 12/18/2043 (b) (c) (e)
|
3,935,000
|
3,935,000
|
|
Piper ABS Issuer LLC Series 2025-1A, Class A1, 5.29%, 1/15/2046 ‡
|
8,789,217
|
8,789,217
|
|
Post Road Equipment Finance LLC Series 2026-1A, Class C, 5.12%, 6/15/2033 (b)
|
6,737,000
|
6,739,534
|
|
PowerPay Issuance Trust Series 2025-1A, Class A, 5.23%, 11/18/2041 (b)
|
7,789,315
|
7,758,781
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b)
|
700,000
|
692,505
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (b)
|
98,995
|
98,577
|
|
Series 2021-SFR11, Class D, 3.13%, 1/17/2039 (b)
|
3,000,000
|
2,828,225
|
|
Series 2021-SFR11, Class E1, 3.38%, 1/17/2039 (b)
|
1,500,000
|
1,421,250
|
|
Series 2021-SFR7, Class A, 1.69%, 8/17/2040 (b)
|
414,933
|
388,129
|
|
Series 2023-SFR2, Class D, 4.50%, 10/17/2040 (b)
|
450,000
|
438,069
|
|
Series 2021-SFR9, Class B, 2.26%, 11/17/2040 (b)
|
5,000,000
|
4,697,278
|
|
Series 2021-SFR9, Class D, 2.71%, 11/17/2040 (b)
|
3,000,000
|
2,829,513
|
|
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (b)
|
5,050,000
|
4,762,824
|
|
Series 2021-SFR10, Class B, 2.72%, 12/17/2040 (b)
|
4,137,305
|
3,900,273
|
|
Series 2021-SFR10, Class C, 2.87%, 12/17/2040 (b)
|
1,911,435
|
1,799,940
|
|
Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (b)
|
6,412,823
|
6,113,916
|
|
Series 2024-SFR1, Class E1, 3.85%, 2/17/2041 (b)
|
6,900,000
|
6,589,915
|
|
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (b)
|
8,650,000
|
8,315,897
|
|
Series 2024-SFR2, Class E1, 3.40%, 4/17/2041 (b) (c)
|
7,180,000
|
6,735,809
|
|
Series 2022-SFR4, Class A, 4.44%, 5/17/2041 (b)
|
196,189
|
192,803
|
|
Series 2024-SFR3, Class E1, 4.00%, 6/17/2041 (b)
|
7,500,000
|
7,144,171
|
|
Series 2024-SFR4, Class C, 3.33%, 7/17/2041 (b)
|
246,000
|
231,340
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-SFR1, Class D, 3.65%, 2/17/2042 (b)
|
5,734,000
|
5,351,322
|
|
Series 2025-SFR1, Class E1, 3.75%, 2/17/2042 (b)
|
3,750,000
|
3,497,929
|
|
Series 2025-SFR2, Class D, 3.56%, 4/17/2042 (b)
|
2,484,446
|
2,301,779
|
|
Series 2025-SFR3, Class B, 3.39%, 7/17/2042 (b)
|
2,810,000
|
2,617,694
|
|
Series 2025-SFR5, Class C, 4.00%, 10/17/2042 (b)
|
1,747,277
|
1,638,135
|
|
Series 2025-SFR5, Class D, 4.00%, 10/17/2042 (b)
|
4,438,083
|
4,140,176
|
|
Series 2025-SFR6, Class D, 4.00%, 12/17/2042 (b)
|
4,970,000
|
4,604,560
|
|
Series 2026-SFR2, Class C, 4.32%, 5/17/2043 (b)
|
7,560,000
|
7,171,365
|
|
Purchasing Power Funding LLC
|
|
|
|
Series 2026-A, Class A, 4.37%, 8/15/2030 (b)
|
2,380,000
|
2,361,326
|
|
Series 2026-A, Class B, 4.81%, 8/15/2030 (b)
|
9,308,000
|
9,229,337
|
|
Series 2026-A, Class C, 5.25%, 8/15/2030 (b)
|
5,175,000
|
5,125,735
|
|
RCKT Mortgage Trust
|
|
|
|
Series 2024-CES6, Class A2, 5.59%, 9/25/2044 (b) (d)
|
2,750,000
|
2,756,349
|
|
Series 2025-CES10, Class A1A, 4.89%, 11/25/2055 (b) (d)
|
4,690,009
|
4,648,433
|
|
Series 2026-CES2, Class A1A, 4.76%, 2/25/2056 (b) (d)
|
7,600,646
|
7,520,570
|
|
Series 2026-CES4, Class A1A, 5.12%, 4/25/2056 (b) (d)
|
5,938,885
|
5,921,549
|
|
Reach ABS Trust
|
|
|
|
Series 2025-1A, Class C, 5.99%, 8/16/2032 (b)
|
1,220,000
|
1,230,449
|
|
Series 2025-2A, Class C, 5.69%, 8/18/2032 (b)
|
5,000,000
|
5,008,516
|
|
Series 2026-1A, Class C, 4.80%, 2/15/2033 (b)
|
9,010,000
|
8,912,241
|
|
Series 2026-2A, Class C, 5.35%, 2/15/2035 (b)
|
14,894,000
|
14,916,572
|
|
Regional Management Issuance Trust
|
|
|
|
Series 2022-1, Class B, 3.71%, 3/15/2032 (b)
|
134,974
|
134,777
|
|
Series 2022-1, Class C, 4.46%, 3/15/2032 (b)
|
3,666,000
|
3,650,199
|
|
Series 2021-2, Class C, 3.23%, 8/15/2033 (b)
|
1,400,000
|
1,316,435
|
|
Series 2025-1, Class D, 6.58%, 4/17/2034 (b)
|
4,250,000
|
4,279,855
|
|
Series 2025-2, Class D, 6.01%, 11/16/2037 (b)
|
4,900,000
|
4,908,843
|
|
Renew (Cayman Islands)
|
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)
|
151,430
|
139,390
|
|
Series 2018-1, Class A, 3.95%, 9/20/2053 (b)
|
2,319,147
|
2,157,640
|
|
Series 2017-2A, Class A, 3.22%, 9/22/2053 (b)
|
773,445
|
694,677
|
|
Series 2023-1A, Class A, 5.90%, 11/20/2058 (b)
|
4,052,121
|
4,078,844
|
|
Series 2024-1A, Class A, 6.21%, 11/20/2059 (b)
|
5,441,237
|
5,438,088
|
|
Series 2024-2A, Class M, 6.83%, 11/20/2060 (b)
|
1,159,789
|
1,107,222
|
|
Series 2024-2A, Class B, 8.22%, 11/20/2060 (b)
|
1,158,268
|
1,156,316
|
|
Republic Finance Issuance Trust
|
|
|
|
Series 2024-A, Class A, 5.91%, 8/20/2032 (b)
|
600,000
|
601,868
|
|
Series 2024-B, Class A, 5.42%, 11/20/2037 (b)
|
810,000
|
814,851
|
|
Research-Driven Pagaya Motor Asset Trust
|
|
|
|
Series 2026-1A, Class A3, 4.86%, 1/25/2035 (b)
|
15,400,000
|
15,303,208
|
|
Series 2026-2A, Class A3, 5.38%, 2/26/2035 (b)
|
20,000,000
|
20,030,920
|
|
Series 2026-3A, Class A3, 5.38%, 3/26/2035 (b)
|
4,165,000
|
4,166,668
|
|
Series 2026-3A, Class A4, 5.88%, 3/26/2035 (b)
|
4,285,000
|
4,302,792
|
|
Research-Driven Pagaya Motor Trust
|
|
|
|
Series 2025-5A, Class A3, 4.84%, 6/26/2034 (b)
|
9,000,000
|
8,970,934
|
|
Series 2025-6A, Class A3, 5.01%, 8/25/2034 (b)
|
2,000,000
|
1,995,120
|
|
Revolution III Abs LLC 6.18%, 3/28/2046 ‡
|
9,314,624
|
9,314,624
|
|
RKTL Series 2026-1A, Class C, 4.64%, 2/26/2035 (b)
|
3,310,000
|
3,268,184
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Santander Bank Auto Credit-Linked Notes Series 2024-B, Class D, 5.48%, 1/18/2033 (b)
|
2,135,055
|
2,147,316
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
332,032
|
332,986
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
355,885
|
357,935
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
400,000
|
402,582
|
|
Series 2025-1, Class D, 5.43%, 3/17/2031
|
1,000,000
|
1,011,080
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
3,500,000
|
3,586,587
|
|
Series 2024-3, Class D, 5.97%, 10/15/2031
|
2,385,000
|
2,429,615
|
|
Series 2025-4, Class D, 4.95%, 1/15/2032
|
3,930,000
|
3,907,548
|
|
Series 2024-5, Class D, 5.14%, 2/17/2032
|
1,392,000
|
1,397,150
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (b)
|
63,146
|
63,391
|
|
Series 2024-1A, Class C, 5.82%, 9/20/2032 (b)
|
290,000
|
294,766
|
|
Series 2023-1A, Class D, 7.00%, 8/22/2033 (b)
|
1,799,000
|
1,859,952
|
|
Series 2025-1A, Class A3, 5.11%, 11/21/2033 (b)
|
1,700,000
|
1,720,321
|
|
Series 2025-1A, Class D, 5.88%, 11/20/2035 (b)
|
8,157,000
|
8,234,062
|
|
Series 2025-1A, Class E, 6.75%, 11/20/2035 (b)
|
1,290,000
|
1,335,901
|
|
Series 2025-2A, Class C, 4.82%, 6/20/2036 (b)
|
4,266,000
|
4,169,620
|
|
Series 2025-2A, Class D, 5.33%, 6/20/2036 (b)
|
4,845,000
|
4,742,233
|
|
Series 2025-2A, Class E, 6.21%, 6/20/2036 (b)
|
7,265,000
|
7,124,971
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2023-1A, Class C, 7.00%, 1/20/2040 (b)
|
141,217
|
143,984
|
|
Series 2022-2A, Class C, 6.36%, 6/20/2040 (b)
|
121,919
|
122,609
|
|
Series 2024-2A, Class C, 5.83%, 6/20/2041 (b)
|
280,320
|
281,385
|
|
Series 2024-3A, Class C, 5.32%, 8/20/2041 (b)
|
647,538
|
643,090
|
|
Series 2026-1A, Class B, 4.80%, 12/22/2042 (b)
|
3,099,099
|
3,066,996
|
|
Series 2025-2A, Class C, 5.32%, 4/20/2044 (b)
|
891,431
|
885,266
|
|
Series 2025-3A, Class C, 4.98%, 8/22/2044 (b)
|
1,270,618
|
1,252,911
|
|
SRT Issuer I LLC 0.00%, 7/7/2031 ‡ (c)
|
7,000,000
|
6,991,250
|
|
SRT Issuer LLC 0.00%, 12/7/2031 ‡ (c)
|
7,000,000
|
7,003,064
|
|
Stream Innovations Issuer Trust
|
|
|
|
Series 2024-1A, Class A, 6.27%, 7/15/2044 (b)
|
462,272
|
475,389
|
|
Series 2024-1A, Class B, 7.89%, 7/15/2044 (b)
|
2,981,555
|
3,149,041
|
|
Series 2024-2A, Class B, 6.34%, 2/15/2045 (b)
|
2,711,804
|
2,752,662
|
|
Series 2025-1A, Class A, 5.05%, 9/15/2045 (b)
|
1,430,118
|
1,428,041
|
|
Series 2025-1A, Class B, 5.48%, 9/15/2045 (b)
|
3,042,322
|
3,049,516
|
|
Series 2025-1A, Class C, 6.12%, 9/15/2045 (b)
|
5,871,227
|
5,913,896
|
|
Series 2026-1A, Class A, 4.78%, 8/15/2046 (b)
|
13,692,063
|
13,513,371
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2025-FIX1, Class A1, 4.97%, 9/25/2065 (b) (d)
|
10,282,411
|
10,223,547
|
|
Series 2026-FIX1, Class A1, 4.98%, 12/25/2065 (b) (d)
|
18,442,516
|
18,305,696
|
|
Series 2026-CES1, Class A1, 4.96%, 1/25/2066 (b) (d)
|
7,960,801
|
7,903,872
|
|
Series 2026-CES2, Class A1A, 4.72%, 2/25/2066 (b) (d)
|
6,781,364
|
6,693,083
|
|
Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (b) (d)
|
7,908,049
|
7,885,835
|
|
Tricon American Homes Trust
|
|
|
|
Series 2020-SFR2, Class C, 2.03%, 11/17/2039 (b)
|
2,500,000
|
2,397,056
|
|
Series 2020-SFR2, Class E1, 2.73%, 11/17/2039 (b)
|
500,000
|
479,822
|
|
Tricon Residential Trust
|
|
|
|
Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (b)
|
272,000
|
269,632
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-SFR2, Class E, 7.51%, 7/17/2040 (b)
|
1,000,000
|
996,105
|
|
Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (b)
|
300,000
|
295,346
|
|
Truist Bank Auto Credit-Linked Notes Series 2025-1, Class B, 4.73%, 9/26/2033 (b)
|
2,267,717
|
2,264,665
|
|
Ucielo 2025-assic 8.01%, 8/9/2033 ‡
|
337,500
|
337,500
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
2,489,818
|
2,382,237
|
|
Series 2024-1, Class AA, 5.45%, 2/15/2037
|
907,794
|
929,585
|
|
UPG HI Issuer Trust Series 2025-2, Class A, 5.00%, 9/25/2047 (b)
|
5,064,113
|
5,051,818
|
|
Upstart Frn Series 2025-TE, 6.80%, 3/29/2029 ‡ (b)
|
3,000,000
|
2,996,250
|
|
Upstart Securitization Trust
|
|
|
|
Series 2025-1, Class A, 5.45%, 4/20/2035 (b)
|
928,229
|
933,122
|
|
Series 2026-2, Class B, 5.08%, 5/20/2036 (b)
|
4,529,000
|
4,518,109
|
|
Series 2026-2, Class C, 5.83%, 5/20/2036 (b)
|
3,250,000
|
3,245,040
|
|
UPSTART Securitization Trust Series 2026-1, Class B, 4.98%, 3/20/2036 (b)
|
6,073,000
|
6,051,973
|
|
UPX HIL Issuer Trust Series 2025-1, Class A, 5.16%, 1/25/2047 (b)
|
8,892,153
|
8,844,935
|
|
US Bank NA Series 2026-RVM1, Class B1, 4.96%, 12/25/2046 (b)
|
7,313,440
|
7,214,567
|
|
Verdant Receivables LLC Series 2025-1A, Class B, 5.37%, 5/12/2033 (b)
|
2,400,000
|
2,425,463
|
|
Veros Auto Receivables Trust
|
|
|
|
Series 2026-1, Class B, 4.84%, 5/15/2029 (b)
|
3,055,000
|
3,052,457
|
|
Series 2026-1, Class C, 5.22%, 7/15/2031 (b)
|
4,757,000
|
4,750,081
|
|
VFI ABS LLC Series 2025-1A, Class B, 4.97%, 12/24/2030 (b)
|
1,195,000
|
1,194,370
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (b) (d)
|
21,010
|
21,013
|
|
VOLT CII LLC Series 2021-NP11, Class A1, 5.87%, 8/25/2051 (b) (d)
|
34,965
|
34,971
|
|
Western Funding Auto Loan Trust Series 2025-1, Class D, 5.79%, 1/15/2036 (b)
|
8,858,000
|
8,919,304
|
|
Westgate Resorts LLC
|
|
|
|
Series 2024-1A, Class B, 6.56%, 1/20/2038 (b)
|
348,440
|
351,450
|
|
Series 2026-1A, Class B, 5.47%, 10/20/2039 (b)
|
2,209,136
|
2,207,115
|
|
Series 2026-1A, Class C, 6.08%, 10/20/2039 (b)
|
6,888,928
|
6,883,141
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2023-4A, Class D, 7.19%, 7/16/2029 (b)
|
350,000
|
359,060
|
|
Series 2024-2A, Class D, 5.91%, 4/15/2030 (b)
|
6,500,000
|
6,607,714
|
|
Series 2025-3A, Class C, 4.68%, 7/15/2031 (b)
|
2,502,000
|
2,498,243
|
|
Wingspire Equipment Finance LLC
|
|
|
|
Series 2024-1A, Class C, 5.28%, 9/20/2032 (b)
|
1,242,000
|
1,249,862
|
|
Series 2025-1A, Class A2, 4.33%, 9/20/2033 (b)
|
2,570,000
|
2,569,324
|
|
Series 2025-1A, Class C, 4.76%, 9/20/2033 (b)
|
2,000,000
|
1,987,205
|
|
Wolf Energy Asset Issuer LLC 5.70%, 7/25/2050 ‡
|
2,570,154
|
2,570,154
|
|
Total Asset-Backed Securities
(Cost $1,605,203,956)
|
|
1,604,146,592
|
|
Mortgage-Backed Securities — 16.8%
|
||
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN2725, 4.10%, 7/1/2032
|
11,000,000
|
10,780,962
|
|
Pool # WN2729, 4.10%, 7/1/2032
|
7,500,000
|
7,312,141
|
|
Pool # WN4013, 4.47%, 12/1/2033
|
5,000,000
|
4,947,802
|
|
Pool # WN0086, 3.56%, 8/1/2035
|
13,977,000
|
12,938,209
|
|
Pool # U99076, 4.50%, 12/1/2043
|
133,375
|
132,923
|
|
Pool # RE0003, 4.00%, 7/1/2049
|
440,540
|
411,588
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # SI2041, 3.00%, 10/1/2049
|
1,184,118
|
1,046,952
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # QA9530, 2.50%, 5/1/2050
|
230,688
|
196,290
|
|
Pool # QB3756, 2.50%, 9/1/2050
|
1,927,429
|
1,650,709
|
|
Pool # RA3653, 1.50%, 10/1/2050
|
592,035
|
454,762
|
|
Pool # RA3838, 3.00%, 10/1/2050
|
555,581
|
490,827
|
|
Pool # QB4903, 2.50%, 11/1/2050
|
496,164
|
422,595
|
|
Pool # SD0570, 2.50%, 2/1/2051
|
3,486,639
|
2,948,024
|
|
Pool # QC2061, 2.00%, 5/1/2051
|
702,387
|
569,079
|
|
Pool # RA5303, 3.50%, 5/1/2051
|
1,971,277
|
1,792,868
|
|
Pool # RA5680, 2.00%, 8/1/2051
|
1,592,277
|
1,281,408
|
|
Pool # SD0725, 3.00%, 8/1/2051
|
1,620,837
|
1,431,773
|
|
Pool # RA5915, 3.00%, 9/1/2051
|
5,738,442
|
5,083,665
|
|
Pool # RA5794, 4.00%, 9/1/2051
|
1,670,025
|
1,566,615
|
|
Pool # RA5950, 2.50%, 10/1/2051
|
1,738,585
|
1,470,338
|
|
Pool # RA6228, 2.50%, 11/1/2051
|
13,638,923
|
11,559,823
|
|
Pool # QD0295, 3.00%, 11/1/2051
|
2,740,560
|
2,418,549
|
|
Pool # SD0781, 3.00%, 11/1/2051
|
1,540,894
|
1,354,103
|
|
Pool # SD1463, 3.00%, 12/1/2051
|
5,522,867
|
4,877,574
|
|
Pool # SD0809, 3.00%, 1/1/2052
|
1,179,286
|
1,038,813
|
|
Pool # SD8190, 3.00%, 1/1/2052
|
838,340
|
734,881
|
|
Pool # RA6531, 3.50%, 1/1/2052
|
671,002
|
614,632
|
|
Pool # RA6686, 4.00%, 1/1/2052
|
10,029,877
|
9,472,186
|
|
Pool # RA6815, 2.50%, 2/1/2052
|
3,268,911
|
2,785,678
|
|
Pool # RA6808, 3.00%, 2/1/2052
|
1,263,127
|
1,113,492
|
|
Pool # SL0872, 2.50%, 3/1/2052
|
2,225,862
|
1,906,324
|
|
Pool # QD9323, 2.50%, 4/1/2052
|
2,028,027
|
1,708,669
|
|
Pool # QE0521, 2.50%, 4/1/2052
|
3,749,833
|
3,148,280
|
|
Pool # QE0399, 3.00%, 4/1/2052
|
711,925
|
627,460
|
|
Pool # QE1075, 3.00%, 4/1/2052
|
761,070
|
669,188
|
|
Pool # RA7178, 3.00%, 4/1/2052
|
3,820,081
|
3,340,956
|
|
Pool # SD6964, 3.00%, 4/1/2052
|
6,926,431
|
6,096,317
|
|
Pool # SD1373, 3.00%, 5/1/2052
|
640,507
|
564,516
|
|
Pool # SD5754, 3.50%, 6/1/2052
|
1,032,233
|
941,525
|
|
Pool # QE6381, 4.00%, 7/1/2052
|
1,571,170
|
1,478,304
|
|
Pool # SL1378, 4.00%, 7/1/2052
|
10,475,192
|
9,844,660
|
|
Pool # QE6440, 4.50%, 7/1/2052
|
2,762,410
|
2,663,518
|
|
Pool # SD1189, 5.00%, 7/1/2052
|
1,650,441
|
1,634,250
|
|
Pool # SD1589, 5.00%, 7/1/2052
|
734,468
|
732,828
|
|
Pool # QE8026, 2.50%, 8/1/2052
|
3,134,573
|
2,633,256
|
|
Pool # SD7469, 3.00%, 8/1/2052
|
2,265,325
|
2,005,586
|
|
Pool # QE8520, 3.50%, 8/1/2052
|
688,947
|
627,119
|
|
Pool # SD1515, 4.50%, 8/1/2052
|
4,866,213
|
4,700,278
|
|
Pool # SL3266, 3.50%, 9/1/2052
|
2,469,111
|
2,257,149
|
|
Pool # SL2896, 4.00%, 11/1/2052
|
6,087,690
|
5,719,119
|
|
Pool # SL4939, 4.00%, 11/1/2052
|
12,362,421
|
11,631,727
|
|
Pool # SD3216, 4.50%, 11/1/2052
|
7,926,410
|
7,641,836
|
|
Pool # QF3294, 5.00%, 11/1/2052
|
4,695,921
|
4,651,061
|
|
Pool # SD8267, 5.00%, 11/1/2052
|
2,817,811
|
2,796,248
|
|
Pool # SD2355, 4.50%, 12/1/2052
|
5,236,146
|
5,049,505
|
|
Pool # SL1477, 5.00%, 7/1/2053
|
13,816,508
|
13,762,804
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # RJ1756, 4.50%, 6/1/2054
|
1,701,932
|
1,638,887
|
|
Pool # RJ1781, 6.00%, 6/1/2054
|
2,987,281
|
3,090,114
|
|
Pool # SD7254, 5.00%, 11/1/2054
|
3,013,738
|
2,988,745
|
|
Pool # RJ2914, 5.50%, 11/1/2054
|
1,694,118
|
1,710,771
|
|
Pool # SL4565, 4.00%, 12/1/2054
|
13,744,061
|
12,924,266
|
|
Pool # SL1998, 4.00%, 1/1/2055
|
4,605,484
|
4,333,761
|
|
Pool # RJ3247, 5.00%, 1/1/2055
|
2,751,540
|
2,737,464
|
|
Pool # TB1065, 5.50%, 3/1/2056
|
3,254,485
|
3,270,756
|
|
FNMA UMBS, 20 Year Pool # BM4920, 4.00%, 10/1/2038
|
563,528
|
547,685
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # AL9058, 3.50%, 9/1/2046
|
242,470
|
225,442
|
|
Pool # AL9397, 3.00%, 10/1/2046
|
319,902
|
286,705
|
|
Pool # BE9590, 3.50%, 5/1/2047
|
120,115
|
110,510
|
|
Pool # BK2113, 2.50%, 3/1/2050
|
221,083
|
186,936
|
|
Pool # BP8608, 2.50%, 6/1/2050
|
149,784
|
126,984
|
|
Pool # CA8670, 2.50%, 8/1/2050
|
1,283,267
|
1,086,010
|
|
Pool # BQ0795, 2.50%, 9/1/2050
|
3,808,115
|
3,258,923
|
|
Pool # BQ1367, 2.50%, 9/1/2050
|
795,902
|
680,894
|
|
Pool # BQ3137, 2.50%, 10/1/2050
|
337,078
|
288,430
|
|
Pool # FM4947, 2.00%, 12/1/2050
|
1,289,989
|
1,048,234
|
|
Pool # BP7667, 2.50%, 12/1/2050
|
358,008
|
305,255
|
|
Pool # CA8021, 2.50%, 12/1/2050
|
406,310
|
345,921
|
|
Pool # CA8044, 2.50%, 12/1/2050
|
333,404
|
282,656
|
|
Pool # CB0458, 2.50%, 5/1/2051
|
394,263
|
333,379
|
|
Pool # FM7293, 2.50%, 5/1/2051
|
191,883
|
163,538
|
|
Pool # CB0397, 3.00%, 5/1/2051
|
226,759
|
200,324
|
|
Pool # CB0530, 3.00%, 5/1/2051
|
5,412,504
|
4,794,269
|
|
Pool # FM7346, 3.00%, 5/1/2051
|
384,782
|
339,927
|
|
Pool # FM7531, 3.00%, 5/1/2051
|
988,193
|
871,790
|
|
Pool # BT2415, 2.50%, 7/1/2051
|
1,377,862
|
1,161,094
|
|
Pool # FM7910, 2.50%, 7/1/2051
|
526,215
|
452,848
|
|
Pool # FM7957, 2.50%, 7/1/2051
|
660,147
|
565,418
|
|
Pool # FM8516, 3.50%, 7/1/2051
|
9,873,053
|
9,065,142
|
|
Pool # BT7165, 3.00%, 8/1/2051
|
4,778,012
|
4,207,684
|
|
Pool # CB1406, 3.00%, 8/1/2051
|
664,966
|
587,442
|
|
Pool # FM8479, 3.00%, 8/1/2051
|
516,527
|
456,416
|
|
Pool # BT4709, 2.50%, 9/1/2051
|
10,322,101
|
8,690,372
|
|
Pool # CB1553, 2.50%, 9/1/2051
|
3,418,107
|
2,907,639
|
|
Pool # FM8794, 2.50%, 9/1/2051
|
13,565,263
|
11,460,409
|
|
Pool # FM8813, 3.50%, 9/1/2051
|
2,663,989
|
2,444,411
|
|
Pool # BT6823, 2.50%, 10/1/2051
|
3,869,065
|
3,263,935
|
|
Pool # BT9861, 2.50%, 10/1/2051
|
1,345,926
|
1,152,375
|
|
Pool # BT9883, 2.50%, 10/1/2051
|
5,204,986
|
4,456,477
|
|
Pool # BU3295, 2.50%, 10/1/2051
|
10,169,231
|
8,618,994
|
|
Pool # FM9227, 2.50%, 10/1/2051
|
2,670,402
|
2,287,476
|
|
Pool # FS5389, 2.50%, 11/1/2051
|
393,893
|
334,342
|
|
Pool # BU3608, 3.00%, 11/1/2051
|
114,366
|
101,032
|
|
Pool # CB2094, 3.00%, 11/1/2051
|
830,336
|
731,995
|
|
Pool # FM9776, 3.00%, 11/1/2051
|
1,185,391
|
1,048,487
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CB2447, 3.50%, 12/1/2051
|
4,264,580
|
3,908,396
|
|
Pool # BU9885, 2.50%, 1/1/2052
|
493,470
|
415,651
|
|
Pool # CB2635, 2.50%, 1/1/2052
|
7,804,025
|
6,596,552
|
|
Pool # FA3773, 2.50%, 1/1/2052
|
9,296,883
|
7,891,234
|
|
Pool # FS0454, 3.00%, 1/1/2052
|
10,134,390
|
8,929,881
|
|
Pool # FS3826, 3.00%, 1/1/2052
|
7,983,749
|
6,983,446
|
|
Pool # FS8807, 3.00%, 1/1/2052
|
2,095,715
|
1,852,654
|
|
Pool # CB2750, 2.50%, 2/1/2052
|
1,729,972
|
1,460,940
|
|
Pool # CB2855, 2.50%, 2/1/2052
|
622,348
|
535,358
|
|
Pool # FS3381, 2.50%, 2/1/2052
|
925,202
|
779,792
|
|
Pool # CB2899, 3.00%, 2/1/2052
|
2,307,696
|
2,030,905
|
|
Pool # FS0488, 3.00%, 2/1/2052
|
1,155,239
|
1,023,003
|
|
Pool # FS0845, 3.00%, 2/1/2052
|
8,815,825
|
7,722,507
|
|
Pool # BV4133, 2.50%, 3/1/2052
|
1,120,606
|
940,639
|
|
Pool # CB3031, 2.50%, 3/1/2052
|
1,058,855
|
892,194
|
|
Pool # FA3784, 2.50%, 3/1/2052
|
3,975,445
|
3,374,353
|
|
Pool # FS8041, 2.50%, 3/1/2052
|
3,375,820
|
2,867,172
|
|
Pool # FS8196, 2.50%, 3/1/2052
|
5,711,482
|
4,847,885
|
|
Pool # BV4200, 3.00%, 3/1/2052
|
4,145,111
|
3,633,800
|
|
Pool # CB3167, 3.00%, 3/1/2052
|
1,919,646
|
1,690,537
|
|
Pool # CB3265, 3.00%, 4/1/2052
|
5,457,040
|
4,775,386
|
|
Pool # CB3360, 3.00%, 4/1/2052
|
879,761
|
770,075
|
|
Pool # FS3170, 3.00%, 4/1/2052
|
7,445,046
|
6,590,868
|
|
Pool # BV0242, 3.50%, 4/1/2052
|
1,754,513
|
1,605,040
|
|
Pool # MA4580, 3.50%, 4/1/2052
|
4,066,449
|
3,699,184
|
|
Pool # BV7232, 4.00%, 4/1/2052
|
1,856,896
|
1,745,641
|
|
Pool # CB3384, 4.00%, 4/1/2052
|
295,069
|
277,523
|
|
Pool # BV5631, 3.00%, 6/1/2052
|
936,257
|
825,125
|
|
Pool # CB3891, 3.00%, 6/1/2052
|
13,179,438
|
11,589,571
|
|
Pool # FA1709, 3.00%, 6/1/2052
|
9,193,210
|
8,128,463
|
|
Pool # FS8114, 3.50%, 6/1/2052
|
946,692
|
866,059
|
|
Pool # CB3775, 4.00%, 6/1/2052
|
290,762
|
273,682
|
|
Pool # FS1949, 4.00%, 6/1/2052
|
2,565,699
|
2,413,589
|
|
Pool # BW0393, 5.00%, 6/1/2052
|
539,944
|
535,522
|
|
Pool # CB4119, 4.00%, 7/1/2052
|
25,040,330
|
23,539,437
|
|
Pool # CB4160, 4.50%, 7/1/2052
|
2,403,129
|
2,317,348
|
|
Pool # CB4037, 5.00%, 7/1/2052
|
7,074,400
|
7,024,259
|
|
Pool # FS3045, 5.00%, 10/1/2052
|
3,501,036
|
3,483,007
|
|
Pool # FS2995, 5.50%, 10/1/2052
|
1,089,178
|
1,103,765
|
|
Pool # CB4927, 6.00%, 10/1/2052
|
1,067,230
|
1,103,963
|
|
Pool # CB5129, 5.00%, 11/1/2052
|
7,749,888
|
7,672,272
|
|
Pool # FS3836, 4.50%, 1/1/2053
|
354,354
|
341,723
|
|
Pool # FA4485, 4.00%, 7/1/2053
|
14,488,114
|
13,633,378
|
|
Pool # FA5563, 4.00%, 7/1/2053
|
9,059,536
|
8,528,994
|
|
Pool # FS7276, 5.00%, 9/1/2053
|
1,161,819
|
1,148,861
|
|
Pool # BY9849, 6.00%, 10/1/2053
|
520,265
|
537,025
|
|
Pool # DB0320, 5.50%, 3/1/2054
|
3,421,019
|
3,465,307
|
|
Pool # CB8526, 5.00%, 5/1/2054
|
3,287,884
|
3,261,011
|
|
Pool # BU5072, 6.00%, 9/1/2054
|
1,477,521
|
1,518,924
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DB1954, 5.00%, 11/1/2054
|
2,011,076
|
1,979,956
|
|
Pool # DB4826, 5.50%, 11/1/2054
|
3,916,097
|
3,935,676
|
|
Pool # DB4866, 5.50%, 1/1/2055
|
1,085,424
|
1,101,394
|
|
FNMA, Other
|
|
|
|
Pool # BS2870, 1.27%, 8/1/2028
|
334,051
|
313,008
|
|
Pool # BL6257, 2.13%, 11/1/2028
|
1,155,847
|
1,097,318
|
|
Pool # BS5507, 3.23%, 11/1/2028
|
515,554
|
502,176
|
|
Pool # BS4928, 2.15%, 3/1/2029
|
2,646,000
|
2,482,855
|
|
Pool # BS5162, 2.73%, 9/1/2029
|
1,110,160
|
1,055,538
|
|
Pool # BZ1679, 4.49%, 9/1/2029
|
1,232,154
|
1,235,278
|
|
Pool # BS7010, 4.81%, 9/1/2029
|
230,000
|
232,212
|
|
Pool # BL4429, 2.25%, 10/1/2029
|
284,416
|
266,984
|
|
Pool # BL4592, 2.28%, 11/1/2029
|
7,000,000
|
6,561,552
|
|
Pool # BL4333, 2.52%, 11/1/2029
|
358,607
|
338,528
|
|
Pool # BZ1760, 4.82%, 11/1/2029
|
1,480,158
|
1,496,581
|
|
Pool # BS6161, 4.47%, 8/1/2030
|
481,409
|
481,083
|
|
Pool # BZ6266, 4.44%, 9/1/2030
|
3,965,406
|
3,968,361
|
|
Pool # BZ2136, 4.59%, 9/1/2030
|
986,250
|
996,383
|
|
Pool # BZ5395, 4.76%, 11/1/2030
|
2,000,000
|
2,022,096
|
|
Pool # BZ5795, 4.78%, 3/1/2031
|
4,980,388
|
5,027,054
|
|
Pool # BZ0392, 4.82%, 3/1/2031
|
784,037
|
794,653
|
|
Pool # BZ5797, 4.89%, 3/1/2031
|
3,267,433
|
3,307,728
|
|
Pool # BZ7110, 4.87%, 5/1/2031
|
5,333,000
|
5,404,993
|
|
Pool # BZ2621, 4.98%, 6/1/2031
|
2,755,968
|
2,805,279
|
|
Pool # BZ1791, 4.61%, 8/1/2031
|
1,000,000
|
1,004,866
|
|
Pool # BZ4826, 5.04%, 8/1/2031
|
5,000,000
|
5,108,918
|
|
Pool # BZ1524, 5.08%, 9/1/2031
|
666,584
|
681,443
|
|
Pool # BZ5671, 4.53%, 10/1/2031
|
3,931,000
|
3,940,970
|
|
Pool # BZ3004, 5.29%, 10/1/2031
|
2,379,120
|
2,454,411
|
|
Pool # BS3524, 1.97%, 11/1/2031
|
6,807,137
|
6,032,164
|
|
Pool # BZ6190, 4.43%, 11/1/2031
|
9,597,070
|
9,550,230
|
|
Pool # BZ1749, 4.24%, 12/1/2031
|
1,206,931
|
1,192,122
|
|
Pool # BZ2889, 4.37%, 1/1/2032
|
2,455,160
|
2,438,855
|
|
Pool # BZ1849, 4.74%, 1/1/2032
|
1,704,202
|
1,715,550
|
|
Pool # BM6898, 2.15%, 2/1/2032 (c)
|
1,964,377
|
1,743,334
|
|
Pool # BS5337, 3.01%, 4/1/2032
|
412,874
|
384,120
|
|
Pool # BZ6147, 4.39%, 4/1/2032
|
3,724,000
|
3,688,886
|
|
Pool # BZ1869, 4.76%, 4/1/2032
|
1,127,667
|
1,137,961
|
|
Pool # BZ3926, 4.48%, 5/1/2032
|
1,838,000
|
1,834,514
|
|
Pool # BZ6299, 4.59%, 5/1/2032
|
5,369,300
|
5,373,062
|
|
Pool # BZ3977, 4.42%, 6/1/2032
|
2,500,000
|
2,485,803
|
|
Pool # BZ5943, 4.78%, 6/1/2032
|
4,485,000
|
4,492,708
|
|
Pool # BL7538, 1.52%, 7/1/2032
|
6,683,996
|
5,717,052
|
|
Pool # AN5759, 3.29%, 7/1/2032
|
1,092,845
|
1,024,052
|
|
Pool # BS5530, 3.30%, 7/1/2032
|
826,000
|
771,894
|
|
Pool # BS6132, 3.86%, 7/1/2032
|
415,000
|
401,604
|
|
Pool # BZ2863, 4.61%, 7/1/2032
|
3,000,000
|
3,008,458
|
|
Pool # BZ4495, 4.86%, 7/1/2032
|
2,161,000
|
2,194,052
|
|
Pool # BS9512, 5.13%, 7/1/2032
|
1,600,000
|
1,633,028
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS6276, 3.97%, 8/1/2032
|
680,000
|
657,261
|
|
Pool # BZ5961, 4.37%, 8/1/2032
|
2,402,000
|
2,373,154
|
|
Pool # AM0762, 3.29%, 9/1/2032
|
791,234
|
745,901
|
|
Pool # BS5718, 3.46%, 9/1/2032
|
900,000
|
845,735
|
|
Pool # BS6689, 3.83%, 9/1/2032
|
390,000
|
375,863
|
|
Pool # BS6417, 3.83%, 10/1/2032
|
479,784
|
461,096
|
|
Pool # BS6951, 3.90%, 10/1/2032
|
500,000
|
481,272
|
|
Pool # BS6619, 3.91%, 10/1/2032
|
582,014
|
556,694
|
|
Pool # BZ5162, 4.09%, 10/1/2032
|
5,790,000
|
5,643,586
|
|
Pool # BZ4871, 4.23%, 10/1/2032
|
4,080,000
|
4,009,648
|
|
Pool # BZ5063, 4.47%, 10/1/2032
|
2,524,591
|
2,507,697
|
|
Pool # BZ5375, 4.48%, 10/1/2032
|
6,600,000
|
6,575,007
|
|
Pool # BS6731, 3.78%, 11/1/2032
|
129,461
|
124,210
|
|
Pool # BZ6063, 4.21%, 11/1/2032
|
3,166,000
|
3,094,979
|
|
Pool # BZ5646, 4.48%, 11/1/2032
|
3,000,000
|
2,988,418
|
|
Pool # BS5864, 3.75%, 12/1/2032
|
2,000,000
|
1,898,879
|
|
Pool # BZ5827, 4.27%, 12/1/2032
|
5,040,000
|
4,960,804
|
|
Pool # BZ2843, 4.60%, 12/1/2032
|
1,976,000
|
1,975,744
|
|
Pool # BZ1498, 4.92%, 12/1/2032
|
1,000,000
|
1,010,482
|
|
Pool # BL9952, 1.60%, 1/1/2033
|
2,000,000
|
1,682,931
|
|
Pool # BZ5699, 4.47%, 1/1/2033
|
4,978,437
|
4,940,407
|
|
Pool # BZ5455, 4.50%, 1/1/2033
|
3,800,000
|
3,775,140
|
|
Pool # BZ5572, 4.54%, 1/1/2033
|
2,188,547
|
2,180,277
|
|
Pool # BZ5273, 4.59%, 1/1/2033
|
3,350,000
|
3,339,644
|
|
Pool # BZ0159, 4.98%, 1/1/2033
|
490,000
|
499,168
|
|
Pool # BZ1867, 4.74%, 3/1/2033
|
1,815,581
|
1,826,633
|
|
Pool # BS1899, 2.17%, 5/1/2033
|
605,000
|
523,757
|
|
Pool # BZ3536, 4.90%, 5/1/2033
|
3,542,922
|
3,567,974
|
|
Pool # BZ4028, 5.17%, 5/1/2033
|
3,050,000
|
3,121,155
|
|
Pool # BZ4501, 4.44%, 9/1/2033
|
3,585,000
|
3,532,287
|
|
Pool # BS9616, 4.79%, 9/1/2033
|
300,000
|
302,717
|
|
Pool # BZ5590, 4.64%, 10/1/2033
|
2,821,521
|
2,805,292
|
|
Pool # BZ5014, 4.96%, 10/1/2033
|
1,167,873
|
1,179,699
|
|
Pool # BZ6298, 4.34%, 11/1/2033
|
3,631,000
|
3,550,222
|
|
Pool # BZ6301, 4.34%, 11/1/2033
|
2,348,000
|
2,294,570
|
|
Pool # BZ4848, 4.95%, 11/1/2033
|
1,179,000
|
1,189,805
|
|
Pool # BZ4849, 4.95%, 11/1/2033
|
1,257,000
|
1,268,519
|
|
Pool # BZ0419, 4.25%, 1/1/2034
|
605,000
|
591,001
|
|
Pool # BZ4491, 4.84%, 1/1/2034
|
4,000,000
|
4,023,724
|
|
Pool # BZ3975, 4.96%, 1/1/2034
|
1,000,000
|
1,015,720
|
|
Pool # BZ0430, 4.32%, 2/1/2034
|
325,000
|
319,805
|
|
Pool # BZ2852, 5.03%, 2/1/2034
|
2,021,000
|
2,062,240
|
|
Pool # BZ0401, 4.52%, 3/1/2034
|
400,000
|
397,370
|
|
Pool # BL2213, 3.34%, 5/1/2034
|
966,837
|
892,789
|
|
Pool # BZ0567, 4.94%, 5/1/2034
|
4,000,000
|
4,055,260
|
|
Pool # BZ0565, 5.04%, 5/1/2034
|
1,000,000
|
1,018,439
|
|
Pool # BZ2861, 5.03%, 6/1/2034
|
2,831,000
|
2,887,388
|
|
Pool # BZ1884, 4.23%, 9/1/2034
|
5,000,000
|
4,878,856
|
|
Pool # BL3772, 2.92%, 10/1/2034
|
104,886
|
94,105
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BZ2030, 4.39%, 10/1/2034
|
5,000,000
|
4,894,994
|
|
Pool # BZ2256, 4.71%, 11/1/2034
|
1,961,150
|
1,969,999
|
|
Pool # BZ3962, 4.53%, 5/1/2035
|
3,590,000
|
3,562,145
|
|
Pool # BL7071, 1.91%, 6/1/2035
|
383,000
|
305,883
|
|
Pool # BS8613, 4.55%, 6/1/2035
|
3,000,000
|
2,960,739
|
|
Pool # BZ4143, 5.12%, 6/1/2035
|
1,649,000
|
1,699,543
|
|
Pool # BZ4282, 4.85%, 7/1/2035
|
2,618,000
|
2,657,467
|
|
Pool # BZ4467, 5.12%, 8/1/2035
|
3,535,000
|
3,635,437
|
|
Pool # BZ5077, 4.85%, 10/1/2035
|
2,000,000
|
2,028,404
|
|
Pool # BZ5116, 4.96%, 10/1/2035
|
4,000,000
|
4,064,556
|
|
Pool # BZ4027, 5.33%, 11/1/2035
|
1,550,000
|
1,613,502
|
|
Pool # BZ3973, 5.01%, 12/1/2035
|
1,883,379
|
1,908,101
|
|
Pool # AN4430, 3.61%, 1/1/2037
|
364,277
|
348,364
|
|
Pool # BS5761, 3.87%, 6/1/2037
|
100,000
|
92,511
|
|
Pool # MA1177, 3.50%, 9/1/2042
|
41,192
|
38,519
|
|
Pool # CA4632, 4.00%, 11/1/2043
|
504,715
|
484,709
|
|
Pool # BF0200, 3.50%, 11/1/2051
|
2,119,727
|
1,922,999
|
|
Pool # BF0454, 3.00%, 10/1/2053
|
539,057
|
484,261
|
|
Pool # BF0078, 4.00%, 4/1/2056
|
2,860,574
|
2,685,078
|
|
Pool # BF0189, 3.00%, 6/1/2057
|
596,702
|
515,662
|
|
Pool # BF0191, 4.00%, 6/1/2057
|
5,592,818
|
5,249,643
|
|
Pool # BF0262, 3.00%, 5/1/2058
|
3,349,160
|
2,894,287
|
|
Pool # BF0396, 2.50%, 8/1/2059
|
5,244,058
|
4,366,272
|
|
Pool # BF0440, 3.00%, 1/1/2060
|
349,302
|
302,933
|
|
Pool # BF0503, 3.00%, 9/1/2060
|
2,699,566
|
2,319,381
|
|
Pool # BF0546, 2.50%, 7/1/2061
|
903,985
|
739,755
|
|
Pool # BF0560, 2.50%, 9/1/2061
|
7,861,957
|
6,433,616
|
|
Pool # BF0561, 3.00%, 9/1/2061
|
2,662,626
|
2,281,030
|
|
Pool # BF0586, 5.00%, 12/1/2061
|
805,258
|
796,346
|
|
Pool # BF0646, 2.50%, 6/1/2062
|
831,748
|
682,181
|
|
Pool # BF0695, 3.50%, 12/1/2062
|
7,991,439
|
7,247,737
|
|
Pool # BF0720, 4.00%, 3/1/2063
|
3,042,980
|
2,794,254
|
|
Pool # BF0770, 4.50%, 9/1/2063
|
4,105,238
|
3,941,659
|
|
Pool # BF0802, 2.50%, 4/1/2064
|
3,576,102
|
2,941,841
|
|
Pool # BF0804, 3.00%, 4/1/2064
|
3,477,605
|
3,004,996
|
|
Pool # BF0809, 4.00%, 4/1/2064
|
4,250,790
|
3,967,446
|
|
Pool # BF0812, 4.50%, 4/1/2064
|
2,330,776
|
2,237,892
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
|
TBA, 2.50%, 6/25/2056 (e)
|
31,000,000
|
25,934,669
|
|
TBA, 5.00%, 6/25/2056 (e)
|
65,000,000
|
63,943,148
|
|
TBA, 5.50%, 6/25/2056 (e)
|
48,800,000
|
49,015,378
|
|
GNMA I, 30 Year Pool # CU0301, 6.50%, 5/15/2053
|
1,031,653
|
1,084,417
|
|
GNMA II Pool # CK7234, ARM, 5.29%, 2/20/2072 (c)
|
439,891
|
456,295
|
|
GNMA II, 30 Year
|
|
|
|
Pool # AQ6679, 3.50%, 10/20/2045
|
112,248
|
101,711
|
|
Pool # AK8802, 3.75%, 3/20/2046
|
278,626
|
257,533
|
|
Pool # 785445, 2.50%, 3/20/2051
|
4,926,126
|
4,157,542
|
|
Pool # MA7705, 2.50%, 11/20/2051
|
13,481,263
|
11,544,141
|
|
Pool # 787112, 2.50%, 12/20/2051
|
11,926,148
|
10,197,128
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 788051, 3.00%, 12/20/2051
|
4,142,953
|
3,719,260
|
|
Pool # 787457, 4.00%, 3/20/2052
|
1,340,038
|
1,272,753
|
|
Pool # 788236, 4.50%, 3/20/2052
|
6,499,421
|
6,252,973
|
|
Pool # 787010, 3.50%, 4/20/2052
|
4,524,870
|
4,109,489
|
|
Pool # MA8097, 2.50%, 6/20/2052
|
24,769,402
|
21,208,035
|
|
Pool # MA8197, 2.50%, 8/20/2052
|
7,568,642
|
6,509,208
|
|
Pool # MA8342, 2.00%, 10/20/2052
|
3,676,863
|
3,020,616
|
|
Pool # MA8343, 2.50%, 10/20/2052
|
2,431,062
|
2,083,512
|
|
Pool # MA8346, 4.00%, 10/20/2052
|
15,910,325
|
14,964,603
|
|
Pool # MA8422, 2.00%, 11/20/2052
|
1,572,555
|
1,292,228
|
|
Pool # MA8485, 2.50%, 12/20/2052
|
3,492,616
|
2,993,692
|
|
Pool # CO8957, 5.00%, 12/20/2052
|
674,242
|
661,418
|
|
Pool # MA8563, 2.00%, 1/20/2053
|
1,559,558
|
1,288,790
|
|
Pool # MA8642, 2.50%, 2/20/2053
|
8,985,190
|
7,712,829
|
|
Pool # MA8644, 3.50%, 2/20/2053
|
473,683
|
434,008
|
|
Pool # MA8720, 2.50%, 3/20/2053
|
1,787,742
|
1,530,722
|
|
Pool # MA8795, 2.50%, 4/20/2053
|
2,919,134
|
2,504,869
|
|
Pool # MA8797, 3.50%, 4/20/2053
|
7,357,015
|
6,763,729
|
|
Pool # 786842, 4.00%, 4/20/2053
|
1,324,102
|
1,246,346
|
|
Pool # MA8873, 2.50%, 5/20/2053
|
5,247,988
|
4,498,666
|
|
Pool # MA8943, 3.00%, 6/20/2053
|
24,779,352
|
22,140,884
|
|
Pool # MA8944, 3.50%, 6/20/2053
|
3,123,834
|
2,862,195
|
|
Pool # MA9011, 2.50%, 7/20/2053
|
5,311,344
|
4,554,597
|
|
Pool # MA9100, 2.50%, 8/20/2053
|
3,735,276
|
3,205,981
|
|
Pool # MA9101, 3.00%, 8/20/2053
|
2,894,435
|
2,591,007
|
|
Pool # MA9165, 2.50%, 9/20/2053
|
5,753,894
|
4,931,989
|
|
Pool # MA9299, 2.50%, 10/20/2053
|
3,760,755
|
3,225,940
|
|
Pool # CX2674, 6.00%, 10/20/2053
|
221,831
|
228,859
|
|
Pool # MA9419, 3.50%, 1/20/2054
|
2,120,564
|
1,960,056
|
|
Pool # MA9483, 3.00%, 2/20/2054
|
3,734,763
|
3,346,127
|
|
Pool # MA9484, 3.50%, 2/20/2054
|
2,185,872
|
1,989,833
|
|
Pool # MA9663, 3.00%, 4/20/2054
|
6,443,986
|
5,761,842
|
|
Pool # MA9719, 2.50%, 6/20/2054
|
5,211,466
|
4,471,624
|
|
Pool # DD2409, 6.50%, 6/20/2054
|
369,140
|
383,483
|
|
Pool # DD0108, 6.50%, 7/20/2054
|
1,372,647
|
1,472,596
|
|
Pool # DD0109, 7.00%, 7/20/2054
|
708,852
|
752,521
|
|
Pool # MA9846, 3.00%, 8/20/2054
|
6,759,527
|
6,041,185
|
|
Pool # DD0094, 7.00%, 8/20/2054
|
1,018,361
|
1,081,098
|
|
Pool # MA9960, 3.00%, 10/20/2054
|
5,941,479
|
5,307,498
|
|
Pool # DE2936, 6.00%, 12/20/2054
|
933,944
|
960,704
|
|
Pool # DF2932, 6.50%, 12/20/2054
|
1,969,319
|
2,112,718
|
|
Pool # DF2931, 7.00%, 12/20/2054
|
1,973,424
|
2,095,001
|
|
Pool # MB0142, 3.00%, 1/20/2055
|
3,548,459
|
3,158,076
|
|
Pool # DE2954, 6.50%, 2/20/2055
|
506,446
|
532,936
|
|
Pool # DH0806, 7.00%, 2/20/2055
|
5,145,972
|
5,463,004
|
|
Pool # DH0808, 7.50%, 2/20/2055
|
2,990,328
|
3,191,999
|
|
Pool # DH0816, 6.50%, 3/20/2055
|
2,821,819
|
3,027,298
|
|
Pool # MB0418, 2.50%, 4/20/2055
|
13,674,853
|
11,725,564
|
|
Pool # DJ6101, 7.00%, 4/20/2055
|
2,080,551
|
2,208,731
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DH0822, 7.50%, 4/20/2055
|
1,473,880
|
1,573,280
|
|
Pool # DJ6103, 6.50%, 5/20/2055
|
1,716,767
|
1,841,781
|
|
Pool # DJ6116, 7.00%, 5/20/2055
|
1,484,910
|
1,576,394
|
|
Pool # DJ6126, 6.50%, 6/20/2055
|
3,208,766
|
3,442,427
|
|
Pool # DI4920, 5.50%, 7/20/2055
|
2,965,656
|
3,004,761
|
|
Pool # MB0617, 2.50%, 8/20/2055
|
6,006,138
|
5,153,160
|
|
Pool # DI4702, 5.50%, 8/20/2055
|
5,442,962
|
5,547,892
|
|
Pool # DI1028, 6.00%, 8/20/2055
|
999,579
|
1,039,731
|
|
Pool # DI4701, 6.50%, 8/20/2055
|
4,009,158
|
4,264,821
|
|
Pool # DK7875, 6.50%, 8/20/2055
|
2,786,976
|
2,967,218
|
|
Pool # DL8785, 6.50%, 8/20/2055
|
4,960,188
|
5,261,546
|
|
Pool # DM2050, 6.50%, 8/20/2055
|
1,438,401
|
1,513,641
|
|
Pool # MB0618, 3.00%, 9/20/2055
|
8,845,960
|
7,877,816
|
|
Pool # DL2983, 6.00%, 9/20/2055
|
4,956,747
|
5,143,848
|
|
Pool # DL2981, 6.50%, 9/20/2055
|
1,803,293
|
1,934,611
|
|
Pool # DL2982, 6.50%, 9/20/2055
|
4,955,134
|
5,315,953
|
|
Pool # DM9161, 6.50%, 9/20/2055
|
5,075,948
|
5,445,565
|
|
Pool # DM9168, 6.50%, 9/20/2055
|
4,963,812
|
5,325,266
|
|
Pool # MB0680, 2.50%, 10/20/2055
|
16,421,727
|
14,070,752
|
|
Pool # DM2067, 5.50%, 10/20/2055
|
2,390,107
|
2,415,779
|
|
Pool # DN0965, 5.50%, 10/20/2055
|
2,466,741
|
2,502,783
|
|
Pool # DM2070, 6.00%, 10/20/2055
|
3,323,327
|
3,422,586
|
|
Pool # DN0966, 6.00%, 10/20/2055
|
2,929,332
|
3,036,358
|
|
Pool # DN6001, 6.50%, 10/20/2055
|
3,476,968
|
3,656,749
|
|
Pool # MB0740, 2.50%, 11/20/2055
|
7,453,881
|
6,384,837
|
|
Pool # 788620, 2.50%, 3/20/2056
|
25,940,341
|
22,279,812
|
|
Pool # MB1065, 2.50%, 4/20/2056
|
4,978,351
|
4,262,866
|
|
Pool # DP8368, 6.50%, 4/20/2056
|
1,559,712
|
1,630,010
|
|
GNMA II, Other
|
|
|
|
Pool # AD0019, 3.50%, 2/20/2033
|
572,353
|
553,149
|
|
Pool # 787496, 6.00%, 7/20/2064
|
363,675
|
371,896
|
|
Pool # 787826, 4.00%, 1/20/2065
|
1,477,865
|
1,382,799
|
|
Pool # 788087, 3.50%, 7/20/2065
|
13,478,425
|
12,261,777
|
|
Pool # 788066, 4.00%, 7/20/2065
|
16,947,080
|
15,877,973
|
|
Pool # 788599, 3.00%, 8/20/2065
|
3,856,869
|
3,402,372
|
|
Pool # 788557, 3.50%, 8/20/2065
|
10,230,128
|
9,169,152
|
|
Pool # 788558, 4.00%, 11/20/2065
|
10,163,474
|
9,509,899
|
|
Pool # 788564, 3.50%, 4/20/2066
|
5,523,753
|
4,950,849
|
|
Pool # 788583, 4.50%, 4/20/2066
|
6,430,747
|
6,168,173
|
|
Total Mortgage-Backed Securities
(Cost $1,373,968,607)
|
|
1,374,735,754
|
|
Corporate Bonds — 15.2%
|
||
|
Aerospace & Defense — 0.2%
|
||
|
Boeing Co. (The)
|
||
|
3.38%, 6/15/2046
|
4,660,000
|
3,270,459
|
|
3.63%, 3/1/2048
|
1,450,000
|
1,036,215
|
|
5.81%, 5/1/2050
|
3,620,000
|
3,583,753
|
|
3.83%, 3/1/2059
|
1,000,000
|
694,471
|
|
Honeywell Aerospace, Inc. 4.95%, 3/16/2036 (b)
|
5,235,000
|
5,178,236
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Aerospace & Defense — continued
|
||
|
Leidos, Inc.
|
||
|
2.30%, 2/15/2031
|
1,250,000
|
1,116,752
|
|
5.00%, 3/15/2036
|
2,195,000
|
2,127,063
|
|
Textron, Inc. 5.50%, 5/15/2035
|
1,200,000
|
1,223,400
|
|
|
|
18,230,349
|
|
Banks — 5.1%
|
||
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.25%), 5.52%,
12/3/2035 (b) (f)
|
500,000
|
507,747
|
|
AIB Group plc (Ireland)
|
||
|
(SOFR + 1.65%), 5.32%, 5/15/2031 (b) (f)
|
1,190,000
|
1,208,236
|
|
(SOFRINDX + 1.91%), 5.87%, 3/28/2035 (b) (f)
|
18,170,000
|
18,845,341
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) 5.13%, 3/3/2036
|
4,400,000
|
4,280,697
|
|
Banco Santander SA (Spain) 5.13%, 11/6/2035
|
14,000,000
|
13,741,879
|
|
Bank of America Corp.
|
||
|
(SOFR + 1.04%), 4.70%, 4/23/2032 (f)
|
3,550,000
|
3,528,522
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (f)
|
500,000
|
445,715
|
|
(SOFR + 2.16%), 5.02%, 7/22/2033 (f)
|
500,000
|
502,650
|
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (f)
|
11,030,000
|
11,279,101
|
|
(SOFR + 1.31%), 5.51%, 1/24/2036 (f)
|
5,650,000
|
5,788,140
|
|
(SOFR + 1.13%), 5.05%, 2/6/2037 (f)
|
16,305,000
|
16,073,369
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (f)
|
2,545,000
|
1,846,088
|
|
Bank of Ireland Group plc (Ireland)
|
||
|
(SOFR + 1.62%), 5.60%, 3/20/2030 (b) (f)
|
445,000
|
454,439
|
|
(SOFRINDX + 1.16%), 5.00%, 11/12/2032 (b) (f)
|
7,340,000
|
7,333,911
|
|
Bank of Montreal (Canada) Series J, (SOFR + 0.97%), 4.44%, 1/14/2032 (f)
|
2,155,000
|
2,122,221
|
|
Bank of Nova Scotia (The) (Canada)
|
||
|
(SOFR + 0.97%), 4.90%, 6/5/2032 (e) (f)
|
6,220,000
|
6,227,031
|
|
(SOFR + 1.05%), 4.81%, 2/2/2034 (f)
|
4,015,000
|
3,963,165
|
|
Banque Federative du Credit Mutuel SA (France)
|
||
|
5.54%, 1/22/2030 (b)
|
835,000
|
856,468
|
|
4.54%, 1/15/2031 (b)
|
6,930,000
|
6,832,256
|
|
5.11%, 1/15/2036 (b)
|
3,685,000
|
3,618,152
|
|
Barclays plc (United Kingdom)
|
||
|
(SOFR + 1.14%), 4.52%, 2/24/2032 (f)
|
1,330,000
|
1,302,117
|
|
(SOFR + 1.91%), 5.34%, 9/10/2035 (f)
|
1,000,000
|
994,674
|
|
(SOFR + 1.59%), 5.79%, 2/25/2036 (f)
|
1,005,000
|
1,025,482
|
|
(SOFR + 1.51%), 5.21%, 2/24/2037 (f)
|
2,895,000
|
2,818,487
|
|
BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico (Mexico)
5.40%, 6/3/2031 (b)
|
4,981,000
|
4,987,226
|
|
BNP Paribas SA (France)
|
||
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (b) (f)
|
400,000
|
405,248
|
|
(SOFR + 1.62%), 5.79%, 1/13/2033 (b) (f)
|
4,383,000
|
4,533,247
|
|
(SOFR + 1.92%), 5.91%, 11/19/2035 (b) (f)
|
6,000,000
|
6,120,878
|
|
BPCE SA (France)
|
||
|
(SOFR + 1.58%), 5.39%, 5/28/2031 (b) (f)
|
2,155,000
|
2,183,558
|
|
(SOFR + 1.22%), 5.18%, 6/2/2032 (b) (f)
|
9,680,000
|
9,700,609
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (b) (f)
|
1,000,000
|
1,092,566
|
|
(SOFR + 1.85%), 5.94%, 5/30/2035 (b) (f)
|
3,250,000
|
3,336,747
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (b) (f)
|
10,855,000
|
11,354,741
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.96%), 6.03%, 5/28/2036 (b) (f)
|
2,045,000
|
2,098,831
|
|
(SOFR + 1.63%), 5.77%, 6/2/2037 (b) (f)
|
6,330,000
|
6,365,562
|
|
CaixaBank SA (Spain)
|
||
|
(SOFRINDX + 1.78%), 5.67%, 3/15/2030 (b) (f)
|
313,000
|
320,549
|
|
(SOFR + 1.21%), 4.82%, 4/22/2032 (b) (f)
|
2,080,000
|
2,067,530
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (f)
|
448,000
|
489,269
|
|
(SOFR + 2.26%), 6.04%, 6/15/2035 (b) (f)
|
6,510,000
|
6,796,306
|
|
(SOFR + 1.79%), 5.58%, 7/3/2036 (b) (f)
|
14,955,000
|
15,124,662
|
|
Citigroup, Inc.
|
||
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (f)
|
1,026,000
|
1,021,861
|
|
(SOFR + 1.17%), 4.50%, 9/11/2031 (f)
|
2,000,000
|
1,978,736
|
|
(SOFR + 1.45%), 5.45%, 6/11/2035 (f)
|
3,275,000
|
3,332,425
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (f)
|
3,755,000
|
3,783,599
|
|
(SOFR + 1.49%), 5.17%, 9/11/2036 (f)
|
7,500,000
|
7,463,250
|
|
(SOFR + 1.75%), 5.61%, 3/4/2056 (f)
|
1,000,000
|
979,820
|
|
Cooperatieve Rabobank UA (Netherlands)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.99%, 5/27/2031 (b) (f)
|
2,440,000
|
2,457,332
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 5.71%, 1/21/2033 (b) (f)
|
1,800,000
|
1,867,590
|
|
Credit Agricole SA (France)
|
||
|
(SOFR + 1.46%), 5.22%, 5/27/2031 (b) (f)
|
374,000
|
378,080
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (b) (f)
|
1,605,000
|
1,654,111
|
|
(SOFR + 1.43%), 5.26%, 1/12/2037 (b) (f)
|
6,810,000
|
6,703,785
|
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (b) (f)
|
400,000
|
410,209
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.02%, 3/4/2031 (b) (f)
|
4,300,000
|
4,325,357
|
|
Fifth Third Bancorp (SOFR + 1.24%), 5.14%, 1/29/2037 (f)
|
2,820,000
|
2,763,062
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.29%), 5.29%, 11/19/2030 (f)
|
1,480,000
|
1,501,344
|
|
(SOFR + 1.29%), 5.13%, 3/3/2031 (f)
|
980,000
|
989,087
|
|
(SOFR + 1.32%), 5.21%, 5/12/2034 (f)
|
5,000,000
|
4,991,232
|
|
(SOFR + 1.43%), 5.13%, 11/6/2036 (f)
|
4,855,000
|
4,784,459
|
|
(SOFR + 1.55%), 5.28%, 3/10/2037 (f)
|
9,265,000
|
9,166,711
|
|
ING Groep NV (Netherlands)
|
||
|
Series VAR, (SOFRINDX + 1.26%), 4.80%, 3/23/2032 (f)
|
1,550,000
|
1,542,994
|
|
(SOFR + 1.61%), 5.53%, 3/25/2036 (f)
|
1,000,000
|
1,017,041
|
|
(SOFRINDX + 1.61%), 5.42%, 3/23/2037 (f)
|
1,520,000
|
1,523,492
|
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 0.85%), 4.45%,
9/23/2031 (b) (f)
|
6,526,000
|
6,415,655
|
|
KeyCorp
|
||
|
(SOFRINDX + 1.23%), 5.12%, 4/4/2031 (f)
|
810,000
|
817,439
|
|
(SOFR + 1.37%), 5.31%, 1/28/2037 (f)
|
1,650,000
|
1,626,153
|
|
M&T Bank Corp. (SOFR + 1.40%), 5.18%, 7/8/2031 (f)
|
3,570,000
|
3,606,263
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.19%, 9/12/2036 (f)
|
2,180,000
|
2,176,556
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 5.06%, 1/14/2037 (f)
|
3,160,000
|
3,115,149
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.98%), 5.87%, 4/21/2047 (f)
|
4,430,000
|
4,489,589
|
|
Mizuho Bank Ltd. (Japan) 5.77%, 4/16/2046 (b)
|
3,800,000
|
3,804,400
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Mizuho Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.82%), 5.10%, 5/13/2031 (f)
|
2,000,000
|
2,025,548
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.71%, 7/8/2031 (f)
|
4,565,000
|
4,559,960
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.32%, 7/8/2036 (f)
|
565,000
|
567,973
|
|
NatWest Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 4.96%, 8/15/2030 (f)
|
792,000
|
797,727
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f)
|
7,480,000
|
7,753,766
|
|
PNC Financial Services Group, Inc. (The)
|
||
|
(SOFR + 1.39%), 5.58%, 1/29/2036 (f)
|
2,000,000
|
2,050,522
|
|
(SOFR + 1.42%), 5.37%, 7/21/2036 (f)
|
1,375,000
|
1,388,458
|
|
Santander Holdings USA, Inc. (SOFR + 2.14%), 6.34%, 5/31/2035 (f)
|
5,550,000
|
5,875,731
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(SOFRINDX + 1.07%), 4.32%, 9/22/2029 (f)
|
1,535,000
|
1,521,732
|
|
(SOFRINDX + 1.55%), 4.86%, 9/11/2030 (f)
|
680,000
|
680,470
|
|
(SOFRINDX + 1.52%), 5.69%, 4/15/2031 (f)
|
2,050,000
|
2,102,594
|
|
(SOFRINDX + 1.58%), 5.14%, 9/22/2036 (f)
|
1,510,000
|
1,465,980
|
|
Skandinaviska Enskilda Banken AB (Sweden) 4.50%, 9/3/2030 (b)
|
1,445,000
|
1,432,483
|
|
Societe Generale SA (France)
|
||
|
5.25%, 2/19/2027 (b)
|
435,000
|
437,774
|
|
(SOFR + 1.65%), 5.51%, 5/22/2031 (b) (f)
|
200,000
|
203,708
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (f)
|
2,225,000
|
2,019,629
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (f)
|
2,455,000
|
2,553,331
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (b) (f)
|
9,214,000
|
9,554,481
|
|
(SOFR + 1.73%), 5.44%, 10/3/2036 (b) (f)
|
6,000,000
|
5,912,212
|
|
(SOFR + 1.60%), 5.40%, 4/10/2037 (b) (f)
|
11,045,000
|
10,817,393
|
|
Standard Chartered plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (b) (f)
|
580,000
|
584,134
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.24%, 1/13/2037 (b) (f)
|
1,085,000
|
1,063,392
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
|
5.42%, 7/9/2031
|
400,000
|
410,293
|
|
(SOFR + 1.38%), 4.95%, 7/8/2033 (f)
|
2,500,000
|
2,495,701
|
|
(SOFR + 1.36%), 5.57%, 1/15/2047 (f)
|
3,755,000
|
3,691,920
|
|
Toronto-Dominion Bank (The) (Canada) 4.87%, 4/22/2033
|
4,500,000
|
4,469,930
|
|
Truist Financial Corp.
|
||
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (f)
|
1,615,000
|
1,664,340
|
|
(SOFR + 1.40%), 4.96%, 10/23/2036 (f)
|
10,925,000
|
10,592,083
|
|
Series I, (SOFR + 1.41%), 5.28%, 4/23/2037 (f)
|
1,700,000
|
1,684,073
|
|
US Bancorp
|
||
|
(SOFR + 1.30%), 5.08%, 5/15/2031 (f)
|
1,000,000
|
1,013,955
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (f)
|
1,685,000
|
1,740,462
|
|
Wells Fargo & Co.
|
||
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (f)
|
535,000
|
546,402
|
|
(SOFR + 1.38%), 5.21%, 12/3/2035 (f)
|
4,910,000
|
4,915,260
|
|
(SOFR + 1.74%), 5.61%, 4/23/2036 (f)
|
17,971,000
|
18,436,599
|
|
(SOFR + 1.34%), 4.89%, 9/15/2036 (f)
|
790,000
|
771,799
|
|
(SOFR + 1.10%), 4.96%, 1/23/2037 (f)
|
17,010,000
|
16,612,103
|
|
|
|
417,674,116
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Beverages — 0.0% ^
|
||
|
Maple Parent Holdings Corp.
|
||
|
5.05%, 3/26/2031 (b)
|
1,400,000
|
1,400,814
|
|
5.70%, 3/26/2036 (b)
|
1,078,000
|
1,089,434
|
|
|
|
2,490,248
|
|
Biotechnology — 0.3%
|
||
|
AbbVie, Inc.
|
||
|
4.75%, 3/15/2036
|
1,700,000
|
1,666,114
|
|
4.85%, 6/15/2044
|
1,000,000
|
918,106
|
|
5.55%, 3/15/2056
|
5,605,000
|
5,497,431
|
|
Amgen, Inc.
|
||
|
4.85%, 2/19/2036
|
4,425,000
|
4,337,561
|
|
4.66%, 6/15/2051
|
3,200,000
|
2,715,421
|
|
5.65%, 3/2/2053
|
1,664,000
|
1,617,706
|
|
Biogen, Inc.
|
||
|
5.75%, 5/15/2035
|
770,000
|
802,045
|
|
3.25%, 2/15/2051
|
3,900,000
|
2,550,491
|
|
6.45%, 5/15/2055
|
1,500,000
|
1,595,225
|
|
Gilead Sciences, Inc. 5.60%, 11/15/2064
|
1,000,000
|
983,944
|
|
|
|
22,684,044
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc.
|
||
|
4.88%, 3/13/2036
|
5,730,000
|
5,661,086
|
|
5.80%, 3/13/2056
|
2,350,000
|
2,352,243
|
|
|
|
8,013,329
|
|
Capital Markets — 1.5%
|
||
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 1.21%), 5.37%, 1/10/2029 (f)
|
2,000,000
|
2,022,380
|
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (f)
|
175,000
|
180,695
|
|
(SOFR + 1.10%), 4.47%, 12/10/2031 (f)
|
825,000
|
811,752
|
|
(SOFR + 1.72%), 3.04%, 5/28/2032 (f)
|
445,000
|
404,883
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 0.96%), 4.52%, 1/21/2032 (f)
|
10,000,000
|
9,845,656
|
|
(SOFR + 1.03%), 4.97%, 6/3/2032 (f)
|
8,000,000
|
8,018,840
|
|
(SOFR + 1.34%), 5.09%, 4/20/2034 (f)
|
4,685,000
|
4,675,198
|
|
(SOFR + 1.55%), 5.85%, 4/25/2035 (f)
|
350,000
|
364,377
|
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (f)
|
1,070,000
|
1,076,877
|
|
(SOFR + 1.42%), 5.02%, 10/23/2035 (f)
|
2,000,000
|
1,970,431
|
|
(SOFR + 1.38%), 5.54%, 1/28/2036 (f)
|
18,305,000
|
18,624,416
|
|
(SOFR + 1.33%), 4.94%, 10/21/2036 (f)
|
1,905,000
|
1,850,260
|
|
(SOFR + 1.19%), 5.07%, 1/21/2037 (f)
|
6,320,000
|
6,182,628
|
|
(SOFR + 1.31%), 5.43%, 6/3/2037 (f)
|
5,000,000
|
5,026,428
|
|
Morgan Stanley
|
||
|
Series I, (SOFR + 1.07%), 4.36%, 10/22/2031 (f)
|
1,070,000
|
1,050,053
|
|
(SOFRINDX + 1.18%), 4.81%, 4/16/2032 (f)
|
2,990,000
|
2,977,289
|
|
(SOFR + 1.73%), 5.47%, 1/18/2035 (f)
|
561,000
|
571,966
|
|
(SOFR + 1.42%), 5.59%, 1/18/2036 (f)
|
14,000,000
|
14,354,255
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
Series I, (SOFR + 1.31%), 4.89%, 10/22/2036 (f)
|
11,820,000
|
11,469,634
|
|
(SOFR + 1.18%), 5.07%, 1/30/2037 (f)
|
2,945,000
|
2,883,840
|
|
(SOFRINDX + 1.41%), 5.30%, 4/10/2037 (f)
|
310,000
|
309,162
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (f)
|
1,200,000
|
917,462
|
|
(SOFR + 1.78%), 5.90%, 3/13/2047 (f)
|
10,000,000
|
10,148,662
|
|
State Street Corp. (SOFR + 1.22%), 4.78%, 10/23/2036 (f)
|
1,070,000
|
1,042,084
|
|
UBS Group AG (Switzerland)
|
||
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (f)
|
250,000
|
229,490
|
|
(SOFR + 1.29%), 4.84%, 11/6/2033 (b) (f)
|
4,800,000
|
4,714,450
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (b) (f)
|
636,000
|
678,320
|
|
(SOFR + 1.76%), 5.58%, 5/9/2036 (b) (f)
|
2,000,000
|
2,038,946
|
|
(SOFR + 1.34%), 5.01%, 3/23/2037 (b) (f)
|
1,310,000
|
1,276,961
|
|
(SOFR + 1.34%), 5.20%, 8/10/2037 (b) (f)
|
4,165,000
|
4,100,257
|
|
(USD SOFR ICE Swap Rate 1 Year + 1.86%), 5.38%, 9/6/2045 (b) (f)
|
1,000,000
|
957,719
|
|
|
|
120,775,371
|
|
Chemicals — 0.1%
|
||
|
DuPont de Nemours, Inc.
|
||
|
5.32%, 11/15/2038
|
1,059,000
|
1,047,117
|
|
5.42%, 11/15/2048
|
316,000
|
298,913
|
|
EIDP, Inc. 5.13%, 5/15/2032
|
1,500,000
|
1,520,120
|
|
International Flavors & Fragrances, Inc. 2.30%, 11/1/2030 (b)
|
7,800,000
|
7,014,018
|
|
|
|
9,880,168
|
|
Commercial Services & Supplies — 0.0% ^
|
||
|
Element Fleet Management Corp. (Canada) 5.04%, 3/25/2030 (b)
|
800,000
|
807,043
|
|
Construction & Engineering — 0.0% ^
|
||
|
Quanta Services, Inc. 5.10%, 8/9/2035
|
1,475,000
|
1,470,636
|
|
Consumer Finance — 0.7%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
3.30%, 1/30/2032
|
730,000
|
667,973
|
|
4.75%, 1/15/2033
|
1,770,000
|
1,734,397
|
|
5.00%, 11/15/2035
|
765,000
|
742,690
|
|
3.85%, 10/29/2041
|
1,520,000
|
1,229,332
|
|
Aircastle Ltd.
|
||
|
5.25%, 3/15/2030 (b)
|
525,000
|
529,271
|
|
5.00%, 9/15/2030 (b)
|
265,000
|
264,222
|
|
5.00%, 5/15/2031 (b)
|
6,100,000
|
6,042,728
|
|
5.75%, 10/1/2031 (b)
|
1,443,000
|
1,479,477
|
|
Ally Financial, Inc. (SOFR + 2.82%), 6.85%, 1/3/2030 (f)
|
2,000,000
|
2,084,033
|
|
American Express Co.
|
||
|
(SOFR + 1.22%), 4.92%, 7/20/2033 (f)
|
420,000
|
420,505
|
|
(SOFRINDX + 1.32%), 5.44%, 1/30/2036 (f)
|
1,935,000
|
1,975,186
|
|
(SOFR + 1.24%), 4.80%, 10/24/2036 (f)
|
1,535,000
|
1,485,412
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
4.95%, 1/15/2028 (b)
|
1,500,000
|
1,504,440
|
|
5.75%, 3/1/2029 (b)
|
850,000
|
868,199
|
|
5.15%, 1/15/2030 (b)
|
3,732,000
|
3,749,615
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
4.90%, 10/10/2030 (b)
|
928,000
|
921,086
|
|
4.70%, 1/30/2031 (b)
|
1,460,000
|
1,433,567
|
|
4.95%, 10/15/2032 (b)
|
5,823,000
|
5,678,939
|
|
4.85%, 4/1/2033 (b)
|
1,585,000
|
1,530,944
|
|
Capital One Financial Corp.
|
||
|
(SOFR + 1.63%), 5.20%, 9/11/2036 (f)
|
4,875,000
|
4,749,070
|
|
(SOFR + 1.51%), 5.40%, 1/30/2037 (f)
|
5,400,000
|
5,330,753
|
|
Medallion Financial Corp. Series QIB, 8.25%, 5/1/2031 (b)
|
9,000,000
|
8,982,900
|
|
Synchrony Financial (SOFRINDX + 2.13%), 5.94%, 8/2/2030 (f)
|
1,844,000
|
1,880,292
|
|
|
|
55,285,031
|
|
Consumer Staples Distribution & Retail — 0.0% ^
|
||
|
CVS Pass-Through Trust 7.51%, 1/10/2032 (b)
|
809,228
|
852,608
|
|
Containers & Packaging — 0.1%
|
||
|
Amcor Flexibles North America, Inc.
|
||
|
5.10%, 3/17/2030
|
1,645,000
|
1,665,925
|
|
5.13%, 3/12/2036
|
3,725,000
|
3,656,914
|
|
Packaging Corp. of America 5.20%, 8/15/2035
|
1,005,000
|
1,004,470
|
|
Smurfit Westrock Financing DAC (Ireland) 5.42%, 1/15/2035
|
755,000
|
763,028
|
|
|
|
7,090,337
|
|
Diversified — 0.1%
|
||
|
Ygrene Frn 8.50%, 7/25/2045 ‡ (b)
|
6,420,244
|
6,452,345
|
|
Diversified REITs — 0.1%
|
||
|
Equinix Europe 2 Financing Corp. LLC
|
||
|
4.60%, 11/15/2030
|
2,990,000
|
2,962,465
|
|
4.70%, 3/15/2033
|
2,000,000
|
1,958,600
|
|
|
|
4,921,065
|
|
Diversified Telecommunication Services — 0.4%
|
||
|
AT&T, Inc.
|
||
|
4.55%, 11/1/2032
|
1,685,000
|
1,654,621
|
|
5.13%, 4/30/2036
|
850,000
|
838,165
|
|
3.55%, 9/15/2055
|
9,940,000
|
6,498,830
|
|
6.20%, 10/30/2056
|
5,000,000
|
5,032,721
|
|
3.80%, 12/1/2057
|
1,005,000
|
682,889
|
|
Bell Telephone Co. of Canada or Bell Canada (Canada) 5.45%, 11/15/2036 (e)
|
5,940,000
|
5,955,366
|
|
Comcast Corp.
|
||
|
5.30%, 6/1/2034
|
500,000
|
508,112
|
|
5.17%, 1/15/2037 (b)
|
1,189,000
|
1,160,848
|
|
3.25%, 11/1/2039
|
1,210,000
|
936,087
|
|
3.40%, 7/15/2046
|
5,000,000
|
3,446,872
|
|
4.00%, 11/1/2049
|
2,785,000
|
2,036,941
|
|
2.94%, 11/1/2056
|
1,830,000
|
1,026,320
|
|
Orange SA (France) 4.75%, 1/13/2033 (b)
|
5,610,000
|
5,545,270
|
|
Verizon Communications, Inc. 2.99%, 10/30/2056
|
1,440,000
|
855,813
|
|
|
|
36,178,855
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — 1.0%
|
||
|
Appalachian Power Recovery Funding LLC Series A-3, 5.84%, 4/1/2046
|
3,340,000
|
3,381,598
|
|
Duke Energy Corp. 5.70%, 9/15/2055
|
1,110,000
|
1,065,038
|
|
Emera US Finance LP (Canada) 4.75%, 6/15/2046
|
6,885,000
|
5,838,242
|
|
ENEL Finance International NV (Italy)
|
||
|
5.50%, 6/26/2034 (b)
|
350,000
|
355,293
|
|
5.00%, 9/30/2035 (b)
|
1,425,000
|
1,389,855
|
|
Entergy Louisiana LLC 5.80%, 3/15/2055
|
440,000
|
438,775
|
|
Entergy Texas, Inc. 5.55%, 9/15/2054
|
564,000
|
538,354
|
|
Evergy Kansas Central, Inc. 5.25%, 3/15/2035
|
500,000
|
504,174
|
|
Evergy Missouri West, Inc. 5.25%, 12/15/2035 (b)
|
750,000
|
742,804
|
|
Exelon Corp. 5.88%, 3/15/2055
|
1,000,000
|
989,579
|
|
Florida Power & Light Co. 5.80%, 3/15/2065
|
490,000
|
486,563
|
|
ITC Holdings Corp.
|
||
|
5.50%, 4/15/2036 (b)
|
1,510,000
|
1,526,504
|
|
5.30%, 7/1/2043
|
2,435,000
|
2,251,832
|
|
NextEra Energy Capital Holdings, Inc. 5.90%, 3/15/2055
|
1,415,000
|
1,399,446
|
|
Niagara Mohawk Power Corp. 6.00%, 7/3/2055 (b)
|
720,000
|
715,484
|
|
NRG Energy, Inc. 5.41%, 10/15/2035 (b)
|
6,325,000
|
6,210,666
|
|
Oklahoma Gas and Electric Co. 5.60%, 4/1/2053
|
450,000
|
433,171
|
|
Oncor Electric Delivery Co. LLC
|
||
|
5.30%, 6/1/2042
|
650,000
|
625,845
|
|
5.80%, 4/1/2055
|
1,000,000
|
1,004,505
|
|
Pacific Gas and Electric Co.
|
||
|
5.70%, 3/1/2035
|
1,695,000
|
1,717,544
|
|
6.00%, 8/15/2035
|
640,000
|
660,309
|
|
4.50%, 7/1/2040
|
955,000
|
824,752
|
|
3.75%, 8/15/2042 (d)
|
3,000,000
|
2,261,804
|
|
4.30%, 3/15/2045
|
745,000
|
586,700
|
|
4.95%, 7/1/2050
|
8,680,000
|
7,279,377
|
|
6.75%, 1/15/2053
|
1,500,000
|
1,577,038
|
|
6.10%, 10/15/2055
|
2,600,000
|
2,524,535
|
|
6.00%, 5/1/2056
|
3,535,000
|
3,396,659
|
|
PG&E Recovery Funding LLC
|
||
|
Series A-2, 5.23%, 6/1/2042
|
290,000
|
288,016
|
|
Series A-3, 5.53%, 6/1/2049
|
345,000
|
340,663
|
|
Public Service Co. of Oklahoma 5.45%, 1/15/2036
|
2,470,000
|
2,495,593
|
|
SCE Recovery Funding LLC 5.34%, 3/15/2045
|
1,535,000
|
1,517,689
|
|
Southern California Edison Co.
|
||
|
5.88%, 12/1/2053
|
610,000
|
580,035
|
|
5.75%, 4/15/2054
|
4,550,000
|
4,219,454
|
|
5.90%, 3/1/2055
|
55,000
|
52,332
|
|
Virginia Electric and Power Co. 5.65%, 3/15/2055
|
1,500,000
|
1,470,531
|
|
Vistra Operations Co. LLC
|
||
|
4.38%, 5/1/2029 (b)
|
3,700,000
|
3,628,519
|
|
4.60%, 10/15/2030 (b)
|
1,994,000
|
1,954,985
|
|
6.00%, 4/15/2034 (b)
|
2,421,000
|
2,494,325
|
|
5.70%, 12/30/2034 (b)
|
4,145,000
|
4,193,186
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
5.25%, 10/15/2035 (b)
|
3,920,000
|
3,808,649
|
|
5.35%, 1/31/2036 (b)
|
1,715,000
|
1,676,979
|
|
|
|
79,447,402
|
|
Electrical Equipment — 0.1%
|
||
|
Eaton Corp.
|
||
|
4.50%, 3/6/2033
|
4,185,000
|
4,114,158
|
|
4.80%, 3/6/2036
|
3,230,000
|
3,177,544
|
|
|
|
7,291,702
|
|
Electronic Equipment, Instruments & Components — 0.0% ^
|
||
|
Amphenol Corp. 5.30%, 11/15/2055
|
2,110,000
|
1,997,021
|
|
Energy Equipment & Services — 0.1%
|
||
|
Baker Hughes Holdings LLC 4.65%, 6/15/2033
|
4,245,000
|
4,168,397
|
|
Financial Services — 1.2%
|
||
|
BAML RCAP (United Kingdom) 8.00%, 10/26/2029 ‡
|
3,000,000
|
2,996,250
|
|
BCAP LLC Trust 0.00%, 9/17/2027 ‡
|
30,735,479
|
30,735,479
|
|
BG Beta I Ltd. (Cayman Islands) 0.00%, 7/16/2054 ‡ (c)
|
3,975,460
|
3,975,460
|
|
CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡
|
9,993,722
|
9,981,229
|
|
Fidelity National Information Services, Inc. 4.80%, 3/10/2031
|
2,213,000
|
2,196,578
|
|
Fiserv, Inc. 5.15%, 8/12/2034
|
1,325,000
|
1,291,648
|
|
Global Payments, Inc.
|
||
|
5.20%, 11/15/2032
|
4,675,000
|
4,588,582
|
|
5.40%, 3/15/2033
|
543,000
|
535,782
|
|
5.55%, 11/15/2035
|
6,570,000
|
6,409,498
|
|
Goodleap LLC Class A, 0.00%, 7/15/2038 ‡
|
17,587,298
|
18,026,981
|
|
Nationwide Building Society (United Kingdom) (SOFR + 1.65%), 5.54%, 7/14/2036 (b) (f)
|
10,200,000
|
10,308,064
|
|
Shell International Finance BV 2.88%, 11/26/2041
|
937,000
|
685,200
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
4,316,321
|
4,316,321
|
|
|
|
96,047,072
|
|
Food Products — 0.3%
|
||
|
Bunge Ltd. Finance Corp.
|
||
|
4.65%, 9/17/2034
|
5,256,000
|
5,097,816
|
|
5.15%, 8/4/2035
|
1,830,000
|
1,828,600
|
|
JBS NV
|
||
|
5.63%, 3/10/2037 (b)
|
1,200,000
|
1,196,400
|
|
6.50%, 12/1/2052
|
6,155,000
|
6,221,339
|
|
6.38%, 2/25/2055
|
585,000
|
584,234
|
|
6.38%, 4/15/2066
|
2,020,000
|
1,974,186
|
|
Kraft Heinz Foods Co.
|
||
|
4.38%, 6/1/2046
|
849,000
|
681,630
|
|
4.88%, 10/1/2049
|
2,200,000
|
1,838,655
|
|
Mars, Inc. 5.65%, 5/1/2045 (b)
|
1,310,000
|
1,298,963
|
|
|
|
20,721,823
|
|
Gas Utilities — 0.0% ^
|
||
|
Atmos Energy Corp. 5.00%, 12/15/2054
|
629,000
|
565,268
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Ground Transportation — 0.0% ^
|
||
|
Canadian Pacific Railway Co. (Canada) 4.80%, 8/1/2045
|
700,000
|
631,217
|
|
SMBC Aviation Capital Finance DAC (Ireland) 5.25%, 11/26/2035 (b)
|
700,000
|
688,051
|
|
|
|
1,319,268
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Solventum Corp.
|
||
|
5.60%, 3/23/2034
|
4,903,000
|
5,029,030
|
|
5.90%, 4/30/2054
|
5,000,000
|
4,948,062
|
|
Zimmer Biomet Holdings, Inc. 5.50%, 2/19/2035
|
2,065,000
|
2,107,464
|
|
|
|
12,084,556
|
|
Health Care Providers & Services — 0.5%
|
||
|
Aetna, Inc. 4.75%, 3/15/2044
|
1,000,000
|
854,733
|
|
Cardinal Health, Inc. 5.15%, 9/15/2035
|
2,165,000
|
2,157,567
|
|
Cencora, Inc. 5.15%, 2/15/2035
|
775,000
|
776,370
|
|
Cigna Group (The)
|
||
|
5.25%, 1/15/2036
|
1,212,000
|
1,216,588
|
|
3.20%, 3/15/2040
|
1,429,000
|
1,117,084
|
|
HCA, Inc.
|
||
|
5.75%, 3/1/2035
|
3,195,000
|
3,287,997
|
|
4.90%, 11/15/2035
|
1,530,000
|
1,480,850
|
|
5.30%, 5/15/2036
|
7,500,000
|
7,415,768
|
|
4.63%, 3/15/2052
|
1,435,000
|
1,155,550
|
|
5.95%, 9/15/2054
|
5,100,000
|
4,957,645
|
|
6.20%, 3/1/2055
|
2,000,000
|
2,009,164
|
|
6.10%, 4/1/2064
|
825,000
|
814,154
|
|
Triad Holdings III LLC 0.00%, 4/1/2052 ‡
|
10,816,682
|
10,924,848
|
|
UnitedHealth Group, Inc.
|
||
|
5.70%, 10/15/2040
|
400,000
|
408,470
|
|
5.63%, 7/15/2054
|
670,000
|
650,561
|
|
|
|
39,227,349
|
|
Health Care REITs — 0.0% ^
|
||
|
Healthpeak OP LLC 5.38%, 2/15/2035
|
1,135,000
|
1,144,569
|
|
Ventas Realty LP 5.00%, 1/15/2035
|
1,000,000
|
984,417
|
|
|
|
2,128,986
|
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
|
AES Corp. (The) 5.80%, 3/15/2032
|
3,440,000
|
3,495,695
|
|
Constellation Energy Generation LLC
|
||
|
5.75%, 10/1/2041
|
455,000
|
457,280
|
|
5.60%, 6/15/2042
|
850,000
|
840,710
|
|
|
|
4,793,685
|
|
Industrial REITs — 0.0% ^
|
||
|
Goodman US Finance Eight LLC (Australia) 5.88%, 4/28/2046 (b)
|
915,000
|
901,366
|
|
Insurance — 0.0% ^
|
||
|
Corebridge Global Funding 4.90%, 8/21/2032 (b)
|
560,000
|
554,778
|
|
F&G Annuities & Life, Inc. 6.50%, 6/4/2029
|
1,395,000
|
1,417,966
|
|
|
|
1,972,744
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Interactive Media & Services — 0.6%
|
||
|
Alphabet, Inc.
|
||
|
5.50%, 2/15/2046
|
2,115,000
|
2,094,935
|
|
5.65%, 2/15/2056
|
3,105,000
|
3,086,681
|
|
5.75%, 2/15/2066
|
1,910,000
|
1,895,252
|
|
Meta Platforms, Inc.
|
||
|
4.60%, 11/15/2032
|
7,410,000
|
7,318,426
|
|
4.88%, 11/15/2035
|
4,610,000
|
4,504,255
|
|
5.25%, 5/15/2036
|
3,510,000
|
3,507,032
|
|
5.50%, 11/15/2045
|
5,430,000
|
5,097,006
|
|
5.40%, 8/15/2054
|
6,500,000
|
5,818,928
|
|
5.63%, 11/15/2055
|
4,165,000
|
3,840,507
|
|
6.30%, 5/15/2056
|
9,265,000
|
9,348,485
|
|
|
|
46,511,507
|
|
Life Sciences Tools & Services — 0.0% ^
|
||
|
Thermo Fisher Scientific, Inc. 4.90%, 2/12/2036
|
3,655,000
|
3,609,321
|
|
Media — 0.2%
|
||
|
Charter Communications Operating LLC
|
||
|
4.40%, 4/1/2033
|
1,000,000
|
924,665
|
|
3.50%, 3/1/2042
|
700,000
|
482,257
|
|
5.38%, 5/1/2047
|
6,835,000
|
5,514,044
|
|
3.70%, 4/1/2051
|
950,000
|
585,987
|
|
3.90%, 6/1/2052
|
4,000,000
|
2,541,217
|
|
Time Warner Cable LLC
|
||
|
5.88%, 11/15/2040
|
3,000,000
|
2,697,353
|
|
5.50%, 9/1/2041
|
3,360,000
|
2,899,167
|
|
|
|
15,644,690
|
|
Metals & Mining — 0.1%
|
||
|
Anglo American Capital plc (South Africa)
|
||
|
2.63%, 9/10/2030 (b)
|
1,200,000
|
1,101,348
|
|
5.75%, 4/5/2034 (b)
|
2,035,000
|
2,101,768
|
|
5.25%, 3/19/2036 (b)
|
840,000
|
832,784
|
|
Glencore Funding LLC (Australia)
|
||
|
5.63%, 4/4/2034 (b)
|
2,000,000
|
2,060,493
|
|
5.51%, 4/1/2036 (b)
|
4,850,000
|
4,899,448
|
|
|
|
10,995,841
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.0% ^
|
||
|
Resurgent 0.00%, 7/1/2030 ‡
|
3,000,000
|
3,000,000
|
|
Multi-Utilities — 0.3%
|
||
|
NiSource, Inc. 5.30%, 5/18/2036
|
11,970,000
|
11,975,160
|
|
Puget Energy, Inc. 5.73%, 3/15/2035
|
5,985,000
|
6,029,718
|
|
San Diego Gas & Electric Co. Series EEEE, 5.95%, 3/15/2056
|
1,170,000
|
1,184,626
|
|
Sempra 5.25%, 3/15/2036
|
3,430,000
|
3,389,924
|
|
Southern Co. Gas Capital Corp.
|
||
|
Series B, 5.10%, 9/15/2035
|
1,205,000
|
1,195,181
|
|
5.88%, 3/15/2041
|
1,000,000
|
1,031,142
|
|
|
|
24,805,751
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — 1.0%
|
||
|
APA Infrastructure Ltd. (Australia) 5.75%, 9/16/2044 (b)
|
1,487,000
|
1,467,254
|
|
Cheniere Energy Partners LP 5.55%, 10/30/2035
|
560,000
|
571,345
|
|
Cheniere Energy, Inc.
|
||
|
5.65%, 4/15/2034
|
570,000
|
587,036
|
|
5.20%, 7/30/2036 (b)
|
3,025,000
|
2,980,056
|
|
6.00%, 7/30/2056 (b)
|
1,295,000
|
1,292,913
|
|
Columbia Pipelines Operating Co. LLC
|
||
|
5.44%, 2/15/2035 (b)
|
10,000,000
|
10,147,995
|
|
5.51%, 5/15/2036 (b)
|
3,850,000
|
3,889,978
|
|
5.70%, 10/1/2054 (b)
|
2,230,000
|
2,116,980
|
|
ConocoPhillips Co. 5.50%, 1/15/2055
|
680,000
|
654,513
|
|
Coterra Energy, Inc.
|
||
|
5.40%, 2/15/2035
|
1,300,000
|
1,317,517
|
|
5.90%, 2/15/2055
|
2,275,000
|
2,240,129
|
|
Eastern Energy Gas Holdings LLC
|
||
|
5.65%, 10/15/2054
|
600,000
|
573,367
|
|
6.20%, 1/15/2055
|
695,000
|
711,574
|
|
Enbridge, Inc. (Canada)
|
||
|
5.63%, 4/5/2034
|
890,000
|
922,109
|
|
5.45%, 3/27/2036
|
6,500,000
|
6,586,803
|
|
Energy Transfer LP
|
||
|
5.60%, 9/1/2034
|
400,000
|
409,560
|
|
5.70%, 4/1/2035
|
2,000,000
|
2,058,806
|
|
5.35%, 1/15/2036
|
2,292,000
|
2,287,419
|
|
5.15%, 3/15/2045
|
1,510,000
|
1,345,935
|
|
Eni SpA (Italy) 6.00%, 5/18/2056 (b)
|
7,450,000
|
7,431,426
|
|
Enterprise Products Operating LLC 5.55%, 2/16/2055
|
470,000
|
455,461
|
|
EOG Resources, Inc. 5.35%, 1/15/2036
|
5,000,000
|
5,080,643
|
|
Hess Corp. 5.60%, 2/15/2041
|
1,500,000
|
1,531,166
|
|
Kinder Morgan Energy Partners LP 5.50%, 3/1/2044
|
3,980,000
|
3,825,572
|
|
Kinder Morgan, Inc. 3.25%, 8/1/2050
|
615,000
|
409,568
|
|
MPLX LP 5.95%, 4/1/2055
|
4,365,000
|
4,245,695
|
|
ONEOK, Inc.
|
||
|
5.45%, 6/1/2047
|
1,480,000
|
1,356,800
|
|
4.95%, 7/13/2047
|
500,000
|
430,196
|
|
6.25%, 10/15/2055
|
4,000,000
|
4,010,603
|
|
Pioneer Natural Resources Co. 2.15%, 1/15/2031
|
6,001,000
|
5,403,151
|
|
Plains All American Pipeline LP 4.90%, 2/15/2045
|
450,000
|
398,694
|
|
Shell Finance US, Inc. 5.13%, 10/15/2041 (b)
|
563,000
|
540,868
|
|
Targa Resources Corp.
|
||
|
4.90%, 9/15/2030
|
3,247,000
|
3,268,558
|
|
5.50%, 2/15/2035
|
415,000
|
421,838
|
|
TotalEnergies Capital SA (France) 5.28%, 9/10/2054
|
1,000,000
|
942,657
|
|
|
|
81,914,185
|
|
Pharmaceuticals — 0.1%
|
||
|
Bristol-Myers Squibb Co. 2.55%, 11/13/2050
|
1,150,000
|
677,529
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Pharmaceuticals — continued
|
||
|
Eli Lilly & Co. 5.70%, 5/20/2066
|
2,810,000
|
2,823,427
|
|
Novartis Capital Corp. 5.70%, 3/18/2056
|
1,000,000
|
1,014,379
|
|
|
|
4,515,335
|
|
Real Estate Management & Development — 0.0% ^
|
||
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 2.50%, 10/15/2031 (b)
|
800,000
|
707,711
|
|
Residential REITs — 0.0% ^
|
||
|
Essex Portfolio LP
|
||
|
5.50%, 4/1/2034
|
525,000
|
535,065
|
|
5.38%, 4/1/2035
|
1,700,000
|
1,725,378
|
|
Mid-America Apartments LP 4.65%, 1/15/2033
|
1,155,000
|
1,139,768
|
|
|
|
3,400,211
|
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
|
Broadcom, Inc.
|
||
|
4.80%, 2/15/2036
|
507,000
|
493,604
|
|
3.50%, 2/15/2041
|
6,155,000
|
4,922,297
|
|
Foundry JV Holdco LLC
|
||
|
6.10%, 1/25/2036 (b)
|
873,000
|
917,391
|
|
6.20%, 1/25/2037 (b)
|
5,855,000
|
6,176,776
|
|
Intel Corp. 5.70%, 2/10/2053
|
915,000
|
869,520
|
|
Marvell Technology, Inc.
|
||
|
4.75%, 7/15/2030
|
1,830,000
|
1,835,761
|
|
5.45%, 7/15/2035
|
4,487,000
|
4,591,075
|
|
5.30%, 4/15/2036
|
1,900,000
|
1,900,800
|
|
|
|
21,707,224
|
|
Software — 0.3%
|
||
|
Oracle Corp.
|
||
|
4.80%, 9/26/2032
|
1,000,000
|
960,911
|
|
5.70%, 2/4/2036
|
3,825,000
|
3,757,967
|
|
5.88%, 9/26/2045
|
465,000
|
415,866
|
|
6.55%, 2/4/2046
|
2,680,000
|
2,584,034
|
|
4.00%, 7/15/2046
|
800,000
|
556,464
|
|
3.60%, 4/1/2050
|
3,050,000
|
1,906,405
|
|
3.95%, 3/25/2051
|
995,000
|
653,606
|
|
4.38%, 5/15/2055
|
5,000,000
|
3,427,768
|
|
6.70%, 2/4/2056
|
5,855,000
|
5,639,017
|
|
6.85%, 2/4/2066
|
5,885,000
|
5,637,196
|
|
Synopsys, Inc. 5.70%, 4/1/2055
|
2,385,000
|
2,325,199
|
|
|
|
27,864,433
|
|
Specialized REITs — 0.1%
|
||
|
American Tower Corp.
|
||
|
4.70%, 12/15/2032
|
6,145,000
|
6,064,578
|
|
3.70%, 10/15/2049
|
900,000
|
659,696
|
|
|
|
6,724,274
|
|
Specialty Retail — 0.0% ^
|
||
|
Home Depot, Inc. (The) 4.20%, 4/1/2043
|
1,000,000
|
852,762
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Technology Hardware, Storage & Peripherals — 0.0% ^
|
||
|
Dell International LLC 5.30%, 4/1/2032
|
1,990,000
|
2,032,497
|
|
Tobacco — 0.0% ^
|
||
|
Philip Morris International, Inc. 3.88%, 8/21/2042
|
590,000
|
481,549
|
|
Trading Companies & Distributors — 0.0% ^
|
||
|
Aviation Capital Group LLC 5.13%, 4/10/2030 (b)
|
545,000
|
547,314
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
T-Mobile USA, Inc.
|
||
|
3.00%, 2/15/2041
|
595,000
|
442,124
|
|
3.40%, 10/15/2052
|
6,385,000
|
4,249,876
|
|
5.50%, 1/15/2055
|
964,000
|
901,445
|
|
|
|
5,593,445
|
|
Total Corporate Bonds
(Cost $1,256,693,276)
|
|
1,246,380,234
|
|
Collateralized Mortgage Obligations — 6.9%
|
||
|
ABL Series 2024-RTL1, Class A1, 6.08%, 9/25/2029 (b) (d)
|
3,715,000
|
3,723,896
|
|
Al, 5.59%, 10/25/2029 ‡
|
14,000,000
|
14,000,000
|
|
Anchor Mortgage Trust
|
|
|
|
Series 2025-RTL1, Class A1, 5.72%, 5/25/2040 (b) (d)
|
7,270,000
|
7,266,532
|
|
Series 2025-RTL1, Class A2, 6.36%, 5/25/2040 (b) (d)
|
1,430,000
|
1,422,441
|
|
Archwest Mortgage Trust Series 2026-RTL1, Class A1, 5.43%, 4/25/2041 (b) (d)
|
10,931,000
|
10,928,015
|
|
Brean Asset-Backed Securities Trust
|
|
|
|
Series 2024-RM8, Class A1, 4.50%, 5/25/2064 ‡ (b)
|
5,883,321
|
5,791,432
|
|
Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (b)
|
4,643,972
|
4,629,608
|
|
Series 2025-RM11, Class A1, 4.75%, 5/25/2065 ‡ (b) (c)
|
5,149,781
|
5,075,269
|
|
Series 2025-RM12, Class A1, 4.50%, 7/25/2065 ‡ (b)
|
4,593,953
|
4,492,882
|
|
Series 2025-RM13, Class A1, 4.25%, 10/25/2065 ‡ (b)
|
6,886,873
|
6,637,062
|
|
Series 2026-RM14, Class A1, 4.25%, 1/25/2066 ‡ (b)
|
13,890,000
|
13,419,946
|
|
Series 2026-RM15, Class A1, 4.25%, 4/25/2066 ‡ (b)
|
9,725,000
|
9,334,438
|
|
Series 2026-RM16, Class A1, 4.25%, 5/25/2066 ‡ (b)
|
11,100,000
|
10,574,918
|
|
Series 2023-RM7, Class A1, 4.50%, 3/25/2078 ‡ (b) (c)
|
6,289,287
|
6,212,696
|
|
BVRT LLC Series 2025-1, Class C, 3.64%, 5/10/2033 ‡ (b) (c)
|
2,220,102
|
2,136,941
|
|
CAFL Issuer LP
|
|
|
|
Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (b) (d)
|
4,600,000
|
4,613,758
|
|
Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 (b) (d)
|
6,745,000
|
6,697,682
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.89%, 10/25/2029 (b) (d)
|
1,720,000
|
1,717,566
|
|
Series 2026-RTL1, Class A1, 5.38%, 12/25/2030 (b) (d)
|
9,872,000
|
9,830,598
|
|
CFMT LLC
|
|
|
|
Series 2024-HB14, Class M2, 3.00%, 6/25/2034 ‡ (b) (c)
|
1,000,000
|
974,289
|
|
Series 2024-HB15, Class M1, 4.00%, 8/25/2034 ‡ (b) (c)
|
2,470,000
|
2,430,675
|
|
Series 2024-HB15, Class M2, 4.00%, 8/25/2034 ‡ (b) (c)
|
300,000
|
294,078
|
|
CRIBS Mortgage Trust Series 2025-RTL1, Class A1, 5.81%, 5/25/2040 (b) (d)
|
7,000,000
|
7,029,877
|
|
CVS Pass-Through Trust, 5.77%, 1/10/2033 (b)
|
4,464,862
|
4,479,021
|
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 5.30%, 3/25/2067 (b) (c)
|
4,213,616
|
4,093,641
|
|
EQV Abs Issuer I LLC, 5.85%, 12/15/2040 ‡
|
2,445,677
|
2,446,410
|
|
FARM Mortgage Trust Series 2021-1, Class A, 2.18%, 1/25/2051 (b) (c)
|
1,079,025
|
889,367
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-2, Class HT, 3.00%, 8/25/2056 (d)
|
616,319
|
545,769
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057
|
228,456
|
212,668
|
|
Series 2017-4, Class HT, 3.25%, 6/25/2057 (d)
|
2,643,400
|
2,409,069
|
|
Series 2017-4, Class M60C, 3.50%, 6/25/2057
|
1,010,187
|
938,976
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
3,616
|
3,290
|
|
Series 2018-3, Class MA, 3.50%, 8/25/2057 (c)
|
9,749,052
|
9,473,085
|
|
Series 2018-2, Class MZ, 3.50%, 11/25/2057
|
5,290,363
|
4,154,615
|
|
Series 2019-1, Class MA, 3.50%, 7/25/2058
|
666,451
|
638,998
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
447,174
|
401,451
|
|
Series 2019-2, Class HT, 3.00%, 8/25/2058
|
511,515
|
444,866
|
|
Series 2019-3, Class MT, 3.50%, 10/25/2058
|
648,380
|
584,791
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
4,913,749
|
4,608,379
|
|
Series 2019-4, Class HT, 3.00%, 2/25/2059
|
583,330
|
500,365
|
|
Series 2019-4, Class MA, 3.00%, 2/25/2059
|
5,179,287
|
4,855,724
|
|
Series 2019-4, Class MV, 3.00%, 2/25/2059
|
2,345,842
|
2,063,417
|
|
Series 2020-3, Class MTU, 2.50%, 5/25/2060
|
5,029,510
|
4,164,387
|
|
Series 2021-1, Class MTU, 2.50%, 9/25/2060
|
596,050
|
489,423
|
|
Series 2021-2, Class MTU, 2.50%, 11/25/2060
|
649,715
|
532,453
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
2,949,143
|
2,549,563
|
|
Series 2022-2, Class MA, 3.00%, 4/25/2062
|
2,540,706
|
2,296,964
|
|
Series 2022-2, Class M5TU, 4.00%, 4/25/2062
|
1,189,806
|
1,107,790
|
|
FHLMC, REMIC
|
|
|
|
Series 4016, Class KZ, 4.00%, 3/15/2042
|
231,593
|
222,196
|
|
Series 5073, Class GA, 1.50%, 8/25/2044
|
906,125
|
766,620
|
|
Series 5027, Class JA, 2.00%, 10/25/2044
|
121,227
|
112,185
|
|
Series 4487, Class TL, 3.00%, 5/15/2045
|
1,000,000
|
908,990
|
|
Series 4585, Class DA, 3.00%, 6/15/2045
|
194,717
|
183,537
|
|
Series 4480, Class NB, 3.50%, 6/15/2045
|
500,000
|
432,964
|
|
Series 4710, Class JE, 2.75%, 6/15/2047
|
513,422
|
456,945
|
|
Series 5202, Class BH, 2.00%, 12/25/2047
|
576,174
|
528,640
|
|
Series 5195, Class CA, 2.50%, 12/25/2047
|
2,453,859
|
2,202,015
|
|
Series 5149, Class HB, 1.25%, 8/25/2048
|
519,021
|
415,428
|
|
Series 4994, Class LI, IO, 4.00%, 12/25/2048
|
135,336
|
25,402
|
|
Series 4913, Class UA, 3.00%, 3/15/2049
|
705,626
|
628,147
|
|
Series 4863, Class H, 7.00%, 3/15/2049
|
447,180
|
472,304
|
|
Series 4896, Class CG, 3.50%, 4/15/2049
|
271,499
|
257,473
|
|
Series 5141, Class PA, 1.00%, 4/25/2050
|
269,091
|
224,056
|
|
Series 5000, Class EA, 1.00%, 7/25/2050
|
683,659
|
519,594
|
|
Series 5023, Class TE, 1.00%, 10/25/2050
|
2,563,385
|
1,933,587
|
|
Series 5088, Class MP, 1.00%, 12/25/2050
|
416,544
|
323,773
|
|
Series 5063, Class LC, 0.75%, 1/25/2051
|
438,360
|
336,204
|
|
Series 5132, Class EB, 1.25%, 8/25/2051
|
870,744
|
665,803
|
|
Series 5224, Class HL, 4.00%, 4/25/2052
|
1,700,000
|
1,567,082
|
|
Series 5438, PO, 9/25/2053
|
2,781,516
|
2,207,119
|
|
Series 5650, Class BS, IF, 4.68%, 4/25/2056 (c)
|
13,770,533
|
12,213,224
|
|
Series 5674, Class AO, PO, 7/25/2056
|
12,284,944
|
9,697,428
|
|
Series 4862, Class NO, PO, 8/15/2057
|
1,700,273
|
1,048,037
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC, STRIPS
|
|
|
|
Series 276, Class 20, 2.00%, 9/15/2042
|
212,296
|
186,251
|
|
Series 326, Class 350, 3.50%, 3/15/2044
|
421,943
|
388,230
|
|
FNMA Trust, Whole Loan Series 2003-W2, Class 1A1, 6.50%, 7/25/2042
|
645,244
|
666,849
|
|
FNMA, REMIC
|
|
|
|
Series 2012-4, Class NB, 4.00%, 2/25/2042
|
218,887
|
209,162
|
|
Series 2012-28, Class PT, 4.00%, 3/25/2042
|
705,049
|
685,420
|
|
Series 2013-9, Class CB, 5.50%, 4/25/2042
|
557,627
|
569,778
|
|
Series 2012-124, Class PA, 2.50%, 7/25/2042
|
86,578
|
80,545
|
|
Series 2012-130, Class DC, 3.00%, 12/25/2042
|
265,756
|
242,010
|
|
Series 2015-92, Class GZ, 3.00%, 4/25/2043
|
1,225,774
|
1,069,153
|
|
Series 2017-87, Class EA, 3.00%, 4/25/2044
|
221,354
|
201,538
|
|
Series 2018-75, Class LA, 3.00%, 2/25/2048
|
1,274,900
|
1,197,158
|
|
Series 2019-60, Class DA, 2.50%, 3/25/2049
|
157,740
|
140,277
|
|
Series 2019-12, Class BA, 3.00%, 4/25/2049
|
238,513
|
212,252
|
|
Series 2021-91, Class GB, 1.75%, 7/25/2049
|
6,000,626
|
5,033,178
|
|
Series 2020-50, Class A, 2.00%, 7/25/2050
|
392,479
|
325,010
|
|
Series 2020-54, Class UB, 5.00%, 7/25/2050
|
115,677
|
114,411
|
|
Series 2020-70, Class AD, 1.50%, 10/25/2050
|
274,435
|
215,192
|
|
Series 2021-95, Class GA, 1.88%, 3/25/2051
|
4,038,814
|
3,329,095
|
|
Series 2021-27, Class EC, 1.50%, 5/25/2051
|
128,812
|
104,177
|
|
Series 2022-12, Class GE, 2.50%, 3/25/2052
|
5,448,159
|
5,031,615
|
|
Series 2023-40, PO, 9/25/2053
|
3,065,611
|
2,581,755
|
|
Series 2025-18, Class MA, 0.50%, 9/25/2054
|
5,965,674
|
5,052,347
|
|
Series 2025-31, Class MA, 0.50%, 9/25/2054
|
3,316,242
|
2,789,613
|
|
Series 2025-29, Class LA, 2.00%, 5/25/2055
|
2,631,144
|
2,323,566
|
|
Series 2025-52, Class BT, 2.00%, 7/25/2055
|
9,140,611
|
7,919,971
|
|
Series 2026-41, Class AO, PO, 6/25/2056
|
7,727,285
|
5,966,913
|
|
Series 2026-40, Class DT, 0.25%, 6/25/2056
|
12,000,000
|
9,657,640
|
|
Series 2020-10, Class DA, 3.50%, 3/25/2060
|
4,143,014
|
3,698,706
|
|
GNMA
|
|
|
|
Series 2012-13, Class FQ, 4.04%, 1/20/2038 (c)
|
266,819
|
266,734
|
|
Series 2019-83, Class YA, 4.76%, 6/20/2040 (c)
|
148,344
|
148,997
|
|
Series 2013-91, Class WA, 4.40%, 4/20/2043 (c)
|
198,537
|
189,452
|
|
Series 2024-110, Class JC, 3.00%, 9/20/2047
|
18,531,361
|
17,625,572
|
|
Series 2021-50, Class LD, 1.50%, 1/20/2048
|
823,850
|
710,032
|
|
Series 2020-47, Class CE, 1.50%, 1/20/2049
|
3,158,714
|
2,772,004
|
|
Series 2020-15, Class CB, 2.50%, 2/20/2050
|
1,226,513
|
1,068,276
|
|
Series 2021-66, Class QA, 1.00%, 3/20/2050
|
420,558
|
320,924
|
|
Series 2020-65, Class KC, 1.00%, 5/20/2050
|
395,223
|
305,387
|
|
Series 2025-6, Class A, 3.50%, 11/20/2050
|
4,335,716
|
4,079,344
|
|
Series 2020-191, Class CT, 1.25%, 12/20/2050
|
2,854,124
|
2,189,228
|
|
Series 2021-16, Class JB, 1.50%, 1/20/2051
|
602,192
|
501,574
|
|
Series 2021-44, Class QM, 1.75%, 3/20/2051
|
4,216,880
|
3,339,434
|
|
Series 2024-197, Class BN, 3.00%, 5/20/2051
|
8,329,155
|
7,687,961
|
|
Series 2021-97, Class FA, 3.00%, 6/20/2051 (c)
|
304,166
|
263,841
|
|
Series 2022-9, Class P, 2.00%, 9/20/2051
|
736,423
|
648,005
|
|
Series 2021-188, Class PA, 2.00%, 10/20/2051
|
5,115,121
|
4,228,708
|
|
Series 2023-19, Class WB, 5.63%, 11/20/2051 (c)
|
525,137
|
535,180
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2022-34, Class PN, 3.00%, 2/20/2052
|
790,043
|
738,642
|
|
Series 2022-87, Class JT, IF, 5.77%, 5/20/2052 (c)
|
5,647,919
|
5,362,721
|
|
Series 2022-189, Class S, IF, 5.25%, 9/20/2052 (c)
|
1,790,677
|
1,683,646
|
|
Series 2022-172, Class GS, IF, 5.31%, 10/20/2052 (c)
|
2,494,381
|
2,360,519
|
|
Series 2022-172, Class DS, IF, 6.37%, 10/20/2052 (c)
|
3,476,481
|
3,303,380
|
|
Series 2022-179, Class WE, IF, 6.44%, 10/20/2052 (c)
|
2,083,203
|
1,984,179
|
|
Series 2022-190, Class LS, IF, 4.94%, 11/20/2052 (c)
|
4,897,956
|
4,463,670
|
|
Series 2023-53, Class SL, IF, 5.25%, 4/20/2053 (c)
|
2,813,979
|
2,605,724
|
|
Series 2023-70, Class WS, IF, 4.99%, 5/20/2053 (c)
|
4,012,899
|
3,681,823
|
|
Series 2023-63, Class SY, IF, 9.07%, 5/20/2053 (c)
|
6,041,243
|
6,317,424
|
|
Series 2023-89, Class QS, IF, 7.29%, 6/20/2053 (c)
|
5,487,062
|
5,449,764
|
|
Series 2023-115, Class TS, IF, 7.91%, 6/20/2053 (c)
|
1,794,533
|
1,783,209
|
|
Series 2023-101, Class S, IF, 4.65%, 7/20/2053 (c)
|
1,486,716
|
1,305,036
|
|
Series 2023-128, Class SL, IF, 7.54%, 8/20/2053 (c)
|
6,229,127
|
6,168,825
|
|
Series 2023-146, Class GO, PO, 10/20/2053
|
3,441,575
|
2,677,578
|
|
Series 2024-164, Class LO, PO, 6/20/2054
|
2,582,613
|
2,020,578
|
|
Series 2024-164, Class AO, PO, 10/20/2054
|
2,169,104
|
1,696,818
|
|
Series 2025-105, Class SM, IF, 5.49%, 6/20/2055 (c)
|
4,054,653
|
3,743,492
|
|
Series 2022-215, Class TN, 4.00%, 12/20/2062
|
4,158,576
|
3,842,839
|
|
Series 2024-64, Class EO, PO, 4/20/2064
|
10,621,283
|
9,143,924
|
|
Series 2017-H08, Class EI, IO, 2.36%, 2/20/2067 (c)
|
7,296,096
|
312,084
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (b) (d)
|
729,356
|
712,020
|
|
Series 2025-RPL3, Class A1, 4.10%, 7/25/2065 (b) (d)
|
2,196,290
|
2,129,772
|
|
Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (b) (d)
|
6,430,000
|
6,431,617
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (b) (d)
|
1,100,000
|
1,101,196
|
|
Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (b) (d)
|
1,900,000
|
1,908,294
|
|
Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (b) (c)
|
6,540,000
|
6,572,963
|
|
Series 2025-RTL3, Class A1, 5.24%, 8/25/2040 (b) (d)
|
9,550,000
|
9,555,036
|
|
Series 2026-RTL1, Class A1, 4.91%, 1/25/2041 (b) (d)
|
6,415,000
|
6,371,564
|
|
MFA Trust
|
|
|
|
Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (b) (d)
|
2,500,000
|
2,507,288
|
|
Series 2024-RPL1, Class A1, 4.25%, 2/25/2066 (b) (c)
|
1,488,206
|
1,416,912
|
|
MOO Securitization Trust
|
|
|
|
Series 2025-RM1, Class A1, 4.50%, 12/25/2065 ‡ (b) (c)
|
3,000,000
|
2,885,041
|
|
Series 2025-RM1, Class A1A, 4.50%, 12/25/2065 ‡ (b) (c)
|
13,000,000
|
12,533,387
|
|
Series 2025-RM1, Class A1B, 4.50%, 12/25/2065 ‡ (b) (c)
|
2,000,000
|
1,890,551
|
|
Series 2026-RM1, Class A1, 4.50%, 3/25/2066 ‡ (b) (c)
|
11,795,000
|
11,325,566
|
|
Series 2026-RM2, Class A1, 4.75%, 6/25/2066 (b) (c)
|
10,111,000
|
9,724,311
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (b) (d)
|
3,850,066
|
3,854,536
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (b) (d)
|
8,000,000
|
8,035,782
|
|
NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (b) (d)
|
305,961
|
305,944
|
|
OLIT Series 2025-HB2, Class M1, 3.00%, 11/25/2038 ‡ (b) (c)
|
4,535,000
|
4,269,912
|
|
Onity Loan Investment Trust
|
|
|
|
Series 2026-HB2, Class M1, 3.00%, 5/25/2039 ‡ (b) (c)
|
4,005,000
|
3,705,867
|
|
Series 2026-HB2, Class M2, 3.00%, 5/25/2039 ‡ (b) (c)
|
1,335,000
|
1,223,349
|
|
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (c)
|
1,448,774
|
1,375,244
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
PRPM LLC
|
|
|
|
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (b) (d)
|
121,645
|
120,087
|
|
Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (b) (d)
|
121,850
|
120,330
|
|
Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (b) (d)
|
4,901,507
|
4,830,107
|
|
Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 9/25/2029 (b) (d)
|
772,000
|
777,728
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2025-1, Class MTU, 3.25%, 11/25/2064
|
3,062,980
|
2,623,055
|
|
Series 2025-2, Class MTU, 3.25%, 6/25/2065
|
4,244,908
|
3,584,444
|
|
Series 2025-2, Class TTW, 4.25%, 6/25/2065
|
5,388,360
|
5,163,669
|
|
Seasoned Loans Structured Transaction Trust
|
|
|
|
Series 2025-1, Class A1, 3.00%, 5/25/2035
|
6,036,111
|
5,579,052
|
|
Series 2025-2, Class A1, 3.00%, 10/25/2035
|
13,057,473
|
12,104,705
|
|
Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (b) (d)
|
1,500,000
|
1,503,363
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (c)
|
5,337,868
|
4,770,000
|
|
Series 2020-3, Class A2B, 2.25%, 2/25/2063 (b) (c)
|
5,000,000
|
4,498,813
|
|
TVC Mortgage Trust Series 2026-RRTL1, Class A1, 4.96%, 2/25/2041 (b) (d)
|
8,042,000
|
7,964,882
|
|
Vendee Mortgage Trust
|
|
|
|
Series 2010-1, Class DZ, 4.25%, 4/15/2040
|
1,416,537
|
1,358,831
|
|
Series 2011-1, Class DZ, 3.75%, 9/15/2046
|
1,138,729
|
1,063,672
|
|
Total Collateralized Mortgage Obligations
(Cost $567,281,564)
|
|
565,885,064
|
|
Commercial Mortgage-Backed Securities — 5.2%
|
||
|
BAHA Trust Series 2024-MAR, Class A, 5.97%, 12/10/2041 (b) (c)
|
2,800,000
|
2,864,961
|
|
BAML RCAP Frn 8.00%, 10/25/2027 ‡
|
5,998,672
|
5,998,672
|
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2024-FRR3, Class B, 1.40%, 1/27/2050 ‡ (b) (c)
|
851,000
|
826,384
|
|
Series 2025-FRR5, Class BK86, PO, 11/27/2051 (b)
|
5,000,000
|
4,316,205
|
|
Series 2025-FRR5, Class B736, 1.42%, 9/27/2052 ‡ (b) (c)
|
6,000,000
|
5,949,950
|
|
Banc of America Re-REMIC Trust Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (b)
|
1,000,000
|
739,146
|
|
BMD2 Re-REMIC Trust
|
|
|
|
Series 2019-FRR1, Class 3AB, PO, 5/25/2052 ‡ (b)
|
7,750,000
|
6,841,528
|
|
Series 2019-FRR1, Class 4A, PO, 5/25/2052 ‡ (b)
|
2,350,000
|
2,037,677
|
|
Series 2019-FRR1, Class 5C, PO, 5/25/2052 ‡ (b)
|
6,619,500
|
5,600,074
|
|
Series 2019-FRR1, Class 5B13, 2.15%, 5/25/2052 ‡ (b) (c)
|
6,000,000
|
5,386,576
|
|
Series 2019-FRR1, Class 5A1, 3.40%, 5/25/2052 ‡ (b) (c)
|
4,000,000
|
3,753,794
|
|
BOFAS Re-REMIC Trust
|
|
|
|
Series 2026-FRR7, Class AK77, 1.33%, 5/27/2051 ‡ (b) (c)
|
6,314,000
|
5,866,564
|
|
Series 2026-FRR7, Class BK77, 1.33%, 5/27/2051 ‡ (b) (c)
|
9,986,473
|
9,233,886
|
|
Series 2026-FRR7, Class CK77, 1.33%, 5/27/2051 ‡ (b) (c)
|
8,335,000
|
7,633,874
|
|
Series 2025-FRR6, Class C, 1.49%, 11/27/2051 ‡ (b) (c)
|
4,000,000
|
3,478,310
|
|
Series 2025-FRR6, Class B, 1.50%, 11/27/2051 ‡ (b) (c)
|
6,000,000
|
5,347,209
|
|
Series 2026-FRR7, Class CK97, 1.49%, 7/27/2052 ‡ (b) (c)
|
12,311,000
|
10,721,752
|
|
Series 2026-FRR7, Class BK97, 1.84%, 7/27/2052 ‡ (b) (c)
|
12,000,000
|
10,745,866
|
|
Series 2026-FRR8, Class B124, 1.57%, 12/27/2053 ‡ (b) (c)
|
8,917,000
|
7,423,533
|
|
Series 2026-FRR8, Class A124, 1.66%, 12/27/2053 ‡ (b) (c)
|
5,193,000
|
4,436,031
|
|
Series 2026-FRR8, Class B129, 1.50%, 4/27/2054 ‡ (b) (c)
|
8,651,000
|
7,068,869
|
|
Series 2026-FRR8, Class A746, 2.65%, 4/27/2054 ‡ (b) (c)
|
12,017,000
|
11,132,177
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
BX Trust
|
|
|
|
Series 2025-DELC, Class A, 5.18%, 12/15/2042 (b) (c)
|
3,450,000
|
3,459,703
|
|
Series 2025-DELC, Class C, 5.83%, 12/15/2042 (b) (c)
|
2,265,000
|
2,273,488
|
|
Series 2025-DELC, Class D, 6.23%, 12/15/2042 (b) (c)
|
1,980,000
|
1,993,454
|
|
BXP Trust Series 2017-GM, Class E, 3.42%, 6/13/2039 (b) (c)
|
4,080,000
|
3,953,389
|
|
CSMC OA LLC
|
|
|
|
Series 2014-USA, Class A1, 3.30%, 9/15/2037 (b)
|
6,408,073
|
5,927,941
|
|
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (b)
|
5,000,000
|
4,625,365
|
|
Series 2014-USA, Class B, 4.18%, 9/15/2037 (b)
|
5,350,000
|
4,711,068
|
|
Series 2014-USA, Class C, 4.34%, 9/15/2037 (b)
|
750,000
|
645,163
|
|
CSTL Commercial Mortgage Trust
|
|
|
|
Series 2025-GATE2, Class A, 4.56%, 11/10/2042 (b) (c)
|
4,698,900
|
4,603,965
|
|
Series 2025-GATE2, Class B, 4.85%, 11/10/2042 (b) (c)
|
3,400,000
|
3,318,875
|
|
Series 2025-GATE2, Class D, 5.63%, 11/10/2042 (b) (c)
|
3,110,000
|
3,048,885
|
|
Series 2026-GATE3, Class C, 5.13%, 2/10/2043 (b) (c)
|
3,188,000
|
3,118,840
|
|
Series 2026-GATE3, Class D, 5.52%, 2/10/2043 (b) (c)
|
2,940,000
|
2,882,691
|
|
DLIC Re-REMIC Trust
|
|
|
|
Series 2025-FRR1, Class B104, 1.86%, 12/27/2052 ‡ (b) (c)
|
6,000,000
|
5,202,586
|
|
Series 2025-FRR1, Class A104, 2.54%, 12/27/2052 ‡ (b) (c)
|
4,000,000
|
3,611,703
|
|
Series 2025-FRR1, Class A111, 2.24%, 4/27/2053 ‡ (b) (c)
|
7,000,000
|
6,117,200
|
|
Series 2025-FRR1, Class A120, 2.59%, 9/27/2053 ‡ (b) (c)
|
5,000,000
|
4,332,918
|
|
FHLMC Series 2025-MN11, Class M1, 5.26%, 7/25/2045 (b) (c)
|
1,937,264
|
1,934,657
|
|
FHLMC MSCR Trust
|
|
|
|
Series 2024-MN9, Class M1, 6.06%, 10/25/2044 (b) (c)
|
881,575
|
888,502
|
|
Series 2025-MN10, Class M1, 5.66%, 2/25/2045 (b) (c)
|
1,581,448
|
1,568,148
|
|
Series 2025-MN12, Class M1, 5.36%, 11/25/2045 (b) (c)
|
7,483,908
|
7,489,697
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KL06, Class XFX, IO, 1.35%, 12/25/2029 (c)
|
4,866,362
|
195,439
|
|
Series KJ40, Class A2, 3.69%, 11/25/2030 (c)
|
335,000
|
326,716
|
|
Series K135, Class AM, 1.91%, 10/25/2031 (c)
|
1,050,000
|
920,155
|
|
Series KJ44, Class A2, 4.61%, 2/25/2033
|
500,000
|
498,655
|
|
FNMA ACES
|
|
|
|
Series 2026-M10, Class A1, 1.85%, 6/25/2031 (c)
|
865,623
|
799,070
|
|
Series 2026-M9, Class A1, 1.57%, 10/25/2031 (c)
|
2,028,026
|
1,826,190
|
|
Series 2020-M53, Class A2, 1.68%, 11/25/2032 (c)
|
27,000
|
23,053
|
|
Series 2023-M8, Class A1, 4.48%, 11/25/2032 (c)
|
273,900
|
274,857
|
|
Series 2026-M9, Class A, 1.57%, 1/25/2033 (c)
|
2,038,391
|
1,802,858
|
|
Series 2026-M9, Class A2, 1.57%, 1/25/2033 (c)
|
9,524,436
|
8,025,614
|
|
Series 2024-M2, Class A1, 4.62%, 4/25/2033 (c)
|
499,534
|
503,608
|
|
Series 2026-M10, Class X1, IO, 0.00%, 7/25/2035
|
6,816,626
|
1,018
|
|
Series 2026-M10, Class A2, 1.85%, 7/25/2035 (c)
|
4,939,000
|
4,182,638
|
|
Series 2026-M10, Class PS, 1.85%, 7/25/2035 (c)
|
1,012,000
|
881,934
|
|
Series 2021-M8, Class A2, 2.10%, 11/25/2035
|
5,605,933
|
4,997,754
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-K66, Class B, 4.03%, 7/25/2027 (b) (c)
|
1,160,000
|
1,150,704
|
|
Series 2017-KGX1, Class BFX, 3.59%, 10/25/2027 (b) (c)
|
570,000
|
553,664
|
|
Series 2021-KHG3, Class BFL, 5.95%, 9/25/2028 (b) (c)
|
7,984,907
|
7,975,375
|
|
Series 2019-KBF3, Class B, 6.26%, 1/25/2029 (b) (c)
|
169,744
|
168,693
|
|
Series 2019-KL05, Class BP, 3.96%, 6/25/2029 (b) (c)
|
2,000,000
|
1,875,707
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2019-KS11, Class B, 4.82%, 6/25/2029 (b) (c)
|
2,952,000
|
2,823,979
|
|
Series 2020-KHG2, Class C, 3.07%, 2/25/2030 (b) (c)
|
2,000,000
|
1,720,807
|
|
Series 2021-KLU3, Class BFX, 4.26%, 1/25/2031 (b) (c)
|
966,098
|
878,173
|
|
Series 2018-K154, Class B, 4.02%, 11/25/2032 (b) (c)
|
610,000
|
531,589
|
|
Series 2018-K155, Class B, 4.17%, 4/25/2033 (b) (c)
|
580,000
|
506,036
|
|
Series 2016-K58, Class C, 3.74%, 9/25/2049 (b) (c)
|
1,250,000
|
1,243,955
|
|
Series 2017-K68, Class B, 3.84%, 10/25/2049 (b) (c)
|
3,000,000
|
2,959,384
|
|
Series 2017-K64, Class B, 4.00%, 5/25/2050 (b) (c)
|
4,455,000
|
4,420,549
|
|
Series 2018-K80, Class B, 4.23%, 8/25/2050 (b) (c)
|
2,076,000
|
2,026,127
|
|
Series 2017-K71, Class B, 3.75%, 11/25/2050 (b) (c)
|
100,000
|
98,598
|
|
Series 2017-K71, Class C, 3.75%, 11/25/2050 (b) (c)
|
3,606,000
|
3,523,449
|
|
Series 2019-K89, Class B, 4.29%, 1/25/2051 (b) (c)
|
7,000,000
|
6,897,612
|
|
Series 2019-K89, Class C, 4.29%, 1/25/2051 (b) (c)
|
2,000,000
|
1,954,556
|
|
Series 2019-K87, Class B, 4.31%, 1/25/2051 (b) (c)
|
9,050,000
|
8,897,301
|
|
Series 2019-K91, Class C, 4.26%, 4/25/2051 (b) (c)
|
1,795,000
|
1,743,461
|
|
Series 2018-K77, Class B, 4.16%, 5/25/2051 (b) (c)
|
1,170,000
|
1,151,691
|
|
Series 2018-K77, Class C, 4.16%, 5/25/2051 (b) (c)
|
1,000,000
|
980,130
|
|
Series 2018-K79, Class C, 4.21%, 7/25/2051 (b) (c)
|
145,000
|
141,302
|
|
Series 2019-K103, Class B, 3.46%, 12/25/2051 (b) (c)
|
1,819,000
|
1,727,028
|
|
Series 2019-K102, Class B, 3.53%, 12/25/2051 (b) (c)
|
375,000
|
357,456
|
|
Series 2019-K102, Class C, 3.53%, 12/25/2051 (b) (c)
|
4,075,000
|
3,850,445
|
|
Series 2019-K90, Class C, 4.32%, 2/25/2052 (b) (c)
|
500,000
|
488,486
|
|
Series 2019-K88, Class B, 4.39%, 2/25/2052 (b) (c)
|
2,000,000
|
1,966,260
|
|
Series 2019-K88, Class C, 4.39%, 2/25/2052 (b) (c)
|
1,000,000
|
970,898
|
|
Series 2019-K93, Class B, 4.12%, 5/25/2052 (b) (c)
|
2,000,000
|
1,952,125
|
|
Series 2019-K94, Class C, 3.96%, 7/25/2052 (b) (c)
|
1,250,000
|
1,206,031
|
|
Series 2019-K98, Class B, 3.74%, 10/25/2052 (b) (c)
|
1,040,000
|
1,001,461
|
|
Series 2019-K98, Class C, 3.74%, 10/25/2052 (b) (c)
|
9,395,000
|
8,977,024
|
|
Series 2019-K100, Class C, 3.50%, 11/25/2052 (b) (c)
|
4,707,000
|
4,439,363
|
|
Series 2020-K737, Class B, 3.33%, 1/25/2053 (b) (c)
|
1,452,000
|
1,440,431
|
|
Series 2020-K737, Class C, 3.33%, 1/25/2053 (b) (c)
|
4,870,000
|
4,823,998
|
|
Series 2020-K105, Class C, 3.53%, 3/25/2053 (b) (c)
|
1,651,000
|
1,554,172
|
|
Series 2019-K96, Class B, 3.81%, 8/25/2056 (b) (c)
|
2,000,000
|
1,932,536
|
|
Series 2019-K96, Class C, 3.81%, 8/25/2056 (b) (c)
|
4,754,000
|
4,532,690
|
|
GAM Re-REMIC Trust
|
|
|
|
Series 2022-FRR3, Class BK61, PO, 11/27/2049 ‡ (b)
|
9,000,000
|
8,717,025
|
|
Series 2022-FRR3, Class BK71, 1.93%, 11/27/2050 (b) (c)
|
8,815,000
|
8,244,077
|
|
Series 2021-FRR1, Class 1C, PO, 11/29/2050 ‡ (b)
|
2,753,000
|
2,581,540
|
|
Series 2021-FRR1, Class 2A, PO, 11/29/2050 ‡ (b)
|
580,000
|
530,747
|
|
Series 2021-FRR1, Class 2B, PO, 11/29/2050 ‡ (b)
|
6,000,000
|
5,482,073
|
|
Series 2022-FRR3, Class BK89, PO, 1/27/2052 ‡ (b)
|
7,028,000
|
5,885,270
|
|
GAM Re-REMIC TRUST
|
|
|
|
Series 2021-FRR2, Class BK74, PO, 9/27/2051 ‡ (b)
|
5,000,000
|
4,414,816
|
|
Series 2021-FRR2, Class AK78, 2.86%, 9/27/2051 (b) (c)
|
4,000,000
|
3,738,578
|
|
GNMA
|
|
|
|
Series 2012-132, Class Z, 2.68%, 6/16/2054 (c)
|
550,917
|
398,408
|
|
Series 2013-61, Class Z, 2.45%, 10/16/2054 (c)
|
768,060
|
583,860
|
|
Series 2013-1, Class Z, 2.37%, 1/16/2055 (c)
|
799,786
|
504,950
|
|
Series 2017-76, Class B, 2.60%, 12/16/2056
|
620,155
|
449,687
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2017-191, Class B, 2.50%, 7/16/2059 (c)
|
688,303
|
403,854
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
2,200,000
|
1,980,000
|
|
MTN Commercial Mortgage Trust
|
|
|
|
Series 2026-LPFX, Class B, 5.46%, 5/15/2043 (b) (c)
|
2,250,000
|
2,247,944
|
|
Series 2026-LPFX, Class C, 5.76%, 5/15/2043 (b) (c)
|
1,500,000
|
1,501,806
|
|
Series 2026-LPFX, Class D, 6.06%, 5/15/2043 (b) (c)
|
1,250,000
|
1,254,116
|
|
Series 2026-LPFX, Class E, 6.56%, 5/15/2043 (b) (c)
|
4,400,000
|
4,414,262
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2024-01, Class M7, 6.36%, 7/25/2054 (b) (c)
|
77,153
|
77,961
|
|
Series 2025-01, Class M1, 6.01%, 5/25/2055 (b) (c)
|
4,995,399
|
5,064,770
|
|
One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (b)
|
1,000,000
|
924,345
|
|
PRM5 Trust
|
|
|
|
Series 2025-PRM5, Class B, 4.76%, 3/10/2033 (b) (c)
|
2,250,000
|
2,234,974
|
|
Series 2025-PRM5, Class C, 5.00%, 3/10/2033 (b) (c)
|
1,000,000
|
992,482
|
|
Series 2025-PRM5, Class D, 5.62%, 3/10/2033 (b) (c)
|
1,750,000
|
1,735,252
|
|
PRM7 Trust
|
|
|
|
Series 2025-PRM7, Class C, 4.94%, 11/10/2042 (b) (c)
|
1,795,000
|
1,748,283
|
|
Series 2025-PRM7, Class D, 5.66%, 11/10/2042 (b) (c)
|
4,060,000
|
4,000,617
|
|
RFM Re-REMIC Trust
|
|
|
|
Series 2022-FRR1, Class AB60, 2.31%, 11/8/2049 ‡ (b) (c)
|
9,930,000
|
9,758,021
|
|
Series 2024-FRR2, Class A100, PO, 11/27/2052 ‡ (b)
|
2,000,000
|
1,665,648
|
|
RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (b) (d)
|
3,401,400
|
3,378,505
|
|
ROCK Trust
|
|
|
|
Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b)
|
700,000
|
709,855
|
|
Series 2024-CNTR, Class B, 5.93%, 11/13/2041 (b)
|
2,000,000
|
2,039,559
|
|
Series 2024-CNTR, Class C, 6.47%, 11/13/2041 (b)
|
5,150,000
|
5,290,392
|
|
RWC Commercial Mortgage Trust
|
|
|
|
Series 2025-1, Class A, 5.01%, 6/27/2040 (b)
|
6,489,033
|
6,429,137
|
|
Series 2025-1, Class AS, 5.26%, 6/27/2040 (b)
|
3,295,000
|
3,261,628
|
|
Series 2025-1, Class C, 6.26%, 6/27/2040 (b)
|
1,536,000
|
1,506,900
|
|
WHARF Commercial Mortgage Trust Series 2025-DC, Class C, 6.03%, 7/15/2040 (b) (c)
|
2,000,000
|
2,030,851
|
|
Total Commercial Mortgage-Backed Securities
(Cost $427,281,081)
|
|
429,996,274
|
|
Foreign Government Securities — 0.4%
|
||
|
Eagle Funding Luxco SARL 5.50%, 8/17/2030 (b)
|
4,681,000
|
4,704,405
|
|
Republic of Panama 5.23%, 2/23/2034
|
2,754,000
|
2,731,279
|
|
United Mexican States
|
|
|
|
6.00%, 5/13/2030
|
474,000
|
488,931
|
|
5.85%, 7/2/2032
|
1,657,000
|
1,675,724
|
|
5.38%, 3/22/2033
|
7,174,000
|
7,022,557
|
|
5.63%, 2/9/2034
|
4,059,000
|
3,990,038
|
|
5.63%, 9/22/2035
|
10,000,000
|
9,700,000
|
|
6.88%, 5/13/2037
|
703,000
|
735,777
|
|
6.63%, 1/29/2038
|
2,140,000
|
2,185,689
|
|
6.34%, 5/4/2053
|
730,000
|
683,930
|
|
3.77%, 5/24/2061
|
1,000,000
|
600,830
|
|
Total Foreign Government Securities
(Cost $34,907,582)
|
|
34,519,160
|
|
INVESTMENTS
|
SHARES
|
VALUE($)
|
|
Short-Term Investments — 3.6%
|
||
|
Investment Companies — 3.6%
|
||
|
JPMorgan U.S. Government Money Market Fund Class IM Shares, 3.58% (g) (h)
(Cost $297,672,709)
|
297,672,709
|
297,672,709
|
|
Total Investments — 102.2%
(Cost $8,427,986,301)
|
|
8,380,166,377
|
|
Liabilities in Excess of Other Assets — (2.2)%
|
|
(183,557,921
)
|
|
NET ASSETS — 100.0%
|
|
8,196,608,456
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2026.
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
FRN
|
Floating Rate Note
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2026. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
PT
|
Limited liability company
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
(a)
|
The rate shown is the effective yield as of May 31, 2026.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(c)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2026.
|
|
|
(d)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
|
(e)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(f)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2026.
|
|
|
(g)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(h)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
347
|
09/21/2026
|
USD
|
38,132,047
|
362,719
|
|
U.S. Treasury Long Bond
|
1,591
|
09/21/2026
|
USD
|
178,838,344
|
3,664,491
|
|
U.S. Treasury Ultra Bond
|
2,094
|
09/21/2026
|
USD
|
240,024,750
|
5,321,481
|
|
U.S. Treasury 2 Year Note
|
2,204
|
09/30/2026
|
USD
|
455,401,500
|
940,735
|
|
U.S. Treasury 5 Year Note
|
321
|
09/30/2026
|
USD
|
34,434,774
|
216,048
|
|
|
|
|
|
|
10,505,474
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Ultra Note
|
(5,174
)
|
09/21/2026
|
USD
|
(580,538,969
)
|
(7,375,491
)
|
|
|
|
|
|
|
3,129,983
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,418,890,482
|
$185,256,110
|
$1,604,146,592
|
|
Collateralized Mortgage Obligations
|
—
|
439,600,747
|
126,284,317
|
565,885,064
|
|
Commercial Mortgage-Backed Securities
|
—
|
251,474,855
|
178,521,419
|
429,996,274
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
18,230,349
|
—
|
18,230,349
|
|
Banks
|
—
|
417,674,116
|
—
|
417,674,116
|
|
Beverages
|
—
|
2,490,248
|
—
|
2,490,248
|
|
Biotechnology
|
—
|
22,684,044
|
—
|
22,684,044
|
|
Broadline Retail
|
—
|
8,013,329
|
—
|
8,013,329
|
|
Capital Markets
|
—
|
120,775,371
|
—
|
120,775,371
|
|
Chemicals
|
—
|
9,880,168
|
—
|
9,880,168
|
|
Commercial Services & Supplies
|
—
|
807,043
|
—
|
807,043
|
|
Construction & Engineering
|
—
|
1,470,636
|
—
|
1,470,636
|
|
Consumer Finance
|
—
|
55,285,031
|
—
|
55,285,031
|
|
Consumer Staples Distribution & Retail
|
—
|
852,608
|
—
|
852,608
|
|
Containers & Packaging
|
—
|
7,090,337
|
—
|
7,090,337
|
|
Diversified
|
—
|
—
|
6,452,345
|
6,452,345
|
|
Diversified REITs
|
—
|
4,921,065
|
—
|
4,921,065
|
|
Diversified Telecommunication Services
|
—
|
36,178,855
|
—
|
36,178,855
|
|
Electric Utilities
|
—
|
79,447,402
|
—
|
79,447,402
|
|
Electrical Equipment
|
—
|
7,291,702
|
—
|
7,291,702
|
|
Electronic Equipment, Instruments & Components
|
—
|
1,997,021
|
—
|
1,997,021
|
|
Energy Equipment & Services
|
—
|
4,168,397
|
—
|
4,168,397
|
|
Financial Services
|
—
|
26,015,352
|
70,031,720
|
96,047,072
|
|
Food Products
|
—
|
20,721,823
|
—
|
20,721,823
|
|
Gas Utilities
|
—
|
565,268
|
—
|
565,268
|
|
Ground Transportation
|
—
|
1,319,268
|
—
|
1,319,268
|
|
Health Care Equipment & Supplies
|
—
|
12,084,556
|
—
|
12,084,556
|
|
Health Care Providers & Services
|
—
|
28,302,501
|
10,924,848
|
39,227,349
|
|
Health Care REITs
|
—
|
2,128,986
|
—
|
2,128,986
|
|
Independent Power and Renewable Electricity
Producers
|
—
|
4,793,685
|
—
|
4,793,685
|
|
Industrial REITs
|
—
|
901,366
|
—
|
901,366
|
|
Insurance
|
—
|
1,972,744
|
—
|
1,972,744
|
|
Interactive Media & Services
|
—
|
46,511,507
|
—
|
46,511,507
|
|
Life Sciences Tools & Services
|
—
|
3,609,321
|
—
|
3,609,321
|
|
Media
|
—
|
15,644,690
|
—
|
15,644,690
|
|
Metals & Mining
|
—
|
10,995,841
|
—
|
10,995,841
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
—
|
3,000,000
|
3,000,000
|
|
Multi-Utilities
|
—
|
24,805,751
|
—
|
24,805,751
|
|
Oil, Gas & Consumable Fuels
|
—
|
81,914,185
|
—
|
81,914,185
|
|
Pharmaceuticals
|
—
|
4,515,335
|
—
|
4,515,335
|
|
Real Estate Management & Development
|
—
|
707,711
|
—
|
707,711
|
|
Residential REITs
|
—
|
3,400,211
|
—
|
3,400,211
|
|
Semiconductors & Semiconductor Equipment
|
—
|
21,707,224
|
—
|
21,707,224
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Software
|
$—
|
$27,864,433
|
$—
|
$27,864,433
|
|
Specialized REITs
|
—
|
6,724,274
|
—
|
6,724,274
|
|
Specialty Retail
|
—
|
852,762
|
—
|
852,762
|
|
Technology Hardware, Storage & Peripherals
|
—
|
2,032,497
|
—
|
2,032,497
|
|
Tobacco
|
—
|
481,549
|
—
|
481,549
|
|
Trading Companies & Distributors
|
—
|
547,314
|
—
|
547,314
|
|
Wireless Telecommunication Services
|
—
|
5,593,445
|
—
|
5,593,445
|
|
Total Corporate Bonds
|
—
|
1,155,971,321
|
90,408,913
|
1,246,380,234
|
|
Foreign Government Securities
|
—
|
34,519,160
|
—
|
34,519,160
|
|
Mortgage-Backed Securities
|
—
|
1,374,735,754
|
—
|
1,374,735,754
|
|
U.S. Treasury Obligations
|
—
|
2,826,830,590
|
—
|
2,826,830,590
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
297,672,709
|
—
|
—
|
297,672,709
|
|
Total Investments in Securities
|
$297,672,709
|
$7,502,022,909
|
$580,470,759
|
$8,380,166,377
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$10,505,474
|
$—
|
$—
|
$10,505,474
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$(7,375,491
)
|
$—
|
$—
|
$(7,375,491
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$3,129,983
|
$—
|
$—
|
$3,129,983
|
|
|
Balance as of
February 28,
2026
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
May 31,
2026
|
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
$99,409,580
|
$12,750
|
$(330,986
)
|
$(1,290
)
|
$106,345,084
|
$(2,227,791
)
|
$—
|
$(8,411,237
)
|
$(9,540,000
)
|
$185,256,110
|
|
Collateralized
Mortgage
Obligations
|
90,887,593
|
—
|
(1,154,513
)
|
21,130
|
52,799,729
|
(11,733,699
)
|
—
|
(14,075,923
)
|
9,540,000
|
126,284,317
|
|
Commercial
Mortgage-Backed
Securities
|
152,222,570
|
—
|
(1,299,667
)
|
113,614
|
30,486,230
|
(3,001,328
)
|
—
|
—
|
—
|
178,521,419
|
|
Corporate Bonds
|
42,957,964
|
(121
)
|
(74,715
)
|
(34,326
)
|
51,584,934
|
(4,024,823
)
|
—
|
—
|
—
|
90,408,913
|
|
Total
|
$385,477,707
|
$12,629
|
$(2,859,881
)
|
$99,128
|
$241,215,977
|
$(20,987,641
)
|
$—
|
$(22,487,160
)
|
$—
|
$580,470,759
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Asset-Backed Securities and
Collateralized Mortgage Obligations.
|
|
|
Fair Value at
May 31, 2026
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
|
$8,755,988
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 10.00% (3.43%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.55% -6.24% (5.79%)
|
|
Asset-Backed Securities
|
8,755,988
|
|
|
|
|
|
63,562,288
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
25.00% - 100.00% (94.96%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.18% - 5.72% (5.41%)
|
|
Collateralized Mortgage
Obligations
|
63,562,288
|
|
|
|
|
|
16,534,356
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
5.56% - 5.71% (5.66%)
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed
Securities
|
16,534,356
|
|
|
|
|
Total
|
$88,852,632
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2026, the value of
these investments was $491,618,127. The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended May 31, 2026
|
|||||||||
|
Security Description
|
Value at
February 28,
2026
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2026
|
Shares at
May 31,
2026
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government
Money Market Fund
Class IM Shares, 3.58%
(a) (b)
|
$209,849,300
|
$912,109,568
|
$824,286,159
|
$—
|
$—
|
$297,672,709
|
297,672,709
|
$2,380,201
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2026.
|