|
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
|
© J.P. Morgan Chase & Co., 2026.
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — 36.5%
|
||
|
U.S. Treasury Bonds
|
|
|
|
6.13%, 11/15/2027
|
200
|
206
|
|
4.38%, 2/15/2038
|
160
|
158
|
|
3.50%, 2/15/2039
|
220
|
197
|
|
4.25%, 5/15/2039
|
30
|
29
|
|
4.50%, 8/15/2039
|
30
|
29
|
|
1.13%, 5/15/2040
|
1,175
|
738
|
|
4.38%, 5/15/2040
|
60
|
58
|
|
3.88%, 8/15/2040
|
45
|
41
|
|
4.25%, 11/15/2040
|
90
|
85
|
|
2.25%, 5/15/2041
|
14,975
|
10,861
|
|
4.38%, 5/15/2041
|
30
|
29
|
|
2.00%, 11/15/2041
|
515
|
355
|
|
3.00%, 5/15/2042
|
200
|
158
|
|
2.75%, 11/15/2042
|
12,650
|
9,560
|
|
4.00%, 11/15/2042
|
14,400
|
12,946
|
|
3.13%, 2/15/2043
|
455
|
362
|
|
3.88%, 2/15/2043
|
695
|
613
|
|
2.88%, 5/15/2043
|
15,720
|
11,995
|
|
3.63%, 8/15/2043
|
73,415
|
62,237
|
|
3.75%, 11/15/2043
|
24,928
|
21,445
|
|
3.63%, 2/15/2044
|
120
|
101
|
|
3.38%, 5/15/2044
|
29,995
|
24,324
|
|
4.13%, 8/15/2044
|
4,465
|
4,017
|
|
3.00%, 11/15/2044
|
8,200
|
6,232
|
|
3.00%, 5/15/2045
|
365
|
276
|
|
3.00%, 11/15/2045
|
630
|
473
|
|
3.00%, 2/15/2047
|
548
|
405
|
|
3.00%, 2/15/2048
|
20
|
15
|
|
3.13%, 5/15/2048
|
3,764
|
2,808
|
|
3.00%, 8/15/2048
|
3,160
|
2,298
|
|
2.25%, 8/15/2049
|
14,665
|
9,042
|
|
2.38%, 11/15/2049
|
37,120
|
23,438
|
|
1.25%, 5/15/2050
|
790
|
372
|
|
1.38%, 8/15/2050
|
38,289
|
18,569
|
|
1.63%, 11/15/2050
|
26,925
|
13,926
|
|
1.88%, 2/15/2051
|
18,386
|
10,114
|
|
2.38%, 5/15/2051
|
15,863
|
9,827
|
|
2.00%, 8/15/2051
|
1,015
|
572
|
|
2.25%, 2/15/2052
|
3,750
|
2,236
|
|
2.88%, 5/15/2052
|
24,390
|
16,724
|
|
3.00%, 8/15/2052
|
620
|
436
|
|
4.00%, 11/15/2052
|
220
|
187
|
|
4.13%, 8/15/2053
|
150
|
130
|
|
4.25%, 2/15/2054
|
335
|
297
|
|
4.25%, 8/15/2054
|
305
|
270
|
|
4.50%, 11/15/2054
|
1,505
|
1,390
|
|
4.75%, 5/15/2055
|
870
|
837
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
4.75%, 2/15/2056
|
20,489
|
19,746
|
|
U.S. Treasury Inflation Indexed Bonds
|
|
|
|
1.75%, 1/15/2028
|
473
|
476
|
|
3.63%, 4/15/2028
|
1,631
|
1,698
|
|
2.50%, 1/15/2029
|
461
|
474
|
|
U.S. Treasury Notes
|
|
|
|
0.38%, 9/30/2027
|
1
|
1
|
|
0.75%, 1/31/2028
|
4,500
|
4,267
|
|
3.50%, 1/31/2028
|
25,879
|
25,673
|
|
3.50%, 4/30/2028
|
50,370
|
49,902
|
|
2.88%, 5/15/2028
|
105
|
102
|
|
1.25%, 6/30/2028
|
13,470
|
12,733
|
|
1.00%, 7/31/2028
|
4,750
|
4,455
|
|
4.13%, 7/31/2028
|
38,000
|
38,082
|
|
1.13%, 8/31/2028
|
62,228
|
58,382
|
|
1.25%, 9/30/2028
|
1,595
|
1,497
|
|
1.75%, 1/31/2029
|
3,850
|
3,628
|
|
1.88%, 2/28/2029
|
18,000
|
16,992
|
|
2.38%, 3/31/2029
|
1,515
|
1,448
|
|
3.88%, 4/15/2029
|
25,838
|
25,715
|
|
2.88%, 4/30/2029
|
25,060
|
24,253
|
|
2.75%, 5/31/2029
|
1,245
|
1,200
|
|
3.25%, 6/30/2029
|
37,270
|
36,401
|
|
3.50%, 1/31/2030
|
735
|
720
|
|
4.25%, 1/31/2030
|
39,680
|
39,885
|
|
3.75%, 5/31/2030
|
870
|
859
|
|
3.88%, 6/30/2030
|
32,145
|
31,860
|
|
3.88%, 7/31/2030
|
5,000
|
4,954
|
|
4.13%, 8/31/2030
|
57,274
|
57,267
|
|
3.63%, 10/31/2030
|
49,972
|
48,969
|
|
4.88%, 10/31/2030
|
17,985
|
18,520
|
|
3.88%, 3/31/2031
|
11,087
|
10,960
|
|
4.13%, 3/31/2031
|
21,319
|
21,300
|
|
1.25%, 8/15/2031
|
1,040
|
899
|
|
1.88%, 2/15/2032
|
53,070
|
46,830
|
|
4.13%, 2/29/2032
|
37,975
|
37,822
|
|
2.88%, 5/15/2032
|
15,725
|
14,618
|
|
4.00%, 7/31/2032
|
41,540
|
41,016
|
|
2.75%, 8/15/2032
|
3,490
|
3,208
|
|
3.88%, 12/31/2032
|
6,918
|
6,765
|
|
3.50%, 2/15/2033
|
58,615
|
55,993
|
|
3.88%, 8/15/2033
|
590
|
575
|
|
4.50%, 11/15/2033
|
41,008
|
41,492
|
|
4.00%, 2/15/2034
|
46,466
|
45,466
|
|
3.88%, 8/15/2034
|
193,002
|
186,624
|
|
4.25%, 11/15/2034
|
79,550
|
78,857
|
|
4.63%, 2/15/2035
|
57,853
|
58,845
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
U.S. Treasury STRIPS Bonds
|
|
|
|
3.71%, 5/15/2028 (a)
|
200
|
185
|
|
4.72%, 8/15/2030 (a)
|
6,780
|
5,699
|
|
4.68%, 11/15/2030 (a)
|
6,865
|
5,710
|
|
4.22%, 2/15/2031 (a)
|
37,800
|
31,100
|
|
4.90%, 8/15/2031 (a)
|
29,215
|
23,500
|
|
4.36%, 11/15/2031 (a)
|
18,930
|
15,056
|
|
4.14%, 2/15/2032 (a)
|
815
|
641
|
|
4.11%, 5/15/2032 (a)
|
250
|
194
|
|
4.27%, 2/15/2033 (a)
|
60
|
45
|
|
4.33%, 8/15/2033 (a)
|
200
|
147
|
|
4.30%, 11/15/2033 (a)
|
505
|
366
|
|
4.40%, 2/15/2034 (a)
|
125
|
89
|
|
4.37%, 5/15/2034 (a)
|
230
|
162
|
|
4.29%, 11/15/2034 (a)
|
4,550
|
3,132
|
|
4.31%, 2/15/2035 (a)
|
6,410
|
4,357
|
|
4.51%, 5/15/2035 (a)
|
1,225
|
822
|
|
4.33%, 8/15/2035 (a)
|
16,462
|
10,908
|
|
4.44%, 2/15/2036 (a)
|
23,412
|
15,106
|
|
4.29%, 5/15/2036 (a)
|
9,364
|
5,960
|
|
4.52%, 8/15/2036 (a)
|
25,649
|
16,114
|
|
4.37%, 11/15/2036 (a)
|
25,806
|
15,988
|
|
4.50%, 2/15/2037 (a)
|
18,347
|
11,208
|
|
4.43%, 5/15/2037 (a)
|
9,036
|
5,447
|
|
4.54%, 8/15/2037 (a)
|
17,755
|
10,546
|
|
4.55%, 11/15/2037 (a)
|
36,537
|
21,389
|
|
4.66%, 2/15/2038 (a)
|
5,447
|
3,143
|
|
4.81%, 8/15/2040 (a)
|
37,046
|
18,379
|
|
5.25%, 11/15/2040 (a)
|
5,430
|
2,655
|
|
5.36%, 2/15/2041 (a)
|
3,487
|
1,677
|
|
2.70%, 11/15/2041 (a)
|
500
|
230
|
|
5.00%, 2/15/2042 (a)
|
2,232
|
1,011
|
|
5.29%, 5/15/2046 (a)
|
3,560
|
1,260
|
|
5.01%, 11/15/2049 (a)
|
9,840
|
2,919
|
|
Total U.S. Treasury Obligations
(Cost $1,753,360)
|
|
1,697,992
|
|
Corporate Bonds — 23.6%
|
||
|
Aerospace & Defense — 0.5%
|
||
|
Airbus SE (France) 3.95%, 4/10/2047 (b)
|
150
|
119
|
|
BAE Systems plc (United Kingdom)
|
||
|
1.90%, 2/15/2031 (b)
|
1,007
|
890
|
|
3.00%, 9/15/2050 (b)
|
502
|
332
|
|
Boeing Co. (The)
|
||
|
5.04%, 5/1/2027
|
960
|
965
|
|
3.25%, 3/1/2028
|
840
|
823
|
|
6.30%, 5/1/2029
|
1,095
|
1,146
|
|
5.15%, 5/1/2030
|
1,540
|
1,564
|
|
6.39%, 5/1/2031
|
2,120
|
2,262
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Aerospace & Defense — continued
|
||
|
6.53%, 5/1/2034
|
1,177
|
1,285
|
|
5.71%, 5/1/2040
|
745
|
759
|
|
Honeywell Aerospace, Inc. 4.95%, 3/16/2036 (b)
|
3,495
|
3,457
|
|
L3Harris Technologies, Inc.
|
||
|
3.85%, 12/15/2026
|
55
|
55
|
|
5.25%, 6/1/2031
|
1,130
|
1,155
|
|
5.40%, 7/31/2033
|
1,102
|
1,131
|
|
4.85%, 4/27/2035
|
10
|
10
|
|
Leidos, Inc.
|
||
|
4.38%, 5/15/2030
|
2,030
|
1,997
|
|
2.30%, 2/15/2031
|
465
|
415
|
|
5.75%, 3/15/2033
|
630
|
652
|
|
5.00%, 3/15/2036
|
1,460
|
1,415
|
|
Lockheed Martin Corp.
|
||
|
4.50%, 5/15/2036
|
10
|
10
|
|
2.80%, 6/15/2050
|
35
|
22
|
|
Northrop Grumman Corp. 3.25%, 1/15/2028
|
15
|
15
|
|
RTX Corp.
|
||
|
5.15%, 2/27/2033
|
934
|
953
|
|
4.50%, 6/1/2042
|
2,799
|
2,502
|
|
4.15%, 5/15/2045
|
558
|
460
|
|
3.75%, 11/1/2046
|
140
|
107
|
|
4.35%, 4/15/2047
|
199
|
166
|
|
5.38%, 2/27/2053
|
65
|
62
|
|
|
|
24,729
|
|
Air Freight & Logistics — 0.0% ^
|
||
|
FedEx Corp. 4.05%, 2/15/2048
|
140
|
105
|
|
Automobiles — 0.1%
|
||
|
Hyundai Capital America
|
||
|
1.50%, 6/15/2026 (b)
|
775
|
774
|
|
3.00%, 2/10/2027 (b)
|
355
|
352
|
|
2.38%, 10/15/2027 (b)
|
530
|
515
|
|
1.80%, 1/10/2028 (b)
|
805
|
770
|
|
|
|
2,411
|
|
Banks — 7.3%
|
||
|
ABN AMRO Bank NV (Netherlands)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (b) (c)
|
900
|
905
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c)
|
800
|
759
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.52%, 12/3/2035 (b) (c)
|
2,700
|
2,742
|
|
AIB Group plc (Ireland)
|
||
|
(SOFR + 1.65%), 5.32%, 5/15/2031 (b) (c)
|
6,490
|
6,589
|
|
(SOFRINDX + 1.91%), 5.87%, 3/28/2035 (b) (c)
|
1,500
|
1,556
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain)
|
||
|
4.97%, 5/8/2031
|
1,400
|
1,400
|
|
5.13%, 3/3/2036
|
2,800
|
2,724
|
|
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b)
|
1,250
|
1,114
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Banco Santander SA (Spain)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c)
|
200
|
198
|
|
5.59%, 8/8/2028
|
2,600
|
2,657
|
|
6.61%, 11/7/2028
|
1,400
|
1,466
|
|
4.55%, 11/6/2030
|
1,800
|
1,772
|
|
5.13%, 11/6/2035
|
1,400
|
1,374
|
|
Bank of America Corp.
|
||
|
(3-MONTH CME TERM SOFR + 1.33%), 3.97%, 3/5/2029 (c)
|
70
|
69
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (c)
|
210
|
200
|
|
(SOFR + 2.15%), 2.59%, 4/29/2031 (c)
|
3,410
|
3,154
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (c)
|
1,120
|
998
|
|
(SOFR + 1.33%), 2.97%, 2/4/2033 (c)
|
435
|
393
|
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (c)
|
3,040
|
3,187
|
|
(SOFR + 1.31%), 5.51%, 1/24/2036 (c)
|
2,710
|
2,776
|
|
(SOFR + 1.13%), 5.05%, 2/6/2037 (c)
|
3,600
|
3,549
|
|
(3-MONTH CME TERM SOFR + 2.08%), 4.24%, 4/24/2038 (c)
|
300
|
275
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
7,185
|
5,212
|
|
Bank of Ireland Group plc (Ireland)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c)
|
755
|
749
|
|
(SOFR + 1.62%), 5.60%, 3/20/2030 (b) (c)
|
895
|
914
|
|
Bank of Montreal (Canada)
|
||
|
Series J, (SOFR + 0.97%), 4.44%, 1/14/2032 (c)
|
2,400
|
2,363
|
|
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (c) (d)
|
13
|
13
|
|
Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (b)
|
910
|
925
|
|
Bank of Nova Scotia (The) (Canada)
|
||
|
(SOFR + 0.89%), 4.93%, 2/14/2029 (c)
|
155
|
156
|
|
4.85%, 2/1/2030
|
472
|
476
|
|
(SOFR + 0.97%), 4.90%, 6/5/2032 (c) (e)
|
3,640
|
3,644
|
|
(SOFR + 1.05%), 4.81%, 2/2/2034 (c)
|
2,375
|
2,344
|
|
Banque Federative du Credit Mutuel SA (France)
|
||
|
5.79%, 7/13/2028 (b)
|
2,405
|
2,462
|
|
5.54%, 1/22/2030 (b)
|
5,178
|
5,311
|
|
4.54%, 1/15/2031 (b)
|
4,335
|
4,274
|
|
5.11%, 1/15/2036 (b)
|
995
|
977
|
|
Barclays plc (United Kingdom)
|
||
|
(SOFR + 1.88%), 6.50%, 9/13/2027 (c)
|
2,840
|
2,856
|
|
(SOFR + 1.14%), 4.52%, 2/24/2032 (c)
|
875
|
857
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c)
|
585
|
524
|
|
(SOFR + 2.98%), 6.22%, 5/9/2034 (c)
|
412
|
435
|
|
(SOFR + 1.59%), 5.79%, 2/25/2036 (c)
|
895
|
913
|
|
(SOFR + 1.51%), 5.21%, 2/24/2037 (c)
|
1,610
|
1,567
|
|
BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico (Mexico)
5.40%, 6/3/2031 (b)
|
2,856
|
2,860
|
|
BNP Paribas SA (France)
|
||
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (b) (c)
|
2,015
|
2,041
|
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (b) (c)
|
1,222
|
1,247
|
|
(SOFR + 1.28%), 5.28%, 11/19/2030 (b) (c)
|
470
|
477
|
|
(SOFR + 1.68%), 5.09%, 5/9/2031 (b) (c)
|
3,895
|
3,927
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.62%), 5.79%, 1/13/2033 (b) (c)
|
2,285
|
2,363
|
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c)
|
765
|
691
|
|
BPCE SA (France)
|
||
|
(SOFR + 1.68%), 5.88%, 1/14/2031 (b) (c)
|
1,600
|
1,647
|
|
(SOFR + 1.58%), 5.39%, 5/28/2031 (b) (c)
|
3,605
|
3,653
|
|
(SOFR + 1.27%), 4.76%, 1/13/2032 (b) (c)
|
2,592
|
2,561
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c)
|
730
|
646
|
|
(SOFR + 1.22%), 5.18%, 6/2/2032 (b) (c)
|
1,600
|
1,603
|
|
(SOFR + 1.85%), 5.94%, 5/30/2035 (b) (c)
|
3,648
|
3,745
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (b) (c)
|
6,485
|
6,784
|
|
(SOFR + 1.96%), 6.03%, 5/28/2036 (b) (c)
|
3,945
|
4,049
|
|
CaixaBank SA (Spain)
|
||
|
(SOFRINDX + 1.78%), 5.67%, 3/15/2030 (b) (c)
|
634
|
649
|
|
(SOFR + 1.21%), 4.82%, 4/22/2032 (b) (c)
|
1,040
|
1,034
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (c)
|
1,449
|
1,582
|
|
(SOFR + 2.26%), 6.04%, 6/15/2035 (b) (c)
|
4,960
|
5,178
|
|
(SOFR + 1.79%), 5.58%, 7/3/2036 (b) (c)
|
7,892
|
7,982
|
|
Canadian Imperial Bank of Commerce (Canada)
|
||
|
5.26%, 4/8/2029
|
630
|
643
|
|
(SOFR + 1.34%), 4.63%, 9/11/2030 (c)
|
2,800
|
2,800
|
|
(SOFR + 1.11%), 5.25%, 1/13/2031 (c)
|
150
|
153
|
|
Citigroup, Inc.
|
||
|
4.30%, 11/20/2026
|
1,230
|
1,231
|
|
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c)
|
1,628
|
1,615
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (c)
|
1,938
|
1,930
|
|
(SOFR + 1.46%), 4.95%, 5/7/2031 (c)
|
2,000
|
2,013
|
|
(SOFR + 1.35%), 3.06%, 1/25/2033 (c)
|
719
|
652
|
|
(SOFR + 1.45%), 5.45%, 6/11/2035 (c)
|
6,140
|
6,248
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (c)
|
4,240
|
4,272
|
|
(SOFR + 1.38%), 2.90%, 11/3/2042 (c)
|
240
|
174
|
|
4.75%, 5/18/2046
|
20
|
17
|
|
Cooperatieve Rabobank UA (Netherlands)
|
||
|
3.75%, 7/21/2026
|
945
|
944
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.99%, 5/27/2031 (b) (c)
|
2,545
|
2,563
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 5.71%, 1/21/2033 (b) (c)
|
1,700
|
1,764
|
|
Credit Agricole SA (France)
|
||
|
(SOFR + 1.46%), 5.22%, 5/27/2031 (b) (c)
|
914
|
924
|
|
(SOFR + 1.17%), 4.66%, 1/12/2032 (b) (c)
|
639
|
630
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (b) (c)
|
2,440
|
2,515
|
|
(SOFR + 1.43%), 5.26%, 1/12/2037 (b) (c)
|
5,030
|
4,952
|
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (b) (c)
|
1,535
|
1,574
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (b) (c)
|
998
|
993
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.02%, 3/4/2031 (b) (c)
|
1,445
|
1,454
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 4.42%, 9/12/2031 (b) (c)
|
1,025
|
1,007
|
|
DNB Bank ASA (Norway)
|
||
|
(SOFR + 1.05%), 4.85%, 11/5/2030 (b) (c)
|
975
|
982
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.05%), 4.38%, 11/4/2031 (b) (c)
|
945
|
930
|
|
Fifth Third Bancorp
|
||
|
(SOFR + 1.84%), 5.63%, 1/29/2032 (c)
|
155
|
160
|
|
(SOFR + 0.95%), 4.57%, 4/29/2032 (c)
|
1,195
|
1,175
|
|
(SOFR + 1.24%), 5.14%, 1/29/2037 (c)
|
1,965
|
1,925
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
1,215
|
1,176
|
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (c)
|
815
|
775
|
|
(SOFR + 1.29%), 5.29%, 11/19/2030 (c)
|
2,375
|
2,409
|
|
(SOFR + 1.29%), 5.13%, 3/3/2031 (c)
|
1,165
|
1,176
|
|
(SOFR + 1.57%), 5.24%, 5/13/2031 (c)
|
905
|
917
|
|
(SOFR + 1.95%), 2.36%, 8/18/2031 (c)
|
1,160
|
1,049
|
|
(SOFR + 1.19%), 4.62%, 11/6/2031 (c)
|
1,655
|
1,635
|
|
(SOFR + 1.21%), 4.68%, 3/10/2032 (c)
|
3,920
|
3,869
|
|
(SOFR + 1.43%), 5.13%, 11/6/2036 (c)
|
2,000
|
1,971
|
|
(SOFR + 1.55%), 5.28%, 3/10/2037 (c)
|
4,050
|
4,007
|
|
(SOFR + 2.65%), 6.33%, 3/9/2044 (c)
|
700
|
749
|
|
Huntington Bancshares, Inc. (SOFR + 1.28%), 5.27%, 1/15/2031 (c)
|
1,075
|
1,091
|
|
ING Groep NV (Netherlands)
|
||
|
(SOFR + 1.56%), 6.08%, 9/11/2027 (c)
|
361
|
363
|
|
Series VAR, (SOFRINDX + 1.26%), 4.80%, 3/23/2032 (c)
|
2,060
|
2,051
|
|
(SOFRINDX + 1.61%), 5.42%, 3/23/2037 (c)
|
1,360
|
1,363
|
|
KBC Group NV (Belgium)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 4.93%, 10/16/2030 (b) (c)
|
200
|
201
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 4.45%, 9/23/2031 (b) (c)
|
4,679
|
4,600
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.32%, 9/21/2034 (b) (c)
|
1,890
|
2,025
|
|
KeyCorp
|
||
|
(SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c)
|
1,621
|
1,636
|
|
(SOFR + 1.37%), 5.31%, 1/28/2037 (c)
|
1,045
|
1,030
|
|
Lloyds Banking Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c)
|
1,140
|
1,147
|
|
4.38%, 3/22/2028
|
475
|
475
|
|
M&T Bank Corp. (SOFR + 1.40%), 5.18%, 7/8/2031 (c)
|
2,240
|
2,263
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c)
|
940
|
936
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 5.16%, 4/24/2031 (c)
|
800
|
812
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.19%, 9/12/2036 (c)
|
2,220
|
2,216
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 5.06%, 1/14/2037 (c)
|
2,395
|
2,361
|
|
Mizuho Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.38%, 7/10/2030 (c)
|
2,725
|
2,781
|
|
(3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c)
|
720
|
681
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.71%, 7/8/2031 (c)
|
2,130
|
2,128
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.32%, 7/8/2036 (c)
|
3,345
|
3,363
|
|
NatWest Group plc (United Kingdom)
|
||
|
(3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (c)
|
690
|
694
|
|
(3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (c)
|
905
|
913
|
|
(3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (c)
|
6,240
|
6,197
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 4.96%, 8/15/2030 (c)
|
200
|
201
|
|
NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (b)
|
2,181
|
2,228
|
|
PNC Financial Services Group, Inc. (The)
|
||
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (c)
|
1,160
|
1,157
|
|
(SOFR + 2.28%), 6.88%, 10/20/2034 (c)
|
210
|
232
|
|
(SOFR + 1.42%), 5.37%, 7/21/2036 (c)
|
2,415
|
2,439
|
|
Royal Bank of Canada (Canada) (SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c)
|
1,820
|
1,822
|
|
Santander Holdings USA, Inc.
|
||
|
(SOFR + 2.50%), 6.17%, 1/9/2030 (c)
|
1,500
|
1,546
|
|
(SOFR + 2.14%), 6.34%, 5/31/2035 (c)
|
670
|
709
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (c)
|
2,100
|
2,161
|
|
(SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c)
|
1,290
|
1,291
|
|
(SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c)
|
3,300
|
3,385
|
|
Skandinaviska Enskilda Banken AB (Sweden)
|
||
|
5.38%, 3/5/2029 (b)
|
1,860
|
1,899
|
|
4.50%, 9/3/2030 (b)
|
1,615
|
1,601
|
|
Societe Generale SA (France)
|
||
|
5.25%, 2/19/2027 (b)
|
1,379
|
1,388
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c)
|
395
|
395
|
|
3.00%, 1/22/2030 (b)
|
235
|
220
|
|
(SOFR + 1.65%), 5.51%, 5/22/2031 (b) (c)
|
2,519
|
2,566
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (c)
|
3,655
|
3,318
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (c)
|
2,380
|
2,475
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (b) (c)
|
878
|
910
|
|
(SOFR + 1.73%), 5.44%, 10/3/2036 (b) (c)
|
5,500
|
5,420
|
|
(SOFR + 1.60%), 5.40%, 4/10/2037 (b) (c)
|
8,395
|
8,222
|
|
Standard Chartered plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (b) (c)
|
382
|
386
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (b) (c)
|
440
|
443
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.24%, 1/13/2037 (b) (c)
|
805
|
789
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
|
3.36%, 7/12/2027
|
14
|
14
|
|
3.04%, 7/16/2029
|
1,315
|
1,254
|
|
5.71%, 1/13/2030
|
1,480
|
1,530
|
|
5.24%, 4/15/2030
|
1,500
|
1,528
|
|
(SOFR + 1.36%), 5.57%, 1/15/2047 (c)
|
2,820
|
2,773
|
|
Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.80%, 3/5/2036 (b)
|
2,700
|
2,609
|
|
Toronto-Dominion Bank (The) (Canada)
|
||
|
5.16%, 1/10/2028
|
600
|
607
|
|
5.30%, 1/30/2032
|
1,410
|
1,444
|
|
4.46%, 6/8/2032
|
220
|
217
|
|
Truist Financial Corp.
|
||
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (c)
|
720
|
720
|
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
806
|
853
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
765
|
765
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
824
|
849
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.40%), 4.96%, 10/23/2036 (c)
|
2,440
|
2,366
|
|
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 1.20%), 1.98%, 6/3/2027 (b) (c)
|
665
|
665
|
|
US Bancorp
|
||
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c)
|
965
|
984
|
|
(SOFR + 1.25%), 5.10%, 7/23/2030 (c)
|
80
|
81
|
|
(SOFR + 1.30%), 5.08%, 5/15/2031 (c)
|
1,960
|
1,987
|
|
(SOFR + 0.87%), 4.48%, 1/26/2032 (c)
|
4,500
|
4,440
|
|
(SOFR + 1.60%), 4.84%, 2/1/2034 (c)
|
150
|
148
|
|
Wells Fargo & Co.
|
||
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
1,269
|
1,294
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (c)
|
570
|
592
|
|
(SOFR + 2.10%), 4.90%, 7/25/2033 (c)
|
1,236
|
1,231
|
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (c)
|
1,935
|
1,970
|
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (c)
|
2,355
|
2,423
|
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (c)
|
6,060
|
6,189
|
|
(SOFR + 1.38%), 5.21%, 12/3/2035 (c)
|
5,960
|
5,966
|
|
(SOFR + 1.74%), 5.61%, 4/23/2036 (c)
|
7,589
|
7,786
|
|
(SOFR + 1.10%), 4.96%, 1/23/2037 (c)
|
1,120
|
1,094
|
|
(SOFR + 2.53%), 3.07%, 4/30/2041 (c)
|
5
|
4
|
|
5.38%, 11/2/2043
|
30
|
28
|
|
4.75%, 12/7/2046
|
24
|
20
|
|
|
|
340,482
|
|
Beverages — 0.1%
|
||
|
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
|
2,604
|
2,535
|
|
Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032
|
675
|
561
|
|
Constellation Brands, Inc.
|
||
|
4.75%, 5/9/2032
|
300
|
298
|
|
5.25%, 11/15/2048
|
220
|
203
|
|
Maple Parent Holdings Corp.
|
||
|
5.05%, 3/26/2031 (b)
|
930
|
930
|
|
5.70%, 3/26/2036 (b)
|
719
|
727
|
|
|
|
5,254
|
|
Biotechnology — 0.5%
|
||
|
AbbVie, Inc.
|
||
|
4.50%, 5/14/2035
|
15
|
15
|
|
4.75%, 3/15/2036
|
1,485
|
1,455
|
|
4.05%, 11/21/2039
|
4,909
|
4,329
|
|
4.63%, 10/1/2042
|
480
|
433
|
|
4.40%, 11/6/2042
|
790
|
697
|
|
4.45%, 5/14/2046
|
1,460
|
1,256
|
|
4.25%, 11/21/2049
|
80
|
66
|
|
5.55%, 3/15/2056
|
1,190
|
1,167
|
|
Amgen, Inc.
|
||
|
5.25%, 3/2/2030
|
80
|
82
|
|
5.25%, 3/2/2033
|
85
|
87
|
|
4.85%, 2/19/2036
|
1,520
|
1,490
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Biotechnology — continued
|
||
|
3.15%, 2/21/2040
|
928
|
723
|
|
5.60%, 3/2/2043
|
426
|
423
|
|
4.66%, 6/15/2051
|
1,854
|
1,573
|
|
4.20%, 2/22/2052
|
55
|
43
|
|
5.65%, 3/2/2053
|
3,157
|
3,069
|
|
Biogen, Inc.
|
||
|
5.75%, 5/15/2035
|
1,299
|
1,353
|
|
3.25%, 2/15/2051
|
3,060
|
2,001
|
|
6.45%, 5/15/2055
|
1,925
|
2,047
|
|
Gilead Sciences, Inc.
|
||
|
4.00%, 9/1/2036
|
9
|
8
|
|
2.60%, 10/1/2040
|
2,493
|
1,815
|
|
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
|
1,270
|
1,126
|
|
|
|
25,258
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc.
|
||
|
4.88%, 3/13/2036
|
3,986
|
3,938
|
|
3.95%, 4/13/2052
|
110
|
85
|
|
5.80%, 3/13/2056
|
1,570
|
1,571
|
|
4.25%, 8/22/2057
|
30
|
24
|
|
2.70%, 6/3/2060
|
10
|
5
|
|
|
|
5,623
|
|
Building Products — 0.0% ^
|
||
|
Masco Corp. 6.50%, 8/15/2032
|
620
|
664
|
|
Trane Technologies Financing Ltd. 5.25%, 3/3/2033
|
650
|
667
|
|
|
|
1,331
|
|
Capital Markets — 2.2%
|
||
|
Bank of New York Mellon Corp. (The)
|
||
|
Series J, (SOFR + 1.61%), 4.97%, 4/26/2034 (c)
|
155
|
155
|
|
(SOFR + 1.85%), 6.47%, 10/25/2034 (c)
|
1,000
|
1,092
|
|
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b)
|
429
|
355
|
|
Brookfield Finance, Inc. (Canada)
|
||
|
3.90%, 1/25/2028
|
350
|
346
|
|
4.85%, 3/29/2029
|
411
|
413
|
|
4.70%, 9/20/2047
|
105
|
89
|
|
Charles Schwab Corp. (The) (SOFR + 2.01%), 6.14%, 8/24/2034 (c)
|
145
|
154
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 2.52%), 7.15%, 7/13/2027 (c)
|
645
|
647
|
|
(SOFR + 1.22%), 2.31%, 11/16/2027 (c)
|
650
|
643
|
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (c)
|
1,300
|
1,285
|
|
(SOFR + 1.21%), 5.37%, 1/10/2029 (c)
|
1,720
|
1,739
|
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (c)
|
296
|
306
|
|
5.41%, 5/10/2029
|
1,005
|
1,031
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (c)
|
410
|
430
|
|
(SOFR + 1.70%), 5.00%, 9/11/2030 (c)
|
665
|
668
|
|
(SOFR + 1.72%), 5.30%, 5/9/2031 (c)
|
2,060
|
2,079
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(SOFR + 1.30%), 4.95%, 8/4/2031 (c)
|
1,820
|
1,815
|
|
(SOFR + 3.04%), 3.55%, 9/18/2031 (c)
|
1,775
|
1,671
|
|
(SOFR + 1.10%), 4.47%, 12/10/2031 (c)
|
775
|
763
|
|
FMR LLC 6.45%, 11/15/2039 (b)
|
500
|
542
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (c)
|
870
|
862
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
1,260
|
1,244
|
|
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (c)
|
30
|
30
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (c)
|
1,350
|
1,406
|
|
(SOFR + 1.21%), 5.05%, 7/23/2030 (c)
|
1,518
|
1,532
|
|
(SOFR + 1.14%), 4.69%, 10/23/2030 (c)
|
1,840
|
1,837
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (c)
|
1,483
|
1,505
|
|
(SOFR + 0.96%), 4.52%, 1/21/2032 (c)
|
5,000
|
4,923
|
|
(SOFR + 1.09%), 1.99%, 1/27/2032 (c)
|
880
|
775
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
1,000
|
901
|
|
(SOFR + 1.03%), 4.97%, 6/3/2032 (c)
|
3,000
|
3,007
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (c)
|
2,255
|
1,994
|
|
(SOFR + 1.34%), 5.09%, 4/20/2034 (c)
|
2,855
|
2,849
|
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (c)
|
4,810
|
4,841
|
|
(SOFR + 1.38%), 5.54%, 1/28/2036 (c)
|
1,825
|
1,857
|
|
(SOFR + 1.33%), 4.94%, 10/21/2036 (c)
|
3,595
|
3,492
|
|
(SOFR + 1.19%), 5.07%, 1/21/2037 (c)
|
3,270
|
3,199
|
|
(SOFR + 1.31%), 5.43%, 6/3/2037 (c)
|
3,000
|
3,016
|
|
6.75%, 10/1/2037
|
685
|
749
|
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c)
|
305
|
268
|
|
Jefferies Financial Group, Inc. 6.45%, 6/8/2027
|
771
|
786
|
|
Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 1.70%), 3.05%,
3/3/2036 (b) (c) (d)
|
575
|
520
|
|
Macquarie Group Ltd. (Australia)
|
||
|
(3-MONTH CME TERM SOFR + 1.63%), 3.76%, 11/28/2028 (b) (c)
|
30
|
30
|
|
(SOFR + 1.44%), 2.69%, 6/23/2032 (b) (c)
|
115
|
103
|
|
(SOFR + 1.53%), 2.87%, 1/14/2033 (b) (c)
|
70
|
63
|
|
Moody's Corp. 3.25%, 5/20/2050
|
45
|
30
|
|
Morgan Stanley
|
||
|
3.59%, 7/22/2028 (f)
|
71
|
70
|
|
(SOFR + 1.45%), 5.17%, 1/16/2030 (c)
|
2,470
|
2,500
|
|
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (c)
|
180
|
179
|
|
(SOFR + 1.22%), 5.04%, 7/19/2030 (c)
|
615
|
621
|
|
Series I, (SOFR + 1.07%), 4.36%, 10/22/2031 (c)
|
4,065
|
3,989
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
1,740
|
1,515
|
|
(SOFR + 1.20%), 4.71%, 3/12/2032 (c)
|
3,165
|
3,136
|
|
(SOFRINDX + 1.18%), 4.81%, 4/16/2032 (c)
|
1,890
|
1,882
|
|
(SOFR + 1.87%), 5.25%, 4/21/2034 (c)
|
140
|
141
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (c)
|
1,820
|
1,855
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
870
|
879
|
|
Series I, (SOFR + 1.31%), 4.89%, 10/22/2036 (c)
|
1,715
|
1,664
|
|
(SOFR + 1.18%), 5.07%, 1/30/2037 (c)
|
3,180
|
3,114
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(SOFRINDX + 1.41%), 5.30%, 4/10/2037 (c)
|
1,730
|
1,725
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c)
|
1,265
|
1,171
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (c)
|
35
|
27
|
|
4.30%, 1/27/2045
|
485
|
409
|
|
(SOFR + 1.78%), 5.90%, 3/13/2047 (c)
|
6,000
|
6,089
|
|
Nasdaq, Inc. 5.55%, 2/15/2034
|
392
|
405
|
|
Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030
|
700
|
643
|
|
Northern Trust Corp. (3-MONTH SOFR + 1.13%), 3.38%, 5/8/2032 (c)
|
8
|
8
|
|
State Street Corp.
|
||
|
(SOFR + 1.61%), 4.42%, 5/13/2033 (c)
|
40
|
39
|
|
(SOFR + 1.73%), 4.16%, 8/4/2033 (c)
|
70
|
67
|
|
(SOFR + 1.22%), 4.78%, 10/23/2036 (c)
|
1,050
|
1,023
|
|
UBS Group AG (Switzerland)
|
||
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c)
|
1,200
|
1,186
|
|
(SOFR + 1.06%), 4.40%, 9/23/2031 (b) (c)
|
1,020
|
1,002
|
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c)
|
1,115
|
1,023
|
|
(SOFR + 1.29%), 4.84%, 11/6/2033 (b) (c)
|
3,010
|
2,956
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (b) (c)
|
539
|
575
|
|
(SOFR + 1.34%), 5.01%, 3/23/2037 (b) (c)
|
2,925
|
2,851
|
|
(SOFR + 1.34%), 5.20%, 8/10/2037 (b) (c)
|
2,630
|
2,589
|
|
|
|
103,375
|
|
Chemicals — 0.2%
|
||
|
CF Industries, Inc. 5.30%, 11/26/2035
|
770
|
768
|
|
Chevron Phillips Chemical Co. LLC 3.70%, 6/1/2028 (b)
|
30
|
30
|
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038
|
4,004
|
3,959
|
|
Ecolab, Inc. 2.75%, 8/18/2055
|
6
|
4
|
|
International Flavors & Fragrances, Inc. 2.30%, 11/1/2030 (b)
|
3,500
|
3,147
|
|
Nutrien Ltd. (Canada)
|
||
|
4.20%, 4/1/2029
|
175
|
174
|
|
4.13%, 3/15/2035
|
470
|
432
|
|
5.00%, 4/1/2049
|
230
|
205
|
|
5.80%, 3/27/2053
|
70
|
69
|
|
|
|
8,788
|
|
Commercial Services & Supplies — 0.1%
|
||
|
Element Fleet Management Corp. (Canada)
|
||
|
5.64%, 3/13/2027 (b)
|
2,690
|
2,712
|
|
6.32%, 12/4/2028 (b)
|
2,010
|
2,087
|
|
5.04%, 3/25/2030 (b)
|
1,120
|
1,130
|
|
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
365
|
203
|
|
|
|
6,132
|
|
Communications Equipment — 0.0% ^
|
||
|
Cisco Systems, Inc. 5.30%, 2/26/2054
|
1,550
|
1,475
|
|
Motorola Solutions, Inc. 4.85%, 8/15/2030
|
155
|
156
|
|
|
|
1,631
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Construction & Engineering — 0.1%
|
||
|
Quanta Services, Inc.
|
||
|
2.90%, 10/1/2030
|
1,440
|
1,341
|
|
2.35%, 1/15/2032
|
1,095
|
963
|
|
5.10%, 8/9/2035
|
1,730
|
1,725
|
|
|
|
4,029
|
|
Construction Materials — 0.0% ^
|
||
|
CRH America, Inc. 5.13%, 5/18/2045 (b)
|
893
|
824
|
|
Eagle Materials, Inc. 2.50%, 7/1/2031
|
95
|
85
|
|
|
|
909
|
|
Consumer Finance — 1.1%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
2.45%, 10/29/2026
|
1,560
|
1,549
|
|
6.10%, 1/15/2027
|
1,560
|
1,575
|
|
5.10%, 1/19/2029
|
235
|
238
|
|
5.38%, 12/15/2031
|
230
|
234
|
|
3.30%, 1/30/2032
|
3,145
|
2,878
|
|
4.75%, 1/15/2033
|
970
|
950
|
|
5.00%, 11/15/2035
|
760
|
738
|
|
Aircastle Ltd.
|
||
|
5.25%, 3/15/2030 (b)
|
811
|
818
|
|
5.00%, 9/15/2030 (b)
|
714
|
712
|
|
5.75%, 10/1/2031 (b)
|
986
|
1,011
|
|
American Express Co.
|
||
|
5.85%, 11/5/2027
|
1,470
|
1,502
|
|
(SOFR + 1.00%), 5.10%, 2/16/2028 (c)
|
1,500
|
1,508
|
|
(SOFR + 1.22%), 4.92%, 7/20/2033 (c)
|
665
|
666
|
|
(SOFRINDX + 1.32%), 5.44%, 1/30/2036 (c)
|
1,410
|
1,439
|
|
(SOFR + 1.79%), 5.67%, 4/25/2036 (c)
|
61
|
63
|
|
(SOFR + 1.24%), 4.80%, 10/24/2036 (c)
|
1,205
|
1,166
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
2.53%, 11/18/2027 (b)
|
2,220
|
2,152
|
|
4.95%, 1/15/2028 (b)
|
1,871
|
1,877
|
|
5.75%, 3/1/2029 (b)
|
575
|
587
|
|
4.20%, 4/15/2029 (b)
|
1,210
|
1,189
|
|
5.75%, 11/15/2029 (b)
|
235
|
241
|
|
5.15%, 1/15/2030 (b)
|
2,345
|
2,356
|
|
4.90%, 10/10/2030 (b)
|
795
|
789
|
|
4.70%, 1/30/2031 (b)
|
1,370
|
1,345
|
|
4.95%, 10/15/2032 (b)
|
560
|
546
|
|
4.85%, 4/1/2033 (b)
|
4,574
|
4,418
|
|
Capital One Financial Corp.
|
||
|
3.75%, 7/28/2026
|
24
|
24
|
|
(SOFR + 2.64%), 6.31%, 6/8/2029 (c)
|
780
|
805
|
|
(SOFR + 1.91%), 5.70%, 2/1/2030 (c)
|
1,060
|
1,086
|
|
(SOFR + 1.27%), 2.62%, 11/2/2032 (c)
|
920
|
815
|
|
(SOFR + 1.63%), 5.20%, 9/11/2036 (c)
|
2,135
|
2,080
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
(SOFR + 1.51%), 5.40%, 1/30/2037 (c)
|
3,090
|
3,050
|
|
General Motors Financial Co., Inc. 5.80%, 6/23/2028
|
110
|
112
|
|
Medallion Financial Corp. Series QIB, 8.25%, 5/1/2031 (b)
|
6,500
|
6,488
|
|
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b)
|
445
|
456
|
|
Synchrony Financial (SOFRINDX + 2.13%), 5.94%, 8/2/2030 (c)
|
1,500
|
1,530
|
|
|
|
48,993
|
|
Consumer Staples Distribution & Retail — 0.0% ^
|
||
|
Alimentation Couche-Tard, Inc. (Canada) 3.55%, 7/26/2027 (b)
|
60
|
59
|
|
Kroger Co. (The)
|
||
|
5.00%, 9/15/2034
|
510
|
505
|
|
5.00%, 4/15/2042
|
1,100
|
1,021
|
|
5.50%, 9/15/2054
|
440
|
414
|
|
|
|
1,999
|
|
Containers & Packaging — 0.1%
|
||
|
Amcor Flexibles North America, Inc. 5.13%, 3/12/2036
|
2,505
|
2,459
|
|
Packaging Corp. of America 4.05%, 12/15/2049
|
845
|
654
|
|
Sonoco Products Co. 4.60%, 9/1/2029
|
155
|
155
|
|
WRKCo, Inc.
|
||
|
3.90%, 6/1/2028
|
170
|
168
|
|
4.90%, 3/15/2029
|
20
|
20
|
|
|
|
3,456
|
|
Diversified — 0.1%
|
||
|
Ygrene Frn 8.50%, 7/25/2045 ‡ (b)
|
4,127
|
4,148
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Pepperdine University Series 2020, 3.30%, 12/1/2059
|
600
|
386
|
|
President and Fellows of Harvard College 3.30%, 7/15/2056
|
21
|
14
|
|
University of Miami Series 2022, 4.06%, 4/1/2052
|
480
|
370
|
|
University of Southern California Series A, 3.23%, 10/1/2120
|
570
|
318
|
|
|
|
1,088
|
|
Diversified REITs — 0.1%
|
||
|
Equinix Europe 2 Financing Corp. LLC
|
||
|
4.60%, 11/15/2030
|
2,985
|
2,958
|
|
4.70%, 3/15/2033
|
550
|
539
|
|
Safehold GL Holdings LLC
|
||
|
2.80%, 6/15/2031
|
977
|
884
|
|
2.85%, 1/15/2032
|
70
|
63
|
|
WP Carey, Inc.
|
||
|
4.25%, 10/1/2026
|
350
|
350
|
|
2.40%, 2/1/2031
|
65
|
58
|
|
2.25%, 4/1/2033
|
1,180
|
988
|
|
|
|
5,840
|
|
Diversified Telecommunication Services — 0.4%
|
||
|
AT&T, Inc.
|
||
|
1.65%, 2/1/2028
|
250
|
239
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Diversified Telecommunication Services — continued
|
||
|
5.40%, 2/15/2034
|
230
|
235
|
|
5.13%, 4/30/2036
|
1,160
|
1,144
|
|
3.50%, 6/1/2041
|
1,646
|
1,280
|
|
3.50%, 9/15/2053
|
113
|
75
|
|
3.55%, 9/15/2055
|
5,551
|
3,629
|
|
Bell Telephone Co. of Canada or Bell Canada (Canada) 5.45%, 11/15/2036 (e)
|
2,130
|
2,135
|
|
Comcast Corp.
|
||
|
5.17%, 1/15/2037 (b)
|
565
|
552
|
|
3.90%, 3/1/2038
|
82
|
70
|
|
3.25%, 11/1/2039
|
1,800
|
1,392
|
|
3.45%, 2/1/2050
|
754
|
500
|
|
2.89%, 11/1/2051
|
3,286
|
1,918
|
|
2.94%, 11/1/2056
|
1,729
|
970
|
|
2.99%, 11/1/2063
|
259
|
139
|
|
Orange SA (France) 5.00%, 1/13/2036 (b)
|
4,100
|
4,025
|
|
Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036
|
40
|
44
|
|
Verizon Communications, Inc. 3.40%, 3/22/2041
|
1,060
|
824
|
|
|
|
19,171
|
|
Electric Utilities — 2.3%
|
||
|
AEP Texas, Inc. Series H, 3.45%, 1/15/2050
|
95
|
65
|
|
Alabama Power Co. 6.13%, 5/15/2038
|
250
|
268
|
|
Appalachian Power Recovery Funding LLC Series A-3, 5.84%, 4/1/2046
|
1,920
|
1,944
|
|
Arizona Public Service Co. 5.05%, 9/1/2041
|
200
|
186
|
|
Baltimore Gas and Electric Co.
|
||
|
3.50%, 8/15/2046
|
395
|
287
|
|
2.90%, 6/15/2050
|
475
|
299
|
|
5.40%, 6/1/2053
|
65
|
62
|
|
CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048
|
15
|
12
|
|
DTE Electric Co. Series B, 3.25%, 4/1/2051
|
2,000
|
1,345
|
|
Duke Energy Carolinas LLC 4.25%, 12/15/2041
|
129
|
112
|
|
Duke Energy Corp.
|
||
|
2.55%, 6/15/2031
|
105
|
95
|
|
3.75%, 9/1/2046
|
985
|
738
|
|
6.10%, 9/15/2053
|
1,360
|
1,380
|
|
5.70%, 9/15/2055
|
1,260
|
1,209
|
|
Duke Energy Florida LLC 5.95%, 11/15/2052
|
1,414
|
1,445
|
|
Duke Energy Indiana LLC 3.75%, 5/15/2046
|
30
|
23
|
|
Duke Energy Progress LLC
|
||
|
4.10%, 5/15/2042
|
273
|
230
|
|
4.10%, 3/15/2043
|
125
|
104
|
|
2.90%, 8/15/2051
|
820
|
510
|
|
Duquesne Light Holdings, Inc.
|
||
|
3.62%, 8/1/2027 (b)
|
750
|
742
|
|
2.78%, 1/7/2032 (b)
|
85
|
75
|
|
Edison International
|
||
|
5.00%, 5/5/2028
|
605
|
606
|
|
5.45%, 6/15/2029
|
1,830
|
1,844
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
6.95%, 11/15/2029
|
1,020
|
1,071
|
|
Electricite de France SA (France) 5.95%, 4/22/2034 (b)
|
1,025
|
1,073
|
|
Emera US Finance LP (Canada)
|
||
|
3.55%, 6/15/2026
|
145
|
145
|
|
2.64%, 6/15/2031
|
2,501
|
2,245
|
|
4.75%, 6/15/2046
|
2,900
|
2,459
|
|
ENEL Finance International NV (Italy)
|
||
|
5.13%, 6/26/2029 (b)
|
770
|
779
|
|
5.50%, 6/26/2034 (b)
|
1,160
|
1,178
|
|
5.00%, 9/30/2035 (b)
|
1,155
|
1,126
|
|
Entergy Arkansas LLC 2.65%, 6/15/2051
|
415
|
244
|
|
Entergy Corp. 2.95%, 9/1/2026
|
346
|
345
|
|
Entergy Louisiana LLC
|
||
|
3.05%, 6/1/2031
|
629
|
584
|
|
2.90%, 3/15/2051
|
490
|
307
|
|
5.80%, 3/15/2055
|
1,040
|
1,037
|
|
Entergy Mississippi LLC 5.85%, 6/1/2054
|
635
|
633
|
|
Entergy Texas, Inc.
|
||
|
4.00%, 3/30/2029
|
85
|
84
|
|
5.80%, 9/1/2053
|
450
|
447
|
|
Evergy Kansas Central, Inc. 5.25%, 3/15/2035
|
120
|
121
|
|
Evergy Metro, Inc.
|
||
|
5.40%, 4/1/2034
|
461
|
473
|
|
5.30%, 10/1/2041
|
35
|
34
|
|
Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038
|
1,503
|
1,512
|
|
Evergy, Inc. 2.90%, 9/15/2029
|
524
|
497
|
|
Exelon Corp. 5.30%, 3/15/2033
|
1,000
|
1,024
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
2,405
|
2,384
|
|
FirstEnergy Pennsylvania Electric Co.
|
||
|
3.25%, 3/15/2028 (b)
|
158
|
154
|
|
3.60%, 6/1/2029 (b)
|
60
|
58
|
|
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b)
|
240
|
202
|
|
Florida Power & Light Co. 5.40%, 9/1/2035
|
10
|
10
|
|
Fortis, Inc. (Canada) 3.06%, 10/4/2026
|
371
|
370
|
|
Georgia Power Co. 5.13%, 5/15/2052
|
75
|
69
|
|
Interstate Power and Light Co.
|
||
|
4.95%, 9/30/2034
|
480
|
475
|
|
5.45%, 9/30/2054
|
765
|
721
|
|
ITC Holdings Corp.
|
||
|
4.95%, 9/22/2027 (b)
|
1,565
|
1,573
|
|
2.95%, 5/14/2030 (b)
|
505
|
471
|
|
5.50%, 4/15/2036 (b)
|
660
|
667
|
|
5.30%, 7/1/2043
|
940
|
869
|
|
Jersey Central Power & Light Co.
|
||
|
5.10%, 1/15/2035
|
460
|
459
|
|
6.15%, 6/1/2037
|
10
|
11
|
|
Massachusetts Electric Co. 5.90%, 11/15/2039 (b)
|
15
|
15
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
MidAmerican Energy Co. 5.85%, 9/15/2054
|
620
|
629
|
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b)
|
10
|
10
|
|
Monongahela Power Co. 5.85%, 2/15/2034 (b)
|
420
|
440
|
|
Nevada Power Co.
|
||
|
Series N, 6.65%, 4/1/2036
|
100
|
110
|
|
5.38%, 9/15/2040
|
26
|
25
|
|
5.45%, 5/15/2041
|
305
|
300
|
|
6.00%, 3/15/2054
|
560
|
567
|
|
New England Power Co. 3.80%, 12/5/2047 (b)
|
11
|
8
|
|
NextEra Energy Capital Holdings, Inc.
|
||
|
3.55%, 5/1/2027
|
13
|
13
|
|
2.25%, 6/1/2030
|
30
|
27
|
|
5.55%, 3/15/2054
|
2,400
|
2,273
|
|
Niagara Mohawk Power Corp.
|
||
|
1.96%, 6/27/2030 (b)
|
1,000
|
899
|
|
5.66%, 1/17/2054 (b)
|
460
|
436
|
|
6.00%, 7/3/2055 (b)
|
470
|
467
|
|
NRG Energy, Inc.
|
||
|
2.45%, 12/2/2027 (b)
|
795
|
770
|
|
4.45%, 6/15/2029 (b)
|
615
|
606
|
|
5.41%, 10/15/2035 (b)
|
2,500
|
2,455
|
|
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029
|
110
|
113
|
|
Pacific Gas and Electric Co.
|
||
|
6.40%, 6/15/2033
|
1,011
|
1,076
|
|
5.80%, 5/15/2034
|
2,280
|
2,334
|
|
5.70%, 3/1/2035
|
8,045
|
8,152
|
|
6.00%, 8/15/2035
|
3,090
|
3,188
|
|
4.20%, 6/1/2041
|
695
|
571
|
|
3.75%, 8/15/2042 (g)
|
308
|
232
|
|
4.30%, 3/15/2045
|
525
|
413
|
|
6.75%, 1/15/2053
|
70
|
74
|
|
5.90%, 10/1/2054
|
260
|
246
|
|
PECO Energy Co. 2.80%, 6/15/2050
|
410
|
254
|
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
316
|
352
|
|
PG&E Recovery Funding LLC
|
||
|
Series A-2, 5.23%, 6/1/2042
|
1,510
|
1,500
|
|
Series A-3, 5.54%, 7/15/2047
|
1,360
|
1,338
|
|
Series A-3, 5.53%, 6/1/2049
|
1,345
|
1,328
|
|
PG&E Wildfire Recovery Funding LLC
|
||
|
Series A-2, 4.26%, 6/1/2036
|
640
|
615
|
|
Series A-4, 5.21%, 12/1/2047
|
420
|
396
|
|
Series A-5, 5.10%, 6/1/2052
|
795
|
729
|
|
PNM Energy Transition Bond Co. I LLC Series A-2, 6.03%, 8/15/2048
|
2,605
|
2,709
|
|
Potomac Electric Power Co. 6.50%, 11/15/2037
|
1,085
|
1,195
|
|
PPL Capital Funding, Inc. 5.25%, 9/1/2034
|
765
|
769
|
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
890
|
833
|
|
Progress Energy, Inc. 7.00%, 10/30/2031
|
300
|
331
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Public Service Co. of Colorado 3.55%, 6/15/2046
|
214
|
155
|
|
Public Service Co. of Oklahoma
|
||
|
5.25%, 1/15/2033
|
970
|
985
|
|
5.20%, 1/15/2035
|
343
|
343
|
|
Series G, 6.63%, 11/15/2037
|
2,490
|
2,676
|
|
Series K, 3.15%, 8/15/2051
|
25
|
16
|
|
Public Service Electric and Gas Co.
|
||
|
5.38%, 11/1/2039
|
317
|
318
|
|
3.00%, 3/1/2051
|
1,925
|
1,250
|
|
SCE Recovery Funding LLC
|
||
|
Series A-1, 4.70%, 6/15/2040
|
1,055
|
1,026
|
|
5.34%, 3/15/2045
|
1,480
|
1,463
|
|
Series A-2, 5.11%, 12/15/2047
|
505
|
470
|
|
Sierra Pacific Power Co. 5.90%, 3/15/2054
|
1,030
|
1,032
|
|
Sigeco Securitization I LLC
|
||
|
Series A1, 5.03%, 11/15/2036
|
766
|
770
|
|
Series A2, 5.17%, 5/15/2041
|
107
|
103
|
|
Southern California Edison Co.
|
||
|
5.85%, 11/1/2027
|
1,695
|
1,723
|
|
Series B, 3.65%, 3/1/2028
|
400
|
393
|
|
Series 05-B, 5.55%, 1/15/2036
|
10
|
10
|
|
Series 08-A, 5.95%, 2/1/2038
|
200
|
203
|
|
4.05%, 3/15/2042
|
567
|
449
|
|
5.75%, 4/15/2054
|
1,755
|
1,627
|
|
5.90%, 3/1/2055
|
415
|
395
|
|
Southern Co. (The) 5.70%, 3/15/2034
|
1,825
|
1,894
|
|
Southwestern Public Service Co. 4.50%, 8/15/2041
|
200
|
177
|
|
Toledo Edison Co. (The) 6.15%, 5/15/2037
|
300
|
322
|
|
Virginia Electric and Power Co. 5.70%, 8/15/2053
|
2,120
|
2,091
|
|
Vistra Operations Co. LLC
|
||
|
4.38%, 5/1/2029 (b)
|
2,000
|
1,961
|
|
6.00%, 4/15/2034 (b)
|
221
|
228
|
|
5.70%, 12/30/2034 (b)
|
610
|
617
|
|
5.25%, 10/15/2035 (b)
|
3,360
|
3,265
|
|
5.35%, 1/31/2036 (b)
|
1,265
|
1,237
|
|
Wisconsin Public Service Corp. 3.30%, 9/1/2049
|
50
|
34
|
|
|
|
105,523
|
|
Electrical Equipment — 0.1%
|
||
|
Eaton Corp. 4.80%, 3/6/2036
|
3,015
|
2,966
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Amphenol Corp. 5.30%, 11/15/2055
|
2,030
|
1,921
|
|
Corning, Inc. 3.90%, 11/15/2049
|
1,043
|
795
|
|
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028
|
465
|
464
|
|
|
|
3,180
|
|
Energy Equipment & Services — 0.1%
|
||
|
Baker Hughes Holdings LLC 5.00%, 6/15/2036
|
2,170
|
2,137
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Energy Equipment & Services — continued
|
||
|
Halliburton Co. 4.75%, 8/1/2043
|
540
|
481
|
|
NOV, Inc. 3.60%, 12/1/2029
|
155
|
150
|
|
Schlumberger Holdings Corp.
|
||
|
3.90%, 5/17/2028 (b)
|
20
|
20
|
|
4.30%, 5/1/2029 (b)
|
35
|
35
|
|
|
|
2,823
|
|
Financial Services — 1.1%
|
||
|
BCAP LLC Trust 0.00%, 9/17/2027 ‡
|
6,762
|
6,762
|
|
BG Beta I Ltd. (Cayman Islands) 0.00%, 7/16/2054 ‡ (f)
|
3,940
|
3,897
|
|
CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡
|
9,994
|
9,981
|
|
Corebridge Financial, Inc.
|
||
|
3.65%, 4/5/2027
|
770
|
766
|
|
3.85%, 4/5/2029
|
545
|
533
|
|
Fidelity National Information Services, Inc.
|
||
|
4.80%, 3/10/2031
|
1,441
|
1,430
|
|
3.10%, 3/1/2041
|
50
|
37
|
|
Fiserv, Inc.
|
||
|
3.20%, 7/1/2026
|
395
|
395
|
|
2.65%, 6/1/2030
|
125
|
115
|
|
5.15%, 8/12/2034
|
3,200
|
3,119
|
|
4.40%, 7/1/2049
|
375
|
288
|
|
Global Payments, Inc.
|
||
|
3.20%, 8/15/2029
|
945
|
894
|
|
5.30%, 8/15/2029
|
371
|
374
|
|
2.90%, 5/15/2030
|
273
|
251
|
|
2.90%, 11/15/2031
|
647
|
572
|
|
5.20%, 11/15/2032
|
3,135
|
3,077
|
|
5.40%, 3/15/2033
|
2,072
|
2,044
|
|
5.55%, 11/15/2035
|
1,560
|
1,522
|
|
Goodleap LLC Class A, 0.00%, 7/15/2038 ‡
|
13,004
|
13,329
|
|
Jackson Financial, Inc. 4.00%, 11/23/2051
|
85
|
59
|
|
Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (b) (c)
|
200
|
198
|
|
Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b)
|
513
|
445
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
3,451
|
3,451
|
|
|
|
53,539
|
|
Food Products — 0.5%
|
||
|
Bimbo Bakeries USA, Inc. (Mexico)
|
||
|
6.05%, 1/15/2029 (b)
|
200
|
206
|
|
5.38%, 1/9/2036 (b)
|
200
|
199
|
|
Bunge Ltd. Finance Corp.
|
||
|
3.20%, 4/21/2031
|
1,500
|
1,401
|
|
2.75%, 5/14/2031
|
1,725
|
1,577
|
|
4.65%, 9/17/2034
|
1,410
|
1,368
|
|
5.15%, 8/4/2035
|
1,300
|
1,299
|
|
JBS NV
|
||
|
3.75%, 12/1/2031
|
1,305
|
1,216
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Food Products — continued
|
||
|
6.75%, 3/15/2034
|
125
|
136
|
|
5.95%, 4/20/2035
|
545
|
562
|
|
5.50%, 1/15/2036
|
1,725
|
1,721
|
|
5.63%, 3/10/2037 (b)
|
420
|
419
|
|
6.50%, 12/1/2052
|
1,240
|
1,253
|
|
6.38%, 2/25/2055
|
1,345
|
1,343
|
|
6.38%, 4/15/2066
|
1,840
|
1,798
|
|
Kraft Heinz Foods Co.
|
||
|
5.00%, 7/15/2035
|
2,000
|
1,951
|
|
4.63%, 10/1/2039
|
850
|
758
|
|
4.38%, 6/1/2046
|
665
|
534
|
|
4.88%, 10/1/2049
|
2,080
|
1,738
|
|
Mars, Inc.
|
||
|
5.20%, 3/1/2035 (b)
|
90
|
91
|
|
5.65%, 5/1/2045 (b)
|
2,335
|
2,315
|
|
Tyson Foods, Inc. 5.70%, 3/15/2034
|
920
|
953
|
|
|
|
22,838
|
|
Gas Utilities — 0.1%
|
||
|
Atmos Energy Corp.
|
||
|
4.15%, 1/15/2043
|
828
|
703
|
|
4.13%, 10/15/2044
|
140
|
117
|
|
Boston Gas Co. 4.49%, 2/15/2042 (b)
|
308
|
262
|
|
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b)
|
460
|
359
|
|
ONE Gas, Inc. 2.00%, 5/15/2030
|
15
|
14
|
|
Southern California Gas Co.
|
||
|
Series VV, 4.30%, 1/15/2049
|
65
|
52
|
|
6.35%, 11/15/2052
|
1,370
|
1,455
|
|
Southwest Gas Corp. 3.80%, 9/29/2046
|
9
|
7
|
|
|
|
2,969
|
|
Ground Transportation — 0.1%
|
||
|
Burlington Northern Santa Fe LLC
|
||
|
7.29%, 6/1/2036
|
25
|
30
|
|
5.40%, 6/1/2041
|
70
|
70
|
|
4.38%, 9/1/2042
|
375
|
330
|
|
3.55%, 2/15/2050
|
465
|
337
|
|
Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048
|
712
|
623
|
|
CSX Corp.
|
||
|
4.10%, 3/15/2044
|
190
|
158
|
|
4.30%, 3/1/2048
|
105
|
87
|
|
3.35%, 9/15/2049
|
95
|
67
|
|
Norfolk Southern Corp.
|
||
|
2.90%, 8/25/2051
|
40
|
25
|
|
4.05%, 8/15/2052
|
730
|
563
|
|
Uber Technologies, Inc.
|
||
|
4.80%, 9/15/2034
|
720
|
705
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Ground Transportation — continued
|
||
|
5.35%, 9/15/2054
|
240
|
223
|
|
Union Pacific Corp. 4.10%, 9/15/2067
|
10
|
7
|
|
|
|
3,225
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Abbott Laboratories 4.75%, 11/30/2036
|
380
|
371
|
|
Solventum Corp. 5.60%, 3/23/2034
|
3,190
|
3,272
|
|
|
|
3,643
|
|
Health Care Providers & Services — 1.0%
|
||
|
Aetna, Inc. 6.75%, 12/15/2037
|
475
|
519
|
|
Ascension Health Series B, 2.53%, 11/15/2029
|
430
|
403
|
|
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051
|
35
|
23
|
|
Cardinal Health, Inc.
|
||
|
5.35%, 11/15/2034
|
75
|
76
|
|
5.15%, 9/15/2035
|
2,780
|
2,770
|
|
Cencora, Inc.
|
||
|
2.70%, 3/15/2031
|
150
|
137
|
|
4.60%, 2/13/2033
|
3,000
|
2,944
|
|
5.13%, 2/15/2034
|
1,650
|
1,658
|
|
Children's Hospital Series 2020, 2.93%, 7/15/2050
|
650
|
413
|
|
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050
|
580
|
350
|
|
Cigna Group (The)
|
||
|
5.13%, 5/15/2031
|
1,080
|
1,101
|
|
5.25%, 1/15/2036
|
1,428
|
1,433
|
|
3.20%, 3/15/2040
|
1,684
|
1,316
|
|
3.40%, 3/15/2051
|
50
|
34
|
|
CommonSpirit Health
|
||
|
2.78%, 10/1/2030
|
550
|
507
|
|
3.91%, 10/1/2050
|
545
|
404
|
|
CVS Health Corp.
|
||
|
4.30%, 3/25/2028
|
171
|
171
|
|
5.25%, 2/21/2033
|
1,400
|
1,423
|
|
4.78%, 3/25/2038
|
108
|
101
|
|
CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b)
|
453
|
423
|
|
Elevance Health, Inc.
|
||
|
4.63%, 5/15/2042
|
500
|
444
|
|
4.65%, 1/15/2043
|
535
|
472
|
|
4.65%, 8/15/2044
|
100
|
87
|
|
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041
|
1,430
|
1,018
|
|
HCA, Inc.
|
||
|
3.63%, 3/15/2032
|
651
|
606
|
|
5.60%, 4/1/2034
|
1,175
|
1,203
|
|
5.75%, 3/1/2035
|
1,259
|
1,296
|
|
4.90%, 11/15/2035
|
1,880
|
1,820
|
|
5.30%, 5/15/2036
|
5,000
|
4,944
|
|
5.13%, 6/15/2039
|
725
|
688
|
|
5.50%, 6/15/2047
|
650
|
603
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
3.50%, 7/15/2051
|
589
|
394
|
|
4.63%, 3/15/2052
|
1,385
|
1,115
|
|
5.95%, 9/15/2054
|
600
|
583
|
|
6.10%, 4/1/2064
|
1,075
|
1,061
|
|
Mayo Clinic Series 2016, 4.13%, 11/15/2052
|
225
|
179
|
|
Memorial Health Services 3.45%, 11/1/2049
|
1,340
|
940
|
|
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055
|
200
|
159
|
|
MyMichigan Health Series 2020, 3.41%, 6/1/2050
|
310
|
216
|
|
Quest Diagnostics, Inc.
|
||
|
2.95%, 6/30/2030
|
25
|
23
|
|
2.80%, 6/30/2031
|
60
|
55
|
|
Texas Health Resources 4.33%, 11/15/2055
|
300
|
247
|
|
Triad Holdings III LLC 0.00%, 4/1/2052 ‡
|
7,939
|
8,018
|
|
UnitedHealth Group, Inc.
|
||
|
3.50%, 8/15/2039
|
815
|
670
|
|
3.25%, 5/15/2051
|
560
|
376
|
|
5.88%, 2/15/2053
|
650
|
653
|
|
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050
|
780
|
456
|
|
|
|
44,532
|
|
Health Care REITs — 0.1%
|
||
|
Alexandria Real Estate Equities, Inc.
|
||
|
2.75%, 12/15/2029
|
60
|
56
|
|
2.00%, 5/18/2032
|
980
|
825
|
|
1.88%, 2/1/2033
|
130
|
106
|
|
DOC DR LLC
|
||
|
3.95%, 1/15/2028
|
55
|
54
|
|
2.63%, 11/1/2031
|
505
|
450
|
|
Healthpeak OP LLC 3.50%, 7/15/2029
|
772
|
746
|
|
Ventas Realty LP
|
||
|
3.25%, 10/15/2026
|
299
|
298
|
|
3.85%, 4/1/2027
|
560
|
558
|
|
2.50%, 9/1/2031
|
120
|
107
|
|
Welltower OP LLC
|
||
|
2.80%, 6/1/2031
|
110
|
101
|
|
6.50%, 3/15/2041
|
350
|
388
|
|
|
|
3,689
|
|
Hotels, Restaurants & Leisure — 0.0% ^
|
||
|
McDonald's Corp.
|
||
|
6.30%, 10/15/2037
|
8
|
9
|
|
5.15%, 9/9/2052
|
65
|
59
|
|
5.45%, 8/14/2053
|
1,060
|
1,013
|
|
Starbucks Corp. 4.90%, 2/15/2031
|
1,000
|
1,011
|
|
|
|
2,092
|
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
|
AES Corp. (The) 5.80%, 3/15/2032
|
1,620
|
1,646
|
|
Alexander Funding Trust II 7.47%, 7/31/2028 (b)
|
1,280
|
1,344
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Independent Power and Renewable Electricity Producers — continued
|
||
|
Constellation Energy Generation LLC
|
||
|
5.80%, 3/1/2033
|
280
|
294
|
|
5.75%, 10/1/2041
|
235
|
236
|
|
5.60%, 6/15/2042
|
150
|
148
|
|
6.50%, 10/1/2053
|
1,190
|
1,275
|
|
Southern Power Co. 5.15%, 9/15/2041
|
15
|
14
|
|
|
|
4,957
|
|
Industrial REITs — 0.0% ^
|
||
|
Goodman US Finance Eight LLC (Australia) 5.88%, 4/28/2046 (b)
|
570
|
562
|
|
Prologis LP
|
||
|
2.88%, 11/15/2029
|
380
|
361
|
|
3.00%, 4/15/2050
|
905
|
597
|
|
|
|
1,520
|
|
Insurance — 0.4%
|
||
|
AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b)
|
520
|
400
|
|
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)
|
520
|
563
|
|
Aon Corp.
|
||
|
5.35%, 2/28/2033
|
65
|
66
|
|
2.90%, 8/23/2051
|
140
|
86
|
|
Aon North America, Inc.
|
||
|
5.45%, 3/1/2034
|
1,990
|
2,033
|
|
5.75%, 3/1/2054
|
590
|
577
|
|
Athene Global Funding
|
||
|
2.95%, 11/12/2026 (b)
|
3,475
|
3,453
|
|
5.32%, 11/13/2031 (b)
|
115
|
115
|
|
Berkshire Hathaway Finance Corp.
|
||
|
4.30%, 5/15/2043
|
100
|
88
|
|
3.85%, 3/15/2052
|
845
|
644
|
|
CNO Global Funding 4.95%, 9/9/2029 (b)
|
1,400
|
1,404
|
|
Corebridge Global Funding
|
||
|
5.20%, 6/24/2029 (b)
|
1,290
|
1,307
|
|
4.90%, 8/21/2032 (b)
|
95
|
94
|
|
F&G Annuities & Life, Inc.
|
||
|
7.40%, 1/13/2028
|
563
|
579
|
|
6.50%, 6/4/2029
|
1,525
|
1,550
|
|
F&G Global Funding 1.75%, 6/30/2026 (b)
|
750
|
748
|
|
Great-West Lifeco Finance Delaware LP (Canada) 4.15%, 6/3/2047 (b)
|
20
|
16
|
|
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b)
|
208
|
169
|
|
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030
|
500
|
454
|
|
Hartford Insurance Group, Inc. (The) 4.30%, 4/15/2043
|
420
|
355
|
|
Liberty Mutual Insurance Co. 7.88%, 10/15/2026 (b)
|
15
|
15
|
|
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (c)
|
30
|
30
|
|
Markel Group, Inc. 5.00%, 5/20/2049
|
20
|
18
|
|
MetLife, Inc. 5.00%, 7/15/2052
|
30
|
27
|
|
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (b) (c)
|
266
|
211
|
|
Principal Financial Group, Inc. 4.11%, 2/15/2028 (b)
|
838
|
831
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Insurance — continued
|
||
|
Principal Life Global Funding II 5.10%, 1/25/2029 (b)
|
800
|
810
|
|
Prudential Financial, Inc. 3.91%, 12/7/2047
|
300
|
230
|
|
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note
Constant Maturity 5 Year + 3.58%),
5.00%, 4/2/2049 (b) (c)
|
200
|
200
|
|
Teachers Insurance & Annuity Association of America
|
||
|
4.90%, 9/15/2044 (b)
|
10
|
9
|
|
4.27%, 5/15/2047 (b)
|
415
|
335
|
|
|
|
17,417
|
|
Interactive Media & Services — 0.4%
|
||
|
Alphabet, Inc.
|
||
|
5.50%, 2/15/2046
|
1,435
|
1,421
|
|
5.65%, 2/15/2056
|
2,110
|
2,098
|
|
5.75%, 2/15/2066
|
1,295
|
1,285
|
|
Meta Platforms, Inc.
|
||
|
4.88%, 11/15/2035
|
2,960
|
2,892
|
|
5.25%, 5/15/2036
|
2,665
|
2,663
|
|
5.50%, 11/15/2045
|
2,950
|
2,769
|
|
5.60%, 5/15/2053
|
1,350
|
1,250
|
|
5.40%, 8/15/2054
|
875
|
783
|
|
5.63%, 11/15/2055
|
1,775
|
1,637
|
|
6.30%, 5/15/2056
|
2,900
|
2,926
|
|
|
|
19,724
|
|
IT Services — 0.1%
|
||
|
Accenture Capital, Inc. 4.50%, 10/4/2034
|
510
|
493
|
|
CGI, Inc. (Canada)
|
||
|
1.45%, 9/14/2026
|
843
|
836
|
|
2.30%, 9/14/2031
|
1,515
|
1,319
|
|
|
|
2,648
|
|
Life Sciences Tools & Services — 0.1%
|
||
|
Thermo Fisher Scientific, Inc. 4.90%, 2/12/2036
|
2,485
|
2,454
|
|
Machinery — 0.0% ^
|
||
|
Parker-Hannifin Corp.
|
||
|
4.45%, 11/21/2044
|
592
|
519
|
|
4.10%, 3/1/2047
|
8
|
7
|
|
|
|
526
|
|
Media — 0.2%
|
||
|
Charter Communications Operating LLC
|
||
|
6.38%, 10/23/2035
|
528
|
531
|
|
4.80%, 3/1/2050
|
1,475
|
1,094
|
|
3.70%, 4/1/2051
|
3,220
|
1,986
|
|
Cox Communications, Inc. 2.95%, 10/1/2050 (b)
|
635
|
340
|
|
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033
|
735
|
826
|
|
Time Warner Cable LLC
|
||
|
6.55%, 5/1/2037
|
400
|
400
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
5.88%, 11/15/2040
|
2,720
|
2,446
|
|
5.50%, 9/1/2041
|
934
|
806
|
|
|
|
8,429
|
|
Metals & Mining — 0.2%
|
||
|
Anglo American Capital plc (South Africa)
|
||
|
5.75%, 4/5/2034 (b)
|
2,635
|
2,721
|
|
5.25%, 3/19/2036 (b)
|
380
|
377
|
|
Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (b)
|
917
|
975
|
|
Glencore Funding LLC (Australia)
|
||
|
2.63%, 9/23/2031 (b)
|
40
|
36
|
|
5.63%, 4/4/2034 (b)
|
1,080
|
1,113
|
|
5.51%, 4/1/2036 (b)
|
3,460
|
3,495
|
|
Nucor Corp. 2.98%, 12/15/2055
|
20
|
12
|
|
Rio Tinto Finance USA plc (Australia) 4.88%, 3/14/2030
|
157
|
159
|
|
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030
|
675
|
644
|
|
|
|
9,532
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
|
||
|
Resurgent 0.00%, 7/1/2030 ‡
|
3,000
|
3,000
|
|
Multi-Utilities — 0.3%
|
||
|
Ameren Corp. 3.50%, 1/15/2031
|
125
|
119
|
|
Ameren Illinois Co. 5.55%, 7/1/2054
|
1,650
|
1,602
|
|
CenterPoint Energy, Inc. 2.95%, 3/1/2030
|
40
|
38
|
|
Consolidated Edison Co. of New York, Inc.
|
||
|
Series 12-A, 4.20%, 3/15/2042
|
9
|
8
|
|
3.20%, 12/1/2051
|
1,090
|
724
|
|
Delmarva Power & Light Co. 4.00%, 6/1/2042
|
235
|
192
|
|
Dominion Energy, Inc. Series F, 5.25%, 8/1/2033
|
940
|
954
|
|
New York State Electric & Gas Corp. 3.25%, 12/1/2026 (b)
|
11
|
11
|
|
NiSource, Inc. 1.70%, 2/15/2031
|
765
|
668
|
|
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046
|
50
|
37
|
|
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030
|
40
|
35
|
|
Puget Energy, Inc.
|
||
|
2.38%, 6/15/2028
|
20
|
19
|
|
5.73%, 3/15/2035
|
715
|
720
|
|
San Diego Gas & Electric Co.
|
||
|
3.95%, 11/15/2041
|
379
|
312
|
|
2.95%, 8/15/2051
|
1,050
|
666
|
|
5.35%, 4/1/2053
|
75
|
70
|
|
Series EEEE, 5.95%, 3/15/2056
|
760
|
769
|
|
Sempra 5.25%, 3/15/2036
|
2,500
|
2,471
|
|
Southern Co. Gas Capital Corp.
|
||
|
3.25%, 6/15/2026
|
254
|
254
|
|
5.75%, 9/15/2033
|
760
|
792
|
|
Series B, 5.10%, 9/15/2035
|
975
|
967
|
|
5.88%, 3/15/2041
|
11
|
11
|
|
4.40%, 6/1/2043
|
23
|
19
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — continued
|
||
|
3.95%, 10/1/2046
|
9
|
7
|
|
Series 21A, 3.15%, 9/30/2051
|
420
|
276
|
|
WEC Energy Group, Inc. 5.60%, 9/12/2026
|
28
|
28
|
|
|
|
11,769
|
|
Office REITs — 0.0% ^
|
||
|
COPT Defense Properties LP 2.00%, 1/15/2029
|
335
|
314
|
|
Oil, Gas & Consumable Fuels — 1.2%
|
||
|
Aker BP ASA (Norway)
|
||
|
5.13%, 10/1/2034 (b)
|
660
|
650
|
|
5.80%, 10/1/2054 (b)
|
360
|
339
|
|
BP Capital Markets America, Inc.
|
||
|
4.81%, 2/13/2033
|
210
|
210
|
|
2.94%, 6/4/2051
|
1,995
|
1,270
|
|
Cameron LNG LLC 3.70%, 1/15/2039 (b)
|
961
|
815
|
|
Cheniere Energy Partners LP 5.55%, 10/30/2035
|
780
|
796
|
|
Cheniere Energy, Inc.
|
||
|
5.65%, 4/15/2034
|
690
|
711
|
|
5.20%, 7/30/2036 (b)
|
1,955
|
1,926
|
|
6.00%, 7/30/2056 (b)
|
1,000
|
998
|
|
Columbia Pipelines Holding Co. LLC 5.10%, 10/1/2031 (b)
|
481
|
484
|
|
Columbia Pipelines Operating Co. LLC
|
||
|
5.44%, 2/15/2035 (b)
|
3,565
|
3,618
|
|
5.96%, 2/15/2055 (b)
|
2,415
|
2,387
|
|
ConocoPhillips Co.
|
||
|
5.05%, 9/15/2033
|
95
|
97
|
|
5.50%, 1/15/2055
|
1,500
|
1,444
|
|
Coterra Energy, Inc.
|
||
|
3.90%, 5/15/2027
|
935
|
932
|
|
5.60%, 3/15/2034
|
75
|
77
|
|
5.40%, 2/15/2035
|
1,250
|
1,267
|
|
Devon Energy Corp. 5.75%, 9/15/2054
|
558
|
540
|
|
DT Midstream, Inc. 4.30%, 4/15/2032 (b)
|
900
|
862
|
|
Eastern Energy Gas Holdings LLC 6.20%, 1/15/2055
|
760
|
778
|
|
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049
|
807
|
593
|
|
Enbridge, Inc. (Canada)
|
||
|
5.70%, 3/8/2033
|
1,090
|
1,133
|
|
5.63%, 4/5/2034
|
1,350
|
1,399
|
|
5.45%, 3/27/2036
|
2,000
|
2,027
|
|
4.50%, 6/10/2044
|
110
|
93
|
|
Energy Transfer LP
|
||
|
4.95%, 5/15/2028
|
80
|
81
|
|
5.25%, 7/1/2029
|
1,450
|
1,477
|
|
4.15%, 9/15/2029
|
1,006
|
992
|
|
5.35%, 1/15/2036
|
997
|
995
|
|
6.05%, 6/1/2041
|
30
|
31
|
|
6.10%, 2/15/2042
|
420
|
420
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.30%, 4/1/2044
|
170
|
155
|
|
6.00%, 6/15/2048
|
775
|
755
|
|
6.25%, 4/15/2049
|
800
|
802
|
|
Eni SpA (Italy)
|
||
|
5.70%, 10/1/2040 (b)
|
925
|
910
|
|
6.00%, 5/18/2056 (b)
|
2,950
|
2,943
|
|
Eni USA, Inc. (Italy) 7.30%, 11/15/2027
|
15
|
16
|
|
Enterprise Products Operating LLC
|
||
|
5.10%, 2/15/2045
|
100
|
94
|
|
4.95%, 10/15/2054
|
6
|
5
|
|
EOG Resources, Inc. 5.35%, 1/15/2036
|
80
|
81
|
|
Exxon Mobil Corp.
|
||
|
3.00%, 8/16/2039
|
1,015
|
808
|
|
3.57%, 3/6/2045
|
1,215
|
947
|
|
4.11%, 3/1/2046
|
15
|
12
|
|
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b)
|
934
|
771
|
|
Kinder Morgan, Inc.
|
||
|
7.80%, 8/1/2031
|
1,151
|
1,311
|
|
5.05%, 2/15/2046
|
1,910
|
1,730
|
|
3.25%, 8/1/2050
|
20
|
13
|
|
Marathon Petroleum Corp. 4.75%, 9/15/2044
|
65
|
57
|
|
MPLX LP
|
||
|
4.50%, 4/15/2038
|
8
|
7
|
|
4.95%, 3/14/2052
|
520
|
442
|
|
Northern Natural Gas Co. 5.63%, 2/1/2054 (b)
|
240
|
229
|
|
Occidental Petroleum Corp. 4.30%, 8/15/2039
|
352
|
304
|
|
ONEOK Partners LP 6.65%, 10/1/2036
|
370
|
403
|
|
ONEOK, Inc.
|
||
|
4.75%, 10/15/2031
|
2,125
|
2,112
|
|
5.20%, 7/15/2048
|
30
|
27
|
|
Pioneer Natural Resources Co.
|
||
|
1.90%, 8/15/2030
|
1,050
|
948
|
|
2.15%, 1/15/2031
|
4,300
|
3,872
|
|
Plains All American Pipeline LP 4.70%, 1/15/2031
|
630
|
627
|
|
Shell Finance US, Inc. 3.13%, 11/7/2049 (b)
|
60
|
40
|
|
South Bow USA Infrastructure Holdings LLC (Canada)
|
||
|
4.91%, 9/1/2027
|
375
|
376
|
|
5.03%, 10/1/2029
|
430
|
433
|
|
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038
|
677
|
743
|
|
Targa Resources Corp. 4.90%, 9/15/2030
|
2,388
|
2,404
|
|
TC PipeLines LP 3.90%, 5/25/2027
|
7
|
7
|
|
TotalEnergies Capital International SA (France)
|
||
|
3.46%, 2/19/2029
|
40
|
39
|
|
2.99%, 6/29/2041
|
1,200
|
899
|
|
3.46%, 7/12/2049
|
815
|
586
|
|
3.13%, 5/29/2050
|
1,180
|
795
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
Valero Energy Corp.
|
||
|
7.50%, 4/15/2032
|
10
|
11
|
|
3.65%, 12/1/2051
|
115
|
80
|
|
Western Midstream Operating LP 5.25%, 2/1/2050 (g)
|
415
|
362
|
|
|
|
56,598
|
|
Passenger Airlines — 0.0% ^
|
||
|
United Airlines Pass-Through Trust Series 2016-2, Class A, 3.10%, 10/7/2028
|
775
|
741
|
|
Pharmaceuticals — 0.2%
|
||
|
AstraZeneca plc (United Kingdom)
|
||
|
6.45%, 9/15/2037
|
300
|
335
|
|
4.00%, 9/18/2042
|
240
|
204
|
|
Bristol-Myers Squibb Co.
|
||
|
5.90%, 11/15/2033
|
35
|
37
|
|
4.25%, 10/26/2049
|
1,004
|
815
|
|
3.70%, 3/15/2052
|
1,015
|
741
|
|
5.55%, 2/22/2054
|
1,160
|
1,130
|
|
Eli Lilly & Co.
|
||
|
5.00%, 2/9/2054
|
960
|
886
|
|
5.70%, 5/20/2066
|
1,120
|
1,125
|
|
Merck & Co., Inc.
|
||
|
4.00%, 3/7/2049
|
860
|
682
|
|
2.90%, 12/10/2061
|
965
|
558
|
|
Novartis Capital Corp. 5.70%, 3/18/2056
|
640
|
649
|
|
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063
|
1,935
|
1,784
|
|
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026
|
5
|
5
|
|
Takeda Pharmaceutical Co. Ltd. (Japan)
|
||
|
5.65%, 7/5/2044
|
422
|
419
|
|
3.18%, 7/9/2050
|
1,486
|
986
|
|
|
|
10,356
|
|
Residential REITs — 0.1%
|
||
|
ERP Operating LP 4.95%, 6/15/2032
|
101
|
102
|
|
Essex Portfolio LP 2.65%, 3/15/2032
|
2,000
|
1,774
|
|
Mid-America Apartments LP
|
||
|
3.95%, 3/15/2029
|
920
|
907
|
|
1.70%, 2/15/2031
|
30
|
26
|
|
4.65%, 1/15/2033
|
790
|
780
|
|
UDR, Inc.
|
||
|
2.95%, 9/1/2026
|
388
|
387
|
|
3.00%, 8/15/2031
|
305
|
280
|
|
2.10%, 8/1/2032
|
710
|
604
|
|
3.10%, 11/1/2034
|
30
|
26
|
|
|
|
4,886
|
|
Retail REITs — 0.1%
|
||
|
Brixmor Operating Partnership LP
|
||
|
2.25%, 4/1/2028
|
840
|
807
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Retail REITs — continued
|
||
|
2.50%, 8/16/2031
|
470
|
420
|
|
Kimco Realty OP LLC 1.90%, 3/1/2028
|
160
|
154
|
|
NNN REIT, Inc.
|
||
|
3.60%, 12/15/2026
|
16
|
16
|
|
4.30%, 10/15/2028
|
620
|
617
|
|
5.60%, 10/15/2033
|
600
|
618
|
|
5.50%, 6/15/2034
|
170
|
173
|
|
Realty Income Corp.
|
||
|
3.25%, 1/15/2031
|
35
|
33
|
|
4.65%, 3/15/2047
|
8
|
7
|
|
|
|
2,845
|
|
Semiconductors & Semiconductor Equipment — 0.5%
|
||
|
Broadcom, Inc.
|
||
|
1.95%, 2/15/2028
|
2,500
|
2,407
|
|
4.75%, 4/15/2029
|
25
|
25
|
|
5.05%, 7/12/2029
|
2,650
|
2,696
|
|
4.55%, 2/15/2032
|
1,904
|
1,885
|
|
3.14%, 11/15/2035 (b)
|
1,413
|
1,204
|
|
4.80%, 2/15/2036
|
241
|
235
|
|
3.50%, 2/15/2041
|
3,950
|
3,159
|
|
Foundry JV Holdco LLC
|
||
|
6.10%, 1/25/2036 (b)
|
699
|
735
|
|
6.20%, 1/25/2037 (b)
|
990
|
1,044
|
|
Intel Corp.
|
||
|
3.73%, 12/8/2047
|
580
|
420
|
|
3.25%, 11/15/2049
|
1,390
|
913
|
|
5.70%, 2/10/2053
|
590
|
561
|
|
KLA Corp.
|
||
|
3.30%, 3/1/2050
|
600
|
416
|
|
4.95%, 7/15/2052
|
135
|
123
|
|
Marvell Technology, Inc.
|
||
|
5.75%, 2/15/2029
|
1,360
|
1,399
|
|
2.95%, 4/15/2031
|
1,405
|
1,295
|
|
5.45%, 7/15/2035
|
4,818
|
4,930
|
|
NXP BV (Netherlands)
|
||
|
4.40%, 6/1/2027
|
25
|
25
|
|
3.25%, 5/11/2041
|
1,445
|
1,095
|
|
3.25%, 11/30/2051
|
682
|
445
|
|
|
|
25,012
|
|
Software — 0.4%
|
||
|
Cadence Design Systems, Inc. 4.30%, 9/10/2029
|
10
|
10
|
|
Microsoft Corp. 2.92%, 3/17/2052
|
26
|
17
|
|
Oracle Corp.
|
||
|
4.80%, 9/26/2032
|
2,120
|
2,037
|
|
4.90%, 2/6/2033
|
1,300
|
1,250
|
|
4.30%, 7/8/2034
|
10
|
9
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Software — continued
|
||
|
3.90%, 5/15/2035
|
8
|
7
|
|
5.70%, 2/4/2036
|
1,830
|
1,798
|
|
3.85%, 7/15/2036
|
12
|
10
|
|
3.80%, 11/15/2037
|
20
|
16
|
|
3.60%, 4/1/2040
|
1,000
|
742
|
|
5.88%, 9/26/2045
|
1,425
|
1,274
|
|
6.55%, 2/4/2046
|
700
|
675
|
|
3.60%, 4/1/2050
|
355
|
222
|
|
3.95%, 3/25/2051
|
700
|
460
|
|
4.38%, 5/15/2055
|
4,900
|
3,359
|
|
6.70%, 2/4/2056
|
2,825
|
2,721
|
|
6.85%, 2/4/2066
|
1,595
|
1,528
|
|
Roper Technologies, Inc.
|
||
|
3.80%, 12/15/2026
|
7
|
7
|
|
2.00%, 6/30/2030
|
25
|
22
|
|
4.90%, 10/15/2034
|
1,940
|
1,874
|
|
Synopsys, Inc.
|
||
|
5.15%, 4/1/2035
|
158
|
158
|
|
5.70%, 4/1/2055
|
1,415
|
1,380
|
|
VMware LLC
|
||
|
1.80%, 8/15/2028
|
30
|
28
|
|
2.20%, 8/15/2031
|
160
|
141
|
|
|
|
19,745
|
|
Specialized REITs — 0.2%
|
||
|
American Tower Corp.
|
||
|
3.38%, 10/15/2026
|
312
|
311
|
|
3.80%, 8/15/2029
|
90
|
88
|
|
2.10%, 6/15/2030
|
630
|
571
|
|
1.88%, 10/15/2030
|
1,090
|
969
|
|
4.70%, 12/15/2032
|
1,235
|
1,219
|
|
3.10%, 6/15/2050
|
496
|
325
|
|
2.95%, 1/15/2051
|
324
|
204
|
|
Crown Castle, Inc.
|
||
|
1.05%, 7/15/2026
|
260
|
259
|
|
4.00%, 3/1/2027
|
264
|
263
|
|
2.10%, 4/1/2031
|
2,000
|
1,758
|
|
Equinix, Inc. 3.20%, 11/18/2029
|
65
|
62
|
|
Extra Space Storage LP
|
||
|
3.50%, 7/1/2026
|
50
|
50
|
|
3.90%, 4/1/2029
|
30
|
29
|
|
4.00%, 6/15/2029
|
869
|
854
|
|
2.40%, 10/15/2031
|
45
|
40
|
|
|
|
7,002
|
|
Specialty Retail — 0.0% ^
|
||
|
AutoZone, Inc.
|
||
|
1.65%, 1/15/2031
|
765
|
667
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Specialty Retail — continued
|
||
|
5.40%, 7/15/2034
|
760
|
772
|
|
Home Depot, Inc. (The) 4.25%, 4/1/2046
|
150
|
125
|
|
Lowe's Cos., Inc. 4.05%, 5/3/2047
|
130
|
102
|
|
O'Reilly Automotive, Inc.
|
||
|
3.60%, 9/1/2027
|
432
|
428
|
|
1.75%, 3/15/2031
|
55
|
48
|
|
|
|
2,142
|
|
Technology Hardware, Storage & Peripherals — 0.1%
|
||
|
Apple, Inc.
|
||
|
3.45%, 2/9/2045
|
20
|
15
|
|
3.85%, 8/4/2046
|
26
|
21
|
|
3.75%, 9/12/2047
|
50
|
39
|
|
4.10%, 8/8/2062
|
1,200
|
929
|
|
Dell International LLC
|
||
|
4.90%, 10/1/2026
|
1,265
|
1,266
|
|
5.25%, 2/1/2028
|
1,245
|
1,262
|
|
5.30%, 4/1/2032
|
3,215
|
3,284
|
|
3.45%, 12/15/2051
|
61
|
43
|
|
|
|
6,859
|
|
Tobacco — 0.1%
|
||
|
Altria Group, Inc. 2.45%, 2/4/2032
|
1,700
|
1,498
|
|
BAT Capital Corp. (United Kingdom)
|
||
|
4.39%, 8/15/2037
|
1,730
|
1,583
|
|
4.54%, 8/15/2047
|
14
|
11
|
|
Reynolds American, Inc. (United Kingdom)
|
||
|
7.00%, 8/4/2041
|
100
|
109
|
|
5.85%, 8/15/2045
|
180
|
177
|
|
|
|
3,378
|
|
Trading Companies & Distributors — 0.1%
|
||
|
Aviation Capital Group LLC
|
||
|
1.95%, 9/20/2026 (b)
|
120
|
119
|
|
3.50%, 11/1/2027 (b)
|
30
|
30
|
|
5.38%, 7/15/2029 (b)
|
2,400
|
2,433
|
|
5.13%, 4/10/2030 (b)
|
825
|
828
|
|
Sumisho Air Lease Corp. 1.88%, 8/15/2026
|
175
|
174
|
|
WW Grainger, Inc. 4.60%, 6/15/2045
|
7
|
6
|
|
|
|
3,590
|
|
Water Utilities — 0.0% ^
|
||
|
American Water Capital Corp. 3.45%, 5/1/2050
|
1,096
|
771
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
T-Mobile USA, Inc.
|
||
|
3.88%, 4/15/2030
|
2,980
|
2,900
|
|
5.15%, 4/15/2034
|
230
|
232
|
|
4.50%, 4/15/2050
|
30
|
24
|
|
3.30%, 2/15/2051
|
125
|
83
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Wireless Telecommunication Services — continued
|
||
|
3.40%, 10/15/2052
|
1,525
|
1,015
|
|
3.60%, 11/15/2060
|
915
|
605
|
|
|
|
4,859
|
|
Total Corporate Bonds
(Cost $1,126,155)
|
|
1,096,845
|
|
Mortgage-Backed Securities — 19.1%
|
||
|
FHLMC
|
|
|
|
Pool # 846812, ARM, 5.86%, 4/1/2030 (f)
|
—
|
—
|
|
Pool # 420195, ARM, 5.45%, 11/1/2030 (f)
|
2
|
2
|
|
Pool # 789262, ARM, 6.30%, 12/1/2031 (f)
|
3
|
3
|
|
Pool # 781087, ARM, 5.86%, 12/1/2033 (f)
|
38
|
39
|
|
Pool # 1B1665, ARM, 5.94%, 4/1/2034 (f)
|
35
|
36
|
|
Pool # 847356, ARM, 6.19%, 12/1/2034 (f)
|
37
|
38
|
|
Pool # 782979, ARM, 5.87%, 1/1/2035 (f)
|
49
|
51
|
|
Pool # 1Q0001, ARM, 6.44%, 1/1/2036 (f)
|
1
|
1
|
|
Pool # 1Q0025, ARM, 6.08%, 2/1/2036 (f)
|
15
|
16
|
|
Pool # 848431, ARM, 6.17%, 2/1/2036 (f)
|
24
|
25
|
|
Pool # 1J1380, ARM, 6.84%, 3/1/2036 (f)
|
—
|
—
|
|
Pool # 1L1286, ARM, 5.75%, 5/1/2036 (f)
|
7
|
7
|
|
Pool # 1K1233, ARM, 6.24%, 5/1/2036 (f)
|
1
|
2
|
|
Pool # 848365, ARM, 6.17%, 7/1/2036 (f)
|
29
|
30
|
|
Pool # 1A1096, ARM, 5.78%, 10/1/2036 (f)
|
63
|
64
|
|
Pool # 1G2539, ARM, 6.35%, 10/1/2036 (f)
|
8
|
9
|
|
Pool # 1J1348, ARM, 6.69%, 10/1/2036 (f)
|
31
|
32
|
|
Pool # 1G2671, ARM, 5.96%, 11/1/2036 (f)
|
48
|
49
|
|
Pool # 782760, ARM, 6.29%, 11/1/2036 (f)
|
29
|
30
|
|
Pool # 1G2552, ARM, 6.30%, 11/1/2036 (f)
|
6
|
7
|
|
Pool # 1J1400, ARM, 6.50%, 11/1/2036 (f)
|
1
|
2
|
|
Pool # 1J1634, ARM, 6.23%, 12/1/2036 (f)
|
38
|
40
|
|
Pool # 1N0368, ARM, 6.49%, 1/1/2037 (f)
|
3
|
3
|
|
Pool # 1J1516, ARM, 5.88%, 2/1/2037 (f)
|
1
|
1
|
|
Pool # 1Q0196, ARM, 6.32%, 2/1/2037 (f)
|
2
|
2
|
|
Pool # 1Q0739, ARM, 5.95%, 3/1/2037 (f)
|
34
|
35
|
|
Pool # 1J1522, ARM, 6.31%, 3/1/2037 (f)
|
5
|
6
|
|
Pool # 1H1390, ARM, 5.82%, 4/1/2037 (f)
|
3
|
3
|
|
Pool # 1G1678, ARM, 5.90%, 4/1/2037 (f)
|
1
|
1
|
|
Pool # 1J0336, ARM, 6.15%, 4/1/2037 (f)
|
4
|
4
|
|
Pool # 1G3616, ARM, 6.12%, 5/1/2037 (f)
|
1
|
1
|
|
Pool # 1J2919, ARM, 5.84%, 8/1/2037 (f)
|
1
|
1
|
|
Pool # 847834, ARM, 6.60%, 12/1/2037 (f)
|
1
|
2
|
|
Pool # 848699, ARM, 6.32%, 7/1/2040 (f)
|
45
|
46
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91005, 6.00%, 12/1/2026
|
1
|
1
|
|
Pool # C91403, 3.50%, 3/1/2032
|
51
|
50
|
|
Pool # C91849, 3.50%, 9/1/2035
|
88
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # G00981, 8.50%, 7/1/2028
|
—
|
—
|
|
Pool # G04626, 6.00%, 5/1/2031
|
1
|
1
|
|
Pool # C68485, 7.00%, 7/1/2032
|
5
|
5
|
|
Pool # G01448, 7.00%, 8/1/2032
|
15
|
16
|
|
Pool # G60433, 4.50%, 9/1/2033
|
127
|
126
|
|
Pool # A13845, 5.50%, 9/1/2033
|
3
|
3
|
|
Pool # A13625, 5.50%, 10/1/2033
|
54
|
54
|
|
Pool # A16107, 6.00%, 12/1/2033
|
41
|
42
|
|
Pool # A16779, 6.50%, 12/1/2033
|
13
|
13
|
|
Pool # A17537, 6.00%, 1/1/2034
|
28
|
29
|
|
Pool # A61572, 5.00%, 9/1/2034
|
179
|
180
|
|
Pool # A28796, 6.50%, 11/1/2034
|
2
|
2
|
|
Pool # G03369, 6.50%, 1/1/2035
|
58
|
60
|
|
Pool # A46987, 5.50%, 7/1/2035
|
144
|
148
|
|
Pool # G01919, 4.00%, 9/1/2035
|
116
|
113
|
|
Pool # C02641, 7.00%, 10/1/2036
|
26
|
28
|
|
Pool # C02660, 6.50%, 11/1/2036
|
45
|
48
|
|
Pool # G04386, 7.50%, 2/1/2038
|
3
|
3
|
|
Pool # A93383, 5.00%, 8/1/2040
|
134
|
136
|
|
Pool # A93511, 5.00%, 8/1/2040
|
137
|
139
|
|
Pool # G06493, 4.50%, 5/1/2041
|
608
|
603
|
|
Pool # Z40179, 4.00%, 7/1/2048
|
1,498
|
1,420
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # P20570, 7.00%, 7/1/2029
|
9
|
9
|
|
Pool # WN2258, 3.80%, 9/1/2029
|
397
|
389
|
|
Pool # G20027, 10.00%, 10/1/2030
|
1
|
1
|
|
Pool # U50105, 4.00%, 1/1/2032
|
185
|
182
|
|
Pool # N30129, 6.00%, 5/1/2032
|
—
|
—
|
|
Pool # WN2725, 4.10%, 7/1/2032
|
8,000
|
7,841
|
|
Pool # U80254, 3.00%, 3/1/2033
|
120
|
116
|
|
Pool # P20409, 5.50%, 10/1/2033
|
32
|
32
|
|
Pool # WN4013, 4.47%, 12/1/2033
|
1,225
|
1,212
|
|
Pool # WA2226, 2.86%, 6/1/2037
|
439
|
377
|
|
Pool # H09079, 5.50%, 6/1/2037
|
1
|
1
|
|
Pool # H09069, 6.50%, 9/1/2037
|
6
|
6
|
|
Pool # U90975, 4.00%, 6/1/2042
|
596
|
576
|
|
Pool # U90673, 4.00%, 1/1/2043
|
156
|
150
|
|
Pool # U91253, 4.00%, 4/1/2043
|
46
|
45
|
|
Pool # U91484, 4.00%, 5/1/2043
|
35
|
34
|
|
Pool # U99134, 4.00%, 1/1/2046
|
3,194
|
3,067
|
|
Pool # U69030, 4.50%, 1/1/2046
|
1,071
|
1,055
|
|
Pool # RE0006, 3.50%, 1/1/2050
|
1,924
|
1,714
|
|
FHLMC UMBS, 15 Year Pool # ZS8056, 4.00%, 7/1/2033
|
78
|
77
|
|
FHLMC UMBS, 20 Year
|
|
|
|
Pool # ZS9065, 4.00%, 6/1/2033
|
108
|
107
|
|
Pool # SC0104, 3.50%, 8/1/2035
|
850
|
824
|
|
Pool # ZA2434, 3.00%, 10/1/2036
|
180
|
170
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # QB4648, 2.50%, 10/1/2050
|
220
|
187
|
|
Pool # SD3301, 2.50%, 1/1/2051
|
2,657
|
2,272
|
|
Pool # RA5680, 2.00%, 8/1/2051
|
7,310
|
5,883
|
|
Pool # SD0781, 3.00%, 11/1/2051
|
4,515
|
3,968
|
|
Pool # RA6652, 2.50%, 1/1/2052
|
4,597
|
3,863
|
|
Pool # SD0923, 2.50%, 1/1/2052
|
887
|
756
|
|
Pool # SD1076, 3.00%, 1/1/2052
|
652
|
577
|
|
Pool # QD7332, 2.50%, 2/1/2052
|
235
|
199
|
|
Pool # RA6702, 3.00%, 2/1/2052
|
3,290
|
2,876
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
4,529
|
3,878
|
|
Pool # SD2864, 3.00%, 3/1/2052
|
227
|
198
|
|
Pool # QE3414, 3.00%, 5/1/2052
|
3,709
|
3,268
|
|
Pool # SD3016, 3.00%, 6/1/2052
|
11,750
|
10,344
|
|
Pool # SD3781, 4.00%, 7/1/2052
|
2,932
|
2,759
|
|
Pool # QF0379, 5.00%, 8/1/2052
|
1,043
|
1,035
|
|
Pool # RJ1781, 6.00%, 6/1/2054
|
6,664
|
6,893
|
|
Pool # SL1998, 4.00%, 1/1/2055
|
6,501
|
6,117
|
|
FNMA
|
|
|
|
Pool # 54844, ARM, 4.17%, 9/1/2027 (f)
|
1
|
1
|
|
Pool # 303532, ARM, 4.36%, 3/1/2029 (f)
|
—
|
—
|
|
Pool # 555258, ARM, 5.65%, 1/1/2033 (f)
|
98
|
99
|
|
Pool # 722985, ARM, 6.15%, 7/1/2033 (f)
|
5
|
5
|
|
Pool # 746299, ARM, 6.64%, 9/1/2033 (f)
|
32
|
33
|
|
Pool # 766610, ARM, 5.91%, 1/1/2034 (f)
|
10
|
11
|
|
Pool # 920467, ARM, 7.00%, 2/1/2034 (f)
|
51
|
53
|
|
Pool # 770377, ARM, 5.67%, 4/1/2034 (f)
|
16
|
17
|
|
Pool # 751531, ARM, 5.83%, 5/1/2034 (f)
|
43
|
44
|
|
Pool # 782306, ARM, 5.67%, 7/1/2034 (f)
|
4
|
4
|
|
Pool # 735332, ARM, 5.81%, 8/1/2034 (f)
|
43
|
44
|
|
Pool # 790235, ARM, 6.23%, 8/1/2034 (f)
|
35
|
35
|
|
Pool # 791961, ARM, 5.31%, 9/1/2034 (f)
|
11
|
11
|
|
Pool # 803599, ARM, 6.05%, 10/1/2034 (f)
|
30
|
30
|
|
Pool # 803594, ARM, 6.09%, 10/1/2034 (f)
|
43
|
44
|
|
Pool # 896463, ARM, 6.41%, 10/1/2034 (f)
|
20
|
20
|
|
Pool # 806776, ARM, 5.67%, 11/1/2034 (f)
|
38
|
39
|
|
Pool # 806778, ARM, 5.89%, 11/1/2034 (f)
|
91
|
93
|
|
Pool # 810896, ARM, 5.62%, 1/1/2035 (f)
|
71
|
74
|
|
Pool # 802692, ARM, 6.00%, 1/1/2035 (f)
|
40
|
40
|
|
Pool # 816597, ARM, 5.67%, 2/1/2035 (f)
|
9
|
9
|
|
Pool # 735539, ARM, 5.80%, 4/1/2035 (f)
|
125
|
128
|
|
Pool # 745862, ARM, 5.92%, 4/1/2035 (f)
|
23
|
24
|
|
Pool # 821378, ARM, 5.66%, 5/1/2035 (f)
|
28
|
28
|
|
Pool # 823660, ARM, 5.84%, 5/1/2035 (f)
|
18
|
18
|
|
Pool # 745766, ARM, 6.02%, 6/1/2035 (f)
|
55
|
56
|
|
Pool # 843026, ARM, 5.54%, 9/1/2035 (f)
|
35
|
36
|
|
Pool # 832801, ARM, 6.46%, 9/1/2035 (f)
|
2
|
2
|
|
Pool # 849251, ARM, 5.80%, 1/1/2036 (f)
|
25
|
26
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 863729, ARM, 5.89%, 1/1/2036 (f)
|
5
|
5
|
|
Pool # 877009, ARM, 6.86%, 3/1/2036 (f)
|
2
|
2
|
|
Pool # 868952, ARM, 5.93%, 5/1/2036 (f)
|
—
|
—
|
|
Pool # 895141, ARM, 5.82%, 7/1/2036 (f)
|
34
|
35
|
|
Pool # 894452, ARM, 6.57%, 9/1/2036 (f)
|
2
|
2
|
|
Pool # 900197, ARM, 6.78%, 10/1/2036 (f)
|
30
|
31
|
|
Pool # 909377, ARM, 5.89%, 2/1/2037 (f)
|
6
|
6
|
|
Pool # 995521, ARM, 5.94%, 5/1/2037 (f)
|
2
|
2
|
|
Pool # 946362, ARM, 6.51%, 9/1/2037 (f)
|
—
|
—
|
|
Pool # 995615, ARM, 6.19%, 10/1/2037 (f)
|
1
|
1
|
|
Pool # 952182, ARM, 6.20%, 11/1/2037 (f)
|
2
|
2
|
|
Pool # 889028, ARM, 4.85%, 1/1/2038 (f)
|
2
|
2
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # 256351, 6.00%, 8/1/2026
|
—
|
—
|
|
Pool # 256946, 6.50%, 10/1/2027
|
—
|
—
|
|
Pool # 256962, 6.00%, 11/1/2027
|
1
|
1
|
|
Pool # 257126, 6.00%, 3/1/2028
|
1
|
1
|
|
Pool # AD0329, 6.50%, 9/1/2028
|
—
|
—
|
|
Pool # MA1138, 3.50%, 8/1/2032
|
132
|
129
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 689977, 8.00%, 3/1/2027
|
1
|
1
|
|
Pool # 695533, 8.00%, 6/1/2027
|
1
|
1
|
|
Pool # 453258, 6.00%, 11/1/2028
|
4
|
4
|
|
Pool # 755973, 8.00%, 11/1/2028
|
14
|
14
|
|
Pool # 455759, 6.00%, 12/1/2028
|
2
|
2
|
|
Pool # 745630, 5.50%, 1/1/2029
|
2
|
3
|
|
Pool # 252211, 6.00%, 1/1/2029
|
2
|
2
|
|
Pool # 323994, 8.00%, 10/1/2029
|
2
|
2
|
|
Pool # 889020, 6.50%, 11/1/2029
|
33
|
34
|
|
Pool # 578569, 5.50%, 4/1/2031
|
1
|
1
|
|
Pool # 598559, 6.50%, 8/1/2031
|
10
|
11
|
|
Pool # 622542, 5.50%, 9/1/2031
|
48
|
49
|
|
Pool # 788150, 6.00%, 3/1/2032
|
5
|
5
|
|
Pool # 675555, 6.00%, 12/1/2032
|
9
|
10
|
|
Pool # AL0045, 6.00%, 12/1/2032
|
76
|
78
|
|
Pool # 689103, 5.50%, 2/1/2033
|
8
|
8
|
|
Pool # 674349, 6.00%, 3/1/2033
|
1
|
1
|
|
Pool # 688625, 6.00%, 3/1/2033
|
4
|
4
|
|
Pool # 695584, 6.00%, 3/1/2033
|
2
|
2
|
|
Pool # 702901, 6.00%, 5/1/2033
|
26
|
26
|
|
Pool # 723852, 5.00%, 7/1/2033
|
33
|
33
|
|
Pool # 729296, 5.00%, 7/1/2033
|
61
|
61
|
|
Pool # 729379, 6.00%, 8/1/2033
|
10
|
10
|
|
Pool # 737825, 6.00%, 9/1/2033
|
12
|
13
|
|
Pool # 725017, 5.50%, 12/1/2033
|
116
|
118
|
|
Pool # 751341, 5.50%, 3/1/2034
|
17
|
17
|
|
Pool # 888568, 5.00%, 12/1/2034
|
3
|
3
|
|
Pool # AD0755, 7.00%, 6/1/2035
|
840
|
888
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 820347, 5.00%, 9/1/2035
|
24
|
24
|
|
Pool # 845549, 5.50%, 1/1/2036
|
14
|
14
|
|
Pool # 976871, 6.50%, 8/1/2036
|
2
|
2
|
|
Pool # 833657, 7.50%, 8/1/2036
|
11
|
11
|
|
Pool # 885704, 6.00%, 10/1/2036
|
1
|
1
|
|
Pool # 888696, 6.50%, 7/1/2037
|
3
|
3
|
|
Pool # 986648, 6.00%, 9/1/2037
|
53
|
55
|
|
Pool # 888892, 7.50%, 11/1/2037
|
11
|
12
|
|
Pool # 889883, 6.50%, 3/1/2038
|
2
|
2
|
|
Pool # 257510, 7.00%, 12/1/2038
|
42
|
44
|
|
Pool # AD0753, 7.00%, 1/1/2039
|
31
|
33
|
|
Pool # AD9151, 5.00%, 8/1/2040
|
8
|
8
|
|
Pool # AO9370, 3.50%, 7/1/2042
|
224
|
210
|
|
Pool # AT5891, 3.00%, 6/1/2043
|
1,133
|
1,034
|
|
Pool # AS3163, 4.00%, 8/1/2044
|
40
|
38
|
|
Pool # BE5039, 3.50%, 7/1/2046
|
141
|
132
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
1,222
|
1,183
|
|
Pool # BJ1778, 4.50%, 10/1/2047
|
473
|
463
|
|
Pool # BM3499, 4.00%, 12/1/2047
|
82
|
77
|
|
Pool # BN9180, 4.00%, 6/1/2049
|
320
|
304
|
|
Pool # BK8753, 4.50%, 6/1/2049
|
553
|
538
|
|
Pool # BO1219, 4.50%, 6/1/2049
|
1,393
|
1,357
|
|
Pool # CA4018, 3.00%, 8/1/2049
|
212
|
188
|
|
Pool # BO7077, 3.00%, 9/1/2049
|
1,603
|
1,426
|
|
Pool # CA5549, 3.00%, 4/1/2050
|
3,449
|
3,065
|
|
Pool # CA5702, 2.50%, 5/1/2050
|
4,604
|
3,932
|
|
Pool # CA6079, 2.50%, 6/1/2050
|
2,668
|
2,238
|
|
Pool # BP6439, 2.50%, 7/1/2050
|
5,862
|
4,918
|
|
Pool # BP6474, 2.50%, 7/1/2050
|
9,963
|
8,434
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
3,389
|
2,903
|
|
Pool # CA6989, 2.50%, 9/1/2050
|
4,035
|
3,450
|
|
Pool # FS1553, 2.50%, 11/1/2050
|
225
|
192
|
|
Pool # FS3599, 2.50%, 1/1/2051
|
3,826
|
3,248
|
|
Pool # BQ4516, 2.00%, 2/1/2051
|
5,474
|
4,422
|
|
Pool # FS5759, 3.50%, 2/1/2051
|
7,559
|
6,957
|
|
Pool # FS0730, 4.00%, 2/1/2051
|
3,294
|
3,094
|
|
Pool # FM8651, 2.50%, 4/1/2051
|
6,858
|
5,789
|
|
Pool # CB0047, 3.00%, 4/1/2051
|
807
|
705
|
|
Pool # CB1275, 2.50%, 8/1/2051
|
217
|
183
|
|
Pool # CB1301, 2.50%, 8/1/2051
|
218
|
186
|
|
Pool # FM8642, 2.50%, 9/1/2051
|
376
|
321
|
|
Pool # BU0070, 2.50%, 10/1/2051
|
3,923
|
3,308
|
|
Pool # CB1908, 2.50%, 10/1/2051
|
9,252
|
7,878
|
|
Pool # MA4466, 2.50%, 11/1/2051
|
3,683
|
3,103
|
|
Pool # FS1172, 3.00%, 11/1/2051
|
342
|
301
|
|
Pool # CB2275, 2.50%, 12/1/2051
|
214
|
181
|
|
Pool # FS2559, 3.00%, 12/1/2051
|
1,982
|
1,751
|
|
Pool # FS4108, 4.00%, 12/1/2051
|
2,979
|
2,807
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CB2637, 2.50%, 1/1/2052
|
3,221
|
2,760
|
|
Pool # MA4512, 2.50%, 1/1/2052
|
464
|
391
|
|
Pool # CB2664, 3.00%, 1/1/2052
|
1,629
|
1,436
|
|
Pool # MA4513, 3.00%, 1/1/2052
|
511
|
447
|
|
Pool # CB2684, 3.50%, 1/1/2052
|
266
|
242
|
|
Pool # FS5986, 2.50%, 2/1/2052
|
3,972
|
3,403
|
|
Pool # FS0845, 3.00%, 2/1/2052
|
7,758
|
6,796
|
|
Pool # FS3345, 3.00%, 2/1/2052
|
3,625
|
3,195
|
|
Pool # FS7749, 3.00%, 2/1/2052
|
3,900
|
3,445
|
|
Pool # MA4549, 3.00%, 2/1/2052
|
529
|
463
|
|
Pool # FA0097, 2.50%, 3/1/2052
|
6,548
|
5,608
|
|
Pool # FS5446, 2.50%, 3/1/2052
|
5,125
|
4,326
|
|
Pool # FS8041, 2.50%, 3/1/2052
|
3,858
|
3,277
|
|
Pool # CB3236, 3.00%, 3/1/2052
|
203
|
179
|
|
Pool # FS0751, 3.00%, 3/1/2052
|
769
|
677
|
|
Pool # FA1671, 2.50%, 4/1/2052
|
6,974
|
5,959
|
|
Pool # BV5389, 3.00%, 4/1/2052
|
1,884
|
1,660
|
|
Pool # CB3426, 3.50%, 4/1/2052
|
175
|
160
|
|
Pool # CB3273, 4.00%, 4/1/2052
|
4,487
|
4,232
|
|
Pool # CB3383, 4.00%, 4/1/2052
|
3,798
|
3,572
|
|
Pool # FS4720, 2.50%, 5/1/2052
|
3,793
|
3,255
|
|
Pool # CB3494, 3.00%, 5/1/2052
|
7,126
|
6,274
|
|
Pool # FS7204, 3.00%, 5/1/2052
|
1,447
|
1,278
|
|
Pool # CB3679, 4.00%, 5/1/2052
|
3,820
|
3,592
|
|
Pool # CB3913, 4.00%, 5/1/2052
|
1,550
|
1,459
|
|
Pool # BV2531, 3.00%, 6/1/2052
|
20,185
|
17,672
|
|
Pool # BV5631, 3.00%, 6/1/2052
|
6,001
|
5,289
|
|
Pool # CB3891, 3.00%, 6/1/2052
|
23,258
|
20,452
|
|
Pool # FA1709, 3.00%, 6/1/2052
|
9,193
|
8,128
|
|
Pool # CB4124, 4.00%, 6/1/2052
|
2,019
|
1,898
|
|
Pool # CB4119, 4.00%, 7/1/2052
|
14,595
|
13,720
|
|
Pool # MA4656, 4.50%, 7/1/2052
|
225
|
217
|
|
Pool # CB4608, 4.00%, 9/1/2052
|
4,126
|
3,880
|
|
Pool # FS2898, 4.50%, 9/1/2052
|
2,531
|
2,441
|
|
Pool # BW8524, 5.00%, 9/1/2052
|
1,648
|
1,628
|
|
Pool # BW9985, 5.00%, 9/1/2052
|
3,347
|
3,324
|
|
Pool # CB4622, 5.00%, 9/1/2052
|
159
|
158
|
|
Pool # BV6789, 4.00%, 10/1/2052
|
1,242
|
1,168
|
|
Pool # BX0091, 5.00%, 10/1/2052
|
1,611
|
1,593
|
|
Pool # BV6794, 5.00%, 11/1/2052
|
1,396
|
1,398
|
|
Pool # CB5896, 5.00%, 3/1/2053
|
2,291
|
2,266
|
|
Pool # FS4687, 5.50%, 5/1/2053
|
177
|
179
|
|
Pool # BY4714, 5.00%, 6/1/2053
|
5,350
|
5,286
|
|
Pool # BY7027, 5.00%, 8/1/2053
|
4,637
|
4,572
|
|
FNMA, 30 Year
|
|
|
|
Pool # 252409, 6.50%, 3/1/2029
|
6
|
6
|
|
Pool # 252481, 6.50%, 4/1/2029
|
6
|
6
|
|
Pool # 685946, 6.00%, 9/1/2032
|
7
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 725350, 6.00%, 1/1/2033
|
4
|
4
|
|
Pool # 653815, 7.00%, 2/1/2033
|
2
|
3
|
|
Pool # 752786, 6.00%, 9/1/2033
|
22
|
22
|
|
Pool # 801357, 5.50%, 8/1/2034
|
9
|
9
|
|
Pool # 813839, 6.00%, 11/1/2034
|
25
|
25
|
|
Pool # 827816, 6.00%, 1/1/2035
|
—
|
—
|
|
Pool # 827804, 6.00%, 3/1/2035
|
4
|
4
|
|
Pool # 931717, 6.50%, 8/1/2039
|
109
|
110
|
|
FNMA, Other
|
|
|
|
Pool # 468645, 4.54%, 7/1/2026
|
2,143
|
2,139
|
|
Pool # AM8803, 2.78%, 6/1/2027
|
4,219
|
4,162
|
|
Pool # AM8987, 2.79%, 6/1/2027
|
1,544
|
1,523
|
|
Pool # BL9574, 1.00%, 12/1/2027
|
3,718
|
3,545
|
|
Pool # AM4758, 4.02%, 11/1/2028
|
76
|
76
|
|
Pool # BL1040, 3.81%, 12/1/2028
|
3,000
|
2,966
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
263
|
261
|
|
Pool # BS4959, 2.30%, 3/1/2029
|
449
|
425
|
|
Pool # AN4975, 3.21%, 3/1/2029
|
274
|
266
|
|
Pool # AN5527, 3.02%, 7/1/2029
|
187
|
181
|
|
Pool # BS8075, 5.00%, 9/1/2029
|
1,874
|
1,901
|
|
Pool # BZ1715, 4.48%, 10/1/2029
|
2,325
|
2,337
|
|
Pool # BL4364, 2.24%, 11/1/2029
|
5,115
|
4,787
|
|
Pool # BL4333, 2.52%, 11/1/2029
|
5,558
|
5,247
|
|
Pool # AM7785, 3.17%, 2/1/2030
|
2,521
|
2,417
|
|
Pool # AM7516, 3.55%, 2/1/2030
|
2,000
|
1,950
|
|
Pool # AM8544, 3.08%, 4/1/2030
|
6,720
|
6,426
|
|
Pool # AM8889, 2.92%, 5/1/2030
|
8,000
|
7,586
|
|
Pool # AM8700, 2.93%, 6/1/2030
|
1,759
|
1,671
|
|
Pool # AM9020, 2.97%, 6/1/2030
|
3,380
|
3,213
|
|
Pool # BZ1291, 4.82%, 8/1/2030
|
5,000
|
5,061
|
|
Pool # BZ2136, 4.59%, 9/1/2030
|
806
|
814
|
|
Pool # BS7241, 5.05%, 9/1/2030
|
5,000
|
5,101
|
|
Pool # BL9251, 1.45%, 10/1/2030
|
4,231
|
3,751
|
|
Pool # BL9839, 1.48%, 12/1/2030
|
261
|
231
|
|
Pool # BS1213, 1.28%, 2/1/2031
|
452
|
395
|
|
Pool # BS0920, 1.50%, 2/1/2031
|
225
|
198
|
|
Pool # BZ5796, 4.89%, 3/1/2031
|
3,583
|
3,627
|
|
Pool # BZ1791, 4.61%, 8/1/2031
|
4,443
|
4,465
|
|
Pool # BL4315, 2.39%, 9/1/2031
|
4,165
|
3,790
|
|
Pool # BS5153, 2.53%, 9/1/2031
|
971
|
886
|
|
Pool # BS5071, 2.63%, 9/1/2031
|
2,994
|
2,730
|
|
Pool # BS3637, 1.73%, 11/1/2031
|
3,763
|
3,310
|
|
Pool # BS4510, 1.93%, 12/1/2031
|
450
|
398
|
|
Pool # BS4313, 1.98%, 1/1/2032
|
8,350
|
7,344
|
|
Pool # BS8294, 4.44%, 1/1/2032
|
2,421
|
2,413
|
|
Pool # BS8214, 4.62%, 1/1/2032
|
1,904
|
1,914
|
|
Pool # BS4708, 2.17%, 3/1/2032
|
275
|
244
|
|
Pool # BS5117, 2.58%, 3/1/2032
|
3,790
|
3,436
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BZ6147, 4.39%, 4/1/2032
|
6,000
|
5,943
|
|
Pool # BS9519, 5.44%, 4/1/2032
|
4,077
|
4,236
|
|
Pool # BS5760, 2.43%, 5/1/2032
|
2,759
|
2,492
|
|
Pool # BS5987, 3.55%, 6/1/2032
|
395
|
377
|
|
Pool # BZ3982, 4.66%, 6/1/2032
|
7,416
|
7,456
|
|
Pool # BL7538, 1.52%, 7/1/2032
|
7,127
|
6,096
|
|
Pool # AN6149, 3.14%, 7/1/2032
|
3,050
|
2,824
|
|
Pool # BS5530, 3.30%, 7/1/2032
|
435
|
407
|
|
Pool # BS6243, 3.87%, 8/1/2032
|
2,146
|
2,075
|
|
Pool # BZ4466, 4.45%, 8/1/2032
|
5,000
|
4,976
|
|
Pool # BS5887, 3.51%, 9/1/2032
|
2,000
|
1,886
|
|
Pool # BS6597, 3.67%, 9/1/2032
|
820
|
777
|
|
Pool # BS6339, 3.80%, 9/1/2032
|
3,844
|
3,692
|
|
Pool # BS6423, 3.81%, 9/1/2032
|
450
|
432
|
|
Pool # BS6505, 3.54%, 10/1/2032
|
3,283
|
3,106
|
|
Pool # BS6822, 3.81%, 10/1/2032
|
5,575
|
5,363
|
|
Pool # BS6759, 3.97%, 10/1/2032
|
4,712
|
4,569
|
|
Pool # AP9632, 4.00%, 10/1/2032
|
90
|
88
|
|
Pool # AP9762, 4.00%, 10/1/2032
|
36
|
35
|
|
Pool # BZ4871, 4.23%, 10/1/2032
|
6,120
|
6,014
|
|
Pool # BS6926, 4.51%, 10/1/2032
|
3,969
|
3,971
|
|
Pool # BS6928, 4.55%, 10/1/2032
|
2,065
|
2,071
|
|
Pool # 650230, 6.00%, 10/1/2032
|
2
|
2
|
|
Pool # BS6601, 3.54%, 11/1/2032
|
6,715
|
6,333
|
|
Pool # BS7115, 3.81%, 11/1/2032
|
10,120
|
9,725
|
|
Pool # AQ7084, 3.50%, 12/1/2032
|
157
|
152
|
|
Pool # BL9886, 1.47%, 1/1/2033
|
397
|
333
|
|
Pool # BS0391, 1.63%, 1/1/2033
|
292
|
246
|
|
Pool # BZ6279, 4.20%, 1/1/2033
|
10,530
|
10,271
|
|
Pool # AT2703, 3.50%, 5/1/2033
|
366
|
353
|
|
Pool # AT2954, 3.50%, 5/1/2033
|
271
|
261
|
|
Pool # AT4180, 3.50%, 5/1/2033
|
237
|
229
|
|
Pool # AT4939, 3.50%, 5/1/2033
|
197
|
191
|
|
Pool # BS8470, 4.52%, 6/1/2033
|
1,972
|
1,970
|
|
Pool # BS9351, 4.70%, 9/1/2033
|
3,907
|
3,912
|
|
Pool # BS9384, 5.04%, 9/1/2033
|
3,200
|
3,279
|
|
Pool # 754922, 5.50%, 9/1/2033
|
21
|
21
|
|
Pool # 762520, 4.00%, 11/1/2033
|
107
|
104
|
|
Pool # 255020, 5.50%, 11/1/2033
|
9
|
9
|
|
Pool # BS4198, 2.16%, 12/1/2033
|
8,577
|
7,356
|
|
Pool # BL1011, 4.02%, 12/1/2033
|
250
|
241
|
|
Pool # BZ5847, 4.83%, 1/1/2034
|
5,594
|
5,623
|
|
Pool # BZ5848, 4.90%, 1/1/2034
|
3,521
|
3,542
|
|
Pool # BL3756, 2.92%, 9/1/2034
|
2,458
|
2,188
|
|
Pool # BZ1884, 4.23%, 9/1/2034
|
4,250
|
4,147
|
|
Pool # BZ2030, 4.39%, 10/1/2034
|
3,000
|
2,937
|
|
Pool # BS7097, 4.67%, 11/1/2034
|
7,251
|
7,256
|
|
Pool # 735881, 6.00%, 11/1/2034
|
14
|
14
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AM8922, 3.03%, 6/1/2035
|
1,899
|
1,789
|
|
Pool # BZ4852, 4.49%, 9/1/2035
|
10,117
|
9,990
|
|
Pool # BZ4781, 5.25%, 9/1/2035
|
2,061
|
2,139
|
|
Pool # AN0375, 3.76%, 12/1/2035
|
205
|
193
|
|
Pool # BS7789, 4.62%, 1/1/2036
|
7,868
|
7,762
|
|
Pool # 849215, 6.50%, 1/1/2036
|
10
|
10
|
|
Pool # 886320, 6.50%, 7/1/2036
|
6
|
6
|
|
Pool # 256526, 6.00%, 12/1/2036
|
2
|
2
|
|
Pool # BS4368, 2.29%, 1/1/2037
|
4,870
|
3,998
|
|
Pool # 888373, 7.00%, 3/1/2037
|
1
|
1
|
|
Pool # 256860, 6.50%, 8/1/2037
|
2
|
2
|
|
Pool # 888796, 6.00%, 9/1/2037
|
37
|
37
|
|
Pool # 257172, 5.50%, 4/1/2038
|
1
|
1
|
|
Pool # AO7225, 4.00%, 7/1/2042
|
190
|
184
|
|
Pool # AO9352, 4.00%, 7/1/2042
|
295
|
285
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
242
|
233
|
|
Pool # AR1397, 3.00%, 1/1/2043
|
571
|
521
|
|
Pool # MA1711, 4.50%, 12/1/2043
|
946
|
935
|
|
Pool # MA1828, 4.50%, 3/1/2044
|
743
|
732
|
|
Pool # MA2793, 3.50%, 10/1/2046
|
44
|
41
|
|
Pool # BF0558, 5.00%, 12/1/2049
|
2,912
|
2,924
|
|
Pool # BF0091, 3.50%, 5/1/2056
|
805
|
729
|
|
Pool # BF0101, 3.50%, 6/1/2056
|
2,583
|
2,343
|
|
Pool # BM6545, 3.50%, 5/1/2058
|
2,535
|
2,283
|
|
Pool # BF0300, 4.00%, 8/1/2058
|
6,906
|
6,520
|
|
Pool # BF0464, 3.50%, 3/1/2060
|
2,033
|
1,832
|
|
Pool # BF0546, 2.50%, 7/1/2061
|
3,060
|
2,504
|
|
Pool # BF0560, 2.50%, 9/1/2061
|
3,724
|
3,048
|
|
Pool # BF0590, 2.50%, 12/1/2061
|
6,078
|
4,973
|
|
Pool # BF0579, 3.00%, 12/1/2061
|
5,275
|
4,519
|
|
Pool # BF0583, 4.00%, 12/1/2061
|
3,535
|
3,269
|
|
Pool # BF0759, 2.50%, 5/1/2062
|
5,173
|
4,233
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 6/25/2056 (e)
|
30,000
|
29,512
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 554108, 6.50%, 3/15/2028
|
8
|
8
|
|
Pool # 486537, 7.50%, 9/15/2028
|
1
|
1
|
|
Pool # 486631, 6.50%, 10/15/2028
|
1
|
1
|
|
Pool # 531500, 6.50%, 10/15/2030
|
37
|
37
|
|
Pool # 591882, 6.50%, 7/15/2032
|
8
|
8
|
|
Pool # 607645, 6.50%, 2/15/2033
|
17
|
17
|
|
Pool # 607724, 7.00%, 2/15/2033
|
15
|
15
|
|
Pool # 604209, 6.50%, 4/15/2033
|
24
|
24
|
|
Pool # 781614, 7.00%, 6/15/2033
|
20
|
21
|
|
Pool # BM2141, 5.00%, 7/15/2049
|
301
|
303
|
|
Pool # CO1916, 5.00%, 9/15/2052
|
2,529
|
2,609
|
|
GNMA II
|
|
|
|
Pool # CE5524, ARM, 5.62%, 8/20/2071 (f)
|
2,509
|
2,624
|
|
Pool # CH7776, ARM, 5.36%, 10/20/2071 (f)
|
2,971
|
3,086
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CE5546, ARM, 5.54%, 10/20/2071 (f)
|
4,894
|
5,099
|
|
Pool # CK7234, ARM, 5.29%, 2/20/2072 (f)
|
2,580
|
2,676
|
|
Pool # CK2783, ARM, 5.48%, 2/20/2072 (f)
|
4,779
|
4,992
|
|
Pool # CK2799, ARM, 5.48%, 3/20/2072 (f)
|
3,971
|
4,154
|
|
Pool # CK2810, ARM, 5.44%, 4/20/2072 (f)
|
4,792
|
5,017
|
|
Pool # CP1819, ARM, 5.59%, 7/20/2072 (f)
|
3,802
|
4,019
|
|
Pool # CG5357, ARM, 5.39%, 8/20/2072 (f)
|
902
|
949
|
|
Pool # CP4923, ARM, 5.70%, 8/20/2072 (f)
|
5,196
|
5,463
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2270, 8.00%, 8/20/2026
|
—
|
—
|
|
Pool # 2285, 8.00%, 9/20/2026
|
—
|
—
|
|
Pool # 2324, 8.00%, 11/20/2026
|
—
|
—
|
|
Pool # 2499, 8.00%, 10/20/2027
|
—
|
—
|
|
Pool # 2512, 8.00%, 11/20/2027
|
1
|
1
|
|
Pool # 2525, 8.00%, 12/20/2027
|
—
|
—
|
|
Pool # 2549, 7.50%, 2/20/2028
|
—
|
—
|
|
Pool # 2630, 6.50%, 8/20/2028
|
1
|
1
|
|
Pool # 2646, 7.50%, 9/20/2028
|
2
|
2
|
|
Pool # 2808, 6.50%, 9/20/2029
|
6
|
7
|
|
Pool # 3025, 6.50%, 1/20/2031
|
8
|
8
|
|
Pool # 3068, 6.50%, 4/20/2031
|
8
|
9
|
|
Pool # 3362, 6.00%, 3/20/2033
|
16
|
16
|
|
Pool # 3427, 4.50%, 8/20/2033
|
28
|
28
|
|
Pool # 4840, 7.50%, 9/20/2037
|
2
|
2
|
|
Pool # 4245, 6.00%, 9/20/2038
|
256
|
269
|
|
Pool # AK8806, 4.25%, 3/20/2045
|
529
|
505
|
|
Pool # BA7567, 4.50%, 5/20/2048
|
34
|
32
|
|
Pool # BO0535, 4.00%, 7/20/2049
|
1,078
|
995
|
|
Pool # BO8227, 5.00%, 7/20/2049
|
659
|
669
|
|
Pool # BO8229, 5.00%, 7/20/2049
|
459
|
470
|
|
Pool # BM9734, 4.00%, 10/20/2049
|
1,015
|
954
|
|
Pool # BQ4115, 3.00%, 3/20/2050
|
2,151
|
1,914
|
|
Pool # 785294, 3.50%, 1/20/2051
|
2,860
|
2,542
|
|
Pool # CB1543, 3.00%, 2/20/2051
|
2,157
|
1,919
|
|
Pool # 785445, 2.50%, 3/20/2051
|
7,318
|
6,176
|
|
Pool # MA7705, 2.50%, 11/20/2051
|
16,852
|
14,430
|
|
Pool # MA7768, 3.00%, 12/20/2051
|
409
|
364
|
|
Pool # MA7829, 3.50%, 1/20/2052
|
508
|
462
|
|
Pool # CK2698, 3.00%, 2/20/2052
|
1,179
|
1,049
|
|
Pool # CK2716, 3.50%, 2/20/2052
|
3,476
|
3,092
|
|
Pool # MA7936, 2.50%, 3/20/2052
|
10,143
|
8,685
|
|
Pool # CM2161, 3.00%, 3/20/2052
|
1,963
|
1,747
|
|
Pool # CM2213, 3.00%, 3/20/2052
|
398
|
354
|
|
Pool # 786743, 3.50%, 4/20/2052
|
6,991
|
6,232
|
|
Pool # MA8097, 2.50%, 6/20/2052
|
14,084
|
12,059
|
|
Pool # CN2859, 4.50%, 6/20/2052
|
3,458
|
3,329
|
|
Pool # CO4824, 5.00%, 6/20/2052
|
1,277
|
1,286
|
|
Pool # MA8148, 3.00%, 7/20/2052
|
14,742
|
13,133
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CO4865, 5.00%, 7/20/2052
|
1,778
|
1,763
|
|
Pool # MA8200, 4.00%, 8/20/2052
|
7,148
|
6,706
|
|
Pool # MA8265, 3.00%, 9/20/2052
|
12,319
|
10,977
|
|
Pool # CO8413, 4.50%, 9/20/2052
|
4,131
|
3,977
|
|
Pool # MA8343, 2.50%, 10/20/2052
|
4,168
|
3,572
|
|
Pool # MA8346, 4.00%, 10/20/2052
|
10,507
|
9,882
|
|
Pool # MA8485, 2.50%, 12/20/2052
|
7,033
|
6,028
|
|
Pool # MA8721, 3.00%, 3/20/2053
|
4,968
|
4,435
|
|
Pool # MA8797, 3.50%, 4/20/2053
|
9,864
|
9,069
|
|
Pool # CT7445, 6.00%, 4/20/2053
|
1,051
|
1,084
|
|
Pool # MA9011, 2.50%, 7/20/2053
|
196
|
168
|
|
Pool # MA9301, 3.50%, 11/20/2053
|
2,738
|
2,506
|
|
Pool # MA9484, 3.50%, 2/20/2054
|
2,186
|
1,990
|
|
Pool # MA9720, 3.00%, 6/20/2054
|
193
|
172
|
|
Pool # MB0142, 3.00%, 1/20/2055
|
8,869
|
7,893
|
|
Pool # MB0360, 2.50%, 5/20/2055
|
7,689
|
6,586
|
|
Pool # 788620, 2.50%, 3/20/2056
|
15,664
|
13,454
|
|
GNMA II, Other
|
|
|
|
Pool # 4385, 5.00%, 3/20/2039
|
7
|
6
|
|
Pool # 787980, 4.00%, 5/20/2065
|
5,892
|
5,513
|
|
Pool # 788066, 4.00%, 7/20/2065
|
8,675
|
8,127
|
|
Total Mortgage-Backed Securities
(Cost $904,435)
|
|
891,761
|
|
Asset-Backed Securities — 11.4%
|
||
|
Academic Loan Funding Trust Series 2013-1A, Class A, 4.53%, 12/26/2044 (b) (f)
|
327
|
321
|
|
Air Canada Pass-Through Trust (Canada)
|
|
|
|
Series 2015-2, Class AA, 3.75%, 12/15/2027 (b)
|
146
|
144
|
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)
|
311
|
296
|
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (b)
|
440
|
417
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2014-1, Class A, 3.70%, 10/1/2026
|
15
|
15
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
121
|
117
|
|
Series 2019-1, Class A, 3.50%, 2/15/2032
|
2,023
|
1,855
|
|
American Credit Acceptance Receivables Trust Series 2025-2, Class C, 5.11%, 4/14/2031 (b)
|
100
|
101
|
|
AmeriCredit Automobile Receivables Trust Series 2023-2, Class A3, 5.81%, 5/18/2028
|
212
|
213
|
|
AMSR Trust
|
|
|
|
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (b)
|
850
|
799
|
|
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b)
|
1,600
|
1,579
|
|
Series 2024-SFR2, Class A, 4.15%, 11/17/2041 (b)
|
115
|
112
|
|
Series 2025-SFR1, Class B, 3.66%, 6/17/2042 (b)
|
2,700
|
2,544
|
|
Series 2026-SFR1, Class A, 3.78%, 4/17/2043 (b)
|
3,404
|
3,212
|
|
Series 2026-SFR1, Class C, 3.78%, 4/17/2043 (b)
|
6,000
|
5,543
|
|
Ansley Park Capital LLC Series 2025-A, Class C, 4.82%, 4/20/2035 (b)
|
3,395
|
3,339
|
|
Aqua Finance Issuer Trust
|
|
|
|
Series 2025-A, Class B, 5.56%, 12/19/2050 (b)
|
2,927
|
2,944
|
|
Series 2026-A, Class A, 4.76%, 4/17/2051 (b)
|
2,962
|
2,938
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2024-1A, Class A, 5.36%, 6/20/2030 (b)
|
115
|
117
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-2A, Class B, 5.51%, 8/20/2031 (b)
|
1,500
|
1,515
|
|
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (b)
|
1,617
|
1,626
|
|
BDS LLC Series 2026-FL17, Class A, 5.00%, 5/19/2043 (b) (f)
|
6,818
|
6,820
|
|
BG Beta Ltd. (Cayman Islands) 6.28%, 7/16/2054 ‡
|
2,702
|
2,705
|
|
Bridge Trust
|
|
|
|
Series 2024-SFR1, Class A, 4.00%, 8/17/2040 (b)
|
201
|
194
|
|
Series 2025-SFR1, Class C, 4.20%, 9/17/2042 (b)
|
1,795
|
1,674
|
|
Bridgecrest Lending Auto Securitization Trust Series 2024-3, Class B, 5.37%, 10/16/2028
|
1,716
|
1,719
|
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)
|
290
|
283
|
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (b)
|
466
|
451
|
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)
|
488
|
463
|
|
Business Jet Securities LLC Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b)
|
159
|
158
|
|
Carmax Auto Owner Trust Series 2025-2, Class A4, 4.65%, 11/15/2030
|
3,730
|
3,749
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b)
|
783
|
750
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2021-P4, Class A4, 1.64%, 12/10/2027
|
89
|
89
|
|
Series 2023-P3, Class A3, 5.82%, 8/10/2028 (b)
|
262
|
263
|
|
CFIN Issuer LLC Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (g)
|
397
|
394
|
|
Chase Funding Trust Series 2003-6, Class 1A7, 4.82%, 11/25/2034 (g)
|
148
|
145
|
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
800
|
874
|
|
CNH Equipment Trust Series 2022-C, Class A3, 5.15%, 4/17/2028
|
42
|
42
|
|
Consumer Portfolio Services Auto Trust Series 2025-B, Class C, 5.12%, 7/15/2031 (b)
|
3,276
|
3,296
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-2, Class B, 3.42%, 6/15/2052 (b)
|
158
|
152
|
|
Series 2019-2, Class D, 4.22%, 6/15/2052 (b)
|
2,000
|
1,891
|
|
Series 2020-3, Class B, 2.20%, 8/15/2053 (b)
|
3,180
|
2,992
|
|
CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b)
|
1,103
|
1,108
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b)
|
502
|
503
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (b)
|
242
|
242
|
|
Series 2023-5A, Class A, 6.13%, 12/15/2033 (b)
|
1,805
|
1,812
|
|
6.95%, 2/15/2034 ‡
|
6,000
|
6,023
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b)
|
2,400
|
2,408
|
|
Series 2024-2A, Class A, 5.95%, 6/15/2034 (b)
|
4,500
|
4,537
|
|
Series 2024-3A, Class C, 5.39%, 1/16/2035 (b)
|
4,200
|
4,218
|
|
Series 2025-2A, Class C, 5.38%, 3/17/2036 (b)
|
7,751
|
7,755
|
|
Credit One (Nigeria) 6.47%, 2/25/2029 ‡ (b)
|
4,000
|
3,998
|
|
CVS Pass-Through Trust 5.93%, 1/10/2034 (b)
|
556
|
564
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.60%, 10/25/2034 (f)
|
10
|
10
|
|
D2 Multifamily Credit Issuer Ltd. (Cayman Islands) Series 2026-FL1, Class A, 5.11%,
11/19/2043 (b) (f)
|
6,285
|
6,291
|
|
Dec
|
|
|
|
6.02%, 3/13/2030 ‡ (b)
|
4,000
|
4,000
|
|
6.91%, 1/15/2031 ‡ (b)
|
4,000
|
4,000
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
Series 2025-CES1, Class A1A, 5.22%, 10/25/2055 (b) (g)
|
6,105
|
6,087
|
|
Series 2026-CES1, Class A1A, 5.31%, 3/25/2061 (b) (g)
|
5,587
|
5,565
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Delta Air Lines Pass-Through Trust
|
|
|
|
Series 2015-1, Class AA, 3.63%, 7/30/2027
|
179
|
177
|
|
Series 2020-1, Class AA, 2.00%, 6/10/2028
|
234
|
226
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b)
|
2,564
|
2,558
|
|
Diversified ABS Phase LLC Series 2024-1A, Class A1, 7.08%, 5/30/2044 (b)
|
2,903
|
2,921
|
|
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043
|
1,141
|
1,165
|
|
Drive Auto Receivables Trust
|
|
|
|
Series 2025-1, Class C, 4.99%, 9/15/2032
|
135
|
136
|
|
Series 2025-2, Class D, 4.90%, 12/15/2032
|
4,950
|
4,916
|
|
DT Auto Owner Trust Series 2022-3A, Class D, 8.14%, 7/17/2028 (b)
|
2,554
|
2,597
|
|
EJ 6.37%, 10/10/2041 ‡
|
4,825
|
4,825
|
|
Energy Assets 8.11%, 8/25/2044 ‡
|
926
|
931
|
|
Enterprise Fleet Financing LLC Series 2025-2, Class A4, 4.58%, 12/22/2031 (b)
|
2,880
|
2,890
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2025-4A, Class C, 4.57%, 6/16/2031
|
300
|
299
|
|
Series 2025-3A, Class C, 5.09%, 10/15/2031
|
195
|
196
|
|
Series 2025-4A, Class D, 5.23%, 1/15/2032
|
6,400
|
6,399
|
|
Series 2025-5A, Class C, 4.68%, 3/15/2032
|
3,400
|
3,387
|
|
Series 2025-5A, Class D, 5.16%, 3/15/2032
|
2,898
|
2,899
|
|
Series 2026-2A, Class C, 4.91%, 8/16/2032
|
4,494
|
4,481
|
|
FIGRE Trust Series 2026-HE4, Class A, 5.30%, 5/25/2056 (b) (f)
|
4,910
|
4,890
|
|
FirstKey Homes Trust
|
|
|
|
Series 2022-SFR3, Class C, 4.50%, 7/17/2038 (b)
|
3,466
|
3,463
|
|
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b)
|
4,000
|
3,973
|
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (b)
|
8,600
|
8,540
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f)
|
4,300
|
4,139
|
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f)
|
3,370
|
3,244
|
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (b) (f)
|
5,950
|
5,896
|
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b)
|
6,000
|
6,003
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2028 (b) (f)
|
5,000
|
4,933
|
|
Fortiva Retail Credit Master Note Business Trust Series 2025-TWO, Class A, 5.92%,
5/15/2031 (b)
|
4,320
|
4,320
|
|
Foundation Finance Trust Series 2024-2A, Class A, 4.60%, 3/15/2050 (b)
|
141
|
140
|
|
FW Energy Asset Issuer LLC 7.15%, 8/25/2044 ‡
|
2,972
|
3,005
|
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f)
|
11
|
10
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-3A, Class D, 6.42%, 6/15/2028 (b)
|
1,450
|
1,461
|
|
Series 2023-3A, Class C, 6.01%, 5/15/2029 (b)
|
1,300
|
1,306
|
|
Series 2025-2A, Class C, 5.11%, 1/15/2031 (b)
|
190
|
191
|
|
Series 2025-2A, Class D, 5.59%, 1/15/2031 (b)
|
6,980
|
7,054
|
|
Series 2024-3A, Class C, 5.21%, 2/18/2031 (b)
|
2,500
|
2,521
|
|
Series 2025-3A, Class D, 5.16%, 6/16/2031 (b)
|
2,970
|
2,962
|
|
Series 2025-4A, Class D, 5.13%, 8/15/2031 (b)
|
6,000
|
5,972
|
|
GM Financial Consumer Automobile Receivables Trust Series 2023-1, Class A3, 4.66%,
2/16/2028
|
21
|
21
|
|
Goodgreen
|
|
|
|
Series 2019-2A, Class A, 2.76%, 4/15/2055 (b)
|
972
|
836
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 (b)
|
2,338
|
2,313
|
|
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)
|
195
|
180
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
GoodLeap Home Improvement Solutions Trust Series 2026-1A, Class A, 5.31%, 12/20/2049 (b)
|
9,224
|
9,187
|
|
Grene Energy Senio 0.00%, 1/25/2027 ‡
|
198
|
160
|
|
GS Mortgage-Backed Securities Trust Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (b) (f)
|
4,830
|
4,855
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b)
|
518
|
483
|
|
Series 2018-1A, Class A2, 4.67%, 9/20/2048 (b)
|
55
|
53
|
|
HERO Funding Trust
|
|
|
|
Series 2016-2A, Class A, 3.75%, 9/20/2041 (b)
|
12
|
12
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b)
|
203
|
189
|
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b)
|
537
|
508
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-1D, Class A, 3.61%, 6/20/2034 (b)
|
24
|
24
|
|
Series 2024-2A, Class B, 5.65%, 3/25/2038 (b)
|
62
|
63
|
|
Series 2024-1B, Class A, 5.75%, 9/15/2039 (b)
|
43
|
44
|
|
Series 2025-2A, Class A, 4.54%, 5/25/2044 (b)
|
4,714
|
4,702
|
|
HINNT LLC Series 2024-A, Class B, 5.84%, 3/15/2043 (b)
|
1,709
|
1,726
|
|
Huntington Bank Auto Credit-Linked Notes Series 2025-2, Class B1, 4.84%, 9/20/2033 (b)
|
5,982
|
5,979
|
|
Identity Digital Capital LLC 6.79%, 3/20/2065 ‡
|
5,000
|
4,980
|
|
Invitation Homes Trust
|
|
|
|
Series 2024-SFR1, Class A, 4.00%, 9/17/2041 (b)
|
199
|
194
|
|
Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (b)
|
3,525
|
3,376
|
|
Jonah 0.00%, 12/10/2037 ‡ (b)
|
1,922
|
1,924
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2022-1, Class A1, 7.20%, 12/10/2037 (b)
|
1,011
|
1,024
|
|
Series 2025-1A, Class A1, 6.59%, 12/10/2040 (b)
|
2,348
|
2,348
|
|
KGS-Alpha SBA COOF Trust
|
|
|
|
Series 2012-2, Class A, IO, 0.90%, 8/25/2038 (b) (f)
|
530
|
8
|
|
Series 2013-2, Class A, IO, 1.77%, 3/25/2039 (b) (f)
|
443
|
11
|
|
Series 2015-2, Class A, IO, 2.75%, 7/25/2041 ‡ (b) (f)
|
366
|
35
|
|
Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031 (b)
|
1,795
|
1,771
|
|
Mariner Finance Issuance Trust Series 2024-AA, Class A, 5.13%, 9/22/2036 (b)
|
250
|
251
|
|
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A3, 4.51%, 11/15/2027
|
10
|
10
|
|
Mercury Financial Credit Card Master Trust
|
|
|
|
Series 2026-1A, Class A, 5.34%, 2/20/2032 (b)
|
9,060
|
9,052
|
|
Series 2026-1A, Class B, 6.31%, 2/20/2032 (b)
|
1,180
|
1,179
|
|
Series 2026-2A, Class B, 5.46%, 6/21/2032 (b)
|
10,287
|
10,312
|
|
Midcon Energy Asset Issuer LLC 5.31%, 2/27/2051 ‡ (f)
|
4,722
|
4,722
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b)
|
185
|
186
|
|
MMAF Equipment Finance LLC Series 2024-A, Class A4, 5.10%, 7/13/2049 (b)
|
1,206
|
1,227
|
|
MVW LLC
|
|
|
|
Series 2025-1A, Class B, 5.21%, 9/22/2042 (b)
|
3,266
|
3,276
|
|
Series 2026-1A, Class B, 4.97%, 3/20/2043 (b)
|
2,605
|
2,594
|
|
Series 2025-2A, Class B, 4.72%, 10/20/2044 (b)
|
6,326
|
6,248
|
|
Series 2025-2A, Class C, 4.97%, 10/20/2044 (b)
|
3,378
|
3,298
|
|
New Century Home Equity Loan Trust
|
|
|
|
Series 2003-5, Class AI6, 4.84%, 11/25/2033 (g)
|
148
|
146
|
|
Series 2003-5, Class AI7, 4.84%, 11/25/2033 (f)
|
—
|
—
|
|
Nexgen, Inc. 0.00%, 11/16/2033 ‡ (f)
|
3,498
|
3,494
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
4,000
|
4,000
|
|
NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/22/2055 (b)
|
7,016
|
6,825
|
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
779
|
772
|
|
OneMain Direct Auto Receivables Trust Series 2025-1A, Class D, 6.10%, 7/14/2037 (b)
|
4,000
|
4,062
|
|
Oportun Issuance Trust
|
|
|
|
Series 2025-D, Class B, 5.31%, 2/8/2033 (b)
|
8,375
|
8,362
|
|
Series 2025-B, Class B, 5.28%, 5/9/2033 (b)
|
2,000
|
2,002
|
|
PEAC Solutions Receivables LLC Series 2024-1A, Class A3, 5.64%, 11/20/2030 (b)
|
5,900
|
5,985
|
|
Perimeter Master Note Business Trust Series 2025-1A, Class A, 5.58%, 12/16/2030 (b)
|
6,550
|
6,512
|
|
Piper ABS Issuer LLC Series 2025-1A, Class A1, 5.29%, 1/15/2046 ‡
|
5,859
|
5,859
|
|
Porsche Innovative Lease Owner Trust Series 2024-1A, Class A4, 4.66%, 2/20/2030 (b)
|
4,230
|
4,244
|
|
Post Road Equipment Finance LLC Series 2026-1A, Class B, 4.91%, 2/15/2033 (b)
|
3,171
|
3,164
|
|
PowerPay Issuance Trust Series 2025-1A, Class A, 5.23%, 11/18/2041 (b)
|
4,351
|
4,334
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b)
|
4,000
|
3,957
|
|
Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b)
|
3,446
|
3,432
|
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (b)
|
2,685
|
2,676
|
|
Series 2024-SFR1, Class A, 3.35%, 2/17/2041 (b)
|
540
|
519
|
|
Series 2024-SFR1, Class E1, 3.85%, 2/17/2041 (b)
|
4,000
|
3,820
|
|
Series 2024-SFR3, Class A, 3.00%, 6/17/2041 (b)
|
238
|
225
|
|
Series 2024-SFR4, Class A, 3.10%, 7/17/2041 (b)
|
359
|
340
|
|
Series 2024-SFR5, Class A, 3.00%, 8/17/2041 (b)
|
247
|
233
|
|
Series 2024-SFR5, Class D, 3.38%, 8/17/2041 (b) (f)
|
1,892
|
1,757
|
|
Series 2025-SFR2, Class C, 3.56%, 4/17/2042 (b)
|
7,399
|
6,891
|
|
Series 2025-SFR3, Class B, 3.39%, 7/17/2042 (b)
|
4,250
|
3,959
|
|
Series 2025-SFR5, Class C, 4.00%, 10/17/2042 (b)
|
1,747
|
1,638
|
|
Series 2025-SFR5, Class D, 4.00%, 10/17/2042 (b)
|
2,536
|
2,366
|
|
Series 2025-SFR6, Class C, 4.00%, 12/17/2042 (b)
|
3,200
|
3,003
|
|
Series 2026-SFR2, Class A, 4.24%, 5/17/2043 (b)
|
5,145
|
4,967
|
|
Series 2026-SFR2, Class B, 4.32%, 5/17/2043 (b)
|
4,605
|
4,412
|
|
Purewest ABS Issuer LLC Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b)
|
4,938
|
4,919
|
|
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (g)
|
287
|
66
|
|
Renew (Cayman Islands)
|
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)
|
286
|
264
|
|
Series 2017-2A, Class A, 3.22%, 9/22/2053 (b)
|
23
|
20
|
|
Series 2024-1A, Class A, 6.21%, 11/20/2059 (b)
|
3,726
|
3,724
|
|
Research-Driven Pagaya Motor Asset Trust Series 2026-2A, Class A3, 5.38%, 2/26/2035 (b)
|
8,900
|
8,914
|
|
Revolution III Abs LLC 6.18%, 3/28/2046 ‡
|
4,189
|
4,189
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2024-2, Class C, 5.84%, 6/17/2030
|
120
|
122
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
4,182
|
4,206
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
5,800
|
5,837
|
|
Series 2022-7, Class C, 6.69%, 3/17/2031
|
123
|
125
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
4,700
|
4,816
|
|
Series 2024-4, Class D, 5.32%, 12/15/2031
|
1,550
|
1,560
|
|
Series 2025-4, Class C, 4.52%, 1/15/2032
|
2,740
|
2,729
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2024-1A, Class A3, 5.52%, 1/20/2032 (b)
|
186
|
188
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-1A, Class B, 5.56%, 4/20/2032 (b)
|
2,280
|
2,318
|
|
Series 2023-1A, Class C, 6.77%, 8/22/2033 (b)
|
3,815
|
3,926
|
|
Series 2025-1A, Class A3, 5.11%, 11/21/2033 (b)
|
3,500
|
3,542
|
|
Series 2025-2A, Class C, 4.82%, 6/20/2036 (b)
|
4,460
|
4,359
|
|
Series 2025-2A, Class D, 5.33%, 6/20/2036 (b)
|
2,705
|
2,648
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%,
1/25/2036 (g)
|
129
|
110
|
|
Sierra Timeshare Receivables Funding LLC Series 2024-2A, Class A, 5.14%, 6/20/2041 (b)
|
84
|
84
|
|
Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA, Class A3, 4.47%,
7/20/2028 (b)
|
100
|
100
|
|
Stream Innovations Issuer Trust Series 2024-1A, Class A, 6.27%, 7/15/2044 (b)
|
2,311
|
2,377
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2026-CES2, Class A1A, 4.72%, 2/25/2066 (b) (g)
|
4,068
|
4,015
|
|
Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (b) (g)
|
3,954
|
3,943
|
|
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 (b)
|
1,837
|
1,823
|
|
Ucielo 2025-assic 8.01%, 8/9/2033 ‡
|
125
|
125
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2016-1, Class A, 3.45%, 7/7/2028
|
433
|
418
|
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
487
|
472
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
1,064
|
1,018
|
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
685
|
666
|
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
613
|
592
|
|
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
927
|
846
|
|
Series 2024-1, Class AA, 5.45%, 2/15/2037
|
1,396
|
1,429
|
|
UOG ABS Issuer LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b)
|
1,249
|
1,279
|
|
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2026 ‡ (b)
|
4,080
|
1,267
|
|
VFI ABS LLC Series 2025-1A, Class B, 4.97%, 12/24/2030 (b)
|
1,590
|
1,589
|
|
vMobo, Inc. 7.46%, 7/18/2027 ‡
|
5,998
|
5,735
|
|
Western Funding Auto Loan Trust Series 2025-1, Class A, 4.75%, 7/16/2035 (b)
|
200
|
201
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b)
|
902
|
903
|
|
Series 2023-3A, Class C, 6.02%, 9/15/2028 (b)
|
2,815
|
2,828
|
|
Series 2023-4A, Class C, 6.64%, 11/15/2028 (b)
|
2,632
|
2,656
|
|
Series 2023-2A, Class D, 7.01%, 11/15/2028 (b)
|
2,897
|
2,931
|
|
Wingspire Equipment Finance LLC Series 2024-1A, Class B, 5.06%, 9/20/2032 (b)
|
4,000
|
4,022
|
|
Wolf Energy Asset Issuer LLC 5.70%, 7/25/2050 ‡
|
2,570
|
2,570
|
|
Total Asset-Backed Securities
(Cost $531,569)
|
|
528,786
|
|
Collateralized Mortgage Obligations — 4.8%
|
||
|
Al, 5.59%, 10/25/2029 ‡
|
7,000
|
7,000
|
|
Alternative Loan Trust
|
|
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
1,689
|
1,717
|
|
Series 2005-1CB, Class 1A6, IF, IO, 3.40%, 3/25/2035 (f)
|
219
|
23
|
|
Series 2005-22T1, Class A2, IF, IO, 1.37%, 6/25/2035 (f)
|
2,507
|
161
|
|
Series 2005-20CB, Class 3A8, IF, IO, 1.05%, 7/25/2035 (f)
|
812
|
30
|
|
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035
|
739
|
626
|
|
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035
|
46
|
16
|
|
Series 2005-37T1, Class A2, IF, IO, 1.35%, 9/25/2035 (f)
|
1,660
|
97
|
|
Series 2005-54CB, Class 1A2, IF, IO, 1.15%, 11/25/2035 (f)
|
1,205
|
51
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
478
|
359
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2005-57CB, Class 3A2, IF, IO, 1.40%, 12/25/2035 (f)
|
363
|
24
|
|
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035
|
204
|
179
|
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
816
|
368
|
|
Anchor Mortgage Trust
|
|
|
|
8.23%, 3/25/2031 ‡ (f)
|
3,435
|
3,444
|
|
Series 2025-RTL1, Class A1, 5.72%, 5/25/2040 (b) (g)
|
3,515
|
3,513
|
|
Banc of America Alternative Loan Trust
|
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019
|
5
|
2
|
|
Series 2006-4, Class 1A4, 6.00%, 5/25/2046
|
181
|
165
|
|
Banc of America Funding Trust
|
|
|
|
Series 2004-1, PO, 3/25/2034
|
36
|
25
|
|
Series 2004-2, Class 30, PO, 9/20/2034
|
54
|
42
|
|
Series 2005-6, Class 2A7, 5.50%, 10/25/2035
|
96
|
87
|
|
Series 2005-7, Class 30, PO, 11/25/2035
|
43
|
44
|
|
Series 2005-8, Class 30, PO, 1/25/2036
|
25
|
14
|
|
Series 2006-A, Class 3A2, 4.58%, 2/20/2036 (f)
|
69
|
62
|
|
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 5.27%, 2/25/2034 (f)
|
16
|
16
|
|
Bear Stearns ARM Trust
|
|
|
|
Series 2003-7, Class 3A, 6.25%, 10/25/2033 (f)
|
8
|
8
|
|
Series 2004-1, Class 12A1, 4.92%, 4/25/2034 (f)
|
97
|
86
|
|
Series 2004-2, Class 14A, 4.24%, 5/25/2034 (f)
|
16
|
15
|
|
Series 2006-1, Class A1, 5.95%, 2/25/2036 (f)
|
199
|
193
|
|
BVRT LLC Series 2025-1, Class B, 3.64%, 5/10/2033 ‡ (b) (f)
|
3,568
|
3,467
|
|
CAFL Issuer LP
|
|
|
|
Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (b) (g)
|
7,170
|
7,191
|
|
Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 (b) (g)
|
3,565
|
3,540
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust Series 2026-RTL1, Class A1,
5.38%, 12/25/2030 (b) (g)
|
4,341
|
4,323
|
|
CFIN LLC Series 2024-1A, Class A, 6.50%, 11/27/2028 ‡ (b)
|
4,700
|
4,730
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2004-HYB1, Class 2A, 4.82%, 5/20/2034 (f)
|
19
|
18
|
|
Series 2004-HYB3, Class 2A, 4.24%, 6/20/2034 (f)
|
70
|
67
|
|
Series 2004-7, Class 2A1, 4.77%, 6/25/2034 (f)
|
51
|
48
|
|
Series 2004-HYB6, Class A3, 5.23%, 11/20/2034 (f)
|
72
|
70
|
|
Series 2005-16, Class A23, 5.50%, 9/25/2035
|
167
|
99
|
|
Series 2005-22, Class 2A1, 4.78%, 11/25/2035 (f)
|
432
|
357
|
|
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
|
|
|
|
Series 2005-5, Class A, PO, 8/25/2035
|
23
|
14
|
|
Series 2005-8, Class A, PO, 11/25/2035
|
43
|
25
|
|
Citigroup Global Markets Mortgage Securities VII, Inc.
|
|
|
|
Series 2003-UP2, Class 1, PO, 6/25/2033
|
1
|
1
|
|
Series 2003-HYB1, Class A, 6.74%, 9/25/2033 (f)
|
8
|
7
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (f)
|
6
|
6
|
|
Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f)
|
71
|
70
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2003-1, Class 3, PO, 9/25/2033
|
5
|
4
|
|
Series 2003-1, Class 2, PO, 10/25/2033
|
—
|
—
|
|
Series 2003-1, Class 2A6, PO, 10/25/2033
|
3
|
3
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2003-1, Class 2A5, 5.25%, 10/25/2033
|
7
|
6
|
|
Series 2005-1, Class 2A1A, 3.11%, 2/25/2035 (f)
|
104
|
92
|
|
Series 2005-2, Class 2A11, 5.50%, 5/25/2035
|
59
|
59
|
|
Series 2005-5, Class 1A2, 4.11%, 8/25/2035 (f)
|
125
|
106
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland)
|
|
|
|
Series 2003-1, Class DB1, 6.68%, 2/25/2033 (f)
|
113
|
116
|
|
Series 2003-21, Class 1A4, 5.25%, 9/25/2033
|
23
|
23
|
|
Series 2003-25, Class 1P, PO, 10/25/2033
|
56
|
43
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2005-4, Class 3A18, 5.50%, 6/25/2035
|
349
|
348
|
|
Series 2005-4, Class 3A23, 5.50%, 6/25/2035
|
736
|
734
|
|
CVS Pass-Through Trust, 5.77%, 1/10/2033 (b)
|
22
|
22
|
|
EQV Abs Issuer I LLC, 5.85%, 12/15/2040 ‡
|
2,446
|
2,446
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-4, Class HT, 3.25%, 6/25/2057 (g)
|
5,287
|
4,818
|
|
Series 2017-4, Class M45T, 4.50%, 6/25/2057
|
2,372
|
2,313
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
2,102
|
1,887
|
|
Series 2019-3, Class MB, 3.50%, 10/25/2058
|
1,725
|
1,439
|
|
Series 2019-4, Class M55D, 4.00%, 2/25/2059
|
64
|
59
|
|
Series 2020-1, Class MA, 2.50%, 8/25/2059
|
3,991
|
3,707
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
2,765
|
2,390
|
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
4,121
|
3,450
|
|
Series 2024-1, Class MT, 3.00%, 11/25/2063
|
1,929
|
1,624
|
|
Series 2024-2, Class MT, 3.50%, 5/25/2064
|
6,019
|
5,272
|
|
FHLMC, REMIC
|
|
|
|
Series 1890, Class H, 7.50%, 9/15/2026
|
—
|
—
|
|
Series 1899, Class ZE, 8.00%, 9/15/2026
|
—
|
—
|
|
Series 1963, Class Z, 7.50%, 1/15/2027
|
1
|
1
|
|
Series 1935, Class FL, 4.46%, 2/15/2027 (f)
|
—
|
—
|
|
Series 1981, Class Z, 6.00%, 5/15/2027
|
—
|
—
|
|
Series 1970, Class PG, 7.25%, 7/15/2027
|
—
|
—
|
|
Series 1987, Class PE, 7.50%, 9/15/2027
|
2
|
2
|
|
Series 2019, Class Z, 6.50%, 12/15/2027
|
4
|
4
|
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
3
|
—
|
|
Series 2040, Class PE, 7.50%, 3/15/2028
|
5
|
5
|
|
Series 4251, Class KW, 2.50%, 4/15/2028
|
383
|
378
|
|
Series 2043, Class CJ, 6.50%, 4/15/2028
|
1
|
1
|
|
Series 2054, Class PV, 7.50%, 5/15/2028
|
3
|
3
|
|
Series 2075, Class PM, 6.25%, 8/15/2028
|
14
|
15
|
|
Series 2075, Class PH, 6.50%, 8/15/2028
|
13
|
13
|
|
Series 2086, Class GB, 6.00%, 9/15/2028
|
3
|
3
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
6
|
—
|
|
Series 2095, Class PE, 6.00%, 11/15/2028
|
17
|
17
|
|
Series 2125, Class JZ, 6.00%, 2/15/2029
|
8
|
8
|
|
Series 2136, Class PG, 6.00%, 3/15/2029
|
8
|
8
|
|
Series 2132, Class SB, IF, 14.24%, 3/15/2029 (f)
|
1
|
2
|
|
Series 2141, IO, 7.00%, 4/15/2029
|
1
|
—
|
|
Series 2169, Class TB, 7.00%, 6/15/2029
|
22
|
22
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
2
|
—
|
|
Series 2172, Class QC, 7.00%, 7/15/2029
|
20
|
20
|
|
Series 2176, Class OJ, 7.00%, 8/15/2029
|
18
|
18
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
3
|
3
|
|
Series 2209, Class TC, 8.00%, 1/15/2030
|
7
|
7
|
|
Series 2210, Class Z, 8.00%, 1/15/2030
|
17
|
18
|
|
Series 2224, Class CB, 8.00%, 3/15/2030
|
4
|
4
|
|
Series 2230, Class Z, 8.00%, 4/15/2030
|
9
|
9
|
|
Series 2234, Class PZ, 7.50%, 5/15/2030
|
9
|
9
|
|
Series 2247, Class Z, 7.50%, 8/15/2030
|
11
|
11
|
|
Series 2256, Class MC, 7.25%, 9/15/2030
|
7
|
7
|
|
Series 2259, Class ZM, 7.00%, 10/15/2030
|
20
|
21
|
|
Series 2262, Class Z, 7.50%, 10/15/2030
|
2
|
2
|
|
Series 2271, Class PC, 7.25%, 12/15/2030
|
22
|
23
|
|
Series 2296, Class PD, 7.00%, 3/15/2031
|
14
|
14
|
|
Series 2319, Class FD, 4.46%, 5/15/2031 (f)
|
1
|
1
|
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
5
|
5
|
|
Series 2325, Class PM, 7.00%, 6/15/2031
|
11
|
11
|
|
Series 2359, Class ZB, 8.50%, 6/15/2031
|
33
|
35
|
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
108
|
112
|
|
Series 2344, Class ZJ, 6.50%, 8/15/2031
|
14
|
14
|
|
Series 2345, Class NE, 6.50%, 8/15/2031
|
14
|
14
|
|
Series 2351, Class PZ, 6.50%, 8/15/2031
|
10
|
10
|
|
Series 2353, Class AZ, 6.00%, 9/15/2031
|
56
|
57
|
|
Series 2367, Class ME, 6.50%, 10/15/2031
|
27
|
28
|
|
Series 2396, Class FM, 4.21%, 12/15/2031 (f)
|
4
|
4
|
|
Series 2399, Class OH, 6.50%, 1/15/2032
|
23
|
24
|
|
Series 2399, Class TH, 6.50%, 1/15/2032
|
35
|
37
|
|
Series 2464, Class SI, IF, IO, 4.24%, 2/15/2032 (f)
|
62
|
5
|
|
Series 2410, Class QX, IF, IO, 4.89%, 2/15/2032 (f)
|
10
|
1
|
|
Series 2410, Class NG, 6.50%, 2/15/2032
|
28
|
29
|
|
Series 2420, Class XK, 6.50%, 2/15/2032
|
39
|
40
|
|
Series 2412, Class SP, IF, 8.59%, 2/15/2032 (f)
|
30
|
32
|
|
Series 2410, Class QS, IF, 9.73%, 2/15/2032 (f)
|
27
|
29
|
|
Series 2444, Class ES, IF, IO, 4.19%, 3/15/2032 (f)
|
23
|
2
|
|
Series 2450, Class SW, IF, IO, 4.24%, 3/15/2032 (f)
|
19
|
1
|
|
Series 2448, Class FT, 4.76%, 3/15/2032 (f)
|
6
|
6
|
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
66
|
68
|
|
Series 2423, Class MC, 7.00%, 3/15/2032
|
35
|
36
|
|
Series 2423, Class MT, 7.00%, 3/15/2032
|
28
|
29
|
|
Series 2435, Class CJ, 6.50%, 4/15/2032
|
37
|
39
|
|
Series 2434, Class TC, 7.00%, 4/15/2032
|
35
|
37
|
|
Series 2436, Class MC, 7.00%, 4/15/2032
|
11
|
11
|
|
Series 2455, Class GK, 6.50%, 5/15/2032
|
72
|
75
|
|
Series 2450, Class GZ, 7.00%, 5/15/2032
|
24
|
26
|
|
Series 2462, Class JG, 6.50%, 6/15/2032
|
36
|
38
|
|
Series 2466, Class PH, 6.50%, 6/15/2032
|
63
|
65
|
|
Series 2474, Class NR, 6.50%, 7/15/2032
|
37
|
38
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2484, Class LZ, 6.50%, 7/15/2032
|
38
|
39
|
|
Series 2505, Class D, 5.50%, 9/15/2032
|
13
|
13
|
|
Series 2500, Class MC, 6.00%, 9/15/2032
|
28
|
28
|
|
Series 2501, Class PW, 6.00%, 9/15/2032
|
7
|
7
|
|
Series 2835, Class QO, PO, 12/15/2032
|
5
|
5
|
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
80
|
82
|
|
Series 2544, Class HC, 6.00%, 12/15/2032
|
41
|
42
|
|
Series 2552, Class ME, 6.00%, 1/15/2033
|
92
|
94
|
|
Series 2567, Class QD, 6.00%, 2/15/2033
|
106
|
109
|
|
Series 2575, Class ME, 6.00%, 2/15/2033
|
239
|
246
|
|
Series 2596, Class QG, 6.00%, 3/15/2033
|
50
|
52
|
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
22
|
3
|
|
Series 2631, Class SA, IF, 7.96%, 6/15/2033 (f)
|
2
|
2
|
|
Series 2692, Class SC, IF, 5.77%, 7/15/2033 (f)
|
18
|
19
|
|
Series 4240, Class B, 3.00%, 8/15/2033
|
1,571
|
1,509
|
|
Series 2733, Class SB, IF, 4.63%, 10/15/2033 (f)
|
16
|
15
|
|
Series 2780, Class SY, IF, 8.23%, 11/15/2033 (f)
|
1
|
1
|
|
Series 3920, Class LP, 5.00%, 1/15/2034
|
210
|
213
|
|
Series 2744, Class PE, 5.50%, 2/15/2034
|
—
|
—
|
|
Series 3611, PO, 7/15/2034
|
17
|
15
|
|
Series 2990, Class UZ, 5.75%, 6/15/2035
|
554
|
574
|
|
Series 3004, Class EK, 5.50%, 7/15/2035
|
1,007
|
1,033
|
|
Series 3014, Class OD, PO, 8/15/2035
|
15
|
13
|
|
Series 3085, Class WF, 4.56%, 8/15/2035 (f)
|
38
|
38
|
|
Series 3012, Class ZE, 5.75%, 8/15/2035
|
39
|
40
|
|
Series 3047, Class OD, 5.50%, 10/15/2035
|
127
|
129
|
|
Series 3074, Class BH, 5.00%, 11/15/2035
|
34
|
34
|
|
Series 3064, Class MC, 5.50%, 11/15/2035
|
2,058
|
2,103
|
|
Series 3102, Class FB, 4.06%, 1/15/2036 (f)
|
3
|
3
|
|
Series 3102, Class HS, IF, 10.79%, 1/15/2036 (f)
|
5
|
6
|
|
Series 3117, Class EO, PO, 2/15/2036
|
88
|
79
|
|
Series 3117, Class OK, PO, 2/15/2036
|
55
|
48
|
|
Series 3134, PO, 3/15/2036
|
14
|
12
|
|
Series 3152, Class MO, PO, 3/15/2036
|
69
|
61
|
|
Series 3122, Class ZB, 6.00%, 3/15/2036
|
36
|
37
|
|
Series 3138, PO, 4/15/2036
|
74
|
64
|
|
Series 3607, Class BO, PO, 4/15/2036
|
38
|
34
|
|
Series 3219, Class DI, IO, 6.00%, 4/15/2036
|
49
|
8
|
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
300
|
312
|
|
Series 3149, Class SO, PO, 5/15/2036
|
13
|
10
|
|
Series 3233, Class OP, PO, 5/15/2036
|
21
|
17
|
|
Series 3171, Class MO, PO, 6/15/2036
|
7
|
6
|
|
Series 3179, Class OA, PO, 7/15/2036
|
54
|
47
|
|
Series 3194, Class SA, IF, IO, 3.34%, 7/15/2036 (f)
|
17
|
1
|
|
Series 3211, Class SO, PO, 9/15/2036
|
68
|
60
|
|
Series 3218, Class AO, PO, 9/15/2036
|
34
|
28
|
|
Series 3232, Class ST, IF, IO, 2.94%, 10/15/2036 (f)
|
108
|
7
|
|
Series 3256, PO, 12/15/2036
|
46
|
39
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4476, Class CM, 3.50%, 12/15/2036
|
188
|
183
|
|
Series 3261, Class OA, PO, 1/15/2037
|
56
|
47
|
|
Series 3260, Class CS, IF, IO, 2.38%, 1/15/2037 (f)
|
100
|
8
|
|
Series 3274, Class JO, PO, 2/15/2037
|
17
|
15
|
|
Series 3275, Class FL, 4.20%, 2/15/2037 (f)
|
13
|
13
|
|
Series 3290, Class SB, IF, IO, 2.69%, 3/15/2037 (f)
|
137
|
10
|
|
Series 3318, Class AO, PO, 5/15/2037
|
2
|
2
|
|
Series 3607, PO, 5/15/2037
|
69
|
57
|
|
Series 3315, Class HZ, 6.00%, 5/15/2037
|
57
|
59
|
|
Series 3326, Class JO, PO, 6/15/2037
|
5
|
4
|
|
Series 3331, PO, 6/15/2037
|
58
|
50
|
|
Series 3607, Class OP, PO, 7/15/2037
|
162
|
139
|
|
Series 4048, Class FJ, 4.17%, 7/15/2037 (f)
|
150
|
148
|
|
Series 3385, Class SN, IF, IO, 2.24%, 11/15/2037 (f)
|
22
|
1
|
|
Series 3387, Class SA, IF, IO, 2.66%, 11/15/2037 (f)
|
86
|
6
|
|
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (g)
|
310
|
2
|
|
Series 3404, Class SC, IF, IO, 2.24%, 1/15/2038 (f)
|
122
|
10
|
|
Series 3424, Class PI, IF, IO, 3.04%, 4/15/2038 (f)
|
107
|
10
|
|
Series 3461, Class LZ, 6.00%, 6/15/2038
|
4
|
4
|
|
Series 3481, Class SJ, IF, IO, 2.09%, 8/15/2038 (f)
|
120
|
9
|
|
Series 3511, Class SA, IF, IO, 2.24%, 2/15/2039 (f)
|
87
|
6
|
|
Series 4701, Class CH, 3.00%, 7/15/2039
|
74
|
71
|
|
Series 3549, Class FA, 4.96%, 7/15/2039 (f)
|
6
|
7
|
|
Series 3621, Class BO, PO, 1/15/2040
|
52
|
45
|
|
Series 3632, Class BS, IF, 4.98%, 2/15/2040 (f)
|
16
|
16
|
|
Series 3747, Class PY, 4.00%, 10/15/2040
|
461
|
449
|
|
Series 3925, Class FL, 4.21%, 1/15/2041 (f)
|
7
|
7
|
|
Series 3844, Class DB, 4.50%, 4/15/2041
|
31
|
31
|
|
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f)
|
49
|
46
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f)
|
159
|
155
|
|
Series 3871, Class JB, 5.50%, 6/15/2041
|
19
|
20
|
|
Series 3924, Class LC, 4.00%, 9/15/2041
|
173
|
166
|
|
Series 3957, Class B, 4.00%, 11/15/2041
|
56
|
54
|
|
Series 3966, Class NA, 4.00%, 12/15/2041
|
149
|
144
|
|
Series 4217, Class KY, 3.00%, 6/15/2043
|
2,300
|
2,037
|
|
Series 4928, Class PB, 2.50%, 9/25/2048
|
314
|
291
|
|
Series 4902, Class BA, 3.00%, 1/25/2049
|
198
|
181
|
|
Series 4865, Class PE, 3.00%, 3/15/2049
|
160
|
153
|
|
FHLMC, STRIPS
|
|
|
|
Series 233, Class 11, IO, 5.00%, 9/15/2035
|
110
|
17
|
|
Series 233, Class 13, IO, 5.00%, 9/15/2035
|
151
|
21
|
|
Series 269, Class 30, 3.00%, 8/15/2042
|
31
|
29
|
|
Series 299, Class 300, 3.00%, 1/15/2043
|
777
|
709
|
|
Series 310, PO, 9/15/2043
|
451
|
348
|
|
Series 323, Class 300, 3.00%, 1/15/2044
|
644
|
584
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-41, Class 3A, 4.44%, 7/25/2032 (f)
|
152
|
139
|
|
Series T-76, Class 2A, 2.11%, 10/25/2037 (f)
|
404
|
369
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (f)
|
130
|
128
|
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
712
|
745
|
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
199
|
203
|
|
Series T-58, Class A, PO, 9/25/2043
|
42
|
35
|
|
Series T-59, Class 1AP, PO, 10/25/2043
|
107
|
54
|
|
First Horizon Alternative Mortgage Securities Trust
|
|
|
|
Series 2004-AA4, Class A1, 4.70%, 10/25/2034 (f)
|
45
|
45
|
|
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035
|
303
|
126
|
|
Series 2007-FA4, Class 1A2, IF, IO, 1.95%, 8/25/2037 (f)
|
785
|
52
|
|
FNMA REMIC Trust Series 2007-42, Class AO, PO, 5/25/2037
|
3
|
2
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033
|
38
|
40
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
47
|
48
|
|
Series 2004-W15, Class 2AF, 3.98%, 8/25/2044 (f)
|
78
|
77
|
|
Series 2005-W3, Class 2AF, 3.95%, 3/25/2045 (f)
|
214
|
212
|
|
Series 2006-W2, Class 1AF1, 3.95%, 2/25/2046 (f)
|
68
|
67
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
4,802
|
4,738
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 2002-T19, Class A2, 7.00%, 7/25/2042
|
297
|
311
|
|
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044
|
154
|
157
|
|
FNMA, REMIC
|
|
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
—
|
—
|
|
Series 1997-29, Class J, 7.50%, 4/20/2027
|
1
|
1
|
|
Series 1997-39, Class PD, 7.50%, 5/20/2027
|
3
|
3
|
|
Series 2012-98, Class KY, 3.50%, 9/25/2027
|
224
|
223
|
|
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027
|
2
|
—
|
|
Series 1998-36, Class ZB, 6.00%, 7/18/2028
|
4
|
4
|
|
Series 1999-17, Class C, 6.35%, 4/25/2029
|
3
|
3
|
|
Series 1999-62, Class PB, 7.50%, 12/18/2029
|
3
|
3
|
|
Series 2000-2, Class ZE, 7.50%, 2/25/2030
|
14
|
14
|
|
Series 2010-136, Class BA, 3.50%, 12/25/2030
|
150
|
147
|
|
Series 2000-52, IO, 8.50%, 1/25/2031
|
3
|
—
|
|
Series 2001-7, Class PF, 7.00%, 3/25/2031
|
3
|
3
|
|
Series 2011-31, Class DB, 3.50%, 4/25/2031
|
395
|
386
|
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
26
|
3
|
|
Series 2001-30, Class PM, 7.00%, 7/25/2031
|
20
|
20
|
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
26
|
27
|
|
Series 2001-49, Class Z, 6.50%, 9/25/2031
|
8
|
9
|
|
Series 2001-44, Class MY, 7.00%, 9/25/2031
|
54
|
56
|
|
Series 2001-44, Class PD, 7.00%, 9/25/2031
|
5
|
5
|
|
Series 2001-44, Class PU, 7.00%, 9/25/2031
|
10
|
10
|
|
Series 2001-52, Class KB, 6.50%, 10/25/2031
|
9
|
10
|
|
Series 2003-52, Class SX, IF, 11.77%, 10/25/2031 (f)
|
12
|
13
|
|
Series 2001-61, Class Z, 7.00%, 11/25/2031
|
81
|
84
|
|
Series 2001-72, Class SX, IF, 8.79%, 12/25/2031 (f)
|
1
|
1
|
|
Series 2002-1, Class SA, IF, 13.08%, 2/25/2032 (f)
|
5
|
6
|
|
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f)
|
33
|
—
|
|
Series 2002-11, Class QF, 4.23%, 3/25/2032 (f)
|
1
|
1
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f)
|
1
|
1
|
|
Series 2002-21, Class LO, PO, 4/25/2032
|
2
|
2
|
|
Series 2002-21, Class PE, 6.50%, 4/25/2032
|
21
|
22
|
|
Series 2002-28, Class PK, 6.50%, 5/25/2032
|
53
|
54
|
|
Series 2012-66, Class CB, 3.00%, 6/25/2032
|
1,366
|
1,318
|
|
Series 2002-37, Class Z, 6.50%, 6/25/2032
|
16
|
17
|
|
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032
|
33
|
2
|
|
Series 2002-51, Class FZ, 4.23%, 8/25/2032 (f)
|
3
|
3
|
|
Series 2002-48, Class GH, 6.50%, 8/25/2032
|
76
|
79
|
|
Series 2002-52, Class FG, 4.23%, 9/25/2032 (f)
|
2
|
2
|
|
Series 2002-68, Class FT, 4.06%, 10/18/2032 (f)
|
—
|
—
|
|
Series 2002-64, Class FE, 4.11%, 10/18/2032 (f)
|
—
|
—
|
|
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f)
|
9
|
9
|
|
Series 2004-59, Class BG, PO, 12/25/2032
|
30
|
27
|
|
Series 2002-77, Class S, IF, 7.65%, 12/25/2032 (f)
|
13
|
13
|
|
Series 2002-95, Class FT, 4.23%, 1/25/2033 (f)
|
1
|
1
|
|
Series 2002-97, Class GB, 5.50%, 1/25/2033
|
3
|
3
|
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
323
|
317
|
|
Series 2003-35, Class UC, 3.75%, 5/25/2033
|
—
|
—
|
|
Series 2003-42, Class GB, 4.00%, 5/25/2033
|
26
|
25
|
|
Series 2003-34, Class AX, 6.00%, 5/25/2033
|
51
|
52
|
|
Series 2003-34, Class ED, 6.00%, 5/25/2033
|
235
|
241
|
|
Series 2003-39, IO, 6.00%, 5/25/2033 (f)
|
11
|
1
|
|
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033
|
88
|
11
|
|
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033
|
175
|
12
|
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
48
|
49
|
|
Series 2003-64, Class SX, IF, 4.34%, 7/25/2033 (f)
|
12
|
12
|
|
Series 2003-87, Class SL, IF, 5.37%, 7/25/2033 (f)
|
21
|
21
|
|
Series 2003-132, Class OA, PO, 8/25/2033
|
1
|
1
|
|
Series 2003-71, Class DS, IF, 2.45%, 8/25/2033 (f)
|
117
|
107
|
|
Series 2003-74, Class SH, IF, 3.46%, 8/25/2033 (f)
|
27
|
25
|
|
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033
|
113
|
12
|
|
Series 2003-91, Class SD, IF, 6.29%, 9/25/2033 (f)
|
20
|
20
|
|
Series 2013-101, Class AE, 3.00%, 10/25/2033
|
1,384
|
1,330
|
|
Series 2013-101, Class E, 3.00%, 10/25/2033
|
1,351
|
1,299
|
|
Series 2013-108, Class GU, 3.00%, 10/25/2033
|
1,672
|
1,601
|
|
Series 2003-116, Class SB, IF, IO, 3.87%, 11/25/2033 (f)
|
110
|
8
|
|
Series 2006-44, Class P, PO, 12/25/2033
|
263
|
231
|
|
Series 2003-131, Class CH, 5.50%, 1/25/2034
|
15
|
16
|
|
Series 2003-130, Class SX, IF, 5.93%, 1/25/2034 (f)
|
1
|
1
|
|
Series 2004-25, Class SA, IF, 9.28%, 4/25/2034 (f)
|
36
|
38
|
|
Series 2004-46, Class SK, IF, 6.25%, 5/25/2034 (f)
|
56
|
59
|
|
Series 2004-46, Class QB, IF, 9.09%, 5/25/2034 (f)
|
41
|
43
|
|
Series 2004-36, Class SA, IF, 9.28%, 5/25/2034 (f)
|
106
|
114
|
|
Series 2004-51, Class SY, IF, 6.79%, 7/25/2034 (f)
|
22
|
22
|
|
Series 2005-56, Class S, IF, IO, 2.98%, 7/25/2035 (f)
|
131
|
8
|
|
Series 2005-66, Class SG, IF, 8.06%, 7/25/2035 (f)
|
42
|
45
|
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
83
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2005-72, Class SB, IF, 7.56%, 8/25/2035 (f)
|
1
|
1
|
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
185
|
188
|
|
Series 2005-110, Class GL, 5.50%, 12/25/2035
|
1,019
|
1,039
|
|
Series 2005-109, Class PC, 6.00%, 12/25/2035
|
42
|
43
|
|
Series 2006-16, Class OA, PO, 3/25/2036
|
36
|
32
|
|
Series 2006-22, Class AO, PO, 4/25/2036
|
67
|
60
|
|
Series 2006-23, Class KO, PO, 4/25/2036
|
8
|
7
|
|
Series 2006-44, Class GO, PO, 6/25/2036
|
101
|
90
|
|
Series 2006-53, Class US, IF, IO, 2.85%, 6/25/2036 (f)
|
148
|
10
|
|
Series 2006-56, PO, 7/25/2036
|
69
|
62
|
|
Series 2006-58, PO, 7/25/2036
|
46
|
40
|
|
Series 2006-58, Class AP, PO, 7/25/2036
|
100
|
81
|
|
Series 2006-65, Class QO, PO, 7/25/2036
|
67
|
58
|
|
Series 2006-56, Class FC, 4.02%, 7/25/2036 (f)
|
124
|
123
|
|
Series 2006-58, Class FL, 4.19%, 7/25/2036 (f)
|
11
|
11
|
|
Series 2006-60, Class DZ, 6.50%, 7/25/2036
|
1,595
|
1,664
|
|
Series 2011-19, Class ZY, 6.50%, 7/25/2036
|
5
|
6
|
|
Series 2006-72, Class TO, PO, 8/25/2036
|
12
|
10
|
|
Series 2006-79, Class DO, PO, 8/25/2036
|
50
|
42
|
|
Series 2007-7, Class SG, IF, IO, 2.77%, 8/25/2036 (f)
|
746
|
66
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
88
|
90
|
|
Series 2006-90, Class AO, PO, 9/25/2036
|
23
|
21
|
|
Series 2008-42, Class AO, PO, 9/25/2036
|
24
|
21
|
|
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036
|
278
|
44
|
|
Series 2006-109, PO, 11/25/2036
|
25
|
22
|
|
Series 2006-110, PO, 11/25/2036
|
120
|
105
|
|
Series 2006-111, Class EO, PO, 11/25/2036
|
16
|
13
|
|
Series 2006-124, Class HB, 6.10%, 11/25/2036 (f)
|
274
|
289
|
|
Series 2006-119, PO, 12/25/2036
|
19
|
17
|
|
Series 2006-118, Class A2, 3.82%, 12/25/2036 (f)
|
75
|
74
|
|
Series 2009-70, Class CO, PO, 1/25/2037
|
133
|
109
|
|
Series 2006-128, Class BP, 5.50%, 1/25/2037
|
10
|
10
|
|
Series 2007-14, Class ES, IF, IO, 2.71%, 3/25/2037 (f)
|
199
|
18
|
|
Series 2007-77, Class FG, 4.23%, 3/25/2037 (f)
|
21
|
20
|
|
Series 2007-16, Class FC, 4.48%, 3/25/2037 (f)
|
28
|
28
|
|
Series 2007-14, Class GZ, 5.50%, 3/25/2037
|
4
|
4
|
|
Series 2007-48, PO, 5/25/2037
|
26
|
23
|
|
Series 2007-60, Class AX, IF, IO, 3.42%, 7/25/2037 (f)
|
557
|
67
|
|
Series 2007-81, Class GE, 6.00%, 8/25/2037
|
70
|
73
|
|
Series 2007-88, Class VI, IF, IO, 2.81%, 9/25/2037 (f)
|
392
|
28
|
|
Series 2007-91, Class ES, IF, IO, 2.73%, 10/25/2037 (f)
|
298
|
27
|
|
Series 2007-116, Class HI, IO, 1.83%, 1/25/2038 (f)
|
150
|
10
|
|
Series 2008-1, Class BI, IF, IO, 2.18%, 2/25/2038 (f)
|
98
|
7
|
|
Series 2008-16, Class IS, IF, IO, 2.47%, 3/25/2038 (f)
|
44
|
3
|
|
Series 2008-10, Class XI, IF, IO, 2.50%, 3/25/2038 (f)
|
104
|
8
|
|
Series 2008-27, Class SN, IF, IO, 3.17%, 4/25/2038 (f)
|
52
|
5
|
|
Series 2008-44, PO, 5/25/2038
|
4
|
4
|
|
Series 2008-53, Class CI, IF, IO, 3.47%, 7/25/2038 (f)
|
52
|
5
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-80, Class SA, IF, IO, 2.12%, 9/25/2038 (f)
|
139
|
10
|
|
Series 2008-81, Class SB, IF, IO, 2.12%, 9/25/2038 (f)
|
189
|
12
|
|
Series 2009-6, Class GS, IF, IO, 2.82%, 2/25/2039 (f)
|
118
|
8
|
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
4
|
1
|
|
Series 2009-60, Class HT, 6.00%, 8/25/2039
|
124
|
129
|
|
Series 2009-99, Class SC, IF, IO, 2.45%, 12/25/2039 (f)
|
37
|
2
|
|
Series 2009-103, Class MB, 6.06%, 12/25/2039 (f)
|
60
|
60
|
|
Series 2009-112, Class ST, IF, IO, 2.52%, 1/25/2040 (f)
|
5
|
—
|
|
Series 2010-49, Class SC, IF, 5.21%, 3/25/2040 (f)
|
90
|
87
|
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
27
|
27
|
|
Series 2010-80, Class HZ, 5.00%, 7/25/2040
|
210
|
211
|
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
74
|
75
|
|
Series 2010-147, Class SA, IF, IO, 2.80%, 1/25/2041 (f)
|
416
|
41
|
|
Series 2011-30, Class LS, IO, 1.87%, 4/25/2041 (f)
|
126
|
10
|
|
Series 2011-75, Class FA, 4.28%, 8/25/2041 (f)
|
20
|
20
|
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
104
|
109
|
|
Series 2011-130, Class CA, 6.00%, 12/25/2041
|
306
|
319
|
|
Series 2012-83, Class AC, 3.00%, 8/25/2042
|
192
|
173
|
|
Series 2013-2, Class AD, 1.50%, 2/25/2043
|
118
|
108
|
|
Series 2013-6, Class PY, 2.00%, 2/25/2043
|
97
|
64
|
|
Series 2013-81, Class TA, 3.00%, 2/25/2043
|
238
|
236
|
|
Series 2017-49, Class LA, 3.00%, 6/25/2043
|
89
|
87
|
|
Series 2013-92, PO, 9/25/2043
|
367
|
281
|
|
Series 2013-90, Class PM, 3.50%, 9/25/2043
|
1,694
|
1,563
|
|
Series 2013-101, Class DO, PO, 10/25/2043
|
654
|
475
|
|
Series 2013-104, Class CY, 5.00%, 10/25/2043
|
250
|
252
|
|
Series 2013-128, PO, 12/25/2043
|
670
|
517
|
|
Series 2018-3, Class LP, 3.00%, 2/25/2047
|
152
|
144
|
|
Series 2018-47, Class VC, 3.00%, 12/25/2047
|
320
|
316
|
|
Series 2019-25, Class PA, 3.00%, 5/25/2048
|
94
|
87
|
|
Series 2019-60, Class DA, 2.50%, 3/25/2049
|
205
|
182
|
|
Series 2020-46, Class KB, 1.25%, 6/25/2050
|
7,496
|
5,777
|
|
Series 2011-2, Class WA, 5.79%, 2/25/2051 (f)
|
59
|
61
|
|
Series 2021-95, Class GA, 1.88%, 3/25/2051
|
7,166
|
5,906
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2007-W7, Class 1A4, IF, 16.82%, 7/25/2037 (f)
|
4
|
5
|
|
Series 2003-W4, Class 2A, 4.96%, 10/25/2042 (f)
|
21
|
21
|
|
Series 2003-W1, Class 1A1, 4.67%, 12/25/2042 (f)
|
183
|
182
|
|
Series 2003-W1, Class 2A, 5.03%, 12/25/2042 (f)
|
83
|
82
|
|
Series 2003-W10, Class 1A4, 4.51%, 6/25/2043
|
8
|
8
|
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
95
|
97
|
|
FNMA, REMIC, Whole Loan
|
|
|
|
Series 2007-101, Class A2, 4.59%, 6/27/2036 (f)
|
136
|
138
|
|
Series 2007-54, Class FA, 4.13%, 6/25/2037 (f)
|
75
|
74
|
|
Series 2007-106, Class A7, 6.05%, 10/25/2037 (f)
|
39
|
39
|
|
Series 2003-18, Class X1, IO, 0.47%, 12/25/2042 (f)
|
580
|
4
|
|
FNMA, STRIPS
|
|
|
|
Series 318, Class 1, PO, 1/25/2032
|
3
|
3
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 329, Class 1, PO, 1/25/2033
|
10
|
9
|
|
Series 345, Class 6, IO, 5.00%, 12/25/2033 (f)
|
16
|
2
|
|
Series 351, Class 7, IO, 5.00%, 4/25/2034 (f)
|
55
|
6
|
|
Series 355, Class 11, IO, 6.00%, 7/25/2034
|
52
|
6
|
|
Series 365, Class 8, IO, 5.50%, 5/25/2036
|
78
|
13
|
|
Series 374, Class 5, IO, 5.50%, 8/25/2036
|
40
|
6
|
|
Series 393, Class 6, IO, 5.50%, 4/25/2037
|
11
|
1
|
|
Series 383, Class 32, IO, 6.00%, 1/25/2038
|
20
|
4
|
|
Series 383, Class 33, IO, 6.00%, 1/25/2038
|
53
|
9
|
|
FNMA, Whole Loan Series 2004-W15, Class 1A1, 6.00%, 8/25/2044
|
5
|
5
|
|
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.03%, 6/19/2035 (f)
|
155
|
152
|
|
GNMA
|
|
|
|
Series 2001-35, Class SA, IF, IO, 4.51%, 8/16/2031 (f)
|
19
|
—
|
|
Series 2002-52, Class GH, 6.50%, 7/20/2032
|
112
|
112
|
|
Series 2003-58, Class BE, 6.50%, 1/20/2033
|
162
|
161
|
|
Series 2003-46, Class MG, 6.50%, 5/20/2033
|
118
|
118
|
|
Series 2003-52, Class AP, PO, 6/16/2033
|
33
|
29
|
|
Series 2003-112, Class SA, IF, IO, 2.81%, 12/16/2033 (f)
|
136
|
1
|
|
Series 2004-16, Class GC, 5.50%, 2/20/2034
|
29
|
29
|
|
Series 2004-28, Class S, IF, 9.38%, 4/16/2034 (f)
|
48
|
52
|
|
Series 2004-90, Class SI, IF, IO, 2.38%, 10/20/2034 (f)
|
181
|
5
|
|
Series 2004-89, Class BS, IF, 5.71%, 10/20/2034 (f)
|
2
|
2
|
|
Series 2004-98, Class SB, IF, 10.94%, 11/20/2034 (f)
|
20
|
21
|
|
Series 2005-68, Class DP, IF, 7.42%, 6/17/2035 (f)
|
12
|
13
|
|
Series 2010-14, Class CO, PO, 8/20/2035
|
63
|
53
|
|
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (f)
|
289
|
22
|
|
Series 2005-74, Class HB, 7.50%, 9/16/2035
|
—
|
—
|
|
Series 2005-74, Class HC, 7.50%, 9/16/2035
|
3
|
3
|
|
Series 2005-68, Class KI, IF, IO, 2.58%, 9/20/2035 (f)
|
428
|
29
|
|
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035
|
61
|
4
|
|
Series 2006-16, Class OP, PO, 3/20/2036
|
30
|
25
|
|
Series 2006-38, Class ZK, 6.50%, 8/20/2036
|
361
|
360
|
|
Series 2006-59, Class SD, IF, IO, 2.98%, 10/20/2036 (f)
|
115
|
6
|
|
Series 2011-22, Class WA, 5.75%, 2/20/2037 (f)
|
126
|
128
|
|
Series 2007-9, Class CI, IF, IO, 2.48%, 3/20/2037 (f)
|
11
|
1
|
|
Series 2007-17, Class JO, PO, 4/16/2037
|
30
|
24
|
|
Series 2007-17, Class JI, IF, IO, 3.07%, 4/16/2037 (f)
|
277
|
17
|
|
Series 2007-19, Class SD, IF, IO, 2.48%, 4/20/2037 (f)
|
146
|
1
|
|
Series 2007-28, Class BO, PO, 5/20/2037
|
30
|
24
|
|
Series 2007-26, Class SC, IF, IO, 2.48%, 5/20/2037 (f)
|
123
|
1
|
|
Series 2007-27, Class SA, IF, IO, 2.48%, 5/20/2037 (f)
|
126
|
1
|
|
Series 2007-36, Class SE, IF, IO, 2.73%, 6/16/2037 (f)
|
72
|
—
|
|
Series 2007-47, Class PH, 6.00%, 7/16/2037
|
1,031
|
1,056
|
|
Series 2007-40, Class SB, IF, IO, 3.03%, 7/20/2037 (f)
|
272
|
5
|
|
Series 2007-42, Class SB, IF, IO, 3.03%, 7/20/2037 (f)
|
162
|
3
|
|
Series 2007-53, Class SW, IF, 9.05%, 9/20/2037 (f)
|
14
|
15
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
43
|
36
|
|
Series 2007-67, Class EI, IF, IO, 0.02%, 11/20/2037 (f)
|
464
|
—
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2007-67, Class GI, IF, IO, 0.02%, 11/20/2037 (f)
|
1,391
|
—
|
|
Series 2007-73, Class MI, IF, IO, 2.28%, 11/20/2037 (f)
|
91
|
—
|
|
Series 2007-76, Class SA, IF, IO, 2.81%, 11/20/2037 (f)
|
181
|
1
|
|
Series 2007-72, Class US, IF, IO, 2.83%, 11/20/2037 (f)
|
87
|
1
|
|
Series 2007-79, Class SY, IF, IO, 2.83%, 12/20/2037 (f)
|
79
|
—
|
|
Series 2008-2, Class NS, IF, IO, 2.80%, 1/16/2038 (f)
|
186
|
8
|
|
Series 2008-2, Class MS, IF, IO, 3.42%, 1/16/2038 (f)
|
56
|
3
|
|
Series 2008-10, Class S, IF, IO, 2.11%, 2/20/2038 (f)
|
98
|
—
|
|
Series 2009-106, Class ST, IF, IO, 2.28%, 2/20/2038 (f)
|
21
|
—
|
|
Series 2008-36, Class SH, IF, IO, 2.58%, 4/20/2038 (f)
|
137
|
1
|
|
Series 2008-36, Class ZA, 4.25%, 4/20/2038
|
237
|
232
|
|
Series 2008-40, Class SA, IF, IO, 2.66%, 5/16/2038 (f)
|
574
|
22
|
|
Series 2008-38, Class PL, 5.50%, 5/20/2038
|
41
|
41
|
|
Series 2008-55, Class SA, IF, IO, 2.48%, 6/20/2038 (f)
|
77
|
—
|
|
Series 2008-71, Class SC, IF, IO, 2.28%, 8/20/2038 (f)
|
34
|
—
|
|
Series 2008-65, Class PG, 6.00%, 8/20/2038
|
20
|
20
|
|
Series 2009-25, Class SE, IF, IO, 3.88%, 9/20/2038 (f)
|
68
|
1
|
|
Series 2008-93, Class AS, IF, IO, 1.98%, 12/20/2038 (f)
|
100
|
4
|
|
Series 2009-6, Class SA, IF, IO, 2.36%, 2/16/2039 (f)
|
97
|
—
|
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
206
|
2
|
|
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039
|
94
|
4
|
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
88
|
4
|
|
Series 2009-22, Class SA, IF, IO, 2.55%, 4/20/2039 (f)
|
155
|
10
|
|
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039
|
44
|
2
|
|
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039
|
47
|
3
|
|
Series 2009-43, Class SA, IF, IO, 2.23%, 6/20/2039 (f)
|
88
|
3
|
|
Series 2009-72, Class SM, IF, IO, 2.51%, 8/16/2039 (f)
|
174
|
11
|
|
Series 2010-31, Class NO, PO, 3/20/2040
|
320
|
276
|
|
Series 2013-75, Class WA, 5.06%, 6/20/2040 (f)
|
382
|
387
|
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
47
|
49
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
350
|
301
|
|
Series 2011-75, Class SM, IF, IO, 2.88%, 5/20/2041 (f)
|
224
|
13
|
|
Series 2014-188, Class W, 4.54%, 10/20/2041 (f)
|
172
|
172
|
|
Series 2012-141, Class WC, 3.74%, 1/20/2042 (f)
|
122
|
115
|
|
Series 2012-96, Class QJ, 2.00%, 8/20/2042
|
113
|
80
|
|
Series 2013-54, Class WA, 4.89%, 11/20/2042 (f)
|
727
|
736
|
|
Series 2013-91, Class WA, 4.40%, 4/20/2043 (f)
|
397
|
379
|
|
Series 2013-116, Class JY, 4.00%, 8/16/2043
|
1,300
|
1,220
|
|
Series 2018-160, Class PA, 3.50%, 7/20/2046
|
406
|
402
|
|
Series 2024-110, Class JC, 3.00%, 9/20/2047
|
11,860
|
11,280
|
|
Series 2018-5, Class AB, 3.00%, 1/20/2048
|
90
|
81
|
|
Series 2025-6, Class A, 3.50%, 11/20/2050
|
5,203
|
4,895
|
|
Series 2022-9, Class P, 2.00%, 9/20/2051
|
4,803
|
4,226
|
|
Series 2022-154, Class JZ, 4.50%, 9/20/2052
|
1,474
|
1,300
|
|
Series 2023-115, Class TS, IF, 7.91%, 6/20/2053 (f)
|
3,405
|
3,384
|
|
Series 2012-H24, Class FG, 4.21%, 4/20/2060 (f)
|
1
|
1
|
|
Series 2013-H03, Class FA, 4.08%, 8/20/2060 (f)
|
—
|
—
|
|
Series 2012-H21, Class CF, 4.48%, 5/20/2061 (f)
|
—
|
—
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-H05, Class FB, 4.16%, 2/20/2062 (f)
|
10
|
10
|
|
Series 2012-H15, Class FA, 4.23%, 5/20/2062 (f)
|
—
|
—
|
|
Series 2012-H26, Class MA, 4.33%, 7/20/2062 (f)
|
3
|
3
|
|
Series 2012-H28, Class FA, 4.36%, 9/20/2062 (f)
|
1
|
1
|
|
Series 2012-H29, Class FA, 4.29%, 10/20/2062 (f)
|
31
|
31
|
|
Series 2012-H31, Class FD, 4.12%, 12/20/2062 (f)
|
111
|
111
|
|
Series 2013-H01, Class FA, 1.65%, 1/20/2063
|
—
|
—
|
|
Series 2013-H04, Class BA, 1.65%, 2/20/2063
|
2
|
2
|
|
Series 2013-H08, Class FC, 4.23%, 2/20/2063 (f)
|
102
|
102
|
|
Series 2013-H07, Class HA, 4.19%, 3/20/2063 (f)
|
85
|
85
|
|
Series 2013-H09, Class HA, 1.65%, 4/20/2063
|
10
|
10
|
|
Series 2013-H18, Class JA, 4.38%, 8/20/2063 (f)
|
118
|
119
|
|
Series 2014-H01, Class FD, 4.43%, 1/20/2064 (f)
|
44
|
44
|
|
Series 2014-H09, Class TA, 4.38%, 4/20/2064 (f)
|
54
|
54
|
|
Series 2024-57, Class PT, 4.50%, 4/20/2064
|
3,348
|
3,214
|
|
Series 2015-H15, Class FD, 4.22%, 6/20/2065 (f)
|
183
|
183
|
|
Series 2015-H15, Class FJ, 4.22%, 6/20/2065 (f)
|
336
|
336
|
|
Series 2015-H16, Class FG, 4.22%, 7/20/2065 (f)
|
314
|
313
|
|
Series 2015-H23, Class FB, 4.30%, 9/20/2065 (f)
|
271
|
271
|
|
Series 2015-H32, Class FH, 4.44%, 12/20/2065 (f)
|
204
|
204
|
|
Series 2017-H08, Class XI, IO, 2.20%, 3/20/2067 (f)
|
1,490
|
63
|
|
Series 2017-H14, Class FV, 4.28%, 6/20/2067 (f)
|
13
|
13
|
|
Series 2021-H14, Class CF, 5.03%, 9/20/2071 (f)
|
4,358
|
4,470
|
|
GSMPS Mortgage Loan Trust
|
|
|
|
Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (f)
|
171
|
169
|
|
Series 2005-RP3, Class 1AS, IO, 0.43%, 9/25/2035 (b) (f)
|
294
|
2
|
|
Series 2005-RP3, Class 1AF, 4.05%, 9/25/2035 (b) (f)
|
389
|
337
|
|
Series 2006-RP2, Class 1AS2, IF, IO, 0.40%, 4/25/2036 (b) (f)
|
1,086
|
58
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
61
|
62
|
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
23
|
23
|
|
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034
|
49
|
50
|
|
Series 2005-4F, Class AP, PO, 5/25/2035
|
—
|
—
|
|
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035
|
200
|
200
|
|
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036
|
617
|
234
|
|
Impac CMB Trust Series 2005-4, Class 2A1, 4.30%, 5/25/2035 (f)
|
47
|
46
|
|
Impac Secured Assets CMN Owner Trust Series 2003-3, Class A1, 5.20%, 8/25/2033 (f)
|
5
|
5
|
|
Impac Secured Assets Trust Series 2006-1, Class 2A1, 4.40%, 5/25/2036 (f)
|
40
|
38
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2006-A2, Class 5A3, 6.31%, 11/25/2033 (f)
|
46
|
46
|
|
Series 2006-A3, Class 6A1, 4.84%, 8/25/2034 (f)
|
13
|
13
|
|
Series 2006-A2, Class 4A1, 6.25%, 8/25/2034 (f)
|
66
|
68
|
|
Lehman Mortgage Trust
|
|
|
|
Series 2006-2, Class 1A1, 5.72%, 4/25/2036 (f)
|
156
|
97
|
|
Series 2008-2, Class 1A6, 6.00%, 3/25/2038
|
414
|
95
|
|
LHOME Mortgage Trust Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (b) (f)
|
3,045
|
3,060
|
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
|
Series 2004-13, Class 2A1, 6.02%, 4/21/2034 (f)
|
39
|
39
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-4, Class 2A1, 5.92%, 5/25/2034 (f)
|
21
|
21
|
|
Series 2004-13, Class 3A7, 5.46%, 11/21/2034 (f)
|
96
|
96
|
|
Series 2004-15, Class 3A1, 6.76%, 12/25/2034 (f)
|
30
|
30
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
Series 2004-4, Class 10A1, 5.00%, 5/25/2024
|
30
|
10
|
|
Series 2003-3, Class 1A1, 6.50%, 5/25/2033
|
23
|
24
|
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
95
|
90
|
|
Series 2004-3, Class 2A1, 6.25%, 4/25/2034
|
61
|
62
|
|
Series 2004-6, Class 30, PO, 7/25/2034
|
75
|
61
|
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
110
|
108
|
|
Series 2004-7, Class 30, PO, 8/25/2034
|
33
|
23
|
|
MASTR Asset Securitization Trust
|
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
|
Series 2003-12, Class 30, PO, 12/25/2033
|
1
|
—
|
|
Series 2004-1, Class 30, PO, 2/25/2034
|
5
|
4
|
|
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.05%, 5/25/2035 (b) (f)
|
986
|
455
|
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b)
|
33
|
21
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-E, Class A1, 4.32%, 10/25/2028 (f)
|
10
|
10
|
|
Series 2003-F, Class A1, 4.34%, 10/25/2028 (f)
|
32
|
32
|
|
Series 2004-A, Class A1, 4.16%, 4/25/2029 (f)
|
30
|
28
|
|
Series 2004-B, Class A3, 4.94%, 5/25/2029 (f)
|
3
|
2
|
|
Series 2004-1, Class 2A1, 4.92%, 12/25/2034 (f)
|
48
|
46
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f)
|
105
|
91
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (b) (g)
|
3,721
|
3,725
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (b) (g)
|
3,545
|
3,561
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
32
|
32
|
|
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
5
|
5
|
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
13
|
13
|
|
P4 SFR Series 2019-STL A, 0.00%, 10/11/2026 ‡
|
2,003
|
1,985
|
|
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (f)
|
3,311
|
3,143
|
|
RALI Trust Series 2004-QA6, Class NB2, 4.32%, 12/26/2034 (f)
|
156
|
151
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2025-1, Class MTU, 3.25%, 11/25/2064
|
5,476
|
4,690
|
|
Series 2025-2, Class MTU, 3.25%, 6/25/2065
|
4,808
|
4,060
|
|
Seasoned Loans Structured Transaction Trust
|
|
|
|
Series 2025-1, Class A1, 3.00%, 5/25/2035
|
9,658
|
8,927
|
|
Series 2025-2, Class A1, 3.00%, 10/25/2035
|
10,498
|
9,732
|
|
Sequoia Mortgage Trust Series 10, Class 1A, 4.52%, 10/20/2027 (f)
|
1
|
1
|
|
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 4.39%,
10/19/2034 (f)
|
65
|
64
|
|
Thornburg Mortgage Securities Trust
|
|
|
|
Series 2003-4, Class A1, 4.34%, 9/25/2043 (f)
|
36
|
36
|
|
Series 2004-4, Class 3A, 5.27%, 12/25/2044 (f)
|
77
|
77
|
|
Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (b) (g)
|
2,000
|
2,005
|
|
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f)
|
4,823
|
4,310
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Vendee Mortgage Trust
|
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
6
|
6
|
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
18
|
18
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
50
|
51
|
|
Series 1999-1, Class 2Z, 6.50%, 1/15/2029
|
131
|
131
|
|
Series 2003-2, Class Z, 5.00%, 5/15/2033
|
892
|
891
|
|
WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033
|
187
|
184
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-AR6, Class A1, 5.97%, 6/25/2033 (f)
|
4
|
3
|
|
Series 2003-AR8, Class A, 5.18%, 8/25/2033 (f)
|
14
|
13
|
|
Series 2003-AR9, Class 1A6, 5.28%, 9/25/2033 (f)
|
244
|
242
|
|
Series 2003-AR9, Class 2A, 5.68%, 9/25/2033 (f)
|
15
|
15
|
|
Series 2003-S9, Class P, PO, 10/25/2033
|
6
|
5
|
|
Series 2003-S9, Class A8, 5.25%, 10/25/2033
|
130
|
129
|
|
Series 2003-AR10, Class A7, 5.66%, 10/25/2033 (f)
|
5
|
5
|
|
Series 2004-AR3, Class A1, 4.90%, 6/25/2034 (f)
|
23
|
22
|
|
Series 2004-AR3, Class A2, 4.90%, 6/25/2034 (f)
|
20
|
19
|
|
Series 2006-AR10, Class 2P, 4.06%, 9/25/2036 (f)
|
36
|
33
|
|
Series 2006-AR12, Class 2P, 3.78%, 10/25/2036 (f)
|
30
|
27
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
|
|
|
|
Series 2005-2, Class 2A3, IF, IO, 1.30%, 4/25/2035 (f)
|
294
|
12
|
|
Series 2005-2, Class 1A4, IF, IO, 1.35%, 4/25/2035 (f)
|
1,433
|
57
|
|
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035
|
445
|
67
|
|
Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
422
|
391
|
|
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035
|
393
|
58
|
|
Series 2005-6, Class 2A4, 5.50%, 8/25/2035
|
78
|
67
|
|
Series 2005-6, Class 2A9, 5.50%, 8/25/2035
|
498
|
432
|
|
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037
|
58
|
53
|
|
Total Collateralized Mortgage Obligations
(Cost $227,985)
|
|
224,572
|
|
Commercial Mortgage-Backed Securities — 2.6%
|
||
|
BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.21%, 8/15/2046 (b) (f)
|
1,300
|
906
|
|
CSTL Commercial Mortgage Trust
|
|
|
|
Series 2025-GATE2, Class B, 4.85%, 11/10/2042 (b) (f)
|
3,395
|
3,314
|
|
Series 2025-GATE2, Class C, 5.14%, 11/10/2042 (b) (f)
|
1,470
|
1,438
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KS06, Class A2, 2.72%, 7/25/2026
|
33
|
33
|
|
Series K065, Class A2, 3.24%, 4/25/2027
|
2,467
|
2,447
|
|
Series K070, Class A2, 3.30%, 11/25/2027 (f)
|
1,748
|
1,726
|
|
Series K070, Class AM, 3.36%, 12/25/2027
|
153
|
151
|
|
Series K117, Class A2, 1.41%, 8/25/2030
|
500
|
444
|
|
Series K754, Class AM, 4.94%, 11/25/2030 (f)
|
1,740
|
1,771
|
|
Series K142, Class A2, 2.40%, 3/25/2032
|
555
|
497
|
|
Series K146, Class A2, 2.92%, 6/25/2032
|
4,200
|
3,854
|
|
Series K-150, Class A2, 3.71%, 9/25/2032 (f)
|
1,005
|
960
|
|
Series K138, Class AM, 1.89%, 1/25/2055
|
1,850
|
1,609
|
|
FNMA ACES
|
|
|
|
Series 2017-M3, Class A2, 2.48%, 12/25/2026 (f)
|
623
|
617
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f)
|
3,855
|
3,828
|
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f)
|
2,410
|
2,386
|
|
Series 2018-M8, Class A2, 3.31%, 6/25/2028 (f)
|
2,027
|
1,994
|
|
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (f)
|
3,056
|
3,006
|
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (f)
|
198
|
195
|
|
Series 2017-M5, Class A2, 3.02%, 4/25/2029 (f)
|
1,483
|
1,437
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
1,041
|
1,012
|
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f)
|
17,118
|
482
|
|
Series 2026-M10, Class A1, 1.85%, 6/25/2031 (f)
|
2,884
|
2,662
|
|
Series 2026-M9, Class A1, 1.57%, 10/25/2031 (f)
|
888
|
799
|
|
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 (f)
|
5,675
|
5,003
|
|
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (f)
|
6,802
|
6,141
|
|
Series 2022-M2S, Class A2, 3.76%, 8/25/2032 (f)
|
4,142
|
3,982
|
|
Series 2026-M9, Class A, 1.57%, 1/25/2033 (f)
|
892
|
789
|
|
Series 2026-M9, Class A2, 1.57%, 1/25/2033 (f)
|
4,168
|
3,512
|
|
Series 2023-M8, Class A2, 4.48%, 3/25/2033 (f)
|
3,290
|
3,281
|
|
Series 2021-M3, Class X1, IO, 1.83%, 11/25/2033 (f)
|
2,317
|
129
|
|
Series 2026-M10, Class X1, IO, 0.00%, 7/25/2035
|
22,718
|
3
|
|
Series 2026-M10, Class A2, 1.85%, 7/25/2035 (f)
|
16,461
|
13,940
|
|
Series 2026-M10, Class PS, 1.85%, 7/25/2035 (f)
|
3,373
|
2,940
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2019-KBF3, Class B, 6.26%, 1/25/2029 (b) (f)
|
1,230
|
1,222
|
|
Series 2019-K101, Class B, 3.53%, 10/25/2052 (b) (f)
|
175
|
166
|
|
Series 2019-K100, Class B, 3.50%, 11/25/2052 (b) (f)
|
175
|
167
|
|
Series 2020-K737, Class B, 3.33%, 1/25/2053 (b) (f)
|
550
|
546
|
|
Series 2019-K96, Class C, 3.81%, 8/25/2056 (b) (f)
|
7,251
|
6,914
|
|
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)
|
998
|
932
|
|
MRCD MARK Mortgage Trust
|
|
|
|
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
2,050
|
1,845
|
|
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b)
|
2,685
|
1,972
|
|
PRM7 Trust Series 2025-PRM7, Class C, 4.94%, 11/10/2042 (b) (f)
|
2,220
|
2,162
|
|
ROCK Trust
|
|
|
|
Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b)
|
1,885
|
1,912
|
|
Series 2024-CNTR, Class C, 6.47%, 11/13/2041 (b)
|
5,000
|
5,136
|
|
RWC Commercial Mortgage Trust Series 2025-1, Class A, 5.01%, 6/27/2040 (b)
|
6,895
|
6,831
|
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)
|
4,355
|
3,882
|
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.22%, 3/15/2045 (b) (f)
|
365
|
333
|
|
WHARF Commercial Mortgage Trust Series 2025-DC, Class B, 5.54%, 7/15/2040 (b) (f)
|
8,000
|
8,081
|
|
Total Commercial Mortgage-Backed Securities
(Cost $122,103)
|
|
119,389
|
|
Foreign Government Securities — 0.7%
|
||
|
Eagle Funding Luxco SARL 5.50%, 8/17/2030 (b)
|
5,966
|
5,996
|
|
Kingdom of Saudi Arabia 3.45%, 2/2/2061 (b)
|
550
|
351
|
|
Republic of Chile 2.55%, 1/27/2032
|
497
|
442
|
|
Republic of Panama 5.23%, 2/23/2034
|
1,830
|
1,815
|
|
Republic of Peru 5.63%, 11/18/2050
|
88
|
85
|
|
Republic of Poland 5.50%, 3/18/2054
|
921
|
853
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
United Mexican States
|
|
|
|
6.00%, 5/13/2030
|
1,061
|
1,094
|
|
2.66%, 5/24/2031
|
1,075
|
953
|
|
5.85%, 7/2/2032
|
2,316
|
2,342
|
|
5.38%, 3/22/2033
|
6,819
|
6,675
|
|
5.63%, 2/9/2034
|
1,194
|
1,174
|
|
3.50%, 2/12/2034
|
1,252
|
1,067
|
|
5.63%, 9/22/2035
|
1,940
|
1,882
|
|
6.88%, 5/13/2037
|
1,578
|
1,652
|
|
6.63%, 1/29/2038
|
1,445
|
1,476
|
|
5.55%, 1/21/2045
|
33
|
30
|
|
4.60%, 1/23/2046
|
3,588
|
2,776
|
|
6.34%, 5/4/2053
|
310
|
290
|
|
3.77%, 5/24/2061
|
772
|
464
|
|
Total Foreign Government Securities
(Cost $33,008)
|
|
31,417
|
|
Municipal Bonds — 0.2% (h)
|
||
|
California — 0.0% ^
|
||
|
City of Los Angeles Department of Airports, Federally Taxable Build America Bonds
Direct Payment to Issuer Series 2009C,
Rev., 6.58%, 5/15/2039
|
355
|
380
|
|
State of California, Various Purpose, GO, 7.30%, 10/1/2039
|
350
|
400
|
|
Total California
|
|
780
|
|
New York — 0.1%
|
||
|
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series
2010D, Rev., 5.60%, 3/15/2040
|
16
|
16
|
|
Port Authority of New York and New Jersey, Consolidated
|
|
|
|
Series 164, Rev., 5.65%, 11/1/2040
|
1,875
|
1,960
|
|
Series 165, Rev., 5.65%, 11/1/2040
|
440
|
460
|
|
Series 174, Rev., 4.46%, 10/1/2062
|
2,060
|
1,704
|
|
Total New York
|
|
4,140
|
|
Ohio — 0.1%
|
||
|
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev.,
7.50%, 2/15/2050
|
1,255
|
1,445
|
|
Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111
|
1,563
|
1,272
|
|
Ohio University, General Receipts, Federally Taxable Series 2014, Rev., 5.59%, 12/1/2114
|
200
|
181
|
|
Total Ohio
|
|
2,898
|
|
Oklahoma — 0.0% ^
|
||
|
Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%,
5/1/2052
|
575
|
523
|
|
Texas — 0.0% ^
|
||
|
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds
|
|
|
|
Series 2023A-1, Rev., 5.10%, 4/1/2035
|
542
|
552
|
|
Series 2023A-2, Rev., 5.17%, 4/1/2041
|
1,155
|
1,160
|
|
Total Texas
|
|
1,712
|
|
Total Municipal Bonds
(Cost $10,588)
|
|
10,053
|
|
U.S. Government Agency Securities — 0.2%
|
||
|
FHLB
5.50%, 7/15/2036
|
30
|
32
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Government Agency Securities — continued
|
||
|
Tennessee Valley Authority
|
|
|
|
5.88%, 4/1/2036
|
6,909
|
7,615
|
|
4.63%, 9/15/2060
|
365
|
320
|
|
4.25%, 9/15/2065
|
51
|
41
|
|
Tennessee Valley Authority STRIPS
DN, 6.19%, 6/15/2035 (a)
|
800
|
521
|
|
Total U.S. Government Agency Securities
(Cost $9,280)
|
|
8,529
|
|
Loan Assignments — 0.0% (c) (i) ^
|
||
|
Consumer Finance — 0.0% ^
|
||
|
OneSky Loan Trust, 1st Lien Term Loan A, 3.88%, 1/15/2031
(Cost $1,752)
|
1,741
|
1,671
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 1.3%
|
||
|
Investment Companies — 1.3%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.64% (j) (k)
(Cost $62,462)
|
62,453
|
62,466
|
|
Total Investments — 100.4%
(Cost $4,782,697)
|
|
4,673,481
|
|
Liabilities in Excess of Other Assets — (0.4)%
|
|
(18,622
)
|
|
NET ASSETS — 100.0%
|
|
4,654,859
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2026.
|
|
CME
|
Chicago Mercantile Exchange
|
|
DN
|
Discount Notes
|
|
FHLB
|
Federal Home Loan Bank
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
GO
|
General Obligation
|
|
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.
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Rev.
|
Revenue
|
|
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, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2026.
|
|
|
(d)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2026 is $533 or 0.01% of the Fund’s net assets as
of May 31, 2026.
|
|
|
(e)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(f)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2026.
|
|
|
(g)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
|
(h)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
|
(i)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(j)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(k)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury Long Bond
|
882
|
09/21/2026
|
USD
|
99,142
|
1,645
|
|
U.S. Treasury Ultra Bond
|
571
|
09/21/2026
|
USD
|
65,451
|
1,451
|
|
U.S. Treasury 2 Year Note
|
1,680
|
09/30/2026
|
USD
|
347,130
|
717
|
|
U.S. Treasury 5 Year Note
|
525
|
09/30/2026
|
USD
|
56,319
|
353
|
|
|
|
|
|
|
4,166
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(749
)
|
09/21/2026
|
USD
|
(82,308
)
|
(768
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(1,765
)
|
09/21/2026
|
USD
|
(198,039
)
|
(2,606
)
|
|
|
|
|
|
|
(3,374
)
|
|
|
|
|
|
|
792
|
|
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
|
$—
|
$449,305
|
$79,481
|
$528,786
|
|
Collateralized Mortgage Obligations
|
—
|
201,500
|
23,072
|
224,572
|
|
Commercial Mortgage-Backed Securities
|
—
|
119,389
|
—
|
119,389
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
24,729
|
—
|
24,729
|
|
Air Freight & Logistics
|
—
|
105
|
—
|
105
|
|
Automobiles
|
—
|
2,411
|
—
|
2,411
|
|
Banks
|
—
|
340,482
|
—
|
340,482
|
|
Beverages
|
—
|
5,254
|
—
|
5,254
|
|
Biotechnology
|
—
|
25,258
|
—
|
25,258
|
|
Broadline Retail
|
—
|
5,623
|
—
|
5,623
|
|
Building Products
|
—
|
1,331
|
—
|
1,331
|
|
Capital Markets
|
—
|
103,375
|
—
|
103,375
|
|
Chemicals
|
—
|
8,788
|
—
|
8,788
|
|
Commercial Services & Supplies
|
—
|
6,132
|
—
|
6,132
|
|
Communications Equipment
|
—
|
1,631
|
—
|
1,631
|
|
Construction & Engineering
|
—
|
4,029
|
—
|
4,029
|
|
Construction Materials
|
—
|
909
|
—
|
909
|
|
Consumer Finance
|
—
|
48,993
|
—
|
48,993
|
|
Consumer Staples Distribution & Retail
|
—
|
1,999
|
—
|
1,999
|
|
Containers & Packaging
|
—
|
3,456
|
—
|
3,456
|
|
Diversified
|
—
|
—
|
4,148
|
4,148
|
|
Diversified Consumer Services
|
—
|
1,088
|
—
|
1,088
|
|
Diversified REITs
|
—
|
5,840
|
—
|
5,840
|
|
Diversified Telecommunication Services
|
—
|
19,171
|
—
|
19,171
|
|
Electric Utilities
|
—
|
105,523
|
—
|
105,523
|
|
Electrical Equipment
|
—
|
2,966
|
—
|
2,966
|
|
Electronic Equipment, Instruments & Components
|
—
|
3,180
|
—
|
3,180
|
|
Energy Equipment & Services
|
—
|
2,823
|
—
|
2,823
|
|
Financial Services
|
—
|
16,119
|
37,420
|
53,539
|
|
Food Products
|
—
|
22,838
|
—
|
22,838
|
|
Gas Utilities
|
—
|
2,969
|
—
|
2,969
|
|
Ground Transportation
|
—
|
3,225
|
—
|
3,225
|
|
Health Care Equipment & Supplies
|
—
|
3,643
|
—
|
3,643
|
|
Health Care Providers & Services
|
—
|
36,514
|
8,018
|
44,532
|
|
Health Care REITs
|
—
|
3,689
|
—
|
3,689
|
|
Hotels, Restaurants & Leisure
|
—
|
2,092
|
—
|
2,092
|
|
Independent Power and Renewable Electricity Producers
|
—
|
4,957
|
—
|
4,957
|
|
Industrial REITs
|
—
|
1,520
|
—
|
1,520
|
|
Insurance
|
—
|
17,417
|
—
|
17,417
|
|
Interactive Media & Services
|
—
|
19,724
|
—
|
19,724
|
|
IT Services
|
—
|
2,648
|
—
|
2,648
|
|
Life Sciences Tools & Services
|
—
|
2,454
|
—
|
2,454
|
|
Machinery
|
—
|
526
|
—
|
526
|
|
Media
|
—
|
8,429
|
—
|
8,429
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Metals & Mining
|
$—
|
$9,532
|
$—
|
$9,532
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
—
|
3,000
|
3,000
|
|
Multi-Utilities
|
—
|
11,769
|
—
|
11,769
|
|
Office REITs
|
—
|
314
|
—
|
314
|
|
Oil, Gas & Consumable Fuels
|
—
|
56,598
|
—
|
56,598
|
|
Passenger Airlines
|
—
|
741
|
—
|
741
|
|
Pharmaceuticals
|
—
|
10,356
|
—
|
10,356
|
|
Residential REITs
|
—
|
4,886
|
—
|
4,886
|
|
Retail REITs
|
—
|
2,845
|
—
|
2,845
|
|
Semiconductors & Semiconductor Equipment
|
—
|
25,012
|
—
|
25,012
|
|
Software
|
—
|
19,745
|
—
|
19,745
|
|
Specialized REITs
|
—
|
7,002
|
—
|
7,002
|
|
Specialty Retail
|
—
|
2,142
|
—
|
2,142
|
|
Technology Hardware, Storage & Peripherals
|
—
|
6,859
|
—
|
6,859
|
|
Tobacco
|
—
|
3,378
|
—
|
3,378
|
|
Trading Companies & Distributors
|
—
|
3,590
|
—
|
3,590
|
|
Water Utilities
|
—
|
771
|
—
|
771
|
|
Wireless Telecommunication Services
|
—
|
4,859
|
—
|
4,859
|
|
Total Corporate Bonds
|
—
|
1,044,259
|
52,586
|
1,096,845
|
|
Foreign Government Securities
|
—
|
31,417
|
—
|
31,417
|
|
Loan Assignments
|
—
|
1,671
|
—
|
1,671
|
|
Mortgage-Backed Securities
|
—
|
891,761
|
—
|
891,761
|
|
Municipal Bonds
|
—
|
10,053
|
—
|
10,053
|
|
U.S. Government Agency Securities
|
—
|
8,529
|
—
|
8,529
|
|
U.S. Treasury Obligations
|
—
|
1,697,992
|
—
|
1,697,992
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
62,466
|
—
|
—
|
62,466
|
|
Total Investments in Securities
|
$62,466
|
$4,455,876
|
$155,139
|
$4,673,481
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$4,166
|
$—
|
$—
|
$4,166
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$(3,374
)
|
$—
|
$—
|
$(3,374
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$792
|
$—
|
$—
|
$792
|
|
|
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
|
$71,152
|
$118
|
$(614
)
|
$6
|
$23,098
|
$(4,499
)
|
$—
|
$(5,490
)
|
$(4,290
)
|
$79,481
|
|
Collateralized Mortgage Obligations
|
19,283
|
—
|
(63
)
|
5
|
2,709
|
(762
)
|
—
|
(4,373
)
|
6,273
|
23,072
|
|
Commercial Mortgage-Backed Securities
|
1,983
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
(1,983
)
|
—
|
|
Corporate Bonds
|
37,196
|
—
(b)
|
(65
)
|
(12
)
|
17,663
|
(2,196
)
|
—
|
—
|
—
|
52,586
|
|
Total
|
$129,614
|
$118
|
$(742
)
|
$(1
)
|
$43,470
|
$(7,457
)
|
$—
|
$(9,863
)
|
$—
|
$155,139
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Asset-Backed Securities, Commercial
Mortgage-Backed Securities, and Collateralized
Mortgage Obligations.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value
at May 31, 2026
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$45,825
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
6.18% - 13.00% (8.95%)
|
|
|
|
|
|
|
|
Corporate Bonds
|
45,825
|
|
|
|
|
|
15,019
|
Discounted Cash Flow
|
Constant Default Rate
|
0.00% - 40.42% (3.41%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.31% - 17.04% (7.24%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
15,019
|
|
|
|
|
Total
|
$60,844
|
|
|
|
|
#
|
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 $94,295. 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 Prime Money Market Fund
Class Institutional Shares, 3.64% (a) (b)
|
$81,659
|
$287,384
|
$306,561
|
$(15
)
|
$(1
)
|
$62,466
|
62,453
|
$712
|
$—
|
|
|
|
|
(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.
|