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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.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2026.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — 33.2%
|
||
|
U.S. Treasury Bonds
|
|
|
|
4.25%, 5/15/2039
|
55,245
|
53,156
|
|
4.38%, 5/15/2040
|
209,953
|
202,227
|
|
1.13%, 8/15/2040
|
29,845
|
18,554
|
|
3.88%, 8/15/2040
|
54,475
|
49,504
|
|
2.25%, 5/15/2041
|
207,900
|
150,784
|
|
2.75%, 11/15/2042
|
289,890
|
219,082
|
|
3.13%, 2/15/2043
|
138,080
|
109,801
|
|
3.88%, 2/15/2043
|
3,905
|
3,445
|
|
3.88%, 5/15/2043
|
101,570
|
89,374
|
|
3.63%, 8/15/2043
|
531,973
|
450,972
|
|
4.38%, 8/15/2043
|
44,779
|
41,923
|
|
3.75%, 11/15/2043
|
256,218
|
220,418
|
|
3.63%, 2/15/2044
|
198,360
|
167,219
|
|
3.00%, 11/15/2044
|
50,821
|
38,624
|
|
3.00%, 11/15/2045
|
9,035
|
6,778
|
|
2.50%, 2/15/2046
|
70,000
|
47,920
|
|
2.25%, 8/15/2046
|
75,659
|
48,971
|
|
3.00%, 2/15/2047
|
5,431
|
4,016
|
|
3.00%, 2/15/2048
|
78,220
|
57,186
|
|
3.13%, 5/15/2048
|
43,243
|
32,257
|
|
3.00%, 8/15/2048
|
4,200
|
3,054
|
|
2.88%, 5/15/2049
|
12,946
|
9,124
|
|
2.25%, 8/15/2049
|
180,150
|
111,074
|
|
2.38%, 11/15/2049
|
98,830
|
62,402
|
|
2.00%, 2/15/2050
|
76,853
|
44,356
|
|
1.38%, 8/15/2050
|
483,023
|
234,247
|
|
1.63%, 11/15/2050
|
62,475
|
32,314
|
|
1.88%, 2/15/2051
|
204,145
|
112,296
|
|
2.38%, 5/15/2051
|
166,815
|
103,341
|
|
2.00%, 8/15/2051
|
144,750
|
81,597
|
|
1.88%, 11/15/2051
|
200,075
|
108,838
|
|
2.25%, 2/15/2052
|
150,605
|
89,804
|
|
2.88%, 5/15/2052
|
131,125
|
89,913
|
|
3.00%, 8/15/2052
|
172,625
|
121,330
|
|
4.00%, 11/15/2052
|
200,103
|
169,900
|
|
3.63%, 2/15/2053
|
28,800
|
22,841
|
|
4.63%, 5/15/2054
|
33,110
|
31,216
|
|
4.25%, 8/15/2054
|
6,595
|
5,841
|
|
4.50%, 11/15/2054
|
20,140
|
18,603
|
|
4.75%, 5/15/2055
|
26,990
|
25,978
|
|
U.S. Treasury Inflation Indexed Bonds
|
|
|
|
1.75%, 1/15/2028
|
3,310
|
3,331
|
|
3.63%, 4/15/2028
|
18,509
|
19,263
|
|
2.50%, 1/15/2029
|
5,517
|
5,672
|
|
U.S. Treasury Notes
|
|
|
|
1.50%, 1/31/2027
|
5,196
|
5,117
|
|
4.13%, 2/28/2027
|
250,000
|
250,513
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
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|
2.63%, 5/31/2027
|
200,000
|
197,503
|
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2.75%, 7/31/2027
|
113,240
|
111,723
|
|
3.13%, 8/31/2027
|
111,315
|
110,215
|
|
0.38%, 9/30/2027
|
31,575
|
30,126
|
|
4.13%, 10/31/2027
|
318,905
|
319,578
|
|
4.25%, 1/15/2028
|
53,280
|
53,488
|
|
1.25%, 3/31/2028
|
160,035
|
152,321
|
|
3.63%, 3/31/2028
|
12,000
|
11,920
|
|
1.25%, 4/30/2028
|
85,520
|
81,207
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|
2.88%, 5/15/2028
|
7,030
|
6,881
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1.25%, 6/30/2028
|
782,088
|
739,317
|
|
1.00%, 7/31/2028
|
149,415
|
140,147
|
|
1.75%, 1/31/2029
|
48,420
|
45,628
|
|
1.88%, 2/28/2029
|
218,300
|
206,072
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3.88%, 4/15/2029
|
391,194
|
389,330
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|
2.88%, 4/30/2029
|
617,050
|
597,189
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|
3.25%, 6/30/2029
|
270,000
|
263,703
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3.13%, 8/31/2029
|
86,645
|
84,157
|
|
3.88%, 9/30/2029
|
175,000
|
173,899
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|
4.00%, 10/31/2029
|
113,000
|
112,704
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4.38%, 12/31/2029
|
33,345
|
33,659
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3.88%, 7/31/2030
|
45,000
|
44,590
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3.63%, 9/30/2030
|
80,000
|
78,437
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4.88%, 10/31/2030
|
315,775
|
325,174
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3.88%, 3/31/2031
|
43,580
|
43,079
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|
4.13%, 3/31/2031
|
235,323
|
235,112
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|
1.63%, 5/15/2031
|
23,990
|
21,299
|
|
1.25%, 8/15/2031
|
115,000
|
99,421
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|
1.38%, 11/15/2031
|
28,783
|
24,863
|
|
4.50%, 12/31/2031
|
14,685
|
14,909
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|
4.38%, 1/31/2032
|
37,635
|
37,969
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|
1.88%, 2/15/2032
|
292,700
|
258,285
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4.13%, 2/29/2032
|
30,000
|
29,879
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2.88%, 5/15/2032
|
116,650
|
108,439
|
|
4.13%, 5/31/2032
|
264,440
|
263,087
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|
4.00%, 7/31/2032
|
228,000
|
225,123
|
|
2.75%, 8/15/2032
|
171,000
|
157,180
|
|
3.75%, 10/31/2032
|
108,995
|
105,938
|
|
4.13%, 11/15/2032
|
21,000
|
20,851
|
|
3.88%, 8/15/2033
|
14,250
|
13,878
|
|
4.50%, 11/15/2033
|
1,226,022
|
1,240,485
|
|
4.00%, 2/15/2034
|
972,166
|
951,242
|
|
3.88%, 8/15/2034
|
826,090
|
798,790
|
|
4.25%, 11/15/2034
|
450,920
|
446,992
|
|
4.25%, 5/15/2035
|
61,730
|
61,040
|
|
U.S. Treasury STRIPS Bonds
|
|
|
|
0.70%, 11/15/2026 (a)
|
10,990
|
10,806
|
|
1.43%, 11/15/2027 (a)
|
50,000
|
47,246
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
1.79%, 8/15/2029 (a)
|
100,000
|
87,721
|
|
4.72%, 8/15/2030 (a)
|
63,190
|
53,112
|
|
3.22%, 11/15/2030 (a)
|
195,970
|
163,010
|
|
4.91%, 2/15/2031 (a)
|
449,750
|
370,037
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|
4.70%, 5/15/2031 (a)
|
261,915
|
213,080
|
|
4.91%, 8/15/2031 (a)
|
567,895
|
456,807
|
|
4.71%, 11/15/2031 (a)
|
167,615
|
133,315
|
|
5.34%, 5/15/2032 (a)
|
113,297
|
88,137
|
|
4.05%, 8/15/2032 (a)
|
149,800
|
115,177
|
|
4.41%, 11/15/2032 (a)
|
122,788
|
93,342
|
|
4.68%, 2/15/2033 (a)
|
36,300
|
27,252
|
|
4.81%, 5/15/2033 (a)
|
108,105
|
80,159
|
|
7.10%, 8/15/2033 (a)
|
24,963
|
18,289
|
|
5.77%, 11/15/2033 (a)
|
60,239
|
43,623
|
|
4.11%, 8/15/2034 (a)
|
209,640
|
146,181
|
|
4.20%, 11/15/2034 (a)
|
319,920
|
220,228
|
|
4.32%, 2/15/2035 (a)
|
148,502
|
100,931
|
|
4.33%, 5/15/2035 (a)
|
102,600
|
68,880
|
|
4.38%, 8/15/2035 (a)
|
519,891
|
344,474
|
|
4.22%, 11/15/2035 (a)
|
91,000
|
59,506
|
|
4.27%, 2/15/2036 (a)
|
156,923
|
101,252
|
|
4.27%, 5/15/2036 (a)
|
198,352
|
126,254
|
|
4.46%, 8/15/2036 (a)
|
205,971
|
129,399
|
|
4.48%, 11/15/2036 (a)
|
238,076
|
147,497
|
|
4.49%, 2/15/2037 (a)
|
304,519
|
186,032
|
|
4.37%, 5/15/2037 (a)
|
234,743
|
141,507
|
|
4.49%, 8/15/2037 (a)
|
211,050
|
125,354
|
|
4.41%, 11/15/2037 (a)
|
147,236
|
86,193
|
|
4.66%, 2/15/2038 (a)
|
5,014
|
2,893
|
|
5.30%, 8/15/2039 (a)
|
17,900
|
9,446
|
|
0.00%, 5/15/2040 (a)
|
40,000
|
20,164
|
|
4.81%, 8/15/2040 (a)
|
31,482
|
15,619
|
|
5.25%, 11/15/2040 (a)
|
216,030
|
105,615
|
|
5.36%, 2/15/2041 (a)
|
138,670
|
66,700
|
|
5.46%, 8/15/2041 (a)
|
178,550
|
83,392
|
|
5.00%, 2/15/2042 (a)
|
87,575
|
39,687
|
|
5.40%, 2/15/2043 (a)
|
16,580
|
7,071
|
|
5.29%, 5/15/2046 (a)
|
19,005
|
6,727
|
|
Total U.S. Treasury Obligations
(Cost $18,839,738)
|
|
17,583,120
|
|
Corporate Bonds — 24.6%
|
||
|
Aerospace & Defense — 0.6%
|
||
|
BAE Systems plc (United Kingdom)
|
||
|
1.90%, 2/15/2031 (b)
|
14,745
|
13,035
|
|
5.80%, 10/11/2041 (b)
|
2,500
|
2,582
|
|
3.00%, 9/15/2050 (b)
|
5,645
|
3,729
|
|
Boeing Co. (The)
|
||
|
5.04%, 5/1/2027
|
9,155
|
9,204
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Aerospace & Defense — continued
|
||
|
5.15%, 5/1/2030
|
14,590
|
14,822
|
|
6.39%, 5/1/2031
|
11,580
|
12,353
|
|
3.60%, 5/1/2034
|
5,076
|
4,583
|
|
6.53%, 5/1/2034
|
19,270
|
21,036
|
|
5.71%, 5/1/2040
|
12,565
|
12,810
|
|
5.81%, 5/1/2050
|
14,000
|
13,860
|
|
Honeywell Aerospace, Inc.
|
||
|
4.60%, 3/16/2033 (b)
|
38,555
|
37,987
|
|
4.95%, 3/16/2036 (b)
|
14,975
|
14,813
|
|
L3Harris Technologies, Inc.
|
||
|
5.25%, 6/1/2031
|
22,080
|
22,561
|
|
5.40%, 7/31/2033
|
11,863
|
12,178
|
|
4.85%, 4/27/2035
|
1,918
|
1,889
|
|
Leidos, Inc.
|
||
|
2.30%, 2/15/2031
|
8,020
|
7,165
|
|
5.75%, 3/15/2033
|
8,600
|
8,903
|
|
5.00%, 3/15/2036
|
18,335
|
17,768
|
|
Northrop Grumman Corp. 5.15%, 5/1/2040
|
13,000
|
12,746
|
|
RTX Corp.
|
||
|
5.15%, 2/27/2033
|
11,955
|
12,194
|
|
4.50%, 6/1/2042
|
13,927
|
12,450
|
|
4.15%, 5/15/2045
|
7,861
|
6,479
|
|
3.75%, 11/1/2046
|
7,060
|
5,411
|
|
4.35%, 4/15/2047
|
4,020
|
3,363
|
|
2.82%, 9/1/2051
|
10,000
|
6,201
|
|
3.03%, 3/15/2052
|
3,840
|
2,475
|
|
6.40%, 3/15/2054
|
5,495
|
6,004
|
|
|
|
298,601
|
|
Automobiles — 0.1%
|
||
|
Hyundai Capital America
|
||
|
1.50%, 6/15/2026 (b)
|
17,530
|
17,511
|
|
2.38%, 10/15/2027 (b)
|
9,020
|
8,767
|
|
1.80%, 1/10/2028 (b)
|
12,950
|
12,394
|
|
|
|
38,672
|
|
Banks — 7.1%
|
||
|
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)
|
17,700
|
17,792
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c)
|
15,800
|
14,993
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.52%, 12/3/2035 (b) (c)
|
19,600
|
19,904
|
|
AIB Group plc (Ireland)
|
||
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (b) (c)
|
7,745
|
8,073
|
|
(SOFR + 1.65%), 5.32%, 5/15/2031 (b) (c)
|
16,965
|
17,225
|
|
(SOFRINDX + 1.91%), 5.87%, 3/28/2035 (b) (c)
|
42,860
|
44,453
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) 5.13%, 3/3/2036
|
37,200
|
36,191
|
|
Banco Santander SA (Spain)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c)
|
6,400
|
6,351
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
5.59%, 8/8/2028
|
37,800
|
38,623
|
|
5.13%, 11/6/2035
|
21,200
|
20,809
|
|
Bank of America Corp.
|
||
|
4.25%, 10/22/2026
|
6,055
|
6,058
|
|
(SOFR + 0.96%), 1.73%, 7/22/2027 (c)
|
9,615
|
9,579
|
|
(SOFR + 1.32%), 2.69%, 4/22/2032 (c)
|
22,915
|
20,802
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (c)
|
19,870
|
17,713
|
|
(SOFR + 2.16%), 5.02%, 7/22/2033 (c)
|
26,230
|
26,369
|
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (c)
|
28,820
|
30,209
|
|
(SOFR + 1.31%), 5.51%, 1/24/2036 (c)
|
53,000
|
54,296
|
|
(SOFR + 1.13%), 5.05%, 2/6/2037 (c)
|
58,670
|
57,837
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
54,117
|
39,255
|
|
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)
|
34,388
|
34,124
|
|
(SOFR + 1.62%), 5.60%, 3/20/2030 (b) (c)
|
33,280
|
33,986
|
|
Bank of Montreal (Canada) Series J, (SOFR + 0.97%), 4.44%, 1/14/2032 (c)
|
20,850
|
20,533
|
|
Bank of Nova Scotia (The) (Canada)
|
||
|
4.85%, 2/1/2030
|
7,526
|
7,592
|
|
(SOFR + 1.05%), 4.81%, 2/2/2034 (c)
|
26,940
|
26,592
|
|
Banque Federative du Credit Mutuel SA (France)
|
||
|
1.60%, 10/4/2026 (b)
|
23,810
|
23,613
|
|
5.79%, 7/13/2028 (b)
|
24,190
|
24,765
|
|
5.54%, 1/22/2030 (b)
|
13,575
|
13,924
|
|
4.54%, 1/15/2031 (b)
|
16,730
|
16,494
|
|
Barclays plc (United Kingdom)
|
||
|
(SOFR + 1.88%), 6.50%, 9/13/2027 (c)
|
52,040
|
52,332
|
|
(SOFR + 1.14%), 4.52%, 2/24/2032 (c)
|
9,620
|
9,418
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c)
|
10,428
|
9,337
|
|
(SOFR + 2.98%), 6.22%, 5/9/2034 (c)
|
7,324
|
7,728
|
|
(SOFR + 1.59%), 5.79%, 2/25/2036 (c)
|
16,020
|
16,347
|
|
(SOFR + 1.51%), 5.21%, 2/24/2037 (c)
|
16,335
|
15,903
|
|
BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico (Mexico)
5.40%, 6/3/2031 (b)
|
33,059
|
33,100
|
|
BNP Paribas SA (France)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (b) (c)
|
2,500
|
2,536
|
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (b) (c)
|
20,560
|
20,830
|
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (b) (c)
|
26,260
|
26,799
|
|
(SOFR + 1.28%), 5.28%, 11/19/2030 (b) (c)
|
28,910
|
29,348
|
|
(SOFR + 1.62%), 5.79%, 1/13/2033 (b) (c)
|
32,240
|
33,345
|
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c)
|
12,958
|
11,707
|
|
BPCE SA (France)
|
||
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (b) (c)
|
23,410
|
23,596
|
|
5.28%, 5/30/2029 (b)
|
9,560
|
9,749
|
|
(SOFR + 1.68%), 5.88%, 1/14/2031 (b) (c)
|
19,250
|
19,810
|
|
(SOFR + 1.58%), 5.39%, 5/28/2031 (b) (c)
|
43,095
|
43,666
|
|
(SOFR + 1.27%), 4.76%, 1/13/2032 (b) (c)
|
11,500
|
11,364
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c)
|
15,245
|
13,485
|
|
(SOFR + 1.22%), 5.18%, 6/2/2032 (b) (c)
|
29,400
|
29,463
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (b) (c)
|
21,875
|
23,900
|
|
(SOFR + 1.85%), 5.94%, 5/30/2035 (b) (c)
|
23,406
|
24,031
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (b) (c)
|
14,995
|
15,685
|
|
(SOFR + 1.96%), 6.03%, 5/28/2036 (b) (c)
|
49,665
|
50,972
|
|
CaixaBank SA (Spain)
|
||
|
(SOFRINDX + 1.78%), 5.67%, 3/15/2030 (b) (c)
|
27,576
|
28,241
|
|
(SOFR + 1.36%), 4.89%, 7/3/2031 (b) (c)
|
49,395
|
49,383
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (c)
|
10,504
|
11,472
|
|
(SOFR + 2.26%), 6.04%, 6/15/2035 (b) (c)
|
30,700
|
32,050
|
|
(SOFR + 1.79%), 5.58%, 7/3/2036 (b) (c)
|
26,134
|
26,431
|
|
Canadian Imperial Bank of Commerce (Canada) 3.60%, 4/7/2032
|
8,000
|
7,527
|
|
Citigroup, Inc.
|
||
|
4.30%, 11/20/2026
|
6,200
|
6,206
|
|
4.45%, 9/29/2027
|
1,491
|
1,491
|
|
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (c)
|
11,100
|
10,968
|
|
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (c)
|
6,399
|
6,352
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (c)
|
21,204
|
21,118
|
|
(SOFR + 1.46%), 4.95%, 5/7/2031 (c)
|
18,415
|
18,537
|
|
(SOFR + 1.17%), 4.50%, 9/11/2031 (c)
|
23,430
|
23,181
|
|
(SOFR + 1.35%), 3.06%, 1/25/2033 (c)
|
3,330
|
3,021
|
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (c)
|
50,000
|
53,476
|
|
(SOFR + 1.45%), 5.45%, 6/11/2035 (c)
|
31,800
|
32,358
|
|
(SOFR + 1.49%), 5.17%, 9/11/2036 (c)
|
19,340
|
19,245
|
|
(SOFR + 1.38%), 2.90%, 11/3/2042 (c)
|
1,526
|
1,107
|
|
Cooperatieve Rabobank UA (Netherlands)
|
||
|
3.75%, 7/21/2026
|
8,564
|
8,559
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (c)
|
12,800
|
12,715
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.99%, 5/27/2031 (b) (c)
|
25,880
|
26,064
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 5.71%, 1/21/2033 (b) (c)
|
21,400
|
22,204
|
|
Credit Agricole SA (France)
|
||
|
5.59%, 7/5/2026 (b)
|
12,885
|
12,903
|
|
(SOFR + 1.46%), 5.22%, 5/27/2031 (b) (c)
|
14,822
|
14,984
|
|
(SOFR + 1.17%), 4.66%, 1/12/2032 (b) (c)
|
15,002
|
14,787
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (b) (c)
|
45,845
|
47,248
|
|
(SOFR + 1.43%), 5.26%, 1/12/2037 (b) (c)
|
32,045
|
31,545
|
|
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)
|
29,115
|
29,858
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (b) (c)
|
10,433
|
10,379
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.02%, 3/4/2031 (b) (c)
|
13,405
|
13,484
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 4.42%, 9/12/2031 (b) (c)
|
14,355
|
14,106
|
|
DNB Bank ASA (Norway)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (b) (c)
|
22,075
|
21,572
|
|
(SOFR + 1.05%), 4.38%, 11/4/2031 (b) (c)
|
17,715
|
17,426
|
|
Fifth Third Bancorp
|
||
|
(SOFR + 1.84%), 5.63%, 1/29/2032 (c)
|
8,401
|
8,668
|
|
(SOFR + 0.95%), 4.57%, 4/29/2032 (c)
|
14,810
|
14,565
|
|
(SOFR + 1.24%), 5.14%, 1/29/2037 (c)
|
22,670
|
22,212
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
25,865
|
25,039
|
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (c)
|
13,465
|
12,797
|
|
(SOFR + 1.29%), 5.29%, 11/19/2030 (c)
|
43,090
|
43,711
|
|
(SOFR + 1.29%), 5.13%, 3/3/2031 (c)
|
11,185
|
11,289
|
|
(SOFR + 1.57%), 5.24%, 5/13/2031 (c)
|
17,890
|
18,117
|
|
(SOFR + 1.95%), 2.36%, 8/18/2031 (c)
|
20,470
|
18,504
|
|
(SOFR + 1.19%), 4.62%, 11/6/2031 (c)
|
8,585
|
8,481
|
|
(SOFR + 1.21%), 4.68%, 3/10/2032 (c)
|
30,950
|
30,549
|
|
(SOFR + 1.41%), 2.87%, 11/22/2032 (c)
|
13,085
|
11,760
|
|
(SOFR + 1.43%), 5.13%, 11/6/2036 (c)
|
15,845
|
15,615
|
|
(SOFR + 1.55%), 5.28%, 3/10/2037 (c)
|
41,370
|
40,931
|
|
(SOFR + 2.65%), 6.33%, 3/9/2044 (c)
|
3,840
|
4,107
|
|
Huntington Bancshares, Inc.
|
||
|
(SOFR + 1.28%), 5.27%, 1/15/2031 (c)
|
17,160
|
17,414
|
|
(SOFRINDX + 1.87%), 5.71%, 2/2/2035 (c)
|
13,000
|
13,324
|
|
ING Groep NV (Netherlands)
|
||
|
(SOFR + 1.56%), 6.08%, 9/11/2027 (c)
|
7,083
|
7,113
|
|
Series VAR, (SOFRINDX + 1.26%), 4.80%, 3/23/2032 (c)
|
21,980
|
21,881
|
|
(SOFRINDX + 1.61%), 5.42%, 3/23/2037 (c)
|
15,870
|
15,906
|
|
KBC Group NV (Belgium)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 4.45%, 9/23/2031 (b) (c)
|
27,938
|
27,466
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.32%, 9/21/2034 (b) (c)
|
36,960
|
39,606
|
|
KeyCorp
|
||
|
(SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c)
|
26,465
|
26,708
|
|
(SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c)
|
3,780
|
3,705
|
|
(SOFR + 1.37%), 5.31%, 1/28/2037 (c)
|
10,115
|
9,969
|
|
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)
|
6,805
|
6,847
|
|
4.38%, 3/22/2028
|
6,745
|
6,739
|
|
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)
|
17,660
|
17,591
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (c)
|
14,590
|
14,443
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 5.16%, 4/24/2031 (c)
|
20,600
|
20,897
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.19%, 9/12/2036 (c)
|
19,000
|
18,970
|
|
Mizuho Financial Group, Inc. (Japan)
|
||
|
(3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c)
|
11,274
|
10,656
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.71%, 7/8/2031 (c)
|
30,645
|
30,611
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (c)
|
15,000
|
15,592
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.32%, 7/8/2036 (c)
|
33,520
|
33,696
|
|
NatWest Group plc (United Kingdom)
|
||
|
(3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (c)
|
29,653
|
29,826
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (c)
|
4,480
|
4,594
|
|
(3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (c)
|
14,835
|
14,969
|
|
(3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (c)
|
25,946
|
25,768
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (c)
|
41,515
|
43,034
|
|
NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (b)
|
18,278
|
18,675
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
PNC Financial Services Group, Inc. (The)
|
||
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (c)
|
21,370
|
21,321
|
|
(SOFR + 1.42%), 5.37%, 7/21/2036 (c)
|
38,175
|
38,549
|
|
Royal Bank of Canada (Canada) (SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c)
|
34,180
|
34,223
|
|
Santander Holdings USA, Inc.
|
||
|
(SOFR + 2.50%), 6.17%, 1/9/2030 (c)
|
29,735
|
30,646
|
|
(SOFR + 2.14%), 6.34%, 5/31/2035 (c)
|
14,000
|
14,822
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (c)
|
14,830
|
14,814
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (c)
|
45,000
|
46,316
|
|
(SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c)
|
20,755
|
20,769
|
|
(SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c)
|
34,925
|
35,821
|
|
(SOFRINDX + 1.58%), 5.14%, 9/22/2036 (c)
|
24,590
|
23,873
|
|
Skandinaviska Enskilda Banken AB (Sweden) 4.50%, 9/3/2030 (b)
|
15,500
|
15,366
|
|
Societe Generale SA (France)
|
||
|
5.25%, 2/19/2027 (b)
|
25,708
|
25,872
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c)
|
7,650
|
7,646
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (b) (c)
|
11,289
|
11,605
|
|
3.00%, 1/22/2030 (b)
|
6,844
|
6,408
|
|
(SOFR + 1.65%), 5.51%, 5/22/2031 (b) (c)
|
30,301
|
30,863
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (c)
|
13,084
|
11,876
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (c)
|
36,630
|
38,097
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (c)
|
21,602
|
23,176
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (b) (c)
|
16,372
|
16,977
|
|
(SOFR + 1.73%), 5.44%, 10/3/2036 (b) (c)
|
30,570
|
30,123
|
|
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)
|
15,994
|
16,152
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (b) (c)
|
7,725
|
7,780
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.24%, 1/13/2037 (b) (c)
|
12,115
|
11,874
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
|
3.04%, 7/16/2029
|
25,422
|
24,237
|
|
5.71%, 1/13/2030
|
23,065
|
23,837
|
|
5.24%, 4/15/2030
|
23,100
|
23,538
|
|
Toronto-Dominion Bank (The) (Canada) 5.30%, 1/30/2032
|
25,100
|
25,698
|
|
Truist Financial Corp.
|
||
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (c)
|
27,075
|
27,085
|
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
5,344
|
5,653
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
12,630
|
12,636
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (c)
|
10,000
|
10,426
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
10,759
|
11,088
|
|
(SOFR + 1.40%), 4.96%, 10/23/2036 (c)
|
40,260
|
39,033
|
|
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 1.20%), 1.98%, 6/3/2027 (b) (c)
|
10,885
|
10,883
|
|
US Bancorp
|
||
|
(SOFR + 1.30%), 5.08%, 5/15/2031 (c)
|
19,230
|
19,498
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
12,600
|
13,015
|
|
Wells Fargo & Co.
|
||
|
4.30%, 7/22/2027
|
2,925
|
2,924
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
15,412
|
15,715
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (c)
|
46,180
|
47,954
|
|
(SOFR + 2.10%), 4.90%, 7/25/2033 (c)
|
15,023
|
14,957
|
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (c)
|
18,175
|
18,505
|
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (c)
|
16,715
|
17,195
|
|
(SOFR + 1.38%), 5.21%, 12/3/2035 (c)
|
95,840
|
95,943
|
|
(SOFR + 1.74%), 5.61%, 4/23/2036 (c)
|
93,141
|
95,554
|
|
(SOFR + 1.10%), 4.96%, 1/23/2037 (c)
|
19,170
|
18,722
|
|
(SOFR + 2.53%), 3.07%, 4/30/2041 (c)
|
11,119
|
8,458
|
|
(SOFR + 2.13%), 4.61%, 4/25/2053 (c)
|
2,800
|
2,361
|
|
|
|
3,774,833
|
|
Beverages — 0.1%
|
||
|
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
|
21,807
|
21,232
|
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059
|
605
|
616
|
|
Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032
|
11,205
|
9,318
|
|
Constellation Brands, Inc.
|
||
|
4.75%, 5/9/2032
|
5,000
|
4,960
|
|
4.50%, 5/9/2047
|
3,680
|
3,053
|
|
5.25%, 11/15/2048
|
3,091
|
2,848
|
|
Keurig Dr. Pepper, Inc. 3.20%, 5/1/2030
|
13,500
|
12,713
|
|
Maple Parent Holdings Corp.
|
||
|
5.05%, 3/26/2031 (b)
|
8,695
|
8,700
|
|
5.70%, 3/26/2036 (b)
|
8,621
|
8,712
|
|
|
|
72,152
|
|
Biotechnology — 0.4%
|
||
|
AbbVie, Inc.
|
||
|
5.05%, 3/15/2034
|
10,770
|
10,930
|
|
4.55%, 3/15/2035
|
3,881
|
3,771
|
|
4.50%, 5/14/2035
|
15,614
|
15,083
|
|
4.75%, 3/15/2036
|
12,735
|
12,481
|
|
4.05%, 11/21/2039
|
33,708
|
29,727
|
|
4.63%, 10/1/2042
|
9,850
|
8,886
|
|
4.40%, 11/6/2042
|
12,902
|
11,386
|
|
4.75%, 3/15/2045
|
7,000
|
6,310
|
|
4.45%, 5/14/2046
|
2,145
|
1,845
|
|
4.25%, 11/21/2049
|
10,194
|
8,345
|
|
5.55%, 3/15/2056
|
11,475
|
11,255
|
|
Amgen, Inc.
|
||
|
5.25%, 3/2/2030
|
17,235
|
17,616
|
|
4.85%, 2/19/2036
|
19,115
|
18,737
|
|
3.15%, 2/21/2040
|
12,815
|
9,981
|
|
5.60%, 3/2/2043
|
23,181
|
23,008
|
|
4.66%, 6/15/2051
|
17,300
|
14,680
|
|
5.65%, 3/2/2053
|
16,083
|
15,635
|
|
5.75%, 3/2/2063
|
7,500
|
7,280
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Biotechnology — continued
|
||
|
Biogen, Inc.
|
||
|
3.25%, 2/15/2051
|
3,480
|
2,276
|
|
6.45%, 5/15/2055
|
5,340
|
5,679
|
|
|
|
234,911
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc.
|
||
|
4.88%, 3/13/2036
|
24,800
|
24,502
|
|
3.95%, 4/13/2052
|
27,400
|
21,115
|
|
5.80%, 3/13/2056
|
19,300
|
19,318
|
|
3.25%, 5/12/2061
|
7,000
|
4,368
|
|
|
|
69,303
|
|
Building Products — 0.0% ^
|
||
|
Masco Corp. 6.50%, 8/15/2032
|
10,095
|
10,817
|
|
Trane Technologies Financing Ltd. 5.25%, 3/3/2033
|
10,410
|
10,678
|
|
|
|
21,495
|
|
Capital Markets — 2.2%
|
||
|
Bank of New York Mellon Corp. (The) (SOFR + 1.85%), 6.47%, 10/25/2034 (c)
|
19,650
|
21,452
|
|
Brookfield Finance, Inc. (Canada)
|
||
|
3.90%, 1/25/2028
|
3,664
|
3,626
|
|
4.85%, 3/29/2029
|
5,160
|
5,180
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 2.52%), 7.15%, 7/13/2027 (c)
|
14,135
|
14,177
|
|
(SOFR + 1.22%), 2.31%, 11/16/2027 (c)
|
4,955
|
4,906
|
|
(SOFR + 1.21%), 5.37%, 1/10/2029 (c)
|
24,880
|
25,158
|
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (c)
|
8,661
|
8,943
|
|
5.41%, 5/10/2029
|
16,725
|
17,152
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (c)
|
11,195
|
11,737
|
|
(SOFR + 1.70%), 5.00%, 9/11/2030 (c)
|
6,960
|
6,995
|
|
(SOFR + 1.72%), 5.30%, 5/9/2031 (c)
|
30,818
|
31,107
|
|
(SOFR + 1.30%), 4.95%, 8/4/2031 (c)
|
26,935
|
26,866
|
|
(SOFR + 3.04%), 3.55%, 9/18/2031 (c)
|
10,555
|
9,938
|
|
(SOFR + 1.10%), 4.47%, 12/10/2031 (c)
|
9,255
|
9,106
|
|
(SOFR + 1.72%), 3.04%, 5/28/2032 (c)
|
17,877
|
16,265
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (c)
|
14,889
|
14,751
|
|
(SOFR + 1.85%), 3.62%, 3/15/2028 (c)
|
15,385
|
15,288
|
|
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (c)
|
18,675
|
18,409
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (c)
|
26,250
|
27,333
|
|
(SOFR + 1.21%), 5.05%, 7/23/2030 (c)
|
25,535
|
25,772
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (c)
|
39,376
|
39,953
|
|
(SOFR + 0.96%), 4.52%, 1/21/2032 (c)
|
20,000
|
19,691
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
11,700
|
10,537
|
|
(SOFR + 1.03%), 4.97%, 6/3/2032 (c)
|
9,280
|
9,302
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (c)
|
12,855
|
11,367
|
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (c)
|
23,688
|
21,479
|
|
(SOFR + 1.34%), 5.09%, 4/20/2034 (c)
|
24,430
|
24,379
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (c)
|
53,955
|
54,302
|
|
(SOFR + 1.38%), 5.54%, 1/28/2036 (c)
|
13,000
|
13,227
|
|
(SOFR + 1.33%), 4.94%, 10/21/2036 (c)
|
44,510
|
43,231
|
|
(SOFR + 1.19%), 5.07%, 1/21/2037 (c)
|
37,520
|
36,704
|
|
(SOFR + 1.31%), 5.43%, 6/3/2037 (c)
|
16,600
|
16,688
|
|
6.75%, 10/1/2037
|
1,435
|
1,569
|
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c)
|
4,600
|
4,040
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (c)
|
16,126
|
14,556
|
|
(SOFR + 1.51%), 3.21%, 4/22/2042 (c)
|
1,000
|
755
|
|
(SOFR + 1.63%), 3.44%, 2/24/2043 (c)
|
5,469
|
4,194
|
|
Jefferies Financial Group, Inc. 6.45%, 6/8/2027
|
3,725
|
3,796
|
|
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)
|
8,095
|
7,315
|
|
Morgan Stanley
|
||
|
4.35%, 9/8/2026
|
1,640
|
1,641
|
|
(SOFR + 1.00%), 2.48%, 1/21/2028 (c)
|
5,806
|
5,738
|
|
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (c)
|
17,528
|
17,429
|
|
(SOFR + 1.26%), 5.66%, 4/18/2030 (c)
|
4,930
|
5,055
|
|
(SOFR + 1.22%), 5.04%, 7/19/2030 (c)
|
16,015
|
16,162
|
|
Series I, (SOFR + 1.07%), 4.36%, 10/22/2031 (c)
|
36,385
|
35,707
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
11,200
|
9,749
|
|
(SOFR + 1.20%), 4.71%, 3/12/2032 (c)
|
26,800
|
26,555
|
|
(SOFRINDX + 1.18%), 4.81%, 4/16/2032 (c)
|
21,880
|
21,787
|
|
(SOFR + 1.87%), 5.25%, 4/21/2034 (c)
|
28,395
|
28,678
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (c)
|
9,295
|
9,474
|
|
(SOFR + 1.73%), 5.47%, 1/18/2035 (c)
|
11,146
|
11,364
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
21,675
|
21,892
|
|
Series I, (SOFR + 1.31%), 4.89%, 10/22/2036 (c)
|
18,980
|
18,417
|
|
(SOFR + 1.18%), 5.07%, 1/30/2037 (c)
|
31,685
|
31,027
|
|
(SOFRINDX + 1.41%), 5.30%, 4/10/2037 (c)
|
38,000
|
37,897
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c)
|
10,600
|
9,811
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (c)
|
9,350
|
7,149
|
|
(SOFR + 1.78%), 5.90%, 3/13/2047 (c)
|
27,000
|
27,401
|
|
Nasdaq, Inc. 5.55%, 2/15/2034
|
7,712
|
7,964
|
|
Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030
|
12,180
|
11,188
|
|
State Street Corp.
|
||
|
(SOFR + 1.57%), 4.82%, 1/26/2034 (c)
|
9,010
|
8,970
|
|
(SOFR + 1.22%), 4.78%, 10/23/2036 (c)
|
13,330
|
12,982
|
|
UBS Group AG (Switzerland)
|
||
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c)
|
2,991
|
2,957
|
|
(SOFR + 1.06%), 4.40%, 9/23/2031 (b) (c)
|
8,035
|
7,890
|
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c)
|
13,127
|
12,050
|
|
(SOFR + 1.29%), 4.84%, 11/6/2033 (b) (c)
|
37,905
|
37,229
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (b) (c)
|
9,855
|
10,511
|
|
(SOFR + 1.76%), 5.58%, 5/9/2036 (b) (c)
|
8,000
|
8,156
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(SOFR + 1.34%), 5.01%, 3/23/2037 (b) (c)
|
32,415
|
31,597
|
|
(SOFR + 1.34%), 5.20%, 8/10/2037 (b) (c)
|
29,685
|
29,224
|
|
|
|
1,174,897
|
|
Chemicals — 0.1%
|
||
|
CF Industries, Inc. 5.30%, 11/26/2035
|
3,570
|
3,562
|
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038
|
11,250
|
11,124
|
|
International Flavors & Fragrances, Inc. 2.30%, 11/1/2030 (b)
|
31,177
|
28,035
|
|
Nutrien Ltd. (Canada)
|
||
|
4.13%, 3/15/2035
|
6,522
|
5,999
|
|
5.25%, 1/15/2045
|
4,729
|
4,428
|
|
5.00%, 4/1/2049
|
4,150
|
3,701
|
|
|
|
56,849
|
|
Commercial Services & Supplies — 0.1%
|
||
|
Element Fleet Management Corp. (Canada)
|
||
|
5.64%, 3/13/2027 (b)
|
6,890
|
6,947
|
|
6.32%, 12/4/2028 (b)
|
25,788
|
26,778
|
|
5.04%, 3/25/2030 (b)
|
23,200
|
23,404
|
|
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
4,000
|
2,223
|
|
|
|
59,352
|
|
Construction & Engineering — 0.1%
|
||
|
Quanta Services, Inc.
|
||
|
2.35%, 1/15/2032
|
17,240
|
15,157
|
|
5.10%, 8/9/2035
|
26,000
|
25,923
|
|
3.05%, 10/1/2041
|
3,330
|
2,464
|
|
|
|
43,544
|
|
Construction Materials — 0.0% ^
|
||
|
CRH America, Inc. 5.13%, 5/18/2045 (b)
|
6,052
|
5,586
|
|
Consumer Finance — 0.8%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
2.45%, 10/29/2026
|
39,380
|
39,105
|
|
5.10%, 1/19/2029
|
3,835
|
3,878
|
|
4.63%, 9/10/2029
|
22,915
|
22,865
|
|
3.30%, 1/30/2032
|
12,605
|
11,534
|
|
4.75%, 1/15/2033
|
12,970
|
12,709
|
|
5.00%, 11/15/2035
|
14,740
|
14,310
|
|
Aircastle Ltd. 5.75%, 10/1/2031 (b)
|
23,060
|
23,643
|
|
American Express Co.
|
||
|
(SOFR + 1.22%), 4.92%, 7/20/2033 (c)
|
16,625
|
16,645
|
|
(SOFRINDX + 1.32%), 5.44%, 1/30/2036 (c)
|
5,720
|
5,839
|
|
(SOFR + 1.24%), 4.80%, 10/24/2036 (c)
|
28,320
|
27,405
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
2.53%, 11/18/2027 (b)
|
29,501
|
28,601
|
|
4.95%, 1/15/2028 (b)
|
25,172
|
25,247
|
|
5.75%, 3/1/2029 (b)
|
6,790
|
6,935
|
|
4.20%, 4/15/2029 (b)
|
14,100
|
13,854
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
5.15%, 1/15/2030 (b)
|
19,965
|
20,059
|
|
4.90%, 10/10/2030 (b)
|
10,505
|
10,427
|
|
4.70%, 1/30/2031 (b)
|
17,510
|
17,193
|
|
4.95%, 10/15/2032 (b)
|
6,712
|
6,546
|
|
4.85%, 4/1/2033 (b)
|
29,422
|
28,419
|
|
Capital One Financial Corp.
|
||
|
(SOFR + 2.64%), 6.31%, 6/8/2029 (c)
|
29,565
|
30,504
|
|
(SOFR + 1.27%), 2.62%, 11/2/2032 (c)
|
16,445
|
14,562
|
|
(SOFR + 1.63%), 5.20%, 9/11/2036 (c)
|
7,500
|
7,306
|
|
HSBC Finance Corp. 7.63%, 5/17/2032
|
9,000
|
9,755
|
|
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b)
|
13,025
|
13,343
|
|
Synchrony Financial (SOFRINDX + 2.13%), 5.94%, 8/2/2030 (c)
|
8,500
|
8,667
|
|
|
|
419,351
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
CVS Pass-Through Trust 7.51%, 1/10/2032 (b)
|
3,018
|
3,180
|
|
Kroger Co. (The)
|
||
|
5.00%, 9/15/2034
|
9,140
|
9,049
|
|
5.00%, 4/15/2042
|
9,000
|
8,355
|
|
3.88%, 10/15/2046
|
11,000
|
8,409
|
|
5.50%, 9/15/2054
|
6,950
|
6,531
|
|
|
|
35,524
|
|
Containers & Packaging — 0.1%
|
||
|
Amcor Flexibles North America, Inc.
|
||
|
5.10%, 3/17/2030
|
6,000
|
6,077
|
|
5.13%, 3/12/2036
|
15,315
|
15,035
|
|
Smurfit Westrock Financing DAC (Ireland) 5.42%, 1/15/2035
|
5,760
|
5,821
|
|
|
|
26,933
|
|
Diversified — 0.3%
|
||
|
Ygrene Frn 8.50%, 7/25/2045 ‡ (b)
|
172,933
|
173,797
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Claremont Mckenna College Series 2019, 3.38%, 1/1/2050
|
10,000
|
6,899
|
|
Pepperdine University Series 2020, 3.30%, 12/1/2059
|
9,620
|
6,182
|
|
University of Miami Series 2022, 4.06%, 4/1/2052
|
6,570
|
5,072
|
|
University of Southern California Series A, 3.23%, 10/1/2120
|
9,370
|
5,225
|
|
|
|
23,378
|
|
Diversified REITs — 0.1%
|
||
|
Equinix Europe 2 Financing Corp. LLC 4.70%, 3/15/2033
|
28,285
|
27,699
|
|
Safehold GL Holdings LLC 2.80%, 6/15/2031
|
3,991
|
3,613
|
|
Simon Property Group LP 3.25%, 9/13/2049
|
12,865
|
8,854
|
|
WP Carey, Inc.
|
||
|
4.25%, 10/1/2026
|
4,970
|
4,969
|
|
2.45%, 2/1/2032
|
10,980
|
9,621
|
|
2.25%, 4/1/2033
|
12,000
|
10,051
|
|
|
|
64,807
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Diversified Telecommunication Services — 0.5%
|
||
|
AT&T, Inc.
|
||
|
1.65%, 2/1/2028
|
3,535
|
3,382
|
|
2.25%, 2/1/2032
|
26,520
|
23,173
|
|
4.75%, 4/30/2033
|
29,475
|
29,115
|
|
3.50%, 6/1/2041
|
35,836
|
27,869
|
|
3.65%, 6/1/2051
|
16,997
|
11,755
|
|
3.55%, 9/15/2055
|
25,312
|
16,549
|
|
3.80%, 12/1/2057
|
4,454
|
3,027
|
|
Comcast Corp.
|
||
|
5.30%, 6/1/2034
|
3,950
|
4,014
|
|
4.20%, 8/15/2034
|
3,361
|
3,162
|
|
5.17%, 1/15/2037 (b)
|
17,553
|
17,137
|
|
3.25%, 11/1/2039
|
19,265
|
14,904
|
|
3.75%, 4/1/2040
|
8,535
|
6,941
|
|
4.00%, 11/1/2049
|
5,553
|
4,061
|
|
3.45%, 2/1/2050
|
8,500
|
5,633
|
|
2.80%, 1/15/2051
|
24,803
|
14,335
|
|
2.89%, 11/1/2051
|
14,886
|
8,689
|
|
4.05%, 11/1/2052
|
1,350
|
973
|
|
2.94%, 11/1/2056
|
15,473
|
8,678
|
|
2.99%, 11/1/2063
|
962
|
516
|
|
Grupo Televisa SAB (Mexico) 6.13%, 1/31/2046
|
767
|
589
|
|
Orange SA (France) 4.75%, 1/13/2033 (b)
|
53,360
|
52,744
|
|
Verizon Communications, Inc. 3.40%, 3/22/2041
|
7,000
|
5,439
|
|
|
|
262,685
|
|
Electric Utilities — 2.5%
|
||
|
AEP Transmission Co. LLC 5.40%, 3/15/2053
|
4,030
|
3,849
|
|
Appalachian Power Co. Series P, 6.70%, 8/15/2037
|
3,740
|
4,073
|
|
Appalachian Power Recovery Funding LLC Series A-3, 5.84%, 4/1/2046
|
18,480
|
18,710
|
|
Ausgrid Finance Pty. Ltd. (Australia) 4.35%, 8/1/2028 (b)
|
1,500
|
1,492
|
|
Baltimore Gas and Electric Co.
|
||
|
3.20%, 9/15/2049
|
8,020
|
5,350
|
|
2.90%, 6/15/2050
|
7,770
|
4,889
|
|
5.65%, 6/1/2054
|
17,320
|
16,939
|
|
Cleveland Electric Illuminating Co. (The) 3.50%, 4/1/2028 (b)
|
3,890
|
3,815
|
|
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030
|
4,231
|
4,309
|
|
DTE Electric Co. 2.95%, 3/1/2050
|
8,800
|
5,716
|
|
DTE Electric Securitization Funding II LLC Series A-1, 5.97%, 3/1/2032
|
14,408
|
14,975
|
|
Duke Energy Carolinas LLC 5.40%, 1/15/2054
|
9,705
|
9,263
|
|
Duke Energy Corp.
|
||
|
3.75%, 9/1/2046
|
16,415
|
12,296
|
|
6.10%, 9/15/2053
|
26,040
|
26,423
|
|
5.70%, 9/15/2055
|
18,525
|
17,775
|
|
Duke Energy Florida Project Finance LLC Series 2032, 2.86%, 3/1/2033
|
9,430
|
8,640
|
|
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049
|
6,895
|
4,705
|
|
Duke Energy Progress LLC 2.90%, 8/15/2051
|
9,495
|
5,908
|
|
Duke Energy Progress NC Storm Funding LLC Series A-2, 2.39%, 7/1/2037
|
5,000
|
4,254
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Duquesne Light Holdings, Inc.
|
||
|
3.62%, 8/1/2027 (b)
|
8,002
|
7,912
|
|
2.78%, 1/7/2032 (b)
|
6,275
|
5,534
|
|
Edison International
|
||
|
5.75%, 6/15/2027
|
2,000
|
2,015
|
|
4.13%, 3/15/2028
|
6,730
|
6,631
|
|
5.00%, 5/5/2028
|
5,080
|
5,090
|
|
5.25%, 11/15/2028
|
15,800
|
15,877
|
|
Electricite de France SA (France) 5.95%, 4/22/2034 (b)
|
19,275
|
20,178
|
|
Emera US Finance LP (Canada) 4.75%, 6/15/2046
|
40,095
|
33,999
|
|
ENEL Finance International NV (Italy)
|
||
|
3.50%, 4/6/2028 (b)
|
4,500
|
4,417
|
|
5.13%, 6/26/2029 (b)
|
15,935
|
16,124
|
|
5.50%, 6/26/2034 (b)
|
22,930
|
23,277
|
|
5.00%, 9/30/2035 (b)
|
12,700
|
12,387
|
|
6.00%, 10/7/2039 (b)
|
897
|
916
|
|
Entergy Arkansas LLC
|
||
|
2.65%, 6/15/2051
|
8,425
|
4,961
|
|
5.75%, 6/1/2054
|
6,750
|
6,689
|
|
Entergy Louisiana LLC
|
||
|
2.40%, 10/1/2026
|
4,979
|
4,951
|
|
3.05%, 6/1/2031
|
4,606
|
4,277
|
|
5.80%, 3/15/2055
|
17,840
|
17,790
|
|
Entergy Mississippi LLC 5.85%, 6/1/2054
|
12,395
|
12,357
|
|
Entergy Texas, Inc. 5.80%, 9/1/2053
|
8,450
|
8,393
|
|
Evergy Metro, Inc. 5.40%, 4/1/2034
|
6,931
|
7,112
|
|
Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038
|
10,464
|
10,531
|
|
Evergy, Inc. 2.90%, 9/15/2029
|
7,869
|
7,469
|
|
Exelon Corp. 5.30%, 3/15/2033
|
13,000
|
13,308
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
51,620
|
51,170
|
|
FirstEnergy Pennsylvania Electric Co.
|
||
|
3.25%, 3/15/2028 (b)
|
1,570
|
1,535
|
|
5.20%, 4/1/2028 (b)
|
2,400
|
2,427
|
|
FirstEnergy Transmission LLC
|
||
|
5.45%, 7/15/2044 (b)
|
8,353
|
7,950
|
|
4.55%, 4/1/2049 (b)
|
830
|
697
|
|
Florida Power & Light Co.
|
||
|
5.10%, 4/1/2033
|
5,440
|
5,536
|
|
5.30%, 4/1/2053
|
9,410
|
8,884
|
|
Fortis, Inc. (Canada) 3.06%, 10/4/2026
|
8,472
|
8,439
|
|
Interstate Power and Light Co. 4.95%, 9/30/2034
|
8,615
|
8,526
|
|
ITC Holdings Corp.
|
||
|
2.95%, 5/14/2030 (b)
|
6,820
|
6,364
|
|
5.40%, 6/1/2033 (b)
|
5,000
|
5,078
|
|
5.65%, 5/9/2034 (b)
|
18,040
|
18,531
|
|
Jersey Central Power & Light Co.
|
||
|
5.10%, 1/15/2035
|
8,680
|
8,663
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
6.15%, 6/1/2037
|
1,740
|
1,842
|
|
Massachusetts Electric Co. 4.00%, 8/15/2046 (b)
|
4,957
|
3,828
|
|
MidAmerican Energy Co. 5.85%, 9/15/2054
|
10,500
|
10,655
|
|
Monongahela Power Co. 5.85%, 2/15/2034 (b)
|
7,920
|
8,292
|
|
NextEra Energy Capital Holdings, Inc.
|
||
|
5.25%, 2/28/2053
|
11,030
|
10,013
|
|
5.55%, 3/15/2054
|
45,000
|
42,622
|
|
Niagara Mohawk Power Corp.
|
||
|
5.66%, 1/17/2054 (b)
|
8,540
|
8,091
|
|
6.00%, 7/3/2055 (b)
|
3,735
|
3,712
|
|
Northern States Power Co. 5.10%, 5/15/2053
|
15,470
|
14,167
|
|
NRG Energy, Inc.
|
||
|
2.45%, 12/2/2027 (b)
|
13,055
|
12,639
|
|
5.41%, 10/15/2035 (b)
|
5,289
|
5,193
|
|
OGE Energy Corp. 5.45%, 5/15/2029
|
7,110
|
7,262
|
|
Oncor Electric Delivery Co. LLC 4.95%, 9/15/2052
|
19,830
|
17,610
|
|
Pacific Gas and Electric Co.
|
||
|
3.75%, 7/1/2028
|
7,665
|
7,523
|
|
6.10%, 1/15/2029
|
28,870
|
29,790
|
|
6.40%, 6/15/2033
|
33,829
|
36,001
|
|
5.80%, 5/15/2034
|
21,651
|
22,161
|
|
6.00%, 8/15/2035
|
35,355
|
36,477
|
|
4.45%, 4/15/2042
|
5,700
|
4,722
|
|
3.75%, 8/15/2042 (e)
|
2,882
|
2,173
|
|
4.30%, 3/15/2045
|
18,688
|
14,717
|
|
4.00%, 12/1/2046
|
5,000
|
3,725
|
|
6.75%, 1/15/2053
|
7,990
|
8,400
|
|
5.90%, 10/1/2054
|
18,445
|
17,454
|
|
6.00%, 5/1/2056
|
7,660
|
7,360
|
|
Palomino Funding Trust I 7.23%, 5/17/2028 (b)
|
5,000
|
5,203
|
|
PECO Energy Co. 2.80%, 6/15/2050
|
6,430
|
3,982
|
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
3,507
|
3,912
|
|
PG&E Recovery Funding LLC
|
||
|
Series A-2, 5.23%, 6/1/2042
|
22,380
|
22,227
|
|
Series A-3, 5.54%, 7/15/2047
|
8,670
|
8,528
|
|
Series A-3, 5.53%, 6/1/2049
|
26,600
|
26,266
|
|
PG&E Wildfire Recovery Funding LLC
|
||
|
Series A-2, 4.26%, 6/1/2036
|
10,550
|
10,135
|
|
Series A-4, 5.21%, 12/1/2047
|
9,600
|
9,059
|
|
Series A-5, 4.67%, 12/1/2051
|
2,170
|
1,880
|
|
Series A-5, 5.10%, 6/1/2052
|
26,355
|
24,158
|
|
PPL Electric Utilities Corp.
|
||
|
3.00%, 10/1/2049
|
10,000
|
6,554
|
|
5.25%, 5/15/2053
|
14,285
|
13,371
|
|
Public Service Co. of Colorado 5.25%, 4/1/2053
|
10,460
|
9,654
|
|
Public Service Co. of Oklahoma
|
||
|
5.25%, 1/15/2033
|
6,680
|
6,780
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
5.20%, 1/15/2035
|
6,205
|
6,208
|
|
Series G, 6.63%, 11/15/2037
|
3,901
|
4,192
|
|
Series K, 3.15%, 8/15/2051
|
12,330
|
7,950
|
|
SCE Recovery Funding LLC
|
||
|
Series A-2, 1.94%, 5/15/2038
|
9,380
|
7,271
|
|
Series A-1, 4.70%, 6/15/2040
|
15,903
|
15,462
|
|
Series A-3, 2.51%, 11/15/2043
|
7,950
|
5,498
|
|
5.34%, 3/15/2045
|
19,235
|
19,018
|
|
Series A-2, 5.11%, 12/15/2047
|
6,495
|
6,045
|
|
Sierra Pacific Power Co. 5.90%, 3/15/2054
|
20,270
|
20,308
|
|
Sigeco Securitization I LLC
|
||
|
Series A1, 5.03%, 11/15/2036
|
13,707
|
13,776
|
|
Series A2, 5.17%, 5/15/2041
|
6,960
|
6,729
|
|
Southern California Edison Co.
|
||
|
Series B, 3.65%, 3/1/2028
|
4,300
|
4,228
|
|
6.00%, 1/15/2034
|
895
|
929
|
|
5.20%, 6/1/2034
|
14,150
|
13,989
|
|
6.05%, 3/15/2039
|
2,197
|
2,233
|
|
3.90%, 12/1/2041
|
3,408
|
2,635
|
|
Series C, 4.13%, 3/1/2048
|
1,800
|
1,354
|
|
Series 20A, 2.95%, 2/1/2051
|
3,000
|
1,805
|
|
5.70%, 3/1/2053
|
5,545
|
5,105
|
|
5.75%, 4/15/2054
|
13,500
|
12,519
|
|
5.90%, 3/1/2055
|
8,030
|
7,640
|
|
Southern Co. (The) 5.70%, 3/15/2034
|
28,704
|
29,787
|
|
Toledo Edison Co. (The) 6.15%, 5/15/2037
|
5,800
|
6,218
|
|
Union Electric Co.
|
||
|
5.20%, 4/1/2034
|
13,540
|
13,772
|
|
3.90%, 4/1/2052
|
6,367
|
4,809
|
|
5.45%, 3/15/2053
|
11,765
|
11,264
|
|
5.13%, 3/15/2055
|
8,335
|
7,586
|
|
Virginia Power Fuel Securitization LLC Series A-2, 4.88%, 5/1/2031
|
8,150
|
8,209
|
|
Vistra Operations Co. LLC
|
||
|
4.38%, 5/1/2029 (b)
|
11,083
|
10,869
|
|
6.95%, 10/15/2033 (b)
|
2,981
|
3,244
|
|
6.00%, 4/15/2034 (b)
|
4,203
|
4,330
|
|
5.70%, 12/30/2034 (b)
|
13,240
|
13,394
|
|
5.35%, 1/31/2036 (b)
|
15,930
|
15,577
|
|
Xcel Energy, Inc. 4.80%, 9/15/2041
|
829
|
738
|
|
|
|
1,342,205
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Amphenol Corp. 5.30%, 11/15/2055
|
28,740
|
27,201
|
|
Corning, Inc. 5.35%, 11/15/2048
|
6,270
|
5,980
|
|
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028
|
6,750
|
6,728
|
|
|
|
39,909
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Energy Equipment & Services — 0.1%
|
||
|
Baker Hughes Holdings LLC 5.00%, 6/15/2036
|
26,080
|
25,687
|
|
Financial Services — 1.5%
|
||
|
BAML RCAP (United Kingdom) 8.00%, 10/26/2029 ‡
|
17,826
|
17,803
|
|
BCAP LLC Trust 0.00%, 9/17/2027 ‡
|
89,133
|
89,133
|
|
BG Beta I Ltd. (Cayman Islands) 0.00%, 7/16/2054 ‡ (f)
|
54,175
|
53,585
|
|
CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡
|
174,940
|
174,721
|
|
CK Hutchison International 16 Ltd. (United Kingdom) 2.75%, 10/3/2026 (b)
|
6,500
|
6,466
|
|
Corebridge Financial, Inc.
|
||
|
3.65%, 4/5/2027
|
13,295
|
13,228
|
|
3.85%, 4/5/2029
|
9,710
|
9,491
|
|
Fidelity National Information Services, Inc. 4.80%, 3/10/2031
|
17,639
|
17,508
|
|
Fiserv, Inc.
|
||
|
3.20%, 7/1/2026
|
6,035
|
6,031
|
|
5.15%, 8/12/2034
|
18,135
|
17,678
|
|
4.40%, 7/1/2049
|
5,835
|
4,477
|
|
Global Payments, Inc.
|
||
|
5.30%, 8/15/2029
|
6,266
|
6,323
|
|
2.90%, 11/15/2031
|
9,690
|
8,560
|
|
5.20%, 11/15/2032
|
41,950
|
41,175
|
|
5.40%, 3/15/2033
|
17,624
|
17,390
|
|
5.55%, 11/15/2035
|
20,900
|
20,389
|
|
5.95%, 8/15/2052
|
3,625
|
3,436
|
|
Goodleap LLC Class A, 0.00%, 7/15/2038 ‡
|
130,120
|
133,373
|
|
LSEG Finance plc (United Kingdom) 2.00%, 4/6/2028 (b)
|
30,170
|
28,842
|
|
National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031
|
11,940
|
12,146
|
|
Nationwide Building Society (United Kingdom)
|
||
|
(3-MONTH SOFR + 1.86%), 3.96%, 7/18/2030 (b) (c)
|
26,080
|
25,424
|
|
(SOFR + 1.65%), 5.54%, 7/14/2036 (b) (c)
|
5,770
|
5,831
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
77,566
|
77,566
|
|
|
|
790,576
|
|
Food Products — 0.5%
|
||
|
Bimbo Bakeries USA, Inc. (Mexico)
|
||
|
6.05%, 1/15/2029 (b)
|
3,406
|
3,502
|
|
5.38%, 1/9/2036 (b)
|
5,080
|
5,058
|
|
Bunge Ltd. Finance Corp.
|
||
|
2.75%, 5/14/2031
|
22,130
|
20,227
|
|
5.15%, 8/4/2035
|
39,870
|
39,839
|
|
JBS NV
|
||
|
3.75%, 12/1/2031
|
15,000
|
13,976
|
|
6.75%, 3/15/2034
|
2,297
|
2,501
|
|
5.95%, 4/20/2035
|
8,980
|
9,258
|
|
5.50%, 1/15/2036
|
29,725
|
29,658
|
|
5.63%, 3/10/2037 (b)
|
1,815
|
1,810
|
|
6.50%, 12/1/2052
|
1,710
|
1,728
|
|
6.38%, 2/25/2055
|
16,735
|
16,713
|
|
6.38%, 4/15/2066
|
32,455
|
31,719
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Food Products — continued
|
||
|
Kraft Heinz Foods Co.
|
||
|
5.00%, 7/15/2035
|
22,860
|
22,296
|
|
4.38%, 6/1/2046
|
2,562
|
2,057
|
|
4.88%, 10/1/2049
|
22,000
|
18,387
|
|
Mars, Inc. 5.00%, 3/1/2032 (b)
|
28,555
|
28,854
|
|
Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044
|
955
|
833
|
|
Tyson Foods, Inc. 5.70%, 3/15/2034
|
10,200
|
10,568
|
|
|
|
258,984
|
|
Gas Utilities — 0.1%
|
||
|
Atmos Energy Corp.
|
||
|
4.15%, 1/15/2043
|
7,215
|
6,126
|
|
4.13%, 3/15/2049
|
6,000
|
4,796
|
|
Brooklyn Union Gas Co. (The)
|
||
|
3.87%, 3/4/2029 (b)
|
5,620
|
5,504
|
|
4.27%, 3/15/2048 (b)
|
6,500
|
5,073
|
|
KeySpan Gas East Corp. 2.74%, 8/15/2026 (b)
|
4,242
|
4,228
|
|
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052
|
7,979
|
7,138
|
|
Southern California Gas Co. Series XX, 2.55%, 2/1/2030
|
7,148
|
6,695
|
|
|
|
39,560
|
|
Ground Transportation — 0.1%
|
||
|
Burlington Northern Santa Fe LLC
|
||
|
4.38%, 9/1/2042
|
4,018
|
3,538
|
|
3.55%, 2/15/2050
|
5,584
|
4,052
|
|
Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048
|
2,500
|
2,186
|
|
ERAC USA Finance LLC 5.20%, 10/30/2034 (b)
|
7,330
|
7,392
|
|
Norfolk Southern Corp.
|
||
|
3.95%, 10/1/2042
|
2,888
|
2,381
|
|
4.05%, 8/15/2052
|
5,192
|
4,003
|
|
Uber Technologies, Inc. 4.80%, 9/15/2034
|
13,210
|
12,927
|
|
Union Pacific Corp. 3.95%, 8/15/2059
|
6,000
|
4,418
|
|
|
|
40,897
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Becton Dickinson & Co. 3.79%, 5/20/2050
|
499
|
360
|
|
Solventum Corp. 5.60%, 3/23/2034
|
37,387
|
38,348
|
|
|
|
38,708
|
|
Health Care Providers & Services — 1.3%
|
||
|
AHS Hospital Corp. 5.02%, 7/1/2045
|
14,094
|
12,957
|
|
Banner Health 1.90%, 1/1/2031
|
13,950
|
12,383
|
|
BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050
|
9,475
|
7,186
|
|
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051
|
4,180
|
2,706
|
|
Cardinal Health, Inc. 5.45%, 2/15/2034
|
7,500
|
7,668
|
|
Cencora, Inc. 5.13%, 2/15/2034
|
30,700
|
30,857
|
|
Children's Hospital Series 2020, 2.93%, 7/15/2050
|
13,680
|
8,683
|
|
Cigna Group (The)
|
||
|
5.13%, 5/15/2031
|
20,860
|
21,259
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
5.25%, 1/15/2036
|
20,433
|
20,510
|
|
3.20%, 3/15/2040
|
24,119
|
18,854
|
|
4.80%, 7/15/2046
|
1,904
|
1,674
|
|
CommonSpirit Health
|
||
|
2.78%, 10/1/2030
|
6,205
|
5,721
|
|
4.19%, 10/1/2049
|
5,540
|
4,301
|
|
3.91%, 10/1/2050
|
6,600
|
4,895
|
|
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049
|
10,450
|
7,151
|
|
CVS Health Corp.
|
||
|
5.13%, 2/21/2030
|
8,553
|
8,677
|
|
5.25%, 2/21/2033
|
22,000
|
22,365
|
|
CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b)
|
6,723
|
6,276
|
|
Elevance Health, Inc.
|
||
|
4.10%, 3/1/2028
|
5,485
|
5,454
|
|
4.65%, 8/15/2044
|
4,149
|
3,616
|
|
Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050
|
11,100
|
7,031
|
|
Hartford HealthCare Corp. 3.45%, 7/1/2054
|
6,166
|
4,323
|
|
HCA, Inc.
|
||
|
5.50%, 3/1/2032
|
9,612
|
9,860
|
|
5.60%, 4/1/2034
|
28,350
|
29,025
|
|
5.75%, 3/1/2035
|
23,003
|
23,673
|
|
4.90%, 11/15/2035
|
10,120
|
9,795
|
|
5.13%, 6/15/2039
|
4,805
|
4,559
|
|
5.50%, 6/15/2047
|
17,500
|
16,225
|
|
3.50%, 7/15/2051
|
6,831
|
4,573
|
|
4.63%, 3/15/2052
|
27,825
|
22,406
|
|
5.95%, 9/15/2054
|
12,475
|
12,127
|
|
6.10%, 4/1/2064
|
17,625
|
17,393
|
|
Mayo Clinic Series 2016, 4.13%, 11/15/2052
|
2,975
|
2,362
|
|
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049
|
7,365
|
5,301
|
|
Memorial Health Services 3.45%, 11/1/2049
|
25,595
|
17,950
|
|
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055
|
3,335
|
2,653
|
|
MyMichigan Health Series 2020, 3.41%, 6/1/2050
|
5,410
|
3,769
|
|
Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052
|
4,136
|
3,502
|
|
NYU Langone Hospitals
|
||
|
4.78%, 7/1/2044
|
5,994
|
5,487
|
|
Series 2020, 3.38%, 7/1/2055
|
9,170
|
6,199
|
|
Queen's Health Systems (The) 4.81%, 7/1/2052
|
18,840
|
16,514
|
|
Quest Diagnostics, Inc.
|
||
|
3.45%, 6/1/2026
|
1,684
|
1,684
|
|
6.40%, 11/30/2033
|
11,460
|
12,438
|
|
Sutter Health 5.55%, 8/15/2053
|
5,000
|
4,890
|
|
Texas Health Resources
|
||
|
2.33%, 11/15/2050
|
6,717
|
3,788
|
|
4.33%, 11/15/2055
|
4,275
|
3,520
|
|
Triad Holdings III LLC 0.00%, 4/1/2052 ‡
|
173,202
|
174,933
|
|
Trinity Health Corp. Series 2019, 3.43%, 12/1/2048
|
20,450
|
15,047
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052
|
6,070
|
5,589
|
|
UnitedHealth Group, Inc.
|
||
|
3.50%, 8/15/2039
|
8,210
|
6,750
|
|
3.25%, 5/15/2051
|
9,695
|
6,517
|
|
5.88%, 2/15/2053
|
9,740
|
9,777
|
|
5.05%, 4/15/2053
|
19,000
|
16,997
|
|
|
|
699,850
|
|
Health Care REITs — 0.1%
|
||
|
Alexandria Real Estate Equities, Inc. 5.15%, 4/15/2053
|
2,800
|
2,466
|
|
DOC DR LLC
|
||
|
4.30%, 3/15/2027
|
4,500
|
4,498
|
|
3.95%, 1/15/2028
|
2,100
|
2,080
|
|
2.63%, 11/1/2031
|
6,195
|
5,527
|
|
Ventas Realty LP
|
||
|
3.25%, 10/15/2026
|
7,254
|
7,225
|
|
3.85%, 4/1/2027
|
4,308
|
4,291
|
|
Welltower OP LLC
|
||
|
6.50%, 3/15/2041
|
460
|
510
|
|
4.95%, 9/1/2048
|
5,000
|
4,603
|
|
|
|
31,200
|
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
|
AES Corp. (The) 5.80%, 3/15/2032
|
29,565
|
30,044
|
|
Alexander Funding Trust II 7.47%, 7/31/2028 (b)
|
25,600
|
26,869
|
|
Constellation Energy Generation LLC
|
||
|
5.80%, 3/1/2033
|
4,555
|
4,775
|
|
6.25%, 10/1/2039
|
18,303
|
19,329
|
|
5.75%, 10/1/2041
|
15,265
|
15,342
|
|
6.50%, 10/1/2053
|
3,470
|
3,718
|
|
Southern Power Co. 5.15%, 9/15/2041
|
7,079
|
6,744
|
|
|
|
106,821
|
|
Industrial REITs — 0.0% ^
|
||
|
Goodman US Finance Eight LLC (Australia) 5.88%, 4/28/2046 (b)
|
5,400
|
5,319
|
|
Goodman US Finance Six LLC (Australia) 5.13%, 10/7/2034 (b)
|
11,095
|
10,967
|
|
Prologis LP 2.25%, 4/15/2030
|
3,830
|
3,525
|
|
|
|
19,811
|
|
Insurance — 0.6%
|
||
|
AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b)
|
7,535
|
5,800
|
|
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)
|
8,295
|
8,986
|
|
Alleghany Corp. 3.63%, 5/15/2030
|
8,945
|
8,671
|
|
Aon North America, Inc.
|
||
|
5.45%, 3/1/2034
|
34,340
|
35,089
|
|
5.75%, 3/1/2054
|
9,050
|
8,856
|
|
Athene Global Funding 2.95%, 11/12/2026 (b)
|
42,215
|
41,942
|
|
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052
|
24,230
|
18,452
|
|
CNO Global Funding 1.75%, 10/7/2026 (b)
|
11,240
|
11,141
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Insurance — continued
|
||
|
Corebridge Global Funding 4.90%, 8/21/2032 (b)
|
4,955
|
4,909
|
|
F&G Annuities & Life, Inc.
|
||
|
7.40%, 1/13/2028
|
10,949
|
11,259
|
|
6.50%, 6/4/2029
|
22,393
|
22,762
|
|
F&G Global Funding 1.75%, 6/30/2026 (b)
|
12,780
|
12,750
|
|
Five Corners Funding Trust II 2.85%, 5/15/2030 (b)
|
15,000
|
13,970
|
|
Guardian Life Insurance Co. of America (The) 3.70%, 1/22/2070 (b)
|
6,450
|
4,182
|
|
Hartford Insurance Group, Inc. (The) 4.30%, 4/15/2043
|
7,410
|
6,263
|
|
Mutual of Omaha Cos. Global Funding 5.80%, 7/27/2026 (b)
|
18,500
|
18,544
|
|
Nationwide Mutual Insurance Co. 8.25%, 12/1/2031 (b)
|
7,900
|
8,974
|
|
New York Life Insurance Co.
|
||
|
3.75%, 5/15/2050 (b)
|
9,600
|
7,071
|
|
4.45%, 5/15/2069 (b)
|
11,250
|
8,682
|
|
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (b) (c)
|
3,766
|
2,989
|
|
Pine Street Trust III 6.22%, 5/15/2054 (b)
|
21,750
|
21,965
|
|
Prudential Financial, Inc. 3.91%, 12/7/2047
|
9,236
|
7,084
|
|
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030
|
16,987
|
16,136
|
|
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)
|
2,600
|
2,596
|
|
Teachers Insurance & Annuity Association of America
|
||
|
4.90%, 9/15/2044 (b)
|
3,653
|
3,266
|
|
4.27%, 5/15/2047 (b)
|
5,480
|
4,419
|
|
|
|
316,758
|
|
Interactive Media & Services — 0.4%
|
||
|
Alphabet, Inc.
|
||
|
5.50%, 2/15/2046
|
17,720
|
17,552
|
|
5.65%, 2/15/2056
|
26,030
|
25,876
|
|
5.75%, 2/15/2066
|
16,010
|
15,886
|
|
Meta Platforms, Inc.
|
||
|
4.88%, 11/15/2035
|
42,180
|
41,213
|
|
5.25%, 5/15/2036
|
13,065
|
13,054
|
|
5.50%, 11/15/2045
|
41,850
|
39,284
|
|
5.60%, 5/15/2053
|
30,000
|
27,781
|
|
5.40%, 8/15/2054
|
11,965
|
10,711
|
|
5.63%, 11/15/2055
|
16,665
|
15,367
|
|
6.30%, 5/15/2056
|
16,800
|
16,951
|
|
|
|
223,675
|
|
IT Services — 0.1%
|
||
|
Accenture Capital, Inc. 4.50%, 10/4/2034
|
9,552
|
9,244
|
|
CGI, Inc. (Canada)
|
||
|
1.45%, 9/14/2026
|
14,101
|
13,981
|
|
2.30%, 9/14/2031
|
10,000
|
8,706
|
|
|
|
31,931
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Life Sciences Tools & Services — 0.0% ^
|
||
|
Thermo Fisher Scientific, Inc.
|
||
|
4.55%, 6/15/2033
|
8,360
|
8,240
|
|
2.80%, 10/15/2041
|
6,745
|
4,921
|
|
|
|
13,161
|
|
Machinery — 0.0% ^
|
||
|
Xylem, Inc. 2.25%, 1/30/2031
|
7,315
|
6,603
|
|
Media — 0.2%
|
||
|
Charter Communications Operating LLC
|
||
|
6.38%, 10/23/2035
|
4,374
|
4,403
|
|
5.38%, 4/1/2038
|
4,923
|
4,387
|
|
3.50%, 6/1/2041
|
12,020
|
8,394
|
|
3.50%, 3/1/2042
|
7,800
|
5,374
|
|
5.38%, 5/1/2047
|
9,380
|
7,567
|
|
4.80%, 3/1/2050
|
13,160
|
9,765
|
|
3.70%, 4/1/2051
|
27,270
|
16,821
|
|
Cox Communications, Inc. 2.95%, 10/1/2050 (b)
|
8,375
|
4,486
|
|
TCI Communications, Inc. 7.13%, 2/15/2028
|
1,199
|
1,252
|
|
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033
|
3,041
|
3,417
|
|
Time Warner Cable LLC
|
||
|
6.55%, 5/1/2037
|
2,327
|
2,324
|
|
7.30%, 7/1/2038
|
2,197
|
2,290
|
|
6.75%, 6/15/2039
|
1,794
|
1,782
|
|
5.88%, 11/15/2040
|
16,175
|
14,543
|
|
5.50%, 9/1/2041
|
6,940
|
5,988
|
|
|
|
92,793
|
|
Metals & Mining — 0.2%
|
||
|
Anglo American Capital plc (South Africa) 5.25%, 3/19/2036 (b)
|
11,120
|
11,024
|
|
Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (b)
|
17,281
|
18,369
|
|
Glencore Funding LLC (Australia)
|
||
|
2.50%, 9/1/2030 (b)
|
16,105
|
14,680
|
|
5.63%, 4/4/2034 (b)
|
23,352
|
24,058
|
|
5.51%, 4/1/2036 (b)
|
15,000
|
15,153
|
|
Newmont Corp. 3.25%, 5/13/2030
|
4,606
|
4,429
|
|
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030
|
27,542
|
26,286
|
|
|
|
113,999
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
|
||
|
Resurgent 0.00%, 7/1/2030 ‡
|
60,000
|
60,000
|
|
Multi-Utilities — 0.4%
|
||
|
Dominion Energy, Inc. Series F, 5.25%, 8/1/2033
|
5,067
|
5,142
|
|
Engie SA (France) 5.63%, 4/10/2034 (b)
|
13,225
|
13,623
|
|
National Grid plc (United Kingdom) 5.42%, 1/11/2034
|
21,700
|
22,150
|
|
NiSource, Inc. 5.80%, 2/1/2042
|
6,726
|
6,628
|
|
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036
|
9,710
|
8,049
|
|
Public Service Enterprise Group, Inc.
|
||
|
1.60%, 8/15/2030
|
15,540
|
13,721
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — continued
|
||
|
5.45%, 4/1/2034
|
7,700
|
7,870
|
|
Puget Energy, Inc.
|
||
|
2.38%, 6/15/2028
|
6,522
|
6,235
|
|
5.73%, 3/15/2035
|
11,300
|
11,384
|
|
Puget Sound Energy, Inc. 5.45%, 6/1/2053
|
10,070
|
9,616
|
|
San Diego Gas & Electric Co.
|
||
|
Series FFF, 6.13%, 9/15/2037
|
973
|
1,023
|
|
3.95%, 11/15/2041
|
2,690
|
2,214
|
|
2.95%, 8/15/2051
|
17,150
|
10,877
|
|
5.35%, 4/1/2053
|
3,000
|
2,804
|
|
Series EEEE, 5.95%, 3/15/2056
|
11,150
|
11,289
|
|
Sempra 5.25%, 3/15/2036
|
19,470
|
19,242
|
|
Southern Co. Gas Capital Corp.
|
||
|
3.25%, 6/15/2026
|
1,690
|
1,689
|
|
5.75%, 9/15/2033
|
12,830
|
13,363
|
|
Series B, 5.10%, 9/15/2035
|
7,500
|
7,439
|
|
5.88%, 3/15/2041
|
10,518
|
10,846
|
|
4.40%, 6/1/2043
|
1,392
|
1,175
|
|
3.95%, 10/1/2046
|
2,136
|
1,658
|
|
4.40%, 5/30/2047
|
2,274
|
1,891
|
|
|
|
189,928
|
|
Office REITs — 0.0% ^
|
||
|
COPT Defense Properties LP
|
||
|
2.00%, 1/15/2029
|
3,440
|
3,219
|
|
4.50%, 10/15/2030
|
6,270
|
6,160
|
|
|
|
9,379
|
|
Oil, Gas & Consumable Fuels — 1.1%
|
||
|
Aker BP ASA (Norway) 5.80%, 10/1/2054 (b)
|
6,320
|
5,946
|
|
BP Capital Markets America, Inc. 2.94%, 6/4/2051
|
25,080
|
15,966
|
|
Cheniere Energy Partners LP 5.55%, 10/30/2035
|
12,420
|
12,672
|
|
Cheniere Energy, Inc.
|
||
|
5.65%, 4/15/2034
|
13,830
|
14,243
|
|
5.20%, 7/30/2036 (b)
|
17,000
|
16,747
|
|
6.00%, 7/30/2056 (b)
|
6,500
|
6,489
|
|
Columbia Pipelines Holding Co. LLC
|
||
|
5.10%, 10/1/2031 (b)
|
3,993
|
4,016
|
|
5.68%, 1/15/2034 (b)
|
16,276
|
16,719
|
|
Columbia Pipelines Operating Co. LLC
|
||
|
5.93%, 8/15/2030 (b)
|
11,670
|
12,158
|
|
6.04%, 11/15/2033 (b)
|
11,250
|
11,884
|
|
5.44%, 2/15/2035 (b)
|
36,855
|
37,400
|
|
5.96%, 2/15/2055 (b)
|
25,130
|
24,837
|
|
ConocoPhillips Co.
|
||
|
5.30%, 5/15/2053
|
13,210
|
12,370
|
|
5.50%, 1/15/2055
|
10,025
|
9,649
|
|
Devon Energy Corp. 5.75%, 9/15/2054
|
8,163
|
7,900
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
DT Midstream, Inc. 4.30%, 4/15/2032 (b)
|
17,380
|
16,642
|
|
Eastern Energy Gas Holdings LLC 6.20%, 1/15/2055
|
10,430
|
10,679
|
|
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049
|
4,476
|
3,292
|
|
Enbridge, Inc. (Canada)
|
||
|
5.70%, 3/8/2033
|
17,080
|
17,754
|
|
5.63%, 4/5/2034
|
19,445
|
20,146
|
|
6.70%, 11/15/2053
|
5,550
|
6,129
|
|
Energy Transfer LP
|
||
|
4.15%, 9/15/2029
|
9,791
|
9,658
|
|
5.35%, 1/15/2036
|
7,709
|
7,694
|
|
7.50%, 7/1/2038
|
2,695
|
3,132
|
|
6.05%, 6/1/2041
|
4,266
|
4,344
|
|
6.10%, 2/15/2042
|
7,220
|
7,214
|
|
5.95%, 10/1/2043
|
3,950
|
3,896
|
|
5.30%, 4/1/2044
|
1,840
|
1,682
|
|
5.00%, 5/15/2044 (e)
|
8,600
|
7,592
|
|
6.00%, 6/15/2048
|
6,419
|
6,255
|
|
6.25%, 4/15/2049
|
5,655
|
5,667
|
|
Eni SpA (Italy)
|
||
|
5.70%, 10/1/2040 (b)
|
4,843
|
4,765
|
|
5.95%, 5/15/2054 (b)
|
14,030
|
13,991
|
|
Eni USA, Inc. (Italy) 7.30%, 11/15/2027
|
4,040
|
4,200
|
|
EQT Corp. 3.90%, 10/1/2027
|
1,306
|
1,298
|
|
Exxon Mobil Corp.
|
||
|
3.00%, 8/16/2039
|
14,245
|
11,344
|
|
4.11%, 3/1/2046
|
2,726
|
2,273
|
|
3.10%, 8/16/2049
|
17,965
|
12,222
|
|
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b)
|
14,134
|
11,674
|
|
Gray Oak Pipeline LLC 3.45%, 10/15/2027 (b)
|
12,470
|
12,257
|
|
Kinder Morgan, Inc. 5.05%, 2/15/2046
|
6,000
|
5,436
|
|
NGPL PipeCo LLC 4.88%, 8/15/2027 (b)
|
8,486
|
8,517
|
|
Northern Natural Gas Co. 5.63%, 2/1/2054 (b)
|
4,550
|
4,348
|
|
Occidental Petroleum Corp. 4.30%, 8/15/2039
|
6,860
|
5,929
|
|
ONEOK Partners LP 6.65%, 10/1/2036
|
1,825
|
1,987
|
|
ONEOK, Inc.
|
||
|
4.75%, 10/15/2031
|
12,960
|
12,883
|
|
4.95%, 10/15/2032
|
16,771
|
16,715
|
|
Pioneer Natural Resources Co. 1.90%, 8/15/2030
|
18,050
|
16,297
|
|
South Bow USA Infrastructure Holdings LLC (Canada)
|
||
|
4.91%, 9/1/2027
|
7,000
|
7,026
|
|
5.03%, 10/1/2029
|
8,260
|
8,315
|
|
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034
|
11,584
|
12,171
|
|
TotalEnergies Capital International SA (France)
|
||
|
2.99%, 6/29/2041
|
16,000
|
11,993
|
|
3.46%, 7/12/2049
|
12,800
|
9,198
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
3.13%, 5/29/2050
|
20,230
|
13,629
|
|
Western Midstream Operating LP 5.25%, 2/1/2050 (e)
|
7,040
|
6,149
|
|
|
|
555,389
|
|
Passenger Airlines — 0.0% ^
|
||
|
United Airlines Pass-Through Trust Series 2016-2, Class A, 3.10%, 10/7/2028
|
14,792
|
14,126
|
|
Pharmaceuticals — 0.3%
|
||
|
AstraZeneca plc (United Kingdom) 4.00%, 9/18/2042
|
4,270
|
3,629
|
|
Bristol-Myers Squibb Co.
|
||
|
4.13%, 6/15/2039
|
7,096
|
6,350
|
|
4.55%, 2/20/2048
|
5,046
|
4,328
|
|
4.25%, 10/26/2049
|
21,446
|
17,413
|
|
3.70%, 3/15/2052
|
16,992
|
12,406
|
|
Eli Lilly & Co.
|
||
|
4.70%, 2/9/2034
|
15,300
|
15,250
|
|
5.00%, 2/9/2054
|
17,320
|
15,977
|
|
5.70%, 5/20/2066
|
10,690
|
10,741
|
|
Merck & Co., Inc.
|
||
|
4.00%, 3/7/2049
|
13,120
|
10,398
|
|
2.75%, 12/10/2051
|
7,065
|
4,324
|
|
2.90%, 12/10/2061
|
14,550
|
8,411
|
|
Novartis Capital Corp. 5.70%, 3/18/2056
|
7,720
|
7,831
|
|
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063
|
36,640
|
33,791
|
|
Takeda Pharmaceutical Co. Ltd. (Japan)
|
||
|
5.65%, 7/5/2044
|
7,762
|
7,699
|
|
3.18%, 7/9/2050
|
16,452
|
10,911
|
|
|
|
169,459
|
|
Real Estate Management & Development — 0.0% ^
|
||
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b)
|
6,562
|
6,537
|
|
Residential REITs — 0.1%
|
||
|
Essex Portfolio LP
|
||
|
1.65%, 1/15/2031
|
8,950
|
7,785
|
|
5.50%, 4/1/2034
|
6,190
|
6,309
|
|
Mid-America Apartments LP 1.70%, 2/15/2031
|
5,500
|
4,823
|
|
UDR, Inc.
|
||
|
2.95%, 9/1/2026
|
3,831
|
3,816
|
|
3.50%, 1/15/2028
|
1,354
|
1,334
|
|
3.00%, 8/15/2031
|
4,750
|
4,364
|
|
2.10%, 8/1/2032
|
5,520
|
4,693
|
|
3.10%, 11/1/2034
|
6,440
|
5,529
|
|
|
|
38,653
|
|
Retail REITs — 0.1%
|
||
|
Brixmor Operating Partnership LP 2.50%, 8/16/2031
|
6,530
|
5,832
|
|
NNN REIT, Inc.
|
||
|
3.60%, 12/15/2026
|
5,527
|
5,506
|
|
5.60%, 10/15/2033
|
7,500
|
7,726
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Retail REITs — continued
|
||
|
5.50%, 6/15/2034
|
9,180
|
9,359
|
|
Realty Income Corp. 3.00%, 1/15/2027
|
2,243
|
2,226
|
|
Regency Centers LP 4.13%, 3/15/2028
|
1,755
|
1,748
|
|
|
|
32,397
|
|
Semiconductors & Semiconductor Equipment — 0.4%
|
||
|
Analog Devices, Inc. 2.95%, 10/1/2051
|
6,000
|
3,872
|
|
Broadcom, Inc.
|
||
|
5.15%, 11/15/2031
|
16,770
|
17,131
|
|
4.55%, 2/15/2032
|
10,780
|
10,675
|
|
3.14%, 11/15/2035 (b)
|
40,051
|
34,118
|
|
4.80%, 2/15/2036
|
16,008
|
15,585
|
|
3.19%, 11/15/2036 (b)
|
5,766
|
4,824
|
|
Foundry JV Holdco LLC
|
||
|
6.10%, 1/25/2036 (b)
|
5,331
|
5,602
|
|
6.20%, 1/25/2037 (b)
|
11,375
|
12,000
|
|
Intel Corp.
|
||
|
3.73%, 12/8/2047
|
9,000
|
6,525
|
|
3.25%, 11/15/2049
|
15,310
|
10,061
|
|
5.70%, 2/10/2053
|
17,000
|
16,155
|
|
KLA Corp.
|
||
|
3.30%, 3/1/2050
|
7,000
|
4,851
|
|
4.95%, 7/15/2052
|
7,000
|
6,357
|
|
Marvell Technology, Inc.
|
||
|
4.75%, 7/15/2030
|
5,518
|
5,535
|
|
2.95%, 4/15/2031
|
7,790
|
7,179
|
|
5.45%, 7/15/2035
|
17,842
|
18,256
|
|
NXP BV (Netherlands)
|
||
|
2.50%, 5/11/2031
|
30,981
|
27,861
|
|
5.00%, 1/15/2033
|
4,000
|
3,991
|
|
3.25%, 5/11/2041
|
24,465
|
18,544
|
|
|
|
229,122
|
|
Software — 0.5%
|
||
|
Oracle Corp.
|
||
|
4.80%, 9/26/2032
|
19,220
|
18,469
|
|
4.90%, 2/6/2033
|
9,640
|
9,267
|
|
3.90%, 5/15/2035
|
1,952
|
1,680
|
|
5.70%, 2/4/2036
|
21,475
|
21,099
|
|
3.60%, 4/1/2040
|
10,434
|
7,737
|
|
3.65%, 3/25/2041
|
19,515
|
14,290
|
|
5.88%, 9/26/2045
|
13,100
|
11,716
|
|
6.55%, 2/4/2046
|
6,615
|
6,378
|
|
4.00%, 7/15/2046
|
15,792
|
10,984
|
|
3.60%, 4/1/2050
|
53,900
|
33,690
|
|
3.95%, 3/25/2051
|
18,610
|
12,225
|
|
6.70%, 2/4/2056
|
31,510
|
30,348
|
|
6.85%, 2/4/2066
|
15,075
|
14,440
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Software — continued
|
||
|
Roper Technologies, Inc.
|
||
|
4.75%, 2/15/2032
|
9,385
|
9,271
|
|
4.90%, 10/15/2034
|
24,270
|
23,444
|
|
Synopsys, Inc. 5.15%, 4/1/2035
|
20,850
|
20,822
|
|
|
|
245,860
|
|
Specialized REITs — 0.2%
|
||
|
American Tower Corp.
|
||
|
3.38%, 10/15/2026
|
4,378
|
4,366
|
|
2.10%, 6/15/2030
|
8,940
|
8,096
|
|
1.88%, 10/15/2030
|
19,410
|
17,257
|
|
5.90%, 11/15/2033
|
17,280
|
18,142
|
|
Crown Castle, Inc.
|
||
|
5.60%, 6/1/2029
|
12,355
|
12,664
|
|
5.80%, 3/1/2034
|
12,960
|
13,378
|
|
Extra Space Storage LP 3.50%, 7/1/2026
|
8,937
|
8,933
|
|
|
|
82,836
|
|
Specialty Retail — 0.0% ^
|
||
|
AutoZone, Inc. 1.65%, 1/15/2031
|
12,180
|
10,621
|
|
O'Reilly Automotive, Inc. 3.60%, 9/1/2027
|
4,715
|
4,670
|
|
|
|
15,291
|
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
|
Apple, Inc.
|
||
|
3.45%, 2/9/2045
|
14,187
|
10,921
|
|
3.75%, 9/12/2047
|
13,570
|
10,589
|
|
2.70%, 8/5/2051
|
57,605
|
35,622
|
|
4.10%, 8/8/2062
|
5,260
|
4,071
|
|
Dell International LLC
|
||
|
4.90%, 10/1/2026
|
5,595
|
5,602
|
|
5.25%, 2/1/2028
|
5,508
|
5,583
|
|
5.30%, 10/1/2029
|
6,000
|
6,129
|
|
5.00%, 4/1/2030
|
4,770
|
4,832
|
|
5.50%, 4/1/2035
|
46,000
|
47,104
|
|
|
|
130,453
|
|
Tobacco — 0.1%
|
||
|
Altria Group, Inc. 2.45%, 2/4/2032
|
27,925
|
24,600
|
|
BAT Capital Corp. (United Kingdom)
|
||
|
4.39%, 8/15/2037
|
9,875
|
9,034
|
|
4.54%, 8/15/2047
|
12,507
|
10,308
|
|
|
|
43,942
|
|
Trading Companies & Distributors — 0.1%
|
||
|
Aviation Capital Group LLC
|
||
|
5.38%, 7/15/2029 (b)
|
20,000
|
20,276
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Trading Companies & Distributors — continued
|
||
|
5.13%, 4/10/2030 (b)
|
9,650
|
9,691
|
|
WW Grainger, Inc. 4.60%, 6/15/2045
|
4,364
|
3,895
|
|
|
|
33,862
|
|
Water Utilities — 0.0% ^
|
||
|
American Water Capital Corp. 6.59%, 10/15/2037
|
3,354
|
3,771
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
America Movil SAB de CV (Mexico) 4.38%, 4/22/2049
|
8,284
|
6,857
|
|
T-Mobile USA, Inc.
|
||
|
3.75%, 4/15/2027
|
18,000
|
17,929
|
|
3.88%, 4/15/2030
|
25,095
|
24,420
|
|
3.40%, 10/15/2052
|
16,650
|
11,083
|
|
5.50%, 1/15/2055
|
9,450
|
8,837
|
|
3.60%, 11/15/2060
|
4,000
|
2,644
|
|
|
|
71,770
|
|
Total Corporate Bonds
(Cost $13,515,369)
|
|
13,022,573
|
|
Mortgage-Backed Securities — 19.2%
|
||
|
FHLMC
|
|
|
|
Pool # 785618, ARM, 6.13%, 7/1/2026 (f)
|
—
|
—
|
|
Pool # 789758, ARM, 6.50%, 9/1/2032 (f)
|
3
|
3
|
|
Pool # 847621, ARM, 5.90%, 5/1/2033 (f)
|
203
|
207
|
|
Pool # 781087, ARM, 5.86%, 12/1/2033 (f)
|
37
|
38
|
|
Pool # 1B1665, ARM, 5.94%, 4/1/2034 (f)
|
38
|
38
|
|
Pool # 782870, ARM, 6.24%, 9/1/2034 (f)
|
146
|
150
|
|
Pool # 782979, ARM, 5.87%, 1/1/2035 (f)
|
308
|
320
|
|
Pool # 782980, ARM, 5.87%, 1/1/2035 (f)
|
91
|
93
|
|
Pool # 1Q0007, ARM, 6.39%, 12/1/2035 (f)
|
28
|
28
|
|
Pool # 1Q0025, ARM, 6.08%, 2/1/2036 (f)
|
30
|
31
|
|
Pool # 848431, ARM, 6.17%, 2/1/2036 (f)
|
109
|
112
|
|
Pool # 1G1861, ARM, 6.17%, 3/1/2036 (f)
|
127
|
131
|
|
Pool # 1J1380, ARM, 6.84%, 3/1/2036 (f)
|
11
|
11
|
|
Pool # 1L1286, ARM, 5.75%, 5/1/2036 (f)
|
73
|
75
|
|
Pool # 1H2618, ARM, 6.05%, 5/1/2036 (f)
|
204
|
212
|
|
Pool # 1G2415, ARM, 6.49%, 5/1/2036 (f)
|
39
|
41
|
|
Pool # 848068, ARM, 6.17%, 6/1/2036 (f)
|
187
|
191
|
|
Pool # 1G2557, ARM, 6.37%, 6/1/2036 (f)
|
348
|
359
|
|
Pool # 1A1082, ARM, 5.96%, 7/1/2036 (f)
|
89
|
91
|
|
Pool # 848365, ARM, 6.17%, 7/1/2036 (f)
|
91
|
94
|
|
Pool # 1H2623, ARM, 6.25%, 7/1/2036 (f)
|
40
|
42
|
|
Pool # 1A1085, ARM, 5.92%, 8/1/2036 (f)
|
72
|
73
|
|
Pool # 1B7242, ARM, 6.39%, 9/1/2036 (f)
|
315
|
325
|
|
Pool # 1Q0105, ARM, 6.42%, 9/1/2036 (f)
|
91
|
94
|
|
Pool # 1N0249, ARM, 5.70%, 10/1/2036 (f)
|
94
|
96
|
|
Pool # 1A1096, ARM, 5.78%, 10/1/2036 (f)
|
340
|
345
|
|
Pool # 1A1097, ARM, 5.95%, 10/1/2036 (f)
|
77
|
78
|
|
Pool # 1G2539, ARM, 6.35%, 10/1/2036 (f)
|
87
|
89
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 1K0046, ARM, 6.48%, 10/1/2036 (f)
|
82
|
85
|
|
Pool # 1J1348, ARM, 6.69%, 10/1/2036 (f)
|
92
|
96
|
|
Pool # 1G2671, ARM, 5.96%, 11/1/2036 (f)
|
59
|
60
|
|
Pool # 1J1378, ARM, 6.01%, 11/1/2036 (f)
|
156
|
160
|
|
Pool # 848115, ARM, 6.12%, 11/1/2036 (f)
|
60
|
62
|
|
Pool # 782760, ARM, 6.29%, 11/1/2036 (f)
|
179
|
186
|
|
Pool # 1Q0737, ARM, 6.36%, 11/1/2036 (f)
|
67
|
69
|
|
Pool # 1J1419, ARM, 6.06%, 12/1/2036 (f)
|
153
|
156
|
|
Pool # 1J1634, ARM, 6.23%, 12/1/2036 (f)
|
648
|
672
|
|
Pool # 1G1386, ARM, 6.26%, 12/1/2036 (f)
|
74
|
76
|
|
Pool # 1J1399, ARM, 6.50%, 12/1/2036 (f)
|
5
|
5
|
|
Pool # 1G1478, ARM, 6.04%, 1/1/2037 (f)
|
71
|
73
|
|
Pool # 1J1516, ARM, 5.88%, 2/1/2037 (f)
|
14
|
15
|
|
Pool # 1G1554, ARM, 6.09%, 2/1/2037 (f)
|
103
|
105
|
|
Pool # 1N0353, ARM, 6.23%, 2/1/2037 (f)
|
130
|
133
|
|
Pool # 1Q0739, ARM, 5.95%, 3/1/2037 (f)
|
200
|
203
|
|
Pool # 1B7303, ARM, 7.35%, 3/1/2037 (f)
|
12
|
13
|
|
Pool # 1J1564, ARM, 6.20%, 4/1/2037 (f)
|
177
|
182
|
|
Pool # 1Q0697, ARM, 5.72%, 5/1/2037 (f)
|
275
|
282
|
|
Pool # 1N1477, ARM, 6.01%, 5/1/2037 (f)
|
37
|
37
|
|
Pool # 1N1463, ARM, 6.15%, 5/1/2037 (f)
|
15
|
15
|
|
Pool # 1Q0783, ARM, 6.17%, 5/1/2037 (f)
|
126
|
130
|
|
Pool # 1A1193, ARM, 6.26%, 5/1/2037 (f)
|
79
|
79
|
|
Pool # 1J1621, ARM, 6.31%, 5/1/2037 (f)
|
134
|
139
|
|
Pool # 1J0533, ARM, 6.62%, 7/1/2037 (f)
|
18
|
19
|
|
Pool # 1J2945, ARM, 6.50%, 11/1/2037 (f)
|
35
|
36
|
|
Pool # 1Q0722, ARM, 6.23%, 4/1/2038 (f)
|
83
|
85
|
|
Pool # 1Q0789, ARM, 6.15%, 5/1/2038 (f)
|
15
|
16
|
|
Pool # 848699, ARM, 6.32%, 7/1/2040 (f)
|
64
|
67
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91158, 6.50%, 1/1/2028
|
15
|
15
|
|
Pool # C91417, 3.50%, 1/1/2032
|
891
|
872
|
|
Pool # C91403, 3.50%, 3/1/2032
|
343
|
336
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # G00981, 8.50%, 7/1/2028
|
—
|
—
|
|
Pool # G02210, 7.00%, 12/1/2028
|
15
|
16
|
|
Pool # C47315, 6.50%, 8/1/2029
|
164
|
170
|
|
Pool # G03029, 6.00%, 10/1/2029
|
13
|
14
|
|
Pool # A88871, 7.00%, 1/1/2031
|
32
|
34
|
|
Pool # C68485, 7.00%, 7/1/2032
|
7
|
7
|
|
Pool # G01448, 7.00%, 8/1/2032
|
12
|
13
|
|
Pool # C75791, 5.50%, 1/1/2033
|
105
|
106
|
|
Pool # A13625, 5.50%, 10/1/2033
|
70
|
70
|
|
Pool # A16107, 6.00%, 12/1/2033
|
55
|
56
|
|
Pool # G01864, 5.00%, 1/1/2034
|
54
|
54
|
|
Pool # A17537, 6.00%, 1/1/2034
|
63
|
65
|
|
Pool # A23139, 5.00%, 6/1/2034
|
163
|
162
|
|
Pool # A61572, 5.00%, 9/1/2034
|
214
|
215
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # A28796, 6.50%, 11/1/2034
|
1
|
1
|
|
Pool # G03369, 6.50%, 1/1/2035
|
178
|
186
|
|
Pool # A70350, 5.00%, 3/1/2035
|
66
|
66
|
|
Pool # A46987, 5.50%, 7/1/2035
|
180
|
185
|
|
Pool # G05713, 6.50%, 12/1/2035
|
131
|
136
|
|
Pool # G03777, 5.00%, 11/1/2036
|
159
|
160
|
|
Pool # C02660, 6.50%, 11/1/2036
|
40
|
43
|
|
Pool # G02427, 5.50%, 12/1/2036
|
81
|
84
|
|
Pool # A57681, 6.00%, 12/1/2036
|
19
|
20
|
|
Pool # G02682, 7.00%, 2/1/2037
|
23
|
24
|
|
Pool # G04949, 6.50%, 11/1/2037
|
148
|
158
|
|
Pool # G03666, 7.50%, 1/1/2038
|
248
|
263
|
|
Pool # G04952, 7.50%, 1/1/2038
|
63
|
65
|
|
Pool # G04077, 6.50%, 3/1/2038
|
163
|
173
|
|
Pool # G05671, 5.50%, 8/1/2038
|
180
|
185
|
|
Pool # G05190, 7.50%, 9/1/2038
|
103
|
106
|
|
Pool # C03466, 5.50%, 3/1/2040
|
60
|
62
|
|
Pool # A93383, 5.00%, 8/1/2040
|
707
|
714
|
|
Pool # A93511, 5.00%, 8/1/2040
|
2,613
|
2,641
|
|
Pool # G06493, 4.50%, 5/1/2041
|
4,874
|
4,835
|
|
Pool # V80351, 3.00%, 8/1/2043
|
9,387
|
8,557
|
|
Pool # Q52834, 4.00%, 12/1/2047
|
1,091
|
1,036
|
|
Pool # Z40179, 4.00%, 7/1/2048
|
16,985
|
16,104
|
|
Pool # Q57995, 5.00%, 8/1/2048
|
2,853
|
2,884
|
|
Pool # Q61104, 4.00%, 1/1/2049
|
1,050
|
999
|
|
Pool # Q61107, 4.00%, 1/1/2049
|
1,673
|
1,591
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN1157, 1.80%, 11/1/2028
|
50,852
|
47,906
|
|
Pool # P20570, 7.00%, 7/1/2029
|
2
|
2
|
|
Pool # G20027, 10.00%, 10/1/2030
|
4
|
4
|
|
Pool # B90491, 7.50%, 1/1/2032
|
113
|
115
|
|
Pool # WA3237, 3.55%, 11/1/2032
|
24,973
|
23,580
|
|
Pool # WA1630, 4.15%, 11/1/2032
|
6,694
|
6,535
|
|
Pool # U80192, 3.50%, 2/1/2033
|
602
|
582
|
|
Pool # U80342, 3.50%, 5/1/2033
|
238
|
231
|
|
Pool # U80345, 3.50%, 5/1/2033
|
1,564
|
1,524
|
|
Pool # WN3233, 3.19%, 7/1/2033
|
60,816
|
55,870
|
|
Pool # WN3225, 3.80%, 10/1/2034
|
20,000
|
18,801
|
|
Pool # P50523, 6.50%, 12/1/2035
|
36
|
36
|
|
Pool # H05030, 6.00%, 11/1/2036
|
5
|
5
|
|
Pool # L10291, 6.50%, 11/1/2036
|
398
|
408
|
|
Pool # P51353, 6.50%, 11/1/2036
|
389
|
396
|
|
Pool # P50595, 6.50%, 12/1/2036
|
632
|
657
|
|
Pool # P51361, 6.50%, 12/1/2036
|
307
|
313
|
|
Pool # G20028, 7.50%, 12/1/2036
|
261
|
266
|
|
Pool # P50536, 6.50%, 2/1/2037
|
11
|
11
|
|
Pool # WA3186, 3.86%, 4/1/2037
|
2,006
|
1,861
|
|
Pool # P50556, 6.50%, 6/1/2037
|
20
|
20
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # U90690, 3.50%, 6/1/2042
|
6,299
|
5,897
|
|
Pool # U90975, 4.00%, 6/1/2042
|
4,655
|
4,493
|
|
Pool # T65101, 4.00%, 10/1/2042
|
142
|
134
|
|
Pool # U90402, 3.50%, 11/1/2042
|
259
|
242
|
|
Pool # U90673, 4.00%, 1/1/2043
|
645
|
622
|
|
Pool # U91192, 4.00%, 4/1/2043
|
882
|
851
|
|
Pool # U91488, 3.50%, 5/1/2043
|
778
|
729
|
|
Pool # U99051, 3.50%, 6/1/2043
|
1,930
|
1,807
|
|
Pool # U99134, 4.00%, 1/1/2046
|
22,513
|
21,620
|
|
Pool # U69030, 4.50%, 1/1/2046
|
7,254
|
7,147
|
|
FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035
|
4,425
|
4,291
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # QG5005, 3.00%, 6/1/2048
|
9,044
|
8,065
|
|
Pool # ZT2236, 4.00%, 6/1/2048
|
13,429
|
12,764
|
|
Pool # ZT2212, 4.00%, 9/1/2048
|
3,166
|
3,009
|
|
Pool # QA0149, 4.00%, 6/1/2049
|
2,941
|
2,806
|
|
Pool # QA2578, 3.50%, 9/1/2049
|
1,154
|
1,060
|
|
Pool # RA2008, 4.00%, 1/1/2050
|
9,422
|
8,940
|
|
Pool # RA2282, 4.00%, 1/1/2050
|
5,749
|
5,553
|
|
Pool # QA7351, 3.00%, 2/1/2050
|
5,349
|
4,732
|
|
Pool # QB0704, 2.50%, 6/1/2050
|
8,953
|
7,512
|
|
Pool # QB1571, 2.50%, 7/1/2050
|
9,883
|
8,291
|
|
Pool # SD8089, 2.50%, 7/1/2050
|
73,436
|
62,143
|
|
Pool # QB2879, 2.50%, 8/1/2050
|
2,329
|
1,954
|
|
Pool # QB7670, 2.50%, 1/1/2051
|
4,145
|
3,472
|
|
Pool # QB8840, 2.50%, 2/1/2051
|
6,624
|
5,548
|
|
Pool # SD4044, 2.50%, 2/1/2051
|
31,316
|
26,778
|
|
Pool # QC2061, 2.00%, 5/1/2051
|
14,048
|
11,382
|
|
Pool # SD8152, 3.00%, 6/1/2051
|
10,276
|
9,029
|
|
Pool # RA6135, 2.50%, 10/1/2051
|
14,654
|
12,554
|
|
Pool # SD1964, 2.50%, 10/1/2051
|
51,634
|
44,235
|
|
Pool # RA6128, 3.00%, 10/1/2051
|
27,321
|
24,111
|
|
Pool # RA6228, 2.50%, 11/1/2051
|
15,608
|
13,229
|
|
Pool # RA6222, 3.00%, 11/1/2051
|
14,525
|
12,733
|
|
Pool # RA6459, 2.50%, 12/1/2051
|
25,259
|
21,159
|
|
Pool # RA6652, 2.50%, 1/1/2052
|
27,736
|
23,308
|
|
Pool # RA6606, 3.00%, 1/1/2052
|
18,879
|
16,637
|
|
Pool # SD0809, 3.00%, 1/1/2052
|
5,550
|
4,889
|
|
Pool # SD1076, 3.00%, 1/1/2052
|
9,626
|
8,513
|
|
Pool # SD5768, 3.00%, 1/1/2052
|
11,744
|
10,378
|
|
Pool # RA6815, 2.50%, 2/1/2052
|
5,811
|
4,952
|
|
Pool # RA6702, 3.00%, 2/1/2052
|
38,529
|
33,679
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
37,741
|
32,314
|
|
Pool # SD7554, 2.50%, 4/1/2052
|
53,555
|
45,853
|
|
Pool # SD8212, 2.50%, 5/1/2052
|
63,560
|
53,480
|
|
Pool # SD3362, 3.00%, 5/1/2052
|
21,411
|
18,902
|
|
Pool # SD6410, 3.00%, 5/1/2052
|
9,927
|
8,758
|
|
Pool # SD8213, 3.00%, 5/1/2052
|
96,818
|
84,630
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # SL1024, 3.00%, 5/1/2052
|
27,734
|
24,585
|
|
Pool # SD6159, 3.00%, 6/1/2052
|
89,291
|
78,521
|
|
Pool # SL0293, 3.00%, 6/1/2052
|
1,916
|
1,691
|
|
Pool # RA7468, 4.00%, 6/1/2052
|
25,212
|
23,857
|
|
Pool # SD1365, 4.00%, 7/1/2052
|
47,621
|
44,766
|
|
Pool # RA7683, 5.00%, 7/1/2052
|
19,910
|
19,771
|
|
Pool # RA7843, 4.00%, 8/1/2052
|
33,067
|
31,077
|
|
Pool # SD1713, 5.00%, 10/1/2052
|
30,455
|
30,365
|
|
Pool # SD2394, 4.50%, 11/1/2052
|
11,747
|
11,369
|
|
Pool # SD2355, 4.50%, 12/1/2052
|
9,502
|
9,164
|
|
Pool # RA8766, 5.00%, 3/1/2053
|
19,635
|
19,501
|
|
Pool # SD3567, 4.50%, 5/1/2053
|
15,289
|
14,797
|
|
Pool # RA9259, 5.00%, 6/1/2053
|
20,255
|
20,086
|
|
Pool # RJ2912, 5.50%, 11/1/2054
|
14,276
|
14,454
|
|
Pool # RJ2914, 5.50%, 11/1/2054
|
54,270
|
54,804
|
|
FNMA
|
|
|
|
Pool # 54844, ARM, 4.17%, 9/1/2027 (f)
|
2
|
2
|
|
Pool # 303532, ARM, 4.36%, 3/1/2029 (f)
|
1
|
1
|
|
Pool # 555732, ARM, 6.12%, 8/1/2033 (f)
|
56
|
57
|
|
Pool # 658481, ARM, 5.53%, 9/1/2033 (f)
|
105
|
106
|
|
Pool # 746299, ARM, 6.64%, 9/1/2033 (f)
|
23
|
23
|
|
Pool # 743546, ARM, 5.92%, 11/1/2033 (f)
|
81
|
82
|
|
Pool # 766610, ARM, 5.91%, 1/1/2034 (f)
|
11
|
11
|
|
Pool # 777132, ARM, 5.92%, 6/1/2034 (f)
|
88
|
90
|
|
Pool # 782306, ARM, 5.67%, 7/1/2034 (f)
|
2
|
2
|
|
Pool # 800422, ARM, 5.31%, 8/1/2034 (f)
|
85
|
85
|
|
Pool # 790235, ARM, 6.23%, 8/1/2034 (f)
|
39
|
40
|
|
Pool # 790964, ARM, 6.40%, 9/1/2034 (f)
|
4
|
5
|
|
Pool # 794792, ARM, 6.21%, 10/1/2034 (f)
|
24
|
24
|
|
Pool # 896463, ARM, 6.41%, 10/1/2034 (f)
|
53
|
55
|
|
Pool # 781563, ARM, 5.87%, 11/1/2034 (f)
|
9
|
9
|
|
Pool # 810896, ARM, 5.62%, 1/1/2035 (f)
|
290
|
301
|
|
Pool # 809319, ARM, 5.92%, 1/1/2035 (f)
|
7
|
8
|
|
Pool # 816594, ARM, 5.62%, 2/1/2035 (f)
|
10
|
10
|
|
Pool # 820602, ARM, 5.86%, 3/1/2035 (f)
|
43
|
44
|
|
Pool # 745862, ARM, 5.92%, 4/1/2035 (f)
|
65
|
67
|
|
Pool # 821378, ARM, 5.66%, 5/1/2035 (f)
|
32
|
32
|
|
Pool # 823660, ARM, 5.84%, 5/1/2035 (f)
|
13
|
13
|
|
Pool # 832801, ARM, 6.46%, 9/1/2035 (f)
|
5
|
5
|
|
Pool # 851432, ARM, 6.23%, 10/1/2035 (f)
|
148
|
153
|
|
Pool # 849251, ARM, 5.80%, 1/1/2036 (f)
|
215
|
219
|
|
Pool # 745445, ARM, 5.89%, 1/1/2036 (f)
|
60
|
61
|
|
Pool # 920340, ARM, 6.50%, 2/1/2036 (f)
|
24
|
25
|
|
Pool # 920843, ARM, 6.60%, 3/1/2036 (f)
|
460
|
477
|
|
Pool # 868952, ARM, 5.93%, 5/1/2036 (f)
|
9
|
9
|
|
Pool # 884066, ARM, 6.23%, 6/1/2036 (f)
|
35
|
36
|
|
Pool # 872825, ARM, 6.42%, 6/1/2036 (f)
|
85
|
87
|
|
Pool # 892868, ARM, 6.52%, 7/1/2036 (f)
|
70
|
72
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 884722, ARM, 5.74%, 8/1/2036 (f)
|
16
|
16
|
|
Pool # 886558, ARM, 6.32%, 8/1/2036 (f)
|
115
|
118
|
|
Pool # 920547, ARM, 5.60%, 9/1/2036 (f)
|
97
|
100
|
|
Pool # 893580, ARM, 6.32%, 9/1/2036 (f)
|
38
|
39
|
|
Pool # 886772, ARM, 6.48%, 9/1/2036 (f)
|
134
|
138
|
|
Pool # 894452, ARM, 6.57%, 9/1/2036 (f)
|
89
|
92
|
|
Pool # 894239, ARM, 6.06%, 10/1/2036 (f)
|
35
|
36
|
|
Pool # 900197, ARM, 6.78%, 10/1/2036 (f)
|
204
|
212
|
|
Pool # 900191, ARM, 6.82%, 10/1/2036 (f)
|
45
|
46
|
|
Pool # 902818, ARM, 6.32%, 11/1/2036 (f)
|
1
|
1
|
|
Pool # 902955, ARM, 6.01%, 12/1/2036 (f)
|
86
|
88
|
|
Pool # 920954, ARM, 5.63%, 1/1/2037 (f)
|
111
|
113
|
|
Pool # 888184, ARM, 6.00%, 1/1/2037 (f)
|
61
|
63
|
|
Pool # 913984, ARM, 5.57%, 2/1/2037 (f)
|
92
|
93
|
|
Pool # 915645, ARM, 6.07%, 2/1/2037 (f)
|
49
|
50
|
|
Pool # 888307, ARM, 5.87%, 4/1/2037 (f)
|
48
|
50
|
|
Pool # 948208, ARM, 5.59%, 7/1/2037 (f)
|
62
|
63
|
|
Pool # 995919, ARM, 6.47%, 7/1/2037 (f)
|
135
|
139
|
|
Pool # 938346, ARM, 6.56%, 7/1/2037 (f)
|
61
|
62
|
|
Pool # 945032, ARM, 7.08%, 8/1/2037 (f)
|
241
|
250
|
|
Pool # 952835, ARM, 6.41%, 9/1/2037 (f)
|
42
|
44
|
|
Pool # 946362, ARM, 6.51%, 9/1/2037 (f)
|
16
|
16
|
|
Pool # 946260, ARM, 6.66%, 9/1/2037 (f)
|
29
|
30
|
|
Pool # AD0085, ARM, 5.72%, 11/1/2037 (f)
|
127
|
128
|
|
Pool # 995108, ARM, 6.25%, 11/1/2037 (f)
|
48
|
49
|
|
Pool # AD0179, ARM, 5.78%, 12/1/2037 (f)
|
58
|
60
|
|
FNMA UMBS, 15 Year Pool # FM3386, 3.50%, 7/1/2034
|
319
|
315
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # 256311, 6.00%, 7/1/2026
|
—
|
—
|
|
Pool # 256352, 6.50%, 8/1/2026
|
2
|
2
|
|
Pool # 256803, 6.00%, 7/1/2027
|
13
|
13
|
|
Pool # 256962, 6.00%, 11/1/2027
|
10
|
11
|
|
Pool # 257007, 6.00%, 12/1/2027
|
28
|
29
|
|
Pool # 257048, 6.00%, 1/1/2028
|
46
|
47
|
|
Pool # 890222, 6.00%, 10/1/2028
|
31
|
32
|
|
Pool # AE0049, 6.00%, 9/1/2029
|
19
|
20
|
|
Pool # AO7761, 3.50%, 7/1/2032
|
247
|
240
|
|
Pool # MA1138, 3.50%, 8/1/2032
|
1,433
|
1,402
|
|
Pool # AL6238, 4.00%, 1/1/2035
|
4,436
|
4,331
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 689977, 8.00%, 3/1/2027
|
1
|
1
|
|
Pool # 695533, 8.00%, 6/1/2027
|
3
|
3
|
|
Pool # 313687, 7.00%, 9/1/2027
|
—
|
—
|
|
Pool # 755973, 8.00%, 11/1/2028
|
20
|
20
|
|
Pool # 455759, 6.00%, 12/1/2028
|
2
|
2
|
|
Pool # 252211, 6.00%, 1/1/2029
|
3
|
3
|
|
Pool # 889020, 6.50%, 11/1/2029
|
382
|
397
|
|
Pool # 598559, 6.50%, 8/1/2031
|
29
|
30
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 679886, 6.50%, 2/1/2032
|
58
|
61
|
|
Pool # 682078, 5.50%, 11/1/2032
|
165
|
168
|
|
Pool # 675555, 6.00%, 12/1/2032
|
23
|
23
|
|
Pool # AL0045, 6.00%, 12/1/2032
|
274
|
281
|
|
Pool # 683351, 5.50%, 2/1/2033
|
3
|
4
|
|
Pool # 357363, 5.50%, 3/1/2033
|
149
|
151
|
|
Pool # 674349, 6.00%, 3/1/2033
|
3
|
3
|
|
Pool # 688625, 6.00%, 3/1/2033
|
6
|
6
|
|
Pool # 695584, 6.00%, 3/1/2033
|
2
|
2
|
|
Pool # 254693, 5.50%, 4/1/2033
|
107
|
109
|
|
Pool # 702901, 6.00%, 5/1/2033
|
39
|
40
|
|
Pool # 720576, 5.00%, 6/1/2033
|
25
|
25
|
|
Pool # 995656, 7.00%, 6/1/2033
|
140
|
148
|
|
Pool # 723852, 5.00%, 7/1/2033
|
36
|
36
|
|
Pool # 729296, 5.00%, 7/1/2033
|
28
|
28
|
|
Pool # 720155, 5.50%, 7/1/2033
|
24
|
24
|
|
Pool # 729379, 6.00%, 8/1/2033
|
15
|
15
|
|
Pool # AA0917, 5.50%, 9/1/2033
|
416
|
418
|
|
Pool # 737825, 6.00%, 9/1/2033
|
28
|
29
|
|
Pool # 725027, 5.00%, 11/1/2033
|
87
|
88
|
|
Pool # 755109, 5.50%, 11/1/2033
|
7
|
7
|
|
Pool # 753174, 4.00%, 12/1/2033
|
143
|
140
|
|
Pool # 725017, 5.50%, 12/1/2033
|
185
|
187
|
|
Pool # 759424, 5.50%, 1/1/2034
|
23
|
23
|
|
Pool # 751341, 5.50%, 3/1/2034
|
22
|
22
|
|
Pool # 770405, 5.00%, 4/1/2034
|
172
|
170
|
|
Pool # 776708, 5.00%, 5/1/2034
|
89
|
89
|
|
Pool # 888568, 5.00%, 12/1/2034
|
64
|
64
|
|
Pool # 810663, 5.00%, 1/1/2035
|
32
|
32
|
|
Pool # 995003, 7.50%, 1/1/2035
|
53
|
54
|
|
Pool # 995156, 7.50%, 3/1/2035
|
91
|
92
|
|
Pool # 735503, 6.00%, 4/1/2035
|
205
|
211
|
|
Pool # 827776, 5.00%, 7/1/2035
|
28
|
28
|
|
Pool # 820347, 5.00%, 9/1/2035
|
139
|
141
|
|
Pool # 745148, 5.00%, 1/1/2036
|
106
|
107
|
|
Pool # 888417, 6.50%, 1/1/2036
|
335
|
348
|
|
Pool # 745275, 5.00%, 2/1/2036
|
85
|
85
|
|
Pool # 833629, 7.00%, 3/1/2036
|
7
|
7
|
|
Pool # 745418, 5.50%, 4/1/2036
|
152
|
156
|
|
Pool # 888016, 5.50%, 5/1/2036
|
199
|
205
|
|
Pool # 888209, 5.50%, 5/1/2036
|
132
|
136
|
|
Pool # 870770, 6.50%, 7/1/2036
|
14
|
15
|
|
Pool # 976871, 6.50%, 8/1/2036
|
272
|
282
|
|
Pool # AA0922, 6.00%, 9/1/2036
|
738
|
760
|
|
Pool # 745948, 6.50%, 10/1/2036
|
91
|
95
|
|
Pool # AA1019, 6.00%, 11/1/2036
|
85
|
86
|
|
Pool # 888476, 7.50%, 5/1/2037
|
34
|
35
|
|
Pool # 928584, 6.50%, 8/1/2037
|
80
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 945870, 6.50%, 8/1/2037
|
133
|
141
|
|
Pool # 986648, 6.00%, 9/1/2037
|
236
|
247
|
|
Pool # 928670, 7.00%, 9/1/2037
|
147
|
155
|
|
Pool # 888890, 6.50%, 10/1/2037
|
159
|
169
|
|
Pool # 888707, 7.50%, 10/1/2037
|
345
|
361
|
|
Pool # 888892, 7.50%, 11/1/2037
|
103
|
109
|
|
Pool # AL0662, 5.50%, 1/1/2038
|
236
|
239
|
|
Pool # 995505, 8.00%, 1/1/2038
|
9
|
9
|
|
Pool # 929331, 6.00%, 4/1/2038
|
64
|
66
|
|
Pool # 909236, 7.00%, 9/1/2038
|
232
|
245
|
|
Pool # 890268, 6.50%, 10/1/2038
|
193
|
205
|
|
Pool # 995149, 6.50%, 10/1/2038
|
777
|
810
|
|
Pool # 934591, 7.00%, 10/1/2038
|
183
|
194
|
|
Pool # AB2869, 6.00%, 11/1/2038
|
196
|
200
|
|
Pool # 991908, 7.00%, 11/1/2038
|
189
|
203
|
|
Pool # 995504, 7.50%, 11/1/2038
|
105
|
108
|
|
Pool # 257510, 7.00%, 12/1/2038
|
428
|
452
|
|
Pool # AD0753, 7.00%, 1/1/2039
|
644
|
681
|
|
Pool # AD0780, 7.50%, 4/1/2039
|
468
|
496
|
|
Pool # AC2948, 5.00%, 9/1/2039
|
327
|
330
|
|
Pool # AC3740, 5.50%, 9/1/2039
|
138
|
139
|
|
Pool # AC7296, 5.50%, 12/1/2039
|
201
|
205
|
|
Pool # AD7790, 5.00%, 8/1/2040
|
1,779
|
1,796
|
|
Pool # AD9151, 5.00%, 8/1/2040
|
577
|
584
|
|
Pool # AL2059, 4.00%, 6/1/2042
|
4,133
|
4,004
|
|
Pool # AB9017, 3.00%, 4/1/2043
|
6,325
|
5,770
|
|
Pool # AT5891, 3.00%, 6/1/2043
|
7,715
|
7,037
|
|
Pool # AB9860, 3.00%, 7/1/2043
|
5,510
|
5,015
|
|
Pool # AX9319, 3.50%, 12/1/2044
|
4,871
|
4,536
|
|
Pool # AL7380, 3.50%, 2/1/2045
|
6,620
|
6,205
|
|
Pool # AS6479, 3.50%, 1/1/2046
|
16,415
|
15,434
|
|
Pool # BM1213, 4.00%, 4/1/2047
|
6,582
|
6,297
|
|
Pool # BH7650, 4.00%, 9/1/2047
|
2,483
|
2,382
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
20,294
|
19,641
|
|
Pool # BE8344, 4.00%, 11/1/2047
|
849
|
807
|
|
Pool # BJ7248, 4.00%, 12/1/2047
|
2,886
|
2,747
|
|
Pool # BE8349, 4.00%, 1/1/2048
|
1,500
|
1,427
|
|
Pool # BJ5756, 4.00%, 1/1/2048
|
3,323
|
3,141
|
|
Pool # BJ7310, 4.00%, 1/1/2048
|
5,619
|
5,341
|
|
Pool # BJ8237, 4.00%, 1/1/2048
|
3,221
|
3,061
|
|
Pool # BJ8264, 4.00%, 1/1/2048
|
2,158
|
2,051
|
|
Pool # BM3375, 4.00%, 1/1/2048
|
3,927
|
3,738
|
|
Pool # BK1007, 4.00%, 2/1/2048
|
1,028
|
977
|
|
Pool # BK1134, 4.00%, 2/1/2048
|
3,567
|
3,390
|
|
Pool # BM3665, 4.00%, 3/1/2048
|
24,814
|
23,622
|
|
Pool # BE8366, 4.50%, 7/1/2048
|
2,787
|
2,726
|
|
Pool # BK7982, 5.00%, 7/1/2048
|
2,685
|
2,728
|
|
Pool # BN0271, 4.50%, 9/1/2048
|
858
|
839
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BN1315, 4.50%, 9/1/2048
|
1,382
|
1,347
|
|
Pool # BN4733, 5.50%, 3/1/2049
|
231
|
239
|
|
Pool # BK8745, 4.50%, 4/1/2049
|
1,707
|
1,657
|
|
Pool # FM1939, 4.50%, 5/1/2049
|
8,783
|
8,546
|
|
Pool # BK8753, 4.50%, 6/1/2049
|
2,506
|
2,437
|
|
Pool # CA3713, 5.00%, 6/1/2049
|
964
|
967
|
|
Pool # BO2305, 4.00%, 7/1/2049
|
2,979
|
2,828
|
|
Pool # BO5607, 3.50%, 9/1/2049
|
1,840
|
1,690
|
|
Pool # BO1405, 4.00%, 9/1/2049
|
3,901
|
3,697
|
|
Pool # BO4392, 3.50%, 1/1/2050
|
3,514
|
3,239
|
|
Pool # BP3048, 3.00%, 3/1/2050
|
3,914
|
3,457
|
|
Pool # BP5299, 3.50%, 3/1/2050
|
4,083
|
3,892
|
|
Pool # CA5702, 2.50%, 5/1/2050
|
38,403
|
32,794
|
|
Pool # CA5729, 3.00%, 5/1/2050
|
4,273
|
3,769
|
|
Pool # FM3671, 4.50%, 5/1/2050
|
4,304
|
4,298
|
|
Pool # CA6079, 2.50%, 6/1/2050
|
38,518
|
32,315
|
|
Pool # BK2746, 2.50%, 7/1/2050
|
16,489
|
13,834
|
|
Pool # BP6474, 2.50%, 7/1/2050
|
33,513
|
28,370
|
|
Pool # BP9823, 2.50%, 7/1/2050
|
562
|
471
|
|
Pool # BP9948, 2.50%, 7/1/2050
|
766
|
642
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
39,539
|
33,872
|
|
Pool # CA6708, 2.50%, 8/1/2050
|
24,773
|
21,270
|
|
Pool # FM4051, 2.50%, 8/1/2050
|
16,679
|
14,243
|
|
Pool # CA6989, 2.50%, 9/1/2050
|
54,600
|
46,690
|
|
Pool # FM4532, 3.00%, 9/1/2050
|
10,182
|
9,005
|
|
Pool # BQ1155, 2.50%, 10/1/2050
|
15,205
|
12,756
|
|
Pool # BQ7669, 2.50%, 10/1/2050
|
681
|
571
|
|
Pool # FS3599, 2.50%, 1/1/2051
|
74,014
|
62,824
|
|
Pool # BQ4516, 2.00%, 2/1/2051
|
6,843
|
5,527
|
|
Pool # CB0047, 3.00%, 4/1/2051
|
15,648
|
13,678
|
|
Pool # CB0458, 2.50%, 5/1/2051
|
27,146
|
22,954
|
|
Pool # CB0514, 2.50%, 5/1/2051
|
21,797
|
18,706
|
|
Pool # CB0674, 2.50%, 5/1/2051
|
40,301
|
34,208
|
|
Pool # CB0531, 3.00%, 5/1/2051
|
56,066
|
49,530
|
|
Pool # FM8172, 3.00%, 5/1/2051
|
19,198
|
16,925
|
|
Pool # FM7916, 2.50%, 6/1/2051
|
16,945
|
14,511
|
|
Pool # FS5384, 2.50%, 6/1/2051
|
68,065
|
58,202
|
|
Pool # FM9523, 2.50%, 7/1/2051
|
11,935
|
10,320
|
|
Pool # CB1411, 3.00%, 8/1/2051
|
42,571
|
37,608
|
|
Pool # FM8817, 2.50%, 9/1/2051
|
39,478
|
33,864
|
|
Pool # FS4539, 3.00%, 9/1/2051
|
7,908
|
6,974
|
|
Pool # BU0070, 2.50%, 10/1/2051
|
38,378
|
32,363
|
|
Pool # CB1901, 2.50%, 10/1/2051
|
33,849
|
29,145
|
|
Pool # FM9195, 2.50%, 10/1/2051
|
43,294
|
37,090
|
|
Pool # CB1874, 3.00%, 10/1/2051
|
3,320
|
2,930
|
|
Pool # CB1878, 3.00%, 10/1/2051
|
7,721
|
6,861
|
|
Pool # MA4466, 2.50%, 11/1/2051
|
75,501
|
63,611
|
|
Pool # CB2066, 3.00%, 11/1/2051
|
6,458
|
5,692
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS4645, 4.00%, 11/1/2051
|
13,195
|
12,425
|
|
Pool # CB2297, 2.50%, 12/1/2051
|
14,037
|
11,959
|
|
Pool # FM9882, 2.50%, 12/1/2051
|
8,397
|
7,067
|
|
Pool # FS3611, 2.50%, 12/1/2051
|
5,682
|
4,858
|
|
Pool # FS2559, 3.00%, 12/1/2051
|
24,439
|
21,590
|
|
Pool # MA4494, 3.00%, 12/1/2051
|
5,423
|
4,773
|
|
Pool # FS4108, 4.00%, 12/1/2051
|
3,916
|
3,690
|
|
Pool # BU7561, 2.50%, 1/1/2052
|
17,170
|
14,663
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
53,640
|
45,962
|
|
Pool # FS0196, 2.50%, 1/1/2052
|
60,212
|
50,438
|
|
Pool # BV0492, 3.00%, 1/1/2052
|
8,032
|
7,081
|
|
Pool # CB2664, 3.00%, 1/1/2052
|
5,426
|
4,782
|
|
Pool # FS5731, 3.00%, 1/1/2052
|
23,927
|
20,973
|
|
Pool # BV3339, 2.50%, 2/1/2052
|
7,896
|
6,722
|
|
Pool # FA2022, 2.50%, 2/1/2052
|
16,812
|
14,275
|
|
Pool # FS4284, 2.50%, 2/1/2052
|
44,133
|
37,277
|
|
Pool # MA4548, 2.50%, 2/1/2052
|
48,870
|
41,144
|
|
Pool # BV4133, 2.50%, 3/1/2052
|
42,582
|
35,744
|
|
Pool # CB3031, 2.50%, 3/1/2052
|
10,589
|
8,922
|
|
Pool # FS0882, 2.50%, 3/1/2052
|
38,968
|
33,440
|
|
Pool # FS4533, 2.50%, 3/1/2052
|
5,624
|
4,777
|
|
Pool # FS5446, 2.50%, 3/1/2052
|
40,708
|
34,364
|
|
Pool # FS0957, 3.00%, 3/1/2052
|
29,383
|
25,725
|
|
Pool # FS2246, 3.00%, 3/1/2052
|
32,146
|
28,847
|
|
Pool # FS4393, 3.00%, 3/1/2052
|
11,616
|
10,179
|
|
Pool # BV5360, 2.50%, 4/1/2052
|
47,913
|
40,341
|
|
Pool # FS7697, 2.50%, 4/1/2052
|
30,571
|
26,157
|
|
Pool # CB3360, 3.00%, 4/1/2052
|
7,398
|
6,476
|
|
Pool # CB3361, 3.00%, 4/1/2052
|
24,909
|
21,959
|
|
Pool # FS6301, 3.00%, 4/1/2052
|
15,439
|
13,639
|
|
Pool # CB3378, 4.00%, 4/1/2052
|
20,205
|
19,000
|
|
Pool # BV7119, 4.50%, 4/1/2052
|
396
|
382
|
|
Pool # BV7121, 4.50%, 4/1/2052
|
1,100
|
1,061
|
|
Pool # BV7122, 4.50%, 4/1/2052
|
3,235
|
3,131
|
|
Pool # BV7124, 4.50%, 4/1/2052
|
983
|
948
|
|
Pool # FS9052, 3.00%, 5/1/2052
|
18,888
|
16,519
|
|
Pool # BV8375, 4.00%, 5/1/2052
|
14,512
|
13,630
|
|
Pool # FS1669, 4.00%, 5/1/2052
|
22,094
|
21,004
|
|
Pool # BV7111, 4.50%, 5/1/2052
|
1,123
|
1,083
|
|
Pool # BV7133, 4.50%, 5/1/2052
|
819
|
789
|
|
Pool # FS2773, 2.50%, 6/1/2052
|
9,518
|
8,153
|
|
Pool # FS2645, 3.00%, 6/1/2052
|
15,777
|
13,905
|
|
Pool # FS8849, 3.00%, 7/1/2052
|
17,355
|
15,296
|
|
Pool # FA1355, 4.00%, 7/1/2052
|
33,000
|
31,032
|
|
Pool # FA1708, 3.00%, 8/1/2052
|
45,931
|
40,658
|
|
Pool # FS8358, 3.50%, 8/1/2052
|
18,289
|
16,674
|
|
Pool # FS4076, 4.00%, 8/1/2052
|
14,570
|
13,744
|
|
Pool # CB4587, 4.50%, 9/1/2052
|
14,963
|
14,430
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CB4628, 5.00%, 9/1/2052
|
69,029
|
68,543
|
|
Pool # FS2982, 5.00%, 9/1/2052
|
22,392
|
22,238
|
|
Pool # CB4642, 6.00%, 9/1/2052
|
11,049
|
11,381
|
|
Pool # FS3977, 4.50%, 11/1/2052
|
2,428
|
2,350
|
|
Pool # BV0962, 5.00%, 11/1/2052
|
10,465
|
10,333
|
|
Pool # BW1328, 5.00%, 11/1/2052
|
38,674
|
38,288
|
|
Pool # CB5267, 4.50%, 12/1/2052
|
17,417
|
16,816
|
|
Pool # CB5412, 4.00%, 1/1/2053
|
6,006
|
5,628
|
|
Pool # CB5666, 4.00%, 2/1/2053
|
37,507
|
35,256
|
|
Pool # CB5896, 5.00%, 3/1/2053
|
20,036
|
19,815
|
|
Pool # CB5898, 5.00%, 3/1/2053
|
15,349
|
15,233
|
|
Pool # CB6313, 5.00%, 5/1/2053
|
13,751
|
13,615
|
|
Pool # BX4395, 5.50%, 5/1/2053
|
7,677
|
7,781
|
|
Pool # BY4714, 5.00%, 6/1/2053
|
125,333
|
123,842
|
|
Pool # BY4776, 5.00%, 7/1/2053
|
84,671
|
83,448
|
|
Pool # BY4770, 5.50%, 7/1/2053
|
16,002
|
16,221
|
|
Pool # BY4775, 5.50%, 7/1/2053
|
11,068
|
11,133
|
|
Pool # BY7101, 5.50%, 8/1/2053
|
6,105
|
6,188
|
|
Pool # BY7130, 6.00%, 9/1/2053
|
8,591
|
8,868
|
|
Pool # DB1954, 5.00%, 11/1/2054
|
83,327
|
82,037
|
|
Pool # DB4827, 5.00%, 11/1/2054
|
39,032
|
38,428
|
|
Pool # CC0876, 6.00%, 8/1/2055
|
18,329
|
18,892
|
|
FNMA, 30 Year
|
|
|
|
Pool # 252409, 6.50%, 3/1/2029
|
13
|
13
|
|
Pool # 653815, 7.00%, 2/1/2033
|
3
|
3
|
|
Pool # 752786, 6.00%, 9/1/2033
|
42
|
42
|
|
Pool # CA3029, 4.00%, 1/1/2049
|
3,694
|
3,454
|
|
Pool # CA5105, 3.50%, 2/1/2050
|
5,656
|
5,124
|
|
FNMA, Other
|
|
|
|
Pool # AN1497, 2.61%, 6/1/2026
|
11,034
|
11,006
|
|
Pool # AN1243, 2.64%, 6/1/2026
|
7,998
|
7,977
|
|
Pool # AN1247, 2.64%, 6/1/2026
|
9,848
|
9,822
|
|
Pool # 468645, 4.54%, 7/1/2026
|
1,857
|
1,854
|
|
Pool # AN2367, 2.46%, 8/1/2026
|
5,511
|
5,485
|
|
Pool # 468927, 4.77%, 8/1/2026
|
4,484
|
4,480
|
|
Pool # AM6448, 3.25%, 9/1/2026
|
8,511
|
8,476
|
|
Pool # AM7117, 3.14%, 12/1/2026
|
16,448
|
16,348
|
|
Pool # AM7262, 3.19%, 12/1/2026
|
14,598
|
14,510
|
|
Pool # AM7011, 3.22%, 12/1/2026
|
2,463
|
2,449
|
|
Pool # FN0029, 4.47%, 12/1/2026 (f)
|
4,155
|
4,151
|
|
Pool # AM8008, 2.94%, 2/1/2027
|
10,262
|
10,170
|
|
Pool # AM8803, 2.78%, 6/1/2027
|
3,511
|
3,463
|
|
Pool # AM9345, 3.25%, 7/1/2027
|
6,625
|
6,561
|
|
Pool # AN7048, 2.90%, 10/1/2027
|
5,837
|
5,740
|
|
Pool # AM1469, 2.96%, 11/1/2027
|
3,171
|
3,122
|
|
Pool # AN7669, 2.83%, 12/1/2027
|
18,221
|
17,866
|
|
Pool # AN8114, 3.00%, 1/1/2028
|
7,020
|
6,894
|
|
Pool # AN8048, 3.08%, 1/1/2028
|
43,528
|
43,128
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AN7943, 3.10%, 1/1/2028
|
13,548
|
13,315
|
|
Pool # BS8221, 4.56%, 5/1/2028
|
10,254
|
10,290
|
|
Pool # AN1600, 2.59%, 6/1/2028
|
5,595
|
5,448
|
|
Pool # AN9686, 3.52%, 6/1/2028
|
29,111
|
28,711
|
|
Pool # AN9486, 3.57%, 6/1/2028
|
25,277
|
24,899
|
|
Pool # AN2005, 2.73%, 7/1/2028
|
8,870
|
8,590
|
|
Pool # 387806, 3.55%, 8/1/2028
|
14,632
|
14,419
|
|
Pool # BS8383, 4.62%, 11/1/2028
|
7,514
|
7,571
|
|
Pool # BS8384, 4.62%, 11/1/2028
|
5,246
|
5,286
|
|
Pool # BL1040, 3.81%, 12/1/2028
|
42,090
|
41,613
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
11,925
|
11,796
|
|
Pool # BL1435, 3.53%, 1/1/2029
|
22,253
|
21,863
|
|
Pool # BS8376, 4.60%, 5/1/2029
|
9,263
|
9,346
|
|
Pool # BL4317, 2.27%, 9/1/2029
|
4,234
|
3,981
|
|
Pool # BS6615, 3.50%, 9/1/2029
|
14,504
|
14,139
|
|
Pool # BS6621, 3.50%, 9/1/2029
|
32,089
|
31,244
|
|
Pool # AN6846, 2.93%, 10/1/2029
|
12,476
|
11,965
|
|
Pool # BS6739, 3.82%, 10/1/2029
|
45,001
|
44,215
|
|
Pool # BL4592, 2.28%, 11/1/2029
|
27,630
|
25,899
|
|
Pool # BL4333, 2.52%, 11/1/2029
|
38,281
|
36,138
|
|
Pool # AM8123, 2.92%, 2/1/2030
|
6,967
|
6,640
|
|
Pool # AM7785, 3.17%, 2/1/2030
|
5,379
|
5,156
|
|
Pool # AM7516, 3.55%, 2/1/2030
|
13,000
|
12,676
|
|
Pool # BS7388, 4.82%, 3/1/2030
|
10,390
|
10,514
|
|
Pool # AM8692, 3.03%, 4/1/2030
|
25,000
|
23,858
|
|
Pool # AM8544, 3.08%, 4/1/2030
|
13,324
|
12,741
|
|
Pool # AM8889, 2.92%, 5/1/2030
|
11,320
|
10,735
|
|
Pool # AM8151, 2.94%, 5/1/2030
|
11,355
|
10,784
|
|
Pool # AN9154, 3.64%, 5/1/2030
|
3,751
|
3,656
|
|
Pool # BS7669, 4.75%, 5/1/2030
|
8,177
|
8,261
|
|
Pool # AM9020, 2.97%, 6/1/2030
|
6,861
|
6,523
|
|
Pool # BS7678, 4.75%, 6/1/2030
|
8,500
|
8,589
|
|
Pool # BS8846, 4.09%, 7/1/2030
|
34,350
|
33,956
|
|
Pool # BS7681, 4.75%, 7/1/2030
|
4,758
|
4,808
|
|
Pool # BZ1291, 4.82%, 8/1/2030
|
15,307
|
15,494
|
|
Pool # AN9293, 3.71%, 9/1/2030
|
60,000
|
58,343
|
|
Pool # BS8736, 4.37%, 10/1/2030
|
9,191
|
9,158
|
|
Pool # BL9494, 1.46%, 12/1/2030
|
10,000
|
8,784
|
|
Pool # BS8375, 4.66%, 1/1/2031
|
9,425
|
9,495
|
|
Pool # BS7921, 4.77%, 1/1/2031
|
9,102
|
9,206
|
|
Pool # BZ0423, 4.31%, 2/1/2031
|
38,469
|
38,204
|
|
Pool # BZ0424, 4.31%, 2/1/2031
|
19,031
|
18,900
|
|
Pool # BS8377, 4.66%, 2/1/2031
|
1,184
|
1,193
|
|
Pool # BS9557, 5.23%, 2/1/2031
|
7,537
|
7,760
|
|
Pool # AH9683, 5.00%, 4/1/2031
|
151
|
151
|
|
Pool # BS2422, 1.67%, 7/1/2031
|
36,050
|
31,564
|
|
Pool # BL3298, 2.86%, 8/1/2031
|
6,796
|
6,326
|
|
Pool # BS9623, 4.91%, 8/1/2031
|
5,129
|
5,203
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BL4310, 2.35%, 10/1/2031
|
10,553
|
9,568
|
|
Pool # AN2625, 2.50%, 10/1/2031
|
8,749
|
7,993
|
|
Pool # AN2513, 2.63%, 10/1/2031
|
25,000
|
22,858
|
|
Pool # BZ2211, 3.90%, 11/1/2031
|
47,210
|
45,888
|
|
Pool # BS4338, 1.82%, 1/1/2032
|
26,665
|
23,288
|
|
Pool # BS4124, 1.94%, 1/1/2032
|
10,881
|
9,626
|
|
Pool # BS4030, 1.96%, 1/1/2032
|
19,494
|
17,172
|
|
Pool # BS3869, 2.00%, 1/1/2032
|
36,000
|
31,728
|
|
Pool # BS4650, 2.02%, 1/1/2032
|
7,494
|
6,628
|
|
Pool # BS4396, 2.05%, 1/1/2032
|
10,000
|
8,811
|
|
Pool # BS4200, 2.05%, 2/1/2032
|
34,650
|
30,521
|
|
Pool # BL5789, 2.40%, 3/1/2032
|
12,000
|
10,803
|
|
Pool # BS5204, 2.50%, 4/1/2032
|
6,186
|
5,604
|
|
Pool # BS5130, 2.55%, 4/1/2032
|
45,249
|
41,037
|
|
Pool # BS5069, 2.73%, 4/1/2032
|
2,469
|
2,243
|
|
Pool # AN5065, 3.34%, 4/1/2032
|
26,680
|
25,151
|
|
Pool # BS5330, 2.85%, 5/1/2032
|
14,317
|
13,113
|
|
Pool # BS5298, 3.07%, 5/1/2032
|
36,743
|
34,048
|
|
Pool # BS5907, 3.54%, 6/1/2032
|
10,756
|
10,204
|
|
Pool # BS6033, 3.97%, 7/1/2032
|
2,081
|
2,017
|
|
Pool # BS6301, 3.67%, 8/1/2032
|
19,145
|
18,249
|
|
Pool # BS6409, 3.88%, 8/1/2032
|
2,206
|
2,121
|
|
Pool # BS6288, 3.89%, 8/1/2032
|
10,919
|
10,551
|
|
Pool # BS6597, 3.67%, 9/1/2032
|
13,781
|
13,063
|
|
Pool # BS6305, 3.68%, 9/1/2032
|
54,320
|
51,902
|
|
Pool # BS6316, 3.76%, 9/1/2032
|
20,000
|
19,268
|
|
Pool # BS6339, 3.80%, 9/1/2032
|
65,061
|
62,492
|
|
Pool # BS6381, 3.89%, 9/1/2032
|
22,000
|
21,188
|
|
Pool # BS6159, 3.92%, 9/1/2032
|
6,000
|
5,812
|
|
Pool # BS6845, 4.22%, 10/1/2032
|
43,000
|
42,241
|
|
Pool # BS6915, 4.60%, 10/1/2032
|
36,000
|
35,933
|
|
Pool # BS8968, 4.73%, 10/1/2032
|
15,496
|
15,620
|
|
Pool # BM7110, 3.87%, 11/1/2032 (f)
|
27,203
|
26,239
|
|
Pool # BS6840, 4.18%, 11/1/2032
|
8,255
|
8,091
|
|
Pool # BS6841, 4.18%, 11/1/2032
|
11,615
|
11,372
|
|
Pool # BS6995, 4.18%, 11/1/2032
|
19,825
|
19,445
|
|
Pool # BS6868, 4.61%, 11/1/2032
|
7,463
|
7,508
|
|
Pool # BS9560, 5.30%, 11/1/2032
|
4,300
|
4,461
|
|
Pool # AQ7084, 3.50%, 12/1/2032
|
528
|
511
|
|
Pool # BS7083, 4.59%, 12/1/2032
|
34,142
|
34,309
|
|
Pool # BS7019, 4.60%, 12/1/2032
|
33,325
|
33,414
|
|
Pool # BS7320, 4.88%, 12/1/2032
|
14,287
|
14,515
|
|
Pool # 650236, 5.00%, 12/1/2032
|
3
|
3
|
|
Pool # BS7303, 5.34%, 12/1/2032
|
10,601
|
11,042
|
|
Pool # BS7496, 4.33%, 1/1/2033
|
12,000
|
11,839
|
|
Pool # BS7558, 4.40%, 1/1/2033
|
15,134
|
14,993
|
|
Pool # BS7595, 4.46%, 1/1/2033
|
9,381
|
9,330
|
|
Pool # BS7147, 4.95%, 1/1/2033
|
10,714
|
10,909
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AR7484, 3.50%, 2/1/2033
|
1,095
|
1,069
|
|
Pool # BS7843, 3.90%, 2/1/2033
|
60,000
|
57,706
|
|
Pool # BS7775, 4.14%, 3/1/2033
|
8,725
|
8,502
|
|
Pool # BS8110, 4.30%, 3/1/2033
|
44,672
|
43,861
|
|
Pool # BS7786, 4.24%, 4/1/2033
|
37,972
|
37,171
|
|
Pool # BS8223, 4.50%, 4/1/2033
|
6,368
|
6,341
|
|
Pool # BS8055, 4.71%, 4/1/2033
|
14,684
|
14,780
|
|
Pool # BS8185, 4.17%, 5/1/2033
|
13,528
|
13,210
|
|
Pool # BS8213, 4.22%, 5/1/2033
|
17,816
|
17,485
|
|
Pool # BS8546, 4.37%, 5/1/2033
|
32,295
|
31,874
|
|
Pool # BS8284, 4.43%, 5/1/2033
|
8,651
|
8,575
|
|
Pool # BS8610, 4.48%, 5/1/2033
|
4,615
|
4,588
|
|
Pool # BS8247, 4.53%, 5/1/2033
|
3,900
|
3,888
|
|
Pool # BS8609, 4.53%, 5/1/2033
|
6,149
|
6,131
|
|
Pool # AT7117, 3.50%, 6/1/2033
|
374
|
363
|
|
Pool # BS8756, 4.14%, 6/1/2033
|
18,345
|
17,863
|
|
Pool # BS8644, 4.32%, 6/1/2033
|
22,338
|
22,012
|
|
Pool # BS8661, 4.34%, 6/1/2033
|
4,663
|
4,608
|
|
Pool # BS8665, 4.34%, 6/1/2033
|
5,025
|
4,952
|
|
Pool # BS8571, 4.43%, 6/1/2033
|
6,239
|
6,188
|
|
Pool # AN6000, 3.21%, 7/1/2033
|
9,103
|
8,411
|
|
Pool # AN9695, 3.67%, 7/1/2033
|
32,550
|
30,797
|
|
Pool # AN9496, 3.75%, 7/1/2033
|
24,000
|
22,912
|
|
Pool # AN9950, 3.89%, 7/1/2033
|
8,278
|
7,896
|
|
Pool # BS9089, 4.51%, 7/1/2033
|
31,800
|
31,683
|
|
Pool # BS8883, 4.58%, 7/1/2033
|
35,052
|
34,807
|
|
Pool # BS9470, 4.45%, 10/1/2033
|
17,758
|
17,645
|
|
Pool # BS9471, 4.45%, 10/1/2033
|
16,368
|
16,264
|
|
Pool # BS9185, 4.51%, 10/1/2033
|
26,043
|
25,859
|
|
Pool # BS9182, 4.52%, 10/1/2033
|
29,035
|
28,978
|
|
Pool # BZ0419, 4.25%, 1/1/2034
|
21,000
|
20,514
|
|
Pool # BZ0430, 4.32%, 2/1/2034
|
40,000
|
39,361
|
|
Pool # 810997, 5.50%, 10/1/2034
|
72
|
72
|
|
Pool # AM7122, 3.61%, 11/1/2034
|
4,630
|
4,356
|
|
Pool # AM8474, 3.45%, 4/1/2035
|
4,191
|
3,897
|
|
Pool # AM8475, 3.45%, 4/1/2035
|
1,700
|
1,581
|
|
Pool # AM9532, 3.63%, 10/1/2035
|
3,197
|
2,995
|
|
Pool # BS5413, 3.41%, 12/1/2035
|
10,250
|
9,198
|
|
Pool # AN0375, 3.76%, 12/1/2035
|
5,046
|
4,765
|
|
Pool # 256051, 5.50%, 12/1/2035
|
47
|
46
|
|
Pool # 256128, 6.00%, 2/1/2036
|
10
|
11
|
|
Pool # 880219, 7.00%, 2/1/2036
|
50
|
50
|
|
Pool # 920934, 6.50%, 1/1/2037
|
146
|
149
|
|
Pool # 888408, 6.00%, 3/1/2037
|
85
|
86
|
|
Pool # 888373, 7.00%, 3/1/2037
|
25
|
26
|
|
Pool # 888412, 7.00%, 4/1/2037
|
19
|
19
|
|
Pool # BS5648, 3.87%, 6/1/2037
|
10,561
|
9,728
|
|
Pool # BS5650, 3.87%, 6/1/2037
|
14,180
|
13,118
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS5761, 3.87%, 6/1/2037
|
10,964
|
10,143
|
|
Pool # 995783, 8.00%, 11/1/2037
|
65
|
66
|
|
Pool # 257209, 5.50%, 5/1/2038
|
70
|
71
|
|
Pool # MA0127, 5.50%, 6/1/2039
|
88
|
89
|
|
Pool # AL2606, 4.00%, 3/1/2042
|
174
|
165
|
|
Pool # AO7225, 4.00%, 7/1/2042
|
1,055
|
1,017
|
|
Pool # AO9352, 4.00%, 7/1/2042
|
1,394
|
1,344
|
|
Pool # AO9353, 4.00%, 7/1/2042
|
1,567
|
1,510
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
907
|
874
|
|
Pool # MA1178, 4.00%, 9/1/2042
|
5,112
|
4,928
|
|
Pool # MA1213, 3.50%, 10/1/2042
|
2,358
|
2,205
|
|
Pool # MA1251, 3.50%, 11/1/2042
|
5,972
|
5,585
|
|
Pool # MA1253, 4.00%, 11/1/2042
|
4,213
|
4,062
|
|
Pool # AR1397, 3.00%, 1/1/2043
|
4,610
|
4,202
|
|
Pool # MA1328, 3.50%, 1/1/2043
|
853
|
798
|
|
Pool # AQ9999, 3.00%, 2/1/2043
|
2,249
|
2,050
|
|
Pool # MA1373, 3.50%, 3/1/2043
|
1,459
|
1,369
|
|
Pool # MA1404, 3.50%, 4/1/2043
|
4,252
|
3,976
|
|
Pool # AB9096, 4.00%, 4/1/2043
|
450
|
434
|
|
Pool # AB9196, 3.50%, 5/1/2043
|
1,118
|
1,045
|
|
Pool # AT4051, 3.50%, 5/1/2043
|
527
|
493
|
|
Pool # MA1437, 3.50%, 5/1/2043
|
4,679
|
4,375
|
|
Pool # AT5914, 3.50%, 6/1/2043
|
2,925
|
2,736
|
|
Pool # MA1463, 3.50%, 6/1/2043
|
5,840
|
5,461
|
|
Pool # AB9704, 4.00%, 6/1/2043
|
927
|
880
|
|
Pool # MA1711, 4.50%, 12/1/2043
|
6,440
|
6,361
|
|
Pool # AL6167, 3.50%, 1/1/2044
|
3,107
|
2,905
|
|
Pool # MA1759, 4.00%, 1/1/2044
|
2,131
|
2,050
|
|
Pool # MA1760, 4.50%, 1/1/2044
|
1,932
|
1,904
|
|
Pool # AV9286, 4.00%, 2/1/2044
|
1,731
|
1,664
|
|
Pool # MA1800, 4.00%, 2/1/2044
|
1,320
|
1,272
|
|
Pool # MA1828, 4.50%, 3/1/2044
|
5,063
|
4,988
|
|
Pool # MA2429, 4.00%, 10/1/2045
|
1,466
|
1,406
|
|
Pool # MA2565, 4.00%, 3/1/2046
|
2,226
|
2,124
|
|
Pool # BM5835, 3.00%, 9/1/2047
|
7,217
|
6,353
|
|
Pool # AD0523, 6.00%, 11/1/2048
|
163
|
165
|
|
Pool # BF0131, 3.50%, 8/1/2056
|
33,708
|
30,368
|
|
Pool # BF0144, 3.50%, 10/1/2056
|
2,182
|
1,975
|
|
Pool # BF0690, 3.00%, 2/1/2057
|
7,540
|
6,773
|
|
Pool # BF0230, 5.50%, 1/1/2058
|
32,970
|
34,160
|
|
Pool # BF0341, 5.50%, 1/1/2059
|
13,942
|
14,205
|
|
Pool # BM7076, 4.00%, 4/1/2059
|
36,840
|
34,693
|
|
Pool # BF0396, 2.50%, 8/1/2059
|
24,879
|
20,714
|
|
Pool # BM6734, 4.00%, 8/1/2059
|
25,454
|
23,781
|
|
Pool # BF0464, 3.50%, 3/1/2060
|
37,760
|
34,018
|
|
Pool # BF0520, 3.00%, 1/1/2061
|
49,719
|
42,717
|
|
Pool # BM7075, 3.00%, 3/1/2061
|
55,486
|
47,670
|
|
Pool # BF0546, 2.50%, 7/1/2061
|
62,790
|
51,383
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BF0562, 3.50%, 9/1/2061
|
46,694
|
41,929
|
|
Pool # BF0577, 2.50%, 12/1/2061
|
10,480
|
8,700
|
|
Pool # BF0590, 2.50%, 12/1/2061
|
14,670
|
12,004
|
|
Pool # BF0579, 3.00%, 12/1/2061
|
17,990
|
15,412
|
|
Pool # BF0583, 4.00%, 12/1/2061
|
24,746
|
22,882
|
|
Pool # BF0586, 5.00%, 12/1/2061
|
10,162
|
10,049
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
71,738
|
58,705
|
|
Pool # BF0602, 3.00%, 3/1/2062
|
25,844
|
22,140
|
|
Pool # BF0603, 3.50%, 3/1/2062
|
17,401
|
15,782
|
|
Pool # BF0604, 3.50%, 3/1/2062
|
27,532
|
24,723
|
|
Pool # BF0605, 4.00%, 3/1/2062
|
13,706
|
12,673
|
|
Pool # BF0674, 2.50%, 4/1/2062
|
57,264
|
46,859
|
|
Pool # BF0759, 2.50%, 5/1/2062
|
53,476
|
43,761
|
|
Pool # BF0673, 2.50%, 6/1/2062
|
38,078
|
31,160
|
|
Pool # BF0654, 3.00%, 6/1/2062
|
29,968
|
25,673
|
|
Pool # BF0648, 3.50%, 6/1/2062
|
18,574
|
16,846
|
|
Pool # BF0655, 3.50%, 6/1/2062
|
36,800
|
33,045
|
|
Pool # BF0649, 4.00%, 6/1/2062
|
17,283
|
16,254
|
|
Pool # BF0677, 4.00%, 9/1/2062
|
38,272
|
35,389
|
|
Pool # BF0701, 3.50%, 12/1/2062
|
14,488
|
13,009
|
|
Pool # BF0733, 3.00%, 6/1/2063
|
26,799
|
22,958
|
|
Pool # BF0764, 3.50%, 9/1/2063
|
20,506
|
18,557
|
|
Pool # BF0767, 4.00%, 9/1/2063
|
42,031
|
38,865
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 6/25/2056 (g)
|
303,435
|
253,854
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 411829, 7.50%, 7/15/2027
|
1
|
1
|
|
Pool # 554108, 6.50%, 3/15/2028
|
10
|
10
|
|
Pool # 468236, 6.50%, 9/15/2028
|
12
|
12
|
|
Pool # 486537, 7.50%, 9/15/2028
|
3
|
3
|
|
Pool # 486631, 6.50%, 10/15/2028
|
1
|
1
|
|
Pool # 781328, 7.00%, 9/15/2031
|
122
|
126
|
|
Pool # 569568, 6.50%, 1/15/2032
|
124
|
127
|
|
Pool # 591882, 6.50%, 7/15/2032
|
10
|
10
|
|
Pool # 607645, 6.50%, 2/15/2033
|
39
|
39
|
|
Pool # 607724, 7.00%, 2/15/2033
|
19
|
20
|
|
Pool # 783123, 5.50%, 4/15/2033
|
780
|
794
|
|
Pool # 604209, 6.50%, 4/15/2033
|
32
|
32
|
|
Pool # 614546, 5.50%, 6/15/2033
|
6
|
6
|
|
Pool # 781614, 7.00%, 6/15/2033
|
45
|
46
|
|
Pool # 781689, 5.50%, 12/15/2033
|
28
|
28
|
|
Pool # 632415, 5.50%, 7/15/2034
|
17
|
17
|
|
Pool # 574710, 5.50%, 9/15/2034
|
11
|
12
|
|
Pool # 782615, 7.00%, 6/15/2035
|
258
|
269
|
|
Pool # 782025, 6.50%, 12/15/2035
|
107
|
110
|
|
Pool # 617486, 7.00%, 4/15/2037
|
42
|
42
|
|
Pool # 782212, 7.50%, 10/15/2037
|
87
|
92
|
|
Pool # BI6868, 5.00%, 3/15/2049
|
1,825
|
1,840
|
|
Pool # BM1726, 5.00%, 3/15/2049
|
1,434
|
1,445
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CO1894, 4.50%, 7/15/2052
|
6,878
|
6,873
|
|
Pool # CU0289, 6.50%, 6/15/2053
|
9,774
|
10,203
|
|
GNMA II
|
|
|
|
Pool # CE5521, ARM, 5.51%, 8/20/2071 (f)
|
11,298
|
11,790
|
|
Pool # CE5523, ARM, 5.57%, 8/20/2071 (f)
|
15,572
|
16,196
|
|
Pool # CE9356, ARM, 5.31%, 9/20/2071 (f)
|
8,045
|
8,302
|
|
Pool # CE5537, ARM, 5.54%, 9/20/2071 (f)
|
33,637
|
35,136
|
|
Pool # CE5533, ARM, 5.55%, 9/20/2071 (f)
|
37,550
|
39,144
|
|
Pool # CE5536, ARM, 5.59%, 9/20/2071 (f)
|
30,303
|
31,664
|
|
Pool # CE5544, ARM, 5.51%, 10/20/2071 (f)
|
35,787
|
37,352
|
|
Pool # CE5550, ARM, 5.53%, 10/20/2071 (f)
|
18,223
|
19,004
|
|
Pool # CE5552, ARM, 5.54%, 11/20/2071 (f)
|
35,616
|
37,191
|
|
Pool # CK2783, ARM, 5.48%, 2/20/2072 (f)
|
85,618
|
89,439
|
|
Pool # CK2789, ARM, 5.50%, 2/20/2072 (f)
|
30,851
|
32,227
|
|
Pool # CM0227, ARM, 5.51%, 2/20/2072 (f)
|
28,635
|
29,947
|
|
Pool # CM0228, ARM, 5.72%, 2/20/2072 (f)
|
17,624
|
18,512
|
|
Pool # CL8129, ARM, 5.39%, 3/20/2072 (f)
|
19,328
|
20,146
|
|
Pool # CK2802, ARM, 5.43%, 3/20/2072 (f)
|
27,670
|
28,891
|
|
Pool # CM0234, ARM, 5.45%, 3/20/2072 (f)
|
30,128
|
31,471
|
|
Pool # CK2800, ARM, 5.47%, 3/20/2072 (f)
|
22,665
|
23,724
|
|
Pool # CM9946, ARM, 5.47%, 3/20/2072 (f)
|
17,663
|
18,470
|
|
Pool # CK2791, ARM, 5.48%, 3/20/2072 (f)
|
42,483
|
44,442
|
|
Pool # CK2794, ARM, 5.49%, 3/20/2072 (f)
|
44,420
|
46,439
|
|
Pool # CK2793, ARM, 5.50%, 3/20/2072 (f)
|
40,773
|
42,615
|
|
Pool # CK2803, ARM, 5.43%, 4/20/2072 (f)
|
41,921
|
43,883
|
|
Pool # BL8377, ARM, 5.51%, 4/20/2072 (f)
|
36,563
|
38,433
|
|
Pool # CN0126, ARM, 5.46%, 5/20/2072 (f)
|
34,567
|
36,145
|
|
Pool # CN7634, ARM, 5.55%, 6/20/2072 (f)
|
26,576
|
28,009
|
|
Pool # 786250, ARM, 5.67%, 6/20/2072 (f)
|
39,069
|
41,328
|
|
Pool # CL8191, ARM, 5.61%, 7/20/2072 (f)
|
22,396
|
23,654
|
|
Pool # CO0363, ARM, 5.70%, 7/20/2072 (f)
|
28,385
|
30,087
|
|
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
|
1
|
1
|
|
Pool # 2512, 8.00%, 11/20/2027
|
1
|
1
|
|
Pool # 2525, 8.00%, 12/20/2027
|
1
|
1
|
|
Pool # 2549, 7.50%, 2/20/2028
|
—
|
—
|
|
Pool # 2562, 6.00%, 3/20/2028
|
3
|
4
|
|
Pool # 2646, 7.50%, 9/20/2028
|
4
|
4
|
|
Pool # 2781, 6.50%, 7/20/2029
|
95
|
99
|
|
Pool # 4224, 7.00%, 8/20/2038
|
46
|
48
|
|
Pool # 4245, 6.00%, 9/20/2038
|
1,182
|
1,243
|
|
Pool # 783389, 6.00%, 8/20/2039
|
440
|
456
|
|
Pool # 783444, 5.50%, 9/20/2039
|
291
|
295
|
|
Pool # 783967, 4.25%, 12/20/2044
|
3,145
|
2,952
|
|
Pool # AK8791, 3.75%, 7/20/2045
|
1,066
|
981
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BD0481, 4.00%, 12/20/2047
|
1,008
|
943
|
|
Pool # BD0484, 4.50%, 12/20/2047
|
3,978
|
3,836
|
|
Pool # BE0207, 4.50%, 2/20/2048
|
3,052
|
2,955
|
|
Pool # BE0208, 4.50%, 2/20/2048
|
4,456
|
4,318
|
|
Pool # BE5169, 4.50%, 2/20/2048
|
4,699
|
4,557
|
|
Pool # BA7567, 4.50%, 5/20/2048
|
1,347
|
1,293
|
|
Pool # BG6360, 5.00%, 5/20/2048
|
4,823
|
4,892
|
|
Pool # BF2574, 5.50%, 5/20/2048
|
123
|
127
|
|
Pool # BI0728, 5.00%, 7/20/2048
|
6,272
|
6,334
|
|
Pool # BD0551, 4.50%, 8/20/2048
|
1,139
|
1,109
|
|
Pool # BI5288, 5.00%, 8/20/2048
|
7,698
|
7,730
|
|
Pool # BI5289, 5.00%, 8/20/2048
|
10,848
|
10,952
|
|
Pool # AY2411, 4.25%, 9/20/2048
|
2,948
|
2,800
|
|
Pool # 784598, 5.00%, 9/20/2048
|
8,127
|
8,230
|
|
Pool # 784626, 4.50%, 10/20/2048
|
1,139
|
1,105
|
|
Pool # BK2586, 5.00%, 11/20/2048
|
1,210
|
1,216
|
|
Pool # BJ7082, 5.00%, 12/20/2048
|
482
|
481
|
|
Pool # BJ7085, 5.00%, 12/20/2048
|
930
|
944
|
|
Pool # BK7169, 5.00%, 12/20/2048
|
4,149
|
4,164
|
|
Pool # BK8878, 4.50%, 2/20/2049
|
2,005
|
1,925
|
|
Pool # BK7189, 5.00%, 2/20/2049
|
4,378
|
4,410
|
|
Pool # BJ9972, 5.50%, 2/20/2049
|
892
|
911
|
|
Pool # BK7198, 4.50%, 3/20/2049
|
2,031
|
1,958
|
|
Pool # BK7199, 5.00%, 3/20/2049
|
592
|
597
|
|
Pool # BL8042, 5.00%, 3/20/2049
|
4,471
|
4,497
|
|
Pool # BL9333, 5.00%, 3/20/2049
|
2,330
|
2,375
|
|
Pool # BG0079, 5.50%, 3/20/2049
|
784
|
802
|
|
Pool # BL6756, 5.50%, 3/20/2049
|
292
|
299
|
|
Pool # BJ1322, 5.00%, 4/20/2049
|
3,731
|
3,835
|
|
Pool # BJ9622, 5.00%, 4/20/2049
|
1,430
|
1,429
|
|
Pool # BK7209, 5.00%, 4/20/2049
|
3,254
|
3,287
|
|
Pool # BL6758, 5.50%, 4/20/2049
|
625
|
639
|
|
Pool # BM9664, 4.50%, 5/20/2049
|
4,821
|
4,727
|
|
Pool # BM9683, 5.00%, 6/20/2049
|
9,906
|
10,017
|
|
Pool # BO2880, 5.00%, 6/20/2049
|
408
|
406
|
|
Pool # BN3950, 5.50%, 6/20/2049
|
1,666
|
1,702
|
|
Pool # BN2629, 4.00%, 7/20/2049
|
8,032
|
7,674
|
|
Pool # BI0926, 5.00%, 7/20/2049
|
761
|
761
|
|
Pool # BI0927, 5.00%, 7/20/2049
|
572
|
569
|
|
Pool # BM2186, 5.00%, 7/20/2049
|
339
|
339
|
|
Pool # BM2187, 5.00%, 7/20/2049
|
293
|
293
|
|
Pool # BO2871, 5.00%, 7/20/2049
|
230
|
229
|
|
Pool # BO2872, 5.00%, 7/20/2049
|
751
|
756
|
|
Pool # BO2878, 5.00%, 7/20/2049
|
591
|
590
|
|
Pool # BO2879, 5.00%, 7/20/2049
|
307
|
306
|
|
Pool # BO3162, 5.00%, 7/20/2049
|
37,357
|
38,800
|
|
Pool # BO3173, 5.00%, 7/20/2049
|
718
|
718
|
|
Pool # BO3174, 5.00%, 7/20/2049
|
341
|
339
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BO8226, 5.00%, 7/20/2049
|
366
|
366
|
|
Pool # BO8229, 5.00%, 7/20/2049
|
3,765
|
3,850
|
|
Pool # BO8235, 5.00%, 7/20/2049
|
450
|
446
|
|
Pool # BO8236, 5.00%, 7/20/2049
|
406
|
404
|
|
Pool # BP4243, 5.00%, 8/20/2049
|
9,281
|
9,414
|
|
Pool # BN2649, 3.50%, 9/20/2049
|
2,088
|
1,899
|
|
Pool # BM9713, 4.50%, 9/20/2049
|
1,598
|
1,544
|
|
Pool # BP4337, 4.50%, 9/20/2049
|
12,282
|
12,147
|
|
Pool # BQ3224, 4.50%, 9/20/2049
|
11,441
|
11,093
|
|
Pool # 784810, 5.00%, 9/20/2049
|
10,031
|
9,952
|
|
Pool # BM9734, 4.00%, 10/20/2049
|
2,445
|
2,297
|
|
Pool # 784847, 4.50%, 11/20/2049
|
16,473
|
15,860
|
|
Pool # BQ8694, 4.50%, 11/20/2049
|
526
|
515
|
|
Pool # BQ8696, 4.50%, 11/20/2049
|
612
|
602
|
|
Pool # BR2686, 4.50%, 11/20/2049
|
1,732
|
1,683
|
|
Pool # BR2687, 4.50%, 11/20/2049
|
3,780
|
3,699
|
|
Pool # BR2688, 4.50%, 11/20/2049
|
2,074
|
2,020
|
|
Pool # BR2689, 4.50%, 11/20/2049
|
2,636
|
2,601
|
|
Pool # BR2739, 4.50%, 11/20/2049
|
1,310
|
1,300
|
|
Pool # BR2756, 4.50%, 11/20/2049
|
1,677
|
1,651
|
|
Pool # BR2757, 4.50%, 11/20/2049
|
1,686
|
1,654
|
|
Pool # BR3820, 4.50%, 11/20/2049
|
210
|
204
|
|
Pool # BR3821, 4.50%, 11/20/2049
|
593
|
574
|
|
Pool # BS0953, 4.50%, 11/20/2049
|
1,638
|
1,625
|
|
Pool # BQ4131, 3.50%, 12/20/2049
|
9,759
|
8,945
|
|
Pool # BI0940, 4.50%, 12/20/2049
|
489
|
475
|
|
Pool # BQ3796, 4.50%, 12/20/2049
|
1,656
|
1,629
|
|
Pool # BR2730, 4.50%, 12/20/2049
|
728
|
707
|
|
Pool # BR2731, 4.50%, 12/20/2049
|
660
|
645
|
|
Pool # BR2732, 4.50%, 12/20/2049
|
973
|
972
|
|
Pool # BR2755, 4.50%, 12/20/2049
|
911
|
885
|
|
Pool # BR3822, 4.50%, 12/20/2049
|
665
|
643
|
|
Pool # BR3823, 4.50%, 12/20/2049
|
1,126
|
1,101
|
|
Pool # BR3824, 4.50%, 12/20/2049
|
659
|
652
|
|
Pool # BS0951, 4.50%, 12/20/2049
|
1,637
|
1,598
|
|
Pool # BS0952, 4.50%, 12/20/2049
|
1,253
|
1,234
|
|
Pool # BQ4132, 3.50%, 1/20/2050
|
4,663
|
4,239
|
|
Pool # BQ4133, 3.50%, 1/20/2050
|
3,650
|
3,336
|
|
Pool # BR1548, 3.50%, 1/20/2050
|
3,459
|
3,249
|
|
Pool # BS8380, 4.50%, 2/20/2050
|
2,406
|
2,418
|
|
Pool # BP8085, 3.00%, 3/20/2050
|
3,634
|
3,233
|
|
Pool # BR3892, 4.00%, 3/20/2050
|
8,231
|
7,661
|
|
Pool # BT8094, 4.00%, 4/20/2050
|
664
|
622
|
|
Pool # BT8095, 4.00%, 4/20/2050
|
4,542
|
4,250
|
|
Pool # BT8096, 4.00%, 4/20/2050
|
6,590
|
6,162
|
|
Pool # BT8097, 4.00%, 4/20/2050
|
6,204
|
5,855
|
|
Pool # BT8098, 4.00%, 4/20/2050
|
7,923
|
7,506
|
|
Pool # BT8099, 4.00%, 4/20/2050
|
5,711
|
5,422
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BW7042, 3.50%, 9/20/2050
|
16,237
|
14,641
|
|
Pool # 785294, 3.50%, 1/20/2051
|
44,319
|
39,391
|
|
Pool # MA7534, 2.50%, 8/20/2051
|
194,923
|
166,858
|
|
Pool # MA7649, 2.50%, 10/20/2051
|
28,656
|
24,539
|
|
Pool # CH9031, 3.50%, 10/20/2051
|
18,496
|
16,679
|
|
Pool # MA7706, 3.00%, 11/20/2051
|
34,707
|
30,880
|
|
Pool # 787205, 3.50%, 11/20/2051
|
68,978
|
62,504
|
|
Pool # CI9257, 3.50%, 11/20/2051
|
22,076
|
19,908
|
|
Pool # CK1527, 3.50%, 12/20/2051
|
6,851
|
6,212
|
|
Pool # CK1600, 4.00%, 1/20/2052
|
13,782
|
12,882
|
|
Pool # CK7137, 4.00%, 1/20/2052
|
23,479
|
21,568
|
|
Pool # 786362, 3.00%, 2/20/2052
|
32,749
|
28,712
|
|
Pool # CL2553, 4.00%, 2/20/2052
|
16,666
|
15,310
|
|
Pool # MA7936, 2.50%, 3/20/2052
|
48,967
|
41,926
|
|
Pool # CM2213, 3.00%, 3/20/2052
|
6,969
|
6,200
|
|
Pool # 787457, 4.00%, 3/20/2052
|
21,152
|
20,090
|
|
Pool # CL2574, 4.00%, 3/20/2052
|
9,595
|
8,814
|
|
Pool # CL2575, 4.00%, 3/20/2052
|
5,289
|
4,923
|
|
Pool # 787010, 3.50%, 4/20/2052
|
27,361
|
24,849
|
|
Pool # CM1194, 4.00%, 4/20/2052
|
12,012
|
11,035
|
|
Pool # MA8148, 3.00%, 7/20/2052
|
167,131
|
148,884
|
|
Pool # MA8200, 4.00%, 8/20/2052
|
122,069
|
114,524
|
|
Pool # MA8423, 2.50%, 11/20/2052
|
33,445
|
28,677
|
|
Pool # CO8957, 5.00%, 12/20/2052
|
14,718
|
14,438
|
|
Pool # MA8565, 3.00%, 1/20/2053
|
28,933
|
25,788
|
|
Pool # MA8721, 3.00%, 3/20/2053
|
100,133
|
89,388
|
|
Pool # MA8796, 3.00%, 4/20/2053
|
40,273
|
36,078
|
|
Pool # 786842, 4.00%, 4/20/2053
|
72,881
|
68,601
|
|
Pool # CS4305, 5.50%, 6/20/2053
|
28,360
|
28,690
|
|
Pool # CS4391, 5.50%, 7/20/2053
|
33,892
|
34,287
|
|
Pool # MA9166, 3.00%, 9/20/2053
|
16,286
|
14,505
|
|
Pool # MA9600, 3.00%, 4/20/2054
|
14,372
|
12,804
|
|
Pool # DL3307, 6.50%, 8/20/2055
|
28,085
|
29,791
|
|
Pool # MB0680, 2.50%, 10/20/2055
|
31,205
|
26,737
|
|
GNMA II, Other
|
|
|
|
Pool # AD0858, 3.75%, 9/20/2038
|
387
|
362
|
|
Pool # 4285, 6.00%, 11/20/2038
|
10
|
10
|
|
Pool # AD0862, 3.75%, 1/20/2039
|
707
|
655
|
|
Pool # 787496, 6.00%, 7/20/2064
|
33,108
|
33,857
|
|
Pool # 784879, 4.10%, 11/20/2069 (f)
|
11,561
|
11,043
|
|
Pool # 785137, 3.08%, 8/20/2070 (f)
|
15,637
|
14,092
|
|
Pool # 785183, 2.94%, 10/20/2070 (f)
|
31,451
|
28,410
|
|
Pool # 785863, 3.10%, 12/20/2071 (f)
|
11,984
|
10,810
|
|
Pool # 786556, 4.65%, 1/20/2073 (f)
|
38,381
|
37,449
|
|
Total Mortgage-Backed Securities
(Cost $10,445,482)
|
|
10,192,362
|
|
Asset-Backed Securities — 10.7%
|
||
|
Academic Loan Funding Trust Series 2013-1A, Class A, 4.53%, 12/26/2044 (b) (f)
|
871
|
857
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Accelerated Assets LLC Series 2018-1, Class A, 3.87%, 12/2/2033 (b)
|
1,050
|
1,041
|
|
ACHD Trust Series 2025-DS1, Class A, 5.98%, 1/9/2034 (b)
|
3,528
|
3,533
|
|
Air Canada Pass-Through Trust (Canada)
|
|
|
|
Series 2015-1, Class A, 3.60%, 3/15/2027 (b)
|
2,760
|
2,736
|
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)
|
5,299
|
5,043
|
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (b)
|
5,107
|
4,838
|
|
Alternative LN Issuer LLC
|
|
|
|
5.60%, 11/15/2035 ‡
|
19,484
|
19,631
|
|
6.33%, 11/15/2035 ‡
|
4,321
|
4,364
|
|
6.82%, 11/15/2035 ‡
|
8,942
|
9,031
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2014-1, Class A, 3.70%, 10/1/2026
|
5,411
|
5,393
|
|
Series 2015-2, Class A, 4.00%, 9/22/2027
|
13,977
|
13,720
|
|
Series 2016-2, Class A, 3.65%, 6/15/2028
|
4,092
|
3,966
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
6,422
|
6,205
|
|
Series 2017-2, Class A, 3.60%, 10/15/2029
|
6,334
|
6,101
|
|
Series 2021-1, Class B, 3.95%, 7/11/2030
|
8,275
|
7,939
|
|
American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (b)
|
3,322
|
3,335
|
|
AMSR Trust
|
|
|
|
Series 2022-SFR1, Class E1, 4.39%, 3/17/2039 (b)
|
28,018
|
27,696
|
|
Series 2022-SFR3, Class D, 4.00%, 10/17/2039 (b)
|
22,000
|
21,494
|
|
Series 2023-SFR1, Class D, 4.00%, 4/17/2040 (b)
|
22,082
|
21,421
|
|
Series 2023-SFR2, Class D, 3.95%, 6/17/2040 (b)
|
12,065
|
11,687
|
|
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (b)
|
11,900
|
11,432
|
|
Series 2024-SFR2, Class C, 4.15%, 11/17/2041 (b)
|
11,723
|
11,236
|
|
Series 2026-SFR1, Class A, 3.78%, 4/17/2043 (b)
|
27,233
|
25,698
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class A, 3.14%, 7/16/2040 (b)
|
1,462
|
1,420
|
|
Series 2020-AA, Class B, 2.79%, 7/17/2046 (b)
|
1,672
|
1,594
|
|
Avis Budget Rental Car Funding AESOP LLC Series 2024-1A, Class A, 5.36%, 6/20/2030 (b)
|
22,973
|
23,350
|
|
Bastion Funding I LLC
|
|
|
|
Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (b)
|
46,615
|
46,868
|
|
7.80%, 10/25/2038 ‡
|
12,558
|
12,673
|
|
BDS LLC Series 2026-FL17, Class A, 5.00%, 5/19/2043 (b) (f)
|
11,591
|
11,594
|
|
BG Beta Ltd. (Cayman Islands) 6.28%, 7/16/2054 ‡
|
59,830
|
59,902
|
|
Bridge Trust Series 2024-SFR1, Class A, 4.00%, 8/17/2040 (b)
|
52,114
|
50,398
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2023-1, Class C, 7.10%, 8/15/2029
|
16,655
|
16,816
|
|
Series 2024-4, Class D, 5.23%, 8/15/2030
|
23,845
|
23,915
|
|
Series 2025-2, Class D, 5.62%, 3/17/2031
|
10,805
|
10,934
|
|
Series 2025-4, Class C, 4.80%, 8/15/2031
|
16,570
|
16,558
|
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)
|
4,003
|
3,908
|
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (b)
|
6,465
|
6,247
|
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)
|
6,691
|
6,348
|
|
Business Jet Securities LLC
|
|
|
|
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b)
|
32,710
|
32,339
|
|
Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (b)
|
26,274
|
26,191
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
BXG Receivables Note Trust
|
|
|
|
Series 2023-A, Class A, 5.77%, 11/15/2038 (b)
|
1,489
|
1,506
|
|
Series 2023-A, Class B, 6.31%, 11/15/2038 (b)
|
10,232
|
10,363
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b)
|
14,944
|
14,309
|
|
CARS-DB4 LP
|
|
|
|
Series 2020-1A, Class A5, 3.48%, 2/15/2050 (b)
|
5,607
|
5,543
|
|
Series 2020-1A, Class A6, 3.81%, 2/15/2050 (b)
|
5,851
|
5,530
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2022-P1, Class A4, 3.52%, 2/10/2028
|
2,842
|
2,840
|
|
Series 2023-P4, Class A4, 6.16%, 9/10/2029 (b)
|
16,476
|
16,854
|
|
Series 2023-N4, Class B, 6.46%, 2/11/2030 (b)
|
11,501
|
11,573
|
|
Cascade MH Asset Trust Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (b) (e)
|
31,136
|
30,550
|
|
CFIN Issuer LLC Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (e)
|
6,941
|
6,892
|
|
Chase Funding Trust
|
|
|
|
Series 2003-4, Class 1A5, 4.94%, 5/25/2033 (e)
|
350
|
346
|
|
Series 2003-6, Class 1A5, 4.82%, 11/25/2034 (e)
|
446
|
438
|
|
Series 2003-6, Class 1A7, 4.82%, 11/25/2034 (e)
|
760
|
747
|
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
950
|
1,038
|
|
Continental Finance Credit Card ABS Master Trust
|
|
|
|
Series 2024-A, Class A, 5.78%, 12/15/2032 (b)
|
41,825
|
42,045
|
|
Series 2024-A, Class B, 6.22%, 12/15/2032 (b)
|
6,990
|
7,055
|
|
COOF Securitization Trust Ltd. Series 2014-1, Class A, 3.13%, 6/25/2040 (b) (f)
|
1,096
|
70
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-2, Class B, 3.42%, 6/15/2052 (b)
|
2,549
|
2,455
|
|
Series 2019-2, Class C, 3.68%, 6/15/2052 (b)
|
5,526
|
5,291
|
|
Series 2019-3, Class A, 2.71%, 10/15/2052 (b)
|
1,476
|
1,473
|
|
CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b)
|
2,757
|
2,769
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (b)
|
28,426
|
28,465
|
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b)
|
799
|
800
|
|
Series 2023-2A, Class B, 6.61%, 7/15/2033 (b)
|
14,879
|
14,906
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (b)
|
2,861
|
2,863
|
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (b)
|
43,500
|
43,814
|
|
Series 2023-5A, Class A, 6.13%, 12/15/2033 (b)
|
3,762
|
3,778
|
|
6.95%, 2/15/2034 ‡
|
65,094
|
65,341
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b)
|
27,599
|
27,689
|
|
Series 2024-1A, Class B, 6.03%, 5/15/2034 (b)
|
12,000
|
12,116
|
|
8.30%, 6/15/2034 ‡
|
27,013
|
27,499
|
|
Series 2024-2A, Class B, 6.11%, 8/15/2034 (b)
|
40,000
|
40,679
|
|
Series 2024-3A, Class C, 5.39%, 1/16/2035 (b)
|
19,100
|
19,183
|
|
Credit One (Nigeria) 6.47%, 2/25/2029 ‡ (b)
|
71,500
|
71,457
|
|
Crown Castle Towers LLC 4.24%, 7/15/2028 (b)
|
10,000
|
9,916
|
|
CVS Pass-Through Trust
|
|
|
|
6.94%, 1/10/2030
|
448
|
462
|
|
5.93%, 1/10/2034 (b)
|
3,241
|
3,289
|
|
Series 2014, 4.16%, 8/11/2036 (b)
|
889
|
834
|
|
CWABS, Inc. Asset-Backed Certificates
|
|
|
|
Series 2004-1, Class M1, 4.45%, 3/25/2034 (f)
|
25
|
27
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2004-1, Class 3A, 4.26%, 4/25/2034 (f)
|
220
|
210
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.60%, 10/25/2034 (f)
|
11
|
11
|
|
D2 Multifamily Credit Issuer Ltd. (Cayman Islands) Series 2026-FL1, Class A, 5.11%,
11/19/2043 (b) (f)
|
48,910
|
48,953
|
|
DailyPay Securitization Trust Series 2025-1A, Class A, 5.63%, 6/26/2028 (b)
|
21,000
|
21,038
|
|
Dec
|
|
|
|
6.02%, 3/13/2030 ‡ (b)
|
38,600
|
38,600
|
|
6.91%, 1/15/2031 ‡ (b)
|
22,600
|
22,600
|
|
Delta Air Lines Pass-Through Trust Series 2020-1, Class AA, 2.00%, 6/10/2028
|
4,358
|
4,220
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b)
|
40,165
|
40,068
|
|
Diversified ABS LLC
|
|
|
|
Series 2025-1A, Class A1, 5.95%, 2/28/2045 (b)
|
20,302
|
20,261
|
|
Series 2025-1A, Class A2, 6.75%, 2/28/2045 (b)
|
58,000
|
57,751
|
|
Diversified ABS Phase LLC
|
|
|
|
Series 2024-1A, Class A1, 7.08%, 5/30/2044 (b)
|
16,128
|
16,230
|
|
Series 2024-1A, Class A2, 7.67%, 5/30/2044 (b)
|
18,284
|
18,396
|
|
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043
|
15,399
|
15,730
|
|
Drive Auto Receivables Trust Series 2025-1, Class D, 5.41%, 9/15/2032
|
9,190
|
9,252
|
|
DT Auto Owner Trust
|
|
|
|
Series 2022-3A, Class D, 8.14%, 7/17/2028 (b)
|
33,932
|
34,501
|
|
Series 2023-1A, Class D, 6.44%, 11/15/2028 (b)
|
15,263
|
15,412
|
|
Series 2023-2A, Class D, 6.62%, 2/15/2029 (b)
|
9,358
|
9,505
|
|
Series 2023-3A, Class C, 6.40%, 5/15/2029 (b)
|
6,856
|
6,900
|
|
Series 2022-2A, Class E, 6.45%, 5/15/2029 (b)
|
5,955
|
5,976
|
|
Series 2023-3A, Class D, 7.12%, 5/15/2029 (b)
|
13,224
|
13,533
|
|
Series 2023-1A, Class E, 10.39%, 1/15/2030 (b)
|
27,300
|
28,186
|
|
EJ 6.37%, 10/10/2041 ‡
|
14,956
|
14,956
|
|
EJ Hugoton 5.39%, 10/10/2041 ‡
|
45,000
|
45,000
|
|
Elara Hgv Timeshare Issuer LLC Series 2025-A, Class A, 4.54%, 1/25/2040 (b)
|
5,642
|
5,591
|
|
Energy Assets 8.11%, 8/25/2044 ‡
|
18,977
|
19,083
|
|
EQV ABS Issuer LLC 6.90%, 12/15/2040 ‡
|
23,967
|
23,709
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2023-2A, Class C, 5.75%, 7/17/2028
|
3,751
|
3,756
|
|
Series 2022-3A, Class D, 6.76%, 9/15/2028
|
22,510
|
22,696
|
|
Series 2023-5A, Class C, 6.85%, 1/16/2029
|
15,413
|
15,552
|
|
Series 2022-5A, Class D, 7.40%, 2/15/2029
|
8,162
|
8,266
|
|
Series 2022-6A, Class D, 8.03%, 4/6/2029
|
13,548
|
13,756
|
|
Series 2023-3A, Class D, 6.68%, 4/16/2029
|
7,000
|
7,106
|
|
Series 2023-1A, Class D, 6.69%, 6/15/2029
|
5,984
|
6,044
|
|
Series 2023-4A, Class D, 6.95%, 12/17/2029
|
14,269
|
14,537
|
|
Series 2025-3A, Class D, 5.57%, 10/15/2031
|
25,900
|
26,123
|
|
Series 2025-4A, Class D, 5.23%, 1/15/2032
|
48,000
|
47,994
|
|
FHF Issuer Trust
|
|
|
|
Series 2023-2A, Class A2, 6.79%, 10/15/2029 (b)
|
2,503
|
2,521
|
|
Series 2024-1A, Class A2, 5.69%, 2/15/2030 (b)
|
7,980
|
8,024
|
|
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b)
|
1,233
|
1,236
|
|
FirstKey Homes Trust
|
|
|
|
Series 2022-SFR3, Class D, 3.50%, 7/17/2038 (b)
|
7,187
|
7,160
|
|
Series 2022-SFR3, Class E1, 3.50%, 7/17/2038 (b)
|
7,000
|
6,973
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b)
|
14,400
|
14,301
|
|
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b)
|
15,500
|
15,392
|
|
Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (b)
|
36,486
|
36,100
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f)
|
43,050
|
41,442
|
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f)
|
61,030
|
58,756
|
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (b) (f)
|
108,325
|
107,344
|
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b)
|
86,250
|
86,300
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2028 (b) (f)
|
56,650
|
55,890
|
|
Fortiva Retail Credit Master Note Business Trust Series 2025-TWO, Class A, 5.92%,
5/15/2031 (b)
|
49,535
|
49,536
|
|
Foundation Finance Trust Series 2023-2A, Class A, 6.53%, 6/15/2049 (b)
|
20,526
|
21,154
|
|
FW Energy Asset Issuer LLC 7.15%, 8/25/2044 ‡
|
62,644
|
63,339
|
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f)
|
24
|
22
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-2A, Class D, 6.15%, 4/17/2028 (b)
|
7,787
|
7,825
|
|
Series 2023-3A, Class D, 6.44%, 5/15/2029 (b)
|
9,293
|
9,459
|
|
Series 2023-4A, Class C, 6.65%, 8/15/2029 (b)
|
15,895
|
16,009
|
|
Series 2025-2A, Class D, 5.59%, 1/15/2031 (b)
|
21,900
|
22,132
|
|
Series 2025-3A, Class C, 4.69%, 5/15/2031 (b)
|
5,205
|
5,187
|
|
GLS Auto Select Receivables Trust Series 2023-1A, Class A3, 5.96%, 10/16/2028 (b)
|
5,664
|
5,691
|
|
Goodgreen
|
|
|
|
Series 2019-2A, Class A, 2.76%, 4/15/2055 (b)
|
14,756
|
12,701
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 (b)
|
39,719
|
39,299
|
|
Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (b)
|
57,178
|
57,169
|
|
Goodgreen Trust
|
|
|
|
Series 2016-1A, Class A, 3.23%, 10/15/2052 (b)
|
6,112
|
5,558
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)
|
1,758
|
1,629
|
|
Series 2017-2A, Class A, 3.26%, 10/15/2053 (b)
|
8,252
|
7,421
|
|
GoodLeap Home Improvement Solutions Trust
|
|
|
|
Series 2024-1A, Class A, 5.35%, 10/20/2046 (b)
|
4,973
|
4,983
|
|
Series 2025-3A, Class A, 5.00%, 10/20/2049 (b)
|
44,346
|
43,884
|
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class D, 7.00%, 8/22/2033 (b)
|
8,650
|
8,720
|
|
Grene Series 2026-1A, 0.00%, 1/17/2061 ‡
|
17,599
|
17,095
|
|
Grene Energy (Denmark) 12.50%, 9/15/2026 ‡ (b)
|
5,161
|
4,816
|
|
Grene Energy Senio 0.00%, 1/25/2027 ‡
|
2,810
|
2,276
|
|
GS Mortgage-Backed Securities Trust Series 2025-CES2, Class A1, 5.18%, 9/25/2055 (b) (e)
|
12,808
|
12,771
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b)
|
5,504
|
5,138
|
|
Series 2018-1A, Class A2, 4.67%, 9/20/2048 (b)
|
6,878
|
6,630
|
|
HERO Funding II (Cayman Islands) 3.75%, 9/21/2044 ‡
|
2,511
|
2,131
|
|
HERO Funding Trust
|
|
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b)
|
1,898
|
1,772
|
|
Series 2016-4A, Class A1, 3.57%, 9/20/2047 (b)
|
601
|
564
|
|
Series 2016-4A, Class A2, 4.29%, 9/20/2047 (b)
|
1,253
|
1,200
|
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b)
|
4,682
|
4,437
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2020-AA, Class A, 2.74%, 2/25/2039 (b)
|
2,225
|
2,198
|
|
Series 2024-3A, Class C, 5.71%, 8/27/2040 (b)
|
4,527
|
4,533
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
HINNT LLC Series 2022-A, Class C, 5.58%, 5/15/2041 (b)
|
3,998
|
4,003
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class E1, 2.85%, 12/17/2026 (b)
|
52,008
|
51,287
|
|
Series 2021-2, Class E2, 2.95%, 12/17/2026 (b)
|
9,354
|
9,222
|
|
Series 2021-3, Class D, 3.00%, 1/17/2041 (b)
|
40,374
|
37,759
|
|
Hornbeck Offshore 8.90%, 1/1/2044 ‡ (b)
|
45,640
|
46,667
|
|
Huntington Bank Auto Credit-Linked Notes Series 2024-2, Class B1, 5.44%, 10/20/2032 (b)
|
9,026
|
9,090
|
|
Identity Digital Capital LLC 6.79%, 3/20/2065 ‡
|
99,500
|
99,102
|
|
Invitation Homes Trust Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (b)
|
22,630
|
21,672
|
|
Jonah 0.00%, 12/10/2037 ‡ (b)
|
29,084
|
29,113
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2022-1, Class A1, 7.20%, 12/10/2037 (b)
|
15,330
|
15,531
|
|
Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (b)
|
39,243
|
39,302
|
|
Series 2025-1A, Class A1, 6.59%, 12/10/2040 (b)
|
44,122
|
44,114
|
|
Series 2025-2A, Class A1, 5.91%, 1/10/2041 ‡ (b)
|
18,073
|
18,050
|
|
KGS-Alpha SBA COOF Trust
|
|
|
|
Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (b) (f)
|
8
|
—
(h)
|
|
Series 2014-1, Class A, IO, 1.53%, 10/25/2032 (b) (f)
|
2,749
|
61
|
|
Series 2012-4, Class A, IO, 0.89%, 9/25/2037 ‡ (b) (f)
|
5,598
|
96
|
|
Series 2012-2, Class A, IO, 0.90%, 8/25/2038 (b) (f)
|
3,835
|
60
|
|
Series 2013-2, Class A, IO, 1.77%, 3/25/2039 (b) (f)
|
2,957
|
72
|
|
Series 2012-6, Class A, IO, 0.51%, 5/25/2039 ‡ (b) (f)
|
3,508
|
35
|
|
Series 2014-2, Class A, IO, 2.81%, 4/25/2040 (b) (f)
|
552
|
38
|
|
Series 2015-2, Class A, IO, 2.75%, 7/25/2041 ‡ (b) (f)
|
1,761
|
167
|
|
Koda Gnb ABS LLC
|
|
|
|
Series 2023-1A, Class A1, 7.48%, 4/28/2040 ‡ (b)
|
8,968
|
9,087
|
|
Series 2023-1A, Class A2, 7.85%, 4/28/2040 ‡ (b)
|
19,719
|
19,969
|
|
Lendingpoint Asset Securitization Trust Series 2022-C, Class C, 8.68%, 2/15/2030 (b)
|
1,218
|
1,217
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class B, 2.47%, 11/20/2031 (b)
|
11,204
|
10,695
|
|
Series 2021-2A, Class C, 3.09%, 4/20/2032 (b)
|
9,780
|
9,254
|
|
Liberty 7.25%, 5/14/2031 ‡
|
147,000
|
147,122
|
|
Long Beach Mortgage Loan Trust
|
|
|
|
Series 2004-1, Class M1, 4.45%, 2/25/2034 (f)
|
345
|
343
|
|
Series 2004-3, Class M1, 4.55%, 7/25/2034 (f)
|
165
|
167
|
|
LVNV Funding Frn 0.00%, 10/15/2027 ‡ (f)
|
49,749
|
50,247
|
|
Mariner Finance Issuance Trust Series 2021-BA, Class D, 3.42%, 11/20/2036 (b)
|
11,935
|
11,351
|
|
Merchants Fleet Funding LLC
|
|
|
|
Series 2023-1A, Class A, 7.21%, 5/20/2036 (b)
|
6,770
|
6,806
|
|
Series 2025-1A, Class A, 4.49%, 1/20/2039 (b)
|
32,295
|
32,320
|
|
Mercury Financial Credit Card Master Trust
|
|
|
|
Series 2025-1A, Class B, 6.16%, 12/22/2031 (b)
|
32,600
|
32,786
|
|
Series 2026-1A, Class A, 5.34%, 2/20/2032 (b)
|
106,650
|
106,555
|
|
Series 2026-1A, Class B, 6.31%, 2/20/2032 (b)
|
12,520
|
12,507
|
|
Midcon Energy Asset Issuer LLC 5.31%, 2/27/2051 ‡ (f)
|
28,617
|
28,617
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b)
|
1,661
|
1,668
|
|
MMAF Equipment Finance LLC Series 2024-A, Class A4, 5.10%, 7/13/2049 (b)
|
18,608
|
18,935
|
|
MMP Capital LLC Series 2025-A, Class A, 5.36%, 12/15/2031 (b)
|
6,231
|
6,255
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Mpire Frn Series 2026, 8.29%, 9/13/2030 ‡ (b)
|
78,932
|
79,155
|
|
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.84%, 11/25/2033 (e)
|
532
|
523
|
|
Nexgen, Inc.0.00, 11/16/2033‡ (f)
|
69,624
|
69,537
|
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
40,000
|
40,001
|
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
12,293
|
12,172
|
|
Octane Receivables Trust
|
|
|
|
Series 2022-1A, Class C, 5.21%, 8/21/2028 (b)
|
681
|
681
|
|
Series 2022-1A, Class D, 5.54%, 2/20/2029 (b)
|
4,235
|
4,250
|
|
Series 2023-3A, Class C, 6.74%, 8/20/2029 (b)
|
3,539
|
3,593
|
|
Series 2023-1A, Class C, 6.37%, 9/20/2029 (b)
|
3,400
|
3,427
|
|
Series 2023-1A, Class D, 7.76%, 3/20/2030 (b)
|
10,792
|
11,119
|
|
Oportun Issuance Trust
|
|
|
|
Series 2021-B, Class A, 1.47%, 5/8/2031 (b)
|
4,188
|
4,125
|
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (b)
|
1,667
|
1,646
|
|
Series 2025-B, Class B, 5.28%, 5/9/2033 (b)
|
10,450
|
10,459
|
|
Series 2025-C, Class B, 4.93%, 7/8/2033 (b)
|
23,150
|
23,067
|
|
Pagaya AI Technology in Housing Trust
|
|
|
|
Series 2023-1, Class A, 3.60%, 10/25/2040 (b)
|
48,444
|
46,740
|
|
Series 2023-1, Class B, 3.60%, 10/25/2040 (b)
|
22,500
|
21,439
|
|
Series 2023-1, Class C, 3.60%, 10/25/2040 (b)
|
8,000
|
7,534
|
|
Series 2023-1, Class D, 3.60%, 10/25/2040 (b)
|
22,177
|
20,733
|
|
Piper ABS Issuer LLC 6.05%, 1/15/2046 ‡
|
16,214
|
16,214
|
|
PowerPay Issuance Trust Series 2025-1A, Class A, 5.23%, 11/18/2041 (b)
|
10,879
|
10,836
|
|
Presidio Finance LLC Series 2023-1, Class A1, 7.81%, 12/25/2038 ‡ (b)
|
11,062
|
11,231
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b)
|
55,300
|
54,708
|
|
Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (b)
|
7,391
|
7,311
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b)
|
47,000
|
46,501
|
|
Series 2021-SFR11, Class D, 3.13%, 1/17/2039 (b)
|
11,560
|
10,898
|
|
Series 2021-SFR11, Class E1, 3.38%, 1/17/2039 (b)
|
23,735
|
22,489
|
|
Series 2022-SFR3, Class E1, 5.20%, 4/17/2039 (b)
|
50,390
|
50,118
|
|
Series 2022-SFR1, Class C, 3.46%, 2/17/2041 (b)
|
14,649
|
13,935
|
|
Series 2022-SFR1, Class D, 3.65%, 2/17/2041 (b)
|
21,816
|
20,894
|
|
Series 2024-SFR2, Class B, 3.40%, 4/17/2041 (b) (f)
|
14,285
|
13,564
|
|
Series 2024-SFR4, Class C, 3.33%, 7/17/2041 (b)
|
6,712
|
6,312
|
|
Series 2024-SFR5, Class C, 3.25%, 8/17/2041 (b) (f)
|
15,640
|
14,641
|
|
Series 2024-SFR5, Class D, 3.38%, 8/17/2041 (b) (f)
|
17,333
|
16,097
|
|
Purewest ABS Issuer LLC
|
|
|
|
Series 2025-1, Class A1, 5.69%, 4/5/2040 (b)
|
24,989
|
25,033
|
|
Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b)
|
94,810
|
94,440
|
|
Raisa Funding LLC 7.60%, 6/15/2038 ‡
|
7,916
|
8,029
|
|
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 6.25%, 12/27/2044 (b) (f)
|
897
|
897
|
|
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e)
|
96
|
22
|
|
Renew (Cayman Islands)
|
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)
|
2,402
|
2,211
|
|
Series 2024-1A, Class A, 6.21%, 11/20/2059 (b)
|
13,662
|
13,654
|
|
Series 2024-2A, Class A, 5.33%, 11/20/2060 (b)
|
11,653
|
11,246
|
|
Republic Finance Issuance Trust Series 2024-B, Class A, 5.42%, 11/20/2037 (b)
|
20,275
|
20,396
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
9,321
|
9,348
|
|
Series 2023-2, Class C, 5.47%, 12/16/2030
|
18,893
|
19,065
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
85,145
|
85,636
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
67,185
|
67,619
|
|
Series 2022-7, Class C, 6.69%, 3/17/2031
|
10,939
|
11,091
|
|
Series 2024-3, Class D, 5.97%, 10/15/2031
|
5,230
|
5,328
|
|
Series 2024-4, Class D, 5.32%, 12/15/2031
|
24,035
|
24,193
|
|
Series 2024-5, Class D, 5.14%, 2/17/2032
|
12,380
|
12,426
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2024-1A, Class A3, 5.52%, 1/20/2032 (b)
|
20,268
|
20,530
|
|
Series 2024-1A, Class B, 5.56%, 4/20/2032 (b)
|
6,540
|
6,650
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (b)
|
17,260
|
17,327
|
|
Series 2023-1A, Class B, 6.37%, 5/20/2032 (b)
|
24,700
|
25,108
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%,
1/25/2036 (e)
|
323
|
275
|
|
SFS Auto Receivables Securitization Trust
|
|
|
|
Series 2024-1A, Class A3, 4.95%, 5/21/2029 (b)
|
4,882
|
4,900
|
|
Series 2024-1A, Class C, 5.51%, 1/20/2032 (b)
|
615
|
625
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2022-1A, Class C, 3.94%, 10/20/2038 (b)
|
873
|
870
|
|
Series 2023-1A, Class B, 5.83%, 1/20/2040 (b)
|
3,394
|
3,426
|
|
Series 2023-1A, Class C, 7.00%, 1/20/2040 (b)
|
1,861
|
1,897
|
|
Series 2023-2A, Class B, 6.28%, 4/20/2040 (b)
|
4,283
|
4,362
|
|
Series 2025-3A, Class B, 4.64%, 8/22/2044 (b)
|
1,752
|
1,733
|
|
SRT Issuer I LLC 0.00%, 7/7/2031 ‡ (f)
|
95,000
|
94,881
|
|
SRT Issuer LLC 0.00%, 12/7/2031 ‡ (f)
|
95,000
|
95,042
|
|
Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA, Class A3, 4.47%,
7/20/2028 (b)
|
14,479
|
14,511
|
|
Stream Innovations Issuer Trust Series 2024-2A, Class A, 5.21%, 2/15/2045 (b)
|
5,182
|
5,184
|
|
Structured Asset Securities Corp. Pass-Through Certificates
|
|
|
|
Series 2002-AL1, Class A2, 3.45%, 2/25/2032
|
6
|
5
|
|
Series 2002-AL1, Class A3, 3.45%, 2/25/2032
|
97
|
12
|
|
Towd Point Mortgage Trust Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (b) (e)
|
35,092
|
34,993
|
|
Tricon Residential Trust
|
|
|
|
Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (b)
|
25,719
|
25,586
|
|
Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (b)
|
5,835
|
5,744
|
|
Series 2024-SFR4, Class D, 5.35%, 11/17/2041 (b)
|
10,000
|
9,851
|
|
Ucielo 2025-assic 8.01%, 8/9/2033 ‡
|
1,875
|
1,875
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2014-2, Class A, 3.75%, 9/3/2026
|
5,940
|
5,927
|
|
Series 2019-2, Class B, 3.50%, 5/1/2028
|
3,574
|
3,484
|
|
Series 2016-1, Class AA, 3.10%, 7/7/2028
|
1,599
|
1,554
|
|
Series 2016-1, Class A, 3.45%, 7/7/2028
|
15,166
|
14,635
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
1,045
|
1,005
|
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
8,704
|
8,434
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
5,032
|
4,815
|
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
10,286
|
10,006
|
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
9,312
|
8,994
|
|
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
5,294
|
4,831
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-1, Class AA, 5.45%, 2/15/2037
|
26,370
|
27,003
|
|
UOG ABS Issuer LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b)
|
24,977
|
25,582
|
|
UPG HI Issuer Trust
|
|
|
|
Series 2025-2, Class A, 5.00%, 9/25/2047 (b)
|
25,618
|
25,556
|
|
Series 2026-1, Class A, 5.03%, 2/25/2048 (b)
|
16,640
|
16,601
|
|
Upstart Frn Series 2025-TE, 6.80%, 3/29/2029 ‡ (b)
|
48,000
|
47,940
|
|
US Auto Funding Trust Series 2022-1A, Class C, 6.21%, 9/15/2026 ‡ (b)
|
40,434
|
—
|
|
Verdant Receivables LLC Series 2024-1A, Class A2, 5.68%, 12/12/2031 (b)
|
6,514
|
6,605
|
|
vMobo, Inc. 7.46%, 7/18/2027 ‡
|
110,554
|
105,709
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (b) (e)
|
1,712
|
1,713
|
|
VOLT CVI LLC Series 2021-NP12, Class A1, 6.73%, 12/26/2051 (b) (e)
|
7,018
|
7,026
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (b) (e)
|
379
|
379
|
|
Western Funding Auto Loan Trust
|
|
|
|
Series 2025-1, Class B, 4.98%, 9/17/2035 (b)
|
27,000
|
27,078
|
|
Series 2025-1, Class D, 5.79%, 1/15/2036 (b)
|
5,860
|
5,901
|
|
Westgate Resorts LLC
|
|
|
|
Series 2023-1A, Class A, 5.84%, 12/20/2037 (b)
|
9,246
|
9,327
|
|
Series 2024-1A, Class A, 6.06%, 1/20/2038 (b)
|
13,267
|
13,415
|
|
Series 2024-1A, Class B, 6.56%, 1/20/2038 (b)
|
6,932
|
6,991
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2022-3A, Class D, 6.68%, 4/17/2028 (b)
|
59,241
|
59,481
|
|
Series 2023-4A, Class C, 6.64%, 11/15/2028 (b)
|
12,352
|
12,467
|
|
Series 2023-2A, Class D, 7.01%, 11/15/2028 (b)
|
17,963
|
18,168
|
|
Wolf ABS LLC
|
|
|
|
Series 2022-1A, Class A1, 8.15%, 12/22/2042 ‡ (b)
|
6,314
|
6,406
|
|
Series 2022-1A, Class A2, 8.18%, 12/22/2042 ‡ (b)
|
21,500
|
22,164
|
|
Wolf Energy Asset Issuer LLC 5.70%, 7/25/2050 ‡
|
35,468
|
35,468
|
|
Total Asset-Backed Securities
(Cost $5,667,903)
|
|
5,650,455
|
|
Commercial Mortgage-Backed Securities — 4.8%
|
||
|
20 Times Square Trust
|
|
|
|
Series 2018-20TS, Class D, 3.10%, 5/15/2035 (b) (f)
|
21,000
|
19,425
|
|
Series 2018-20TS, Class E, 3.10%, 5/15/2035 (b) (f)
|
13,399
|
12,059
|
|
BAML RCAP Frn 8.00%, 10/25/2027 ‡
|
42,341
|
42,341
|
|
BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.21%, 8/15/2046 (b) (f)
|
7,700
|
5,363
|
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2024-FRR2, Class A, 2.42%, 7/27/2050 ‡ (b) (f)
|
13,078
|
12,517
|
|
Series 2024-FRR2, Class B, 2.45%, 7/27/2050 ‡ (b) (f)
|
17,745
|
16,896
|
|
Series 2025-FRR5, Class BK73, 2.02%, 2/27/2051 ‡ (b) (f)
|
20,476
|
19,144
|
|
Series 2025-FRR5, Class A736, 1.42%, 9/27/2052 ‡ (b) (f)
|
15,256
|
15,135
|
|
Series 2025-FRR5, Class B736, 1.42%, 9/27/2052 ‡ (b) (f)
|
18,347
|
18,194
|
|
Bear Stearns Commercial Mortgage Securities Trust Series 2007-T26, Class X1, IO, 0.95%,
1/12/2045 (b) (f)
|
140
|
—
|
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b)
|
5,817
|
5,733
|
|
Cascade Funding Mortgage Trust
|
|
|
|
Series 2021-FRR1, Class AK98, 0.00%, 8/29/2029 (b)
|
22,370
|
18,689
|
|
Series 2021-FRR1, Class AK58, 2.17%, 9/29/2029 (b) (f)
|
28,730
|
28,309
|
|
CD Mortgage Trust Series 2006-CD3, Class XS, IO, 0.19%, 10/15/2048 ‡ (b) (f)
|
558
|
1
|
|
Commercial Mortgage Trust Series 2018-HOME, Class A, 3.82%, 4/10/2033 (b) (f)
|
53,745
|
52,589
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 (b) (f)
|
14,842
|
4
|
|
CSMC OA LLC
|
|
|
|
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (b)
|
14,250
|
13,182
|
|
Series 2014-USA, Class B, 4.18%, 9/15/2037 (b)
|
25,890
|
22,798
|
|
Series 2014-USA, Class D, 4.37%, 9/15/2037 (b)
|
16,830
|
14,142
|
|
DBWF Mortgage Trust Series 2015-LCM, Class A2, 3.42%, 6/10/2034 (b) (f)
|
4,000
|
3,855
|
|
EJ Hugoton Series 2026-1 B, 9.10%, 1/25/2027 ‡
|
11,640
|
11,640
|
|
FHLMC MSCR Trust Series 2023-MN7, Class M1, 7.21%, 9/25/2043 (b) (f)
|
15,764
|
15,788
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K070, Class A2, 3.30%, 11/25/2027 (f)
|
17,323
|
17,109
|
|
Series K072, Class A2, 3.44%, 12/25/2027
|
14,689
|
14,518
|
|
Series K072, Class AM, 3.50%, 12/25/2027 (f)
|
19,000
|
18,772
|
|
Series W5FX, Class AFX, 3.21%, 4/25/2028 (f)
|
21,769
|
21,366
|
|
Series K081, Class A2, 3.90%, 8/25/2028 (f)
|
1,531
|
1,517
|
|
Series K082, Class AM, 3.92%, 9/25/2028 (f)
|
12,035
|
11,914
|
|
Series K087, Class A2, 3.77%, 12/25/2028
|
4,008
|
3,958
|
|
Series K088, Class A2, 3.69%, 1/25/2029
|
355
|
349
|
|
Series K115, Class XAM, IO, 1.54%, 7/25/2030 (f)
|
44,581
|
2,510
|
|
Series K118, Class XAM, IO, 1.17%, 9/25/2030 (f)
|
21,865
|
983
|
|
Series K753, Class A2, 4.40%, 10/25/2030
|
40,970
|
40,920
|
|
Series K754, Class AM, 4.94%, 11/25/2030 (f)
|
18,128
|
18,448
|
|
Series KJ45, Class A2, 4.66%, 1/25/2031
|
19,800
|
19,871
|
|
Series K142, Class A2, 2.40%, 3/25/2032
|
58,400
|
52,333
|
|
Series K145, Class A2, 2.58%, 5/25/2032
|
40,795
|
36,757
|
|
Series K146, Class A2, 2.92%, 6/25/2032
|
27,100
|
24,867
|
|
Series K146, Class AM, 2.92%, 7/25/2032
|
27,000
|
24,664
|
|
Series KJ42, Class A2, 4.12%, 11/25/2032
|
8,460
|
8,280
|
|
Series K-1515, Class A2, 1.94%, 2/25/2035
|
22,000
|
17,805
|
|
Series Q013, Class APT2, 1.21%, 5/25/2050 (f)
|
12,162
|
11,908
|
|
Series K138, Class AM, 1.89%, 1/25/2055
|
24,220
|
21,069
|
|
FNMA ACES
|
|
|
|
Series 2017-M3, Class A2, 2.48%, 12/25/2026 (f)
|
5,621
|
5,572
|
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f)
|
25,251
|
25,069
|
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f)
|
20,164
|
19,966
|
|
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (f)
|
21,296
|
21,063
|
|
Series 2017-M15, Class A2, 2.97%, 9/25/2027 (f)
|
7,869
|
7,776
|
|
Series 2018-M2, Class A2, 2.93%, 1/25/2028 (f)
|
16,766
|
16,427
|
|
Series 2018-M4, Class A2, 3.07%, 3/25/2028 (f)
|
15,513
|
15,235
|
|
Series 2018-M9, Class APT2, 3.10%, 4/25/2028 (f)
|
53,882
|
52,697
|
|
Series 2018-M8, Class A2, 3.31%, 6/25/2028 (f)
|
27,702
|
27,246
|
|
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (f)
|
41,392
|
40,715
|
|
Series 2020-M38, Class X2, IO, 1.97%, 11/25/2028 (f)
|
40,135
|
1,256
|
|
Series 2017-M5, Class A2, 3.02%, 4/25/2029 (f)
|
3,522
|
3,413
|
|
Series 2019-M7, Class A2, 3.14%, 4/25/2029
|
31,579
|
30,589
|
|
Series 2017-M11, Class A2, 2.98%, 8/25/2029
|
12,021
|
11,559
|
|
Series 2020-M5, Class A2, 2.21%, 1/25/2030
|
38,649
|
36,020
|
|
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (f)
|
10,168
|
9,767
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
9,541
|
9,267
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f)
|
157,863
|
4,440
|
|
Series 2026-M10, Class A1, 1.85%, 6/25/2031 (f)
|
30,218
|
27,895
|
|
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (f)
|
28,657
|
25,085
|
|
Series 2026-M9, Class A1, 1.57%, 10/25/2031 (f)
|
39,151
|
35,255
|
|
Series 2022-M3, Class A2, 1.71%, 11/25/2031 (f)
|
45,000
|
39,034
|
|
Series 2022-M10, Class A2, 1.93%, 1/25/2032 (f)
|
5,548
|
4,878
|
|
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 (f)
|
48,740
|
42,966
|
|
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (f)
|
60,253
|
54,402
|
|
Series 2022-M2S, Class A2, 3.76%, 8/25/2032 (f)
|
55,138
|
53,013
|
|
Series 2023-M8, Class A1, 4.48%, 11/25/2032 (f)
|
10,134
|
10,170
|
|
Series 2026-M9, Class A, 1.57%, 1/25/2033 (f)
|
39,351
|
34,804
|
|
Series 2026-M9, Class A2, 1.57%, 1/25/2033 (f)
|
168,870
|
142,296
|
|
Series 2023-M8, Class A2, 4.48%, 3/25/2033 (f)
|
71,540
|
71,353
|
|
Series 2024-M2, Class A1, 4.62%, 4/25/2033 (f)
|
8,138
|
8,204
|
|
Series 2024-M2, Class A2, 3.75%, 8/25/2033
|
112,205
|
106,426
|
|
Series 2021-M3, Class X1, IO, 1.83%, 11/25/2033 (f)
|
99,798
|
5,537
|
|
Series 2022-M5, Class A1, 2.33%, 1/1/2034 (f)
|
13,699
|
12,877
|
|
Series 2026-M10, Class X1, IO, 0.00%, 7/25/2035
|
238,065
|
36
|
|
Series 2026-M10, Class A2, 1.85%, 7/25/2035 (f)
|
172,505
|
146,087
|
|
Series 2026-M10, Class PS, 1.85%, 7/25/2035 (f)
|
35,343
|
30,801
|
|
Series 2019-M10, Class X, IO, 0.38%, 5/25/2049 (f)
|
56,699
|
1,146
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2019-KL05, Class BP, 3.96%, 6/25/2029 (b) (f)
|
5,645
|
5,294
|
|
Series 2020-KHG2, Class B, 3.07%, 2/25/2030 (b) (f)
|
13,500
|
12,192
|
|
Series 2020-KHG2, Class C, 3.07%, 2/25/2030 (b) (f)
|
32,666
|
28,106
|
|
Series 2021-KLU3, Class BFX, 4.26%, 1/25/2031 (b) (f)
|
9,363
|
8,511
|
|
Series 2018-KW07, Class B, 4.11%, 10/25/2031 (b) (f)
|
5,000
|
4,576
|
|
Series 2016-K56, Class B, 3.84%, 6/25/2049 (b) (f)
|
8,451
|
8,426
|
|
Series 2017-K67, Class B, 3.95%, 9/25/2049 (b) (f)
|
10,500
|
10,392
|
|
Series 2017-K63, Class B, 3.88%, 2/25/2050 (b) (f)
|
20,000
|
19,879
|
|
Series 2019-K102, Class B, 3.53%, 12/25/2051 (b) (f)
|
6,000
|
5,719
|
|
Series 2019-K90, Class B, 4.32%, 2/25/2052 (b) (f)
|
8,500
|
8,361
|
|
Series 2019-K93, Class B, 4.12%, 5/25/2052 (b) (f)
|
8,000
|
7,808
|
|
Series 2020-K737, Class B, 3.33%, 1/25/2053 (b) (f)
|
10,000
|
9,920
|
|
GAM Re-REMIC Trust Series 2022-FRR3, Class BK61, PO, 11/27/2049 ‡ (b)
|
16,520
|
16,001
|
|
GNMA Series 2021-211, Class AC, 1.30%, 1/16/2063
|
7,305
|
5,314
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-LD12, Class X, IO,
0.00%, 2/15/2051 (f)
|
410
|
—
|
|
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)
|
8,924
|
8,331
|
|
MRCD MARK Mortgage Trust
|
|
|
|
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
38,560
|
34,704
|
|
Series 2019-PARK, Class E, 2.72%, 12/15/2036 (b)
|
81,600
|
55,243
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2023-01, Class M7, 7.61%, 11/25/2053 (b) (f)
|
39,098
|
40,245
|
|
Series 2024-01, Class M7, 6.36%, 7/25/2054 (b) (f)
|
7,354
|
7,431
|
|
PRM7 Trust
|
|
|
|
Series 2025-PRM7, Class A, 4.36%, 11/10/2042 (b) (f)
|
26,545
|
25,891
|
|
Series 2025-PRM7, Class B, 4.65%, 11/10/2042 (b) (f)
|
6,865
|
6,660
|
|
RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (b) (e)
|
116,487
|
115,703
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
ROCK Trust
|
|
|
|
Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b)
|
33,500
|
33,972
|
|
Series 2024-CNTR, Class B, 5.93%, 11/13/2041 (b)
|
45,950
|
46,859
|
|
RWC Commercial Mortgage Trust Series 2025-1, Class A, 5.01%, 6/27/2040 (b)
|
10,743
|
10,644
|
|
SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (b)
|
19,077
|
16,606
|
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)
|
67,015
|
59,737
|
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.22%, 3/15/2045 (b) (f)
|
2,283
|
2,084
|
|
WHARF Commercial Mortgage Trust Series 2025-DC, Class A, 5.35%, 7/15/2040 (b) (f)
|
25,880
|
26,230
|
|
Total Commercial Mortgage-Backed Securities
(Cost $2,625,599)
|
|
2,548,903
|
|
Collateralized Mortgage Obligations — 4.4%
|
||
|
Acrc Series 2026-1B, 0.00%, 11/15/2026 ‡ (b)
|
22,200
|
21,534
|
|
Al, 5.59%, 10/25/2029 ‡
|
76,938
|
76,938
|
|
Alternative Loan Trust
|
|
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
1,444
|
1,468
|
|
Series 2005-1CB, Class 1A6, IF, IO, 3.40%, 3/25/2035 (f)
|
430
|
44
|
|
Series 2005-22T1, Class A2, IF, IO, 1.37%, 6/25/2035 (f)
|
3,262
|
210
|
|
Series 2005-20CB, Class 3A8, IF, IO, 1.05%, 7/25/2035 (f)
|
2,003
|
75
|
|
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035
|
774
|
656
|
|
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035
|
41
|
15
|
|
Series 2005-37T1, Class A2, IF, IO, 1.35%, 9/25/2035 (f)
|
9,704
|
567
|
|
Series 2005-54CB, Class 1A2, IF, IO, 1.15%, 11/25/2035 (f)
|
2,593
|
109
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
656
|
491
|
|
Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035
|
10
|
7
|
|
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035
|
272
|
239
|
|
American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (b) (f)
|
1
|
1
|
|
Aml-prop CAP Frn Series 2026-1B, 0.00%, 1/25/2027 ‡ (f)
|
599
|
597
|
|
Anchor Mortgage Trust, 8.23%, 3/25/2031 ‡ (f)
|
68,704
|
68,878
|
|
ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (b) (f)
|
231
|
61
|
|
Baml PIMCO Frn, 0.00%, 1/30/2027 ‡
|
8,635
|
8,635
|
|
Banc of America Alternative Loan Trust Series 2004-6, Class 15, PO, 7/25/2019
|
7
|
3
|
|
Banc of America Funding Trust
|
|
|
|
Series 2004-1, PO, 3/25/2034
|
60
|
42
|
|
Series 2004-2, Class 1CB1, 5.75%, 9/20/2034
|
52
|
51
|
|
Series 2005-6, Class 2A7, 5.50%, 10/25/2035
|
101
|
91
|
|
Series 2005-7, Class 30, PO, 11/25/2035
|
57
|
58
|
|
Series 2005-8, Class 30, PO, 1/25/2036
|
21
|
12
|
|
Series 2006-1, Class X, PO, 1/25/2036
|
27
|
17
|
|
Banc of America Mortgage Trust Series 2003-C, Class 3A1, 6.25%, 4/25/2033 (f)
|
12
|
11
|
|
Baring Frn Series 2026-1B, Class PA, 0.00%, 6/25/2027 ‡
|
4,414
|
4,414
|
|
Bear Stearns ARM Trust
|
|
|
|
Series 2003-2, Class A5, 5.75%, 1/25/2033 (b) (f)
|
305
|
304
|
|
Series 2003-7, Class 3A, 6.25%, 10/25/2033 (f)
|
10
|
11
|
|
Series 2004-2, Class 14A, 4.24%, 5/25/2034 (f)
|
159
|
149
|
|
Series 2006-1, Class A1, 5.95%, 2/25/2036 (f)
|
340
|
331
|
|
Brean Asset-Backed Securities Trust Series 2023-SRM1, Class A, 4.00%, 9/25/2063 ‡ (b)
|
9,256
|
9,176
|
|
BVRT LLC Series 2025-1, Class C, 3.64%, 5/10/2033 ‡ (b) (f)
|
13,061
|
12,572
|
|
Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-8, Class
1P, PO, 10/25/2033
|
9
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates Series 2004-1,
Class P, PO, 2/25/2034
|
18
|
13
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust Series 2024-RTL1, Class A1,
6.89%, 10/25/2029 (b) (e)
|
37,151
|
37,098
|
|
CFIN LLC Series 2024-1A, Class A, 6.50%, 11/27/2028 ‡ (b)
|
93,000
|
93,595
|
|
Chase Mortgage Finance Trust
|
|
|
|
Series 2007-A2, Class 2A1, 6.14%, 6/25/2035 (f)
|
91
|
92
|
|
Series 2007-A2, Class 1A1, 6.52%, 6/25/2035 (f)
|
3
|
3
|
|
Series 2007-A1, Class 2A1, 5.71%, 2/25/2037 (f)
|
116
|
113
|
|
Series 2007-A1, Class 9A1, 5.86%, 2/25/2037 (f)
|
74
|
74
|
|
Series 2007-A1, Class 7A1, 6.28%, 2/25/2037 (f)
|
2
|
2
|
|
Series 2007-A1, Class 1A3, 6.33%, 2/25/2037 (f)
|
30
|
30
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2002-18, PO, 11/25/2032
|
10
|
8
|
|
Series 2004-3, Class A26, 5.50%, 4/25/2034
|
81
|
80
|
|
Series 2004-3, Class A4, 5.75%, 4/25/2034
|
55
|
55
|
|
Series 2004-HYB1, Class 2A, 4.82%, 5/20/2034 (f)
|
36
|
35
|
|
Series 2004-HYB3, Class 2A, 4.24%, 6/20/2034 (f)
|
148
|
142
|
|
Series 2004-7, Class 2A1, 4.77%, 6/25/2034 (f)
|
21
|
20
|
|
Series 2004-5, Class 1A4, 5.50%, 6/25/2034
|
310
|
307
|
|
Series 2004-HYB6, Class A3, 5.23%, 11/20/2034 (f)
|
117
|
113
|
|
Series 2005-14, Class A2, 5.50%, 7/25/2035
|
72
|
26
|
|
Series 2005-16, Class A23, 5.50%, 9/25/2035
|
39
|
23
|
|
Series 2005-22, Class 2A1, 4.78%, 11/25/2035 (f)
|
528
|
437
|
|
Citicorp Mortgage Securities Trust Series 2006-4, Class 1A2, 6.00%, 8/25/2036
|
139
|
127
|
|
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)
|
87
|
82
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2009-10, Class 1A1, 5.28%, 9/25/2033 (b) (f)
|
101
|
101
|
|
Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (f)
|
26
|
25
|
|
Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f)
|
596
|
591
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2003-1, Class 3, PO, 9/25/2033
|
7
|
5
|
|
Series 2003-1, Class 2, PO, 10/25/2033
|
—
|
—
|
|
Series 2003-1, Class 2A6, PO, 10/25/2033
|
4
|
4
|
|
Series 2003-1, Class 2A5, 5.25%, 10/25/2033
|
25
|
24
|
|
Series 2005-1, Class 2A1A, 3.11%, 2/25/2035 (f)
|
108
|
96
|
|
Series 2005-2, Class 2A11, 5.50%, 5/25/2035
|
266
|
266
|
|
Series 2005-5, Class 1A2, 4.11%, 8/25/2035 (f)
|
295
|
252
|
|
Connecticut Avenue Securities Trust
|
|
|
|
Series 2023-R02, Class 1M2, 6.96%, 1/25/2043 (b) (f)
|
17,575
|
18,157
|
|
Series 2023-R06, Class 1M2, 6.31%, 7/25/2043 (b) (f)
|
9,750
|
9,994
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland)
|
|
|
|
Series 2003-1, Class DB1, 6.68%, 2/25/2033 (f)
|
251
|
257
|
|
Series 2003-AR15, Class 3A1, 6.56%, 6/25/2033 (f)
|
25
|
25
|
|
Series 2003-21, Class 1A4, 5.25%, 9/25/2033
|
118
|
118
|
|
Series 2003-23, Class 1P, PO, 10/25/2033
|
156
|
115
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2004-4, Class 2A4, 5.50%, 9/25/2034
|
120
|
119
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-8, Class 1A4, 5.50%, 12/25/2034
|
344
|
349
|
|
Series 2005-9, Class AP, PO, 10/25/2035
|
23
|
18
|
|
Series 2005-9, Class DX, IO, 5.50%, 10/25/2035
|
619
|
102
|
|
Series 2005-10, Class AP, PO, 11/25/2035
|
30
|
21
|
|
CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031 (b)
|
3,144
|
3,394
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.49%,
2/25/2020 (f)
|
18
|
18
|
|
EQV Abs Issuer I LLC, 5.85%, 12/15/2040 ‡
|
1,223
|
1,223
|
|
FARM Mortgage Trust
|
|
|
|
Series 2023-1, Class A, 2.63%, 1/25/2052 (b) (f)
|
23,783
|
20,101
|
|
Series 2024-2, Class A, 5.16%, 8/1/2054 (b) (f)
|
46,016
|
42,015
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-4, Class HT, 3.25%, 6/25/2057 (e)
|
12,164
|
11,086
|
|
Series 2017-4, Class M60C, 3.50%, 6/25/2057
|
7,428
|
6,904
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
23,503
|
21,385
|
|
Series 2018-4, Class MA, 3.50%, 3/25/2058
|
22,087
|
21,203
|
|
Series 2018-4, Class MZ, 3.50%, 3/25/2058
|
15,642
|
12,248
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
32,018
|
28,744
|
|
Series 2019-1, Class M55D, 4.00%, 7/25/2058
|
16,721
|
15,800
|
|
Series 2019-2, Class MA, 3.50%, 8/26/2058
|
11,238
|
10,716
|
|
Series 2019-3, Class MB, 3.50%, 10/25/2058
|
26,490
|
22,093
|
|
Series 2019-4, Class MA, 3.00%, 2/25/2059
|
28,471
|
26,692
|
|
Series 2020-1, Class M55G, 3.00%, 8/25/2059
|
26,431
|
23,719
|
|
Series 2020-2, Class MB, 2.00%, 11/25/2059
|
20,429
|
14,214
|
|
Series 2020-3, Class MT, 2.00%, 5/25/2060
|
39,839
|
31,903
|
|
Series 2020-3, Class MTU, 2.50%, 5/25/2060
|
36,313
|
30,066
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
80,106
|
69,252
|
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
51,467
|
43,096
|
|
Series 2024-2, Class MT, 3.50%, 5/25/2064
|
79,344
|
69,507
|
|
FHLMC, Reference REMIC
|
|
|
|
Series R006, Class ZA, 6.00%, 4/15/2036
|
744
|
770
|
|
Series R007, Class ZA, 6.00%, 5/15/2036
|
983
|
1,020
|
|
FHLMC, REMIC
|
|
|
|
Series 1890, Class H, 7.50%, 9/15/2026
|
—
|
—
|
|
Series 1899, Class ZE, 8.00%, 9/15/2026
|
—
|
—
|
|
Series 1927, Class PH, 7.50%, 1/15/2027
|
3
|
3
|
|
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
|
4
|
4
|
|
Series 2019, Class Z, 6.50%, 12/15/2027
|
5
|
5
|
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
6
|
—
|
|
Series 2040, Class PE, 7.50%, 3/15/2028
|
14
|
14
|
|
Series 2054, Class PV, 7.50%, 5/15/2028
|
4
|
4
|
|
Series 2063, Class PG, 6.50%, 6/15/2028
|
9
|
9
|
|
Series 2064, Class TE, 7.00%, 6/15/2028
|
1
|
1
|
|
Series 2070, Class C, 6.00%, 7/15/2028
|
11
|
11
|
|
Series 2075, Class PM, 6.25%, 8/15/2028
|
28
|
28
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2075, Class PH, 6.50%, 8/15/2028
|
26
|
26
|
|
Series 2086, Class GB, 6.00%, 9/15/2028
|
4
|
4
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
11
|
—
|
|
Series 2095, Class PE, 6.00%, 11/15/2028
|
23
|
23
|
|
Series 2106, Class ZD, 6.00%, 12/15/2028
|
61
|
62
|
|
Series 2388, Class FB, 4.36%, 1/15/2029 (f)
|
12
|
12
|
|
Series 2110, Class PG, 6.00%, 1/15/2029
|
61
|
62
|
|
Series 2125, Class JZ, 6.00%, 2/15/2029
|
19
|
19
|
|
Series 2126, Class CB, 6.25%, 2/15/2029
|
24
|
24
|
|
Series 2132, Class SB, IF, 14.24%, 3/15/2029 (f)
|
2
|
2
|
|
Series 2141, IO, 7.00%, 4/15/2029
|
1
|
—
|
|
Series 2169, Class TB, 7.00%, 6/15/2029
|
55
|
56
|
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
3
|
—
|
|
Series 2172, Class QC, 7.00%, 7/15/2029
|
42
|
43
|
|
Series 2176, Class OJ, 7.00%, 8/15/2029
|
24
|
24
|
|
Series 2196, Class TL, 7.50%, 11/15/2029
|
—
|
—
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
6
|
6
|
|
Series 2204, Class GB, 8.00%, 12/20/2029 (f)
|
1
|
—
|
|
Series 2208, Class PG, 7.00%, 1/15/2030
|
49
|
50
|
|
Series 2209, Class TC, 8.00%, 1/15/2030
|
9
|
10
|
|
Series 2210, Class Z, 8.00%, 1/15/2030
|
43
|
44
|
|
Series 2224, Class CB, 8.00%, 3/15/2030
|
10
|
11
|
|
Series 3654, Class DC, 5.00%, 4/15/2030
|
1,666
|
1,679
|
|
Series 2230, Class Z, 8.00%, 4/15/2030
|
11
|
12
|
|
Series 2234, Class PZ, 7.50%, 5/15/2030
|
12
|
13
|
|
Series 2247, Class Z, 7.50%, 8/15/2030
|
15
|
15
|
|
Series 2256, Class MC, 7.25%, 9/15/2030
|
17
|
17
|
|
Series 2259, Class ZM, 7.00%, 10/15/2030
|
43
|
44
|
|
Series 2262, Class Z, 7.50%, 10/15/2030
|
3
|
3
|
|
Series 2271, Class PC, 7.25%, 12/15/2030
|
42
|
43
|
|
Series 2296, Class PD, 7.00%, 3/15/2031
|
26
|
27
|
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
4
|
4
|
|
Series 2325, Class PM, 7.00%, 6/15/2031
|
15
|
15
|
|
Series 2359, Class ZB, 8.50%, 6/15/2031
|
44
|
47
|
|
Series 2332, Class ZH, 7.00%, 7/15/2031
|
48
|
50
|
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
259
|
267
|
|
Series 2344, Class ZJ, 6.50%, 8/15/2031
|
40
|
41
|
|
Series 2345, Class NE, 6.50%, 8/15/2031
|
35
|
36
|
|
Series 2351, Class PZ, 6.50%, 8/15/2031
|
26
|
27
|
|
Series 2367, Class ME, 6.50%, 10/15/2031
|
36
|
38
|
|
Series 2399, Class OH, 6.50%, 1/15/2032
|
31
|
32
|
|
Series 2399, Class TH, 6.50%, 1/15/2032
|
47
|
49
|
|
Series 2475, Class S, IF, IO, 4.24%, 2/15/2032 (f)
|
126
|
12
|
|
Series 2418, Class FO, 4.66%, 2/15/2032 (f)
|
29
|
29
|
|
Series 2410, Class QX, IF, IO, 4.89%, 2/15/2032 (f)
|
19
|
1
|
|
Series 2410, Class NG, 6.50%, 2/15/2032
|
46
|
48
|
|
Series 2420, Class XK, 6.50%, 2/15/2032
|
53
|
55
|
|
Series 2412, Class SP, IF, 8.59%, 2/15/2032 (f)
|
72
|
77
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2410, Class QS, IF, 9.73%, 2/15/2032 (f)
|
72
|
75
|
|
Series 2444, Class ES, IF, IO, 4.19%, 3/15/2032 (f)
|
49
|
4
|
|
Series 2450, Class SW, IF, IO, 4.24%, 3/15/2032 (f)
|
32
|
3
|
|
Series 2423, Class TB, 6.50%, 3/15/2032
|
45
|
46
|
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
82
|
85
|
|
Series 2423, Class MC, 7.00%, 3/15/2032
|
47
|
48
|
|
Series 2423, Class MT, 7.00%, 3/15/2032
|
53
|
55
|
|
Series 2434, Class ZA, 6.50%, 4/15/2032
|
90
|
91
|
|
Series 2435, Class CJ, 6.50%, 4/15/2032
|
107
|
111
|
|
Series 2441, Class GF, 6.50%, 4/15/2032
|
20
|
21
|
|
Series 2434, Class TC, 7.00%, 4/15/2032
|
105
|
109
|
|
Series 2436, Class MC, 7.00%, 4/15/2032
|
14
|
14
|
|
Series 2455, Class GK, 6.50%, 5/15/2032
|
59
|
62
|
|
Series 2450, Class GZ, 7.00%, 5/15/2032
|
67
|
70
|
|
Series 2458, Class ZM, 6.50%, 6/15/2032
|
25
|
26
|
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
22
|
23
|
|
Series 2466, Class PH, 6.50%, 6/15/2032
|
83
|
87
|
|
Series 2474, Class NR, 6.50%, 7/15/2032
|
77
|
79
|
|
Series 2484, Class LZ, 6.50%, 7/15/2032
|
90
|
94
|
|
Series 3393, Class JO, PO, 9/15/2032
|
217
|
198
|
|
Series 2500, Class MC, 6.00%, 9/15/2032
|
63
|
65
|
|
Series 2835, Class QO, PO, 12/15/2032
|
11
|
10
|
|
Series 2571, Class FY, 4.51%, 12/15/2032 (f)
|
86
|
87
|
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
188
|
193
|
|
Series 2544, Class HC, 6.00%, 12/15/2032
|
54
|
56
|
|
Series 2571, Class SY, IF, 9.58%, 12/15/2032 (f)
|
51
|
55
|
|
Series 2552, Class ME, 6.00%, 1/15/2033
|
122
|
125
|
|
Series 2567, Class QD, 6.00%, 2/15/2033
|
122
|
125
|
|
Series 2575, Class ME, 6.00%, 2/15/2033
|
501
|
515
|
|
Series 2596, Class QG, 6.00%, 3/15/2033
|
67
|
69
|
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
41
|
5
|
|
Series 2631, Class SA, IF, 7.96%, 6/15/2033 (f)
|
140
|
143
|
|
Series 2642, Class SL, IF, 4.92%, 7/15/2033 (f)
|
4
|
3
|
|
Series 2653, Class PZ, 5.00%, 7/15/2033
|
543
|
549
|
|
Series 2692, Class SC, IF, 5.77%, 7/15/2033 (f)
|
70
|
73
|
|
Series 4238, Class WY, 3.00%, 8/15/2033
|
1,217
|
1,168
|
|
Series 2671, Class S, IF, 7.87%, 9/15/2033 (f)
|
43
|
46
|
|
Series 2733, Class SB, IF, 4.63%, 10/15/2033 (f)
|
1,061
|
1,039
|
|
Series 2780, Class SY, IF, 8.23%, 11/15/2033 (f)
|
27
|
30
|
|
Series 2722, Class PF, 4.36%, 12/15/2033 (f)
|
361
|
361
|
|
Series 3920, Class LP, 5.00%, 1/15/2034
|
578
|
585
|
|
Series 2744, Class PE, 5.50%, 2/15/2034
|
1
|
1
|
|
Series 2802, Class OH, 6.00%, 5/15/2034
|
79
|
81
|
|
Series 3611, PO, 7/15/2034
|
248
|
220
|
|
Series 3305, Class MG, IF, 5.98%, 7/15/2034 (f)
|
98
|
100
|
|
Series 2990, Class GO, PO, 2/15/2035
|
83
|
72
|
|
Series 2929, Class MS, IF, 11.63%, 2/15/2035 (f)
|
99
|
104
|
|
Series 2968, Class EH, 6.00%, 4/15/2035
|
1,911
|
1,954
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2981, Class FA, 4.16%, 5/15/2035 (f)
|
103
|
103
|
|
Series 2988, Class AF, 4.06%, 6/15/2035 (f)
|
181
|
179
|
|
Series 2990, Class WP, IF, 7.33%, 6/15/2035 (f)
|
1
|
1
|
|
Series 3014, Class OD, PO, 8/15/2035
|
19
|
17
|
|
Series 3085, Class WF, 4.56%, 8/15/2035 (f)
|
126
|
127
|
|
Series 3029, Class SO, PO, 9/15/2035
|
60
|
56
|
|
Series 3064, Class SG, IF, 7.48%, 11/15/2035 (f)
|
80
|
82
|
|
Series 3101, Class UZ, 6.00%, 1/15/2036
|
282
|
296
|
|
Series 3102, Class HS, IF, 10.79%, 1/15/2036 (f)
|
7
|
8
|
|
Series 3117, Class AO, PO, 2/15/2036
|
82
|
75
|
|
Series 3117, Class EO, PO, 2/15/2036
|
63
|
56
|
|
Series 3117, Class OG, PO, 2/15/2036
|
26
|
23
|
|
Series 3117, Class OK, PO, 2/15/2036
|
59
|
52
|
|
Series 3122, Class OH, PO, 3/15/2036
|
51
|
44
|
|
Series 3122, Class OP, PO, 3/15/2036
|
47
|
43
|
|
Series 3134, PO, 3/15/2036
|
17
|
14
|
|
Series 3122, Class ZB, 6.00%, 3/15/2036
|
32
|
33
|
|
Series 3138, PO, 4/15/2036
|
96
|
84
|
|
Series 3147, PO, 4/15/2036
|
96
|
88
|
|
Series 3607, Class AO, PO, 4/15/2036
|
165
|
142
|
|
Series 3607, Class BO, PO, 4/15/2036
|
303
|
265
|
|
Series 3137, Class XP, 6.00%, 4/15/2036
|
224
|
232
|
|
Series 3219, Class DI, IO, 6.00%, 4/15/2036
|
159
|
27
|
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
1,615
|
1,676
|
|
Series 3149, Class SO, PO, 5/15/2036
|
52
|
42
|
|
Series 3151, PO, 5/15/2036
|
106
|
90
|
|
Series 3153, Class EO, PO, 5/15/2036
|
121
|
105
|
|
Series 3233, Class OP, PO, 5/15/2036
|
23
|
19
|
|
Series 3171, Class MO, PO, 6/15/2036
|
126
|
114
|
|
Series 3164, Class MG, 6.00%, 6/15/2036
|
42
|
44
|
|
Series 3523, Class SD, IF, 9.33%, 6/15/2036 (f)
|
67
|
69
|
|
Series 3179, Class OA, PO, 7/15/2036
|
54
|
47
|
|
Series 3194, Class SA, IF, IO, 3.34%, 7/15/2036 (f)
|
35
|
3
|
|
Series 3181, Class AZ, 6.50%, 7/15/2036
|
180
|
188
|
|
Series 3195, Class PD, 6.50%, 7/15/2036
|
87
|
90
|
|
Series 3200, PO, 8/15/2036
|
99
|
85
|
|
Series 3202, Class HI, IF, IO, 2.89%, 8/15/2036 (f)
|
1,198
|
97
|
|
Series 3200, Class AY, 5.50%, 8/15/2036
|
409
|
418
|
|
Series 3645, Class KZ, 5.50%, 8/15/2036
|
146
|
149
|
|
Series 3213, Class OA, PO, 9/15/2036
|
53
|
47
|
|
Series 3218, Class AO, PO, 9/15/2036
|
45
|
37
|
|
Series 3225, Class EO, PO, 10/15/2036
|
104
|
87
|
|
Series 3232, Class ST, IF, IO, 2.94%, 10/15/2036 (f)
|
205
|
13
|
|
Series 3704, Class DT, 7.50%, 11/15/2036
|
1,286
|
1,365
|
|
Series 3256, PO, 12/15/2036
|
58
|
49
|
|
Series 3704, Class CT, 7.00%, 12/15/2036
|
2,853
|
3,012
|
|
Series 3704, Class ET, 7.50%, 12/15/2036
|
1,096
|
1,186
|
|
Series 3261, Class OA, PO, 1/15/2037
|
59
|
50
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3260, Class CS, IF, IO, 2.38%, 1/15/2037 (f)
|
104
|
8
|
|
Series 3274, Class JO, PO, 2/15/2037
|
20
|
17
|
|
Series 3510, Class OD, PO, 2/15/2037
|
125
|
110
|
|
Series 3275, Class FL, 4.20%, 2/15/2037 (f)
|
90
|
89
|
|
Series 3274, Class B, 6.00%, 2/15/2037
|
161
|
167
|
|
Series 3286, PO, 3/15/2037
|
6
|
5
|
|
Series 3290, Class SB, IF, IO, 2.69%, 3/15/2037 (f)
|
200
|
14
|
|
Series 3443, Class SY, IF, 9.00%, 3/15/2037 (f)
|
52
|
56
|
|
Series 3373, Class TO, PO, 4/15/2037
|
63
|
55
|
|
Series 3302, Class UT, 6.00%, 4/15/2037
|
152
|
158
|
|
Series 3316, PO, 5/15/2037
|
104
|
88
|
|
Series 3318, Class AO, PO, 5/15/2037
|
2
|
2
|
|
Series 3607, PO, 5/15/2037
|
596
|
495
|
|
Series 3315, Class HZ, 6.00%, 5/15/2037
|
127
|
133
|
|
Series 3326, Class JO, PO, 6/15/2037
|
12
|
11
|
|
Series 3331, PO, 6/15/2037
|
62
|
54
|
|
Series 3607, Class OP, PO, 7/15/2037
|
575
|
493
|
|
Series 4032, Class TO, PO, 7/15/2037
|
808
|
685
|
|
Series 3344, Class SL, IF, IO, 2.84%, 7/15/2037 (f)
|
96
|
7
|
|
Series 4048, Class FJ, 4.17%, 7/15/2037 (f)
|
1,209
|
1,194
|
|
Series 3365, PO, 9/15/2037
|
87
|
74
|
|
Series 3371, Class FA, 4.36%, 9/15/2037 (f)
|
44
|
44
|
|
Series 3387, Class SA, IF, IO, 2.66%, 11/15/2037 (f)
|
821
|
55
|
|
Series 3383, Class SA, IF, IO, 2.69%, 11/15/2037 (f)
|
416
|
28
|
|
Series 3404, Class SC, IF, IO, 2.24%, 1/15/2038 (f)
|
844
|
68
|
|
Series 3422, Class SE, IF, 8.06%, 2/15/2038 (f)
|
42
|
44
|
|
Series 3423, Class PB, 5.50%, 3/15/2038
|
719
|
736
|
|
Series 3424, Class PI, IF, IO, 3.04%, 4/15/2038 (f)
|
427
|
39
|
|
Series 3453, Class B, 5.50%, 5/15/2038
|
69
|
70
|
|
Series 3455, Class SE, IF, IO, 2.44%, 6/15/2038 (f)
|
423
|
39
|
|
Series 3461, Class LZ, 6.00%, 6/15/2038
|
49
|
51
|
|
Series 3461, Class Z, 6.00%, 6/15/2038
|
879
|
908
|
|
Series 3481, Class SJ, IF, IO, 2.09%, 8/15/2038 (f)
|
515
|
41
|
|
Series 3895, Class WA, 5.60%, 10/15/2038 (f)
|
188
|
192
|
|
Series 3501, Class CB, 5.50%, 1/15/2039
|
423
|
433
|
|
Series 3511, Class SA, IF, IO, 2.24%, 2/15/2039 (f)
|
228
|
15
|
|
Series 3546, Class A, 5.87%, 2/15/2039 (f)
|
172
|
174
|
|
Series 3531, Class SM, IF, IO, 2.34%, 5/15/2039 (f)
|
40
|
2
|
|
Series 3531, Class SA, IF, IO, 2.54%, 5/15/2039 (f)
|
335
|
26
|
|
Series 3549, Class FA, 4.96%, 7/15/2039 (f)
|
39
|
40
|
|
Series 3607, Class TO, PO, 10/15/2039
|
287
|
242
|
|
Series 3608, Class SC, IF, IO, 2.49%, 12/15/2039 (f)
|
193
|
9
|
|
Series 3621, Class BO, PO, 1/15/2040
|
278
|
242
|
|
Series 3802, Class LS, IF, IO, 2.05%, 1/15/2040 (f)
|
1,213
|
114
|
|
Series 3632, Class BS, IF, 4.98%, 2/15/2040 (f)
|
668
|
640
|
|
Series 3740, Class SB, IF, IO, 2.24%, 10/15/2040 (f)
|
655
|
51
|
|
Series 3740, Class SC, IF, IO, 2.24%, 10/15/2040 (f)
|
614
|
57
|
|
Series 3779, Class GZ, 4.50%, 12/15/2040
|
5,024
|
4,951
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3779, Class Z, 4.50%, 12/15/2040
|
14,207
|
13,973
|
|
Series 3860, Class PZ, 5.00%, 5/15/2041
|
7,994
|
8,039
|
|
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f)
|
440
|
417
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f)
|
1,249
|
1,215
|
|
Series 4048, Class FB, 4.16%, 10/15/2041 (f)
|
948
|
944
|
|
Series 3957, Class B, 4.00%, 11/15/2041
|
786
|
761
|
|
Series 3966, Class NA, 4.00%, 12/15/2041
|
733
|
712
|
|
Series 4012, Class FN, 4.26%, 3/15/2042 (f)
|
2,210
|
2,190
|
|
Series 4077, Class FB, 4.26%, 7/15/2042 (f)
|
1,052
|
1,039
|
|
Series 4217, Class KY, 3.00%, 6/15/2043
|
1,794
|
1,589
|
|
Series 4257, Class DZ, 2.50%, 10/15/2043
|
6,705
|
5,903
|
|
Series 3688, Class GT, 7.45%, 11/15/2046 (f)
|
1,330
|
1,405
|
|
Series 4809, Class ZM, 4.00%, 7/15/2048
|
18,108
|
16,974
|
|
Series 4837, Class ZB, 4.00%, 10/15/2048
|
6,145
|
5,749
|
|
Series 5008, Class LB, 1.50%, 8/25/2050
|
18,159
|
14,584
|
|
Series 5190, Class PH, 2.50%, 2/25/2052
|
16,410
|
15,077
|
|
Series 5354, PO, 10/25/2053
|
4,537
|
3,116
|
|
FHLMC, STRIPS
|
|
|
|
Series 197, PO, 4/1/2028
|
37
|
36
|
|
Series 233, Class 11, IO, 5.00%, 9/15/2035
|
295
|
45
|
|
Series 233, Class 12, IO, 5.00%, 9/15/2035
|
247
|
33
|
|
Series 233, Class 13, IO, 5.00%, 9/15/2035
|
453
|
63
|
|
Series 239, Class S30, IF, IO, 3.94%, 8/15/2036 (f)
|
928
|
104
|
|
Series 262, Class 35, 3.50%, 7/15/2042
|
10,292
|
9,585
|
|
Series 264, Class F1, 4.31%, 7/15/2042 (f)
|
3,951
|
3,910
|
|
Series 270, Class F1, 4.26%, 8/15/2042 (f)
|
1,410
|
1,392
|
|
Series 299, Class 300, 3.00%, 1/15/2043
|
697
|
635
|
|
Series 310, PO, 9/15/2043
|
2,461
|
1,897
|
|
Series 406, PO, 10/25/2053
|
35,224
|
30,048
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-41, Class 3A, 4.44%, 7/25/2032 (f)
|
244
|
223
|
|
Series T-48, Class 1A, 4.26%, 7/25/2033 (f)
|
670
|
642
|
|
Series T-76, Class 2A, 2.11%, 10/25/2037 (f)
|
4,532
|
4,136
|
|
Series T-42, Class A5, 7.50%, 2/25/2042
|
967
|
1,026
|
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (f)
|
222
|
219
|
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
1,286
|
1,347
|
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
416
|
425
|
|
Series T-56, Class A5, 5.23%, 5/25/2043
|
2,612
|
2,454
|
|
Series T-57, Class 1AP, PO, 7/25/2043
|
82
|
50
|
|
Series T-57, Class 1A3, 7.50%, 7/25/2043
|
232
|
247
|
|
Series T-58, Class A, PO, 9/25/2043
|
77
|
63
|
|
Series T-58, Class 4A, 7.50%, 9/25/2043
|
1,156
|
1,188
|
|
Series T-59, Class 1AP, PO, 10/25/2043
|
96
|
48
|
|
Series T-59, Class 1A2, 7.00%, 10/25/2043
|
1,175
|
1,212
|
|
Series T-62, Class 1A1, 4.97%, 10/25/2044 (f)
|
1,210
|
1,122
|
|
First Horizon Alternative Mortgage Securities Trust
|
|
|
|
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035
|
397
|
165
|
|
Series 2007-FA4, Class 1A2, IF, IO, 1.95%, 8/25/2037 (f)
|
4,433
|
295
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FNMA REMIC Trust
|
|
|
|
Series 2006-72, Class GO, PO, 8/25/2036
|
134
|
119
|
|
Series 2007-42, Class AO, PO, 5/25/2037
|
6
|
5
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033
|
685
|
711
|
|
Series 2003-W8, Class 3F1, 4.13%, 5/25/2042 (f)
|
89
|
89
|
|
Series 2003-W2, Class 2A9, 5.90%, 7/25/2042
|
197
|
197
|
|
Series 2003-W2, Class 1A1, 6.50%, 7/25/2042
|
326
|
337
|
|
Series 2003-W6, Class 2A4, 5.20%, 9/25/2042
|
1,094
|
1,082
|
|
Series 2003-W6, Class 3A, 6.50%, 9/25/2042
|
394
|
402
|
|
Series 2003-W8, Class 2A, 7.00%, 10/25/2042
|
423
|
432
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
80
|
82
|
|
Series 2004-W8, Class 3A, 7.50%, 6/25/2044
|
62
|
63
|
|
Series 2004-W15, Class 2AF, 3.98%, 8/25/2044 (f)
|
279
|
277
|
|
Series 2005-W3, Class 2AF, 3.95%, 3/25/2045 (f)
|
2,231
|
2,213
|
|
Series 2005-W4, Class 1A1, 6.00%, 8/25/2045
|
101
|
102
|
|
Series 2006-W2, Class 2A, 5.47%, 11/25/2045 (f)
|
290
|
298
|
|
Series 2006-W2, Class 1AF1, 3.95%, 2/25/2046 (f)
|
974
|
964
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
85,682
|
84,523
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 1999-T2, Class A1, 7.50%, 1/19/2039 (f)
|
203
|
208
|
|
Series 2001-T3, Class A1, 7.50%, 11/25/2040
|
324
|
324
|
|
Series 2002-T4, Class A1, 6.50%, 12/25/2041
|
3,782
|
3,880
|
|
Series 2002-T16, Class A2, 7.00%, 7/25/2042
|
483
|
507
|
|
Series 2004-T2, Class 2A, 5.42%, 7/25/2043 (f)
|
227
|
230
|
|
Series 2004-T2, Class 1A4, 7.50%, 11/25/2043
|
567
|
571
|
|
Series 2004-T1, Class 1A2, 6.50%, 1/25/2044
|
58
|
59
|
|
Series 2004-T3, Class PT1, 8.78%, 1/25/2044 (f)
|
85
|
89
|
|
Series 2004-T3, Class 1A2, 6.50%, 2/25/2044
|
1,143
|
1,159
|
|
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044
|
497
|
508
|
|
FNMA, REMIC
|
|
|
|
Series 2006-94, Class GK, IF, 14.62%, 10/25/2026 (f)
|
—
|
—
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
1
|
1
|
|
Series 1997-29, Class J, 7.50%, 4/20/2027
|
2
|
2
|
|
Series 1997-39, Class PD, 7.50%, 5/20/2027
|
6
|
6
|
|
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027
|
3
|
—
|
|
Series 1998-36, Class ZB, 6.00%, 7/18/2028
|
6
|
6
|
|
Series 2008-55, Class S, IF, IO, 3.87%, 7/25/2028 (f)
|
93
|
2
|
|
Series 1999-17, Class C, 6.35%, 4/25/2029
|
4
|
4
|
|
Series 1999-62, Class PB, 7.50%, 12/18/2029
|
3
|
3
|
|
Series 2000-2, Class ZE, 7.50%, 2/25/2030
|
32
|
32
|
|
Series 2000-52, IO, 8.50%, 1/25/2031
|
4
|
—
|
|
Series 2001-7, Class PF, 7.00%, 3/25/2031
|
4
|
4
|
|
Series 2011-31, Class DB, 3.50%, 4/25/2031
|
1,376
|
1,346
|
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
57
|
5
|
|
Series 2001-30, Class PM, 7.00%, 7/25/2031
|
26
|
27
|
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
65
|
67
|
|
Series 2001-49, Class Z, 6.50%, 9/25/2031
|
18
|
18
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2001-44, Class MY, 7.00%, 9/25/2031
|
72
|
74
|
|
Series 2001-44, Class PD, 7.00%, 9/25/2031
|
10
|
10
|
|
Series 2001-44, Class PU, 7.00%, 9/25/2031
|
13
|
13
|
|
Series 2001-60, Class QS, IF, 11.46%, 9/25/2031 (f)
|
34
|
38
|
|
Series 2001-52, Class KB, 6.50%, 10/25/2031
|
13
|
13
|
|
Series 2003-52, Class SX, IF, 11.77%, 10/25/2031 (f)
|
22
|
24
|
|
Series 2001-60, Class PX, 6.00%, 11/25/2031
|
95
|
97
|
|
Series 2001-61, Class Z, 7.00%, 11/25/2031
|
106
|
109
|
|
Series 2004-74, Class SW, IF, 7.99%, 11/25/2031 (f)
|
33
|
34
|
|
Series 2001-72, Class SX, IF, 8.79%, 12/25/2031 (f)
|
2
|
2
|
|
Series 2001-81, Class LO, PO, 1/25/2032
|
2
|
2
|
|
Series 2002-1, Class SA, IF, 13.08%, 2/25/2032 (f)
|
11
|
12
|
|
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f)
|
43
|
1
|
|
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f)
|
1
|
1
|
|
Series 2002-21, Class LO, PO, 4/25/2032
|
3
|
3
|
|
Series 2002-15, Class ZA, 6.00%, 4/25/2032
|
242
|
248
|
|
Series 2002-21, Class PE, 6.50%, 4/25/2032
|
43
|
44
|
|
Series 2002-28, Class PK, 6.50%, 5/25/2032
|
85
|
87
|
|
Series 2002-37, Class Z, 6.50%, 6/25/2032
|
42
|
43
|
|
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032
|
90
|
5
|
|
Series 2002-48, Class GH, 6.50%, 8/25/2032
|
101
|
105
|
|
Series 2002-71, Class AP, 5.00%, 11/25/2032
|
9
|
9
|
|
Series 2011-39, Class ZA, 6.00%, 11/25/2032
|
811
|
835
|
|
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f)
|
31
|
32
|
|
Series 2004-61, Class SH, IF, 9.09%, 11/25/2032 (f)
|
11
|
12
|
|
Series 2004-59, Class BG, PO, 12/25/2032
|
22
|
19
|
|
Series 2002-78, Class Z, 5.50%, 12/25/2032
|
237
|
241
|
|
Series 2002-77, Class S, IF, 7.65%, 12/25/2032 (f)
|
18
|
18
|
|
Series 2003-9, Class NZ, 6.50%, 2/25/2033
|
50
|
52
|
|
Series 2003-14, Class TI, IO, 5.00%, 3/25/2033
|
2
|
—
|
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
475
|
466
|
|
Series 2003-35, Class EA, PO, 5/25/2033
|
15
|
13
|
|
Series 2003-42, Class GB, 4.00%, 5/25/2033
|
34
|
34
|
|
Series 2003-34, Class AX, 6.00%, 5/25/2033
|
68
|
70
|
|
Series 2003-34, Class ED, 6.00%, 5/25/2033
|
313
|
321
|
|
Series 2003-34, Class GE, 6.00%, 5/25/2033
|
207
|
212
|
|
Series 2003-39, IO, 6.00%, 5/25/2033 (f)
|
18
|
2
|
|
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033
|
173
|
21
|
|
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033
|
341
|
22
|
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
140
|
144
|
|
Series 2003-64, Class SX, IF, 4.34%, 7/25/2033 (f)
|
48
|
46
|
|
Series 2003-132, Class OA, PO, 8/25/2033
|
1
|
1
|
|
Series 2003-71, Class DS, IF, 2.45%, 8/25/2033 (f)
|
248
|
228
|
|
Series 2003-74, Class SH, IF, 3.46%, 8/25/2033 (f)
|
36
|
33
|
|
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033
|
557
|
61
|
|
Series 2003-73, Class HC, 5.50%, 8/25/2033
|
214
|
219
|
|
Series 2003-91, Class SD, IF, 6.29%, 9/25/2033 (f)
|
32
|
33
|
|
Series 2013-100, Class WB, 3.00%, 10/25/2033
|
3,658
|
3,511
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2003-105, Class AZ, 5.50%, 10/25/2033
|
1,501
|
1,540
|
|
Series 2003-116, Class SB, IF, IO, 3.87%, 11/25/2033 (f)
|
200
|
15
|
|
Series 2006-44, Class P, PO, 12/25/2033
|
219
|
193
|
|
Series 2003-122, Class ZJ, 6.00%, 12/25/2033
|
1,250
|
1,291
|
|
Series 2004-87, Class F, 4.48%, 1/25/2034 (f)
|
279
|
280
|
|
Series 2003-130, Class SX, IF, 5.93%, 1/25/2034 (f)
|
2
|
2
|
|
Series 2004-17, Class H, 5.50%, 4/25/2034
|
531
|
541
|
|
Series 2004-25, Class SA, IF, 9.28%, 4/25/2034 (f)
|
58
|
61
|
|
Series 2004-36, Class FA, 4.13%, 5/25/2034 (f)
|
399
|
398
|
|
Series 2004-46, Class SK, IF, 6.25%, 5/25/2034 (f)
|
13
|
14
|
|
Series 2004-46, Class QB, IF, 9.09%, 5/25/2034 (f)
|
38
|
40
|
|
Series 2004-36, Class SA, IF, 9.28%, 5/25/2034 (f)
|
171
|
183
|
|
Series 2004-50, Class VZ, 5.50%, 7/25/2034
|
1,006
|
1,035
|
|
Series 2004-51, Class SY, IF, 6.79%, 7/25/2034 (f)
|
29
|
29
|
|
Series 2005-25, Class PF, 4.08%, 4/25/2035 (f)
|
247
|
245
|
|
Series 2005-42, Class PS, IF, 7.68%, 5/25/2035 (f)
|
4
|
4
|
|
Series 2005-59, Class SU, IF, 6.87%, 6/25/2035 (f)
|
75
|
80
|
|
Series 2005-56, Class S, IF, IO, 2.98%, 7/25/2035 (f)
|
157
|
10
|
|
Series 2005-66, Class SG, IF, 8.06%, 7/25/2035 (f)
|
76
|
81
|
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
147
|
150
|
|
Series 2005-73, Class ZB, 5.50%, 8/25/2035
|
1,848
|
1,888
|
|
Series 2005-73, Class PS, IF, 7.38%, 8/25/2035 (f)
|
56
|
57
|
|
Series 2005-72, Class SB, IF, 7.56%, 8/25/2035 (f)
|
30
|
31
|
|
Series 2005-75, Class SV, IF, 9.29%, 9/25/2035 (f)
|
9
|
10
|
|
Series 2010-39, Class OT, PO, 10/25/2035
|
49
|
43
|
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
97
|
99
|
|
Series 2005-90, Class ES, IF, 7.56%, 10/25/2035 (f)
|
51
|
52
|
|
Series 2005-106, Class US, IF, 10.90%, 11/25/2035 (f)
|
122
|
127
|
|
Series 2005-110, Class GL, 5.50%, 12/25/2035
|
1,196
|
1,219
|
|
Series 2005-109, Class PC, 6.00%, 12/25/2035
|
11
|
11
|
|
Series 2006-16, Class OA, PO, 3/25/2036
|
32
|
29
|
|
Series 2006-8, Class WQ, PO, 3/25/2036
|
448
|
374
|
|
Series 2006-8, Class WN, IF, IO, 2.97%, 3/25/2036 (f)
|
1,641
|
137
|
|
Series 2006-12, Class BZ, 5.50%, 3/25/2036
|
453
|
467
|
|
Series 2006-16, Class HZ, 5.50%, 3/25/2036
|
122
|
125
|
|
Series 2006-8, Class JZ, 5.50%, 3/25/2036
|
573
|
584
|
|
Series 2006-11, Class PS, IF, 10.90%, 3/25/2036 (f)
|
49
|
55
|
|
Series 2006-22, Class AO, PO, 4/25/2036
|
126
|
112
|
|
Series 2006-23, Class KO, PO, 4/25/2036
|
29
|
25
|
|
Series 2006-27, Class OH, PO, 4/25/2036
|
47
|
41
|
|
Series 2006-23, Class FK, 3.98%, 4/25/2036 (f)
|
295
|
291
|
|
Series 2006-33, Class LS, IF, 13.38%, 5/25/2036 (f)
|
38
|
45
|
|
Series 2006-43, PO, 6/25/2036
|
38
|
34
|
|
Series 2006-43, Class DO, PO, 6/25/2036
|
121
|
106
|
|
Series 2006-44, Class GO, PO, 6/25/2036
|
76
|
67
|
|
Series 2006-50, Class JO, PO, 6/25/2036
|
250
|
217
|
|
Series 2006-50, Class PS, PO, 6/25/2036
|
317
|
286
|
|
Series 2006-53, Class US, IF, IO, 2.85%, 6/25/2036 (f)
|
309
|
21
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-46, Class FW, 4.13%, 6/25/2036 (f)
|
71
|
71
|
|
Series 2006-46, Class SW, IF, 10.54%, 6/25/2036 (f)
|
11
|
12
|
|
Series 2006-58, PO, 7/25/2036
|
48
|
41
|
|
Series 2006-58, Class AP, PO, 7/25/2036
|
27
|
22
|
|
Series 2006-65, Class QO, PO, 7/25/2036
|
86
|
74
|
|
Series 2006-58, Class IG, IF, IO, 2.79%, 7/25/2036 (f)
|
89
|
6
|
|
Series 2006-56, Class FC, 4.02%, 7/25/2036 (f)
|
612
|
608
|
|
Series 2006-58, Class FL, 4.19%, 7/25/2036 (f)
|
77
|
76
|
|
Series 2006-71, Class ZL, 6.00%, 7/25/2036
|
1,005
|
1,041
|
|
Series 2006-63, Class ZH, 6.50%, 7/25/2036
|
460
|
487
|
|
Series 2011-19, Class ZY, 6.50%, 7/25/2036
|
610
|
645
|
|
Series 2006-60, Class AK, IF, 13.89%, 7/25/2036 (f)
|
46
|
51
|
|
Series 2006-62, Class PS, IF, 17.54%, 7/25/2036 (f)
|
33
|
45
|
|
Series 2006-72, Class TO, PO, 8/25/2036
|
28
|
23
|
|
Series 2006-79, Class DO, PO, 8/25/2036
|
57
|
49
|
|
Series 2006-79, Class OP, PO, 8/25/2036
|
96
|
79
|
|
Series 2007-7, Class SG, IF, IO, 2.77%, 8/25/2036 (f)
|
770
|
68
|
|
Series 2006-79, Class DF, 4.08%, 8/25/2036 (f)
|
242
|
240
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
125
|
128
|
|
Series 2006-78, Class BZ, 6.50%, 8/25/2036
|
68
|
71
|
|
Series 2006-86, Class OB, PO, 9/25/2036
|
96
|
83
|
|
Series 2006-90, Class AO, PO, 9/25/2036
|
41
|
37
|
|
Series 2008-42, Class AO, PO, 9/25/2036
|
40
|
34
|
|
Series 2006-85, Class MZ, 6.50%, 9/25/2036
|
21
|
22
|
|
Series 2009-19, Class PW, 4.50%, 10/25/2036
|
399
|
398
|
|
Series 2006-95, Class SG, IF, 11.29%, 10/25/2036 (f)
|
51
|
61
|
|
Series 2006-109, PO, 11/25/2036
|
28
|
24
|
|
Series 2006-110, PO, 11/25/2036
|
128
|
112
|
|
Series 2006-111, Class EO, PO, 11/25/2036
|
74
|
59
|
|
Series 2006-115, Class OK, PO, 12/25/2036
|
71
|
57
|
|
Series 2006-119, PO, 12/25/2036
|
42
|
37
|
|
Series 2006-117, Class GS, IF, IO, 2.92%, 12/25/2036 (f)
|
376
|
32
|
|
Series 2006-118, Class A1, 3.82%, 12/25/2036 (f)
|
145
|
142
|
|
Series 2006-118, Class A2, 3.82%, 12/25/2036 (f)
|
680
|
668
|
|
Series 2006-115, Class ES, IF, 11.65%, 12/25/2036 (f)
|
5
|
6
|
|
Series 2006-128, PO, 1/25/2037
|
86
|
74
|
|
Series 2009-70, Class CO, PO, 1/25/2037
|
258
|
211
|
|
Series 2006-128, Class BP, 5.50%, 1/25/2037
|
11
|
11
|
|
Series 2007-10, Class FD, 3.98%, 2/25/2037 (f)
|
84
|
83
|
|
Series 2007-1, Class SD, IF, 16.64%, 2/25/2037 (f)
|
73
|
114
|
|
Series 2007-14, Class OP, PO, 3/25/2037
|
63
|
55
|
|
Series 2007-22, Class SC, IF, IO, 2.35%, 3/25/2037 (f)
|
3
|
—
|
|
Series 2007-14, Class ES, IF, IO, 2.71%, 3/25/2037 (f)
|
563
|
52
|
|
Series 2007-77, Class FG, 4.23%, 3/25/2037 (f)
|
157
|
156
|
|
Series 2007-16, Class FC, 4.48%, 3/25/2037 (f)
|
104
|
104
|
|
Series 2009-63, Class P, 5.00%, 3/25/2037
|
9
|
9
|
|
Series 2007-18, Class MZ, 6.00%, 3/25/2037
|
199
|
207
|
|
Series 2007-28, Class EO, PO, 4/25/2037
|
206
|
178
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2007-35, Class SI, IF, IO, 2.37%, 4/25/2037 (f)
|
209
|
9
|
|
Series 2007-29, Class SG, IF, 10.24%, 4/25/2037 (f)
|
110
|
119
|
|
Series 2007-43, Class FL, 4.03%, 5/25/2037 (f)
|
130
|
128
|
|
Series 2007-42, Class B, 6.00%, 5/25/2037
|
361
|
375
|
|
Series 2007-92, Class YS, IF, IO, 2.05%, 6/25/2037 (f)
|
107
|
7
|
|
Series 2007-53, Class SH, IF, IO, 2.37%, 6/25/2037 (f)
|
417
|
30
|
|
Series 2007-54, Class WI, IF, IO, 2.37%, 6/25/2037 (f)
|
92
|
7
|
|
Series 2007-98, Class FB, 4.18%, 6/25/2037 (f)
|
64
|
63
|
|
Series 2007-92, Class YA, 6.50%, 6/25/2037
|
64
|
67
|
|
Series 2007-67, PO, 7/25/2037
|
151
|
134
|
|
Series 2007-72, Class EK, IF, IO, 2.67%, 7/25/2037 (f)
|
1,123
|
105
|
|
Series 2007-65, Class KI, IF, IO, 2.89%, 7/25/2037 (f)
|
370
|
32
|
|
Series 2007-60, Class AX, IF, IO, 3.42%, 7/25/2037 (f)
|
1,579
|
190
|
|
Series 2007-97, Class FC, 4.23%, 7/25/2037 (f)
|
101
|
100
|
|
Series 2007-70, Class Z, 5.50%, 7/25/2037
|
400
|
410
|
|
Series 2007-62, Class SE, IF, 7.18%, 7/25/2037 (f)
|
83
|
87
|
|
Series 2007-76, Class AZ, 5.50%, 8/25/2037
|
49
|
50
|
|
Series 2007-76, Class ZG, 6.00%, 8/25/2037
|
100
|
101
|
|
Series 2007-78, Class CB, 6.00%, 8/25/2037
|
40
|
42
|
|
Series 2007-78, Class PE, 6.00%, 8/25/2037
|
84
|
87
|
|
Series 2007-81, Class GE, 6.00%, 8/25/2037
|
180
|
187
|
|
Series 2007-79, Class SB, IF, 10.35%, 8/25/2037 (f)
|
107
|
121
|
|
Series 2007-88, Class VI, IF, IO, 2.81%, 9/25/2037 (f)
|
528
|
38
|
|
Series 2007-85, Class SL, IF, 6.83%, 9/25/2037 (f)
|
27
|
27
|
|
Series 2009-86, Class OT, PO, 10/25/2037
|
1,310
|
1,120
|
|
Series 2007-100, Class SM, IF, IO, 2.72%, 10/25/2037 (f)
|
357
|
33
|
|
Series 2007-91, Class ES, IF, IO, 2.73%, 10/25/2037 (f)
|
587
|
53
|
|
Series 2007-108, Class SA, IF, IO, 2.63%, 12/25/2037 (f)
|
23
|
1
|
|
Series 2007-109, Class AI, IF, IO, 2.67%, 12/25/2037 (f)
|
486
|
36
|
|
Series 2007-112, Class SA, IF, IO, 2.72%, 12/25/2037 (f)
|
568
|
62
|
|
Series 2007-112, Class MJ, 6.50%, 12/25/2037
|
423
|
439
|
|
Series 2007-116, Class HI, IO, 1.83%, 1/25/2038 (f)
|
758
|
51
|
|
Series 2008-1, Class BI, IF, IO, 2.18%, 2/25/2038 (f)
|
448
|
31
|
|
Series 2008-4, Class SD, IF, IO, 2.27%, 2/25/2038 (f)
|
1,238
|
101
|
|
Series 2008-16, Class IS, IF, IO, 2.47%, 3/25/2038 (f)
|
166
|
11
|
|
Series 2008-10, Class XI, IF, IO, 2.50%, 3/25/2038 (f)
|
193
|
14
|
|
Series 2008-20, Class SA, IF, IO, 3.26%, 3/25/2038 (f)
|
176
|
17
|
|
Series 2008-18, Class FA, 4.63%, 3/25/2038 (f)
|
101
|
101
|
|
Series 2008-18, Class SP, IF, 6.55%, 3/25/2038 (f)
|
74
|
72
|
|
Series 2008-32, Class SA, IF, IO, 3.12%, 4/25/2038 (f)
|
98
|
7
|
|
Series 2008-27, Class SN, IF, IO, 3.17%, 4/25/2038 (f)
|
211
|
19
|
|
Series 2008-28, Class QS, IF, 9.52%, 4/25/2038 (f)
|
66
|
74
|
|
Series 2008-44, PO, 5/25/2038
|
7
|
7
|
|
Series 2008-46, Class HI, IO, 2.17%, 6/25/2038 (f)
|
143
|
6
|
|
Series 2008-53, Class CI, IF, IO, 3.47%, 7/25/2038 (f)
|
98
|
9
|
|
Series 2008-56, Class AC, 5.00%, 7/25/2038
|
102
|
101
|
|
Series 2008-60, Class JC, 5.00%, 7/25/2038
|
133
|
134
|
|
Series 2011-47, Class ZA, 5.50%, 7/25/2038
|
477
|
483
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-80, Class SA, IF, IO, 2.12%, 9/25/2038 (f)
|
415
|
31
|
|
Series 2008-81, Class SB, IF, IO, 2.12%, 9/25/2038 (f)
|
456
|
28
|
|
Series 2009-6, Class GS, IF, IO, 2.82%, 2/25/2039 (f)
|
260
|
19
|
|
Series 2009-4, Class BD, 4.50%, 2/25/2039
|
3
|
3
|
|
Series 2009-17, Class QS, IF, IO, 2.92%, 3/25/2039 (f)
|
96
|
8
|
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
189
|
27
|
|
Series 2009-47, Class MT, 7.00%, 7/25/2039
|
6
|
6
|
|
Series 2009-59, Class HB, 5.00%, 8/25/2039
|
791
|
795
|
|
Series 2009-60, Class HT, 6.00%, 8/25/2039
|
1,012
|
1,050
|
|
Series 2009-65, Class MT, 5.00%, 9/25/2039
|
67
|
68
|
|
Series 2009-69, Class WA, 5.96%, 9/25/2039 (f)
|
194
|
196
|
|
Series 2009-84, Class WS, IF, IO, 2.17%, 10/25/2039 (f)
|
129
|
9
|
|
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039
|
507
|
83
|
|
Series 2009-99, Class SC, IF, IO, 2.45%, 12/25/2039 (f)
|
166
|
11
|
|
Series 2009-103, Class MB, 6.06%, 12/25/2039 (f)
|
440
|
444
|
|
Series 2009-99, Class WA, 6.33%, 12/25/2039 (f)
|
414
|
421
|
|
Series 2009-113, Class AO, PO, 1/25/2040
|
108
|
89
|
|
Series 2009-112, Class ST, IF, IO, 2.52%, 1/25/2040 (f)
|
352
|
32
|
|
Series 2010-1, Class WA, 6.30%, 2/25/2040 (f)
|
94
|
95
|
|
Series 2010-49, Class SC, IF, 5.21%, 3/25/2040 (f)
|
520
|
503
|
|
Series 2010-16, Class WB, 6.08%, 3/25/2040 (f)
|
452
|
455
|
|
Series 2010-16, Class WA, 6.45%, 3/25/2040 (f)
|
279
|
284
|
|
Series 2010-35, Class SB, IF, IO, 2.69%, 4/25/2040 (f)
|
217
|
13
|
|
Series 2010-40, Class FJ, 4.33%, 4/25/2040 (f)
|
12
|
12
|
|
Series 2010-35, Class SJ, IF, 5.24%, 4/25/2040 (f)
|
287
|
276
|
|
Series 2010-42, Class S, IF, IO, 2.67%, 5/25/2040 (f)
|
144
|
10
|
|
Series 2010-43, Class FD, 4.33%, 5/25/2040 (f)
|
138
|
138
|
|
Series 2010-63, Class AP, PO, 6/25/2040
|
176
|
154
|
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
635
|
638
|
|
Series 2010-58, Class MB, 5.50%, 6/25/2040
|
1,559
|
1,580
|
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
663
|
676
|
|
Series 2010-102, Class PN, 5.00%, 9/25/2040
|
479
|
484
|
|
Series 2010-111, Class AM, 5.50%, 10/25/2040
|
2,500
|
2,562
|
|
Series 2010-125, Class SA, IF, IO, 0.71%, 11/25/2040 (f)
|
1,027
|
30
|
|
Series 2010-147, Class SA, IF, IO, 2.80%, 1/25/2041 (f)
|
1,866
|
185
|
|
Series 2011-30, Class LS, IO, 1.87%, 4/25/2041 (f)
|
1,129
|
86
|
|
Series 2011-149, Class EF, 4.23%, 7/25/2041 (f)
|
63
|
63
|
|
Series 2011-75, Class FA, 4.28%, 8/25/2041 (f)
|
134
|
133
|
|
Series 2011-149, Class MF, 4.23%, 11/25/2041 (f)
|
278
|
277
|
|
Series 2011-118, Class LB, 7.00%, 11/25/2041
|
1,872
|
1,974
|
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
2,437
|
2,554
|
|
Series 2011-118, Class NT, 7.00%, 11/25/2041
|
2,198
|
2,319
|
|
Series 2012-99, Class FA, 4.18%, 9/25/2042 (f)
|
720
|
709
|
|
Series 2012-101, Class FC, 4.23%, 9/25/2042 (f)
|
431
|
425
|
|
Series 2012-97, Class FB, 4.23%, 9/25/2042 (f)
|
1,346
|
1,330
|
|
Series 2012-108, Class F, 4.23%, 10/25/2042 (f)
|
1,083
|
1,070
|
|
Series 2012-120, Class ZB, 3.50%, 11/25/2042
|
4,168
|
3,896
|
|
Series 2013-81, Class TA, 3.00%, 2/25/2043
|
714
|
708
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-4, Class AJ, 3.50%, 2/25/2043
|
748
|
702
|
|
Series 2013-92, PO, 9/25/2043
|
2,984
|
2,286
|
|
Series 2013-101, Class DO, PO, 10/25/2043
|
2,710
|
1,971
|
|
Series 2013-128, PO, 12/25/2043
|
4,669
|
3,602
|
|
Series 2013-135, PO, 1/25/2044
|
1,631
|
1,220
|
|
Series 2014-29, Class PS, IF, IO, 2.32%, 5/25/2044 (f)
|
1,552
|
147
|
|
Series 2018-42, Class B, 3.00%, 6/25/2048
|
26,771
|
23,924
|
|
Series 2018-63, Class DA, 3.50%, 9/25/2048
|
969
|
888
|
|
Series 2018-94, Class DZ, 4.00%, 1/25/2049
|
8,464
|
7,924
|
|
Series 2010-103, Class SB, IF, IO, 2.37%, 11/25/2049 (f)
|
311
|
23
|
|
Series 2020-90, Class PE, 2.00%, 12/25/2050
|
9,686
|
7,693
|
|
Series 2011-2, Class WA, 5.79%, 2/25/2051 (f)
|
177
|
182
|
|
Series 2011-58, Class WA, 5.51%, 7/25/2051 (f)
|
150
|
146
|
|
Series 2023-40, PO, 9/25/2053
|
11,775
|
9,917
|
|
Series 2025-18, Class MA, 0.50%, 9/25/2054
|
119,559
|
101,254
|
|
Series 2025-31, Class MA, 0.50%, 9/25/2054
|
7,537
|
6,340
|
|
Series 2026-40, Class DT, 0.25%, 6/25/2056
|
47,487
|
38,218
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2004-W10, Class A6, 5.75%, 8/25/2034
|
1,176
|
1,200
|
|
Series 2007-W3, Class 1A3, 6.75%, 4/25/2037
|
90
|
90
|
|
Series 2007-W5, PO, 6/25/2037
|
76
|
62
|
|
Series 2007-W7, Class 1A4, IF, 16.82%, 7/25/2037 (f)
|
51
|
66
|
|
Series 2002-W6, Class 1A6, 6.15%, 6/25/2042
|
7,124
|
7,063
|
|
Series 2003-W4, Class 2A, 4.96%, 10/25/2042 (f)
|
49
|
49
|
|
Series 2003-W1, Class 1A1, 4.67%, 12/25/2042 (f)
|
352
|
349
|
|
Series 2003-W1, Class 2A, 5.03%, 12/25/2042 (f)
|
103
|
102
|
|
Series 2004-W11, Class 1A1, 6.00%, 5/25/2044
|
309
|
319
|
|
Series 2005-W1, Class 1A2, 6.50%, 10/25/2044
|
512
|
527
|
|
Series 2006-W3, Class 2A, 6.00%, 9/25/2046
|
230
|
234
|
|
Series 2007-W10, Class 2A, 6.10%, 8/25/2047 (f)
|
26
|
26
|
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
667
|
684
|
|
FNMA, REMIC, Whole Loan
|
|
|
|
Series 2007-101, Class A2, 4.59%, 6/27/2036 (f)
|
1,267
|
1,278
|
|
Series 2007-54, Class FA, 4.13%, 6/25/2037 (f)
|
605
|
599
|
|
Series 2007-64, Class FB, 4.10%, 7/25/2037 (f)
|
148
|
147
|
|
Series 2007-106, Class A7, 6.05%, 10/25/2037 (f)
|
126
|
126
|
|
Series 2002-90, Class A1, 6.50%, 6/25/2042
|
213
|
214
|
|
FNMA, STRIPS
|
|
|
|
Series 329, Class 1, PO, 1/25/2033
|
16
|
15
|
|
Series 345, Class 6, IO, 5.00%, 12/25/2033 (f)
|
24
|
3
|
|
Series 365, Class 8, IO, 5.50%, 5/25/2036
|
108
|
19
|
|
Series 374, Class 5, IO, 5.50%, 8/25/2036
|
71
|
11
|
|
Series 393, Class 6, IO, 5.50%, 4/25/2037
|
23
|
2
|
|
Series 383, Class 33, IO, 6.00%, 1/25/2038
|
77
|
13
|
|
Series 412, Class F2, 4.23%, 8/25/2042 (f)
|
1,481
|
1,436
|
|
Series 411, Class F1, 4.28%, 8/25/2042 (f)
|
3,316
|
3,283
|
|
FNMA, Whole Loan Series 2007-W1, Class 1AF1, 3.99%, 11/25/2046 (f)
|
1,707
|
1,694
|
|
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.03%, 6/19/2035 (f)
|
125
|
123
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GNMA
|
|
|
|
Series 2001-35, Class SA, IF, IO, 4.51%, 8/16/2031 (f)
|
25
|
—
|
|
Series 2002-52, Class GH, 6.50%, 7/20/2032
|
150
|
150
|
|
Series 2003-58, Class BE, 6.50%, 1/20/2033
|
215
|
215
|
|
Series 2003-25, Class PZ, 5.50%, 4/20/2033
|
446
|
445
|
|
Series 2003-46, Class MG, 6.50%, 5/20/2033
|
157
|
157
|
|
Series 2003-52, Class AP, PO, 6/16/2033
|
82
|
73
|
|
Series 2003-75, Class ZX, 6.00%, 9/16/2033
|
242
|
241
|
|
Series 2010-41, Class WA, 5.79%, 10/20/2033 (f)
|
240
|
244
|
|
Series 2003-97, Class SA, IF, IO, 2.81%, 11/16/2033 (f)
|
62
|
—
|
|
Series 2003-112, Class SA, IF, IO, 2.81%, 12/16/2033 (f)
|
181
|
1
|
|
Series 2004-28, Class S, IF, 9.38%, 4/16/2034 (f)
|
75
|
80
|
|
Series 2005-7, Class JM, IF, 8.49%, 5/18/2034 (f)
|
1
|
1
|
|
Series 2004-46, PO, 6/20/2034
|
154
|
130
|
|
Series 2004-49, Class Z, 6.00%, 6/20/2034
|
641
|
644
|
|
Series 2010-103, Class WA, 5.65%, 8/20/2034 (f)
|
136
|
138
|
|
Series 2004-73, Class JL, IF, IO, 2.81%, 9/16/2034 (f)
|
659
|
50
|
|
Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (f)
|
67
|
68
|
|
Series 2004-71, Class SB, IF, 11.21%, 9/20/2034 (f)
|
67
|
68
|
|
Series 2004-89, Class LS, IF, 10.67%, 10/16/2034 (f)
|
46
|
46
|
|
Series 2004-90, Class SI, IF, IO, 2.38%, 10/20/2034 (f)
|
901
|
24
|
|
Series 2004-96, Class SC, IF, IO, 2.36%, 11/20/2034 (f)
|
578
|
3
|
|
Series 2005-3, Class SK, IF, IO, 3.03%, 1/20/2035 (f)
|
597
|
17
|
|
Series 2005-68, Class DP, IF, 7.42%, 6/17/2035 (f)
|
115
|
124
|
|
Series 2008-79, Class CS, IF, 3.08%, 6/20/2035 (f)
|
316
|
316
|
|
Series 2005-56, Class IC, IO, 5.50%, 7/20/2035
|
64
|
6
|
|
Series 2005-66, Class SP, IF, 8.37%, 8/16/2035 (f)
|
38
|
41
|
|
Series 2010-14, Class CO, PO, 8/20/2035
|
365
|
307
|
|
Series 2005-65, Class SA, IF, 8.65%, 8/20/2035 (f)
|
27
|
27
|
|
Series 2005-68, Class KI, IF, IO, 2.58%, 9/20/2035 (f)
|
1,319
|
91
|
|
Series 2005-72, Class AZ, 5.50%, 9/20/2035
|
220
|
222
|
|
Series 2005-82, PO, 10/20/2035
|
88
|
74
|
|
Series 2010-14, Class BO, PO, 11/20/2035
|
129
|
109
|
|
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035
|
128
|
9
|
|
Series 2006-16, Class OP, PO, 3/20/2036
|
113
|
94
|
|
Series 2006-22, Class AO, PO, 5/20/2036
|
163
|
136
|
|
Series 2006-34, PO, 7/20/2036
|
22
|
18
|
|
Series 2006-33, Class Z, 6.50%, 7/20/2036
|
724
|
737
|
|
Series 2006-38, Class ZK, 6.50%, 8/20/2036
|
906
|
904
|
|
Series 2006-59, Class SD, IF, IO, 2.98%, 10/20/2036 (f)
|
242
|
12
|
|
Series 2006-57, Class PZ, 5.56%, 10/20/2036
|
403
|
403
|
|
Series 2011-22, Class WA, 5.75%, 2/20/2037 (f)
|
113
|
115
|
|
Series 2007-9, Class CI, IF, IO, 2.48%, 3/20/2037 (f)
|
457
|
25
|
|
Series 2007-17, Class JO, PO, 4/16/2037
|
226
|
184
|
|
Series 2007-17, Class JI, IF, IO, 3.07%, 4/16/2037 (f)
|
582
|
36
|
|
Series 2007-19, Class SD, IF, IO, 2.48%, 4/20/2037 (f)
|
210
|
1
|
|
Series 2010-129, Class AW, 5.80%, 4/20/2037 (f)
|
193
|
196
|
|
Series 2007-25, Class FN, 4.04%, 5/16/2037 (f)
|
179
|
177
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2007-28, Class BO, PO, 5/20/2037
|
32
|
26
|
|
Series 2007-26, Class SC, IF, IO, 2.48%, 5/20/2037 (f)
|
389
|
2
|
|
Series 2007-27, Class SD, IF, IO, 2.48%, 5/20/2037 (f)
|
429
|
2
|
|
Series 2007-35, PO, 6/16/2037
|
598
|
485
|
|
Series 2007-36, Class HO, PO, 6/16/2037
|
57
|
46
|
|
Series 2007-36, Class SE, IF, IO, 2.73%, 6/16/2037 (f)
|
244
|
1
|
|
Series 2007-36, Class SJ, IF, IO, 2.53%, 6/20/2037 (f)
|
327
|
2
|
|
Series 2007-45, Class QA, IF, IO, 2.92%, 7/20/2037 (f)
|
492
|
27
|
|
Series 2007-40, Class SN, IF, IO, 2.96%, 7/20/2037 (f)
|
472
|
7
|
|
Series 2007-40, Class SD, IF, IO, 3.03%, 7/20/2037 (f)
|
341
|
6
|
|
Series 2007-53, Class ES, IF, IO, 2.83%, 9/20/2037 (f)
|
376
|
9
|
|
Series 2007-53, Class SW, IF, 9.05%, 9/20/2037 (f)
|
83
|
88
|
|
Series 2008-7, Class SP, IF, 5.97%, 10/20/2037 (f)
|
58
|
58
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
579
|
480
|
|
Series 2007-74, Class SL, IF, IO, 2.80%, 11/16/2037 (f)
|
459
|
3
|
|
Series 2007-73, Class MI, IF, IO, 2.28%, 11/20/2037 (f)
|
400
|
2
|
|
Series 2007-76, Class SB, IF, IO, 2.78%, 11/20/2037 (f)
|
781
|
5
|
|
Series 2007-67, Class SI, IF, IO, 2.79%, 11/20/2037 (f)
|
416
|
3
|
|
Series 2007-72, Class US, IF, IO, 2.83%, 11/20/2037 (f)
|
352
|
2
|
|
Series 2008-7, Class SK, IF, 8.80%, 11/20/2037 (f)
|
41
|
41
|
|
Series 2007-79, Class SY, IF, IO, 2.83%, 12/20/2037 (f)
|
509
|
2
|
|
Series 2008-1, PO, 1/20/2038
|
24
|
19
|
|
Series 2015-137, Class WA, 5.55%, 1/20/2038 (f)
|
1,270
|
1,300
|
|
Series 2009-106, Class ST, IF, IO, 2.28%, 2/20/2038 (f)
|
3,057
|
32
|
|
Series 2008-17, IO, 5.50%, 2/20/2038
|
78
|
—
|
|
Series 2008-33, Class XS, IF, IO, 3.96%, 4/16/2038 (f)
|
237
|
7
|
|
Series 2008-36, Class SH, IF, IO, 2.58%, 4/20/2038 (f)
|
541
|
3
|
|
Series 2008-40, Class SA, IF, IO, 2.66%, 5/16/2038 (f)
|
1,224
|
47
|
|
Series 2008-55, Class SA, IF, IO, 2.48%, 6/20/2038 (f)
|
134
|
1
|
|
Series 2008-50, Class KB, 6.00%, 6/20/2038
|
270
|
275
|
|
Series 2008-60, Class CS, IF, IO, 2.43%, 7/20/2038 (f)
|
448
|
1
|
|
Series 2008-71, Class SC, IF, IO, 2.28%, 8/20/2038 (f)
|
152
|
1
|
|
Series 2012-59, Class WA, 5.58%, 8/20/2038 (f)
|
618
|
629
|
|
Series 2008-76, Class US, IF, IO, 2.18%, 9/20/2038 (f)
|
556
|
6
|
|
Series 2008-81, Class S, IF, IO, 2.48%, 9/20/2038 (f)
|
1,136
|
6
|
|
Series 2009-25, Class SE, IF, IO, 3.88%, 9/20/2038 (f)
|
238
|
2
|
|
Series 2011-97, Class WA, 6.07%, 11/20/2038 (f)
|
274
|
277
|
|
Series 2008-93, Class AS, IF, IO, 1.98%, 12/20/2038 (f)
|
615
|
27
|
|
Series 2008-96, Class SL, IF, IO, 2.28%, 12/20/2038 (f)
|
329
|
2
|
|
Series 2008-95, Class DS, IF, IO, 3.58%, 12/20/2038 (f)
|
995
|
8
|
|
Series 2011-163, Class WA, 5.83%, 12/20/2038 (f)
|
1,294
|
1,324
|
|
Series 2014-6, Class W, 5.27%, 1/20/2039 (f)
|
991
|
1,011
|
|
Series 2009-6, Class SA, IF, IO, 2.36%, 2/16/2039 (f)
|
243
|
1
|
|
Series 2009-11, Class SC, IF, IO, 2.41%, 2/16/2039 (f)
|
300
|
2
|
|
Series 2009-10, Class SA, IF, IO, 2.23%, 2/20/2039 (f)
|
430
|
26
|
|
Series 2009-6, Class SH, IF, IO, 2.32%, 2/20/2039 (f)
|
265
|
1
|
|
Series 2009-31, Class TS, IF, IO, 2.58%, 3/20/2039 (f)
|
87
|
1
|
|
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039
|
153
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
331
|
15
|
|
Series 2009-22, Class SA, IF, IO, 2.55%, 4/20/2039 (f)
|
609
|
40
|
|
Series 2009-35, Class ZB, 5.50%, 5/16/2039
|
5,858
|
6,043
|
|
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039
|
91
|
5
|
|
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039
|
125
|
7
|
|
Series 2009-43, Class SA, IF, IO, 2.23%, 6/20/2039 (f)
|
416
|
15
|
|
Series 2009-42, Class SC, IF, IO, 2.36%, 6/20/2039 (f)
|
586
|
39
|
|
Series 2009-64, Class SN, IF, IO, 2.36%, 7/16/2039 (f)
|
404
|
16
|
|
Series 2009-72, Class SM, IF, IO, 2.51%, 8/16/2039 (f)
|
584
|
36
|
|
Series 2009-81, Class SB, IF, IO, 2.37%, 9/20/2039 (f)
|
1,156
|
87
|
|
Series 2009-75, Class MN, 5.50%, 9/20/2039
|
2,587
|
2,690
|
|
Series 2009-106, Class AS, IF, IO, 2.66%, 11/16/2039 (f)
|
995
|
81
|
|
Series 2013-147, Class BE, 4.00%, 12/20/2039
|
3,874
|
3,637
|
|
Series 2015-91, Class W, 5.28%, 5/20/2040 (f)
|
1,267
|
1,295
|
|
Series 2013-75, Class WA, 5.06%, 6/20/2040 (f)
|
321
|
325
|
|
Series 2011-137, Class WA, 5.58%, 7/20/2040 (f)
|
666
|
682
|
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
1,015
|
1,065
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
1,357
|
1,169
|
|
Series 2011-75, Class SM, IF, IO, 2.88%, 5/20/2041 (f)
|
694
|
41
|
|
Series 2013-26, Class AK, 4.70%, 9/20/2041 (f)
|
805
|
804
|
|
Series 2014-188, Class W, 4.54%, 10/20/2041 (f)
|
860
|
858
|
|
Series 2012-141, Class WA, 4.52%, 11/16/2041 (f)
|
1,162
|
1,139
|
|
Series 2011-157, Class UY, 3.00%, 12/20/2041
|
1,500
|
1,351
|
|
Series 2012-141, Class WC, 3.74%, 1/20/2042 (f)
|
990
|
934
|
|
Series 2012-141, Class WB, 4.00%, 9/16/2042 (f)
|
679
|
643
|
|
Series 2014-41, Class W, 4.59%, 10/20/2042 (f)
|
953
|
943
|
|
Series 2013-54, Class WA, 4.89%, 11/20/2042 (f)
|
652
|
660
|
|
Series 2013-91, Class WA, 4.40%, 4/20/2043 (f)
|
891
|
850
|
|
Series 2019-78, Class SW, IF, IO, 2.38%, 6/20/2049 (f)
|
5,363
|
401
|
|
Series 2020-123, Class LB, 1.00%, 8/20/2050
|
9,525
|
7,870
|
|
Series 2020-134, Class ST, IF, IO, 3.11%, 9/20/2050 (f)
|
38,539
|
473
|
|
Series 2022-9, Class P, 2.00%, 9/20/2051
|
18,752
|
16,500
|
|
Series 2021-201, Class Z, 3.00%, 11/20/2051
|
18,415
|
13,221
|
|
Series 2022-114, Class BS, IF, 8.18%, 6/20/2052 (f)
|
12,726
|
13,194
|
|
Series 2022-133, Class ES, IF, 7.82%, 7/20/2052 (f)
|
7,875
|
7,744
|
|
Series 2022-121, Class S, IF, 7.98%, 7/20/2052 (f)
|
10,145
|
10,360
|
|
Series 2024-164, Class AO, PO, 10/20/2054
|
7,363
|
5,760
|
|
Series 2025-105, Class SM, IF, 5.49%, 6/20/2055 (f)
|
21,998
|
20,310
|
|
Series 2012-H24, Class FA, 4.23%, 3/20/2060 (f)
|
166
|
166
|
|
Series 2012-H24, Class FG, 4.21%, 4/20/2060 (f)
|
7
|
7
|
|
Series 2013-H03, Class FA, 4.08%, 8/20/2060 (f)
|
—
|
—
|
|
Series 2011-H05, Class FB, 4.28%, 12/20/2060 (f)
|
218
|
217
|
|
Series 2011-H06, Class FA, 4.23%, 2/20/2061 (f)
|
213
|
213
|
|
Series 2012-H21, Class CF, 4.48%, 5/20/2061 (f)
|
4
|
4
|
|
Series 2011-H19, Class FA, 4.25%, 8/20/2061 (f)
|
144
|
144
|
|
Series 2012-H26, Class JA, 4.33%, 10/20/2061 (f)
|
1
|
1
|
|
Series 2012-H10, Class FA, 4.33%, 12/20/2061 (f)
|
1,300
|
1,299
|
|
Series 2012-H08, Class FB, 4.38%, 3/20/2062 (f)
|
359
|
360
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-H07, Class MA, 4.33%, 4/20/2062 (f)
|
—
|
—
|
|
Series 2012-H08, Class FS, 4.48%, 4/20/2062 (f)
|
1,150
|
1,152
|
|
Series 2012-H15, Class FA, 4.23%, 5/20/2062 (f)
|
—
|
—
|
|
Series 2012-H26, Class MA, 4.33%, 7/20/2062 (f)
|
40
|
40
|
|
Series 2012-H18, Class NA, 4.30%, 8/20/2062 (f)
|
95
|
95
|
|
Series 2012-H28, Class FA, 4.36%, 9/20/2062 (f)
|
16
|
16
|
|
Series 2012-H29, Class FA, 4.29%, 10/20/2062 (f)
|
556
|
556
|
|
Series 2013-H02, Class HF, 4.08%, 11/20/2062 (f)
|
1
|
1
|
|
Series 2023-48, Class W, 3.98%, 12/20/2062 (f)
|
8,807
|
7,987
|
|
Series 2013-H01, Class FA, 1.65%, 1/20/2063
|
—
|
—
|
|
Series 2013-H01, Class JA, 4.10%, 1/20/2063 (f)
|
772
|
769
|
|
Series 2013-H04, Class SA, 4.20%, 2/20/2063 (f)
|
370
|
369
|
|
Series 2013-H08, Class FC, 4.23%, 2/20/2063 (f)
|
408
|
408
|
|
Series 2013-H07, Class HA, 4.19%, 3/20/2063 (f)
|
571
|
570
|
|
Series 2013-H09, Class HA, 1.65%, 4/20/2063
|
63
|
60
|
|
Series 2013-H14, Class FG, 4.25%, 5/20/2063 (f)
|
115
|
115
|
|
Series 2013-H14, Class FC, 4.25%, 6/20/2063 (f)
|
85
|
85
|
|
Series 2014-H01, Class FD, 4.43%, 1/20/2064 (f)
|
562
|
562
|
|
Series 2014-H05, Class FA, 4.47%, 2/20/2064 (f)
|
1,390
|
1,394
|
|
Series 2014-H06, Class HB, 4.43%, 3/20/2064 (f)
|
216
|
216
|
|
Series 2014-H09, Class TA, 4.38%, 4/20/2064 (f)
|
484
|
485
|
|
Series 2014-H10, Class TA, 4.38%, 4/20/2064 (f)
|
3,289
|
3,291
|
|
Series 2024-57, Class PT, 4.50%, 4/20/2064
|
8,304
|
7,970
|
|
Series 2014-H11, Class VA, 4.28%, 6/20/2064 (f)
|
3,817
|
3,813
|
|
Series 2014-H15, Class FA, 4.28%, 7/20/2064 (f)
|
3,273
|
3,270
|
|
Series 2014-H17, Class FC, 4.28%, 7/20/2064 (f)
|
2,151
|
2,149
|
|
Series 2014-H19, Class FE, 4.25%, 9/20/2064 (f)
|
2,064
|
2,062
|
|
Series 2014-H20, Class LF, 4.38%, 10/20/2064 (f)
|
2,072
|
2,075
|
|
Series 2015-H02, Class FB, 4.28%, 12/20/2064 (f)
|
359
|
358
|
|
Series 2015-H03, Class FA, 4.28%, 12/20/2064 (f)
|
429
|
429
|
|
Series 2015-H07, Class ES, 4.25%, 2/20/2065 (f)
|
961
|
960
|
|
Series 2015-H05, Class FC, 4.26%, 2/20/2065 (f)
|
3,395
|
3,391
|
|
Series 2015-H06, Class FA, 4.26%, 2/20/2065 (f)
|
1,753
|
1,751
|
|
Series 2015-H08, Class FC, 4.26%, 3/20/2065 (f)
|
4,169
|
4,164
|
|
Series 2015-H10, Class FC, 4.26%, 4/20/2065 (f)
|
—
|
—
|
|
Series 2015-H12, Class FA, 4.26%, 5/20/2065 (f)
|
1,821
|
1,818
|
|
Series 2015-H15, Class FD, 4.22%, 6/20/2065 (f)
|
1,190
|
1,188
|
|
Series 2015-H15, Class FJ, 4.22%, 6/20/2065 (f)
|
1,495
|
1,492
|
|
Series 2015-H18, Class FA, 4.23%, 6/20/2065 (f)
|
1,206
|
1,205
|
|
Series 2015-H16, Class FG, 4.22%, 7/20/2065 (f)
|
2,352
|
2,348
|
|
Series 2015-H16, Class FL, 4.22%, 7/20/2065 (f)
|
2,549
|
2,545
|
|
Series 2015-H20, Class FA, 4.25%, 8/20/2065 (f)
|
2,006
|
2,003
|
|
Series 2015-H26, Class FG, 4.30%, 10/20/2065 (f)
|
679
|
679
|
|
Series 2015-H32, Class FH, 4.44%, 12/20/2065 (f)
|
1,196
|
1,197
|
|
Series 2016-H07, Class FB, 4.53%, 3/20/2066 (f)
|
1,234
|
1,238
|
|
Series 2016-H11, Class FD, 4.82%, 5/20/2066 (f)
|
2,444
|
2,460
|
|
Series 2016-H26, Class FC, 4.78%, 12/20/2066 (f)
|
2,374
|
2,393
|
|
Series 2017-H08, Class XI, IO, 2.20%, 3/20/2067 (f)
|
13,468
|
565
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2017-H14, Class XI, IO, 1.85%, 6/20/2067 (f)
|
14,810
|
371
|
|
Series 2018-H09, Class FE, 4.54%, 6/20/2068 (f)
|
1,050
|
1,052
|
|
Series 2019-H20, Class ID, IO, 1.55%, 12/20/2069 (f)
|
16,284
|
1,014
|
|
Series 2020-H02, Class MI, IO, 1.47%, 1/20/2070 (f)
|
35,633
|
2,083
|
|
Series 2020-H05, IO, 1.30%, 3/20/2070 (f)
|
33,554
|
1,934
|
|
Series 2020-H09, IO, 1.36%, 5/20/2070 (f)
|
39,755
|
1,935
|
|
Series 2020-H09, Class CI, IO, 1.79%, 5/20/2070 (f)
|
36,270
|
2,235
|
|
Series 2020-H09, Class IC, IO, 1.91%, 5/20/2070 (f)
|
39,203
|
2,268
|
|
Series 2020-H11, IO, 1.75%, 6/20/2070 (f)
|
22,143
|
1,176
|
|
Series 2020-H12, Class IJ, IO, 1.92%, 7/20/2070 (f)
|
31,974
|
1,714
|
|
Series 2020-H12, Class HI, IO, 2.57%, 7/20/2070 (f)
|
27,834
|
2,115
|
|
Series 2020-H15, IO, 2.01%, 8/20/2070 (f)
|
40,336
|
2,339
|
|
Series 2021-H14, Class BF, 5.03%, 9/20/2071 (f)
|
7,928
|
8,143
|
|
GS Mortgage-Backed Securities Corp. Trust Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (b) (f)
|
27,986
|
26,373
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (b) (e)
|
18,462
|
18,023
|
|
Series 2025-RPL3, Class A1, 4.10%, 7/25/2065 (b) (e)
|
40,232
|
39,013
|
|
GSMPS Mortgage Loan Trust
|
|
|
|
Series 2004-4, Class 1AF, 4.10%, 6/25/2034 (b) (f)
|
214
|
195
|
|
Series 2005-RP2, Class 1AF, 4.05%, 3/25/2035 (b) (f)
|
379
|
357
|
|
Series 2005-RP3, Class 1AS, IO, 0.43%, 9/25/2035 (b) (f)
|
2,002
|
13
|
|
Series 2005-RP3, Class 1AF, 4.05%, 9/25/2035 (b) (f)
|
2,717
|
2,354
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2003-3F, Class 4A3, 5.75%, 4/25/2033
|
21
|
20
|
|
Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
137
|
135
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
124
|
127
|
|
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034
|
81
|
82
|
|
Series 2005-5F, Class 8A3, 4.20%, 6/25/2035 (f)
|
56
|
55
|
|
Series 2005-AR6, Class 3A1, 4.30%, 9/25/2035 (f)
|
18
|
16
|
|
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035
|
299
|
298
|
|
Series 2006-1F, Class 1A3, 5.50%, 2/25/2036
|
8
|
161
|
|
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036
|
1,382
|
525
|
|
Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (b) (e)
|
24,975
|
24,981
|
|
Impac CMB Trust Series 2005-4, Class 2A1, 4.30%, 5/25/2035 (f)
|
335
|
329
|
|
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033
|
248
|
183
|
|
Impac Secured Assets Trust Series 2006-1, Class 2A1, 4.40%, 5/25/2036 (f)
|
358
|
342
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2006-A2, Class 5A3, 6.31%, 11/25/2033 (f)
|
269
|
269
|
|
Series 2006-A3, Class 6A1, 4.84%, 8/25/2034 (f)
|
92
|
92
|
|
Series 2006-A2, Class 4A1, 6.25%, 8/25/2034 (f)
|
891
|
910
|
|
Series 2004-S1, Class 1A7, 5.00%, 9/25/2034
|
19
|
18
|
|
Series 2004-A4, Class 1A1, 6.74%, 9/25/2034 (f)
|
6
|
6
|
|
Series 2005-A1, Class 3A4, 5.14%, 2/25/2035 (f)
|
109
|
106
|
|
Series 2007-A1, Class 5A1, 5.81%, 7/25/2035 (f)
|
83
|
83
|
|
Series 2007-A1, Class 5A2, 5.81%, 7/25/2035 (f)
|
33
|
33
|
|
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 5.89%, 10/25/2066 (b) (e)
|
14,934
|
14,944
|
|
Lehman Mortgage Trust
|
|
|
|
Series 2006-2, Class 1A1, 5.72%, 4/25/2036 (f)
|
267
|
166
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2007-6, Class 1A8, 6.00%, 7/25/2037
|
6
|
6
|
|
Series 2008-2, Class 1A6, 6.00%, 3/25/2038
|
1,858
|
424
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (b) (e)
|
41,700
|
41,745
|
|
Series 2025-RTL3, Class A1, 5.24%, 8/25/2040 (b) (e)
|
16,785
|
16,794
|
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
|
Series 2004-13, Class 2A1, 6.02%, 4/21/2034 (f)
|
241
|
239
|
|
Series 2004-3, Class 4A2, 3.91%, 4/25/2034 (f)
|
95
|
87
|
|
Series 2004-15, Class 3A1, 6.76%, 12/25/2034 (f)
|
45
|
45
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
57
|
54
|
|
Series 2004-3, Class 3A1, 6.00%, 4/25/2034
|
546
|
553
|
|
Series 2004-3, Class 2A1, 6.25%, 4/25/2034
|
98
|
100
|
|
Series 2004-6, Class 30, PO, 7/25/2034
|
100
|
81
|
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
58
|
57
|
|
Series 2004-7, Class 30, PO, 8/25/2034
|
54
|
38
|
|
Series 2005-6, Class 3A1, 5.50%, 12/25/2035
|
54
|
46
|
|
MASTR Asset Securitization Trust
|
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
|
Series 2003-12, Class 30, PO, 12/25/2033
|
2
|
—
|
|
Series 2003-12, Class 6A1, 5.00%, 12/25/2033
|
36
|
30
|
|
Series 2004-4, Class 1A6, 5.25%, 12/26/2033
|
84
|
82
|
|
Series 2004-P7, Class A6, 5.50%, 12/27/2033 (b)
|
51
|
43
|
|
Series 2004-1, Class 30, PO, 2/25/2034
|
7
|
5
|
|
MASTR Reperforming Loan Trust
|
|
|
|
Series 2005-2, Class 1A1F, 4.05%, 5/25/2035 (b) (f)
|
4,716
|
2,177
|
|
Series 2006-2, Class 1A1, 4.32%, 5/25/2036 (b) (f)
|
458
|
376
|
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b)
|
52
|
34
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-E, Class A1, 4.32%, 10/25/2028 (f)
|
77
|
72
|
|
Series 2003-F, Class A1, 4.34%, 10/25/2028 (f)
|
52
|
51
|
|
Series 2004-A, Class A1, 4.16%, 4/25/2029 (f)
|
44
|
41
|
|
Series 2004-C, Class A2, 4.63%, 7/25/2029 (f)
|
55
|
55
|
|
Series 2003-A5, Class 2A6, 6.04%, 8/25/2033 (f)
|
57
|
56
|
|
Series 2004-A4, Class A2, 4.89%, 8/25/2034 (f)
|
134
|
128
|
|
Series 2004-1, Class 2A1, 4.92%, 12/25/2034 (f)
|
138
|
131
|
|
Series 2005-A2, Class A1, 5.11%, 2/25/2035 (f)
|
305
|
278
|
|
MFA Trust Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (b) (e)
|
15,610
|
15,655
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2004-9, Class 4A, 3.13%, 10/25/2019 (f)
|
44
|
42
|
|
Series 2004-3, Class 4A, 5.65%, 4/25/2034 (f)
|
408
|
403
|
|
MRFC Mortgage Pass-Through Trust
|
|
|
|
Series 2000-TBC2, Class A1, 4.22%, 6/15/2030 (f)
|
208
|
205
|
|
Series 2000-TBC3, Class A1, 4.18%, 12/15/2030 (f)
|
41
|
40
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f)
|
190
|
165
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (b) (e)
|
10,278
|
10,290
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (b) (e)
|
46,200
|
46,407
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
66
|
66
|
|
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
11
|
11
|
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
27
|
27
|
|
Ocwen Loan Investment Trust Series 2024-HB1, Class A, 3.00%, 2/25/2037 ‡ (b)
|
3,404
|
3,365
|
|
P4 SFR Series 2019-STL A, 0.00%, 10/11/2026 ‡
|
31,509
|
31,219
|
|
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (f)
|
16,557
|
15,717
|
|
Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034
|
100
|
100
|
|
PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (b) (e)
|
7,509
|
7,415
|
|
Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 9/25/2029 (b) (e)
|
39,489
|
39,782
|
|
RALI Trust
|
|
|
|
Series 2005-QA6, Class A32, 6.29%, 5/25/2035 (f)
|
577
|
276
|
|
Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037
|
56
|
47
|
|
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (b)
|
20
|
11
|
|
Residential Asset Securitization Trust Series 2003-A8, Class A5, 4.25%, 10/25/2018
|
12
|
12
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2025-1, Class MTU, 3.25%, 11/25/2064
|
65,158
|
55,800
|
|
Series 2025-2, Class MTU, 3.25%, 6/25/2065
|
70,593
|
59,610
|
|
Seasoned Loans Structured Transaction Series 2018-1, Class A1, 3.50%, 6/25/2028
|
5,910
|
5,778
|
|
Sequoia Mortgage Trust
|
|
|
|
Series 2004-8, Class A1, 4.42%, 9/20/2034 (f)
|
258
|
229
|
|
Series 2004-8, Class A2, 4.76%, 9/20/2034 (f)
|
222
|
212
|
|
Series 2004-10, Class A1A, 4.34%, 11/20/2034 (f)
|
100
|
96
|
|
Series 2004-11, Class A1, 4.32%, 12/20/2034 (f)
|
116
|
108
|
|
Series 2004-12, Class A3, 4.37%, 1/20/2035 (f)
|
160
|
159
|
|
Starwoood Anoo, 0.00%, 1/16/2027 ‡ (b)
|
17,623
|
17,558
|
|
Structured Asset Mortgage Investments II Trust
|
|
|
|
Series 2004-AR5, Class 1A1, 4.39%, 10/19/2034 (f)
|
218
|
212
|
|
Series 2005-AR5, Class A3, 4.23%, 7/19/2035 (f)
|
701
|
679
|
|
Structured Asset Securities Corp.
|
|
|
|
Series 2004-4XS, Class 1A5, 5.99%, 2/25/2034 (e)
|
601
|
588
|
|
Series 2005-RF3, Class 1A, 4.05%, 6/25/2035 (b) (f)
|
274
|
237
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-34A, Class 3A3, 5.24%, 11/25/2033 (f)
|
42
|
42
|
|
Series 2003-37A, Class 2A, 5.05%, 12/25/2033 (f)
|
277
|
273
|
|
Thornburg Mortgage Securities Trust
|
|
|
|
Series 2003-4, Class A1, 4.34%, 9/25/2043 (f)
|
560
|
554
|
|
Series 2004-4, Class 3A, 5.27%, 12/25/2044 (f)
|
347
|
345
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (b) (e)
|
3,475
|
3,450
|
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f)
|
84,254
|
75,291
|
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (b)
|
10,000
|
8,343
|
|
United Mortgage Mezz, 0.00%, 2/18/2027 ‡
|
3,900
|
3,900
|
|
Vendee Mortgage Trust
|
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
11
|
11
|
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
53
|
53
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
85
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2010-1, Class DZ, 4.25%, 4/15/2040
|
2,951
|
2,831
|
|
WaMu Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-S4, Class 2A10, IF, 7.29%, 6/25/2033 (f)
|
19
|
18
|
|
Series 2004-RS2, Class A4, 5.00%, 11/25/2033
|
98
|
97
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-S1, Class A5, 5.50%, 4/25/2033
|
134
|
136
|
|
Series 2003-AR7, Class A7, 5.61%, 8/25/2033 (f)
|
150
|
147
|
|
Series 2003-AR9, Class 1A6, 5.28%, 9/25/2033 (f)
|
941
|
930
|
|
Series 2003-AR9, Class 2A, 5.68%, 9/25/2033 (f)
|
80
|
79
|
|
Series 2003-S9, Class P, PO, 10/25/2033
|
8
|
7
|
|
Series 2003-S9, Class A8, 5.25%, 10/25/2033
|
728
|
721
|
|
Series 2003-AR11, Class A6, 5.66%, 10/25/2033 (f)
|
368
|
344
|
|
Series 2004-AR3, Class A1, 4.90%, 6/25/2034 (f)
|
216
|
207
|
|
Series 2004-AR3, Class A2, 4.90%, 6/25/2034 (f)
|
277
|
266
|
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
449
|
440
|
|
Series 2006-AR10, Class 2P, 4.06%, 9/25/2036 (f)
|
32
|
30
|
|
Series 2006-AR8, Class 1A2, 4.46%, 8/25/2046 (f)
|
174
|
165
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
|
|
|
|
Series 2005-1, Class CP, PO, 3/25/2035
|
20
|
14
|
|
Series 2005-1, Class 1A1, 5.50%, 3/25/2035
|
225
|
222
|
|
Series 2005-2, Class 2A3, IF, IO, 1.30%, 4/25/2035 (f)
|
514
|
21
|
|
Series 2005-2, Class 1A4, IF, IO, 1.35%, 4/25/2035 (f)
|
2,189
|
87
|
|
Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
707
|
655
|
|
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035
|
782
|
114
|
|
Series 2005-6, Class 2A4, 5.50%, 8/25/2035
|
116
|
101
|
|
Series 2006-1, Class 3A2, 5.75%, 2/25/2036
|
62
|
59
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class
P, PO, 3/25/2033
|
—
|
—
|
|
Wells Fargo Alternative Loan Trust
|
|
|
|
Series 2003-1, Class A, PO, 9/25/2033
|
7
|
6
|
|
Series 2007-PA3, Class 1A2, 5.75%, 7/25/2037
|
76
|
67
|
|
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037
|
32
|
29
|
|
Total Collateralized Mortgage Obligations
(Cost $2,388,915)
|
|
2,321,851
|
|
Foreign Government Securities — 0.8%
|
||
|
Eagle Funding Luxco SARL 5.50%, 8/17/2030 (b)
|
94,917
|
95,392
|
|
Kingdom of Saudi Arabia 3.45%, 2/2/2061 (b)
|
4,399
|
2,811
|
|
Republic of Chile 2.55%, 1/27/2032
|
9,568
|
8,515
|
|
Republic of Panama 5.23%, 2/23/2034
|
23,875
|
23,678
|
|
Republic of Poland 5.50%, 3/18/2054
|
18,163
|
16,826
|
|
United Mexican States
|
|
|
|
6.00%, 5/13/2030
|
19,624
|
20,242
|
|
2.66%, 5/24/2031
|
20,674
|
18,331
|
|
5.85%, 7/2/2032
|
33,567
|
33,946
|
|
5.63%, 2/9/2034
|
12,894
|
12,675
|
|
3.50%, 2/12/2034
|
6,211
|
5,291
|
|
5.63%, 9/22/2035
|
56,562
|
54,865
|
|
6.00%, 5/7/2036
|
8,056
|
8,017
|
|
6.88%, 5/13/2037
|
29,236
|
30,599
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
6.63%, 1/29/2038
|
22,624
|
23,107
|
|
4.75%, 3/8/2044
|
3,906
|
3,155
|
|
4.60%, 1/23/2046
|
15,089
|
11,673
|
|
4.35%, 1/15/2047
|
4,228
|
3,127
|
|
4.60%, 2/10/2048
|
1,928
|
1,459
|
|
4.40%, 2/12/2052
|
14,965
|
10,687
|
|
6.34%, 5/4/2053
|
4,796
|
4,493
|
|
3.77%, 5/24/2061
|
11,682
|
7,019
|
|
5.75%, 10/12/2110
|
5,118
|
4,175
|
|
Total Foreign Government Securities
(Cost $422,288)
|
|
400,083
|
|
U.S. Government Agency Securities — 0.3%
|
||
|
FFCB Funding Corp.
1.84%, 1/25/2036
|
25,000
|
19,173
|
|
FHLB
|
|
|
|
1.87%, 2/8/2036
|
32,500
|
25,262
|
|
1.93%, 2/11/2036
|
40,000
|
31,041
|
|
Resolution Funding Corp. STRIPS
|
|
|
|
DN, 3.62%, 1/15/2030 (a)
|
30,700
|
26,380
|
|
DN, 3.20%, 4/15/2030 (a)
|
26,456
|
22,480
|
|
Tennessee Valley Authority
|
|
|
|
5.88%, 4/1/2036
|
31,814
|
35,063
|
|
5.50%, 6/15/2038
|
493
|
526
|
|
4.63%, 9/15/2060
|
4,157
|
3,644
|
|
4.25%, 9/15/2065
|
2,604
|
2,112
|
|
Tennessee Valley Authority STRIPS
|
|
|
|
DN, 7.07%, 7/15/2028 (a)
|
3,119
|
2,858
|
|
DN, 4.42%, 12/15/2028 (a)
|
3,500
|
3,152
|
|
DN, 6.19%, 6/15/2035 (a)
|
2,242
|
1,459
|
|
Total U.S. Government Agency Securities
(Cost $182,947)
|
|
173,150
|
|
Municipal Bonds — 0.3% (i)
|
||
|
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
|
2,380
|
2,545
|
|
Regents of the University of California, Medical Center Pooled Series 2020N, Rev.,
3.71%, 5/15/2120
|
21,120
|
13,118
|
|
State of California, Various Purpose, GO, 7.30%, 10/1/2039
|
2,400
|
2,745
|
|
Total California
|
|
18,408
|
|
New York — 0.1%
|
||
|
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series
2010D, Rev., 5.60%, 3/15/2040
|
102
|
102
|
|
Port Authority of New York and New Jersey, Consolidated
|
|
|
|
Series 164, Rev., 5.65%, 11/1/2040
|
10,965
|
11,461
|
|
Series 165, Rev., 5.65%, 11/1/2040
|
3,780
|
3,951
|
|
Series 174, Rev., 4.46%, 10/1/2062
|
17,925
|
14,828
|
|
Total New York
|
|
30,342
|
|
Ohio — 0.0% ^
|
||
|
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev.,
7.50%, 2/15/2050
|
11,170
|
12,861
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Municipal Bonds — continued
|
||
|
Ohio — continued
|
||
|
County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project Series
2020, Rev., 2.88%, 11/1/2050
|
4,675
|
2,985
|
|
Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111
|
9,576
|
7,789
|
|
Ohio University, General Receipts, Federally Taxable Series 2014, Rev., 5.59%, 12/1/2114
|
5,822
|
5,276
|
|
Total Ohio
|
|
28,911
|
|
Oklahoma — 0.1%
|
||
|
Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%,
5/1/2052
|
11,680
|
10,632
|
|
Oklahoma Development Finance Authority, Public Service Co. Series 2022, Rev., 4.62%,
6/1/2044
|
27,500
|
26,376
|
|
Total Oklahoma
|
|
37,008
|
|
Pennsylvania — 0.0% ^
|
||
|
Chester County Health and Education Facilities Authority, Main Line Health System
Series 2020C, Rev., 3.31%, 6/1/2051
|
11,130
|
7,815
|
|
Texas — 0.1%
|
||
|
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds
|
|
|
|
Series 2023A-1, Rev., 5.10%, 4/1/2035
|
10,438
|
10,639
|
|
Series 2023A-2, Rev., 5.17%, 4/1/2041
|
20,730
|
20,819
|
|
Total Texas
|
|
31,458
|
|
Total Municipal Bonds
(Cost $173,648)
|
|
153,942
|
|
Loan Assignments — 0.1% (c) (j)
|
||
|
Consumer Finance — 0.1%
|
||
|
OneSky Loan Trust, 1st Lien Term Loan A, 3.88%, 1/15/2031
(Cost $38,378)
|
38,781
|
37,236
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 1.7%
|
||
|
Investment Companies — 1.7%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.64% (k) (l)
(Cost $916,952)
|
916,899
|
917,082
|
|
Total Investments — 100.1%
(Cost $55,217,219)
|
|
53,000,757
|
|
Liabilities in Excess of Other Assets — (0.1)%
|
|
(47,487
)
|
|
NET ASSETS — 100.0%
|
|
52,953,270
|
|
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
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
DN
|
Discount Notes
|
|
FFCB
|
Federal Farm Credit Bank
|
|
FHLB
|
Federal Home Loan Bank
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
FRN
|
Floating Rate Note
|
|
GNMA
|
Government National Mortgage Association
|
|
GO
|
General Obligation
|
|
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
|
|
Re-REMIC
|
Combined 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
|
|
^
|
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 $7,315 or 0.01% of the Fund’s net assets
as of May 31, 2026.
|
|
|
(e)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
|
(f)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2026.
|
|
|
(g)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(h)
|
Value is zero.
|
|
|
(i)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
|
(j)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(k)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(l)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury Long Bond
|
9,574
|
09/21/2026
|
USD
|
1,076,177
|
21,989
|
|
U.S. Treasury Ultra Bond
|
3,322
|
09/21/2026
|
USD
|
380,784
|
8,454
|
|
U.S. Treasury 2 Year Note
|
20,383
|
09/30/2026
|
USD
|
4,211,637
|
7,991
|
|
U.S. Treasury 5 Year Note
|
22,458
|
09/30/2026
|
USD
|
2,409,147
|
15,206
|
|
|
|
|
|
|
53,640
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(11,678
)
|
09/21/2026
|
USD
|
(1,283,303
)
|
(11,370
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(11,958
)
|
09/21/2026
|
USD
|
(1,341,725
)
|
(18,375
)
|
|
|
|
|
|
|
(29,745
)
|
|
|
|
|
|
|
23,895
|
|
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
|
$—
|
$3,645,627
|
$2,004,828
|
$5,650,455
|
|
Collateralized Mortgage Obligations
|
—
|
1,968,247
|
353,604
|
2,321,851
|
|
Commercial Mortgage-Backed Securities
|
—
|
2,397,034
|
151,869
|
2,548,903
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
298,601
|
—
|
298,601
|
|
Automobiles
|
—
|
38,672
|
—
|
38,672
|
|
Banks
|
—
|
3,774,833
|
—
|
3,774,833
|
|
Beverages
|
—
|
72,152
|
—
|
72,152
|
|
Biotechnology
|
—
|
234,911
|
—
|
234,911
|
|
Broadline Retail
|
—
|
69,303
|
—
|
69,303
|
|
Building Products
|
—
|
21,495
|
—
|
21,495
|
|
Capital Markets
|
—
|
1,174,897
|
—
|
1,174,897
|
|
Chemicals
|
—
|
56,849
|
—
|
56,849
|
|
Commercial Services & Supplies
|
—
|
59,352
|
—
|
59,352
|
|
Construction & Engineering
|
—
|
43,544
|
—
|
43,544
|
|
Construction Materials
|
—
|
5,586
|
—
|
5,586
|
|
Consumer Finance
|
—
|
419,351
|
—
|
419,351
|
|
Consumer Staples Distribution & Retail
|
—
|
35,524
|
—
|
35,524
|
|
Containers & Packaging
|
—
|
26,933
|
—
|
26,933
|
|
Diversified
|
—
|
—
|
173,797
|
173,797
|
|
Diversified Consumer Services
|
—
|
23,378
|
—
|
23,378
|
|
Diversified REITs
|
—
|
64,807
|
—
|
64,807
|
|
Diversified Telecommunication Services
|
—
|
262,685
|
—
|
262,685
|
|
Electric Utilities
|
—
|
1,342,205
|
—
|
1,342,205
|
|
Electronic Equipment, Instruments & Components
|
—
|
39,909
|
—
|
39,909
|
|
Energy Equipment & Services
|
—
|
25,687
|
—
|
25,687
|
|
Financial Services
|
—
|
244,395
|
546,181
|
790,576
|
|
Food Products
|
—
|
258,984
|
—
|
258,984
|
|
Gas Utilities
|
—
|
39,560
|
—
|
39,560
|
|
Ground Transportation
|
—
|
40,897
|
—
|
40,897
|
|
Health Care Equipment & Supplies
|
—
|
38,708
|
—
|
38,708
|
|
Health Care Providers & Services
|
—
|
524,917
|
174,933
|
699,850
|
|
Health Care REITs
|
—
|
31,200
|
—
|
31,200
|
|
Independent Power and Renewable Electricity Producers
|
—
|
106,821
|
—
|
106,821
|
|
Industrial REITs
|
—
|
19,811
|
—
|
19,811
|
|
Insurance
|
—
|
316,758
|
—
|
316,758
|
|
Interactive Media & Services
|
—
|
223,675
|
—
|
223,675
|
|
IT Services
|
—
|
31,931
|
—
|
31,931
|
|
Life Sciences Tools & Services
|
—
|
13,161
|
—
|
13,161
|
|
Machinery
|
—
|
6,603
|
—
|
6,603
|
|
Media
|
—
|
92,793
|
—
|
92,793
|
|
Metals & Mining
|
—
|
113,999
|
—
|
113,999
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
—
|
60,000
|
60,000
|
|
Multi-Utilities
|
—
|
189,928
|
—
|
189,928
|
|
Office REITs
|
—
|
9,379
|
—
|
9,379
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Oil, Gas & Consumable Fuels
|
$—
|
$555,389
|
$—
|
$555,389
|
|
Passenger Airlines
|
—
|
14,126
|
—
|
14,126
|
|
Pharmaceuticals
|
—
|
169,459
|
—
|
169,459
|
|
Real Estate Management & Development
|
—
|
6,537
|
—
|
6,537
|
|
Residential REITs
|
—
|
38,653
|
—
|
38,653
|
|
Retail REITs
|
—
|
32,397
|
—
|
32,397
|
|
Semiconductors & Semiconductor Equipment
|
—
|
229,122
|
—
|
229,122
|
|
Software
|
—
|
245,860
|
—
|
245,860
|
|
Specialized REITs
|
—
|
82,836
|
—
|
82,836
|
|
Specialty Retail
|
—
|
15,291
|
—
|
15,291
|
|
Technology Hardware, Storage & Peripherals
|
—
|
130,453
|
—
|
130,453
|
|
Tobacco
|
—
|
43,942
|
—
|
43,942
|
|
Trading Companies & Distributors
|
—
|
33,862
|
—
|
33,862
|
|
Water Utilities
|
—
|
3,771
|
—
|
3,771
|
|
Wireless Telecommunication Services
|
—
|
71,770
|
—
|
71,770
|
|
Total Corporate Bonds
|
—
|
12,067,662
|
954,911
|
13,022,573
|
|
Foreign Government Securities
|
—
|
400,083
|
—
|
400,083
|
|
Loan Assignments
|
—
|
37,236
|
—
|
37,236
|
|
Mortgage-Backed Securities
|
—
|
10,192,362
|
—
|
10,192,362
|
|
Municipal Bonds
|
—
|
153,942
|
—
|
153,942
|
|
U.S. Government Agency Securities
|
—
|
173,150
|
—
|
173,150
|
|
U.S. Treasury Obligations
|
—
|
17,583,120
|
—
|
17,583,120
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
917,082
|
—
|
—
|
917,082
|
|
Total Investments in Securities
|
$917,082
|
$48,618,463
|
$3,465,212
|
$53,000,757
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$53,640
|
$—
|
$—
|
$53,640
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$(29,745
)
|
$—
|
$—
|
$(29,745
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$23,895
|
$—
|
$—
|
$23,895
|
|
|
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
|
$1,762,352
|
$1,969
|
$(18,915
)
|
$143
|
$368,163
|
$(100,814
)
|
$59,164
|
$(67,234
)
|
$—
|
$2,004,828
|
|
Collateralized Mortgage Obligations
|
278,007
|
—
|
(1,500
)
|
26
|
118,004
|
(56,191
)
|
—
|
(37,543
)
|
52,801
|
353,604
|
|
Commercial Mortgage-Backed
Securities
|
213,844
|
—
|
345
|
52
|
11,831
|
(21,402
)
|
—
|
—
|
(52,801
)
|
151,869
|
|
Corporate Bonds
|
753,230
|
—
(b)
|
(922
)
|
(142
)
|
237,202
|
(34,457
)
|
—
|
—
|
—
|
954,911
|
|
Total
|
$3,007,433
|
$1,969
|
$(20,992
)
|
$79
|
$735,200
|
$(212,864
)
|
$59,164
|
$(104,777
)
|
$—
|
$3,465,212
|
|
|
|||||||||
|
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 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)
|
|
|
$546,001
|
Discounted Cash Flow
|
Constant Default Rate
|
0.00% - 40.42% (0.14%)
|
|
|
|
|
Constant Prepayment Rate
|
0.00% - 5.00% (0.28%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.31% - 19.05% (6.72%)
|
|
Asset-Backed Securities
|
546,001
|
|
|
|
|
|
30,696
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (33.73%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.08% - 8.07% (6.89%)
|
|
Collateralized Mortgage Obligations
|
30,696
|
|
|
|
|
|
106,454
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
5.35% - 5.60% (5.01%)
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed
Securities
|
106,454
|
|
|
|
|
|
734,629
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
7.14% - 13.00% (9.04%)
|
|
|
|
|
|
|
|
Corporate Bonds
|
734,629
|
|
|
|
|
Total
|
$1,417,780
|
|
|
|
|
#
|
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 $2,047,432. 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)
|
$1,070,292
|
$2,965,478
|
$3,118,436
|
$(165
)
|
$(87
)
|
$917,082
|
916,899
|
$7,048
|
$—
|
|
|
|
|
(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.
|