|
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
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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)
|
|
Asset-Backed Securities — 26.2%
|
||
|
Accelerated LLC Series 2021-1H, Class A, 1.35%, 10/20/2040 (a)
|
469
|
437
|
|
ACHD Trust Series 2025-DS1, Class A, 5.98%, 1/9/2034 (a)
|
1,200
|
1,202
|
|
ACHM Trust Series 2025-HE3, Class A, 5.20%, 11/25/2055 (a) (b)
|
11,387
|
11,260
|
|
Ally Auto Receivables Trust Series 2024-1, Class A3, 5.08%, 12/15/2028
|
3,599
|
3,615
|
|
Ally Bank Auto Credit-Linked Notes Series 2025-B, Class B, 4.50%, 9/15/2033 (a)
|
4,026
|
4,019
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2025-1, Class B, 4.90%, 3/12/2029 (a)
|
10,625
|
10,637
|
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (a)
|
2,546
|
2,565
|
|
Series 2026-1, Class A, 4.16%, 7/12/2029 (a)
|
5,222
|
5,222
|
|
Series 2023-2, Class D, 6.47%, 8/13/2029 (a)
|
3,589
|
3,619
|
|
Series 2025-3, Class B, 4.75%, 9/12/2029 (a)
|
5,000
|
5,014
|
|
Series 2024-2, Class C, 6.24%, 4/12/2030 (a)
|
6,761
|
6,796
|
|
Series 2024-4, Class C, 4.91%, 8/12/2031 (a)
|
7,700
|
7,718
|
|
Series 2025-1, Class C, 5.09%, 8/12/2031 (a)
|
11,470
|
11,527
|
|
Series 2024-4, Class D, 5.34%, 8/12/2031 (a)
|
2,561
|
2,579
|
|
Series 2026-2, Class C, 4.85%, 5/10/2032 (a)
|
24,037
|
23,969
|
|
Series 2025-3, Class C, 4.95%, 7/12/2032 (a)
|
5,416
|
5,428
|
|
Series 2026-1, Class C, 4.55%, 1/12/2033 (a)
|
25,068
|
24,929
|
|
Series 2026-1, Class D, 5.10%, 1/12/2033 (a)
|
3,510
|
3,487
|
|
AMSR Trust
|
|
|
|
Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (a)
|
8,230
|
7,744
|
|
Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a)
|
11,422
|
11,293
|
|
Series 2021-SFR3, Class B, 1.73%, 10/17/2038 (a)
|
7,207
|
7,117
|
|
Series 2022-SFR1, Class C, 3.74%, 3/17/2039 (a)
|
5,500
|
5,428
|
|
Series 2022-SFR3, Class C, 4.00%, 10/17/2039 (a)
|
2,000
|
1,963
|
|
Series 2025-SFR2, Class A, 4.28%, 11/17/2042 (a)
|
9,995
|
9,701
|
|
Series 2026-SFR1, Class A, 3.78%, 4/17/2043 (a)
|
30,977
|
29,231
|
|
Amur Equipment Finance Receivables LLC
|
|
|
|
Series 2022-2A, Class B, 5.65%, 10/20/2028 (a)
|
1,600
|
1,603
|
|
Series 2023-1A, Class A2, 6.09%, 12/20/2029 (a)
|
751
|
755
|
|
Series 2024-1A, Class A2, 5.38%, 1/21/2031 (a)
|
2,111
|
2,125
|
|
Ansley Park Capital LLC Series 2025-A, Class A2, 4.43%, 4/20/2035 (a)
|
22,016
|
21,923
|
|
Aqua Finance Issuer Trust
|
|
|
|
Series 2025-A, Class A, 5.25%, 12/19/2050 (a)
|
16,680
|
16,749
|
|
Series 2026-A, Class A, 4.76%, 4/17/2051 (a)
|
17,426
|
17,286
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class A, 3.14%, 7/16/2040 (a)
|
680
|
660
|
|
Series 2021-A, Class A, 1.54%, 7/17/2046 (a)
|
666
|
608
|
|
Series 2020-AA, Class A, 1.90%, 7/17/2046 (a)
|
297
|
280
|
|
ARI Fleet Lease Trust
|
|
|
|
Series 2025-A, Class A2, 4.38%, 1/17/2034 (a)
|
4,553
|
4,557
|
|
Series 2025-A, Class A3, 4.46%, 1/17/2034 (a)
|
6,000
|
6,008
|
|
Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a)
|
225
|
226
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2021-2A, Class A, 1.66%, 2/20/2028 (a)
|
11,899
|
11,742
|
|
Series 2023-3A, Class A, 5.44%, 2/22/2028 (a)
|
14,000
|
14,084
|
|
Series 2022-1A, Class B, 4.30%, 8/21/2028 (a)
|
3,000
|
2,988
|
|
Series 2023-6A, Class C, 7.03%, 12/20/2029 (a)
|
6,250
|
6,444
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-1A, Class B, 5.85%, 6/20/2030 (a)
|
5,750
|
5,874
|
|
Series 2024-1A, Class C, 6.48%, 6/20/2030 (a)
|
2,000
|
2,058
|
|
Bain Capital Credit CLO (Cayman Islands) Series 2018-2A, Class BR, 5.23%, 7/19/2031 (a) (b)
|
250
|
250
|
|
Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class A, 4.71%, 12/26/2031 (a) (b)
|
2,657
|
2,659
|
|
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class C, 5.83%, 12/15/2028 (a)
|
1,029
|
1,037
|
|
BDS LLC Series 2026-FL17, Class A, 5.00%, 5/19/2043 (a) (b)
|
12,807
|
12,810
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 5.97%, 6/25/2043 (b)
|
82
|
81
|
|
BOF Funding Trust
|
|
|
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Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a)
|
600
|
599
|
|
Series 2023-CAR3, Class A2, 6.29%, 7/26/2032 (a)
|
3,012
|
3,053
|
|
BofA Auto Trust
|
|
|
|
Series 2024-1A, Class A3, 5.35%, 11/15/2028 (a)
|
3,770
|
3,794
|
|
Series 2024-1A, Class A4, 5.31%, 6/17/2030 (a)
|
4,260
|
4,312
|
|
BRAVO Residential Funding Trust Series 2026-CES1, Class A1A, 5.25%, 4/25/2056 (a) (c)
|
35,753
|
35,698
|
|
Bridge Trust Series 2025-SFR1, Class A, 4.05%, 9/17/2042 (a)
|
10,471
|
10,025
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-1, Class B, 5.43%, 8/15/2028
|
211
|
211
|
|
Series 2024-1, Class C, 5.65%, 4/16/2029
|
6,750
|
6,785
|
|
Series 2024-3, Class C, 5.70%, 7/16/2029
|
10,434
|
10,513
|
|
Series 2023-1, Class C, 7.10%, 8/15/2029
|
5,891
|
5,947
|
|
Series 2024-2, Class B, 5.94%, 2/15/2030
|
921
|
924
|
|
Series 2024-2, Class C, 6.07%, 2/15/2030
|
10,360
|
10,496
|
|
Series 2024-4, Class B, 4.77%, 8/15/2030
|
4,000
|
4,011
|
|
Series 2024-4, Class C, 4.83%, 8/15/2030
|
6,440
|
6,461
|
|
Series 2025-1, Class D, 5.64%, 11/15/2030
|
6,750
|
6,819
|
|
Series 2025-2, Class D, 5.62%, 3/17/2031
|
2,000
|
2,024
|
|
Series 2025-4, Class B, 4.30%, 8/15/2031
|
2,855
|
2,842
|
|
Series 2025-4, Class C, 4.80%, 8/15/2031
|
2,485
|
2,483
|
|
Series 2026-2, Class B, 4.56%, 2/17/2032
|
3,902
|
3,895
|
|
Series 2026-2, Class C, 4.88%, 2/17/2032
|
6,370
|
6,359
|
|
Series 2026-2, Class D, 5.19%, 2/17/2032
|
1,571
|
1,564
|
|
Business Jet Securities LLC
|
|
|
|
Series 2024-1A, Class A, 6.20%, 5/15/2039 ‡ (a)
|
8,887
|
8,984
|
|
Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (a)
|
16,543
|
16,492
|
|
BXMT Ltd. Series 2021-FL4, Class A, 5.04%, 5/15/2038 (a) (b)
|
2,490
|
2,489
|
|
Carlyle US CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2021-9A, Class AR, 4.79%, 10/20/2034 (a) (b)
|
18,500
|
18,524
|
|
Series 2022-1A, Class A1R, 4.65%, 4/15/2035 (a) (b)
|
19,000
|
18,999
|
|
Carmax Auto Owner Trust
|
|
|
|
Series 2025-1, Class A3, 4.84%, 1/15/2030
|
11,000
|
11,080
|
|
Series 2025-2, Class A3, 4.48%, 3/15/2030
|
6,890
|
6,915
|
|
CarVal CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-1A, Class AR, 4.91%, 7/16/2031 (a) (b)
|
5,262
|
5,262
|
|
Series 2019-2A, Class AR2, 4.67%, 7/20/2032 (a) (b)
|
7,683
|
7,685
|
|
CarVal CLO VC Ltd. (Cayman Islands) Series 2021-2A, Class A, 5.13%, 10/15/2034 (a) (b)
|
1,105
|
1,105
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2022-P2, Class B, 5.08%, 4/10/2028
|
4,175
|
4,192
|
|
Series 2023-P3, Class A3, 5.82%, 8/10/2028 (a)
|
820
|
823
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-N4, Class B, 1.24%, 9/11/2028
|
405
|
396
|
|
Series 2021-N4, Class C, 1.72%, 9/11/2028
|
441
|
432
|
|
Series 2023-P1, Class A4, 5.94%, 1/10/2029 (a)
|
2,912
|
2,938
|
|
Series 2025-P4, Class A2, 4.19%, 3/12/2029
|
26,219
|
26,218
|
|
Series 2024-P1, Class A3, 5.05%, 4/10/2029 (a)
|
5,668
|
5,683
|
|
Series 2024-P2, Class A3, 5.33%, 7/10/2029
|
4,764
|
4,792
|
|
Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a)
|
1,750
|
1,777
|
|
Series 2024-P3, Class A3, 4.26%, 10/10/2029
|
8,843
|
8,846
|
|
Series 2024-P4, Class A3, 4.64%, 1/10/2030
|
5,475
|
5,492
|
|
Series 2023-P5, Class C, 6.55%, 2/11/2030 (a)
|
224
|
233
|
|
Series 2024-P1, Class A4, 5.08%, 3/11/2030 (a)
|
3,250
|
3,283
|
|
Series 2024-P1, Class B, 5.37%, 5/10/2030 (a)
|
5,700
|
5,795
|
|
Series 2024-N1, Class B, 5.63%, 5/10/2030 (a)
|
13,853
|
13,920
|
|
Series 2024-P2, Class B, 5.38%, 8/12/2030
|
8,186
|
8,299
|
|
Series 2024-P3, Class A4, 4.31%, 9/10/2030
|
1,000
|
996
|
|
Series 2024-N2, Class D, 6.44%, 9/10/2030 (a)
|
1,500
|
1,532
|
|
Series 2024-N3, Class B, 4.67%, 12/10/2030 (a)
|
13,500
|
13,521
|
|
Series 2024-P4, Class A4, 4.74%, 12/10/2030
|
5,000
|
5,016
|
|
CFMT LLC Series 2022-HB9, Class A, 3.25%, 9/25/2037 ‡ (a) (b)
|
2,199
|
2,175
|
|
Cherry Securitization Trust Series 2024-1A, Class A, 5.70%, 4/15/2032 (a)
|
12,115
|
12,153
|
|
Clarus Capital Funding LLC Series 2024-1A, Class A2, 4.71%, 8/20/2032 (a)
|
3,003
|
3,008
|
|
Consumer Portfolio Services Auto Trust
|
|
|
|
Series 2025-B, Class B, 4.79%, 11/15/2029 (a)
|
7,600
|
7,628
|
|
Series 2025-B, Class C, 5.12%, 7/15/2031 (a)
|
3,500
|
3,521
|
|
Series 2025-D, Class C, 4.85%, 2/17/2032 (a)
|
3,250
|
3,246
|
|
CoreVest American Finance Trust Series 2020-3, Class A, 1.36%, 8/15/2053 (a)
|
40
|
40
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2022-A, Class D, 2.84%, 4/16/2029 (a)
|
572
|
571
|
|
Series 2023-A, Class D, 6.44%, 4/16/2029 (a)
|
2,079
|
2,106
|
|
Series 2022-C, Class D, 6.45%, 4/15/2030 (a)
|
2,859
|
2,878
|
|
Series 2026-B, Class B, 4.59%, 12/16/2030 (a)
|
9,034
|
9,013
|
|
Series 2026-B, Class C, 4.93%, 7/15/2032 (a)
|
8,000
|
7,993
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (a)
|
940
|
942
|
|
Series 2023-2A, Class B, 6.61%, 7/15/2033 (a)
|
2,675
|
2,679
|
|
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a)
|
7,000
|
7,068
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
|
180
|
180
|
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a)
|
1,350
|
1,360
|
|
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a)
|
5,952
|
6,072
|
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
4,000
|
4,048
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (a)
|
10,910
|
10,945
|
|
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a)
|
8,892
|
9,104
|
|
Series 2024-2A, Class A, 5.95%, 6/15/2034 (a)
|
7,714
|
7,778
|
|
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a)
|
15,450
|
15,700
|
|
Series 2024-2A, Class B, 6.11%, 8/15/2034 (a)
|
8,000
|
8,136
|
|
Series 2024-3A, Class A, 4.68%, 9/15/2034 (a)
|
9,381
|
9,398
|
|
Series 2024-2A, Class C, 6.70%, 10/16/2034 (a)
|
5,000
|
5,140
|
|
Series 2024-3A, Class B, 4.85%, 11/15/2034 (a)
|
9,343
|
9,345
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-3A, Class C, 5.39%, 1/16/2035 (a)
|
4,000
|
4,017
|
|
Series 2025-1A, Class A, 5.02%, 3/15/2035 (a)
|
16,800
|
16,868
|
|
Series 2025-1A, Class C, 5.71%, 7/16/2035 (a)
|
6,615
|
6,661
|
|
Series 2025-2A, Class A, 4.50%, 11/15/2035 (a)
|
24,100
|
24,024
|
|
Series 2026-1A, Class B, 4.96%, 6/16/2036 (a)
|
9,900
|
9,838
|
|
Series 2026-1A, Class C, 5.28%, 8/15/2036 (a)
|
5,555
|
5,519
|
|
Crossroads Asset Trust
|
|
|
|
Series 2024-A, Class A2, 5.90%, 8/20/2030 (a)
|
2,366
|
2,384
|
|
Series 2024-A, Class B, 5.94%, 8/20/2030 (a)
|
3,945
|
4,008
|
|
Series 2025-A, Class A2, 4.91%, 2/20/2032 (a)
|
2,322
|
2,334
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.60%, 10/25/2034 (b)
|
19
|
18
|
|
Dec 6.02%, 3/13/2030 ‡ (a)
|
10,000
|
10,000
|
|
Deephaven Residential Mortgage Trust Series 2026-CES1, Class A1A, 5.31%, 3/25/2061 (a) (c)
|
15,681
|
15,620
|
|
Dell Equipment Finance Trust Series 2025-1, Class A3, 4.61%, 2/24/2031 (a)
|
3,250
|
3,265
|
|
Dext ABS LLC Series 2025-1, Class A3, 4.77%, 8/15/2035 (a)
|
13,625
|
13,697
|
|
DLLAA LLC Series 2025-1A, Class A3, 4.95%, 9/20/2029 (a)
|
7,800
|
7,869
|
|
Drive Auto Receivables Trust
|
|
|
|
Series 2024-1, Class B, 5.31%, 1/16/2029
|
1,708
|
1,712
|
|
Series 2024-2, Class B, 4.52%, 7/16/2029
|
20,728
|
20,762
|
|
Series 2024-1, Class C, 5.43%, 11/17/2031
|
7,142
|
7,225
|
|
Series 2024-2, Class C, 4.67%, 5/17/2032
|
10,137
|
10,180
|
|
Series 2025-2, Class C, 4.39%, 9/15/2032
|
5,830
|
5,789
|
|
Series 2025-1, Class C, 4.99%, 9/15/2032
|
7,000
|
7,040
|
|
Series 2025-1, Class D, 5.41%, 9/15/2032
|
3,800
|
3,826
|
|
Dryden CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2019-72A, Class ARR, 4.75%, 5/15/2032 (a) (b)
|
6,457
|
6,457
|
|
Series 2020-86A, Class A1R2, 4.81%, 7/17/2034 (a) (b)
|
10,000
|
10,009
|
|
Series 2019-68A, Class ARR, 4.77%, 7/15/2035 (a) (b)
|
2,000
|
2,000
|
|
DT Auto Owner Trust
|
|
|
|
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a)
|
1,956
|
1,975
|
|
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a)
|
4,625
|
4,654
|
|
EFMT Series 2025-CES1, Class A1A, 5.73%, 1/25/2060 (a) (c)
|
7,437
|
7,483
|
|
EJ Hugoton 5.39%, 10/10/2041 ‡
|
15,000
|
15,000
|
|
Elara Hgv Timeshare Issuer LLC Series 2025-A, Class A, 4.54%, 1/25/2040 (a)
|
6,247
|
6,191
|
|
Elara HGV Timeshare Issuer LLC
|
|
|
|
Series 2021-A, Class A, 1.36%, 8/27/2035 (a)
|
240
|
231
|
|
Series 2021-A, Class B, 1.74%, 8/27/2035 (a)
|
329
|
315
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2023-3A, Class C, 6.21%, 6/15/2028
|
651
|
652
|
|
Series 2023-5A, Class C, 6.85%, 1/16/2029
|
6,616
|
6,676
|
|
Series 2022-6A, Class D, 8.03%, 4/6/2029
|
6,834
|
6,939
|
|
Series 2024-2A, Class C, 5.74%, 5/15/2029
|
10,659
|
10,715
|
|
Series 2025-1A, Class B, 4.91%, 8/15/2029
|
3,164
|
3,177
|
|
Series 2023-5A, Class D, 7.13%, 2/15/2030
|
3,300
|
3,395
|
|
Series 2026-2A, Class B, 4.66%, 1/15/2031
|
13,777
|
13,770
|
|
Series 2025-4A, Class C, 4.57%, 6/16/2031
|
3,425
|
3,413
|
|
Series 2025-2A, Class D, 5.89%, 7/15/2031
|
13,155
|
13,408
|
|
Series 2025-3A, Class C, 5.09%, 10/15/2031
|
6,250
|
6,291
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-3A, Class D, 5.57%, 10/15/2031
|
5,000
|
5,043
|
|
Series 2025-4A, Class D, 5.23%, 1/15/2032
|
6,460
|
6,459
|
|
Series 2025-5A, Class C, 4.68%, 3/15/2032
|
5,730
|
5,709
|
|
Series 2025-5A, Class D, 5.16%, 3/15/2032
|
975
|
975
|
|
Series 2026-2A, Class C, 4.91%, 8/16/2032
|
6,665
|
6,645
|
|
Exeter Select Automobile Receivables Trust Series 2025-3, Class B, 4.42%, 3/15/2032
|
1,365
|
1,356
|
|
FHF Issuer Trust Series 2024-3A, Class A2, 4.94%, 11/15/2030 (a)
|
13,632
|
13,601
|
|
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a)
|
644
|
646
|
|
FIGRE Trust Series 2025-HE6, Class A, 5.04%, 9/25/2055 (a) (b)
|
7,662
|
7,587
|
|
First Investors Auto Owner Trust Series 2023-1A, Class B, 6.55%, 12/17/2029 (a)
|
5,685
|
5,752
|
|
FirstKey Homes Trust
|
|
|
|
Series 2021-SFR1, Class B, 1.79%, 8/17/2038 (a)
|
5,165
|
5,130
|
|
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (a)
|
4,000
|
3,972
|
|
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (a)
|
13,000
|
12,911
|
|
Series 2021-SFR3, Class A, 2.14%, 12/17/2038 (a)
|
14,895
|
14,692
|
|
Series 2022-SFR1, Class B, 4.49%, 5/19/2039 (a)
|
5,000
|
4,972
|
|
Series 2022-SFR1, Class C, 4.64%, 5/19/2039 (a)
|
7,000
|
6,960
|
|
Series 2022-SFR2, Class B, 4.50%, 7/17/2039 (a)
|
8,337
|
8,278
|
|
Foundation Finance Trust
|
|
|
|
Series 2021-1A, Class A, 1.27%, 5/15/2041 (a)
|
4,373
|
4,174
|
|
Series 2025-1A, Class A, 4.95%, 4/15/2050 (a)
|
8,844
|
8,837
|
|
Series 2025-2A, Class A, 4.67%, 4/15/2052 (a)
|
1,971
|
1,962
|
|
Series 2025-3A, Class A, 4.56%, 8/15/2052 (a)
|
9,885
|
9,773
|
|
FRTKL
|
|
|
|
Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a)
|
4,050
|
4,008
|
|
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a)
|
4,960
|
4,909
|
|
Series 2021-SFR1, Class C, 1.92%, 9/17/2038 (a)
|
5,000
|
4,948
|
|
Galaxy CLO Ltd. (Cayman Islands) Series 2022-30A, Class XR, 4.77%, 1/15/2038 (a) (b)
|
937
|
937
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2025-2A, Class B, 4.97%, 10/15/2029 (a)
|
5,000
|
5,032
|
|
Series 2024-1A, Class C, 5.64%, 12/17/2029 (a)
|
4,925
|
4,958
|
|
Series 2025-4A, Class B, 4.53%, 4/15/2030 (a)
|
9,855
|
9,846
|
|
Series 2026-1A, Class B, 4.22%, 8/17/2030 (a)
|
10,500
|
10,427
|
|
Series 2026-2A, Class B, 4.63%, 9/16/2030 (a)
|
23,000
|
22,982
|
|
Series 2025-2A, Class C, 5.11%, 1/15/2031 (a)
|
11,500
|
11,553
|
|
Series 2025-2A, Class D, 5.59%, 1/15/2031 (a)
|
8,750
|
8,843
|
|
GLS Auto Select Receivables Trust
|
|
|
|
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a)
|
1,602
|
1,610
|
|
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a)
|
3,400
|
3,444
|
|
Series 2024-3A, Class A2, 5.59%, 10/15/2029 (a)
|
2,398
|
2,418
|
|
Series 2024-4A, Class A2, 4.43%, 12/17/2029 (a)
|
3,963
|
3,969
|
|
Series 2024-1A, Class A2, 5.24%, 3/15/2030 (a)
|
2,462
|
2,474
|
|
Series 2024-1A, Class B, 5.32%, 3/15/2030 (a)
|
2,000
|
2,019
|
|
Series 2024-1A, Class C, 5.69%, 3/15/2030 (a)
|
973
|
990
|
|
GoldenTree Loan Management US CLO Ltd. (Cayman Islands) Series 2020-8A, Class ARR,
4.83%, 10/20/2034 (a) (b)
|
1,900
|
1,901
|
|
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a)
|
1,892
|
1,862
|
|
GoodLeap Home Improvement Solutions Trust
|
|
|
|
Series 2025-3A, Class A, 5.00%, 10/20/2049 (a)
|
15,132
|
14,974
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2026-1A, Class A, 5.31%, 12/20/2049 (a)
|
14,004
|
13,949
|
|
GreatAmerica Leasing Receivables Funding LLC
|
|
|
|
Series 2025-1, Class A2, 4.52%, 10/15/2027 (a)
|
2,378
|
2,382
|
|
Series 2025-1, Class A3, 4.49%, 4/16/2029 (a)
|
6,616
|
6,627
|
|
Series 2025-1, Class A4, 4.58%, 1/15/2032 (a)
|
5,138
|
5,151
|
|
GreenSky Home Improvement Issuer Trust
|
|
|
|
Series 2024-2, Class A4, 5.15%, 10/27/2059 (a)
|
369
|
370
|
|
Series 2025-1A, Class A2, 5.12%, 3/25/2060 (a)
|
959
|
962
|
|
Series 2025-3A, Class A2, 4.59%, 12/27/2060 (a)
|
14,805
|
14,718
|
|
GreenSky Home Improvement Trust Series 2024-1, Class A2, 5.88%, 6/25/2059 (a)
|
282
|
283
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2025-CES1, Class A1A, 5.57%, 5/25/2055 (a) (c)
|
3,798
|
3,813
|
|
Series 2026-CES1, Class A1, 4.90%, 5/25/2056 (a) (c)
|
7,540
|
7,477
|
|
Series 2026-CES2, Class A1A, 5.23%, 6/25/2056 (a) (c)
|
11,256
|
11,209
|
|
Series 2026-CES3, Class A1A, 5.36%, 9/25/2056 (a) (c)
|
27,691
|
27,691
|
|
Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (a) (b)
|
17,647
|
17,741
|
|
Harley-Davidson Motorcycle Trust
|
|
|
|
Series 2024-A, Class A3, 5.37%, 3/15/2029
|
9,211
|
9,275
|
|
Series 2024-B, Class A3, 4.31%, 7/16/2029
|
7,295
|
7,304
|
|
Hertz Vehicle Financing LLC
|
|
|
|
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
10,600
|
10,684
|
|
Series 2023-2A, Class A, 5.57%, 9/25/2029 (a)
|
7,000
|
7,109
|
|
Series 2025-3A, Class A, 5.06%, 12/26/2029 (a)
|
12,750
|
12,823
|
|
Series 2025-3A, Class B, 5.59%, 12/26/2029 (a)
|
3,000
|
3,008
|
|
Hertz Vehicle Financing LP Series 2021-2A, Class B, 2.12%, 12/27/2027 (a)
|
3,650
|
3,615
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2023-1A, Class A, 5.72%, 1/25/2038 (a)
|
1,019
|
1,032
|
|
Series 2024-2A, Class A, 5.50%, 3/25/2038 (a)
|
882
|
894
|
|
Series 2020-AA, Class A, 2.74%, 2/25/2039 (a)
|
96
|
95
|
|
Series 2024-3A, Class A, 4.98%, 8/27/2040 (a)
|
6,104
|
6,127
|
|
Series 2025-1A, Class A, 4.88%, 5/27/2042 (a)
|
2,239
|
2,241
|
|
Series 2026-1A, Class A, 4.67%, 2/25/2043 (a)
|
7,578
|
7,552
|
|
Series 2026-1A, Class B, 5.01%, 2/25/2043 (a)
|
5,198
|
5,184
|
|
Series 2025-2A, Class A, 4.54%, 5/25/2044 (a)
|
7,611
|
7,591
|
|
Series 2025-3EXT, Class A, 4.56%, 10/25/2044 (a)
|
21,535
|
21,336
|
|
Series 2025-3EXT, Class B, 4.90%, 10/25/2044 (a)
|
5,211
|
5,172
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class A, 1.90%, 12/17/2026 (a)
|
928
|
914
|
|
Series 2021-2, Class B, 2.30%, 12/17/2026 (a)
|
18,228
|
17,973
|
|
Series 2022-1, Class D, 4.73%, 4/17/2039 (a)
|
16,207
|
16,053
|
|
Huntington Bank Auto Credit-Linked Notes
|
|
|
|
Series 2024-1, Class B2, 5.03%, 5/20/2032 (a) (b)
|
6,401
|
6,418
|
|
Series 2024-2, Class B1, 5.44%, 10/20/2032 (a)
|
2,613
|
2,632
|
|
Series 2025-2, Class B1, 4.84%, 9/20/2033 (a)
|
10,045
|
10,039
|
|
Hyundai Auto Lease Securitization Trust
|
|
|
|
Series 2024-A, Class A4, 5.07%, 2/15/2028 (a)
|
3,340
|
3,342
|
|
Series 2026-B, Class A3, 4.21%, 4/16/2029 (a)
|
17,957
|
17,922
|
|
Identity Digital Capital LLC 6.79%, 3/20/2065 ‡
|
15,000
|
14,940
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Invitation Homes Trust Series 2024-SFR1, Class A, 4.00%, 9/17/2041 (a)
|
5,535
|
5,387
|
|
Jamestown CLO Ltd. (Cayman Islands) Series 2021-17A, Class AR, 4.87%, 1/25/2035 (a) (b)
|
11,500
|
11,502
|
|
JBHP 5.39%, 12/15/2041 ‡
|
6,000
|
6,000
|
|
John Deere Owner Trust Series 2024-C, Class A4, 4.15%, 8/15/2031
|
6,830
|
6,805
|
|
KKR Static CLO Ltd. (Cayman Islands) Series 2022-1A, Class AR2, 4.66%, 7/20/2031 (a) (b)
|
5,649
|
5,647
|
|
Lendbuzz Securitization Trust Series 2023-2A, Class A2, 7.09%, 10/16/2028 (a)
|
668
|
674
|
|
Lending Funding Trust Series 2020-2A, Class A, 2.32%, 4/21/2031 (a)
|
6,894
|
6,832
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a)
|
23,461
|
23,036
|
|
Series 2021-2A, Class A, 2.00%, 4/20/2032 (a)
|
11,888
|
11,559
|
|
Series 2024-2A, Class A, 4.47%, 2/21/2034 (a)
|
8,625
|
8,582
|
|
Series 2025-2A, Class A, 4.78%, 10/20/2034 (a)
|
12,101
|
12,070
|
|
Series 2025-3A, Class A, 4.51%, 5/21/2035 (a)
|
13,985
|
13,791
|
|
Series 2025-3A, Class C, 5.04%, 5/21/2035 (a)
|
2,000
|
1,955
|
|
Series 2026-1A, Class A, 4.80%, 11/20/2035 (a)
|
20,272
|
20,165
|
|
Series 2026-1A, Class B, 5.09%, 11/20/2035 (a)
|
4,000
|
3,978
|
|
Liberty 7.25%, 5/14/2031 ‡
|
20,000
|
20,017
|
|
M&T Bank RV Trust Series 2026-1A, Class A, 4.35%, 1/15/2046 (a)
|
18,555
|
18,329
|
|
M&T Equipment Notes Series 2023-1A, Class A3, 5.74%, 7/15/2030 (a)
|
2,364
|
2,371
|
|
Madison Park Funding Ltd. (Cayman Islands) Series 13A, Class AR2, 4.59%, 11/21/2030 (a) (b)
|
7,587
|
7,586
|
|
Magnetite Ltd. (Cayman Islands) Series 2019-23A, Class AR2, 4.66%, 1/25/2035 (a) (b)
|
4,500
|
4,502
|
|
Marble Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class A1R2, 4.71%, 7/23/2032 (a) (b)
|
6,715
|
6,716
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a)
|
11,608
|
11,467
|
|
Series 2024-AA, Class A, 5.13%, 9/22/2036 (a)
|
13,441
|
13,519
|
|
Series 2021-BA, Class A, 2.10%, 11/20/2036 (a)
|
3,400
|
3,332
|
|
Series 2025-AA, Class B, 5.33%, 5/20/2038 (a)
|
1,500
|
1,507
|
|
Series 2025-AA, Class C, 5.69%, 5/20/2038 (a)
|
2,720
|
2,734
|
|
Series 2026-AA, Class A, 5.01%, 5/20/2039 (a)
|
5,123
|
5,137
|
|
Series 2026-AA, Class C, 5.66%, 5/20/2039 (a)
|
9,740
|
9,788
|
|
Merchants Fleet Funding LLC
|
|
|
|
Series 2023-1A, Class A, 7.21%, 5/20/2036 (a)
|
2,459
|
2,472
|
|
Series 2024-1A, Class A, 5.82%, 4/20/2037 (a)
|
13,433
|
13,511
|
|
Series 2025-1A, Class A, 4.49%, 1/20/2039 (a)
|
16,375
|
16,388
|
|
Mercury Financial Credit Card Master Trust Series 2026-1A, Class A, 5.34%, 2/20/2032 (a)
|
30,190
|
30,163
|
|
MVW LLC
|
|
|
|
Series 2020-1A, Class A, 1.74%, 10/20/2037 (a)
|
451
|
449
|
|
Series 2024-2A, Class A, 4.43%, 3/20/2042 (a)
|
5,037
|
5,017
|
|
Series 2026-1A, Class A, 4.67%, 3/20/2043 (a)
|
12,613
|
12,540
|
|
Series 2026-1A, Class B, 4.97%, 3/20/2043 (a)
|
5,912
|
5,886
|
|
Series 2025-2A, Class A, 4.48%, 10/20/2044 (a)
|
15,606
|
15,480
|
|
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2021-41A, Class AR, 4.72%, 4/15/2034 (a) (b)
|
15,000
|
15,016
|
|
Series 2021-42A, Class AR, 4.63%, 7/16/2036 (a) (b)
|
17,250
|
17,226
|
|
New Economy Assets-Phase 1 Sponsor LLC Series 2021-1, Class A1, 1.91%, 10/20/2061 (a)
|
1,816
|
1,514
|
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
10,000
|
10,000
|
|
NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/22/2055 (a)
|
23,317
|
22,681
|
|
NMEF Funding LLC Series 2023-A, Class A2, 6.57%, 6/17/2030 (a)
|
442
|
443
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
1,840
|
1,822
|
|
Octane Receivables Trust
|
|
|
|
Series 2023-1A, Class B, 5.96%, 7/20/2029 (a)
|
1,096
|
1,098
|
|
Series 2022-2A, Class D, 7.70%, 2/20/2030 (a)
|
9,000
|
9,146
|
|
Series 2024-1A, Class A2, 5.68%, 5/20/2030 (a)
|
3,385
|
3,400
|
|
Series 2025-1A, Class A2, 4.25%, 2/20/2031 (a)
|
8,322
|
8,319
|
|
Series 2024-2A, Class B, 5.77%, 7/20/2032 (a)
|
2,000
|
2,023
|
|
Series 2024-2A, Class C, 5.90%, 7/20/2032 (a)
|
2,500
|
2,542
|
|
OnDeck Asset Securitization Trust LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a)
|
5,850
|
5,872
|
|
OneMain Direct Auto Receivables Trust Series 2026-1A, Class A, 4.49%, 12/14/2033 (a)
|
37,000
|
36,660
|
|
Oportun Issuance Trust
|
|
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (a)
|
664
|
654
|
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (a)
|
3,955
|
3,903
|
|
Series 2025-B, Class A, 4.88%, 5/9/2033 (a)
|
5,000
|
5,005
|
|
Series 2025-C, Class B, 4.93%, 7/8/2033 (a)
|
10,500
|
10,462
|
|
Series 2025-C, Class C, 5.18%, 7/8/2033 (a)
|
4,250
|
4,218
|
|
Series 2026-A, Class B, 5.06%, 1/9/2034 (a)
|
11,320
|
11,280
|
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
|
Series 2023-2A, Class A1R, 4.72%, 1/25/2032 (a) (b)
|
6,396
|
6,396
|
|
Series 2025-1A, Class A1, 4.45%, 2/15/2033 (a) (b)
|
16,465
|
16,448
|
|
PEAC Solutions Receivables LLC
|
|
|
|
Series 2024-2A, Class A2, 4.74%, 4/20/2027 (a)
|
1,925
|
1,928
|
|
Series 2024-1A, Class A2, 5.79%, 6/21/2027 (a)
|
3,670
|
3,687
|
|
Series 2026-1A, Class A2, 4.27%, 10/20/2028 (a)
|
5,575
|
5,570
|
|
Series 2025-1A, Class A2, 4.94%, 10/20/2028 (a)
|
12,434
|
12,483
|
|
Series 2024-2A, Class A3, 4.65%, 10/20/2031 (a)
|
3,500
|
3,508
|
|
Series 2025-1A, Class A3, 5.04%, 7/20/2032 (a)
|
5,000
|
5,044
|
|
PFP Ltd. (Cayman Islands)
|
|
|
|
Series 2026-14, Class A, 4.97%, 12/18/2043 (a) (b) (d)
|
9,333
|
9,333
|
|
Series 2026-14, Class AS, 5.30%, 12/18/2043 (a) (b) (d)
|
13,300
|
13,300
|
|
Post Road Equipment Finance LLC
|
|
|
|
Series 2024-1A, Class A2, 5.59%, 11/15/2029 (a)
|
1,314
|
1,316
|
|
Series 2025-1A, Class A2, 4.90%, 5/15/2031 (a)
|
5,689
|
5,720
|
|
Series 2026-1A, Class A2, 4.47%, 1/18/2033 (a)
|
13,545
|
13,540
|
|
Series 2026-1A, Class B, 4.91%, 2/15/2033 (a)
|
2,665
|
2,659
|
|
PowerPay Issuance Trust
|
|
|
|
Series 2024-1A, Class A, 6.53%, 2/18/2039 (a)
|
1,547
|
1,571
|
|
Series 2025-1A, Class A, 5.23%, 11/18/2041 (a)
|
1,422
|
1,416
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a)
|
7,214
|
7,183
|
|
Series 2021-SFR6, Class B, 1.75%, 7/17/2038 (a)
|
17,500
|
17,425
|
|
Series 2021-SFR8, Class B, 1.68%, 10/17/2038 (a)
|
9,000
|
8,898
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a)
|
4,650
|
4,601
|
|
Series 2022-SFR6, Class B, 5.00%, 7/20/2039 (a)
|
4,000
|
3,985
|
|
Series 2021-SFR9, Class B, 2.26%, 11/17/2040 (a)
|
5,000
|
4,697
|
|
Series 2021-SFR10, Class B, 2.72%, 12/17/2040 (a)
|
4,137
|
3,900
|
|
Series 2024-SFR2, Class C, 3.40%, 4/17/2041 (a) (b)
|
14,000
|
13,222
|
|
Series 2024-SFR3, Class C, 3.50%, 6/17/2041 (a)
|
8,500
|
8,025
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-SFR4, Class A, 3.10%, 7/17/2041 (a)
|
30,605
|
29,005
|
|
Series 2024-SFR5, Class A, 3.00%, 8/17/2041 (a)
|
15,535
|
14,656
|
|
Series 2025-SFR2, Class A, 3.31%, 4/17/2042 (a)
|
5,659
|
5,335
|
|
Series 2025-SFR3, Class A, 3.39%, 7/17/2042 (a)
|
19,000
|
17,901
|
|
Series 2025-SFR5, Class A, 3.85%, 10/17/2042 (a)
|
8,966
|
8,576
|
|
Series 2025-SFR6, Class A, 4.00%, 12/17/2042 (a)
|
7,150
|
6,870
|
|
Series 2025-SFR6, Class C, 4.00%, 12/17/2042 (a)
|
8,338
|
7,826
|
|
Series 2026-SFR1, Class A, 3.85%, 2/17/2043 (a)
|
11,484
|
10,923
|
|
Series 2026-SFR2, Class A, 4.24%, 5/17/2043 (a)
|
10,476
|
10,113
|
|
Purchasing Power Funding LLC Series 2026-A, Class A, 4.37%, 8/15/2030 (a)
|
15,360
|
15,239
|
|
Purewest ABS Issuer LLC Series 2025-1, Class A1, 5.69%, 4/5/2040 (a)
|
16,659
|
16,689
|
|
RCKT Mortgage Trust
|
|
|
|
Series 2024-CES7, Class A1A, 5.16%, 10/25/2044 (a) (c)
|
6,538
|
6,531
|
|
Series 2026-CES2, Class A1A, 4.76%, 2/25/2056 (a) (c)
|
26,474
|
26,195
|
|
Series 2026-CES4, Class A1A, 5.12%, 4/25/2056 (a) (c)
|
20,303
|
20,244
|
|
Reach ABS Trust
|
|
|
|
Series 2025-1A, Class A, 4.96%, 8/16/2032 (a)
|
1,552
|
1,554
|
|
Series 2026-1A, Class B, 4.37%, 2/15/2033 (a)
|
8,657
|
8,616
|
|
Series 2026-2A, Class B, 4.81%, 2/15/2035 (a)
|
13,533
|
13,537
|
|
Regional Management Issuance Trust Series 2021-2, Class A, 1.90%, 8/15/2033 (a)
|
8,103
|
7,909
|
|
Republic Finance Issuance Trust Series 2024-B, Class A, 5.42%, 11/20/2037 (a)
|
14,486
|
14,573
|
|
Research-Driven Pagaya Motor Asset Trust
|
|
|
|
Series 2026-1A, Class A3, 4.86%, 1/25/2035 (a)
|
12,533
|
12,454
|
|
Series 2026-2A, Class A2, 4.84%, 2/26/2035 (a)
|
30,750
|
30,772
|
|
Series 2026-2A, Class A3, 5.38%, 2/26/2035 (a)
|
10,000
|
10,015
|
|
Series 2026-3A, Class A2, 4.85%, 3/26/2035 (a)
|
35,154
|
35,150
|
|
Research-Driven Pagaya Motor Trust Series 2025-6A, Class A3, 5.01%, 8/25/2034 (a)
|
5,000
|
4,988
|
|
RKTL Series 2026-1A, Class B, 4.33%, 2/26/2035 (a)
|
10,970
|
10,882
|
|
Santander Bank Auto Credit-Linked Notes
|
|
|
|
Series 2024-A, Class A2, 5.61%, 6/15/2032 (a)
|
1,397
|
1,415
|
|
Series 2024-A, Class B, 5.62%, 6/15/2032 (a)
|
2,027
|
2,047
|
|
Series 2024-A, Class C, 5.82%, 6/15/2032 (a)
|
4,941
|
4,986
|
|
Series 2024-A, Class D, 6.11%, 6/15/2032 (a)
|
1,520
|
1,533
|
|
Series 2023-B, Class D, 6.66%, 12/15/2033 (a)
|
1,105
|
1,119
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2023-4, Class B, 5.77%, 12/15/2028
|
5,423
|
5,453
|
|
Series 2023-6, Class B, 5.98%, 4/16/2029
|
2,392
|
2,411
|
|
Series 2022-3, Class C, 4.49%, 8/15/2029
|
6,201
|
6,205
|
|
Series 2024-4, Class B, 4.93%, 9/17/2029
|
817
|
821
|
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
12,642
|
12,678
|
|
Series 2023-3, Class C, 5.77%, 11/15/2030
|
4,000
|
4,047
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
14,791
|
14,877
|
|
Series 2024-5, Class C, 4.78%, 1/15/2031
|
2,249
|
2,260
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
10,600
|
10,668
|
|
Series 2023-5, Class C, 6.43%, 2/18/2031
|
6,750
|
6,911
|
|
Series 2025-1, Class B, 4.88%, 3/17/2031
|
3,900
|
3,918
|
|
Series 2025-1, Class C, 5.04%, 3/17/2031
|
4,600
|
4,633
|
|
Series 2025-1, Class D, 5.43%, 3/17/2031
|
7,234
|
7,314
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-2, Class B, 4.87%, 5/15/2031
|
8,840
|
8,897
|
|
Series 2025-2, Class D, 5.47%, 5/15/2031
|
3,800
|
3,840
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
4,700
|
4,816
|
|
Series 2024-4, Class D, 5.32%, 12/15/2031
|
3,448
|
3,471
|
|
Series 2023-4, Class C, 6.04%, 12/15/2031
|
14,925
|
15,210
|
|
Series 2025-4, Class C, 4.52%, 1/15/2032
|
5,000
|
4,981
|
|
Series 2026-1, Class C, 4.26%, 4/15/2032
|
4,250
|
4,199
|
|
SBNA Auto Lease Trust
|
|
|
|
Series 2024-B, Class A3, 5.56%, 11/22/2027 (a)
|
588
|
589
|
|
Series 2024-B, Class A4, 5.55%, 12/20/2028 (a)
|
9,000
|
9,042
|
|
Series 2024-A, Class A4, 5.24%, 1/22/2029 (a)
|
1,045
|
1,046
|
|
SBNA Auto Receivables Trust Series 2024-A, Class D, 6.04%, 4/15/2030 (a)
|
2,000
|
2,028
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2025-1A, Class A2, 4.82%, 7/22/2030 (a)
|
2,797
|
2,804
|
|
Series 2024-1A, Class A3, 5.52%, 1/20/2032 (a)
|
6,561
|
6,646
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a)
|
854
|
857
|
|
Series 2025-2A, Class A3, 4.33%, 6/20/2036 (a)
|
5,400
|
5,366
|
|
Series 2025-2A, Class B, 4.51%, 6/20/2036 (a)
|
10,990
|
10,813
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2022-3A, Class B, 6.32%, 7/20/2039 (a)
|
488
|
494
|
|
Series 2022-2A, Class B, 5.04%, 6/20/2040 (a)
|
244
|
244
|
|
Series 2022-2A, Class C, 6.36%, 6/20/2040 (a)
|
244
|
245
|
|
Series 2024-2A, Class A, 5.14%, 6/20/2041 (a)
|
4,175
|
4,184
|
|
Series 2025-1A, Class A, 4.81%, 1/21/2042 (a)
|
2,724
|
2,719
|
|
Series 2026-1A, Class A, 4.56%, 12/22/2042 (a)
|
10,421
|
10,353
|
|
Series 2025-3A, Class A, 4.44%, 8/22/2044 (a)
|
4,283
|
4,281
|
|
Southwick Park CLO LLC (Cayman Islands) Series 2019-4A, Class A1RR, 4.68%, 7/20/2032 (a) (b)
|
3,117
|
3,118
|
|
Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA, Class A3, 4.11%,
4/20/2029 (a)
|
22,500
|
22,381
|
|
Stonepeak ABS Series 2021-1A, 2.30%, 2/28/2033 ‡ (a)
|
2,726
|
2,677
|
|
Stream Innovations Issuer Trust
|
|
|
|
Series 2024-2A, Class A, 5.21%, 2/15/2045 (a)
|
3,166
|
3,168
|
|
Series 2025-1A, Class A, 5.05%, 9/15/2045 (a)
|
10,510
|
10,495
|
|
Series 2025-1A, Class B, 5.48%, 9/15/2045 (a)
|
1,517
|
1,520
|
|
Series 2026-1A, Class A, 4.78%, 8/15/2046 (a)
|
30,154
|
29,760
|
|
Symphony CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-19A, Class A, 4.90%, 4/16/2031 (a) (b)
|
62
|
62
|
|
Series 2015-16A, Class ARR, 4.87%, 10/15/2031 (a) (b)
|
328
|
328
|
|
Series 2018-20A, Class AR2, 4.78%, 1/16/2032 (a) (b)
|
4,791
|
4,790
|
|
Series 2020-23A, Class AR2, 4.57%, 1/15/2034 (a) (b)
|
8,215
|
8,214
|
|
Series 2021-25A, Class AR, 4.73%, 4/19/2034 (a) (b)
|
1,800
|
1,801
|
|
TCI-Flatiron CLO Ltd. (Cayman Islands) Series 2018-1A, Class AR2, 4.62%, 7/29/2035 (a) (b)
|
8,383
|
8,386
|
|
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2016-1A, Class AR2, 4.95%, 10/13/2032 (a) (b)
|
321
|
321
|
|
Tesla Auto Lease Trust
|
|
|
|
Series 2024-A, Class A3, 5.30%, 6/21/2027 (a)
|
2,166
|
2,169
|
|
Series 2024-B, Class A3, 4.82%, 10/20/2027 (a)
|
5,591
|
5,602
|
|
Tesla Lease Electric Vehicle Securitization LLC
|
|
|
|
Series 2025-A, Class A2, 4.14%, 6/20/2028 (a)
|
3,872
|
3,871
|
|
Series 2025-A, Class A3, 4.27%, 11/20/2028 (a)
|
10,140
|
10,125
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-A, Class A4, 4.37%, 5/21/2029 (a)
|
2,800
|
2,797
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2026-FIX1, Class A1, 4.98%, 12/25/2065 (a) (c)
|
9,095
|
9,028
|
|
Series 2026-CES1, Class A1, 4.96%, 1/25/2066 (a) (c)
|
6,722
|
6,674
|
|
Series 2026-CES2, Class A1A, 4.72%, 2/25/2066 (a) (c)
|
23,296
|
22,992
|
|
Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (a) (c)
|
37,918
|
37,812
|
|
Tricon Residential Trust
|
|
|
|
Series 2021-SFR1, Class A, 1.94%, 7/17/2038 (a)
|
1,788
|
1,781
|
|
Series 2021-SFR1, Class B, 2.24%, 7/17/2038 (a)
|
4,100
|
4,084
|
|
Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (a)
|
11,359
|
11,301
|
|
UPG HI Issuer Trust
|
|
|
|
Series 2025-2, Class A, 5.00%, 9/25/2047 (a)
|
8,738
|
8,717
|
|
Series 2026-1, Class A, 5.03%, 2/25/2048 (a)
|
12,752
|
12,722
|
|
Upstart Securitization Trust
|
|
|
|
Series 2025-1, Class A, 5.45%, 4/20/2035 (a)
|
7,595
|
7,635
|
|
Series 2025-3, Class A2, 4.60%, 9/20/2035 (a)
|
7,530
|
7,530
|
|
Series 2025-4, Class A2, 4.56%, 11/20/2035 (a)
|
22,615
|
22,615
|
|
Series 2026-2, Class A2, 4.54%, 5/20/2036 (a)
|
8,890
|
8,887
|
|
UPSTART Securitization Trust Series 2026-1, Class A2, 4.30%, 3/20/2036 (a)
|
5,000
|
4,988
|
|
US Bank NA Series 2023-1, Class B, 6.79%, 8/25/2032 (a)
|
4,302
|
4,332
|
|
Verdant Receivables LLC
|
|
|
|
Series 2024-1A, Class A2, 5.68%, 12/12/2031 (a)
|
2,827
|
2,867
|
|
Series 2025-1A, Class A3, 4.96%, 5/12/2033 (a)
|
11,300
|
11,377
|
|
Veros Auto Receivables Trust
|
|
|
|
Series 2026-1, Class A, 4.53%, 8/15/2028 (a)
|
3,538
|
3,538
|
|
Series 2025-1, Class A, 5.31%, 9/15/2028 (a)
|
1,653
|
1,658
|
|
Series 2023-1, Class C, 8.32%, 11/15/2028 (a)
|
1,420
|
1,435
|
|
Volkswagen Auto Lease Trust Series 2026-A, Class A3, 4.17%, 3/20/2029
|
16,575
|
16,519
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (a) (c)
|
1,090
|
1,090
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (a) (c)
|
277
|
277
|
|
Volvo Financial Equipment LLC
|
|
|
|
Series 2024-1A, Class A3, 4.29%, 10/16/2028 (a)
|
11,818
|
11,829
|
|
Series 2025-1A, Class A3, 4.46%, 5/15/2029 (a)
|
8,108
|
8,130
|
|
VStrong Auto Receivables Trust Series 2023-A, Class B, 7.11%, 2/15/2030 (a)
|
3,019
|
3,061
|
|
Western Funding Auto Loan Trust Series 2025-1, Class A, 4.75%, 7/16/2035 (a)
|
8,635
|
8,662
|
|
Westgate Resorts LLC
|
|
|
|
Series 2024-1A, Class A, 6.06%, 1/20/2038 (a)
|
4,788
|
4,841
|
|
Series 2024-1A, Class B, 6.56%, 1/20/2038 (a)
|
3,458
|
3,488
|
|
Series 2026-1A, Class A, 5.19%, 10/20/2039 (a)
|
4,755
|
4,755
|
|
Series 2026-1A, Class B, 5.47%, 10/20/2039 (a)
|
14,265
|
14,252
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a)
|
5,299
|
5,323
|
|
Series 2023-4A, Class C, 6.64%, 11/15/2028 (a)
|
5,000
|
5,046
|
|
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a)
|
3,500
|
3,547
|
|
Series 2023-2A, Class D, 7.01%, 11/15/2028 (a)
|
6,725
|
6,802
|
|
Series 2024-3A, Class C, 4.92%, 11/15/2029 (a)
|
6,800
|
6,832
|
|
Series 2025-1A, Class D, 5.54%, 11/15/2030 (a)
|
2,750
|
2,779
|
|
Series 2025-3A, Class C, 4.68%, 7/15/2031 (a)
|
4,800
|
4,793
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Wheels Fleet Lease Funding LLC
|
|
|
|
Series 2024-1A, Class A1, 5.49%, 2/18/2039 (a)
|
5,941
|
5,993
|
|
Series 2026-1A, Class A3, 4.39%, 4/18/2039 (a)
|
7,708
|
7,678
|
|
Wingspire Equipment Finance LLC Series 2024-1A, Class A2, 4.99%, 9/20/2032 (a)
|
6,346
|
6,369
|
|
World Omni Automobile Lease Securitization Trust Series 2026-A, Class A3, 4.14%, 5/15/2029
|
10,800
|
10,747
|
|
Total Asset-Backed Securities
(Cost $3,406,563)
|
|
3,410,039
|
|
Corporate Bonds — 23.3%
|
||
|
Automobiles — 1.0%
|
||
|
BMW US Capital LLC (Germany) 4.40%, 3/19/2029 (a)
|
32,080
|
32,004
|
|
Hyundai Capital America
|
||
|
3.00%, 2/10/2027 (a)
|
5,806
|
5,750
|
|
5.28%, 6/24/2027 (a)
|
12,355
|
12,460
|
|
4.90%, 6/23/2028 (a)
|
10,000
|
10,048
|
|
5.30%, 6/24/2029 (a)
|
10,000
|
10,161
|
|
4.55%, 9/26/2029 (a)
|
18,395
|
18,327
|
|
Volkswagen Group of America Finance LLC (Germany)
|
||
|
4.95%, 3/25/2027 (a)
|
20,000
|
20,101
|
|
4.45%, 9/11/2027 (a)
|
18,545
|
18,522
|
|
|
|
127,373
|
|
Banks — 14.6%
|
||
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.10%), 2.47%,
12/13/2029 (a) (e)
|
3,100
|
2,942
|
|
AIB Group plc (Ireland)
|
||
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (e)
|
14,120
|
14,718
|
|
(SOFR + 1.65%), 5.32%, 5/15/2031 (a) (e)
|
14,630
|
14,854
|
|
Banco Bilbao Vizcaya Argentaria SA (Spain) 4.15%, 3/3/2029
|
15,800
|
15,603
|
|
Banco Santander SA (Spain)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (e)
|
5,000
|
4,961
|
|
6.61%, 11/7/2028
|
8,200
|
8,585
|
|
4.60%, 4/15/2029
|
65,000
|
64,777
|
|
Bank of America Corp.
|
||
|
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (e)
|
6,558
|
6,520
|
|
Series FIX, (SOFR + 0.83%), 4.98%, 1/24/2029 (e)
|
14,935
|
15,052
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (e)
|
51,100
|
51,741
|
|
(SOFR + 1.11%), 4.62%, 5/9/2029 (e)
|
23,220
|
23,275
|
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (e)
|
24,600
|
25,261
|
|
(SOFR + 0.87%), 4.48%, 4/23/2030 (e)
|
31,580
|
31,440
|
|
Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (a) (e)
|
8,870
|
9,058
|
|
Bank of Montreal (Canada)
|
||
|
5.27%, 12/11/2026
|
10,410
|
10,476
|
|
Series f2f, (SOFR + 0.88%), 4.57%, 9/10/2027 (e)
|
23,025
|
23,034
|
|
Series J, (SOFR + 0.89%), 4.34%, 3/19/2030 (e)
|
25,580
|
25,428
|
|
Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a)
|
15,120
|
15,248
|
|
Bank of Nova Scotia (The) (Canada)
|
||
|
5.35%, 12/7/2026
|
16,400
|
16,504
|
|
(SOFR + 1.00%), 4.40%, 9/8/2028 (e)
|
20,120
|
20,123
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Banque Federative du Credit Mutuel SA (France) 5.09%, 1/23/2027 (a)
|
11,975
|
12,033
|
|
Barclays plc (United Kingdom)
|
||
|
(SOFR + 1.49%), 5.67%, 3/12/2028 (e)
|
20,355
|
20,534
|
|
(SOFR + 1.34%), 4.84%, 9/10/2028 (e)
|
13,245
|
13,291
|
|
(SOFR + 0.93%), 4.22%, 5/24/2030 (e)
|
14,710
|
14,479
|
|
BNP Paribas SA (France)
|
||
|
(SOFR + 1.45%), 4.79%, 5/9/2029 (a) (e)
|
30,055
|
30,094
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (e)
|
12,000
|
12,171
|
|
(SOFR + 1.28%), 5.28%, 11/19/2030 (a) (e)
|
22,355
|
22,694
|
|
BPCE SA (France)
|
||
|
3.50%, 10/23/2027 (a)
|
24,789
|
24,465
|
|
(SOFR + 1.96%), 5.72%, 1/18/2030 (a) (e)
|
21,600
|
22,068
|
|
CaixaBank SA (Spain)
|
||
|
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (e)
|
18,495
|
18,608
|
|
(SOFR + 2.70%), 6.21%, 1/18/2029 (a) (e)
|
41,073
|
42,120
|
|
(SOFR + 1.14%), 4.63%, 7/3/2029 (a) (e)
|
10,000
|
10,004
|
|
(SOFRINDX + 1.78%), 5.67%, 3/15/2030 (a) (e)
|
21,026
|
21,533
|
|
Canadian Imperial Bank of Commerce (Canada)
|
||
|
(SOFR + 0.93%), 4.51%, 9/11/2027 (e)
|
19,135
|
19,140
|
|
5.00%, 4/28/2028
|
17,230
|
17,423
|
|
(SOFR + 1.03%), 4.86%, 3/30/2029 (e)
|
19,485
|
19,613
|
|
Citigroup, Inc.
|
||
|
(SOFR + 1.14%), 4.64%, 5/7/2028 (e)
|
37,875
|
37,962
|
|
(SOFR + 0.87%), 4.79%, 3/4/2029 (e)
|
15,235
|
15,305
|
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (e)
|
27,965
|
28,369
|
|
(SOFR + 1.46%), 4.95%, 5/7/2031 (e)
|
12,830
|
12,915
|
|
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.40%), 5.56%,
2/28/2029 (a) (e)
|
9,495
|
9,659
|
|
Credit Agricole SA (France)
|
||
|
(SOFR + 1.13%), 5.23%, 1/9/2029 (a) (e)
|
17,180
|
17,353
|
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (e)
|
8,895
|
9,217
|
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (e)
|
22,155
|
22,720
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (a) (e)
|
6,340
|
6,307
|
|
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 0.68%), 1.61%,
3/30/2028 (a) (e)
|
20,942
|
20,465
|
|
Federation des Caisses Desjardins du Quebec (Canada) 5.25%, 4/26/2029 (a)
|
15,410
|
15,717
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.57%), 5.89%, 8/14/2027 (e)
|
15,380
|
15,423
|
|
(SOFR + 1.06%), 5.60%, 5/17/2028 (e)
|
18,740
|
18,943
|
|
(SOFR + 1.04%), 5.13%, 11/19/2028 (e)
|
19,840
|
19,989
|
|
(SOFR + 1.03%), 4.90%, 3/3/2029 (e)
|
32,870
|
33,046
|
|
(SOFR + 1.97%), 6.16%, 3/9/2029 (e)
|
10,000
|
10,262
|
|
(SOFR + 1.46%), 5.55%, 3/4/2030 (e)
|
10,000
|
10,210
|
|
(SOFR + 0.99%), 4.40%, 3/10/2030 (e)
|
14,510
|
14,383
|
|
(SOFR + 0.94%), 4.71%, 5/12/2030 (e)
|
17,320
|
17,284
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
ING Groep NV (Netherlands)
|
||
|
(SOFR + 1.01%), 4.86%, 3/25/2029 (e)
|
22,300
|
22,433
|
|
Series VAR, (SOFRINDX + 1.26%), 4.80%, 3/23/2032 (e)
|
31,530
|
31,387
|
|
KBC Group NV (Belgium)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (e)
|
5,645
|
5,757
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 4.93%, 10/16/2030 (a) (e)
|
18,155
|
18,243
|
|
Lloyds Banking Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (e)
|
16,745
|
16,794
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (e)
|
13,210
|
13,510
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 4.82%, 6/13/2029 (e)
|
20,220
|
20,332
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.60%), 4.24%, 2/10/2030 (e)
|
18,340
|
18,138
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year + 0.78%),
4.59%, 4/18/2030 (e)
|
14,220
|
14,194
|
|
Mizuho Bank Ltd. (Japan) 4.40%, 4/16/2029 (a)
|
28,190
|
28,227
|
|
Morgan Stanley Bank NA
|
||
|
(SOFR + 0.68%), 4.45%, 10/15/2027 (e)
|
32,680
|
32,701
|
|
(SOFR + 0.93%), 4.97%, 7/14/2028 (e)
|
6,720
|
6,762
|
|
(SOFRINDX + 0.97%), 4.79%, 5/10/2030 (e)
|
17,540
|
17,590
|
|
Morgan Stanley Private Bank NA (SOFR + 0.78%), 4.20%, 11/17/2028 (e)
|
50,395
|
50,248
|
|
National Bank of Canada (Canada) (SOFRINDX + 0.76%), 4.17%, 1/20/2029 (e)
|
30,000
|
29,869
|
|
NatWest Markets plc (United Kingdom)
|
||
|
4.79%, 3/21/2028 (a)
|
15,580
|
15,686
|
|
4.65%, 3/27/2029 (a)
|
24,310
|
24,357
|
|
5.41%, 5/17/2029 (a)
|
15,350
|
15,684
|
|
Royal Bank of Canada (Canada)
|
||
|
(SOFR + 0.79%), 5.07%, 7/23/2027 (e)
|
21,930
|
21,955
|
|
(SOFRINDX + 0.81%), 4.72%, 3/27/2028 (e)
|
28,810
|
28,925
|
|
(SOFRINDX + 0.86%), 4.52%, 10/18/2028 (e)
|
23,060
|
23,122
|
|
(SOFR + 0.84%), 4.40%, 4/17/2030 (e)
|
20,320
|
20,207
|
|
Santander UK Group Holdings plc (United Kingdom) (SOFRINDX + 1.07%), 4.32%, 9/22/2029 (e)
|
13,625
|
13,507
|
|
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a)
|
15,980
|
16,319
|
|
Societe Generale SA (France)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (e)
|
2,059
|
2,058
|
|
(SOFR + 1.42%), 5.25%, 5/22/2029 (a) (e)
|
30,415
|
30,707
|
|
(SOFR + 1.10%), 4.45%, 4/12/2030 (a) (e)
|
30,335
|
29,999
|
|
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.05%), 5.69%,
5/14/2028 (a) (e)
|
33,120
|
33,448
|
|
Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.45%, 9/10/2027 (a)
|
23,220
|
23,280
|
|
Toronto-Dominion Bank (The) (Canada)
|
||
|
4.86%, 1/31/2028
|
21,905
|
22,060
|
|
4.57%, 6/2/2028
|
27,260
|
27,341
|
|
Wells Fargo & Co.
|
||
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (e)
|
14,645
|
14,544
|
|
(SOFR + 1.07%), 5.71%, 4/22/2028 (e)
|
23,760
|
24,031
|
|
(SOFR + 1.98%), 4.81%, 7/25/2028 (e)
|
14,025
|
14,068
|
|
(SOFR + 1.37%), 4.97%, 4/23/2029 (e)
|
22,970
|
23,143
|
|
(SOFR + 0.72%), 4.58%, 5/20/2029 (e)
|
32,170
|
32,155
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (e)
|
16,450
|
16,774
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (e)
|
7,920
|
8,224
|
|
(SOFR + 0.74%), 4.18%, 1/23/2030 (e)
|
19,640
|
19,439
|
|
Westpac New Zealand Ltd. (New Zealand)
|
||
|
5.13%, 2/26/2027 (a)
|
10,695
|
10,774
|
|
4.90%, 2/15/2028 (a)
|
8,935
|
9,010
|
|
|
|
1,902,401
|
|
Capital Markets — 3.3%
|
||
|
Bank of New York Mellon Corp. (The) (SOFR + 0.84%), 4.89%, 7/21/2028 (e)
|
21,905
|
22,051
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 1.22%), 2.31%, 11/16/2027 (e)
|
4,997
|
4,947
|
|
(SOFR + 1.59%), 5.71%, 2/8/2028 (e)
|
6,000
|
6,050
|
|
5.41%, 5/10/2029
|
5,235
|
5,369
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (e)
|
8,395
|
8,801
|
|
(SOFR + 1.72%), 5.30%, 5/9/2031 (e)
|
19,000
|
19,178
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 1.32%), 4.94%, 4/23/2028 (e)
|
28,985
|
29,107
|
|
(SOFR + 0.71%), 4.15%, 1/21/2029 (e)
|
28,670
|
28,471
|
|
(SOFR + 0.90%), 4.15%, 10/21/2029 (e)
|
26,855
|
26,533
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (e)
|
13,300
|
13,849
|
|
(SOFR + 0.99%), 4.59%, 4/20/2030 (e)
|
19,070
|
19,006
|
|
(SOFR + 1.27%), 5.73%, 4/25/2030 (e)
|
13,460
|
13,830
|
|
(SOFR + 1.21%), 5.05%, 7/23/2030 (e)
|
13,535
|
13,661
|
|
Morgan Stanley
|
||
|
(SOFR + 2.24%), 6.30%, 10/18/2028 (e)
|
20,930
|
21,469
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (e)
|
10,610
|
10,704
|
|
(SOFR + 1.38%), 4.99%, 4/12/2029 (e)
|
16,465
|
16,589
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (e)
|
28,690
|
29,195
|
|
(SOFR + 0.80%), 4.24%, 1/9/2030 (e)
|
19,310
|
19,098
|
|
(SOFRINDX + 0.96%), 4.56%, 4/10/2030 (e)
|
25,630
|
25,531
|
|
Nomura Holdings, Inc. (Japan) 1.65%, 7/14/2026
|
20,765
|
20,706
|
|
UBS Group AG (Switzerland)
|
||
|
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (e)
|
5,038
|
5,154
|
|
(SOFR + 0.84%), 4.15%, 12/23/2029 (a) (e)
|
26,560
|
26,228
|
|
(SOFR + 0.84%), 4.21%, 4/10/2030 (a) (e)
|
31,320
|
30,860
|
|
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (e)
|
9,645
|
9,902
|
|
|
|
426,289
|
|
Construction & Engineering — 0.1%
|
||
|
Quanta Services, Inc. 4.75%, 8/9/2027
|
12,175
|
12,222
|
|
Consumer Finance — 1.2%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
2.45%, 10/29/2026
|
5,000
|
4,965
|
|
6.45%, 4/15/2027
|
14,854
|
15,100
|
|
American Express Co.
|
||
|
(SOFR + 0.93%), 5.04%, 7/26/2028 (e)
|
13,755
|
13,859
|
|
(SOFR + 1.26%), 4.73%, 4/25/2029 (e)
|
23,360
|
23,477
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
(SOFR + 0.81%), 4.44%, 5/3/2030 (e)
|
26,870
|
26,775
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
5.75%, 3/1/2029 (a)
|
22,610
|
23,094
|
|
4.70%, 1/30/2031 (a)
|
11,265
|
11,061
|
|
Capital One Financial Corp.
|
||
|
(SOFR + 2.08%), 5.47%, 2/1/2029 (e)
|
10,450
|
10,601
|
|
(SOFR + 1.25%), 4.49%, 9/11/2031 (e)
|
25,000
|
24,577
|
|
|
|
153,509
|
|
Containers & Packaging — 0.1%
|
||
|
Amcor Flexibles North America, Inc. 4.80%, 3/17/2028
|
15,000
|
15,078
|
|
Electric Utilities — 0.2%
|
||
|
ENEL Finance International NV (Italy) 5.13%, 6/26/2029 (a)
|
11,710
|
11,849
|
|
Trans-Allegheny Interstate Line Co. 5.00%, 1/15/2031 (a)
|
5,675
|
5,730
|
|
Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027
|
1,179
|
1,186
|
|
Vistra Operations Co. LLC 4.60%, 10/15/2030 (a)
|
4,875
|
4,780
|
|
|
|
23,545
|
|
Entertainment — 0.0% ^
|
||
|
Take-Two Interactive Software, Inc. 5.40%, 6/12/2029
|
1,680
|
1,715
|
|
Financial Services — 1.3%
|
||
|
BCAP LLC Trust 0.00%, 9/17/2027 ‡
|
18,441
|
18,441
|
|
CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡
|
33,311
|
33,269
|
|
Global Payments, Inc.
|
||
|
4.95%, 8/15/2027
|
12,305
|
12,344
|
|
4.50%, 11/15/2028
|
33,605
|
33,331
|
|
Nationwide Building Society (United Kingdom)
|
||
|
(SOFR + 1.91%), 6.56%, 10/18/2027 (a) (e)
|
17,115
|
17,251
|
|
(SOFR + 1.29%), 2.97%, 2/16/2028 (a) (e)
|
5,000
|
4,947
|
|
(SOFR + 1.06%), 4.65%, 7/14/2029 (a) (e)
|
14,420
|
14,433
|
|
5.13%, 7/29/2029 (a)
|
22,135
|
22,481
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
14,661
|
14,661
|
|
|
|
171,158
|
|
Health Care Providers & Services — 0.0% ^
|
||
|
HCA, Inc. 5.00%, 3/1/2028
|
4,235
|
4,271
|
|
Insurance — 0.5%
|
||
|
CNO Global Funding 5.88%, 6/4/2027 (a)
|
25,335
|
25,667
|
|
F&G Global Funding
|
||
|
1.75%, 6/30/2026 (a)
|
11,240
|
11,214
|
|
5.88%, 6/10/2027 (a)
|
20,970
|
21,215
|
|
|
|
58,096
|
|
Multi-Utilities — 0.2%
|
||
|
DTE Energy Co. 5.10%, 3/1/2029
|
20,225
|
20,520
|
|
Oil, Gas & Consumable Fuels — 0.3%
|
||
|
Enbridge, Inc. (Canada) 4.20%, 11/20/2028
|
33,340
|
33,114
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
|
Foundry JV Holdco LLC 5.90%, 1/25/2030 (a)
|
11,720
|
12,131
|
|
Software — 0.3%
|
||
|
Oracle Corp. 4.55%, 2/4/2029
|
43,490
|
43,055
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
T-Mobile USA, Inc. 3.38%, 4/15/2029
|
17,770
|
17,246
|
|
Total Corporate Bonds
(Cost $3,009,943)
|
|
3,021,723
|
|
U.S. Treasury Obligations — 18.3%
|
||
|
U.S. Treasury Notes
|
|
|
|
4.25%, 3/15/2027
|
152,780
|
153,293
|
|
4.50%, 4/15/2027
|
11,005
|
11,064
|
|
2.75%, 4/30/2027
|
17,000
|
16,830
|
|
4.50%, 5/15/2027
|
67,785
|
68,150
|
|
3.75%, 6/30/2027
|
15,366
|
15,339
|
|
4.38%, 7/15/2027
|
55,460
|
55,733
|
|
0.38%, 7/31/2027
|
19,020
|
18,255
|
|
3.88%, 7/31/2027
|
7,955
|
7,949
|
|
3.38%, 9/15/2027
|
124,665
|
123,784
|
|
0.50%, 10/31/2027
|
99,000
|
94,321
|
|
3.50%, 10/31/2027
|
186,120
|
184,920
|
|
4.13%, 10/31/2027
|
3,085
|
3,092
|
|
4.13%, 11/15/2027
|
24,320
|
24,369
|
|
4.00%, 12/15/2027
|
26,305
|
26,313
|
|
4.25%, 1/15/2028
|
4,540
|
4,558
|
|
3.50%, 1/31/2028
|
226,525
|
224,720
|
|
1.25%, 3/31/2028
|
9,435
|
8,980
|
|
3.88%, 3/31/2028
|
145
|
145
|
|
3.88%, 7/15/2028
|
271,600
|
270,783
|
|
3.38%, 9/15/2028
|
113,090
|
111,482
|
|
3.50%, 11/15/2028
|
248,649
|
245,521
|
|
3.88%, 4/15/2029
|
436,340
|
434,261
|
|
3.88%, 5/15/2029
|
280,770
|
279,432
|
|
Total U.S. Treasury Obligations
(Cost $2,390,351)
|
|
2,383,294
|
|
Collateralized Mortgage Obligations — 16.4%
|
||
|
Al, 5.59%, 10/25/2029 ‡
|
23,500
|
23,500
|
|
Alternative Loan Trust Series 2003-J3, Class 2A1, 6.25%, 12/25/2033
|
5
|
5
|
|
Angel Oak Mortgage Trust Series 2020-5, Class A1, 1.37%, 5/25/2065 (a) (b)
|
451
|
438
|
|
Archwest Mortgage Trust Series 2026-RTL1, Class A1, 5.43%, 4/25/2041 (a) (c)
|
13,125
|
13,121
|
|
Bear Stearns ARM Trust Series 2003-7, Class 3A, 6.25%, 10/25/2033 (b)
|
8
|
8
|
|
Brean Asset-Backed Securities Trust
|
|
|
|
Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (a)
|
2,877
|
2,868
|
|
Series 2025-RM13, Class A1, 4.25%, 10/25/2065 ‡ (a)
|
11,025
|
10,625
|
|
Series 2026-RM14, Class A1, 4.25%, 1/25/2066 ‡ (a)
|
6,222
|
6,011
|
|
Series 2026-RM15, Class A1, 4.25%, 4/25/2066 ‡ (a)
|
16,988
|
16,306
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
CAFL Issuer LP
|
|
|
|
Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (a) (c)
|
24,000
|
24,072
|
|
Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 (a) (c)
|
14,210
|
14,110
|
|
Cascade Funding Mortgage Trust Series 2025-HB16, Class A, 3.00%, 3/25/2035 ‡ (a) (b)
|
2,318
|
2,285
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust Series 2026-RTL1, Class A1,
5.38%, 12/25/2030 (a) (c)
|
4,800
|
4,780
|
|
CFMT LLC Series 2024-HB15, Class A, 4.00%, 8/25/2034 ‡ (a) (b)
|
5,490
|
5,472
|
|
Citigroup Mortgage Loan Trust Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (b)
|
68
|
66
|
|
Connecticut Avenue Securities Trust
|
|
|
|
Series 2022-R02, Class 2M2, 6.61%, 1/25/2042 (a) (b)
|
1,658
|
1,678
|
|
Series 2025-R05, Class 2A1, 4.61%, 7/25/2045 (a) (b)
|
3,525
|
3,530
|
|
Series 2025-R06, Class 1A1, 4.51%, 9/25/2045 (a) (b)
|
6,061
|
6,066
|
|
Series 2026-R03, Class 2A1, 4.71%, 4/25/2046 (a) (b)
|
23,611
|
23,670
|
|
CRIBS Mortgage Trust Series 2025-RTL1, Class A1, 5.81%, 5/25/2040 (a) (c)
|
2,500
|
2,511
|
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8, Class 6A1, 4.50%, 12/25/2019
|
66
|
40
|
|
CSMC Mortgage-Backed Trust Series 2007-5, Class 5A5, 5.50%, 4/1/2037 (b)
|
173
|
—
|
|
FHLMC - GNMA Series 56, Class Z, 7.50%, 9/20/2026
|
—
|
—
|
|
FHLMC STACR REMIC Trust
|
|
|
|
Series 2025-DNA3, Class A1, 4.56%, 9/25/2045 (a) (b)
|
3,412
|
3,416
|
|
Series 2025-DNA4, Class A1, 4.51%, 10/25/2045 (a) (b)
|
9,171
|
9,177
|
|
Series 2026-HQA1, Class A1, 4.64%, 5/25/2046 (a) (b)
|
13,228
|
13,240
|
|
FHLMC Structured Pass-Through Securities Certificates Series T-20, Class A6, 7.99%,
9/25/2029 (c)
|
—
|
—
|
|
FHLMC, Reference REMIC
|
|
|
|
Series R003, Class ZA, 5.50%, 10/15/2035
|
16,100
|
16,425
|
|
Series R005, Class ZA, 5.50%, 2/15/2036
|
1,482
|
1,513
|
|
FHLMC, REMIC
|
|
|
|
Series 3887, Class GM, 4.00%, 7/15/2026 (c)
|
—
|
—
|
|
Series 3909, Class HG, 4.00%, 8/15/2026 (c)
|
1
|
1
|
|
Series 3936, Class AB, 3.00%, 10/15/2026
|
16
|
15
|
|
Series 3996, Class BA, 1.50%, 2/15/2027
|
1
|
1
|
|
Series 4015, Class GL, 2.25%, 3/15/2027
|
4
|
4
|
|
Series 4020, Class N, 3.00%, 3/15/2027
|
4
|
4
|
|
Series 4029, Class LY, 3.00%, 4/15/2027
|
189
|
188
|
|
Series 4039, Class AB, 1.50%, 5/15/2027
|
12
|
12
|
|
Series 4039, Class PB, 1.50%, 5/15/2027
|
52
|
52
|
|
Series 4043, Class PB, 1.50%, 5/15/2027
|
38
|
38
|
|
Series 4097, Class HJ, 1.50%, 8/15/2027
|
60
|
60
|
|
Series 4089, Class AI, IO, 3.00%, 8/15/2027
|
256
|
3
|
|
Series 4103, Class HA, 2.50%, 9/15/2027
|
24
|
24
|
|
Series 4361, Class CA, 2.50%, 9/15/2027
|
34
|
34
|
|
Series 4131, Class BC, 1.25%, 11/15/2027
|
19
|
18
|
|
Series 4129, Class AP, 1.50%, 11/15/2027
|
97
|
96
|
|
Series 4141, Class BI, IO, 2.50%, 12/15/2027
|
402
|
6
|
|
Series 4304, Class DW, 2.50%, 12/15/2027
|
221
|
218
|
|
Series 4207, Class JD, 1.50%, 5/15/2028
|
19
|
18
|
|
Series 4217, Class UD, 1.75%, 6/15/2028
|
40
|
40
|
|
Series 3523, Class MX, 4.50%, 4/15/2029
|
22
|
22
|
|
Series 4338, Class GE, 2.50%, 5/15/2029
|
1
|
1
|
|
Series 2995, Class FT, 4.01%, 5/15/2029 (b)
|
29
|
28
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3721, Class DG, 2.75%, 9/15/2030
|
42
|
41
|
|
Series 3775, Class DB, 4.00%, 12/15/2030
|
118
|
117
|
|
Series 3779, Class LB, 4.00%, 12/15/2030
|
133
|
132
|
|
Series 2303, Class FY, 4.06%, 4/15/2031 (b)
|
49
|
49
|
|
Series 2326, Class ZQ, 6.50%, 6/15/2031
|
27
|
27
|
|
Series 2500, Class FD, 4.26%, 3/15/2032 (b)
|
58
|
58
|
|
Series 4094, Class BF, 4.16%, 8/15/2032 (b)
|
140
|
140
|
|
Series 2492, Class GH, 6.00%, 8/15/2032
|
100
|
103
|
|
Series 4120, Class KA, 1.75%, 10/15/2032
|
192
|
182
|
|
Series 4142, Class PG, 2.00%, 12/15/2032
|
15
|
15
|
|
Series 4156, Class PE, 2.00%, 1/15/2033
|
1,095
|
1,034
|
|
Series 4162, Class ZJ, 3.00%, 2/15/2033
|
12,081
|
11,576
|
|
Series 2711, Class FC, 4.66%, 2/15/2033 (b)
|
422
|
425
|
|
Series 2602, Class FH, 4.07%, 4/15/2033 (b)
|
64
|
64
|
|
Series 4206, Class DZ, 3.00%, 5/15/2033
|
551
|
522
|
|
Series 4423, Class VN, 3.00%, 5/15/2033
|
53
|
53
|
|
Series 2617, Class Z, 5.50%, 5/15/2033
|
1,735
|
1,769
|
|
Series 4283, Class ZL, 3.00%, 8/15/2033
|
17,420
|
16,805
|
|
Series 2662, Class MT, 4.50%, 8/15/2033
|
29
|
29
|
|
Series 4250, Class BZ, 3.00%, 9/15/2033
|
11,278
|
10,847
|
|
Series 4620, IO, 5.00%, 9/15/2033
|
158
|
19
|
|
Series 4255, Class LZ, 3.00%, 10/15/2033
|
5,817
|
5,564
|
|
Series 2686, Class KZ, 4.50%, 10/15/2033
|
337
|
329
|
|
Series 2693, Class Z, 5.50%, 10/15/2033
|
71
|
73
|
|
Series 3005, Class PV, IF, 6.82%, 10/15/2033 (b)
|
—
|
—
|
|
Series 2727, Class PM, 4.50%, 1/15/2034
|
400
|
397
|
|
Series 2736, Class PE, 5.00%, 1/15/2034
|
1,664
|
1,682
|
|
Series 4301, Class UL, 3.50%, 2/15/2034
|
5,117
|
4,959
|
|
Series 2806, Class FA, 4.76%, 2/15/2034 (b)
|
128
|
130
|
|
Series 4342, Class CY, 3.00%, 5/15/2034
|
3,268
|
3,106
|
|
Series 2989, Class MU, IF, IO, 3.24%, 7/15/2034 (b)
|
408
|
26
|
|
Series 3204, Class ZM, 5.00%, 8/15/2034
|
272
|
273
|
|
Series 3863, Class ZA, 5.50%, 8/15/2034
|
7,386
|
7,540
|
|
Series 4401, Class BL, 3.50%, 10/15/2034
|
6,062
|
5,871
|
|
Series 5369, Class V, 6.00%, 10/25/2034
|
6,626
|
6,728
|
|
Series 2963, Class ZG, 5.00%, 11/15/2034
|
251
|
253
|
|
Series 2898, Class PG, 5.00%, 12/15/2034
|
387
|
389
|
|
Series 3003, Class LD, 5.00%, 12/15/2034
|
58
|
58
|
|
Series 2901, Class S, IF, 6.32%, 12/15/2034 (b)
|
216
|
221
|
|
Series 4265, Class FD, 4.16%, 1/15/2035 (b)
|
136
|
135
|
|
Series 2933, Class EM, 5.50%, 1/15/2035
|
19
|
19
|
|
Series 5401, Class VD, 6.00%, 1/25/2035
|
14,398
|
14,617
|
|
Series 2929, Class PG, 5.00%, 2/15/2035
|
43
|
43
|
|
Series 2941, Class Z, 4.50%, 3/15/2035
|
952
|
924
|
|
Series 2953, Class PG, 5.50%, 3/15/2035
|
155
|
158
|
|
Series 5417, Class V, 5.50%, 4/25/2035
|
2,096
|
2,109
|
|
Series 4492, Class BW, 3.50%, 7/15/2035
|
2,314
|
2,234
|
|
Series 3002, Class BN, 5.00%, 7/15/2035
|
115
|
114
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 5440, Class MV, 5.00%, 7/25/2035
|
958
|
959
|
|
Series 3013, Class HZ, 5.00%, 8/15/2035
|
387
|
390
|
|
Series 5487, Class DV, 5.50%, 10/25/2035
|
9,845
|
10,008
|
|
Series 5493, Class KV, 5.50%, 11/25/2035
|
11,332
|
11,427
|
|
Series 5509, Class DV, 5.75%, 11/25/2035
|
14,525
|
14,922
|
|
Series 5504, Class DV, 5.50%, 12/25/2035
|
10,882
|
11,042
|
|
Series 3101, Class UZ, 6.00%, 1/15/2036
|
94
|
98
|
|
Series 5541, Class VJ, 5.00%, 4/25/2036
|
4,618
|
4,629
|
|
Series 3174, Class LF, 4.11%, 5/15/2036 (b)
|
52
|
51
|
|
Series 5549, Class CV, 5.00%, 5/25/2036
|
5,113
|
5,084
|
|
Series 5565, Class AV, 5.00%, 7/25/2036
|
5,323
|
5,329
|
|
Series 5576, Class AV, 5.50%, 7/25/2036
|
25,606
|
25,890
|
|
Series 3662, Class ZB, 5.50%, 8/15/2036
|
85
|
87
|
|
Series 5593, Class VA, 5.50%, 9/25/2036
|
7,814
|
7,904
|
|
Series 5605, Class AV, 5.50%, 10/25/2036
|
15,707
|
15,936
|
|
Series 4646, Class JV, 3.50%, 11/15/2036
|
3,279
|
3,261
|
|
Series 3688, Class NB, 4.50%, 11/15/2036
|
346
|
343
|
|
Series 3855, Class AM, 6.50%, 11/15/2036
|
491
|
502
|
|
Series 5615, Class AV, 5.50%, 11/25/2036
|
15,819
|
16,060
|
|
Series 3704, Class CZ, 4.00%, 12/15/2036
|
897
|
857
|
|
Series 3249, Class CL, 4.25%, 12/15/2036
|
332
|
327
|
|
Series 3258, Class PM, 5.50%, 12/15/2036
|
138
|
141
|
|
Series 5280, Class T, 5.50%, 1/25/2037
|
13,362
|
13,654
|
|
Series 5515, Class BV, 5.50%, 1/25/2037
|
10,449
|
10,527
|
|
Series 3305, Class IW, IF, IO, 2.69%, 4/15/2037 (b)
|
156
|
8
|
|
Series 3318, Class HF, 4.02%, 5/15/2037 (b)
|
66
|
65
|
|
Series 3326, Class FG, 4.11%, 6/15/2037 (b)
|
316
|
312
|
|
Series 3724, Class CM, 5.50%, 6/15/2037
|
187
|
191
|
|
Series 3351, Class ZC, 5.50%, 7/15/2037
|
719
|
734
|
|
Series 3420, Class EI, IO, 1.12%, 8/15/2037 (c)
|
1,398
|
70
|
|
Series 3429, Class S, IF, IO, 3.06%, 3/15/2038 (b)
|
292
|
23
|
|
Series 3447, Class DB, 5.00%, 5/15/2038
|
779
|
789
|
|
Series 3459, Class MB, 5.00%, 6/15/2038
|
52
|
53
|
|
Series 3575, Class ZA, 5.00%, 6/15/2038
|
2,097
|
2,108
|
|
Series 3546, Class A, 5.87%, 2/15/2039 (b)
|
249
|
251
|
|
Series 3540, Class A, 5.00%, 5/15/2039
|
70
|
70
|
|
Series 4346, Class A, 3.50%, 7/15/2039
|
14
|
14
|
|
Series 3569, Class NY, 5.00%, 8/15/2039
|
387
|
390
|
|
Series 3572, Class JS, IF, IO, 3.04%, 9/15/2039 (b)
|
101
|
4
|
|
Series 3585, Class KW, 4.50%, 10/15/2039
|
798
|
797
|
|
Series 3609, Class SA, IF, IO, 2.58%, 12/15/2039 (b)
|
715
|
40
|
|
Series 3632, Class PK, 5.00%, 2/15/2040
|
111
|
112
|
|
Series 3636, Class MZ, 5.00%, 2/15/2040
|
2,008
|
2,020
|
|
Series 3656, Class PM, 5.00%, 4/15/2040
|
1,417
|
1,426
|
|
Series 3786, Class NA, 4.50%, 7/15/2040
|
31
|
31
|
|
Series 3706, Class P, 4.00%, 8/15/2040
|
1,687
|
1,639
|
|
Series 3719, Class PJ, 4.50%, 9/15/2040
|
7,612
|
7,532
|
|
Series 4655, Class DJ, 3.00%, 10/15/2040
|
1,328
|
1,255
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4318, Class KZ, 4.00%, 12/15/2040
|
1,750
|
1,683
|
|
Series 3769, Class ZC, 4.50%, 12/15/2040
|
746
|
735
|
|
Series 3822, Class ZG, 4.00%, 2/15/2041
|
4,396
|
4,255
|
|
Series 4080, Class DA, 2.00%, 3/15/2041
|
93
|
90
|
|
Series 3862, Class GA, 4.00%, 4/15/2041
|
102
|
100
|
|
Series 3844, Class FA, 4.21%, 4/15/2041 (b)
|
144
|
143
|
|
Series 4074, Class PA, 3.00%, 5/15/2041
|
2
|
2
|
|
Series 3859, Class JB, 5.00%, 5/15/2041
|
179
|
180
|
|
Series 4150, Class JE, 2.00%, 6/15/2041
|
346
|
335
|
|
Series 3884, Class BL, 4.50%, 6/15/2041
|
3,599
|
3,543
|
|
Series 3939, Class BZ, 4.50%, 6/15/2041
|
1,572
|
1,538
|
|
Series 3871, Class KB, 5.50%, 6/15/2041
|
8,044
|
8,223
|
|
Series 3881, Class AT, 5.85%, 6/15/2041
|
13,288
|
13,765
|
|
Series 4150, Class FN, 4.06%, 7/15/2041 (b)
|
163
|
163
|
|
Series 4152, Class LE, 1.75%, 8/15/2041
|
1,405
|
1,333
|
|
Series 3904, Class HC, 4.00%, 8/15/2041
|
374
|
359
|
|
Series 3906, Class B, 4.00%, 8/15/2041
|
2,010
|
1,942
|
|
Series 4150, Class FY, 4.06%, 8/15/2041 (b)
|
161
|
160
|
|
Series 3952, Class BQ, 2.00%, 10/15/2041
|
1,629
|
1,486
|
|
Series 3947, Class BH, 2.50%, 10/15/2041
|
2,183
|
1,960
|
|
Series 3934, Class KB, 5.00%, 10/15/2041
|
380
|
386
|
|
Series 3960, Class PL, 4.00%, 11/15/2041
|
2,337
|
2,293
|
|
Series 3966, Class VZ, 4.00%, 12/15/2041
|
504
|
486
|
|
Series 4550, Class NA, 3.00%, 1/15/2042
|
71
|
71
|
|
Series 4122, Class PA, 1.50%, 2/15/2042
|
97
|
93
|
|
Series 4144, Class KD, 1.75%, 3/15/2042
|
304
|
281
|
|
Series 4215, Class NA, 3.00%, 4/15/2042
|
49
|
48
|
|
Series 5296, Class CA, 5.50%, 5/25/2042
|
6,617
|
6,696
|
|
Series 4088, Class BP, 3.00%, 8/15/2042
|
2,892
|
2,615
|
|
Series 4143, Class AE, 2.00%, 9/15/2042
|
738
|
704
|
|
Series 4112, Class PB, 4.00%, 9/15/2042
|
500
|
477
|
|
Series 4158, Class TC, 1.75%, 12/15/2042
|
139
|
132
|
|
Series 4247, Class AK, 4.50%, 12/15/2042
|
60
|
60
|
|
Series 4158, Class LD, 2.00%, 1/15/2043
|
327
|
290
|
|
Series 4199, Class YZ, 3.50%, 5/15/2043
|
2,807
|
2,629
|
|
Series 4302, Class MA, 3.00%, 7/15/2043
|
259
|
257
|
|
Series 4314, Class LP, 3.50%, 7/15/2043
|
4
|
4
|
|
Series 5115, Class FD, 3.89%, 8/15/2043 (b)
|
4,480
|
4,403
|
|
Series 4330, Class PE, 3.00%, 11/15/2043
|
86
|
84
|
|
Series 4286, Class MP, 4.00%, 12/15/2043
|
259
|
249
|
|
Series 4316, Class DZ, 3.00%, 3/15/2044
|
2,728
|
2,503
|
|
Series 4338, Class A, 2.50%, 5/15/2044
|
187
|
178
|
|
Series 4505, Class P, 3.50%, 5/15/2044
|
526
|
513
|
|
Series 4571, Class EB, 3.50%, 5/15/2044
|
1,259
|
1,223
|
|
Series 4483, Class CA, 3.00%, 6/15/2044
|
24,880
|
23,828
|
|
Series 4360, Class PZ, 3.00%, 7/15/2044
|
950
|
847
|
|
Series 4417, Class PZ, 3.00%, 12/15/2044
|
2,816
|
2,527
|
|
Series 4545, Class PG, 3.00%, 12/15/2044
|
159
|
157
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4745, Class EC, 3.00%, 12/15/2044
|
562
|
557
|
|
Series 4425, Class TA, 2.00%, 1/15/2045
|
224
|
192
|
|
Series 4461, Class LZ, 3.00%, 3/15/2045
|
3,303
|
2,931
|
|
Series 4457, Class KZ, 3.00%, 4/15/2045
|
6,557
|
5,781
|
|
Series 4478, Class PC, 2.00%, 5/15/2045
|
690
|
604
|
|
Series 4631, Class PA, 3.00%, 5/15/2045
|
1,412
|
1,321
|
|
Series 4664, Class PH, 3.50%, 5/15/2045
|
483
|
474
|
|
Series 4698, Class DA, 4.50%, 5/15/2045
|
1,021
|
1,004
|
|
Series 5427, Class DA, 5.50%, 5/25/2045
|
15,210
|
15,331
|
|
Series 5334, Class GA, 6.00%, 7/25/2045
|
18,429
|
18,633
|
|
Series 5353, Class A, 6.50%, 8/25/2045
|
2,574
|
2,613
|
|
Series 4759, Class MA, 3.00%, 9/15/2045
|
24
|
23
|
|
Series 5421, Class EA, 5.50%, 3/25/2046
|
9,519
|
9,598
|
|
Series 4591, Class QE, 2.75%, 4/15/2046
|
160
|
144
|
|
Series 4574, Class YH, 3.00%, 4/15/2046
|
227
|
203
|
|
Series 4774, Class LP, 3.50%, 9/15/2046
|
1,649
|
1,604
|
|
Series 4714, Class PA, 3.00%, 11/15/2046
|
1,210
|
1,133
|
|
Series 4830, Class AP, 4.00%, 2/15/2047
|
602
|
592
|
|
Series 4682, Class LC, 2.50%, 5/15/2047
|
411
|
350
|
|
Series 4682, Class AP, 3.00%, 5/15/2047
|
539
|
474
|
|
Series 5275, Class KA, 5.50%, 9/25/2047
|
5,652
|
5,659
|
|
Series 4740, Class JA, 3.00%, 10/15/2047
|
1,412
|
1,251
|
|
Series 5271, Class AC, 5.00%, 10/25/2047
|
2,008
|
2,004
|
|
Series 4936, Class AP, 2.50%, 9/25/2048
|
164
|
152
|
|
Series 4941, Class NP, 2.50%, 5/25/2049
|
633
|
548
|
|
Series 5585, Class LA, 4.50%, 6/25/2049
|
15,633
|
15,500
|
|
Series 5418, Class DA, 6.00%, 6/25/2049
|
3,118
|
3,155
|
|
Series 4922, Class GE, 2.50%, 7/25/2049
|
562
|
497
|
|
Series 5444, Class BC, 5.50%, 7/25/2049
|
4,271
|
4,277
|
|
Series 5501, Class EA, 6.00%, 7/25/2049
|
9,096
|
9,189
|
|
Series 4952, Class PA, 2.50%, 2/25/2050
|
996
|
857
|
|
Series 5558, Class BA, 5.50%, 7/25/2050
|
14,966
|
15,081
|
|
Series 5564, Class DA, 5.00%, 8/25/2050
|
8,086
|
8,057
|
|
Series 5574, Class CA, 5.50%, 8/25/2050
|
4,311
|
4,334
|
|
Series 5507, Class LA, 5.50%, 1/25/2051
|
9,993
|
10,020
|
|
Series 5568, Class DA, 5.00%, 3/25/2051
|
5,249
|
5,258
|
|
Series 5433, Class B, 5.50%, 4/25/2051
|
6,278
|
6,307
|
|
Series 5505, Class DA, 5.50%, 4/25/2051
|
11,331
|
11,358
|
|
Series 5502, Class DC, 5.50%, 5/25/2051
|
8,335
|
8,358
|
|
Series 5505, Class CA, 5.50%, 6/25/2051
|
5,772
|
5,826
|
|
Series 5584, Class LA, 5.50%, 6/25/2051
|
3,419
|
3,433
|
|
Series 5505, Class JA, 5.00%, 7/25/2051
|
10,411
|
10,368
|
|
Series 5504, Class DA, 5.50%, 7/25/2051
|
9,503
|
9,585
|
|
Series 5515, Class BA, 5.50%, 8/25/2051
|
19,218
|
19,322
|
|
Series 5481, Class HA, 5.50%, 11/25/2051
|
5,854
|
5,865
|
|
Series 5550, Class DC, 5.50%, 12/25/2051
|
9,286
|
9,315
|
|
Series 5397, Class CA, 5.00%, 2/25/2052
|
6,727
|
6,703
|
|
Series 5537, Class KE, 5.00%, 7/25/2052
|
10,285
|
10,231
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 5535, Class GA, 5.00%, 8/25/2052
|
12,436
|
12,401
|
|
Series 5407, Class PA, 5.50%, 2/25/2053
|
5,071
|
5,077
|
|
Series 5536, Class PA, 5.00%, 5/25/2054
|
4,193
|
4,184
|
|
FHLMC, STRIPS
|
|
|
|
Series 302, Class 350, 3.50%, 2/15/2028
|
25
|
25
|
|
Series 445, Class HA, 4.25%, 5/25/2031
|
13,504
|
13,315
|
|
Series 218, PO, 2/1/2032
|
37
|
34
|
|
Series 290, Class 200, 2.00%, 11/15/2032
|
196
|
185
|
|
Series 277, Class 30, 3.00%, 9/15/2042
|
1,951
|
1,748
|
|
Series 359, Class 350, 3.50%, 10/15/2047
|
1,122
|
1,042
|
|
FNMA, REMIC
|
|
|
|
Series 2012-26, Class CA, 2.50%, 3/25/2027
|
25
|
25
|
|
Series 2012-46, Class KI, IO, 3.50%, 5/25/2027
|
251
|
2
|
|
Series 2012-102, Class IB, IO, 3.50%, 9/25/2027
|
252
|
3
|
|
Series 2012-127, Class AC, 1.50%, 11/25/2027
|
46
|
45
|
|
Series 2012-124, Class HG, 2.00%, 11/25/2027
|
18
|
18
|
|
Series 2013-5, Class DA, 1.50%, 2/25/2028
|
28
|
27
|
|
Series 2013-13, Class KD, 1.50%, 3/25/2028
|
38
|
37
|
|
Series 2013-137, Class BA, 1.50%, 1/25/2029
|
75
|
73
|
|
Series 2009-15, Class AC, 5.50%, 3/25/2029
|
154
|
154
|
|
Series 2009-58, Class B, 4.50%, 8/25/2029
|
250
|
249
|
|
Series 2010-14, Class AC, 4.00%, 3/25/2030
|
55
|
54
|
|
Series 2010-92, Class B, 4.50%, 8/25/2030
|
1,262
|
1,259
|
|
Series 2016-8, Class CA, 2.00%, 3/25/2031
|
4,762
|
4,596
|
|
Series 2011-45, Class ZA, 4.00%, 5/25/2031
|
4,715
|
4,663
|
|
Series 2001-38, Class EA, PO, 8/25/2031
|
1
|
1
|
|
Series 2015-89, Class KE, 2.00%, 11/25/2031
|
27
|
26
|
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
834
|
862
|
|
Series 2002-34, Class FA, 4.26%, 5/18/2032 (b)
|
14
|
14
|
|
Series 2012-112, Class AY, 3.00%, 10/25/2032
|
13,425
|
12,833
|
|
Series 2013-109, Class BA, 3.00%, 10/25/2032
|
167
|
165
|
|
Series 2002-64, Class PG, 5.50%, 10/25/2032
|
658
|
668
|
|
Series 2004-61, Class FH, 4.53%, 11/25/2032 (b)
|
319
|
320
|
|
Series 2002-77, Class TF, 4.76%, 12/18/2032 (b)
|
64
|
65
|
|
Series 2012-134, Class JY, 3.00%, 12/25/2032
|
14,024
|
13,426
|
|
Series 2002-77, Class QG, 5.50%, 12/25/2032
|
152
|
154
|
|
Series 2002-84, Class DZ, 5.50%, 12/25/2032
|
78
|
80
|
|
Series 2002-94, Class BZ, 5.50%, 1/25/2033
|
426
|
434
|
|
Series 2013-18, Class TG, 2.00%, 2/25/2033
|
102
|
99
|
|
Series 2003-7, Class FB, 4.48%, 2/25/2033 (b)
|
95
|
96
|
|
Series 2013-31, Class NL, 4.00%, 4/25/2033
|
206
|
203
|
|
Series 2003-42, Class CI, IO, 6.50%, 5/25/2033
|
71
|
7
|
|
Series 2003-63, Class A7, 5.50%, 6/25/2033
|
836
|
852
|
|
Series 2003-49, IO, 6.50%, 6/25/2033
|
101
|
13
|
|
Series 2013-69, Class L, 3.00%, 7/25/2033
|
8,056
|
7,734
|
|
Series 2003-58, Class GL, 3.50%, 7/25/2033
|
53
|
52
|
|
Series 2013-133, Class WA, 3.00%, 8/25/2033
|
822
|
804
|
|
Series 2013-91, Class DZ, 3.00%, 9/25/2033
|
19,676
|
18,753
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-97, Class EL, 3.00%, 9/25/2033
|
11,293
|
10,843
|
|
Series 2003-84, Class PZ, 5.00%, 9/25/2033
|
28
|
28
|
|
Series 2013-100, Class WB, 3.00%, 10/25/2033
|
3,711
|
3,562
|
|
Series 2003-107, Class ZD, 6.00%, 11/25/2033
|
673
|
691
|
|
Series 2013-126, Class JZ, 3.50%, 12/25/2033
|
12,163
|
11,878
|
|
Series 2013-129, Class CZ, 2.50%, 1/25/2034
|
7,260
|
6,857
|
|
Series 2003-129, Class ZT, 5.50%, 1/25/2034
|
3,554
|
3,651
|
|
Series 2004-38, Class AO, PO, 5/25/2034
|
1,106
|
962
|
|
Series 2014-23, Class CZ, 3.50%, 5/25/2034
|
5,716
|
5,549
|
|
Series 2023-25, Class LV, 5.50%, 5/25/2034
|
5,617
|
5,694
|
|
Series 2004-72, Class F, 4.23%, 9/25/2034 (b)
|
27
|
27
|
|
Series 2004-91, Class BR, 5.50%, 12/25/2034
|
32
|
32
|
|
Series 2004-90, Class ZU, 6.00%, 12/25/2034
|
551
|
569
|
|
Series 2005-5, Class PA, 5.00%, 1/25/2035
|
75
|
74
|
|
Series 2004-101, Class AR, 5.50%, 1/25/2035
|
3
|
3
|
|
Series 2024-8, Class V, 5.50%, 2/25/2035
|
24,961
|
25,224
|
|
Series 2005-27, Class HZ, 5.00%, 4/25/2035
|
903
|
909
|
|
Series 2005-31, Class PB, 5.50%, 4/25/2035
|
247
|
253
|
|
Series 2015-31, Class UY, 3.00%, 5/25/2035
|
3,042
|
2,891
|
|
Series 2005-38, Class FK, 4.03%, 5/25/2035 (b)
|
173
|
172
|
|
Series 2015-41, Class CA, 3.00%, 6/25/2035
|
284
|
270
|
|
Series 2005-66, Class PF, 3.98%, 7/25/2035 (b)
|
38
|
37
|
|
Series 2005-55, Class PN, 5.50%, 7/25/2035
|
1,039
|
1,062
|
|
Series 2005-64, Class PL, 5.50%, 7/25/2035
|
19
|
19
|
|
Series 2005-103, Class BT, IF, 6.50%, 7/25/2035 (b)
|
137
|
136
|
|
Series 2010-39, Class FT, 4.68%, 10/25/2035 (b)
|
317
|
320
|
|
Series 2005-88, Class ZC, 5.00%, 10/25/2035
|
1,053
|
1,063
|
|
Series 2007-109, Class VZ, 5.00%, 10/25/2035
|
785
|
790
|
|
Series 2005-84, Class MB, 5.75%, 10/25/2035
|
196
|
200
|
|
Series 2015-87, Class TB, 4.00%, 11/25/2035
|
2,116
|
2,086
|
|
Series 2005-101, Class B, 5.00%, 11/25/2035
|
470
|
475
|
|
Series 2005-99, Class AF, 4.08%, 12/25/2035 (b)
|
57
|
57
|
|
Series 2014-88, Class ER, 2.50%, 2/25/2036
|
25
|
24
|
|
Series 2025-18, Class HV, 5.50%, 2/25/2036
|
13,701
|
13,775
|
|
Series 2006-16, Class FC, 4.03%, 3/25/2036 (b)
|
30
|
30
|
|
Series 2006-14, Class DB, 5.50%, 3/25/2036
|
186
|
190
|
|
Series 2006-3, Class ZA, 5.50%, 3/25/2036
|
4,612
|
4,701
|
|
Series 2006-27, Class BF, 4.03%, 4/25/2036 (b)
|
47
|
46
|
|
Series 2025-31, Class MV, 5.50%, 4/25/2036
|
11,097
|
11,186
|
|
Series 2025-31, Class NV, 5.50%, 4/25/2036
|
4,631
|
4,681
|
|
Series 2025-29, Class KV, 5.00%, 5/25/2036
|
7,950
|
7,927
|
|
Series 2006-46, Class FW, 4.13%, 6/25/2036 (b)
|
124
|
123
|
|
Series 2006-42, Class PF, 4.14%, 6/25/2036 (b)
|
92
|
91
|
|
Series 2006-50, Class PE, 5.00%, 6/25/2036
|
179
|
180
|
|
Series 2009-71, Class JT, 6.00%, 6/25/2036
|
107
|
110
|
|
Series 2006-58, Class ST, IF, IO, 3.42%, 7/25/2036 (b)
|
355
|
32
|
|
Series 2006-101, Class FC, 4.03%, 7/25/2036 (b)
|
31
|
31
|
|
Series 2006-101, Class FD, 4.03%, 7/25/2036 (b)
|
20
|
20
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-56, Class DC, 4.38%, 7/25/2036 (b)
|
112
|
110
|
|
Series 2025-62, Class CV, 5.50%, 7/25/2036
|
7,672
|
7,789
|
|
Series 2025-62, Class VB, 5.50%, 7/25/2036
|
7,813
|
7,931
|
|
Series 2025-62, Class HV, 5.00%, 8/25/2036
|
6,562
|
6,540
|
|
Series 2025-65, Class V, 5.00%, 8/25/2036
|
13,165
|
13,178
|
|
Series 2025-66, Class LV, 5.00%, 8/25/2036
|
10,357
|
10,333
|
|
Series 2025-75, Class AV, 5.50%, 8/25/2036
|
11,574
|
11,680
|
|
Series 2007-1, Class NF, 3.98%, 2/25/2037 (b)
|
78
|
77
|
|
Series 2007-22, Class SC, IF, IO, 2.35%, 3/25/2037 (b)
|
5
|
—
|
|
Series 2007-16, Class FC, 4.48%, 3/25/2037 (b)
|
9
|
9
|
|
Series 2007-33, Class MS, IF, IO, 2.86%, 4/25/2037 (b)
|
606
|
52
|
|
Series 2007-B2, Class ZA, 5.50%, 6/25/2037
|
1,021
|
1,041
|
|
Series 2007-61, Class PE, 5.50%, 7/25/2037
|
1,614
|
1,655
|
|
Series 2008-5, Class PE, 5.00%, 8/25/2037
|
50
|
50
|
|
Series 2007-85, Class SH, IF, IO, 2.77%, 9/25/2037 (b)
|
463
|
17
|
|
Series 2007-117, Class FM, 4.43%, 1/25/2038 (b)
|
86
|
86
|
|
Series 2007-117, Class MF, 4.43%, 1/25/2038 (b)
|
160
|
160
|
|
Series 2008-18, Class SE, IF, IO, 2.54%, 3/25/2038 (b)
|
67
|
5
|
|
Series 2008-25, Class DZ, 5.75%, 4/25/2038
|
348
|
345
|
|
Series 2022-8, Class D, 2.00%, 8/25/2038
|
6,821
|
6,396
|
|
Series 2008-83, Class CA, 6.00%, 9/25/2038
|
284
|
298
|
|
Series 2009-29, Class LA, 1.06%, 5/25/2039 (b)
|
599
|
542
|
|
Series 2013-25, Class DC, 2.50%, 6/25/2039
|
190
|
184
|
|
Series 2009-59, Class HB, 5.00%, 8/25/2039
|
706
|
709
|
|
Series 2009-70, Class FA, 4.93%, 9/25/2039 (b)
|
52
|
53
|
|
Series 2009-73, Class HJ, 6.00%, 9/25/2039
|
74
|
76
|
|
Series 2009-86, Class PE, 5.00%, 10/25/2039
|
1,539
|
1,546
|
|
Series 2013-125, Class AB, 4.00%, 11/25/2039
|
128
|
125
|
|
Series 2009-87, Class B, 4.50%, 11/25/2039
|
448
|
449
|
|
Series 2009-112, Class SW, IF, IO, 2.52%, 1/25/2040 (b)
|
1,354
|
112
|
|
Series 2010-35, Class KF, 4.23%, 4/25/2040 (b)
|
13
|
13
|
|
Series 2010-37, Class CY, 5.00%, 4/25/2040
|
29
|
29
|
|
Series 2011-61, Class ZA, 5.00%, 4/25/2040
|
516
|
518
|
|
Series 2010-43, Class HJ, 5.50%, 5/25/2040
|
101
|
103
|
|
Series 2010-58, Class FA, 4.28%, 6/25/2040 (b)
|
168
|
168
|
|
Series 2010-58, Class FY, 4.46%, 6/25/2040 (b)
|
88
|
88
|
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
233
|
234
|
|
Series 2010-109, Class M, 3.00%, 9/25/2040
|
538
|
525
|
|
Series 2010-126, Class LI, IO, 4.00%, 11/25/2040
|
59
|
2
|
|
Series 2011-74, Class LQ, 4.50%, 11/25/2040
|
12,430
|
12,301
|
|
Series 2010-154, Class MW, 3.50%, 1/25/2041
|
2,052
|
1,990
|
|
Series 2011-63, Class LB, 4.00%, 1/25/2041
|
1,821
|
1,773
|
|
Series 2011-18, Class KY, 4.00%, 3/25/2041
|
406
|
394
|
|
Series 2011-35, Class PE, 4.00%, 4/25/2041
|
652
|
624
|
|
Series 2011-53, Class FT, 4.31%, 6/25/2041 (b)
|
69
|
69
|
|
Series 2011-52, Class GB, 5.00%, 6/25/2041
|
55
|
56
|
|
Series 2011-53, Class QT, 5.80%, 6/25/2041
|
4,037
|
4,157
|
|
Series 2011-128, Class KP, 4.50%, 7/25/2041
|
18
|
18
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2011-59, Class NZ, 5.50%, 7/25/2041
|
402
|
410
|
|
Series 2011-64, Class DT, 5.80%, 7/25/2041
|
23,649
|
24,417
|
|
Series 2012-147, Class NE, 1.75%, 8/25/2041
|
563
|
547
|
|
Series 2012-14, Class PA, 2.00%, 8/25/2041
|
76
|
73
|
|
Series 2013-72, Class LY, 3.50%, 8/25/2041
|
111
|
111
|
|
Series 2015-45, Class GA, 2.50%, 9/25/2041
|
1
|
1
|
|
Series 2013-126, Class CA, 4.00%, 9/25/2041
|
139
|
137
|
|
Series 2011-123, Class BP, 2.00%, 10/25/2041
|
1,690
|
1,586
|
|
Series 2012-64, Class PK, 4.50%, 12/25/2041
|
619
|
613
|
|
Series 2012-113, Class DC, 2.25%, 1/25/2042
|
54
|
53
|
|
Series 2012-27, Class PL, 2.00%, 2/25/2042
|
61
|
59
|
|
Series 2012-139, Class NY, 5.00%, 2/25/2042
|
807
|
814
|
|
Series 2012-133, Class AP, 1.75%, 3/25/2042
|
2,248
|
2,065
|
|
Series 2012-100, Class TL, 4.00%, 4/25/2042
|
151
|
148
|
|
Series 2013-9, Class CB, 5.50%, 4/25/2042
|
7,723
|
7,891
|
|
Series 2013-73, Class PG, 2.50%, 6/25/2042
|
433
|
414
|
|
Series 2012-128, Class VF, 3.98%, 6/25/2042 (b)
|
202
|
201
|
|
Series 2013-93, Class PJ, 3.00%, 7/25/2042
|
360
|
350
|
|
Series 2013-96, Class FY, 4.08%, 7/25/2042 (b)
|
125
|
123
|
|
Series 2013-34, Class PC, 2.50%, 8/25/2042
|
275
|
263
|
|
Series 2014-18, Class DE, 4.00%, 8/25/2042
|
408
|
401
|
|
Series 2012-94, Class K, 2.00%, 9/25/2042
|
693
|
602
|
|
Series 2013-60, Class PD, 2.00%, 10/25/2042
|
328
|
310
|
|
Series 2012-112, Class DA, 3.00%, 10/25/2042
|
1,369
|
1,248
|
|
Series 2013-81, Class NC, 3.00%, 10/25/2042
|
57
|
57
|
|
Series 2013-6, Class HD, 1.50%, 12/25/2042
|
245
|
218
|
|
Series 2013-35, Class LP, 3.00%, 1/25/2043
|
4,897
|
4,775
|
|
Series 2013-61, Class BA, 3.00%, 1/25/2043
|
1,115
|
1,050
|
|
Series 2013-10, Class PA, 1.50%, 2/25/2043
|
699
|
603
|
|
Series 2013-10, Class UB, 2.00%, 2/25/2043
|
815
|
694
|
|
Series 2013-58, Class FP, 3.98%, 2/25/2043 (b)
|
366
|
362
|
|
Series 2013-18, Class BZ, 3.00%, 3/25/2043
|
4,312
|
4,178
|
|
Series 2013-100, Class PL, 4.50%, 3/25/2043
|
402
|
399
|
|
Series 2013-66, Class LB, 1.50%, 4/25/2043
|
17
|
17
|
|
Series 2013-33, Class UZ, 3.50%, 4/25/2043
|
6,663
|
6,227
|
|
Series 2013-64, Class PF, 3.98%, 4/25/2043 (b)
|
312
|
309
|
|
Series 2013-66, Class MB, 3.00%, 7/25/2043
|
1,503
|
1,364
|
|
Series 2014-32, Class DK, 3.00%, 8/25/2043
|
253
|
245
|
|
Series 2013-92, Class DE, 4.00%, 9/25/2043
|
600
|
566
|
|
Series 2015-34, Class UP, 3.00%, 11/25/2043
|
399
|
388
|
|
Series 2020-45, Class CB, 2.00%, 2/25/2044
|
2,700
|
2,563
|
|
Series 2025-2, Class GB, 4.00%, 2/25/2044
|
1,669
|
1,629
|
|
Series 2016-80, Class KV, 3.00%, 6/25/2044
|
1,379
|
1,364
|
|
Series 2014-56, Class Z, 3.50%, 9/25/2044
|
4,487
|
4,183
|
|
Series 2016-100, Class P, 3.50%, 11/25/2044
|
41
|
39
|
|
Series 2015-28, Class JE, 3.00%, 5/25/2045
|
16,660
|
16,039
|
|
Series 2015-33, Class DT, 2.50%, 6/25/2045
|
281
|
266
|
|
Series 2015-51, Class KC, 3.00%, 6/25/2045
|
143
|
138
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2023-12, Class GB, 6.00%, 6/25/2045
|
14,362
|
14,535
|
|
Series 2023-42, Class B, 6.00%, 7/25/2045
|
10,229
|
10,357
|
|
Series 2017-18, Class DA, 3.00%, 8/25/2045
|
293
|
289
|
|
Series 2016-84, Class LA, 3.00%, 12/25/2045
|
572
|
541
|
|
Series 2016-2, Class GA, 3.00%, 2/25/2046
|
1,130
|
1,066
|
|
Series 2024-20, Class HD, 5.50%, 3/25/2046
|
4,344
|
4,378
|
|
Series 2017-15, Class PE, 3.50%, 4/25/2046
|
764
|
733
|
|
Series 2016-26, Class CG, 3.00%, 5/25/2046
|
20,645
|
19,751
|
|
Series 2024-51, Class HL, 5.00%, 6/25/2046
|
2,360
|
2,348
|
|
Series 2017-68, Class HQ, 3.00%, 7/25/2046
|
841
|
786
|
|
Series 2016-80, Class JP, 3.00%, 11/25/2046
|
502
|
446
|
|
Series 2017-27, Class E, 3.00%, 11/25/2046
|
1,746
|
1,611
|
|
Series 2017-85, Class HA, 3.00%, 12/25/2046
|
877
|
826
|
|
Series 2017-11, Class PH, 2.50%, 3/25/2047
|
148
|
125
|
|
Series 2018-8, Class KL, 2.50%, 3/25/2047
|
7,352
|
6,667
|
|
Series 2017-10, Class AE, 3.00%, 3/25/2047
|
1,331
|
1,263
|
|
Series 2017-9, Class B, 3.00%, 3/25/2047
|
1,470
|
1,399
|
|
Series 2017-10, Class FA, 4.13%, 3/25/2047 (b)
|
128
|
127
|
|
Series 2017-84, Class JA, 2.75%, 9/25/2047
|
452
|
399
|
|
Series 2017-96, Class MA, 3.00%, 12/25/2047
|
360
|
316
|
|
Series 2018-37, Class BC, 3.50%, 12/25/2047
|
203
|
191
|
|
Series 2024-41, Class GA, 5.50%, 2/25/2048
|
2,623
|
2,640
|
|
Series 2018-15, Class NZ, 3.00%, 3/25/2048
|
6,441
|
5,781
|
|
Series 2018-15, Class ZG, 3.50%, 3/25/2048
|
1,419
|
1,282
|
|
Series 2019-17, Class KA, 3.50%, 4/25/2048
|
116
|
114
|
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
111
|
102
|
|
Series 2019-11, Class EA, 3.00%, 5/25/2048
|
463
|
436
|
|
Series 2019-20, Class PB, 2.75%, 7/25/2048
|
206
|
186
|
|
Series 2018-87, Class BA, 4.00%, 7/25/2048
|
85
|
82
|
|
Series 2020-94, PO, 9/25/2048
|
323
|
264
|
|
Series 2019-51, Class DW, 3.50%, 11/25/2048
|
271
|
267
|
|
Series 2023-61, Class G, 5.50%, 1/25/2049
|
11,493
|
11,572
|
|
Series 2020-49, Class GA, 1.50%, 2/25/2049
|
1,915
|
1,588
|
|
Series 2019-3, Class AB, 3.20%, 2/25/2049
|
7,393
|
7,080
|
|
Series 2019-13, Class CG, 4.50%, 4/25/2049
|
1,995
|
1,972
|
|
Series 2019-18, Class BA, 3.50%, 5/25/2049
|
5,567
|
5,326
|
|
Series 2019-70, Class JA, 2.50%, 9/25/2049
|
86
|
75
|
|
Series 2019-72, Class KA, 2.50%, 9/25/2049
|
144
|
124
|
|
Series 2020-15, Class EA, 2.00%, 10/25/2049
|
514
|
434
|
|
Series 2019-70, Class MB, 2.50%, 12/25/2049
|
1,000
|
768
|
|
Series 2019-81, Class LA, 2.50%, 12/25/2049
|
276
|
241
|
|
Series 2020-7, Class DZ, 3.00%, 2/25/2050
|
608
|
508
|
|
Series 2020-15, Class EM, 3.00%, 3/25/2050
|
472
|
400
|
|
Series 2025-2, Class BA, 6.00%, 3/25/2050
|
7,494
|
7,553
|
|
Series 2025-29, Class A, 5.50%, 6/25/2050
|
6,004
|
6,038
|
|
Series 2024-81, Class BA, 5.00%, 7/25/2050
|
5,563
|
5,534
|
|
Series 2025-57, Class B, 5.50%, 9/25/2050
|
5,804
|
5,839
|
|
Series 2024-60, Class H, 5.00%, 11/25/2050
|
6,618
|
6,590
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2025-5, Class HA, 5.25%, 2/25/2051
|
3,629
|
3,622
|
|
Series 2025-41, Class JA, 5.00%, 3/25/2051
|
5,633
|
5,628
|
|
Series 2024-65, Class DB, 5.00%, 5/25/2051
|
6,846
|
6,811
|
|
Series 2024-101, Class DA, 5.50%, 5/25/2051
|
7,070
|
7,089
|
|
Series 2024-50, Class DA, 5.50%, 5/25/2051
|
1,279
|
1,282
|
|
Series 2025-44, Class A, 5.00%, 12/25/2051
|
3,280
|
3,273
|
|
Series 2025-66, Class LA, 5.00%, 12/25/2051
|
12,547
|
12,494
|
|
Series 2025-42, Class EA, 5.00%, 1/25/2052
|
8,586
|
8,551
|
|
Series 2025-42, Class NA, 5.50%, 4/25/2052
|
10,954
|
11,023
|
|
Series 2025-29, Class KJ, 5.25%, 5/25/2052
|
7,884
|
7,903
|
|
Series 2025-44, Class EA, 5.00%, 6/25/2052
|
4,924
|
4,917
|
|
Series 2022-43, Class P, 4.00%, 7/25/2052
|
6,558
|
6,371
|
|
Series 2025-59, Class NA, 5.00%, 8/25/2052
|
8,152
|
8,115
|
|
Series 2024-96, Class EA, 5.50%, 3/25/2053
|
9,300
|
9,368
|
|
Series 2024-58, Class BA, 5.00%, 9/25/2053
|
12,622
|
12,689
|
|
Series 2019-33, Class MA, 3.50%, 7/25/2055
|
245
|
243
|
|
Series 2018-70, Class HA, 3.50%, 10/25/2056
|
346
|
337
|
|
FNMA, REMIC, Whole Loan
|
|
|
|
Series 2007-54, Class FA, 4.13%, 6/25/2037 (b)
|
79
|
78
|
|
Series 2007-106, Class A7, 6.05%, 10/25/2037 (b)
|
82
|
82
|
|
Series 2001-50, Class BA, 7.00%, 10/25/2041
|
27
|
28
|
|
FNMA, STRIPS
|
|
|
|
Series 289, Class 1, PO, 11/25/2027
|
10
|
10
|
|
Series 334, Class 17, IO, 6.50%, 2/25/2033 (b)
|
63
|
7
|
|
Series 334, Class 13, IO, 6.00%, 3/25/2033 (b)
|
54
|
6
|
|
Series 334, Class 9, IO, 6.00%, 3/25/2033
|
141
|
14
|
|
Series 356, Class 16, IO, 5.50%, 6/25/2035 (b)
|
37
|
5
|
|
Series 359, Class 16, IO, 5.50%, 10/25/2035 (b)
|
38
|
5
|
|
Series 369, Class 19, IO, 6.00%, 10/25/2036 (b)
|
20
|
3
|
|
Series 369, Class 26, IO, 6.50%, 10/25/2036 (b)
|
14
|
2
|
|
Series 386, Class 20, IO, 6.50%, 8/25/2038 (b)
|
94
|
15
|
|
Series 394, Class C3, IO, 6.50%, 9/25/2038
|
159
|
24
|
|
Series 411, Class A3, 3.00%, 8/25/2042
|
823
|
750
|
|
FNMA, Whole Loan Series 2007-W1, Class 1AF1, 3.99%, 11/25/2046 (b)
|
543
|
539
|
|
GNMA
|
|
|
|
Series 2011-132, Class GJ, 2.00%, 9/16/2026
|
—
|
—
|
|
Series 2011-155, Class A, 3.00%, 11/20/2026
|
1
|
1
|
|
Series 2013-75, Class AC, 1.50%, 5/20/2028
|
144
|
141
|
|
Series 2003-102, Class PE, 6.00%, 11/20/2033
|
506
|
506
|
|
Series 2023-131, Class KV, 6.00%, 7/20/2034
|
3,387
|
3,435
|
|
Series 2024-26, Class NV, 6.00%, 12/20/2034
|
9,257
|
9,381
|
|
Series 2025-22, Class HV, 5.00%, 2/20/2036
|
5,797
|
5,799
|
|
Series 2006-26, Class S, IF, IO, 2.78%, 6/20/2036 (b)
|
2,146
|
13
|
|
Series 2025-149, Class BV, 5.00%, 9/20/2036
|
4,903
|
4,910
|
|
Series 2007-16, Class KU, IF, IO, 2.93%, 4/20/2037 (b)
|
1,135
|
8
|
|
Series 2009-106, Class XL, IF, IO, 3.03%, 6/20/2037 (b)
|
995
|
27
|
|
Series 2008-75, Class SP, IF, IO, 3.75%, 8/20/2038 (b)
|
456
|
13
|
|
Series 2009-14, Class SA, IF, IO, 2.36%, 3/20/2039 (b)
|
1,388
|
32
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2009-14, Class KS, IF, IO, 2.58%, 3/20/2039 (b)
|
575
|
15
|
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
167
|
7
|
|
Series 2009-75, Class NB, 4.50%, 6/20/2039
|
11
|
11
|
|
Series 2010-59, Class HZ, 4.50%, 5/16/2040
|
869
|
859
|
|
Series 2010-98, Class ME, 4.50%, 8/20/2040
|
7,208
|
7,180
|
|
Series 2025-2, Class EA, 4.50%, 9/20/2040
|
14,103
|
14,127
|
|
Series 2013-71, Class NA, 2.50%, 8/20/2041
|
19
|
19
|
|
Series 2012-96, Class WP, 6.50%, 8/16/2042
|
1,643
|
1,708
|
|
Series 2013-42, Class ND, 1.75%, 11/20/2042
|
53
|
50
|
|
Series 2013-28, Class DE, 1.75%, 12/20/2042
|
153
|
137
|
|
Series 2014-3, Class GA, 2.50%, 1/16/2044
|
2,272
|
2,146
|
|
Series 2014-12, Class ZA, 3.00%, 1/20/2044
|
11,552
|
10,539
|
|
Series 2014-41, Class AL, 2.25%, 3/16/2044
|
3,157
|
2,958
|
|
Series 2018-29, Class LC, 3.00%, 4/20/2044
|
13
|
13
|
|
Series 2014-137, Class DT, 2.25%, 9/16/2044
|
5,918
|
5,523
|
|
Series 2016-25, Class QH, 3.00%, 12/16/2044
|
738
|
707
|
|
Series 2015-80, Class CP, 4.50%, 6/20/2045
|
179
|
174
|
|
Series 2015-80, Class CQ, 5.00%, 6/20/2045
|
129
|
127
|
|
Series 2018-36, Class AM, 3.00%, 7/20/2045
|
234
|
228
|
|
Series 2016-79, Class LA, 3.00%, 9/20/2045
|
76
|
76
|
|
Series 2016-90, Class MA, 3.00%, 10/20/2045
|
43
|
43
|
|
Series 2024-84, Class BA, 5.75%, 11/20/2045
|
10,335
|
10,389
|
|
Series 2023-107, Class PA, 5.50%, 1/20/2046
|
4,629
|
4,675
|
|
Series 2020-125, Class AG, 2.50%, 2/20/2046
|
698
|
679
|
|
Series 2016-91, Class WH, 2.75%, 3/20/2046
|
725
|
663
|
|
Series 2023-196, Class A, 4.50%, 4/20/2046
|
6,083
|
6,048
|
|
Series 2017-139, Class PE, 2.75%, 8/20/2047
|
3,056
|
2,612
|
|
Series 2023-164, Class DA, 5.50%, 10/20/2047
|
3,421
|
3,429
|
|
Series 2018-34, Class TY, 3.50%, 3/20/2048
|
693
|
622
|
|
Series 2023-43, Class AB, 5.50%, 4/20/2048
|
5,384
|
5,407
|
|
Series 2024-89, Class AM, 5.50%, 3/20/2049
|
15,136
|
15,208
|
|
Series 2024-43, Class JA, 5.50%, 5/20/2049
|
12,080
|
12,215
|
|
Series 2019-74, Class AT, 3.00%, 6/20/2049
|
352
|
324
|
|
Series 2023-58, Class BA, 5.00%, 6/20/2049
|
2,278
|
2,268
|
|
Series 2019-145, Class PA, 3.50%, 8/20/2049
|
124
|
118
|
|
Series 2023-183, Class A, 4.50%, 11/20/2049
|
4,142
|
4,137
|
|
Series 2020-5, Class NA, 3.50%, 12/20/2049
|
2,370
|
2,194
|
|
Series 2020-74, Class DY, 2.00%, 5/20/2050
|
767
|
631
|
|
Series 2020-83, Class KP, 3.00%, 6/20/2050
|
232
|
201
|
|
Series 2025-99, Class DE, 5.00%, 6/20/2050
|
8,975
|
8,951
|
|
Series 2025-22, Class HE, 5.00%, 7/20/2050
|
10,926
|
10,914
|
|
Series 2023-147, Class AC, 6.00%, 7/20/2050
|
5,000
|
5,058
|
|
Series 2025-127, Class AB, 5.00%, 1/20/2051
|
7,738
|
7,711
|
|
Series 2025-113, Class KA, 5.50%, 8/20/2051
|
21,155
|
21,268
|
|
Series 2024-167, Class DE, 5.00%, 10/20/2051
|
12,757
|
12,781
|
|
Series 2025-44, Class CA, 5.00%, 12/20/2051
|
19,112
|
19,139
|
|
Series 2024-24, Class AD, 5.00%, 3/20/2052
|
9,272
|
9,285
|
|
Series 2025-113, Class HA, 5.50%, 3/20/2052
|
7,079
|
7,133
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2024-101, Class ED, 5.00%, 4/20/2052
|
11,283
|
11,286
|
|
Series 2024-8, Class WA, 5.00%, 7/20/2052
|
3,516
|
3,484
|
|
Series 2025-22, Class A, 5.00%, 9/20/2052
|
5,573
|
5,569
|
|
Series 2025-113, Class NA, 5.00%, 4/20/2053
|
12,849
|
12,750
|
|
Series 2023-80, Class AC, 6.00%, 6/20/2053
|
3,691
|
3,741
|
|
Series 2025-89, Class EC, 5.00%, 11/20/2053
|
1,612
|
1,603
|
|
Series 2024-46, Class KB, 5.00%, 12/20/2053
|
1,739
|
1,732
|
|
Series 2024-79, Class PT, 6.00%, 5/20/2054
|
5,834
|
5,864
|
|
Series 2024-144, Class DB, 6.50%, 9/20/2054
|
3,833
|
3,903
|
|
Series 2024-203, Class HA, 6.50%, 10/20/2054
|
2,641
|
2,694
|
|
Series 2025-22, Class LG, 5.00%, 1/20/2055
|
27,011
|
26,914
|
|
Series 2025-63, Class PA, 5.00%, 3/20/2055
|
8,610
|
8,579
|
|
Series 2024-19, Class E, 5.00%, 9/20/2057
|
12,257
|
12,213
|
|
Series 2023-115, Class E, 5.50%, 11/20/2057
|
8,334
|
8,399
|
|
Series 2010-H26, Class LF, 4.13%, 8/20/2058 (b)
|
3
|
3
|
|
Series 2024-19, Class EB, 5.50%, 6/20/2059
|
4,167
|
4,212
|
|
Series 2010-H03, Class FA, 4.32%, 3/20/2060 (b)
|
352
|
352
|
|
Series 2011-H07, Class FA, 4.28%, 2/20/2061 (b)
|
310
|
310
|
|
Series 2011-H08, Class FA, 4.38%, 2/20/2061 (b)
|
203
|
202
|
|
Series 2011-H11, Class FA, 4.28%, 3/20/2061 (b)
|
46
|
46
|
|
Series 2011-H11, Class FB, 4.28%, 4/20/2061 (b)
|
44
|
44
|
|
Series 2011-H21, Class FA, 4.38%, 10/20/2061 (b)
|
23
|
23
|
|
Series 2013-H05, Class FB, 4.16%, 2/20/2062 (b)
|
57
|
57
|
|
Series 2012-H14, Class FK, 4.36%, 7/20/2062 (b)
|
28
|
28
|
|
Series 2012-H18, Class NA, 4.30%, 8/20/2062 (b)
|
26
|
26
|
|
Series 2012-H20, Class BA, 4.34%, 9/20/2062 (b)
|
48
|
48
|
|
Series 2012-H29, Class FA, 4.29%, 10/20/2062 (b)
|
7
|
7
|
|
Series 2012-H23, Class WA, 4.30%, 10/20/2062 (b)
|
34
|
34
|
|
Series 2012-H30, Class GA, 4.13%, 12/20/2062 (b)
|
25
|
25
|
|
Series 2023-112, Class BA, 6.50%, 12/20/2062
|
3,518
|
3,614
|
|
Series 2013-H08, Class FA, 4.13%, 3/20/2063 (b)
|
108
|
108
|
|
Series 2013-H11, Class FA, 4.23%, 4/20/2063 (b)
|
39
|
39
|
|
Series 2013-H14, Class FG, 4.25%, 5/20/2063 (b)
|
92
|
92
|
|
Series 2013-H15, Class FA, 4.32%, 6/20/2063 (b)
|
88
|
88
|
|
Series 2013-H19, Class FC, 4.38%, 8/20/2063 (b)
|
122
|
122
|
|
Series 2014-H05, Class FB, 4.38%, 12/20/2063 (b)
|
20
|
20
|
|
Series 2014-H02, Class FB, 4.43%, 12/20/2063 (b)
|
78
|
78
|
|
Series 2024-64, Class ED, 5.50%, 4/20/2064
|
4,084
|
4,091
|
|
Series 2014-H14, Class GF, 4.25%, 7/20/2064 (b)
|
19
|
19
|
|
Series 2014-H16, Class FL, 4.25%, 7/20/2064 (b)
|
143
|
143
|
|
Series 2014-H21, Class FA, 4.43%, 10/20/2064 (b)
|
58
|
58
|
|
Series 2015-H04, Class FL, 4.25%, 2/20/2065 (b)
|
25
|
25
|
|
Series 2015-H06, Class FB, 4.43%, 2/20/2065 (b)
|
2,398
|
2,403
|
|
Series 2015-H13, Class FG, 4.18%, 4/20/2065 (b)
|
47
|
47
|
|
Series 2015-H10, Class FH, 4.38%, 4/20/2065 (b)
|
227
|
227
|
|
Series 2015-H09, Class FA, 4.40%, 4/20/2065 (b)
|
74
|
74
|
|
Series 2015-H10, Class FK, 4.40%, 4/20/2065 (b)
|
2,835
|
2,840
|
|
Series 2015-H14, Class FB, 4.21%, 5/20/2065 (b)
|
14
|
14
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2015-H12, Class FB, 4.38%, 5/20/2065 (b)
|
1,735
|
1,737
|
|
Series 2015-H12, Class FD, 4.38%, 5/20/2065 (b)
|
308
|
308
|
|
Series 2015-H14, Class FA, 4.35%, 6/20/2065 (b)
|
785
|
786
|
|
Series 2015-H16, Class FM, 4.38%, 7/20/2065 (b)
|
638
|
639
|
|
Series 2015-H24, Class FA, 4.43%, 9/20/2065 (b)
|
1,287
|
1,290
|
|
Series 2015-H27, Class FA, 4.53%, 9/20/2065 (b)
|
279
|
280
|
|
Series 2015-H25, Class FD, 4.43%, 10/20/2065 (b)
|
1,346
|
1,349
|
|
Series 2015-H29, Class FA, 4.48%, 10/20/2065 (b)
|
1
|
1
|
|
Series 2015-H29, Class FJ, 4.46%, 11/20/2065 (b)
|
648
|
650
|
|
Series 2016-H01, Class FA, 4.68%, 1/20/2066 (b)
|
797
|
801
|
|
Series 2016-H06, Class FC, 4.70%, 2/20/2066 (b)
|
446
|
449
|
|
Series 2016-H06, Class FA, 4.73%, 2/20/2066 (b)
|
549
|
553
|
|
Series 2016-H09, Class FN, 4.63%, 3/20/2066 (b)
|
584
|
587
|
|
Series 2016-H14, Class FA, 4.58%, 6/20/2066 (b)
|
262
|
263
|
|
Series 2016-H22, Class FA, 4.55%, 10/20/2066 (b)
|
927
|
931
|
|
Series 2016-H24, Class AF, 4.63%, 11/20/2066 (b)
|
609
|
612
|
|
Series 2017-H07, Class FG, 4.24%, 2/20/2067 (b)
|
66
|
66
|
|
Series 2017-H14, Class FD, 4.25%, 6/20/2067 (b)
|
112
|
111
|
|
Series 2017-H16, Class CF, 4.25%, 7/20/2067 (b)
|
2,126
|
2,124
|
|
Series 2017-H15, Class FN, 4.28%, 7/20/2067 (b)
|
49
|
49
|
|
Series 2017-H19, Class FA, 4.23%, 8/20/2067 (b)
|
147
|
147
|
|
Series 2018-H04, Class FG, 4.06%, 2/20/2068 (b)
|
75
|
75
|
|
Series 2018-H07, Class FE, 4.13%, 2/20/2068 (b)
|
13
|
13
|
|
Series 2019-H01, Class FT, 4.18%, 10/20/2068 (b)
|
106
|
106
|
|
Series 2019-H05, Class FT, 4.22%, 4/20/2069 (b)
|
366
|
366
|
|
Series 2019-H10, Class FC, 4.43%, 6/20/2069 (b)
|
14,389
|
14,486
|
|
Series 2019-H14, Class FH, 4.48%, 8/20/2069 (b)
|
10,239
|
10,266
|
|
Series 2020-H13, Class FK, 4.28%, 7/20/2070 (b)
|
1,725
|
1,725
|
|
GS Mortgage-Backed Securities Trust Series 2026-HE1, Class A1, 5.21%, 3/25/2066 (a) (b)
|
37,765
|
37,992
|
|
Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (a) (c)
|
16,390
|
16,394
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2004-S2, Class 5A1, 5.50%, 12/25/2019
|
88
|
85
|
|
Series 2006-A2, Class 4A1, 6.25%, 8/25/2034 (b)
|
211
|
216
|
|
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 5.75%, 7/25/2061 (a) (c)
|
2,696
|
2,701
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (a) (c)
|
13,067
|
13,081
|
|
Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (a) (c)
|
9,079
|
9,119
|
|
Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (a) (b)
|
3,500
|
3,518
|
|
Series 2025-RTL3, Class A1, 5.24%, 8/25/2040 (a) (c)
|
12,842
|
12,849
|
|
Series 2026-RTL1, Class A1, 4.91%, 1/25/2041 (a) (c)
|
26,326
|
26,148
|
|
MASTR Alternative Loan Trust Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
MFA Trust
|
|
|
|
Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (a) (c)
|
12,170
|
12,205
|
|
Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (a) (b)
|
665
|
589
|
|
MOO Securitization Trust Series 2026-RM1, Class A1, 4.50%, 3/25/2066 ‡ (a) (b)
|
5,000
|
4,801
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (c)
|
10,343
|
10,355
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (a) (c)
|
15,750
|
15,820
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-AR6, Class 4A1, 4.22%,
12/25/2035 (b)
|
1,162
|
277
|
|
NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (a) (c)
|
3,894
|
3,894
|
|
OBX Trust Series 2020-EXP3, Class 2A1, 4.60%, 1/25/2060 (a) (b)
|
258
|
258
|
|
OLIT Series 2025-HB2, Class A, 3.00%, 11/25/2038 ‡ (a) (b)
|
4,319
|
4,221
|
|
Roc Mortgage Trust Series 2025-RTL1, Class A1, 5.63%, 2/25/2040 (a) (c)
|
3,080
|
3,086
|
|
Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (a) (c)
|
13,600
|
13,630
|
|
TVC Mortgage Trust Series 2026-RRTL1, Class A1, 4.96%, 2/25/2041 (a) (c)
|
8,339
|
8,259
|
|
Total Collateralized Mortgage Obligations
(Cost $2,151,912)
|
|
2,126,491
|
|
Mortgage-Backed Securities — 5.5%
|
||
|
FHLMC
|
|
|
|
Pool # 1B2844, ARM, 5.80%, 3/1/2035 (b)
|
23
|
24
|
|
Pool # 1L1380, ARM, 6.35%, 3/1/2035 (b)
|
277
|
286
|
|
Pool # 1L1379, ARM, 6.42%, 10/1/2035 (b)
|
292
|
302
|
|
Pool # 1G1861, ARM, 6.17%, 3/1/2036 (b)
|
108
|
111
|
|
Pool # 1J1380, ARM, 6.84%, 3/1/2036 (b)
|
17
|
18
|
|
Pool # 1J1313, ARM, 6.23%, 6/1/2036 (b)
|
26
|
26
|
|
Pool # 1G1028, ARM, 6.41%, 7/1/2036 (b)
|
10
|
10
|
|
Pool # 1N0273, ARM, 6.04%, 8/1/2036 (b)
|
37
|
38
|
|
Pool # 1K0035, ARM, 6.36%, 8/1/2036 (b)
|
11
|
11
|
|
Pool # 1J1393, ARM, 6.26%, 10/1/2036 (b)
|
85
|
87
|
|
Pool # 1J1378, ARM, 6.01%, 11/1/2036 (b)
|
79
|
82
|
|
Pool # 1N0346, ARM, 5.82%, 12/1/2036 (b)
|
84
|
85
|
|
Pool # 1J1467, ARM, 6.22%, 12/1/2036 (b)
|
73
|
76
|
|
Pool # 1J1541, ARM, 6.06%, 1/1/2037 (b)
|
240
|
246
|
|
Pool # 1J1516, ARM, 5.88%, 2/1/2037 (b)
|
14
|
14
|
|
Pool # 1N1458, ARM, 5.57%, 3/1/2037 (b)
|
72
|
73
|
|
Pool # 1J1635, ARM, 5.71%, 3/1/2037 (b)
|
100
|
104
|
|
Pool # 1J1522, ARM, 6.31%, 3/1/2037 (b)
|
38
|
39
|
|
Pool # 1Q0339, ARM, 6.14%, 4/1/2037 (b)
|
7
|
7
|
|
Pool # 1Q0697, ARM, 5.72%, 5/1/2037 (b)
|
383
|
393
|
|
Pool # 1J1681, ARM, 6.73%, 6/1/2037 (b)
|
280
|
289
|
|
Pool # 1J1685, ARM, 6.73%, 6/1/2037 (b)
|
126
|
128
|
|
Pool # 847871, ARM, 5.09%, 8/1/2037 (b)
|
90
|
90
|
|
Pool # 1J2834, ARM, 6.64%, 8/1/2037 (b)
|
12
|
12
|
|
Pool # 1Q0476, ARM, 6.55%, 10/1/2037 (b)
|
54
|
55
|
|
Pool # 1J2945, ARM, 6.50%, 11/1/2037 (b)
|
42
|
43
|
|
Pool # 1Q0894, ARM, 6.25%, 1/1/2038 (b)
|
101
|
104
|
|
Pool # 1Q0722, ARM, 6.23%, 4/1/2038 (b)
|
92
|
95
|
|
FHLMC Gold Pools, 15 Year
|
|
|
|
Pool # G14643, 4.00%, 8/1/2026
|
—
|
—
|
|
Pool # G14973, 4.00%, 12/1/2028
|
14
|
14
|
|
Pool # J30812, 3.00%, 2/1/2030
|
2,699
|
2,648
|
|
Pool # J31731, 3.00%, 5/1/2030
|
99
|
97
|
|
Pool # G16018, 3.00%, 12/1/2031
|
1,726
|
1,677
|
|
Pool # G18643, 2.50%, 5/1/2032
|
5,734
|
5,498
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # G30325, 5.50%, 3/1/2027
|
17
|
17
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # C91261, 4.50%, 8/1/2029
|
30
|
30
|
|
Pool # C91349, 4.50%, 12/1/2030
|
41
|
41
|
|
Pool # G30565, 4.50%, 10/1/2031
|
91
|
91
|
|
Pool # G30701, 5.00%, 11/1/2031
|
30
|
30
|
|
Pool # C91388, 3.50%, 2/1/2032
|
978
|
956
|
|
Pool # C91447, 3.50%, 5/1/2032
|
77
|
75
|
|
Pool # C91449, 4.00%, 5/1/2032
|
296
|
292
|
|
Pool # C91581, 3.00%, 11/1/2032
|
418
|
404
|
|
Pool # K90311, 3.00%, 4/1/2033
|
855
|
823
|
|
Pool # G30669, 4.50%, 12/1/2033
|
568
|
567
|
|
Pool # C91761, 4.00%, 5/1/2034
|
460
|
452
|
|
Pool # K92617, 3.00%, 4/1/2035
|
2,524
|
2,393
|
|
Pool # C91862, 3.50%, 1/1/2036
|
1,770
|
1,709
|
|
Pool # C91880, 3.50%, 6/1/2036
|
949
|
915
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # A30588, 6.00%, 7/1/2032
|
37
|
37
|
|
Pool # G01665, 5.50%, 3/1/2034
|
825
|
839
|
|
Pool # G05046, 5.00%, 11/1/2036
|
52
|
52
|
|
Pool # G03073, 5.50%, 7/1/2037
|
458
|
473
|
|
Pool # G04772, 7.00%, 8/1/2038
|
50
|
53
|
|
Pool # G05798, 5.50%, 1/1/2040
|
112
|
115
|
|
Pool # G08729, 4.50%, 9/1/2046
|
294
|
288
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # T45022, 2.50%, 1/1/2028
|
541
|
534
|
|
Pool # U79013, 2.50%, 4/1/2028
|
99
|
97
|
|
Pool # U79014, 2.50%, 5/1/2028
|
129
|
128
|
|
Pool # T40143, 2.50%, 7/1/2028
|
117
|
115
|
|
Pool # U79019, 3.00%, 7/1/2028
|
21
|
21
|
|
Pool # U79026, 2.50%, 9/1/2028
|
32
|
31
|
|
Pool # U49013, 3.00%, 9/1/2028
|
218
|
215
|
|
Pool # G20027, 10.00%, 10/1/2030
|
3
|
3
|
|
Pool # U59041, 3.00%, 12/1/2033
|
342
|
326
|
|
Pool # ZT1051, 3.50%, 12/1/2033
|
1,172
|
1,139
|
|
Pool # G20028, 7.50%, 12/1/2036
|
418
|
426
|
|
Pool # RE6019, 3.00%, 12/1/2049
|
446
|
388
|
|
Pool # RE6030, 3.50%, 2/1/2050
|
342
|
310
|
|
Pool # RE6028, 3.00%, 4/1/2050
|
270
|
235
|
|
Pool # RE6048, 2.50%, 5/1/2050
|
1,135
|
942
|
|
FHLMC UMBS, 10 Year
|
|
|
|
Pool # RD5058, 2.00%, 5/1/2031
|
8,099
|
7,725
|
|
Pool # RD5059, 1.50%, 6/1/2031
|
8,953
|
8,447
|
|
Pool # RD5121, 4.50%, 9/1/2032
|
1,372
|
1,372
|
|
Pool # RD5122, 4.00%, 10/1/2032
|
1,549
|
1,532
|
|
Pool # RD5146, 4.50%, 5/1/2033
|
1,595
|
1,595
|
|
Pool # RD5150, 5.00%, 5/1/2033
|
2,960
|
2,983
|
|
Pool # RD5157, 4.50%, 7/1/2033
|
1,265
|
1,265
|
|
Pool # RD5240, 5.00%, 4/1/2035
|
3,973
|
3,996
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
FHLMC UMBS, 15 Year
|
|
|
|
Pool # ZS6893, 3.00%, 1/1/2029
|
5,201
|
5,129
|
|
Pool # ZK7588, 3.00%, 2/1/2029
|
2,620
|
2,592
|
|
Pool # ZS8591, 3.00%, 12/1/2030
|
1,551
|
1,511
|
|
Pool # ZS7344, 3.00%, 1/1/2031
|
5,857
|
5,702
|
|
Pool # SB1025, 2.50%, 2/1/2031
|
5,978
|
5,783
|
|
Pool # ZS8602, 3.00%, 3/1/2031
|
1,920
|
1,867
|
|
Pool # ZK8739, 3.00%, 5/1/2032
|
5,080
|
4,918
|
|
Pool # SB0722, 3.00%, 4/1/2033
|
2,557
|
2,493
|
|
Pool # ZS8076, 4.00%, 7/1/2033
|
835
|
826
|
|
Pool # ZS8124, 4.00%, 8/1/2033
|
1,325
|
1,310
|
|
Pool # SB1084, 3.00%, 3/1/2035
|
7,156
|
6,951
|
|
Pool # SB8100, 1.00%, 3/1/2036
|
2,711
|
2,368
|
|
Pool # SB0754, 2.00%, 3/1/2036
|
667
|
615
|
|
Pool # SB1182, 6.00%, 2/1/2038
|
15,532
|
15,965
|
|
Pool # SB1098, 6.00%, 2/1/2039
|
5,294
|
5,447
|
|
Pool # SB1376, 6.00%, 12/1/2039
|
9,471
|
9,747
|
|
FHLMC UMBS, 20 Year
|
|
|
|
Pool # ZA2217, 3.50%, 2/1/2032
|
6,395
|
6,249
|
|
Pool # ZT2375, 4.00%, 3/1/2032
|
4,888
|
4,833
|
|
Pool # ZS9162, 3.00%, 9/1/2033
|
2,916
|
2,804
|
|
Pool # ZT1674, 5.00%, 2/1/2035
|
1,232
|
1,238
|
|
Pool # SC0379, 4.50%, 4/1/2035
|
2,160
|
2,149
|
|
Pool # ZA2393, 3.00%, 10/1/2035
|
11,938
|
11,340
|
|
Pool # ZT1808, 3.50%, 5/1/2037
|
5,419
|
5,251
|
|
Pool # ZA5795, 4.00%, 11/1/2038
|
7,082
|
6,872
|
|
Pool # SC0353, 6.00%, 4/1/2043
|
21,394
|
21,859
|
|
Pool # SC0530, 6.00%, 8/1/2044
|
13,295
|
13,646
|
|
Pool # SC0594, 6.00%, 11/1/2044
|
9,035
|
9,272
|
|
Pool # SC0764, 5.50%, 8/1/2045
|
9,315
|
9,521
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # SD1278, 5.00%, 9/1/2049
|
5,523
|
5,601
|
|
Pool # SD4986, 5.50%, 11/1/2052
|
4,153
|
4,202
|
|
FNMA
|
|
|
|
Pool # 409902, ARM, 5.61%, 6/1/2027 (b)
|
1
|
1
|
|
Pool # 52597, ARM, 3.98%, 7/1/2027 (b)
|
—
|
—
|
|
Pool # 810896, ARM, 5.62%, 1/1/2035 (b)
|
11
|
11
|
|
Pool # 865095, ARM, 7.18%, 10/1/2035 (b)
|
144
|
150
|
|
Pool # AD0295, ARM, 6.66%, 3/1/2036 (b)
|
191
|
198
|
|
Pool # 894571, ARM, 6.68%, 3/1/2036 (b)
|
319
|
333
|
|
Pool # 877009, ARM, 6.86%, 3/1/2036 (b)
|
133
|
138
|
|
Pool # 895687, ARM, 5.85%, 5/1/2036 (b)
|
28
|
29
|
|
Pool # 882099, ARM, 5.78%, 7/1/2036 (b)
|
55
|
57
|
|
Pool # 884722, ARM, 5.74%, 8/1/2036 (b)
|
23
|
24
|
|
Pool # 745858, ARM, 6.27%, 8/1/2036 (b)
|
6
|
6
|
|
Pool # 886558, ARM, 6.32%, 8/1/2036 (b)
|
54
|
55
|
|
Pool # 887714, ARM, 6.67%, 8/1/2036 (b)
|
28
|
29
|
|
Pool # 870920, ARM, 5.97%, 12/1/2036 (b)
|
10
|
10
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AD0296, ARM, 6.00%, 12/1/2036 (b)
|
143
|
147
|
|
Pool # 905196, ARM, 6.41%, 12/1/2036 (b)
|
11
|
12
|
|
Pool # 920954, ARM, 5.63%, 1/1/2037 (b)
|
229
|
234
|
|
Pool # 888143, ARM, 5.90%, 1/1/2037 (b)
|
24
|
25
|
|
Pool # 913984, ARM, 5.57%, 2/1/2037 (b)
|
88
|
90
|
|
Pool # 910178, ARM, 6.00%, 3/1/2037 (b)
|
266
|
274
|
|
Pool # 936588, ARM, 5.14%, 4/1/2037 (b)
|
49
|
50
|
|
Pool # 888750, ARM, 6.04%, 4/1/2037 (b)
|
19
|
20
|
|
Pool # 948208, ARM, 5.59%, 7/1/2037 (b)
|
100
|
101
|
|
Pool # 944105, ARM, 6.27%, 7/1/2037 (b)
|
1
|
1
|
|
Pool # 950385, ARM, 4.98%, 8/1/2037 (b)
|
2
|
2
|
|
Pool # 950382, ARM, 5.15%, 8/1/2037 (b)
|
355
|
361
|
|
Pool # AD0081, ARM, 5.81%, 11/1/2037 (b)
|
31
|
31
|
|
Pool # 952182, ARM, 6.20%, 11/1/2037 (b)
|
48
|
49
|
|
Pool # 995108, ARM, 6.25%, 11/1/2037 (b)
|
96
|
99
|
|
FNMA UMBS, 10 Year
|
|
|
|
Pool # MA4040, 2.00%, 6/1/2030
|
181
|
174
|
|
Pool # MA4332, 2.00%, 5/1/2031
|
7,652
|
7,312
|
|
Pool # MA4367, 1.50%, 6/1/2031
|
10,645
|
10,044
|
|
Pool # BP3513, 2.00%, 6/1/2031
|
615
|
586
|
|
Pool # FS0868, 2.50%, 3/1/2032
|
1,579
|
1,509
|
|
Pool # MA4637, 3.00%, 6/1/2032
|
416
|
400
|
|
Pool # FS5461, 3.50%, 12/1/2032
|
2,056
|
2,014
|
|
Pool # MA5079, 5.00%, 6/1/2033
|
869
|
876
|
|
Pool # MA5117, 4.50%, 7/1/2033
|
825
|
825
|
|
Pool # MA5491, 5.00%, 9/1/2034
|
1,784
|
1,797
|
|
Pool # MA5654, 5.00%, 2/1/2035
|
3,676
|
3,715
|
|
FNMA UMBS, 15 Year
|
|
|
|
Pool # AJ5336, 3.00%, 11/1/2026
|
2
|
2
|
|
Pool # AK0971, 3.00%, 2/1/2027
|
4
|
4
|
|
Pool # AO0800, 3.00%, 4/1/2027
|
7
|
7
|
|
Pool # AP7842, 3.00%, 9/1/2027
|
6
|
6
|
|
Pool # AL3439, 4.00%, 9/1/2027
|
14
|
14
|
|
Pool # AL4307, 4.00%, 10/1/2028
|
100
|
100
|
|
Pool # AL6105, 4.00%, 12/1/2029
|
6
|
5
|
|
Pool # AZ0888, 3.50%, 7/1/2030
|
1,248
|
1,231
|
|
Pool # AZ8018, 3.00%, 9/1/2030
|
2,349
|
2,295
|
|
Pool # FM9465, 3.00%, 1/1/2031
|
1,252
|
1,236
|
|
Pool # AL9065, 3.00%, 9/1/2031
|
2,725
|
2,652
|
|
Pool # FM3524, 3.00%, 4/1/2032
|
2,571
|
2,522
|
|
Pool # BM5110, 3.00%, 9/1/2032
|
6,499
|
6,341
|
|
Pool # BN6225, 3.50%, 3/1/2034
|
1,680
|
1,640
|
|
Pool # CA4258, 2.50%, 10/1/2034
|
2,921
|
2,751
|
|
Pool # CA4263, 3.00%, 10/1/2034
|
2,751
|
2,637
|
|
Pool # FS4292, 3.00%, 2/1/2035
|
1,598
|
1,557
|
|
Pool # FS0870, 3.00%, 3/1/2035
|
17,236
|
16,726
|
|
Pool # MA3984, 2.50%, 4/1/2035
|
2,006
|
1,889
|
|
Pool # FS3924, 3.00%, 6/1/2035
|
10,553
|
10,271
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS4504, 3.50%, 9/1/2035
|
2,376
|
2,339
|
|
Pool # FS5951, 3.50%, 9/1/2035
|
2,527
|
2,485
|
|
Pool # FS4848, 3.00%, 7/1/2036
|
1,897
|
1,821
|
|
Pool # FS4430, 3.50%, 1/1/2037
|
2,110
|
2,068
|
|
Pool # FS6749, 3.50%, 1/1/2037
|
1,849
|
1,789
|
|
Pool # MA5122, 6.00%, 8/1/2038
|
6,334
|
6,516
|
|
Pool # FS7413, 6.00%, 10/1/2038
|
4,739
|
4,883
|
|
Pool # FA1567, 6.00%, 5/1/2040
|
11,323
|
11,728
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # 256714, 5.50%, 5/1/2027
|
11
|
11
|
|
Pool # MA0214, 5.00%, 10/1/2029
|
203
|
204
|
|
Pool # AD5474, 5.00%, 5/1/2030
|
74
|
75
|
|
Pool # MA0534, 4.00%, 10/1/2030
|
35
|
34
|
|
Pool # AL4165, 4.50%, 1/1/2031
|
198
|
197
|
|
Pool # MA0804, 4.00%, 7/1/2031
|
45
|
45
|
|
Pool # MA0792, 4.50%, 7/1/2031
|
384
|
383
|
|
Pool # MA3894, 4.00%, 9/1/2031
|
56
|
55
|
|
Pool # 890653, 4.50%, 1/1/2032
|
171
|
170
|
|
Pool # AL5958, 4.00%, 3/1/2032
|
412
|
407
|
|
Pool # MA1037, 3.00%, 4/1/2032
|
413
|
399
|
|
Pool # AL1722, 4.50%, 4/1/2032
|
31
|
31
|
|
Pool # AB5811, 3.00%, 8/1/2032
|
658
|
635
|
|
Pool # AL7474, 3.50%, 10/1/2032
|
389
|
377
|
|
Pool # MA1270, 2.50%, 11/1/2032
|
297
|
282
|
|
Pool # AL3190, 4.00%, 12/1/2032
|
180
|
178
|
|
Pool # AU5910, 3.50%, 9/1/2033
|
3,683
|
3,573
|
|
Pool # MA1802, 3.00%, 1/1/2034
|
382
|
364
|
|
Pool # BM4298, 3.50%, 4/1/2034
|
6,492
|
6,304
|
|
Pool # AL8051, 4.00%, 5/1/2034
|
1,641
|
1,610
|
|
Pool # AL5373, 4.50%, 5/1/2034
|
200
|
199
|
|
Pool # MA1922, 4.00%, 6/1/2034
|
10,534
|
10,363
|
|
Pool # BM4606, 4.00%, 1/1/2036
|
6,568
|
6,475
|
|
Pool # MA2587, 3.50%, 4/1/2036
|
1,259
|
1,214
|
|
Pool # FM2477, 3.00%, 5/1/2036
|
1,555
|
1,495
|
|
Pool # MA2610, 3.00%, 5/1/2036
|
10,864
|
10,298
|
|
Pool # AS7789, 3.00%, 8/1/2036
|
2,221
|
2,103
|
|
Pool # FM6297, 3.50%, 12/1/2036
|
1,681
|
1,626
|
|
Pool # FS0448, 3.00%, 1/1/2037
|
3,986
|
3,836
|
|
Pool # BM1370, 3.00%, 4/1/2037
|
1,078
|
1,018
|
|
Pool # BJ2544, 3.00%, 12/1/2037
|
795
|
746
|
|
Pool # FM2922, 3.00%, 2/1/2038
|
1,120
|
1,078
|
|
Pool # FM8386, 3.00%, 6/1/2038
|
1,619
|
1,550
|
|
Pool # FS4583, 4.00%, 6/1/2038
|
1,160
|
1,138
|
|
Pool # FS1689, 4.50%, 4/1/2039
|
839
|
837
|
|
Pool # FS4048, 4.50%, 4/1/2039
|
6,762
|
6,747
|
|
Pool # FS4490, 4.00%, 7/1/2039
|
7,010
|
6,821
|
|
Pool # MA5205, 6.00%, 11/1/2043
|
18,660
|
19,065
|
|
Pool # FS9723, 6.00%, 9/1/2044
|
16,267
|
16,664
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FA0954, 6.00%, 1/1/2045
|
2,106
|
2,152
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 555889, 8.00%, 12/1/2030
|
1
|
1
|
|
Pool # 254548, 5.50%, 12/1/2032
|
381
|
391
|
|
Pool # 555458, 5.50%, 5/1/2033
|
760
|
768
|
|
Pool # 735503, 6.00%, 4/1/2035
|
599
|
618
|
|
Pool # 745275, 5.00%, 2/1/2036
|
1,114
|
1,124
|
|
Pool # 889118, 5.50%, 4/1/2036
|
1,143
|
1,157
|
|
Pool # 889209, 5.00%, 5/1/2036
|
57
|
57
|
|
Pool # 745948, 6.50%, 10/1/2036
|
101
|
105
|
|
Pool # 889494, 5.50%, 1/1/2037
|
84
|
87
|
|
Pool # AD0249, 5.50%, 4/1/2037
|
773
|
783
|
|
Pool # 995024, 5.50%, 8/1/2037
|
130
|
133
|
|
Pool # FS4003, 5.50%, 8/1/2037
|
4,388
|
4,451
|
|
Pool # 950302, 7.00%, 8/1/2037
|
188
|
199
|
|
Pool # 888890, 6.50%, 10/1/2037
|
282
|
301
|
|
Pool # 929005, 6.00%, 1/1/2038
|
214
|
225
|
|
Pool # 995049, 5.50%, 2/1/2038
|
2,606
|
2,710
|
|
Pool # 890268, 6.50%, 10/1/2038
|
499
|
531
|
|
Pool # 995149, 6.50%, 10/1/2038
|
315
|
329
|
|
Pool # AL7521, 5.00%, 6/1/2039
|
152
|
152
|
|
Pool # AC3237, 5.00%, 10/1/2039
|
86
|
87
|
|
Pool # AB2025, 5.00%, 1/1/2040
|
191
|
190
|
|
Pool # AK6740, 4.00%, 3/1/2042
|
1,019
|
992
|
|
Pool # AO7185, 4.00%, 9/1/2042
|
562
|
540
|
|
Pool # AL7590, 3.50%, 10/1/2045
|
483
|
449
|
|
Pool # FS5552, 5.00%, 12/1/2047
|
4,109
|
4,128
|
|
Pool # FS6870, 5.50%, 11/1/2052
|
2,951
|
3,039
|
|
FNMA, 30 Year Pool # 801357, 5.50%, 8/1/2034
|
20
|
20
|
|
FNMA, Other
|
|
|
|
Pool # AN1613, 2.55%, 7/1/2026
|
8,704
|
8,672
|
|
Pool # BL4482, 2.19%, 11/1/2026
|
9,695
|
9,603
|
|
Pool # AM8146, 2.78%, 2/1/2027
|
6,866
|
6,804
|
|
Pool # AN5041, 3.08%, 3/1/2027
|
4,891
|
4,853
|
|
Pool # AN6585, 2.84%, 9/1/2027
|
6,295
|
6,193
|
|
Pool # AN6586, 2.84%, 9/1/2027
|
5,760
|
5,667
|
|
Pool # AN7169, 2.83%, 10/1/2027
|
5,155
|
5,070
|
|
Pool # BL9763, 1.24%, 12/1/2027
|
2,500
|
2,391
|
|
Pool # AB7351, 2.50%, 12/1/2027
|
100
|
99
|
|
Pool # AQ8837, 2.50%, 12/1/2027
|
60
|
59
|
|
Pool # AQ9357, 2.50%, 1/1/2028
|
34
|
34
|
|
Pool # AN8048, 3.08%, 1/1/2028
|
3,142
|
3,113
|
|
Pool # AQ9760, 2.50%, 2/1/2028
|
168
|
165
|
|
Pool # MA1360, 2.50%, 2/1/2028
|
194
|
191
|
|
Pool # BS1625, 1.35%, 4/1/2028
|
4,825
|
4,580
|
|
Pool # BS8763, 4.50%, 6/1/2028
|
1,335
|
1,339
|
|
Pool # BS9129, 4.39%, 7/1/2028
|
3,798
|
3,805
|
|
Pool # MA1557, 3.00%, 8/1/2028
|
42
|
42
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS9278, 4.65%, 8/1/2028
|
1,444
|
1,450
|
|
Pool # BS9062, 4.54%, 9/1/2028
|
5,425
|
5,445
|
|
Pool # BS9590, 4.82%, 9/1/2028
|
7,345
|
7,412
|
|
Pool # BS9454, 5.34%, 9/1/2028
|
4,483
|
4,576
|
|
Pool # BZ0016, 5.55%, 12/1/2028
|
4,979
|
5,113
|
|
Pool # BZ0809, 4.89%, 4/1/2029
|
1,240
|
1,256
|
|
Pool # BZ0931, 4.71%, 5/1/2029
|
8,843
|
8,926
|
|
Pool # BZ1385, 4.65%, 7/1/2029
|
2,000
|
2,021
|
|
Pool # BM7222, 3.50%, 10/1/2029
|
1,447
|
1,433
|
|
Pool # BZ3364, 4.77%, 3/1/2030
|
10,000
|
10,135
|
|
Pool # BZ4177, 5.02%, 6/1/2030
|
2,929
|
2,995
|
|
Pool # BZ4799, 4.54%, 9/1/2030
|
3,830
|
3,856
|
|
Pool # BM7221, 3.00%, 2/1/2031
|
2,051
|
2,029
|
|
Pool # BK4847, 2.50%, 4/1/2033
|
155
|
146
|
|
Pool # BM6947, 3.50%, 7/1/2033
|
1,917
|
1,872
|
|
Pool # AL6151, 3.50%, 8/1/2034
|
6,458
|
6,252
|
|
Pool # BM6595, 4.00%, 6/1/2037
|
1,385
|
1,355
|
|
Pool # BF0077, 4.50%, 3/1/2039
|
6,856
|
6,755
|
|
Pool # BF0194, 4.50%, 7/1/2040
|
1,621
|
1,597
|
|
Pool # BF0238, 4.50%, 8/1/2041
|
8,902
|
8,841
|
|
Pool # MA0896, 4.00%, 11/1/2041
|
240
|
228
|
|
Pool # MA1188, 3.00%, 9/1/2042
|
1,223
|
1,102
|
|
Pool # MA1349, 3.00%, 2/1/2043
|
1,289
|
1,162
|
|
Pool # MA1371, 3.00%, 3/1/2043
|
428
|
386
|
|
Pool # MA1433, 3.00%, 5/1/2043
|
556
|
501
|
|
Pool # MA1510, 4.00%, 7/1/2043
|
578
|
557
|
|
Pool # AL6167, 3.50%, 1/1/2044
|
876
|
819
|
|
Pool # BM3994, 3.50%, 1/1/2044
|
1,120
|
1,047
|
|
Pool # AL6854, 3.00%, 2/1/2044
|
1,584
|
1,443
|
|
Pool # AL7826, 3.50%, 1/1/2046
|
1,075
|
1,031
|
|
Pool # MA2621, 3.50%, 5/1/2046
|
277
|
255
|
|
Pool # MA2744, 3.50%, 9/1/2046
|
669
|
617
|
|
Pool # AL9060, 5.55%, 4/1/2047
|
2,881
|
2,963
|
|
Pool # BH8493, 3.00%, 11/1/2047
|
816
|
717
|
|
Pool # MA3197, 3.00%, 11/1/2047
|
457
|
401
|
|
Pool # BF0362, 5.50%, 1/1/2048
|
7,006
|
7,246
|
|
Pool # BM5053, 3.00%, 4/1/2048
|
325
|
293
|
|
Pool # BF0371, 5.00%, 7/1/2048
|
1,164
|
1,173
|
|
Pool # BF0573, 5.50%, 12/1/2048
|
8,983
|
9,036
|
|
Pool # BM6073, 3.00%, 7/1/2049
|
756
|
681
|
|
Pool # MA3913, 3.00%, 1/1/2050
|
863
|
751
|
|
Pool # CA5133, 3.00%, 2/1/2050
|
403
|
350
|
|
Pool # CA5979, 3.00%, 5/1/2050
|
347
|
302
|
|
Pool # MA4029, 3.00%, 5/1/2050
|
352
|
303
|
|
Pool # MA4057, 2.50%, 6/1/2050
|
658
|
547
|
|
Pool # CA6065, 3.00%, 6/1/2050
|
332
|
288
|
|
Pool # MA4058, 3.00%, 6/1/2050
|
276
|
240
|
|
Pool # CA6385, 3.00%, 7/1/2050
|
378
|
325
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
GNMA I, 30 Year
|
|
|
|
Pool # 423946, 9.00%, 10/15/2026
|
—
|
—
|
|
Pool # 786458, 5.50%, 3/15/2033
|
1,831
|
1,859
|
|
Pool # 784278, 5.50%, 1/15/2034
|
1,483
|
1,511
|
|
Pool # 687926, 6.50%, 9/15/2038
|
689
|
736
|
|
Pool # 785282, 4.25%, 10/15/2040
|
6,288
|
6,104
|
|
Pool # 785859, 5.50%, 6/15/2041
|
17,156
|
17,835
|
|
Pool # AE7700, 3.50%, 8/15/2043
|
338
|
312
|
|
GNMA II
|
|
|
|
Pool # 80053, ARM, 5.00%, 3/20/2027 (b)
|
—
|
—
|
|
Pool # 80152, ARM, 5.00%, 1/20/2028 (b)
|
—
|
—
|
|
GNMA II, 15 Year
|
|
|
|
Pool # 5136, 4.00%, 8/20/2026
|
—
|
—
|
|
Pool # 5208, 3.00%, 10/20/2026
|
24
|
24
|
|
Pool # 5277, 3.50%, 1/20/2027
|
8
|
8
|
|
Pool # MA3495, 2.50%, 3/20/2031
|
4,134
|
3,986
|
|
Pool # MA3638, 2.50%, 5/20/2031
|
2,325
|
2,238
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2285, 8.00%, 9/20/2026
|
—
|
—
|
|
Pool # 2499, 8.00%, 10/20/2027
|
—
|
—
|
|
Pool # 2525, 8.00%, 12/20/2027
|
—
|
—
|
|
Pool # 2646, 7.50%, 9/20/2028
|
1
|
1
|
|
Pool # 4224, 7.00%, 8/20/2038
|
337
|
352
|
|
Pool # 4245, 6.00%, 9/20/2038
|
475
|
500
|
|
Pool # 4247, 7.00%, 9/20/2038
|
631
|
653
|
|
Pool # MA8619, 6.50%, 11/20/2038
|
2,135
|
2,265
|
|
Pool # MA8918, 5.50%, 12/20/2038
|
1,276
|
1,320
|
|
GNMA II, Other Pool # MA6081, 3.50%, 8/20/2049
|
559
|
500
|
|
Total Mortgage-Backed Securities
(Cost $712,916)
|
|
710,063
|
|
Commercial Mortgage-Backed Securities — 1.6%
|
||
|
Commercial Mortgage Trust
|
|
|
|
Series 2014-UBS3, Class B, 4.31%, 6/10/2047
|
2,607
|
2,522
|
|
Series 2015-CR26, Class B, 4.68%, 10/10/2048 (b)
|
627
|
613
|
|
CSTL Commercial Mortgage Trust
|
|
|
|
Series 2025-GATE2, Class A, 4.56%, 11/10/2042 (a) (b)
|
26,965
|
26,420
|
|
Series 2026-GATE3, Class A, 4.69%, 2/10/2043 (a) (b)
|
12,500
|
12,357
|
|
DLIC Re-REMIC Trust
|
|
|
|
Series 2025-FRR1, Class AK57, 1.15%, 8/27/2049 ‡ (a) (b)
|
18,426
|
18,212
|
|
Series 2025-FRR1, Class BK57, 1.18%, 8/27/2049 ‡ (a) (b)
|
6,768
|
6,682
|
|
FHLMC MSCR Trust Series 2025-MN12, Class M1, 5.36%, 11/25/2045 (a) (b)
|
7,484
|
7,490
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KC07, Class A7, 2.51%, 10/25/2026
|
1,855
|
1,842
|
|
Series K068, Class X1, IO, 0.40%, 8/25/2027 (b)
|
62,026
|
267
|
|
Series K740, Class X1, IO, 0.72%, 9/25/2027 (b)
|
99,810
|
707
|
|
Series K506, Class A1, 4.65%, 5/25/2028
|
1,152
|
1,158
|
|
Series KG04, Class A1, 0.85%, 6/25/2030
|
2,918
|
2,712
|
|
Series K114, Class X1, IO, 1.11%, 6/25/2030 (b)
|
39,157
|
1,490
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
FNMA ACES Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (b)
|
53,524
|
2,709
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2016-K57, Class B, 3.86%, 8/25/2049 (a) (b)
|
12,794
|
12,748
|
|
Series 2017-K62, Class B, 3.89%, 1/25/2050 (a) (b)
|
5,500
|
5,467
|
|
Series 2017-K71, Class B, 3.75%, 11/25/2050 (a) (b)
|
1,000
|
986
|
|
Series 2019-K91, Class B, 4.26%, 4/25/2051 (a) (b)
|
5,000
|
4,908
|
|
Series 2018-K79, Class B, 4.21%, 7/25/2051 (a) (b)
|
8,000
|
7,859
|
|
Series 2019-K90, Class B, 4.32%, 2/25/2052 (a) (b)
|
13,582
|
13,360
|
|
Series 2020-K105, Class B, 3.53%, 3/25/2053 (a) (b)
|
7,245
|
6,885
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.11%, 7/15/2048 (b)
|
9,000
|
7,346
|
|
Series 2015-C31, Class C, 4.53%, 8/15/2048 (b)
|
2,750
|
2,138
|
|
JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A3, 3.11%, 7/15/2050
|
2,800
|
2,774
|
|
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%,
11/15/2049 (b)
|
4,140
|
4,033
|
|
Morgan Stanley Capital I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (b)
|
2,526
|
2,515
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class B, 2.72%, 12/15/2036 (a)
|
6,000
|
4,974
|
|
MTN Commercial Mortgage Trust Series 2026-LPFX, Class A, 5.15%, 5/15/2043 (a) (b)
|
7,105
|
7,108
|
|
PRM5 Trust Series 2025-PRM5, Class A, 4.47%, 3/10/2033 (a) (b)
|
4,655
|
4,624
|
|
PRM7 Trust Series 2025-PRM7, Class A, 4.36%, 11/10/2042 (a) (b)
|
24,320
|
23,721
|
|
ROCK Trust Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (a)
|
16,000
|
16,225
|
|
Wells Fargo Commercial Mortgage Trust Series 2017-C41, Class A2, 2.59%, 11/15/2050
|
894
|
881
|
|
Total Commercial Mortgage-Backed Securities
(Cost $218,236)
|
|
213,733
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 9.9%
|
||
|
Investment Companies — 3.9%
|
||
|
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.48% (f) (g)
(Cost $510,410)
|
510,410
|
510,410
|
|
|
PRINCIPAL
AMOUNT
($000)
|
|
|
U.S. Treasury Obligations — 6.0%
|
||
|
U.S. Treasury Bills
|
|
|
|
3.57%, 7/2/2026 (h) (i)
|
22,830
|
22,759
|
|
3.80%, 8/6/2026 (h)
|
592,655
|
588,723
|
|
3.63%, 3/18/2027 (h)
|
165,220
|
160,445
|
|
Total U.S. Treasury Obligations
(Cost $771,984)
|
|
771,927
|
|
Total Short-Term Investments
(Cost $1,282,394)
|
|
1,282,337
|
|
Total Investments — 101.2%
(Cost $13,172,315)
|
|
13,147,680
|
|
Liabilities in Excess of Other Assets — (1.2)%
|
|
(151,680
)
|
|
NET ASSETS — 100.0%
|
|
12,996,000
|
|
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.
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2026. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(b)
|
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.
|
|
|
(c)
|
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.
|
|
|
(d)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(e)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2026.
|
|
|
(f)
|
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.
|
|
|
(g)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
(h)
|
The rate shown is the effective yield as of May 31, 2026.
|
|
|
(i)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 2 Year Note
|
18,709
|
09/30/2026
|
USD
|
3,865,747
|
7,581
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(1,279
)
|
09/21/2026
|
USD
|
(140,550
)
|
(1,311
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(783
)
|
09/21/2026
|
USD
|
(87,855
)
|
(1,249
)
|
|
U.S. Treasury Long Bond
|
(110
)
|
09/21/2026
|
USD
|
(12,365
)
|
(252
)
|
|
U.S. Treasury Ultra Bond
|
(1
)
|
09/21/2026
|
USD
|
(115
)
|
(3
)
|
|
U.S. Treasury 5 Year Note
|
(7,125
)
|
09/30/2026
|
USD
|
(764,323
)
|
(4,891
)
|
|
|
|
|
|
|
(7,706
)
|
|
|
|
|
|
|
(125
)
|
|
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
|
$—
|
$3,303,754
|
$106,285
|
$3,410,039
|
|
Collateralized Mortgage Obligations
|
—
|
2,050,402
|
76,089
|
2,126,491
|
|
Commercial Mortgage-Backed Securities
|
—
|
188,839
|
24,894
|
213,733
|
|
Corporate Bonds
|
|
|
|
|
|
Automobiles
|
—
|
127,373
|
—
|
127,373
|
|
Banks
|
—
|
1,902,401
|
—
|
1,902,401
|
|
Capital Markets
|
—
|
426,289
|
—
|
426,289
|
|
Construction & Engineering
|
—
|
12,222
|
—
|
12,222
|
|
Consumer Finance
|
—
|
153,509
|
—
|
153,509
|
|
Containers & Packaging
|
—
|
15,078
|
—
|
15,078
|
|
Electric Utilities
|
—
|
23,545
|
—
|
23,545
|
|
Entertainment
|
—
|
1,715
|
—
|
1,715
|
|
Financial Services
|
—
|
104,787
|
66,371
|
171,158
|
|
Health Care Providers & Services
|
—
|
4,271
|
—
|
4,271
|
|
Insurance
|
—
|
58,096
|
—
|
58,096
|
|
Multi-Utilities
|
—
|
20,520
|
—
|
20,520
|
|
Oil, Gas & Consumable Fuels
|
—
|
33,114
|
—
|
33,114
|
|
Semiconductors & Semiconductor Equipment
|
—
|
12,131
|
—
|
12,131
|
|
Software
|
—
|
43,055
|
—
|
43,055
|
|
Wireless Telecommunication Services
|
—
|
17,246
|
—
|
17,246
|
|
Total Corporate Bonds
|
—
|
2,955,352
|
66,371
|
3,021,723
|
|
Mortgage-Backed Securities
|
—
|
710,063
|
—
|
710,063
|
|
U.S. Treasury Obligations
|
—
|
2,383,294
|
—
|
2,383,294
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
510,410
|
—
|
—
|
510,410
|
|
U.S. Treasury Obligations
|
—
|
771,927
|
—
|
771,927
|
|
Total Short-Term Investments
|
510,410
|
771,927
|
—
|
1,282,337
|
|
Total Investments in Securities
|
$510,410
|
$12,363,631
|
$273,639
|
$13,147,680
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$7,581
|
$—
|
$—
|
$7,581
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$(7,706
)
|
$—
|
$—
|
$(7,706
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$(125
)
|
$—
|
$—
|
$(125
)
|
|
|
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
|
Balance as of
May 31,
2026
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$50,237
|
$—
(a)
|
$(908
)
|
$6
|
$61,019
|
$(4,069
)
|
$—
|
$—
|
$106,285
|
|
Collateralized Mortgage
Obligations
|
64,955
|
—
|
(476
)
|
10
|
44,747
|
(1,891
)
|
—
|
(31,256
)
|
76,089
|
|
Commercial Mortgage-Backed
Securities
|
24,651
|
—
|
234
|
9
|
—
|
—
|
—
|
—
|
24,894
|
|
Corporate Bonds
|
41,312
|
—
(a)
|
(111
)
|
(16
)
|
29,641
|
(4,455
)
|
—
|
—
|
66,371
|
|
Total
|
$181,155
|
$—
(a)
|
$(1,261
)
|
$9
|
$135,407
|
$(10,415
)
|
$—
|
$(31,256
)
|
$273,639
|
|
|
|||||||||
|
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)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value at
May 31, 2026
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
|
$30,327
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (7.17%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
4.89% - 5.89% (5.57%)
|
|
Asset-Backed Securities
|
30,327
|
|
|
|
|
|
47,789
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
25.00% - 100.00% (93.37%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.04% - 5.73% (5.41%)
|
|
Collateralized Mortgage Obligations
|
47,789
|
|
|
|
|
Total
|
$78,116
|
|
|
|
|
#
|
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 $195,523. The inputs for these investments are not readily available
or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended May 31, 2026
|
|||||||||
|
Security Description
|
Value at
February 28,
2026
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2026
|
Shares at
May 31,
2026
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 3.48% (a) (b)
|
$333,144
|
$1,625,024
|
$1,447,758
|
$—
|
$—
|
$510,410
|
510,410
|
$4,932
|
$—
|
|
|
|
|
(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.
|