Financial Investors Trust
Schedules of Investments
(Unaudited)
January 31, 2024
ALPS|CoreCommodity Management
CompleteCommodities® Strategy Fund
CONSOLIDATED STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Shares | Value (Note 2) | |||||||
COMMON STOCKS (25.82%) | ||||||||
Australia (1.37%) | ||||||||
Beach Energy, Ltd. | 937,818 | $ | 1,021,327 | |||||
BHP Group, Ltd. | 31,832 | 987,160 | ||||||
BlueScope Steel, Ltd. | 130,862 | 2,026,971 | ||||||
Champion Iron, Ltd. | 271,301 | 1,518,233 | ||||||
Coronado Global Resources, Inc.(a)(b) | 888,401 | 955,853 | ||||||
Deterra Royalties, Ltd. | 77,326 | 281,043 | ||||||
Evolution Mining, Ltd. | 212,323 | 447,137 | ||||||
Fortescue, Ltd. | 42,132 | 825,906 | ||||||
IGO, Ltd. | 41,981 | 208,215 | ||||||
Iluka Resources, Ltd. | 293,891 | 1,397,856 | ||||||
Incitec Pivot, Ltd. | 169,639 | 299,375 | ||||||
Karoon Energy, Ltd.(c) | 155,879 | 199,927 | ||||||
Liontown Resources, Ltd.(c) | 128,618 | 86,911 | ||||||
Mineral Resources, Ltd. | 10,418 | 409,743 | ||||||
Nickel Industries, Ltd. | 987,973 | 515,288 | ||||||
Northern Star Resources, Ltd. | 606,435 | 5,231,765 | ||||||
NRW Holdings, Ltd. | 99,470 | 178,153 | ||||||
Perseus Mining, Ltd. | 1,291,996 | 1,529,947 | ||||||
Sandfire Resources NL(c) | 186,337 | 892,401 | ||||||
Santos, Ltd. | 39,501 | 203,430 | ||||||
South32, Ltd. | 485,140 | 1,066,228 | ||||||
Woodside Energy Group, Ltd. | 17,900 | 380,601 | ||||||
20,663,470 | ||||||||
Austria (0.12%) | ||||||||
OMV AG | 19,161 | 855,415 | ||||||
voestalpine AG | 31,735 | 946,566 | ||||||
1,801,981 | ||||||||
Brazil (0.07%) | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo SABESP, ADR | 19,683 | 313,550 | ||||||
Vale SA, Sponsored ADR | 57,226 | 783,424 | ||||||
1,096,974 | ||||||||
Canada (5.10%) | ||||||||
Advantage Energy, Ltd.(c) | 125,100 | 820,694 | ||||||
Agnico Eagle Mines, Ltd. | 12,881 | 633,230 | ||||||
Agnico-Eagle Mines, Ltd. | 84,594 | 4,157,814 | ||||||
Alamos Gold, Inc., Class A | 178,330 | 2,159,576 | ||||||
Algoma Steel Group, Inc. | 131,557 | 1,097,185 | ||||||
ARC Resources, Ltd. | 48,200 | 748,571 | ||||||
Athabasca Oil Corp.(c) | 123,600 | 398,991 | ||||||
B2Gold Corp. | 2,085,304 | 5,838,852 | ||||||
Barrick Gold Corp. | 92,263 | 1,439,303 | ||||||
Baytex Energy Corp. | 497,600 | 1,580,388 | ||||||
Birchcliff Energy, Ltd. | 34,100 | 129,354 | ||||||
Boralex, Inc., Class A | 43,600 | 1,051,693 | ||||||
Canadian Natural Resources, Ltd. | 9,100 | 582,368 | ||||||
Canadian Solar, Inc.(c) | 67,266 | 1,486,579 | ||||||
Canfor Corp.(c) | 73,700 | 892,436 | ||||||
Capstone Copper Corp.(c) | 228,000 | 1,122,660 | ||||||
Cenovus Energy, Inc. | 178,000 | 2,883,588 |
Shares | Value (Note 2) | |||||||
Canada (continued) | ||||||||
Centerra Gold, Inc. | 227,200 | $ | 1,198,146 | |||||
Crescent Point Energy Corp. | 540,600 | 3,526,395 | ||||||
Crew Energy, Inc.(c) | 34,200 | 106,330 | ||||||
Dundee Precious Metals, Inc. | 211,200 | 1,352,547 | ||||||
Eldorado Gold Corp.(c) | 10,116 | 123,516 | ||||||
Equinox Gold Corp.(c) | 256,686 | 1,129,418 | ||||||
ERO Copper Corp.(c) | 23,800 | 372,636 | ||||||
First Majestic Silver Corp. | 70,099 | 323,857 | ||||||
First Quantum Minerals, Ltd. | 52,700 | 478,218 | ||||||
Franco-Nevada Corp. | 30,349 | 3,285,279 | ||||||
Freehold Royalties, Ltd. | 18,300 | 189,608 | ||||||
Hudbay Minerals, Inc. | 356,100 | 1,978,554 | ||||||
Imperial Oil, Ltd. | 1,800 | 103,827 | ||||||
Innergex Renewable Energy, Inc. | 67,100 | 458,164 | ||||||
International Petroleum Corp.(c) | 24,545 | 272,653 | ||||||
Ivanhoe Mines, Ltd., Class A(c) | 39,800 | 417,701 | ||||||
Kinross Gold Corp. | 346,825 | 1,911,006 | ||||||
Labrador Iron Ore Royalty Corp. | 17,500 | 429,674 | ||||||
Lundin Gold, Inc. | 73,500 | 867,053 | ||||||
MEG Energy Corp.(c) | 32,900 | 622,052 | ||||||
NexGen Energy, Ltd.(c) | 217,300 | 1,664,763 | ||||||
Northland Power, Inc. | 107,000 | 1,968,969 | ||||||
Nutrien, Ltd. | 57,800 | 2,882,154 | ||||||
NuVista Energy, Ltd.(c) | 132,900 | 1,030,026 | ||||||
Osisko Gold Royalties, Ltd. | 54,515 | 793,738 | ||||||
Pan American Silver Corp. | 22,096 | 298,738 | ||||||
Paramount Resources, Ltd., Class A | 26,300 | 518,390 | ||||||
Parex Resources, Inc. | 69,000 | 1,142,430 | ||||||
Peyto Exploration & Development Corp. | 96,900 | 934,801 | ||||||
PrairieSky Royalty, Ltd. | 56,500 | 932,106 | ||||||
Sandstorm Gold, Ltd. | 235,686 | 1,074,728 | ||||||
Secure Energy Services, Inc. | 91,600 | 702,440 | ||||||
Stelco Holdings, Inc. | 13,800 | 443,012 | ||||||
Suncor Energy, Inc. | 64,600 | 2,139,159 | ||||||
Tamarack Valley Energy, Ltd. | 71,000 | 163,182 | ||||||
Topaz Energy Corp. | 21,000 | 303,648 | ||||||
Torex Gold Resources, Inc.(c) | 135,700 | 1,393,891 | ||||||
Tourmaline Oil Corp. | 13,200 | 570,729 | ||||||
Vermilion Energy, Inc. | 329,100 | 3,537,131 | ||||||
West Fraser Timber Co., Ltd. | 71,400 | 5,677,693 | ||||||
Wheaton Precious Metals Corp. | 3,386 | 158,702 | ||||||
Whitecap Resources, Inc. | 307,400 | 1,989,200 | ||||||
76,489,546 | ||||||||
Chile (0.07%) | ||||||||
Antofagasta PLC | 11,460 | 251,978 | ||||||
Sociedad Quimica y Minera de Chile SA, Sponsored ADR | 17,312 | 728,316 | ||||||
980,294 | ||||||||
China (0.07%) | ||||||||
Daqo New Energy Corp., ADR(c) | 61,379 | 1,107,891 | ||||||
Denmark (0.37%) | ||||||||
Bakkafrost P/F | 7,233 | 405,759 | ||||||
FLSmidth & Co. A/S | 21,846 | 901,388 | ||||||
Orsted AS(a)(b) | 37,606 | 2,134,489 |
Shares | Value (Note 2) | |||||||
Denmark (continued) | ||||||||
Vestas Wind Systems A/S(c) | 72,709 | $ | 2,073,047 | |||||
5,514,683 | ||||||||
Finland (0.18%) | ||||||||
Metso Outotec Oyj | 159,987 | 1,606,215 | ||||||
Outokumpu Oyj | 233,072 | 996,941 | ||||||
2,603,156 | ||||||||
France (0.06%) | ||||||||
TotalEnergies SE, ADR | 12,901 | 840,887 | ||||||
Germany (0.78%) | ||||||||
Bayer AG | 105,996 | 3,310,478 | ||||||
Encavis AG(c) | 58,920 | 825,223 | ||||||
K+S AG | 340,879 | 4,812,970 | ||||||
Nordex SE(c) | 73,304 | 754,643 | ||||||
Salzgitter AG | 10,429 | 292,810 | ||||||
SMA Solar Technology AG(c) | 13,832 | 713,626 | ||||||
Suedzucker AG | 37,343 | 527,055 | ||||||
thyssenkrupp AG | 17,747 | 110,510 | ||||||
11,347,315 | ||||||||
Great Britain (1.48%) | ||||||||
Anglo American PLC | 144,356 | 3,469,681 | ||||||
Anglogold Ashanti PLC Sponsored | 26,099 | 459,864 | ||||||
Atlantica Sustainable Infrastructure PLC | 66,880 | 1,282,758 | ||||||
BP PLC, Sponsored ADR | 21,500 | 754,650 | ||||||
CNH Industrial N.V. | 330,863 | 3,970,356 | ||||||
Drax Group PLC | 151,018 | 974,532 | ||||||
Endeavour Mining PLC | 122,000 | 2,113,414 | ||||||
Evraz PLC(c)(d)(e)(f) | 91,946 | 1,165 | ||||||
Harbour Energy PLC | 325,039 | 1,148,437 | ||||||
Pennon Group PLC | 72,105 | 645,133 | ||||||
Rio Tinto PLC, Sponsored ADR | 25,046 | 1,734,936 | ||||||
Severn Trent PLC | 55,854 | 1,838,960 | ||||||
Subsea 7 SA | 62,311 | 844,559 | ||||||
United Utilities Group PLC | 152,136 | 2,056,231 | ||||||
Weir Group PLC | 28,885 | 666,045 | ||||||
21,960,721 | ||||||||
India (0.03%) | ||||||||
ReNew Energy Global PLC(c) | 76,711 | 519,333 | ||||||
Israel (0.08%) | ||||||||
ICL Group, Ltd. | 271,024 | 1,233,159 | ||||||
Italy (0.28%) | ||||||||
Eni SpA, ADR | 140,479 | 2,258,584 | ||||||
ERG SpA | 29,102 | 855,451 | ||||||
Saipem SpA(c) | 767,045 | 1,105,809 | ||||||
4,219,844 | ||||||||
Japan (2.08%) | ||||||||
Daido Steel Co., Ltd. | 26,000 | 273,814 | ||||||
Dowa Holdings Co., Ltd. | 29,400 | 1,033,335 | ||||||
GS Yuasa Corp. | 17,800 | 259,296 | ||||||
Inpex Corp. | 151,733 | 2,108,262 |
Shares | Value (Note 2) | |||||||
Japan (continued) | ||||||||
Japan Petroleum Exploration Co., Ltd. | 33,200 | $ | 1,362,468 | |||||
Kubota Corp. | 254,800 | 3,899,558 | ||||||
Kurita Water Industries, Ltd. | 49,416 | 1,827,835 | ||||||
MEIJI Holdings Co., Ltd. | 174,300 | 4,229,007 | ||||||
Mitsubishi Materials Corp. | 52,500 | 968,457 | ||||||
Morinaga Milk Industry Co., Ltd. | 46,000 | 945,754 | ||||||
NH Foods, Ltd. | 40,500 | 1,391,826 | ||||||
Nisshin Seifun Group, Inc. | 106,400 | 1,489,586 | ||||||
Nissui Corp. | 115,200 | 631,729 | ||||||
OSAKA Titanium Technologies Co., Ltd. | 60,200 | 1,153,854 | ||||||
RENOVA, Inc.(c) | 29,200 | 253,154 | ||||||
SUMCO Corp. | 231,200 | 3,543,873 | ||||||
Sumitomo Forestry Co., Ltd. | 149,959 | 4,466,777 | ||||||
Sumitomo Metal Mining Co., Ltd. | 16,400 | 456,967 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 76,200 | 928,814 | ||||||
31,224,366 | ||||||||
Jersey (0.08%) | ||||||||
Arcadium Lithium PLC(c) | 242,680 | 1,238,659 | ||||||
Luxembourg (0.20%) | ||||||||
Aperam SA | 20,300 | 627,869 | ||||||
ArcelorMittal | 14,925 | 409,990 | ||||||
ArcelorMittal SA | 48,939 | 1,356,052 | ||||||
Ternium SA, Sponsored ADR | 15,183 | 586,975 | ||||||
2,980,886 | ||||||||
Malaysia (0.16%) | ||||||||
Lynas Rare Earths, Ltd.(c) | 605,238 | 2,334,757 | ||||||
Mexico (0.15%) | ||||||||
Fresnillo PLC | 125,702 | 846,849 | ||||||
Grupo Mexico SAB de CV, Series B | 250,500 | 1,291,251 | ||||||
2,138,100 | ||||||||
Netherlands (0.30%) | ||||||||
AMG Critical Materials NV | 30,136 | 642,726 | ||||||
Fugro N.V.(c) | 70,271 | 1,300,879 | ||||||
OCI N.V. | 69,943 | 2,012,128 | ||||||
SBM Offshore N.V. | 47,369 | 606,619 | ||||||
4,562,352 | ||||||||
Norway (1.13%) | ||||||||
Aker BP ASA | 122,139 | 3,260,988 | ||||||
Aker Solutions ASA | 83,836 | 312,315 | ||||||
DNO ASA | 263,449 | 232,833 | ||||||
Equinor ASA | 113,324 | 3,261,072 | ||||||
FLEX LNG, Ltd. | 8,974 | 268,951 | ||||||
Mowi ASA | 96,453 | 1,740,643 | ||||||
NEL ASA(c) | 476,921 | 241,969 | ||||||
Norsk Hydro ASA | 162,579 | 957,488 | ||||||
PGS ASA(c) | 2,027,014 | 1,279,743 | ||||||
Salmar ASA | 31,650 | 1,759,863 | ||||||
TGS ASA | 42,520 | 417,630 | ||||||
Var Energi ASA | 365,931 | 1,065,722 |
Shares | Value (Note 2) | |||||||
Norway (continued) | ||||||||
Yara International ASA | 57,255 | $ | 1,902,103 | |||||
16,701,320 | ||||||||
Peru (0.11%) | ||||||||
Cia de Minas Buenaventura SAA, ADR | 108,938 | 1,652,589 | ||||||
South Africa (0.85%) | ||||||||
African Rainbow Minerals, Ltd. | 113,713 | 1,126,532 | ||||||
Anglo Platinum, Ltd. | 37,399 | 1,592,022 | ||||||
Gold Fields, Ltd., Sponsored ADR | 303,061 | 4,485,304 | ||||||
Impala Platinum Holdings, Ltd. | 840,959 | 3,291,070 | ||||||
Kumba Iron Ore, Ltd. | 15,133 | 446,986 | ||||||
Northam Platinum Holdings, Ltd. | 249,402 | 1,680,175 | ||||||
12,622,089 | ||||||||
Spain (0.30%) | ||||||||
Acerinox SA | 44,206 | 467,222 | ||||||
Corp ACCIONA Energias Renovables SA | 38,508 | 1,002,932 | ||||||
Fluidra SA | 57,731 | 1,255,279 | ||||||
Iberdrola SA | 74,692 | 902,038 | ||||||
Repsol SA | 22,896 | 339,977 | ||||||
Solaria Energia y Medio Ambiente SA | 43,802 | 648,275 | ||||||
4,615,723 | ||||||||
Sweden (0.43%) | ||||||||
AAK AB | 17,147 | 387,209 | ||||||
Boliden AB | 15,122 | 402,439 | ||||||
Epiroc AB, Class A | 55,077 | 976,198 | ||||||
Holmen AB, B Shares | 32,420 | 1,282,264 | ||||||
OX2 AB(c) | 51,692 | 247,069 | ||||||
SSAB AB, A Shares | 100,712 | 785,245 | ||||||
Svenska Cellulosa AB SCA, Class B | 152,740 | 2,084,890 | ||||||
6,165,314 | ||||||||
Switzerland (0.05%) | ||||||||
Bucher Industries AG | 1,074 | 456,508 | ||||||
Meyer Burger Technology AG(c) | 1,822,860 | 237,007 | ||||||
693,515 | ||||||||
United States (9.92%) | ||||||||
23andMe Holding Co.(c) | 23,709 | 447,626 | ||||||
AGCO Corp. | 30,298 | 3,706,354 | ||||||
Albemarle Corp. | 2,999 | 344,105 | ||||||
American States Water Co. | 20,351 | 1,518,184 | ||||||
American Water Works Co., Inc. | 3,196 | 396,368 | ||||||
Antero Resources Corp.(c) | 9,215 | 205,863 | ||||||
APA Corp. | 5,012 | 157,026 | ||||||
Archer-Daniels-Midland Co. | 80,472 | 4,472,633 | ||||||
Array Technologies, Inc.(c) | 77,402 | 1,024,802 | ||||||
ATI, Inc.(c) | 32,007 | 1,308,126 | ||||||
Atlas Energy Solutions, Inc. | 10,616 | 184,400 | ||||||
Baker Hughes Co. | 40,293 | 1,148,351 | ||||||
Brookfield Renewable Corp. | 5,902 | 164,784 | ||||||
Bunge Global SA | 41,450 | 3,651,331 | ||||||
California Water Service Group | 33,559 | 1,519,216 | ||||||
Callon Petroleum Co.(c) | 67,654 | 2,173,046 | ||||||
Cal-Maine Foods, Inc. | 87,846 | 4,868,425 |
Shares | Value (Note 2) | |||||||
United States (continued) | ||||||||
Century Aluminum Co.(c) | 38,500 | $ | 429,275 | |||||
CF Industries Holdings, Inc. | 17,122 | 1,292,882 | ||||||
ChampionX Corp. | 44,504 | 1,219,855 | ||||||
Chevron Corp. | 12,185 | 1,796,435 | ||||||
Chord Energy Corp. | 10,903 | 1,676,445 | ||||||
Civitas Resources, Inc. | 4,309 | 279,266 | ||||||
Cleveland-Cliffs, Inc.(c) | 21,936 | 439,817 | ||||||
CNX Resources Corp.(c) | 45,288 | 914,818 | ||||||
Commercial Metals Co. | 22,534 | 1,176,725 | ||||||
Compass Minerals International, Inc. | 42,010 | 944,805 | ||||||
Comstock Resources, Inc. | 48,173 | 376,231 | ||||||
ConocoPhillips | 2,628 | 293,994 | ||||||
Corteva, Inc. | 70,365 | 3,200,200 | ||||||
Coterra Energy, Inc. | 61,710 | 1,535,345 | ||||||
Crescent Energy Co. | 49,053 | 542,036 | ||||||
Darling Ingredients, Inc.(c) | 48,889 | 2,116,894 | ||||||
Deere & Co. | 9,110 | 3,585,514 | ||||||
Devon Energy Corp. | 75,716 | 3,181,586 | ||||||
Diamondback Energy, Inc. | 15,325 | 2,356,067 | ||||||
Dril-Quip, Inc.(c) | 9,702 | 194,719 | ||||||
EOG Resources, Inc. | 19,350 | 2,201,837 | ||||||
EQT Corp. | 19,624 | 694,690 | ||||||
Essential Utilities, Inc. | 87,772 | 3,147,504 | ||||||
Expro Group Holdings NV(c) | 46,451 | 817,538 | ||||||
Exxon Mobil Corp. | 7,114 | 731,390 | ||||||
FMC Corp. | 45,308 | 2,546,310 | ||||||
Freeport-McMoRan, Inc. | 20,818 | 826,266 | ||||||
Green Plains, Inc.(c) | 21,696 | 449,758 | ||||||
Halliburton Co. | 41,684 | 1,486,035 | ||||||
Hecla Mining Co. | 745,861 | 2,841,730 | ||||||
Helmerich & Payne, Inc. | 49,419 | 1,989,608 | ||||||
Hess Corp. | 4,107 | 577,157 | ||||||
Hormel Foods Corp. | 91,667 | 2,783,927 | ||||||
Ingredion, Inc. | 60,550 | 6,513,363 | ||||||
Kimbell Royalty Partners LP | 17,465 | 262,324 | ||||||
Kosmos Energy, Ltd.(c) | 163,349 | 989,895 | ||||||
Liberty Energy, Inc., Class A | 127,415 | 2,648,957 | ||||||
Louisiana-Pacific Corp. | 76,875 | 5,116,031 | ||||||
Magnolia Oil & Gas Corp., Class A | 124,729 | 2,571,912 | ||||||
Marathon Oil Corp. | 52,825 | 1,207,051 | ||||||
Matador Resources Co. | 4,124 | 226,366 | ||||||
Mosaic Co. | 52,795 | 1,621,334 | ||||||
MP Materials Corp.(c) | 15,486 | 244,834 | ||||||
Murphy Oil Corp. | 79,413 | 3,073,283 | ||||||
National Fuel Gas Co. | 3,154 | 148,743 | ||||||
National Oilwell Varco, Inc. | 41,332 | 806,387 | ||||||
Newmont Corp. | 104,873 | 3,621,684 | ||||||
Noble Corp. PLC | 23,147 | 1,021,477 | ||||||
Northern Oil and Gas, Inc. | 17,656 | 591,476 | ||||||
NOW, Inc.(c) | 42,397 | 427,786 | ||||||
Nucor Corp | 8,627 | 1,612,645 | ||||||
Occidental Petroleum Corp. | 9,848 | 566,949 | ||||||
Oceaneering International, Inc.(c) | 35,959 | 747,228 | ||||||
Oil States International, Inc.(c) | 36,397 | 224,569 | ||||||
Patterson-UTI Energy, Inc. | 186,963 | 2,073,419 | ||||||
Permian Resources Corp. | 143,038 | 1,928,155 | ||||||
Pilgrim's Pride Corp.(c) | 45,399 | 1,233,491 | ||||||
Pioneer Natural Resources Co. | 3,190 | 733,158 | ||||||
Plug Power, Inc.(c) | 4,791 | 21,320 |
Shares | Value (Note 2) | |||||||
United States (continued) | ||||||||
PotlatchDeltic Corp., REIT | 60,188 | $ | 2,692,209 | |||||
ProPetro Holding Corp.(c) | 42,856 | 362,562 | ||||||
Range Resources Corp. | 22,102 | 641,842 | ||||||
Rayonier, Inc., REIT | 51,705 | 1,566,662 | ||||||
REC Silicon ASA(c) | 596,207 | 699,536 | ||||||
Royal Gold, Inc. | 2,822 | 322,809 | ||||||
RPC, Inc. | 52,880 | 386,553 | ||||||
Ryerson Holding Corp. | 10,133 | 347,765 | ||||||
SandRidge Energy, Inc. | 36,894 | 538,652 | ||||||
Schlumberger NV | 25,372 | 1,235,616 | ||||||
Select Water Solutions, Inc., Class A | 69,762 | 542,051 | ||||||
Shoals Technologies Group, Inc., Class A(c) | 36,675 | 483,010 | ||||||
SilverBow Resources, Inc.(c) | 8,012 | 212,799 | ||||||
SM Energy Co. | 29,481 | 1,093,155 | ||||||
Southern Copper Corp. | 10,295 | 845,220 | ||||||
Southwestern Energy Co.(c) | 251,637 | 1,623,059 | ||||||
SSR Mining, Inc. | 367,068 | 3,461,441 | ||||||
Steel Dynamics, Inc. | 10,989 | 1,326,262 | ||||||
SunCoke Energy, Inc. | 47,744 | 489,376 | ||||||
Sunnova Energy International, Inc.(c) | 18,148 | 190,917 | ||||||
SunPower Corp.(c) | 118,005 | 357,555 | ||||||
Talos Energy, Inc.(c) | 6,851 | 88,857 | ||||||
Tetra Technologies Inc(c) | 46,202 | 193,586 | ||||||
Tidewater, Inc.(c) | 4,541 | 305,110 | ||||||
TimkenSteel Corp.(c) | 53,046 | 1,090,095 | ||||||
Transocean, Ltd.(c) | 32,412 | 176,970 | ||||||
Tronox Holdings PLC, Class A | 38,957 | 537,217 | ||||||
Tyson Foods, Inc., Class A | 53,103 | 2,907,920 | ||||||
United States Steel Corp. | 55,695 | 2,618,780 | ||||||
US Silica Holdings, Inc.(c) | 105,682 | 1,132,911 | ||||||
Vital Energy, Inc.(c) | 32,806 | 1,437,887 | ||||||
W&T Offshore, Inc. | 331,440 | 1,007,578 | ||||||
Warrior Met Coal, Inc. | 11,661 | 748,286 | ||||||
147,835,384 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $382,612,683) | 385,144,308 |
Shares | Value (Note 2) | |||||||
MASTER LIMITED PARTNERSHIPS (0.19%) | ||||||||
United States (0.19%) | ||||||||
Black Stone Minerals LP | 71,159 | 1,167,008 | ||||||
Viper Energy Partners LP | 53,519 | 1,670,863 | ||||||
2,837,871 | ||||||||
TOTAL MASTER LIMITED PARTNERSHIPS | ||||||||
(Cost $2,536,744) | 2,837,871 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (64.40%) | ||||||||
U.S. Treasury Bonds (64.40%) | ||||||||
United States Treasury Bill | ||||||||
5.260%, 2/1/24 | $ | 27,500,000 | $ | 27,500,000 | ||||
5.305%, 3/7/24(g) | 105,000,000 | 104,462,442 | ||||||
5.309%, 3/14/24(g) | 105,800,000 | 105,149,198 |
Principal Amount | Value (Note 2) | |||||||
United States Treasury Bill (continued) | ||||||||
5.235%, 4/9/24(g) | $ | 29,500,000 | $ | 29,209,680 | ||||
5.315%, 4/11/24(g) | 15,950,000 | 15,788,371 | ||||||
5.220%, 4/16/24(g) | 110,800,000 | 109,605,244 | ||||||
5.225%, 5/23/24(g) | 119,000,000 | 117,088,218 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.500%, 4/15/24(g) | 363,310,952 | 361,388,133 | ||||||
0.125%, 7/15/24 | 91,107,349 | 90,333,791 | ||||||
960,525,077 | ||||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $958,451,683) | 960,525,077 |
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (7.57%) | ||||||||||||
Money Market Fund (7.57%) | ||||||||||||
BlackRock Liquidity Funds Treasury Trust Fund Portfolio | 5.221 | % | 112,836,397 | 112,836,397 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $112,836,397) | 112,836,397 |
Value (Note 2) | ||||
TOTAL INVESTMENTS (97.98%) | ||||
(Cost $1,456,437,507) | $ | 1,461,343,653 | ||
Other Assets In Excess Of Liabilities (2.02%) | 30,166,755 | |||
NET ASSETS - 100.00% | $ | 1,491,510,408 |
(a) | Securities exempt from registration under rule 144A of the securities act of 1933. These Securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the market value of those securities was $3,090,342, representing 0.21% of the Fund's net assets. |
(b) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of January 31, 2024 the aggregate market value of those securities was $3,090,342, representing 0.21% of net assets. |
(c) | Non-Income Producing Security. |
(d) | Security deemed to be illiquid under the procedures approved by the Fund's Board of Trustees. As of January 31, 2024, the fair value of illiquid securities in the aggregate was $1,165, representing less than 0.005% of the Fund's net assets. |
(e) | Fair valued security; valued by the valuation designee in accordance with the procedures utilized by the valuation designee. As of January 31, 2024, these securities had a total value of $1,165 or less than 0.005% of total net assets. |
(f) | As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as level 3 assets. See also Note 2 to the Notes to Quarterly Statement of Investments for additional information. |
(g) | Security, or portion of security, is being held as collateral for total return swap contracts and futures contracts aggregating a total market value of $175,546,964. |
For Fund compliance purposes, the Fund's industry and geographical classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine sub-classifications for reporting ease. Industries and regions are shown as a percent of net assets.
FUTURES CONTRACTS | ||||||||||||||||||
Description | Counterparty | Position | Contracts | Expiration Date | Notional Value (Note 2) | Unrealized Appreciation | ||||||||||||
Brent Crude Future | Morgan Stanley | Long | 1,220 | 02/29/24 | $ | 98,271,000 | $ | 1,889,263 | ||||||||||
Copper Future | Morgan Stanley | Long | 97 | 03/26/24 | 9,472,050 | 237,285 | ||||||||||||
Corn Future | Morgan Stanley | Short | (483) | 03/14/24 | (10,825,238 | ) | 1,018,969 | |||||||||||
Corn Future | Morgan Stanley | Short | (99) | 07/12/24 | (2,309,175 | ) | 73,991 | |||||||||||
Gold 100 Oz Future | Morgan Stanley | Long | 424 | 04/26/24 | 87,657,760 | 1,261,332 | ||||||||||||
LME Aluminum Future | Morgan Stanley | Long | 55 | 03/18/24 | 3,114,265 | 28,615 | ||||||||||||
LME Lead Future | Morgan Stanley | Long | 90 | 06/17/24 | 4,883,378 | 281,292 | ||||||||||||
Low Su Gasoil G Future | Morgan Stanley | Long | 462 | 03/12/24 | 38,669,400 | 1,734,366 | ||||||||||||
Natural Gas Future | Morgan Stanley | Short | (942) | 05/29/24 | (22,315,980 | ) | 3,316,783 | |||||||||||
NY Harbor ULSD | Morgan Stanley | Long | 115 | 03/29/24 | 13,452,516 | 605,100 | ||||||||||||
Soybean Future | Morgan Stanley | Short | (80) | 03/14/24 | (4,889,000 | ) | 387,867 | |||||||||||
Sugar #11 (World) | Morgan Stanley | Short | (167) | 03/01/24 | (4,513,275 | ) | 223,111 | |||||||||||
Wheat (CBT) | Morgan Stanley | Long | 323 | 03/14/24 | 9,613,288 | 191,608 | ||||||||||||
WTI Crude Future | Morgan Stanley | Long | 284 | 03/20/24 | 21,541,400 | 645,969 | ||||||||||||
$ | 241,822,389 | $ | 11,895,551 |
Description | Counterparty | Position | Contracts | Expiration Date | Notional Value (Note 2) | Unrealized Depreciation | ||||||||||||
Cocoa Future | Morgan Stanley | Short | (426) | 03/14/24 | $ | (20,541,720 | ) | $ | (5,771,972 | ) | ||||||||
Cocoa Future | Morgan Stanley | Short | (702) | 07/16/24 | (32,930,820 | ) | (3,525,708 | ) | ||||||||||
Coffee 'C' Future | Morgan Stanley | Short | (181) | 03/18/24 | (13,171,144 | ) | (391,409 | ) | ||||||||||
Coffee 'C' Future | Morgan Stanley | Short | (290) | 07/19/24 | (20,651,625 | ) | (1,129,457 | ) | ||||||||||
Cotton No.2 Future | Morgan Stanley | Short | (342) | 03/07/24 | (14,564,070 | ) | (442,505 | ) | ||||||||||
Cotton No.2 Future | Morgan Stanley | Short | (306) | 07/09/24 | (13,330,890 | ) | (704,674 | ) | ||||||||||
Frzn Concentrated OJ | Morgan Stanley | Short | (114) | 03/08/24 | (6,101,280 | ) | (240,039 | ) | ||||||||||
Frzn Concentrated OJ | Morgan Stanley | Short | (52) | 07/11/24 | (2,696,070 | ) | (362,214 | ) | ||||||||||
Gasoline RBOB Future | Morgan Stanley | Long | 144 | 03/29/24 | 13,494,298 | (27,326 | ) | |||||||||||
Gasoline RBOB Future | Morgan Stanley | Short | (332) | 05/31/24 | (34,049,854 | ) | (1,722,967 | ) | ||||||||||
Hard Red Winter Wheat Future | Morgan Stanley | Long | 804 | 03/14/24 | 25,004,400 | (17,482 | ) | |||||||||||
Heating Oil Future | Morgan Stanley | Short | (314) | 05/31/24 | (34,195,165 | ) | (2,101,048 | ) | ||||||||||
Lean Hogs Future | Morgan Stanley | Short | (46) | 06/14/24 | (1,801,360 | ) | (100,086 | ) | ||||||||||
Live Cattle Future | Morgan Stanley | Short | (547) | 06/28/24 | (39,137,850 | ) | (1,677,470 | ) | ||||||||||
LME Aluminum Future | Morgan Stanley | Short | (204) | 03/18/24 | (11,551,092 | ) | (183,749 | ) | ||||||||||
LME Lead Future | Morgan Stanley | Short | (14) | 06/17/24 | (759,637 | ) | (24,154 | ) | ||||||||||
LME Nickel Future | Morgan Stanley | Long | 209 | 06/17/24 | 20,583,156 | (132,576 | ) | |||||||||||
LME Zinc Future | Morgan Stanley | Long | 518 | 06/17/24 | 32,842,495 | (138,162 | ) | |||||||||||
Natural Gas Future | Morgan Stanley | Long | 2,384 | 03/27/24 | 50,064,000 | (11,016,784 | ) | |||||||||||
Platinum Future | Morgan Stanley | Long | 117 | 04/26/24 | 5,455,710 | (242,000 | ) | |||||||||||
Silver Future | Morgan Stanley | Long | 438 | 03/26/24 | 50,740,110 | (1,851,328 | ) | |||||||||||
Soybean Future | Morgan Stanley | Long | 1,064 | 03/14/24 | 29,379,168 | (2,535,440 | ) | |||||||||||
Soybean Meal Future | Morgan Stanley | Long | 904 | 03/14/24 | 33,294,320 | (2,191,245 | ) | |||||||||||
WTI Crude Future | Morgan Stanley | Short | (2,201) | 05/21/24 | (165,845,350 | ) | (6,529,129 | ) | ||||||||||
$ | (150,470,270 | ) | $ | (43,058,924 | ) |
TOTAL RETURN SWAP CONTRACTS(a) | ||||||||||||||||||
Swap Counterparty | Reference Obligation | Notional Amount | Floating Rate/Fixed Amount Paid by Fund* | Termination Date | Value | Unrealized Appreciation | ||||||||||||
Goldman Sachs | CRB 3m Fwd TR Index** | $ | 193,268,249 | USB3MTA + 25 bps | 9/30/2024 | $ | 193,268,255 | $ | 6 | |||||||||
Societe Generale | CRB 3m Fwd TR Index** | 122,509,993 | USB3MTA + 24 bps | 11/29/2024 | 122,509,997 | 4 | ||||||||||||
RBC | CRB TR Index** | 29,446,974 | USB3MTA + 21 bps | 10/31/2024 | 29,446,977 | 3 | ||||||||||||
UBS Group AG | CRB 3m Fwd TR Index ** | 120,143,638 | USB3MTA + 25 bps | 11/29/2024 | 120,143,641 | 3 | ||||||||||||
Goldman Sachs | CRB TR Index** | 36,716,006 | USB3MTA + 20 bps | 9/30/2024 | 36,716,008 | 2 | ||||||||||||
Bank of America - Merrill Lynch | CRB 3m Fwd TR Index** | 180,559,162 | USB3MTA + 25 bps | 6/28/2024 | 180,559,163 | 1 | ||||||||||||
Bank Of America - Merrill Lynch | CRB TR Index** | 68,579,469 | USB3MTA + 21 bps | 6/28/2024 | 68,579,470 | 1 | ||||||||||||
Citigroup | CRB 3m Fwd TR Index** | 135,916,899 | USB3MTA + 24 bps | 9/30/2024 | 135,916,900 | 1 | ||||||||||||
Citigroup | CRB TR Index** | 119,494,843 | USB3MTA + 21 bps | 9/30/2024 | 119,494,844 | 1 | ||||||||||||
$ | 1,006,635,233 | $ | 1,006,635,255 | $ | 22 |
(a) | For long positions in the total return swap, the Fund receives payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund makes payments on any negative return of such Reference Obligations plus the rate paid by the Fund. For the short positions in the total return swap, the Fund makes payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund receives payments on any negative return of such Reference Obligations plus the rate paid by the Fund. |
* | United States Auction Results 3 Month Treasury Bill High Discount. Total return swap resets monthly. |
** | CRB - Commodity Research Bureau |
See Notes to Quarterly Statement of Investments.
ALPS | Kotak India ESG Fund |
STATEMENT OF INVESTMENTS |
January 31, 2024 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (97.57%) | ||||||||
Communication Services (5.24%) | ||||||||
Entertainment (1.25%) | ||||||||
PVR Inox, Ltd.(a) | 265,000 | $ | 4,637,689 | |||||
Wireless Telecommunication Services (3.99%) | ||||||||
Bharti Airtel, Ltd. | 1,000,000 | 14,106,535 | ||||||
Bharti Airtel, Ltd. partly paid | 78,914 | 732,419 | ||||||
14,838,954 | ||||||||
TOTAL COMMUNICATION SERVICES | 19,476,643 | |||||||
Consumer Discretionary (8.25%) | ||||||||
Automobile Components (1.74%) | ||||||||
Apollo Tyres, Ltd. | 994,000 | 6,471,206 | ||||||
Automobiles (2.97%) | ||||||||
Maruti Suzuki India, Ltd. | 90,000 | 11,038,596 | ||||||
Hotels, Restaurants & Leisure (2.53%) | ||||||||
Zomato, Ltd.(a) | 5,591,840 | 9,395,065 | ||||||
Textiles, Apparel & Luxury Goods (1.01%) | ||||||||
Bata India, Ltd. | 210,000 | 3,761,975 | ||||||
TOTAL CONSUMER DISCRETIONARY | 30,666,842 | |||||||
Consumer Staples (7.61%) | ||||||||
Food Products (3.58%) | ||||||||
Bikaji Foods International, Ltd. | 700,849 | 4,990,270 | ||||||
Nestle India, Ltd. | 275,000 | 8,295,254 | ||||||
13,285,524 | ||||||||
Personal Care Products (4.03%) | ||||||||
Emami, Ltd. | 120,000 | 722,236 | ||||||
Godrej Consumer Products, Ltd. | 560,000 | 7,852,932 | ||||||
Hindustan Unilever, Ltd. | 214,672 | 6,419,053 | ||||||
14,994,221 | ||||||||
TOTAL CONSUMER STAPLES | 28,279,745 | |||||||
Energy (6.94%) | ||||||||
Oil, Gas & Consumable Fuels (6.94%) | ||||||||
Reliance Industries, Ltd. | 750,000 | 25,767,395 | ||||||
TOTAL ENERGY | 25,767,395 | |||||||
Financials (25.97%) | ||||||||
Banks (21.65%) | ||||||||
AU Small Finance Bank, Ltd.(b)(c) | 646,798 | 4,962,832 | ||||||
Axis Bank, Ltd. | 1,300,000 | 16,714,510 | ||||||
HDFC Bank, Ltd., ADR | 62,825 | 3,486,159 | ||||||
HDFC Bank, Ltd. | 595,258 | 10,468,128 | ||||||
ICICI Bank, Ltd., Sponsored ADR | 800,000 | 19,520,000 |
Value | ||||||||
Shares | (Note 2) | |||||||
Banks (continued) | ||||||||
ICICI Bank, Ltd. | 1,000,000 | $ | 12,385,143 | |||||
IndusInd Bank, Ltd. | 700,000 | 12,922,796 | ||||||
80,459,568 | ||||||||
Insurance (4.32%) | ||||||||
HDFC Life Insurance Co., Ltd.(b)(c) | 407,896 | 2,832,339 | ||||||
ICICI Lombard General Insurance Co., Ltd.(b)(c) | 300,000 | 5,398,430 | ||||||
Max Financial Services, Ltd.(a) | 728,070 | 7,811,659 | ||||||
16,042,428 | ||||||||
TOTAL FINANCIALS | 96,501,996 | |||||||
Health Care (9.37%) | ||||||||
Health Care Providers & Services (4.83%) | ||||||||
Fortis Healthcare, Ltd. | 1,400,000 | 7,290,108 | ||||||
Max Healthcare Institute, Ltd. | 1,132,177 | 10,647,191 | ||||||
17,937,299 | ||||||||
Pharmaceuticals (4.54%) | ||||||||
Cipla, Ltd. | 444,057 | 7,222,230 | ||||||
Sun Pharmaceutical Industries, Ltd. | 564,057 | 9,636,289 | ||||||
16,858,519 | ||||||||
TOTAL HEALTH CARE | 34,795,818 | |||||||
Industrials (12.79%) | ||||||||
Building Products (2.32%) | ||||||||
Apollo Pipes, Ltd. | 500,000 | 4,115,886 | ||||||
Kajaria Ceramics, Ltd. | 270,550 | 4,506,923 | ||||||
8,622,809 | ||||||||
Construction & Engineering (3.92%) | ||||||||
Larsen & Toubro, Ltd. | 347,742 | 14,558,312 | ||||||
Electrical Equipment (1.47%) | ||||||||
Havells India, Ltd. | 350,000 | 5,453,402 | ||||||
Machinery (3.64%) | ||||||||
Ashok Leyland, Ltd. | 3,000,000 | 6,351,002 | ||||||
Happy Forgings, Ltd.(a) | 89,189 | 1,062,991 | ||||||
Thermax, Ltd. | 160,000 | 6,122,026 | ||||||
13,536,019 | ||||||||
Passenger Airlines (1.44%) | ||||||||
InterGlobe Aviation, Ltd.(a)(b)(c) | 150,000 | 5,349,313 | ||||||
TOTAL INDUSTRIALS | 47,519,855 | |||||||
Information Technology (11.49%) | ||||||||
IT Services (11.49%) | ||||||||
Cognizant Technology Solutions Corp., Class A | 190,000 | 14,652,800 | ||||||
Infosys, Ltd., Sponsored ADR | 590,839 | 11,734,063 | ||||||
Infosys, Ltd. | 325,000 | 6,479,257 |
Value | ||||||||
Shares | (Note 2) | |||||||
IT Services (continued) | ||||||||
Tech Mahindra, Ltd. | 613,824 | $ | 9,833,813 | |||||
42,699,933 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 42,699,933 | |||||||
Materials (7.86%) | ||||||||
Chemicals (1.46%) | ||||||||
Carborundum Universal, Ltd. | 400,000 | 5,417,078 | ||||||
Construction Materials (4.15%) | ||||||||
Odisha Cement, Ltd. | 210,000 | 5,763,256 | ||||||
UltraTech Cement, Ltd. | 79,200 | 9,683,941 | ||||||
15,447,197 | ||||||||
Metals & Mining (2.25%) | ||||||||
Hindalco Industries, Ltd. | 1,200,000 | 8,357,486 | ||||||
TOTAL MATERIALS | 29,221,761 | |||||||
Real Estate (2.05%) | ||||||||
Real Estate Management & Development (2.05%) | ||||||||
Brigade Enterprises, Ltd. | 614,948 | 7,601,151 | ||||||
TOTAL REAL ESTATE | 7,601,151 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $290,819,065) | 362,531,139 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (2.02%) | ||||||||||||
Money Market Funds (2.02%) | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Class | 5.229 | % | 7,500,000 | 7,500,000 | ||||||||
TOTAL MONEY MARKET FUNDS | 7,500,000 | |||||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $7,500,000) | 7,500,000 | |||||||||||
TOTAL INVESTMENTS (99.59%) | ||||||||||||
(Cost $298,319,065) | $ | 370,031,139 | ||||||||||
Assets In Excess Of Other Liabilities (0.41%) | 1,530,542 | |||||||||||
NET ASSETS (100.00%) | $ | 371,561,681 |
(a) | Non-Income Producing Security. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These Securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the aggregate market value of those securities was $18,542,914, representing 4.99% of net assets. |
(c) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of January 31, 2024 the aggregate market value of those securities was $18,542,914, representing 4.99% of net assets. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets. |
See Notes to Quarterly Statement of Investments.
ALPS Global Opportunity Fund |
STATEMENT OF INVESTMENTS |
January 31, 2024 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
CLOSED-END FUNDS (21.40%) | ||||||||
HarbourVest Global Private Equity, Ltd.(a) | 82,418 | $ | 2,414,157 | |||||
HBM Healthcare Investments AG, Class A | 3,207 | 677,114 | ||||||
HgCapital Trust PLC | 451,945 | 2,457,732 | ||||||
NB Private Equity Partners, Ltd. | 38,367 | 787,684 | ||||||
Oakley Capital Investments, Ltd. | 311,000 | 1,809,056 | ||||||
Pantheon International PLC Fund(a) | 316,000 | 1,250,124 | ||||||
ICG Enterprise Trust PLC | 74,719 | 1,156,606 | ||||||
Abrdn Private Equity Opportunities Trust PLC | 162,737 | 1,042,245 | ||||||
3i Infrastructure PLC | 133,494 | 558,151 | ||||||
VinaCapital Vietnam Opportunity Fund, Ltd. | 66,700 | 382,135 | ||||||
TOTAL CLOSED-END FUNDS | ||||||||
(Cost $9,457,568) | 12,535,004 | |||||||
COMMON STOCKS (72.04%) | ||||||||
Communications (2.89%) | ||||||||
Internet (0.78%) | ||||||||
GoDaddy, Inc.(a) | 4,300 | 458,638 | ||||||
Media (2.11%) | ||||||||
IAC, Inc.(a) | 7,750 | 389,128 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | 27,900 | 847,881 | ||||||
1,237,009 | ||||||||
TOTAL COMMUNICATIONS | 1,695,647 | |||||||
Consumer Discretionary (1.61%) | ||||||||
Retail (1.61%) | ||||||||
Wesfarmers, Ltd. | 24,900 | 942,640 | ||||||
TOTAL CONSUMER DISCRETIONARY | 942,640 | |||||||
Consumer Staples (2.53%) | ||||||||
Retail (2.53%) | ||||||||
Costco Wholesale Corp. | 2,130 | 1,480,094 | ||||||
TOTAL CONSUMER STAPLES | 1,480,094 | |||||||
Consumer, Non-Cyclical (2.34%) | ||||||||
Commercial Services (1.19%) | ||||||||
Ashtead Group PLC | 10,600 | 693,153 | ||||||
Healthcare-Services (1.15%) | ||||||||
UnitedHealth Group, Inc. | 1,320 | 675,497 | ||||||
TOTAL CONSUMER, NON-CYCLICAL | 1,368,650 |
Value | ||||||||
Shares | (Note 2) | |||||||
Financials (50.63%) | ||||||||
Diversified Financial Services (27.79%) | ||||||||
Apollo Global Management, Inc. | 11,700 | $ | 1,174,680 | |||||
Ares Management LP, Class A | 21,650 | 2,630,042 | ||||||
Berkshire Hathaway, Inc., Class B(a) | 4,650 | 1,784,391 | ||||||
Blackstone, Inc., Class A | 17,700 | 2,202,765 | ||||||
Intermediate Capital Group PLC | 86,500 | 1,950,150 | ||||||
KKR & Co., Inc., Class A | 33,400 | 2,891,772 | ||||||
Mastercard, Inc., Class A | 2,200 | 988,306 | ||||||
Partners Group Holding AG | 1,610 | 2,172,172 | ||||||
StepStone Group, Inc., Class A | 14,500 | 485,025 | ||||||
16,279,303 | ||||||||
Investment Companies (13.42%) | ||||||||
3i Group PLC | 84,400 | 2,642,135 | ||||||
Ares Capital Corp. | 54,400 | 1,100,512 | ||||||
Blue Owl Capital Corp. | 47,500 | 703,950 | ||||||
Carlyle Secured Lending, Inc. | 33,700 | 517,295 | ||||||
Investor AB, B Shares | 53,500 | 1,259,645 | ||||||
Italmobiliare SpA | 12,400 | 369,857 | ||||||
Mutares SE & Co. KGaA | 31,200 | 1,267,282 | ||||||
7,860,676 | ||||||||
Private Equity (9.42%) | ||||||||
Altamir | 41,168 | 1,090,007 | ||||||
Brederode SA | 18,903 | 2,224,813 | ||||||
Clairvest Group, Inc. | 12,700 | 695,716 | ||||||
Deutsche Beteiligungs AG | 10,600 | 318,727 | ||||||
Hercules Capital, Inc. | 28,000 | 484,680 | ||||||
Onex Corp. | 9,500 | 701,450 | ||||||
5,515,393 | ||||||||
TOTAL FINANCIALS | 29,655,372 | |||||||
Health Care (2.15%) | ||||||||
Healthcare-Services (2.15%) | ||||||||
Chemed Corp. | 2,120 | 1,256,715 | ||||||
TOTAL HEALTH CARE | 1,256,715 | |||||||
Industrials (4.34%) | ||||||||
Aerospace/Defense (1.10%) | ||||||||
Lockheed Martin Corp. | 1,500 | 644,115 | ||||||
Electrical Equipment (1.45%) | ||||||||
Melrose Industries PLC | 114,000 | 849,697 | ||||||
Machinery-Diversified (1.79%) | ||||||||
CSW Industrials, Inc. | 2,300 | 486,611 | ||||||
Dover Corp. | 3,750 | 561,675 | ||||||
1,048,286 | ||||||||
TOTAL INDUSTRIALS | 2,542,098 |
Value | ||||||||
Shares | (Note 2) | |||||||
Technology (5.55%) | ||||||||
Computers (1.61%) | ||||||||
Accenture PLC, Class A | 2,600 | $ | 946,088 | |||||
Software (3.94%) | ||||||||
Constellation Software, Inc. | 575 | 1,589,215 | ||||||
Paychex, Inc. | 5,900 | 718,207 | ||||||
2,307,422 | ||||||||
TOTAL TECHNOLOGY | 3,253,510 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $29,004,506) | 42,194,726 | |||||||
BUSINESS DEVELOPMENT COMPANIES (2.27%) | ||||||||
Financials (2.27%) | ||||||||
Investment Companies (2.27%) | ||||||||
FS KKR Capital Corp. | 64,900 | 1,331,748 | ||||||
TOTAL FINANCIALS | 1,331,748 | |||||||
TOTAL BUSINESS DEVELOPMENT COMPANIES | ||||||||
(Cost $1,440,734) | 1,331,748 | |||||||
PREFERRED STOCK (1.88%) | ||||||||
Financials (1.88%) | ||||||||
Investment Companies (1.88%) | ||||||||
Compass Diversified Holdings, Series C, 7.875%(b) | 43,781 | 1,098,903 | ||||||
TOTAL FINANCIALS | 1,098,903 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $1,114,145) | 1,098,903 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT-TERM INVESTMENTS (2.35%) | ||||||||||||
Money Market Fund (2.35%) | ||||||||||||
Money Market Fund (2.35%) | ||||||||||||
State Street Institutional Treasury Plus Money Market Fund - Premier Class | 5.300 | % | 1,377,739 | 1,377,739 | ||||||||
TOTAL MONEY MARKET FUND | 1,377,739 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $1,377,739) | 1,377,739 |
Value | ||||
(Note 2) | ||||
TOTAL INVESTMENTS (99.94%) | ||||
(Cost $42,394,692) | $ | 58,538,120 | ||
Assets In Excess Of Other Liabilities (0.06%) | 32,902 | |||
NET ASSETS (100.00%) | $ | 58,571,022 |
(a) | Non-Income Producing Security. |
(b) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets. |
See Notes to Quarterly Statement of Investments. |
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at January 31, 2024 | Fund Delivering | U.S. $ Value at January 31, 2024 | Unrealized Depreciation | ||||||||||||||
State Street Bank & Trust Company | 02/16/24 | USD | $ | 805,060 | GBP | $ | 823,834 | $ | (18,774 | ) | ||||||||||
State Street Bank & Trust Company | 03/22/24 | USD | 1,969,881 | GBP | 1,977,748 | (7,867 | ) | |||||||||||||
$ | (26,641 | ) |
RiverFront Asset Allocation Growth & Income
STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
EXCHANGE TRADED FUNDS (98.01%) | ||||||||
Debt (29.84%) | ||||||||
iShares® 1-5 Year Investment Grade Corporate Bond ETF | 43,692 | $ | 2,249,264 | |||||
iShares® 7-10 Year Treasury Bond ETF | 19,480 | 1,879,041 | ||||||
iShares® 0-5 Year High Yield Corporate Bond ETF | 64,165 | 2,721,879 | ||||||
RiverFront Dynamic Core Income ETF(a) | 219,453 | 4,931,767 | ||||||
Riverfront Strategic Income Fund(a) | 100,242 | 2,307,571 | ||||||
VanEck Fallen Angel High Yield Bond ETF | 66,331 | 1,927,579 | ||||||
Vanguard® Long-Term Corporate Bond ETF | 91,407 | 7,267,314 | ||||||
23,284,415 | ||||||||
Equity (68.17%) | ||||||||
ALPS Active Equity Opportunity ETF(a) | 95,959 | 4,638,687 | ||||||
Energy Select Sector SPDR® Fund | 9,576 | 798,734 | ||||||
First Trust RiverFront Dynamic Developed International ETF(a) | 177,723 | 10,922,856 | ||||||
First Trust RiverFront Dynamic Emerging Markets ETF(a) | 45,618 | 2,644,475 | ||||||
iShares® MSCI Europe Financials ETF | 36,375 | 748,961 | ||||||
iShares® U.S. Technology ETF | 23,621 | 2,984,513 | ||||||
iShares® Core S&P® 500® ETF | 10,493 | 5,091,204 | ||||||
JPMorgan Equity Premium Income ETF | 144,464 | 8,084,205 | ||||||
JPMorgan Nasdaq Equity Premium Income ETF | 38,202 | 1,964,729 | ||||||
RiverFront Dynamic US Dividend Advantage ETF(a) | 307,331 | 14,515,735 | ||||||
WisdomTree® Europe Hedged Equity Fund | 18,532 | 804,289 | ||||||
53,198,388 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $68,003,783) | 76,482,803 |
7-Day | Value | ||||||||||
Yield | Shares | (Note 2) | |||||||||
SHORT-TERM INVESTMENTS (2.02%) | |||||||||||
Money Market Fund (2.02%) | |||||||||||
State Street Institutional Treasury Plus Money Market Fund- Premier Class | 5.300 | % | 1,575,532 | 1,575,532 | |||||||
TOTAL MONEY MARKET FUND | 1,575,532 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||
(Cost $1,575,532) | 1,575,532 |
Value | |||||
(Note 2) | |||||
TOTAL INVESTMENTS (100.03%) | |||||
(Cost $69,579,315) | $ | 78,058,335 | |||
Liabilities In Excess Of Other Assets (-0.03%) | (19,810 | ) | |||
NET ASSETS (100.00%) | $ | 78,038,525 |
(a) | Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
Notes to Quarterly Statements of Investments
January 31, 2024 (Unaudited)
1. ORGANIZATION
Financial Investors Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the following 4 funds: ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund, ALPS | Kotak India ESG Fund, ALPS Global Opportunity Fund, and RiverFront Asset Allocation Growth & Income (each, a “Fund” and collectively, the “Funds”).
The ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund seeks to maximize real returns, consistent with prudent investment management. ALPS | Kotak India ESG Fund seeks to achieve long-term capital appreciation. The ALPS Global Opportunity Fund seeks to maximize total return, which consists of appreciation on its investments and a variable income stream. RiverFront Asset Allocation Growth & Income seeks to achieve long-term growth and income.
The classes of each Fund differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends to shareholders are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions to shareholders are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Basis of Consolidation for the ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund
CoreCommodity Management Cayman Commodity Fund Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on April 23, 2010 and is a wholly owned subsidiary of the ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund (the “CoreCommodity Fund”). All intercompany transactions have been eliminated upon consolidation. The Subsidiary acts as an investment vehicle for the CoreCommodity Fund in order to effect certain commodity-related investments on behalf of the CoreCommodity Fund. CoreCommodity Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of June 14, 2010, and it is intended that the CoreCommodity Fund will remain the sole shareholder and will continue to wholly own and control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. The CoreCommodity Fund may invest up to 25% of its total assets in shares of the Subsidiary. As a wholly owned subsidiary of the CoreCommodity Fund, the financial statements of the Subsidiary are included in the consolidated financial statements and financial highlights of the CoreCommodity Fund. All investments held by the Subsidiary are disclosed in the accounts of the CoreCommodity Fund. As of January 31, 2024, net assets of the CoreCommodity Fund were $1,491,510,408 of which $307,995,039 or 20.65%, represented the CoreCommodity Fund’s ownership of all issued shares and voting rights of the Subsidiary.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services – Investment Companies”.
Investment Valuation: The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.
The market price for debt obligations is generally the price supplied by an independent third-party pricing service utilized by ALPS Advisors, Inc. (the “Adviser”) as the valuation designee (the “Valuation Designee”), which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more brokers-dealers that make a market in the security. Investments in non-exchange traded funds are fair valued at their respective net asset values.
Futures contracts that are listed or traded on a national securities exchange, commodities exchange, contract market or comparable over the counter market, and that are freely transferable, are valued at their closing settlement price on the exchange on which they are primarily traded or based upon the current settlement price for a like instrument acquired on the day on which the instrument is being valued. A settlement price may not be used if the market makes a limited move with respect to a particular commodity. Over-the-counter swap contracts are valued based on quotes received from independent pricing services or one or more dealers that make markets in such investments.
Option contracts are valued using the National Best Bid and Offer price (“NBBO”). In the event there is no NBBO price available, option contracts are valued at the mean between the last bid and ask.
For ALPS | Kotak India ESG Fund and ALPS Global Opportunity Fund, who hold equity securities that are primarily traded on foreign securities exchanges, such securities are valued at the closing values of such securities on their respective foreign exchanges, except when an event occurs subsequent to the close of the foreign exchange and the close of the NYSE that was likely to have changed such value. In such an event, the fair value of those securities are determined in good faith through consideration of other factors in accordance with procedures established by the Valuation Designee. The Funds will use a fair valuation model provided by an independent pricing service, which is intended to reflect fair value when a security’s value or a meaningful portion of the Funds' portfolio is believed to have been materially affected by a valuation event that has occurred between the close of the exchange or market on which the security is traded and the close of the regular trading day on the NYSE.
Forward currency exchange contracts have a value determined by the current foreign currency exchange forward rates. The foreign currency exchange forward rates are calculated using an automated system that estimates rates on the basis of the current day foreign currency exchange rates and forward foreign currency exchange rates supplied by a pricing service. Foreign exchange rates and forward foreign currency exchange rates may generally be obtained at the close of the NYSE, normally 4:00 p.m. Eastern Time.
Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Trust’s Board of Trustees (the “Board” or “Trustees”) has appointed the Adviser to serve as the Valuation Designee to perform fair value determinations for investments in the Funds. When such prices or quotations are not available, or when the Valuation Designee appointed by the Board believes that they are unreliable, securities may be priced using fair value procedures approved by the Board. The fair valuation policies and procedures (“FV Procedures”) have been adopted by the Board for the fair valuation of portfolio assets held by the Funds in the event that (1) market quotations for the current price of a portfolio security or asset are not readily available, or (2) available market quotations that would otherwise be used to value a portfolio security or asset in accordance with the Funds’ Pricing Procedures appear to be unreliable. The Pricing Procedures reflect certain pricing methodologies (or “logics”) that are not “readily available market quotations” and thus are viewed and treated as fair valuations. The Valuation Designee routinely meets to discuss fair valuations of portfolio securities and other instruments held by the Funds.
Fair Value Measurements: The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.
Various inputs are used in determining the value of each Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
Level 1 – | Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date; |
Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
Level 3 – | Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The following is a summary of each Fund’s investments/financial instruments in the fair value hierarchy as of January 31, 2024:
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund | ||||||||||||||||
Common Stocks(a) | $ | 385,143,143 | $ | – | $ | 1,165 | $ | 385,144,308 | ||||||||
Master Limited Partnerships(a) | 2,837,871 | – | – | 2,837,871 | ||||||||||||
Government Bonds | – | 960,525,077 | – | 960,525,077 | ||||||||||||
Short Term Investments | 112,836,397 | – | – | 112,836,397 | ||||||||||||
Total | $ | 500,817,411 | $ | 960,525,077 | $ | 1,165 | $ | 1,461,343,653 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 11,895,551 | $ | – | $ | – | $ | 11,895,551 | ||||||||
Total Return Swap Contracts | – | 22 | – | 22 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (43,058,924 | ) | – | – | (43,058,924 | ) | ||||||||||
Total | $ | (31,163,373 | ) | $ | 22 | $ | – | $ | (31,163,351 | ) |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Kotak India ESG Fund | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | – | $ | 19,476,643 | $ | – | $ | 19,476,643 | ||||||||
Consumer Discretionary | – | 30,666,842 | – | 30,666,842 | ||||||||||||
Consumer Staples | – | 28,279,745 | – | 28,279,745 | ||||||||||||
Energy | – | 25,767,395 | – | 25,767,395 | ||||||||||||
Financials | 23,006,159 | 73,495,837 | – | 96,501,996 | ||||||||||||
Health Care | – | 34,795,818 | – | 34,795,818 | ||||||||||||
Industrials | 1,062,991 | 46,456,864 | – | 47,519,855 | ||||||||||||
Information Technology | 26,386,863 | 16,313,070 | – | 42,699,933 | ||||||||||||
Materials | – | 29,221,761 | – | 29,221,761 | ||||||||||||
Real Estate | – | 7,601,151 | – | 7,601,151 | ||||||||||||
Short Term Investments | 7,500,000 | – | – | 7,500,000 | ||||||||||||
Total | $ | 57,956,013 | $ | 312,075,126 | $ | – | $ | 370,031,139 |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS Global Opportunity Fund | ||||||||||||||||
Closed-End Funds | $ | 3,273,854 | $ | 9,261,150 | $ | – | $ | 12,535,004 | ||||||||
Common Stocks | ||||||||||||||||
Communications | 1,695,647 | – | – | 1,695,647 | ||||||||||||
Consumer Discretionary | – | 942,640 | – | 942,640 | ||||||||||||
Consumer Staples | 1,480,094 | – | – | 1,480,094 | ||||||||||||
Consumer, Non-cyclical | 675,497 | 693,153 | – | 1,368,650 | ||||||||||||
Financials | 17,820,448 | 11,834,924 | – | 29,655,372 | ||||||||||||
Health Care | 1,256,715 | – | – | 1,256,715 | ||||||||||||
Industrials | 1,692,401 | 849,697 | – | 2,542,098 | ||||||||||||
Technology | 3,253,510 | – | – | 3,253,510 | ||||||||||||
Business Development Companies | 1,331,748 | – | – | 1,331,748 | ||||||||||||
Preferred Stock | 1,098,903 | – | – | 1,098,903 | ||||||||||||
Short-Term Investments | 1,377,739 | – | – | 1,377,739 | ||||||||||||
Total | $ | 34,956,556 | $ | 23,581,564 | $ | – | $ | 58,538,120 | ||||||||
Other Financial Instruments | ||||||||||||||||
Liabilities: | ||||||||||||||||
Forward Contract | $ | – | $ | (26,641 | ) | $ | – | $ | (26,641 | ) | ||||||
Total | $ | – | $ | (26,641 | ) | $ | – | $ | (26,641 | ) |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
RiverFront Asset Allocation Growth & Income | ||||||||||||||||
Exchange Traded Funds | $ | 76,482,803 | $ | – | $ | – | $ | 76,482,803 | ||||||||
Short-Term Investments | 1,575,532 | – | – | 1,575,532 | ||||||||||||
Total | $ | 78,058,335 | $ | – | $ | – | $ | 78,058,335 | ||||||||
(a) | For detailed descriptions of country, sector and/or industry, see the accompanying Consolidated Statement of Investments. |
The Funds, except for the ALPS | CoreCommodity Management CompleteCommodities® Strategy, did not have any securities that used significant unobservable inputs (Level 3) in determining fair value and there were no transfers into or out of Level 3 during the period ended January 31, 2024. As of January 31, 2024, ALPS | CoreCommodity Management CompleteCommodities® Strategy held securities classified as Level 3 in the fair value hierarchy valued at $1,165, which represents less than 0.005% of net assets.
Fund and Class Expenses: Some expenses of the Trust can be directly attributed to a Fund or a specific share class of a Fund. Expenses which cannot be directly attributed are apportioned among all Funds in the Trust based on average net assets of each share class within a Fund.
Federal Income Taxes: The Funds comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and intend to distribute substantially all of their net taxable income and net capital gains, if any, each year. The Funds are not subject to income taxes to the extent such distributions are made.
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Distributions to Shareholders: Each Fund, except RiverFront Asset Allocation Growth & Income, normally pays dividends and distributes capital gains, if any, on an annual basis. RiverFront Asset Allocation Growth & Income normally pays dividends, if any, on a quarterly basis and distributes capital gains, if any, annually. Income dividend distributions are derived from interest, dividends, and other income a Fund receives from its investments, including distributions of short-term capital gains, if any. Capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than a year or from long-term capital gain distributions from underlying investments. Each Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes.
Commodity-Linked Notes: The ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund may invest in commodity-linked notes which are derivative instruments that have characteristics of a debt security and of a commodity-linked derivative. A commodity-linked note typically provides for interest payments and a principal payment at maturity linked to the price movement of the underlying commodity, commodity index or commodity futures or option contract. Commodity-linked notes may be principal protected, partially protected, or offer no principal protection. The value of these notes will rise and fall in response to changes in the underlying commodity or related index or investment. These notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index and their value may be affected by the performance of the commodities as well as other factors, including liquidity, quality, maturity and other economic variables. Commodity-linked notes are typically issued by a bank or other financial institution and are sometimes referred to as structured notes because the terms of the notes may be structured by the issuer and the purchaser of the notes to accommodate the specific investment requirements of the purchaser.
Exchange Traded Funds (ETFs): Each Fund may invest in shares of ETFs and other similar instruments if the investment manager chooses to adjust a Fund’s exposure to the general market or industry sectors and to manage a Fund’s risk exposure. ETFs differ from traditional index funds in that their shares are listed on a securities exchange and can be traded intraday. ETF shares are shares of exchange traded investment companies that are registered under the 1940 Act and hold a portfolio of common stocks designed to track the performance of a particular index. Limitations of the 1940 Act may prohibit a Fund from acquiring more than 3% of the outstanding shares of certain ETFs. Instruments that are similar to ETFs represent beneficial ownership interests in specific “baskets” of stocks of companies within a particular industry sector or group. These securities may also be exchange traded, but unlike ETFs, the issuers of these securities are not registered as investment companies.
The portfolio manager may decide to purchase or sell short ETF shares or options on ETF shares for the same reasons it would purchase or sell (and as an alternative to purchasing or selling) futures contracts – to obtain exposure to the stock market or a particular segment of the stock market, or to hedge a Fund’s portfolio against such exposures. Depending on the market, the holding period and other factors, the use of ETF shares and options thereon can be less costly than the use of index options or stock index futures. In addition, ETF shares and options thereon can typically be purchased in smaller amounts than are available for futures contracts and can offer exposure to market sectors and styles for which there is no suitable or liquid futures contract.
Investment Transactions and Investment Income: Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis). Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date or for certain foreign securities, as soon as information is available to each Fund.
Cash Management Transactions: ALPS | Kotak India ESG Fund subscribes to the Brown Brothers Harriman & Co. (“BBH”) Cash Management Service (“CMS”), whereby cash balances are automatically swept into overnight offshore demand deposits with either the BBH Grand Cayman branch or a branch of a pre-approved commercial bank. This fully automated program allows the Fund to earn interest on cash balances. Excess cash with deposit institutions domiciled outside of the U.S. are subject to sovereign actions in the jurisdiction of the deposit institution including, but not limited to, freeze, seizure or diminution.
Foreign Securities: Each Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible reevaluation of currencies, the inability to repatriate foreign currency, less complete financial information about companies and possible future adverse political and economic developments.
Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.
Foreign Currency Translation: Values of investments denominated in foreign currencies are converted into U.S. dollars using the current exchange rates each business day (generally 4:00 p.m. Eastern Time). Purchases and sales of investments and dividend income are translated into U.S. dollars using the current prevailing exchange rate on the transaction date. The effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses. Transactions in foreign denominated assets may involve greater risks than domestic transactions.
Foreign Currency Spot Contracts: The Funds may enter into foreign currency spot contracts to facilitate transactions in foreign securities or to convert foreign currency receipts into U.S. dollars. A foreign currency spot contract is an agreement between two parties to buy and sell currencies at the current market rate, for settlement generally within two business days. The U.S. dollar value of the contracts is determined using current currency exchange rates supplied by a pricing service. The contract is marked-to-market daily for settlements beyond one day and any change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value on the open and close date. Losses may arise from changes in the value of the foreign currency, or if the counterparties do not perform under the contract’s terms. The maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened.
Real Estate Investment Trusts (“REITs”): The Funds may invest a portion of their assets in REITs and are subject to certain risks associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties and by defaults by borrowers or tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareowners, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income under the Code, or its failure to maintain exemption from registration under the 1940 Act. Distributions that the Fund receives from REITs can be classified as ordinary income, capital gain income or return of capital by the REITs that make these distributions to the Fund. However, it is not possible for the Fund to characterize distributions received from REITs during interim periods because the REIT issuers do not report their tax characterizations until subsequent to year end. During interim periods, the REIT distributions are accounted for as ordinary income until the re characterizations are made subsequent to year end.
Master Limited Partnerships (“MLPs”): Certain Funds may invest in MLPs, which are publicly traded partnerships engaged in the transportation, storage and processing of minerals and natural resources. By confining their operations to these specific activities, their interests, or units, are able to trade on public securities exchanges exactly like the shares of a corporation, without entity level taxation. To qualify as a MLP and to not be taxed as a corporation, a partnership must receive at least 90% of its income from qualifying sources as set forth in Section 7704(d) of the Code. These qualifying sources include natural resource based activities such as the processing, transportation and storage of mineral or natural resources. MLPs generally have two classes of owners, the general partner and limited partners. The general partner of an MLP is typically owned by a major energy company, an investment fund, the direct management of the MLP, or is an entity owned by one or more of such parties. The general partner may be structured as a private or publicly traded corporation or other entity. The general partner typically controls the operations and management of the MLP through an up to 2% equity interest in the MLP plus, in many cases, ownership of common units and subordinated units. Limited partners typically own the remainder of the partnership, through ownership of common units, and have a limited role in the partnership’s operations and management. MLPs are typically structured such that common units and general partner interests have first priority to receive quarterly cash distributions up to an established minimum amount (“minimum quarterly distributions” or “MQD”). Common and general partner interests also accrue arrearages in distributions to the extent the MQD is not paid. Once common and general partner interests have been paid, subordinated units receive distributions of up to the MQD; however, subordinated units do not accrue arrearages. Distributable cash in excess of the MQD is paid to both common and subordinated units and is distributed to both common and subordinated units generally on a pro rata basis. The general partner is also eligible to receive incentive distributions if the general partner operates the business in a manner which results in distributions paid per common unit surpassing specified target levels. As the general partner increases cash distributions to the limited partners, the general partner receives an increasingly higher percentage of the incremental cash distributions.
3. DERIVATIVE INSTRUMENTS
As a part of their investment strategy, the Funds are permitted to enter in various types of derivatives contracts. In doing so, the Funds employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent in derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Cash collateral is being pledged to cover derivative obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Statements of Investments or Consolidated Statement of Investments.
Risk of Investing in Derivatives: The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds’ performance.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell or close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. In addition, use of derivatives may increase or decrease exposure to the following risk factors:
Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Commodity Risk: Exposure to the commodities markets may subject the Funds to greater volatility than investments in traditional securities. Prices of various commodities may also be affected by factors, such as drought, floods, weather, livestock disease, embargoes, tariffs and other regulatory developments, which are unpredictable. The prices of commodities can also fluctuate widely due to supply and demand disruptions in major producing or consuming regions.
Foreign Currency Risk: Currency trading involves significant risks, including market risk, interest rate risk, country risk, counterparty credit risk and short sale risk. Market risk results from the price movement of foreign currency values in response to shifting market supply and demand. Interest rate risk arises whenever a country changes its stated interest rate target associated with its currency. Country risk arises because virtually every country has interfered with international transactions in its currency.
Interest Rate Risk: Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of fixed income securities held by the Funds are likely to decrease. Securities with longer durations tend to be more sensitive to changes in interest rates, and are usually more volatile than securities.
Swap Contracts: Each Fund may enter into swap transactions for hedging purposes or to seek to increase total return. At the present time, the CoreCommodity Fund primarily enters into swap transactions for the purpose of increasing total return. Swap agreements may be executed in a multilateral or other trade facility program, such as a registered exchange (“centrally cleared swaps”) or may be privately negotiated in the over-the counter market. The duration of a swap agreement typically ranges from a few weeks to more than one year. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Although centrally cleared swaps typically present less counterparty risk than non-centrally cleared swaps, a Fund that has entered into centrally cleared swaps is subject to the risk of the failure of the CCP.
Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk that are not directly reflected in the amounts recognized in the Statements of Assets and Liabilities or Consolidated Statement of Assets and Liabilities.
The Funds may pay or receive cash as collateral on these contracts which may be recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover its obligations under these contracts. Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds are recorded as an asset and/or liability and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract.
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Funds will receive a payment from or make a payment to the counterparty. Credit default swaps are a type of swap agreement in which the protection “buyer” is generally obligated to pay the protection “seller” an upfront and/ or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. Credit default swaps (“CDS”) are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical CDS, one party (the “seller”) receives pre-determined periodic payments from the other party (the “buyer”). The seller agrees to make compensating specific payments to the buyer if a negative credit event occurs, such as the bankruptcy or default by the issuer of the underlying debt instrument. Swap agreements held at January 31, 2024 are disclosed after the Statement of Investments or Consolidated Statement of Investments.
Futures: Each Fund may invest in futures contracts in accordance with their investment objectives. Each Fund does so for a variety of reasons including for cash management, hedging or non-hedging purposes in an attempt to achieve the Fund’s investment objective. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange traded futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its custodian (or broker, if legally permitted) a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to a Fund upon termination of the contract, assuming all contractual obligations have been satisfied. These amounts are included in Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Each day a Fund may pay or receive cash, called “variation margin,” equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by a Fund. Variation margin does not represent a borrowing or loan by a Fund but is instead a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Forward Foreign Currency Contracts: Each Fund may engage in currency transactions with counterparties to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value, to gain or reduce exposure to certain currencies, or to generate income or gains. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Option Contracts: Each Fund may enter into options transactions for hedging purposes and for non-hedging purposes such as seeking to enhance return. Each Fund may write covered put and call options on any stocks or stock indices, currencies traded on domestic and foreign securities exchanges, or futures contracts on stock indices, interest rates and currencies traded on domestic and, to the extent permitted by the CFTC, foreign exchanges. A call option on an asset written by a Fund obligates the Fund to sell the specified asset to the holder (purchaser) at a stated price (the exercise price) if the option is exercised before a specified date (the expiration date). A put option on an asset written by a Fund obligates the Fund to buy the specified asset from the purchaser at the exercise price if the option is exercised before the expiration date. Premiums received when writing options are recorded as liabilities and are subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options, which are either exercised or closed, are offset against the proceeds received or amount paid on the transaction to determine realized gains or losses.
4. AFFILIATED COMPANIES
Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for RiverFront Asset Allocation Growth & Income for the period ended January 31, 2024 were as follows:
Security Name | Market Value as of October 31, 2023 | Purchases | Sales | Market Value as of January 31, 2024 | Share Balance as of January 31, 2024 | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/Loss | ||||||||||||||||||||||||
RiverFront Dynamic Core Income ETF | $ | 5,034,204 | $ | - | $ | (416,835 | ) | $ | 4,931,767 | 219,453 | $ | 52,848 | $ | 350,258 | $ | (35,860 | ) | |||||||||||||||
Riverfront Strategic Income Fund | 2,353,789 | - | (171,534 | ) | 2,307,571 | 100,242 | 23,725 | 139,085 | (13,769 | ) | ||||||||||||||||||||||
First Trust RiverFront Dynamic Developed International ETF | 10,198,579 | - | (702,939 | ) | 10,922,856 | 177,723 | 28,657 | 1,445,636 | (18,420 | ) | ||||||||||||||||||||||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,592,781 | - | (218,142 | ) | 2,644,475 | 45,618 | 29,615 | 274,643 | (4,807 | ) | ||||||||||||||||||||||
RiverFront Dynamic US Dividend Advantage ETF | 14,234,833 | - | (1,204,433 | ) | 14,515,735 | 307,331 | 136,336 | 1,065,397 | 419,938 | |||||||||||||||||||||||
ALPS Active Equity Opportunity ETF | 4,347,880 | - | (361,771 | ) | 4,638,687 | 95,959 | 9,414 | 633,599 | 18,979 | |||||||||||||||||||||||
$ | 38,762,066 | $ | - | $ | (3,075,654 | ) | $ | 39,961,091 | $ | 280,595 | $ | 3,908,618 | $ | 366,061 |
Financial Investors Trust
Schedules of Investments
(Unaudited)
January 31, 2024
ALPS | Smith Short Duration Bond Fund
STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Principal Amount | Value (Note 2) | |||||||
BANK LOANS (0.25%) | ||||||||
Pipeline (0.25%) | ||||||||
Buckeye Partners, L.P., TL | ||||||||
1M SOFR + 2.50%, 11/22/2030(a) | $ | 1,500,000 | $ | 1,501,253 | ||||
TOTAL BANK LOANS | ||||||||
(Cost $1,503,750) | 1,501,253 |
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (0.07%) | ||||||||
Fannie Mae | ||||||||
Series 1994-18, Class FA, | ||||||||
30D US SOFR + 0.71%, 02/25/2024(a) | $ | 22 | $ | 22 | ||||
Series 1994-3, Class FA, | ||||||||
30D US SOFR + 0.76%, 03/25/2024(a) | 7 | 7 | ||||||
Series 1994-61, Class E, | ||||||||
7.500%, 04/25/2024 | 335 | 334 | ||||||
Series 1994-75, Class K, | ||||||||
7.000%, 04/25/2024 | 493 | 491 | ||||||
Series 1994-77, Class FB, | ||||||||
30D US SOFR + 1.61%, 04/25/2024(a) | 1,192 | 1,194 | ||||||
Series 1997-12, Class FA, | ||||||||
30D US SOFR + 1.11%, 04/18/2027(a) | 8,818 | 8,853 | ||||||
Series 1997-49, Class F, | ||||||||
30D US SOFR + 0.61%, 06/17/2027(a) | 14,739 | 14,713 | ||||||
Series 2004-53, Class NC, | ||||||||
5.500%, 07/25/2024 | 132 | 131 | ||||||
Series 2004-95, Class AK, | ||||||||
5.500%, 01/25/2025 | 1,802 | 1,789 | ||||||
Series 2005-121, Class DY, | ||||||||
5.500%, 01/25/2026 | 2,898 | 2,873 | ||||||
Series 2011-40, Class KA, | ||||||||
3.500%, 03/25/2026 | 30,321 | 29,786 | ||||||
Series 2011-44, Class EB, | ||||||||
3.000%, 05/25/2026 | 8,639 | 8,455 | ||||||
Series 2011-61, Class B, | ||||||||
3.000%, 07/25/2026 | 16,005 | 15,655 | ||||||
Series 2011-80, Class KB, | ||||||||
3.500%, 08/25/2026 | 13,373 | 13,149 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-22, Class ND, | ||||||||
2.000%, 12/25/2026 | $ | 1,117 | $ | 1,112 | ||||
Series 2012-47, Class HA, | ||||||||
1.500%, 05/25/2027 | 21,473 | 20,618 | ||||||
Series 2013-5, Class DB, | ||||||||
2.000%, 02/25/2028 | 51,161 | 48,943 | ||||||
Series 2015-96, Class EA, | ||||||||
3.000%, 12/25/2026 | 127,382 | 123,329 | ||||||
291,454 | ||||||||
Freddie Mac | ||||||||
Series 1994-1673, Class FB, | ||||||||
10Y US TI + -0.50%, 02/15/2024(a) | 3 | 3 | ||||||
Series 1994-1699, Class FB, | ||||||||
30D US SOFR + 1.11%, 03/15/2024(a) | 1 | 1 | ||||||
Series 1994-1707, Class F, | ||||||||
30D US SOFR + 0.81%, 03/15/2024(a) | 37 | 37 | ||||||
Series 1994-1730, Class Z, | ||||||||
7.000%, 05/15/2024 | 1,087 | 1,084 | ||||||
Series 1994-1744, Class FD, | ||||||||
30D US SOFR + 2.09%, 08/15/2024(a) | 2,702 | 2,709 | ||||||
Series 1994-32, Class PN, | ||||||||
7.500%, 04/25/2024 | 843 | 839 | ||||||
Series 1996-1810, Class D, | ||||||||
6.000%, 02/15/2026 | 7,331 | 7,245 | ||||||
Series 1996-1885, Class FA, | ||||||||
30D US SOFR + 0.56%, 09/15/2026(a) | 2,219 | 2,214 | ||||||
Series 2001-2332, Class FB, | ||||||||
30D US SOFR + 0.56%, 01/15/2028(a) | 46,241 | 46,124 | ||||||
Series 2004-2877, Class AL, | ||||||||
5.000%, 10/15/2024 | 55 | 55 | ||||||
Series 2005-3005, Class ED, | ||||||||
5.000%, 07/15/2025 | 12,274 | 12,148 | ||||||
Series 2006-3104, Class DH, | ||||||||
5.000%, 01/15/2026 | 9,360 | 9,254 | ||||||
Series 2009-3575, Class EB, | ||||||||
4.000%, 09/15/2024 | 2,313 | 2,299 | ||||||
Series 2010-3661, Class B, | ||||||||
4.000%, 04/15/2025 | 3,811 | 3,776 | ||||||
Series 2010-3710, Class MG, | ||||||||
4.000%, 08/15/2025(b) | 13,849 | 13,698 | ||||||
Series 2010-3779, Class KJ, | ||||||||
2.750%, 11/15/2025 | 156 | 156 | ||||||
Series 2011-3829, Class BE, | ||||||||
3.500%, 03/15/2026 | 6,257 | 6,157 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-4003, Class BG, | ||||||||
2.000%, 10/15/2026 | $ | 6,330 | $ | 6,265 | ||||
Series 2013-4177, Class NB, | ||||||||
1.500%, 03/15/2028 | 12,117 | 11,470 | ||||||
125,534 | ||||||||
Ginnie Mae | ||||||||
Series 2010-101, Class GU, | ||||||||
4.000%, 08/20/2025(b) | 5,476 | 5,402 | ||||||
Series 2013-53, Class KN, | ||||||||
1.500%, 08/20/2025 | 5,174 | 5,052 | ||||||
10,454 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $441,424) | 427,442 |
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (0.04%) | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series 2015-KF07, Class A, | ||||||||
30D US SOFR + 0.40%, 02/25/2025(a) | 8,737 | 8,722 | ||||||
Series 2017-K069, Class A1, | ||||||||
2.892%, 06/25/2027 | 25,476 | 25,247 | ||||||
Series 2017-K728, Class A2, | ||||||||
3.064%, 08/25/2024(a) | 99,095 | 97,738 | ||||||
Series 2017-KL1P, Class A1P, | ||||||||
2.544%, 10/25/2025 | 109,863 | 107,106 | ||||||
238,813 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $240,755) | 238,813 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (0.88%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2011-, | ||||||||
3.500%, 12/01/2026 | 130,228 | 127,360 | ||||||
Series 2011-MA0717, | ||||||||
3.500%, 04/01/2026 | 117,940 | 115,321 | ||||||
Series 2012-AM1076, | ||||||||
2.920%, 10/01/2024 | 219,651 | 215,684 | ||||||
Series 2014-AM7158, | ||||||||
3.150%, 11/01/2024 | 175,000 | 171,648 | ||||||
Series 2015-AM9288, | ||||||||
2.930%, 07/01/2025 | 3,673,616 | 3,564,598 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-AL9448, | ||||||||
2.935%, 07/01/2026(a) | $ | 181,408 | $ | 173,947 | ||||
Series 2016-AN1413, | ||||||||
2.490%, 05/01/2026 | 137,307 | 131,379 | ||||||
Series 2016-AN2079, | ||||||||
2.910%, 07/01/2026 | 34,475 | 32,899 | ||||||
Series 2018-AN8096, | ||||||||
3.020%, 06/01/2024 | 305,000 | 301,395 | ||||||
Series 2021-, | ||||||||
1.580%, 12/01/2028 | 110,000 | 96,830 | ||||||
4,931,061 | ||||||||
Freddie Mac Gold Pool | ||||||||
Series 2011-, | ||||||||
3.500%, 02/01/2026 | 146,168 | 143,025 | ||||||
Series 2012-T40090, | ||||||||
3.000%, 05/01/2027 | 42,887 | 41,751 | ||||||
184,776 | ||||||||
Freddie Mac Pool | ||||||||
Series 2018-, | ||||||||
3.500%, 04/01/2028 | 99,596 | 96,951 | ||||||
Ginnie Mae I Pool | ||||||||
Series 2010-745222, | ||||||||
4.500%, 07/15/2025 | 32,176 | 31,866 | ||||||
Series 2013-AF1057, | ||||||||
2.000%, 07/15/2028 | 58,311 | 55,053 | ||||||
86,919 | ||||||||
Ginnie Mae II Pool | ||||||||
Series 2009-4377, | ||||||||
4.500%, 03/20/2024 | 3,225 | 3,212 | ||||||
Series 2010-4898, | ||||||||
3.000%, 12/20/2025 | 21,860 | 21,287 | ||||||
Series 2011-4954, | ||||||||
3.000%, 02/20/2026 | 20,683 | 20,132 | ||||||
44,631 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $5,436,281) | 5,344,338 |
Principal Amount | Value (Note 2) | |||||||
CORPORATE BONDS (71.66%) | ||||||||
Aerospace & Defense (3.23%) | ||||||||
Boeing Co. | ||||||||
1.43%, 02/04/2024 | 6,130,000 | 6,127,633 | ||||||
2.20%, 02/04/2026 | 5,000,000 | 4,710,378 | ||||||
L3Harris Technologies, Inc. | ||||||||
5.40%, 01/15/2027 | 6,500,000 | 6,631,539 | ||||||
RTX Corp. | ||||||||
5.75%, 11/08/2026 | 2,000,000 | 2,052,196 |
Principal Amount | Value (Note 2) | |||||||
Total Aerospace & Defense | 19,521,746 | |||||||
Auto Parts Manufacturing (0.16%) | ||||||||
Aptiv PLC / Aptiv Corp. | ||||||||
2.40%, 02/18/2025 | $ | 1,000,000 | $ | 970,812 | ||||
Automobiles Manufacturing (5.19%) | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 6,465,000 | 6,206,763 | ||||||
6.80%, 11/07/2028 | 1,000,000 | 1,045,181 | ||||||
6.95%, 03/06/2026 | 3,750,000 | 3,835,504 | ||||||
General Motors Financial Co., Inc. | ||||||||
6.05%, 10/10/2025 | 7,000,000 | 7,105,193 | ||||||
SOFRINDX + 1.30%, 04/07/2025(a)(c) | 2,000,000 | 2,004,849 | ||||||
Kia Corp. | ||||||||
1.00%, 04/16/2024(d) | 2,850,000 | 2,823,348 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
6.95%, 09/15/2026(d) | 3,350,000 | 3,463,824 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
1D US SOFR + 0.95%, 06/07/2024(a)(d) | 5,000,000 | 5,005,766 | ||||||
Total Automobiles Manufacturing | 31,490,428 | |||||||
Banks (7.96%) | ||||||||
Bank of Ireland Group PLC | ||||||||
1Y US TI + 2.65%, 09/16/2026(a)(d) | 4,000,000 | 4,044,210 | ||||||
Bank of New York Mellon | ||||||||
1D US SOFR + 0.80%, 11/21/2025(a) | 5,000,000 | 5,005,641 | ||||||
Citizens Bank NA | ||||||||
1D US SOFR + 1.45%, 10/24/2025(a) | 4,810,000 | 4,796,451 | ||||||
Danske Bank A/S | ||||||||
1Y US TI + 2.10%, 01/09/2026(a)(d) | 8,535,000 | 8,604,765 | ||||||
Discover Bank | ||||||||
2.45%, 09/12/2024 | 3,029,000 | 2,968,887 | ||||||
Fifth Third Bank NA | ||||||||
SOFRINDX + 1.23%, 10/27/2025(a)(c) | 2,000,000 | 2,003,053 | ||||||
KeyCorp | ||||||||
SOFRINDX + 1.25%, 05/23/2025(a)(c) | 1,000,000 | 991,651 | ||||||
Morgan Stanley Bank NA | ||||||||
1D US SOFR + 1.08%, 01/14/2028(a) | 5,000,000 | 5,014,728 | ||||||
NatWest Markets PLC | ||||||||
0.80%, 08/12/2024(d) | 1,000,000 | 975,724 | ||||||
Synovus Financial Corp. | ||||||||
5.20%, 08/11/2025 | 3,450,000 | 3,433,516 |
Principal Amount | Value (Note 2) | |||||||
Truist Bank | ||||||||
3.30%, 05/15/2026 | $ | 3,500,000 | $ | 3,355,979 | ||||
Truist Financial Corp. | ||||||||
1D US SOFR + 0.40%, 06/09/2025(a) | 2,000,000 | 1,983,764 | ||||||
Wells Fargo Bank NA | ||||||||
4.81%, 01/15/2026 | 5,000,000 | 5,010,764 | ||||||
Total Banks | 48,189,133 | |||||||
Biotechnology (1.05%) | ||||||||
Amgen, Inc. | ||||||||
5.15%, 03/02/2028 | 3,300,000 | 3,360,725 | ||||||
5.51%, 03/02/2026 | 3,000,000 | 3,000,570 | ||||||
Total Biotechnology | 6,361,295 | |||||||
Cable & Satellite (0.67%) | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
6.15%, 11/10/2026 | 3,000,000 | 3,065,222 | ||||||
Cox Communications, Inc. | ||||||||
5.45%, 09/15/2028(d) | 1,000,000 | 1,020,920 | ||||||
Total Cable & Satellite | 4,086,142 | |||||||
Casinos & Gaming (0.47%) | ||||||||
MGM Resorts International | ||||||||
6.75%, 05/01/2025 | 2,843,000 | 2,851,794 | ||||||
Chemicals (3.27%) | ||||||||
Avient Corp. | ||||||||
5.75%, 05/15/2025(d) | 2,921,000 | 2,912,669 | ||||||
EIDP, Inc. | ||||||||
4.50%, 05/15/2026 | 5,000,000 | 4,987,849 | ||||||
LG Chem, Ltd. | ||||||||
4.38%, 07/14/2025(d) | 1,500,000 | 1,480,762 | ||||||
Nutrien, Ltd. | ||||||||
5.90%, 11/07/2024 | 4,000,000 | 4,009,233 | ||||||
Sherwin-Williams Co. | ||||||||
4.05%, 08/08/2024 | 3,000,000 | 2,979,649 | ||||||
4.25%, 08/08/2025 | 3,000,000 | 2,970,977 | ||||||
Westlake Corp. | ||||||||
0.88%, 08/15/2024 | 500,000 | 487,569 | ||||||
Total Chemicals | 19,828,708 | |||||||
Commercial Finance (1.07%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 3,400,000 | 3,449,007 | ||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp. | ||||||||
5.75%, 05/24/2026(d) | 3,000,000 | 3,030,412 | ||||||
Total Commercial Finance | 6,479,419 |
Principal Amount | Value (Note 2) | |||||||
Consumer Finance (1.83%) | ||||||||
American Express Co. | ||||||||
2.25%, 03/04/2025 | $ | 3,000,000 | $ | 2,907,927 | ||||
SOFRINDX + 1.28%, 07/27/2029(a)(c) | 3,000,000 | 3,056,089 | ||||||
Fiserv, Inc. | ||||||||
5.38%, 08/21/2028 | 5,000,000 | 5,128,574 | ||||||
Total Consumer Finance | 11,092,590 | |||||||
Consumer Products (0.65%) | ||||||||
Haleon UK Capital PLC | ||||||||
3.13%, 03/24/2025 | 4,000,000 | 3,914,277 | ||||||
Department Stores (0.82%) | ||||||||
Nordstrom, Inc. | ||||||||
Series WI | ||||||||
2.30%, 04/08/2024 | 5,000,000 | 4,954,625 | ||||||
Design, Manufacturing & Distribution (0.48%) | ||||||||
TD SYNNEX Corp. | ||||||||
1.25%, 08/09/2024 | 3,000,000 | 2,930,250 | ||||||
Diversified Banks (4.44%) | ||||||||
Banco Santander SA | ||||||||
1Y US TI + 0.45%, 06/30/2024(a) | 1,000,000 | 1,000,658 | ||||||
Bank of America Corp. | ||||||||
1D US SOFR + 1.29%, 01/20/2027(a) | 4,000,000 | 4,002,354 | ||||||
1D US SOFR + 1.63%, 04/25/2029(a) | 7,000,000 | 7,060,047 | ||||||
Citigroup, Inc. | ||||||||
1D US SOFR + 0.669%, 05/01/2025(a) | 3,000,000 | 2,961,299 | ||||||
JPMorgan Chase & Co. | ||||||||
Series FRN | ||||||||
1D US SOFR + 0.58%, 06/23/2025(a) | 2,000,000 | 2,000,583 | ||||||
1D US SOFR + 1.07%, 12/15/2025(a) | 3,875,000 | 3,878,073 | ||||||
1D US SOFR + 1.19%, 01/23/2028(a) | 3,000,000 | 3,013,519 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
1Y US TI + 1.70%, 07/18/2025(a) | 3,000,000 | 2,987,645 | ||||||
Total Diversified Banks | 26,904,178 | |||||||
Electrical Equipment Manufacturing (1.01%) | ||||||||
Carrier Global Corp. | ||||||||
5.80%, 11/30/2025(d) | 3,000,000 | 3,044,503 | ||||||
Vontier Corp. | ||||||||
1.80%, 04/01/2026 | 3,350,000 | 3,093,093 | ||||||
Total Electrical Equipment Manufacturing | 6,137,596 |
Principal Amount | Value (Note 2) | |||||||
Entertainment Content (1.07%) | ||||||||
Warnermedia Holdings, Inc. | ||||||||
6.41%, 03/15/2026 | $ | 6,500,000 | $ | 6,501,201 | ||||
Entertainment Resources (0.33%) | ||||||||
Vail Resorts, Inc. | ||||||||
6.25%, 05/15/2025(d) | 2,000,000 | 2,004,160 | ||||||
Exploration & Production (0.88%) | ||||||||
Occidental Petroleum Corp. | ||||||||
8.50%, 07/15/2027 | 4,900,000 | 5,357,513 | ||||||
Financial Services (8.35%) | ||||||||
Charles Schwab Corp. | ||||||||
5.88%, 08/24/2026 | 5,000,000 | 5,120,685 | ||||||
SOFRINDX + 1.05%, 03/03/2027(a)(c) | 2,471,000 | 2,454,231 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1D US SOFR + 1.075%, 08/10/2026(a) | 7,000,000 | 7,068,366 | ||||||
Morgan Stanley | ||||||||
1D US SOFR + 0.525%, 05/30/2025(a) | 3,000,000 | 2,943,830 | ||||||
1D US SOFR + 1.295%, 01/28/2027(a) | 2,000,000 | 2,006,535 | ||||||
1D US SOFR + 1.59%, 04/20/2029(a) | 3,000,000 | 3,020,962 | ||||||
1D US SOFR + 1.63%, 07/20/2029(a) | 2,000,000 | 2,036,576 | ||||||
Nasdaq, Inc. | ||||||||
5.65%, 06/28/2025 | 500,000 | 504,849 | ||||||
National Securities Clearing Corp. | ||||||||
5.05%, 11/21/2024(d) | 7,000,000 | 6,994,828 | ||||||
State Street Corp. | ||||||||
1D US SOFR + 1.353%, 11/04/2026(a) | 3,250,000 | 3,300,043 | ||||||
UBS Group AG | ||||||||
1Y US TI + 1.60%, 08/05/2025(a)(d) | 5,000,000 | 4,970,836 | ||||||
1Y US TI + 1.60%, 12/22/2027(a)(d) | 7,000,000 | 7,211,306 | ||||||
USAA Capital Corp. | ||||||||
3.38%, 05/01/2025(d) | 3,000,000 | 2,944,671 | ||||||
Total Financial Services | 50,577,718 | |||||||
Food & Beverage (1.89%) | ||||||||
Constellation Brands, Inc. | ||||||||
3.60%, 05/09/2024 | 3,000,000 | 2,985,011 | ||||||
JDE Peet's NV | ||||||||
0.80%, 09/24/2024(d) | 1,000,000 | 967,549 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
4.25%, 09/15/2025(d) | 3,000,000 | 2,969,292 |
Principal Amount | Value (Note 2) | |||||||
Mondelez International, Inc. | ||||||||
2.13%, 03/17/2024 | $ | 3,000,000 | $ | 2,986,265 | ||||
Nestle Holdings, Inc. | ||||||||
4.00%, 09/12/2025(d) | 1,577,000 | 1,564,458 | ||||||
Total Food & Beverage | 11,472,575 | |||||||
Hardware (0.49%) | ||||||||
Teledyne Technologies, Inc. | ||||||||
0.95%, 04/01/2024 | 3,000,000 | 2,975,169 | ||||||
Health Care Facilities & Services (1.32%) | ||||||||
HCA, Inc. | ||||||||
5.00%, 03/15/2024 | 5,974,000 | 5,968,164 | ||||||
5.20%, 06/01/2028 | 2,000,000 | 2,020,674 | ||||||
Total Health Care Facilities & Services | 7,988,838 | |||||||
Industrial Other (2.59%) | ||||||||
Element Fleet Management Corp. | ||||||||
6.27%, 06/26/2026(d) | 4,300,000 | 4,380,184 | ||||||
6.32%, 12/04/2028(d) | 3,000,000 | 3,119,157 | ||||||
Honeywell International, Inc. | ||||||||
4.85%, 11/01/2024 | 5,000,000 | 4,990,019 | ||||||
Parker-Hannifin Corp. | ||||||||
3.65%, 06/15/2024 | 1,000,000 | 992,667 | ||||||
Quanta Services, Inc. | ||||||||
0.95%, 10/01/2024 | 2,250,000 | 2,182,545 | ||||||
Total Industrial Other | 15,664,572 | |||||||
Leisure Products Manufacturing (0.58%) | ||||||||
Brunswick Corp. | ||||||||
0.85%, 08/18/2024 | 2,000,000 | 1,947,718 | ||||||
Polaris, Inc. | ||||||||
6.95%, 03/15/2029 | 1,492,000 | 1,585,084 | ||||||
Total Leisure Products Manufacturing | 3,532,802 | |||||||
Life Insurance (0.66%) | ||||||||
Northwestern Mutual Global Funding | ||||||||
4.71%, 01/10/2029(d) | 3,000,000 | 3,015,882 | ||||||
Security Benefit Global Funding | ||||||||
1.25%, 05/17/2024(d) | 1,000,000 | 986,542 | ||||||
Total Life Insurance | 4,002,424 | |||||||
Machinery Manufacturing (0.68%) | ||||||||
Ingersoll Rand, Inc. | ||||||||
5.40%, 08/14/2028 | 2,000,000 | 2,052,421 | ||||||
Nordson Corp. | ||||||||
5.60%, 09/15/2028 | 2,000,000 | 2,062,040 | ||||||
Total Machinery Manufacturing | 4,114,461 | |||||||
Mass Merchants (0.33%) | ||||||||
Dollar General Corp. | ||||||||
4.25%, 09/20/2024 | 2,000,000 | 1,983,982 |
Principal Amount | Value (Note 2) | |||||||
Medical Equipment & Devices Manufacturing (0.98%) | ||||||||
GE HealthCare Technologies, Inc. | ||||||||
5.55%, 11/15/2024 | $ | 2,000,000 | $ | 2,001,646 | ||||
5.60%, 11/15/2025 | 2,000,000 | 2,019,138 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
1.45%, 11/22/2024 | 2,000,000 | 1,936,736 | ||||||
Total Medical Equipment & Devices Manufacturing | 5,957,520 | |||||||
Metals & Mining (1.42%) | ||||||||
BHP Billiton Finance USA, Ltd. | ||||||||
5.25%, 09/08/2026 | 3,000,000 | 3,057,614 | ||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 | 5,592,000 | 5,564,798 | ||||||
Total Metals & Mining | 8,622,412 | |||||||
Pipeline (4.75%) | ||||||||
Buckeye Partners LP | ||||||||
4.35%, 10/15/2024 | 2,471,000 | 2,433,854 | ||||||
Columbia Pipelines Holding Co. LLC | ||||||||
6.04%, 08/15/2028(d) | 1,000,000 | 1,036,123 | ||||||
6.06%, 08/15/2026(d) | 1,500,000 | 1,534,540 | ||||||
Energy Transfer LP | ||||||||
4.50%, 04/15/2024 | 900,000 | 897,575 | ||||||
8.00%, 04/01/2029(d) | 1,213,000 | 1,263,327 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.60%, 10/15/2025(d) | 6,250,000 | 5,982,337 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.90%, 04/01/2024(d) | 9,784,000 | 9,748,660 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.50%, 07/15/2027 | 5,786,000 | 5,893,186 | ||||||
Total Pipeline | 28,789,602 | |||||||
Power Generation (1.28%) | ||||||||
Vistra Operations Co. LLC | ||||||||
4.88%, 05/13/2024(d) | 7,735,000 | 7,721,793 | ||||||
Real Estate (2.03%) | ||||||||
VICI Properties LP | ||||||||
4.38%, 05/15/2025 | 10,500,000 | 10,328,621 | ||||||
VICI Properties LP / VICI Note Co., Inc. | ||||||||
5.63%, 05/01/2024(d) | 2,000,000 | 1,998,166 | ||||||
Total Real Estate | 12,326,787 | |||||||
Semiconductors (0.16%) | ||||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024 | 1,000,000 | 998,168 | ||||||
Software & Services (0.82%) | ||||||||
Concentrix Corp. | ||||||||
6.65%, 08/02/2026 | 3,350,000 | 3,431,830 | ||||||
VMware LLC | ||||||||
4.65%, 05/15/2027 | 1,500,000 | 1,487,222 |
Principal Amount | Value (Note 2) | |||||||
Total Software & Services | 4,919,052 | |||||||
Supermarkets & Pharmacies (1.20%) | ||||||||
7-Eleven, Inc. | ||||||||
0.80%, 02/10/2024(d) | $ | 3,350,000 | $ | 3,344,337 | ||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
6.50%, 02/15/2028(d) | 3,924,000 | 3,970,107 | ||||||
Total Supermarkets & Pharmacies | 7,314,444 | |||||||
Transportation & Logistics (0.67%) | ||||||||
Daimler Truck Finance North America LLC | ||||||||
5.40%, 09/20/2028(d) | 2,000,000 | 2,046,159 | ||||||
5.60%, 08/08/2025(d) | 2,000,000 | 2,016,591 | ||||||
Total Transportation & Logistics | 4,062,750 | |||||||
Travel & Lodging (0.34%) | ||||||||
Marriott International, Inc. | ||||||||
5.45%, 09/15/2026 | 2,000,000 | 2,030,443 | ||||||
Utilities (5.33%) | ||||||||
American Electric Power Co., Inc. | ||||||||
2.03%, 03/15/2024 | 3,969,000 | 3,950,545 | ||||||
5.70%, 08/15/2025 | 3,000,000 | 3,024,626 | ||||||
Black Hills Corp. | ||||||||
1.04%, 08/23/2024 | 3,000,000 | 2,923,271 | ||||||
DTE Energy Co. | ||||||||
4.22%, 11/01/2024(b) | 2,000,000 | 1,979,433 | ||||||
Duke Energy Corp. | ||||||||
5.00%, 12/08/2025 | 6,000,000 | 6,015,082 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
6.05%, 03/01/2025 | 3,000,000 | 3,026,177 | ||||||
ONE Gas, Inc. | ||||||||
1.10%, 03/11/2024 | 3,439,000 | 3,422,637 | ||||||
Sempra | ||||||||
5.40%, 08/01/2026 | 2,000,000 | 2,024,874 | ||||||
Southern Co. | ||||||||
4.48%, 08/01/2024(b) | 3,000,000 | 2,981,024 | ||||||
WEC Energy Group, Inc. | ||||||||
0.80%, 03/15/2024 | 3,000,000 | 2,981,534 | ||||||
Total Utilities | 32,329,203 | |||||||
Waste & Environment Services & Equipment (0.38%) | ||||||||
GFL Environmental, Inc. | ||||||||
5.13%, 12/15/2026(d) | 2,340,000 | 2,286,872 | ||||||
Wireless Telecommunications Services (0.83%) | ||||||||
T-Mobile USA, Inc. | ||||||||
4.80%, 07/15/2028 | 5,000,000 | 5,015,650 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $433,514,931) | 434,263,104 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (22.01%) | ||||||||
U.S. Treasury Bonds (22.01%) | ||||||||
United States Treasury Notes | ||||||||
3.75%, 12/31/2028 | $ | 6,068,000 | $ | 6,034,105 | ||||
4.38%, 12/15/2026 | 2,824,000 | 2,851,137 | ||||||
4.38%, 11/30/2028 | 9,515,000 | 9,724,999 | ||||||
4.63%, 03/15/2026 | 24,641,000 | 24,857,571 | ||||||
4.75%, 07/31/2025 | 22,199,000 | 22,306,093 | ||||||
4.88%, 11/30/2025 | 5,813,000 | 5,873,968 | ||||||
5.00%, 08/31/2025 | 6,607,000 | 6,668,812 | ||||||
5.00%, 09/30/2025 | 24,225,000 | 24,476,713 | ||||||
5.00%, 10/31/2025 | 30,274,000 | 30,620,495 | ||||||
Total U.S. Treasury Bonds | 133,413,893 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $132,518,160) | 133,413,893 | |||||||
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (3.67%) | ||||||||||||
Money Market Fund (3.67%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 5.23 | % | 22,215,819 | 22,215,819 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $22,215,819) | 22,215,819 | |||||||||||
TOTAL INVESTMENTS (98.58%) | ||||||||||||
(Cost $595,871,120) | $ | 597,404,662 | ||||||||||
Other Assets In Excess Of Liabilities (1.42%) | 8,624,394 | |||||||||||
NET ASSETS (100.00%) | $ | 606,029,056 |
Investment Abbreviations:
SOFR - Secured Overnight Financing Rate
SOFRINDX - Secured Overnight Financing Rate Index
TI – Treasury Index
Reference Rates:
1M US SOFR - 1 Month SOFR as of January 31, 2024 was 5.33%
30D US SOFR - 30 Day SOFR as of January 31, 2024 was 5.33%
1D US SOFR - 1 Day SOFR as of January 31, 2024 was 5.32%
1Y US TI - 1 Year US TI as of January 31, 2024 was 4.73%
10Y US TI - 10 Year US TI as of January 31, 2024 was 3.99%
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2024 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of January 31, 2024. |
(c) | The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the aggregate market value of those securities was $120,484,779, representing 19.88% of net assets. |
See Notes to Quarterly Statement of Investments.
ALPS | Smith Total Return Bond Fund
STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Principal Amount | Value (Note 2) | |||||||
BANK LOANS (0.76%) | ||||||||
Aerospace & Defense (0.24%) | ||||||||
TransDigm, Inc. | ||||||||
3M US SOFR + 3.25%, 02/28/2031(a) | $ | 6,800,000 | $ | 6,816,354 | ||||
Apparel & Textile Products (0.14%) | ||||||||
Hanesbrands, Inc. | ||||||||
1M US SOFR + 3.75%, 03/08/2030(a) | 3,970,000 | 3,955,113 | ||||||
Consumer Finance (0.14%) | ||||||||
GTCR W MERGER SUB LLC, TL | ||||||||
1D US SOFR + 3.00%, 09/23/2030(a) | 4,101,000 | 4,116,379 | ||||||
Pipeline (0.24%) | ||||||||
Buckeye Partners, L.P., TL | ||||||||
1M US SOFR + 2.50%, 11/22/2030(a) | 6,954,000 | 6,959,806 | ||||||
TOTAL BANK LOANS | ||||||||
(Cost $21,853,993) | 21,847,652 |
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (9.86%) | ||||||||
Fannie Mae | ||||||||
Series 1997-76, Class FO, | ||||||||
30D US SOFR + 0.61%, 09/17/2027(a) | $ | 8,009 | $ | 7,872 | ||||
Series 1999-58, Class F, | ||||||||
30D US SOFR + 0.51%, 11/18/2029(a) | 27,229 | 27,081 | ||||||
Series 2000-40, Class FA, | ||||||||
30D US SOFR + 0.61%, 07/25/2030(a) | 11,384 | 11,370 | ||||||
Series 2000-45, Class F, | ||||||||
30D US SOFR + 0.56%, 12/25/2030(a) | 9,833 | 9,788 | ||||||
Series 2001-27, Class F, | ||||||||
30D US SOFR + 0.61%, 06/25/2031(a) | 6,865 | 6,754 |
Principal Amount | Value (Note 2) | |||||||
Series 2001-29, Class Z, | ||||||||
6.500%, 07/25/2031 | $ | 47,392 | $ | 48,585 | ||||
Series 2001-51, Class OD, | ||||||||
6.500%, 10/25/2031 | 1,000 | 998 | ||||||
Series 2001-52, Class XZ, | ||||||||
6.500%, 10/25/2031 | 17,976 | 18,585 | ||||||
Series 2001-59, Class F, | ||||||||
30D US SOFR + 0.71%, 11/25/2031(a) | 78,246 | 78,294 | ||||||
Series 2001-60, Class OF, | ||||||||
30D US SOFR + 1.06%, 10/25/2031(a) | 126,460 | 127,953 | ||||||
Series 2001-63, Class FD, | ||||||||
30D US SOFR + 0.71%, 12/18/2031(a) | 8,727 | 8,736 | ||||||
Series 2001-63, Class TC, | ||||||||
6.000%, 12/25/2031 | 15,759 | 16,250 | ||||||
Series 2001-68, Class PH, | ||||||||
6.000%, 12/25/2031 | 12,902 | 13,311 | ||||||
Series 2001-71, Class FS, | ||||||||
30D US SOFR + 0.71%, 11/25/2031(a) | 45,768 | 45,797 | ||||||
Series 2001-71, Class FE, | ||||||||
30D US SOFR + 0.76%, 11/25/2031(a) | 55,965 | 56,078 | ||||||
Series 2001-81, Class GE, | ||||||||
6.000%, 01/25/2032 | 10,876 | 11,230 | ||||||
Series 2002-11, Class JF, | ||||||||
30D US SOFR + 0.84%, 03/25/2032(a) | 34,630 | 34,779 | ||||||
Series 2002-12, Class FH, | ||||||||
30D US SOFR + 1.16%, 01/25/2032(a) | 38,499 | 38,871 | ||||||
Series 2002-13, Class FE, | ||||||||
30D US SOFR + 1.01%, 03/25/2032(a) | 34,487 | 34,673 | ||||||
Series 2002-16, Class TM, | ||||||||
7.000%, 04/25/2032 | 10,042 | 10,447 | ||||||
Series 2002-17, Class JF, | ||||||||
30D US SOFR + 1.11%, 04/25/2032(a) | 20,757 | 21,006 | ||||||
Series 2002-18, Class FD, | ||||||||
30D US SOFR + 0.91%, 02/25/2032(a) | 36,296 | 36,457 | ||||||
Series 2002-23, Class FA, | ||||||||
30D US SOFR + 1.01%, 04/25/2032(a) | 31,034 | 31,377 | ||||||
Series 2002-34, Class EO, | ||||||||
–%, 05/18/2032(b) | 24,718 | 23,316 |
Principal Amount | Value (Note 2) | |||||||
Series 2002-36, Class FS, | ||||||||
30D US SOFR + 0.61%, 06/25/2032(a) | $ | 11,196 | $ | 11,191 | ||||
Series 2002-44, Class FJ, | ||||||||
30D US SOFR + 1.11%, 04/25/2032(a) | 53,351 | 53,898 | ||||||
Series 2002-47, Class FC, | ||||||||
30D US SOFR + 0.71%, 11/25/2031(a) | 10,946 | 10,925 | ||||||
Series 2002-48, Class F, | ||||||||
30D US SOFR + 1.11%, 07/25/2032(a) | 33,214 | 33,552 | ||||||
Series 2002-49, Class FC, | ||||||||
30D US SOFR + 1.11%, 11/18/2031(a) | 30,882 | 31,179 | ||||||
Series 2002-60, Class FV, | ||||||||
30D US SOFR + 1.11%, 04/25/2032(a) | 77,046 | 77,973 | ||||||
Series 2002-63, Class EZ, | ||||||||
6.000%, 10/25/2032 | 5,902 | 6,035 | ||||||
Series 2002-64, Class PG, | ||||||||
5.500%, 10/25/2032 | 43,318 | 44,190 | ||||||
Series 2002-68, Class AF, | ||||||||
30D US SOFR + 1.11%, 10/25/2032(a) | 14,633 | 14,810 | ||||||
Series 2002-7, Class FC, | ||||||||
30D US SOFR + 0.86%, 01/25/2032(a) | 44,374 | 44,589 | ||||||
Series 2002-71, Class AQ, | ||||||||
4.000%, 11/25/2032 | 29,694 | 28,889 | ||||||
Series 2002-8, Class FA, | ||||||||
30D US SOFR + 0.86%, 03/18/2032(a) | 21,771 | 21,915 | ||||||
Series 2002-80, Class CZ, | ||||||||
4.500%, 09/25/2032 | 103,891 | 98,470 | ||||||
Series 2002-9, Class FW, | ||||||||
30D US SOFR + 0.66%, 03/25/2032(a) | 10,995 | 10,854 | ||||||
Series 2002-91, Class F, | ||||||||
30D US SOFR + 0.66%, 01/25/2033(a) | 15,832 | 15,815 | ||||||
Series 2003-107, Class FD, | ||||||||
30D US SOFR + 0.61%, 11/25/2033(a) | 10,424 | 10,416 | ||||||
Series 2003-110, Class CK, | ||||||||
3.000%, 11/25/2033 | 17,558 | 16,923 | ||||||
Series 2003-116, Class FA, | ||||||||
30D US SOFR + 0.51%, 11/25/2033(a) | 21,243 | 21,177 | ||||||
Series 2003-119, Class ZP, | ||||||||
4.000%, 12/25/2033 | 50,215 | 47,663 |
Principal Amount | Value (Note 2) | |||||||
Series 2003-119, Class FH, | ||||||||
30D US SOFR + 0.61%, 12/25/2033(a) | $ | 30,935 | $ | 30,908 | ||||
Series 2003-128, Class MF, | ||||||||
30D US SOFR + 0.71%, 01/25/2034(a) | 42,447 | 42,551 | ||||||
Series 2003-131, Class CH, | ||||||||
5.500%, 01/25/2034 | 64,800 | 66,574 | ||||||
Series 2003-134, Class FC, | ||||||||
30D US SOFR + 0.71%, 12/25/2032(a) | 24,448 | 24,508 | ||||||
Series 2003-14, Class AP, | ||||||||
4.000%, 03/25/2033 | 42,476 | 41,773 | ||||||
Series 2003-14, Class AN, | ||||||||
3.500%, 03/25/2033 | 28,317 | 27,787 | ||||||
Series 2003-19, Class MB, | ||||||||
4.000%, 05/25/2031 | 28,009 | 27,110 | ||||||
Series 2003-21, Class OG, | ||||||||
4.000%, 01/25/2033 | 17,391 | 16,966 | ||||||
Series 2003-22, Class BZ, | ||||||||
6.000%, 04/25/2033 | 21,431 | 21,849 | ||||||
Series 2003-27, Class EK, | ||||||||
5.000%, 04/25/2033 | 23,551 | 23,779 | ||||||
Series 2003-30, Class JQ, | ||||||||
5.500%, 04/25/2033 | 21,718 | 22,164 | ||||||
Series 2003-32, Class UJ, | ||||||||
5.500%, 05/25/2033 | 36,724 | 37,639 | ||||||
Series 2003-41, Class OB, | ||||||||
4.000%, 05/25/2033 | 100,571 | 95,560 | ||||||
Series 2003-41, Class OZ, | ||||||||
3.750%, 05/25/2033 | 168,543 | 153,838 | ||||||
Series 2003-42, Class JH, | ||||||||
5.500%, 05/25/2033 | 53,621 | 54,756 | ||||||
Series 2003-46, Class PJ, | ||||||||
5.500%, 06/25/2033 | 28,244 | 28,964 | ||||||
Series 2003-47, Class PE, | ||||||||
5.750%, 06/25/2033 | 38,354 | 39,554 | ||||||
Series 2003-64, Class JK, | ||||||||
3.500%, 07/25/2033 | 44,655 | 43,374 | ||||||
Series 2003-64, Class ZC, | ||||||||
5.000%, 07/25/2033 | 23,583 | 23,371 | ||||||
Series 2003-71, Class HD, | ||||||||
5.500%, 08/25/2033 | 101,569 | 102,768 | ||||||
Series 2003-76, Class EZ, | ||||||||
5.000%, 08/25/2033 | 117,524 | 116,470 | ||||||
Series 2003-94, Class CE, | ||||||||
5.000%, 10/25/2033 | 5,374 | 5,308 | ||||||
Series 2004-10, Class ZB, | ||||||||
6.000%, 02/25/2034 | 166,738 | 169,127 |
Principal Amount | Value (Note 2) | |||||||
Series 2004-101, Class TB, | ||||||||
5.500%, 01/25/2035 | $ | 104,526 | $ | 107,095 | ||||
Series 2004-14, Class QB, | ||||||||
5.250%, 03/25/2034 | 138,101 | 140,634 | ||||||
Series 2004-17, Class BA, | ||||||||
6.000%, 04/25/2034 | 118,388 | 124,761 | ||||||
Series 2004-17, Class DZ, | ||||||||
5.500%, 04/25/2034 | 13,539 | 13,547 | ||||||
Series 2004-26, Class CG, | ||||||||
4.500%, 08/25/2033 | 509 | 506 | ||||||
Series 2004-36, Class FA, | ||||||||
30D US SOFR + 0.51%, 05/25/2034(a) | 21,551 | 21,467 | ||||||
Series 2004-36, Class CB, | ||||||||
5.000%, 05/25/2034 | 76,394 | 77,158 | ||||||
Series 2004-53, Class FC, | ||||||||
30D US SOFR + 0.56%, 07/25/2034(a) | 162,199 | 161,740 | ||||||
Series 2004-54, Class FL, | ||||||||
30D US SOFR + 0.51%, 07/25/2034(a) | 113,998 | 113,763 | ||||||
Series 2004-60, Class AC, | ||||||||
5.500%, 04/25/2034 | 95,452 | 94,606 | ||||||
Series 2004-68, Class LC, | ||||||||
5.000%, 09/25/2029 | 30,622 | 30,342 | ||||||
Series 2004-77, Class AY, | ||||||||
4.500%, 10/25/2034 | 14,404 | 14,184 | ||||||
Series 2004-82, Class HK, | ||||||||
5.500%, 11/25/2034 | 40,108 | 40,717 | ||||||
Series 2004-92, Class FD, | ||||||||
30D US SOFR + 0.46%, 05/25/2034(a) | 86,147 | 86,069 | ||||||
Series 2004-92, Class TB, | ||||||||
5.500%, 12/25/2034 | 71,393 | 73,533 | ||||||
Series 2005-110, Class MP, | ||||||||
5.500%, 12/25/2035 | 14,101 | 14,270 | ||||||
Series 2005-120, Class FE, | ||||||||
30D US SOFR + 0.63%, 01/25/2036(a) | 17,776 | 17,605 | ||||||
Series 2005-122, Class PY, | ||||||||
6.000%, 01/25/2036 | 266,193 | 272,705 | ||||||
Series 2005-17, Class EX, | ||||||||
5.250%, 03/25/2035 | 25,000 | 24,691 | ||||||
Series 2005-17, Class EZ, | ||||||||
4.500%, 03/25/2035 | 163,719 | 157,652 | ||||||
Series 2005-29, Class ZA, | ||||||||
5.500%, 04/25/2035 | 969,169 | 1,002,744 | ||||||
Series 2005-3, Class CH, | ||||||||
5.250%, 02/25/2035 | 68,560 | 70,381 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-35, Class DZ, | ||||||||
5.000%, 04/25/2035 | $ | 113,485 | $ | 113,611 | ||||
Series 2005-48, Class TD, | ||||||||
5.500%, 06/25/2035 | 107,989 | 111,479 | ||||||
Series 2005-52, Class FE, | ||||||||
30D US SOFR + 1.91%, 05/25/2035(a) | 92,138 | 95,388 | ||||||
Series 2005-62, Class GZ, | ||||||||
5.750%, 07/25/2035 | 341,479 | 352,233 | ||||||
Series 2005-64, Class PL, | ||||||||
5.500%, 07/25/2035 | 57,225 | 58,126 | ||||||
Series 2005-68, Class BE, | ||||||||
5.250%, 08/25/2035 | 64,611 | 65,142 | ||||||
Series 2005-68, Class PG, | ||||||||
5.500%, 08/25/2035 | 23,878 | 24,296 | ||||||
Series 2005-68, Class CZ, | ||||||||
5.500%, 08/25/2035 | 258,380 | 257,562 | ||||||
Series 2005-69, Class GZ, | ||||||||
4.500%, 08/25/2035 | 16,805 | 16,256 | ||||||
Series 2005-7, Class MZ, | ||||||||
4.750%, 02/25/2035 | 26,095 | 25,571 | ||||||
Series 2005-70, Class KP, | ||||||||
5.000%, 06/25/2035 | 45,881 | 46,564 | ||||||
Series 2005-70, Class NA, | ||||||||
5.500%, 08/25/2035 | 10,155 | 10,345 | ||||||
Series 2005-72, Class FB, | ||||||||
30D US SOFR + 0.36%, 08/25/2035(a) | 10,104 | 10,005 | ||||||
Series 2005-79, Class DB, | ||||||||
5.500%, 09/25/2035 | 68,099 | 69,955 | ||||||
Series 2005-84, Class XM, | ||||||||
5.750%, 10/25/2035 | 51,460 | 52,427 | ||||||
Series 2005-89, Class F, | ||||||||
30D US SOFR + 0.41%, 10/25/2035(a) | 17,583 | 17,406 | ||||||
Series 2005-99, Class AC, | ||||||||
5.500%, 12/25/2035 | 541,000 | 554,366 | ||||||
Series 2005-99, Class FA, | ||||||||
30D US SOFR + 0.41%, 11/25/2035(a) | 15,058 | 15,015 | ||||||
Series 2005-99, Class ZA, | ||||||||
5.500%, 12/25/2035 | 121,942 | 125,032 | ||||||
Series 2006-112, Class QC, | ||||||||
5.500%, 11/25/2036 | 17,551 | 18,090 | ||||||
Series 2006-114, Class HE, | ||||||||
5.500%, 12/25/2036 | 79,136 | 81,393 | ||||||
Series 2006-115, Class EF, | ||||||||
30D US SOFR + 0.47%, 12/25/2036(a) | 13,687 | 13,483 |
Principal Amount | Value (Note 2) | |||||||
Series 2006-16, Class HZ, | ||||||||
5.500%, 03/25/2036 | $ | 211,023 | $ | 210,462 | ||||
Series 2006-39, Class EF, | ||||||||
30D US SOFR + 0.51%, 05/25/2036(a) | 13,241 | 13,113 | ||||||
Series 2006-46, Class UD, | ||||||||
5.500%, 06/25/2036 | 33,000 | 33,098 | ||||||
Series 2006-48, Class TF, | ||||||||
30D US SOFR + 0.51%, 06/25/2036(a) | 34,729 | 34,278 | ||||||
Series 2006-48, Class DZ, | ||||||||
6.000%, 06/25/2036 | 169,919 | 179,275 | ||||||
Series 2006-56, Class F, | ||||||||
30D US SOFR + 0.41%, 07/25/2036(a) | 9,933 | 9,863 | ||||||
Series 2006-62, Class FX, | ||||||||
30D US SOFR + 1.86%, 07/25/2036(a) | 176,206 | 177,203 | ||||||
Series 2006-63, Class QH, | ||||||||
5.500%, 07/25/2036 | 29,144 | 30,057 | ||||||
Series 2006-70, Class AF, | ||||||||
30D US SOFR + 0.51%, 08/25/2036(a) | 65,305 | 64,590 | ||||||
Series 2006-71, Class ZH, | ||||||||
6.000%, 07/25/2036 | 35,760 | 36,991 | ||||||
Series 2006-95, Class FH, | ||||||||
30D US SOFR + 0.56%, 10/25/2036(a) | 68,430 | 67,634 | ||||||
Series 2007-100, Class YF, | ||||||||
30D US SOFR + 0.66%, 10/25/2037(a) | 14,140 | 14,006 | ||||||
Series 2007-109, Class GF, | ||||||||
30D US SOFR + 0.79%, 12/25/2037(a) | 40,773 | 40,518 | ||||||
Series 2007-111, Class FC, | ||||||||
30D US SOFR + 0.71%, 12/25/2037(a) | 28,217 | 28,161 | ||||||
Series 2007-117, Class FM, | ||||||||
30D US SOFR + 0.81%, 01/25/2038(a) | 165,677 | 165,210 | ||||||
Series 2007-12, Class BZ, | ||||||||
6.000%, 03/25/2037 | 460,566 | 464,554 | ||||||
Series 2007-12, Class ZA, | ||||||||
6.000%, 03/25/2037 | 166,979 | 163,331 | ||||||
Series 2007-14, Class GZ, | ||||||||
5.500%, 03/25/2037 | 144,311 | 145,590 | ||||||
Series 2007-18, Class MZ, | ||||||||
6.000%, 03/25/2037 | 126,995 | 127,137 | ||||||
Series 2007-22, Class FC, | ||||||||
30D US SOFR + 0.53%, 03/25/2037(a) | 69,147 | 67,400 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-26, Class ZB, | ||||||||
5.500%, 04/25/2037 | $ | 239,379 | $ | 240,001 | ||||
Series 2007-30, Class MB, | ||||||||
4.250%, 04/25/2037 | 54,487 | 54,003 | ||||||
Series 2007-33, Class HE, | ||||||||
5.500%, 04/25/2037 | 35,556 | 36,858 | ||||||
Series 2007-34, Class F, | ||||||||
30D US SOFR + 0.50%, 04/25/2037(a) | 21,456 | 21,046 | ||||||
Series 2007-41, Class FA, | ||||||||
30D US SOFR + 0.51%, 05/25/2037(a) | 7,032 | 6,925 | ||||||
Series 2007-51, Class CP, | ||||||||
5.500%, 06/25/2037 | 24,950 | 25,292 | ||||||
Series 2007-51, Class PB, | ||||||||
5.500%, 06/25/2037 | 28,357 | 27,808 | ||||||
Series 2007-55, Class PH, | ||||||||
6.000%, 06/25/2047 | 259,275 | 276,262 | ||||||
Series 2007-57, Class FA, | ||||||||
30D US SOFR + 0.34%, 06/25/2037(a) | 19,522 | 19,274 | ||||||
Series 2007-6, Class FC, | ||||||||
30D US SOFR + 0.53%, 02/25/2037(a) | 36,944 | 36,209 | ||||||
Series 2007-63, Class VZ, | ||||||||
5.500%, 07/25/2037 | 180,349 | 182,188 | ||||||
Series 2007-63, Class FC, | ||||||||
30D US SOFR + 0.46%, 07/25/2037(a) | 18,223 | 17,899 | ||||||
Series 2007-65, Class ZE, | ||||||||
5.500%, 07/25/2037 | 585,772 | 586,203 | ||||||
Series 2007-65, Class KF, | ||||||||
30D US SOFR + 0.49%, 07/25/2037(a) | 51,237 | 50,373 | ||||||
Series 2007-70, Class FA, | ||||||||
30D US SOFR + 0.46%, 07/25/2037(a) | 25,257 | 24,811 | ||||||
Series 2007-77, Class JE, | ||||||||
6.000%, 08/25/2037 | 289,265 | 285,936 | ||||||
Series 2007-85, Class FL, | ||||||||
30D US SOFR + 0.65%, 09/25/2037(a) | 29,304 | 29,025 | ||||||
Series 2007-85, Class FC, | ||||||||
30D US SOFR + 0.65%, 09/25/2037(a) | 96,200 | 95,790 | ||||||
Series 2007-86, Class FA, | ||||||||
30D US SOFR + 0.56%, 09/25/2037(a) | 26,299 | 26,087 | ||||||
Series 2007-9, Class FB, | ||||||||
30D US SOFR + 0.46%, 03/25/2037(a) | 19,800 | 19,441 |
Principal Amount | Value (Note 2) | |||||||
Series 2008-18, Class FA, | ||||||||
30D US SOFR + 1.01%, 03/25/2038(a) | $ | 150,633 | $ | 151,134 | ||||
Series 2008-24, Class WD, | ||||||||
5.500%, 02/25/2038 | 153,997 | 155,687 | ||||||
Series 2008-25, Class EF, | ||||||||
30D US SOFR + 1.06%, 04/25/2038(a) | 37,494 | 37,818 | ||||||
Series 2008-27, Class B, | ||||||||
5.500%, 04/25/2038 | 656,228 | 673,093 | ||||||
Series 2008-46, Class LA, | ||||||||
5.500%, 06/25/2038 | 10,477 | 10,564 | ||||||
Series 2008-66, Class FT, | ||||||||
30D US SOFR + 1.06%, 08/25/2038(a) | 20,920 | 20,961 | ||||||
Series 2008-86, Class FC, | ||||||||
30D US SOFR + 1.21%, 12/25/2038(a) | 150,560 | 152,910 | ||||||
Series 2009-103, Class FM, | ||||||||
30D US SOFR + 0.81%, 11/25/2039(a) | 33,029 | 33,076 | ||||||
Series 2009-104, Class FA, | ||||||||
30D US SOFR + 0.91%, 12/25/2039(a) | 35,336 | 35,372 | ||||||
Series 2009-11, Class MP, | ||||||||
7.000%, 03/25/2049 | 101,190 | 108,077 | ||||||
Series 2009-110, Class FG, | ||||||||
30D US SOFR + 0.86%, 01/25/2040(a) | 80,215 | 80,445 | ||||||
Series 2009-111, Class CY, | ||||||||
5.000%, 03/25/2038 | 133,000 | 133,385 | ||||||
Series 2009-12, Class LA, | ||||||||
15.329%, 03/25/2039(a) | 266,948 | 331,053 | ||||||
Series 2009-12, Class LD, | ||||||||
17.104%, 03/25/2039(a) | 364,206 | 507,871 | ||||||
Series 2009-19, Class ZA, | ||||||||
6.500%, 04/25/2039 | 417,498 | 439,248 | ||||||
Series 2009-36, Class MX, | ||||||||
5.000%, 06/25/2039 | 58,000 | 58,470 | ||||||
Series 2009-39, Class Z, | ||||||||
6.000%, 06/25/2039 | 1,796,799 | 1,854,837 | ||||||
Series 2009-42, Class TZ, | ||||||||
4.500%, 03/25/2039 | 237,108 | 226,775 | ||||||
Series 2009-47, Class BN, | ||||||||
4.500%, 07/25/2039 | 31,792 | 31,315 | ||||||
Series 2009-62, Class WA, | ||||||||
5.583%, 08/25/2039(a) | 104,772 | 105,171 | ||||||
Series 2009-68, Class FD, | ||||||||
30D US SOFR + 1.36%, 09/25/2039(a) | 44,712 | 44,796 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-70, Class CO, | ||||||||
–%, 01/25/2037(b) | $ | 68,001 | $ | 57,562 | ||||
Series 2009-70, Class FA, | ||||||||
30D US SOFR + 1.31%, 09/25/2039(a) | 21,465 | 21,385 | ||||||
Series 2009-86, Class OT, | ||||||||
–%, 10/25/2037(b) | 28,909 | 24,030 | ||||||
Series 2009-87, Class FG, | ||||||||
30D US SOFR + 0.86%, 11/25/2039(a) | 54,845 | 55,008 | ||||||
Series 2009-90, Class UZ, | ||||||||
4.500%, 11/25/2039 | 663,802 | 635,511 | ||||||
Series 2010-1, Class WA, | ||||||||
6.240%, 02/25/2040(a) | 15,339 | 15,652 | ||||||
Series 2010-1, Class EL, | ||||||||
4.500%, 02/25/2040 | 244,621 | 241,551 | ||||||
Series 2010-102, Class B, | ||||||||
4.500%, 07/25/2040 | 222,414 | 219,804 | ||||||
Series 2010-102, Class HA, | ||||||||
4.000%, 09/25/2050 | 57,886 | 54,716 | ||||||
Series 2010-103, Class DZ, | ||||||||
4.500%, 09/25/2040 | 222,882 | 215,227 | ||||||
Series 2010-103, Class PJ, | ||||||||
4.500%, 09/25/2040 | 30,148 | 29,763 | ||||||
Series 2010-111, Class FC, | ||||||||
30D US SOFR + 0.63%, 10/25/2040(a) | 43,110 | 42,443 | ||||||
Series 2010-118, Class LZ, | ||||||||
4.750%, 10/25/2040 | 33,762 | 33,433 | ||||||
Series 2010-122, Class JA, | ||||||||
7.000%, 07/25/2040 | 14,874 | 15,140 | ||||||
Series 2010-123, Class FL, | ||||||||
30D US SOFR + 0.54%, 11/25/2040(a) | 17,215 | 17,013 | ||||||
Series 2010-123, Class KU, | ||||||||
4.500%, 11/25/2040 | 163,486 | 161,238 | ||||||
Series 2010-129, Class PZ, | ||||||||
4.500%, 11/25/2040 | 34,997 | 31,996 | ||||||
Series 2010-130, Class BZ, | ||||||||
4.500%, 11/25/2040 | 1,205,455 | 1,183,689 | ||||||
Series 2010-14, Class FJ, | ||||||||
30D US SOFR + 0.71%, 03/25/2040(a) | 90,619 | 90,539 | ||||||
Series 2010-141, Class LZ, | ||||||||
4.500%, 12/25/2040 | 704,316 | 682,404 | ||||||
Series 2010-141, Class MN, | ||||||||
4.000%, 12/25/2040 | 90,000 | 85,764 | ||||||
Series 2010-141, Class FB, | ||||||||
30D US SOFR + 0.58%, 12/25/2040(a) | 40,939 | 40,220 |
Principal Amount | Value (Note 2) | |||||||
Series 2010-141, Class AL, | ||||||||
4.000%, 12/25/2040 | $ | 302,804 | $ | 290,069 | ||||
Series 2010-142, Class FM, | ||||||||
30D US SOFR + 0.58%, 12/25/2040(a) | 14,502 | 14,232 | ||||||
Series 2010-154, Class JA, | ||||||||
3.000%, 11/25/2040 | 280,210 | 265,035 | ||||||
Series 2010-16, Class PL, | ||||||||
5.000%, 03/25/2040 | 71,000 | 71,395 | ||||||
Series 2010-19, Class PY, | ||||||||
5.000%, 03/25/2040 | 308,436 | 310,555 | ||||||
Series 2010-33, Class KN, | ||||||||
4.500%, 03/25/2040 | 31,967 | 31,118 | ||||||
Series 2010-37, Class CY, | ||||||||
5.000%, 04/25/2040 | 31,822 | 32,205 | ||||||
Series 2010-39, Class EF, | ||||||||
30D US SOFR + 0.63%, 06/25/2037(a) | 33,113 | 32,976 | ||||||
Series 2010-45, Class WD, | ||||||||
5.000%, 05/25/2040 | 180,000 | 175,641 | ||||||
Series 2010-54, Class LX, | ||||||||
5.000%, 06/25/2040 | 272,000 | 273,302 | ||||||
Series 2010-57, Class HA, | ||||||||
3.500%, 02/25/2040 | 15,987 | 15,785 | ||||||
Series 2010-58, Class FY, | ||||||||
30D US SOFR + 0.84%, 06/25/2040(a) | 44,634 | 44,337 | ||||||
Series 2010-64, Class DM, | ||||||||
5.000%, 06/25/2040 | 30,556 | 30,639 | ||||||
Series 2010-67, Class BD, | ||||||||
4.500%, 06/25/2040 | 544,973 | 534,703 | ||||||
Series 2010-68, Class WB, | ||||||||
4.500%, 07/25/2040 | 85,000 | 80,442 | ||||||
Series 2010-82, Class WZ, | ||||||||
5.000%, 08/25/2040 | 334,989 | 333,523 | ||||||
Series 2010-9, Class ME, | ||||||||
5.000%, 02/25/2040 | 921,594 | 928,877 | ||||||
Series 2011-114, Class B, | ||||||||
3.500%, 11/25/2041 | 150,737 | 140,788 | ||||||
Series 2011-118, Class KL, | ||||||||
3.250%, 07/25/2040 | 91,037 | 87,486 | ||||||
Series 2011-121, Class JP, | ||||||||
4.500%, 12/25/2041 | 110,959 | 109,282 | ||||||
Series 2011-128, Class KB, | ||||||||
4.500%, 12/25/2041 | 800,000 | 787,161 | ||||||
Series 2011-130, Class KB, | ||||||||
4.000%, 12/25/2041 | 33,374 | 31,469 | ||||||
Series 2011-132, Class PE, | ||||||||
4.500%, 12/25/2041 | 118,107 | 116,758 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-145, Class JA, | ||||||||
4.500%, 12/25/2041 | $ | 8,245 | $ | 8,119 | ||||
Series 2011-148, Class PL, | ||||||||
4.000%, 01/25/2042 | 425,000 | 387,117 | ||||||
Series 2011-15, Class AF, | ||||||||
30D US SOFR + 0.62%, 03/25/2041(a) | 22,524 | 22,263 | ||||||
Series 2011-17, Class PD, | ||||||||
4.000%, 03/25/2041 | 6,246 | 6,056 | ||||||
Series 2011-26, Class PA, | ||||||||
4.500%, 04/25/2041 | 92,815 | 91,375 | ||||||
Series 2011-27, Class ZD, | ||||||||
2.500%, 09/25/2040 | 168,094 | 147,427 | ||||||
Series 2011-3, Class FA, | ||||||||
30D US SOFR + 0.79%, 02/25/2041(a) | 141,857 | 140,314 | ||||||
Series 2011-30, Class ZA, | ||||||||
5.000%, 04/25/2041 | 894,343 | 881,402 | ||||||
Series 2011-43, Class B, | ||||||||
3.500%, 05/25/2031 | 17,795 | 17,297 | ||||||
Series 2011-45, Class ZA, | ||||||||
4.000%, 05/25/2031 | 15,929 | 15,691 | ||||||
Series 2011-47, Class GF, | ||||||||
30D US SOFR + 0.68%, 06/25/2041(a) | 98,669 | 97,933 | ||||||
Series 2011-5, Class PO, | ||||||||
–%, 09/25/2040(b) | 8,397 | 6,112 | ||||||
Series 2011-55, Class BZ, | ||||||||
3.500%, 06/25/2041 | 456,252 | 429,271 | ||||||
Series 2011-74, Class UB, | ||||||||
4.000%, 07/25/2040 | 134,356 | 128,801 | ||||||
Series 2011-86, Class NF, | ||||||||
30D US SOFR + 0.66%, 09/25/2041(a) | 88,267 | 87,404 | ||||||
Series 2011-86, Class AF, | ||||||||
30D US SOFR + 0.61%, 02/25/2040(a) | 22,786 | 22,654 | ||||||
Series 2011-93, Class ST, | ||||||||
4.000%, 09/25/2041 | 18,053 | 17,417 | ||||||
Series 2011-93, Class GA, | ||||||||
4.000%, 04/25/2039 | 20,282 | 19,553 | ||||||
Series 2012-100, Class DB, | ||||||||
3.000%, 09/25/2042 | 961,800 | 851,800 | ||||||
Series 2012-103, Class PY, | ||||||||
3.000%, 09/25/2042 | 180,000 | 151,518 | ||||||
Series 2012-106, Class QN, | ||||||||
3.500%, 10/25/2042 | 59,823 | 56,125 | ||||||
Series 2012-108, Class PL, | ||||||||
3.000%, 10/25/2042 | 541,668 | 487,887 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-110, Class JB, | ||||||||
2.500%, 10/25/2042 | $ | 204,000 | $ | 150,489 | ||||
Series 2012-111, Class B, | ||||||||
7.000%, 10/25/2042 | 74,600 | 80,720 | ||||||
Series 2012-112, Class DA, | ||||||||
3.000%, 10/25/2042 | 169,634 | 153,394 | ||||||
Series 2012-115, Class DY, | ||||||||
2.500%, 10/25/2042 | 225,000 | 177,231 | ||||||
Series 2012-120, Class AH, | ||||||||
2.500%, 02/25/2032 | 22,279 | 21,596 | ||||||
Series 2012-125, Class GY, | ||||||||
2.000%, 11/25/2042 | 621,000 | 486,470 | ||||||
Series 2012-126, Class TA, | ||||||||
3.000%, 10/25/2042 | 170,170 | 154,527 | ||||||
Series 2012-128, Class NP, | ||||||||
2.500%, 11/25/2042 | 8,143 | 5,403 | ||||||
Series 2012-129, Class HT, | ||||||||
2.000%, 12/25/2032 | 28,713 | 25,801 | ||||||
Series 2012-13, Class JP, | ||||||||
4.500%, 02/25/2042 | 423,482 | 417,046 | ||||||
Series 2012-131, Class FG, | ||||||||
30D US SOFR + 0.46%, 09/25/2042(a) | 40,405 | 39,358 | ||||||
Series 2012-137, Class CF, | ||||||||
30D US SOFR + 0.41%, 08/25/2041(a) | 12,205 | 12,142 | ||||||
Series 2012-139, Class CY, | ||||||||
2.000%, 12/25/2042 | 235,000 | 164,897 | ||||||
Series 2012-139, Class GB, | ||||||||
2.500%, 12/25/2042 | 210,538 | 142,375 | ||||||
Series 2012-14, Class FL, | ||||||||
30D US SOFR + 0.56%, 12/25/2040(a) | 2,970 | 2,966 | ||||||
Series 2012-141, Class PD, | ||||||||
1.750%, 10/25/2041 | 91,574 | 83,575 | ||||||
Series 2012-149, Class DA, | ||||||||
1.750%, 01/25/2043 | 25,478 | 23,252 | ||||||
Series 2012-149, Class ZA, | ||||||||
3.000%, 01/25/2041 | 59,552 | 56,188 | ||||||
Series 2012-149, Class KB, | ||||||||
3.000%, 01/25/2043 | 144,000 | 136,911 | ||||||
Series 2012-151, Class NX, | ||||||||
1.500%, 01/25/2043 | 334,413 | 282,310 | ||||||
Series 2012-151, Class WC, | ||||||||
2.500%, 01/25/2043 | 249,000 | 181,925 | ||||||
Series 2012-152, Class PB, | ||||||||
3.500%, 01/25/2043 | 55,000 | 52,594 | ||||||
Series 2012-153, Class B, | ||||||||
7.000%, 07/25/2042 | 25,310 | 27,625 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-17, Class JB, | ||||||||
3.500%, 03/25/2042 | $ | 200,000 | $ | 151,962 | ||||
Series 2012-17, Class JA, | ||||||||
3.500%, 12/25/2041 | 231,701 | 216,171 | ||||||
Series 2012-19, Class CB, | ||||||||
3.500%, 03/25/2042 | 197,000 | 181,231 | ||||||
Series 2012-20, Class TD, | ||||||||
4.500%, 02/25/2042 | 33,306 | 32,890 | ||||||
Series 2012-26, Class MA, | ||||||||
3.500%, 03/25/2042 | 117,867 | 108,622 | ||||||
Series 2012-27, Class KB, | ||||||||
2.000%, 03/25/2042 | 150,407 | 113,517 | ||||||
Series 2012-33, Class F, | ||||||||
30D US SOFR + 0.63%, 04/25/2042(a) | 26,360 | 26,055 | ||||||
Series 2012-37, Class BF, | ||||||||
30D US SOFR + 0.61%, 12/25/2035(a) | 47,495 | 47,152 | ||||||
Series 2012-38, Class MC, | ||||||||
3.000%, 04/25/2042 | 147,000 | 120,580 | ||||||
Series 2012-46, Class YB, | ||||||||
3.500%, 05/25/2042 | 61,440 | 55,733 | ||||||
Series 2012-46, Class CD, | ||||||||
2.500%, 04/25/2041 | 60,624 | 58,871 | ||||||
Series 2012-47, Class HF, | ||||||||
30D US SOFR + 0.51%, 05/25/2027(a) | 45,523 | 45,530 | ||||||
Series 2012-47, Class JM, | ||||||||
3.500%, 05/25/2042 | 140,340 | 120,324 | ||||||
Series 2012-49, Class TG, | ||||||||
2.000%, 07/25/2041 | 28,925 | 28,058 | ||||||
Series 2012-50, Class HC, | ||||||||
2.000%, 03/25/2042 | 112,016 | 102,130 | ||||||
Series 2012-51, Class HJ, | ||||||||
3.500%, 05/25/2042 | 364,384 | 313,594 | ||||||
Series 2012-51, Class ZX, | ||||||||
3.500%, 05/25/2042 | 2,033,218 | 1,513,047 | ||||||
Series 2012-52, Class BM, | ||||||||
4.500%, 01/25/2042 | 581,938 | 571,591 | ||||||
Series 2012-53, Class AP, | ||||||||
2.000%, 04/25/2041 | 39,717 | 38,567 | ||||||
Series 2012-56, Class WB, | ||||||||
3.500%, 05/25/2042 | 65,766 | 60,500 | ||||||
Series 2012-56, Class UB, | ||||||||
4.000%, 06/25/2042 | 416,000 | 388,984 | ||||||
Series 2012-64, Class NA, | ||||||||
3.000%, 08/25/2041 | 17,195 | 16,950 | ||||||
Series 2012-69, Class PL, | ||||||||
3.000%, 01/25/2042 | 103,635 | 99,416 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-70, Class WC, | ||||||||
3.000%, 07/25/2042 | $ | 172,000 | $ | 135,246 | ||||
Series 2012-80, Class GZ, | ||||||||
3.000%, 08/25/2042 | 391,081 | 355,447 | ||||||
Series 2012-82, Class E, | ||||||||
2.000%, 04/25/2042 | 22,613 | 21,006 | ||||||
Series 2012-83, Class AC, | ||||||||
3.000%, 08/25/2042 | 85,000 | 73,263 | ||||||
Series 2012-90, Class PH, | ||||||||
3.000%, 01/25/2042 | 59,490 | 57,001 | ||||||
Series 2012-90, Class PB, | ||||||||
2.500%, 01/25/2042 | 267,703 | 253,193 | ||||||
Series 2012-93, Class TL, | ||||||||
3.000%, 09/25/2042 | 420,000 | 345,785 | ||||||
Series 2012-98, Class ZP, | ||||||||
6.000%, 09/25/2042 | 693,136 | 755,155 | ||||||
Series 2012-99, Class DC, | ||||||||
2.000%, 08/25/2041 | 119,614 | 109,891 | ||||||
Series 2013-100, Class DH, | ||||||||
3.000%, 09/25/2031 | 2,079 | 2,070 | ||||||
Series 2013-104, Class CY, | ||||||||
5.000%, 10/25/2043 | 50,000 | 48,778 | ||||||
Series 2013-108, Class GU, | ||||||||
3.000%, 10/25/2033 | 38,283 | 36,439 | ||||||
Series 2013-114, Class LM, | ||||||||
4.000%, 03/25/2042 | 211,642 | 201,717 | ||||||
Series 2013-130, Class FB, | ||||||||
30D US SOFR + 0.56%, 01/25/2044(a) | 33,014 | 32,307 | ||||||
Series 2013-136, Class QB, | ||||||||
3.500%, 03/25/2042 | 160,708 | 148,102 | ||||||
Series 2013-17, Class YM, | ||||||||
4.000%, 03/25/2033 | 12,903 | 12,698 | ||||||
Series 2013-2, Class QF, | ||||||||
30D US SOFR + 0.61%, 02/25/2043(a) | 12,229 | 11,966 | ||||||
Series 2013-20, Class CA, | ||||||||
2.500%, 01/25/2043 | 175,196 | 154,439 | ||||||
Series 2013-35, Class CV, | ||||||||
3.000%, 02/25/2043 | 200,000 | 181,462 | ||||||
Series 2013-4, Class PL, | ||||||||
2.000%, 02/25/2043 | 120,000 | 89,169 | ||||||
Series 2013-52, Class GM, | ||||||||
5.000%, 06/25/2043 | 89,000 | 87,891 | ||||||
Series 2013-53, Class CV, | ||||||||
3.500%, 05/25/2030 | 79,346 | 78,047 | ||||||
Series 2013-68, Class LE, | ||||||||
2.000%, 04/25/2043 | 79,079 | 71,319 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-68, Class P, | ||||||||
3.500%, 10/25/2042 | $ | 124,916 | $ | 120,379 | ||||
Series 2013-70, Class CE, | ||||||||
2.500%, 01/25/2043 | 164,521 | 151,637 | ||||||
Series 2013-72, Class AF, | ||||||||
30D US SOFR + 0.36%, 11/25/2042(a) | 6,091 | 6,063 | ||||||
Series 2013-72, Class YA, | ||||||||
3.000%, 06/25/2033 | 2,612 | 2,390 | ||||||
Series 2013-81, Class YK, | ||||||||
4.000%, 08/25/2043 | 200,000 | 185,558 | ||||||
Series 2013-9, Class BC, | ||||||||
6.500%, 07/25/2042 | 212,333 | 227,162 | ||||||
Series 2013-9, Class CB, | ||||||||
5.500%, 04/25/2042 | 488,491 | 501,243 | ||||||
Series 2013-91, Class PB, | ||||||||
4.000%, 09/25/2043 | 140,000 | 128,096 | ||||||
Series 2014-10, Class BA, | ||||||||
5.336%, 03/25/2054(a) | 285,460 | 293,235 | ||||||
Series 2014-20, Class AC, | ||||||||
3.000%, 08/25/2036 | 48,106 | 47,103 | ||||||
Series 2014-21, Class MA, | ||||||||
2.000%, 09/25/2041 | 65,597 | 61,513 | ||||||
Series 2014-23, Class Z, | ||||||||
3.500%, 05/25/2044 | 497,953 | 454,743 | ||||||
Series 2014-23, Class A, | ||||||||
3.000%, 05/25/2044 | 778,233 | 697,339 | ||||||
Series 2014-26, Class YW, | ||||||||
3.500%, 04/25/2044 | 50,538 | 47,505 | ||||||
Series 2014-3, Class BM, | ||||||||
2.500%, 06/25/2043 | 50,000 | 45,301 | ||||||
Series 2014-43, Class PZ, | ||||||||
3.000%, 07/25/2043 | 249,037 | 206,909 | ||||||
Series 2014-49, Class CA, | ||||||||
3.000%, 08/25/2044 | 80,322 | 76,950 | ||||||
Series 2014-52, Class LM, | ||||||||
3.500%, 09/25/2044 | 1,089,776 | 932,546 | ||||||
Series 2014-6, Class Z, | ||||||||
2.500%, 02/25/2044 | 128,369 | 109,683 | ||||||
Series 2014-63, Class LN, | ||||||||
3.000%, 10/25/2044 | 125,000 | 89,659 | ||||||
Series 2014-67, Class PL, | ||||||||
3.000%, 04/25/2043 | 162,313 | 152,412 | ||||||
Series 2014-73, Class FA, | ||||||||
30D US SOFR + 0.46%, 11/25/2044(a) | 12,977 | 12,619 | ||||||
Series 2014-80, Class DZ, | ||||||||
3.000%, 12/25/2044 | 3,069,387 | 2,731,225 |
Principal Amount | Value (Note 2) | |||||||
Series 2014-81, Class GC, | ||||||||
3.000%, 03/25/2038 | $ | 25,780 | $ | 24,999 | ||||
Series 2014-86, Class PA, | ||||||||
2.000%, 12/25/2044 | 959,060 | 848,224 | ||||||
Series 2014-88, Class ER, | ||||||||
2.500%, 02/25/2036 | 22,755 | 21,707 | ||||||
Series 2015-16, Class ZY, | ||||||||
2.500%, 04/25/2045 | 10,553,162 | 8,830,258 | ||||||
Series 2015-2, Class CD, | ||||||||
3.500%, 02/25/2045 | 162,467 | 128,709 | ||||||
Series 2015-51, Class CD, | ||||||||
3.000%, 07/25/2044 | 106,795 | 101,081 | ||||||
Series 2015-53, Class KB, | ||||||||
3.000%, 01/25/2045 | 820,816 | 739,327 | ||||||
Series 2015-56, Class MH, | ||||||||
3.500%, 08/25/2045 | 987,317 | 891,802 | ||||||
Series 2015-65, Class CZ, | ||||||||
3.500%, 09/25/2045 | 134,199 | 116,466 | ||||||
Series 2015-75, Class LB, | ||||||||
3.000%, 10/25/2045 | 125,000 | 90,252 | ||||||
Series 2016-14, Class NC, | ||||||||
2.500%, 03/25/2046 | 210,596 | 197,792 | ||||||
Series 2016-2, Class BH, | ||||||||
2.700%, 07/25/2045 | 186,113 | 170,900 | ||||||
Series 2016-23, Class PL, | ||||||||
3.000%, 11/25/2045 | 298,685 | 233,475 | ||||||
Series 2016-27, Class HK, | ||||||||
3.000%, 01/25/2041 | 262,832 | 249,455 | ||||||
Series 2016-31, Class TM, | ||||||||
3.000%, 12/25/2045 | 360,000 | 306,803 | ||||||
Series 2016-33, Class JA, | ||||||||
3.000%, 07/25/2045 | 143,692 | 133,375 | ||||||
Series 2016-33, Class LE, | ||||||||
2.500%, 11/25/2033 | 36,384 | 33,813 | ||||||
Series 2016-48, Class UF, | ||||||||
30D US SOFR + 0.51%, 08/25/2046(a) | 66,718 | 65,845 | ||||||
Series 2016-52, Class MZ, | ||||||||
3.000%, 08/25/2046 | 250,394 | 182,770 | ||||||
Series 2016-55, Class EA, | ||||||||
1.750%, 07/25/2043 | 791,349 | 642,047 | ||||||
Series 2016-57, Class PC, | ||||||||
1.750%, 06/25/2046 | 241,962 | 201,906 | ||||||
Series 2016-75, Class FC, | ||||||||
30D US SOFR + 0.51%, 10/25/2046(a) | 33,257 | 32,760 | ||||||
Series 2016-8, Class CB, | ||||||||
3.500%, 03/25/2046 | 893,000 | 817,083 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-83, Class KL, | ||||||||
2.500%, 11/25/2046 | $ | 132,411 | $ | 85,992 | ||||
Series 2016-85, Class BA, | ||||||||
2.500%, 11/25/2046 | 5,543 | 4,063 | ||||||
Series 2016-9, Class D, | ||||||||
3.000%, 03/25/2046 | 30,015 | 27,096 | ||||||
Series 2016-9, Class PA, | ||||||||
2.500%, 06/25/2045 | 158,692 | 147,154 | ||||||
Series 2017-1, Class JP, | ||||||||
3.500%, 04/25/2045 | 90,574 | 87,326 | ||||||
Series 2017-10, Class FA, | ||||||||
30D US SOFR + 0.51%, 03/25/2047(a) | 24,967 | 24,536 | ||||||
Series 2017-100, Class ZE, | ||||||||
3.500%, 12/25/2047 | 131,569 | 118,036 | ||||||
Series 2017-110, Class PB, | ||||||||
3.000%, 02/25/2057 | 140,000 | 109,092 | ||||||
Series 2017-15, Class PE, | ||||||||
3.500%, 04/25/2046 | 44,903 | 42,547 | ||||||
Series 2017-19, Class B, | ||||||||
3.000%, 01/25/2047 | 232,080 | 209,321 | ||||||
Series 2017-22, Class DA, | ||||||||
4.000%, 08/25/2044 | 1,221 | 1,214 | ||||||
Series 2017-24, Class H, | ||||||||
3.000%, 08/25/2043 | 57,938 | 56,735 | ||||||
Series 2017-25, Class QE, | ||||||||
2.500%, 04/25/2047 | 159,347 | 137,342 | ||||||
Series 2017-35, Class AH, | ||||||||
3.500%, 04/25/2053 | 10,379 | 10,129 | ||||||
Series 2017-38, Class JA, | ||||||||
3.000%, 03/25/2047 | 109,995 | 99,431 | ||||||
Series 2017-46, Class P, | ||||||||
3.500%, 06/25/2047 | 2,582,124 | 2,320,553 | ||||||
Series 2017-56, Class BA, | ||||||||
3.000%, 03/25/2045 | 83,255 | 78,995 | ||||||
Series 2017-56, Class BY, | ||||||||
3.000%, 07/25/2047 | 128,765 | 107,117 | ||||||
Series 2017-68, Class HQ, | ||||||||
3.000%, 07/25/2046 | 762,907 | 708,283 | ||||||
Series 2017-84, Class JP, | ||||||||
2.750%, 10/25/2047 | 119,584 | 105,801 | ||||||
Series 2017-90, Class WB, | ||||||||
3.000%, 11/25/2047 | 1,119,992 | 883,715 | ||||||
Series 2017-96, Class PA, | ||||||||
3.000%, 12/25/2054 | 116,375 | 109,891 | ||||||
Series 2017-99, Class DZ, | ||||||||
3.500%, 12/25/2047 | 146,080 | 131,011 | ||||||
Series 2018-15, Class KG, | ||||||||
2.500%, 01/25/2048 | 105,602 | 89,999 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-19, Class KB, | ||||||||
3.000%, 04/25/2046 | $ | 53,675 | $ | 51,104 | ||||
Series 2018-2, Class HD, | ||||||||
3.000%, 02/25/2047 | 22,334 | 21,318 | ||||||
Series 2018-25, Class AL, | ||||||||
3.500%, 04/25/2048 | 187,296 | 165,975 | ||||||
Series 2018-38, Class PA, | ||||||||
3.500%, 06/25/2047 | 67,117 | 64,214 | ||||||
Series 2018-39, Class FG, | ||||||||
30D US SOFR + 0.36%, 11/25/2033(a) | 88,529 | 86,947 | ||||||
Series 2018-41, Class PZ, | ||||||||
4.000%, 06/25/2048 | 979,326 | 819,333 | ||||||
Series 2018-43, Class FE, | ||||||||
30D US SOFR + 0.36%, 09/25/2038(a) | 91,259 | 89,289 | ||||||
Series 2018-45, Class GA, | ||||||||
3.000%, 06/25/2048 | 36,042 | 32,282 | ||||||
Series 2018-5, Class JP, | ||||||||
3.000%, 09/25/2047 | 42,809 | 38,670 | ||||||
Series 2018-50, Class DY, | ||||||||
3.000%, 10/25/2047 | 556,598 | 503,563 | ||||||
Series 2018-56, Class CH, | ||||||||
3.000%, 08/25/2048 | 29,730 | 26,635 | ||||||
Series 2018-6, Class PA, | ||||||||
3.000%, 02/25/2048 | 190,109 | 171,141 | ||||||
Series 2018-60, Class KL, | ||||||||
4.000%, 08/25/2048 | 96,000 | 85,954 | ||||||
Series 2018-67, Class DY, | ||||||||
4.000%, 09/25/2048 | 304,029 | 266,729 | ||||||
Series 2018-70, Class HB, | ||||||||
3.500%, 10/25/2058 | 314,994 | 273,323 | ||||||
Series 2018-74, Class AB, | ||||||||
3.500%, 10/25/2048 | 325,032 | 302,193 | ||||||
Series 2018-8, Class KL, | ||||||||
2.500%, 03/25/2047 | 284,373 | 255,686 | ||||||
Series 2018-83, Class LH, | ||||||||
4.000%, 11/25/2048 | 20,237 | 19,275 | ||||||
Series 2018-83, Class AC, | ||||||||
3.500%, 11/25/2048 | 144,261 | 131,117 | ||||||
Series 2018-9, Class PL, | ||||||||
3.500%, 02/25/2048 | 395,045 | 350,018 | ||||||
Series 2018-94, Class KD, | ||||||||
3.500%, 12/25/2048 | 46,374 | 42,440 | ||||||
Series 2018-94, Class KZ, | ||||||||
4.500%, 01/25/2049 | 192,243 | 157,312 | ||||||
Series 2019-10, Class MA, | ||||||||
3.000%, 03/25/2049 | 74,148 | 66,441 |
Principal Amount | Value (Note 2) | |||||||
Series 2019-11, Class EA, | ||||||||
3.000%, 05/25/2048 | $ | 217,885 | $ | 200,677 | ||||
Series 2019-12, Class HA, | ||||||||
3.500%, 11/25/2057 | 255,236 | 241,730 | ||||||
Series 2019-13, Class MH, | ||||||||
3.000%, 03/25/2049 | 284,312 | 258,366 | ||||||
Series 2019-34, Class PZ, | ||||||||
3.000%, 07/25/2049 | 115,717 | 61,682 | ||||||
Series 2019-45, Class PT, | ||||||||
3.000%, 08/25/2049 | 245,268 | 222,010 | ||||||
Series 2019-50, Class CZ, | ||||||||
2.750%, 09/25/2049 | 176,303 | 84,598 | ||||||
Series 2019-55, Class MQ, | ||||||||
3.500%, 10/25/2049 | 577,571 | 523,819 | ||||||
Series 2019-60, Class BF, | ||||||||
30D US SOFR + 0.56%, 10/25/2049(a) | 11,163 | 10,828 | ||||||
Series 2019-65, Class HA, | ||||||||
2.500%, 11/25/2049 | 162,729 | 140,612 | ||||||
Series 2019-75, Class PA, | ||||||||
3.000%, 10/25/2049 | 537,023 | 469,467 | ||||||
Series 2019-81, Class LB, | ||||||||
1.500%, 12/25/2049 | 519,808 | 420,610 | ||||||
Series 2019-82, Class HZ, | ||||||||
3.000%, 01/25/2050 | 405,319 | 344,236 | ||||||
Series 2020-10, Class B, | ||||||||
3.000%, 03/25/2050 | 231,283 | 202,811 | ||||||
Series 2020-11, Class JW, | ||||||||
3.000%, 03/25/2050 | 237,000 | 182,533 | ||||||
Series 2020-36, Class GD, | ||||||||
2.000%, 12/25/2037 | 128,005 | 115,661 | ||||||
Series 2020-45, Class NB, | ||||||||
1.500%, 07/25/2050 | 259,992 | 114,812 | ||||||
Series 2020-47, Class GZ, | ||||||||
2.000%, 07/25/2050 | 214,847 | 128,462 | ||||||
Series 2020-73, Class ED, | ||||||||
0.835%, 11/25/2049(a) | 795,343 | 588,661 | ||||||
Series 2021-12, Class GA, | ||||||||
1.000%, 07/25/2050 | 129,783 | 96,128 | ||||||
Series 2021-15, Class JB, | ||||||||
1.250%, 04/25/2051 | 120,361 | 48,772 | ||||||
Series 2021-17, Class ZA, | ||||||||
1.500%, 04/25/2051 | 160,682 | 66,579 | ||||||
Series 2021-43, Class JC, | ||||||||
2.000%, 05/25/2051 | 126,758 | 103,562 | ||||||
Series 2021-47, Class PE, | ||||||||
1.750%, 07/25/2051 | 802,826 | 629,794 | ||||||
Series 2021-47, Class PD, | ||||||||
1.500%, 07/25/2051 | 802,826 | 619,704 |
Principal Amount | Value (Note 2) | |||||||
Series 2021-59, Class H, | ||||||||
2.000%, 06/25/2048 | $ | 224,658 | $ | 182,018 | ||||
Series 2021-6, Class KU, | ||||||||
1.500%, 02/25/2051 | 181,291 | 105,075 | ||||||
Series 2021-66, Class JG, | ||||||||
1.000%, 10/25/2051 | 537,191 | 427,358 | ||||||
Series 2021-66, Class HU, | ||||||||
1.500%, 10/25/2051 | 259,998 | 128,854 | ||||||
Series 2021-68, Class A, | ||||||||
2.000%, 07/25/2049 | 2,491,210 | 1,989,823 | ||||||
Series 2021-69, Class WA, | ||||||||
2.000%, 04/25/2049 | 318,945 | 262,727 | ||||||
Series 2021-72, Class NL, | ||||||||
1.500%, 10/25/2051 | 316,302 | 192,605 | ||||||
Series 2021-72, Class NB, | ||||||||
1.500%, 10/25/2051 | 140,000 | 53,562 | ||||||
Series 2021-8, Class HZ, | ||||||||
2.000%, 03/25/2051 | 466,136 | 213,224 | ||||||
Series 2021-80, Class KE, | ||||||||
2.000%, 11/25/2051 | 222,330 | 184,466 | ||||||
Series 2022-17, Class GV, | ||||||||
2.500%, 01/25/2052 | 3,569,000 | 2,648,601 | ||||||
Series 2022-37, Class QL, | ||||||||
4.000%, 07/25/2052 | 1,683,000 | 1,611,565 | ||||||
Series 2022-4, Class CK, | ||||||||
1.500%, 04/25/2051 | 103,750 | 56,726 | ||||||
Series 2022-43, Class AN, | ||||||||
4.250%, 07/25/2052 | 240,932 | 206,047 | ||||||
Series 2022-43, Class ZA, | ||||||||
4.500%, 07/25/2052 | 240,510 | 232,403 | ||||||
Series 2022-64, Class GM, | ||||||||
4.500%, 10/25/2052 | 3,161,000 | 2,889,708 | ||||||
Series 2022-68, Class Z, | ||||||||
5.000%, 10/25/2052 | 705,464 | 703,998 | ||||||
Series 2022-81, Class DO, | ||||||||
–%, 11/25/2052(b) | 1,474,602 | 679,951 | ||||||
Series 2022-88, Class EZ, | ||||||||
6.000%, 12/25/2052 | 4,214,222 | 4,373,478 | ||||||
Series 2022-90, Class AY, | ||||||||
4.500%, 12/25/2041 | 180,000 | 173,859 | ||||||
Series 2023-19, Class BZ, | ||||||||
5.000%, 05/25/2053 | 5,609,356 | 5,656,001 | ||||||
100,881,328 | ||||||||
Fannie Mae Grantor Trust 2002-T12 | ||||||||
Series 2002-T12, Class A1, | ||||||||
6.500%, 05/25/2042 | 132,458 | 132,446 |
Principal Amount | Value (Note 2) | |||||||
Freddie Mac | ||||||||
Series 1996-1863, Class Z, | ||||||||
6.500%, 07/15/2026 | $ | 58 | $ | 58 | ||||
Series 1997-1935, Class FK, | ||||||||
30D US SOFR + 0.81%, 02/15/2027(a) | 6,549 | 6,552 | ||||||
Series 1997-1980, Class Z, | ||||||||
7.000%, 07/15/2027 | 20,205 | 20,309 | ||||||
Series 1998-2034, Class Z, | ||||||||
6.500%, 02/15/2028 | 12,018 | 12,213 | ||||||
Series 1998-2035, Class PC, | ||||||||
6.950%, 03/15/2028 | 2,871 | 2,903 | ||||||
Series 1998-2053, Class Z, | ||||||||
6.500%, 04/15/2028 | 9,610 | 9,681 | ||||||
Series 1998-2060, Class Z, | ||||||||
6.500%, 05/15/2028 | 5,242 | 5,328 | ||||||
Series 1998-2079, Class FA, | ||||||||
30D US SOFR + 0.61%, 07/17/2028(a) | 56 | 56 | ||||||
Series 1998-2095, Class PE, | ||||||||
6.000%, 11/15/2028 | 10,475 | 10,567 | ||||||
Series 1998-2102, Class Z, | ||||||||
6.000%, 12/15/2028 | 30,660 | 30,949 | ||||||
Series 1999-2115, Class FB, | ||||||||
30D US SOFR + 0.56%, 01/15/2029(a) | 14,788 | 14,755 | ||||||
Series 1999-2126, Class CB, | ||||||||
6.250%, 02/15/2029 | 13,037 | 13,151 | ||||||
Series 1999-2137, Class TH, | ||||||||
6.500%, 03/15/2029 | 3,675 | 3,741 | ||||||
Series 1999-2154, Class PL, | ||||||||
6.500%, 05/15/2029 | 103,985 | 104,728 | ||||||
Series 2000-2224, Class CB, | ||||||||
8.000%, 03/15/2030 | 8,844 | 9,316 | ||||||
Series 2001-2274, Class ZM, | ||||||||
6.500%, 01/15/2031 | 7,035 | 7,115 | ||||||
Series 2001-2279, Class Z, | ||||||||
6.000%, 01/15/2031 | 7,439 | 7,463 | ||||||
Series 2001-2320, Class FI, | ||||||||
30D US SOFR + 0.61%, 09/15/2029(a) | 21,579 | 21,511 | ||||||
Series 2001-2322, Class FV, | ||||||||
30D US SOFR + 0.61%, 06/15/2030(a) | 18,451 | 18,106 | ||||||
Series 2001-2324, Class PZ, | ||||||||
6.500%, 06/15/2031 | 100,743 | 104,461 | ||||||
Series 2001-2334, Class KB, | ||||||||
6.500%, 05/15/2028 | 46,136 | 46,670 |
Principal Amount | Value (Note 2) | |||||||
Series 2001-2341, Class FP, | ||||||||
30D US SOFR + 1.01%, 07/15/2031(a) | $ | 22,327 | $ | 22,480 | ||||
Series 2001-2367, Class FA, | ||||||||
30D US SOFR + 0.63%, 06/15/2031(a) | 19,304 | 19,233 | ||||||
Series 2001-2372, Class F, | ||||||||
30D US SOFR + 0.61%, 10/15/2031(a) | 13,828 | 13,793 | ||||||
Series 2001-2388, Class FR, | ||||||||
30D US SOFR + 0.76%, 06/15/2031(a) | 16,533 | 16,525 | ||||||
Series 2001-2388, Class FB, | ||||||||
30D US SOFR + 0.71%, 01/15/2029(a) | 16,118 | 16,104 | ||||||
Series 2001-2391, Class HF, | ||||||||
30D US SOFR + 0.66%, 06/15/2031(a) | 6,624 | 6,604 | ||||||
Series 2001-2396, Class FM, | ||||||||
30D US SOFR + 0.56%, 12/15/2031(a) | 17,773 | 17,757 | ||||||
Series 2001-2396, Class FN, | ||||||||
30D US SOFR + 0.76%, 12/15/2031(a) | 102,963 | 103,362 | ||||||
Series 2002-2411, Class F, | ||||||||
30D US SOFR + 0.66%, 02/15/2032(a) | 15,722 | 15,726 | ||||||
Series 2002-2412, Class OF, | ||||||||
30D US SOFR + 1.06%, 12/15/2031(a) | 22,841 | 23,123 | ||||||
Series 2002-2417, Class FY, | ||||||||
30D US SOFR + 0.71%, 12/15/2031(a) | 6,920 | 6,906 | ||||||
Series 2002-2424, Class FY, | ||||||||
30D US SOFR + 0.56%, 03/15/2032(a) | 37,123 | 36,341 | ||||||
Series 2002-2430, Class WF, | ||||||||
6.500%, 03/15/2032 | 6,429 | 6,672 | ||||||
Series 2002-2433, Class FA, | ||||||||
30D US SOFR + 1.06%, 02/15/2032(a) | 28,046 | 28,394 | ||||||
Series 2002-2460, Class FA, | ||||||||
30D US SOFR + 1.11%, 03/15/2032(a) | 52,938 | 53,398 | ||||||
Series 2002-2466, Class FV, | ||||||||
30D US SOFR + 0.66%, 03/15/2032(a) | 44,180 | 44,144 | ||||||
Series 2002-2470, Class EF, | ||||||||
30D US SOFR + 1.11%, 03/15/2032(a) | 56,751 | 57,436 |
Principal Amount | Value (Note 2) | |||||||
Series 2002-2478, Class FD, | ||||||||
30D US SOFR + 1.11%, 02/15/2032(a) | $ | 15,542 | $ | 15,424 | ||||
Series 2002-2481, Class FE, | ||||||||
30D US SOFR + 1.11%, 03/15/2032(a) | 16,036 | 16,229 | ||||||
Series 2002-2488, Class FU, | ||||||||
30D US SOFR + 0.71%, 03/15/2032(a) | 54,290 | 54,219 | ||||||
Series 2002-2494, Class F, | ||||||||
30D US SOFR + 1.16%, 06/15/2031(a) | 25,645 | 25,880 | ||||||
Series 2002-2495, Class ZB, | ||||||||
4.500%, 09/15/2032 | 29,453 | 28,612 | ||||||
Series 2002-2510, Class FE, | ||||||||
30D US SOFR + 0.51%, 10/15/2032(a) | 7,592 | 7,537 | ||||||
Series 2002-2513, Class AF, | ||||||||
30D US SOFR + 1.11%, 02/15/2032(a) | 41,544 | 40,043 | ||||||
Series 2002-2516, Class FD, | ||||||||
30D US SOFR + 1.11%, 02/15/2032(a) | 39,480 | 39,953 | ||||||
Series 2002-2517, Class FR, | ||||||||
30D US SOFR + 0.46%, 10/15/2032(a) | 29,373 | 29,113 | ||||||
Series 2002-2524, Class DH, | ||||||||
6.000%, 11/15/2032 | 27,990 | 29,040 | ||||||
Series 2002-2525, Class NU, | ||||||||
5.000%, 04/15/2032 | 62,244 | 61,523 | ||||||
Series 2002-2535, Class AW, | ||||||||
5.500%, 12/15/2032 | 8,082 | 8,259 | ||||||
Series 2002-2538, Class F, | ||||||||
30D US SOFR + 0.71%, 12/15/2032(a) | 111,265 | 111,538 | ||||||
Series 2002-2541, Class BL, | ||||||||
5.500%, 12/15/2032 | 33,530 | 34,262 | ||||||
Series 2003-2554, Class MN, | ||||||||
5.500%, 01/15/2033 | 37,009 | 37,919 | ||||||
Series 2003-2557, Class HL, | ||||||||
5.300%, 01/15/2033 | 129,088 | 129,661 | ||||||
Series 2003-2557, Class NU, | ||||||||
5.250%, 03/15/2032 | 42,920 | 43,067 | ||||||
Series 2003-2557, Class WF, | ||||||||
30D US SOFR + 0.51%, 01/15/2033(a) | 30,280 | 30,127 | ||||||
Series 2003-2568, Class D, | ||||||||
5.500%, 02/15/2033 | 29,014 | 29,684 | ||||||
Series 2003-2571, Class FY, | ||||||||
30D US SOFR + 0.86%, 12/15/2032(a) | 16,359 | 16,474 |
Principal Amount | Value (Note 2) | |||||||
Series 2003-2577, Class FC, | ||||||||
30D US SOFR + 0.61%, 02/15/2033(a) | $ | 73,762 | $ | 73,359 | ||||
Series 2003-2587, Class FW, | ||||||||
30D US SOFR + 0.58%, 03/15/2033(a) | 29,425 | 29,313 | ||||||
Series 2003-2590, Class OZ, | ||||||||
4.000%, 03/15/2033 | 194,136 | 187,753 | ||||||
Series 2003-2590, Class QY, | ||||||||
3.750%, 04/15/2028 | 2,296 | 2,272 | ||||||
Series 2003-2614, Class FV, | ||||||||
30D US SOFR + 1.61%, 05/15/2033(a) | 177,884 | 179,259 | ||||||
Series 2003-2624, Class QH, | ||||||||
5.000%, 06/15/2033 | 10,416 | 10,540 | ||||||
Series 2003-2626, Class ZX, | ||||||||
5.000%, 06/15/2033 | 210,861 | 193,476 | ||||||
Series 2003-2627, Class CN, | ||||||||
5.000%, 06/15/2033 | 30,136 | 30,337 | ||||||
Series 2003-2631, Class DB, | ||||||||
5.000%, 06/15/2033 | 148,000 | 146,230 | ||||||
Series 2003-2647, Class A, | ||||||||
3.250%, 04/15/2032 | 58,398 | 56,616 | ||||||
Series 2003-2648, Class WZ, | ||||||||
5.000%, 07/15/2033 | 278,117 | 276,267 | ||||||
Series 2003-2668, Class LH, | ||||||||
5.000%, 09/15/2033 | 19,336 | 19,385 | ||||||
Series 2003-2707, Class FH, | ||||||||
30D US SOFR + 0.76%, 04/15/2032(a) | 62,311 | 62,544 | ||||||
Series 2003-2711, Class FA, | ||||||||
30D US SOFR + 1.11%, 11/15/2033(a) | 112,739 | 114,469 | ||||||
Series 2003-2717, Class LH, | ||||||||
5.500%, 12/15/2033 | 4,961 | 5,103 | ||||||
Series 2003-2725, Class TA, | ||||||||
4.500%, 12/15/2033 | 159,000 | 156,451 | ||||||
Series 2004-2750, Class TC, | ||||||||
5.250%, 02/15/2034 | 4,171 | 4,168 | ||||||
Series 2004-2768, Class PW, | ||||||||
4.250%, 03/15/2034 | 134,893 | 131,232 | ||||||
Series 2004-2802, Class OH, | ||||||||
6.000%, 05/15/2034 | 11,217 | 11,384 | ||||||
Series 2004-2835, Class KZ, | ||||||||
5.500%, 08/15/2034 | 30,543 | 31,290 | ||||||
Series 2004-2835, Class TB, | ||||||||
4.500%, 08/15/2034 | 303,635 | 299,407 | ||||||
Series 2004-2893, Class PE, | ||||||||
5.000%, 11/15/2034 | 2,179 | 2,207 |
Principal Amount | Value (Note 2) | |||||||
Series 2004-2896, Class BZ, | ||||||||
5.000%, 11/15/2034 | $ | 65,901 | $ | 66,177 | ||||
Series 2004-2901, Class KB, | ||||||||
5.000%, 12/15/2034 | 82,388 | 83,569 | ||||||
Series 2005-2916, Class MY, | ||||||||
5.500%, 01/15/2035 | 131,734 | 135,562 | ||||||
Series 2005-2927, Class EZ, | ||||||||
5.500%, 02/15/2035 | 10,769 | 10,578 | ||||||
Series 2005-2929, Class PG, | ||||||||
5.000%, 02/15/2035 | 31,564 | 32,007 | ||||||
Series 2005-2933, Class HD, | ||||||||
5.500%, 02/15/2035 | 19,773 | 20,070 | ||||||
Series 2005-2942, Class ZN, | ||||||||
5.500%, 03/15/2035 | 544,628 | 543,678 | ||||||
Series 2005-2953, Class PG, | ||||||||
5.500%, 03/15/2035 | 14,787 | 15,267 | ||||||
Series 2005-2962, Class KF, | ||||||||
30D US SOFR + 0.31%, 04/15/2035(a) | 10,588 | 10,466 | ||||||
Series 2005-2973, Class GE, | ||||||||
5.500%, 05/15/2035 | 243,000 | 246,629 | ||||||
Series 2005-2980, Class QA, | ||||||||
6.000%, 05/15/2035 | 28,792 | 29,892 | ||||||
Series 2005-2996, Class GX, | ||||||||
5.500%, 06/15/2035 | 72,000 | 72,387 | ||||||
Series 2005-3012, Class ZE, | ||||||||
5.750%, 08/15/2035 | 60,672 | 62,260 | ||||||
Series 2005-3012, Class WZ, | ||||||||
5.500%, 08/15/2035 | 244,728 | 248,382 | ||||||
Series 2005-3028, Class FM, | ||||||||
30D US SOFR + 0.36%, 09/15/2035(a) | 8,634 | 8,559 | ||||||
Series 2005-3028, Class PG, | ||||||||
5.500%, 09/15/2035 | 41,116 | 41,744 | ||||||
Series 2005-3028, Class ZE, | ||||||||
5.500%, 09/15/2035 | 903,476 | 902,865 | ||||||
Series 2005-3033, Class WY, | ||||||||
5.500%, 09/15/2035 | 70,855 | 72,993 | ||||||
Series 2005-3036, Class NE, | ||||||||
5.000%, 09/15/2035 | 83,243 | 84,583 | ||||||
Series 2005-3042, Class PZ, | ||||||||
5.750%, 09/15/2035 | 163,155 | 170,962 | ||||||
Series 2005-3052, Class WH, | ||||||||
5.500%, 10/15/2035 | 17,444 | 17,867 | ||||||
Series 2005-3059, Class ZM, | ||||||||
5.000%, 02/15/2035 | 77,745 | 77,832 | ||||||
Series 2005-3062, Class DE, | ||||||||
5.500%, 11/15/2035 | 111,333 | 114,349 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-3068, Class Z, | ||||||||
5.500%, 11/15/2035 | $ | 137,760 | $ | 140,444 | ||||
Series 2005-3070, Class FT, | ||||||||
30D US SOFR + 0.46%, 11/15/2035(a) | 13,243 | 13,168 | ||||||
Series 2005-3072, Class NF, | ||||||||
30D US SOFR + 0.61%, 11/15/2035(a) | 31,092 | 30,842 | ||||||
Series 2005-3085, Class FE, | ||||||||
30D US SOFR + 0.91%, 08/15/2035(a) | 36,679 | 36,972 | ||||||
Series 2006-3098, Class PG, | ||||||||
5.000%, 01/15/2036 | 54,320 | 55,196 | ||||||
Series 2006-3122, Class OH, | ||||||||
–%, 03/15/2036(b) | 21,476 | 18,500 | ||||||
Series 2006-3123, Class HT, | ||||||||
5.000%, 03/15/2026 | 9,713 | 9,609 | ||||||
Series 2006-3136, Class KF, | ||||||||
30D US SOFR + 0.41%, 04/15/2036(a) | 13,619 | 13,521 | ||||||
Series 2006-3137, Class XP, | ||||||||
6.000%, 04/15/2036 | 18,112 | 19,078 | ||||||
Series 2006-3143, Class BC, | ||||||||
5.500%, 02/15/2036 | 80,952 | 82,028 | ||||||
Series 2006-3145, Class FN, | ||||||||
30D US SOFR + 0.54%, 04/15/2036(a) | 11,064 | 10,916 | ||||||
Series 2006-3148, Class CY, | ||||||||
6.000%, 04/15/2036 | 17,365 | 17,666 | ||||||
Series 2006-3153, Class UG, | ||||||||
30D US SOFR + 0.56%, 05/15/2036(a) | 19,057 | 18,897 | ||||||
Series 2006-3154, Class PN, | ||||||||
5.500%, 05/15/2036 | 55,497 | 57,417 | ||||||
Series 2006-3201, Class FL, | ||||||||
30D US SOFR + 0.71%, 08/15/2036(a) | 77,013 | 76,524 | ||||||
Series 2006-3202, Class HF, | ||||||||
30D US SOFR + 0.46%, 08/15/2036(a) | 34,965 | 34,593 | ||||||
Series 2006-3203, Class ZM, | ||||||||
5.000%, 08/15/2036 | 171,849 | 172,843 | ||||||
Series 2006-3204, Class ZM, | ||||||||
5.000%, 08/15/2034 | 81,285 | 81,567 | ||||||
Series 2006-3206, Class FE, | ||||||||
30D US SOFR + 0.51%, 08/15/2036(a) | 35,441 | 34,859 | ||||||
Series 2006-3235, Class Z, | ||||||||
6.500%, 11/15/2036 | 627,684 | 683,472 |
Principal Amount | Value (Note 2) | |||||||
Series 2006-3236, Class EF, | ||||||||
30D US SOFR + 0.41%, 11/15/2036(a) | $ | 10,470 | $ | 10,292 | ||||
Series 2006-3237, Class CD, | ||||||||
5.500%, 09/15/2036 | 97,119 | 96,876 | ||||||
Series 2006-3237, Class CE, | ||||||||
5.500%, 11/15/2036 | 122,000 | 125,194 | ||||||
Series 2006-3240, Class FG, | ||||||||
30D US SOFR + 1.22%, 11/15/2036(a) | 179,559 | 179,204 | ||||||
Series 2006-3249, Class CB, | ||||||||
4.250%, 12/15/2036 | 307,520 | 296,200 | ||||||
Series 2007-3279, Class FB, | ||||||||
30D US SOFR + 0.43%, 02/15/2037(a) | 67,654 | 66,255 | ||||||
Series 2007-3284, Class AZ, | ||||||||
4.500%, 03/15/2037 | 22,659 | 21,775 | ||||||
Series 2007-3301, Class FY, | ||||||||
30D US SOFR + 0.53%, 04/15/2037(a) | 13,776 | 13,487 | ||||||
Series 2007-3311, Class DF, | ||||||||
30D US SOFR + 0.45%, 05/15/2037(a) | 88,451 | 86,748 | ||||||
Series 2007-3312, Class PA, | ||||||||
5.500%, 05/15/2037 | 14,141 | 14,684 | ||||||
Series 2007-3316, Class FB, | ||||||||
30D US SOFR + 0.41%, 08/15/2035(a) | 26,010 | 25,734 | ||||||
Series 2007-3349, Class HG, | ||||||||
5.500%, 07/15/2037 | 15,304 | 15,823 | ||||||
Series 2007-3361, Class AF, | ||||||||
30D US SOFR + 0.46%, 11/15/2036(a) | 58,991 | 58,094 | ||||||
Series 2007-3367, Class YF, | ||||||||
30D US SOFR + 0.66%, 09/15/2037(a) | 15,851 | 15,703 | ||||||
Series 2007-3368, Class AF, | ||||||||
30D US SOFR + 0.83%, 09/15/2037(a) | 55,240 | 55,008 | ||||||
Series 2007-3378, Class FA, | ||||||||
30D US SOFR + 0.69%, 06/15/2037(a) | 29,818 | 29,665 | ||||||
Series 2007-3380, Class FM, | ||||||||
30D US SOFR + 0.70%, 10/15/2037(a) | 72,301 | 71,784 | ||||||
Series 2007-3382, Class FG, | ||||||||
30D US SOFR + 0.71%, 11/15/2037(a) | 34,667 | 34,449 | ||||||
Series 2007-3382, Class FL, | ||||||||
30D US SOFR + 0.81%, 11/15/2037(a) | 64,049 | 63,878 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-3387, Class PF, | ||||||||
30D US SOFR + 0.53%, 11/15/2037(a) | $ | 22,336 | $ | 22,059 | ||||
Series 2007-3388, Class FJ, | ||||||||
30D US SOFR + 0.81%, 11/15/2037(a) | 101,015 | 100,470 | ||||||
Series 2008-3404, Class DC, | ||||||||
5.500%, 01/15/2038 | 285,000 | 295,346 | ||||||
Series 2008-3405, Class PE, | ||||||||
5.000%, 01/15/2038 | 39,975 | 40,598 | ||||||
Series 2008-3409, Class DB, | ||||||||
6.000%, 01/15/2038 | 153,630 | 160,891 | ||||||
Series 2008-3411, Class FL, | ||||||||
30D US SOFR + 0.81%, 02/15/2038(a) | 16,468 | 16,372 | ||||||
Series 2008-3415, Class DF, | ||||||||
30D US SOFR + 0.81%, 08/15/2035(a) | 76,139 | 76,114 | ||||||
Series 2008-3415, Class PC, | ||||||||
5.000%, 12/15/2037 | 29,061 | 28,673 | ||||||
Series 2008-3415, Class TF, | ||||||||
30D US SOFR + 0.85%, 08/15/2035(a) | 37,711 | 37,755 | ||||||
Series 2008-3450, Class PE, | ||||||||
5.000%, 05/15/2038 | 48,418 | 48,967 | ||||||
Series 2008-3469, Class CF, | ||||||||
30D US SOFR + 0.90%, 07/15/2038(a) | 18,046 | 18,021 | ||||||
Series 2009-3536, Class FM, | ||||||||
30D US SOFR + 1.11%, 05/15/2039(a) | 16,881 | 16,925 | ||||||
Series 2009-3539, Class B, | ||||||||
4.500%, 06/15/2029 | 44,000 | 43,115 | ||||||
Series 2009-3545, Class FA, | ||||||||
30D US SOFR + 0.96%, 06/15/2039(a) | 48,502 | 48,348 | ||||||
Series 2009-3548, Class ZE, | ||||||||
5.500%, 12/15/2032 | 120,222 | 122,416 | ||||||
Series 2009-3549, Class FA, | ||||||||
30D US SOFR + 1.31%, 07/15/2039(a) | 17,268 | 17,219 | ||||||
Series 2009-3564, Class NB, | ||||||||
5.000%, 08/15/2039 | 311,889 | 316,696 | ||||||
Series 2009-3574, Class D, | ||||||||
5.000%, 09/15/2039 | 61,553 | 62,664 | ||||||
Series 2009-3584, Class FA, | ||||||||
30D US SOFR + 0.81%, 12/15/2036(a) | 22,286 | 22,315 | ||||||
Series 2009-3587, Class DA, | ||||||||
4.500%, 10/15/2039 | 102,091 | 98,305 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-3588, Class CW, | ||||||||
6.145%, 10/15/2037(a) | $ | 349,531 | $ | 361,125 | ||||
Series 2009-3604, Class PO, | ||||||||
–%, 05/15/2036(b) | 57,117 | 47,078 | ||||||
Series 2009-3605, Class BF, | ||||||||
30D US SOFR + 0.97%, 11/15/2039(a) | 105,487 | 105,900 | ||||||
Series 2009-3606, Class ZC, | ||||||||
5.000%, 04/15/2036 | 718,325 | 707,684 | ||||||
Series 2009-3611, Class FH, | ||||||||
30D US SOFR + 0.86%, 07/15/2034(a) | 9,980 | 10,007 | ||||||
Series 2010-3620, Class EL, | ||||||||
4.000%, 01/15/2030 | 17,427 | 17,178 | ||||||
Series 2010-3622, Class PB, | ||||||||
5.000%, 01/15/2040 | 362,126 | 368,313 | ||||||
Series 2010-3626, Class ME, | ||||||||
5.000%, 01/15/2040 | 459,437 | 463,656 | ||||||
Series 2010-3631, Class PA, | ||||||||
4.000%, 02/15/2040 | 160,348 | 156,010 | ||||||
Series 2010-3653, Class B, | ||||||||
4.500%, 04/15/2030 | 51,865 | 51,686 | ||||||
Series 2010-3656, Class PM, | ||||||||
5.000%, 04/15/2040 | 127,872 | 128,793 | ||||||
Series 2010-3662, Class PJ, | ||||||||
5.000%, 04/15/2040 | 163,409 | 166,034 | ||||||
Series 2010-3664, Class DA, | ||||||||
4.000%, 11/15/2037 | 72,174 | 70,699 | ||||||
Series 2010-3704, Class DC, | ||||||||
4.000%, 11/15/2036 | 5,536 | 5,518 | ||||||
Series 2010-3747, Class PY, | ||||||||
4.000%, 10/15/2040 | 329,596 | 316,500 | ||||||
Series 2010-3747, Class CY, | ||||||||
4.500%, 10/15/2040 | 264,376 | 259,969 | ||||||
Series 2010-3770, Class GA, | ||||||||
4.500%, 10/15/2040 | 327,972 | 320,970 | ||||||
Series 2010-3770, Class JZ, | ||||||||
4.000%, 12/15/2040 | 7,959,616 | 7,633,115 | ||||||
Series 2010-3778, Class JA, | ||||||||
3.500%, 04/15/2040 | 88,562 | 86,603 | ||||||
Series 2011-3798, Class PJ, | ||||||||
4.000%, 01/15/2041 | 49,246 | 47,468 | ||||||
Series 2011-3800, Class AF, | ||||||||
30D US SOFR + 0.61%, 02/15/2041(a) | 18,854 | 18,651 | ||||||
Series 2011-3819, Class ZQ, | ||||||||
6.000%, 04/15/2036 | 13,230 | 13,693 | ||||||
Series 2011-3822, Class FY, | ||||||||
30D US SOFR + 0.51%, 02/15/2033(a) | 20,561 | 20,495 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-3825, Class BP, | ||||||||
4.000%, 03/15/2041 | $ | 70,426 | $ | 67,454 | ||||
Series 2011-3843, Class FE, | ||||||||
30D US SOFR + 0.66%, 04/15/2041(a) | 39,151 | 38,558 | ||||||
Series 2011-3843, Class PZ, | ||||||||
5.000%, 04/15/2041 | 548,952 | 553,965 | ||||||
Series 2011-3844, Class PC, | ||||||||
5.000%, 04/15/2041 | 195,000 | 195,481 | ||||||
Series 2011-3852, Class QN, | ||||||||
26.79% - 30D US SOFR, 05/15/2041(a) | 35,746 | 34,406 | ||||||
Series 2011-3852, Class TP, | ||||||||
27.08% - 30D US SOFR, 05/15/2041(a) | 21,393 | 21,694 | ||||||
Series 2011-3857, Class ZP, | ||||||||
5.000%, 05/15/2041 | 1,284,889 | 1,299,163 | ||||||
Series 2011-3862, Class MA, | ||||||||
5.000%, 04/15/2041 | 74,438 | 75,106 | ||||||
Series 2011-3891, Class BF, | ||||||||
30D US SOFR + 0.66%, 07/15/2041(a) | 37,165 | 36,567 | ||||||
Series 2011-3894, Class ZA, | ||||||||
4.500%, 07/15/2041 | 344,771 | 338,623 | ||||||
Series 2011-3905, Class BZ, | ||||||||
3.000%, 08/15/2041 | 174,082 | 127,804 | ||||||
Series 2011-3919, Class DL, | ||||||||
4.000%, 08/15/2030 | 298,000 | 282,813 | ||||||
Series 2011-3934, Class KB, | ||||||||
5.000%, 10/15/2041 | 543,877 | 542,954 | ||||||
Series 2011-3935, Class JZ, | ||||||||
4.500%, 10/15/2041 | 1,107,791 | 1,070,883 | ||||||
Series 2011-3939, Class BZ, | ||||||||
4.500%, 06/15/2041 | 700,737 | 688,471 | ||||||
Series 2011-3939, Class AZ, | ||||||||
4.000%, 03/15/2041 | 335,378 | 321,399 | ||||||
Series 2011-3940, Class MY, | ||||||||
4.000%, 10/15/2041 | 258,589 | 242,569 | ||||||
Series 2011-3957, Class HZ, | ||||||||
4.000%, 11/15/2041 | 598,678 | 573,048 | ||||||
Series 2011-3958, Class PJ, | ||||||||
4.500%, 09/15/2041 | 144,094 | 142,794 | ||||||
Series 2011-3959, Class MB, | ||||||||
4.500%, 11/15/2041 | 44,199 | 40,376 | ||||||
Series 2011-3963, Class JB, | ||||||||
4.500%, 11/15/2041 | 93,005 | 91,755 | ||||||
Series 2011-3968, Class LA, | ||||||||
4.500%, 12/15/2041 | 400,014 | 395,122 | ||||||
Series 2011-3969, Class JP, | ||||||||
4.500%, 09/15/2041 | 14,682 | 14,491 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-3978, Class CZ, | ||||||||
3.500%, 12/15/2041 | $ | 2,193,301 | $ | 2,006,144 | ||||
Series 2012-3984, Class DF, | ||||||||
30D US SOFR + 0.66%, 01/15/2042(a) | 30,057 | 29,562 | ||||||
Series 2012-3989, Class JW, | ||||||||
3.500%, 01/15/2042 | 179,525 | 168,113 | ||||||
Series 2012-3994, Class JZ, | ||||||||
3.500%, 02/15/2042 | 864,467 | 796,761 | ||||||
Series 2012-3997, Class EC, | ||||||||
3.500%, 02/15/2042 | 59,120 | 48,485 | ||||||
Series 2012-3997, Class FQ, | ||||||||
30D US SOFR + 0.61%, 02/15/2042(a) | 36,970 | 36,265 | ||||||
Series 2012-3998, Class KG, | ||||||||
2.000%, 11/15/2026 | 11,075 | 10,982 | ||||||
Series 2012-4001, Class FM, | ||||||||
30D US SOFR + 0.61%, 02/15/2042(a) | 24,763 | 24,238 | ||||||
Series 2012-4010, Class FC, | ||||||||
30D US SOFR + 1.11%, 03/15/2042(a) | 239,601 | 231,753 | ||||||
Series 2012-4011, Class DC, | ||||||||
4.000%, 09/15/2041 | 188,677 | 180,789 | ||||||
Series 2012-4011, Class DB, | ||||||||
4.000%, 09/15/2041 | 184,345 | 176,641 | ||||||
Series 2012-4012, Class GC, | ||||||||
3.500%, 06/15/2040 | 21,430 | 20,985 | ||||||
Series 2012-4020, Class PG, | ||||||||
2.500%, 03/15/2027 | 16,625 | 16,178 | ||||||
Series 2012-4037, Class CA, | ||||||||
3.000%, 04/15/2027 | 42,576 | 40,760 | ||||||
Series 2012-4039, Class LT, | ||||||||
3.500%, 05/15/2042 | 113,000 | 97,366 | ||||||
Series 2012-4048, Class CE, | ||||||||
4.000%, 05/15/2042 | 611,000 | 577,966 | ||||||
Series 2012-4050, Class ND, | ||||||||
2.500%, 09/15/2041 | 10,754 | 10,448 | ||||||
Series 2012-4062, Class MZ, | ||||||||
3.500%, 06/15/2042 | 451,463 | 408,637 | ||||||
Series 2012-4064, Class AY, | ||||||||
3.000%, 06/15/2027 | 60,037 | 58,467 | ||||||
Series 2012-4068, Class PE, | ||||||||
3.000%, 06/15/2042 | 327,000 | 293,221 | ||||||
Series 2012-4075, Class PB, | ||||||||
3.000%, 07/15/2042 | 86,414 | 78,630 | ||||||
Series 2012-4076, Class MV, | ||||||||
3.000%, 04/15/2031 | 69,000 | 67,118 | ||||||
Series 2012-4077, Class BE, | ||||||||
4.000%, 07/15/2042 | 130,000 | 119,183 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-4077, Class MA, | ||||||||
2.000%, 08/15/2040 | $ | 28,018 | $ | 27,701 | ||||
Series 2012-4088, Class PB, | ||||||||
3.000%, 08/15/2042 | 128,619 | 115,694 | ||||||
Series 2012-4094, Class CW, | ||||||||
2.000%, 08/15/2042 | 178,884 | 146,873 | ||||||
Series 2012-4097, Class CU, | ||||||||
1.500%, 08/15/2027 | 25,000 | 22,796 | ||||||
Series 2012-4097, Class UF, | ||||||||
30D US SOFR + 0.46%, 08/15/2032(a) | 45,839 | 45,772 | ||||||
Series 2012-4101, Class QN, | ||||||||
3.500%, 09/15/2042 | 363,222 | 331,930 | ||||||
Series 2012-4102, Class CB, | ||||||||
2.000%, 09/15/2042 | 150,000 | 128,035 | ||||||
Series 2012-4104, Class AJ, | ||||||||
1.500%, 09/15/2027 | 12,787 | 12,167 | ||||||
Series 2012-4116, Class YB, | ||||||||
2.500%, 05/15/2042 | 132,000 | 108,351 | ||||||
Series 2012-4120, Class TC, | ||||||||
1.500%, 10/15/2027 | 5,592 | 5,308 | ||||||
Series 2012-4122, Class BA, | ||||||||
2.776%, 05/15/2040(a)(c) | 135,874 | 124,842 | ||||||
Series 2012-4133, Class TA, | ||||||||
3.000%, 11/15/2042 | 308,106 | 254,253 | ||||||
Series 2012-4141, Class PL, | ||||||||
2.500%, 12/15/2042 | 274,000 | 183,635 | ||||||
Series 2013-4160, Class HB, | ||||||||
2.500%, 12/15/2032 | 14,094 | 12,876 | ||||||
Series 2013-4161, Class LT, | ||||||||
2.500%, 08/15/2042 | 294,957 | 267,648 | ||||||
Series 2013-4170, Class FW, | ||||||||
30D US SOFR + 1.06%, 01/15/2033(a) | 14,757 | 14,572 | ||||||
Series 2013-4171, Class MN, | ||||||||
3.000%, 02/15/2043 | 144,000 | 110,324 | ||||||
Series 2013-4176, Class YD, | ||||||||
3.000%, 03/15/2043 | 50,000 | 41,814 | ||||||
Series 2013-4183, Class ME, | ||||||||
2.000%, 02/15/2042 | 367,023 | 345,282 | ||||||
Series 2013-4185, Class PB, | ||||||||
3.000%, 03/15/2043 | 450,000 | 411,523 | ||||||
Series 2013-4203, Class DJ, | ||||||||
2.500%, 04/15/2033 | 34,007 | 32,582 | ||||||
Series 2013-4204, Class QP, | ||||||||
3.000%, 05/15/2043 | 153,000 | 130,868 | ||||||
Series 2013-4218, Class DG, | ||||||||
2.500%, 07/15/2042 | 111,472 | 100,343 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-4220, Class EH, | ||||||||
2.500%, 06/15/2028 | $ | 16,444 | $ | 15,971 | ||||
Series 2013-4231, Class FD, | ||||||||
30D US SOFR + 0.46%, 10/15/2032(a) | 9,906 | 9,805 | ||||||
Series 2013-4246, Class PB, | ||||||||
4.000%, 09/15/2043 | 493,003 | 435,748 | ||||||
Series 2013-4265, Class FD, | ||||||||
30D US SOFR + 0.51%, 01/15/2035(a) | 48,644 | 48,029 | ||||||
Series 2013-4283, Class EW, | ||||||||
4.500%, 12/15/2043(a) | 182,102 | 180,001 | ||||||
Series 2014-4293, Class NM, | ||||||||
4.500%, 06/15/2043 | 21,069 | 20,534 | ||||||
Series 2014-4294, Class PF, | ||||||||
30D US SOFR + 0.51%, 01/15/2044(a) | 11,382 | 11,039 | ||||||
Series 2014-4319, Class PM, | ||||||||
3.000%, 03/15/2043 | 51,788 | 49,828 | ||||||
Series 2014-4320, Class AP, | ||||||||
3.500%, 07/15/2039 | 125,807 | 122,726 | ||||||
Series 2014-4324, Class AY, | ||||||||
3.000%, 04/15/2029 | 568,738 | 544,264 | ||||||
Series 2014-4368, Class GZ, | ||||||||
4.125%, 06/15/2041(d) | 1,478,663 | 1,452,465 | ||||||
Series 2014-4370, Class PC, | ||||||||
2.500%, 09/15/2041 | 13,806 | 13,413 | ||||||
Series 2014-4403, Class CZ, | ||||||||
3.000%, 10/15/2044 | 152,007 | 89,449 | ||||||
Series 2014-4419, Class DC, | ||||||||
3.000%, 12/15/2044 | 240,000 | 193,627 | ||||||
Series 2015-4457, Class KZ, | ||||||||
3.000%, 04/15/2045 | 75,333 | 67,340 | ||||||
Series 2015-4459, Class CA, | ||||||||
5.000%, 12/15/2034 | 13,281 | 13,213 | ||||||
Series 2015-4461, Class EA, | ||||||||
2.000%, 07/15/2037 | 71,297 | 68,264 | ||||||
Series 2015-4498, Class JA, | ||||||||
2.500%, 04/15/2037 | 103,585 | 94,062 | ||||||
Series 2015-4508, Class UZ, | ||||||||
3.000%, 07/15/2043 | 54,311 | 42,620 | ||||||
Series 2015-4531, Class PA, | ||||||||
3.500%, 05/15/2043 | 7,699 | 7,609 | ||||||
Series 2016-4555, Class CP, | ||||||||
3.000%, 04/15/2045 | 353,819 | 332,937 | ||||||
Series 2016-4564, Class QA, | ||||||||
3.000%, 07/15/2029 | 31,107 | 30,625 | ||||||
Series 2016-4582, Class PA, | ||||||||
3.000%, 11/15/2045 | 114,950 | 106,500 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-4583, Class UP, | ||||||||
3.000%, 07/15/2045 | $ | 144,866 | $ | 134,160 | ||||
Series 2016-4590, Class AK, | ||||||||
3.500%, 08/15/2027 | 63,556 | 62,432 | ||||||
Series 2016-4601, Class CZ, | ||||||||
3.000%, 12/15/2045 | 111,425 | 71,644 | ||||||
Series 2016-4613, Class AF, | ||||||||
30D US SOFR + 1.21%, 11/15/2037(a) | 84,213 | 83,359 | ||||||
Series 2016-4629, Class KB, | ||||||||
3.000%, 11/15/2046 | 1,000,000 | 829,542 | ||||||
Series 2016-4639, Class HZ, | ||||||||
3.250%, 04/15/2053(d) | 1,101,966 | 881,964 | ||||||
Series 2017-4656, Class EZ, | ||||||||
4.000%, 02/15/2047 | 329,530 | 310,480 | ||||||
Series 2017-4661, Class HA, | ||||||||
3.000%, 05/15/2043 | 74,756 | 73,664 | ||||||
Series 2017-4664, Class UE, | ||||||||
3.000%, 05/15/2043 | 11,700 | 11,631 | ||||||
Series 2017-4670, Class TY, | ||||||||
3.000%, 03/15/2047 | 346,000 | 277,509 | ||||||
Series 2017-4672, Class QD, | ||||||||
3.000%, 08/15/2045 | 29,763 | 28,742 | ||||||
Series 2017-4680, Class PA, | ||||||||
3.000%, 03/15/2046 | 99,722 | 92,741 | ||||||
Series 2017-4680, Class YE, | ||||||||
2.500%, 12/15/2041 | 70,693 | 70,251 | ||||||
Series 2017-4707, Class Z, | ||||||||
4.000%, 08/15/2047 | 124,038 | 81,008 | ||||||
Series 2017-4710, Class PA, | ||||||||
3.000%, 04/15/2045 | 102,823 | 97,592 | ||||||
Series 2017-4714, Class MY, | ||||||||
3.500%, 08/15/2047 | 1,000,000 | 908,160 | ||||||
Series 2017-4736, Class CL, | ||||||||
3.000%, 12/15/2047 | 154,734 | 129,394 | ||||||
Series 2017-4748, Class GA, | ||||||||
3.000%, 01/15/2045 | 42,147 | 40,684 | ||||||
Series 2018-4767, Class Z, | ||||||||
3.000%, 12/15/2047 | 37,013 | 21,955 | ||||||
Series 2018-4773, Class DZ, | ||||||||
4.000%, 04/15/2048 | 169,838 | 161,646 | ||||||
Series 2018-4787, Class PY, | ||||||||
4.000%, 05/15/2048 | 43,601 | 40,827 | ||||||
Series 2018-4808, Class DG, | ||||||||
3.500%, 09/15/2045 | 718,916 | 702,295 | ||||||
Series 2018-4813, Class CJ, | ||||||||
3.000%, 08/15/2048 | 186,627 | 165,153 | ||||||
Series 2018-4818, Class CA, | ||||||||
3.000%, 04/15/2048 | 400,281 | 358,960 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-4821, Class VA, | ||||||||
4.000%, 10/15/2029 | $ | 57,012 | $ | 56,304 | ||||
Series 2018-4821, Class YZ, | ||||||||
4.000%, 02/15/2042 | 1,613,927 | 1,435,763 | ||||||
Series 2018-4821, Class ZM, | ||||||||
3.500%, 05/15/2048 | 351,910 | 316,160 | ||||||
Series 2018-4839, Class AE, | ||||||||
4.000%, 04/15/2051 | 232,967 | 222,623 | ||||||
Series 2018-4846, Class PA, | ||||||||
4.000%, 06/15/2047 | 5,181 | 5,091 | ||||||
Series 2018-4857, Class HM, | ||||||||
3.500%, 11/15/2046 | 78,297 | 76,383 | ||||||
Series 2019-4863, Class H, | ||||||||
7.000%, 03/15/2049 | 127,506 | 137,404 | ||||||
Series 2019-4863, Class AJ, | ||||||||
3.500%, 07/15/2038 | 44,373 | 42,192 | ||||||
Series 2019-4896, Class BD, | ||||||||
3.500%, 07/25/2049 | 1,062,753 | 921,774 | ||||||
Series 2019-4911, Class HG, | ||||||||
2.250%, 04/15/2049 | 1,766,810 | 1,499,262 | ||||||
Series 2019-4926, Class BP, | ||||||||
3.000%, 10/25/2049 | 549,534 | 482,695 | ||||||
Series 2019-4942, Class A, | ||||||||
3.000%, 01/25/2049 | 99,480 | 92,203 | ||||||
Series 2020-4954, Class LZ, | ||||||||
2.500%, 02/25/2050 | 122,892 | 57,779 | ||||||
Series 2020-4961, Class JB, | ||||||||
2.500%, 12/15/2042 | 137,025 | 123,554 | ||||||
Series 2020-4989, Class FA, | ||||||||
30D US SOFR + 0.46%, 08/15/2040(a) | 127,182 | 126,344 | ||||||
Series 2020-4989, Class FB, | ||||||||
30D US SOFR + 0.46%, 10/15/2040(a) | 120,928 | 119,844 | ||||||
Series 2020-5000, Class HZ, | ||||||||
1.500%, 08/25/2050 | 248,713 | 127,369 | ||||||
Series 2020-5007, Class PY, | ||||||||
1.500%, 08/25/2050 | 218,000 | 92,135 | ||||||
Series 2020-5013, Class NH, | ||||||||
1.000%, 09/25/2050 | 173,580 | 88,427 | ||||||
Series 2020-5014, Class BP, | ||||||||
1.250%, 09/25/2040 | 235,145 | 203,327 | ||||||
Series 2020-5039, Class ZK, | ||||||||
2.500%, 11/25/2050 | 150,752 | 74,317 | ||||||
Series 2020-5049, Class JZ, | ||||||||
2.000%, 11/25/2050 | 140,718 | 59,605 | ||||||
Series 2020-5049, Class WB, | ||||||||
0.750%, 12/25/2050 | 361,200 | 275,701 |
Principal Amount | Value (Note 2) | |||||||
Series 2020-5068, Class UB, | ||||||||
0.500%, 01/25/2051 | $ | 109,000 | $ | 57,723 | ||||
Series 2021-5080, Class CA, | ||||||||
2.000%, 02/25/2051 | 864,862 | 500,480 | ||||||
Series 2021-5083, Class MA, | ||||||||
2.000%, 03/25/2051 | 612,856 | 339,849 | ||||||
Series 2021-5085, Class HA, | ||||||||
1.500%, 03/25/2051 | 147,217 | 81,197 | ||||||
Series 2021-5092, Class BC, | ||||||||
2.500%, 06/25/2036 | 28,942 | 28,220 | ||||||
Series 2021-5103, Class LQ, | ||||||||
1.500%, 04/25/2050 | 199,875 | 104,326 | ||||||
Series 2021-5103, Class LM, | ||||||||
1.500%, 05/25/2041 | 119,098 | 66,008 | ||||||
Series 2021-5119, Class LM, | ||||||||
1.500%, 05/25/2041 | 202,779 | 108,947 | ||||||
Series 2021-5121, Class KE, | ||||||||
1.500%, 06/25/2051 | 301,427 | 152,418 | ||||||
Series 2021-5129, Class KC, | ||||||||
1.500%, 11/25/2049 | 149,986 | 130,602 | ||||||
Series 2021-5144, Class PC, | ||||||||
1.500%, 09/25/2051 | 384,730 | 321,388 | ||||||
Series 2021-5156, Class EC, | ||||||||
1.500%, 10/25/2051 | 434,992 | 201,598 | ||||||
Series 2021-5171, Class KY, | ||||||||
1.750%, 12/25/2051 | 172,000 | 84,528 | ||||||
Series 2021-5174, Class TQ, | ||||||||
2.000%, 08/25/2051 | 511,158 | 429,765 | ||||||
Series 2021-5178, Class LY, | ||||||||
1.500%, 12/25/2051 | 178,029 | 74,033 | ||||||
Series 2021-5182, Class M, | ||||||||
2.500%, 05/25/2049 | 352,928 | 308,968 | ||||||
Series 2022-5189, Class PG, | ||||||||
2.500%, 09/25/2051 | 97,205 | 86,741 | ||||||
Series 2022-5198, Class ZM, | ||||||||
3.000%, 02/25/2052 | 629,091 | 494,626 | ||||||
Series 2022-5200, Class WK, | ||||||||
2.500%, 03/25/2052 | 217,000 | 143,020 | ||||||
Series 2022-5201, Class CA, | ||||||||
2.500%, 07/25/2048 | 690,817 | 615,239 | ||||||
Series 2022-5207, Class CZ, | ||||||||
3.500%, 03/25/2052 | 368,993 | 249,202 | ||||||
Series 2022-5208, Class AL, | ||||||||
2.500%, 04/25/2042 | 1,386,302 | 1,038,208 | ||||||
Series 2022-5224, Class HL, | ||||||||
4.000%, 04/25/2052 | 1,700,000 | 1,554,831 | ||||||
Series 2022-5230, Class PE, | ||||||||
2.000%, 12/25/2051 | 600,000 | 476,739 |
Principal Amount | Value (Note 2) | |||||||
Series 2022-5234, Class PH, | ||||||||
3.500%, 04/25/2051 | $ | 838,003 | $ | 800,453 | ||||
63,017,918 | ||||||||
Freddie Mac Strips | ||||||||
Series 2013-299, Class 300, | ||||||||
3.000%, 01/15/2043 | 164,494 | 150,300 | ||||||
Series 2013-300, Class 300, | ||||||||
3.000%, 01/15/2043 | 130,918 | 118,849 | ||||||
269,149 | ||||||||
Freddie Mac Structured Pass-Through Certificates | ||||||||
Series 2001-32, Class A1, | ||||||||
1M US SOFR + 0.37%, 08/25/2031(a) | 76,454 | 77,582 | ||||||
Series 2002-41, Class 3A, | ||||||||
4.364%, 07/25/2032(a) | 1,978,424 | 1,889,937 | ||||||
Series 2003-55, Class 1A3A, | ||||||||
30D US SOFR + 0.51%, 03/25/2043(a) | 262,088 | 261,320 | ||||||
2,228,839 | ||||||||
Ginnie Mae | ||||||||
Series 2003-76, Class TG, | ||||||||
5.500%, 09/20/2033 | 138,990 | 138,276 | ||||||
Series 2003-98, Class FY, | ||||||||
1M US SOFR + 0.46%, 09/20/2033(a) | 14,118 | 14,105 | ||||||
Series 2004-1, Class TE, | ||||||||
5.000%, 06/20/2033 | 21,395 | 21,263 | ||||||
Series 2004-15, Class AY, | ||||||||
5.500%, 02/20/2034 | 150,059 | 151,147 | ||||||
Series 2004-22, Class AZ, | ||||||||
5.500%, 04/20/2034 | 168,480 | 170,346 | ||||||
Series 2004-26, Class ED, | ||||||||
5.500%, 04/16/2034 | 61,073 | 61,759 | ||||||
Series 2004-34, Class QL, | ||||||||
5.500%, 05/16/2034 | 135,625 | 136,774 | ||||||
Series 2004-55, Class MC, | ||||||||
5.500%, 07/20/2034 | 37,699 | 38,086 | ||||||
Series 2004-7, Class Z, | ||||||||
5.500%, 01/16/2034 | 1,498,313 | 1,495,885 | ||||||
Series 2004-87, Class BC, | ||||||||
4.500%, 10/20/2034 | 11,976 | 11,847 | ||||||
Series 2005-11, Class PL, | ||||||||
5.000%, 02/20/2035 | 29,001 | 29,074 | ||||||
Series 2005-13, Class NB, | ||||||||
5.000%, 02/20/2035 | 10,565 | 10,581 | ||||||
Series 2005-13, Class BG, | ||||||||
5.000%, 02/20/2035 | 165,169 | 165,398 | ||||||
Series 2005-3, Class QB, | ||||||||
5.000%, 01/16/2035 | 55,323 | 55,317 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-3, Class OC, | ||||||||
5.000%, 01/20/2035 | $ | 153,539 | $ | 153,402 | ||||
Series 2005-3, Class JM, | ||||||||
4.750%, 01/20/2035 | 46,718 | 46,120 | ||||||
Series 2005-3, Class JL, | ||||||||
5.000%, 12/16/2034 | 68,379 | 68,465 | ||||||
Series 2005-44, Class GZ, | ||||||||
5.000%, 07/20/2035 | 105,088 | 104,331 | ||||||
Series 2005-45, Class BF, | ||||||||
1M US SOFR + 0.41%, 06/20/2035(a) | 32,209 | 31,810 | ||||||
Series 2005-49, Class B, | ||||||||
5.500%, 06/20/2035 | 71,275 | 72,335 | ||||||
Series 2005-51, Class DC, | ||||||||
5.000%, 07/20/2035 | 109,481 | 110,270 | ||||||
Series 2005-56, Class BD, | ||||||||
5.000%, 07/20/2035 | 37,596 | 37,868 | ||||||
Series 2005-56, Class JA, | ||||||||
5.000%, 05/17/2035 | 11,691 | 11,673 | ||||||
Series 2005-69, Class WD, | ||||||||
5.000%, 05/18/2035 | 39,800 | 39,737 | ||||||
Series 2005-73, Class PH, | ||||||||
5.000%, 09/20/2035 | 104,673 | 103,885 | ||||||
Series 2005-92, Class PB, | ||||||||
6.000%, 12/20/2035 | 143,191 | 147,935 | ||||||
Series 2006-10, Class PB, | ||||||||
5.500%, 03/20/2036 | 237,435 | 241,537 | ||||||
Series 2006-38, Class OH, | ||||||||
6.500%, 08/20/2036 | 25,874 | 25,874 | ||||||
Series 2007-18, Class B, | ||||||||
5.500%, 05/20/2035 | 69,340 | 70,225 | ||||||
Series 2007-18, Class PH, | ||||||||
5.500%, 03/20/2035 | 137,000 | 140,045 | ||||||
Series 2007-35, Class TE, | ||||||||
6.000%, 06/20/2037 | 95,687 | 98,187 | ||||||
Series 2007-35, Class NE, | ||||||||
6.000%, 06/16/2037 | 43,871 | 45,128 | ||||||
Series 2007-40, Class FY, | ||||||||
1M US SOFR + 0.44%, 07/16/2037(a) | 31,058 | 30,781 | ||||||
Series 2007-44, Class PH, | ||||||||
6.000%, 07/20/2037 | 110,353 | 113,675 | ||||||
Series 2007-57, Class Z, | ||||||||
5.500%, 10/20/2037 | 829,359 | 856,463 | ||||||
Series 2007-6, Class LE, | ||||||||
5.500%, 02/20/2037 | 239,936 | 241,594 | ||||||
Series 2007-7, Class PG, | ||||||||
5.000%, 02/16/2037 | 23,152 | 23,439 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-79, Class FC, | ||||||||
1M US SOFR + 0.55%, 12/20/2037(a) | $ | 111,024 | $ | 110,844 | ||||
Series 2008-13, Class FB, | ||||||||
1M US SOFR + 0.61%, 02/20/2038(a) | 22,132 | 22,070 | ||||||
Series 2008-20, Class CE, | ||||||||
5.500%, 06/16/2037 | 206,639 | 210,108 | ||||||
Series 2008-31, Class PC, | ||||||||
5.500%, 04/20/2038 | 44,605 | 45,021 | ||||||
Series 2008-33, Class PB, | ||||||||
5.500%, 04/20/2038 | 128,426 | 129,607 | ||||||
Series 2008-37, Class L, | ||||||||
6.000%, 04/20/2038 | 36,804 | 37,461 | ||||||
Series 2008-38, Class PN, | ||||||||
5.500%, 05/20/2038 | 37,968 | 38,634 | ||||||
Series 2008-38, Class PL, | ||||||||
5.500%, 05/20/2038 | 197,420 | 200,885 | ||||||
Series 2008-38, Class BG, | ||||||||
5.000%, 05/16/2038 | 73,175 | 73,607 | ||||||
Series 2008-40, Class PL, | ||||||||
5.250%, 05/16/2038 | 118,000 | 120,764 | ||||||
Series 2008-41, Class PE, | ||||||||
5.500%, 05/20/2038 | 64,319 | 65,609 | ||||||
Series 2008-43, Class NB, | ||||||||
5.500%, 05/20/2038 | 126,297 | 127,035 | ||||||
Series 2008-47, Class ML, | ||||||||
5.250%, 06/16/2038 | 24,781 | 24,996 | ||||||
Series 2008-49, Class PB, | ||||||||
4.750%, 06/20/2038 | 26,387 | 26,121 | ||||||
Series 2008-50, Class KB, | ||||||||
6.000%, 06/20/2038 | 207,727 | 214,986 | ||||||
Series 2008-51, Class PH, | ||||||||
5.250%, 06/20/2038 | 38,479 | 38,294 | ||||||
Series 2008-51, Class FG, | ||||||||
1M US SOFR + 0.88%, 06/16/2038(a) | 73,135 | 73,485 | ||||||
Series 2008-55, Class PL, | ||||||||
5.500%, 06/20/2038 | 28,973 | 29,117 | ||||||
Series 2008-58, Class PE, | ||||||||
5.500%, 07/16/2038 | 76,169 | 77,962 | ||||||
Series 2008-60, Class JP, | ||||||||
5.500%, 07/20/2038 | 219,048 | 219,449 | ||||||
Series 2008-60, Class JN, | ||||||||
5.500%, 07/20/2038 | 109,828 | 110,501 | ||||||
Series 2008-65, Class PG, | ||||||||
6.000%, 08/20/2038 | 197,910 | 199,464 | ||||||
Series 2008-66, Class FN, | ||||||||
1M US SOFR + 1.06%, 08/20/2038(a) | 74,870 | 75,438 |
Principal Amount | Value (Note 2) | |||||||
Series 2008-7, Class PQ, | ||||||||
5.000%, 02/20/2038 | $ | 86,718 | $ | 86,138 | ||||
Series 2008-76, Class QE, | ||||||||
5.750%, 09/20/2038 | 58,000 | 58,651 | ||||||
Series 2008-77, Class FC, | ||||||||
1M US SOFR + 0.81%, 09/20/2038(a) | 54,600 | 54,592 | ||||||
Series 2008-85, Class PG, | ||||||||
5.250%, 10/20/2038 | 30,905 | 30,802 | ||||||
Series 2008-89, Class JD, | ||||||||
6.000%, 08/20/2038 | 42,876 | 42,651 | ||||||
Series 2008-89, Class JC, | ||||||||
5.500%, 08/20/2038 | 36,913 | 36,682 | ||||||
Series 2008-9, Class FA, | ||||||||
1M US SOFR + 0.61%, 02/20/2038(a) | 15,189 | 15,168 | ||||||
Series 2009-1, Class FA, | ||||||||
1M US SOFR + 1.16%, 01/20/2039(a) | 63,798 | 64,501 | ||||||
Series 2009-10, Class PH, | ||||||||
4.500%, 02/20/2039 | 26,960 | 26,633 | ||||||
Series 2009-10, Class NB, | ||||||||
5.000%, 02/16/2039 | 70,693 | 71,055 | ||||||
Series 2009-118, Class PY, | ||||||||
5.000%, 12/16/2039 | 17,887 | 17,924 | ||||||
Series 2009-12, Class NB, | ||||||||
5.000%, 03/20/2039 | 49,689 | 49,471 | ||||||
Series 2009-13, Class E, | ||||||||
4.500%, 03/16/2039 | 88,362 | 87,213 | ||||||
Series 2009-15, Class FM, | ||||||||
1M US SOFR + 1.15%, 03/20/2039(a) | 60,732 | 61,084 | ||||||
Series 2009-24, Class WB, | ||||||||
5.000%, 03/20/2039 | 202,838 | 202,027 | ||||||
Series 2009-32, Class ZA, | ||||||||
5.500%, 05/20/2039 | 323,465 | 331,537 | ||||||
Series 2009-40, Class AD, | ||||||||
4.500%, 06/20/2039 | 309,000 | 299,739 | ||||||
Series 2009-47, Class LT, | ||||||||
5.000%, 06/20/2039 | 105,255 | 105,273 | ||||||
Series 2009-55, Class FN, | ||||||||
1M US SOFR + 1.11%, 07/20/2039(a) | 22,109 | 22,320 | ||||||
Series 2009-58, Class PA, | ||||||||
4.500%, 07/20/2039 | 70,876 | 69,098 | ||||||
Series 2009-61, Class AP, | ||||||||
4.000%, 08/20/2039 | 34,049 | 33,236 | ||||||
Series 2009-61, Class MP, | ||||||||
5.000%, 08/20/2039 | 30,987 | 31,151 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-69, Class PH, | ||||||||
5.500%, 08/16/2039 | $ | 92,000 | $ | 93,029 | ||||
Series 2009-75, Class GZ, | ||||||||
4.500%, 09/20/2039 | 87,352 | 86,820 | ||||||
Series 2009-76, Class XA, | ||||||||
5.500%, 09/16/2039 | 425,664 | 436,464 | ||||||
Series 2009-76, Class JB, | ||||||||
4.500%, 07/20/2039 | 19,559 | 19,457 | ||||||
Series 2009-77, Class KJ, | ||||||||
5.000%, 09/20/2039 | 103,961 | 103,903 | ||||||
Series 2009-83, Class TF, | ||||||||
1M US SOFR + 1.01%, 08/20/2039(a) | 36,800 | 37,101 | ||||||
Series 2009-94, Class FA, | ||||||||
1M US SOFR + 0.81%, 10/16/2039(a) | 69,072 | 69,225 | ||||||
Series 2010-103, Class WA, | ||||||||
5.675%, 08/20/2034(a) | 221,755 | 227,101 | ||||||
Series 2010-105, Class BH, | ||||||||
3.000%, 01/16/2040 | 67,938 | 64,679 | ||||||
Series 2010-111, Class FA, | ||||||||
1M US SOFR + 0.46%, 09/20/2040(a) | 41,898 | 41,398 | ||||||
Series 2010-134, Class YL, | ||||||||
4.500%, 10/20/2040 | 101,000 | 97,312 | ||||||
Series 2010-14, Class A, | ||||||||
4.500%, 06/16/2039 | 7,940 | 7,899 | ||||||
Series 2010-14, Class HA, | ||||||||
4.500%, 02/16/2040 | 119,911 | 119,722 | ||||||
Series 2010-147, Class PG, | ||||||||
3.500%, 05/20/2040 | 46,172 | 45,156 | ||||||
Series 2010-157, Class OP, | ||||||||
–%, 12/20/2040(b) | 8,790 | 7,401 | ||||||
Series 2010-167, Class WL, | ||||||||
4.500%, 09/20/2040 | 764,000 | 749,000 | ||||||
Series 2010-169, Class JZ, | ||||||||
4.000%, 12/20/2040 | 197,823 | 188,465 | ||||||
Series 2010-19, Class GW, | ||||||||
4.750%, 02/20/2040 | 108,305 | 100,461 | ||||||
Series 2010-62, Class AF, | ||||||||
1M US SOFR + 0.56%, 04/16/2034(a) | 14,975 | 14,970 | ||||||
Series 2010-76, Class NC, | ||||||||
4.500%, 06/20/2040 | 113,194 | 109,113 | ||||||
Series 2010-84, Class YB, | ||||||||
4.000%, 07/20/2040 | 19,566 | 18,824 | ||||||
Series 2010-H01, Class FA, | ||||||||
1M US SOFR + 0.93%, 01/20/2060(a) | 16,903 | 16,913 |
Principal Amount | Value (Note 2) | |||||||
Series 2010-H10, Class FC, | ||||||||
1M US SOFR + 1.11%, 05/20/2060(a) | $ | 94,695 | $ | 94,937 | ||||
Series 2010-H20, Class AF, | ||||||||
1M US SOFR + 0.44%, 10/20/2060(a) | 108,418 | 107,846 | ||||||
Series 2010-H22, Class FE, | ||||||||
1M US SOFR + 0.46%, 05/20/2059(a) | 1,307 | 1,300 | ||||||
Series 2010-H27, Class FA, | ||||||||
1M US SOFR + 0.49%, 12/20/2060(a) | 35,512 | 35,340 | ||||||
Series 2011-100, Class MY, | ||||||||
4.000%, 07/20/2041 | 185,567 | 180,362 | ||||||
Series 2011-128, Class MD, | ||||||||
4.000%, 10/20/2040 | 114,550 | 112,517 | ||||||
Series 2011-137, Class WA, | ||||||||
5.596%, 07/20/2040(a) | 195,772 | 201,259 | ||||||
Series 2011-18, Class PA, | ||||||||
4.000%, 08/20/2040 | 20,949 | 20,683 | ||||||
Series 2011-59, Class QC, | ||||||||
4.000%, 12/20/2040 | 201,246 | 196,583 | ||||||
Series 2011-66, Class UA, | ||||||||
4.000%, 05/16/2041 | 148,383 | 138,203 | ||||||
Series 2011-71, Class ZC, | ||||||||
5.500%, 07/16/2034 | 170,215 | 171,936 | ||||||
Series 2011-97, Class WA, | ||||||||
6.108%, 11/20/2038(a) | 31,082 | 32,130 | ||||||
Series 2011-H01, Class AF, | ||||||||
1M US SOFR + 0.56%, 11/20/2060(a) | 95,818 | 95,519 | ||||||
Series 2011-H11, Class FA, | ||||||||
1M US SOFR + 0.61%, 03/20/2061(a) | 115,311 | 114,956 | ||||||
Series 2011-H11, Class FB, | ||||||||
1M US SOFR + 0.61%, 04/20/2061(a) | 50,479 | 50,316 | ||||||
Series 2011-H15, Class FA, | ||||||||
1M US SOFR + 0.56%, 06/20/2061(a) | 24,546 | 24,435 | ||||||
Series 2012-108, Class CB, | ||||||||
2.500%, 09/20/2042 | 149,000 | 120,558 | ||||||
Series 2012-116, Class BY, | ||||||||
3.000%, 09/16/2042 | 267,000 | 216,343 | ||||||
Series 2012-127, Class PG, | ||||||||
1.750%, 09/16/2042 | 138,627 | 124,490 | ||||||
Series 2012-32, Class PE, | ||||||||
3.500%, 03/16/2042 | 117,000 | 106,014 | ||||||
Series 2012-38, Class PL, | ||||||||
3.250%, 01/20/2041 | 33,656 | 32,926 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-39, Class GA, | ||||||||
3.000%, 10/16/2040 | $ | 25,170 | $ | 24,104 | ||||
Series 2012-51, Class VM, | ||||||||
3.500%, 04/16/2025 | 34,970 | 34,361 | ||||||
Series 2012-56, Class HZ, | ||||||||
3.500%, 06/20/2040 | 1,306,885 | 1,173,280 | ||||||
Series 2012-68, Class GE, | ||||||||
3.000%, 05/20/2042 | 4,247 | 3,407 | ||||||
Series 2012-76, Class GF, | ||||||||
1M US SOFR + 0.41%, 06/16/2042(a) | 22,315 | 22,112 | ||||||
Series 2012-84, Class TB, | ||||||||
2.500%, 07/20/2042 | 390,245 | 323,089 | ||||||
Series 2012-H08, Class FC, | ||||||||
1M US SOFR + 0.68%, 04/20/2062(a) | 236,504 | 235,823 | ||||||
Series 2012-H14, Class FK, | ||||||||
1M US SOFR + 0.69%, 07/20/2062(a) | 105,782 | 105,377 | ||||||
Series 2012-H20, Class PT, | ||||||||
6.226%, 07/20/2062(a) | 28,384 | 28,293 | ||||||
Series 2012-H24, Class FE, | ||||||||
1M US SOFR + 0.71%, 10/20/2062(a) | 1,459 | 1,442 | ||||||
Series 2013-100, Class MA, | ||||||||
3.500%, 02/20/2043 | 32,973 | 31,965 | ||||||
Series 2013-115, Class PM, | ||||||||
4.000%, 08/20/2043 | 400,000 | 374,588 | ||||||
Series 2013-169, Class EZ, | ||||||||
3.250%, 11/16/2043 | 111,274 | 97,694 | ||||||
Series 2013-22, Class GB, | ||||||||
2.500%, 08/20/2042 | 115,781 | 105,264 | ||||||
Series 2013-41, Class MY, | ||||||||
3.000%, 03/20/2043 | 275,000 | 247,394 | ||||||
Series 2013-54, Class WA, | ||||||||
4.906%, 11/20/2042(a) | 384,018 | 381,322 | ||||||
Series 2013-6, Class BE, | ||||||||
3.000%, 01/20/2043 | 104,000 | 79,404 | ||||||
Series 2013-69, Class NA, | ||||||||
2.000%, 09/20/2042 | 170,964 | 150,004 | ||||||
Series 2013-70, Class LA, | ||||||||
1.000%, 05/20/2043 | 105,244 | 87,039 | ||||||
Series 2013-93, Class CA, | ||||||||
6.000%, 06/20/2043 | 1,004,782 | 1,042,969 | ||||||
Series 2013-98, Class KF, | ||||||||
1M US SOFR + 0.41%, 11/20/2041(a) | 8,181 | 8,142 | ||||||
Series 2013-99, Class MF, | ||||||||
1M US SOFR + 0.41%, 07/20/2043(a) | 60,190 | 58,780 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-H01, Class FA, | ||||||||
1.650%, 01/20/2063 | $ | 85 | $ | 77 | ||||
Series 2013-H04, Class BA, | ||||||||
1.650%, 02/20/2063 | 1,585 | 1,446 | ||||||
Series 2013-H07, Class GA, | ||||||||
1M US SOFR + 0.58%, 03/20/2063(a) | 53,102 | 52,807 | ||||||
Series 2013-H09, Class HA, | ||||||||
1.650%, 04/20/2063 | 5,107 | 4,787 | ||||||
Series 2013-H18, Class EA, | ||||||||
1M US SOFR + 0.61%, 07/20/2063(a) | 16,278 | 16,239 | ||||||
Series 2014-118, Class ZP, | ||||||||
4.000%, 08/20/2044 | 479,791 | 452,548 | ||||||
Series 2014-119, Class ZK, | ||||||||
3.500%, 08/16/2044 | 1,111,766 | 1,009,947 | ||||||
Series 2014-32, Class DA, | ||||||||
3.500%, 02/20/2044 | 101,590 | 88,073 | ||||||
Series 2014-53, Class JM, | ||||||||
6.982%, 04/20/2039(a) | 155,184 | 161,745 | ||||||
Series 2014-98, Class HE, | ||||||||
3.000%, 07/20/2044 | 53,984 | 44,107 | ||||||
Series 2014-98, Class ZP, | ||||||||
3.000%, 07/16/2044 | 238,734 | 185,562 | ||||||
Series 2014-H10, Class TA, | ||||||||
1M US SOFR + 0.71%, 04/20/2064(a) | 301,585 | 300,763 | ||||||
Series 2014-H15, Class FA, | ||||||||
1M US SOFR + 0.61%, 07/20/2064(a) | 19,431 | 19,349 | ||||||
Series 2014-H16, Class FL, | ||||||||
1M US SOFR + 0.58%, 07/20/2064(a) | 338,569 | 335,227 | ||||||
Series 2014-H19, Class HA, | ||||||||
3.000%, 09/20/2064 | 123,398 | 121,297 | ||||||
Series 2015-100, Class PD, | ||||||||
3.000%, 07/20/2045 | 205,398 | 188,381 | ||||||
Series 2015-190, Class LE, | ||||||||
3.500%, 06/20/2045 | 7,591 | 7,456 | ||||||
Series 2015-56, Class LB, | ||||||||
1.500%, 04/16/2040 | 487 | 486 | ||||||
Series 2015-63, Class KA, | ||||||||
3.000%, 04/20/2040 | 33,494 | 27,695 | ||||||
Series 2015-84, Class QA, | ||||||||
3.500%, 06/20/2045 | 228,544 | 207,865 | ||||||
Series 2015-91, Class QA, | ||||||||
2.941%, 05/20/2045(a) | 1,427,713 | 1,223,961 | ||||||
Series 2015-H09, Class FA, | ||||||||
1M US SOFR + 0.73%, 04/20/2065(a) | 232,298 | 230,399 |
Principal Amount | Value (Note 2) | |||||||
Series 2015-H12, Class FB, | ||||||||
1M US SOFR + 0.71%, 05/20/2065(a) | $ | 61,643 | $ | 61,203 | ||||
Series 2015-H15, Class FC, | ||||||||
1M US SOFR + 0.69%, 06/20/2065(a) | 99,213 | 98,357 | ||||||
Series 2015-H22, Class FC, | ||||||||
1M US SOFR + 0.71%, 09/20/2065(a) | 39,647 | 39,318 | ||||||
Series 2015-H26, Class FA, | ||||||||
1M US SOFR + 0.63%, 10/20/2065(a) | 46,788 | 46,616 | ||||||
Series 2015-H26, Class FG, | ||||||||
1M US SOFR + 0.63%, 10/20/2065(a) | 220,077 | 218,067 | ||||||
Series 2015-H27, Class FA, | ||||||||
1M US SOFR + 0.86%, 09/20/2065(a) | 2,012,037 | 2,001,835 | ||||||
Series 2015-H29, Class FA, | ||||||||
1M US SOFR + 0.81%, 10/20/2065(a) | 2,011 | 1,998 | ||||||
Series 2015-H30, Class FE, | ||||||||
1M US SOFR + 0.71%, 11/20/2065(a) | 45,757 | 45,647 | ||||||
Series 2015-H31, Class FT, | ||||||||
1M US SOFR + 0.76%, 11/20/2065(a) | 18,803 | 18,760 | ||||||
Series 2015-H32, Class FH, | ||||||||
1M US SOFR + 0.77%, 12/20/2065(a) | 152,562 | 152,331 | ||||||
Series 2016-116, Class GV, | ||||||||
3.000%, 05/20/2026 | 26,349 | 25,490 | ||||||
Series 2016-120, Class KA, | ||||||||
2.000%, 09/20/2046 | 4,738 | 4,010 | ||||||
Series 2016-136, Class PJ, | ||||||||
3.500%, 01/20/2046 | 191,798 | 165,753 | ||||||
Series 2016-136, Class MY, | ||||||||
2.500%, 10/20/2046 | 100,000 | 65,251 | ||||||
Series 2016-163, Class B, | ||||||||
3.000%, 10/20/2046 | 119,000 | 90,690 | ||||||
Series 2016-19, Class AC, | ||||||||
3.000%, 02/20/2046 | 259,000 | 214,789 | ||||||
Series 2016-46, Class Z, | ||||||||
3.000%, 04/20/2046 | 122,354 | 90,690 | ||||||
Series 2016-82, Class BA, | ||||||||
3.000%, 09/20/2045 | 39,857 | 38,499 | ||||||
Series 2016-H06, Class FC, | ||||||||
1M US SOFR + 1.03%, 02/20/2066(a) | 118,275 | 117,931 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-H08, Class FT, | ||||||||
1M US SOFR + 0.83%, 02/20/2066(a) | $ | 76,473 | $ | 76,298 | ||||
Series 2016-H11, Class F, | ||||||||
1M US SOFR + 0.91%, 05/20/2066(a) | 3,261,158 | 3,243,650 | ||||||
Series 2016-H13, Class FT, | ||||||||
1M US SOFR + 0.69%, 05/20/2066(a) | 9,105 | 9,089 | ||||||
Series 2016-H14, Class FA, | ||||||||
1M US SOFR + 0.91%, 06/20/2066(a) | 522,145 | 519,899 | ||||||
Series 2016-H15, Class FA, | ||||||||
1M US SOFR + 0.91%, 07/20/2066(a) | 1,470,627 | 1,464,651 | ||||||
Series 2016-H17, Class HA, | ||||||||
2.250%, 03/20/2066 | 176,713 | 170,969 | ||||||
Series 2016-H17, Class FC, | ||||||||
1M US SOFR + 0.94%, 08/20/2066(a) | 187,892 | 187,056 | ||||||
Series 2016-H17, Class FK, | ||||||||
1M US SOFR + 0.96%, 07/20/2066(a) | 57,033 | 56,782 | ||||||
Series 2016-H20, Class PT, | ||||||||
6.452%, 09/20/2066(a) | 470,001 | 482,049 | ||||||
Series 2016-H23, Class F, | ||||||||
1M US SOFR + 0.86%, 10/20/2066(a) | 159,607 | 159,689 | ||||||
Series 2016-H23, Class PT, | ||||||||
6.143%, 09/20/2066(a) | 618,721 | 631,583 | ||||||
Series 2016-H24, Class FG, | ||||||||
1M US SOFR + 0.86%, 10/20/2066(a) | 486,422 | 483,660 | ||||||
Series 2016-H26, Class FC, | ||||||||
1M US SOFR + 1.11%, 12/20/2066(a) | 100,006 | 99,812 | ||||||
Series 2017-150, Class JE, | ||||||||
3.000%, 07/20/2047 | 57,390 | 53,293 | ||||||
Series 2017-170, Class MC, | ||||||||
2.500%, 10/20/2047 | 53,208 | 47,421 | ||||||
Series 2017-36, Class MJ, | ||||||||
3.000%, 03/20/2047 | 34,464 | 30,141 | ||||||
Series 2017-56, Class AZ, | ||||||||
3.000%, 04/20/2047 | 116,947 | 96,504 | ||||||
Series 2017-73, Class JT, | ||||||||
2.750%, 09/20/2046 | 439 | 437 | ||||||
Series 2017-80, Class LO, | ||||||||
–%, 05/20/2047(b) | 116,093 | 86,208 | ||||||
Series 2017-80, Class BJ, | ||||||||
3.000%, 03/20/2047 | 86,961 | 79,334 |
Principal Amount | Value (Note 2) | |||||||
Series 2017-H06, Class FE, | ||||||||
1M US SOFR + 0.66%, 02/20/2067(a) | $ | 67,277 | $ | 67,061 | ||||
Series 2017-H14, Class FD, | ||||||||
1M US SOFR + 0.58%, 06/20/2067(a) | 95,558 | 94,497 | ||||||
Series 2017-H15, Class FC, | ||||||||
1M US SOFR + 0.58%, 06/20/2067(a) | 195,339 | 194,515 | ||||||
Series 2017-H16, Class PT, | ||||||||
4.836%, 05/20/2066(a) | 15,555 | 15,476 | ||||||
Series 2017-H17, Class FG, | ||||||||
1M US SOFR + 0.61%, 08/20/2067(a) | 21,101 | 21,020 | ||||||
Series 2017-H22, Class FH, | ||||||||
1Y US SOFR + 0.94%, 11/20/2067(a) | 242,193 | 241,655 | ||||||
Series 2018-131, Class QA, | ||||||||
3.000%, 12/20/2047 | 257,382 | 235,689 | ||||||
Series 2018-160, Class AD, | ||||||||
3.500%, 02/20/2048 | 228,606 | 214,445 | ||||||
Series 2018-36, Class CZ, | ||||||||
4.000%, 03/20/2048 | 280,506 | 248,574 | ||||||
Series 2018-37, Class C, | ||||||||
2.500%, 01/20/2046 | 142,843 | 132,002 | ||||||
Series 2018-H07, Class FD, | ||||||||
1M US SOFR + 0.41%, 05/20/2068(a) | 111,583 | 111,397 | ||||||
Series 2018-H09, Class FA, | ||||||||
1Y US SOFR + 1.22%, 04/20/2068(a) | 413,776 | 409,652 | ||||||
Series 2019-1, Class EY, | ||||||||
4.000%, 10/20/2048 | 1,066,499 | 975,578 | ||||||
Series 2019-103, Class EK, | ||||||||
4.000%, 04/20/2049 | 2,921,162 | 2,729,287 | ||||||
Series 2019-111, Class TE, | ||||||||
2.000%, 09/20/2049 | 43,491 | 36,274 | ||||||
Series 2019-128, Class AL, | ||||||||
2.500%, 10/20/2049 | 300,000 | 211,369 | ||||||
Series 2019-15, Class A, | ||||||||
–%, 07/20/2048(a)(b) | 300,226 | 180,771 | ||||||
Series 2019-18, Class HD, | ||||||||
3.500%, 02/20/2049 | 165,000 | 146,887 | ||||||
Series 2019-36, Class PD, | ||||||||
3.000%, 02/20/2049 | 254,708 | 228,008 | ||||||
Series 2019-H01, Class FT, | ||||||||
1M US SOFR + 0.51%, 10/20/2068(a) | 63,084 | 62,912 | ||||||
Series 2019-H04, Class BA, | ||||||||
3.000%, 01/20/2069 | 99,411 | 96,924 |
Principal Amount | Value (Note 2) | |||||||
Series 2019-H05, Class FT, | ||||||||
1Y US TI + 0.43%, 04/20/2069(a) | $ | 44,176 | $ | 44,164 | ||||
Series 2019-H08, Class FM, | ||||||||
1M US SOFR + 0.76%, 05/20/2069(a) | 1,817,039 | 1,776,834 | ||||||
Series 2020-122, Class GZ, | ||||||||
3.000%, 08/20/2050 | 259,224 | 165,100 | ||||||
Series 2020-125, Class GC, | ||||||||
2.500%, 08/20/2050 | 21,503 | 18,095 | ||||||
Series 2020-125, Class GA, | ||||||||
2.500%, 03/20/2050 | 338,803 | 293,595 | ||||||
Series 2020-127, Class LZ, | ||||||||
1.500%, 08/20/2050 | 563,115 | 237,738 | ||||||
Series 2020-134, Class ZU, | ||||||||
3.000%, 09/20/2050 | 112,116 | 66,973 | ||||||
Series 2020-148, Class ZP, | ||||||||
2.000%, 10/20/2050 | 227,293 | 95,404 | ||||||
Series 2020-149, Class LU, | ||||||||
1.000%, 10/20/2050 | 199,997 | 90,813 | ||||||
Series 2020-153, Class MP, | ||||||||
2.500%, 10/20/2050 | 315,553 | 271,763 | ||||||
Series 2020-153, Class ML, | ||||||||
2.500%, 10/20/2050 | 296,863 | 249,646 | ||||||
Series 2020-187, Class KZ, | ||||||||
2.000%, 12/20/2050 | 164,851 | 64,713 | ||||||
Series 2020-32, Class UM, | ||||||||
2.500%, 03/20/2050 | 1,232,765 | 1,067,703 | ||||||
Series 2020-5, Class LC, | ||||||||
3.500%, 10/20/2049 | 131,395 | 122,530 | ||||||
Series 2020-61, Class AB, | ||||||||
3.000%, 05/20/2048 | 55,343 | 54,003 | ||||||
Series 2020-62, Class PD, | ||||||||
3.000%, 05/20/2050 | 454,325 | 398,969 | ||||||
Series 2020-62, Class WD, | ||||||||
0.473%, 05/20/2050(a) | 488,945 | 280,838 | ||||||
Series 2020-83, Class ML, | ||||||||
3.000%, 06/20/2050 | 133,409 | 120,374 | ||||||
Series 2020-98, Class CE, | ||||||||
3.000%, 07/20/2050 | 1,220,119 | 1,084,501 | ||||||
Series 2020-H01, Class FT, | ||||||||
1Y US TI + 0.50%, 01/20/2070(a) | 40,636 | 40,452 | ||||||
Series 2020-H02, Class DA, | ||||||||
2.250%, 12/20/2069 | 122,763 | 118,747 | ||||||
Series 2020-H04, Class FP, | ||||||||
1M US SOFR + 0.61%, 06/20/2069(a) | 216,057 | 214,871 |
Principal Amount | Value (Note 2) | |||||||
Series 2020-H12, Class FE, | ||||||||
1M US SOFR + 1.21%, 06/20/2070(a) | $ | 963,402 | $ | 973,764 | ||||
Series 2020-H13, Class FA, | ||||||||
1M US SOFR + 0.56%, 07/20/2070(a) | 186,310 | 180,750 | ||||||
Series 2021-104, Class AL, | ||||||||
1.500%, 06/20/2051 | 120,000 | 56,338 | ||||||
Series 2021-116, Class WZ, | ||||||||
2.000%, 07/20/2051 | 376,211 | 224,948 | ||||||
Series 2021-116, Class LZ, | ||||||||
2.500%, 07/20/2051 | 334,590 | 207,503 | ||||||
Series 2021-142, Class PZ, | ||||||||
0.750%, 08/20/2051 | 305,485 | 166,606 | ||||||
Series 2021-146, Class PO, | ||||||||
–%, 07/20/2051(b) | 338,715 | 115,757 | ||||||
Series 2021-146, Class DE, | ||||||||
1.750%, 08/20/2051 | 405,953 | 357,068 | ||||||
Series 2021-158, Class GK, | ||||||||
2.000%, 09/20/2051 | 150,493 | 97,561 | ||||||
Series 2021-205, Class NK, | ||||||||
1.500%, 11/20/2051 | 215,000 | 156,824 | ||||||
Series 2021-25, Class HA, | ||||||||
2.000%, 02/20/2051 | 781,315 | 645,160 | ||||||
Series 2021-8, Class KZ, | ||||||||
2.000%, 01/20/2051 | 155,020 | 60,522 | ||||||
Series 2021-8, Class AQ, | ||||||||
5.000%, 01/20/2051 | 145,399 | 147,748 | ||||||
Series 2021-H01, Class FA, | ||||||||
1M US SOFR + 1.36%, 11/20/2070(a) | 2,836,345 | 2,847,968 | ||||||
Series 2021-H12, Class GA, | ||||||||
4.588%, 07/20/2071(a) | 171,958 | 169,993 | ||||||
Series 2022-100, Class EB, | ||||||||
3.000%, 06/20/2052 | 1,729,475 | 1,351,625 | ||||||
Series 2022-104, Class KY, | ||||||||
4.500%, 06/20/2052 | 383,627 | 333,664 | ||||||
Series 2022-112, Class BM, | ||||||||
3.000%, 06/20/2052 | 344,718 | 250,558 | ||||||
Series 2022-126, Class BY, | ||||||||
3.000%, 07/20/2052 | 960,094 | 626,777 | ||||||
Series 2022-127, Class WC, | ||||||||
3.500%, 07/20/2052 | 329,622 | 224,892 | ||||||
Series 2022-127, Class UL, | ||||||||
2.000%, 07/20/2052 | 309,557 | 157,589 | ||||||
Series 2022-137, Class PL, | ||||||||
4.000%, 08/20/2052 | 288,633 | 230,149 | ||||||
Series 2022-20, Class KZ, | ||||||||
2.500%, 01/20/2052 | 109,327 | 47,643 |
Principal Amount | Value (Note 2) | |||||||
Series 2022-212, Class DZ, | ||||||||
5.500%, 12/20/2052 | $ | 2,617,928 | $ | 2,675,201 | ||||
Series 2022-44, Class KZ, | ||||||||
4.500%, 03/20/2052 | 583,053 | 506,116 | ||||||
Series 2022-51, Class HZ, | ||||||||
3.000%, 03/20/2052 | 299,162 | 173,789 | ||||||
Series 2022-68, Class MD, | ||||||||
3.500%, 04/20/2052 | 223,000 | 167,324 | ||||||
Series 2022-76, Class PA, | ||||||||
4.000%, 04/20/2052 | 853,655 | 823,441 | ||||||
Series 2022-78, Class YX, | ||||||||
4.500%, 01/20/2051 | 870,905 | 863,061 | ||||||
Series 2022-H06, Class AB, | ||||||||
3.748%, 07/20/2067 | 249,534 | 245,387 | ||||||
Series 2023-150, Class JD, | ||||||||
6.000%, 10/20/2053 | 407,200 | 430,928 | ||||||
Series 2023-47, Class HZ, | ||||||||
5.500%, 03/20/2053 | 1,303,952 | 1,334,194 | ||||||
Series 2023-55, Class HB, | ||||||||
6.500%, 04/20/2053 | 3,822,002 | 4,006,272 | ||||||
Series 2023-55, Class EB, | ||||||||
6.000%, 04/20/2053 | 23,483,111 | 23,867,624 | ||||||
Series 2023-57, Class CV, | ||||||||
5.000%, 04/20/2034 | 2,051,560 | 2,065,318 | ||||||
Series 2023-59, Class GL, | ||||||||
6.000%, 04/20/2053 | 7,761,342 | 7,901,333 | ||||||
Series 2023-68, Class HB, | ||||||||
6.500%, 05/20/2053 | 10,712,834 | 11,377,241 | ||||||
114,588,392 | ||||||||
Vendee Mortgage Trust 2011-2 | ||||||||
Series 2011-2, Class DZ, | ||||||||
3.750%, 10/15/2041 | 936,309 | 871,880 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $288,828,512) | 281,989,952 |
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (2.19%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2001-M1, Class D, | ||||||||
6.460%, 02/25/2031(a) | 92,988 | 92,590 | ||||||
Series 2006-M2, Class A3F, | ||||||||
5.345%, 09/25/2031(a) | 216,206 | 216,420 | ||||||
Series 2013-M6, Class 1AC, | ||||||||
3.490%, 02/25/2043(a) | 10,176,537 | 9,674,201 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-M11, Class AL, | ||||||||
2.944%, 07/25/2039 | $ | 429,723 | $ | 390,420 | ||||
Series 2018-M12, Class A1, | ||||||||
3.546%, 08/25/2030 | 1,769,621 | 1,733,343 | ||||||
Series 2018-M15, Class 1A2, | ||||||||
3.700%, 01/25/2036 | 470,000 | 436,901 | ||||||
Series 2019-M10, Class A1, | ||||||||
2.000%, 04/25/2030 | 349,443 | 338,572 | ||||||
Series 2019-M14, Class A1, | ||||||||
2.304%, 06/25/2029 | 22,981 | 22,512 | ||||||
Series 2019-M24, Class 2XA, | ||||||||
1.270%, 03/25/2031(a)(c) | 4,218,123 | 234,859 | ||||||
Series 2020-M1, Class A2, | ||||||||
2.444%, 10/25/2029 | 300,000 | 270,967 | ||||||
Series 2020-M10, Class X1, | ||||||||
1.896%, 12/25/2030(a)(c) | 755,983 | 54,792 | ||||||
Series 2020-M10, Class X4, | ||||||||
0.987%, 07/25/2032(a)(c) | 46,770,480 | 2,043,500 | ||||||
Series 2020-M12, Class IO, | ||||||||
1.404%, 07/25/2029(a)(c) | 54,475,619 | 2,543,488 | ||||||
Series 2020-M13, Class X2, | ||||||||
1.332%, 09/25/2030(a)(c) | 7,325,761 | 333,277 | ||||||
Series 2022-M5, Class A1, | ||||||||
2.437%, 01/01/2034(a) | 291,541 | 265,416 | ||||||
Series 2022-M5, Class A3, | ||||||||
2.437%, 01/01/2034(a) | 1,495,000 | 1,234,328 | ||||||
Series 2022-M8, Class A2, | ||||||||
2.001%, 12/25/2031(a) | 100,000 | 82,976 | ||||||
19,968,562 | ||||||||
Freddie Mac Multiclass Certificates Series 2020-P003 | ||||||||
Series 2020-P003, Class A3, | ||||||||
1.956%, 09/25/2046 | 1,600,000 | 1,167,210 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series 2016-KS07, Class A1, | ||||||||
2.018%, 09/25/2025 | 1,727,115 | 1,682,122 | ||||||
Series 2016-KS07, Class X, | ||||||||
0.735%, 09/25/2025(a)(c) | 65,075,645 | 611,757 | ||||||
Series 2017-K153, Class X1, | ||||||||
0.404%, 10/25/2031(a)(c) | 100,146,148 | 1,373,785 | ||||||
Series 2017-Q006, Class A2, | ||||||||
4.059%, 04/25/2028(a) | 3,993,321 | 3,813,119 | ||||||
Series 2018-K154, Class X1, | ||||||||
0.431%, 11/25/2032(a)(c) | 135,794,504 | 2,493,106 | ||||||
Series 2018-K156, Class X1, | ||||||||
0.209%, 06/25/2033(a)(c) | 623,350,996 | 4,371,062 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-K158, Class X1, | ||||||||
0.217%, 10/25/2033(a)(c) | $ | 350,317,601 | $ | 2,859,853 | ||||
Series 2019-KLU2, Class X1, | ||||||||
1.086%, 08/25/2029(a)(c) | 85,812,051 | 3,396,432 | ||||||
Series 2020-Q013, Class APT2, | ||||||||
1.166%, 04/25/2027(a) | 3,358,055 | 3,051,046 | ||||||
Series 2021-1521, Class X1, | ||||||||
1.095%, 08/25/2036(a)(c) | 15,616,895 | 1,265,111 | ||||||
Series 2021-KLU3, Class X1, | ||||||||
2.076%, 01/25/2031(a)(c) | 175,710,643 | 16,608,714 | ||||||
41,526,107 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $67,069,560) | 62,661,879 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (14.69%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2003-386375, | ||||||||
4.790%, 08/01/2028 | 604,380 | 602,076 | ||||||
Series 2005-843080, | ||||||||
6.000%, 12/01/2034 | 110,191 | 110,468 | ||||||
Series 2006-, | ||||||||
6.000%, 02/01/2036 | 111,161 | 112,703 | ||||||
Series 2007-943003, | ||||||||
5.500%, 08/01/2047 | 76,261 | 76,391 | ||||||
Series 2009-, | ||||||||
4.500%, 06/01/2039 | 336,634 | 327,189 | ||||||
Series 2009-463331, | ||||||||
5.250%, 08/01/2029 | 484,397 | 494,434 | ||||||
Series 2009-930895, | ||||||||
4.500%, 03/01/2039 | 150,707 | 146,866 | ||||||
Series 2009-931707, | ||||||||
4.500%, 08/01/2039 | 98,438 | 95,404 | ||||||
Series 2009-958348, | ||||||||
5.440%, 04/01/2027 | 128,168 | 127,154 | ||||||
Series 2009-958878, | ||||||||
5.750%, 07/01/2027 | 1,271,593 | 1,268,935 | ||||||
Series 2010-, | ||||||||
3.500%, 10/01/2040 | 301,132 | 279,114 | ||||||
Series 2011-, | ||||||||
6.210%, 12/01/2029 | 218,864 | 228,144 | ||||||
Series 2011-468477, | ||||||||
4.590%, 08/01/2026 | 384,229 | 384,303 | ||||||
Series 2011-469013, | ||||||||
5.470%, 08/01/2026 | 975,250 | 996,594 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-AH9290, | ||||||||
4.000%, 04/01/2041 | $ | 30,055 | $ | 28,627 | ||||
Series 2012-, | ||||||||
3.000%, 12/01/2042 | 99,620 | 89,319 | ||||||
3.000%, 01/01/2043 | 122,994 | 111,175 | ||||||
3.040%, 12/01/2030 | 1,158,264 | 1,075,602 | ||||||
3.500%, 04/01/2042 | 55,147 | 50,821 | ||||||
Series 2012-470020, | ||||||||
4.200%, 01/01/2030 | 1,527,650 | 1,502,763 | ||||||
Series 2012-AM0279, | ||||||||
3.210%, 08/01/2027 | 281,479 | 268,880 | ||||||
Series 2012-AM1387, | ||||||||
3.260%, 11/01/2032 | 100,540 | 95,395 | ||||||
Series 2012-MA1214, | ||||||||
3.000%, 10/01/2042 | 587,817 | 529,966 | ||||||
Series 2013-, | ||||||||
3.000%, 01/01/2043 | 280,884 | 253,898 | ||||||
3.000%, 02/01/2043 | 354,685 | 318,017 | ||||||
3.000%, 04/01/2043 | 217,265 | 194,801 | ||||||
3.000%, 07/01/2043 | 243,804 | 218,599 | ||||||
3.000%, 08/01/2043 | 67,234 | 60,298 | ||||||
3.380%, 05/01/2028 | 253,672 | 244,757 | ||||||
4.370%, 07/01/2028 | 826,023 | 824,577 | ||||||
4.410%, 09/01/2028 | 84,138 | 84,170 | ||||||
Series 2013-AM4329, | ||||||||
3.870%, 10/01/2025 | 188,416 | 185,766 | ||||||
Series 2013-AM4781, | ||||||||
4.180%, 11/01/2028 | 1,170,839 | 1,160,995 | ||||||
Series 2013-AM4991, | ||||||||
3.970%, 12/01/2025 | 154,975 | 153,114 | ||||||
Series 2013-AR2289, | ||||||||
3.000%, 02/01/2033 | 190,475 | 179,940 | ||||||
Series 2013-AT9663, | ||||||||
2.500%, 07/01/2043 | 434,384 | 368,555 | ||||||
Series 2013-MA1586, | ||||||||
3.000%, 08/01/2043 | 175,882 | 158,985 | ||||||
Series 2014-, | ||||||||
3.000%, 06/01/2053 | 1,111,338 | 975,944 | ||||||
3.300%, 11/01/2026 | 255,068 | 247,777 | ||||||
3.730%, 07/01/2034 | 579,877 | 556,359 | ||||||
4.060%, 03/01/2030 | 451,006 | 443,026 | ||||||
Series 2014-AM4198, | ||||||||
3.550%, 03/01/2024 | 91,862 | 91,351 | ||||||
Series 2014-AM7274, | ||||||||
3.000%, 12/01/2024 | 6,300,000 | 6,162,916 | ||||||
Series 2015-, | ||||||||
3.100%, 09/01/2025 | 152,394 | 148,206 | ||||||
3.180%, 07/01/2035 | 664,363 | 588,469 | ||||||
3.390%, 07/01/2035 | 195,112 | 178,027 | ||||||
3.500%, 10/01/2045 | 1,585,322 | 1,466,311 | ||||||
3.600%, 02/01/2040 | 230,627 | 216,018 |
Principal Amount | Value (Note 2) | |||||||
3.610%, 08/01/2030 | $ | 300,000 | $ | 286,159 | ||||
4.000%, 01/01/2041 | 119,977 | 115,379 | ||||||
4.500%, 06/01/2045 | 136,856 | 135,115 | ||||||
Series 2015-AM8666, | ||||||||
2.960%, 06/01/2030 | 169,782 | 157,475 | ||||||
Series 2015-AM8918, | ||||||||
3.250%, 09/01/2030 | 731,000 | 681,699 | ||||||
Series 2015-AM9173, | ||||||||
3.110%, 06/01/2027 | 231,439 | 221,565 | ||||||
Series 2015-AM9288, | ||||||||
2.930%, 07/01/2025 | 5,510,425 | 5,346,897 | ||||||
Series 2016-, | ||||||||
3.159%, 07/01/2036(a) | 1,654,040 | 1,452,815 | ||||||
6.000%, 07/01/2039 | 108,473 | 111,426 | ||||||
Series 2016-AL8405, | ||||||||
4.500%, 05/01/2041 | 132,008 | 127,427 | ||||||
Series 2016-AN0665, | ||||||||
3.070%, 02/01/2026 | 189,461 | 184,096 | ||||||
Series 2016-AN0774, | ||||||||
3.210%, 01/01/2026 | 168,811 | 164,535 | ||||||
Series 2016-AN2228, | ||||||||
2.520%, 08/01/2026 | 181,946 | 172,789 | ||||||
Series 2016-AN3542, | ||||||||
3.410%, 11/01/2046 | 347,578 | 300,608 | ||||||
Series 2016-AN3749, | ||||||||
2.520%, 12/01/2026 | 441,158 | 417,669 | ||||||
Series 2016-BC0943, | ||||||||
3.500%, 05/01/2046 | 259,806 | 237,809 | ||||||
Series 2017-, | ||||||||
2.000%, 01/01/2032 | 109,527 | 100,415 | ||||||
2.880%, 09/01/2027 | 4,715,961 | 4,460,523 | ||||||
3.000%, 10/01/2027 | 1,249,011 | 1,188,049 | ||||||
3.010%, 07/01/2027 | 256,934 | 245,673 | ||||||
3.160%, 07/01/2027 | 146,669 | 140,604 | ||||||
3.170%, 01/01/2029 | 190,311 | 179,736 | ||||||
3.200%, 01/01/2029 | 144,769 | 137,783 | ||||||
3.210%, 11/01/2032 | 100,000 | 89,203 | ||||||
3.235%, 02/01/2032 | 136,404 | 126,181 | ||||||
3.350%, 01/01/2029 | 191,398 | 182,765 | ||||||
3.450%, 03/01/2029 | 300,640 | 288,849 | ||||||
3.500%, 06/01/2047 | 299,959 | 271,958 | ||||||
Series 2017-AN4431, | ||||||||
3.220%, 01/01/2027 | 85,000 | 82,063 | ||||||
Series 2017-AN4469, | ||||||||
3.640%, 01/01/2029 | 664,952 | 643,712 | ||||||
Series 2017-AN4529, | ||||||||
3.620%, 01/01/2027 | 798,156 | 779,506 | ||||||
Series 2017-AN4606, | ||||||||
3.510%, 02/01/2027 | 762,943 | 741,575 | ||||||
Series 2017-AN4833, | ||||||||
3.320%, 04/01/2027 | 95,000 | 91,812 |
Principal Amount | Value (Note 2) | |||||||
Series 2017-AN5279, | ||||||||
3.340%, 04/01/2029 | $ | 441,369 | $ | 418,464 | ||||
Series 2017-AN5742, | ||||||||
3.190%, 05/01/2030 | 133,398 | 124,877 | ||||||
Series 2017-AN5796, | ||||||||
3.030%, 06/01/2027 | 263,617 | 251,893 | ||||||
Series 2017-AN6304, | ||||||||
3.100%, 10/01/2027 | 275,000 | 262,796 | ||||||
Series 2017-AN6670, | ||||||||
3.210%, 09/01/2027 | 1,864,571 | 1,765,948 | ||||||
Series 2017-AN7060, | ||||||||
2.930%, 10/01/2027 | 1,780,000 | 1,676,663 | ||||||
Series 2017-AN7234, | ||||||||
3.010%, 12/01/2027 | 982,351 | 932,675 | ||||||
Series 2017-AN7384, | ||||||||
2.880%, 12/01/2027 | 47,269 | 44,820 | ||||||
Series 2017-AN7547, | ||||||||
3.370%, 11/01/2027 | 1,064,845 | 1,012,852 | ||||||
Series 2017-AN7823, | ||||||||
2.890%, 12/01/2027 | 235,000 | 222,690 | ||||||
Series 2017-CA0522, | ||||||||
3.000%, 10/01/2047 | 212,343 | 186,826 | ||||||
Series 2018-, | ||||||||
3.000%, 02/01/2033 | 45,232 | 42,634 | ||||||
3.000%, 04/01/2048 | 1,004,997 | 907,760 | ||||||
3.320%, 04/01/2028 | 550,000 | 525,303 | ||||||
3.430%, 03/01/2033 | 986,690 | 905,511 | ||||||
3.500%, 09/01/2028 | 130,000 | 125,341 | ||||||
3.500%, 05/01/2048 | 342,141 | 319,462 | ||||||
3.660%, 05/01/2033 | 700,000 | 645,906 | ||||||
3.740%, 07/01/2028 | 175,000 | 169,836 | ||||||
3.940%, 10/01/2036 | 321,267 | 299,366 | ||||||
4.010%, 12/01/2030 | 300,000 | 293,402 | ||||||
4.130%, 12/01/2030 | 2,000,000 | 1,959,051 | ||||||
4.500%, 09/01/2040 | 109,553 | 107,142 | ||||||
4.500%, 07/01/2041 | 257,668 | 249,545 | ||||||
4.500%, 08/01/2041 | 301,522 | 301,717 | ||||||
5.500%, 08/01/2048 | 507,899 | 516,070 | ||||||
6.000%, 08/01/2048 | 102,981 | 105,733 | ||||||
Series 2018-109435, | ||||||||
3.890%, 08/01/2028 | 1,839,985 | 1,797,430 | ||||||
Series 2018-387770, | ||||||||
3.625%, 07/01/2028 | 2,570,000 | 2,482,200 | ||||||
Series 2018-387853, | ||||||||
3.455%, 08/01/2025 | 225,000 | 219,754 | ||||||
Series 2018-387983, | ||||||||
3.630%, 08/01/2028 | 1,987,841 | 1,921,222 | ||||||
Series 2018-AN8272, | ||||||||
3.170%, 02/01/2028 | 100,000 | 95,072 | ||||||
Series 2018-AN8493, | ||||||||
3.300%, 02/01/2030 | 413,027 | 384,620 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-AN8982, | ||||||||
3.440%, 05/01/2028 | $ | 1,000,000 | $ | 960,001 | ||||
Series 2018-AN9038, | ||||||||
3.460%, 05/01/2028 | 135,000 | 129,656 | ||||||
Series 2018-AN924, | ||||||||
4.210%, 05/01/2033 | 525,135 | 519,485 | ||||||
Series 2018-AN9976, | ||||||||
3.960%, 02/01/2030 | 470,000 | 457,873 | ||||||
Series 2019-, | ||||||||
2.520%, 11/01/2029 | 141,489 | 128,507 | ||||||
2.820%, 10/01/2039 | 932,674 | 757,435 | ||||||
3.000%, 08/01/2049 | 71,344 | 64,540 | ||||||
3.490%, 03/01/2029 | 189,000 | 180,846 | ||||||
3.500%, 08/01/2048 | 124,120 | 114,511 | ||||||
3.710%, 04/01/2031 | 1,878,983 | 1,787,506 | ||||||
3.940%, 06/01/2035 | 2,600,000 | 2,413,639 | ||||||
4.000%, 07/01/2048 | 642,649 | 618,398 | ||||||
4.070%, 11/01/2026 | 131,420 | 128,757 | ||||||
4.500%, 08/01/2058 | 438,886 | 428,063 | ||||||
5.500%, 06/01/2049 | 180,561 | 185,610 | ||||||
6.000%, 05/01/2049 | 1,962,974 | 2,025,873 | ||||||
Series 2019-BI2928, | ||||||||
3.410%, 07/01/2027 | 801,350 | 775,442 | ||||||
Series 2019-BL1188, | ||||||||
3.480%, 02/01/2026 | 193,845 | 189,352 | ||||||
Series 2019-BL1300, | ||||||||
4.200%, 01/01/2029 | 1,375,000 | 1,361,245 | ||||||
Series 2019-BL1451, | ||||||||
3.760%, 02/01/2029 | 685,000 | 664,909 | ||||||
Series 2019-BL1567, | ||||||||
3.590%, 02/01/2029 | 2,775,000 | 2,655,796 | ||||||
Series 2019-BL1596, | ||||||||
3.480%, 03/01/2029 | 160,862 | 154,848 | ||||||
Series 2019-BL2356, | ||||||||
3.020%, 05/01/2026 | 165,000 | 159,016 | ||||||
Series 2019-BL2460, | ||||||||
3.400%, 05/01/2029 | 565,077 | 539,169 | ||||||
Series 2019-BL3182, | ||||||||
2.980%, 07/01/2029 | 244,112 | 227,463 | ||||||
Series 2019-BM6011, | ||||||||
3.284%, 11/01/2026(a) | 58,007 | 56,456 | ||||||
Series 2019-BM6152, | ||||||||
3.500%, 06/01/2044 | 1,004,654 | 935,590 | ||||||
Series 2019-MA3784, | ||||||||
3.500%, 09/01/2049 | 2,395,670 | 2,147,844 | ||||||
Series 2020-, | ||||||||
1.400%, 11/01/2032 | 7,945,000 | 6,215,808 | ||||||
1.500%, 01/01/2036 | 692,881 | 615,216 | ||||||
2.150%, 09/01/2029 | 500,000 | 443,215 | ||||||
3.000%, 03/01/2050 | 231,785 | 199,760 | ||||||
3.500%, 04/01/2050 | 175,736 | 157,447 |
Principal Amount | Value (Note 2) | |||||||
Series 2021-, | ||||||||
1.710%, 08/01/2031 | $ | 751,000 | $ | 607,657 | ||||
3.500%, 11/01/2051 | 726,472 | 647,712 | ||||||
Series 2022-, | ||||||||
2.030%, 12/01/2028 | 100,000 | 89,766 | ||||||
2.150%, 03/01/2029 | 150,000 | 135,384 | ||||||
2.400%, 03/01/2029 | 145,385 | 132,998 | ||||||
3.130%, 01/01/2029 | 147,033 | 139,229 | ||||||
3.790%, 05/01/2032 | 2,148,000 | 1,976,005 | ||||||
3.890%, 07/01/2032 | 690,000 | 651,114 | ||||||
3.910%, 06/01/2032 | 1,181,000 | 1,107,683 | ||||||
3.980%, 10/01/2032 | 700,000 | 663,770 | ||||||
4.110%, 09/01/2032 | 1,815,000 | 1,712,770 | ||||||
4.140%, 08/01/2032 | 2,038,000 | 1,926,001 | ||||||
4.240%, 07/01/2032 | 1,687,000 | 1,611,673 | ||||||
4.520%, 10/01/2032 | 1,209,000 | 1,163,436 | ||||||
5.080%, 10/01/2029 | 950,000 | 981,928 | ||||||
5.120%, 11/01/2032 | 2,979,000 | 2,999,623 | ||||||
5.250%, 10/01/2032 | 7,898,000 | 8,061,628 | ||||||
5.300%, 10/01/2032 | 8,632,000 | 8,841,118 | ||||||
5.440%, 12/01/2032 | 7,633,000 | 7,882,568 | ||||||
5.500%, 07/01/2042 | 1,142,899 | 1,158,203 | ||||||
5.500%, 11/01/2052 | 10,578,341 | 10,745,414 | ||||||
5.620%, 11/01/2032 | 2,901,983 | 3,036,081 | ||||||
5.730%, 11/01/2032 | 16,500,000 | 16,978,816 | ||||||
6.120%, 11/01/2032 | 1,674,386 | 1,789,719 | ||||||
6.500%, 11/01/2052 | 1,980,039 | 2,004,172 | ||||||
Series 2023-, | ||||||||
1.500%, 01/01/2042 | 4,342,611 | 3,568,385 | ||||||
4.885%, 03/01/2033 | 750,000 | 772,289 | ||||||
5.030%, 04/01/2028 | 4,957,000 | 5,016,328 | ||||||
5.500%, 02/01/2053 | 8,868,109 | 8,939,169 | ||||||
6.000%, 02/01/2053 | 1,198,569 | 1,222,390 | ||||||
6.500%, 06/01/2043 | 3,290,877 | 3,372,259 | ||||||
6.500%, 04/01/2053 | 2,153,682 | 2,208,991 | ||||||
6.500%, 05/01/2053 | 4,273,555 | 4,442,534 | ||||||
6.500%, 08/01/2053 | 10,046,616 | 10,605,530 | ||||||
211,213,269 | ||||||||
Freddie Mac | ||||||||
Series 2005-2936, Class FC, | ||||||||
30D US SOFR + 0.51%, 03/15/2029(a) | 14,565 | 14,462 | ||||||
Freddie Mac Gold Pool | ||||||||
Series 2005-, | ||||||||
5.500%, 12/01/2035 | 164,451 | 160,348 | ||||||
Series 2006-, | ||||||||
6.000%, 01/01/2036 | 29,510 | 29,900 | ||||||
Series 2007-, | ||||||||
5.500%, 11/01/2037 | 57,676 | 57,920 | ||||||
Series 2012-, | ||||||||
3.500%, 08/01/2042 | 99,581 | 91,379 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-G80393, | ||||||||
5.000%, 08/20/2036 | $ | 125,254 | $ | 124,769 | ||||
Series 2013-T65180, | ||||||||
3.000%, 11/01/2043 | 102,023 | 92,128 | ||||||
Series 2015-, | ||||||||
3.000%, 08/01/2045 | 1,934,496 | 1,736,578 | ||||||
Series 2015-U49046, | ||||||||
4.000%, 02/01/2029 | 28,018 | 27,401 | ||||||
Series 2016-, | ||||||||
3.500%, 06/01/2046 | 353,540 | 329,699 | ||||||
2,650,122 | ||||||||
Freddie Mac Pool | ||||||||
Series 2018-, | ||||||||
3.000%, 05/01/2045 | 266,099 | 240,421 | ||||||
3.000%, 09/01/2045 | 696,089 | 623,985 | ||||||
3.000%, 12/01/2045 | 499,828 | 439,671 | ||||||
3.500%, 12/01/2045 | 54,895 | 49,754 | ||||||
4.500%, 09/01/2044 | 462,301 | 446,057 | ||||||
6.000%, 07/01/2048 | 232,317 | 237,397 | ||||||
Series 2021-, | ||||||||
2.190%, 06/01/2034 | 146,096 | 118,561 | ||||||
Series 2022-, | ||||||||
3.000%, 02/01/2046 | 3,867,473 | 3,457,452 | ||||||
Series 2023-, | ||||||||
4.600%, 01/01/2033 | 6,743,000 | 6,554,151 | ||||||
4.750%, 01/01/2033 | 16,673,950 | 16,616,186 | ||||||
4.900%, 01/01/2033 | 5,000,000 | 4,944,908 | ||||||
5.500%, 02/01/2053 | 10,121,683 | 10,176,989 | ||||||
6.500%, 04/01/2053 | 25,706,407 | 26,351,197 | ||||||
6.500%, 05/01/2053 | 15,008,516 | 15,528,203 | ||||||
7.000%, 01/01/2053 | 3,878,405 | 4,051,201 | ||||||
89,836,133 | ||||||||
Ginnie Mae I Pool | ||||||||
Series 2010-, | ||||||||
4.500%, 08/15/2040 | 316,166 | 308,256 | ||||||
Series 2013-, | ||||||||
3.000%, 03/15/2043 | 334,005 | 305,281 | ||||||
613,537 | ||||||||
Ginnie Mae II Pool | ||||||||
Series 2010-, | ||||||||
4.000%, 09/20/2040 | 79,230 | 75,738 | ||||||
4.000%, 11/20/2040 | 81,463 | 77,916 | ||||||
4.000%, 12/20/2040 | 153,332 | 147,581 | ||||||
4.500%, 08/20/2040 | 256,871 | 251,909 | ||||||
4.875%, 01/20/2035 | 127,891 | 127,057 | ||||||
1M US SOFR + 2.071%, 08/20/2060(a) | 289,257 | 296,136 | ||||||
Series 2011-, | ||||||||
4.000%, 09/20/2041 | 240,449 | 232,919 | ||||||
4.000%, 10/20/2041 | 117,161 | 112,962 | ||||||
4.500%, 07/20/2041 | 83,564 | 81,749 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-, | ||||||||
3.500%, 03/20/2042 | $ | 325,897 | $ | 298,554 | ||||
3.500%, 04/20/2042 | 72,053 | 66,007 | ||||||
3.500%, 05/20/2042 | 126,001 | 115,428 | ||||||
3.500%, 06/20/2042 | 76,706 | 70,269 | ||||||
3.500%, 08/20/2042 | 84,209 | 77,143 | ||||||
3.500%, 09/20/2042 | 68,434 | 62,691 | ||||||
3.500%, 10/20/2042 | 78,975 | 72,347 | ||||||
3.500%, 12/20/2042 | 209,061 | 191,515 | ||||||
4.000%, 02/20/2042 | 22,763 | 21,759 | ||||||
4.000%, 04/20/2042 | 89,193 | 85,260 | ||||||
4.000%, 09/20/2042 | 91,335 | 88,125 | ||||||
Series 2012-5302, | ||||||||
3.500%, 02/20/2042 | 208,672 | 191,162 | ||||||
Series 2013-, | ||||||||
2.500%, 02/20/2043 | 123,210 | 106,667 | ||||||
3.000%, 06/20/2043 | 195,635 | 175,474 | ||||||
3.000%, 08/20/2043 | 414,026 | 376,927 | ||||||
3.250%, 04/20/2033 | 279,315 | 260,118 | ||||||
3.500%, 04/20/2043 | 211,654 | 193,890 | ||||||
3.500%, 05/20/2043 | 94,603 | 87,693 | ||||||
3.500%, 06/20/2043 | 97,696 | 90,688 | ||||||
4.000%, 09/20/2043 | 260,693 | 250,162 | ||||||
Series 2013-MA1149, | ||||||||
3.000%, 07/20/2043 | 11,961 | 10,623 | ||||||
Series 2014-, | ||||||||
4.500%, 02/20/2034 | 262,282 | 258,348 | ||||||
4.500%, 06/20/2034 | 606,367 | 590,854 | ||||||
4.500%, 02/20/2044 | 264,379 | 263,948 | ||||||
4.500%, 05/20/2044 | 933,936 | 919,154 | ||||||
1M US SOFR + 2.295%, 02/20/2064(a) | 568,200 | 583,339 | ||||||
Series 2015-, | ||||||||
3.000%, 01/20/2040 | 213,416 | 191,523 | ||||||
3.500%, 06/20/2035 | 235,639 | 226,097 | ||||||
3.750%, 05/20/2045 | 97,903 | 92,627 | ||||||
4.500%, 08/20/2045 | 512,993 | 505,826 | ||||||
Series 2016-, | ||||||||
2.500%, 05/20/2031 | 207,594 | 196,447 | ||||||
3.000%, 06/20/2046 | 218,237 | 197,324 | ||||||
3.000%, 07/20/2046 | 235,463 | 210,392 | ||||||
3.500%, 06/20/2046 | 382,831 | 355,855 | ||||||
4.500%, 09/20/2045 | 222,461 | 218,941 | ||||||
4.500%, 03/20/2046 | 151,196 | 150,949 | ||||||
Series 2016-MA3588, | ||||||||
3.500%, 04/20/2046 | 253,834 | 232,513 | ||||||
Series 2016-MA3793, | ||||||||
3.500%, 07/20/2046 | 719,222 | 658,807 | ||||||
Series 2016-MA3865, | ||||||||
3.500%, 08/20/2046 | 424,246 | 388,609 | ||||||
Series 2017-, | ||||||||
2.500%, 01/20/2032 | 236,145 | 223,316 | ||||||
3.000%, 11/20/2032 | 208,842 | 196,066 |
Principal Amount | Value (Note 2) | |||||||
3.500%, 10/20/2047 | $ | 337,414 | $ | 313,582 | ||||
3.500%, 12/20/2047 | 763,540 | 704,422 | ||||||
4.526%, 01/20/2067(a) | 134,543 | 132,007 | ||||||
Series 2018-, | ||||||||
3.500%, 02/20/2036 | 2,557,919 | 2,440,361 | ||||||
3.500%, 08/20/2047 | 117,257 | 109,661 | ||||||
3.500%, 01/20/2048 | 62,873 | 58,631 | ||||||
3.500%, 04/20/2048 | 445,813 | 415,877 | ||||||
4.000%, 05/20/2048 | 2,695,980 | 2,570,511 | ||||||
4.000%, 09/20/2048 | 2,438,008 | 2,328,789 | ||||||
4.500%, 07/20/2048 | 585,827 | 570,407 | ||||||
4.500%, 09/20/2048 | 272,186 | 268,150 | ||||||
5.500%, 10/20/2048 | 368,725 | 377,597 | ||||||
Series 2019-, | ||||||||
3.500%, 12/20/2047 | 414,487 | 386,168 | ||||||
3.500%, 08/20/2049 | 358,625 | 333,311 | ||||||
3.500%, 12/20/2049 | 137,675 | 125,674 | ||||||
4.000%, 04/20/2049 | 102,378 | 95,785 | ||||||
4.500%, 09/20/2049 | 379,196 | 371,322 | ||||||
4.500%, 11/20/2049 | 772,175 | 751,834 | ||||||
5.500%, 06/20/2049 | 147,156 | 149,749 | ||||||
6.000%, 01/20/2049 | 308,154 | 320,306 | ||||||
Series 2019-784688, | ||||||||
5.000%, 02/20/2049 | 690,204 | 692,374 | ||||||
Series 2019-MA5864, | ||||||||
3.000%, 04/20/2049 | 21,314 | 19,121 | ||||||
Series 2019-MA5920, | ||||||||
3.000%, 05/20/2049 | 15,439 | 13,711 | ||||||
Series 2019-MA5936, | ||||||||
6.500%, 05/20/2049 | 40,573 | 43,075 | ||||||
Series 2020-, | ||||||||
2.000%, 11/20/2050 | 3,097,407 | 2,540,500 | ||||||
2.500%, 01/20/2050 | 179,476 | 152,683 | ||||||
3.000%, 11/20/2050 | 153,433 | 133,409 | ||||||
3.500%, 12/20/2049 | 783,071 | 712,806 | ||||||
3.500%, 10/20/2050 | 208,130 | 191,510 | ||||||
4.000%, 02/20/2050 | 336,133 | 320,194 | ||||||
4.000%, 04/20/2050 | 533,825 | 499,858 | ||||||
4.000%, 05/20/2050 | 163,827 | 153,276 | ||||||
4.000%, 11/20/2050 | 841,320 | 787,508 | ||||||
Series 2021-, | ||||||||
3.000%, 08/20/2051 | 924,387 | 836,220 | ||||||
4.000%, 02/20/2051 | 203,167 | 190,081 | ||||||
4.000%, 03/20/2051 | 1,564,544 | 1,492,824 | ||||||
Series 2022-, | ||||||||
3.000%, 12/20/2044 | 2,674,230 | 2,359,643 | ||||||
3.000%, 05/20/2052 | 3,147,621 | 2,738,353 | ||||||
4.000%, 08/20/2052 | 1,850,867 | 1,758,374 | ||||||
4.000%, 09/20/2052 | 15,669,065 | 14,866,224 | ||||||
5.000%, 05/20/2052 | 1,047,534 | 1,024,569 | ||||||
5.000%, 06/20/2052 | 620,019 | 616,818 | ||||||
6.000%, 12/20/2052 | 1,926,312 | 1,982,097 |
Principal Amount | Value (Note 2) | |||||||
Series 2023-, | ||||||||
5.500%, 05/20/2053 | $ | 7,786,961 | $ | 7,944,126 | ||||
6.000%, 08/20/2053 | 18,344,862 | 18,926,982 | ||||||
6.500%, 04/20/2053 | 11,022,811 | 11,306,901 | ||||||
6.500%, 10/20/2053 | 15,085,414 | 15,531,443 | ||||||
7.000%, 10/20/2053 | 4,118,834 | 4,283,338 | ||||||
115,899,566 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $422,148,981) | 420,227,089 |
Principal Amount | Value (Note 2) | |||||||
CORPORATE BONDS (34.78%) | ||||||||
Aerospace & Defense (2.11%) | ||||||||
Boeing Co. | ||||||||
1.43%, 02/04/2024 | 9,669,000 | 9,665,265 | ||||||
2.20%, 02/04/2026 | 10,030,000 | 9,449,018 | ||||||
3.95%, 08/01/2059 | 12,777,000 | 9,445,571 | ||||||
5.93%, 05/01/2060 | 9,327,000 | 9,324,146 | ||||||
Howmet Aerospace, Inc. | ||||||||
3.00%, 01/15/2029 | 7,684,000 | 6,963,433 | ||||||
L3Harris Technologies, Inc. | ||||||||
5.40%, 07/31/2033 | 7,533,000 | 7,764,318 | ||||||
Northrop Grumman Corp. | ||||||||
4.60%, 02/01/2029 | 1,902,000 | 1,906,211 | ||||||
4.90%, 06/01/2034 | 2,853,000 | 2,871,783 | ||||||
5.20%, 06/01/2054 | 2,853,000 | 2,866,476 | ||||||
Total Aerospace & Defense | 60,256,221 | |||||||
Airlines (0.82%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(e) | 6,171,455 | 6,039,953 | ||||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(e) | 3,235,708 | 3,244,651 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(e) | 1,120,482 | 1,052,584 | ||||||
Southwest Airlines Co. | ||||||||
5.25%, 05/04/2025 | 7,540,000 | 7,549,129 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 5,633,321 | 5,688,782 | ||||||
Total Airlines | 23,575,099 | |||||||
Automobiles Manufacturing (2.83%) | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 6,500,000 | 6,240,365 | ||||||
5.80%, 03/05/2027 | 4,757,000 | 4,788,796 | ||||||
6.80%, 05/12/2028 | 9,919,000 | 10,313,246 | ||||||
7.12%, 11/07/2033 | 4,579,000 | 4,910,111 | ||||||
7.35%, 03/06/2030 | 10,487,000 | 11,234,394 |
Principal Amount | Value (Note 2) | |||||||
General Motors Financial Co., Inc. | ||||||||
5.80%, 01/07/2029 | $ | 6,977,000 | $ | 7,165,511 | ||||
6.10%, 01/07/2034 | 11,433,000 | 11,793,062 | ||||||
SOFRINDX + 1.30%, 04/07/2025(a)(f) | 14,667,000 | 14,702,556 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
7.05%, 09/15/2028(e) | 6,378,000 | 6,697,638 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
3.95%, 06/06/2025(e) | 3,000,000 | 2,949,329 | ||||||
Total Automobiles Manufacturing | 80,795,008 | |||||||
Banks (2.50%) | ||||||||
Citizens Bank NA | ||||||||
1D US SOFR + 1.45%, 10/24/2025(a) | 14,556,000 | 14,514,997 | ||||||
Cooperatieve Rabobank UA | ||||||||
3.75%, 07/21/2026 | 4,500,000 | 4,334,562 | ||||||
Danske Bank A/S | ||||||||
1Y US TI + 1.35%, 09/11/2026(a)(e) | 6,500,000 | 6,107,368 | ||||||
Fifth Third Bancorp | ||||||||
1D US SOFR + 1.84%, 01/29/2032(a) | 1,757,000 | 1,774,067 | ||||||
Intesa Sanpaolo SpA | ||||||||
1Y US TI + 2.75%, 06/01/2042(a)(e) | 5,550,000 | 4,031,593 | ||||||
1Y US TI + 3.90%, 06/20/2054(a)(e) | 5,160,000 | 5,292,233 | ||||||
Truist Bank | ||||||||
3.30%, 05/15/2026 | 4,316,000 | 4,138,402 | ||||||
Truist Financial Corp. | ||||||||
1D US SOFR + 2.361%, 06/08/2034(a) | 6,897,000 | 7,068,181 | ||||||
US Bancorp | ||||||||
1D US SOFR + 1.60%, 02/01/2034(a) | 9,000,000 | 8,656,325 | ||||||
1D US SOFR + 1.86%, 01/23/2035(a) | 2,853,000 | 2,920,421 | ||||||
Wells Fargo & Co. | ||||||||
1D US SOFR + 2.02%, 04/24/2034(a) | 12,653,000 | 12,771,387 | ||||||
Total Banks | 71,609,536 | |||||||
Biotechnology (1.12%) | ||||||||
Amgen, Inc. | ||||||||
5.25%, 03/02/2033 | 10,628,000 | 10,846,107 | ||||||
5.51%, 03/02/2026 | 8,959,000 | 8,960,702 | ||||||
5.75%, 03/02/2063 | 11,957,000 | 12,333,565 | ||||||
Total Biotechnology | 32,140,374 |
Principal Amount | Value (Note 2) | |||||||
Cable & Satellite (0.62%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50%, 05/01/2032 | $ | 4,000,000 | $ | 3,339,559 | ||||
4.50%, 06/01/2033(e) | 5,978,000 | 4,908,304 | ||||||
4.75%, 02/01/2032(e) | 5,300,000 | 4,550,554 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.00%, 08/01/2027(e) | 5,127,000 | 4,932,302 | ||||||
Total Cable & Satellite | 17,730,719 | |||||||
Casinos & Gaming (0.71%) | ||||||||
MGM Resorts International | ||||||||
6.75%, 05/01/2025 | 12,855,000 | 12,894,761 | ||||||
Penn Entertainment, Inc. | ||||||||
5.63%, 01/15/2027(e) | 7,595,000 | 7,339,808 | ||||||
Total Casinos & Gaming | 20,234,569 | |||||||
Chemicals (0.34%) | ||||||||
Avient Corp. | ||||||||
5.75%, 05/15/2025(e) | 3,153,000 | 3,144,008 | ||||||
Celanese US Holdings LLC | ||||||||
6.38%, 07/15/2032 | 6,175,000 | 6,455,297 | ||||||
Total Chemicals | 9,599,305 | |||||||
Commercial Finance (0.49%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 13,642,000 | 13,838,633 | ||||||
Consumer Finance (1.83%) | ||||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/01/2031 | 4,000,000 | 4,429,218 | ||||||
Capital One Financial Corp. | ||||||||
1D US SOFR + 1.905%, 02/01/2030(a) | 1,757,000 | 1,774,575 | ||||||
1D US SOFR + 2.26%, 02/01/2035(a) | 1,757,000 | 1,786,219 | ||||||
1D US SOFR + 2.60%, 02/01/2034(a) | 8,680,000 | 8,674,704 | ||||||
Discover Financial Services | ||||||||
SOFRINDX + 3.37%, 11/02/2034(a)(f) | 18,680,000 | 20,841,545 | ||||||
Fiserv, Inc. | ||||||||
5.60%, 03/02/2033 | 3,982,000 | 4,130,136 | ||||||
GTCR W-2 Merger Sub LLC | ||||||||
7.50%, 01/15/2031(e) | 5,915,000 | 6,148,879 | ||||||
Synchrony Financial | ||||||||
3.70%, 08/04/2026 | 3,192,000 | 3,031,471 | ||||||
4.25%, 08/15/2024 | 1,700,000 | 1,684,761 | ||||||
Total Consumer Finance | 52,501,508 | |||||||
Consumer Products (0.37%) | ||||||||
Church & Dwight Co., Inc. | ||||||||
5.60%, 11/15/2032 | 4,500,000 | 4,773,111 |
Principal Amount | Value (Note 2) | |||||||
Procter & Gamble Co. | ||||||||
4.35%, 01/29/2029 | $ | 2,856,000 | $ | 2,874,189 | ||||
4.55%, 01/29/2034 | 2,856,000 | 2,895,517 | ||||||
Total Consumer Products | 10,542,817 | |||||||
Department Stores (0.14%) | ||||||||
Nordstrom, Inc. | ||||||||
Series WI | ||||||||
2.30%, 04/08/2024 | 4,000,000 | 3,963,700 | ||||||
Diversified Banks (1.68%) | ||||||||
Bank of America Corp. | ||||||||
1D US SOFR + 1.65%, 01/23/2035(a) | 4,386,000 | 4,468,188 | ||||||
1D US SOFR + 1.84%, 09/15/2034(a) | 4,982,000 | 5,218,844 | ||||||
1D US SOFR + 1.91%, 04/25/2034(a) | 9,018,000 | 9,076,692 | ||||||
5Y US TI + 1.20%, 09/21/2036(a) | 12,241,000 | 9,829,682 | ||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 1.07%, 12/15/2025(a) | 8,581,000 | 8,587,806 | ||||||
1D US SOFR + 1.62%, 01/23/2035(a) | 4,385,000 | 4,458,006 | ||||||
1D US SOFR + 2.58%, 09/14/2033(a) | 6,218,000 | 6,411,040 | ||||||
Total Diversified Banks | 48,050,258 | |||||||
Electrical Equipment Manufacturing (0.11%) | ||||||||
Trimble, Inc. | ||||||||
4.75%, 12/01/2024 | 3,254,000 | 3,228,991 | ||||||
Entertainment Resources (0.10%) | ||||||||
Vail Resorts, Inc. | ||||||||
6.25%, 05/15/2025(e) | 2,983,000 | 2,989,205 | ||||||
Exploration & Production (1.15%) | ||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
6.00%, 04/15/2030(e) | 1,682,000 | 1,634,551 | ||||||
6.25%, 11/01/2028(e) | 5,537,000 | 5,520,928 | ||||||
6.25%, 04/15/2032(e) | 1,682,000 | 1,616,024 | ||||||
8.38%, 11/01/2033(e) | 2,739,000 | 2,945,712 | ||||||
Occidental Petroleum Corp. | ||||||||
7.88%, 09/15/2031 | 18,574,000 | 21,150,067 | ||||||
Total Exploration & Production | 32,867,282 |
Principal Amount | Value (Note 2) | |||||||
Financial Services (2.68%) | ||||||||
Charles Schwab Corp. | ||||||||
1D US SOFR + 2.01%, 08/24/2034(a) | $ | 4,982,000 | $ | 5,268,903 | ||||
1D US SOFR + 2.50%, 05/19/2034(a) | 5,500,000 | 5,701,335 | ||||||
SOFRINDX + 1.05%, 03/03/2027(a)(f) | 8,271,000 | 8,214,869 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1D US SOFR + 0.50%, 09/10/2024(a) | 4,000,000 | 3,998,569 | ||||||
Morgan Stanley | ||||||||
1D US SOFR + 1.36%, 09/16/2036(a) | 12,446,000 | 9,950,638 | ||||||
1D US SOFR + 1.73%, 01/18/2035(a) | 2,193,000 | 2,238,815 | ||||||
1D US SOFR + 2.05%, 11/01/2034(a) | 2,990,000 | 3,311,285 | ||||||
5Y US TI + 2.43%, 01/19/2038(a) | 4,945,000 | 5,051,560 | ||||||
UBS Group AG | ||||||||
1D US SOFR + 3.92%, 08/12/2033(a)(e) | 19,308,000 | 20,568,615 | ||||||
1Y US TI + 1.80%, 09/22/2029(a)(e) | 4,893,000 | 5,101,897 | ||||||
1Y US TI + 2.00%, 09/22/2034(a)(e) | 6,350,000 | 6,729,101 | ||||||
Total Financial Services | 76,135,587 | |||||||
Food & Beverage (1.28%) | ||||||||
J M Smucker Co. | ||||||||
6.20%, 11/15/2033 | 6,976,000 | 7,554,877 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg SARL | ||||||||
6.75%, 03/15/2034(e) | 2,728,000 | 2,872,980 | ||||||
7.25%, 11/15/2053(e) | 8,290,000 | 9,021,156 | ||||||
JDE Peet's NV | ||||||||
0.80%, 09/24/2024(e) | 1,984,000 | 1,919,617 | ||||||
Pilgrim's Pride Corp. | ||||||||
6.25%, 07/01/2033 | 10,000,000 | 10,220,800 | ||||||
6.88%, 05/15/2034 | 4,548,000 | 4,852,871 | ||||||
Total Food & Beverage | 36,442,301 | |||||||
Government Agencies (0.09%) | ||||||||
Tennessee Valley Authority | ||||||||
2.22%, 05/01/2029 | 123,302 | 2,705,246 | ||||||
Health Care Facilities & Services (0.70%) | ||||||||
HCA, Inc. | ||||||||
2.38%, 07/15/2031 | 11,927,000 | 9,889,034 | ||||||
5.38%, 02/01/2025 | 3,000,000 | 2,997,943 | ||||||
5.50%, 06/01/2033 | 6,970,000 | 7,080,374 | ||||||
Total Health Care Facilities & Services | 19,967,351 |
Principal Amount | Value (Note 2) | |||||||
Industrial Other (0.43%) | ||||||||
Jacobs Engineering Group, Inc. | ||||||||
5.90%, 03/01/2033 | $ | 9,458,000 | $ | 9,654,472 | ||||
Quanta Services, Inc. | ||||||||
0.95%, 10/01/2024 | 2,581,000 | 2,503,622 | ||||||
Total Industrial Other | 12,158,094 | |||||||
Leisure Products Manufacturing (0.22%) | ||||||||
Polaris, Inc. | ||||||||
6.95%, 03/15/2029 | 5,949,000 | 6,320,151 | ||||||
Machinery Manufacturing (0.18%) | ||||||||
Nordson Corp. | ||||||||
5.80%, 09/15/2033 | 4,982,000 | 5,266,790 | ||||||
Medical Equipment & Devices Manufacturing (0.41%) | ||||||||
Alcon Finance Corp. | ||||||||
5.38%, 12/06/2032(e) | 8,670,000 | 8,920,945 | ||||||
Revvity, Inc. | ||||||||
0.85%, 09/15/2024 | 2,977,000 | 2,889,327 | ||||||
Total Medical Equipment & Devices Manufacturing | 11,810,272 | |||||||
Metals & Mining (0.34%) | ||||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 | 9,805,000 | 9,757,304 | ||||||
Pharmaceuticals (1.38%) | ||||||||
Bristol-Myers Squibb Co. | ||||||||
6.25%, 11/15/2053 | 6,977,000 | 7,901,036 | ||||||
Merck & Co., Inc. | ||||||||
4.50%, 05/17/2033 | 2,988,000 | 2,975,805 | ||||||
5.00%, 05/17/2053 | 6,971,000 | 6,989,037 | ||||||
Pfizer Investment Enterprises Pte, Ltd. | ||||||||
4.75%, 05/19/2033 | 5,779,000 | 5,773,985 | ||||||
5.11%, 05/19/2043 | 7,968,000 | 7,926,291 | ||||||
5.30%, 05/19/2053 | 7,693,000 | 7,827,702 | ||||||
Total Pharmaceuticals | 39,393,856 | |||||||
Pipeline (3.48%) | ||||||||
Buckeye Partners LP | ||||||||
4.50%, 03/01/2028(e) | 8,958,000 | 8,418,728 | ||||||
Cheniere Energy Partners LP | ||||||||
3.25%, 01/31/2032 | 8,000,000 | 6,797,520 | ||||||
Energy Transfer LP | ||||||||
8.00%, 04/01/2029(e) | 4,833,000 | 5,033,521 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(e) | 12,936,000 | 10,626,944 | ||||||
4.32%, 12/30/2039(e) | 9,061,000 | 6,776,671 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.60%, 10/15/2025(e) | 5,430,000 | 5,197,454 |
Principal Amount | Value (Note 2) | |||||||
Midwest Connector Capital Co. LLC | ||||||||
3.90%, 04/01/2024(e) | $ | 15,478,000 | $ | 15,422,094 | ||||
4.63%, 04/01/2029(e) | 6,974,000 | 6,768,270 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.50%, 07/15/2027 | 16,103,000 | 16,401,308 | ||||||
6.88%, 01/15/2029 | 8,740,000 | 9,019,899 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.20%, 03/09/2026 | 8,962,000 | 8,961,688 | ||||||
Total Pipeline | 99,424,097 | |||||||
Power Generation (0.88%) | ||||||||
Vistra Operations Co. LLC | ||||||||
5.13%, 05/13/2025(e) | 6,961,000 | 6,910,489 | ||||||
5.50%, 09/01/2026(e) | 8,626,000 | 8,555,553 | ||||||
6.95%, 10/15/2033(e) | 8,834,000 | 9,342,627 | ||||||
Total Power Generation | 24,808,669 | |||||||
Publishing & Broadcasting (0.81%) | ||||||||
Gray Television, Inc. | ||||||||
5.38%, 11/15/2031(e) | 6,377,000 | 4,996,905 | ||||||
7.00%, 05/15/2027(e) | 4,200,000 | 4,110,183 | ||||||
Nexstar Media, Inc. | ||||||||
4.75%, 11/01/2028(e) | 8,000,000 | 7,336,347 | ||||||
5.63%, 07/15/2027(e) | 4,376,000 | 4,265,089 | ||||||
Scripps Escrow II, Inc. | ||||||||
3.88%, 01/15/2029(e) | 2,888,000 | 2,485,976 | ||||||
Total Publishing & Broadcasting | 23,194,500 | |||||||
Real Estate (0.70%) | ||||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 05/15/2028(e) | 3,033,000 | 2,993,450 | ||||||
VICI Properties LP / VICI Note Co., Inc. | ||||||||
4.63%, 06/15/2025(e) | 6,960,000 | 6,861,516 | ||||||
5.63%, 05/01/2024(e) | 10,165,000 | 10,155,679 | ||||||
Total Real Estate | 20,010,645 | |||||||
Refining & Marketing (0.52%) | ||||||||
HF Sinclair Corp. | ||||||||
4.50%, 10/01/2030 | 9,494,000 | 9,019,085 | ||||||
5.00%, 02/01/2028(e) | 2,667,000 | 2,590,338 | ||||||
5.88%, 04/01/2026 | 3,177,000 | 3,214,928 | ||||||
Total Refining & Marketing | 14,824,351 | |||||||
Restaurants (0.18%) | ||||||||
Brinker International, Inc. | ||||||||
8.25%, 07/15/2030(e) | 4,832,000 | 5,061,592 | ||||||
Semiconductors (0.14%) | ||||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024 | 3,985,000 | 3,977,700 |
Principal Amount | Value (Note 2) | |||||||
Software & Services (1.08%) | ||||||||
Concentrix Corp. | ||||||||
6.60%, 08/02/2028 | $ | 5,813,000 | $ | 5,980,598 | ||||
CoStar Group, Inc. | ||||||||
2.80%, 07/15/2030(e) | 9,060,000 | 7,789,661 | ||||||
Leidos, Inc. | ||||||||
5.75%, 03/15/2033 | 3,139,000 | 3,241,352 | ||||||
VMware LLC | ||||||||
2.20%, 08/15/2031 | 4,979,000 | 4,113,130 | ||||||
4.70%, 05/15/2030 | 9,961,000 | 9,802,843 | ||||||
Total Software & Services | 30,927,584 | |||||||
Supermarkets & Pharmacies (0.38%) | ||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
6.50%, 02/15/2028(e) | 11,035,000 | 11,164,664 | ||||||
Transportation & Logistics (0.19%) | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | ||||||||
1.88%, 02/20/2034 | 6,637,736 | 5,576,240 | ||||||
Utilities (1.10%) | ||||||||
Dominion Energy, Inc. | ||||||||
3.07%, 08/15/2024(d) | 1,500,000 | 1,478,099 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
3M US SOFR + 3.17%, 04/30/2043(a) | 3,248,000 | 3,214,848 | ||||||
5Y US TI + 3.533%, 09/15/2053(a) | 5,478,000 | 5,695,646 | ||||||
Series GMTN | ||||||||
4.85%, 02/07/2029 | 2,856,000 | 2,880,382 | ||||||
5.00%, 02/07/2031 | 2,856,000 | 2,876,819 | ||||||
ONE Gas, Inc. | ||||||||
1.10%, 03/11/2024 | 7,521,000 | 7,485,215 | ||||||
Sempra | ||||||||
5Y US TI + 2.868%, 04/01/2052(a) | 4,268,000 | 3,778,887 | ||||||
Southern California Edison Co. | ||||||||
1.10%, 04/01/2024 | 2,899,000 | 2,875,671 | ||||||
Southern Co. | ||||||||
5.11%, 08/01/2027 | 1,480,000 | 1,498,932 | ||||||
Total Utilities | 31,784,499 | |||||||
Waste & Environment Services & Equipment (0.23%) | ||||||||
GFL Environmental, Inc. | ||||||||
5.13%, 12/15/2026(e) | 6,644,000 | 6,493,154 |
Principal Amount | Value (Note 2) | |||||||
Wireless Telecommunications Services (0.46%) | ||||||||
AT&T, Inc. | ||||||||
5.35%, 11/01/2066 | $ | 39,168 | $ | 940,032 | ||||
5.54%, 02/20/2026 | 3,982,000 | 3,983,485 | ||||||
T-Mobile USA, Inc. | ||||||||
4.80%, 07/15/2028 | 4,979,000 | 4,994,585 | ||||||
6.00%, 06/15/2054 | 2,989,000 | 3,269,660 | ||||||
Total Wireless Telecommunications Services | 13,187,762 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $995,486,932) | 994,315,634 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (30.78%) | ||||||||
U.S. Treasury Bonds (30.78%) | ||||||||
United States Treasury Bonds | ||||||||
3.63%, 05/15/2053 | 13,968,000 | 12,554,831 | ||||||
4.13%, 08/15/2053 | 116,332,000 | 114,423,428 | ||||||
4.38%, 08/15/2043 | 114,919,000 | 115,780,893 | ||||||
4.50%, 11/15/2033 | 5,279,000 | 5,513,256 | ||||||
4.75%, 11/15/2043 | 94,247,000 | 99,798,737 | ||||||
4.75%, 11/15/2053 | 109,251,000 | 119,305,506 | ||||||
United States Treasury Notes | ||||||||
4.00%, 01/15/2027 | 13,792,000 | 13,789,845 | ||||||
4.75%, 07/31/2025 | 62,093,000 | 62,392,550 | ||||||
4.88%, 11/30/2025 | 115,849,000 | 117,064,057 | ||||||
5.00%, 08/31/2025 | 59,829,000 | 60,388,728 | ||||||
5.00%, 09/30/2025 | 95,627,000 | 96,620,624 | ||||||
5.00%, 10/31/2025 | 61,903,000 | 62,611,499 | ||||||
Total U.S. Treasury Bonds | 880,243,954 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $852,563,702) | 880,243,954 |
Shares | Value (Note 2) | |||||||
PREFERRED STOCK (1.98%) | ||||||||
Energy (0.18%) | ||||||||
Pipeline (0.18%) | ||||||||
Energy Transfer LP, Series B, 6.625%(g) | 2,506,000 | 2,269,053 | ||||||
Energy Transfer LP, Series F, 6.750%(g) | 2,985,000 | 2,927,255 | ||||||
Total Energy | 5,196,308 | |||||||
Financials (1.70%) | ||||||||
Banks (0.50%) | ||||||||
Huntington Bancshares, Inc., Series J, 6.875%(g) | 217,416 | 5,287,557 |
Shares | Value (Note 2) | |||||||
Wells Fargo & Co., Series S, 5.900%(g) | 9,130,000 | $ | 9,138,776 | |||||
14,426,333 | ||||||||
Consumer Finance (0.40%) | ||||||||
Ally Financial, Inc., Series C, 4.700%(g) | 2,982,000 | 2,273,775 | ||||||
American Express Co., 3.550%(g) | 4,674,000 | 4,178,539 | ||||||
Discover Financial Services, Series D, 6.125%(g) | 5,000,000 | 4,927,655 | ||||||
11,379,969 | ||||||||
Diversified Banks (0.63%) | ||||||||
Barclays PLC, 5Y US TI + 5.672%(a)(g) | 17,910,000 | 17,876,737 | ||||||
Financial Services (0.06%) | ||||||||
State Street Corp., Series I, 5Y US TI + 2.613%(a)(g) | 1,759,000 | 1,758,998 | ||||||
Life Insurance (0.11%) | ||||||||
Jackson Financial, Inc., 8.000%(g) | 112,060 | 3,027,861 | ||||||
Total Financials | 48,469,898 | |||||||
Utilities (0.10%) | ||||||||
Utilities (0.10%) | ||||||||
SCE Trust VII, 7.500%(g) | 109,775 | 2,887,083 | ||||||
Total Utilities | 2,887,083 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $56,608,299) | 56,553,289 |
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (2.77%) | ||||||||||||
Money Market Fund (2.77%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 5.23 | % | 79,250,859 | 79,250,859 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $79,250,859) | 79,250,859 |
Value (Note 2) | ||||
TOTAL INVESTMENTS (97.81%) | ||||
(Cost $2,783,810,838) | $ | 2,797,090,308 | ||
Other Assets In Excess Of Liabilities (2.19%) | 62,682,442 | |||
NET ASSETS (100.00%) | $ | 2,859,772,750 |
Investment Abbreviations: |
SOFR - Secured Overnight Financing Rate |
SOFRINDX - Secured Overnight Financing Rate Index |
TI – Treasury Index |
Reference Rates: |
1Y US SOFR - 1Year SOFR as of January 31, 2024 was 4.83% |
1M US SOFR - 1 Month SOFR as of January 31, 2024 was 5.33% |
30D US SOFR - 30 Day SOFR as of January 31, 2024 was 5.33% |
1D US SOFR - 1 Day SOFR as of January 31, 2024 was 5.32% |
3M US SOFR - 3 Month SOFR as of January 31, 2024 was 5.32% |
1Y US TI - 1 Year US TI as of January 31, 2024 was 4.73% |
5Y US TI - 5 Year US TI as of January 31, 2024 was 3.91% |
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2024 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Issued with zero coupon. |
(c) | Interest only security. |
(d) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of January 31, 2024. |
(e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the aggregate market value of those securities was $295,636,840, representing 10.34% of net assets. |
(f) | The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period. |
(g) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See Notes to Quarterly Statement of Investments. |
ALPS | Smith Credit Opportunities Fund
STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Shares | Value (Note 2) | |||||||
COMMON STOCKS (0.13%) | ||||||||
Health Care (0.13%) | ||||||||
Health Care (0.13%) | ||||||||
Organon & Co. | 19,528 | $ | 325,141 | |||||
Total Health Care | 325,141 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $217,021) | 325,141 |
Principal Amount | Value (Note 2) | |||||||
BANK LOANS (4.80%) | ||||||||
Aerospace & Defense (0.49%) | ||||||||
TransDigm, Inc. | ||||||||
3M US SOFR + 3.25%, 02/28/2031(a) | 1,200,000 | 1,202,886 | ||||||
Automobiles Manufacturing (0.48%) | ||||||||
Adient US LLC, TL | ||||||||
1M US SOFR + 2.75%, 01/26/2031(a) | 1,200,000 | 1,203,750 | ||||||
Casinos & Gaming (0.98%) | ||||||||
Caesars Entertainment, Inc. | ||||||||
1M US SOFR + 2.75%, 01/27/2031(a) | 1,200,000 | 1,199,250 | ||||||
LIGHT AND WONDER INTERNATIONAL, INC., TL | ||||||||
1M US SOFR + 2.75%, 04/14/2029(a) | 1,200,000 | 1,202,874 | ||||||
Total Casinos & Gaming | 2,402,124 | |||||||
Consumer Finance (0.29%) | ||||||||
GTCR W MERGER SUB LLC, TL | ||||||||
1D US SOFR + 3.00%, 09/23/2030(a) | 703,000 | 705,636 | ||||||
Entertainment Resources (0.41%) | ||||||||
Authentic Brands TL | ||||||||
1M US SOFR + 3.50%, 12/07/2030(a) | 997,468 | 1,001,134 |
Principal Amount | Value (Note 2) | |||||||
Food & Beverage (0.49%) | ||||||||
CHOBANI, LLC, TL | ||||||||
1M US SOFR + 3.75%, 10/25/2027(a) | $ | 1,200,000 | $ | 1,202,628 | ||||
Health Care Facilities & Services (0.45%) | ||||||||
Fortrea Holdings, Inc. | ||||||||
1M US SOFR + 3.75%, 07/01/2030(a) | 1,100,000 | 1,101,788 | ||||||
Pipeline (0.49%) | ||||||||
Buckeye Partners, L.P., TL | ||||||||
1M US SOFR + 2.50%, 11/22/2030(a) | 1,200,000 | 1,201,002 | ||||||
Publishing & Broadcasting (0.24%) | ||||||||
Nexstar Media, Inc. | ||||||||
1M US SOFR + 2.50%, 09/18/2026(a) | 590,437 | 590,581 | ||||||
Travel & Lodging (0.48%) | ||||||||
Carnival Corp. | ||||||||
1M US SOFR + 3.00%, 08/09/2027(a) | 1,200,000 | 1,202,100 | ||||||
TOTAL BANK LOANS | ||||||||
(Cost $11,819,786) | 11,813,629 |
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (3.38%) | ||||||||
Fannie Mae | ||||||||
Series 2002-71, Class AP, | ||||||||
5.000%, 11/25/2032 | $ | 10,542 | $ | 10,396 | ||||
Series 2002-90, Class A1, | ||||||||
6.500%, 06/25/2042 | 51,098 | 52,555 | ||||||
Series 2008-8, Class FB, | ||||||||
30D US SOFR + 0.93%, 02/25/2038(a) | 95,228 | 95,377 | ||||||
Series 2010-114, Class TC, | ||||||||
2.250%, 03/25/2037 | 344,316 | 312,460 | ||||||
Series 2011-110, Class BX, | ||||||||
4.000%, 10/25/2041 | 324,466 | 314,033 | ||||||
Series 2012-110, Class CA, | ||||||||
3.000%, 10/25/2042 | 101,942 | 91,840 | ||||||
Series 2012-39, Class NB, | ||||||||
4.000%, 04/25/2042 | 175,000 | 150,535 | ||||||
Series 2013-29, Class JE, | ||||||||
1.250%, 04/25/2043 | 168,824 | 141,727 |
Principal Amount | Value (Note 2) | |||||||
Series 2015-27, Class ME, | ||||||||
3.500%, 10/25/2044 | $ | 128,000 | $ | 118,403 | ||||
Series 2019-14, Class CA, | ||||||||
3.500%, 04/25/2049 | 138,907 | 131,832 | ||||||
Series 2019-7, Class JA, | ||||||||
3.500%, 03/25/2049 | 110,739 | 105,060 | ||||||
Series 2019-74, Class LB, | ||||||||
3.000%, 10/25/2049 | 136,643 | 123,412 | ||||||
Series 2021-94, Class KU, | ||||||||
2.000%, 12/25/2051 | 148,254 | 120,294 | ||||||
1,767,924 | ||||||||
Freddie Mac | ||||||||
Series 2002-2455, Class GK, | ||||||||
6.500%, 05/15/2032 | 12,284 | 12,454 | ||||||
Series 2002-2505, Class D, | ||||||||
5.500%, 09/15/2032 | 26,125 | 26,619 | ||||||
Series 2005-2990, Class GO, | ||||||||
–%, 02/15/2035(b) | 29,230 | 24,987 | ||||||
Series 2011-3965, Class ZA, | ||||||||
4.000%, 11/15/2041 | 289,801 | 269,463 | ||||||
Series 2012-4096, Class BY, | ||||||||
2.000%, 08/15/2042 | 85,000 | 65,938 | ||||||
Series 2012-4116, Class UC, | ||||||||
2.500%, 10/15/2042 | 103,000 | 75,322 | ||||||
Series 2012-4140, Class BW, | ||||||||
2.500%, 12/15/2042 | 100,000 | 74,313 | ||||||
Series 2015-4537, Class AZ, | ||||||||
3.000%, 12/15/2045 | 22,152 | 19,832 | ||||||
Series 2016-4579, Class W, | ||||||||
5.454%, 01/15/2038(a) | 69,342 | 72,273 | ||||||
Series 2016-4614, Class PB, | ||||||||
3.000%, 01/15/2046 | 227,988 | 207,401 | ||||||
Series 2018-4839, Class PZ, | ||||||||
4.000%, 11/15/2048 | 123,325 | 105,607 | ||||||
Series 2021-5142, Class PN, | ||||||||
1.000%, 09/25/2051 | 71,493 | 53,054 | ||||||
Series 2021-5151, Class LV, | ||||||||
1.500%, 09/25/2051 | 262,895 | 146,934 | ||||||
1,154,197 | ||||||||
Ginnie Mae | ||||||||
Series 2009-93, Class HG, | ||||||||
4.000%, 09/16/2039 | 11,417 | 11,178 | ||||||
Series 2011-139, Class KZ, | ||||||||
2.500%, 10/20/2041 | 47,526 | 40,523 | ||||||
Series 2011-141, Class GH, | ||||||||
3.000%, 10/16/2041 | 150,000 | 115,419 | ||||||
Series 2011-H05, Class FB, | ||||||||
1M US SOFR + 0.61%, 12/20/2060(a) | 20,359 | 20,289 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-H14, Class FC, | ||||||||
1M US SOFR + 0.61%, 05/20/2061(a) | $ | 32,153 | $ | 32,055 | ||||
Series 2012-137, Class EB, | ||||||||
2.000%, 11/20/2042 | 100,000 | 63,105 | ||||||
Series 2012-16, Class ND, | ||||||||
2.000%, 05/20/2039 | 169,065 | 156,223 | ||||||
Series 2012-41, Class TJ, | ||||||||
4.000%, 03/20/2042 | 187,933 | 170,719 | ||||||
Series 2012-H20, Class BA, | ||||||||
1M US SOFR + 0.67%, 09/20/2062(a) | 14,188 | 14,016 | ||||||
Series 2012-H29, Class SA, | ||||||||
1M US SOFR + 0.62%, 10/20/2062(a) | 34,977 | 34,843 | ||||||
Series 2013-28, Class DB, | ||||||||
3.000%, 02/20/2043 | 170,000 | 145,217 | ||||||
Series 2013-44, Class CE, | ||||||||
2.500%, 03/16/2043 | 105,656 | 88,115 | ||||||
Series 2013-9, Class KY, | ||||||||
3.000%, 01/20/2043 | 324,000 | 284,005 | ||||||
Series 2013-H07, Class GA, | ||||||||
1M US SOFR + 0.58%, 03/20/2063(a) | 12,254 | 12,186 | ||||||
Series 2013-H10, Class FA, | ||||||||
1M US SOFR + 0.51%, 03/20/2063(a) | 10,608 | 10,559 | ||||||
Series 2013-H22, Class FT, | ||||||||
1Y US TI + 0.65%, 04/20/2063(a) | 5,615 | 5,605 | ||||||
Series 2013-H23, Class FA, | ||||||||
1M US SOFR + 1.41%, 09/20/2063(a) | 6,361 | 6,402 | ||||||
Series 2014-21, Class PB, | ||||||||
4.000%, 02/16/2044 | 150,000 | 135,764 | ||||||
Series 2014-H03, Class FA, | ||||||||
1M US SOFR + 0.71%, 01/20/2064(a) | 7,990 | 7,974 | ||||||
Series 2015-3, Class ZD, | ||||||||
4.000%, 01/20/2045 | 179,059 | 165,469 | ||||||
Series 2015-31, Class B, | ||||||||
3.000%, 02/20/2045 | 100,000 | 88,069 | ||||||
Series 2015-43, Class DM, | ||||||||
2.500%, 03/20/2045 | 78,538 | 69,785 | ||||||
Series 2015-H10, Class JA, | ||||||||
2.250%, 04/20/2065 | 140,323 | 135,908 | ||||||
Series 2015-H29, Class FL, | ||||||||
1M US SOFR + 0.71%, 11/20/2065(a) | 49,520 | 49,162 | ||||||
Series 2016-167, Class AD, | ||||||||
2.500%, 03/20/2039 | 261,660 | 243,547 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-H09, Class FA, | ||||||||
1M US SOFR + 0.76%, 03/20/2066(a) | $ | 38,053 | $ | 37,984 | ||||
Series 2017-31, Class BY, | ||||||||
3.500%, 02/20/2047 | 131,000 | 93,567 | ||||||
Series 2017-H10, Class GZ, | ||||||||
4.523%, 04/20/2067(a) | 240,256 | 233,787 | ||||||
Series 2017-H11, Class HZ, | ||||||||
4.517%, 04/20/2067(a) | 135,448 | 131,220 | ||||||
Series 2017-H11, Class GZ, | ||||||||
4.595%, 04/20/2067(a) | 136,072 | 132,614 | ||||||
Series 2017-H18, Class PZ, | ||||||||
2.000%, 04/20/2066 | 128,246 | 105,568 | ||||||
Series 2018-H01, Class JZ, | ||||||||
4.622%, 01/20/2068(a) | 131,571 | 130,451 | ||||||
Series 2018-H01, Class HZ, | ||||||||
4.615%, 01/20/2068(a) | 131,827 | 129,993 | ||||||
Series 2018-H03, Class HZ, | ||||||||
4.543%, 01/20/2068(a) | 130,771 | 125,444 | ||||||
Series 2018-H07, Class FE, | ||||||||
1M US SOFR + 0.46%, 02/20/2068(a) | 26,672 | 26,564 | ||||||
Series 2018-H07, Class JZ, | ||||||||
4.568%, 04/20/2068(a) | 117,827 | 116,140 | ||||||
Series 2018-H07, Class HZ, | ||||||||
4.604%, 04/20/2068(a) | 129,692 | 125,708 | ||||||
Series 2019-103, Class HY, | ||||||||
3.000%, 08/20/2049 | 104,493 | 69,008 | ||||||
Series 2019-31, Class JC, | ||||||||
3.500%, 03/20/2049 | 94,368 | 86,485 | ||||||
Series 2020-134, Class XB, | ||||||||
1.000%, 07/20/2048 | 125,000 | 72,619 | ||||||
Series 2020-153, Class GP, | ||||||||
0.500%, 10/20/2050 | 216,761 | 191,577 | ||||||
Series 2020-160, Class QD, | ||||||||
1.000%, 10/20/2050 | 162,034 | 80,656 | ||||||
Series 2020-H09, Class NF, | ||||||||
1M US SOFR + 1.36%, 04/20/2070(a) | 50,384 | 50,889 | ||||||
Series 2020-H11, Class JZ, | ||||||||
4.167%, 05/20/2069(a) | 166,919 | 149,460 | ||||||
Series 2020-H12, Class JZ, | ||||||||
4.182%, 08/20/2069(a) | 115,762 | 105,519 | ||||||
Series 2020-H17, Class KZ, | ||||||||
3.617%, 09/20/2070(a) | 442,532 | 369,637 | ||||||
Series 2020-H18, Class EY, | ||||||||
3.725%, 09/20/2070(a) | 107,037 | 86,738 | ||||||
Series 2021-146, Class EH, | ||||||||
2.000%, 08/20/2051 | 113,536 | 67,275 | ||||||
Series 2021-159, Class AL, | ||||||||
1.000%, 09/20/2051 | 118,000 | 55,611 |
Principal Amount | Value (Note 2) | |||||||
Series 2021-215, Class TZ, | ||||||||
5.000%, 12/20/2051 | $ | 135,770 | $ | 118,569 | ||||
Series 2021-225, Class EU, | ||||||||
2.000%, 12/20/2051 | 132,227 | 81,816 | ||||||
Series 2021-86, Class ML, | ||||||||
1.000%, 05/20/2051 | 136,000 | 57,923 | ||||||
Series 2021-H02, Class KB, | ||||||||
3.031%, 01/20/2071(a) | 105,752 | 81,374 | ||||||
Series 2021-H02, Class PB, | ||||||||
4.643%, 05/20/2070(a) | 101,628 | 100,172 | ||||||
Series 2021-H03, Class NY, | ||||||||
3.261%, 01/20/2071(a) | 108,473 | 83,687 | ||||||
5,404,192 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $7,790,082) | 8,326,313 |
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (1.21%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2019-M17, Class X, | ||||||||
0.417%, 09/25/2034(a)(c) | 23,079,169 | 364,222 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series 2016-K056, Class X3, | ||||||||
2.189%, 06/25/2026(a)(c) | 591,680 | 27,283 | ||||||
Series 2016-K059, Class X1, | ||||||||
0.419%, 09/25/2026(a)(c) | 6,098,518 | 37,877 | ||||||
Series 2017-KW03, Class X1, | ||||||||
0.968%, 06/25/2027(a)(c) | 6,718,900 | 128,412 | ||||||
Series 2019-K087, Class X1, | ||||||||
0.511%, 12/25/2028(a)(c) | 29,494,113 | 451,879 | ||||||
Series 2019-K092, Class X1, | ||||||||
0.855%, 04/25/2029(a)(c) | 16,533,071 | 508,774 | ||||||
Series 2019-K093, Class X1, | ||||||||
1.083%, 05/25/2029(a)(c) | 6,052,657 | 243,602 | ||||||
Series 2019-K094, Class X1, | ||||||||
1.013%, 06/25/2029(a)(c) | 14,393,736 | 557,104 | ||||||
Series 2020-K121, Class X1, | ||||||||
1.117%, 10/25/2030(a)(c) | 2,461,997 | 129,801 | ||||||
Series 2020-K738, Class X1, | ||||||||
1.622%, 01/25/2027(a)(c) | 12,472,772 | 437,910 |
Principal Amount | Value (Note 2) | |||||||
Series 2021-Q016, Class APT2, | ||||||||
1.480%, 05/25/2028(a) | $ | 106,511 | $ | 95,947 | ||||
2,618,589 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $2,894,723) | 2,982,811 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (1.59%) | ||||||||
Fannie Mae Pool | ||||||||
Series 1998-, | ||||||||
6.500%, 08/01/2028 | 20,304 | 21,024 | ||||||
7.500%, 08/01/2028 | 21,106 | 21,046 | ||||||
8.500%, 06/01/2027 | 4,315 | 4,302 | ||||||
Series 1999-, | ||||||||
8.000%, 04/01/2029 | 19,342 | 19,276 | ||||||
Series 2001-, | ||||||||
12.000%, 11/01/2030 | 52,938 | 53,456 | ||||||
Series 2002-, | ||||||||
6.000%, 12/01/2032 | 35,560 | 36,096 | ||||||
Series 2003-, | ||||||||
4.500%, 09/01/2028 | 30,201 | 29,816 | ||||||
4.750%, 09/01/2033 | 38,967 | 38,469 | ||||||
5.500%, 10/01/2033 | 19,769 | 19,541 | ||||||
5.500%, 12/01/2033 | 34,066 | 35,047 | ||||||
Series 2005-, | ||||||||
4.500%, 05/01/2035 | 18,601 | 17,901 | ||||||
6.500%, 01/01/2036 | 27,101 | 27,941 | ||||||
Series 2006-, | ||||||||
4.500%, 01/01/2036 | 28,297 | 27,830 | ||||||
6.000%, 03/01/2036 | 34,622 | 35,538 | ||||||
Series 2007-, | ||||||||
5.500%, 07/01/2037 | 12,363 | 12,392 | ||||||
6.000%, 07/01/2037 | 32,278 | 32,744 | ||||||
6.000%, 09/01/2037 | 27,001 | 27,554 | ||||||
6.500%, 11/01/2037 | 43,452 | 45,242 | ||||||
Series 2008-, | ||||||||
5.000%, 06/01/2037 | 24,334 | 23,856 | ||||||
5.500%, 04/01/2038 | 15,832 | 15,926 | ||||||
5.500%, 08/01/2038 | 21,653 | 21,571 | ||||||
6.500%, 07/01/2038 | 44,530 | 46,363 | ||||||
Series 2009-, | ||||||||
5.000%, 04/01/2039 | 40,295 | 40,041 | ||||||
Series 2010-, | ||||||||
4.000%, 05/01/2040 | 4,157 | 4,124 | ||||||
5.500%, 02/01/2038 | 41,916 | 41,935 | ||||||
Series 2011-, | ||||||||
4.500%, 05/01/2041 | 50,421 | 48,673 | ||||||
Series 2013-, | ||||||||
3.000%, 04/01/2043 | 90,518 | 81,784 |
Principal Amount | Value (Note 2) | |||||||
Series 2015-, | ||||||||
3.500%, 06/01/2045 | $ | 51,009 | $ | 49,153 | ||||
5.000%, 07/01/2044 | 117,686 | 119,546 | ||||||
Series 2016-, | ||||||||
3.500%, 06/01/2046 | 34,544 | 31,314 | ||||||
Series 2018-, | ||||||||
3.796%, 02/01/2048(a) | 28,537 | 25,614 | ||||||
Series 2022-, | ||||||||
5.730%, 11/01/2032 | 1,500,000 | 1,543,530 | ||||||
2,598,645 | ||||||||
Freddie Mac Gold Pool | ||||||||
Series 2004-, | ||||||||
5.500%, 01/01/2034 | 27,224 | 27,104 | ||||||
Series 2005-, | ||||||||
5.500%, 05/01/2035 | 17,725 | 17,551 | ||||||
Series 2006-, | ||||||||
4.500%, 01/01/2036 | 11,040 | 10,789 | ||||||
5.500%, 12/01/2034 | 23,686 | 23,824 | ||||||
6.000%, 05/01/2036 | 52,111 | 53,907 | ||||||
Series 2008-, | ||||||||
4.500%, 05/01/2038 | 56,148 | 55,299 | ||||||
6.000%, 08/01/2038 | 28,113 | 29,300 | ||||||
Series 2010-, | ||||||||
6.000%, 04/01/2040 | 23,079 | 23,775 | ||||||
Series 2013-, | ||||||||
3.000%, 01/01/2033 | 47,972 | 45,505 | ||||||
Series 2014-, | ||||||||
3.500%, 10/01/2044 | 37,466 | 34,380 | ||||||
Series 2015-, | ||||||||
4.000%, 03/01/2044 | 29,627 | 28,641 | ||||||
350,075 | ||||||||
Freddie Mac Pool | ||||||||
Series 2018-, | ||||||||
3.500%, 08/01/2042 | 45,160 | 41,944 | ||||||
4.500%, 01/01/2036 | 68,095 | 67,138 | ||||||
109,082 | ||||||||
Ginnie Mae I Pool | ||||||||
Series 2003-, | ||||||||
5.500%, 10/15/2033 | 47,555 | 49,050 | ||||||
Series 2010-, | ||||||||
5.000%, 05/15/2040 | 39,781 | 40,318 | ||||||
89,368 | ||||||||
Ginnie Mae II Pool | ||||||||
Series 2009-, | ||||||||
4.000%, 11/20/2039 | 40,550 | 39,346 | ||||||
6.000%, 11/20/2039 | 60,358 | 63,198 | ||||||
Series 2011-, | ||||||||
4.000%, 02/20/2041 | 31,857 | 30,453 | ||||||
4.000%, 05/20/2041 | 29,922 | 28,603 | ||||||
4.000%, 10/20/2041 | 13,677 | 13,074 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-, | ||||||||
3.500%, 01/20/2042 | $ | 91,906 | $ | 85,200 | ||||
3.500%, 05/20/2042 | 92,440 | 85,682 | ||||||
Series 2013-, | ||||||||
3.500%, 03/20/2043 | 70,118 | 64,697 | ||||||
5.500%, 11/20/2035 | 85,822 | 88,479 | ||||||
Series 2014-, | ||||||||
3.750%, 04/20/2044 | 68,109 | 64,394 | ||||||
4.000%, 05/20/2044 | 66,842 | 64,169 | ||||||
Series 2016-, | ||||||||
3.500%, 09/20/2046 | 16,477 | 15,031 | ||||||
Series 2021-, | ||||||||
4.000%, 05/20/2051 | 139,609 | 130,619 | ||||||
772,945 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $4,044,749) | 3,920,115 |
Principal Amount | Value (Note 2) | |||||||
CORPORATE BONDS (72.68%) | ||||||||
Advertising & Marketing (0.51%) | ||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
5.00%, 08/15/2027(d) | 1,200,000 | 1,149,750 | ||||||
7.38%, 02/15/2031(d) | 100,000 | 104,833 | ||||||
Total Advertising & Marketing | 1,254,583 | |||||||
Aerospace & Defense (2.96%) | ||||||||
Boeing Co. | ||||||||
3.95%, 08/01/2059 | 2,170,000 | 1,604,202 | ||||||
5.93%, 05/01/2060 | 1,200,000 | 1,199,633 | ||||||
Howmet Aerospace, Inc. | ||||||||
3.00%, 01/15/2029 | 1,335,000 | 1,209,810 | ||||||
Spirit AeroSystems, Inc. | ||||||||
4.60%, 06/15/2028 | 675,000 | 578,107 | ||||||
9.75%, 11/15/2030(d) | 1,600,000 | 1,681,296 | ||||||
TransDigm, Inc. | ||||||||
6.75%, 08/15/2028(d) | 1,000,000 | 1,017,613 | ||||||
Total Aerospace & Defense | 7,290,661 | |||||||
Airlines (2.35%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(d) | 624,870 | 611,556 | ||||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(d) | 1,229,940 | 1,233,339 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(d) | 1,236,031 | 1,161,132 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 2,246,141 | 2,268,253 |
Principal Amount | Value (Note 2) | |||||||
VistaJet Malta Finance PLC / Vista Management Holding, Inc. | ||||||||
9.50%, 06/01/2028(d) | $ | 600,000 | $ | 508,992 | ||||
Total Airlines | 5,783,272 | |||||||
Auto Parts Manufacturing (0.21%) | ||||||||
Adient Global Holdings, Ltd. | ||||||||
7.00%, 04/15/2028(d) | 500,000 | 511,589 | ||||||
Automobiles Manufacturing (3.17%) | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 1,000,000 | 960,056 | ||||||
7.12%, 11/07/2033 | 421,000 | 451,443 | ||||||
7.35%, 11/04/2027 | 1,500,000 | 1,578,555 | ||||||
7.35%, 03/06/2030 | 513,000 | 549,561 | ||||||
General Motors Financial Co., Inc. | ||||||||
6.10%, 01/07/2034 | 1,000,000 | 1,031,493 | ||||||
SOFRINDX + 1.30%, 04/07/2025(a)(e) | 1,300,000 | 1,303,152 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
1.05%, 03/08/2024(d) | 250,000 | 248,721 | ||||||
7.05%, 09/15/2028(d) | 1,600,000 | 1,680,184 | ||||||
Total Automobiles Manufacturing | 7,803,165 | |||||||
Banks (5.61%) | ||||||||
Citizens Bank NA | ||||||||
1D US SOFR + 1.45%, 10/24/2025(a) | 2,477,000 | 2,470,022 | ||||||
Comerica, Inc. | ||||||||
1D US SOFR + 2.155%, 01/30/2030(a) | 500,000 | 498,661 | ||||||
Danske Bank A/S | ||||||||
1Y US TI + 1.35%, 09/11/2026(a)(d) | 3,400,000 | 3,194,623 | ||||||
Discover Bank | ||||||||
5Y US S + 1.73%, 08/09/2028(a) | 1,150,000 | 1,111,650 | ||||||
Fifth Third Bancorp | ||||||||
1D US SOFR + 1.66%, 04/25/2033(a) | 550,000 | 508,864 | ||||||
1D US SOFR + 1.84%, 01/29/2032(a) | 154,000 | 155,496 | ||||||
Huntington National Bank | ||||||||
5.65%, 01/10/2030 | 560,000 | 568,108 | ||||||
Intesa Sanpaolo SpA | ||||||||
1Y US TI + 2.75%, 06/01/2042(a)(d) | 850,000 | 617,451 | ||||||
1Y US TI + 3.90%, 06/20/2054(a)(d) | 575,000 | 589,735 | ||||||
M&T Bank Corp. | ||||||||
1D US SOFR + 2.80%, 10/30/2029(a) | 500,000 | 539,062 | ||||||
PNC Financial Services Group, Inc. | ||||||||
1D US SOFR + 1.902%, 01/22/2035(a) | 1,000,000 | 1,026,617 |
Principal Amount | Value (Note 2) | |||||||
Synovus Bank/Columbus GA | ||||||||
5Y US TI + 3.63%, 10/29/2030(a) | $ | 2,424,000 | $ | 2,010,643 | ||||
Truist Financial Corp. | ||||||||
1D US SOFR + 2.361%, 06/08/2034(a) | 500,000 | 512,410 | ||||||
Total Banks | 13,803,342 | |||||||
Cable & Satellite (2.33%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
6.38%, 09/01/2029(d) | 1,600,000 | 1,559,011 | ||||||
7.38%, 03/01/2031(d) | 1,000,000 | 1,011,250 | ||||||
Cox Communications, Inc. | ||||||||
5.70%, 06/15/2033(d) | 1,000,000 | 1,023,685 | ||||||
Directv Financing LLC | ||||||||
8.88%, 02/01/2030(d) | 500,000 | 510,408 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.00%, 08/01/2027(d) | 1,700,000 | 1,635,443 | ||||||
Total Cable & Satellite | 5,739,797 | |||||||
Casinos & Gaming (2.64%) | ||||||||
Caesars Entertainment, Inc. | ||||||||
6.50%, 02/15/2032(d) | 200,000 | 202,342 | ||||||
7.00%, 02/15/2030(d) | 1,500,000 | 1,542,411 | ||||||
MGM Resorts International | ||||||||
6.75%, 05/01/2025 | 1,233,000 | 1,236,814 | ||||||
Penn Entertainment, Inc. | ||||||||
5.63%, 01/15/2027(d) | 3,674,000 | 3,550,553 | ||||||
Total Casinos & Gaming | 6,532,120 | |||||||
Chemicals (1.03%) | ||||||||
Avient Corp. | ||||||||
5.75%, 05/15/2025(d) | 1,162,000 | 1,158,686 | ||||||
WR Grace Holdings LLC | ||||||||
7.38%, 03/01/2031(d) | 1,350,000 | 1,376,615 | ||||||
Total Chemicals | 2,535,301 | |||||||
Consumer Finance (2.78%) | ||||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/01/2031 | 1,250,000 | 1,384,131 | ||||||
Capital One Financial Corp. | ||||||||
1D US SOFR + 1.905%, 02/01/2030(a) | 153,000 | 154,530 | ||||||
1D US SOFR + 2.26%, 02/01/2035(a) | 153,000 | 155,544 | ||||||
Discover Financial Services | ||||||||
SOFRINDX + 3.37%, 11/02/2034(a)(e) | 1,000,000 | 1,115,714 | ||||||
GTCR W-2 Merger Sub LLC | ||||||||
7.50%, 01/15/2031(d) | 1,066,000 | 1,108,150 | ||||||
OneMain Finance Corp. | ||||||||
6.88%, 03/15/2025 | 1,650,000 | 1,657,500 | ||||||
Synchrony Financial | ||||||||
7.25%, 02/02/2033 | 1,275,000 | 1,275,103 |
Principal Amount | Value (Note 2) | |||||||
Total Consumer Finance | 6,850,672 | |||||||
Consumer Services (0.44%) | ||||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.75%, 04/15/2026(d) | $ | 1,125,000 | $ | 1,082,514 | ||||
Containers & Packaging (1.28%) | ||||||||
Canpack SA / Canpack US LLC | ||||||||
3.88%, 11/15/2029(d) | 1,300,000 | 1,147,081 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
6.63%, 05/13/2027(d) | 1,000,000 | 996,752 | ||||||
7.25%, 05/15/2031(d) | 1,000,000 | 1,006,320 | ||||||
Total Containers & Packaging | 3,150,153 | |||||||
Department Stores (1.67%) | ||||||||
NMG Holding Co. Inc / Neiman Marcus Group LLC | ||||||||
7.13%, 04/01/2026(d) | 2,700,000 | 2,635,887 | ||||||
Nordstrom, Inc. | ||||||||
Series WI | ||||||||
2.30%, 04/08/2024 | 1,500,000 | 1,486,388 | ||||||
Total Department Stores | 4,122,275 | |||||||
Diversified Banks (0.77%) | ||||||||
Bank of America Corp. | ||||||||
1D US SOFR + 1.65%, 01/23/2035(a) | 388,000 | 395,271 | ||||||
1D US SOFR + 1.84%, 09/15/2034(a) | 550,000 | 576,147 | ||||||
5Y US TI + 1.20%, 09/21/2036(a) | 690,000 | 554,079 | ||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 1.62%, 01/23/2035(a) | 389,000 | 395,476 | ||||||
Total Diversified Banks | 1,920,973 | |||||||
Electrical Equipment Manufacturing (0.46%) | ||||||||
Vontier Corp. | ||||||||
2.40%, 04/01/2028 | 1,300,000 | 1,145,177 | ||||||
Entertainment Resources (1.08%) | ||||||||
Six Flags Entertainment Corp. | ||||||||
7.25%, 05/15/2031(d) | 2,600,000 | 2,653,677 | ||||||
Exploration & Production (3.62%) | ||||||||
Baytex Energy Corp. | ||||||||
8.50%, 04/30/2030(d) | 1,000,000 | 1,039,073 | ||||||
Civitas Resources, Inc. | ||||||||
8.75%, 07/01/2031(d) | 1,600,000 | 1,702,966 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
5.75%, 02/01/2029(d) | 675,000 | 652,473 | ||||||
6.25%, 11/01/2028(d) | 1,506,000 | 1,501,629 | ||||||
8.38%, 11/01/2033(d) | 502,000 | 539,886 |
Principal Amount | Value (Note 2) | |||||||
Occidental Petroleum Corp. | ||||||||
7.88%, 09/15/2031 | $ | 1,800,000 | $ | 2,049,646 | ||||
Range Resources Corp. | ||||||||
8.25%, 01/15/2029 | 1,400,000 | 1,452,563 | ||||||
Total Exploration & Production | 8,938,236 | |||||||
Financial Services (3.64%) | ||||||||
Charles Schwab Corp. | ||||||||
1D US SOFR + 2.50%, 05/19/2034(a) | 1,580,000 | 1,637,838 | ||||||
SOFRINDX + 1.05%, 03/03/2027(a)(e) | 1,200,000 | 1,191,856 | ||||||
Morgan Stanley | ||||||||
1D US SOFR + 1.73%, 01/18/2035(a) | 194,000 | 198,053 | ||||||
5Y US TI + 2.43%, 01/19/2038(a) | 1,050,000 | 1,072,626 | ||||||
UBS Group AG | ||||||||
1D US SOFR + 3.92%, 08/12/2033(a)(d) | 3,225,000 | 3,435,561 | ||||||
1Y US TI + 2.00%, 09/22/2034(a)(d) | 1,320,000 | 1,398,805 | ||||||
Total Financial Services | 8,934,739 | |||||||
Food & Beverage (1.50%) | ||||||||
B&G Foods, Inc. | ||||||||
8.00%, 09/15/2028(d) | 1,000,000 | 1,043,640 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg SARL | ||||||||
6.75%, 03/15/2034(d) | 262,000 | 275,924 | ||||||
7.25%, 11/15/2053(d) | 780,000 | 848,794 | ||||||
Pilgrim's Pride Corp. | ||||||||
6.25%, 07/01/2033 | 1,050,000 | 1,073,184 | ||||||
6.88%, 05/15/2034 | 436,000 | 465,227 | ||||||
Total Food & Beverage | 3,706,769 | |||||||
Health Care Facilities & Services (0.88%) | ||||||||
Fortrea Holdings, Inc. | ||||||||
7.50%, 07/01/2030(d) | 1,100,000 | 1,119,327 | ||||||
Star Parent, Inc. | ||||||||
9.00%, 10/01/2030(d) | 1,000,000 | 1,052,753 | ||||||
Total Health Care Facilities & Services | 2,172,080 | |||||||
Homebuilders (1.18%) | ||||||||
Forestar Group, Inc. | ||||||||
3.85%, 05/15/2026(d) | 1,850,000 | 1,759,323 | ||||||
Shea Homes LP | ||||||||
4.75%, 02/15/2028 | 1,200,000 | 1,141,513 | ||||||
Total Homebuilders | 2,900,836 | |||||||
Industrial Other (0.93%) | ||||||||
Brand Industrial Services, Inc. | ||||||||
10.38%, 08/01/2030(d) | 1,000,000 | 1,057,500 | ||||||
Element Fleet Management Corp. | ||||||||
6.27%, 06/26/2026(d) | 1,200,000 | 1,222,377 | ||||||
Total Industrial Other | 2,279,877 |
Principal Amount | Value (Note 2) | |||||||
Leisure Products Manufacturing (0.23%) | ||||||||
Polaris, Inc. | ||||||||
6.95%, 03/15/2029 | $ | 539,000 | $ | 572,628 | ||||
Manufactured Goods (0.87%) | ||||||||
Chart Industries, Inc. | ||||||||
9.50%, 01/01/2031(d) | 2,000,000 | 2,134,825 | ||||||
Oil & Gas Services & Equipment (1.94%) | ||||||||
Diamond Foreign Asset Co. / Diamond Finance LLC | ||||||||
8.50%, 10/01/2030(d) | 1,000,000 | 1,028,894 | ||||||
Noble Finance II LLC | ||||||||
8.00%, 04/15/2030(d) | 250,000 | 259,794 | ||||||
Seadrill Finance, Ltd. | ||||||||
8.38%, 08/01/2030(d) | 2,000,000 | 2,082,989 | ||||||
Transocean Titan Financing, Ltd. | ||||||||
8.38%, 02/01/2028(d) | 1,350,000 | 1,396,292 | ||||||
Total Oil & Gas Services & Equipment | 4,767,969 | |||||||
Pharmaceuticals (0.87%) | ||||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
5.13%, 04/30/2031(d) | 2,500,000 | 2,149,380 | ||||||
Pipeline (7.93%) | ||||||||
Buckeye Partners LP | ||||||||
4.35%, 10/15/2024 | 332,000 | 327,009 | ||||||
4.50%, 03/01/2028(d) | 1,698,000 | 1,595,780 | ||||||
Energy Transfer LP | ||||||||
8.00%, 04/01/2029(d) | 438,000 | 456,173 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(d) | 2,321,000 | 1,906,705 | ||||||
4.32%, 12/30/2039(d) | 1,733,000 | 1,296,101 | ||||||
Genesis Energy LP / Genesis Energy Finance Corp. | ||||||||
8.00%, 01/15/2027 | 2,150,000 | 2,176,750 | ||||||
8.25%, 01/15/2029 | 1,750,000 | 1,800,479 | ||||||
Global Partners LP / GLP Finance Corp. | ||||||||
8.25%, 01/15/2032(d) | 1,000,000 | 1,026,512 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.90%, 04/01/2024(d) | 3,675,000 | 3,661,725 | ||||||
4.63%, 04/01/2029(d) | 1,734,000 | 1,682,848 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.88%, 01/15/2029 | 2,957,000 | 3,051,698 | ||||||
Venture Global LNG, Inc. | ||||||||
9.88%, 02/01/2032(d) | 500,000 | 526,126 | ||||||
Total Pipeline | 19,507,906 |
Principal Amount | Value (Note 2) | |||||||
Power Generation (1.37%) | ||||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 09/01/2026(d) | $ | 1,325,000 | $ | 1,314,179 | ||||
7.75%, 10/15/2031(d) | 2,000,000 | 2,079,070 | ||||||
Total Power Generation | 3,393,249 | |||||||
Publishing & Broadcasting (3.53%) | ||||||||
Gray Television, Inc. | ||||||||
5.38%, 11/15/2031(d) | 4,200,000 | 3,291,046 | ||||||
7.00%, 05/15/2027(d) | 850,000 | 831,823 | ||||||
Nexstar Media, Inc. | ||||||||
5.63%, 07/15/2027(d) | 2,000,000 | 1,949,310 | ||||||
Scripps Escrow, Inc. | ||||||||
5.88%, 07/15/2027(d) | 2,900,000 | 2,617,308 | ||||||
Total Publishing & Broadcasting | 8,689,487 | |||||||
Real Estate (3.47%) | ||||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 05/15/2028(d) | 2,975,000 | 2,936,206 | ||||||
8.88%, 09/01/2031(d) | 250,000 | 261,111 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75%, 02/01/2030 | 3,334,000 | 2,710,542 | ||||||
VICI Properties LP / VICI Note Co., Inc. | ||||||||
4.63%, 06/15/2025(d) | 656,000 | 646,718 | ||||||
5.63%, 05/01/2024(d) | 2,000,000 | 1,998,166 | ||||||
Total Real Estate | 8,552,743 | |||||||
Restaurants (1.35%) | ||||||||
Brinker International, Inc. | ||||||||
8.25%, 07/15/2030(d) | 2,150,000 | 2,252,157 | ||||||
Raising Cane's Restaurants LLC | ||||||||
9.38%, 05/01/2029(d) | 1,000,000 | 1,072,758 | ||||||
Total Restaurants | 3,324,915 | |||||||
Retail - Consumer Discretionary (0.45%) | ||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | ||||||||
8.00%, 02/15/2031(d) | 1,100,000 | 1,098,510 | ||||||
Software & Services (3.37%) | ||||||||
Cloud Software Group, Inc. | ||||||||
6.50%, 03/31/2029(d) | 3,400,000 | 3,177,243 | ||||||
Concentrix Corp. | ||||||||
6.60%, 08/02/2028 | 555,000 | 571,002 | ||||||
CoStar Group, Inc. | ||||||||
2.80%, 07/15/2030(d) | 2,446,000 | 2,103,037 | ||||||
Neptune Bidco US, Inc. | ||||||||
9.29%, 04/15/2029(d) | 1,500,000 | 1,433,963 | ||||||
RingCentral, Inc. | ||||||||
8.50%, 08/15/2030(d) | 1,000,000 | 1,031,875 | ||||||
Total Software & Services | 8,317,120 |
Principal Amount | Value (Note 2) | |||||||
Supermarkets & Pharmacies (0.64%) | ||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
6.50%, 02/15/2028(d) | $ | 1,541,000 | $ | 1,559,107 | ||||
Travel & Lodging (2.02%) | ||||||||
Carnival Corp. | ||||||||
6.00%, 05/01/2029(d) | 1,200,000 | 1,163,187 | ||||||
7.00%, 08/15/2029(d) | 500,000 | 520,322 | ||||||
NCL Corp., Ltd. | ||||||||
8.13%, 01/15/2029(d) | 1,000,000 | 1,050,382 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
8.25%, 01/15/2029(d) | 1,100,000 | 1,167,684 | ||||||
Viking Cruises, Ltd. | ||||||||
9.13%, 07/15/2031(d) | 1,000,000 | 1,070,630 | ||||||
Total Travel & Lodging | 4,972,205 | |||||||
Utilities (2.64%) | ||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | ||||||||
9.38%, 06/01/2028(d) | 1,600,000 | 1,646,112 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
3M US SOFR + 3.17%, 04/30/2043(a) | 1,387,000 | 1,372,843 | ||||||
Sempra | ||||||||
5Y US TI + 2.868%, 04/01/2052(a) | 2,725,000 | 2,412,715 | ||||||
Talen Energy | ||||||||
8.63%, 06/01/2030(d) | 1,000,000 | 1,062,075 | ||||||
Total Utilities | 6,493,745 | |||||||
Waste & Environment Services & Equipment (0.95%) | ||||||||
GFL Environmental, Inc. | ||||||||
5.13%, 12/15/2026(d) | 2,399,000 | 2,344,533 | ||||||
Wireless Telecommunications Services (0.01%) | ||||||||
AT&T, Inc. | ||||||||
5.35%, 11/01/2066 | 832 | 19,968 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $177,870,785) | 179,010,098 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (10.98%) | ||||||||
U.S. Treasury Bonds (10.98%) | ||||||||
United States Treasury Bonds | ||||||||
4.13%, 08/15/2053 | $ | 1,156,000 | $ | 1,137,034 | ||||
4.38%, 08/15/2043 | 3,102,000 | 3,125,265 | ||||||
4.50%, 11/15/2033 | 385,000 | 402,084 | ||||||
4.75%, 11/15/2043 | 1,509,000 | 1,597,890 | ||||||
4.75%, 11/15/2053 | 2,777,000 | 3,032,571 | ||||||
United States Treasury Notes | ||||||||
4.00%, 01/15/2027 | 3,625,000 | 3,624,434 | ||||||
4.25%, 12/31/2025 | 2,412,000 | 2,412,377 | ||||||
4.88%, 11/30/2025 | 11,593,000 | 11,714,590 | ||||||
Total U.S. Treasury Bonds | 27,046,245 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $26,817,717) | 27,046,245 |
Shares | Value (Note 2) | |||||||
PREFERRED STOCK (3.33%) | ||||||||
Financials (3.22%) | ||||||||
Banks (1.43%) | ||||||||
Wells Fargo & Co., Series S, 5.900%(f) | 3,500,000 | 3,503,365 | ||||||
Consumer Finance (0.94%) | ||||||||
American Express Co., 3.550%(f) | 1,500,000 | 1,340,994 | ||||||
Discover Financial Services, Series D, 6.125%(f) | 1,000,000 | 985,531 | ||||||
2,326,525 | ||||||||
Diversified Banks (0.63%) | ||||||||
Barclays PLC, 5Y US TI + 5.672%(a)(f) | 1,560,000 | 1,557,103 | ||||||
Financial Services (0.06%) | ||||||||
State Street Corp., Series I, 5Y US TI + 2.613%(a)(f) | 153,000 | 153,000 | ||||||
Life Insurance (0.16%) | ||||||||
Jackson Financial, Inc., 8.000%(f) | 14,620 | 395,032 | ||||||
Total Financials | 7,935,025 | |||||||
Utilities (0.11%) | ||||||||
Utilities (0.11%) | ||||||||
SCE Trust VII, 7.500%(f) | 9,870 | 259,581 | ||||||
Total Utilities | 259,581 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $8,023,426) | 8,194,606 |
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (3.13%) | ||||||||||||
Money Market Fund (3.13%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 5.23 | % | 7,697,653 | $ | 7,697,653 | |||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $7,697,653) | 7,697,653 | |||||||||||
TOTAL INVESTMENTS (101.23%) | ||||||||||||
(Cost $247,175,942) | $ | 249,316,611 | ||||||||||
Liabilities In Excess Of Other Assets (-1.23%) | (3,019,151 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 246,297,460 |
Investment Abbreviations: |
SOFR - Secured Overnight Financing Rate |
SOFRINDX - Secured Overnight Financing Rate Index |
TI – Treasury Index |
Reference Rates: |
1M US SOFR - 1 Month SOFR as of January 31, 2024 was 5.33% |
30D US SOFR - 30 Day SOFR as of January 31, 2024 was 5.33% |
1D US SOFR - 1 Day SOFR as of January 31, 2024 was 5.32% |
3M US SOFR - 3 Month SOFR as of January 31, 2024 was 5.32% |
1Y US TI - 1 Year US TI as of January 31, 2024 was 4.73% |
5Y US TI - 5 Year US TI as of January 31, 2024 was 3.91% |
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2024 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Issued with zero coupon. |
(c) | Interest only security. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the aggregate market value of those securities was $120,044,285, representing 48.74% of net assets. |
(e) | The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period. |
(f) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See Notes to Quarterly Statement of Investments. |
ALPS | Smith Balanced Opportunity Fund
STATEMENT OF INVESTMENTS
January 31, 2024 (Unaudited)
Shares | Value (Note 2) | |||||||
COMMON STOCKS (60.71%) | ||||||||
Communications (4.96%) | ||||||||
Media (4.17%) | ||||||||
Alphabet, Inc., Class A(a) | 3,170 | $ | 444,117 | |||||
Meta Platforms, Inc., Class A(a) | 852 | 332,399 | ||||||
Walt Disney Co. | 2,259 | 216,977 | ||||||
993,493 | ||||||||
Telecommunications (0.79%) | ||||||||
AT&T, Inc. | 10,695 | 189,195 | ||||||
Total Communications | 1,182,688 | |||||||
Consumer Discretionary (6.98%) | ||||||||
Consumer Discretionary Products (0.86%) | ||||||||
NIKE, Inc., Class B | 2,015 | 204,583 | ||||||
Consumer Discretionary Services (2.63%) | ||||||||
DraftKings, Inc., Class A(a) | 2,650 | 103,483 | ||||||
Marriott International, Inc., Class A | 1,059 | 253,874 | ||||||
McDonald's Corp. | 917 | 268,424 | ||||||
625,781 | ||||||||
Retail & Whsle - Discretionary (3.49%) | ||||||||
Amazon.com, Inc.(a) | 2,655 | 412,056 | ||||||
Lowe's Cos., Inc. | 1,206 | 256,685 | ||||||
O'Reilly Automotive, Inc.(a) | 160 | 163,688 | ||||||
832,429 | ||||||||
Total Consumer Discretionary | 1,662,793 | |||||||
Consumer Staples (3.50%) | ||||||||
Consumer Staple Products (0.46%) | ||||||||
Campbell Soup Co. | 2,455 | 109,567 | ||||||
Retail & Wholesale - Staples (3.04%) | ||||||||
Costco Wholesale Corp. | 489 | 339,796 | ||||||
Target Corp. | 671 | 93,323 | ||||||
Walmart, Inc. | 1,765 | 291,666 | ||||||
724,785 | ||||||||
Total Consumer Staples | 834,352 | |||||||
Energy (3.61%) | ||||||||
Oil & Gas (3.61%) | ||||||||
Baker Hughes Co. | 3,830 | 109,155 | ||||||
BP PLC, Sponsored ADR | 3,965 | 139,172 | ||||||
ConocoPhillips | 3,200 | 357,984 |
Shares | Value (Note 2) | |||||||
Enbridge, Inc. | 7,207 | $ | 255,848 | |||||
862,159 | ||||||||
Total Energy | 862,159 | |||||||
Financials (6.95%) | ||||||||
Banking (3.66%) | ||||||||
JPMorgan Chase & Co. | 3,150 | 549,234 | ||||||
Wells Fargo & Co. | 6,415 | 321,905 | ||||||
871,139 | ||||||||
Financial Services (3.29%) | ||||||||
American Express Co. | 1,475 | 296,092 | ||||||
Intercontinental Exchange, Inc. | 2,098 | 267,138 | ||||||
UBS Group AG | 7,390 | 221,035 | ||||||
784,265 | ||||||||
Total Financials | 1,655,404 | |||||||
Health Care (6.95%) | ||||||||
Health Care (6.95%) | ||||||||
Boston Scientific Corp.(a) | 3,130 | 198,004 | ||||||
HCA Healthcare, Inc. | 930 | 283,557 | ||||||
IQVIA Holdings, Inc.(a) | 865 | 180,119 | ||||||
Pfizer, Inc. | 3,175 | 85,979 | ||||||
Thermo Fisher Scientific, Inc. | 519 | 279,730 | ||||||
UnitedHealth Group, Inc. | 769 | 393,528 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 542 | 234,892 | ||||||
1,655,809 | ||||||||
Total Health Care | 1,655,809 | |||||||
Industrials (7.85%) | ||||||||
Industrial Products (5.96%) | ||||||||
Caterpillar, Inc. | 919 | 275,985 | ||||||
Deere & Co. | 590 | 232,212 | ||||||
Lockheed Martin Corp. | 563 | 241,758 | ||||||
Schneider Electric SE, ADR | 6,425 | 252,374 | ||||||
TE Connectivity, Ltd. | 1,325 | 188,402 | ||||||
Trane Technologies PLC | 915 | 230,626 | ||||||
1,421,357 | ||||||||
Industrial Services (1.89%) | ||||||||
Old Dominion Freight Line, Inc. | 489 | 191,209 | ||||||
Waste Management, Inc. | 1,400 | 259,882 | ||||||
451,091 | ||||||||
Total Industrials | 1,872,448 | |||||||
Materials (2.01%) | ||||||||
Materials (2.01%) | ||||||||
Anglo American PLC, ADR | 6,170 | 73,608 | ||||||
Freeport-McMoRan, Inc. | 2,880 | 114,307 | ||||||
Linde PLC | 515 | 208,487 |
Shares | Value (Note 2) | |||||||
Norsk Hydro ASA, ADR | 13,815 | $ | 82,614 | |||||
479,016 | ||||||||
Total Materials | 479,016 | |||||||
Real Estate (1.27%) | ||||||||
Real Estate (1.27%) | ||||||||
Equity LifeStyle Properties, Inc. | 2,556 | 173,016 | ||||||
Prologis, Inc. | 1,015 | 128,590 | ||||||
301,606 | ||||||||
Total Real Estate | 301,606 | |||||||
Technology (16.05%) | ||||||||
Software & Tech Services (8.58%) | ||||||||
Adobe, Inc.(a) | 430 | 265,645 | ||||||
DocuSign, Inc.(a) | 1,765 | 107,524 | ||||||
International Business Machines Corp. | 1,010 | 185,497 | ||||||
Mastercard, Inc., Class A | 741 | 332,879 | ||||||
Microsoft Corp. | 1,844 | 733,137 | ||||||
Nice, Ltd., ADR | 545 | 113,415 | ||||||
Synopsys, Inc.(a) | 573 | 305,609 | ||||||
2,043,706 | ||||||||
Tech Hardware & Semiconductors (7.47%) | ||||||||
Apple, Inc. | 2,152 | 396,829 | ||||||
Lam Research Corp. | 187 | 154,307 | ||||||
Motorola Solutions, Inc. | 600 | 191,700 | ||||||
NVIDIA Corp. | 860 | 529,131 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 2,506 | 283,077 | ||||||
Texas Instruments, Inc. | 1,413 | 226,250 | ||||||
1,781,294 | ||||||||
Total Technology | 3,825,000 | |||||||
Utilities (0.58%) | ||||||||
Utilities (0.58%) | ||||||||
PPL Corp. | 5,285 | 138,467 | ||||||
Total Utilities | 138,467 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $10,663,129) | 14,469,742 |
Principal Amount | Value (Note 2) | |||||||
BANK LOANS (0.09%) | ||||||||
Principal Amount | Value (Note 2) | |||||||
Pipeline (0.09%) | ||||||||
Buckeye Partners, L.P., TL | ||||||||
1M US SOFR + 2.50%, 11/22/2030(b) | $ | 21,000 | $ | 21,018 | ||||
TOTAL BANK LOANS | ||||||||
(Cost $21,053) | 21,018 |
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (4.14%) | ||||||||
Fannie Mae | ||||||||
Series 1997-10, Class FA, | ||||||||
30D US SOFR + 0.71%, 03/18/2027(b) | $ | 2,776 | $ | 2,774 | ||||
Series 1997-42, Class PK, | ||||||||
4.500%, 07/18/2027 | 4,744 | 4,654 | ||||||
Series 2002-21, Class FD, | ||||||||
30D US SOFR + 1.01%, 04/25/2032(b) | 5,067 | 5,090 | ||||||
Series 2002-22, Class GC, | ||||||||
6.500%, 04/25/2032 | 6,129 | 6,332 | ||||||
Series 2002-58, Class PG, | ||||||||
6.000%, 09/25/2032 | 14,971 | 15,508 | ||||||
Series 2002-58, Class FG, | ||||||||
30D US SOFR + 1.11%, 08/25/2032(b) | 5,533 | 5,602 | ||||||
Series 2003-117, Class KB, | ||||||||
6.000%, 12/25/2033 | 12,809 | 13,311 | ||||||
Series 2003-87, Class SL, | ||||||||
8.98% - 30D US SOFR, 07/25/2033(b) | 29,992 | 29,328 | ||||||
Series 2004-60, Class JC, | ||||||||
5.500%, 04/25/2034 | 15,234 | 15,468 | ||||||
Series 2005-27, Class GH, | ||||||||
5.500%, 04/25/2035 | 90,000 | 92,122 | ||||||
Series 2007-104, Class ZE, | ||||||||
6.000%, 08/25/2037 | 14,541 | 14,787 | ||||||
Series 2007-22, Class A, | ||||||||
5.500%, 03/25/2037 | 6,923 | 7,058 | ||||||
Series 2007-55, Class PH, | ||||||||
6.000%, 06/25/2047 | 17,789 | 18,955 | ||||||
Series 2007-76, Class ZG, | ||||||||
6.000%, 08/25/2037 | 130,965 | 131,843 | ||||||
Series 2008-1, Class LF, | ||||||||
30D US SOFR + 0.81%, 05/25/2037(b) | 15,475 | 15,461 | ||||||
Series 2008-22, Class DB, | ||||||||
5.000%, 04/25/2048 | 13,185 | 13,060 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-12, Class LC, | ||||||||
7.943%, 06/25/2037(b) | $ | 12,442 | $ | 13,366 | ||||
Series 2009-51, Class BZ, | ||||||||
4.500%, 07/25/2039 | 19,232 | 18,854 | ||||||
Series 2010-61, Class WA, | ||||||||
5.983%, 06/25/2040(b) | 12,800 | 13,052 | ||||||
Series 2010-98, Class BH, | ||||||||
5.500%, 09/25/2040 | 15,004 | 15,375 | ||||||
Series 2012-153, Class B, | ||||||||
7.000%, 07/25/2042 | 6,327 | 6,906 | ||||||
Series 2012-64, Class NA, | ||||||||
3.000%, 08/25/2041 | 979 | 965 | ||||||
Series 2013-18, Class MY, | ||||||||
3.000%, 03/25/2033 | 15,000 | 13,781 | ||||||
Series 2013-61, Class NY, | ||||||||
3.000%, 06/25/2033 | 35,000 | 31,950 | ||||||
Series 2014-21, Class MA, | ||||||||
2.000%, 09/25/2041 | 9,239 | 8,664 | ||||||
514,266 | ||||||||
Freddie Mac | ||||||||
Series 1996-1843, Class Z, | ||||||||
7.000%, 04/15/2026 | 103 | 103 | ||||||
Series 1999-2123, Class L, | ||||||||
6.500%, 01/15/2029 | 14,928 | 15,172 | ||||||
Series 2002-2538, Class FB, | ||||||||
30D US SOFR + 0.51%, 12/15/2032(b) | 2,234 | 2,231 | ||||||
Series 2003-2696, Class DG, | ||||||||
5.500%, 10/15/2033 | 9,261 | 9,511 | ||||||
Series 2005-2977, Class AT, | ||||||||
4.500%, 05/15/2025 | 1,927 | 1,908 | ||||||
Series 2005-2993, Class TF, | ||||||||
30D US SOFR + 0.46%, 06/15/2025(b) | 1,549 | 1,549 | ||||||
Series 2006-3174, Class LF, | ||||||||
30D US SOFR + 0.46%, 05/15/2036(b) | 5,702 | 5,665 | ||||||
Series 2006-3239, Class EF, | ||||||||
30D US SOFR + 0.46%, 11/15/2036(b) | 7,686 | 7,564 | ||||||
Series 2007-3298, Class Z, | ||||||||
6.000%, 04/15/2037 | 22,805 | 23,439 | ||||||
Series 2008-3409, Class DB, | ||||||||
6.000%, 01/15/2038 | 15,077 | 15,789 | ||||||
Series 2009-3572, Class KT, | ||||||||
4.500%, 09/15/2039 | 13,831 | 13,708 | ||||||
Series 2010-3645, Class WD, | ||||||||
4.500%, 02/15/2040 | 26,000 | 25,545 | ||||||
Series 2010-3699, Class LC, | ||||||||
4.000%, 03/15/2040 | 9,413 | 9,243 |
Principal Amount | Value (Note 2) | |||||||
Series 2010-3721, Class FB, | ||||||||
30D US SOFR + 0.61%, 09/15/2040(b) | $ | 9,447 | $ | 9,330 | ||||
Series 2010-3759, Class PY, | ||||||||
4.000%, 11/15/2040 | 25,000 | 23,980 | ||||||
Series 2010-3770, Class JZ, | ||||||||
4.000%, 12/15/2040 | 22,807 | 21,871 | ||||||
Series 2011-3954, Class PG, | ||||||||
2.500%, 07/15/2041 | 19,024 | 17,735 | ||||||
Series 2012-3987, Class LP, | ||||||||
3.500%, 01/15/2042 | 26,000 | 23,875 | ||||||
Series 2012-4032, Class AD, | ||||||||
2.000%, 10/15/2041 | 7,837 | 7,433 | ||||||
Series 2012-4043, Class PB, | ||||||||
1.500%, 05/15/2027 | 7,471 | 7,126 | ||||||
Series 2013-4226, Class GZ, | ||||||||
3.000%, 07/15/2043 | 12,167 | 10,999 | ||||||
Series 2015-4498, Class JA, | ||||||||
2.500%, 04/15/2037 | 27,247 | 24,743 | ||||||
278,519 | ||||||||
Ginnie Mae | ||||||||
Series 2003-52, Class AP, | ||||||||
–%, 06/16/2033(c) | 9,921 | 9,252 | ||||||
Series 2004-86, Class C, | ||||||||
5.500%, 10/20/2034 | 13,732 | 13,826 | ||||||
Series 2005-91, Class PD, | ||||||||
5.500%, 12/20/2035 | 8,815 | 8,965 | ||||||
Series 2007-70, Class FC, | ||||||||
1M US SOFR + 0.58%, 11/20/2037(b) | 14,139 | 14,087 | ||||||
Series 2008-2, Class PC, | ||||||||
4.750%, 01/20/2038 | 6,456 | 6,389 | ||||||
Series 2008-46, Class FA, | ||||||||
1M US SOFR + 0.714%, 05/20/2038(b) | 6,252 | 6,251 | ||||||
Series 2008-60, Class JP, | ||||||||
5.500%, 07/20/2038 | 45,801 | 45,884 | ||||||
Series 2009-104, Class KA, | ||||||||
4.500%, 08/16/2039 | 2,841 | 2,818 | ||||||
Series 2011-H23, Class HA, | ||||||||
3.000%, 12/20/2061 | 6,059 | 5,757 | ||||||
Series 2012-39, Class GA, | ||||||||
3.000%, 10/16/2040 | 5,593 | 5,356 | ||||||
Series 2013-149, Class BP, | ||||||||
3.500%, 10/20/2043 | 50,000 | 43,137 | ||||||
Series 2013-98, Class DM, | ||||||||
3.500%, 07/20/2042 | 3,163 | 3,121 | ||||||
Series 2015-91, Class NE, | ||||||||
3.000%, 10/20/2044 | 2,312 | 2,263 | ||||||
Series 2019-152, Class LC, | ||||||||
3.500%, 10/20/2049 | 2,368 | 2,186 |
Principal Amount | Value (Note 2) | |||||||
Series 2019-162, Class GA, | ||||||||
3.000%, 10/20/2049 | $ | 3,208 | $ | 3,005 | ||||
Series 2020-167, Class EC, | ||||||||
1.000%, 02/20/2049 | 6,618 | 5,257 | ||||||
Series 2020-5, Class LC, | ||||||||
3.500%, 10/20/2049 | 2,682 | 2,501 | ||||||
Series 2021-76, Class ND, | ||||||||
1.250%, 08/20/2050 | 7,910 | 6,170 | ||||||
Series 2023-57, Class CV, | ||||||||
5.000%, 04/20/2034 | 7,400 | 7,449 | ||||||
193,674 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $1,082,431) | 986,459 | |||||||
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (0.09%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2014-M9, Class A2, | ||||||||
3.103%, 07/25/2024(b) | 20,650 | 20,393 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $20,633) | 20,393 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (3.96%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2004-, | ||||||||
5.500%, 08/01/2034 | 24,894 | 24,884 | ||||||
5.500%, 11/01/2034 | 36,950 | 36,600 | ||||||
Series 2005-, | ||||||||
7.725%, 06/15/2034 | 10,713 | 11,245 | ||||||
Series 2007-, | ||||||||
5.500%, 08/01/2037 | 26,987 | 26,885 | ||||||
1Y US TI + 2.41%, 10/01/2035(b) | 17,110 | 17,079 | ||||||
Series 2008-, | ||||||||
5.500%, 03/01/2038 | 33,882 | 34,457 | ||||||
5.500%, 05/01/2038 | 27,218 | 27,656 | ||||||
Series 2009-, | ||||||||
5.500%, 11/01/2039 | 27,084 | 26,876 | ||||||
Series 2012-AM0762, | ||||||||
3.290%, 09/01/2032 | 7,845 | 7,284 | ||||||
Series 2012-AM1671, | ||||||||
2.100%, 12/01/2027 | 22,129 | 21,098 | ||||||
Series 2014-, | ||||||||
3.500%, 11/01/2033 | 24,032 | 23,105 |
Principal Amount | Value (Note 2) | |||||||
Series 2015-AM8645, | ||||||||
2.690%, 05/01/2027 | $ | 20,311 | $ | 19,273 | ||||
Series 2015-AM8674, | ||||||||
2.810%, 04/01/2025 | 60,000 | 58,427 | ||||||
Series 2016-, | ||||||||
2.390%, 06/01/2025 | 71,630 | 69,230 | ||||||
Series 2017-, | ||||||||
3.000%, 10/01/2027 | 3,511 | 3,340 | ||||||
Series 2017-AN6670, | ||||||||
3.210%, 09/01/2027 | 28,394 | 26,893 | ||||||
Series 2019-, | ||||||||
3.340%, 05/01/2031 | 23,877 | 22,405 | ||||||
Series 2020-, | ||||||||
1.400%, 11/01/2032 | 55,000 | 43,030 | ||||||
499,767 | ||||||||
Freddie Mac Gold Pool | ||||||||
Series 2012-, | ||||||||
3.000%, 05/01/2032 | 27,044 | 25,747 | ||||||
Freddie Mac Pool | ||||||||
Series 2023-, | ||||||||
4.750%, 01/01/2033 | 69,050 | 68,811 | ||||||
Ginnie Mae II Pool | ||||||||
Series 2009-, | ||||||||
5.000%, 10/20/2039 | 10,940 | 11,007 | ||||||
5.500%, 02/20/2039 | 20,512 | 20,703 | ||||||
Series 2010-, | ||||||||
4.000%, 12/20/2040 | 22,708 | 21,707 | ||||||
4.500%, 04/20/2040 | 99,651 | 97,732 | ||||||
4.500%, 08/20/2040 | 20,407 | 20,013 | ||||||
Series 2011-, | ||||||||
5.000%, 04/20/2041 | 24,960 | 25,076 | ||||||
Series 2012-, | ||||||||
3.500%, 05/20/2042 | 36,273 | 33,229 | ||||||
4.000%, 08/20/2042 | 59,582 | 56,844 | ||||||
Series 2022-, | ||||||||
3.000%, 12/20/2044 | 9,365 | 8,263 | ||||||
Series 2023-, | ||||||||
6.500%, 10/20/2053 | 52,892 | 54,456 | ||||||
349,030 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $983,558) | 943,355 |
Principal Amount | Value (Note 2) | |||||||
CORPORATE BONDS (13.83%) | ||||||||
Aerospace & Defense (1.03%) | ||||||||
Boeing Co. | ||||||||
1.43%, 02/04/2024 | $ | 45,000 | $ | 44,983 | ||||
2.20%, 02/04/2026 | 70,000 | 65,946 | ||||||
3.95%, 08/01/2059 | 53,000 | 39,181 | ||||||
5.93%, 05/01/2060 | 23,000 | 22,993 | ||||||
Howmet Aerospace, Inc. | ||||||||
3.00%, 01/15/2029 | 24,000 | 21,749 | ||||||
L3Harris Technologies, Inc. | ||||||||
5.40%, 07/31/2033 | 26,000 | 26,798 | ||||||
Northrop Grumman Corp. | ||||||||
4.60%, 02/01/2029 | 6,000 | 6,013 | ||||||
4.90%, 06/01/2034 | 9,000 | 9,059 | ||||||
5.20%, 06/01/2054 | 9,000 | 9,043 | ||||||
Total Aerospace & Defense | 245,765 | |||||||
Airlines (0.40%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(d) | 41,301 | 40,421 | ||||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(d) | 16,202 | 16,246 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(d) | 5,002 | 4,699 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 32,943 | 33,268 | ||||||
Total Airlines | 94,634 | |||||||
Automobiles Manufacturing (0.68%) | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 35,000 | 33,602 | ||||||
6.80%, 05/12/2028 | 42,000 | 43,669 | ||||||
General Motors Financial Co., Inc. | ||||||||
5.80%, 01/07/2029 | 23,000 | 23,621 | ||||||
6.10%, 01/07/2034 | 36,000 | 37,134 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
7.05%, 09/15/2028(d) | 22,000 | 23,103 | ||||||
Total Automobiles Manufacturing | 161,129 | |||||||
Banks (0.56%) | ||||||||
Citizens Bank NA | ||||||||
1D US SOFR + 1.45%, 10/24/2025(b) | 44,000 | 43,876 | ||||||
Fifth Third Bancorp | ||||||||
1D US SOFR + 1.84%, 01/29/2032(b) | 5,000 | 5,049 | ||||||
Intesa Sanpaolo SpA | ||||||||
1Y US TI + 3.90%, 06/20/2054(b)(d) | 15,000 | 15,384 | ||||||
Truist Financial Corp. | ||||||||
1D US SOFR + 2.36%, 06/08/2034(b) | 20,000 | 20,496 |
Principal Amount | Value (Note 2) | |||||||
US Bancorp | ||||||||
1D US SOFR + 1.86%, 01/23/2035(b) | $ | 9,000 | $ | 9,213 | ||||
Wells Fargo & Co. | ||||||||
1D US SOFR + 2.02%, 04/24/2034(b) | 41,000 | 41,384 | ||||||
Total Banks | 135,402 | |||||||
Biotechnology (0.54%) | ||||||||
Amgen, Inc. | ||||||||
5.25%, 03/02/2033 | 42,000 | 42,862 | ||||||
5.51%, 03/02/2026 | 41,000 | 41,008 | ||||||
5.75%, 03/02/2063 | 43,000 | 44,354 | ||||||
Total Biotechnology | 128,224 | |||||||
Cable & Satellite (0.27%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50%, 06/01/2033(d) | 22,000 | 18,063 | ||||||
4.75%, 02/01/2032(d) | 27,000 | 23,182 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.00%, 08/01/2027(d) | 23,000 | 22,127 | ||||||
Total Cable & Satellite | 63,372 | |||||||
Casinos & Gaming (0.50%) | ||||||||
MGM Resorts International | ||||||||
6.75%, 05/01/2025 | 60,000 | 60,186 | ||||||
Penn Entertainment, Inc. | ||||||||
5.63%, 01/15/2027(d) | 61,000 | 58,951 | ||||||
Total Casinos & Gaming | 119,137 | |||||||
Chemicals (0.23%) | ||||||||
Avient Corp. | ||||||||
5.75%, 05/15/2025(d) | 19,000 | 18,946 | ||||||
Celanese US Holdings LLC | ||||||||
6.38%, 07/15/2032 | 34,000 | 35,543 | ||||||
Total Chemicals | 54,489 | |||||||
Commercial Finance (0.23%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 55,000 | 55,793 | ||||||
Consumer Finance (0.29%) | ||||||||
Capital One Financial Corp. | ||||||||
1D US SOFR + 1.905%, 02/01/2030(b) | 5,000 | 5,050 | ||||||
1D US SOFR + 2.26%, 02/01/2035(b) | 5,000 | 5,083 | ||||||
Discover Financial Services | ||||||||
SOFRINDX + 3.37%, 11/02/2034(b)(e) | 20,000 | 22,314 | ||||||
Fiserv, Inc. | ||||||||
5.60%, 03/02/2033 | 18,000 | 18,670 | ||||||
GTCR W-2 Merger Sub LLC | ||||||||
7.50%, 01/15/2031(d) | 19,000 | 19,751 |
Principal Amount | Value (Note 2) | |||||||
Total Consumer Finance | 70,868 | |||||||
Consumer Products (0.08%) | ||||||||
Procter & Gamble Co. | ||||||||
4.35%, 01/29/2029 | $ | 9,000 | $ | 9,057 | ||||
4.55%, 01/29/2034 | 9,000 | 9,125 | ||||||
Total Consumer Products | 18,182 | |||||||
Diversified Banks (0.65%) | ||||||||
Bank of America Corp. | ||||||||
1D US SOFR + 1.65%, 01/23/2035(b) | 14,000 | 14,262 | ||||||
1D US SOFR + 1.84%, 09/15/2034(b) | 18,000 | 18,856 | ||||||
1D US SOFR + 1.91%, 04/25/2034(b) | 38,000 | 38,247 | ||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 1.07%, 12/15/2025(b) | 44,000 | 44,035 | ||||||
1D US SOFR + 1.62%, 01/23/2035(b) | 14,000 | 14,233 | ||||||
1D US SOFR + 2.58%, 09/14/2033(b) | 26,000 | 26,807 | ||||||
Total Diversified Banks | 156,440 | |||||||
Entertainment Resources (0.07%) | ||||||||
Vail Resorts, Inc. | ||||||||
6.25%, 05/15/2025(d) | 17,000 | 17,035 | ||||||
Exploration & Production (0.47%) | ||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
6.25%, 11/01/2028(d) | 42,000 | 41,878 | ||||||
8.38%, 11/01/2033(d) | 9,000 | 9,679 | ||||||
Occidental Petroleum Corp. | ||||||||
7.88%, 09/15/2031 | 51,000 | 58,073 | ||||||
Total Exploration & Production | 109,630 | |||||||
Financial Services (1.04%) | ||||||||
Charles Schwab Corp. | ||||||||
1D US SOFR + 2.01%, 08/24/2034(b) | 18,000 | 19,037 | ||||||
1D US SOFR + 2.50%, 05/19/2034(b) | 20,000 | 20,732 | ||||||
SOFRINDX + 1.05%, 03/03/2027(b)(e) | 25,000 | 24,830 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1D US SOFR + 0.50%, 09/10/2024(b) | 24,000 | 23,991 | ||||||
Morgan Stanley | ||||||||
1D US SOFR + 1.36%, 09/16/2036(b) | 61,000 | 48,769 | ||||||
1D US SOFR + 1.73%, 01/18/2035(b) | 7,000 | 7,146 | ||||||
1D US SOFR + 2.05%, 11/01/2034(b) | 10,000 | 11,075 | ||||||
5Y US TI + 2.43%, 01/19/2038(b) | 21,000 | 21,453 |
Principal Amount | Value (Note 2) | |||||||
UBS Group AG | ||||||||
1D US SOFR + 3.92%, 08/12/2033(b)(d) | $ | 52,000 | $ | 55,394 | ||||
1Y US TI + 1.80%, 09/22/2029(b)(d) | 7,000 | 7,299 | ||||||
1Y US TI + 2.00%, 09/22/2034(b)(d) | 5,000 | 5,299 | ||||||
Total Financial Services | 245,025 | |||||||
Food & Beverage (0.61%) | ||||||||
J M Smucker Co. | ||||||||
6.20%, 11/15/2033 | 24,000 | 25,992 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg SARL | ||||||||
6.75%, 03/15/2034(d) | 10,000 | 10,531 | ||||||
7.25%, 11/15/2053(d) | 30,000 | 32,646 | ||||||
JDE Peet's NV | ||||||||
0.80%, 09/24/2024(d) | 16,000 | 15,481 | ||||||
Pilgrim's Pride Corp. | ||||||||
6.25%, 07/01/2033 | 43,000 | 43,949 | ||||||
6.88%, 05/15/2034 | 16,000 | 17,073 | ||||||
Total Food & Beverage | 145,672 | |||||||
Government Agencies (0.04%) | ||||||||
Tennessee Valley Authority | ||||||||
2.22%, 05/01/2029 | 427 | 9,368 | ||||||
Health Care Facilities & Services (0.13%) | ||||||||
HCA, Inc. | ||||||||
5.50%, 06/01/2033 | 30,000 | 30,475 | ||||||
Industrial Other (0.26%) | ||||||||
Jacobs Engineering Group, Inc. | ||||||||
5.90%, 03/01/2033 | 42,000 | 42,872 | ||||||
Quanta Services, Inc. | ||||||||
0.95%, 10/01/2024 | 19,000 | 18,430 | ||||||
Total Industrial Other | 61,302 | |||||||
Leisure Products Manufacturing (0.09%) | ||||||||
Polaris, Inc. | ||||||||
6.95%, 03/15/2029 | 20,000 | 21,248 | ||||||
Machinery Manufacturing (0.08%) | ||||||||
Nordson Corp. | ||||||||
5.80%, 09/15/2033 | 18,000 | 19,029 | ||||||
Medical Equipment & Devices Manufacturing (0.09%) | ||||||||
Revvity, Inc. | ||||||||
0.85%, 09/15/2024 | 23,000 | 22,323 | ||||||
Pharmaceuticals (0.62%) | ||||||||
Bristol-Myers Squibb Co. | ||||||||
6.25%, 11/15/2053 | 23,000 | 26,046 |
Principal Amount | Value (Note 2) | |||||||
Merck & Co., Inc. | ||||||||
4.50%, 05/17/2033 | $ | 12,000 | $ | 11,951 | ||||
5.00%, 05/17/2053 | 29,000 | 29,075 | ||||||
Pfizer Investment Enterprises Pte, Ltd. | ||||||||
4.75%, 05/19/2033 | 21,000 | 20,982 | ||||||
5.11%, 05/19/2043 | 32,000 | 31,833 | ||||||
5.30%, 05/19/2053 | 28,000 | 28,490 | ||||||
Total Pharmaceuticals | 148,377 | |||||||
Pipeline (1.94%) | ||||||||
Buckeye Partners LP | ||||||||
4.50%, 03/01/2028(d) | 50,000 | 46,990 | ||||||
Energy Transfer LP | ||||||||
8.00%, 04/01/2029(d) | 16,000 | 16,664 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(d) | 63,000 | 51,755 | ||||||
4.32%, 12/30/2039(d) | 62,000 | 46,369 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.60%, 10/15/2025(d) | 17,000 | 16,272 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.90%, 04/01/2024(d) | 74,000 | 73,733 | ||||||
4.63%, 04/01/2029(d) | 32,000 | 31,056 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.50%, 07/15/2027 | 91,000 | 92,686 | ||||||
6.88%, 01/15/2029 | 46,000 | 47,473 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.20%, 03/09/2026 | 38,000 | 37,998 | ||||||
Total Pipeline | 460,996 | |||||||
Power Generation (0.36%) | ||||||||
Vistra Operations Co. LLC | ||||||||
5.13%, 05/13/2025(d) | 39,000 | 38,717 | ||||||
5.50%, 09/01/2026(d) | 29,000 | 28,763 | ||||||
6.95%, 10/15/2033(d) | 19,000 | 20,094 | ||||||
Total Power Generation | 87,574 | |||||||
Publishing & Broadcasting (0.31%) | ||||||||
Gray Television, Inc. | ||||||||
5.38%, 11/15/2031(d) | 23,000 | 18,022 | ||||||
Nexstar Media, Inc. | ||||||||
4.75%, 11/01/2028(d) | 25,000 | 22,926 | ||||||
5.63%, 07/15/2027(d) | 24,000 | 23,392 | ||||||
Scripps Escrow II, Inc. | ||||||||
3.88%, 01/15/2029(d) | 12,000 | 10,330 | ||||||
Total Publishing & Broadcasting | 74,670 | |||||||
Real Estate (0.28%) | ||||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 05/15/2028(d) | 13,000 | 12,830 | ||||||
VICI Properties LP / VICI Note Co., Inc. | ||||||||
4.63%, 06/15/2025(d) | 22,000 | 21,689 | ||||||
5.63%, 05/01/2024(d) | 33,000 | 32,969 | ||||||
Total Real Estate | 67,488 |
Principal Amount | Value (Note 2) | |||||||
Refining & Marketing (0.30%) | ||||||||
HF Sinclair Corp. | ||||||||
4.50%, 10/01/2030 | $ | 46,000 | $ | 43,699 | ||||
5.00%, 02/01/2028(d) | 8,000 | 7,770 | ||||||
5.88%, 04/01/2026 | 22,000 | 22,263 | ||||||
Total Refining & Marketing | 73,732 | |||||||
Restaurants (0.08%) | ||||||||
Brinker International, Inc. | ||||||||
8.25%, 07/15/2030(d) | 18,000 | 18,855 | ||||||
Semiconductors (0.06%) | ||||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024 | 15,000 | 14,973 | ||||||
Software & Services (0.56%) | ||||||||
Concentrix Corp. | ||||||||
6.60%, 08/02/2028 | 22,000 | 22,634 | ||||||
CoStar Group, Inc. | ||||||||
2.80%, 07/15/2030(d) | 54,000 | 46,429 | ||||||
Leidos, Inc. | ||||||||
5.75%, 03/15/2033 | 14,000 | 14,456 | ||||||
VMware LLC | ||||||||
2.20%, 08/15/2031 | 21,000 | 17,348 | ||||||
4.70%, 05/15/2030 | 32,000 | 31,492 | ||||||
Total Software & Services | 132,359 | |||||||
Transportation & Logistics (0.15%) | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | ||||||||
1.88%, 02/20/2034 | 41,979 | 35,266 | ||||||
Utilities (0.47%) | ||||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
3M US SOFR + 3.171%, 04/30/2043(b) | 23,000 | 22,765 | ||||||
5Y US TI + 3.533%, 09/15/2053(b) | 22,000 | 22,874 | ||||||
Series GMTN | ||||||||
4.85%, 02/07/2029 | 9,000 | 9,077 | ||||||
5.00%, 02/07/2031 | 9,000 | 9,066 | ||||||
Sempra | ||||||||
5Y US TI + 2.868%, 04/01/2052(b) | 32,000 | 28,333 | ||||||
Southern California Edison Co. | ||||||||
1.10%, 04/01/2024 | 10,000 | 9,920 | ||||||
Southern Co. | ||||||||
5.11%, 08/01/2027 | 8,000 | 8,102 | ||||||
Total Utilities | 110,137 | |||||||
Waste & Environment Services & Equipment (0.15%) | ||||||||
GFL Environmental, Inc. | ||||||||
5.13%, 12/15/2026(d) | 36,000 | 35,183 |
Principal Amount | Value (Note 2) | |||||||
Wireless Telecommunications Services (0.21%) | ||||||||
AT&T, Inc. | ||||||||
5.54%, 02/20/2026 | $ | 18,000 | $ | 18,007 | ||||
T-Mobile USA, Inc. | ||||||||
4.80%, 07/15/2028 | 21,000 | 21,065 | ||||||
6.00%, 06/15/2054 | 11,000 | 12,033 | ||||||
Total Wireless Telecommunications Services | 51,105 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $3,330,310) | 3,295,257 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (11.95%) | ||||||||
U.S. Treasury Bonds (11.95%) | ||||||||
United States Treasury Bonds | ||||||||
4.13%, 08/15/2053 | 381,000 | 374,749 | ||||||
4.38%, 08/15/2043 | 404,000 | 407,030 | ||||||
4.50%, 11/15/2033 | 174,000 | 181,721 | ||||||
4.75%, 11/15/2043 | 388,000 | 410,856 | ||||||
4.75%, 11/15/2053 | 407,000 | 444,456 | ||||||
United States Treasury Notes | ||||||||
4.00%, 01/15/2027 | 43,000 | 42,993 | ||||||
4.75%, 07/31/2025 | 125,000 | 125,603 | ||||||
4.88%, 11/30/2025 | 366,000 | 369,839 | ||||||
5.00%, 08/31/2025 | 90,000 | 90,842 | ||||||
5.00%, 09/30/2025 | 245,000 | 247,546 | ||||||
5.00%, 10/31/2025 | 150,000 | 151,717 | ||||||
Total U.S. Treasury Bonds | 2,847,352 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $2,745,394) | 2,847,352 |
Shares | Value (Note 2) | |||||||
PREFERRED STOCK (0.64%) | ||||||||
Energy (0.06%) | ||||||||
Pipeline (0.06%) | ||||||||
Energy Transfer LP, Series F, 6.750%(f) | 15,000 | 14,710 | ||||||
Total Energy | 14,710 | |||||||
Financials (0.54%) | ||||||||
Banks (0.23%) | ||||||||
Huntington Bancshares, Inc., Series J, 6.875%(f) | 1,037 | 25,220 | ||||||
Wells Fargo & Co., Series S, 5.900%(f) | 30,000 | 30,028 | ||||||
55,248 | ||||||||
Consumer Finance (0.22%) | ||||||||
Ally Financial, Inc., Series C, 4.700%(f) | 18,000 | 13,725 | ||||||
American Express Co., 3.550%(f) | 26,000 | 23,244 |
Shares | Value (Note 2) | |||||||
Discover Financial Services, Series D, 6.125%(f) | 15,000 | $ | 14,783 | |||||
51,752 | ||||||||
Financial Services (0.02%) | ||||||||
State Street Corp., Series I, 5Y US TI + 2.613%(b)(f) | 5,000 | 5,000 | ||||||
Life Insurance (0.07%) | ||||||||
Jackson Financial, Inc., 8.000%(f) | 591 | 15,969 | ||||||
Total Financials | 127,969 | |||||||
Utilities (0.04%) | ||||||||
Utilities (0.04%) | ||||||||
SCE Trust VII, 7.500%(f) | 355 | 9,337 | ||||||
Total Utilities | 9,337 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $155,813) | 152,016 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (3.02%) | ||||||||||||
Money Market Fund (3.02%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 5.23 | % | 147,729 | 147,729 | ||||||||
State Street Institutional Treasury Plus Money Market Fund - Premier Class | 5.30 | % | 572,658 | 572,658 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $720,387) | 720,387 | |||||||||||
TOTAL INVESTMENTS (98.43%) | ||||||||||||
(Cost $19,722,708) | $ | 23,455,979 | ||||||||||
Other Assets In Excess Of Liabilities (1.57%) | 375,211 | |||||||||||
NET ASSETS (100.00%) | $ | 23,831,190 |
Investment Abbreviations: |
SOFR - Secured Overnight Financing Rate |
SOFRINDX - Secured Overnight Financing Rate Index |
TI – Treasury Index |
Reference Rates: |
1M US SOFR - 1 Month SOFR as of January 31, 2024 was 5.33% |
30D US SOFR - 30 Day SOFR as of January 31, 2024 was 5.33% |
1D US SOFR - 1 Day SOFR as of January 31, 2024 was 5.32% |
3M US SOFR - 3 Month SOFR as of January 31, 2024 was 5.32% |
1Y US TI - 1 Year US TI as of January 31, 2024 was 4.73% |
5Y US TI - 5 Year US TI as of January 31, 2024 was 3.91% |
(a) | Non-Income Producing Security. |
(b) | Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2024 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(c) | Issued with zero coupon. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2024, the aggregate market value of those securities was $1,076,924, representing 4.52% of net assets. |
(e) | The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period. |
(f) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See Notes to Quarterly Statement of Investments. |
Notes to Quarterly Statements of Investments
January 31, 2024 (Unaudited)
1. ORGANIZATION
Financial Investors Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the ALPS | Smith Short Duration Bond Fund, ALPS | Smith Total Return Bond Fund, ALPS | Smith Credit Opportunities Fund and ALPS |Smith Balanced Opportunity Fund (each, a “Fund” and collectively, the “Funds”).
The ALPS | Smith Total Return Bond Fund seeks to obtain maximum total return, consistent with preservation of capital. The ALPS | Smith Short Duration Bond Fund seeks as high a level of current income as is consistent with preservation of capital. The ALPS | Smith Balanced Opportunity Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The ALPS | Smith Credit Opportunities Fund seeks to obtain maximum risk-adjusted return with a secondary focus on high current income.
The classes of each Fund differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends to shareholders are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions to shareholders are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services -Investment Companies".
Investment Valuation: The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.
The market price for debt obligations is generally the price supplied by an independent third-party pricing service utilized by ALPS Advisors, Inc. (the “Adviser”) as the valuation designee (the “Valuation Designee”), which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more brokers-dealers that make a market in the security. Investments in non-exchange traded funds are fair valued at their respective net asset values. Bonds may be purchased and held as odd lots. Pricing vendors generally value securities assuming orderly transactions of institutional round lot sizes, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Special valuation considerations may apply with respect to a Fund’s odd-lot positions, as the Fund may receive different prices when it sells such positions than it would receive for sales of institutional round lot positions. The Funds have odd lot pricing policies they employ to value odd lot securities.
Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Trust’s Board of Trustees (the “Board” or “Trustees”) has appointed the Adviser to serve as the Valuation Designee to perform fair value determinations for investments in the Funds. When such prices or quotations are not available, or when the Valuation Designee believes that they are unreliable, securities may be priced using fair value procedures approved by the Board. The fair valuation policies and procedures (“FV Procedures”) have been adopted by the Board for the fair valuation of portfolio assets held by the Funds in the event that (1) market quotations for the current price of a portfolio security or asset are not readily available, or (2) available market quotations that would otherwise be used to value a portfolio security or asset in accordance with the Funds’ Pricing Procedures appear to be unreliable. The Pricing Procedures reflect certain pricing methodologies (or “logics”) that are not “readily available market quotations” and thus are viewed and treated as fair valuations. The Valuation Designee routinely meets to discuss fair valuations of portfolio securities and other instruments held by the Funds.
Fair Value Measurements: The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.
Various inputs are used in determining the value of each Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
Level 1 – | Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date; |
Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
Level 3 – | Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The following is a summary of each Fund’s investments/financial instruments in the fair value hierarchy as of January 31, 2024:
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Short Duration Bond Fund | ||||||||||||||||
Bank Loans | $ | – | $ | 1,501,253 | $ | – | $ | 1,501,253 | ||||||||
Collateralized Mortgage Obligations | – | 427,442 | – | 427,442 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 238,813 | – | 238,813 | ||||||||||||
Mortgage-Backed Securities | – | 5,344,338 | – | 5,344,338 | ||||||||||||
Corporate Bonds | – | 434,263,104 | – | 434,263,104 | ||||||||||||
Government Bonds | – | 133,413,893 | – | 133,413,893 | ||||||||||||
Short Term Investments | 22,215,819 | – | – | 22,215,819 | ||||||||||||
Total | $ | 22,215,819 | $ | 575,188,843 | $ | – | $ | 597,404,662 |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Total Return Bond Fund | ||||||||||||||||
Bank Loans | $ | – | $ | 21,847,652 | $ | – | $ | 21,847,652 | ||||||||
Collateralized Mortgage Obligations | – | 281,989,952 | – | 281,989,952 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 62,661,879 | – | 62,661,879 | ||||||||||||
Mortgage-Backed Securities | – | 420,227,089 | – | 420,227,089 | ||||||||||||
Corporate Bonds | 3,645,278 | 990,670,356 | – | 994,315,634 | ||||||||||||
Government Bonds | – | 880,243,954 | – | 880,243,954 | ||||||||||||
Preferred Stock | 11,202,501 | 45,350,788 | – | 56,553,289 | ||||||||||||
Short Term Investments | 79,250,859 | – | – | 79,250,859 | ||||||||||||
Total | $ | 94,098,638 | $ | 2,702,991,670 | $ | – | $ | 2,797,090,308 |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Credit Opportunities Fund | ||||||||||||||||
Common Stocks(a) | $ | 325,141 | $ | – | $ | – | $ | 325,141 | ||||||||
Bank Loans | – | 11,813,629 | – | 11,813,629 | ||||||||||||
Collateralized Mortgage Obligations | – | 8,326,313 | – | 8,326,313 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 2,982,811 | – | 2,982,811 | ||||||||||||
Mortgage-Backed Securities | – | 3,920,115 | – | 3,920,115 | ||||||||||||
Corporate Bonds | 19,968 | 178,990,130 | – | 179,010,098 | ||||||||||||
Government Bonds | – | 27,046,245 | – | 27,046,245 | ||||||||||||
Preferred Stock | 654,613 | 7,539,993 | – | 8,194,606 | ||||||||||||
Short Term Investments | 7,697,653 | – | – | 7,697,653 | ||||||||||||
Total | $ | 8,697,375 | $ | 240,619,236 | $ | – | $ | 249,316,611 |
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Balanced Opportunity Fund | ||||||||||||||||
Common Stocks(a) | $ | 14,469,742 | $ | – | $ | – | $ | 14,469,742 | ||||||||
Bank Loans | – | 21,018 | – | 21,018 | ||||||||||||
Collateralized Mortgage Obligations | – | 986,459 | – | 986,459 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 20,393 | – | 20,393 | ||||||||||||
Mortgage-Backed Securities | – | 943,355 | – | 943,355 | ||||||||||||
Corporate Bonds | 9,368 | 3,285,889 | – | 3,295,257 | ||||||||||||
Government Bonds | – | 2,847,352 | – | 2,847,352 | ||||||||||||
Preferred Stock | 50,526 | 101,490 | – | 152,016 | ||||||||||||
Short Term Investments | 720,387 | – | – | 720,387 | ||||||||||||
Total | $ | 15,250,023 | $ | 8,205,956 | $ | – | $ | 23,455,979 |
(a) | For detailed descriptions of sector and/or industry, see the accompanying Statement of Investments. |
For the period ended January 31, 2024, the Funds did not have any securities that used significant unobservable inputs (Level 3) in determining fair value.
Fund and Class Expenses: Some expenses of the Trust can be directly attributed to a Fund or a specific share class of a Fund. Expenses which cannot be directly attributed are apportioned among all Funds in the Trust based on average net assets of each share class within a Fund.
Federal Income Taxes: The Funds comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and intend to distribute substantially all of their net taxable income and net capital gains, if any, each year. The Funds are not subject to income taxes to the extent such distributions are made.
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Distributions to Shareholders: Each Fund normally pays dividends, if any, on a monthly basis and distributes capital gains, if any, annually. Income dividend distributions are derived from interest, dividends, and other income a Fund receives from its investments, including distributions of short- term capital gains. Capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than a year or from long-term capital gain distributions from underlying investments. Each Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes.
Investment Transactions and Investment Income: Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis). Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date or for certain foreign securities, as soon as information is available to each Fund.
Treasury Inflation Protected-Securities (“TIPS”): The Funds may invest in TIPS, including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on a Fund’s distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
Loan Participations and Assignments: Certain Funds may invest in loan participations and assignments. The Fund considers loan participations and assignments to be investments in debt securities. Loan participations typically will result in the Fund having a contractual relationship only with the lender, not with the borrower. The Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the borrower. Under a loan participation, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set- off against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. When the Fund purchases assignments of loans from lenders, the Fund will acquire direct rights against the borrower on the loan, except that under certain circumstances such rights may be more limited than those held by the assigning lender.