WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST …

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

FUNDS SUB-ADVISED BY WESTERN ASSET MANAGEMENT COMPANY, LLC

FINANCIAL STATEMENTS

DECEMBER 31, 2020

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust Funds Sub-Advised by Western Asset Management Company, LLC

CONTENTS

Independent Auditor's Report ..................................................................................................................................................................... 1 Fund Index ................................................................................................................................................................................................. 3 Western Asset Core Bond CIT ................................................................................................................................................................... 4 Western Asset Core Plus Bond CIT ......................................................................................................................................................... 72 Notes to the Financial Statements.......................................................................................................................................................... 120

1

INDEPENDENT AUDITOR'S REPORT Wilmington Trust, N.A., Trustee for Wilmington Trust Collective Investment Trust Report on the Financial Statements We have audited the accompanying financial statements of the funds sub-advised by Western Asset Management Company, LLC of Wilmington Trust Collective Investment Trust (the "Trust"), comprising the funds (the "Funds") included on the Fund Index on page 3, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2020, the related statements of operations and changes in net assets, the financial highlights for the year then ended, and the related notes to the financial statements. These financial statements and financial highlights are hereinafter collectively referred to as financial statements. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2020, the results of its operations, changes in its net assets and its financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

www.hogantaylor.com

2

Other Matter Our audits were conducted for the purpose of forming an opinion on the financial statements as a whole. The supplementary information for the year ended December 31, 2020, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audits of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.

Tulsa, Oklahoma April 30, 2021


3

FUND INDEX

FUND NAME FUND OBJECTIVE Western Asset Core Bond CIT The Fund seeks to maximize total return, consistent with prudent investment

management and liquidity needs, by investing primarily in high quality, U.S. domestic core fixed income securities. There is no guarantee that the Fund will achieve its investment objective.

Western Asset Core Plus Bond CIT The Fund seeks to maximize total return, consistent with prudent investment

management and liquidity needs, by investing to obtain an average weighted duration within 30% of the duration of the Bloomberg Barclays U.S. Aggregate Bond Index. There is no guarantee that the Fund will achieve its investment objective.


See Notes to the Financial Statements. 4

Western Asset Core Bond CIT

Schedule of Investments December 31, 2020

Principal

Amount or FairShares Cost Value

Asset-Backed Securities - 5.4%Auto - 0.2%

Avis Budget Rental Car Funding AESOP LLC, 2.36%, 3/20/2026 2,089,000 2,078,262$ 2,177,970$ Avis Budget Rental Car Funding AESOP LLC, 3.35%, 9/22/2025 1,567,000 1,615,761 1,673,111

Total Auto 3,694,023 3,851,081

Financials - 5.2%ACIS CLO 2014-4 Ltd., 1.634%, 5/1/2026 24,112 24,117 24,113 ACIS CLO 2015-6 Ltd., 1.795%, 5/1/2027 189,167 189,272 189,198 AGL CLO 6 Ltd., 2.174%, 7/20/2031 1,210,000 1,210,000 1,215,301 AGL Core CLO 8 Ltd., 1.724%, 10/20/2031 1,040,000 1,040,000 1,042,518 Allegro CLO XI Ltd., 1.613%, 1/19/2033 1,500,000 1,469,390 1,502,691 AMMC CLO 16 Ltd., 1.489%, 4/14/2029 200,000 198,051 200,003 AMMC CLO 23 Ltd., 1.635%, 10/17/2031 410,000 410,000 410,654 AMMC CLO XI Ltd., 1.215%, 4/30/2031 107,000 106,081 106,128 AMMC CLO XII Ltd., 1.406%, 11/10/2030 704,000 702,509 703,311 Amortizing Residential Collateral Trust 2002-BC5, 1.165%, 7/25/2032 27,799 27,758 27,758 Applebee's Funding LLC / IHOP Funding LLC, 4.194%, 6/7/2049 1,305,728 1,333,227 1,287,865 ARES LII CLO Ltd., 2.072%, 4/22/2031 522,000 522,000 521,997 ARES XLIV CLO Ltd., 1.591%, 10/15/2029 418,000 416,071 417,219 ARES XLVII CLO Ltd., 1.161%, 4/15/2030 940,000 933,068 934,759 Avery Point VII CLO Ltd., 1.377%, 1/15/2028 207,000 207,000 206,845 Bain Capital Credit CLO 2020-1, 1.413%, 4/18/2033 500,000 488,582 500,129 Ballyrock CLO 2018-1 Ltd., 1.224%, 4/20/2031 627,000 620,622 623,032 Benefit Street Partners CLO IV Ltd., 1.474%, 1/20/2029 731,000 731,000 731,018 BlueMountain CLO 2015-1 Ltd., 1.555%, 4/13/2027 674,153 669,953 674,222 Bowman Park CLO Ltd., 1.393%, 11/23/2025 64,156 64,206 64,182 Brazos Student Finance Corp., 2.751%, 12/27/2039 352,667 360,487 360,044 Canyon CLO 2020-2 Ltd., 1.66%, 10/15/2031 1,500,000 1,500,000 1,504,152 Catskill Park CLO Ltd., 1.924%, 4/20/2029 770,000 769,450 770,026 CBAM 2017-2 Ltd., 1.973%, 10/17/2029 907,000 907,000 907,010 Cedar Funding VI CLO Ltd., 1.314%, 10/20/2028 209,000 208,996 208,549 Cedar Funding VIII CLO Ltd., 1.473%, 10/17/2030 650,000 641,912 650,008 Cerberus Loan Funding XXVIII LP, 2.091%, 10/15/2031 650,000 650,000 650,770 Columbia Cent CLO 29 Ltd., 1.924%, 7/20/2031 1,030,000 1,030,000 1,035,780 Cutwater 2014-I Ltd., 1.491%, 7/15/2026 146,794 146,908 146,579 CWHEQ Revolving Home Equity Loan Trust Series 2005-C, 0.307%, 7/15/2035 11,432 10,757 11,074 Dividend Solar Loans 2019-1 LLC, 3.67%, 8/22/2039 1,127,798 1,137,361 1,162,220 Dryden 75 CLO Ltd, 1.441%, 7/15/2030 974,000 974,000 974,006 Ford Credit Floorplan Master Owner Trust A, 4.06%, 11/15/2030 2,365,000 2,583,787 2,787,060 Fortress Credit Bsl VII Ltd., 2.218%, 7/23/2032 783,000 782,912 805,821




Schedule of Investments (continued) December 31, 2020

Principal


Asset-Backed Securities - 5.4% (continued)Financials - 5.2% (continued)

Galaxy XV CLO Ltd., 1.841%, 10/15/2030 1,279,000 1,267,970$ 1,277,094$ GMACM Home Equity Loan Trust 2006-HE5, 0.45%, 2/25/2037 4,297 4,257 4,290 Golub Capital Partners CLO 45M Ltd., 1.944%, 10/20/2031 1,232,000 1,233,407 1,230,141 Greywolf CLO V Ltd., 1.378%, 1/27/2031 557,473 546,994 556,895 GSAA Home Equity Trust 2005-9, 0.99%, 8/25/2035 227,601 230,018 228,284 Halcyon Loan Advisors Funding 2015-2 Ltd., 1.298%, 7/25/2027 397,713 397,476 396,274 Halsey Point CLO I Ltd., 1.574%, 1/20/2033 780,000 777,476 781,073 Halsey Point CLO 3 Ltd., 1.629%, 11/30/2032 2,100,000 2,094,759 2,107,970 Hildene Community Funding CDO Ltd., 3.25%, 11/1/2035 850,000 850,000 851,694 HSI Asset Securitization Corp. Trust 2006-OPT3, 0.31%, 2/25/2036 54,997 55,028 54,820 HSI Asset Securitization Corp. Trust 2006-OPT3, 0.4%, 2/25/2036 60,000 56,458 58,355 Jamestown CLO IV Ltd., 1.591%, 7/15/2026 1,765,000 1,766,722 1,763,053 Jamestown CLO X Ltd., 1.473%, 7/17/2029 235,000 235,349 235,004 Jamestown CLO X Ltd., 2.073%, 7/17/2029 679,000 679,027 679,007 KKR CLO 16 Ltd., 1.474%, 1/20/2029 1,279,000 1,279,907 1,279,004 KKR CLO 16 Ltd., 2.024%, 1/20/2029 539,000 539,000 539,012 KKR CLO 32 Ltd., 1/15/2032 ^ 850,000 850,000 850,445 LCM Loan Income Fund I Income Note Issuer Ltd., 1.303%, 7/16/2031 522,000 519,087 519,486 LCM XVIII LP, 1.481%, 7/15/2027 349,614 340,438 349,635 LCM XXIV Ltd., 1.534%, 3/20/2030 1,200,000 1,202,644 1,200,043 Legacy Mortgage Asset Trust 2019-GS5, 3.2%, 5/25/2059 2,743,981 2,799,447 2,770,392 Long Beach Mortgage Loan Trust 2000-1, 0.65%, 1/21/2031 4,449 4,392 4,398 Long Beach Mortgage Loan Trust 2004-6, 1.43%, 11/25/2034 24,214 24,394 24,240 Magnetite XIV-R Ltd., 3.939%, 10/18/2031 2,640,000 2,633,532 2,638,656 Magnetite XVII Ltd., 1.324%, 7/20/2031 522,000 519,784 520,763 Magnetite XVIII Ltd., 1.301%, 11/15/2028 573,000 573,334 572,202 Marathon CLO XIII Ltd., 2.241%, 4/15/2032 548,000 547,926 549,213 MASTR Asset Backed Securities Trust 2007-NCW, 0.43%, 5/25/2037 479,885 460,260 442,185 MidOcean Credit CLO VII, 1.841%, 7/15/2029 1,250,000 1,250,000 1,227,193 MONROE CAPITAL BSL CLO 2015-1 Ltd., 1.963%, 5/22/2027 201,000 200,971 200,023 Morgan Stanley ABS Capital I Inc Trust 2005-NC2, 1.045%, 3/25/2035 34,289 33,698 34,233 Morgan Stanley Home Equity Loan Trust 2006-2, 0.69%, 2/25/2036 1,823,513 1,809,001 1,804,288 Morgan Stanley Resecuritization Trust 2015-R7, 4.25%, 2/26/2029 244,085 245,756 246,716 Myers Park CLO Ltd., 1.824%, 10/20/2030 710,000 703,691 706,672 Navient Student Loan Trust 2016-6, 1.43%, 3/25/2066 1,044,000 1,062,812 1,065,199 Nelnet Student Loan Trust 2007-1, 0.317%, 8/27/2036 2,523,000 2,404,609 2,406,278 Newark BSL CLO 2 Ltd., 1.488%, 7/25/2030 320,000 319,842 320,021





Principal



Ocean Trails CLO IX, 2.153%, 10/15/2029 2,720,000 2,720,000$ 2,729,607$ OHA Credit Funding 7 Ltd., 1.475%, 10/19/2032 700,000 700,000 700,613 OHA Loan Funding 2013-2 Ltd., 1.253%, 5/23/2031 1,530,000 1,528,337 1,524,885 OHA Loan Funding 2015-1 Ltd., 1.561%, 11/15/2032 300,000 300,000 300,342 Owl Rock CLO III Ltd., 2.024%, 4/20/2032 1,460,000 1,460,000 1,459,993 Parallel 2020-1 Ltd., 2.049%, 7/20/2031 1,250,000 1,250,000 1,254,471 Recette CLO Ltd., 1.144%, 10/20/2027 416,894 406,151 416,578 Romark CLO III Ltd., 1.611%, 7/15/2032 1,000,000 979,249 1,000,077 SBA Small Business Investment Cos, 3.113%, 3/10/2029 618,997 644,829 658,424 Seneca Park CLO Ltd. 2014-1, 1.338%, 7/17/2026 8,939 8,944 8,941 Shackleton 2013-III CLO Ltd., 1.361%, 7/15/2030 103,434 102,999 103,122 Silver Rock CLO I Ltd., 1.847%, 10/20/2031 2,170,000 2,170,000 2,211,432 SLM Private Credit Student Loan Trust 2005-B, 0.547%, 6/15/2039 64,080 59,048 61,302 SLM Student Loan Trust 2006-2, 0.388%, 1/25/2041 79,165 74,078 76,343 SLM Student Loan Trust 2006-10, 0.368%, 3/25/2044 2,807,804 2,689,353 2,735,920 SMB Private Education Loan Trust 2019-B, 1.127%, 6/15/2037 1,195,000 1,196,992 1,199,757 SMB Private Education Loan Trust 2020-A, 2.23%, 9/15/2037 4,800,000 4,799,841 4,981,423 Sonic Capital LLC, 3.845%, 1/20/2050 1,666,000 1,772,860 1,777,589 Sound Point CLO XX Ltd., 1.315%, 7/26/2031 76,000 75,358 75,577 Structured Asset Investment Loan Trust 2004-1, 0.93%, 2/25/2034 446,891 449,907 443,180 Symphony CLO XIX Ltd., 1.183%, 4/16/2031 496,000 491,199 493,621 Symphony CLO XVIII Ltd., 2.018%, 1/23/2028 324,000 324,000 322,277 TCI-Flatiron CLO 2016-1 Ltd., 1.386%, 1/17/2032 840,000 840,000 840,000 TCI-Flatiron CLO 2016-1 Ltd., 1.438%, 7/17/2028 783,000 783,191 783,002 TCI-Symphony CLO 2016-1 Ltd., 1.874%, 10/13/2029 574,000 572,365 570,796 Tralee CLO III Ltd., 1.254%, 10/20/2027 512,581 502,676 511,423 Tralee CLO V Ltd., 1.924%, 10/20/2028 638,000 633,458 633,509 Tralee CLO VI Ltd., 1.518%, 10/25/2032 1,428,000 1,428,000 1,465,876 United States Small Business Administration, 2.69%, 7/1/2044 456,480 469,164 493,035 United States Small Business Administration, 2.98%, 4/1/2039 418,726 436,059 457,229 Venture 37 CLO Ltd., 1.631%, 7/15/2032 230,000 230,000 230,186 Voya CLO 2016-3 Ltd., 1.413%, 10/18/2031 1,700,000 1,686,933 1,698,643 Voya CLO 2017-2, 1.951%, 6/7/2030 825,000 823,919 822,262 Voya CLO 2017-3 Ltd., 1.454%, 7/20/2030 1,750,000 1,750,000 1,750,044 Voya CLO 2018-3 Ltd., 1.391%, 10/15/2031 705,000 703,003 705,004 Whitebox CLO I Ltd., 1.628%, 7/24/2032 581,000 580,979 581,829 Whitebox CLO II Ltd., 1.992%, 10/24/2031 1,570,000 1,570,000 1,577,960





Principal



Zais CLO 2 Ltd., 2.92%, 7/25/2026 29,397 29,370$ 29,415$ Zais CLO 5 Ltd., 1.771%, 10/15/2028 856,289 858,155 856,297 Zais CLO 13 Ltd., 1.731%, 7/15/2032 915,100 908,369 917,067

Total Financials 92,594,729 93,309,344 Total Asset-Backed Securities 96,288,752 97,160,425

Corporate Bonds - 33.7%Basic Materials - 1.6%

Anglo American Capital PLC, 3.625%, 9/11/2024 1,052,000 1,074,166 1,144,434 Anglo American Capital PLC, 4%, 9/11/2027 258,000 264,805 296,261 Anglo American Capital PLC, 4.75%, 4/10/2027 625,000 667,092 737,278 ArcelorMittal SA, 3.6%, 7/16/2024 1,760,000 1,790,727 1,899,301 ArcelorMittal SA, 4.55%, 3/11/2026 1,033,000 1,071,915 1,160,623 Barrick (PD) Australia Finance Pty Ltd., 5.95%, 10/15/2039 992,000 1,263,370 1,428,216 Barrick North America Finance LLC, 5.7%, 5/30/2041 88,000 110,131 127,324 BHP Billiton Finance (USA) Limited, 2.875%, 2/24/2022 53,000 53,584 54,512 BHP Billiton Finance (USA) Limited, 5%, 9/30/2043 917,000 1,170,253 1,348,840 Corporacion Nacional del Cobre de Chile, 3.625%, 8/1/2027 1,675,000 1,756,634 1,869,575 Corporacion Nacional del Cobre de Chile, 3.7%, 1/30/2050 1,500,000 1,595,941 1,650,531 Equate Petrochemical B.V., 4.25%, 11/3/2026 1,469,000 1,571,788 1,636,128 Glencore Finance (Canada) Limited, 4.25%, 10/25/2022 493,000 505,682 525,129 Glencore Funding LLC, 3%, 10/27/2022 18,000 18,097 18,672 Glencore Funding LLC, 3.875%, 10/27/2027 295,000 299,785 332,436 Glencore Funding LLC, 4%, 3/27/2027 723,000 737,335 817,845 Glencore Funding LLC, 4.125%, 5/30/2023 336,000 346,208 363,367 Glencore Funding LLC, 4.125%, 3/12/2024 1,430,000 1,483,864 1,573,562 OCP S.A., 4.5%, 10/22/2025 764,000 803,103 831,206 Southern Copper Corporation, 3.5%, 11/8/2022 50,000 50,959 52,575 Southern Copper Corporation, 5.25%, 11/8/2042 2,182,000 2,472,687 2,925,110 Southern Copper Corporation, 5.875%, 4/23/2045 624,000 759,754 902,115 Suzano Austria GmbH, 6%, 1/15/2029 2,595,000 2,829,601 3,120,513 Syngenta Finance N.V., 3.933%, 4/23/2021 101,000 101,296 101,678 Vale Overseas Ltd., 6.25%, 8/10/2026 2,003,000 2,269,582 2,483,720 Vale Overseas Ltd., 6.875%, 11/21/2036 374,000 468,074 548,146 Vale Overseas Ltd., 6.875%, 11/10/2039 642,000 810,787 955,784

Total Basic Materials 26,347,220 28,904,881





Principal


Corporate Bonds - 33.7% (continued)Communications - 3.7%

Alphabet Inc., 0.45%, 8/15/2025 160,000 159,854$ 160,360$ Alphabet Inc., 0.8%, 8/15/2027 310,000 309,006 309,823 Alphabet Inc., 1.1%, 8/15/2030 370,000 369,025 364,941 Alphabet Inc., 2.05%, 8/15/2050 600,000 594,980 572,658 Amazon.com, Inc., 0.8%, 6/3/2025 810,000 809,720 821,881 Amazon.com, Inc., 1.2%, 6/3/2027 1,000,000 1,000,015 1,020,141 Amazon.com, Inc., 1.5%, 6/3/2030 940,000 939,013 955,988 Amazon.com, Inc., 2.5%, 6/3/2050 800,000 807,871 830,057 Amazon.com, Inc., 2.8%, 8/22/2024 80,000 85,996 86,575 Amazon.com, Inc., 3.15%, 8/22/2027 719,000 756,163 818,627 Amazon.com, Inc., 3.875%, 8/22/2037 315,000 356,776 392,953 Amazon.com, Inc., 4.05%, 8/22/2047 1,275,000 1,609,908 1,683,575 Amazon.com, Inc., 4.25%, 8/22/2057 1,160,000 1,575,463 1,652,923 Amazon.com, Inc., 4.95%, 12/5/2044 354,000 461,881 519,320 America Movil, S.A.B. de C.V., 3.125%, 7/16/2022 529,000 536,092 548,711 AT&T Inc., 1.65%, 2/1/2028 630,000 629,247 642,785 AT&T Inc., 2.25%, 2/1/2032 410,000 420,513 415,912 AT&T Inc., 2.3%, 6/1/2027 1,230,000 1,232,514 1,311,842 AT&T Inc., 3.1%, 2/1/2043 2,130,000 2,174,910 2,161,882 AT&T Inc., 3.5%, 9/15/2053 11,000 10,939 11,016 AT&T Inc., 3.55%, 9/15/2055 757,000 751,127 754,430 AT&T Inc., 3.65%, 9/15/2059 222,000 222,441 224,162 AT&T Inc., 3.8%, 2/15/2027 503,000 535,037 578,917 AT&T Inc., 4.35%, 6/15/2045 231,000 243,511 266,893 AT&T Inc., 4.5%, 5/15/2035 10,000 11,213 12,134 AT&T Inc., 4.5%, 3/9/2048 1,149,000 1,264,946 1,374,376 AT&T Inc., 6.1%, 7/15/2040 1,000 1,235 1,398 Charter Communications Operating, LLC, 3.75%, 2/15/2028 110,000 112,108 123,336 Charter Communications Operating, LLC, 4.2%, 3/15/2028 734,000 763,737 846,836 Charter Communications Operating, LLC, 4.8%, 3/1/2050 210,000 212,212 250,824 Charter Communications Operating, LLC, 4.908%, 7/23/2025 2,537,000 2,822,085 2,946,593 Charter Communications Operating, LLC, 5.05%, 3/30/2029 2,923,000 3,233,546 3,553,969 Charter Communications Operating, LLC, 5.375%, 4/1/2038 378,000 418,941 472,100 Charter Communications Operating, LLC, 5.375%, 5/1/2047 158,000 171,759 197,201 Charter Communications Operating, LLC, 5.75%, 4/1/2048 217,000 247,242 283,932 Charter Communications Operating, LLC, 6.384%, 10/23/2035 20,000 24,139 27,401 Charter Communications Operating, LLC, 6.484%, 10/23/2045 288,000 348,402 407,364





Principal


Corporate Bonds - 33.7% (continued)Communications - 3.7% (continued)

Comcast Corporation, 3.1%, 4/1/2025 50,000 53,799$ 55,016$ Comcast Corporation, 3.15%, 3/1/2026 525,000 559,772 586,143 Comcast Corporation, 3.25%, 11/1/2039 180,000 186,981 204,369 Comcast Corporation, 3.3%, 4/1/2027 280,000 313,606 318,386 Comcast Corporation, 3.4%, 4/1/2030 400,000 399,338 462,541 Comcast Corporation, 3.4%, 7/15/2046 60,000 64,700 69,076 Comcast Corporation, 3.45%, 2/1/2050 520,000 558,829 613,634 Comcast Corporation, 3.75%, 4/1/2040 100,000 109,871 120,803 Comcast Corporation, 3.9%, 3/1/2038 400,000 434,715 489,531 Comcast Corporation, 3.95%, 10/15/2025 885,000 952,967 1,016,759 Comcast Corporation, 4%, 3/1/2048 110,000 124,133 138,579 Comcast Corporation, 4.15%, 10/15/2028 3,259,000 3,649,909 3,923,101 Comcast Corporation, 4.25%, 10/15/2030 673,000 755,487 828,697 Comcast Corporation, 4.7%, 10/15/2048 268,000 332,068 374,432 Comcast Corporation, 5.65%, 6/15/2035 311,000 399,648 446,483 Comcast Corporation, 7.05%, 3/15/2033 405,000 566,664 621,872 Fox Corporation, 4.709%, 1/25/2029 155,000 173,810 188,062 Fox Corporation, 5.476%, 1/25/2039 1,210,000 1,554,039 1,659,299 Fox Corporation, 5.576%, 1/25/2049 175,000 219,348 255,804 Sprint Spectrum Co LLC, 3.36%, 9/20/2021 495,375 498,571 500,032 Sprint Spectrum Co LLC, 4.738%, 3/20/2025 164,000 172,619 177,627 Telefonica Emisiones S.A, 4.103%, 3/8/2027 26,000 27,891 30,099 Telefonica Emisiones S.A, 5.213%, 3/8/2047 329,000 379,215 421,716 Tencent Holdings Limited, 3.595%, 1/19/2028 1,488,000 1,551,796 1,642,650 Time Warner Cable, LLC, 4%, 9/1/2021 20,000 20,263 20,284 Time Warner Cable, LLC, 5.5%, 9/1/2041 27,000 31,594 34,691 Time Warner Cable, LLC, 5.875%, 11/15/2040 599,000 666,184 799,521 Time Warner Cable, LLC, 6.55%, 5/1/2037 139,000 164,615 190,808 Time Warner Cable, LLC, 6.75%, 6/15/2039 115,000 140,127 163,669 Time Warner Cable, LLC, 7.3%, 7/1/2038 47,000 58,840 69,651 T-Mobile USA, Inc., 2.05%, 2/15/2028 140,000 143,609 145,622 T-Mobile USA, Inc., 2.25%, 11/15/2031 740,000 739,927 759,492 T-Mobile USA, Inc., 2.55%, 2/15/2031 450,000 469,027 472,532 T-Mobile USA, Inc., 3%, 2/15/2041 460,000 448,975 476,891 T-Mobile USA, Inc., 3.3%, 2/15/2051 200,000 193,973 205,766 T-Mobile USA, Inc., 3.5%, 4/15/2025 1,190,000 1,252,198 1,314,926 T-Mobile USA, Inc., 3.875%, 4/15/2030 1,570,000 1,559,355 1,818,374





Principal



Verizon Communications Inc., 0.85%, 11/20/2025 210,000 209,979$ 211,649$ Verizon Communications Inc., 1.68%, 10/30/2030 22,000 22,129 21,911 Verizon Communications Inc., 1.75%, 1/20/2031 640,000 637,118 636,802 Verizon Communications Inc., 2.625%, 8/15/2026 278,000 280,791 304,624 Verizon Communications Inc., 2.65%, 11/20/2040 1,480,000 1,486,614 1,494,453 Verizon Communications Inc., 2.875%, 11/20/2050 1,260,000 1,256,732 1,269,580 Verizon Communications Inc., 3%, 3/22/2027 200,000 199,921 221,889 Verizon Communications Inc., 3.15%, 3/22/2030 520,000 518,512 583,134 Verizon Communications Inc., 3.376%, 2/15/2025 840,000 894,330 932,933 Verizon Communications Inc., 3.5%, 11/1/2024 298,000 310,500 329,147 Verizon Communications Inc., 3.85%, 11/1/2042 748,000 798,712 887,151 Verizon Communications Inc., 3.875%, 2/8/2029 1,202,000 1,318,561 1,414,872 Verizon Communications Inc., 4%, 3/22/2050 2,350,000 2,837,283 2,843,633 Verizon Communications Inc., 4.125%, 3/16/2027 246,000 267,218 289,958 Verizon Communications Inc., 4.125%, 8/15/2046 261,000 305,371 320,234 Verizon Communications Inc., 4.329%, 9/21/2028 1,124,000 1,249,199 1,353,554 Verizon Communications Inc., 4.5%, 8/10/2033 792,000 906,987 999,354 Verizon Communications Inc., 4.522%, 9/15/2048 1,004,000 1,273,496 1,309,299 Verizon Communications Inc., 4.862%, 8/21/2046 556,000 691,304 751,399 Verizon Communications Inc., 5.25%, 3/16/2037 245,000 301,181 332,022 Verizon Communications Inc., 5.5%, 3/16/2047 66,000 86,084 96,145 ViacomCBS Inc., 3.875%, 4/1/2024 38,000 39,352 41,540 Vodafone Group Public Limited Company, 4.375%, 5/30/2028 790,000 860,291 946,150 Walt Disney Company/The, 6.2%, 12/15/2034 4,000 5,520 6,065 Walt Disney Company/The, 6.65%, 11/15/2037 230,000 336,650 363,474

Total Communications 63,245,865 67,181,746

Consumer, Cyclical - 1.6%BMW US Capital LLC, 1.85%, 9/15/2021 111,000 110,747 112,029 Continental Airlines 2001-1 Class A-1 Pass Through Trust,

6.703%, 6/15/2021 18,828 19,600 18,679 Costco Wholesale Corporation, 1.375%, 6/20/2027 1,160,000 1,163,312 1,195,136 Costco Wholesale Corporation, 1.6%, 4/20/2030 680,000 679,720 696,794 Costco Wholesale Corporation, 1.75%, 4/20/2032 530,000 533,838 550,842 Delta Air Lines Inc / SkyMiles IP Ltd., 4.5%, 10/20/2025 1,230,000 1,240,870 1,314,697 Delta Air Lines Inc / SkyMiles IP Ltd., 4.75%, 10/20/2028 1,170,000 1,174,369 1,277,069 Dollar General Corporation, 3.25%, 4/15/2023 70,000 73,426 74,067 Ford Motor Credit Company LLC, 5.875%, 8/2/2021 926,000 941,293 947,761





Principal


Corporate Bonds - 33.7% (continued)Consumer, Cyclical - 1.6% (continued)

General Motors Company, 5.15%, 4/1/2038 93,000 94,240$ 111,819$ General Motors Company, 5.95%, 4/1/2049 84,000 89,947 113,603 General Motors Company, 6.25%, 10/2/2043 498,000 543,072 671,787 General Motors Financial Company, Inc., 3.45%, 4/10/2022 135,000 136,185 138,824 General Motors Financial Company, Inc., 3.7%, 5/9/2023 10,000 9,978 10,599 General Motors Financial Company, Inc., 4.35%, 1/17/2027 111,000 113,379 126,361 Home Depot, Inc./The, 2.5%, 4/15/2027 400,000 422,836 438,953 Home Depot, Inc./The, 2.7%, 4/15/2030 450,000 447,652 502,250 Home Depot, Inc./The, 3.3%, 4/15/2040 510,000 520,220 601,087 Home Depot, Inc./The, 3.35%, 4/15/2050 1,450,000 1,527,542 1,725,608 Home Depot, Inc./The, 3.9%, 6/15/2047 90,000 98,352 114,939 Las Vegas Sands Corp., 2.9%, 6/25/2025 110,000 107,995 115,108 Las Vegas Sands Corp., 3.2%, 8/8/2024 1,236,000 1,251,015 1,309,139 Lowe's Companies, Inc., 4.5%, 4/15/2030 290,000 288,689 360,983 McDonald's Corporation, 1.45%, 9/1/2025 760,000 758,578 788,125 McDonald's Corporation, 2.125%, 3/1/2030 380,000 379,810 400,645 McDonald's Corporation, 3.3%, 7/1/2025 460,000 496,494 512,241 McDonald's Corporation, 3.35%, 4/1/2023 10,000 10,604 10,653 McDonald's Corporation, 3.5%, 3/1/2027 266,000 286,239 304,416 McDonald's Corporation, 3.5%, 7/1/2027 300,000 338,431 344,140 McDonald's Corporation, 3.6%, 7/1/2030 430,000 427,043 503,980 McDonald's Corporation, 3.625%, 9/1/2049 85,000 94,671 99,749 McDonald's Corporation, 3.7%, 1/30/2026 327,000 350,739 372,482 McDonald's Corporation, 3.8%, 4/1/2028 177,000 190,947 206,903 McDonald's Corporation, 4.2%, 4/1/2050 980,000 1,109,373 1,259,876 McDonald's Corporation, 4.875%, 12/9/2045 685,000 814,727 930,665 Newell Brands Inc., 4.35%, 4/1/2023 196,000 199,688 205,582 Newell Brands Inc., 4.7%, 4/1/2026 21,000 21,735 23,132 NIKE, Inc., 2.4%, 3/27/2025 380,000 399,760 409,523 NIKE, Inc., 2.75%, 3/27/2027 600,000 648,766 663,915 NIKE, Inc., 2.85%, 3/27/2030 610,000 609,164 691,050 NIKE, Inc., 3.25%, 3/27/2040 320,000 319,305 372,220 NIKE, Inc., 3.375%, 3/27/2050 1,370,000 1,446,285 1,694,885 Sands China Ltd., 4.6%, 8/8/2023 642,000 668,856 681,798 Sands China Ltd., 5.125%, 8/8/2025 881,000 951,350 988,711 Target Corporation, 2.25%, 4/15/2025 650,000 679,397 695,798 TJX Companies, Inc./The, 3.5%, 4/15/2025 460,000 481,718 513,586 TJX Companies, Inc./The, 3.75%, 4/15/2027 130,000 146,677 150,339





Principal



Walgreens Boots Alliance, Inc., 3.45%, 6/1/2026 338,000 346,481$ 373,829$ Walmart Inc., 3.05%, 7/8/2026 862,000 902,502 970,451 Walmart Inc., 3.4%, 6/26/2023 310,000 327,110 332,923 Walmart Inc., 3.55%, 6/26/2025 210,000 233,852 237,795 Walmart Inc., 3.7%, 6/26/2028 1,077,000 1,174,645 1,268,547

Total Consumer, Cyclical 26,403,224 28,536,093

Consumer, Non-cyclical - 5.6%Abbott Laboratories, 3.4%, 11/30/2023 14,000 15,109 15,180 Abbott Laboratories, 3.75%, 11/30/2026 1,019,000 1,140,775 1,193,701 Abbott Laboratories, 4.75%, 11/30/2036 214,000 258,914 294,361 Abbott Laboratories, 4.9%, 11/30/2046 429,000 549,792 635,994 AbbVie Inc., 2.3%, 11/21/2022 2,590,000 2,588,384 2,684,276 AbbVie Inc., 2.6%, 11/21/2024 2,050,000 2,048,599 2,197,181 AbbVie Inc., 2.95%, 11/21/2026 520,000 519,471 575,042 AbbVie Inc., 3.2%, 11/21/2029 3,050,000 3,174,511 3,418,122 AbbVie Inc., 3.45%, 3/15/2022 166,000 169,157 171,196 AbbVie Inc., 3.6%, 5/14/2025 266,000 274,044 296,347 AbbVie Inc., 3.75%, 11/14/2023 150,000 159,921 163,559 AbbVie Inc., 3.8%, 3/15/2025 474,000 507,940 528,595 AbbVie Inc., 4.25%, 11/14/2028 20,000 23,081 23,978 AbbVie Inc., 4.25%, 11/21/2049 610,000 689,019 764,831 AbbVie Inc., 4.4%, 11/6/2042 10,000 11,489 12,558 AbbVie Inc., 4.55%, 3/15/2035 27,000 31,274 34,136 Aetna Inc., 2.8%, 6/15/2023 129,000 131,090 135,728 Aetna Inc., 3.875%, 8/15/2047 234,000 230,165 279,086 Allergan Funding SCS, 3.45%, 3/15/2022 10,000 10,149 10,259 Altria Group, Inc., 2.35%, 5/6/2025 170,000 169,938 180,622 Altria Group, Inc., 2.85%, 8/9/2022 203,000 204,763 210,812 Altria Group, Inc., 3.49%, 2/14/2022 265,000 268,379 274,105 Altria Group, Inc., 3.8%, 2/14/2024 282,000 291,901 307,940 Altria Group, Inc., 4.4%, 2/14/2026 2,033,000 2,161,872 2,360,456 Altria Group, Inc., 4.75%, 5/5/2021 338,000 340,842 342,871 Altria Group, Inc., 4.8%, 2/14/2029 734,000 801,384 879,403 Altria Group, Inc., 5.8%, 2/14/2039 225,000 266,322 296,454 Altria Group, Inc., 5.95%, 2/14/2049 2,147,000 2,771,139 3,007,859 Altria Group, Inc., 6.2%, 2/14/2059 209,000 251,333 293,434 Amgen Inc., 4.663%, 6/15/2051 5,000 6,497 6,820





Principal


Corporate Bonds - 33.7% (continued)Consumer, Non-cyclical - 5.6% (continued)

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc., 3.65%, 2/1/2026 1,544,000 1,627,241$ 1,745,291$

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc., 4.9%, 2/1/2046 1,239,000 1,457,712 1,610,986

Anheuser-Busch InBev Worldwide Inc., 3.5%, 6/1/2030 370,000 370,228 428,594 Anheuser-Busch InBev Worldwide Inc., 4%, 4/13/2028 170,000 184,692 200,423 Anheuser-Busch InBev Worldwide Inc., 4.15%, 1/23/2025 496,000 529,655 564,790 Anheuser-Busch InBev Worldwide Inc., 4.35%, 6/1/2040 920,000 919,434 1,128,797 Anheuser-Busch InBev Worldwide Inc., 4.5%, 6/1/2050 1,775,000 1,776,788 2,240,511 Anheuser-Busch InBev Worldwide Inc., 4.75%, 1/23/2029 1,745,000 1,986,935 2,154,893 Anthem, Inc., 2.95%, 12/1/2022 423,000 427,440 443,140 Anthem, Inc., 3.125%, 5/15/2022 213,000 215,255 220,992 Anthem, Inc., 3.3%, 1/15/2023 25,000 26,188 26,444 Anthem, Inc., 3.35%, 12/1/2024 209,000 215,067 230,282 Anthem, Inc., 3.65%, 12/1/2027 773,000 806,102 891,401 B.A.T Capital Corporation, 3.557%, 8/15/2027 2,070,000 2,076,847 2,304,901 B.A.T Capital Corporation, 4.54%, 8/15/2047 693,000 658,109 769,543 Becton, Dickinson and Company, 3.363%, 6/6/2024 759,000 779,695 825,090 Becton, Dickinson and Company, 3.7%, 6/6/2027 20,000 22,277 22,952 Becton, Dickinson and Company, 3.734%, 12/15/2024 143,000 149,007 158,542 Becton, Dickinson and Company, 4.685%, 12/15/2044 164,000 189,382 211,693 Bristol Myers Squibb Company, 2.25%, 8/15/2021 318,000 318,475 321,460 Bristol Myers Squibb Company, 2.6%, 5/16/2022 617,000 621,988 636,640 Bristol Myers Squibb Company, 2.9%, 7/26/2024 1,663,000 1,715,091 1,804,780 Bristol Myers Squibb Company, 3.2%, 6/15/2026 851,000 882,360 957,488 Bristol Myers Squibb Company, 3.4%, 7/26/2029 1,954,000 2,144,838 2,274,770 Bristol Myers Squibb Company, 3.625%, 5/15/2024 63,000 65,532 69,068 Bristol Myers Squibb Company, 3.875%, 8/15/2025 565,000 607,384 644,547 Bristol Myers Squibb Company, 5%, 8/15/2045 202,000 256,127 292,169 Bristol Myers Squibb Company, 5.25%, 8/15/2043 120,000 151,817 172,028 Cargill, Incorporated, 1.375%, 7/23/2023 660,000 660,582 676,477 Cigna Corporation, 2.4%, 3/15/2030 780,000 832,240 831,653 Cigna Corporation, 3.4%, 9/17/2021 379,000 381,901 387,148 Cigna Corporation, 3.4%, 3/15/2050 15,000 16,117 16,879 Cigna Corporation, 3.75%, 7/15/2023 972,000 1,008,310 1,050,800 Cigna Corporation, 4.125%, 11/15/2025 291,000 308,115 335,238 Cigna Corporation, 4.375%, 10/15/2028 1,708,000 1,888,588 2,064,437 Cigna Corporation, 4.9%, 12/15/2048 1,010,000 1,306,557 1,388,888





Principal



Cintas Corporation No. 2, 2.9%, 4/1/2022 314,000 317,270$ 323,193$ Cintas Corporation No. 2, 3.7%, 4/1/2027 372,000 399,224 428,612 Coca-Cola Company/The, 1.45%, 6/1/2027 720,000 722,360 743,706 Coca-Cola Company/The, 2.5%, 6/1/2040 370,000 364,161 394,104 Coca-Cola Company/The, 2.5%, 3/15/2051 340,000 337,926 350,372 Coca-Cola Company/The, 2.6%, 6/1/2050 720,000 702,884 759,752 Coca-Cola Company/The, 2.95%, 3/25/2025 290,000 312,762 319,655 Coca-Cola Company/The, 3.375%, 3/25/2027 300,000 341,010 344,083 CommonSpirit Health, 4.35%, 11/1/2042 42,000 44,520 49,212 CVS Health Corporation, 2.75%, 12/1/2022 22,000 22,156 22,870 CVS Health Corporation, 3.35%, 3/9/2021 138,000 138,263 138,757 CVS Health Corporation, 3.625%, 4/1/2027 230,000 230,567 261,734 CVS Health Corporation, 3.7%, 3/9/2023 188,000 194,774 201,126 CVS Health Corporation, 3.75%, 4/1/2030 560,000 558,831 651,713 CVS Health Corporation, 3.875%, 7/20/2025 536,000 559,207 607,025 CVS Health Corporation, 4.125%, 4/1/2040 240,000 236,054 287,912 CVS Health Corporation, 4.25%, 4/1/2050 1,000,000 1,178,845 1,250,888 CVS Health Corporation, 4.3%, 3/25/2028 2,356,000 2,519,909 2,803,548 CVS Health Corporation, 5.05%, 3/25/2048 1,412,000 1,722,335 1,913,653 CVS Health Corporation, 5.125%, 7/20/2045 606,000 689,469 815,895 CVS Pass-Through Trust, 6.036%, 12/10/2028 508,359 563,038 590,600 CVS Pass-Through Trust, 6.943%, 1/10/2030 43,567 50,487 52,092 Danone, 2.077%, 11/2/2021 492,000 491,011 498,069 Danone, 2.589%, 11/2/2023 757,000 762,456 796,556 Danone, 2.947%, 11/2/2026 503,000 511,630 552,595 Diageo Investment Corporation, 2.875%, 5/11/2022 287,000 289,985 296,779 DP World PLC, 5.625%, 9/25/2048 2,741,000 3,208,792 3,489,841 Eli Lilly and Company, 2.35%, 5/15/2022 10,000 10,175 10,271 Gilead Sciences, Inc., 3.65%, 3/1/2026 199,000 210,204 225,762 Gilead Sciences, Inc., 3.7%, 4/1/2024 170,000 177,223 185,289 Gilead Sciences, Inc., 4.5%, 2/1/2045 84,000 96,828 107,056 Gilead Sciences, Inc., 4.75%, 3/1/2046 463,000 553,125 613,660 GlaxoSmithKline Capital PLC, 2.85%, 5/8/2022 36,000 36,355 37,233 HCA Inc., 4.5%, 2/15/2027 10,000 10,992 11,632 HCA Inc., 5.125%, 6/15/2039 10,000 11,625 12,796 HCA Inc., 5.25%, 6/15/2026 10,000 11,249 11,835 HCA Inc., 5.25%, 6/15/2049 15,000 17,651 19,812 Hershey Company/The, 0.9%, 6/1/2025 190,000 189,689 192,944





Principal



Humana Inc., 2.9%, 12/15/2022 15,000 15,549$ 15,683$ Humana Inc., 3.125%, 8/15/2029 1,010,000 1,068,889 1,115,160 Humana Inc., 3.15%, 12/1/2022 78,000 78,995 81,466 Humana Inc., 3.95%, 3/15/2027 444,000 467,824 510,986 Humana Inc., 4.5%, 4/1/2025 120,000 132,851 137,867 Humana Inc., 4.625%, 12/1/2042 91,000 100,636 116,637 Humana Inc., 4.8%, 3/15/2047 28,000 32,008 37,403 Humana Inc., 4.95%, 10/1/2044 135,000 156,265 181,948 Johnson & Johnson, 0.55%, 9/1/2025 450,000 449,544 451,949 Johnson & Johnson, 0.95%, 9/1/2027 910,000 909,411 914,514 Johnson & Johnson, 2.45%, 3/1/2026 10,000 10,843 10,879 Johnson & Johnson, 3.7%, 3/1/2046 344,000 385,992 438,698 Kimberly-Clark Corporation, 3.1%, 3/26/2030 180,000 186,077 207,284 Kraft Heinz Foods Company, 3%, 6/1/2026 326,000 321,221 340,433 Kraft Heinz Foods Company, 3.95%, 7/15/2025 144,000 149,047 158,583 Kraft Heinz Foods Company, 5%, 7/15/2035 27,000 28,500 32,731 Kraft Heinz Foods Company, 5%, 6/4/2042 4,000 4,100 4,693 Kroger Co./The, 5.15%, 8/1/2043 19,000 20,809 26,028 Mars, Incorporated, 2.7%, 4/1/2025 381,000 387,609 412,327 Mars, Incorporated, 3.2%, 4/1/2030 1,142,000 1,197,183 1,313,114 Medtronic, Inc., 3.5%, 3/15/2025 113,000 119,396 126,810 Medtronic, Inc., 4.625%, 3/15/2045 48,000 60,923 68,101 Merck & Co., Inc., 0.75%, 2/24/2026 770,000 766,476 778,696 Merck & Co., Inc., 1.45%, 6/24/2030 450,000 446,323 456,263 Molson Coors Beverage Company, 3.5%, 5/1/2022 43,000 43,612 44,713 Mondelez International, Inc., 1.5%, 5/4/2025 970,000 971,512 1,003,221 Mondelez International, Inc., 2.125%, 4/13/2023 230,000 230,574 238,889 Mondelez International Holdings Netherlands B.V., 2.125%, 9/19/2022 430,000 434,722 442,318 PayPal Holdings, Inc., 1.35%, 6/1/2023 570,000 569,581 583,631 PayPal Holdings, Inc., 1.65%, 6/1/2025 600,000 599,894 626,869 PayPal Holdings, Inc., 2.3%, 6/1/2030 760,000 825,602 813,824 PepsiCo, Inc., 0.75%, 5/1/2023 780,000 778,798 791,123 PepsiCo, Inc., 1.625%, 5/1/2030 630,000 627,454 646,595 PepsiCo, Inc., 2.25%, 3/19/2025 80,000 83,932 85,455 PepsiCo, Inc., 2.625%, 3/19/2027 80,000 86,149 88,019 PepsiCo, Inc., 2.875%, 10/15/2049 240,000 250,819 268,693 PepsiCo, Inc., 3.625%, 3/19/2050 110,000 136,153 139,583 PepsiCo, Inc., 3.875%, 3/19/2060 190,000 227,047 254,557 PepsiCo, Inc., 4%, 3/5/2042 50,000 57,165 64,703





Principal



Pfizer Inc., 0.8%, 5/28/2025 970,000 964,657$ 987,322$ Pfizer Inc., 1.7%, 5/28/2030 630,000 629,531 654,149 Pfizer Inc., 2.55%, 5/28/2040 390,000 387,634 416,552 Pfizer Inc., 2.625%, 4/1/2030 720,000 740,689 803,627 Pfizer Inc., 2.7%, 5/28/2050 2,420,000 2,452,698 2,599,825 Philip Morris International Inc., 1.125%, 5/1/2023 400,000 398,956 407,899 Philip Morris International Inc., 2.1%, 5/1/2030 430,000 427,508 448,467 Philip Morris International Inc., 2.5%, 8/22/2022 272,000 273,125 281,891 Philip Morris International Inc., 2.5%, 11/2/2022 881,000 883,382 914,273 Philip Morris International Inc., 2.9%, 11/15/2021 183,000 184,043 187,225 Philip Morris International Inc., 4.5%, 3/20/2042 164,000 178,206 207,597 Procter & Gamble Company/The, 2.8%, 3/25/2027 130,000 142,063 144,838 Procter & Gamble Company/The, 3%, 3/25/2030 350,000 349,217 403,604 Reynolds American Inc., 5.85%, 8/15/2045 210,000 230,957 268,538 Reynolds American Inc., 6.15%, 9/15/2043 130,000 144,987 168,199 UnitedHealth Group Incorporated, 1.25%, 1/15/2026 230,000 229,282 237,102 UnitedHealth Group Incorporated, 2%, 5/15/2030 220,000 218,251 233,351 UnitedHealth Group Incorporated, 2.375%, 10/15/2022 90,000 92,025 93,534 UnitedHealth Group Incorporated, 2.75%, 5/15/2040 530,000 514,907 574,957 UnitedHealth Group Incorporated, 2.875%, 12/15/2021 306,000 308,433 313,390 UnitedHealth Group Incorporated, 2.9%, 5/15/2050 1,100,000 1,100,313 1,217,865 UnitedHealth Group Incorporated, 3.125%, 5/15/2060 90,000 95,038 104,476 UnitedHealth Group Incorporated, 3.7%, 8/15/2049 498,000 528,635 624,340 UnitedHealth Group Incorporated, 3.75%, 7/15/2025 419,000 458,516 477,382 UnitedHealth Group Incorporated, 3.875%, 12/15/2028 200,000 217,622 239,848 UnitedHealth Group Incorporated, 3.875%, 8/15/2059 466,000 500,282 603,324 UnitedHealth Group Incorporated, 4.25%, 6/15/2048 170,000 216,950 227,008 UnitedHealth Group Incorporated, 4.45%, 12/15/2048 130,000 171,285 179,281 UnitedHealth Group Incorporated, 5.7%, 10/15/2040 184,000 241,379 276,752 UnitedHealth Group Incorporated, 5.8%, 3/15/2036 68,000 89,290 101,644 Wyeth LLC, 5.95%, 4/1/2037 145,000 195,817 217,376

Total Consumer, Non-cyclical 93,431,535 100,717,355

Energy - 5.3%Apache Corporation, 3.25%, 4/15/2022 108,000 108,914 108,810 Apache Corporation, 4.25%, 1/15/2044 2,116,000 1,939,036 2,087,709 Apache Corporation, 4.75%, 4/15/2043 1,146,000 1,112,433 1,188,247 Apache Corporation, 5.1%, 9/1/2040 337,000 344,048 359,326





Principal


Corporate Bonds - 33.7% (continued)Energy - 5.3% (continued)

Apache Corporation, 5.25%, 2/1/2042 802,000 825,565$ 864,428$ Apache Corporation, 6%, 1/15/2037 200,000 222,144 221,000 BP Capital Markets America Inc., 2.937%, 4/6/2023 70,000 70,438 73,873 BP Capital Markets America Inc., 3%, 2/24/2050 1,410,000 1,392,411 1,447,691 BP Capital Markets America Inc., 3.119%, 5/4/2026 1,067,000 1,106,384 1,181,338 BP Capital Markets America Inc., 3.216%, 11/28/2023 759,000 778,498 813,986 BP Capital Markets America Inc., 3.245%, 5/6/2022 224,000 227,336 232,913 BP Capital Markets America Inc., 3.41%, 2/11/2026 843,000 884,522 945,138 BP Capital Markets America Inc., 3.633%, 4/6/2030 450,000 450,000 524,233 BP Capital Markets America Inc., 3.79%, 2/6/2024 140,000 143,842 152,997 BP Capital Markets PLC, 3.506%, 3/17/2025 131,000 136,990 146,088 BP Capital Markets PLC, 3.535%, 11/4/2024 104,000 108,629 115,091 BP Capital Markets PLC, 3.561%, 11/1/2021 17,000 17,195 17,453 BP Capital Markets PLC, 3.814%, 2/10/2024 10,000 10,792 10,983 Cameron LNG, LLC, 2.902%, 7/15/2031 1,830,000 1,878,733 2,004,098 Cameron LNG, LLC, 3.302%, 1/15/2035 880,000 912,966 993,043 Chevron Corporation, 1.554%, 5/11/2025 780,000 780,162 811,184 Chevron Corporation, 1.995%, 5/11/2027 270,000 270,783 286,332 Chevron Corporation, 2.954%, 5/16/2026 183,000 189,430 203,033 Chevron Corporation, 2.978%, 5/11/2040 610,000 610,000 675,315 Chevron Corporation, 3.078%, 5/11/2050 880,000 881,222 982,330 Cimarex Energy Co., 3.9%, 5/15/2027 972,000 989,482 1,071,278 Cimarex Energy Co., 4.375%, 6/1/2024 218,000 226,203 237,766 Cimarex Energy Co., 4.375%, 3/15/2029 1,090,000 1,150,376 1,236,551 CNOOC Finance (2014) ULC, 4.25%, 4/30/2024 746,000 783,197 809,807 CNOOC Finance (2015) U.S.A. LLC, 3.5%, 5/5/2025 1,158,000 1,194,562 1,246,676 CNOOC Finance (2015) U.S.A. LLC, 4.375%, 5/2/2028 842,000 927,080 960,642 Concho Resources Inc., 3.75%, 10/1/2027 236,000 247,467 269,727 Concho Resources Inc., 4.3%, 8/15/2028 987,000 1,056,171 1,166,867 Conoco Funding Company, 7.25%, 10/15/2031 37,000 50,791 55,449 ConocoPhillips Company, 6.95%, 4/15/2029 67,000 88,322 93,891 Continental Resources, Inc., 3.8%, 6/1/2024 338,000 342,518 349,022 Continental Resources, Inc., 4.375%, 1/15/2028 1,551,000 1,632,364 1,590,085 Continental Resources, Inc., 4.9%, 6/1/2044 380,000 384,282 375,824 Devon Energy Corporation, 5%, 6/15/2045 860,000 970,197 1,012,972 Devon Energy Corporation, 5.6%, 7/15/2041 730,000 883,026 892,774 Devon Energy Corporation, 5.85%, 12/15/2025 911,000 1,049,054 1,070,733





Principal



Diamondback Energy, Inc., 3.5%, 12/1/2029 80,000 82,277$ 85,465$ Diamondback Energy, Inc., 5.375%, 5/31/2025 200,000 206,871 208,203 Ecopetrol S.A., 5.375%, 6/26/2026 50,000 52,909 57,589 Ecopetrol S.A., 5.875%, 5/28/2045 3,655,000 4,287,073 4,424,378 El Paso Natural Gas Company, L.L.C., 8.375%, 6/15/2032 314,000 423,395 442,187 Energy Transfer Operating, L.P., 2.9%, 5/15/2025 710,000 709,551 751,154 Energy Transfer Operating, L.P., 3.75%, 5/15/2030 1,980,000 2,007,672 2,135,732 Energy Transfer Operating, L.P., 4.95%, 6/15/2028 213,000 233,886 245,507 Energy Transfer Operating, L.P., 5.15%, 3/15/2045 31,000 29,810 33,594 Energy Transfer Operating, L.P., 5.25%, 4/15/2029 342,000 386,427 399,305 Energy Transfer Operating, L.P., 6.25%, 4/15/2049 166,000 202,634 200,787 Energy Transfer Partners LP / Regency Energy Finance Corp.,

4.5%, 11/1/2023 10,000 10,404 10,827 Enterprise Products Operating LLC, 2.8%, 1/31/2030 2,000,000 2,050,311 2,167,637 Enterprise Products Operating LLC, 3.125%, 7/31/2029 500,000 511,338 554,248 Enterprise Products Operating LLC, 3.7%, 1/31/2051 890,000 900,723 979,693 Enterprise Products Operating LLC, 3.95%, 2/15/2027 65,000 74,509 74,850 Enterprise Products Operating LLC, 3.95%, 1/31/2060 330,000 340,963 365,297 Enterprise Products Operating LLC, 4.15%, 10/16/2028 1,074,000 1,172,390 1,277,718 Enterprise Products Operating LLC, 4.2%, 1/31/2050 150,000 161,221 176,220 Enterprise Products Operating LLC, 4.8%, 2/1/2049 80,000 92,071 100,974 Enterprise Products Operating LLC, 4.85%, 3/15/2044 50,000 57,690 62,027 Enterprise Products Operating LLC, 5.7%, 2/15/2042 60,000 74,565 82,374 Enterprise Products Operating LLC, 7.55%, 4/15/2038 50,000 71,587 76,312 EOG Resources, Inc., 3.9%, 4/1/2035 750,000 851,883 880,036 EOG Resources, Inc., 4.15%, 1/15/2026 1,696,000 1,921,687 1,967,948 EOG Resources, Inc., 4.375%, 4/15/2030 810,000 904,566 984,439 EOG Resources, Inc., 4.95%, 4/15/2050 940,000 1,156,238 1,274,118 Exxon Mobil Corporation, 1.571%, 4/15/2023 120,000 120,388 123,408 Exxon Mobil Corporation, 2.44%, 8/16/2029 1,222,000 1,231,824 1,326,471 Exxon Mobil Corporation, 2.992%, 3/19/2025 1,770,000 1,820,352 1,937,273 Exxon Mobil Corporation, 3.043%, 3/1/2026 364,000 379,161 403,304 Exxon Mobil Corporation, 3.452%, 4/15/2051 520,000 584,726 594,302 Exxon Mobil Corporation, 3.482%, 3/19/2030 655,000 655,618 761,755 Exxon Mobil Corporation, 4.114%, 3/1/2046 427,000 503,959 526,664 Exxon Mobil Corporation, 4.327%, 3/19/2050 105,000 127,653 137,472 Halliburton Company, 3.8%, 11/15/2025 23,000 24,067 25,795 Halliburton Company, 5%, 11/15/2045 125,000 140,369 148,597





Principal



JSC National Company KazMunayGaz, 5.375%, 4/24/2030 1,237,000 1,407,682$ 1,524,835$ JSC National Company KazMunayGaz, 5.75%, 4/19/2047 917,000 1,088,423 1,228,826 JSC National Company KazMunayGaz, 6.375%, 10/24/2048 327,000 410,891 469,670 Kinder Morgan, Inc., 4.3%, 6/1/2025 460,000 491,181 524,861 Kinder Morgan, Inc., 4.3%, 3/1/2028 780,000 844,431 914,756 Kinder Morgan, Inc., 5.05%, 2/15/2046 10,000 10,952 12,208 Kinder Morgan, Inc., 5.2%, 3/1/2048 80,000 93,232 101,749 Kinder Morgan, Inc., 5.3%, 12/1/2034 48,000 54,535 59,154 Kinder Morgan, Inc., 5.55%, 6/1/2045 390,000 456,489 501,200 Kinder Morgan Energy Partners, L.P., 3.5%, 3/1/2021 288,000 288,462 288,000 Kinder Morgan Energy Partners, L.P., 3.5%, 9/1/2023 41,000 41,920 43,917 Kinder Morgan Energy Partners, L.P., 3.95%, 9/1/2022 55,000 57,101 57,715 Kinder Morgan Energy Partners, L.P., 4.25%, 9/1/2024 209,000 219,925 233,416 Kinder Morgan Energy Partners, L.P., 5.5%, 3/1/2044 60,000 68,082 75,829 Kinder Morgan Energy Partners, L.P., 5.8%, 3/15/2035 30,000 36,343 37,675 MPLX LP, 4%, 3/15/2028 951,000 989,464 1,094,186 MPLX LP, 4.5%, 4/15/2038 502,000 524,108 574,195 MPLX LP, 4.7%, 4/15/2048 883,000 922,437 1,047,132 MPLX LP, 4.8%, 2/15/2029 196,000 214,698 236,878 MPLX LP, 4.875%, 12/1/2024 10,000 10,522 11,476 MPLX LP, 5.5%, 2/15/2049 376,000 438,883 495,122 Noble Energy, Inc., 3.85%, 1/15/2028 270,000 282,933 314,225 Noble Energy, Inc., 4.95%, 8/15/2047 1,022,000 1,131,162 1,455,574 Noble Energy, Inc., 5.25%, 11/15/2043 371,000 414,914 532,923 Occidental Petroleum Corporation, 2.9%, 8/15/2024 1,017,000 1,020,903 978,863 Occidental Petroleum Corporation, 3%, 2/15/2027 263,000 261,057 234,070 Occidental Petroleum Corporation, 3.5%, 8/15/2029 1,001,000 1,021,392 916,085 Occidental Petroleum Corporation, 4.1%, 2/15/2047 391,000 383,386 319,623 Occidental Petroleum Corporation, 4.2%, 3/15/2048 536,000 539,118 436,840 Occidental Petroleum Corporation, 4.4%, 4/15/2046 193,000 199,347 168,193 Occidental Petroleum Corporation, 4.5%, 7/15/2044 2,133,000 2,169,089 1,807,718 Occidental Petroleum Corporation, 4.625%, 6/15/2045 590,000 618,497 514,262 Occidental Petroleum Corporation, 5.55%, 3/15/2026 73,000 80,747 76,208 Occidental Petroleum Corporation, 6.2%, 3/15/2040 274,000 335,997 271,260 Occidental Petroleum Corporation, 6.6%, 3/15/2046 240,000 312,691 243,522 Occidental Petroleum Corporation, 6.95%, 7/1/2024 72,000 81,164 77,760 Occidental Petroleum Corporation, 7.875%, 9/15/2031 966,000 1,280,837 1,077,090





Principal



Petroleos del Peru SA - Petroperu S.A., 4.75%, 6/19/2032 3,021,000 3,315,954$ 3,483,213$ Petroleos Mexicanos, 5.5%, 6/27/2044 679,000 596,026 583,940 Petroleos Mexicanos, 5.625%, 1/23/2046 1,546,000 1,349,951 1,329,560 Petroleos Mexicanos, 6.375%, 1/23/2045 453,000 423,152 415,175 Petroleos Mexicanos, 6.625%, 6/15/2035 454,000 448,603 449,460 Petroleos Mexicanos, 6.75%, 9/21/2047 522,000 498,879 489,375 PT Pertamina (Persero), 6%, 5/3/2042 806,000 990,653 1,029,717 Schlumberger Holdings Corporation, 3.9%, 5/17/2028 262,000 274,796 296,092 Schlumberger Holdings Corporation, 4%, 12/21/2025 266,000 279,906 302,259 Shell International Finance B.V., 1.875%, 5/10/2021 109,000 108,987 109,622 Shell International Finance B.V., 2.375%, 4/6/2025 10,000 10,558 10,725 Shell International Finance B.V., 2.75%, 4/6/2030 620,000 619,646 685,927 Shell International Finance B.V., 2.875%, 5/10/2026 776,000 800,378 858,225 Shell International Finance B.V., 3.25%, 5/11/2025 20,000 21,858 22,169 Shell International Finance B.V., 3.25%, 4/6/2050 1,860,000 1,858,144 2,109,100 Shell International Finance B.V., 4%, 5/10/2046 441,000 504,186 555,402 Shell International Finance B.V., 4.375%, 5/11/2045 476,000 569,838 627,192 Shell International Finance B.V., 4.55%, 8/12/2043 169,000 205,294 224,534 Sinopec Group Overseas Development (2014) Limited, 4.375%, 4/10/2024 848,000 896,873 930,214 Southern Natural Gas Company, L.L.C., 8%, 3/1/2032 465,000 631,784 664,198 Sunoco Logistics Partners Operations L.P., 5.3%, 4/1/2044 50,000 53,588 54,031 Sunoco Logistics Partners Operations L.P., 5.4%, 10/1/2047 15,000 14,904 16,760 Tennessee Gas Pipeline Company, L.L.C., 2.9%, 3/1/2030 1,140,000 1,139,320 1,219,048 Transcontinental Gas Pipe Line Company, LLC, 7.85%, 2/1/2026 1,983,000 2,414,472 2,599,328 Western Midstream Operating, LP, 2.325%, 1/13/2023 ^ 180,000 180,000 176,447 Western Midstream Operating, LP, 4.35%, 2/1/2025 280,000 279,990 288,560 Western Midstream Operating, LP, 5.3%, 2/1/2030 1,080,000 1,099,085 1,209,395 Williams Companies, Inc./The, 3.75%, 6/15/2027 550,000 586,102 627,570 Williams Companies, Inc./The, 4.55%, 6/24/2024 38,000 40,798 42,536 Williams Companies, Inc./The, 4.85%, 3/1/2048 300,000 308,327 368,748 Williams Companies, Inc./The, 7.5%, 1/15/2031 248,000 317,423 337,132 Williams Companies, Inc./The, 7.75%, 6/15/2031 3,000 3,885 4,042 Williams Companies, Inc./The, 7.875%, 9/1/2021 39,000 40,352 40,888 Williams Companies, Inc./The, 8.75%, 3/15/2032 358,000 499,932 523,697

Total Energy 92,126,972 96,531,660





Principal


Corporate Bonds - 33.7% (continued)Financials - 10.1%

ABN AMRO Bank N.V., 4.75%, 7/28/2025 158,000 168,093$ 181,834$ AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5%, 10/1/2021 49,000 49,861 50,439 Air Lease Corporation, 3.375%, 7/1/2025 460,000 455,742 494,683 American Express Company, 2.5%, 8/1/2022 30,000 30,824 30,953 American Express Company, 2.5%, 7/30/2024 2,410,000 2,423,166 2,570,999 American Express Company, 2.65%, 12/2/2022 21,000 21,693 21,921 American Express Company, 3.7%, 8/3/2023 65,000 69,141 70,388 American International Group, Inc., 2.5%, 6/30/2025 390,000 391,684 419,249 American International Group, Inc., 4.875%, 6/1/2022 10,000 10,534 10,610 American International Group, Inc., 6.25%, 3/15/2037 592,000 631,358 666,496 Banco Santander, S.A., 1.344%, 4/12/2023 ^ 251,000 251,250 253,519 Banco Santander, S.A., 2.746%, 5/28/2025 2,200,000 2,218,165 2,348,554 Banco Santander, S.A., 3.848%, 4/12/2023 752,000 771,198 807,737 Bank of Montreal, 1.85%, 5/1/2025 1,300,000 1,299,141 1,364,774 Bank of Montreal, 3.1%, 4/13/2021 50,000 50,371 50,403 Bank of Montreal, 3.803%, 12/15/2032 ^ 154,000 158,345 174,558 Bank of New York Mellon Corporation/The, 1.6%, 4/24/2025 390,000 389,872 407,735 Bank of Nova Scotia/The, 1.3%, 6/11/2025 710,000 708,595 728,497 Barclays Bank PLC, 1.7%, 5/12/2022 530,000 529,704 539,373 Barclays Bank PLC, 10.179%, 6/12/2021 374,000 385,495 388,978 Barclays PLC, 3.684%, 1/10/2023 1,200,000 1,235,764 1,236,779 Barclays PLC, 4.972%, 5/16/2029 ^ 571,000 622,099 684,978 BBVA USA, 3.875%, 4/10/2025 183,000 188,380 205,214 Berkshire Hathaway Finance Corporation, 4.2%, 8/15/2048 5,000 6,220 6,603 Berkshire Hathaway Finance Corporation, 4.25%, 1/15/2049 856,000 1,008,314 1,137,110 BNP Paribas, 2.219%, 6/9/2026 ^ 880,000 880,000 921,036 BNP Paribas, 3.375%, 1/9/2025 287,000 294,242 314,078 BNP Paribas, 4.375%, 3/1/2033 ^ 311,000 328,303 356,338 BNP Paribas, 4.4%, 8/14/2028 921,000 1,009,379 1,091,449 BNP Paribas, 4.705%, 1/10/2025 ^ 1,899,000 2,016,296 2,110,605 BNP Paribas, 5.198%, 1/10/2030 ^ 1,026,000 1,185,937 1,272,438 BPCE, 5.15%, 7/21/2024 530,000 565,830 603,531 Brighthouse Financial, Inc., 4.7%, 6/22/2047 17,000 15,304 17,752 Canadian Imperial Bank of Commerce, 0.95%, 6/23/2023 700,000 699,676 709,256 Charles Schwab Corporation/The, 3.85%, 5/21/2025 10,000 11,208 11,377 Chubb INA Holdings Inc., 3.35%, 5/3/2026 136,000 142,830 153,264 Citigroup Inc., 1.678%, 5/15/2024 ^ 750,000 750,000 772,583 Citigroup Inc., 2.572%, 6/3/2031 ^ 750,000 750,000 799,395





Principal


Corporate Bonds - 33.7% (continued)Financials - 10.1% (continued)

Citigroup Inc., 2.9%, 12/8/2021 65,000 66,090$ 66,405$ Citigroup Inc., 3.106%, 4/8/2026 ^ 520,000 541,374 568,132 Citigroup Inc., 3.3%, 4/27/2025 1,406,000 1,450,315 1,559,201 Citigroup Inc., 3.5%, 5/15/2023 216,000 220,833 231,426 Citigroup Inc., 3.52%, 10/27/2028 ^ 2,106,000 2,187,589 2,380,948 Citigroup Inc., 3.7%, 1/12/2026 10,000 10,858 11,364 Citigroup Inc., 3.98%, 3/20/2030 ^ 1,882,000 2,021,108 2,213,246 Citigroup Inc., 4.3%, 11/20/2026 177,000 188,604 206,064 Citigroup Inc., 4.4%, 6/10/2025 551,000 584,684 629,962 Citigroup Inc., 4.412%, 3/31/2031 ^ 945,000 948,673 1,145,961 Citigroup Inc., 4.45%, 9/29/2027 2,988,000 3,213,288 3,532,229 Citigroup Inc., 4.65%, 7/30/2045 821,000 985,585 1,098,884 Citigroup Inc., 4.65%, 7/23/2048 695,000 851,069 959,401 Citigroup Inc., 4.75%, 5/18/2046 84,000 98,116 112,226 Citigroup Inc., 5.3%, 5/6/2044 166,000 205,535 234,212 Citigroup Inc., 5.5%, 9/13/2025 318,000 351,459 382,119 Citigroup Inc., 6.125%, 8/25/2036 70,000 88,864 98,377 Citigroup Inc., 6.625%, 6/15/2032 1,046,000 1,346,407 1,482,802 Citigroup Inc., 6.675%, 9/13/2043 66,000 94,312 107,455 Citigroup Inc., 8.125%, 7/15/2039 759,000 1,244,768 1,356,740 CME Group Inc., 5.3%, 9/15/2043 125,000 167,730 186,630 Cooperatieve Rabobank U.A., 1.339%, 6/24/2026 ^ 1,580,000 1,580,000 1,613,402 Cooperatieve Rabobank U.A., 3.375%, 5/21/2025 1,539,000 1,619,664 1,727,079 Cooperatieve Rabobank U.A., 3.75%, 7/21/2026 97,000 99,990 109,626 Cooperatieve Rabobank U.A., 4.375%, 8/4/2025 1,053,000 1,121,575 1,201,764 Cooperatieve Rabobank U.A., 4.625%, 12/1/2023 410,000 431,159 456,966 Credit Agricole S.A., 1.907%, 6/16/2026 ^ 580,000 580,000 601,580 Credit Agricole S.A., 4%, 1/10/2033 ^ 437,000 452,313 488,775 Credit Suisse AG, 1%, 5/5/2023 4,170,000 4,162,416 4,233,078 Credit Suisse AG, 2.95%, 4/9/2025 750,000 750,151 822,744 Credit Suisse AG, 3.625%, 9/9/2024 310,000 322,957 343,979 Credit Suisse Group AG, 2.593%, 9/11/2025 ^ 233,000 230,717 245,180 Credit Suisse Group AG, 4.194%, 4/1/2031 ^ 2,090,000 2,324,005 2,459,875 Credit Suisse Group AG, 4.55%, 4/17/2026 53,000 57,398 62,354 Danske Bank A/S, 1.226%, 6/22/2024 1,100,000 1,100,000 1,112,865 Danske Bank A/S, 3.244%, 12/20/2025 ^ 568,000 570,362 607,813 Danske Bank A/S, 3.875%, 9/12/2023 411,000 420,420 442,862 Danske Bank A/S, 5%, 1/12/2022 1,302,000 1,331,975 1,359,234 Danske Bank A/S, 5.375%, 1/12/2024 824,000 881,973 929,604





Principal



GE Capital International Funding Company Unlimited Company, 4.418%, 11/15/2035 10,000 9,992$ 11,935$

GLP Capital, L.P. / GLP Financing II, Inc., 5.375%, 11/1/2023 8,000 8,016 8,740 Goldman Sachs Group, Inc./The, 2.6%, 2/7/2030 5,000 5,046 5,378 Goldman Sachs Group, Inc./The, 2.876%, 10/31/2022 1,567,000 1,575,993 1,598,802 Goldman Sachs Group, Inc./The, 3.2%, 2/23/2023 558,000 567,062 589,593 Goldman Sachs Group, Inc./The, 3.5%, 4/1/2025 820,000 865,147 911,012 Goldman Sachs Group, Inc./The, 3.5%, 11/16/2026 1,225,000 1,263,461 1,375,238 Goldman Sachs Group, Inc./The, 3.625%, 2/20/2024 1,581,000 1,638,933 1,720,627 Goldman Sachs Group, Inc./The, 3.691%, 6/5/2028 ^ 1,044,000 1,089,554 1,202,712 Goldman Sachs Group, Inc./The, 3.75%, 5/22/2025 15,000 16,145 16,841 Goldman Sachs Group, Inc./The, 3.85%, 7/8/2024 158,000 164,753 174,696 Goldman Sachs Group, Inc./The, 4%, 3/3/2024 138,000 145,107 152,486 Goldman Sachs Group, Inc./The, 4.223%, 5/1/2029 ^ 3,965,000 4,350,112 4,703,930 Goldman Sachs Group, Inc./The, 4.25%, 10/21/2025 986,000 1,040,455 1,130,746 Goldman Sachs Group, Inc./The, 4.75%, 10/21/2045 824,000 982,105 1,147,567 Goldman Sachs Group, Inc./The, 5.15%, 5/22/2045 2,289,000 2,776,847 3,189,901 Goldman Sachs Group, Inc./The, 5.25%, 7/27/2021 160,000 163,085 164,493 Goldman Sachs Group, Inc./The, 5.75%, 1/24/2022 43,000 44,652 45,451 Goldman Sachs Group, Inc./The, 6.25%, 2/1/2041 639,000 864,529 1,000,781 Goldman Sachs Group, Inc./The, 6.75%, 10/1/2037 355,000 472,068 543,207 Guardian Life Global Funding, 1.1%, 6/23/2025 270,000 269,777 273,854 HSBC Holdings PLC, 2.099%, 6/4/2026 ^ 1,300,000 1,300,000 1,350,885 HSBC Holdings PLC, 2.848%, 6/4/2031 ^ 770,000 770,000 826,087 HSBC Holdings PLC, 3.803%, 3/11/2025 ^ 2,107,000 2,170,752 2,300,476 HSBC Holdings PLC, 3.973%, 5/22/2030 ^ 638,000 672,933 736,731 HSBC Holdings PLC, 4.041%, 3/13/2028 ^ 939,000 987,685 1,072,307 HSBC Holdings PLC, 4.25%, 3/14/2024 224,000 232,385 247,149 HSBC Holdings PLC, 4.25%, 8/18/2025 223,000 232,920 253,367 HSBC Holdings PLC, 4.3%, 3/8/2026 163,000 173,528 187,801 HSBC Holdings PLC, 4.95%, 3/31/2030 200,000 214,587 250,720 Intesa Sanpaolo S.p.A., 3.125%, 7/14/2022 3,207,000 3,227,410 3,321,008 Intesa Sanpaolo S.p.A., 3.375%, 1/12/2023 264,000 265,430 276,423 JPMorgan Chase & Co., 1.514%, 6/1/2024 ^ 1,980,000 1,980,000 2,032,855 JPMorgan Chase & Co., 2.005%, 3/13/2026 ^ 25,000 25,411 26,260 JPMorgan Chase & Co., 2.083%, 4/22/2026 ^ 1,220,000 1,220,228 1,288,474 JPMorgan Chase & Co., 2.522%, 4/22/2031 ^ 990,000 997,608 1,064,113 JPMorgan Chase & Co., 2.739%, 10/15/2030 ^ 20,000 20,697 21,747





Principal



JPMorgan Chase & Co., 3.109%, 4/22/2051 ^ 1,205,000 1,220,213$ 1,341,668$ JPMorgan Chase & Co., 3.2%, 6/15/2026 10,000 10,826 11,184 JPMorgan Chase & Co., 3.54%, 5/1/2028 45,000 48,938 51,349 JPMorgan Chase & Co., 3.625%, 12/1/2027 605,000 631,036 687,605 JPMorgan Chase & Co., 3.875%, 9/10/2024 30,000 32,555 33,594 JPMorgan Chase & Co., 4.023%, 12/5/2024 ^ 1,962,000 2,063,742 2,161,395 JPMorgan Chase & Co., 4.125%, 12/15/2026 1,259,000 1,351,880 1,471,852 JPMorgan Chase & Co., 4.203%, 7/23/2029 673,000 735,256 804,631 JPMorgan Chase & Co., 4.25%, 10/1/2027 1,133,000 1,229,547 1,343,582 JPMorgan Chase & Co., 4.452%, 12/5/2029 ^ 3,699,000 4,190,562 4,513,166 JPMorgan Chase & Co., 4.493%, 3/24/2031 ^ 25,000 29,473 30,753 JPMorgan Chase & Co., 4.95%, 6/1/2045 1,164,000 1,476,374 1,649,065 KKR Group Finance Co. II LLC, 5.5%, 2/1/2043 39,000 46,470 51,472 Lloyds Banking Group PLC, 2.907%, 11/7/2023 ^ 1,169,000 1,172,312 1,221,301 Lloyds Banking Group PLC, 3.1%, 7/6/2021 1,316,000 1,321,255 1,334,405 Lloyds Banking Group PLC, 4.375%, 3/22/2028 230,000 246,488 273,733 Lloyds Banking Group PLC, 4.65%, 3/24/2026 332,000 347,796 382,095 MassMutual Global Funding II, 0.85%, 6/9/2023 2,050,000 2,049,016 2,075,053 Mastercard Incorporated, 3.375%, 4/1/2024 308,000 321,827 337,498 Mastercard Incorporated, 3.85%, 3/26/2050 1,185,000 1,467,810 1,529,500 MetLife, Inc., 6.4%, 12/15/2036 742,000 875,874 959,732 Metropolitan Life Global Funding I, 0.9%, 6/8/2023 1,400,000 1,398,350 1,417,748 Mitsubishi UFJ Financial Group, Inc., 3.407%, 3/7/2024 10,000 10,544 10,867 Morgan Stanley, 2.188%, 4/28/2026 ^ 1,930,000 1,931,486 2,038,547 Morgan Stanley, 2.699%, 1/22/2031 ^ 20,000 20,343 21,775 Morgan Stanley, 3.622%, 4/1/2031 ^ 2,170,000 2,170,000 2,523,933 Morgan Stanley, 3.772%, 1/24/2029 ^ 901,000 952,497 1,044,517 Morgan Stanley, 4.431%, 1/23/2030 ^ 139,000 158,438 169,081 National Securities Clearing Corporation, 1.2%, 4/23/2023 590,000 589,572 601,774 National Securities Clearing Corporation, 1.5%, 4/23/2025 500,000 499,147 517,578 Nationwide Building Society, 4.363%, 8/1/2024 ^ 793,000 822,423 861,716 Natwest Group PLC, 4.269%, 3/22/2025 ^ 677,000 701,512 748,959 Natwest Group PLC, 4.519%, 6/25/2024 ^ 1,567,000 1,625,515 1,710,867 Natwest Group PLC, 5.125%, 5/28/2024 337,000 354,202 380,740 New York Life Global Funding, 0.95%, 6/24/2025 500,000 499,542 506,863 Nordea Bank Abp, 1%, 6/9/2023 1,270,000 1,268,935 1,290,019 Nordea Bank Abp, 4.875%, 5/13/2021 550,000 554,731 558,461





Principal



Park Aerospace Holdings Limited, 5.5%, 2/15/2024 13,000 11,421$ 14,178$ PNC Financial Services Group, Inc./The, 3.5%, 1/23/2024 20,000 21,480 21,797 Principal Life Global Funding II, 1.25%, 6/23/2025 250,000 249,816 255,225 Royal Bank of Canada, 1.15%, 6/10/2025 680,000 677,893 694,874 Royal Bank of Canada, 1.6%, 4/17/2023 1,110,000 1,109,455 1,141,468 Royal Bank of Canada, 3.2%, 4/30/2021 431,000 432,624 435,130 Santander UK Group Holdings PLC, 2.875%, 8/5/2021 15,000 15,127 15,210 Santander UK Group Holdings PLC, 3.571%, 1/10/2023 209,000 210,707 215,356 Santander UK Group Holdings PLC, 4.796%, 11/15/2024 ^ 20,000 21,685 22,247 Santander UK Group Holdings PLC, 5.625%, 9/15/2045 85,000 96,654 115,964 Santander UK PLC, 5%, 11/7/2023 132,000 137,473 145,709 Standard Chartered PLC, 5.7%, 3/26/2044 208,000 252,574 279,000 State Street Corporation, 3.3%, 12/16/2024 122,000 126,413 135,370 Svenska Handelsbanken AB, 3.35%, 5/24/2021 542,000 544,505 548,674 Swedbank AB, 1.3%, 6/2/2023 850,000 849,196 866,413 Teachers Insurance & Annuity Association of America, 4.9%, 9/15/2044 408,000 494,924 552,352 Teachers Insurance & Annuity Association of America, 6.85%, 12/16/2039 11,000 15,901 17,303 Toronto-Dominion Bank/The, 0.75%, 6/12/2023 1,320,000 1,319,203 1,333,976 Toronto-Dominion Bank/The, 1.15%, 6/12/2025 670,000 669,970 684,143 Toronto-Dominion Bank/The, 3.25%, 6/11/2021 584,000 587,076 591,690 U.S. Bancorp, 1.45%, 5/12/2025 1,490,000 1,488,500 1,546,326 U.S. Bancorp, 3.375%, 2/5/2024 20,000 21,508 21,773 U.S. Bank National Association, 3.15%, 4/26/2021 414,000 415,276 416,751 UBS AG, 1.75%, 4/21/2022 1,240,000 1,238,938 1,262,063 UBS AG, 4.5%, 6/26/2048 21,000 25,890 29,590 UBS Group AG, 1.364%, 1/30/2027 ^ 3,300,000 3,336,822 3,336,947 UBS Group AG, 2.859%, 8/15/2023 ^ 220,000 225,598 228,068 UBS Group AG, 3.491%, 5/23/2023 1,402,000 1,425,881 1,458,954 UBS Group AG, 4.125%, 9/24/2025 319,000 338,807 365,274 UBS Group AG, 4.253%, 3/23/2028 1,177,000 1,268,355 1,377,993 USAA Capital Corporation, 1.5%, 5/1/2023 150,000 149,856 153,863 Visa Inc., 2.05%, 4/15/2030 450,000 449,392 481,284 Visa Inc., 3.15%, 12/14/2025 713,000 747,496 799,876 Visa Inc., 4.3%, 12/14/2045 357,000 435,780 488,997 Wachovia Capital Trust III, 5.57%, 3/29/2049 ^ 2,417,000 2,426,820 2,447,527 Wells Fargo & Company, 2.188%, 4/30/2026 ^ 1,220,000 1,220,530 1,284,523 Wells Fargo & Company, 2.879%, 10/30/2030 ^ 3,970,000 4,024,134 4,331,231 Wells Fargo & Company, 3%, 10/23/2026 916,000 934,417 1,014,900





Principal



Wells Fargo & Company, 3.068%, 4/30/2041 ^ 10,000 10,137$ 10,878$ Wells Fargo & Company, 3.3%, 9/9/2024 80,000 85,221 87,617 Wells Fargo & Company, 3.45%, 2/13/2023 211,000 215,092 223,607 Wells Fargo & Company, 3.75%, 1/24/2024 430,000 447,171 469,427 Wells Fargo & Company, 4.125%, 8/15/2023 16,000 16,638 17,477 Wells Fargo & Company, 4.15%, 1/24/2029 1,002,000 1,092,724 1,189,375 Wells Fargo & Company, 4.3%, 7/22/2027 1,139,000 1,222,922 1,334,653 Wells Fargo & Company, 4.4%, 6/14/2046 1,872,000 2,093,762 2,343,431 Wells Fargo & Company, 4.478%, 4/4/2031 ^ 460,000 460,000 562,374 Wells Fargo & Company, 4.6%, 4/1/2021 63,000 63,366 63,665 Wells Fargo & Company, 4.65%, 11/4/2044 177,000 202,849 227,041 Wells Fargo & Company, 4.75%, 12/7/2046 1,530,000 1,793,092 2,002,373 Wells Fargo & Company, 4.9%, 11/17/2045 521,000 622,762 693,922 Wells Fargo & Company, 5.013%, 4/4/2051 ^ 7,180,000 8,341,778 10,204,339 Wells Fargo & Company, 5.375%, 11/2/2043 50,000 62,489 69,475 Wells Fargo & Company, 5.606%, 1/15/2044 178,000 228,215 252,279 Wells Fargo & Company, 5.875%, 12/29/2049 ^ 60,000 65,940 68,025 Wells Fargo & Company, 5.95%, 12/15/2036 1,000 1,227 1,341 Westfield UK & Europe Finance PLC, 3.75%, 9/17/2024 457,000 476,844 482,030 Westfield UK & Europe Finance PLC, 4.75%, 9/17/2044 167,000 194,080 180,612

Total Financials 170,573,656 182,876,481

Industrials - 2.7%3M Company, 2.375%, 8/26/2029 1,877,000 1,858,353 2,030,952 3M Company, 3.05%, 4/15/2030 140,000 139,583 159,160 3M Company, 3.7%, 4/15/2050 1,360,000 1,572,190 1,688,151 Boeing Company/The, 2.7%, 2/1/2027 302,000 306,383 314,124 Boeing Company/The, 2.8%, 3/1/2027 219,000 221,901 227,600 Boeing Company/The, 3.1%, 5/1/2026 161,000 166,538 172,398 Boeing Company/The, 3.2%, 3/1/2029 638,000 665,193 673,495 Boeing Company/The, 3.25%, 2/1/2035 1,173,000 1,218,420 1,202,917 Boeing Company/The, 3.75%, 2/1/2050 307,000 328,333 322,838 Boeing Company/The, 4.875%, 5/1/2025 2,180,000 2,180,000 2,484,999 Boeing Company/The, 5.15%, 5/1/2030 1,290,000 1,316,448 1,561,224 Boeing Company/The, 5.705%, 5/1/2040 870,000 870,000 1,129,017 Boeing Company/The, 5.805%, 5/1/2050 2,030,000 2,030,000 2,797,634 Boeing Company/The, 5.875%, 2/15/2040 52,000 69,376 66,177 Boeing Company/The, 5.93%, 5/1/2060 610,000 610,000 865,342





Principal


Corporate Bonds - 33.7% (continued)Industrials - 2.7% (continued)

Carrier Global Corporation, 2.7%, 2/15/2031 90,000 89,720$ 96,698$ Carrier Global Corporation, 2.722%, 2/15/2030 380,000 379,972 406,377 Deere & Company, 3.1%, 4/15/2030 150,000 149,735 171,731 Deere & Company, 3.75%, 4/15/2050 1,920,000 2,185,133 2,487,812 Eaton Corporation, 2.75%, 11/2/2022 655,000 661,167 683,460 Eaton Corporation, 4.15%, 11/2/2042 416,000 454,452 527,082 General Dynamics Corporation, 4.25%, 4/1/2040 50,000 59,581 65,085 General Dynamics Corporation, 4.25%, 4/1/2050 2,290,000 2,860,154 3,114,970 General Electric Company, 3.45%, 5/1/2027 140,000 139,802 158,346 General Electric Company, 3.625%, 5/1/2030 290,000 289,566 331,437 General Electric Company, 4.25%, 5/1/2040 310,000 309,146 366,484 General Electric Company, 4.35%, 5/1/2050 400,000 398,419 486,459 General Electric Company, 5.875%, 1/14/2038 105,000 122,716 142,311 General Electric Company, 6.75%, 3/15/2032 92,000 113,456 128,990 General Electric Company, 6.875%, 1/10/2039 3,062,000 3,963,983 4,507,516 Honeywell International Inc., 1.35%, 6/1/2025 470,000 469,958 486,961 L3 Technologies, Inc., 4.4%, 6/15/2028 15,000 16,436 17,454 L3Harris Technologies, Inc., 5.054%, 4/27/2045 219,000 271,229 302,799 Lockheed Martin Corporation, 3.55%, 1/15/2026 666,000 704,536 756,512 Lockheed Martin Corporation, 4.5%, 5/15/2036 64,000 75,633 84,326 Northrop Grumman Corporation, 2.55%, 10/15/2022 902,000 909,708 936,200 Northrop Grumman Corporation, 2.93%, 1/15/2025 1,141,000 1,165,687 1,241,016 Northrop Grumman Corporation, 3.25%, 1/15/2028 346,000 359,715 391,261 Northrop Grumman Corporation, 5.25%, 5/1/2050 3,285,000 4,494,331 4,883,279 Otis Worldwide Corporation, 2.056%, 4/5/2025 300,000 299,997 317,953 Raytheon Technologies Corporation, 2.25%, 7/1/2030 620,000 619,251 658,561 Raytheon Technologies Corporation, 3.125%, 7/1/2050 1,200,000 1,196,055 1,323,230 Raytheon Technologies Corporation, 3.15%, 12/15/2024 300,000 322,729 325,894 Raytheon Technologies Corporation, 3.95%, 8/16/2025 700,000 750,760 802,839 Raytheon Technologies Corporation, 4.125%, 11/16/2028 390,000 433,337 464,944 Raytheon Technologies Corporation, 4.5%, 6/1/2042 97,000 115,088 126,489 Raytheon Technologies Corporation, 5.4%, 5/1/2035 2,000 2,501 2,750 Republic Services, Inc., 2.5%, 8/15/2024 425,000 427,769 453,848 Republic Services, Inc., 3.2%, 3/15/2025 10,000 10,793 10,966 Union Pacific Corporation, 2.15%, 2/5/2027 360,000 359,776 381,949 Union Pacific Corporation, 2.4%, 2/5/2030 280,000 279,000 301,424 Union Pacific Corporation, 3.75%, 7/15/2025 273,000 288,487 309,775 Union Pacific Corporation, 3.75%, 2/5/2070 670,000 686,242 810,426





Principal



Union Pacific Corporation, 3.839%, 3/20/2060 950,000 970,708$ 1,175,945$ Union Pacific Corporation, 3.95%, 9/10/2028 1,184,000 1,293,638 1,405,641 Waste Management, Inc., 3.5%, 5/15/2024 112,000 116,523 122,357 Waste Management, Inc., 4.15%, 7/15/2049 328,000 378,596 437,128

Total Industrials 42,748,203 47,902,713

Technology - 2.0%Adobe Inc., 2.3%, 2/1/2030 1,940,000 1,935,308 2,099,819 Apple Inc., 1.125%, 5/11/2025 1,620,000 1,625,413 1,665,951 Apple Inc., 1.55%, 8/4/2021 10,000 10,064 10,071 Apple Inc., 2.4%, 5/3/2023 65,000 68,029 68,183 Apple Inc., 2.45%, 8/4/2026 1,166,000 1,173,138 1,272,704 Apple Inc., 3.85%, 8/4/2046 479,000 535,226 615,977 Applied Materials, Inc., 1.75%, 6/1/2030 1,880,000 1,873,194 1,950,985 Broadcom Inc., 2.25%, 11/15/2023 1,060,000 1,059,913 1,107,047 Broadcom Inc., 3.15%, 11/15/2025 1,240,000 1,238,500 1,354,020 Broadcom Inc., 4.7%, 4/15/2025 1,590,000 1,649,077 1,822,089 Intel Corporation, 3.7%, 7/29/2025 109,000 116,484 123,337 Intel Corporation, 3.734%, 12/8/2047 114,000 125,859 136,237 Intel Corporation, 4.6%, 3/25/2040 620,000 788,114 818,524 Intel Corporation, 4.75%, 3/25/2050 1,275,000 1,508,268 1,779,342 Intel Corporation, 4.95%, 3/25/2060 - 8,538 - International Business Machines Corporation, 3%, 5/15/2024 1,931,000 1,975,841 2,091,815 Micron Technology, Inc., 2.497%, 4/24/2023 630,000 630,000 656,471 Microsoft Corporation, 2.4%, 8/8/2026 1,559,000 1,583,413 1,700,848 Microsoft Corporation, 2.675%, 6/1/2060 21,000 21,437 22,758 Microsoft Corporation, 2.7%, 2/12/2025 227,000 232,890 246,600 Microsoft Corporation, 2.875%, 2/6/2024 815,000 838,460 875,429 Microsoft Corporation, 3.125%, 11/3/2025 1,010,000 1,059,748 1,129,114 Microsoft Corporation, 3.3%, 2/6/2027 1,070,000 1,139,849 1,220,929 Microsoft Corporation, 3.45%, 8/8/2036 27,000 29,373 33,294 Microsoft Corporation, 3.7%, 8/8/2046 1,050,000 1,264,987 1,331,384 Microsoft Corporation, 3.95%, 8/8/2056 104,000 121,462 142,820 Microsoft Corporation, 4.1%, 2/6/2037 5,000 5,839 6,562 NVIDIA Corporation, 2.85%, 4/1/2030 330,000 328,857 371,229 NVIDIA Corporation, 3.5%, 4/1/2040 890,000 906,835 1,068,817 NVIDIA Corporation, 3.5%, 4/1/2050 2,860,000 3,074,047 3,469,433 NVIDIA Corporation, 3.7%, 4/1/2060 640,000 693,409 822,328 NXP BV / NXP Funding LLC / NXP USA Inc., 2.7%, 5/1/2025 410,000 411,734 441,283





Principal


Corporate Bonds - 33.7% (continued)Technology - 2.0% (continued)

Oracle Corporation, 2.8%, 7/8/2021 80,000 80,994$ 81,061$ salesforce.com, inc., 3.25%, 4/11/2023 526,000 540,665 560,352 salesforce.com, inc., 3.7%, 4/11/2028 1,618,000 1,753,197 1,909,108 Texas Instruments Incorporated, 1.75%, 5/4/2030 920,000 922,646 954,112 Texas Instruments Incorporated, 2.25%, 9/4/2029 1,000 984 1,078 Texas Instruments Incorporated, 4.15%, 5/15/2048 756,000 911,533 1,011,504 TSMC Global, Ltd., 0.75%, 9/28/2025 450,000 449,603 448,218 TSMC Global, Ltd., 1%, 9/28/2027 570,000 567,819 564,477

Total Technology 33,260,747 35,985,310

Utilities - 0.9%Berkshire Hathaway Energy Company, 5.95%, 5/15/2037 31,000 41,737 44,978 Cleveland Electric Illuminating Company/The, 3.5%, 4/1/2028 165,000 169,714 175,492 Comision Federal de Electricidad, 4.75%, 2/23/2027 1,122,000 1,168,360 1,273,470 Consolidated Edison Company of New York, Inc., 3.95%, 4/1/2050 440,000 437,127 536,085 Dominion Energy, Inc., 3.3%, 3/15/2025 15,000 16,037 16,516 Duke Energy Corporation, 2.4%, 8/15/2022 903,000 905,912 930,216 Duke Energy Corporation, 3.15%, 8/15/2027 461,000 474,208 514,456 Duke Energy Corporation, 3.55%, 9/15/2021 91,000 91,697 92,296 Exelon Corporation, 5.625%, 6/15/2035 231,000 284,817 312,437 FirstEnergy Corp., 1.6%, 1/15/2026 280,000 280,320 273,663 FirstEnergy Corp., 3.35%, 7/15/2022 10,000 10,228 10,164 FirstEnergy Corp., 4.25%, 3/15/2023 446,000 461,854 470,966 FirstEnergy Corp., 4.4%, 7/15/2027 1,801,000 1,897,951 1,985,236 FirstEnergy Corp., 5.35%, 7/15/2047 230,000 270,794 286,234 FirstEnergy Corp., 7.375%, 11/15/2031 1,971,000 2,710,413 2,810,576 MidAmerican Energy Company, 3.65%, 4/15/2029 833,000 904,909 989,387 Pacific Gas and Electric Company, 1.75%, 6/16/2022 1,010,000 1,009,956 1,012,850 Pacific Gas and Electric Company, 2.1%, 8/1/2027 310,000 310,274 315,462 Pacific Gas and Electric Company, 2.5%, 2/1/2031 400,000 399,603 401,461 Pacific Gas and Electric Company, 3.3%, 8/1/2040 80,000 79,608 79,845 Pacific Gas and Electric Company, 3.5%, 8/1/2050 190,000 188,813 188,843 Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara,

4.125%, 5/15/2027 437,000 459,899 482,885 Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara,

5.25%, 10/24/2042 460,000 522,781 541,944 Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara,

5.45%, 5/21/2028 778,000 886,841 930,683





Principal


Corporate Bonds - 33.7% (continued)Utilities - 0.9% (continued)

Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara, 6.15%, 5/21/2048 1,554,000 2,001,989$ 2,027,970$

Progress Energy, Inc., 3.15%, 4/1/2022 127,000 128,178 130,411 Total Utilities 16,114,020 16,834,526

Total Corporate Bonds 564,251,442 605,470,765

Exchange Traded Fund - 2.1%iShares iBoxx $ Investment Grade Corporate Bond ETF 274,217 35,977,661 37,877,594

Mortgage-Backed Securities - 32.8%APS Resecuritization Trust 2015-3, 1.043%, 10/27/2046 614,170 621,615 615,065 Banc of America Funding Corp., 0.298%, 2/27/2037 539,264 524,704 516,883 BANK 2019-BNK20, 3.011%, 9/15/2062 3,370,000 3,557,745 3,767,607 Bear Stearns ARM Trust 2004-9, 3.342%, 11/25/2034 96,025 96,283 92,882 BHMS 2018-ATLS, 1.377%, 7/15/2035 2,551,000 2,558,742 2,480,652 BX Commercial Mortgage Trust 2019-IMC, 1.126%, 4/15/2034 1,044,000 1,045,663 1,017,815 BX Commercial Mortgage Trust 2020-FOX, 1.126%, 11/15/2032 2,920,000 2,920,000 2,924,682 CD 2016-CD2 Mortgage Trust, 3.526%, 11/10/2049 491,000 527,196 555,927 CHT 2017-COSMO Mortgage Trust, 1.057%, 11/15/2036 679,000 679,826 671,367 Citigroup Commercial Mortgage Trust 2014-GC25, 4.017%, 10/10/2047 207,000 219,852 227,479 Citigroup Commercial Mortgage Trust 2017-C4, 3.471%, 10/12/2050 1,044,000 1,119,429 1,186,854 Citigroup Commercial Mortgage Trust 2017-P7, 4.137%, 4/14/2050 306,000 329,141 340,726 Citigroup Commercial Mortgage Trust 2019-SMRT, 4.149%, 1/10/2036 1,431,000 1,505,980 1,555,215 COMM 2013-300P Mortgage Trust, 4.394%, 8/10/2030 473,000 502,339 500,888 COMM 2013-CCRE12 Mortgage Trust, 4.3%, 10/10/2046 52,000 55,439 54,436 COMM 2013-CCRE12 Mortgage Trust, 4.762%, 10/10/2046 46,000 48,294 46,981 COMM 2013-CCRE12 Mortgage Trust, 5.074%, 10/10/2046 22,000 22,297 21,725 COMM 2014-277P Mortgage Trust, 3.611%, 8/10/2049 330,000 350,169 355,878 COMM 2014-UBS2 Mortgage Trust, 1.149%, 3/10/2047 1,877,730 49,725 54,451 COMM 2015-CCRE24 Mortgage Trust, 4.028%, 8/10/2048 879,000 948,965 974,658 COMM 2017-PANW Mortgage Trust, 3.244%, 10/10/2029 1,139,000 1,179,378 1,193,845 COMM 2020-CX Mortgage Trust, 2.173%, 11/10/2046 4,320,000 4,448,626 4,505,463 CORE 2019-CORE Mortgage Trust, 1.226%, 12/15/2031 3,760,000 3,759,811 3,732,138 Credit Suisse First Boston Mortgage Securities Corp., 0.61%, 2/25/2032 72,274 67,082 69,587 Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1.106%, 5/15/2036 178,000 178,199 178,238 Credit Suisse Mortgage Trust 2017-RPL1 A1, 2.75%, 7/25/2057 3,852,711 3,872,835 4,052,510 Credit Suisse Mortgage Trust 2017-RPL1 M1, 3.042%, 7/25/2057 2,590,000 2,598,812 2,696,018 CSAIL 2018-C14 Commercial Mortgage Trust, 4.422%, 11/15/2051 1,741,000 1,994,404 2,083,255 CSAIL 2019-C15 Commercial Mortgage Trust, 4.053%, 3/15/2052 1,567,000 1,751,132 1,840,474





Principal


Mortgage-Backed Securities - 32.8% (continued)CSMC 2017-RPL3 Trust, 4%, 8/1/2057 1,304,014 1,342,106$ 1,356,273$ CSMC 2020-AFC1 Trust, 2.24%, 2/25/2050 2,954,631 2,954,631 3,001,063 CSMC 2020-FACT, 1.476%, 10/15/2037 5,110,000 5,110,000 5,116,652 CSMC 2020-RPL4 Trust, 2%, 1/25/2060 1,638,955 1,691,461 1,685,826 CSMC Series 2015-12R, 0.648%, 11/30/2037 953,150 952,416 950,041 CSMC Trust 2018-J1, 3.5%, 2/25/2048 4,968,579 4,989,538 5,074,459 Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1,

0.417%, 4/15/2036 567,917 499,607 494,980 EverBank Mortgage Loan Trust 18-1, 3.5%, 2/25/2048 1,160,016 1,170,745 1,181,993 Fannie Mae 30 YR TBA 1.5 Single Family Morgtage, 1.5%, 1/16/2036 13,500,000 13,822,973 13,890,234 Fannie Mae 30 YR TBA 2 Single Family Morgtage, 2%, 1/14/2051 15,300,000 15,835,164 15,893,473 Fannie Mae 30 YR TBA 2 Single Family Morgtage, 2%, 2/12/2051 27,800,000 28,724,297 28,829,590 Fannie Mae 30 YR TBA 2.5 Single Family Morgtage, 2.5%, 1/14/2051 23,400,000 24,545,328 24,666,891 Fannie Mae Connecticut Avenue Securities, 1.38%, 7/25/2029 1,782,098 1,784,279 1,771,244 Fannie Mae Connecticut Avenue Securities, 5.43%, 10/25/2028 2,101,783 2,296,648 2,215,031 Fannie Mae Grantor Trust 2017-T1, 2.898%, 6/25/2027 260,192 268,048 287,542 Fannie Mae Interest Strip, 3%, 11/25/2026 127,657 5,346 6,698 Fannie Mae Interest Strip, 3%, 4/25/2027 163,639 7,558 8,864 Fannie Mae Interest Strip, 3.5%, 11/25/2041 144,033 21,773 12,819 Fannie Mae Interest Strip, 4%, 11/25/2041 159,070 19,410 21,582 Fannie Mae Interest Strip, 4%, 4/25/2042 114,447 16,189 16,734 Fannie Mae Interest Strip, 4.5%, 11/25/2039 69,584 13,485 10,804 Fannie Mae Interest Strip, 5%, 1/25/2038 9,071 989 1,301 Fannie Mae Interest Strip, 5%, 1/25/2039 18,726 2,122 2,967 Fannie Mae Interest Strip, 5.5%, 1/25/2039 6,046 753 873 Fannie Mae Interest Strip, 6%, 1/25/2038 42,655 6,716 8,083 Fannie Mae Interest Strip, 6%, 7/25/2038 34,227 4,620 6,321 Fannie Mae Pool 190379, 5.5%, 5/1/2037^ 12,466 14,077 14,646 Fannie Mae Pool 250322, 7.5%, 8/1/2025 15 16 16 Fannie Mae Pool 250508, 6%, 1/1/2026 231 255 259 Fannie Mae Pool 250641, 7.5%, 8/1/2026 137 150 150 Fannie Mae Pool 250884, 7%, 4/1/2027 266 286 291 Fannie Mae Pool 253642, 7%, 2/1/2031 985 1,145 1,126 Fannie Mae Pool 253950, 7%, 9/1/2031 638 734 745 Fannie Mae Pool 254008, 7%, 10/1/2031 829 957 970 Fannie Mae Pool 254379, 7%, 7/1/2032 4,712 5,434 5,435 Fannie Mae Pool 254768, 6%, 6/1/2033 89 103 106 Fannie Mae Pool 254793, 5%, 7/1/2033 14,908 16,620 17,199 Fannie Mae Pool 255191, 6%, 5/1/2034 108 124 129 Fannie Mae Pool 255771, 6%, 7/1/2035 235 271 283





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool 256219, 5.5%, 4/1/2036 96 104$ 103$ Fannie Mae Pool 256799, 5.5%, 7/1/2037 409 461 480 Fannie Mae Pool 300779, 7.5%, 10/1/2025 33 33 33 Fannie Mae Pool 307538, 7.5%, 6/1/2025 210 212 211 Fannie Mae Pool 313182, 7.5%, 10/1/2026^ 34 37 37 Fannie Mae Pool 346303, 7.5%, 7/1/2026 8 8 8 Fannie Mae Pool 370777, 7.5%, 6/1/2027 142 144 145 Fannie Mae Pool 376500, 7.5%, 8/1/2027 134 137 137 Fannie Mae Pool 378208, 7.5%, 6/1/2027 58 59 59 Fannie Mae Pool 395761, 7.5%, 9/1/2027 241 244 245 Fannie Mae Pool 395811, 7%, 11/1/2027 19 19 19 Fannie Mae Pool 398337, 7.5%, 4/1/2028 861 879 884 Fannie Mae Pool 402004, 7.5%, 11/1/2027 282 288 291 Fannie Mae Pool 402574, 7.5%, 10/1/2027 245 246 246 Fannie Mae Pool 405865, 7.5%, 11/1/2027 233 234 234 Fannie Mae Pool 422807, 7.5%, 4/1/2028 67 68 67 Fannie Mae Pool 431715, 7%, 5/1/2028 343 361 363 Fannie Mae Pool 432061, 7%, 6/1/2028 8,034 8,788 8,862 Fannie Mae Pool 433041, 7%, 6/1/2028 156 156 157 Fannie Mae Pool 526057, 7%, 12/1/2029 316 318 319 Fannie Mae Pool 535154, 7%, 1/1/2030^ 271 303 307 Fannie Mae Pool 555436, 6%, 5/1/2033^ 141 162 166 Fannie Mae Pool 555743, 5%, 9/1/2033^ 17,900 19,959 20,629 Fannie Mae Pool 562328, 7%, 1/1/2031 399 443 443 Fannie Mae Pool 569637, 7%, 1/1/2031 1,144 1,193 1,180 Fannie Mae Pool 581716, 7%, 7/1/2031 654 667 673 Fannie Mae Pool 581806, 7%, 7/1/2031 409 465 474 Fannie Mae Pool 595797, 7%, 9/1/2031 455 509 519 Fannie Mae Pool 597418, 7%, 9/1/2031 601 687 700 Fannie Mae Pool 600659, 7%, 8/1/2031 13,548 15,104 15,484 Fannie Mae Pool 602391, 7%, 8/1/2031 570 631 653 Fannie Mae Pool 603617, 7%, 9/1/2031 271 302 282 Fannie Mae Pool 604931, 7%, 9/1/2031 533 554 547 Fannie Mae Pool 606764, 7%, 10/1/2031 640 651 655 Fannie Mae Pool 606799, 7%, 10/1/2031 1,025 1,095 1,122 Fannie Mae Pool 614929, 7%, 12/1/2031 463 517 530 Fannie Mae Pool 614978, 7%, 12/1/2031 1,489 1,694 1,734 Fannie Mae Pool 616609, 7%, 11/1/2031 569 574 576 Fannie Mae Pool 619063, 6%, 12/1/2031 150 173 177





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool 621421, 7%, 5/1/2032 1,106 1,168$ 1,135$ Fannie Mae Pool 622321, 6.5%, 2/1/2032 575 641 644 Fannie Mae Pool 624329, 6.5%, 2/1/2032 226 252 253 Fannie Mae Pool 624639, 7%, 11/1/2031 362 391 367 Fannie Mae Pool 630825, 6%, 2/1/2032 1,700 1,885 1,912 Fannie Mae Pool 636983, 7%, 6/1/2032 1,991 2,282 2,338 Fannie Mae Pool 641208, 7%, 6/1/2032 318 349 360 Fannie Mae Pool 641249, 7%, 6/1/2032 936 976 993 Fannie Mae Pool 642837, 7%, 5/1/2032 1,179 1,213 1,195 Fannie Mae Pool 644591, 7%, 5/1/2032 180 185 188 Fannie Mae Pool 645065, 7%, 5/1/2032 3,139 3,428 3,279 Fannie Mae Pool 648385, 7%, 10/1/2031 5,989 6,667 6,856 Fannie Mae Pool 669713, 6%, 11/1/2032 85 98 98 Fannie Mae Pool 721094, 6%, 11/1/2033 569 652 683 Fannie Mae Pool 725162, 6%, 2/1/2034^ 757 873 906 Fannie Mae Pool 725690, 6%, 8/1/2034^ 312 360 375 Fannie Mae Pool 725704, 6%, 8/1/2034^ 253 292 304 Fannie Mae Pool 733868, 6%, 12/1/2032 427 479 501 Fannie Mae Pool 735060, 6%, 11/1/2034^ 274 316 329 Fannie Mae Pool 735125, 6%, 8/1/2034^ 206 228 232 Fannie Mae Pool 735502, 6%, 4/1/2035^ 412 475 495 Fannie Mae Pool 745000, 6%, 10/1/2035^ 12,368 14,244 14,863 Fannie Mae Pool 745257, 6%, 1/1/2036^ 834 962 1,002 Fannie Mae Pool 745959, 5.5%, 11/1/2036^ 2,455 2,779 2,884 Fannie Mae Pool 765123, 6%, 1/1/2034 289 332 345 Fannie Mae Pool 782662, 6%, 8/1/2034 19 22 22 Fannie Mae Pool 783800, 6%, 7/1/2034 9,956 11,021 11,189 Fannie Mae Pool 790915, 6%, 9/1/2034 564 631 637 Fannie Mae Pool 797647, 6%, 9/1/2035 10,880 12,044 12,227 Fannie Mae Pool 813957, 6%, 5/1/2035 318 354 358 Fannie Mae Pool 815160, 6%, 4/1/2035 59,726 68,613 70,351 Fannie Mae Pool 824324, 6%, 6/1/2035 47 52 53 Fannie Mae Pool 829139, 6%, 10/1/2035 992 1,106 1,168 Fannie Mae Pool 833212, 5.5%, 9/1/2035 492 533 550 Fannie Mae Pool 835760, 4.5%, 9/1/2035 19,426 21,011 21,516 Fannie Mae Pool 836050, 5.5%, 9/1/2035 67,812 76,653 78,061 Fannie Mae Pool 836174, 6%, 10/1/2035 37,723 41,953 42,765 Fannie Mae Pool 836242, 5.5%, 10/1/2035 37,433 40,498 41,980 Fannie Mae Pool 836456, 6%, 10/1/2035 564 624 634 Fannie Mae Pool 837280, 6%, 7/1/2035 180 205 215





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool 843798, 5.5%, 11/1/2035 28,464 32,169$ 33,458$ Fannie Mae Pool 843997, 2.571%, 11/1/2035^ 33,999 35,277 35,215 Fannie Mae Pool 845749, 6%, 10/1/2035 5,686 6,551 6,819 Fannie Mae Pool 851792, 6%, 1/1/2036 54,097 62,198 64,895 Fannie Mae Pool 852523, 5.5%, 2/1/2036 130 147 153 Fannie Mae Pool 866314, 6%, 1/1/2036 498 574 595 Fannie Mae Pool 869081, 6%, 5/1/2036 572 634 643 Fannie Mae Pool 882210, 6%, 9/1/2036 1,369 1,566 1,550 Fannie Mae Pool 882533, 6%, 5/1/2036 187 215 223 Fannie Mae Pool 888286, 5.5%, 4/1/2037^ 242 273 284 Fannie Mae Pool 888433, 6%, 12/1/2035^ 5,575 6,427 6,701 Fannie Mae Pool 888560, 6%, 11/1/2035^ 7,649 8,817 9,182 Fannie Mae Pool 889117, 5%, 10/1/2035^ 50,871 56,786 58,748 Fannie Mae Pool 890246, 5.5%, 11/1/2038^ 806 909 947 Fannie Mae Pool 890248, 6%, 8/1/2037^ 16,933 19,524 20,349 Fannie Mae Pool 890604, 4.5%, 10/1/2044^ 330,109 356,972 369,058 Fannie Mae Pool 890827, 3.5%, 12/1/2037^ 343,799 359,744 375,215 Fannie Mae Pool 890876, 3.5%, 2/1/2049^ 133,659 139,174 145,088 Fannie Mae Pool 897819, 6%, 9/1/2036 308 349 358 Fannie Mae Pool 900138, 6%, 8/1/2021 26 26 26 Fannie Mae Pool 913168, 6%, 3/1/2037 2,356 2,606 2,647 Fannie Mae Pool 914704, 5.5%, 4/1/2037 88 100 104 Fannie Mae Pool 916381, 5.5%, 5/1/2037 99 111 111 Fannie Mae Pool 916945, 5.5%, 6/1/2037 54 59 60 Fannie Mae Pool 918069, 5.5%, 5/1/2037 447 503 515 Fannie Mae Pool 918298, 5.5%, 5/1/2037 917 1,033 1,077 Fannie Mae Pool 918662, 5.5%, 6/1/2037 140 158 164 Fannie Mae Pool 918698, 6%, 6/1/2037 522 578 587 Fannie Mae Pool 919073, 5.5%, 4/1/2037 14,694 16,533 16,962 Fannie Mae Pool 924874, 7%, 10/1/2037 722 805 769 Fannie Mae Pool 928938, 7%, 12/1/2037 1,288 1,529 1,563 Fannie Mae Pool 934648, 7%, 11/1/2038 6,256 7,662 7,445 Fannie Mae Pool 937392, 5.5%, 6/1/2037 9,759 10,798 11,472 Fannie Mae Pool 937591, 5.5%, 6/1/2037 685 771 805 Fannie Mae Pool 937721, 5.5%, 6/1/2037 108 122 127 Fannie Mae Pool 937828, 5.5%, 7/1/2037 243 270 284 Fannie Mae Pool 937874, 5.5%, 7/1/2037 496 559 583 Fannie Mae Pool 938175, 5.5%, 7/1/2037 166 187 195 Fannie Mae Pool 938223, 5.5%, 7/1/2037 663 746 779





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool 938289, 5.5%, 7/1/2037 127 140$ 146$ Fannie Mae Pool 938447, 5.5%, 7/1/2037 455 512 535 Fannie Mae Pool 938471, 5.5%, 7/1/2037 163 183 191 Fannie Mae Pool 939510, 5.5%, 6/1/2037 1,326 1,491 1,530 Fannie Mae Pool 939554, 5.5%, 7/1/2037 434 487 507 Fannie Mae Pool 942748, 5.5%, 8/1/2037 194 219 229 Fannie Mae Pool 943594, 5.5%, 7/1/2037 262 295 308 Fannie Mae Pool 948287, 5.5%, 7/1/2037 252 284 295 Fannie Mae Pool 955183, 7%, 11/1/2037 4,848 5,348 5,493 Fannie Mae Pool 968252, 7%, 2/1/2038 2,955 3,034 3,062 Fannie Mae Pool 974156, 7%, 2/1/2038 1,308 1,455 1,502 Fannie Mae Pool 985626, 6%, 4/1/2033 4,244 4,890 5,079 Fannie Mae Pool 991549, 7%, 11/1/2038 922 997 1,026 Fannie Mae Pool 992249, 7%, 11/1/2038 276 292 298 Fannie Mae Pool 992262, 5%, 1/1/2039 568 630 661 Fannie Mae Pool 995072, 5.5%, 8/1/2038^ 30,977 34,955 36,417 Fannie Mae Pool AB7668, 3%, 1/1/2043 8,742 8,962 9,482 Fannie Mae Pool AB9594, 4%, 6/1/2043 7,442 8,016 8,274 Fannie Mae Pool AB9597, 4%, 6/1/2043 13,647 14,385 15,041 Fannie Mae Pool AB9683, 4%, 6/1/2043 106,037 113,231 116,226 Fannie Mae Pool AC8406, 4.5%, 1/1/2040 8,914 9,659 10,010 Fannie Mae Pool AD0217, 6%, 8/1/2037^ 620 714 745 Fannie Mae Pool AE0469, 6%, 12/1/2039^ 177,984 205,221 210,752 Fannie Mae Pool AE0758, 7%, 2/1/2039^ 79,035 91,665 91,406 Fannie Mae Pool AE8346, 4.5%, 11/1/2040 62,319 67,531 69,120 Fannie Mae Pool AH4306, 4.5%, 2/1/2041 221,379 239,892 248,583 Fannie Mae Pool AH6231, 4.5%, 3/1/2041 790 856 887 Fannie Mae Pool AI1863, 5%, 5/1/2041 1,616 1,783 1,879 Fannie Mae Pool AI1892, 5%, 5/1/2041 14,544 16,022 16,889 Fannie Mae Pool AI2433, 5%, 5/1/2041 2,207 2,429 2,553 Fannie Mae Pool AI2443, 5%, 5/1/2041 1,564 1,723 1,818 Fannie Mae Pool AI2462, 5%, 5/1/2041 2,047 2,256 2,369 Fannie Mae Pool AI4261, 5%, 6/1/2041 1,994 2,195 2,318 Fannie Mae Pool AL0476, 5%, 11/1/2040^ 22,431 24,831 26,080 Fannie Mae Pool AL1051, 4.5%, 9/1/2041^ 28,463 30,846 31,960 Fannie Mae Pool AL3026, 3.5%, 12/1/2042^ 145,398 151,961 158,145 Fannie Mae Pool AL3508, 4%, 4/1/2043^ 38,438 41,403 43,157 Fannie Mae Pool AL4324, 6.5%, 5/1/2040^ 84,050 96,703 97,298 Fannie Mae Pool AL4741, 4.5%, 1/1/2044^ 67,872 73,213 75,853





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool AL4807, 5%, 6/1/2041^ 105,520 117,781$ 122,501$ Fannie Mae Pool AL5110, 4.5%, 3/1/2044^ 13,105 14,095 14,546 Fannie Mae Pool AL6175, 3.5%, 1/1/2044^ 344,477 360,929 376,377 Fannie Mae Pool AL6308, 5%, 8/1/2038^ 129,338 144,384 150,121 Fannie Mae Pool AL6613, 2.5%, 6/1/2028^ 708,858 745,236 745,498 Fannie Mae Pool AL8994, 4%, 9/1/2045^ 11,488 12,804 12,566 Fannie Mae Pool AL9397, 3%, 10/1/2046^ 551,376 563,630 590,045 Fannie Mae Pool AL9483, 3%, 12/1/2046^ 236,563 242,551 255,294 Fannie Mae Pool AL9546, 3.5%, 11/1/2046^ 731,327 785,189 782,464 Fannie Mae Pool AM8674, 2.81%, 4/1/2025 74,153 76,368 80,441 Fannie Mae Pool AN8048, 3.08%, 1/1/2028 547,270 575,700 612,875 Fannie Mae Pool AP0549, 4%, 7/1/2042 60,145 64,396 66,300 Fannie Mae Pool AP4710, 3.5%, 8/1/2042 3,112 3,252 3,400 Fannie Mae Pool AP9766, 4%, 10/1/2042 95,412 101,452 104,649 Fannie Mae Pool AQ2889, 4%, 12/1/2042 260,103 278,500 286,714 Fannie Mae Pool AQ4078, 4%, 6/1/2043 49,439 53,251 55,506 Fannie Mae Pool AQ4080, 4%, 6/1/2043 48,161 51,445 53,223 Fannie Mae Pool AQ4555, 4%, 12/1/2042 91,642 97,900 101,022 Fannie Mae Pool AQ4573, 4%, 12/1/2042 19,380 20,924 21,364 Fannie Mae Pool AQ7048, 4%, 12/1/2042 11,233 12,132 12,382 Fannie Mae Pool AQ7306, 3%, 1/1/2043 84,751 86,896 91,912 Fannie Mae Pool AQ9670, 3%, 1/1/2043 25,397 26,041 27,550 Fannie Mae Pool AR1198, 3%, 1/1/2043 25,024 25,657 27,140 Fannie Mae Pool AR1202, 3%, 1/1/2043 61,378 62,929 66,566 Fannie Mae Pool AR1203, 3%, 12/1/2042 9,003 9,229 9,667 Fannie Mae Pool AR4217, 3%, 1/1/2043 2,407 2,458 2,611 Fannie Mae Pool AS0070, 4%, 8/1/2043 61,012 64,956 66,949 Fannie Mae Pool AS0560, 4.5%, 9/1/2043 92,199 99,895 103,793 Fannie Mae Pool AS2244, 4.5%, 4/1/2044 17,924 19,269 19,809 Fannie Mae Pool AS2337, 4.5%, 5/1/2044 15,699 16,878 17,362 Fannie Mae Pool AS2514, 4.5%, 5/1/2044 10,798 11,619 12,112 Fannie Mae Pool AS4271, 4.5%, 1/1/2045 12,450 13,809 14,291 Fannie Mae Pool AS4347, 4%, 1/1/2045 106,237 113,309 117,392 Fannie Mae Pool AS4363, 4.5%, 2/1/2045 124,514 138,103 142,960 Fannie Mae Pool AS5314, 4%, 7/1/2045 605,364 652,051 679,587 Fannie Mae Pool AS5469, 4%, 7/1/2045 53,502 58,327 58,623 Fannie Mae Pool AS6340, 3.5%, 12/1/2045 207,929 216,995 224,899 Fannie Mae Pool AS6541, 3.5%, 1/1/2046 215,859 226,776 235,994 Fannie Mae Pool AS6562, 3.5%, 1/1/2046 193,700 202,137 210,317 Fannie Mae Pool AS7726, 3%, 8/1/2046 1,103,604 1,134,948 1,199,441





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool AS7738, 3%, 8/1/2046 940,326 962,967$ 1,021,050$ Fannie Mae Pool AS7844, 3%, 9/1/2046 465,898 476,253 498,284 Fannie Mae Pool AS8359, 3%, 11/1/2046 1,235,886 1,261,991 1,300,052 Fannie Mae Pool AS9453, 4%, 4/1/2047 2,050,364 2,222,857 2,221,283 Fannie Mae Pool AS9588, 4%, 5/1/2047 1,927,679 2,035,633 2,095,392 Fannie Mae Pool AT3070, 3.5%, 4/1/2043 244,498 256,182 267,407 Fannie Mae Pool AT3870, 4%, 6/1/2043 15,249 16,426 17,121 Fannie Mae Pool AT3874, 4%, 6/1/2043 22,127 23,637 24,454 Fannie Mae Pool AT4281, 4%, 6/1/2043 11,142 12,001 12,509 Fannie Mae Pool AT6546, 4%, 6/1/2043 23,660 25,634 26,750 Fannie Mae Pool AT6549, 4%, 6/1/2043 19,021 20,488 21,356 Fannie Mae Pool AT7208, 4%, 6/1/2043 7,716 8,311 8,663 Fannie Mae Pool AT7698, 4%, 6/1/2043 33,729 36,133 37,490 Fannie Mae Pool AT8394, 4%, 6/1/2043 98,369 105,957 110,445 Fannie Mae Pool AT9627, 4%, 7/1/2043 15,564 16,625 17,200 Fannie Mae Pool AT9637, 4%, 7/1/2043 144,141 153,839 159,294 Fannie Mae Pool AT9653, 4%, 7/1/2043 136,100 146,599 152,808 Fannie Mae Pool AT9657, 4%, 7/1/2043 102,619 109,428 113,106 Fannie Mae Pool AT9839, 4%, 6/1/2043 13,522 14,565 15,182 Fannie Mae Pool AU0991, 4.5%, 9/1/2043 20,141 21,824 22,319 Fannie Mae Pool AU6051, 4%, 9/1/2043 174,695 189,276 197,511 Fannie Mae Pool AU6901, 4.5%, 9/1/2043 1,228 1,329 1,376 Fannie Mae Pool AU8583, 4.5%, 10/1/2043 35,368 38,274 39,239 Fannie Mae Pool AV0047, 4.5%, 11/1/2043 21,818 23,491 24,482 Fannie Mae Pool AV0612, 4.5%, 11/1/2043 29,762 32,027 33,325 Fannie Mae Pool AV3602, 4.5%, 12/1/2043 20,375 21,908 22,804 Fannie Mae Pool AV4092, 4.5%, 12/1/2043 18,926 20,353 20,858 Fannie Mae Pool AV6738, 4.5%, 3/1/2044 16,745 18,033 18,463 Fannie Mae Pool AV7116, 4.5%, 3/1/2044 14,091 15,207 15,612 Fannie Mae Pool AW1555, 4.5%, 4/1/2044 24,114 25,632 27,141 Fannie Mae Pool AW5337, 4.5%, 6/1/2044 17,079 18,403 18,846 Fannie Mae Pool AW7048, 4.5%, 6/1/2044 6,984 7,370 7,586 Fannie Mae Pool AW7091, 4.5%, 7/1/2044 22,166 23,626 24,347 Fannie Mae Pool AW9239, 4.5%, 8/1/2044 37,534 40,363 42,055 Fannie Mae Pool AY6181, 3.5%, 4/1/2045 240,611 259,084 257,737 Fannie Mae Pool BC0884, 3%, 5/1/2046 634,645 649,925 689,126 Fannie Mae Pool BC1509, 3%, 8/1/2046 391,203 399,781 418,955 Fannie Mae Pool BC2817, 3%, 9/1/2046 790,536 809,669 841,011 Fannie Mae Pool BC9096, 3.5%, 12/1/2046 347,842 371,727 371,140 Fannie Mae Pool BD1175, 3%, 11/1/2046 37,363 38,306 40,321





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool BD6249, 3%, 11/1/2046 137,951 141,443$ 148,772$ Fannie Mae Pool BD6368, 3%, 9/1/2046 1,538 1,577 1,677 Fannie Mae Pool BD8001, 3%, 9/1/2046 73,244 75,098 79,044 Fannie Mae Pool BD8002, 3%, 9/1/2046 6,891 7,057 7,483 Fannie Mae Pool BD8104, 3%, 10/1/2046 486,324 499,837 526,851 Fannie Mae Pool BD9139, 3%, 11/1/2046 98,324 100,692 106,146 Fannie Mae Pool BD9144, 3%, 11/1/2046 19,166 19,651 20,620 Fannie Mae Pool BD9654, 3%, 11/1/2046 71,268 73,072 76,056 Fannie Mae Pool BD9655, 3%, 11/1/2046 134,520 137,925 144,440 Fannie Mae Pool BE0351, 3%, 11/1/2046 34,693 35,571 37,492 Fannie Mae Pool BE0433, 3%, 11/1/2046 38,177 39,143 40,970 Fannie Mae Pool BE1289, 3%, 12/1/2046 186,747 191,475 201,535 Fannie Mae Pool BE1645, 3%, 11/1/2046 28,527 29,248 30,827 Fannie Mae Pool BE3114, 3%, 11/1/2046 72,665 74,504 78,445 Fannie Mae Pool BE3284, 3%, 11/1/2046 54,273 55,647 58,291 Fannie Mae Pool BE4712, 3%, 12/1/2046 24,600 25,223 26,584 Fannie Mae Pool BE4774, 3%, 1/1/2047 68,799 70,540 74,231 Fannie Mae Pool BF0035, 4%, 4/1/2055 18,033 19,149 20,337 Fannie Mae Pool BF0064, 4%, 9/1/2055 25,965 27,573 29,284 Fannie Mae Pool BF0104, 4%, 2/1/2056 674,847 716,565 755,596 Fannie Mae Pool BF0105, 4%, 6/1/2056 5,834,257 6,194,949 6,504,048 Fannie Mae Pool BF0109, 4%, 2/1/2056 1,684,197 1,788,310 1,897,994 Fannie Mae Pool BF0133, 4%, 8/1/2056 3,464,678 3,678,871 3,862,430 Fannie Mae Pool BF0145, 3.5%, 3/1/2057 3,837,032 4,036,922 4,239,659 Fannie Mae Pool BF0183, 4%, 1/1/2057 424,115 450,334 474,863 Fannie Mae Pool BF0191, 4%, 6/1/2057 775,488 823,262 864,027 Fannie Mae Pool BF0222, 4.5%, 9/1/2057 1,259,642 1,364,306 1,440,836 Fannie Mae Pool BF0301, 4.5%, 8/1/2058 491,480 560,595 561,927 Fannie Mae Pool BH2623, 4%, 8/1/2047 6,669,110 6,968,495 7,175,056 Fannie Mae Pool BH4095, 4%, 10/1/2047 362,546 388,576 389,353 Fannie Mae Pool BH4101, 3.5%, 10/1/2047 6,895,822 7,119,669 7,308,301 Fannie Mae Pool BH9923, 3.5%, 9/1/2047 819,030 875,527 870,399 Fannie Mae Pool BJ0104, 3.5%, 10/1/2047 31,750 32,777 33,724 Fannie Mae Pool BJ0685, 4%, 4/1/2048 519,596 556,821 556,720 Fannie Mae Pool BJ2544, 3%, 12/1/2037 139,192 142,345 146,503 Fannie Mae Pool BJ2763, 4.5%, 5/1/2048 1,542,018 1,678,502 1,684,884 Fannie Mae Pool BJ3929, 3.5%, 12/1/2047 4,991 5,148 5,301 Fannie Mae Pool BJ6133, 4%, 1/1/2048 55,531 59,777 59,432 Fannie Mae Pool BJ9257, 4.5%, 6/1/2048 703,225 771,282 778,363





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool BK7700, 4.5%, 10/1/2048 1,458,489 1,602,143$ 1,610,792$ Fannie Mae Pool BK8745, 4.5%, 4/1/2049 73,244 78,263 79,322 Fannie Mae Pool BL2454, 3.16%, 5/1/2029 302,930 322,224 343,187 Fannie Mae Pool BL2576, 3.04%, 6/1/2029 208,882 221,226 237,951 Fannie Mae Pool BL3540, 2.79%, 8/1/2029 1,222,000 1,271,125 1,377,045 Fannie Mae Pool BL5850, 2.26%, 4/1/2030 986,945 1,020,464 1,072,212 Fannie Mae Pool BM1565, 3%, 4/1/2047^ 1,199,834 1,232,214 1,299,590 Fannie Mae Pool BM1948, 6%, 7/1/2041^ 362,909 437,652 440,830 Fannie Mae Pool BM2005, 4%, 12/1/2047^ 119,676 128,380 128,382 Fannie Mae Pool BM3473, 3.5%, 11/1/2047^ 908,291 949,835 996,722 Fannie Mae Pool BM3724, 3.5%, 3/1/2048^ 13,452 14,010 14,615 Fannie Mae Pool BM3799, 3%, 8/1/2047^ 62,213 63,938 67,377 Fannie Mae Pool BM3904, 5%, 5/1/2048^ 329,601 353,334 367,414 Fannie Mae Pool BM4014, 4.5%, 5/1/2048^ 57,468 62,526 63,053 Fannie Mae Pool BM4226, 3%, 1/1/2047^ 4,091,871 4,215,384 4,452,880 Fannie Mae Pool BM4579, 3%, 4/1/2047^ 3,268,873 3,347,398 3,548,420 Fannie Mae Pool BM4750, 3.5%, 2/1/2045^ 227,799 238,307 247,485 Fannie Mae Pool BM4781, 4.5%, 10/1/2048^ 178,340 197,633 197,587 Fannie Mae Pool BM4897, 3.5%, 12/1/2046^ 1,181,366 1,235,869 1,273,157 Fannie Mae Pool BM5119, 4.5%, 12/1/2048^ 1,326,371 1,454,730 1,459,554 Fannie Mae Pool BM5521, 3.5%, 7/1/2048^ 1,641,198 1,701,574 1,741,374 Fannie Mae Pool BM6224, 2.79%, 1/1/2035^ 1,194,988 1,228,433 1,334,402 Fannie Mae Pool BN1623, 4.5%, 11/1/2048 719,515 788,701 796,915 Fannie Mae Pool BN3898, 4.5%, 12/1/2048 115,654 128,328 128,521 Fannie Mae Pool BN7753, 3%, 9/1/2049 2,443,128 2,494,228 2,610,710 Fannie Mae Pool BO0968, 4%, 6/1/2049 97,194 101,039 103,893 Fannie Mae Pool BO2252, 3.5%, 10/1/2049 669,595 698,025 729,012 Fannie Mae Pool BO4944, 2.5%, 11/1/2034 115,314 121,192 121,641 Fannie Mae Pool BO8932, 3%, 1/1/2050 212,000 215,157 225,493 Fannie Mae Pool BO9174, 3.5%, 12/1/2049 2,049,782 2,200,478 2,205,489 Fannie Mae Pool BO9692, 3%, 1/1/2050 308,997 319,314 329,915 Fannie Mae Pool BP1662, 3.5%, 2/1/2050 254,869 266,327 269,288 Fannie Mae Pool BP7009, 3%, 8/1/2050 387,346 412,962 412,535 Fannie Mae Pool BP9421, 3%, 7/1/2050 198,300 212,715 211,310 Fannie Mae Pool BQ1402, 3%, 8/1/2050 179,844 192,589 191,643 Fannie Mae Pool CA0148, 4.5%, 8/1/2047 238,099 257,647 258,829 Fannie Mae Pool CA0667, 3%, 4/1/2047 18,438 18,831 19,413 Fannie Mae Pool CA0717, 4.5%, 11/1/2047 1,241,614 1,343,748 1,349,706 Fannie Mae Pool CA1053, 3.5%, 1/1/2048 746,115 796,186 791,349





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool CA1526, 3.5%, 4/1/2048 21,125 22,001$ 22,952$ Fannie Mae Pool CA1565, 4.5%, 4/1/2048 312,567 339,887 340,521 Fannie Mae Pool CA1707, 4.5%, 5/1/2048 1,444,586 1,594,313 1,584,068 Fannie Mae Pool CA1909, 4.5%, 6/1/2048 - 10 - Fannie Mae Pool CA2047, 4.5%, 7/1/2048 871,862 952,293 967,350 Fannie Mae Pool CA2055, 4.5%, 7/1/2048 - 8 - Fannie Mae Pool CA2199, 4.5%, 8/1/2048 1,432,562 1,570,086 1,574,228 Fannie Mae Pool CA2205, 4.5%, 8/1/2048 - 11 - Fannie Mae Pool CA2471, 4%, 10/1/2048 282,934 302,587 303,758 Fannie Mae Pool CA2482, 4.5%, 10/1/2048 1,127,781 1,231,823 1,246,366 Fannie Mae Pool CA2652, 5%, 11/1/2048 1,865,447 2,001,823 2,063,309 Fannie Mae Pool CA2756, 5%, 11/1/2048 636,188 683,200 707,383 Fannie Mae Pool CA3055, 4.5%, 2/1/2049 366,389 400,249 401,872 Fannie Mae Pool CA3809, 3%, 7/1/2049 373,272 381,559 398,174 Fannie Mae Pool CA3842, 4.5%, 7/1/2049 471,147 514,909 513,044 Fannie Mae Pool CA4033, 4.5%, 8/1/2049 480,785 525,443 523,538 Fannie Mae Pool CA4110, 3%, 9/1/2049 3,007,626 3,074,279 3,201,054 Fannie Mae Pool CA4133, 3%, 9/1/2049 2,348,995 2,408,391 2,540,507 Fannie Mae Pool CA4819, 4%, 12/1/2049 162,241 176,905 177,939 Fannie Mae Pool CA4979, 3%, 1/1/2050 1,856,694 1,893,781 1,959,942 Fannie Mae Pool CA5164, 3.5%, 2/1/2050 5,937,021 6,334,592 6,300,639 Fannie Mae Pool CA5225, 3%, 2/1/2050 3,926,383 4,096,738 4,259,168 Fannie Mae Pool CA5226, 3%, 2/1/2050 686,256 722,498 732,846 Fannie Mae Pool CA5379, 4.5%, 3/1/2050 717,822 792,003 798,689 Fannie Mae Pool CA5561, 3.5%, 4/1/2050 6,441,568 6,872,929 6,803,220 Fannie Mae Pool CA6053, 3%, 6/1/2050 1,699,988 1,803,457 1,816,628 Fannie Mae Pool CA6427, 3%, 7/1/2050 94,994 100,288 100,485 Fannie Mae Pool CA8377, 1.5%, 12/1/2035 400,000 411,751 413,335 Fannie Mae Pool FM0062, 3.5%, 2/1/2050^ 3,951,392 4,234,467 4,240,051 Fannie Mae Pool FM1098, 4%, 5/1/2049^ 342,759 370,902 371,301 Fannie Mae Pool FM1241, 3.5%, 8/1/2049^ 201,221 216,014 217,530 Fannie Mae Pool FM1263, 4.5%, 7/1/2049^ 1,398,804 1,533,741 1,523,190 Fannie Mae Pool FM1458, 4.5%, 4/1/2049^ 114,186 124,167 123,853 Fannie Mae Pool FM1468, 5%, 8/1/2049^ 1,224,567 1,312,895 1,352,028 Fannie Mae Pool FM1539, 4.5%, 9/1/2049^ 212,023 231,616 230,052 Fannie Mae Pool FM1727, 5%, 9/1/2049^ 2,638,736 2,961,713 2,980,495 Fannie Mae Pool FM1789, 3%, 11/1/2049^ 1,352,758 1,400,050 1,442,514 Fannie Mae Pool FM2075, 3%, 12/1/2049^ 1,455,261 1,484,337 1,559,387 Fannie Mae Pool FM2091, 3.5%, 12/1/2049^ 247,853 258,532 269,566 Fannie Mae Pool FM2158, 4%, 10/1/2049^ 228,200 246,766 249,406





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool FM2173, 4%, 9/1/2048^ 91,554 97,706$ 100,283$ Fannie Mae Pool FM2201, 4%, 1/1/2048^ 690,979 741,885 740,188 Fannie Mae Pool FM2333, 3.5%, 2/1/2050^ 1,791,322 1,873,248 1,907,494 Fannie Mae Pool FM2373, 5%, 12/1/2049^ 535,585 589,345 592,020 Fannie Mae Pool FM2745, 4.5%, 3/1/2050^ 296,849 321,875 323,425 Fannie Mae Pool FM3002, 4.5%, 11/1/2049^ 566,800 615,467 617,619 Fannie Mae Pool FM3023, 4%, 2/1/2048^ 142,166 155,259 153,684 Fannie Mae Pool FM3083, 4.5%, 10/1/2049^ 748,187 814,757 808,458 Fannie Mae Pool FM3141, 3.5%, 11/1/2048^ 1,941,775 2,071,474 2,066,334 Fannie Mae Pool FM3154, 5%, 9/1/2049^ 1,030,095 1,129,792 1,137,314 Fannie Mae Pool FM3155, 5%, 12/1/2049^ 3,312,926 3,613,426 3,657,758 Fannie Mae Pool FM3158, 4%, 11/1/2048^ 386,326 421,664 420,785 Fannie Mae Pool FM3278, 3.5%, 11/1/2048^ 1,416,452 1,498,694 1,496,959 Fannie Mae Pool FM3347, 3.5%, 5/1/2047^ 2,759,050 2,948,502 2,941,184 Fannie Mae Pool FM3445, 4%, 9/1/2048^ 221,463 239,437 236,356 Fannie Mae Pool FM3469, 3.5%, 8/1/2048^ 1,785,875 1,909,091 1,905,853 Fannie Mae Pool FM3542, 4%, 5/1/2049^ 155,709 169,734 169,027 Fannie Mae Pool FM3572, 4.5%, 9/1/2049^ 2,155,684 2,387,888 2,370,013 Fannie Mae Pool FM3753, 3.5%, 4/1/2048^ 165,955 179,864 179,626 Fannie Mae Pool FM3773, 3.5%, 11/1/2048^ 3,851,669 4,116,473 4,124,674 Fannie Mae Pool FM3957, 5%, 3/1/2050^ 789,789 881,276 873,635 Fannie Mae Pool FM4117, 4.5%, 7/1/2049^ 755,797 829,184 831,042 Fannie Mae Pool FM4281, 3.5%, 8/1/2050^ 473,649 512,522 516,986 Fannie Mae Pool FM4308, 3.5%, 5/1/2048^ 80,776 85,380 85,347 Fannie Mae Pool FM4595, 3%, 9/1/2050^ 883,030 944,842 943,172 Fannie Mae Pool FM4650, 2.5%, 10/1/2040^ 4,269,835 4,544,164 4,562,695 Fannie Mae Pool FM4925, 3%, 11/1/2050^ 399,351 428,304 426,753 Fannie Mae Pool FM5054, 4%, 11/1/2048^ 662,363 708,474 710,283 Fannie Mae Pool FM5370, 3%, 12/1/2048^ 400,000 423,619 422,375 Fannie Mae Pool MA0706, 4.5%, 4/1/2031 18,450 19,920 20,392 Fannie Mae Pool MA0734, 4.5%, 5/1/2031 58,732 63,401 64,915 Fannie Mae Pool MA0776, 4.5%, 6/1/2031 20,550 22,187 22,713 Fannie Mae Pool MA0913, 4.5%, 11/1/2031 41,551 44,855 45,761 Fannie Mae Pool MA0939, 4.5%, 12/1/2031 48,463 52,327 53,568 Fannie Mae Pool MA0968, 4.5%, 12/1/2031 9,808 10,590 10,841 Fannie Mae Pool MA1146, 4%, 8/1/2042 14,954 15,911 16,307 Fannie Mae Pool MA1177, 3.5%, 9/1/2042 22,099 23,671 24,123 Fannie Mae Pool MA1213, 3.5%, 10/1/2042 343,521 358,953 373,817 Fannie Mae Pool MA1217, 4%, 10/1/2042 23,654 25,174 25,869





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae Pool MA1221, 4.5%, 9/1/2042 7,957 8,583$ 8,838$ Fannie Mae Pool MA1253, 4%, 11/1/2042 338,912 360,614 371,456 Fannie Mae Pool MA1283, 3.5%, 12/1/2042 103,231 107,869 112,733 Fannie Mae Pool MA1303, 3%, 12/1/2042 3,705 3,798 4,018 Fannie Mae Pool MA1327, 3%, 1/1/2043 3,844 3,942 4,168 Fannie Mae Pool MA1363, 3%, 2/1/2043 13,506 13,847 14,644 Fannie Mae Pool MA1437, 3.5%, 5/1/2043 71,874 75,103 78,497 Fannie Mae Pool MA1510, 4%, 7/1/2043 8,054 8,572 8,838 Fannie Mae Pool MA1547, 4%, 8/1/2043 44,263 47,115 48,569 Fannie Mae Pool MA1591, 4.5%, 9/1/2043 144,840 156,316 161,877 Fannie Mae Pool MA1629, 4.5%, 10/1/2043 122,463 132,217 136,864 Fannie Mae Pool MA1664, 4.5%, 11/1/2043 79,622 85,886 88,998 Fannie Mae Pool MA1711, 4.5%, 12/1/2043 104,423 112,678 116,703 Fannie Mae Pool MA2771, 3%, 10/1/2046 2,431 2,484 2,559 Fannie Mae Pool MA2832, 3%, 12/1/2036 1,493,326 1,583,412 1,578,818 Fannie Mae Pool MA2864, 3.5%, 1/1/2047 52,337 55,949 55,947 Fannie Mae Pool MA2896, 3.5%, 2/1/2047 49,653 53,014 52,845 Fannie Mae Pool MA3026, 3.5%, 6/1/2047 198,946 211,628 211,295 Fannie Mae Pool MA3029, 3%, 6/1/2032 13,221 13,944 13,879 Fannie Mae Pool MA3058, 4%, 7/1/2047 245,766 262,951 264,229 Fannie Mae Pool MA3088, 4%, 8/1/2047 1,921,363 2,058,117 2,069,398 Fannie Mae Pool MA3149, 4%, 10/1/2047 744,609 800,222 798,815 Fannie Mae Pool MA3501, 5%, 10/1/2048 1,184,084 1,268,568 1,310,971 Fannie Mae Pool MA4031, 4.5%, 5/1/2050 5,015,412 5,427,229 5,448,015 Fannie Mae REMICS, 0%, 3/25/2042 18,073 16,567 17,225 Fannie Mae REMICS, 0%, 3/25/2042 18,073 16,567 17,211 Fannie Mae REMICS, 2%, 7/25/2050 606,025 602,691 613,662 Fannie Mae REMICS, 2.304%, 8/25/2044 253,082 4,596 15,906 Fannie Mae REMICS, 2.5%, 8/25/2050 881,759 99,915 128,301 Fannie Mae REMICS, 2.5%, 8/25/2050 887,928 109,966 111,062 Fannie Mae REMICS, 2.5%, 10/25/2050 491,145 63,399 69,809 Fannie Mae REMICS, 2.5%, 12/25/2050 2,781,921 336,005 351,763 Fannie Mae REMICS, 3%, 4/25/2032 112,950 2,364 3,477 Fannie Mae REMICS, 3.5%, 5/25/2046 24,305 25,187 25,140 Fannie Mae REMICS, 3.5%, 12/25/2048 10,437 11,012 11,013 Fannie Mae REMICS, 4%, 9/25/2027 42,024 1,113 2,211 Fannie Mae REMICS, 4%, 7/25/2040 400,365 417,578 427,221 Fannie Mae REMICS, 4%, 3/25/2043 116,480 7,838 13,941 Fannie Mae REMICS, 4%, 4/25/2043 157,719 9,977 20,276 Fannie Mae REMICS, 4%, 5/25/2047 6,889 7,205 7,153





Principal


Mortgage-Backed Securities - 32.8% (continued)Fannie Mae REMICS, 5.5%, 7/25/2041 89,265 101,244$ 100,555$ Fannie Mae REMICS, 5.5%, 4/25/2042 397,036 444,923 458,462 Fannie Mae REMICS, 5.82%, 12/25/2043 488,554 65,779 97,672 Fannie Mae REMICS, 5.97%, 9/25/2046 636,549 59,419 130,148 Fannie Mae REMICS, 5.97%, 10/25/2057 1,340,351 178,829 273,217 Fannie Mae REMICS, 6%, 5/25/2042 82,528 93,207 96,592 Fannie Mae REMICS, 6.02%, 9/25/2041 204,982 13,325 29,406 Fannie Mae REMICS, 6.02%, 12/25/2042 65,456 8,380 13,057 Fannie Mae REMICS, 6.02%, 12/25/2042 98,740 11,842 19,693 Fannie Mae REMICS, 6.02%, 6/25/2043 235,509 35,043 52,301 Fannie Mae REMICS, 6.02%, 8/25/2045 112,106 17,184 26,338 Fannie Mae REMICS, 6.07%, 11/25/2047 401,272 41,466 81,058 Fannie Mae REMICS, 6.35%, 4/25/2040 56,461 7,229 13,025 Fannie Mae REMICS, 6.37%, 4/25/2042 126,200 12,772 27,577 Fannie Mae REMICS, 6.452%, 7/25/2042 29,475 3,248 5,955 Fannie Mae REMICS, 6.492%, 12/25/2036 97,722 13,274 24,808 Fannie Mae REMICS, 6.5%, 6/25/2039 9,581 10,348 10,488 Fannie Mae REMICS, 6.5%, 7/25/2042 160,817 188,362 193,755 Fannie Mae REMICS, 6.52%, 2/25/2041 15,622 209 858 Fannie Mae REMICS, 6.52%, 3/25/2042 111,366 7,935 21,879 Fannie Mae REMICS, 6.57%, 10/25/2026 39,910 901 4,800 Fannie Mae REMICS, 7%, 5/25/2042 32,313 38,794 39,613 Fannie Mae REMICS, 9.25%, 8/25/2021 1 5 2 Fannie Mae-Aces, 0%, 1/25/2024 6,039,677 7,497 45,957 Fannie Mae-Aces, 0.474%, 12/25/2024 13,706,723 207,742 263,158 Fannie Mae-Aces, 0.584%, 8/25/2022 3,993,385 19,314 22,913 Fannie Mae-Aces, 0.657%, 5/25/2022 5,616,104 29,712 32,203 Fannie Mae-Aces, 1.468%, 9/25/2034 1,297,052 138,306 138,091 Fannie Mae-Aces, 2.232%, 2/25/2027 958,124 960,788 1,021,648 Fannie Mae-Aces, 2.5%, 10/25/2037 192,383 197,291 204,512 Fannie Mae-Aces, 2.56%, 9/25/2029 102,962 104,860 112,940 Fannie Mae-Aces, 2.7%, 11/25/2040 300,000 300,980 339,030 Fannie Mae-Aces, 2.72%, 10/25/2031 699,764 703,933 755,168 Fannie Mae-Aces, 3.061%, 5/25/2027 200,000 217,622 224,561 Fannie Mae-Aces, 3.121%, 4/25/2028 98,126 103,331 109,772 Fannie Mae-Aces, 3.273%, 2/25/2029 902,000 965,106 1,043,469 Fannie Mae-Aces, 3.442%, 2/25/2043 83,802 88,617 95,452 Fannie Mae-Aces, 3.61%, 2/25/2031 552,000 611,054 659,000 Flagstar Mortgage Trust 2018-2, 3.5%, 4/25/2048 ^ 1,229,313 1,245,577 1,246,587 Federal National Mortgage Association, 6.625%, 11/15/2030 2,100,000 2,960,581 3,179,657





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Gold Pool A11750, 5%, 8/1/2033 6,810 7,586$ 7,894$ Freddie Mac Gold Pool A12543, 5%, 8/1/2033 2,285 2,531 2,615 Freddie Mac Gold Pool A12544, 5%, 8/1/2033 7,222 8,050 8,347 Freddie Mac Gold Pool A34591, 5.5%, 4/1/2035 11,540 12,493 12,894 Freddie Mac Gold Pool A34602, 5.5%, 4/1/2035 38,805 41,996 43,535 Freddie Mac Gold Pool A34603, 5.5%, 4/1/2035 26,723 28,961 29,891 Freddie Mac Gold Pool A34646, 5.5%, 4/1/2035 15,686 16,988 17,527 Freddie Mac Gold Pool A34647, 5.5%, 4/1/2035 4,922 5,333 5,500 Freddie Mac Gold Pool A36434, 5.5%, 8/1/2035 31,422 34,002 35,251 Freddie Mac Gold Pool A36775, 5%, 9/1/2035 775 865 902 Freddie Mac Gold Pool A38803, 5.5%, 5/1/2035 45,148 48,892 51,203 Freddie Mac Gold Pool A38859, 5.5%, 5/1/2035 1,084 1,174 1,233 Freddie Mac Gold Pool A38860, 5.5%, 5/1/2035 20,903 22,614 23,362 Freddie Mac Gold Pool A46671, 5%, 8/1/2035 609 680 709 Freddie Mac Gold Pool A55537, 5%, 12/1/2036 567 616 659 Freddie Mac Gold Pool A87580, 5%, 7/1/2039 806 895 937 Freddie Mac Gold Pool C67997, 6.5%, 6/1/2032 114 128 131 Freddie Mac Gold Pool C90689, 4.5%, 7/1/2023 5,776 6,073 6,245 Freddie Mac Gold Pool C90901, 5%, 6/1/2025 1,207 1,291 1,334 Freddie Mac Gold Pool C90968, 5%, 5/1/2026 8,891 9,513 9,830 Freddie Mac Gold Pool C90987, 5%, 6/1/2026 2,823 3,026 3,121 Freddie Mac Gold Pool C91028, 5%, 2/1/2027 9,128 9,763 10,142 Freddie Mac Gold Pool C91236, 4.5%, 2/1/2029 20,595 21,964 22,312 Freddie Mac Gold Pool C91272, 5%, 10/1/2029 13,008 13,919 14,515 Freddie Mac Gold Pool C91293, 5%, 3/1/2030 3,769 4,039 4,277 Freddie Mac Gold Pool C91296, 5%, 4/1/2030 3,564 3,818 4,044 Freddie Mac Gold Pool C91303, 5%, 5/1/2030 20,800 22,291 23,604 Freddie Mac Gold Pool C91308, 5%, 6/1/2030 7,919 8,486 8,987 Freddie Mac Gold Pool C91383, 5%, 7/1/2031 26,263 28,222 29,428 Freddie Mac Gold Pool C91981, 3%, 2/1/2038 167,692 171,318 175,338 Freddie Mac Gold Pool C91987, 3%, 4/1/2038 126,762 129,188 132,758 Freddie Mac Gold Pool D52101, 7%, 4/1/2024 960 962 963 Freddie Mac Gold Pool D96230, 5%, 9/1/2023 2,158 2,308 2,384 Freddie Mac Gold Pool D97721, 5%, 4/1/2028 13,280 14,209 14,690 Freddie Mac Gold Pool D98141, 5%, 4/1/2029 7,794 8,337 8,621 Freddie Mac Gold Pool F90068, 5%, 12/1/2024 4,723 5,052 5,220 Freddie Mac Gold Pool G01381, 7%, 4/1/2032 17,026 19,511 19,696 Freddie Mac Gold Pool G01737, 5%, 12/1/2034 542 606 631 Freddie Mac Gold Pool G02427, 5.5%, 12/1/2036 13,813 15,634 16,230 Freddie Mac Gold Pool G03695, 5.5%, 11/1/2037 810 916 952





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Gold Pool G03696, 5.5%, 1/1/2038 1,456 1,644$ 1,711$ Freddie Mac Gold Pool G04222, 5.5%, 4/1/2038 2,055 2,322 2,415 Freddie Mac Gold Pool G05169, 5%, 1/1/2039 759 843 883 Freddie Mac Gold Pool G06409, 6%, 11/1/2039 18,563 21,414 22,062 Freddie Mac Gold Pool G06496, 5%, 6/1/2041 127,066 139,902 144,350 Freddie Mac Gold Pool G06669, 6.5%, 9/1/2039 19,452 22,450 22,600 Freddie Mac Gold Pool G07335, 7%, 3/1/2039 39,179 44,956 45,837 Freddie Mac Gold Pool G07485, 5%, 6/1/2041 13,717 15,131 15,854 Freddie Mac Gold Pool G07509, 6.5%, 9/1/2039 13,990 15,893 15,990 Freddie Mac Gold Pool G07615, 5%, 11/1/2041 151,325 166,914 174,000 Freddie Mac Gold Pool G07962, 5%, 11/1/2041 638 699 737 Freddie Mac Gold Pool G08674, 4.5%, 10/1/2045 830 892 918 Freddie Mac Gold Pool G08700, 4.5%, 3/1/2046 822,536 879,868 907,249 Freddie Mac Gold Pool G08704, 4.5%, 4/1/2046 4,763 5,100 5,263 Freddie Mac Gold Pool G08726, 3%, 10/1/2046 11,674 12,347 12,340 Freddie Mac Gold Pool G08729, 4.5%, 9/1/2046 28,268 30,086 31,128 Freddie Mac Gold Pool G08737, 3%, 12/1/2046 316,584 334,157 333,634 Freddie Mac Gold Pool G08741, 3%, 1/1/2047 288,294 304,990 304,263 Freddie Mac Gold Pool G08744, 4.5%, 12/1/2046 3,386 3,604 3,729 Freddie Mac Gold Pool G08747, 3%, 2/1/2047 58,005 61,406 61,352 Freddie Mac Gold Pool G08753, 4.5%, 2/1/2047 6,631 7,028 7,291 Freddie Mac Gold Pool G08754, 4.5%, 3/1/2047 452,565 479,824 497,656 Freddie Mac Gold Pool G08759, 4.5%, 4/1/2047 78,706 85,351 86,115 Freddie Mac Gold Pool G08761, 3.5%, 5/1/2047 165,299 175,855 175,552 Freddie Mac Gold Pool G08793, 4%, 12/1/2047 27,090 28,376 29,061 Freddie Mac Gold Pool G08826, 5%, 6/1/2048 39,094 41,945 43,396 Freddie Mac Gold Pool G08833, 5%, 7/1/2048 29,644 31,782 32,895 Freddie Mac Gold Pool G08850, 3%, 9/1/2048 12,821 13,019 13,446 Freddie Mac Gold Pool G16598, 2.5%, 12/1/2031 19,362 20,390 20,357 Freddie Mac Gold Pool G16756, 3.5%, 1/1/2034 37,133 39,480 39,888 Freddie Mac Gold Pool G18642, 3.5%, 4/1/2032 76,741 81,388 82,216 Freddie Mac Gold Pool G18684, 3%, 4/1/2033 88,851 93,789 93,277 Freddie Mac Gold Pool G30333, 5%, 3/1/2027 68 73 75 Freddie Mac Gold Pool G30485, 5%, 8/1/2029 2,294 2,455 2,536 Freddie Mac Gold Pool G30545, 5%, 10/1/2029 36,003 38,552 39,760 Freddie Mac Gold Pool G30955, 5%, 9/1/2031 760 814 840 Freddie Mac Gold Pool G31077, 5%, 9/1/2031 38,022 40,675 41,989 Freddie Mac Gold Pool G31106, 5%, 9/1/2031 26,895 28,812 29,716 Freddie Mac Gold Pool G60397, 4%, 12/1/2045 11,835 12,487 12,851





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Gold Pool G60658, 3.5%, 7/1/2046 66,600 73,671$ 73,187$ Freddie Mac Gold Pool G60919, 4.5%, 9/1/2046 122,121 131,172 134,685 Freddie Mac Gold Pool G60985, 3%, 5/1/2047 2,087,498 2,144,777 2,261,138 Freddie Mac Gold Pool G61374, 4.5%, 4/1/2048 631,484 688,260 694,492 Freddie Mac Gold Pool G61502, 5%, 2/1/2048 11,059 11,875 12,341 Freddie Mac Gold Pool G61637, 3%, 9/1/2047 1,465,126 1,501,183 1,590,756 Freddie Mac Gold Pool G61739, 3%, 9/1/2048 1,249,961 1,285,354 1,356,199 Freddie Mac Gold Pool G67700, 3.5%, 8/1/2046 65,347 71,488 71,385 Freddie Mac Gold Pool G67701, 3%, 10/1/2046 1,410,744 1,450,769 1,527,272 Freddie Mac Gold Pool G67706, 3.5%, 12/1/2047 108,791 119,094 118,905 Freddie Mac Gold Pool G67707, 3.5%, 1/1/2048 83,172 91,927 91,648 Freddie Mac Gold Pool G67708, 3.5%, 3/1/2048 30,764 33,548 33,378 Freddie Mac Gold Pool G67709, 3.5%, 3/1/2048 69,906 76,505 76,389 Freddie Mac Gold Pool G67711, 4%, 3/1/2048 15,439 17,116 17,023 Freddie Mac Gold Pool G67713, 4%, 6/1/2048 1,422,301 1,556,151 1,552,184 Freddie Mac Gold Pool G67718, 4%, 1/1/2049 53,258 58,158 57,980 Freddie Mac Gold Pool G67721, 4.5%, 4/1/2049 468,272 510,669 514,543 Freddie Mac Gold Pool K90992, 3.5%, 8/1/2033 277,452 291,085 308,219 Freddie Mac Gold Pool K91009, 3.5%, 8/1/2033 30,384 31,778 32,489 Freddie Mac Gold Pool Q01537, 5%, 6/1/2041 877 965 1,019 Freddie Mac Gold Pool Q04651, 4%, 11/1/2041 142,586 153,591 160,133 Freddie Mac Gold Pool Q07236, 4%, 3/1/2042 111,721 119,417 123,182 Freddie Mac Gold Pool Q12752, 3.5%, 11/1/2042 3,206 3,362 3,483 Freddie Mac Gold Pool Q18473, 4%, 5/1/2043 8,286 8,982 9,370 Freddie Mac Gold Pool Q19131, 4%, 6/1/2043 9,923 10,757 11,222 Freddie Mac Gold Pool Q19134, 4%, 6/1/2043 13,339 14,197 14,745 Freddie Mac Gold Pool Q19135, 4%, 6/1/2043 11,526 12,423 12,945 Freddie Mac Gold Pool Q19236, 4%, 6/1/2043 10,152 10,851 11,222 Freddie Mac Gold Pool Q19254, 4%, 6/1/2043 11,327 12,208 12,721 Freddie Mac Gold Pool Q19611, 4%, 7/1/2043 113,485 123,026 128,339 Freddie Mac Gold Pool Q19615, 4%, 7/1/2043 94,622 101,983 106,265 Freddie Mac Gold Pool Q24893, 4.5%, 2/1/2044 875 941 980 Freddie Mac Gold Pool Q28007, 4.5%, 8/1/2044 28,531 30,753 31,477 Freddie Mac Gold Pool Q31908, 5%, 3/1/2044 9,985 10,973 11,257 Freddie Mac Gold Pool Q33775, 4.5%, 5/1/2045 40,847 43,022 44,406 Freddie Mac Gold Pool Q37878, 4%, 12/1/2045 376,538 397,377 411,907 Freddie Mac Gold Pool Q41222, 4.5%, 6/1/2046 1,107 1,171 1,222 Freddie Mac Gold Pool Q41484, 4.5%, 7/1/2046 4,436 4,710 4,888 Freddie Mac Gold Pool Q43267, 4.5%, 9/1/2046 112,483 118,812 124,094 Freddie Mac Gold Pool Q46310, 4.5%, 2/1/2047 6,931 7,321 7,622





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Gold Pool Q46691, 4.5%, 2/1/2047 16,501 17,413$ 17,860$ Freddie Mac Gold Pool Q46961, 4.5%, 3/1/2047 171,019 181,093 187,945 Freddie Mac Gold Pool Q47048, 4.5%, 3/1/2047 64,539 68,356 70,020 Freddie Mac Gold Pool Q47130, 4.5%, 4/1/2047 12,831 13,584 14,065 Freddie Mac Gold Pool Q47501, 4.5%, 4/1/2047 131,722 139,497 144,783 Freddie Mac Gold Pool Q47963, 4.5%, 2/1/2047 137,797 145,959 150,828 Freddie Mac Gold Pool Q47972, 4.5%, 5/1/2047 28,115 29,745 30,499 Freddie Mac Gold Pool Q48047, 4.5%, 5/1/2047 58,649 62,113 64,469 Freddie Mac Gold Pool Q48149, 4.5%, 5/1/2047 62,243 66,182 68,338 Freddie Mac Gold Pool Q48187, 4.5%, 5/1/2047 75,047 79,540 82,792 Freddie Mac Gold Pool Q48359, 4.5%, 5/1/2047 2,178 2,309 2,363 Freddie Mac Gold Pool Q48546, 4.5%, 6/1/2047 12,670 13,383 13,738 Freddie Mac Gold Pool Q48787, 4.5%, 6/1/2047 381,062 403,506 416,423 Freddie Mac Gold Pool Q48869, 4.5%, 6/1/2047 2,977 3,152 3,252 Freddie Mac Gold Pool Q48875, 4%, 6/1/2047 4,641,336 4,972,406 4,990,908 Freddie Mac Gold Pool Q48929, 4.5%, 5/1/2047 4,327 4,569 4,688 Freddie Mac Gold Pool Q49487, 5%, 7/1/2047 191,684 205,813 213,985 Freddie Mac Gold Pool Q53942, 3.5%, 1/1/2048 33,587 34,724 35,758 Freddie Mac Gold Pool Q55401, 5%, 4/1/2048 10,688 11,461 11,922 Freddie Mac Gold Pool Q55896, 5%, 5/1/2048 29,155 31,311 32,284 Freddie Mac Gold Pool Q56002, 5%, 5/1/2048 56,069 60,078 62,107 Freddie Mac Gold Pool Q57925, 5%, 8/1/2048 36,849 39,555 40,920 Freddie Mac Gold Pool Q59452, 3.5%, 10/1/2048 38,684 39,811 40,853 Freddie Mac Gold Pool Q59799, 5%, 11/1/2048 357,015 382,780 394,286 Freddie Mac Gold Pool Q60212, 3.5%, 12/1/2048 103,777 106,753 110,545 Freddie Mac Gold Pool Q61484, 3.5%, 2/1/2049 7,507 7,713 7,927 Freddie Mac Gold Pool U90245, 3.5%, 10/1/2042 18,223 19,056 19,917 Freddie Mac Gold Pool U90316, 4%, 10/1/2042 216,425 230,413 236,415 Freddie Mac Gold Pool U91254, 4%, 4/1/2043 134,045 142,748 147,058 Freddie Mac Gold Pool U92272, 4.5%, 12/1/2043 74,334 80,285 83,106 Freddie Mac Gold Pool U95034, 4%, 9/1/2042 967,716 1,029,292 1,052,155 Freddie Mac Gold Pool U95137, 4%, 8/1/2043 64,296 68,467 70,568 Freddie Mac Gold Pool U99045, 3.5%, 3/1/2043 518,534 542,141 566,704 Freddie Mac Gold Pool U99054, 4%, 6/1/2043 140,450 149,487 154,109 Freddie Mac Gold Pool U99076, 4.5%, 12/1/2043 553,502 597,761 618,969 Freddie Mac Gold Pool U99084, 4.5%, 2/1/2044 493,534 533,179 551,931 Freddie Mac Gold Pool U99091, 4.5%, 3/1/2044 130,922 141,432 146,360 Freddie Mac Gold Pool U99114, 3.5%, 2/1/2044 4,354 4,553 4,756 Freddie Mac Gold Pool U99124, 3.5%, 3/1/2045 340,074 355,557 371,315 Freddie Mac Gold Pool V70568, 5%, 1/1/2030 39,746 42,534 44,088





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Gold Pool V83342, 4%, 8/1/2047 1,922,187 2,031,255$ 2,093,165$ Freddie Mac Multiclass Certificates Series 2015-P001, 1.666%, 8/27/2028 2,000,000 218,967 223,704 Freddie Mac Multifamily Structured Pass Through Certificates, 0.304%, 12/25/2026 31,618,542 533,367 552,436 Freddie Mac Multifamily Structured Pass Through Certificates, 0.368%, 12/25/2027 7,295,995 168,420 173,412 Freddie Mac Multifamily Structured Pass Through Certificates, 0.559%, 3/25/2029 2,917,144 120,093 123,513 Freddie Mac Multifamily Structured Pass Through Certificates, 0.638%, 10/25/2026 6,988,617 222,577 225,498 Freddie Mac Multifamily Structured Pass Through Certificates, 0.708%, 4/25/2029 2,085,453 107,860 111,276 Freddie Mac Multifamily Structured Pass Through Certificates, 0.836%, 10/25/2029 1,197,844 75,237 77,707 Freddie Mac Multifamily Structured Pass Through Certificates, 0.886%, 9/25/2029 768,436 50,030 52,037 Freddie Mac Multifamily Structured Pass Through Certificates, 0.948%, 6/25/2029 1,823,777 122,650 128,741 Freddie Mac Multifamily Structured Pass Through Certificates, 0.952%, 5/25/2029 2,353,620 159,298 164,281 Freddie Mac Multifamily Structured Pass Through Certificates, 0.957%, 5/25/2026 1,782,219 79,793 81,526 Freddie Mac Multifamily Structured Pass Through Certificates, 1.203%, 6/25/2027 1,576,829 86,035 88,367 Freddie Mac Multifamily Structured Pass Through Certificates, 1.238%, 6/25/2029 1,180,000 108,485 115,949 Freddie Mac Multifamily Structured Pass Through Certificates, 1.312%, 7/25/2026 2,119,149 125,939 127,767 Freddie Mac Multifamily Structured Pass Through Certificates, 1.334%, 7/25/2035 339,918 48,543 51,675 Freddie Mac Multifamily Structured Pass Through Certificates, 1.481%, 10/25/2021 176,047 801 906 Freddie Mac Multifamily Structured Pass Through Certificates, 3.291%, 3/25/2027 823,000 870,380 918,520 Freddie Mac Non Gold Pool, 2.266%, 3/1/2047 686,092 706,022 711,981 Freddie Mac Pool QA5768, 3%, 1/1/2050 157,197 160,159 170,054 Freddie Mac Pool QA5770, 3%, 1/1/2050 83,300 84,769 88,762 Freddie Mac Pool QA7238, 3.5%, 2/1/2050 335,959 356,041 365,834 Freddie Mac Pool QA8791, 3.5%, 4/1/2050 349,295 376,993 380,701 Freddie Mac Pool QB2667, 3%, 8/1/2050 99,303 105,347 105,163 Freddie Mac Pool QB2927, 3%, 9/1/2050 99,375 106,041 105,297 Freddie Mac Pool RA1103, 3%, 7/1/2049 836,612 853,896 886,798 Freddie Mac Pool RA1293, 3%, 9/1/2049 1,234,313 1,268,571 1,330,393 Freddie Mac Pool RA1341, 3%, 9/1/2049 1,011,501 1,031,725 1,083,411 Freddie Mac Pool RA2141, 4%, 2/1/2050 446,053 469,952 476,464 Freddie Mac Pool RA2335, 3%, 3/1/2050 3,477,423 3,661,404 3,721,901 Freddie Mac Pool RA2608, 4.5%, 5/1/2050 520,135 563,981 562,633 Freddie Mac Pool RA2658, 3.5%, 5/1/2050 539,617 584,008 588,989 Freddie Mac Pool RA3175, 3%, 7/1/2050 2,319,817 2,486,743 2,472,009 Freddie Mac Pool RA3474, 3%, 9/1/2050 5,990,678 6,426,424 6,383,701 Freddie Mac Pool SD0247, 4%, 7/1/2047 228,057 249,771 248,253 Freddie Mac Pool SD0422, 4.5%, 7/1/2045 354,139 397,967 397,163 Freddie Mac Pool ZA5318, 3.5%, 3/1/2048 483,735 517,555 517,490 Freddie Mac Pool ZA5433, 3.5%, 6/1/2048 2,774,336 2,888,495 2,962,016 Freddie Mac Pool ZA5454, 4%, 6/1/2048 1,624,118 1,748,332 1,748,274 Freddie Mac Pool ZA6680, 4%, 4/1/2049 1,738,180 1,883,613 1,897,278





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac Pool ZI7269, 5%, 3/1/2038 28,378 31,692$ 32,987$ Freddie Mac Pool ZM1238, 3%, 6/1/2046 230,694 245,057 242,575 Freddie Mac Pool ZM1278, 3.5%, 6/1/2046 520,984 543,706 565,675 Freddie Mac Pool ZM3481, 3.5%, 6/1/2047 409,073 425,171 442,333 Freddie Mac Pool ZM4698, 3.5%, 11/1/2047 74,440 77,002 79,102 Freddie Mac Pool ZM5146, 4%, 12/1/2047 1,480,611 1,589,918 1,585,171 Freddie Mac Pool ZM5722, 3.5%, 2/1/2048 7,339 7,565 7,782 Freddie Mac Pool ZM6196, 3.5%, 4/1/2048 42,766 44,068 45,291 Freddie Mac Pool ZM6880, 4.5%, 6/1/2048 111,442 121,287 121,156 Freddie Mac Pool ZM8774, 5%, 10/1/2048 281,616 302,209 310,929 Freddie Mac Pool ZN2185, 4.5%, 12/1/2048 401,725 444,706 444,042 Freddie Mac Pool ZS3569, 6%, 10/1/2036 15,221 17,550 18,242 Freddie Mac Pool ZS4697, 3%, 1/1/2047 315,651 333,728 333,062 Freddie Mac Pool ZS6518, 4%, 10/1/2025 142,573 148,644 151,321 Freddie Mac Pool ZS8669, 3%, 9/1/2032 364,554 383,185 382,770 Freddie Mac Pool ZS8673, 3%, 10/1/2032 242,789 256,294 254,912 Freddie Mac Pool ZT0474, 4.5%, 8/1/2048 96,523 105,594 105,868 Freddie Mac Pool ZT0714, 5%, 10/1/2048 267,422 286,681 296,114 Freddie Mac Pool ZT1257, 3%, 1/1/2046 71,282 77,688 77,786 Freddie Mac Pool ZT1408, 2%, 10/1/2032 133,695 139,276 139,774 Freddie Mac Pool ZT1596, 5%, 1/1/2049 1,642,949 1,758,127 1,815,476 Freddie Mac Reference REMIC, 6%, 5/15/2036 185,297 213,495 220,080 Freddie Mac REMICS, 0%, 7/15/2022 1 1 1 Freddie Mac REMICS, 2%, 10/25/2050 992,035 120,811 128,718 Freddie Mac REMICS, 2.328%, 4/15/2041 91,799 2,158 5,546 Freddie Mac REMICS, 2.5%, 9/25/2050 588,256 61,441 71,509 Freddie Mac REMICS, 2.5%, 9/25/2050 495,935 53,815 74,176 Freddie Mac REMICS, 2.5%, 9/25/2050 1,280,272 145,789 183,952 Freddie Mac REMICS, 3%, 4/15/2048 9,629 9,951 10,040 Freddie Mac REMICS, 3%, 5/15/2048 1,041,058 1,055,241 1,094,546 Freddie Mac REMICS, 3%, 6/15/2048 697,230 701,796 731,423 Freddie Mac REMICS, 3%, 8/15/2048 588,983 587,111 608,506 Freddie Mac REMICS, 3.5%, 6/15/2027 139,257 5,322 8,494 Freddie Mac REMICS, 3.5%, 10/15/2032 94,785 6,670 9,765 Freddie Mac REMICS, 3.5%, 4/15/2043 302,742 24,039 30,873 Freddie Mac REMICS, 4%, 4/15/2043 83,910 3,462 4,120 Freddie Mac REMICS, 5%, 2/15/2030 96,953 103,880 107,523 Freddie Mac REMICS, 5%, 3/15/2035 282,371 309,675 322,079 Freddie Mac REMICS, 5.824%, 10/15/2041 84,113 7,605 15,115 Freddie Mac REMICS, 5.824%, 2/15/2044 171,411 17,791 33,059





Principal


Mortgage-Backed Securities - 32.8% (continued)Freddie Mac REMICS, 5.874%, 8/15/2042 143,679 15,591$ 26,413$ Freddie Mac REMICS, 5.874%, 5/15/2044 67,046 6,921 14,014 Freddie Mac REMICS, 5.904%, 9/15/2037 92,306 8,669 20,824 Freddie Mac REMICS, 5.924%, 8/15/2039 83,803 8,658 18,410 Freddie Mac REMICS, 6.074%, 5/15/2039 42,756 513 1,551 Freddie Mac REMICS, 6.104%, 1/15/2040 25,966 2,652 5,616 Freddie Mac REMICS, 6.124%, 9/15/2042 88,481 6,992 12,103 Freddie Mac REMICS, 6.164%, 11/15/2036 44,504 4,754 9,975 Freddie Mac REMICS, 6.304%, 2/15/2037 117,513 13,387 28,626 Freddie Mac REMICS, 6.364%, 12/15/2041 48,161 6,675 11,013 Freddie Mac STACR REMIC Trust 2020-DNA4, 1.63%, 8/25/2050 1,298,870 1,298,870 1,301,400 Freddie Mac Strips, 3.5%, 10/15/2027 34,376 1,630 2,348 Freddie Mac Strips, 5.874%, 12/15/2046 678,565 83,298 155,546 Freddie Mac Strips, 5.974%, 8/15/2044 46,820 6,933 10,317 Freddie Mac Structured Agency Credit Risk Debt Notes, 2.348%, 2/25/2024 8,548 8,650 8,549 Freddie Mac Structured Pass-Through Certificates FRESR 2017-SR01,

3.089%, 11/25/2027 40,000 41,586 43,351 FREMF 2012-K20 Mortgage Trust, 0.2%, 5/25/2045 5,114,954 9,087 10,903 Galton Funding Mortgage Trust 2017-1, 3%, 7/25/2056 483,986 483,348 490,627 Ginnie Mae, 2%, 1/21/2051 10,400,000 10,813,469 10,875,719 Ginnie Mae, 2%, 2/20/2051 3,000,000 3,118,594 3,132,188 Ginnie Mae, 2.5%, 1/21/2051 6,300,000 6,610,297 6,669,141 Ginnie Mae, 2.5%, 2/20/2051 1,100,000 1,157,449 1,162,219 Ginnie Mae I Pool 158771, 7%, 8/15/2028 84 91 91 Ginnie Mae I Pool 302088, 6.5%, 5/15/2024 104 115 115 Ginnie Mae I Pool 338159, 7.5%, 10/15/2022 14 14 14 Ginnie Mae I Pool 342480, 7.5%, 12/15/2022 5 5 5 Ginnie Mae I Pool 352931, 6.5%, 4/15/2024 324 359 360 Ginnie Mae I Pool 367419, 6.5%, 11/15/2023 27 30 30 Ginnie Mae I Pool 371697, 7%, 3/15/2024 72 73 73 Ginnie Mae I Pool 380866, 7%, 3/15/2024 336 352 352 Ginnie Mae I Pool 389754, 6%, 10/15/2032 2,186 2,462 2,497 Ginnie Mae I Pool 419153, 6%, 11/15/2028 72 79 80 Ginnie Mae I Pool 422691, 7%, 5/15/2026 135 144 146 Ginnie Mae I Pool 423547, 7%, 5/15/2026 137 137 137 Ginnie Mae I Pool 434306, 6%, 4/15/2029 3,136 3,469 3,535 Ginnie Mae I Pool 454426, 6%, 12/15/2033 389 444 461 Ginnie Mae I Pool 465983, 6.5%, 3/15/2028 248 275 277 Ginnie Mae I Pool 465984, 6.5%, 3/15/2028 225 250 250 Ginnie Mae I Pool 469865, 6%, 1/15/2029 328 362 368





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae I Pool 472039, 7%, 6/15/2028 146 147$ 147$ Ginnie Mae I Pool 474023, 7%, 4/15/2028 111 121 123 Ginnie Mae I Pool 484197, 7.5%, 8/15/2028 32 33 33 Ginnie Mae I Pool 485318, 6.5%, 3/15/2031 798 884 887 Ginnie Mae I Pool 486470, 6.5%, 8/15/2028 334 370 372 Ginnie Mae I Pool 486516, 6.5%, 9/15/2028 593 664 669 Ginnie Mae I Pool 486791, 6%, 12/15/2028 273 302 307 Ginnie Mae I Pool 493680, 6%, 12/15/2028 82 91 92 Ginnie Mae I Pool 490494, 6%, 12/15/2028 626 692 703 Ginnie Mae I Pool 503047, 6.5%, 3/15/2029 219 242 243 Ginnie Mae I Pool 509387, 7%, 7/15/2029 204 225 231 Ginnie Mae I Pool 510086, 6.5%, 7/15/2029 2,899 3,268 3,340 Ginnie Mae I Pool 510835, 5.5%, 2/15/2035 8,369 9,510 9,575 Ginnie Mae I Pool 523537, 6.5%, 2/15/2032 1,783 1,975 1,981 Ginnie Mae I Pool 532785, 6%, 2/15/2034 1,423 1,632 1,717 Ginnie Mae I Pool 538312, 6%, 2/15/2032 1,908 2,190 2,303 Ginnie Mae I Pool 544106, 6%, 3/15/2035 2,605 2,885 2,937 Ginnie Mae I Pool 550987, 6.5%, 10/15/2031 2,013 2,328 2,380 Ginnie Mae I Pool 552390, 6.5%, 2/15/2032 395 438 439 Ginnie Mae I Pool 552702, 6.5%, 8/15/2032 3,199 3,566 3,687 Ginnie Mae I Pool 552756, 6%, 9/15/2032 1,505 1,696 1,764 Ginnie Mae I Pool 552829, 6%, 10/15/2032 1,842 2,105 2,212 Ginnie Mae I Pool 552833, 6%, 10/15/2032 1,267 1,425 1,463 Ginnie Mae I Pool 552959, 6.5%, 12/15/2032 3,889 4,397 4,498 Ginnie Mae I Pool 553192, 6%, 4/15/2033 8,125 9,275 9,460 Ginnie Mae I Pool 553320, 6%, 6/15/2033 403 452 487 Ginnie Mae I Pool 561485, 6.5%, 6/15/2031 4,314 4,898 4,894 Ginnie Mae I Pool 562385, 6%, 8/15/2034 365 418 438 Ginnie Mae I Pool 562491, 6%, 2/15/2034 396 437 445 Ginnie Mae I Pool 563678, 6.5%, 11/15/2032 956 1,068 1,100 Ginnie Mae I Pool 564649, 6.5%, 6/15/2031 760 842 865 Ginnie Mae I Pool 564658, 6.5%, 6/15/2031 3,439 3,844 3,819 Ginnie Mae I Pool 564819, 6.5%, 9/15/2031 2,271 2,515 2,552 Ginnie Mae I Pool 564897, 6%, 1/15/2034 608 672 684 Ginnie Mae I Pool 569704, 6%, 2/15/2032 922 1,058 1,116 Ginnie Mae I Pool 570142, 6%, 12/15/2031 9,987 11,462 11,964 Ginnie Mae I Pool 570463, 6.5%, 11/15/2031 1,111 1,231 1,266 Ginnie Mae I Pool 573488, 6%, 1/15/2032 2,110 2,334 2,371 Ginnie Mae I Pool 575453, 6.5%, 12/15/2031 2,390 2,646 2,655 Ginnie Mae I Pool 577732, 6%, 10/15/2032 281 311 316





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae I Pool 577734, 6%, 10/15/2032 1,771 1,966$ 2,045$ Ginnie Mae I Pool 579166, 6%, 6/15/2034 1,074 1,233 1,299 Ginnie Mae I Pool 579497, 6%, 2/15/2032 2,283 2,525 2,568 Ginnie Mae I Pool 580426, 6%, 7/15/2034 1,559 1,724 1,750 Ginnie Mae I Pool 580980, 6.5%, 2/15/2032 1,729 2,001 2,055 Ginnie Mae I Pool 581434, 6.5%, 9/15/2032 321 355 356 Ginnie Mae I Pool 582036, 6%, 2/15/2032 117 129 131 Ginnie Mae I Pool 582134, 7%, 5/15/2032 181 185 186 Ginnie Mae I Pool 582351, 6.5%, 10/15/2032 646 716 718 Ginnie Mae I Pool 582388, 6.5%, 10/15/2032 3,018 3,347 3,408 Ginnie Mae I Pool 585121, 6.5%, 2/15/2033 5,504 6,097 6,113 Ginnie Mae I Pool 585433, 6%, 6/15/2032 3,098 3,427 3,480 Ginnie Mae I Pool 585479, 6.5%, 8/15/2032 1,820 2,016 2,022 Ginnie Mae I Pool 586225, 6%, 8/15/2034 904 1,037 1,092 Ginnie Mae I Pool 586899, 6.5%, 8/15/2032 6,986 7,735 7,759 Ginnie Mae I Pool 587390, 6%, 11/15/2032 225 258 271 Ginnie Mae I Pool 587661, 6.5%, 5/15/2032 1,044 1,182 1,187 Ginnie Mae I Pool 589507, 6.5%, 10/15/2032 4,620 5,115 5,131 Ginnie Mae I Pool 590395, 6.5%, 8/15/2032 4,399 4,871 4,886 Ginnie Mae I Pool 590439, 6%, 9/15/2032 2,640 2,924 2,976 Ginnie Mae I Pool 591009, 6.5%, 8/15/2032 2,266 2,510 2,579 Ginnie Mae I Pool 592109, 7.5%, 8/15/2032 1,324 1,348 1,353 Ginnie Mae I Pool 592251, 6%, 1/15/2033 2,053 2,357 2,484 Ginnie Mae I Pool 592490, 6%, 2/15/2033 1,526 1,746 1,794 Ginnie Mae I Pool 592607, 6%, 3/15/2033 3,125 3,519 3,651 Ginnie Mae I Pool 592625, 6%, 4/15/2033 2,615 2,986 3,096 Ginnie Mae I Pool 592643, 6%, 4/15/2033 297 329 334 Ginnie Mae I Pool 593949, 6%, 3/15/2033 3,078 3,405 3,458 Ginnie Mae I Pool 595070, 6%, 10/15/2032 2,213 2,540 2,652 Ginnie Mae I Pool 595077, 6%, 10/15/2032 1,282 1,472 1,542 Ginnie Mae I Pool 595156, 6.5%, 11/15/2032 4,295 4,826 4,831 Ginnie Mae I Pool 595208, 6%, 12/15/2032 547 625 659 Ginnie Mae I Pool 596691, 6%, 11/15/2032 2,450 2,754 2,875 Ginnie Mae I Pool 597997, 6%, 12/15/2032 1,497 1,656 1,680 Ginnie Mae I Pool 598082, 6%, 2/15/2033 1,843 2,039 2,074 Ginnie Mae I Pool 598182, 6%, 4/15/2033 6,539 7,233 7,345 Ginnie Mae I Pool 598242, 6%, 5/15/2033 1,397 1,545 1,570 Ginnie Mae I Pool 599762, 6%, 11/15/2032 1,861 2,058 2,092 Ginnie Mae I Pool 599841, 6%, 2/15/2033 810 901 916 Ginnie Mae I Pool 600028, 6%, 4/15/2033 3,024 3,349 3,396





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae I Pool 602212, 6%, 3/15/2033 3,289 3,775$ 3,951$ Ginnie Mae I Pool 603348, 6%, 1/15/2033 293 329 332 Ginnie Mae I Pool 603478, 6.5%, 2/15/2033 3,899 4,319 4,330 Ginnie Mae I Pool 603674, 6%, 5/15/2033 766 851 884 Ginnie Mae I Pool 604091, 6.5%, 3/15/2033 901 997 1,001 Ginnie Mae I Pool 605463, 6%, 6/15/2034 656 753 788 Ginnie Mae I Pool 605498, 6%, 9/15/2034 507 581 604 Ginnie Mae I Pool 605516, 6%, 10/15/2034 4,495 4,978 5,057 Ginnie Mae I Pool 605524, 6%, 10/15/2034 419 465 471 Ginnie Mae I Pool 605562, 6%, 11/15/2034 840 930 962 Ginnie Mae I Pool 605730, 6%, 10/15/2034 7,298 8,320 8,641 Ginnie Mae I Pool 606718, 6%, 4/15/2035 1,571 1,737 1,764 Ginnie Mae I Pool 606773, 6%, 4/15/2033 1,660 1,849 1,870 Ginnie Mae I Pool 607631, 6%, 1/15/2033 1,977 2,210 2,271 Ginnie Mae I Pool 607718, 6%, 3/15/2033 509 569 585 Ginnie Mae I Pool 611377, 6%, 6/15/2034 6,126 6,775 6,886 Ginnie Mae I Pool 611461, 6%, 4/15/2033 746 825 838 Ginnie Mae I Pool 616094, 6%, 11/15/2033 276 317 321 Ginnie Mae I Pool 619017, 6%, 7/15/2034 445 501 512 Ginnie Mae I Pool 619146, 6%, 11/15/2034 514 569 578 Ginnie Mae I Pool 619251, 6%, 11/15/2034 627 693 705 Ginnie Mae I Pool 621265, 6%, 9/15/2033 421 466 473 Ginnie Mae I Pool 621331, 6%, 9/15/2034 7,516 8,391 8,821 Ginnie Mae I Pool 625119, 6%, 8/15/2034 647 716 726 Ginnie Mae I Pool 626166, 6%, 8/15/2034 1,016 1,143 1,173 Ginnie Mae I Pool 626480, 6%, 2/15/2034 1,725 1,908 1,945 Ginnie Mae I Pool 629113, 6%, 9/15/2034 808 900 914 Ginnie Mae I Pool 631177, 6%, 2/15/2035 1,204 1,332 1,353 Ginnie Mae I Pool 631221, 6%, 5/15/2035 8,354 9,309 9,572 Ginnie Mae I Pool 632178, 6%, 9/15/2034 199 220 223 Ginnie Mae I Pool 632184, 6%, 9/15/2034 705 781 793 Ginnie Mae I Pool 632399, 6%, 6/15/2034 296 328 333 Ginnie Mae I Pool 634338, 6%, 8/15/2034 1,533 1,724 1,757 Ginnie Mae I Pool 635314, 6%, 11/15/2034 1,498 1,656 1,682 Ginnie Mae I Pool 635338, 6%, 2/15/2035 610 675 686 Ginnie Mae I Pool 635903, 6%, 11/15/2034 504 568 584 Ginnie Mae I Pool 637142, 6%, 4/15/2035 1,556 1,720 1,747 Ginnie Mae I Pool 638195, 6%, 12/15/2034 6,202 6,861 6,976 Ginnie Mae I Pool 640932, 6%, 5/15/2035 768 852 864 Ginnie Mae I Pool 641302, 6%, 4/15/2035 1,225 1,354 1,376





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae I Pool 644963, 6%, 6/15/2035 1,679 1,858$ 1,893$ Ginnie Mae I Pool 644966, 6%, 6/15/2035 4,444 4,972 4,998 Ginnie Mae I Pool 711067, 5%, 1/15/2040 2,440 2,739 2,790 Ginnie Mae I Pool 711068, 5%, 1/15/2040 1,378 1,547 1,577 Ginnie Mae I Pool 780283, 7.5%, 12/15/2022 8 8 8 Ginnie Mae I Pool 780776, 6.5%, 4/15/2028 6,886 7,732 7,938 Ginnie Mae I Pool 781001, 7.5%, 3/15/2029 1,530 1,763 1,794 Ginnie Mae I Pool 781029, 6.5%, 5/15/2029 7,310 8,294 8,378 Ginnie Mae I Pool 781330, 6%, 9/15/2031 435 493 517 Ginnie Mae I Pool 781516, 6.5%, 9/15/2032 3,036 3,541 3,621 Ginnie Mae I Pool 781525, 6.5%, 11/15/2032 3,132 3,630 3,718 Ginnie Mae I Pool 781530, 6.5%, 12/15/2032 1,081 1,260 1,280 Ginnie Mae I Pool 781558, 6.5%, 9/15/2032 3,248 3,732 3,843 Ginnie Mae I Pool 781576, 6.5%, 3/15/2033 4,989 5,781 5,961 Ginnie Mae I Pool 781635, 6%, 3/15/2033 2,322 2,665 2,808 Ginnie Mae I Pool 781650, 6%, 8/15/2033 192 221 232 Ginnie Mae I Pool 781685, 6%, 11/15/2033 723 829 874 Ginnie Mae I Pool 781688, 6%, 12/15/2033 4,936 5,664 5,966 Ginnie Mae I Pool 781690, 6%, 12/15/2033 1,925 2,209 2,326 Ginnie Mae I Pool 781691, 6%, 11/15/2033 429 492 518 Ginnie Mae I Pool 781712, 6%, 1/15/2034 389 446 470 Ginnie Mae I Pool 781798, 6%, 7/15/2034 8,231 9,443 9,941 Ginnie Mae I Pool 781834, 6%, 9/15/2034 3,389 3,890 4,095 Ginnie Mae I Pool 781856, 6%, 8/15/2034 3,540 4,062 4,277 Ginnie Mae I Pool 783094, 6.5%, 8/15/2034 219,294 247,733 254,511 Ginnie Mae I Pool 783704, 5.5%, 6/15/2036 6,987 7,942 8,169 Ginnie Mae I Pool 784571, 3.5%, 6/15/2048 314,792 330,346 337,209 Ginnie Mae I Pool AA5649, 3%, 9/15/2042 272,289 281,096 292,839 Ginnie Mae I Pool AB9108, 3%, 10/15/2042 324,799 333,901 341,868 Ginnie Mae I Pool AB9205, 3%, 11/15/2042 993 1,021 1,047 Ginnie Mae I Pool BS1754, 4%, 3/15/2050 94,208 100,921 100,014 Ginnie Mae I Pool BS8439, 3.5%, 5/15/2050 687,493 733,284 732,191 Ginnie Mae II Pool 003899, 6%, 9/20/2036 876 1,010 1,017 Ginnie Mae II Pool 004039, 6%, 10/20/2037 544 630 634 Ginnie Mae II Pool 004040, 6.5%, 10/20/2037 51,113 59,380 59,436 Ginnie Mae II Pool 004099, 6%, 3/20/2038 541 623 627 Ginnie Mae II Pool 004245, 6%, 9/20/2038 173,010 199,039 200,733 Ginnie Mae II Pool 004371, 6%, 2/20/2039 551 633 639 Ginnie Mae II Pool 004400, 6%, 3/20/2039 506 583 587 Ginnie Mae II Pool 004561, 6%, 10/20/2039 4,086 4,698 4,744





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae II Pool 004617, 4.5%, 1/20/2040 21,620 23,587$ 24,077$ Ginnie Mae II Pool 004696, 4.5%, 5/20/2040 26,553 29,073 29,582 Ginnie Mae II Pool 004747, 5%, 7/20/2040 7,395 8,172 8,457 Ginnie Mae II Pool 004774, 6%, 8/20/2040 891 987 1,035 Ginnie Mae II Pool 004801, 4.5%, 9/20/2040 1,033 1,131 1,151 Ginnie Mae II Pool 004802, 5%, 9/20/2040 24,236 26,782 27,715 Ginnie Mae II Pool 004804, 6%, 9/20/2040 5,765 6,387 6,689 Ginnie Mae II Pool 004837, 6%, 10/20/2040 7,533 8,717 8,780 Ginnie Mae II Pool 004855, 5%, 11/20/2040 5,719 6,324 6,557 Ginnie Mae II Pool 004871, 6%, 11/20/2040 13,546 15,693 15,648 Ginnie Mae II Pool 004923, 4.5%, 1/20/2041 2,436 2,668 2,750 Ginnie Mae II Pool 004978, 4.5%, 3/20/2041 199,914 218,860 222,719 Ginnie Mae II Pool 005240, 6%, 11/20/2041 6,898 7,617 7,988 Ginnie Mae II Pool 005309, 6%, 2/20/2042 8,378 9,659 9,721 Ginnie Mae II Pool 783050, 5%, 7/20/2040 9,880 10,918 11,190 Ginnie Mae II Pool 784674, 3.5%, 4/20/2048 3,994,731 4,194,674 4,473,285 Ginnie Mae II Pool 784825, 3.5%, 10/20/2049 692,899 711,721 718,606 Ginnie Mae II Pool 784905, 3%, 1/20/2050 751,835 776,488 787,059 Ginnie Mae II Pool BC4732, 3.5%, 10/20/2047 441,843 459,915 475,379 Ginnie Mae II Pool BC5293, 3.5%, 8/20/2047 1,165,899 1,224,029 1,266,954 Ginnie Mae II Pool BD0384, 3.5%, 10/20/2047 304,673 318,826 333,715 Ginnie Mae II Pool BM7534, 3.5%, 2/20/2050 284,620 300,068 303,769 Ginnie Mae II Pool BM9743, 4%, 11/20/2049 187,096 196,669 203,347 Ginnie Mae II Pool BS1728, 4%, 1/20/2050 195,240 206,877 213,566 Ginnie Mae II Pool BS1742, 4%, 2/20/2050 191,268 202,671 208,343 Ginnie Mae II Pool BS1757, 4%, 3/20/2050 95,806 102,632 105,235 Ginnie Mae II Pool BS8420, 4%, 4/20/2050 1,068,934 1,145,130 1,163,784 Ginnie Mae II Pool BS8546, 2.5%, 12/20/2050 400,000 425,795 431,269 Ginnie Mae II Pool MA1995, 3.5%, 6/20/2044 114,616 120,437 124,730 Ginnie Mae II Pool MA2677, 3%, 3/20/2045 509,999 541,884 542,948 Ginnie Mae II Pool MA2678, 3.5%, 3/20/2045 108,884 113,586 117,546 Ginnie Mae II Pool MA3663, 3.5%, 5/20/2046 2,629,052 2,734,892 2,846,332 Ginnie Mae II Pool MA3937, 3.5%, 9/20/2046 163,483 169,953 176,212 Ginnie Mae II Pool MA4068, 3%, 11/20/2046 306,547 317,651 326,691 Ginnie Mae II Pool MA4196, 3.5%, 1/20/2047 52,658 56,274 56,600 Ginnie Mae II Pool MA4262, 3.5%, 2/20/2047 50,616 54,306 54,382 Ginnie Mae II Pool MA4511, 4%, 6/20/2047 1,567,453 1,641,760 1,691,656 Ginnie Mae II Pool MA4588, 4.5%, 7/20/2047 33,051 36,101 35,936 Ginnie Mae II Pool MA4720, 4%, 9/20/2047 1,751,405 1,830,160 1,887,908 Ginnie Mae II Pool MA4722, 5%, 9/20/2047 7,779 8,568 8,640





Principal


Mortgage-Backed Securities - 32.8% (continued)Ginnie Mae II Pool MA4781, 5%, 10/20/2047 609,968 654,600$ 677,464$ Ginnie Mae II Pool MA4838, 4%, 11/20/2047 1,850,866 1,933,009 1,998,723 Ginnie Mae II Pool MA4901, 4%, 12/20/2047 771,963 805,834 832,676 Ginnie Mae II Pool MA4961, 3%, 1/20/2048 1,558,854 1,598,337 1,652,321 Ginnie Mae II Pool MA5018, 3%, 2/20/2048 60,552 62,086 63,364 Ginnie Mae II Pool MA5020, 4%, 2/20/2048 604,387 630,118 649,467 Ginnie Mae II Pool MA5076, 3%, 3/20/2048 1,918,202 1,966,787 2,009,428 Ginnie Mae II Pool MA5078, 4%, 3/20/2048 863,392 899,826 930,180 Ginnie Mae II Pool MA5135, 3%, 4/20/2048 219,038 224,585 229,465 Ginnie Mae II Pool MA5137, 4%, 4/20/2048 611,265 635,910 656,027 Ginnie Mae II Pool MA5193, 4.5%, 5/20/2048 1,646,245 1,780,948 1,781,611 Ginnie Mae II Pool MA5265, 4.5%, 6/20/2048 1,119,001 1,174,573 1,210,878 Ginnie Mae II Pool MA5331, 4.5%, 7/20/2048 64,315 67,531 69,597 Ginnie Mae II Pool MA5467, 4.5%, 9/20/2048 3,347,510 3,570,146 3,622,476 Ginnie Mae II Pool MA5529, 4.5%, 10/20/2048 1,105,652 1,190,943 1,196,589 Ginnie Mae II Pool MA5530, 5%, 10/20/2048 1,961,899 2,147,222 2,145,449 Ginnie Mae II Pool MA5652, 4.5%, 12/20/2048 455,094 489,211 492,488 Ginnie Mae II Pool MA5711, 4.5%, 1/20/2049 2,935,303 3,109,104 3,176,442 Ginnie Mae II Pool MA5712, 5%, 1/20/2049 1,538,141 1,622,393 1,682,057 Ginnie Mae II Pool MA5818, 4.5%, 3/20/2049 1,538,205 1,633,058 1,664,419 Ginnie Mae II Pool MA5877, 4.5%, 4/20/2049 1,985,912 2,078,046 2,147,396 Ginnie Mae II Pool MA6768, 4%, 7/20/2050 3,141,932 3,367,141 3,351,788 Government National Mortgage Association, 0.1%, 3/16/2049 697,803 5,735 2,997 Government National Mortgage Association, 0.128%, 2/16/2048 203,575 3,871 3,247 Government National Mortgage Association, 0.174%, 2/16/2053 1,009,121 15,332 8,665 Government National Mortgage Association, 0.443%, 11/16/2047 14,479,950 342,795 293,218 Government National Mortgage Association, 0.452%, 2/20/2068 720,559 717,045 718,644 Government National Mortgage Association, 0.452%, 5/20/2068 1,146,729 1,140,712 1,143,539 Government National Mortgage Association, 0.452%, 5/20/2068 530,172 526,712 528,398 Government National Mortgage Association, 0.502%, 8/20/2058 58,438 58,295 58,361 Government National Mortgage Association, 0.532%, 12/20/2060 105,155 104,865 105,067 Government National Mortgage Association, 0.552%, 12/20/2060 182,694 182,366 182,646 Government National Mortgage Association, 0.585%, 12/16/2059 2,872,289 150,831 142,519 Government National Mortgage Association, 0.599%, 4/16/2057 1,728,410 91,877 81,637 Government National Mortgage Association, 0.602%, 2/20/2061 127,726 127,653 127,845 Government National Mortgage Association, 0.611%, 3/16/2060 584,335 31,766 28,118 Government National Mortgage Association, 0.631%, 7/20/2070 495,398 496,092 497,530 Government National Mortgage Association, 0.632%, 3/20/2061 215,349 215,349 215,683





Principal


Mortgage-Backed Securities - 32.8% (continued)Government National Mortgage Association, 0.652%, 12/20/2060 150,656 150,656$ 151,000$ Government National Mortgage Association, 0.652%, 1/20/2061 131,350 131,350 131,632 Government National Mortgage Association, 0.652%, 3/20/2061 163,353 163,353 163,668 Government National Mortgage Association, 0.659%, 9/16/2055 774,349 32,237 29,046 Government National Mortgage Association, 0.683%, 8/16/2054 2,154,503 78,306 68,505 Government National Mortgage Association, 0.686%, 2/16/2059 1,093,163 64,124 59,236 Government National Mortgage Association, 0.695%, 3/20/2060 167,205 167,221 167,699 Government National Mortgage Association, 0.7%, 7/16/2058 914,585 52,274 45,214 Government National Mortgage Association, 0.803%, 4/16/2055 2,957,217 121,319 112,537 Government National Mortgage Association, 0.891%, 4/16/2053 1,874,534 31,350 38,173 Government National Mortgage Association, 1.145%, 5/20/2060 77,730 78,491 78,752 Government National Mortgage Association, 1.223%, 2/16/2046 990,065 30,715 34,902 Government National Mortgage Association, 1.281%, 5/20/2070 1,399,608 1,445,813 1,465,656 Government National Mortgage Association, 1.287%, 9/16/2044 - - - Government National Mortgage Association, 1.381%, 4/20/2070 1,002,628 1,030,648 1,032,797 Government National Mortgage Association, 2.5%, 8/20/2050 1,190,967 140,432 169,844 Government National Mortgage Association, 2.5%, 8/20/2050 397,018 46,584 54,892 Government National Mortgage Association, 2.5%, 8/20/2050 595,545 74,843 80,503 Government National Mortgage Association, 2.5%, 9/20/2050 494,192 63,165 67,907 Government National Mortgage Association, 2.5%, 10/20/2050 298,545 38,570 42,798 Government National Mortgage Association, 2.5%, 10/20/2050 1,693,378 223,450 241,386 Government National Mortgage Association, 2.5%, 10/20/2050 396,840 52,172 56,817 Government National Mortgage Association, 2.6%, 6/16/2047 49,165 49,198 49,643 Government National Mortgage Association, 2.694%, 11/16/2047 691,565 711,036 731,480 Government National Mortgage Association, 2.694%, 6/16/2048 48,599 49,907 50,989 Government National Mortgage Association, 2.75%, 3/20/2048 299,044 303,027 317,494 Government National Mortgage Association, 2.805%, 11/20/2067 80,572 7,020 7,753 Government National Mortgage Association, 3%, 7/20/2049 654,602 662,955 679,003 Government National Mortgage Association, 3%, 9/20/2049 22,845 23,763 23,621 Government National Mortgage Association, 3.15%, 6/16/2060 1,324,010 1,349,311 1,391,918 Government National Mortgage Association, 3.25%, 5/16/2059 466,810 475,832 486,044 Government National Mortgage Association, 3.5%, 4/20/2027 16,657 517 902 Government National Mortgage Association, 3.5%, 2/20/2038 57,399 147 1,197 Government National Mortgage Association, 3.5%, 3/20/2039 107,874 - 949 Government National Mortgage Association, 3.5%, 4/20/2050 384,481 52,645 62,579 Government National Mortgage Association, 3.5%, 4/20/2050 1,154,312 155,274 166,910 Government National Mortgage Association, 4%, 7/16/2026 144,353 4,355 8,507 Government National Mortgage Association, 4%, 4/16/2045 255,201 37,211 37,189 Government National Mortgage Association, 4.5%, 10/20/2039 52,235 55,269 55,358





Principal


Mortgage-Backed Securities - 32.8% (continued)Government National Mortgage Association, 4.5%, 10/20/2039 301,954 312,723$ 314,266$ Government National Mortgage Association, 4.5%, 11/16/2045 1,388,105 177,501 256,868 Government National Mortgage Association, 5%, 7/20/2039 208,266 219,168 217,264 Government National Mortgage Association, 5.919%, 3/20/2042 204,589 26,499 52,094 Government National Mortgage Association, 5.971%, 8/16/2042 87,305 11,616 19,243 Government National Mortgage Association, 5.971%, 10/16/2046 226,841 35,063 51,646 Government National Mortgage Association, 6.021%, 6/16/2043 68,947 3,966 8,142 Government National Mortgage Association, 6.069%, 8/20/2044 719,853 99,960 161,976 Government National Mortgage Association, 6.071%, 10/16/2042 88,713 12,967 20,702 Government National Mortgage Association, 6.349%, 3/20/2039 34 1 - Government National Mortgage Association, 6.349%, 4/20/2040 11,838 1,559 2,478 Government National Mortgage Association, 6.419%, 6/20/2040 191,507 29,748 49,478 Government National Mortgage Association, 6.519%, 1/20/2040 15,480 369 1,278 GS Mortgage Securities Corp. II, 1.426%, 9/15/2031 3,020,000 2,994,665 2,605,927 GS Mortgage Securities Corp. II, 2.626%, 9/15/2031 3,724,000 3,692,176 2,882,014 GS Mortgage Securities Corp. Trust 2020-DUNE, 1.226%, 12/15/2036 3,950,000 3,950,000 3,834,218 GS Mortgage Securities Trust 2013-GC16, 5.161%, 11/10/2046 117,000 128,603 123,888 GS Mortgage Securities Trust 2017-GS8, 3.469%, 11/10/2050 1,200,000 1,282,988 1,370,225 HarborView Mortgage Loan Trust 2005-9, 0.871%, 6/20/2035 557,162 556,848 539,685 J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11,

3.216%, 4/15/2046 209,000 214,502 217,252 J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7,

3.909%, 5/15/2028 286,009 286,009 256,240 J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP3,

3.457%, 8/15/2049 1,950,000 1,757,772 1,877,242 J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST,

1.626%, 12/15/2036 3,770,000 3,770,000 3,550,665 JP Morgan Mortgage Trust 2018-3, 3.5%, 9/25/2048 2,295,708 2,342,627 2,361,985 JP Morgan Mortgage Trust 2018-5, 3.5%, 10/25/2048 1,613,328 1,639,209 1,649,660 JPMBB Commercial Mortgage Securities Trust 2013-C17, 4.889%, 1/15/2047 51,000 55,603 54,739 JPMBB Commercial Mortgage Securities Trust 2014-C22, 4.553%, 9/15/2047 161,000 165,855 149,027 JPMCC Commercial Mortgage Securities Trust 2019-BOLT, 1.277%, 7/15/2034 2,455,576 2,456,343 2,348,363 JPMCC Commercial Mortgage Securities Trust 2019-BOLT, 2.327%, 7/15/2034 1,145,209 1,147,928 1,050,086 Legacy Mortgage Asset Trust 2020-GS2, 2.75%, 3/25/2060 1,652,876 1,661,138 1,660,146 Merrill Lynch Mortgage Investors Trust Series 2005-A8, 0.87%, 8/25/2036 693,152 700,518 690,815 Morgan Stanley Capital I Trust 2017-ASHF, 0.976%, 11/15/2034 248,579 247,924 238,370 Morgan Stanley Capital I Trust 2019-BPR, 1.526%, 5/15/2036 2,258,000 2,259,093 2,172,066 Morgan Stanley Capital I Trust 2019-L2, 1.026%, 3/15/2052 4,899,339 345,577 343,635 Morgan Stanley Capital I Trust 2019-L2, 4.494%, 3/15/2052 2,630,000 2,968,367 3,020,495





Principal


Mortgage-Backed Securities - 32.8% (continued)Morgan Stanley Capital I Trust 2020-L4, 2.624%, 2/15/2053 4,070,000 4,174,441$ 4,445,088$ MSCG Trust 2015-ALDR, 3.462%, 6/7/2035 742,000 771,089 731,033 Natixis Commercial Mortgage Securities Trust 2019-FAME, 3.047%, 8/15/2036 1,817,000 1,847,530 1,804,518 New Residential Mortgage Loan Trust 2015-2, 3.75%, 8/25/2055 1,795,044 1,910,571 1,912,835 New Residential Mortgage Loan Trust 2016-4, 3.75%, 11/25/2056 745,736 773,127 794,600 New Residential Mortgage Loan Trust 2017-1, 4%, 2/25/2057 1,113,135 1,160,629 1,203,018 New Residential Mortgage Loan Trust 2017-4, 4%, 5/25/2057 1,227,469 1,285,817 1,332,111 New Residential Mortgage Loan Trust 2018-1, 4%, 12/25/2057 1,388,511 1,447,303 1,501,474 New Residential Mortgage Loan Trust 2018-3, 4.5%, 5/25/2058 1,865,800 1,970,404 2,023,175 New Residential Mortgage Loan Trust 2018-RPL1, 3.5%, 12/25/2057 1,660,000 1,710,726 1,741,950 New Residential Mortgage Loan Trust 2019-3, 3.75%, 11/25/2058 2,064,219 2,151,476 2,204,017 New Residential Mortgage Loan Trust 2019-4, 3.5%, 12/25/2058 2,270,065 2,357,048 2,395,487 New Residential Mortgage Loan Trust 2019-6, 4%, 9/25/2059 1,590,056 1,763,713 1,765,336 New Residential Mortgage Loan Trust 2019-6, 4.25%, 9/25/2059 1,590,056 1,761,982 1,759,814 Nomura Resecuritization Trust 2014-5R, 3%, 6/26/2035 106,152 106,473 106,461 Nomura Resecuritization Trust 2015-5R, 1.309%, 7/26/2037 430,104 433,607 427,404 Residential Mortgage Loan Trust 2019-3, 2.633%, 9/25/2059 2,201,955 2,201,955 2,239,046 Residential Mortgage Loan Trust 2019-3, 3.044%, 9/25/2059 2,475,669 2,475,669 2,478,824 Residential Mortgage Loan Trust 2020-2, 1.654%, 5/25/2060 6,817,263 6,817,194 6,875,875 Rosslyn Portfolio Trust 2017-ROSS, 1.939%, 6/15/2033 751,637 752,271 753,317 UBS Commercial Mortgage Trust 2018-C13, 4.786%, 10/15/2051 1,580,000 1,778,157 1,770,408 WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust,

2.785%, 9/25/2033 979 1,028 975 WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust,

0.71%, 12/25/2045 4,101 4,101 4,086 Washington Mutual MSC Mortgage Pass-Through Certificates

Series 2004-RA1 Trust, 7%, 3/25/2034 288 310 306 Wells Fargo Commercial Mortgage Trust 2015-NXS1, 1.095%, 5/15/2048 3,831,454 107,175 141,342 WFRBS Commercial Mortgage Trust 2014-C19, 1.015%, 3/15/2047 893,104 20,373 20,692 WFRBS Commercial Mortgage Trust 2014-C19, 4.723%, 3/15/2047 26,000 27,974 28,231 WFRBS Commercial Mortgage Trust 2014-C21, 1.03%, 8/15/2047 2,988,909 88,661 86,515 WFRBS Commercial Mortgage Trust 2014-C21, 4.213%, 8/15/2047 539,000 568,557 574,513 WFRBS Commercial Mortgage Trust 2014-C24, 3.931%, 11/15/2047 305,000 323,642 313,600

Total Mortgage-Backed Securities 585,146,234 594,241,253

Municipal Bonds - 0.1%American Municipal Power Inc, 7.834%, 2/15/2041 16,000 25,498 26,002 City of Chicago IL, 6.314%, 1/1/2044 2,000 2,215 2,220





Principal


Municipal Bonds - 0.1% (continued)Health & Educational Facilities Authority of the State of Missouri,

3.229%, 5/15/2050 610,000 610,000$ 712,224$ Health & Educational Facilities Authority of the State of Missouri,

3.652%, 8/15/2057 5,000 5,852 6,319 New York State Dormitory Authority, 5.289%, 3/15/2033 50,000 59,290 62,688 Regents of the University of California Medical Center Pooled Revenue,

3.256%, 5/15/2060 25,000 24,873 28,119 Total Municipal Bonds 727,728 837,572

Purchased Options - 0.0%Puts - 0.0%

U.S. 10-Year Treasury Note FuturesExpiration: 1/22/2021; Exercise Price: $137.50Counterparty: Citigroup Global Markets 19,000 6,531 5,344

U.S. 10-Year Treasury Note FuturesExpiration: 1/22/2021; Exercise Price: $138Counterparty: JPMorgan Chase Bank, N.A. 9,000 5,625 4,078

U.S. Treasury Bond FuturesExpiration: 1/22/2021; Exercise Price: $172.50Counterparty: Citigroup Global Markets 9,000 13,500 10,969

25,656 20,391 Calls - 0.0%

U.S. 10-Year Treasury Note FuturesExpiration: 1/22/2021; Exercise Price: $138Counterparty: Citigroup Global Markets 38,000 17,984 20,188

U.S. Treasury Bond FuturesExpiration: 1/22/2021; Exercise Price: $173Counterparty: Jeffries & Company 33,000 50,453 53,625

U.S. Treasury Bond FuturesExpiration: 1/22/2021; Exercise Price: $172Counterparty: Citigroup Global Markets 14,000 26,250 31,063

94,687 104,876 Total Purchased Options 120,343 125,267

Sovereign Bonds - 4.3%Export-Import Bank of India, 3.375%, 8/5/2026 851,000 867,451 919,696 Government of Abu Dhabi, 2.5%, 10/11/2022 2,840,000 2,862,499 2,940,252 Government of Abu Dhabi, 3.125%, 9/30/2049 4,330,000 4,266,884 4,633,100 Government of Abu Dhabi, 3.7%, 10/30/2049 1,290,000 1,278,695 1,407,893 Government of Chile, 3.86%, 6/21/2047 1,550,000 1,834,873 1,887,125





Principal


Sovereign Bonds - 4.3% (continued)Government of Columbia, 3.125%, 4/15/2031 730,000 730,406$ 774,713$ Government of Columbia, 3.875%, 4/25/2027 950,000 1,004,243 1,057,350 Government of Columbia, 5%, 6/15/2045 171,000 200,647 208,620 Government of Columbia, 5.2%, 5/15/2049 2,578,000 3,122,941 3,272,255 Government of Columbia, 5.625%, 2/26/2044 1,536,000 1,916,936 1,989,120 Government of Indonesia, 3.75%, 4/25/2022 29,000 29,491 30,159 Government of Indonesia, 3.75%, 4/25/2022 598,000 608,131 621,908 Government of Indonesia, 3.85%, 7/18/2027 2,223,000 2,349,131 2,537,608 Government of Indonesia, 4.625%, 4/15/2043 357,000 404,077 429,932 Government of Indonesia, 4.75%, 7/18/2047 242,000 280,616 302,568 Government of Indonesia, 4.875%, 5/5/2021 124,000 125,049 125,813 Government of Indonesia, 5.125%, 1/15/2045 315,000 380,412 405,666 Government of Indonesia, 5.125%, 1/15/2045 869,000 1,049,454 1,119,124 Government of Indonesia, 5.25%, 1/8/2047 727,000 900,267 965,638 Government of Indonesia, 5.375%, 10/17/2023 36,000 38,740 40,661 Government of Indonesia, 5.875%, 1/15/2024 95,000 104,147 109,090 Government of Israel, 2.75%, 7/3/2030 1,080,000 1,122,789 1,190,743 Government of Israel, 3.875%, 7/3/2050 370,000 370,000 444,073 Government of Israel, 4.5%, 4/3/2120 1,240,000 1,698,215 1,639,751 Government of Kazakhstan, 4.875%, 10/14/2044 1,768,000 2,138,481 2,395,004 Government of Mexico, 3.6%, 1/30/2025 1,113,000 1,148,770 1,239,515 Government of Mexico, 4%, 10/2/2023 507,000 527,486 555,165 Government of Mexico, 4.6%, 1/23/2046 1,556,000 1,641,890 1,816,630 Government of Mexico, 4.75%, 3/8/2044 5,956,000 6,443,540 7,072,810 Government of Mexico, 6.05%, 1/11/2040 12,000 14,962 16,080 Government of Panama, 2.252%, 9/29/2032 1,570,000 1,566,919 1,617,100 Government of Panama, 3.16%, 1/23/2030 1,480,000 1,517,483 1,639,115 Government of Panama, 4.5%, 5/15/2047 1,838,000 2,190,542 2,359,551 Government of Panama, 4.5%, 4/1/2056 780,000 780,000 1,004,250 Government of Panama, 6.7%, 1/26/2036 1,253,000 1,764,886 1,860,718 Government of Peru, 5.625%, 11/18/2050 1,426,000 2,095,423 2,242,385 Government of Peru, 6.55%, 3/14/2037 1,241,000 1,803,529 1,883,230 Government of Poland, 4%, 1/22/2024 2,735,000 2,901,163 3,028,671 Government of Poland, 5%, 3/23/2022 671,000 695,856 709,943 Government of Qatar, 3.25%, 6/2/2026 200,000 209,433 222,440 Government of Qatar, 3.875%, 4/23/2023 1,814,000 1,885,786 1,949,687 Government of Qatar, 4%, 3/14/2029 968,000 1,067,330 1,147,080 Government of Qatar, 4.817%, 3/14/2049 2,454,000 3,045,003 3,348,189 Government of Saudi Arabia, 2.875%, 3/4/2023 342,000 346,003 358,006





Principal


Sovereign Bonds - 4.3% (continued)Government of Uraguay, 4.375%, 1/23/2031 2,586,000 2,841,485$ 3,171,108$ Government of Uraguay, 5.1%, 6/18/2050 1,736,000 2,064,936 2,428,247 Russian Federation, 5.625%, 4/4/2042 4,800,000 5,919,127 6,672,624

Total Sovereign Bonds 72,156,127 77,790,406

U.S. Treasury Bills, Bonds and Notes - 23.5%U.S. Treasury Bill, 1/5/2021 * 3,420,000 3,419,962 3,420,000 U.S. Treasury Bill, 2/18/2021 * 18,880,000 18,877,734 18,878,466 U.S. Treasury Bill, 3/23/2021 * 3,360,000 3,359,357 3,359,454 U.S. Treasury Bill, 4/6/2021 * 360,000 359,919 359,928 U.S. Treasury Bill, 4/29/2021 * 20,120,000 20,112,746 20,114,537 U.S. Treasury Bond, 1.125%, 8/15/2040 30,000 29,263 28,402 U.S. Treasury Bond, 1.25%, 5/15/2050 39,470,000 37,117,732 35,806,691 U.S. Treasury Bond, 1.375%, 11/15/2040 9,400,000 9,282,000 9,294,250 U.S. Treasury Bond, 1.375%, 8/15/2050 27,700,000 26,349,005 25,942,781 U.S. Treasury Bond, 1.625%, 11/15/2050 10,750,000 10,636,972 10,709,688 U.S. Treasury Bond, 2%, 2/15/2050 8,055,000 8,914,047 8,748,485 U.S. Treasury Bond, 2.25%, 8/15/2049 80,000 95,940 91,553 U.S. Treasury Bond, 2.75%, 8/15/2047 10,000,000 11,117,719 12,537,109 U.S. Treasury Bond, 2.875%, 8/15/2045 10,170,000 11,525,114 12,939,339 U.S. Treasury Bond, 2.875%, 5/15/2049 7,260,000 8,302,107 9,373,341 U.S. Treasury Bond, 3%, 8/15/2048 4,600,000 5,365,987 6,051,336 U.S. Treasury Bond, 3.125%, 5/15/2048 13,420,000 16,110,937 18,014,253 U.S. Treasury Inflation Indexed Bond, 0.125%, 7/15/2024 16,449 16,881 17,612 U.S. Treasury Inflation Indexed Bond, 0.125%, 10/15/2024 89,310 91,557 95,755 U.S. Treasury Inflation Indexed Bond, 0.25%, 7/15/2029 118,082 125,879 133,657 U.S. Treasury Inflation Indexed Bond, 0.625%, 1/15/2026 65,750 69,389 73,388 U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2045 5,407,007 6,000,298 6,970,040 U.S. Treasury Inflation Indexed Bond, 0.875%, 1/15/2029 113,434 125,666 133,297 U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047 21,574 26,798 28,992 U.S. Treasury Inflation Indexed Bond, 1%, 2/15/2046 3,370,528 3,741,663 4,594,758 U.S. Treasury Inflation Indexed Bond, 1%, 2/15/2048 3,980,781 4,412,027 5,539,246 U.S. Treasury Inflation Indexed Bond, 1%, 2/15/2049 7,048,232 8,546,921 9,920,020 U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044 3,579,669 4,253,238 5,152,906 U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040 2,915,398 4,311,751 4,514,122 U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2041 1,414,934 2,133,938 2,218,332 U.S. Treasury Note, 0.25%, 11/15/2023 140,000 140,137 140,394 U.S. Treasury Note, 0.25%, 5/31/2025 66,820,000 66,785,045 66,692,073 U.S. Treasury Note, 0.25%, 6/30/2025 450,000 449,579 448,857 U.S. Treasury Note, 0.25%, 9/30/2025 130,000 129,792 129,507





Principal


U.S. Treasury Bills, Bonds and Notes - 23.5% (continued)U.S. Treasury Note, 0.25%, 10/31/2025 1,330,000 1,321,654$ 1,324,285$ U.S. Treasury Note, 0.375%, 11/30/2025 360,000 359,117 360,506 U.S. Treasury Note, 0.375%, 9/30/2027 12,080,000 12,010,287 11,895,497 U.S. Treasury Note, 0.5%, 3/31/2025 345,000 347,827 348,180 U.S. Treasury Note, 0.5%, 8/31/2027 11,950,000 11,935,150 11,877,180 U.S. Treasury Note, 0.5%, 10/31/2027 12,800,000 12,713,605 12,700,000 U.S. Treasury Note, 0.625%, 11/30/2027 12,780,000 12,755,854 12,778,003 U.S. Treasury Note, 0.625%, 8/15/2030 7,790,000 7,732,848 7,595,250 U.S. Treasury Note, 0.875%, 11/15/2030 10,250,000 10,225,394 10,216,367 U.S. Treasury Note, 1.625%, 9/30/2026 50,000 53,334 53,305 U.S. Treasury Note, 1.625%, 10/31/2026 70,000 74,704 74,654 U.S. Treasury Note, 2.625%, 2/15/2029 255,000 296,202 292,732 U.S. Treasury Note, 3.125%, 11/15/2028 40,000 47,857 47,359 United States Cash Management Bill, 5/4/2021 * 24,310,000 24,302,525 24,303,112 United States Cash Management Bill, 5/11/2021 * 3,360,000 3,358,908 3,359,016 United States Cash Management Bill, 5/18/2021 * 25,860,000 25,851,714 25,852,299

Total U.S. Treasury Bills, Bonds and Notes 415,724,080 425,550,314

Money Market Fund - 3.1%State Street Institutional Treasury Plus Money Market Fund - Premier Class 56,309,764 56,309,764 56,309,764

Total Investments - 104.8% 1,826,702,131$ 1,895,363,360 Other Assets and Liabilities, Net - (4.8%) (86,355,582) Net Assets - 100% 1,809,007,778$

^Floating rate *Zero coupon





Centrally Cleared Interest Rate Swaps

Pay/Receive Premiums UnrealizedFloating Floating Fixed Payment Maturity Market Paid AppreciationRate Rate Index Rate Frequency Date Value (Received) (Depreciation)

Receive 3 Month Semi-Annually/LIBOR 0.80% Quarterly 11/15/2045 6,242,743$ 398,616$ 5,844,127$

Pay 3 Month Semi-Annually/LIBOR 0.19% Quarterly 6/15/2022 2,305 (158) 2,463

Receive 3 Month Semi-Annually/LIBOR 1.20% Quarterly 10/7/2050 427,706 40,662 387,044

Pay 3 Month Semi-Annually/LIBOR 0.38% Quarterly 2/28/2025 12,211 1,702 10,509

Receive 3 Month Semi-Annually/LIBOR 1.23% Quarterly 2/15/2047 81,662 (6,293) 87,955

Receive 3 Month Semi-Annually/LIBOR 1.20% Quarterly 2/15/2047 179,244 23,818 155,426

Pay 3 Month Semi-Annually/LIBOR 0.84% Quarterly 11/27/2025 9,886 (38,700) 48,586

Receive 3 Month Semi-Annually/LIBOR 0.75% Quarterly 11/15/2027 (430,891) (66,519) (364,372)

6,524,866$ 353,128$ 6,171,738$

Centrally Cleared Credit Default Swaps

FixedRate Upfront Unrealized(Pay) Payment Maturity Notional Market Premiums Appreciation

Description Receive Frequency Date Amount Value Paid (Depreciation)Sell ProtectionCDX.NA.IG.34 1.00% Quarterly 6/20/2025 229,995,000$ 3,745,239$ 2,478,615$ 1,266,624$ CDX.NA.HY.35 1.00% Quarterly 12/20/2025 200,284,000$ 4,862,409 4,765,844 96,565

8,607,648$ 7,244,459$ 1,363,189$





Written Options

No. of Notional Exercise Expiration PremiumsDescription Counterparty Contracts Amount Price Date Received Fair Value

Put:US Treasury Bond Future

Option JPMorgan Chase Bank, N.A. (19) 19,000$ 170.00 January 2021 (9,797)$ (9,203)$

Call:US 10-Year Treasury Note

Future Option Citigroup (140) 140,000$ 138.50 January 2021 (48,031) (39,375) US 10-Year Treasury Note

Future Option Jeffries & Company (122) 122,000$ 139.00 January 2021 (34,703) (15,250) US 5-Year Treasury Note

Future Option Jeffries & Company (48) 48,000$ 126.00 January 2021 (9,172) (13,500) US Treasury Bond Future

Option JPMorgan Chase Bank, N.A. (19) 19,000$ 176.00 January 2021 (39,188) (8,906) US Treasury Bond Future

Option Citigroup (103) 103,000$ 175.00 January 2021 (134,187) (75,642) US Treasury Bond Future

Option Citigroup (76) 76,000$ 174.00 January 2021 (103,438) (85,500) US Treasury Bond Future

Option Citigroup (19) 19,000$ 174.00 February 2021 (29,391) (34,734) US Treasury Bond Future

Option JPMorgan Chase Bank, N.A. (19) 19,000$ 173.50 January 2021 (18,109) (25,828) (416,219) (298,735) (426,016)$ (307,938)$

Futures

Number of Value as of UnrealizedContracts Expiration December 31, Appreciation

Description Long (Short) Date 2020 (Depreciation)Futures in gain position

United States 2-Year Note Future 116 3/31/2021 25,633,281$ 29,000$ United States 5-Year Note Future 824 3/31/2021 103,959,188 206,000 United States 10-Year Treasury Note Future 2,004 3/22/2021 276,708,563 589,516 United States 10-Year Ultra Bond Future (91) 3/22/2021 (14,228,703) 66,847 United States Long Bond Future (712) 3/22/2021 (123,309,500) 86,560 United States Ultra Bond Future 369 3/22/2021 78,804,563 51,256

347,567,392 1,029,179 Futures in loss position

3 Month SOFR Future 72 3/16/2021 17,987,400 (900) 90 Day European Future (2,281) 3/15/2021 (569,280,575) (428,988) 90 Day European Future (498) 6/14/2021 (124,294,575) (1,566,119) 90 Day European Future (887) 12/13/2021 (221,284,325) (1,352,163)

(896,872,075) (3,348,170) (549,304,683)$ (2,318,991)$





The following table summarizes how the Fund's investments are broken down by country of issuance as a percentage of net assets of the Fund:

PercentageCountry of Issuer Fair Value of Net Assets

United States 1,623,087,903$ 89.7%Cayman Islands 65,645,443 3.6%United Kingdom 23,127,137 1.3%Mexico 15,789,891 0.9%Indonesia 13,109,259 0.7%Colombia 11,784,025 0.7%Peru 11,488,628 0.6%Netherlands 11,387,895 0.6%United Arab Emirates 11,063,193 0.6%Switzerland 9,534,645 0.5%Canada 9,243,705 0.5%France 9,005,470 0.5%Panama 8,480,734 0.5%Brazil 7,108,163 0.4%Russia 6,672,624 0.4%Qatar 6,667,396 0.4%Kazakhstan 5,618,335 0.3%Uruguay 5,599,355 0.3%Chile 5,407,231 0.3%Denmark 4,452,378 0.2%Spain 3,861,625 0.2%Poland 3,738,614 0.2%Italy 3,597,431 0.2%Israel 3,274,567 0.2%Luxembourg 3,070,183 0.2%Australia 2,831,568 0.2%Virgin Islands 1,942,909 0.1%Finland 1,848,480 0.1%Macao 1,670,509 0.1%China 1,642,650 0.1%Sweden 1,415,087 0.1%India 919,696 0.1%Morocco 831,206 0.0%Saudi Arabia 358,006 0.0%Ireland 76,552 0.0%Japan 10,867 0.0%Total 1,895,363,360$ 104.8%





The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2020 (see Note 3):

Level 1 Level 2 Level 3 Total

Assets:Asset-Backed Securities -$ 97,160,425$ -$ 97,160,425$ Centrally Cleared Credit Default Swaps - 8,607,648 - 8,607,648 *Centrally Cleared Interest Rate Swaps - 6,955,757 - 6,955,757 *Corporate Bonds - 605,470,765 - 605,470,765 Exchange-Traded Fund 37,877,594 - - 37,877,594 Futures 1,029,179 - - 1,029,179 *Mortgage-Backed Securities - 594,241,253 - 594,241,253 Municipal Bonds - 837,572 - 837,572 Purchased Options - 125,267 - 125,267 Sovereign Bonds - 77,790,406 - 77,790,406 U.S. Treasury Bills, Bonds, and Notes - 425,550,314 - 425,550,314 Money Market Fund 56,309,764 - - 56,309,764

Total Assets 95,216,537$ 1,816,739,407$ -$ 1,911,955,944$

Liabilities:Futures (3,348,170)$ -$ -$ (3,348,170)$ *Centrally Cleared Interest Rate Swaps - (430,891) - (430,891) *Written Options - (307,938) - (307,938)

Total Liabilities (3,348,170)$ (738,829)$ -$ (4,086,999)$

Fair Value Measurements

*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value. Concentration of Ownership: As of December 31, 2020, the Fund had one unitholder holding 10% or more of the outstanding units of the Fund, and aggregated to 93.7% of the Fund's total units outstanding. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:

Purchases Sales Realizedat Cost (1) Proceeds (1) Gain

Investments 4,963,868,278$ 4,645,816,574$ 25,410,794$

(1) Purchases and sales balances may include amortization or accretion of premiums or discounts or paydowns on fixed income securities.



AssetsInvestments in securities, at fair value (cost $1,826,702,131) 1,895,363,360$ Receivable for investment securities sold 46,842,193 Variation margin receivable on centrally cleared swaps 13,727,878 Dividends and interest receivable 8,406,099 Variation margin receivable on futures 4,526,402 Receivable for fund units sold 4,180,383 Receivable for reimbursement 14,757 Total assets 1,973,061,072

Liabilities and Net AssetsPayable for investment securities purchased 153,589,715 Due to broker 8,485,423 Payable for fund units redeemed 567,885 Written options outstanding, at fair value (net of premiums

received of $426,016) 307,938 Accrued expenses 1,102,333 Total liabilities 164,053,294 Net assets 1,809,007,778$


Statement of Assets and LiabilitiesDecember 31, 2020



Investment incomeInterest 43,498,824$ Dividends 1,366,883 Miscellaneous income 2,761 Total investment income 44,868,468

ExpensesTrustee and sub-advisor fees 4,015,853 Professional services and other operating expenses 61,363 Expense reimbursement from sub-advisor (29,609) Total expenses 4,047,607 Net investment income 40,820,861

Net realized gain (loss) on:Investments 25,410,794 Futures 19,447,870 Written options 13,862,055 Swaptions (93,098) Swaps (22,773,760)

Net change in unrealized appreciation (depreciation) on:Investments 69,902,600 Futures 1,048,622 Swaptions (14,906) Swaps (94,576) Written options (1,005,608) Net realized and unrealized gain on investments

and foreign currency translation 105,689,993 Net increase in net assets resulting from operations 146,510,854$

Statement of OperationsFor the year ended December 31, 2020




Increase in net assets resulting from operationsNet investment income 40,820,861$ Net realized gain on investments 35,853,861 Net change in unrealized appreciation on investments

and foreign currency translation 69,836,132 Net increase in net assets resulting from operations 146,510,854

Fund unit transactionsProceeds from units issuedClass G1 ^ 67,771,402 Class R2 ^ 39,191,906 Class R3 467,993,701 Class R-INT ^ 23,624,260 Total proceeds from units issued 598,581,269

Value of units redeemedClass G1 ^ (6,496,995) Class R2 ^ (10,082,528) Class R3 (348,236,539) Class R-INT ^ (5,682,267) Total value of units redeemed (370,498,329)

Increase in net assets resulting from fund unit transactions 228,082,940

Increase in net assets 374,593,794

Net assets, beginning of year 1,434,413,984 Net assets, end of year 1,809,007,778$

^Class G1, Class R2 and Class R-INT funded on 3/24/2020, 1/10/2020 and 5/1/2020, respectively.

Statement of Changes in Net AssetsFor the year ended December 31, 2020




Per Unit Operating Performance Class G1 Class R2 Class R3 Class R-INTNet asset value, beginning of year or at inception 9.79$ 10.14$ 10.10$ 10.36$ Income from investment operations:

Net investment income (1) 0.19 0.26 0.27 0.19 Net realized and unrealized gain on investments

and foreign currency translation (1) 1.10 0.67 0.71 0.55 Total income from investment operations 1.29 0.93 0.98 0.74 Net asset value, end of year 11.08$ 11.07$ 11.08$ 11.10$

Total Return 13.18% ^ 9.17% ^ 9.70% 7.14% ^

Supplemental DataRatio to average net assets:

Gross expenses (excluding reimbursement) 0.38% # 0.30% # 0.25% 0.01% #Net expenses 0.25% # 0.30% # 0.25% 0.01% #Net investment income 2.36% # 2.50% # 2.54% 2.61% #

Fund Unit ActivityUnits, beginning of year - - 142,073,270 - Issued 6,296,578 3,839,897 44,185,713 2,238,760 Redeemed (597,463) (971,108) (33,283,719) (521,597) Units, end of year 5,699,115 2,868,789 152,975,264 1,717,163 (1) Based on average units outstanding.^Not annualized for periods less than one year. Class G1, Class R2 and Class R-INT funded on 3/24/2020, 1/10/2020 and 5/1/2020, respectively.#Annualized except audit expense.

Financial HighlightsFor the year ended December 31, 2020




Western Asset Core Plus Bond CIT

Schedule of Investments December 31, 2020

Principal


Asset-Backed Securities - 2.6%Auto - 0.1%

Avis Budget Rental Car Funding AESOP LLC, 2.02%, 2/20/2027 470,000 469,790$ 478,816$ Hertz Vehicle Financing II LP, 2.67%, 12/26/2025 24,552 24,552 24,583

Total Auto 494,342 503,399

Other - 2.5%Affirm Asset Securitization Trust 2020-Z1, 3.46%, 10/15/2024 73,774 74,544 74,936 Argent Securities Inc. Asset-Backed Pass-Through Certificates

Series 2004-W2, 0.97%, 4/25/2034 418,966 406,946 411,520 Argent Securities Inc. Asset-Backed Pass-Through Certificates

Series 2004-W10, 1.03%, 10/25/2034 1,464,433 1,427,868 1,414,615 Bayview Financial Asset Trust 2007-SSR1, 1.747%, 3/25/2037 426,494 362,669 386,263 Bear Stearns Asset Backed Securities I Trust 2004-HE7, 1.03%, 8/25/2034 522,281 519,217 507,445 Capital One Multi-Asset Execution Trust, 0.637%, 9/16/2024 90,000 90,351 90,374 Centex Home Equity Loan Trust 2001-b, 6.36%, 7/25/2032 36,955 37,276 37,981 Citibank Credit Card Issuance Trust, 0.897%, 5/14/2029 930,000 921,437 931,202 Countrywide Asset-Backed Certificates, 0.55%, 8/25/2034 340,933 328,170 326,796 CWHEQ Revolving Home Equity Loan Trust Series 2006-E,

0.267%, 7/15/2036 79,828 74,060 74,190 Domino's Pizza Master Issuer LLC, 4.116%, 7/25/2048 508,300 537,686 533,756 ECMC Group Student Loan Trust 2016-1, 1.48%, 7/26/2066 541,328 546,974 551,902 EFS Volunteer No. 2 LLC, 1.48%, 3/25/2036 1,272,768 1,282,183 1,287,299 First Franklin Mortgage Loan Trust 2004-FF5, 0.85%, 8/25/2034 425,882 415,910 425,042 First Franklin Mortgage Loan Trust 2004-FFH1, 0.805%, 3/25/2034 1,621,828 1,591,954 1,572,256 Ford Credit Floorplan Master Owner Trust A, 4.06%, 11/15/2030 230,000 245,780 271,046 GSRPM Mortgage Loan Trust 2007-1, 0.53%, 10/25/2046 152,063 143,469 141,260 Hardee's Funding LLC, 3.981%, 12/20/2050 680,000 680,000 697,048 Hildene Community Funding CDO Ltd., 3.25%, 11/1/2035 320,000 320,000 320,638 JP Morgan Mortgage Acquisition Trust 2006-CH1, 0.45%, 7/25/2036 870,000 811,083 843,323 Laurel Road Prime Student Loan Trust 2017-B, 3.02%, 8/25/2042 543,258 550,155 554,840 Navient Private Education Refi Loan Trust 2020-D, 1.69%, 5/15/2069 159,208 161,697 162,224 Navient Private Education Refi Loan Trust 2020-G, 1.17%, 9/16/2069 311,929 312,634 314,277 Navient Student Loan Trust 2017-3, 1.18%, 7/26/2066 870,000 873,867 879,817 Nelnet Student Loan Trust 2015-2, 0.73%, 9/25/2047 1,678,622 1,648,735 1,650,117 Origen Manufactured Housing Contract Trust 2006-A, 1.997%, 10/15/2037 195,742 186,746 192,901 SLC Student Loan Trust 2006-2, 0.377%, 9/15/2039 700,000 666,517 672,531 SLM Private Credit Student Loan Trust 2006-A, 0.507%, 6/15/2039 163,592 161,027 157,229 SLM Student Loan Trust 2004-3, 0.768%, 10/25/2064 1,354,917 1,330,413 1,337,684 SMB Private Education Loan Trust 2014-A, 1.627%, 4/15/2032 150,000 153,355 151,659





Principal


Asset-Backed Securities - 2.6% (continued)Other - 2.5% (continued)

Sofi Consumer Loan Program 2017-6 LLC, 3.52%, 11/25/2026 450,000 461,982$ 462,070$ SoFi Professional Loan Program 2017-E LLC, 3.49%, 11/26/2040 570,000 595,927 595,130 SoFi Professional Loan Program 2020-ATrust, 2.54%, 5/15/2046 320,000 319,849 330,648 Structured Asset Investment Loan Trust 2005-HE3, 0.85%, 9/25/2035 501,414 498,916 499,043 Sunrun Atlas Issuer 2019-2 LLC, 3.61%, 2/1/2055 204,871 204,772 218,897 Trinity Rail Leasing 2020 LLC, 2.56%, 11/19/2050 540,000 541,220 548,992 United States Small Business Administration, 2.69%, 7/1/2044 38,603 38,603 41,694 United States Small Business Administration, 2.98%, 4/1/2039 37,055 37,055 40,463 Vantage Data Centers Issuer LLC, 3.188%, 7/15/2044 246,666 246,666 258,146

Total Other 19,807,713 19,967,254 Total Asset-Backed Securities 20,302,055 20,470,653

Bank Loan Obligations - 4.5%Basic Materials - 0.1%

Asplundh Tree Expert, LLC Term Loan B, 2.613%, 9/4/2027 428,925 428,924 429,731

Communications - 0.8%Charter Communications Operating, LLC Term Loan B1,

1.875%, 4/30/2025 737,609 733,982 734,334 Charter Communications Operating, LLC Term Loan B2,

1.875%, 2/1/2027 129,020 125,184 128,166 CSC Holdings, LLC Term Loan B5, 2.613%, 4/15/2027 19,850 19,915 19,643 Delta Topco, Inc. Term Loan B, 4.5%, 12/1/2027 1,090,000 1,079,688 1,088,866 Go Daddy Operating Company, LLC Term Loan B1, 1.863%, 2/15/2024 1,006,489 995,142 1,005,231 iHeartCommunications, Inc. Term Loan, 3.113%, 5/1/2026 40,056 40,056 39,355 Level 3 Financing, Inc. Term Loan B, 1.869%, 3/1/2027 141,678 141,305 139,169 Newco Financing Partnership Term Loan B1, 3.629%, 1/31/2029 500,000 499,375 500,250 Nexstar Broadcasting, Inc. Term Loan B4, 2.88%, 9/19/2026 855,334 840,400 848,603 Terrier Media Buyer, Inc. Term Loan B, 4.38%, 12/17/2026 59,350 59,089 59,332 UPC Financing Partnership Term Loan B2, 3.629%, 1/31/2029 500,000 499,375 500,250 Virgin Media Bristol LLC Term Loan N, 2.63%, 1/31/2028 375,000 370,940 371,183 Virgin Media Bristol LLC Term Loan Q, 3.363%, 1/31/2029 430,000 422,550 429,303 Zayo Group Holdings, Inc. Term Loan, 3.113%, 3/9/2027 295,438 290,268 293,222 Ziggo Financing Partnership Term Loan I, 2.63%, 4/30/2028 500,000 496,250 496,405


Consumer, Cyclical - 1.1%1011778 B.C. Unlimited Liability Company Term Loan B4,

1.88%, 11/19/2026 178,424 177,665 175,693





Principal


Bank Loan Obligations - 4.5% (continued)Consumer, Cyclical - 1.1% (continued)

Alterra Mountain Company Term Loan B1, 2.863%, 7/31/2024 48,990 48,914$ 48,235$ Aramark Services, Inc. Term Loan B4, 1.863%, 1/15/2027 37,219 37,423 36,695 BJ's Wholesale Club, Inc. Term Loan, 2.119%, 2/3/2024 20,705 20,614 20,673 Caesars Resort Collection, LLC Term Loan, 4.629%, 7/20/2025 399,000 396,053 399,124 Caesars Resort Collection, LLC Term Loan B, 2.988%, 12/22/2024 647,935 630,834 634,899 CityCenter Holdings, LLC Term Loan B, 3%, 4/18/2024 9,745 9,755 9,593 Clarios Global LP Term Loan B, 3.702%, 4/30/2026 67,875 67,333 67,521 Delta 2 (Lux) SARL Term Loan B, 3.5%, 2/1/2024 10,000 9,797 9,879 Delta Air Lines, Inc. Term Loan B, 5.75%, 4/29/2023 169,150 167,641 171,537 Four Seasons Hotels Limited First Lien, 2.254%, 11/30/2023 68,505 68,435 67,955 GFL Environmental Inc. Term Loan, 1%, 5/30/2025 649,663 647,377 649,773 Golden Nugget, LLC Term Loan B, 3.25%, 10/4/2023 5,266 5,267 5,073 Harbor Freight Tools USA, Inc. Term Loan B, 4%, 10/19/2027 930,000 921,408 928,447 Hilton Worldwide Finance LLC Term Loan B, 1.995%, 6/21/2026 110,000 110,414 108,591 Jaguar Holding Co II 2018 Term Loan, 1%, 8/18/2022 367,035 362,956 366,716 Michaels Stores, Inc. Term Loan B, 4.25%, 10/1/2027 88,325 87,510 87,552 PCI Gaming Authority Term Loan, 2.625%, 5/31/2026 35,131 35,150 34,704 PetSmart, Inc. Term Loan, 4.5%, 3/11/2022 900,000 895,500 897,462 Scientific Games International, Inc. Term Loan B5, 2.863%, 8/14/2024 1,583,187 1,534,658 1,544,004 SkyMiles IP Ltd. Term Loan B, 4.75%, 10/20/2027 420,000 424,414 434,843 UFC Holdings, LLC Term Loan, 0%, 4/29/2026 1,026,392 1,019,864 1,022,061 Whatabrands LLC Term Loan B, 2.863%, 8/3/2026 750,381 739,272 742,757 Wynn Resorts Finance, LLC Term Loan A, 1.879%, 9/20/2024 131,250 130,846 126,328


Consumer, Non-cyclical - 1.1%Allied Universal Holdco LLC Term Loan B, 4.363%, 7/12/2026 955,191 952,213 950,215 Bausch Health Americas, Inc. Initial Term, 3.232%, 6/1/2025 887,591 879,289 883,712 Bausch Health Americas, Inc. Term Loan, 2.975%, 11/27/2025 112,500 110,924 111,335 BrightView Landscapes, LLC Term Loan B, 2.695%, 8/15/2025 9,750 9,733 9,693 Change Healthcare Holdings, LLC Term Loan B, 3.5%, 3/1/2024 774,432 770,879 770,172 Endo International plc Term Loan B, 5%, 4/27/2024 787,959 770,602 774,169 Eyecare Partners, LLC Term Loan, 3.879%, 2/20/2027 40,236 39,251 39,115 Eyecare Partners, LLC Delayed Draw Term Loan, 3.88%, 2/20/2027 9,459 9,232 9,196 Froneri US Inc. Term Loan, 2.369%, 1/31/2027 59,700 59,788 59,043 GAINWELL ACQUISITION CORP. Term Loan B, 4.75%, 10/1/2027 130,000 128,737 129,783 Garda World Security Corporation 2019 1st Lien Term Loan B,

1%, 10/30/2026 430,612 430,255 430,612





Principal


Bank Loan Obligations - 4.5% (continued)Consumer, Non-cyclical - 1.1% (continued)

Grifols Worldwide Operations USA, Inc. Term Loan B, 2.113%, 11/15/2027 1,573,872 1,552,668$ 1,559,125$ LifePoint Health, Inc. Term Loan B, 3.88%, 11/16/2025 1,003,363 990,264 999,480 MPH Acquisition Holdings LLC Term Loan B, 3.75%, 6/7/2023 156,755 156,482 155,874 Option Care Health, Inc. Term Loan B, 3.88%, 8/6/2026 49,500 49,138 49,397 Phoenix Guarantor Inc. Term Loan B, 3.369%, 3/5/2026 286,902 287,864 284,871 Prime Security Services Borrower, LLC Term Loan B1, 4.25%, 9/23/2026 92,503 92,006 92,734 Reynolds Consumer Products LLC Term Loan, 1.863%, 2/4/2027 389,278 387,029 386,358 Sotera Health Holdings, LLC Term Loan, 5.5%, 12/13/2026 116,431 115,414 116,771 Trans Union LLC Term Loan B5, 1.863%, 11/13/2026 401,437 393,569 399,514 US Foods, Inc. Term Loan B, 1.873%, 6/27/2023 378,489 367,411 372,426 US Foods, Inc. Term Loan B, 2.216%, 9/13/2026 49,623 46,386 48,739


Diversified - 0.0%First Eagle Holdings, Inc. Term Loan B, 2.619%, 2/2/2027 9,627 9,621 9,520

Financials - 0.5%Asurion, LLC Term Loan B4, 1%, 8/4/2022 94,120 94,134 93,057 Asurion, LLC Term Loan B6, 3.119%, 11/3/2023 127,125 122,115 125,801 Asurion, LLC Term Loan B7, 3.113%, 11/3/2024 88,463 88,470 87,667 Asurion, LLC Term Loan B8, 3.375%, 12/23/2026 70,000 69,125 69,209 Avolon TLB Borrower 1 (US) LLC Term Loan B5, 3.25%, 12/1/2027 850,000 841,551 850,000 Citadel Securities LP Term Loan B, 2.863%, 2/27/2026 428,917 424,206 428,737 Deerfield Dakota Holding, LLC Term Loan B, 4.75%, 4/9/2027 119,400 118,309 119,419 FinCo I LLC Term Loan B, 2.627%, 6/27/2025 9,082 9,014 9,065 Focus Financial Partners, LLC Term Loan, 2.121%, 7/3/2024 69,040 69,309 68,493 Jane Street Group, LLC Term Loan, 0%, 49,127 49,035 48,992 Realogy Group LLC Term Loan B, 2.445%, 2/8/2025 428,869 414,355 420,596 The Edelman Financial Center, LLC Term Loan B1, 3.474%, 7/19/2025 39,200 39,187 38,551 VFH Parent LLC Term Loan B, 3.115%, 3/1/2026 1,225,330 1,219,390 1,222,009 VICI Properties 1 LLC Term Loan, 1.875%, 12/22/2024 370,000 352,999 363,433


Industrials - 0.4%APi Group DE, Inc. Term Loan B, 2.613%, 10/1/2026 357,144 345,574 355,805 Atlantic Aviation FBO Inc. Term Loan B, 3.976%, 12/6/2025 9,800 9,726 9,751 Berry Global, Inc. Term Loan W, 2.13%, 10/1/2022 223,951 222,282 223,575 Boeing Company/The Term Loan, 1.363%, 2/6/2022 210,000 203,505 207,165





Principal


Bank Loan Obligations - 4.5% (continued)Industrials - 0.4% (continued)

Genesee & Wyoming Inc. Term Loan, 2.119%, 12/30/2026 1,524,859 1,520,995$ 1,520,330$ Pactiv Evergreen Group Holdings Inc. Incremental Term Loan,

2.945%, due 2/5/2023 660,000 651,159 656,700 Total Industrials 2,953,241 2,973,326

Technology - 0.5%athenahealth, Inc. Term Loan B, 4.695%, 2/11/2026 845,692 844,629 843,367 Dcert Buyer, Inc. Term Loan B, 4.223%, 10/16/2026 837,291 830,346 835,348 Dell International L.L.C. Term Loan B, 2.75%, 9/19/2025 1,542,691 1,538,576 1,542,876 McAfee, LLC Term Loan B1, 3.946%, 9/29/2024 950,474 945,888 949,761 Western Digital Corporation Term Loan B4, 1.863%, 4/29/2023 36,112 35,875 36,031

Total Technology 4,195,314 4,207,383 Total Bank Loan Obligations 35,260,052 35,440,750

Corporate Bonds - 32.2%Basic Materials - 0.7%

Anglo American Capital plc, 4%, 9/11/2027 500,000 564,837 574,150 Barrick North America Finance LLC, 5.7%, 5/30/2041 60,000 67,710 86,812 Barrick North America Finance LLC, 5.75%, 5/1/2043 20,000 23,082 29,171 BHP Billiton Finance (USA) Limited, 2.875%, 2/24/2022 5,000 4,992 5,143 BHP Billiton Finance (USA) Limited, 5%, 9/30/2043 90,000 98,210 132,383 Equate Petrochemical B.V., 4.25%, 11/3/2026 200,000 214,326 222,754 Freeport-McMoRan Inc., 4.625%, 8/1/2030 30,000 30,000 32,925 Freeport-McMoRan Inc., 5.4%, 11/14/2034 10,000 9,758 12,513 Freeport-McMoRan Inc., 5.45%, 3/15/2043 80,000 75,569 99,600 Glencore Funding LLC, 2.5%, 9/1/2030 170,000 167,050 173,374 Glencore Funding LLC, 4%, 3/27/2027 1,090,000 1,209,568 1,232,989 Glencore Funding LLC, 4.125%, 3/12/2024 210,000 216,983 231,083 OCP S.A., 4.5%, 10/22/2025 200,000 197,976 217,593 Southern Copper Corporation, 5.25%, 11/8/2042 680,000 827,460 911,583 Suzano Austria GmbH, 3.75%, 1/15/2031 920,000 966,605 976,120 Vale Overseas Ltd., 6.875%, 11/21/2036 196,000 254,185 287,263

Total Basic Materials 4,928,311 5,225,456

Communications - 3.7%Alphabet Inc., 0.45%, 8/15/2025 20,000 19,982 20,045 Alphabet Inc., 0.8%, 8/15/2027 30,000 29,904 29,983 Alphabet Inc., 1.1%, 8/15/2030 380,000 376,016 374,805 Alphabet Inc., 2.05%, 8/15/2050 440,000 421,715 419,949





Principal



Amazon.com, Inc., 0.8%, 6/3/2025 90,000 89,969$ 91,320$ Amazon.com, Inc., 1.2%, 6/3/2027 120,000 120,009 122,417 Amazon.com, Inc., 1.5%, 6/3/2030 760,000 772,028 772,927 Amazon.com, Inc., 2.5%, 6/3/2050 1,050,000 1,075,673 1,089,449 Amazon.com, Inc., 3.15%, 8/22/2027 60,000 57,602 68,314 Amazon.com, Inc., 3.875%, 8/22/2037 220,000 273,080 274,443 Amazon.com, Inc., 4.25%, 8/22/2057 20,000 28,067 28,499 Amazon.com, Inc., 4.95%, 12/5/2044 90,000 100,970 132,030 AT&T Inc., 1.65%, 2/1/2028 760,000 760,051 775,423 AT&T Inc., 2.25%, 2/1/2032 310,000 313,172 314,470 AT&T Inc., 2.3%, 6/1/2027 130,000 129,823 138,650 AT&T Inc., 3.1%, 2/1/2043 1,300,000 1,307,323 1,319,459 AT&T Inc., 3.55%, 9/15/2055 45,000 41,436 44,847 AT&T Inc., 4.25%, 3/1/2027 80,000 78,598 93,579 AT&T Inc., 4.35%, 6/15/2045 11,000 9,652 12,709 AT&T Inc., 4.5%, 3/9/2048 80,000 91,361 95,692 CCO Holdings, LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 10,000 10,189 10,613 CCO Holdings, LLC/CCO Holdings Capital Corp., 4.5%, 5/1/2032 3,270,000 3,426,559 3,491,444 Charter Communications Operating, LLC/Charter Communications

Operating Capital C, 3.75%, 2/15/2028 70,000 66,023 78,486 Charter Communications Operating, LLC/Charter Communications




Operating Capital C, 5.05%, 3/30/2029 1,250,000 1,491,122 1,519,829 Charter Communications Operating, LLC/Charter Communications


Operating Capital C, 5.75%, 4/1/2048 90,000 90,102 117,760 Comcast Corporation, 3.15%, 3/1/2026 30,000 32,431 33,494 Comcast Corporation, 3.3%, 4/1/2027 40,000 44,777 45,484 Comcast Corporation, 3.4%, 4/1/2030 1,175,000 1,348,574 1,358,715 Comcast Corporation, 3.45%, 2/1/2050 650,000 747,135 767,043 Comcast Corporation, 3.6%, 3/1/2024 55,000 60,258 60,511 Comcast Corporation, 3.75%, 4/1/2040 10,000 10,987 12,080 Comcast Corporation, 3.95%, 10/15/2025 140,000 140,966 160,843





Principal



Comcast Corporation, 4%, 3/1/2048 240,000 300,607$ 302,353$ Comcast Corporation, 4.15%, 10/15/2028 320,000 329,306 385,208 Comcast Corporation, 4.2%, 8/15/2034 110,000 109,469 137,862 Comcast Corporation, 4.25%, 10/15/2030 50,000 56,892 61,567 Comcast Corporation, 4.4%, 8/15/2035 495,000 627,413 633,475 Comcast Corporation, 4.7%, 10/15/2048 80,000 106,748 111,771 DISH DBS Corporation, 5.875%, 11/15/2024 20,000 18,413 20,971 Fox Corporation, 3.5%, 4/8/2030 190,000 213,780 215,821 Fox Corporation, 4.03%, 1/25/2024 30,000 31,271 33,040 Fox Corporation, 5.476%, 1/25/2039 380,000 497,475 521,102 Prosus N.V., 3.832%, 2/8/2051 250,000 249,980 245,333 Prosus N.V., 4.85%, 7/6/2027 600,000 692,926 689,784 Sprint Capital Corporation, 8.75%, 3/15/2032 20,000 28,287 31,668 Telefonica Emisiones S.A, 4.895%, 3/6/2048 150,000 142,215 188,189 Time Warner Cable, LLC, 6.75%, 6/15/2039 30,000 33,844 42,696 Time Warner Cable, LLC, 7.3%, 7/1/2038 740,000 1,053,045 1,096,634 Time Warner Entertainment Company, L.P., 8.375%, 7/15/2033 260,000 378,149 402,193 T-Mobile USA, Inc., 2.05%, 2/15/2028 20,000 20,516 20,803 T-Mobile USA, Inc., 2.55%, 2/15/2031 900,000 933,441 945,063 T-Mobile USA, Inc., 3.5%, 4/15/2025 250,000 261,323 276,245 T-Mobile USA, Inc., 3.75%, 4/15/2027 10,000 10,556 11,388 T-Mobile USA, Inc., 3.875%, 4/15/2030 280,000 299,808 324,296 T-Mobile USA, Inc., 4.375%, 4/15/2040 550,000 660,090 671,204 Verizon Communications Inc., 0.85%, 11/20/2025 40,000 39,996 40,314 Verizon Communications Inc., 1.75%, 1/20/2031 280,000 281,460 278,601 Verizon Communications Inc., 2.625%, 8/15/2026 160,000 148,969 175,323 Verizon Communications Inc., 2.65%, 11/20/2040 440,000 443,111 444,297 Verizon Communications Inc., 2.875%, 11/20/2050 1,410,000 1,435,649 1,420,721 Verizon Communications Inc., 3%, 3/22/2027 20,000 19,992 22,189 Verizon Communications Inc., 3.15%, 3/22/2030 40,000 39,886 44,856 Verizon Communications Inc., 3.376%, 2/15/2025 350,000 347,414 388,722 Verizon Communications Inc., 3.85%, 11/1/2042 10,000 11,795 11,860 Verizon Communications Inc., 3.875%, 2/8/2029 20,000 19,968 23,542 Verizon Communications Inc., 4%, 3/22/2050 130,000 160,491 157,307 Verizon Communications Inc., 4.125%, 3/16/2027 10,000 10,094 11,787 Verizon Communications Inc., 4.125%, 8/15/2046 30,000 35,149 36,809 Verizon Communications Inc., 4.4%, 11/1/2034 730,000 902,369 910,989 Verizon Communications Inc., 4.5%, 8/10/2033 2,050,000 2,566,644 2,586,711





Principal



Verizon Communications Inc., 4.522%, 9/15/2048 40,000 45,573$ 52,163$ Verizon Communications Inc., 4.862%, 8/21/2046 20,000 25,695 27,029 Verizon Communications Inc., 5.25%, 3/16/2037 20,000 21,413 27,104 ViacomCBS Inc., 3.875%, 4/1/2024 10,000 9,976 10,931 Vodafone Group Public Limited Company, 4.375%, 5/30/2028 270,000 322,022 323,368


Consumer, Cyclical - 3.2%1011778 BC ULC / New Red Finance Inc., 3.5%, 2/15/2029 670,000 671,522 669,163 Costco Wholesale Corporation, 1.375%, 6/20/2027 140,000 140,295 144,241 Costco Wholesale Corporation, 1.6%, 4/20/2030 445,000 453,005 455,990 Delta Air Lines Inc. / SkyMiles IP Ltd., 4.5%, 10/20/2025 90,000 90,715 96,197 Delta Air Lines Inc. / SkyMiles IP Ltd., 4.75%, 10/20/2028 80,000 80,218 87,321 Delta Air Lines, Inc., 2.9%, 10/28/2024 60,000 58,658 59,198 Delta Air Lines, Inc., 3.4%, 4/19/2021 130,000 127,035 130,850 Delta Air Lines, Inc., 3.625%, 3/15/2022 70,000 62,955 72,016 Delta Air Lines, Inc., 3.8%, 4/19/2023 20,000 17,525 20,536 Delta Air Lines, Inc., 7%, 5/1/2025 2,210,000 2,439,848 2,551,561 Delta Air Lines, Inc., 7.375%, 1/15/2026 1,840,000 2,005,719 2,101,837 Dollar General Corporation, 3.25%, 4/15/2023 10,000 10,490 10,581 Ford Motor Credit Company LLC, 4%, 11/13/2030 2,710,000 2,749,480 2,845,500 Ford Motor Credit Company LLC, 5.125%, 6/16/2025 600,000 628,365 652,380 Ford Motor Credit Company LLC, 5.875%, 8/2/2021 230,000 228,766 235,405 General Motors Company, 5.4%, 10/2/2023 20,000 19,983 22,395 General Motors Company, 5.95%, 4/1/2049 50,000 47,127 67,621 General Motors Company, 6.125%, 10/1/2025 60,000 59,946 72,778 General Motors Company, 6.25%, 10/2/2043 290,000 388,155 391,201 General Motors Financial Company, Inc., 3.45%, 4/10/2022 20,000 19,946 20,567 General Motors Financial Company, Inc., 4.25%, 5/15/2023 20,000 20,163 21,555 General Motors Financial Company, Inc., 4.35%, 1/17/2027 590,000 667,236 671,649 Home Depot, Inc./The, 2.5%, 4/15/2027 370,000 401,995 406,031 Home Depot, Inc./The, 2.7%, 4/15/2030 365,000 400,798 407,381 Home Depot, Inc./The, 3.3%, 4/15/2040 350,000 398,383 412,511 Home Depot, Inc./The, 3.35%, 4/15/2050 140,000 150,230 166,610 Home Depot, Inc./The, 3.9%, 12/6/2028 10,000 11,804 12,032 Home Depot, Inc./The, 3.9%, 6/15/2047 10,000 10,928 12,771 Las Vegas Sands Corp., 2.9%, 6/25/2025 10,000 9,818 10,464





Principal



Las Vegas Sands Corp., 3.2%, 8/8/2024 70,000 69,960$ 74,142$ Lowe's Companies, Inc., 4.5%, 4/15/2030 20,000 19,910 24,895 M.D.C. Holdings, Inc., 6%, 1/15/2043 30,000 34,902 40,216 McDonald's Corporation, 1.45%, 9/1/2025 10,000 9,961 10,370 McDonald's Corporation, 3.3%, 7/1/2025 40,000 43,143 44,543 McDonald's Corporation, 3.5%, 3/1/2027 160,000 159,718 183,107 McDonald's Corporation, 3.5%, 7/1/2027 50,000 56,490 57,357 McDonald's Corporation, 3.6%, 7/1/2030 600,000 695,077 703,229 McDonald's Corporation, 3.625%, 9/1/2049 45,000 51,338 52,808 McDonald's Corporation, 3.7%, 1/30/2026 80,000 84,619 91,127 McDonald's Corporation, 3.8%, 4/1/2028 180,000 205,805 210,410 McDonald's Corporation, 4.2%, 4/1/2050 730,000 903,474 938,479 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.,

6.5%, 6/20/2027 330,000 342,474 354,750 NIKE, Inc., 2.4%, 3/27/2025 40,000 42,078 43,108 NIKE, Inc., 2.75%, 3/27/2027 70,000 75,650 77,457 NIKE, Inc., 2.85%, 3/27/2030 650,000 725,084 736,365 NIKE, Inc., 3.25%, 3/27/2040 150,000 162,311 174,478 NIKE, Inc., 3.375%, 3/27/2050 110,000 115,985 136,086 Nissan Motor Co., Ltd., 3.522%, 9/17/2025 470,000 484,338 503,240 Nissan Motor Co., Ltd., 4.345%, 9/17/2027 1,290,000 1,367,337 1,424,841 Sands China Ltd., 3.8%, 1/8/2026 200,000 199,821 213,092 Sands China Ltd., 5.125%, 8/8/2025 200,000 212,746 224,452 Spirit Loyalty Cayman Ltd.. / Spirit IP Cayman Ltd., 8%, 9/20/2025 1,660,000 1,805,490 1,859,200 Target Corporation, 2.25%, 4/15/2025 90,000 93,844 96,341 TJX Companies, Inc./The, 3.5%, 4/15/2025 50,000 52,354 55,825 TJX Companies, Inc./The, 3.75%, 4/15/2027 20,000 22,566 23,129 United Airlines Holdings, Inc., 4.25%, 10/1/2022 1,890,000 1,877,880 1,899,450 Walmart Inc., 3.05%, 7/8/2026 110,000 123,237 123,839 Walmart Inc., 3.4%, 6/26/2023 20,000 21,044 21,479 Walmart Inc., 3.55%, 6/26/2025 20,000 22,272 22,647 Walmart Inc., 3.7%, 6/26/2028 140,000 140,730 164,899 Walmart Inc., 3.95%, 6/28/2038 170,000 214,931 216,855 Wynn Macau, Limited, 5.625%, 8/26/2028 1,340,000 1,402,510 1,410,350


Consumer, Non-cyclical - 5.1%Abbott Laboratories, 1.15%, 1/30/2028 170,000 171,264 172,496 Abbott Laboratories, 3.75%, 11/30/2026 121,000 130,621 141,745





Principal



Abbott Laboratories, 4.75%, 11/30/2036 20,000 21,417$ 27,510$ Abbott Laboratories, 4.9%, 11/30/2046 500,000 715,045 741,252 AbbVie Inc., 2.3%, 11/21/2022 180,000 179,888 186,552 AbbVie Inc., 2.6%, 11/21/2024 150,000 149,895 160,769 AbbVie Inc., 2.95%, 11/21/2026 40,000 39,959 44,234 AbbVie Inc., 3.2%, 11/21/2029 805,000 863,876 902,160 AbbVie Inc., 3.45%, 3/15/2022 20,000 20,380 20,626 AbbVie Inc., 3.6%, 5/14/2025 50,000 49,401 55,704 AbbVie Inc., 3.75%, 11/14/2023 10,000 10,661 10,904 AbbVie Inc., 3.8%, 3/15/2025 20,000 21,432 22,304 AbbVie Inc., 4.25%, 11/14/2028 135,000 159,837 161,853 AbbVie Inc., 4.25%, 11/21/2049 680,000 808,881 852,598 AbbVie Inc., 4.5%, 5/14/2035 90,000 110,002 113,047 AbbVie Inc., 4.55%, 3/15/2035 10,000 11,583 12,643 Aetna Inc., 2.8%, 6/15/2023 285,000 298,036 299,864 Altria Group, Inc., 2.35%, 5/6/2025 20,000 19,993 21,250 Altria Group, Inc., 2.85%, 8/9/2022 100,000 99,236 103,848 Altria Group, Inc., 3.49%, 2/14/2022 30,000 29,999 31,031 Altria Group, Inc., 3.8%, 2/14/2024 30,000 29,992 32,760 Altria Group, Inc., 3.875%, 9/16/2046 30,000 25,159 31,689 Altria Group, Inc., 4.4%, 2/14/2026 80,000 80,374 92,886 Altria Group, Inc., 4.45%, 5/6/2050 140,000 163,158 165,512 Altria Group, Inc., 4.75%, 5/5/2021 40,000 40,205 40,576 Altria Group, Inc., 4.8%, 2/14/2029 1,750,000 2,053,945 2,096,669 Altria Group, Inc., 5.8%, 2/14/2039 670,000 850,368 882,774 Altria Group, Inc., 5.95%, 2/14/2049 230,000 315,405 322,221 Altria Group, Inc., 6.2%, 2/14/2059 20,000 20,254 28,080 Amgen Inc., 3.625%, 5/22/2024 10,000 10,039 10,977 Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc.,

3.65%, 2/1/2026 670,000 754,869 757,348 Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc.,

4.7%, 2/1/2036 105,000 129,095 133,380 Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/2046 20,000 21,485 25,700 Anheuser-Busch InBev Worldwide Inc., 3.5%, 6/1/2030 730,000 823,617 845,605 Anheuser-Busch InBev Worldwide Inc., 4%, 4/13/2028 150,000 147,692 176,844 Anheuser-Busch InBev Worldwide Inc., 4.35%, 6/1/2040 80,000 79,951 98,156 Anheuser-Busch InBev Worldwide Inc., 4.5%, 6/1/2050 750,000 897,879 946,695 Anheuser-Busch InBev Worldwide Inc., 4.6%, 4/15/2048 225,000 263,663 284,715





Principal



Anheuser-Busch InBev Worldwide Inc., 5.45%, 1/23/2039 135,000 176,111$ 183,403$ Anheuser-Busch InBev Worldwide Inc., 5.55%, 1/23/2049 565,000 722,440 803,358 Anthem, Inc., 2.95%, 12/1/2022 10,000 9,884 10,476 Anthem, Inc., 3.125%, 5/15/2022 40,000 39,816 41,501 Anthem, Inc., 3.35%, 12/1/2024 220,000 239,935 242,402 Anthem, Inc., 3.65%, 12/1/2027 60,000 57,980 69,190 Anthem, Inc., 3.7%, 8/15/2021 20,000 20,044 20,241 B.A.T Capital Corporation, 2.259%, 3/25/2028 190,000 190,000 197,229 B.A.T Capital Corporation, 3.557%, 8/15/2027 260,000 263,608 289,505 B.A.T Capital Corporation, 3.734%, 9/25/2040 1,310,000 1,337,234 1,366,383 B.A.T Capital Corporation, 3.984%, 9/25/2050 165,000 162,740 172,184 Becton, Dickinson and Company, 3.363%, 6/6/2024 180,000 182,560 195,673 Bristol Myers Squibb Company, 2.9%, 7/26/2024 240,000 247,080 260,461 Bristol Myers Squibb Company, 3.4%, 7/26/2029 1,310,000 1,486,640 1,525,051 Bristol Myers Squibb Company, 3.875%, 8/15/2025 610,000 692,146 695,882 Bristol Myers Squibb Company, 4.55%, 2/20/2048 250,000 343,846 348,721 Cargill, Incorporated, 1.375%, 7/23/2023 60,000 60,076 61,498 Cigna Corporation, 3.4%, 3/15/2050 670,000 725,576 753,917 Cigna Corporation, 3.75%, 7/15/2023 120,000 123,664 129,728 Cigna Corporation, 4.375%, 10/15/2028 980,000 1,142,256 1,184,513 Cintas Corporation No. 2, 2.9%, 4/1/2022 30,000 29,848 30,878 Cintas Corporation No. 2, 3.7%, 4/1/2027 10,000 9,991 11,522 Coca-Cola Company/The, 1.45%, 6/1/2027 375,000 384,413 387,347 Coca-Cola Company/The, 2.5%, 3/15/2051 60,000 59,634 61,830 Coca-Cola Company/The, 2.6%, 6/1/2050 30,000 29,550 31,656 Coca-Cola Company/The, 2.95%, 3/25/2025 50,000 53,886 55,113 Coca-Cola Company/The, 3.375%, 3/25/2027 30,000 34,101 34,408 CommonSpirit Health, 4.35%, 11/1/2042 20,000 18,751 23,434 CVS Health Corporation, 1.3%, 8/21/2027 215,000 213,560 215,998 CVS Health Corporation, 2.7%, 8/21/2040 820,000 816,073 829,556 CVS Health Corporation, 2.75%, 12/1/2022 130,000 127,908 135,144 CVS Health Corporation, 3.625%, 4/1/2027 855,000 964,229 972,969 CVS Health Corporation, 3.75%, 4/1/2030 1,035,000 1,184,311 1,204,505 CVS Health Corporation, 3.875%, 7/20/2025 44,000 43,750 49,830 CVS Health Corporation, 4.125%, 4/1/2040 120,000 131,575 143,956 CVS Health Corporation, 4.25%, 4/1/2050 180,000 221,777 225,160 CVS Health Corporation, 4.3%, 3/25/2028 282,000 292,202 335,569 CVS Health Corporation, 4.78%, 3/25/2038 80,000 93,184 101,358 CVS Health Corporation, 5.05%, 3/25/2048 310,000 369,535 420,136





Principal



CVS Health Corporation, 5.125%, 7/20/2045 10,000 10,574$ 13,464$ Danone, 2.077%, 11/2/2021 210,000 209,668 212,590 Danone, 2.947%, 11/2/2026 610,000 669,721 670,145 DP World PLC, 5.625%, 9/25/2048 400,000 474,160 509,280 Gilead Sciences, Inc., 3.25%, 9/1/2022 35,000 36,520 36,551 Gilead Sciences, Inc., 3.65%, 3/1/2026 120,000 119,681 136,138 Gilead Sciences, Inc., 3.7%, 4/1/2024 60,000 60,152 65,396 GlaxoSmithKline Capital PLC, 3%, 6/1/2024 110,000 118,338 118,523 HCA Inc., 5.375%, 2/1/2025 20,000 21,249 22,491 HCA Inc., 5.375%, 9/1/2026 30,000 30,000 34,482 HCA Inc., 5.625%, 9/1/2028 110,000 110,607 129,800 HCA Inc., 7.69%, 6/15/2025 23,000 24,566 27,600 Hershey Company/The, 0.9%, 6/1/2025 20,000 19,967 20,310 Humana Inc., 3.15%, 12/1/2022 30,000 29,842 31,333 Humana Inc., 3.95%, 3/15/2027 70,000 69,615 80,561 Humana Inc., 4.5%, 4/1/2025 10,000 11,071 11,489 Humana Inc., 4.625%, 12/1/2042 10,000 10,068 12,817 Humana Inc., 4.95%, 10/1/2044 10,000 10,505 13,478 Johnson & Johnson, 0.55%, 9/1/2025 50,000 49,949 50,217 Johnson & Johnson, 0.95%, 9/1/2027 100,000 99,935 100,496 Johnson & Johnson, 2.1%, 9/1/2040 830,000 830,965 836,996 Johnson & Johnson, 2.45%, 9/1/2060 285,000 281,493 296,455 Johnson & Johnson, 3.4%, 1/15/2038 20,000 18,859 24,195 Johnson & Johnson, 3.625%, 3/3/2037 90,000 85,618 110,038 Kraft Heinz Foods Company, 3%, 6/1/2026 30,000 28,462 31,328 Kraft Heinz Foods Company, 3.95%, 7/15/2025 13,000 13,397 14,317 Kraft Heinz Foods Company, 4.25%, 3/1/2031 20,000 20,000 22,301 Kraft Heinz Foods Company, 4.375%, 6/1/2046 40,000 39,310 43,278 Kraft Heinz Foods Company, 4.875%, 10/1/2049 30,000 31,112 34,999 Kraft Heinz Foods Company, 5%, 7/15/2035 10,000 10,327 12,122 Kraft Heinz Foods Company, 5%, 6/4/2042 30,000 31,937 35,198 Kraft Heinz Foods Company, 5.2%, 7/15/2045 50,000 53,693 59,453 Kraft Heinz Foods Company, 5.5%, 6/1/2050 40,000 40,000 50,390 Mars, Incorporated, 2.375%, 7/16/2040 100,000 99,493 102,417 Mars, Incorporated, 2.7%, 4/1/2025 100,000 101,664 108,222 Medtronic, Inc., 3.5%, 3/15/2025 24,000 23,992 26,933 Merck & Co., Inc., 0.75%, 2/24/2026 80,000 79,634 80,903 Merck & Co., Inc., 1.45%, 6/24/2030 595,000 601,197 603,281 Molson Coors Beverage Company, 3.5%, 5/1/2022 20,000 20,040 20,797





Principal



Mondelez International, Inc., 1.5%, 5/4/2025 820,000 842,833$ 848,084$ Mondelez International, Inc., 2.125%, 4/13/2023 20,000 19,965 20,773 PayPal Holdings, Inc., 1.35%, 6/1/2023 70,000 69,949 71,674 PayPal Holdings, Inc., 1.65%, 6/1/2025 60,000 59,989 62,687 PayPal Holdings, Inc., 2.3%, 6/1/2030 620,000 658,467 663,909 PepsiCo, Inc., 0.75%, 5/1/2023 90,000 89,861 91,283 PepsiCo, Inc., 1.625%, 5/1/2030 720,000 736,852 738,966 PepsiCo, Inc., 2.25%, 3/19/2025 10,000 10,491 10,682 PepsiCo, Inc., 2.625%, 3/19/2027 10,000 10,746 11,002 PepsiCo, Inc., 2.875%, 10/15/2049 20,000 20,896 22,391 PepsiCo, Inc., 3.625%, 3/19/2050 280,000 347,194 355,302 PepsiCo, Inc., 3.875%, 3/19/2060 20,000 23,834 26,795 PepsiCo, Inc., 4.25%, 10/22/2044 20,000 20,622 26,079 Pfizer Inc., 0.8%, 5/28/2025 110,000 109,394 111,964 Pfizer Inc., 1.7%, 5/28/2030 70,000 69,992 72,683 Pfizer Inc., 2.625%, 4/1/2030 965,000 1,063,013 1,077,083 Philip Morris International Inc., 1.125%, 5/1/2023 150,000 151,826 152,962 Philip Morris International Inc., 2.1%, 5/1/2030 50,000 49,710 52,147 Philip Morris International Inc., 2.5%, 8/22/2022 40,000 39,494 41,455 Philip Morris International Inc., 2.5%, 11/2/2022 10,000 9,858 10,378 Philip Morris International Inc., 2.875%, 5/1/2024 535,000 573,649 574,635 Philip Morris International Inc., 2.9%, 11/15/2021 60,000 59,862 61,385 Philip Morris International Inc., 4.5%, 3/20/2042 50,000 49,828 63,292 Procter & Gamble Company/The, 2.8%, 3/25/2027 10,000 10,928 11,141 Procter & Gamble Company/The, 3%, 3/25/2030 650,000 750,928 749,551 Teva Pharmaceutical Finance Company B.V., 2.95%, 12/18/2022 1,310,000 1,297,200 1,306,725 Teva Pharmaceutical Finance Company B.V., 3.65%, 11/10/2021 30,000 29,510 30,375 Teva Pharmaceutical Finance IV B.V., 3.65%, 11/10/2021 40,000 39,423 40,500 Teva Pharmaceutical Finance Netherlands III B.V., 2.2%, 7/21/2021 60,000 59,219 59,850 Teva Pharmaceutical Finance Netherlands III B.V., 2.8%, 7/21/2023 580,000 556,468 574,258 Teva Pharmaceutical Finance Netherlands III B.V., 3.15%, 10/1/2026 1,570,000 1,439,761 1,509,178 United Rentals (North America), Inc., 3.875%, 2/15/2031 220,000 220,000 230,791 UnitedHealth Group Incorporated, 1.25%, 1/15/2026 20,000 19,931 20,618 UnitedHealth Group Incorporated, 2%, 5/15/2030 30,000 29,761 31,821 UnitedHealth Group Incorporated, 2.75%, 5/15/2040 170,000 179,915 184,420 UnitedHealth Group Incorporated, 2.875%, 12/15/2021 10,000 9,976 10,242 UnitedHealth Group Incorporated, 3.125%, 5/15/2060 20,000 21,122 23,217 UnitedHealth Group Incorporated, 3.7%, 8/15/2049 80,000 94,120 100,296 UnitedHealth Group Incorporated, 3.75%, 7/15/2025 30,000 33,257 34,180





Principal



UnitedHealth Group Incorporated, 3.75%, 10/15/2047 20,000 18,314$ 24,832$ UnitedHealth Group Incorporated, 3.875%, 12/15/2028 20,000 20,278 23,985 UnitedHealth Group Incorporated, 3.875%, 8/15/2059 80,000 84,522 103,575 UnitedHealth Group Incorporated, 4.25%, 6/15/2048 40,000 51,047 53,414 UnitedHealth Group Incorporated, 4.45%, 12/15/2048 10,000 13,176 13,791 UnitedHealth Group Incorporated, 4.625%, 7/15/2035 125,000 165,625 167,500 UnitedHealth Group Incorporated, 5.8%, 3/15/2036 40,000 47,333 59,791


Energy - 4.8%Apache Corporation, 4.25%, 1/15/2030 30,000 31,639 31,500 Apache Corporation, 4.25%, 1/15/2044 120,000 109,520 118,396 Apache Corporation, 4.375%, 10/15/2028 100,000 98,118 104,098 Apache Corporation, 5.1%, 9/1/2040 50,000 51,094 53,313 BP Capital Markets America Inc., 1.749%, 8/10/2030 1,020,000 1,013,071 1,026,250 BP Capital Markets America Inc., 2.772%, 11/10/2050 310,000 300,719 308,937 BP Capital Markets America Inc., 2.937%, 4/6/2023 10,000 10,063 10,553 BP Capital Markets America Inc., 3%, 2/24/2050 60,000 60,021 61,604 BP Capital Markets America Inc., 3.194%, 4/6/2025 330,000 360,547 362,996 BP Capital Markets America Inc., 3.41%, 2/11/2026 90,000 90,005 100,904 BP Capital Markets America Inc., 3.588%, 4/14/2027 10,000 9,720 11,373 BP Capital Markets America Inc., 3.633%, 4/6/2030 240,000 268,820 279,591 BP Capital Markets America Inc., 3.79%, 2/6/2024 10,000 10,274 10,928 BP Capital Markets p.l.c., 3.506%, 3/17/2025 140,000 138,499 156,125 Cameron LNG, LLC, 2.902%, 7/15/2031 310,000 337,472 339,492 Cameron LNG, LLC, 3.302%, 1/15/2035 70,000 79,609 78,992 Chevron Corporation, 1.554%, 5/11/2025 80,000 80,012 83,198 Chevron Corporation, 1.995%, 5/11/2027 195,000 204,016 206,796 Chevron Corporation, 3.078%, 5/11/2050 360,000 397,644 401,862 Chevron U.S.A. Inc., 1.018%, 8/12/2027 325,000 323,949 326,596 Cimarex Energy Co., 3.9%, 5/15/2027 120,000 120,286 132,257 Cimarex Energy Co., 4.375%, 3/15/2029 790,000 861,538 896,216 CNOOC Finance (2015) U.S.A. LLC, 3.5%, 5/5/2025 900,000 955,565 968,919 Concho Resources Inc., 3.75%, 10/1/2027 20,000 20,994 22,858 Concho Resources Inc., 4.3%, 8/15/2028 520,000 586,709 614,763 Continental Resources, Inc., 3.8%, 6/1/2024 40,000 39,596 41,304 Continental Resources, Inc., 4.375%, 1/15/2028 90,000 95,553 92,268 Continental Resources, Inc., 4.5%, 4/15/2023 20,000 20,648 20,622





Principal



Devon Energy Corporation, 5%, 6/15/2045 1,120,000 1,201,197$ 1,319,220$ Devon Energy Corporation, 5.6%, 7/15/2041 20,000 22,338 24,460 Devon Energy Corporation, 5.85%, 12/15/2025 510,000 577,863 599,422 Diamondback Energy, Inc., 3.25%, 12/1/2026 40,000 41,122 42,708 Diamondback Energy, Inc., 3.5%, 12/1/2029 370,000 393,763 395,277 Diamondback Energy, Inc., 5.375%, 5/31/2025 20,000 20,702 20,820 Ecopetrol S.A., 5.875%, 5/28/2045 850,000 985,960 1,028,925 Energy Transfer Operating, L.P., 2.9%, 5/15/2025 70,000 69,956 74,057 Energy Transfer Operating, L.P., 3.75%, 5/15/2030 1,170,000 1,188,479 1,262,023 Energy Transfer Operating, L.P., 4.95%, 6/15/2028 350,000 394,410 403,415 Energy Transfer Operating, L.P., 5.25%, 4/15/2029 20,000 22,600 23,351 Energy Transfer Operating, L.P., 6.25%, 4/15/2049 10,000 12,143 12,096 Energy Transfer Partners LP / Regency Energy Finance Corp.,

4.5%, 11/1/2023 10,000 10,069 10,827 Energy Transfer Partners LP / Regency Energy Finance Corp.,

5.875%, 3/1/2022 10,000 10,210 10,455 Enterprise Products Operating LLC, 2.8%, 1/31/2030 790,000 845,374 856,217 Enterprise Products Operating LLC, 3.7%, 1/31/2051 780,000 806,319 858,608 Enterprise Products Operating LLC, 4.15%, 10/16/2028 340,000 347,590 404,492 Enterprise Products Operating LLC, 4.85%, 3/15/2044 100,000 116,997 124,055 Enterprise Products Operating LLC, 5.7%, 2/15/2042 120,000 150,927 164,749 EOG Resources, Inc., 3.9%, 4/1/2035 40,000 45,434 46,935 EOG Resources, Inc., 4.15%, 1/15/2026 40,000 40,897 46,414 EOG Resources, Inc., 4.375%, 4/15/2030 530,000 632,393 644,139 EOG Resources, Inc., 4.95%, 4/15/2050 560,000 735,788 759,049 EQT Corporation, 3%, 10/1/2022 1,040,000 1,023,730 1,047,800 EQT Corporation, 3.9%, 10/1/2027 50,000 47,935 49,673 EQT Corporation, 5%, 1/15/2029 1,510,000 1,599,476 1,592,023 EQT Corporation, 7.625%, 2/1/2025 10,000 11,041 11,388 Exxon Mobil Corporation, 1.571%, 4/15/2023 10,000 10,036 10,284 Exxon Mobil Corporation, 2.992%, 3/19/2025 1,215,000 1,315,673 1,329,823 Exxon Mobil Corporation, 3.043%, 3/1/2026 130,000 126,707 144,037 Exxon Mobil Corporation, 3.482%, 3/19/2030 50,000 50,000 58,149 Exxon Mobil Corporation, 4.114%, 3/1/2046 40,000 41,905 49,336 Exxon Mobil Corporation, 4.227%, 3/19/2040 180,000 218,632 224,163 Exxon Mobil Corporation, 4.327%, 3/19/2050 450,000 556,740 589,165 Halliburton Company, 4.85%, 11/15/2035 10,000 10,682 11,670 Halliburton Company, 5%, 11/15/2045 30,000 32,501 35,663 JSC National Company KazMunayGaz, 6.375%, 10/24/2048 400,000 551,357 574,520





Principal



Kinder Morgan, Inc., 4.3%, 6/1/2025 200,000 223,076$ 228,200$ Kinder Morgan, Inc., 4.3%, 3/1/2028 30,000 32,597 35,183 Kinder Morgan, Inc., 5.05%, 2/15/2046 10,000 10,952 12,208 Kinder Morgan, Inc., 5.2%, 3/1/2048 175,000 204,300 222,576 Kinder Morgan, Inc., 5.55%, 6/1/2045 110,000 130,198 141,364 Kinder Morgan, Inc., 7.8%, 8/1/2031 240,000 332,308 342,739 Kinder Morgan Energy Partners, L.P., 3.5%, 3/1/2021 10,000 10,000 10,000 Kinder Morgan Energy Partners, L.P., 5.5%, 3/1/2044 110,000 129,241 139,021 MPLX LP, 4.5%, 4/15/2038 50,000 47,915 57,191 MPLX LP, 4.7%, 4/15/2048 40,000 37,398 47,435 MPLX LP, 4.8%, 2/15/2029 570,000 653,440 688,881 MPLX LP, 5.5%, 2/15/2049 490,000 574,096 645,238 Noble Energy, Inc., 3.85%, 1/15/2028 390,000 432,735 453,881 Noble Energy, Inc., 4.95%, 8/15/2047 100,000 133,548 142,424 Noble Energy, Inc., 6%, 3/1/2041 10,000 11,774 15,212 Occidental Petroleum Corporation, 2.9%, 8/15/2024 90,000 90,153 86,625 Occidental Petroleum Corporation, 3%, 2/15/2027 70,000 67,878 62,300 Occidental Petroleum Corporation, 3.2%, 8/15/2026 50,000 50,298 46,750 Occidental Petroleum Corporation, 3.4%, 4/15/2026 50,000 49,627 47,670 Occidental Petroleum Corporation, 4.1%, 2/15/2047 30,000 26,738 24,524 Occidental Petroleum Corporation, 4.2%, 3/15/2048 10,000 9,704 8,150 Occidental Petroleum Corporation, 4.4%, 4/15/2046 30,000 30,643 26,144 Occidental Petroleum Corporation, 4.625%, 6/15/2045 30,000 31,800 26,149 Occidental Petroleum Corporation, 5.55%, 3/15/2026 20,000 21,919 20,879 Occidental Petroleum Corporation, 6.45%, 9/15/2036 20,000 24,339 20,940 Occidental Petroleum Corporation, 7.875%, 9/15/2031 200,000 267,463 223,000 Petrobras Global Finance B.V., 5.299%, 1/27/2025 750,000 732,913 847,508 Petrobras Global Finance B.V., 5.75%, 2/1/2029 400,000 452,040 466,400 Petrobras Global Finance B.V., 6.9%, 3/19/2049 80,000 80,000 101,400 Petrobras Global Finance B.V., 7.25%, 3/17/2044 2,030,000 2,502,822 2,618,700 Petroleos Mexicanos, 6.625%, 6/15/2035 630,000 546,810 623,700 Range Resources Corporation, 5%, 3/15/2023 120,000 117,050 114,600 Shell International Finance B.V., 2.75%, 4/6/2030 550,000 595,240 608,484 Shell International Finance B.V., 2.875%, 5/10/2026 60,000 58,500 66,358 Shell International Finance B.V., 3.25%, 4/6/2050 600,000 642,238 680,355 Shell International Finance B.V., 4%, 5/10/2046 210,000 221,582 264,477 Shell International Finance B.V., 4.125%, 5/11/2035 420,000 507,019 525,443 Shell International Finance B.V., 4.375%, 5/11/2045 10,000 10,589 13,176





Principal



Southern Natural Gas Company, L.L.C., 8%, 3/1/2032 90,000 113,534$ 128,555$ Sunoco Logistics Partners Operations L.P., 5.3%, 4/1/2044 150,000 150,286 162,094 Targa Resources Partners LP / Targa Resources Partners Finance Corp.,

4.875%, 2/1/2031 40,000 40,000 43,584 Targa Resources Partners LP / Targa Resources Partners Finance Corp.,

5.5%, 3/1/2030 10,000 10,023 10,857 Tennessee Gas Pipeline Company, L.L.C., 2.9%, 3/1/2030 350,000 369,054 374,269 Transcontinental Gas Pipe Line Company, LLC, 3.95%, 5/15/2050 150,000 157,000 169,662 Transcontinental Gas Pipe Line Company, LLC, 7.85%, 2/1/2026 380,000 487,940 498,106 Western Midstream Operating, LP, 2.325%, 1/13/2023 20,000 20,000 19,605 Western Midstream Operating, LP, 4.35%, 2/1/2025 40,000 40,025 41,223 Western Midstream Operating, LP, 4.5%, 3/1/2028 10,000 10,282 10,365 Western Midstream Operating, LP, 5.3%, 2/1/2030 160,000 161,185 179,170 Western Midstream Operating, LP, 6.5%, 2/1/2050 2,080,000 2,086,676 2,288,000 Williams Companies, Inc./The, 3.75%, 6/15/2027 1,290,000 1,425,551 1,471,937 Williams Companies, Inc./The, 7.5%, 1/15/2031 10,000 11,685 13,594 Williams Companies, Inc./The, 7.75%, 6/15/2031 160,000 190,245 215,552

Total Energy 36,319,076 38,053,977

Financials - 8.8%AerCap Ireland Capital DAC / AerCap Global Aviation Trust,

3.15%, 2/15/2024 150,000 149,004 157,240 Air Lease Corporation, 3.375%, 7/1/2025 150,000 151,741 161,310 Ambac Assurance Corp., 5.1%, 12/31/2099 1,664 2,202 2,305 Ambac LSNI LLC, 6%, 2/12/2023 ^ 6,122 6,151 6,084 American Express Company, 2.5%, 8/1/2022 375,000 386,867 386,912 American International Group, Inc., 2.5%, 6/30/2025 40,000 40,173 43,000 American International Group, Inc., 3.75%, 7/10/2025 80,000 79,030 89,880 American International Group, Inc., 3.9%, 4/1/2026 220,000 251,110 250,864 American International Group, Inc., 4.75%, 4/1/2048 40,000 50,851 53,368 Banco Santander, S.A., 2.746%, 5/28/2025 600,000 607,019 640,515 Bank of America Corporation, 1.319%, 6/19/2026 ^ 1,240,000 1,252,993 1,266,450 Bank of America Corporation, 2.592%, 4/29/2031 ^ 1,680,000 1,779,274 1,800,554 Bank of America Corporation, 2.831%, 10/24/2051 ^ 2,160,000 2,261,933 2,253,041 Bank of America Corporation, 3.093%, 10/1/2025 ^ 640,000 689,930 692,810 Bank of America Corporation, 3.194%, 7/23/2030 ^ 325,000 359,986 364,224 Bank of America Corporation, 3.3%, 1/11/2023 245,000 258,885 259,751 Bank of America Corporation, 3.5%, 4/19/2026 90,000 88,914 102,000





Principal



Bank of America Corporation, 3.55%, 3/5/2024 ^ 40,000 40,093$ 42,732$ Bank of America Corporation, 3.593%, 7/21/2028 ^ 400,000 389,115 454,408 Bank of America Corporation, 3.97%, 3/5/2029 ^ 600,000 652,151 700,554 Bank of America Corporation, 3.974%, 2/7/2030 ^ 110,000 115,256 129,562 Bank of America Corporation, 4%, 1/22/2025 360,000 358,343 404,525 Bank of America Corporation, 4.083%, 3/20/2051 ^ 390,000 429,730 492,519 Bank of America Corporation, 4.2%, 8/26/2024 160,000 161,502 179,117 Bank of America Corporation, 4.25%, 10/22/2026 20,000 21,865 23,459 Bank of America Corporation, 4.33%, 3/15/2050 ^ 185,000 233,204 242,715 Bank of America Corporation, 4.45%, 3/3/2026 350,000 400,239 407,942 Bank of America Corporation, 5%, 1/21/2044 90,000 93,406 126,333 Bank of Montreal, 1.85%, 5/1/2025 140,000 139,908 146,976 Bank of Montreal, 3.803%, 12/15/2032 ^ 10,000 9,399 11,335 Bank of New York Mellon Corporation/The, 1.6%, 4/24/2025 30,000 29,990 31,364 Bank of New York Mellon Corporation/The, 3.442%, 2/7/2028 ^ 260,000 296,425 296,883 Bank of Nova Scotia/The, 1.3%, 6/11/2025 80,000 79,842 82,084 Bank of Nova Scotia/The, 2%, 11/15/2022 210,000 216,487 216,862 Barclays Bank PLC, 1.7%, 5/12/2022 ^ 585,000 591,483 595,346 Barclays PLC, 4.972%, 5/16/2029 ^ 200,000 200,087 239,922 Barclays PLC, 5.088%, 6/20/2030 1,340,000 1,568,436 1,607,442 Berkshire Hathaway Finance Corporation, 4.25%, 1/15/2049 80,000 79,210 106,272 BNP Paribas, 2.219%, 6/9/2026 ^ 200,000 200,000 209,326 BNP Paribas, 4.705%, 1/10/2025 ^ 700,000 763,807 778,001 BNP Paribas, 5.198%, 1/10/2030 ^ 1,400,000 1,700,686 1,736,270 Canadian Imperial Bank of Commerce, 0.95%, 6/23/2023 80,000 79,963 81,058 Citibank, N.A., 0.824%, 5/20/2022 ^ 580,000 581,204 581,015 Citigroup Inc., 1.678%, 5/15/2024 ^ 80,000 80,000 82,409 Citigroup Inc., 2.572%, 6/3/2031 ^ 1,330,000 1,388,310 1,417,594 Citigroup Inc., 3.106%, 4/8/2026 ^ 150,000 160,261 163,884 Citigroup Inc., 3.352%, 4/24/2025 ^ 505,000 545,065 549,024 Citigroup Inc., 3.4%, 5/1/2026 390,000 433,818 438,975 Citigroup Inc., 3.98%, 3/20/2030 ^ 20,000 20,067 23,520 Citigroup Inc., 4.075%, 4/23/2029 ^ 400,000 394,594 469,154 Citigroup Inc., 4.3%, 11/20/2026 40,000 40,016 46,568 Citigroup Inc., 4.4%, 6/10/2025 10,000 10,116 11,433 Citigroup Inc., 4.412%, 3/31/2031 ^ 170,000 182,716 206,152 Citigroup Inc., 4.45%, 9/29/2027 130,000 131,153 153,678 Citigroup Inc., 4.65%, 7/23/2048 695,000 904,286 959,401 Citigroup Inc., 4.75%, 5/18/2046 10,000 10,153 13,360





Principal



Citigroup Inc., 5.5%, 9/13/2025 1,250,000 1,481,950$ 1,502,042$ Citigroup Inc., 6.3%, 12/29/2049 ^ 90,000 93,809 97,560 Citigroup Inc., 6.625%, 6/15/2032 20,000 23,721 28,352 Citigroup Inc., 8.125%, 7/15/2039 485,000 819,929 866,955 Cooperatieve Rabobank U.A., 1.339%, 6/24/2026 ^ 1,000,000 1,014,320 1,021,140 Cooperatieve Rabobank U.A., 3.125%, 4/26/2021 290,000 289,904 292,559 Cooperatieve Rabobank U.A., 4.625%, 12/1/2023 500,000 508,659 557,276 Credit Agricole S.A., 1.907%, 6/16/2026 ^ 500,000 507,356 518,603 Credit Suisse AG, 2.95%, 4/9/2025 250,000 249,631 274,248 Credit Suisse Group AG, 2.193%, 6/5/2026 ^ 350,000 350,000 365,768 Credit Suisse Group AG, 4.194%, 4/1/2031 ^ 1,250,000 1,422,799 1,471,217 Danske Bank A/S, 1.226%, 6/22/2024 280,000 280,000 283,275 Danske Bank A/S, 5.375%, 1/12/2024 1,200,000 1,333,564 1,353,792 Equinix, Inc., 2.95%, 9/15/2051 260,000 255,213 262,533 Goldman Sachs Capital II, 4%, 12/29/2049 28,000 23,714 27,510 Goldman Sachs Group, Inc./The, 2.6%, 2/7/2030 1,250,000 1,337,624 1,344,565 Goldman Sachs Group, Inc./The, 2.876%, 10/31/2022 ^ 250,000 246,868 255,074 Goldman Sachs Group, Inc./The, 3.2%, 2/23/2023 40,000 39,214 42,265 Goldman Sachs Group, Inc./The, 3.272%, 9/29/2025 ^ 1,260,000 1,369,094 1,380,236 Goldman Sachs Group, Inc./The, 3.5%, 4/1/2025 90,000 94,944 99,989 Goldman Sachs Group, Inc./The, 3.5%, 11/16/2026 210,000 214,402 235,755 Goldman Sachs Group, Inc./The, 3.691%, 6/5/2028 ^ 65,000 73,503 74,882 Goldman Sachs Group, Inc./The, 3.75%, 2/25/2026 230,000 258,391 261,268 Goldman Sachs Group, Inc./The, 4%, 3/3/2024 ^ 230,000 252,992 254,144 Goldman Sachs Group, Inc./The, 4.223%, 5/1/2029 ^ 520,000 564,874 616,909 Goldman Sachs Group, Inc./The, 4.25%, 10/21/2025 80,000 80,276 91,744 Goldman Sachs Group, Inc./The, 4.75%, 10/21/2045 110,000 130,993 153,195 Goldman Sachs Group, Inc./The, 4.8%, 7/8/2044 45,000 59,735 62,251 Goldman Sachs Group, Inc./The, 5.15%, 5/22/2045 1,530,000 2,069,196 2,132,175 Goldman Sachs Group, Inc./The, 5.25%, 7/27/2021 10,000 10,105 10,281 Goldman Sachs Group, Inc./The, 6.25%, 2/1/2041 50,000 62,388 78,308 Goldman Sachs Group, Inc./The, 6.75%, 10/1/2037 40,000 49,168 61,206 Guardian Life Global Funding, 1.1%, 6/23/2025 200,000 201,995 202,855 HSBC Holdings plc, 1.645%, 4/18/2026 ^ 205,000 206,219 209,666 HSBC Holdings plc, 2.099%, 6/4/2026 ^ 200,000 200,000 207,829 HSBC Holdings plc, 2.633%, 11/7/2025 ^ 200,000 209,655 212,984 HSBC Holdings plc, 2.848%, 6/4/2031 ^ 750,000 797,049 804,630 HSBC Holdings plc, 4.3%, 3/8/2026 390,000 443,064 449,340





Principal



HSBC Holdings plc, 4.583%, 6/19/2029 540,000 574,701$ 638,848$ HSBC Holdings plc, 4.95%, 3/31/2030 200,000 214,587 250,720 International Lease Finance Corporation, 5.875%, 8/15/2022 140,000 146,769 151,270 Intesa Sanpaolo S.p.A., 3.125%, 7/14/2022 200,000 199,589 207,110 Intesa Sanpaolo S.p.A., 5.017%, 6/26/2024 200,000 198,372 218,816 JPMorgan Chase & Co., 1.514%, 6/1/2024 ^ 220,000 220,000 225,873 JPMorgan Chase & Co., 2.083%, 4/22/2026 ^ 100,000 100,000 105,613 JPMorgan Chase & Co., 2.301%, 10/15/2025 ^ 575,000 605,149 610,377 JPMorgan Chase & Co., 2.522%, 4/22/2031 ^ 1,060,000 1,125,464 1,139,354 JPMorgan Chase & Co., 2.956%, 5/13/2031 ^ 225,000 241,495 246,733 JPMorgan Chase & Co., 3.109%, 4/22/2051 ^ 480,000 520,538 534,441 JPMorgan Chase & Co., 3.625%, 5/13/2024 10,000 9,986 11,057 JPMorgan Chase & Co., 3.875%, 9/10/2024 260,000 267,268 291,152 JPMorgan Chase & Co., 3.897%, 1/23/2049 ^ 60,000 73,086 75,641 JPMorgan Chase & Co., 3.9%, 7/15/2025 320,000 361,555 363,532 JPMorgan Chase & Co., 4.005%, 4/23/2029 ^ 390,000 414,733 457,875 JPMorgan Chase & Co., 4.023%, 12/5/2024 ^ 380,000 404,518 418,619 JPMorgan Chase & Co., 4.032%, 7/24/2048 ^ 115,000 141,830 145,759 JPMorgan Chase & Co., 4.203%, 7/23/2029 ^ 30,000 30,000 35,868 JPMorgan Chase & Co., 4.25%, 10/1/2027 520,000 606,234 616,649 JPMorgan Chase & Co., 4.452%, 12/5/2029 ^ 30,000 30,000 36,603 JPMorgan Chase & Co., 4.95%, 6/1/2045 140,000 145,131 198,341 KKR Group Finance Co. II LLC, 5.5%, 2/1/2043 10,000 10,691 13,198 Lloyds Banking Group plc, 4.375%, 3/22/2028 200,000 197,722 238,029 Mastercard Incorporated, 3.35%, 3/26/2030 225,000 263,011 261,617 Mastercard Incorporated, 3.85%, 3/26/2050 160,000 199,840 206,515 MetLife, Inc., 6.4%, 12/15/2036 10,000 10,951 12,934 Mitsubishi UFJ Financial Group, Inc., 2.998%, 2/22/2022 30,000 29,879 30,899 Morgan Stanley, 2.188%, 4/28/2026 ^ 210,000 210,149 221,811 Morgan Stanley, 2.699%, 1/22/2031 ^ 820,000 880,669 892,777 Morgan Stanley, 2.72%, 7/22/2025 ^ 300,000 319,696 320,873 Morgan Stanley, 3.125%, 1/23/2023 265,000 279,094 279,673 Morgan Stanley, 3.125%, 7/27/2026 50,000 55,334 55,888 Morgan Stanley, 3.622%, 4/1/2031 ^ 460,000 493,600 535,027 Morgan Stanley, 3.772%, 1/24/2029 ^ 190,000 190,387 220,264 Morgan Stanley, 3.875%, 4/29/2024 220,000 242,619 243,720 Morgan Stanley, 4.431%, 1/23/2030 ^ 100,000 119,953 121,641 Natwest Group plc, 4.519%, 6/25/2024 ^ 200,000 200,000 218,362 Natwest Group plc, 6%, 12/19/2023 120,000 124,312 137,144





Principal



New York Life Global Funding, 0.95%, 6/24/2025 60,000 59,945$ 60,824$ Principal Life Global Funding II, 1.25%, 6/23/2025 30,000 29,978 30,627 Royal Bank of Canada, 1.15%, 6/10/2025 80,000 79,752 81,750 Royal Bank of Canada, 1.6%, 4/17/2023 90,000 89,956 92,551 Royal Bank of Canada, 3.2%, 4/30/2021 40,000 39,997 40,383 Santander Holdings USA, Inc., 4.5%, 7/17/2025 10,000 10,101 11,346 Sumitomo Mitsui Financial Group, Inc., 2.058%, 7/14/2021 20,000 19,882 20,179 Swedbank AB, 1.3%, 6/2/2023 200,000 199,811 203,862 Teachers Insurance & Annuity Association of America, 20,000 26,143 31,460

6.85%, 12/16/2039 Toronto-Dominion Bank/The, 0.75%, 6/12/2023 140,000 139,915 141,482 Toronto-Dominion Bank/The, 1.15%, 6/12/2025 80,000 79,996 81,689 Toronto-Dominion Bank/The, 1.9%, 12/1/2022 110,000 113,242 113,421 Toronto-Dominion Bank/The, 3.25%, 6/11/2021 20,000 19,999 20,263 U.S. Bancorp, 1.45%, 5/12/2025 160,000 159,839 166,048 UBS AG, 1.75%, 4/21/2022 200,000 199,829 203,559 UBS Group AG, 3.126%, 8/13/2030 ^ 650,000 723,286 727,229 UBS Group AG, 4.253%, 3/23/2028 1,170,000 1,345,372 1,369,797 UBS Group AG, 7%, 12/31/2099 ^ 200,000 211,493 219,250 UniCredit SpA, 6.572%, 1/14/2022 350,000 359,944 368,836 USAA Capital Corporation, 2.125%, 5/1/2030 150,000 149,595 157,724 Visa Inc., 1.9%, 4/15/2027 265,000 280,651 282,044 Visa Inc., 2.05%, 4/15/2030 320,000 339,988 342,246 Visa Inc., 2.7%, 4/15/2040 150,000 154,061 163,745 Visa Inc., 3.15%, 12/14/2025 130,000 128,297 145,840 Visa Inc., 4.3%, 12/14/2045 90,000 104,740 123,276 Wells Fargo & Company, 1.654%, 6/2/2024 ^ 170,000 170,000 174,740 Wells Fargo & Company, 2.188%, 4/30/2026 ^ 710,000 735,136 747,550 Wells Fargo & Company, 2.393%, 6/2/2028 ^ 360,000 360,000 383,264 Wells Fargo & Company, 2.406%, 10/30/2025 ^ 355,000 373,166 375,366 Wells Fargo & Company, 2.879%, 10/30/2030 ^ 10,000 9,955 10,910 Wells Fargo & Company, 3%, 10/23/2026 160,000 159,897 177,275 Wells Fargo & Company, 3.196%, 6/17/2027 ^ 1,315,000 1,442,791 1,458,278 Wells Fargo & Company, 3.584%, 5/22/2028 ^ 150,000 144,112 170,039 Wells Fargo & Company, 3.75%, 1/24/2024 280,000 291,503 305,673 Wells Fargo & Company, 4.15%, 1/24/2029 90,000 89,866 106,830 Wells Fargo & Company, 4.478%, 4/4/2031 ^ 2,215,000 2,672,524 2,707,954 Wells Fargo & Company, 4.65%, 11/4/2044 330,000 406,197 423,298 Wells Fargo & Company, 4.75%, 12/7/2046 100,000 112,393 130,874





Principal



Wells Fargo & Company, 4.9%, 11/17/2045 200,000 205,646$ 266,381$ Wells Fargo & Company, 5.013%, 4/4/2051 ^ 3,110,000 4,243,842 4,419,985 Wells Fargo & Company, 5.375%, 11/2/2043 70,000 76,845 97,265


Government - 1.6%Argentine Republic Government International Bond, 0.125%, 7/9/2041 800,000 375,319 302,000 Argentine Republic Government International Bond, 1%, 7/9/2029 12,697 7,149 5,507 Brazilian Government International Bond, 4.625%, 1/13/2028 200,000 217,238 224,002 Brazilian Government International Bond, 5.625%, 1/7/2041 750,000 747,130 885,750 Brazilian Government International Bond, 5.625%, 2/21/2047 2,210,000 2,578,929 2,636,530 Colombia Government International Bond, 5.625%, 2/26/2044 680,000 819,997 880,600 Indonesia Government International Bond, 4.35%, 1/11/2048 2,490,000 2,903,597 2,963,686 Mexico Government International Bond, 4.6%, 2/10/2048 1,210,000 1,322,430 1,418,737 Panama Government International Bond, 2.252%, 9/29/2032 1,240,000 1,274,332 1,277,200 Peruvian Government International Bond, 5.625%, 11/18/2050 440,000 682,368 691,900 Peruvian Government International Bond, 6.55%, 3/14/2037 210,000 281,475 318,677 Republic of Poland Government International Bond, 4%, 1/22/2024 810,000 888,196 896,974

Total Government 12,098,160 12,501,563

Industrials - 2.1%3M Company, 2.375%, 8/26/2029 40,000 39,758 43,281 3M Company, 3.05%, 4/15/2030 10,000 9,970 11,369 3M Company, 3.25%, 8/26/2049 80,000 91,274 92,495 3M Company, 3.7%, 4/15/2050 390,000 469,076 484,102 Ball Corporation, 2.875%, 8/15/2030 670,000 669,980 668,325 Boeing Company/The, 2.7%, 2/1/2027 145,000 144,391 150,821 Boeing Company/The, 2.8%, 3/1/2027 20,000 19,463 20,785 Boeing Company/The, 3.1%, 5/1/2026 10,000 9,987 10,708 Boeing Company/The, 3.2%, 3/1/2029 160,000 153,227 168,901 Boeing Company/The, 3.25%, 2/1/2035 520,000 512,178 533,262 Boeing Company/The, 3.55%, 3/1/2038 20,000 17,840 20,404 Boeing Company/The, 3.75%, 2/1/2050 40,000 38,876 42,064 Boeing Company/The, 4.508%, 5/1/2023 325,000 344,942 351,270 Boeing Company/The, 4.875%, 5/1/2025 530,000 559,730 604,151 Boeing Company/The, 5.04%, 5/1/2027 60,000 67,347 70,144 Boeing Company/The, 5.15%, 5/1/2030 1,520,000 1,753,203 1,839,582 Boeing Company/The, 5.705%, 5/1/2040 90,000 90,000 116,795 Boeing Company/The, 5.805%, 5/1/2050 970,000 1,182,962 1,336,801





Principal



Boeing Company/The, 5.93%, 5/1/2060 80,000 80,000$ 113,488$ Carrier Global Corporation, 2.7%, 2/15/2031 10,000 9,969 10,744 Carrier Global Corporation, 2.722%, 2/15/2030 280,000 300,371 299,436 Carrier Global Corporation, 3.377%, 4/5/2040 10,000 10,162 10,970 Carrier Global Corporation, 3.577%, 4/5/2050 10,000 10,173 11,190 Deere & Company, 3.1%, 4/15/2030 510,000 583,163 583,886 Deere & Company, 3.75%, 4/15/2050 120,000 138,720 155,488 Eaton Corporation, 2.75%, 11/2/2022 50,000 49,517 52,173 Eaton Corporation, 4.15%, 11/2/2042 10,000 9,918 12,670 General Dynamics Corporation, 3.75%, 5/15/2028 50,000 49,783 58,495 General Dynamics Corporation, 4.25%, 4/1/2040 305,000 387,925 397,021 General Dynamics Corporation, 4.25%, 4/1/2050 100,000 130,143 136,025 General Electric Company, 3.45%, 5/1/2027 20,000 19,972 22,621 General Electric Company, 3.625%, 5/1/2030 480,000 514,373 548,586 General Electric Company, 4.25%, 5/1/2040 20,000 19,945 23,644 General Electric Company, 4.35%, 5/1/2050 370,000 412,622 449,975 General Electric Company, 5.875%, 1/14/2038 70,000 80,390 94,874 General Electric Company, 6.75%, 3/15/2032 20,000 20,972 28,041 General Electric Company, 6.875%, 1/10/2039 970,000 1,297,517 1,427,920 Honeywell International Inc., 1.35%, 6/1/2025 60,000 59,995 62,165 Honeywell International Inc., 1.95%, 6/1/2030 340,000 358,162 359,240 L3Harris Technologies, Inc., 4.4%, 6/15/2028 50,000 50,317 59,954 L3Harris Technologies, Inc., 5.054%, 4/27/2045 30,000 32,908 41,479 Lockheed Martin Corporation, 3.55%, 1/15/2026 30,000 29,830 34,077 Lockheed Martin Corporation, 4.5%, 5/15/2036 280,000 345,164 368,924 Northrop Grumman Corporation, 2.93%, 1/15/2025 10,000 9,609 10,877 Northrop Grumman Corporation, 3.25%, 1/15/2028 450,000 481,917 508,866 Northrop Grumman Corporation, 4.03%, 10/15/2047 150,000 184,198 188,208 Northrop Grumman Corporation, 5.25%, 5/1/2050 440,000 641,597 654,077 Otis Worldwide Corporation, 2.056%, 4/5/2025 40,000 40,000 42,394 Raytheon Technologies Corporation, 2.25%, 7/1/2030 70,000 69,915 74,354 Raytheon Technologies Corporation, 3.15%, 12/15/2024 30,000 32,273 32,589 Raytheon Technologies Corporation, 3.95%, 8/16/2025 130,000 129,341 149,099 Raytheon Technologies Corporation, 4.5%, 6/1/2042 675,000 867,440 880,208 Republic Services, Inc., 2.5%, 8/15/2024 30,000 29,965 32,036 TransDigm Inc., 6.25%, 3/15/2026 40,000 40,895 42,600 TransDigm Inc., 8%, 12/15/2025 20,000 21,404 22,106 Union Pacific Corporation, 2.15%, 2/5/2027 50,000 49,969 53,049 Union Pacific Corporation, 2.4%, 2/5/2030 700,000 748,401 753,559





Principal



Union Pacific Corporation, 3.25%, 2/5/2050 425,000 466,210$ 484,499$ Union Pacific Corporation, 3.75%, 7/15/2025 10,000 10,000 11,347 Union Pacific Corporation, 3.75%, 2/5/2070 60,000 61,453 72,575 Union Pacific Corporation, 3.839%, 3/20/2060 380,000 442,368 470,378 Union Pacific Corporation, 3.95%, 9/10/2028 155,000 177,421 184,015

Total Industrials 15,680,591 16,595,182

Technology - 1.7%Apple Inc., 1.125%, 5/11/2025 170,000 170,571 174,822 Apple Inc., 2.45%, 8/4/2026 60,000 56,934 65,491 Apple Inc., 2.75%, 1/13/2025 110,000 118,885 119,346 Apple Inc., 2.9%, 9/12/2027 720,000 786,178 805,261 Apple Inc., 4.375%, 5/13/2045 385,000 519,129 527,629 Broadcom Inc., 2.25%, 11/15/2023 100,000 99,992 104,438 Broadcom Inc., 3.15%, 11/15/2025 900,000 960,559 982,757 Broadcom Inc., 4.15%, 11/15/2030 690,000 788,540 798,856 Broadcom Inc., 4.7%, 4/15/2025 140,000 145,544 160,435 Intel Corporation, 3.25%, 11/15/2049 190,000 213,147 212,659 Intel Corporation, 3.7%, 7/29/2025 10,000 10,143 11,315 Intel Corporation, 4.6%, 3/25/2040 790,000 1,049,754 1,042,957 Intel Corporation, 4.75%, 3/25/2050 25,000 34,778 34,889 International Business Machines Corporation, 3%, 5/15/2024 720,000 772,613 779,962 Micron Technology, Inc., 2.497%, 4/24/2023 70,000 70,000 72,941 Microsoft Corporation, 2.4%, 8/8/2026 160,000 149,978 174,558 Microsoft Corporation, 2.525%, 6/1/2050 720,000 752,615 759,272 Microsoft Corporation, 2.675%, 6/1/2060 43,000 44,407 46,599 Microsoft Corporation, 2.7%, 2/12/2025 630,000 682,200 684,395 Microsoft Corporation, 2.875%, 2/6/2024 40,000 39,618 42,966 Microsoft Corporation, 3.3%, 2/6/2027 520,000 572,535 593,349 Microsoft Corporation, 3.45%, 8/8/2036 265,000 321,674 326,779 Microsoft Corporation, 3.5%, 2/12/2035 885,000 1,093,168 1,090,053 Microsoft Corporation, 3.95%, 8/8/2056 17,000 16,901 23,346 NVIDIA Corporation, 2.85%, 4/1/2030 515,000 571,922 579,342 NVIDIA Corporation, 3.5%, 4/1/2040 90,000 91,556 108,083 NVIDIA Corporation, 3.5%, 4/1/2050 1,210,000 1,419,193 1,467,837 NVIDIA Corporation, 3.7%, 4/1/2060 190,000 217,902 244,129 NXP BV / NXP Funding LLC / NXP USA Inc., 2.7%, 5/1/2025 40,000 40,186 43,052 Oracle Corporation, 2.95%, 11/15/2024 110,000 119,163 119,675





Principal


Corporate Bonds - 32.2% (continued)Technology - 1.7% (continued)

salesforce.com, inc., 3.25%, 4/11/2023 20,000 19,994$ 21,306$ salesforce.com, inc., 3.7%, 4/11/2028 50,000 50,152 58,996 Texas Instruments Incorporated, 1.75%, 5/4/2030 40,000 39,933 41,483 TSMC Global, Ltd., 0.75%, 9/28/2025 200,000 199,824 199,208 TSMC Global, Ltd., 1.375%, 9/28/2030 695,000 683,777 682,294

Total Technology 12,923,465 13,200,480

Utilities - 0.5%Consolidated Edison Company of New York, Inc., 3.35%, 4/1/2030 20,000 19,957 22,919 Consolidated Edison Company of New York, Inc., 3.95%, 4/1/2050 20,000 19,869 24,368 Duke Energy Corporation, 3.55%, 9/15/2021 20,000 20,039 20,285 Duke Energy Florida, LLC, 3.85%, 11/15/2042 95,000 110,923 113,376 Duke Energy Indiana, LLC, 2.75%, 4/1/2050 100,000 101,100 103,982 Duke Energy Ohio, Inc., 3.65%, 2/1/2029 70,000 69,930 81,098 Exelon Corporation, 5.625%, 6/15/2035 15,000 17,562 20,288 FirstEnergy Corp., 1.6%, 1/15/2026 30,000 30,023 29,321 FirstEnergy Corp., 4.4%, 7/15/2027 1,010,000 1,092,770 1,113,319 FirstEnergy Corp., 5.35%, 7/15/2047 590,000 665,993 734,252 FirstEnergy Corp., 7.375%, 11/15/2031 480,000 610,737 684,463 Pacific Gas and Electric Company, 1.75%, 6/16/2022 110,000 109,995 110,310 Pacific Gas and Electric Company, 2.1%, 8/1/2027 580,000 579,087 590,220 Pacific Gas and Electric Company, 2.5%, 2/1/2031 50,000 49,950 50,183 Pacific Gas and Electric Company, 3.3%, 8/1/2040 20,000 19,902 19,961 Pacific Gas and Electric Company, 3.5%, 8/1/2050 20,000 19,875 19,878

Total Utilities 3,537,712 3,738,223 Total Corporate Bonds 243,784,347 253,147,548

Mortgage-Backed Securities - 23.7%BANK 2017-BNK7, 3.435%, 9/15/2060 100,000 99,333 113,785 BBCCRE Trust 2015-GTP, 4.563%, 8/10/2033 160,000 150,564 151,429 Citigroup Mortgage Loan Trust 2018-C, 4.125%, 3/25/2059 539,334 543,463 539,378 COMM 2013-CCRE12 Mortgage Trust, 4.3%, 10/10/2046 20,000 20,742 20,937 COMM 2013-CCRE12 Mortgage Trust, 4.762%, 10/10/2046 20,000 20,683 20,427 COMM 2013-CCRE12 Mortgage Trust, 5.074%, 10/10/2046 10,000 10,000 9,875 Connecticut Avenue Securities Trust 2019-R05, 2.13%, 7/25/2039 142,699 143,051 142,573 Connecticut Avenue Securities Trust 2019-R07, 2.23%, 10/25/2039 207,116 207,939 206,433 Credit Suisse Mortgage Capital Certificates 2019-ICE4,

1.106%, 5/15/2036 3,550,000 3,551,072 3,554,755





Principal


Mortgage-Backed Securities - 23.7% (continued)CSMC 2019-RPL8 Trust, 3.322%, 10/25/2058 696,365 696,365$ 702,044$ CSMC 2020-RPL5 Trust, 3.023%, 8/25/2060 284,268 284,263 285,077 Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2006-PR1, 1,140,330 237,626 347,652

10.22%, 4/15/2036 Fannie Mae 30 Year Pool, 4%, 12/31/2025 400,000 431,219 431,153 Fannie Mae 30 YR TBA 1.5 Single Family Mortgage, 1.5%, 1/16/2036 4,600,000 4,709,930 4,732,969 Fannie Mae 30 YR TBA 2 Single Family Mortgage, 2%, 1/21/2051 14,500,000 15,005,137 15,062,415 Fannie Mae 30 YR TBA 2 Single Family Mortgage, 2%, 2/12/2051 8,400,000 8,679,047 8,711,099 Fannie Mae 30 YR TBA 2.5 Single Family Mortgage, 2.5%, 1/14/2051 8,100,000 8,495,273 8,538,539 Fannie Mae 30 YR TBA 5 Single Family Mortgage, 5%, 1/14/2051 2,900,000 3,209,031 3,209,371 Fannie Mae Connecticut Avenue Securities, 2.28%, 10/25/2030 340,148 340,039 339,501 Fannie Mae Connecticut Avenue Securities, 2.38%, 7/25/2030 225,983 223,372 224,849 Fannie Mae Connecticut Avenue Securities, 2.48%, 1/25/2031 582,569 576,886 583,309 Fannie Mae Connecticut Avenue Securities, 3.88%, 3/25/2031 730,000 736,372 728,172 Fannie Mae Interest Strip, 4%, 11/25/2041 230,376 24,284 31,256 Fannie Mae Interest Strip, 4%, 4/25/2042 145,073 14,222 21,212 Fannie Mae Interest Strip, 5%, 1/25/2038 35,215 1,928 5,956 Fannie Mae Pool 254793, 5%, 7/1/2033 6,489 7,005 7,486 Fannie Mae Pool 449180, 6.5%, 12/1/2028 1,630 1,819 1,826 Fannie Mae Pool 555743, 5%, 9/1/2033 9,021 9,741 10,396 Fannie Mae Pool 555800, 5.5%, 10/1/2033 2,428 2,665 2,824 Fannie Mae Pool 725162, 6%, 2/1/2034 2,900 3,263 3,470 Fannie Mae Pool 745000, 6%, 10/1/2035 7,543 8,427 9,065 Fannie Mae Pool 745959, 5.5%, 11/1/2036 73,812 81,040 86,717 Fannie Mae Pool 836852, 2.516%, 10/1/2035 50,924 52,989 52,598 Fannie Mae Pool 843823, 2.487%, 11/1/2035 35,891 37,442 37,054 Fannie Mae Pool 843997, 2.571%, 11/1/2035 14,404 15,031 14,919 Fannie Mae Pool 888560, 6%, 11/1/2035 25,848 29,107 31,028 Fannie Mae Pool 889117, 5%, 10/1/2035 31,766 34,297 36,685 Fannie Mae Pool 889224, 5.5%, 1/1/2037 43,585 47,876 51,233 Fannie Mae Pool 890248, 6%, 8/1/2037 54,043 60,860 64,946 Fannie Mae Pool 890604, 4.5%, 10/1/2044 29,527 31,266 33,011 Fannie Mae Pool 890843, 3%, 9/1/2047 68,546 67,391 73,934 Fannie Mae Pool 899496, 6%, 5/1/2037 76,298 85,281 87,072 Fannie Mae Pool 924874, 7%, 10/1/2037 918 975 978 Fannie Mae Pool 928938, 7%, 12/1/2037 3,082 3,539 3,741 Fannie Mae Pool 934648, 7%, 11/1/2038 7,534 8,755 8,966 Fannie Mae Pool 955183, 7%, 11/1/2037 4,763 5,187 5,396 Fannie Mae Pool 974156, 7%, 2/1/2038 1,648 1,795 1,894 Fannie Mae Pool 985626, 6%, 4/1/2033 15,237 17,100 18,235





Principal


Mortgage-Backed Securities - 23.7% (continued)Fannie Mae Pool 991549, 7%, 11/1/2038 4,415 4,711$ 4,913$ Fannie Mae Pool 995072, 5.5%, 8/1/2038 18,159 19,955 21,348 Fannie Mae Pool AE0758, 7%, 2/1/2039 52,353 58,820 60,548 Fannie Mae Pool AI1863, 5%, 5/1/2041 15,478 16,771 17,996 Fannie Mae Pool AI1892, 5%, 5/1/2041 46,418 50,317 53,900 Fannie Mae Pool AI2433, 5%, 5/1/2041 21,131 22,912 24,449 Fannie Mae Pool AL0476, 5%, 11/1/2040 37,901 41,004 44,067 Fannie Mae Pool AL1469, 7%, 2/1/2039 38,982 44,013 45,039 Fannie Mae Pool AL1470, 7%, 4/1/2037 16,760 19,269 19,930 Fannie Mae Pool AL3024, 3.5%, 1/1/2043 142,878 143,780 155,970 Fannie Mae Pool AL4741, 4.5%, 1/1/2044 36,104 38,059 40,349 Fannie Mae Pool AL6613, 2.5%, 6/1/2028 32,221 33,874 33,886 Fannie Mae Pool AL9546, 3.5%, 11/1/2046 86,038 92,375 92,055 Fannie Mae Pool AL9631, 3%, 12/1/2046 64,003 62,653 69,329 Fannie Mae Pool AO6792, 4%, 6/1/2042 16,622 17,074 17,753 Fannie Mae Pool AP9766, 4%, 10/1/2042 117,792 121,657 129,197 Fannie Mae Pool AS6340, 3.5%, 12/1/2045 48,558 48,796 52,521 Fannie Mae Pool AS6541, 3.5%, 1/1/2046 51,641 51,938 56,458 Fannie Mae Pool AS6562, 3.5%, 1/1/2046 46,366 46,593 50,344 Fannie Mae Pool AS7533, 3%, 7/1/2046 55,369 54,436 59,794 Fannie Mae Pool AS7738, 3%, 8/1/2046 70,339 67,057 76,378 Fannie Mae Pool AS8623, 3%, 1/1/2047 64,269 62,860 69,382 Fannie Mae Pool AS8745, 3%, 2/1/2047 128,520 125,807 139,332 Fannie Mae Pool AS9453, 4%, 4/1/2047 89,146 91,937 96,578 Fannie Mae Pool BC9681, 3%, 6/1/2046 53,507 52,421 56,262 Fannie Mae Pool BD2455, 3%, 1/1/2047 124,472 121,740 134,216 Fannie Mae Pool BF0145, 3.5%, 3/1/2057 254,248 254,477 280,927 Fannie Mae Pool BF0222, 4.5%, 9/1/2057 63,146 66,227 72,229 Fannie Mae Pool BF0301, 4.5%, 8/1/2058 561,692 640,680 642,202 Fannie Mae Pool BH4095, 4%, 10/1/2047 135,955 145,716 146,007 Fannie Mae Pool BH4101, 3.5%, 10/1/2047 189,863 188,996 201,220 Fannie Mae Pool BH9923, 3.5%, 9/1/2047 117,004 125,075 124,343 Fannie Mae Pool BJ2763, 4.5%, 5/1/2048 75,220 81,878 82,189 Fannie Mae Pool BJ9257, 4.5%, 6/1/2048 58,602 64,274 64,864 Fannie Mae Pool BK4814, 4.5%, 9/1/2048 43,170 46,553 46,824 Fannie Mae Pool BL2454, 3.16%, 5/1/2029 29,397 29,586 33,304 Fannie Mae Pool BL3540, 2.79%, 8/1/2029 100,000 101,910 112,688 Fannie Mae Pool BL5850, 2.26%, 4/1/2030 98,694 102,046 107,221 Fannie Mae Pool BM1565, 3%, 4/1/2047 129,810 125,940 140,602 Fannie Mae Pool BM1948, 6%, 7/1/2041 51,844 62,522 62,976





Principal


Mortgage-Backed Securities - 23.7% (continued)Fannie Mae Pool BM2000, 3.5%, 5/1/2047 171,170 182,537$ 182,199$ Fannie Mae Pool BM2005, 4%, 12/1/2047 39,892 42,793 42,794 Fannie Mae Pool BM3933, 4.5%, 5/1/2048 139,960 154,554 153,766 Fannie Mae Pool BM4340, 3%, 3/1/2047 943,687 910,694 994,180 Fannie Mae Pool BM4751, 3.5%, 3/1/2043 65,686 67,070 71,363 Fannie Mae Pool BM4897, 3.5%, 12/1/2046 66,537 67,939 71,707 Fannie Mae Pool BM5119, 4.5%, 12/1/2048 204,057 223,805 224,547 Fannie Mae Pool BM5317, 4.5%, 1/1/2049 49,239 53,621 54,008 Fannie Mae Pool BM5521, 3.5%, 7/1/2048 150,615 151,508 159,808 Fannie Mae Pool BN0302, 4.5%, 12/1/2048 146,401 159,061 160,630 Fannie Mae Pool BN1623, 4.5%, 11/1/2048 59,960 65,725 66,410 Fannie Mae Pool BN7652, 3%, 7/1/2049 294,535 298,856 314,700 Fannie Mae Pool BN7753, 3%, 9/1/2049 174,509 178,159 186,479 Fannie Mae Pool BO0968, 4%, 6/1/2049 66,473 68,900 71,054 Fannie Mae Pool BO2252, 3.5%, 10/1/2049 83,699 87,253 91,127 Fannie Mae Pool BO7625, 3%, 3/1/2050 88,491 91,261 93,604 Fannie Mae Pool BO9692, 3%, 1/1/2050 14,121 14,591 15,077 Fannie Mae Pool BP2319, 3%, 2/1/2050 178,187 189,713 189,519 Fannie Mae Pool BP5487, 3%, 6/1/2050 95,684 101,881 102,276 Fannie Mae Pool BP8713, 3%, 8/1/2050 297,703 316,681 316,429 Fannie Mae Pool BQ6331, 2%, 11/1/2050 299,405 311,551 311,047 Fannie Mae Pool BQ6341, 3%, 11/1/2050 97,995 104,632 104,624 Fannie Mae Pool CA0717, 4.5%, 11/1/2047 109,554 118,566 119,092 Fannie Mae Pool CA1053, 3.5%, 1/1/2048 99,482 106,158 105,513 Fannie Mae Pool CA1565, 4.5%, 4/1/2048 44,652 48,555 48,646 Fannie Mae Pool CA2047, 4.5%, 7/1/2048 54,491 59,518 60,459 Fannie Mae Pool CA2199, 4.5%, 8/1/2048 159,174 174,454 174,914 Fannie Mae Pool CA2471, 4%, 10/1/2048 188,623 201,725 202,505 Fannie Mae Pool CA2482, 4.5%, 10/1/2048 56,389 61,591 62,318 Fannie Mae Pool CA2652, 5%, 11/1/2048 119,075 124,576 131,705 Fannie Mae Pool CA3055, 4.5%, 2/1/2049 45,799 50,031 50,234 Fannie Mae Pool CA3493, 4%, 5/1/2049 226,051 244,259 245,028 Fannie Mae Pool CA3842, 4.5%, 7/1/2049 58,893 64,364 64,130 Fannie Mae Pool CA3860, 3.5%, 7/1/2049 132,295 138,003 142,631 Fannie Mae Pool CA4033, 4.5%, 8/1/2049 120,196 131,051 130,885 Fannie Mae Pool CA4110, 3%, 9/1/2049 76,981 78,976 81,932 Fannie Mae Pool CA4133, 3%, 9/1/2049 81,489 83,956 88,132 Fannie Mae Pool CA4823, 4%, 12/1/2049 72,924 76,851 77,890 Fannie Mae Pool CA4979, 3%, 1/1/2050 88,414 90,180 93,331 Fannie Mae Pool CA5164, 3.5%, 2/1/2050 77,104 82,267 81,826





Principal


Mortgage-Backed Securities - 23.7% (continued)Fannie Mae Pool CA5225, 3%, 2/1/2050 356,944 372,431$ 387,197$ Fannie Mae Pool CA5379, 4.5%, 3/1/2050 89,728 99,000 99,836 Fannie Mae Pool CA5561, 3.5%, 4/1/2050 82,584 88,114 87,221 Fannie Mae Pool CA6000, 3%, 6/1/2050 93,521 99,140 99,938 Fannie Mae Pool CA6053, 3%, 6/1/2050 188,888 200,384 201,848 Fannie Mae Pool CA6097, 3.5%, 6/1/2050 11,385,276 12,153,015 12,148,349 Fannie Mae Pool CA6427, 3%, 7/1/2050 379,978 401,151 401,939 Fannie Mae Pool CA7944, 3%, 11/1/2035 595,775 637,482 638,694 Fannie Mae Pool CA8377, 1.5%, 12/1/2035 100,000 102,938 103,334 Fannie Mae Pool FM0062, 3.5%, 2/1/2050 553,195 592,825 593,607 Fannie Mae Pool FM1098, 4%, 5/1/2049 114,253 123,634 123,767 Fannie Mae Pool FM1263, 4.5%, 7/1/2049 322,801 351,942 351,505 Fannie Mae Pool FM1539, 4.5%, 9/1/2049 53,006 57,904 57,513 Fannie Mae Pool FM1637, 4.5%, 5/1/2049 116,635 124,666 128,659 Fannie Mae Pool FM1671, 4.5%, 10/1/2049 74,143 80,270 81,806 Fannie Mae Pool FM1727, 5%, 9/1/2049 257,438 288,948 290,780 Fannie Mae Pool FM1789, 3%, 11/1/2049 134,786 139,498 143,729 Fannie Mae Pool FM2075, 3%, 12/1/2049 171,207 174,628 183,457 Fannie Mae Pool FM2201, 4%, 1/1/2048 287,908 309,119 308,412 Fannie Mae Pool FM2333, 3.5%, 2/1/2050 155,767 162,891 165,869 Fannie Mae Pool FM2378, 4.5%, 1/1/2050 60,617 63,589 66,007 Fannie Mae Pool FM2761, 5%, 3/1/2050 415,628 465,329 460,040 Fannie Mae Pool FM3002, 4.5%, 11/1/2049 70,850 76,933 77,202 Fannie Mae Pool FM3083, 4.5%, 10/1/2049 136,034 148,138 146,992 Fannie Mae Pool FM3141, 3.5%, 11/1/2048 224,051 239,016 238,423 Fannie Mae Pool FM3154, 5%, 9/1/2049 73,578 80,699 81,237 Fannie Mae Pool FM3155, 5%, 12/1/2049 69,019 75,280 76,203 Fannie Mae Pool FM3158, 4%, 11/1/2048 77,265 84,333 84,157 Fannie Mae Pool FM3250, 3.5%, 5/1/2050 80,468 85,907 86,500 Fannie Mae Pool FM3278, 3.5%, 11/1/2048 515,073 544,980 544,349 Fannie Mae Pool FM3347, 3.5%, 5/1/2047 675,828 722,234 720,441 Fannie Mae Pool FM3445, 4%, 9/1/2048 1,697,882 1,835,680 1,812,060 Fannie Mae Pool FM3469, 3.5%, 8/1/2048 223,234 238,636 238,232 Fannie Mae Pool FM3773, 3.5%, 11/1/2048 939,991 1,004,615 1,006,617 Fannie Mae Pool FM3785, 4%, 7/1/2050 1,761,119 1,907,101 1,910,490 Fannie Mae Pool FM3957, 5%, 3/1/2050 87,754 97,920 97,071 Fannie Mae Pool FM4000, 4%, 1/1/2049 5,306,792 5,682,866 5,664,285 Fannie Mae Pool FM4281, 3.5%, 8/1/2050 189,460 205,009 206,794 Fannie Mae Pool FM4308, 3.5%, 5/1/2048 80,776 85,380 85,347 Fannie Mae Pool FM4532, 3%, 9/1/2050 1,800,998 1,911,462 1,909,911





Principal


Mortgage-Backed Securities - 23.7% (continued)Fannie Mae Pool FM4925, 3%, 11/1/2050 199,676 214,152$ 213,376$ Fannie Mae Pool FM5315, 3.5%, 6/1/2049 100,000 106,043 106,191 Fannie Mae Pool FM5370, 3%, 12/1/2048 300,000 317,714 316,782 Fannie Mae Pool MA0913, 4.5%, 11/1/2031 15,276 16,045 16,824 Fannie Mae Pool MA0939, 4.5%, 12/1/2031 17,847 18,758 19,727 Fannie Mae Pool MA1253, 4%, 11/1/2042 31,814 32,856 34,869 Fannie Mae Pool MA1582, 3.5%, 9/1/2043 221,056 222,724 241,503 Fannie Mae Pool MA1591, 4.5%, 9/1/2043 81,600 86,019 91,199 Fannie Mae Pool MA1629, 4.5%, 10/1/2043 78,171 82,413 87,363 Fannie Mae Pool MA1664, 4.5%, 11/1/2043 40,124 42,306 44,849 Fannie Mae Pool MA1711, 4.5%, 12/1/2043 39,993 42,162 44,696 Fannie Mae Pool MA2806, 3%, 11/1/2046 249,899 238,901 263,907 Fannie Mae Pool MA2832, 3%, 12/1/2036 99,555 105,561 105,255 Fannie Mae Pool MA3058, 4%, 7/1/2047 421,313 450,773 452,964 Fannie Mae Pool MA3149, 4%, 10/1/2047 124,102 133,370 133,136 Fannie Mae Pool MA3501, 5%, 10/1/2048 74,490 78,237 82,472 Fannie Mae Pool MA3527, 5%, 11/1/2048 113,465 123,465 125,632 Fannie Mae Pool MA3890, 3%, 1/1/2040 411,285 420,168 431,278 Fannie Mae Pool MA4031, 4.5%, 5/1/2050 1,146,380 1,240,510 1,245,261 Fannie Mae REMICS, 0.498%, 5/25/2034 19,617 19,624 19,660 Fannie Mae REMICS, 2%, 7/25/2050 101,004 100,449 102,277 Fannie Mae REMICS, 2.5%, 8/25/2050 97,973 10,830 14,256 Fannie Mae REMICS, 2.5%, 8/25/2050 394,635 48,873 49,361 Fannie Mae REMICS, 2.5%, 10/25/2050 196,458 25,360 27,924 Fannie Mae REMICS, 2.5%, 12/25/2050 298,063 36,000 37,689 Fannie Mae REMICS, 3%, 6/25/2027 239,258 568 10,959 Fannie Mae REMICS, 5.5%, 7/25/2041 82,183 90,004 92,577 Fannie Mae REMICS, 5.5%, 4/25/2042 140,798 152,663 162,581 Fannie Mae REMICS, 6.5%, 6/25/2039 9,168 9,882 10,036 Fannie Mae REMICS, 6.5%, 7/25/2042 143,844 162,909 173,305 Fannie Mae-Aces, 2.72%, 10/25/2031 99,966 100,562 107,881 Fannie Mae-Aces, 3.45%, 1/1/2029 90,000 92,037 103,615 Fannie Mae-Aces, 3.61%, 2/25/2031 40,000 41,260 47,754 Freddie Mac Gold Pool C00730, 6%, 3/1/2029 399 449 456 Freddie Mac Gold Pool C00742, 6.5%, 4/1/2029 256 288 288 Freddie Mac Gold Pool C00785, 6.5%, 6/1/2029 752 847 843 Freddie Mac Gold Pool C00834, 6%, 7/1/2029 1,161 1,306 1,327 Freddie Mac Gold Pool C00859, 6.5%, 9/1/2029 523 588 586 Freddie Mac Gold Pool C20382, 6.5%, 1/1/2029 97 110 109





Principal


Mortgage-Backed Securities - 23.7% (continued)Freddie Mac Gold Pool C21674, 6%, 2/1/2029 6,503 7,221$ 7,315$ Freddie Mac Gold Pool C26054, 6.5%, 5/1/2029 883 994 990 Freddie Mac Gold Pool C28039, 6.5%, 6/1/2029 151 170 169 Freddie Mac Gold Pool C28051, 6%, 6/1/2029 1,128 1,253 1,267 Freddie Mac Gold Pool C28221, 6.5%, 6/1/2029 138 156 155 Freddie Mac Gold Pool C28289, 6.5%, 7/1/2029 81 91 91 Freddie Mac Gold Pool C28464, 6.5%, 7/1/2029 2,017 2,271 2,261 Freddie Mac Gold Pool C29192, 6.5%, 7/1/2029 1,422 1,601 1,594 Freddie Mac Gold Pool C29215, 6%, 7/1/2029 28,842 32,288 33,370 Freddie Mac Gold Pool C29249, 6%, 7/1/2029 4,228 4,695 4,753 Freddie Mac Gold Pool G06172, 5.5%, 12/1/2038 3,525 3,881 4,145 Freddie Mac Gold Pool G06409, 6%, 11/1/2039 35,547 39,830 42,248 Freddie Mac Gold Pool G06669, 6.5%, 9/1/2039 7,760 8,739 9,016 Freddie Mac Gold Pool G07335, 7%, 3/1/2039 11,368 12,596 13,299 Freddie Mac Gold Pool G30680, 4.5%, 7/1/2029 46,153 48,334 49,971 Freddie Mac Gold Pool G60985, 3%, 5/1/2047 187,969 182,336 203,605 Freddie Mac Gold Pool G61374, 4.5%, 4/1/2048 48,576 52,943 53,422 Freddie Mac Gold Pool G67701, 3%, 10/1/2046 116,446 113,347 126,065 Freddie Mac Gold Pool G67721, 4.5%, 4/1/2049 52,030 56,741 57,171 Freddie Mac Gold Pool Q41209, 3.5%, 6/1/2046 49,382 49,745 53,633 Freddie Mac Gold Pool Q45560, 3%, 1/1/2047 64,318 62,875 69,473 Freddie Mac Gold Pool Q45819, 3%, 1/1/2047 66,858 65,407 72,442 Freddie Mac Gold Pool Q46291, 4.5%, 2/1/2047 264,007 289,508 290,822 Freddie Mac Gold Pool Q47048, 4.5%, 3/1/2047 79,340 83,131 86,078 Freddie Mac Gold Pool Q48875, 4%, 6/1/2047 1,570,914 1,682,968 1,689,231 Freddie Mac Gold Pool Q51461, 3.5%, 10/1/2047 440,832 468,247 467,588 Freddie Mac Gold Pool Q54896, 5%, 3/1/2048 53,065 55,496 59,039 Freddie Mac Gold Pool Q59799, 5%, 11/1/2048 42,729 44,556 47,190 Freddie Mac Gold Pool U91254, 4%, 4/1/2043 88,514 91,679 97,107 Freddie Mac Gold Pool U95137, 4%, 8/1/2043 38,476 39,835 42,230 Freddie Mac Gold Pool U99091, 4.5%, 3/1/2044 44,770 47,436 50,049 Freddie Mac Gold Pool V83156, 4.5%, 4/1/2047 369,190 402,618 403,814 Freddie Mac Multiclass Certificates Series 2015-P001,

2.441%, 12/27/2028 2,980,000 506,998 498,998 Freddie Mac Multifamily Structured Pass Through Certificates,

0.762%, 9/25/2027 14,587,119 657,479 657,846 Freddie Mac Multifamily Structured Pass Through Certificates,

0.883%, 11/25/2030 14,380,000 1,068,711 1,070,953





Principal


Mortgage-Backed Securities - 23.7% (continued)Freddie Mac Multifamily Structured Pass Through Certificates,

1.029%, 10/25/2030 14,000,000 1,170,870$ 1,185,384$ Freddie Mac Multifamily Structured Pass Through Certificates,

1.334%, 7/25/2035 339,918 48,543 51,675 Freddie Mac Non Gold Pool, 2.722%, 11/1/2029 3,064 3,158 3,067 Freddie Mac Pool QA6963, 3%, 2/1/2050 340,746 362,202 362,417 Freddie Mac Pool QB1639, 3%, 7/1/2050 97,647 103,972 104,418 Freddie Mac Pool QB3497, 3%, 9/1/2050 348,348 364,310 365,331 Freddie Mac Pool RA1084, 4.5%, 7/1/2049 61,342 66,685 67,729 Freddie Mac Pool RA1103, 3%, 7/1/2049 70,888 71,751 75,141 Freddie Mac Pool RA1293, 3%, 9/1/2049 81,527 83,111 87,873 Freddie Mac Pool RA1341, 3%, 9/1/2049 77,808 79,363 83,339 Freddie Mac Pool RA1493, 3%, 10/1/2049 239,049 243,955 255,461 Freddie Mac Pool RA2313, 3.5%, 3/1/2050 165,763 174,507 176,557 Freddie Mac Pool RA2362, 3.5%, 3/1/2050 86,632 90,992 91,693 Freddie Mac Pool RA2608, 4.5%, 5/1/2050 74,305 80,569 80,376 Freddie Mac Pool RA3175, 3%, 7/1/2050 289,977 310,843 309,001 Freddie Mac Pool RA3474, 3%, 9/1/2050 98,208 105,351 104,651 Freddie Mac Pool SD0291, 5%, 3/1/2050 2,076,850 2,277,358 2,295,875 Freddie Mac Pool SD0461, 3%, 11/1/2050 11,678,608 12,482,484 12,497,047 Freddie Mac Pool SD8065, 4.5%, 5/1/2050 2,616,879 2,845,249 2,841,137 Freddie Mac Pool ZA4510, 4%, 11/1/2044 107,301 110,544 117,271 Freddie Mac Pool ZA5318, 3.5%, 3/1/2048 53,748 57,506 57,499 Freddie Mac Pool ZA5433, 3.5%, 6/1/2048 164,649 165,804 175,787 Freddie Mac Pool ZA5454, 4%, 6/1/2048 170,960 184,035 184,029 Freddie Mac Pool ZA6342, 4.5%, 3/1/2049 248,754 271,356 274,269 Freddie Mac Pool ZA6680, 4%, 4/1/2049 59,937 64,952 65,423 Freddie Mac Pool ZJ9420, 3.5%, 1/1/2032 126,306 129,035 137,076 Freddie Mac Pool ZM3481, 3.5%, 6/1/2047 49,580 49,857 53,611 Freddie Mac Pool ZM3653, 3.5%, 7/1/2047 2,382,659 2,539,565 2,538,042 Freddie Mac Pool ZM5146, 4%, 12/1/2047 143,285 153,863 153,403 Freddie Mac Pool ZM5284, 4%, 1/1/2048 988,037 1,059,285 1,057,316 Freddie Mac Pool ZS0823, 5%, 12/1/2034 5,194 5,597 6,040 Freddie Mac Pool ZS4697, 3%, 1/1/2047 52,609 55,622 55,511 Freddie Mac Pool ZS4699, 4%, 1/1/2047 42,865 45,066 46,322 Freddie Mac Pool ZS8673, 3%, 10/1/2032 48,558 51,259 50,983 Freddie Mac Pool ZT1257, 3%, 1/1/2046 213,845 233,065 233,358 Freddie Mac Pool ZT1596, 5%, 1/1/2049 76,736 80,382 84,795 Freddie Mac Pool ZT1854, 4.5%, 3/1/2049 3,990,669 4,374,411 4,377,123 Freddie Mac Reference REMIC, 6%, 5/15/2036 45,492 49,978 54,031





Principal


Mortgage-Backed Securities - 23.7% (continued)Freddie Mac REMICS, 2%, 10/25/2050 99,203 12,081$ 12,872$ Freddie Mac REMICS, 2.5%, 9/25/2050 98,043 10,240 11,918 Freddie Mac REMICS, 2.5%, 9/25/2050 99,187 10,763 14,835 Freddie Mac REMICS, 2.5%, 9/25/2050 196,965 22,429 28,300 Freddie Mac REMICS, 2.5%, 11/25/2050 99,397 11,686 12,410 Freddie Mac REMICS, 6.104%, 1/15/2040 111,226 4,686 24,054 Freddie Mac REMICS, 6.5%, 8/15/2039 95,692 107,032 113,124 Freddie Mac STACR REMIC Trust 2020-DNA2, 1.98%, 2/25/2050 1,350,000 1,334,856 1,341,716 Freddie Mac STACR REMIC Trust 2020-DNA4, 3.88%, 8/25/2050 780,000 792,178 790,897 Freddie Mac STACR REMIC Trust 2020-DNA6, 2.082%, 12/25/2050 1,430,000 1,430,000 1,427,785 Freddie Mac Strips, 2.528%, 2/15/2038 142,888 1,842 8,403 Freddie Mac Strips, 3.5%, 10/15/2027 274,290 3,134 18,732 Freddie Mac Structured Agency Credit Risk Debt Notes, 4.03%, 12/25/2027 379,544 412,571 385,457 Freddie Mac Structured Agency Credit Risk Debt Notes, 3.93%, 3/25/2029 324,387 353,285 335,799 Freddie Mac Structured Agency Credit Risk Debt Notes, 2.63%, 3/25/2030 250,000 251,062 253,415 Ginnie Mae I Pool 453433, 6.5%, 11/15/2028 2,734 3,057 3,036 Ginnie Mae I Pool 462682, 6.5%, 4/15/2028 1,147 1,282 1,273 Ginnie Mae I Pool 486470, 6.5%, 8/15/2028 641 716 711 Ginnie Mae I Pool 486516, 6.5%, 9/15/2028 1,352 1,512 1,526 Ginnie Mae I Pool 490760, 7.5%, 11/15/2028 3,938 4,103 4,114 Ginnie Mae I Pool 493628, 6.5%, 11/15/2028 582 651 647 Ginnie Mae I Pool 605563, 6.5%, 11/15/2034 36,320 40,620 40,338 Ginnie Mae I Pool 672335, 6.5%, 10/15/2037 1,143 1,293 1,270 Ginnie Mae I Pool 733600, 5%, 4/15/2040 40,046 42,493 45,580 Ginnie Mae I Pool 733627, 5%, 5/15/2040 74,057 78,711 84,867 Ginnie Mae I Pool 781001, 7.5%, 3/15/2029 2,771 3,181 3,249 Ginnie Mae I Pool 784571, 3.5%, 6/15/2048 123,023 122,044 131,784 Ginnie Mae I Pool AA5649, 3%, 9/15/2042 31,411 31,460 33,782 Ginnie Mae I Pool AB2892, 3%, 9/15/2042 20,176 20,041 21,236 Ginnie Mae I Pool AB9108, 3%, 10/15/2042 74,637 76,292 78,560 Ginnie Mae I Pool BS8439, 3.5%, 5/15/2050 98,213 104,755 104,599 Ginnie Mae II Pool 004060, 6%, 12/20/2037 85,514 96,399 99,176 Ginnie Mae II Pool 004268, 6%, 10/20/2038 24,017 26,796 27,866 Ginnie Mae II Pool 004316, 6%, 12/20/2038 8,924 9,969 10,354 Ginnie Mae II Pool 004617, 4.5%, 1/20/2040 28,228 29,677 31,436 Ginnie Mae II Pool 004696, 4.5%, 5/20/2040 35,068 36,868 39,068 Ginnie Mae II Pool 004774, 6%, 8/20/2040 12,262 13,856 14,235 Ginnie Mae II Pool 004802, 5%, 9/20/2040 17,821 19,371 20,379 Ginnie Mae II Pool 004837, 6%, 10/20/2040 35,999 40,078 41,960 Ginnie Mae II Pool 004855, 5%, 11/20/2040 54,462 58,617 62,446





Principal


Mortgage-Backed Securities - 23.7% (continued)Ginnie Mae II Pool 004923, 4.5%, 1/20/2041 11,663 12,262$ 13,165$ Ginnie Mae II Pool 004961, 6%, 2/20/2041 9,541 10,783 10,929 Ginnie Mae II Pool 784114, 3.5%, 2/20/2046 565,418 608,847 610,848 Ginnie Mae II Pool 784825, 3.5%, 10/20/2049 49,493 50,837 51,329 Ginnie Mae II Pool 784899, 4%, 2/20/2048 385,646 414,432 414,218 Ginnie Mae II Pool 784905, 3%, 1/20/2050 93,979 97,061 98,382 Ginnie Mae II Pool BC4732, 3.5%, 10/20/2047 65,086 65,845 70,026 Ginnie Mae II Pool BD0384, 3.5%, 10/20/2047 55,041 55,695 60,288 Ginnie Mae II Pool BS8420, 4%, 4/20/2050 97,176 104,103 105,799 Ginnie Mae II Pool BS8546, 2.5%, 12/20/2050 100,000 106,449 107,817 Ginnie Mae II Pool BT0812, 3%, 3/20/2050 797,294 834,614 835,037 Ginnie Mae II Pool MA1995, 3.5%, 6/20/2044 59,860 59,280 65,142 Ginnie Mae II Pool MA2677, 3%, 3/20/2045 80,526 85,561 85,729 Ginnie Mae II Pool MA3873, 3%, 8/20/2046 368,814 392,614 393,028 Ginnie Mae II Pool MA4068, 3%, 11/20/2046 43,792 45,379 46,670 Ginnie Mae II Pool MA4511, 4%, 6/20/2047 70,706 74,222 76,308 Ginnie Mae II Pool MA4719, 3.5%, 9/20/2047 530,334 565,030 572,434 Ginnie Mae II Pool MA4720, 4%, 9/20/2047 118,094 122,262 127,298 Ginnie Mae II Pool MA4838, 4%, 11/20/2047 82,426 85,753 89,010 Ginnie Mae II Pool MA4901, 4%, 12/20/2047 40,608 41,921 43,802 Ginnie Mae II Pool MA5019, 3.5%, 2/20/2048 93,825 97,136 100,673 Ginnie Mae II Pool MA5020, 4%, 2/20/2048 41,031 42,927 44,091 Ginnie Mae II Pool MA5135, 3%, 4/20/2048 163,508 158,607 171,292 Ginnie Mae II Pool MA5137, 4%, 4/20/2048 35,257 36,728 37,839 Ginnie Mae II Pool MA5265, 4.5%, 6/20/2048 32,049 33,631 34,681 Ginnie Mae II Pool MA5331, 4.5%, 7/20/2048 32,411 33,975 35,073 Ginnie Mae II Pool MA5399, 4.5%, 8/20/2048 101,542 110,126 110,042 Ginnie Mae II Pool MA5467, 4.5%, 9/20/2048 99,421 103,947 107,588 Ginnie Mae II Pool MA5529, 4.5%, 10/20/2048 138,206 148,868 149,574 Ginnie Mae II Pool MA5530, 5%, 10/20/2048 192,974 211,306 211,028 Ginnie Mae II Pool MA5596, 4.5%, 11/20/2048 264,657 281,892 286,388 Ginnie Mae II Pool MA5652, 4.5%, 12/20/2048 30,340 32,614 32,833 Ginnie Mae II Pool MA5711, 4.5%, 1/20/2049 103,383 107,879 111,876 Ginnie Mae II Pool MA5712, 5%, 1/20/2049 90,978 96,398 99,490 Ginnie Mae II Pool MA5818, 4.5%, 3/20/2049 34,708 36,358 37,555 Ginnie Mae II Pool MA5877, 4.5%, 4/20/2049 40,782 42,677 44,099 Ginnie Mae II Pool MA6156, 4.5%, 9/20/2049 191,368 205,381 207,324 Ginnie Mae II Pool MA6476, 4%, 2/20/2050 1,320,667 1,404,187 1,410,371 Ginnie Mae II Pool MA6477, 4.5%, 2/20/2050 72,506 77,853 77,931 Ginnie Mae II Pool MA6602, 4.5%, 4/20/2050 1,236,786 1,331,035 1,328,982





Principal


Mortgage-Backed Securities - 23.7% (continued)Ginnie Mae II Pool MA6656, 3%, 5/20/2050 1,346,651 1,407,015$ 1,409,046$ Ginnie Mae II Pool MA6768, 4%, 7/20/2050 3,141,932 3,367,141 3,351,788 Ginnie Mae II Pool MA6866, 3%, 9/20/2050 197,257 208,099 207,583 Ginnie Mae II Pool MA6932, 3%, 10/20/2050 297,351 314,531 314,594 Ginnie Mae II Pool MA7053, 3%, 12/20/2050 1,600,000 1,700,563 1,701,441 Ginnie Mae, 2%, 1/14/2051 1,800,000 1,871,742 1,882,336 Ginnie Mae, 2%, 2/20/2051 2,900,000 3,014,805 3,027,781 Ginnie Mae, 2.5%, 1/21/2051 4,000,000 4,197,313 4,234,375 Ginnie Mae, 2.5%, 2/20/2051 600,000 631,711 633,938 Ginnie Mae, 3%, 1/21/2051 1,100,000 1,147,875 1,150,273 Ginnie Mae, 3.5%, 2/20/2051 3,000,000 3,177,359 3,178,594 Ginnie Mae, 4%, 1/21/2051 800,000 852,113 852,938 Ginnie Mae, 4.5%, 1/21/2051 3,700,000 3,969,965 3,961,891 Government National Mortgage Association, 0.502%, 8/20/2058 419,917 417,052 419,363 Government National Mortgage Association, 0.581%, 7/20/2070 198,358 198,049 198,736 Government National Mortgage Association, 0.582%, 10/20/2064 250,730 250,758 250,864 Government National Mortgage Association, 0.652%, 3/20/2061 74,836 74,950 74,980 Government National Mortgage Association, 0.652%, 6/20/2069 182,446 181,784 183,107 Government National Mortgage Association, 0.862%, 3/16/2047 918,912 18,249 15,301 Government National Mortgage Association, 1.003%, 9/16/2062 7,945,502 712,519 711,513 Government National Mortgage Association, 1.056%, 6/16/2062 3,714,003 332,125 331,835 Government National Mortgage Association, 1.06%, 11/16/2062 8,060,000 737,994 758,003 Government National Mortgage Association, 1.145%, 5/20/2060 222,946 226,018 225,878 Government National Mortgage Association, 1.281%, 5/20/2070 99,972 103,299 104,690 Government National Mortgage Association, 1.381%, 4/20/2070 91,148 93,695 93,891 Government National Mortgage Association, 1.425%, 10/16/2060 4,582,900 463,663 470,159 Government National Mortgage Association, 2.5%, 8/20/2050 99,247 11,703 14,154 Government National Mortgage Association, 2.5%, 8/20/2050 99,258 12,474 13,417 Government National Mortgage Association, 2.5%, 9/20/2050 98,838 12,633 13,581 Government National Mortgage Association, 2.5%, 10/20/2050 199,221 26,288 28,398 Government National Mortgage Association, 2.5%, 10/20/2050 99,210 13,043 14,204 Government National Mortgage Association, 2.694%, 11/16/2047 86,446 88,879 91,435 Government National Mortgage Association, 3.5%, 5/20/2043 267,697 27,042 39,119 Government National Mortgage Association, 4%, 10/16/2026 29,511 - 1,859 GS Mortgage Securities Trust 2014-GC18, 4.885%, 1/10/2047 800,000 750,060 774,964 GS Mortgage Securities Trust 2014-GC26, 4.215%, 11/10/2047 150,000 150,694 153,821 GS Mortgage Securities Trust 2020-GC47, 2.377%, 5/12/2053 1,020,000 1,080,408 1,093,874 Impac Secured Assets Corp3 Series 2004-4, 1.03%, 2/25/2035 780,000 763,693 779,909 J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-C20,

4.598%, 7/15/2047 90,000 89,576 91,430





Principal


Mortgage-Backed Securities - 23.7% (continued)JPMBB Commercial Mortgage Securities Trust 2013-C17,

4.889%, 1/15/2047 30,000 31,321$ 32,199$ JPMBB Commercial Mortgage Securities Trust 2014-C25,

4.347%, 11/15/2047 130,000 131,740 138,236 Legacy Mortgage Asset Trust 2019-GS7, 3.25%, 11/25/2059 422,260 415,734 422,957 Legacy Mortgage Asset Trust 2020-GS5, 3.25%, 6/25/2060 245,353 246,912 247,098 Morgan Stanley Capital I Trust 2007-IQ13, 5.438%, 3/15/2044 1,775 1,775 1,774 Morgan Stanley Capital I Trust 2017-H1, 4.281%, 6/15/2050 500,000 505,073 513,496 MRA Issuance Trust 2020-12, 1.477%, 7/15/2021 1,470,000 1,470,000 1,470,001 MSCG Trust 2015-ALDR, 3.462%, 6/7/2035 160,000 155,284 157,635 New Residential Mortgage Loan Trust 2019-6, 3.75%, 9/25/2059 1,372,370 1,461,550 1,460,957 PMT Credit Risk Transfer Trust 2019-3R, 2.828%, 10/27/2022 153,389 153,389 151,693 UBS-Barclays Commercial Mortgage Trust 2012-C4, 210,000 183,289 121,391

4.469%, 12/10/2045WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust,

1.569%, 1/25/2046 310,578 308,244 311,149 Washington Mutual MSC Mortgage Pass-Through Certificates

Series 2005-RA1 Trust, 3.288%, 1/25/2035 32,066 32,487 32,259 Wells Fargo Commercial Mortgage Trust 2016-BNK1, 2.967%, 8/15/2049 970,000 982,778 992,761 Wells Fargo Commercial Mortgage Trust 2018-C43, 0.673%, 3/15/2051 1,950,086 76,116 78,857

Total Mortgage-Backed Securities 185,064,505 186,380,520

Municipal Bonds - 0.1%Federal Home Loan Bank Discount Notes, 0%, 1/29/2021 420,000 419,968 419,980 Health & Educational Facilities Authority of the State of Missouri,

3.229%, due 5/15/2050 50,000 50,000 58,379 Total Municipal Bonds 469,968 478,359

Preferred Stock - 0.0%Corporate Backed Trust Certificates, 7.375%, 6/15/2024 13,100 1 1

Purchased Options - 0.0%Euro Futures Options

Expiration: 3/14/2022; Exercise Price: $99.625,Counterparty: UBS Securities LLC 505,000 17,425 8,838

USD/CAD OptionsExpiration: 3/17/2021; Exercise Price: $1.2685,Counterparty: UBS Securities LLC 7,290,000 101,696 75,503

Total Purchased Options 119,121 84,341





Principal


Sovereign Bonds - 5.0%Abu Dhabi Government International Bond, 2.5%, 10/11/2022 200,000 196,673$ 207,060$ Abu Dhabi Government International Bond, 3.125%, 9/30/2049 2,190,000 2,376,271 2,343,300 Argentina Treasury Bond BONCER, 1%, 8/5/2021 ^ 2,941,436 41,362 46,534 Brazil Notas do Tesouro Nacional Serie F, 10%, 1/1/2023 6,490,000 1,687,096 1,379,418 Brazil Notas do Tesouro Nacional Serie F, 10%, 1/1/2025 1,847,000 426,938 411,120 Brazil Notas do Tesouro Nacional Serie F, 10%, 1/1/2027 8,407,000 1,835,452 1,913,416 Egypt Government International Bond, 5.577%, 2/21/2023 200,000 211,221 211,000 Indonesia Government International Bond, 3.75%, 4/25/2022 500,000 511,161 519,990 Indonesia Government International Bond, 3.75%, 4/25/2022 230,000 230,129 239,195 Indonesia Treasury Bond, 7%, 5/15/2027 33,869,000,000 2,492,761 2,594,573 Indonesia Treasury Bond, 7.5%, 6/15/2035 1,003,000,000 69,838 79,241 Italy Buoni Poliennali Del Tesoro, 2.3%, 10/15/2021 1,470,000 1,704,717 1,838,923 Kuwait International Government Bond, 3.5%, 3/20/2027 600,000 650,893 682,500 Mexican Bonos, 10%, 12/5/2024 2,460,000 148,130 147,668 Mexican Bonos, 10%, 12/5/2024 16,120,000 898,101 967,645 Mexican Bonos, 7.75%, 11/13/2042 63,383,600 3,116,852 3,663,687 Mexican Bonos, 8%, 11/7/2047 141,810,000 7,732,827 8,399,283 Mexican Bonos, 8.5%, 5/31/2029 30,520,000 1,758,510 1,866,996 Qatar Government International Bond, 4%, 3/14/2029 200,000 233,865 237,000 Qatar Government International Bond, 4.4%, 4/16/2050 1,700,000 2,070,926 2,214,675 Russian Federal Bond - OFZ, 6.9%, 5/23/2029 194,350,000 2,801,107 2,822,059 Russian Federal Bond - OFZ, 7%, 1/25/2023 2,510,000 40,972 35,649 Russian Federal Bond - OFZ, 7%, 8/16/2023 11,190,000 193,060 159,534 Russian Federal Bond - OFZ, 7.05%, 1/19/2028 69,232,000 997,320 1,011,087 Russian Federal Bond - OFZ, 7.25%, 5/10/2034 1,300,000 20,220 19,123 Russian Federal Bond - OFZ, 7.65%, 4/10/2030 123,960,000 1,799,862 1,892,222 Russian Federal Bond - OFZ, 7.7%, 3/16/2039 176,110,000 2,709,794 2,719,400 Russian Federal Bond - OFZ, 7.75%, 9/16/2026 2,490,000 45,208 37,403 Russian Federal Bond - OFZ, 8.15%, 2/3/2027 1,540,000 26,153 23,672 State of Israel, 3.8%, 5/13/2060 200,000 233,626 237,596

Total Sovereign Bonds 37,261,045 38,920,969

U.S. Treasury Bills, Bonds and Notes - 31.9%United States Cash Management Bill, 5/4/2021 9,680,000 9,677,023 9,677,257 United States Cash Management Bill, 5/11/2021 8,930,000 8,927,098 8,927,385 United States Cash Management Bill, 5/18/2021 13,710,000 13,705,607 13,705,917 United States Treasury Bill, 1/5/2021 380,000 379,996 380,000 United States Treasury Bill, 2/18/2021 3,700,000 3,699,556 3,699,699 United States Treasury Bill, 3/2/2021 37,870,000 37,864,993 37,865,153





Principal


U.S. Treasury Bills, Bonds and Notes - 31.9% (continued)United States Treasury Bill, 3/23/2021 8,930,000 8,928,292$ 8,928,549$ United States Treasury Bill, 4/1/2021 1,280,000 1,279,664 1,279,753 United States Treasury Bill, 4/6/2021 15,580,000 15,576,505 15,576,894 United States Treasury Bill, 4/29/2021 3,030,000 3,028,908 3,029,177 United States Treasury Inflation Indexed Bonds, 0.75%, 2/15/2045 2,111,983 2,693,081 2,722,505 United States Treasury Inflation Indexed Bonds, 1%, 2/15/2046 208,797 213,214 284,635 United States Treasury Inflation Indexed Bonds, 1%, 2/15/2048 306,214 339,218 426,096 United States Treasury Inflation Indexed Bonds, 1%, 2/15/2049 1,572,850 1,870,923 2,213,705 United States Treasury Inflation Indexed Bonds, 1.375%, 2/15/2044 335,175 349,732 482,482 United States Treasury Inflation Indexed Bonds, 2.125%, 2/15/2040 2,782,880 4,115,509 4,308,935 United States Treasury Inflation Indexed Bonds, 2.125%, 2/15/2041 6,824,975 10,421,795 10,700,192 United States Treasury Bond, 1.125%, 5/15/2040 795,000 768,754 754,753 United States Treasury Bond, 1.125%, 8/15/2040 2,735,000 2,636,217 2,589,276 United States Treasury Bond, 1.25%, 5/15/2050 6,015,000 5,616,565 5,456,733 United States Treasury Bond, 1.375%, 8/15/2050 26,055,000 24,505,149 24,402,136 United States Treasury Bond, 1.625%, 11/15/2050 660,000 651,502 657,525 United States Treasury Bond, 2%, 2/15/2050 2,700,000 3,032,224 2,932,453 United States Treasury Bond, 2.25%, 8/15/2049 890,000 1,008,497 1,018,529 United States Treasury Bond, 2.5%, 2/15/2045 2,350,000 2,840,654 2,802,467 United States Treasury Bond, 3%, 2/15/2048 710,000 728,998 932,041 United States Treasury Bond, 3.125%, 5/15/2048 3,540,000 3,490,645 4,751,897 United States Treasury Bond, 4.625%, 2/15/2040 20,000 25,063 31,179 United States Treasury Note, 0.125%, 11/30/2022 15,000,000 15,001,758 15,001,755 United States Treasury Note, 0.125%, 10/15/2023 2,665,000 2,660,694 2,663,126 United States Treasury Note, 0.25%, 11/15/2023 10,000 10,010 10,028 United States Treasury Note, 0.25%, 5/31/2025 14,130,000 14,122,406 14,102,954 United States Treasury Note, 0.25%, 6/30/2025 70,000 69,846 69,822 United States Treasury Note, 0.25%, 9/30/2025 795,000 791,946 791,988 United States Treasury Note, 0.25%, 10/31/2025 100,000 99,372 99,570 United States Treasury Note, 0.375%, 4/30/2025 230,000 230,234 230,836 United States Treasury Note, 0.375%, 11/30/2025 30,020,000 30,065,655 30,062,216 United States Treasury Note, 0.375%, 9/30/2027 5,525,000 5,461,892 5,440,614 United States Treasury Note, 0.5%, 4/30/2027 2,370,000 2,366,318 2,364,075 United States Treasury Note, 0.5%, 6/30/2027 1,780,000 1,778,751 1,772,560 United States Treasury Note, 0.5%, 8/31/2027 1,420,000 1,418,235 1,411,347 United States Treasury Note, 0.5%, 10/31/2027 90,000 89,506 89,297 United States Treasury Note, 0.875%, 11/15/2030 2,050,000 2,044,291 2,043,273 United States Treasury Note, 2.125%, 5/31/2021 850,000 850,932 856,906 United States Treasury Note, 2.125%, 5/15/2025 10,000 9,765 10,793 United States Treasury Note, 2.25%, 4/15/2022 40,000 39,975 41,091





Principal


U.S. Treasury Bills, Bonds and Notes - 31.9% (continued)United States Treasury Note, 2.25%, 4/30/2024 20,000 20,048$ 21,363$ United States Treasury Note, 2.5%, 1/31/2021 20,000 20,014 20,035 United States Treasury Note, 2.75%, 8/31/2023 1,610,000 1,633,481 1,720,876 United States Treasury Note, 2.875%, 9/30/2023 870,000 866,600 934,604 United States Treasury Note, 2.875%, 8/15/2028 90,000 88,254 104,544 United States Treasury Note, 3.125%, 11/15/2028 30,000 31,045 35,520

Total U.S. Treasury Bills, Bonds and Notes 248,146,410 250,436,516

Money Market Fund - 17.7%State Street Institutional Treasury Plus Money Market Fund - Premier Class 139,128,629 139,128,629 139,128,629

Total Investments - 117.7% 909,536,133$ 924,488,286 Other Assets and Liabilities, Net - (17.7%) (139,045,324) Net Assets - 100% 785,442,962$

Centrally Cleared Interest Rate Swaps

Pay/Receive Premiums UnrealizedFloating Floating Fixed Payment Maturity Market Paid Appreciation/Rate Rate Index Rate Frequency Date Value (Received) (Depreciation)Pay 1 Month TIE 7.35% Monthly 4/5/2021 1,396$ (774)$ 2,170$ Pay Daily BRCDI 7.02% Maturity 1/4/2027 13,684 - 13,684 Pay Daily BRCDI 7.04% Maturity 1/4/2027 11,353 - 11,353 Pay Daily BRCDI 7.02% Maturity 1/4/2027 17,417 737 16,680

Semi-Annual/Receive 3 Month LIBOR 0.90% Quarterly 3/17/2050 58,421 8,058 50,363 Receive 3 Month LIBOR 0.80% Semi-Annual 11/15/2045 306,173 110,360 687,757

Semi-Annual/Receive 3 Month LIBOR 0.45% Quarterly 5/15/2027 29,349 (8,527) 37,876 Pay Federal Funds Effective Rate 0.10% Annually 11/30/2024 (12,348) 3,130 (15,478) Receive Federal Funds Effective Rate 0.26% Annually 5/15/2027 29,184 (10,627) 39,811 Receive 12 Month LIBOR 0.56% Annually 7/20/2045 159,766 11,892 147,874

Semi-Annual/Pay 3 Month LIBOR 0.19% Quarterly 6/15/2022 234 (22) 256 Receive Daily SOFR 0.74% Annually 8/19/2045 50,732 - 50,732

Semi-Annual/Receive 3 Month LIBOR 1.20% Quarterly 10/7/2050 280,471 289,352 (8,881)

Semi-Annual/Pay 3 Month LIBOR 0.38% Quarterly 2/28/2025 42,174 (10,452) 52,626





Centrally Cleared Interest Rate Swaps (continued)

Pay/Receive Premiums UnrealizedFloating Floating Fixed Payment Maturity Market Paid Appreciation/Rate Rate Index Rate Frequency Date Value (Received) (Depreciation)

Semi-Annual/Receive 3 Month LIBOR 1.23% Quarterly 2/15/2047 20,533$ 624$ 19,909$

Semi-Annual/Receive 3 Month LIBOR 1.20% Quarterly 2/15/2047 44,819 5,954 38,865

Semi-Annual/Receive 3 Month LIBOR 0.84% Quarterly 11/27/2025 4,022 (15,956) 19,978

1,057,380$ 383,749$ 1,165,575$

Centrally Cleared Credit Default Swaps

Fixed UpfrontRate Premiums Unrealized(Pay) Payment Maturity Notional Market Paid Appreciation/

Description Receive Frequency Date Amount Value (Received) (Depreciation)Sell ProtectionCDS-CDX.NA.IG.3406 1.00% Quarterly 6/20/2025 23,864,000$ 395,540$ 31,816$ 363,724$ CDS-CDX.NA.IG.3512 1.00% Quarterly 12/20/2025 108,093,000 2,657,263 2,401,327 255,936 CDS-CDX.NA.HY.3512 5.00% Quarterly 12/20/2025 15,760,000 1,491,518 1,004,104 487,414

4,544,321$ 3,437,247$ 1,107,074$

Futures

Number of Value as of UnrealizedContracts Expiration December 31, Appreciation

Description Long (Short) Date 2020 (Depreciation)Futures in gain position

Euro-BTP Future 200 3/8/2021 37,198,364$ 181,000$ Euro-OAT Future 25 3/8/2021 5,134,627 4,258 United States 2-Year Treasury Note Future 92 3/31/2021 20,329,844 13,172 United States 5-Year Treasury Note Future 1370 3/31/2021 172,844,766 327,504 United States 10-Year Ultra Future (10) 3/22/2021 (1,563,594) 6,109 United States Long Bond Future (218) 3/22/2021 (37,754,875) 245,699

196,189,132 777,742 Futures in loss position

90 Day European Future (71) 3/15/2021 (17,719,825) (32,225) 90 Day European Future (88) 12/13/2021 (21,953,800) (140,363) Euro-Bond Future (330) 3/8/2021 (71,725,964) (59,440) Euro-BUXL 30-Year Bond Future (6) 3/8/2021 (1,653,554) (23,859) United States 10-Year Treasury Note Future (274) 3/22/2021 (37,833,406) (30,919) United States Ultra Bond Future 398 3/22/2021 84,997,875 (441,145)

(65,888,674) (727,951) 130,300,458$ 49,791$





Forward Foreign Currency Contracts

UnrealizedSettlement Appreciation

Counterparty Date (Depreciation)BNP Paribas SA 1/19/2021 RUB 36,083,000 USD 469,723 17,747$ BNP Paribas SA 1/19/2021 USD 517,942 MXN 11,783,593 (72,458) BNP Paribas SA 1/19/2021 USD 1,488,706 EUR 1,260,000 (53,511) Citibank 1/19/2021 CAD 4,032,181 USD 3,041,514 123,687 Citibank 1/19/2021 EUR 210,000 USD 247,605 9,432 Citibank 1/19/2021 JPY 2,456,659 USD 23,576 222 Citibank 1/19/2021 JPY 238,334,307 USD 2,288,632 20,213 Citibank 1/19/2021 CAD 3,814,203 USD 2,877,829 116,262 Citibank 1/19/2021 RUB 64,330,000 USD 837,129 31,949 Citibank 1/19/2021 RUB 102,689,907 USD 1,337,021 50,287 Citibank 1/19/2021 JPY 632,683,142 USD 6,077,277 51,791 Citibank 1/19/2021 CAD 12,299,937 USD 9,395,899 259,364 Citibank 1/19/2021 RUB 32,106,505 USD 417,708 16,040 Citibank 1/19/2021 GBP 2,550,270 USD 3,383,415 103,101 Citibank 1/19/2021 BRL 7,296,837 USD 1,359,372 45,443 Citibank 1/19/2021 RUB 98,665,128 USD 1,331,420 1,514 Citibank 1/19/2021 AUD 4,880,000 USD 3,692,480 73,785 Citibank 1/19/2021 USD 159,035 BRL 901,776 (14,578) Citibank 1/19/2021 USD 1,014,943 EUR 860,000 (37,681) Citibank 1/19/2021 USD 70,825 EUR 60,000 (2,614) Citibank 1/19/2021 USD 99 EUR 84 (4) Citibank 1/19/2021 USD 2,290,285 EUR 1,947,851 (93,848) Citibank 1/19/2021 USD 151,718 EUR 130,000 (7,399) Citibank 1/19/2021 USD 2,862,529 EUR 2,455,782 (143,302) Citibank 1/19/2021 USD 6,753,729 EUR 5,678,183 (196,259) Citibank 1/19/2021 USD 651,742 EUR 550,000 (21,447) Goldman Sachs 1/19/2021 RUB 22,365,908 USD 279,556 22,600 Goldman Sachs 1/19/2021 JPY 59,495,063 USD 564,692 11,662 Goldman Sachs 1/19/2021 GBP 181,019 USD 234,183 13,291 Goldman Sachs 1/19/2021 GBP 1,106,193 USD 1,428,029 84,266 Goldman Sachs 1/19/2021 MXN 60,866,772 USD 2,810,230 239,411 Goldman Sachs 1/19/2021 JPY 299,048,872 USD 2,856,654 40,358 Goldman Sachs 1/19/2021 RUB 63,351,214 USD 822,197 33,657 Goldman Sachs 1/19/2021 BRL 3,562,007 USD 663,835 21,936 Goldman Sachs 1/19/2021 GBP 1,014,098 USD 1,343,916 42,474 Goldman Sachs 1/19/2021 CAD 2,161,671 USD 1,659,836 37,043 Goldman Sachs 1/19/2021 RUB 102,310,000 USD 1,381,198 979 Goldman Sachs 1/19/2021 USD 1,453,811 EUR 1,230,000 (51,687) Goldman Sachs 1/19/2021 USD 442,428 EUR 375,155 (16,754) JPMorgan Chase Bank, N.A. 1/19/2021 INR 13,546,482 USD 182,758 2,502 JPMorgan Chase Bank, N.A. 1/19/2021 AUD 163,230 USD 117,298 8,679 JPMorgan Chase Bank, N.A. 1/19/2021 IDR 12,111,239,568 USD 814,858 54,411 JPMorgan Chase Bank, N.A. 1/19/2021 IDR 16,734,607,801 USD 1,135,628 65,478 JPMorgan Chase Bank, N.A. 1/19/2021 IDR 47,416,538,575 USD 3,348,626 54,637 JPMorgan Chase Bank, N.A. 1/19/2021 AUD 7,152,572 USD 5,412,459 107,722

1,050,401$

Currency CurrencyPurchased Sold





Written Options

No. of Notional Exercise Expiration PremiumsDescription Counterparty Contracts Amount Price Date Received Fair Value

Puts:Euro Future Options UBS Securities LLC (85) 212,500$ 99.75$ March 2022 (19,125)$ (7,438)$ U.S. 10-Year Treasury

Note Future Option UBS Securities LLC (290) 290,000$ 136.50$ January 2021 (97,875) (22,656) (117,000)$ (30,094)$

Interest Rate Swaps

Pay/Receive UnrealizedFloating Floating Fixed Payment Maturity Appreciation/Rate Counterparty Rate Index Rate Frequency Date (Depreciation)Pay Citigroup Daily BRCDI 7.024% Maturity 1/4/2027 13,684$ Pay JPMorgan Chase Bank, N.A. Daily BRCDI 7.044% Maturity 1/4/2027 11,352 Pay Citigroup Daily BRCDI 7.024% Maturity 1/4/2027 16,680 Pay Citigroup Daily BRCDI 7.024% Maturity 1/4/2027 16,121 Receive UBS Securities LLC 12 Month LIBOR 0.56% Annual 7/20/2045 147,875

205,712$





The following table summarizes how the Fund's investments are broken down by country of issuance as a percentage of net assets of the Fund:

PercentageCountry of Issuer Fair Value of Net AssetsUnited States 823,388,580$ 105.1%Mexico 17,087,716 2.2%Netherlands 12,111,581 1.5%Russia 8,720,149 1.1%Brazil 8,713,619 1.1%United Kingdom 7,763,633 1.0%Indonesia 6,396,685 0.8%Switzerland 4,153,261 0.5%Canada 4,098,097 0.5%France 3,606,332 0.5%United Arab Emirates 3,059,640 0.4%Italy 2,633,685 0.3%Qatar 2,451,675 0.3%Cayman Islands 2,185,922 0.3%Japan 1,979,159 0.3%Peru 1,922,160 0.2%Colombia 1,909,525 0.2%Macao 1,847,894 0.2%Denmark 1,637,067 0.2%Curacao 1,377,600 0.2%Panama 1,277,200 0.2%Poland 896,974 0.1%Virgin Islands 881,502 0.1%Spain 828,704 0.1%Luxembourg 784,048 0.1%Kuwait 682,500 0.1%Kazakhstan 574,520 0.1%Argentina 354,041 0.0%Israel 237,596 0.0%Morocco 217,593 0.0%Egypt 211,000 0.0%Sweden 203,862 0.0%Ireland 157,240 0.0%Australia 137,526 0.0%Total 924,488,286$ 117.7%





The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2020 (see Note 3):

Level 1 Level 2 Level 3 Total

Assets:Asset-Backed Securities -$ 20,470,653$ -$ 20,470,653$ Bank Loan Obligations - 35,440,750 - 35,440,750 Centrally Cleared Credit Default Swaps - 4,544,321 4,544,321 *Centrally Cleared Interest Rate Swaps - 1,069,728 - 1,069,728 *Corporate Bonds - 253,147,548 - 253,147,548 Forward Foreign Currency Contracts - 1,761,943 - 1,761,943 Futures 777,742 - - 777,742 *Interest Rate Swaps - 205,712 - 205,712 Mortgage-Backed Securities - 186,380,520 - 186,380,520 Municipal Bonds - 478,359 - 478,359 Preferred Stock - - 1 1 Purchased Options 84,341 - - 84,341 Sovereign Bonds - 38,920,969 - 38,920,969 U.S. Treasury Bills, Bonds and Notes - 250,436,516 - 250,436,516 Money Market Fund 139,128,629 - - 139,128,629

139,990,712$ 792,857,019$ 1$ 932,847,732$

Liabilities:Centrally Cleared Interest Rate Swaps -$ (12,348)$ -$ (12,348)$ *Forward Foreign Currency Contracts - (711,542) - (711,542) Futures (727,951) - - (727,951) *Written Options (30,094) - - (30,094)

(758,045)$ (723,890)$ -$ (1,481,935)$

Fair Value Measurements

*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value. Concentration of Ownership: As of December 31, 2020, the Fund had two unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 65.8% of the Fund's total units outstanding. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:

Purchases Sales Realizedat Cost (1) Proceeds (1) Gain

Investments 1,222,162,564$ 565,649,722$ 376,201$

(1) Purchases and sales balances may include amortization or accretion of premiums or discounts or paydowns on fixed income securities.



AssetsInvestments in securities, at fair value (cost $909,536,133) 924,488,286 Foreign currency, at fair value (cost $1,562,240) 1,676,917 Cash and cash equivalents 17,126 Receivable for investment securities sold 25,908,636 Variation margin receivable on futures 8,751,705 Variation margin receivable on centrally cleared swaps 5,959,009 Dividends and interest receivable 3,363,987 Unrealized appreciation on forward foreign currency contracts 1,761,943 Receivable for fund units sold 1,531,039 Unrealized appreciation on interest rate swaps 205,712 Receivable for reimbursement 17,483 Total assets 973,681,843

Liabilities and Net AssetsPayable for investment securities purchased 182,022,916 Cash due to broker 4,904,317 Unrealized depreciation on forward foreign currency contracts 711,542 Cash collateral due to broker 228,019 Payable for fund units redeemed 97,689 Written options outstanding, at fair value (net of premiums

received of $117,000) 30,094 Accrued expenses 244,304 Total liabilities 188,238,881 Net assets 785,442,962$


Statement of Assets and LiabilitiesDecember 31, 2020



Investment incomeInterest (net of witholding taxes of $7,208) 6,049,007$ Miscellaneous income 10,154 Total investment income 6,059,161

ExpensesTrustee and sub-advisor fees 480,192 Professional services and other operating expenses 32,197 Expense reimbursement from sub-advisor (47,962) Total expenses 464,427 Net investment income 5,594,734

Net realized gain (loss) on:Futures 5,005,230 Written options 1,632,320 Investments 376,201 Foreign currency transactions (53,563) Forward foreign currency contracts (743,347) Swaps (2,274,086)

Net change in unrealized appreciation (depreciation) on:Investments 10,499,064 Swaps 1,665,918 Forward foreign currency contracts 947,317 Futures 434,452 Foreign currency translation 101,129 Written options 46,765 Swaptions (884) Net realized and unrealized gain on investments and foreign

currency transactions and translation 17,636,516 Net increase in net assets resulting from operations 23,231,250$

Statement of OperationsFor the year ended December 31, 2020




Increase in net assets resulting from operationsNet investment income 5,594,734$ Net realized gain on investments and foreign currency transactions 3,942,755 Net change in unrealized appreciation on investments

and foreign currency translation 13,693,761 Net increase in net assets resulting from operations 23,231,250

Fund unit transactionsProceeds from units issuedClass G1 77,355,682 Class P1 ^ 414,196 Class R1 65,116,286 Class R2 ^ 26,498,812 Class R3 330,000,000 Class R4 9,315,368 Class R-INT 15,232,289 Class R-LM 188,380,307 Total proceeds from units issued 712,312,940

Value of units redeemedClass G1 (15,617,306) Class P1 ^ (15,688) Class R1 (21,799,349) Class R2 ^ (29,580) Class R4 (7,188,176) Class R-INT (17,577,438) Class R-LM (10,013,195) Total value of units redeemed (72,240,732)

Increase in net assets resulting from fund unit transactions 640,072,208

Increase in net assets 663,303,458

Net assets, beginning of year 122,139,504 Net assets, end of year 785,442,962$

^Class P1 and R2 funded on 12/18/2020 and 12/28/2020, respectively.

Statement of Changes in Net AssetsFor the year ended December 31, 2020




Per Unit Operating Performance Class G1 Class P1 Class R1 Class R2Net asset value, beginning of year or at inception 11.37$ 12.29$ 11.31$ 12.32$ Income from investment operations:

Net investment income (1) 0.27 0.01 0.27 0.00Net realized and unrealized gain on investments

and foreign currency transactions and translation (1) 0.73 0.06 0.72 0.04 Total income from investment operations 1.00 0.07 0.99 0.04 Net asset value, end of year 12.37$ 12.36$ 12.30$ 12.36$

Total Return 8.80% 0.57% ^ 8.75% 0.32% ^


Gross expenses (excluding reimbursement) 0.40% 0.27% # 0.35% 0.20% #Net expenses 0.25% 0.25% # 0.35% 0.20% #Net investment income 2.34% 2.57% # 2.24% 3.36% #

Fund Unit ActivityUnits, beginning of year 672,396 - 1,125,029 - Issued 6,539,698 33,702 5,483,386 2,150,876 Redeemed (1,308,633) (1,278) (1,850,256) (2,393) Units, end of year 5,903,461 32,424 4,758,159 2,148,483

Per Unit Operating Performance Class R3 Class R4 Class R-INT Class R-LMNet asset value, beginning of year 11.35$ 11.32$ 11.37$ 11.36$ Income from investment operations:

Net investment income (1) 0.18 0.30 0.33 0.25 Net realized and unrealized gain on investments

and foreign currency transactions and translation (1) 0.83 0.70 0.70 0.77 Total income from investment operations 1.01 1.00 1.03 1.02 Net asset value, end of year 12.36$ 12.32$ 12.40$ 12.38$

Total Return 8.90% 8.83% 9.06% 8.98%


Gross expenses (excluding reimbursement) 0.25% 0.28% 0.02% 0.06%Net expenses 0.25% 0.28% 0.02% 0.06%Net investment income 1.83% 2.50% 2.80% 2.33%

Fund Unit ActivityUnits, beginning of year 472,474 2,592,695 3,824,796 2,075,575 Issued 27,071,370 805,371 1,305,616 15,511,918 Redeemed - (620,082) (1,500,916) (842,512) Units, end of year 27,543,844 2,777,984 3,629,496 16,744,981 (1) Based on average units outstanding.^Not annualized for periods less than one year. Class P1 and R1 funded on 12/18/2020 and 12/28/2020, respectively.#Annualized except audit expense.

Financial HighlightsFor the year ended December 31, 2020


Wilmington Trust Collective Investment Trust

Funds Sub-Advised by Western Asset Management Company, LLC

Notes to the Financial Statements

December 31, 2020

120

Note 1 – Organization Wilmington Trust Collective Investment Trust (the "Trust") is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended (the "Code"), and a group trust within the meaning of Rev. Rul. 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust. The Trustee is responsible for maintaining and administering the Trust and its various funds (the "Funds" – see Fund Index) and also serves as the investment manager (the "Investment Manager") to the Funds. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody, transfer agency, and accounting services for the Funds. The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Code, by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. Not all funds within the Trust are presented herein. The Trustee has claimed an exclusion from the definition of commodity pool operator ("CPO") under the Commodity Exchange Act and the rules of the Commodity Futures Trading Commission ("CFTC") with respect to the Funds, and is therefore not subject to CFTC registration or regulation as a CPO with respect to the Funds. WTNA has engaged Western Asset Management Company, LLC as Sub-Advisor (the "Sub-Advisor") to provide investment advice and recommendations with respect to investment of the Funds' assets. While the Trustee generally relies on the Sub-Advisor to manage the Funds' assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in each Fund. The Sub-Advisor is engaged pursuant to a sub-advisor agreement. Note 2 – Significant Accounting Policies The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The Funds are investment companies and follow the accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification Topic No. 946. Net Asset Value ("NAV") – Units of each fee class of each Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV per unit is computed by dividing the total fair value of the assets of a Fund, less its liabilities, by the total number of units outstanding at the time of such computation. Investment income earned is reinvested in the Funds and included in the determination of unit values.



Notes to the Financial Statements (continued)

December 31, 2020

121

Fund Unit Transactions – The Funds sell new units and repurchase outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Funds determined as of the close of business each day. A summary of the Fund unit activity for each Fund is included with its Financial Highlights. The Funds require advance written notice of five business days for any plan sponsor directed contributions or plan sponsor directed withdrawals which will exceed $1 million or such other amounts as may be determined by the Trustee, upon consultation with the Sub-Advisor, from time to time. Investment Valuation – Investments are valued at their current fair value determined as follows:

Money Market Funds – Investments in money market funds are valued at the daily closing net asset value of the respective fund. Corporate Bonds – The fair value of corporate bonds is estimated using various techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (when observable), and other industry recognized techniques. Although most corporate bonds are categorized in level 2 of the fair value hierarchy, in instances when lower relative weight is placed on transaction prices, quotations, or other similar observable inputs, they are categorized in level 3. Swap Agreements – The Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market ("OTC swaps") or may be cleared through a third party, known as a central counterparty or derivatives clearing organization ("Centrally Cleared Swaps"). Each Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statement of Operations. Daily changes in valuation of centrally cleared swaps ("Swap Variation Margin"), if any, are disclosed within centrally cleared financial derivative instruments on the Statement of Assets and Liabilities. OTC swap payments received or paid at the beginning of the measurement period are included on the Statement of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statement of Operations. Net periodic payments received or paid by the Funds are included as part of the realized gain (loss) on the Statement of Operations.




December 31, 2020

122

Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates. Each Fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting agreement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund's exposure to the counterparty. Options – The Funds may write call and put options on indices, futures, swaps (swaptions), securities commodities or currencies. Writing put options tends to increase a fund's exposure to the underlying instrument. Writing call options tends to decrease a fund's exposure to the underlying instrument. When a fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. Certain options may be written with premiums to be determined on a future date. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain or loss. A fund as a writer of an option has no control over whether the underlying instrument may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a fund may not be able to enter into a closing transaction because of an illiquid market. The Funds may also purchase put and call options. Purchasing call options tends to increase a fund's exposure to the underlying instrument. Purchasing put options tends to decrease a fund's exposure to the underlying instrument. A Fund will pay a premium which is included on the Fund's Statement of Assets and Liabilities and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the unrealized gain or loss. The net realized gain or loss from options is reflected in the Statement of Operations and the net unrealized gains or losses are included as a component of the net change in unrealized appreciation or depreciation on derivative contracts in the Statement of Operations. The premium received for options sold is reflected in the Statement of Assets and Liabilities. Securities – Securities, other than bonds, listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the closing price on the primary exchange or market on which they are traded on the day of valuation or, if there is no such reported sale on the valuation date, at the most recent bid quotation on the principal exchange. If a market price is not readily available or if such price is deemed unreliable, it will be valued at fair value in accordance with valuation procedures established by the Trustee. The Trustee's determination of fair value involves consideration of a number of subjective factors, and therefore, no single standard for determining fair value will apply.




December 31, 2020

123

Mortgage-Backed Securities and Other Asset-Backed Securities – The Funds may invest in mortgage-backed securities ("MBS"), representing interests in pools of mortgage loans. These securities provide investors with payments consisting of both principal and interest as the mortgages in the underlying mortgage pools are paid. Most of the securities are guaranteed by federally sponsored agencies, but are not issued or guaranteed by the U.S. Treasury – Government National Mortgage Association ("GNMA"), Federal National Mortgage Association ("FNMA"), or Federal Home Loan Mortgage Corporation ("FHLMC"). However, some securities may be issued by private, non-government corporations. MBS issued by private entities are not government securities and are not directly guaranteed by any government agency but are secured by the underlying collateral of the private issuer. Yields on privately issued MBS tend to be higher than those of government-backed issues; however, risk of loss due to default and sensitivity to interest rate fluctuations is also higher. The Funds may also invest in asset-backed securities, representing interests in pools of certain types of underlying installment loans or leases or revolving lines of credit. They often include credit enhancements that help limit investors' exposure to the underlying credit. These securities are valued on the basis of the timing and certainty of the cash flows compared to investments with similar durations. Collateralized Mortgage Obligations – The Funds may invest in collateralized mortgage obligations ("CMOs") and real estate mortgage investment conduits ("REMICs"). A CMO is a bond that is collateralized by a pool of MBS, and a REMIC is similar in form to a CMO. These MBS pools are divided into classes or tranches with each class having its own characteristics. The different classes are retired in sequence as the underlying mortgages are repaid. For instance, a planned amortization class ("PAC") is a specific class of mortgages, which over its life will generally have the most stable cash flows and the lowest prepayment risk. A graduated payment mortgage ("GPM") is a negative amortization mortgage where the payment amount gradually increases over the life of the mortgage. The early payment amounts are not sufficient to cover the interest due, and, therefore, the unpaid interest is added to the principal, thus increasing the borrower's mortgage balance. Prepayment may shorten the stated maturity of the CMO and can result in a loss of premium if any has been paid. Futures Contracts – The Funds may purchase futures contracts to gain exposure to market changes, which may be more efficient or cost effective than actually buying the securities. The Funds utilize futures contracts for tactical hedging purposes as well as to enhance the Funds' returns. Upon entering into such a contract, the Funds are required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is held. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Net realized and unrealized gains or losses occurring during the holding period of futures are found on the Statement of Operations as a component of net realized gain on futures and as a component of net change in unrealized appreciation on futures. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Funds could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.




December 31, 2020

124

Forward Foreign Currency Contracts – A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risk associated with such contracts includes movement in the value of the foreign currency relative to the U.S. dollar and the potential inability of the counterparty to meet the terms of the contract. The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk. The Funds may enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when the Funds enter into a forward contract to sell an amount of foreign currency, the Funds' custodian will place assets in a segregated account of the Funds in an amount not less than the value of the Funds' total assets. If the assets placed in the account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Funds' commitments with respect to such contracts. The unrealized gain, if any, represents the credit risk to the Funds on a forward foreign currency contract. Fluctuations in the value of the open forward foreign currency contracts are recorded daily for book purposes as unrealized appreciation or depreciation on foreign forward currency contracts by the Funds. Realized gains and losses include net gains and losses recognized by the Funds on contracts which have been sold or matured.

When the valuation methods described above are not reflective of fair value, investments are valued at fair value following procedures and/or guidelines determined by or under the direction of the valuation committee established by the Trustee. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular investment is accurate. Cash and Cash Equivalents – The Funds consider all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents. Foreign Currency Translation – The accounting records of the Funds are maintained in United States dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars using foreign currency exchange rates determined as of the close of regular trading on the New York Stock Exchange. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts and income receipts are translated at the prevailing exchange rate as of the date of each transaction. Realized and unrealized gain or loss on the translation of foreign currency denominated investments is included as a component of net realized and unrealized gain or loss on investments in the Statements of Operations. Realized gain or loss on foreign currency transactions may include gains and losses from sales and maturities of foreign currency exchange contracts, gains and losses realized between the trade and settlement dates of foreign security transactions or the difference between the amount of net investment income accrued on foreign securities and the U.S. dollar amount actually received. Unrealized gain or loss on foreign currency transactions include gains and losses due to changes in the value of assets and liabilities, other than fund securities, resulting from changes in exchange rates. Certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in or are a reduction of ordinary income in accordance with U.S. federal income tax regulations. Investment Transactions and Investment Income – The Funds record security transactions on a trade date basis. Dividend income is recorded on the ex-dividend date. Net realized gains and losses on investments are determined by the first-in, first-out method. Interest income and expenses are recorded daily on the accrual basis.




December 31, 2020

125

Fee Classes and Allocations – The Funds offer multiple fee classes. Not all fee classes are available for investment by all plans. Each class is allocated expenses on the basis of expense loads assigned to that class. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each unit class based on the units outstanding for the fee class in proportion to the total outstanding units. Use of Estimates – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Guarantees and Indemnifications – Under the Funds' organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, none of the Funds has had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote. Income Tax Status – The Trust has received a determination from the Internal Revenue Service that the Trust is exempt from federal income taxation under Section 501(a) of the Code. Accordingly, no federal income tax provision is required. Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Funds' financial statements through April 30, 2021, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Funds' financial statements through this date. Effective February 22, 2021, the Trustee has engaged The Northern Trust Company as the Custodian of the Funds. The Northern Trust Company will also provide transfer agent, recordkeeping and accounting services. Note 3 – Fair Value Measurements Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Various inputs are used in determining the fair value of the Funds' investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:

• Level 1 – Quoted prices in active markets for identical investments.

• Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, and others).

• Level 3 – Significant unobservable inputs (including the Trustee's own assumptions in determining the fair value of investments).




December 31, 2020

126

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. Securities valued as Level 3 securities are valued daily via a broker quote or the use of a valuation matrix. The security prices are updated each day a NAV is struck for each Fund. The aggregate fair value of the investments in each Fund, by input level used as of December 31, 2020, is included following each Fund's Schedule of Investments. Note 4 – Derivative Transactions The following is a summary of the fair valuations of the Funds' derivative instruments on the Statement of Assets and Liabilities as of December 31, 2020, and the effect of derivative instruments on the Statement of Operations for the year ended December 31, 2020: Western Asset Core Bond CIT

Interest ForeignRate Exchange Credit

Assets Contracts Contracts Contracts TotalCentrally cleared credit default swaps -$ -$ 8,607,648$ 8,607,648$ *Centrally cleared interest rate swaps 6,955,757 - - 6,955,757 *Futures 1,029,179 - - 1,029,179 *Purchased options 125,267 - - 125,267

8,110,203$ -$ 8,607,648$ 16,717,851$


Liabilities Contracts Contracts Contracts TotalCentrally cleared interest rate swaps (430,891)$ -$ -$ (430,891)$ *Futures (3,348,170) - - (3,348,170) *Written options (307,938) - - (307,938)

(4,086,999)$ -$ -$ (4,086,999)$

Interest Foreign

Rate Exchange CreditRealized Gain (Loss) on: Contracts Contracts Contracts TotalFutures 19,447,870$ -$ -$ 19,447,870$ Investments (3,453,353) - - (3,453,353) Swaps (22,859,898) - 86,138 (22,773,760) Swaptions (93,098) - - (93,098) Written options 13,862,055 - - 13,862,055

6,903,576$ -$ 86,138$ 6,989,714$




December 31, 2020

127

Interest ForeignNet Change in Unrealized Rate Exchange CreditAppreciation (Depreciation) on: Contracts Contracts Contracts TotalFutures 1,048,622$ -$ -$ 1,048,622$ Investments 131,521 - - 131,521 Swaps (175,412) - 80,836 (94,576) Swaptions (14,906) - - (14,906) Written options (1,005,608) - - (1,005,608)

(15,783)$ -$ 80,836$ 65,053$

*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value. Western Asset Core Plus Bond CIT


Assets Contracts Contracts Contracts TotalCentrally cleared credit default swaps -$ -$ 4,544,321$ 4,544,321$ *Centrally cleared interest rate swaps 1,069,728 - - 1,069,728 *Forward foreign currency contracts - 1,761,943 - 1,761,943 Futures 777,742 - - 777,742 *Interest rate swaps 205,712 - - 205,712 Purchased options - 84,341 - 84,341

2,053,182$ 1,846,284$ 4,544,321$ 8,443,787$


Liabilities Contracts Contracts Contracts TotalCentrally cleared interest rate swaps (12,348)$ -$ -$ (12,348)$ *Forward foreign currency contracts - 711,542 - 711,542 Futures (727,951) - - (727,951) *Written options (22,656) (7,438) - (30,094)

(762,955)$ 704,104$ -$ (58,851)$

Interest Foreign

Rate Exchange CreditRealized Gain (Loss) on: Contracts Contracts Contracts TotalForward foreign currency contracts -$ (743,347)$ -$ (743,347)$ Futures 5,005,230 - - 5,005,230 Investments (33,160) (1,515,846) - (1,549,006) Swaps (315) - (2,273,771) (2,274,086) Written options 1,571,151 61,169 - 1,632,320

6,542,906$ (2,198,024)$ (2,273,771)$ 2,071,111$




December 31, 2020

128

Interest ForeignNet Change in Unrealized Rate Exchange CreditAppreciation (Depreciation) on: Contracts Contracts Contracts TotalForward foreign currency contracts -$ 947,317$ -$ 947,317$ Futures 434,452 - - 434,452 Investments - 37,594 - 37,594 Written options 46,765 - - 46,765 Swaps 612,249 - 1,053,669 1,665,918 Swaptions (884) - - (884)

1,092,582$ 984,911$ 1,053,669$ 3,131,162$

*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value. Information about derivatives reflected as of the date of this report is generally indicative of the year's activity ended December 31, 2020. For the year ended December 31, 2020, the Funds' average volume of derivative activities is as follows: Western Asset Core Bond CIT

Futures:Average original value of buy contracts 670,040,810$ Average original value of sale contracts 955,333,811$

Centrally Cleared Credit Default SwapsAverage notional value of sale contracts 265,860,000$

Centrally Cleared Interest Rate SwapsAverage notional value 694,932,923$

Purchased Options:Average notional value 443,385$

Written Options:Average notional value 1,684,231$

Purchased SwaptionsAverage notional value 11,764,286$ (a)

Written Swaptions:Average notional value 79,720,000$ (a)




December 31, 2020

129


Futures:Average original value of buy contracts 129,211,481$ Average original value of sale contracts 75,190,181$

Centrally Cleared Interest Rate SwapsAverage notional value 48,062,608$

Centrally Cleared Credit Default SwapsAverage notional value of sale contracts 45,673,946$

Interest Rate Swaps:Average notional value 1,482,502$

Forward Foreign Currency ContractsAverage notional value of buy contracts 10,527,195$ (b)

Average notional value of sale contracts 7,694,420$ (c)

Purchased Options:Average notional value 2,918,769$

Purchased SwaptionsAverage notional value 1,595,714$ (a)

Written Options:Average notional value 1,211,546$ (b)

Written Swaptions:Average notional value 7,412,500$ (a)

(a) Positions were open for seven months during the year. (b) Positions were open for eleven months during the year. (c) Positions were open for ten months during the year. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. In order to define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may participate in International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Master Agreement" or "ISDA'') with derivative contract counterparties or enter into similar agreements covering foreign exchange contracts ("FX Letters"). An ISDA Master Agreement Is a bilateral agreement between a fund and a counterparty that governs over the counter ("OTC") traded derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument's payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Also, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. An FX Letter is also a bilateral agreement between a fund and a counterparty and is limited to cover only foreign exchange contracts. FX Letters typically contain netting provisions covering events of default and do not require collateral to be posted. ISDAs and FX Letters containing netting provisions may be referred to as Master Netting Agreements ("MNA"). Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker for OTC traded derivatives or by the clearing house for exchange traded derivatives. Brokers can ask for margining in excess of the minimum in certain circumstances. Collateral terms are contract specific for OTC derivatives (foreign




December 31, 2020

130

currency exchange contracts and options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to a fund from its counterparties are not fully collateralized, contractually or otherwise, the fund bears the risk of loss from counterparty non-performance. The fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. The following table presents the Funds' derivative assets and liabilities net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of December 31, 2020. Western Asset Core Bond CIT

CollateralNet Value of (Received)/ Net

Counterparty Purchased Options Written Options Derivatives Pledged* Amount^Citigroup 67,564$ (235,251)$ (167,687)$ -$ (167,687)$ Jeffries & Company 53,625 (28,750) 24,875 - 24,875 JPMorgan Chase Bank, N.A. 4,078 (43,937) (39,859) - (39,859)

125,267$ (307,938)$ (182,671)$ -$ (182,671)$

Financial Derivative Financial DerivativeAssets Liabilities

*The actual amount of collateral received/pledged may be more than the amount reported due to over-collateralization. ^Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreements with the same counterparty. Western Asset Core Plus Bond CIT

Forward ForwardForeign Interest Foreign Collateral

Currency Rate Purchased Currency Written Net Value of (Received)/ NetCounterparty Contracts Swaps Options Contracts Options Derivatives Pledged* Amount^BNP Paribas SA 17,747$ -$ -$ (125,969)$ -$ (108,222)$ -$ (108,222)$ Citibank 903,090 - - (517,132) - 385,958 - 385,958 Citigroup - 46,485 - - - 46,485 46,485 Goldman Sachs 547,677 - - (68,441) - 479,236 - 479,236 JPMorgan Chase Bank, N.A. 293,429 11,352 - - - 304,781 - 304,781 UBS Securities LLC - 147,875 84,341 - (30,094) 202,122 - 202,122

1,761,943$ 205,712$ 84,341$ (711,542)$ (30,094)$ 1,310,360$ -$ 1,310,360$

AssetsFinancial Derivative

LiabilitiesFinancial Derivative

*The actual amount of collateral received/pledged may be more than the amount reported due to over-collateralization. ^Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreements with the same counterparty.




December 31, 2020

131

Note 5 – Fees and Expenses Trustee and Sub-Advisor Fees All asset-based fees are based upon the net assets as determined at the end of each preceding business day as set forth in the table below (in basis points). Except as otherwise noted, all asset-based fees are paid from the assets of the Fund.

Fee Class Trustee Fee (1) Sub-Advisor Fee (2) Western Asset Core Bond CIT Class G1 (3) 5 on Class G1 assets of

$100 million or less 30 on Class G1 assets of

$100 million or less Class R2 5 25 Class R3 5 20 Class R-INT <1 (4) 0 Western Asset Core Plus Bond CIT Class G1(3) 5 on Class G1 assets of

$100 million or less 30 on Class G1 assets of

$100 million or less Class P1 5 25 Class R1 5 30 Class R2 5 25 Class R3 5 20 Class R4 5 23 Class R-INT <1 (4) 0 Class R-LM 5 0

(1) The Trustee fee for Classes G1, R1, R2, R3, R4, R-INT and R-LM of the Funds will decrease as the total value of

assets of all Trustee collective investment funds sub-advised by managers that are affiliates of Legg Mason & Co., LLC reaches certain threshold amounts.

(2) The Sub-Advisor has agreed to waive its Sub-Advisor fee so that the annual total fees and expenses do not exceed the values shown below. These waivers may be reduced or terminated at any time.

Class G1 – 25 basis points (effective until December 31, 2020) Class P1 – 28 basis points Class R1 – 35 basis points Class R2 – 30 basis points Class R3 – 25 basis points Class R4 – 28 basis points Class R-LM – 10 basis points Class R-INT – 10 basis points




December 31, 2020

132

(3) In addition to the Sub-Advisor Fee, Class G1 pays 3 basis points to Foundational Retirement Solutions as a consulting fee.

(4) For custody services only. Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to the Funds. Trustee fees are based upon the average daily value of the Funds and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Funds. Sub-Advisor Fee – The Sub-Advisor is compensated for its investment advisory services provided to the Funds. Management fees for each class are based upon the average daily value of each Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in each Fund. Operating Expenses – In addition to the fees described above, each Fund bears expenses related to its operation, including, but not limited to, audit, custody, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, transfer agency fees, brokerage commission and other expenses, are also charged against the Fund. When assets of a Fund are invested in other investment vehicles, such as other collective funds or Exchange-Traded Funds, those investment vehicles will incur fees and expenses, which will be reflected in the operating results and value of the Fund's investment in such investment vehicle, and are separate and distinct from the fees and expenses of the Fund described above. Note 6 – Related Party Transactions The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs. Note 7 – Risks Associated with Investing in the Funds In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the fair value of the investments. The principal risks associated with investing in each Fund are:

• Active Management. The Fund is actively managed and subject to the risk that the sub-advisor's usage of investment techniques and risk analyses to make investment decisions fails to perform as expected, which may cause the Fund to lose value or underperform investments with similar objectives and strategies or the market in general.

• Cash Drag. The Fund may fail to meet its investment objective because of positions in cash and equivalents.

• Convertible Securities. Investments in convertible securities may be subject to increased interest rate risks, rising in value as interest rates decline and falling in value when interest rates rise, in addition to their market value depending on the performance of the common stock of the issuer. Convertible securities which are




December 31, 2020

133

typically unrated or rated lower than other debt obligations, are secondary to debt obligations in order of priority during a liquidation in the event the issuer defaults.

• Credit and Counterparty. The issuer or guarantor of a fixed income security, counterparty to an OTC

derivatives contract, or other borrower may not be able to make timely principal, interest, or settlement payments on an obligation. In this event, the issuer of a fixed income security may have its credit rating downgraded or defaulted, which may reduce the potential for income and value of the Fund.

• Currency. Investments in securities traded in foreign currencies or more directly in foreign currencies are subject to the risk that the foreign currency will decline in value relative to the U.S. dollar, which may reduce the value of the Fund. Investments in currency hedging positions are subject to the risk that the value of the U.S. dollar will decline relative to the currency being hedged, which may result in a loss of money on the investment as well as the position designed to act as a hedge. Cross-currency hedging strategies and active currency positions may increase currency risk because actual currency exposure may be substantially different from that suggested by the Fund's holdings.

• Derivatives. Investments in derivatives may be subject to the risk that the sub-advisor does not correctly

predict the movement of the underlying security, interest rate, market index, or other financial asset, or that the value of the derivative does not correlate perfectly with either the overall market or the underlying asset from which the derivative's value is derived. Because derivatives usually involve a small investment relative to the magnitude of liquidity and other risks assumed, the resulting gain or loss from the transaction will be disproportionately magnified. These investments may result in a loss if the counterparty to the transaction does not perform as promised.

• Emerging Markets. Investments in emerging markets securities may be subject to greater market, credit,

currency, liquidity, legal, political, and other risks compared with assets invested in developed foreign countries (see Foreign Securities below). Emerging markets countries may have restrictive national policies that limit investment opportunities, limited information about issuers, a general lack of uniform accounting, auditing and financial reporting standards as compared to the standards of developed countries, less liquidity and more volatility, limitations on the movement of funds, difficulties in enforcing contractual obligations and the possibility of expropriation or nationalization.

• Financial Sectors. Concentrating assets in the financials sector may disproportionately subject the portfolio to the risks of that industry, including loss of value because of economic recession, availability of credit, volatile interest rates, government regulation, and other factors.

• Fixed Income Securities. The value of fixed income or debt securities may be susceptible to general

movements in the bond market and are subject to interest rate and credit risk.

• Foreign Securities. Investments in foreign securities may be subject to increased volatility as the value of these securities can change more rapidly and extremely than the value of U.S. securities. Factors that increase the risk of investing in foreign securities include but are not limited to the following: less public information about issuers of non-U.S. securities; less governmental regulation and supervision over the issuance and trading of securities, the unavailability of financial information regarding the non-U.S. issuer or the difficulty of interpreting financial information prepared under non-U.S. accounting standards, less liquidity, the imposition of withholding and other taxes, and adverse political, social or diplomatic developments. In




December 31, 2020

134

addition, foreign securities are subject to increased costs because there are generally higher commission rates on transactions, transfer taxes, higher custodial costs, and the potential for foreign tax charges on dividend and interest payments. Many foreign markets are relatively small, and securities issued in less-developed countries face the risks of nationalization, expropriation or confiscatory taxation, and adverse changes in investment or exchange control regulations, including suspension of the ability to transfer currency from a country. Economic, political, social, or diplomatic developments can also negatively impact performance.

• Forwards. Investments in forwards may increase volatility and be subject to additional market, active

management, currency, and counterparty risks as well as liquidity risk if the contract cannot be closed when desired. Forwards purchased on a when-issued or delayed-delivery basis may be subject to risk of loss if they decline in value prior to delivery, or if the counterparty defaults on its obligation.

• Futures. Investments in futures contracts and options on futures contracts may increase volatility and be subject to additional market, active management, interest, currency, and other risks if the contract cannot be closed when desired.

• Hedging Strategies. The use of hedging strategies to reduce risk may limit the opportunity for gains compared

with unhedged investments, and there is no guarantee that hedges will actually reduce risk.

• High-Yield Securities. Investments in below investment-grade debt securities and unrated securities of similar credit quality, commonly known as "junk bonds" or "high-yield securities," may be subject to increased interest rate, credit, and liquidity risks.

• Income. The investment's income payments may decline depending on fluctuations in interest rates and the

dividend payments of its underlying securities. In this event, some investments may attempt to pay the same dividend amount by returning capital.

• Index Correlation/Tracking Error. A portfolio that tracks an index is subject to the risk that certain factors may cause the Fund to track its target index less closely, including if the sub-advisor or manager selects securities that are not fully representative of the index. The Fund will generally reflect the performance of its target index even if the index does not perform well, and it may underperform the index after factoring in fees, expenses, transaction costs, and the size and timing of unitholder purchases and redemptions.

• Industry and Sector Investing. Concentrating assets in a particular industry, sector of the economy, or markets

may increase volatility because the investment will be more susceptible to the impact of market, economic, regulatory, and other factors affecting that industry or sector compared with a more broadly diversified asset allocation.

• Inflation/Deflation. A change of asset value may occur because of inflation or deflation, causing the Fund to

underperform. Inflation may cause the present value of future payments to decrease, causing a decline in the future value of assets or income. Deflation causes prices to decline throughout the economy over time, impacting issuers' creditworthiness and increasing their risk for default, which may reduce the value of the Fund.




December 31, 2020

135

• Inflation-Protected Securities. Unlike other fixed income securities, the values of inflation-protected securities are not significantly impacted by inflation expectations because their interest rates are adjusted for inflation. Generally, the value of inflation-protected securities will fall when real interest rates rise and rise when real interest rates fall.

• Interest Rate. Securities are subject to the risk that changes in interest rates will reduce their market value.

• Investment-Grade Securities. Investments in investment-grade debt securities that are not rated in the highest

rating categories may lack the capacity to pay principal and interest compared with higher-rated securities and may be subject to increased credit risk.

• Issuer. A stake in any individual security is subject to the risk that the issuer of that security performs poorly,

resulting in a decline in the security's value. Issuer-related declines may be caused by poor management decisions, competitive pressures, technological breakthroughs, reliance on suppliers, labor problems or shortages, corporate restructurings, fraudulent disclosures, or other factors. Additionally, certain issuers may be more sensitive to adverse issuer, political, regulatory, market, or economic developments.

• Leverage. Leverage transactions may increase volatility and result in a significant loss of value if a transaction

fails. Because leverage usually involves investment exposure that exceeds the initial investment, the resulting gain or loss from a relatively small change in an underlying indicator will be disproportionately magnified.

• Long-Term Outlook and Projections. The investment is intended to be held for a substantial period of time, and investors should tolerate fluctuations in their investment's value.

• Market/Market Volatility. The market value of the Fund's securities may fall rapidly or unpredictably because

of changing economic, political, or market conditions, which may reduce the value of the Fund.

• Maturity/Duration. Securities with longer maturities or durations typically have higher yields but may be subject to increased interest rate risk and price volatility compared with securities with shorter maturities, which have lower yields but greater price stability.

• Money Market Fund. The risks pertaining to money market funds, those in compliance with Rule 2a-7 under

the Investment Company Act of 1940, vary depending on the fund's operations as reported in SEC Form N-MFP. Institutional money market funds are considered those that are required to transact at a floating net asset value. These funds can experience capital gains and losses in normal conditions just like other mutual funds. Additionally, most institutional, government, and retail money market funds may impose a fee upon the sale of your shares, or may suspend your ability to sell shares if the fund's liquidity falls below required minimums, because of market conditions or other factors. While retail and government funds electing to maintain liquidity through suspending redemptions or imposing fees attempt to preserve the value of shares at $1.00, the funds cannot guarantee they will do so. Some government money market funds have not elected to permit liquidity fees or suspend redemptions. Although these funds also seek to preserve the value of investments at $1.00 per share, they cannot guarantee they will do so. An investment in any money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency and can result in a loss of money. The fund's sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.




December 31, 2020

136

• Mortgage-Backed and Asset-Backed Securities. Investments in mortgage-backed ("MBS") and asset-backed securities ("ABS") may be subject to increased price volatility because of changes in interest rates, issuer information availability, credit quality of the underlying assets, market perception of the issuer, availability of credit enhancement, and prepayment of principal. The value of MBS and ABS may be adversely affected if the underlying borrower fails to pay the loan included in the security.

• Options. Investments in options may be subject to the risk that the sub-advisor does not correctly predict the movement of an option's underlying stock. Option purchases may result in the loss of part or all of the amount paid for the option plus commission costs. Option sales may result in a forced sale or purchase of a security at a price higher or lower than its current market price.

• Portfolio Diversification. Investments that concentrate their assets in a relatively small number of issuers, or

in the securities of issuers in a particular market, industry, sector, country, or asset class, may be subject to greater risk of loss than is a more widely diversified investment.

• Preferred Stocks. Investments in preferred stocks may be subject to the risks of deferred distribution

payments, involuntary redemptions, subordination to debt instruments, a lack of liquidity compared with common stocks, limited voting rights, and sensitivity to interest rate changes.

• Prepayment (Call). The issuer of a debt security may be able to repay principal prior to the security's maturity

because of an improvement in its credit quality or falling interest rates. In this event, this principal may have to be reinvested in securities with lower interest rates than the original securities, reducing the potential for income.

• Pricing. Some investments may not have a market observed price; therefore, values for these assets may be

determined through a subjective valuation methodology. Fair values determined by a subjective methodology may differ from the actual value realized upon sale. Valuation methodologies may also be used to calculate a daily net asset value.

• Reinvestment. Payments from debt securities may have to be reinvested in securities with lower interest rates

than the original securities.

• Restricted/Illiquid Securities. Restricted and illiquid securities may fall in price because of an inability to sell the securities when desired. Investing in restricted securities may subject the Fund to higher costs and liquidity risk.

• Repurchase Agreements. Repurchase agreements may be subject to the risk that the seller of a security

defaults and the collateral security for the repurchase agreement has declined and does not equal the value of the repurchase price. In this event, impairment of the collateral may result in additional costs.

• Swaps. Investments in swaps, such as interest rate swaps, currency swaps and total return swaps, may

increase volatility and be subject to increased liquidity, credit, and counterparty risks. Depending on their structure, swaps may increase or decrease the Fund's exposure to long- or short-term interest rates, foreign currency values, corporate borrowing rates, security prices, index values, inflation rates, credit, or other factors.




December 31, 2020

137

• Variable-Rate Securities. Investments in variable-rate securities, which periodically adjust the interest rate paid on the securities, may be subject to greater liquidity risk than are other fixed income securities. Because variable-rate securities are subject to less interest rate risk than other fixed income securities, their opportunity to provide capital appreciation is comparatively reduced.

• Warrants. Investments in warrants may be subject to the risk that the price of the underlying stock does not

rise above the exercise price. In this event, the warrant may expire without being exercised and lose all value.

Documents

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST …