| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Long-Term Investments 100.1% | |||||
| Asset-Backed Securities 21.1% | |||||
| Automobiles 5.3% | |||||
| Americredit Automobile Receivables Trust, Series 2023-01, Class C | 5.800 % | 12/18/28 | 2,100 | $2,124,868 | |
| AmeriCredit Automobile Receivables Trust, | |||||
| Series 2019-01, Class C | 3.360 | 02/18/25 | 74 | 73,442 | |
| Series 2019-02, Class C | 2.740 | 04/18/25 | 341 | 338,808 | |
| Series 2019-03, Class C | 2.320 | 07/18/25 | 1,231 | 1,215,672 | |
| Series 2020-01, Class B | 1.480 | 01/21/25 | 172 | 171,522 | |
| Series 2021-02, Class C | 1.010 | 01/19/27 | 1,300 | 1,192,691 | |
| Series 2021-03, Class C | 1.410 | 08/18/27 | 1,400 | 1,278,507 | |
| Avis Budget Rental Car Funding AESOP LLC, | |||||
| Series 2018-01A, Class A, 144A | 3.700 | 09/20/24 | 917 | 912,779 | |
| Series 2018-02A, Class A, 144A | 4.000 | 03/20/25 | 500 | 494,154 | |
| Series 2019-02A, Class A, 144A | 3.350 | 09/22/25 | 1,100 | 1,070,296 | |
| Series 2019-03A, Class A, 144A | 2.360 | 03/20/26 | 1,700 | 1,613,329 | |
| Series 2020-01A, Class A, 144A | 2.330 | 08/20/26 | 1,200 | 1,127,202 | |
| Series 2021-01A, Class A, 144A | 1.380 | 08/20/27 | 3,500 | 3,129,538 | |
| Series 2021-02A, Class A, 144A | 1.660 | 02/20/28 | 3,800 | 3,372,077 | |
| Series 2022-01A, Class A, 144A | 3.830 | 08/21/28 | 4,800 | 4,578,482 | |
| Series 2023-02A, Class A, 144A | 5.200 | 10/20/27 | 2,000 | 2,004,982 | |
| CarMax Auto Owner Trust, | |||||
| Series 2021-02, Class C | 1.340 | 02/16/27 | 1,100 | 1,019,278 | |
| Series 2021-04, Class C | 1.380 | 07/15/27 | 800 | 726,933 | |
| Series 2022-01, Class C | 2.200 | 11/15/27 | 1,300 | 1,204,844 | |
| Series 2022-01, Class D | 2.470 | 07/17/28 | 600 | 548,804 | |
| Ford Credit Auto Owner Trust, | |||||
| Series 2018-01, Class A, 144A | 3.190 | 07/15/31 | 1,300 | 1,260,761 | |
| Series 2019-01, Class A, 144A | 3.520 | 07/15/30 | 600 | 591,429 | |
| Series 2020-01, Class A, 144A | 2.040 | 08/15/31 | 3,300 | 3,131,498 | |
| Series 2020-02, Class A, 144A | 1.060 | 04/15/33 | 1,100 | 1,004,801 | |
| Series 2021-01, Class B, 144A | 1.610 | 10/17/33 | 630 | 568,773 | |
| Series 2021-02, Class B, 144A | 1.910 | 05/15/34 | 600 | 538,654 | |
| Series 2023-01, Class A, 144A | 4.850 | 08/15/35 | 4,200 | 4,240,171 | |
| Ford Credit Floorplan Master Owner Trust, Series 2020-02, Class A | 1.060 | 09/15/27 | 2,800 | 2,569,708 | |
| GLS Auto Receivables Issuer Trust, Series 2021-04A, Class B, 144A | 1.530 | 04/15/26 | 1,700 | 1,647,969 | |
| GM Financial Revolving Receivables Trust, Series 2021-01, Class B, 144A | 1.490 | 06/12/34 | 200 | 174,399 | |
| Hertz Vehicle Financing III LLC, Series 2023-01A, Class A, 144A | 5.490 | 06/25/27 | 3,800 | 3,840,361 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Automobiles (cont’d.) | |||||
| Hertz Vehicle Financing III LP, Series 2021-02A, Class A, 144A | 1.680 % | 12/27/27 | 1,900 | $1,689,286 | |
| Hertz Vehicle Financing LLC, | |||||
| Series 2021-01A, Class A, 144A | 1.210 | 12/26/25 | 2,200 | 2,062,506 | |
| Series 2022-02A, Class A, 144A | 2.330 | 06/26/28 | 5,500 | 4,925,434 | |
| OneMain Direct Auto Receivables Trust, | |||||
| Series 2019-01A, Class A, 144A | 3.630 | 09/14/27 | 4,100 | 3,970,330 | |
| Series 2021-01A, Class B, 144A | 1.260 | 07/14/28 | 2,700 | 2,431,112 | |
| Series 2023-01A, Class A, 144A | 5.410 | 11/14/29 | 4,800 | 4,825,833 | |
| Santander Drive Auto Receivables Trust, | |||||
| Series 2020-03, Class C | 1.120 | 01/15/26 | 264 | 263,125 | |
| Series 2020-04, Class C | 1.010 | 01/15/26 | 407 | 404,225 | |
| Series 2021-02, Class C | 0.900 | 06/15/26 | 870 | 854,528 | |
| Series 2021-02, Class D | 1.350 | 07/15/27 | 2,300 | 2,181,031 | |
| Series 2021-03, Class C | 0.950 | 09/15/27 | 2,000 | 1,950,919 | |
| Series 2021-04, Class C | 1.260 | 02/16/27 | 2,800 | 2,680,424 | |
| Series 2022-01, Class C | 2.560 | 04/17/28 | 1,800 | 1,727,933 | |
| Series 2023-01, Class C | 5.090 | 05/15/30 | 800 | 796,271 | |
| Toyota Auto Loan Extended Note Trust, Series 2020-01A, Class A, 144A | 1.350 | 05/25/33 | 1,000 | 932,868 | |
| World Omni Select Auto Trust, | |||||
| Series 2019-A, Class B | 2.170 | 12/15/25 | 86 | 85,421 | |
| Series 2019-A, Class C | 2.380 | 12/15/25 | 300 | 296,920 | |
| Series 2021-A, Class C | 1.090 | 11/15/27 | 600 | 549,975 | |
| 80,394,873 | |||||
| Collateralized Loan Obligations 14.2% | |||||
| AIG CLO Ltd. (Cayman Islands), Series 2019-02A, Class AR, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) | 6.355(c) | 10/25/33 | 11,000 | 10,861,046 | |
| Allegro CLO Ltd. (Cayman Islands), Series 2019-02A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) | 6.655(c) | 01/19/33 | 5,000 | 4,933,439 | |
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2021-17A, Class A1, 144A, 3 Month LIBOR + 1.170% (Cap N/A, Floor 1.170%) | 6.430(c) | 07/15/34 | 6,500 | 6,327,822 | |
| Apidos CLO Ltd. (Jersey), Series 2023-44A, Class A1, 144A, 3 Month SOFR + 2.000% (Cap N/A, Floor 2.000%) | 7.057(c) | 04/26/35 | 7,500 | 7,499,333 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Apres Static CLO Ltd. (Cayman Islands), Series 2019-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 0.000%) | 6.330 %(c) | 10/15/28 | 1,567 | $1,558,962 | |
| Bain Capital Credit CLO Ltd. (Cayman Islands), Series 2019-03A, Class AR, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) | 6.421(c) | 10/21/34 | 6,500 | 6,350,898 | |
| Balboa Bay Loan Funding Ltd. (Cayman Islands), | |||||
| Series 2020-01A, Class AR, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 6.370(c) | 01/20/32 | 5,000 | 4,926,272 | |
| Series 2021-01A, Class A, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) | 6.450(c) | 07/20/34 | 3,100 | 3,034,285 | |
| Barings Loan Partners CLO Ltd. (Cayman Islands), Series LP-02A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) | 6.350(c) | 01/20/34 | 11,750 | 11,592,943 | |
| Battalion CLO Ltd. (Cayman Islands), | |||||
| Series 2015-08A, Class A1R2, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) | 6.332(c) | 07/18/30 | 937 | 926,096 | |
| Series 2016-10A, Class A1R2, 144A, 3 Month LIBOR + 1.170% (Cap N/A, Floor 1.170%) | 6.443(c) | 01/25/35 | 400 | 390,941 | |
| Series 2017-11A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 6.423(c) | 04/24/34 | 5,500 | 5,373,639 | |
| Series 2019-16A, Class AR, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 6.370(c) | 12/19/32 | 3,250 | 3,191,868 | |
| Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2015-05A, Class A1RR, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 1.080%) | 6.330(c) | 01/20/32 | 10,224 | 10,085,137 | |
| Carlyle US CLO Ltd. (Cayman Islands), | |||||
| Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.020% (Cap N/A, Floor 0.000%) | 6.270(c) | 04/20/31 | 1,000 | 989,215 | |
| Series 2021-05A, Class A1, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 6.370(c) | 07/20/34 | 7,000 | 6,853,223 | |
| CBAM Ltd. (Cayman Islands), Series 2020-12A, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) | 6.430(c) | 07/20/34 | 8,500 | 8,335,298 | |
| CIFC Funding Ltd. (Cayman Islands), | |||||
| Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) | 6.460(c) | 10/17/31 | 1,000 | 992,167 | |
| Series 2021-05A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 6.400(c) | 07/15/34 | 2,000 | 1,961,409 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Crown Point CLO Ltd. (Cayman Islands), Series 2021-11A, Class A, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 6.380 %(c) | 01/17/34 | 5,500 | $5,382,122 | |
| Elevation CLO Ltd. (Cayman Islands), | |||||
| Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) | 6.540(c) | 07/15/29 | 155 | 153,513 | |
| Series 2021-13A, Class A1, 144A, 3 Month LIBOR + 1.190% (Cap N/A, Floor 1.190%) | 6.450(c) | 07/15/34 | 3,500 | 3,416,211 | |
| Elmwood CLO Ltd. (Cayman Islands), Series 2019-02A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 6.400(c) | 04/20/34 | 7,000 | 6,873,054 | |
| Generate CLO Ltd. (Cayman Islands), Series 02A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 6.423(c) | 01/22/31 | 497 | 491,655 | |
| Greywolf CLO Ltd. (Cayman Islands), Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.290% (Cap N/A, Floor 0.000%) | 6.358(c) | 04/26/31 | 1,000 | 989,710 | |
| HPS Loan Management Ltd. (Cayman Islands), | |||||
| Series 10A-16, Class A1RR, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 6.390(c) | 04/20/34 | 4,125 | 4,040,649 | |
| Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) | 5.806(c) | 02/05/31 | 248 | 246,474 | |
| ICG US CLO Ltd. (Cayman Islands), | |||||
| Series 2015-02RA, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%) | 6.630(c) | 01/16/33 | 1,400 | 1,380,950 | |
| Series 2020-01A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) | 6.450(c) | 01/20/35 | 9,000 | 8,810,222 | |
| KKR CLO Ltd. (Cayman Islands), Series 11, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) | 6.440(c) | 01/15/31 | 484 | 478,847 | |
| Logan CLO Ltd. (Cayman Islands), Series 2021-01A, Class A, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) | 6.410(c) | 07/20/34 | 5,250 | 5,155,756 | |
| Madison Park Funding Ltd. (Cayman Islands), | |||||
| Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%) | 6.103(c) | 04/22/27 | 1,637 | 1,622,509 | |
| Series 2015-18A, Class ARR, 144A, 3 Month LIBOR + 0.940% (Cap N/A, Floor 0.940%) | 6.201(c) | 10/21/30 | 11,401 | 11,264,323 | |
| MidOcean Credit CLO (Cayman Islands), | |||||
| Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 6.381(c) | 04/21/31 | 988 | 977,629 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| MidOcean Credit CLO (Cayman Islands), (cont’d.) | |||||
| Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) | 6.385 %(c) | 07/19/28 | 77 | $77,166 | |
| Series 2018-09A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 6.400(c) | 07/20/31 | 1,250 | 1,233,840 | |
| Mountain View CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) | 6.380(c) | 07/15/31 | 2,000 | 1,975,955 | |
| Northwoods Capital Ltd. (Cayman Islands), | |||||
| Series 2017-15A, Class A1R, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 1.210%) | 6.173(c) | 06/20/34 | 9,750 | 9,452,774 | |
| Series 2019-20A, Class A1R, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) | 6.585(c) | 01/25/32 | 2,500 | 2,467,809 | |
| Ocean Trails CLO (Cayman Islands), Series 2014-05A, Class ARR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) | 6.522(c) | 10/13/31 | 8,355 | 8,274,163 | |
| OCP CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1R2, 144A, 3 Month SOFR + 1.250% (Cap N/A, Floor 1.250%) | 6.236(c) | 01/15/33 | 3,500 | 3,434,775 | |
| Octagon Investment Partners 31 Ltd. (Cayman Islands), Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 6.300(c) | 07/20/30 | 3,609 | 3,576,478 | |
| OZLM Funding Ltd. (Cayman Islands), Series 2013-04A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) | 6.523(c) | 10/22/30 | 807 | 800,854 | |
| OZLM Ltd. (Cayman Islands), Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) | 6.549(c) | 10/30/30 | 461 | 457,974 | |
| Palmer Square CLO Ltd. (Cayman Islands), | |||||
| Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) | 6.390(c) | 01/17/31 | 897 | 889,958 | |
| Series 2015-01A, Class A1A4, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) | 6.045(c) | 05/21/34 | 7,000 | 6,875,311 | |
| Regatta Funding Ltd. (Cayman Islands), Series 2016-01A, Class A1R2, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 6.113(c) | 06/20/34 | 6,500 | 6,375,251 | |
| Romark CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%) | 6.430(c) | 07/25/31 | 250 | 247,075 | |
| Romark WM-R Ltd. (Cayman Islands), Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) | 6.280(c) | 04/20/31 | 990 | 978,672 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Sixth Street CLO Ltd. (Cayman Islands), Series 2020-16A, Class A1A, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) | 6.570 %(c) | 10/20/32 | 5,000 | $4,962,453 | |
| Sound Point CLO Ltd. (Cayman Islands), | |||||
| Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) | 6.338(c) | 01/26/31 | 1,000 | 988,872 | |
| Series 2019-01A, Class AR, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 1.080%) | 6.330(c) | 01/20/32 | 1,300 | 1,282,579 | |
| Symphony CLO Ltd. (Cayman Islands), Series 2016-18A, Class A1RR, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) | 6.373(c) | 07/23/33 | 4,250 | 4,190,743 | |
| Telos CLO Ltd. (Cayman Islands), Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) | 6.500(c) | 01/17/30 | 739 | 732,258 | |
| TICP CLO Ltd. (Cayman Islands), Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 6.390(c) | 01/20/31 | 963 | 954,425 | |
| Trimaran Cavu Ltd., Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) | 6.710(c) | 07/20/32 | 1,250 | 1,239,037 | |
| Voya CLO Ltd. (Cayman Islands), | |||||
| Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) | 6.470(c) | 10/15/30 | 686 | 683,321 | |
| Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 6.162(c) | 01/18/29 | 480 | 475,678 | |
| Series 2016-01A, Class A1R, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 1.070%) | 6.380(c) | 01/20/31 | 982 | 976,794 | |
| Wellfleet CLO Ltd. (Cayman Islands), Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) | 6.360(c) | 07/17/31 | 2,500 | 2,467,221 | |
| Zais CLO Ltd. (Cayman Islands), Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%) | 6.550(c) | 04/15/30 | 178 | 175,468 | |
| 213,714,521 | |||||
| Consumer Loans 0.7% | |||||
| Lendmark Funding Trust, Series 2019-02A, Class A, 144A | 2.780 | 04/20/28 | 1,721 | 1,684,199 | |
| OneMain Financial Issuance Trust, | |||||
| Series 2020-01A, Class A, 144A | 3.840 | 05/14/32 | 250 | 248,457 | |
| Series 2020-02A, Class A, 144A | 1.750 | 09/14/35 | 2,600 | 2,342,965 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Consumer Loans (cont’d.) | |||||
| OneMain Financial Issuance Trust, (cont’d.) | |||||
| Series 2021-01A, Class A2, 144A, 30 Day Average SOFR + 0.760% (Cap N/A, Floor 0.000%) | 5.502 %(c) | 06/16/36 | 2,800 | $2,705,057 | |
| Series 2022-02A, Class A, 144A | 4.890 | 10/14/34 | 2,360 | 2,334,522 | |
| Oportun Issuance Trust, Series 2022-02, Class A, 144A | 5.940 | 10/09/29 | 1,272 | 1,265,343 | |
| 10,580,543 | |||||
| Credit Cards 0.1% | |||||
| Citibank Credit Card Issuance Trust, Series 2018-A07, Class A7 | 3.960 | 10/13/30 | 2,100 | 2,056,587 | |
| Equipment 0.2% | |||||
| MMAF Equipment Finance LLC, | |||||
| Series 2017-B, Class A5, 144A | 2.720 | 06/15/40 | 657 | 636,840 | |
| Series 2018-A, Class A5, 144A | 3.610 | 03/10/42 | 41 | 41,086 | |
| Series 2019-A, Class A5, 144A | 3.080 | 11/12/41 | 800 | 777,641 | |
| Series 2019-B, Class A5, 144A | 2.290 | 11/12/41 | 1,200 | 1,121,137 | |
| 2,576,704 | |||||
| Home Equity Loans 0.0% | |||||
| Option One Mortgage Loan Trust, Series 2005-03, Class M2, 1 Month LIBOR + 0.735% (Cap N/A, Floor 0.735%) | 5.755(c) | 08/25/35 | 62 | 61,735 | |
| Towd Point HE Trust, Series 2023-01, Class A1A, 144A | 6.875 | 02/25/63 | 497 | 506,530 | |
| 568,265 | |||||
| Manufactured Housing 0.0% | |||||
| Towd Point Mortgage Trust, Series 2019-MH01, Class A1, 144A | 3.000(cc) | 11/25/58 | 189 | 186,039 | |
| Other 0.1% | |||||
| Home Partners of America Trust, Series 2021-03, Class A, 144A | 2.200 | 01/17/41 | 1,754 | 1,538,101 | |
| Student Loans 0.5% | |||||
| Commonbond Student Loan Trust, | |||||
| Series 2017-BGS, Class A1, 144A | 2.680 | 09/25/42 | 184 | 167,917 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Student Loans (cont’d.) | |||||
| Commonbond Student Loan Trust, (cont’d.) | |||||
| Series 2018-AGS, Class A1, 144A | 3.210 % | 02/25/44 | 140 | $131,145 | |
| Series 2020-AGS, Class A, 144A | 1.980 | 08/25/50 | 634 | 545,748 | |
| ELFI Graduate Loan Program LLC, Series 2020-A, Class A, 144A | 1.730 | 08/25/45 | 1,055 | 919,999 | |
| Laurel Road Prime Student Loan Trust, | |||||
| Series 2017-C, Class A2B, 144A | 2.810 | 11/25/42 | 24 | 23,183 | |
| Series 2018-B, Class A2FX, 144A | 3.540 | 05/26/43 | 49 | 47,788 | |
| Series 2019-A, Class A2FX, 144A | 2.730 | 10/25/48 | 81 | 78,837 | |
| Navient Private Education Refi Loan Trust, | |||||
| Series 2018-A, Class A2, 144A | 3.190 | 02/18/42 | 34 | 34,100 | |
| Series 2018-CA, Class A2, 144A | 3.520 | 06/16/42 | 64 | 63,169 | |
| Series 2019-CA, Class A2, 144A | 3.130 | 02/15/68 | 288 | 274,452 | |
| Series 2020-BA, Class A2, 144A | 2.120 | 01/15/69 | 551 | 507,022 | |
| Series 2020-DA, Class A, 144A | 1.690 | 05/15/69 | 424 | 386,816 | |
| Pennsylvania Higher Education Assistance Agency, Series 2021-01A, Class A, 144A, 1 Month LIBOR + 0.530% (Cap N/A, Floor 0.530%) | 5.550(c) | 05/25/70 | 1,755 | 1,688,544 | |
| SoFi Professional Loan Program LLC, | |||||
| Series 2017-F, Class A2FX, 144A | 2.840 | 01/25/41 | 275 | 265,094 | |
| Series 2019-A, Class A2FX, 144A | 3.690 | 06/15/48 | 424 | 409,563 | |
| Series 2019-C, Class A2FX, 144A | 2.370 | 11/16/48 | 512 | 477,615 | |
| SoFi Professional Loan Program Trust, | |||||
| Series 2018-B, Class A2FX, 144A | 3.340 | 08/25/47 | 214 | 207,232 | |
| Series 2020-A, Class A2FX, 144A | 2.540 | 05/15/46 | 941 | 877,775 | |
| Series 2020-C, Class AFX, 144A | 1.950 | 02/15/46 | 489 | 441,811 | |
| 7,547,810 | |||||
| Total Asset-Backed Securities (cost $327,895,941) | 319,163,443 | ||||
| Commercial Mortgage-Backed Securities 12.5% | |||||
| Arbor Multifamily Mortgage Securities Trust, | |||||
| Series 2020-MF01, Class A4, 144A | 2.495 | 05/15/53 | 5,500 | 4,721,563 | |
| Series 2021-MF02, Class A4, 144A | 2.252 | 06/15/54 | 8,900 | 7,307,576 | |
| Assurant Commercial Mortgage Trust, Series 2016-01A, Class AS, 144A | 3.172 | 05/15/49 | 279 | 268,133 | |
| BANK, | |||||
| Series 2019-BN20, Class A2 | 2.758 | 09/15/62 | 5,712 | 5,032,647 | |
| Series 2019-BN23, Class A2 | 2.669 | 12/15/52 | 2,200 | 1,925,584 | |
| Series 2020-BN25, Class A4 | 2.399 | 01/15/63 | 3,800 | 3,265,326 | |
| Series 2020-BN26, Class A3 | 2.155 | 03/15/63 | 5,000 | 4,215,174 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| BANK, (cont’d.) | |||||
| Series 2020-BN27, Class A4 | 1.901 % | 04/15/63 | 4,700 | $3,841,288 | |
| Series 2020-BN29, Class A3 | 1.742 | 11/15/53 | 2,600 | 2,072,689 | |
| Series 2021-BN32, Class A4 | 2.349 | 04/15/54 | 9,000 | 7,624,107 | |
| Series 2021-BN34, Class A4 | 2.156 | 06/15/63 | 7,000 | 5,720,593 | |
| Series 2021-BN38, Class A4 | 2.275 | 12/15/64 | 5,700 | 4,687,796 | |
| Barclays Commercial Mortgage Securities Trust, | |||||
| Series 2016-ETC, Class A, 144A | 2.937 | 08/14/36 | 500 | 438,006 | |
| Series 2018-TALL, Class A, 144A, 1 Month LIBOR + 0.872% (Cap N/A, Floor 0.872%) | 5.820(c) | 03/15/37 | 6,000 | 5,357,915 | |
| Series 2020-C07, Class A4 | 1.786 | 04/15/53 | 5,700 | 4,699,971 | |
| Series 2021-C10, Class ASB | 2.268 | 07/15/54 | 5,275 | 4,633,367 | |
| Benchmark Mortgage Trust, | |||||
| Series 2018-B01, Class A4 | 3.402 | 01/15/51 | 864 | 821,503 | |
| Series 2018-B03, Class A4 | 3.761 | 04/10/51 | 1,150 | 1,082,320 | |
| Series 2019-B10, Class A3 | 3.455 | 03/15/62 | 2,500 | 2,299,958 | |
| Series 2020-B17, Class A4 | 2.042 | 03/15/53 | 1,800 | 1,489,506 | |
| Series 2020-B21, Class A4 | 1.704 | 12/17/53 | 2,600 | 2,096,252 | |
| Series 2020-IG03, Class A2, 144A | 2.475 | 09/15/48 | 5,500 | 5,206,198 | |
| Series 2021-B24, Class A3 | 2.010 | 03/15/54 | 2,600 | 2,246,304 | |
| Series 2021-B31, Class A4 | 2.420 | 12/15/54 | 6,400 | 5,297,563 | |
| Series 2023-B38, Class A2 | 5.626 | 04/15/56 | 6,000 | 6,024,758 | |
| Cantor Commercial Real Estate Lending, Series 2019-CF03, Class A3 | 2.752 | 01/15/53 | 2,900 | 2,531,370 | |
| CD Mortgage Trust, | |||||
| Series 2016-CD01, Class A3 | 2.459 | 08/10/49 | 434 | 402,020 | |
| Series 2019-CD08, Class A3 | 2.657 | 08/15/57 | 2,700 | 2,340,570 | |
| CF Mortgage Trust, Series 2020-P01, Class A1, 144A | 2.840(cc) | 04/15/25 | 2,845 | 2,729,705 | |
| CFCRE Commercial Mortgage Trust, Series 2016-C07, Class A2 | 3.585 | 12/10/54 | 1,822 | 1,712,270 | |
| Citigroup Commercial Mortgage Trust, | |||||
| Series 2015-GC27, Class A4 | 2.878 | 02/10/48 | 1,162 | 1,116,979 | |
| Series 2016-C03, Class A3 | 2.896 | 11/15/49 | 883 | 820,006 | |
| Series 2016-P03, Class A3 | 3.063 | 04/15/49 | 4,535 | 4,307,660 | |
| Series 2017-P08, Class A3 | 3.203 | 09/15/50 | 1,700 | 1,577,341 | |
| Series 2019-C07, Class A3 | 2.860 | 12/15/72 | 1,120 | 984,789 | |
| Series 2019-GC41, Class A4 | 2.620 | 08/10/56 | 3,000 | 2,624,358 | |
| Commercial Mortgage Trust, | |||||
| Series 2015-DC01, Class A5 | 3.350 | 02/10/48 | 1,510 | 1,447,376 | |
| Series 2015-PC01, Class A4 | 3.620 | 07/10/50 | 1,359 | 1,317,602 | |
| Series 2016-COR01, Class A3 | 2.826 | 10/10/49 | 792 | 737,733 | |
| CSAIL Commercial Mortgage Trust, | |||||
| Series 2017-C08, Class A3 | 3.127 | 06/15/50 | 1,144 | 1,043,766 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| CSAIL Commercial Mortgage Trust, (cont’d.) | |||||
| Series 2021-C20, Class A2 | 2.486 % | 03/15/54 | 5,544 | $4,709,491 | |
| Deutsche Bank Commercial Mortgage Trust, | |||||
| Series 2016-C03, Class A4 | 2.632 | 08/10/49 | 650 | 603,389 | |
| Series 2020-C09, Class A4 | 1.644 | 08/15/53 | 5,800 | 4,757,007 | |
| Fannie Mae-Aces, | |||||
| Series 2018-M10, Class A1 | 3.469(cc) | 07/25/28 | 45 | 44,053 | |
| Series 2019-M21, Class 3A1 | 2.100 | 06/25/34 | 5,990 | 5,419,462 | |
| Series 2019-M25, Class A1 | 2.142 | 11/25/29 | 629 | 616,553 | |
| FHLMC Multifamily Structured Pass-Through Certificates, Series KW08, Class A2 | 3.600 | 01/25/29 | 4,500 | 4,367,166 | |
| GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 144A, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.700%) | 5.682(c) | 11/21/35 | 1,386 | 1,301,759 | |
| GS Mortgage Securities Trust, | |||||
| Series 2015-GC30, Class A3 | 3.119 | 05/10/50 | 942 | 901,495 | |
| Series 2015-GC34, Class A3 | 3.244 | 10/10/48 | 4,139 | 3,947,670 | |
| Series 2021-GSA03, Class A4 | 2.369 | 12/15/54 | 7,000 | 5,747,734 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920 | 02/15/48 | 865 | 817,901 | |
| JPMCC Commercial Mortgage Securities Trust, Series 2017-JP05, Class A4 | 3.457 | 03/15/50 | 284 | 272,614 | |
| JPMDB Commercial Mortgage Securities Trust, Series 2017-C05, Class A4 | 3.414 | 03/15/50 | 1,009 | 955,091 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | |||||
| Series 2016-JP02, Class A3 | 2.559 | 08/15/49 | 896 | 832,388 | |
| Series 2016-JP03, Class A4 | 2.627 | 08/15/49 | 646 | 593,341 | |
| Ladder Capital Commercial Mortgage Securities Trust, Series 2017-LC26, Class A3, 144A | 3.289 | 07/12/50 | 1,188 | 1,109,063 | |
| Morgan Stanley Capital I Trust, | |||||
| Series 2016-BNK02, Class A3 | 2.791 | 11/15/49 | 900 | 830,386 | |
| Series 2016-UB11, Class A3 | 2.531 | 08/15/49 | 1,807 | 1,658,102 | |
| UBS Commercial Mortgage Trust, | |||||
| Series 2017-C05, Class A4 | 3.212 | 11/15/50 | 1,800 | 1,687,206 | |
| Series 2018-C09, Class A3 | 3.854 | 03/15/51 | 727 | 688,675 | |
| Series 2018-C14, Class A3 | 4.180 | 12/15/51 | 1,162 | 1,116,381 | |
| Series 2019-C18, Class A3 | 2.782 | 12/15/52 | 4,400 | 3,840,709 | |
| Wells Fargo Commercial Mortgage Trust, | |||||
| Series 2016-BNK01, Class A2 | 2.399 | 08/15/49 | 1,193 | 1,094,597 | |
| Series 2016-C35, Class A3 | 2.674 | 07/15/48 | 1,680 | 1,559,326 | |
| Series 2016-NXS06, Class A3 | 2.642 | 11/15/49 | 1,500 | 1,394,420 | |
| Series 2017-C38, Class A4 | 3.190 | 07/15/50 | 965 | 896,479 | |
| Series 2017-RB01, Class A4 | 3.374 | 03/15/50 | 1,012 | 937,844 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| Wells Fargo Commercial Mortgage Trust, (cont’d.) | |||||
| Series 2018-C46, Class A3 | 3.888 % | 08/15/51 | 2,000 | $1,933,851 | |
| Series 2019-C49, Class A3 | 3.749 | 03/15/52 | 3,000 | 2,876,426 | |
| Series 2019-C50, Class A4 | 3.466 | 05/15/52 | 2,500 | 2,311,941 | |
| Series 2019-C52, Class A3 | 2.631 | 08/15/52 | 2,000 | 1,912,982 | |
| Series 2020-C57, Class A3 | 1.864 | 08/15/53 | 5,300 | 4,344,315 | |
| Series 2021-C59, Class A3 | 1.958 | 04/15/54 | 5,921 | 5,099,748 | |
| Total Commercial Mortgage-Backed Securities (cost $216,427,992) | 189,249,207 | ||||
| Corporate Bonds 30.4% | |||||
| Aerospace & Defense 0.6% | |||||
| BAE Systems PLC (United Kingdom), Sr. Unsec’d. Notes, 144A | 3.400 | 04/15/30 | 335 | 308,218 | |
| Boeing Co. (The), | |||||
| Sr. Unsec’d. Notes | 2.196 | 02/04/26 | 1,530 | 1,420,778 | |
| Sr. Unsec’d. Notes | 3.550 | 03/01/38 | 495 | 392,091 | |
| Sr. Unsec’d. Notes | 3.625 | 02/01/31 | 5,450 | 4,986,986 | |
| Sr. Unsec’d. Notes | 3.850 | 11/01/48 | 455 | 338,512 | |
| Embraer Netherlands Finance BV (Brazil), Gtd. Notes | 5.050 | 06/15/25 | 281 | 275,029 | |
| Embraer Overseas Ltd. (Brazil), Gtd. Notes, 144A | 5.696 | 09/16/23 | 375 | 372,750 | |
| L3Harris Technologies, Inc., Sr. Unsec’d. Notes | 3.832 | 04/27/25 | 30 | 29,331 | |
| Raytheon Technologies Corp., Sr. Unsec’d. Notes | 4.125 | 11/16/28 | 450 | 443,841 | |
| 8,567,536 | |||||
| Agriculture 1.0% | |||||
| Altria Group, Inc., | |||||
| Gtd. Notes | 3.400 | 05/06/30 | 630 | 562,425 | |
| Gtd. Notes | 3.400 | 02/04/41 | 2,010 | 1,417,289 | |
| BAT Capital Corp. (United Kingdom), | |||||
| Gtd. Notes | 2.259 | 03/25/28 | 1,910 | 1,658,543 | |
| Gtd. Notes | 2.726 | 03/25/31 | 2,180 | 1,768,804 | |
| Gtd. Notes | 3.557 | 08/15/27 | 455 | 425,946 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Agriculture (cont’d.) | |||||
| BAT International Finance PLC (United Kingdom), Gtd. Notes, 144A | 3.950 % | 06/15/25 | 1,510 | $1,471,184 | |
| Philip Morris International, Inc., Sr. Unsec’d. Notes | 5.125 | 02/15/30 | 7,955 | 8,048,227 | |
| 15,352,418 | |||||
| Airlines 0.1% | |||||
| American Airlines 2015-1 Class A Pass-Through Trust, Pass-Through Certificates | 3.375 | 11/01/28 | 66 | 57,066 | |
| Delta Air Lines 2020-1 Class AA Pass-Through Trust, Pass-Through Certificates | 2.000 | 12/10/29 | 587 | 518,781 | |
| United Airlines 2016-2 Class AA Pass-Through Trust, Pass-Through Certificates | 2.875 | 04/07/30 | 284 | 252,597 | |
| United Airlines 2019-2 Class AA Pass-Through Trust, Pass-Through Certificates | 2.700 | 11/01/33 | 398 | 339,602 | |
| 1,168,046 | |||||
| Auto Manufacturers 0.3% | |||||
| BMW US Capital LLC (Germany), Gtd. Notes, 144A | 2.250 | 09/15/23 | 645 | 637,483 | |
| Ford Motor Co., Sr. Unsec’d. Notes | 5.291 | 12/08/46 | 285 | 229,967 | |
| General Motors Co., Sr. Unsec’d. Notes | 6.250 | 10/02/43 | 900 | 870,015 | |
| General Motors Financial Co., Inc., | |||||
| Gtd. Notes | 3.850 | 01/05/28 | 490 | 459,205 | |
| Gtd. Notes | 4.350 | 01/17/27 | 180 | 174,366 | |
| Sr. Unsec’d. Notes | 2.700 | 08/20/27 | 375 | 336,273 | |
| Sr. Unsec’d. Notes | 3.600 | 06/21/30 | 2,655 | 2,324,365 | |
| 5,031,674 | |||||
| Banks 8.7% | |||||
| Banco Santander SA (Spain), Sr. Unsec’d. Notes | 1.849 | 03/25/26 | 200 | 181,250 | |
| Bank of America Corp., | |||||
| Sr. Unsec’d. Notes | 2.687(ff) | 04/22/32 | 9,635 | 8,059,464 | |
| Sr. Unsec’d. Notes | 5.288(ff) | 04/25/34 | 1,530 | 1,538,637 | |
| Sr. Unsec’d. Notes, GMTN | 3.593(ff) | 07/21/28 | 1,595 | 1,500,047 | |
| Sr. Unsec’d. Notes, MTN | 2.496(ff) | 02/13/31 | 2,705 | 2,287,761 | |
| Sr. Unsec’d. Notes, MTN | 3.824(ff) | 01/20/28 | 1,720 | 1,645,233 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| Bank of America Corp., (cont’d.) | |||||
| Sr. Unsec’d. Notes, MTN | 3.974 %(ff) | 02/07/30 | 400 | $374,222 | |
| Sr. Unsec’d. Notes, MTN | 4.083(ff) | 03/20/51 | 1,555 | 1,295,645 | |
| Sr. Unsec’d. Notes, MTN | 4.271(ff) | 07/23/29 | 320 | 306,625 | |
| Sr. Unsec’d. Notes, Series N | 1.658(ff) | 03/11/27 | 105 | 94,910 | |
| Sub. Notes, MTN | 4.000 | 01/22/25 | 800 | 784,984 | |
| Sub. Notes, MTN | 4.450 | 03/03/26 | 1,500 | 1,478,191 | |
| Barclays PLC (United Kingdom), | |||||
| Sr. Unsec’d. Notes | 3.650 | 03/16/25 | 200 | 191,521 | |
| Sr. Unsec’d. Notes | 3.932(ff) | 05/07/25 | 1,780 | 1,739,638 | |
| Sr. Unsec’d. Notes, MTN | 4.972(ff) | 05/16/29 | 400 | 385,547 | |
| BNP Paribas SA (France), | |||||
| Sr. Unsec’d. Notes, 144A | 1.323(ff) | 01/13/27 | 3,075 | 2,771,313 | |
| Sr. Unsec’d. Notes, 144A | 1.675(ff) | 06/30/27 | 1,425 | 1,271,809 | |
| Sr. Unsec’d. Notes, 144A | 1.904(ff) | 09/30/28 | 1,385 | 1,195,597 | |
| Sr. Unsec’d. Notes, 144A | 2.219(ff) | 06/09/26 | 395 | 367,735 | |
| Sr. Unsec’d. Notes, 144A | 2.591(ff) | 01/20/28 | 665 | 602,568 | |
| Sr. Unsec’d. Notes, 144A, MTN | 3.052(ff) | 01/13/31 | 1,080 | 931,619 | |
| BPCE SA (France), | |||||
| Sr. Unsec’d. Notes, 144A | 2.375 | 01/14/25 | 2,650 | 2,501,947 | |
| Sr. Unsec’d. Notes, 144A, MTN | 3.250 | 01/11/28 | 625 | 574,623 | |
| Citigroup, Inc., | |||||
| Sr. Unsec’d. Notes | 1.122(ff) | 01/28/27 | 8,090 | 7,266,599 | |
| Sr. Unsec’d. Notes | 2.561(ff) | 05/01/32 | 1,415 | 1,175,854 | |
| Sr. Unsec’d. Notes | 2.666(ff) | 01/29/31 | 1,400 | 1,201,694 | |
| Sr. Unsec’d. Notes | 3.200 | 10/21/26 | 290 | 275,602 | |
| Sr. Unsec’d. Notes | 3.400 | 05/01/26 | 350 | 337,362 | |
| Sr. Unsec’d. Notes | 3.520(ff) | 10/27/28 | 180 | 168,998 | |
| Sr. Unsec’d. Notes | 3.668(ff) | 07/24/28 | 490 | 463,934 | |
| Sr. Unsec’d. Notes | 3.887(ff) | 01/10/28 | 670 | 644,201 | |
| Sub. Notes | 4.400 | 06/10/25 | 4,000 | 3,929,303 | |
| Sub. Notes | 4.450 | 09/29/27 | 840 | 821,170 | |
| Sub. Notes | 4.600 | 03/09/26 | 945 | 933,790 | |
| Sub. Notes | 4.750 | 05/18/46 | 460 | 403,581 | |
| Credit Agricole SA (France), Sr. Unsec’d. Notes, 144A, MTN | 1.907(ff) | 06/16/26 | 1,045 | 967,030 | |
| Credit Suisse Group AG (Switzerland), | |||||
| Sr. Unsec’d. Notes, 144A | 2.193(ff) | 06/05/26 | 555 | 496,663 | |
| Sr. Unsec’d. Notes, 144A | 2.593(ff) | 09/11/25 | 1,730 | 1,611,062 | |
| Sr. Unsec’d. Notes, 144A | 3.869(ff) | 01/12/29 | 870 | 774,300 | |
| Sr. Unsec’d. Notes, 144A | 4.282 | 01/09/28 | 350 | 315,875 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| Deutsche Bank AG (Germany), Sr. Unsec’d. Notes | 2.129 %(ff) | 11/24/26 | 1,530 | $1,358,046 | |
| Discover Bank, Sr. Unsec’d. Notes | 4.200 | 08/08/23 | 250 | 248,629 | |
| Goldman Sachs Group, Inc. (The), | |||||
| Sr. Unsec’d. Notes | 1.431(ff) | 03/09/27 | 3,075 | 2,766,974 | |
| Sr. Unsec’d. Notes | 1.542(ff) | 09/10/27 | 3,405 | 3,017,220 | |
| Sr. Unsec’d. Notes | 3.272(ff) | 09/29/25 | 1,160 | 1,122,241 | |
| Sr. Unsec’d. Notes | 3.500 | 01/23/25 | 75 | 72,852 | |
| Sr. Unsec’d. Notes | 3.500 | 04/01/25 | 1,230 | 1,194,992 | |
| Sr. Unsec’d. Notes | 3.814(ff) | 04/23/29 | 1,585 | 1,493,036 | |
| Sr. Unsec’d. Notes | 3.850 | 01/26/27 | 475 | 459,911 | |
| Sr. Unsec’d. Notes | 4.223(ff) | 05/01/29 | 125 | 120,067 | |
| Sub. Notes | 5.150 | 05/22/45 | 335 | 316,713 | |
| ING Groep NV (Netherlands), Sr. Unsec’d. Notes | 3.550 | 04/09/24 | 200 | 196,164 | |
| Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes, Series XR, 144A | 4.000 | 09/23/29 | 1,790 | 1,587,746 | |
| JPMorgan Chase & Co., | |||||
| Jr. Sub. Notes, Series II | 4.000(ff) | 04/01/25(oo) | 3,920 | 3,540,555 | |
| Sr. Unsec’d. Notes | 0.824(ff) | 06/01/25 | 900 | 855,152 | |
| Sr. Unsec’d. Notes | 1.040(ff) | 02/04/27 | 4,160 | 3,733,348 | |
| Sr. Unsec’d. Notes | 1.578(ff) | 04/22/27 | 215 | 194,815 | |
| Sr. Unsec’d. Notes | 2.580(ff) | 04/22/32 | 2,565 | 2,155,733 | |
| Sr. Unsec’d. Notes | 2.739(ff) | 10/15/30 | 7,000 | 6,137,022 | |
| Sr. Unsec’d. Notes | 2.947(ff) | 02/24/28 | 215 | 200,041 | |
| Sr. Unsec’d. Notes | 3.964(ff) | 11/15/48 | 355 | 298,850 | |
| Sr. Unsec’d. Notes | 4.005(ff) | 04/23/29 | 3,585 | 3,433,035 | |
| Sr. Unsec’d. Notes | 4.323(ff) | 04/26/28 | 165 | 161,864 | |
| Sub. Notes | 2.956(ff) | 05/13/31 | 1,855 | 1,606,152 | |
| Sub. Notes | 3.875 | 09/10/24 | 375 | 368,571 | |
| Sub. Notes | 4.250 | 10/01/27 | 375 | 369,411 | |
| Morgan Stanley, | |||||
| Sr. Unsec’d. Notes | 1.593(ff) | 05/04/27 | 5,600 | 5,038,914 | |
| Sr. Unsec’d. Notes, GMTN | 2.239(ff) | 07/21/32 | 960 | 775,680 | |
| Sr. Unsec’d. Notes, GMTN | 3.772(ff) | 01/24/29 | 760 | 719,735 | |
| Sr. Unsec’d. Notes, GMTN | 3.875 | 01/27/26 | 470 | 459,328 | |
| Sr. Unsec’d. Notes, GMTN | 4.000 | 07/23/25 | 455 | 448,533 | |
| Sr. Unsec’d. Notes, GMTN | 4.431(ff) | 01/23/30 | 1,200 | 1,158,742 | |
| Sr. Unsec’d. Notes, MTN | 1.928(ff) | 04/28/32 | 4,245 | 3,371,680 | |
| Sr. Unsec’d. Notes, MTN | 2.720(ff) | 07/22/25 | 1,500 | 1,447,766 | |
| Sr. Unsec’d. Notes, MTN | 3.591(ff) | 07/22/28 | 310 | 293,233 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| Morgan Stanley, (cont’d.) | |||||
| Sr. Unsec’d. Notes, Series F, MTN | 3.875 % | 04/29/24 | 365 | $360,035 | |
| Sub. Notes, GMTN | 4.350 | 09/08/26 | 3,800 | 3,719,177 | |
| NatWest Group PLC (United Kingdom), | |||||
| Sr. Unsec’d. Notes | 1.642(ff) | 06/14/27 | 1,830 | 1,624,867 | |
| Sr. Unsec’d. Notes | 5.076(ff) | 01/27/30 | 720 | 708,900 | |
| Societe Generale SA (France), | |||||
| Sr. Unsec’d. Notes, 144A | 1.488(ff) | 12/14/26 | 3,800 | 3,362,743 | |
| Sr. Unsec’d. Notes, 144A | 2.797(ff) | 01/19/28 | 275 | 245,853 | |
| Sr. Unsec’d. Notes, 144A, MTN | 1.792(ff) | 06/09/27 | 1,020 | 897,451 | |
| Sr. Unsec’d. Notes, 144A, MTN | 6.447(ff) | 01/12/27 | 1,350 | 1,363,167 | |
| State Bank of India (India), Sr. Unsec’d. Notes, 144A | 4.375 | 01/24/24 | 630 | 625,787 | |
| Sumitomo Mitsui Financial Group, Inc. (Japan), Sr. Unsec’d. Notes | 2.348 | 01/15/25 | 2,520 | 2,395,117 | |
| Texas Capital Bank NA, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 4.500% | 9.659(c) | 09/30/24 | 2,340 | 2,235,233 | |
| Truist Bank, Sub. Notes | 2.250 | 03/11/30 | 2,840 | 2,329,955 | |
| UBS Group AG (Switzerland), Sr. Unsec’d. Notes, 144A | 3.126(ff) | 08/13/30 | 1,180 | 1,014,580 | |
| Wells Fargo & Co., | |||||
| Sr. Unsec’d. Notes | 5.389(ff) | 04/24/34 | 1,585 | 1,610,956 | |
| Sr. Unsec’d. Notes, MTN | 2.572(ff) | 02/11/31 | 2,740 | 2,342,285 | |
| Sr. Unsec’d. Notes, MTN | 5.013(ff) | 04/04/51 | 2,300 | 2,177,878 | |
| 131,604,639 | |||||
| Beverages 0.6% | |||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), | |||||
| Gtd. Notes | 4.700 | 02/01/36 | 180 | 180,839 | |
| Gtd. Notes | 4.900 | 02/01/46 | 1,675 | 1,647,338 | |
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 5.450 | 01/23/39 | 975 | 1,036,365 | |
| Constellation Brands, Inc., | |||||
| Gtd. Notes | 4.650 | 11/15/28 | 450 | 451,212 | |
| Sr. Unsec’d. Notes | 2.250 | 08/01/31 | 1,030 | 854,675 | |
| Diageo Capital PLC (United Kingdom), Gtd. Notes | 2.125 | 04/29/32 | 1,665 | 1,389,073 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Beverages (cont’d.) | |||||
| Keurig Dr. Pepper, Inc., | |||||
| Gtd. Notes | 3.200 % | 05/01/30 | 1,450 | $1,325,028 | |
| Gtd. Notes | 4.500 | 04/15/52 | 1,540 | 1,374,262 | |
| 8,258,792 | |||||
| Biotechnology 0.3% | |||||
| Amgen, Inc., Sr. Unsec’d. Notes | 5.250 | 03/02/33 | 3,930 | 4,041,821 | |
| Gilead Sciences, Inc., Sr. Unsec’d. Notes | 2.500 | 09/01/23 | 220 | 217,953 | |
| 4,259,774 | |||||
| Building Materials 0.1% | |||||
| Martin Marietta Materials, Inc., Sr. Unsec’d. Notes, Series CB | 2.500 | 03/15/30 | 885 | 758,799 | |
| Owens Corning, Sr. Unsec’d. Notes | 4.400 | 01/30/48 | 825 | 690,239 | |
| 1,449,038 | |||||
| Chemicals 0.1% | |||||
| LYB International Finance BV, Gtd. Notes | 4.000 | 07/15/23 | 142 | 141,308 | |
| LYB International Finance III LLC, Gtd. Notes | 4.200 | 05/01/50 | 1,070 | 826,882 | |
| Nutrien Ltd. (Canada), Sr. Unsec’d. Notes | 5.250 | 01/15/45 | 248 | 237,935 | |
| Sasol Financing USA LLC (South Africa), | |||||
| Gtd. Notes | 5.875 | 03/27/24 | 200 | 197,412 | |
| Gtd. Notes | 6.500 | 09/27/28 | 400 | 369,412 | |
| 1,772,949 | |||||
| Commercial Services 0.4% | |||||
| ERAC USA Finance LLC, | |||||
| Gtd. Notes, 144A | 2.700 | 11/01/23 | 580 | 569,795 | |
| Gtd. Notes, 144A | 4.500 | 02/15/45 | 75 | 67,358 | |
| Experian Finance PLC, Gtd. Notes, 144A | 2.750 | 03/08/30 | 1,735 | 1,512,326 | |
| Georgetown University (The), Sr. Unsec’d. Notes | 5.115 | 04/01/53 | 670 | 670,990 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Commercial Services (cont’d.) | |||||
| Global Payments, Inc., Sr. Unsec’d. Notes | 2.650 % | 02/15/25 | 575 | $549,404 | |
| Massachusetts Institute of Technology, Unsec’d. Notes | 3.885 | 07/01/2116 | 700 | 541,435 | |
| President & Fellows of Harvard College, Unsec’d. Notes | 3.300 | 07/15/56 | 160 | 125,202 | |
| Trustees of Boston College, Unsec’d. Notes | 3.129 | 07/01/52 | 637 | 483,385 | |
| University of Notre Dame du Lac, Unsec’d. Notes, Series 2017 | 3.394 | 02/15/48 | 365 | 306,049 | |
| Verisk Analytics, Inc., Sr. Unsec’d. Notes | 4.125 | 03/15/29 | 1,185 | 1,146,270 | |
| 5,972,214 | |||||
| Computers 0.1% | |||||
| Apple, Inc., Sr. Unsec’d. Notes | 3.850 | 08/04/46 | 525 | 469,545 | |
| NetApp, Inc., Sr. Unsec’d. Notes | 1.875 | 06/22/25 | 1,470 | 1,378,593 | |
| 1,848,138 | |||||
| Diversified Financial Services 0.4% | |||||
| BOC Aviation USA Corp. (China), Gtd. Notes, 144A, MTN | 1.625 | 04/29/24 | 635 | 612,317 | |
| Cboe Global Markets, Inc., Sr. Unsec’d. Notes | 1.625 | 12/15/30 | 2,900 | 2,341,465 | |
| Charles Schwab Corp. (The), Sr. Unsec’d. Notes | 1.650 | 03/11/31 | 2,970 | 2,311,493 | |
| Jefferies Financial Group, Inc., Sr. Unsec’d. Notes | 2.625 | 10/15/31 | 95 | 76,488 | |
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes | 2.608 | 07/14/31 | 565 | 449,247 | |
| 5,791,010 | |||||
| Electric 3.2% | |||||
| Abu Dhabi National Energy Co. PJSC (United Arab Emirates), Sr. Unsec’d. Notes, 144A, MTN | 2.000 | 04/29/28 | 515 | 463,500 | |
| AEP Transmission Co. LLC, Sr. Unsec’d. Notes | 4.250 | 09/15/48 | 830 | 733,906 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Alabama Power Co., Sr. Unsec’d. Notes | 2.800 % | 04/01/25 | 75 | $72,182 | |
| Alfa Desarrollo SpA (Chile), Sr. Sec’d. Notes, 144A | 4.550 | 09/27/51 | 657 | 472,857 | |
| Ameren Illinois Co., First Mortgage | 3.700 | 12/01/47 | 625 | 523,223 | |
| Arizona Public Service Co., | |||||
| Sr. Unsec’d. Notes | 2.200 | 12/15/31 | 2,875 | 2,306,531 | |
| Sr. Unsec’d. Notes | 3.350 | 05/15/50 | 485 | 341,637 | |
| CenterPoint Energy Houston Electric LLC, General Ref. Mortgage, Series Z | 2.400 | 09/01/26 | 190 | 177,883 | |
| CenterPoint Energy, Inc., Sr. Unsec’d. Notes | 3.700 | 09/01/49 | 495 | 380,882 | |
| Cleco Corporate Holdings LLC, Sr. Unsec’d. Notes | 3.375 | 09/15/29 | 305 | 266,096 | |
| Comision Federal de Electricidad (Mexico), Gtd. Notes, 144A | 4.688 | 05/15/29 | 1,600 | 1,440,300 | |
| Commonwealth Edison Co., | |||||
| First Mortgage | 3.700 | 03/01/45 | 40 | 32,599 | |
| First Mortgage | 4.000 | 03/01/48 | 115 | 98,694 | |
| First Mortgage, Series 123 | 3.750 | 08/15/47 | 775 | 640,985 | |
| First Mortgage, Series 130 | 3.125 | 03/15/51 | 95 | 68,934 | |
| Consolidated Edison Co. of New York, Inc., | |||||
| Sr. Unsec’d. Notes, Series 2017 | 3.875 | 06/15/47 | 805 | 656,414 | |
| Sr. Unsec’d. Notes, Series C | 4.300 | 12/01/56 | 40 | 33,690 | |
| Consumers Energy Co., First Mortgage | 3.250 | 08/15/46 | 155 | 118,347 | |
| Delmarva Power & Light Co., First Mortgage | 4.150 | 05/15/45 | 60 | 51,236 | |
| Dominion Energy, Inc., Sr. Unsec’d. Notes, Series D | 2.850 | 08/15/26 | 55 | 51,788 | |
| DTE Electric Co., General Ref. Mortgage, Series A | 4.050 | 05/15/48 | 370 | 317,960 | |
| DTE Energy Co., Sr. Unsec’d. Notes | 2.850 | 10/01/26 | 350 | 328,963 | |
| Duke Energy Corp., | |||||
| Sr. Unsec’d. Notes | 2.650 | 09/01/26 | 145 | 136,324 | |
| Sr. Unsec’d. Notes | 3.950 | 08/15/47 | 185 | 146,902 | |
| Duke Energy Florida LLC, | |||||
| First Mortgage | 3.200 | 01/15/27 | 600 | 575,950 | |
| First Mortgage | 3.400 | 10/01/46 | 185 | 143,802 | |
| First Mortgage | 4.200 | 07/15/48 | 205 | 179,823 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Duke Energy Progress LLC, | |||||
| First Mortgage | 2.500 % | 08/15/50 | 1,860 | $1,175,592 | |
| First Mortgage | 3.700 | 10/15/46 | 75 | 59,899 | |
| Enel Finance International NV (Italy), | |||||
| Gtd. Notes, 144A | 2.650 | 09/10/24 | 655 | 631,918 | |
| Gtd. Notes, 144A | 3.500 | 04/06/28 | 475 | 442,178 | |
| Engie Energia Chile SA (Chile), Sr. Unsec’d. Notes, 144A | 3.400 | 01/28/30 | 200 | 163,850 | |
| Entergy Arkansas LLC, First Mortgage | 2.650 | 06/15/51 | 2,220 | 1,442,680 | |
| Entergy Louisiana LLC, Collateral Trust | 4.000 | 03/15/33 | 170 | 160,979 | |
| Entergy Texas, Inc., First Mortgage | 4.500 | 03/30/39 | 1,000 | 923,101 | |
| Evergy, Inc., Sr. Unsec’d. Notes | 2.450 | 09/15/24 | 2,135 | 2,054,507 | |
| Eversource Energy, Sr. Unsec’d. Notes, Series M | 3.300 | 01/15/28 | 335 | 316,514 | |
| Fortis, Inc. (Canada), Sr. Unsec’d. Notes | 3.055 | 10/04/26 | 217 | 204,847 | |
| Georgia Power Co., Sr. Unsec’d. Notes, Series B | 2.650 | 09/15/29 | 1,005 | 892,053 | |
| IPALCO Enterprises, Inc., Sr. Sec’d. Notes | 4.250 | 05/01/30 | 240 | 222,747 | |
| Israel Electric Corp. Ltd. (Israel), | |||||
| Sr. Sec’d. Notes, 144A, GMTN | 4.250 | 08/14/28 | 235 | 224,175 | |
| Sr. Sec’d. Notes, Series 6, 144A | 5.000 | 11/12/24 | 1,360 | 1,346,230 | |
| Metropolitan Edison Co., Sr. Unsec’d. Notes, 144A | 5.200 | 04/01/28 | 865 | 880,023 | |
| MidAmerican Energy Co., | |||||
| First Mortgage | 3.950 | 08/01/47 | 225 | 193,694 | |
| First Mortgage | 4.250 | 07/15/49 | 350 | 314,558 | |
| Monongahela Power Co., First Mortgage, 144A | 4.100 | 04/15/24 | 851 | 835,935 | |
| Narragansett Electric Co. (The), Sr. Unsec’d. Notes, 144A | 3.395 | 04/09/30 | 915 | 840,615 | |
| NextEra Energy Capital Holdings, Inc., | |||||
| Gtd. Notes | 4.900 | 02/28/28 | 3,870 | 3,918,861 | |
| Gtd. Notes | 6.051 | 03/01/25 | 785 | 798,062 | |
| NRG Energy, Inc., | |||||
| Sr. Sec’d. Notes, 144A | 2.000 | 12/02/25 | 280 | 252,581 | |
| Sr. Sec’d. Notes, 144A | 2.450 | 12/02/27 | 1,215 | 1,056,487 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Ohio Power Co., Sr. Unsec’d. Notes | 4.150 % | 04/01/48 | 250 | $215,138 | |
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | 2.950 | 04/01/25 | 60 | 58,155 | |
| Pacific Gas & Electric Co., First Mortgage | 6.700 | 04/01/53 | 1,080 | 1,102,548 | |
| PacifiCorp, First Mortgage | 2.700 | 09/15/30 | 890 | 793,599 | |
| PECO Energy Co., | |||||
| First Mortgage | 3.000 | 09/15/49 | 180 | 129,559 | |
| First Mortgage | 3.050 | 03/15/51 | 1,540 | 1,103,901 | |
| First Ref. Mortgage | 4.800 | 10/15/43 | 120 | 111,711 | |
| Pennsylvania Electric Co., Sr. Unsec’d. Notes, 144A | 3.600 | 06/01/29 | 1,435 | 1,345,624 | |
| PPL Electric Utilities Corp., First Mortgage | 3.000 | 10/01/49 | 235 | 171,610 | |
| Public Service Co. of Colorado, | |||||
| First Mortgage | 4.100 | 06/15/48 | 235 | 203,661 | |
| First Mortgage, Series 34 | 3.200 | 03/01/50 | 720 | 537,014 | |
| Public Service Electric & Gas Co., | |||||
| First Mortgage, MTN | 2.250 | 09/15/26 | 370 | 344,298 | |
| First Mortgage, MTN | 2.700 | 05/01/50 | 390 | 266,364 | |
| First Mortgage, MTN | 3.200 | 05/15/29 | 1,265 | 1,184,041 | |
| First Mortgage, MTN | 3.600 | 12/01/47 | 95 | 76,853 | |
| First Mortgage, MTN | 3.700 | 05/01/28 | 590 | 575,405 | |
| Sec’d. Notes, MTN | 4.650 | 03/15/33 | 2,105 | 2,129,274 | |
| Public Service Enterprise Group, Inc., Sr. Unsec’d. Notes | 1.600 | 08/15/30 | 1,155 | 934,904 | |
| Puget Energy, Inc., Sr. Sec’d. Notes | 2.379 | 06/15/28 | 1,132 | 1,006,266 | |
| San Diego Gas & Electric Co., First Mortgage | 4.150 | 05/15/48 | 420 | 366,602 | |
| Southern California Edison Co., First Mortgage | 3.650 | 02/01/50 | 290 | 225,665 | |
| Southwestern Electric Power Co., Sr. Unsec’d. Notes, Series K | 2.750 | 10/01/26 | 675 | 631,341 | |
| Southwestern Public Service Co., First Mortgage | 3.700 | 08/15/47 | 355 | 281,230 | |
| SP PowerAssets Ltd. (Singapore), Sr. Unsec’d. Notes, 144A, MTN | 3.000 | 09/26/27 | 465 | 443,043 | |
| State Grid Overseas Investment BVI Ltd. (China), Gtd. Notes, 144A, MTN | 3.500 | 05/04/27 | 600 | 583,987 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Tucson Electric Power Co., Sr. Unsec’d. Notes | 4.000 % | 06/15/50 | 1,315 | $1,063,894 | |
| Union Electric Co., Sr. Sec’d. Notes | 3.650 | 04/15/45 | 50 | 39,979 | |
| Virginia Electric & Power Co., | |||||
| Sr. Unsec’d. Notes, Series A | 3.500 | 03/15/27 | 185 | 179,025 | |
| Sr. Unsec’d. Notes, Series A | 3.800 | 04/01/28 | 290 | 282,619 | |
| Vistra Operations Co. LLC, Sr. Sec’d. Notes, 144A | 3.550 | 07/15/24 | 1,515 | 1,469,602 | |
| Wisconsin Power & Light Co., Sr. Unsec’d. Notes | 3.050 | 10/15/27 | 535 | 505,986 | |
| Xcel Energy, Inc., Sr. Unsec’d. Notes | 3.350 | 12/01/26 | 510 | 490,014 | |
| 48,966,406 | |||||
| Electronics 0.1% | |||||
| Trimble, Inc., Sr. Unsec’d. Notes | 4.150 | 06/15/23 | 770 | 766,365 | |
| Engineering & Construction 0.1% | |||||
| Mexico City Airport Trust (Mexico), | |||||
| Sr. Sec’d. Notes, 144A | 3.875 | 04/30/28 | 600 | 554,175 | |
| Sr. Sec’d. Notes, 144A | 4.250 | 10/31/26 | 861 | 821,179 | |
| Sr. Sec’d. Notes, 144A | 5.500 | 07/31/47 | 600 | 460,050 | |
| 1,835,404 | |||||
| Entertainment 0.1% | |||||
| Warnermedia Holdings, Inc., | |||||
| Gtd. Notes, 144A | 5.050 | 03/15/42 | 1,570 | 1,297,788 | |
| Gtd. Notes, 144A | 5.141 | 03/15/52 | 625 | 498,942 | |
| Gtd. Notes, 144A | 5.391 | 03/15/62 | 315 | 252,838 | |
| 2,049,568 | |||||
| Foods 0.3% | |||||
| Ahold Finance USA LLC (Netherlands), Gtd. Notes | 6.875 | 05/01/29 | 280 | 306,761 | |
| Campbell Soup Co., Sr. Unsec’d. Notes | 2.375 | 04/24/30 | 2,175 | 1,870,688 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Foods (cont’d.) | |||||
| Cencosud SA (Chile), Gtd. Notes, 144A | 4.375 % | 07/17/27 | 1,320 | $1,269,098 | |
| Kraft Heinz Foods Co., Gtd. Notes | 4.375 | 06/01/46 | 1,005 | 877,215 | |
| Kroger Co. (The), Sr. Unsec’d. Notes | 3.875 | 10/15/46 | 65 | 51,401 | |
| 4,375,163 | |||||
| Forest Products & Paper 0.1% | |||||
| Celulosa Arauco y Constitucion SA (Chile), | |||||
| Sr. Unsec’d. Notes | 3.875 | 11/02/27 | 651 | 606,976 | |
| Sr. Unsec’d. Notes | 4.500 | 08/01/24 | 214 | 210,295 | |
| Georgia-Pacific LLC, Sr. Unsec’d. Notes, 144A | 3.600 | 03/01/25 | 220 | 215,048 | |
| 1,032,319 | |||||
| Gas 0.2% | |||||
| Atmos Energy Corp., Sr. Unsec’d. Notes | 3.375 | 09/15/49 | 1,200 | 918,466 | |
| CenterPoint Energy Resources Corp., Sr. Unsec’d. Notes | 4.100 | 09/01/47 | 305 | 258,042 | |
| NiSource, Inc., Sr. Unsec’d. Notes | 1.700 | 02/15/31 | 785 | 630,826 | |
| Piedmont Natural Gas Co., Inc., Sr. Unsec’d. Notes | 3.500 | 06/01/29 | 440 | 411,787 | |
| Southern Co. Gas Capital Corp., Gtd. Notes | 2.450 | 10/01/23 | 555 | 547,617 | |
| 2,766,738 | |||||
| Healthcare-Products 0.0% | |||||
| Medtronic, Inc., Gtd. Notes | 4.375 | 03/15/35 | 235 | 234,353 | |
| Healthcare-Services 1.2% | |||||
| Aetna, Inc., | |||||
| Sr. Unsec’d. Notes | 3.500 | 11/15/24 | 100 | 97,662 | |
| Sr. Unsec’d. Notes | 4.500 | 05/15/42 | 1,000 | 900,423 | |
| Sr. Unsec’d. Notes | 6.750 | 12/15/37 | 170 | 189,587 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Healthcare-Services (cont’d.) | |||||
| AHS Hospital Corp., Unsec’d. Notes | 5.024 % | 07/01/45 | 200 | $201,096 | |
| Ascension Health, Sr. Unsec’d. Notes, Series B | 3.106 | 11/15/39 | 265 | 212,251 | |
| Kaiser Foundation Hospitals, Unsec’d. Notes, Series 2021 | 2.810 | 06/01/41 | 2,410 | 1,804,141 | |
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 2.950 | 12/01/29 | 595 | 537,711 | |
| Memorial Sloan-Kettering Cancer Center, Sr. Unsec’d. Notes, Series 2015 | 4.200 | 07/01/55 | 75 | 65,863 | |
| Mount Sinai Hospitals Group, Inc., Sec’d. Notes, Series 2019 | 3.737 | 07/01/49 | 1,795 | 1,406,222 | |
| MyMichigan Health, Sec’d. Notes, Series 2020 | 3.409 | 06/01/50 | 740 | 526,340 | |
| OhioHealth Corp., Unsec’d. Notes, Series 2020 | 3.042 | 11/15/50 | 795 | 585,207 | |
| Piedmont Healthcare, Inc., Sec’d. Notes, Series 2032 | 2.044 | 01/01/32 | 2,670 | 2,151,182 | |
| Providence St. Joseph Health Obligated Group, | |||||
| Unsec’d. Notes, Series 19A | 2.532 | 10/01/29 | 420 | 359,313 | |
| Unsec’d. Notes, Series H | 2.746 | 10/01/26 | 40 | 37,345 | |
| Quest Diagnostics, Inc., | |||||
| Sr. Unsec’d. Notes | 2.950 | 06/30/30 | 1,910 | 1,711,863 | |
| Sr. Unsec’d. Notes | 3.500 | 03/30/25 | 190 | 185,009 | |
| RWJ Barnabas Health, Inc., Sr. Unsec’d. Notes | 3.949 | 07/01/46 | 175 | 146,843 | |
| Stanford Health Care, Unsec’d. Notes, Series 2018 | 3.795 | 11/15/48 | 450 | 377,373 | |
| UnitedHealth Group, Inc., | |||||
| Sr. Unsec’d. Notes | 3.050 | 05/15/41 | 1,150 | 913,313 | |
| Sr. Unsec’d. Notes | 3.750 | 07/15/25 | 90 | 88,794 | |
| Sr. Unsec’d. Notes(a) | 5.050 | 04/15/53 | 4,730 | 4,800,058 | |
| 17,297,596 | |||||
| Housewares 0.0% | |||||
| Newell Brands, Inc., Sr. Unsec’d. Notes | 4.700 | 04/01/26 | 35 | 33,423 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Insurance 0.4% | |||||
| Arch Capital Finance LLC, Gtd. Notes | 5.031 % | 12/15/46 | 95 | $86,814 | |
| Arch Capital Group US, Inc., Gtd. Notes | 5.144 | 11/01/43 | 100 | 93,856 | |
| Berkshire Hathaway Finance Corp., Gtd. Notes | 2.850 | 10/15/50 | 1,175 | 839,794 | |
| CNA Financial Corp., Sr. Unsec’d. Notes | 3.950 | 05/15/24 | 1,170 | 1,152,169 | |
| Liberty Mutual Group, Inc., | |||||
| Gtd. Notes, 144A | 3.950 | 05/15/60 | 185 | 131,747 | |
| Gtd. Notes, 144A | 3.951 | 10/15/50 | 450 | 336,353 | |
| Lincoln National Corp., Sr. Unsec’d. Notes | 6.300 | 10/09/37 | 115 | 114,953 | |
| Markel Corp., | |||||
| Sr. Unsec’d. Notes | 3.350 | 09/17/29 | 1,625 | 1,491,671 | |
| Sr. Unsec’d. Notes | 5.000 | 04/05/46 | 217 | 198,396 | |
| Principal Financial Group, Inc., | |||||
| Gtd. Notes | 3.100 | 11/15/26 | 105 | 100,082 | |
| Gtd. Notes | 4.300 | 11/15/46 | 140 | 116,289 | |
| Gtd. Notes | 4.350 | 05/15/43 | 20 | 16,626 | |
| Teachers Insurance & Annuity Association of America, | |||||
| Sub. Notes, 144A | 3.300 | 05/15/50 | 930 | 661,215 | |
| Sub. Notes, 144A | 4.900 | 09/15/44 | 120 | 111,431 | |
| W.R. Berkley Corp., Sr. Unsec’d. Notes | 4.000 | 05/12/50 | 545 | 437,597 | |
| 5,888,993 | |||||
| Iron/Steel 0.3% | |||||
| Steel Dynamics, Inc., Sr. Unsec’d. Notes | 3.450 | 04/15/30 | 5,710 | 5,195,052 | |
| Lodging 0.1% | |||||
| Las Vegas Sands Corp., Sr. Unsec’d. Notes | 3.500 | 08/18/26 | 1,230 | 1,154,997 | |
| Marriott International, Inc., | |||||
| Sr. Unsec’d. Notes | 4.900 | 04/15/29 | 510 | 506,700 | |
| Sr. Unsec’d. Notes, Series R | 3.125 | 06/15/26 | 250 | 237,917 | |
| 1,899,614 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Machinery-Construction & Mining 0.0% | |||||
| Caterpillar, Inc., Sr. Unsec’d. Notes | 2.600 % | 04/09/30 | 735 | $662,561 | |
| Machinery-Diversified 0.0% | |||||
| Rockwell Automation, Inc., Sr. Unsec’d. Notes | 2.875 | 03/01/25 | 115 | 111,584 | |
| Media 0.9% | |||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, | |||||
| Sr. Sec’d. Notes | 2.300 | 02/01/32 | 445 | 338,253 | |
| Sr. Sec’d. Notes | 2.800 | 04/01/31 | 2,755 | 2,221,294 | |
| Sr. Sec’d. Notes | 3.700 | 04/01/51 | 360 | 228,238 | |
| Sr. Sec’d. Notes | 3.900 | 06/01/52 | 1,690 | 1,100,819 | |
| Sr. Sec’d. Notes | 5.375 | 05/01/47 | 530 | 432,523 | |
| Sr. Sec’d. Notes | 6.384 | 10/23/35 | 2,480 | 2,450,460 | |
| Sr. Sec’d. Notes | 6.484 | 10/23/45 | 400 | 370,420 | |
| Comcast Corp., Gtd. Notes | 4.250 | 10/15/30 | 275 | 272,355 | |
| Cox Communications, Inc., | |||||
| Sr. Unsec’d. Notes, 144A | 2.600 | 06/15/31 | 3,535 | 2,928,145 | |
| Sr. Unsec’d. Notes, 144A | 3.150 | 08/15/24 | 276 | 268,824 | |
| Sr. Unsec’d. Notes, 144A | 3.500 | 08/15/27 | 2,000 | 1,899,507 | |
| Discovery Communications LLC, Gtd. Notes | 5.200 | 09/20/47 | 1,000 | 815,714 | |
| Time Warner Cable LLC, Sr. Sec’d. Notes | 5.500 | 09/01/41 | 150 | 127,822 | |
| 13,454,374 | |||||
| Mining 0.3% | |||||
| Barrick North America Finance LLC (Canada), Gtd. Notes | 5.750 | 05/01/43 | 190 | 200,609 | |
| Freeport Indonesia PT (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 4.763 | 04/14/27 | 225 | 221,808 | |
| Newmont Corp., | |||||
| Gtd. Notes | 2.250 | 10/01/30 | 845 | 712,482 | |
| Gtd. Notes | 2.800 | 10/01/29 | 1,270 | 1,132,071 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Mining (cont’d.) | |||||
| Yamana Gold, Inc. (Canada), Gtd. Notes | 2.630 % | 08/15/31 | 3,120 | $2,499,721 | |
| 4,766,691 | |||||
| Miscellaneous Manufacturing 0.2% | |||||
| Teledyne Technologies, Inc., Gtd. Notes | 2.750 | 04/01/31 | 3,510 | 2,982,606 | |
| Office/Business Equipment 0.2% | |||||
| CDW LLC/CDW Finance Corp., Gtd. Notes | 2.670 | 12/01/26 | 3,145 | 2,860,536 | |
| Oil & Gas 1.8% | |||||
| Aker BP ASA (Norway), | |||||
| Gtd. Notes, 144A | 2.000 | 07/15/26 | 3,620 | 3,298,130 | |
| Gtd. Notes, 144A | 3.100 | 07/15/31 | 770 | 653,654 | |
| Sr. Unsec’d. Notes, 144A | 2.875 | 01/15/26 | 2,045 | 1,941,426 | |
| BP Capital Markets PLC (United Kingdom), Gtd. Notes | 4.375(ff) | 06/22/25(oo) | 2,420 | 2,317,150 | |
| Canadian Natural Resources Ltd. (Canada), Sr. Unsec’d. Notes | 6.250 | 03/15/38 | 175 | 186,290 | |
| Cenovus Energy, Inc. (Canada), | |||||
| Sr. Unsec’d. Notes(a) | 3.750 | 02/15/52 | 1,685 | 1,221,911 | |
| Sr. Unsec’d. Notes | 5.400 | 06/15/47 | 384 | 357,570 | |
| Sr. Unsec’d. Notes | 6.750 | 11/15/39 | 156 | 169,056 | |
| Sr. Unsec’d. Notes | 6.800 | 09/15/37 | 200 | 215,164 | |
| Chevron USA, Inc., Gtd. Notes | 3.900 | 11/15/24 | 425 | 422,364 | |
| Continental Resources, Inc., | |||||
| Gtd. Notes | 3.800 | 06/01/24 | 2,300 | 2,256,281 | |
| Gtd. Notes, 144A | 2.268 | 11/15/26 | 330 | 296,094 | |
| Equinor ASA (Norway), Gtd. Notes | 2.375 | 05/22/30 | 1,110 | 982,516 | |
| Korea National Oil Corp. (South Korea), | |||||
| Sr. Unsec’d. Notes, 144A | 4.750 | 04/03/26 | 510 | 508,230 | |
| Sr. Unsec’d. Notes, 144A | 4.875 | 04/03/28 | 530 | 536,206 | |
| Marathon Petroleum Corp., Sr. Unsec’d. Notes | 3.800 | 04/01/28 | 380 | 364,624 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Oil & Gas (cont’d.) | |||||
| Occidental Petroleum Corp., | |||||
| Sr. Unsec’d. Notes | 7.500 % | 05/01/31 | 100 | $111,518 | |
| Sr. Unsec’d. Notes | 7.875 | 09/15/31 | 250 | 283,941 | |
| Petroleos Mexicanos (Mexico), | |||||
| Gtd. Notes | 5.950 | 01/28/31 | 398 | 294,281 | |
| Gtd. Notes | 6.350 | 02/12/48 | 66 | 38,656 | |
| Gtd. Notes | 6.490 | 01/23/27 | 1,048 | 937,960 | |
| Gtd. Notes | 6.500 | 03/13/27 | 1,020 | 909,228 | |
| Gtd. Notes, MTN | 6.750 | 09/21/47 | 1,096 | 674,588 | |
| Gtd. Notes, MTN | 6.875 | 08/04/26 | 870 | 815,843 | |
| Phillips 66 Co., | |||||
| Gtd. Notes, 144A | 3.150 | 12/15/29 | 5,000 | 4,509,153 | |
| Gtd. Notes, 144A | 3.550 | 10/01/26 | 310 | 296,925 | |
| QatarEnergy (Qatar), | |||||
| Sr. Unsec’d. Notes, 144A | 1.375 | 09/12/26 | 2,298 | 2,078,685 | |
| Sr. Unsec’d. Notes, 144A | 2.250 | 07/12/31 | 1,090 | 938,286 | |
| 27,615,730 | |||||
| Oil & Gas Services 0.0% | |||||
| Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 3.900 | 05/17/28 | 487 | 470,692 | |
| Packaging & Containers 0.5% | |||||
| Berry Global, Inc., Sr. Sec’d. Notes | 1.570 | 01/15/26 | 4,740 | 4,310,565 | |
| Graphic Packaging International LLC, Sr. Sec’d. Notes, 144A | 1.512 | 04/15/26 | 3,070 | 2,745,562 | |
| WRKCo, Inc., Gtd. Notes | 4.650 | 03/15/26 | 560 | 553,145 | |
| 7,609,272 | |||||
| Pharmaceuticals 1.7% | |||||
| AbbVie, Inc., | |||||
| Sr. Unsec’d. Notes | 3.800 | 03/15/25 | 105 | 103,233 | |
| Sr. Unsec’d. Notes | 4.050 | 11/21/39 | 285 | 252,001 | |
| Sr. Unsec’d. Notes(a) | 4.250 | 11/21/49 | 1,780 | 1,559,418 | |
| Sr. Unsec’d. Notes | 4.500 | 05/14/35 | 550 | 535,854 | |
| Sr. Unsec’d. Notes | 4.550 | 03/15/35 | 360 | 352,284 | |
| Sr. Unsec’d. Notes | 4.700 | 05/14/45 | 1,330 | 1,246,720 | |
| Sr. Unsec’d. Notes | 4.750 | 03/15/45 | 1,008 | 951,578 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pharmaceuticals (cont’d.) | |||||
| AmerisourceBergen Corp., Sr. Unsec’d. Notes | 3.250 % | 03/01/25 | 55 | $53,476 | |
| Bristol-Myers Squibb Co., | |||||
| Sr. Unsec’d. Notes | 4.125 | 06/15/39 | 115 | 107,716 | |
| Sr. Unsec’d. Notes | 4.350 | 11/15/47 | 475 | 439,394 | |
| Cigna Group (The), | |||||
| Gtd. Notes | 3.250 | 04/15/25 | 270 | 262,181 | |
| Gtd. Notes | 3.400 | 03/01/27 | 325 | 312,077 | |
| Gtd. Notes | 4.375 | 10/15/28 | 1,950 | 1,937,116 | |
| Gtd. Notes | 4.500 | 02/25/26 | 700 | 698,142 | |
| Sr. Unsec’d. Notes | 2.400 | 03/15/30 | 6,145 | 5,321,173 | |
| CVS Health Corp., | |||||
| Sr. Unsec’d. Notes | 2.700 | 08/21/40 | 385 | 275,972 | |
| Sr. Unsec’d. Notes(a) | 5.125 | 02/21/30 | 3,190 | 3,245,772 | |
| Sr. Unsec’d. Notes | 5.125 | 07/20/45 | 465 | 439,200 | |
| Sr. Unsec’d. Notes | 5.300 | 12/05/43 | 155 | 151,278 | |
| Johnson & Johnson, Sr. Unsec’d. Notes | 3.625 | 03/03/37 | 3,205 | 3,001,095 | |
| Mylan, Inc., | |||||
| Gtd. Notes | 5.200 | 04/15/48 | 1,250 | 962,189 | |
| Gtd. Notes | 5.400 | 11/29/43 | 860 | 706,538 | |
| Shire Acquisitions Investments Ireland DAC, | |||||
| Gtd. Notes | 2.875 | 09/23/23 | 89 | 88,073 | |
| Gtd. Notes | 3.200 | 09/23/26 | 1,220 | 1,159,775 | |
| Utah Acquisition Sub, Inc., Gtd. Notes | 5.250 | 06/15/46 | 105 | 81,246 | |
| Viatris, Inc., | |||||
| Gtd. Notes | 3.850 | 06/22/40 | 545 | 377,654 | |
| Gtd. Notes | 4.000 | 06/22/50 | 375 | 243,145 | |
| 24,864,300 | |||||
| Pipelines 1.6% | |||||
| Boardwalk Pipelines LP, Gtd. Notes | 3.400 | 02/15/31 | 1,300 | 1,141,537 | |
| Colonial Enterprises, Inc., Gtd. Notes, 144A | 3.250 | 05/15/30 | 1,730 | 1,566,283 | |
| Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., Gtd. Notes, 144A | 4.150 | 08/15/26 | 555 | 539,303 | |
| EIG Pearl Holdings Sarl (Saudi Arabia), Sr. Sec’d. Notes, 144A | 3.545 | 08/31/36 | 1,674 | 1,442,569 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| Energy Transfer LP, | |||||
| Sr. Unsec’d. Notes | 4.950 % | 06/15/28 | 430 | $427,991 | |
| Sr. Unsec’d. Notes | 5.000 | 05/15/50 | 565 | 478,841 | |
| Sr. Unsec’d. Notes | 5.400 | 10/01/47 | 1,800 | 1,601,463 | |
| Sr. Unsec’d. Notes | 6.250 | 04/15/49 | 910 | 900,559 | |
| Enterprise Products Operating LLC, | |||||
| Gtd. Notes | 3.700 | 01/31/51 | 445 | 342,518 | |
| Gtd. Notes | 3.950 | 01/31/60 | 525 | 409,171 | |
| Greensaif Pipelines Bidco Sarl (Saudi Arabia), | |||||
| Sr. Sec’d. Notes, 144A | 6.129 | 02/23/38 | 560 | 586,880 | |
| Sr. Sec’d. Notes, 144A | 6.510 | 02/23/42 | 725 | 772,941 | |
| Magellan Midstream Partners LP, Sr. Unsec’d. Notes | 4.200 | 03/15/45 | 275 | 206,361 | |
| MPLX LP, | |||||
| Sr. Unsec’d. Notes | 2.650 | 08/15/30 | 2,720 | 2,323,804 | |
| Sr. Unsec’d. Notes | 4.000 | 02/15/25 | 130 | 127,442 | |
| Sr. Unsec’d. Notes | 4.500 | 04/15/38 | 270 | 242,359 | |
| Sr. Unsec’d. Notes | 4.875 | 06/01/25 | 200 | 199,351 | |
| Sr. Unsec’d. Notes | 5.200 | 03/01/47 | 5 | 4,511 | |
| Sr. Unsec’d. Notes | 5.500 | 02/15/49 | 210 | 194,270 | |
| ONEOK Partners LP, Gtd. Notes | 6.125 | 02/01/41 | 300 | 297,862 | |
| ONEOK, Inc., | |||||
| Gtd. Notes | 3.100 | 03/15/30 | 2,415 | 2,139,981 | |
| Gtd. Notes | 4.450 | 09/01/49 | 1,000 | 783,365 | |
| Gtd. Notes | 4.500 | 03/15/50 | 195 | 153,089 | |
| Gtd. Notes | 4.950 | 07/13/47 | 85 | 72,099 | |
| Plains All American Pipeline LP/PAA Finance Corp., | |||||
| Sr. Unsec’d. Notes | 3.550 | 12/15/29 | 350 | 315,950 | |
| Sr. Unsec’d. Notes | 4.650 | 10/15/25 | 1,000 | 989,338 | |
| Spectra Energy Partners LP, Gtd. Notes | 3.375 | 10/15/26 | 140 | 133,926 | |
| Targa Resources Corp., | |||||
| Gtd. Notes | 6.125 | 03/15/33 | 1,240 | 1,294,438 | |
| Gtd. Notes | 6.250 | 07/01/52 | 1,305 | 1,289,864 | |
| Gtd. Notes | 6.500 | 02/15/53 | 605 | 617,526 | |
| Texas Eastern Transmission LP, Sr. Unsec’d. Notes, 144A | 3.500 | 01/15/28 | 300 | 283,536 | |
| Transcontinental Gas Pipe Line Co. LLC, | |||||
| Sr. Unsec’d. Notes | 3.950 | 05/15/50 | 625 | 501,021 | |
| Sr. Unsec’d. Notes | 4.600 | 03/15/48 | 500 | 440,576 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| Western Midstream Operating LP, Sr. Unsec’d. Notes | 5.300 % | 03/01/48 | 320 | $270,792 | |
| Williams Cos., Inc. (The), | |||||
| Sr. Unsec’d. Notes | 4.000 | 09/15/25 | 350 | 342,769 | |
| Sr. Unsec’d. Notes | 4.300 | 03/04/24 | 325 | 322,375 | |
| Sr. Unsec’d. Notes | 5.300 | 08/15/52 | 50 | 46,908 | |
| Sr. Unsec’d. Notes | 5.400 | 03/04/44 | 400 | 377,389 | |
| 24,180,958 | |||||
| Real Estate 0.3% | |||||
| Ontario Teachers’ Cadillac Fairview Properties Trust (Canada), Sr. Unsec’d. Notes, 144A | 4.125 | 02/01/29 | 4,190 | 3,901,494 | |
| Real Estate Investment Trusts (REITs) 1.5% | |||||
| Alexandria Real Estate Equities, Inc., | |||||
| Gtd. Notes | 2.000 | 05/18/32 | 1,645 | 1,267,191 | |
| Gtd. Notes | 4.750 | 04/15/35 | 425 | 404,584 | |
| Brixmor Operating Partnership LP, Sr. Unsec’d. Notes | 4.050 | 07/01/30 | 3,665 | 3,306,679 | |
| Corporate Office Properties LP, Gtd. Notes | 2.900 | 12/01/33 | 1,400 | 974,236 | |
| CubeSmart LP, Gtd. Notes | 2.250 | 12/15/28 | 3,360 | 2,914,700 | |
| Healthpeak OP LLC, Gtd. Notes | 2.875 | 01/15/31 | 630 | 546,550 | |
| Invitation Homes Operating Partnership LP, Gtd. Notes | 2.300 | 11/15/28 | 1,500 | 1,278,047 | |
| Prologis LP, Sr. Unsec’d. Notes | 1.250 | 10/15/30 | 2,765 | 2,186,436 | |
| Realty Income Corp., | |||||
| Sr. Unsec’d. Notes | 1.800 | 03/15/33 | 325 | 242,637 | |
| Sr. Unsec’d. Notes | 3.250 | 01/15/31 | 985 | 875,333 | |
| Simon Property Group LP, Sr. Unsec’d. Notes | 2.000 | 09/13/24 | 2,300 | 2,200,656 | |
| Sun Communities Operating LP, Gtd. Notes | 2.300 | 11/01/28 | 4,585 | 3,929,458 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Real Estate Investment Trusts (REITs) (cont’d.) | |||||
| Welltower OP LLC, | |||||
| Gtd. Notes | 2.700 % | 02/15/27 | 775 | $710,385 | |
| Gtd. Notes | 3.625 | 03/15/24 | 1,500 | 1,473,843 | |
| 22,310,735 | |||||
| Retail 0.2% | |||||
| Alimentation Couche-Tard, Inc. (Canada), Gtd. Notes, 144A | 3.550 | 07/26/27 | 940 | 889,105 | |
| AutoZone, Inc., Sr. Unsec’d. Notes | 1.650 | 01/15/31 | 620 | 496,537 | |
| Falabella SA (Chile), Sr. Unsec’d. Notes, 144A | 4.375 | 01/27/25 | 1,700 | 1,644,006 | |
| 3,029,648 | |||||
| Semiconductors 0.6% | |||||
| Broadcom, Inc., | |||||
| Sr. Unsec’d. Notes, 144A | 3.137 | 11/15/35 | 287 | 222,238 | |
| Sr. Unsec’d. Notes, 144A | 3.187 | 11/15/36 | 1,000 | 761,603 | |
| Sr. Unsec’d. Notes, 144A | 3.419 | 04/15/33 | 4,847 | 4,078,750 | |
| Intel Corp., Sr. Unsec’d. Notes | 5.900 | 02/10/63 | 295 | 303,731 | |
| Microchip Technology, Inc., Sr. Unsec’d. Notes | 2.670 | 09/01/23 | 4,000 | 3,959,346 | |
| 9,325,668 | |||||
| Software 0.5% | |||||
| Microsoft Corp., | |||||
| Sr. Unsec’d. Notes | 2.525 | 06/01/50 | 191 | 135,499 | |
| Sr. Unsec’d. Notes | 3.041 | 03/17/62 | 335 | 252,285 | |
| Oracle Corp., Sr. Unsec’d. Notes | 4.900 | 02/06/33 | 2,540 | 2,497,925 | |
| Roper Technologies, Inc., Sr. Unsec’d. Notes | 1.400 | 09/15/27 | 1,390 | 1,217,147 | |
| ServiceNow, Inc., Sr. Unsec’d. Notes | 1.400 | 09/01/30 | 1,655 | 1,334,191 | |
| Workday, Inc., Sr. Unsec’d. Notes(a) | 3.800 | 04/01/32 | 2,435 | 2,222,796 | |
| 7,659,843 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Telecommunications 1.1% | |||||
| AT&T, Inc., | |||||
| Sr. Unsec’d. Notes | 2.550 % | 12/01/33 | 58 | $46,663 | |
| Sr. Unsec’d. Notes | 3.500 | 09/15/53 | 3,114 | 2,229,847 | |
| Sr. Unsec’d. Notes | 3.650 | 09/15/59 | 1,717 | 1,214,175 | |
| Sr. Unsec’d. Notes | 3.800 | 12/01/57 | 1,128 | 827,727 | |
| Sr. Unsec’d. Notes | 4.300 | 02/15/30 | 170 | 165,040 | |
| Sr. Unsec’d. Notes | 4.500 | 05/15/35 | 205 | 192,883 | |
| Level 3 Financing, Inc., Sr. Sec’d. Notes, 144A | 3.400 | 03/01/27 | 1,500 | 1,173,046 | |
| T-Mobile USA, Inc., | |||||
| Gtd. Notes | 2.550 | 02/15/31 | 1,635 | 1,390,828 | |
| Gtd. Notes | 3.000 | 02/15/41 | 640 | 475,590 | |
| Gtd. Notes | 3.750 | 04/15/27 | 970 | 934,656 | |
| Gtd. Notes | 3.875 | 04/15/30 | 4,780 | 4,503,498 | |
| Gtd. Notes | 4.375 | 04/15/40 | 380 | 340,496 | |
| Verizon Communications, Inc., Sr. Unsec’d. Notes | 2.550 | 03/21/31 | 4,065 | 3,461,964 | |
| 16,956,413 | |||||
| Transportation 0.1% | |||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.050 | 02/15/51 | 910 | 661,618 | |
| Canadian Pacific Railway Co. (Canada), Gtd. Notes | 3.500 | 05/01/50 | 1,585 | 1,231,366 | |
| 1,892,984 | |||||
| Water 0.1% | |||||
| American Water Capital Corp., | |||||
| Sr. Unsec’d. Notes | 3.750 | 09/01/47 | 25 | 20,453 | |
| Sr. Unsec’d. Notes | 4.000 | 12/01/46 | 145 | 120,295 | |
| Essential Utilities, Inc., Sr. Unsec’d. Notes | 2.704 | 04/15/30 | 1,380 | 1,198,706 | |
| 1,339,454 | |||||
| Total Corporate Bonds (cost $518,253,641) | 459,412,765 | ||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Municipal Bonds 0.3% | |||||
| Alabama 0.0% | |||||
| Alabama Economic Settlement Authority, Taxable, Revenue Bonds, Series B | 4.263 % | 09/15/32 | 40 | $38,531 | |
| California 0.0% | |||||
| City of Los Angeles Department of Airports, Taxable, Revenue Bonds, BABs | 6.582 | 05/15/39 | 285 | 321,038 | |
| University of California, | |||||
| Taxable, Revenue Bonds, Series AP | 3.931 | 05/15/45 | 30 | 28,087 | |
| Taxable, Revenue Bonds, Series J | 4.131 | 05/15/45 | 30 | 27,923 | |
| 377,048 | |||||
| New Jersey 0.0% | |||||
| New Jersey Turnpike Authority, Taxable, Revenue Bonds, BABs, Series A | 7.102 | 01/01/41 | 250 | 313,132 | |
| Pennsylvania 0.1% | |||||
| Pennsylvania State University (The), Taxable, Revenue Bonds, Series D | 2.840 | 09/01/50 | 745 | 538,965 | |
| Pennsylvania Turnpike Commission, | |||||
| Revenue Bonds, BABs | 6.105 | 12/01/39 | 70 | 80,149 | |
| Revenue Bonds, BABs, Series B | 5.511 | 12/01/45 | 150 | 164,042 | |
| 783,156 | |||||
| Texas 0.2% | |||||
| City of San Antonio Electric & Gas Systems Revenue, Revenue Bonds, BABs | 5.985 | 02/01/39 | 775 | 873,669 | |
| Grand Parkway Transportation Corp., Taxable, Revenue Bonds, Series E | 5.184 | 10/01/42 | 775 | 804,135 | |
| Permanent University Fund - University of Texas System, Taxable, Revenue Bonds, Series A | 3.376 | 07/01/47 | 555 | 455,609 | |
| Texas Private Activity Bond Surface Transportation Corp., Taxable, Revenue Bonds, Series B | 3.922 | 12/31/49 | 340 | 287,800 | |
| 2,421,213 | |||||
| Virginia 0.0% | |||||
| University of Virginia, Taxable, Revenue Bonds, Series C | 4.179 | 09/01/2117 | 130 | 108,381 | |
| Total Municipal Bonds (cost $4,797,532) | 4,041,461 | ||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities 4.9% | |||||
| Alternative Loan Trust, Series 2003-J03, Class 2A1 | 6.250 % | 12/25/33 | 1 | $1,437 | |
| BCAP LLC Trust, Series 2011-RR04, Class 7A1, 144A | 5.250 | 04/26/37 | 111 | 69,143 | |
| Bellemeade Re Ltd., | |||||
| Series 2021-01A, Class M1A, 144A, 30 Day Average SOFR + 1.750% (Cap N/A, Floor 1.750%) | 6.565(c) | 03/25/31 | 358 | 357,411 | |
| Series 2021-03A, Class A2, 144A, 30 Day Average SOFR + 1.000% (Cap N/A, Floor 1.000%) | 5.815(c) | 09/25/31 | 2,200 | 2,141,749 | |
| Series 2021-03A, Class M1A, 144A, 30 Day Average SOFR + 1.000% (Cap N/A, Floor 1.000%) | 5.815(c) | 09/25/31 | 1,188 | 1,178,260 | |
| Series 2022-01, Class M1A, 144A, 30 Day Average SOFR + 1.750% (Cap N/A, Floor 1.750%) | 6.565(c) | 01/26/32 | 3,810 | 3,796,771 | |
| Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2, 144A, 30 Day Average SOFR + 1.900% (Cap N/A, Floor 0.000%) | 6.715(c) | 12/25/41 | 2,120 | 2,053,155 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-08, Class 5A1 | 6.500 | 04/25/33 | 1 | 827 | |
| Credit Suisse Mortgage Trust, Series 2020-RPL06, Class A1, 144A | 2.688(cc) | 03/25/59 | 945 | 918,796 | |
| Eagle Re Ltd., | |||||
| Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) | 6.820(c) | 04/25/29 | 90 | 90,089 | |
| Series 2021-02, Class M1A, 144A, 30 Day Average SOFR + 1.550% (Cap N/A, Floor 1.550%) | 6.365(c) | 04/25/34 | 3,967 | 3,956,482 | |
| Fannie Mae REMIC, | |||||
| Series 2012-134, Class ZC | 2.500 | 12/25/42 | 2,733 | 2,166,717 | |
| Series 2014-11, Class VB | 4.500 | 04/25/42 | 500 | 499,141 | |
| Series 2017-66, Class BD | 3.000 | 09/25/47 | 1,962 | 1,808,602 | |
| Series 2020-24, Class SP, IO, 1 Month LIBOR x (1) + 6.050% (Cap 6.050%, Floor 0.000%) | 1.030(c) | 04/25/50 | 1,294 | 165,627 | |
| FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
| Series 2021-DNA03, Class M2, 144A, 30 Day Average SOFR + 2.100% (Cap N/A, Floor 0.000%) | 6.915(c) | 10/25/33 | 2,885 | 2,809,516 | |
| Series 2021-DNA05, Class M2, 144A, 30 Day Average SOFR + 1.650% (Cap N/A, Floor 0.000%) | 6.465(c) | 01/25/34 | 237 | 235,411 | |
| Series 2021-HQA03, Class M1, 144A, 30 Day Average SOFR + 0.850% (Cap N/A, Floor 0.000%) | 5.665(c) | 09/25/41 | 5,973 | 5,799,753 | |
| Series 2022-DNA01, Class M1A, 144A, 30 Day Average SOFR + 1.000% (Cap N/A, Floor 0.000%) | 5.815(c) | 01/25/42 | 1,791 | 1,760,863 | |
| FHLMC Structured Pass-Through Certificates, Series T-59, Class 1A2 | 7.000 | 10/25/43 | 66 | 68,804 | |
| Freddie Mac REMIC, | |||||
| Series 4249, Class GW | 3.500 | 10/15/41 | 851 | 814,538 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Freddie Mac REMIC, (cont’d.) | |||||
| Series 4661, Class BV | 3.500 % | 12/15/36 | 414 | $406,595 | |
| Series 4682, Class KZ | 3.500 | 09/15/46 | 3,074 | 2,874,369 | |
| Series 4710, Class KZ | 3.500 | 08/15/47 | 1,161 | 1,074,290 | |
| Series 4739, Class Z | 3.500 | 11/15/47 | 764 | 709,778 | |
| Series 4772, Class ZK | 4.500 | 12/15/47 | 389 | 379,720 | |
| Series 5019, Class IP, IO | 3.000 | 10/25/50 | 885 | 134,177 | |
| Series 5021, Class SB, IO, 30 Day Average SOFR x (1) + 3.550% (Cap 3.550%, Floor 0.000%) | 0.000(c) | 10/25/50 | 3,828 | 152,339 | |
| Series 5202, Class TA | 2.500 | 12/25/48 | 5,339 | 4,926,012 | |
| Series 5222, Class SA, IO, 30 Day Average SOFR x (1) + 3.500% (Cap 3.500%, Floor 0.000%) | 0.000(c) | 05/25/52 | 503 | 10,150 | |
| Government National Mortgage Assoc., | |||||
| Series 2013-99, Class AX | 3.000 | 07/20/43 | 608 | 551,275 | |
| Series 2015-124, Class VZ | 3.500 | 09/20/45 | 5,214 | 4,866,533 | |
| Series 2016-46, Class JE | 2.500 | 11/20/45 | 152 | 140,320 | |
| Series 2018-07, Class GA | 3.000 | 02/20/47 | 198 | 189,071 | |
| Series 2019-23, Class AE | 3.500 | 02/20/49 | 1,952 | 1,854,411 | |
| Series 2021-165, Class ST, IO, 1 Month LIBOR x (1) + 3.360% (Cap 0.020%, Floor 0.000%) | 0.000(c) | 01/20/50 | 756 | 325 | |
| Series 2022-051, Class SC, IO, 30 Day Average SOFR x (1) + 3.500% (Cap 3.500%, Floor 0.000%) | 0.000(c) | 03/20/52 | 6,050 | 110,161 | |
| Series 2022-078, Class MS, IO, 30 Day Average SOFR x (1) + 3.600% (Cap 3.600%, Floor 0.000%) | 0.000(c) | 04/20/52 | 5,287 | 92,096 | |
| Series 2022-078, Class SB, IO, 30 Day Average SOFR x (1) + 3.750% (Cap 3.750%, Floor 0.000%) | 0.000(c) | 04/20/52 | 3,522 | 75,075 | |
| Series 2022-112, Class CM | 3.000 | 06/20/52 | 2,851 | 2,259,847 | |
| Series 2022-126, Class CS, IO, 30 Day Average SOFR x (1) + 3.760% (Cap 3.760%, Floor 0.000%) | 0.000(c) | 07/20/52 | 7,147 | 147,059 | |
| Series 2022-148, Class DS, IO, 30 Day Average SOFR x (1) + 3.600% (Cap 3.600%, Floor 0.000%) | 0.000(c) | 08/20/52 | 2,661 | 56,936 | |
| Home Re Ltd., Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) | 6.670(c) | 05/25/29 | 61 | 60,670 | |
| Legacy Mortgage Asset Trust, | |||||
| Series 2019-PR01, Class A1, 144A | 6.858(cc) | 09/25/59 | 1,797 | 1,769,550 | |
| Series 2020-GS01, Class A1, 144A | 5.882(cc) | 10/25/59 | 716 | 714,016 | |
| Series 2021-GS01, Class A1, 144A | 1.892 | 10/25/66 | 298 | 281,061 | |
| MFA Trust, Series 2021-RPL01, Class A1, 144A | 1.131(cc) | 07/25/60 | 2,527 | 2,257,370 | |
| Mill City Mortgage Loan Trust, | |||||
| Series 2017-03, Class A1, 144A | 2.750(cc) | 01/25/61 | 94 | 91,233 | |
| Series 2018-01, Class A1, 144A | 3.250(cc) | 05/25/62 | 145 | 140,059 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| New Residential Mortgage Loan Trust, Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) | 5.770 %(c) | 01/25/48 | 66 | $63,987 | |
| Oaktown Re VII Ltd., Series 2021-02, Class M1A, 144A, 30 Day Average SOFR + 1.600% (Cap N/A, Floor 1.600%) | 6.415(c) | 04/25/34 | 4,100 | 4,060,451 | |
| OBX Trust, Series 2018-01, Class A2, 144A, 1 Month LIBOR + 0.650% (Cap N/A, Floor 0.000%) | 5.670(c) | 06/25/57 | 147 | 138,574 | |
| PMT Credit Risk Transfer Trust, | |||||
| Series 2021-01R, Class A, 144A, 1 Month LIBOR + 2.900% (Cap N/A, Floor 2.900%) | 7.918(c) | 02/27/24 | 2,289 | 2,227,531 | |
| Series 2023-1R, Class A, 144A, 30 Day Average SOFR + 4.400% (Cap N/A, Floor 0.000%) | 9.224(c) | 03/27/25 | 2,764 | 2,749,700 | |
| Seasoned Credit Risk Transfer Trust, Series 2019-02, Class MA | 3.500 | 08/25/58 | 669 | 640,005 | |
| Sequoia Mortgage Trust, Series 10, Class 2A1, 1 Month LIBOR + 0.760% (Cap 11.750%, Floor 0.760%) | 5.713(c) | 10/20/27 | 13 | 12,601 | |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR05, Class A1, 1 Month LIBOR + 0.500% (Cap 11.000%, Floor 0.500%) | 5.451(c) | 07/19/35 | 16 | 14,235 | |
| Towd Point Mortgage Trust, | |||||
| Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) | 4.331(c) | 02/25/57 | 132 | 131,502 | |
| Series 2018-01, Class A1, 144A | 3.000(cc) | 01/25/58 | 232 | 225,329 | |
| Series 2019-HY03, Class A1A, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) | 6.020(c) | 10/25/59 | 159 | 156,698 | |
| Series 2020-04, Class A1, 144A | 1.750 | 10/25/60 | 687 | 602,318 | |
| Series 2021-SJ01, Class A1, 144A | 2.250(cc) | 07/25/68 | 2,061 | 1,930,968 | |
| Series 2021-SJ02, Class A1A, 144A | 2.250(cc) | 12/25/61 | 3,449 | 3,183,818 | |
| Washington Mutual Mortgage Pass-Through Certificates Trust, | |||||
| Series 2002-AR06, Class A, Federal Reserve US 12 Month Cumulative Avg 1 Year CMT + 1.400% (Cap N/A, Floor 1.400%) | 4.865(c) | 06/25/42 | 22 | 19,930 | |
| Series 2002-AR09, Class 1A, Federal Reserve US 12 Month Cumulative Avg 1 Year CMT + 1.400% (Cap N/A, Floor 1.400%) | 4.865(c) | 08/25/42 | 2 | 1,700 | |
| Series 2005-AR13, Class A1A1, 1 Month LIBOR + 0.580% (Cap 10.500%, Floor 0.580%) | 5.600(c) | 10/25/45 | 188 | 174,367 | |
| Total Residential Mortgage-Backed Securities (cost $76,816,573) | 73,351,304 | ||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Sovereign Bonds 0.5% | |||||
| Abu Dhabi Government International Bond (United Arab Emirates), Sr. Unsec’d. Notes, 144A | 3.125 % | 10/11/27 | 840 | $810,758 | |
| Bermuda Government International Bond (Bermuda), | |||||
| Sr. Unsec’d. Notes, 144A | 2.375 | 08/20/30 | 555 | 474,629 | |
| Sr. Unsec’d. Notes, 144A | 3.375 | 08/20/50 | 450 | 320,625 | |
| Export-Import Bank of India (India), Sr. Unsec’d. Notes, 144A | 3.875 | 02/01/28 | 290 | 275,710 | |
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes | 3.500 | 01/11/28 | 1,420 | 1,367,460 | |
| Japan Finance Organization for Municipalities (Japan), | |||||
| Sr. Unsec’d. Notes, 144A, MTN | 1.750 | 09/05/24 | 200 | 192,548 | |
| Sr. Unsec’d. Notes, 144A, MTN | 2.125 | 10/25/23 | 200 | 197,064 | |
| Sr. Unsec’d. Notes, 144A, MTN | 3.000 | 03/12/24 | 400 | 395,090 | |
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.500 | 02/12/34 | 970 | 830,138 | |
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.500 | 04/16/50 | 200 | 156,225 | |
| Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes | 2.783 | 01/23/31 | 701 | 606,935 | |
| Province of Alberta (Canada), | |||||
| Sr. Unsec’d. Notes | 1.300 | 07/22/30 | 185 | 154,515 | |
| Sr. Unsec’d. Notes | 3.300 | 03/15/28 | 110 | 107,176 | |
| Province of Manitoba (Canada), Sr. Unsec’d. Notes | 2.125 | 06/22/26 | 100 | 94,512 | |
| Province of Quebec (Canada), Unsec’d. Notes, Series A, MTN | 7.140(c) | 02/27/26 | 45 | 48,257 | |
| Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A | 5.103 | 04/23/48 | 370 | 379,319 | |
| Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A | 3.250 | 06/01/23 | 200 | 199,656 | |
| Uruguay Government International Bond (Uruguay), | |||||
| Sr. Unsec’d. Notes | 4.975 | 04/20/55 | 540 | 542,295 | |
| Sr. Unsec’d. Notes | 5.100 | 06/18/50 | 60 | 61,455 | |
| Total Sovereign Bonds (cost $8,043,826) | 7,214,367 | ||||
| U.S. Government Agency Obligations 25.2% | |||||
| Federal Home Loan Mortgage Corp. | 1.500 | 11/01/50 | 1,867 | 1,476,386 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 01/01/32 | 316 | 291,641 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 02/01/36 | 904 | 818,341 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 10/01/40 | 402 | 343,691 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 09/01/50 | 12,858 | 10,734,704 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 12/01/50 | 1,976 | 1,649,456 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 2.000 % | 03/01/51 | 2,559 | $2,134,730 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 04/01/51 | 105 | 87,833 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 05/01/51 | 928 | 774,096 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 07/01/51 | 1,098 | 915,381 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 09/01/51 | 474 | 396,373 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 09/01/51 | 995 | 829,746 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/29 | 174 | 166,369 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/31 | 307 | 289,764 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/32 | 164 | 154,569 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/32 | 381 | 357,466 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/32 | 673 | 632,263 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/46 | 160 | 141,270 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 11/01/46 | 502 | 442,812 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 11/01/49 | 842 | 735,605 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 03/01/51 | 1,040 | 912,097 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 04/01/51 | 11,273 | 9,770,847 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/51 | 477 | 413,755 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 08/01/51 | 954 | 826,740 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/51 | 2,474 | 2,144,757 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/51 | 6,009 | 5,208,428 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/51 | 79 | 68,154 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/51 | 345 | 301,130 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/51 | 3,301 | 2,859,304 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/52 | 205 | 177,853 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/52 | 501 | 434,175 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/32 | 640 | 614,308 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/37 | 143 | 134,678 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/37 | 58 | 54,580 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/43 | 1,439 | 1,326,213 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 07/01/43 | 247 | 228,036 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/46 | 406 | 373,936 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/46 | 377 | 345,881 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/47 | 422 | 387,286 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/50 | 2,556 | 2,318,300 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/50 | 612 | 554,147 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 03/01/51 | 4,000 | 3,595,559 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 04/01/52 | 4,273 | 3,839,532 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 05/01/52 | 3,099 | 2,784,425 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/52 | 479 | 430,119 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/52 | 495 | 444,596 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/37 | 131 | 126,164 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/42 | 180 | 172,165 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/42 | 198 | 188,796 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/42 | 189 | 180,785 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 09/01/42 | 232 | 221,383 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 3.500 % | 10/01/42 | 288 | $274,761 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/43 | 121 | 115,082 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 05/01/45 | 156 | 147,957 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 01/01/47 | 115 | 109,304 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 02/01/47 | 260 | 247,314 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/47 | 174 | 164,151 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/48 | 70 | 65,882 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 10/01/48 | 271 | 254,464 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 01/01/52 | 162 | 151,007 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 04/01/52 | 44 | 41,141 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 04/01/52 | 1,472 | 1,367,999 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 05/01/52 | 494 | 458,643 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/52 | 4,869 | 4,524,850 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/52 | 1,477 | 1,372,972 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/37 | 1,846 | 1,813,388 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 52 | 50,784 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 01/01/41 | 201 | 196,146 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/42 | 196 | 191,832 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 10/01/45 | 101 | 98,252 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 02/01/46 | 1,509 | 1,476,004 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/46 | 91 | 88,858 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/46 | 131 | 127,738 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/47 | 89 | 87,206 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/48 | 141 | 136,648 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/48 | 148 | 143,473 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 07/01/48 | 263 | 255,463 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 07/01/49 | 410 | 400,720 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/52 | 1,858 | 1,794,795 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 06/01/42 | 65 | 64,843 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 09/01/44 | 82 | 81,458 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/45 | 212 | 212,622 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 04/01/47 | 787 | 783,764 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 85 | 83,963 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 190 | 189,452 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 11/01/47 | 343 | 341,506 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 02/01/48 | 111 | 110,111 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/48 | 223 | 221,752 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 05/01/52 | 473 | 462,747 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/52 | 977 | 955,344 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 09/01/52 | 238 | 232,734 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 09/01/52 | 475 | 464,100 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 04/01/53 | 2,000 | 1,954,954 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 08/01/40 | 185 | 188,371 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 12/01/47 | 142 | 141,865 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 02/01/48 | 236 | 239,324 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 5.000 % | 10/01/52 | 4,979 | $4,950,250 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 11/01/52 | 498 | 495,397 | |
| Federal Home Loan Mortgage Corp. | 6.250 | 07/15/32 | 155 | 185,035 | |
| Federal Home Loan Mortgage Corp., 30 Day Average SOFR + 2.341% (Cap 10.174%, Floor 2.341%) | 5.174(c) | 02/01/53 | 1,617 | 1,625,922 | |
| Federal National Mortgage Assoc., | |||||
| Enterprise 11th District COFI Institutional Replacement Index + 1.254% (Cap 12.750%, Floor 5.750%) | 5.750(c) | 12/01/30 | —(r) | 293 | |
| Enterprise 11th District COFI Institutional Replacement Index + 2.000% (Cap 9.375%, Floor 2.000%) | 3.250(c) | 08/01/24 | 2 | 1,870 | |
| Federal National Mortgage Assoc. | 0.875 | 08/05/30 | 1,180 | 969,436 | |
| Federal National Mortgage Assoc. | 1.500 | 01/01/36 | 2,433 | 2,140,583 | |
| Federal National Mortgage Assoc. | 1.500 | 02/01/42 | 471 | 388,188 | |
| Federal National Mortgage Assoc. | 1.500 | 10/01/50 | 391 | 309,268 | |
| Federal National Mortgage Assoc. | 1.500 | 11/01/50 | 1,103 | 869,862 | |
| Federal National Mortgage Assoc. | 1.500 | 12/01/50 | 8,365 | 6,599,246 | |
| Federal National Mortgage Assoc. | 1.500 | 01/01/51 | 849 | 670,004 | |
| Federal National Mortgage Assoc. | 1.500 | 07/01/51 | 837 | 659,859 | |
| Federal National Mortgage Assoc. | 1.625 | 01/07/25 | 675 | 645,380 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/40 | 2,054 | 1,760,906 | |
| Federal National Mortgage Assoc. | 2.000 | 02/01/41 | 1,950 | 1,662,015 | |
| Federal National Mortgage Assoc. | 2.000 | 05/01/41 | 3,862 | 3,311,621 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/50 | 12,716 | 10,625,774 | |
| Federal National Mortgage Assoc. | 2.000 | 11/01/50 | 387 | 322,978 | |
| Federal National Mortgage Assoc. | 2.000 | 12/01/50 | 41 | 34,370 | |
| Federal National Mortgage Assoc. | 2.000 | 01/01/51 | 1,942 | 1,620,865 | |
| Federal National Mortgage Assoc. | 2.000 | 01/01/51 | 3,204 | 2,698,834 | |
| Federal National Mortgage Assoc. | 2.000 | 02/01/51 | 3,965 | 3,309,216 | |
| Federal National Mortgage Assoc. | 2.000 | 03/01/51 | 5,870 | 4,897,543 | |
| Federal National Mortgage Assoc. | 2.000 | 04/01/51 | 691 | 576,523 | |
| Federal National Mortgage Assoc. | 2.000 | 05/01/51 | 13,133 | 10,955,182 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/51 | 2,954 | 2,463,563 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/51 | 6,726 | 5,605,909 | |
| Federal National Mortgage Assoc. | 2.000 | 11/01/51 | 2,710 | 2,253,890 | |
| Federal National Mortgage Assoc.(k) | 2.500 | 02/05/24 | 425 | 417,157 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/30 | 210 | 198,852 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/31 | 597 | 564,811 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/31 | 160 | 150,670 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/43 | 70 | 61,311 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/46 | 353 | 307,664 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/46 | 169 | 148,584 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/46 | 105 | 92,689 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/46 | 184 | 161,709 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 2.500 % | 03/01/50 | 668 | $582,319 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/50 | 4,395 | 3,812,173 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/50 | 3,220 | 2,825,030 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/50 | 296 | 259,590 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/51 | 689 | 604,516 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/51 | 5,613 | 4,858,115 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/51 | 3,359 | 2,908,930 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/51 | 496 | 429,477 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/51 | 895 | 775,534 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/51 | 560 | 487,820 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/51 | 953 | 826,067 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/52 | 987 | 855,499 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/52 | 481 | 416,689 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/52 | 943 | 822,504 | |
| Federal National Mortgage Assoc. | 2.500 | 03/01/52 | 1,963 | 1,700,492 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/52 | 487 | 422,354 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/52 | 494 | 427,775 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/52 | 1,483 | 1,284,849 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/52 | 5,006 | 4,336,243 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/30 | 116 | 111,853 | |
| Federal National Mortgage Assoc. | 3.000 | 05/01/31 | 46 | 44,006 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/31 | 127 | 121,730 | |
| Federal National Mortgage Assoc. | 3.000 | 05/01/32 | 137 | 131,086 | |
| Federal National Mortgage Assoc. | 3.000 | 09/01/32 | 55 | 52,276 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/36 | 103 | 96,255 | |
| Federal National Mortgage Assoc. | 3.000 | 10/01/42 | 138 | 126,909 | |
| Federal National Mortgage Assoc. | 3.000 | 10/01/42 | 201 | 185,090 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/43 | 190 | 175,321 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/43 | 242 | 223,087 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 301 | 277,560 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/45 | 437 | 402,042 | |
| Federal National Mortgage Assoc. | 3.000 | 05/01/46 | 548 | 503,934 | |
| Federal National Mortgage Assoc. | 3.000 | 09/01/46 | 563 | 518,495 | |
| Federal National Mortgage Assoc. | 3.000 | 10/01/46 | 1,701 | 1,560,639 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/46 | 628 | 577,945 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/46 | 1,337 | 1,225,386 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/47 | 457 | 418,746 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/47 | 966 | 883,037 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/49 | 2,322 | 2,105,946 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/50 | 949 | 859,800 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/50 | 883 | 801,268 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/50 | 1,738 | 1,575,033 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/50 | 415 | 376,251 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/50 | 870 | 787,342 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/51 | 1,757 | 1,580,629 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 3.000 % | 01/01/52 | 2,637 | $2,385,720 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 490 | 440,744 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 1,898 | 1,705,895 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 9,574 | 8,611,870 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/52 | 3,759 | 3,394,448 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/52 | 1,895 | 1,709,784 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/52 | 986 | 887,404 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/52 | 3,033 | 2,725,938 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/29 | 63 | 61,228 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/30 | 64 | 62,167 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/31 | 316 | 306,714 | |
| Federal National Mortgage Assoc. | 3.500 | 08/01/31 | 263 | 256,154 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/33 | 114 | 111,223 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/33 | 46 | 44,502 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/41 | 73 | 69,695 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/42 | 164 | 156,161 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/42 | 164 | 156,307 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/42 | 1,042 | 993,789 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/42 | 430 | 410,328 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/42 | 257 | 244,788 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/42 | 274 | 261,714 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/42 | 527 | 502,722 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/43 | 140 | 133,658 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/45 | 157 | 148,008 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/45 | 249 | 234,718 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/45 | 228 | 215,922 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/45 | 244 | 230,289 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/46 | 76 | 72,162 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/46 | 204 | 192,340 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/46 | 2,170 | 2,049,207 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/46 | 101 | 95,199 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/47 | 353 | 333,175 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/47 | 225 | 212,003 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/47 | 1,054 | 1,005,281 | |
| Federal National Mortgage Assoc. | 3.500 | 08/01/47 | 165 | 155,611 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/47 | 279 | 263,268 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/47 | 979 | 923,774 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/47 | 904 | 852,635 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/48 | 165 | 155,076 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/48 | 257 | 242,209 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/48 | 3,332 | 3,143,591 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/48 | 450 | 424,554 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/48 | 682 | 642,496 | |
| Federal National Mortgage Assoc. | 3.500 | 08/01/48 | 354 | 333,255 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/48 | 244 | 229,360 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 3.500 % | 11/01/48 | 178 | $168,397 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/49 | 809 | 763,206 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/49 | 332 | 313,077 | |
| Federal National Mortgage Assoc. | 3.500 | 08/01/51 | 46 | 42,791 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/52 | 497 | 462,356 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/52 | 500 | 465,185 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/52 | 1,382 | 1,284,617 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/52 | 6,159 | 5,723,800 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/40 | 129 | 126,176 | |
| Federal National Mortgage Assoc. | 4.000 | 11/01/40 | 516 | 505,238 | |
| Federal National Mortgage Assoc. | 4.000 | 02/01/41 | 215 | 210,167 | |
| Federal National Mortgage Assoc. | 4.000 | 02/01/41 | 330 | 322,742 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/41 | 221 | 215,935 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/43 | 174 | 171,593 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/44 | 93 | 91,060 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/44 | 225 | 219,328 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/45 | 79 | 76,533 | |
| Federal National Mortgage Assoc. | 4.000 | 04/01/46 | 73 | 70,922 | |
| Federal National Mortgage Assoc. | 4.000 | 08/01/46 | 122 | 118,443 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/46 | 910 | 894,451 | |
| Federal National Mortgage Assoc. | 4.000 | 02/01/47 | 357 | 347,940 | |
| Federal National Mortgage Assoc. | 4.000 | 03/01/47 | 480 | 465,288 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 278 | 270,166 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 88 | 85,997 | |
| Federal National Mortgage Assoc. | 4.000 | 11/01/47 | 173 | 168,090 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/47 | 179 | 174,546 | |
| Federal National Mortgage Assoc. | 4.000 | 02/01/48 | 170 | 163,630 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/48 | 1,336 | 1,296,632 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/48 | 261 | 254,660 | |
| Federal National Mortgage Assoc. | 4.000 | 03/01/49 | 685 | 665,186 | |
| Federal National Mortgage Assoc. | 4.000 | 03/01/49 | 1,055 | 1,024,357 | |
| Federal National Mortgage Assoc. | 4.000 | 07/01/49 | 222 | 213,571 | |
| Federal National Mortgage Assoc. | 4.000 | 05/01/52 | 1,447 | 1,383,497 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/52 | 7,000 | 6,691,353 | |
| Federal National Mortgage Assoc. | 4.500 | 08/01/40 | 61 | 60,914 | |
| Federal National Mortgage Assoc. | 4.500 | 04/01/41 | 73 | 73,115 | |
| Federal National Mortgage Assoc. | 4.500 | 06/01/41 | 167 | 168,164 | |
| Federal National Mortgage Assoc. | 4.500 | 08/01/41 | 85 | 85,805 | |
| Federal National Mortgage Assoc. | 4.500 | 08/01/41 | 236 | 236,844 | |
| Federal National Mortgage Assoc. | 4.500 | 08/01/44 | 206 | 204,581 | |
| Federal National Mortgage Assoc. | 4.500 | 01/01/45 | 111 | 111,200 | |
| Federal National Mortgage Assoc. | 4.500 | 11/01/47 | 125 | 124,031 | |
| Federal National Mortgage Assoc. | 4.500 | 06/01/48 | 178 | 176,935 | |
| Federal National Mortgage Assoc. | 4.500 | 07/01/48 | 1,504 | 1,495,846 | |
| Federal National Mortgage Assoc. | 4.500 | 12/01/48 | 143 | 141,925 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 4.500 % | 02/01/49 | 46 | $45,551 | |
| Federal National Mortgage Assoc. | 4.500 | 09/01/52 | 262 | 256,431 | |
| Federal National Mortgage Assoc. | 5.000 | 09/01/30 | 13 | 13,682 | |
| Federal National Mortgage Assoc. | 5.000 | 10/01/40 | 109 | 111,007 | |
| Federal National Mortgage Assoc. | 5.000 | 03/01/42 | 202 | 205,219 | |
| Federal National Mortgage Assoc. | 5.000 | 10/01/47 | 175 | 176,514 | |
| Federal National Mortgage Assoc. | 5.000 | 01/01/48 | 40 | 40,648 | |
| Federal National Mortgage Assoc. | 5.000 | 06/01/49 | 988 | 996,822 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/52 | 7,885 | 7,842,973 | |
| Federal National Mortgage Assoc. | 5.000 | 08/01/52 | 1,419 | 1,411,703 | |
| Federal National Mortgage Assoc. | 5.500 | TBA | 5,000 | 5,041,016 | |
| Federal National Mortgage Assoc. | 5.500 | 01/01/40 | 100 | 103,419 | |
| Federal National Mortgage Assoc. | 6.000 | 10/01/36 | 55 | 57,775 | |
| Federal National Mortgage Assoc. | 6.000 | 07/01/41 | 62 | 64,152 | |
| Federal National Mortgage Assoc.(k) | 6.625 | 11/15/30 | 485 | 577,240 | |
| Federal National Mortgage Assoc.(k) | 7.125 | 01/15/30 | 80 | 96,241 | |
| Government National Mortgage Assoc. | 2.000 | 03/20/51 | 1,141 | 980,298 | |
| Government National Mortgage Assoc. | 2.000 | 07/20/51 | 463 | 397,890 | |
| Government National Mortgage Assoc. | 2.500 | 12/20/46 | 257 | 230,332 | |
| Government National Mortgage Assoc. | 2.500 | 05/20/51 | 1,166 | 1,032,685 | |
| Government National Mortgage Assoc. | 2.500 | 08/20/51 | 3,396 | 3,004,014 | |
| Government National Mortgage Assoc. | 2.500 | 10/20/51 | 830 | 733,540 | |
| Government National Mortgage Assoc. | 2.500 | 11/20/51 | 444 | 392,618 | |
| Government National Mortgage Assoc. | 2.500 | 12/20/51 | 6,346 | 5,606,465 | |
| Government National Mortgage Assoc. | 2.500 | 03/20/52 | 7,175 | 6,339,720 | |
| Government National Mortgage Assoc. | 2.500 | 05/20/52 | 4,112 | 3,633,416 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/42 | 389 | 361,978 | |
| Government National Mortgage Assoc. | 3.000 | 03/20/43 | 261 | 243,908 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/43 | 49 | 46,195 | |
| Government National Mortgage Assoc. | 3.000 | 09/20/43 | 97 | 90,206 | |
| Government National Mortgage Assoc. | 3.000 | 01/20/44 | 91 | 84,846 | |
| Government National Mortgage Assoc. | 3.000 | 05/20/45 | 93 | 86,467 | |
| Government National Mortgage Assoc. | 3.000 | 08/15/45 | 111 | 102,410 | |
| Government National Mortgage Assoc. | 3.000 | 05/20/46 | 571 | 530,077 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/46 | 909 | 843,945 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/46 | 50 | 46,095 | |
| Government National Mortgage Assoc. | 3.000 | 10/20/46 | 284 | 263,883 | |
| Government National Mortgage Assoc. | 3.000 | 03/20/47 | 591 | 547,442 | |
| Government National Mortgage Assoc. | 3.000 | 01/20/48 | 75 | 69,235 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/48 | 1,266 | 1,168,718 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/49 | 426 | 392,168 | |
| Government National Mortgage Assoc. | 3.000 | 09/20/49 | 526 | 484,643 | |
| Government National Mortgage Assoc. | 3.000 | 12/20/49 | 582 | 536,101 | |
| Government National Mortgage Assoc. | 3.000 | 01/20/50 | 2,688 | 2,475,248 | |
| Government National Mortgage Assoc. | 3.000 | 02/20/50 | 119 | 109,459 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 3.000 % | 09/20/50 | 348 | $320,430 | |
| Government National Mortgage Assoc. | 3.000 | 10/20/51 | 487 | 445,576 | |
| Government National Mortgage Assoc. | 3.000 | 11/20/51 | 906 | 827,865 | |
| Government National Mortgage Assoc. | 3.000 | 02/20/52 | 483 | 440,686 | |
| Government National Mortgage Assoc. | 3.000 | 04/20/52 | 950 | 867,094 | |
| Government National Mortgage Assoc.(h) | 3.000 | 06/20/52 | 15,822 | 14,434,805 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/52 | 980 | 894,381 | |
| Government National Mortgage Assoc. | 3.500 | 01/15/42 | 64 | 62,429 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/42 | 187 | 179,134 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/43 | 278 | 266,598 | |
| Government National Mortgage Assoc. | 3.500 | 02/20/43 | 124 | 118,696 | |
| Government National Mortgage Assoc. | 3.500 | 08/20/43 | 445 | 426,875 | |
| Government National Mortgage Assoc. | 3.500 | 10/20/43 | 590 | 565,610 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/45 | 61 | 58,150 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/45 | 344 | 327,841 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/46 | 655 | 623,811 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/46 | 405 | 385,653 | |
| Government National Mortgage Assoc. | 3.500 | 10/20/46 | 790 | 752,687 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/46 | 784 | 746,394 | |
| Government National Mortgage Assoc. | 3.500 | 05/20/47 | 441 | 419,535 | |
| Government National Mortgage Assoc. | 3.500 | 10/20/47 | 151 | 143,319 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/47 | 780 | 742,041 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/48 | 212 | 201,992 | |
| Government National Mortgage Assoc. | 3.500 | 10/20/48 | 128 | 121,551 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/48 | 252 | 238,856 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/48 | 92 | 87,397 | |
| Government National Mortgage Assoc. | 3.500 | 02/20/49 | 213 | 202,555 | |
| Government National Mortgage Assoc. | 3.500 | 05/20/49 | 341 | 322,719 | |
| Government National Mortgage Assoc. | 3.500 | 06/20/49 | 294 | 278,630 | |
| Government National Mortgage Assoc. | 4.000 | TBA | 7,000 | 6,730,117 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/40 | 145 | 142,737 | |
| Government National Mortgage Assoc. | 4.000 | 06/20/41 | 60 | 59,575 | |
| Government National Mortgage Assoc. | 4.000 | 11/15/41 | 84 | 82,782 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/42 | 149 | 147,387 | |
| Government National Mortgage Assoc. | 4.000 | 04/20/43 | 100 | 98,214 | |
| Government National Mortgage Assoc. | 4.000 | 10/20/43 | 84 | 82,896 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/43 | 186 | 183,122 | |
| Government National Mortgage Assoc. | 4.000 | 09/20/44 | 108 | 106,102 | |
| Government National Mortgage Assoc. | 4.000 | 08/20/45 | 178 | 174,024 | |
| Government National Mortgage Assoc. | 4.000 | 10/20/45 | 83 | 81,394 | |
| Government National Mortgage Assoc. | 4.000 | 03/20/46 | 163 | 159,589 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/46 | 119 | 116,148 | |
| Government National Mortgage Assoc. | 4.000 | 03/20/47 | 106 | 102,834 | |
| Government National Mortgage Assoc. | 4.000 | 05/20/47 | 167 | 163,101 | |
| Government National Mortgage Assoc. | 4.000 | 07/20/47 | 667 | 649,919 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 4.000 % | 11/20/47 | 451 | $440,002 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/47 | 105 | 102,496 | |
| Government National Mortgage Assoc. | 4.000 | 06/20/48 | 1,457 | 1,412,962 | |
| Government National Mortgage Assoc. | 4.000 | 07/20/48 | 202 | 196,711 | |
| Government National Mortgage Assoc. | 4.000 | 08/20/48 | 71 | 68,942 | |
| Government National Mortgage Assoc. | 4.000 | 09/20/48 | 179 | 173,699 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/48 | 75 | 72,675 | |
| Government National Mortgage Assoc. | 4.000 | 01/20/49 | 90 | 86,676 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/49 | 184 | 178,587 | |
| Government National Mortgage Assoc. | 4.000 | 03/20/49 | 114 | 110,863 | |
| Government National Mortgage Assoc. | 4.500 | TBA(tt) | 12,000 | 11,773,125 | |
| Government National Mortgage Assoc. | 4.500 | 12/20/41 | 311 | 316,748 | |
| Government National Mortgage Assoc. | 4.500 | 10/20/43 | 45 | 45,558 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/44 | 60 | 60,914 | |
| Government National Mortgage Assoc. | 4.500 | 04/20/44 | 204 | 205,645 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/45 | 49 | 49,416 | |
| Government National Mortgage Assoc. | 4.500 | 07/20/46 | 97 | 97,377 | |
| Government National Mortgage Assoc. | 4.500 | 08/20/46 | 88 | 88,341 | |
| Government National Mortgage Assoc. | 4.500 | 11/20/46 | 77 | 77,648 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/47 | 503 | 505,882 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/48 | 64 | 63,984 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/48 | 413 | 411,194 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/48 | 43 | 43,218 | |
| Government National Mortgage Assoc. | 4.500 | 07/20/48 | 69 | 68,555 | |
| Government National Mortgage Assoc. | 4.500 | 08/20/48 | 27 | 26,300 | |
| Government National Mortgage Assoc. | 4.500 | 12/20/48 | 130 | 127,545 | |
| Government National Mortgage Assoc. | 4.500 | 07/20/52 | 1,685 | 1,654,982 | |
| Government National Mortgage Assoc. | 5.000 | 10/20/37 | 6 | 6,208 | |
| Government National Mortgage Assoc. | 5.000 | 09/20/40 | 59 | 61,044 | |
| Government National Mortgage Assoc. | 5.000 | 04/20/45 | 33 | 33,574 | |
| Government National Mortgage Assoc. | 5.000 | 08/20/45 | 118 | 120,454 | |
| Government National Mortgage Assoc. | 5.500 | 09/20/52 | 722 | 727,413 | |
| Government National Mortgage Assoc. | 5.500 | 11/20/52 | 4,927 | 4,961,332 | |
| Government National Mortgage Assoc. | 6.000 | 12/15/39 | 83 | 87,038 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 1.500 | 09/15/31 | 645 | 530,653 | |
| Total U.S. Government Agency Obligations (cost $406,404,338) | 380,330,023 | ||||
| U.S. Treasury Obligations 5.2% | |||||
| U.S. Treasury Bonds | 1.375 | 11/15/40 | 4,345 | 3,005,518 | |
| U.S. Treasury Bonds | 2.000 | 11/15/41 | 6,795 | 5,148,274 | |
| U.S. Treasury Bonds(h)(k) | 2.250 | 05/15/41 | 31,330 | 24,975,884 | |
| U.S. Treasury Bonds | 2.375 | 02/15/42 | 18,960 | 15,298,350 | |
| U.S. Treasury Notes(k) | 0.125 | 01/15/24 | 155 | 149,847 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Treasury Obligations (Continued) | |||||
| U.S. Treasury Strips Coupon | 1.750 %(s) | 08/15/42 | 415 | $194,126 | |
| U.S. Treasury Strips Coupon | 2.014(s) | 11/15/41 | 1,195 | 578,268 | |
| U.S. Treasury Strips Coupon(k) | 2.062(s) | 05/15/41 | 34,830 | 17,289,830 | |
| U.S. Treasury Strips Coupon | 2.324(s) | 05/15/42 | 1,195 | 564,871 | |
| U.S. Treasury Strips Coupon | 2.335(s) | 08/15/44 | 1,620 | 697,486 | |
| U.S. Treasury Strips Coupon | 2.340(s) | 02/15/43 | 2,210 | 1,013,837 | |
| U.S. Treasury Strips Coupon | 2.394(s) | 11/15/43 | 2,087 | 928,797 | |
| U.S. Treasury Strips Coupon(k) | 2.434(s) | 11/15/42 | 16,395 | 7,587,171 | |
| U.S. Treasury Strips Coupon | 2.434(s) | 11/15/45 | 575 | 236,446 | |
| U.S. Treasury Strips Coupon(k) | 2.436(s) | 02/15/46 | 415 | 169,064 | |
| U.S. Treasury Strips Coupon | 3.930(s) | 02/15/41 | 1,400 | 703,938 | |
| Total U.S. Treasury Obligations (cost $101,814,573) | 78,541,707 | ||||
| Total Long-Term Investments (cost $1,660,454,416) | 1,511,304,277 | ||||
| Shares | |||||
| Short-Term Investments 2.9% | |||||
| Affiliated Mutual Funds | |||||
| PGIM Core Government Money Market Fund(wi) | 30,763,926 | 30,763,926 | |||
| PGIM Institutional Money Market Fund (cost $12,988,648; includes $12,947,195 of cash collateral for securities on loan)(b)(wi) | 12,999,132 | 12,991,332 | |||
| Total Short-Term Investments (cost $43,752,574) | 43,755,258 | ||||
| TOTAL INVESTMENTS, BEFORE OPTION WRITTEN 103.0% (cost $1,704,206,990) | 1,555,059,535 | ||||
| Option Written*~ (0.0)% | |||||
| (premiums received $0) | (225) | ||||
| TOTAL INVESTMENTS, NET OF OPTION WRITTEN 103.0% (cost $1,704,206,990) | 1,555,059,310 | ||||
| Liabilities in excess of other assets(z) (3.0)% | (44,989,677) | ||||
| Net Assets 100.0% | $1,510,069,633 | ||||
| Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
| EUR | Euro |
| 144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. |
| A | Annual payment frequency for swaps |
| Aces | Alternative Credit Enhancements Securities |
| BABs | Build America Bonds |
| BARC | Barclays Bank PLC |
| BNP | BNP Paribas S.A. |
| CBOE | Chicago Board Options Exchange |
| CDX | Credit Derivative Index |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| COFI | Cost of Funds Index |
| DAC | Designated Activity Company |
| FHLMC | Federal Home Loan Mortgage Corporation |
| GMTN | Global Medium Term Note |
| GSI | Goldman Sachs International |
| IO | Interest Only (Principal amount represents notional) |
| JPM | JPMorgan Chase Bank N.A. |
| LIBOR | London Interbank Offered Rate |
| LP | Limited Partnership |
| M | Monthly payment frequency for swaps |
| MTN | Medium Term Note |
| OTC | Over-the-counter |
| PJSC | Public Joint-Stock Company |
| Q | Quarterly payment frequency for swaps |
| REITs | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| STRIPs | Separate Trading of Registered Interest and Principal of Securities |
| T | Swap payment upon termination |
| TBA | To Be Announced |
| USOIS | United States Overnight Index Swap |
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ | See tables subsequent to the Schedule of Investments for options detail. Excludes centrally cleared swaptions. |
| ^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $6,864 and 0.0% of net assets. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,787,160; cash collateral of $12,947,195 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) | Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2023. |
| (cc) | Variable rate instrument. The rate shown is based on the latest available information as of April 30, 2023. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (oo) | Perpetual security. Maturity date represents next call date. |
| (r) | Principal or notional amount is less than $500 par. |
| (s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $12,000,000 is 0.8% of net assets. |
| (wi) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Government Money Market Fund and PGIM Institutional Money Market Fund, if applicable. |
| (z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
| Forward Commitment Contract: | |||||||||||
| U.S. Government Agency Obligation | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
| Federal National Mortgage Assoc. (proceeds receivable $2,218,457) | 3.000% | TBA | 06/13/23 | $(2,500) | $(2,248,242) | ||||||
| OTC Swaptions | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
| GS_21-PJA^ | Put | GSI | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 13,790 | $(225) | |||||||||
| (premiums received $0) | |||||||||||||||||
| Futures contracts outstanding at April 30, 2023: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 283 | 2 Year U.S. Treasury Notes | Jun. 2023 | $58,344,430 | $523,553 | ||||
| 918 | 5 Year U.S. Treasury Notes | Jun. 2023 | 100,743,330 | 1,413,208 | ||||
| 670 | 10 Year U.S. Treasury Notes | Jun. 2023 | 77,186,097 | 772,395 | ||||
| 105 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2023 | 14,847,656 | 571,804 | ||||
| 3,280,960 | ||||||||
| Short Positions: | ||||||||
| 391 | 10 Year U.S. Ultra Treasury Notes | Jun. 2023 | 47,488,174 | (1,613,017) | ||||
| 842 | 20 Year U.S. Treasury Bonds | Jun. 2023 | 110,854,563 | (3,415,506) | ||||
| (5,028,523) | ||||||||
| $(1,747,563) | ||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at April 30, 2023(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreement on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
| GS_21-PJA | 05/14/23 | 0.500%(M) | 8,812 | * | $7,089 | $(952) | $8,041 | GSI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
| U.S. Treasury Notes | 12/20/27 | 0.250%(Q) | EUR | 875 | $20,296 | $4,752 | $15,544 | BARC | ||||||||
| U.S. Treasury Notes | 12/20/32 | 0.250%(Q) | EUR | 445 | 13,017 | 5,362 | 7,655 | BNP | ||||||||
| $33,313 | $10,114 | $23,199 | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at April 30, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
| CDX.NA.IG.40.V1 | 06/20/28 | 1.000%(Q) | 44,912 | $(329,803) | $(557,316) | $(227,513) | ||||||||
| (1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at April 30, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| 10,388 | 03/08/25 | 4.946%(A) | 1 Day SOFR(2)(A)/ 4.810% | $— | $146,765 | $146,765 | ||||||||
| 13,356 | 03/09/25 | 5.110%(A) | 1 Day SOFR(2)(A)/ 4.810% | — | 230,659 | 230,659 | ||||||||
| 30,246 | 03/10/25 | 5.088%(A) | 1 Day SOFR(2)(A)/ 4.810% | — | 509,272 | 509,272 | ||||||||
| $— | $886,696 | $886,696 | ||||||||||||
| (1) | The Fund pays the fixed rate and receives the floating rate. |
| (2) | The Fund pays the floating rate and receives the fixed rate. |
| Total return swap agreements outstanding at April 30, 2023: | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements: | ||||||||||||||
| Total Return Benchmark Bond Index(T) | 1 Day USOIS -54 bps(T)/ 4.290% | JPM | 09/20/23 | (8,262) | $(125,100) | $— | $(125,100) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +11 bps(T)/ 4.940% | JPM | 05/02/23 | 17,605 | (300,232) | — | (300,232) | |||||||
| Total return swap agreements outstanding at April 30, 2023 (continued): | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements (cont’d.): | ||||||||||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +10 bps(T)/ 4.930% | GSI | 05/08/23 | 33,340 | $(2,553) | $— | $(2,553) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +11 bps(T)/ 4.940% | JPM | 06/02/23 | 19,925 | 896,260 | — | 896,260 | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +15 bps(T)/ 4.980% | JPM | 06/29/23 | 27,370 | 313,974 | — | 313,974 | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +14 bps(T)/ 4.970% | GSI | 07/10/23 | 40,595 | (734,327) | — | (734,327) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +16 bps(T)/ 4.990% | GSI | 08/01/23 | 22,845 | 43,558 | — | 43,558 | |||||||
| $91,580 | $— | $91,580 | ||||||||||||
| (1) | On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |