Annual Report - SSGA · 6/30/2019 · grade bond market. The Fund’s benchmark is the Bloomberg...

Annual ReportJune 30, 2019

SPDR® Series Trust - Fixed Income FundsSPDR Portfolio Aggregate Bond ETFSPDR Portfolio Intermediate Term Corporate Bond ETFSPDR Portfolio Long Term Corporate Bond ETFSPDR Portfolio Long Term Treasury ETFSPDR Portfolio Short Term Corporate Bond ETFSPDR Portfolio Short Term Treasury ETF

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of aFund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of thereports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be madeavailable on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with awebsite link to access the report. If you already elected to receive reports electronically, you will not be affected by this change andyou need not take any action. You may elect to receive shareholder reports and other communications by contacting your financialintermediary.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact yourfinancial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receivereports in paper will apply to all funds held in your account.

The information contained in this report is intended for the general information of shareholders of the Trust. This reportis not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectuswhich contains important information concerning the Trust. You may obtain a current prospectus and SAI from theDistributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

TA B L E O F C O N T E N T S

Notes to Performance Summaries (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited)SPDR Portfolio Aggregate Bond ETF (SPAB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3SPDR Portfolio Intermediate Term Corporate Bond ETF (SPIB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6SPDR Portfolio Long Term Corporate Bond ETF (SPLB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9SPDR Portfolio Long Term Treasury ETF (SPTL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12SPDR Portfolio Short Term Corporate Bond ETF (SPSB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15SPDR Portfolio Short Term Treasury ETF (SPTS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

Schedules of InvestmentsSPDR Portfolio Aggregate Bond ETF (SPAB) (Summary) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21SPDR Portfolio Intermediate Term Corporate Bond ETF (SPIB) (Summary). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33SPDR Portfolio Long Term Corporate Bond ETF (SPLB) (Summary) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41SPDR Portfolio Long Term Treasury ETF (SPTL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47SPDR Portfolio Short Term Corporate Bond ETF (SPSB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49SPDR Portfolio Short Term Treasury ETF (SPTS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70

Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95Other Information (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96


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NOTES TO PERFORMANCE SUMMARIES (UNAUDITED)

The performance chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and itsbenchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV isthe value of one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number ofshares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price pershare of a Fund. The market price used to calculate the market return is determined by using the midpoint between thehighest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time thata Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have beenreinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondarymarket transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio ofsecurities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance isnegatively impacted by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment ofdividends and other income.

The Bloomberg Barclays U.S. Aggregate Bond Index is designed to measure the performance of the U.S. dollardenominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using themiddle rating of Moody’s Investors Service, Inc., Standard & Poor’s Financial Services, LLC, and Fitch Inc.) governmentbonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities andother asset backed securities that are publicly for sale in the United States. The securities in the Index must have at least 1year remaining to maturity and must have $300 million or more of outstanding face value. Asset backed securities musthave a minimum deal size of $500 million and a minimum tranche size of $25 million. For commercial mortgage backedsecurities, the original aggregate transaction must have a minimum deal size of $500 million, and a minimum tranche sizeof $25 million; the aggregate outstanding transaction sizes must be at least $300 million to remain in the Index. In addition,the securities must be U.S. dollar denominated, fixed rate, non-convertible, and taxable. The Index is market capitalizationweighted.

The Bloomberg Barclays U.S. Intermediate Corporate Bond Index is designed to measure the performance of U.S.corporate bonds that have a maturity of greater than or equal to 1 year and less than 10 years. The Index is a componentof the Bloomberg Barclays U.S. Corporate Index and includes investment grade, fixed-rate, taxable, U.S. dollardenominated debt with $300 million or more of par amount outstanding, issued by U.S. and non-U.S. industrial, utility, andfinancial institutions. Subordinated issues, securities with normal call and put provisions and sinking funds, medium-termnotes (if they are publicly underwritten), 144A securities with registration rights, and global issues that are SEC-registeredare included. Structured notes with embedded swaps or other special features, as well as private placements, floating- ratesecurities, and Eurobonds are excluded from the Index.

The Bloomberg Barclays U.S. Long Term Corporate Bond Index is designed to measure the performance of U.S. corporatebonds that have a maturity of greater than or equal to 10 years. The Index is a component of the Bloomberg BarclaysU.S. Corporate Index and includes investment grade, fixed-rate, taxable, U.S. dollar-denominated debt with $300 millionor more of par amount outstanding, issued by U.S. and non-U.S. industrial, utility, and financial institutions. Subordinatedissues, securities with normal call and put provisions and sinking funds, medium-term notes (if they are publiclyunderwritten), 144A securities with registration rights, and global issues that are SEC-registered are included. Structurednotes with embedded swaps or other special features, as well as private placements, floating-rate securities, andEurobonds are excluded from the Index.

The Bloomberg Barclays Long U.S. Treasury Index is designed to measure the performance of public obligations of theU.S. Treasury that have a remaining maturity of 10 years or more. The Index includes all publicly issued, U.S. Treasurysecurities that have a remaining maturity of 10 years or more, are rated investment grade, and have $300 million or moreof outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate andnon-convertible. Excluded from the Index are certain special issues, such as flower bonds, targeted investor notes, stateand local government series bonds, inflation protected public obligations of the U.S. Treasury, commonly known as �TIPS,�and coupon issues that have been stripped from bonds included in the Index. The Index is market capitalization weighted.

The Bloomberg Barclays U.S. 1-3 Year Corporate Bond Index is designed to measure the performance of the short termU.S. corporate bond market. The Index includes publicly issued U.S. dollar denominated corporate issues that have aremaining maturity of greater than or equal to 1 year and less than 3 years, are rated investment grade (must be Baa3/BBB-or higher using the middle rating of Moody’s Investors Service, Inc., Fitch Inc., or Standard & Poor’s Financial Services, LLC),and have $300 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars,fixed rate and nonconvertible. The Index includes only corporate sectors. The corporate sectors are Industrial, Utility, and

See accompanying notes to financial statements.1

N O T E S T O P E R F O R M A N C E S U M M A R I E S ( U N A U D I T E D ) ( C O N T I N U E D )

Financial Institutions, which include both U.S. and non-U.S. corporations. The following instruments are excluded from theIndex: structured notes with embedded swaps or other special features; private placements; floating rate securities; andEurobonds. The Index is market capitalization weighted.

The Bloomberg Barclays 1-3 Year U.S. Treasury Index is designed to measure the performance of short term (1-3 years)public obligations of the U.S. Treasury. The Index includes all publicly issued U.S. Treasury securities that have a remainingmaturity of greater than or equal to 1 year and less than 3 years, are rated investment grade and have $300 million or moreof outstanding face value. In addition, the securities must be denominated in U.S. dollars, fixed rate and non-convertible.Securities excluded from the Index include state and local government series bonds, inflation protected public obligationsof the U.S. Treasury, commonly known as �TIPS,� floating rate bonds and coupon issues that have been stripped from bondsincluded in the Index. The Index is market capitalization weighted and the securities in the Index are updated on the lastbusiness day of each month.


S P D R P O R T F O L I O A G G R E G AT E B O N D E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Aggregate Bond ETF (the “Fund”) seeks to provide investment results that, before fees and expenses,correspond generally to the price and yield performance of an index that tracks the U.S. dollar denominated investmentgrade bond market. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).

For the 12-month period ended June 30, 2019 (the “Reporting Period”), the total return for the Fund was 7.88%, and theIndex was 7.87%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’sperformance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index isunmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund gained 1.61% in the second half of 2018, even as the Federal Reserve raised the target fed funds rate by 50 basispoints. Softening economic data (decelerating core and headline inflation) and increasing trade and political uncertaintieswere major contributors to risk-off sentiment in late 2018, causing credit spreads to rise. Treasury rates peaked inNovember, but a dovish turn by the Fed in early 2019 increased the likelihood of an ease in monetary policy. As a result,in the first half of 2019, Treasury yields and credit spreads declined, and the Fund gained 6.16%.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do notnecessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based uponmarket or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be reliedon as investment advice and, because investment decisions for a fund are based on numerous factors, may not be reliedon as an indication of trading intent on behalf of any fund.


S P D R P O R T F O L I O A G G R E G AT E B O N D E T FPERFORMANCE SUMMARY (UNAUDITED)

Performance as of June 30, 2019

Cumulative Total Return Average Annual Total Return

NetAssetValue

MarketValue

Bloomberg BarclaysU.S. Aggregate

Bond Index

NetAssetValue

MarketValue

Bloomberg BarclaysU.S. Aggregate

Bond Index

ONE YEAR 7.88% 7.86% 7.87% 7.88% 7.86% 7.87%

FIVE YEARS 15.28% 15.19% 15.64% 2.88% 2.87% 2.95%

TEN YEARS 45.20% 44.63% 46.57% 3.80% 3.76% 3.90%

Comparison of Change in Value of a $10,000 Investment(Based on Net Asset Value)

SPDR Portfolio Aggregate BondETF (a)

Bloomberg Barclays U.S.Aggregate Bond Index (b)

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

6/3

0/10

6/3

0/11

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

6/3

0/09

6/3

0/19

$14,657(b)$14,520(a)

Line graph is based on cumulative total return.

The total expense ratio for SPDR Portfolio Aggregate Bond ETF as stated in the Fees and Expenses table of the mostrecent prospectus is 0.04%.

Performance quoted represents past performance, which is no guarantee of future results. Investment return andprincipal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may behigher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do notreflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale ofFund shares. See �Notes to Performance Summaries� on page 1 for more information.


S P D R P O R T F O L I O A G G R E G AT E B O N D E T FPORTFOLIO STATIST ICS (UNAUDITED)

Top Five Holdings as of June 30, 2019

Description % of Net Assets

Treasury Notes2.63% 1/31/2026 1.2%

Treasury Bonds4.63% 2/15/2040 1.2

Treasury Notes2.50% 12/31/2020 0.9

Treasury Notes2.00% 10/31/2022 0.8

Treasury Notes2.75% 5/31/2023 0.8

TOTAL 4.9%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain investedin any particular company.)

Asset Allocation as of June 30, 2019

% of Net Assets

U.S. Treasury Obligations 38.8%U.S. Government Agency Obligations 28.9Corporate Bonds & Notes 25.8Foreign Government Obligations 3.6Mortgage-Backed Securities 1.2Municipal Bonds & Notes 0.4Asset-Backed Securities 0.4Short-Term Investments 4.0Liabilities in Excess of Other Assets (3.1)

TOTAL 100.0%

(The Fund’s asset allocation is expressed as a percentage of net assets and may change over time.)


S P D R P O R T F O L I O I N T E R M E D I AT E T E R M C O R P O R AT E B O N D E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Intermediate Term Corporate Bond ETF (the “Fund”) seeks to provide investment results that, beforefees and expenses, correspond generally to the price and yield performance of an index that tracks the intermediate term(1-10 years) sector of the United States corporate bond market. The Fund’s benchmark is the Bloomberg BarclaysU.S. Intermediate Corporate Bond Index (the “Index”).

For the 12-month period ended June 30, 2019 (the “Reporting Period”), the total return for the Fund was 8.45%, and theIndex was 8.57%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’sperformance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index isunmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.




S P D R P O R T F O L I O I N T E R M E D I AT E T E R M C O R P O R AT E B O N D E T FPERFORMANCE SUMMARY (UNAUDITED)



NetAssetValue

MarketValue

Bloomberg BarclaysU.S. IntermediateCorporate Bond

Index

NetAssetValue

MarketValue

Bloomberg BarclaysU.S. IntermediateCorporate Bond

Index

ONE YEAR 8.45% 8.43% 8.57% 8.45% 8.43% 8.57%

FIVE YEARS 16.96% 16.62% 17.59% 3.18% 3.12% 3.29%

TEN YEARS(1) (2) 58.50% 56.12% 64.85% 4.71% 4.56% 5.13%

(1) Effective December 17, 2010, the Fund changed its benchmark index to the Bloomberg Barclays U.S. Intermediate Corporate Bond Index. The Fund’sperformance is based on the Fund’s prior investment strategy to track a different benchmark index for periods prior to December 17, 2010.

(2) Index returns represent the Fund’s prior benchmark index from June 30, 2009 through December 16, 2010 and the Bloomberg Barclays U.S. IntermediateCorporate Bond Index from December 17, 2010 through June 30, 2019.


SPDR Portfolio IntermediateTerm Corporate Bond ETF (a) (1)

Bloomberg Barclays U.S.Intermediate Corporate BondIndex (b) (2)

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

6/3

0/10

6/3

0/11

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

6/3

0/09

6/3

0/19

$16,485(b)(2)$15,850(a)(1)


The total expense ratio for SPDR Portfolio Intermediate Term Corporate Bond ETF as stated in the Fees andExpenses table of the most recent prospectus is 0.07%.



S P D R P O R T F O L I O I N T E R M E D I AT E T E R M C O R P O R AT E B O N D E T FPORTFOLIO STATIST ICS (UNAUDITED)



Charter Communications Operating LLC/Charter Communications Operating Capital4.91% 7/23/2025 0.3%

CVS Health Corp.4.30% 3/25/2028 0.3

Goldman Sachs Group, Inc.5.25% 7/27/2021 0.2

GE Capital International Funding Co.2.34% 11/15/2020 0.2

Anheuser-Busch InBev Worldwide, Inc.4.75% 1/23/2029 0.2

TOTAL 1.2%



% of Net Assets

Corporate Bonds & Notes 98.9%Short-Term Investments 0.5Other Assets in Excess of Liabilities 0.6

TOTAL 100.0%


Sector Breakdown as of June 30, 2019

% of Total Investments

Financial 38.9%Consumer, Non-cyclical 16.5Energy 8.3Technology 7.4Industrial 7.4Consumer, Cyclical 7.0Communications 6.8Utilities 4.9Basic Materials 2.3Short-Term Investments 0.5

TOTAL 100.0%

(The sector breakdown is expressed as a percentage of total investments and may change over time.)


S P D R P O R T F O L I O L O N G T E R M C O R P O R AT E B O N D E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Long Term Corporate Bond ETF (the “Fund”) seeks to provide investment results that, before fees andexpenses, correspond generally to the price and yield performance of an index that tracks the long term (10+ years) sectorof the United States corporate bond market. The Fund’s benchmark is the Bloomberg Barclays U.S. Long Term CorporateBond Index (the “Index”).

For the 12-month period ended June 30, 2019 (the “Reporting Period”), the total return for the Fund was 14.81%, and theIndex was 15.19%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’sperformance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index isunmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.Fees and expenses, security selection, intra-day and pricing differences contributed to the difference between the Fund’sperformance and that of the Index.

The Fund lost 0.67% in the second half of 2018, as the Federal Reserve raised the target fed funds rate by 50 basis points.Softening economic data (decelerating core and headline inflation) and increasing trade and political uncertainties weremajor contributors to risk-off sentiment in late 2018, causing credit spreads to rise. Treasury rates peaked in November, buta dovish turn by the Fed in early 2019 increased the likelihood of an ease in monetary policy. As a result, in the first half of2019, Treasury yields and credit spreads declined, and the Fund gained 15.59%.



S P D R P O R T F O L I O L O N G T E R M C O R P O R AT E B O N D E T FPERFORMANCE SUMMARY (UNAUDITED)



NetAssetValue

MarketValue

Bloomberg BarclaysU.S. Long TermCorporate Bond

Index

NetAssetValue

MarketValue

Bloomberg BarclaysU.S. Long TermCorporate Bond

Index

ONE YEAR 14.81% 15.10% 15.19% 14.81% 15.10% 15.19%

FIVE YEARS 32.28% 31.97% 32.59% 5.75% 5.70% 5.80%

TEN YEARS(1) (2) 113.77% 113.52% 126.17% 7.89% 7.88% 8.50%

(1) Effective December 17, 2010, the Fund changed its benchmark index to the Bloomberg Barclays U.S. Long Term Corporate Bond Index. The Fund’sperformance is based on the Fund’s prior investment strategy to track a different benchmark index for periods prior to December 17, 2010.

(2) Index returns represent the Fund’s prior benchmark index from June 30, 2009 through December 16, 2010 and the Bloomberg Barclays U.S. Long TermCorporate Bond Index from December 17, 2010 through June 30, 2019.


SPDR Portfolio Long TermCorporate Bond ETF (a)(1)

Bloomberg Barclays U.S. LongTerm Corporate Bond Index(b)(2)

$9,000$10,000$11,000$12,000$13,000$14,000$15,000$16,000$17,000$18,000$19,000$20,000$21,000$22,000$23,000

6/3

0/10

6/3

0/11

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

6/3

0/09

6/3

0/19

$22,617(b)(2)$21,377(a)(1)


The total expense ratio for SPDR Portfolio Long Term Corporate Bond ETF as stated in the Fees and Expenses tableof the most recent prospectus is 0.07%.



S P D R P O R T F O L I O L O N G T E R M C O R P O R AT E B O N D E T FPORTFOLIO STATIST ICS (UNAUDITED)



Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.4.90% 2/1/2046 0.6%

CVS Health Corp.5.05% 3/25/2048 0.5


General Electric Co.6.75% 3/15/2032 0.4

Verizon Communications, Inc.4.86% 8/21/2046 0.3

TOTAL 2.2%



% of Net Assets

Corporate Bonds & Notes 98.6%Short-Term Investments 0.4Other Assets in Excess of Liabilities 1.0

TOTAL 100.0%



% of Total Investments

Consumer, Non-cyclical 21.4%Communications 15.7Financial 15.0Utilities 12.0Energy 10.6Industrial 9.0Technology 6.6Consumer, Cyclical 5.2Basic Materials 4.1Short-Term Investments 0.4

TOTAL 100.0%

(The sector breakdown is expressed as a percentage of total investments and may change over time.)


S P D R P O R T F O L I O L O N G T E R M T R E A S U RY E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Long Term Treasury ETF (the “Fund”) seeks to provide investment results that, before fees andexpenses, correspond generally to the price and yield performance of an index that tracks the long term (10+ years) sectorof the United States Treasury market. The Fund’s benchmark is the Bloomberg Barclays Long U.S. Treasury Index (the“Index”).


The Fund lost 2.89% in the third quarter of 2018, as the Federal Reserve was in the process of gradually tightening policyrates, and US Treasury yields were rising. However, softening economic data (decelerating core and headline inflation) andincreasing trade and political uncertainties were major contributors to risk-off sentiment in late 2018. The five-year Treasuryrate peaked in November at nearly 3.5%, but a dovish turn by the Fed in early 2019 increased the likelihood of an ease inmonetary policy. As a result, the 30-year rate fell by over 90 basis points from late 2018 through June 2019, positivelyimpacting Fund performance. The Fund gained 15.59% from October 2018 to June 2019.



S P D R P O R T F O L I O L O N G T E R M T R E A S U R Y E T FPERFORMANCE SUMMARY (UNAUDITED)



NetAssetValue

MarketValue

Bloomberg BarclaysLong U.S. Treasury

Index

NetAssetValue

MarketValue

Bloomberg BarclaysLong U.S. Treasury

Index

ONE YEAR 12.24% 12.17% 12.30% 12.24% 12.17% 12.30%

FIVE YEARS 31.40% 31.46% 32.00% 5.61% 5.62% 5.71%

TEN YEARS 86.42% 86.26% 88.27% 6.43% 6.42% 6.53%


SPDR Portfolio Long TermTreasury ETF (a)

Bloomberg Barclays Long U.S.Treasury Index (b)

$9,000

$12,000

$15,000

$18,000

6/3

0/10

6/3

0/11

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

6/3

0/09

6/3

0/19

$18,827(b)$18,642(a)


The total expense ratio for SPDR Portfolio Long Term Treasury ETF as stated in the Fees and Expenses table of themost recent prospectus is 0.06%.



S P D R P O R T F O L I O L O N G T E R M T R E A S U R Y E T FPORTFOLIO STATIST ICS (UNAUDITED)



Treasury Bonds3.38% 11/15/2048 3.7%

Treasury Bonds3.00% 2/15/2049 3.5

Treasury Bonds3.75% 11/15/2043 3.3

Treasury Bonds3.00% 8/15/2048 3.3

Treasury Bonds3.63% 2/15/2044 3.2

TOTAL 17.0%



% of Net Assets

U.S. Treasury Obligations 99.1%Short-Term Investment 0.0*Other Assets in Excess of Liabilities 0.9

TOTAL 100.0%

* Amount shown represents less than 0.05% of net assets.(The Fund’s asset allocation is expressed as a percentage of net assets and may change over time.)


S P D R P O R T F O L I O S H O R T T E R M C O R P O R AT E B O N D E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Short Term Corporate Bond ETF (the “Fund”) seeks to provide investment results that, before fees andexpenses, correspond generally to the price and yield performance of an index that tracks the short-term U.S. corporatebond market. The Fund’s benchmark is the Bloomberg Barclays U.S. 1-3 Year Corporate Bond Index (the “Index”).





S P D R P O R T F O L I O S H O R T T E R M C O R P O R AT E B O N D E T FPERFORMANCE SUMMARY (UNAUDITED)



NetAssetValue

MarketValue

Bloomberg BarclaysU.S. 1-3 Year

Corporate BondIndex

NetAssetValue

MarketValue

Bloomberg BarclaysU.S. 1-3 Year

Corporate BondIndex

ONE YEAR 4.83% 4.93% 4.93% 4.83% 4.93% 4.93%

FIVE YEARS 9.80% 9.69% 10.81% 1.89% 1.87% 2.07%

SINCE INCEPTION(1) 21.35% 21.42% 26.08% 2.05% 2.06% 2.46%

(1) For the period December 16, 2009 to June 30, 2019. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception,for the period from inception to the first day of secondary market trading in shares of the Fund (12/16/09, 12/17/09, respectively), the NAV of the Fund isused as a proxy for the secondary market trading price to calculate market returns.


SPDR Portfolio Short TermCorporate Bond ETF (a)

Bloomberg Barclays U.S. 1-3Year Corporate Bond Index (b)

$9,500

$10,000

$10,500

$11,000

$11,500

$12,000

$12,500

$13,000

$13,500

6/3

0/10

6/3

0/11

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

12/1

6/09

6/3

0/19

$12,608(b)

$12,135(a)


The total expense ratio for SPDR Portfolio Short Term Corporate Bond ETF as stated in the Fees and Expenses tableof the most recent prospectus is 0.07%.



S P D R P O R T F O L I O S H O R T T E R M C O R P O R AT E B O N D E T FPORTFOLIO STATIST ICS (UNAUDITED)



GE Capital International Funding Co.2.34% 11/15/2020 0.7%

Oracle Corp.1.90% 9/15/2021 0.4

Morgan Stanley2.63% 11/17/2021 0.4


Abbott Laboratories2.90% 11/30/2021 0.3

TOTAL 2.2%



% of Net Assets

Corporate Bonds & Notes 98.9%Short-Term Investments 2.1Liabilities in Excess of Other Assets (1.0)

TOTAL 100.0%



% of Net Assets

Financial 44.0%Consumer, Non-cyclical 15.7Consumer, Cyclical 8.2Technology 7.1Energy 6.5Industrial 6.2Communications 5.2Utilities 4.3Basic Materials 1.7Short-Term Investments 2.1Liabilities in Excess of Other Assets (1.0)

TOTAL 100.0%

(The Fund’s sector breakdown is expressed as a percentage of net assets and may change over time.)


S P D R P O R T F O L I O S H O R T T E R M T R E A S U RY E T FMANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Portfolio Short Term Treasury ETF (the “Fund”) seeks to provide investment results that, before fees andexpenses, correspond generally to the price and yield performance of an index that tracks the short term sector of theUnited States Treasury market. The Fund’s benchmark is Bloomberg Barclays 1-3 Year U.S. Treasury Index (the “Index”).


The Fund gained 0.18% in the third quarter of 2018, even as the Federal Reserve raised the target fed funds rate by 50 basispoints (bps). Softening economic data (decelerating core and headline inflation) and increasing trade and politicaluncertainties were major contributors to risk-off sentiment in late 2018. The two-year Treasury rate peaked in November at2.98%, but a dovish turn by the Fed in early 2019 increased the likelihood of an ease in monetary policy. As a result, the ratefell by over 120 bps from late 2018 through June 2019, positively impacting Fund performance. The Fund gained 3.79%from October 2018 to June 2019.



S P D R P O R T F O L I O S H O R T T E R M T R E A S U R Y E T FPERFORMANCE SUMMARY (UNAUDITED)



NetAssetValue

MarketValue

Bloomberg Barclays1-3 Year

U.S. Treasury Index

NetAssetValue

MarketValue

Bloomberg Barclays1-3 Year

U.S. Treasury Index

ONE YEAR 3.97% 3.95% 4.02% 3.97% 3.95% 4.02%

FIVE YEARS(1) (2) 6.38% 6.36% 6.80% 1.24% 1.24% 1.32%

SINCE INCEPTION(1) (2) (3) 7.86% 7.87% 8.60% 1.00% 1.00% 1.09%

(1) Effective April 30, 2018 the Fund changed its benchmark index to the Bloomberg Barclays 1-3 Year U.S. Treasury Index. The Fund’s performance is based onthe Fund’s prior investment strategy to track a different benchmark index for periods prior to April, 30, 2018.

(2) Index returns represent the Fund’s prior benchmark index from November 30, 2011 through April 29, 2018 and the Bloomberg Barclays 1-3 Year U.S. TreasuryIndex from April 30, 2018 through June 30, 2018.

(3) For the period November 30, 2011 to June 30, 2019. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception,for the period from inception to the first day of secondary market trading in shares of the Fund (11/30/11, 12/1/11, respectively), the NAV of the Fund is usedas a proxy for the secondary market trading price to calculate market returns.


SPDR Portfolio Short TermTreasury ETF (a) (1)

Bloomberg Barclays 1-3 YearU.S. Treasury Index (b) (2)

$9,800

$10,000

$10,200

$10,400

$10,600

$10,800

6/3

0/12

6/3

0/13

6/3

0/14

6/3

0/15

6/3

0/16

6/3

0/17

6/3

0/18

11/3

0/11

6/3

0/19

$10,860(b)(2)$10,786(a)(1)


The total expense ratio for SPDR Portfolio Short Term Treasury ETF as stated in the Fees and Expenses table of themost recent prospectus is 0.06%.



S P D R P O R T F O L I O S H O R T T E R M T R E A S U R Y E T FPORTFOLIO STATIST ICS (UNAUDITED)



Treasury Notes2.25% 4/30/2021 2.7%

Treasury Notes2.25% 3/31/2021 2.3

Treasury Notes2.63% 11/15/2020 2.0

Treasury Notes2.13% 5/31/2021 1.9

Treasury Notes2.75% 11/30/2020 1.9

TOTAL 10.8%



% of Net Assets

U.S. Treasury Obligations 99.2%Short-Term Investments 0.3Other Assets in Excess of Liabilities 0.5

TOTAL 100.0%



Security DescriptionPrincipalAmount Value

CORPORATE BONDS &NOTES — 25.8%

ADVERTISING — 0.0% (a)Other Securities . . . . . . . . . . . $ 1,317,195

AEROSPACE & DEFENSE —0.5%

Other Securities . . . . . . . . . . . 19,159,019

AGRICULTURE — 0.3%Other Securities . . . . . . . . . . . 13,593,607

AIRLINES — 0.1%Other Securities . . . . . . . . . . . 3,747,772

APPAREL — 0.0% (a)Other Securities . . . . . . . . . . . 938,771

AUTO MANUFACTURERS —0.5%


AUTO PARTS &EQUIPMENT — 0.0% (a)


BANKS — 5.5%Other Securities . . . . . . . . . . . 224,071,239

BEVERAGES — 0.7%Other Securities . . . . . . . . . . . 26,903,038

BIOTECHNOLOGY — 0.4%Other Securities . . . . . . . . . . . 14,842,338

BUILDING MATERIALS —0.1%


CHEMICALS — 0.4%Other Securities . . . . . . . . . . . 16,162,198

COMMERCIAL SERVICES— 0.2%


COMPUTERS — 0.7%Other Securities . . . . . . . . . . . 26,755,437

COSMETICS/PERSONALCARE — 0.1%


DISTRIBUTION &WHOLESALE — 0.0% (a)

Other Securities . . . . . . . . . . . 661,436

DIVERSIFIED FINANCIALSERVICES — 0.9%


ELECTRIC — 1.8%Other Securities . . . . . . . . . . . 72,984,077

ELECTRICALCOMPONENTS &EQUIPMENT — 0.0% (a)



ELECTRONICS — 0.1%Other Securities . . . . . . . . . . . $ 5,676,488

ENGINEERING &CONSTRUCTION — 0.0%(a)

Other Security . . . . . . . . . . . . 103,206

ENVIRONMENTALCONTROL — 0.1%


FOOD — 0.4%Other Securities . . . . . . . . . . . 17,714,068

FOREST PRODUCTS &PAPER — 0.1%


GAS — 0.1%Other Securities . . . . . . . . . . . 5,136,139

HAND & MACHINE TOOLS— 0.0% (a)


HEALTH CARE PRODUCTS— 0.4%


HEALTH CARE SERVICES— 0.6%


HOME BUILDERS — 0.0%(a)


HOME FURNISHINGS —0.1%


HOUSEHOLD PRODUCTS &WARES — 0.0% (a)


HOUSEWARES — 0.0% (a)Other Securities . . . . . . . . . . . 1,447,492

INSURANCE — 0.9%Other Securities . . . . . . . . . . . 34,550,770

INTERNET — 0.3%Other Securities . . . . . . . . . . . 11,825,204

INVESTMENT COMPANYSECURITY — 0.0% (a)


IRON/STEEL — 0.1%Other Securities . . . . . . . . . . . 4,898,338

LEISURE TIME — 0.0% (a)Other Securities . . . . . . . . . . . 1,325,787

LODGING — 0.1%Other Securities . . . . . . . . . . . 3,061,319

SPDR PORTFOLIO AGGREGATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTSJune 30, 2019



MACHINERY,CONSTRUCTION &MINING — 0.1%

Other Securities . . . . . . . . . . . $ 4,630,555

MACHINERY-DIVERSIFIED— 0.2%


MEDIA — 1.0%Other Securities . . . . . . . . . . . 39,122,973

METAL FABRICATE &HARDWARE — 0.0% (a)


MINING — 0.1%Other Securities . . . . . . . . . . . 5,902,777

MISCELLANEOUSMANUFACTURER — 0.3%


OFFICE FURNISHINGS —0.0% (a)

Other Security . . . . . . . . . . . . 753,376

OIL & GAS — 1.5%Other Securities . . . . . . . . . . . 61,618,343

OIL & GAS SERVICES —0.1%


PACKAGING &CONTAINERS — 0.1%


PHARMACEUTICALS —1.4%


PIPELINES — 1.0%Other Securities . . . . . . . . . . . 40,480,319

REAL ESTATE — 0.0% (a)Other Security . . . . . . . . . . . . 140,233

REAL ESTATEINVESTMENT TRUSTS —0.9%


RETAIL — 0.8%Other Securities . . . . . . . . . . . 31,837,420

SAVINGS & LOANS — 0.0%(a)

Other Security . . . . . . . . . . . . 221,990

SEMICONDUCTORS — 0.4%Other Securities . . . . . . . . . . . 17,971,804

SHIPBUILDING — 0.0% (a)Other Security . . . . . . . . . . . . 160,713

SOFTWARE — 0.7%Other Securities . . . . . . . . . . . 26,851,937


TELECOMMUNICATIONS— 1.2%


TEXTILES — 0.0% (a)Other Securities . . . . . . . . . . . 561,205

TOYS/GAMES/HOBBIES —0.0% (a)


TRANSPORTATION — 0.5%Other Securities . . . . . . . . . . . 21,748,636

TRUCKING & LEASING —0.0% (a)


WATER — 0.0% (a)Other Securities . . . . . . . . . . . 1,624,449

TOTAL CORPORATEBONDS & NOTES(Cost $1,003,784,407) . . . . . . . 1,050,429,381

ASSET-BACKEDSECURITIES — 0.4%

ASSET-BACKED - OTHER —0.0% (a)


AUTOMOBILE — 0.2%Other Securities . . . . . . . . . . . 8,440,128

CREDIT CARD — 0.2%Other Securities . . . . . . . . . . . 8,450,278

TOTAL ASSET-BACKEDSECURITIES(Cost $18,130,813) . . . . . . . . . 18,428,533

FOREIGN GOVERNMENTOBLIGATIONS — 3.6%

AUSTRIA — 0.0% (a)Other Securities . . . . . . . . . . . 780,386

CANADA — 0.3%Other Securities . . . . . . . . . . . 13,848,480

CHILE — 0.1%Other Securities . . . . . . . . . . . 2,557,401

COLOMBIA — 0.1%Other Securities . . . . . . . . . . . 5,574,600

GERMANY — 0.5%Other Securities . . . . . . . . . . . 18,655,438

HUNGARY — 0.1%Other Securities . . . . . . . . . . . 2,952,882

INDONESIA — 0.1%Other Securities . . . . . . . . . . . 2,936,460

ISRAEL — 0.0% (a)Other Securities . . . . . . . . . . . 1,676,746

SPDR PORTFOLIO AGGREGATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)June 30, 2019



ITALY — 0.0% (a)Other Security . . . . . . . . . . . . $ 739,203

JAPAN — 0.2%Other Securities . . . . . . . . . . . 7,079,506

MEXICO — 0.2%Other Securities . . . . . . . . . . . 9,240,524

PANAMA — 0.1%Other Securities . . . . . . . . . . . 2,394,822

PERU — 0.1%Other Securities . . . . . . . . . . . 2,723,062

PHILIPPINES — 0.1%Other Securities . . . . . . . . . . . 5,452,500

POLAND — 0.1%Other Securities . . . . . . . . . . . 3,025,786

SOUTH KOREA — 0.1%Other Securities . . . . . . . . . . . 6,260,320

SUPRANATIONAL — 1.4%Other Securities . . . . . . . . . . . 55,907,398

SWEDEN — 0.0% (a)Other Securities . . . . . . . . . . . 1,945,162

UNITED KINGDOM — 0.0%(a)

Other Security . . . . . . . . . . . . 198,300

URUGUAY — 0.1%Other Securities . . . . . . . . . . . 2,404,468

TOTAL FOREIGNGOVERNMENTOBLIGATIONS(Cost $141,563,961) . . . . . . . . 146,353,444

U.S. GOVERNMENTAGENCY OBLIGATIONS— 28.9%

Federal Home Loan MortgageCorp.:

1.13%, 8/12/2021 . . . . . . . . . . $ 195,000 192,2331.63%, 9/29/2020 . . . . . . . . . . 1,000,000 996,5102.38%, 2/16/2021 . . . . . . . . . . 5,000,000 5,042,4502.38%, 1/13/2022 . . . . . . . . . . 4,330,000 4,392,1352.50%, 9/1/2028 . . . . . . . . . . . 209,482 211,6922.50%, 10/1/2029 . . . . . . . . . . 549,720 555,3102.50%, 1/1/2031 . . . . . . . . . . . 662,429 669,1292.50%, 5/1/2031 . . . . . . . . . . . 2,060,625 2,078,8002.50%, 6/1/2031 . . . . . . . . . . . 794,086 801,0902.50%, 11/1/2032 . . . . . . . . . . 2,019,905 2,036,4392.50%, 12/1/2032 . . . . . . . . . . 1,560,772 1,573,5482.50%, 2/1/2033 . . . . . . . . . . . 3,224,761 3,251,1583.00%, 11/1/2027 . . . . . . . . . . 2,167,666 2,216,2403.00%, 2/1/2029 . . . . . . . . . . . 376,852 385,4423.00%, 7/1/2029 . . . . . . . . . . . 382,140 390,8053.00%, 9/1/2029 . . . . . . . . . . . 595,280 608,779


3.00%, 4/1/2030 . . . . . . . . . . . $ 568,858 $ 581,8863.00%, 12/1/2030 . . . . . . . . . . 1,462,756 1,496,2563.00%, 5/1/2031 . . . . . . . . . . . 1,175,631 1,200,8903.00%, 9/1/2032 . . . . . . . . . . . 3,564,960 3,640,0243.00%, 1/1/2033 . . . . . . . . . . . 1,422,482 1,452,4343.00%, 5/1/2033 . . . . . . . . . . . 7,552,080 7,703,9473.00%, 5/1/2035 . . . . . . . . . . . 3,218,906 3,283,7603.00%, 7/1/2035 . . . . . . . . . . . 618,117 630,5713.00%, 4/1/2036 . . . . . . . . . . . 1,301,511 1,326,4943.00%, 3/1/2043 . . . . . . . . . . . 1,016,074 1,035,6223.00% 4/1/2043 . . . . . . . . . . . 1,854,060 1,889,7293.00% 7/1/2043 . . . . . . . . . . . 670,026 682,9173.00%, 8/1/2043 . . . . . . . . . . . 297,316 303,0363.00%, 9/1/2043 . . . . . . . . . . . 370,631 377,7623.00%, 10/1/2043 . . . . . . . . . . 304,071 309,9213.00%, 6/1/2045 . . . . . . . . . . . 1,354,558 1,376,8503.00% 8/1/2045 . . . . . . . . . . . 3,728,706 3,795,5123.00%, 4/1/2046 . . . . . . . . . . . 2,334,051 2,367,8283.00%, 9/1/2046 . . . . . . . . . . . 1,571,406 1,594,1473.00%, 10/1/2046 . . . . . . . . . . 8,628,231 8,753,0963.00%, 11/1/2046 . . . . . . . . . . 1,496,277 1,517,9313.00% 12/1/2046. . . . . . . . . . . 6,268,823 6,359,5433.00%, 2/1/2047 . . . . . . . . . . . 4,083,159 4,142,2493.00%, 12/1/2047 . . . . . . . . . . 11,228,474 11,362,7843.00%, 1/1/2048 . . . . . . . . . . . 3,028,948 3,065,1793.00%, 2/1/2048 . . . . . . . . . . . 6,888,603 6,971,0013.00%, 3/1/2048 . . . . . . . . . . . 324,139 328,0163.50%, 5/1/2026 . . . . . . . . . . . 486,396 502,6053.50%, 1/1/2029 . . . . . . . . . . . 130,873 135,3903.50%, 11/1/2029 . . . . . . . . . . 421,256 436,1923.50%, 2/1/2030 . . . . . . . . . . . 210,680 218,7533.50%, 3/1/2032 . . . . . . . . . . . 476,705 494,8003.50%, 6/1/2033 . . . . . . . . . . . 1,699,493 1,755,9203.50%, 1/1/2034 . . . . . . . . . . . 5,113,408 5,283,1843.50%, 3/1/2038 . . . . . . . . . . . 1,820,936 1,879,7363.50%, 5/1/2043 . . . . . . . . . . . 283,286 293,3403.50% 8/1/2043 . . . . . . . . . . . 1,450,557 1,502,0403.50%, 6/1/2044 . . . . . . . . . . . 390,061 403,2483.50%, 8/1/2044 . . . . . . . . . . . 766,874 792,8003.50%, 10/1/2044 . . . . . . . . . . 446,630 461,7293.50%, 11/1/2044 . . . . . . . . . . 702,161 725,8993.50%, 12/1/2044 . . . . . . . . . . 743,162 768,2873.50%, 1/1/2045 . . . . . . . . . . . 716,156 740,3673.50%, 2/1/2045 . . . . . . . . . . . 976,926 1,009,9543.50% 7/1/2045 . . . . . . . . . . . 1,642,249 1,697,0373.50%, 10/1/2045 . . . . . . . . . . 965,181 994,7073.50% 12/1/2045. . . . . . . . . . . 1,456,809 1,505,0123.50%, 3/1/2046 . . . . . . . . . . . 2,066,606 2,129,0823.50%, 5/1/2046 . . . . . . . . . . . 949,542 978,2483.50%, 8/1/2046 . . . . . . . . . . . 4,980,842 5,133,2123.50%, 9/1/2046 . . . . . . . . . . . 11,015,731 11,348,7523.50%, 12/1/2046 . . . . . . . . . . 1,324,466 1,364,5063.50%, 4/1/2047 . . . . . . . . . . . 202,512 208,5233.50%, 9/1/2047 . . . . . . . . . . . 9,596,808 9,881,6793.50%, 10/1/2047 . . . . . . . . . . 1,324,459 1,363,774




3.50%, 11/1/2047 . . . . . . . . . . $ 495,011 $ 509,7053.50%, 12/1/2047 . . . . . . . . . . 1,171,674 1,206,4543.50%, 1/1/2048 . . . . . . . . . . . 2,977,918 3,066,3143.50%, 2/1/2048 . . . . . . . . . . . 9,645,046 9,931,3503.50%, 5/1/2048 . . . . . . . . . . . 6,623,601 6,790,9263.50%, 6/1/2048 . . . . . . . . . . . 4,659,276 4,776,9783.50%, 7/1/2048 . . . . . . . . . . . 3,220,235 3,301,5843.50%, 11/1/2048 . . . . . . . . . . 8,115,028 8,320,0284.00%, 4/1/2024 . . . . . . . . . . . 47,565 49,3924.00%, 5/1/2025 . . . . . . . . . . . 37,313 38,7704.00%, 6/1/2025 . . . . . . . . . . . 85,918 89,2734.00%, 8/1/2025 . . . . . . . . . . . 21,300 22,1324.00%, 9/1/2025 . . . . . . . . . . . 19,365 20,1214.00%, 6/1/2026 . . . . . . . . . . . 208,847 217,3904.00%, 10/1/2040 . . . . . . . . . . 254,140 268,5004.00%, 12/1/2041 . . . . . . . . . . 807,963 852,9614.00%, 4/1/2042 . . . . . . . . . . . 543,622 573,8984.00%, 6/1/2042 . . . . . . . . . . . 1,117,258 1,176,5574.00% 5/1/2044 . . . . . . . . . . . 673,835 706,9844.00%, 7/1/2044 . . . . . . . . . . . 1,044,501 1,095,8844.00%, 12/1/2044 . . . . . . . . . . 352,077 369,3974.00%, 4/1/2045 . . . . . . . . . . . 795,853 832,5274.00%, 5/1/2045 . . . . . . . . . . . 3,440,081 3,631,6714.00%, 10/1/2045 . . . . . . . . . . 1,246,256 1,303,6864.00%, 1/1/2046 . . . . . . . . . . . 902,307 943,8884.00%, 3/1/2046 . . . . . . . . . . . 628,154 659,9034.00%, 9/1/2047 . . . . . . . . . . . 737,138 768,0614.00%, 11/1/2047 . . . . . . . . . . 4,583,016 4,775,2764.00%, 12/1/2047 . . . . . . . . . . 1,720,263 1,792,4294.00%, 1/1/2048 . . . . . . . . . . . 2,692,465 2,805,4164.00%, 4/1/2048 . . . . . . . . . . . 4,571,022 4,739,8524.00% 5/1/2048 . . . . . . . . . . . 8,581,245 8,886,6554.00%, 7/1/2048 . . . . . . . . . . . 7,347,055 7,605,8394.00%, 10/1/2048 . . . . . . . . . . 5,477,347 5,679,6514.00%, 12/1/2048 . . . . . . . . . . 6,954,558 7,199,5174.50%, 10/1/2024 . . . . . . . . . . 14,679 14,9524.50%, 2/1/2039 . . . . . . . . . . . 2,364 2,5424.50%, 6/1/2039 . . . . . . . . . . . 182,648 196,3674.50%, 12/1/2039 . . . . . . . . . . 147,364 158,4334.50%, 6/1/2040 . . . . . . . . . . . 3,678 3,9444.50%, 12/1/2040 . . . . . . . . . . 551,299 591,2084.50%, 4/1/2041 . . . . . . . . . . . 7,054 7,5674.50%, 7/1/2041 . . . . . . . . . . . 400,725 429,8384.50%, 8/1/2041 . . . . . . . . . . . 29,920 32,0934.50%, 9/1/2041 . . . . . . . . . . . 152,908 164,0174.50%, 10/1/2041 . . . . . . . . . . 1,098,278 1,177,7844.50%, 10/1/2043 . . . . . . . . . . 18,111 19,3114.50%, 8/1/2044 . . . . . . . . . . . 20,848 22,1814.50%, 9/1/2044 . . . . . . . . . . . 471,182 501,2994.50%, 4/1/2047 . . . . . . . . . . . 257,995 272,0444.50%, 10/1/2047 . . . . . . . . . . 229,321 241,8094.50%, 12/1/2047 . . . . . . . . . . 712,204 750,9864.50% 1/1/2048 . . . . . . . . . . . 2,521,562 2,658,8694.50%, 7/1/2048 . . . . . . . . . . . 3,504,535 3,665,1754.50%, 12/1/2048 . . . . . . . . . . 2,873,598 3,005,317


4.50%, 3/1/2049 . . . . . . . . . . . $ 4,369,110 $ 4,569,3805.00%, 11/1/2035 . . . . . . . . . . 20,030 21,6725.00% 12/1/2036. . . . . . . . . . . 3,744 4,0295.00% 2/1/2038 . . . . . . . . . . . 285,664 308,2275.00% 3/1/2038 . . . . . . . . . . . 194,191 209,5325.00%, 6/1/2038 . . . . . . . . . . . 48,395 52,2115.00% 11/1/2038. . . . . . . . . . . 397,537 428,9545.00%, 1/1/2039 . . . . . . . . . . . 57,275 61,7905.00%, 2/1/2039 . . . . . . . . . . . 132,470 142,9125.00%, 3/1/2039 . . . . . . . . . . . 415,282 447,8915.00%, 10/1/2039 . . . . . . . . . . 39,272 42,3675.00%, 7/1/2048 . . . . . . . . . . . 3,580,793 3,801,8295.00%, 9/1/2048 . . . . . . . . . . . 829,250 880,4325.00%, 3/1/2049 . . . . . . . . . . . 1,906,641 2,017,1575.50%, 2/1/2022 . . . . . . . . . . . 3,033 3,1205.50%, 11/1/2026 . . . . . . . . . . 40,638 43,5725.50%, 6/1/2027 . . . . . . . . . . . 11,370 12,1965.50%, 4/1/2028 . . . . . . . . . . . 18,497 19,8245.50%, 7/1/2028 . . . . . . . . . . . 27,107 29,0515.50%, 7/1/2033 . . . . . . . . . . . 2,802 3,0485.50% 1/1/2037 . . . . . . . . . . . 133,251 145,0975.50%, 9/1/2037 . . . . . . . . . . . 1,284 1,4065.50%, 11/1/2037 . . . . . . . . . . 7,368 8,0675.50%, 1/1/2038 . . . . . . . . . . . 64,588 70,7125.50%, 4/1/2038 . . . . . . . . . . . 227,907 250,0165.50% 7/1/2038 . . . . . . . . . . . 318,256 349,1305.50%, 10/1/2038 . . . . . . . . . . 5,734 6,2915.50%, 11/1/2038 . . . . . . . . . . 7,799 8,5566.00%, 8/1/2031 . . . . . . . . . . . 8,327 9,4016.00%, 3/1/2036 . . . . . . . . . . . 10,096 11,6206.00%, 8/1/2036 . . . . . . . . . . . 58,749 67,1986.00%, 1/1/2037 . . . . . . . . . . . 5,550 6,3396.00%, 12/1/2037 . . . . . . . . . . 5,368 6,1366.00%, 10/1/2038 . . . . . . . . . . 3,952 4,3206.00%, 3/1/2040 . . . . . . . . . . . 3,133 3,5946.00%, 5/1/2040 . . . . . . . . . . . 578,703 661,7796.25%, 7/15/2032 . . . . . . . . . . 2,866,000 4,113,9146.50%, 11/1/2037 . . . . . . . . . . 60,892 70,6516.50%, 2/1/2038 . . . . . . . . . . . 9,961 10,9236.50%, 9/1/2038 . . . . . . . . . . . 157,273 183,7706.50%, 9/1/2039 . . . . . . . . . . . 81,832 95,2556.75%, 3/15/2031 . . . . . . . . . . 601,000 871,5642.75%, 6/19/2023 . . . . . . . . . . 645,000 668,465Series GDIF, 6.75%, 9/15/2029. . 185,000 260,582Series GMTN, 1.88%,

11/17/2020. . . . . . . . . . . . . 150,000 149,938Series K015, Class A2, 3.23%,

7/25/2021 . . . . . . . . . . . . . 1,000,000 1,015,735Series K025, Class A1, 1.88%,

4/25/2022 . . . . . . . . . . . . . 247,890 246,638Series K029, Class A1, 2.84%,

10/25/2022. . . . . . . . . . . . . 274,444 276,361Series K037, Class A2, 3.49%,

1/25/2024 . . . . . . . . . . . . . 1,000,000 1,054,782Series K040, Class A2, 3.24%,

9/25/2024 . . . . . . . . . . . . . 700,000 734,963




Series K041, Class A2, 3.17%,10/25/2024. . . . . . . . . . . . . $ 750,000 $ 785,378

Series K049, Class A2, 3.01%,7/25/2025 . . . . . . . . . . . . . 350,000 364,429

Series K053, Class A2, 3.00%,12/25/2025. . . . . . . . . . . . . 350,000 364,390

Series K055, Class A2, 2.67%,3/25/2026 . . . . . . . . . . . . . 1,000,000 1,022,317

Series K064, Class A2, 3.22%,3/25/2027 . . . . . . . . . . . . . 800,000 845,186

Series K067, Class AM, 3.28%,8/25/2027 . . . . . . . . . . . . . 500,000 526,526

Series K069, Class A2, 3.19%,9/25/2027 (b) . . . . . . . . . . . 1,500,000 1,581,288

Series K070, Class A2, 3.30%,11/25/2027 (b) . . . . . . . . . . 1,500,000 1,594,343

Series K072, Class A2, 3.44%,12/25/2027. . . . . . . . . . . . . 2,010,000 2,158,112

Series K078, Class A2, 3.85%,6/25/2028 . . . . . . . . . . . . . 1,000,000 1,105,743

Series K079, Class A2, 3.93%,6/25/2028 . . . . . . . . . . . . . 1,150,000 1,279,051

Series K085, Class A2, 4.06%,10/25/2028 (b) . . . . . . . . . . 2,200,000 2,474,086

Series K086, Class A2, 3.86%,11/25/2028 (b) . . . . . . . . . . 799,999 887,816

Series K087, Class A2, 3.77%,12/25/2028. . . . . . . . . . . . . 270,000 297,720

Series K092, Class A2, 3.30%,4/25/2029 . . . . . . . . . . . . . 500,000 532,985

Series K093, Class A2, 2.98%,5/25/2029 . . . . . . . . . . . . . 500,000 519,402

Series K723, Class A2, 2.45%,8/25/2023 . . . . . . . . . . . . . 650,000 657,813

Series K730, Class A2, 3.59%,1/25/2025 (b) . . . . . . . . . . . 1,000,000 1,066,125

Series K030, Class A2, VRN3.25%, 4/25/2023 (b) . . . . . . 1,000,000 1,039,556

Series K159, Class A3, VRN3.95%, 11/25/2033 (b) . . . . . 666,667 748,554

Federal National MortgageAssociation:

1.25%, 5/6/2021 . . . . . . . . . . . 454,000 449,5421.25%, 8/17/2021 . . . . . . . . . . 1,239,000 1,224,6521.38%, 2/26/2021 . . . . . . . . . . 906,000 899,1691.38%, 10/7/2021 . . . . . . . . . . 286,000 283,1831.50%, 11/30/2020 . . . . . . . . . 167,000 165,9701.88%, 12/28/2020 . . . . . . . . . 250,000 250,0371.88%, 4/5/2022 . . . . . . . . . . . 205,000 205,3511.88%, 9/24/2026 (c) . . . . . . . . 1,019,000 1,009,2182.00%, 1/5/2022 . . . . . . . . . . . 1,350,000 1,356,0212.00%, 10/5/2022 . . . . . . . . . . 1,200,000 1,207,8242.13%, 4/24/2026 . . . . . . . . . . 460,000 462,3512.50%, 7/1/2028 . . . . . . . . . . . 620,191 626,4112.50% 8/1/2028 . . . . . . . . . . . 927,402 936,7042.50%, 10/1/2028 . . . . . . . . . . 425,926 430,1982.50%, 3/1/2029 . . . . . . . . . . . 1,580,620 1,594,868


2.50%, 2/1/2030 . . . . . . . . . . . $ 707,802 $ 714,6382.50%, 5/1/2030 . . . . . . . . . . . 1,081,186 1,091,5432.50%, 7/1/2030 . . . . . . . . . . . 371,310 374,8672.50%, 2/1/2031 . . . . . . . . . . . 1,297,783 1,310,2142.50%, 8/1/2031 . . . . . . . . . . . 3,046,877 3,072,1442.50%, 12/1/2032 . . . . . . . . . . 2,492,390 2,511,4812.50%, 1/1/2033 . . . . . . . . . . . 3,682,921 3,711,1322.50%, 10/1/2042 . . . . . . . . . . 419,796 419,1972.63%, 9/6/2024 . . . . . . . . . . . 2,690,000 2,792,6232.75%, 6/22/2021 . . . . . . . . . . 1,000,000 1,018,2502.88%, 10/30/2020 . . . . . . . . . 1,836,000 1,859,1522.88%, 9/12/2023 . . . . . . . . . . 1,100,000 1,146,1343.00%, 8/1/2027 . . . . . . . . . . . 364,546 372,3673.00%, 11/1/2028 . . . . . . . . . . 703,085 718,7303.00%, 6/1/2029 . . . . . . . . . . . 198,916 203,3203.00% 8/1/2029 . . . . . . . . . . . 1,026,671 1,049,3993.00%, 9/1/2029 . . . . . . . . . . . 405,795 414,7783.00%, 6/1/2030 . . . . . . . . . . . 615,044 628,7923.00%, 9/1/2030 . . . . . . . . . . . 106,908 109,2973.00%, 11/1/2030 . . . . . . . . . . 246,420 251,9283.00%, 12/1/2030 . . . . . . . . . . 829,359 847,8973.00%, 6/1/2032 . . . . . . . . . . . 5,429,414 5,540,6583.00%, 10/1/2032 . . . . . . . . . . 1,588,839 1,621,3943.00%, 1/1/2033 . . . . . . . . . . . 1,097,863 1,120,3573.00%, 2/1/2033 . . . . . . . . . . . 2,508,126 2,559,5183.00%, 2/1/2034 . . . . . . . . . . . 4,569,655 4,659,0063.00%, 2/1/2035 . . . . . . . . . . . 442,757 451,7693.00%, 3/1/2035 . . . . . . . . . . . 357,960 364,9673.00%, 2/1/2036 . . . . . . . . . . . 945,034 963,5343.00%, 11/1/2036 . . . . . . . . . . 2,206,261 2,247,3223.00%, 1/1/2037 . . . . . . . . . . . 2,385,474 2,429,8713.00%, 9/1/2037 . . . . . . . . . . . 2,396,578 2,440,8533.00%, 1/1/2038 . . . . . . . . . . . 3,605,340 3,671,9453.00%, 12/1/2042 . . . . . . . . . . 561,101 571,6533.00%, 1/1/2043 . . . . . . . . . . . 1,054,786 1,074,6223.00%, 3/1/2043 . . . . . . . . . . . 1,174,946 1,196,8603.00%, 4/1/2043 . . . . . . . . . . . 294,241 299,7293.00% 5/1/2043 . . . . . . . . . . . 3,115,145 3,173,2443.00% 6/1/2043 . . . . . . . . . . . 2,207,768 2,248,9463.00% 7/1/2043 . . . . . . . . . . . 2,022,054 2,059,7663.00%, 8/1/2043 . . . . . . . . . . . 895,883 912,7313.00%, 2/1/2044 . . . . . . . . . . . 8,971,683 9,139,0113.00%, 5/1/2045 . . . . . . . . . . . 7,395,333 7,533,2613.00%, 8/1/2045 . . . . . . . . . . . 11,880,359 12,101,9363.00%, 9/1/2045 . . . . . . . . . . . 1,023,736 1,039,9743.00% 11/1/2045. . . . . . . . . . . 2,323,495 2,360,3483.00%, 5/1/2046 . . . . . . . . . . . 2,326,725 2,359,0233.00%, 8/1/2046 . . . . . . . . . . . 2,572,940 2,608,6563.00%, 9/1/2046 . . . . . . . . . . . 2,478,312 2,512,7143.00%, 10/1/2046 . . . . . . . . . . 906,645 919,2313.00% 11/1/2046. . . . . . . . . . . 7,276,424 7,402,4093.00% 1/1/2047 . . . . . . . . . . . 7,265,269 7,366,1203.00%, 3/1/2047 . . . . . . . . . . . 480,855 487,5303.00%, 7/1/2047 . . . . . . . . . . . 6,079,865 6,164,2613.00%, 2/1/2048 . . . . . . . . . . . 8,110,201 8,202,401




3.50%, 10/1/2025 . . . . . . . . . . $ 131,164 $ 135,3853.50%, 11/1/2025 . . . . . . . . . . 157,357 162,4213.50%, 3/1/2026 . . . . . . . . . . . 96,304 99,4383.50%, 1/1/2027 . . . . . . . . . . . 510,616 527,0493.50%, 5/1/2029 . . . . . . . . . . . 200,007 206,9703.50%, 1/1/2030 . . . . . . . . . . . 351,662 363,9053.50%, 6/1/2033 . . . . . . . . . . . 3,586,543 3,703,7133.50%, 6/1/2034 . . . . . . . . . . . 783,952 812,4343.50%, 7/1/2034 . . . . . . . . . . . 1,452,011 1,504,7653.50%, 2/1/2037 . . . . . . . . . . . 760,068 786,4343.50%, 2/1/2038 . . . . . . . . . . . 444,470 462,0883.50%, 4/1/2038 . . . . . . . . . . . 3,250,628 3,351,7763.50%, 5/1/2038 . . . . . . . . . . . 1,205,644 1,243,1763.50%, 12/1/2040 . . . . . . . . . . 863,372 894,0203.50%, 5/1/2042 . . . . . . . . . . . 1,745,557 1,808,6923.50%, 8/1/2042 . . . . . . . . . . . 634,961 657,9273.50%, 10/1/2042 . . . . . . . . . . 686,662 711,4983.50%, 1/1/2043 . . . . . . . . . . . 244,691 253,5413.50%, 5/1/2043 . . . . . . . . . . . 233,528 241,6753.50%, 7/1/2043 . . . . . . . . . . . 855,828 885,6853.50%, 1/1/2044 . . . . . . . . . . . 842,963 872,3713.50%, 10/1/2044 . . . . . . . . . . 614,702 635,1003.50% 1/1/2045 . . . . . . . . . . . 1,056,722 1,091,7883.50%, 2/1/2045 . . . . . . . . . . . 12,364,353 12,811,5623.50%, 4/1/2045 . . . . . . . . . . . 1,203,357 1,239,4503.50% 8/1/2045 . . . . . . . . . . . 2,506,367 2,585,6093.50% 11/1/2045. . . . . . . . . . . 7,252,095 7,469,6123.50% 12/1/2045. . . . . . . . . . . 5,531,006 5,696,9023.50%, 1/1/2046 . . . . . . . . . . . 1,871,618 1,927,7543.50% 2/1/2046 . . . . . . . . . . . 6,161,258 6,345,2983.50%, 10/1/2046 . . . . . . . . . . 2,552,717 2,628,3273.50% 5/1/2047 . . . . . . . . . . . 6,803,795 7,005,3183.50%, 7/1/2047 . . . . . . . . . . . 3,367,162 3,484,6293.50%, 10/1/2047 . . . . . . . . . . 868,304 893,5573.50% 11/1/2047. . . . . . . . . . . 14,421,739 14,841,1643.50% 1/1/2048 . . . . . . . . . . . 10,201,715 10,498,4083.50% 2/1/2048 . . . . . . . . . . . 12,702,689 13,075,7843.50%, 6/1/2048 . . . . . . . . . . . 6,631,541 6,795,0473.50%, 8/1/2048 . . . . . . . . . . . 933,322 956,3333.50%, 9/1/2048 . . . . . . . . . . . 2,869,899 2,942,6793.50%, 7/1/2049 . . . . . . . . . . . 13,400,000 13,705,6544.00%, 1/1/2020 . . . . . . . . . . . 130 1304.00%, 4/1/2024 . . . . . . . . . . . 72,513 75,2654.00%, 1/1/2025 . . . . . . . . . . . 73,671 76,4684.00%, 3/1/2026 . . . . . . . . . . . 56,115 58,3854.00%, 12/1/2034 . . . . . . . . . . 436,244 458,2154.00%, 3/1/2037 . . . . . . . . . . . 1,391,836 1,456,8434.00%, 3/1/2038 . . . . . . . . . . . 1,737,391 1,812,4804.00%, 6/1/2038 . . . . . . . . . . . 1,341,322 1,399,2804.00% 12/1/2040. . . . . . . . . . . 1,195,452 1,262,2694.00%, 3/1/2041 . . . . . . . . . . . 917,298 967,8044.00%, 12/1/2041 . . . . . . . . . . 1,023,089 1,079,4194.00%, 2/1/2042 . . . . . . . . . . . 237,335 250,4034.00%, 10/1/2043 . . . . . . . . . . 646,639 678,9014.00%, 12/1/2043 . . . . . . . . . . 88,741 93,168


4.00%, 5/1/2044 . . . . . . . . . . . $ 1,985,391 $ 2,096,3604.00%, 6/1/2044 . . . . . . . . . . . 606,284 635,7234.00% 7/1/2044 . . . . . . . . . . . 630,895 661,5294.00%, 9/1/2044 . . . . . . . . . . . 503,071 527,4994.00% 10/1/2044. . . . . . . . . . . 785,442 823,5814.00%, 12/1/2044 . . . . . . . . . . 683,252 716,4284.00%, 1/1/2045 . . . . . . . . . . . 1,684,307 1,772,6404.00%, 3/1/2045 . . . . . . . . . . . 570,176 596,0894.00%, 5/1/2045 . . . . . . . . . . . 882,986 923,1164.00%, 6/1/2045 . . . . . . . . . . . 1,460,011 1,530,9044.00%, 7/1/2045 . . . . . . . . . . . 894,290 934,9334.00%, 9/1/2045 . . . . . . . . . . . 1,330,285 1,390,7434.00%, 12/1/2045 . . . . . . . . . . 781,137 816,6384.00%, 4/1/2046 . . . . . . . . . . . 1,083,909 1,131,4994.00%, 11/1/2046 . . . . . . . . . . 711,193 742,4194.00%, 4/1/2047 . . . . . . . . . . . 11,893,182 12,384,3054.00% 4/1/2047 . . . . . . . . . . . 8,295,067 8,646,2144.00%, 7/1/2047 . . . . . . . . . . . 395,764 412,1074.00%, 8/1/2047 . . . . . . . . . . . 1,622,290 1,689,2824.00%, 12/1/2047 . . . . . . . . . . 15,254,077 15,883,9864.00%, 1/1/2048 . . . . . . . . . . . 5,834,623 6,075,5614.00%, 2/1/2048 . . . . . . . . . . . 2,597,938 2,705,2184.00%, 5/1/2048 . . . . . . . . . . . 444,253 459,6354.00%, 6/1/2048 . . . . . . . . . . . 6,291,571 6,509,4134.00%, 7/1/2048 . . . . . . . . . . . 3,590,854 3,721,3394.00%, 8/1/2048 . . . . . . . . . . . 6,569,502 6,796,9664.00%, 9/1/2048 . . . . . . . . . . . 7,906,111 8,179,8544.00% 11/1/2048. . . . . . . . . . . 6,654,726 6,890,8444.00%, 3/1/2049 . . . . . . . . . . . 2,501,588 2,590,5454.50% 4/1/2023 . . . . . . . . . . . 152,129 156,5994.50%, 8/1/2023 . . . . . . . . . . . 250 2554.50%, 4/1/2031 . . . . . . . . . . . 238,895 253,3394.50%, 4/1/2039 . . . . . . . . . . . 536,565 576,5474.50%, 4/1/2040 . . . . . . . . . . . 506,867 543,2324.50%, 10/1/2040 . . . . . . . . . . 298,580 320,0014.50%, 2/1/2041 . . . . . . . . . . . 614,329 658,5354.50%, 5/1/2041 . . . . . . . . . . . 310,936 333,2444.50%, 1/1/2042 . . . . . . . . . . . 1,047,477 1,122,8514.50%, 9/1/2043 . . . . . . . . . . . 229,371 244,4094.50% 12/1/2043. . . . . . . . . . . 710,228 756,7934.50%, 1/1/2044 . . . . . . . . . . . 172,562 183,8764.50%, 2/1/2044 . . . . . . . . . . . 340,813 363,1584.50% 6/1/2044 . . . . . . . . . . . 833,267 887,7754.50%, 3/1/2046 . . . . . . . . . . . 1,219,253 1,306,7264.50%, 9/1/2047 . . . . . . . . . . . 446,087 470,0494.50%, 11/1/2047 . . . . . . . . . . 3,187,978 3,359,2244.50%, 4/1/2048 . . . . . . . . . . . 1,798,373 1,879,6484.50% 8/1/2048 . . . . . . . . . . . 11,525,327 12,090,8654.50%, 11/1/2048 . . . . . . . . . . 2,704,372 2,837,0734.50%, 12/1/2048 . . . . . . . . . . 3,279,943 3,440,8874.50% 1/1/2049 . . . . . . . . . . . 8,598,548 9,016,6045.00%, 7/1/2035 . . . . . . . . . . . 459,649 496,9015.00%, 7/1/2040 . . . . . . . . . . . 215,153 231,4795.00%, 1/1/2042 . . . . . . . . . . . 668,606 719,3415.00%, 3/1/2042 . . . . . . . . . . . 606,414 652,429




5.00%, 12/1/2043 . . . . . . . . . . $ 147,137 $ 158,6155.00%, 7/1/2044 . . . . . . . . . . . 527,350 564,9605.00%, 6/1/2048 . . . . . . . . . . . 2,276,760 2,407,7715.00%, 9/1/2048 . . . . . . . . . . . 3,148,149 3,329,3025.50%, 7/1/2035 . . . . . . . . . . . 206,216 224,4815.50% 6/1/2038 . . . . . . . . . . . 71,326 78,1855.50%, 12/1/2038 . . . . . . . . . . 212,872 232,9095.50%, 12/1/2039 . . . . . . . . . . 337,570 370,0285.50%, 4/1/2040 . . . . . . . . . . . 227,543 252,2325.50%, 9/1/2040 . . . . . . . . . . . 28,185 30,8965.50%, 7/1/2041 . . . . . . . . . . . 371,781 404,6425.50%, 5/1/2044 . . . . . . . . . . . 4,486,652 4,884,0496.00%, 2/1/2037 . . . . . . . . . . . 201,017 226,7286.00%, 10/1/2039 . . . . . . . . . . 262,941 300,7496.00%, 4/1/2040 . . . . . . . . . . . 360,261 414,5566.25%, 5/15/2029 . . . . . . . . . . 80,000 108,0986.63%, 11/15/2030 . . . . . . . . . 1,849,000 2,643,3127.13%, 1/15/2030 . . . . . . . . . . 325,000 471,2867.25%, 5/15/2030 . . . . . . . . . . 1,125,000 1,657,811Class A2, 3.27%, 1/25/2029 . . . . 500,000 528,488Series 2011-M4, Class A2,

3.73%, 6/25/2021 . . . . . . . . 867,452 883,077Series 2013-M12, Class APT,

2.48%, 3/25/2023 (b) . . . . . . 589,824 596,170Series 2014-M3, Class A2,

3.50%, 1/25/2024 (b) . . . . . . 381,958 402,411Series 2016-M4, Class AL,

3.27%, 1/25/2039 . . . . . . . . 218,968 229,439Series 2017-M8, Class A1,

2.65%, 5/25/2027 . . . . . . . . 628,324 640,006Series 2017-M8, Class A2,

3.06%, 5/25/2027 (b) . . . . . . 600,000 622,721Series 2018-M2, Class A2,

3.00%, 1/25/2028 (b) . . . . . . 750,000 773,262Series 2019-M1, Class A2,

3.67%, 9/25/2028 (b) . . . . . . 861,702 933,700Series 2019-M9, Class A2,

2.94%, 4/25/2029 . . . . . . . . 750,000 771,758TBA 2.50%, 7/1/2034 (d) . . . . . 7,500,000 7,550,850TBA 3.00%, 7/1/2034 (d) . . . . . 7,525,000 7,672,038TBA 3.00%, 7/1/2049 (d) . . . . . 6,000,000 6,050,520TBA 3.50%, 7/1/2034 (d) . . . . . 6,150,000 6,347,353TBA 3.50%, 7/1/2049 (d) . . . . . 6,850,000 7,002,138TBA 4.00%, 7/1/2034 (d) . . . . . 5,500,000 5,708,780TBA 4.00%, 7/1/2049 (d) . . . . . 15,000,000 15,502,050TBA 4.50%, 7/1/2049 (d) . . . . . 9,850,000 10,291,083TBA 5.00%, 7/1/2049 (d) . . . . . 9,000,000 9,511,020Series 2013-M14, Class APT,

VRN 2.71%, 4/25/2023 (b) . . 446,789 454,624Series 2014-M2, Class A2, VRN

3.51%, 12/25/2023 (b) . . . . . 852,973 897,128Series 2017-M15, Class ATS2,

VRN 3.20%, 11/25/2027 (b). . 700,000 734,926Series 2018-M1, Class A2, VRN

3.09%, 12/25/2027 (b) . . . . . 130,000 134,923


Series 2018-M5, Class A2, VRN3.56%, 9/25/2021 (b) . . . . . . $ 218,114 $ 221,032

Government National MortgageAssociation:

3.00% 12/15/2042 . . . . . . . . . . 730,181 748,7703.00% 12/20/2042 . . . . . . . . . . 1,369,829 1,410,2893.00%, 2/20/2043 . . . . . . . . . . 1,254,917 1,291,9823.00%, 4/20/2043 . . . . . . . . . . 1,239,151 1,273,6633.00%, 6/20/2043 . . . . . . . . . . 848,522 872,1553.00%, 12/20/2044 . . . . . . . . . 443,896 455,4373.00%, 3/20/2045 . . . . . . . . . . 499,536 511,7823.00%, 4/20/2045 . . . . . . . . . . 766,931 785,7323.00%, 8/20/2045 . . . . . . . . . . 1,093,931 1,120,7483.00%, 1/20/2046 . . . . . . . . . . 613,187 628,2193.00%, 4/20/2046 . . . . . . . . . . 1,215,296 1,243,5863.00%, 5/20/2046 . . . . . . . . . . 2,647,816 2,709,4523.00%, 9/20/2046 . . . . . . . . . . 2,343,415 2,397,9653.00%, 10/20/2046 . . . . . . . . . 8,317,367 8,510,9793.00%, 11/20/2046 . . . . . . . . . 1,310,084 1,340,5803.00%, 1/20/2047 . . . . . . . . . . 2,268,369 2,321,1733.00%, 6/20/2047 . . . . . . . . . . 807,763 825,9453.00%, 7/20/2047 . . . . . . . . . . 7,249,839 7,413,0273.00%, 10/20/2047 . . . . . . . . . 5,141,092 5,256,8143.00%, 11/20/2047 . . . . . . . . . 3,361,515 3,437,1803.00%, 12/20/2047 . . . . . . . . . 2,994,114 3,061,5093.00%, 1/20/2048 . . . . . . . . . . 2,717,309 2,778,4733.00%, 2/20/2048 . . . . . . . . . . 3,172,343 3,243,7503.00%, 3/20/2048 . . . . . . . . . . 12,328,870 12,606,3833.50%, 2/15/2042 . . . . . . . . . . 788,263 823,2353.50%, 6/20/2042 . . . . . . . . . . 755,259 790,2183.50%, 1/20/2043 . . . . . . . . . . 2,953,121 3,089,8133.50%, 4/15/2043 . . . . . . . . . . 190,870 198,7953.50%, 4/20/2043 . . . . . . . . . . 762,438 797,7293.50%, 7/20/2043 . . . . . . . . . . 1,884,522 1,967,6793.50%, 10/20/2043 . . . . . . . . . 369,372 385,6713.50%, 12/20/2043 . . . . . . . . . 161,938 169,0843.50%, 1/20/2044 . . . . . . . . . . 332,111 346,7653.50%, 3/20/2044 . . . . . . . . . . 314,069 327,9283.50%, 9/20/2044 . . . . . . . . . . 5,071,052 5,291,2953.50%, 10/20/2044 . . . . . . . . . 616,384 643,1553.50%, 12/20/2044 . . . . . . . . . 469,432 489,8203.50%, 2/20/2045 . . . . . . . . . . 361,642 377,3483.50%, 3/20/2045 . . . . . . . . . . 429,928 447,0103.50% 4/20/2045. . . . . . . . . . . 2,675,299 2,781,6013.50%, 6/20/2045 . . . . . . . . . . 2,551,789 2,653,1833.50%, 10/20/2045 . . . . . . . . . 7,869,210 8,181,8893.50%, 11/20/2045 . . . . . . . . . 255,308 265,4523.50%, 1/20/2046 . . . . . . . . . . 3,322,353 3,454,3653.50%, 3/20/2046 . . . . . . . . . . 2,138,664 2,215,5343.50%, 4/20/2046 . . . . . . . . . . 1,866,494 1,933,5823.50%, 5/20/2046 . . . . . . . . . . 1,921,798 1,990,8743.50%, 10/20/2046 . . . . . . . . . 1,166,448 1,208,3733.50%, 2/20/2047 . . . . . . . . . . 5,919,284 6,132,0413.50%, 3/20/2047 . . . . . . . . . . 1,285,870 1,330,5553.50%, 5/20/2047 . . . . . . . . . . 1,322,788 1,368,756




3.50%, 6/20/2047 . . . . . . . . . . $ 804,907 $ 832,8783.50%, 8/20/2047 . . . . . . . . . . 1,184,840 1,226,0143.50%, 9/20/2047 . . . . . . . . . . 1,281,443 1,325,9743.50%, 10/20/2047 . . . . . . . . . 824,269 852,9133.50%, 11/20/2047 . . . . . . . . . 4,176,035 4,321,1553.50%, 12/20/2047 . . . . . . . . . 5,792,525 5,993,8203.50%, 1/20/2048 . . . . . . . . . . 20,744,056 21,464,9303.50%, 2/20/2048 . . . . . . . . . . 5,176,707 5,356,6023.50%, 3/20/2048 . . . . . . . . . . 9,174,580 9,480,8513.50%, 4/20/2048 . . . . . . . . . . 5,387,126 5,566,9633.50%, 6/20/2048 . . . . . . . . . . 3,212,878 3,320,1323.50%, 8/20/2048 . . . . . . . . . . 2,441,128 2,522,6204.00%, 4/15/2040 . . . . . . . . . . 694,101 731,0134.00%, 6/15/2040 . . . . . . . . . . 42,158 44,4004.00%, 3/20/2044 . . . . . . . . . . 119,092 125,6204.00%, 4/20/2044 . . . . . . . . . . 596,546 629,2494.00%, 6/20/2044 . . . . . . . . . . 255,683 269,7004.00%, 8/20/2044 . . . . . . . . . . 266,833 281,4614.00%, 9/20/2044 . . . . . . . . . . 466,144 491,6984.00%, 10/20/2044 . . . . . . . . . 243,783 257,1474.00%, 12/20/2044 . . . . . . . . . 593,091 625,6044.00%, 2/20/2045 . . . . . . . . . . 420,991 444,0704.00%, 5/15/2045 . . . . . . . . . . 604,971 636,1394.00%, 7/20/2045 . . . . . . . . . . 3,130,711 3,296,4074.00%, 8/20/2045 . . . . . . . . . . 425,684 448,2144.00%, 9/20/2045 . . . . . . . . . . 8,001,931 8,425,4404.00%, 10/20/2045 . . . . . . . . . 613,192 645,6464.00%, 11/20/2045 . . . . . . . . . 2,195,741 2,311,9534.00%, 5/20/2046 . . . . . . . . . . 143,021 149,6074.00%, 3/20/2047 . . . . . . . . . . 1,462,971 1,530,3424.00%, 4/20/2047 . . . . . . . . . . 577,825 603,5364.00%, 6/20/2047 . . . . . . . . . . 4,196,365 4,383,0874.00%, 7/20/2047 . . . . . . . . . . 1,174,958 1,227,2394.00%, 8/20/2047 . . . . . . . . . . 1,855,451 1,938,0114.00%, 9/20/2047 . . . . . . . . . . 781,974 816,7694.00%, 12/20/2047 . . . . . . . . . 6,969,262 7,279,3674.00%, 2/20/2048 . . . . . . . . . . 6,528,740 6,819,2444.00%, 7/20/2048 . . . . . . . . . . 1,337,178 1,387,2664.00%, 8/20/2048 . . . . . . . . . . 10,545,752 10,940,7784.00%, 9/20/2048 . . . . . . . . . . 2,828,730 2,934,6894.50%, 6/15/2039 . . . . . . . . . . 35,806 38,0824.50%, 7/15/2039 . . . . . . . . . . 154,332 164,1404.50%, 4/15/2040 . . . . . . . . . . 552,560 583,8744.50% 6/15/2040. . . . . . . . . . . 328,786 347,4184.50%, 3/15/2041 . . . . . . . . . . 181,721 192,0204.50%, 6/15/2041 . . . . . . . . . . 158,838 167,8394.50%, 9/20/2041 . . . . . . . . . . 155,367 165,2864.50%, 12/15/2041 . . . . . . . . . 37,373 39,4914.50%, 1/15/2042 . . . . . . . . . . 127,261 135,3504.50%, 10/20/2043 . . . . . . . . . 103,662 110,7344.50%, 4/20/2044 . . . . . . . . . . 266,343 284,5154.50%, 11/20/2044 . . . . . . . . . 574,661 612,3274.50%, 12/20/2044 . . . . . . . . . 175,477 186,9784.50%, 7/20/2045 . . . . . . . . . . 3,647,399 3,886,4624.50%, 8/20/2045 . . . . . . . . . . 328,556 350,091


4.50%, 9/20/2045 . . . . . . . . . . $ 159,770 $ 170,2424.50%, 10/20/2045 . . . . . . . . . 588,952 627,5544.50%, 4/20/2046 . . . . . . . . . . 326,101 347,4754.50%, 9/20/2047 . . . . . . . . . . 381,807 401,0264.50%, 11/20/2047 . . . . . . . . . 1,781,751 1,871,4374.50%, 12/20/2047 . . . . . . . . . 1,561,528 1,640,1294.50%, 1/20/2048 . . . . . . . . . . 1,469,170 1,543,1224.50%, 6/20/2048 . . . . . . . . . . 4,912,398 5,125,7374.50%, 8/20/2048 . . . . . . . . . . 7,630,386 7,961,7645.00%, 12/15/2038 . . . . . . . . . 180,781 194,6015.00% 4/15/2039. . . . . . . . . . . 357,627 384,9105.00%, 5/15/2039 . . . . . . . . . . 32,435 34,9095.00%, 11/20/2041 . . . . . . . . . 894,020 957,4325.00%, 5/20/2044 . . . . . . . . . . 171,740 186,6235.00%, 11/20/2044 . . . . . . . . . 207,828 226,0765.00%, 1/20/2048 . . . . . . . . . . 1,670,772 1,756,1685.00%, 5/20/2048 . . . . . . . . . . 2,569,555 2,690,2815.00%, 7/20/2048 . . . . . . . . . . 368,952 386,4815.00%, 9/20/2048 . . . . . . . . . . 2,022,716 2,118,8135.00%, 11/20/2048 . . . . . . . . . 2,892,794 3,030,2275.50%, 6/15/2038 . . . . . . . . . . 227,103 246,1255.50%, 7/15/2038 . . . . . . . . . . 284,692 316,2565.50%, 2/15/2039 . . . . . . . . . . 47,182 53,5385.50%, 5/20/2044 . . . . . . . . . . 270,370 306,1966.00%, 1/15/2038 . . . . . . . . . . 33,255 37,9696.00%, 4/15/2038 . . . . . . . . . . 77,600 89,0606.00%, 6/15/2041 . . . . . . . . . . 126,398 148,321TBA 3.00%, 7/1/2049 (d) . . . . . 6,925,000 7,074,511TBA 3.50%, 7/1/2049 (d) . . . . . 4,191,716 4,329,623TBA 4.00%, 7/1/2049 (d) . . . . . 13,925,000 14,434,655TBA 4.50%, 7/1/2049 (d) . . . . . 9,900,000 10,319,067TBA 5.00%, 7/1/2049 (d) . . . . . 3,100,000 3,240,275Other Securities . . . . . . . . . . . 13,781,035

TOTAL U.S. GOVERNMENTAGENCY OBLIGATIONS(Cost $1,157,066,347) . . . . . . . 1,177,216,266

U.S. TREASURYOBLIGATIONS — 38.8%

Treasury Bonds:2.25%, 8/15/2046 . . . . . . . . . . 2,506,000 2,367,3872.50%, 2/15/2045 . . . . . . . . . . 3,399,000 3,386,2542.50%, 2/15/2046 . . . . . . . . . . 3,681,800 3,662,2402.50%, 5/15/2046 . . . . . . . . . . 2,850,000 2,833,9692.75%, 8/15/2042 . . . . . . . . . . 5,251,000 5,509,4482.75%, 11/15/2042 . . . . . . . . . 19,282,000 20,209,9462.75%, 8/15/2047 . . . . . . . . . . 7,400,000 7,722,5942.75%, 11/15/2047 . . . . . . . . . 17,200,000 17,952,5002.88%, 5/15/2043 . . . . . . . . . . 1,900,000 2,032,1092.88%, 8/15/2045 . . . . . . . . . . 3,700,000 3,954,3752.88%, 11/15/2046 . . . . . . . . . 2,109,700 2,257,7093.00%, 11/15/2044 . . . . . . . . . 1,464,000 1,599,1913.00%, 5/15/2045 . . . . . . . . . . 200,000 218,7193.00%, 11/15/2045 . . . . . . . . . 2,900,000 3,173,6883.00%, 2/15/2047 . . . . . . . . . . 6,450,000 7,072,828




3.00%, 5/15/2047 . . . . . . . . . . $ 10,200,000 $ 11,172,1873.00%, 2/15/2048 . . . . . . . . . . 13,150,000 14,403,3593.00%, 8/15/2048 . . . . . . . . . . 20,450,000 22,427,8983.00%, 2/15/2049 . . . . . . . . . . 7,100,000 7,798,9063.13%, 11/15/2041 . . . . . . . . . 2,518,000 2,817,7993.13%, 2/15/2042 . . . . . . . . . . 2,197,000 2,456,5213.13%, 2/15/2043 . . . . . . . . . . 1,240,000 1,382,7943.13%, 8/15/2044 . . . . . . . . . . 2,078,000 2,318,2693.13%, 5/15/2048 . . . . . . . . . . 14,000,000 15,710,6253.38%, 5/15/2044 . . . . . . . . . . 2,164,000 2,514,9743.38%, 11/15/2048 . . . . . . . . . 9,500,000 11,183,2813.50%, 2/15/2039 . . . . . . . . . . 700,000 831,2503.63%, 8/15/2043 . . . . . . . . . . 3,950,000 4,767,7733.63%, 2/15/2044 . . . . . . . . . . 1,940,000 2,344,0663.75%, 8/15/2041 . . . . . . . . . . 150,000 184,1723.75%, 11/15/2043 . . . . . . . . . 3,762,000 4,631,3753.88%, 8/15/2040 . . . . . . . . . . 150,000 187,3364.25%, 11/15/2040 . . . . . . . . . 400,000 524,7504.38%, 2/15/2038 . . . . . . . . . . 2,235,000 2,954,0414.38%, 11/15/2039 . . . . . . . . . 500,000 664,6884.38%, 5/15/2040 . . . . . . . . . . 10,350,000 13,780,0554.38%, 5/15/2041 . . . . . . . . . . 1,500,000 2,002,9694.50%, 2/15/2036 . . . . . . . . . . 502,000 662,2484.50%, 5/15/2038 . . . . . . . . . . 5,000,000 6,715,6254.63%, 2/15/2040 . . . . . . . . . . 34,770,000 47,732,6914.75%, 2/15/2037 . . . . . . . . . . 546,000 747,5084.75%, 2/15/2041 . . . . . . . . . . 5,400,000 7,555,7815.25%, 11/15/2028 . . . . . . . . . 262,000 334,9925.25%, 2/15/2029 . . . . . . . . . . 250,000 321,0165.50%, 8/15/2028 . . . . . . . . . . 452,000 584,7046.13%, 11/15/2027 . . . . . . . . . 686,000 907,0216.25%, 8/15/2023 . . . . . . . . . . 300,000 353,4616.50%, 11/15/2026 . . . . . . . . . 1,054,000 1,386,1756.88%, 8/15/2025 . . . . . . . . . . 50,000 64,4927.13%, 2/15/2023 . . . . . . . . . . 524,000 622,4557.50%, 11/15/2024 . . . . . . . . . 6,100,000 7,869,4777.88%, 2/15/2021 . . . . . . . . . . 172,000 188,4888.75%, 8/15/2020 . . . . . . . . . . 345,000 370,983Treasury Notes:1.13%, 2/28/2021 . . . . . . . . . . 6,700,000 6,624,8871.13%, 6/30/2021 . . . . . . . . . . 400,000 395,1411.13%, 9/30/2021 . . . . . . . . . . 3,199,600 3,157,3551.25%, 3/31/2021 . . . . . . . . . . 4,105,600 4,067,5911.25%, 10/31/2021 . . . . . . . . . 1,950,000 1,928,3671.38%, 8/31/2020 . . . . . . . . . . 4,380,000 4,353,1381.38%, 1/31/2021 . . . . . . . . . . 3,300,000 3,277,0551.38%, 4/30/2021 . . . . . . . . . . 6,624,000 6,575,6141.38%, 5/31/2021 . . . . . . . . . . 600,000 595,5701.38%, 6/30/2023 . . . . . . . . . . 4,000,000 3,944,6881.50%, 7/15/2020 . . . . . . . . . . 3,250,000 3,235,1461.50%, 8/15/2020 . . . . . . . . . . 7,125,000 7,092,1581.50%, 1/31/2022 . . . . . . . . . . 850,000 845,2191.50%, 2/28/2023 . . . . . . . . . . 23,770,000 23,580,5831.50%, 3/31/2023 . . . . . . . . . . 1,796,000 1,781,2671.50%, 8/15/2026 . . . . . . . . . . 2,392,000 2,331,453


1.63%, 7/31/2020 . . . . . . . . . . $ 250,000 $ 249,1801.63%, 10/15/2020 . . . . . . . . . 9,150,000 9,121,0491.63%, 11/30/2020 . . . . . . . . . 2,000,000 1,993,7501.63%, 8/15/2022 . . . . . . . . . . 1,972,000 1,965,9921.63%, 8/31/2022 . . . . . . . . . . 9,000,000 8,971,1721.63%, 11/15/2022 . . . . . . . . . 3,964,000 3,950,6831.63%, 4/30/2023 . . . . . . . . . . 1,100,000 1,095,6171.63%, 5/31/2023 . . . . . . . . . . 884,000 880,5471.63%, 10/31/2023 . . . . . . . . . 4,730,000 4,706,3501.63%, 5/15/2026 . . . . . . . . . . 300,000 295,2191.75%, 10/31/2020 . . . . . . . . . 1,900,000 1,896,8831.75%, 11/15/2020 . . . . . . . . . 9,825,000 9,811,1841.75%, 12/31/2020 . . . . . . . . . 1,000,000 998,7501.75%, 3/31/2022 . . . . . . . . . . 500,000 500,3131.75%, 5/15/2022 . . . . . . . . . . 3,432,000 3,434,4131.75%, 5/31/2022 . . . . . . . . . . 3,650,000 3,652,5661.75%, 6/30/2022 . . . . . . . . . . 8,450,000 8,460,5621.75%, 9/30/2022 . . . . . . . . . . 2,470,000 2,471,7371.75%, 1/31/2023 . . . . . . . . . . 2,100,000 2,101,4771.75%, 5/15/2023 . . . . . . . . . . 3,610,000 3,612,2561.88%, 12/15/2020 . . . . . . . . . 20,400,000 20,410,3591.88%, 1/31/2022 . . . . . . . . . . 5,399,600 5,418,5831.88%, 2/28/2022 . . . . . . . . . . 3,750,000 3,764,0631.88%, 3/31/2022 . . . . . . . . . . 2,600,000 2,611,5781.88%, 4/30/2022 . . . . . . . . . . 4,850,000 4,869,7031.88%, 7/31/2022 . . . . . . . . . . 8,200,000 8,237,1561.88%, 8/31/2022 . . . . . . . . . . 2,330,000 2,340,5581.88%, 9/30/2022 . . . . . . . . . . 14,900,000 14,973,3361.88%, 10/31/2022 . . . . . . . . . 47,000 47,2311.88%, 8/31/2024 . . . . . . . . . . 2,150,000 2,160,5822.00%, 7/31/2020 . . . . . . . . . . 634,000 634,4212.00%, 9/30/2020 . . . . . . . . . . 400,000 400,5942.00%, 11/30/2020 . . . . . . . . . 3,300,000 3,307,0902.00%, 1/15/2021 . . . . . . . . . . 9,900,000 9,925,5232.00%, 2/28/2021 . . . . . . . . . . 518,000 519,5782.00%, 5/31/2021 . . . . . . . . . . 300,000 301,3012.00%, 8/31/2021 . . . . . . . . . . 1,913,600 1,923,7662.00%, 10/31/2021 . . . . . . . . . 2,800,000 2,817,0632.00%, 11/15/2021 . . . . . . . . . 1,103,800 1,110,9572.00%, 12/31/2021 . . . . . . . . . 6,275,000 6,317,6502.00%, 2/15/2022 . . . . . . . . . . 780,000 785,4842.00%, 10/31/2022 . . . . . . . . . 31,400,000 31,677,2032.00%, 11/30/2022 . . . . . . . . . 5,045,000 5,090,7202.00%, 2/15/2023 . . . . . . . . . . 9,040,000 9,125,4562.00%, 2/15/2025 . . . . . . . . . . 3,206,000 3,238,5612.00%, 8/15/2025 . . . . . . . . . . 200,000 201,9062.13%, 8/31/2020 . . . . . . . . . . 994,000 996,3692.13%, 1/31/2021 . . . . . . . . . . 650,000 653,0212.13%, 5/31/2021 . . . . . . . . . . 6,000,000 6,041,0162.13%, 6/30/2021 . . . . . . . . . . 1,000,000 1,007,2662.13%, 8/15/2021 . . . . . . . . . . 3,201,600 3,226,1122.13%, 9/30/2021 . . . . . . . . . . 475,000 479,0452.13%, 12/31/2021 . . . . . . . . . 809,800 817,5822.13%, 5/15/2022 . . . . . . . . . . 5,542,000 5,604,3472.13%, 6/30/2022 . . . . . . . . . . 500,000 505,938




2.13%, 12/31/2022 . . . . . . . . . $ 3,000,000 $ 3,041,0162.13%, 11/30/2023 . . . . . . . . . 2,000,000 2,031,8752.13%, 2/29/2024 . . . . . . . . . . 4,000,000 4,066,2502.13%, 7/31/2024 . . . . . . . . . . 2,600,000 2,644,0782.13%, 9/30/2024 . . . . . . . . . . 1,550,000 1,576,1562.13%, 11/30/2024 . . . . . . . . . 7,000,000 7,119,7662.13%, 5/15/2025 . . . . . . . . . . 4,549,000 4,625,7642.13%, 5/31/2026 . . . . . . . . . . 4,600,000 4,676,1872.25%, 2/15/2021 . . . . . . . . . . 10,900,000 10,974,9372.25%, 3/31/2021 . . . . . . . . . . 21,483,600 21,652,2802.25%, 4/30/2021 . . . . . . . . . . 1,000,000 1,008,5162.25%, 7/31/2021 . . . . . . . . . . 800,000 808,0002.25%, 4/15/2022 . . . . . . . . . . 7,400,000 7,504,6412.25%, 12/31/2023 . . . . . . . . . 1,854,000 1,894,1222.25%, 1/31/2024 . . . . . . . . . . 3,600,000 3,678,4692.25%, 4/30/2024 . . . . . . . . . . 18,350,000 18,767,1762.25%, 10/31/2024 . . . . . . . . . 10,000,000 10,232,8122.25%, 11/15/2024 . . . . . . . . . 12,344,000 12,631,3842.25%, 12/31/2024 . . . . . . . . . 15,000,000 15,352,7342.25%, 11/15/2025 . . . . . . . . . 1,400,000 1,433,7972.25%, 2/15/2027 . . . . . . . . . . 9,176,000 9,403,9662.25%, 8/15/2027 . . . . . . . . . . 6,600,000 6,759,8442.25%, 11/15/2027 . . . . . . . . . 19,050,000 19,502,4372.38%, 12/31/2020 . . . . . . . . . 2,542,000 2,562,1572.38%, 3/15/2021 . . . . . . . . . . 10,000,000 10,097,2662.38%, 4/15/2021 . . . . . . . . . . 6,925,000 6,995,8732.38%, 3/15/2022 . . . . . . . . . . 23,500,000 23,918,5942.38%, 1/31/2023 . . . . . . . . . . 14,900,000 15,232,9222.38%, 2/29/2024 . . . . . . . . . . 3,500,000 3,598,7112.38%, 8/15/2024 . . . . . . . . . . 2,955,000 3,041,3412.38%, 4/30/2026 . . . . . . . . . . 13,300,000 13,734,3282.38%, 5/15/2027 . . . . . . . . . . 12,600,000 13,027,2192.38%, 5/15/2029 (c) . . . . . . . . 14,000,000 14,468,1252.50%, 12/31/2020 . . . . . . . . . 35,300,000 35,644,7272.50%, 1/31/2021 . . . . . . . . . . 5,150,000 5,204,3162.50%, 2/28/2021 . . . . . . . . . . 20,100,000 20,327,6952.50%, 1/15/2022 . . . . . . . . . . 18,000,000 18,341,7192.50%, 2/15/2022 . . . . . . . . . . 5,500,000 5,608,2812.50%, 3/31/2023 . . . . . . . . . . 7,300,000 7,503,6022.50%, 8/15/2023 . . . . . . . . . . 2,308,000 2,377,9612.50%, 1/31/2024 . . . . . . . . . . 20,700,000 21,380,8362.50%, 5/15/2024 . . . . . . . . . . 9,694,000 10,027,9892.50%, 1/31/2025 . . . . . . . . . . 15,650,000 16,229,5392.63%, 7/31/2020 . . . . . . . . . . 7,900,000 7,958,6332.63%, 8/15/2020 . . . . . . . . . . 4,374,000 4,408,3432.63%, 8/31/2020 . . . . . . . . . . 7,600,000 7,662,3442.63%, 11/15/2020 . . . . . . . . . 11,696,000 11,816,6152.63%, 5/15/2021 . . . . . . . . . . 6,900,000 7,007,0042.63%, 6/15/2021 . . . . . . . . . . 6,000,000 6,100,5472.63%, 7/15/2021 . . . . . . . . . . 6,050,000 6,155,4022.63%, 12/15/2021 . . . . . . . . . 10,025,000 10,245,0802.63%, 2/28/2023 . . . . . . . . . . 14,050,000 14,494,5512.63%, 6/30/2023 . . . . . . . . . . 8,700,000 8,999,0622.63%, 12/31/2023 . . . . . . . . . 9,200,000 9,547,1562.63%, 3/31/2025 . . . . . . . . . . 3,210,000 3,351,691


2.63%, 12/31/2025 . . . . . . . . . $ 11,000,000 $ 11,519,0622.63%, 1/31/2026 . . . . . . . . . . 48,000,000 50,280,0002.63%, 2/15/2029 . . . . . . . . . . 20,650,000 21,776,0702.75%, 9/30/2020 . . . . . . . . . . 10,750,000 10,863,7992.75%, 11/30/2020 . . . . . . . . . 19,200,000 19,441,5002.75%, 8/15/2021 . . . . . . . . . . 6,350,000 6,481,9612.75%, 9/15/2021 . . . . . . . . . . 6,300,000 6,440,2732.75%, 4/30/2023 . . . . . . . . . . 23,400,000 24,279,3282.75%, 5/31/2023 . . . . . . . . . . 30,350,000 31,511,8362.75%, 7/31/2023 . . . . . . . . . . 4,150,000 4,314,7032.75%, 8/31/2023 . . . . . . . . . . 17,100,000 17,792,0162.75%, 11/15/2023 . . . . . . . . . 10,383,000 10,820,2222.75%, 2/15/2024 . . . . . . . . . . 4,618,000 4,822,5632.75%, 2/28/2025 . . . . . . . . . . 10,000,000 10,505,4692.75%, 6/30/2025 . . . . . . . . . . 10,500,000 11,050,4302.75%, 8/31/2025 . . . . . . . . . . 6,600,000 6,951,1412.75%, 2/15/2028 . . . . . . . . . . 5,550,000 5,901,2112.88%, 10/31/2020 . . . . . . . . . 31,050,000 31,457,5312.88%, 10/15/2021 . . . . . . . . . 7,050,000 7,229,5552.88%, 11/15/2021 . . . . . . . . . 10,000,000 10,264,0622.88%, 9/30/2023 . . . . . . . . . . 14,100,000 14,751,0242.88%, 10/31/2023 . . . . . . . . . 7,750,000 8,113,8872.88%, 11/30/2023 . . . . . . . . . 11,750,000 12,313,6332.88%, 4/30/2025 . . . . . . . . . . 2,100,000 2,222,3912.88%, 5/31/2025 . . . . . . . . . . 10,200,000 10,800,0472.88%, 7/31/2025 . . . . . . . . . . 7,050,000 7,472,4492.88%, 11/30/2025 . . . . . . . . . 10,000,000 10,620,3122.88%, 5/15/2028 . . . . . . . . . . 12,950,000 13,907,0862.88%, 8/15/2028 . . . . . . . . . . 13,300,000 14,293,3442.88%, 5/15/2049 . . . . . . . . . . 12,800,000 13,732,0003.00%, 9/30/2025 . . . . . . . . . . 5,200,000 5,555,0623.00%, 10/31/2025 . . . . . . . . . 25,000,000 26,720,7033.13%, 5/15/2021 . . . . . . . . . . 348,400 356,9603.13%, 11/15/2028 . . . . . . . . . 13,100,000 14,369,0623.63%, 2/15/2021 . . . . . . . . . . 11,356,000 11,682,041

TOTAL U.S. TREASURYOBLIGATIONS(Cost $1,528,080,763) . . . . . . . 1,581,993,781

MUNICIPAL BONDS &NOTES — 0.4%

CALIFORNIA — 0.1%Other Securities . . . . . . . . . . . 5,620,807

CONNECTICUT — 0.0% (a)Other Security . . . . . . . . . . . . 115,296

GEORGIA — 0.0% (a)Other Securities . . . . . . . . . . . 715,575

ILLINOIS — 0.1%Other Securities . . . . . . . . . . . 2,873,000

KANSAS — 0.0% (a)Other Security . . . . . . . . . . . . 61,304




MASSACHUSETTS — 0.0%(a)

Other Securities . . . . . . . . . . . $ 693,381

MISSISSIPPI — 0.0% (a)Other Security . . . . . . . . . . . . 122,010

MISSOURI — 0.0% (a)Other Security . . . . . . . . . . . . 199,544

NEW JERSEY — 0.0% (a)Other Securities . . . . . . . . . . . 1,206,539

NEW YORK — 0.1%Other Securities . . . . . . . . . . . 2,270,034

OHIO — 0.0% (a)Other Securities . . . . . . . . . . . 471,920

OREGON — 0.0% (a)Other Security . . . . . . . . . . . . 120,556

PENNSYLVANIA — 0.0% (a)Other Securities . . . . . . . . . . . 207,983

SOUTH CAROLINA — 0.0%(a)

Other Security . . . . . . . . . . . . 99,149

TENNESSEE — 0.0% (a)Other Security . . . . . . . . . . . . 10,777

TEXAS — 0.1%Other Securities . . . . . . . . . . . 1,664,225

WASHINGTON — 0.0% (a)Other Security . . . . . . . . . . . . 251,558

WISCONSIN — 0.0% (a)Other Security . . . . . . . . . . . . 167,370

TOTAL MUNICIPAL BONDS& NOTES(Cost $15,308,798) . . . . . . . . . 16,871,028

MORTGAGE-BACKEDSECURITIES — 1.2%


TOTALMORTGAGE-BACKEDSECURITIES(Cost $47,239,895) . . . . . . . . . 49,015,680

Shares

SHORT-TERMINVESTMENTS — 4.0%State Street Institutional

U.S. Government MoneyMarket Fund, Class GShares 2.35% (e) (f) . . . . . 142,996,702 142,996,702

Security Description Shares Value

State Street NavigatorSecurities LendingPortfolio III (g) (h) . . . . . . 20,243,076 $ 20,243,076

TOTAL SHORT-TERMINVESTMENTS(Cost $163,239,778) . . . . . . . . 163,239,778

TOTAL INVESTMENTS —103.1%(Cost $4,074,414,762) . . . . . 4,203,547,891

LIABILITIES IN EXCESS OFOTHER ASSETS — (3.1)%

(126,814,424)

NET ASSETS — 100.0%. . . . . $ 4,076,733,467

The Summary Schedule of Investments does not reflect the completeportfolio holdings. It includes the Fund’s 50 largest holdings and eachinvestment of any issuer that exceeds 1% of the Fund’s net assets. “OtherSecurities” represent all issues not required to be disclosed under therules adopted by the U.S. Securities and Exchange Commission(“SEC”). In certain instances, securities for which footnotes listed belowmay otherwise apply are included in the Other Securities caption. Thecomplete schedule of portfolio holdings is available on the Fund’swebsite at www.spdrs.com, without charge, upon request by calling1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.

(a) Amount is less than 0.05% of net assets.(b) Variable Rate Security - Interest rate shown is rate in effect

at June 30, 2019. For securities based on a publishedreference rate and spread, the reference rate and spread areindicated in the description above.

(c) All or a portion of the shares of the security are on loan atJune 30, 2019.

(d) Security, or a portion of the security has been designated ascollateral for TBA securities.

(e) The Fund invested in certain money market funds managedby SSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(f) The rate shown is the annualized seven-day yield at June 30,2019.

(g) The Fund invested in an affiliated entity. Amounts related tothese transactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(h) Investment of cash collateral for securities loaned.GMTN= Global Medium Term NoteTBA= To Be AnnouncedVRN= Variable Rate Note



The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2019.

DescriptionLevel 1 –

Quoted Prices

Level 2 –Other SignificantObservable Inputs

Level 3 –Significant

Unobservable Inputs Total

ASSETS:INVESTMENTS:Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 18,428,533 $— $ 18,428,533

Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,050,429,381 — 1,050,429,381

Foreign Government Obligations . . . . . . . . . . . . . . . . . . . . . . . . — 146,353,444 — 146,353,444

Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . — 49,015,680 — 49,015,680

U.S. Government Agency Obligations . . . . . . . . . . . . . . . . . . . . . — 1,177,216,266 — 1,177,216,266

Municipal Bonds & Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 16,871,028 — 16,871,028

U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,581,993,781 — 1,581,993,781

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,239,778 — — 163,239,778

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $163,239,778 $4,040,308,113 $— $4,203,547,891

Affiliate Table

Number ofShares Held

at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized

Appreciation/Depreciation


at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money MarketFund, Class G Shares . . . . . . . . . . . . . . . . . . . 257,454,873 $257,454,873 $ 690,162,869 $ 804,621,040 $— $— 142,996,702 $142,996,702 $2,687,652

State Street Navigator Securities Lending GovernmentMoney Market Portfolio . . . . . . . . . . . . . . . . . . 23,059,826 23,059,826 211,974,285 235,034,111 — — — — 64,541

State Street Navigator Securities Lending Portfolio III . . . . — — 138,947,369 118,704,293 — — 20,243,076 20,243,076 18,554

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $280,514,699 $1,041,084,523 $1,158,359,444 $— $— $163,239,778 $2,770,747





ADVERTISING — 0.3%Other Securities . . . . . . . . . . . $ 12,437,455



AGRICULTURE — 1.2%BAT Capital Corp.

3.56%, 8/15/2027 . . . . . . . . $ 5,071,000 5,048,485Reynolds American, Inc.

4.00%, 6/12/2022 . . . . . . . . 4,368,000 4,531,014Other Securities . . . . . . . . . . . 48,651,695

58,231,194

AIRLINES — 0.5%Other Securities . . . . . . . . . . . 23,817,299

APPAREL — 0.1%Other Securities . . . . . . . . . . . 3,916,824



AUTO PARTS &EQUIPMENT — 0.2%


BANKS — 27.6%Bank of America Corp.:

4.10%, 7/24/2023 . . . . . . . . 2,513,000 2,681,0195.70%, 1/24/2022 . . . . . . . . 2,780,000 3,016,1615.88%, 1/5/2021 . . . . . . . . . 210,000 220,9186.22%, 9/15/2026 . . . . . . . . 486,000 566,8273 Month USD LIBOR +

0.37%, 2.74%, 1/23/2022(a) . . . . . . . . . . . . . . . . 3,256,000 3,270,066

3 Month USD LIBOR +0.78%, 3.55%, 3/5/2024(a) . . . . . . . . . . . . . . . . 2,337,000 2,421,903

3 Month USD LIBOR +0.79%, 3.00%, 12/20/2023(a) . . . . . . . . . . . . . . . . 7,339,000 7,466,919

3 Month USD LIBOR +0.81%, 3.37%, 1/23/2026(a) . . . . . . . . . . . . . . . . 3,259,000 3,357,161

3 Month USD LIBOR +1.02%, 2.88%, 4/24/2023(a) . . . . . . . . . . . . . . . . 1,410,000 1,426,342

3 Month USD LIBOR +1.04%, 3.42%, 12/20/2028(a) . . . . . . . . . . . . . . . . 7,102,000 7,306,111

3 Month USD LIBOR +1.51%, 3.71%, 4/24/2028(a) . . . . . . . . . . . . . . . . 3,193,000 3,347,509

Series GMTN, 2.63%,4/19/2021. . . . . . . . . . . . 3,702,000 3,724,175


Series GMTN, 3.30%,1/11/2023. . . . . . . . . . . . $ 5,088,000 $ 5,244,405

Series GMTN, 3.50%,4/19/2026. . . . . . . . . . . . 3,127,000 3,267,465

Series GMTN, 3 Month USDLIBOR + 0.66%, 2.37%,7/21/2021 (a) . . . . . . . . . 3,185,000 3,181,751



Series L, 3.95%, 4/21/2025 . . 2,328,000 2,441,513Series L, 4.18%, 11/25/2027. . 2,439,000 2,587,389Series MTN, 2.15%,

11/9/2020. . . . . . . . . . . . 7,000 6,982Series MTN, 2.50%,

10/21/2022 . . . . . . . . . . . 2,416,000 2,421,847Series MTN, 2.63%,

10/19/2020 . . . . . . . . . . . 2,666,000 2,674,931Series MTN, 3.25%,

10/21/2027 . . . . . . . . . . . 3,206,000 3,281,822Series MTN, 3.88%, 8/1/2025. 1,831,000 1,958,529Series MTN, 4.00%, 4/1/2024. 2,606,000 2,780,237Series MTN, 4.00%,

1/22/2025. . . . . . . . . . . . 3,357,000 3,529,785Series MTN, 4.13%,

1/22/2024. . . . . . . . . . . . 2,852,000 3,048,275Series MTN, 4.20%,

8/26/2024. . . . . . . . . . . . 3,644,000 3,873,244Series MTN, 4.25%,

10/22/2026 . . . . . . . . . . . 3,083,000 3,294,956Series MTN, 4.45%, 3/3/2026. 2,239,000 2,415,724Series MTN, 5.00%,

5/13/2021. . . . . . . . . . . . 1,397,000 1,464,321Series MTN, 3 Month USD

LIBOR + 0.63%, 2.33%,10/1/2021 (a) . . . . . . . . . 2,859,000 2,853,797

Series MTN, 3 Month USDLIBOR + 0.63%, 3.50%,5/17/2022 (a) . . . . . . . . . 2,365,000 2,410,999




Series MTN, 3 Month USDLIBOR + 1.07%, 3.97%,3/5/2029 (a) . . . . . . . . . . 2,823,000 3,012,875


SPDR PORTFOLIO INTERMEDIATE TERM CORPORATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTSJune 30, 2019



Series MTN, 3 Month USDLIBOR + 1.16%, 3.12%,1/20/2023 (a) . . . . . . . . . $ 2,148,000 $ 2,182,884

Series MTN, 3 Month USDLIBOR + 1.21%, 3.97%,2/7/2030 (a) . . . . . . . . . . 2,123,000 2,273,032



Citigroup, Inc.:2.35%, 8/2/2021 . . . . . . . . . 3,552,000 3,549,5852.65%, 10/26/2020. . . . . . . . 3,424,000 3,435,0942.70%, 3/30/2021 . . . . . . . . 2,066,000 2,076,3092.70%, 10/27/2022. . . . . . . . 2,751,000 2,771,9082.75%, 4/25/2022 . . . . . . . . 2,772,000 2,797,8902.90%, 12/8/2021 . . . . . . . . 2,881,000 2,913,4693.20%, 10/21/2026. . . . . . . . 2,868,000 2,926,9093.30%, 4/27/2025 . . . . . . . . 1,776,000 1,835,4963.38%, 3/1/2023 . . . . . . . . . 292,000 300,9473.40%, 5/1/2026 . . . . . . . . . 2,438,000 2,523,7933.50%, 5/15/2023 . . . . . . . . 1,628,000 1,677,6383.70%, 1/12/2026 . . . . . . . . 1,646,000 1,732,8433.75%, 6/16/2024 . . . . . . . . 2,570,000 2,710,1683.88%, 10/25/2023. . . . . . . . 1,354,000 1,431,5033.88%, 3/26/2025 . . . . . . . . 1,754,000 1,829,1414.00%, 8/5/2024 . . . . . . . . . 671,000 707,8044.05%, 7/30/2022 . . . . . . . . 2,774,000 2,894,7804.13%, 7/25/2028 . . . . . . . . 1,241,000 1,313,2634.30%, 11/20/2026. . . . . . . . 1,092,000 1,153,4474.40%, 6/10/2025 . . . . . . . . 2,958,000 3,159,8244.45%, 9/29/2027 . . . . . . . . 4,634,000 4,992,9034.50%, 1/14/2022 . . . . . . . . 2,899,000 3,048,2984.60%, 3/9/2026 . . . . . . . . . 788,000 852,2305.38%, 8/9/2020 . . . . . . . . . 908,000 937,2295.50%, 9/13/2025 . . . . . . . . 2,455,000 2,779,6986.63%, 1/15/2028 . . . . . . . . 13,000 15,9443 Month USD LIBOR +

0.72%, 3.14%, 1/24/2023(a) . . . . . . . . . . . . . . . . 2,871,000 2,917,424

3 Month USD LIBOR +0.90%, 3.35%, 4/24/2025(a) . . . . . . . . . . . . . . . . 3,362,000 3,471,265

3 Month USD LIBOR +0.95%, 2.88%, 7/24/2023(a) . . . . . . . . . . . . . . . . 2,939,000 2,974,621

3 Month USD LIBOR +1.02%, 4.04%, 6/1/2024(a) . . . . . . . . . . . . . . . . 2,838,000 2,997,751

3 Month USD LIBOR +1.19%, 4.08%, 4/23/2029(a) . . . . . . . . . . . . . . . . 2,679,000 2,878,157

3 Month USD LIBOR +1.34%, 3.98%, 3/20/2030(a) . . . . . . . . . . . . . . . . 3,100,000 3,313,063


3 Month USD LIBOR +1.39%, 3.67%, 7/24/2028(a) . . . . . . . . . . . . . . . . $ 3,124,000 $ 3,258,894

3 Month USD LIBOR +1.56%, 3.89%, 1/10/2028(a) . . . . . . . . . . . . . . . . 3,574,000 3,776,217

3 Month USD LIBOR +1.15%, 3.52%, 10/27/2028(a) . . . . . . . . . . . . . . . . 2,887,000 2,979,384

Cooperatieve Rabobank UA3.88%, 2/8/2022 . . . . . . . . . 5,760,000 5,991,667

Goldman Sachs Group, Inc.:2.35%, 11/15/2021. . . . . . . . 2,102,000 2,097,8592.60%, 12/27/2020. . . . . . . . 2,171,000 2,173,0622.63%, 4/25/2021 . . . . . . . . 1,588,000 1,593,7012.75%, 9/15/2020 . . . . . . . . 2,138,000 2,146,8092.88%, 2/25/2021 . . . . . . . . 3,677,000 3,703,2913.00%, 4/26/2022 . . . . . . . . 4,248,000 4,286,4443.20%, 2/23/2023 . . . . . . . . 1,632,000 1,670,4993.50%, 1/23/2025 . . . . . . . . 3,020,000 3,126,1233.50%, 11/16/2026. . . . . . . . 3,750,000 3,838,9123.63%, 1/22/2023 . . . . . . . . 2,666,000 2,764,8293.63%, 2/20/2024 . . . . . . . . 1,200,000 1,251,6123.75%, 5/22/2025 . . . . . . . . 2,870,000 3,002,3363.75%, 2/25/2026 . . . . . . . . 1,870,000 1,952,8223.85%, 1/26/2027 . . . . . . . . 3,052,000 3,188,8524.00%, 3/3/2024 . . . . . . . . . 2,978,000 3,158,3774.25%, 10/21/2025. . . . . . . . 2,530,000 2,683,4445.25%, 7/27/2021 . . . . . . . . 10,418,000 11,014,8475.75%, 1/24/2022 . . . . . . . . 4,965,000 5,366,8675.95%, 1/15/2027 . . . . . . . . 1,551,000 1,815,2753 Month USD LIBOR +

0.99%, 2.91%, 7/24/2023(a) . . . . . . . . . . . . . . . . 2,852,000 2,880,092

3 Month USD LIBOR +1.05%, 2.91%, 6/5/2023(a) . . . . . . . . . . . . . . . . 2,200,000 2,222,968

3 Month USD LIBOR +1.16%, 3.81%, 4/23/2029(a) . . . . . . . . . . . . . . . . 1,660,000 1,725,786

3 Month USD LIBOR +1.30%, 4.22%, 5/1/2029(a) . . . . . . . . . . . . . . . . 3,071,000 3,286,861

3 Month USD LIBOR +1.51%, 3.69%, 6/5/2028(a) . . . . . . . . . . . . . . . . 2,140,000 2,209,122

3 Month USD LIBOR +0.82%, 2.88%, 10/31/2022(a) . . . . . . . . . . . . . . . . 3,941,000 3,971,779

3 Month USD LIBOR +1.20%, 3.27%, 9/29/2025(a) . . . . . . . . . . . . . . . . 2,808,000 2,867,305

Series MTN, 3.85%, 7/8/2024. 1,969,000 2,066,623HSBC Holdings PLC:

2.65%, 1/5/2022 . . . . . . . . . 6,179,000 6,206,5582.95%, 5/25/2021 . . . . . . . . 3,089,000 3,113,5883.40%, 3/8/2021 . . . . . . . . . 3,757,000 3,816,060

SPDR PORTFOLIO INTERMEDIATE TERM CORPORATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)June 30, 2019



3.60%, 5/25/2023 . . . . . . . . $ 1,279,000 $ 1,330,4293.90%, 5/25/2026 . . . . . . . . 3,138,000 3,281,7834.00%, 3/30/2022 . . . . . . . . 1,529,000 1,593,2794.25%, 3/14/2024 . . . . . . . . 3,220,000 3,398,2594.25%, 8/18/2025 . . . . . . . . 3,881,000 4,081,2984.30%, 3/8/2026 . . . . . . . . . 1,856,000 1,987,0524.38%, 11/23/2026. . . . . . . . 2,206,000 2,334,6324.88%, 1/14/2022 . . . . . . . . 633,000 670,6135.10%, 4/5/2021 . . . . . . . . . 3,637,000 3,799,9013 Month USD LIBOR +

0.99%, 3.95%, 5/18/2024(a) . . . . . . . . . . . . . . . . 2,043,000 2,134,506

3 Month USD LIBOR +1.06%, 3.26%, 3/13/2023(a) . . . . . . . . . . . . . . . . 3,183,000 3,238,575

3 Month USD LIBOR +1.21%, 3.80%, 3/11/2025(a) . . . . . . . . . . . . . . . . 2,788,000 2,902,392

3 Month USD LIBOR +1.35%, 4.29%, 9/12/2026(a) . . . . . . . . . . . . . . . . 2,951,000 3,140,838

3 Month USD LIBOR +1.53%, 4.58%, 6/19/2029(a) . . . . . . . . . . . . . . . . 2,605,000 2,844,686

3 Month USD LIBOR +1.55%, 4.04%, 3/13/2028(a) . . . . . . . . . . . . . . . . 3,502,000 3,673,773

3 Month USD LIBOR +1.61%, 3.97%, 5/22/2030(a) . . . . . . . . . . . . . . . . 2,291,000 2,391,621

3 Month USD LIBOR +0.92%, 3.03%, 11/22/2023(a) . . . . . . . . . . . . . . . . 3,183,000 3,223,902

JPMorgan Chase & Co.:2.40%, 6/7/2021 . . . . . . . . . 1,603,000 1,605,1642.55%, 10/29/2020. . . . . . . . 2,182,000 2,187,3462.55%, 3/1/2021 . . . . . . . . . 2,915,000 2,921,3552.70%, 5/18/2023 . . . . . . . . 2,930,000 2,960,3252.95%, 10/1/2026 . . . . . . . . 2,284,000 2,316,1592.97%, 1/15/2023 . . . . . . . . 5,221,000 5,294,5123.13%, 1/23/2025 . . . . . . . . 2,848,000 2,927,6023.20%, 1/25/2023 . . . . . . . . 2,723,000 2,795,2963.20%, 6/15/2026 . . . . . . . . 2,824,000 2,909,0593.25%, 9/23/2022 . . . . . . . . 3,672,000 3,772,6863.30%, 4/1/2026 . . . . . . . . . 3,056,000 3,163,1133.38%, 5/1/2023 . . . . . . . . . 2,810,000 2,888,3993.63%, 5/13/2024 . . . . . . . . 1,866,000 1,964,7493.63%, 12/1/2027 . . . . . . . . 861,000 888,6123.88%, 2/1/2024 (b) . . . . . . . 1,140,000 1,210,3043.88%, 9/10/2024 . . . . . . . . 6,066,000 6,375,7913.90%, 7/15/2025 . . . . . . . . 2,037,000 2,174,5384.13%, 12/15/2026. . . . . . . . 2,622,000 2,808,0574.25%, 10/15/2020. . . . . . . . 4,010,000 4,106,4004.25%, 10/1/2027 . . . . . . . . 3,051,000 3,300,5414.35%, 8/15/2021 . . . . . . . . 3,725,000 3,873,7764.40%, 7/22/2020 . . . . . . . . 2,814,000 2,876,189


4.50%, 1/24/2022 . . . . . . . . $ 3,136,000 $ 3,305,4694.63%, 5/10/2021 . . . . . . . . 2,832,000 2,947,8293 Month USD LIBOR +

0.61%, 3.51%, 6/18/2022(a) . . . . . . . . . . . . . . . . 2,627,000 2,684,137

3 Month USD LIBOR +0.70%, 3.21%, 4/1/2023(a) . . . . . . . . . . . . . . . . 2,494,000 2,544,005

3 Month USD LIBOR +0.73%, 3.56%, 4/23/2024(a) . . . . . . . . . . . . . . . . 2,472,000 2,562,376

3 Month USD LIBOR +0.89%, 3.80%, 7/23/2024(a) . . . . . . . . . . . . . . . . 3,071,000 3,216,658

3 Month USD LIBOR +0.94%, 2.78%, 4/25/2023(a) . . . . . . . . . . . . . . . . 1,782,000 1,799,089

3 Month USD LIBOR +0.95%, 3.51%, 1/23/2029(a) . . . . . . . . . . . . . . . . 2,873,000 2,978,554

3 Month USD LIBOR +1.00%, 4.02%, 12/5/2024(a) . . . . . . . . . . . . . . . . 3,146,000 3,341,021

3 Month USD LIBOR +1.12%, 4.01%, 4/23/2029(a) . . . . . . . . . . . . . . . . 3,008,000 3,241,210

3 Month USD LIBOR +1.16%, 3.22%, 3/1/2025(a) . . . . . . . . . . . . . . . . 3,217,000 3,304,213

3 Month USD LIBOR +1.16%, 3.70%, 5/6/2030(a) . . . . . . . . . . . . . . . . 2,842,000 2,996,804

3 Month USD LIBOR +1.25%, 3.96%, 1/29/2027(a) . . . . . . . . . . . . . . . . 2,791,000 2,985,477

3 Month USD LIBOR +1.26%, 4.20%, 7/23/2029(a) . . . . . . . . . . . . . . . . 2,978,000 3,252,780

3 Month USD LIBOR +1.33%, 4.45%, 12/5/2029(a) . . . . . . . . . . . . . . . . 2,098,000 2,332,661

3 Month USD LIBOR +1.34%, 3.78%, 2/1/2028(a) . . . . . . . . . . . . . . . . 4,049,000 4,288,174

3 Month USD LIBOR +1.38%, 3.54%, 5/1/2028(a) . . . . . . . . . . . . . . . . 2,213,000 2,303,047

Series MTN, 2.30%,8/15/2021. . . . . . . . . . . . 2,448,000 2,444,328

Morgan Stanley:2.75%, 5/19/2022 . . . . . . . . 3,521,000 3,557,7593.63%, 1/20/2027 . . . . . . . . 3,202,000 3,354,2233.95%, 4/23/2027 . . . . . . . . 1,950,000 2,039,6614.88%, 11/1/2022 . . . . . . . . 2,813,000 3,009,0105.00%, 11/24/2025. . . . . . . . 2,338,000 2,589,1255.75%, 1/25/2021 . . . . . . . . 2,811,000 2,952,365




3 Month USD LIBOR +0.85%, 3.74%, 4/24/2024(a) . . . . . . . . . . . . . . . . $ 3,462,000 $ 3,609,689

3 Month USD LIBOR +1.34%, 3.59%, 7/22/2028(a) . . . . . . . . . . . . . . . . 3,682,000 3,822,174

Series F, 3.88%, 4/29/2024. . . 3,344,000 3,547,081Series GMTN, 2.50%,

4/21/2021. . . . . . . . . . . . 2,553,000 2,557,672Series GMTN, 3.13%,

1/23/2023. . . . . . . . . . . . 3,686,000 3,769,009Series GMTN, 3.70%,

10/23/2024 . . . . . . . . . . . 3,423,000 3,608,424Series GMTN, 3.75%,

2/25/2023. . . . . . . . . . . . 3,198,000 3,339,511Series GMTN, 3.88%,

1/27/2026. . . . . . . . . . . . 3,436,000 3,655,698Series GMTN, 4.00%,

7/23/2025. . . . . . . . . . . . 2,953,000 3,165,084Series GMTN, 4.35%,

9/8/2026 . . . . . . . . . . . . 2,920,000 3,130,649Series GMTN, 5.50%,

7/24/2020. . . . . . . . . . . . 3,838,000 3,961,545Series GMTN, 5.50%,

7/28/2021. . . . . . . . . . . . 2,797,000 2,969,799Series GMTN, 3 Month USD

LIBOR + 1.14%, 3.77%,1/24/2029 (a) . . . . . . . . . 3,631,000 3,825,803


Series MTN, 2.63%,11/17/2021 . . . . . . . . . . . 7,224,000 7,267,344

Series MTN, 3.13%,7/27/2026. . . . . . . . . . . . 3,553,000 3,616,030

Series MTN, 4.10%,5/22/2023. . . . . . . . . . . . 2,726,000 2,867,561

Series MTN, 6.25%, 8/9/2026. 655,000 786,151Royal Bank of Scotland Group

PLC5.13%, 5/28/2024 . . . . . . . . 5,804,000 6,123,452

Sumitomo Mitsui FinancialGroup, Inc.2.44%, 10/19/2021. . . . . . . . 4,711,000 4,718,538

Toronto-Dominion Bank:Series GMTN, 2.50%,

12/14/2020 . . . . . . . . . . . 5,447,000 5,471,675Series MTN, 2.65%,

6/12/2024. . . . . . . . . . . . 4,632,000 4,677,903Wells Fargo & Co.:

2.10%, 7/26/2021 . . . . . . . . 3,494,000 3,473,4552.50%, 3/4/2021 . . . . . . . . . 3,998,000 4,006,2363.00%, 4/22/2026 . . . . . . . . 4,313,000 4,362,0393.00%, 10/23/2026. . . . . . . . 4,262,000 4,306,0693.07%, 1/24/2023 . . . . . . . . 4,755,000 4,831,2234.13%, 8/15/2023 . . . . . . . . 1,738,000 1,833,0694.48%, 1/16/2024 . . . . . . . . 1,648,000 1,766,870


Series GMTN, 4.30%,7/22/2027. . . . . . . . . . . . $ 3,412,000 $ 3,684,926

Series M, 3.45%, 2/13/2023 . . 2,243,000 2,303,382Series MTN, 2.55%,

12/7/2020. . . . . . . . . . . . 4,501,000 4,512,748Series MTN, 2.63%,

7/22/2022. . . . . . . . . . . . 4,512,000 4,544,802Series MTN, 3.00%,

1/22/2021. . . . . . . . . . . . 1,354,000 1,366,552Series MTN, 3.00%,

2/19/2025. . . . . . . . . . . . 3,065,000 3,118,454Series MTN, 3.30%, 9/9/2024. 2,786,000 2,880,668Series MTN, 3.50%, 3/8/2022. 2,890,000 2,973,434Series MTN, 3.55%,

9/29/2025. . . . . . . . . . . . 2,631,000 2,747,685Series MTN, 3.75%,

1/24/2024. . . . . . . . . . . . 3,507,000 3,686,944Series MTN, 4.10%, 6/3/2026. 2,825,000 2,992,466Series MTN, 4.15%,

1/24/2029. . . . . . . . . . . . 1,661,000 1,807,401Series MTN, 4.60%, 4/1/2021. 3,413,000 3,543,172Series MTN, 3 Month USD

LIBOR + 1.17%, 3.20%,6/17/2027 (a) . . . . . . . . . 3,299,000 3,371,974



1,318,902,270

BEVERAGES — 2.1%Anheuser-Busch Cos.

LLC/Anheuser-Busch InBevWorldwide, Inc.3.65%, 2/1/2026 . . . . . . . . . 5,208,000 5,475,275

Anheuser-Busch InBev Finance,Inc.3.30%, 2/1/2023 . . . . . . . . . 5,005,000 5,164,509

Anheuser-Busch InBevWorldwide, Inc.:4.15%, 1/23/2025 . . . . . . . . 6,847,000 7,419,5464.75%, 1/23/2029 . . . . . . . . 8,268,000 9,375,251


101,903,178

BIOTECHNOLOGY — 1.3%Celgene Corp.

2.75%, 2/15/2023 . . . . . . . . 5,149,000 5,203,116Other Securities . . . . . . . . . . . 54,924,748

60,127,864



CHEMICALS — 1.5%Other Securities . . . . . . . . . . . 70,335,859






COMPUTERS — 2.9%Apple, Inc.:

1.55%, 8/4/2021 . . . . . . . . . $ 1,651,000 1,635,4972.00%, 11/13/2020. . . . . . . . 1,336,000 1,335,3592.10%, 9/12/2022 . . . . . . . . 1,590,000 1,591,9722.15%, 2/9/2022 . . . . . . . . . 2,185,000 2,193,1062.25%, 2/23/2021 . . . . . . . . 2,700,000 2,708,6942.30%, 5/11/2022 . . . . . . . . 2,157,000 2,171,7972.40%, 1/13/2023 . . . . . . . . 1,688,000 1,703,8842.40%, 5/3/2023 . . . . . . . . . 6,778,000 6,849,9152.45%, 8/4/2026 . . . . . . . . . 2,232,000 2,223,1172.50%, 2/9/2022 . . . . . . . . . 1,576,000 1,593,9352.50%, 2/9/2025 . . . . . . . . . 2,071,000 2,092,8902.70%, 5/13/2022 . . . . . . . . 1,493,000 1,520,1432.75%, 1/13/2025 . . . . . . . . 1,561,000 1,595,6232.85%, 5/6/2021 . . . . . . . . . 3,404,000 3,454,4132.85%, 2/23/2023 . . . . . . . . 2,039,000 2,089,0572.85%, 5/11/2024 . . . . . . . . 2,160,000 2,223,5692.90%, 9/12/2027 . . . . . . . . 2,121,000 2,168,4263.00%, 2/9/2024 . . . . . . . . . 2,169,000 2,240,4033.00%, 6/20/2027 . . . . . . . . 1,052,000 1,082,8343.00%, 11/13/2027. . . . . . . . 1,911,000 1,968,5593.20%, 5/13/2025 . . . . . . . . 2,875,000 3,010,8153.20%, 5/11/2027 . . . . . . . . 1,627,000 1,696,3923.25%, 2/23/2026 . . . . . . . . 3,959,000 4,141,0743.35%, 2/9/2027 . . . . . . . . . 2,563,000 2,694,6613.45%, 5/6/2024 . . . . . . . . . 2,526,000 2,670,765

Dell International LLC/EMCCorp.:4.42%, 6/15/2021 (c) . . . . . . 4,996,000 5,144,6816.02%, 6/15/2026 (c) . . . . . . 6,493,000 7,150,092


137,915,350




Capital One Financial Corp.4.75%, 7/15/2021 . . . . . . . . 5,549,000 5,801,202

GE Capital International FundingCo.2.34%, 11/15/2020. . . . . . . . 9,969,000 9,921,049

Visa, Inc.3.15%, 12/14/2025. . . . . . . . 5,330,000 5,593,835


191,719,156

ELECTRIC — 4.5%Other Securities . . . . . . . . . . . 214,876,542


ELECTRICALCOMPONENTS &EQUIPMENT — 0.1%


ELECTRONICS — 0.6%Other Securities . . . . . . . . . . . 28,783,488

ENGINEERING &CONSTRUCTION — 0.0%(d)


ENTERTAINMENT — 0.0%(d)

Other Security . . . . . . . . . . . . 1,595,124



FOOD — 1.7%Other Securities . . . . . . . . . . . 82,290,062



GAS — 0.3%Other Securities . . . . . . . . . . . 16,299,573

HAND & MACHINE TOOLS— 0.1%



Medtronic, Inc.3.50%, 3/15/2025 . . . . . . . . $ 4,581,000 4,853,615


67,742,422


Cigna Corp.:4.13%, 11/15/2025 (c) . . . . . 4,247,000 4,517,7464.38%, 10/15/2028 (c) . . . . . 4,302,000 4,642,331


90,050,333

HOME BUILDERS — 0.0%(d)




HOUSEHOLD PRODUCTS &WARES — 0.2%


HOUSEWARES — 0.1%Other Securities . . . . . . . . . . . 6,773,706




INSURANCE — 2.5%Other Securities . . . . . . . . . . . $ 121,304,092

INTERNET — 1.1%Other Securities . . . . . . . . . . . 53,349,773

INVESTMENT COMPANYSECURITY — 0.1%


IRON/STEEL — 0.3%Other Securities . . . . . . . . . . . 14,281,289

LEISURE TIME — 0.1%Other Securities . . . . . . . . . . . 2,848,519

LODGING — 0.3%Other Securities . . . . . . . . . . . 13,076,472





MEDIA — 2.7%Charter Communications

Operating LLC/CharterCommunications OperatingCapital:4.46%, 7/23/2022 . . . . . . . . $ 5,918,000 6,213,6044.91%, 7/23/2025 . . . . . . . . 10,853,000 11,777,459

Comcast Corp.3.95%, 10/15/2025. . . . . . . . 4,909,000 5,301,278


127,297,764

METAL FABRICATE &HARDWARE — 0.1%


MINING — 0.3%Other Securities . . . . . . . . . . . 13,825,917


General Electric Co.2.70%, 10/9/2022 . . . . . . . . 5,778,000 5,769,738


45,357,940

OFFICE & BUSINESSEQUIPMENT — 0.0% (d)

Other Security . . . . . . . . . . . . 160,342

OFFICE FURNISHINGS —0.0% (d)

Other Security . . . . . . . . . . . . 583,048

OIL & GAS — 4.0%Other Securities . . . . . . . . . . . 190,160,104







CVS Health Corp.:2.13%, 6/1/2021 . . . . . . . . . $ 2,084,000 2,070,1002.75%, 12/1/2022 . . . . . . . . 1,776,000 1,783,5832.88%, 6/1/2026 . . . . . . . . . 1,396,000 1,370,2583.35%, 3/9/2021 . . . . . . . . . 3,688,000 3,739,4483.38%, 8/12/2024 . . . . . . . . 3,000,000 3,069,6903.50%, 7/20/2022 . . . . . . . . 1,868,000 1,919,3143.70%, 3/9/2023 . . . . . . . . . 6,200,000 6,405,4683.88%, 7/20/2025 . . . . . . . . 3,331,000 3,477,0984.00%, 12/5/2023 . . . . . . . . 884,000 925,9994.10%, 3/25/2025 . . . . . . . . 5,167,000 5,450,5654.13%, 5/15/2021 . . . . . . . . 687,000 705,6664.30%, 3/25/2028 . . . . . . . . 10,787,000 11,377,4804.75%, 12/1/2022 . . . . . . . . 5,599,000 5,954,3136.25%, 6/1/2027 . . . . . . . . . 1,180,000 1,394,052

McKesson Corp.3.65%, 11/30/2020. . . . . . . . 5,298,000 5,382,450


256,924,530

PIPELINES — 3.9%Energy Transfer Operating L.P.

7.50%, 10/15/2020. . . . . . . . 5,162,000 5,475,024Other Securities . . . . . . . . . . . 182,554,125

188,029,149

REAL ESTATE — 0.0% (d)Other Securities . . . . . . . . . . . 1,272,082



RETAIL — 2.8%Other Securities . . . . . . . . . . . 134,765,371

SAVINGS & LOANS — 0.0%(d)

Other Security . . . . . . . . . . . . 434,411

SEMICONDUCTORS — 2.1%Broadcom Corp./Broadcom

Cayman Finance, Ltd.3.88%, 1/15/2027 . . . . . . . . 8,365,000 8,195,107


99,969,863

SHIPBUILDING — 0.0% (d)Other Security . . . . . . . . . . . . 880,869




SOFTWARE — 2.4%Microsoft Corp.:

3.13%, 11/3/2025 . . . . . . . . $ 5,051,000 $ 5,317,0873.30%, 2/6/2027 . . . . . . . . . 5,321,000 5,652,445

Oracle Corp.1.90%, 9/15/2021 . . . . . . . . 5,290,000 5,262,175


112,499,178


AT&T, Inc.:2.63%, 12/1/2022 (b) . . . . . . 1,088,000 1,095,5622.80%, 2/17/2021 . . . . . . . . 2,072,000 2,084,9712.95%, 7/15/2026 . . . . . . . . 1,092,000 1,083,6033.00%, 2/15/2022 . . . . . . . . 1,396,000 1,418,2803.00%, 6/30/2022 . . . . . . . . 2,790,000 2,838,5743.20%, 3/1/2022 . . . . . . . . . 1,874,000 1,913,1293.40%, 6/15/2022 . . . . . . . . 579,000 594,1413.40%, 5/15/2025 . . . . . . . . 5,909,000 6,070,9073.55%, 6/1/2024 . . . . . . . . . 1,013,000 1,052,4363.60%, 2/17/2023 (b) . . . . . . 2,255,000 2,340,9163.60%, 7/15/2025 . . . . . . . . 2,011,000 2,088,7453.80%, 3/15/2022 . . . . . . . . 2,094,000 2,170,5783.80%, 3/1/2024 . . . . . . . . . 1,053,000 1,107,8613.80%, 2/15/2027 . . . . . . . . 1,814,000 1,883,8393.88%, 8/15/2021 . . . . . . . . 1,663,000 1,714,4203.88%, 1/15/2026 . . . . . . . . 672,000 702,5693.90%, 3/11/2024 (b) . . . . . . 1,173,000 1,237,8903.95%, 1/15/2025 . . . . . . . . 1,291,000 1,363,6834.00%, 1/15/2022 . . . . . . . . 541,000 561,1584.05%, 12/15/2023. . . . . . . . 530,000 561,8694.10%, 2/15/2028 . . . . . . . . 1,831,000 1,938,3334.13%, 2/17/2026 . . . . . . . . 2,450,000 2,611,6754.25%, 3/1/2027 . . . . . . . . . 2,626,000 2,813,0244.35%, 3/1/2029 . . . . . . . . . 3,760,000 4,046,5124.45%, 5/15/2021 . . . . . . . . 1,322,000 1,371,5094.45%, 4/1/2024 . . . . . . . . . 1,854,000 1,996,9994.60%, 2/15/2021 . . . . . . . . 807,000 831,3237.13%, 3/15/2026 . . . . . . . . 151,000 185,078

Verizon Communications, Inc.:4.13%, 3/16/2027 . . . . . . . . 4,482,000 4,876,1474.33%, 9/21/2028 . . . . . . . . 4,549,000 5,038,245


130,132,031

TEXTILES — 0.0% (d)Other Securities . . . . . . . . . . . 1,815,796

TOYS/GAMES/HOBBIES —0.0% (d)


TRANSPORTATION — 1.5%Other Securities . . . . . . . . . . . 69,644,871


TRUCKING & LEASING —0.1%


WATER — 0.1%Other Securities . . . . . . . . . . . 4,472,953

TOTAL CORPORATEBONDS & NOTES(Cost $4,615,531,044) . . . . . . . 4,730,935,703

Shares

SHORT-TERMINVESTMENTS — 0.5%State Street Institutional

U.S. Government MoneyMarket Fund, Class GShares 2.35% (e) (f) . . . . . 3,726,093 3,726,093

State Street NavigatorSecurities LendingPortfolio III (g) (h) . . . . . . 21,334,763 21,334,763

TOTAL SHORT-TERMINVESTMENTS(Cost $25,060,856) . . . . . . . . . 25,060,856

TOTAL INVESTMENTS —99.4%(Cost $4,640,591,900) . . . . . 4,755,996,559

OTHER ASSETS IN EXCESSOF LIABILITIES — 0.6% . 30,806,202

NET ASSETS — 100.0%. . . . . $ 4,786,802,761




(a) Variable Rate Security - Interest rate shown is rate in effectat June 30, 2019. For securities based on a publishedreference rate and spread, the reference rate and spread areindicated in the description above.

(b) All or a portion of the shares of the security are on loan atJune 30, 2019.

(c) Securities purchased pursuant to Rule 144A of theSecurities Act of 1933, as amended. These securities, whichrepresent 2.0% of net assets as of June 30, 2019, areconsidered liquid and may be resold in transactions exemptfrom registration, normally to qualified institutional buyers.

(d) Amount is less than 0.05% of net assets.(e) The Fund invested in certain money market funds managed

by SSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(f) The rate shown is the annualized seven-day yield at June 30,2019.

(g) The Fund invested in an affiliated entity. Amounts related tothese transactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(h) Investment of cash collateral for securities loaned.GMTN= Global Medium Term NoteLIBOR= London Interbank Offered RateMTN= Medium Term Note



Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $4,730,935,703 $— $4,730,935,703



Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund,Class G Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . 14,998,714 $14,998,714 $425,451,091 $436,723,712 $— $— 3,726,093 $ 3,726,093 $166,433

State Street Navigator Securities Lending Government MoneyMarket Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . 18,583,198 18,583,198 105,393,423 123,976,621 — — — — 85,603

State Street Navigator Securities Lending Portfolio III . . . . . . . . — — 47,846,801 26,512,038 — — 21,334,763 21,334,763 19,085

Total. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $33,581,912 $578,691,315 $587,212,371 $— $— $25,060,856 $271,121




CORPORATE BONDS & NOTES— 98.6%

ADVERTISING — 0.0% (a)Other Security . . . . . . . . . . . . . . . $ 121,999


Other Securities . . . . . . . . . . . . . . 13,654,592

AGRICULTURE — 1.7%Other Securities . . . . . . . . . . . . . . 10,982,298

AIRLINES — 0.1%Other Securities . . . . . . . . . . . . . . 882,933

APPAREL — 0.1%Other Securities . . . . . . . . . . . . . . 883,359


Ford Motor Co.7.45%, 7/16/2031 . . . . . . . . . . . $ 1,382,000 1,634,740


6,039,981

AUTO PARTS & EQUIPMENT —0.1%

Other Securities . . . . . . . . . . . . . . 593,063


6.11%, 1/29/2037 . . . . . . . . . . . 571,000 727,6827.75%, 5/14/2038 . . . . . . . . . . . 832,000 1,232,0673 Month USD LIBOR + 1.19%,

3.95%, 1/23/2049 (b) . . . . . . . 175,000 185,1593 Month USD LIBOR + 1.81%,

4.24%, 4/24/2038 (b) . . . . . . . 286,000 311,402Series L, 4.75%, 4/21/2045 . . . . . 118,000 134,875Series MTN, 4.88%, 4/1/2044 . . . 130,000 155,450Series MTN, 5.00%, 1/21/2044 . . 184,000 223,680Series MTN, 5.88%, 2/7/2042 . . . 250,000 333,057Series MTN, 3 Month USD

LIBOR + 1.32%, 4.08%,4/23/2040 (b) . . . . . . . . . . . . 1,550,000 1,650,750

Series MTN, 3 Month USDLIBOR + 1.52%, 4.33%,3/15/2050 (b) . . . . . . . . . . . . 1,109,000 1,235,415

Series MTN, 3 Month USDLIBOR + 1.99%, 4.44%,1/20/2048 (b) . . . . . . . . . . . . 930,000 1,052,695

Citigroup, Inc.4.65%, 7/23/2048 . . . . . . . . . . . 1,055,000 1,228,526

Goldman Sachs Group, Inc.:4.75%, 10/21/2045 . . . . . . . . . . 451,000 518,2585.15%, 5/22/2045 . . . . . . . . . . . 313,000 357,5966.13%, 2/15/2033 . . . . . . . . . . . 2,000 2,5856.25%, 2/1/2041. . . . . . . . . . . . 297,000 397,0336.45%, 5/1/2036. . . . . . . . . . . . 243,000 305,9496.75%, 10/1/2037 . . . . . . . . . . . 2,118,000 2,771,8053 Month USD LIBOR + 1.37%,

4.02%, 10/31/2038 (b) . . . . . . 1,511,000 1,555,710


3 Month USD LIBOR + 1.43%,4.41%, 4/23/2039 (b) . . . . . . . $ 774,000 $ 834,767

Series MTN, 4.80%, 7/8/2044 . . . 1,589,000 1,827,604HSBC Holdings PLC

6.50%, 9/15/2037 . . . . . . . . . . . 1,013,000 1,320,587JPMorgan Chase & Co.:

4.85%, 2/1/2044. . . . . . . . . . . . 764,000 912,1014.95%, 6/1/2045. . . . . . . . . . . . 183,000 216,5405.40%, 1/6/2042. . . . . . . . . . . . 300,000 380,8325.50%, 10/15/2040 . . . . . . . . . . 336,000 428,2025.60%, 7/15/2041 . . . . . . . . . . . 433,000 562,1345.63%, 8/16/2043 . . . . . . . . . . . 138,000 175,8266.40%, 5/15/2038 . . . . . . . . . . . 1,103,000 1,519,7358.75%, 9/1/2030. . . . . . . . . . . . 25,000 35,5413 Month USD LIBOR + 1.22%,

3.90%, 1/23/2049 (b) . . . . . . . 684,000 718,2073 Month USD LIBOR + 1.36%,

3.88%, 7/24/2038 (b) . . . . . . . 715,000 748,3903 Month USD LIBOR + 1.38%,

3.96%, 11/15/2048 (b) . . . . . . 1,589,000 1,679,6843 Month USD LIBOR + 1.46%,

4.03%, 7/24/2048 (b) . . . . . . . 430,000 459,1373 Month USD LIBOR + 1.58%,

4.26%, 2/22/2048 (b) . . . . . . . 817,000 902,287Morgan Stanley

4.38%, 1/22/2047 . . . . . . . . . . . 1,147,000 1,276,210Wells Fargo & Co.:

3.90%, 5/1/2045. . . . . . . . . . . . 203,000 217,8785.38%, 2/7/2035. . . . . . . . . . . . 270,000 333,1725.38%, 11/2/2043 . . . . . . . . . . . 900,000 1,091,9615.61%, 1/15/2044 . . . . . . . . . . . 934,000 1,165,305Series GMTN, 4.90%,

11/17/2045 . . . . . . . . . . . . . 580,000 671,501Series MTN, 4.40%, 6/14/2046 . . 637,000 685,565Series MTN, 4.65%, 11/4/2044 . . 1,292,000 1,437,415Series MTN, 4.75%, 12/7/2046 . . 987,000 1,123,739


54,137,508


LLC/Anheuser-Busch InBevWorldwide, Inc.:4.70%, 2/1/2036. . . . . . . . . . . . 1,690,000 1,855,3334.90%, 2/1/2046. . . . . . . . . . . . 3,658,000 4,070,513

Anheuser-Busch InBev Worldwide,Inc.:3.75%, 7/15/2042 . . . . . . . . . . . 27,000 25,7264.38%, 4/15/2038 . . . . . . . . . . . 820,000 867,0354.44%, 10/6/2048 . . . . . . . . . . . 880,000 920,3664.60%, 4/15/2048 . . . . . . . . . . . 1,073,000 1,149,3984.75%, 4/15/2058 . . . . . . . . . . . 227,000 242,2914.90%, 1/23/2031 . . . . . . . . . . . 147,000 170,2734.95%, 1/15/2042 . . . . . . . . . . . 979,000 1,087,7185.45%, 1/23/2039 . . . . . . . . . . . 158,000 187,6835.55%, 1/23/2049 . . . . . . . . . . . 1,289,000 1,576,022

SPDR PORTFOLIO LONG TERM CORPORATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTSJune 30, 2019



5.80%, 1/23/2059 . . . . . . . . . . . $ 570,000 $ 714,3585.88%, 6/15/2035 . . . . . . . . . . . 230,000 277,3628.00%, 11/15/2039 . . . . . . . . . . 317,000 467,9818.20%, 1/15/2039 . . . . . . . . . . . 294,000 446,427


22,152,083

BIOTECHNOLOGY — 1.8%Amgen, Inc.

4.66%, 6/15/2051 . . . . . . . . . . . 1,638,000 1,789,695Other Securities . . . . . . . . . . . . . . 9,614,492

11,404,187



CHEMICALS — 1.8%Other Securities . . . . . . . . . . . . . . 11,657,596

COMMERCIAL SERVICES —1.1%



3.45%, 2/9/2045. . . . . . . . . . . . 923,000 922,7233.75%, 9/12/2047 . . . . . . . . . . . 774,000 810,3323.75%, 11/13/2047 . . . . . . . . . . 203,000 213,0403.85%, 5/4/2043. . . . . . . . . . . . 1,167,000 1,241,4553.85%, 8/4/2046. . . . . . . . . . . . 377,000 400,8874.25%, 2/9/2047. . . . . . . . . . . . 638,000 715,6454.38%, 5/13/2045 . . . . . . . . . . . 1,245,000 1,418,7274.45%, 5/6/2044. . . . . . . . . . . . 652,000 748,1504.50%, 2/23/2036 . . . . . . . . . . . 278,000 325,3104.65%, 2/23/2046 . . . . . . . . . . . 1,167,000 1,384,681


14,491,892

COSMETICS/PERSONAL CARE— 0.3%


DISTRIBUTION &WHOLESALE — 0.1%



GE Capital International FundingCo.4.42%, 11/15/2035 . . . . . . . . . . 2,017,000 1,996,326

Visa, Inc.4.30%, 12/14/2045 . . . . . . . . . . 1,085,000 1,277,099


9,725,630

ELECTRIC — 10.5%Other Securities . . . . . . . . . . . . . . 67,432,466


ELECTRICAL COMPONENTS& EQUIPMENT — 0.0% (a)

Other Securities . . . . . . . . . . . . . . $ 124,564

ELECTRONICS — 0.3%Other Securities . . . . . . . . . . . . . . 2,043,533

ENVIRONMENTAL CONTROL— 0.2%


FOOD — 1.6%Other Securities . . . . . . . . . . . . . . 10,043,515

FOREST PRODUCTS & PAPER— 0.5%


GAS — 0.9%Other Securities . . . . . . . . . . . . . . 5,567,695

HAND & MACHINE TOOLS —0.1%


HEALTH CARE PRODUCTS —1.3%

Abbott Laboratories4.90%, 11/30/2046 . . . . . . . . . . $ 1,359,000 1,676,123

Medtronic, Inc.4.63%, 3/15/2045 . . . . . . . . . . . 1,179,000 1,425,588


8,628,721

HEALTH CARE SERVICES —3.5%


HOME FURNISHINGS — 0.1%Other Security . . . . . . . . . . . . . . . 333,959



HOUSEWARES — 0.0% (a)Other Securities . . . . . . . . . . . . . . 271,173

INSURANCE — 4.0%Berkshire Hathaway Finance Corp.


25,652,241

INTERNET — 1.0%Amazon.com, Inc.


6,149,426

IRON/STEEL — 0.5%Other Securities . . . . . . . . . . . . . . 3,153,083

LEISURE TIME — 0.0% (a)Other Security . . . . . . . . . . . . . . . 98,514

SPDR PORTFOLIO LONG TERM CORPORATE BOND ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)June 30, 2019



MACHINERY, CONSTRUCTION& MINING — 0.3%

Other Securities . . . . . . . . . . . . . . $ 1,814,077

MACHINERY-DIVERSIFIED —0.2%


MEDIA — 5.9%Charter Communications

Operating LLC/CharterCommunications OperatingCapital5.38%, 5/1/2047. . . . . . . . . . . . $ 1,416,000 1,490,991

Comcast Corp.:3.20%, 7/15/2036 . . . . . . . . . . . 532,000 516,7793.40%, 7/15/2046 . . . . . . . . . . . 362,000 346,3913.90%, 3/1/2038. . . . . . . . . . . . 115,000 121,1033.97%, 11/1/2047 . . . . . . . . . . . 534,000 559,4184.00%, 8/15/2047 . . . . . . . . . . . 502,000 528,3154.00%, 3/1/2048. . . . . . . . . . . . 259,000 272,5904.00%, 11/1/2049 . . . . . . . . . . . 807,000 849,2794.05%, 11/1/2052 . . . . . . . . . . . 808,000 855,6644.20%, 8/15/2034 . . . . . . . . . . . 44,000 48,8054.25%, 10/15/2030 . . . . . . . . . . 337,000 375,8704.25%, 1/15/2033 . . . . . . . . . . . 450,000 503,0954.40%, 8/15/2035 . . . . . . . . . . . 281,000 312,8374.50%, 1/15/2043 . . . . . . . . . . . 144,000 160,8494.60%, 10/15/2038 . . . . . . . . . . 210,000 240,4004.60%, 8/15/2045 . . . . . . . . . . . 792,000 897,8274.65%, 7/15/2042 . . . . . . . . . . . 367,000 422,3884.70%, 10/15/2048 . . . . . . . . . . 835,000 978,9714.75%, 3/1/2044. . . . . . . . . . . . 628,000 728,3614.95%, 10/15/2058 . . . . . . . . . . 714,000 868,1315.65%, 6/15/2035 . . . . . . . . . . . 275,000 343,6376.40%, 5/15/2038 . . . . . . . . . . . 471,000 637,6496.45%, 3/15/2037 . . . . . . . . . . . 314,000 423,5456.50%, 11/15/2035 . . . . . . . . . . 498,000 673,9186.55%, 7/1/2039. . . . . . . . . . . . 435,000 595,6026.95%, 8/15/2037 . . . . . . . . . . . 123,000 174,5527.05%, 3/15/2033 . . . . . . . . . . . 562,000 786,586


37,676,242



MINING — 1.3%Other Securities . . . . . . . . . . . . . . 8,503,081


General Electric Co.:4.13%, 10/9/2042 . . . . . . . . . . . 1,326,000 1,222,3734.50%, 3/11/2044 . . . . . . . . . . . 793,000 772,509Series GMTN, 6.15%, 8/7/2037 . . 509,000 592,257Series GMTN, 6.88%, 1/10/2039 . 504,000 631,764Series MTN, 5.88%, 1/14/2038 . . 1,303,000 1,479,270


Series MTNA, 6.75%, 3/15/2032 . $ 1,769,000 $ 2,179,461Other Securities . . . . . . . . . . . . . . 3,532,702

10,410,336

OIL & GAS — 5.0%Shell International Finance B.V.

6.38%, 12/15/2038 . . . . . . . . . . 998,000 1,407,180Other Securities . . . . . . . . . . . . . . 30,638,498

32,045,678

OIL & GAS SERVICES — 0.6%Other Securities . . . . . . . . . . . . . . 3,796,709

PACKAGING & CONTAINERS— 0.1%


PHARMACEUTICALS — 6.4%AbbVie, Inc.

4.70%, 5/14/2045 . . . . . . . . . . . 1,336,000 1,361,611Bristol-Myers Squibb Co.:

3.40%, 7/26/2029 (c) . . . . . . . . . 1,754,000 1,837,4384.25%, 10/26/2049 (c) . . . . . . . . 1,520,000 1,679,661

CVS Health Corp.:4.78%, 3/25/2038 . . . . . . . . . . . 1,329,000 1,385,9884.88%, 7/20/2035 . . . . . . . . . . . 166,000 176,6115.05%, 3/25/2048 . . . . . . . . . . . 2,895,000 3,087,1415.13%, 7/20/2045 . . . . . . . . . . . 1,179,000 1,257,1915.30%, 12/5/2043 . . . . . . . . . . . 151,000 165,0646.13%, 9/15/2039 . . . . . . . . . . . 516,000 605,815


40,844,946

PIPELINES — 4.9%TransCanada PipeLines, Ltd.

6.20%, 10/15/2037 . . . . . . . . . . 1,026,000 1,280,592Other Securities . . . . . . . . . . . . . . 30,366,651

31,647,243

REAL ESTATE INVESTMENTTRUSTS — 1.0%


RETAIL — 3.6%Home Depot, Inc.

5.88%, 12/16/2036 . . . . . . . . . . 1,462,000 1,943,217Other Securities . . . . . . . . . . . . . . 21,151,060

23,094,277

SEMICONDUCTORS — 1.0%Other Securities . . . . . . . . . . . . . . 6,446,097

SOFTWARE — 3.3%Microsoft Corp.:

3.45%, 8/8/2036. . . . . . . . . . . . 412,000 435,4063.50%, 2/12/2035 . . . . . . . . . . . 398,000 424,2283.50%, 11/15/2042 . . . . . . . . . . 104,000 108,3003.70%, 8/8/2046. . . . . . . . . . . . 1,474,000 1,594,0873.75%, 5/1/2043. . . . . . . . . . . . 140,000 152,1973.75%, 2/12/2045 . . . . . . . . . . . 555,000 603,451




3.95%, 8/8/2056. . . . . . . . . . . . $ 627,000 $ 697,9204.00%, 2/12/2055 . . . . . . . . . . . 515,000 577,8514.10%, 2/6/2037. . . . . . . . . . . . 844,000 963,3164.20%, 11/3/2035 . . . . . . . . . . . 446,000 512,6904.45%, 11/3/2045 . . . . . . . . . . . 1,720,000 2,069,7454.50%, 10/1/2040 . . . . . . . . . . . 492,000 588,8804.50%, 2/6/2057. . . . . . . . . . . . 751,000 917,0164.75%, 11/3/2055 . . . . . . . . . . . 424,000 540,2864.88%, 12/15/2043 . . . . . . . . . . 98,000 122,9905.20%, 6/1/2039. . . . . . . . . . . . 299,000 387,5885.30%, 2/8/2041. . . . . . . . . . . . 595,000 777,433Series 30Y, 4.25%, 2/6/2047 . . . . 803,000 946,817

Oracle Corp.:3.25%, 5/15/2030 . . . . . . . . . . . 705,000 739,9963.80%, 11/15/2037 . . . . . . . . . . 386,000 407,8283.85%, 7/15/2036 . . . . . . . . . . . 576,000 612,9963.90%, 5/15/2035 . . . . . . . . . . . 81,000 87,7194.00%, 7/15/2046 . . . . . . . . . . . 1,118,000 1,199,2904.00%, 11/15/2047 . . . . . . . . . . 216,000 232,2114.13%, 5/15/2045 . . . . . . . . . . . 859,000 930,9934.30%, 7/8/2034. . . . . . . . . . . . 735,000 835,8644.38%, 5/15/2055 . . . . . . . . . . . 738,000 826,9814.50%, 7/8/2044. . . . . . . . . . . . 189,000 214,6215.38%, 7/15/2040 . . . . . . . . . . . 870,000 1,103,0036.13%, 7/8/2039. . . . . . . . . . . . 275,000 376,1236.50%, 4/15/2038 . . . . . . . . . . . 228,000 318,961


20,969,787

TELECOMMUNICATIONS —8.7%

AT&T, Inc.:4.30%, 2/15/2030 . . . . . . . . . . . 614,000 656,0774.30%, 12/15/2042 . . . . . . . . . . 951,000 939,9214.35%, 3/1/2029. . . . . . . . . . . . 15,000 16,1434.35%, 6/15/2045 . . . . . . . . . . . 596,000 595,5774.50%, 5/15/2035 . . . . . . . . . . . 907,000 950,6454.50%, 3/9/2048. . . . . . . . . . . . 1,332,000 1,359,6394.55%, 3/9/2049. . . . . . . . . . . . 620,000 633,5414.65%, 6/1/2044. . . . . . . . . . . . 382,000 394,2324.75%, 5/15/2046 . . . . . . . . . . . 1,279,000 1,345,7644.80%, 6/15/2044 . . . . . . . . . . . 1,042,000 1,098,0704.85%, 3/1/2039. . . . . . . . . . . . 491,000 528,1594.90%, 8/15/2037 . . . . . . . . . . . 536,000 578,8594.90%, 6/15/2042 . . . . . . . . . . . 273,000 289,5985.15%, 3/15/2042 . . . . . . . . . . . 436,000 479,2825.15%, 11/15/2046 . . . . . . . . . . 338,000 373,6015.15%, 2/15/2050 . . . . . . . . . . . 755,000 834,6305.25%, 3/1/2037. . . . . . . . . . . . 950,000 1,065,9005.35%, 9/1/2040. . . . . . . . . . . . 543,000 612,8195.38%, 10/15/2041 . . . . . . . . . . 101,000 112,0735.45%, 3/1/2047. . . . . . . . . . . . 807,000 927,6385.55%, 8/15/2041 . . . . . . . . . . . 236,000 273,0405.65%, 2/15/2047 . . . . . . . . . . . 550,000 646,2065.70%, 3/1/2057. . . . . . . . . . . . 997,000 1,176,7496.00%, 8/15/2040 . . . . . . . . . . . 253,000 300,830


6.10%, 7/15/2040 . . . . . . . . . . . $ 173,000 $ 207,0716.15%, 9/15/2034 . . . . . . . . . . . 499,000 602,6576.20%, 3/15/2040 . . . . . . . . . . . 100,000 120,7516.25%, 3/29/2041 . . . . . . . . . . . 120,000 146,9236.30%, 1/15/2038 . . . . . . . . . . . 187,000 231,0936.35%, 3/15/2040 . . . . . . . . . . . 317,000 390,4656.38%, 3/1/2041. . . . . . . . . . . . 260,000 324,1006.50%, 9/1/2037. . . . . . . . . . . . 485,000 605,115

Deutsche Telekom InternationalFinance B.V.8.75%, 6/15/2030 . . . . . . . . . . . 1,089,000 1,563,684

Verizon Communications, Inc.:3.85%, 11/1/2042 . . . . . . . . . . . 619,000 630,3834.02%, 12/3/2029 (c) . . . . . . . . . 1,532,000 1,661,2094.13%, 8/15/2046 . . . . . . . . . . . 993,000 1,042,8784.27%, 1/15/2036 . . . . . . . . . . . 472,000 511,3084.40%, 11/1/2034 . . . . . . . . . . . 379,000 420,6714.50%, 8/10/2033 . . . . . . . . . . . 1,359,000 1,531,2264.52%, 9/15/2048 . . . . . . . . . . . 1,152,000 1,289,9064.67%, 3/15/2055 . . . . . . . . . . . 1,199,000 1,358,8394.75%, 11/1/2041 . . . . . . . . . . . 512,000 582,7694.81%, 3/15/2039 . . . . . . . . . . . 627,000 720,3544.86%, 8/21/2046 . . . . . . . . . . . 1,790,000 2,083,6675.01%, 4/15/2049 . . . . . . . . . . . 950,000 1,130,2155.01%, 8/21/2054 . . . . . . . . . . . 42,000 49,9995.25%, 3/16/2037 . . . . . . . . . . . 1,100,000 1,318,7905.50%, 3/16/2047 . . . . . . . . . . . 658,000 831,8575.85%, 9/15/2035 . . . . . . . . . . . 700,000 879,4316.40%, 9/15/2033 . . . . . . . . . . . 4,000 5,2326.40%, 2/15/2038 . . . . . . . . . . . 200,000 262,6546.55%, 9/15/2043 . . . . . . . . . . . 388,000 539,584


55,664,196



TRANSPORTATION — 3.5%Other Securities . . . . . . . . . . . . . . 22,619,176


Other Security . . . . . . . . . . . . . . . 130,573

WATER — 0.4%Other Securities . . . . . . . . . . . . . . 2,431,199

TOTAL CORPORATE BONDS &NOTES(Cost $600,741,657) . . . . . . . . . . . 632,635,618

Shares

SHORT-TERM INVESTMENTS— 0.4%State Street Institutional

U.S. Government MoneyMarket Fund, Class G Shares2.35% (d) (e) . . . . . . . . . . . . 1,399,343 1,399,343




State Street Navigator SecuritiesLending Portfolio III (f) (g) . . . 1,304,620 $ 1,304,620

TOTAL SHORT-TERMINVESTMENTS(Cost $2,703,963) . . . . . . . . . . . . 2,703,963

TOTAL INVESTMENTS —99.0%(Cost $603,445,620) . . . . . . . . . 635,339,581

OTHER ASSETS IN EXCESS OFLIABILITIES — 1.0% . . . . . . 6,667,758

NET ASSETS — 100.0% . . . . . . . $ 642,007,339


(a) Amount is less than 0.05% of net assets.(b) Variable Rate Security - Interest rate shown is rate in effect

at June 30, 2019. For securities based on a publishedreference rate and spread, the reference rate and spread areindicated in the description above.

(c) Securities purchased pursuant to Rule 144A of theSecurities Act of 1933, as amended. These securities, whichrepresent 2.5% of net assets as of June 30, 2019, areconsidered liquid and may be resold in transactions exemptfrom registration, normally to qualified institutional buyers.

(d) The Fund invested in certain money market funds managedby SSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at June 30,2019.

(f) The Fund invested in an affiliated entity. Amounts related tothese transactions during the period ended June 30, 2019 areshown in the Affiliate Table below.

(g) Investment of cash collateral for securities loaned.GMTN= Global Medium Term NoteLIBOR= London Interbank Offered RateMTN= Medium Term Note



Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $632,635,618 $— $632,635,618

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,703,963 — — 2,703,963

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,703,963 $632,635,618 $— $635,339,581



Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund, Class GShares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,469 $106,469 $47,300,361 $46,007,487 $— $— 1,399,343 $1,399,343 $21,134

State Street Navigator Securities Lending Government Money MarketPortfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581,483 581,483 9,021,286 9,602,769 — — — — 4,242

State Street Navigator Securities Lending Portfolio III . . . . . . . . . . . . — — 4,335,680 3,031,060 — — 1,304,620 1,304,620 1,164

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $687,952 $60,657,327 $58,641,316 $— $— $2,703,963 $26,540





Treasury Bonds:2.25%, 8/15/2046 . . . . . . . . $ 60,289,600 $ 56,954,8312.50%, 2/15/2045 . . . . . . . . 65,055,600 64,811,6412.50%, 2/15/2046 . . . . . . . . 56,738,800 56,437,3752.50%, 5/15/2046 . . . . . . . . 59,673,100 59,337,4392.75%, 8/15/2042 . . . . . . . . 32,046,000 33,623,2642.75%, 11/15/2042. . . . . . . . 42,407,000 44,447,8372.75%, 8/15/2047 . . . . . . . . 57,868,100 60,390,7872.75%, 11/15/2047. . . . . . . . 58,393,700 60,948,4242.88%, 5/15/2043 . . . . . . . . 58,247,000 62,296,9872.88%, 8/15/2045 . . . . . . . . 60,799,200 64,979,1452.88%, 11/15/2046. . . . . . . . 58,636,100 62,749,7893.00%, 5/15/2042 . . . . . . . . 22,976,500 25,155,6773.00%, 11/15/2044. . . . . . . . 60,819,900 66,436,2383.00%, 5/15/2045 . . . . . . . . 63,953,900 69,939,5853.00%, 11/15/2045. . . . . . . . 63,564,400 69,563,2903.00%, 2/15/2047 . . . . . . . . 58,181,600 63,799,7613.00%, 5/15/2047 . . . . . . . . 57,186,400 62,636,9793.00%, 2/15/2048 . . . . . . . . 62,938,800 68,937,6543.00%, 8/15/2048 . . . . . . . . 71,342,900 78,243,0963.00%, 2/15/2049 . . . . . . . . 74,914,700 82,289,1163.13%, 11/15/2041. . . . . . . . 20,915,000 23,405,1923.13%, 2/15/2042 . . . . . . . . 25,329,000 28,320,9883.13%, 2/15/2043 . . . . . . . . 42,654,200 47,566,0983.13%, 8/15/2044 . . . . . . . . 63,731,700 71,100,6783.13%, 5/15/2048 . . . . . . . . 65,067,800 73,018,2723.38%, 5/15/2044 . . . . . . . . 63,318,700 73,588,2023.38%, 11/15/2048. . . . . . . . 75,052,900 88,351,3363.50%, 2/15/2039 . . . . . . . . 18,158,900 21,563,6943.63%, 8/15/2043 . . . . . . . . 50,026,100 60,383,0663.63%, 2/15/2044 . . . . . . . . 62,519,000 75,540,5353.75%, 8/15/2041 . . . . . . . . 22,597,100 27,745,0023.75%, 11/15/2043. . . . . . . . 64,428,100 79,317,0313.88%, 8/15/2040 . . . . . . . . 22,861,800 28,552,2454.25%, 5/15/2039 . . . . . . . . 15,285,600 19,993,0874.25%, 11/15/2040. . . . . . . . 26,522,900 34,794,7294.38%, 2/15/2038 . . . . . . . . 10,535,300 13,924,7044.38%, 11/15/2039. . . . . . . . 21,726,400 28,882,533


4.38%, 5/15/2040 . . . . . . . . $ 28,502,400 $ 37,948,2744.38%, 5/15/2041 . . . . . . . . 20,735,600 27,688,5064.50%, 2/15/2036 . . . . . . . . 22,660,800 29,894,5524.50%, 5/15/2038 . . . . . . . . 11,178,200 15,013,7204.50%, 8/15/2039 . . . . . . . . 19,818,600 26,764,4004.63%, 2/15/2040 . . . . . . . . 31,360,900 43,052,6364.75%, 2/15/2037 . . . . . . . . 6,985,700 9,563,8604.75%, 2/15/2041 . . . . . . . . 28,442,700 39,797,5595.00%, 5/15/2037 . . . . . . . . 10,076,100 14,204,1525.38%, 2/15/2031 . . . . . . . . 18,963,800 25,464,8286.13%, 8/15/2029 . . . . . . . . 6,633,000 9,129,7036.25%, 5/15/2030 . . . . . . . . 12,608,900 17,784,459

Treasury Notes 2.88%,5/15/2049 . . . . . . . . . . . . . 46,841,200 50,251,825

TOTAL U.S. TREASURYOBLIGATIONS(Cost $2,252,933,507) . . . . . 2,356,584,781

Shares

SHORT-TERM INVESTMENT — 0.0% (a)State Street Institutional

U.S. Government MoneyMarket Fund, Class G Shares2.35% (b) (c)(Cost $97,705) . . . . . . . . . . 97,705 97,705

TOTAL INVESTMENTS — 99.1%(Cost $2,253,031,212). . . . . . . . . . . . . . . . . . 2,356,682,486

OTHER ASSETS IN EXCESS OFLIABILITIES — 0.9% . . . . . . . . . . . . . . . . 22,143,878

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 2,378,826,364

(a) Amount is less than 0.05% of net assets.(b) The Fund invested in certain money market funds managed by

SSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30,2019.



Quoted Prices




ASSETS:INVESTMENTS:U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $2,356,584,781 $— $2,356,584,781

Short-Term Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97,705 — — 97,705

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $97,705 $2,356,584,781 $— $2,356,682,486

SPDR PORTFOLIO LONG TERM TREASURY ETFSCHEDULE OF INVESTMENTSJune 30, 2019


Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund, Class GShares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359,364 $ 359,364 $ 56,414,949 $ 56,676,608 $— $— 97,705 $97,705 $58,755

State Street Navigator Securities Lending Government Money MarketPortfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,838,448 26,838,448 154,029,011 180,867,459 — — — — 16,899

State Street Navigator Securities Lending Portfolio III . . . . . . . . . . — — 111,092,938 111,092,938 — — — — 4,071

Total. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $27,197,812 $321,536,898 $348,637,005 $— $— $97,705 $79,725

SPDR PORTFOLIO LONG TERM TREASURY ETFSCHEDULE OF INVESTMENTS (continued)June 30, 2019




ADVERTISING — 0.4%Interpublic Group of Cos., Inc.:

3.50%, 10/1/2020 . . . . . . . . $ 2,776,000 $ 2,812,5053.75%, 10/1/2021 . . . . . . . . 8,888,000 9,135,531

Omnicom Group, Inc./OmnicomCapital, Inc.:3.63%, 5/1/2022 . . . . . . . . . 1,773,000 1,828,9914.45%, 8/15/2020 . . . . . . . . 4,139,000 4,231,796

WPP Finance 20104.75%, 11/21/2021. . . . . . . . 3,851,000 4,036,618

22,045,441


Boeing Co8.75%, 8/15/2021 . . . . . . . . 270,000 304,584

Boeing Co.:1.65%, 10/30/2020. . . . . . . . 3,988,000 3,952,4672.13%, 3/1/2022 . . . . . . . . . 21,000 20,9362.35%, 10/30/2021. . . . . . . . 3,107,000 3,117,3772.70%, 5/1/2022 . . . . . . . . . 1,761,000 1,786,253

Embraer SA5.15%, 6/15/2022 . . . . . . . . 3,480,000 3,686,990

General Dynamics Corp.:3.00%, 5/11/2021 . . . . . . . . 9,502,000 9,653,7473.88%, 7/15/2021 . . . . . . . . 50,000 51,499

Harris Corp.2.70%, 4/27/2020 . . . . . . . . 3,478,000 3,481,165

L3 Technologies, Inc.4.95%, 2/15/2021 . . . . . . . . 3,001,000 3,100,393

Lockheed Martin Corp.:2.50%, 11/23/2020. . . . . . . . 5,560,000 5,580,2383.35%, 9/15/2021 . . . . . . . . 3,737,000 3,829,379

Northrop Grumman Corp.:2.08%, 10/15/2020. . . . . . . . 5,998,000 5,988,5833.50%, 3/15/2021 . . . . . . . . 4,844,000 4,940,880

Raytheon Co.3.13%, 10/15/2020. . . . . . . . 3,662,000 3,702,172

Rockwell Collins, Inc.2.80%, 3/15/2022 . . . . . . . . 3,619,000 3,656,855

United Technologies Corp.:1.95%, 11/1/2021 . . . . . . . . 3,858,000 3,826,6352.30%, 5/4/2022 . . . . . . . . . 28,000 27,9963.10%, 6/1/2022 . . . . . . . . . 8,142,000 8,329,2663.35%, 8/16/2021 . . . . . . . . 5,950,000 6,081,733

75,119,148

AGRICULTURE — 1.1%Altria Group, Inc.:

3.49%, 2/14/2022 (a) . . . . . . 7,462,000 7,662,8774.75%, 5/5/2021 . . . . . . . . . 7,428,000 7,738,342

Archer-Daniels-Midland Co.:3.38%, 3/15/2022 . . . . . . . . 3,993,000 4,130,1204.48%, 3/1/2021 . . . . . . . . . 648,000 671,412


BAT Capital Corp.2.30%, 8/14/2020 . . . . . . . . $ 10,730,000 $ 10,706,823

Bunge, Ltd. Finance Corp.:3.00%, 9/25/2022 . . . . . . . . 3,007,000 3,020,8923.50%, 11/24/2020. . . . . . . . 546,000 552,383

Philip Morris International, Inc.:1.88%, 2/25/2021 . . . . . . . . 4,952,000 4,921,0002.90%, 11/15/2021. . . . . . . . 3,957,000 4,008,9554.13%, 5/17/2021 . . . . . . . . 592,000 610,601

Reynolds American, Inc.:3.25%, 6/12/2020 . . . . . . . . 3,314,000 3,336,5354.00%, 6/12/2022 . . . . . . . . 5,000,000 5,186,6006.88%, 5/1/2020 . . . . . . . . . 3,003,000 3,105,673

55,652,213

AIRLINES — 0.3%Delta Air Lines, Inc.:

2.60%, 12/4/2020 . . . . . . . . 928,000 926,7292.88%, 3/13/2020 . . . . . . . . 2,776,000 2,778,2493.40%, 4/19/2021 . . . . . . . . 4,708,000 4,771,9823.63%, 3/15/2022 . . . . . . . . 2,873,000 2,919,973

Southwest Airlines Co.:2.65%, 11/5/2020 . . . . . . . . 2,147,000 2,156,2752.75%, 11/6/2019 (a) . . . . . . 2,910,000 2,911,513

16,464,721

APPAREL — 0.1%Ralph Lauren Corp.

2.63%, 8/18/2020 . . . . . . . . 1,876,000 1,878,983VF Corp.

3.50%, 9/1/2021 . . . . . . . . . 1,030,000 1,055,781

2,934,764


American Honda Finance Corp.:Series GMTN, 1.70%,

9/9/2021 . . . . . . . . . . . . 3,992,000 3,945,373Series GMTN, 2.65%,

2/12/2021. . . . . . . . . . . . 3,846,000 3,870,845Series GMTN, 3.15%,

1/8/2021 . . . . . . . . . . . . 2,860,000 2,898,839Series MTN, 1.65%,

7/12/2021. . . . . . . . . . . . 2,924,000 2,890,140Series MTN, 1.95%,

7/20/2020. . . . . . . . . . . . 3,921,000 3,909,590Series MTN, 2.20%,

6/27/2022. . . . . . . . . . . . 4,248,000 4,245,409Series MTN, 2.45%,

9/24/2020. . . . . . . . . . . . 4,845,000 4,856,967Series MTN, 3.38%,

12/10/2021 . . . . . . . . . . . 5,459,000 5,600,443Ford Motor Credit Co. LLC:

2.34%, 11/2/2020 . . . . . . . . 4,338,000 4,302,6892.43%, 6/12/2020 . . . . . . . . 2,785,000 2,776,5062.98%, 8/3/2022 . . . . . . . . . 8,138,000 8,055,8883.16%, 8/4/2020 . . . . . . . . . 4,476,000 4,489,204

SPDR PORTFOLIO SHORT TERM CORPORATE BOND ETFSCHEDULE OF INVESTMENTSJune 30, 2019



3.20%, 1/15/2021 . . . . . . . . $ 16,587,000 $ 16,658,4903.22%, 1/9/2022 . . . . . . . . . 1,303,000 1,303,6913.34%, 3/18/2021 . . . . . . . . 8,407,000 8,441,7213.47%, 4/5/2021 . . . . . . . . . 5,614,000 5,649,3123.81%, 10/12/2021. . . . . . . . 6,511,000 6,603,5215.09%, 1/7/2021 . . . . . . . . . 1,433,000 1,475,9475.60%, 1/7/2022 . . . . . . . . . 5,766,000 6,102,9075.75%, 2/1/2021 . . . . . . . . . 1,125,000 1,171,0125.88%, 8/2/2021 . . . . . . . . . 1,913,000 2,016,933

General Motors Financial Co.,Inc.:2.45%, 11/6/2020 . . . . . . . . 6,495,000 6,471,7483.20%, 7/13/2020 . . . . . . . . 8,287,000 8,313,7673.20%, 7/6/2021 . . . . . . . . . 8,151,000 8,210,5843.45%, 1/14/2022 . . . . . . . . 7,360,000 7,467,6773.45%, 4/10/2022 . . . . . . . . 4,000 4,0543.55%, 4/9/2021 . . . . . . . . . 3,694,000 3,748,3763.55%, 7/8/2022 . . . . . . . . . 4,868,000 4,953,0933.70%, 11/24/2020. . . . . . . . 3,871,000 3,919,5424.20%, 3/1/2021 . . . . . . . . . 9,119,000 9,315,4234.20%, 11/6/2021 . . . . . . . . 9,352,000 9,628,1654.38%, 9/25/2021 . . . . . . . . 4,127,000 4,260,385

PACCAR Financial Corp.:3.15%, 8/9/2021 . . . . . . . . . 3,259,000 3,317,043Series MTN, 2.25%,

2/25/2021. . . . . . . . . . . . 245,000 245,135Series MTN, 2.50%,

8/14/2020. . . . . . . . . . . . 419,000 420,571Series MTN, 2.65%,

5/10/2022. . . . . . . . . . . . 3,788,000 3,833,759Series MTN, 2.80%, 3/1/2021. 2,706,000 2,731,058Series MTN, 2.85%, 3/1/2022. 258,000 262,154Series MTN, 3.10%,

5/10/2021. . . . . . . . . . . . 3,276,000 3,327,957Toyota Motor Corp.:

2.16%, 7/2/2022 (b) . . . . . . . 1,880,000 1,882,0123.18%, 7/20/2021 . . . . . . . . 5,018,000 5,120,417

Toyota Motor Credit Corp.:Series GMTN, 1.90%,

4/8/2021 . . . . . . . . . . . . 2,920,000 2,907,210Series GMTN, 3.05%,

1/8/2021 . . . . . . . . . . . . 5,014,000 5,082,591Series MTN, 2.60%,

1/11/2022. . . . . . . . . . . . 4,092,000 4,134,516Series MTN, 2.65%,

4/12/2022. . . . . . . . . . . . 4,419,000 4,478,656Series MTN, 2.75%,

5/17/2021. . . . . . . . . . . . 1,024,000 1,035,100Series MTN, 2.95%,

4/13/2021. . . . . . . . . . . . 12,400,000 12,567,276Series MTN, 3.30%,

1/12/2022. . . . . . . . . . . . 3,927,000 4,035,896Series MTN, 3.40%,

9/15/2021. . . . . . . . . . . . 3,921,000 4,026,122


Series MTN, 4.25%,1/11/2021 (a) . . . . . . . . . $ 1,888,000 $ 1,946,924

228,912,638

BANKS — 35.9%Associated Banc-Corp

2.75%, 11/15/2019. . . . . . . . 400,000 400,056Associated Bank NA

Series BKNT, 3.50%,8/13/2021 . . . . . . . . . . . . . 2,362,000 2,405,862

Australia & New ZealandBanking Group, Ltd.:2.55%, 11/23/2021. . . . . . . . 1,683,000 1,692,1723.30%, 5/17/2021 (a) . . . . . . 6,692,000 6,815,534Series MTN, 2.13%,

8/19/2020. . . . . . . . . . . . 3,941,000 3,935,404Series MTN, 2.25%,


11/16/2020 . . . . . . . . . . . 4,008,000 4,029,403Banco Bilbao Vizcaya Argentaria

SA3.00%, 10/20/2020. . . . . . . . 3,804,000 3,830,400

Banco Santander SA3.50%, 4/11/2022 . . . . . . . . 6,209,000 6,369,937

Bancolombia SA5.95%, 6/3/2021 . . . . . . . . . 3,941,000 4,162,957

Bank of America Corp.:5.88%, 1/5/2021 . . . . . . . . . 589,000 619,6223 Month USD LIBOR +

0.37%, 2.74%, 1/23/2022(c) . . . . . . . . . . . . . . . . 10,956,000 11,003,330

3 Month USD LIBOR +1.02%, 2.88%, 4/24/2023(c) . . . . . . . . . . . . . . . . 11,054,000 11,182,116

Series GMTN, 2.63%,4/19/2021. . . . . . . . . . . . 13,572,000 13,653,296

Series GMTN, 3 Month USDLIBOR + 0.66%, 2.37%,7/21/2021 (c) . . . . . . . . . 14,985,000 14,969,715

Series L, 2.25%, 4/21/2020 . . 1,922,000 1,922,154Series MTN, 2.15%,

11/9/2020. . . . . . . . . . . . 4,423,000 4,411,500Series MTN, 2.63%,

10/19/2020 . . . . . . . . . . . 8,891,000 8,920,785Series MTN, 5.00%,

5/13/2021. . . . . . . . . . . . 286,000 299,782Series MTN, 5.63%, 7/1/2020. 4,375,000 4,515,044Series MTN, 3 Month USD

LIBOR + 0.63%, 2.33%,10/1/2021 (c) . . . . . . . . . 8,297,000 8,281,899

Series MTN, 3 Month USDLIBOR + 0.63%, 3.50%,5/17/2022 (c) . . . . . . . . . 12,915,000 13,166,197


SPDR PORTFOLIO SHORT TERM CORPORATE BOND ETFSCHEDULE OF INVESTMENTS (continued)June 30, 2019



Bank of America NA3 Month USD LIBOR +0.65%, 3.34%, 1/25/2023 (c) . $ 2,446,000 $ 2,509,792

Bank of Montreal:Series D, 3.10%, 4/13/2021 . . 5,439,000 5,522,978Series MTN, 1.90%,

8/27/2021. . . . . . . . . . . . 9,756,000 9,688,098Series MTN, 2.90%,

3/26/2022. . . . . . . . . . . . 13,395,000 13,601,819Series MTN, 3.10%,

7/13/2020. . . . . . . . . . . . 4,266,000 4,302,432Bank of New York Mellon Corp.:

3.55%, 9/23/2021 . . . . . . . . 6,397,000 6,570,551Series MTN, 2.05%, 5/3/2021. 8,359,000 8,343,703Series MTN, 2.45%,

11/27/2020 . . . . . . . . . . . 3,902,000 3,917,452Series MTN, 2.50%,

4/15/2021. . . . . . . . . . . . 3,646,000 3,666,017Series MTN, 2.60%,

8/17/2020. . . . . . . . . . . . 4,285,000 4,303,897Series MTN, 2.60%, 2/7/2022. 4,864,000 4,912,786Series MTN, 4.15%, 2/1/2021. 2,371,000 2,441,964Series MTN, 3 Month USD

LIBOR + 0.63%, 2.66%,5/16/2023 (c) . . . . . . . . . 5,648,000 5,691,264

Bank of Nova Scotia:2.35%, 10/21/2020. . . . . . . . 3,988,000 3,994,5402.70%, 3/7/2022 . . . . . . . . . 3,299,000 3,344,2952.80%, 7/21/2021 (a) . . . . . . 3,977,000 4,023,4514.38%, 1/13/2021 . . . . . . . . 2,542,000 2,623,674Series BKNT, 2.15%,

7/14/2020. . . . . . . . . . . . 3,712,000 3,710,738Series BKNT, 2.45%,

3/22/2021. . . . . . . . . . . . 6,717,000 6,746,152Series BKNT, 2.50%,

1/8/2021 . . . . . . . . . . . . 5,724,000 5,748,384Series BKNT, 3.13%,

4/20/2021. . . . . . . . . . . . 14,479,000 14,717,180Barclays Bank PLC:

2.65%, 1/11/2021 . . . . . . . . 16,992,000 17,021,3965.14%, 10/14/2020. . . . . . . . 3,906,000 4,016,696

Barclays PLC:3.20%, 8/10/2021 . . . . . . . . 5,904,000 5,948,8703.25%, 1/12/2021 . . . . . . . . 5,502,000 5,544,5303 Month USD LIBOR +

1.40%, 4.61%, 2/15/2023(c) . . . . . . . . . . . . . . . . 11,782,000 12,194,134

BB&T Corp.:Series MTN, 2.05%,



6/20/2022. . . . . . . . . . . . 10,760,000 10,992,416Series MTN, 3.20%, 9/3/2021. 5,890,000 5,994,960


BNP Paribas SA:2.38%, 5/21/2020 . . . . . . . . $ 4,846,000 $ 4,845,903Series BKNT, 5.00%,

1/15/2021. . . . . . . . . . . . 12,802,000 13,317,024BPCE SA:

Series BKNT, 2.65%,2/3/2021 . . . . . . . . . . . . 2,230,000 2,240,860

Series MTN, 2.75%,12/2/2021. . . . . . . . . . . . 10,345,000 10,442,450

Branch Banking & Trust Co.:2.63%, 1/15/2022 . . . . . . . . 215,000 216,937Series BKNT, 2.85%,

4/1/2021 . . . . . . . . . . . . 3,355,000 3,384,994Canadian Imperial Bank of

Commerce:2.70%, 2/2/2021 . . . . . . . . . 4,838,000 4,872,930Series BKNT, 2.10%,

10/5/2020. . . . . . . . . . . . 5,034,000 5,028,261Capital One NA:

Series BKNT, 2.25%,9/13/2021. . . . . . . . . . . . 3,701,000 3,687,084

Series BKNT, 2.95%,7/23/2021. . . . . . . . . . . . 1,364,000 1,378,213

Citibank NA:Series BKNT, 2.13%,

10/20/2020 . . . . . . . . . . . 8,244,000 8,226,770Series BKNT, 2.85%,

2/12/2021. . . . . . . . . . . . 9,398,000 9,472,714Series BKNT, 3.40%,

7/23/2021. . . . . . . . . . . . 8,811,000 8,996,560Series BKNT, 3 Month USD

LIBOR + 0.53%, 3.17%,2/19/2022 (c) . . . . . . . . . 9,235,000 9,338,340

Series BKNT, 3 Month USDLIBOR + 0.60%, 2.84%,5/20/2022 (c) . . . . . . . . . 7,382,000 7,442,606

Citigroup, Inc.:2.35%, 8/2/2021 . . . . . . . . . 7,179,000 7,174,1182.65%, 10/26/2020. . . . . . . . 13,231,000 13,273,8682.70%, 3/30/2021 . . . . . . . . 9,862,000 9,911,2112.75%, 4/25/2022 . . . . . . . . 10,543,000 10,641,4722.90%, 12/8/2021 . . . . . . . . 13,070,000 13,217,2994.50%, 1/14/2022 . . . . . . . . 11,297,000 11,878,7955.38%, 8/9/2020 . . . . . . . . . 3,970,000 4,097,7943 Month USD LIBOR +

0.72%, 3.14%, 1/24/2023(c) . . . . . . . . . . . . . . . . 8,288,000 8,422,017

Citizens Bank NASeries BKNT, 3.25%,2/14/2022 . . . . . . . . . . . . . 3,870,000 3,940,782

Citizens Bank NA/ProvidenceRI:Series BKNT, 2.25%,

10/30/2020 . . . . . . . . . . . 3,958,000 3,949,807Series BKNT, 2.55%,

5/13/2021. . . . . . . . . . . . 3,585,000 3,595,289




Citizens Financial Group, Inc.2.38%, 7/28/2021 . . . . . . . . $ 3,121,000 $ 3,118,659

Commonwealth Bank ofAustralia:Series BKNT, 2.55%,

3/15/2021 (a) . . . . . . . . . 4,079,000 4,098,375Series GMTN, 2.40%,

11/2/2020. . . . . . . . . . . . 5,060,000 5,069,057Compass Bank

Series BKNT, 3.50%,6/11/2021 . . . . . . . . . . . . . 3,911,000 3,984,449

Cooperatieve Rabobank UA:2.75%, 1/10/2022 . . . . . . . . 6,721,000 6,793,3182.75%, 1/10/2023 . . . . . . . . 3,864,000 3,912,6483.13%, 4/26/2021 . . . . . . . . 7,136,000 7,248,6773.88%, 2/8/2022 . . . . . . . . . 5,103,000 5,308,2434.50%, 1/11/2021 . . . . . . . . 6,024,000 6,223,816Series GMTN, 1.88%,

7/19/2021. . . . . . . . . . . . 36,000 35,697Series GMTN, 2.50%,

1/19/2021. . . . . . . . . . . . 11,232,000 11,270,975Credit Suisse AG:

3.00%, 10/29/2021. . . . . . . . 4,567,000 4,633,450Series MTN, 4.38%, 8/5/2020. 4,839,000 4,941,345

Credit Suisse Group FundingGuernsey, Ltd.:2.75%, 3/26/2020 . . . . . . . . 3,916,000 3,921,7573.13%, 12/10/2020. . . . . . . . 8,875,000 8,946,5333.45%, 4/16/2021 . . . . . . . . 7,327,000 7,442,1803.80%, 9/15/2022 . . . . . . . . 3,748,000 3,888,288

Deutsche Bank AG:2.70%, 7/13/2020 . . . . . . . . 6,008,000 5,977,7202.95%, 8/20/2020 . . . . . . . . 3,910,000 3,886,1883.13%, 1/13/2021 . . . . . . . . 5,056,000 5,011,0023.15%, 1/22/2021 . . . . . . . . 6,503,000 6,451,9513.38%, 5/12/2021 . . . . . . . . 9,928,000 9,872,5024.25%, 2/4/2021 . . . . . . . . . 5,178,000 5,223,5154.25%, 10/14/2021. . . . . . . . 14,665,000 14,860,9242.95%, 8/20/2020 . . . . . . . . 50,000 49,838Series D, 5.00%, 2/14/2022 . . 6,677,000 6,885,723Series GMTN, 3.13%,

1/13/2021 (a) . . . . . . . . . 700,000 696,640Series GMTN, 3.38%,

5/12/2021. . . . . . . . . . . . 3,256,000 3,259,484Discover Bank:

7.00%, 4/15/2020 . . . . . . . . 1,421,000 1,468,945Series BKNT, 3.20%,

8/9/2021 . . . . . . . . . . . . 3,910,000 3,970,644Fifth Third Bancorp:

2.60%, 6/15/2022 . . . . . . . . 5,833,000 5,869,4562.88%, 7/27/2020 . . . . . . . . 4,436,000 4,456,9823.50%, 3/15/2022 . . . . . . . . 252,000 259,305

Fifth Third Bank:Series BKNT, 2.20%,

10/30/2020 . . . . . . . . . . . 3,940,000 3,935,272


Series BKNT, 2.25%,6/14/2021. . . . . . . . . . . . $ 6,688,000 $ 6,683,252

Series BKNT, 2.88%,10/1/2021. . . . . . . . . . . . 4,918,000 4,976,475

Series BKNT, 3.35%,7/26/2021. . . . . . . . . . . . 4,112,000 4,195,926

First Horizon National Corp.3.50%, 12/15/2020. . . . . . . . 2,305,000 2,332,038

First Tennessee Bank NASeries BKNT, 2.95%,12/1/2019 . . . . . . . . . . . . . 3,151,000 3,153,930

Goldman Sachs Bank USASeries BKNT, 3.20%,6/5/2020 . . . . . . . . . . . . . . 3,602,000 3,629,735

Goldman Sachs Group, Inc.:2.30%, 12/13/2019. . . . . . . . 3,012,000 3,010,3432.35%, 11/15/2021. . . . . . . . 11,345,000 11,322,6502.60%, 12/27/2020. . . . . . . . 12,009,000 12,020,4092.63%, 4/25/2021 . . . . . . . . 8,475,000 8,505,4252.75%, 9/15/2020 . . . . . . . . 9,767,000 9,807,2402.88%, 2/25/2021 . . . . . . . . 8,695,000 8,757,1693.00%, 4/26/2022 . . . . . . . . 14,934,000 15,069,1535.25%, 7/27/2021 . . . . . . . . 20,346,000 21,511,6225.75%, 1/24/2022 . . . . . . . . 10,446,000 11,291,4993 Month USD LIBOR +

0.99%, 2.91%, 7/24/2023(c) . . . . . . . . . . . . . . . . 5,000,000 5,049,250

3 Month USD LIBOR +1.05%, 2.91%, 6/5/2023(c) . . . . . . . . . . . . . . . . 4,754,000 4,803,632

3 Month USD LIBOR +0.82%, 2.88%, 10/31/2022(c) . . . . . . . . . . . . . . . . 11,918,000 12,011,080

Series GMTN, 5.38%,3/15/2020. . . . . . . . . . . . 2,315,000 2,362,527

HSBC Bank USA NASeries BKNT, 4.88%,8/24/2020 . . . . . . . . . . . . . 8,073,000 8,288,065

HSBC Holdings PLC:2.65%, 1/5/2022 . . . . . . . . . 17,326,000 17,403,2742.95%, 5/25/2021 . . . . . . . . 15,561,000 15,684,8663.40%, 3/8/2021 . . . . . . . . . 15,544,000 15,788,3524.00%, 3/30/2022 . . . . . . . . 4,583,000 4,775,6695.10%, 4/5/2021 . . . . . . . . . 13,070,000 13,655,4053 Month USD LIBOR +

1.06%, 3.26%, 3/13/2023(c) . . . . . . . . . . . . . . . . 9,733,000 9,902,938

3 Month USD LIBOR +0.92%, 3.03%, 11/22/2023(c) . . . . . . . . . . . . . . . . 5,000,000 5,064,250

HSBC USA, Inc.:2.75%, 8/7/2020 . . . . . . . . . 5,319,000 5,345,2235.00%, 9/27/2020 . . . . . . . . 935,000 962,583

Huntington Bancshares, Inc.:2.30%, 1/14/2022 . . . . . . . . 4,102,000 4,097,7753.15%, 3/14/2021 . . . . . . . . 3,960,000 4,009,5007.00%, 12/15/2020 (a) . . . . . 3,198,000 3,402,576




Huntington National Bank:3.25%, 5/14/2021 . . . . . . . . $ 4,471,000 $ 4,541,463Series BKNT, 2.88%,

8/20/2020. . . . . . . . . . . . 807,000 811,463Series BKNT, 3.13%,

4/1/2022 . . . . . . . . . . . . 4,963,000 5,066,677ING Groep NV

3.15%, 3/29/2022 . . . . . . . . 8,480,000 8,637,643JPMorgan Chase & Co.:

2.40%, 6/7/2021 . . . . . . . . . 7,120,000 7,129,6122.55%, 10/29/2020. . . . . . . . 15,459,000 15,496,8752.55%, 3/1/2021 . . . . . . . . . 10,194,000 10,216,2234.25%, 10/15/2020. . . . . . . . 12,565,000 12,867,0634.35%, 8/15/2021 . . . . . . . . 14,029,000 14,589,3184.40%, 7/22/2020 . . . . . . . . 9,909,000 10,127,9894.50%, 1/24/2022 . . . . . . . . 13,888,000 14,638,5084.63%, 5/10/2021 . . . . . . . . 8,402,000 8,745,6423 Month USD LIBOR +

0.61%, 3.51%, 6/18/2022(c) . . . . . . . . . . . . . . . . 12,486,000 12,757,570

3 Month USD LIBOR +0.70%, 3.21%, 4/1/2023(c) . . . . . . . . . . . . . . . . 14,933,000 15,232,407

3 Month USD LIBOR +0.94%, 2.78%, 4/25/2023(c) . . . . . . . . . . . . . . . . 2,982,000 3,010,597

Series MTN, 2.30%,8/15/2021. . . . . . . . . . . . 15,021,000 14,998,468

KeyBank NA:Series BKNT, 2.50%,

11/22/2021 . . . . . . . . . . . 3,240,000 3,257,496Series BKNT, 3.18%,

10/15/2027 . . . . . . . . . . . 1,630,000 1,656,846Series BKNT, 3.30%,

2/1/2022 . . . . . . . . . . . . 5,552,000 5,695,408Series BKNT, 3.35%,

6/15/2021. . . . . . . . . . . . 3,641,000 3,716,332KeyCorp.:

Series MTN, 2.90%,9/15/2020. . . . . . . . . . . . 3,810,000 3,832,708

Series MTN, 5.10%,3/24/2021. . . . . . . . . . . . 3,540,000 3,705,601

Lloyds Bank PLC:2.40%, 3/17/2020 . . . . . . . . 3,423,000 3,421,1862.70%, 8/17/2020 . . . . . . . . 3,651,000 3,664,2903.30%, 5/7/2021 . . . . . . . . . 7,949,000 8,065,8506.38%, 1/21/2021 . . . . . . . . 3,798,000 4,023,069

Lloyds Banking Group PLC:3.00%, 1/11/2022 . . . . . . . . 75,000 75,7133.10%, 7/6/2021 . . . . . . . . . 3,505,000 3,542,0483 Month USD LIBOR +

0.81%, 2.91%, 11/7/2023(c) . . . . . . . . . . . . . . . . 4,760,000 4,753,622

Manufacturers & Traders TrustCo.:Series BKNT, 2.05%,

8/17/2020. . . . . . . . . . . . 3,822,000 3,814,088


Series BKNT, 2.50%,5/18/2022. . . . . . . . . . . . $ 1,654,000 $ 1,663,428

Series BKNT, 2.63%,1/25/2021. . . . . . . . . . . . 4,862,000 4,886,845

Mitsubishi UFJ Financial Group,Inc.:2.19%, 9/13/2021 . . . . . . . . 5,173,000 5,146,6692.95%, 3/1/2021 . . . . . . . . . 6,449,000 6,503,9453.00%, 2/22/2022 . . . . . . . . 3,875,000 3,930,1033.22%, 3/7/2022 . . . . . . . . . 7,627,000 7,787,6253.54%, 7/26/2021 . . . . . . . . 8,321,000 8,506,142

Mizuho Financial Group, Inc.:2.27%, 9/13/2021 . . . . . . . . 3,728,000 3,714,3562.95%, 2/28/2022 . . . . . . . . 8,268,000 8,367,712

Morgan Stanley:2.75%, 5/19/2022 . . . . . . . . 13,476,000 13,616,6892.80%, 6/16/2020 . . . . . . . . 10,088,000 10,133,3965.75%, 1/25/2021 . . . . . . . . 10,901,000 11,449,211Series GMTN, 2.50%,

4/21/2021. . . . . . . . . . . . 13,457,000 13,481,626Series GMTN, 5.50%,

7/24/2020. . . . . . . . . . . . 8,512,000 8,786,001Series GMTN, 5.50%,

7/28/2021. . . . . . . . . . . . 10,584,000 11,237,880Series MTN, 2.63%,

11/17/2021 . . . . . . . . . . . 22,005,000 22,137,030MUFG Union Bank NA

Series BKNT, 3.15%,4/1/2022 . . . . . . . . . . . . . . 9,812,000 10,028,845

National Australia Bank, Ltd.:2.50%, 1/12/2021 . . . . . . . . 3,798,000 3,810,9892.80%, 1/10/2022 . . . . . . . . 3,103,000 3,141,7253.38%, 9/20/2021 . . . . . . . . 2,788,000 2,852,9053.70%, 11/4/2021 . . . . . . . . 4,235,000 4,367,005Series BKNT, 1.88%,

7/12/2021. . . . . . . . . . . . 3,805,000 3,774,408Series BKNT, 2.63%,

7/23/2020. . . . . . . . . . . . 4,521,000 4,540,124Series GMTN, 2.50%,

5/22/2022. . . . . . . . . . . . 5,014,000 5,042,028Series GMTN, 2.63%,

1/14/2021. . . . . . . . . . . . 5,168,000 5,195,132National Bank of Canada

Series BKNT, 2.20%,11/2/2020 . . . . . . . . . . . . . 3,557,000 3,550,669

Natwest Markets PLC5.63%, 8/24/2020 . . . . . . . . 319,000 329,533

Northern Trust Corp.:3.38%, 8/23/2021 . . . . . . . . 3,644,000 3,741,3683.45%, 11/4/2020 . . . . . . . . 2,344,000 2,382,699

PNC Bank NA:Series BKNT, 2.15%,

4/29/2021. . . . . . . . . . . . 3,711,000 3,704,357Series BKNT, 2.45%,

11/5/2020. . . . . . . . . . . . 9,293,000 9,311,121Series BKNT, 2.50%,

1/22/2021. . . . . . . . . . . . 5,774,000 5,791,091




Series BKNT, 2.55%,12/9/2021. . . . . . . . . . . . $ 995,000 $ 1,002,005

Series BKNT, 2.60%,7/21/2020. . . . . . . . . . . . 4,917,000 4,930,423

Series BKNT, 2.63%,2/17/2022. . . . . . . . . . . . 3,962,000 3,996,113

Series BKNT, 2.70%,11/1/2022. . . . . . . . . . . . 7,182,000 7,254,825

PNC Financial Services Group,Inc.:3.30%, 3/8/2022 . . . . . . . . . 3,222,000 3,315,8894.38%, 8/11/2020 . . . . . . . . 1,852,000 1,893,763

RBC USA Holdco Corp.5.25%, 9/15/2020 . . . . . . . . 3,736,000 3,864,481

Regions Bank:Series BKNT, 2.75%,

4/1/2021 . . . . . . . . . . . . 3,762,000 3,781,976Series BKNT, 3 Month USD

LIBOR + 0.50%, 3.37%,8/13/2021 (c) . . . . . . . . . 7,234,000 7,295,706

Regions Financial Corp.3.20%, 2/8/2021 . . . . . . . . . 4,356,000 4,404,047

Royal Bank of Canada:2.15%, 10/26/2020. . . . . . . . 9,372,000 9,368,345Series GMTN, 2.50%,

1/19/2021. . . . . . . . . . . . 4,161,000 4,180,765Series GMTN, 2.75%,

2/1/2022 . . . . . . . . . . . . 4,265,000 4,332,302Series GMTN, 2.80%,

4/29/2022 (a) . . . . . . . . . 7,072,000 7,187,061Series GMTN, 3.20%,

4/30/2021. . . . . . . . . . . . 8,672,000 8,829,137Series MTN, 2.35%,

10/30/2020 . . . . . . . . . . . 5,981,000 5,993,261Royal Bank of Scotland Group

PLC3 Month USD LIBOR +1.48%, 3.50%, 5/15/2023 (c) . 9,011,000 9,103,453

Santander Holdings USA, Inc.:3.70%, 3/28/2022 . . . . . . . . 11,240,000 11,498,5204.45%, 12/3/2021 . . . . . . . . 4,881,000 5,070,676

Santander UK Group HoldingsPLC:2.88%, 10/16/2020. . . . . . . . 3,805,000 3,815,1972.88%, 8/5/2021 . . . . . . . . . 9,671,000 9,687,1513.13%, 1/8/2021 . . . . . . . . . 3,630,000 3,650,764

Santander UK PLC:2.13%, 11/3/2020 . . . . . . . . 3,229,000 3,212,5972.50%, 1/5/2021 . . . . . . . . . 3,937,000 3,936,2133.40%, 6/1/2021 . . . . . . . . . 3,550,000 3,607,6883.75%, 11/15/2021. . . . . . . . 2,201,000 2,260,691

Skandinaviska Enskilda BankenAB:1.88%, 9/13/2021 . . . . . . . . 7,489,000 7,404,7492.63%, 3/15/2021 . . . . . . . . 4,313,000 4,333,2282.80%, 3/11/2022 . . . . . . . . 2,435,000 2,460,568

Sumitomo Mitsui Banking Corp.:


Series BKNT, 2.45%,10/20/2020 . . . . . . . . . . . $ 5,399,000 $ 5,403,481

Series GMTN, 2.65%,7/23/2020. . . . . . . . . . . . 3,936,000 3,948,005

Sumitomo Mitsui FinancialGroup, Inc.:2.06%, 7/14/2021 . . . . . . . . 6,948,000 6,911,8012.44%, 10/19/2021. . . . . . . . 6,353,000 6,363,1652.85%, 1/11/2022 . . . . . . . . 4,396,000 4,440,1362.93%, 3/9/2021 . . . . . . . . . 6,683,000 6,745,286

SunTrust Bank:Series BKNT, 2.80%,

5/17/2022. . . . . . . . . . . . 5,827,000 5,900,595Series BKNT, 3 Month USD

LIBOR + 0.50%, 3.53%,10/26/2021 (c). . . . . . . . . 3,506,000 3,558,274

Series BKNT, 3 Month USDLIBOR + 0.59%, 3.50%,8/2/2022 (c) . . . . . . . . . . 3,209,000 3,281,588

SunTrust Banks, Inc.:2.70%, 1/27/2022 . . . . . . . . 4,748,000 4,778,8622.90%, 3/3/2021 . . . . . . . . . 3,975,000 4,010,219

Svenska Handelsbanken AB:1.95%, 9/8/2020 . . . . . . . . . 6,675,000 6,651,437Series BKNT, 1.88%,

9/7/2021 . . . . . . . . . . . . 6,260,000 6,203,284Series BKNT, 2.45%,

3/30/2021. . . . . . . . . . . . 4,626,000 4,637,287Series BKNT, 3.35%,

5/24/2021. . . . . . . . . . . . 6,413,000 6,534,975Series GMTN, 2.40%,

10/1/2020. . . . . . . . . . . . 4,319,000 4,329,970Synchrony Bank:

Series BKNT, 3.00%,6/15/2022. . . . . . . . . . . . 3,000,000 3,022,710

Series BKNT, 3.65%,5/24/2021. . . . . . . . . . . . 4,687,000 4,768,976

Toronto-Dominion Bank:1.80%, 7/13/2021 (a) . . . . . . 5,500,000 5,456,440Series GMTN, 1.85%,

9/11/2020. . . . . . . . . . . . 3,845,000 3,831,581Series GMTN, 2.50%,

12/14/2020 . . . . . . . . . . . 9,363,000 9,405,414Series GMTN, 2.55%,

1/25/2021. . . . . . . . . . . . 8,795,000 8,842,757Series GMTN, 3.15%,


6/11/2021. . . . . . . . . . . . 7,168,000 7,310,715UBS AG

Series GMTN, 4.88%,8/4/2020 . . . . . . . . . . . . . . 3,915,000 4,024,424

US Bancorp:Series MTN, 2.35%,

1/29/2021. . . . . . . . . . . . 207,000 207,600




Series MTN, 3.00%,3/15/2022. . . . . . . . . . . . $ 4,278,000 $ 4,371,603

Series MTN, 4.13%,5/24/2021. . . . . . . . . . . . 4,022,000 4,156,657

Series V, 2.63%, 1/24/2022. . . 1,845,000 1,864,778US Bank NA:

Series BKNT, 2.05%,10/23/2020 . . . . . . . . . . . 4,030,000 4,022,867

Series BKNT, 2.65%,5/23/2022. . . . . . . . . . . . 7,338,000 7,435,816

Series BKNT, 3.00%,2/4/2021 . . . . . . . . . . . . 6,879,000 6,958,934

Series BKNT, 3.05%,7/24/2020. . . . . . . . . . . . 3,872,000 3,903,479

Series BKNT, 3.15%,4/26/2021. . . . . . . . . . . . 4,638,000 4,717,727

Series BKNT, 3.45%,11/16/2021 . . . . . . . . . . . 10,631,000 10,925,266

Wells Fargo & Co.:2.10%, 7/26/2021 . . . . . . . . 9,151,000 9,097,1922.50%, 3/4/2021 . . . . . . . . . 11,898,000 11,922,5103.07%, 1/24/2023 . . . . . . . . 3,263,000 3,315,306Series GMTN, 2.60%,

7/22/2020. . . . . . . . . . . . 10,901,000 10,930,651Series MTN, 2.55%,

12/7/2020. . . . . . . . . . . . 8,467,000 8,489,099Series MTN, 3.00%,

1/22/2021. . . . . . . . . . . . 4,926,000 4,971,664Series MTN, 3.50%, 3/8/2022. 10,736,000 11,045,948Series MTN, 4.60%, 4/1/2021. 11,082,000 11,504,667

Wells Fargo Bank NA:Series BKNT, 2.60%,

1/15/2021. . . . . . . . . . . . 9,813,000 9,853,430Series BKNT, 3.63%,

10/22/2021 . . . . . . . . . . . 16,762,000 17,232,342Series BKNT, 3 Month USD

LIBOR + 0.49%, 3.33%,7/23/2021 (c) . . . . . . . . . 14,249,000 14,382,941


Westpac Banking Corp.:2.00%, 8/19/2021 . . . . . . . . 3,557,000 3,537,0452.10%, 5/13/2021 . . . . . . . . 6,855,000 6,836,2862.50%, 6/28/2022 . . . . . . . . 200,000 201,2482.60%, 11/23/2020. . . . . . . . 6,124,000 6,154,1302.65%, 1/25/2021 . . . . . . . . 7,417,000 7,461,9472.75%, 1/11/2023 . . . . . . . . 4,760,000 4,821,2612.80%, 1/11/2022 . . . . . . . . 1,318,000 1,334,409

Zions Bancorp NA:3.50%, 8/27/2021 . . . . . . . . 2,642,000 2,695,897Series BKNT, 3.35%,

3/4/2022 . . . . . . . . . . . . 4,689,000 4,770,870

1,888,264,102


BEVERAGES — 1.8%Anheuser-Busch InBev Finance,

Inc.2.65%, 2/1/2021 . . . . . . . . . $ 1,599,000 $ 1,607,091

Coca-Cola Co.:1.55%, 9/1/2021 (a) . . . . . . . 6,047,000 5,985,8651.88%, 10/27/2020. . . . . . . . 6,474,000 6,462,9942.45%, 11/1/2020 (a) . . . . . . 4,943,000 4,963,3163.15%, 11/15/2020. . . . . . . . 5,011,000 5,080,4023.30%, 9/1/2021 . . . . . . . . . 6,741,000 6,923,344

Coca-Cola European PartnersPLC3.50%, 9/15/2020 . . . . . . . . 2,518,000 2,548,241

Constellation Brands, Inc.:2.25%, 11/6/2020 . . . . . . . . 3,728,000 3,719,6492.70%, 5/9/2022 . . . . . . . . . 3,010,000 3,030,8593.75%, 5/1/2021 . . . . . . . . . 3,536,000 3,618,354

Diageo Capital PLC:3.00%, 5/18/2020 . . . . . . . . 4,941,000 4,964,1734.83%, 7/15/2020 . . . . . . . . 1,121,000 1,149,429

Keurig Dr Pepper, Inc.3.55%, 5/25/2021 . . . . . . . . 8,634,000 8,806,076

Molson Coors Brewing Co.:2.10%, 7/15/2021 . . . . . . . . 3,937,000 3,907,5123.50%, 5/1/2022 . . . . . . . . . 2,485,000 2,551,896

PepsiCo, Inc.:1.70%, 10/6/2021 . . . . . . . . 936,000 928,6521.85%, 4/30/2020 . . . . . . . . 6,715,000 6,698,8842.00%, 4/15/2021 . . . . . . . . 4,520,000 4,513,4462.15%, 10/14/2020. . . . . . . . 3,773,000 3,776,5842.75%, 3/5/2022 . . . . . . . . . 4,900,000 5,002,9003.00%, 8/25/2021 . . . . . . . . 3,887,000 3,962,9523.13%, 11/1/2020 . . . . . . . . 5,473,000 5,547,214

95,749,833

BIOTECHNOLOGY — 1.6%Amgen, Inc.:

1.85%, 8/19/2021 . . . . . . . . 3,552,000 3,514,5622.13%, 5/1/2020 . . . . . . . . . 3,212,000 3,204,3232.65%, 5/11/2022 . . . . . . . . 10,492,000 10,570,0603.45%, 10/1/2020 . . . . . . . . 3,115,000 3,155,8063.88%, 11/15/2021. . . . . . . . 12,113,000 12,486,9284.10%, 6/15/2021 . . . . . . . . 3,927,000 4,041,276

Biogen, Inc.2.90%, 9/15/2020 . . . . . . . . 5,283,000 5,309,256

Bio-Rad Laboratories, Inc.4.88%, 12/15/2020. . . . . . . . 1,668,000 1,719,958

Celgene Corp.:2.25%, 8/15/2021 . . . . . . . . 3,060,000 3,053,4522.88%, 8/15/2020 . . . . . . . . 7,960,000 8,003,7002.88%, 2/19/2021 . . . . . . . . 3,992,000 4,024,3353.55%, 8/15/2022 . . . . . . . . 2,798,000 2,898,0013.95%, 10/15/2020. . . . . . . . 421,000 429,294

Gilead Sciences, Inc.:1.95%, 3/1/2022 . . . . . . . . . 3,854,000 3,826,2132.55%, 9/1/2020 . . . . . . . . . 11,524,000 11,554,078




4.40%, 12/1/2021 . . . . . . . . $ 4,329,000 $ 4,527,1824.50%, 4/1/2021 . . . . . . . . . 3,958,000 4,087,743

86,406,167


CRH America, Inc.5.75%, 1/15/2021 . . . . . . . . 898,000 939,569

Masco Corp.:3.50%, 4/1/2021 . . . . . . . . . 1,989,000 2,019,5117.13%, 3/15/2020 . . . . . . . . 464,000 476,551

3,435,631

CHEMICALS — 1.1%Airgas, Inc.

2.38%, 2/15/2020 . . . . . . . . 50,000 49,986Celanese US Holdings LLC

5.88%, 6/15/2021 . . . . . . . . 2,020,000 2,140,715Dow Chemical Co.

4.13%, 11/15/2021. . . . . . . . 8,815,000 9,125,112DowDuPont, Inc.

3.77%, 11/15/2020. . . . . . . . 6,607,000 6,732,599Eastman Chemical Co.

3.50%, 12/1/2021 . . . . . . . . 1,761,000 1,801,626Ecolab, Inc.

4.35%, 12/8/2021 . . . . . . . . 4,096,000 4,299,285International Flavors &

Fragrances, Inc.3.40%, 9/25/2020 . . . . . . . . 3,531,000 3,573,337

LyondellBasell Industries NV6.00%, 11/15/2021. . . . . . . . 5,816,000 6,236,497

Mosaic Co.3.75%, 11/15/2021. . . . . . . . 876,000 896,744

PPG Industries, Inc.3.60%, 11/15/2020. . . . . . . . 1,664,000 1,690,624

Praxair, Inc.:2.25%, 9/24/2020 . . . . . . . . 1,520,000 1,522,4622.45%, 2/15/2022 . . . . . . . . 1,553,000 1,565,7813.00%, 9/1/2021 . . . . . . . . . 3,691,000 3,758,3244.05%, 3/15/2021 . . . . . . . . 5,339,000 5,508,406

Sherwin-Williams Co.:2.25%, 5/15/2020 . . . . . . . . 8,253,000 8,236,8244.20%, 1/15/2022 . . . . . . . . 500,000 519,380

57,657,702


Automatic Data Processing, Inc.2.25%, 9/15/2020 . . . . . . . . 3,916,000 3,917,488

Block Financial LLC4.13%, 10/1/2020 . . . . . . . . 3,095,000 3,145,294

Cintas Corp. No. 22.90%, 4/1/2022 . . . . . . . . . 3,977,000 4,040,393

Equifax, Inc.:2.30%, 6/1/2021 . . . . . . . . . 922,000 916,3213.60%, 8/15/2021 . . . . . . . . 2,952,000 3,001,771

Moody’s Corp.:2.75%, 12/15/2021. . . . . . . . 1,019,000 1,027,641


3.25%, 6/7/2021 . . . . . . . . . $ 3,933,000 $ 4,003,9125.50%, 9/1/2020 . . . . . . . . . 1,642,000 1,699,634

S&P Global, Inc.3.30%, 8/14/2020 . . . . . . . . 3,700,000 3,735,779

Total System Services, Inc.:3.80%, 4/1/2021 . . . . . . . . . 3,892,000 3,963,7304.00%, 6/1/2023 . . . . . . . . . 3,743,000 3,916,301

Verisk Analytics, Inc.5.80%, 5/1/2021 . . . . . . . . . 3,055,000 3,238,544

36,606,808


1.55%, 8/4/2021 . . . . . . . . . 5,760,000 5,705,9142.00%, 11/13/2020. . . . . . . . 4,919,000 4,916,6392.15%, 2/9/2022 . . . . . . . . . 8,139,000 8,169,1962.25%, 2/23/2021 . . . . . . . . 13,508,000 13,551,4962.30%, 5/11/2022 . . . . . . . . 4,991,000 5,025,2382.50%, 2/9/2022 . . . . . . . . . 7,055,000 7,135,2862.70%, 5/13/2022 . . . . . . . . 692,000 704,5802.85%, 5/6/2021 . . . . . . . . . 12,442,000 12,626,266

Dell International LLC/EMCCorp.:4.42%, 6/15/2021 (d) . . . . . . 13,680,000 14,087,1175.45%, 6/15/2023 (d) . . . . . . 8,616,000 9,285,549

Hewlett Packard Enterprise Co.:3.50%, 10/5/2021 . . . . . . . . 3,631,000 3,705,3993.60%, 10/15/2020. . . . . . . . 12,532,000 12,695,668

HP, Inc.:3.75%, 12/1/2020 . . . . . . . . 2,944,000 2,992,9594.30%, 6/1/2021 . . . . . . . . . 2,610,000 2,698,2184.38%, 9/15/2021 . . . . . . . . 1,442,000 1,503,9774.65%, 12/9/2021 (a) . . . . . . 2,559,000 2,691,786

IBM Credit LLC:1.80%, 1/20/2021 . . . . . . . . 4,780,000 4,746,6362.65%, 2/5/2021 . . . . . . . . . 8,233,000 8,281,2453.45%, 11/30/2020. . . . . . . . 3,852,000 3,915,3273.60%, 11/30/2021. . . . . . . . 4,248,000 4,381,515

International Business MachinesCorp.:2.25%, 2/19/2021 . . . . . . . . 2,971,000 2,971,8322.50%, 1/27/2022 . . . . . . . . 6,496,000 6,540,1732.80%, 5/13/2021 . . . . . . . . 4,930,000 4,989,7022.85%, 5/13/2022 . . . . . . . . 11,338,000 11,533,4672.90%, 11/1/2021 . . . . . . . . 198,000 200,897

NetApp, Inc.3.38%, 6/15/2021 . . . . . . . . 3,349,000 3,389,690

Seagate HDD Cayman4.25%, 3/1/2022 . . . . . . . . . 4,012,000 4,076,954

162,522,726


Colgate-Palmolive Co.:Series MTN, 2.30%, 5/3/2022. 20,000 20,217Series MTN, 2.45%,

11/15/2021 . . . . . . . . . . . 20,000 20,213




Estee Lauder Cos., Inc.1.70%, 5/10/2021 . . . . . . . . $ 2,089,000 $ 2,069,656

Procter & Gamble Co.:1.70%, 11/3/2021 . . . . . . . . 2,023,000 2,008,0301.85%, 2/2/2021 . . . . . . . . . 5,874,000 5,857,2001.90%, 10/23/2020. . . . . . . . 3,466,000 3,460,5932.30%, 2/6/2022 . . . . . . . . . 250,000 251,972

Unilever Capital Corp.:1.38%, 7/28/2021 . . . . . . . . 1,251,000 1,231,9852.10%, 7/30/2020 . . . . . . . . 368,000 367,6432.75%, 3/22/2021 . . . . . . . . 7,297,000 7,374,1293.00%, 3/7/2022 . . . . . . . . . 3,455,000 3,534,0854.25%, 2/10/2021 . . . . . . . . 3,844,000 3,970,391

30,166,114


AerCap Ireland CapitalDAC/AerCap Global AviationTrust:3.50%, 5/26/2022 . . . . . . . . 3,279,000 3,342,7113.95%, 2/1/2022 . . . . . . . . . 2,062,000 2,120,2104.13%, 7/3/2023 . . . . . . . . . 2,348,000 2,452,5104.25%, 7/1/2020 . . . . . . . . . 1,051,000 1,066,6704.45%, 12/16/2021. . . . . . . . 4,739,000 4,919,4144.50%, 5/15/2021 . . . . . . . . 3,824,000 3,943,6534.63%, 10/30/2020. . . . . . . . 4,432,000 4,548,8284.63%, 7/1/2022 (a) . . . . . . . 2,956,000 3,103,6525.00%, 10/1/2021 . . . . . . . . 3,633,000 3,807,893

Air Lease Corp.:2.50%, 3/1/2021 . . . . . . . . . 3,836,000 3,834,8493.38%, 6/1/2021 . . . . . . . . . 1,695,000 1,720,6123.50%, 1/15/2022 . . . . . . . . 2,789,000 2,856,4103.75%, 2/1/2022 . . . . . . . . . 2,368,000 2,430,8703.88%, 4/1/2021 . . . . . . . . . 3,325,000 3,398,848

Aircastle, Ltd.:5.13%, 3/15/2021 . . . . . . . . 3,489,000 3,614,5695.50%, 2/15/2022 . . . . . . . . 3,402,000 3,606,7667.63%, 4/15/2020 . . . . . . . . 1,604,000 1,662,177

American Express Co.:2.20%, 10/30/2020. . . . . . . . 9,117,000 9,095,0282.50%, 8/1/2022 . . . . . . . . . 250,000 251,5302.75%, 5/20/2022 . . . . . . . . 5,058,000 5,120,1633.00%, 2/22/2021 . . . . . . . . 3,896,000 3,938,2723.38%, 5/17/2021 . . . . . . . . 6,379,000 6,498,4153.70%, 11/5/2021 . . . . . . . . 6,007,000 6,186,249

American Express Credit Corp.:Series F, 2.60%, 9/14/2020. . . 4,379,000 4,395,596Series MTN, 2.25%, 5/5/2021. 3,984,000 3,984,239Series MTN, 2.38%,

5/26/2020. . . . . . . . . . . . 5,405,000 5,407,649Series MTN, 2.70%, 3/3/2022. 6,664,000 6,731,240

Ameriprise Financial, Inc.3.00%, 3/22/2022 . . . . . . . . 2,625,000 2,675,085

BlackRock, Inc.4.25%, 5/24/2021 . . . . . . . . 3,956,000 4,114,477


Capital One Financial Corp.:2.40%, 10/30/2020. . . . . . . . $ 3,005,000 $ 3,007,6752.50%, 5/12/2020 . . . . . . . . 6,385,000 6,391,2573.05%, 3/9/2022 . . . . . . . . . 6,866,000 6,973,3843.45%, 4/30/2021 . . . . . . . . 7,663,000 7,801,7774.75%, 7/15/2021 . . . . . . . . 3,363,000 3,515,848

Charles Schwab Corp.:3.25%, 5/21/2021 . . . . . . . . 3,459,000 3,523,9954.45%, 7/22/2020 . . . . . . . . 3,864,000 3,952,756

GE Capital International FundingCo.2.34%, 11/15/2020. . . . . . . . 35,186,000 35,016,755

Intercontinental Exchange, Inc.2.75%, 12/1/2020 . . . . . . . . 5,102,000 5,132,918

International Lease FinanceCorp.:4.63%, 4/15/2021 . . . . . . . . 1,578,000 1,629,2538.25%, 12/15/2020. . . . . . . . 3,734,000 4,027,6428.63%, 1/15/2022 . . . . . . . . 200,000 228,142

Jefferies Group LLC:5.13%, 1/20/2023 (a) . . . . . . 2,745,000 2,941,9546.88%, 4/15/2021 . . . . . . . . 29,000 31,0128.50%, 7/15/2019 . . . . . . . . 1,354,000 1,356,640

Legg Mason, Inc.2.70%, 7/15/2019 . . . . . . . . 100,000 99,999

Mastercard, Inc.2.00%, 11/21/2021. . . . . . . . 2,721,000 2,714,660

Stifel Financial Corp.3.50%, 12/1/2020 . . . . . . . . 10,000 10,107

Synchrony Financial:3.00%, 8/15/2019 . . . . . . . . 2,019,859 2,020,1623.75%, 8/15/2021 . . . . . . . . 3,976,000 4,055,798

TD Ameritrade Holding Corp.2.95%, 4/1/2022 . . . . . . . . . 3,732,000 3,795,855

Visa, Inc.2.20%, 12/14/2020. . . . . . . . 12,168,000 12,190,024

Western Union Co.3.60%, 3/15/2022 . . . . . . . . 3,478,000 3,560,985

224,807,183

ELECTRIC — 4.2%Alabama Power Co.

Series 17A, 2.45%, 3/30/2022. 50,000 50,207Ameren Corp.

2.70%, 11/15/2020. . . . . . . . 2,390,000 2,397,146American Electric Power Co.,

Inc.:2.15%, 11/13/2020. . . . . . . . 2,945,000 2,935,458Series I, 3.65%, 12/1/2021 . . . 3,728,000 3,842,151

Appalachian Power Co.4.60%, 3/30/2021 . . . . . . . . 1,667,000 1,724,261

Arizona Public Service Co.2.20%, 1/15/2020 . . . . . . . . 136,000 135,747

Berkshire Hathaway Energy Co.2.38%, 1/15/2021 . . . . . . . . 3,531,000 3,538,980




CenterPoint Energy HoustonElectric LLC1.85%, 6/1/2021 . . . . . . . . . $ 8,000 $ 7,941

CenterPoint Energy, Inc.3.60%, 11/1/2021 . . . . . . . . 3,703,000 3,802,685

Commonwealth Edison Co.:3.40%, 9/1/2021 . . . . . . . . . 2,561,000 2,617,3934.00%, 8/1/2020 . . . . . . . . . 50,000 50,714

Consolidated Edison, Inc.2.00%, 5/15/2021 . . . . . . . . 2,235,000 2,224,049

Dominion Energy, Inc.:2.58%, 7/1/2020 . . . . . . . . . 4,586,000 4,581,2762.72%, 8/15/2021 (e) . . . . . . 2,778,000 2,783,2504.10%, 4/1/2021 (e) . . . . . . . 3,164,000 3,239,398Series C, 2.00%, 8/15/2021 . . 3,689,000 3,654,471

DPL, Inc.7.25%, 10/15/2021. . . . . . . . 2,188,000 2,353,653

DTE Electric Co.:3.45%, 10/1/2020 . . . . . . . . 1,973,000 1,997,8403.90%, 6/1/2021 . . . . . . . . . 189,000 194,237

DTE Energy Co.Series B, 2.60%, 6/15/2022 . . 2,726,000 2,742,138

Duke Energy Carolinas LLC:3.35%, 5/15/2022 . . . . . . . . 2,787,000 2,879,7233.90%, 6/15/2021 . . . . . . . . 474,000 488,9934.30%, 6/15/2020 . . . . . . . . 2,130,000 2,170,683

Duke Energy Corp.:1.80%, 9/1/2021 . . . . . . . . . 3,671,000 3,629,4813.55%, 9/15/2021 . . . . . . . . 2,972,000 3,037,8605.05%, 9/15/2019 . . . . . . . . 2,351,000 2,361,532

Duke Energy Florida LLC3.10%, 8/15/2021 . . . . . . . . 1,254,000 1,272,898

Duke Energy Indiana LLC3.75%, 7/15/2020 . . . . . . . . 2,558,000 2,597,368

Duke Energy Progress LLC:2.80%, 5/15/2022 . . . . . . . . 340,000 345,9573.00%, 9/15/2021 . . . . . . . . 36,000 36,596

Emera US Finance L.P.2.70%, 6/15/2021 . . . . . . . . 3,980,000 3,993,413

Entergy Corp.:4.00%, 7/15/2022 . . . . . . . . 1,800,000 1,871,6225.13%, 9/15/2020 . . . . . . . . 1,087,000 1,112,838

Entergy Gulf StatesLouisiana LLC3.95%, 10/1/2020 . . . . . . . . 500,000 507,100

Evergy, Inc.4.85%, 6/1/2021 . . . . . . . . . 321,000 332,328

Eversource Energy:2.50%, 3/15/2021 . . . . . . . . 3,703,000 3,712,480Series K, 2.75%, 3/15/2022 . . 3,838,000 3,884,632

Exelon Corp.:2.45%, 4/15/2021 . . . . . . . . 16,000 15,9802.85%, 6/15/2020 . . . . . . . . 3,975,000 3,989,5883.50%, 6/1/2022 . . . . . . . . . 4,000,000 4,096,8005.15%, 12/1/2020 . . . . . . . . 3,053,000 3,146,055

Exelon Generation Co. LLC:


2.95%, 1/15/2020 . . . . . . . . $ 3,437,000 $ 3,441,6404.00%, 10/1/2020 . . . . . . . . 3,902,000 3,961,3104.25%, 6/15/2022 . . . . . . . . 3,946,000 4,129,844

Fortis, Inc.2.10%, 10/4/2021 . . . . . . . . 3,525,000 3,488,975

Georgia Power Co.:2.40%, 4/1/2021 . . . . . . . . . 3,839,000 3,839,384Series C, 2.00%, 9/8/2020 . . . 5,727,000 5,695,272

IPALCO Enterprises, Inc.3.45%, 7/15/2020 . . . . . . . . 437,000 439,552

Kentucky Utilities Co.3.25%, 11/1/2020 . . . . . . . . 3,667,000 3,704,697

LG&E & KU Energy LLC3.75%, 11/15/2020. . . . . . . . 2,437,000 2,473,141

National Rural UtilitiesCooperative Finance Corp.:2.30%, 11/1/2020 . . . . . . . . 579,000 579,6312.40%, 4/25/2022 . . . . . . . . 3,314,000 3,336,1043.05%, 2/15/2022 . . . . . . . . 15,000 15,305Series MTN, 2.90%,

3/15/2021. . . . . . . . . . . . 3,789,000 3,837,007NextEra Energy Capital

Holdings, Inc.:2.90%, 4/1/2022 . . . . . . . . . 5,013,000 5,091,7044.50%, 6/1/2021 . . . . . . . . . 1,180,000 1,221,241Series H, 3.34%, 9/1/2020 . . . 3,912,000 3,956,714

Northern States Power Co.2.20%, 8/15/2020 . . . . . . . . 681,000 681,177

NV Energy, Inc.6.25%, 11/15/2020. . . . . . . . 5,343,000 5,616,348

Ohio Power Co.Series M, 5.38%, 10/1/2021 . . 1,458,000 1,556,648

Oncor Electric Delivery Co. LLC4.10%, 6/1/2022 . . . . . . . . . 900,000 943,335

PacifiCorp3.85%, 6/15/2021 . . . . . . . . 2,947,000 3,028,367

Pinnacle West Capital Corp.2.25%, 11/30/2020. . . . . . . . 1,555,000 1,549,386

PNM Resources, Inc.3.25%, 3/9/2021 . . . . . . . . . 3,498,000 3,534,204

Progress Energy, Inc.:3.15%, 4/1/2022 . . . . . . . . . 2,716,000 2,766,5454.40%, 1/15/2021 . . . . . . . . 3,652,000 3,748,851

PSEG Power LLC3.00%, 6/15/2021 . . . . . . . . 15,000 15,138

Public Service Co. of Colorado3.20%, 11/15/2020. . . . . . . . 934,000 940,631

Public Service Electric & GasCo.:Series MTN, 1.90%,

3/15/2021. . . . . . . . . . . . 2,081,000 2,075,048Series MTN, 2.00%,

8/15/2019. . . . . . . . . . . . 648,000 647,436Public Service Enterprise Group,

Inc.2.00%, 11/15/2021. . . . . . . . 3,720,000 3,684,437

Puget Energy, Inc.:




6.00%, 9/1/2021 . . . . . . . . . $ 3,782,000 $ 4,051,6196.50%, 12/15/2020. . . . . . . . 3,584,000 3,777,823

San Diego Gas & Electric Co.3.00%, 8/15/2021 . . . . . . . . 4,963,000 5,017,643

Sempra Energy2.85%, 11/15/2020. . . . . . . . 2,433,000 2,444,119

Southern California Edison Co.:3.88%, 6/1/2021 . . . . . . . . . 3,665,000 3,725,472Series A, 2.90%, 3/1/2021 . . . 5,092,000 5,098,772

Southern Co.2.35%, 7/1/2021 . . . . . . . . . 6,751,000 6,746,409

Southern Power Co.Series 15B, 2.38%, 6/1/2020. . 3,243,000 3,237,422

UIL Holdings Corp.4.63%, 10/1/2020 . . . . . . . . 866,000 886,628

Virginia Electric & Power Co.2.95%, 1/15/2022 . . . . . . . . 272,000 275,939

WEC Energy Group, Inc.:3.10%, 3/8/2022 . . . . . . . . . 3,574,000 3,637,7963.38%, 6/15/2021 . . . . . . . . 3,886,000 3,960,689

Wisconsin Electric Power Co.2.95%, 9/15/2021 . . . . . . . . 1,999,000 2,025,167

Wisconsin Power & Light Co.5.00%, 7/15/2019 . . . . . . . . 1,000 1,001

Wisconsin Public Service Corp.3.35%, 11/21/2021. . . . . . . . 1,336,000 1,370,202

Xcel Energy, Inc.2.40%, 3/15/2021 . . . . . . . . 3,815,000 3,809,812

220,422,507


Emerson Electric Co.:2.63%, 12/1/2021 . . . . . . . . 3,747,000 3,782,7474.25%, 11/15/2020. . . . . . . . 4,000 4,114

3,786,861

ELECTRONICS — 0.7%Agilent Technologies, Inc.

5.00%, 7/15/2020 . . . . . . . . 3,301,000 3,380,290Amphenol Corp.:

2.20%, 4/1/2020 . . . . . . . . . 1,793,000 1,789,2353.13%, 9/15/2021 . . . . . . . . 208,000 211,072

Arrow Electronics, Inc.3.50%, 4/1/2022 . . . . . . . . . 2,504,000 2,544,114

Avnet, Inc.3.75%, 12/1/2021 . . . . . . . . 2,876,000 2,934,929

FLIR Systems, Inc.3.13%, 6/15/2021 . . . . . . . . 3,192,000 3,210,992

Fortive Corp.2.35%, 6/15/2021 . . . . . . . . 3,428,000 3,420,390

Honeywell International, Inc.:1.85%, 11/1/2021 . . . . . . . . 8,977,000 8,915,3284.25%, 3/1/2021 . . . . . . . . . 1,365,000 1,411,519

Jabil, Inc.5.63%, 12/15/2020. . . . . . . . 1,317,000 1,366,928


PerkinElmer, Inc.5.00%, 11/15/2021. . . . . . . . $ 2,991,000 $ 3,133,701

Tech Data Corp.3.70%, 2/15/2022 . . . . . . . . 5,178,000 5,267,476

37,585,974


Republic Services, Inc.:5.25%, 11/15/2021. . . . . . . . 38,000 40,4965.50%, 9/15/2019 . . . . . . . . 2,453,000 2,466,908

Waste Management, Inc.:4.60%, 3/1/2021 . . . . . . . . . 1,463,000 1,510,5044.75%, 6/30/2020 . . . . . . . . 3,881,000 3,973,795

7,991,703

FOOD — 1.4%Campbell Soup Co.:

3.30%, 3/15/2021 . . . . . . . . 4,819,000 4,880,1054.25%, 4/15/2021 . . . . . . . . 882,000 908,054

Conagra Brands, Inc.3.80%, 10/22/2021. . . . . . . . 5,732,000 5,890,776

General Mills, Inc.:3.15%, 12/15/2021. . . . . . . . 110,000 111,8263.20%, 4/16/2021 . . . . . . . . 6,028,000 6,118,299

Hershey Co.3.10%, 5/15/2021 . . . . . . . . 3,457,000 3,513,142

Ingredion, Inc.4.63%, 11/1/2020 . . . . . . . . 3,166,000 3,251,387

JM Smucker Co.:3.00%, 3/15/2022 . . . . . . . . 2,998,000 3,035,5953.50%, 10/15/2021. . . . . . . . 2,852,000 2,918,680

Kellogg Co.:3.25%, 5/14/2021 . . . . . . . . 3,654,000 3,718,2014.00%, 12/15/2020. . . . . . . . 3,935,000 4,025,505

Kraft Heinz Foods Co.:2.80%, 7/2/2020 . . . . . . . . . 5,685,000 5,695,0633.38%, 6/15/2021 . . . . . . . . 2,637,000 2,679,8253.50%, 6/6/2022 . . . . . . . . . 9,000 9,235

Kroger Co.:2.60%, 2/1/2021 . . . . . . . . . 1,710,000 1,715,0272.95%, 11/1/2021 . . . . . . . . 828,000 837,4973.30%, 1/15/2021 . . . . . . . . 5,295,000 5,361,770

Mondelez International, Inc.3.00%, 5/7/2020 . . . . . . . . . 3,815,000 3,832,282

Sysco Corp.:2.50%, 7/15/2021 . . . . . . . . 3,838,000 3,853,3902.60%, 10/1/2020 . . . . . . . . 4,962,000 4,976,9362.60%, 6/12/2022 . . . . . . . . 9,000 9,086

Tyson Foods, Inc.:2.25%, 8/23/2021 . . . . . . . . 3,665,000 3,655,1054.50%, 6/15/2022 . . . . . . . . 1,223,000 1,291,023

72,287,809

FOREST PRODUCTS &PAPER — 0.0% (f)

International Paper Co.:




4.75%, 2/15/2022 . . . . . . . . $ 1,745,000 $ 1,841,9187.50%, 8/15/2021 . . . . . . . . 41,000 45,251

1,887,169

GAS — 0.1%CenterPoint Energy Resources

Corp.4.50%, 1/15/2021 . . . . . . . . 3,649,000 3,746,793

Dominion Energy GasHoldings LLC2.80%, 11/15/2020. . . . . . . . 2,770,000 2,785,014

Southern Co. Gas Capital Corp.3.50%, 9/15/2021 . . . . . . . . 970,000 990,331

7,522,138


Abbott Laboratories:2.55%, 3/15/2022 . . . . . . . . 1,599,000 1,616,0932.90%, 11/30/2021. . . . . . . . 17,876,000 18,165,949

Baxter International, Inc.1.70%, 8/15/2021 . . . . . . . . 100,000 98,682

Becton Dickinson and Co.:2.40%, 6/5/2020 . . . . . . . . . 4,289,000 4,285,6972.89%, 6/6/2022 . . . . . . . . . 4,036,000 4,090,2843.13%, 11/8/2021 . . . . . . . . 3,576,000 3,628,2813.25%, 11/12/2020. . . . . . . . 4,649,000 4,689,400

Covidien International FinanceSA3.20%, 6/15/2022 . . . . . . . . 600,000 616,764

Danaher Corp.2.40%, 9/15/2020 . . . . . . . . 3,630,000 3,632,795

Life Technologies Corp.:5.00%, 1/15/2021 . . . . . . . . 3,788,000 3,905,8076.00%, 3/1/2020 . . . . . . . . . 3,914,000 3,996,820

Medtronic, Inc.:3.13%, 3/15/2022 . . . . . . . . 3,952,000 4,052,8553.15%, 3/15/2022 . . . . . . . . 13,734,000 14,119,3764.13%, 3/15/2021 . . . . . . . . 195,000 200,421

Stryker Corp.2.63%, 3/15/2021 . . . . . . . . 2,887,000 2,899,472

Thermo Fisher Scientific, Inc.:3.15%, 1/15/2023 (a) . . . . . . 2,866,000 2,939,7143.30%, 2/15/2022 . . . . . . . . 50,000 51,2733.60%, 8/15/2021 . . . . . . . . 3,621,000 3,704,2834.50%, 3/1/2021 . . . . . . . . . 3,998,000 4,136,7314.70%, 5/1/2020 . . . . . . . . . 2,602,000 2,646,442

Zimmer Biomet Holdings, Inc.:2.70%, 4/1/2020 . . . . . . . . . 2,291,000 2,294,0473.15%, 4/1/2022 . . . . . . . . . 3,950,000 4,013,3193.38%, 11/30/2021. . . . . . . . 2,177,000 2,216,055

92,000,560


Aetna, Inc.4.13%, 6/1/2021 . . . . . . . . . 1,608,000 1,657,494


Anthem, Inc.:2.50%, 11/21/2020. . . . . . . . $ 3,990,000 $ 3,996,7833.13%, 5/15/2022 . . . . . . . . 2,994,000 3,049,9883.70%, 8/15/2021 . . . . . . . . 3,800,000 3,888,4644.35%, 8/15/2020 . . . . . . . . 3,891,000 3,974,890

Cigna Corp.4.38%, 12/15/2020. . . . . . . . 250,000 255,555

Cigna Holding Co.:4.00%, 2/15/2022 . . . . . . . . 2,947,000 3,045,3124.50%, 3/15/2021 . . . . . . . . 3,448,000 3,544,8545.13%, 6/15/2020 . . . . . . . . 2,045,000 2,095,164

Coventry Health Care, Inc.5.45%, 6/15/2021 . . . . . . . . 3,996,000 4,191,045

HCA, Inc.5.88%, 3/15/2022 . . . . . . . . 5,989,000 6,560,470

Humana, Inc.2.50%, 12/15/2020. . . . . . . . 3,732,000 3,731,925

Laboratory Corp. of AmericaHoldings:3.20%, 2/1/2022 . . . . . . . . . 4,148,000 4,215,4884.63%, 11/15/2020. . . . . . . . 2,070,000 2,119,411

Quest Diagnostics, Inc.:4.70%, 4/1/2021 (a) . . . . . . . 689,000 714,7624.75%, 1/30/2020 . . . . . . . . 908,000 919,196

UnitedHealth Group, Inc.:1.95%, 10/15/2020. . . . . . . . 3,745,000 3,730,0202.13%, 3/15/2021 . . . . . . . . 3,865,000 3,857,8112.70%, 7/15/2020 . . . . . . . . 6,209,000 6,235,4502.88%, 12/15/2021. . . . . . . . 3,042,000 3,088,9082.88%, 3/15/2022 . . . . . . . . 4,240,000 4,307,4163.15%, 6/15/2021 . . . . . . . . 4,601,000 4,681,9783.38%, 11/15/2021. . . . . . . . 3,706,000 3,793,1653.88%, 10/15/2020. . . . . . . . 3,337,000 3,390,7924.70%, 2/15/2021 . . . . . . . . 185,000 191,035

81,237,376

HOME BUILDERS — 0.1%DR Horton, Inc.:

2.55%, 12/1/2020 . . . . . . . . 2,738,000 2,736,2484.00%, 2/15/2020 . . . . . . . . 3,616,000 3,644,783

6,381,031


Whirlpool Corp.Series MTN, 4.85%,6/15/2021 . . . . . . . . . . . . . 2,409,000 2,516,080


Clorox Co.3.80%, 11/15/2021. . . . . . . . 164,000 169,350

Kimberly-Clark Corp.:1.85%, 3/1/2020 (a) . . . . . . . 247,000 246,2392.40%, 3/1/2022 . . . . . . . . . 3,597,000 3,624,913

4,040,502




HOUSEWARES — 0.1%Newell Brands, Inc.:

3.15%, 4/1/2021 . . . . . . . . . $ 27,000 $ 27,1074.70%, 8/15/2020 . . . . . . . . 1,236,000 1,262,475

Tupperware Brands Corp.4.75%, 6/1/2021 . . . . . . . . . 5,259,000 5,397,575

6,687,157

INSURANCE — 1.7%AEGON Funding Co. LLC

5.75%, 12/15/2020. . . . . . . . 1,701,000 1,780,828Alleghany Corp.

5.63%, 9/15/2020 . . . . . . . . 1,477,000 1,531,560Alterra Finance LLC

6.25%, 9/30/2020 . . . . . . . . 1,005,000 1,049,592American International Group,

Inc.:3.30%, 3/1/2021 . . . . . . . . . 6,902,000 6,994,9703.38%, 8/15/2020 . . . . . . . . 2,893,000 2,925,0266.40%, 12/15/2020. . . . . . . . 3,552,000 3,752,120

Aon Corp.5.00%, 9/30/2020 . . . . . . . . 2,326,000 2,402,293

Aon PLC2.80%, 3/15/2021 . . . . . . . . 1,237,000 1,244,657

Berkshire Hathaway FinanceCorp.:2.90%, 10/15/2020. . . . . . . . 3,801,000 3,838,5164.25%, 1/15/2021 . . . . . . . . 7,184,000 7,420,497

Berkshire Hathaway, Inc.:2.20%, 3/15/2021 . . . . . . . . 3,933,000 3,943,8163.40%, 1/31/2022 . . . . . . . . 3,961,000 4,096,7043.75%, 8/15/2021 . . . . . . . . 1,946,000 2,013,643

Chubb INA Holdings, Inc.2.30%, 11/3/2020 . . . . . . . . 4,798,000 4,800,399

CNA Financial Corp.5.75%, 8/15/2021 . . . . . . . . 2,658,000 2,838,983

Hartford Financial ServicesGroup, Inc.5.13%, 4/15/2022 . . . . . . . . 3,986,000 4,274,028

Lincoln National Corp.:4.20%, 3/15/2022 . . . . . . . . 680,000 711,2124.85%, 6/24/2021 . . . . . . . . 694,000 725,959

Manulife Financial Corp.4.90%, 9/17/2020 . . . . . . . . 481,000 494,906

Markel Corp.4.90%, 7/1/2022 . . . . . . . . . 3,690,000 3,944,573

Marsh & McLennan Cos., Inc.:2.75%, 1/30/2022 . . . . . . . . 4,264,000 4,306,7683.50%, 12/29/2020. . . . . . . . 3,621,000 3,681,3624.80%, 7/15/2021 . . . . . . . . 835,000 870,454

MetLife, Inc.3.05%, 12/15/2022. . . . . . . . 1,942,000 1,987,792

PartnerRe Finance B LLC5.50%, 6/1/2020 . . . . . . . . . 90,000 92,467

Progressive Corp.3.75%, 8/23/2021 . . . . . . . . 746,000 770,170

Prudential Financial, Inc.:


Series MTN, 4.50%,11/15/2020 . . . . . . . . . . . $ 476,000 $ 490,599

Series MTN, 4.50%,11/16/2021 . . . . . . . . . . . 2,126,000 2,233,406

Reinsurance Group of America,Inc.5.00%, 6/1/2021 . . . . . . . . . 3,568,000 3,733,591

Travelers Cos., Inc.3.90%, 11/1/2020 . . . . . . . . 3,741,000 3,825,285

Trinity Acquisition PLC3.50%, 9/15/2021 . . . . . . . . 1,378,000 1,400,585

Unum Group:3.00%, 5/15/2021 . . . . . . . . 1,547,000 1,559,2215.63%, 9/15/2020 . . . . . . . . 1,142,000 1,184,425

Willis Towers Watson PLC5.75%, 3/15/2021 . . . . . . . . 1,333,000 1,404,342

WR Berkley Corp.4.63%, 3/15/2022 . . . . . . . . 3,000,000 3,169,170

91,493,919

INTERNET — 0.7%Alibaba Group Holding, Ltd.

3.13%, 11/28/2021. . . . . . . . 6,137,000 6,228,135Alphabet, Inc.

3.63%, 5/19/2021 . . . . . . . . 1,551,000 1,597,158Amazon.com, Inc.:

1.90%, 8/21/2020 . . . . . . . . 8,412,000 8,392,6523.30%, 12/5/2021 (a) . . . . . . 2,491,000 2,564,260

eBay, Inc.:2.88%, 8/1/2021 . . . . . . . . . 2,881,000 2,905,6043.25%, 10/15/2020. . . . . . . . 1,917,000 1,933,5823.80%, 3/9/2022 . . . . . . . . . 6,810,000 7,037,590

Expedia Group, Inc.5.95%, 8/15/2020 . . . . . . . . 2,102,000 2,177,693

JD.com, Inc.3.13%, 4/29/2021 . . . . . . . . 5,838,000 5,846,465

38,683,139


Ares Capital Corp.3.63%, 1/19/2022 . . . . . . . . 3,663,000 3,700,765

FS KKR Capital Corp.4.25%, 1/15/2020 . . . . . . . . 3,464,000 3,476,263

7,177,028

IRON/STEEL — 0.3%ArcelorMittal:

5.13%, 6/1/2020 . . . . . . . . . 1,603,000 1,637,2885.25%, 8/5/2020 . . . . . . . . . 3,884,000 3,978,6145.50%, 3/1/2021 . . . . . . . . . 3,806,000 3,963,2646.25%, 2/25/2022 . . . . . . . . 4,963,000 5,375,227

Vale Overseas, Ltd.4.38%, 1/11/2022 . . . . . . . . 2,968,000 3,059,652

18,014,045




LEISURE TIME — 0.1%Carnival Corp.

3.95%, 10/15/2020. . . . . . . . $ 3,866,000 $ 3,942,238Royal Caribbean Cruises, Ltd.

2.65%, 11/28/2020. . . . . . . . 2,323,000 2,328,900

6,271,138

LODGING — 0.1%Marriott International, Inc.:

2.30%, 1/15/2022 . . . . . . . . 5,636,000 5,617,1762.88%, 3/1/2021 . . . . . . . . . 90,000 90,5883.38%, 10/15/2020. . . . . . . . 1,064,000 1,073,512Series N, 3.13%, 10/15/2021 . 705,000 713,432

7,494,708


ABB Finance USA, Inc.2.88%, 5/8/2022 . . . . . . . . . 7,061,000 7,171,575

Caterpillar Financial ServicesCorp.:1.70%, 8/9/2021 . . . . . . . . . 3,971,000 3,927,9941.93%, 10/1/2021 . . . . . . . . 205,000 203,424Series GMTN, 1.85%,

9/4/2020 . . . . . . . . . . . . 3,792,000 3,778,159Series I, 2.65%, 5/17/2021 . . . 5,601,000 5,652,697Series MTN, 2.90%,

3/15/2021 (a) . . . . . . . . . 3,367,000 3,405,417Series MTN, 2.95%,


12/7/2020. . . . . . . . . . . . 3,238,000 3,286,732Caterpillar, Inc.

3.90%, 5/27/2021 . . . . . . . . 3,321,000 3,426,874

39,336,960


CNH Industrial Capital LLC:3.38%, 7/15/2019 . . . . . . . . 1,719,000 1,719,4993.88%, 10/15/2021. . . . . . . . 500,000 511,6654.38%, 11/6/2020 . . . . . . . . 2,575,000 2,629,2294.88%, 4/1/2021 . . . . . . . . . 3,799,000 3,933,978

Deere & Co.2.60%, 6/8/2022 . . . . . . . . . 5,000,000 5,059,250

Dover Corp.4.30%, 3/1/2021 . . . . . . . . . 381,000 391,302

John Deere Capital Corp.:2.55%, 1/8/2021 . . . . . . . . . 3,976,000 3,998,504Series 0014, 2.45%,

9/11/2020. . . . . . . . . . . . 2,447,000 2,453,264Series DMTN, 2.35%,

1/8/2021 . . . . . . . . . . . . 4,072,000 4,083,320Series MTN, 2.30%, 6/7/2021. 4,094,000 4,105,218Series MTN, 2.38%,

7/14/2020. . . . . . . . . . . . 4,117,000 4,123,093


Series MTN, 2.65%, 1/6/2022. $ 2,000 $ 2,024Series MTN, 2.75%,

3/15/2022. . . . . . . . . . . . 943,000 960,332Series MTN, 2.80%, 3/4/2021. 112,000 113,080Series MTN, 2.88%,


9/10/2021. . . . . . . . . . . . 3,728,000 3,801,964Series MTN, 3.15%,

10/15/2021 . . . . . . . . . . . 32,000 32,646Series MTN, 3.20%,

1/10/2022. . . . . . . . . . . . 3,824,000 3,916,273Series MTN, 3.90%,

7/12/2021. . . . . . . . . . . . 1,236,000 1,277,295Roper Technologies, Inc.:

2.80%, 12/15/2021. . . . . . . . 2,399,000 2,417,7603.00%, 12/15/2020. . . . . . . . 3,817,000 3,842,498

Xylem, Inc.4.88%, 10/1/2021 . . . . . . . . 23,000 24,194

57,270,183

MEDIA — 1.9%21st Century Fox America, Inc.

4.50%, 2/15/2021 . . . . . . . . 520,000 537,867CBS Corp.:

3.38%, 3/1/2022 . . . . . . . . . 1,116,000 1,141,6234.30%, 2/15/2021 . . . . . . . . 2,812,000 2,880,191

Charter CommunicationsOperating LLC/CharterCommunications OperatingCapital:3.58%, 7/23/2020 . . . . . . . . 5,284,000 5,330,6054.46%, 7/23/2022 . . . . . . . . 1,937,000 2,033,753

Comcast Corp.:1.63%, 1/15/2022 . . . . . . . . 3,987,000 3,939,0363.30%, 10/1/2020 . . . . . . . . 6,671,000 6,762,3933.45%, 10/1/2021 . . . . . . . . 14,154,000 14,563,334

DiscoveryCommunications LLC:2.80%, 6/15/2020 . . . . . . . . 2,462,000 2,466,6293.30%, 5/15/2022 . . . . . . . . 2,497,000 2,545,8663.50%, 6/15/2022 . . . . . . . . 3,000 3,0674.38%, 6/15/2021 . . . . . . . . 3,840,000 3,973,901

Fox Corp.3.67%, 1/25/2022 (d) . . . . . . 3,942,000 4,073,071

NBCUniversal Media LLC4.38%, 4/1/2021 . . . . . . . . . 9,525,000 9,875,710

Time Warner Cable LLC:4.00%, 9/1/2021 . . . . . . . . . 100,000 102,5084.13%, 2/15/2021 . . . . . . . . 7,950,000 8,108,364

TWDC Enterprises 18 Corp.:2.30%, 2/12/2021 . . . . . . . . 4,952,000 4,968,936Series GMTN, 2.15%,

9/17/2020. . . . . . . . . . . . 2,728,000 2,729,091Series MTN, 2.45%, 3/4/2022

(a) . . . . . . . . . . . . . . . . 9,000 9,075




Series MTN, 2.55%,2/15/2022. . . . . . . . . . . . $ 245,000 $ 247,484

Series MTN, 3.75%, 6/1/2021. 5,802,000 5,979,889Viacom, Inc.:

3.88%, 12/15/2021. . . . . . . . 3,561,000 3,656,4354.50%, 3/1/2021 . . . . . . . . . 6,140,000 6,328,314

Walt Disney Co.:2.75%, 8/16/2021 (a) . . . . . . 229,000 232,3233.00%, 9/15/2022 (d) . . . . . . 2,081,000 2,128,3014.50%, 2/15/2021 (d) . . . . . . 3,020,000 3,133,6435.65%, 8/15/2020 (d) . . . . . . 2,225,000 2,309,061

100,060,470

MINING — 0.3%Barrick Gold Corp.

3.85%, 4/1/2022 . . . . . . . . . 490,000 507,831BHP Billiton Finance USA, Ltd.:

2.88%, 2/24/2022 . . . . . . . . 3,955,000 4,024,6083.25%, 11/21/2021. . . . . . . . 75,000 76,807

Kinross Gold Corp.5.13%, 9/1/2021 . . . . . . . . . 2,780,000 2,888,754

Newmont Goldcorp Corp.3.63%, 6/9/2021 (d) . . . . . . . 3,346,000 3,408,905

Newmont Mining Corp.3.50%, 3/15/2022 . . . . . . . . 3,700,000 3,784,841

Southern Copper Corp.5.38%, 4/16/2020 . . . . . . . . 2,049,000 2,092,746

16,784,492


3M Co.:Series MTN, 1.63%,

9/19/2021. . . . . . . . . . . . 3,912,000 3,871,237Series MTN, 2.00%, 8/7/2020. 3,000 2,996Series MTN, 2.75%, 3/1/2022. 4,004,000 4,067,624Series MTN, 3.00%,

9/14/2021. . . . . . . . . . . . 3,967,000 4,040,469General Electric Co.:

5.30%, 2/11/2021 . . . . . . . . 5,708,000 5,922,678Series GMTN, 4.63%,

1/7/2021 . . . . . . . . . . . . 4,216,000 4,336,198Series MTN, 4.38%,

9/16/2020. . . . . . . . . . . . 4,325,300 4,409,514Series MTN, 4.65%,

10/17/2021 . . . . . . . . . . . 5,640,000 5,878,064Illinois Tool Works, Inc.

3.38%, 9/15/2021 . . . . . . . . 200,000 204,788Ingersoll-Rand Global Holding

Co., Ltd.2.90%, 2/21/2021 . . . . . . . . 3,702,000 3,729,987

Textron, Inc.7.25%, 10/1/2019 (a) . . . . . . 1,328,000 1,342,130

37,805,685

OIL & GAS — 3.7%Anadarko Petroleum Corp.

4.85%, 3/15/2021 . . . . . . . . 6,113,001 6,327,934


Apache Corp.3.25%, 4/15/2022 (a) . . . . . . $ 270,000 $ 274,317

BP Capital Markets America,Inc.:2.11%, 9/16/2021 . . . . . . . . 2,519,000 2,513,8863.25%, 5/6/2022 . . . . . . . . . 9,619,000 9,901,0294.50%, 10/1/2020 . . . . . . . . 7,346,000 7,544,3424.74%, 3/11/2021 . . . . . . . . 3,901,000 4,065,193

BP Capital Markets PLC:3.06%, 3/17/2022 . . . . . . . . 5,558,000 5,687,7793.56%, 11/1/2021 . . . . . . . . 3,746,000 3,861,6774.50%, 10/1/2020 . . . . . . . . 2,133,000 2,193,044

Canadian Natural Resources,Ltd.3.45%, 11/15/2021. . . . . . . . 1,928,000 1,968,469

Cenovus Energy, Inc.5.70%, 10/15/2019. . . . . . . . 1,458,846 1,469,306

Chevron Corp.:2.10%, 5/16/2021 . . . . . . . . 11,126,000 11,128,3372.41%, 3/3/2022 . . . . . . . . . 2,376,000 2,400,3542.42%, 11/17/2020. . . . . . . . 4,044,000 4,062,7642.50%, 3/3/2022 . . . . . . . . . 4,169,000 4,214,234

Devon Energy Corp.:3.25%, 5/15/2022 . . . . . . . . 1,490,000 1,536,5484.00%, 7/15/2021 . . . . . . . . 4,943,000 5,113,731

Encana Corp.3.90%, 11/15/2021. . . . . . . . 100,000 102,466

EOG Resources, Inc.:4.10%, 2/1/2021 . . . . . . . . . 3,018,000 3,105,7334.40%, 6/1/2020 . . . . . . . . . 2,248,000 2,289,521

EQT Corp.:2.50%, 10/1/2020 . . . . . . . . 3,728,000 3,715,5114.88%, 11/15/2021. . . . . . . . 3,960,000 4,143,982

Exxon Mobil Corp.:2.22%, 3/1/2021 . . . . . . . . . 13,678,000 13,715,2042.40%, 3/6/2022 . . . . . . . . . 1,538,000 1,552,103

Husky Energy, Inc.3.95%, 4/15/2022 . . . . . . . . 2,953,000 3,058,629

Marathon Oil Corp.2.70%, 6/1/2020 . . . . . . . . . 3,714,000 3,716,228

Marathon Petroleum Corp.:3.40%, 12/15/2020. . . . . . . . 3,673,000 3,718,8765.13%, 3/1/2021 . . . . . . . . . 6,069,000 6,332,273

Newfield Exploration Co.5.75%, 1/30/2022 . . . . . . . . 8,107,000 8,688,596

Noble Energy, Inc.4.15%, 12/15/2021. . . . . . . . 6,883,000 7,101,673

Occidental Petroleum Corp.:2.60%, 4/15/2022 . . . . . . . . 5,533,000 5,548,3823.13%, 2/15/2022 . . . . . . . . 90,000 91,274Series 1, 4.10%, 2/1/2021 (a) . 6,479,000 6,626,721

Phillips 664.30%, 4/1/2022 . . . . . . . . . 9,448,000 9,938,635

Pioneer Natural Resources Co.:3.45%, 1/15/2021 . . . . . . . . 3,791,000 3,840,5117.50%, 1/15/2020 . . . . . . . . 3,179,000 3,261,145




Shell International Finance B.V.:1.38%, 9/12/2019 . . . . . . . . $ 500 $ 4991.75%, 9/12/2021 . . . . . . . . 4,333,000 4,297,8591.88%, 5/10/2021 . . . . . . . . 7,168,000 7,135,6722.25%, 11/10/2020. . . . . . . . 4,230,000 4,237,318

Total Capital International SA:2.75%, 6/19/2021 . . . . . . . . 3,689,000 3,732,6042.88%, 2/17/2022 . . . . . . . . 6,538,000 6,652,284

Total Capital SA:4.13%, 1/28/2021 . . . . . . . . 2,219,000 2,287,4124.25%, 12/15/2021. . . . . . . . 3,486,000 3,656,291

196,810,346


Baker Hughes a GE Co. LLC3.20%, 8/15/2021 . . . . . . . . 2,672,000 2,708,312

Halliburton Co.3.25%, 11/15/2021. . . . . . . . 1,914,000 1,952,357

4,660,669


Bemis Co., Inc.:4.50%, 10/15/2021 (d) . . . . . 38,000 39,3426.80%, 8/1/2019 (d) . . . . . . . 2,414,000 2,421,145

Packaging Corp. of America:2.45%, 12/15/2020. . . . . . . . 3,681,000 3,678,1663.90%, 6/15/2022 . . . . . . . . 3,755,000 3,893,785

10,032,438


AbbVie, Inc.:2.30%, 5/14/2021 . . . . . . . . 6,865,000 6,846,1212.50%, 5/14/2020 . . . . . . . . 7,530,000 7,528,8703.38%, 11/14/2021. . . . . . . . 4,381,000 4,469,365

Allergan Funding SCS3.45%, 3/15/2022 . . . . . . . . 16,609,000 16,933,872

Allergan, Inc.3.38%, 9/15/2020 . . . . . . . . 3,347,000 3,376,788

AmerisourceBergen Corp.3.50%, 11/15/2021 (a) . . . . . 3,206,000 3,268,838

AstraZeneca PLC:2.38%, 11/16/2020. . . . . . . . 6,697,000 6,702,6252.38%, 6/12/2022 . . . . . . . . 6,086,000 6,119,169

Bristol-Myers Squibb Co.:2.55%, 5/14/2021 (d) . . . . . . 7,186,000 7,238,3142.60%, 5/16/2022 (a) (d) . . . . 5,699,000 5,768,186

Cardinal Health, Inc.:2.62%, 6/15/2022 . . . . . . . . 2,508,000 2,522,6474.63%, 12/15/2020. . . . . . . . 523,000 537,916

Cigna Corp.:3.20%, 9/17/2020 (d) . . . . . . 6,300,000 6,357,7083.40%, 9/17/2021 (d) . . . . . . 4,193,000 4,274,218

CVS Health Corp.:2.13%, 6/1/2021 . . . . . . . . . 5,442,000 5,405,702


2.80%, 7/20/2020 . . . . . . . . $ 10,884,000 $ 10,912,9513.35%, 3/9/2021 . . . . . . . . . 14,389,000 14,589,7273.50%, 7/20/2022 . . . . . . . . 3,784,000 3,887,9464.13%, 5/15/2021 . . . . . . . . 2,483,000 2,550,463

Eli Lilly & Co.2.35%, 5/15/2022 . . . . . . . . 4,175,000 4,206,396

Express Scripts Holding Co.:2.60%, 11/30/2020. . . . . . . . 3,991,000 3,999,0623.30%, 2/25/2021 . . . . . . . . 3,639,000 3,685,5433.90%, 2/15/2022 . . . . . . . . 4,941,000 5,104,9924.75%, 11/15/2021. . . . . . . . 4,883,000 5,129,738

GlaxoSmithKline Capital PLC:2.88%, 6/1/2022 . . . . . . . . . 9,255,000 9,418,1663.13%, 5/14/2021 . . . . . . . . 4,293,000 4,365,037

Johnson & Johnson:1.65%, 3/1/2021 . . . . . . . . . 6,474,000 6,437,2281.95%, 11/10/2020 (a) . . . . . 3,047,000 3,047,0912.25%, 3/3/2022 . . . . . . . . . 2,887,000 2,906,1992.45%, 12/5/2021 . . . . . . . . 558,000 563,7252.95%, 9/1/2020 . . . . . . . . . 3,903,000 3,945,9333.55%, 5/15/2021 . . . . . . . . 2,000 2,058

McKesson Corp.3.65%, 11/30/2020. . . . . . . . 4,085,000 4,150,115

Mead Johnson Nutrition Co.3.00%, 11/15/2020. . . . . . . . 3,498,000 3,529,062

Medco Health Solutions, Inc.4.13%, 9/15/2020 . . . . . . . . 3,025,000 3,083,443

Merck & Co., Inc.:2.35%, 2/10/2022 . . . . . . . . 7,715,000 7,779,2663.88%, 1/15/2021 . . . . . . . . 1,881,000 1,924,413

Mylan NV:3.15%, 6/15/2021 . . . . . . . . 11,886,000 11,868,7653.75%, 12/15/2020. . . . . . . . 165,000 166,402

Perrigo Finance Unlimited Co.3.50%, 12/15/2021. . . . . . . . 953,000 945,738

Pfizer, Inc.:1.95%, 6/3/2021 . . . . . . . . . 3,616,000 3,606,9602.20%, 12/15/2021. . . . . . . . 3,779,000 3,790,3752.80%, 3/11/2022 (a) . . . . . . 6,999,000 7,137,1603.00%, 9/15/2021 . . . . . . . . 4,913,000 5,012,5375.20%, 8/12/2020 . . . . . . . . 300,000 309,453

Sanofi4.00%, 3/29/2021 . . . . . . . . 10,169,000 10,478,036

Shire Acquisitions InvestmentsIreland DAC:1.90%, 9/23/2019 . . . . . . . . 3,375,000 3,369,8702.40%, 9/23/2021 . . . . . . . . 14,097,000 14,075,432

Takeda Pharmaceutical Co., Ltd.:3.80%, 11/26/2020 (d) . . . . . 3,882,000 3,954,0504.00%, 11/26/2021 (d) . . . . . 9,489,000 9,804,035

Teva Pharmaceutical FinanceNetherlands III B.V.1.70%, 7/19/2019 . . . . . . . . 1,884,000 1,879,968

Zoetis, Inc.:3.25%, 8/20/2021 . . . . . . . . 4,131,000 4,202,301




3.45%, 11/13/2020. . . . . . . . $ 1,565,000 $ 1,585,940

274,755,915

PIPELINES — 2.7%Buckeye Partners L.P.

4.88%, 2/1/2021 . . . . . . . . . 3,166,000 3,215,548Enbridge Energy Partners L.P.:

4.20%, 9/15/2021 . . . . . . . . 3,094,000 3,192,3894.38%, 10/15/2020. . . . . . . . 2,327,000 2,378,6365.20%, 3/15/2020 . . . . . . . . 3,758,000 3,827,824

Energy Transfer Operating L.P.:4.15%, 10/1/2020 . . . . . . . . 5,101,000 5,188,3805.20%, 2/1/2022 (a) . . . . . . . 9,539,000 10,073,3757.50%, 10/15/2020. . . . . . . . 3,562,000 3,778,000

Energy Transfer Partners L.P.4.65%, 6/1/2021 . . . . . . . . . 3,914,000 4,059,914

Energy Transfer PartnersL.P./Regency Energy FinanceCorp.:5.75%, 9/1/2020 . . . . . . . . . 549,000 564,5045.88%, 3/1/2022 . . . . . . . . . 2,190,000 2,349,279

Enterprise ProductsOperating LLC:2.80%, 2/15/2021 . . . . . . . . 7,610,000 7,654,2902.85%, 4/15/2021 . . . . . . . . 1,092,000 1,100,3103.50%, 2/1/2022 . . . . . . . . . 4,792,000 4,920,9054.05%, 2/15/2022 . . . . . . . . 2,040,000 2,124,2525.20%, 9/1/2020 . . . . . . . . . 4,332,000 4,470,191

Kinder Morgan Energy PartnersL.P.:3.50%, 3/1/2021 . . . . . . . . . 3,463,000 3,512,3824.15%, 3/1/2022 . . . . . . . . . 3,282,000 3,414,8885.00%, 10/1/2021 . . . . . . . . 1,802,000 1,888,0275.30%, 9/15/2020 . . . . . . . . 3,782,000 3,907,0715.80%, 3/1/2021 . . . . . . . . . 4,687,000 4,933,021

Kinder Morgan, Inc.:3.05%, 12/1/2019 . . . . . . . . 2,864,000 2,868,4686.50%, 9/15/2020 . . . . . . . . 1,090,000 1,140,729

Magellan Midstream PartnersL.P.4.25%, 2/1/2021 . . . . . . . . . 783,000 804,282

ONEOK, Inc.4.25%, 2/1/2022 . . . . . . . . . 3,078,000 3,184,283

Plains All American PipelineL.P./PAA Finance Corp.:2.60%, 12/15/2019. . . . . . . . 3,442,000 3,436,8033.65%, 6/1/2022 . . . . . . . . . 2,177,000 2,228,573

Sabine Pass Liquefaction LLC:5.63%, 2/1/2021 . . . . . . . . . 7,165,000 7,441,9996.25%, 3/15/2022 . . . . . . . . 9,337,000 10,131,205

Southern Natural Gas Co.LLC/Southern Natural IssuingCorp.4.40%, 6/15/2021 . . . . . . . . 1,284,000 1,324,035

Sunoco Logistics PartnersOperations L.P.:4.40%, 4/1/2021 . . . . . . . . . 4,282,000 4,407,120


4.65%, 2/15/2022 . . . . . . . . $ 3,820,000 $ 4,002,405TC PipeLines L.P.

4.65%, 6/15/2021 . . . . . . . . 303,000 312,817TransCanada PipeLines, Ltd.:

3.80%, 10/1/2020 . . . . . . . . 6,614,000 6,724,8519.88%, 1/1/2021 . . . . . . . . . 1,398,000 1,546,034

Western Gas Partners L.P.5.38%, 6/1/2021 . . . . . . . . . 2,776,000 2,885,763

Williams Cos., Inc.:3.60%, 3/15/2022 . . . . . . . . 5,395,000 5,535,7554.00%, 11/15/2021. . . . . . . . 2,528,000 2,608,4914.13%, 11/15/2020. . . . . . . . 1,304,000 1,326,8987.88%, 9/1/2021 . . . . . . . . . 1,920,000 2,129,530

140,593,227


Alexandria Real Estate Equities,Inc.4.60%, 4/1/2022 . . . . . . . . . 2,446,000 2,580,628

American Campus CommunitiesOperating Partnership L.P.3.35%, 10/1/2020 . . . . . . . . 2,844,000 2,873,578

American Tower Corp.:2.25%, 1/15/2022 . . . . . . . . 35,000 34,8342.80%, 6/1/2020 . . . . . . . . . 5,236,000 5,247,1003.00%, 6/15/2023 . . . . . . . . 2,840,000 2,880,0163.30%, 2/15/2021 . . . . . . . . 3,719,000 3,767,4213.45%, 9/15/2021 . . . . . . . . 3,258,000 3,326,5484.70%, 3/15/2022 . . . . . . . . 3,937,000 4,154,0475.90%, 11/1/2021 . . . . . . . . 198,000 212,973

AvalonBay Communities, Inc.:Series GMTN, 3.63%,

10/1/2020. . . . . . . . . . . . 3,286,000 3,330,755Series GMTN, 3.95%,

1/15/2021. . . . . . . . . . . . 563,000 574,857Boston Properties L.P.:

4.13%, 5/15/2021 . . . . . . . . 2,530,000 2,606,8365.63%, 11/15/2020. . . . . . . . 2,198,000 2,279,480

Corporate Office Properties L.P.3.70%, 6/15/2021 . . . . . . . . 1,164,000 1,176,117

Crown Castle InternationalCorp.:2.25%, 9/1/2021 . . . . . . . . . 3,812,000 3,795,9523.40%, 2/15/2021 . . . . . . . . 3,886,000 3,938,5394.88%, 4/15/2022 . . . . . . . . 3,732,000 3,962,526

Duke Realty L.P.4.38%, 6/15/2022 . . . . . . . . 2,900,000 3,049,582

ERP Operating L.P.:4.63%, 12/15/2021. . . . . . . . 2,981,000 3,134,4624.75%, 7/15/2020 . . . . . . . . 4,689,000 4,774,387

GLP Capital L.P./GLP FinancingII, Inc.:4.38%, 4/15/2021 . . . . . . . . 1,842,000 1,871,9514.88%, 11/1/2020 . . . . . . . . 3,757,000 3,830,111




Healthcare Trust of AmericaHoldings L.P.3.38%, 7/15/2021 . . . . . . . . $ 1,982,000 $ 2,004,952

Highwoods Realty L.P.3.20%, 6/15/2021 . . . . . . . . 190,000 191,416

Hospitality Properties Trust4.25%, 2/15/2021 . . . . . . . . 3,821,000 3,861,082

Host Hotels & Resorts L.P.:5.25%, 3/15/2022 . . . . . . . . 289,000 305,2336.00%, 10/1/2021 . . . . . . . . 23,000 24,379

Kimco Realty Corp.3.20%, 5/1/2021 . . . . . . . . . 748,000 756,976

Office Properties Income Trust4.15%, 2/1/2022 . . . . . . . . . 785,000 795,637

Rayonier, Inc.3.75%, 4/1/2022 . . . . . . . . . 100,000 102,191

Simon Property Group L.P.:2.35%, 1/30/2022 . . . . . . . . 3,979,000 3,985,1672.50%, 9/1/2020 . . . . . . . . . 4,073,000 4,083,4272.50%, 7/15/2021 . . . . . . . . 2,045,000 2,054,1412.63%, 6/15/2022 . . . . . . . . 1,220,000 1,230,5774.13%, 12/1/2021 . . . . . . . . 3,436,000 3,573,0964.38%, 3/1/2021 . . . . . . . . . 3,829,000 3,948,312

UDR, Inc.:3.70%, 10/1/2020 . . . . . . . . 100,000 101,303Series 0001, 4.63%,

1/10/2022. . . . . . . . . . . . 1,999,000 2,090,154Ventas Realty L.P./Ventas Capital

Corp.4.25%, 3/1/2022 . . . . . . . . . 3,545,000 3,698,888

VEREIT Operating PartnershipL.P.4.13%, 6/1/2021 . . . . . . . . . 403,000 413,667

Welltower, Inc.:3.75%, 3/15/2023 . . . . . . . . 3,376,000 3,514,0114.95%, 1/15/2021 . . . . . . . . 285,000 293,903

Weyerhaeuser Co.4.70%, 3/15/2021 . . . . . . . . 2,230,000 2,299,041

102,730,253

RETAIL — 2.8%Advance Auto Parts, Inc.

4.50%, 1/15/2022 . . . . . . . . 3,257,000 3,398,940AutoNation, Inc.:

3.35%, 1/15/2021 . . . . . . . . 1,834,000 1,849,9745.50%, 2/1/2020 . . . . . . . . . 2,609,000 2,649,387

AutoZone, Inc.:3.70%, 4/15/2022 . . . . . . . . 3,498,000 3,616,8274.00%, 11/15/2020. . . . . . . . 247,000 251,278

Best Buy Co., Inc.5.50%, 3/15/2021 (a) . . . . . . 2,989,000 3,114,717

Costco Wholesale Corp.:2.15%, 5/18/2021 . . . . . . . . 7,189,000 7,203,5942.25%, 2/15/2022 . . . . . . . . 29,000 29,1172.30%, 5/18/2022 . . . . . . . . 7,100,000 7,142,529

Family Dollar Stores, Inc.5.00%, 2/1/2021 . . . . . . . . . 1,021,000 1,055,081


Home Depot, Inc.:2.00%, 4/1/2021 . . . . . . . . . $ 8,756,000 $ 8,751,6222.63%, 6/1/2022 . . . . . . . . . 5,423,000 5,515,4623.25%, 3/1/2022 . . . . . . . . . 5,712,000 5,895,2983.95%, 9/15/2020 . . . . . . . . 935,000 951,8774.40%, 4/1/2021 . . . . . . . . . 2,030,000 2,099,528

Lowe’s Cos., Inc.:3.12%, 4/15/2022 . . . . . . . . 4,461,000 4,544,8223.75%, 4/15/2021 . . . . . . . . 4,287,000 4,378,8703.80%, 11/15/2021. . . . . . . . 770,000 793,200

Macy’s Retail Holdings, Inc.:3.45%, 1/15/2021 (a) . . . . . . 3,869,000 3,899,7593.88%, 1/15/2022 . . . . . . . . 2,955,000 3,001,216

McDonald’s Corp.:Series MTN, 2.20%,

5/26/2020. . . . . . . . . . . . 4,144,000 4,139,524Series MTN, 2.63%,

1/15/2022. . . . . . . . . . . . 4,724,000 4,781,822Series MTN, 2.75%,

12/9/2020. . . . . . . . . . . . 3,876,000 3,899,682Series MTN, 3.50%,

7/15/2020. . . . . . . . . . . . 1,098,000 1,110,287Series MTN, 3.63%,

5/20/2021. . . . . . . . . . . . 2,242,000 2,299,216Nordstrom, Inc.

4.00%, 10/15/2021. . . . . . . . 3,959,000 4,068,150O’Reilly Automotive, Inc.:

4.63%, 9/15/2021 . . . . . . . . 3,413,000 3,560,1344.88%, 1/14/2021 . . . . . . . . 1,734,000 1,789,263

Starbucks Corp.:2.10%, 2/4/2021 . . . . . . . . . 6,708,000 6,684,7232.20%, 11/22/2020 (a) . . . . . 3,810,000 3,804,628

Target Corp.:2.90%, 1/15/2022 (a) . . . . . . 6,829,000 6,979,3753.88%, 7/15/2020 . . . . . . . . 3,943,000 4,012,791

TJX Cos., Inc.2.75%, 6/15/2021 . . . . . . . . 2,811,000 2,838,379

Walgreens Boots Alliance, Inc.3.30%, 11/18/2021. . . . . . . . 4,263,000 4,346,342

Walmart, Inc.:1.90%, 12/15/2020. . . . . . . . 6,842,000 6,829,7533.13%, 6/23/2021 . . . . . . . . 11,093,000 11,333,8293.25%, 10/25/2020. . . . . . . . 4,466,000 4,536,4733.63%, 7/8/2020 . . . . . . . . . 140,000 142,225

147,299,694

SEMICONDUCTORS — 1.7%Analog Devices, Inc.:

2.50%, 12/5/2021 . . . . . . . . 503,000 505,0822.95%, 1/12/2021 . . . . . . . . 7,078,000 7,140,003

Applied Materials, Inc.:2.63%, 10/1/2020 . . . . . . . . 3,887,000 3,906,1634.30%, 6/15/2021 . . . . . . . . 3,307,000 3,444,307

Broadcom Corp./BroadcomCayman Finance, Ltd.:2.20%, 1/15/2021 . . . . . . . . 4,092,000 4,063,315




3.00%, 1/15/2022 . . . . . . . . $ 15,673,000 $ 15,719,392Broadcom, Inc.:

3.13%, 4/15/2021 (d) . . . . . . 7,158,000 7,202,9523.13%, 10/15/2022 (d) . . . . . 1,943,000 1,953,842

Intel Corp.:1.70%, 5/19/2021 . . . . . . . . 2,919,000 2,898,0122.35%, 5/11/2022 . . . . . . . . 4,067,000 4,096,8522.45%, 7/29/2020 . . . . . . . . 8,259,000 8,278,2443.30%, 10/1/2021 . . . . . . . . 7,877,000 8,096,375

KLA-Tencor Corp.4.13%, 11/1/2021 . . . . . . . . 3,958,000 4,097,440

Lam Research Corp.2.80%, 6/15/2021 . . . . . . . . 4,852,000 4,889,506

Microchip Technology, Inc.3.92%, 6/1/2021 . . . . . . . . . 1,025,000 1,043,952

NVIDIA Corp.2.20%, 9/16/2021 . . . . . . . . 4,745,000 4,728,867

QUALCOMM, Inc.:2.25%, 5/20/2020 . . . . . . . . 7,475,000 7,466,2543.00%, 5/20/2022 . . . . . . . . 238,000 242,417

Texas Instruments, Inc.2.75%, 3/12/2021 . . . . . . . . 903,000 912,238

90,685,213

SOFTWARE — 2.3%Activision Blizzard, Inc.

2.30%, 9/15/2021 . . . . . . . . 3,880,000 3,873,482Broadridge Financial Solutions,

Inc.3.95%, 9/1/2020 . . . . . . . . . 3,082,000 3,134,178

CA, Inc.3.60%, 8/1/2020 . . . . . . . . . 2,747,000 2,767,685

Electronic Arts, Inc.3.70%, 3/1/2021 . . . . . . . . . 3,925,000 3,998,280

Fidelity National InformationServices, Inc.:2.25%, 8/15/2021 (a) . . . . . . 3,756,000 3,745,8963.63%, 10/15/2020. . . . . . . . 3,853,000 3,909,524

Fiserv, Inc.:2.70%, 6/1/2020 . . . . . . . . . 3,323,000 3,331,1084.75%, 6/15/2021 . . . . . . . . 469,000 489,800

Microsoft Corp.:1.55%, 8/8/2021 . . . . . . . . . 11,032,000 10,938,1182.00%, 11/3/2020 . . . . . . . . 11,269,000 11,267,1972.38%, 2/12/2022 . . . . . . . . 13,395,000 13,534,9782.40%, 2/6/2022 . . . . . . . . . 3,429,000 3,465,5883.00%, 10/1/2020 . . . . . . . . 4,211,000 4,262,3744.00%, 2/8/2021 . . . . . . . . . 1,099,000 1,134,058

Oracle Corp.:1.90%, 9/15/2021 . . . . . . . . 23,099,000 22,977,4992.50%, 5/15/2022 . . . . . . . . 15,142,000 15,294,4802.80%, 7/8/2021 . . . . . . . . . 5,010,000 5,077,3343.88%, 7/15/2020 . . . . . . . . 3,632,000 3,694,216

VMware, Inc.2.30%, 8/21/2020 . . . . . . . . 6,346,500 6,329,301

123,225,096



AT&T, Inc.:2.80%, 2/17/2021 . . . . . . . . $ 6,963,000 $ 7,006,5883.00%, 2/15/2022 . . . . . . . . 250,000 253,9903.00%, 6/30/2022 . . . . . . . . 150,000 152,6113.20%, 3/1/2022 . . . . . . . . . 9,551,000 9,750,4253.80%, 3/15/2022 . . . . . . . . 3,984,000 4,129,6953.88%, 8/15/2021 . . . . . . . . 5,543,000 5,714,3904.00%, 1/15/2022 . . . . . . . . 1,788,000 1,854,6214.45%, 5/15/2021 . . . . . . . . 3,963,000 4,111,4144.60%, 2/15/2021 . . . . . . . . 10,417,000 10,730,968

Cisco Systems, Inc.:1.85%, 9/20/2021 . . . . . . . . 10,234,000 10,173,1082.20%, 2/28/2021 . . . . . . . . 10,542,000 10,553,1742.90%, 3/4/2021 . . . . . . . . . 3,960,000 4,008,748

Corning, Inc.:2.90%, 5/15/2022 . . . . . . . . 3,652,000 3,708,5694.25%, 8/15/2020 . . . . . . . . 794,000 810,229

Juniper Networks, Inc.3.30%, 6/15/2020 . . . . . . . . 3,427,000 3,446,740

Motorola Solutions, Inc.3.75%, 5/15/2022 . . . . . . . . 44,000 45,212

Orange SA4.13%, 9/14/2021 . . . . . . . . 7,458,000 7,754,679

Telefonica Emisiones SAU5.46%, 2/16/2021 . . . . . . . . 9,496,000 9,947,630

Verizon Communications, Inc.:2.95%, 3/15/2022 . . . . . . . . 2,010,000 2,051,1253.13%, 3/16/2022 . . . . . . . . 9,143,000 9,366,7293.45%, 3/15/2021 . . . . . . . . 1,262,000 1,287,3794.60%, 4/1/2021 . . . . . . . . . 6,616,000 6,889,572

Vodafone Group PLC4.38%, 3/16/2021 . . . . . . . . 4,000 4,155

113,751,751

TOYS/GAMES/HOBBIES —0.1%

Hasbro, Inc.3.15%, 5/15/2021 . . . . . . . . 2,741,000 2,774,276

TRANSPORTATION — 0.9%Burlington Northern Santa

Fe LLC3.45%, 9/15/2021 . . . . . . . . 3,257,000 3,335,461

Canadian National Railway Co.2.85%, 12/15/2021. . . . . . . . 75,000 75,917

CSX Corp.:3.70%, 10/30/2020. . . . . . . . 2,602,000 2,642,2014.25%, 6/1/2021 . . . . . . . . . 1,217,000 1,255,530

FedEx Corp.3.40%, 1/14/2022 . . . . . . . . 2,421,000 2,482,469

Norfolk Southern Railway Co.9.75%, 6/15/2020 . . . . . . . . 2,798,000 2,992,041

Ryder System, Inc.:Series MTN, 2.88%, 9/1/2020. 805,000 809,178Series MTN, 2.88%, 6/1/2022. 1,531,000 1,549,311




Series MTN, 3.45%,11/15/2021 . . . . . . . . . . . $ 4,000 $ 4,088

Series MTN, 3.50%, 6/1/2021. 3,593,000 3,664,716Union Pacific Corp.:

2.95%, 3/1/2022 . . . . . . . . . 2,055,000 2,092,9763.20%, 6/8/2021 . . . . . . . . . 8,103,000 8,253,7974.00%, 2/1/2021 . . . . . . . . . 1,282,000 1,312,973

United Parcel Service, Inc.:2.05%, 4/1/2021 . . . . . . . . . 3,592,000 3,585,3192.35%, 5/16/2022 . . . . . . . . 3,024,000 3,041,8113.13%, 1/15/2021 . . . . . . . . 7,851,000 7,966,253

45,064,041


GATX Corp.:2.50%, 7/30/2019 . . . . . . . . 50,000 49,9872.60%, 3/30/2020 . . . . . . . . 3,271,000 3,268,285

3,318,272

TOTAL CORPORATEBONDS & NOTES(Cost $5,153,388,234) . . . . . 5,207,185,016

Shares

SHORT-TERM INVESTMENTS — 2.1%State Street Institutional

U.S. Government MoneyMarket Fund, Class G Shares2.35% (g) (h) . . . . . . . . . . . 83,320,381 83,320,381

State Street Navigator SecuritiesLending Portfolio III (i) (j) . . . 27,959,848 27,959,848

TOTAL SHORT-TERM INVESTMENTS(Cost $111,280,229) . . . . . . . . . . . . . . . . . . . 111,280,229


LIABILITIES IN EXCESS OF OTHERASSETS — (1.0)% . . . . . . . . . . . . . . . . . . (54,549,280)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 5,263,915,965

(a) All or a portion of the shares of the security are on loan atJune 30, 2019.

(b) When-issued security.(c) Variable Rate Security - Interest rate shown is rate in effect at

June 30, 2019. For securities based on a published reference rateand spread, the reference rate and spread are indicated in thedescription above.

(d) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 1.7% ofnet assets as of June 30, 2019, are considered liquid and may beresold in transactions exempt from registration, normally toqualified institutional buyers.

(e) Step-up bond - Coupon rate increases in increments to maturity.Rate shown as of June 30, 2019. Maturity date shown is the finalmaturity.

(f) Amount is less than 0.05% of net assets.(g) The Fund invested in certain money market funds managed by


(h) The rate shown is the annualized seven-day yield at June 30,2019.

(i) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(j) Investment of cash collateral for securities loaned.

BKNT = Bank NotesGMTN = Global Medium Term NoteLIBOR = London Interbank Offered RateMTN = Medium Term Note



Quoted Prices









Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund,Class G Shares . . . . . . . . . . . . . . . . . . . . . . . . 31,104,153 $31,104,153 $ 929,679,858 $ 877,463,630 $— $— 83,320,381 $ 83,320,381 $329,245

State Street Navigator Securities Lending Government MoneyMarket Portfolio . . . . . . . . . . . . . . . . . . . . . . . 18,374,285 18,374,285 160,004,939 178,379,224 — — — — 55,210

State Street Navigator Securities Lending Portfolio III. . . . . . — — 84,241,621 56,281,773 — — 27,959,848 27,959,848 13,463

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $49,478,438 $1,173,926,418 $1,112,124,627 $— $— $111,280,229 $397,918





Treasury Bonds:7.88%, 2/15/2021 . . . . . . . . $ 1,786,100 $ 1,957,3148.00%, 11/15/2021. . . . . . . . 4,014,300 4,589,1608.13%, 5/15/2021 . . . . . . . . 1,014,200 1,130,9128.13%, 8/15/2021 . . . . . . . . 3,378,500 3,820,3448.75%, 8/15/2020 . . . . . . . . 3,174,200 3,413,257

Treasury Notes:1.13%, 2/28/2021 . . . . . . . . 13,802,600 13,647,8601.13%, 6/30/2021 . . . . . . . . 14,402,500 14,227,5321.13%, 7/31/2021 . . . . . . . . 16,401,700 16,191,5531.13%, 8/31/2021 . . . . . . . . 12,390,200 12,227,5791.13%, 9/30/2021 . . . . . . . . 14,669,600 14,475,9161.25%, 3/31/2021 (a) . . . . . . 13,510,100 13,385,0261.25%, 10/31/2021. . . . . . . . 13,557,600 13,407,1951.38%, 8/31/2020 . . . . . . . . 15,225,700 15,132,3241.38%, 9/15/2020 . . . . . . . . 9,267,100 9,211,7151.38%, 9/30/2020 . . . . . . . . 13,712,100 13,625,8641.38%, 10/31/2020. . . . . . . . 13,029,200 12,945,7321.38%, 1/31/2021 . . . . . . . . 15,683,700 15,574,6491.38%, 4/30/2021 . . . . . . . . 13,720,800 13,620,5741.38%, 5/31/2021 . . . . . . . . 14,545,800 14,438,4111.50%, 7/15/2020 . . . . . . . . 5,012,600 4,989,6911.50%, 8/15/2020 . . . . . . . . 10,802,900 10,753,1051.50%, 1/31/2022 . . . . . . . . 11,411,000 11,346,8131.63%, 7/31/2020 . . . . . . . . 13,333,300 13,289,5501.63%, 10/15/2020. . . . . . . . 8,812,300 8,784,4171.63%, 11/30/2020. . . . . . . . 13,653,200 13,610,5341.63%, 6/30/2021 . . . . . . . . 5,022,800 5,011,6311.75%, 10/31/2020. . . . . . . . 9,867,000 9,850,8121.75%, 11/15/2020. . . . . . . . 9,673,600 9,659,9961.75%, 12/31/2020. . . . . . . . 15,590,300 15,570,8121.75%, 11/30/2021. . . . . . . . 14,315,900 14,320,3741.75%, 2/28/2022 . . . . . . . . 12,026,800 12,034,3171.75%, 3/31/2022 . . . . . . . . 11,635,100 11,642,3721.75%, 4/30/2022 . . . . . . . . 12,197,900 12,209,3361.75%, 5/15/2022 . . . . . . . . 10,557,400 10,564,8231.75%, 5/31/2022 . . . . . . . . 16,170,900 16,182,2701.75%, 6/15/2022 . . . . . . . . 15,068,600 15,089,7901.75%, 6/30/2022 . . . . . . . . 15,068,600 15,087,4361.88%, 12/15/2020. . . . . . . . 10,010,400 10,015,4831.88%, 11/30/2021. . . . . . . . 11,561,400 11,597,5291.88%, 1/31/2022 . . . . . . . . 15,640,600 15,695,5871.88%, 2/28/2022 . . . . . . . . 12,821,700 12,869,7811.88%, 3/31/2022 . . . . . . . . 15,597,100 15,666,5561.88%, 4/30/2022 . . . . . . . . 13,797,100 13,853,1511.88%, 5/31/2022 . . . . . . . . 12,941,000 12,999,6392.00%, 7/31/2020 . . . . . . . . 9,452,900 9,459,1772.00%, 9/30/2020 . . . . . . . . 8,204,400 8,216,5782.00%, 11/30/2020. . . . . . . . 7,367,600 7,383,4292.00%, 1/15/2021 . . . . . . . . 9,480,800 9,505,2432.00%, 2/28/2021 . . . . . . . . 12,206,600 12,243,7922.00%, 5/31/2021 . . . . . . . . 11,034,900 11,082,7472.00%, 8/31/2021 . . . . . . . . 12,916,700 12,985,320


2.00%, 10/31/2021. . . . . . . . $ 11,883,600 $ 11,956,0162.00%, 11/15/2021. . . . . . . . 21,289,600 21,427,6502.00%, 12/31/2021. . . . . . . . 13,551,400 13,643,5072.00%, 2/15/2022 . . . . . . . . 13,924,700 14,022,6082.13%, 8/31/2020 . . . . . . . . 10,714,100 10,739,6302.13%, 1/31/2021 . . . . . . . . 9,478,300 9,522,3592.13%, 5/31/2021 . . . . . . . . 24,914,900 25,085,2172.13%, 6/30/2021 . . . . . . . . 9,108,300 9,174,4782.13%, 8/15/2021 . . . . . . . . 15,628,600 15,748,2562.13%, 9/30/2021 . . . . . . . . 11,684,300 11,783,7992.13%, 12/31/2021. . . . . . . . 12,919,400 13,043,5472.13%, 5/15/2022 . . . . . . . . 17,232,200 17,426,0622.13%, 6/30/2022 . . . . . . . . 10,045,600 10,164,8912.25%, 2/15/2021 . . . . . . . . 13,106,000 13,196,1042.25%, 3/31/2021 . . . . . . . . 30,589,000 30,829,1712.25%, 4/30/2021 . . . . . . . . 34,785,800 35,082,0232.25%, 7/31/2021 . . . . . . . . 13,094,600 13,225,5462.25%, 4/15/2022 . . . . . . . . 17,243,000 17,486,8272.38%, 12/31/2020. . . . . . . . 9,758,600 9,835,9832.38%, 3/15/2021 . . . . . . . . 11,430,100 11,541,2762.38%, 4/15/2021 . . . . . . . . 16,855,500 17,028,0062.38%, 3/15/2022 . . . . . . . . 17,210,600 17,517,1642.50%, 12/31/2020. . . . . . . . 16,106,100 16,263,3862.50%, 1/31/2021 . . . . . . . . 16,984,900 17,164,0382.50%, 2/28/2021 . . . . . . . . 16,816,000 17,006,4942.50%, 1/15/2022 . . . . . . . . 17,240,200 17,567,4952.50%, 2/15/2022 . . . . . . . . 16,403,600 16,726,5462.63%, 7/31/2020 . . . . . . . . 15,885,800 16,003,7022.63%, 8/15/2020 . . . . . . . . 13,568,200 13,674,7322.63%, 8/31/2020 . . . . . . . . 16,388,400 16,522,8362.63%, 11/15/2020. . . . . . . . 26,505,100 26,778,4342.63%, 5/15/2021 . . . . . . . . 14,213,500 14,433,9202.63%, 6/15/2021 . . . . . . . . 11,597,400 11,791,7472.63%, 7/15/2021 . . . . . . . . 16,272,400 16,555,8962.63%, 12/15/2021. . . . . . . . 15,777,700 16,124,0702.75%, 9/30/2020 . . . . . . . . 16,832,600 17,010,7892.75%, 11/30/2020 (a) . . . . . 24,622,800 24,932,5092.75%, 8/15/2021 . . . . . . . . 14,169,800 14,464,2662.75%, 9/15/2021 . . . . . . . . 18,673,300 19,089,0732.88%, 10/31/2020. . . . . . . . 21,193,400 21,471,5632.88%, 10/15/2021. . . . . . . . 16,025,800 16,433,9572.88%, 11/15/2021. . . . . . . . 19,426,500 19,939,4813.13%, 5/15/2021 . . . . . . . . 11,964,700 12,258,6763.63%, 2/15/2021 . . . . . . . . 16,875,300 17,359,806


Shares


U.S. Government MoneyMarket Fund, Class G Shares2.35% (b) (c) . . . . . . . . . . . 969,950 969,950

SPDR PORTFOLIO SHORT TERM TREASURY ETFSCHEDULE OF INVESTMENTSJune 30, 2019



State Street Navigator SecuritiesLending Portfolio III (d) (e) . . 3,552,500 $ 3,552,500

TOTAL SHORT-TERM INVESTMENTS(Cost $4,522,450) . . . . . . . . . . . . . . . . . . . . 4,522,450



NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 1,320,125,019


(b) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30,2019.

(d) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(e) Investment of cash collateral for securities loaned.



Quoted Prices




ASSETS:INVESTMENTS:U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $1,309,648,544 $— $1,309,648,544



Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund,Class G Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,401,794 $9,401,794 $121,061,041 $129,492,885 $— $— 969,950 $ 969,950 $38,348

State Street Navigator Securities Lending Government Money MarketPortfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 30,666,891 30,666,891 — — — — 1,638

State Street Navigator Securities Lending Portfolio III . . . . . . . . . — — 23,906,116 20,353,616 — — 3,552,500 3,552,500 —

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $9,401,794 $175,634,048 $180,513,392 $— $— $4,522,450 $39,986

SPDR PORTFOLIO SHORT TERM TREASURY ETFSCHEDULE OF INVESTMENTS (continued)June 30, 2019


SPDR PortfolioAggregate Bond

ETF

SPDR PortfolioIntermediate Term

Corporate BondETF

SPDR PortfolioLong Term

Corporate BondETF

ASSETSInvestments in unaffiliated issuers, at value*. . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,040,308,113 $4,730,935,703 $632,635,618Investments in affiliated issuers, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,239,778 25,060,856 2,703,963

Total Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,203,547,891 4,755,996,559 635,339,581Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 142Receivable for investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,563,052 20,591,784 13,509,596Receivable for fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 41,882,487 14,342,713Dividends receivable — affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261,148 9,212 3,177Interest receivable — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,090,146 42,628,975 7,011,526Securities lending income receivable — unaffiliated issuers . . . . . . . . . . . . . . . . . 2,049 11,295 513Securities lending income receivable — affiliated issuers . . . . . . . . . . . . . . . . . . 14,128 6,843 336Receivable for foreign taxes recoverable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,972 25,801 233

TOTAL ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,256,483,386 4,861,152,956 670,207,817

LIABILITIESDue to custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133,082 1,119,634 —Payable upon return of securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,243,076 21,334,763 1,304,620Payable for investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153,403,050 51,621,457 15,375,590Payable for fund shares repurchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,832,230 — 11,483,441Advisory fee payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132,595 268,422 35,041Trustees’ fees and expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,149 5,919 617Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,737 — 1,169

TOTAL LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179,749,919 74,350,195 28,200,478

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,076,733,467 $4,786,802,761 $642,007,339

NET ASSETS CONSIST OF:Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,960,290,043 $4,687,512,616 $616,353,881Total distributable earnings (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116,443,424 99,290,145 25,653,458

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,076,733,467 $4,786,802,761 $642,007,339

NET ASSET VALUE PER SHARENet asset value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29.16 $ 34.91 $ 28.73

Shares outstanding (unlimited amount authorized, $0.01 par value). . . . . . . . . . . . 139,800,264 137,100,072 22,349,986

COST OF INVESTMENTS:Investments in unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,911,174,984 $4,615,531,044 $600,741,657Investments in affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,239,778 25,060,856 2,703,963

Total cost of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,074,414,762 $4,640,591,900 $603,445,620

* Includes investments in securities on loan, at value . . . . . . . . . . . . . . . . . . . . . . $ 41,980,072 $ 114,786,588 $ 6,201,960

SPDR SERIES TRUSTSTATEMENTS OF ASSETS AND LIABILITIESJune 30, 2019



Treasury ETF

SPDR PortfolioShort Term

Corporate BondETF


Treasury ETF

$2,356,584,781 $5,207,185,016 $1,309,648,54497,705 111,280,229 4,522,450

2,356,682,486 5,318,465,245 1,314,170,994— 10,199,661 —

42,156,277 16,097,238 47,151,180— — 6,000,592

3,196 51,245 4,03317,095,867 44,254,567 7,588,445

898 1,977 1,8964,020 5,461 3

— 1,757 —

2,415,942,744 5,389,077,151 1,374,917,143

— — —— 27,959,848 3,552,500

21,698,244 96,887,643 51,176,03315,297,794 — —

118,806 306,683 63,0061,536 7,012 585

— — —

37,116,380 125,161,186 54,792,124

$2,378,826,364 $5,263,915,965 $1,320,125,019

$2,296,279,925 $5,232,390,497 $1,309,680,98382,546,439 31,525,468 10,444,036

$2,378,826,364 $5,263,915,965 $1,320,125,019

$ 38.24 $ 30.77 $ 30.00

62,200,000 171,100,000 44,000,000

$2,252,933,507 $5,153,388,234 $1,296,809,31497,705 111,280,229 4,522,450

$2,253,031,212 $5,264,668,463 $1,301,331,764

$ — $ 44,631,667 $ 33,459,664

73

SPDR PortfolioAggregate Bond

ETF

SPDR PortfolioIntermediate Term

Corporate BondETF


Corporate BondETF

INVESTMENT INCOMEInterest income — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $102,610,626 $133,484,855 $19,010,962Dividend income — affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,687,652 166,433 21,134Unaffiliated securities lending income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,306 101,325 4,604Affiliated securities lending income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,095 104,688 5,406Foreign taxes withheld. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,097) 3,032 (136)

TOTAL INVESTMENT INCOME (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,396,582 133,860,333 19,041,970

EXPENSESAdvisory fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,375,411 2,789,643 297,128Trustees’ fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,329 58,908 5,865

TOTAL EXPENSES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,424,740 2,848,551 302,993

NET INVESTMENT INCOME (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $103,971,842 $131,011,782 $18,738,977

REALIZED AND UNREALIZED GAIN (LOSS)Net realized gain (loss) on:

Investments — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (248,901) (11,612,209) (2,488,124)In-kind redemptions — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,788,051 30,612,693 8,232,353

Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,539,150 19,000,484 5,744,229

Net change in unrealized appreciation/depreciation on:Investments — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179,126,622 195,119,035 49,652,553

NET REALIZED AND UNREALIZED GAIN (LOSS) . . . . . . . . . . . . . . . . . . 180,665,772 214,119,519 55,396,782

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS . . . . . $284,637,614 $345,131,301 $74,135,759

SPDR SERIES TRUSTSTATEMENTS OF OPERATIONSFor theYear Ended June 30, 2019



Treasury ETF


Corporate BondETF


Treasury ETF

41,818,972 $135,641,168 $19,715,12958,755 329,245 38,348

1,185 24,279 6,93520,970 68,673 1,638

— (31,355) —

41,899,882 136,032,010 19,762,050

880,636 3,321,236 483,13419,639 69,258 10,421

900,275 3,390,494 493,555

$ 40,999,607 $132,641,516 $19,268,495

(10,982,328) (11,623,943) (478,567)27,138,312 7,212,843 2,016,707

16,155,984 (4,411,100) 1,538,140

142,880,660 101,321,370 15,263,867

159,036,644 96,910,270 16,802,007

$200,036,251 $229,551,786 $36,070,502

75

SPDR Portfolio Aggregate Bond ETFSPDR Portfolio Intermediate Term

Corporate Bond ETF

Year Ended6/30/19

Year Ended6/30/18

Year Ended6/30/19

Year Ended6/30/18

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . $ 103,971,842 $ 47,721,596 $ 131,011,782 $ 78,663,925Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,539,150 (8,119,346) 19,000,484 (14,653,327)Net change in unrealized appreciation/depreciation . . . . . . . . . 179,126,622 (55,395,784) 195,119,035 (89,903,228)

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284,637,614 (15,793,534) 345,131,301 (25,892,630)

Net equalization credits and charges . . . . . . . . . . . . . . . . . . . . 925,766 2,339,920 1,947,052 416,779

Distributions to shareholders (Note 12). . . . . . . . . . . . . . . . . . (104,552,985) (47,479,193) (128,933,172) (75,204,044)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . . . . . 1,538,940,962 2,041,496,433 6,158,422,510 3,713,421,511Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (636,645,879) (61,753,012) (4,894,232,835) (2,396,082,187)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . (925,766) (2,339,920) (1,947,052) (416,779)Other Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343,812 348,426 89,243 36,729

Net increase (decrease) in net assets from beneficial interesttransactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 901,713,129 1,977,751,927 1,262,331,866 1,316,959,274

Net increase (decrease) in net assets during the period . . . . . . . 1,082,723,524 1,916,819,120 1,480,477,047 1,216,279,379

Net assets at beginning of period . . . . . . . . . . . . . . . . . . . . . . 2,994,009,943 1,077,190,823 3,306,325,714 2,090,046,335

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . . . . . . $4,076,733,467 $2,994,009,943 $ 4,786,802,761 $ 3,306,325,714

SHARES OF BENEFICIAL INTEREST:Shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,000,000 72,200,000 183,300,000 109,500,000Shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (22,600,000) (2,200,000) (145,600,000) (70,900,000)

Net increase (decrease) from share transactions . . . . . . . . . . 32,400,000 70,000,000 37,700,000 38,600,000

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS


SPDR Portfolio Long Term CorporateBond ETF

SPDR Portfolio Long Term TreasuryETF

SPDR Portfolio Short Term CorporateBond ETF

Year Ended6/30/19

Year Ended6/30/18

Year Ended6/30/19

Year Ended6/30/18

Year Ended6/30/19

Year Ended6/30/18

$ 18,738,977 $ 11,858,792 $ 40,999,607 $ 18,844,441 $ 132,641,516 $ 73,523,2175,744,229 (4,279,127) 16,155,984 (4,477,824) (4,411,100) (10,965,844)

49,652,553 (21,608,651) 142,880,660 (20,496,683) 101,321,370 (44,913,516)

74,135,759 (14,028,986) 200,036,251 (6,130,066) 229,551,786 17,643,857

418,574 (49,624) 673,200 356,076 1,075,967 683,666

(18,203,823) (11,402,094) (38,941,692) (18,159,469) (129,947,147) (70,037,299)

908,593,912 504,889,714 2,429,973,084 617,676,101 3,653,656,953 2,308,165,308(653,432,023) (381,578,174) (1,190,031,423) (170,672,062) (2,784,798,044) (942,792,702)

(418,574) 49,624 (673,200) (356,076) (1,075,967) (683,666)87,613 29,053 816 598 38,381 21,644

254,830,928 123,390,217 1,239,269,277 446,648,561 867,821,323 1,364,710,584

311,181,438 97,909,513 1,401,037,036 422,715,102 968,501,929 1,313,000,808

330,825,901 232,916,388 977,789,328 555,074,226 4,295,414,036 2,982,413,228

$ 642,007,339 $ 330,825,901 $ 2,378,826,364 $ 977,789,328 $ 5,263,915,965 $4,295,414,036

34,300,000 18,350,000 68,200,000 17,400,000 120,600,000 76,100,000(24,600,000) (14,100,014) (33,900,000) (4,900,000) (91,900,000) (31,100,000)

9,700,000 4,249,986 34,300,000 12,500,000 28,700,000 45,000,000

77

SPDR Portfolio Short Term TreasuryETF

Year Ended6/30/19

Year Ended6/30/18

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19,268,495 $ 3,966,988Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,538,140 (3,669,321)Net change in unrealized appreciation/depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,263,867 (1,287,758)

Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . 36,070,502 (990,091)

Net equalization credits and charges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629,902 142,128

Distributions to shareholders (Note 12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (18,269,257) (3,391,607)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,167,403,081 433,049,204Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (352,594,231) (79,844,353)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (629,902) (142,128)Other Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 479 976

Net increase (decrease) in net assets from beneficial interest transactions . . . . . . . . . . . . . . . . . 814,179,427 353,063,699

Net increase (decrease) in net assets during the period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 832,610,574 348,824,129

Net assets at beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487,514,445 138,690,316

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,320,125,019 $487,514,445

SHARES OF BENEFICIAL INTEREST:Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,400,000 14,600,000Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,900,000) (2,700,000)

Net increase (decrease) from share transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,500,000 11,900,000

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS (continued)


SPDR Portfolio Aggregate Bond ETF

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27.88 $ 28.80 $ 29.69 $ 28.75 $ 28.95

Income (loss) from investment operations:Net investment income (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.85 0.76 0.67 0.75 0.72Net realized and unrealized gain (loss) (c) . . . . . . . . . . . . . . . . . . . . . . . . 1.28 (0.95) (0.80) 0.92 (0.22)

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.13 (0.19) (0.13) 1.67 0.50

Net equalization credits and charges (b) . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.04 (0.01) 0.01 0.01

Other capital (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(d) 0.01 0.01 0.01 0.01

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.86) (0.78) (0.76) (0.75) (0.72)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29.16 $ 27.88 $ 28.80 $ 29.69 $ 28.75

Total return (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.88% (0.52)% (0.40)% 5.97% 1.77%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,076,733 $2,994,010 $1,077,191 $1,377,335 $988,792Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04% 0.05% 0.08% 0.08% 0.14%Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04% 0.05% 0.08% 0.07% 0.11%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.02% 2.67% 2.31% 2.58% 2.48%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82% 150% 46% 105% 69%

(a) On October 16, 2017, the SPDR Portfolio Aggregate Bond ETF underwent a 2-for-1 share split. The per share data presented here has been retroactively adjusted toreflect this split.

(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of

the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.(d) Amount is less than $0.005 per share.(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported.

Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Totalreturns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTSSelected data for a share outstanding throughout each period


SPDR Portfolio Intermediate Term Corporate Bond ETF

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

YearEnded6/30/16

YearEnded6/30/15

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 33.26 $ 34.38 $ 34.73 $ 33.90 $ 34.34

Income (loss) from investment operations:Net investment income (loss) (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.10 0.96 0.91 0.91 0.89Net realized and unrealized gain (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . 1.62 (1.14) (0.37) 0.81 (0.45)

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.72 (0.18) 0.54 1.72 0.44

Net equalization credits and charges (a) . . . . . . . . . . . . . . . . . . . . . . . . . . 0.02 0.01 0.02 0.02 0.02

Other capital (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(c) 0.00(c) 0.00(c) 0.00(c) 0.00(c)

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.09) (0.95) (0.91) (0.91) (0.90)Net realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (0.00)(c) —

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.09) (0.95) (0.91) (0.91) (0.90)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 34.91 $ 33.26 $ 34.38 $ 34.73 $ 33.90

Total return (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.45% (0.51)% 1.65% 5.23% 1.34%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,786,803 $3,306,326 $2,090,046 $1,343,962 $752,581Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07% 0.08% 0.12% 0.12% 0.14%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.29% 2.85% 2.65% 2.70% 2.61%Portfolio turnover rate (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24% 30% 33% 26% 13%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of

the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.(c) Amount is less than $0.005 per share.(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported.


(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTS (continued)Selected data for a share outstanding throughout each period


SPDR Portfolio Long Term Corporate Bond ETF

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 26.15 $ 27.73 $ 27.95 $ 25.59 $ 26.97

Income (loss) from investment operations:Net investment income (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.16 1.15 1.15 1.18 1.17Net realized and unrealized gain (loss) (c). . . . . . . . . . . . . . . . . . . . . . . . . . . 2.54 (1.58) (0.23) 2.40 (1.46)

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.70 (0.43) 0.92 3.58 (0.29)

Net equalization credits and charges (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.03 (0.00)(d) 0.01 (0.05) 0.03

Other capital (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00(d) 0.00(d) 0.01 0.05

Distributions to shareholders from:Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.16) (1.15) (1.15) (1.18) (1.17)

Net asset value, end of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28.73 $ 26.15 $ 27.73 $ 27.95 $ 25.59

Total return (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.81% (1.67)% 3.50% 14.31% (0.96)%Ratios and Supplemental Data:Net assets, end of period (in 000s). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $642,007 $330,826 $232,916 $150,896 $337,777Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07% 0.08% 0.12% 0.12% 0.14%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.41% 4.19% 4.22% 4.58% 4.29%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18% 21% 20% 14% 10%

(a) On October 16, 2017, the SPDR Portfolio Long Term Corporate Bond ETF underwent a 3-for-2 share split. The per share data presented here have beenretroactively adjusted to reflect this split.







SPDR Portfolio Long Term Treasury ETF

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded6/30/16

YearEnded

6/30/15(a)

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35.05 $ 36.05 $ 39.83 $ 34.28 $ 33.16

Income (loss) from investment operations:Net investment income (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.98 0.94 0.88 0.90 0.94Net realized and unrealized gain (loss) (c) . . . . . . . . . . . . . . . . . . . . . . . . . . 3.17 (1.03) (3.80) 5.52 1.11

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.15 (0.09) (2.92) 6.42 2.05

Net equalization credits and charges (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.02 0.02 0.02 0.04 0.02

Other capital (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(d) 0.00(d) 0.00(d) — 0.00(d)

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.98) (0.93) (0.88) (0.91) (0.95)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38.24 $ 35.05 $ 36.05 $ 39.83 $ 34.28

Total return (e). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.24% (0.18)% (7.31)% 19.14% 6.21%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,378,826 $977,789 $555,074 $446,122 $164,531Ratios to average net assets:Total expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06% 0.07% 0.10% 0.10% 0.11%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.79% 2.66% 2.39% 2.46% 2.60%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12% 9% 10% 22% 18%

(a) On October 16, 2017, the SPDR Portfolio Long Term Treasury ETF underwent a 2-for-1 share split. The per share data presented here have been retroactivelyadjusted to reflect this split.







SPDR Portfolio Short Term Corporate Bond ETF

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

YearEnded6/30/16

YearEnded6/30/15

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30.16 $ 30.62 $ 30.76 $ 30.58 $ 30.76

Income (loss) from investment operations:Net investment income (loss) (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.85 0.63 0.53 0.48 0.39Net realized and unrealized gain (loss) (b). . . . . . . . . . . . . . . . . . . . . . . . 0.58 (0.49) (0.14) 0.17 (0.16)

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.43 0.14 0.39 0.65 0.23

Net equalization credits and charges (a) . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.01 (0.01) 0.00(c) 0.00(c)

Other capital (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(c) 0.00(c) (0.00)(c) — 0.00(c)

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.83) (0.61) (0.52) (0.47) (0.38)Net realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — (0.03)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.83) (0.61) (0.52) (0.47) (0.41)

Net asset value, end of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30.77 $ 30.16 $ 30.62 $ 30.76 $ 30.58

Total return (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.83% 0.50% 1.25% 2.17% 0.74%Ratios and Supplemental Data:Net assets, end of period (in 000s). . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,263,916 $4,295,414 $2,982,413 $3,965,398 $3,962,876Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07% 0.08% 0.12% 0.12% 0.12%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.80% 2.08% 1.72% 1.56% 1.27%Portfolio turnover rate (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46% 56% 67% 56% 46%







SPDR Portfolio Short Term Treasury ETF

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

YearEnded6/30/16

YearEnded6/30/15

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29.55 $ 30.15 $ 30.65 $ 30.23 $ 30.08

Income (loss) from investment operations:Net investment income (loss) (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.71 0.50 0.30 0.28 0.23Net realized and unrealized gain (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.42 (0.69) (0.50) 0.42 0.12

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.13 (0.19) (0.20) 0.70 0.35

Net equalization credits and charges (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.02 0.02 0.00(c) 0.00(c) 0.02

Other capital (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(c) 0.00(c) 0.00(c) — 0.00(c)

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.70) (0.43) (0.30) (0.28) (0.22)Net realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (0.00)(c) (0.00)(c)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.70) (0.43) (0.30) (0.28) (0.22)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30.00 $ 29.55 $ 30.15 $ 30.65 $ 30.23

Total return (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.97% (0.57)% (0.67)% 2.33% 1.23%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,320,125 $487,514 $138,690 $91,957 $54,413Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06% 0.07% 0.10% 0.10% 0.11%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.39% 1.67% 1.00% 0.93% 0.76%Portfolio turnover rate (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52% 96% 33% 40% 35%







1. Organization

SPDR Series Trust (the “Trust”), a Massachusetts business trust, registered under the Investment Company Act of 1940, asamended (“1940 Act”), is an open-end management investment company.

As of June 30, 2019, the Trust consists of eighty-one (81) series, each of which represents a separate series of beneficialinterest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize theissuance of an unlimited number of shares of beneficial interest at $0.01 par value. The financial statements herein relate tothe following series (each a “Fund”, and collectively, the “Funds”):

SPDR Portfolio Aggregate Bond ETFSPDR Portfolio Intermediate Term Corporate Bond ETFSPDR Portfolio Long Term Corporate Bond ETF

SPDR Portfolio Long Term Treasury ETFSPDR Portfolio Short Term Corporate Bond ETFSPDR Portfolio Short Term Treasury ETF

Each Fund is classified as a non-diversified investment company under the 1940 Act.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out ofthe performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts withservice providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements isunknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financialstatements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”)requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financialstatements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP andfollows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, forfinancial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fairvalue is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderlytransaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate ofthe valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant tothe policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. TheCommittee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing thedetermination of the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Investments in registered investment companies (including money market funds) or other unitized pooled investmentvehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

• Government and municipal fixed income securities are generally valued using quotations from independent pricing servicesor brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulativeinflation is contained within the price provided by the pricing service or broker. For these securities, the inflation componentof the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensureproper accrual of income.

• Debt obligations (including short-term investments and convertible debt securities) are valued using quotations fromindependent pricing services or brokers or are generally valued at the last reported evaluated prices.

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTSJune 30, 2019

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In the event prices or quotations are not readily available or that the application of these valuation methods results in a pricefor an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined ingood faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by theFunds’ underlying benchmarks. Various inputs are used in determining the value of the Funds’ investments.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels thatprioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in activemarkets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3measurements) when market prices are not readily available or reliable. The categorization of a value determined for aninvestment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication ofthe risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directlyor indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similarassets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for theasset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, lossseverities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fairvalue of investments.

The value of each Fund’s investments, according to the fair value hierarchy as of June 30, 2019, is disclosed in each Fund’srespective Schedule of Investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from thesale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxeswithheld at source, if any. Interest income is recorded daily on an accrual basis. Non-cash dividends received in the form ofstock, if any, are recorded as dividend income at fair value.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenseswhich cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into considerationthe nature and type of expense and the relative net assets of the Funds within the Trust.

Foreign Currency Translation

The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities andother assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end.Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated intoU.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) oninvestment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosedseparately.

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTS (continued)June 30, 2019

86

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized andunrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance withSSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations andrates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and arereflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2019, if any, aredisclosed in the Funds’ Statements of Assets and Liabilities.

Equalization

Certain Funds in the Trust follow the accounting practice known as “Equalization” by which a portion of the proceeds fromsales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investmentincome on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributednet investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can befound on the Statements of Changes in Net Assets.

The following Funds utilized equalization during the period ended June 30, 2019:

SPDR Portfolio Aggregate Bond ETFSPDR Portfolio Intermediate Term Corporate Bond ETFSPDR Portfolio Long Term Corporate Bond ETF

SPDR Portfolio Long Term Treasury ETFSPDR Portfolio Short Term Corporate Bond ETFSPDR Portfolio Short Term Treasury ETF

Distributions

Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, aredistributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or tocomply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”).The amount and character of income and capital gains to be distributed are determined in accordance with applicable taxregulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Securities and Other Investments

Delayed Delivery Transactions and When-Issued Securities

During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and deliverymay take place after the customary settlement period for that security. The price of the underlying securities and the date whenthe securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on adelayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. The Fundsmay receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect topurchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount ofthe commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does notperform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.

Mortgage Dollar Rolls

The SPDR Portfolio Aggregate Bond ETF may enter into mortgage dollar roll transactions with respect to mortgage-backedsecurities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities on afixed date.

The counterparty receives all principal and interest payments, including prepayments, made on the security while it is theholder. The SPDR Portfolio Aggregate Bond ETF receives compensation as consideration for entering into the commitment torepurchase.


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The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgagedollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physicaldelivery of the securities subject to the contract. Certain risks may arise upon entering into mortgage dollar rolls from thepotential inability of counterparties to meet the terms of their commitments.

Additionally, the value of such securities may change adversely before the SPDR Portfolio Aggregate Bond ETF is able torepurchase them. There can be no assurance that the use of the cash received from a mortgage dollar roll will provide a returnthat exceeds its costs. The use of to-be announced (“TBA”) mortgage dollar rolls may cause the SPDR Portfolio AggregateBond ETF to experience higher transaction costs.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisoryservices to the Funds, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee(“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assetsas shown in the following table:

Annual Rate

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04%

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07

SPDR Portfolio Long Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07

SPDR Portfolio Short Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06

The Adviser pays all the operating expenses of each Fund other than the management fee, brokerage expenses, taxes, interest,fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses,litigation expenses and other extraordinary expenses.

The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equalto any acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for eachFund until October 31, 2019.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser,serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian,sub-administrator and transfer agent from the Adviser.

Distributor

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves asthe distributor of the Trust.

Other Transactions with Affiliates - Securities Lending

State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restatedsecurities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deductionof such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund,and 15% payable to State Street.


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In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Portfolio III, anaffiliated fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securitieslending.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entitiesdeemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstandingshares. Amounts relating to these transactions during the period ended June 30, 2019 are disclosed in the Schedules ofInvestments.

Due to Custodian

In certain circumstances, the Funds may have cash overdrafts with the custodian due to expense payments, capital transactions,trading of securities, investment operations or derivative transactions. The Due to custodian amount, if any, reflects cashoverdrawn with State Street, as custodian, who is an affiliate of the Funds.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act(“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and otherout-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended June 30,2019, were as follows:

U.S. Government Obligations Other Securities

Purchases Sales Purchases Sales

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,997,469,316 $2,647,245,563 $ 205,238,391 $ 157,361,143

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . — — 971,049,466 968,922,537

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . — — 82,448,030 78,073,106

SPDR Portfolio Long Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . 172,115,001 169,249,176 — —

SPDR Portfolio Short Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . — — 2,151,331,426 2,156,359,225

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . 424,005,342 420,057,807 — —

For the period ended June 30, 2019, the following Funds had in-kind contributions, redemptions and net realized gains/lossesin the amounts as follows:

In-kindContributions

In-kindRedemptions

In-kind NetRealized

Gains/(Losses)

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,039,816,164 $ 436,611,242 $ 1,788,051

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,080,855,680 4,824,119,433 30,612,693

SPDR Portfolio Long Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 891,710,205 644,371,576 8,232,353

SPDR Portfolio Long Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,409,767,919 1,179,544,621 27,138,312

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,628,193,405 2,755,790,221 7,212,843

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,158,048,201 349,803,696 2,016,707


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7. Shareholder Transactions

Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations of a specified number of shares ormultiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable.Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund may consist of the in-kind deposit of a designated portfolio ofsecurities and a specified amount of cashexcept for certain funds that invest in TBAs or mortgage backed securities. Investorspurchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to theTrust and/or custodian to offset transfer and other transaction costs associated with the issuance and redemption of CreationUnits, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variablecharges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.

8. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of theInternal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income,including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently underexamination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of threeyears from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGAFM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertaintax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined inaccordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustmentshave no impact on NAV or results of operations. Temporary book-tax differences will reverse in the future. These book-taxdifferences are primarily due to in-kind transactions, wash sale loss deferrals, defaulted bonds, pay-down gains and losses,mortgage dollar roll income, and expired capital loss carryover.

The tax character of distributions paid during the year ended June 30, 2019, was as follows:

OrdinaryIncome

Long-TermCapital Gains Total

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $104,552,985 $— $104,552,985

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128,933,172 — 128,933,172

SPDR Portfolio Long Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,203,823 — 18,203,823

SPDR Portfolio Long Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,941,692 — 38,941,692

SPDR Portfolio Short Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129,947,147 — 129,947,147

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,269,257 — 18,269,257

The tax character of distributions paid during the year ended June 30, 2018, was as follows:

OrdinaryIncome


SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $47,479,193 $— $47,479,193

SPDR Portfolio Intermediate Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,204,044 — 75,204,044

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,402,094 — 11,402,094

SPDR Portfolio Long Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,159,469 — 18,159,469

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,037,299 — 70,037,299


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OrdinaryIncome


SPDR Portfolio Short Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,391,607 $— $ 3,391,607

At June 30, 2019, the components of distributable earnings on a tax basis were as follows:

UndistributedOrdinary Income

Capital LossCarryforwards

UndistributedLong-Term

Capital GainsNet UnrealizedGains (Losses)

QualifiedLate-Year

Losses Total

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,131,724 $(17,790,745) $— $129,102,445 $— $116,443,424

SPDR Portfolio Intermediate Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,556,609 (23,662,595) — 115,396,131 — 99,290,145

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,418,675 (7,658,291) — 31,893,074 — 25,653,458

SPDR Portfolio Long Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,100,620 (24,195,136) — 103,640,955 — 82,546,439

SPDR Portfolio Short Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,701,393 (31,972,707) — 53,796,782 — 31,525,468

SPDR Portfolio Short Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,658,001 (3,982,598) — 12,768,633 — 10,444,036

As of June 30, 2019, the following Funds had capital loss carryforwards available to offset future realized capital gains asfollows:

Non-ExpiringShort Term

Non-ExpiringLong Term

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,862,592 $ 7,928,153

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,494,154 10,168,441

SPDR Portfolio Long Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,386,034 3,272,257

SPDR Portfolio Long Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,368,180 16,826,956

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,262,403 25,710,304

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,037,198 1,945,400

As of June 30, 2019, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federalincome tax purposes were as follows:

TaxCost

GrossUnrealized

Appreciation

GrossUnrealized

Depreciation

Net UnrealizedAppreciation

(Depreciation)

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,074,445,446 $133,849,523 $4,747,078 $129,102,445

SPDR Portfolio Intermediate Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,640,600,428 116,384,113 987,982 115,396,131

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 603,446,507 32,574,344 681,270 31,893,074

SPDR Portfolio Long Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,253,041,531 103,640,955 — 103,640,955

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,264,668,463 54,690,046 893,264 53,796,782

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,301,402,361 12,781,314 12,681 12,768,633

9. Securities Lending

Each Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash,cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plusaccrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respectto a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securitiesvalues. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cashcollateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified toprovide additional collateral on the next business day.

The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bearthe risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, aFund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending itssecurities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net


91

of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive afee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of June 30, 2019, and the value of the invested cash collateral are disclosed in theFunds’ Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets andLiabilities as it is held by the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecatethose securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earnedfrom the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paidto State Street as lending agent.

The following is a summary of each Fund’s securities lending agreements and related cash and non-cash collateral received asof June 30, 2019:

FundMarket Value of

Securities on Loan

CashCollateralReceived

Non-CashCollateralReceived*

TotalCollateralReceived

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 41,980,072 $20,243,076 $22,572,208 $ 42,815,284

SPDR Portfolio Intermediate Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . 114,786,588 21,334,763 95,757,838 117,092,601

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . 6,201,960 1,304,620 5,014,042 6,318,662

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . 44,631,667 27,959,848 17,592,605 45,552,453

SPDR Portfolio Short Term Treasury ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,459,664 3,552,500 30,569,626 34,122,126

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

Remaining Contractual Maturity of the AgreementsAs of June 30, 2019

Fund

SecuritiesLending

Transactions

Overnightand

Continuous <30 Days

Between30 & 90

Days >90 DaysTotal

Borrowings

Gross Amountof RecognizedLiabilities for

Securities LendingTransactions

SPDR Portfolio Aggregate Bond ETF . . . . . . . . .Corporate Bonds &

Notes $ 3,409,835 $— $— $— $ 3,409,835 $ 3,409,835

SPDR Portfolio Aggregate Bond ETF . . . . . . . . .Foreign Government

Obligations 3,508,741 — — — 3,508,741 3,508,741

SPDR Portfolio Aggregate Bond ETF . . . . . . . . .U.S. TreasuryObligations 13,324,500 — — — 13,324,500 13,324,500

SPDR Portfolio Intermediate Term CorporateBond ETF. . . . . . . . . . . . . . . . . . . . . . . . .

Corporate Bonds &Notes 21,334,763 — — — 21,334,763 21,334,763

SPDR Portfolio Long Term Corporate Bond ETF. .Corporate Bonds &

Notes 1,304,620 — — — 1,304,620 1,304,620

SPDR Portfolio Short Term Corporate Bond ETF .Corporate Bonds &

Notes 27,959,848 — — — 27,959,848 27,959,848

SPDR Portfolio Short Term Treasury ETF . . . . . .U.S. TreasuryObligations 3,552,500 — — — 3,552,500 3,552,500

10. Line of Credit

Certain Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a$500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fundshareholder redemptions. This agreement expires in October 2019 unless extended or renewed.

The following Funds participate in the credit facility as of June 30, 2019:

SPDR Portfolio Aggregate Bond ETFSPDR Portfolio Intermediate Term Corporate Bond ETF

SPDR Portfolio Long Term Corporate Bond ETFSPDR Portfolio Short Term Corporate Bond ETF


92

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared creditline. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees areordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related to itsborrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rateand 1-month LIBOR rate.

The Funds had no outstanding loans as of June 30, 2019.

11. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country,state, region, currency or economic sector, an adverse economic, business or political development may affect the value of theFunds’ investments more than if the Funds were more broadly diversified.

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreignsecurities may be subject to risk of loss because of government regulation, economic, political and social instability in thecountries in which the Funds invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to therisks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risksmay be even more pronounced.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk ofpotential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk).Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that aninstitution or entity with which the Fund has unsettled or open transactions defaults.

12. New Accounting Pronouncements

In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update andSimplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removingredundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. TheFunds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longerrequired to present components of distributable earnings on the Statements of Assets and Liabilities or the sources ofdistributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in NetAssets.

For the period ended June 30, 2018, distributions to shareholders and undistributed (distributions in excess of) net investmentincome were as follows:

NetInvestment

Income

Net RealizedCapitalGains

TotalDistributions

UndistributedNet InvestmentIncome (Loss)

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $47,479,193 $— $47,479,193 $2,755,730

SPDR Portfolio Intermediate Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . 75,204,044 — 75,204,044 5,403,481

SPDR Portfolio Long Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . 11,402,094 — 11,402,094 848,161

SPDR Portfolio Long Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,159,469 — 18,159,469 1,042,705

SPDR Portfolio Short Term Corporate Bond ETF. . . . . . . . . . . . . . . . . . . . . . . . 70,037,299 — 70,037,299 6,960,356

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,391,607 — 3,391,607 658,763


93

13. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements wereissued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.


94

To the Shareholders of SPDR Portfolio Aggregate Bond ETF, SPDR Portfolio Intermediate Term Corporate Bond ETF, SPDRPortfolio Long Term Corporate Bond ETF, SPDR Portfolio Long Term Treasury ETF, SPDR Portfolio Short Term CorporateBond ETF, SPDR Portfolio Short Term Treasury ETF and the Board of Trustees of SPDR® Series Trust

Opinion on the Financial Statements and Schedules of Investments in Securities

We have audited the accompanying statements of assets and liabilities of SPDR Portfolio Aggregate Bond ETF, SPDRPortfolio Intermediate Term Corporate Bond ETF, SPDR Portfolio Long Term Corporate Bond ETF, SPDR Portfolio LongTerm Treasury ETF, SPDR Portfolio Short Term Corporate Bond ETF and SPDR Portfolio Short Term Treasury ETF(collectively referred to as the “Funds”) (six of the funds constituting SPDR® Series Trust (the “Trust”)), including theschedules of investments or summary schedules of investments, as of June 30, 2019, and the related statements of operationsfor the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financialhighlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financialstatements”) (the financial statements are included in item 1 of this Form N-CSR), and the schedules of investments insecurities as of June 30, 2019 (included in item 6 of this Form N-CSR). In our opinion, the financial statements and schedulesof investments in securities present fairly, in all material respects, the financial position of each of the Funds (six of the fundsconstituting SPDR® Series Trust) at June 30, 2019, the results of their operations for the year then ended, the changes in theirnet assets for each of the two years in the period then ended and their financial highlights for each of the five years in theperiod ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and schedules of investments in securities are the responsibility of the Trust’s management. Ourresponsibility is to express an opinion on the Funds’ financial statements and schedules of investments in securities based onour audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities lawsand the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and performthe audit to obtain reasonable assurance about whether the financial statements and schedules of investments in securities arefree of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged toperform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain anunderstanding of internal control over financial reporting, but not for the purpose of expressing an opinion on theeffectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements andschedules of investments in securities, whether due to error or fraud, and performing procedures that respond to those risks.Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financialstatements and schedules of investments in securities. Our procedures included confirmation of securities owned as ofJune 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures wherereplies from brokers and others were not received. Our audits also included evaluating the accounting principles used andsignificant estimates made by management, as well as evaluating the overall presentation of the financial statements andschedules of investments in securities. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, MassachusettsAugust 26, 2019

SPDR SERIES TRUSTREPORT OF INDEPENDENT REGISTERED PUBLICACCOUNTING FIRM

95

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable,on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and otherFund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund andto compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 madeat the beginning of the period shown and held for the entire period from January 1, 2019 to June 30, 2019.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The“Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount thatwould have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with theamount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for theFund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return ——This section is intended to help you compare your Fund’s costs with those of othermutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. Inthis case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example isuseful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You canassess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholderreports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect anytransaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful incomparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, ifthese transaction costs were included, your costs would have been higher.

ActualHypothetical (assuming a 5%

return before expenses)

AnnualizedExpense Ratio

Ending AccountValue

Expenses PaidDuring

Period(a)Ending Account

Value

Expenses PaidDuring

Period(a)

SPDR Portfolio Aggregate Bond ETF . . . . . . . . . . . . . . . . 0.04% $1,061.60 $0.20 $1,024.60 $0.20

SPDR Portfolio Intermediate Term Corporate Bond ETF . . . . 0.07 1,070.60 0.36 1,024.40 0.35

SPDR Portfolio Long Term Corporate Bond ETF . . . . . . . . . 0.07 1,155.90 0.37 1,024.40 0.35

SPDR Portfolio Long Term Treasury ETF . . . . . . . . . . . . . . 0.06 1,109.50 0.31 1,024.50 0.30

SPDR Portfolio Short Term Corporate Bond ETF . . . . . . . . . 0.07 1,033.60 0.35 1,024.40 0.35

SPDR Portfolio Short Term Treasury ETF. . . . . . . . . . . . . . 0.06 1,024.50 0.30 1,024.50 0.30

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

SPDR SERIES TRUSTOTHER INFORMATIONJune 30, 2019 (Unaudited)

96

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for itsfiscal year ended June 30, 2019.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends receiveddeduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2019 are considered qualified dividendincome and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s taxbracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as providedin the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Qualified Interest Income

Each Fund reports the maximum amount allowable of its net taxable income and short-term capital gain as qualified interestincome.

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e., at a premium) or below(i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to voteproxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257(toll free) or (ii) on the SEC’s website at www.sec.gov.

Information regarding how the investment adviser voted for the 12-month period ended June 30, is available by August 31 ofeach year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds’ website at www.spdrs.com.

Quarterly Portfolio Schedule

Following the Funds’ first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibiton Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Funds’ schedules of investments areavailable upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.

Full Portfolio Schedule

The complete schedule of portfolio holdings for the following Funds is available on the Funds’website at www.spdrs.com,without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.

SPDR Portfolio Aggregate Bond ETF

SPDR Portfolio Intermediate Term Corporate Bond ETF

SPDR Portfolio Long Term Corporate Bond ETF

Approval of Advisory Agreement

At an in-person meeting held prior to June 30, 2019, the Board of Trustees of the Trust (the “Board”) evaluated proposals tocontinue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the“Adviser” or “SSGA FM”) with respect to the fixed income series of the Trust (collectively, the “SPDR ETFs”). The Trustees

SPDR SERIES TRUSTOTHER INFORMATION (continued)June 30, 2019 (Unaudited)

97

http://www.spdrs.com.

http://www.sec.gov.

who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the“Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by theirindependent legal counsel throughout the process.

To evaluate the Agreement, the Board requested and SSGA FM, the Trust’s investment adviser and administrator, and StateStreet Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, suchmaterials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve theAgreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by theAdviser with respect to the SPDR ETFs under the Agreement, (ii) investment performance of the SPDR ETFs, (iii) profitsrealized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) otherbenefits to the Adviser, and (vi) extent to which economies of scale would be shared as the SPDR ETFs grow.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services provided by the Adviser. In doing so, the Trustees relied ontheir prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. TheBoard reviewed the Agreement and the Adviser’s responsibilities for managing investment operations of each of the SPDRETFs in accordance with each SPDR ETF’s investment objectives and policies, and applicable legal and regulatoryrequirements. The Board appreciated the nature of the SPDR ETFs as exchange-traded funds, and the experience and expertiseof the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s seniormanagement, including those individuals responsible for portfolio management, oversight of sub-advisers and regulatorycompliance of the SPDR ETFs. The Board also considered the portfolio management resources, structures and practices of theAdviser, including those associated with monitoring and securing each SPDR ETF’s compliance with its investment objectivesand policies and with applicable laws and regulations. The Board also considered information about the Adviser’s bestexecution procedures and overall investment management business, noting that the Adviser serves a wide range of clientsacross a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment managementbusiness and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of itssenior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investmentmanagement enterprises for indexed products generally and exchange-traded funds in particular. The Board specificallyconsidered the Adviser’s experience in managing fixed income exchange-traded funds with index-based investment objectivesand overseeing third-party sub-advisers, as applicable.

Investment Performance

The Board then reviewed the SPDR ETFs’ performance, noting that the distinctive indexed investment objective of each of theSPDR ETFs made analysis of investment performance, in absolute terms, less of a priority than that which normally attachesto the performance of actively-managed funds. Instead, the Board focused on the extent to which each SPDR ETF achieved itsobjective as a passively-managed index fund. The Board reviewed information regarding the SPDR ETFs’ index tracking.

Profits Realized by the Adviser

The Board considered the profitability of the advisory arrangement with the SPDR ETFs to the Adviser, including data on theSPDR ETFs’ historical profitability to the Adviser. The Board, including the Independent Trustees, with their independentlegal counsel, had the opportunity to discuss, with representatives of the Adviser and State Street, methodologies used incomputing costs that formed the bases of profitability calculations.

Fees Charged to Comparable Funds

The Board evaluated each SPDR ETF’s unitary fee through review of comparative information with respect to fees paid bysimilar funds – i.e., exchange-traded funds tracking similar fixed income indexes. The Board reviewed the universe of similarexchange-traded funds for each SPDR ETF based upon data independently obtained from Broadridge Financial Solutions, Inc.(formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds. In doing so, theBoard used a fund by fund analysis of the data.

Other Benefits


98

The Board also considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust,noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.

Economies of Scale

The Board reviewed information regarding economies of scale or other efficiencies that may result as each SPDR ETF’s assetsgrow in size. The Board noted that the Agreement did not provide for breakpoints in each SPDR ETF’s advisory fee rates asassets of a SPDR ETF increase. However, the Board further noted the Adviser’s assertion that future economies of scale(among several factors) had been taken into consideration for the SPDR ETFs by fixing relatively low advisory fees,effectively sharing the benefits of lower fees with the SPDR ETFs from inception. The Adviser also asserted that one of thebenefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition ofbreakpoints. The Board noted that it intends to continue to monitor fees as the SPDR ETFs grow in size and assess whetherfee breakpoints may be warranted.

Conclusion

After weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by eachTrustee, the Board, including the independent Trustees voting separately, approved the Agreement for each SPDR ETF. TheBoard’s conclusions with respect to the factors were as follows: (a) the nature and extent of the services provided by theAdviser with respect to the SPDR ETFs were appropriate; (b) the performance and, more importantly, the index tracking, ofeach SPDR ETF had been satisfactory; (c) the Adviser’s unitary fee for each SPDR ETF considered in relation to servicesprovided, and in relation to fees charged to comparable funds, was fair and reasonable; (d) the profitability of the Trust’srelationships with the Adviser was not excessive; (e) any additional potential benefits to the Adviser or its affiliates were notof a magnitude to materially affect the Board’s conclusions; and (f) the fees paid to the Adviser adequately shared theeconomies of scale with respect to the SPDR ETFs by way of the relatively low fee structure of the Trust.


99

TRUSTEES AND OFFICERS INFORMATION

Name, Addressand Year of Birth

Position(s)with Funds

Term ofOffice andLength of

Time Served

PrincipalOccupation(s)During Past

5 Years

Numberof

Portfoliosin FundComplexOverseen

byTrustee†

OtherDirectorships

Held by TrusteeDuring thePast 5 Years

TrusteesIndependent TrusteesFRANK NESVET

c/o SPDR Series TrustOne Iron StreetBoston, MA 022101943

IndependentTrustee,Chairman,TrusteeCommitteeChair

Term: UnlimitedServed: sinceSeptember 2000

Retired. 128 None.

BONNY EUGENIA BOATMANc/o SPDR Series TrustOne Iron StreetBoston, MA 022101950

IndependentTrustee

Term: UnlimitedServed: sinceApril 2010

Retired. 128 None.

DWIGHT D. CHURCHILLc/o SPDR Series TrustOne Iron StreetBoston, MA 022101953

IndependentTrustee


Self-employedconsultant since 2010;CEO and President,CFA Institute (June2014-January 2015).

128 AffiliatedManagers Group,Inc. (Director).

CARL G. VERBONCOEURc/o SPDR Series TrustOne Iron StreetBoston, MA 022101952

IndependentTrustee,AuditCommitteeChair


Self-employedconsultant since 2009.

128 The Motley FoolFunds Trust(Trustee).

CLARE S. RICHERc/o SPDR Series TrustOne Iron StreetBoston, MA 022101958

IndependentTrustee

Term: UnlimitedServed: sinceJuly 2018

Chief FinancialOfficer, PutnamInvestments LLC(December 2008-May 2017).

128 Putnam AcquisitionFinancing Inc.(Director);Putnam AcquisitionFinancing LLC(Director); Putnam GPInc. (Director);Putnam InvestorServices, Inc.(Director); PutnamInvestments Limited(Director); PutnamInvestments Limited(Director); Universityof Notre Dame(Trustee).

SANDRA G. SPONEMc/o SPDR Series TrustOne Iron StreetBoston, MA 022101958

IndependentTrustee

Term: UnlimitedServed: sinceJuly 2018

Chief FinancialOfficer, M.A.MortensonCompanies, Inc.(February 2007-April 2017).

128 Guggenheim/RydexFunds (Trustee).


100




Time Served

PrincipalOccupation(s)During Past

5 Years

Numberof

Portfoliosin FundComplexOverseen

byTrustee†

OtherDirectorships

Held by TrusteeDuring thePast 5 Years

Interested TrusteeJAMES E. ROSS*

SSGA Funds Management, Inc.One Iron StreetBoston, MA 022101965

InterestedTrustee

Term: UnlimitedServed asTrustee: sinceApril 2010

Chairman and Director,SSGA FundsManagement, Inc.(2005-present);Executive VicePresident,State StreetGlobal Advisors(2006-present);Chief ExecutiveOfficer and Director,State Street GlobalAdvisors FundsDistributors, LLC(May 2017- present);Director,State Street GlobalMarkets, LLC(2013-April 2017);President, SSGA FundsManagement, Inc.(2005-2012); Principal, State Street GlobalAdvisors (2000 - 2005).

189 SSGA SPDRETFs Europe I plc(Director)(November 2016-present); SSGASPDR ETFsEurope II plc(Director)(November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. servesas investment adviser.

* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee fromNovember 2005 to December 2009.




Time Served Principal Occupation(s) During the Past 5 Years

Officers

ELLEN M. NEEDHAMSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101967

President Term: UnlimitedServed: sinceOctober 2012

President and Director, SSGA Funds Management, Inc. (2001 - present)*; SeniorManaging Director, State Street Global Advisors (1992 - present)*; Director, State StreetGlobal Advisors Funds Distributors, LLC (May 2017 - present).

BRUCE S. ROSENBERGSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101961

Treasurer Term: UnlimitedServed: sinceFebruary 2016

Managing Director, State Street Global Advisors and SSGA Funds Management, Inc.(July 2015 - present); Director, Credit Suisse (April 2008 - July 2015).

ANN M. CARPENTERSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101966

VicePresident;DeputyTreasurer

Term: UnlimitedServed: sinceAugust 2012

Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; ManagingDirector, State Street Global Advisors (2005 - present).*

MICHAEL P. RILEYSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101969

VicePresident

Term: UnlimitedServed: sinceFebruary 2005

Managing Director, State Street Global Advisors (2005 - present).*


101





CHAD C. HALLETTSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101969

DeputyTreasurer


Vice President, State Street Global Advisors and SSGA Funds Management, Inc.(November 2014 - present); Vice President, State Street Bank and Trust Company (2001- November 2014).*

DARLENE ANDERSON-VASQUEZSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101968

DeputyTreasurer

Term: UnlimitedServed: sinceNovember 2016

Managing Director, State Street Global Advisors and SSGA Funds Management, Inc.(May 2016 - present); Senior Vice President, John Hancock Investments (September2007 - May 2016).

ARTHUR A. JENSENSSGA Funds Management, Inc.1600 Summer StreetStamford, CT 069051966

DeputyTreasurer

Term: UnlimitedServed: SinceAugust 2017

Vice President at State Street Global Advisors (July 2016 – present); Mutual FundsController of GE Asset Management Incorporated (April 2011 - July 2016).

SUJATA UPRETISSGA Funds Management, Inc.One Iron StreetBoston, MA 022101974

AssistantTreasurer


Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager,PricewaterhouseCoopers, LLP (September 2003 - July 2012).

DANIEL FOLEYSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101972

AssistantTreasurer


Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April2007 - present).*

DANIEL G. PLOURDESSGA Funds Management, Inc.One Iron StreetBoston, MA 022101980

AssistantTreasurer

Term: UnlimitedServed: sinceMay 2017

Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May2015).

BRIAN HARRISSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101973

Chief ComplianceOfficer; Anti-MoneyLaunderingOfficer; Code ofEthicsComplianceOfficer

Term: UnlimitedServed: sinceNovember 2013

Managing Director, State Street Global Advisors and SSGA Funds Management, Inc.(June 2013 - present)*; Senior Vice President and Global Head of InvestmentCompliance, BofA Global Capital Management (2010 - 2013).

SEAN O’MALLEYSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101969

Chief Legal Officer Term: UnlimitedServed:sinceAugust 2019

Senior Vice President and Deputy General Counsel, State Street Global Advisors(November 2013-Present).

ANDREW DELORMESSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101975

Secretary Term: UnlimitedServed:sinceAugust 2019

Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present);Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016).

JAMES GOUNDREYSSGA Funds Management, Inc.One Iron StreetBoston, MA 022101977

AssistantSecretary

Term: UnlimitedServed:sinceAugust 2019

Vice President and Senior Counsel, State Street Global Advisors (April 2019-Present);Vice President and Counsel, State Street Global Advisors (August 2015-April 2019);Attorney, MFS Investment Management (March 2012-August 2015).


102





KEVIN MORRISSSGA Funds Management, IncOne Iron StreetBoston, MA 022101982

AssistantSecretary

Term:UnlimitedServed:sinceAugust 2019

Vice President and Senior Counsel, State Street Global Advisors (April 2019-Present);Vice President and Counsel, State Street Global Advisors (January 2016-April 2019);Director, Asset Management Compliance, Fidelity Investments (June 2015-January2016); Senior Compliance Advisor, Asset Management Compliance, FidelityInvestments (June 2012-June 2015).

DAVID URMANSSGA Funds Management, IncOne Iron StreetBoston, MA 022101985

AssistantSecretary

Term:UnlimitedServed:sinceAugust 2019

Vice President and Senior Counsel, State Street Global Advisors (April 2019-Present);Vice President and Counsel, State Street Global Advisors (August 2015-April 2019);Associate, Ropes & Gray LLP (November 2012-August 2015).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information (SAI) includes additional information about the Funds’ directors and is available, without charge, upon request and by calling1-866-787-2257.


103

[This Page Intentionally Left Blank]

SPDR Series Trust

TrusteesBonny E. BoatmanDwight D. ChurchillFrank Nesvet, ChairmanClare S. RicherJames E. RossSandra G. SponemCarl G. Verboncoeur

Investment Manager and AdministratorSSGA Funds Management, Inc.One Iron StreetBoston, MA 02210

DistributorState Street Global Advisors Funds Distributors, LLCOne Iron StreetBoston, MA 02210

Custodian, Sub-Administratorand Transfer AgentState Street Bank and Trust CompanyOne Lincoln StreetBoston, MA 02111

Legal CounselMorgan, Lewis & Bockius LLP1111 Pennsylvania Avenue, NWWashington, DC 20004

Independent Registered Public AccountingFirmErnst & Young LLP200 Clarendon StreetBoston, MA 02116


SPDR® Series Trust - Fixed Income Funds

ssga.com | spdrs.com

State Street Global AdvisorsOne Iron StreetBoston, MA 02210

ETFs trade like stocks, are subject to investment risk, fluctuatein market value and may trade at prices above or below theETF's net asset value. Brokerage commissions and ETFexpenses will reduce returns.

Bonds generally present less short-term risk and volatility thanstocks, but contain interest rate risk (as interest rates risebond prices usually fall); issuer default risk; issuer credit risk;liquidity risk; and inflation risk. These effects are usuallypronounced for longer-term securities. Any fixed incomesecurity sold or redeemed prior to maturity may be subject toa substantial gain or loss.

BLOOMBERG®, a trademark and service mark of BloombergFinance L.P. and its affiliates, and BARCLAYS®, a trademark andservice mark of Barclays Bank Plc, have each been licensed foruse in connection with the listing and trading of the SPDRBloomberg Barclays ETFs.

Standard & Poor’s, S&P and SPDR are registered trademarks ofStandard & Poor’s Financial Services LLC (S&P); Dow Jones is aregistered trademark of Dow Jones Trademark Holdings LLC

(Dow Jones); and these trademarks have been licensed for useby S&P Dow Jones Indices LLC (SPDJI) and sublicensed forcertain purposes by State Street Corporation. State StreetCorporation’s financial products are not sponsored, endorsed,sold or promoted by SPDJI, Dow Jones, S&P, their respectiveaffiliates and third party licensors and none of such partiesmake any representation regarding the advisability ofinvesting in such product(s) nor do they have any liability inrelation thereto, including for any errors, omissions, orinterruptions of any index.

Distributor: State Street Global Advisors FundsDistributors, LLC, member FINRA, SIPC, an indirect whollyowned subsidiary of State Street Corporation. References toState Street may include State Street Corporation and itsaffiliates. Certain State Street affiliates provide services andreceive fees from the SPDR ETFs.

Before investing, consider a Fund’s investment objectives,risks, charges and expenses. To obtain a prospectus orsummary prospectus which contains this and otherinformation, call 1.866.787.2257 or visit www.spdrs.com.Read it carefully.

Not FDIC Insured. No Bank Guarantee. May Lose Value.

The information contained in this report is intended for the general information of shareholders of the Trust. This report isnot authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus whichcontains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor bycalling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

© 2019 State Street Corporation - All Rights ReservedSPDRPORTFIAR



ADVERTISING — 0.0% (a)Interpublic Group of Cos., Inc.:

3.75%, 2/15/2023 (b) . . . . . . $ 108,000 $ 112,5354.20%, 4/15/2024 (b) . . . . . . 96,000 103,283

Omnicom Group, Inc./OmnicomCapital, Inc.:3.60%, 4/15/2026 . . . . . . . . 286,000 292,6093.63%, 5/1/2022 . . . . . . . . . 191,000 197,0324.45%, 8/15/2020 . . . . . . . . 113,000 115,533

WPP Finance 2010:3.63%, 9/7/2022 . . . . . . . . . 275,000 283,1763.75%, 9/19/2024 . . . . . . . . 206,000 213,027

1,317,195


Boeing Co.:1.65%, 10/30/2020. . . . . . . . 150,000 148,6631.88%, 6/15/2023 . . . . . . . . 300,000 294,3962.13%, 3/1/2022 . . . . . . . . . 100,000 99,6932.35%, 10/30/2021. . . . . . . . 50,000 50,1672.70%, 5/1/2022 . . . . . . . . . 40,000 40,5742.80%, 3/1/2023 . . . . . . . . . 100,000 101,6872.80%, 3/1/2024 . . . . . . . . . 300,000 304,7042.85%, 10/30/2024. . . . . . . . 145,000 147,6513.10%, 5/1/2026 . . . . . . . . . 300,000 309,2193.20%, 3/1/2029 (b) . . . . . . . 315,000 326,1543.25%, 3/1/2028 . . . . . . . . . 95,000 98,6353.45%, 11/1/2028 . . . . . . . . 150,000 158,1753.50%, 3/1/2039 . . . . . . . . . 100,000 100,6533.55%, 3/1/2038 . . . . . . . . . 65,000 65,6513.60%, 5/1/2034 . . . . . . . . . 100,000 104,7753.63%, 3/1/2048 . . . . . . . . . 35,000 35,0283.83%, 3/1/2059 . . . . . . . . . 450,000 456,0253.85%, 11/1/2048 . . . . . . . . 50,000 52,0063.90%, 5/1/2049 . . . . . . . . . 100,000 104,5926.13%, 2/15/2033 . . . . . . . . 15,000 19,706

Embraer Netherlands FinanceB.V.:5.05%, 6/15/2025 . . . . . . . . 528,000 570,4785.40%, 2/1/2027 . . . . . . . . . 561,000 622,486

General Dynamics Corp.:1.88%, 8/15/2023 (b) . . . . . . 75,000 74,0572.13%, 8/15/2026 . . . . . . . . 50,000 48,8392.25%, 11/15/2022. . . . . . . . 155,000 155,6562.38%, 11/15/2024. . . . . . . . 125,000 125,7723.00%, 5/11/2021 . . . . . . . . 400,000 406,3883.38%, 5/15/2023 . . . . . . . . 207,000 216,1683.50%, 5/15/2025 . . . . . . . . 279,000 296,9543.75%, 5/15/2028 (b) . . . . . . 112,000 122,223

Harris Corp.:4.85%, 4/27/2035 . . . . . . . . 100,000 111,7445.05%, 4/27/2045 . . . . . . . . 595,000 697,233

L3 Technologies, Inc.:


3.85%, 6/15/2023 . . . . . . . . $ 105,000 $ 109,6183.95%, 5/28/2024 . . . . . . . . 124,000 129,7594.40%, 6/15/2028 . . . . . . . . 150,000 163,9894.95%, 2/15/2021 . . . . . . . . 249,000 257,247

Lockheed Martin Corp.:2.50%, 11/23/2020. . . . . . . . 311,000 312,1322.90%, 3/1/2025 . . . . . . . . . 350,000 360,0833.10%, 1/15/2023 . . . . . . . . 100,000 102,7053.35%, 9/15/2021 . . . . . . . . 161,000 164,9803.55%, 1/15/2026 . . . . . . . . 548,000 582,7383.60%, 3/1/2035 . . . . . . . . . 29,000 30,0633.80%, 3/1/2045 . . . . . . . . . 250,000 265,7124.07%, 12/15/2042. . . . . . . . 125,000 137,7044.70%, 5/15/2046 . . . . . . . . 236,000 286,176

Northrop Grumman Corp.:2.08%, 10/15/2020. . . . . . . . 223,000 222,6502.93%, 1/15/2025 . . . . . . . . 250,000 254,5323.20%, 2/1/2027 . . . . . . . . . 487,000 498,9023.25%, 8/1/2023 . . . . . . . . . 205,000 211,9723.25%, 1/15/2028 . . . . . . . . 224,000 230,0233.85%, 4/15/2045 . . . . . . . . 320,000 329,6704.03%, 10/15/2047. . . . . . . . 520,000 554,5384.75%, 6/1/2043 . . . . . . . . . 200,000 231,4405.05%, 11/15/2040. . . . . . . . 20,000 23,606

Raytheon Co.:2.50%, 12/15/2022. . . . . . . . 273,000 274,9713.13%, 10/15/2020. . . . . . . . 326,000 329,5764.20%, 12/15/2044. . . . . . . . 20,000 22,159

Rockwell Collins, Inc.:3.50%, 3/15/2027 (b) . . . . . . 176,000 183,8283.70%, 12/15/2023. . . . . . . . 100,000 104,7384.35%, 4/15/2047 . . . . . . . . 400,000 438,6404.80%, 12/15/2043. . . . . . . . 407,000 467,769

Spirit AeroSystems, Inc.:3.85%, 6/15/2026 . . . . . . . . 25,000 25,1864.60%, 6/15/2028 . . . . . . . . 100,000 105,379

United Technologies Corp.:1.95%, 11/1/2021 . . . . . . . . 376,000 372,9432.30%, 5/4/2022 . . . . . . . . . 200,000 199,9702.65%, 11/1/2026 . . . . . . . . 507,000 508,4043.10%, 6/1/2022 . . . . . . . . . 220,000 225,0603.13%, 5/4/2027 . . . . . . . . . 360,000 370,1813.35%, 8/16/2021 . . . . . . . . 177,000 180,9193.65%, 8/16/2023 . . . . . . . . 510,000 534,5003.75%, 11/1/2046 . . . . . . . . 237,000 241,0813.95%, 8/16/2025 . . . . . . . . 109,000 117,4284.05%, 5/4/2047 . . . . . . . . . 205,000 219,1844.13%, 11/16/2028. . . . . . . . 587,000 644,5384.15%, 5/15/2045 . . . . . . . . 425,000 457,0244.45%, 11/16/2038. . . . . . . . 80,000 89,7144.50%, 6/1/2042 . . . . . . . . . 293,000 330,3994.63%, 11/16/2048. . . . . . . . 200,000 232,9585.70%, 4/15/2040 . . . . . . . . 243,000 310,1006.05%, 6/1/2036 . . . . . . . . . 100,000 128,908

SPDR PORTFOLIO AGGREGATE BOND ETFSCHEDULE OF INVESTMENTSJune 30, 2019

1


7.50%, 9/15/2029 . . . . . . . . $ 85,000 $ 117,071

19,159,019


3.80%, 2/14/2024 . . . . . . . . 375,000 391,1554.00%, 1/31/2024 . . . . . . . . 511,000 537,4394.40%, 2/14/2026 . . . . . . . . 425,000 454,7804.75%, 5/5/2021 . . . . . . . . . 110,000 114,5964.80%, 2/14/2029 . . . . . . . . 560,000 603,8485.38%, 1/31/2044 . . . . . . . . 275,000 295,0205.95%, 2/14/2049 . . . . . . . . 560,000 636,7546.20%, 2/14/2059 . . . . . . . . 1,000,000 1,146,120

Archer-Daniels-Midland Co.:2.50%, 8/11/2026 . . . . . . . . 331,000 331,3213.38%, 3/15/2022 . . . . . . . . 60,000 62,0603.75%, 9/15/2047 . . . . . . . . 115,000 118,9364.48%, 3/1/2021 . . . . . . . . . 200,000 207,226

BAT Capital Corp.:2.30%, 8/14/2020 . . . . . . . . 139,000 138,7002.76%, 8/15/2022 . . . . . . . . 131,000 131,2253.22%, 8/15/2024 . . . . . . . . 532,000 536,1444.39%, 8/15/2037 . . . . . . . . 571,000 542,5364.54%, 8/15/2047 . . . . . . . . 867,000 806,154

Bunge, Ltd. Finance Corp.:3.00%, 9/25/2022 . . . . . . . . 122,000 122,5643.25%, 8/15/2026 . . . . . . . . 240,000 232,3753.50%, 11/24/2020. . . . . . . . 75,000 75,8773.75%, 9/25/2027 . . . . . . . . 70,000 69,4674.35%, 3/15/2024 . . . . . . . . 260,000 272,176

Philip Morris International, Inc.:1.88%, 2/25/2021 . . . . . . . . 222,000 220,6102.13%, 5/10/2023 . . . . . . . . 97,000 95,9282.38%, 8/17/2022 . . . . . . . . 135,000 135,3212.50%, 8/22/2022 . . . . . . . . 361,000 362,6612.50%, 11/2/2022 . . . . . . . . 235,000 235,9352.63%, 3/6/2023 . . . . . . . . . 250,000 251,6402.75%, 2/25/2026 . . . . . . . . 71,000 71,1852.88%, 5/1/2024 . . . . . . . . . 206,000 209,1622.90%, 11/15/2021. . . . . . . . 310,000 314,0703.13%, 3/2/2028 . . . . . . . . . 150,000 152,3993.38%, 8/11/2025 . . . . . . . . 793,000 826,4253.38%, 8/15/2029 . . . . . . . . 200,000 205,9544.13%, 3/4/2043 . . . . . . . . . 124,000 126,6184.25%, 11/10/2044. . . . . . . . 620,000 648,532

Reynolds American, Inc.:4.00%, 6/12/2022 . . . . . . . . 100,000 103,7324.45%, 6/12/2025 . . . . . . . . 1,171,000 1,242,1155.85%, 8/15/2045 . . . . . . . . 525,000 564,847

13,593,607

AIRLINES — 0.1%American Airlines 2013-2 Pass

Through TrustSeries 2013-2, Class A,4.95%, 7/15/2024 . . . . . . . . 89,357 93,689


American Airlines 2014-1 PassThrough TrustSeries A, Class A, 3.70%,4/1/2028 . . . . . . . . . . . . . . $ 75,192 $ 77,707

American Airlines 2015-1 PassThrough TrustSeries A, Class A, 3.38%,11/1/2028 . . . . . . . . . . . . . 466,416 475,287

American Airlines 2015-2 PassThrough TrustSeries AA, Class AA, 3.60%,3/22/2029 . . . . . . . . . . . . . 85,792 88,967


American Airlines 2016-2 PassThrough TrustSeries AA, Class AA, 3.20%,12/15/2029. . . . . . . . . . . . . 21,925 22,092


Continental Airlines 2012-1 PassThrough TrustSeries A, Class A, 4.15%,10/11/2025. . . . . . . . . . . . . 70,469 73,867

Continental Airlines 2012-2 PassThrough TrustSeries 2-A, Class A, 4.00%,4/29/2026 . . . . . . . . . . . . . 14,471 15,126

Delta Air Lines 2019-1 PassThrough TrustSeries AA, Class AA, 3.20%,10/25/2025. . . . . . . . . . . . . 50,000 51,702

Delta Air Lines, Inc.:2.60%, 12/4/2020 . . . . . . . . 499,000 498,3163.40%, 4/19/2021 . . . . . . . . 195,000 197,6503.80%, 4/19/2023 . . . . . . . . 110,000 112,9284.38%, 4/19/2028 . . . . . . . . 210,000 214,187

Latam Airlines 2015-1 PassThrough TrustSeries 2015-1, Class A,4.20%, 8/15/2029 . . . . . . . . 186,694 188,368

Southwest Airlines Co.2.65%, 11/5/2020 . . . . . . . . 95,000 95,410

Spirit Airlines Pass ThroughTrustSeries 2015-1A, Class A,4.10%, 10/1/2029 . . . . . . . . 279,327 293,025

United Airlines 2013-1 PassThrough TrustSeries A, Class A, 4.30%,2/15/2027 . . . . . . . . . . . . . 77,757 82,565


2


United Airlines 2014-2 PassThrough TrustSeries A, Class A, 3.75%,3/3/2028 . . . . . . . . . . . . . . $ 368,663 $ 382,754

United Airlines 2016-1 PassThrough TrustSeries AA, Class AA, 3.10%,1/7/2030 . . . . . . . . . . . . . . 331,505 332,994


United Airlines 2019-1 PassThrough TrustSeries AA, Class AA, 4.15%,2/25/2033 . . . . . . . . . . . . . 120,000 128,141

3,747,772

APPAREL — 0.0% (a)NIKE, Inc.:

2.25%, 5/1/2023 . . . . . . . . . 390,000 392,5782.38%, 11/1/2026 . . . . . . . . 156,000 156,2483.38%, 11/1/2046 . . . . . . . . 65,000 64,2373.88%, 11/1/2045 . . . . . . . . 57,000 61,350

Ralph Lauren Corp.3.75%, 9/15/2025 . . . . . . . . 250,000 264,358

938,771



9/9/2021 . . . . . . . . . . . . 213,000 210,512Series GMTN, 3.15%,

1/8/2021 . . . . . . . . . . . . 100,000 101,358Series GMTN, 3.50%,

2/15/2028. . . . . . . . . . . . 125,000 131,614Series MTN, 2.20%,

6/27/2022. . . . . . . . . . . . 200,000 199,878Series MTN, 2.40%,

6/27/2024. . . . . . . . . . . . 200,000 199,900Series MTN, 2.90%,

2/16/2024. . . . . . . . . . . . 625,000 637,337Series MTN, 3.38%,

12/10/2021 . . . . . . . . . . . 100,000 102,591Series MTN, 3.63%,

10/10/2023 . . . . . . . . . . . 150,000 157,628Daimler Finance North

America LLC8.50%, 1/18/2031 . . . . . . . . 575,000 855,640

Ford Motor Co.:5.29%, 12/8/2046 . . . . . . . . 187,000 173,8976.63%, 10/1/2028 . . . . . . . . 100,000 112,7747.40%, 11/1/2046 . . . . . . . . 286,000 323,2837.45%, 7/16/2031 . . . . . . . . 275,000 325,292

Ford Motor Credit Co. LLC:2.34%, 11/2/2020 . . . . . . . . 225,000 223,1693.10%, 5/4/2023 . . . . . . . . . 279,000 274,290


3.16%, 8/4/2020 . . . . . . . . . $ 170,000 $ 170,5023.20%, 1/15/2021 . . . . . . . . 212,000 212,9143.22%, 1/9/2022 . . . . . . . . . 98,000 98,0523.34%, 3/18/2021 . . . . . . . . 557,000 559,3003.47%, 4/5/2021 . . . . . . . . . 100,000 100,6293.81%, 10/12/2021. . . . . . . . 200,000 202,8423.82%, 11/2/2027 (b) . . . . . . 530,000 507,0884.13%, 8/4/2025 . . . . . . . . . 299,000 299,3204.14%, 2/15/2023 . . . . . . . . 422,000 430,5294.25%, 9/20/2022 (b) . . . . . . 350,000 359,5094.38%, 8/6/2023 . . . . . . . . . 483,000 496,1285.11%, 5/3/2029 . . . . . . . . . 224,000 228,8725.75%, 2/1/2021 . . . . . . . . . 500,000 520,4505.88%, 8/2/2021 . . . . . . . . . 370,000 390,102Series GMTN, 4.39%,

1/8/2026 . . . . . . . . . . . . 548,000 549,699General Motors Co.:

4.20%, 10/1/2027 . . . . . . . . 108,000 109,0794.88%, 10/2/2023 . . . . . . . . 260,000 275,7955.15%, 4/1/2038 . . . . . . . . . 195,000 192,9995.40%, 4/1/2048 . . . . . . . . . 610,000 594,5735.95%, 4/1/2049 . . . . . . . . . 205,000 215,2626.60%, 4/1/2036 . . . . . . . . . 331,000 365,729

General Motors Financial Co.,Inc.:3.20%, 7/13/2020 . . . . . . . . 690,000 692,2293.20%, 7/6/2021 . . . . . . . . . 258,000 259,8863.25%, 1/5/2023 . . . . . . . . . 567,000 568,9733.45%, 1/14/2022 . . . . . . . . 425,000 431,2183.45%, 4/10/2022 . . . . . . . . 225,000 228,0153.50%, 11/7/2024 . . . . . . . . 200,000 199,7423.55%, 7/8/2022 . . . . . . . . . 450,000 457,8663.70%, 11/24/2020. . . . . . . . 60,000 60,7523.70%, 5/9/2023 . . . . . . . . . 184,000 186,7673.85%, 1/5/2028 . . . . . . . . . 458,000 448,7353.95%, 4/13/2024 . . . . . . . . 308,000 315,0224.00%, 1/15/2025 . . . . . . . . 250,000 253,7254.00%, 10/6/2026 . . . . . . . . 253,000 255,5124.20%, 3/1/2021 . . . . . . . . . 50,000 51,0774.20%, 11/6/2021 . . . . . . . . 313,000 322,2434.30%, 7/13/2025 . . . . . . . . 329,000 338,8474.35%, 4/9/2025 . . . . . . . . . 200,000 206,7204.35%, 1/17/2027 . . . . . . . . 205,000 208,9675.10%, 1/17/2024 . . . . . . . . 215,000 229,8845.65%, 1/17/2029 . . . . . . . . 200,000 219,816

PACCAR Financial Corp.:Series MTN, 2.30%,

8/10/2022. . . . . . . . . . . . 150,000 150,353Series MTN, 2.65%,


5/10/2021. . . . . . . . . . . . 318,000 323,043Toyota Motor Corp.:

2.16%, 7/2/2022 (c) . . . . . . . 110,000 110,1182.36%, 7/2/2024 (c) . . . . . . . 145,000 145,226


3


2.76%, 7/2/2029 (c) . . . . . . . $ 145,000 $ 146,0883.18%, 7/20/2021 . . . . . . . . 100,000 102,0413.42%, 7/20/2023 . . . . . . . . 150,000 156,3713.67%, 7/20/2028 . . . . . . . . 105,000 113,506

Toyota Motor Credit Corp.:Series GMTN, 1.90%,

4/8/2021 . . . . . . . . . . . . 110,000 109,518Series GMTN, 2.70%,

1/11/2023. . . . . . . . . . . . 258,000 262,187Series GMTN, 3.05%,

1/8/2021 . . . . . . . . . . . . 205,000 207,804Series GMTN, 3.05%,


10/18/2023 . . . . . . . . . . . 100,000 100,001Series MTN, 2.60%,

1/11/2022. . . . . . . . . . . . 217,000 219,255Series MTN, 2.63%,

1/10/2023. . . . . . . . . . . . 125,000 126,601Series MTN, 2.65%,

4/12/2022. . . . . . . . . . . . 200,000 202,700Series MTN, 2.75%,

5/17/2021. . . . . . . . . . . . 300,000 303,252Series MTN, 2.95%,

4/13/2021. . . . . . . . . . . . 275,000 278,710Series MTN, 3.30%,

1/12/2022. . . . . . . . . . . . 192,000 197,324Series MTN, 3.40%,

4/14/2025. . . . . . . . . . . . 150,000 158,244

21,057,628

AUTO PARTS &EQUIPMENT — 0.0% (a)

Aptiv Corp.4.15%, 3/15/2024 . . . . . . . . 140,000 147,552

Aptiv PLC4.40%, 10/1/2046 . . . . . . . . 110,000 102,814

Aptiv PLC :4.35%, 3/15/2029 . . . . . . . . 245,000 257,6475.40%, 3/15/2049 . . . . . . . . 100,000 105,369

Lear Corp.:4.25%, 5/15/2029 . . . . . . . . 125,000 126,1005.25%, 1/15/2025 . . . . . . . . 100,000 103,4825.25%, 5/15/2049 . . . . . . . . 85,000 83,989

Magna International, Inc.3.63%, 6/15/2024 . . . . . . . . 100,000 104,426

1,031,379

BANKS — 5.5%Associated Bank NA

Series BKNT, 3.50%,8/13/2021 . . . . . . . . . . . . . 111,000 113,061

Australia & New ZealandBanking Group, Ltd.:2.55%, 11/23/2021. . . . . . . . 313,000 314,706


Series MTN, 2.25%,11/9/2020. . . . . . . . . . . . $ 250,000 $ 250,065

Series MTN, 2.30%, 6/1/2021. 300,000 300,117Banco Santander SA:

2.71%, 6/27/2024 . . . . . . . . 200,000 200,5823.13%, 2/23/2023 . . . . . . . . 346,000 351,1353.31%, 6/27/2029 . . . . . . . . 200,000 201,6783.80%, 2/23/2028 . . . . . . . . 752,000 767,1683.85%, 4/12/2023 . . . . . . . . 407,000 422,1574.25%, 4/11/2027 . . . . . . . . 272,000 285,7144.38%, 4/12/2028 (b) . . . . . . 403,000 428,0755.18%, 11/19/2025. . . . . . . . 233,000 253,478

Bancolombia SA5.95%, 6/3/2021 . . . . . . . . . 592,000 625,341

Bank of America Corp.:4.10%, 7/24/2023 . . . . . . . . 825,000 880,1595.70%, 1/24/2022 . . . . . . . . 106,000 115,0056.22%, 9/15/2026 . . . . . . . . 100,000 116,6317.75%, 5/14/2038 . . . . . . . . 72,000 106,6213 Month USD LIBOR +

0.37%, 2.74%, 1/23/2022(d) . . . . . . . . . . . . . . . . 596,000 598,575

3 Month USD LIBOR +0.78%, 3.55%, 3/5/2024(d) . . . . . . . . . . . . . . . . 905,000 937,879

3 Month USD LIBOR +0.79%, 3.00%, 12/20/2023(d) . . . . . . . . . . . . . . . . 1,000,000 1,017,430

3 Month USD LIBOR +0.81%, 3.37%, 1/23/2026(d) . . . . . . . . . . . . . . . . 184,000 189,542

3 Month USD LIBOR +1.02%, 2.88%, 4/24/2023(d) . . . . . . . . . . . . . . . . 730,000 738,461

3 Month USD LIBOR +1.04%, 3.42%, 12/20/2028(d) . . . . . . . . . . . . . . . . 970,000 997,878

3 Month USD LIBOR +1.19%, 3.95%, 1/23/2049(d) . . . . . . . . . . . . . . . . 155,000 163,998

3 Month USD LIBOR +1.51%, 3.71%, 4/24/2028(d) . . . . . . . . . . . . . . . . 371,000 388,953

Series GMTN, 2.63%,4/19/2021. . . . . . . . . . . . 342,000 344,049

Series GMTN, 3.50%,4/19/2026. . . . . . . . . . . . 926,000 967,596

Series GMTN, 3 Month USDLIBOR + 0.66%, 2.37%,7/21/2021 (d) . . . . . . . . . 205,000 204,791



Series L, 3.95%, 4/21/2025 . . 191,000 200,313


4


Series L, 4.75%, 4/21/2045 . . $ 420,000 $ 480,064Series MTN, 2.50%,

10/21/2022 . . . . . . . . . . . 536,000 537,297Series MTN, 2.63%,

10/19/2020 . . . . . . . . . . . 100,000 100,335Series MTN, 3.25%,

10/21/2027 . . . . . . . . . . . 581,000 594,741Series MTN, 3.88%, 8/1/2025. 497,000 531,616Series MTN, 4.00%, 4/1/2024. 142,000 151,494Series MTN, 4.00%,

1/22/2025. . . . . . . . . . . . 200,000 210,294Series MTN, 4.13%,

1/22/2024. . . . . . . . . . . . 362,000 386,913Series MTN, 4.20%,

8/26/2024. . . . . . . . . . . . 467,000 496,379Series MTN, 4.25%,

10/22/2026 . . . . . . . . . . . 357,000 381,544Series MTN, 4.45%, 3/3/2026. 901,000 972,116Series MTN, 4.88%, 4/1/2044. 612,000 731,811Series MTN, 5.00%,

5/13/2021. . . . . . . . . . . . 150,000 157,229Series MTN, 5.88%, 2/7/2042. 591,000 787,348Series MTN, 3 Month USD

LIBOR + 0.63%, 2.33%,10/1/2021 (d) . . . . . . . . . 554,000 552,992

Series MTN, 3 Month USDLIBOR + 0.63%, 3.50%,5/17/2022 (d) . . . . . . . . . 500,000 509,725




Series MTN, 3 Month USDLIBOR + 1.07%, 3.97%,3/5/2029 (d) . . . . . . . . . . 613,000 654,230



Series MTN, 3 Month USDLIBOR + 1.21%, 3.97%,2/7/2030 (d) . . . . . . . . . . 685,000 733,409





Series MTN, 3 Month USDLIBOR + 1.58%, 3.82%,1/20/2028 (d) . . . . . . . . . $ 439,000 $ 463,847


Bank of America NA3 Month USD LIBOR +0.65%, 3.34%, 1/25/2023 (d) . 165,000 169,303

Bank of Montreal:Series D, 3.10%, 4/13/2021 . . 123,000 124,899Series E, 3.30%, 2/5/2024 . . . 370,000 383,079Series MTN, 1.90%,

8/27/2021. . . . . . . . . . . . 1,050,000 1,042,692Series MTN, 2.35%,

9/11/2022. . . . . . . . . . . . 470,000 471,354Series MTN, 2.50%,

6/28/2024. . . . . . . . . . . . 135,000 135,126Series MTN, 2.90%,

3/26/2022. . . . . . . . . . . . 250,000 253,860Bank of New York Mellon Corp.:

3.40%, 5/15/2024 . . . . . . . . 75,000 78,3423.55%, 9/23/2021 . . . . . . . . 213,000 218,779Series G, 3.00%, 2/24/2025 . . 241,000 247,702Series MTN, 2.05%, 5/3/2021. 425,000 424,222Series MTN, 2.45%,

11/27/2020 . . . . . . . . . . . 287,000 288,137Series MTN, 2.50%,

4/15/2021. . . . . . . . . . . . 154,000 154,845Series MTN, 2.60%,


10/30/2028 . . . . . . . . . . . 119,000 120,236Series MTN, 3.25%,

9/11/2024. . . . . . . . . . . . 250,000 259,543Series MTN, 3.30%,

8/23/2029. . . . . . . . . . . . 155,000 160,623Series MTN, 3.45%,

8/11/2023. . . . . . . . . . . . 250,000 260,668Series MTN, 3.95%,

11/18/2025 . . . . . . . . . . . 625,000 675,731Series MTN, 4.15%, 2/1/2021. 267,000 274,991Series MTN, 3 Month USD

LIBOR + 0.63%, 2.66%,5/16/2023 (d) . . . . . . . . . 368,000 370,819

Bank of Nova Scotia:1.88%, 4/26/2021 . . . . . . . . 1,000,000 997,2802.35%, 10/21/2020. . . . . . . . 192,000 192,3152.70%, 3/7/2022 . . . . . . . . . 733,000 743,0643.40%, 2/11/2024 (b) . . . . . . 304,000 316,297Series BKNT, 2.45%,

3/22/2021. . . . . . . . . . . . 107,000 107,464Series BKNT, 2.45%,

9/19/2022. . . . . . . . . . . . 33,000 33,279Series BKNT, 2.50%,

1/8/2021 . . . . . . . . . . . . 650,000 652,769


5


Series BKNT, 3.13%,4/20/2021. . . . . . . . . . . . $ 160,000 $ 162,632

BankUnited, Inc.4.88%, 11/17/2025. . . . . . . . 100,000 108,471

Barclays Bank PLC:2.65%, 1/11/2021 . . . . . . . . 500,000 500,8655.14%, 10/14/2020. . . . . . . . 183,000 188,186

Barclays PLC:3.25%, 1/12/2021 . . . . . . . . 693,000 698,3573.65%, 3/16/2025 . . . . . . . . 184,000 184,9203.68%, 1/10/2023 . . . . . . . . 185,000 187,5384.34%, 1/10/2028 . . . . . . . . 458,000 468,8504.38%, 1/12/2026 . . . . . . . . 660,000 685,1724.95%, 1/10/2047 . . . . . . . . 534,000 558,9115.25%, 8/17/2045 . . . . . . . . 625,000 679,1253 Month USD LIBOR +

1.40%, 4.61%, 2/15/2023(d) . . . . . . . . . . . . . . . . 350,000 362,243

3 Month USD LIBOR +1.61%, 3.93%, 5/7/2025(d) . . . . . . . . . . . . . . . . 250,000 254,388


10/26/2024 . . . . . . . . . . . 107,000 109,619Series MTN, 3.05%,

6/20/2022. . . . . . . . . . . . 200,000 204,320Series MTN, 3.75%,

12/6/2023. . . . . . . . . . . . 200,000 211,716Series MTN, 3.88%,

3/19/2029. . . . . . . . . . . . 200,000 213,648Series MTN, 3.95%,

3/22/2022. . . . . . . . . . . . 345,000 358,748BNP Paribas SA:

Series BKNT, 5.00%,1/15/2021. . . . . . . . . . . . 579,000 602,293

Series MTN, 3.25%, 3/3/2023. 152,000 156,899Series MTN, 4.25%,

10/15/2024 . . . . . . . . . . . 100,000 105,107BPCE SA:

4.00%, 4/15/2024 . . . . . . . . 112,000 119,217Series BKNT, 2.65%,

2/3/2021 . . . . . . . . . . . . 272,000 273,325Series MTN, 2.75%,

12/2/2021. . . . . . . . . . . . 100,000 100,942Series MTN, 3.38%,

12/2/2026. . . . . . . . . . . . 206,000 212,355Branch Banking & Trust Co.:

Series BKNT, 3.63%,9/16/2025. . . . . . . . . . . . 255,000 268,074

Series BKNT, 3.80%,10/30/2026 . . . . . . . . . . . 250,000 265,757

Canadian Imperial Bank ofCommerce:2.55%, 6/16/2022 . . . . . . . . 103,000 104,0922.70%, 2/2/2021 . . . . . . . . . 475,000 478,4293.10%, 4/2/2024 . . . . . . . . . 200,000 204,376


Series BKNT, 2.10%,10/5/2020. . . . . . . . . . . . $ 235,000 $ 234,732

Series BKNT, 3.50%,9/13/2023 (b) . . . . . . . . . 150,000 157,040

Capital One Financial Corp.:3.20%, 1/30/2023 (b) . . . . . . 259,000 265,5063.20%, 2/5/2025 . . . . . . . . . 108,000 109,9973.30%, 10/30/2024. . . . . . . . 263,000 269,7303.75%, 7/28/2026 . . . . . . . . 433,000 440,7423.75%, 3/9/2027 . . . . . . . . . 420,000 433,4233.80%, 1/31/2028 . . . . . . . . 350,000 361,5744.20%, 10/29/2025. . . . . . . . 360,000 378,860

Capital One NASeries BKNT, 2.25%,9/13/2021 . . . . . . . . . . . . . 300,000 298,872

Citibank NA:Series BKNT, 2.13%,

10/20/2020 . . . . . . . . . . . 409,000 408,145Series BKNT, 2.85%,

2/12/2021. . . . . . . . . . . . 675,000 680,366Series BKNT, 3.40%,

7/23/2021. . . . . . . . . . . . 300,000 306,318Series BKNT, 3.65%,

1/23/2024. . . . . . . . . . . . 454,000 477,594Series BKNT, 3 Month USD

LIBOR + 0.53%, 3.17%,2/19/2022 (d) . . . . . . . . . 1,037,000 1,048,604

Series BKNT, 3 Month USDLIBOR + 0.60%, 2.84%,5/20/2022 (d) . . . . . . . . . 250,000 252,053

Citigroup, Inc.:2.65%, 10/26/2020. . . . . . . . 567,000 568,8372.70%, 3/30/2021 . . . . . . . . 280,000 281,3972.70%, 10/27/2022. . . . . . . . 373,000 375,8352.75%, 4/25/2022 . . . . . . . . 469,000 473,3802.90%, 12/8/2021 . . . . . . . . 540,000 546,0863.20%, 10/21/2026. . . . . . . . 504,000 514,3523.40%, 5/1/2026 . . . . . . . . . 437,000 452,3783.70%, 1/12/2026 . . . . . . . . 284,000 298,9843.75%, 6/16/2024 . . . . . . . . 100,000 105,4543.88%, 10/25/2023. . . . . . . . 300,000 317,1723.88%, 3/26/2025 . . . . . . . . 199,000 207,5254.13%, 7/25/2028 . . . . . . . . 236,000 249,7424.40%, 6/10/2025 . . . . . . . . 499,000 533,0474.45%, 9/29/2027 . . . . . . . . 443,000 477,3104.50%, 1/14/2022 . . . . . . . . 660,000 693,9904.60%, 3/9/2026 . . . . . . . . . 338,000 365,5504.65%, 7/30/2045 . . . . . . . . 284,000 326,3934.65%, 7/23/2048 . . . . . . . . 500,000 582,2404.75%, 5/18/2046 . . . . . . . . 226,000 255,6746.00%, 10/31/2033. . . . . . . . 50,000 61,4318.13%, 7/15/2039 . . . . . . . . 351,000 561,0703 Month USD LIBOR +

0.72%, 3.14%, 1/24/2023(d) . . . . . . . . . . . . . . . . 614,000 623,928


6


3 Month USD LIBOR +0.90%, 3.35%, 4/24/2025(d) . . . . . . . . . . . . . . . . $ 356,000 $ 367,570

3 Month USD LIBOR +0.95%, 2.88%, 7/24/2023(d) . . . . . . . . . . . . . . . . 273,000 276,309

3 Month USD LIBOR +1.02%, 4.04%, 6/1/2024(d) . . . . . . . . . . . . . . . . 200,000 211,258

3 Month USD LIBOR +1.17%, 3.88%, 1/24/2039(d) . . . . . . . . . . . . . . . . 784,000 816,505

3 Month USD LIBOR +1.19%, 4.08%, 4/23/2029(d) . . . . . . . . . . . . . . . . 205,000 220,240

3 Month USD LIBOR +1.34%, 3.98%, 3/20/2030(d) . . . . . . . . . . . . . . . . 1,250,000 1,335,912

3 Month USD LIBOR +1.39%, 3.67%, 7/24/2028(d) . . . . . . . . . . . . . . . . 344,000 358,854

3 Month USD LIBOR +1.56%, 3.89%, 1/10/2028(d) . . . . . . . . . . . . . . . . 292,000 308,521

3 Month USD LIBOR +1.15%, 3.52%, 10/27/2028(d) . . . . . . . . . . . . . . . . 1,259,000 1,299,288

Citizens Bank NA:Series BKNT, 2.65%,

5/26/2022. . . . . . . . . . . . 163,000 164,004Series BKNT, 3.25%,

2/14/2022. . . . . . . . . . . . 150,000 152,744Series BKNT, 3.75%,

2/18/2026. . . . . . . . . . . . 250,000 263,200Citizens Bank NA/Providence RI

Series BKNT, 2.55%,5/13/2021 . . . . . . . . . . . . . 380,000 381,091

Citizens Financial Group, Inc.4.30%, 12/3/2025 . . . . . . . . 426,000 450,614

Comerica, Inc.:3.70%, 7/31/2023 . . . . . . . . 300,000 313,9564.00%, 2/1/2029 . . . . . . . . . 200,000 214,876

Compass BankSeries BKNT, 2.88%,6/29/2022 . . . . . . . . . . . . . 300,000 302,661

Cooperatieve Rabobank UA:2.75%, 1/10/2022 . . . . . . . . 400,000 404,3042.75%, 1/10/2023 . . . . . . . . 761,000 770,5813.13%, 4/26/2021 . . . . . . . . 250,000 253,9483.88%, 2/8/2022 . . . . . . . . . 1,794,000 1,866,1553.95%, 11/9/2022 . . . . . . . . 150,000 155,6724.63%, 12/1/2023 . . . . . . . . 500,000 535,2605.25%, 8/4/2045 . . . . . . . . . 140,000 168,948Series GMTN, 2.50%,

1/19/2021. . . . . . . . . . . . 476,000 477,652Credit Suisse AG:

3.00%, 10/29/2021. . . . . . . . 719,000 729,461


Series MTN, 4.38%, 8/5/2020. $ 261,000 $ 266,520Credit Suisse Group Funding

Guernsey, Ltd.:3.13%, 12/10/2020. . . . . . . . 502,000 506,0463.45%, 4/16/2021 . . . . . . . . 388,000 394,0993.75%, 3/26/2025 . . . . . . . . 508,000 529,5543.80%, 9/15/2022 . . . . . . . . 263,000 272,8443.80%, 6/9/2023 . . . . . . . . . 225,000 234,0254.55%, 4/17/2026 . . . . . . . . 149,000 161,7504.88%, 5/15/2045 . . . . . . . . 388,000 453,696

Deutsche Bank AG:2.95%, 8/20/2020 . . . . . . . . 860,000 854,7633.13%, 1/13/2021 . . . . . . . . 115,000 113,9773.15%, 1/22/2021 . . . . . . . . 159,000 157,7523.30%, 11/16/2022. . . . . . . . 456,000 449,3883.38%, 5/12/2021 . . . . . . . . 433,000 430,5803.95%, 2/27/2023 . . . . . . . . 225,000 225,0814.10%, 1/13/2026 . . . . . . . . 210,000 207,2414.25%, 2/4/2021 . . . . . . . . . 500,000 504,3954.25%, 10/14/2021. . . . . . . . 700,000 709,352

Discover Bank:Series BKNT, 3.20%,

8/9/2021 . . . . . . . . . . . . 192,000 194,978Series BKNT, 3.35%,

2/6/2023 . . . . . . . . . . . . 200,000 204,742Series BKNT, 3.45%,

7/27/2026. . . . . . . . . . . . 186,000 188,678Series BKNT, 4.20%,

8/8/2023 . . . . . . . . . . . . 359,000 380,974Series BKNT, USD 5 Year

Swap Rate + 1.73%,4.68%, 8/9/2028 (d) . . . . . 500,000 518,365

Fifth Third Bancorp:2.60%, 6/15/2022 . . . . . . . . 150,000 150,9383.50%, 3/15/2022 . . . . . . . . 388,000 399,2483.95%, 3/14/2028 . . . . . . . . 136,000 146,5634.30%, 1/16/2024 . . . . . . . . 174,000 185,7388.25%, 3/1/2038 . . . . . . . . . 352,000 519,489


10/30/2020 . . . . . . . . . . . 200,000 199,760Series BKNT, 3.35%,

7/26/2021. . . . . . . . . . . . 200,000 204,082Series BKNT, 3.85%,

3/15/2026. . . . . . . . . . . . 200,000 211,024Series BKNT, 3.95%,

7/28/2025. . . . . . . . . . . . 200,000 215,764Goldman Sachs Capital I

6.35%, 2/15/2034 . . . . . . . . 775,000 968,091Goldman Sachs Group, Inc.:

2.35%, 11/15/2021. . . . . . . . 947,000 945,1342.60%, 12/27/2020. . . . . . . . 602,000 602,5722.63%, 4/25/2021 . . . . . . . . 245,000 245,8802.75%, 9/15/2020 . . . . . . . . 248,000 249,0222.88%, 2/25/2021 . . . . . . . . 366,000 368,6173.00%, 4/26/2022 . . . . . . . . 173,000 174,566


7


3.20%, 2/23/2023 . . . . . . . . $ 280,000 $ 286,6053.50%, 1/23/2025 . . . . . . . . 262,000 271,2073.50%, 11/16/2026. . . . . . . . 800,000 818,9683.63%, 2/20/2024 (b) . . . . . . 300,000 312,9033.75%, 5/22/2025 . . . . . . . . 162,000 169,4703.75%, 2/25/2026 . . . . . . . . 370,000 386,3873.85%, 1/26/2027 . . . . . . . . 831,000 868,2624.00%, 3/3/2024 . . . . . . . . . 554,000 587,5564.25%, 10/21/2025. . . . . . . . 429,000 455,0195.15%, 5/22/2045 . . . . . . . . 222,000 253,6315.25%, 7/27/2021 . . . . . . . . 1,262,000 1,334,3005.75%, 1/24/2022 . . . . . . . . 542,000 585,8695.95%, 1/15/2027 . . . . . . . . 278,000 325,3686.25%, 2/1/2041 . . . . . . . . . 500,000 668,4056.45%, 5/1/2036 . . . . . . . . . 100,000 125,9056.75%, 10/1/2037 . . . . . . . . 1,244,000 1,628,0103 Month USD LIBOR +

0.99%, 2.91%, 7/24/2023(d) . . . . . . . . . . . . . . . . 443,000 447,364

3 Month USD LIBOR +1.05%, 2.91%, 6/5/2023(d) . . . . . . . . . . . . . . . . 547,000 552,711

3 Month USD LIBOR +1.16%, 3.81%, 4/23/2029(d) . . . . . . . . . . . . . . . . 487,000 506,300

3 Month USD LIBOR +1.30%, 4.22%, 5/1/2029(d) . . . . . . . . . . . . . . . . 676,000 723,516

3 Month USD LIBOR +1.37%, 4.02%, 10/31/2038(d) . . . . . . . . . . . . . . . . 449,000 462,286

3 Month USD LIBOR +1.43%, 4.41%, 4/23/2039(d) . . . . . . . . . . . . . . . . 484,000 521,999

3 Month USD LIBOR +1.51%, 3.69%, 6/5/2028(d) . . . . . . . . . . . . . . . . 253,000 261,172

3 Month USD LIBOR +0.82%, 2.88%, 10/31/2022(d) . . . . . . . . . . . . . . . . 259,000 261,023

Series MTN, 3.85%, 7/8/2024. 410,000 430,328Series MTN, 4.80%, 7/8/2044. 279,000 320,895

HSBC Bank USA NASeries BKNT, 4.88%,8/24/2020 . . . . . . . . . . . . . 300,000 307,992

HSBC Holdings PLC:2.95%, 5/25/2021 . . . . . . . . 1,234,000 1,243,8233.40%, 3/8/2021 . . . . . . . . . 227,000 230,5683.60%, 5/25/2023 . . . . . . . . 585,000 608,5234.00%, 3/30/2022 . . . . . . . . 264,000 275,0994.30%, 3/8/2026 . . . . . . . . . 642,000 687,3324.38%, 11/23/2026. . . . . . . . 636,000 673,0854.88%, 1/14/2022 . . . . . . . . 400,000 423,7685.10%, 4/5/2021 . . . . . . . . . 468,000 488,9625.25%, 3/14/2044 . . . . . . . . 424,000 493,7566.10%, 1/14/2042 (b) . . . . . . 240,000 330,3266.50%, 5/2/2036 . . . . . . . . . 346,000 448,073


6.50%, 9/15/2037 . . . . . . . . $ 1,448,000 $ 1,887,6716.80%, 6/1/2038 . . . . . . . . . 570,000 768,7193 Month USD LIBOR +

0.99%, 3.95%, 5/18/2024(d) . . . . . . . . . . . . . . . . 250,000 261,198

3 Month USD LIBOR +1.06%, 3.26%, 3/13/2023(d) . . . . . . . . . . . . . . . . 744,000 756,990

3 Month USD LIBOR +1.21%, 3.80%, 3/11/2025(d) . . . . . . . . . . . . . . . . 215,000 223,821

3 Month USD LIBOR +1.35%, 4.29%, 9/12/2026(d) . . . . . . . . . . . . . . . . 625,000 665,206

3 Month USD LIBOR +1.55%, 4.04%, 3/13/2028(d) . . . . . . . . . . . . . . . . 702,000 736,433

3 Month USD LIBOR +1.61%, 3.97%, 5/22/2030(d) . . . . . . . . . . . . . . . . 318,000 331,967

3 Month USD LIBOR +0.92%, 3.03%, 11/22/2023(d) . . . . . . . . . . . . . . . . 244,000 247,135

Huntington Bancshares, Inc.3.15%, 3/14/2021 . . . . . . . . 307,000 310,837

Huntington National Bank:Series BKNT, 2.50%,

8/7/2022 . . . . . . . . . . . . 325,000 326,895Series BKNT, 2.88%,

8/20/2020. . . . . . . . . . . . 150,000 150,830Series BKNT, 3.13%,

4/1/2022 . . . . . . . . . . . . 475,000 484,923Series BKNT, 3.55%,

10/6/2023. . . . . . . . . . . . 250,000 261,712Industrial & Commercial Bank

of China, Ltd.:2.45%, 10/20/2021. . . . . . . . 250,000 248,9402.96%, 11/8/2022 . . . . . . . . 200,000 201,694

ING Groep NV:3.15%, 3/29/2022 . . . . . . . . 169,000 172,1423.55%, 4/9/2024 . . . . . . . . . 250,000 258,3453.95%, 3/29/2027 . . . . . . . . 128,000 134,5754.05%, 4/9/2029 (b) . . . . . . . 200,000 212,7664.10%, 10/2/2023 . . . . . . . . 561,000 592,416

Intesa Sanpaolo SpA5.25%, 1/12/2024 . . . . . . . . 120,000 127,604

JPMorgan Chase & Co.:2.40%, 6/7/2021 . . . . . . . . . 605,000 605,8172.55%, 10/29/2020. . . . . . . . 537,000 538,3162.70%, 5/18/2023 . . . . . . . . 410,000 414,2432.95%, 10/1/2026 . . . . . . . . 536,000 543,5473.13%, 1/23/2025 . . . . . . . . 1,559,000 1,602,5743.20%, 1/25/2023 . . . . . . . . 214,000 219,6823.20%, 6/15/2026 . . . . . . . . 1,138,000 1,172,2773.25%, 9/23/2022 . . . . . . . . 395,000 405,8313.30%, 4/1/2026 . . . . . . . . . 478,000 494,7543.63%, 5/13/2024 . . . . . . . . 457,000 481,184


8


3.63%, 12/1/2027 . . . . . . . . $ 87,000 $ 89,7904.13%, 12/15/2026. . . . . . . . 366,000 391,9714.25%, 10/15/2020. . . . . . . . 528,000 540,6934.25%, 10/1/2027 . . . . . . . . 261,000 282,3474.35%, 8/15/2021 . . . . . . . . 713,000 741,4774.40%, 7/22/2020 . . . . . . . . 880,000 899,4484.50%, 1/24/2022 . . . . . . . . 693,000 730,4504.63%, 5/10/2021 . . . . . . . . 225,000 234,2034.85%, 2/1/2044 . . . . . . . . . 580,000 692,4334.95%, 6/1/2045 . . . . . . . . . 355,000 420,0645.50%, 10/15/2040. . . . . . . . 150,000 191,1625.60%, 7/15/2041 . . . . . . . . 310,000 402,4516.40%, 5/15/2038 . . . . . . . . 267,000 367,8788.75%, 9/1/2030 . . . . . . . . . 25,000 35,5413 Month USD LIBOR +

0.61%, 3.51%, 6/18/2022(d) . . . . . . . . . . . . . . . . 750,000 766,312

3 Month USD LIBOR +0.70%, 3.21%, 4/1/2023(d) . . . . . . . . . . . . . . . . 806,000 822,160

3 Month USD LIBOR +0.73%, 3.56%, 4/23/2024(d) . . . . . . . . . . . . . . . . 571,000 591,876

3 Month USD LIBOR +0.89%, 3.80%, 7/23/2024(d) . . . . . . . . . . . . . . . . 450,000 471,343

3 Month USD LIBOR +0.94%, 2.78%, 4/25/2023(d) . . . . . . . . . . . . . . . . 494,000 498,737

3 Month USD LIBOR +0.95%, 3.51%, 1/23/2029(d) . . . . . . . . . . . . . . . . 462,000 478,974

3 Month USD LIBOR +1.00%, 4.02%, 12/5/2024(d) . . . . . . . . . . . . . . . . 268,000 284,613

3 Month USD LIBOR +1.16%, 3.22%, 3/1/2025(d) . . . . . . . . . . . . . . . . 244,000 250,615

3 Month USD LIBOR +1.16%, 3.70%, 5/6/2030(d) . . . . . . . . . . . . . . . . 175,000 184,532

3 Month USD LIBOR +1.22%, 3.90%, 1/23/2049(d) . . . . . . . . . . . . . . . . 1,090,000 1,144,511

3 Month USD LIBOR +1.25%, 3.96%, 1/29/2027(d) . . . . . . . . . . . . . . . . 560,000 599,021

3 Month USD LIBOR +1.26%, 4.20%, 7/23/2029(d) . . . . . . . . . . . . . . . . 450,000 491,521

3 Month USD LIBOR +1.33%, 4.45%, 12/5/2029(d) . . . . . . . . . . . . . . . . 750,000 833,887

3 Month USD LIBOR +1.34%, 3.78%, 2/1/2028(d) . . . . . . . . . . . . . . . . 149,000 157,801


3 Month USD LIBOR +1.36%, 3.88%, 7/24/2038(d) . . . . . . . . . . . . . . . . $ 139,000 $ 145,491

3 Month USD LIBOR +1.38%, 3.54%, 5/1/2028(d) . . . . . . . . . . . . . . . . 305,000 317,410

3 Month USD LIBOR +1.38%, 3.96%, 11/15/2048(d) . . . . . . . . . . . . . . . . 627,000 662,783

3 Month USD LIBOR +1.58%, 4.26%, 2/22/2048(d) . . . . . . . . . . . . . . . . 450,000 496,975

Series MTN, 2.30%,8/15/2021. . . . . . . . . . . . 399,000 398,401


6/9/2022 . . . . . . . . . . . . 125,000 125,494Series BKNT, 2.50%,

11/22/2021 . . . . . . . . . . . 100,000 100,540Series BKNT, 3.35%,

6/15/2021. . . . . . . . . . . . 456,000 465,435Series BKNT, 3.38%,

3/7/2023 . . . . . . . . . . . . 805,000 833,916Series BKNT, 3.90%,

4/13/2029. . . . . . . . . . . . 85,000 90,365Series BKNT, 6.95%,

2/1/2028 . . . . . . . . . . . . 146,000 183,010KeyCorp.

Series MTN, 4.10%,4/30/2028 . . . . . . . . . . . . . 200,000 217,638

Landwirtschaftliche Rentenbank:2.00%, 1/13/2025 . . . . . . . . 240,000 241,442Series GMTN, 1.75%,

7/27/2026 (b) . . . . . . . . . 200,000 196,960Lloyds Bank PLC

3.30%, 5/7/2021 . . . . . . . . . 180,000 182,646Lloyds Banking Group PLC:

3.00%, 1/11/2022 . . . . . . . . 240,000 242,2823.10%, 7/6/2021 . . . . . . . . . 300,000 303,1713.75%, 1/11/2027 . . . . . . . . 772,000 785,7723.90%, 3/12/2024 (b) . . . . . . 300,000 312,3604.05%, 8/16/2023 . . . . . . . . 299,000 311,8844.34%, 1/9/2048 (b) . . . . . . . 185,000 180,2364.38%, 3/22/2028 . . . . . . . . 186,000 197,7444.45%, 5/8/2025 . . . . . . . . . 200,000 212,7284.58%, 12/10/2025. . . . . . . . 417,000 435,3694.65%, 3/24/2026 . . . . . . . . 108,000 112,6353 Month USD LIBOR +

0.81%, 2.91%, 11/7/2023(d) . . . . . . . . . . . . . . . . 917,000 915,771

3 Month USD LIBOR +1.21%, 3.57%, 11/7/2028(d) . . . . . . . . . . . . . . . . 440,000 440,620

M&T Bank Corp.3.55%, 7/26/2023 . . . . . . . . 450,000 470,497

Mitsubishi UFJ Financial Group,Inc.:


9


2.19%, 9/13/2021 . . . . . . . . $ 207,000 $ 205,9462.67%, 7/25/2022 . . . . . . . . 150,000 150,8992.76%, 9/13/2026 . . . . . . . . 150,000 149,6542.95%, 3/1/2021 . . . . . . . . . 218,000 219,8573.00%, 2/22/2022 . . . . . . . . 105,000 106,4933.22%, 3/7/2022 . . . . . . . . . 250,000 255,2653.29%, 7/25/2027 . . . . . . . . 140,000 144,6613.41%, 3/7/2024 . . . . . . . . . 250,000 259,1383.46%, 3/2/2023 . . . . . . . . . 270,000 278,6643.54%, 7/26/2021 . . . . . . . . 115,000 117,5593.68%, 2/22/2027 . . . . . . . . 153,000 161,9633.74%, 3/7/2029 . . . . . . . . . 256,000 274,5423.76%, 7/26/2023 . . . . . . . . 400,000 418,4963.78%, 3/2/2025 . . . . . . . . . 168,000 177,6423.85%, 3/1/2026 . . . . . . . . . 419,000 446,0383.96%, 3/2/2028 . . . . . . . . . 356,000 386,2924.05%, 9/11/2028 . . . . . . . . 250,000 274,3154.15%, 3/7/2039 . . . . . . . . . 1,130,000 1,237,3614.29%, 7/26/2038 . . . . . . . . 155,000 172,453

Mizuho Financial Group, Inc.:2.95%, 2/28/2022 . . . . . . . . 285,000 288,4373.17%, 9/11/2027 . . . . . . . . 371,000 379,8453.55%, 3/5/2023 . . . . . . . . . 215,000 222,4133.66%, 2/28/2027 . . . . . . . . 150,000 158,3434.02%, 3/5/2028 . . . . . . . . . 202,000 220,2183 Month USD LIBOR +

1.00%, 3.92%, 9/11/2024(d) . . . . . . . . . . . . . . . . 337,000 354,032

3 Month USD LIBOR +1.27%, 4.25%, 9/11/2029(d) . . . . . . . . . . . . . . . . 349,000 384,870

Morgan Stanley:2.75%, 5/19/2022 . . . . . . . . 595,000 601,2123.95%, 4/23/2027 . . . . . . . . 566,000 592,0254.30%, 1/27/2045 . . . . . . . . 863,000 944,6924.38%, 1/22/2047 . . . . . . . . 327,000 363,8374.88%, 11/1/2022 . . . . . . . . 828,000 885,6955.00%, 11/24/2025. . . . . . . . 225,000 249,1675.75%, 1/25/2021 . . . . . . . . 750,000 787,7176.38%, 7/24/2042 . . . . . . . . 220,000 306,5837.25%, 4/1/2032 . . . . . . . . . 193,000 272,2013 Month USD LIBOR +

0.85%, 3.74%, 4/24/2024(d) . . . . . . . . . . . . . . . . 172,000 179,338

3 Month USD LIBOR +1.34%, 3.59%, 7/22/2028(d) . . . . . . . . . . . . . . . . 394,000 409,000

3 Month USD LIBOR +1.43%, 4.46%, 4/22/2039(d) . . . . . . . . . . . . . . . . 250,000 276,855

3 Month USD LIBOR +1.46%, 3.97%, 7/22/2038(d) . . . . . . . . . . . . . . . . 174,000 181,287

Series F, 3.88%, 4/29/2024. . . 351,000 372,316Series GMTN, 2.50%,

4/21/2021. . . . . . . . . . . . 873,000 874,598


Series GMTN, 3.13%,1/23/2023. . . . . . . . . . . . $ 870,000 $ 889,592

Series GMTN, 3.75%,2/25/2023. . . . . . . . . . . . 189,000 197,363

Series GMTN, 3.88%,1/27/2026. . . . . . . . . . . . 683,000 726,671

Series GMTN, 4.00%,7/23/2025. . . . . . . . . . . . 413,000 442,662

Series GMTN, 4.35%,9/8/2026 . . . . . . . . . . . . 313,000 335,580

Series GMTN, 5.50%,7/24/2020. . . . . . . . . . . . 372,000 383,975

Series GMTN, 5.50%,7/28/2021. . . . . . . . . . . . 229,000 243,148



Series MTN, 2.63%,11/17/2021 . . . . . . . . . . . 293,000 294,758

Series MTN, 3.13%,7/27/2026. . . . . . . . . . . . 1,293,000 1,315,938

Series MTN, 4.10%,5/22/2023. . . . . . . . . . . . 212,000 223,009

MUFG Union Bank NASeries BKNT, 3.15%,4/1/2022 . . . . . . . . . . . . . . 300,000 306,630

National Australia Bank, Ltd.:2.50%, 1/12/2021 . . . . . . . . 550,000 551,8812.80%, 1/10/2022 . . . . . . . . 265,000 268,3072.88%, 4/12/2023 . . . . . . . . 250,000 254,1503.00%, 1/20/2023 . . . . . . . . 150,000 152,8893.38%, 9/20/2021 . . . . . . . . 100,000 102,3283.70%, 11/4/2021 . . . . . . . . 250,000 257,793Series BKNT, 1.88%,

7/12/2021. . . . . . . . . . . . 114,000 113,083Series BKNT, 2.63%,

7/23/2020. . . . . . . . . . . . 200,000 200,846Series GMTN, 2.50%,

5/22/2022. . . . . . . . . . . . 244,000 245,364Series GMTN, 2.63%,

1/14/2021. . . . . . . . . . . . 250,000 251,313Northern Trust Corp.:

3.15%, 5/3/2029 . . . . . . . . . 350,000 362,7363.65%, 8/3/2028 . . . . . . . . . 250,000 269,6603 Month USD LIBOR +

1.13%, 3.38%, 5/8/2032(d) . . . . . . . . . . . . . . . . 63,000 63,805

Oesterreichische KontrollbankAG2.88%, 9/7/2021 . . . . . . . . . 75,000 76,637

PNC Bank NA:3.80%, 7/25/2023 . . . . . . . . 163,000 171,207Series BKNT, 2.15%,

4/29/2021. . . . . . . . . . . . 122,000 121,782


10


Series BKNT, 2.45%,11/5/2020. . . . . . . . . . . . $ 450,000 $ 450,877

Series BKNT, 2.45%,7/28/2022. . . . . . . . . . . . 251,000 253,176

Series BKNT, 2.50%,1/22/2021. . . . . . . . . . . . 520,000 521,539

Series BKNT, 2.55%,12/9/2021. . . . . . . . . . . . 128,000 128,901

Series BKNT, 2.63%,2/17/2022. . . . . . . . . . . . 200,000 201,722

Series BKNT, 2.70%,11/1/2022. . . . . . . . . . . . 157,000 158,592

Series BKNT, 2.95%,2/23/2025. . . . . . . . . . . . 121,000 123,798

Series BKNT, 3.10%,10/25/2027 . . . . . . . . . . . 300,000 308,508

Series BKNT, 3.25%,1/22/2028. . . . . . . . . . . . 258,000 268,614

Series BKNT, 4.05%,7/26/2028. . . . . . . . . . . . 250,000 272,707

PNC Financial Services Group,Inc.:3.15%, 5/19/2027 . . . . . . . . 425,000 438,0093.45%, 4/23/2029 . . . . . . . . 272,000 286,0193.50%, 1/23/2024 . . . . . . . . 125,000 131,5633.90%, 4/29/2024 . . . . . . . . 308,000 324,7834.38%, 8/11/2020 . . . . . . . . 193,000 197,352

RBC USA Holdco Corp.5.25%, 9/15/2020 . . . . . . . . 300,000 310,317

Regions BankSeries BKNT, 6.45%,6/26/2037 . . . . . . . . . . . . . 50,000 63,248

Regions Financial Corp.:2.75%, 8/14/2022 . . . . . . . . 375,000 377,6553.20%, 2/8/2021 . . . . . . . . . 53,000 53,5853.80%, 8/14/2023 . . . . . . . . 259,000 271,178

Royal Bank of Canada:2.30%, 3/22/2021 . . . . . . . . 400,000 401,776Series GMTN, 2.80%,

4/29/2022. . . . . . . . . . . . 262,000 266,263Series GMTN, 3.20%,

4/30/2021. . . . . . . . . . . . 1,030,000 1,048,664Series GMTN, 3.70%,

10/5/2023. . . . . . . . . . . . 250,000 263,282Series GMTN, 4.65%,

1/27/2026. . . . . . . . . . . . 196,000 214,375Series MTN, 2.35%,

10/30/2020 . . . . . . . . . . . 260,000 260,533Royal Bank of Scotland Group

PLC:3.88%, 9/12/2023 . . . . . . . . 442,000 453,7534.80%, 4/5/2026 . . . . . . . . . 564,000 602,7305.13%, 5/28/2024 . . . . . . . . 455,000 480,0436.00%, 12/19/2023. . . . . . . . 325,000 354,1526.10%, 6/10/2023 . . . . . . . . 165,000 179,1066.13%, 12/15/2022. . . . . . . . 465,000 501,409


3 Month USD LIBOR +1.48%, 3.50%, 5/15/2023(d) . . . . . . . . . . . . . . . . $ 346,000 $ 349,550

3 Month USD LIBOR +1.55%, 4.52%, 6/25/2024(d) . . . . . . . . . . . . . . . . 527,000 548,944

3 Month USD LIBOR +1.75%, 4.89%, 5/18/2029(d) . . . . . . . . . . . . . . . . 619,000 660,300

3 Month USD LIBOR +1.76%, 4.27%, 3/22/2025(d) . . . . . . . . . . . . . . . . 257,000 265,756

3 Month USD LIBOR +1.87%, 4.45%, 5/8/2030(b) (d) . . . . . . . . . . . . . . 64,000 66,283

3 Month USD LIBOR +1.91%, 5.08%, 1/27/2030(d) . . . . . . . . . . . . . . . . 19,000 20,599

Santander Holdings USA, Inc.:3.40%, 1/18/2023 . . . . . . . . 237,000 240,6383.70%, 3/28/2022 . . . . . . . . 640,000 654,7204.50%, 7/17/2025 . . . . . . . . 220,000 233,895

Santander UK Group HoldingsPLC:3.57%, 1/10/2023 . . . . . . . . 305,000 310,3713 Month USD LIBOR +

1.57%, 4.80%, 11/15/2024(d) . . . . . . . . . . . . . . . . 200,000 212,772

3 Month USD LIBOR +1.08%, 3.37%, 1/5/2024(d) . . . . . . . . . . . . . . . . 260,000 262,220

3 Month USD LIBOR +1.40%, 3.82%, 11/3/2028(b) (d) . . . . . . . . . . . . . . 134,000 135,446

Santander UK PLC:2.13%, 11/3/2020 . . . . . . . . 100,000 99,4922.50%, 1/5/2021 . . . . . . . . . 350,000 349,9302.88%, 6/18/2024 . . . . . . . . 250,000 251,6233.40%, 6/1/2021 . . . . . . . . . 500,000 508,1254.00%, 3/13/2024 . . . . . . . . 253,000 266,973

Skandinaviska Enskilda BankenAB1.88%, 9/13/2021 . . . . . . . . 534,000 527,992

Sumitomo Mitsui Banking Corp.:3.20%, 7/18/2022 . . . . . . . . 280,000 287,1373.95%, 7/19/2023 . . . . . . . . 238,000 251,2543.95%, 1/10/2024 . . . . . . . . 300,000 318,897Series GMTN, 3.65%,

7/23/2025. . . . . . . . . . . . 250,000 264,320Sumitomo Mitsui Financial

Group, Inc.:2.06%, 7/14/2021 . . . . . . . . 122,000 121,3642.44%, 10/19/2021. . . . . . . . 181,000 181,2902.63%, 7/14/2026 . . . . . . . . 170,000 168,8702.78%, 7/12/2022 . . . . . . . . 284,000 286,9932.85%, 1/11/2022 . . . . . . . . 253,000 255,5402.93%, 3/9/2021 . . . . . . . . . 311,000 313,899


11


3.10%, 1/17/2023 . . . . . . . . $ 380,000 $ 388,3033.36%, 7/12/2027 . . . . . . . . 134,000 139,5113.45%, 1/11/2027 . . . . . . . . 313,000 326,0963.54%, 1/17/2028 . . . . . . . . 332,000 349,5063.75%, 7/19/2023 . . . . . . . . 150,000 157,1903.78%, 3/9/2026 . . . . . . . . . 783,000 833,4103.94%, 7/19/2028 . . . . . . . . 150,000 162,878


8/1/2022 . . . . . . . . . . . . 100,000 100,279Series BKNT, 2.75%,

5/1/2023 . . . . . . . . . . . . 200,000 201,998Series BKNT, 2.80%,

5/17/2022. . . . . . . . . . . . 250,000 253,158Series BKNT, 3.00%,

2/2/2023 . . . . . . . . . . . . 200,000 203,868Series BKNT, 3 Month USD

LIBOR + 0.50%, 3.53%,10/26/2021 (d). . . . . . . . . 150,000 152,237

Series BKNT, 3 Month USDLIBOR + 0.74%, 3.69%,8/2/2024 (d) . . . . . . . . . . 200,000 208,640

Series BNKT, 3.20%,4/1/2024 . . . . . . . . . . . . 150,000 154,653

SunTrust Banks, Inc.:2.70%, 1/27/2022 . . . . . . . . 222,000 223,4432.90%, 3/3/2021 . . . . . . . . . 171,000 172,5154.00%, 5/1/2025 . . . . . . . . . 125,000 133,871

Svenska Handelsbanken AB:Series BKNT, 1.88%,

9/7/2021 . . . . . . . . . . . . 561,000 555,917Series BKNT, 3.90%,

11/20/2023 . . . . . . . . . . . 400,000 424,292Series GMTN, 2.40%,

10/1/2020. . . . . . . . . . . . 536,000 537,361Synchrony Bank

Series BKNT, 3.00%,6/15/2022 (b) . . . . . . . . . . . 250,000 251,893

Synovus Financial Corp.3.13%, 11/1/2022 . . . . . . . . 390,000 391,576

Toronto-Dominion Bank:1.80%, 7/13/2021 . . . . . . . . 217,000 215,281Series GMTN, 2.50%,

12/14/2020 . . . . . . . . . . . 181,000 181,820Series GMTN, 2.55%,

1/25/2021. . . . . . . . . . . . 1,150,000 1,156,244Series GMTN, 3.25%,

3/11/2024. . . . . . . . . . . . 250,000 258,900Series GMTN, 3.50%,


6/12/2024. . . . . . . . . . . . 400,000 403,964US Bancorp:

3.38%, 2/5/2024 . . . . . . . . . 250,000 261,653Series MTN, 2.35%,

1/29/2021. . . . . . . . . . . . 391,000 392,134


Series MTN, 2.95%,7/15/2022. . . . . . . . . . . . $ 232,000 $ 236,705

Series MTN, 3.10%,4/27/2026. . . . . . . . . . . . 350,000 357,196

Series MTN, 3.70%,1/30/2024. . . . . . . . . . . . 209,000 221,599

Series MTN, 3.90%,4/26/2028. . . . . . . . . . . . 250,000 274,730

Series MTN, 4.13%,5/24/2021. . . . . . . . . . . . 187,000 193,261

Series V, 2.38%, 7/22/2026. . . 147,000 145,327Series V, 2.63%, 1/24/2022. . . 296,000 299,173Series X, 3.15%, 4/27/2027 . . 206,000 213,917

US Bank NA:Series BKNT, 2.65%,

5/23/2022. . . . . . . . . . . . 750,000 759,997Series BKNT, 2.85%,

1/23/2023. . . . . . . . . . . . 263,000 267,487Series BKNT, 3.00%,

2/4/2021 . . . . . . . . . . . . 260,000 263,021Series BKNT, 3.40%,

7/24/2023. . . . . . . . . . . . 250,000 261,020Wachovia Corp.

7.57%, 8/1/2026 (e) . . . . . . . 575,000 719,630Webster Financial Corp.

4.10%, 3/25/2029 . . . . . . . . 300,000 315,681Wells Fargo & Co.:

2.10%, 7/26/2021 . . . . . . . . 513,000 509,9842.50%, 3/4/2021 . . . . . . . . . 784,000 785,6153.00%, 4/22/2026 . . . . . . . . 598,000 604,7993.00%, 10/23/2026. . . . . . . . 665,000 671,8763.07%, 1/24/2023 . . . . . . . . 451,000 458,2304.48%, 1/16/2024 . . . . . . . . 175,000 187,6235.38%, 11/2/2043 . . . . . . . . 581,000 704,9215.61%, 1/15/2044 . . . . . . . . 928,000 1,157,819Series GMTN, 2.60%,

7/22/2020. . . . . . . . . . . . 288,000 288,783Series GMTN, 4.30%,

7/22/2027. . . . . . . . . . . . 191,000 206,278Series GMTN, 4.90%,

11/17/2045 . . . . . . . . . . . 300,000 347,328Series M, 3.45%, 2/13/2023 . . 185,000 189,980Series MTN, 2.55%,

12/7/2020. . . . . . . . . . . . 550,000 551,435Series MTN, 2.63%,

7/22/2022. . . . . . . . . . . . 551,000 555,006Series MTN, 3.00%,

2/19/2025. . . . . . . . . . . . 165,000 167,878Series MTN, 3.30%, 9/9/2024. 690,000 713,446Series MTN, 3.50%, 3/8/2022. 577,000 593,658Series MTN, 3.55%,

9/29/2025. . . . . . . . . . . . 695,000 725,823Series MTN, 3.75%,


1/24/2029. . . . . . . . . . . . 450,000 489,663


12


Series MTN, 4.75%,12/7/2046. . . . . . . . . . . . $ 500,000 $ 569,270




1/15/2021. . . . . . . . . . . . 508,000 510,093Series BKNT, 3.55%,

8/14/2023. . . . . . . . . . . . 350,000 365,225Series BKNT, 5.85%,

2/1/2037 . . . . . . . . . . . . 207,000 264,521Series BKNT, 6.60%,


LIBOR + 0.49%, 3.33%,7/23/2021 (d) . . . . . . . . . 1,029,000 1,038,673

Series BKNT, 3 Month USDLIBOR + 0.61%, 2.90%,5/27/2022 (d) . . . . . . . . . 330,000 333,125

Wells Fargo Capital X5.95%, 12/1/2086 . . . . . . . . 355,000 422,702

Westpac Banking Corp.:2.60%, 11/23/2020. . . . . . . . 267,000 268,3142.70%, 8/19/2026 . . . . . . . . 400,000 399,9362.75%, 1/11/2023 . . . . . . . . 968,000 980,4582.80%, 1/11/2022 . . . . . . . . 185,000 187,3033.30%, 2/26/2024 . . . . . . . . 350,000 363,3073.35%, 3/8/2027 . . . . . . . . . 250,000 260,4453.65%, 5/15/2023 . . . . . . . . 200,000 208,932Series GMTN, 5 Year US

ISDA + 2.24%, 4.32%,11/23/2031 (d). . . . . . . . . 619,000 639,792

Wintrust Financial Corp.4.85%, 6/6/2029 . . . . . . . . . 250,000 255,938

Zions Bancorp NASeries BKNT, 3.35%,3/4/2022 . . . . . . . . . . . . . . 266,000 270,644

224,071,239


LLC/Anheuser-Busch InBevWorldwide, Inc.:4.70%, 2/1/2036 . . . . . . . . . 1,076,000 1,181,2654.90%, 2/1/2046 . . . . . . . . . 910,000 1,012,621

Anheuser-Busch InBev Finance,Inc.2.65%, 2/1/2021 . . . . . . . . . 1,000,000 1,005,060

Anheuser-Busch InBevWorldwide, Inc.:3.75%, 7/15/2042 . . . . . . . . 266,000 253,4474.00%, 4/13/2028 . . . . . . . . 750,000 808,5224.15%, 1/23/2025 . . . . . . . . 2,115,000 2,291,856


4.38%, 4/15/2038 . . . . . . . . $ 240,000 $ 253,7664.44%, 10/6/2048 . . . . . . . . 234,000 244,7344.60%, 4/15/2048 . . . . . . . . 145,000 155,3244.75%, 1/23/2029 . . . . . . . . 842,000 954,7614.90%, 1/23/2031 . . . . . . . . 125,000 144,7904.95%, 1/15/2042 . . . . . . . . 320,000 355,5365.45%, 1/23/2039 . . . . . . . . 165,000 195,9995.55%, 1/23/2049 . . . . . . . . 1,665,000 2,035,7465.80%, 1/23/2059 . . . . . . . . 160,000 200,5228.20%, 1/15/2039 (b) . . . . . . 470,000 713,676

Brown-Forman Corp.:3.50%, 4/15/2025 . . . . . . . . 60,000 63,3074.00%, 4/15/2038 . . . . . . . . 55,000 59,4074.50%, 7/15/2045 . . . . . . . . 40,000 46,682

Coca-Cola Co.:2.20%, 5/25/2022 . . . . . . . . 90,000 90,4372.25%, 9/1/2026 . . . . . . . . . 450,000 446,5982.55%, 6/1/2026 . . . . . . . . . 300,000 303,5372.88%, 10/27/2025. . . . . . . . 348,000 359,9782.90%, 5/25/2027 . . . . . . . . 458,000 473,0453.15%, 11/15/2020. . . . . . . . 133,000 134,8423.20%, 11/1/2023 . . . . . . . . 247,000 258,3973.30%, 9/1/2021 . . . . . . . . . 260,000 267,033

Coca-Cola Femsa SAB de CV:3.88%, 11/26/2023. . . . . . . . 566,000 595,4945.25%, 11/26/2043. . . . . . . . 175,000 209,590

Constellation Brands, Inc.:2.25%, 11/6/2020 . . . . . . . . 100,000 99,7763.20%, 2/15/2023 . . . . . . . . 100,000 102,2183.60%, 2/15/2028 . . . . . . . . 442,000 456,0073.70%, 12/6/2026 . . . . . . . . 270,000 282,7843.75%, 5/1/2021 . . . . . . . . . 30,000 30,6994.25%, 5/1/2023 . . . . . . . . . 265,000 281,6084.50%, 5/9/2047 . . . . . . . . . 720,000 752,4145.25%, 11/15/2048 (b) . . . . . 65,000 75,539

Diageo Capital PLC:2.63%, 4/29/2023 . . . . . . . . 368,000 372,8763.88%, 4/29/2043 . . . . . . . . 141,000 151,606

Diageo Investment Corp.:4.25%, 5/11/2042 . . . . . . . . 178,000 199,4337.45%, 4/15/2035 . . . . . . . . 180,000 262,350

Fomento Economico MexicanoSAB de CV:2.88%, 5/10/2023 (b) . . . . . . 311,000 310,3254.38%, 5/10/2043 (b) . . . . . . 464,000 503,046

Keurig Dr Pepper, Inc.:2.55%, 9/15/2026 . . . . . . . . 320,000 305,8053.43%, 6/15/2027 . . . . . . . . 91,000 91,9174.06%, 5/25/2023 . . . . . . . . 448,000 470,4904.42%, 5/25/2025 . . . . . . . . 350,000 375,7534.42%, 12/15/2046. . . . . . . . 150,000 149,0434.50%, 11/15/2045. . . . . . . . 250,000 252,7454.60%, 5/25/2028 . . . . . . . . 400,000 438,2204.99%, 5/25/2038 . . . . . . . . 250,000 275,3375.09%, 5/25/2048 (b) . . . . . . 130,000 144,956


13


Molson Coors Brewing Co.:2.10%, 7/15/2021 . . . . . . . . $ 180,000 $ 178,6523.00%, 7/15/2026 . . . . . . . . 376,000 371,4094.20%, 7/15/2046 . . . . . . . . 405,000 389,5135.00%, 5/1/2042 . . . . . . . . . 175,000 184,803

PepsiCo, Inc.:1.70%, 10/6/2021 . . . . . . . . 424,000 420,6722.00%, 4/15/2021 . . . . . . . . 131,000 130,8102.38%, 10/6/2026 . . . . . . . . 137,000 136,6112.75%, 3/5/2022 . . . . . . . . . 266,000 271,5862.75%, 3/1/2023 . . . . . . . . . 238,000 243,2842.75%, 4/30/2025 . . . . . . . . 126,000 129,3063.00%, 10/15/2027. . . . . . . . 543,000 564,4433.10%, 7/17/2022 . . . . . . . . 83,000 85,4673.13%, 11/1/2020 . . . . . . . . 200,000 202,7123.45%, 10/6/2046 . . . . . . . . 525,000 539,6213.60%, 3/1/2024 . . . . . . . . . 679,000 720,3713.60%, 8/13/2042 . . . . . . . . 70,000 73,1874.25%, 10/22/2044. . . . . . . . 170,000 194,7284.45%, 4/14/2046 . . . . . . . . 312,000 372,6374.60%, 7/17/2045 . . . . . . . . 160,000 192,307

26,903,038


1.85%, 8/19/2021 . . . . . . . . 260,000 257,2602.25%, 8/19/2023 . . . . . . . . 207,000 205,9362.60%, 8/19/2026 . . . . . . . . 158,000 155,8672.65%, 5/11/2022 . . . . . . . . 455,000 458,3853.13%, 5/1/2025 . . . . . . . . . 192,000 196,3993.20%, 11/2/2027 . . . . . . . . 258,000 264,3033.45%, 10/1/2020 . . . . . . . . 220,000 222,8823.63%, 5/15/2022 . . . . . . . . 500,000 515,4903.63%, 5/22/2024 . . . . . . . . 240,000 251,8633.88%, 11/15/2021. . . . . . . . 175,000 180,4024.40%, 5/1/2045 . . . . . . . . . 428,000 454,5154.56%, 6/15/2048 . . . . . . . . 245,000 265,6144.66%, 6/15/2051 . . . . . . . . 465,000 508,0645.65%, 6/15/2042 . . . . . . . . 100,000 120,8855.75%, 3/15/2040 . . . . . . . . 55,000 66,766

Baxalta, Inc.:4.00%, 6/23/2025 . . . . . . . . 329,000 350,2245.25%, 6/23/2045 (b) . . . . . . 212,000 257,398

Biogen, Inc.:2.90%, 9/15/2020 . . . . . . . . 83,000 83,4134.05%, 9/15/2025 . . . . . . . . 800,000 857,9045.20%, 9/15/2045 . . . . . . . . 218,000 244,234

Celgene Corp.:2.75%, 2/15/2023 . . . . . . . . 304,000 307,1952.88%, 8/15/2020 . . . . . . . . 289,000 290,5872.88%, 2/19/2021 . . . . . . . . 105,000 105,8503.25%, 8/15/2022 . . . . . . . . 255,000 261,7123.25%, 2/20/2023 . . . . . . . . 100,000 102,7583.45%, 11/15/2027. . . . . . . . 150,000 156,1693.55%, 8/15/2022 . . . . . . . . 132,000 136,7183.63%, 5/15/2024 . . . . . . . . 545,000 570,108


3.90%, 2/20/2028 . . . . . . . . $ 250,000 $ 268,6274.00%, 8/15/2023 . . . . . . . . 1,000,000 1,053,1504.35%, 11/15/2047. . . . . . . . 281,000 310,1874.55%, 2/20/2048 . . . . . . . . 250,000 285,2575.00%, 8/15/2045 . . . . . . . . 256,000 303,048

Gilead Sciences, Inc.:2.55%, 9/1/2020 . . . . . . . . . 1,151,000 1,154,0043.25%, 9/1/2022 . . . . . . . . . 179,000 184,0733.50%, 2/1/2025 . . . . . . . . . 740,000 775,4533.65%, 3/1/2026 . . . . . . . . . 373,000 394,2353.70%, 4/1/2024 . . . . . . . . . 290,000 306,5714.50%, 4/1/2021 . . . . . . . . . 111,000 114,6394.50%, 2/1/2045 . . . . . . . . . 1,023,000 1,120,3794.60%, 9/1/2035 . . . . . . . . . 180,000 202,0104.75%, 3/1/2046 . . . . . . . . . 318,000 361,7634.80%, 4/1/2044 . . . . . . . . . 141,000 160,041

14,842,338


CRH America, Inc.5.75%, 1/15/2021 . . . . . . . . 175,000 183,101

Fortune Brands Home &Security, Inc.4.00%, 9/21/2023 . . . . . . . . 100,000 105,303

Johnson Controls InternationalPLC:3.90%, 2/14/2026 . . . . . . . . 99,000 103,9394.50%, 2/15/2047 . . . . . . . . 144,000 146,3044.63%, 7/2/2044 . . . . . . . . . 300,000 308,8175.13%, 9/14/2045 . . . . . . . . 19,000 20,795

Lennox International, Inc.3.00%, 11/15/2023. . . . . . . . 25,000 25,081

Martin Marietta Materials, Inc.:3.50%, 12/15/2027. . . . . . . . 238,000 237,7294.25%, 7/2/2024 . . . . . . . . . 130,000 138,0114.25%, 12/15/2047. . . . . . . . 300,000 280,092

Masco Corp.:3.50%, 11/15/2027. . . . . . . . 30,000 29,6744.38%, 4/1/2026 . . . . . . . . . 210,000 220,7904.50%, 5/15/2047 . . . . . . . . 50,000 47,334

Owens Corning:4.20%, 12/15/2022. . . . . . . . 154,000 160,7204.40%, 1/30/2048 . . . . . . . . 350,000 299,705

Vulcan Materials Co.:3.90%, 4/1/2027 . . . . . . . . . 64,000 65,7524.50%, 4/1/2025 . . . . . . . . . 335,000 356,8754.50%, 6/15/2047 (b) . . . . . . 300,000 291,9934.70%, 3/1/2048 . . . . . . . . . 100,000 99,489

3,121,504

CHEMICALS — 0.4%Air Products & Chemicals, Inc.:

2.75%, 2/3/2023 . . . . . . . . . 100,000 101,5703.35%, 7/31/2024 . . . . . . . . 156,000 163,454

Cabot Corp.:


14


3.70%, 7/15/2022 . . . . . . . . $ 100,000 $ 102,1324.00%, 7/1/2029 . . . . . . . . . 100,000 101,419

Celanese US Holdings LLC:3.50%, 5/8/2024 . . . . . . . . . 60,000 61,6284.63%, 11/15/2022. . . . . . . . 106,000 112,3025.88%, 6/15/2021 . . . . . . . . 40,000 42,390

Dow Chemical Co.:3.15%, 5/15/2024 (f) . . . . . . 115,000 117,2533.63%, 5/15/2026 (f) . . . . . . 200,000 207,4004.13%, 11/15/2021. . . . . . . . 500,000 517,5904.38%, 11/15/2042. . . . . . . . 580,000 589,2394.63%, 10/1/2044 . . . . . . . . 640,000 662,5664.80%, 5/15/2049 (b) (f) . . . . 125,000 134,6695.25%, 11/15/2041. . . . . . . . 351,000 391,5379.40%, 5/15/2039 . . . . . . . . 74,000 117,363

DowDuPont, Inc.:3.77%, 11/15/2020. . . . . . . . 140,000 142,6614.21%, 11/15/2023. . . . . . . . 300,000 321,2434.49%, 11/15/2025. . . . . . . . 250,000 276,6924.73%, 11/15/2028. . . . . . . . 500,000 564,6605.32%, 11/15/2038. . . . . . . . 361,000 424,1575.42%, 11/15/2048. . . . . . . . 299,000 363,680

Eastman Chemical Co.:3.50%, 12/1/2021 . . . . . . . . 70,000 71,6153.60%, 8/15/2022 . . . . . . . . 211,000 216,8344.65%, 10/15/2044. . . . . . . . 327,000 338,916

Ecolab, Inc.4.35%, 12/8/2021 . . . . . . . . 150,000 157,444

Huntsman International LLC4.50%, 5/1/2029 . . . . . . . . . 110,000 113,322

International Flavors &Fragrances, Inc.:3.40%, 9/25/2020 . . . . . . . . 200,000 202,3984.38%, 6/1/2047 . . . . . . . . . 205,000 208,2214.45%, 9/26/2028 . . . . . . . . 125,000 135,812

LYB International Finance B.V.:4.00%, 7/15/2023 (b) . . . . . . 405,000 426,3604.88%, 3/15/2044 (b) . . . . . . 125,000 133,109

LYB International Finance II B.V.3.50%, 3/2/2027 . . . . . . . . . 164,000 166,878

LyondellBasell Industries NV:4.63%, 2/26/2055 . . . . . . . . 405,000 407,5235.75%, 4/15/2024 . . . . . . . . 275,000 308,9496.00%, 11/15/2021. . . . . . . . 125,000 134,038

Methanex Corp.5.65%, 12/1/2044 . . . . . . . . 100,000 95,521

Mosaic Co.:3.25%, 11/15/2022. . . . . . . . 200,000 204,0084.05%, 11/15/2027. . . . . . . . 108,000 111,2704.25%, 11/15/2023. . . . . . . . 237,000 251,1895.63%, 11/15/2043. . . . . . . . 210,000 231,208

Nutrien, Ltd.:3.00%, 4/1/2025 . . . . . . . . . 100,000 100,6083.15%, 10/1/2022 . . . . . . . . 295,000 299,6023.63%, 3/15/2024 (b) . . . . . . 140,000 145,1524.13%, 3/15/2035 . . . . . . . . 255,000 252,121


4.20%, 4/1/2029 . . . . . . . . . $ 148,000 $ 160,0014.90%, 6/1/2043 . . . . . . . . . 150,000 163,6205.00%, 4/1/2049 . . . . . . . . . 200,000 226,4885.88%, 12/1/2036 . . . . . . . . 50,000 59,5066.13%, 1/15/2041 . . . . . . . . 20,000 24,332

PPG Industries, Inc.:3.20%, 3/15/2023 . . . . . . . . 100,000 102,6363.75%, 3/15/2028 (b) . . . . . . 100,000 106,745

Praxair, Inc.:2.25%, 9/24/2020 . . . . . . . . 200,000 200,3243.00%, 9/1/2021 . . . . . . . . . 550,000 560,0323.20%, 1/30/2026 . . . . . . . . 215,000 225,402

RPM International, Inc.:3.75%, 3/15/2027 . . . . . . . . 108,000 109,4714.25%, 1/15/2048 . . . . . . . . 840,000 772,355

Sasol Financing International,Ltd.4.50%, 11/14/2022. . . . . . . . 285,000 293,724

SASOL Financing USA LLC:5.88%, 3/27/2024 . . . . . . . . 200,000 216,4066.50%, 9/27/2028 . . . . . . . . 440,000 493,614

Sherwin-Williams Co.:2.75%, 6/1/2022 . . . . . . . . . 338,000 341,4213.45%, 6/1/2027 (b) . . . . . . . 206,000 211,5174.00%, 12/15/2042. . . . . . . . 88,000 85,3134.50%, 6/1/2047 . . . . . . . . . 29,000 30,929

Syngenta Finance NV3.13%, 3/28/2022 . . . . . . . . 825,000 826,031

Westlake Chemical Corp.:3.60%, 8/15/2026 . . . . . . . . 135,000 137,1264.38%, 11/15/2047 (b) . . . . . 350,000 330,5825.00%, 8/15/2046 . . . . . . . . 250,000 256,920

16,162,198


American UniversitySeries 2019, 3.67%, 4/1/2049 . 115,000 119,203

Automatic Data Processing, Inc.:2.25%, 9/15/2020 . . . . . . . . 341,000 341,1303.38%, 9/15/2025 . . . . . . . . 50,000 52,762

Block Financial LLC:5.25%, 10/1/2025 . . . . . . . . 200,000 213,9065.50%, 11/1/2022 . . . . . . . . 100,000 106,512

Board of Trustees of The LelandStanford Junior University3.65%, 5/1/2048 . . . . . . . . . 45,000 48,220

Cintas Corp. No. 22.90%, 4/1/2022 . . . . . . . . . 50,000 50,797

Ecolab, Inc.:2.38%, 8/10/2022 . . . . . . . . 160,000 160,4962.70%, 11/1/2026 . . . . . . . . 85,000 85,7343.25%, 12/1/2027 . . . . . . . . 170,000 176,8315.50%, 12/8/2041 . . . . . . . . 128,000 163,470

Equifax, Inc.2.30%, 6/1/2021 . . . . . . . . . 181,000 179,885


15


George Washington University:Series 2014, 4.30%,

9/15/2044. . . . . . . . . . . . $ 50,000 $ 56,908Series 2018, 4.13%,

9/15/2048. . . . . . . . . . . . 100,000 112,142Georgetown University:

Series A, 5.22%, 10/1/2118 . . 100,000 123,789Series B, 4.32%, 4/1/2049 . . . 100,000 115,941

IHS Markit, Ltd.:3.63%, 5/1/2024 . . . . . . . . . 35,000 36,0354.13%, 8/1/2023 . . . . . . . . . 120,000 125,4234.25%, 5/1/2029 . . . . . . . . . 35,000 36,6224.75%, 8/1/2028 . . . . . . . . . 310,000 337,463

Massachusetts Institute ofTechnology:3.89%, 7/1/2116 . . . . . . . . . 40,000 42,3964.68%, 7/1/2114 . . . . . . . . . 80,000 100,7465.60%, 7/1/2111 . . . . . . . . . 119,000 179,071

Moody’s Corp.:2.63%, 1/15/2023 . . . . . . . . 527,000 529,5093.25%, 1/15/2028 (b) . . . . . . 35,000 35,6924.25%, 2/1/2029 . . . . . . . . . 100,000 109,5044.50%, 9/1/2022 . . . . . . . . . 95,000 100,5084.88%, 2/15/2024 . . . . . . . . 114,000 125,0124.88%, 12/17/2048. . . . . . . . 100,000 116,458

Northwestern UniversitySeries 2017, 3.66%,12/1/2057 . . . . . . . . . . . . . 225,000 241,436

President and Fellows of HarvardCollege:3.15%, 7/15/2046 . . . . . . . . 175,000 173,8733.30%, 7/15/2056 . . . . . . . . 200,000 196,880

Princeton University5.70%, 3/1/2039 . . . . . . . . . 120,000 163,697

RELX Capital, Inc.3.50%, 3/16/2023 . . . . . . . . 115,000 118,747

S&P Global, Inc.:2.95%, 1/22/2027 . . . . . . . . 100,000 101,4824.00%, 6/15/2025 . . . . . . . . 211,000 228,7894.40%, 2/15/2026 . . . . . . . . 182,000 200,9034.50%, 5/15/2048 . . . . . . . . 300,000 344,988

Total System Services, Inc.4.45%, 6/1/2028 . . . . . . . . . 725,000 777,069

University of Chicago4.00%, 10/1/2053 . . . . . . . . 60,000 64,441

University of Notre Dame du LacSeries 2017, 3.39%,2/15/2048 . . . . . . . . . . . . . 675,000 684,686

University of SouthernCalifornia:3.03%, 10/1/2039 . . . . . . . . 100,000 97,826Series 2017, 3.84%,

10/1/2047. . . . . . . . . . . . 55,000 60,184Verisk Analytics, Inc.:

4.13%, 3/15/2029 . . . . . . . . 350,000 375,6585.80%, 5/1/2021 . . . . . . . . . 100,000 106,008


Western Union Co.6.20%, 11/17/2036. . . . . . . . $ 105,000 $ 113,502

8,032,334


1.55%, 8/4/2021 . . . . . . . . . 300,000 297,1832.10%, 9/12/2022 . . . . . . . . 183,000 183,2272.25%, 2/23/2021 . . . . . . . . 1,601,000 1,606,1552.30%, 5/11/2022 . . . . . . . . 225,000 226,5442.40%, 1/13/2023 . . . . . . . . 682,000 688,4182.40%, 5/3/2023 . . . . . . . . . 449,000 453,7642.45%, 8/4/2026 . . . . . . . . . 347,000 345,6192.50%, 2/9/2022 . . . . . . . . . 206,000 208,3442.50%, 2/9/2025 . . . . . . . . . 383,000 387,0482.70%, 5/13/2022 . . . . . . . . 406,000 413,3812.75%, 1/13/2025 . . . . . . . . 369,000 377,1842.85%, 5/6/2021 . . . . . . . . . 534,000 541,9092.85%, 2/23/2023 . . . . . . . . 375,000 384,2062.85%, 5/11/2024 . . . . . . . . 493,000 507,5093.00%, 2/9/2024 . . . . . . . . . 120,000 123,9503.00%, 6/20/2027 . . . . . . . . 168,000 172,9243.00%, 11/13/2027. . . . . . . . 250,000 257,5303.20%, 5/13/2025 . . . . . . . . 467,000 489,0613.20%, 5/11/2027 . . . . . . . . 436,000 454,5953.25%, 2/23/2026 . . . . . . . . 264,000 276,1413.35%, 2/9/2027 . . . . . . . . . 329,000 345,9013.45%, 5/6/2024 . . . . . . . . . 358,000 378,5173.75%, 9/12/2047 . . . . . . . . 133,000 139,2433.75%, 11/13/2047. . . . . . . . 193,000 202,5463.85%, 5/4/2043 . . . . . . . . . 635,000 675,5133.85%, 8/4/2046 . . . . . . . . . 294,000 312,6284.25%, 2/9/2047 . . . . . . . . . 415,000 465,5064.38%, 5/13/2045 . . . . . . . . 460,000 524,1884.50%, 2/23/2036 . . . . . . . . 425,000 497,3264.65%, 2/23/2046 . . . . . . . . 364,000 431,897

Dell International LLC/EMCCorp.:4.00%, 7/15/2024 (f) . . . . . . 150,000 153,5524.42%, 6/15/2021 (f) . . . . . . 1,125,000 1,158,4804.90%, 10/1/2026 (f) . . . . . . 400,000 417,3085.30%, 10/1/2029 (f) . . . . . . 400,000 421,2566.02%, 6/15/2026 (f) . . . . . . 220,000 242,2648.10%, 7/15/2036 (f) . . . . . . 359,000 437,9418.35%, 7/15/2046 (f) . . . . . . 929,000 1,172,565

Genpact Luxembourg Sarl3.70%, 4/1/2022 . . . . . . . . . 340,000 339,857

Hewlett Packard Enterprise Co.:3.60%, 10/15/2020. . . . . . . . 703,000 712,1814.40%, 10/15/2022. . . . . . . . 210,000 221,4954.90%, 10/15/2025. . . . . . . . 380,000 415,6556.20%, 10/15/2035. . . . . . . . 115,000 128,8976.35%, 10/15/2045. . . . . . . . 250,000 276,815

HP, Inc.:4.05%, 9/15/2022 . . . . . . . . 264,000 275,8624.30%, 6/1/2021 . . . . . . . . . 200,000 206,760


16


IBM Credit LLC:1.80%, 1/20/2021 . . . . . . . . $ 100,000 $ 99,3022.20%, 9/8/2022 . . . . . . . . . 100,000 99,8122.65%, 2/5/2021 . . . . . . . . . 115,000 115,6743.45%, 11/30/2020. . . . . . . . 500,000 508,220

International Business MachinesCorp.:2.25%, 2/19/2021 . . . . . . . . 120,000 120,0342.80%, 5/13/2021 . . . . . . . . 227,000 229,7492.85%, 5/13/2022 . . . . . . . . 493,000 501,4992.88%, 11/9/2022 . . . . . . . . 1,180,000 1,204,6273.00%, 5/15/2024 . . . . . . . . 750,000 770,0173.30%, 5/15/2026 . . . . . . . . 350,000 362,5343.45%, 2/19/2026 . . . . . . . . 213,000 222,5063.50%, 5/15/2029 . . . . . . . . 929,000 971,6503.63%, 2/12/2024 . . . . . . . . 125,000 131,6284.00%, 6/20/2042 . . . . . . . . 250,000 258,1934.15%, 5/15/2039 . . . . . . . . 250,000 266,9804.25%, 5/15/2049 . . . . . . . . 500,000 536,9257.13%, 12/1/2096 . . . . . . . . 400,000 565,328

NetApp, Inc.3.38%, 6/15/2021 . . . . . . . . 60,000 60,729

Seagate HDD Cayman:4.25%, 3/1/2022 (b) . . . . . . . 186,000 189,0114.75%, 1/1/2025 (b) . . . . . . . 220,000 221,9054.88%, 3/1/2024 . . . . . . . . . 141,000 144,6694.88%, 6/1/2027 . . . . . . . . . 226,000 225,600

26,755,437


Colgate-Palmolive Co.:Series GMTN, 2.25%,

11/15/2022 . . . . . . . . . . . 128,000 128,995Series MTN, 2.30%, 5/3/2022. 205,000 207,224Series MTN, 3.25%,

3/15/2024. . . . . . . . . . . . 327,000 343,615Series MTN, 3.70%, 8/1/2047. 55,000 58,974

Estee Lauder Cos., Inc.:1.70%, 5/10/2021 . . . . . . . . 20,000 19,8153.15%, 3/15/2027 . . . . . . . . 163,000 169,3524.15%, 3/15/2047 . . . . . . . . 115,000 128,817

Procter & Gamble Co.:1.70%, 11/3/2021 . . . . . . . . 65,000 64,5191.85%, 2/2/2021 . . . . . . . . . 50,000 49,8571.90%, 10/23/2020. . . . . . . . 235,000 234,6342.30%, 2/6/2022 . . . . . . . . . 225,000 226,7752.45%, 11/3/2026 . . . . . . . . 147,000 147,5912.70%, 2/2/2026 . . . . . . . . . 63,000 64,2323.10%, 8/15/2023 . . . . . . . . 200,000 208,0183.50%, 10/25/2047. . . . . . . . 500,000 533,290

Unilever Capital Corp.:1.38%, 7/28/2021 (b) . . . . . . 340,000 334,8322.00%, 7/28/2026 . . . . . . . . 150,000 144,5912.20%, 5/5/2022 . . . . . . . . . 238,000 238,3402.75%, 3/22/2021 . . . . . . . . 200,000 202,114


3.00%, 3/7/2022 . . . . . . . . . $ 150,000 $ 153,4343.25%, 3/7/2024 . . . . . . . . . 120,000 124,9193.38%, 3/22/2025 . . . . . . . . 100,000 104,6753.50%, 3/22/2028 . . . . . . . . 300,000 320,2924.25%, 2/10/2021 . . . . . . . . 155,000 160,0965.90%, 11/15/2032. . . . . . . . 178,000 238,762

4,607,763

DISTRIBUTION &WHOLESALE — 0.0% (a)

WW Grainger, Inc.:3.75%, 5/15/2046 . . . . . . . . 100,000 98,0604.20%, 5/15/2047 . . . . . . . . 250,000 264,4084.60%, 6/15/2045 . . . . . . . . 270,000 298,968

661,436


AerCap Ireland CapitalDAC/AerCap Global AviationTrust:3.50%, 1/15/2025 . . . . . . . . 300,000 303,4533.65%, 7/21/2027 . . . . . . . . 332,000 329,8493.95%, 2/1/2022 . . . . . . . . . 237,000 243,6914.45%, 12/16/2021. . . . . . . . 150,000 155,7114.45%, 10/1/2025 . . . . . . . . 252,000 264,7864.45%, 4/3/2026 . . . . . . . . . 150,000 157,8834.50%, 5/15/2021 . . . . . . . . 445,000 458,9244.63%, 10/30/2020. . . . . . . . 191,000 196,0354.88%, 1/16/2024 . . . . . . . . 400,000 428,672

Affiliated Managers Group, Inc.3.50%, 8/1/2025 . . . . . . . . . 100,000 102,575

Air Lease Corp.:2.50%, 3/1/2021 . . . . . . . . . 460,000 459,8622.63%, 7/1/2022 . . . . . . . . . 256,000 255,7082.75%, 1/15/2023 . . . . . . . . 100,000 99,9633.25%, 3/1/2025 . . . . . . . . . 288,000 289,6993.38%, 6/1/2021 . . . . . . . . . 166,000 168,5083.50%, 1/15/2022 . . . . . . . . 145,000 148,5053.75%, 2/1/2022 . . . . . . . . . 125,000 128,3193.88%, 4/1/2021 . . . . . . . . . 175,000 178,8873.88%, 7/3/2023 . . . . . . . . . 50,000 51,949Series GMTN, 3.75%,

6/1/2026 . . . . . . . . . . . . 150,000 153,774Aircastle, Ltd.:

4.13%, 5/1/2024 . . . . . . . . . 85,000 87,0464.25%, 6/15/2026 . . . . . . . . 135,000 136,6885.00%, 4/1/2023 . . . . . . . . . 85,000 89,9165.13%, 3/15/2021 . . . . . . . . 85,000 88,0595.50%, 2/15/2022 . . . . . . . . 335,000 355,164

American Express Co.:2.20%, 10/30/2020. . . . . . . . 258,000 257,3782.50%, 8/1/2022 . . . . . . . . . 569,000 572,4822.75%, 5/20/2022 . . . . . . . . 200,000 202,4583.00%, 2/22/2021 . . . . . . . . 431,000 435,6763.00%, 10/30/2024. . . . . . . . 127,000 130,042


17


3.13%, 5/20/2026 . . . . . . . . $ 200,000 $ 205,4083.38%, 5/17/2021 . . . . . . . . 200,000 203,7443.40%, 2/27/2023 . . . . . . . . 367,000 380,0543.40%, 2/22/2024 . . . . . . . . 410,000 426,9703.70%, 11/5/2021 . . . . . . . . 199,000 204,9383.70%, 8/3/2023 . . . . . . . . . 560,000 588,0064.20%, 11/6/2025 . . . . . . . . 250,000 273,120

American Express Credit Corp.:Series F, 2.60%, 9/14/2020. . . 126,000 126,478Series MTN, 2.25%, 5/5/2021. 357,000 357,021Series MTN, 2.70%, 3/3/2022. 175,000 176,766Series MTN, 3.30%, 5/3/2027. 254,000 266,573

Ameriprise Financial, Inc.:2.88%, 9/15/2026 . . . . . . . . 50,000 50,2273.00%, 3/22/2022 . . . . . . . . 115,000 117,194

AXA Equitable Holdings, Inc.7.00%, 4/1/2028 . . . . . . . . . 114,000 136,247

BGC Partners, Inc.5.38%, 7/24/2023 . . . . . . . . 275,000 287,807

BlackRock, Inc.:3.20%, 3/15/2027 . . . . . . . . 306,000 319,6383.25%, 4/30/2029 . . . . . . . . 172,000 180,1563.38%, 6/1/2022 . . . . . . . . . 330,000 342,032

Brookfield Finance, Inc.:3.90%, 1/25/2028 . . . . . . . . 308,000 313,4524.25%, 6/2/2026 (b) . . . . . . . 285,000 301,0914.70%, 9/20/2047 . . . . . . . . 185,000 192,9144.85%, 3/29/2029 . . . . . . . . 175,000 191,151

Capital One Bank USA NA3.38%, 2/15/2023 . . . . . . . . 684,000 696,928

Capital One Financial Corp.:3.90%, 1/29/2024 . . . . . . . . 552,000 580,3184.75%, 7/15/2021 . . . . . . . . 303,000 316,771

Charles Schwab Corp.:3.00%, 3/10/2025 . . . . . . . . 100,000 102,4353.20%, 3/2/2027 . . . . . . . . . 218,000 225,1533.20%, 1/25/2028 . . . . . . . . 300,000 309,7773.25%, 5/22/2029 . . . . . . . . 200,000 206,9343.45%, 2/13/2026 . . . . . . . . 258,000 269,7113.55%, 2/1/2024 (b) . . . . . . . 275,000 289,4844.45%, 7/22/2020 . . . . . . . . 69,000 70,585

CME Group, Inc.:3.00%, 3/15/2025 . . . . . . . . 227,000 235,6403.75%, 6/15/2028 . . . . . . . . 275,000 298,8954.15%, 6/15/2048 . . . . . . . . 85,000 95,708

Credit Suisse USA, Inc.7.13%, 7/15/2032 . . . . . . . . 320,000 455,363

Discover Financial Services:4.50%, 1/30/2026 . . . . . . . . 300,000 321,3755.20%, 4/27/2022 . . . . . . . . 100,000 107,131

E*TRADE Financial Corp.:2.95%, 8/24/2022 . . . . . . . . 258,000 260,4233.80%, 8/24/2027 . . . . . . . . 100,000 100,887

Eaton Vance Corp.3.50%, 4/6/2027 . . . . . . . . . 180,000 186,323


Franklin Resources, Inc.2.85%, 3/30/2025 . . . . . . . . $ 350,000 $ 358,106

GE Capital International FundingCo.:2.34%, 11/15/2020. . . . . . . . 1,203,000 1,197,2143.37%, 11/15/2025. . . . . . . . 291,000 294,7634.42%, 11/15/2035. . . . . . . . 1,401,000 1,386,640

GLP Capital L.P./GLP FinancingII, Inc.:5.25%, 6/1/2025 . . . . . . . . . 75,000 80,3245.38%, 11/1/2023 . . . . . . . . 75,000 80,7585.38%, 4/15/2026 . . . . . . . . 145,000 156,7815.75%, 6/1/2028 . . . . . . . . . 144,000 158,748

Intercontinental Exchange, Inc.:2.35%, 9/15/2022 . . . . . . . . 125,000 125,1453.10%, 9/15/2027 . . . . . . . . 100,000 102,5193.45%, 9/21/2023 . . . . . . . . 146,000 152,1363.75%, 12/1/2025 . . . . . . . . 90,000 96,0653.75%, 9/21/2028 . . . . . . . . 105,000 112,9754.00%, 10/15/2023. . . . . . . . 252,000 268,0474.25%, 9/21/2048 . . . . . . . . 350,000 392,871

International Lease FinanceCorp.:4.63%, 4/15/2021 . . . . . . . . 80,000 82,5988.63%, 1/15/2022 . . . . . . . . 319,000 363,886

Invesco Finance PLC:3.75%, 1/15/2026 . . . . . . . . 150,000 156,8904.00%, 1/30/2024 . . . . . . . . 250,000 265,097

Janus Capital Group, Inc.4.88%, 8/1/2025 . . . . . . . . . 380,000 410,305

Jefferies Financial Group, Inc.5.50%, 10/18/2023. . . . . . . . 369,000 397,959

Jefferies Group LLC:5.13%, 1/20/2023 . . . . . . . . 100,000 107,1756.45%, 6/8/2027 . . . . . . . . . 28,000 31,4746.50%, 1/20/2043 . . . . . . . . 200,000 215,392

Jefferies Group LLC/JefferiesGroup Capital Finance, Inc.4.15%, 1/23/2030 . . . . . . . . 265,000 255,640

Lazard Group LLC:3.63%, 3/1/2027 . . . . . . . . . 250,000 252,8923.75%, 2/13/2025 . . . . . . . . 310,000 322,5184.38%, 3/11/2029 . . . . . . . . 310,000 327,034

Legg Mason, Inc.4.75%, 3/15/2026 . . . . . . . . 110,000 117,684

Mastercard, Inc.:2.95%, 11/21/2026. . . . . . . . 105,000 108,3322.95%, 6/1/2029 . . . . . . . . . 200,000 206,2703.38%, 4/1/2024 . . . . . . . . . 351,000 370,7373.50%, 2/26/2028 . . . . . . . . 30,000 32,3033.65%, 6/1/2049 . . . . . . . . . 200,000 211,4683.80%, 11/21/2046. . . . . . . . 130,000 140,150

Nasdaq, Inc.3.85%, 6/30/2026 . . . . . . . . 128,000 134,359

National Rural UtilitiesCooperative Finance Corp.:


18


2.95%, 2/7/2024 . . . . . . . . . $ 60,000 $ 61,5583.70%, 3/15/2029 . . . . . . . . 267,000 287,4604.30%, 3/15/2049 . . . . . . . . 265,000 298,9763 Month USD LIBOR +

2.91%, 4.75%, 4/30/2043(d) . . . . . . . . . . . . . . . . 375,000 368,212

3 Month USD LIBOR +3.63%, 5.25%, 4/20/2046(d) . . . . . . . . . . . . . . . . 415,000 428,085

Series MTN, 2.30%,9/15/2022. . . . . . . . . . . . 175,000 175,399

Series MTNC, 8.00%,3/1/2032 . . . . . . . . . . . . 110,000 159,905

ORIX Corp.:2.90%, 7/18/2022 . . . . . . . . 50,000 50,7223.25%, 12/4/2024 . . . . . . . . 200,000 206,1523.70%, 7/18/2027 . . . . . . . . 58,000 61,0284.05%, 1/16/2024 . . . . . . . . 200,000 212,070

Private Export Funding Corp.Series GG, 2.45%, 7/15/2024 . 200,000 204,604

Raymond James Financial, Inc.4.95%, 7/15/2046 . . . . . . . . 100,000 112,333

Stifel Financial Corp.4.25%, 7/18/2024 . . . . . . . . 432,000 452,935

Synchrony Financial:3.70%, 8/4/2026 . . . . . . . . . 340,000 337,7423.95%, 12/1/2027 . . . . . . . . 219,000 218,6234.25%, 8/15/2024 . . . . . . . . 102,000 106,0304.38%, 3/19/2024 . . . . . . . . 229,000 240,4254.50%, 7/23/2025 . . . . . . . . 181,000 189,9995.15%, 3/19/2029 . . . . . . . . 300,000 323,430

TD Ameritrade Holding Corp.:2.95%, 4/1/2022 . . . . . . . . . 211,000 214,6103.30%, 4/1/2027 . . . . . . . . . 265,000 273,318

Visa, Inc.:2.20%, 12/14/2020. . . . . . . . 672,000 673,2162.75%, 9/15/2027 . . . . . . . . 90,000 91,7792.80%, 12/14/2022. . . . . . . . 247,000 253,0663.15%, 12/14/2025. . . . . . . . 593,000 622,3534.15%, 12/14/2035. . . . . . . . 568,000 651,3944.30%, 12/14/2045. . . . . . . . 412,000 484,945

Western Union Co.3.60%, 3/15/2022 . . . . . . . . 150,000 153,579

35,089,693

ELECTRIC — 1.8%AEP Texas, Inc.

2.40%, 10/1/2022 . . . . . . . . 117,000 117,278AEP Transmission Co. LLC:

3.75%, 12/1/2047 . . . . . . . . 135,000 137,7513.80%, 6/15/2049 . . . . . . . . 150,000 154,942

Alabama Power Co.:3.85%, 12/1/2042 . . . . . . . . 50,000 51,8084.30%, 1/2/2046 . . . . . . . . . 155,000 172,8846.00%, 3/1/2039 . . . . . . . . . 118,000 155,995Series 17A, 2.45%, 3/30/2022. 335,000 336,384


Ameren Illinois Co.3.70%, 12/1/2047 . . . . . . . . $ 215,000 $ 221,736

Appalachian Power Co.:7.00%, 4/1/2038 . . . . . . . . . 186,000 256,481Series Y, 4.50%, 3/1/2049 . . . 250,000 280,825

Arizona Public Service Co.:2.95%, 9/15/2027 . . . . . . . . 108,000 109,2833.15%, 5/15/2025 . . . . . . . . 400,000 412,2203.75%, 5/15/2046 . . . . . . . . 100,000 100,1154.20%, 8/15/2048 . . . . . . . . 100,000 107,5574.25%, 3/1/2049 . . . . . . . . . 100,000 108,781

Avangrid, Inc.:3.15%, 12/1/2024 . . . . . . . . 500,000 508,6153.80%, 6/1/2029 . . . . . . . . . 200,000 209,280

Baltimore Gas & Electric Co.3.75%, 8/15/2047 . . . . . . . . 55,000 56,101

Berkshire Hathaway Energy Co.:2.80%, 1/15/2023 . . . . . . . . 235,000 239,0563.75%, 11/15/2023. . . . . . . . 270,000 284,7393.80%, 7/15/2048 . . . . . . . . 205,000 208,5084.45%, 1/15/2049 . . . . . . . . 155,000 175,0546.13%, 4/1/2036 . . . . . . . . . 402,000 537,502

Black Hills Corp.:3.15%, 1/15/2027 . . . . . . . . 50,000 49,5654.20%, 9/15/2046 . . . . . . . . 50,000 50,8414.25%, 11/30/2023. . . . . . . . 263,000 278,3284.35%, 5/1/2033 . . . . . . . . . 220,000 243,258

CenterPoint Energy HoustonElectric LLC:1.85%, 6/1/2021 . . . . . . . . . 150,000 148,8852.25%, 8/1/2022 . . . . . . . . . 100,000 99,9693.95%, 3/1/2048 . . . . . . . . . 100,000 107,9954.50%, 4/1/2044 . . . . . . . . . 100,000 114,927Series AA, 3.00%, 2/1/2027 . . 445,000 452,943Series K2, 6.95%, 3/15/2033

(b) . . . . . . . . . . . . . . . . 150,000 212,728Series Z, 2.40%, 9/1/2026 . . . 150,000 147,129

CenterPoint Energy, Inc.:2.50%, 9/1/2022 . . . . . . . . . 100,000 100,1543.60%, 11/1/2021 . . . . . . . . 30,000 30,8083.85%, 2/1/2024 . . . . . . . . . 75,000 78,7304.25%, 11/1/2028 . . . . . . . . 275,000 297,245

Cleco Corporate Holdings LLC3.74%, 5/1/2026 . . . . . . . . . 208,000 209,741

CMS Energy Corp.:3.45%, 8/15/2027 . . . . . . . . 108,000 111,2914.88%, 3/1/2044 . . . . . . . . . 220,000 255,440

Commonwealth Edison Co.:3.40%, 9/1/2021 . . . . . . . . . 330,000 337,2673.65%, 6/15/2046 . . . . . . . . 50,000 50,9193.70%, 8/15/2028 . . . . . . . . 45,000 48,4554.00%, 8/1/2020 . . . . . . . . . 307,000 311,3814.00%, 3/1/2048 (b) . . . . . . . 310,000 334,8314.35%, 11/15/2045. . . . . . . . 200,000 225,4225.90%, 3/15/2036 . . . . . . . . 214,000 275,549Series 123, 3.75%, 8/15/2047 . 500,000 518,240


19


Connecticut Light & Power Co.:2.50%, 1/15/2023 . . . . . . . . $ 90,000 $ 90,7754.00%, 4/1/2048 . . . . . . . . . 50,000 54,774

Consolidated Edison Co. of NewYork, Inc.:3.85%, 6/15/2046 . . . . . . . . 76,000 78,2824.45%, 3/15/2044 . . . . . . . . 265,000 294,0784.50%, 12/1/2045 . . . . . . . . 275,000 309,6284.50%, 5/15/2058 . . . . . . . . 100,000 111,742Series 09-C, 5.50%,

12/1/2039. . . . . . . . . . . . 326,000 411,555Series 12-A, 4.20%,

3/15/2042. . . . . . . . . . . . 100,000 107,488Series 2017, 3.88%,

6/15/2047. . . . . . . . . . . . 120,000 124,223Series A, 4.13%, 5/15/2049 . . 200,000 215,630Series B, 3.13%, 11/15/2027. . 358,000 367,716Series C, 4.30%, 12/1/2056 . . 200,000 215,336Series D, 4.00%, 12/1/2028 . . 100,000 109,949Series E, 4.65%, 12/1/2048 . . 100,000 116,602

Consolidated Edison, Inc.2.00%, 5/15/2021 . . . . . . . . 68,000 67,667

Consumers Energy Co.:2.85%, 5/15/2022 . . . . . . . . 210,000 213,8033.25%, 8/15/2046 . . . . . . . . 50,000 48,2163.75%, 2/15/2050 . . . . . . . . 150,000 158,0883.95%, 5/15/2043 . . . . . . . . 100,000 106,4704.05%, 5/15/2048 . . . . . . . . 125,000 139,094

Dayton Power & Light Co.3.95%, 6/15/2049 (f) . . . . . . 125,000 129,242

Delmarva Power & Light Co.:3.50%, 11/15/2023. . . . . . . . 130,000 135,9384.15%, 5/15/2045 . . . . . . . . 100,000 107,180

Dominion Energy, Inc.:2.72%, 8/15/2021 (e) . . . . . . 70,000 70,1323.07%, 8/15/2024 (e) . . . . . . 70,000 70,6193.90%, 10/1/2025 . . . . . . . . 135,000 143,8284.25%, 6/1/2028 . . . . . . . . . 450,000 488,5874.70%, 12/1/2044 . . . . . . . . 175,000 196,7587.00%, 6/15/2038 . . . . . . . . 625,000 842,9063 Month USD LIBOR +

3.06%, 5.75%, 10/1/2054(d) . . . . . . . . . . . . . . . . 150,000 155,455

Series A, 4.60%, 3/15/2049 . . 440,000 487,876Series B, 5.95%, 6/15/2035 . . 150,000 183,970Series C, 2.00%, 8/15/2021 . . 20,000 19,813Series C, 4.90%, 8/1/2041 . . . 150,000 168,891Series D, 2.85%, 8/15/2026 . . 80,000 79,184Series F, 5.25%, 8/1/2033 . . . 193,000 227,030

DPL, Inc.:4.35%, 4/15/2029 (f) . . . . . . 145,000 147,0897.25%, 10/15/2021. . . . . . . . 122,000 131,237

DTE Electric Co.:3.65%, 3/15/2024 . . . . . . . . 152,000 159,9983.70%, 6/1/2046 . . . . . . . . . 100,000 103,6833.75%, 8/15/2047 . . . . . . . . 100,000 104,973


3.95%, 3/1/2049 . . . . . . . . . $ 85,000 $ 92,472Series A, 4.05%, 5/15/2048 . . 100,000 110,425

DTE Energy Co.:2.85%, 10/1/2026 . . . . . . . . 620,000 613,1066.38%, 4/15/2033 . . . . . . . . 150,000 194,509Series B, 2.60%, 6/15/2022 . . 70,000 70,414Series C, 3.40%, 6/15/2029 . . 70,000 71,329Series D, 3.70%, 8/1/2023 . . . 100,000 104,526

Duke Energy Carolinas LLC:2.50%, 3/15/2023 . . . . . . . . 70,000 70,6882.95%, 12/1/2026 . . . . . . . . 222,000 226,8973.05%, 3/15/2023 . . . . . . . . 400,000 411,8003.70%, 12/1/2047 . . . . . . . . 350,000 357,0283.75%, 6/1/2045 . . . . . . . . . 150,000 154,6274.00%, 9/30/2042 . . . . . . . . 231,000 246,8034.25%, 12/15/2041. . . . . . . . 270,000 296,6065.30%, 2/15/2040 . . . . . . . . 261,000 325,0786.05%, 4/15/2038 . . . . . . . . 150,000 200,5446.10%, 6/1/2037 . . . . . . . . . 150,000 197,541

Duke Energy Corp.:1.80%, 9/1/2021 . . . . . . . . . 232,000 229,3762.40%, 8/15/2022 . . . . . . . . 250,000 250,4402.65%, 9/1/2026 . . . . . . . . . 536,000 529,6383.05%, 8/15/2022 . . . . . . . . 189,000 192,6123.15%, 8/15/2027 . . . . . . . . 150,000 152,1133.40%, 6/15/2029 . . . . . . . . 355,000 364,1483.55%, 9/15/2021 . . . . . . . . 56,000 57,2413.75%, 4/15/2024 . . . . . . . . 207,000 218,3464.20%, 6/15/2049 . . . . . . . . 155,000 163,4514.80%, 12/15/2045. . . . . . . . 159,000 179,148

Duke Energy Florida LLC:3.20%, 1/15/2027 . . . . . . . . 175,000 180,8963.80%, 7/15/2028 . . . . . . . . 200,000 215,4844.20%, 7/15/2048 . . . . . . . . 200,000 220,476

Duke Energy Indiana LLC6.12%, 10/15/2035. . . . . . . . 200,000 261,720

Duke Energy Ohio, Inc.:3.65%, 2/1/2029 . . . . . . . . . 150,000 161,0713.70%, 6/15/2046 . . . . . . . . 28,000 28,6143.80%, 9/1/2023 . . . . . . . . . 60,000 63,1544.30%, 2/1/2049 . . . . . . . . . 65,000 72,712

Duke Energy Progress LLC:3.25%, 8/15/2025 . . . . . . . . 210,000 218,5813.45%, 3/15/2029 . . . . . . . . 210,000 221,3343.60%, 9/15/2047 . . . . . . . . 254,000 253,7314.20%, 8/15/2045 . . . . . . . . 325,000 356,076

Edison International:2.95%, 3/15/2023 (b) . . . . . . 150,000 143,6265.75%, 6/15/2027 . . . . . . . . 10,000 10,759

El Paso Electric Co.5.00%, 12/1/2044 . . . . . . . . 150,000 163,291

Emera US Finance L.P.3.55%, 6/15/2026 . . . . . . . . 132,000 134,698

Enel Americas SA4.00%, 10/25/2026. . . . . . . . 36,000 37,025


20


Enel Chile SA4.88%, 6/12/2028 . . . . . . . . $ 411,000 $ 448,693

Enel Generacion Chile SA4.25%, 4/15/2024 . . . . . . . . 50,000 52,573

Entergy Arkansas LLC3.50%, 4/1/2026 . . . . . . . . . 157,000 164,290

Entergy Corp.:2.95%, 9/1/2026 . . . . . . . . . 120,000 119,8625.13%, 9/15/2020 . . . . . . . . 205,000 209,873

Entergy Louisiana LLC:3.12%, 9/1/2027 . . . . . . . . . 125,000 127,4464.00%, 3/15/2033 . . . . . . . . 99,000 109,0374.20%, 4/1/2050 . . . . . . . . . 100,000 110,9624.95%, 1/15/2045 . . . . . . . . 157,000 164,861

Entergy Mississippi LLC:2.85%, 6/1/2028 . . . . . . . . . 620,000 621,7983.85%, 6/1/2049 . . . . . . . . . 50,000 52,328

Entergy Texas, Inc.:4.00%, 3/30/2029 . . . . . . . . 100,000 107,6204.50%, 3/30/2039 . . . . . . . . 300,000 333,033

Evergy, Inc.4.85%, 6/1/2021 . . . . . . . . . 120,000 124,235

Eversource Energy:2.50%, 3/15/2021 . . . . . . . . 350,000 350,8962.80%, 5/1/2023 . . . . . . . . . 100,000 101,143Series L, 2.90%, 10/1/2024 . . 108,000 109,594Series M, 3.30%, 1/15/2028 . . 500,000 509,305Series O, 4.25%, 4/1/2029 . . . 75,000 82,411

Exelon Corp.:2.45%, 4/15/2021 . . . . . . . . 155,000 154,8053.95%, 6/15/2025 . . . . . . . . 110,000 117,1074.45%, 4/15/2046 . . . . . . . . 301,000 322,1515.10%, 6/15/2045 . . . . . . . . 168,000 196,273

Exelon Generation Co. LLC:3.40%, 3/15/2022 . . . . . . . . 100,000 102,3744.00%, 10/1/2020 . . . . . . . . 200,000 203,0404.25%, 6/15/2022 . . . . . . . . 522,000 546,3205.60%, 6/15/2042 . . . . . . . . 534,000 594,678

FirstEnergy Corp.:Series A, 2.85%, 7/15/2022 . . 112,000 113,289Series B, 3.90%, 7/15/2027 . . 109,000 114,368Series B, 4.25%, 3/15/2023 . . 191,000 201,746Series C, 4.85%, 7/15/2047 . . 128,000 144,300Series C, 7.38%, 11/15/2031 . 685,000 937,724

Florida Power & Light Co.:3.13%, 12/1/2025 . . . . . . . . 100,000 104,0583.95%, 3/1/2048 . . . . . . . . . 125,000 136,0803.99%, 3/1/2049 . . . . . . . . . 460,000 504,0504.05%, 10/1/2044 . . . . . . . . 145,000 158,9465.69%, 3/1/2040 . . . . . . . . . 150,000 193,7525.96%, 4/1/2039 . . . . . . . . . 100,000 131,974

Fortis, Inc.2.10%, 10/4/2021 . . . . . . . . 65,000 64,336

Georgia Power Co.:4.30%, 3/15/2042 . . . . . . . . 955,000 1,010,524Series C, 2.00%, 9/8/2020 . . . 240,000 238,670


Gulf Power Co.Series A, 3.30%, 5/30/2027 . . $ 50,000 $ 51,900

Iberdrola International B.V.6.75%, 7/15/2036 . . . . . . . . 275,000 363,066

Indiana Michigan Power Co.:3.85%, 5/15/2028 . . . . . . . . 100,000 107,7766.05%, 3/15/2037 . . . . . . . . 130,000 166,237Series K, 4.55%, 3/15/2046 . . 306,000 344,890

Interstate Power & Light Co.:3.60%, 4/1/2029 . . . . . . . . . 371,000 387,4203.70%, 9/15/2046 . . . . . . . . 85,000 82,3186.25%, 7/15/2039 . . . . . . . . 50,000 64,954

ITC Holdings Corp.:2.70%, 11/15/2022. . . . . . . . 164,000 164,5763.25%, 6/30/2026 . . . . . . . . 115,000 116,8403.35%, 11/15/2027. . . . . . . . 108,000 110,8183.65%, 6/15/2024 . . . . . . . . 25,000 25,929

Kansas City Power & Light Co.:4.20%, 6/15/2047 . . . . . . . . 315,000 346,8754.20%, 3/15/2048 . . . . . . . . 100,000 110,467

Kentucky Utilities Co.4.38%, 10/1/2045 . . . . . . . . 80,000 90,148

LG&E & KU Energy LLC3.75%, 11/15/2020. . . . . . . . 401,000 406,947

Louisville Gas & Electric Co.4.25%, 4/1/2049 . . . . . . . . . 65,000 72,880

MidAmerican Energy Co.:3.10%, 5/1/2027 . . . . . . . . . 100,000 102,8133.50%, 10/15/2024. . . . . . . . 150,000 158,0764.25%, 5/1/2046 . . . . . . . . . 85,000 95,5734.80%, 9/15/2043 . . . . . . . . 150,000 179,382

Mississippi Power Co.Series 12-A, 4.25%,3/15/2042 . . . . . . . . . . . . . 226,000 229,831

Nevada Power Co.:Series CC, 3.70%, 5/1/2029 . . 693,000 741,337Series N, 6.65%, 4/1/2036 . . . 100,000 136,281Series R, 6.75%, 7/1/2037 . . . 15,000 20,707

NextEra Energy CapitalHoldings, Inc.:2.80%, 1/15/2023 . . . . . . . . 150,000 151,4322.90%, 4/1/2022 . . . . . . . . . 125,000 126,9623.15%, 4/1/2024 . . . . . . . . . 200,000 205,7523.20%, 2/25/2022 . . . . . . . . 100,000 101,8943.25%, 4/1/2026 . . . . . . . . . 345,000 354,4983.50%, 4/1/2029 (b) . . . . . . . 200,000 207,9523.55%, 5/1/2027 . . . . . . . . . 283,000 295,4154.50%, 6/1/2021 . . . . . . . . . 170,000 175,9413 Month USD LIBOR +

3.16%, 5.65%, 5/1/2079(d) . . . . . . . . . . . . . . . . 100,000 102,965

3 Month USD LIBOR +2.41%, 4.80%, 12/1/2077(d) . . . . . . . . . . . . . . . . 380,000 357,265

Series H, 3.34%, 9/1/2020 . . . 476,000 481,441Northern States Power Co.:


21


2.15%, 8/15/2022 . . . . . . . . $ 160,000 $ 159,8505.35%, 11/1/2039 . . . . . . . . 100,000 125,4886.25%, 6/1/2036 . . . . . . . . . 150,000 201,195

NorthWestern Corp.4.18%, 11/15/2044. . . . . . . . 250,000 267,667

NSTAR Electric Co.:3.20%, 5/15/2027 . . . . . . . . 280,000 288,6723.25%, 5/15/2029 . . . . . . . . 325,000 337,2394.40%, 3/1/2044 . . . . . . . . . 100,000 111,632

NV Energy, Inc.6.25%, 11/15/2020. . . . . . . . 300,000 315,348

Oglethorpe Power Corp.:5.05%, 10/1/2048 . . . . . . . . 275,000 318,7505.95%, 11/1/2039 . . . . . . . . 450,000 554,998

Ohio Power Co.:4.00%, 6/1/2049 . . . . . . . . . 45,000 48,2564.15%, 4/1/2048 . . . . . . . . . 100,000 108,802

Oklahoma Gas & Electric Co.:3.80%, 8/15/2028 . . . . . . . . 200,000 211,1584.15%, 4/1/2047 . . . . . . . . . 450,000 473,512

Oncor Electric Delivery Co.LLC:2.75%, 6/1/2024 (f) . . . . . . . 100,000 101,9403.70%, 11/15/2028 (f) . . . . . . 100,000 107,5813.70%, 11/15/2028. . . . . . . . 150,000 161,2683.80%, 9/30/2047 . . . . . . . . 120,000 127,0093.80%, 6/1/2049 (f) . . . . . . . 100,000 105,6394.10%, 11/15/2048. . . . . . . . 150,000 167,3795.30%, 6/1/2042 . . . . . . . . . 50,000 63,2347.00%, 9/1/2022 . . . . . . . . . 423,000 483,3667.00%, 5/1/2032 . . . . . . . . . 190,000 266,310

PacifiCorp:3.50%, 6/15/2029 . . . . . . . . 65,000 69,4653.85%, 6/15/2021 . . . . . . . . 390,000 400,7684.10%, 2/1/2042 . . . . . . . . . 50,000 54,2984.13%, 1/15/2049 . . . . . . . . 250,000 275,0524.15%, 2/15/2050 . . . . . . . . 100,000 110,6276.35%, 7/15/2038 . . . . . . . . 180,000 245,385

PECO Energy Co.:3.15%, 10/15/2025. . . . . . . . 150,000 155,1903.90%, 3/1/2048 . . . . . . . . . 380,000 405,0084.15%, 10/1/2044 . . . . . . . . 100,000 109,152

PNM Resources, Inc.3.25%, 3/9/2021 . . . . . . . . . 100,000 101,035

Potomac Electric Power Co.3.60%, 3/15/2024 . . . . . . . . 150,000 157,731

PPL Capital Funding, Inc.:3.10%, 5/15/2026 . . . . . . . . 150,000 149,5803.50%, 12/1/2022 . . . . . . . . 200,000 205,6404.00%, 9/15/2047 . . . . . . . . 300,000 289,4765.00%, 3/15/2044 . . . . . . . . 205,000 228,872

PPL Electric Utilities Corp.:4.13%, 6/15/2044 . . . . . . . . 215,000 235,0254.15%, 10/1/2045 . . . . . . . . 100,000 109,9976.25%, 5/15/2039 . . . . . . . . 250,000 335,582


Progress Energy, Inc.7.75%, 3/1/2031 . . . . . . . . . $ 348,000 $ 487,200

PSEG Power LLC3.00%, 6/15/2021 . . . . . . . . 160,000 161,475

Public Service Co. of Colorado:3.20%, 11/15/2020. . . . . . . . 100,000 100,7103.70%, 6/15/2028 . . . . . . . . 400,000 431,2283.80%, 6/15/2047 . . . . . . . . 100,000 104,4404.05%, 9/15/2049 . . . . . . . . 220,000 241,3034.10%, 6/15/2048 . . . . . . . . 185,000 204,1124.30%, 3/15/2044 . . . . . . . . 100,000 111,795

Public Service Co. of NewHampshire3.60%, 7/1/2049 . . . . . . . . . 100,000 102,098


3/15/2021. . . . . . . . . . . . 25,000 24,929Series MTN, 2.25%,

9/15/2026. . . . . . . . . . . . 239,000 232,478Series MTN, 2.38%,

5/15/2023. . . . . . . . . . . . 100,000 100,362Series MTN, 3.00%,

5/15/2027. . . . . . . . . . . . 55,000 55,985Series MTN, 3.20%,

5/15/2029. . . . . . . . . . . . 200,000 207,762Series MTN, 3.60%,

12/1/2047. . . . . . . . . . . . 615,000 629,434Series MTN, 3.70%, 5/1/2028. 175,000 188,646Series MTN, 3.80%, 3/1/2046. 290,000 306,017Series MTN, 3.85%, 5/1/2049. 165,000 176,733Series MTN, 3.95%, 5/1/2042. 40,000 42,860

Public Service Enterprise Group,Inc.2.65%, 11/15/2022. . . . . . . . 150,000 150,358

Puget Energy, Inc.:3.65%, 5/15/2025 . . . . . . . . 127,000 129,7275.63%, 7/15/2022 . . . . . . . . 300,000 322,2786.00%, 9/1/2021 . . . . . . . . . 100,000 107,129

Puget Sound Energy, Inc.5.64%, 4/15/2041 . . . . . . . . 106,000 133,470

San Diego Gas & Electric Co.:4.15%, 5/15/2048 (b) . . . . . . 400,000 417,232Series RRR, 3.75%, 6/1/2047 . 160,000 155,307Series TTT, 4.10%, 6/15/2049. 100,000 103,276

Sempra Energy:2.88%, 10/1/2022 . . . . . . . . 305,000 307,8492.90%, 2/1/2023 . . . . . . . . . 535,000 539,2643.40%, 2/1/2028 . . . . . . . . . 400,000 399,1163.55%, 6/15/2024 . . . . . . . . 123,000 126,9193.75%, 11/15/2025. . . . . . . . 50,000 51,5393.80%, 2/1/2038 . . . . . . . . . 152,000 146,8844.00%, 2/1/2048 . . . . . . . . . 203,000 198,4914.05%, 12/1/2023 . . . . . . . . 262,000 275,9386.00%, 10/15/2039. . . . . . . . 205,000 247,566


22


Sierra Pacific Power Co.2.60%, 5/1/2026 . . . . . . . . . $ 210,000 $ 207,717

South Carolina Electric & GasCo.:4.25%, 8/15/2028 . . . . . . . . 65,000 72,2974.35%, 2/1/2042 . . . . . . . . . 396,000 430,4204.60%, 6/15/2043 . . . . . . . . 150,000 169,8785.45%, 2/1/2041 . . . . . . . . . 120,000 147,725

Southern California Edison Co.:3.88%, 6/1/2021 . . . . . . . . . 70,000 71,1554.65%, 10/1/2043 . . . . . . . . 150,000 160,8245.50%, 3/15/2040 . . . . . . . . 450,000 520,0785.63%, 2/1/2036 . . . . . . . . . 200,000 231,5826.00%, 1/15/2034 . . . . . . . . 100,000 119,556Series 05-E, 5.35%,

7/15/2035. . . . . . . . . . . . 190,000 212,889Series 06-E, 5.55%,

1/15/2037. . . . . . . . . . . . 100,000 114,665Series 13-A, 3.90%,

3/15/2043. . . . . . . . . . . . 460,000 448,100Series A, 2.90%, 3/1/2021 . . . 485,000 485,645Series A, 4.20%, 3/1/2029 . . . 100,000 106,355Series B, 3.65%, 3/1/2028 . . . 225,000 230,175Series B, 4.88%, 3/1/2049 . . . 300,000 337,278Series E, 3.70%, 8/1/2025 . . . 60,000 62,032

Southern Co.:2.95%, 7/1/2023 . . . . . . . . . 397,000 402,8163.25%, 7/1/2026 . . . . . . . . . 374,000 379,6514.25%, 7/1/2036 . . . . . . . . . 802,000 830,038Series B, 3 Month USD

LIBOR + 3.63%, 5.50%,3/15/2057 (d) . . . . . . . . . 150,000 153,487

Southern Power Co.:4.15%, 12/1/2025 . . . . . . . . 114,000 121,291Series E, 2.50%, 12/15/2021. . 50,000 50,009

Southwestern Electric Power Co.:Series J, 3.90%, 4/1/2045. . . . 200,000 198,964Series K, 2.75%, 10/1/2026 . . 240,000 235,632Series L, 3.85%, 2/1/2048 . . . 660,000 651,097

Southwestern Public Service Co.:3.75%, 6/15/2049 . . . . . . . . 350,000 357,2456.00%, 10/1/2036 . . . . . . . . 50,000 60,990Series 6, 4.40%, 11/15/2048 . . 200,000 225,494

Tampa Electric Co.:4.10%, 6/15/2042 . . . . . . . . 75,000 78,2394.30%, 6/15/2048 . . . . . . . . 325,000 353,909

Tucson Electric Power Co.:3.05%, 3/15/2025 . . . . . . . . 150,000 151,6874.85%, 12/1/2048 . . . . . . . . 200,000 233,698

Union Electric Co.:2.95%, 6/15/2027 . . . . . . . . 205,000 208,2763.50%, 3/15/2029 . . . . . . . . 300,000 317,5173.65%, 4/15/2045 . . . . . . . . 60,000 61,3294.00%, 4/1/2048 . . . . . . . . . 200,000 216,410

Virginia Electric & Power Co.:2.95%, 1/15/2022 . . . . . . . . 200,000 202,896


6.35%, 11/30/2037. . . . . . . . $ 160,000 $ 212,699Series A, 3.15%, 1/15/2026 . . 227,000 234,103Series B, 2.95%, 11/15/2026. . 150,000 152,316Series B, 3.80%, 9/15/2047 . . 100,000 102,667Series B, 4.20%, 5/15/2045 . . 150,000 161,967Series C, 2.75%, 3/15/2023 . . 272,000 275,800Series C, 4.00%, 11/15/2046 . 110,000 116,134

WEC Energy Group, Inc.:3.10%, 3/8/2022 . . . . . . . . . 90,000 91,6073.38%, 6/15/2021 . . . . . . . . 212,000 216,075

Westar Energy, Inc.:3.10%, 4/1/2027 . . . . . . . . . 250,000 256,3574.10%, 4/1/2043 . . . . . . . . . 100,000 107,2524.25%, 12/1/2045 . . . . . . . . 175,000 191,280

Wisconsin Electric Power Co.:2.95%, 9/15/2021 . . . . . . . . 250,000 253,2725.70%, 12/1/2036 . . . . . . . . 100,000 129,099

Wisconsin Power & Light Co.:3.00%, 7/1/2029 . . . . . . . . . 100,000 101,8143.05%, 10/15/2027. . . . . . . . 200,000 203,3466.38%, 8/15/2037 . . . . . . . . 140,000 191,170

Xcel Energy, Inc.4.00%, 6/15/2028 . . . . . . . . 109,000 117,309

72,984,077

ELECTRICALCOMPONENTS &EQUIPMENT — 0.0% (a)

Hubbell, Inc.:3.15%, 8/15/2027 . . . . . . . . 150,000 147,6793.35%, 3/1/2026 . . . . . . . . . 50,000 50,135

197,814

ELECTRONICS — 0.1%Agilent Technologies, Inc.:

3.05%, 9/22/2026 . . . . . . . . 250,000 251,5255.00%, 7/15/2020 . . . . . . . . 164,000 167,939

Allegion US Holding Co., Inc.:3.20%, 10/1/2024 . . . . . . . . 50,000 50,4983.55%, 10/1/2027 . . . . . . . . 192,000 189,231

Amphenol Corp.:3.20%, 4/1/2024 . . . . . . . . . 100,000 102,5474.35%, 6/1/2029 (b) . . . . . . . 150,000 162,409

Arrow Electronics, Inc.:3.50%, 4/1/2022 . . . . . . . . . 100,000 101,6023.88%, 1/12/2028 . . . . . . . . 128,000 126,724

Avnet, Inc.4.88%, 12/1/2022 . . . . . . . . 105,000 111,335

Corning, Inc.:4.38%, 11/15/2057. . . . . . . . 250,000 243,8055.85%, 11/15/2068. . . . . . . . 150,000 178,134

Flex, Ltd.:4.75%, 6/15/2025 . . . . . . . . 50,000 51,9194.88%, 6/15/2029 . . . . . . . . 250,000 254,377

FLIR Systems, Inc.3.13%, 6/15/2021 . . . . . . . . 225,000 226,339


23


Fortive Corp.:2.35%, 6/15/2021 . . . . . . . . $ 50,000 $ 49,8893.15%, 6/15/2026 . . . . . . . . 203,000 203,144

Honeywell International, Inc.:1.85%, 11/1/2021 . . . . . . . . 705,000 700,1572.50%, 11/1/2026 . . . . . . . . 250,000 249,9153.81%, 11/21/2047. . . . . . . . 100,000 106,9484.25%, 3/1/2021 . . . . . . . . . 64,000 66,181

Jabil, Inc.:3.95%, 1/12/2028 . . . . . . . . 671,000 656,9765.63%, 12/15/2020. . . . . . . . 150,000 155,687

Tech Data Corp.:3.70%, 2/15/2022 . . . . . . . . 163,000 165,8174.95%, 2/15/2027 . . . . . . . . 191,000 199,087

Trimble, Inc.:4.15%, 6/15/2023 . . . . . . . . 300,000 311,2264.75%, 12/1/2024 . . . . . . . . 230,000 245,336

Tyco Electronics Group SA:3.13%, 8/15/2027 . . . . . . . . 194,000 194,2813.70%, 2/15/2026 . . . . . . . . 148,000 153,460

5,676,488

ENGINEERING &CONSTRUCTION — 0.0%(a)

Fluor Corp.4.25%, 9/15/2028 . . . . . . . . 100,000 103,206


Republic Services, Inc.:2.90%, 7/1/2026 . . . . . . . . . 95,000 95,4913.20%, 3/15/2025 . . . . . . . . 125,000 129,1763.38%, 11/15/2027. . . . . . . . 145,000 151,0283.55%, 6/1/2022 . . . . . . . . . 300,000 308,9944.75%, 5/15/2023 . . . . . . . . 216,000 233,155

Waste Connections, Inc.:3.50%, 5/1/2029 . . . . . . . . . 150,000 156,0324.25%, 12/1/2028 . . . . . . . . 55,000 60,188

Waste Management, Inc.:2.40%, 5/15/2023 . . . . . . . . 100,000 100,2622.90%, 9/15/2022 . . . . . . . . 141,000 143,7282.95%, 6/15/2024 . . . . . . . . 45,000 46,2393.15%, 11/15/2027. . . . . . . . 183,000 189,0413.20%, 6/15/2026 . . . . . . . . 100,000 104,0823.45%, 6/15/2029 . . . . . . . . 100,000 105,3733.50%, 5/15/2024 . . . . . . . . 150,000 157,2543.90%, 3/1/2035 . . . . . . . . . 250,000 264,4974.00%, 7/15/2039 . . . . . . . . 105,000 112,8494.10%, 3/1/2045 . . . . . . . . . 200,000 215,9604.15%, 7/15/2049 . . . . . . . . 125,000 136,7154.60%, 3/1/2021 . . . . . . . . . 100,000 103,247

2,813,311


3.30%, 3/15/2021 . . . . . . . . 100,000 101,268


3.30%, 3/19/2025 . . . . . . . . $ 200,000 $ 201,9203.65%, 3/15/2023 . . . . . . . . 150,000 154,5033.80%, 8/2/2042 . . . . . . . . . 50,000 43,6173.95%, 3/15/2025 . . . . . . . . 100,000 104,3344.15%, 3/15/2028 . . . . . . . . 150,000 157,0454.25%, 4/15/2021 . . . . . . . . 236,000 242,9714.80%, 3/15/2048 (b) . . . . . . 440,000 446,556

Conagra Brands, Inc.:3.20%, 1/25/2023 . . . . . . . . 247,000 252,1383.80%, 10/22/2021. . . . . . . . 123,000 126,4074.30%, 5/1/2024 . . . . . . . . . 65,000 69,0354.60%, 11/1/2025 . . . . . . . . 105,000 114,1034.85%, 11/1/2028 . . . . . . . . 216,000 239,3135.30%, 11/1/2038 . . . . . . . . 95,000 102,9525.40%, 11/1/2048 . . . . . . . . 105,000 115,2327.00%, 10/1/2028 . . . . . . . . 300,000 371,673

Flowers Foods, Inc.:3.50%, 10/1/2026 . . . . . . . . 300,000 300,8404.38%, 4/1/2022 . . . . . . . . . 100,000 104,465

General Mills, Inc.:3.20%, 4/16/2021 . . . . . . . . 185,000 187,7713.20%, 2/10/2027 (b) . . . . . . 100,000 101,5013.70%, 10/17/2023. . . . . . . . 260,000 272,4884.00%, 4/17/2025 . . . . . . . . 104,000 110,6324.20%, 4/17/2028 . . . . . . . . 179,000 193,2824.55%, 4/17/2038 . . . . . . . . 300,000 319,1434.70%, 4/17/2048 (b) . . . . . . 250,000 269,272

Hershey Co.:2.30%, 8/15/2026 . . . . . . . . 61,000 59,8343.38%, 8/15/2046 . . . . . . . . 50,000 49,8634.13%, 12/1/2020 . . . . . . . . 400,000 410,428

Ingredion, Inc.4.63%, 11/1/2020 . . . . . . . . 368,000 377,925

JM Smucker Co.:3.38%, 12/15/2027 (b) . . . . . 295,000 301,0713.50%, 3/15/2025 . . . . . . . . 258,000 267,0254.25%, 3/15/2035 . . . . . . . . 100,000 102,7134.38%, 3/15/2045 . . . . . . . . 25,000 25,323

Kellogg Co.:3.13%, 5/17/2022 . . . . . . . . 100,000 101,9073.25%, 5/14/2021 . . . . . . . . 50,000 50,8793.25%, 4/1/2026 . . . . . . . . . 205,000 208,0303.40%, 11/15/2027. . . . . . . . 408,000 415,2424.30%, 5/15/2028 . . . . . . . . 250,000 270,920

Koninklijke Ahold Delhaize NV5.70%, 10/1/2040 . . . . . . . . 181,000 207,176

Kraft Heinz Foods Co.:2.80%, 7/2/2020 . . . . . . . . . 216,000 216,3823.00%, 6/1/2026 . . . . . . . . . 405,000 394,2843.50%, 6/6/2022 . . . . . . . . . 906,000 929,6103.50%, 7/15/2022 . . . . . . . . 286,000 292,6353.95%, 7/15/2025 . . . . . . . . 173,000 179,9534.38%, 6/1/2046 . . . . . . . . . 610,000 577,9635.00%, 7/15/2035 (b) . . . . . . 275,000 289,5455.00%, 6/4/2042 . . . . . . . . . 367,000 377,742


24


5.20%, 7/15/2045 . . . . . . . . $ 572,000 $ 598,667Kroger Co.:

2.60%, 2/1/2021 . . . . . . . . . 162,000 162,4762.65%, 10/15/2026 (b) . . . . . 246,000 237,1273.70%, 8/1/2027 . . . . . . . . . 73,000 75,2263.88%, 10/15/2046. . . . . . . . 75,000 67,1384.45%, 2/1/2047 (b) . . . . . . . 504,000 492,9424.65%, 1/15/2048 (b) . . . . . . 275,000 276,3895.40%, 7/15/2040 . . . . . . . . 365,000 394,9265.40%, 1/15/2049 . . . . . . . . 169,000 187,7666.90%, 4/15/2038 . . . . . . . . 246,000 309,630

McCormick & Co., Inc.:3.40%, 8/15/2027 . . . . . . . . 358,000 365,9914.20%, 8/15/2047 (b) . . . . . . 150,000 155,820

Mondelez International, Inc.:3.63%, 2/13/2026 . . . . . . . . 200,000 210,1504.63%, 5/7/2048 . . . . . . . . . 426,000 460,293

Sysco Corp.:2.60%, 10/1/2020 . . . . . . . . 90,000 90,2713.25%, 7/15/2027 . . . . . . . . 600,000 611,3403.75%, 10/1/2025 . . . . . . . . 288,000 305,6264.50%, 4/1/2046 . . . . . . . . . 100,000 108,479

Tyson Foods, Inc.:2.25%, 8/23/2021 . . . . . . . . 35,000 34,9063.90%, 9/28/2023 . . . . . . . . 400,000 421,1084.00%, 3/1/2026 . . . . . . . . . 65,000 69,1894.35%, 3/1/2029 . . . . . . . . . 90,000 98,3804.50%, 6/15/2022 . . . . . . . . 320,000 337,7984.55%, 6/2/2047 . . . . . . . . . 200,000 208,9524.88%, 8/15/2034 . . . . . . . . 70,000 79,7895.15%, 8/15/2044 . . . . . . . . 487,000 544,778

17,714,068


Celulosa Arauco y ConstitucionSA:3.88%, 11/2/2027 . . . . . . . . 108,000 110,0364.50%, 8/1/2024 . . . . . . . . . 100,000 105,450

Fibria Overseas Finance, Ltd.:4.00%, 1/14/2025 (b) . . . . . . 58,000 58,4075.25%, 5/12/2024 . . . . . . . . 413,000 438,6025.50%, 1/17/2027 . . . . . . . . 524,000 562,928

International Paper Co.:3.00%, 2/15/2027 (b) . . . . . . 380,000 376,0403.80%, 1/15/2026 . . . . . . . . 447,000 468,3844.40%, 8/15/2047 . . . . . . . . 262,000 255,8465.15%, 5/15/2046 . . . . . . . . 175,000 187,3106.00%, 11/15/2041. . . . . . . . 67,000 78,5527.50%, 8/15/2021 . . . . . . . . 102,000 112,576

Suzano Austria GmbH:5.00%, 1/15/2030 (f) . . . . . . 550,000 555,9566.00%, 1/15/2029 (f) . . . . . . 544,000 594,217

3,904,304


GAS — 0.1%Atmos Energy Corp.:

3.00%, 6/15/2027 . . . . . . . . $ 345,000 $ 351,7904.13%, 10/15/2044. . . . . . . . 162,000 177,3964.13%, 3/15/2049 . . . . . . . . 80,000 88,2494.15%, 1/15/2043 . . . . . . . . 100,000 108,490

CenterPoint Energy ResourcesCorp.3.55%, 4/1/2023 . . . . . . . . . 200,000 206,142

Dominion Energy GasHoldings LLC4.80%, 11/1/2043 . . . . . . . . 200,000 227,876

National Fuel Gas Co.:3.75%, 3/1/2023 . . . . . . . . . 157,000 160,7884.75%, 9/1/2028 . . . . . . . . . 450,000 472,2485.20%, 7/15/2025 . . . . . . . . 50,000 53,908

NiSource, Inc.:2.65%, 11/17/2022. . . . . . . . 170,000 171,1273.49%, 5/15/2027 . . . . . . . . 90,000 93,0623.65%, 6/15/2023 . . . . . . . . 500,000 517,6403.95%, 3/30/2048 . . . . . . . . 219,000 219,7074.38%, 5/15/2047 . . . . . . . . 436,000 466,8954.80%, 2/15/2044 . . . . . . . . 141,000 157,229

ONE Gas, Inc.4.50%, 11/1/2048 . . . . . . . . 130,000 148,633

Piedmont Natural Gas Co., Inc.:3.50%, 6/1/2029 . . . . . . . . . 350,000 364,8403.64%, 11/1/2046 . . . . . . . . 100,000 95,323

Southern California Gas Co.:Series TT, 2.60%, 6/15/2026. . 211,000 206,082Series WW, 3.95%, 2/15/2050. 50,000 51,937

Southern Co. Gas Capital Corp.2.45%, 10/1/2023 . . . . . . . . 265,000 263,927

Southwest Gas Corp.:3.70%, 4/1/2028 . . . . . . . . . 350,000 368,2453.80%, 9/29/2046 . . . . . . . . 100,000 98,1474.15%, 6/1/2049 . . . . . . . . . 30,000 31,408

Washington Gas Light Co.Series K, 3.80%, 9/15/2046 . . 35,000 35,050

5,136,139

HAND & MACHINE TOOLS— 0.0% (a)

Kennametal, Inc.4.63%, 6/15/2028 . . . . . . . . 327,000 340,489

Snap-on, Inc.:3.25%, 3/1/2027 . . . . . . . . . 45,000 46,4184.10%, 3/1/2048 . . . . . . . . . 85,000 92,180

Stanley Black & Decker, Inc.:3.40%, 12/1/2021 . . . . . . . . 210,000 214,3153.40%, 3/1/2026 . . . . . . . . . 318,000 332,1224.25%, 11/15/2028. . . . . . . . 150,000 167,093

1,192,617


Abbott Laboratories:


25


2.90%, 11/30/2021. . . . . . . . $ 722,000 $ 733,7113.40%, 11/30/2023. . . . . . . . 79,000 82,3593.75%, 11/30/2026. . . . . . . . 251,000 271,8913.88%, 9/15/2025 . . . . . . . . 40,000 43,0534.75%, 11/30/2036. . . . . . . . 771,000 912,2094.90%, 11/30/2046. . . . . . . . 554,000 683,2766.00%, 4/1/2039 . . . . . . . . . 275,000 364,6036.15%, 11/30/2037. . . . . . . . 165,000 220,217

Baxter International, Inc.:1.70%, 8/15/2021 . . . . . . . . 50,000 49,3412.60%, 8/15/2026 . . . . . . . . 250,000 248,8373.50%, 8/15/2046 . . . . . . . . 200,000 186,786

Becton Dickinson and Co.:2.89%, 6/6/2022 . . . . . . . . . 188,000 190,5293.13%, 11/8/2021 . . . . . . . . 317,000 321,6353.25%, 11/12/2020. . . . . . . . 258,000 260,2423.36%, 6/6/2024 . . . . . . . . . 263,000 271,4403.70%, 6/6/2027 . . . . . . . . . 173,000 180,5953.73%, 12/15/2024. . . . . . . . 28,000 29,3424.67%, 6/6/2047 . . . . . . . . . 140,000 157,070

Boston Scientific Corp.:3.45%, 3/1/2024 . . . . . . . . . 160,000 167,1303.75%, 3/1/2026 . . . . . . . . . 420,000 446,2294.00%, 3/1/2028 . . . . . . . . . 300,000 322,9654.00%, 3/1/2029 . . . . . . . . . 840,000 909,3764.55%, 3/1/2039 . . . . . . . . . 410,000 455,5964.70%, 3/1/2049 . . . . . . . . . 165,000 188,352

Danaher Corp.:3.35%, 9/15/2025 . . . . . . . . 65,000 67,9754.38%, 9/15/2045 . . . . . . . . 160,000 177,654

Edwards Lifesciences Corp.4.30%, 6/15/2028 . . . . . . . . 500,000 541,115

Koninklijke Philips NV:5.00%, 3/15/2042 . . . . . . . . 300,000 349,9086.88%, 3/11/2038 . . . . . . . . 100,000 138,241

Medtronic Global Holdings SCA3.35%, 4/1/2027 . . . . . . . . . 284,000 301,219

Medtronic, Inc.:3.15%, 3/15/2022 . . . . . . . . 587,000 603,4713.50%, 3/15/2025 . . . . . . . . 1,392,000 1,474,8384.63%, 3/15/2045 . . . . . . . . 695,000 840,359

Stryker Corp.:2.63%, 3/15/2021 . . . . . . . . 270,000 271,1663.38%, 11/1/2025 . . . . . . . . 75,000 78,8933.50%, 3/15/2026 . . . . . . . . 209,000 218,8423.65%, 3/7/2028 . . . . . . . . . 100,000 106,1904.10%, 4/1/2043 . . . . . . . . . 435,000 453,6224.63%, 3/15/2046 . . . . . . . . 240,000 275,362

Thermo Fisher Scientific, Inc.:2.95%, 9/19/2026 . . . . . . . . 387,000 390,1003.00%, 4/15/2023 . . . . . . . . 179,000 183,2373.20%, 8/15/2027 . . . . . . . . 215,000 219,8783.65%, 12/15/2025. . . . . . . . 100,000 105,3244.10%, 8/15/2047 . . . . . . . . 185,000 198,2185.30%, 2/1/2044 . . . . . . . . . 115,000 140,490


Zimmer Biomet Holdings, Inc.:3.55%, 4/1/2025 . . . . . . . . . $ 310,000 $ 320,2923.70%, 3/19/2023 . . . . . . . . 300,000 309,624

15,462,802


Advocate Health & HospitalsCorp.:3.83%, 8/15/2028 . . . . . . . . 45,000 48,7774.27%, 8/15/2048 . . . . . . . . 30,000 33,836

Aetna, Inc.:2.75%, 11/15/2022. . . . . . . . 125,000 125,7182.80%, 6/15/2023 . . . . . . . . 105,000 105,4913.50%, 11/15/2024. . . . . . . . 300,000 309,4144.50%, 5/15/2042 . . . . . . . . 541,000 537,4134.75%, 3/15/2044 . . . . . . . . 220,000 224,9746.63%, 6/15/2036 . . . . . . . . 156,000 194,126

AHS Hospital Corp.5.02%, 7/1/2045 . . . . . . . . . 25,000 30,614

Allina Health SystemSeries 2019, 3.89%,4/15/2049 . . . . . . . . . . . . . 200,000 211,990

Anthem, Inc.:2.50%, 11/21/2020. . . . . . . . 177,000 177,3012.95%, 12/1/2022 . . . . . . . . 107,000 108,5223.30%, 1/15/2023 . . . . . . . . 365,000 375,6213.50%, 8/15/2024 . . . . . . . . 229,000 237,8303.65%, 12/1/2027 . . . . . . . . 521,000 540,6524.10%, 3/1/2028 . . . . . . . . . 205,000 219,2864.55%, 3/1/2048 . . . . . . . . . 160,000 174,1394.63%, 5/15/2042 . . . . . . . . 236,000 256,8674.65%, 1/15/2043 . . . . . . . . 283,000 308,0604.65%, 8/15/2044 . . . . . . . . 165,000 179,961

Ascension Health3.95%, 11/15/2046. . . . . . . . 205,000 221,451

Baylor Scott & White Holdings:3.97%, 11/15/2046. . . . . . . . 50,000 52,9014.19%, 11/15/2045. . . . . . . . 365,000 401,234

Children’s Hospital Corp.Series 2017, 4.12%, 1/1/2047 . 65,000 71,375

Children’s Hospital MedicalCenter4.27%, 5/15/2044 . . . . . . . . 200,000 223,386

Cigna Corp.:3.75%, 7/15/2023 (f) . . . . . . 150,000 156,1024.13%, 11/15/2025 (f) . . . . . . 265,000 281,8944.38%, 10/15/2028 (f) . . . . . . 200,000 215,8224.80%, 8/15/2038 (f) . . . . . . 645,000 694,5234.90%, 12/15/2048 (b) (f) . . . 670,000 731,680

Cigna Holding Co.:3.05%, 10/15/2027. . . . . . . . 349,000 345,4053.25%, 4/15/2025 . . . . . . . . 301,000 306,0483.88%, 10/15/2047. . . . . . . . 170,000 158,3864.00%, 2/15/2022 . . . . . . . . 84,000 86,8024.50%, 3/15/2021 . . . . . . . . 427,000 438,994


26


5.38%, 2/15/2042 . . . . . . . . $ 125,000 $ 143,129CommonSpirit Health

4.35%, 11/1/2042 . . . . . . . . 275,000 276,400Coventry Health Care, Inc.

5.45%, 6/15/2021 . . . . . . . . 162,000 169,907Dartmouth-Hitchcock Health

Series B, 4.18%, 8/1/2048 . . . 100,000 107,803Duke University Health System,

Inc.Series 2017, 3.92%, 6/1/2047 . 100,000 109,503

Hackensack Meridian Health,Inc.:4.21%, 7/1/2048 . . . . . . . . . 40,000 44,2484.50%, 7/1/2057 . . . . . . . . . 500,000 582,895

HCA, Inc.:4.13%, 6/15/2029 . . . . . . . . 175,000 180,2594.50%, 2/15/2027 . . . . . . . . 225,000 239,8904.75%, 5/1/2023 . . . . . . . . . 214,000 228,7555.00%, 3/15/2024 . . . . . . . . 310,000 337,6775.13%, 6/15/2039 . . . . . . . . 100,000 104,1795.25%, 4/15/2025 . . . . . . . . 245,000 271,2645.25%, 6/15/2026 . . . . . . . . 225,000 248,8455.25%, 6/15/2049 . . . . . . . . 300,000 312,8165.50%, 6/15/2047 . . . . . . . . 270,000 289,4515.88%, 3/15/2022 . . . . . . . . 392,000 429,405

Humana, Inc.:2.50%, 12/15/2020. . . . . . . . 225,000 224,9963.85%, 10/1/2024 . . . . . . . . 110,000 115,2143.95%, 3/15/2027 . . . . . . . . 50,000 52,1754.63%, 12/1/2042 . . . . . . . . 405,000 423,6954.95%, 10/1/2044 . . . . . . . . 29,000 32,117

Johns Hopkins Health SystemCorp.3.84%, 5/15/2046 . . . . . . . . 35,000 37,267

Kaiser Foundation Hospitals:3.15%, 5/1/2027 . . . . . . . . . 209,000 215,2684.15%, 5/1/2047 . . . . . . . . . 162,000 180,530

Laboratory Corp. of AmericaHoldings:3.25%, 9/1/2024 . . . . . . . . . 265,000 269,8314.63%, 11/15/2020. . . . . . . . 111,000 113,6504.70%, 2/1/2045 . . . . . . . . . 365,000 377,227

Mayo ClinicSeries 2016, 4.13%,11/15/2052. . . . . . . . . . . . . 50,000 55,699

McLaren Health Care Corp.Series A, 4.39%, 5/15/2048 . . 340,000 381,225

Memorial Sloan-KetteringCancer CenterSeries 2015, 4.20%, 7/1/2055 . 64,000 73,132

Mercy HealthSeries 2018, 4.30%, 7/1/2028 . 25,000 27,578

Mount Sinai Hospitals Group,Inc.Series 2017, 3.98%, 7/1/2048 . 50,000 50,788


New York and PresbyterianHospital4.02%, 8/1/2045 . . . . . . . . . $ 25,000 $ 27,672

Northwell Healthcare, Inc.3.98%, 11/1/2046 . . . . . . . . 160,000 163,293

NYU Langone Hospitals:4.37%, 7/1/2047 . . . . . . . . . 65,000 71,8984.78%, 7/1/2044 . . . . . . . . . 50,000 57,310

Orlando Health Obligated Group4.09%, 10/1/2048 . . . . . . . . 45,000 47,773

Partners Healthcare System, Inc.Series 2017, 3.77%, 7/1/2048 . 20,000 20,055

PeaceHealth Obligated GroupSeries 2018, 4.79%,11/15/2048. . . . . . . . . . . . . 100,000 120,112

Providence St. Joseph HealthObligated Group:Series A, 3.93%, 10/1/2048 . . 70,000 72,587Series H, 2.75%, 10/1/2026 . . 50,000 49,904Series I, 3.74%, 10/1/2047 . . . 50,000 50,906

Quest Diagnostics, Inc.:3.45%, 6/1/2026 (b) . . . . . . . 250,000 258,3524.20%, 6/30/2029 . . . . . . . . 500,000 537,030

RWJ Barnabas Health, Inc.3.95%, 7/1/2046 . . . . . . . . . 50,000 51,837

SSM Health Care Corp.Series 2018, 3.69%, 6/1/2023 . 190,000 198,596

Stanford Health CareSeries 2018, 3.80%,11/15/2048. . . . . . . . . . . . . 965,000 1,035,223

Sutter Health:Series 2018, 3.70%,

8/15/2028. . . . . . . . . . . . 100,000 106,598Series 2018, 4.09%,

8/15/2048. . . . . . . . . . . . 100,000 107,854Toledo Hospital

5.75%, 11/15/2038 (g) . . . . . 350,000 403,644Trinity Health Corp.

4.13%, 12/1/2045 . . . . . . . . 25,000 27,150UnitedHealth Group, Inc.:

1.95%, 10/15/2020. . . . . . . . 430,000 428,2802.13%, 3/15/2021 . . . . . . . . 143,000 142,7342.38%, 10/15/2022. . . . . . . . 146,000 146,5112.70%, 7/15/2020 . . . . . . . . 267,000 268,1372.95%, 10/15/2027. . . . . . . . 219,000 222,4383.10%, 3/15/2026 . . . . . . . . 432,000 446,4723.15%, 6/15/2021 . . . . . . . . 250,000 254,4003.35%, 7/15/2022 . . . . . . . . 451,000 465,3963.38%, 4/15/2027 . . . . . . . . 429,000 448,7553.45%, 1/15/2027 . . . . . . . . 108,000 113,4593.50%, 2/15/2024 . . . . . . . . 540,000 566,1413.70%, 12/15/2025. . . . . . . . 240,000 255,8303.75%, 7/15/2025 . . . . . . . . 979,000 1,045,3083.75%, 10/15/2047. . . . . . . . 130,000 133,2333.88%, 10/15/2020. . . . . . . . 100,000 101,6123.88%, 12/15/2028. . . . . . . . 250,000 272,232


27


3.95%, 10/15/2042. . . . . . . . $ 145,000 $ 152,0924.20%, 1/15/2047 . . . . . . . . 33,000 36,1184.25%, 4/15/2047 . . . . . . . . 140,000 154,3094.25%, 6/15/2048 . . . . . . . . 300,000 332,7124.45%, 12/15/2048. . . . . . . . 45,000 51,7095.95%, 2/15/2041 . . . . . . . . 125,000 163,9436.88%, 2/15/2038 . . . . . . . . 234,000 338,170

25,441,198

HOME BUILDERS — 0.0%(a)

DR Horton, Inc.:2.55%, 12/1/2020 . . . . . . . . 224,000 223,8574.75%, 2/15/2023 . . . . . . . . 190,000 200,678

424,535


Leggett & Platt, Inc.:3.50%, 11/15/2027. . . . . . . . 408,000 405,1524.40%, 3/15/2029 . . . . . . . . 100,000 104,674

Whirlpool Corp.:3.70%, 5/1/2025 . . . . . . . . . 200,000 207,7284.00%, 3/1/2024 . . . . . . . . . 360,000 377,3854.50%, 6/1/2046 . . . . . . . . . 265,000 252,1344.75%, 2/26/2029 . . . . . . . . 500,000 537,970

1,885,043

HOUSEHOLD PRODUCTS &WARES — 0.0% (a)

Avery Dennison Corp.4.88%, 12/6/2028 . . . . . . . . 100,000 110,750

Church & Dwight Co., Inc.3.95%, 8/1/2047 . . . . . . . . . 200,000 201,614

Clorox Co.:3.50%, 12/15/2024. . . . . . . . 116,000 122,1613.90%, 5/15/2028 . . . . . . . . 200,000 216,396

Kimberly-Clark Corp.:2.40%, 3/1/2022 . . . . . . . . . 100,000 100,7762.75%, 2/15/2026 . . . . . . . . 50,000 50,8373.20%, 4/25/2029 . . . . . . . . 300,000 315,0333.95%, 11/1/2028 . . . . . . . . 55,000 60,9916.63%, 8/1/2037 . . . . . . . . . 231,000 330,217

1,508,775

HOUSEWARES — 0.0% (a)Newell Brands, Inc.:

3.85%, 4/1/2023 . . . . . . . . . 242,000 245,7494.20%, 4/1/2026 . . . . . . . . . 277,000 273,6235.38%, 4/1/2036 . . . . . . . . . 206,000 203,4935.50%, 4/1/2046 . . . . . . . . . 750,000 724,627

1,447,492

INSURANCE — 0.9%Aflac, Inc.:

3.63%, 11/15/2024. . . . . . . . 210,000 222,1554.75%, 1/15/2049 . . . . . . . . 300,000 352,647


Alleghany Corp.:4.90%, 9/15/2044 . . . . . . . . $ 125,000 $ 136,1944.95%, 6/27/2022 . . . . . . . . 50,000 53,602

Allstate Corp.:3.85%, 8/10/2049 . . . . . . . . 250,000 264,2104.20%, 12/15/2046. . . . . . . . 140,000 156,0665.35%, 6/1/2033 . . . . . . . . . 49,000 60,8093 Month USD LIBOR +

2.12%, 6.50%, 5/15/2067(d) . . . . . . . . . . . . . . . . 350,000 397,967

Series B, 3 Month USDLIBOR + 2.94%, 5.75%,8/15/2053 (d) . . . . . . . . . 250,000 262,100

American Financial Group, Inc.:3.50%, 8/15/2026 . . . . . . . . 85,000 85,6714.50%, 6/15/2047 . . . . . . . . 185,000 187,377

American International Group,Inc.:3.30%, 3/1/2021 . . . . . . . . . 521,000 528,0183.75%, 7/10/2025 . . . . . . . . 207,000 217,1123.88%, 1/15/2035 . . . . . . . . 360,000 359,5504.13%, 2/15/2024 . . . . . . . . 260,000 275,3354.25%, 3/15/2029 (b) . . . . . . 100,000 107,2164.50%, 7/16/2044 . . . . . . . . 395,000 416,8244.70%, 7/10/2035 . . . . . . . . 179,000 195,0974.75%, 4/1/2048 . . . . . . . . . 100,000 110,0234.88%, 6/1/2022 . . . . . . . . . 925,000 990,6843 Month USD LIBOR +

4.20%, 8.18%, 5/15/2068(d) . . . . . . . . . . . . . . . . 200,000 258,064

Aon Corp.:3.75%, 5/2/2029 . . . . . . . . . 100,000 104,2404.50%, 12/15/2028. . . . . . . . 350,000 385,0318.21%, 1/1/2027 . . . . . . . . . 250,000 308,450

Aon PLC:2.80%, 3/15/2021 . . . . . . . . 130,000 130,8053.50%, 6/14/2024 . . . . . . . . 150,000 155,8864.00%, 11/27/2023. . . . . . . . 105,000 110,6854.60%, 6/14/2044 . . . . . . . . 70,000 76,586

Arch Capital Finance LLC4.01%, 12/15/2026. . . . . . . . 130,000 139,684

Arch Capital Group US, Inc.5.14%, 11/1/2043 . . . . . . . . 175,000 208,623

Aspen Insurance Holdings, Ltd.4.65%, 11/15/2023. . . . . . . . 245,000 259,793

Assurant, Inc.:4.00%, 3/15/2023 . . . . . . . . 100,000 103,2414.20%, 9/27/2023 . . . . . . . . 125,000 129,9224.90%, 3/27/2028 . . . . . . . . 100,000 108,137

AXA Equitable Holdings, Inc.:3.90%, 4/20/2023 . . . . . . . . 245,000 255,2344.35%, 4/20/2028 . . . . . . . . 235,000 247,0465.00%, 4/20/2048 . . . . . . . . 410,000 422,689

AXA SA8.60%, 12/15/2030. . . . . . . . 191,000 272,353


28


AXIS Specialty Finance LLC3.90%, 7/15/2029 . . . . . . . . $ 200,000 $ 204,312

AXIS Specialty Finance PLC4.00%, 12/6/2027 . . . . . . . . 170,000 175,569

Berkshire Hathaway FinanceCorp.:3.00%, 5/15/2022 . . . . . . . . 139,000 143,0174.20%, 8/15/2048 . . . . . . . . 208,000 232,2634.25%, 1/15/2021 . . . . . . . . 281,000 290,2514.25%, 1/15/2049 . . . . . . . . 815,000 916,2644.30%, 5/15/2043 . . . . . . . . 150,000 168,1264.40%, 5/15/2042 . . . . . . . . 275,000 312,669

Berkshire Hathaway, Inc.:2.20%, 3/15/2021 . . . . . . . . 75,000 75,2062.75%, 3/15/2023 . . . . . . . . 513,000 523,0963.13%, 3/15/2026 . . . . . . . . 475,000 491,8533.75%, 8/15/2021 . . . . . . . . 112,000 115,893

Brighthouse Financial, Inc.:3.70%, 6/22/2027 . . . . . . . . 285,000 270,9044.70%, 6/22/2047 . . . . . . . . 490,000 409,395

Brown & Brown, Inc.4.50%, 3/15/2029 . . . . . . . . 235,000 247,977

Chubb Corp.6.00%, 5/11/2037 . . . . . . . . 280,000 375,304

Chubb INA Holdings, Inc.:2.30%, 11/3/2020 . . . . . . . . 127,000 127,0632.70%, 3/13/2023 . . . . . . . . 300,000 304,5783.15%, 3/15/2025 . . . . . . . . 200,000 208,7883.35%, 5/3/2026 . . . . . . . . . 317,000 332,0324.35%, 11/3/2045 . . . . . . . . 600,000 698,826

Cincinnati Financial Corp.6.13%, 11/1/2034 . . . . . . . . 100,000 127,112

CNA Financial Corp.:3.45%, 8/15/2027 . . . . . . . . 335,000 339,7944.50%, 3/1/2026 . . . . . . . . . 205,000 221,131

Enstar Group, Ltd.4.95%, 6/1/2029 . . . . . . . . . 350,000 354,595

Fairfax Financial Holdings, Ltd.4.85%, 4/17/2028 . . . . . . . . 160,000 168,584

Fidelity National Financial, Inc.5.50%, 9/1/2022 . . . . . . . . . 245,000 265,680

Hanover Insurance Group, Inc.4.50%, 4/15/2026 . . . . . . . . 50,000 52,976

Hartford Financial ServicesGroup, Inc.4.40%, 3/15/2048 . . . . . . . . 286,000 311,626

Kemper Corp.4.35%, 2/15/2025 . . . . . . . . 70,000 73,219

Lincoln National Corp.:3.63%, 12/12/2026. . . . . . . . 260,000 271,0553.80%, 3/1/2028 . . . . . . . . . 170,000 178,3674.00%, 9/1/2023 . . . . . . . . . 230,000 243,4094.35%, 3/1/2048 . . . . . . . . . 145,000 152,3566.15%, 4/7/2036 . . . . . . . . . 200,000 248,2306.30%, 10/9/2037 . . . . . . . . 100,000 127,108

Loews Corp.:


3.75%, 4/1/2026 . . . . . . . . . $ 205,000 $ 216,1114.13%, 5/15/2043 . . . . . . . . 250,000 258,927

Manulife Financial Corp.:4.15%, 3/4/2026 . . . . . . . . . 642,000 691,8775.38%, 3/4/2046 . . . . . . . . . 50,000 61,250USD 5 Year Swap Rate +

1.65%, 4.06%, 2/24/2032(d) . . . . . . . . . . . . . . . . 154,000 156,794

Markel Corp.:3.50%, 11/1/2027 . . . . . . . . 150,000 149,8654.30%, 11/1/2047 . . . . . . . . 135,000 131,6705.00%, 4/5/2046 . . . . . . . . . 200,000 214,5085.00%, 5/20/2049 . . . . . . . . 65,000 70,479

Marsh & McLennan Cos., Inc.:2.75%, 1/30/2022 . . . . . . . . 130,000 131,3043.30%, 3/14/2023 . . . . . . . . 100,000 102,8683.50%, 12/29/2020. . . . . . . . 85,000 86,4173.50%, 6/3/2024 . . . . . . . . . 75,000 78,1633.50%, 3/10/2025 . . . . . . . . 85,000 88,3373.75%, 3/14/2026 . . . . . . . . 171,000 180,4613.88%, 3/15/2024 . . . . . . . . 150,000 159,1244.20%, 3/1/2048 . . . . . . . . . 100,000 106,2634.35%, 1/30/2047 . . . . . . . . 250,000 270,7824.38%, 3/15/2029 . . . . . . . . 313,000 345,4424.80%, 7/15/2021 . . . . . . . . 189,000 197,0254.90%, 3/15/2049 . . . . . . . . 115,000 136,311

Mercury General Corp.4.40%, 3/15/2027 . . . . . . . . 175,000 179,028

MetLife, Inc.:3.60%, 4/10/2024 . . . . . . . . 138,000 146,4503.60%, 11/13/2025. . . . . . . . 111,000 117,8504.60%, 5/13/2046 . . . . . . . . 137,000 158,3354.88%, 11/13/2043. . . . . . . . 233,000 276,4245.70%, 6/15/2035 . . . . . . . . 205,000 262,1795.88%, 2/6/2041 . . . . . . . . . 279,000 366,0876.40%, 12/15/2066. . . . . . . . 239,000 273,3326.50%, 12/15/2032. . . . . . . . 243,000 330,73010.75%, 8/1/2069 . . . . . . . . 500,000 793,500Series D, 4.37%, 9/15/2023 . . 110,000 119,087

Nationwide Financial Services,Inc.Series JR, 6.75%, 5/15/2087. . 140,000 155,576

Old Republic International Corp.4.88%, 10/1/2024 . . . . . . . . 100,000 108,438

PartnerRe Finance B LLC3.70%, 7/2/2029 . . . . . . . . . 100,000 101,743

Primerica, Inc.4.75%, 7/15/2022 . . . . . . . . 150,000 158,998

Principal Financial Group, Inc.:3.10%, 11/15/2026. . . . . . . . 100,000 101,0203.40%, 5/15/2025 . . . . . . . . 90,000 93,8373.70%, 5/15/2029 . . . . . . . . 125,000 130,894

Progressive Corp.:4.00%, 3/1/2029 . . . . . . . . . 100,000 110,7114.13%, 4/15/2047 . . . . . . . . 355,000 393,2874.35%, 4/25/2044 . . . . . . . . 138,000 156,651


29


Prudential Financial, Inc.:3.91%, 12/7/2047 . . . . . . . . $ 346,000 $ 360,0413.94%, 12/7/2049 . . . . . . . . 197,000 206,4783 Month USD LIBOR +

2.67%, 5.70%, 9/15/2048(d) . . . . . . . . . . . . . . . . 300,000 322,410

3 Month USD LIBOR +3.03%, 5.38%, 5/15/2045(d) . . . . . . . . . . . . . . . . 220,000 230,503

3 Month USD LIBOR +4.18%, 5.88%, 9/15/2042(d) . . . . . . . . . . . . . . . . 500,000 532,515

3 Month USD LIBOR +2.38%, 4.50%, 9/15/2047(d) . . . . . . . . . . . . . . . . 210,000 210,141

Series MTN, 3.88%,3/27/2028. . . . . . . . . . . . 175,000 190,437

Series MTN, 4.35%,2/25/2050. . . . . . . . . . . . 400,000 447,192

Series MTN, 4.42%,3/27/2048. . . . . . . . . . . . 265,000 297,038

Reinsurance Group of America,Inc.:3.90%, 5/15/2029 . . . . . . . . 50,000 51,8623.95%, 9/15/2026 . . . . . . . . 60,000 62,666Series MTN, 4.70%,

9/15/2023. . . . . . . . . . . . 200,000 216,148RenaissanceRe Finance, Inc.

3.45%, 7/1/2027 . . . . . . . . . 78,000 79,193RenaissanceRe Holdings, Ltd.

3.60%, 4/15/2029 . . . . . . . . 400,000 409,808Torchmark Corp.

4.55%, 9/15/2028 . . . . . . . . 300,000 327,714Travelers Cos., Inc.:

4.05%, 3/7/2048 . . . . . . . . . 100,000 110,8484.10%, 3/4/2049 . . . . . . . . . 500,000 557,4854.30%, 8/25/2045 . . . . . . . . 165,000 187,539Series MTN, 6.25%,

6/15/2037. . . . . . . . . . . . 400,000 547,124Trinity Acquisition PLC

3.50%, 9/15/2021 . . . . . . . . 50,000 50,820Unum Group:

4.00%, 6/15/2029 . . . . . . . . 180,000 185,1465.75%, 8/15/2042 . . . . . . . . 160,000 184,498

Voya Financial, Inc.:3.65%, 6/15/2026 . . . . . . . . 300,000 309,5315.70%, 7/15/2043 . . . . . . . . 140,000 172,365

Willis North America, Inc.:3.60%, 5/15/2024 . . . . . . . . 50,000 51,5714.50%, 9/15/2028 . . . . . . . . 100,000 107,7235.05%, 9/15/2048 . . . . . . . . 100,000 110,386

WR Berkley Corp.:4.63%, 3/15/2022 . . . . . . . . 260,000 274,6614.75%, 8/1/2044 . . . . . . . . . 50,000 54,467

XLIT, Ltd.:4.45%, 3/31/2025 . . . . . . . . 130,000 140,001


5.50%, 3/31/2045 . . . . . . . . $ 320,000 $ 380,570

34,550,770

INTERNET — 0.3%Alibaba Group Holding, Ltd.:

2.80%, 6/6/2023 . . . . . . . . . 250,000 251,4083.13%, 11/28/2021. . . . . . . . 50,000 50,7433.40%, 12/6/2027 . . . . . . . . 334,000 339,0733.60%, 11/28/2024. . . . . . . . 237,000 247,2344.00%, 12/6/2037 . . . . . . . . 250,000 255,6554.40%, 12/6/2057 . . . . . . . . 793,000 846,710

Alphabet, Inc.:3.38%, 2/25/2024 . . . . . . . . 235,000 248,2683.63%, 5/19/2021 . . . . . . . . 434,000 446,916

Amazon.com, Inc.:2.40%, 2/22/2023 . . . . . . . . 135,000 136,2972.80%, 8/22/2024 . . . . . . . . 500,000 514,5153.15%, 8/22/2027 . . . . . . . . 698,000 733,3193.30%, 12/5/2021 . . . . . . . . 249,000 256,3233.80%, 12/5/2024 . . . . . . . . 339,000 365,1473.88%, 8/22/2037 . . . . . . . . 491,000 541,2244.05%, 8/22/2047 . . . . . . . . 522,000 590,2724.25%, 8/22/2057 . . . . . . . . 99,000 114,4554.80%, 12/5/2034 . . . . . . . . 449,000 551,2784.95%, 12/5/2044 . . . . . . . . 272,000 342,5845.20%, 12/3/2025 . . . . . . . . 326,000 380,618

Baidu, Inc.:2.88%, 7/6/2022 . . . . . . . . . 260,000 260,8033.50%, 11/28/2022. . . . . . . . 210,000 214,9143.63%, 7/6/2027 . . . . . . . . . 200,000 201,5084.13%, 6/30/2025 . . . . . . . . 200,000 210,7264.38%, 5/14/2024 . . . . . . . . 260,000 275,7484.38%, 3/29/2028 . . . . . . . . 600,000 633,9124.88%, 11/14/2028 (b) . . . . . 485,000 531,395

Booking Holdings, Inc.:3.55%, 3/15/2028 . . . . . . . . 100,000 104,7003.60%, 6/1/2026 . . . . . . . . . 104,000 109,672

eBay, Inc.:2.60%, 7/15/2022 . . . . . . . . 233,000 233,6292.75%, 1/30/2023 . . . . . . . . 100,000 100,5303.45%, 8/1/2024 . . . . . . . . . 208,000 214,0203.60%, 6/5/2027 . . . . . . . . . 254,000 260,4144.00%, 7/15/2042 . . . . . . . . 220,000 204,426

Expedia Group, Inc.:4.50%, 8/15/2024 . . . . . . . . 212,000 225,2863.80%, 2/15/2028 . . . . . . . . 309,000 314,438

JD.com, Inc.:3.13%, 4/29/2021 . . . . . . . . 250,000 250,3633.88%, 4/29/2026 . . . . . . . . 268,000 266,681

11,825,204

INVESTMENT COMPANYSECURITY — 0.0% (a)

Ares Capital Corp.:4.20%, 6/10/2024 . . . . . . . . 175,000 177,2264.25%, 3/1/2025 . . . . . . . . . 596,000 604,201


30


Prospect Capital Corp.5.88%, 3/15/2023 . . . . . . . . $ 100,000 $ 105,328

886,755


4.55%, 3/11/2026 . . . . . . . . 256,000 270,1395.50%, 3/1/2021 . . . . . . . . . 115,000 119,7526.13%, 6/1/2025 . . . . . . . . . 80,000 90,7426.25%, 2/25/2022 . . . . . . . . 105,000 113,7217.00%, 10/15/2039. . . . . . . . 119,000 141,171

Nucor Corp.:3.95%, 5/1/2028 . . . . . . . . . 250,000 269,3034.40%, 5/1/2048 . . . . . . . . . 250,000 270,675

Reliance Steel & Aluminum Co.4.50%, 4/15/2023 . . . . . . . . 235,000 246,774

Vale Overseas, Ltd.:4.38%, 1/11/2022 . . . . . . . . 265,000 273,1836.25%, 8/10/2026 . . . . . . . . 415,000 471,1456.88%, 11/21/2036. . . . . . . . 721,000 865,8206.88%, 11/10/2039. . . . . . . . 738,000 889,2688.25%, 1/17/2034 . . . . . . . . 333,000 434,598

Vale SA5.63%, 9/11/2042 (b) . . . . . . 412,000 442,047

4,898,338

LEISURE TIME — 0.0% (a)Carnival Corp.

3.95%, 10/15/2020. . . . . . . . 297,000 302,857Harley-Davidson, Inc.:

3.50%, 7/28/2025 (b) . . . . . . 250,000 252,4504.63%, 7/28/2045 . . . . . . . . 50,000 50,262

Royal Caribbean Cruises, Ltd.:3.70%, 3/15/2028 . . . . . . . . 500,000 503,3805.25%, 11/15/2022. . . . . . . . 200,000 216,838

1,325,787

LODGING — 0.1%Choice Hotels International, Inc.

5.75%, 7/1/2022 . . . . . . . . . 275,000 296,395Hyatt Hotels Corp.:

4.38%, 9/15/2028 . . . . . . . . 223,000 236,0214.85%, 3/15/2026 . . . . . . . . 25,000 27,196

Marriott International, Inc.:3.38%, 10/15/2020. . . . . . . . 125,000 126,1183.60%, 4/15/2024 . . . . . . . . 223,000 232,3263.75%, 10/1/2025 . . . . . . . . 150,000 156,208Series R, 3.13%, 6/15/2026 . . 200,000 200,206Series X, 4.00%, 4/15/2028 . . 300,000 315,948Series Z, 4.15%, 12/1/2023 . . 200,000 212,118

Sands China, Ltd.:4.60%, 8/8/2023 . . . . . . . . . 775,000 815,3855.13%, 8/8/2025 . . . . . . . . . 200,000 216,1545.40%, 8/8/2028 . . . . . . . . . 208,000 227,244

3,061,319



ABB Finance USA, Inc.:2.88%, 5/8/2022 . . . . . . . . . $ 234,000 $ 237,6643.38%, 4/3/2023 . . . . . . . . . 100,000 103,2703.80%, 4/3/2028 . . . . . . . . . 100,000 107,6354.38%, 5/8/2042 . . . . . . . . . 145,000 165,615

Caterpillar Financial ServicesCorp.:1.70%, 8/9/2021 . . . . . . . . . 264,000 261,141Series GMTN, 1.85%,

9/4/2020 . . . . . . . . . . . . 330,000 328,795Series I, 2.65%, 5/17/2021 . . . 135,000 136,246Series MTN, 2.40%, 6/6/2022. 145,000 146,079Series MTN, 2.85%, 6/1/2022. 100,000 101,842Series MTN, 2.85%,

5/17/2024. . . . . . . . . . . . 200,000 204,188Series MTN, 2.90%,

3/15/2021. . . . . . . . . . . . 100,000 101,141Series MTN, 2.95%,


12/7/2020. . . . . . . . . . . . 400,000 406,020Series MTN, 3.65%,

12/7/2023. . . . . . . . . . . . 426,000 449,426Caterpillar, Inc.:

2.60%, 6/26/2022 . . . . . . . . 140,000 141,6103.80%, 8/15/2042 (b) . . . . . . 402,000 428,0346.05%, 8/15/2036 . . . . . . . . 165,000 218,292

Oshkosh Corp.4.60%, 5/15/2028 . . . . . . . . 200,000 210,704

4,630,555


CNH Industrial Capital LLC:3.88%, 10/15/2021. . . . . . . . 20,000 20,4674.20%, 1/15/2024 . . . . . . . . 131,000 136,4724.38%, 11/6/2020 . . . . . . . . 150,000 153,1594.38%, 4/5/2022 . . . . . . . . . 294,000 304,4754.88%, 4/1/2021 . . . . . . . . . 194,000 200,893

CNH Industrial NVSeries MTN, 3.85%,11/15/2027. . . . . . . . . . . . . 183,000 182,755

Cummins, Inc.4.88%, 10/1/2043 (b) . . . . . . 100,000 118,925

Deere & Co.:2.60%, 6/8/2022 . . . . . . . . . 185,000 187,1923.90%, 6/9/2042 (b) . . . . . . . 105,000 115,456

Dover Corp.4.30%, 3/1/2021 . . . . . . . . . 100,000 102,704

Flowserve Corp.4.00%, 11/15/2023. . . . . . . . 43,000 43,832

John Deere Capital Corp.:


31


2.55%, 1/8/2021 . . . . . . . . . $ 200,000 $ 201,132Series DMTN, 2.35%,

1/8/2021 . . . . . . . . . . . . 800,000 802,224Series MTN, 2.15%, 9/8/2022. 50,000 49,996Series MTN, 2.30%, 6/7/2021. 200,000 200,548Series MTN, 2.38%,


6/24/2024. . . . . . . . . . . . 380,000 384,522Series MTN, 2.70%, 1/6/2023. 198,000 201,039Series MTN, 2.80%, 3/4/2021. 165,000 166,591Series MTN, 2.80%, 9/8/2027. 58,000 58,684Series MTN, 2.95%, 4/1/2022. 115,000 117,320Series MTN, 3.05%, 1/6/2028. 286,000 295,075Series MTN, 3.20%,

1/10/2022. . . . . . . . . . . . 200,000 204,826Series MTN, 3.45%,

1/10/2024. . . . . . . . . . . . 100,000 104,573Series MTN, 3.45%, 3/7/2029. 120,000 128,226

Nvent Finance Sarl:3.95%, 4/15/2023 . . . . . . . . 50,000 50,6494.55%, 4/15/2028 . . . . . . . . 50,000 50,783

Rockwell Automation, Inc.:2.88%, 3/1/2025 . . . . . . . . . 100,000 102,0673.50%, 3/1/2029 . . . . . . . . . 85,000 90,5354.20%, 3/1/2049 . . . . . . . . . 70,000 79,049

Roper Technologies, Inc.:2.80%, 12/15/2021. . . . . . . . 142,000 143,1103.65%, 9/15/2023 . . . . . . . . 225,000 234,3083.80%, 12/15/2026. . . . . . . . 211,000 219,8963.85%, 12/15/2025. . . . . . . . 25,000 26,3974.20%, 9/15/2028 . . . . . . . . 65,000 69,553

Wabtec Corp.:3.45%, 11/15/2026. . . . . . . . 50,000 49,0374.95%, 9/15/2028 . . . . . . . . 189,000 202,822

Xylem, Inc.:3.25%, 11/1/2026 . . . . . . . . 285,000 287,8584.38%, 11/1/2046 . . . . . . . . 25,000 26,071

6,400,036

MEDIA — 1.0%21st Century Fox America, Inc.:

3.38%, 11/15/2026. . . . . . . . 200,000 204,5783.70%, 9/15/2024 . . . . . . . . 66,000 70,0466.20%, 12/15/2034. . . . . . . . 375,000 502,028

CBS Corp.:2.50%, 2/15/2023 . . . . . . . . 680,000 676,5862.90%, 6/1/2023 . . . . . . . . . 325,000 327,5064.85%, 7/1/2042 . . . . . . . . . 160,000 170,6884.90%, 8/15/2044 . . . . . . . . 709,000 754,4897.88%, 7/30/2030 . . . . . . . . 154,000 210,575

Charter CommunicationsOperating LLC/CharterCommunications OperatingCapital:


4.20%, 3/15/2028 . . . . . . . . $ 104,000 $ 108,0194.46%, 7/23/2022 . . . . . . . . 411,000 431,5294.91%, 7/23/2025 . . . . . . . . 471,000 511,1205.05%, 3/30/2029 (b) . . . . . . 190,000 209,6195.13%, 7/1/2049 (c) . . . . . . . 750,000 768,0525.38%, 4/1/2038 . . . . . . . . . 350,000 375,7535.38%, 5/1/2047 . . . . . . . . . 205,000 215,8575.75%, 4/1/2048 . . . . . . . . . 815,000 900,7796.38%, 10/23/2035. . . . . . . . 498,000 583,6266.48%, 10/23/2045. . . . . . . . 867,000 1,031,0106.83%, 10/23/2055. . . . . . . . 85,000 100,9884.50%, 2/1/2024 . . . . . . . . . 330,000 351,556

Comcast Corp.:1.63%, 1/15/2022 . . . . . . . . 233,000 230,1972.35%, 1/15/2027 . . . . . . . . 549,000 535,6432.75%, 3/1/2023 . . . . . . . . . 793,000 806,4733.00%, 2/1/2024 . . . . . . . . . 205,000 210,9203.13%, 7/15/2022 (b) . . . . . . 437,000 449,2103.15%, 3/1/2026 . . . . . . . . . 1,409,000 1,458,0753.15%, 2/15/2028 . . . . . . . . 454,000 465,5723.20%, 7/15/2036 . . . . . . . . 247,000 239,9333.30%, 10/1/2020 . . . . . . . . 675,000 684,2473.30%, 2/1/2027 . . . . . . . . . 335,000 348,5273.38%, 8/15/2025 . . . . . . . . 84,000 87,8293.45%, 10/1/2021 . . . . . . . . 818,000 841,6573.55%, 5/1/2028 . . . . . . . . . 325,000 342,8493.70%, 4/15/2024 . . . . . . . . 430,000 456,3423.90%, 3/1/2038 . . . . . . . . . 150,000 157,9613.97%, 11/1/2047 . . . . . . . . 488,000 511,2294.00%, 8/15/2047 . . . . . . . . 225,000 236,7954.00%, 3/1/2048 . . . . . . . . . 406,000 427,3034.00%, 11/1/2049 . . . . . . . . 716,000 753,5114.05%, 11/1/2052 . . . . . . . . 67,000 70,9524.20%, 8/15/2034 . . . . . . . . 364,000 403,7524.25%, 10/15/2030. . . . . . . . 130,000 144,9944.25%, 1/15/2033 . . . . . . . . 254,000 283,9694.40%, 8/15/2035 . . . . . . . . 161,000 179,2414.50%, 1/15/2043 . . . . . . . . 335,000 374,1984.60%, 10/15/2038. . . . . . . . 253,000 289,6244.60%, 8/15/2045 . . . . . . . . 235,000 266,4014.65%, 7/15/2042 . . . . . . . . 346,000 398,2184.70%, 10/15/2048. . . . . . . . 190,000 222,7604.95%, 10/15/2058. . . . . . . . 205,000 249,2535.65%, 6/15/2035 . . . . . . . . 300,000 374,8776.40%, 5/15/2038 . . . . . . . . 7,000 9,4776.45%, 3/15/2037 . . . . . . . . 100,000 134,887

DiscoveryCommunications LLC:2.95%, 3/20/2023 . . . . . . . . 151,000 152,2933.50%, 6/15/2022 . . . . . . . . 100,000 102,2373.80%, 3/13/2024 . . . . . . . . 466,000 483,5963.95%, 3/20/2028 . . . . . . . . 275,000 283,0604.13%, 5/15/2029 . . . . . . . . 215,000 223,8064.38%, 6/15/2021 . . . . . . . . 137,000 141,7774.90%, 3/11/2026 (b) . . . . . . 120,000 131,308


32


4.95%, 5/15/2042 . . . . . . . . $ 258,000 $ 260,9625.00%, 9/20/2037 . . . . . . . . 220,000 229,8475.20%, 9/20/2047 . . . . . . . . 215,000 226,9545.30%, 5/15/2049 . . . . . . . . 205,000 220,1806.35%, 6/1/2040 . . . . . . . . . 325,000 383,351

Fox Corp.:3.67%, 1/25/2022 (f) . . . . . . 50,000 51,6634.03%, 1/25/2024 (f) . . . . . . 321,000 341,1624.71%, 1/25/2029 (f) . . . . . . 165,000 184,4025.48%, 1/25/2039 (f) . . . . . . 525,000 618,9125.58%, 1/25/2049 (f) . . . . . . 135,000 164,256

Grupo Televisa SAB:5.00%, 5/13/2045 (b) . . . . . . 126,000 127,2605.25%, 5/24/2049 . . . . . . . . 220,000 227,3996.13%, 1/31/2046 (b) . . . . . . 560,000 652,1706.63%, 3/18/2025 . . . . . . . . 397,000 458,4006.63%, 1/15/2040 . . . . . . . . 230,000 276,518

NBCUniversal Media LLC:2.88%, 1/15/2023 . . . . . . . . 164,000 167,5924.38%, 4/1/2021 . . . . . . . . . 411,000 426,1334.45%, 1/15/2043 . . . . . . . . 90,000 99,2535.95%, 4/1/2041 . . . . . . . . . 641,000 844,4536.40%, 4/30/2040 . . . . . . . . 100,000 135,575

TCI Communications, Inc.7.88%, 2/15/2026 . . . . . . . . 150,000 195,134

Thomson Reuters Corp.:3.35%, 5/15/2026 . . . . . . . . 215,000 215,9225.85%, 4/15/2040 . . . . . . . . 510,000 594,201

Time Warner Cable LLC:4.00%, 9/1/2021 . . . . . . . . . 178,000 182,4644.13%, 2/15/2021 . . . . . . . . 172,000 175,4264.50%, 9/15/2042 . . . . . . . . 149,000 138,4965.50%, 9/1/2041 . . . . . . . . . 605,000 634,2155.88%, 11/15/2040. . . . . . . . 297,000 322,2456.55%, 5/1/2037 . . . . . . . . . 545,000 626,0146.75%, 6/15/2039 . . . . . . . . 296,000 345,7167.30%, 7/1/2038 . . . . . . . . . 150,000 183,216

TWDC Enterprises 18 Corp.:3.00%, 2/13/2026 . . . . . . . . 220,000 229,7704.38%, 8/16/2041 . . . . . . . . 450,000 516,983Series MTN, 1.85%,

7/30/2026. . . . . . . . . . . . 230,000 222,875Series MTN, 2.35%,

12/1/2022. . . . . . . . . . . . 237,000 238,818Series MTN, 2.95%,

6/15/2027 (b) . . . . . . . . . 200,000 208,452Series MTN, 3.00%,

7/30/2046. . . . . . . . . . . . 120,000 112,858Series MTN, 3.75%, 6/1/2021. 288,000 296,830

Viacom, Inc.:3.88%, 12/15/2021. . . . . . . . 330,000 338,8444.25%, 9/1/2023 . . . . . . . . . 97,000 102,5954.38%, 3/15/2043 . . . . . . . . 894,000 874,654

Walt Disney Co.:3.70%, 9/15/2024 (f) . . . . . . 108,000 114,8953.70%, 10/15/2025 (f) . . . . . . 155,000 165,656


4.50%, 2/15/2021 (f) . . . . . . $ 122,000 $ 126,5914.75%, 9/15/2044 (f) . . . . . . 112,000 136,4484.75%, 11/15/2046 (f) . . . . . . 25,000 30,8164.95%, 10/15/2045 (f) . . . . . . 96,000 120,6026.15%, 3/1/2037 (f) . . . . . . . 435,000 590,7476.15%, 2/15/2041 (f) . . . . . . 134,000 186,0266.20%, 12/15/2034 (f) . . . . . . 220,000 297,6366.40%, 12/15/2035 (f) . . . . . . 818,000 1,120,8896.65%, 11/15/2037 (f) . . . . . . 169,000 242,796Series GMTN, 4.13%,

6/1/2044 (b) . . . . . . . . . . 230,000 261,388Warner Media LLC

4.00%, 1/15/2022 . . . . . . . . 200,000 206,956

39,122,973

METAL FABRICATE &HARDWARE — 0.0% (a)

Precision Castparts Corp.2.50%, 1/15/2023 . . . . . . . . 100,000 100,766

Timken Co.:3.88%, 9/1/2024 . . . . . . . . . 95,000 97,8574.50%, 12/15/2028. . . . . . . . 170,000 178,957

Valmont Industries, Inc.5.25%, 10/1/2054 . . . . . . . . 100,000 99,691

477,271


5.25%, 4/1/2042 . . . . . . . . . 170,000 200,049Barrick North America

Finance LLC:5.70%, 5/30/2041 . . . . . . . . 431,000 523,8245.75%, 5/1/2043 . . . . . . . . . 370,000 461,712

Barrick PD Australia FinancePty, Ltd.5.95%, 10/15/2039. . . . . . . . 125,000 153,625

BHP Billiton Finance USA, Ltd.2.88%, 2/24/2022 . . . . . . . . 654,000 665,510

Kinross Gold Corp.:5.13%, 9/1/2021 . . . . . . . . . 100,000 103,9125.95%, 3/15/2024 (b) . . . . . . 230,000 253,179

Newmont Goldcorp Corp.5.45%, 6/9/2044 (f) . . . . . . . 200,000 241,130

Newmont Mining Corp.:3.50%, 3/15/2022 . . . . . . . . 130,000 132,9814.88%, 3/15/2042 . . . . . . . . 243,000 271,6555.88%, 4/1/2035 . . . . . . . . . 175,000 211,5646.25%, 10/1/2039 . . . . . . . . 126,000 161,572

Rio Tinto Finance USA PLC4.13%, 8/21/2042 (b) . . . . . . 143,000 159,754

Rio Tinto Finance USA, Ltd.3.75%, 6/15/2025 . . . . . . . . 520,000 558,220

Southern Copper Corp.:3.50%, 11/8/2022 . . . . . . . . 185,000 188,5043.88%, 4/23/2025 . . . . . . . . 570,000 590,8285.25%, 11/8/2042 . . . . . . . . 295,000 324,3917.50%, 7/27/2035 . . . . . . . . 150,000 197,045


33


Teck Resources, Ltd.6.13%, 10/1/2035 . . . . . . . . $ 300,000 $ 341,637

Yamana Gold, Inc.4.63%, 12/15/2027. . . . . . . . 158,000 161,685

5,902,777


3M Co.:2.88%, 10/15/2027. . . . . . . . 113,000 115,138Series MTN, 2.00%,



2/14/2024. . . . . . . . . . . . 346,000 361,189Series MTN, 3.38%, 3/1/2029

(b) . . . . . . . . . . . . . . . . 450,000 475,155Series MTN, 3.88%,

6/15/2044 (b) . . . . . . . . . 50,000 51,937Series MTN, 4.00%,

9/14/2048. . . . . . . . . . . . 355,000 384,028Carlisle Cos., Inc.

3.75%, 11/15/2022. . . . . . . . 150,000 153,621Crane Co.:

4.20%, 3/15/2048 . . . . . . . . 100,000 98,3574.45%, 12/15/2023. . . . . . . . 50,000 52,941

Eaton Corp.:3.10%, 9/15/2027 (b) . . . . . . 358,000 363,5603.92%, 9/15/2047 . . . . . . . . 50,000 50,6784.00%, 11/2/2032 . . . . . . . . 270,000 298,9064.15%, 11/2/2042 . . . . . . . . 242,000 256,280

General Electric Co.:2.70%, 10/9/2022 . . . . . . . . 775,000 773,8923.38%, 3/11/2024 . . . . . . . . 260,000 266,0814.13%, 10/9/2042 . . . . . . . . 307,000 283,0084.50%, 3/11/2044 . . . . . . . . 386,000 376,0265.30%, 2/11/2021 . . . . . . . . 408,000 423,345Series GMTN, 3.10%,

1/9/2023 (b) . . . . . . . . . . 130,000 131,153Series GMTN, 6.15%,

8/7/2037 . . . . . . . . . . . . 272,000 316,491Series GMTN, 6.88%,

1/10/2039. . . . . . . . . . . . 525,000 658,088Series MTN, 4.65%,

10/17/2021 . . . . . . . . . . . 523,000 545,076Series MTN, 5.88%,

1/14/2038. . . . . . . . . . . . 636,000 722,038Series MTNA, 6.75%,

3/15/2032. . . . . . . . . . . . 545,000 671,456Hexcel Corp.:

3.95%, 2/15/2027 . . . . . . . . 100,000 103,0594.70%, 8/15/2025 . . . . . . . . 25,000 26,801

Illinois Tool Works, Inc.:2.65%, 11/15/2026. . . . . . . . 405,000 408,981


3.90%, 9/1/2042 . . . . . . . . . $ 131,000 $ 144,2564.88%, 9/15/2041 . . . . . . . . 100,000 121,164

Ingersoll-Rand Global HoldingCo., Ltd.:2.90%, 2/21/2021 . . . . . . . . 250,000 251,8903.75%, 8/21/2028 . . . . . . . . 157,000 164,4674.30%, 2/21/2048 . . . . . . . . 100,000 103,9495.75%, 6/15/2043 . . . . . . . . 200,000 246,804

Ingersoll-Rand LuxembourgFinance SA:3.50%, 3/21/2026 . . . . . . . . 100,000 103,2633.55%, 11/1/2024 . . . . . . . . 138,000 143,7603.80%, 3/21/2029 (b) . . . . . . 163,000 170,9984.50%, 3/21/2049 . . . . . . . . 100,000 107,567

Parker-Hannifin Corp.:2.70%, 6/14/2024 . . . . . . . . 35,000 35,5253.25%, 3/1/2027 . . . . . . . . . 198,000 204,8193.25%, 6/14/2029 . . . . . . . . 70,000 72,7474.00%, 6/14/2049 . . . . . . . . 75,000 79,6074.10%, 3/1/2047 . . . . . . . . . 115,000 122,684Series MTN, 4.20%,

11/21/2034 . . . . . . . . . . . 71,000 78,141Series MTN, 6.25%,

5/15/2038. . . . . . . . . . . . 200,000 265,590Pentair Finance Sarl

4.50%, 7/1/2029 . . . . . . . . . 250,000 255,608Textron, Inc.:

3.65%, 3/15/2027 . . . . . . . . 150,000 153,8423.88%, 3/1/2025 . . . . . . . . . 55,000 57,5613.90%, 9/17/2029 . . . . . . . . 150,000 156,7114.00%, 3/15/2026 . . . . . . . . 50,000 52,596

12,229,844

OFFICE FURNISHINGS —0.0% (a)

Steelcase, Inc.5.13%, 1/18/2029 . . . . . . . . 690,000 753,376

OIL & GAS — 1.5%Anadarko Petroleum Corp.:

5.55%, 3/15/2026 . . . . . . . . 138,000 154,9066.20%, 3/15/2040 . . . . . . . . 370,000 444,6336.45%, 9/15/2036 . . . . . . . . 410,000 504,3206.60%, 3/15/2046 . . . . . . . . 525,000 683,392

Apache Corp.:4.25%, 1/15/2030 . . . . . . . . 200,000 206,5104.25%, 1/15/2044 . . . . . . . . 200,000 181,6464.38%, 10/15/2028. . . . . . . . 200,000 208,8984.75%, 4/15/2043 . . . . . . . . 271,000 263,8325.10%, 9/1/2040 . . . . . . . . . 245,000 246,3355.35%, 7/1/2049 . . . . . . . . . 200,000 212,778

BP Capital Markets America,Inc.:2.11%, 9/16/2021 . . . . . . . . 582,000 580,8192.75%, 5/10/2023 . . . . . . . . 287,000 291,2683.12%, 5/4/2026 . . . . . . . . . 201,000 205,6333.22%, 11/28/2023. . . . . . . . 130,000 134,234


34


3.25%, 5/6/2022 . . . . . . . . . $ 134,000 $ 137,9293.41%, 2/11/2026 . . . . . . . . 250,000 262,4453.59%, 4/14/2027 . . . . . . . . 150,000 157,2933.79%, 2/6/2024 . . . . . . . . . 110,000 116,5274.23%, 11/6/2028 . . . . . . . . 410,000 455,3304.50%, 10/1/2020 . . . . . . . . 304,000 312,2084.74%, 3/11/2021 . . . . . . . . 200,000 208,418

BP Capital Markets PLC:3.06%, 3/17/2022 . . . . . . . . 200,000 204,6703.28%, 9/19/2027 . . . . . . . . 784,000 811,5183.51%, 3/17/2025 . . . . . . . . 150,000 157,7843.54%, 11/4/2024 . . . . . . . . 201,000 211,7313.72%, 11/28/2028. . . . . . . . 177,000 189,4593.81%, 2/10/2024 . . . . . . . . 300,000 317,961

Burlington Resources LLC5.95%, 10/15/2036. . . . . . . . 325,000 423,910

Canadian Natural Resources,Ltd.:2.95%, 1/15/2023 . . . . . . . . 70,000 70,6993.45%, 11/15/2021. . . . . . . . 312,000 318,5493.85%, 6/1/2027 . . . . . . . . . 488,000 507,0226.25%, 3/15/2038 . . . . . . . . 190,000 234,4376.50%, 2/15/2037 . . . . . . . . 250,000 313,133Series GMTN, 4.95%,

6/1/2047 (b) . . . . . . . . . . 200,000 228,740Cenovus Energy, Inc.:

3.00%, 8/15/2022 . . . . . . . . 94,000 94,3584.25%, 4/15/2027 (b) . . . . . . 177,000 183,2755.25%, 6/15/2037 . . . . . . . . 139,000 145,3055.40%, 6/15/2047 (b) . . . . . . 365,000 392,9666.75%, 11/15/2039. . . . . . . . 500,000 592,620

Chevron Corp.:2.10%, 5/16/2021 . . . . . . . . 256,000 256,0542.41%, 3/3/2022 . . . . . . . . . 50,000 50,5132.42%, 11/17/2020. . . . . . . . 218,000 219,0122.57%, 5/16/2023 . . . . . . . . 283,000 287,4372.90%, 3/3/2024 . . . . . . . . . 305,000 315,3122.95%, 5/16/2026 . . . . . . . . 321,000 331,3333.19%, 6/24/2023 . . . . . . . . 252,000 261,6043.33%, 11/17/2025. . . . . . . . 150,000 158,808

Cimarex Energy Co.:3.90%, 5/15/2027 . . . . . . . . 88,000 90,3424.38%, 3/15/2029 . . . . . . . . 257,000 272,451

CNOOC Finance 2013, Ltd.3.00%, 5/9/2023 . . . . . . . . . 510,000 514,906

CNOOC Finance 2015 AustraliaPty, Ltd.4.20%, 5/5/2045 . . . . . . . . . 150,000 161,375

CNOOC Finance 2015USA LLC:3.50%, 5/5/2025 . . . . . . . . . 200,000 206,4544.38%, 5/2/2028 . . . . . . . . . 310,000 337,767

CNOOC Nexen Finance 2014ULC4.25%, 4/30/2024 . . . . . . . . 235,000 249,742

Concho Resources, Inc.:


3.75%, 10/1/2027 . . . . . . . . $ 398,000 $ 411,6994.30%, 8/15/2028 . . . . . . . . 110,000 118,6384.38%, 1/15/2025 . . . . . . . . 130,000 135,1254.85%, 8/15/2048 . . . . . . . . 75,000 84,377

ConocoPhillips Co.:4.95%, 3/15/2026 (b) . . . . . . 175,000 199,6335.90%, 10/15/2032. . . . . . . . 133,000 173,0776.50%, 2/1/2039 . . . . . . . . . 520,000 729,352

ConocoPhillips Holding Co.6.95%, 4/15/2029 . . . . . . . . 695,000 935,421

Continental Resources, Inc.:3.80%, 6/1/2024 . . . . . . . . . 175,000 180,0514.38%, 1/15/2028 . . . . . . . . 145,000 152,3834.50%, 4/15/2023 . . . . . . . . 310,000 325,5374.90%, 6/1/2044 (b) . . . . . . . 215,000 227,0165.00%, 9/15/2022 . . . . . . . . 128,000 129,124

Devon Energy Corp.:3.25%, 5/15/2022 . . . . . . . . 461,000 475,4024.75%, 5/15/2042 . . . . . . . . 479,000 525,640

Ecopetrol SA:4.13%, 1/16/2025 . . . . . . . . 445,000 460,6025.38%, 6/26/2026 . . . . . . . . 398,000 438,4815.88%, 9/18/2023 . . . . . . . . 500,000 553,6155.88%, 5/28/2045 . . . . . . . . 400,000 442,4127.38%, 9/18/2043 . . . . . . . . 130,000 166,963

Encana Corp.:3.90%, 11/15/2021. . . . . . . . 587,000 601,4756.50%, 8/15/2034 (b) . . . . . . 325,000 400,6056.50%, 2/1/2038 . . . . . . . . . 100,000 122,1577.38%, 11/1/2031 . . . . . . . . 200,000 257,004

EOG Resources, Inc.:3.90%, 4/1/2035 . . . . . . . . . 705,000 742,2384.10%, 2/1/2021 . . . . . . . . . 119,000 122,4594.15%, 1/15/2026 . . . . . . . . 58,000 63,142

EQT Corp.:3.00%, 10/1/2022 . . . . . . . . 285,000 282,7343.90%, 10/1/2027 . . . . . . . . 250,000 237,105

Equinor ASA:2.45%, 1/17/2023 (b) . . . . . . 550,000 555,4502.90%, 11/8/2020 . . . . . . . . 661,000 668,5353.15%, 1/23/2022 . . . . . . . . 243,000 249,0093.25%, 11/10/2024. . . . . . . . 204,000 213,2533.70%, 3/1/2024 . . . . . . . . . 232,000 246,4684.25%, 11/23/2041. . . . . . . . 100,000 112,0444.80%, 11/8/2043 . . . . . . . . 465,000 566,8025.10%, 8/17/2040 . . . . . . . . 166,000 205,755

Exxon Mobil Corp.:2.22%, 3/1/2021 . . . . . . . . . 889,000 891,4182.71%, 3/6/2025 . . . . . . . . . 206,000 210,8782.73%, 3/1/2023 . . . . . . . . . 88,000 89,8553.04%, 3/1/2026 . . . . . . . . . 160,000 165,7743.18%, 3/15/2024 . . . . . . . . 260,000 271,4373.57%, 3/6/2045 . . . . . . . . . 460,000 482,8534.11%, 3/1/2046 . . . . . . . . . 255,000 293,360

Hess Corp.:


35


4.30%, 4/1/2027 . . . . . . . . . $ 308,000 $ 319,3165.80%, 4/1/2047 . . . . . . . . . 227,000 253,1256.00%, 1/15/2040 . . . . . . . . 185,000 204,3127.13%, 3/15/2033 . . . . . . . . 500,000 612,4857.88%, 10/1/2029 . . . . . . . . 100,000 125,568

HollyFrontier Corp.5.88%, 4/1/2026 . . . . . . . . . 329,000 360,179

Husky Energy, Inc.:3.95%, 4/15/2022 . . . . . . . . 225,000 233,0484.40%, 4/15/2029 . . . . . . . . 400,000 423,1726.80%, 9/15/2037 . . . . . . . . 200,000 253,656

Marathon Oil Corp.:2.80%, 11/1/2022 . . . . . . . . 246,000 246,8194.40%, 7/15/2027 . . . . . . . . 105,000 111,4406.60%, 10/1/2037 . . . . . . . . 145,000 178,9316.80%, 3/15/2032 . . . . . . . . 250,000 312,328

Marathon Petroleum Corp.:3.80%, 4/1/2028 . . . . . . . . . 190,000 193,3044.50%, 4/1/2048 . . . . . . . . . 700,000 702,5345.13%, 3/1/2021 . . . . . . . . . 103,000 107,4685.13%, 12/15/2026. . . . . . . . 50,000 54,8556.50%, 3/1/2041 . . . . . . . . . 364,000 453,195

Newfield Exploration Co.5.38%, 1/1/2026 . . . . . . . . . 282,000 308,629

Nexen, Inc.:5.88%, 3/10/2035 . . . . . . . . 200,000 248,8206.40%, 5/15/2037 . . . . . . . . 841,000 1,122,5007.50%, 7/30/2039 (b) . . . . . . 125,000 189,5037.88%, 3/15/2032 . . . . . . . . 250,000 362,112

Noble Energy, Inc.:3.90%, 11/15/2024 (b) . . . . . 226,000 235,6894.15%, 12/15/2021. . . . . . . . 300,000 309,5314.95%, 8/15/2047 . . . . . . . . 150,000 159,3635.25%, 11/15/2043. . . . . . . . 250,000 269,278

Occidental Petroleum Corp.:3.13%, 2/15/2022 . . . . . . . . 588,000 596,3203.50%, 6/15/2025 . . . . . . . . 300,000 310,1254.20%, 3/15/2048 . . . . . . . . 250,000 252,4454.40%, 4/15/2046 . . . . . . . . 225,000 231,8004.63%, 6/15/2045 . . . . . . . . 250,000 265,478

Patterson-UTI Energy, Inc.3.95%, 2/1/2028 . . . . . . . . . 363,000 358,143

Petro-Canada6.80%, 5/15/2038 . . . . . . . . 220,000 300,773

Petroleos Mexicanos:2.38%, 4/15/2025 . . . . . . . . 57,000 56,0393.50%, 7/23/2020 (b) . . . . . . 425,000 423,7633.50%, 1/30/2023 . . . . . . . . 395,000 375,2224.25%, 1/15/2025 . . . . . . . . 310,000 287,0484.50%, 1/23/2026 . . . . . . . . 250,000 229,2734.63%, 9/21/2023 . . . . . . . . 397,000 390,0564.88%, 1/24/2022 . . . . . . . . 718,000 716,1554.88%, 1/18/2024 (b) . . . . . . 275,000 268,8595.35%, 2/12/2028 . . . . . . . . 153,000 139,0335.38%, 3/13/2022 . . . . . . . . 362,000 364,624


5.50%, 1/21/2021 . . . . . . . . $ 652,000 $ 660,2935.50%, 6/27/2044 . . . . . . . . 416,000 334,2395.63%, 1/23/2046 . . . . . . . . 530,000 426,8886.35%, 2/12/2048 . . . . . . . . 481,000 412,4536.38%, 2/4/2021 . . . . . . . . . 360,000 369,3926.38%, 1/23/2045 . . . . . . . . 617,000 527,6656.50%, 3/13/2027 . . . . . . . . 1,018,000 1,003,7896.50%, 1/23/2029 . . . . . . . . 291,000 281,5926.50%, 6/2/2041 . . . . . . . . . 1,125,000 996,5596.63%, 6/15/2035 . . . . . . . . 228,000 209,9706.75%, 9/21/2047 . . . . . . . . 962,000 851,7366.88%, 8/4/2026 . . . . . . . . . 406,000 410,036

Phillips 66:3.90%, 3/15/2028 . . . . . . . . 204,000 215,0364.30%, 4/1/2022 . . . . . . . . . 266,000 279,8134.88%, 11/15/2044. . . . . . . . 305,000 340,4685.88%, 5/1/2042 . . . . . . . . . 374,000 461,662

Pioneer Natural Resources Co.:3.45%, 1/15/2021 . . . . . . . . 151,000 152,9724.45%, 1/15/2026 . . . . . . . . 50,000 54,294

Shell International Finance B.V.:1.75%, 9/12/2021 . . . . . . . . 202,000 200,3621.88%, 5/10/2021 . . . . . . . . 218,000 217,0172.25%, 11/10/2020. . . . . . . . 126,000 126,2182.50%, 9/12/2026 . . . . . . . . 274,000 272,3262.88%, 5/10/2026 . . . . . . . . 248,000 253,1113.25%, 5/11/2025 . . . . . . . . 542,000 566,6883.40%, 8/12/2023 . . . . . . . . 138,000 144,1583.50%, 11/13/2023. . . . . . . . 175,000 183,9203.63%, 8/21/2042 . . . . . . . . 220,000 226,0323.75%, 9/12/2046 . . . . . . . . 328,000 347,2863.88%, 11/13/2028. . . . . . . . 250,000 273,5284.00%, 5/10/2046 . . . . . . . . 225,000 247,0394.13%, 5/11/2035 . . . . . . . . 424,000 470,3734.38%, 5/11/2045 . . . . . . . . 975,000 1,120,9384.55%, 8/12/2043 . . . . . . . . 140,000 163,6756.38%, 12/15/2038. . . . . . . . 590,000 831,900

Suncor Energy, Inc.:3.60%, 12/1/2024 . . . . . . . . 188,000 196,0864.00%, 11/15/2047. . . . . . . . 436,000 451,5266.50%, 6/15/2038 . . . . . . . . 525,000 701,610

Total Capital International SA:2.75%, 6/19/2021 . . . . . . . . 100,000 101,1822.88%, 2/17/2022 . . . . . . . . 83,000 84,4513.46%, 2/19/2029 . . . . . . . . 250,000 265,9803.70%, 1/15/2024 . . . . . . . . 114,000 120,7963.75%, 4/10/2024 . . . . . . . . 370,000 394,205

Total Capital SA3.88%, 10/11/2028. . . . . . . . 112,000 122,978

Valero Energy Corp.:4.00%, 4/1/2029 . . . . . . . . . 900,000 943,2454.90%, 3/15/2045 . . . . . . . . 100,000 110,0596.63%, 6/15/2037 . . . . . . . . 351,000 443,5947.50%, 4/15/2032 . . . . . . . . 100,000 135,928

61,618,343


36



Baker Hughes a GE Co. LLC:3.20%, 8/15/2021 . . . . . . . . $ 43,000 $ 43,5845.13%, 9/15/2040 . . . . . . . . 101,000 111,088

Baker Hughes a GE Co.LLC/Baker HughesCo-Obligor, Inc.:2.77%, 12/15/2022. . . . . . . . 140,000 141,4874.08%, 12/15/2047. . . . . . . . 250,000 241,402

Halliburton Co.:3.50%, 8/1/2023 . . . . . . . . . 360,000 372,1723.80%, 11/15/2025. . . . . . . . 207,000 217,2054.85%, 11/15/2035. . . . . . . . 106,000 113,1025.00%, 11/15/2045. . . . . . . . 577,000 628,6996.70%, 9/15/2038 . . . . . . . . 300,000 385,1107.45%, 9/15/2039 . . . . . . . . 325,000 448,643

National Oilwell Varco, Inc.2.60%, 12/1/2022 . . . . . . . . 232,000 231,548

Schlumberger Investment SA3.65%, 12/1/2023 . . . . . . . . 294,000 308,776

3,242,816


Bemis Co., Inc.4.50%, 10/15/2021 (f) . . . . . . 100,000 103,532

Packaging Corp. of America:2.45%, 12/15/2020. . . . . . . . 135,000 134,8963.40%, 12/15/2027. . . . . . . . 185,000 187,3113.65%, 9/15/2024 . . . . . . . . 100,000 103,6694.50%, 11/1/2023 . . . . . . . . 200,000 214,012

Sonoco Products Co.5.75%, 11/1/2040 . . . . . . . . 100,000 115,261

WestRock RKT Co.4.90%, 3/1/2022 . . . . . . . . . 200,000 211,586

WRKCo, Inc.:3.00%, 9/15/2024 . . . . . . . . 330,000 332,8153.38%, 9/15/2027 . . . . . . . . 450,000 450,7333.75%, 3/15/2025 . . . . . . . . 100,000 103,9133.90%, 6/1/2028 . . . . . . . . . 50,000 51,3064.20%, 6/1/2032 . . . . . . . . . 50,000 51,574

2,060,608


AbbVie, Inc.:2.90%, 11/6/2022 . . . . . . . . 722,000 729,9133.60%, 5/14/2025 . . . . . . . . 1,059,000 1,095,8114.25%, 11/14/2028. . . . . . . . 166,000 177,3434.40%, 11/6/2042 . . . . . . . . 314,000 309,3594.45%, 5/14/2046 . . . . . . . . 241,000 236,4114.50%, 5/14/2035 . . . . . . . . 965,000 990,7374.70%, 5/14/2045 . . . . . . . . 359,000 365,882

Allergan Finance LLC3.25%, 10/1/2022 . . . . . . . . 288,000 292,611

Allergan Funding SCS:


3.45%, 3/15/2022 . . . . . . . . $ 72,000 $ 73,4083.80%, 3/15/2025 . . . . . . . . 449,000 465,8423.85%, 6/15/2024 . . . . . . . . 201,000 208,6124.55%, 3/15/2035 . . . . . . . . 800,000 818,3364.75%, 3/15/2045 . . . . . . . . 474,000 487,7554.85%, 6/15/2044 . . . . . . . . 300,000 311,097

Allergan, Inc.2.80%, 3/15/2023 . . . . . . . . 260,000 259,394

AmerisourceBergen Corp.:3.45%, 12/15/2027. . . . . . . . 8,000 8,1594.30%, 12/15/2047. . . . . . . . 542,000 525,686

AstraZeneca PLC:2.38%, 11/16/2020. . . . . . . . 110,000 110,0922.38%, 6/12/2022 . . . . . . . . 486,000 488,6493.13%, 6/12/2027 . . . . . . . . 212,000 217,1433.38%, 11/16/2025. . . . . . . . 416,000 435,0403.50%, 8/17/2023 . . . . . . . . 118,000 122,9014.00%, 9/18/2042 . . . . . . . . 176,000 184,4304.38%, 11/16/2045. . . . . . . . 165,000 183,6584.38%, 8/17/2048 (b) . . . . . . 110,000 123,2746.45%, 9/15/2037 . . . . . . . . 382,000 516,651

Bristol-Myers Squibb Co.:2.55%, 5/14/2021 (f) . . . . . . 150,000 151,0922.60%, 5/16/2022 (f) . . . . . . 175,000 177,1252.90%, 7/26/2024 (f) . . . . . . 290,000 296,6903.20%, 6/15/2026 (f) . . . . . . 765,000 794,9803.25%, 8/1/2042 . . . . . . . . . 212,000 197,9703.40%, 7/26/2029 (f) . . . . . . 395,000 413,7904.13%, 6/15/2039 (f) . . . . . . 100,000 107,7794.25%, 10/26/2049 (f) . . . . . . 310,000 342,5624.50%, 3/1/2044 (b) . . . . . . . 254,000 289,4417.15%, 6/15/2023 . . . . . . . . 400,000 471,468

Cardinal Health, Inc.:2.62%, 6/15/2022 . . . . . . . . 288,000 289,6823.08%, 6/15/2024 . . . . . . . . 320,000 322,1154.50%, 11/15/2044. . . . . . . . 319,000 295,0214.90%, 9/15/2045 . . . . . . . . 200,000 195,148

Cigna Corp.:3.20%, 9/17/2020 (f) . . . . . . 50,000 50,4583.40%, 9/17/2021 (f) . . . . . . 225,000 229,358

CVS Health Corp.:2.13%, 6/1/2021 . . . . . . . . . 190,000 188,7332.80%, 7/20/2020 . . . . . . . . 565,000 566,5032.88%, 6/1/2026 . . . . . . . . . 225,000 220,8513.35%, 3/9/2021 . . . . . . . . . 729,000 739,1703.70%, 3/9/2023 . . . . . . . . . 1,406,000 1,452,5953.88%, 7/20/2025 . . . . . . . . 627,000 654,5004.00%, 12/5/2023 . . . . . . . . 154,000 161,3174.10%, 3/25/2025 . . . . . . . . 1,386,000 1,462,0644.30%, 3/25/2028 . . . . . . . . 2,055,000 2,167,4914.78%, 3/25/2038 . . . . . . . . 1,155,000 1,204,5264.88%, 7/20/2035 . . . . . . . . 92,000 97,8815.05%, 3/25/2048 . . . . . . . . 902,000 961,8665.30%, 12/5/2043 . . . . . . . . 435,000 475,516

Eli Lilly & Co.:


37


2.35%, 5/15/2022 . . . . . . . . $ 109,000 $ 109,8202.75%, 6/1/2025 . . . . . . . . . 166,000 169,3783.10%, 5/15/2027 . . . . . . . . 280,000 291,3903.38%, 3/15/2029 . . . . . . . . 207,000 220,6163.70%, 3/1/2045 . . . . . . . . . 330,000 342,9263.88%, 3/15/2039 . . . . . . . . 280,000 303,9063.95%, 3/15/2049 . . . . . . . . 330,000 357,1894.15%, 3/15/2059 . . . . . . . . 250,000 274,0905.50%, 3/15/2027 . . . . . . . . 100,000 120,177

Express Scripts Holding Co.:3.05%, 11/30/2022. . . . . . . . 136,000 138,0863.40%, 3/1/2027 . . . . . . . . . 276,000 280,0323.90%, 2/15/2022 . . . . . . . . 604,000 624,0474.75%, 11/15/2021. . . . . . . . 308,000 323,5634.80%, 7/15/2046 . . . . . . . . 90,000 95,2456.13%, 11/15/2041. . . . . . . . 300,000 368,706

GlaxoSmithKline Capital PLC:2.85%, 5/8/2022 . . . . . . . . . 160,000 162,7062.88%, 6/1/2022 . . . . . . . . . 200,000 203,5263.00%, 6/1/2024 . . . . . . . . . 140,000 144,3013.13%, 5/14/2021 . . . . . . . . 380,000 386,3763.38%, 6/1/2029 . . . . . . . . . 409,000 432,350

GlaxoSmithKline Capital, Inc.:3.38%, 5/15/2023 . . . . . . . . 350,000 364,1363.63%, 5/15/2025 . . . . . . . . 110,000 116,9974.20%, 3/18/2043 . . . . . . . . 365,000 408,1766.38%, 5/15/2038 . . . . . . . . 443,000 618,313

Johnson & Johnson:1.65%, 3/1/2021 . . . . . . . . . 120,000 119,3181.95%, 11/10/2020. . . . . . . . 217,000 217,0072.05%, 3/1/2023 . . . . . . . . . 100,000 100,0682.25%, 3/3/2022 . . . . . . . . . 173,000 174,1502.45%, 3/1/2026 . . . . . . . . . 500,000 501,8252.63%, 1/15/2025 . . . . . . . . 170,000 173,1842.90%, 1/15/2028 . . . . . . . . 105,000 108,1152.95%, 3/3/2027 . . . . . . . . . 215,000 222,4933.40%, 1/15/2038 . . . . . . . . 1,063,000 1,104,4893.55%, 5/15/2021 . . . . . . . . 250,000 257,2373.63%, 3/3/2037 . . . . . . . . . 200,000 214,0383.70%, 3/1/2046 . . . . . . . . . 750,000 812,0253.75%, 3/3/2047 . . . . . . . . . 104,000 113,1524.38%, 12/5/2033 . . . . . . . . 300,000 351,8074.85%, 5/15/2041 . . . . . . . . 100,000 121,732

McKesson Corp.:2.85%, 3/15/2023 . . . . . . . . 200,000 201,1123.95%, 2/16/2028 . . . . . . . . 220,000 228,6044.75%, 5/30/2029 . . . . . . . . 206,000 224,7256.00%, 3/1/2041 . . . . . . . . . 100,000 119,788

Mead Johnson Nutrition Co.3.00%, 11/15/2020. . . . . . . . 78,000 78,693

Medco Health Solutions, Inc.4.13%, 9/15/2020 . . . . . . . . 317,000 323,124

Merck & Co., Inc.:2.35%, 2/10/2022 . . . . . . . . 143,000 144,1912.75%, 2/10/2025 . . . . . . . . 250,000 256,418


2.80%, 5/18/2023 (b) . . . . . . $ 535,000 $ 549,0442.90%, 3/7/2024 . . . . . . . . . 115,000 118,8613.40%, 3/7/2029 . . . . . . . . . 250,000 265,6123.60%, 9/15/2042 . . . . . . . . 50,000 51,6963.88%, 1/15/2021 . . . . . . . . 206,000 210,7543.90%, 3/7/2039 . . . . . . . . . 265,000 289,2854.00%, 3/7/2049 . . . . . . . . . 165,000 183,2844.15%, 5/18/2043 . . . . . . . . 404,000 454,9046.50%, 12/1/2033 . . . . . . . . 150,000 211,4136.55%, 9/15/2037 . . . . . . . . 300,000 423,600

Mylan NV:3.75%, 12/15/2020. . . . . . . . 50,000 50,4253.95%, 6/15/2026 . . . . . . . . 280,000 270,3745.25%, 6/15/2046 . . . . . . . . 377,000 352,525

Mylan, Inc.:4.20%, 11/29/2023. . . . . . . . 50,000 50,3284.55%, 4/15/2028 (b) . . . . . . 116,000 113,8845.20%, 4/15/2048 . . . . . . . . 500,000 461,6905.40%, 11/29/2043. . . . . . . . 700,000 654,220

Novartis Capital Corp.:2.40%, 5/17/2022 . . . . . . . . 155,000 156,3022.40%, 9/21/2022 . . . . . . . . 278,000 280,5803.00%, 11/20/2025. . . . . . . . 266,000 274,7653.40%, 5/6/2024 . . . . . . . . . 357,000 375,7924.00%, 11/20/2045. . . . . . . . 180,000 199,0304.40%, 5/6/2044 . . . . . . . . . 470,000 549,228

Perrigo Finance Unlimited Co.:4.38%, 3/15/2026 . . . . . . . . 272,000 271,9624.90%, 12/15/2044. . . . . . . . 525,000 466,415

Pfizer, Inc.:1.95%, 6/3/2021 . . . . . . . . . 147,000 146,6332.75%, 6/3/2026 . . . . . . . . . 226,000 229,5142.80%, 3/11/2022 . . . . . . . . 70,000 71,3822.95%, 3/15/2024 . . . . . . . . 200,000 206,6443.00%, 9/15/2021 . . . . . . . . 110,000 112,2293.00%, 12/15/2026. . . . . . . . 107,000 110,3643.20%, 9/15/2023 . . . . . . . . 200,000 207,8723.40%, 5/15/2024 . . . . . . . . 251,000 264,5343.45%, 3/15/2029 . . . . . . . . 350,000 370,2753.60%, 9/15/2028 (b) . . . . . . 300,000 323,9823.90%, 3/15/2039 . . . . . . . . 646,000 695,5804.00%, 12/15/2036. . . . . . . . 195,000 212,3224.00%, 3/15/2049 . . . . . . . . 250,000 272,0174.10%, 9/15/2038 . . . . . . . . 450,000 495,9724.13%, 12/15/2046. . . . . . . . 180,000 198,7834.20%, 9/15/2048 . . . . . . . . 150,000 168,1894.40%, 5/15/2044 . . . . . . . . 51,000 58,2627.20%, 3/15/2039 . . . . . . . . 580,000 881,965

Pharmacia LLC6.60%, 12/1/2028 . . . . . . . . 280,000 365,204

Sanofi:3.38%, 6/19/2023 . . . . . . . . 200,000 208,3863.63%, 6/19/2028 (b) . . . . . . 200,000 215,2404.00%, 3/29/2021 . . . . . . . . 175,000 180,318


38


Shire Acquisitions InvestmentsIreland DAC:2.40%, 9/23/2021 . . . . . . . . $ 500,000 $ 499,2352.88%, 9/23/2023 . . . . . . . . 474,000 478,669

Takeda Pharmaceutical Co., Ltd.:4.40%, 11/26/2023 (f) . . . . . . 600,000 641,5205.00%, 11/26/2028 (f) . . . . . . 700,000 793,989

Wyeth LLC:5.95%, 4/1/2037 . . . . . . . . . 517,000 685,6046.45%, 2/1/2024 . . . . . . . . . 240,000 282,991

Zoetis, Inc.:3.00%, 9/12/2027 . . . . . . . . 135,000 135,7283.25%, 8/20/2021 . . . . . . . . 25,000 25,4323.25%, 2/1/2023 . . . . . . . . . 54,000 55,3853.45%, 11/13/2020. . . . . . . . 595,000 602,9613.90%, 8/20/2028 . . . . . . . . 110,000 118,1554.45%, 8/20/2048 . . . . . . . . 50,000 55,1194.50%, 11/13/2025. . . . . . . . 493,000 541,0874.70%, 2/1/2043 . . . . . . . . . 195,000 219,718

56,156,466

PIPELINES — 1.0%Andeavor Logistics L.P./Tesoro

Logistics Finance Corp.:3.50%, 12/1/2022 . . . . . . . . 175,000 179,2944.25%, 12/1/2027 . . . . . . . . 135,000 142,6055.25%, 1/15/2025 . . . . . . . . 203,000 214,303

Boardwalk Pipelines L.P.:3.38%, 2/1/2023 . . . . . . . . . 360,000 364,3204.45%, 7/15/2027 . . . . . . . . 78,000 79,7374.80%, 5/3/2029 . . . . . . . . . 40,000 41,7605.95%, 6/1/2026 . . . . . . . . . 85,000 94,110

Buckeye Partners L.P.:3.95%, 12/1/2026 . . . . . . . . 322,000 285,0994.13%, 12/1/2027 (b) . . . . . . 100,000 88,0354.15%, 7/1/2023 . . . . . . . . . 110,000 106,5634.88%, 2/1/2021 . . . . . . . . . 278,000 282,351

Columbia Pipeline Group, Inc.:4.50%, 6/1/2025 . . . . . . . . . 199,000 213,9515.80%, 6/1/2045 . . . . . . . . . 50,000 58,717

Enable Midstream Partners L.P.:3.90%, 5/15/2024 . . . . . . . . 100,000 101,4594.40%, 3/15/2027 . . . . . . . . 203,000 204,082

Enbridge Energy Partners L.P.:4.38%, 10/15/2020. . . . . . . . 140,000 143,1075.88%, 10/15/2025. . . . . . . . 365,000 423,174Series B, 7.50%, 4/15/2038 . . 115,000 160,031

Enbridge, Inc.:3.70%, 7/15/2027 . . . . . . . . 665,000 689,9914.25%, 12/1/2026 . . . . . . . . 225,000 244,0965.50%, 12/1/2046 (b) . . . . . . 106,000 132,601

Energy Transfer Operating L.P.:3.60%, 2/1/2023 . . . . . . . . . 60,000 61,2914.05%, 3/15/2025 . . . . . . . . 503,000 523,4174.20%, 4/15/2027 . . . . . . . . 110,000 114,5574.50%, 4/15/2024 . . . . . . . . 430,000 457,464


4.75%, 1/15/2026 . . . . . . . . $ 650,000 $ 696,7745.15%, 3/15/2045 . . . . . . . . 366,000 373,2725.30%, 4/15/2047 . . . . . . . . 270,000 282,0186.05%, 6/1/2041 . . . . . . . . . 300,000 335,6646.13%, 12/15/2045. . . . . . . . 1,072,000 1,221,4266.50%, 2/1/2042 . . . . . . . . . 128,000 150,6927.50%, 7/1/2038 . . . . . . . . . 257,000 328,266

Energy Transfer PartnersL.P./Regency Energy FinanceCorp.5.88%, 3/1/2022 . . . . . . . . . 234,000 251,019

Enterprise ProductsOperating LLC:2.80%, 2/15/2021 . . . . . . . . 414,000 416,4092.85%, 4/15/2021 . . . . . . . . 91,000 91,6933.13%, 7/31/2029 (c) . . . . . . 250,000 251,6723.50%, 2/1/2022 . . . . . . . . . 159,000 163,2773.70%, 2/15/2026 . . . . . . . . 265,000 280,1423.75%, 2/15/2025 . . . . . . . . 344,000 363,8493.95%, 2/15/2027 . . . . . . . . 240,000 256,7764.05%, 2/15/2022 . . . . . . . . 112,000 116,6264.20%, 1/31/2050 (c) . . . . . . 165,000 170,2344.25%, 2/15/2048 . . . . . . . . 51,000 52,6914.45%, 2/15/2043 . . . . . . . . 430,000 451,1044.90%, 5/15/2046 . . . . . . . . 480,000 539,2224.95%, 10/15/2054. . . . . . . . 269,000 298,9995.10%, 2/15/2045 . . . . . . . . 220,000 251,3155.70%, 2/15/2042 . . . . . . . . 50,000 60,5203 Month USD LIBOR +

2.57%, 5.38%, 2/15/2078(d) . . . . . . . . . . . . . . . . 155,000 143,976

Series D, 3 Month USDLIBOR + 2.99%, 4.88%,8/16/2077 (d) . . . . . . . . . 808,000 759,140

Series E, 3 Month USDLIBOR + 3.03%, 5.25%,8/16/2077 (d) . . . . . . . . . 400,000 381,840

EQM Midstream Partners L.P.:4.13%, 12/1/2026 . . . . . . . . 65,000 62,999Series 30Y, 6.50%, 7/15/2048 . 150,000 158,001

EQT Midstream Partners L.P.:Series 10Y, 5.50%, 7/15/2028 . 245,000 257,997Series 5Y, 4.75%, 7/15/2023. . 100,000 103,941

Kinder Morgan Energy PartnersL.P.:3.50%, 3/1/2021 . . . . . . . . . 200,000 202,8523.95%, 9/1/2022 (b) . . . . . . . 250,000 260,3424.25%, 9/1/2024 . . . . . . . . . 250,000 265,5875.00%, 3/1/2043 . . . . . . . . . 200,000 211,2645.50%, 3/1/2044 . . . . . . . . . 475,000 535,3685.63%, 9/1/2041 . . . . . . . . . 50,000 56,2535.80%, 3/1/2021 . . . . . . . . . 300,000 315,7475.80%, 3/15/2035 . . . . . . . . 350,000 402,6826.50%, 9/1/2039 . . . . . . . . . 244,000 299,795

Kinder Morgan, Inc.:3.15%, 1/15/2023 . . . . . . . . 257,000 261,392


39


4.30%, 6/1/2025 . . . . . . . . . $ 401,000 $ 428,2124.30%, 3/1/2028 . . . . . . . . . 155,000 165,8655.20%, 3/1/2048 . . . . . . . . . 102,000 115,0335.55%, 6/1/2045 . . . . . . . . . 1,255,000 1,451,0696.50%, 9/15/2020 . . . . . . . . 150,000 156,981

Magellan Midstream PartnersL.P.:4.20%, 10/3/2047 . . . . . . . . 143,000 144,7334.25%, 2/1/2021 . . . . . . . . . 161,000 165,3764.85%, 2/1/2049 (b) . . . . . . . 200,000 227,0905.00%, 3/1/2026 . . . . . . . . . 50,000 55,549

MPLX L.P.:4.00%, 2/15/2025 . . . . . . . . 200,000 208,8024.00%, 3/15/2028 . . . . . . . . 146,000 151,3794.13%, 3/1/2027 . . . . . . . . . 283,000 295,9934.50%, 4/15/2038 . . . . . . . . 185,000 186,8594.70%, 4/15/2048 . . . . . . . . 80,000 81,4264.88%, 12/1/2024 . . . . . . . . 1,043,000 1,134,2624.90%, 4/15/2058 . . . . . . . . 25,000 25,2855.20%, 3/1/2047 . . . . . . . . . 265,000 284,493

ONEOK Partners L.P.6.13%, 2/1/2041 . . . . . . . . . 300,000 350,793

ONEOK, Inc.:4.00%, 7/13/2027 . . . . . . . . 295,000 307,2754.25%, 2/1/2022 . . . . . . . . . 240,000 248,2874.35%, 3/15/2029 (b) . . . . . . 550,000 587,8674.55%, 7/15/2028 . . . . . . . . 432,000 468,8375.20%, 7/15/2048 . . . . . . . . 100,000 110,1377.50%, 9/1/2023 . . . . . . . . . 100,000 116,906

Phillips 66 Partners L.P.:3.55%, 10/1/2026 . . . . . . . . 50,000 50,8744.90%, 10/1/2046 . . . . . . . . 50,000 53,2913.75%, 3/1/2028 . . . . . . . . . 230,000 234,828

Plains All American PipelineL.P./PAA Finance Corp.:2.85%, 1/31/2023 . . . . . . . . 500,000 498,5053.65%, 6/1/2022 . . . . . . . . . 245,000 250,8044.30%, 1/31/2043 . . . . . . . . 175,000 158,3124.50%, 12/15/2026. . . . . . . . 225,000 239,0584.65%, 10/15/2025. . . . . . . . 261,000 278,1065.15%, 6/1/2042 . . . . . . . . . 135,000 134,880

Sabine Pass Liquefaction LLC:4.20%, 3/15/2028 . . . . . . . . 220,000 230,9855.00%, 3/15/2027 . . . . . . . . 175,000 191,9565.63%, 4/15/2023 . . . . . . . . 361,000 392,8555.63%, 3/1/2025 . . . . . . . . . 408,000 456,6915.75%, 5/15/2024 . . . . . . . . 474,000 527,1695.88%, 6/30/2026 . . . . . . . . 207,000 236,5496.25%, 3/15/2022 . . . . . . . . 139,000 150,823

Spectra Energy Partners L.P.3.38%, 10/15/2026. . . . . . . . 381,000 388,247

Sunoco Logistics PartnersOperations L.P.:3.90%, 7/15/2026 . . . . . . . . 230,000 235,2974.00%, 10/1/2027 . . . . . . . . 294,000 303,2644.40%, 4/1/2021 . . . . . . . . . 50,000 51,461


4.65%, 2/15/2022 . . . . . . . . $ 125,000 $ 130,9695.30%, 4/1/2044 . . . . . . . . . 200,000 206,4225.35%, 5/15/2045 . . . . . . . . 257,000 268,3855.40%, 10/1/2047 . . . . . . . . 550,000 584,3205.95%, 12/1/2025 . . . . . . . . 200,000 227,730

TC PipeLines L.P.:3.90%, 5/25/2027 . . . . . . . . 40,000 40,7924.38%, 3/13/2025 . . . . . . . . 75,000 78,975

Texas Eastern Transmission L.P.7.00%, 7/15/2032 . . . . . . . . 200,000 261,126

TransCanada PipeLines, Ltd.:2.50%, 8/1/2022 . . . . . . . . . 646,000 645,4514.63%, 3/1/2034 . . . . . . . . . 370,000 409,3684.88%, 1/15/2026 . . . . . . . . 214,000 238,2896.10%, 6/1/2040 . . . . . . . . . 275,000 343,1946.20%, 10/15/2037. . . . . . . . 336,000 419,3757.25%, 8/15/2038 . . . . . . . . 325,000 450,3007.63%, 1/15/2039 . . . . . . . . 649,000 929,323

Transcontinental Gas Pipe LineCo. LLC:4.00%, 3/15/2028 . . . . . . . . 210,000 220,4454.60%, 3/15/2048 . . . . . . . . 150,000 158,689

Valero Energy Partners L.P.4.38%, 12/15/2026. . . . . . . . 158,000 168,897

Western Gas Partners L.P.:4.75%, 8/15/2028 . . . . . . . . 160,000 162,6135.38%, 6/1/2021 . . . . . . . . . 156,000 162,1685.45%, 4/1/2044 . . . . . . . . . 250,000 235,182

Western Midstream OperatingL.P.:4.00%, 7/1/2022 . . . . . . . . . 200,000 202,9364.50%, 3/1/2028 . . . . . . . . . 40,000 39,8734.65%, 7/1/2026 . . . . . . . . . 427,000 432,9015.30%, 3/1/2048 . . . . . . . . . 100,000 92,8045.50%, 8/15/2048 . . . . . . . . 60,000 56,892

Williams Cos., Inc.:3.35%, 8/15/2022 . . . . . . . . 521,000 531,0343.60%, 3/15/2022 . . . . . . . . 173,000 177,5143.70%, 1/15/2023 . . . . . . . . 65,000 67,1173.75%, 6/15/2027 . . . . . . . . 303,000 313,1413.90%, 1/15/2025 . . . . . . . . 69,000 72,2544.00%, 11/15/2021. . . . . . . . 75,000 77,3884.00%, 9/15/2025 . . . . . . . . 205,000 216,7794.30%, 3/4/2024 . . . . . . . . . 323,000 342,8974.55%, 6/24/2024 . . . . . . . . 245,000 263,7874.85%, 3/1/2048 (b) . . . . . . . 115,000 123,0494.90%, 1/15/2045 . . . . . . . . 120,000 125,7965.10%, 9/15/2045 . . . . . . . . 377,000 408,7025.75%, 6/24/2044 . . . . . . . . 95,000 110,8106.30%, 4/15/2040 . . . . . . . . 42,000 50,8397.88%, 9/1/2021 . . . . . . . . . 370,000 410,378

40,480,319

REAL ESTATE — 0.0% (a)CBRE Services, Inc.

4.88%, 3/1/2026 . . . . . . . . . 129,000 140,233


40



Alexandria Real Estate Equities,Inc.:3.45%, 4/30/2025 . . . . . . . . $ 158,000 $ 162,5963.80%, 4/15/2026 . . . . . . . . 410,000 430,2333.95%, 1/15/2027 . . . . . . . . 50,000 52,4014.00%, 1/15/2024 . . . . . . . . 200,000 211,7784.30%, 1/15/2026 . . . . . . . . 50,000 53,6134.50%, 7/30/2029 . . . . . . . . 65,000 71,7074.70%, 7/1/2030 . . . . . . . . . 135,000 151,9144.85%, 4/15/2049 . . . . . . . . 120,000 135,469

American Campus CommunitiesOperating Partnership L.P.:3.30%, 7/15/2026 . . . . . . . . 250,000 253,0203.35%, 10/1/2020 . . . . . . . . 100,000 101,0404.13%, 7/1/2024 . . . . . . . . . 50,000 52,805

American Tower Corp.:2.25%, 1/15/2022 . . . . . . . . 100,000 99,5272.95%, 1/15/2025 . . . . . . . . 200,000 202,0163.13%, 1/15/2027 . . . . . . . . 90,000 89,4553.38%, 5/15/2024 . . . . . . . . 300,000 308,7243.50%, 1/31/2023 . . . . . . . . 110,000 113,4443.60%, 1/15/2028 . . . . . . . . 510,000 520,9853.80%, 8/15/2029 . . . . . . . . 125,000 129,4893.95%, 3/15/2029 . . . . . . . . 300,000 313,4914.00%, 6/1/2025 . . . . . . . . . 187,000 198,0244.70%, 3/15/2022 . . . . . . . . 179,000 188,8685.00%, 2/15/2024 . . . . . . . . 234,000 257,5265.90%, 11/1/2021 . . . . . . . . 100,000 107,562

AvalonBay Communities, Inc.:3.30%, 6/1/2029 . . . . . . . . . 115,000 119,607Series GMTN, 2.95%,

5/11/2026. . . . . . . . . . . . 50,000 50,658Series GMTN, 3.45%,

6/1/2025 . . . . . . . . . . . . 100,000 104,843Series GMTN, 3.50%,

11/15/2024 . . . . . . . . . . . 100,000 104,950Series MTN, 3.20%,

1/15/2028. . . . . . . . . . . . 220,000 227,304Series MTN, 3.35%,


4/15/2048. . . . . . . . . . . . 200,000 224,536Boston Properties L.P.:

2.75%, 10/1/2026 . . . . . . . . 179,000 176,2613.40%, 6/21/2029 . . . . . . . . 750,000 770,3173.65%, 2/1/2026 . . . . . . . . . 127,000 131,9004.13%, 5/15/2021 . . . . . . . . 200,000 206,0744.50%, 12/1/2028 . . . . . . . . 350,000 387,6955.63%, 11/15/2020. . . . . . . . 195,000 202,229

Brixmor Operating PartnershipL.P.:3.25%, 9/15/2023 . . . . . . . . 100,000 101,273


3.85%, 2/1/2025 . . . . . . . . . $ 250,000 $ 257,5173.90%, 3/15/2027 (b) . . . . . . 100,000 101,5884.13%, 6/15/2026 . . . . . . . . 70,000 72,7194.13%, 5/15/2029 . . . . . . . . 50,000 52,281

Camden Property Trust3.15%, 7/1/2029 . . . . . . . . . 160,000 162,962

Corporate Office Properties L.P.:3.60%, 5/15/2023 . . . . . . . . 60,000 60,8495.00%, 7/1/2025 . . . . . . . . . 350,000 374,181

Crown Castle InternationalCorp.:3.20%, 9/1/2024 . . . . . . . . . 225,000 229,4083.40%, 2/15/2021 . . . . . . . . 250,000 253,3803.65%, 9/1/2027 . . . . . . . . . 125,000 128,8593.70%, 6/15/2026 . . . . . . . . 196,000 203,7543.80%, 2/15/2028 . . . . . . . . 558,000 579,3104.00%, 3/1/2027 . . . . . . . . . 103,000 108,2504.45%, 2/15/2026 . . . . . . . . 363,000 392,9004.75%, 5/15/2047 . . . . . . . . 183,000 196,6015.25%, 1/15/2023 . . . . . . . . 160,000 173,824

CubeSmart L.P.:4.38%, 12/15/2023. . . . . . . . 65,000 68,8674.38%, 2/15/2029 . . . . . . . . 218,000 232,155

Digital Realty Trust L.P.:2.75%, 2/1/2023 . . . . . . . . . 150,000 149,9763.60%, 7/1/2029 . . . . . . . . . 125,000 126,8943.63%, 10/1/2022 . . . . . . . . 100,000 102,7623.70%, 8/15/2027 . . . . . . . . 139,000 143,1734.45%, 7/15/2028 . . . . . . . . 307,000 332,846

Duke Realty L.P.:3.38%, 12/15/2027. . . . . . . . 1,005,000 1,026,1153.75%, 12/1/2024 . . . . . . . . 125,000 131,036

EPR Properties:4.50%, 6/1/2027 . . . . . . . . . 143,000 148,6215.75%, 8/15/2022 . . . . . . . . 100,000 107,285

ERP Operating L.P.:2.85%, 11/1/2026 . . . . . . . . 130,000 131,3123.00%, 4/15/2023 . . . . . . . . 107,000 109,5833.00%, 7/1/2029 . . . . . . . . . 100,000 101,5063.38%, 6/1/2025 . . . . . . . . . 100,000 104,5823.50%, 3/1/2028 . . . . . . . . . 150,000 157,9354.00%, 8/1/2047 . . . . . . . . . 100,000 107,8614.50%, 7/1/2044 . . . . . . . . . 200,000 226,6204.50%, 6/1/2045 . . . . . . . . . 160,000 182,0504.75%, 7/15/2020 . . . . . . . . 136,000 138,477

Essex Portfolio L.P.:3.63%, 5/1/2027 . . . . . . . . . 100,000 103,8323.88%, 5/1/2024 . . . . . . . . . 75,000 78,7184.00%, 3/1/2029 . . . . . . . . . 250,000 266,1124.50%, 3/15/2048 . . . . . . . . 330,000 354,529

Federal Realty Investment Trust:3.20%, 6/15/2029 . . . . . . . . 200,000 202,9483.25%, 7/15/2027 . . . . . . . . 158,000 161,2124.50%, 12/1/2044 . . . . . . . . 110,000 121,909


41


GLP Capital L.P./GLP FinancingII, Inc.:4.38%, 4/15/2021 . . . . . . . . $ 165,000 $ 167,6834.88%, 11/1/2020 . . . . . . . . 250,000 254,865

HCP, Inc.:3.40%, 2/1/2025 . . . . . . . . . 352,000 359,9023.50%, 7/15/2029 (c) . . . . . . 115,000 115,8393.88%, 8/15/2024 . . . . . . . . 109,000 114,2844.00%, 6/1/2025 . . . . . . . . . 130,000 137,1994.20%, 3/1/2024 . . . . . . . . . 70,000 74,0474.25%, 11/15/2023. . . . . . . . 250,000 265,3426.75%, 2/1/2041 . . . . . . . . . 250,000 334,057

Healthcare Realty Trust, Inc.3.63%, 1/15/2028 . . . . . . . . 241,000 243,586

Healthcare Trust of AmericaHoldings L.P.:3.38%, 7/15/2021 . . . . . . . . 250,000 252,8953.50%, 8/1/2026 . . . . . . . . . 40,000 40,520

Highwoods Realty L.P.:3.88%, 3/1/2027 . . . . . . . . . 260,000 268,1284.13%, 3/15/2028 . . . . . . . . 345,000 359,6804.20%, 4/15/2029 . . . . . . . . 100,000 104,467

Hospitality Properties Trust:4.25%, 2/15/2021 . . . . . . . . 150,000 151,5734.38%, 2/15/2030 . . . . . . . . 300,000 286,6594.50%, 6/15/2023 . . . . . . . . 100,000 103,4465.00%, 8/15/2022 . . . . . . . . 118,000 123,729

Host Hotels & Resorts L.P.:Series C, 4.75%, 3/1/2023 . . . 275,000 291,868Series E, 4.00%, 6/15/2025 . . 96,000 99,407

Hudson Pacific Properties L.P.4.65%, 4/1/2029 . . . . . . . . . 115,000 123,349

Kilroy Realty L.P.:3.45%, 12/15/2024. . . . . . . . 100,000 102,7564.75%, 12/15/2028. . . . . . . . 100,000 110,930

Kimco Realty Corp.:3.20%, 5/1/2021 . . . . . . . . . 200,000 202,4003.80%, 4/1/2027 . . . . . . . . . 108,000 112,3454.45%, 9/1/2047 . . . . . . . . . 210,000 219,555

Liberty Property L.P.:3.25%, 10/1/2026 . . . . . . . . 50,000 50,1264.13%, 6/15/2022 . . . . . . . . 100,000 104,3024.38%, 2/1/2029 . . . . . . . . . 220,000 237,7344.40%, 2/15/2024 . . . . . . . . 63,000 67,330

Life Storage L.P.:3.50%, 7/1/2026 . . . . . . . . . 50,000 49,8223.88%, 12/15/2027. . . . . . . . 158,000 161,1434.00%, 6/15/2029 . . . . . . . . 100,000 102,565

Mid-America Apartments L.P.:3.60%, 6/1/2027 . . . . . . . . . 114,000 117,5593.75%, 6/15/2024 . . . . . . . . 100,000 103,9933.95%, 3/15/2029 . . . . . . . . 225,000 238,320

National Retail Properties, Inc.:3.60%, 12/15/2026. . . . . . . . 270,000 277,2173.80%, 10/15/2022. . . . . . . . 200,000 207,242


4.00%, 11/15/2025. . . . . . . . $ 65,000 $ 68,713Office Properties Income Trust:

4.25%, 5/15/2024 . . . . . . . . 350,000 350,4724.50%, 2/1/2025 . . . . . . . . . 200,000 200,290

Omega Healthcare Investors,Inc.:4.50%, 4/1/2027 . . . . . . . . . 158,000 165,0774.75%, 1/15/2028 . . . . . . . . 237,000 251,1685.25%, 1/15/2026 . . . . . . . . 250,000 271,387

Physicians Realty L.P.:3.95%, 1/15/2028 . . . . . . . . 150,000 150,4004.30%, 3/15/2027 . . . . . . . . 58,000 59,851

Prologis L.P.:3.88%, 9/15/2028 . . . . . . . . 112,000 121,6104.38%, 9/15/2048 . . . . . . . . 75,000 86,014

Public Storage:3.09%, 9/15/2027 . . . . . . . . 88,000 89,8533.39%, 5/1/2029 . . . . . . . . . 495,000 516,894

Rayonier, Inc.3.75%, 4/1/2022 . . . . . . . . . 170,000 173,725

Realty Income Corp.:3.25%, 10/15/2022. . . . . . . . 147,000 151,0073.25%, 6/15/2029 . . . . . . . . 300,000 305,9523.65%, 1/15/2028 . . . . . . . . 150,000 157,2973.88%, 7/15/2024 . . . . . . . . 60,000 63,6554.13%, 10/15/2026. . . . . . . . 125,000 135,0254.65%, 3/15/2047 . . . . . . . . 215,000 249,738

Regency Centers L.P.:3.60%, 2/1/2027 . . . . . . . . . 240,000 247,8294.13%, 3/15/2028 . . . . . . . . 100,000 106,6644.40%, 2/1/2047 . . . . . . . . . 135,000 144,8514.65%, 3/15/2049 . . . . . . . . 60,000 66,791

Sabra Health Care L.P./SabraCapital Corp.4.80%, 6/1/2024 . . . . . . . . . 125,000 128,297

Simon Property Group L.P.:2.35%, 1/30/2022 (b) . . . . . . 233,000 233,3612.50%, 9/1/2020 . . . . . . . . . 118,000 118,3022.63%, 6/15/2022 . . . . . . . . 204,000 205,7692.75%, 6/1/2023 . . . . . . . . . 150,000 152,0313.38%, 10/1/2024 . . . . . . . . 680,000 708,4723.38%, 6/15/2027 . . . . . . . . 100,000 103,9133.38%, 12/1/2027 . . . . . . . . 613,000 637,6303.50%, 9/1/2025 . . . . . . . . . 50,000 52,4164.13%, 12/1/2021 . . . . . . . . 201,000 209,020

SITE Centers Corp.4.70%, 6/1/2027 . . . . . . . . . 135,000 144,642

SL Green Operating PartnershipL.P.3.25%, 10/15/2022. . . . . . . . 35,000 35,468

Spirit Realty L.P.4.00%, 7/15/2029 . . . . . . . . 90,000 91,072

STORE Capital Corp.:4.50%, 3/15/2028 . . . . . . . . 100,000 104,5854.63%, 3/15/2029 . . . . . . . . 100,000 106,581

UDR, Inc.:


42


Series GMTN, 3.50%,1/15/2028. . . . . . . . . . . . $ 158,000 $ 161,749


1/15/2030 (c) . . . . . . . . . 100,000 99,797Series MTN, 4.00%,

10/1/2025. . . . . . . . . . . . 100,000 105,795Ventas Realty L.P.:

2.65%, 1/15/2025 (c) . . . . . . 350,000 348,8103.25%, 10/15/2026. . . . . . . . 219,000 220,0343.85%, 4/1/2027 . . . . . . . . . 375,000 388,9544.00%, 3/1/2028 . . . . . . . . . 100,000 104,9664.40%, 1/15/2029 . . . . . . . . 110,000 119,3424.88%, 4/15/2049 . . . . . . . . 250,000 275,042

VEREIT Operating PartnershipL.P.:3.95%, 8/15/2027 . . . . . . . . 500,000 515,2804.13%, 6/1/2021 . . . . . . . . . 25,000 25,6624.60%, 2/6/2024 . . . . . . . . . 158,000 167,608

Weingarten Realty Investors3.50%, 4/15/2023 . . . . . . . . 100,000 102,003

Welltower, Inc.:3.63%, 3/15/2024 . . . . . . . . 550,000 572,2584.13%, 3/15/2029 . . . . . . . . 100,000 105,9684.25%, 4/15/2028 . . . . . . . . 516,000 551,8264.95%, 9/1/2048 . . . . . . . . . 50,000 55,742

Weyerhaeuser Co.:3.25%, 3/15/2023 . . . . . . . . 135,000 137,2864.00%, 11/15/2029. . . . . . . . 450,000 478,4174.63%, 9/15/2023 . . . . . . . . 150,000 161,073

WP Carey, Inc.4.25%, 10/1/2026 . . . . . . . . 275,000 287,265

34,847,155

RETAIL — 0.8%Advance Auto Parts, Inc.

4.50%, 12/1/2023 . . . . . . . . 70,000 75,070AutoNation, Inc.:

3.35%, 1/15/2021 . . . . . . . . 25,000 25,2183.80%, 11/15/2027. . . . . . . . 218,000 214,0174.50%, 10/1/2025 . . . . . . . . 270,000 280,352

AutoZone, Inc.:3.13%, 4/18/2024 . . . . . . . . 200,000 204,8383.13%, 4/21/2026 . . . . . . . . 25,000 25,2133.70%, 4/15/2022 . . . . . . . . 426,000 440,4713.75%, 6/1/2027 . . . . . . . . . 100,000 104,6093.75%, 4/18/2029 . . . . . . . . 200,000 208,086

Best Buy Co., Inc.4.45%, 10/1/2028 . . . . . . . . 200,000 211,166

Costco Wholesale Corp.:2.30%, 5/18/2022 . . . . . . . . 394,000 396,3602.75%, 5/18/2024 . . . . . . . . 100,000 102,658

Darden Restaurants, Inc.3.85%, 5/1/2027 (b) . . . . . . . 143,000 147,595

Dollar General Corp.3.88%, 4/15/2027 . . . . . . . . 208,000 216,023


Dollar Tree, Inc.:3.70%, 5/15/2023 . . . . . . . . $ 315,000 $ 326,2584.00%, 5/15/2025 . . . . . . . . 250,000 259,9354.20%, 5/15/2028 . . . . . . . . 115,000 119,019

Home Depot, Inc.:2.13%, 9/15/2026 . . . . . . . . 475,000 464,9732.63%, 6/1/2022 . . . . . . . . . 408,000 414,9562.70%, 4/1/2023 . . . . . . . . . 316,000 322,7532.80%, 9/14/2027 . . . . . . . . 353,000 358,6662.95%, 6/15/2029 . . . . . . . . 115,000 118,1793.00%, 4/1/2026 . . . . . . . . . 80,000 82,7253.25%, 3/1/2022 . . . . . . . . . 103,000 106,3053.35%, 9/15/2025 . . . . . . . . 656,000 694,9203.50%, 9/15/2056 . . . . . . . . 110,000 108,5663.90%, 6/15/2047 . . . . . . . . 226,000 244,4014.20%, 4/1/2043 . . . . . . . . . 375,000 417,0454.25%, 4/1/2046 . . . . . . . . . 455,000 512,1534.40%, 4/1/2021 . . . . . . . . . 310,000 320,6184.40%, 3/15/2045 . . . . . . . . 90,000 103,3224.88%, 2/15/2044 . . . . . . . . 50,000 60,7665.88%, 12/16/2036. . . . . . . . 514,000 683,1835.95%, 4/1/2041 . . . . . . . . . 250,000 338,727

Kohl’s Corp.:4.25%, 7/17/2025 (b) . . . . . . 230,000 238,8535.55%, 7/17/2045 . . . . . . . . 150,000 150,489

Lowe’s Cos., Inc.:2.50%, 4/15/2026 . . . . . . . . 495,000 485,8573.10%, 5/3/2027 . . . . . . . . . 510,000 517,1553.65%, 4/5/2029 . . . . . . . . . 234,000 244,3123.70%, 4/15/2046 . . . . . . . . 250,000 235,5384.05%, 5/3/2047 . . . . . . . . . 300,000 298,6264.38%, 9/15/2045 . . . . . . . . 210,000 218,4324.55%, 4/5/2049 . . . . . . . . . 585,000 630,7004.65%, 4/15/2042 . . . . . . . . 120,000 128,732

Macy’s Retail Holdings, Inc.:2.88%, 2/15/2023 (b) . . . . . . 484,000 475,6903.45%, 1/15/2021 . . . . . . . . 53,000 53,4214.38%, 9/1/2023 (b) . . . . . . . 115,000 117,6044.50%, 12/15/2034. . . . . . . . 20,000 18,412


1/15/2022. . . . . . . . . . . . 301,000 304,684Series MTN, 2.75%,




12/9/2035. . . . . . . . . . . . 220,000 250,054Series MTN, 4.88%,

12/9/2045. . . . . . . . . . . . 360,000 415,314


43


Series MTN, 6.30%,10/15/2037 . . . . . . . . . . . $ 100,000 $ 130,855

Series MTN, 6.30%, 3/1/2038. 325,000 428,031Nordstrom, Inc.:

4.00%, 10/15/2021. . . . . . . . 100,000 102,7574.00%, 3/15/2027 . . . . . . . . 310,000 317,0285.00%, 1/15/2044 . . . . . . . . 100,000 93,221

O’Reilly Automotive, Inc.:3.55%, 3/15/2026 . . . . . . . . 100,000 102,9823.60%, 9/1/2027 . . . . . . . . . 108,000 111,0833.90%, 6/1/2029 . . . . . . . . . 150,000 157,3164.63%, 9/15/2021 . . . . . . . . 310,000 323,364

QVC, Inc.:4.45%, 2/15/2025 . . . . . . . . 165,000 167,0165.13%, 7/2/2022 . . . . . . . . . 125,000 130,0185.45%, 8/15/2034 . . . . . . . . 245,000 240,713

Starbucks Corp.:2.10%, 2/4/2021 . . . . . . . . . 160,000 159,4452.20%, 11/22/2020. . . . . . . . 128,000 127,8202.45%, 6/15/2026 . . . . . . . . 100,000 98,9352.70%, 6/15/2022 . . . . . . . . 64,000 64,7643.10%, 3/1/2023 . . . . . . . . . 100,000 102,6253.50%, 3/1/2028 . . . . . . . . . 100,000 104,9133.55%, 8/15/2029 . . . . . . . . 337,000 352,7043.75%, 12/1/2047 . . . . . . . . 300,000 294,6123.80%, 8/15/2025 . . . . . . . . 176,000 187,8384.00%, 11/15/2028 (b) . . . . . 150,000 163,4494.30%, 6/15/2045 . . . . . . . . 35,000 36,8334.45%, 8/15/2049 . . . . . . . . 300,000 328,5304.50%, 11/15/2048. . . . . . . . 485,000 532,157

Tapestry, Inc.4.13%, 7/15/2027 . . . . . . . . 807,000 812,665

Target Corp.:2.50%, 4/15/2026 . . . . . . . . 312,000 314,3622.90%, 1/15/2022 . . . . . . . . 307,000 313,7603.38%, 4/15/2029 . . . . . . . . 260,000 275,8943.63%, 4/15/2046 . . . . . . . . 418,000 428,7764.00%, 7/1/2042 . . . . . . . . . 350,000 380,2686.50%, 10/15/2037. . . . . . . . 330,000 470,253

TJX Cos., Inc.2.50%, 5/15/2023 . . . . . . . . 130,000 131,585

Walgreen Co.:3.10%, 9/15/2022 (b) . . . . . . 220,000 223,8064.40%, 9/15/2042 . . . . . . . . 112,000 106,568

Walgreens Boots Alliance, Inc.:3.45%, 6/1/2026 . . . . . . . . . 257,000 259,7683.80%, 11/18/2024. . . . . . . . 437,000 454,5894.65%, 6/1/2046 . . . . . . . . . 120,000 118,6824.80%, 11/18/2044. . . . . . . . 355,000 356,441

Walmart, Inc.:2.35%, 12/15/2022. . . . . . . . 678,000 684,5562.55%, 4/11/2023 . . . . . . . . 278,000 281,8392.65%, 12/15/2024. . . . . . . . 1,026,000 1,049,0642.85%, 7/8/2024 . . . . . . . . . 870,000 898,2753.05%, 7/8/2026 . . . . . . . . . 360,000 375,998


3.13%, 6/23/2021 . . . . . . . . $ 384,000 $ 392,3373.25%, 10/25/2020. . . . . . . . 250,000 253,9453.25%, 7/8/2029 . . . . . . . . . 700,000 738,7033.30%, 4/22/2024 . . . . . . . . 114,000 119,8053.40%, 6/26/2023 . . . . . . . . 1,050,000 1,102,6363.55%, 6/26/2025 . . . . . . . . 212,000 226,3383.63%, 12/15/2047. . . . . . . . 255,000 272,4853.95%, 6/28/2038 . . . . . . . . 105,000 117,0404.30%, 4/22/2044 . . . . . . . . 421,000 487,1775.88%, 4/5/2027 . . . . . . . . . 140,000 172,6006.50%, 8/15/2037 . . . . . . . . 45,000 65,109

31,837,420

SAVINGS & LOANS — 0.0%(a)

First Niagara Financial Group,Inc.7.25%, 12/15/2021. . . . . . . . 200,000 221,990

SEMICONDUCTORS — 0.4%Analog Devices, Inc.:

2.95%, 1/12/2021 . . . . . . . . 250,000 252,1903.50%, 12/5/2026 . . . . . . . . 654,000 669,7165.30%, 12/15/2045. . . . . . . . 50,000 57,732

Applied Materials, Inc.:2.63%, 10/1/2020 . . . . . . . . 50,000 50,2473.90%, 10/1/2025 . . . . . . . . 63,000 67,5354.35%, 4/1/2047 (b) . . . . . . . 53,000 59,1315.10%, 10/1/2035 . . . . . . . . 190,000 229,4635.85%, 6/15/2041 . . . . . . . . 610,000 786,949

Broadcom Corp./BroadcomCayman Finance, Ltd.:2.20%, 1/15/2021 . . . . . . . . 217,000 215,4792.65%, 1/15/2023 . . . . . . . . 291,000 287,0803.00%, 1/15/2022 . . . . . . . . 670,000 671,9833.13%, 1/15/2025 . . . . . . . . 386,000 376,9603.63%, 1/15/2024 . . . . . . . . 206,000 207,8523.88%, 1/15/2027 . . . . . . . . 983,000 963,035

Broadcom, Inc.:3.13%, 4/15/2021 (f) . . . . . . 250,000 251,5703.13%, 10/15/2022 (f) . . . . . . 65,000 65,3633.63%, 10/15/2024 (f) . . . . . . 448,000 450,3394.25%, 4/15/2026 (f) . . . . . . 500,000 507,3904.75%, 4/15/2029 (f) . . . . . . 650,000 666,705

Intel Corp.:1.70%, 5/19/2021 . . . . . . . . 590,000 585,7582.45%, 7/29/2020 . . . . . . . . 107,000 107,2492.60%, 5/19/2026 . . . . . . . . 115,000 115,7642.70%, 12/15/2022. . . . . . . . 523,000 532,3202.88%, 5/11/2024 (b) . . . . . . 366,000 376,8413.15%, 5/11/2027 . . . . . . . . 108,000 112,3973.30%, 10/1/2021 . . . . . . . . 312,000 320,6893.70%, 7/29/2025 . . . . . . . . 435,000 466,6243.73%, 12/8/2047 . . . . . . . . 356,000 369,6784.00%, 12/15/2032. . . . . . . . 111,000 125,0804.10%, 5/11/2047 . . . . . . . . 199,000 217,682

KLA-Tencor Corp.:


44


4.10%, 3/15/2029 . . . . . . . . $ 160,000 $ 168,4774.13%, 11/1/2021 . . . . . . . . 89,000 92,1355.00%, 3/15/2049 . . . . . . . . 360,000 402,275

Lam Research Corp.:2.80%, 6/15/2021 . . . . . . . . 50,000 50,3873.75%, 3/15/2026 . . . . . . . . 400,000 420,7684.00%, 3/15/2029 . . . . . . . . 161,000 171,5684.88%, 3/15/2049 . . . . . . . . 125,000 137,831

Marvell Technology Group, Ltd.:4.20%, 6/22/2023 . . . . . . . . 325,000 337,1584.88%, 6/22/2028 . . . . . . . . 50,000 53,088

Maxim Integrated Products, Inc.3.45%, 6/15/2027 . . . . . . . . 100,000 100,226

Micron Technology, Inc.:4.64%, 2/6/2024 . . . . . . . . . 433,000 451,5764.98%, 2/6/2026 . . . . . . . . . 100,000 105,2705.33%, 2/6/2029 (b) . . . . . . . 100,000 106,0445.50%, 2/1/2025 . . . . . . . . . 188,000 193,386

NVIDIA Corp.:2.20%, 9/16/2021 . . . . . . . . 233,000 232,2083.20%, 9/16/2026 . . . . . . . . 100,000 102,341

NXP B.V./NXP Funding LLC:4.88%, 3/1/2024 (f) . . . . . . . 117,000 125,5045.35%, 3/1/2026 (f) . . . . . . . 100,000 110,6765.55%, 12/1/2028 (f) . . . . . . 265,000 298,260

NXP B.V./NXPFunding LLC/NXP USA, Inc.:3.88%, 6/18/2026 (f) . . . . . . 250,000 257,0774.30%, 6/18/2029 (f) . . . . . . 250,000 258,162

QUALCOMM, Inc.:2.60%, 1/30/2023 . . . . . . . . 118,000 118,4542.90%, 5/20/2024 . . . . . . . . 214,000 217,2313.00%, 5/20/2022 . . . . . . . . 567,000 577,5243.25%, 5/20/2027 . . . . . . . . 450,000 458,5773.45%, 5/20/2025 . . . . . . . . 200,000 208,0104.30%, 5/20/2047 (b) . . . . . . 403,000 423,6344.65%, 5/20/2035 . . . . . . . . 316,000 351,3924.80%, 5/20/2045 . . . . . . . . 236,000 264,698

Texas Instruments, Inc.:1.85%, 5/15/2022 . . . . . . . . 125,000 124,3043.88%, 3/15/2039 . . . . . . . . 415,000 451,5244.15%, 5/15/2048 . . . . . . . . 250,000 283,692

Xilinx, Inc.:2.95%, 6/1/2024 . . . . . . . . . 50,000 50,7253.00%, 3/15/2021 . . . . . . . . 100,000 100,821

17,971,804

SHIPBUILDING — 0.0% (a)Huntington Ingalls Industries,

Inc.3.48%, 12/1/2027 . . . . . . . . 158,000 160,713

SOFTWARE — 0.7%Activision Blizzard, Inc.:

2.30%, 9/15/2021 . . . . . . . . 60,000 59,8992.60%, 6/15/2022 . . . . . . . . 197,000 198,4203.40%, 9/15/2026 . . . . . . . . 164,000 167,008


3.40%, 6/15/2027 . . . . . . . . $ 71,000 $ 71,7744.50%, 6/15/2047 . . . . . . . . 30,000 31,251

Adobe, Inc.3.25%, 2/1/2025 . . . . . . . . . 115,000 119,981

Autodesk, Inc.:3.50%, 6/15/2027 . . . . . . . . 333,000 336,7364.38%, 6/15/2025 . . . . . . . . 225,000 239,074

CA, Inc.:3.60%, 8/15/2022 . . . . . . . . 201,000 203,3054.70%, 3/15/2027 . . . . . . . . 180,000 183,209

Citrix Systems, Inc.4.50%, 12/1/2027 . . . . . . . . 344,000 355,957

Electronic Arts, Inc.:3.70%, 3/1/2021 . . . . . . . . . 100,000 101,8674.80%, 3/1/2026 . . . . . . . . . 150,000 166,964

Fidelity National InformationServices, Inc.:3.00%, 8/15/2026 . . . . . . . . 393,000 397,8893.50%, 4/15/2023 . . . . . . . . 209,000 216,6513.63%, 10/15/2020. . . . . . . . 49,000 49,7193.75%, 5/21/2029 . . . . . . . . 50,000 53,0454.50%, 10/15/2022. . . . . . . . 33,000 35,0524.50%, 8/15/2046 . . . . . . . . 200,000 212,8585.00%, 10/15/2025. . . . . . . . 426,000 479,723

Fiserv, Inc.:2.75%, 7/1/2024 . . . . . . . . . 350,000 353,4973.20%, 7/1/2026 . . . . . . . . . 65,000 66,5723.50%, 10/1/2022 . . . . . . . . 500,000 516,8403.50%, 7/1/2029 . . . . . . . . . 220,000 226,5563.85%, 6/1/2025 . . . . . . . . . 247,000 261,4474.40%, 7/1/2049 . . . . . . . . . 200,000 210,844

Microsoft Corp.:1.55%, 8/8/2021 . . . . . . . . . 686,000 680,1622.00%, 11/3/2020 . . . . . . . . 621,000 620,9012.00%, 8/8/2023 . . . . . . . . . 257,000 256,6612.13%, 11/15/2022. . . . . . . . 166,000 167,2382.38%, 2/12/2022 . . . . . . . . 475,000 479,9642.38%, 5/1/2023 . . . . . . . . . 375,000 379,8752.40%, 2/6/2022 . . . . . . . . . 395,000 399,2152.40%, 8/8/2026 . . . . . . . . . 528,000 530,7982.65%, 11/3/2022 . . . . . . . . 374,000 382,2172.70%, 2/12/2025 . . . . . . . . 372,000 382,5503.00%, 10/1/2020 . . . . . . . . 444,000 449,4173.13%, 11/3/2025 . . . . . . . . 864,000 909,5163.30%, 2/6/2027 . . . . . . . . . 646,000 686,2393.45%, 8/8/2036 . . . . . . . . . 710,000 750,3353.50%, 2/12/2035 . . . . . . . . 286,000 304,8473.50%, 11/15/2042. . . . . . . . 158,000 164,5333.63%, 12/15/2023. . . . . . . . 664,000 706,7083.70%, 8/8/2046 . . . . . . . . . 269,000 290,9153.75%, 2/12/2045 . . . . . . . . 244,000 265,3013.95%, 8/8/2056 . . . . . . . . . 285,000 317,2364.00%, 2/12/2055 . . . . . . . . 302,000 338,8564.10%, 2/6/2037 . . . . . . . . . 464,000 529,5964.20%, 11/3/2035 . . . . . . . . 162,000 186,224


45


4.45%, 11/3/2045 . . . . . . . . $ 217,000 $ 261,1254.50%, 2/6/2057 . . . . . . . . . 311,000 379,7504.75%, 11/3/2055 . . . . . . . . 265,000 337,679Series 30Y, 4.25%, 2/6/2047. . 358,000 422,118

Oracle Corp.:1.90%, 9/15/2021 . . . . . . . . 448,000 445,6442.40%, 9/15/2023 . . . . . . . . 485,000 488,4342.50%, 5/15/2022 . . . . . . . . 203,000 205,0442.50%, 10/15/2022. . . . . . . . 237,000 239,4672.63%, 2/15/2023 . . . . . . . . 380,000 385,7042.65%, 7/15/2026 . . . . . . . . 983,000 986,8732.95%, 11/15/2024. . . . . . . . 465,000 479,0152.95%, 5/15/2025 . . . . . . . . 442,000 454,9063.25%, 11/15/2027. . . . . . . . 828,000 866,0133.40%, 7/8/2024 . . . . . . . . . 433,000 453,7363.80%, 11/15/2037. . . . . . . . 554,000 585,3293.85%, 7/15/2036 . . . . . . . . 551,000 586,3913.90%, 5/15/2035 . . . . . . . . 343,000 371,4524.00%, 7/15/2046 . . . . . . . . 668,000 716,5704.00%, 11/15/2047. . . . . . . . 531,000 570,8524.13%, 5/15/2045 . . . . . . . . 269,000 291,5454.30%, 7/8/2034 . . . . . . . . . 189,000 214,9364.38%, 5/15/2055 . . . . . . . . 234,000 262,2134.50%, 7/8/2044 . . . . . . . . . 225,000 255,5015.38%, 7/15/2040 . . . . . . . . 15,000 19,0176.13%, 7/8/2039 . . . . . . . . . 173,000 236,616

salesforce.com, Inc.:3.25%, 4/11/2023 . . . . . . . . 94,000 97,4673.70%, 4/11/2028 . . . . . . . . 75,000 80,805

VMware, Inc.:2.30%, 8/21/2020 . . . . . . . . 110,000 109,7022.95%, 8/21/2022 . . . . . . . . 368,000 371,5593.90%, 8/21/2027 . . . . . . . . 179,000 181,032

26,851,937


America Movil SAB de CV:3.13%, 7/16/2022 . . . . . . . . 466,000 475,0923.63%, 4/22/2029 . . . . . . . . 351,000 364,7594.38%, 7/16/2042 . . . . . . . . 390,000 418,0804.38%, 4/22/2049 . . . . . . . . 230,000 248,0556.13%, 11/15/2037. . . . . . . . 200,000 257,074

AT&T, Inc.:2.95%, 7/15/2026 . . . . . . . . 102,000 101,2163.00%, 6/30/2022 . . . . . . . . 1,257,000 1,278,8843.40%, 5/15/2025 . . . . . . . . 291,000 298,9733.55%, 6/1/2024 . . . . . . . . . 391,000 406,2223.60%, 7/15/2025 . . . . . . . . 331,000 343,7963.80%, 3/1/2024 . . . . . . . . . 138,000 145,1903.80%, 2/15/2027 . . . . . . . . 497,000 516,1343.88%, 8/15/2021 . . . . . . . . 200,000 206,1843.88%, 1/15/2026 . . . . . . . . 175,000 182,9614.00%, 1/15/2022 . . . . . . . . 183,000 189,8194.10%, 2/15/2028 . . . . . . . . 1,779,000 1,883,2854.13%, 2/17/2026 . . . . . . . . 290,000 309,137


4.25%, 3/1/2027 . . . . . . . . . $ 571,000 $ 611,6674.30%, 2/15/2030 . . . . . . . . 894,000 955,2664.30%, 12/15/2042. . . . . . . . 527,000 520,8604.35%, 3/1/2029 . . . . . . . . . 555,000 597,2914.35%, 6/15/2045 . . . . . . . . 323,000 322,7714.45%, 4/1/2024 . . . . . . . . . 967,000 1,041,5854.50%, 5/15/2035 . . . . . . . . 547,000 573,3224.50%, 3/9/2048 . . . . . . . . . 150,000 153,1134.60%, 2/15/2021 . . . . . . . . 900,000 927,1264.75%, 5/15/2046 . . . . . . . . 510,000 536,6224.80%, 6/15/2044 . . . . . . . . 502,000 529,0134.85%, 3/1/2039 . . . . . . . . . 445,000 478,6784.85%, 7/15/2045 . . . . . . . . 352,000 376,2284.90%, 6/15/2042 . . . . . . . . 100,000 106,0805.15%, 3/15/2042 . . . . . . . . 191,000 209,9615.25%, 3/1/2037 . . . . . . . . . 689,000 773,0585.35%, 9/1/2040 . . . . . . . . . 287,000 323,9025.38%, 10/15/2041. . . . . . . . 213,000 236,3515.45%, 3/1/2047 . . . . . . . . . 270,000 310,3625.70%, 3/1/2057 . . . . . . . . . 285,000 336,3836.00%, 8/15/2040 . . . . . . . . 205,000 243,7556.35%, 3/15/2040 . . . . . . . . 200,000 246,3506.38%, 3/1/2041 . . . . . . . . . 459,000 572,162

Bell Canada, Inc.4.30%, 7/29/2049 . . . . . . . . 55,000 59,342

British Telecommunications PLC9.63%, 12/15/2030. . . . . . . . 600,000 904,470

Cisco Systems, Inc.:2.20%, 2/28/2021 . . . . . . . . 315,000 315,3342.50%, 9/20/2026 . . . . . . . . 200,000 201,5182.60%, 2/28/2023 (b) . . . . . . 135,000 137,2603.00%, 6/15/2022 . . . . . . . . 146,000 150,0503.50%, 6/15/2025 . . . . . . . . 45,000 48,0865.90%, 2/15/2039 . . . . . . . . 934,000 1,274,060

Corning, Inc.4.25%, 8/15/2020 . . . . . . . . 575,000 586,753

Deutsche Telekom InternationalFinance B.V.:8.75%, 6/15/2030 . . . . . . . . 533,000 765,3299.25%, 6/1/2032 . . . . . . . . . 350,000 537,929

Juniper Networks, Inc.4.50%, 3/15/2024 . . . . . . . . 140,000 149,167

Koninklijke KPN NV8.38%, 10/1/2030 . . . . . . . . 250,000 328,620

Motorola Solutions, Inc.:3.75%, 5/15/2022 . . . . . . . . 166,000 170,5724.60%, 2/23/2028 . . . . . . . . 603,000 632,2704.60%, 5/23/2029 . . . . . . . . 100,000 105,152

Orange SA:4.13%, 9/14/2021 . . . . . . . . 495,000 514,6915.38%, 1/13/2042 . . . . . . . . 55,000 66,6679.00%, 3/1/2031 . . . . . . . . . 339,000 515,772

Rogers Communications, Inc.:2.90%, 11/15/2026. . . . . . . . 140,000 140,5054.10%, 10/1/2023 . . . . . . . . 599,000 636,8454.30%, 2/15/2048 . . . . . . . . 267,000 285,212


46


4.35%, 5/1/2049 . . . . . . . . . $ 155,000 $ 167,4054.50%, 3/15/2043 . . . . . . . . 183,000 197,8605.00%, 3/15/2044 . . . . . . . . 38,000 44,067

Telefonica Emisiones SA:4.10%, 3/8/2027 . . . . . . . . . 300,000 318,6904.57%, 4/27/2023 . . . . . . . . 130,000 140,1274.67%, 3/6/2038 . . . . . . . . . 153,000 159,2454.90%, 3/6/2048 . . . . . . . . . 184,000 194,4515.21%, 3/8/2047 . . . . . . . . . 577,000 634,4115.52%, 3/1/2049 . . . . . . . . . 370,000 426,7807.05%, 6/20/2036 . . . . . . . . 399,000 522,439

Telefonica Emisiones SAU5.46%, 2/16/2021 . . . . . . . . 271,000 283,889

TELUS Corp.:2.80%, 2/16/2027 . . . . . . . . 50,000 49,1433.70%, 9/15/2027 . . . . . . . . 100,000 103,8934.30%, 6/15/2049 . . . . . . . . 250,000 265,5124.60%, 11/16/2048. . . . . . . . 100,000 110,952

Verizon Communications, Inc.:2.63%, 8/15/2026 . . . . . . . . 418,000 415,4003.38%, 2/15/2025 (f) . . . . . . 85,000 88,7323.38%, 2/15/2025 . . . . . . . . 707,000 738,0443.85%, 11/1/2042 . . . . . . . . 353,000 359,4923.88%, 2/8/2029 . . . . . . . . . 555,000 595,2264.13%, 3/16/2027 . . . . . . . . 584,000 635,3574.13%, 8/15/2046 . . . . . . . . 152,000 159,6354.27%, 1/15/2036 . . . . . . . . 305,000 330,4004.33%, 9/21/2028 . . . . . . . . 2,922,000 3,236,2614.50%, 8/10/2033 . . . . . . . . 1,185,000 1,335,1754.52%, 9/15/2048 . . . . . . . . 963,000 1,078,2814.81%, 3/15/2039 . . . . . . . . 629,000 722,6525.15%, 9/15/2023 . . . . . . . . 150,000 167,6395.25%, 3/16/2037 . . . . . . . . 1,077,000 1,291,2155.50%, 3/16/2047 . . . . . . . . 401,000 506,9526.55%, 9/15/2043 . . . . . . . . 546,000 759,311

Vodafone Group PLC:4.13%, 5/30/2025 . . . . . . . . 75,000 79,8594.38%, 5/30/2028 . . . . . . . . 526,000 568,5904.38%, 2/19/2043 . . . . . . . . 264,000 262,2184.88%, 6/19/2049 . . . . . . . . 350,000 369,5935.00%, 5/30/2038 . . . . . . . . 480,000 520,7475.13%, 6/19/2059 . . . . . . . . 350,000 378,2595.25%, 5/30/2048 . . . . . . . . 690,000 760,1186.15%, 2/27/2037 . . . . . . . . 331,000 399,8847.88%, 2/15/2030 . . . . . . . . 172,000 232,635

46,742,910

TEXTILES — 0.0% (a)Cintas Corp. No. 2:

3.25%, 6/1/2022 . . . . . . . . . 470,000 482,3703.70%, 4/1/2027 . . . . . . . . . 74,000 78,835

561,205


Hasbro, Inc.:


3.15%, 5/15/2021 . . . . . . . . $ 243,000 $ 245,9505.10%, 5/15/2044 . . . . . . . . 230,000 237,463

483,413

TRANSPORTATION — 0.5%Burlington Northern Santa

Fe LLC:3.00%, 4/1/2025 . . . . . . . . . 653,000 673,1253.05%, 9/1/2022 . . . . . . . . . 301,000 308,1883.25%, 6/15/2027 (b) . . . . . . 358,000 376,5983.40%, 9/1/2024 . . . . . . . . . 100,000 105,4043.45%, 9/15/2021 . . . . . . . . 400,000 409,6363.65%, 9/1/2025 . . . . . . . . . 150,000 159,9753.90%, 8/1/2046 . . . . . . . . . 165,000 176,7714.05%, 6/15/2048 . . . . . . . . 75,000 82,8134.15%, 4/1/2045 . . . . . . . . . 336,000 373,2254.15%, 12/15/2048 (b) . . . . . 55,000 61,7784.38%, 9/1/2042 . . . . . . . . . 100,000 112,9404.45%, 3/15/2043 . . . . . . . . 145,000 165,5964.55%, 9/1/2044 . . . . . . . . . 555,000 643,0734.70%, 9/1/2045 . . . . . . . . . 250,000 296,3574.90%, 4/1/2044 . . . . . . . . . 330,000 399,9764.95%, 9/15/2041 . . . . . . . . 100,000 120,6417.00%, 12/15/2025. . . . . . . . 51,000 64,319

Canadian National Railway Co.:2.75%, 3/1/2026 . . . . . . . . . 50,000 50,6232.85%, 12/15/2021. . . . . . . . 100,000 101,2223.20%, 8/2/2046 . . . . . . . . . 200,000 195,6823.65%, 2/3/2048 . . . . . . . . . 150,000 158,259

Canadian Pacific Railway Co.:4.00%, 6/1/2028 . . . . . . . . . 450,000 491,0764.80%, 9/15/2035 . . . . . . . . 166,000 189,8296.13%, 9/15/2115 . . . . . . . . 71,000 96,777

CH Robinson Worldwide, Inc.4.20%, 4/15/2028 (b) . . . . . . 100,000 106,945

CSX Corp.:2.60%, 11/1/2026 . . . . . . . . 150,000 148,4823.25%, 6/1/2027 . . . . . . . . . 250,000 257,8933.80%, 3/1/2028 . . . . . . . . . 200,000 214,7103.80%, 11/1/2046 . . . . . . . . 245,000 247,7593.95%, 5/1/2050 . . . . . . . . . 75,000 76,4434.25%, 3/15/2029 . . . . . . . . 225,000 250,3374.25%, 11/1/2066 . . . . . . . . 210,000 212,2114.50%, 3/15/2049 . . . . . . . . 95,000 106,5684.50%, 8/1/2054 . . . . . . . . . 150,000 164,8944.65%, 3/1/2068 . . . . . . . . . 100,000 107,1674.75%, 11/15/2048. . . . . . . . 600,000 697,3026.00%, 10/1/2036 . . . . . . . . 125,000 156,5686.15%, 5/1/2037 . . . . . . . . . 135,000 172,839

FedEx Corp.:2.63%, 8/1/2022 . . . . . . . . . 361,000 363,8193.20%, 2/1/2025 . . . . . . . . . 100,000 103,1923.25%, 4/1/2026 . . . . . . . . . 337,000 348,1923.40%, 2/15/2028 (b) . . . . . . 100,000 103,0834.05%, 2/15/2048 . . . . . . . . 100,000 96,5054.10%, 2/1/2045 . . . . . . . . . 311,000 299,288


47


4.40%, 1/15/2047 . . . . . . . . $ 90,000 $ 90,1524.55%, 4/1/2046 . . . . . . . . . 275,000 281,7924.75%, 11/15/2045. . . . . . . . 440,000 463,2414.90%, 1/15/2034 . . . . . . . . 300,000 349,614

JB Hunt Transport Services, Inc.3.88%, 3/1/2026 . . . . . . . . . 200,000 209,324

Kansas City Southern:3.00%, 5/15/2023 . . . . . . . . 230,000 234,3404.95%, 8/15/2045 . . . . . . . . 100,000 113,468

Kirby Corp.4.20%, 3/1/2028 . . . . . . . . . 200,000 207,144

Norfolk Southern Corp.:2.90%, 2/15/2023 . . . . . . . . 149,000 152,0532.90%, 6/15/2026 (b) . . . . . . 765,000 775,7943.15%, 6/1/2027 . . . . . . . . . 408,000 419,1343.80%, 8/1/2028 (b) . . . . . . . 50,000 53,9064.10%, 5/15/2049 . . . . . . . . 100,000 106,5564.15%, 2/28/2048 (b) . . . . . . 100,000 107,3814.45%, 6/15/2045 . . . . . . . . 241,000 267,7734.65%, 1/15/2046 . . . . . . . . 249,000 284,3784.84%, 10/1/2041 . . . . . . . . 250,000 289,7775.10%, 8/1/2118 . . . . . . . . . 160,000 181,405

Ryder System, Inc.:Series MTN, 2.25%, 9/1/2021. 185,000 184,462Series MTN, 2.50%, 9/1/2022. 65,000 65,069Series MTN, 2.80%, 3/1/2022. 60,000 60,521Series MTN, 2.88%, 6/1/2022. 40,000 40,478Series MTN, 3.40%, 3/1/2023. 100,000 102,699Series MTN, 3.45%,


3/18/2024. . . . . . . . . . . . 100,000 104,484Series MTN, 3.75%, 6/9/2023. 150,000 155,994

Union Pacific Corp.:2.95%, 3/1/2022 . . . . . . . . . 300,000 305,5443.00%, 4/15/2027 . . . . . . . . 238,000 243,0653.15%, 3/1/2024 . . . . . . . . . 80,000 82,5223.25%, 8/15/2025 . . . . . . . . 145,000 150,8883.35%, 8/15/2046 . . . . . . . . 50,000 47,0483.50%, 6/8/2023 . . . . . . . . . 100,000 104,2073.60%, 9/15/2037 . . . . . . . . 40,000 40,4523.65%, 2/15/2024 . . . . . . . . 180,000 189,0863.70%, 3/1/2029 . . . . . . . . . 125,000 134,3243.75%, 7/15/2025 . . . . . . . . 225,000 239,7493.80%, 10/1/2051 . . . . . . . . 294,000 295,5613.95%, 9/10/2028 . . . . . . . . 380,000 415,4314.05%, 11/15/2045. . . . . . . . 185,000 193,3864.05%, 3/1/2046 . . . . . . . . . 30,000 31,3464.10%, 9/15/2067 . . . . . . . . 370,000 369,8154.16%, 7/15/2022 . . . . . . . . 429,000 450,5834.30%, 3/1/2049 . . . . . . . . . 75,000 82,9484.38%, 9/10/2038 . . . . . . . . 50,000 54,9884.38%, 11/15/2065. . . . . . . . 416,000 436,8874.50%, 9/10/2048 . . . . . . . . 90,000 102,151


6.63%, 2/1/2029 . . . . . . . . . $ 100,000 $ 128,005United Parcel Service, Inc.:

2.05%, 4/1/2021 . . . . . . . . . 290,000 289,4612.35%, 5/16/2022 . . . . . . . . 50,000 50,2952.40%, 11/15/2026. . . . . . . . 50,000 49,4802.45%, 10/1/2022 . . . . . . . . 151,000 152,6262.50%, 4/1/2023 . . . . . . . . . 350,000 353,3812.80%, 11/15/2024. . . . . . . . 193,000 196,7813.05%, 11/15/2027. . . . . . . . 200,000 206,6483.40%, 3/15/2029 . . . . . . . . 95,000 100,3103.40%, 11/15/2046. . . . . . . . 50,000 47,5843.75%, 11/15/2047. . . . . . . . 450,000 454,2664.25%, 3/15/2049 . . . . . . . . 150,000 164,5324.88%, 11/15/2040. . . . . . . . 20,000 23,4446.20%, 1/15/2038 . . . . . . . . 100,000 136,275

21,748,636


GATX Corp.:3.50%, 3/15/2028 . . . . . . . . 125,000 125,5153.85%, 3/30/2027 . . . . . . . . 20,000 20,6104.35%, 2/15/2024 . . . . . . . . 150,000 159,2644.70%, 4/1/2029 . . . . . . . . . 200,000 220,4124.85%, 6/1/2021 . . . . . . . . . 100,000 103,938

629,739

WATER — 0.0% (a)American Water Capital Corp.:

2.95%, 9/1/2027 . . . . . . . . . 175,000 175,4573.40%, 3/1/2025 . . . . . . . . . 170,000 176,8263.75%, 9/1/2028 . . . . . . . . . 150,000 159,9274.00%, 12/1/2046 . . . . . . . . 40,000 41,2124.20%, 9/1/2048 . . . . . . . . . 100,000 108,0774.30%, 12/1/2042 . . . . . . . . 185,000 200,3924.30%, 9/1/2045 . . . . . . . . . 100,000 108,5246.59%, 10/15/2037. . . . . . . . 195,000 266,048

Aqua America, Inc.:3.57%, 5/1/2029 . . . . . . . . . 100,000 104,0344.28%, 5/1/2049 . . . . . . . . . 100,000 107,715

United Utilities PLC6.88%, 8/15/2028 . . . . . . . . 144,000 176,237

1,624,449


ASSET-BACKEDSECURITIES — 0.4%

ASSET-BACKED - OTHER —0.0% (a)

Ally Master Owner Trust:Series 2018-1, Class A2,

2.70%, 1/17/2023. . . . . . . 150,000 151,001Series 2018-2, Class A,

3.29%, 5/15/2023. . . . . . . 500,000 509,735


48


Ford Credit Floorplan MasterOwner Trust:Series 2017-2, Class A1,

2.16%, 9/15/2022. . . . . . . $ 575,000 $ 574,159Series 2017-3, Class A,

2.48%, 9/15/2024. . . . . . . 300,000 303,232

1,538,127

AUTOMOBILE — 0.2%Ally Auto Receivables Trust:

Series 2019-2, Class A3,2.23%, 1/16/2024. . . . . . . 500,000 501,652

Series 2018-2, Class A3,2.92%, 11/15/2022 . . . . . . 145,000 146,067

Americredit AutomobileReceivables Trust:Series 2018-3, Class A3,

3.38%, 7/18/2023. . . . . . . 400,000 407,850Series 2018-1, Class C,

3.50%, 1/18/2024. . . . . . . 225,000 230,960Carmax Auto Owner Trust

Series 2019-1, Class A3,3.05%, 3/15/2024 . . . . . . . . 1,500,000 1,530,930

Drive Auto Receivables Trust:Series 2018-2, Class D,

4.14%, 8/15/2024. . . . . . . 350,000 358,574Series 2019-1, Class B,

3.41%, 6/15/2023. . . . . . . 400,000 405,364Ford Credit Auto Lease Trust

Series 2018-B, Class A3,3.19%, 12/15/2021. . . . . . . . 160,001 161,657

Ford Credit Auto Owner Trust:Series 2019-B, Class A3,

2.23%, 10/15/2023 . . . . . . 300,000 300,579Series 2019-A, Class A3,

2.78%, 9/15/2023. . . . . . . 250,000 253,581GM Financial Consumer

Automobile Receivables TrustSeries 2019-1, Class A3,2.97%, 11/16/2023. . . . . . . . 283,505 287,786

Honda Auto Receivables OwnerTrust:Series 2018-4, Class A3,

3.16%, 1/17/2023. . . . . . . 200,000 203,819Series 2019-1, Class A3,

2.83%, 3/20/2023. . . . . . . 500,000 507,015Hyundai Auto Receivables Trust

Series 2018-A, Class A3,2.79%, 7/15/2022 . . . . . . . . 200,000 201,485

Nissan Auto Receivables 2018-BOwner TrustSeries 2018-B, Class A3,3.06%, 3/15/2023 . . . . . . . . 115,000 116,900

Nissan Auto Receivables 2019-AOwner TrustSeries 2019-A, Class A3,2.90%, 10/16/2023. . . . . . . . 333,334 339,375


Nissan Auto Receivables 2019-BOwner TrustSeries 2019-B, Class A3,2.50%, 11/15/2023. . . . . . . . $ 200,000 $ 201,772

Santander Drive AutoReceivables Trust:Series 2018-1, Class D,

3.32%, 3/15/2024. . . . . . . 115,000 116,480Series 2018-4, Class C,

3.56%, 7/15/2024. . . . . . . 300,000 304,358Series 2019-1, Class C,

3.42%, 4/15/2025. . . . . . . 111,000 112,997Toyota Auto Receivables Owner

Trust:Series 2018-A, Class A4,

2.52%, 5/15/2023. . . . . . . 350,000 352,856Series 2018-B, Class A3,

2.96%, 9/15/2022. . . . . . . 500,000 505,787Volkswagen Auto Loan

Enhanced TrustSeries 2018-1, Class A3,3.02%, 11/21/2022. . . . . . . . 150,000 151,892

World Omni Auto ReceivablesTrust:Series 2018-A, Class A3,

2.50%, 4/17/2023. . . . . . . 270,000 271,114Series 2019-B, Class A3,

2.59%, 7/15/2024. . . . . . . 111,000 112,243Series 2018-D, Class A3,

3.33%, 4/15/2024. . . . . . . 150,000 153,836World Omni Automobile Lease

Securitization TrustSeries 2018-B, Class A3,3.19%, 12/15/2021. . . . . . . . 200,000 203,199

8,440,128

CREDIT CARD — 0.2%American Express Credit

Account Master Trust:Series 2017-6, Class A,

2.04%, 5/15/2023. . . . . . . 500,000 499,496Series 2019-2, Class A,

2.67%, 11/15/2024 . . . . . . 460,000 467,829Series 2018-4, Class A,

2.99%, 12/15/2023 . . . . . . 250,000 254,233Series 2018-8, Class A,

3.18%, 4/15/2024. . . . . . . 137,000 140,340Series 2019-1, Class A,

2.87%, 10/15/2024 . . . . . . 281,000 286,992BA Credit Card Trust:

Series 2018-A1, Class A1,2.70%, 7/17/2023. . . . . . . 300,000 302,835

Series 2018-A2, Class A2,3.00%, 9/15/2023. . . . . . . 500,000 508,266

Capital One Multi-AssetExecution Trust:Series 2017-A6, Class A6,

2.29%, 7/15/2025. . . . . . . 500,000 503,689


49


Series 2019-A1, Class A1,2.84%, 12/15/2024 . . . . . . $ 566,000 $ 576,792

Citibank Credit Card IssuanceTrust:Series 2017-A8, Class A8,

1.86%, 8/8/2022 . . . . . . . 500,000 498,385Series 2007-A3, Class A3,

6.15%, 6/15/2039. . . . . . . 250,000 339,932Discover Card Execution

Note Trust:Series 2017-A6, Class A6,

1.88%, 2/15/2023. . . . . . . 350,000 348,891Series 2019-A1, Class A1,

3.04%, 7/15/2024. . . . . . . 570,000 583,756Series 2018-A5, Class A5,

3.32%, 3/15/2024. . . . . . . 200,000 205,374Synchrony Card Funding LLC:

Series 2019-A2, Class A,2.34%, 6/16/2025. . . . . . . 250,000 250,648

Series 2019-A1, Class A,2.95%, 3/15/2025. . . . . . . 200,000 204,063

Synchrony Credit Card MasterNote Trust:Series 2016-2, Class A,

2.21%, 5/15/2024. . . . . . . 200,000 200,305Series 2017-2, Class A,

2.62%, 10/15/2025 . . . . . . 1,500,000 1,516,497Series 2018-2, Class A,

3.47%, 5/15/2026. . . . . . . 250,000 261,520World Financial Network Credit

Card Master TrustSeries 2017-C, Class A,2.31%, 8/15/2024 . . . . . . . . 500,000 500,435

8,450,278

TOTAL ASSET-BACKEDSECURITIES(Cost $18,130,813) . . . . . . . 18,428,533

FOREIGN GOVERNMENTOBLIGATIONS — 3.6%

AUSTRIA — 0.0% (a)Oesterreichische Kontrollbank

AG:1.50%, 10/21/2020. . . . . . . . 580,000 576,3982.63%, 01/31/2022. . . . . . . . 200,000 203,988

780,386

CANADA — 0.3%Canada Government

International Bond:2.00%, 11/15/2022. . . . . . . . 305,000 307,3242.63%, 01/25/2022. . . . . . . . 460,000 469,996

Export Development Canada:1.75%, 07/21/2020. . . . . . . . 794,000 791,8802.50%, 01/24/2023. . . . . . . . 200,000 204,6962.63%, 02/21/2024. . . . . . . . 500,000 517,2302.75%, 03/15/2023. . . . . . . . 150,000 155,061


Hydro-Quebec:Series HH, 8.50%,

12/01/2029 . . . . . . . . . . . $ 100,000 $ 152,422Series IO, 8.05%, 07/07/2024 . 15,000 19,092

Province of Alberta Canada:2.20%, 07/26/2022. . . . . . . . 250,000 251,8982.95%, 01/23/2024. . . . . . . . 300,000 312,1053.30%, 03/15/2028. . . . . . . . 400,000 428,5083.35%, 11/01/2023. . . . . . . . 400,000 421,968

Province of British ColumbiaCanada2.25%, 6/2/2026 . . . . . . . . . 344,000 346,879

Province of Manitoba Canada:3.05%, 05/14/2024. . . . . . . . 670,000 700,967Series GX, 2.60%,

04/16/2024 . . . . . . . . . . . 200,000 205,270Province of New Brunswick

Canada3.63%, 2/24/2028 . . . . . . . . 150,000 163,545

Province of Ontario Canada:2.20%, 10/03/2022. . . . . . . . 200,000 201,6682.25%, 05/18/2022. . . . . . . . 150,000 151,3772.30%, 06/15/2026. . . . . . . . 200,000 201,4202.40%, 02/08/2022. . . . . . . . 100,000 101,2212.50%, 04/27/2026. . . . . . . . 345,000 351,5172.55%, 02/12/2021. . . . . . . . 3,750,000 3,783,6752.55%, 04/25/2022. . . . . . . . 170,000 172,9653.05%, 01/29/2024. . . . . . . . 350,000 365,687

Province of Quebec Canada:2.50%, 04/20/2026. . . . . . . . 100,000 102,1112.75%, 04/12/2027. . . . . . . . 350,000 363,2163.50%, 07/29/2020. . . . . . . . 1,000,000 1,015,450Series PD, 7.50%, 09/15/2029. 405,000 588,542Series QO, 2.88%,

10/16/2024 . . . . . . . . . . . 960,000 1,000,790

13,848,480

CHILE — 0.1%Chile Government International

Bond:2.25%, 10/30/2022. . . . . . . . 550,000 552,0183.13%, 03/27/2025. . . . . . . . 200,000 208,2243.13%, 01/21/2026. . . . . . . . 700,000 728,6583.25%, 09/14/2021. . . . . . . . 200,000 204,7503.50%, 01/25/2050. . . . . . . . 200,000 204,2143.86%, 06/21/2047. . . . . . . . 350,000 379,0153.88%, 08/05/2020. . . . . . . . 275,000 280,522

2,557,401

COLOMBIA — 0.1%Colombia Government

International Bond:2.63%, 03/15/2023. . . . . . . . 350,000 348,9263.88%, 04/25/2027. . . . . . . . 400,000 417,4164.00%, 02/26/2024. . . . . . . . 675,000 706,9144.38%, 07/12/2021. . . . . . . . 1,550,000 1,605,3664.50%, 03/15/2029. . . . . . . . 400,000 437,100


50


5.00%, 06/15/2045. . . . . . . . $ 886,000 $ 979,4555.20%, 05/15/2049. . . . . . . . 200,000 227,4905.63%, 02/26/2044. . . . . . . . 300,000 355,2696.13%, 01/18/2041. . . . . . . . 400,000 496,664

5,574,600

GERMANY — 0.5%FMS Wertmanagement:

1.38%, 06/08/2021 (b) . . . . . 350,000 346,7832.75%, 03/06/2023. . . . . . . . 300,000 309,7082.75%, 01/30/2024. . . . . . . . 500,000 519,695

Kreditanstalt fuer Wiederaufbau:Zero Coupon, 04/18/2036 . . . 1,225,000 799,178Zero Coupon, 06/29/2037 . . . 150,000 94,9771.50%, 06/15/2021. . . . . . . . 660,000 655,6901.63%, 03/15/2021. . . . . . . . 1,000,000 995,9901.75%, 09/15/2021. . . . . . . . 200,000 199,7702.00%, 11/30/2021. . . . . . . . 200,000 201,0002.00%, 09/29/2022. . . . . . . . 290,000 291,9002.00%, 10/04/2022. . . . . . . . 425,000 427,7582.00%, 05/02/2025. . . . . . . . 1,745,000 1,756,2382.13%, 03/07/2022. . . . . . . . 800,000 807,0322.13%, 06/15/2022. . . . . . . . 110,000 111,0672.13%, 01/17/2023. . . . . . . . 953,000 963,2542.38%, 03/24/2021. . . . . . . . 630,000 635,3682.38%, 08/25/2021. . . . . . . . 1,692,000 1,712,4562.50%, 02/15/2022. . . . . . . . 750,000 763,5222.50%, 11/20/2024. . . . . . . . 583,000 601,8022.63%, 04/12/2021. . . . . . . . 400,000 405,2642.63%, 01/25/2022. . . . . . . . 845,000 862,4582.63%, 02/28/2024. . . . . . . . 980,000 1,014,0452.75%, 07/15/2020. . . . . . . . 1,115,000 1,123,3512.88%, 04/03/2028. . . . . . . . 244,000 259,572Series GMTN, 2.75%,

09/08/2020 . . . . . . . . . . . 390,000 393,479Series GMTN, 3.13%,

12/15/2021 . . . . . . . . . . . 1,000,000 1,031,780Landwirtschaftliche Rentenbank:

2.38%, 06/10/2025. . . . . . . . 195,000 200,0333.13%, 11/14/2023. . . . . . . . 513,000 540,389Series 36, 2.00%, 12/06/2021 . 115,000 115,504Series 37, 2.50%, 11/15/2027

(b) . . . . . . . . . . . . . . . . 500,000 516,375

18,655,438

HUNGARY — 0.1%Hungary Government

International Bond:5.38%, 02/21/2023. . . . . . . . 270,000 297,2765.38%, 03/25/2024. . . . . . . . 1,150,000 1,297,2006.38%, 03/29/2021. . . . . . . . 923,000 985,8937.63%, 03/29/2041. . . . . . . . 232,000 372,513

2,952,882

INDONESIA — 0.1%Indonesia Government

International Bond:


2.95%, 01/11/2023. . . . . . . . $ 650,000 $ 654,0173.40%, 09/18/2029. . . . . . . . 200,000 201,5783.50%, 01/11/2028. . . . . . . . 340,000 342,7814.10%, 04/24/2028. . . . . . . . 250,000 264,4954.35%, 01/11/2048. . . . . . . . 100,000 103,7014.45%, 02/11/2024. . . . . . . . 750,000 797,1904.75%, 02/11/2029. . . . . . . . 300,000 333,2225.35%, 02/11/2049. . . . . . . . 200,000 239,476

2,936,460

ISRAEL — 0.0% (a)Israel Government AID Bond

5.50%, 9/18/2033 . . . . . . . . 100,000 136,361Israel Government International

Bond:2.88%, 03/16/2026. . . . . . . . 200,000 206,6943.25%, 01/17/2028. . . . . . . . 400,000 422,4364.00%, 06/30/2022. . . . . . . . 100,000 105,3864.13%, 01/17/2048. . . . . . . . 500,000 547,6554.50%, 01/30/2043. . . . . . . . 225,000 258,214

1,676,746

ITALY — 0.0% (a)Italy Government International

Bond6.88%, 9/27/2023 . . . . . . . . 653,000 739,203

JAPAN — 0.2%Japan Bank for International

Cooperation:1.88%, 07/21/2026. . . . . . . . 200,000 194,8762.13%, 07/21/2020. . . . . . . . 250,000 250,0752.13%, 11/16/2020. . . . . . . . 250,000 250,2452.38%, 11/16/2022. . . . . . . . 1,250,000 1,264,0872.50%, 05/23/2024. . . . . . . . 235,000 239,1622.75%, 11/16/2027. . . . . . . . 200,000 205,4922.88%, 06/01/2027. . . . . . . . 1,050,000 1,091,4652.88%, 07/21/2027. . . . . . . . 200,000 207,5663.13%, 07/20/2021. . . . . . . . 240,000 245,7123.25%, 07/20/2023. . . . . . . . 515,000 538,3093.25%, 07/20/2028. . . . . . . . 400,000 428,3563.50%, 10/31/2028. . . . . . . . 250,000 272,970Series DTC, 2.00%,

11/04/2021 . . . . . . . . . . . 200,000 200,000Series DTC, 2.13%,

02/10/2025 . . . . . . . . . . . 350,000 349,356Series DTC, 2.25%,

11/04/2026 . . . . . . . . . . . 263,000 262,337Series DTC, 2.38%,

04/20/2026 . . . . . . . . . . . 160,000 161,232Series DTC, 3.38%,

07/31/2023 . . . . . . . . . . . 200,000 210,008Japan Finance Organization for

MunicipalitiesSeries DTC, 4.00%,1/13/2021 . . . . . . . . . . . . . 280,000 287,994

Japan International CooperationAgency:


51


2.75%, 04/27/2027. . . . . . . . $ 200,000 $ 204,9283.38%, 06/12/2028. . . . . . . . 200,000 215,336

7,079,506

MEXICO — 0.2%Mexico Government

International Bond:3.60%, 01/30/2025. . . . . . . . 930,000 952,2363.63%, 03/15/2022. . . . . . . . 880,000 901,2963.75%, 01/11/2028. . . . . . . . 500,000 509,3154.00%, 10/02/2023. . . . . . . . 800,000 835,2324.13%, 01/21/2026. . . . . . . . 600,000 628,0264.15%, 03/28/2027. . . . . . . . 429,000 449,3174.50%, 04/22/2029. . . . . . . . 200,000 214,4044.60%, 01/23/2046. . . . . . . . 370,000 378,6884.60%, 02/10/2048. . . . . . . . 400,000 412,6805.55%, 01/21/2045. . . . . . . . 113,000 131,7146.05%, 01/11/2040. . . . . . . . 775,000 925,087Series GMTN, 3.50%,

01/21/2021 . . . . . . . . . . . 484,000 491,526Series GMTN, 5.75%,

10/12/2110 . . . . . . . . . . . 589,000 644,136Series MTN, 4.75%,

03/08/2044 . . . . . . . . . . . 1,291,000 1,348,579Series MTN, 8.30%,

08/15/2031 . . . . . . . . . . . 100,000 141,505Series MTNA, 6.75%,

09/27/2034 . . . . . . . . . . . 126,000 160,516Series MTNA, 8.00%,

09/24/2022 . . . . . . . . . . . 100,000 116,267

9,240,524

PANAMA — 0.1%Panama Government

International Bond:3.88%, 03/17/2028. . . . . . . . 200,000 213,8984.00%, 09/22/2024. . . . . . . . 550,000 586,4596.70%, 01/26/2036. . . . . . . . 430,000 586,2758.88%, 09/30/2027. . . . . . . . 500,000 708,2709.38%, 04/01/2029. . . . . . . . 200,000 299,920

2,394,822

PERU — 0.1%Peruvian Government

International Bond:2.84%, 06/20/2030. . . . . . . . 115,000 115,9844.13%, 08/25/2027. . . . . . . . 700,000 780,1365.63%, 11/18/2050. . . . . . . . 600,000 827,7186.55%, 03/14/2037. . . . . . . . 200,000 282,5867.35%, 07/21/2025. . . . . . . . 245,000 312,6188.75%, 11/21/2033. . . . . . . . 250,000 404,020

2,723,062

PHILIPPINES — 0.1%Philippine Government

International Bond:3.00%, 02/01/2028. . . . . . . . 300,000 308,355


3.70%, 02/02/2042. . . . . . . . $ 800,000 $ 870,6003.75%, 01/14/2029. . . . . . . . 251,000 274,4063.95%, 01/20/2040. . . . . . . . 402,000 448,9014.00%, 01/15/2021. . . . . . . . 649,000 666,0754.20%, 01/21/2024. . . . . . . . 700,000 754,4185.00%, 01/13/2037. . . . . . . . 351,000 440,0526.38%, 10/23/2034. . . . . . . . 300,000 418,8487.75%, 01/14/2031. . . . . . . . 200,000 294,9589.50%, 02/02/2030. . . . . . . . 400,000 639,14810.63%, 03/16/2025 . . . . . . . 235,000 336,739

5,452,500

POLAND — 0.1%Poland Government International

Bond:3.00%, 03/17/2023. . . . . . . . 743,000 763,6633.25%, 04/06/2026. . . . . . . . 345,000 364,9554.00%, 01/22/2024. . . . . . . . 305,000 328,3815.00%, 03/23/2022. . . . . . . . 620,000 666,3515.13%, 04/21/2021. . . . . . . . 858,000 902,436

3,025,786

SOUTH KOREA — 0.1%Export-Import Bank of Korea:

2.38%, 06/25/2024. . . . . . . . 200,000 200,4422.50%, 11/01/2020. . . . . . . . 200,000 200,6782.63%, 05/26/2026. . . . . . . . 200,000 198,7182.75%, 01/25/2022. . . . . . . . 80,000 80,8523.25%, 11/10/2025. . . . . . . . 100,000 104,4443.25%, 08/12/2026. . . . . . . . 1,125,000 1,161,4843.50%, 11/27/2021. . . . . . . . 215,000 221,0573.63%, 11/27/2023. . . . . . . . 500,000 526,1304.00%, 01/14/2024. . . . . . . . 300,000 320,6555.00%, 04/11/2022. . . . . . . . 200,000 214,290

Korea Development Bank:2.50%, 01/13/2021. . . . . . . . 389,000 390,3853.00%, 09/14/2022. . . . . . . . 430,000 438,9483.25%, 02/19/2024. . . . . . . . 200,000 207,6863.38%, 09/16/2025. . . . . . . . 150,000 157,7783.75%, 01/22/2024. . . . . . . . 150,000 158,949

Korea International Bond:2.00%, 06/19/2024. . . . . . . . 200,000 199,6382.50%, 06/19/2029. . . . . . . . 200,000 199,8042.75%, 01/19/2027. . . . . . . . 305,000 310,6913.88%, 09/11/2023. . . . . . . . 450,000 482,8414.13%, 06/10/2044. . . . . . . . 311,000 365,4905.63%, 11/03/2025. . . . . . . . 100,000 119,360

6,260,320

SUPRANATIONAL — 1.4%African Development Bank:

Series GDIF, 2.13%,11/16/2022 . . . . . . . . . . . 306,000 308,956

Series GDIF, 2.38%,09/23/2021 . . . . . . . . . . . 60,000 60,707

Series GDIF, 2.63%,03/22/2021 . . . . . . . . . . . 210,000 212,671


52


Series GMTN, 3.00%,12/06/2021 . . . . . . . . . . . $ 545,000 $ 560,473

Asian Development Bank:2.63%, 01/30/2024. . . . . . . . 800,000 826,8642.88%, 11/27/2020. . . . . . . . 185,000 187,3755.82%, 06/16/2028. . . . . . . . 121,000 154,7366.22%, 08/15/2027. . . . . . . . 175,000 223,382Series GMTN, 1.63%,

08/26/2020 (b). . . . . . . . . 1,125,000 1,120,601Series GMTN, 1.63%,

03/16/2021 . . . . . . . . . . . 325,000 323,661Series GMTN, 1.75%,

06/08/2021 . . . . . . . . . . . 555,000 553,940Series GMTN, 1.75%,

09/13/2022 . . . . . . . . . . . 880,000 878,900Series GMTN, 1.75%,

08/14/2026 . . . . . . . . . . . 125,000 123,198Series GMTN, 2.00%,

02/16/2022 (b). . . . . . . . . 1,285,000 1,291,875Series GMTN, 2.00%,

04/24/2026 . . . . . . . . . . . 400,000 400,864Series GMTN, 2.25%,

01/20/2021 . . . . . . . . . . . 340,000 341,829Series GMTN, 2.75%,

03/17/2023 . . . . . . . . . . . 820,000 847,585Series GMTN, 3.13%,

09/26/2028 (b). . . . . . . . . 250,000 271,380Asian Infrastructure Investment

Bank2.25%, 5/16/2024 . . . . . . . . 400,000 407,092

Corp. Andina de Fomento:2.13%, 09/27/2021. . . . . . . . 581,000 576,8232.75%, 01/06/2023. . . . . . . . 37,000 37,2733.75%, 11/23/2023. . . . . . . . 175,000 183,3654.38%, 06/15/2022. . . . . . . . 881,000 927,200

Council Of Europe DevelopmentBank:2.50%, 02/27/2024. . . . . . . . 240,000 246,7922.63%, 02/13/2023. . . . . . . . 324,000 333,020

European Bank forReconstruction &Development:Series GMTN, 1.13%,

08/24/2020 . . . . . . . . . . . 420,000 415,943Series GMTN, 1.88%,

02/23/2022 . . . . . . . . . . . 745,000 746,058Series GMTN, 2.00%,

02/01/2021 . . . . . . . . . . . 200,000 200,308Series GMTN, 2.13%,

03/07/2022 . . . . . . . . . . . 230,000 231,881Series GMTN, 2.75%,

04/26/2021 . . . . . . . . . . . 200,000 203,118Series GMTN, 2.75%,

03/07/2023 . . . . . . . . . . . 600,000 619,938European Investment Bank:

1.63%, 08/14/2020. . . . . . . . 1,024,000 1,019,9761.63%, 06/15/2021. . . . . . . . 250,000 249,023


1.88%, 02/10/2025. . . . . . . . $ 1,348,000 $ 1,348,3102.00%, 12/15/2022. . . . . . . . 400,000 402,8162.13%, 10/15/2021. . . . . . . . 310,000 312,2482.13%, 04/13/2026. . . . . . . . 400,000 404,6322.25%, 03/15/2022. . . . . . . . 497,000 503,1182.25%, 08/15/2022. . . . . . . . 785,000 795,9352.25%, 06/24/2024. . . . . . . . 750,000 764,6322.38%, 06/15/2022. . . . . . . . 892,000 907,1372.50%, 04/15/2021. . . . . . . . 220,000 222,4622.50%, 03/15/2023. . . . . . . . 214,000 219,3822.50%, 10/15/2024. . . . . . . . 900,000 928,7282.63%, 05/20/2022. . . . . . . . 255,000 261,0102.63%, 03/15/2024 (b) . . . . . 1,025,000 1,061,2642.88%, 12/15/2021 (b) . . . . . 761,000 780,6493.25%, 01/29/2024. . . . . . . . 1,276,000 1,354,7044.00%, 02/16/2021. . . . . . . . 450,000 465,161Series GMTN, 2.38%,

05/13/2021 . . . . . . . . . . . 300,000 302,898Series GMTN, 2.88%,

08/15/2023 . . . . . . . . . . . 1,550,000 1,614,790Series GMTN, 3.13%,

12/14/2023 . . . . . . . . . . . 500,000 527,540Inter-American Development

Bank:1.25%, 09/14/2021. . . . . . . . 400,000 395,2641.38%, 07/15/2020. . . . . . . . 425,000 422,2501.88%, 03/15/2021. . . . . . . . 1,400,000 1,400,1962.13%, 11/09/2020. . . . . . . . 463,000 464,0932.13%, 01/15/2025. . . . . . . . 400,000 404,7562.25%, 06/18/2029. . . . . . . . 250,000 253,2002.38%, 07/07/2027. . . . . . . . 240,000 245,6782.50%, 01/18/2023. . . . . . . . 150,000 153,5452.63%, 01/16/2024. . . . . . . . 500,000 516,7803.00%, 10/04/2023. . . . . . . . 325,000 340,3563.00%, 02/21/2024. . . . . . . . 504,000 529,6184.38%, 01/24/2044. . . . . . . . 125,000 161,915Series GMTN, 1.75%,

04/14/2022 . . . . . . . . . . . 1,125,000 1,123,414Series GMTN, 1.75%,

09/14/2022 . . . . . . . . . . . 971,000 969,349Series GMTN, 2.13%,

01/18/2022 . . . . . . . . . . . 500,000 504,010Series GMTN, 2.63%,

04/19/2021 . . . . . . . . . . . 345,000 349,692Series GMTN, 3.00%,

09/26/2022 . . . . . . . . . . . 1,000,000 1,037,320Series GMTN, 3.88%,

10/28/2041 . . . . . . . . . . . 203,000 242,806International Bank for

Reconstruction &Development:1.75%, 04/19/2023. . . . . . . . 250,000 249,5802.00%, 01/26/2022. . . . . . . . 915,000 919,7672.13%, 11/01/2020. . . . . . . . 200,000 200,5442.13%, 07/01/2022. . . . . . . . 750,000 757,6132.13%, 02/13/2023 (b) . . . . . 850,000 860,336


53


2.50%, 03/19/2024. . . . . . . . $ 500,000 $ 515,0303.00%, 09/27/2023. . . . . . . . 250,000 261,983Series GDIF, 1.38%,

05/24/2021 . . . . . . . . . . . 1,040,000 1,031,025Series GDIF, 1.38%,

09/20/2021 . . . . . . . . . . . 200,000 198,190Series GDIF, 1.63%,

09/04/2020 . . . . . . . . . . . 785,000 781,993Series GDIF, 1.63%,

03/09/2021 . . . . . . . . . . . 775,000 771,962Series GDIF, 1.63%,

02/10/2022 . . . . . . . . . . . 450,000 448,128Series GDIF, 1.88%,

06/19/2023 . . . . . . . . . . . 1,250,000 1,254,175Series GDIF, 2.13%,

12/13/2021 . . . . . . . . . . . 1,000,000 1,008,060Series GDIF, 2.13%,

03/03/2025 . . . . . . . . . . . 360,000 364,799Series GDIF, 2.25%,

06/24/2021 . . . . . . . . . . . 1,035,000 1,043,166Series GDIF, 2.50%,

07/29/2025 . . . . . . . . . . . 1,695,000 1,750,257Series GDIF, 3.13%,

11/20/2025 . . . . . . . . . . . 200,000 214,252Series GMTN, 4.75%,

02/15/2035 . . . . . . . . . . . 1,350,000 1,733,386International Finance Corp.:

Series GMTN, 1.13%,07/20/2021 . . . . . . . . . . . 340,000 335,403

Series GMTN, 1.63%,07/16/2020 . . . . . . . . . . . 1,435,000 1,429,690

Series GMTN, 2.00%,10/24/2022 (b). . . . . . . . . 234,000 235,692

Series GMTN, 2.25%,01/25/2021 . . . . . . . . . . . 275,000 276,529

Series GMTN, 2.88%,07/31/2023 (b). . . . . . . . . 160,000 166,611

Nordic Investment Bank:2.25%, 02/01/2021 (b) . . . . . 260,000 261,3572.25%, 09/30/2021. . . . . . . . 150,000 151,3922.25%, 05/21/2024. . . . . . . . 585,000 595,7762.88%, 07/19/2023. . . . . . . . 300,000 312,237

55,907,398

SWEDEN — 0.0% (a)Svensk Exportkredit AB:

Series GMTN, 1.75%,08/28/2020 . . . . . . . . . . . 1,075,000 1,071,657

Series GMTN, 1.75%,03/10/2021 . . . . . . . . . . . 250,000 249,257

Series GMTN, 3.13%,11/08/2021 . . . . . . . . . . . 200,000 205,702

Series MTN, 2.38%,04/09/2021 . . . . . . . . . . . 215,000 216,688

Series MTN, 2.75%,10/07/2020 . . . . . . . . . . . 200,000 201,858

1,945,162


UNITED KINGDOM — 0.0%(a)

Ukraine Government AID Bonds1.47%, 9/29/2021 . . . . . . . . $ 200,000 $ 198,300

URUGUAY — 0.1%Uruguay Government

International Bond:4.13%, 11/20/2045. . . . . . . . 150,000 153,2314.38%, 10/27/2027. . . . . . . . 200,000 216,1624.38%, 01/23/2031. . . . . . . . 155,000 167,6644.50%, 08/14/2024. . . . . . . . 395,000 421,8364.98%, 04/20/2055. . . . . . . . 585,000 646,7355.10%, 06/18/2050. . . . . . . . 456,000 513,5707.63%, 03/21/2036. . . . . . . . 200,000 285,270

2,404,468

TOTAL FOREIGNGOVERNMENTOBLIGATIONS(Cost $141,563,961) . . . . . . . 146,353,444

U.S. GOVERNMENTAGENCY OBLIGATIONS— 28.9%

Federal Home Loan Bank:1.13%, 7/14/2021 . . . . . . . . 4,335,000 4,276,9981.38%, 2/18/2021 . . . . . . . . 700,000 694,6941.80%, 8/28/2020 . . . . . . . . 400,000 398,5721.88%, 11/29/2021. . . . . . . . 450,000 450,9002.63%, 10/1/2020 . . . . . . . . 1,600,000 1,613,9202.63%, 12/10/2021. . . . . . . . 130,000 132,3393.25%, 11/16/2028. . . . . . . . 320,000 347,7895.50%, 7/15/2036 . . . . . . . . 1,240,000 1,725,6341.38%, 9/28/2020 . . . . . . . . 250,000 248,3373.00%, 10/12/2021. . . . . . . . 400,000 410,668

Federal Home Loan MortgageCorp.:1.13%, 8/12/2021 . . . . . . . . 195,000 192,2331.63%, 9/29/2020 . . . . . . . . 1,000,000 996,5102.38%, 2/16/2021 . . . . . . . . 5,000,000 5,042,4502.38%, 1/13/2022 . . . . . . . . 4,330,000 4,392,1352.50%, 9/1/2028 . . . . . . . . . 209,482 211,6922.50%, 10/1/2029 . . . . . . . . 549,720 555,3102.50%, 1/1/2031 . . . . . . . . . 662,429 669,1292.50%, 5/1/2031 . . . . . . . . . 2,060,625 2,078,8002.50%, 6/1/2031 . . . . . . . . . 794,086 801,0902.50%, 11/1/2032 . . . . . . . . 2,019,905 2,036,4392.50%, 12/1/2032 . . . . . . . . 1,560,772 1,573,5482.50%, 2/1/2033 . . . . . . . . . 3,224,761 3,251,1583.00%, 11/1/2027 . . . . . . . . 2,167,666 2,216,2403.00%, 2/1/2029 . . . . . . . . . 376,852 385,4423.00%, 7/1/2029 . . . . . . . . . 382,140 390,8053.00%, 9/1/2029 . . . . . . . . . 595,280 608,7793.00%, 4/1/2030 . . . . . . . . . 568,858 581,8863.00%, 12/1/2030 . . . . . . . . 1,462,756 1,496,2563.00%, 5/1/2031 . . . . . . . . . 1,175,631 1,200,890


54


3.00%, 9/1/2032 . . . . . . . . . $ 3,564,960 $ 3,640,0243.00%, 1/1/2033 . . . . . . . . . 1,422,482 1,452,4343.00%, 5/1/2033 . . . . . . . . . 7,552,080 7,703,9473.00%, 5/1/2035 . . . . . . . . . 3,218,906 3,283,7603.00%, 7/1/2035 . . . . . . . . . 618,117 630,5713.00%, 4/1/2036 . . . . . . . . . 1,301,511 1,326,4943.00%, 3/1/2043 . . . . . . . . . 1,016,074 1,035,6223.00% 4/1/2043. . . . . . . . . . 1,854,060 1,889,7293.00% 7/1/2043. . . . . . . . . . 670,026 682,9173.00%, 8/1/2043 . . . . . . . . . 297,316 303,0363.00%, 9/1/2043 . . . . . . . . . 370,631 377,7623.00%, 10/1/2043 . . . . . . . . 304,071 309,9213.00%, 6/1/2045 . . . . . . . . . 1,354,558 1,376,8503.00% 8/1/2045. . . . . . . . . . 3,728,706 3,795,5123.00%, 4/1/2046 . . . . . . . . . 2,334,051 2,367,8283.00%, 9/1/2046 . . . . . . . . . 1,571,406 1,594,1473.00%, 10/1/2046 . . . . . . . . 8,628,231 8,753,0963.00%, 11/1/2046 . . . . . . . . 1,496,277 1,517,9313.00% 12/1/2046 . . . . . . . . . 6,268,823 6,359,5433.00%, 2/1/2047 . . . . . . . . . 4,083,159 4,142,2493.00%, 12/1/2047 . . . . . . . . 11,228,474 11,362,7843.00%, 1/1/2048 . . . . . . . . . 3,028,948 3,065,1793.00%, 2/1/2048 . . . . . . . . . 6,888,603 6,971,0013.00%, 3/1/2048 . . . . . . . . . 324,139 328,0163.50%, 5/1/2026 . . . . . . . . . 486,396 502,6053.50%, 1/1/2029 . . . . . . . . . 130,873 135,3903.50%, 11/1/2029 . . . . . . . . 421,256 436,1923.50%, 2/1/2030 . . . . . . . . . 210,680 218,7533.50%, 3/1/2032 . . . . . . . . . 476,705 494,8003.50%, 6/1/2033 . . . . . . . . . 1,699,493 1,755,9203.50%, 1/1/2034 . . . . . . . . . 5,113,408 5,283,1843.50%, 3/1/2038 . . . . . . . . . 1,820,936 1,879,7363.50%, 5/1/2043 . . . . . . . . . 283,286 293,3403.50% 8/1/2043. . . . . . . . . . 1,450,557 1,502,0403.50%, 6/1/2044 . . . . . . . . . 390,061 403,2483.50%, 8/1/2044 . . . . . . . . . 766,874 792,8003.50%, 10/1/2044 . . . . . . . . 446,630 461,7293.50%, 11/1/2044 . . . . . . . . 702,161 725,8993.50%, 12/1/2044 . . . . . . . . 743,162 768,2873.50%, 1/1/2045 . . . . . . . . . 716,156 740,3673.50%, 2/1/2045 . . . . . . . . . 976,926 1,009,9543.50% 7/1/2045. . . . . . . . . . 1,642,249 1,697,0373.50%, 10/1/2045 . . . . . . . . 965,181 994,7073.50% 12/1/2045 . . . . . . . . . 1,456,809 1,505,0123.50%, 3/1/2046 . . . . . . . . . 2,066,606 2,129,0823.50%, 5/1/2046 . . . . . . . . . 949,542 978,2483.50%, 8/1/2046 . . . . . . . . . 4,980,842 5,133,2123.50%, 9/1/2046 . . . . . . . . . 11,015,731 11,348,7523.50%, 12/1/2046 . . . . . . . . 1,324,466 1,364,5063.50%, 4/1/2047 . . . . . . . . . 202,512 208,5233.50%, 9/1/2047 . . . . . . . . . 9,596,808 9,881,6793.50%, 10/1/2047 . . . . . . . . 1,324,459 1,363,7743.50%, 11/1/2047 . . . . . . . . 495,011 509,7053.50%, 12/1/2047 . . . . . . . . 1,171,674 1,206,4543.50%, 1/1/2048 . . . . . . . . . 2,977,918 3,066,314


3.50%, 2/1/2048 . . . . . . . . . $ 9,645,046 $ 9,931,3503.50%, 5/1/2048 . . . . . . . . . 6,623,601 6,790,9263.50%, 6/1/2048 . . . . . . . . . 4,659,276 4,776,9783.50%, 7/1/2048 . . . . . . . . . 3,220,235 3,301,5843.50%, 11/1/2048 . . . . . . . . 8,115,028 8,320,0284.00%, 4/1/2024 . . . . . . . . . 47,565 49,3924.00%, 5/1/2025 . . . . . . . . . 37,313 38,7704.00%, 6/1/2025 . . . . . . . . . 85,918 89,2734.00%, 8/1/2025 . . . . . . . . . 21,300 22,1324.00%, 9/1/2025 . . . . . . . . . 19,365 20,1214.00%, 6/1/2026 . . . . . . . . . 208,847 217,3904.00%, 10/1/2040 . . . . . . . . 254,140 268,5004.00%, 12/1/2041 . . . . . . . . 807,963 852,9614.00%, 4/1/2042 . . . . . . . . . 543,622 573,8984.00%, 6/1/2042 . . . . . . . . . 1,117,258 1,176,5574.00% 5/1/2044. . . . . . . . . . 673,835 706,9844.00%, 7/1/2044 . . . . . . . . . 1,044,501 1,095,8844.00%, 12/1/2044 . . . . . . . . 352,077 369,3974.00%, 4/1/2045 . . . . . . . . . 795,853 832,5274.00%, 5/1/2045 . . . . . . . . . 3,440,081 3,631,6714.00%, 10/1/2045 . . . . . . . . 1,246,256 1,303,6864.00%, 1/1/2046 . . . . . . . . . 902,307 943,8884.00%, 3/1/2046 . . . . . . . . . 628,154 659,9034.00%, 9/1/2047 . . . . . . . . . 737,138 768,0614.00%, 11/1/2047 . . . . . . . . 4,583,016 4,775,2764.00%, 12/1/2047 . . . . . . . . 1,720,263 1,792,4294.00%, 1/1/2048 . . . . . . . . . 2,692,465 2,805,4164.00%, 4/1/2048 . . . . . . . . . 4,571,022 4,739,8524.00% 5/1/2048. . . . . . . . . . 8,581,245 8,886,6554.00%, 7/1/2048 . . . . . . . . . 7,347,055 7,605,8394.00%, 10/1/2048 . . . . . . . . 5,477,347 5,679,6514.00%, 12/1/2048 . . . . . . . . 6,954,558 7,199,5174.50%, 10/1/2024 . . . . . . . . 14,679 14,9524.50%, 2/1/2039 . . . . . . . . . 2,364 2,5424.50%, 6/1/2039 . . . . . . . . . 182,648 196,3674.50%, 12/1/2039 . . . . . . . . 147,364 158,4334.50%, 6/1/2040 . . . . . . . . . 3,678 3,9444.50%, 12/1/2040 . . . . . . . . 551,299 591,2084.50%, 4/1/2041 . . . . . . . . . 7,054 7,5674.50%, 7/1/2041 . . . . . . . . . 400,725 429,8384.50%, 8/1/2041 . . . . . . . . . 29,920 32,0934.50%, 9/1/2041 . . . . . . . . . 152,908 164,0174.50%, 10/1/2041 . . . . . . . . 1,098,278 1,177,7844.50%, 10/1/2043 . . . . . . . . 18,111 19,3114.50%, 8/1/2044 . . . . . . . . . 20,848 22,1814.50%, 9/1/2044 . . . . . . . . . 471,182 501,2994.50%, 4/1/2047 . . . . . . . . . 257,995 272,0444.50%, 10/1/2047 . . . . . . . . 229,321 241,8094.50%, 12/1/2047 . . . . . . . . 712,204 750,9864.50% 1/1/2048. . . . . . . . . . 2,521,562 2,658,8694.50%, 7/1/2048 . . . . . . . . . 3,504,535 3,665,1754.50%, 12/1/2048 . . . . . . . . 2,873,598 3,005,3174.50%, 3/1/2049 . . . . . . . . . 4,369,110 4,569,3805.00%, 11/1/2035 . . . . . . . . 20,030 21,6725.00% 12/1/2036 . . . . . . . . . 3,744 4,029


55


5.00% 2/1/2038. . . . . . . . . . $ 285,664 $ 308,2275.00% 3/1/2038. . . . . . . . . . 194,191 209,5325.00%, 6/1/2038 . . . . . . . . . 48,395 52,2115.00% 11/1/2038 . . . . . . . . . 397,537 428,9545.00%, 1/1/2039 . . . . . . . . . 57,275 61,7905.00%, 2/1/2039 . . . . . . . . . 132,470 142,9125.00%, 3/1/2039 . . . . . . . . . 415,282 447,8915.00%, 10/1/2039 . . . . . . . . 39,272 42,3675.00%, 7/1/2048 . . . . . . . . . 3,580,793 3,801,8295.00%, 9/1/2048 . . . . . . . . . 829,250 880,4325.00%, 3/1/2049 . . . . . . . . . 1,906,641 2,017,1575.50%, 2/1/2022 . . . . . . . . . 3,033 3,1205.50%, 11/1/2026 . . . . . . . . 40,638 43,5725.50%, 6/1/2027 . . . . . . . . . 11,370 12,1965.50%, 4/1/2028 . . . . . . . . . 18,497 19,8245.50%, 7/1/2028 . . . . . . . . . 27,107 29,0515.50%, 7/1/2033 . . . . . . . . . 2,802 3,0485.50% 1/1/2037. . . . . . . . . . 133,251 145,0975.50%, 9/1/2037 . . . . . . . . . 1,284 1,4065.50%, 11/1/2037 . . . . . . . . 7,368 8,0675.50%, 1/1/2038 . . . . . . . . . 64,588 70,7125.50%, 4/1/2038 . . . . . . . . . 227,907 250,0165.50% 7/1/2038. . . . . . . . . . 318,256 349,1305.50%, 10/1/2038 . . . . . . . . 5,734 6,2915.50%, 11/1/2038 . . . . . . . . 7,799 8,5566.00%, 8/1/2031 . . . . . . . . . 8,327 9,4016.00%, 3/1/2036 . . . . . . . . . 10,096 11,6206.00%, 8/1/2036 . . . . . . . . . 58,749 67,1986.00%, 1/1/2037 . . . . . . . . . 5,550 6,3396.00%, 12/1/2037 . . . . . . . . 5,368 6,1366.00%, 10/1/2038 . . . . . . . . 3,952 4,3206.00%, 3/1/2040 . . . . . . . . . 3,133 3,5946.00%, 5/1/2040 . . . . . . . . . 578,703 661,7796.25%, 7/15/2032 . . . . . . . . 2,866,000 4,113,9146.50%, 11/1/2037 . . . . . . . . 60,892 70,6516.50%, 2/1/2038 . . . . . . . . . 9,961 10,9236.50%, 9/1/2038 . . . . . . . . . 157,273 183,7706.50%, 9/1/2039 . . . . . . . . . 81,832 95,2556.75%, 3/15/2031 . . . . . . . . 601,000 871,5642.75%, 6/19/2023 . . . . . . . . 645,000 668,465Series GDIF, 6.75%,

9/15/2029. . . . . . . . . . . . 185,000 260,582Series GMTN, 1.88%,

11/17/2020 . . . . . . . . . . . 150,000 149,938Series K015, Class A2, 3.23%,

7/25/2021. . . . . . . . . . . . 1,000,000 1,015,735Series K025, Class A1, 1.88%,

4/25/2022. . . . . . . . . . . . 247,890 246,638Series K029, Class A1, 2.84%,

10/25/2022 . . . . . . . . . . . 274,444 276,361Series K037, Class A2, 3.49%,

1/25/2024. . . . . . . . . . . . 1,000,000 1,054,782Series K040, Class A2, 3.24%,

9/25/2024. . . . . . . . . . . . 700,000 734,963Series K041, Class A2, 3.17%,

10/25/2024 . . . . . . . . . . . 750,000 785,378


Series K049, Class A2, 3.01%,7/25/2025. . . . . . . . . . . . $ 350,000 $ 364,429

Series K053, Class A2, 3.00%,12/25/2025 . . . . . . . . . . . 350,000 364,390

Series K055, Class A2, 2.67%,3/25/2026. . . . . . . . . . . . 1,000,000 1,022,317

Series K064, Class A2, 3.22%,3/25/2027. . . . . . . . . . . . 800,000 845,186

Series K067, Class AM,3.28%, 8/25/2027. . . . . . . 500,000 526,526

Series K069, Class A2, 3.19%,9/25/2027 (d) . . . . . . . . . 1,500,000 1,581,288

Series K070, Class A2, 3.30%,11/25/2027 (d). . . . . . . . . 1,500,000 1,594,343

Series K072, Class A2, 3.44%,12/25/2027 . . . . . . . . . . . 2,010,000 2,158,112

Series K078, Class A2, 3.85%,6/25/2028. . . . . . . . . . . . 1,000,000 1,105,743

Series K079, Class A2, 3.93%,6/25/2028. . . . . . . . . . . . 1,150,000 1,279,051

Series K085, Class A2, 4.06%,10/25/2028 (d). . . . . . . . . 2,200,000 2,474,086

Series K086, Class A2, 3.86%,11/25/2028 (d). . . . . . . . . 799,999 887,816

Series K087, Class A2, 3.77%,12/25/2028 . . . . . . . . . . . 270,000 297,720

Series K092, Class A2, 3.30%,4/25/2029. . . . . . . . . . . . 500,000 532,985

Series K093, Class A2, 2.98%,5/25/2029. . . . . . . . . . . . 500,000 519,402

Series K723, Class A2, 2.45%,8/25/2023. . . . . . . . . . . . 650,000 657,813

Series K730, Class A2, 3.59%,1/25/2025 (d) . . . . . . . . . 1,000,000 1,066,125

Series K030, Class A2, VRN,3.25%, 4/25/2023 (d) . . . . 1,000,000 1,039,556

Series K159, Class A3, VRN,3.95%, 11/25/2033 (d). . . . 666,667 748,554

Federal National MortgageAssociation:1.25%, 5/6/2021 . . . . . . . . . 454,000 449,5421.25%, 8/17/2021 . . . . . . . . 1,239,000 1,224,6521.38%, 2/26/2021 . . . . . . . . 906,000 899,1691.38%, 10/7/2021 . . . . . . . . 286,000 283,1831.50%, 11/30/2020. . . . . . . . 167,000 165,9701.88%, 12/28/2020. . . . . . . . 250,000 250,0371.88%, 4/5/2022 . . . . . . . . . 205,000 205,3511.88%, 9/24/2026 (b) . . . . . . 1,019,000 1,009,2182.00%, 1/5/2022 . . . . . . . . . 1,350,000 1,356,0212.00%, 10/5/2022 . . . . . . . . 1,200,000 1,207,8242.13%, 4/24/2026 . . . . . . . . 460,000 462,3512.50%, 7/1/2028 . . . . . . . . . 620,191 626,4112.50% 8/1/2028. . . . . . . . . . 927,402 936,7042.50%, 10/1/2028 . . . . . . . . 425,926 430,1982.50%, 3/1/2029 . . . . . . . . . 1,580,620 1,594,8682.50%, 2/1/2030 . . . . . . . . . 707,802 714,6382.50%, 5/1/2030 . . . . . . . . . 1,081,186 1,091,543


56


2.50%, 7/1/2030 . . . . . . . . . $ 371,310 $ 374,8672.50%, 2/1/2031 . . . . . . . . . 1,297,783 1,310,2142.50%, 8/1/2031 . . . . . . . . . 3,046,877 3,072,1442.50%, 12/1/2032 . . . . . . . . 2,492,390 2,511,4812.50%, 1/1/2033 . . . . . . . . . 3,682,921 3,711,1322.50%, 10/1/2042 . . . . . . . . 419,796 419,1972.63%, 9/6/2024 . . . . . . . . . 2,690,000 2,792,6232.75%, 6/22/2021 . . . . . . . . 1,000,000 1,018,2502.88%, 10/30/2020. . . . . . . . 1,836,000 1,859,1522.88%, 9/12/2023 . . . . . . . . 1,100,000 1,146,1343.00%, 8/1/2027 . . . . . . . . . 364,546 372,3673.00%, 11/1/2028 . . . . . . . . 703,085 718,7303.00%, 6/1/2029 . . . . . . . . . 198,916 203,3203.00% 8/1/2029. . . . . . . . . . 1,026,671 1,049,3993.00%, 9/1/2029 . . . . . . . . . 405,795 414,7783.00%, 6/1/2030 . . . . . . . . . 615,044 628,7923.00%, 9/1/2030 . . . . . . . . . 106,908 109,2973.00%, 11/1/2030 . . . . . . . . 246,420 251,9283.00%, 12/1/2030 . . . . . . . . 829,359 847,8973.00%, 6/1/2032 . . . . . . . . . 5,429,414 5,540,6583.00%, 10/1/2032 . . . . . . . . 1,588,839 1,621,3943.00%, 1/1/2033 . . . . . . . . . 1,097,863 1,120,3573.00%, 2/1/2033 . . . . . . . . . 2,508,126 2,559,5183.00%, 2/1/2034 . . . . . . . . . 4,569,655 4,659,0063.00%, 2/1/2035 . . . . . . . . . 442,757 451,7693.00%, 3/1/2035 . . . . . . . . . 357,960 364,9673.00%, 2/1/2036 . . . . . . . . . 945,034 963,5343.00%, 11/1/2036 . . . . . . . . 2,206,261 2,247,3223.00%, 1/1/2037 . . . . . . . . . 2,385,474 2,429,8713.00%, 9/1/2037 . . . . . . . . . 2,396,578 2,440,8533.00%, 1/1/2038 . . . . . . . . . 3,605,340 3,671,9453.00%, 12/1/2042 . . . . . . . . 561,101 571,6533.00%, 1/1/2043 . . . . . . . . . 1,054,786 1,074,6223.00%, 3/1/2043 . . . . . . . . . 1,174,946 1,196,8603.00%, 4/1/2043 . . . . . . . . . 294,241 299,7293.00% 5/1/2043. . . . . . . . . . 3,115,145 3,173,2443.00% 6/1/2043. . . . . . . . . . 2,207,768 2,248,9463.00% 7/1/2043. . . . . . . . . . 2,022,054 2,059,7663.00%, 8/1/2043 . . . . . . . . . 895,883 912,7313.00%, 2/1/2044 . . . . . . . . . 8,971,683 9,139,0113.00%, 5/1/2045 . . . . . . . . . 7,395,333 7,533,2613.00%, 8/1/2045 . . . . . . . . . 11,880,359 12,101,9363.00%, 9/1/2045 . . . . . . . . . 1,023,736 1,039,9743.00% 11/1/2045 . . . . . . . . . 2,323,495 2,360,3483.00%, 5/1/2046 . . . . . . . . . 2,326,725 2,359,0233.00%, 8/1/2046 . . . . . . . . . 2,572,940 2,608,6563.00%, 9/1/2046 . . . . . . . . . 2,478,312 2,512,7143.00%, 10/1/2046 . . . . . . . . 906,645 919,2313.00% 11/1/2046 . . . . . . . . . 7,276,424 7,402,4093.00% 1/1/2047. . . . . . . . . . 7,265,269 7,366,1203.00%, 3/1/2047 . . . . . . . . . 480,855 487,5303.00%, 7/1/2047 . . . . . . . . . 6,079,865 6,164,2613.00%, 2/1/2048 . . . . . . . . . 8,110,201 8,202,4013.50%, 10/1/2025 . . . . . . . . 131,164 135,3853.50%, 11/1/2025 . . . . . . . . 157,357 162,421


3.50%, 3/1/2026 . . . . . . . . . $ 96,304 $ 99,4383.50%, 1/1/2027 . . . . . . . . . 510,616 527,0493.50%, 5/1/2029 . . . . . . . . . 200,007 206,9703.50%, 1/1/2030 . . . . . . . . . 351,662 363,9053.50%, 6/1/2033 . . . . . . . . . 3,586,543 3,703,7133.50%, 6/1/2034 . . . . . . . . . 783,952 812,4343.50%, 7/1/2034 . . . . . . . . . 1,452,011 1,504,7653.50%, 2/1/2037 . . . . . . . . . 760,068 786,4343.50%, 2/1/2038 . . . . . . . . . 444,470 462,0883.50%, 4/1/2038 . . . . . . . . . 3,250,628 3,351,7763.50%, 5/1/2038 . . . . . . . . . 1,205,644 1,243,1763.50%, 12/1/2040 . . . . . . . . 863,372 894,0203.50%, 5/1/2042 . . . . . . . . . 1,745,557 1,808,6923.50%, 8/1/2042 . . . . . . . . . 634,961 657,9273.50%, 10/1/2042 . . . . . . . . 686,662 711,4983.50%, 1/1/2043 . . . . . . . . . 244,691 253,5413.50%, 5/1/2043 . . . . . . . . . 233,528 241,6753.50%, 7/1/2043 . . . . . . . . . 855,828 885,6853.50%, 1/1/2044 . . . . . . . . . 842,963 872,3713.50%, 10/1/2044 . . . . . . . . 614,702 635,1003.50% 1/1/2045. . . . . . . . . . 1,056,722 1,091,7883.50%, 2/1/2045 . . . . . . . . . 12,364,353 12,811,5623.50%, 4/1/2045 . . . . . . . . . 1,203,357 1,239,4503.50% 8/1/2045. . . . . . . . . . 2,506,367 2,585,6093.50% 11/1/2045 . . . . . . . . . 7,252,095 7,469,6123.50% 12/1/2045 . . . . . . . . . 5,531,006 5,696,9023.50%, 1/1/2046 . . . . . . . . . 1,871,618 1,927,7543.50% 2/1/2046. . . . . . . . . . 6,161,258 6,345,2983.50%, 10/1/2046 . . . . . . . . 2,552,717 2,628,3273.50% 5/1/2047. . . . . . . . . . 6,803,795 7,005,3183.50%, 7/1/2047 . . . . . . . . . 3,367,162 3,484,6293.50%, 10/1/2047 . . . . . . . . 868,304 893,5573.50% 11/1/2047 . . . . . . . . . 14,421,739 14,841,1643.50% 1/1/2048. . . . . . . . . . 10,201,715 10,498,4083.50% 2/1/2048. . . . . . . . . . 12,702,689 13,075,7843.50%, 6/1/2048 . . . . . . . . . 6,631,541 6,795,0473.50%, 8/1/2048 . . . . . . . . . 933,322 956,3333.50%, 9/1/2048 . . . . . . . . . 2,869,899 2,942,6793.50%, 7/1/2049 . . . . . . . . . 13,400,000 13,705,6544.00%, 1/1/2020 . . . . . . . . . 130 1304.00%, 4/1/2024 . . . . . . . . . 72,513 75,2654.00%, 1/1/2025 . . . . . . . . . 73,671 76,4684.00%, 3/1/2026 . . . . . . . . . 56,115 58,3854.00%, 12/1/2034 . . . . . . . . 436,244 458,2154.00%, 3/1/2037 . . . . . . . . . 1,391,836 1,456,8434.00%, 3/1/2038 . . . . . . . . . 1,737,391 1,812,4804.00%, 6/1/2038 . . . . . . . . . 1,341,322 1,399,2804.00% 12/1/2040 . . . . . . . . . 1,195,452 1,262,2694.00%, 3/1/2041 . . . . . . . . . 917,298 967,8044.00%, 12/1/2041 . . . . . . . . 1,023,089 1,079,4194.00%, 2/1/2042 . . . . . . . . . 237,335 250,4034.00%, 10/1/2043 . . . . . . . . 646,639 678,9014.00%, 12/1/2043 . . . . . . . . 88,741 93,1684.00%, 5/1/2044 . . . . . . . . . 1,985,391 2,096,3604.00%, 6/1/2044 . . . . . . . . . 606,284 635,723


57


4.00% 7/1/2044. . . . . . . . . . $ 630,895 $ 661,5294.00%, 9/1/2044 . . . . . . . . . 503,071 527,4994.00% 10/1/2044 . . . . . . . . . 785,442 823,5814.00%, 12/1/2044 . . . . . . . . 683,252 716,4284.00%, 1/1/2045 . . . . . . . . . 1,684,307 1,772,6404.00%, 3/1/2045 . . . . . . . . . 570,176 596,0894.00%, 5/1/2045 . . . . . . . . . 882,986 923,1164.00%, 6/1/2045 . . . . . . . . . 1,460,011 1,530,9044.00%, 7/1/2045 . . . . . . . . . 894,290 934,9334.00%, 9/1/2045 . . . . . . . . . 1,330,285 1,390,7434.00%, 12/1/2045 . . . . . . . . 781,137 816,6384.00%, 4/1/2046 . . . . . . . . . 1,083,909 1,131,4994.00%, 11/1/2046 . . . . . . . . 711,193 742,4194.00% 4/1/2047. . . . . . . . . . 20,188,249 21,030,5194.00%, 7/1/2047 . . . . . . . . . 395,764 412,1074.00%, 8/1/2047 . . . . . . . . . 1,622,290 1,689,2824.00%, 12/1/2047 . . . . . . . . 15,254,077 15,883,9864.00%, 1/1/2048 . . . . . . . . . 5,834,623 6,075,5614.00%, 2/1/2048 . . . . . . . . . 2,597,938 2,705,2184.00%, 5/1/2048 . . . . . . . . . 444,253 459,6354.00%, 6/1/2048 . . . . . . . . . 6,291,571 6,509,4134.00%, 7/1/2048 . . . . . . . . . 3,590,854 3,721,3394.00%, 8/1/2048 . . . . . . . . . 6,569,502 6,796,9664.00%, 9/1/2048 . . . . . . . . . 7,906,111 8,179,8544.00% 11/1/2048 . . . . . . . . . 6,654,726 6,890,8444.00%, 3/1/2049 . . . . . . . . . 2,501,588 2,590,5454.50% 4/1/2023. . . . . . . . . . 152,129 156,5994.50%, 8/1/2023 . . . . . . . . . 250 2554.50%, 4/1/2031 . . . . . . . . . 238,895 253,3394.50%, 4/1/2039 . . . . . . . . . 536,565 576,5474.50%, 4/1/2040 . . . . . . . . . 506,867 543,2324.50%, 10/1/2040 . . . . . . . . 298,580 320,0014.50%, 2/1/2041 . . . . . . . . . 614,329 658,5354.50%, 5/1/2041 . . . . . . . . . 310,936 333,2444.50%, 1/1/2042 . . . . . . . . . 1,047,477 1,122,8514.50%, 9/1/2043 . . . . . . . . . 229,371 244,4094.50% 12/1/2043 . . . . . . . . . 710,228 756,7934.50%, 1/1/2044 . . . . . . . . . 172,562 183,8764.50%, 2/1/2044 . . . . . . . . . 340,813 363,1584.50% 6/1/2044. . . . . . . . . . 833,267 887,7754.50%, 3/1/2046 . . . . . . . . . 1,219,253 1,306,7264.50%, 9/1/2047 . . . . . . . . . 446,087 470,0494.50%, 11/1/2047 . . . . . . . . 3,187,978 3,359,2244.50%, 4/1/2048 . . . . . . . . . 1,798,373 1,879,6484.50% 8/1/2048. . . . . . . . . . 11,525,327 12,090,8654.50%, 11/1/2048 . . . . . . . . 2,704,372 2,837,0734.50%, 12/1/2048 . . . . . . . . 3,279,943 3,440,8874.50% 1/1/2049. . . . . . . . . . 8,598,548 9,016,6045.00%, 7/1/2035 . . . . . . . . . 459,649 496,9015.00%, 7/1/2040 . . . . . . . . . 215,153 231,4795.00%, 1/1/2042 . . . . . . . . . 668,606 719,3415.00%, 3/1/2042 . . . . . . . . . 606,414 652,4295.00%, 12/1/2043 . . . . . . . . 147,137 158,6155.00%, 7/1/2044 . . . . . . . . . 527,350 564,9605.00%, 6/1/2048 . . . . . . . . . 2,276,760 2,407,771


5.00%, 9/1/2048 . . . . . . . . . $ 3,148,149 $ 3,329,3025.50%, 7/1/2035 . . . . . . . . . 206,216 224,4815.50% 6/1/2038. . . . . . . . . . 71,326 78,1855.50%, 12/1/2038 . . . . . . . . 212,872 232,9095.50%, 12/1/2039 . . . . . . . . 337,570 370,0285.50%, 4/1/2040 . . . . . . . . . 227,543 252,2325.50%, 9/1/2040 . . . . . . . . . 28,185 30,8965.50%, 7/1/2041 . . . . . . . . . 371,781 404,6425.50%, 5/1/2044 . . . . . . . . . 4,486,652 4,884,0496.00%, 2/1/2037 . . . . . . . . . 201,017 226,7286.00%, 10/1/2039 . . . . . . . . 262,941 300,7496.00%, 4/1/2040 . . . . . . . . . 360,261 414,5566.25%, 5/15/2029 . . . . . . . . 80,000 108,0986.63%, 11/15/2030. . . . . . . . 1,849,000 2,643,3127.13%, 1/15/2030 . . . . . . . . 325,000 471,2867.25%, 5/15/2030 . . . . . . . . 1,125,000 1,657,811Class A2, 3.27%, 1/25/2029 . . 500,000 528,488Series 2011-M4, Class A2,

3.73%, 6/25/2021. . . . . . . 867,452 883,077Series 2013-M12, Class APT,

2.48%, 3/25/2023 (d) . . . . 589,824 596,170Series 2014-M3, Class A2,

3.50%, 1/25/2024 (d) . . . . 381,958 402,411Series 2016-M4, Class AL,

3.27%, 1/25/2039. . . . . . . 218,968 229,439Series 2017-M8, Class A1,

2.65%, 5/25/2027. . . . . . . 628,324 640,006Series 2017-M8, Class A2,

3.06%, 5/25/2027 (d) . . . . 600,000 622,721Series 2018-M2, Class A2,

3.00%, 1/25/2028 (d) . . . . 750,000 773,262Series 2019-M1, Class A2,

3.67%, 9/25/2028 (d) . . . . 861,702 933,700Series 2019-M9, Class A2,

2.94%, 4/25/2029. . . . . . . 750,000 771,758TBA, 2.50%, 7/1/2034 (h) . . . 7,500,000 7,550,850TBA, 3.00%, 7/1/2034 (h) . . . 7,525,000 7,672,038TBA, 3.00%, 7/1/2049 (h) . . . 6,000,000 6,050,520TBA, 3.50%, 7/1/2034 (h) . . . 6,150,000 6,347,353TBA, 3.50%, 7/1/2049 (h) . . . 6,850,000 7,002,138TBA, 4.00%, 7/1/2034 (h) . . . 5,500,000 5,708,780TBA, 4.00%, 7/1/2049 (h) . . . 15,000,000 15,502,050TBA, 4.50%, 7/1/2049 (h) . . . 9,850,000 10,291,083TBA, 5.00%, 7/1/2049 (h) . . . 9,000,000 9,511,020Series 2013-M14, Class APT,

VRN, 2.71%, 4/25/2023(d) . . . . . . . . . . . . . . . . 446,789 454,624

Series 2014-M2, Class A2,VRN, 3.51%, 12/25/2023(d) . . . . . . . . . . . . . . . . 852,973 897,128

Series 2017-M15, Class ATS2,VRN, 3.20%, 11/25/2027(d) . . . . . . . . . . . . . . . . 700,000 734,926

Series 2018-M1, Class A2,VRN, 3.09%, 12/25/2027(d) . . . . . . . . . . . . . . . . 130,000 134,923


58


Series 2018-M5, Class A2,VRN, 3.56%, 9/25/2021(d) . . . . . . . . . . . . . . . . $ 218,114 $ 221,032

Government National MortgageAssociation:3.00% 12/15/2042 . . . . . . . . 730,181 748,7703.00% 12/20/2042 . . . . . . . . 1,369,829 1,410,2893.00%, 2/20/2043 . . . . . . . . 1,254,917 1,291,9823.00%, 4/20/2043 . . . . . . . . 1,239,151 1,273,6633.00%, 6/20/2043 . . . . . . . . 848,522 872,1553.00%, 12/20/2044. . . . . . . . 443,896 455,4373.00%, 3/20/2045 . . . . . . . . 499,536 511,7823.00%, 4/20/2045 . . . . . . . . 766,931 785,7323.00%, 8/20/2045 . . . . . . . . 1,093,931 1,120,7483.00%, 1/20/2046 . . . . . . . . 613,187 628,2193.00%, 4/20/2046 . . . . . . . . 1,215,296 1,243,5863.00%, 5/20/2046 . . . . . . . . 2,647,816 2,709,4523.00%, 9/20/2046 . . . . . . . . 2,343,415 2,397,9653.00%, 10/20/2046. . . . . . . . 8,317,367 8,510,9793.00%, 11/20/2046. . . . . . . . 1,310,084 1,340,5803.00%, 1/20/2047 . . . . . . . . 2,268,369 2,321,1733.00%, 6/20/2047 . . . . . . . . 807,763 825,9453.00%, 7/20/2047 . . . . . . . . 7,249,839 7,413,0273.00%, 10/20/2047. . . . . . . . 5,141,092 5,256,8143.00%, 11/20/2047. . . . . . . . 3,361,515 3,437,1803.00%, 12/20/2047. . . . . . . . 2,994,114 3,061,5093.00%, 1/20/2048 . . . . . . . . 2,717,309 2,778,4733.00%, 2/20/2048 . . . . . . . . 3,172,343 3,243,7503.00%, 3/20/2048 . . . . . . . . 12,328,870 12,606,3833.50%, 2/15/2042 . . . . . . . . 788,263 823,2353.50%, 6/20/2042 . . . . . . . . 755,259 790,2183.50%, 1/20/2043 . . . . . . . . 2,953,121 3,089,8133.50%, 4/15/2043 . . . . . . . . 190,870 198,7953.50%, 4/20/2043 . . . . . . . . 762,438 797,7293.50%, 7/20/2043 . . . . . . . . 1,884,522 1,967,6793.50%, 10/20/2043. . . . . . . . 369,372 385,6713.50%, 12/20/2043. . . . . . . . 161,938 169,0843.50%, 1/20/2044 . . . . . . . . 332,111 346,7653.50%, 3/20/2044 . . . . . . . . 314,069 327,9283.50%, 9/20/2044 . . . . . . . . 5,071,052 5,291,2953.50%, 10/20/2044. . . . . . . . 616,384 643,1553.50%, 12/20/2044. . . . . . . . 469,432 489,8203.50%, 2/20/2045 . . . . . . . . 361,642 377,3483.50%, 3/20/2045 . . . . . . . . 429,928 447,0103.50% 4/20/2045 . . . . . . . . . 2,675,299 2,781,6013.50%, 6/20/2045 . . . . . . . . 2,551,789 2,653,1833.50%, 10/20/2045. . . . . . . . 7,869,210 8,181,8893.50%, 11/20/2045. . . . . . . . 255,308 265,4523.50%, 1/20/2046 . . . . . . . . 3,322,353 3,454,3653.50%, 3/20/2046 . . . . . . . . 2,138,664 2,215,5343.50%, 4/20/2046 . . . . . . . . 1,866,494 1,933,5823.50%, 5/20/2046 . . . . . . . . 1,921,798 1,990,8743.50%, 10/20/2046. . . . . . . . 1,166,448 1,208,3733.50%, 2/20/2047 . . . . . . . . 5,919,284 6,132,0413.50%, 3/20/2047 . . . . . . . . 1,285,870 1,330,555


3.50%, 5/20/2047 . . . . . . . . $ 1,322,788 $ 1,368,7563.50%, 6/20/2047 . . . . . . . . 804,907 832,8783.50%, 8/20/2047 . . . . . . . . 1,184,840 1,226,0143.50%, 9/20/2047 . . . . . . . . 1,281,443 1,325,9743.50%, 10/20/2047. . . . . . . . 824,269 852,9133.50%, 11/20/2047. . . . . . . . 4,176,035 4,321,1553.50%, 12/20/2047. . . . . . . . 5,792,525 5,993,8203.50%, 1/20/2048 . . . . . . . . 20,744,056 21,464,9303.50%, 2/20/2048 . . . . . . . . 5,176,707 5,356,6023.50%, 3/20/2048 . . . . . . . . 9,174,580 9,480,8513.50%, 4/20/2048 . . . . . . . . 5,387,126 5,566,9633.50%, 6/20/2048 . . . . . . . . 3,212,878 3,320,1323.50%, 8/20/2048 . . . . . . . . 2,441,128 2,522,6204.00%, 4/15/2040 . . . . . . . . 694,101 731,0134.00%, 6/15/2040 . . . . . . . . 42,158 44,4004.00%, 3/20/2044 . . . . . . . . 119,092 125,6204.00%, 4/20/2044 . . . . . . . . 596,546 629,2494.00%, 6/20/2044 . . . . . . . . 255,683 269,7004.00%, 8/20/2044 . . . . . . . . 266,833 281,4614.00%, 9/20/2044 . . . . . . . . 466,144 491,6984.00%, 10/20/2044. . . . . . . . 243,783 257,1474.00%, 12/20/2044. . . . . . . . 593,091 625,6044.00%, 2/20/2045 . . . . . . . . 420,991 444,0704.00%, 5/15/2045 . . . . . . . . 604,971 636,1394.00%, 7/20/2045 . . . . . . . . 3,130,711 3,296,4074.00%, 8/20/2045 . . . . . . . . 425,684 448,2144.00%, 9/20/2045 . . . . . . . . 8,001,931 8,425,4404.00%, 10/20/2045. . . . . . . . 613,192 645,6464.00%, 11/20/2045. . . . . . . . 2,195,741 2,311,9534.00%, 5/20/2046 . . . . . . . . 143,021 149,6074.00%, 3/20/2047 . . . . . . . . 1,462,971 1,530,3424.00%, 4/20/2047 . . . . . . . . 577,825 603,5364.00%, 6/20/2047 . . . . . . . . 4,196,365 4,383,0874.00%, 7/20/2047 . . . . . . . . 1,174,958 1,227,2394.00%, 8/20/2047 . . . . . . . . 1,855,451 1,938,0114.00%, 9/20/2047 . . . . . . . . 781,974 816,7694.00%, 12/20/2047. . . . . . . . 6,969,262 7,279,3674.00%, 2/20/2048 . . . . . . . . 6,528,740 6,819,2444.00%, 7/20/2048 . . . . . . . . 1,337,178 1,387,2664.00%, 8/20/2048 . . . . . . . . 10,545,752 10,940,7784.00%, 9/20/2048 . . . . . . . . 2,828,730 2,934,6894.50%, 6/15/2039 . . . . . . . . 35,806 38,0824.50%, 7/15/2039 . . . . . . . . 154,332 164,1404.50%, 4/15/2040 . . . . . . . . 552,560 583,8744.50% 6/15/2040 . . . . . . . . . 328,786 347,4184.50%, 3/15/2041 . . . . . . . . 181,721 192,0204.50%, 6/15/2041 . . . . . . . . 158,838 167,8394.50%, 9/20/2041 . . . . . . . . 155,367 165,2864.50%, 12/15/2041. . . . . . . . 37,373 39,4914.50%, 1/15/2042 . . . . . . . . 127,261 135,3504.50%, 10/20/2043. . . . . . . . 103,662 110,7344.50%, 4/20/2044 . . . . . . . . 266,343 284,5154.50%, 11/20/2044. . . . . . . . 574,661 612,3274.50%, 12/20/2044. . . . . . . . 175,477 186,9784.50%, 7/20/2045 . . . . . . . . 3,647,399 3,886,462


59


4.50%, 8/20/2045 . . . . . . . . $ 328,556 $ 350,0914.50%, 9/20/2045 . . . . . . . . 159,770 170,2424.50%, 10/20/2045. . . . . . . . 588,952 627,5544.50%, 4/20/2046 . . . . . . . . 326,101 347,4754.50%, 9/20/2047 . . . . . . . . 381,807 401,0264.50%, 11/20/2047. . . . . . . . 1,781,751 1,871,4374.50%, 12/20/2047. . . . . . . . 1,561,528 1,640,1294.50%, 1/20/2048 . . . . . . . . 1,469,170 1,543,1224.50%, 6/20/2048 . . . . . . . . 4,912,398 5,125,7374.50%, 8/20/2048 . . . . . . . . 7,630,386 7,961,7645.00%, 12/15/2038. . . . . . . . 180,781 194,6015.00% 4/15/2039 . . . . . . . . . 357,627 384,9105.00%, 5/15/2039 . . . . . . . . 32,435 34,9095.00%, 11/20/2041. . . . . . . . 894,020 957,4325.00%, 5/20/2044 . . . . . . . . 171,740 186,6235.00%, 11/20/2044. . . . . . . . 207,828 226,0765.00%, 1/20/2048 . . . . . . . . 1,670,772 1,756,1685.00%, 5/20/2048 . . . . . . . . 2,569,555 2,690,2815.00%, 7/20/2048 . . . . . . . . 368,952 386,4815.00%, 9/20/2048 . . . . . . . . 2,022,716 2,118,8135.00%, 11/20/2048. . . . . . . . 2,892,794 3,030,2275.50%, 6/15/2038 . . . . . . . . 227,103 246,1255.50%, 7/15/2038 . . . . . . . . 284,692 316,2565.50%, 2/15/2039 . . . . . . . . 47,182 53,5385.50%, 5/20/2044 . . . . . . . . 270,370 306,1966.00%, 1/15/2038 . . . . . . . . 33,255 37,9696.00%, 4/15/2038 . . . . . . . . 77,600 89,0606.00%, 6/15/2041 . . . . . . . . 126,398 148,321TBA, 3.00%, 7/1/2049 (h) . . . 6,925,000 7,074,511TBA, 3.50%, 7/1/2049 (h) . . . 4,191,716 4,329,623TBA, 4.00%, 7/1/2049 (h) . . . 13,925,000 14,434,655TBA, 4.50%, 7/1/2049 (h) . . . 9,900,000 10,319,067TBA, 5.00%, 7/1/2049 (h) . . . 3,100,000 3,240,275

Iraq Government AID Bond2.15%, 1/18/2022 . . . . . . . . 1,080,000 1,086,923

Tennessee Valley Authority:2.88%, 9/15/2024 . . . . . . . . 475,000 496,2614.63%, 9/15/2060 . . . . . . . . 34,000 45,3485.25%, 9/15/2039 . . . . . . . . 566,000 755,1635.88%, 4/1/2036 . . . . . . . . . 128,000 176,4367.13%, 5/1/2030 . . . . . . . . . 66,000 94,886Series A, 2.88%, 2/1/2027 . . . 236,000 246,780Series B, 4.70%, 7/15/2033 . . 350,000 432,558Series E, 6.75%, 11/1/2025 . . 115,000 146,829

TOTAL U.S. GOVERNMENTAGENCY OBLIGATIONS(Cost $1,157,066,347) . . . . . 1,177,216,266


Treasury Bonds:2.25%, 8/15/2046 . . . . . . . . 2,506,000 2,367,3872.50%, 2/15/2045 . . . . . . . . 3,399,000 3,386,2542.50%, 2/15/2046 . . . . . . . . 3,681,800 3,662,2402.50%, 5/15/2046 . . . . . . . . 2,850,000 2,833,9692.75%, 8/15/2042 . . . . . . . . 5,251,000 5,509,448


2.75%, 11/15/2042. . . . . . . . $ 19,282,000 $ 20,209,9462.75%, 8/15/2047 . . . . . . . . 7,400,000 7,722,5942.75%, 11/15/2047. . . . . . . . 17,200,000 17,952,5002.88%, 5/15/2043 . . . . . . . . 1,900,000 2,032,1092.88%, 8/15/2045 . . . . . . . . 3,700,000 3,954,3752.88%, 11/15/2046. . . . . . . . 2,109,700 2,257,7093.00%, 11/15/2044. . . . . . . . 1,464,000 1,599,1913.00%, 5/15/2045 . . . . . . . . 200,000 218,7193.00%, 11/15/2045. . . . . . . . 2,900,000 3,173,6883.00%, 2/15/2047 . . . . . . . . 6,450,000 7,072,8283.00%, 5/15/2047 . . . . . . . . 10,200,000 11,172,1873.00%, 2/15/2048 . . . . . . . . 13,150,000 14,403,3593.00%, 8/15/2048 . . . . . . . . 20,450,000 22,427,8983.00%, 2/15/2049 . . . . . . . . 7,100,000 7,798,9063.13%, 11/15/2041. . . . . . . . 2,518,000 2,817,7993.13%, 2/15/2042 . . . . . . . . 2,197,000 2,456,5213.13%, 2/15/2043 . . . . . . . . 1,240,000 1,382,7943.13%, 8/15/2044 . . . . . . . . 2,078,000 2,318,2693.13%, 5/15/2048 . . . . . . . . 14,000,000 15,710,6253.38%, 5/15/2044 . . . . . . . . 2,164,000 2,514,9743.38%, 11/15/2048. . . . . . . . 9,500,000 11,183,2813.50%, 2/15/2039 . . . . . . . . 700,000 831,2503.63%, 8/15/2043 . . . . . . . . 3,950,000 4,767,7733.63%, 2/15/2044 . . . . . . . . 1,940,000 2,344,0663.75%, 8/15/2041 . . . . . . . . 150,000 184,1723.75%, 11/15/2043. . . . . . . . 3,762,000 4,631,3753.88%, 8/15/2040 . . . . . . . . 150,000 187,3364.25%, 11/15/2040. . . . . . . . 400,000 524,7504.38%, 2/15/2038 . . . . . . . . 2,235,000 2,954,0414.38%, 11/15/2039. . . . . . . . 500,000 664,6884.38%, 5/15/2040 . . . . . . . . 10,350,000 13,780,0554.38%, 5/15/2041 . . . . . . . . 1,500,000 2,002,9694.50%, 2/15/2036 . . . . . . . . 502,000 662,2484.50%, 5/15/2038 . . . . . . . . 5,000,000 6,715,6254.63%, 2/15/2040 . . . . . . . . 34,770,000 47,732,6914.75%, 2/15/2037 . . . . . . . . 546,000 747,5084.75%, 2/15/2041 . . . . . . . . 5,400,000 7,555,7815.25%, 11/15/2028. . . . . . . . 262,000 334,9925.25%, 2/15/2029 . . . . . . . . 250,000 321,0165.50%, 8/15/2028 . . . . . . . . 452,000 584,7046.13%, 11/15/2027. . . . . . . . 686,000 907,0216.25%, 8/15/2023 . . . . . . . . 300,000 353,4616.50%, 11/15/2026. . . . . . . . 1,054,000 1,386,1756.88%, 8/15/2025 . . . . . . . . 50,000 64,4927.13%, 2/15/2023 . . . . . . . . 524,000 622,4557.50%, 11/15/2024. . . . . . . . 6,100,000 7,869,4777.88%, 2/15/2021 . . . . . . . . 172,000 188,4888.75%, 8/15/2020 . . . . . . . . 345,000 370,983

Treasury Notes:1.13%, 2/28/2021 . . . . . . . . 6,700,000 6,624,8871.13%, 6/30/2021 . . . . . . . . 400,000 395,1411.13%, 9/30/2021 . . . . . . . . 3,199,600 3,157,3551.25%, 3/31/2021 . . . . . . . . 4,105,600 4,067,5911.25%, 10/31/2021. . . . . . . . 1,950,000 1,928,3671.38%, 8/31/2020 . . . . . . . . 4,380,000 4,353,138


60


1.38%, 1/31/2021 . . . . . . . . $ 3,300,000 $ 3,277,0551.38%, 4/30/2021 . . . . . . . . 6,624,000 6,575,6141.38%, 5/31/2021 . . . . . . . . 600,000 595,5701.38%, 6/30/2023 . . . . . . . . 4,000,000 3,944,6881.50%, 7/15/2020 . . . . . . . . 3,250,000 3,235,1461.50%, 8/15/2020 . . . . . . . . 7,125,000 7,092,1581.50%, 1/31/2022 . . . . . . . . 850,000 845,2191.50%, 2/28/2023 . . . . . . . . 23,770,000 23,580,5831.50%, 3/31/2023 . . . . . . . . 1,796,000 1,781,2671.50%, 8/15/2026 . . . . . . . . 2,392,000 2,331,4531.63%, 7/31/2020 . . . . . . . . 250,000 249,1801.63%, 10/15/2020. . . . . . . . 9,150,000 9,121,0491.63%, 11/30/2020. . . . . . . . 2,000,000 1,993,7501.63%, 8/15/2022 . . . . . . . . 1,972,000 1,965,9921.63%, 8/31/2022 . . . . . . . . 9,000,000 8,971,1721.63%, 11/15/2022. . . . . . . . 3,964,000 3,950,6831.63%, 4/30/2023 . . . . . . . . 1,100,000 1,095,6171.63%, 5/31/2023 . . . . . . . . 884,000 880,5471.63%, 10/31/2023. . . . . . . . 4,730,000 4,706,3501.63%, 5/15/2026 . . . . . . . . 300,000 295,2191.75%, 10/31/2020. . . . . . . . 1,900,000 1,896,8831.75%, 11/15/2020. . . . . . . . 9,825,000 9,811,1841.75%, 12/31/2020. . . . . . . . 1,000,000 998,7501.75%, 3/31/2022 . . . . . . . . 500,000 500,3131.75%, 5/15/2022 . . . . . . . . 3,432,000 3,434,4131.75%, 5/31/2022 . . . . . . . . 3,650,000 3,652,5661.75%, 6/30/2022 . . . . . . . . 8,450,000 8,460,5621.75%, 9/30/2022 . . . . . . . . 2,470,000 2,471,7371.75%, 1/31/2023 . . . . . . . . 2,100,000 2,101,4771.75%, 5/15/2023 . . . . . . . . 3,610,000 3,612,2561.88%, 12/15/2020. . . . . . . . 20,400,000 20,410,3591.88%, 1/31/2022 . . . . . . . . 5,399,600 5,418,5831.88%, 2/28/2022 . . . . . . . . 3,750,000 3,764,0631.88%, 3/31/2022 . . . . . . . . 2,600,000 2,611,5781.88%, 4/30/2022 . . . . . . . . 4,850,000 4,869,7031.88%, 7/31/2022 . . . . . . . . 8,200,000 8,237,1561.88%, 8/31/2022 . . . . . . . . 2,330,000 2,340,5581.88%, 9/30/2022 . . . . . . . . 14,900,000 14,973,3361.88%, 10/31/2022. . . . . . . . 47,000 47,2311.88%, 8/31/2024 . . . . . . . . 2,150,000 2,160,5822.00%, 7/31/2020 . . . . . . . . 634,000 634,4212.00%, 9/30/2020 . . . . . . . . 400,000 400,5942.00%, 11/30/2020. . . . . . . . 3,300,000 3,307,0902.00%, 1/15/2021 . . . . . . . . 9,900,000 9,925,5232.00%, 2/28/2021 . . . . . . . . 518,000 519,5782.00%, 5/31/2021 . . . . . . . . 300,000 301,3012.00%, 8/31/2021 . . . . . . . . 1,913,600 1,923,7662.00%, 10/31/2021. . . . . . . . 2,800,000 2,817,0632.00%, 11/15/2021. . . . . . . . 1,103,800 1,110,9572.00%, 12/31/2021. . . . . . . . 6,275,000 6,317,6502.00%, 2/15/2022 . . . . . . . . 780,000 785,4842.00%, 10/31/2022. . . . . . . . 31,400,000 31,677,2032.00%, 11/30/2022. . . . . . . . 5,045,000 5,090,7202.00%, 2/15/2023 . . . . . . . . 9,040,000 9,125,4562.00%, 2/15/2025 . . . . . . . . 3,206,000 3,238,561


2.00%, 8/15/2025 . . . . . . . . $ 200,000 $ 201,9062.13%, 8/31/2020 . . . . . . . . 994,000 996,3692.13%, 1/31/2021 . . . . . . . . 650,000 653,0212.13%, 5/31/2021 . . . . . . . . 6,000,000 6,041,0162.13%, 6/30/2021 . . . . . . . . 1,000,000 1,007,2662.13%, 8/15/2021 . . . . . . . . 3,201,600 3,226,1122.13%, 9/30/2021 . . . . . . . . 475,000 479,0452.13%, 12/31/2021. . . . . . . . 809,800 817,5822.13%, 5/15/2022 . . . . . . . . 5,542,000 5,604,3472.13%, 6/30/2022 . . . . . . . . 500,000 505,9382.13%, 12/31/2022. . . . . . . . 3,000,000 3,041,0162.13%, 11/30/2023. . . . . . . . 2,000,000 2,031,8752.13%, 2/29/2024 . . . . . . . . 4,000,000 4,066,2502.13%, 7/31/2024 . . . . . . . . 2,600,000 2,644,0782.13%, 9/30/2024 . . . . . . . . 1,550,000 1,576,1562.13%, 11/30/2024. . . . . . . . 7,000,000 7,119,7662.13%, 5/15/2025 . . . . . . . . 4,549,000 4,625,7642.13%, 5/31/2026 . . . . . . . . 4,600,000 4,676,1872.25%, 2/15/2021 . . . . . . . . 10,900,000 10,974,9372.25%, 3/31/2021 . . . . . . . . 21,483,600 21,652,2802.25%, 4/30/2021 . . . . . . . . 1,000,000 1,008,5162.25%, 7/31/2021 . . . . . . . . 800,000 808,0002.25%, 4/15/2022 . . . . . . . . 7,400,000 7,504,6412.25%, 12/31/2023. . . . . . . . 1,854,000 1,894,1222.25%, 1/31/2024 . . . . . . . . 3,600,000 3,678,4692.25%, 4/30/2024 . . . . . . . . 18,350,000 18,767,1762.25%, 10/31/2024. . . . . . . . 10,000,000 10,232,8122.25%, 11/15/2024. . . . . . . . 12,344,000 12,631,3842.25%, 12/31/2024. . . . . . . . 15,000,000 15,352,7342.25%, 11/15/2025. . . . . . . . 1,400,000 1,433,7972.25%, 2/15/2027 . . . . . . . . 9,176,000 9,403,9662.25%, 8/15/2027 . . . . . . . . 6,600,000 6,759,8442.25%, 11/15/2027. . . . . . . . 19,050,000 19,502,4372.38%, 12/31/2020. . . . . . . . 2,542,000 2,562,1572.38%, 3/15/2021 . . . . . . . . 10,000,000 10,097,2662.38%, 4/15/2021 . . . . . . . . 6,925,000 6,995,8732.38%, 3/15/2022 . . . . . . . . 23,500,000 23,918,5942.38%, 1/31/2023 . . . . . . . . 14,900,000 15,232,9222.38%, 2/29/2024 . . . . . . . . 3,500,000 3,598,7112.38%, 8/15/2024 . . . . . . . . 2,955,000 3,041,3412.38%, 4/30/2026 . . . . . . . . 13,300,000 13,734,3282.38%, 5/15/2027 . . . . . . . . 12,600,000 13,027,2192.38%, 5/15/2029 (b) . . . . . . 14,000,000 14,468,1252.50%, 12/31/2020. . . . . . . . 35,300,000 35,644,7272.50%, 1/31/2021 . . . . . . . . 5,150,000 5,204,3162.50%, 2/28/2021 . . . . . . . . 20,100,000 20,327,6952.50%, 1/15/2022 . . . . . . . . 18,000,000 18,341,7192.50%, 2/15/2022 . . . . . . . . 5,500,000 5,608,2812.50%, 3/31/2023 . . . . . . . . 7,300,000 7,503,6022.50%, 8/15/2023 . . . . . . . . 2,308,000 2,377,9612.50%, 1/31/2024 . . . . . . . . 20,700,000 21,380,8362.50%, 5/15/2024 . . . . . . . . 9,694,000 10,027,9892.50%, 1/31/2025 . . . . . . . . 15,650,000 16,229,5392.63%, 7/31/2020 . . . . . . . . 7,900,000 7,958,6332.63%, 8/15/2020 . . . . . . . . 4,374,000 4,408,343


61


2.63%, 8/31/2020 . . . . . . . . $ 7,600,000 $ 7,662,3442.63%, 11/15/2020. . . . . . . . 11,696,000 11,816,6152.63%, 5/15/2021 . . . . . . . . 6,900,000 7,007,0042.63%, 6/15/2021 . . . . . . . . 6,000,000 6,100,5472.63%, 7/15/2021 . . . . . . . . 6,050,000 6,155,4022.63%, 12/15/2021. . . . . . . . 10,025,000 10,245,0802.63%, 2/28/2023 . . . . . . . . 14,050,000 14,494,5512.63%, 6/30/2023 . . . . . . . . 8,700,000 8,999,0622.63%, 12/31/2023. . . . . . . . 9,200,000 9,547,1562.63%, 3/31/2025 . . . . . . . . 3,210,000 3,351,6912.63%, 12/31/2025. . . . . . . . 11,000,000 11,519,0622.63%, 1/31/2026 . . . . . . . . 48,000,000 50,280,0002.63%, 2/15/2029 . . . . . . . . 20,650,000 21,776,0702.75%, 9/30/2020 . . . . . . . . 10,750,000 10,863,7992.75%, 11/30/2020. . . . . . . . 19,200,000 19,441,5002.75%, 8/15/2021 . . . . . . . . 6,350,000 6,481,9612.75%, 9/15/2021 . . . . . . . . 6,300,000 6,440,2732.75%, 4/30/2023 . . . . . . . . 23,400,000 24,279,3282.75%, 5/31/2023 . . . . . . . . 30,350,000 31,511,8362.75%, 7/31/2023 . . . . . . . . 4,150,000 4,314,7032.75%, 8/31/2023 . . . . . . . . 17,100,000 17,792,0162.75%, 11/15/2023. . . . . . . . 10,383,000 10,820,2222.75%, 2/15/2024 . . . . . . . . 4,618,000 4,822,5632.75%, 2/28/2025 . . . . . . . . 10,000,000 10,505,4692.75%, 6/30/2025 . . . . . . . . 10,500,000 11,050,4302.75%, 8/31/2025 . . . . . . . . 6,600,000 6,951,1412.75%, 2/15/2028 . . . . . . . . 5,550,000 5,901,2112.88%, 10/31/2020. . . . . . . . 31,050,000 31,457,5312.88%, 10/15/2021. . . . . . . . 7,050,000 7,229,5552.88%, 11/15/2021. . . . . . . . 10,000,000 10,264,0622.88%, 9/30/2023 . . . . . . . . 14,100,000 14,751,0242.88%, 10/31/2023. . . . . . . . 7,750,000 8,113,8872.88%, 11/30/2023. . . . . . . . 11,750,000 12,313,6332.88%, 4/30/2025 . . . . . . . . 2,100,000 2,222,3912.88%, 5/31/2025 . . . . . . . . 10,200,000 10,800,0472.88%, 7/31/2025 . . . . . . . . 7,050,000 7,472,4492.88%, 11/30/2025. . . . . . . . 10,000,000 10,620,3122.88%, 5/15/2028 . . . . . . . . 12,950,000 13,907,0862.88%, 8/15/2028 . . . . . . . . 13,300,000 14,293,3442.88%, 5/15/2049 . . . . . . . . 12,800,000 13,732,0003.00%, 9/30/2025 . . . . . . . . 5,200,000 5,555,0623.00%, 10/31/2025. . . . . . . . 25,000,000 26,720,7033.13%, 5/15/2021 . . . . . . . . 348,400 356,9603.13%, 11/15/2028. . . . . . . . 13,100,000 14,369,0623.63%, 2/15/2021 . . . . . . . . 11,356,000 11,682,041


MUNICIPAL BONDS & NOTES — 0.4%CALIFORNIA — 0.1%California, Bay Area Toll Authority

RevenueSeries S1-SUB, 7.04%, 4/1/2050 . 100,000 161,407

California, State GeneralObligation:


2.80%, 4/1/2021 . . . . . . . . . . .$ 135,000 $ 137,1073.38%, 4/1/2025 . . . . . . . . . . . 155,000 165,0463.50%, 4/1/2028 . . . . . . . . . . . 200,000 215,9044.50%, 4/1/2033 . . . . . . . . . . . 250,000 282,7204.60%, 4/1/2038 . . . . . . . . . . . 150,000 163,7947.30%, 10/1/2039 . . . . . . . . . . 295,000 443,4297.35%, 11/1/2039 . . . . . . . . . . 110,000 166,3197.50%, 4/1/2034 . . . . . . . . . . . 275,000 415,0857.55%, 4/1/2039 . . . . . . . . . . . 297,000 470,1877.63%, 3/1/2040 . . . . . . . . . . . 90,000 142,015

California, State UniversitySeries B, 3.90%, 11/1/2047 . . . . 100,000 108,261

Los Angeles, CA, Department ofWater & Power Revenue:6.57%, 7/1/2045 . . . . . . . . . . . 150,000 227,9646.60%, 7/1/2050 . . . . . . . . . . . 260,000 409,412

Los Angeles, CA, Unified SchoolDistrict, General Obligation:5.75%, 7/1/2034 . . . . . . . . . . . 150,000 191,485Series RY, 6.76%, 7/1/2034 . . . . 250,000 342,807

San Francisco, CA, Bay Area TollAuthority, Toll Bridge RevenueSeries F-2, 6.26%, 4/1/2049 . . . . 235,000 352,350

State of California Department ofWater Res. Power SupplyRevenueSeries P, 2.00%, 5/1/2022 . . . . . 169,000 169,144

University of California:Series AD, 4.86%, 5/15/2112 . . . 450,000 546,201Series AQ, 4.77%, 5/15/2115 . . . 75,000 88,333Series AX, 3.06%, 7/1/2025 . . . . 100,000 103,843Series BD, 3.35%, 7/1/2029 . . . . 300,000 317,994

5,620,807

CONNECTICUT — 0.0% (a)Connecticut, State General

Obligation5.09%, 10/1/2030 . . . . . . . . . . 100,000 115,296

GEORGIA — 0.0% (a)Georgia, Municipal Electric

Authority Revenue:6.64%, 4/1/2057 . . . . . . . . . . . 174,000 209,0496.66%, 4/1/2057 . . . . . . . . . . . 98,000 128,0617.06%, 4/1/2057 . . . . . . . . . . . 299,000 378,465

715,575

ILLINOIS — 0.1%Chicago O’Hare International

AirportSeries C, 4.47%, 1/1/2049 . . . . . 500,000 586,795

Chicago Transit AuthoritySeries B, 6.90%, 12/1/2040 . . . . 70,000 94,837

Chicago, IL, Metropolitan WaterReclamation District, GeneralObligation5.72%, 12/1/2038 . . . . . . . . . . 75,000 97,213

City of Chicago IL:


62


Series B, 6.31%, 1/1/2044 . . . . .$ 100,000 $ 108,060Series B, 7.38%, 1/1/2033 . . . . . 35,000 41,603Series B, 7.75%, 1/1/2042 . . . . . 41,000 52,809

Sales Tax Securitization Corp.:Series A, 4.64%, 1/1/2040 . . . . . 100,000 110,272Series A, 4.79%, 1/1/2048 . . . . . 100,000 113,818Series B, 3.82%, 1/1/2048 . . . . . 100,000 98,379

State of Illinois:4.95%, 6/1/2023 . . . . . . . . . . . 261,818 274,0355.10%, 6/1/2033 . . . . . . . . . . . 670,000 705,5647.35%, 7/1/2035 . . . . . . . . . . . 500,000 589,615

2,873,000

KANSAS — 0.0% (a)Kansas Development Finance

AuthoritySeries H, 4.93%, 4/15/2045 . . . . 50,000 61,304

MASSACHUSETTS — 0.0% (a)Commonwealth of Massachusetts:

4.91%, 5/1/2029 . . . . . . . . . . . 100,000 117,1245.46%, 12/1/2039 . . . . . . . . . . 400,000 510,412

Commonwealth of MassachusettsTransportation Fund Revenue5.73%, 6/1/2040 . . . . . . . . . . . 50,000 65,845

693,381

MISSISSIPPI — 0.0% (a)Mississippi, State General

Obligation5.25%, 11/1/2034 . . . . . . . . . . 100,000 122,010

MISSOURI — 0.0% (a)Health & Educational Facilities

Authority of the State ofMissouri3.65%, 8/15/2057 . . . . . . . . . . 190,000 199,544

NEW JERSEY — 0.0% (a)New Jersey Economic Development

AuthoritySeries A, 7.43%, 2/15/2029 (g) . . 275,000 347,380

New Jersey Transportation TrustRevenueSeries C, 6.10%, 12/15/2028 . . . 100,000 104,087

New Jersey Turnpike AuthorityRevenueSeries A, 7.10%, 1/1/2041 . . . . . 325,000 489,161

Rutgers, State University of NewJersey5.67%, 5/1/2040 . . . . . . . . . . . 205,000 265,911

1,206,539

NEW YORK — 0.1%New York, NY, City Municipal

Water Finance Authority, Water& Sewer System Revenue5.72%, 6/15/2042 . . . . . . . . . . 215,000 301,473


New York, NY, City TransitionalFinance Authority Revenue5.51%, 8/1/2037 . . . . . . . . . . .$ 100,000 $ 127,855

New York, NY, General Obligation:5.52%, 10/1/2037 . . . . . . . . . . 85,000 110,307Series A2, 5.21%, 10/1/2031 . . . 100,000 119,196

New York, NY, MetropolitanTransportation AuthorityRevenue6.67%, 11/15/2039 . . . . . . . . . 150,000 209,508

New York, State DormitoryAuthority, State Personal IncomeTax Revenue5.63%, 3/15/2039 . . . . . . . . . . 105,000 130,035

New York, State UrbanDevelopment Corp.Series B, 3.90%, 3/15/2033 . . . . 250,000 268,372

Port Authority of New York & NewJersey:4.03%, 9/1/2048 . . . . . . . . . . . 350,000 394,3414.93%, 10/1/2051 . . . . . . . . . . 220,000 277,099Series 192, 4.81%, 10/15/2065 . . 150,000 186,960Series 20, 4.23%, 10/15/2057 . . . 125,000 144,888

2,270,034

OHIO — 0.0% (a)Ohio State University, General

Receipts Revenue4.91%, 6/1/2040 . . . . . . . . . . . 100,000 124,162

Ohio, American Municipal Power,Inc. RevenueSeries B, 8.08%, 2/15/2050 . . . . 200,000 347,758

471,920

OREGON — 0.0% (a)Oregon School Boards Association

Series B, 5.68%, 6/30/2028 (g) . . 100,000 120,556

PENNSYLVANIA — 0.0% (a)Pennsylvania, Turnpike Commission

RevenueSeries B, 5.51%, 12/1/2045 . . . . 75,000 98,842

State Public School BuildingAuthority5.00%, 9/15/2027 . . . . . . . . . . 95,000 109,141

207,983

SOUTH CAROLINA — 0.0% (a)California, State Public Service

AuthoritySeries D, 2.39%, 12/1/2023 . . . . 100,000 99,149

TENNESSEE — 0.0% (a)Metropolitan Government Nashville

& Davidson County, TN, Health& Educational Facilities Revenue4.05%, 7/1/2026 . . . . . . . . . . . 10,000 10,777

TEXAS — 0.1%City of Houston TX:


63


3.96%, 3/1/2047 . . . . . . . . . . .$ 700,000 $ 766,8016.29%, 3/1/2032 . . . . . . . . . . . 100,000 122,583

Dallas, TX, Convention CenterHotel Development Corp.Revenue7.09%, 1/1/2042 . . . . . . . . . . . 165,000 228,528

North Texas, Tollway AuthorityRevenue6.72%, 1/1/2049 . . . . . . . . . . . 50,000 77,561

San Antonio, TX, Public ServiceBoard Revenue5.99%, 2/1/2039 . . . . . . . . . . . 75,000 101,417

Texas, State General Obligation5.52%, 4/1/2039 . . . . . . . . . . . 100,000 132,786

Texas, State TransportationCommission RevenueSeries B-BUILD, 5.18%,4/1/2030 . . . . . . . . . . . . . . . . 110,000 132,887

University of Texas SystemSeries A, 3.35%, 8/15/2047 . . . . 100,000 101,662

1,664,225

WASHINGTON — 0.0% (a)Washington, State General

Obligation5.14%, 8/1/2040 . . . . . . . . . . . 200,000 251,558

WISCONSIN — 0.0% (a)State of Wisconsin

Series C, 3.15%, 5/1/2027 . . . . . 160,000 167,370

TOTAL MUNICIPAL BONDS & NOTES(Cost $15,308,798). . . . . . . . . . . . . . . . . . . . 16,871,028

MORTGAGE-BACKEDSECURITIES — 1.2%

BANK 2017-BNK6 Series2017-BNK6, Class ASB,3.29%, 7/15/2060 . . . . . . . . 430,000 447,286

BANK 2017-BNK7 Series2017-BNK7, Class A4, 3.18%,9/15/2060 . . . . . . . . . . . . . 300,000 310,112

BANK 2018-BNK13 Series2018-BN13, Class A5, 4.22%,8/15/2061 (d) . . . . . . . . . . . 390,000 434,419

BANK 2018-BNK14 Series2018-BN14, Class A4, 4.23%,9/15/2060 . . . . . . . . . . . . . 286,660 320,346

BANK 2018-BNK15 Series2018-BN15, Class A4, 4.41%,11/15/2061 (d) . . . . . . . . . . 400,000 452,765

BANK 2019-BNK18 Series2019-BN18, Class A4, 3.58%,5/15/2062 . . . . . . . . . . . . . 500,000 533,699

Barclays Commercial MortgageTrust Series 2019-C3,Class A4, 3.58%, 5/15/2052 . . 500,000 531,611

BENCHMARK Mortgage Trust:Series 2018-B2, Class A5,

3.88%, 2/15/2051. . . . . . . 695,000 755,469


Series 2018-B3, Class A5,4.03%, 4/10/2051. . . . . . . $ 350,000 $ 385,162

Series 2018-B6, Class A4,4.26%, 10/10/2051 . . . . . . 300,000 336,293

Series 2019-B11, Class A5,3.54%, 5/15/2052. . . . . . . 500,000 531,706

Series 2019-B9, Class A5,4.02%, 3/15/2052. . . . . . . 342,857 378,184

CD Mortgage Trust Series2017-CD6, Class A5, 3.46%,11/13/2050. . . . . . . . . . . . . 255,000 269,716

CFCRE Commercial MortgageTrust Series 2016-C3,Class A3, 3.87%, 1/10/2048 . . 350,000 375,980

Citigroup Commercial MortgageTrust:Series 2012-GC8, Class A4,

3.02%, 9/10/2045. . . . . . . 485,082 494,785Series 2014-GC25, Class A3,

3.37%, 10/10/2047 . . . . . . 500,000 521,728Series 2015-GC33, Class A4,

3.78%, 9/10/2058. . . . . . . 1,200,000 1,281,082Series 2017-P8, Class A4,

3.47%, 9/15/2050. . . . . . . 500,000 527,245COMM Mortgage Trust:

Series 2012-CR3, Class A3,2.82%, 10/15/2045 . . . . . . 488,940 496,846

Series 2012-LC4, Class AM,4.06%, 12/10/2044 . . . . . . 1,500,000 1,550,774

Series 2013-CR13, Class A4,4.19%, 11/10/2046 (d). . . . 400,000 429,180

Series 2013-CR8, Class A4,3.33%, 6/10/2046. . . . . . . 330,676 341,203

Series 2014-UBS3, Class A4,3.82%, 6/10/2047. . . . . . . 500,000 531,344

Series 2015-CR24, Class A5,3.70%, 8/10/2048. . . . . . . 500,000 531,997

Series 2015-LC21, Class A3,3.45%, 7/10/2048. . . . . . . 455,000 477,816

Series 2017-COR2, Class A3,3.51%, 9/10/2050. . . . . . . 650,000 688,925

Series 2018-COR3, Class A3,4.23%, 5/10/2051. . . . . . . 1,000,000 1,112,424

Commercial Mortgage PassThrough Certificates Series2014-CR14, Class A3, 3.96%,2/10/2047 . . . . . . . . . . . . . 500,000 532,097

CSAIL Commercial MortgageTrust:Series 2017-C8, Class A4,

3.39%, 6/15/2050. . . . . . . 500,000 523,344Series 2017-CX10, Class A5,

3.46%, 11/15/2050 (d). . . . 500,000 525,421Series 2018-C14, Class A4,

4.42%, 11/15/2051 (d). . . . 500,000 560,971Series 2018-CX12, Class A4,

4.22%, 8/15/2051 (d) . . . . 500,000 556,465


64


GS Mortgage Securities Corp. IISeries 2015-GC30, Class A4,3.38%, 5/10/2050 . . . . . . . . $ 1,600,000 $ 1,671,610

GS Mortgage Securities Trust:Series 2017-GS5, Class A3,

3.41%, 3/10/2050. . . . . . . 1,000,000 1,051,235Series 2017-GS6, Class A3,

3.43%, 5/10/2050. . . . . . . 500,000 526,739Series 2017-GS7, Class A4,

3.43%, 8/10/2050. . . . . . . 500,000 525,924Series 2019-GC38, Class A4,

VRN, 3.97%, 2/10/2052. . . 750,000 823,241JP Morgan Chase Commercial

Mortgage Securities Trust:Series 2012-C6, Class ASB,

3.14%, 5/15/2045. . . . . . . 158,529 160,747Series 2013-C10, Class A5,

3.14%, 12/15/2047 . . . . . . 498,563 512,186Series 2013-C16, Class AS,

4.52%, 12/15/2046 . . . . . . 1,000,000 1,082,800Series 2015-JP1, Class AS,

VRN, 4.12%, 1/15/2049(d) . . . . . . . . . . . . . . . . 1,250,000 1,339,766

JPMBB Commercial MortgageSecurities Trust:Series 2014-C22, Class A3A1,

3.54%, 9/15/2047. . . . . . . 500,000 519,894Series 2014-C22, Class A4,

3.80%, 9/15/2047. . . . . . . 1,500,000 1,591,648Series 2017-C7, Class A5,

3.41%, 10/15/2050 . . . . . . 500,000 525,244Series 2015-C29, Class B,

VRN, 4.12%, 5/15/2048(d) . . . . . . . . . . . . . . . . 500,000 523,744

JPMDB Commercial MortgageSecurities Trust Series2017-C5, Class ASB, 3.49%,3/15/2050 . . . . . . . . . . . . . 500,000 524,912

Morgan Stanley Bank of AmericaMerrill Lynch Trust:Series 2013-C11, Class A3,

3.96%, 8/15/2046. . . . . . . 480,265 508,000Series 2013-C7, Class B,

3.77%, 2/15/2046. . . . . . . 500,000 513,242Series 2015-C23, Class A3,

3.45%, 7/15/2050. . . . . . . 500,000 525,512Series 2015-C23, Class A4,

3.72%, 7/15/2050. . . . . . . 800,000 853,146Series 2015-C26, Class A5,

3.53%, 10/15/2048 . . . . . . 1,000,000 1,052,848Series 2016-C29, Class A2,

2.79%, 5/15/2049. . . . . . . 450,000 452,376Series 2013-C10, Class A3,

VRN, 4.10%, 7/15/2046(d) . . . . . . . . . . . . . . . . 473,444 501,452

Morgan Stanley Capital I Series2017-HR2, Class A4, 3.59%,12/15/2050. . . . . . . . . . . . . 750,000 795,894


Morgan Stanley Capital I Trust:Series 2015-UBS8, Class A3,

3.54%, 12/15/2048 . . . . . . $ 500,000 $ 527,607Series 2018-H3, Class A5,

4.18%, 7/15/2051. . . . . . . 500,000 556,602UBS Commercial Mortgage

Trust:Series 2017-C4, Class A4,

3.56%, 10/15/2050 . . . . . . 325,000 344,112Series 2017-C7, Class A4,

3.68%, 12/15/2050 . . . . . . 500,000 533,416Series 2018-C10, Class A4,

4.31%, 5/15/2051. . . . . . . 500,000 556,123Series 2018-C14, Class A3,

4.18%, 12/15/2051 . . . . . . 1,500,000 1,662,225Series 2018-C8, Class A4,

3.98%, 2/15/2051. . . . . . . 300,000 327,576UBS-Barclays Commercial

Mortgage Trust Series2013-C5, Class A4, 3.18%,3/10/2046 . . . . . . . . . . . . . 400,000 411,677

Wells Fargo CommercialMortgage Trust:Series 2014-LC16, Class AS,

4.02%, 8/15/2050. . . . . . . 500,000 529,357Series 2015-LC22, Class ASB,

3.57%, 9/15/2058. . . . . . . 543,000 566,366Series 2015-P2, Class A4,

3.81%, 12/15/2048 . . . . . . 1,335,000 1,432,380Series 2017-C38, Class A5,

3.45%, 7/15/2050. . . . . . . 500,000 525,848Series 2017-C41, Class A4,

3.47%, 11/15/2050 . . . . . . 300,000 315,965Series 2017-C42, Class A3,

3.33%, 12/15/2050 . . . . . . 500,000 521,024Series 2018-C45, Class A4,

4.18%, 6/15/2051. . . . . . . 500,000 553,354Series 2019-C49, Class A5,

4.02%, 3/15/2052. . . . . . . 800,000 877,257WFRBS Commercial Mortgage

Trust:Series 2011-C5, Class A4,

3.67%, 11/15/2044 . . . . . . 320,000 328,348Series 2012-C9, Class A3,

2.87%, 11/15/2045 . . . . . . 174,549 177,504Series 2013-C12, Class ASB,

2.84%, 3/15/2048. . . . . . . 270,762 273,200Series 2014-C19, Class AS,

4.27%, 3/15/2047. . . . . . . 638,000 678,348Series 2014-C20, Class A3,

3.64%, 5/15/2047. . . . . . . 285,878 290,305Series 2013-C16, Class B,

VRN, 5.19%, 9/15/2046(d) . . . . . . . . . . . . . . . . 2,000,000 2,161,985


65


Series 2014-LC14, Class B,VRN, 4.91%, 3/15/2047(d) . . . . . . . . . . . . . . . . $500,000 $ 536,546

TOTALMORTGAGE-BACKEDSECURITIES(Cost $47,239,895) . . . . . . . 49,015,680

Shares


U.S. Government MoneyMarket Fund, Class G Shares2.35% (i) (j) . . . . . . . . . . . . 142,996,702 142,996,702

State Street Navigator SecuritiesLending Portfolio III (k) (l) . . 20,243,076 20,243,076

TOTAL SHORT-TERM INVESTMENTS(Cost $163,239,778) . . . . . . . . . . . . . . . . . . . 163,239,778


LIABILITIES IN EXCESS OF OTHERASSETS — (3.1)% . . . . . . . . . . . . . . . . . . (126,814,424)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 4,076,733,467

(a) Amount is less than 0.05% of net assets.(b) All or a portion of the shares of the security are on loan at

June 30, 2019.(c) When-issued security.(d) Variable Rate Security - Interest rate shown is rate in effect at


(e) Step-up bond - Coupon rate increases in increments to maturity.Rate shown as of June 30, 2019. Maturity date shown is the finalmaturity.

(f) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 0.5% ofnet assets as of June 30, 2019, are considered liquid and may beresold in transactions exempt from registration, normally toqualified institutional buyers.

(g) Bond is insured by Assured Guaranty Municipal Corp.,representing less than 0.05% of net assets.

(h) Security, or a portion of the security has been designated ascollateral for TBA securities.

(i) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(j) The rate shown is the annualized seven-day yield at June 30,2019.

(k) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended June 30, 2019 are shown inthe Affiliate Table below.

(l) Investment of cash collateral for securities loaned.

BKNT = Bank NotesGMTN = Global Medium Term NoteIO = Interest OnlyISDA = International Swaps and Derivatives AssociationLIBOR = London Interbank Offered RateMTN = Medium Term NoteTBA = To Be AnnouncedVRN = Variable Rate Note


66



Quoted Prices




ASSETS:INVESTMENTS:Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 18,428,533 $— $ 18,428,533

Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,050,429,381 — 1,050,429,381

Foreign Government Obligations . . . . . . . . . . . . . . . . . . . . . . . . — 146,353,444 — 146,353,444

Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . — 49,015,680 — 49,015,680

U.S. Government Agency Obligations . . . . . . . . . . . . . . . . . . . . . — 1,177,216,266 — 1,177,216,266

Municipal Bonds & Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 16,871,028 — 16,871,028

U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,581,993,781 — 1,581,993,781



Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money MarketFund, Class G Shares . . . . . . . . . . . . . . . . . . . 257,454,873 $257,454,873 $ 690,162,869 $ 804,621,040 $— $— 142,996,702 $142,996,702 $2,687,652

State Street Navigator Securities Lending GovernmentMoney Market Portfolio . . . . . . . . . . . . . . . . . . 23,059,826 23,059,826 211,974,285 235,034,111 — — — — 64,541

State Street Navigator Securities Lending Portfolio III . . . . — — 138,947,369 118,704,293 — — 20,243,076 20,243,076 18,554

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $280,514,699 $1,041,084,523 $1,158,359,444 $— $— $163,239,778 $2,770,747


67 ARSPAB



ADVERTISING — 0.3%Interpublic Group of Cos., Inc.:

3.50%, 10/1/2020 . . . . . . . . $ 819,000 $ 829,7703.75%, 10/1/2021 . . . . . . . . 1,180,000 1,212,8633.75%, 2/15/2023 (a) . . . . . . 646,000 673,1254.20%, 4/15/2024 (a) . . . . . . 437,000 470,1554.65%, 10/1/2028 . . . . . . . . 891,000 969,934

Omnicom Group, Inc./OmnicomCapital, Inc.:3.60%, 4/15/2026 . . . . . . . . 2,805,000 2,869,8233.63%, 5/1/2022 . . . . . . . . . 1,431,000 1,476,1913.65%, 11/1/2024 . . . . . . . . 733,000 766,6894.45%, 8/15/2020 . . . . . . . . 542,000 554,152

WPP Finance 2010:3.63%, 9/7/2022 . . . . . . . . . 593,000 610,6303.75%, 9/19/2024 . . . . . . . . 560,500 579,6194.75%, 11/21/2021. . . . . . . . 1,359,000 1,424,504

12,437,455


Boeing Co8.75%, 8/15/2021 . . . . . . . . 458,000 516,665

Boeing Co.:1.65%, 10/30/2020. . . . . . . . 456,000 451,9371.88%, 6/15/2023 . . . . . . . . 438,000 429,8182.13%, 3/1/2022 . . . . . . . . . 492,000 490,4902.25%, 6/15/2026 . . . . . . . . 283,000 276,9922.35%, 10/30/2021. . . . . . . . 278,000 278,9282.60%, 10/30/2025. . . . . . . . 690,000 691,9872.70%, 5/1/2022 . . . . . . . . . 440,000 446,3102.80%, 3/1/2023 . . . . . . . . . 545,000 554,1942.80%, 3/1/2024 . . . . . . . . . 746,000 757,6972.80%, 3/1/2027 . . . . . . . . . 587,000 590,7392.85%, 10/30/2024. . . . . . . . 507,000 516,2683.10%, 5/1/2026 . . . . . . . . . 1,074,000 1,107,0043.20%, 3/1/2029 (a) . . . . . . . 1,098,000 1,136,8803.25%, 3/1/2028 . . . . . . . . . 510,000 529,5133.45%, 11/1/2028 . . . . . . . . 681,000 718,114

Embraer Netherlands FinanceB.V.:5.05%, 6/15/2025 . . . . . . . . 1,798,000 1,942,6495.40%, 2/1/2027 . . . . . . . . . 1,182,000 1,311,547

Embraer SA5.15%, 6/15/2022 . . . . . . . . 289,000 306,190

General Dynamics Corp.:1.88%, 8/15/2023 (a) . . . . . . 630,000 622,0812.13%, 8/15/2026 . . . . . . . . 1,101,000 1,075,4242.25%, 11/15/2022. . . . . . . . 1,377,000 1,382,8252.38%, 11/15/2024. . . . . . . . 1,105,000 1,111,8292.63%, 11/15/2027. . . . . . . . 649,000 653,7903.00%, 5/11/2021 . . . . . . . . 2,795,000 2,839,6363.38%, 5/15/2023 . . . . . . . . 1,187,000 1,239,5723.50%, 5/15/2025 . . . . . . . . 856,000 911,084


3.75%, 5/15/2028 (a) . . . . . . $ 1,043,000 $ 1,138,2053.88%, 7/15/2021 . . . . . . . . 594,000 611,808

Harris Corp.:3.83%, 4/27/2025 . . . . . . . . 786,000 827,4384.40%, 6/15/2028 . . . . . . . . 1,023,000 1,119,254

L3 Technologies, Inc.:3.85%, 6/15/2023 . . . . . . . . 553,000 577,3213.85%, 12/15/2026. . . . . . . . 646,000 678,6043.95%, 5/28/2024 . . . . . . . . 429,000 448,9234.40%, 6/15/2028 . . . . . . . . 1,984,000 2,169,0284.95%, 2/15/2021 . . . . . . . . 1,103,000 1,139,531

Lockheed Martin Corp.:2.50%, 11/23/2020. . . . . . . . 1,823,000 1,829,6362.90%, 3/1/2025 . . . . . . . . . 739,000 760,2913.10%, 1/15/2023 . . . . . . . . 532,000 546,3913.35%, 9/15/2021 . . . . . . . . 1,384,000 1,418,2123.55%, 1/15/2026 . . . . . . . . 2,523,000 2,682,933

Northrop Grumman Corp.:2.55%, 10/15/2022. . . . . . . . 2,085,000 2,096,8642.93%, 1/15/2025 . . . . . . . . 2,200,000 2,239,8863.20%, 2/1/2027 . . . . . . . . . 817,000 836,9673.25%, 8/1/2023 . . . . . . . . . 1,676,000 1,733,0013.25%, 1/15/2028 . . . . . . . . 2,706,000 2,778,7643.50%, 3/15/2021 . . . . . . . . 951,000 970,020

Raytheon Co.:2.50%, 12/15/2022. . . . . . . . 1,841,000 1,854,2923.13%, 10/15/2020. . . . . . . . 958,000 968,5093.15%, 12/15/2024. . . . . . . . 345,000 359,0047.20%, 8/15/2027 . . . . . . . . 155,000 203,938

Rockwell Collins, Inc.:2.80%, 3/15/2022 . . . . . . . . 1,401,000 1,415,6543.20%, 3/15/2024 . . . . . . . . 891,000 916,3763.50%, 3/15/2027 (a) . . . . . . 1,809,000 1,889,4643.70%, 12/15/2023. . . . . . . . 777,000 813,814

Spirit AeroSystems, Inc.:3.85%, 6/15/2026 . . . . . . . . 419,000 422,1173.95%, 6/15/2023 . . . . . . . . 939,000 968,9924.60%, 6/15/2028 . . . . . . . . 780,000 821,956

United Technologies Corp.:1.95%, 11/1/2021 . . . . . . . . 672,000 666,5372.30%, 5/4/2022 . . . . . . . . . 701,000 700,8952.65%, 11/1/2026 . . . . . . . . 1,369,000 1,372,7922.80%, 5/4/2024 . . . . . . . . . 1,286,000 1,305,0203.10%, 6/1/2022 . . . . . . . . . 2,733,000 2,795,8593.13%, 5/4/2027 . . . . . . . . . 811,000 833,9353.35%, 8/16/2021 . . . . . . . . 649,000 663,3693.65%, 8/16/2023 . . . . . . . . 3,954,000 4,143,9503.95%, 8/16/2025 . . . . . . . . 1,959,000 2,110,4704.13%, 11/16/2028. . . . . . . . 3,963,000 4,351,4536.70%, 8/1/2028 . . . . . . . . . 500,000 643,700

79,715,336


2.63%, 9/16/2026 . . . . . . . . 844,000 812,2912.85%, 8/9/2022 . . . . . . . . . 3,359,000 3,393,027

SPDR PORTFOLIO INTERMEDIATE TERM CORPORATE BOND ETFSCHEDULE OF INVESTMENTSJune 30, 2019

1


2.95%, 5/2/2023 . . . . . . . . . $ 695,000 $ 703,2363.49%, 2/14/2022 . . . . . . . . 1,404,000 1,441,7963.80%, 2/14/2024 . . . . . . . . 1,064,000 1,109,8374.00%, 1/31/2024 (a) . . . . . . 2,044,000 2,149,7564.40%, 2/14/2026 . . . . . . . . 1,545,000 1,653,2584.75%, 5/5/2021 . . . . . . . . . 1,729,000 1,801,2384.80%, 2/14/2029 . . . . . . . . 3,804,000 4,101,853

Archer-Daniels-Midland Co.:2.50%, 8/11/2026 . . . . . . . . 1,940,000 1,941,8823.38%, 3/15/2022 . . . . . . . . 832,000 860,5714.48%, 3/1/2021 . . . . . . . . . 162,000 167,853

BAT Capital Corp.:2.30%, 8/14/2020 . . . . . . . . 48,000 47,8962.76%, 8/15/2022 . . . . . . . . 3,210,000 3,215,5213.22%, 8/15/2024 . . . . . . . . 3,929,000 3,959,6073.56%, 8/15/2027 . . . . . . . . 5,071,000 5,048,485

Bunge, Ltd. Finance Corp.:3.00%, 9/25/2022 . . . . . . . . 678,000 681,1323.25%, 8/15/2026 . . . . . . . . 1,552,000 1,502,6933.50%, 11/24/2020. . . . . . . . 331,000 334,8693.75%, 9/25/2027 . . . . . . . . 510,000 506,1194.35%, 3/15/2024 . . . . . . . . 960,000 1,004,957

Philip Morris International, Inc.:1.88%, 2/25/2021 . . . . . . . . 758,000 753,2552.13%, 5/10/2023 . . . . . . . . 1,105,000 1,092,7902.38%, 8/17/2022 . . . . . . . . 1,132,000 1,134,6942.50%, 8/22/2022 . . . . . . . . 1,100,000 1,105,0602.50%, 11/2/2022 . . . . . . . . 774,000 777,0802.63%, 2/18/2022 . . . . . . . . 1,017,000 1,024,9022.63%, 3/6/2023 . . . . . . . . . 864,000 869,6682.75%, 2/25/2026 . . . . . . . . 1,116,000 1,118,9022.88%, 5/1/2024 . . . . . . . . . 1,096,000 1,112,8242.90%, 11/15/2021. . . . . . . . 844,000 855,0823.13%, 8/17/2027 (a) . . . . . . 615,000 629,8463.13%, 3/2/2028 . . . . . . . . . 403,000 409,4443.25%, 11/10/2024. . . . . . . . 779,000 805,6113.38%, 8/11/2025 . . . . . . . . 657,000 684,6923.60%, 11/15/2023. . . . . . . . 365,000 381,7354.13%, 5/17/2021 . . . . . . . . 600,000 618,852

Reynolds American, Inc.:4.00%, 6/12/2022 . . . . . . . . 4,368,000 4,531,0144.45%, 6/12/2025 . . . . . . . . 3,347,000 3,550,2634.85%, 9/15/2023 . . . . . . . . 314,000 337,603

58,231,194


Through TrustClass A, 4.00%, 1/15/2027 . . . 1,615,966 1,678,811

American Airlines 2013-2 PassThrough TrustSeries 2013-2, Class A,4.95%, 7/15/2024 . . . . . . . . 1,174,916 1,231,876


American Airlines 2014-1 PassThrough TrustSeries A, Class A, 3.70%,4/1/2028 . . . . . . . . . . . . . . $ 537,623 $ 555,601

American Airlines 2015-1 PassThrough TrustSeries A, Class A, 3.38%,11/1/2028 . . . . . . . . . . . . . 559,539 570,181


American Airlines 2016-2 PassThrough TrustSeries AA, Class AA, 3.20%,12/15/2029. . . . . . . . . . . . . 280,640 282,773




Continental Airlines 2007-1 PassThrough TrustSeries 071A, Class A, 5.98%,10/19/2023. . . . . . . . . . . . . 609,177 645,935

Continental Airlines 2012-1 PassThrough TrustSeries A, Class A, 4.15%,10/11/2025. . . . . . . . . . . . . 89,495 93,811

Continental Airlines 2012-2 PassThrough TrustSeries 2-A, Class A, 4.00%,4/29/2026 . . . . . . . . . . . . . 1,232,215 1,287,985

Delta Air Lines 2007-1 PassThrough TrustSeries 071A, Class A, 6.82%,2/10/2024 . . . . . . . . . . . . . 474,301 522,248

Delta Air Lines 2019-1 PassThrough TrustSeries AA, Class AA, 3.20%,10/25/2025. . . . . . . . . . . . . 250,000 258,508

Delta Air Lines, Inc.:2.60%, 12/4/2020 . . . . . . . . 783,000 781,9273.40%, 4/19/2021 . . . . . . . . 1,549,000 1,570,0513.63%, 3/15/2022 . . . . . . . . 1,042,000 1,059,0373.80%, 4/19/2023 . . . . . . . . 1,415,000 1,452,6674.38%, 4/19/2028 . . . . . . . . 708,000 722,118

Latam Airlines 2015-1 PassThrough TrustSeries 2015-1, Class A,4.20%, 8/15/2029 . . . . . . . . 326,308 329,235


2


Southwest Airlines Co.:2.65%, 11/5/2020 . . . . . . . . $ 2,664,000 $ 2,675,5082.75%, 11/16/2022. . . . . . . . 95,000 95,6093.00%, 11/15/2026. . . . . . . . 930,000 932,0923.45%, 11/16/2027. . . . . . . . 425,000 437,283

Spirit Airlines Pass ThroughTrustSeries 2015-1A, Class A,4.10%, 10/1/2029 . . . . . . . . 486,827 510,701

United Airlines 2013-1 PassThrough TrustSeries A, Class A, 4.30%,2/15/2027 . . . . . . . . . . . . . 404,335 429,339

United Airlines 2014-1 PassThrough TrustSeries A, Class A, 4.00%,10/11/2027. . . . . . . . . . . . . 768,911 808,256

United Airlines 2014-2 PassThrough TrustSeries A, Class A, 3.75%,3/3/2028 . . . . . . . . . . . . . . 1,681,426 1,745,690


US Airways 2013-1 PassThrough TrustClass A, 3.95%, 5/15/2027 . . . 511,348 531,101

23,817,299

APPAREL — 0.1%NIKE, Inc.:

2.25%, 5/1/2023 . . . . . . . . . 545,000 548,6022.38%, 11/1/2026 . . . . . . . . 1,497,000 1,499,380

Ralph Lauren Corp.:2.63%, 8/18/2020 . . . . . . . . 354,000 354,5633.75%, 9/15/2025 . . . . . . . . 927,000 980,238

VF Corp.3.50%, 9/1/2021 . . . . . . . . . 521,000 534,041

3,916,824



9/9/2021 . . . . . . . . . . . . 959,000 947,799Series GMTN, 2.30%,

9/9/2026 . . . . . . . . . . . . 2,035,000 1,977,430Series GMTN, 2.65%,

2/12/2021. . . . . . . . . . . . 766,000 770,948Series GMTN, 3.15%,

1/8/2021 . . . . . . . . . . . . 475,000 481,451Series GMTN, 3.45%,

7/14/2023. . . . . . . . . . . . 432,000 450,710Series GMTN, 3.50%,

2/15/2028 (a) . . . . . . . . . 1,083,000 1,140,302Series GMTN, 3.55%,

1/12/2024. . . . . . . . . . . . 910,000 953,880


Series MTN, 1.65%,7/12/2021. . . . . . . . . . . . $ 588,000 $ 581,191

Series MTN, 2.20%,6/27/2022. . . . . . . . . . . . 998,000 997,391

Series MTN, 2.40%,6/27/2024. . . . . . . . . . . . 1,573,000 1,572,214

Series MTN, 2.45%,9/24/2020. . . . . . . . . . . . 1,221,000 1,224,016

Series MTN, 2.60%,11/16/2022 . . . . . . . . . . . 322,000 325,368

Series MTN, 2.90%,2/16/2024. . . . . . . . . . . . 641,000 653,653

Series MTN, 3.38%,12/10/2021 . . . . . . . . . . . 1,082,000 1,110,035

Series MTN, 3.63%,10/10/2023 . . . . . . . . . . . 1,179,000 1,238,952

Ford Motor Co.:4.35%, 12/8/2026 (a) . . . . . . 2,328,000 2,348,3706.63%, 10/1/2028 . . . . . . . . 1,388,000 1,565,303

Ford Motor Credit Co. LLC:2.34%, 11/2/2020 . . . . . . . . 560,000 555,4422.98%, 8/3/2022 . . . . . . . . . 905,000 895,8693.10%, 5/4/2023 . . . . . . . . . 1,602,000 1,574,9583.16%, 8/4/2020 . . . . . . . . . 606,000 607,7883.20%, 1/15/2021 . . . . . . . . 1,375,000 1,380,9263.22%, 1/9/2022 . . . . . . . . . 1,261,000 1,261,6683.34%, 3/18/2021 . . . . . . . . 2,163,000 2,171,9333.34%, 3/28/2022 . . . . . . . . 1,385,000 1,389,8063.47%, 4/5/2021 . . . . . . . . . 2,335,000 2,349,6873.66%, 9/8/2024 . . . . . . . . . 1,125,000 1,111,7813.81%, 10/12/2021. . . . . . . . 1,246,000 1,263,7063.81%, 1/9/2024 . . . . . . . . . 1,854,000 1,852,7393.82%, 11/2/2027 (a) . . . . . . 1,170,000 1,119,4214.13%, 8/4/2025 . . . . . . . . . 1,822,000 1,823,9504.14%, 2/15/2023 . . . . . . . . 320,000 326,4674.25%, 9/20/2022 . . . . . . . . 860,000 883,3664.38%, 8/6/2023 . . . . . . . . . 1,508,000 1,548,9874.69%, 6/9/2025 . . . . . . . . . 1,130,000 1,164,3075.09%, 1/7/2021 . . . . . . . . . 355,000 365,6395.11%, 5/3/2029 . . . . . . . . . 968,000 989,0545.58%, 3/18/2024 . . . . . . . . 1,884,000 2,018,5555.60%, 1/7/2022 . . . . . . . . . 1,387,000 1,468,0425.75%, 2/1/2021 . . . . . . . . . 1,777,000 1,849,6795.88%, 8/2/2021 . . . . . . . . . 2,431,000 2,563,076Series GMTN, 4.39%,

1/8/2026 . . . . . . . . . . . . 1,333,000 1,337,132General Motors Co.:

4.00%, 4/1/2025 . . . . . . . . . 125,000 127,3134.20%, 10/1/2027 . . . . . . . . 1,600,000 1,615,9844.88%, 10/2/2023 . . . . . . . . 904,000 958,9185.00%, 10/1/2028 . . . . . . . . 1,088,000 1,145,316

General Motors Financial Co.,Inc.:2.45%, 11/6/2020 . . . . . . . . 891,000 887,8103.15%, 6/30/2022 . . . . . . . . 1,988,000 2,000,7633.20%, 7/6/2021 . . . . . . . . . 2,500,000 2,518,275


3


3.25%, 1/5/2023 . . . . . . . . . $ 1,803,000 $ 1,809,2743.45%, 1/14/2022 . . . . . . . . 1,680,000 1,704,5783.45%, 4/10/2022 . . . . . . . . 1,730,000 1,753,1823.50%, 11/7/2024 . . . . . . . . 813,000 811,9513.55%, 4/9/2021 . . . . . . . . . 678,000 687,9803.55%, 7/8/2022 . . . . . . . . . 1,161,000 1,181,2943.70%, 11/24/2020. . . . . . . . 830,000 840,4083.70%, 5/9/2023 . . . . . . . . . 1,283,000 1,302,2963.85%, 1/5/2028 . . . . . . . . . 3,718,000 3,642,7853.95%, 4/13/2024 . . . . . . . . 1,907,000 1,950,4804.00%, 1/15/2025 . . . . . . . . 1,443,000 1,464,5014.00%, 10/6/2026 . . . . . . . . 956,000 965,4934.15%, 6/19/2023 . . . . . . . . 1,444,000 1,488,1584.20%, 3/1/2021 . . . . . . . . . 1,669,000 1,704,9504.20%, 11/6/2021 . . . . . . . . 2,825,000 2,908,4224.25%, 5/15/2023 . . . . . . . . 811,000 838,9804.30%, 7/13/2025 . . . . . . . . 515,000 530,4144.35%, 4/9/2025 . . . . . . . . . 1,307,000 1,350,9154.35%, 1/17/2027 . . . . . . . . 1,420,000 1,447,4774.38%, 9/25/2021 . . . . . . . . 1,685,000 1,739,4595.10%, 1/17/2024 . . . . . . . . 1,878,000 2,008,0145.25%, 3/1/2026 . . . . . . . . . 1,384,000 1,486,0155.65%, 1/17/2029 . . . . . . . . 699,000 768,257

PACCAR Financial Corp.:3.15%, 8/9/2021 . . . . . . . . . 542,000 551,6533.40%, 8/9/2023 . . . . . . . . . 622,000 643,465Series MTN, 2.05%,

11/13/2020 . . . . . . . . . . . 196,000 195,730Series MTN, 2.30%,

8/10/2022. . . . . . . . . . . . 430,000 431,011Series MTN, 2.65%,

5/10/2022. . . . . . . . . . . . 1,209,000 1,223,605Series MTN, 2.80%, 3/1/2021. 394,000 397,648Series MTN, 3.10%,

5/10/2021. . . . . . . . . . . . 178,000 180,823Toyota Motor Corp.:

2.16%, 7/2/2022 (b) . . . . . . . 805,000 805,8612.36%, 7/2/2024 (b) . . . . . . . 1,070,000 1,071,6692.76%, 7/2/2029 (b) . . . . . . . 1,070,000 1,078,0253.18%, 7/20/2021 . . . . . . . . 1,040,000 1,061,2263.42%, 7/20/2023 . . . . . . . . 1,228,000 1,280,1533.67%, 7/20/2028 . . . . . . . . 1,068,000 1,154,519

Toyota Motor Credit Corp.:3.35%, 1/8/2024 (a) . . . . . . . 1,001,000 1,045,9953.65%, 1/8/2029 (a) . . . . . . . 656,000 711,386Series GMTN, 1.90%,

4/8/2021 . . . . . . . . . . . . 666,000 663,083Series GMTN, 2.70%,

1/11/2023. . . . . . . . . . . . 885,000 899,364Series GMTN, 2.80%,

7/13/2022. . . . . . . . . . . . 732,000 746,106Series GMTN, 3.05%,

1/8/2021 . . . . . . . . . . . . 1,218,000 1,234,662Series GMTN, 3.05%,

1/11/2028. . . . . . . . . . . . 860,000 887,305


Series GMTN, 3.45%,9/20/2023. . . . . . . . . . . . $ 956,000 $ 1,000,760


10/18/2023 . . . . . . . . . . . 2,468,000 2,468,025Series MTN, 2.60%,

1/11/2022. . . . . . . . . . . . 1,779,000 1,797,484Series MTN, 2.63%,

1/10/2023. . . . . . . . . . . . 993,000 1,005,720Series MTN, 2.65%,

4/12/2022. . . . . . . . . . . . 796,000 806,746Series MTN, 2.75%,

5/17/2021. . . . . . . . . . . . 701,000 708,599Series MTN, 2.90%,

4/17/2024 (a) . . . . . . . . . 446,000 457,342Series MTN, 2.95%,

4/13/2021. . . . . . . . . . . . 1,288,000 1,305,375Series MTN, 3.20%,

1/11/2027. . . . . . . . . . . . 1,329,000 1,384,061Series MTN, 3.30%,

1/12/2022. . . . . . . . . . . . 1,602,000 1,646,423Series MTN, 3.40%,

9/15/2021. . . . . . . . . . . . 4,215,000 4,328,004Series MTN, 3.40%,

4/14/2025. . . . . . . . . . . . 521,000 549,634Series MTN, 4.25%,

1/11/2021. . . . . . . . . . . . 355,000 366,080

130,862,854

AUTO PARTS &EQUIPMENT — 0.2%

Aptiv Corp.4.15%, 3/15/2024 . . . . . . . . 776,000 817,858

Aptiv PLC4.25%, 1/15/2026 . . . . . . . . 337,000 353,917

Aptiv PLC4.35%, 3/15/2029 . . . . . . . . 814,000 856,019

BorgWarner, Inc.3.38%, 3/15/2025 (a) . . . . . . 576,000 593,683

Harman International Industries,Inc.4.15%, 5/15/2025 . . . . . . . . 518,000 551,157

Lear Corp.:3.80%, 9/15/2027 . . . . . . . . 2,002,000 1,981,6804.25%, 5/15/2029 . . . . . . . . 500,000 504,4005.25%, 1/15/2025 . . . . . . . . 543,000 561,907

Magna International, Inc.:3.63%, 6/15/2024 . . . . . . . . 613,000 640,1314.15%, 10/1/2025 . . . . . . . . 1,151,000 1,233,216

8,093,968

BANKS — 27.6%Associated Bank NA

Series BKNT, 3.50%,8/13/2021 . . . . . . . . . . . . . 357,000 363,629

Australia & New ZealandBanking Group, Ltd.:2.55%, 11/23/2021. . . . . . . . 683,000 686,722


4


2.63%, 5/19/2022 . . . . . . . . $ 242,000 $ 244,1153.30%, 5/17/2021 (a) . . . . . . 1,478,000 1,505,284Series MTN, 2.13%,

8/19/2020. . . . . . . . . . . . 808,000 806,853Series MTN, 2.25%,

11/9/2020. . . . . . . . . . . . 984,000 984,256Series MTN, 2.30%, 6/1/2021. 1,341,000 1,341,523Series MTN, 2.63%,

11/9/2022. . . . . . . . . . . . 1,159,000 1,170,196Series MTN, 2.70%,

11/16/2020 . . . . . . . . . . . 1,088,000 1,093,810Series MTN, 3.70%,

11/16/2025 . . . . . . . . . . . 866,000 923,104Banco Bilbao Vizcaya Argentaria

SA3.00%, 10/20/2020. . . . . . . . 1,119,000 1,126,766

Banco Santander SA:2.71%, 6/27/2024 (a) . . . . . . 2,990,000 2,998,7013.13%, 2/23/2023 . . . . . . . . 864,000 876,8223.31%, 6/27/2029 . . . . . . . . 2,790,000 2,813,4083.50%, 4/11/2022 . . . . . . . . 1,289,000 1,322,4113.80%, 2/23/2028 . . . . . . . . 1,552,000 1,583,3043.85%, 4/12/2023 . . . . . . . . 1,373,000 1,424,1314.25%, 4/11/2027 . . . . . . . . 2,142,000 2,250,0004.38%, 4/12/2028 (a) . . . . . . 1,239,000 1,316,0915.18%, 11/19/2025. . . . . . . . 1,459,000 1,587,232

Bancolombia SA5.95%, 6/3/2021 . . . . . . . . . 914,000 965,476

Bank of America Corp.:4.10%, 7/24/2023 . . . . . . . . 2,513,000 2,681,0195.70%, 1/24/2022 . . . . . . . . 2,780,000 3,016,1615.88%, 1/5/2021 . . . . . . . . . 210,000 220,9186.22%, 9/15/2026 . . . . . . . . 486,000 566,8273 Month USD LIBOR +

0.37%, 2.74%, 1/23/2022(c) . . . . . . . . . . . . . . . . 3,256,000 3,270,066

3 Month USD LIBOR +0.78%, 3.55%, 3/5/2024(c) . . . . . . . . . . . . . . . . 2,337,000 2,421,903

3 Month USD LIBOR +0.79%, 3.00%, 12/20/2023(c) . . . . . . . . . . . . . . . . 7,339,000 7,466,919

3 Month USD LIBOR +0.81%, 3.37%, 1/23/2026(c) . . . . . . . . . . . . . . . . 3,259,000 3,357,161

3 Month USD LIBOR +1.02%, 2.88%, 4/24/2023(c) . . . . . . . . . . . . . . . . 1,410,000 1,426,342

3 Month USD LIBOR +1.04%, 3.42%, 12/20/2028(c) . . . . . . . . . . . . . . . . 7,102,000 7,306,111

3 Month USD LIBOR +1.51%, 3.71%, 4/24/2028(c) . . . . . . . . . . . . . . . . 3,193,000 3,347,509

Series GMTN, 2.63%,4/19/2021. . . . . . . . . . . . 3,702,000 3,724,175


Series GMTN, 3.30%,1/11/2023. . . . . . . . . . . . $ 5,088,000 $ 5,244,405

Series GMTN, 3.50%,4/19/2026. . . . . . . . . . . . 3,127,000 3,267,465




Series L, 3.95%, 4/21/2025 . . 2,328,000 2,441,513Series L, 4.18%, 11/25/2027. . 2,439,000 2,587,389Series MTN, 2.15%,

11/9/2020. . . . . . . . . . . . 7,000 6,982Series MTN, 2.50%,

10/21/2022 . . . . . . . . . . . 2,416,000 2,421,847Series MTN, 2.63%,

10/19/2020 . . . . . . . . . . . 2,666,000 2,674,931Series MTN, 3.25%,

10/21/2027 . . . . . . . . . . . 3,206,000 3,281,822Series MTN, 3.88%, 8/1/2025. 1,831,000 1,958,529Series MTN, 4.00%, 4/1/2024. 2,606,000 2,780,237Series MTN, 4.00%,

1/22/2025. . . . . . . . . . . . 3,357,000 3,529,785Series MTN, 4.13%,

1/22/2024. . . . . . . . . . . . 2,852,000 3,048,275Series MTN, 4.20%,

8/26/2024. . . . . . . . . . . . 3,644,000 3,873,244Series MTN, 4.25%,

10/22/2026 . . . . . . . . . . . 3,083,000 3,294,956Series MTN, 4.45%, 3/3/2026. 2,239,000 2,415,724Series MTN, 5.00%,

5/13/2021. . . . . . . . . . . . 1,397,000 1,464,321Series MTN, 3 Month USD

LIBOR + 0.63%, 2.33%,10/1/2021 (c) . . . . . . . . . 2,859,000 2,853,797





Series MTN, 3 Month USDLIBOR + 1.07%, 3.97%,3/5/2029 (c) . . . . . . . . . . 2,823,000 3,012,875



5


Series MTN, 3 Month USDLIBOR + 1.16%, 3.12%,1/20/2023 (c) . . . . . . . . . $ 2,148,000 $ 2,182,884

Series MTN, 3 Month USDLIBOR + 1.21%, 3.97%,2/7/2030 (c) . . . . . . . . . . 2,123,000 2,273,032



Bank of America NA3 Month USD LIBOR +0.65%, 3.34%, 1/25/2023 (c) . 1,114,000 1,143,053

Bank of Montreal:USD 5 Year Swap Rate +

1.28%, 4.34%, 10/5/2028(a) (c) . . . . . . . . . . . . . . 240,000 252,060

USD 5 Year Swap Rate +1.43%, 3.80%, 12/15/2032(c) . . . . . . . . . . . . . . . . 1,445,000 1,468,871

Series D, 3.10%, 4/13/2021 . . 1,657,000 1,682,584Series E, 3.30%, 2/5/2024 . . . 1,313,000 1,359,415Series MTN, 1.90%,

8/27/2021. . . . . . . . . . . . 2,568,000 2,550,127Series MTN, 2.35%,

9/11/2022. . . . . . . . . . . . 1,417,000 1,421,081Series MTN, 2.50%,

6/28/2024 (a) . . . . . . . . . 3,670,000 3,673,413Series MTN, 2.55%,

11/6/2022. . . . . . . . . . . . 1,380,000 1,392,958Series MTN, 2.90%,

3/26/2022. . . . . . . . . . . . 3,040,000 3,086,938Series MTN, 3.10%,

7/13/2020. . . . . . . . . . . . 1,036,000 1,044,847Bank of New York Mellon Corp.:

3.40%, 5/15/2024 . . . . . . . . 421,000 439,7603.55%, 9/23/2021 . . . . . . . . 1,508,000 1,548,912Series 0012, 3.65%, 2/4/2024 . 1,347,000 1,422,163Series G, 3.00%, 2/24/2025 . . 650,000 668,076Series MTN, 2.05%, 5/3/2021. 987,000 985,194Series MTN, 2.20%,

8/16/2023. . . . . . . . . . . . 732,000 728,787Series MTN, 2.45%,

11/27/2020 . . . . . . . . . . . 1,057,000 1,061,186Series MTN, 2.45%,

8/17/2026. . . . . . . . . . . . 506,000 500,824Series MTN, 2.50%,

4/15/2021. . . . . . . . . . . . 794,000 798,359Series MTN, 2.60%,


1/29/2023. . . . . . . . . . . . 1,358,000 1,386,219


Series MTN, 3.00%,10/30/2028 . . . . . . . . . . . $ 270,000 $ 272,805

Series MTN, 3.25%,9/11/2024. . . . . . . . . . . . 569,000 590,719

Series MTN, 3.25%,5/16/2027. . . . . . . . . . . . 592,000 613,851

Series MTN, 3.40%,1/29/2028. . . . . . . . . . . . 655,000 687,933

Series MTN, 3.45%,8/11/2023. . . . . . . . . . . . 605,000 630,815

Series MTN, 3.50%,4/28/2023. . . . . . . . . . . . 1,895,000 1,975,462

Series MTN, 3.85%,4/28/2028 (a) . . . . . . . . . 570,000 622,959

Series MTN, 3.95%,11/18/2025 . . . . . . . . . . . 540,000 583,832

Series MTN, 4.15%, 2/1/2021. 250,000 257,482Series MTN, 3 Month USD

LIBOR + 0.63%, 2.66%,5/16/2023 (c) . . . . . . . . . 2,406,000 2,424,430

Series MTN, 3 Month USDLIBOR + 1.07%, 3.44%,2/7/2028 (c) . . . . . . . . . . 630,000 654,790

Bank of Nova Scotia:2.35%, 10/21/2020. . . . . . . . 1,007,000 1,008,6512.70%, 3/7/2022 . . . . . . . . . 3,248,000 3,292,5952.80%, 7/21/2021 . . . . . . . . 1,241,000 1,255,4953.40%, 2/11/2024 (a) . . . . . . 3,242,000 3,373,1394.38%, 1/13/2021 . . . . . . . . 437,000 451,0414.50%, 12/16/2025. . . . . . . . 1,416,000 1,528,4023 Month USD LIBOR +

2.65%, 4.65%, 10/12/2022(c) . . . . . . . . . . . . . . . . 678,000 647,714

Series BKNT, 2.45%,3/22/2021. . . . . . . . . . . . 1,648,000 1,655,152

Series BKNT, 2.45%,9/19/2022. . . . . . . . . . . . 1,258,000 1,268,630

Series BKNT, 2.50%,1/8/2021 . . . . . . . . . . . . 936,000 939,987

Series BKNT, 3.13%,4/20/2021. . . . . . . . . . . . 1,063,000 1,080,486

Bank One Corp.:7.63%, 10/15/2026. . . . . . . . 459,000 589,8847.75%, 7/15/2025 . . . . . . . . 45,000 56,0708.00%, 4/29/2027 . . . . . . . . 433,000 570,919

BankUnited, Inc.4.88%, 11/17/2025. . . . . . . . 908,000 984,917

Barclays Bank PLC:2.65%, 1/11/2021 . . . . . . . . 2,370,000 2,374,1005.14%, 10/14/2020. . . . . . . . 2,985,000 3,069,595Series BKNT, 3.75%,

5/15/2024. . . . . . . . . . . . 22,000 22,751Barclays PLC:

3.20%, 8/10/2021 . . . . . . . . 1,077,000 1,085,1853.25%, 1/12/2021 . . . . . . . . 1,188,000 1,197,1833.65%, 3/16/2025 . . . . . . . . 2,231,000 2,242,1553.68%, 1/10/2023 . . . . . . . . 1,744,000 1,767,928


6


4.34%, 1/10/2028 . . . . . . . . $ 1,660,000 $ 1,699,3254.38%, 1/12/2026 . . . . . . . . 2,718,000 2,821,6653 Month USD LIBOR +

1.36%, 4.34%, 5/16/2024(c) . . . . . . . . . . . . . . . . 3,701,000 3,822,393

3 Month USD LIBOR +1.40%, 4.61%, 2/15/2023(c) . . . . . . . . . . . . . . . . 2,719,000 2,814,111

3 Month USD LIBOR +1.61%, 3.93%, 5/7/2025(c) . . . . . . . . . . . . . . . . 1,673,000 1,702,361

3 Month USD LIBOR +1.90%, 4.97%, 5/16/2029(c) . . . . . . . . . . . . . . . . 1,018,000 1,084,302



10/26/2024 . . . . . . . . . . . 1,023,000 1,048,043Series MTN, 3.05%,


12/6/2023. . . . . . . . . . . . 1,497,000 1,584,694Series MTN, 3.88%,

3/19/2029. . . . . . . . . . . . 1,017,000 1,086,400Series MTN, 3.95%,

3/22/2022. . . . . . . . . . . . 330,000 343,150BNP Paribas SA:

Series BKNT, 5.00%,1/15/2021. . . . . . . . . . . . 1,959,000 2,037,811

Series MTN, 3.25%, 3/3/2023(a) . . . . . . . . . . . . . . . . 2,189,000 2,259,551

Series MTN, 4.25%,10/15/2024 . . . . . . . . . . . 1,906,000 2,003,339

BPCE SA:4.00%, 4/15/2024 . . . . . . . . 1,744,000 1,856,383Series BKNT, 2.65%,

2/3/2021 . . . . . . . . . . . . 1,070,000 1,075,211Series MTN, 2.75%,

12/2/2021. . . . . . . . . . . . 1,754,000 1,770,523Series MTN, 3.38%,

12/2/2026. . . . . . . . . . . . 812,000 837,050Branch Banking & Trust Co.:

2.63%, 1/15/2022 . . . . . . . . 855,000 862,704Series BKNT, 2.85%,

4/1/2021 . . . . . . . . . . . . 549,000 553,908Series BKNT, 3.63%,

9/16/2025. . . . . . . . . . . . 1,421,000 1,493,855Series BKNT, 3.80%,

10/30/2026 . . . . . . . . . . . 952,000 1,012,005Canadian Imperial Bank of

Commerce:2.55%, 6/16/2022 . . . . . . . . 3,115,000 3,148,019


2.70%, 2/2/2021 . . . . . . . . . $ 1,465,000 $ 1,475,5773.10%, 4/2/2024 . . . . . . . . . 918,000 938,086Series BKNT, 2.10%,

10/5/2020. . . . . . . . . . . . 1,720,000 1,718,039Series BKNT, 3.50%,

9/13/2023 (a) . . . . . . . . . 895,000 937,002Capital One Financial Corp.:

3.20%, 1/30/2023 (a) . . . . . . 108,000 110,7133.20%, 2/5/2025 . . . . . . . . . 1,070,000 1,089,7843.30%, 10/30/2024. . . . . . . . 3,241,000 3,323,9373.50%, 6/15/2023 . . . . . . . . 1,339,000 1,387,9943.75%, 4/24/2024 . . . . . . . . 560,000 586,2753.75%, 7/28/2026 . . . . . . . . 945,000 961,8973.75%, 3/9/2027 . . . . . . . . . 760,000 784,2903.80%, 1/31/2028 . . . . . . . . 1,419,000 1,465,9264.20%, 10/29/2025. . . . . . . . 1,564,000 1,645,9384.25%, 4/30/2025 (a) . . . . . . 571,000 612,991

Capital One NA:Series BKNT, 2.25%,

9/13/2021. . . . . . . . . . . . 1,553,000 1,547,161Series BKNT, 2.65%,

8/8/2022 . . . . . . . . . . . . 1,041,000 1,046,340Series BKNT, 2.95%,

7/23/2021. . . . . . . . . . . . 1,202,000 1,214,525Citibank NA:

Series BKNT, 2.13%,10/20/2020 . . . . . . . . . . . 2,726,000 2,720,303

Series BKNT, 2.85%,2/12/2021. . . . . . . . . . . . 3,042,000 3,066,184

Series BKNT, 3.40%,7/23/2021. . . . . . . . . . . . 2,796,000 2,854,884

Series BKNT, 3.65%,1/23/2024. . . . . . . . . . . . 2,761,000 2,904,489



Citigroup, Inc.:2.35%, 8/2/2021 . . . . . . . . . 3,552,000 3,549,5852.65%, 10/26/2020. . . . . . . . 3,424,000 3,435,0942.70%, 3/30/2021 . . . . . . . . 2,066,000 2,076,3092.70%, 10/27/2022. . . . . . . . 2,751,000 2,771,9082.75%, 4/25/2022 . . . . . . . . 2,772,000 2,797,8902.90%, 12/8/2021 . . . . . . . . 2,881,000 2,913,4693.20%, 10/21/2026. . . . . . . . 2,868,000 2,926,9093.30%, 4/27/2025 . . . . . . . . 1,776,000 1,835,4963.38%, 3/1/2023 . . . . . . . . . 292,000 300,9473.40%, 5/1/2026 . . . . . . . . . 2,438,000 2,523,7933.50%, 5/15/2023 . . . . . . . . 1,628,000 1,677,6383.70%, 1/12/2026 . . . . . . . . 1,646,000 1,732,8433.75%, 6/16/2024 . . . . . . . . 2,570,000 2,710,1683.88%, 10/25/2023. . . . . . . . 1,354,000 1,431,5033.88%, 3/26/2025 . . . . . . . . 1,754,000 1,829,1414.00%, 8/5/2024 . . . . . . . . . 671,000 707,804


7


4.05%, 7/30/2022 . . . . . . . . $ 2,774,000 $ 2,894,7804.13%, 7/25/2028 . . . . . . . . 1,241,000 1,313,2634.30%, 11/20/2026. . . . . . . . 1,092,000 1,153,4474.40%, 6/10/2025 . . . . . . . . 2,958,000 3,159,8244.45%, 9/29/2027 . . . . . . . . 4,634,000 4,992,9034.50%, 1/14/2022 . . . . . . . . 2,899,000 3,048,2984.60%, 3/9/2026 . . . . . . . . . 788,000 852,2305.38%, 8/9/2020 . . . . . . . . . 908,000 937,2295.50%, 9/13/2025 . . . . . . . . 2,455,000 2,779,6986.63%, 1/15/2028 . . . . . . . . 13,000 15,9443 Month USD LIBOR +

0.72%, 3.14%, 1/24/2023(c) . . . . . . . . . . . . . . . . 2,871,000 2,917,424

3 Month USD LIBOR +0.90%, 3.35%, 4/24/2025(c) . . . . . . . . . . . . . . . . 3,362,000 3,471,265

3 Month USD LIBOR +0.95%, 2.88%, 7/24/2023(c) . . . . . . . . . . . . . . . . 2,939,000 2,974,621

3 Month USD LIBOR +1.02%, 4.04%, 6/1/2024(c) . . . . . . . . . . . . . . . . 2,838,000 2,997,751

3 Month USD LIBOR +1.19%, 4.08%, 4/23/2029(c) . . . . . . . . . . . . . . . . 2,679,000 2,878,157

3 Month USD LIBOR +1.34%, 3.98%, 3/20/2030(c) . . . . . . . . . . . . . . . . 3,100,000 3,313,063

3 Month USD LIBOR +1.39%, 3.67%, 7/24/2028(c) . . . . . . . . . . . . . . . . 3,124,000 3,258,894

3 Month USD LIBOR +1.56%, 3.89%, 1/10/2028(c) . . . . . . . . . . . . . . . . 3,574,000 3,776,217

3 Month USD LIBOR +1.15%, 3.52%, 10/27/2028(c) . . . . . . . . . . . . . . . . 2,887,000 2,979,384

Citizens Bank NA:Series BKNT, 2.65%,

5/26/2022. . . . . . . . . . . . 617,000 620,801Series BKNT, 3.25%,

2/14/2022. . . . . . . . . . . . 972,000 989,778Series BKNT, 3.75%,

2/18/2026. . . . . . . . . . . . 522,000 549,562Citizens Bank NA/Providence

RI:Series BKNT, 2.25%,

10/30/2020 . . . . . . . . . . . 1,075,000 1,072,775Series BKNT, 2.55%,

5/13/2021. . . . . . . . . . . . 1,338,000 1,341,840Series BKNT, 3.70%,

3/29/2023. . . . . . . . . . . . 609,000 634,036Citizens Financial Group, Inc.:

2.38%, 7/28/2021 . . . . . . . . 579,000 578,5664.30%, 12/3/2025 . . . . . . . . 992,000 1,049,318


Comerica BankSeries BKNT, 4.00%,7/27/2025 . . . . . . . . . . . . . $ 500,000 $ 529,540

Comerica, Inc.:3.70%, 7/31/2023 . . . . . . . . 990,000 1,036,0554.00%, 2/1/2029 . . . . . . . . . 706,000 758,512

Commonwealth Bank ofAustralia:Series BKNT, 2.55%,

3/15/2021 (a) . . . . . . . . . 1,110,000 1,115,272Series GMTN, 2.40%,

11/2/2020. . . . . . . . . . . . 1,385,000 1,387,479Compass Bank:

Series BKNT, 2.88%,6/29/2022. . . . . . . . . . . . 950,000 958,426

Series BKNT, 3.50%,6/11/2021. . . . . . . . . . . . 670,000 682,583

Series BKNT, 3.88%,4/10/2025. . . . . . . . . . . . 619,000 639,186

Cooperatieve Rabobank UA:2.75%, 1/10/2022 . . . . . . . . 1,622,000 1,639,4532.75%, 1/10/2023 . . . . . . . . 1,283,000 1,299,1533.13%, 4/26/2021 . . . . . . . . 1,403,000 1,425,1533.88%, 2/8/2022 . . . . . . . . . 5,760,000 5,991,6673.95%, 11/9/2022 . . . . . . . . 1,955,000 2,028,9194.38%, 8/4/2025 . . . . . . . . . 2,508,000 2,669,6664.50%, 1/11/2021 . . . . . . . . 1,221,000 1,261,5014.63%, 12/1/2023 . . . . . . . . 1,926,000 2,061,822Series BKNT, 3.75%,

7/21/2026. . . . . . . . . . . . 1,600,000 1,635,808Series GMTN, 1.88%,

7/19/2021. . . . . . . . . . . . 400,000 396,628Series GMTN, 2.50%,

1/19/2021. . . . . . . . . . . . 2,633,000 2,642,136Series MTN, 3.38%,

5/21/2025. . . . . . . . . . . . 1,041,000 1,093,092Credit Suisse AG:

3.00%, 10/29/2021. . . . . . . . 3,171,000 3,217,138Series MTN, 3.63%, 9/9/2024. 3,070,000 3,233,170Series MTN, 4.38%, 8/5/2020. 2,886,000 2,947,039

Credit Suisse Group FundingGuernsey, Ltd.:3.13%, 12/10/2020. . . . . . . . 2,097,000 2,113,9023.45%, 4/16/2021 . . . . . . . . 1,966,000 1,996,9063.75%, 3/26/2025 . . . . . . . . 2,827,000 2,946,9503.80%, 9/15/2022 . . . . . . . . 2,342,000 2,429,6613.80%, 6/9/2023 . . . . . . . . . 2,396,000 2,492,1044.55%, 4/17/2026 . . . . . . . . 1,697,000 1,842,212

Deutsche Bank AG:2.70%, 7/13/2020 . . . . . . . . 838,000 833,7762.95%, 8/20/2020 . . . . . . . . 661,000 656,9753.13%, 1/13/2021 . . . . . . . . 813,000 805,7643.15%, 1/22/2021 . . . . . . . . 1,617,000 1,604,3073.30%, 11/16/2022. . . . . . . . 1,094,000 1,078,1373.38%, 5/12/2021 . . . . . . . . 1,701,000 1,691,4913.70%, 5/30/2024 . . . . . . . . 3,987,000 3,928,032


8


3.70%, 5/30/2024 . . . . . . . . $ 1,075,000 $ 1,056,0913.95%, 2/27/2023 . . . . . . . . 1,429,000 1,429,5144.10%, 1/13/2026 . . . . . . . . 91,000 91,0894.10%, 1/13/2026 . . . . . . . . 375,000 370,0724.25%, 2/4/2021 . . . . . . . . . 1,113,000 1,122,7834.25%, 10/14/2021. . . . . . . . 2,508,000 2,541,5072.95%, 8/20/2020 . . . . . . . . 20,000 19,935Series D, 5.00%, 2/14/2022 . . 1,599,000 1,648,985Series GMTN, 3.38%,

5/12/2021. . . . . . . . . . . . 1,803,000 1,804,929Discover Bank:

Series BKNT, 3.20%,8/9/2021 . . . . . . . . . . . . 678,000 688,516

Series BKNT, 3.35%,2/6/2023 . . . . . . . . . . . . 1,080,000 1,105,607

Series BKNT, 3.45%,7/27/2026. . . . . . . . . . . . 523,000 530,531

Series BKNT, 4.20%,8/8/2023 . . . . . . . . . . . . 1,015,000 1,077,128

Series BKNT, 4.25%,3/13/2026. . . . . . . . . . . . 484,000 512,696

Series BKNT, 4.65%,9/13/2028. . . . . . . . . . . . 635,000 694,309

Series BKNT, USD 5 YearSwap Rate + 1.73%,4.68%, 8/9/2028 (c) . . . . . 4,084,000 4,234,005

Fifth Third Bancorp:2.60%, 6/15/2022 . . . . . . . . 1,626,000 1,636,1622.88%, 7/27/2020 . . . . . . . . 96,000 96,4543.50%, 3/15/2022 . . . . . . . . 476,000 489,7993.65%, 1/25/2024 . . . . . . . . 1,933,000 2,030,8683.95%, 3/14/2028 . . . . . . . . 665,000 716,6514.30%, 1/16/2024 . . . . . . . . 794,000 847,563


10/30/2020 . . . . . . . . . . . 853,000 851,976Series BKNT, 2.25%,

6/14/2021. . . . . . . . . . . . 1,219,000 1,218,135Series BKNT, 2.88%,

10/1/2021. . . . . . . . . . . . 1,061,000 1,073,615Series BKNT, 3.35%,

7/26/2021. . . . . . . . . . . . 766,000 781,634Series BKNT, 3.85%,

3/15/2026. . . . . . . . . . . . 955,000 1,007,640Series BKNT, 3.95%,

7/28/2025. . . . . . . . . . . . 670,000 722,809First Horizon National Corp.

3.50%, 12/15/2020. . . . . . . . 708,000 716,305First Republic Bank

Series BKNT, 2.50%,6/6/2022 . . . . . . . . . . . . . . 421,000 421,274

Goldman Sachs Group, Inc.:2.35%, 11/15/2021. . . . . . . . 2,102,000 2,097,8592.60%, 12/27/2020. . . . . . . . 2,171,000 2,173,0622.63%, 4/25/2021 . . . . . . . . 1,588,000 1,593,7012.75%, 9/15/2020 . . . . . . . . 2,138,000 2,146,8092.88%, 2/25/2021 . . . . . . . . 3,677,000 3,703,291


3.00%, 4/26/2022 . . . . . . . . $ 4,248,000 $ 4,286,4443.20%, 2/23/2023 . . . . . . . . 1,632,000 1,670,4993.50%, 1/23/2025 . . . . . . . . 3,020,000 3,126,1233.50%, 11/16/2026. . . . . . . . 3,750,000 3,838,9123.63%, 1/22/2023 . . . . . . . . 2,666,000 2,764,8293.63%, 2/20/2024 . . . . . . . . 1,200,000 1,251,6123.75%, 5/22/2025 . . . . . . . . 2,870,000 3,002,3363.75%, 2/25/2026 . . . . . . . . 1,870,000 1,952,8223.85%, 1/26/2027 . . . . . . . . 3,052,000 3,188,8524.00%, 3/3/2024 . . . . . . . . . 2,978,000 3,158,3774.25%, 10/21/2025. . . . . . . . 2,530,000 2,683,4445.25%, 7/27/2021 . . . . . . . . 10,418,000 11,014,8475.75%, 1/24/2022 . . . . . . . . 4,965,000 5,366,8675.95%, 1/15/2027 . . . . . . . . 1,551,000 1,815,2753 Month USD LIBOR +

0.99%, 2.91%, 7/24/2023(c) . . . . . . . . . . . . . . . . 2,852,000 2,880,092

3 Month USD LIBOR +1.05%, 2.91%, 6/5/2023(c) . . . . . . . . . . . . . . . . 2,200,000 2,222,968

3 Month USD LIBOR +1.16%, 3.81%, 4/23/2029(c) . . . . . . . . . . . . . . . . 1,660,000 1,725,786

3 Month USD LIBOR +1.30%, 4.22%, 5/1/2029(c) . . . . . . . . . . . . . . . . 3,071,000 3,286,861

3 Month USD LIBOR +1.51%, 3.69%, 6/5/2028(c) . . . . . . . . . . . . . . . . 2,140,000 2,209,122

3 Month USD LIBOR +0.82%, 2.88%, 10/31/2022(c) . . . . . . . . . . . . . . . . 3,941,000 3,971,779

3 Month USD LIBOR +1.20%, 3.27%, 9/29/2025(c) . . . . . . . . . . . . . . . . 2,808,000 2,867,305

Series MTN, 3.85%, 7/8/2024. 1,969,000 2,066,623HSBC Bank USA NA

Series BKNT, 4.88%,8/24/2020 . . . . . . . . . . . . . 3,477,000 3,569,627

HSBC Holdings PLC:2.65%, 1/5/2022 . . . . . . . . . 6,179,000 6,206,5582.95%, 5/25/2021 . . . . . . . . 3,089,000 3,113,5883.40%, 3/8/2021 . . . . . . . . . 3,757,000 3,816,0603.60%, 5/25/2023 . . . . . . . . 1,279,000 1,330,4293.90%, 5/25/2026 . . . . . . . . 3,138,000 3,281,7834.00%, 3/30/2022 . . . . . . . . 1,529,000 1,593,2794.25%, 3/14/2024 . . . . . . . . 3,220,000 3,398,2594.25%, 8/18/2025 . . . . . . . . 3,881,000 4,081,2984.30%, 3/8/2026 . . . . . . . . . 1,856,000 1,987,0524.38%, 11/23/2026. . . . . . . . 2,206,000 2,334,6324.88%, 1/14/2022 . . . . . . . . 633,000 670,6135.10%, 4/5/2021 . . . . . . . . . 3,637,000 3,799,9013 Month USD LIBOR +

0.99%, 3.95%, 5/18/2024(c) . . . . . . . . . . . . . . . . 2,043,000 2,134,506


9


3 Month USD LIBOR +1.06%, 3.26%, 3/13/2023(c) . . . . . . . . . . . . . . . . $ 3,183,000 $ 3,238,575

3 Month USD LIBOR +1.21%, 3.80%, 3/11/2025(c) . . . . . . . . . . . . . . . . 2,788,000 2,902,392

3 Month USD LIBOR +1.35%, 4.29%, 9/12/2026(c) . . . . . . . . . . . . . . . . 2,951,000 3,140,838

3 Month USD LIBOR +1.53%, 4.58%, 6/19/2029(c) . . . . . . . . . . . . . . . . 2,605,000 2,844,686

3 Month USD LIBOR +1.55%, 4.04%, 3/13/2028(c) . . . . . . . . . . . . . . . . 3,502,000 3,673,773

3 Month USD LIBOR +1.61%, 3.97%, 5/22/2030(c) . . . . . . . . . . . . . . . . 2,291,000 2,391,621

3 Month USD LIBOR +0.92%, 3.03%, 11/22/2023(c) . . . . . . . . . . . . . . . . 3,183,000 3,223,902

HSBC USA, Inc.:3.50%, 6/23/2024 . . . . . . . . 728,000 758,5695.00%, 9/27/2020 . . . . . . . . 2,442,000 2,514,039

Huntington Bancshares, Inc.:2.30%, 1/14/2022 . . . . . . . . 1,638,000 1,636,3133.15%, 3/14/2021 . . . . . . . . 1,980,000 2,004,7504.00%, 5/15/2025 . . . . . . . . 512,000 545,4087.00%, 12/15/2020. . . . . . . . 25,000 26,599

Huntington National Bank:3.25%, 5/14/2021 . . . . . . . . 614,000 623,677Series BKNT, 2.50%,

8/7/2022 . . . . . . . . . . . . 595,000 598,469Series BKNT, 2.88%,

8/20/2020. . . . . . . . . . . . 250,000 251,382Series BKNT, 3.13%,

4/1/2022 . . . . . . . . . . . . 771,000 787,106Series BKNT, 3.55%,

10/6/2023. . . . . . . . . . . . 1,185,000 1,240,517ING Groep NV:

3.15%, 3/29/2022 . . . . . . . . 1,237,000 1,259,9963.55%, 4/9/2024 (a) . . . . . . . 1,676,000 1,731,9453.95%, 3/29/2027 . . . . . . . . 1,988,000 2,090,1244.05%, 4/9/2029 (a) . . . . . . . 760,000 808,5114.10%, 10/2/2023 . . . . . . . . 1,856,000 1,959,9364.55%, 10/2/2028 . . . . . . . . 1,484,000 1,633,706

JPMorgan Chase & Co.:2.40%, 6/7/2021 . . . . . . . . . 1,603,000 1,605,1642.55%, 10/29/2020. . . . . . . . 2,182,000 2,187,3462.55%, 3/1/2021 . . . . . . . . . 2,915,000 2,921,3552.70%, 5/18/2023 . . . . . . . . 2,930,000 2,960,3252.95%, 10/1/2026 . . . . . . . . 2,284,000 2,316,1592.97%, 1/15/2023 . . . . . . . . 5,221,000 5,294,5123.13%, 1/23/2025 . . . . . . . . 2,848,000 2,927,6023.20%, 1/25/2023 . . . . . . . . 2,723,000 2,795,2963.20%, 6/15/2026 . . . . . . . . 2,824,000 2,909,0593.25%, 9/23/2022 . . . . . . . . 3,672,000 3,772,686


3.30%, 4/1/2026 . . . . . . . . . $ 3,056,000 $ 3,163,1133.38%, 5/1/2023 . . . . . . . . . 2,810,000 2,888,3993.63%, 5/13/2024 . . . . . . . . 1,866,000 1,964,7493.63%, 12/1/2027 . . . . . . . . 861,000 888,6123.88%, 2/1/2024 (a) . . . . . . . 1,140,000 1,210,3043.88%, 9/10/2024 . . . . . . . . 6,066,000 6,375,7913.90%, 7/15/2025 . . . . . . . . 2,037,000 2,174,5384.13%, 12/15/2026. . . . . . . . 2,622,000 2,808,0574.25%, 10/15/2020. . . . . . . . 4,010,000 4,106,4004.25%, 10/1/2027 . . . . . . . . 3,051,000 3,300,5414.35%, 8/15/2021 . . . . . . . . 3,725,000 3,873,7764.40%, 7/22/2020 . . . . . . . . 2,814,000 2,876,1894.50%, 1/24/2022 . . . . . . . . 3,136,000 3,305,4694.63%, 5/10/2021 . . . . . . . . 2,832,000 2,947,8293 Month USD LIBOR +

0.61%, 3.51%, 6/18/2022(c) . . . . . . . . . . . . . . . . 2,627,000 2,684,137

3 Month USD LIBOR +0.70%, 3.21%, 4/1/2023(c) . . . . . . . . . . . . . . . . 2,494,000 2,544,005

3 Month USD LIBOR +0.73%, 3.56%, 4/23/2024(c) . . . . . . . . . . . . . . . . 2,472,000 2,562,376

3 Month USD LIBOR +0.89%, 3.80%, 7/23/2024(c) . . . . . . . . . . . . . . . . 3,071,000 3,216,658

3 Month USD LIBOR +0.94%, 2.78%, 4/25/2023(c) . . . . . . . . . . . . . . . . 1,782,000 1,799,089

3 Month USD LIBOR +0.95%, 3.51%, 1/23/2029(c) . . . . . . . . . . . . . . . . 2,873,000 2,978,554

3 Month USD LIBOR +1.00%, 4.02%, 12/5/2024(c) . . . . . . . . . . . . . . . . 3,146,000 3,341,021

3 Month USD LIBOR +1.12%, 4.01%, 4/23/2029(c) . . . . . . . . . . . . . . . . 3,008,000 3,241,210

3 Month USD LIBOR +1.16%, 3.22%, 3/1/2025(c) . . . . . . . . . . . . . . . . 3,217,000 3,304,213

3 Month USD LIBOR +1.16%, 3.70%, 5/6/2030(c) . . . . . . . . . . . . . . . . 2,842,000 2,996,804

3 Month USD LIBOR +1.25%, 3.96%, 1/29/2027(c) . . . . . . . . . . . . . . . . 2,791,000 2,985,477

3 Month USD LIBOR +1.26%, 4.20%, 7/23/2029(c) . . . . . . . . . . . . . . . . 2,978,000 3,252,780

3 Month USD LIBOR +1.33%, 4.45%, 12/5/2029(c) . . . . . . . . . . . . . . . . 2,098,000 2,332,661

3 Month USD LIBOR +1.34%, 3.78%, 2/1/2028(c) . . . . . . . . . . . . . . . . 4,049,000 4,288,174


10


3 Month USD LIBOR +1.38%, 3.54%, 5/1/2028(c) . . . . . . . . . . . . . . . . $ 2,213,000 $ 2,303,047

Series MTN, 2.30%,8/15/2021. . . . . . . . . . . . 2,448,000 2,444,328


9/14/2022. . . . . . . . . . . . 1,795,000 1,796,974Series BKNT, 2.40%,

6/9/2022 . . . . . . . . . . . . 494,000 495,951Series BKNT, 2.50%,

11/22/2021 . . . . . . . . . . . 686,000 689,704Series BKNT, 3.18%,

10/15/2027 . . . . . . . . . . . 400,000 406,588Series BKNT, 3.30%,

2/1/2022 . . . . . . . . . . . . 3,775,000 3,872,508Series BKNT, 3.30%,

6/1/2025 . . . . . . . . . . . . 258,000 269,484Series BKNT, 3.35%,

6/15/2021. . . . . . . . . . . . 722,000 736,938Series BKNT, 3.38%,

3/7/2023 . . . . . . . . . . . . 575,000 595,654Series BKNT, 3.90%,

4/13/2029. . . . . . . . . . . . 500,000 531,560Series BKNT, 6.95%,

2/1/2028 . . . . . . . . . . . . 146,000 183,010Series MTN, 3.40%,

5/20/2026. . . . . . . . . . . . 748,000 769,677KeyCorp.:

Series MTN, 2.90%,9/15/2020. . . . . . . . . . . . 772,000 776,601

Series MTN, 4.10%,4/30/2028. . . . . . . . . . . . 609,000 662,708

Series MTN, 4.15%,10/29/2025 . . . . . . . . . . . 989,000 1,071,374

Series MTN, 5.10%,3/24/2021. . . . . . . . . . . . 905,000 947,336

Lloyds Bank PLC:2.70%, 8/17/2020 . . . . . . . . 966,000 969,5163.30%, 5/7/2021 . . . . . . . . . 1,650,000 1,674,2553.50%, 5/14/2025 . . . . . . . . 255,000 262,2376.38%, 1/21/2021 . . . . . . . . 671,000 710,763

Lloyds Banking Group PLC:3.00%, 1/11/2022 . . . . . . . . 1,653,000 1,668,7203.10%, 7/6/2021 . . . . . . . . . 966,000 976,2113.75%, 1/11/2027 . . . . . . . . 1,489,000 1,515,5643.90%, 3/12/2024 (a) . . . . . . 2,180,000 2,269,8164.05%, 8/16/2023 . . . . . . . . 2,278,000 2,376,1594.38%, 3/22/2028 . . . . . . . . 1,127,000 1,198,1594.45%, 5/8/2025 . . . . . . . . . 1,954,000 2,078,3534.50%, 11/4/2024 . . . . . . . . 1,534,000 1,601,9264.55%, 8/16/2028 . . . . . . . . 1,394,000 1,501,9104.58%, 12/10/2025. . . . . . . . 2,580,000 2,693,6494.65%, 3/24/2026 . . . . . . . . 1,886,000 1,966,9473 Month USD LIBOR +

0.81%, 2.91%, 11/7/2023(c) . . . . . . . . . . . . . . . . 2,870,000 2,866,154


3 Month USD LIBOR +1.21%, 3.57%, 11/7/2028(c) . . . . . . . . . . . . . . . . $ 2,074,000 $ 2,076,924

M&T Bank Corp.3.55%, 7/26/2023 . . . . . . . . 511,000 534,276

Manufacturers & Traders TrustCo.:Series BKNT, 2.05%,

8/17/2020. . . . . . . . . . . . 1,130,000 1,127,661Series BKNT, 2.50%,

5/18/2022. . . . . . . . . . . . 1,074,000 1,080,122Series BKNT, 2.63%,

1/25/2021. . . . . . . . . . . . 1,132,000 1,137,785Series BKNT, 2.90%,

2/6/2025 . . . . . . . . . . . . 1,012,000 1,033,677Series BKNT, 3.40%,

8/17/2027. . . . . . . . . . . . 460,000 485,636Mitsubishi UFJ Financial Group,

Inc.:2.19%, 9/13/2021 . . . . . . . . 1,576,000 1,567,9782.53%, 9/13/2023 . . . . . . . . 940,000 938,3172.67%, 7/25/2022 . . . . . . . . 2,797,000 2,813,7542.76%, 9/13/2026 . . . . . . . . 2,065,000 2,060,2302.95%, 3/1/2021 . . . . . . . . . 2,446,000 2,466,8403.00%, 2/22/2022 . . . . . . . . 1,178,000 1,194,7513.22%, 3/7/2022 . . . . . . . . . 1,571,000 1,604,0853.29%, 7/25/2027 (a) . . . . . . 1,464,000 1,512,7373.41%, 3/7/2024 . . . . . . . . . 1,315,000 1,363,0633.46%, 3/2/2023 . . . . . . . . . 1,806,000 1,863,9553.54%, 7/26/2021 . . . . . . . . 1,246,000 1,273,7233.68%, 2/22/2027 . . . . . . . . 1,209,000 1,279,8233.74%, 3/7/2029 . . . . . . . . . 947,000 1,015,5913.76%, 7/26/2023 . . . . . . . . 3,015,000 3,154,4143.78%, 3/2/2025 . . . . . . . . . 628,000 664,0413.85%, 3/1/2026 . . . . . . . . . 3,605,000 3,837,6313.96%, 3/2/2028 . . . . . . . . . 1,054,000 1,143,6854.05%, 9/11/2028 . . . . . . . . 1,061,000 1,164,193

Mizuho Financial Group, Inc.:2.27%, 9/13/2021 . . . . . . . . 1,458,000 1,452,6642.60%, 9/11/2022 . . . . . . . . 944,000 946,4642.84%, 9/13/2026 . . . . . . . . 887,000 889,1912.95%, 2/28/2022 . . . . . . . . 1,863,000 1,885,4683.17%, 9/11/2027 . . . . . . . . 751,000 768,9043.55%, 3/5/2023 . . . . . . . . . 665,000 687,9293.66%, 2/28/2027 (a) . . . . . . 949,000 1,001,7834.02%, 3/5/2028 . . . . . . . . . 1,484,000 1,617,8423 Month USD LIBOR +

1.00%, 3.92%, 9/11/2024(c) . . . . . . . . . . . . . . . . 781,000 820,472

3 Month USD LIBOR +1.27%, 4.25%, 9/11/2029(c) . . . . . . . . . . . . . . . . 501,000 552,493

Morgan Stanley:2.75%, 5/19/2022 . . . . . . . . 3,521,000 3,557,7593.63%, 1/20/2027 . . . . . . . . 3,202,000 3,354,2233.95%, 4/23/2027 . . . . . . . . 1,950,000 2,039,661


11


4.88%, 11/1/2022 . . . . . . . . $ 2,813,000 $ 3,009,0105.00%, 11/24/2025. . . . . . . . 2,338,000 2,589,1255.75%, 1/25/2021 . . . . . . . . 2,811,000 2,952,3653 Month USD LIBOR +

0.85%, 3.74%, 4/24/2024(c) . . . . . . . . . . . . . . . . 3,462,000 3,609,689

3 Month USD LIBOR +1.34%, 3.59%, 7/22/2028(c) . . . . . . . . . . . . . . . . 3,682,000 3,822,174

Series F, 3.88%, 4/29/2024. . . 3,344,000 3,547,081Series GMTN, 2.50%,

4/21/2021. . . . . . . . . . . . 2,553,000 2,557,672Series GMTN, 3.13%,

1/23/2023. . . . . . . . . . . . 3,686,000 3,769,009Series GMTN, 3.70%,

10/23/2024 . . . . . . . . . . . 3,423,000 3,608,424Series GMTN, 3.75%,

2/25/2023. . . . . . . . . . . . 3,198,000 3,339,511Series GMTN, 3.88%,

1/27/2026. . . . . . . . . . . . 3,436,000 3,655,698Series GMTN, 4.00%,

7/23/2025. . . . . . . . . . . . 2,953,000 3,165,084Series GMTN, 4.35%,

9/8/2026 . . . . . . . . . . . . 2,920,000 3,130,649Series GMTN, 5.50%,

7/24/2020. . . . . . . . . . . . 3,838,000 3,961,545Series GMTN, 5.50%,

7/28/2021. . . . . . . . . . . . 2,797,000 2,969,799Series GMTN, 3 Month USD

LIBOR + 1.14%, 3.77%,1/24/2029 (c) . . . . . . . . . 3,631,000 3,825,803


Series MTN, 2.63%,11/17/2021 . . . . . . . . . . . 7,224,000 7,267,344

Series MTN, 3.13%,7/27/2026. . . . . . . . . . . . 3,553,000 3,616,030

Series MTN, 4.10%,5/22/2023. . . . . . . . . . . . 2,726,000 2,867,561

Series MTN, 6.25%, 8/9/2026. 655,000 786,151MUFG Americas Holdings

Corp.:3.00%, 2/10/2025 . . . . . . . . 198,000 200,0813.50%, 6/18/2022 . . . . . . . . 70,000 72,010

MUFG Union Bank NASeries BKNT, 3.15%,4/1/2022 . . . . . . . . . . . . . . 2,324,000 2,375,360

National Australia Bank, Ltd.:2.50%, 1/12/2021 . . . . . . . . 1,097,000 1,100,7522.80%, 1/10/2022 . . . . . . . . 980,000 992,2302.88%, 4/12/2023 . . . . . . . . 1,116,000 1,134,5263.00%, 1/20/2023 . . . . . . . . 949,000 967,2783.38%, 9/20/2021 . . . . . . . . 1,041,000 1,065,2343.38%, 1/14/2026 . . . . . . . . 769,000 799,8373.63%, 6/20/2023 . . . . . . . . 910,000 951,1873.70%, 11/4/2021 . . . . . . . . 1,059,000 1,092,009


Series BKNT, 1.88%,7/12/2021. . . . . . . . . . . . $ 2,267,000 $ 2,248,773

Series BKNT, 2.50%,7/12/2026. . . . . . . . . . . . 1,359,000 1,340,626

Series GMTN, 2.50%,5/22/2022. . . . . . . . . . . . 975,000 980,450

Series GMTN, 2.63%,1/14/2021. . . . . . . . . . . . 778,000 782,084

National Bank of CanadaSeries BKNT, 2.20%,11/2/2020 . . . . . . . . . . . . . 926,000 924,352

Natwest Markets PLC5.63%, 8/24/2020 . . . . . . . . 445,000 459,694

Northern Trust Corp.:2.38%, 8/2/2022 . . . . . . . . . 833,000 840,0473.15%, 5/3/2029 . . . . . . . . . 2,658,000 2,754,7253.38%, 8/23/2021 . . . . . . . . 265,000 272,0813.45%, 11/4/2020 . . . . . . . . 385,000 391,3563.65%, 8/3/2028 . . . . . . . . . 410,000 442,2423.95%, 10/30/2025. . . . . . . . 608,000 656,6893 Month USD LIBOR +

1.13%, 3.38%, 5/8/2032(c) . . . . . . . . . . . . . . . . 886,000 897,314

People’s United Bank NA4.00%, 7/15/2024 . . . . . . . . 1,018,000 1,051,441

PNC Bank NA:3.80%, 7/25/2023 . . . . . . . . 904,000 949,516Series BKNT, 2.15%,

4/29/2021. . . . . . . . . . . . 1,769,000 1,765,833Series BKNT, 2.45%,

11/5/2020. . . . . . . . . . . . 2,011,000 2,014,921Series BKNT, 2.45%,

7/28/2022. . . . . . . . . . . . 1,362,000 1,373,809Series BKNT, 2.50%,

1/22/2021. . . . . . . . . . . . 1,338,000 1,341,960Series BKNT, 2.55%,

12/9/2021. . . . . . . . . . . . 783,000 788,512Series BKNT, 2.60%,

7/21/2020. . . . . . . . . . . . 1,127,000 1,130,077Series BKNT, 2.63%,

2/17/2022. . . . . . . . . . . . 1,154,000 1,163,936Series BKNT, 2.70%,

11/1/2022. . . . . . . . . . . . 1,011,000 1,021,252Series BKNT, 2.95%,

1/30/2023. . . . . . . . . . . . 1,275,000 1,299,811Series BKNT, 2.95%,

2/23/2025. . . . . . . . . . . . 1,274,000 1,303,455Series BKNT, 3.10%,

10/25/2027 . . . . . . . . . . . 1,088,000 1,118,856Series BKNT, 3.25%,

1/22/2028. . . . . . . . . . . . 956,000 995,330Series BKNT, 3.30%,

10/30/2024 . . . . . . . . . . . 409,000 426,522Series BKNT, 3.50%,

6/8/2023 . . . . . . . . . . . . 849,000 885,702Series BKNT, 4.05%,

7/26/2028. . . . . . . . . . . . 1,634,000 1,782,416


12


Series BKNT, 4.20%,11/1/2025. . . . . . . . . . . . $ 973,000 $ 1,053,983

Series MTN, 3.25%, 6/1/2025. 1,273,000 1,320,725PNC Financial Services Group,

Inc.:2.85%, 11/9/2022 (d) . . . . . . 376,000 382,5503.15%, 5/19/2027 . . . . . . . . 968,000 997,6303.30%, 3/8/2022 . . . . . . . . . 903,000 929,3133.45%, 4/23/2029 . . . . . . . . 1,743,000 1,832,8343.50%, 1/23/2024 . . . . . . . . 1,319,000 1,388,2473.90%, 4/29/2024 . . . . . . . . 1,492,000 1,573,2994.38%, 8/11/2020 . . . . . . . . 584,000 597,169

RBC USA Holdco Corp.5.25%, 9/15/2020 . . . . . . . . 276,000 285,492

Regions Bank:Series BKNT, 2.75%,

4/1/2021 . . . . . . . . . . . . 678,000 681,600Series BKNT, 3 Month USD

LIBOR + 0.50%, 3.37%,8/13/2021 (c) . . . . . . . . . 3,375,000 3,403,789

Regions Financial Corp.:2.75%, 8/14/2022 . . . . . . . . 1,311,000 1,320,2823.20%, 2/8/2021 . . . . . . . . . 939,000 949,3573.80%, 8/14/2023 . . . . . . . . 410,000 429,278

Royal Bank of Canada:2.15%, 10/26/2020. . . . . . . . 1,409,000 1,408,450Series GMTN, 2.50%,

1/19/2021. . . . . . . . . . . . 593,000 595,817Series GMTN, 2.75%,

2/1/2022 . . . . . . . . . . . . 1,499,000 1,522,654Series GMTN, 2.80%,

4/29/2022. . . . . . . . . . . . 2,417,000 2,456,325Series GMTN, 3.20%,

4/30/2021. . . . . . . . . . . . 2,058,000 2,095,291Series GMTN, 3.70%,

10/5/2023. . . . . . . . . . . . 3,099,000 3,263,650Series GMTN, 4.65%,

1/27/2026. . . . . . . . . . . . 1,528,000 1,671,250Series MTN, 2.35%,

10/30/2020 . . . . . . . . . . . 1,585,000 1,588,249Royal Bank of Scotland Group

PLC:3.88%, 9/12/2023 . . . . . . . . 2,083,000 2,138,3874.80%, 4/5/2026 . . . . . . . . . 1,212,000 1,295,2285.13%, 5/28/2024 . . . . . . . . 5,804,000 6,123,4526.00%, 12/19/2023. . . . . . . . 2,073,000 2,258,9486.10%, 6/10/2023 . . . . . . . . 3,140,000 3,408,4396.13%, 12/15/2022. . . . . . . . 3,594,000 3,875,4103 Month USD LIBOR +

1.48%, 3.50%, 5/15/2023(c) . . . . . . . . . . . . . . . . 2,006,000 2,026,582

3 Month USD LIBOR +1.55%, 4.52%, 6/25/2024(c) . . . . . . . . . . . . . . . . 1,119,000 1,165,595

3 Month USD LIBOR +1.75%, 4.89%, 5/18/2029(c) . . . . . . . . . . . . . . . . 1,391,000 1,483,808


3 Month USD LIBOR +1.76%, 4.27%, 3/22/2025(c) . . . . . . . . . . . . . . . . $ 2,486,000 $ 2,570,698

3 Month USD LIBOR +1.87%, 4.45%, 5/8/2030(a) (c) . . . . . . . . . . . . . . 2,696,000 2,792,166

3 Month USD LIBOR +1.91%, 5.08%, 1/27/2030(c) . . . . . . . . . . . . . . . . 1,749,000 1,896,213

Santander Holdings USA, Inc.:3.40%, 1/18/2023 . . . . . . . . 661,000 671,1463.70%, 3/28/2022 . . . . . . . . 1,844,000 1,886,4124.40%, 7/13/2027 . . . . . . . . 1,094,000 1,142,6504.45%, 12/3/2021 . . . . . . . . 1,000,000 1,038,8604.50%, 7/17/2025 . . . . . . . . 1,367,000 1,453,340Series FXD, 3.50%, 6/7/2024 . 2,082,000 2,116,644

Santander UK Group HoldingsPLC:2.88%, 10/16/2020. . . . . . . . 370,000 370,9922.88%, 8/5/2021 . . . . . . . . . 2,552,000 2,556,2623.13%, 1/8/2021 . . . . . . . . . 1,153,000 1,159,5953.57%, 1/10/2023 . . . . . . . . 1,266,000 1,288,2943 Month USD LIBOR +

1.57%, 4.80%, 11/15/2024(c) . . . . . . . . . . . . . . . . 1,165,000 1,239,397

3 Month USD LIBOR +1.08%, 3.37%, 1/5/2024(c) . . . . . . . . . . . . . . . . 874,000 881,464

3 Month USD LIBOR +1.40%, 3.82%, 11/3/2028(a) (c) . . . . . . . . . . . . . . 957,000 967,326

Santander UK PLC:2.13%, 11/3/2020 . . . . . . . . 1,146,000 1,140,1782.50%, 1/5/2021 . . . . . . . . . 671,000 670,8662.88%, 6/18/2024 . . . . . . . . 2,384,000 2,399,4723.40%, 6/1/2021 . . . . . . . . . 1,301,000 1,322,1413.75%, 11/15/2021. . . . . . . . 723,000 742,6084.00%, 3/13/2024 . . . . . . . . 1,242,000 1,310,596

Skandinaviska Enskilda BankenAB:1.88%, 9/13/2021 . . . . . . . . 1,625,000 1,606,7192.63%, 3/15/2021 . . . . . . . . 1,314,000 1,320,1632.80%, 3/11/2022 . . . . . . . . 530,000 535,565

Sumitomo Mitsui Banking Corp.:3.00%, 1/18/2023 . . . . . . . . 500,000 509,1953.20%, 7/18/2022 . . . . . . . . 1,560,000 1,599,7643.95%, 7/19/2023 . . . . . . . . 265,000 279,7583.95%, 1/10/2024 . . . . . . . . 580,000 616,534Series BKNT, 2.45%,

10/20/2020 . . . . . . . . . . . 349,000 349,290Series GMTN, 3.40%,

7/11/2024. . . . . . . . . . . . 260,000 271,255Series GMTN, 3.65%,

7/23/2025. . . . . . . . . . . . 600,000 634,368Sumitomo Mitsui Financial

Group, Inc.:2.06%, 7/14/2021 . . . . . . . . 1,958,000 1,947,799


13


2.44%, 10/19/2021. . . . . . . . $ 4,711,000 $ 4,718,5382.63%, 7/14/2026 . . . . . . . . 1,837,000 1,824,7842.78%, 7/12/2022 . . . . . . . . 2,206,000 2,229,2512.78%, 10/18/2022. . . . . . . . 1,700,000 1,716,0142.85%, 1/11/2022 . . . . . . . . 1,889,000 1,907,9662.93%, 3/9/2021 . . . . . . . . . 1,745,000 1,761,2633.01%, 10/19/2026. . . . . . . . 584,000 592,0653.10%, 1/17/2023 . . . . . . . . 1,867,000 1,907,7943.35%, 10/18/2027. . . . . . . . 627,000 650,5633.36%, 7/12/2027 (a) . . . . . . 1,727,000 1,798,0323.45%, 1/11/2027 . . . . . . . . 1,317,000 1,372,1033.54%, 1/17/2028 . . . . . . . . 332,000 349,5063.75%, 7/19/2023 . . . . . . . . 1,072,000 1,123,3813.78%, 3/9/2026 . . . . . . . . . 1,833,000 1,951,0093.94%, 10/16/2023 (a) . . . . . 996,000 1,054,5153.94%, 7/19/2028 . . . . . . . . 2,251,000 2,444,2484.31%, 10/16/2028 (a) . . . . . 1,649,000 1,843,038


8/1/2022 . . . . . . . . . . . . 1,144,000 1,147,192Series BKNT, 2.75%,

5/1/2023 . . . . . . . . . . . . 859,000 867,581Series BKNT, 2.80%,

5/17/2022. . . . . . . . . . . . 1,568,000 1,587,804Series BKNT, 3.00%,

2/2/2023 . . . . . . . . . . . . 484,000 493,361Series BKNT, 3.30%,

5/15/2026. . . . . . . . . . . . 1,037,000 1,060,187Series BKNT, 4.05%,


LIBOR + 0.50%, 3.53%,10/26/2021 (c). . . . . . . . . 1,888,000 1,916,150

Series BKNT, 3 Month USDLIBOR + 0.59%, 3.50%,8/2/2022 (c) . . . . . . . . . . 921,000 941,833

Series BKNT, 3 Month USDLIBOR + 0.74%, 3.69%,8/2/2024 (c) . . . . . . . . . . 986,000 1,028,595

Series BNKT, 3.20%,4/1/2024 . . . . . . . . . . . . 2,061,000 2,124,932

SunTrust Banks, Inc.:2.70%, 1/27/2022 . . . . . . . . 1,311,000 1,319,5212.90%, 3/3/2021 . . . . . . . . . 1,026,000 1,035,0904.00%, 5/1/2025 . . . . . . . . . 639,000 684,350

SVB Financial Group:3.50%, 1/29/2025 . . . . . . . . 435,000 443,1875.38%, 9/15/2020 . . . . . . . . 155,000 160,239

Svenska Handelsbanken AB:1.95%, 9/8/2020 . . . . . . . . . 1,283,000 1,278,471Series BKNT, 1.88%,

9/7/2021 . . . . . . . . . . . . 851,000 843,290Series BKNT, 2.45%,

3/30/2021. . . . . . . . . . . . 2,103,000 2,108,131Series BKNT, 3.35%,

5/24/2021. . . . . . . . . . . . 1,768,000 1,801,627


Series BKNT, 3.90%,11/20/2023 . . . . . . . . . . . $ 1,709,000 $ 1,812,788

Series GMTN, 2.40%,10/1/2020. . . . . . . . . . . . 1,592,000 1,596,044

Synchrony Bank:Series BKNT, 3.00%,

6/15/2022 (a) . . . . . . . . . 958,000 965,252Series BKNT, 3.65%,

5/24/2021. . . . . . . . . . . . 1,130,000 1,149,764Synovus Financial Corp.

3.13%, 11/1/2022 . . . . . . . . 495,000 497,000Toronto-Dominion Bank:

1.80%, 7/13/2021 . . . . . . . . 1,858,000 1,843,285USD 5 Year swap rate +

2.21%, 3.63%, 9/15/2031(c) . . . . . . . . . . . . . . . . 1,533,000 1,558,463

Series GMTN, 1.85%,9/11/2020. . . . . . . . . . . . 1,796,000 1,789,732

Series GMTN, 2.50%,12/14/2020 . . . . . . . . . . . 5,447,000 5,471,675

Series GMTN, 2.55%,1/25/2021. . . . . . . . . . . . 3,221,000 3,238,490

Series GMTN, 3.15%,9/17/2020. . . . . . . . . . . . 4,297,000 4,347,275

Series GMTN, 3.25%,3/11/2024. . . . . . . . . . . . 1,383,000 1,432,235

Series GMTN, 3.50%,7/19/2023. . . . . . . . . . . . 1,895,000 1,987,552

Series MTN, 2.13%, 4/7/2021. 1,830,000 1,828,609Series MTN, 2.65%,

6/12/2024. . . . . . . . . . . . 4,632,000 4,677,903Series MTN, 3.25%,

6/11/2021. . . . . . . . . . . . 1,548,000 1,578,821UBS AG

Series GMTN, 4.88%,8/4/2020 . . . . . . . . . . . . . . 1,119,000 1,150,276

US Bancorp:3.38%, 2/5/2024 (a) . . . . . . . 1,474,000 1,542,703Series MTN, 2.35%,

1/29/2021. . . . . . . . . . . . 1,522,000 1,526,414Series MTN, 2.95%,

7/15/2022. . . . . . . . . . . . 1,235,000 1,260,046Series MTN, 3.00%,

3/15/2022. . . . . . . . . . . . 1,348,000 1,377,494Series MTN, 3.10%,

4/27/2026. . . . . . . . . . . . 843,000 860,332Series MTN, 3.60%,

9/11/2024. . . . . . . . . . . . 1,278,000 1,345,363Series MTN, 3.70%,

1/30/2024. . . . . . . . . . . . 604,000 640,409Series MTN, 3.90%,

4/26/2028. . . . . . . . . . . . 837,000 919,796Series MTN, 3.95%,

11/17/2025 . . . . . . . . . . . 1,484,000 1,612,099Series MTN, 4.13%,

5/24/2021. . . . . . . . . . . . 910,000 940,467Series V, 2.38%, 7/22/2026. . . 1,688,000 1,668,791


14


Series V, 2.63%, 1/24/2022. . . $ 1,415,000 $ 1,430,169Series X, 3.15%, 4/27/2027 . . 1,050,000 1,090,351

US Bank NA:Series BKNT, 2.05%,

10/23/2020 . . . . . . . . . . . 1,111,000 1,109,034Series BKNT, 2.65%,

5/23/2022. . . . . . . . . . . . 3,222,000 3,264,949Series BKNT, 2.80%,

1/27/2025. . . . . . . . . . . . 445,000 454,545Series BKNT, 2.85%,

1/23/2023. . . . . . . . . . . . 1,124,000 1,143,175Series BKNT, 3.00%,

2/4/2021 . . . . . . . . . . . . 1,661,000 1,680,301Series BKNT, 3.05%,

7/24/2020. . . . . . . . . . . . 1,011,000 1,019,219Series BKNT, 3.15%,

4/26/2021. . . . . . . . . . . . 673,000 684,569Series BKNT, 3.40%,

7/24/2023. . . . . . . . . . . . 1,276,000 1,332,246Series BKNT, 3.45%,

11/16/2021 . . . . . . . . . . . 989,000 1,016,376Wachovia Corp.

7.57%, 8/1/2026 (d) . . . . . . . 654,000 818,501Webster Financial Corp.

4.10%, 3/25/2029 . . . . . . . . 989,000 1,040,695Wells Fargo & Co.:

2.10%, 7/26/2021 . . . . . . . . 3,494,000 3,473,4552.50%, 3/4/2021 . . . . . . . . . 3,998,000 4,006,2363.00%, 4/22/2026 . . . . . . . . 4,313,000 4,362,0393.00%, 10/23/2026. . . . . . . . 4,262,000 4,306,0693.07%, 1/24/2023 . . . . . . . . 4,755,000 4,831,2234.13%, 8/15/2023 . . . . . . . . 1,738,000 1,833,0694.48%, 1/16/2024 . . . . . . . . 1,648,000 1,766,870Series GMTN, 4.30%,

7/22/2027. . . . . . . . . . . . 3,412,000 3,684,926Series M, 3.45%, 2/13/2023 . . 2,243,000 2,303,382Series MTN, 2.55%,

12/7/2020. . . . . . . . . . . . 4,501,000 4,512,748Series MTN, 2.63%,

7/22/2022. . . . . . . . . . . . 4,512,000 4,544,802Series MTN, 3.00%,

1/22/2021. . . . . . . . . . . . 1,354,000 1,366,552Series MTN, 3.00%,


9/29/2025. . . . . . . . . . . . 2,631,000 2,747,685Series MTN, 3.75%,


1/24/2029. . . . . . . . . . . . 1,661,000 1,807,401Series MTN, 4.60%, 4/1/2021. 3,413,000 3,543,172Series MTN, 3 Month USD

LIBOR + 1.17%, 3.20%,6/17/2027 (c) . . . . . . . . . 3,299,000 3,371,974


Series MTN, 3 Month USDLIBOR + 1.31%, 3.58%,5/22/2028 (c) . . . . . . . . . $ 3,602,000 $ 3,758,795


1/15/2021. . . . . . . . . . . . 3,212,000 3,225,233Series BKNT, 3.55%,

8/14/2023. . . . . . . . . . . . 4,117,000 4,296,089Series BKNT, 3.63%,

10/22/2021 . . . . . . . . . . . 2,573,000 2,645,198Series BKNT, 3 Month USD

LIBOR + 0.49%, 3.33%,7/23/2021 (c) . . . . . . . . . 2,550,000 2,573,970


Westpac Banking Corp.:2.00%, 8/19/2021 . . . . . . . . 1,673,000 1,663,6142.10%, 5/13/2021 . . . . . . . . 1,474,000 1,469,9762.50%, 6/28/2022 . . . . . . . . 1,631,000 1,641,1772.60%, 11/23/2020. . . . . . . . 2,076,000 2,086,2142.65%, 1/25/2021 . . . . . . . . 1,232,000 1,239,4662.70%, 8/19/2026 . . . . . . . . 924,000 923,8522.75%, 1/11/2023 . . . . . . . . 1,355,000 1,372,4392.80%, 1/11/2022 . . . . . . . . 2,718,000 2,751,8392.85%, 5/13/2026 . . . . . . . . 1,971,000 1,990,0203.30%, 2/26/2024 . . . . . . . . 1,486,000 1,542,4983.35%, 3/8/2027 . . . . . . . . . 1,134,000 1,181,3793.40%, 1/25/2028 . . . . . . . . 652,000 684,4763.65%, 5/15/2023 . . . . . . . . 1,366,000 1,427,006Series GMTN, 5 Year US

ISDA + 2.24%, 4.32%,11/23/2031 (c). . . . . . . . . 1,569,000 1,621,703

Wintrust Financial Corp.4.85%, 6/6/2029 . . . . . . . . . 989,000 1,012,489

Zions Bancorp NA:3.50%, 8/27/2021 . . . . . . . . 446,000 455,098Series BKNT, 3.35%,

3/4/2022 . . . . . . . . . . . . 690,000 702,047

1,318,902,270


LLC/Anheuser-Busch InBevWorldwide, Inc.3.65%, 2/1/2026 . . . . . . . . . 5,208,000 5,475,275

Anheuser-Busch InBev Finance,Inc.:2.65%, 2/1/2021 . . . . . . . . . 800,000 804,0483.30%, 2/1/2023 . . . . . . . . . 5,005,000 5,164,5093.65%, 2/1/2026 . . . . . . . . . 23,000 24,178

Anheuser-Busch InBevWorldwide, Inc.:3.50%, 1/12/2024 . . . . . . . . 854,000 891,9864.00%, 4/13/2028 . . . . . . . . 1,286,000 1,386,3474.15%, 1/23/2025 . . . . . . . . 6,847,000 7,419,5464.75%, 1/23/2029 . . . . . . . . 8,268,000 9,375,251


15


Beam Suntory, Inc.3.25%, 5/15/2022 . . . . . . . . $ 454,000 $ 461,328

Brown-Forman Corp.3.50%, 4/15/2025 . . . . . . . . 206,000 217,353

Coca-Cola Co.:1.55%, 9/1/2021 . . . . . . . . . 385,000 381,1081.88%, 10/27/2020. . . . . . . . 1,256,000 1,253,8652.20%, 5/25/2022 . . . . . . . . 610,000 612,9582.25%, 9/1/2026 . . . . . . . . . 1,206,000 1,196,8832.45%, 11/1/2020 . . . . . . . . 1,262,000 1,267,1872.50%, 4/1/2023 . . . . . . . . . 2,048,000 2,075,7302.55%, 6/1/2026 . . . . . . . . . 505,000 510,9542.88%, 10/27/2025. . . . . . . . 2,451,000 2,535,3632.90%, 5/25/2027 . . . . . . . . 407,000 420,3703.15%, 11/15/2020. . . . . . . . 1,091,000 1,106,1103.20%, 11/1/2023 . . . . . . . . 1,702,000 1,780,5303.30%, 9/1/2021 . . . . . . . . . 1,372,000 1,409,113

Coca-Cola Consolidated, Inc.3.80%, 11/25/2025. . . . . . . . 431,000 451,309

Coca-Cola European PartnersPLC:3.50%, 9/15/2020 . . . . . . . . 559,000 565,7144.50%, 9/1/2021 . . . . . . . . . 225,000 232,457

Coca-Cola Femsa SAB de CV3.88%, 11/26/2023. . . . . . . . 332,000 349,301

Constellation Brands, Inc.:2.25%, 11/6/2020 . . . . . . . . 1,057,000 1,054,6322.65%, 11/7/2022 . . . . . . . . 201,000 201,8462.70%, 5/9/2022 . . . . . . . . . 1,472,000 1,482,2013.20%, 2/15/2023 . . . . . . . . 1,069,000 1,092,7103.50%, 5/9/2027 . . . . . . . . . 1,122,000 1,154,7183.60%, 2/15/2028 . . . . . . . . 358,000 369,3453.70%, 12/6/2026 . . . . . . . . 920,000 963,5623.75%, 5/1/2021 . . . . . . . . . 488,000 499,3664.25%, 5/1/2023 . . . . . . . . . 1,478,000 1,570,6264.40%, 11/15/2025. . . . . . . . 954,000 1,044,1634.65%, 11/15/2028. . . . . . . . 893,000 997,2404.75%, 11/15/2024. . . . . . . . 851,000 936,1094.75%, 12/1/2025 . . . . . . . . 243,000 269,152

Diageo Capital PLC:2.63%, 4/29/2023 . . . . . . . . 1,242,000 1,258,4563.50%, 9/18/2023 . . . . . . . . 767,000 802,8653.88%, 5/18/2028 . . . . . . . . 1,608,000 1,755,6304.83%, 7/15/2020 . . . . . . . . 566,000 580,354

Diageo Investment Corp.2.88%, 5/11/2022 . . . . . . . . 1,577,000 1,605,828

Fomento Economico MexicanoSAB de CV2.88%, 5/10/2023 (a) . . . . . . 330,000 329,284

Keurig Dr Pepper, Inc.:2.55%, 9/15/2026 . . . . . . . . 717,000 685,1943.13%, 12/15/2023. . . . . . . . 895,000 907,4943.40%, 11/15/2025. . . . . . . . 350,000 356,0793.43%, 6/15/2027 . . . . . . . . 1,139,000 1,150,4813.55%, 5/25/2021 . . . . . . . . 1,827,000 1,863,4124.06%, 5/25/2023 (e) . . . . . . 6,000 6,301


4.06%, 5/25/2023 . . . . . . . . $ 2,335,000 $ 2,452,2174.42%, 5/25/2025 . . . . . . . . 823,000 883,5564.60%, 5/25/2028 . . . . . . . . 2,757,000 3,020,431

Molson Coors Brewing Co.:2.10%, 7/15/2021 . . . . . . . . 1,445,000 1,434,1773.00%, 7/15/2026 . . . . . . . . 2,637,000 2,604,8023.50%, 5/1/2022 . . . . . . . . . 2,112,000 2,168,855

PepsiCo, Inc.:1.70%, 10/6/2021 . . . . . . . . 1,750,000 1,736,2622.00%, 4/15/2021 . . . . . . . . 1,597,000 1,594,6842.15%, 10/14/2020. . . . . . . . 1,400,000 1,401,3302.25%, 5/2/2022 . . . . . . . . . 1,953,000 1,963,2532.38%, 10/6/2026 . . . . . . . . 1,470,000 1,465,8252.75%, 3/5/2022 . . . . . . . . . 1,083,000 1,105,7432.75%, 3/1/2023 . . . . . . . . . 1,242,000 1,269,5722.75%, 4/30/2025 . . . . . . . . 681,000 698,8692.85%, 2/24/2026 . . . . . . . . 754,000 774,2523.00%, 8/25/2021 . . . . . . . . 750,000 764,6553.00%, 10/15/2027. . . . . . . . 1,729,000 1,797,2783.10%, 7/17/2022 . . . . . . . . 1,365,000 1,405,5683.13%, 11/1/2020 . . . . . . . . 845,000 856,4583.50%, 7/17/2025 . . . . . . . . 197,000 209,2653.60%, 3/1/2024 . . . . . . . . . 1,876,000 1,990,305

101,903,178


1.85%, 8/19/2021 . . . . . . . . 899,000 889,5242.25%, 8/19/2023 . . . . . . . . 911,000 906,3172.60%, 8/19/2026 . . . . . . . . 1,782,000 1,757,9432.65%, 5/11/2022 . . . . . . . . 1,856,000 1,869,8092.70%, 5/1/2022 . . . . . . . . . 214,000 215,8453.13%, 5/1/2025 . . . . . . . . . 905,000 925,7343.20%, 11/2/2027 . . . . . . . . 1,137,000 1,164,7773.45%, 10/1/2020 . . . . . . . . 1,248,000 1,264,3493.63%, 5/15/2022 . . . . . . . . 1,057,000 1,089,7463.63%, 5/22/2024 . . . . . . . . 1,104,000 1,158,5713.88%, 11/15/2021. . . . . . . . 3,391,000 3,495,6804.10%, 6/15/2021 . . . . . . . . 720,000 740,952

Baxalta, Inc.4.00%, 6/23/2025 . . . . . . . . 674,000 717,480

Biogen, Inc.:2.90%, 9/15/2020 . . . . . . . . 1,883,000 1,892,3583.63%, 9/15/2022 . . . . . . . . 3,328,000 3,439,8214.05%, 9/15/2025 . . . . . . . . 1,200,000 1,286,856

Bio-Rad Laboratories, Inc.4.88%, 12/15/2020. . . . . . . . 323,000 333,061

Celgene Corp.:2.75%, 2/15/2023 . . . . . . . . 5,149,000 5,203,1162.88%, 8/15/2020 . . . . . . . . 1,633,000 1,641,9652.88%, 2/19/2021 . . . . . . . . 928,000 935,5173.25%, 8/15/2022 . . . . . . . . 1,246,000 1,278,7953.25%, 2/20/2023 . . . . . . . . 1,425,000 1,464,3013.45%, 11/15/2027. . . . . . . . 934,000 972,4153.55%, 8/15/2022 . . . . . . . . 1,147,000 1,187,9943.63%, 5/15/2024 . . . . . . . . 1,499,000 1,568,059


16


3.88%, 8/15/2025 . . . . . . . . $ 2,934,000 $ 3,136,9743.90%, 2/20/2028 . . . . . . . . 1,529,000 1,642,9263.95%, 10/15/2020. . . . . . . . 626,000 638,3324.00%, 8/15/2023 . . . . . . . . 736,000 775,118

Gilead Sciences, Inc.:1.95%, 3/1/2022 . . . . . . . . . 1,098,000 1,090,0832.50%, 9/1/2023 . . . . . . . . . 1,213,000 1,221,8672.55%, 9/1/2020 . . . . . . . . . 2,696,000 2,703,0372.95%, 3/1/2027 . . . . . . . . . 1,457,000 1,481,8133.25%, 9/1/2022 . . . . . . . . . 1,591,000 1,636,0893.50%, 2/1/2025 . . . . . . . . . 1,581,000 1,656,7463.65%, 3/1/2026 . . . . . . . . . 2,099,000 2,218,4963.70%, 4/1/2024 . . . . . . . . . 2,192,000 2,317,2514.40%, 12/1/2021 . . . . . . . . 1,276,000 1,334,4154.50%, 4/1/2021 . . . . . . . . . 846,000 873,732

60,127,864


CRH America, Inc.5.75%, 1/15/2021 . . . . . . . . 100,000 104,629

Eagle Materials, Inc.4.50%, 8/1/2026 . . . . . . . . . 586,000 597,415

Fortune Brands Home &Security, Inc.:4.00%, 9/21/2023 . . . . . . . . 762,000 802,4094.00%, 6/15/2025 . . . . . . . . 776,000 815,033

Johnson Controls InternationalPLC:3.90%, 2/14/2026 . . . . . . . . 26,000 27,2973.63%, 7/2/2024 (d) . . . . . . . 256,000 265,777

Lennox International, Inc.3.00%, 11/15/2023. . . . . . . . 421,000 422,364

Martin Marietta Materials, Inc.:3.45%, 6/1/2027 . . . . . . . . . 439,000 436,8493.50%, 12/15/2027. . . . . . . . 515,000 514,4134.25%, 7/2/2024 . . . . . . . . . 321,000 340,780

Masco Corp.:3.50%, 4/1/2021 . . . . . . . . . 367,000 372,6303.50%, 11/15/2027. . . . . . . . 425,000 420,3804.38%, 4/1/2026 . . . . . . . . . 628,000 660,2674.45%, 4/1/2025 . . . . . . . . . 444,000 473,8595.95%, 3/15/2022 . . . . . . . . 328,000 355,4407.13%, 3/15/2020 . . . . . . . . 26,000 26,703

Owens Corning:3.40%, 8/15/2026 . . . . . . . . 594,000 583,8664.20%, 12/15/2022. . . . . . . . 691,000 721,1554.20%, 12/1/2024 . . . . . . . . 334,000 346,321

Vulcan Materials Co.:3.90%, 4/1/2027 . . . . . . . . . 116,000 119,1754.50%, 4/1/2025 (a) . . . . . . . 382,000 406,945

8,813,707

CHEMICALS — 1.5%Air Products & Chemicals, Inc.:

2.75%, 2/3/2023 . . . . . . . . . 262,000 266,113


3.00%, 11/3/2021 . . . . . . . . $ 206,000 $ 209,2453.35%, 7/31/2024 . . . . . . . . 692,000 725,064

Airgas, Inc.:2.38%, 2/15/2020 . . . . . . . . 75,000 74,9793.65%, 7/15/2024 . . . . . . . . 330,000 346,807

Albemarle Corp.4.15%, 12/1/2024 . . . . . . . . 575,000 608,436

Braskem Finance, Ltd.6.45%, 2/3/2024 . . . . . . . . . 491,000 543,026

Cabot Corp.:3.70%, 7/15/2022 . . . . . . . . 200,000 204,2644.00%, 7/1/2029 . . . . . . . . . 1,243,000 1,260,638

Celanese US Holdings LLC:3.50%, 5/8/2024 . . . . . . . . . 903,000 927,4984.63%, 11/15/2022. . . . . . . . 502,000 531,8445.88%, 6/15/2021 . . . . . . . . 540,000 572,270

Dow Chemical Co.:3.00%, 11/15/2022. . . . . . . . 1,802,000 1,828,1293.15%, 5/15/2024 (e) . . . . . . 983,000 1,002,2573.50%, 10/1/2024 (a) . . . . . . 706,000 732,2633.63%, 5/15/2026 (e) . . . . . . 666,000 690,6424.13%, 11/15/2021. . . . . . . . 1,086,000 1,124,2054.55%, 11/30/2025 (e) . . . . . 951,000 1,036,7234.80%, 11/30/2028 (e) . . . . . 1,013,000 1,138,906

DowDuPont, Inc.:3.77%, 11/15/2020. . . . . . . . 3,001,000 3,058,0494.21%, 11/15/2023. . . . . . . . 2,758,000 2,953,2944.49%, 11/15/2025. . . . . . . . 2,387,000 2,641,8604.73%, 11/15/2028. . . . . . . . 2,965,000 3,348,434

Eastman Chemical Co.:3.50%, 12/1/2021 . . . . . . . . 1,163,000 1,189,8303.60%, 8/15/2022 . . . . . . . . 710,000 729,6323.80%, 3/15/2025 . . . . . . . . 709,000 741,2954.50%, 12/1/2028 . . . . . . . . 1,031,000 1,115,140

Ecolab, Inc.4.35%, 12/8/2021 . . . . . . . . 848,000 890,086

FMC Corp.4.10%, 2/1/2024 . . . . . . . . . 699,000 727,491

Huntsman International LLC:4.50%, 5/1/2029 . . . . . . . . . 427,000 439,8955.13%, 11/15/2022. . . . . . . . 157,000 165,892

International Flavors &Fragrances, Inc.:3.20%, 5/1/2023 . . . . . . . . . 50,000 50,7833.40%, 9/25/2020 . . . . . . . . 527,000 533,3194.45%, 9/26/2028 . . . . . . . . 398,000 432,427

LYB International Finance B.V.4.00%, 7/15/2023 (a) . . . . . . 1,319,000 1,388,564

LYB International Finance II B.V.3.50%, 3/2/2027 (a) . . . . . . . 1,447,000 1,472,395

LyondellBasell Industries NV:5.75%, 4/15/2024 . . . . . . . . 940,000 1,056,0436.00%, 11/15/2021. . . . . . . . 1,423,000 1,525,883

Methanex Corp.4.25%, 12/1/2024 . . . . . . . . 492,000 501,186

Mosaic Co.:


17


3.25%, 11/15/2022. . . . . . . . $ 1,216,000 $ 1,240,3693.75%, 11/15/2021. . . . . . . . 629,000 643,8954.05%, 11/15/2027. . . . . . . . 607,000 625,3804.25%, 11/15/2023. . . . . . . . 996,000 1,055,631

NewMarket Corp.4.10%, 12/15/2022. . . . . . . . 404,000 420,354

Nutrien, Ltd.:3.00%, 4/1/2025 . . . . . . . . . 571,000 574,4723.15%, 10/1/2022 . . . . . . . . 492,000 499,6753.38%, 3/15/2025 . . . . . . . . 534,000 547,2113.50%, 6/1/2023 . . . . . . . . . 631,000 647,9423.63%, 3/15/2024 (a) . . . . . . 749,000 776,5634.00%, 12/15/2026. . . . . . . . 933,000 975,2284.20%, 4/1/2029 . . . . . . . . . 1,069,000 1,155,685

PPG Industries, Inc.:3.20%, 3/15/2023 . . . . . . . . 388,000 398,2283.60%, 11/15/2020. . . . . . . . 421,000 427,7363.75%, 3/15/2028 (a) . . . . . . 492,000 525,185

Praxair, Inc.:2.20%, 8/15/2022 . . . . . . . . 698,000 700,4082.25%, 9/24/2020 . . . . . . . . 3,388,000 3,393,4892.45%, 2/15/2022 . . . . . . . . 664,000 669,4652.65%, 2/5/2025 . . . . . . . . . 495,000 502,1532.70%, 2/21/2023 . . . . . . . . 564,000 572,7653.00%, 9/1/2021 . . . . . . . . . 575,000 585,4883.20%, 1/30/2026 . . . . . . . . 920,000 964,5104.05%, 3/15/2021 . . . . . . . . 224,000 231,108

RPM International, Inc.:3.45%, 11/15/2022. . . . . . . . 419,000 426,5043.75%, 3/15/2027 . . . . . . . . 414,000 419,6394.55%, 3/1/2029 . . . . . . . . . 1,635,000 1,728,277

Sasol Financing International,Ltd.4.50%, 11/14/2022. . . . . . . . 142,000 146,347

SASOL Financing USA LLC:5.88%, 3/27/2024 . . . . . . . . 1,945,000 2,104,5486.50%, 9/27/2028 (a) . . . . . . 1,105,000 1,239,644

Sherwin-Williams Co.:2.75%, 6/1/2022 . . . . . . . . . 1,826,000 1,844,4793.13%, 6/1/2024 . . . . . . . . . 1,407,000 1,433,7473.45%, 8/1/2025 . . . . . . . . . 558,000 576,2353.45%, 6/1/2027 (a) . . . . . . . 657,000 674,5943.95%, 1/15/2026 . . . . . . . . 400,000 418,6204.20%, 1/15/2022 . . . . . . . . 719,000 746,868

Syngenta Finance NV3.13%, 3/28/2022 . . . . . . . . 568,000 568,710

Westlake Chemical Corp.3.60%, 8/15/2026 (a) . . . . . . 1,073,000 1,089,900

70,335,859


Automatic Data Processing, Inc.:2.25%, 9/15/2020 . . . . . . . . 762,000 762,2903.38%, 9/15/2025 . . . . . . . . 1,387,000 1,463,618

Block Financial LLC:


4.13%, 10/1/2020 . . . . . . . . $ 383,000 $ 389,2245.25%, 10/1/2025 . . . . . . . . 345,000 368,9885.50%, 11/1/2022 . . . . . . . . 449,000 478,239

Cintas Corp. No. 22.90%, 4/1/2022 . . . . . . . . . 1,071,000 1,088,072

Ecolab, Inc.:2.38%, 8/10/2022 . . . . . . . . 495,000 496,5352.70%, 11/1/2026 . . . . . . . . 719,000 725,2123.25%, 1/14/2023 . . . . . . . . 651,000 669,8203.25%, 12/1/2027 . . . . . . . . 542,000 563,778

Equifax, Inc.:2.30%, 6/1/2021 . . . . . . . . . 372,000 369,7083.30%, 12/15/2022. . . . . . . . 555,000 566,7723.60%, 8/15/2021 . . . . . . . . 190,000 193,2033.95%, 6/15/2023 . . . . . . . . 490,000 510,585

IHS Markit, Ltd.:3.63%, 5/1/2024 . . . . . . . . . 330,000 339,7614.13%, 8/1/2023 . . . . . . . . . 999,000 1,044,1454.25%, 5/1/2029 . . . . . . . . . 330,000 345,2924.75%, 8/1/2028 . . . . . . . . . 1,358,000 1,478,305

Moody’s Corp.:2.63%, 1/15/2023 . . . . . . . . 1,367,000 1,373,5072.75%, 12/15/2021. . . . . . . . 699,000 704,9283.25%, 6/7/2021 . . . . . . . . . 582,000 592,4933.25%, 1/15/2028 (a) . . . . . . 454,000 462,9714.50%, 9/1/2022 . . . . . . . . . 546,000 577,6574.88%, 2/15/2024 . . . . . . . . 444,000 486,8905.50%, 9/1/2020 . . . . . . . . . 781,000 808,413

RELX Capital, Inc.:3.13%, 10/15/2022. . . . . . . . 812,000 826,8433.50%, 3/16/2023 . . . . . . . . 1,154,000 1,191,5974.00%, 3/18/2029 . . . . . . . . 1,518,000 1,608,518

S&P Global, Inc.:2.95%, 1/22/2027 . . . . . . . . 480,000 487,1143.30%, 8/14/2020 . . . . . . . . 1,789,000 1,806,3004.00%, 6/15/2025 . . . . . . . . 885,000 959,6144.40%, 2/15/2026 . . . . . . . . 628,000 693,224

Total System Services, Inc.:3.75%, 6/1/2023 . . . . . . . . . 396,000 408,8153.80%, 4/1/2021 . . . . . . . . . 679,000 691,5144.00%, 6/1/2023 . . . . . . . . . 1,699,000 1,777,6644.45%, 6/1/2028 . . . . . . . . . 592,000 634,5174.80%, 4/1/2026 . . . . . . . . . 671,000 737,348

Verisk Analytics, Inc.:4.00%, 6/15/2025 . . . . . . . . 265,000 282,9014.13%, 9/12/2022 . . . . . . . . 1,080,000 1,133,6114.13%, 3/15/2029 . . . . . . . . 899,000 964,9065.80%, 5/1/2021 . . . . . . . . . 535,000 567,143

31,632,035


1.55%, 8/4/2021 . . . . . . . . . 1,651,000 1,635,4972.00%, 11/13/2020. . . . . . . . 1,336,000 1,335,3592.10%, 9/12/2022 . . . . . . . . 1,590,000 1,591,9722.15%, 2/9/2022 . . . . . . . . . 2,185,000 2,193,106


18


2.25%, 2/23/2021 . . . . . . . . $ 2,700,000 $ 2,708,6942.30%, 5/11/2022 . . . . . . . . 2,157,000 2,171,7972.40%, 1/13/2023 . . . . . . . . 1,688,000 1,703,8842.40%, 5/3/2023 . . . . . . . . . 6,778,000 6,849,9152.45%, 8/4/2026 . . . . . . . . . 2,232,000 2,223,1172.50%, 2/9/2022 . . . . . . . . . 1,576,000 1,593,9352.50%, 2/9/2025 . . . . . . . . . 2,071,000 2,092,8902.70%, 5/13/2022 . . . . . . . . 1,493,000 1,520,1432.75%, 1/13/2025 . . . . . . . . 1,561,000 1,595,6232.85%, 5/6/2021 . . . . . . . . . 3,404,000 3,454,4132.85%, 2/23/2023 . . . . . . . . 2,039,000 2,089,0572.85%, 5/11/2024 . . . . . . . . 2,160,000 2,223,5692.90%, 9/12/2027 . . . . . . . . 2,121,000 2,168,4263.00%, 2/9/2024 . . . . . . . . . 2,169,000 2,240,4033.00%, 6/20/2027 . . . . . . . . 1,052,000 1,082,8343.00%, 11/13/2027. . . . . . . . 1,911,000 1,968,5593.20%, 5/13/2025 . . . . . . . . 2,875,000 3,010,8153.20%, 5/11/2027 . . . . . . . . 1,627,000 1,696,3923.25%, 2/23/2026 . . . . . . . . 3,959,000 4,141,0743.35%, 2/9/2027 . . . . . . . . . 2,563,000 2,694,6613.45%, 5/6/2024 . . . . . . . . . 2,526,000 2,670,765

Dell International LLC/EMCCorp.:4.00%, 7/15/2024 (e) . . . . . . 1,446,000 1,480,2414.42%, 6/15/2021 (e) . . . . . . 4,996,000 5,144,6814.90%, 10/1/2026 (e) . . . . . . 2,480,000 2,587,3105.45%, 6/15/2023 (e) . . . . . . 3,453,000 3,721,3336.02%, 6/15/2026 (e) . . . . . . 6,493,000 7,150,092

DXC Technology Co.:4.25%, 4/15/2024 . . . . . . . . 629,000 657,7204.75%, 4/15/2027 . . . . . . . . 556,000 589,349

Genpact Luxembourg Sarl3.70%, 4/1/2022 . . . . . . . . . 532,000 531,777

Hewlett Packard Enterprise Co.:3.50%, 10/5/2021 . . . . . . . . 1,224,000 1,249,0803.60%, 10/15/2020. . . . . . . . 4,020,000 4,072,5014.40%, 10/15/2022. . . . . . . . 1,640,000 1,729,7744.90%, 10/15/2025. . . . . . . . 2,614,000 2,859,272

HP, Inc.:3.75%, 12/1/2020 . . . . . . . . 809,000 822,4544.05%, 9/15/2022 (a) . . . . . . 510,000 532,9144.30%, 6/1/2021 . . . . . . . . . 1,159,000 1,198,1744.38%, 9/15/2021 . . . . . . . . 601,000 626,8314.65%, 12/9/2021 . . . . . . . . 226,000 237,727

IBM Credit LLC:1.80%, 1/20/2021 . . . . . . . . 568,000 564,0352.20%, 9/8/2022 . . . . . . . . . 656,000 654,7672.65%, 2/5/2021 . . . . . . . . . 1,279,000 1,286,4953.00%, 2/6/2023 . . . . . . . . . 1,176,000 1,202,4483.45%, 11/30/2020. . . . . . . . 1,187,000 1,206,5143.60%, 11/30/2021. . . . . . . . 1,432,000 1,477,008

International Business MachinesCorp.:1.88%, 8/1/2022 (a) . . . . . . . 1,769,000 1,750,1602.25%, 2/19/2021 . . . . . . . . 815,000 815,228


2.50%, 1/27/2022 . . . . . . . . $ 1,099,000 $ 1,106,4732.80%, 5/13/2021 . . . . . . . . 1,578,000 1,597,1102.85%, 5/13/2022 . . . . . . . . 3,202,000 3,257,2022.88%, 11/9/2022 . . . . . . . . 1,419,000 1,448,6142.90%, 11/1/2021 . . . . . . . . 531,000 538,7693.00%, 5/15/2024 . . . . . . . . 4,059,000 4,167,3353.30%, 5/15/2026 . . . . . . . . 2,627,000 2,721,0733.30%, 1/27/2027 . . . . . . . . 910,000 942,3413.38%, 8/1/2023 . . . . . . . . . 2,191,000 2,274,8063.45%, 2/19/2026 . . . . . . . . 1,655,000 1,728,8633.50%, 5/15/2029 . . . . . . . . 4,152,000 4,342,6183.63%, 2/12/2024 . . . . . . . . 2,407,000 2,534,6196.22%, 8/1/2027 . . . . . . . . . 547,000 676,6996.50%, 1/15/2028 . . . . . . . . 120,000 152,1667.00%, 10/30/2025. . . . . . . . 572,000 714,211

NetApp, Inc.:3.30%, 9/29/2024 . . . . . . . . 974,000 984,9673.38%, 6/15/2021 . . . . . . . . 634,000 641,703

Seagate HDD Cayman:4.25%, 3/1/2022 (a) . . . . . . . 443,000 450,1724.75%, 6/1/2023 . . . . . . . . . 1,191,000 1,226,7544.75%, 1/1/2025 (a) . . . . . . . 893,000 900,7334.88%, 3/1/2024 . . . . . . . . . 597,000 612,5344.88%, 6/1/2027 . . . . . . . . . 610,000 608,920

Western Digital Corp.4.75%, 2/15/2026 (a) . . . . . . 1,509,000 1,481,883

137,915,350


Colgate-Palmolive Co.:Series GMTN, 2.25%,

11/15/2022 . . . . . . . . . . . 633,000 637,918Series MTN, 1.95%, 2/1/2023. 558,000 554,875Series MTN, 2.10%, 5/1/2023. 410,000 410,271Series MTN, 2.30%, 5/3/2022. 994,000 1,004,785Series MTN, 2.45%,

11/15/2021 . . . . . . . . . . . 73,000 73,778Series MTN, 3.25%,

3/15/2024. . . . . . . . . . . . 62,000 65,150Estee Lauder Cos., Inc.:

1.70%, 5/10/2021 . . . . . . . . 300,000 297,2223.15%, 3/15/2027 . . . . . . . . 640,000 664,941

Procter & Gamble Co.:1.70%, 11/3/2021 . . . . . . . . 848,000 841,7251.85%, 2/2/2021 . . . . . . . . . 637,000 635,1781.90%, 10/23/2020. . . . . . . . 705,000 703,9002.15%, 8/11/2022 . . . . . . . . 1,835,000 1,845,3862.30%, 2/6/2022 . . . . . . . . . 2,183,000 2,200,2242.45%, 11/3/2026 . . . . . . . . 1,660,000 1,666,6732.85%, 8/11/2027 (a) . . . . . . 2,074,000 2,144,9103.10%, 8/15/2023 . . . . . . . . 1,076,000 1,119,137

Unilever Capital Corp.:1.38%, 7/28/2021 . . . . . . . . 227,000 223,5502.00%, 7/28/2026 . . . . . . . . 1,298,000 1,251,1942.10%, 7/30/2020 . . . . . . . . 205,000 204,801


19


2.20%, 5/5/2022 . . . . . . . . . $ 1,410,000 $ 1,412,0162.60%, 5/5/2024 . . . . . . . . . 890,000 902,1842.75%, 3/22/2021 . . . . . . . . 591,000 597,2472.90%, 5/5/2027 . . . . . . . . . 1,473,000 1,504,6253.00%, 3/7/2022 . . . . . . . . . 999,000 1,021,8673.10%, 7/30/2025 . . . . . . . . 765,000 793,7723.13%, 3/22/2023 . . . . . . . . 639,000 657,9983.25%, 3/7/2024 . . . . . . . . . 673,000 700,5863.38%, 3/22/2025 . . . . . . . . 400,000 418,7003.50%, 3/22/2028 . . . . . . . . 1,842,000 1,966,5934.25%, 2/10/2021 . . . . . . . . 1,574,000 1,625,753

28,146,959


AerCap Ireland CapitalDAC/AerCap Global AviationTrust:3.30%, 1/23/2023 . . . . . . . . 967,000 979,0683.50%, 5/26/2022 . . . . . . . . 1,266,000 1,290,5983.50%, 1/15/2025 . . . . . . . . 743,000 751,5523.65%, 7/21/2027 . . . . . . . . 1,891,000 1,878,7463.88%, 1/23/2028 . . . . . . . . 1,145,000 1,149,8433.95%, 2/1/2022 . . . . . . . . . 855,000 879,1374.13%, 7/3/2023 . . . . . . . . . 1,134,000 1,184,4744.45%, 12/16/2021. . . . . . . . 1,040,000 1,079,5934.45%, 10/1/2025 . . . . . . . . 485,000 509,6094.45%, 4/3/2026 . . . . . . . . . 978,000 1,029,3944.50%, 5/15/2021 . . . . . . . . 1,351,000 1,393,2734.63%, 10/30/2020. . . . . . . . 1,045,000 1,072,5464.63%, 7/1/2022 . . . . . . . . . 914,000 959,6544.88%, 1/16/2024 . . . . . . . . 568,000 608,7145.00%, 10/1/2021 . . . . . . . . 1,114,000 1,167,628

Affiliated Managers Group, Inc.:3.50%, 8/1/2025 . . . . . . . . . 308,000 315,9314.25%, 2/15/2024 . . . . . . . . 175,000 185,407

Air Lease Corp.:2.50%, 3/1/2021 . . . . . . . . . 528,000 527,8422.63%, 7/1/2022 . . . . . . . . . 674,000 673,2322.75%, 1/15/2023 . . . . . . . . 868,000 867,6793.00%, 9/15/2023 . . . . . . . . 645,000 647,7863.25%, 3/1/2025 . . . . . . . . . 3,542,000 3,562,8983.38%, 6/1/2021 . . . . . . . . . 1,056,000 1,071,9563.50%, 1/15/2022 . . . . . . . . 631,000 646,2513.63%, 4/1/2027 . . . . . . . . . 524,000 527,7363.63%, 12/1/2027 . . . . . . . . 803,000 804,6223.75%, 2/1/2022 . . . . . . . . . 649,000 666,2313.88%, 4/1/2021 . . . . . . . . . 250,000 255,5533.88%, 7/3/2023 . . . . . . . . . 884,000 918,4494.25%, 9/15/2024 (a) . . . . . . 570,000 602,8664.63%, 10/1/2028 . . . . . . . . 1,383,000 1,478,842Series GMTN, 3.75%,

6/1/2026 . . . . . . . . . . . . 1,170,000 1,199,437Series MTN, 4.25%, 2/1/2024. 800,000 843,552

Aircastle, Ltd.:4.13%, 5/1/2024 . . . . . . . . . 505,000 517,155


4.25%, 6/15/2026 . . . . . . . . $ 1,357,000 $ 1,373,9634.40%, 9/25/2023 . . . . . . . . 636,000 660,5625.00%, 4/1/2023 . . . . . . . . . 525,000 555,3615.13%, 3/15/2021 . . . . . . . . 476,000 493,1315.50%, 2/15/2022 . . . . . . . . 1,028,000 1,089,875

American Express Co.:2.20%, 10/30/2020. . . . . . . . 1,964,000 1,959,2672.50%, 8/1/2022 . . . . . . . . . 2,227,000 2,240,6292.65%, 12/2/2022 . . . . . . . . 1,618,000 1,636,5582.75%, 5/20/2022 . . . . . . . . 1,727,000 1,748,2253.00%, 2/22/2021 . . . . . . . . 1,370,000 1,384,8653.00%, 10/30/2024. . . . . . . . 1,618,000 1,656,7513.13%, 5/20/2026 . . . . . . . . 863,000 886,3363.38%, 5/17/2021 . . . . . . . . 1,736,000 1,768,4983.40%, 2/27/2023 . . . . . . . . 1,607,000 1,664,1613.40%, 2/22/2024 . . . . . . . . 1,475,000 1,536,0503.63%, 12/5/2024 . . . . . . . . 574,000 602,3793.70%, 11/5/2021 . . . . . . . . 1,666,000 1,715,7133.70%, 8/3/2023 . . . . . . . . . 2,258,000 2,370,9234.20%, 11/6/2025 . . . . . . . . 969,000 1,058,613

American Express Credit Corp.:Series F, 2.60%, 9/14/2020. . . 1,297,000 1,301,916Series MTN, 2.25%, 5/5/2021. 3,509,000 3,509,211Series MTN, 2.70%, 3/3/2022. 1,370,000 1,383,823Series MTN, 3.30%, 5/3/2027. 2,118,000 2,222,841

Ameriprise Financial, Inc.:2.88%, 9/15/2026 . . . . . . . . 373,000 374,6933.00%, 3/22/2022 . . . . . . . . 592,000 603,2953.70%, 10/15/2024. . . . . . . . 631,000 668,9994.00%, 10/15/2023. . . . . . . . 1,104,000 1,176,952

AXA Equitable Holdings, Inc.7.00%, 4/1/2028 . . . . . . . . . 255,000 304,763

BGC Partners, Inc.5.38%, 7/24/2023 . . . . . . . . 943,000 986,916

BlackRock, Inc.:3.20%, 3/15/2027 . . . . . . . . 565,000 590,1823.25%, 4/30/2029 . . . . . . . . 1,755,000 1,838,2223.38%, 6/1/2022 . . . . . . . . . 585,000 606,3293.50%, 3/18/2024 . . . . . . . . 1,347,000 1,427,5784.25%, 5/24/2021 . . . . . . . . 855,000 889,251

Brookfield Asset Management,Inc.4.00%, 1/15/2025 . . . . . . . . 498,000 520,843

Brookfield Finance LLC4.00%, 4/1/2024 . . . . . . . . . 1,623,000 1,701,066

Brookfield Finance, Inc.:3.90%, 1/25/2028 . . . . . . . . 693,000 705,2664.25%, 6/2/2026 (a) . . . . . . . 884,000 933,911

Capital One Bank USA NA3.38%, 2/15/2023 . . . . . . . . 1,785,000 1,818,737

Capital One Financial Corp.:2.40%, 10/30/2020. . . . . . . . 1,731,000 1,732,5413.05%, 3/9/2022 . . . . . . . . . 918,000 932,3583.45%, 4/30/2021 . . . . . . . . 1,902,000 1,936,4453.90%, 1/29/2024 . . . . . . . . 290,000 304,8774.75%, 7/15/2021 . . . . . . . . 5,549,000 5,801,202


20


Cboe Global Markets, Inc.3.65%, 1/12/2027 . . . . . . . . $ 402,000 $ 422,976

Charles Schwab Corp.:2.65%, 1/25/2023 . . . . . . . . 923,000 935,2853.00%, 3/10/2025 . . . . . . . . 955,000 978,2543.20%, 3/2/2027 . . . . . . . . . 606,000 625,8833.20%, 1/25/2028 . . . . . . . . 896,000 925,2013.25%, 5/21/2021 . . . . . . . . 782,000 796,6943.25%, 5/22/2029 . . . . . . . . 991,000 1,025,3583.45%, 2/13/2026 . . . . . . . . 97,000 101,4033.55%, 2/1/2024 . . . . . . . . . 1,084,000 1,141,0943.85%, 5/21/2025 . . . . . . . . 1,080,000 1,154,8664.00%, 2/1/2029 . . . . . . . . . 906,000 992,9584.45%, 7/22/2020 . . . . . . . . 235,000 240,398

CME Group, Inc.:3.00%, 9/15/2022 . . . . . . . . 1,035,000 1,060,7303.00%, 3/15/2025 . . . . . . . . 741,000 769,2023.75%, 6/15/2028 . . . . . . . . 674,000 732,564

Discover Financial Services:3.75%, 3/4/2025 . . . . . . . . . 1,108,000 1,146,6473.85%, 11/21/2022. . . . . . . . 224,000 233,7133.95%, 11/6/2024 . . . . . . . . 426,000 448,2974.10%, 2/9/2027 . . . . . . . . . 755,000 785,3814.50%, 1/30/2026 . . . . . . . . 1,072,000 1,148,3805.20%, 4/27/2022 . . . . . . . . 275,000 294,610

E*TRADE Financial Corp.:2.95%, 8/24/2022 . . . . . . . . 394,000 397,7003.80%, 8/24/2027 . . . . . . . . 535,000 539,7454.50%, 6/20/2028 . . . . . . . . 663,000 702,071

Eaton Vance Corp.3.50%, 4/6/2027 . . . . . . . . . 499,000 516,530

Franklin Resources, Inc.:2.80%, 9/15/2022 . . . . . . . . 304,000 308,3442.85%, 3/30/2025 . . . . . . . . 365,000 373,453

GE Capital International FundingCo.:2.34%, 11/15/2020. . . . . . . . 9,969,000 9,921,0493.37%, 11/15/2025. . . . . . . . 2,548,000 2,580,946

GLP Capital L.P./GLP FinancingII, Inc.:5.25%, 6/1/2025 . . . . . . . . . 3,312,000 3,547,1195.38%, 11/1/2023 . . . . . . . . 591,000 636,3715.38%, 4/15/2026 . . . . . . . . 514,000 555,7635.75%, 6/1/2028 . . . . . . . . . 1,625,000 1,791,433

Intercontinental Exchange, Inc.:2.35%, 9/15/2022 . . . . . . . . 806,000 806,9352.75%, 12/1/2020 . . . . . . . . 1,297,000 1,304,8603.10%, 9/15/2027 . . . . . . . . 852,000 873,4623.45%, 9/21/2023 . . . . . . . . 421,000 438,6953.75%, 12/1/2025 . . . . . . . . 1,591,000 1,698,2173.75%, 9/21/2028 . . . . . . . . 999,000 1,074,8744.00%, 10/15/2023. . . . . . . . 876,000 931,784

International Lease FinanceCorp.:4.63%, 4/15/2021 . . . . . . . . 541,000 558,5725.88%, 8/15/2022 . . . . . . . . 843,000 920,303


8.25%, 12/15/2020. . . . . . . . $ 1,062,000 $ 1,145,5168.63%, 1/15/2022 . . . . . . . . 747,000 852,110

Invesco Finance PLC:3.13%, 11/30/2022. . . . . . . . 656,000 669,7893.75%, 1/15/2026 . . . . . . . . 418,000 437,1994.00%, 1/30/2024 . . . . . . . . 470,000 498,383

Janus Capital Group, Inc.4.88%, 8/1/2025 . . . . . . . . . 270,000 291,533

Jefferies Financial Group, Inc.5.50%, 10/18/2023. . . . . . . . 630,000 679,442

Jefferies Group LLC:5.13%, 1/20/2023 . . . . . . . . 916,000 981,7236.45%, 6/8/2027 . . . . . . . . . 427,000 479,9786.88%, 4/15/2021 . . . . . . . . 560,000 598,847

Jefferies Group LLC/JefferiesGroup Capital Finance, Inc.4.85%, 1/15/2027 . . . . . . . . 870,000 900,111

Lazard Group LLC:3.63%, 3/1/2027 . . . . . . . . . 929,000 939,7493.75%, 2/13/2025 . . . . . . . . 381,000 396,3854.38%, 3/11/2029 . . . . . . . . 408,000 430,4204.50%, 9/19/2028 . . . . . . . . 609,000 648,749

Legg Mason, Inc.4.75%, 3/15/2026 . . . . . . . . 423,000 452,547

Mastercard, Inc.:2.00%, 11/21/2021. . . . . . . . 693,000 691,3852.95%, 11/21/2026. . . . . . . . 914,000 943,0012.95%, 6/1/2029 . . . . . . . . . 1,188,000 1,225,2443.38%, 4/1/2024 . . . . . . . . . 1,171,000 1,236,8453.50%, 2/26/2028 . . . . . . . . 562,000 605,134

Nasdaq, Inc.:3.85%, 6/30/2026 (a) . . . . . . 433,000 454,5114.25%, 6/1/2024 . . . . . . . . . 848,000 907,580

National Rural UtilitiesCooperative Finance Corp.:2.70%, 2/15/2023 . . . . . . . . 589,000 597,3872.85%, 1/27/2025 . . . . . . . . 79,000 80,8162.95%, 2/7/2024 . . . . . . . . . 567,000 581,7253.05%, 4/25/2027 . . . . . . . . 535,000 544,1433.40%, 2/7/2028 . . . . . . . . . 888,000 931,1303.70%, 3/15/2029 . . . . . . . . 833,000 896,8333.90%, 11/1/2028 . . . . . . . . 450,000 486,9993 Month USD LIBOR +

2.91%, 4.75%, 4/30/2043(c) . . . . . . . . . . . . . . . . 770,000 756,063

3 Month USD LIBOR +3.63%, 5.25%, 4/20/2046(c) . . . . . . . . . . . . . . . . 570,000 587,972

Series MTN, 2.30%,9/15/2022. . . . . . . . . . . . 501,000 502,142

Series MTN, 3.25%,11/1/2025. . . . . . . . . . . . 476,000 494,031

ORIX Corp.:2.90%, 7/18/2022 . . . . . . . . 935,000 948,5013.25%, 12/4/2024 . . . . . . . . 755,000 778,2243.70%, 7/18/2027 . . . . . . . . 519,000 546,097


21


4.05%, 1/16/2024 . . . . . . . . $ 634,000 $ 672,262Raymond James Financial, Inc.

3.63%, 9/15/2026 . . . . . . . . 252,000 259,106Stifel Financial Corp.:

3.50%, 12/1/2020 . . . . . . . . 76,000 76,8164.25%, 7/18/2024 . . . . . . . . 816,000 855,543

Synchrony Financial:3.70%, 8/4/2026 . . . . . . . . . 1,139,000 1,131,4373.75%, 8/15/2021 . . . . . . . . 547,000 557,9783.95%, 12/1/2027 . . . . . . . . 1,318,000 1,315,7334.25%, 8/15/2024 . . . . . . . . 1,067,000 1,109,1574.38%, 3/19/2024 . . . . . . . . 580,000 608,9364.50%, 7/23/2025 . . . . . . . . 1,440,000 1,511,5975.15%, 3/19/2029 . . . . . . . . 1,099,000 1,184,832

TD Ameritrade Holding Corp.:2.95%, 4/1/2022 . . . . . . . . . 1,092,000 1,110,6843.30%, 4/1/2027 . . . . . . . . . 512,000 528,0723.63%, 4/1/2025 . . . . . . . . . 932,000 978,6473.75%, 4/1/2024 . . . . . . . . . 475,000 501,196

Visa, Inc.:2.15%, 9/15/2022 . . . . . . . . 1,147,000 1,151,4622.20%, 12/14/2020. . . . . . . . 3,502,000 3,508,3392.75%, 9/15/2027 . . . . . . . . 818,000 834,1722.80%, 12/14/2022. . . . . . . . 2,556,000 2,618,7753.15%, 12/14/2025. . . . . . . . 5,330,000 5,593,835

Western Union Co.:3.60%, 3/15/2022 . . . . . . . . 560,000 573,3624.25%, 6/9/2023 . . . . . . . . . 455,000 479,520

191,719,156

ELECTRIC — 4.5%AEP Texas, Inc.:

2.40%, 10/1/2022 . . . . . . . . 510,000 511,2143.95%, 6/1/2028 . . . . . . . . . 643,000 690,241

AEP Transmission Co. LLC3.10%, 12/1/2026 . . . . . . . . 418,000 427,309

Alabama Power Co.:Series 13-A, 3.55%,

12/1/2023. . . . . . . . . . . . 183,000 192,196Series 17A, 2.45%, 3/30/2022. 626,000 628,585

Ameren Corp.:2.70%, 11/15/2020. . . . . . . . 419,000 420,2533.65%, 2/15/2026 . . . . . . . . 670,000 691,614

Ameren Illinois Co.:2.70%, 9/1/2022 . . . . . . . . . 300,000 304,2813.25%, 3/1/2025 . . . . . . . . . 146,000 151,4573.80%, 5/15/2028 . . . . . . . . 586,000 633,947

American Electric Power Co.,Inc.:2.15%, 11/13/2020. . . . . . . . 464,000 462,4973.20%, 11/13/2027. . . . . . . . 536,000 544,887Series F, 2.95%, 12/15/2022 . . 599,000 608,027Series I, 3.65%, 12/1/2021 . . . 670,000 690,515Series J, 4.30%, 12/1/2028 . . . 595,000 651,531

Appalachian Power Co.:3.40%, 6/1/2025 . . . . . . . . . 691,000 714,066


4.60%, 3/30/2021 . . . . . . . . $ 44,000 $ 45,511Series X, 3.30%, 6/1/2027 . . . 406,000 414,278

Arizona Public Service Co.:2.95%, 9/15/2027 . . . . . . . . 440,000 445,2273.15%, 5/15/2025 . . . . . . . . 475,000 489,511

Atlantic City Electric Co.4.00%, 10/15/2028. . . . . . . . 994,000 1,089,643

Avangrid, Inc.:3.15%, 12/1/2024 . . . . . . . . 979,000 995,8683.80%, 6/1/2029 . . . . . . . . . 978,000 1,023,379

Baltimore Gas & Electric Co.:2.40%, 8/15/2026 . . . . . . . . 574,000 561,0333.35%, 7/1/2023 . . . . . . . . . 905,000 936,6933.50%, 11/15/2021. . . . . . . . 344,000 351,540

Berkshire Hathaway Energy Co.:2.38%, 1/15/2021 . . . . . . . . 552,000 553,2482.80%, 1/15/2023 . . . . . . . . 579,000 588,9943.25%, 4/15/2028 . . . . . . . . 665,000 684,8573.50%, 2/1/2025 . . . . . . . . . 381,000 401,1553.75%, 11/15/2023. . . . . . . . 475,000 500,930

Black Hills Corp.:3.15%, 1/15/2027 . . . . . . . . 547,000 542,2363.95%, 1/15/2026 . . . . . . . . 463,000 481,9834.25%, 11/30/2023. . . . . . . . 703,000 743,971

CenterPoint Energy HoustonElectric LLC:1.85%, 6/1/2021 . . . . . . . . . 35,000 34,7402.25%, 8/1/2022 . . . . . . . . . 704,000 703,782Series AA, 3.00%, 2/1/2027 . . 815,000 829,548Series Z, 2.40%, 9/1/2026 . . . 525,000 514,951

CenterPoint Energy, Inc.:2.50%, 9/1/2022 . . . . . . . . . 641,000 641,9873.60%, 11/1/2021 . . . . . . . . 486,000 499,0833.85%, 2/1/2024 . . . . . . . . . 411,000 431,4394.25%, 11/1/2028 . . . . . . . . 645,000 697,174

Cleco Corporate Holdings LLC3.74%, 5/1/2026 . . . . . . . . . 946,000 953,918

Cleveland Electric IlluminatingCo.5.50%, 8/15/2024 . . . . . . . . 23,000 26,069

CMS Energy Corp.:3.00%, 5/15/2026 . . . . . . . . 1,135,000 1,137,9063.45%, 8/15/2027 . . . . . . . . 527,000 543,0585.05%, 3/15/2022 . . . . . . . . 796,000 845,957

Commonwealth Edison Co.:2.55%, 6/15/2026 . . . . . . . . 305,000 303,6983.40%, 9/1/2021 . . . . . . . . . 400,000 408,8083.70%, 8/15/2028 . . . . . . . . 525,000 565,3044.00%, 8/1/2020 . . . . . . . . . 74,000 75,056Series 122, 2.95%, 8/15/2027 . 545,000 553,507

Connecticut Light & Power Co.:2.50%, 1/15/2023 . . . . . . . . 190,000 191,636Series A, 3.20%, 3/15/2027 . . 814,000 838,013

Consolidated Edison Co. of NewYork, Inc.:3.80%, 5/15/2028 . . . . . . . . 837,000 904,295


22


Series B, 3.13%, 11/15/2027. . $ 603,000 $ 619,365Series D, 4.00%, 12/1/2028 . . 450,000 494,770

Consolidated Edison, Inc.2.00%, 5/15/2021 . . . . . . . . 866,000 861,757

Consumers Energy Co.:2.85%, 5/15/2022 . . . . . . . . 834,000 849,1043.38%, 8/15/2023 . . . . . . . . 200,000 208,3043.80%, 11/15/2028. . . . . . . . 334,000 365,349

Delmarva Power & Light Co.3.50%, 11/15/2023. . . . . . . . 681,000 712,108

Dominion Energy, Inc.:2.72%, 8/15/2021 (d) . . . . . . 953,000 954,8013.07%, 8/15/2024 (d) . . . . . . 1,068,000 1,077,4413.90%, 10/1/2025 . . . . . . . . 545,000 580,6384.10%, 4/1/2021 (d) . . . . . . . 1,303,000 1,334,0504.25%, 6/1/2028 . . . . . . . . . 460,000 499,4453 Month USD LIBOR +

3.06%, 5.75%, 10/1/2054(c) . . . . . . . . . . . . . . . . 1,092,000 1,131,716

Series B, 2.75%, 1/15/2022 . . 350,000 352,541Series B, 2.75%, 9/15/2022 . . 628,000 631,931Series C, 2.00%, 8/15/2021 . . 781,000 773,690Series D, 2.85%, 8/15/2026 . . 627,000 620,605

DPL, Inc.:4.35%, 4/15/2029 (e) . . . . . . 1,017,000 1,031,6557.25%, 10/15/2021. . . . . . . . 271,000 291,517

DTE Electric Co.:3.38%, 3/1/2025 . . . . . . . . . 115,000 119,9653.45%, 10/1/2020 . . . . . . . . 349,000 353,3943.65%, 3/15/2024 . . . . . . . . 475,000 499,994

DTE Energy Co.:2.85%, 10/1/2026 . . . . . . . . 636,000 628,9283.80%, 3/15/2027 . . . . . . . . 593,000 620,646Series B, 2.60%, 6/15/2022 . . 692,000 696,097Series B, 3.30%, 6/15/2022 . . 421,000 430,578Series C, 3.40%, 6/15/2029 . . 1,217,000 1,240,111Series C, 3.50%, 6/1/2024 . . . 881,000 913,280Series D, 3.70%, 8/1/2023 . . . 1,414,000 1,477,998Series F, 3.85%, 12/1/2023. . . 451,000 472,634

Duke Energy Carolinas LLC:2.50%, 3/15/2023 . . . . . . . . 394,000 397,8732.95%, 12/1/2026 . . . . . . . . 513,000 524,3173.05%, 3/15/2023 . . . . . . . . 627,000 645,4963.35%, 5/15/2022 . . . . . . . . 795,000 821,4503.90%, 6/15/2021 . . . . . . . . 637,000 657,1483.95%, 11/15/2028. . . . . . . . 500,000 547,855

Duke Energy Corp.:1.80%, 9/1/2021 . . . . . . . . . 879,000 869,0592.40%, 8/15/2022 . . . . . . . . 878,000 879,5452.65%, 9/1/2026 . . . . . . . . . 904,000 893,2703.05%, 8/15/2022 . . . . . . . . 821,000 836,6893.15%, 8/15/2027 . . . . . . . . 737,000 747,3843.40%, 6/15/2029 . . . . . . . . 1,006,000 1,031,9253.55%, 9/15/2021 . . . . . . . . 1,217,000 1,243,9693.75%, 4/15/2024 . . . . . . . . 1,159,000 1,222,525


3.95%, 10/15/2023. . . . . . . . $ 903,000 $ 953,126Duke Energy Florida LLC:

3.10%, 8/15/2021 . . . . . . . . 204,000 207,0743.20%, 1/15/2027 . . . . . . . . 563,000 581,9673.80%, 7/15/2028 . . . . . . . . 202,000 217,639

Duke Energy Florida ProjectFinance LLCSeries 2026, 2.54%, 9/1/2031 . 250,000 247,015

Duke Energy Indiana LLC3.75%, 7/15/2020 . . . . . . . . 323,000 327,971

Duke Energy Ohio, Inc.3.80%, 9/1/2023 . . . . . . . . . 302,000 317,873

Duke Energy Progress LLC:2.80%, 5/15/2022 . . . . . . . . 215,000 218,7673.00%, 9/15/2021 . . . . . . . . 115,000 116,9033.25%, 8/15/2025 . . . . . . . . 849,000 883,6903.38%, 9/1/2023 . . . . . . . . . 435,000 453,5663.45%, 3/15/2029 . . . . . . . . 844,000 889,5513.70%, 9/1/2028 . . . . . . . . . 981,000 1,050,573

Edison International:2.40%, 9/15/2022 . . . . . . . . 568,000 537,2942.95%, 3/15/2023 (a) . . . . . . 1,487,000 1,423,8174.13%, 3/15/2028 . . . . . . . . 572,000 556,3675.75%, 6/15/2027 . . . . . . . . 175,000 188,286

Emera US Finance L.P.:2.70%, 6/15/2021 . . . . . . . . 935,000 938,1513.55%, 6/15/2026 . . . . . . . . 496,000 506,138

Enel Americas SA4.00%, 10/25/2026. . . . . . . . 803,000 825,853

Enel Chile SA4.88%, 6/12/2028 . . . . . . . . 587,000 640,834

Enel Generacion Chile SA4.25%, 4/15/2024 . . . . . . . . 488,000 513,112

Entergy Arkansas LLC:3.50%, 4/1/2026 . . . . . . . . . 925,000 967,9483.70%, 6/1/2024 . . . . . . . . . 310,000 328,0233.75%, 2/15/2021 . . . . . . . . 265,000 270,234

Entergy Corp.:2.95%, 9/1/2026 . . . . . . . . . 1,094,000 1,092,7424.00%, 7/15/2022 . . . . . . . . 829,000 861,9865.13%, 9/15/2020 . . . . . . . . 921,000 942,892

Entergy Gulf StatesLouisiana LLC5.59%, 10/1/2024 . . . . . . . . 515,000 593,512

Entergy Louisiana LLC:2.40%, 10/1/2026 . . . . . . . . 593,000 578,9703.12%, 9/1/2027 . . . . . . . . . 606,000 617,8593.25%, 4/1/2028 . . . . . . . . . 575,000 592,6244.05%, 9/1/2023 . . . . . . . . . 326,000 346,567

Entergy Mississippi LLC2.85%, 6/1/2028 . . . . . . . . . 190,000 190,551

Evergy, Inc.4.85%, 6/1/2021 . . . . . . . . . 391,000 404,798

Eversource Energy:2.50%, 3/15/2021 . . . . . . . . 690,000 691,7662.80%, 5/1/2023 . . . . . . . . . 836,000 845,555


23


Series H, 3.15%, 1/15/2025 . . $ 374,000 $ 383,294Series K, 2.75%, 3/15/2022 . . 1,055,000 1,067,818Series L, 2.90%, 10/1/2024 . . 552,000 560,148Series M, 3.30%, 1/15/2028 . . 431,000 439,021Series N, 3.80%, 12/1/2023 . . 550,000 579,881

Exelon Corp.:2.45%, 4/15/2021 . . . . . . . . 432,000 431,4563.40%, 4/15/2026 . . . . . . . . 960,000 985,3543.50%, 6/1/2022 . . . . . . . . . 1,400,000 1,433,8803.95%, 6/15/2025 . . . . . . . . 819,000 871,9165.15%, 12/1/2020 . . . . . . . . 849,000 874,878

Exelon Generation Co. LLC:3.40%, 3/15/2022 . . . . . . . . 968,000 990,9804.00%, 10/1/2020 . . . . . . . . 515,000 522,8284.25%, 6/15/2022 . . . . . . . . 627,000 656,212

FirstEnergy Corp.:Series A, 2.85%, 7/15/2022 . . 679,000 686,815Series B, 3.90%, 7/15/2027 . . 2,324,000 2,438,457Series B, 4.25%, 3/15/2023 . . 725,000 765,788

Florida Power & Light Co.:2.75%, 6/1/2023 . . . . . . . . . 437,000 444,7223.13%, 12/1/2025 . . . . . . . . 505,000 525,4933.25%, 6/1/2024 . . . . . . . . . 629,000 658,261

Fortis, Inc.:3.06%, 10/4/2026 . . . . . . . . 1,118,000 1,110,3752.10%, 10/4/2021 . . . . . . . . 882,000 872,986

Georgia Power Co.:2.40%, 4/1/2021 . . . . . . . . . 531,000 531,0532.85%, 5/15/2022 . . . . . . . . 848,000 856,3533.25%, 4/1/2026 . . . . . . . . . 349,000 353,7853.25%, 3/30/2027 . . . . . . . . 347,000 349,079Series C, 2.00%, 9/8/2020 . . . 894,000 889,047

Gulf Power Co.Series A, 3.30%, 5/30/2027 . . 454,000 471,247

Iberdrola International B.V.5.81%, 3/15/2025 . . . . . . . . 382,000 433,895

Indiana Michigan Power Co.3.85%, 5/15/2028 . . . . . . . . 350,000 377,216

Interstate Power & Light Co.:3.25%, 12/1/2024 . . . . . . . . 416,000 427,6853.60%, 4/1/2029 . . . . . . . . . 909,000 949,2324.10%, 9/26/2028 . . . . . . . . 475,000 514,615

IPALCO Enterprises, Inc.:3.45%, 7/15/2020 . . . . . . . . 260,000 261,5183.70%, 9/1/2024 . . . . . . . . . 978,000 1,012,162

ITC Holdings Corp.:2.70%, 11/15/2022. . . . . . . . 678,000 680,3803.25%, 6/30/2026 . . . . . . . . 646,000 656,3363.35%, 11/15/2027. . . . . . . . 842,000 863,9683.65%, 6/15/2024 . . . . . . . . 372,000 385,827

Kansas City Power & Light Co.:3.15%, 3/15/2023 . . . . . . . . 900,000 926,2263.65%, 8/15/2025 . . . . . . . . 694,000 734,294

Kentucky Utilities Co.3.25%, 11/1/2020 . . . . . . . . 26,000 26,267


LG&E & KU Energy LLC3.75%, 11/15/2020. . . . . . . . $ 593,000 $ 601,794

Louisville Gas & Electric Co.Series 25, 3.30%, 10/1/2025 . . 629,000 657,236

MidAmerican Energy Co.:3.10%, 5/1/2027 . . . . . . . . . 591,000 607,6253.50%, 10/15/2024. . . . . . . . 524,000 552,2123.65%, 4/15/2029 . . . . . . . . 1,250,000 1,348,850

Mississippi Power Co.3.95%, 3/30/2028 . . . . . . . . 510,000 536,872

National Rural UtilitiesCooperative Finance Corp.:2.30%, 11/1/2020 . . . . . . . . 597,000 597,6512.40%, 4/25/2022 . . . . . . . . 749,000 753,9963.05%, 2/15/2022 . . . . . . . . 507,000 517,297Series MTN, 2.90%,

3/15/2021. . . . . . . . . . . . 698,000 706,844Nevada Power Co.

Series CC, 3.70%, 5/1/2029 . . 3,658,000 3,913,145NextEra Energy Capital

Holdings, Inc.:2.80%, 1/15/2023 . . . . . . . . 467,000 471,4602.90%, 4/1/2022 . . . . . . . . . 667,000 677,4723.15%, 4/1/2024 . . . . . . . . . 1,048,000 1,078,1403.20%, 2/25/2022 . . . . . . . . 775,000 789,6783.25%, 4/1/2026 . . . . . . . . . 2,821,000 2,898,6623.50%, 4/1/2029 (a) . . . . . . . 809,000 841,1663.55%, 5/1/2027 . . . . . . . . . 983,000 1,026,1244.50%, 6/1/2021 . . . . . . . . . 883,000 913,8613 Month USD LIBOR +

3.16%, 5.65%, 5/1/2079(a) (c) . . . . . . . . . . . . . . 1,099,000 1,131,585

3 Month USD LIBOR +2.41%, 4.80%, 12/1/2077(c) . . . . . . . . . . . . . . . . 686,000 644,957

Series H, 3.34%, 9/1/2020 . . . 3,019,000 3,053,507Northern States Power Co.:

2.15%, 8/15/2022 . . . . . . . . 526,000 525,5062.20%, 8/15/2020 . . . . . . . . 233,000 233,0612.60%, 5/15/2023 . . . . . . . . 531,000 536,894

NSTAR Electric Co.:2.38%, 10/15/2022. . . . . . . . 677,000 679,7693.20%, 5/15/2027 . . . . . . . . 485,000 500,0203.25%, 5/15/2029 . . . . . . . . 848,000 879,936

NV Energy, Inc.6.25%, 11/15/2020. . . . . . . . 582,000 611,775

Ohio Power Co.Series M, 5.38%, 10/1/2021 . . 946,000 1,010,006

Oklahoma Gas & Electric Co.3.80%, 8/15/2028 . . . . . . . . 817,000 862,580

Oncor Electric Delivery Co.LLC:2.75%, 6/1/2024 (e) . . . . . . . 1,086,000 1,107,0682.95%, 4/1/2025 . . . . . . . . . 345,000 354,0083.70%, 11/15/2028 (e) . . . . . 685,000 736,9303.70%, 11/15/2028. . . . . . . . 671,000 721,406


24


4.10%, 6/1/2022 . . . . . . . . . $ 195,000 $ 204,3897.00%, 9/1/2022 . . . . . . . . . 519,000 593,066

PacifiCorp:2.95%, 2/1/2022 . . . . . . . . . 875,000 891,1002.95%, 6/1/2023 . . . . . . . . . 671,000 686,1043.60%, 4/1/2024 . . . . . . . . . 460,000 484,2143.85%, 6/15/2021 . . . . . . . . 553,000 568,268

PECO Energy Co.:2.38%, 9/15/2022 . . . . . . . . 371,000 372,6693.15%, 10/15/2025. . . . . . . . 295,000 305,207

Pinnacle West Capital Corp.2.25%, 11/30/2020. . . . . . . . 381,000 379,625

PNM Resources, Inc.3.25%, 3/9/2021 . . . . . . . . . 614,000 620,355

Potomac Electric Power Co.3.60%, 3/15/2024 . . . . . . . . 490,000 515,255

PPL Capital Funding, Inc.:3.10%, 5/15/2026 . . . . . . . . 665,000 663,1383.40%, 6/1/2023 . . . . . . . . . 398,000 408,0303.50%, 12/1/2022 . . . . . . . . 618,000 635,4283.95%, 3/15/2024 . . . . . . . . 859,000 900,3524.20%, 6/15/2022 . . . . . . . . 507,000 528,695

PPL Electric Utilities Corp.3.00%, 9/15/2021 . . . . . . . . 404,000 409,858

Progress Energy, Inc.:3.15%, 4/1/2022 . . . . . . . . . 588,000 598,9434.40%, 1/15/2021 . . . . . . . . 2,147,000 2,203,938

PSEG Power LLC:3.00%, 6/15/2021 . . . . . . . . 666,000 672,1413.85%, 6/1/2023 . . . . . . . . . 233,000 242,753

Public Service Co. of Colorado:2.25%, 9/15/2022 . . . . . . . . 480,000 481,2193.70%, 6/15/2028 . . . . . . . . 984,000 1,060,821

Public Service Co. of NewHampshire3.50%, 11/1/2023 . . . . . . . . 205,000 214,608


3/15/2021. . . . . . . . . . . . 261,000 260,254Series MTN, 2.25%,

9/15/2026. . . . . . . . . . . . 670,000 651,716Series MTN, 2.38%,

5/15/2023. . . . . . . . . . . . 125,000 125,452Series MTN, 3.00%,

5/15/2025. . . . . . . . . . . . 541,000 553,459Series MTN, 3.00%,

5/15/2027. . . . . . . . . . . . 500,000 508,955Series MTN, 3.20%,

5/15/2029. . . . . . . . . . . . 805,000 836,242Series MTN, 3.25%, 9/1/2023. 490,000 508,880Series MTN, 3.65%, 9/1/2028. 286,000 306,915Series MTN, 3.70%, 5/1/2028. 650,000 700,687

Public Service Enterprise Group,Inc.:2.00%, 11/15/2021. . . . . . . . 542,000 536,818


2.65%, 11/15/2022. . . . . . . . $ 619,000 $ 620,4792.88%, 6/15/2024 . . . . . . . . 1,494,000 1,514,020

Puget Energy, Inc.:3.65%, 5/15/2025 . . . . . . . . 432,000 441,2755.63%, 7/15/2022 . . . . . . . . 880,000 945,3496.00%, 9/1/2021 . . . . . . . . . 549,000 588,1386.50%, 12/15/2020. . . . . . . . 250,000 263,520

San Diego Gas & Electric Co.:2.50%, 5/15/2026 . . . . . . . . 607,000 591,7043.00%, 8/15/2021 . . . . . . . . 2,799,000 2,829,817Series NNN, 3.60%, 9/1/2023 . 165,000 171,097

Sempra Energy:2.85%, 11/15/2020. . . . . . . . 425,000 426,9422.88%, 10/1/2022 . . . . . . . . 507,000 511,7352.90%, 2/1/2023 . . . . . . . . . 1,031,000 1,039,2173.25%, 6/15/2027 . . . . . . . . 817,000 814,1573.40%, 2/1/2028 . . . . . . . . . 1,173,000 1,170,4083.55%, 6/15/2024 . . . . . . . . 1,020,000 1,052,4973.75%, 11/15/2025. . . . . . . . 794,000 818,4314.05%, 12/1/2023 . . . . . . . . 376,000 396,003

Sierra Pacific Power Co.2.60%, 5/1/2026 . . . . . . . . . 442,000 437,195

South Carolina Electric & GasCo.4.25%, 8/15/2028 . . . . . . . . 936,000 1,041,075

Southern California Edison Co.:3.88%, 6/1/2021 . . . . . . . . . 928,000 943,312Series A, 2.90%, 3/1/2021 . . . 221,000 221,294Series A, 4.20%, 3/1/2029 . . . 444,000 472,216Series B, 2.40%, 2/1/2022 . . . 576,000 572,020Series B, 3.65%, 3/1/2028 . . . 578,000 591,294Series C, 3.50%, 10/1/2023 . . 769,000 788,117Series D, 3.40%, 6/1/2023 . . . 706,000 718,249Series E, 3.70%, 8/1/2025 . . . 348,000 359,787

Southern Co.:2.35%, 7/1/2021 . . . . . . . . . 3,871,000 3,868,3682.95%, 7/1/2023 . . . . . . . . . 1,221,000 1,238,8883.25%, 7/1/2026 . . . . . . . . . 1,344,000 1,364,308Series B, 3 Month USD

LIBOR + 3.63%, 5.50%,3/15/2057 (c) . . . . . . . . . 447,000 457,393

Southern Power Co.:4.15%, 12/1/2025 . . . . . . . . 564,000 600,073Series E, 2.50%, 12/15/2021. . 4,438,000 4,438,799

Southwestern Electric Power Co.:Series K, 2.75%, 10/1/2026 . . 812,000 797,222Series M, 4.10%, 9/15/2028 . . 489,000 528,140

Southwestern Public Service Co.3.30%, 6/15/2024 . . . . . . . . 167,000 172,868

Tucson Electric Power Co.3.05%, 3/15/2025 . . . . . . . . 157,000 158,766

UIL Holdings Corp.4.63%, 10/1/2020 . . . . . . . . 522,000 534,434

Union Electric Co.:2.95%, 6/15/2027 . . . . . . . . 610,000 619,7483.50%, 4/15/2024 . . . . . . . . 282,000 295,612


25


3.50%, 3/15/2029 . . . . . . . . $ 749,000 $ 792,734Virginia Electric & Power Co.:

2.95%, 1/15/2022 . . . . . . . . 220,000 223,1863.45%, 9/1/2022 . . . . . . . . . 242,000 249,6743.45%, 2/15/2024 . . . . . . . . 253,000 263,914Series A, 3.10%, 5/15/2025 . . 543,000 558,633Series A, 3.15%, 1/15/2026 . . 579,000 597,117Series A, 3.50%, 3/15/2027 . . 751,000 790,105Series A, 3.80%, 4/1/2028 . . . 384,000 412,113Series B, 2.95%, 11/15/2026. . 665,000 675,268Series C, 2.75%, 3/15/2023 . . 714,000 723,975

WEC Energy Group, Inc.:3.10%, 3/8/2022 . . . . . . . . . 575,000 585,2643.38%, 6/15/2021 . . . . . . . . 980,000 998,8363.55%, 6/15/2025 . . . . . . . . 371,000 389,580

Westar Energy, Inc.:2.55%, 7/1/2026 . . . . . . . . . 371,000 363,5653.10%, 4/1/2027 . . . . . . . . . 335,000 343,519

Wisconsin Electric Power Co.2.95%, 9/15/2021 . . . . . . . . 280,000 283,665

Wisconsin Power & Light Co.:3.00%, 7/1/2029 . . . . . . . . . 993,000 1,011,0133.05%, 10/15/2027. . . . . . . . 350,000 355,855

Wisconsin Public Service Corp.3.35%, 11/21/2021. . . . . . . . 475,000 487,160

Xcel Energy, Inc.:2.40%, 3/15/2021 . . . . . . . . 521,000 520,2912.60%, 3/15/2022 . . . . . . . . 347,000 349,8183.30%, 6/1/2025 . . . . . . . . . 278,000 286,7103.35%, 12/1/2026 . . . . . . . . 782,000 805,4604.00%, 6/15/2028 . . . . . . . . 677,000 728,608

214,876,542


Emerson Electric Co.:2.63%, 12/1/2021 . . . . . . . . 621,000 626,9242.63%, 2/15/2023 . . . . . . . . 532,000 543,7633.15%, 6/1/2025 . . . . . . . . . 173,000 179,5414.25%, 11/15/2020. . . . . . . . 241,000 247,890

Hubbell, Inc.:3.15%, 8/15/2027 . . . . . . . . 562,000 553,3063.35%, 3/1/2026 . . . . . . . . . 420,000 421,1343.50%, 2/15/2028 . . . . . . . . 390,000 394,2513.63%, 11/15/2022. . . . . . . . 20,000 20,663

2,987,472

ELECTRONICS — 0.6%Agilent Technologies, Inc.:

3.05%, 9/22/2026 . . . . . . . . 578,000 581,5263.20%, 10/1/2022 . . . . . . . . 627,000 638,5933.88%, 7/15/2023 . . . . . . . . 510,000 532,720

Allegion US Holding Co., Inc.:3.20%, 10/1/2024 . . . . . . . . 443,000 447,4123.55%, 10/1/2027 . . . . . . . . 532,000 524,329


Amphenol Corp.:3.13%, 9/15/2021 . . . . . . . . $ 420,000 $ 426,2033.20%, 4/1/2024 . . . . . . . . . 425,000 435,8254.00%, 2/1/2022 . . . . . . . . . 142,000 147,521

Arrow Electronics, Inc.:3.25%, 9/8/2024 . . . . . . . . . 698,000 693,8193.50%, 4/1/2022 . . . . . . . . . 227,000 230,6363.88%, 1/12/2028 . . . . . . . . 788,000 780,1444.00%, 4/1/2025 . . . . . . . . . 1,047,000 1,074,8614.50%, 3/1/2023 . . . . . . . . . 939,000 984,495

Avnet, Inc.:3.75%, 12/1/2021 . . . . . . . . 231,000 235,7334.63%, 4/15/2026 . . . . . . . . 534,000 560,5664.88%, 12/1/2022 . . . . . . . . 758,000 803,730

Flex, Ltd.:4.75%, 6/15/2025 . . . . . . . . 865,000 898,1904.88%, 6/15/2029 . . . . . . . . 600,000 610,5065.00%, 2/15/2023 . . . . . . . . 1,091,000 1,143,859

FLIR Systems, Inc.3.13%, 6/15/2021 . . . . . . . . 223,000 224,327

Fortive Corp.:2.35%, 6/15/2021 . . . . . . . . 663,000 661,5283.15%, 6/15/2026 . . . . . . . . 1,411,000 1,412,002

Honeywell International, Inc.:1.85%, 11/1/2021 . . . . . . . . 1,829,000 1,816,4352.50%, 11/1/2026 . . . . . . . . 1,986,000 1,985,3253.35%, 12/1/2023 (a) . . . . . . 568,000 594,8154.25%, 3/1/2021 . . . . . . . . . 759,000 784,867

Jabil, Inc.:3.95%, 1/12/2028 . . . . . . . . 910,000 890,9814.70%, 9/15/2022 . . . . . . . . 350,000 365,1905.63%, 12/15/2020. . . . . . . . 102,000 105,867

Keysight Technologies, Inc.:4.55%, 10/30/2024. . . . . . . . 338,000 361,2544.60%, 4/6/2027 . . . . . . . . . 1,241,000 1,328,552

Legrand France SA8.50%, 2/15/2025 . . . . . . . . 400,000 519,436

PerkinElmer, Inc.5.00%, 11/15/2021. . . . . . . . 507,000 531,189

Tech Data Corp.:3.70%, 2/15/2022 . . . . . . . . 634,000 644,9554.95%, 2/15/2027 . . . . . . . . 1,268,000 1,321,687

Trimble, Inc.:4.15%, 6/15/2023 . . . . . . . . 645,000 669,1364.75%, 12/1/2024 . . . . . . . . 645,000 688,0094.90%, 6/15/2028 . . . . . . . . 663,000 710,153

Tyco Electronics Group SA:3.13%, 8/15/2027 . . . . . . . . 428,000 428,6213.45%, 8/1/2024 . . . . . . . . . 327,000 337,9973.50%, 2/3/2022 . . . . . . . . . 134,000 137,2333.70%, 2/15/2026 . . . . . . . . 495,000 513,261

28,783,488


26


ENGINEERING &CONSTRUCTION — 0.0%(f)

Fluor Corp.:3.50%, 12/15/2024. . . . . . . . $ 803,000 $ 823,1804.25%, 9/15/2028 . . . . . . . . 535,000 552,152

1,375,332

ENTERTAINMENT — 0.0%(f)

GLP Capital L.P./GLP FinancingII, Inc.5.30%, 1/15/2029 . . . . . . . . 1,475,000 1,595,124


Republic Services, Inc.:2.90%, 7/1/2026 . . . . . . . . . 1,098,000 1,103,6773.20%, 3/15/2025 . . . . . . . . 603,000 623,1463.38%, 11/15/2027. . . . . . . . 1,202,000 1,251,9673.55%, 6/1/2022 . . . . . . . . . 1,404,000 1,446,0923.95%, 5/15/2028 . . . . . . . . 763,000 827,0164.75%, 5/15/2023 . . . . . . . . 524,000 565,6165.25%, 11/15/2021. . . . . . . . 167,000 177,972

Waste Connections, Inc.:3.50%, 5/1/2029 . . . . . . . . . 496,000 515,9444.25%, 12/1/2028 . . . . . . . . 577,000 631,423

Waste Management, Inc.:2.40%, 5/15/2023 . . . . . . . . 1,304,000 1,307,4162.90%, 9/15/2022 . . . . . . . . 122,000 124,3612.95%, 6/15/2024 . . . . . . . . 1,425,000 1,464,2443.13%, 3/1/2025 . . . . . . . . . 809,000 836,6353.15%, 11/15/2027. . . . . . . . 476,000 491,7133.20%, 6/15/2026 . . . . . . . . 1,178,000 1,226,0863.45%, 6/15/2029 . . . . . . . . 1,228,000 1,293,9803.50%, 5/15/2024 . . . . . . . . 167,000 175,0764.60%, 3/1/2021 . . . . . . . . . 229,000 236,436

14,298,800

FOOD — 1.7%Ahold Finance USA LLC

6.88%, 5/1/2029 . . . . . . . . . 736,000 927,264Campbell Soup Co.:

2.50%, 8/2/2022 . . . . . . . . . 480,000 478,4213.30%, 3/15/2021 . . . . . . . . 1,331,000 1,347,8773.30%, 3/19/2025 . . . . . . . . 1,092,000 1,102,4833.65%, 3/15/2023 . . . . . . . . 915,000 942,4683.95%, 3/15/2025 . . . . . . . . 911,000 950,4834.15%, 3/15/2028 . . . . . . . . 714,000 747,5374.25%, 4/15/2021 . . . . . . . . 1,015,000 1,044,983

Conagra Brands, Inc.:3.20%, 1/25/2023 . . . . . . . . 1,272,000 1,298,4583.80%, 10/22/2021. . . . . . . . 1,674,000 1,720,3704.30%, 5/1/2024 . . . . . . . . . 1,146,000 1,217,1324.60%, 11/1/2025 . . . . . . . . 1,480,000 1,608,3164.85%, 11/1/2028 . . . . . . . . 1,950,000 2,160,4637.00%, 10/1/2028 . . . . . . . . 219,000 271,321


Flowers Foods, Inc.:3.50%, 10/1/2026 . . . . . . . . $ 946,000 $ 948,6494.38%, 4/1/2022 . . . . . . . . . 456,000 476,360

General Mills, Inc.:2.60%, 10/12/2022. . . . . . . . 727,000 730,6863.15%, 12/15/2021. . . . . . . . 1,709,000 1,737,3693.20%, 4/16/2021 . . . . . . . . 1,398,000 1,418,9423.20%, 2/10/2027 (a) . . . . . . 1,704,000 1,729,5773.65%, 2/15/2024 . . . . . . . . 524,000 547,7423.70%, 10/17/2023. . . . . . . . 765,000 801,7434.00%, 4/17/2025 . . . . . . . . 1,146,000 1,219,0804.20%, 4/17/2028 . . . . . . . . 1,446,000 1,561,376

Hershey Co.:2.30%, 8/15/2026 . . . . . . . . 485,000 475,7323.10%, 5/15/2021 . . . . . . . . 300,000 304,8723.20%, 8/21/2025 . . . . . . . . 290,000 304,3033.38%, 5/15/2023 . . . . . . . . 1,655,000 1,730,9814.13%, 12/1/2020 . . . . . . . . 80,000 82,086

Ingredion, Inc.:3.20%, 10/1/2026 . . . . . . . . 480,000 476,0404.63%, 11/1/2020 . . . . . . . . 503,000 516,566

JM Smucker Co.:3.00%, 3/15/2022 . . . . . . . . 893,000 904,1983.38%, 12/15/2027 (a) . . . . . 335,000 341,8943.50%, 10/15/2021. . . . . . . . 405,000 414,4693.50%, 3/15/2025 . . . . . . . . 1,041,000 1,077,414

Kellogg Co.:2.65%, 12/1/2023 . . . . . . . . 568,000 574,6003.13%, 5/17/2022 . . . . . . . . 500,000 509,5353.25%, 5/14/2021 . . . . . . . . 531,000 540,3303.25%, 4/1/2026 . . . . . . . . . 772,000 783,4103.40%, 11/15/2027. . . . . . . . 1,330,000 1,353,6074.00%, 12/15/2020. . . . . . . . 807,000 825,5614.30%, 5/15/2028 . . . . . . . . 928,000 1,005,655

Kraft Heinz Foods Co.:3.00%, 6/1/2026 . . . . . . . . . 2,808,000 2,733,7003.38%, 6/15/2021 . . . . . . . . 523,000 531,4943.50%, 6/6/2022 . . . . . . . . . 1,720,000 1,764,8233.50%, 7/15/2022 . . . . . . . . 2,006,000 2,052,5393.95%, 7/15/2025 . . . . . . . . 2,425,000 2,522,4614.00%, 6/15/2023 . . . . . . . . 1,420,000 1,485,0794.63%, 1/30/2029 . . . . . . . . 2,138,000 2,303,182

Kroger Co4.50%, 1/15/2029 (a) . . . . . . 927,000 1,009,345

Kroger Co.:2.60%, 2/1/2021 . . . . . . . . . 307,000 307,9032.65%, 10/15/2026 (a) . . . . . 1,097,000 1,057,4312.80%, 8/1/2022 . . . . . . . . . 333,000 336,5732.95%, 11/1/2021 . . . . . . . . 476,000 481,4603.30%, 1/15/2021 . . . . . . . . 919,000 930,5893.40%, 4/15/2022 . . . . . . . . 637,000 652,5623.50%, 2/1/2026 . . . . . . . . . 573,000 584,9183.70%, 8/1/2027 . . . . . . . . . 634,000 653,3313.85%, 8/1/2023 . . . . . . . . . 1,114,000 1,164,0304.00%, 2/1/2024 . . . . . . . . . 623,000 659,171


27


McCormick & Co., Inc.:2.70%, 8/15/2022 . . . . . . . . $ 439,000 $ 442,1133.15%, 8/15/2024 . . . . . . . . 988,000 1,009,6873.40%, 8/15/2027 . . . . . . . . 1,179,000 1,205,315

Mondelez International, Inc.:3.63%, 5/7/2023 . . . . . . . . . 674,000 702,1733.63%, 2/13/2026 . . . . . . . . 1,685,000 1,770,5144.00%, 2/1/2024 . . . . . . . . . 302,000 320,0054.13%, 5/7/2028 (a) . . . . . . . 520,000 562,224

Sysco Corp.:2.50%, 7/15/2021 . . . . . . . . 560,000 562,2462.60%, 10/1/2020 . . . . . . . . 1,966,000 1,971,9182.60%, 6/12/2022 . . . . . . . . 388,000 391,7253.25%, 7/15/2027 . . . . . . . . 719,000 732,5893.30%, 7/15/2026 . . . . . . . . 1,155,000 1,187,6753.55%, 3/15/2025 . . . . . . . . 756,000 791,7133.75%, 10/1/2025 . . . . . . . . 868,000 921,122

Tyson Foods, Inc.:2.25%, 8/23/2021 . . . . . . . . 856,000 853,6893.55%, 6/2/2027 . . . . . . . . . 1,068,000 1,103,5543.90%, 9/28/2023 . . . . . . . . 729,000 767,4693.95%, 8/15/2024 . . . . . . . . 998,000 1,058,9384.00%, 3/1/2026 . . . . . . . . . 1,665,000 1,772,3094.35%, 3/1/2029 . . . . . . . . . 1,890,000 2,065,9784.50%, 6/15/2022 . . . . . . . . 1,527,000 1,611,932

Whole Foods Market, Inc.5.20%, 12/3/2025 . . . . . . . . 39,000 44,230

82,290,062


Celulosa Arauco y ConstitucionSA:3.88%, 11/2/2027 . . . . . . . . 497,000 506,3694.50%, 8/1/2024 . . . . . . . . . 700,000 738,150

Domtar Corp.4.40%, 4/1/2022 . . . . . . . . . 580,000 602,666

Fibria Overseas Finance, Ltd.:4.00%, 1/14/2025 . . . . . . . . 936,000 942,5615.25%, 5/12/2024 . . . . . . . . 205,000 217,7085.50%, 1/17/2027 . . . . . . . . 657,000 705,809

Georgia-Pacific LLC8.00%, 1/15/2024 . . . . . . . . 1,048,000 1,294,322

International Paper Co.:3.00%, 2/15/2027 (a) . . . . . . 300,000 296,8743.65%, 6/15/2024 . . . . . . . . 1,193,000 1,247,6043.80%, 1/15/2026 . . . . . . . . 20,000 20,9574.75%, 2/15/2022 . . . . . . . . 615,000 649,1577.50%, 8/15/2021 . . . . . . . . 880,000 971,247

Suzano Austria GmbH6.00%, 1/15/2029 (e) . . . . . . 2,098,000 2,291,666

10,485,090

GAS — 0.3%Atmos Energy Corp.

3.00%, 6/15/2027 . . . . . . . . 649,000 661,772


CenterPoint Energy ResourcesCorp.:3.55%, 4/1/2023 . . . . . . . . . $ 927,000 $ 955,4684.00%, 4/1/2028 . . . . . . . . . 430,000 457,8254.50%, 1/15/2021 . . . . . . . . 256,000 262,861

Dominion Energy GasHoldings LLC:2.80%, 11/15/2020. . . . . . . . 1,570,000 1,578,5093.60%, 12/15/2024. . . . . . . . 443,000 461,482

National Fuel Gas Co.:3.75%, 3/1/2023 . . . . . . . . . 561,000 574,5373.95%, 9/15/2027 . . . . . . . . 515,000 513,9134.75%, 9/1/2028 . . . . . . . . . 1,049,000 1,100,8634.90%, 12/1/2021 . . . . . . . . 195,000 203,0635.20%, 7/15/2025 . . . . . . . . 350,000 377,353

NiSource, Inc.:2.65%, 11/17/2022. . . . . . . . 650,000 654,3103.49%, 5/15/2027 . . . . . . . . 1,589,000 1,643,0583.65%, 6/15/2023 . . . . . . . . 748,000 774,389

ONE Gas, Inc.3.61%, 2/1/2024 . . . . . . . . . 488,000 510,897

Piedmont Natural Gas Co., Inc.3.50%, 6/1/2029 . . . . . . . . . 886,000 923,566

Southern California Gas Co.:3.15%, 9/15/2024 . . . . . . . . 505,000 520,6103.20%, 6/15/2025 . . . . . . . . 384,000 391,046Series TT, 2.60%, 6/15/2026. . 834,000 814,560

Southern Co. Gas Capital Corp.:2.45%, 10/1/2023 . . . . . . . . 946,000 942,1693.25%, 6/15/2026 . . . . . . . . 684,000 690,5803.50%, 9/15/2021 . . . . . . . . 608,000 620,744

Southwest Gas Corp.3.70%, 4/1/2028 . . . . . . . . . 633,000 665,998

16,299,573

HAND & MACHINE TOOLS— 0.1%

Kennametal, Inc.4.63%, 6/15/2028 . . . . . . . . 798,000 830,917

Snap-on, Inc.3.25%, 3/1/2027 . . . . . . . . . 355,000 366,183

Stanley Black & Decker, Inc.:2.90%, 11/1/2022 . . . . . . . . 1,397,000 1,420,9453.40%, 12/1/2021 . . . . . . . . 390,000 398,0143.40%, 3/1/2026 . . . . . . . . . 1,069,000 1,116,4744.25%, 11/15/2028. . . . . . . . 564,000 628,268

4,760,801


Abbott Laboratories:2.55%, 3/15/2022 . . . . . . . . 919,000 928,8242.90%, 11/30/2021. . . . . . . . 2,929,000 2,976,5082.95%, 3/15/2025 . . . . . . . . 1,735,000 1,784,4823.40%, 11/30/2023. . . . . . . . 1,106,000 1,153,0273.75%, 11/30/2026. . . . . . . . 1,898,000 2,055,9713.88%, 9/15/2025 . . . . . . . . 663,000 713,600


28


Baxter International, Inc.:1.70%, 8/15/2021 . . . . . . . . $ 440,000 $ 434,2012.60%, 8/15/2026 . . . . . . . . 893,000 888,848

Becton Dickinson and Co.:2.89%, 6/6/2022 . . . . . . . . . 2,676,000 2,711,9923.13%, 11/8/2021 . . . . . . . . 1,172,000 1,189,1353.25%, 11/12/2020. . . . . . . . 1,313,000 1,324,4103.36%, 6/6/2024 . . . . . . . . . 2,146,000 2,214,8653.70%, 6/6/2027 . . . . . . . . . 1,782,000 1,860,2303.73%, 12/15/2024. . . . . . . . 1,338,000 1,402,117

Boston Scientific Corp.:3.38%, 5/15/2022 . . . . . . . . 1,042,000 1,072,2493.45%, 3/1/2024 . . . . . . . . . 1,365,000 1,425,8243.75%, 3/1/2026 . . . . . . . . . 2,799,000 2,973,7983.85%, 5/15/2025 . . . . . . . . 1,065,000 1,136,4834.00%, 3/1/2028 . . . . . . . . . 1,121,000 1,206,8134.00%, 3/1/2029 . . . . . . . . . 894,000 967,8354.13%, 10/1/2023 . . . . . . . . 376,000 398,372

Covidien International FinanceSA:2.95%, 6/15/2023 . . . . . . . . 513,000 524,0813.20%, 6/15/2022 . . . . . . . . 654,000 672,273

Danaher Corp.:2.40%, 9/15/2020 . . . . . . . . 501,000 501,3863.35%, 9/15/2025 . . . . . . . . 359,000 375,431

Edwards Lifesciences Corp.4.30%, 6/15/2028 . . . . . . . . 809,000 875,524

Life Technologies Corp.5.00%, 1/15/2021 . . . . . . . . 902,000 930,052

Medtronic Global Holdings SCA3.35%, 4/1/2027 . . . . . . . . . 850,000 901,535

Medtronic, Inc.:2.75%, 4/1/2023 . . . . . . . . . 750,000 768,1503.13%, 3/15/2022 . . . . . . . . 1,053,000 1,079,8733.15%, 3/15/2022 . . . . . . . . 2,796,000 2,874,4563.50%, 3/15/2025 . . . . . . . . 4,581,000 4,853,6153.63%, 3/15/2024 . . . . . . . . 1,789,000 1,891,7424.13%, 3/15/2021 . . . . . . . . 538,000 552,956

Stryker Corp.:2.63%, 3/15/2021 . . . . . . . . 1,378,000 1,383,9533.38%, 5/15/2024 . . . . . . . . 732,000 762,7073.38%, 11/1/2025 . . . . . . . . 800,000 841,5283.50%, 3/15/2026 . . . . . . . . 671,000 702,5973.65%, 3/7/2028 . . . . . . . . . 800,000 849,520

Thermo Fisher Scientific, Inc.:2.95%, 9/19/2026 . . . . . . . . 1,381,000 1,392,0623.00%, 4/15/2023 . . . . . . . . 1,325,000 1,356,3633.15%, 1/15/2023 (a) . . . . . . 1,018,000 1,044,1833.20%, 8/15/2027 . . . . . . . . 1,249,000 1,277,3403.30%, 2/15/2022 . . . . . . . . 797,000 817,2923.60%, 8/15/2021 . . . . . . . . 973,000 995,3793.65%, 12/15/2025. . . . . . . . 390,000 410,7644.15%, 2/1/2024 . . . . . . . . . 834,000 893,3814.50%, 3/1/2021 . . . . . . . . . 2,107,000 2,180,113

Zimmer Biomet Holdings, Inc.:


3.15%, 4/1/2022 . . . . . . . . . $ 1,046,000 $ 1,062,7673.38%, 11/30/2021. . . . . . . . 1,031,000 1,049,4963.55%, 4/1/2025 . . . . . . . . . 2,663,000 2,751,4123.70%, 3/19/2023 . . . . . . . . 340,000 350,907

67,742,422


Advocate Health & HospitalsCorp.3.83%, 8/15/2028 . . . . . . . . 300,000 325,182

Aetna, Inc.:2.75%, 11/15/2022. . . . . . . . 1,121,000 1,127,4352.80%, 6/15/2023 . . . . . . . . 1,471,000 1,477,8843.50%, 11/15/2024. . . . . . . . 1,055,000 1,088,1064.13%, 6/1/2021 . . . . . . . . . 701,000 722,577

Anthem, Inc.:2.50%, 11/21/2020. . . . . . . . 1,242,000 1,244,1112.95%, 12/1/2022 . . . . . . . . 1,020,000 1,034,5043.13%, 5/15/2022 . . . . . . . . 575,000 585,7533.30%, 1/15/2023 . . . . . . . . 2,169,000 2,232,1183.35%, 12/1/2024 . . . . . . . . 1,090,000 1,128,2593.50%, 8/15/2024 . . . . . . . . 845,000 877,5833.65%, 12/1/2027 . . . . . . . . 1,923,000 1,995,5363.70%, 8/15/2021 . . . . . . . . 1,950,000 1,995,3964.10%, 3/1/2028 . . . . . . . . . 1,091,000 1,167,032

Cigna Corp.:3.75%, 7/15/2023 (e) . . . . . . 3,612,000 3,758,9364.13%, 11/15/2025 (e) . . . . . 4,247,000 4,517,7464.38%, 10/15/2028 (e) . . . . . 4,302,000 4,642,331

Cigna Holding Co.:3.05%, 10/15/2027. . . . . . . . 947,000 937,2463.25%, 4/15/2025 . . . . . . . . 957,000 973,0494.00%, 2/15/2022 . . . . . . . . 1,352,000 1,397,1034.50%, 3/15/2021 . . . . . . . . 275,000 282,725

CommonSpirit Health2.95%, 11/1/2022 . . . . . . . . 358,000 361,695

Coventry Health Care, Inc.5.45%, 6/15/2021 . . . . . . . . 900,000 943,929

Dignity Health3.13%, 11/1/2022 . . . . . . . . 498,000 508,114

HCA, Inc.:4.13%, 6/15/2029 . . . . . . . . 1,077,000 1,109,3644.50%, 2/15/2027 . . . . . . . . 1,547,000 1,649,3804.75%, 5/1/2023 . . . . . . . . . 1,459,000 1,559,5985.00%, 3/15/2024 . . . . . . . . 2,383,000 2,595,7545.25%, 4/15/2025 . . . . . . . . 1,753,000 1,940,9225.25%, 6/15/2026 . . . . . . . . 2,177,000 2,407,7185.88%, 3/15/2022 . . . . . . . . 938,000 1,027,504

Humana, Inc.:2.50%, 12/15/2020. . . . . . . . 725,000 724,9862.90%, 12/15/2022. . . . . . . . 898,000 910,2943.15%, 12/1/2022 . . . . . . . . 296,000 301,5593.85%, 10/1/2024 . . . . . . . . 543,000 568,7383.95%, 3/15/2027 . . . . . . . . 830,000 866,105

Kaiser Foundation Hospitals:


29


3.15%, 5/1/2027 . . . . . . . . . $ 744,000 $ 766,3133.50%, 4/1/2022 . . . . . . . . . 470,000 483,000

Laboratory Corp. of AmericaHoldings:3.20%, 2/1/2022 . . . . . . . . . 759,000 771,3493.25%, 9/1/2024 . . . . . . . . . 1,115,000 1,135,3263.60%, 2/1/2025 . . . . . . . . . 1,096,000 1,132,7273.60%, 9/1/2027 . . . . . . . . . 592,000 608,8903.75%, 8/23/2022 . . . . . . . . 610,000 630,5754.00%, 11/1/2023 . . . . . . . . 325,000 340,6034.63%, 11/15/2020. . . . . . . . 670,000 685,993

Mercy HealthSeries 2018, 4.30%, 7/1/2028 . 290,000 319,899

Providence St. Joseph HealthObligated GroupSeries H, 2.75%, 10/1/2026 . . 390,000 389,251

Quest Diagnostics, Inc.:3.45%, 6/1/2026 (a) . . . . . . . 860,000 888,7333.50%, 3/30/2025 . . . . . . . . 976,000 1,003,1824.25%, 4/1/2024 . . . . . . . . . 1,021,000 1,081,3104.70%, 4/1/2021 (a) . . . . . . . 801,000 830,949

SSM Health Care Corp.:Series 2018, 3.69%, 6/1/2023 . 495,000 517,394Series A, 3.82%, 6/1/2027 . . . 523,000 555,259

Sutter HealthSeries 2018, 3.70%,8/15/2028 . . . . . . . . . . . . . 53,000 56,497

Toledo HospitalSeries B, 5.33%, 11/15/2028. . 949,000 1,037,656

UnitedHealth Group, Inc.:1.95%, 10/15/2020. . . . . . . . 965,000 961,1402.13%, 3/15/2021 . . . . . . . . 1,788,000 1,784,6742.38%, 10/15/2022. . . . . . . . 1,265,000 1,269,4272.75%, 2/15/2023 . . . . . . . . 1,219,000 1,235,4932.88%, 12/15/2021. . . . . . . . 1,959,000 1,989,2082.88%, 3/15/2022 . . . . . . . . 763,000 775,1322.88%, 3/15/2023 . . . . . . . . 1,024,000 1,044,3372.95%, 10/15/2027. . . . . . . . 755,000 766,8533.10%, 3/15/2026 . . . . . . . . 1,173,000 1,212,2953.15%, 6/15/2021 . . . . . . . . 869,000 884,2943.35%, 7/15/2022 . . . . . . . . 954,000 984,4523.38%, 11/15/2021. . . . . . . . 469,000 480,0313.38%, 4/15/2027 . . . . . . . . 584,000 610,8933.45%, 1/15/2027 . . . . . . . . 523,000 549,4383.50%, 6/15/2023 . . . . . . . . 983,000 1,026,1543.50%, 2/15/2024 (a) . . . . . . 1,764,000 1,849,3953.70%, 12/15/2025. . . . . . . . 1,163,000 1,239,7113.75%, 7/15/2025 . . . . . . . . 1,765,000 1,884,5433.85%, 6/15/2028 . . . . . . . . 3,270,000 3,544,0263.88%, 10/15/2020. . . . . . . . 494,000 501,9633.88%, 12/15/2028. . . . . . . . 874,000 951,7254.70%, 2/15/2021 . . . . . . . . 275,000 283,971

90,050,333


HOME BUILDERS — 0.0%(f)

DR Horton, Inc.:2.55%, 12/1/2020 . . . . . . . . $ 401,000 $ 400,7434.38%, 9/15/2022 . . . . . . . . 464,000 483,2194.75%, 2/15/2023 . . . . . . . . 221,000 233,4205.75%, 8/15/2023 . . . . . . . . 115,000 126,339

NVR, Inc.3.95%, 9/15/2022 . . . . . . . . 823,000 852,686

2,096,407


Leggett & Platt, Inc.:3.40%, 8/15/2022 . . . . . . . . 100,000 102,0473.50%, 11/15/2027. . . . . . . . 592,000 587,8683.80%, 11/15/2024. . . . . . . . 357,000 367,0604.40%, 3/15/2029 . . . . . . . . 1,099,000 1,150,367

Whirlpool Corp.:3.70%, 5/1/2025 . . . . . . . . . 1,094,000 1,136,2724.00%, 3/1/2024 . . . . . . . . . 471,000 493,7454.75%, 2/26/2029 . . . . . . . . 793,000 853,220Series MTN, 4.85%,

6/15/2021. . . . . . . . . . . . 15,000 15,667

4,706,246


Avery Dennison Corp.4.88%, 12/6/2028 . . . . . . . . 1,021,000 1,130,757

Church & Dwight Co., Inc.:2.45%, 8/1/2022 . . . . . . . . . 574,000 575,0332.88%, 10/1/2022 . . . . . . . . 365,000 370,0883.15%, 8/1/2027 . . . . . . . . . 639,000 643,352

Clorox Co.:3.05%, 9/15/2022 . . . . . . . . 764,000 779,6623.10%, 10/1/2027 . . . . . . . . 548,000 560,8403.50%, 12/15/2024 (a) . . . . . 645,000 679,2563.80%, 11/15/2021. . . . . . . . 390,000 402,7223.90%, 5/15/2028 . . . . . . . . 654,000 707,615

Kimberly-Clark Corp.:2.40%, 3/1/2022 . . . . . . . . . 38,000 38,2952.75%, 2/15/2026 . . . . . . . . 1,047,000 1,064,5273.05%, 8/15/2025 . . . . . . . . 340,000 353,7023.20%, 4/25/2029 . . . . . . . . 1,196,000 1,255,9313.95%, 11/1/2028 . . . . . . . . 605,000 670,909

9,232,689

HOUSEWARES — 0.1%Newell Brands, Inc.:

3.85%, 4/1/2023 . . . . . . . . . 1,577,000 1,601,4284.00%, 12/1/2024 . . . . . . . . 477,000 483,9354.20%, 4/1/2026 . . . . . . . . . 4,048,000 3,998,6554.70%, 8/15/2020 . . . . . . . . 4,000 4,086


30


Tupperware Brands Corp.4.75%, 6/1/2021 . . . . . . . . . $ 668,000 $ 685,602

6,773,706

INSURANCE — 2.5%AEGON Funding Co. LLC

5.75%, 12/15/2020. . . . . . . . 1,468,000 1,536,893Aflac, Inc.:

3.25%, 3/17/2025 . . . . . . . . 1,541,000 1,592,3773.63%, 6/15/2023 . . . . . . . . 715,000 749,2993.63%, 11/15/2024. . . . . . . . 852,000 901,3144.00%, 2/15/2022 . . . . . . . . 69,000 72,099

Alleghany Corp.:4.95%, 6/27/2022 . . . . . . . . 844,000 904,7935.63%, 9/15/2020 . . . . . . . . 15,000 15,554

Allied World Assurance Co.Holdings, Ltd.4.35%, 10/29/2025. . . . . . . . 191,000 195,785

Allstate Corp.:3.15%, 6/15/2023 . . . . . . . . 499,000 514,3943.28%, 12/15/2026. . . . . . . . 617,000 647,159Series B, 3 Month USD

LIBOR + 2.94%, 5.75%,8/15/2053 (c) . . . . . . . . . 350,000 366,940

Alterra Finance LLC6.25%, 9/30/2020 . . . . . . . . 44,000 45,952

American Financial Group, Inc.3.50%, 8/15/2026 . . . . . . . . 984,000 991,774

American International Group,Inc.:3.30%, 3/1/2021 . . . . . . . . . 1,836,000 1,860,7313.38%, 8/15/2020 . . . . . . . . 628,000 634,9523.75%, 7/10/2025 . . . . . . . . 1,388,000 1,455,8043.90%, 4/1/2026 . . . . . . . . . 1,780,000 1,862,3614.13%, 2/15/2024 . . . . . . . . 837,000 886,3664.20%, 4/1/2028 . . . . . . . . . 755,000 805,3134.25%, 3/15/2029 (a) . . . . . . 749,000 803,0484.88%, 6/1/2022 . . . . . . . . . 1,755,000 1,879,6226.40%, 12/15/2020. . . . . . . . 1,001,000 1,057,396

Aon Corp.:3.75%, 5/2/2029 . . . . . . . . . 1,723,000 1,796,0554.50%, 12/15/2028. . . . . . . . 884,000 972,4805.00%, 9/30/2020 . . . . . . . . 488,000 504,0068.21%, 1/1/2027 . . . . . . . . . 260,000 320,788

Aon PLC:2.80%, 3/15/2021 . . . . . . . . 408,000 410,5253.50%, 6/14/2024 . . . . . . . . 542,000 563,2683.88%, 12/15/2025. . . . . . . . 514,000 541,3704.00%, 11/27/2023. . . . . . . . 562,000 592,427

Arch Capital Finance LLC4.01%, 12/15/2026. . . . . . . . 490,000 526,500

Aspen Insurance Holdings, Ltd.4.65%, 11/15/2023. . . . . . . . 350,000 371,133

Assurant, Inc.:4.00%, 3/15/2023 . . . . . . . . 380,000 392,3164.20%, 9/27/2023 . . . . . . . . 610,000 634,022


4.90%, 3/27/2028 . . . . . . . . $ 1,061,000 $ 1,147,334Assured Guaranty US Holdings,

Inc.5.00%, 7/1/2024 (a) . . . . . . . 427,000 462,795

Athene Holding, Ltd.4.13%, 1/12/2028 . . . . . . . . 1,777,000 1,791,003

AXA Equitable Holdings, Inc.:3.90%, 4/20/2023 . . . . . . . . 1,443,000 1,503,2744.35%, 4/20/2028 . . . . . . . . 1,322,000 1,389,766

AXIS Specialty Finance LLC3.90%, 7/15/2029 . . . . . . . . 753,000 769,235

AXIS Specialty Finance PLC4.00%, 12/6/2027 . . . . . . . . 403,000 416,202

Berkshire Hathaway FinanceCorp.:2.90%, 10/15/2020. . . . . . . . 377,000 380,7213.00%, 5/15/2022 . . . . . . . . 882,000 907,4904.25%, 1/15/2021 . . . . . . . . 933,000 963,714

Berkshire Hathaway, Inc.:2.20%, 3/15/2021 . . . . . . . . 1,029,000 1,031,8302.75%, 3/15/2023 . . . . . . . . 2,746,000 2,800,0413.00%, 2/11/2023 . . . . . . . . 1,909,000 1,965,8883.13%, 3/15/2026 . . . . . . . . 2,482,000 2,570,0613.40%, 1/31/2022 . . . . . . . . 344,000 355,7853.75%, 8/15/2021 . . . . . . . . 174,000 180,048

Brighthouse Financial, Inc.3.70%, 6/22/2027 . . . . . . . . 2,391,000 2,272,741

Brown & Brown, Inc.:4.20%, 9/15/2024 . . . . . . . . 550,000 577,4724.50%, 3/15/2029 . . . . . . . . 724,000 763,979

Chubb INA Holdings, Inc.:2.30%, 11/3/2020 . . . . . . . . 788,000 788,3942.70%, 3/13/2023 . . . . . . . . 857,000 870,0782.88%, 11/3/2022 . . . . . . . . 1,102,000 1,126,0683.15%, 3/15/2025 . . . . . . . . 2,394,000 2,499,1923.35%, 5/15/2024 . . . . . . . . 689,000 724,6493.35%, 5/3/2026 . . . . . . . . . 1,628,000 1,705,200

Cincinnati Financial Corp.6.92%, 5/15/2028 . . . . . . . . 346,000 444,662

CNA Financial Corp.:3.45%, 8/15/2027 . . . . . . . . 793,000 804,3483.90%, 5/1/2029 . . . . . . . . . 625,000 655,7943.95%, 5/15/2024 . . . . . . . . 99,000 104,5214.50%, 3/1/2026 . . . . . . . . . 662,000 714,0935.75%, 8/15/2021 . . . . . . . . 984,000 1,051,001

Enstar Group, Ltd.:4.50%, 3/10/2022 . . . . . . . . 543,000 557,5854.95%, 6/1/2029 . . . . . . . . . 1,238,000 1,254,255

Fairfax Financial Holdings, Ltd.4.85%, 4/17/2028 . . . . . . . . 626,000 659,585

Fidelity National Financial, Inc.:4.50%, 8/15/2028 . . . . . . . . 804,000 839,6735.50%, 9/1/2022 . . . . . . . . . 545,000 591,003

Hanover Insurance Group, Inc.4.50%, 4/15/2026 . . . . . . . . 346,000 366,594


31


Hartford Financial ServicesGroup, Inc.5.13%, 4/15/2022 . . . . . . . . $ 1,017,000 $ 1,090,488

Kemper Corp.4.35%, 2/15/2025 . . . . . . . . 757,000 791,807

Lincoln National Corp.:3.35%, 3/9/2025 . . . . . . . . . 699,000 713,0503.63%, 12/12/2026. . . . . . . . 796,000 829,8463.80%, 3/1/2028 . . . . . . . . . 510,000 535,1024.00%, 9/1/2023 . . . . . . . . . 893,000 945,0624.20%, 3/15/2022 . . . . . . . . 50,000 52,2954.85%, 6/24/2021 . . . . . . . . 185,000 193,519

Loews Corp.:2.63%, 5/15/2023 . . . . . . . . 935,000 942,7893.75%, 4/1/2026 . . . . . . . . . 896,000 944,563

Manulife Financial Corp.:4.15%, 3/4/2026 . . . . . . . . . 1,152,000 1,241,4994.90%, 9/17/2020 . . . . . . . . 669,000 688,341USD 5 Year Swap Rate +

1.65%, 4.06%, 2/24/2032(c) . . . . . . . . . . . . . . . . 855,000 870,510

Markel Corp.:3.50%, 11/1/2027 . . . . . . . . 978,000 977,1204.90%, 7/1/2022 . . . . . . . . . 30,000 32,070

Marsh & McLennan Cos., Inc.:2.75%, 1/30/2022 . . . . . . . . 593,000 598,9483.30%, 3/14/2023 . . . . . . . . 466,000 479,3653.50%, 12/29/2020. . . . . . . . 698,000 709,6363.50%, 6/3/2024 . . . . . . . . . 1,045,000 1,089,0683.50%, 3/10/2025 . . . . . . . . 398,000 413,6253.75%, 3/14/2026 . . . . . . . . 1,002,000 1,057,4413.88%, 3/15/2024 . . . . . . . . 1,394,000 1,478,7974.38%, 3/15/2029 . . . . . . . . 714,000 788,0064.80%, 7/15/2021 . . . . . . . . 979,000 1,020,568

Mercury General Corp.4.40%, 3/15/2027 . . . . . . . . 609,000 623,019

MetLife, Inc.:3.00%, 3/1/2025 . . . . . . . . . 379,000 389,3473.60%, 4/10/2024 . . . . . . . . 1,313,000 1,393,3953.60%, 11/13/2025. . . . . . . . 308,000 327,0073.05%, 12/15/2022. . . . . . . . 1,768,000 1,809,689Series D, 4.37%, 9/15/2023 . . 955,000 1,033,893

Old Republic InternationalCorp.:3.88%, 8/26/2026 . . . . . . . . 506,000 519,4954.88%, 10/1/2024 . . . . . . . . 634,000 687,497

PartnerRe Finance B LLC:3.70%, 7/2/2029 . . . . . . . . . 993,000 1,010,3085.50%, 6/1/2020 . . . . . . . . . 254,000 260,962

Primerica, Inc.4.75%, 7/15/2022 . . . . . . . . 407,000 431,416

Principal Financial Group, Inc.:3.10%, 11/15/2026. . . . . . . . 428,000 432,3663.30%, 9/15/2022 . . . . . . . . 1,180,000 1,212,4383.40%, 5/15/2025 . . . . . . . . 380,000 396,1993.70%, 5/15/2029 . . . . . . . . 1,025,000 1,073,329


Progressive Corp.:2.45%, 1/15/2027 . . . . . . . . $ 332,000 $ 327,6613.75%, 8/23/2021 . . . . . . . . 597,000 616,3434.00%, 3/1/2029 (a) . . . . . . . 282,000 312,205

Prudential Financial, Inc.:3 Month USD LIBOR +

2.67%, 5.70%, 9/15/2048(c) . . . . . . . . . . . . . . . . 3,271,000 3,515,344

3 Month USD LIBOR +3.03%, 5.38%, 5/15/2045(c) . . . . . . . . . . . . . . . . 915,000 958,682

3 Month USD LIBOR +3.04%, 5.20%, 3/15/2044(c) . . . . . . . . . . . . . . . . 586,000 605,356

3 Month USD LIBOR +3.92%, 5.63%, 6/15/2043(c) . . . . . . . . . . . . . . . . 953,000 1,007,035

3 Month USD LIBOR +4.18%, 5.88%, 9/15/2042(c) . . . . . . . . . . . . . . . . 1,166,000 1,241,825

3 Month USD LIBOR +2.38%, 4.50%, 9/15/2047(c) . . . . . . . . . . . . . . . . 691,000 691,463

Series MTN, 3.50%,5/15/2024. . . . . . . . . . . . 681,000 718,387

Series MTN, 3.88%,3/27/2028. . . . . . . . . . . . 520,000 565,869

Series MTN, 4.50%,11/15/2020 . . . . . . . . . . . 966,000 995,627

Series MTN, 4.50%,11/16/2021 . . . . . . . . . . . 326,000 342,469

Reinsurance Group of America,Inc.:3.90%, 5/15/2029 . . . . . . . . 1,025,000 1,063,1713.95%, 9/15/2026 . . . . . . . . 479,000 500,2825.00%, 6/1/2021 . . . . . . . . . 470,000 491,813Series MTN, 4.70%,

9/15/2023. . . . . . . . . . . . 184,000 198,856RenaissanceRe Finance, Inc.:

3.45%, 7/1/2027 . . . . . . . . . 517,000 524,9053.70%, 4/1/2025 . . . . . . . . . 50,000 51,993

RenaissanceRe Holdings, Ltd.3.60%, 4/15/2029 . . . . . . . . 1,042,000 1,067,550

Sompo International Holdings,Ltd.4.70%, 10/15/2022. . . . . . . . 51,000 53,853

Swiss Re America Holding Corp.7.00%, 2/15/2026 . . . . . . . . 311,000 379,028

Torchmark Corp.:3.80%, 9/15/2022 . . . . . . . . 138,000 143,2224.55%, 9/15/2028 . . . . . . . . 1,431,000 1,563,196

Travelers Cos., Inc.3.90%, 11/1/2020 . . . . . . . . 569,000 581,820

Trinity Acquisition PLC:3.50%, 9/15/2021 . . . . . . . . 675,000 686,0634.40%, 3/15/2026 . . . . . . . . 693,000 737,823

Unum Group:


32


3.00%, 5/15/2021 . . . . . . . . $ 491,000 $ 494,8794.00%, 3/15/2024 . . . . . . . . 152,000 158,8644.00%, 6/15/2029 . . . . . . . . 997,000 1,025,5045.63%, 9/15/2020 . . . . . . . . 226,000 234,396

Voya Financial, Inc.:3.13%, 7/15/2024 . . . . . . . . 506,000 514,5163.65%, 6/15/2026 . . . . . . . . 559,000 576,759

Willis North America, Inc.:3.60%, 5/15/2024 . . . . . . . . 497,000 512,6114.50%, 9/15/2028 . . . . . . . . 1,108,000 1,193,571

Willis Towers Watson PLC5.75%, 3/15/2021 . . . . . . . . 287,000 302,360

WR Berkley Corp.:4.63%, 3/15/2022 . . . . . . . . 230,000 242,9705.38%, 9/15/2020 . . . . . . . . 15,000 15,514

XLIT, Ltd.4.45%, 3/31/2025 . . . . . . . . 553,000 595,542

121,304,092


2.80%, 6/6/2023 . . . . . . . . . 2,171,000 2,183,2233.13%, 11/28/2021. . . . . . . . 1,604,000 1,627,8193.40%, 12/6/2027 . . . . . . . . 2,730,000 2,771,4693.60%, 11/28/2024. . . . . . . . 2,190,000 2,284,564

Alphabet, Inc.:2.00%, 8/15/2026 . . . . . . . . 2,399,000 2,338,0893.38%, 2/25/2024 . . . . . . . . 1,006,000 1,062,7993.63%, 5/19/2021 . . . . . . . . 1,376,000 1,416,950

Amazon.com, Inc.:1.90%, 8/21/2020 . . . . . . . . 1,630,000 1,626,2512.40%, 2/22/2023 . . . . . . . . 1,200,000 1,211,5322.50%, 11/29/2022. . . . . . . . 1,927,000 1,952,8992.80%, 8/22/2024 . . . . . . . . 2,658,000 2,735,1623.15%, 8/22/2027 . . . . . . . . 4,179,000 4,390,4573.30%, 12/5/2021 . . . . . . . . 759,000 781,3223.80%, 12/5/2024 . . . . . . . . 902,000 971,5715.20%, 12/3/2025 . . . . . . . . 1,528,000 1,784,001

Baidu, Inc.:2.88%, 7/6/2022 . . . . . . . . . 650,000 652,0093.50%, 11/28/2022. . . . . . . . 657,000 672,3743.63%, 7/6/2027 . . . . . . . . . 944,000 951,1183.88%, 9/29/2023 . . . . . . . . 1,598,000 1,659,4754.13%, 6/30/2025 . . . . . . . . 370,000 389,8434.38%, 5/14/2024 . . . . . . . . 975,000 1,034,0564.38%, 3/29/2028 . . . . . . . . 690,000 728,9994.88%, 11/14/2028 (a) . . . . . 803,000 879,815

Booking Holdings, Inc.:2.75%, 3/15/2023 . . . . . . . . 531,000 537,9883.55%, 3/15/2028 . . . . . . . . 1,334,000 1,396,6983.60%, 6/1/2026 . . . . . . . . . 998,000 1,052,4313.65%, 3/15/2025 . . . . . . . . 418,000 441,508

eBay, Inc.:2.60%, 7/15/2022 . . . . . . . . 1,180,000 1,183,1862.75%, 1/30/2023 . . . . . . . . 1,915,000 1,925,1492.88%, 8/1/2021 . . . . . . . . . 1,147,000 1,156,795


3.25%, 10/15/2020. . . . . . . . $ 1,081,000 $ 1,090,3513.45%, 8/1/2024 . . . . . . . . . 689,000 708,9403.60%, 6/5/2027 . . . . . . . . . 2,245,000 2,301,6863.80%, 3/9/2022 . . . . . . . . . 942,000 973,482

Expedia Group, Inc.:4.50%, 8/15/2024 . . . . . . . . 585,000 621,6625.00%, 2/15/2026 . . . . . . . . 718,000 782,1965.95%, 8/15/2020 . . . . . . . . 12,000 12,4323.80%, 2/15/2028 . . . . . . . . 1,624,000 1,652,582

JD.com, Inc.:3.13%, 4/29/2021 . . . . . . . . 757,000 758,0983.88%, 4/29/2026 . . . . . . . . 652,000 648,792

53,349,773


Apollo Investment Corp.5.25%, 3/3/2025 . . . . . . . . . 105,000 106,273

Ares Capital Corp.:3.50%, 2/10/2023 . . . . . . . . 1,039,000 1,034,1583.63%, 1/19/2022 . . . . . . . . 416,000 420,2894.20%, 6/10/2024 . . . . . . . . 1,471,000 1,489,7114.25%, 3/1/2025 . . . . . . . . . 743,000 753,224

Owl Rock Capital Corp.5.25%, 4/15/2024 . . . . . . . . 825,000 854,683

Prospect Capital Corp.5.88%, 3/15/2023 (a) . . . . . . 361,000 380,234

5,038,572


4.55%, 3/11/2026 . . . . . . . . 957,000 1,009,8555.25%, 8/5/2020 . . . . . . . . . 961,000 984,4105.50%, 3/1/2021 . . . . . . . . . 1,087,000 1,131,9156.13%, 6/1/2025 (a) . . . . . . . 883,000 1,001,5696.25%, 2/25/2022 . . . . . . . . 791,000 856,700

Nucor Corp.:3.95%, 5/1/2028 . . . . . . . . . 748,000 805,7534.00%, 8/1/2023 . . . . . . . . . 1,329,000 1,409,2324.13%, 9/15/2022 . . . . . . . . 2,515,000 2,651,741

Reliance Steel & Aluminum Co.4.50%, 4/15/2023 . . . . . . . . 555,000 582,806

Vale Overseas, Ltd.:4.38%, 1/11/2022 (a) . . . . . . 1,274,000 1,313,3416.25%, 8/10/2026 . . . . . . . . 2,232,000 2,533,967

14,281,289

LEISURE TIME — 0.1%Carnival Corp.

3.95%, 10/15/2020. . . . . . . . 127,000 129,504Harley-Davidson, Inc.

3.50%, 7/28/2025 (a) . . . . . . 488,000 492,782Royal Caribbean Cruises, Ltd.:

2.65%, 11/28/2020. . . . . . . . 350,000 350,8893.70%, 3/15/2028 . . . . . . . . 352,000 354,3805.25%, 11/15/2022. . . . . . . . 774,000 839,163


33


7.50%, 10/15/2027. . . . . . . . $ 544,000 $ 681,801

2,848,519

LODGING — 0.3%Choice Hotels International, Inc.

5.75%, 7/1/2022 . . . . . . . . . 386,000 416,031Hyatt Hotels Corp.:

3.38%, 7/15/2023 . . . . . . . . 225,000 229,4804.38%, 9/15/2028 . . . . . . . . 479,000 506,9694.85%, 3/15/2026 . . . . . . . . 514,000 559,145

Marriott International, Inc.:2.30%, 1/15/2022 . . . . . . . . 260,000 259,1312.88%, 3/1/2021 . . . . . . . . . 1,131,000 1,138,3973.25%, 9/15/2022 . . . . . . . . 713,000 728,2373.38%, 10/15/2020. . . . . . . . 492,000 496,3983.60%, 4/15/2024 . . . . . . . . 995,000 1,036,6113.75%, 3/15/2025 . . . . . . . . 580,000 604,3893.75%, 10/1/2025 . . . . . . . . 236,000 245,768Series AA, 4.65%, 12/1/2028

(a) . . . . . . . . . . . . . . . . 460,000 507,371Series N, 3.13%, 10/15/2021 . 435,000 440,202Series R, 3.13%, 6/15/2026 . . 221,000 221,228Series X, 4.00%, 4/15/2028 . . 522,000 549,749Series Z, 4.15%, 12/1/2023 . . 425,000 450,751

Sands China, Ltd.:4.60%, 8/8/2023 . . . . . . . . . 2,221,000 2,336,7365.13%, 8/8/2025 . . . . . . . . . 848,000 916,4935.40%, 8/8/2028 . . . . . . . . . 1,312,000 1,433,386

13,076,472


ABB Finance USA, Inc.:2.88%, 5/8/2022 . . . . . . . . . 1,680,000 1,706,3093.38%, 4/3/2023 . . . . . . . . . 978,000 1,009,9813.80%, 4/3/2028 . . . . . . . . . 405,000 435,922

Caterpillar Financial ServicesCorp.:1.70%, 8/9/2021 . . . . . . . . . 2,019,000 1,997,1341.93%, 10/1/2021 . . . . . . . . 362,000 359,2162.40%, 8/9/2026 . . . . . . . . . 270,000 264,856Series GMTN, 1.85%,

9/4/2020 . . . . . . . . . . . . 580,000 577,883Series I, 2.65%, 5/17/2021 . . . 1,293,000 1,304,934Series MTN, 2.40%, 6/6/2022. 671,000 675,992Series MTN, 2.55%,

11/29/2022 . . . . . . . . . . . 1,133,000 1,145,780Series MTN, 2.63%, 3/1/2023. 465,000 470,812Series MTN, 2.85%, 6/1/2022. 1,051,000 1,070,359Series MTN, 2.85%,

5/17/2024. . . . . . . . . . . . 878,000 896,385Series MTN, 2.90%,

3/15/2021. . . . . . . . . . . . 446,000 451,089Series MTN, 2.95%,

2/26/2022. . . . . . . . . . . . 984,000 1,004,300Series MTN, 3.15%, 9/7/2021. 820,000 836,170


Series MTN, 3.25%,12/1/2024. . . . . . . . . . . . $ 1,922,000 $ 2,000,725


12/7/2020. . . . . . . . . . . . 1,053,000 1,068,848Series MTN, 3.45%,

5/15/2023 (a) . . . . . . . . . 752,000 783,960Series MTN, 3.65%,

12/7/2023. . . . . . . . . . . . 743,000 783,858Series MTN, 3.75%,

11/24/2023 . . . . . . . . . . . 1,057,000 1,118,528Caterpillar, Inc.:

2.60%, 6/26/2022 . . . . . . . . 602,000 608,9233.40%, 5/15/2024 . . . . . . . . 1,203,000 1,260,5523.90%, 5/27/2021 . . . . . . . . 535,000 552,056

Oshkosh Corp.4.60%, 5/15/2028 . . . . . . . . 811,000 854,405

24,204,485


CNH Industrial Capital LLC:3.88%, 10/15/2021. . . . . . . . 491,000 502,4554.20%, 1/15/2024 . . . . . . . . 785,000 817,7894.38%, 11/6/2020 . . . . . . . . 435,000 444,1614.38%, 4/5/2022 . . . . . . . . . 575,000 595,4874.88%, 4/1/2021 . . . . . . . . . 623,000 645,135

CNH Industrial NV:4.50%, 8/15/2023 . . . . . . . . 706,000 739,450Series MTN, 3.85%,

11/15/2027 . . . . . . . . . . . 354,000 353,526Cummins, Inc.

3.65%, 10/1/2023 . . . . . . . . 854,000 898,750Deere & Co.

2.60%, 6/8/2022 . . . . . . . . . 702,000 710,319Dover Corp.:

3.15%, 11/15/2025. . . . . . . . 3,490,000 3,556,6244.30%, 3/1/2021 . . . . . . . . . 559,000 574,115

Flowserve Corp.:3.50%, 9/15/2022 . . . . . . . . 545,000 550,4884.00%, 11/15/2023. . . . . . . . 58,000 59,122

IDEX Corp.4.20%, 12/15/2021. . . . . . . . 44,000 45,392

John Deere Capital Corp.:2.55%, 1/8/2021 . . . . . . . . . 404,000 406,2872.80%, 1/27/2023 . . . . . . . . 376,000 383,0353.65%, 10/12/2023. . . . . . . . 670,000 705,845Series 0014, 2.45%,

9/11/2020. . . . . . . . . . . . 169,000 169,433Series DMTN, 2.35%,

1/8/2021 . . . . . . . . . . . . 908,000 910,524Series GMTN, 3.45%,

6/7/2023 . . . . . . . . . . . . 345,000 361,129Series MTN, 2.15%, 9/8/2022. 675,000 674,953Series MTN, 2.30%, 6/7/2021. 1,491,000 1,495,085Series MTN, 2.38%,

7/14/2020. . . . . . . . . . . . 309,000 309,457


34


Series MTN, 2.60%, 3/7/2024. $ 1,661,000 $ 1,680,600Series MTN, 2.65%, 1/6/2022. 1,070,000 1,082,647Series MTN, 2.65%,

6/24/2024. . . . . . . . . . . . 518,000 524,164Series MTN, 2.65%,


3/15/2022. . . . . . . . . . . . 452,000 460,308Series MTN, 2.80%, 3/4/2021. 421,000 425,058Series MTN, 2.80%, 3/6/2023. 1,200,000 1,226,988Series MTN, 2.80%, 9/8/2027. 920,000 930,847Series MTN, 2.88%,


9/10/2021. . . . . . . . . . . . 208,000 212,127Series MTN, 3.15%,

10/15/2021 . . . . . . . . . . . 502,000 512,135Series MTN, 3.20%,

1/10/2022. . . . . . . . . . . . 908,000 929,910Series MTN, 3.35%,

6/12/2024. . . . . . . . . . . . 903,000 943,617Series MTN, 3.40%,

9/11/2025. . . . . . . . . . . . 844,000 892,209Series MTN, 3.45%,

1/10/2024. . . . . . . . . . . . 899,000 940,111Series MTN, 3.45%,

3/13/2025. . . . . . . . . . . . 1,132,000 1,192,641Series MTN, 3.45%, 3/7/2029. 540,000 577,017Series MTN, 3.90%,

7/12/2021. . . . . . . . . . . . 571,000 590,077Nvent Finance Sarl:

3.95%, 4/15/2023 . . . . . . . . 1,074,000 1,087,9414.55%, 4/15/2028 . . . . . . . . 728,000 739,408

Rockwell Automation, Inc.:2.88%, 3/1/2025 . . . . . . . . . 25,000 25,5173.50%, 3/1/2029 . . . . . . . . . 968,000 1,031,036

Roper Technologies, Inc.:2.80%, 12/15/2021. . . . . . . . 1,102,000 1,110,6183.00%, 12/15/2020. . . . . . . . 491,000 494,2803.13%, 11/15/2022. . . . . . . . 456,000 464,4183.65%, 9/15/2023 . . . . . . . . 777,000 809,1443.80%, 12/15/2026. . . . . . . . 686,000 714,9223.85%, 12/15/2025. . . . . . . . 500,000 527,9404.20%, 9/15/2028 . . . . . . . . 1,325,000 1,417,816

Wabtec Corp.:3.45%, 11/15/2026. . . . . . . . 520,000 509,9904.40%, 3/15/2024 . . . . . . . . 1,129,000 1,192,0324.95%, 9/15/2028 . . . . . . . . 2,093,000 2,246,061

Xylem, Inc.:3.25%, 11/1/2026 . . . . . . . . 919,000 928,2184.88%, 10/1/2021 . . . . . . . . 361,000 379,739

45,833,639



3.70%, 9/15/2024 . . . . . . . . $ 913,000 $ 968,9674.00%, 10/1/2023 . . . . . . . . 385,000 406,1174.50%, 2/15/2021 . . . . . . . . 74,000 76,5435.65%, 8/15/2020 . . . . . . . . 949,000 982,082

CBS Corp.:2.50%, 2/15/2023 . . . . . . . . 2,410,000 2,397,9022.90%, 6/1/2023 . . . . . . . . . 595,000 599,5872.90%, 1/15/2027 . . . . . . . . 716,000 696,6253.38%, 3/1/2022 . . . . . . . . . 664,000 679,2453.38%, 2/15/2028 . . . . . . . . 626,000 622,7453.50%, 1/15/2025 . . . . . . . . 693,000 708,4953.70%, 8/15/2024 . . . . . . . . 617,000 636,6953.70%, 6/1/2028 . . . . . . . . . 830,000 845,4464.00%, 1/15/2026 . . . . . . . . 1,035,000 1,084,4944.20%, 6/1/2029 . . . . . . . . . 500,000 529,2804.30%, 2/15/2021 . . . . . . . . 3,115,000 3,190,539

Charter CommunicationsOperating LLC/CharterCommunications OperatingCapital:3.75%, 2/15/2028 . . . . . . . . 1,163,000 1,172,9324.20%, 3/15/2028 . . . . . . . . 311,000 323,0174.46%, 7/23/2022 . . . . . . . . 5,918,000 6,213,6044.91%, 7/23/2025 . . . . . . . . 10,853,000 11,777,4595.05%, 3/30/2029 (a) . . . . . . 150,000 165,4894.50%, 2/1/2024 . . . . . . . . . 1,655,000 1,763,105

Comcast Cable CommunicationsHoldings, Inc.9.46%, 11/15/2022. . . . . . . . 1,532,000 1,886,980

Comcast Corp.:1.63%, 1/15/2022 . . . . . . . . 2,983,000 2,947,1152.35%, 1/15/2027 . . . . . . . . 2,254,000 2,199,1602.75%, 3/1/2023 . . . . . . . . . 1,935,000 1,967,8762.85%, 1/15/2023 . . . . . . . . 938,000 957,9893.00%, 2/1/2024 . . . . . . . . . 765,000 787,0933.13%, 7/15/2022 . . . . . . . . 1,644,000 1,689,9333.15%, 3/1/2026 . . . . . . . . . 1,282,000 1,326,6523.15%, 2/15/2028 . . . . . . . . 2,309,000 2,367,8563.30%, 10/1/2020 . . . . . . . . 1,852,000 1,877,3723.30%, 2/1/2027 . . . . . . . . . 1,276,000 1,327,5253.38%, 2/15/2025 . . . . . . . . 745,000 778,8753.38%, 8/15/2025 . . . . . . . . 1,749,000 1,828,7193.45%, 10/1/2021 . . . . . . . . 1,695,000 1,744,0193.55%, 5/1/2028 . . . . . . . . . 899,000 948,3733.60%, 3/1/2024 . . . . . . . . . 3,439,000 3,632,0653.70%, 4/15/2024 . . . . . . . . 2,527,000 2,681,8043.95%, 10/15/2025. . . . . . . . 4,909,000 5,301,2784.15%, 10/15/2028. . . . . . . . 2,771,000 3,052,894

DiscoveryCommunications LLC:2.95%, 3/20/2023 . . . . . . . . 1,235,000 1,245,5723.25%, 4/1/2023 . . . . . . . . . 549,000 558,9373.30%, 5/15/2022 . . . . . . . . 661,000 673,9363.45%, 3/15/2025 . . . . . . . . 1,853,000 1,877,756


35


3.50%, 6/15/2022 . . . . . . . . $ 1,611,000 $ 1,647,0383.80%, 3/13/2024 . . . . . . . . 795,000 825,0193.90%, 11/15/2024. . . . . . . . 417,000 435,1313.95%, 6/15/2025 . . . . . . . . 1,133,000 1,176,8703.95%, 3/20/2028 . . . . . . . . 1,475,000 1,518,2324.13%, 5/15/2029 . . . . . . . . 953,000 992,0354.38%, 6/15/2021 . . . . . . . . 340,000 351,8564.90%, 3/11/2026 (a) . . . . . . 2,363,000 2,585,665

Fox Corp.:3.67%, 1/25/2022 (e) . . . . . . 604,000 624,0834.03%, 1/25/2024 (e) . . . . . . 1,324,000 1,407,1604.71%, 1/25/2029 (e) . . . . . . 1,515,000 1,693,149

Grupo Televisa SAB6.63%, 3/18/2025 . . . . . . . . 290,000 334,851

Historic TW, Inc.6.63%, 5/15/2029 . . . . . . . . 16,000 19,342

NBCUniversal Media LLC:2.88%, 1/15/2023 . . . . . . . . 1,345,000 1,374,4564.38%, 4/1/2021 . . . . . . . . . 3,361,000 3,484,752

TCI Communications, Inc.:7.13%, 2/15/2028 . . . . . . . . 1,058,000 1,365,6037.88%, 2/15/2026 . . . . . . . . 70,000 91,062

Thomson Reuters Corp.:3.35%, 5/15/2026 . . . . . . . . 978,000 982,1964.30%, 11/23/2023. . . . . . . . 625,000 661,119

Time Warner Cable LLC:4.00%, 9/1/2021 . . . . . . . . . 1,432,000 1,467,9154.13%, 2/15/2021 . . . . . . . . 495,000 504,860

Time Warner Entertainment Co.L.P.8.38%, 3/15/2023 . . . . . . . . 1,462,000 1,733,026

TWDC Enterprises 18 Corp.:2.30%, 2/12/2021 . . . . . . . . 187,000 187,6403.00%, 2/13/2026 . . . . . . . . 1,348,000 1,407,865Series GMTN, 2.15%,

9/17/2020. . . . . . . . . . . . 870,000 870,348Series GMTN, 3.15%,

9/17/2025. . . . . . . . . . . . 879,000 923,803Series MTN, 1.85%,

7/30/2026. . . . . . . . . . . . 1,661,000 1,609,542Series MTN, 2.35%,

12/1/2022. . . . . . . . . . . . 1,077,000 1,085,261Series MTN, 2.45%, 3/4/2022

(a) . . . . . . . . . . . . . . . . 936,000 943,788Series MTN, 2.55%,

2/15/2022. . . . . . . . . . . . 674,000 680,834Series MTN, 2.95%,

6/15/2027 (a) . . . . . . . . . 1,300,000 1,354,938Series MTN, 3.75%, 6/1/2021. 449,000 462,766

Viacom, Inc.:3.88%, 12/15/2021. . . . . . . . 724,000 743,4033.88%, 4/1/2024 . . . . . . . . . 662,000 689,4734.25%, 9/1/2023 . . . . . . . . . 827,000 874,7014.50%, 3/1/2021 . . . . . . . . . 1,178,000 1,214,129

Walt Disney Co.:2.75%, 8/16/2021 . . . . . . . . 729,000 739,578


3.00%, 9/15/2022 (e) . . . . . . $ 858,000 $ 877,5023.38%, 11/15/2026 (e) . . . . . 1,070,000 1,123,8003.70%, 9/15/2024 (e) . . . . . . 1,068,000 1,136,1813.70%, 10/15/2025 (e) . . . . . 1,978,000 2,113,9874.00%, 10/1/2023 (e) . . . . . . 375,000 400,1784.50%, 2/15/2021 (e) . . . . . . 1,035,000 1,073,9475.65%, 8/15/2020 (e) . . . . . . 970,000 1,006,647

Warner Media LLC:3.40%, 6/15/2022 . . . . . . . . 407,000 412,5723.60%, 7/15/2025 . . . . . . . . 40,000 40,8603.80%, 2/15/2027 . . . . . . . . 533,000 532,1583.88%, 1/15/2026 . . . . . . . . 16,000 16,296

127,297,764


Precision Castparts Corp.:2.50%, 1/15/2023 . . . . . . . . 1,446,000 1,457,0763.25%, 6/15/2025 . . . . . . . . 1,421,000 1,484,448

Timken Co.3.88%, 9/1/2024 . . . . . . . . . 794,000 817,876

3,759,400


3.85%, 4/1/2022 . . . . . . . . . 528,000 547,214BHP Billiton Finance USA, Ltd.:

2.88%, 2/24/2022 . . . . . . . . 802,000 816,1153.25%, 11/21/2021. . . . . . . . 580,000 593,9783.85%, 9/30/2023 . . . . . . . . 1,300,000 1,387,2306.42%, 3/1/2026 (a) . . . . . . . 215,000 261,124

Kinross Gold Corp.:4.50%, 7/15/2027 . . . . . . . . 874,000 882,6615.13%, 9/1/2021 . . . . . . . . . 170,000 176,6515.95%, 3/15/2024 (a) . . . . . . 619,000 681,383

Newmont Goldcorp Corp.3.63%, 6/9/2021 (e) . . . . . . . 804,000 819,115

Newmont Mining Corp.:3.50%, 3/15/2022 . . . . . . . . 1,601,000 1,637,7113.70%, 3/15/2023 (e) . . . . . . 1,033,000 1,070,136

Rio Tinto Finance USA, Ltd.:3.75%, 6/15/2025 . . . . . . . . 2,684,000 2,881,2747.13%, 7/15/2028 . . . . . . . . 100,000 133,632

Southern Copper Corp.:3.50%, 11/8/2022 . . . . . . . . 1,020,000 1,039,3193.88%, 4/23/2025 . . . . . . . . 302,000 313,035

Yamana Gold, Inc.4.63%, 12/15/2027. . . . . . . . 572,000 585,339

13,825,917


3M Co.:2.88%, 10/15/2027. . . . . . . . 1,026,000 1,045,412Series MTN, 1.63%,

9/19/2021. . . . . . . . . . . . 806,000 797,602Series MTN, 2.00%, 8/7/2020. 150,000 149,822


36


Series MTN, 2.00%,6/26/2022. . . . . . . . . . . . $ 599,000 $ 597,532

Series MTN, 2.25%,3/15/2023. . . . . . . . . . . . 662,000 663,139

Series MTN, 2.25%,9/19/2026. . . . . . . . . . . . 493,000 480,601

Series MTN, 2.75%, 3/1/2022. 1,049,000 1,065,669Series MTN, 3.00%,


2/14/2024. . . . . . . . . . . . 1,079,000 1,126,368Series MTN, 3.38%, 3/1/2029

(a) . . . . . . . . . . . . . . . . 1,404,000 1,482,484Series MTN, 3.63%,

9/14/2028. . . . . . . . . . . . 657,000 705,585Carlisle Cos., Inc.:

3.50%, 12/1/2024 . . . . . . . . 1,503,000 1,542,7243.75%, 11/15/2022. . . . . . . . 50,000 51,2073.75%, 12/1/2027 . . . . . . . . 472,000 484,069

Crane Co.4.45%, 12/15/2023. . . . . . . . 44,000 46,588

Eaton Corp.:2.75%, 11/2/2022 . . . . . . . . 2,155,000 2,183,0153.10%, 9/15/2027 . . . . . . . . 798,000 810,393

General Electric Co.:2.70%, 10/9/2022 . . . . . . . . 5,778,000 5,769,7383.38%, 3/11/2024 . . . . . . . . 687,000 703,0695.30%, 2/11/2021 . . . . . . . . 1,658,000 1,720,357Series GMTN, 3.10%,

1/9/2023 (a) . . . . . . . . . . 1,543,000 1,556,686Series GMTN, 3.15%,

9/7/2022 . . . . . . . . . . . . 1,469,000 1,486,305Series GMTN, 3.45%,

5/15/2024. . . . . . . . . . . . 771,000 788,178Series GMTN, 4.63%,

1/7/2021 . . . . . . . . . . . . 1,075,000 1,105,648Series MTN, 4.38%,

9/16/2020. . . . . . . . . . . . 1,115,000 1,136,709Series MTN, 4.65%,

10/17/2021 . . . . . . . . . . . 1,720,000 1,792,601Hexcel Corp.:

3.95%, 2/15/2027 . . . . . . . . 385,000 396,7774.70%, 8/15/2025 . . . . . . . . 635,000 680,739

Illinois Tool Works, Inc.:2.65%, 11/15/2026. . . . . . . . 1,915,000 1,933,8243.38%, 9/15/2021 . . . . . . . . 347,000 355,3073.50%, 3/1/2024 . . . . . . . . . 463,000 487,784

Ingersoll-Rand Global HoldingCo., Ltd.:2.90%, 2/21/2021 . . . . . . . . 817,000 823,1773.75%, 8/21/2028 . . . . . . . . 722,000 756,3384.25%, 6/15/2023 . . . . . . . . 469,000 498,903

Ingersoll-Rand LuxembourgFinance SA:3.50%, 3/21/2026 . . . . . . . . 1,089,000 1,124,534


3.55%, 11/1/2024 . . . . . . . . $ 460,000 $ 479,2003.80%, 3/21/2029 (a) . . . . . . 890,000 933,672

Parker-Hannifin Corp.:2.70%, 6/14/2024 . . . . . . . . 415,000 421,2253.25%, 3/1/2027 . . . . . . . . . 1,205,000 1,246,5003.25%, 6/14/2029 . . . . . . . . 615,000 639,133Series MTN, 3.30%,

11/21/2024 . . . . . . . . . . . 523,000 543,910Series MTN, 3.50%,

9/15/2022. . . . . . . . . . . . 290,000 300,092Pentair Finance Sarl

4.50%, 7/1/2029 . . . . . . . . . 500,000 511,215Textron, Inc.:

3.38%, 3/1/2028 . . . . . . . . . 20,000 20,0693.65%, 3/15/2027 . . . . . . . . 1,081,000 1,108,6843.88%, 3/1/2025 . . . . . . . . . 363,000 379,9054.00%, 3/15/2026 . . . . . . . . 594,000 624,8354.30%, 3/1/2024 . . . . . . . . . 569,000 605,871

45,357,940

OFFICE & BUSINESSEQUIPMENT — 0.0% (f)

Xerox Corp.4.07%, 3/17/2022 . . . . . . . . 158,000 160,342

OFFICE FURNISHINGS —0.0% (f)

Steelcase, Inc.5.13%, 1/18/2029 . . . . . . . . 534,000 583,048

OIL & GAS — 4.0%Anadarko Petroleum Corp.:

4.85%, 3/15/2021 . . . . . . . . 857,000 887,1325.55%, 3/15/2026 . . . . . . . . 1,528,000 1,715,195

Apache Corp.:3.25%, 4/15/2022 (a) . . . . . . 347,000 352,5494.38%, 10/15/2028. . . . . . . . 1,185,000 1,237,721

BP Capital Markets America,Inc.:2.11%, 9/16/2021 . . . . . . . . 768,000 766,4412.52%, 9/19/2022 . . . . . . . . 1,437,000 1,450,5942.75%, 5/10/2023 . . . . . . . . 981,000 995,5873.02%, 1/16/2027 . . . . . . . . 1,274,000 1,302,4743.12%, 5/4/2026 . . . . . . . . . 1,353,000 1,384,1873.22%, 11/28/2023. . . . . . . . 1,288,000 1,329,9503.22%, 4/14/2024 . . . . . . . . 1,393,000 1,441,8533.25%, 5/6/2022 . . . . . . . . . 1,401,000 1,442,0773.41%, 2/11/2026 . . . . . . . . 853,000 895,4623.59%, 4/14/2027 . . . . . . . . 1,403,000 1,471,2143.79%, 2/6/2024 . . . . . . . . . 1,554,000 1,646,2143.80%, 9/21/2025 . . . . . . . . 1,229,000 1,312,4743.94%, 9/21/2028 . . . . . . . . 789,000 856,5544.23%, 11/6/2028 . . . . . . . . 2,278,000 2,529,8564.50%, 10/1/2020 . . . . . . . . 1,947,000 1,999,5694.74%, 3/11/2021 . . . . . . . . 1,113,000 1,159,846

BP Capital Markets PLC:2.50%, 11/6/2022 . . . . . . . . 1,276,000 1,288,3392.75%, 5/10/2023 . . . . . . . . 513,000 519,592


37


3.06%, 3/17/2022 . . . . . . . . $ 1,041,000 $ 1,065,3073.25%, 5/6/2022 . . . . . . . . . 169,000 173,6483.28%, 9/19/2027 . . . . . . . . 1,965,000 2,033,9713.51%, 3/17/2025 . . . . . . . . 1,245,000 1,309,6033.54%, 11/4/2024 . . . . . . . . 1,177,000 1,239,8403.56%, 11/1/2021 . . . . . . . . 1,221,000 1,258,7043.72%, 11/28/2028. . . . . . . . 844,000 903,4093.81%, 2/10/2024 . . . . . . . . 1,489,000 1,578,1463.99%, 9/26/2023 . . . . . . . . 445,000 474,1344.50%, 10/1/2020 . . . . . . . . 10,000 10,282

Canadian Natural Resources,Ltd.:2.95%, 1/15/2023 . . . . . . . . 1,386,000 1,399,8463.45%, 11/15/2021. . . . . . . . 604,000 616,6783.80%, 4/15/2024 (a) . . . . . . 993,000 1,041,1313.85%, 6/1/2027 . . . . . . . . . 883,000 917,4193.90%, 2/1/2025 . . . . . . . . . 641,000 670,089

Cenovus Energy, Inc.:3.00%, 8/15/2022 . . . . . . . . 517,000 518,9703.80%, 9/15/2023 . . . . . . . . 500,000 513,9654.25%, 4/15/2027 (a) . . . . . . 1,630,000 1,687,784

Chevron Corp.:2.10%, 5/16/2021 . . . . . . . . 1,928,000 1,928,4052.36%, 12/5/2022 . . . . . . . . 2,792,000 2,813,7502.41%, 3/3/2022 . . . . . . . . . 657,000 663,7342.42%, 11/17/2020. . . . . . . . 1,339,000 1,345,2132.50%, 3/3/2022 . . . . . . . . . 683,000 690,4112.57%, 5/16/2023 . . . . . . . . 1,286,000 1,306,1642.90%, 3/3/2024 . . . . . . . . . 1,153,000 1,191,9832.95%, 5/16/2026 . . . . . . . . 3,059,000 3,157,4693.19%, 6/24/2023 . . . . . . . . 2,833,000 2,940,9663.33%, 11/17/2025. . . . . . . . 1,285,000 1,360,455

Cimarex Energy Co.:3.90%, 5/15/2027 . . . . . . . . 1,670,000 1,714,4394.38%, 6/1/2024 . . . . . . . . . 763,000 807,5364.38%, 3/15/2029 . . . . . . . . 1,049,000 1,112,066

Concho Resources, Inc.:3.75%, 10/1/2027 . . . . . . . . 1,782,000 1,843,3364.30%, 8/15/2028 . . . . . . . . 1,117,000 1,204,7184.38%, 1/15/2025 . . . . . . . . 619,000 643,401

ConocoPhillips Co.:2.40%, 12/15/2022. . . . . . . . 410,000 411,7144.95%, 3/15/2026 (a) . . . . . . 2,750,000 3,137,090

ConocoPhillips Holding Co.6.95%, 4/15/2029 . . . . . . . . 1,234,000 1,660,878

Continental Resources, Inc.:3.80%, 6/1/2024 . . . . . . . . . 1,527,000 1,571,0694.38%, 1/15/2028 (a) . . . . . . 1,471,000 1,545,9034.50%, 4/15/2023 . . . . . . . . 2,279,000 2,393,2235.00%, 9/15/2022 . . . . . . . . 1,084,000 1,093,518

Devon Energy Corp.:3.25%, 5/15/2022 . . . . . . . . 1,446,000 1,491,1734.00%, 7/15/2021 . . . . . . . . 343,000 354,8475.85%, 12/15/2025. . . . . . . . 753,000 897,892


Encana Corp.3.90%, 11/15/2021. . . . . . . . $ 1,994,000 $ 2,043,172

Eni USA, Inc.7.30%, 11/15/2027. . . . . . . . 525,000 664,624

EOG Resources, Inc.:2.63%, 3/15/2023 . . . . . . . . 1,636,000 1,654,1113.15%, 4/1/2025 . . . . . . . . . 713,000 732,6004.10%, 2/1/2021 . . . . . . . . . 1,018,000 1,047,5934.15%, 1/15/2026 . . . . . . . . 951,000 1,035,306

EQT Corp.:2.50%, 10/1/2020 . . . . . . . . 653,000 650,8123.00%, 10/1/2022 . . . . . . . . 1,368,000 1,357,1243.90%, 10/1/2027 . . . . . . . . 1,762,000 1,671,1164.88%, 11/15/2021. . . . . . . . 621,000 649,852

Exxon Mobil Corp.:2.22%, 3/1/2021 . . . . . . . . . 2,984,000 2,992,1162.40%, 3/6/2022 . . . . . . . . . 1,082,000 1,091,9222.71%, 3/6/2025 . . . . . . . . . 908,000 929,5012.73%, 3/1/2023 . . . . . . . . . 2,324,000 2,372,9903.04%, 3/1/2026 . . . . . . . . . 3,403,000 3,525,8143.18%, 3/15/2024 . . . . . . . . 1,904,000 1,987,757

Helmerich & Payne, Inc.4.65%, 3/15/2025 . . . . . . . . 862,000 915,651

Hess Corp.:3.50%, 7/15/2024 . . . . . . . . 412,000 415,1564.30%, 4/1/2027 . . . . . . . . . 1,245,000 1,290,741

HollyFrontier Corp.5.88%, 4/1/2026 . . . . . . . . . 1,530,000 1,674,998

Husky Energy, Inc.:3.95%, 4/15/2022 . . . . . . . . 679,000 703,2884.00%, 4/15/2024 . . . . . . . . 427,000 447,7444.40%, 4/15/2029 . . . . . . . . 1,299,000 1,374,251

Kerr-McGee Corp.6.95%, 7/1/2024 . . . . . . . . . 711,000 834,472

Marathon Oil Corp.:2.80%, 11/1/2022 . . . . . . . . 800,000 802,6643.85%, 6/1/2025 . . . . . . . . . 1,208,000 1,252,1894.40%, 7/15/2027 . . . . . . . . 2,593,000 2,752,029

Marathon Petroleum Corp.:3.40%, 12/15/2020. . . . . . . . 752,000 761,3923.63%, 9/15/2024 . . . . . . . . 1,060,000 1,098,1603.80%, 4/1/2028 . . . . . . . . . 626,000 636,8864.75%, 12/15/2023. . . . . . . . 949,000 1,023,2595.13%, 3/1/2021 . . . . . . . . . 1,643,000 1,714,2735.13%, 4/1/2024 . . . . . . . . . 34,000 34,8825.13%, 12/15/2026. . . . . . . . 1,185,000 1,300,0525.38%, 10/1/2022 . . . . . . . . 464,000 471,169

Newfield Exploration Co.:5.38%, 1/1/2026 . . . . . . . . . 2,075,000 2,270,9425.63%, 7/1/2024 . . . . . . . . . 1,530,000 1,694,6285.75%, 1/30/2022 . . . . . . . . 600,000 643,044

Noble Energy, Inc.:3.85%, 1/15/2028 . . . . . . . . 2,009,000 2,048,7183.90%, 11/15/2024 (a) . . . . . 647,000 674,7374.15%, 12/15/2021. . . . . . . . 1,585,000 1,635,355

Occidental Petroleum Corp.:


38


2.60%, 4/15/2022 . . . . . . . . $ 670,000 $ 671,8632.70%, 2/15/2023 . . . . . . . . 1,756,000 1,773,4373.00%, 2/15/2027 . . . . . . . . 932,000 923,3233.13%, 2/15/2022 . . . . . . . . 1,773,000 1,798,0883.40%, 4/15/2026 . . . . . . . . 1,804,000 1,841,2713.50%, 6/15/2025 . . . . . . . . 681,000 703,984Series 1, 4.10%, 2/1/2021 . . . 1,420,000 1,452,376

Patterson-UTI Energy, Inc.3.95%, 2/1/2028 . . . . . . . . . 556,000 548,561

Petro-Canada9.25%, 10/15/2021. . . . . . . . 478,000 548,056

Phillips 66:3.90%, 3/15/2028 . . . . . . . . 1,118,000 1,178,4844.30%, 4/1/2022 . . . . . . . . . 2,314,000 2,434,166

Pioneer Natural Resources Co.:3.45%, 1/15/2021 . . . . . . . . 591,000 598,7183.95%, 7/15/2022 . . . . . . . . 848,000 882,3024.45%, 1/15/2026 . . . . . . . . 970,000 1,053,294

Shell International Finance B.V.:1.75%, 9/12/2021 . . . . . . . . 1,128,000 1,118,8521.88%, 5/10/2021 . . . . . . . . 1,993,000 1,984,0122.25%, 11/10/2020. . . . . . . . 1,089,000 1,090,8842.25%, 1/6/2023 . . . . . . . . . 1,202,000 1,203,9952.38%, 8/21/2022 . . . . . . . . 1,535,000 1,546,4362.50%, 9/12/2026 . . . . . . . . 1,175,000 1,167,8212.88%, 5/10/2026 . . . . . . . . 2,487,000 2,538,2573.25%, 5/11/2025 . . . . . . . . 1,435,000 1,500,3643.40%, 8/12/2023 . . . . . . . . 580,000 605,8803.50%, 11/13/2023. . . . . . . . 4,154,000 4,365,7293.88%, 11/13/2028. . . . . . . . 2,058,000 2,251,678

Suncor Energy, Inc.3.60%, 12/1/2024 . . . . . . . . 981,000 1,023,193

Total Capital Canada, Ltd.2.75%, 7/15/2023 . . . . . . . . 1,644,000 1,675,137

Total Capital International SA:2.70%, 1/25/2023 . . . . . . . . 1,001,000 1,015,7552.75%, 6/19/2021 . . . . . . . . 1,279,000 1,294,1182.88%, 2/17/2022 . . . . . . . . 1,771,000 1,801,9573.46%, 2/19/2029 . . . . . . . . 1,282,000 1,363,9453.70%, 1/15/2024 . . . . . . . . 1,142,000 1,210,0753.75%, 4/10/2024 (a) . . . . . . 1,300,000 1,385,046

Total Capital SA:3.88%, 10/11/2028. . . . . . . . 41,000 45,0194.13%, 1/28/2021 . . . . . . . . 576,000 593,7584.25%, 12/15/2021. . . . . . . . 862,000 904,109

Valero Energy Corp.:3.40%, 9/15/2026 . . . . . . . . 1,138,000 1,160,3053.65%, 3/15/2025 . . . . . . . . 616,000 639,0144.00%, 4/1/2029 . . . . . . . . . 1,359,000 1,424,3004.35%, 6/1/2028 . . . . . . . . . 1,204,000 1,286,293

190,160,104


Baker Hughes a GE Co. LLC3.20%, 8/15/2021 . . . . . . . . 781,000 791,614


Baker Hughes a GE Co.LLC/Baker HughesCo-Obligor, Inc.:2.77%, 12/15/2022. . . . . . . . $ 2,653,000 $ 2,681,1753.34%, 12/15/2027. . . . . . . . 654,000 658,669

Halliburton Co.:3.25%, 11/15/2021. . . . . . . . 1,047,000 1,067,9823.50%, 8/1/2023 . . . . . . . . . 1,690,000 1,747,1393.80%, 11/15/2025. . . . . . . . 2,404,000 2,522,517

National Oilwell Varco, Inc.2.60%, 12/1/2022 . . . . . . . . 3,824,000 3,816,543

Schlumberger Investment SA3.65%, 12/1/2023 . . . . . . . . 2,137,000 2,244,406

TechnipFMC PLC3.45%, 10/1/2022 . . . . . . . . 650,000 660,959

16,191,004


Bemis Co., Inc.:3.10%, 9/15/2026 (e) . . . . . . 555,000 541,1584.50%, 10/15/2021 (e) . . . . . 482,000 499,024

Packaging Corp. of America:2.45%, 12/15/2020. . . . . . . . 1,462,000 1,460,8743.40%, 12/15/2027. . . . . . . . 465,000 470,8083.65%, 9/15/2024 . . . . . . . . 586,000 607,5013.90%, 6/15/2022 . . . . . . . . 20,000 20,7394.50%, 11/1/2023 . . . . . . . . 686,000 734,061

WestRock RKT Co.4.90%, 3/1/2022 . . . . . . . . . 985,000 1,042,061

WestRock RKT LLC4.00%, 3/1/2023 . . . . . . . . . 567,000 591,330

WRKCo, Inc.:3.00%, 9/15/2024 . . . . . . . . 590,000 595,0333.38%, 9/15/2027 . . . . . . . . 400,000 400,6523.75%, 3/15/2025 . . . . . . . . 454,000 471,7653.90%, 6/1/2028 . . . . . . . . . 878,000 900,9254.00%, 3/15/2028 (a) . . . . . . 1,154,000 1,192,5784.65%, 3/15/2026 . . . . . . . . 999,000 1,083,7454.90%, 3/15/2029 (a) . . . . . . 911,000 997,855

11,610,109


AbbVie, Inc.:2.30%, 5/14/2021 . . . . . . . . 2,605,000 2,597,8362.85%, 5/14/2023 (a) . . . . . . 745,000 751,3622.90%, 11/6/2022 . . . . . . . . 3,682,000 3,722,3553.20%, 11/6/2022 . . . . . . . . 1,404,000 1,432,4593.20%, 5/14/2026 . . . . . . . . 2,075,000 2,094,1113.38%, 11/14/2021. . . . . . . . 1,822,000 1,858,7503.60%, 5/14/2025 . . . . . . . . 3,922,000 4,058,3293.75%, 11/14/2023. . . . . . . . 2,045,000 2,133,8964.25%, 11/14/2028. . . . . . . . 2,518,000 2,690,055

Allergan Finance LLC3.25%, 10/1/2022 . . . . . . . . 2,158,000 2,192,550

Allergan Funding SCS:


39


3.45%, 3/15/2022 . . . . . . . . $ 3,879,000 $ 3,954,8733.80%, 3/15/2025 . . . . . . . . 3,749,000 3,889,6253.85%, 6/15/2024 . . . . . . . . 1,105,000 1,146,846

Allergan, Inc.:2.80%, 3/15/2023 . . . . . . . . 1,100,000 1,097,4373.38%, 9/15/2020 . . . . . . . . 816,000 823,262

AmerisourceBergen Corp.:3.25%, 3/1/2025 . . . . . . . . . 981,000 1,004,1223.40%, 5/15/2024 . . . . . . . . 96,000 98,7433.45%, 12/15/2027. . . . . . . . 1,006,000 1,025,9893.50%, 11/15/2021. . . . . . . . 606,000 617,878

AstraZeneca PLC:2.38%, 11/16/2020. . . . . . . . 2,392,000 2,394,0092.38%, 6/12/2022 . . . . . . . . 1,332,000 1,339,2593.13%, 6/12/2027 . . . . . . . . 1,537,000 1,574,2883.38%, 11/16/2025. . . . . . . . 1,840,000 1,924,2173.50%, 8/17/2023 . . . . . . . . 1,147,000 1,194,6354.00%, 1/17/2029 (a) . . . . . . 486,000 531,383

Bristol-Myers Squibb Co.:2.00%, 8/1/2022 . . . . . . . . . 1,762,000 1,751,3932.55%, 5/14/2021 (e) . . . . . . 1,100,000 1,108,0082.60%, 5/16/2022 (e) . . . . . . 1,350,000 1,366,3892.90%, 7/26/2024 (e) . . . . . . 2,075,000 2,122,8703.20%, 6/15/2026 (e) . . . . . . 2,780,000 2,888,9483.25%, 11/1/2023 . . . . . . . . 408,000 423,8633.25%, 2/27/2027 . . . . . . . . 653,000 685,8923.40%, 7/26/2029 (e) . . . . . . 1,290,000 1,351,3657.15%, 6/15/2023 . . . . . . . . 186,000 219,233

Cardinal Health, Inc.:2.62%, 6/15/2022 . . . . . . . . 1,563,000 1,572,1283.08%, 6/15/2024 . . . . . . . . 1,262,000 1,270,3423.20%, 3/15/2023 (a) . . . . . . 946,000 959,2353.41%, 6/15/2027 (a) . . . . . . 1,088,000 1,085,3783.50%, 11/15/2024. . . . . . . . 3,471,000 3,566,1753.75%, 9/15/2025 . . . . . . . . 952,000 985,0824.63%, 12/15/2020. . . . . . . . 825,000 848,529

Cigna Corp.:3.20%, 9/17/2020 (e) . . . . . . 2,042,000 2,060,7053.40%, 9/17/2021 (e) . . . . . . 1,510,000 1,539,249

CVS Health Corp.:2.13%, 6/1/2021 . . . . . . . . . 2,084,000 2,070,1002.75%, 12/1/2022 . . . . . . . . 1,776,000 1,783,5832.88%, 6/1/2026 . . . . . . . . . 1,396,000 1,370,2583.35%, 3/9/2021 . . . . . . . . . 3,688,000 3,739,4483.38%, 8/12/2024 . . . . . . . . 3,000,000 3,069,6903.50%, 7/20/2022 . . . . . . . . 1,868,000 1,919,3143.70%, 3/9/2023 . . . . . . . . . 6,200,000 6,405,4683.88%, 7/20/2025 . . . . . . . . 3,331,000 3,477,0984.00%, 12/5/2023 . . . . . . . . 884,000 925,9994.10%, 3/25/2025 . . . . . . . . 5,167,000 5,450,5654.13%, 5/15/2021 . . . . . . . . 687,000 705,6664.30%, 3/25/2028 . . . . . . . . 10,787,000 11,377,4804.75%, 12/1/2022 . . . . . . . . 5,599,000 5,954,3136.25%, 6/1/2027 . . . . . . . . . 1,180,000 1,394,052

Eli Lilly & Co.:


2.35%, 5/15/2022 . . . . . . . . $ 874,000 $ 880,5722.75%, 6/1/2025 . . . . . . . . . 1,218,000 1,242,7863.10%, 5/15/2027 . . . . . . . . 883,000 918,9203.38%, 3/15/2029 . . . . . . . . 1,624,000 1,730,8275.50%, 3/15/2027 . . . . . . . . 515,000 618,912

Express Scripts Holding Co.:2.60%, 11/30/2020. . . . . . . . 590,000 591,1923.00%, 7/15/2023 . . . . . . . . 975,000 986,9443.05%, 11/30/2022. . . . . . . . 1,424,000 1,445,8443.30%, 2/25/2021 . . . . . . . . 550,000 557,0343.40%, 3/1/2027 . . . . . . . . . 1,989,000 2,018,0593.50%, 6/15/2024 . . . . . . . . 1,129,000 1,163,8753.90%, 2/15/2022 . . . . . . . . 820,000 847,2164.50%, 2/25/2026 . . . . . . . . 1,966,000 2,119,9384.75%, 11/15/2021. . . . . . . . 1,283,000 1,347,830

GlaxoSmithKline Capital PLC:2.85%, 5/8/2022 . . . . . . . . . 2,614,000 2,658,2032.88%, 6/1/2022 . . . . . . . . . 1,077,000 1,095,9873.00%, 6/1/2024 . . . . . . . . . 1,366,000 1,407,9643.13%, 5/14/2021 . . . . . . . . 1,261,000 1,282,160

GlaxoSmithKline Capital, Inc.:2.80%, 3/18/2023 . . . . . . . . 2,304,000 2,347,4533.38%, 5/15/2023 . . . . . . . . 1,086,000 1,129,8643.63%, 5/15/2025 . . . . . . . . 1,902,000 2,022,9863.88%, 5/15/2028 . . . . . . . . 2,258,000 2,467,091

Johnson & Johnson:1.65%, 3/1/2021 . . . . . . . . . 1,348,000 1,340,3431.95%, 11/10/2020. . . . . . . . 592,000 592,0182.05%, 3/1/2023 . . . . . . . . . 900,000 900,6122.25%, 3/3/2022 . . . . . . . . . 1,486,000 1,495,8822.45%, 12/5/2021 . . . . . . . . 32,000 32,3282.45%, 3/1/2026 . . . . . . . . . 1,802,000 1,808,5772.63%, 1/15/2025 . . . . . . . . 1,177,000 1,199,0452.90%, 1/15/2028 . . . . . . . . 2,210,000 2,275,5712.95%, 9/1/2020 . . . . . . . . . 469,000 474,1592.95%, 3/3/2027 . . . . . . . . . 1,674,000 1,732,3393.38%, 12/5/2023 . . . . . . . . 726,000 767,4183.55%, 5/15/2021 . . . . . . . . 150,000 154,342

McKesson Corp.:2.70%, 12/15/2022. . . . . . . . 210,000 210,9582.85%, 3/15/2023 . . . . . . . . 585,000 588,2533.65%, 11/30/2020. . . . . . . . 5,298,000 5,382,4503.80%, 3/15/2024 . . . . . . . . 1,177,000 1,235,2973.95%, 2/16/2028 . . . . . . . . 1,098,000 1,140,9434.75%, 5/30/2029 . . . . . . . . 699,000 762,539

Mead Johnson Nutrition Co.:3.00%, 11/15/2020. . . . . . . . 797,000 804,0774.13%, 11/15/2025. . . . . . . . 1,097,000 1,186,943

Medco Health Solutions, Inc.4.13%, 9/15/2020 . . . . . . . . 181,000 184,497

Merck & Co., Inc.:2.35%, 2/10/2022 . . . . . . . . 1,437,000 1,448,9702.40%, 9/15/2022 (a) . . . . . . 1,528,000 1,543,8002.75%, 2/10/2025 . . . . . . . . 1,635,000 1,676,9702.80%, 5/18/2023 (a) . . . . . . 2,132,000 2,187,965


40


2.90%, 3/7/2024 . . . . . . . . . $ 1,358,000 $ 1,403,5883.40%, 3/7/2029 . . . . . . . . . 2,805,000 2,980,1723.88%, 1/15/2021 . . . . . . . . 2,290,000 2,342,853

Mylan NV:3.15%, 6/15/2021 . . . . . . . . 2,155,000 2,151,8753.75%, 12/15/2020. . . . . . . . 703,000 708,9753.95%, 6/15/2026 . . . . . . . . 2,391,000 2,308,797

Mylan, Inc.:4.20%, 11/29/2023. . . . . . . . 1,692,000 1,703,0834.55%, 4/15/2028 (a) . . . . . . 1,813,000 1,779,931

Novartis Capital Corp.:2.40%, 5/17/2022 . . . . . . . . 1,271,000 1,281,6762.40%, 9/21/2022 . . . . . . . . 1,065,000 1,074,8833.00%, 11/20/2025. . . . . . . . 2,063,000 2,130,9763.10%, 5/17/2027 . . . . . . . . 870,000 902,6343.40%, 5/6/2024 . . . . . . . . . 3,025,000 3,184,236

Perrigo Finance Unlimited Co.:3.50%, 12/15/2021. . . . . . . . 363,000 360,2343.90%, 12/15/2024. . . . . . . . 964,000 959,5954.38%, 3/15/2026 . . . . . . . . 862,000 861,879

Pfizer, Inc.:1.95%, 6/3/2021 . . . . . . . . . 1,437,000 1,433,4072.20%, 12/15/2021. . . . . . . . 1,544,000 1,548,6472.75%, 6/3/2026 . . . . . . . . . 1,844,000 1,872,6742.80%, 3/11/2022 . . . . . . . . 1,220,000 1,244,0832.95%, 3/15/2024 . . . . . . . . 1,173,000 1,211,9673.00%, 9/15/2021 . . . . . . . . 957,000 976,3893.00%, 6/15/2023 . . . . . . . . 1,581,000 1,629,2523.00%, 12/15/2026. . . . . . . . 2,062,000 2,126,8293.20%, 9/15/2023 . . . . . . . . 1,514,000 1,573,5913.40%, 5/15/2024 . . . . . . . . 1,034,000 1,089,7533.45%, 3/15/2029 . . . . . . . . 1,422,000 1,504,3763.60%, 9/15/2028 . . . . . . . . 1,227,000 1,325,0865.80%, 8/12/2023 . . . . . . . . 639,000 729,291

Sanofi:3.38%, 6/19/2023 . . . . . . . . 175,000 182,3383.63%, 6/19/2028 (a) . . . . . . 984,000 1,058,9814.00%, 3/29/2021 . . . . . . . . 2,212,000 2,279,223

Shire Acquisitions InvestmentsIreland DAC:2.40%, 9/23/2021 . . . . . . . . 4,350,000 4,343,3442.88%, 9/23/2023 . . . . . . . . 2,307,000 2,329,7243.20%, 9/23/2026 . . . . . . . . 3,682,000 3,712,008

Takeda Pharmaceutical Co., Ltd.:3.80%, 11/26/2020 (e) . . . . . 1,472,000 1,499,3204.00%, 11/26/2021 (e) . . . . . 863,000 891,6524.40%, 11/26/2023 (e) . . . . . 1,620,000 1,732,1045.00%, 11/26/2028 (e) . . . . . 2,489,000 2,823,198

Teva Pharmaceutical FinanceIV LLC2.25%, 3/18/2020 . . . . . . . . 415,000 410,750

Teva Pharmaceutical FinanceNetherlands III B.V.1.70%, 7/19/2019 . . . . . . . . 1,006,000 1,003,847

Wyeth LLC6.45%, 2/1/2024 . . . . . . . . . 1,184,000 1,396,090


Zoetis, Inc.:3.00%, 9/12/2027 . . . . . . . . $ 731,000 $ 734,9403.25%, 8/20/2021 . . . . . . . . 357,000 363,1623.25%, 2/1/2023 . . . . . . . . . 2,210,000 2,266,6643.45%, 11/13/2020. . . . . . . . 268,000 271,5863.90%, 8/20/2028 . . . . . . . . 620,000 665,9674.50%, 11/13/2025. . . . . . . . 870,000 954,860

256,924,530


Logistics Finance Corp.:3.50%, 12/1/2022 . . . . . . . . 925,000 947,7004.25%, 12/1/2027 . . . . . . . . 401,000 423,5885.25%, 1/15/2025 . . . . . . . . 111,000 117,1806.38%, 5/1/2024 . . . . . . . . . 1,327,000 1,391,625

Boardwalk Pipelines L.P.:3.38%, 2/1/2023 . . . . . . . . . 456,000 461,4724.45%, 7/15/2027 . . . . . . . . 562,000 574,5164.80%, 5/3/2029 . . . . . . . . . 625,000 652,5064.95%, 12/15/2024. . . . . . . . 1,795,000 1,914,6015.95%, 6/1/2026 . . . . . . . . . 801,000 886,851

Buckeye Partners L.P.:3.95%, 12/1/2026 . . . . . . . . 677,000 599,4164.13%, 12/1/2027 (a) . . . . . . 486,000 427,8504.15%, 7/1/2023 . . . . . . . . . 205,000 198,5944.35%, 10/15/2024. . . . . . . . 1,281,000 1,222,0744.88%, 2/1/2021 . . . . . . . . . 466,000 473,293

Columbia Pipeline Group, Inc.4.50%, 6/1/2025 . . . . . . . . . 1,018,000 1,094,482

Enable Midstream Partners L.P.:3.90%, 5/15/2024 . . . . . . . . 2,381,000 2,415,7394.40%, 3/15/2027 . . . . . . . . 928,000 932,9464.95%, 5/15/2028 . . . . . . . . 1,187,000 1,242,908

Enbridge Energy Partners L.P.:4.20%, 9/15/2021 . . . . . . . . 589,000 607,7304.38%, 10/15/2020. . . . . . . . 893,000 912,8165.88%, 10/15/2025. . . . . . . . 618,000 716,497

Enbridge, Inc.:2.90%, 7/15/2022 . . . . . . . . 1,145,009 1,160,7193.50%, 6/10/2024 . . . . . . . . 1,037,000 1,071,1283.70%, 7/15/2027 (a) . . . . . . 1,125,000 1,167,2784.00%, 10/1/2023 (a) . . . . . . 1,129,000 1,187,3924.25%, 12/1/2026 . . . . . . . . 1,243,000 1,348,493

Energy Transfer Operating L.P.:3.60%, 2/1/2023 . . . . . . . . . 1,321,000 1,349,4284.05%, 3/15/2025 . . . . . . . . 1,010,000 1,050,9964.15%, 10/1/2020 . . . . . . . . 1,699,000 1,728,1044.20%, 4/15/2027 . . . . . . . . 1,019,000 1,061,2174.25%, 3/15/2023 . . . . . . . . 1,552,000 1,619,7144.50%, 4/15/2024 . . . . . . . . 1,436,000 1,527,7174.75%, 1/15/2026 . . . . . . . . 1,644,000 1,762,3025.20%, 2/1/2022 . . . . . . . . . 876,000 925,0745.25%, 4/15/2029 . . . . . . . . 2,450,000 2,736,9687.50%, 10/15/2020. . . . . . . . 5,162,000 5,475,024

Energy Transfer Partners L.P.:


41


4.65%, 6/1/2021 . . . . . . . . . $ 1,554,000 $ 1,611,9334.90%, 2/1/2024 . . . . . . . . . 1,103,000 1,183,0784.95%, 6/15/2028 . . . . . . . . 1,365,000 1,492,955Series 5Y, 4.20%, 9/15/2023. . 1,282,000 1,343,895

Energy Transfer PartnersL.P./Regency Energy FinanceCorp.:4.50%, 11/1/2023 . . . . . . . . 1,121,000 1,185,5475.00%, 10/1/2022 . . . . . . . . 1,075,000 1,141,9405.75%, 9/1/2020 . . . . . . . . . 2,810,000 2,889,3545.88%, 3/1/2022 . . . . . . . . . 1,254,000 1,345,203

Enterprise ProductsOperating LLC:2.80%, 2/15/2021 . . . . . . . . 1,880,000 1,890,9422.85%, 4/15/2021 . . . . . . . . 1,423,000 1,433,8293.13%, 7/31/2029 (b) . . . . . . 1,998,000 2,011,3673.35%, 3/15/2023 (a) . . . . . . 1,661,000 1,708,7213.50%, 2/1/2022 . . . . . . . . . 1,229,000 1,262,0603.70%, 2/15/2026 . . . . . . . . 916,000 968,3403.75%, 2/15/2025 . . . . . . . . 886,000 937,1223.90%, 2/15/2024 . . . . . . . . 918,000 972,9793.95%, 2/15/2027 (a) . . . . . . 162,000 173,3244.05%, 2/15/2022 . . . . . . . . 750,000 780,9754.15%, 10/16/2028. . . . . . . . 1,249,000 1,358,3125.20%, 9/1/2020 . . . . . . . . . 1,459,000 1,505,5423 Month USD LIBOR +

2.57%, 5.38%, 2/15/2078(c) . . . . . . . . . . . . . . . . 694,000 644,643

Series D, 3 Month USDLIBOR + 2.99%, 4.88%,8/16/2077 (c) . . . . . . . . . 871,000 818,331

Series E, 3 Month USDLIBOR + 3.03%, 5.25%,8/16/2077 (c) . . . . . . . . . 663,000 632,900

EQM Midstream Partners L.P.4.13%, 12/1/2026 . . . . . . . . 664,000 643,555

EQT Midstream Partners L.P.:4.00%, 8/1/2024 . . . . . . . . . 1,242,000 1,236,982Series 10Y, 5.50%, 7/15/2028 . 989,000 1,041,466Series 5Y, 4.75%, 7/15/2023. . 1,657,000 1,722,302

Kinder Morgan Energy PartnersL.P.:3.45%, 2/15/2023 . . . . . . . . 1,142,000 1,170,4023.50%, 3/1/2021 . . . . . . . . . 2,935,000 2,976,8533.50%, 9/1/2023 . . . . . . . . . 669,000 687,5853.95%, 9/1/2022 . . . . . . . . . 1,449,000 1,508,9454.15%, 3/1/2022 . . . . . . . . . 393,000 408,9134.15%, 2/1/2024 . . . . . . . . . 665,000 700,8634.25%, 9/1/2024 . . . . . . . . . 762,000 809,5114.30%, 5/1/2024 . . . . . . . . . 677,000 718,9475.00%, 10/1/2021 . . . . . . . . 922,000 966,0165.30%, 9/15/2020 . . . . . . . . 633,000 653,9335.80%, 3/1/2021 . . . . . . . . . 949,000 998,813

Kinder Morgan, Inc.:3.15%, 1/15/2023 . . . . . . . . 1,462,000 1,486,9864.30%, 6/1/2025 . . . . . . . . . 2,099,000 2,241,438


4.30%, 3/1/2028 . . . . . . . . . $ 1,074,000 $ 1,149,2876.50%, 9/15/2020 . . . . . . . . 1,092,000 1,142,822

Magellan Midstream PartnersL.P.:4.25%, 2/1/2021 . . . . . . . . . 446,000 458,1225.00%, 3/1/2026 . . . . . . . . . 771,000 856,566

MPLX L.P.:3.38%, 3/15/2023 (a) . . . . . . 743,000 760,0824.00%, 2/15/2025 . . . . . . . . 659,000 688,0034.00%, 3/15/2028 . . . . . . . . 1,213,000 1,257,6874.13%, 3/1/2027 . . . . . . . . . 1,815,000 1,898,3274.50%, 7/15/2023 . . . . . . . . 1,024,000 1,085,8604.80%, 2/15/2029 . . . . . . . . 959,000 1,055,2554.88%, 12/1/2024 . . . . . . . . 1,288,000 1,400,7004.88%, 6/1/2025 . . . . . . . . . 1,533,000 1,667,597

ONEOK Partners L.P.:3.38%, 10/1/2022 . . . . . . . . 705,000 717,9864.90%, 3/15/2025 . . . . . . . . 540,000 588,8055.00%, 9/15/2023 . . . . . . . . 610,000 658,452

ONEOK, Inc.:4.00%, 7/13/2027 . . . . . . . . 661,000 688,5044.25%, 2/1/2022 . . . . . . . . . 691,000 714,8604.35%, 3/15/2029 (a) . . . . . . 1,208,000 1,291,1714.55%, 7/15/2028 . . . . . . . . 1,512,000 1,640,9287.50%, 9/1/2023 . . . . . . . . . 477,000 557,642

Phillips 66 Partners L.P.:3.55%, 10/1/2026 . . . . . . . . 939,000 955,4043.61%, 2/15/2025 . . . . . . . . 478,000 490,6813.75%, 3/1/2028 . . . . . . . . . 1,711,000 1,746,914

Plains All American PipelineL.P./PAA Finance Corp.:2.85%, 1/31/2023 . . . . . . . . 956,000 953,1423.60%, 11/1/2024 . . . . . . . . 1,309,000 1,334,2113.65%, 6/1/2022 . . . . . . . . . 859,000 879,3503.85%, 10/15/2023. . . . . . . . 771,000 795,8724.50%, 12/15/2026. . . . . . . . 983,000 1,044,4184.65%, 10/15/2025. . . . . . . . 1,224,000 1,304,2215.00%, 2/1/2021 . . . . . . . . . 1,262,000 1,298,914

Sabine Pass Liquefaction LLC:4.20%, 3/15/2028 . . . . . . . . 1,809,000 1,899,3235.00%, 3/15/2027 . . . . . . . . 2,093,000 2,295,7915.63%, 2/1/2021 . . . . . . . . . 2,735,000 2,840,7355.63%, 4/15/2023 . . . . . . . . 2,116,000 2,302,7165.63%, 3/1/2025 . . . . . . . . . 2,272,000 2,543,1405.75%, 5/15/2024 . . . . . . . . 1,718,000 1,910,7085.88%, 6/30/2026 . . . . . . . . 1,946,000 2,223,7916.25%, 3/15/2022 . . . . . . . . 1,341,000 1,455,065

Southern Natural Gas Co.LLC/Southern Natural IssuingCorp.4.40%, 6/15/2021 . . . . . . . . 356,000 367,100

Spectra Energy Partners L.P.:3.38%, 10/15/2026. . . . . . . . 983,000 1,001,6973.50%, 3/15/2025 . . . . . . . . 389,000 400,1804.75%, 3/15/2024 . . . . . . . . 826,000 895,491


42


Sunoco Logistics PartnersOperations L.P.:3.45%, 1/15/2023 . . . . . . . . $ 547,000 $ 555,7853.90%, 7/15/2026 . . . . . . . . 677,000 692,5914.25%, 4/1/2024 . . . . . . . . . 685,000 718,1274.40%, 4/1/2021 . . . . . . . . . 648,000 666,9354.65%, 2/15/2022 . . . . . . . . 477,000 499,7775.95%, 12/1/2025 . . . . . . . . 1,392,000 1,585,001

TC PipeLines L.P.:3.90%, 5/25/2027 . . . . . . . . 555,000 565,9894.38%, 3/13/2025 . . . . . . . . 807,000 849,7714.65%, 6/15/2021 . . . . . . . . 500,000 516,200

Tennessee Gas Pipeline Co. LLC7.00%, 10/15/2028. . . . . . . . 589,000 735,343

TransCanada PipeLines, Ltd.:2.50%, 8/1/2022 . . . . . . . . . 1,912,000 1,910,3753.75%, 10/16/2023. . . . . . . . 2,508,000 2,615,0673.80%, 10/1/2020 . . . . . . . . 4,294,000 4,365,9674.25%, 5/15/2028 . . . . . . . . 1,191,000 1,287,4354.88%, 1/15/2026 . . . . . . . . 1,287,000 1,433,0749.88%, 1/1/2021 . . . . . . . . . 820,000 906,830

Transcontinental Gas Pipe LineCo. LLC:4.00%, 3/15/2028 . . . . . . . . 1,290,000 1,354,1657.85%, 2/1/2026 . . . . . . . . . 1,546,000 1,975,154

Valero Energy Partners L.P.:4.38%, 12/15/2026. . . . . . . . 1,025,000 1,095,6944.50%, 3/15/2028 . . . . . . . . 1,004,000 1,080,194

Western Gas Partners L.P.:4.75%, 8/15/2028 . . . . . . . . 509,000 517,3125.38%, 6/1/2021 . . . . . . . . . 606,000 629,961

Western Midstream OperatingL.P.:3.95%, 6/1/2025 . . . . . . . . . 1,367,000 1,361,9834.00%, 7/1/2022 . . . . . . . . . 1,925,000 1,953,2594.50%, 3/1/2028 . . . . . . . . . 1,002,000 998,8244.65%, 7/1/2026 . . . . . . . . . 633,000 641,748

Williams Cos., Inc.:3.35%, 8/15/2022 . . . . . . . . 1,436,000 1,463,6573.60%, 3/15/2022 . . . . . . . . 1,936,000 1,986,5103.70%, 1/15/2023 . . . . . . . . 960,000 991,2673.75%, 6/15/2027 . . . . . . . . 1,227,000 1,268,0683.90%, 1/15/2025 . . . . . . . . 468,000 490,0714.00%, 11/15/2021. . . . . . . . 843,000 869,8414.00%, 9/15/2025 . . . . . . . . 1,289,000 1,363,0664.13%, 11/15/2020. . . . . . . . 1,037,000 1,055,2104.30%, 3/4/2024 . . . . . . . . . 872,000 925,7154.50%, 11/15/2023. . . . . . . . 823,000 878,6594.55%, 6/24/2024 . . . . . . . . 854,000 919,4857.88%, 9/1/2021 . . . . . . . . . 392,000 434,779

188,029,149

REAL ESTATE — 0.0% (f)CBRE Services, Inc.:

4.88%, 3/1/2026 . . . . . . . . . 561,000 609,852


5.25%, 3/15/2025 . . . . . . . . $ 601,000 $ 662,230

1,272,082


Alexandria Real Estate Equities,Inc.:3.45%, 4/30/2025 . . . . . . . . 525,000 540,2723.80%, 4/15/2026 . . . . . . . . 979,000 1,027,3143.90%, 6/15/2023 . . . . . . . . 577,000 605,9713.95%, 1/15/2027 . . . . . . . . 238,000 249,4263.95%, 1/15/2028 . . . . . . . . 354,000 371,7424.00%, 1/15/2024 . . . . . . . . 1,262,000 1,336,3194.30%, 1/15/2026 . . . . . . . . 559,000 599,3994.60%, 4/1/2022 . . . . . . . . . 523,000 551,786

American Campus CommunitiesOperating Partnership L.P.:3.30%, 7/15/2026 . . . . . . . . 1,018,000 1,030,2973.35%, 10/1/2020 . . . . . . . . 815,000 823,4763.63%, 11/15/2027. . . . . . . . 383,000 390,4033.75%, 4/15/2023 . . . . . . . . 707,000 731,3704.13%, 7/1/2024 . . . . . . . . . 456,000 481,586

American Homes 4 Rent L.P.:4.25%, 2/15/2028 . . . . . . . . 375,000 388,5494.90%, 2/15/2029 . . . . . . . . 100,000 108,812

American Tower Corp.:2.25%, 1/15/2022 . . . . . . . . 570,000 567,3042.95%, 1/15/2025 . . . . . . . . 1,492,000 1,507,0393.00%, 6/15/2023 . . . . . . . . 895,000 907,6113.13%, 1/15/2027 . . . . . . . . 726,000 721,6003.30%, 2/15/2021 . . . . . . . . 1,251,000 1,267,2883.38%, 5/15/2024 . . . . . . . . 1,209,000 1,244,1583.38%, 10/15/2026. . . . . . . . 1,221,000 1,242,3063.45%, 9/15/2021 . . . . . . . . 586,000 598,3293.50%, 1/31/2023 . . . . . . . . 1,198,000 1,235,5093.55%, 7/15/2027 . . . . . . . . 946,000 964,6743.60%, 1/15/2028 . . . . . . . . 500,000 510,7703.80%, 8/15/2029 . . . . . . . . 625,000 647,4443.95%, 3/15/2029 . . . . . . . . 849,000 887,1804.00%, 6/1/2025 . . . . . . . . . 1,074,000 1,137,3124.40%, 2/15/2026 . . . . . . . . 488,000 525,7714.70%, 3/15/2022 . . . . . . . . 578,000 609,8655.00%, 2/15/2024 . . . . . . . . 1,330,000 1,463,7185.90%, 11/1/2021 . . . . . . . . 556,000 598,045

AvalonBay Communities, Inc.:3.30%, 6/1/2029 . . . . . . . . . 726,000 755,084Series GMTN, 2.95%,

9/15/2022. . . . . . . . . . . . 208,000 211,971Series GMTN, 2.95%,

5/11/2026. . . . . . . . . . . . 805,000 815,586Series GMTN, 3.45%,

6/1/2025 . . . . . . . . . . . . 364,000 381,629Series GMTN, 3.50%,

11/15/2024 . . . . . . . . . . . 383,000 401,959


43


Series GMTN, 3.50%,11/15/2025 . . . . . . . . . . . $ 200,000 $ 210,230

Series GMTN, 3.63%,10/1/2020. . . . . . . . . . . . 1,052,000 1,066,328

Series GMTN, 4.20%,12/15/2023 . . . . . . . . . . . 130,000 139,237

Series MTN, 2.90%,10/15/2026 . . . . . . . . . . . 254,000 256,670

Series MTN, 3.20%,1/15/2028. . . . . . . . . . . . 351,000 362,653

Series MTN, 3.35%,5/15/2027. . . . . . . . . . . . 900,000 936,081

Boston Properties L.P.:2.75%, 10/1/2026 . . . . . . . . 991,000 975,8383.13%, 9/1/2023 . . . . . . . . . 973,000 996,0503.20%, 1/15/2025 . . . . . . . . 714,000 729,1443.40%, 6/21/2029 . . . . . . . . 1,693,000 1,738,8633.65%, 2/1/2026 . . . . . . . . . 1,006,000 1,044,8113.80%, 2/1/2024 . . . . . . . . . 1,100,000 1,151,8543.85%, 2/1/2023 . . . . . . . . . 1,065,000 1,111,0514.13%, 5/15/2021 . . . . . . . . 1,003,000 1,033,4614.50%, 12/1/2028 . . . . . . . . 1,089,000 1,206,2855.63%, 11/15/2020. . . . . . . . 1,131,000 1,172,926

Brandywine OperatingPartnership L.P.:3.95%, 2/15/2023 . . . . . . . . 275,000 285,1753.95%, 11/15/2027. . . . . . . . 100,000 101,846

Brixmor Operating PartnershipL.P.:3.25%, 9/15/2023 . . . . . . . . 704,000 712,9623.65%, 6/15/2024 . . . . . . . . 547,000 559,8383.85%, 2/1/2025 . . . . . . . . . 947,000 975,4763.88%, 8/15/2022 . . . . . . . . 1,080,000 1,112,3573.90%, 3/15/2027 (a) . . . . . . 630,000 640,0044.13%, 6/15/2026 . . . . . . . . 1,005,000 1,044,0444.13%, 5/15/2029 . . . . . . . . 725,000 758,067

Camden Property Trust:2.95%, 12/15/2022. . . . . . . . 350,000 356,4093.15%, 7/1/2029 . . . . . . . . . 1,037,000 1,056,1954.10%, 10/15/2028. . . . . . . . 390,000 425,268

CC Holdings GS V LLC/CrownCastle GS III Corp.3.85%, 4/15/2023 . . . . . . . . 892,000 931,632

Columbia Property TrustOperating Partnership L.P.:3.65%, 8/15/2026 . . . . . . . . 300,000 295,1584.15%, 4/1/2025 . . . . . . . . . 50,000 51,381

Corporate Office Properties L.P.:3.60%, 5/15/2023 . . . . . . . . 743,000 753,5133.70%, 6/15/2021 . . . . . . . . 150,000 151,5625.00%, 7/1/2025 . . . . . . . . . 514,000 549,512

Crown Castle InternationalCorp.:2.25%, 9/1/2021 . . . . . . . . . 842,000 838,4553.15%, 7/15/2023 . . . . . . . . 1,073,000 1,093,4303.20%, 9/1/2024 . . . . . . . . . 709,000 722,889


3.40%, 2/15/2021 . . . . . . . . $ 1,495,000 $ 1,515,2123.65%, 9/1/2027 . . . . . . . . . 679,000 699,9613.70%, 6/15/2026 . . . . . . . . 2,291,000 2,381,6323.80%, 2/15/2028 . . . . . . . . 1,516,000 1,573,8964.00%, 3/1/2027 . . . . . . . . . 711,000 747,2404.30%, 2/15/2029 . . . . . . . . 986,000 1,065,3834.45%, 2/15/2026 . . . . . . . . 659,000 713,2824.88%, 4/15/2022 . . . . . . . . 1,412,000 1,499,2195.25%, 1/15/2023 . . . . . . . . 2,190,000 2,379,216

CubeSmart L.P.:3.13%, 9/1/2026 . . . . . . . . . 220,000 217,0984.00%, 11/15/2025. . . . . . . . 1,029,000 1,080,0494.38%, 12/15/2023. . . . . . . . 319,000 337,9774.38%, 2/15/2029 . . . . . . . . 600,000 638,958

Digital Realty Trust L.P.:2.75%, 2/1/2023 . . . . . . . . . 762,000 761,8783.60%, 7/1/2029 . . . . . . . . . 640,000 649,6963.63%, 10/1/2022 . . . . . . . . 514,000 528,1973.70%, 8/15/2027 . . . . . . . . 763,000 785,9053.95%, 7/1/2022 . . . . . . . . . 623,000 649,2034.45%, 7/15/2028 . . . . . . . . 1,072,000 1,162,2524.75%, 10/1/2025 . . . . . . . . 607,000 664,653

Duke Realty L.P.:3.25%, 6/30/2026 . . . . . . . . 350,000 355,9433.38%, 12/15/2027. . . . . . . . 545,000 556,4503.75%, 12/1/2024 . . . . . . . . 1,051,000 1,101,7533.88%, 10/15/2022. . . . . . . . 285,000 296,5624.00%, 9/15/2028 . . . . . . . . 500,000 533,6554.38%, 6/15/2022 . . . . . . . . 289,000 303,907

EPR Properties:4.50%, 4/1/2025 . . . . . . . . . 210,000 219,2484.50%, 6/1/2027 . . . . . . . . . 670,000 696,3384.75%, 12/15/2026. . . . . . . . 669,000 706,7924.95%, 4/15/2028 . . . . . . . . 571,000 614,1055.75%, 8/15/2022 . . . . . . . . 558,000 598,650

ERP Operating L.P.:2.85%, 11/1/2026 . . . . . . . . 403,000 407,0663.00%, 4/15/2023 . . . . . . . . 430,000 440,3803.00%, 7/1/2029 . . . . . . . . . 1,568,000 1,591,6143.25%, 8/1/2027 . . . . . . . . . 553,000 572,6813.38%, 6/1/2025 . . . . . . . . . 304,000 317,9293.50%, 3/1/2028 . . . . . . . . . 525,000 552,7734.15%, 12/1/2028 . . . . . . . . 679,000 751,5314.63%, 12/15/2021. . . . . . . . 761,000 800,1764.75%, 7/15/2020 . . . . . . . . 657,000 668,964

Essex Portfolio L.P.:3.25%, 5/1/2023 . . . . . . . . . 774,000 788,0253.38%, 4/15/2026 . . . . . . . . 600,000 611,8203.50%, 4/1/2025 . . . . . . . . . 226,000 232,7213.63%, 8/15/2022 . . . . . . . . 733,000 753,9123.63%, 5/1/2027 . . . . . . . . . 45,000 46,7243.88%, 5/1/2024 . . . . . . . . . 577,000 605,6024.00%, 3/1/2029 . . . . . . . . . 1,049,000 1,116,608

Federal Realty Investment Trust:3.20%, 6/15/2029 . . . . . . . . 2,482,000 2,518,585


44


3.25%, 7/15/2027 . . . . . . . . $ 197,000 $ 201,005GLP Capital L.P./GLP Financing

II, Inc.:4.38%, 4/15/2021 . . . . . . . . 393,000 399,3904.88%, 11/1/2020 . . . . . . . . 950,000 968,487

HCP, Inc.:3.15%, 8/1/2022 . . . . . . . . . 642,000 652,8823.25%, 7/15/2026 (b) . . . . . . 745,000 751,9213.40%, 2/1/2025 . . . . . . . . . 930,000 950,8783.50%, 7/15/2029 (b) . . . . . . 935,000 941,8263.88%, 8/15/2024 . . . . . . . . 648,000 679,4154.00%, 12/1/2022 . . . . . . . . 573,000 599,9714.00%, 6/1/2025 . . . . . . . . . 25,000 26,3854.20%, 3/1/2024 . . . . . . . . . 699,000 739,4094.25%, 11/15/2023. . . . . . . . 669,000 710,057

Healthcare Realty Trust, Inc.3.63%, 1/15/2028 . . . . . . . . 302,000 305,240

Healthcare Trust of AmericaHoldings L.P.:2.95%, 7/1/2022 . . . . . . . . . 392,000 394,5173.38%, 7/15/2021 . . . . . . . . 100,000 101,1583.50%, 8/1/2026 . . . . . . . . . 610,000 617,9363.70%, 4/15/2023 . . . . . . . . 500,000 510,1553.75%, 7/1/2027 . . . . . . . . . 523,000 539,056

Highwoods Realty L.P.:3.20%, 6/15/2021 . . . . . . . . 290,000 292,1613.88%, 3/1/2027 . . . . . . . . . 255,000 262,9714.13%, 3/15/2028 . . . . . . . . 535,000 557,7644.20%, 4/15/2029 . . . . . . . . 400,000 417,868

Hospitality Properties Trust:3.95%, 1/15/2028 . . . . . . . . 551,000 517,4834.25%, 2/15/2021 . . . . . . . . 168,000 169,7624.38%, 2/15/2030 . . . . . . . . 694,000 663,1384.50%, 6/15/2023 . . . . . . . . 986,000 1,019,9784.50%, 3/15/2025 . . . . . . . . 2,366,000 2,363,1134.65%, 3/15/2024 . . . . . . . . 498,000 512,4974.95%, 2/15/2027 . . . . . . . . 402,000 404,7505.00%, 8/15/2022 . . . . . . . . 531,000 556,7805.25%, 2/15/2026 . . . . . . . . 375,000 383,963

Host Hotels & Resorts L.P.:3.88%, 4/1/2024 . . . . . . . . . 481,000 496,1565.25%, 3/15/2022 . . . . . . . . 929,000 981,1826.00%, 10/1/2021 . . . . . . . . 167,000 177,013Series C, 4.75%, 3/1/2023 . . . 440,000 466,990Series D, 3.75%, 10/15/2023 . 410,000 419,996Series E, 4.00%, 6/15/2025 . . 781,000 808,718Series F, 4.50%, 2/1/2026 . . . 139,000 146,851

Hudson Pacific Properties L.P.:3.95%, 11/1/2027 . . . . . . . . 535,000 543,8114.65%, 4/1/2029 . . . . . . . . . 200,000 214,520

Kilroy Realty L.P.:3.45%, 12/15/2024. . . . . . . . 846,000 869,3163.80%, 1/15/2023 . . . . . . . . 100,000 103,6154.38%, 10/1/2025 . . . . . . . . 145,000 154,8724.75%, 12/15/2028. . . . . . . . 395,000 438,174


Kimco Realty Corp.:2.70%, 3/1/2024 . . . . . . . . . $ 431,000 $ 429,9442.80%, 10/1/2026 (a) . . . . . . 712,000 695,0623.13%, 6/1/2023 . . . . . . . . . 225,000 228,8883.20%, 5/1/2021 . . . . . . . . . 177,000 179,1243.30%, 2/1/2025 . . . . . . . . . 801,000 816,1953.40%, 11/1/2022 . . . . . . . . 110,000 112,9873.80%, 4/1/2027 . . . . . . . . . 447,000 464,983

Kite Realty Group L.P.4.00%, 10/1/2026 . . . . . . . . 890,000 861,787

Liberty Property L.P.:3.25%, 10/1/2026 . . . . . . . . 300,000 300,7533.38%, 6/15/2023 . . . . . . . . 385,000 395,3683.75%, 4/1/2025 . . . . . . . . . 515,000 534,0554.13%, 6/15/2022 . . . . . . . . 125,000 130,3784.38%, 2/1/2029 . . . . . . . . . 979,000 1,057,9174.40%, 2/15/2024 . . . . . . . . 200,000 213,7464.75%, 10/1/2020 . . . . . . . . 930,000 951,343

Life Storage L.P.:3.50%, 7/1/2026 . . . . . . . . . 245,000 244,1253.88%, 12/15/2027. . . . . . . . 510,000 520,1444.00%, 6/15/2029 . . . . . . . . 863,000 885,136

Mid-America Apartments L.P.:3.60%, 6/1/2027 . . . . . . . . . 744,000 767,2283.75%, 6/15/2024 . . . . . . . . 657,000 683,2343.95%, 3/15/2029 . . . . . . . . 949,000 1,005,1814.00%, 11/15/2025. . . . . . . . 600,000 635,1124.20%, 6/15/2028 . . . . . . . . 224,000 240,7264.30%, 10/15/2023. . . . . . . . 554,000 588,464

National Retail Properties, Inc.:3.30%, 4/15/2023 (a) . . . . . . 375,000 383,7263.50%, 10/15/2027. . . . . . . . 500,000 508,9303.60%, 12/15/2026. . . . . . . . 85,000 87,2723.80%, 10/15/2022. . . . . . . . 556,000 576,1333.90%, 6/15/2024 . . . . . . . . 407,000 425,1974.00%, 11/15/2025. . . . . . . . 608,000 642,7294.30%, 10/15/2028. . . . . . . . 605,000 653,188

Office Properties Income Trust:4.00%, 7/15/2022 . . . . . . . . 377,000 380,5324.15%, 2/1/2022 . . . . . . . . . 103,000 104,3964.25%, 5/15/2024 . . . . . . . . 1,809,000 1,811,4424.50%, 2/1/2025 . . . . . . . . . 492,000 492,713

Omega Healthcare Investors,Inc.:4.38%, 8/1/2023 . . . . . . . . . 539,000 561,9784.50%, 1/15/2025 . . . . . . . . 1,359,000 1,415,8474.50%, 4/1/2027 . . . . . . . . . 638,000 666,5764.75%, 1/15/2028 . . . . . . . . 5,000 5,2994.95%, 4/1/2024 . . . . . . . . . 470,000 497,5195.25%, 1/15/2026 (a) . . . . . . 266,000 288,756

Physicians Realty L.P.:3.95%, 1/15/2028 . . . . . . . . 500,000 501,3354.30%, 3/15/2027 . . . . . . . . 527,000 543,822

Piedmont Operating PartnershipL.P.:


45


3.40%, 6/1/2023 . . . . . . . . . $ 501,000 $ 501,4314.45%, 3/15/2024 . . . . . . . . 582,000 604,407

Prologis L.P.:3.75%, 11/1/2025 . . . . . . . . 580,000 619,7883.88%, 9/15/2028 . . . . . . . . 265,000 287,7374.25%, 8/15/2023 . . . . . . . . 726,000 776,936

Public Storage:2.37%, 9/15/2022 . . . . . . . . 484,000 486,4733.09%, 9/15/2027 . . . . . . . . 484,000 494,1933.39%, 5/1/2029 . . . . . . . . . 1,078,000 1,125,680

Rayonier, Inc.3.75%, 4/1/2022 . . . . . . . . . 243,000 248,324

Realty Income Corp.:3.00%, 1/15/2027 . . . . . . . . 844,000 847,9253.25%, 10/15/2022. . . . . . . . 1,202,000 1,234,7673.25%, 6/15/2029 . . . . . . . . 1,093,000 1,114,6853.65%, 1/15/2028 . . . . . . . . 1,103,000 1,156,6613.88%, 7/15/2024 . . . . . . . . 358,000 379,8063.88%, 4/15/2025 . . . . . . . . 1,072,000 1,141,5304.13%, 10/15/2026. . . . . . . . 838,000 905,2084.65%, 8/1/2023 . . . . . . . . . 746,000 806,433

Regency Centers Corp.3.75%, 11/15/2022. . . . . . . . 67,000 69,474

Regency Centers L.P.:3.60%, 2/1/2027 . . . . . . . . . 573,000 591,6914.13%, 3/15/2028 . . . . . . . . 600,000 639,984

Sabra Health Care L.P.5.13%, 8/15/2026 . . . . . . . . 620,000 644,670

Sabra Health Care L.P./SabraCapital Corp.4.80%, 6/1/2024 . . . . . . . . . 736,000 755,416

Simon Property Group L.P.:2.35%, 1/30/2022 . . . . . . . . 378,000 378,5862.50%, 9/1/2020 . . . . . . . . . 484,000 485,2392.50%, 7/15/2021 . . . . . . . . 235,000 236,0502.63%, 6/15/2022 . . . . . . . . 526,000 530,5602.75%, 2/1/2023 . . . . . . . . . 929,000 940,3802.75%, 6/1/2023 . . . . . . . . . 608,000 616,2323.25%, 11/30/2026. . . . . . . . 870,000 897,1273.30%, 1/15/2026 . . . . . . . . 917,000 944,8223.38%, 3/15/2022 . . . . . . . . 539,000 552,9923.38%, 10/1/2024 . . . . . . . . 864,000 900,1763.38%, 6/15/2027 . . . . . . . . 3,051,000 3,170,3863.38%, 12/1/2027 (a) . . . . . . 1,549,000 1,611,2393.50%, 9/1/2025 . . . . . . . . . 864,000 905,7403.75%, 2/1/2024 . . . . . . . . . 546,000 574,2284.13%, 12/1/2021 . . . . . . . . 870,000 904,7134.38%, 3/1/2021 . . . . . . . . . 797,000 821,835

SITE Centers Corp.:3.63%, 2/1/2025 . . . . . . . . . 506,000 513,5444.25%, 2/1/2026 (a) . . . . . . . 557,000 579,8434.70%, 6/1/2027 . . . . . . . . . 1,515,000 1,623,201

SL Green Operating PartnershipL.P.3.25%, 10/15/2022. . . . . . . . 727,000 736,720


SL Green Realty Corp.4.50%, 12/1/2022 . . . . . . . . $ 302,000 $ 316,152

Spirit Realty L.P.:4.00%, 7/15/2029 . . . . . . . . 475,000 480,6574.45%, 9/15/2026 . . . . . . . . 225,000 235,157

STORE Capital Corp.:4.50%, 3/15/2028 . . . . . . . . 395,000 413,1114.63%, 3/15/2029 . . . . . . . . 699,000 745,001

Tanger Properties L.P.:3.13%, 9/1/2026 (a) . . . . . . . 390,000 371,7643.88%, 7/15/2027 (a) . . . . . . 303,000 301,155

UDR, Inc.:Series 0001, 4.63%,

1/10/2022. . . . . . . . . . . . 350,000 365,960Series GMTN, 3.50%,


1/15/2030 (b) . . . . . . . . . 1,000,000 997,970Series MTN, 3.50%, 7/1/2027. 625,000 637,706Series MTN, 3.75%, 7/1/2024. 25,000 26,042Series MTN, 4.00%,

10/1/2025. . . . . . . . . . . . 150,000 158,693Ventas Realty L.P.:

2.65%, 1/15/2025 (b) . . . . . . 1,823,000 1,816,8023.10%, 1/15/2023 . . . . . . . . 506,000 514,4763.13%, 6/15/2023 (a) . . . . . . 617,000 628,8653.25%, 10/15/2026. . . . . . . . 389,000 390,8363.50%, 4/15/2024 . . . . . . . . 1,074,000 1,114,0603.50%, 2/1/2025 . . . . . . . . . 1,043,000 1,077,7423.75%, 5/1/2024 . . . . . . . . . 498,000 520,5743.85%, 4/1/2027 . . . . . . . . . 550,000 570,4664.00%, 3/1/2028 . . . . . . . . . 605,000 635,0444.13%, 1/15/2026 . . . . . . . . 380,000 402,5724.40%, 1/15/2029 . . . . . . . . 110,000 119,342

Ventas Realty L.P./Ventas CapitalCorp.:3.25%, 8/15/2022 . . . . . . . . 1,356,000 1,386,6864.25%, 3/1/2022 . . . . . . . . . 428,000 446,579

VEREIT Operating PartnershipL.P.:3.95%, 8/15/2027 . . . . . . . . 1,053,000 1,085,1804.13%, 6/1/2021 . . . . . . . . . 230,000 236,0884.60%, 2/6/2024 . . . . . . . . . 1,001,000 1,061,8714.63%, 11/1/2025 . . . . . . . . 637,000 684,9664.88%, 6/1/2026 . . . . . . . . . 397,000 432,071

Vornado Realty L.P.3.50%, 1/15/2025 . . . . . . . . 509,000 521,557

Washington Real EstateInvestment Trust3.95%, 10/15/2022. . . . . . . . 120,000 124,344

Weingarten Realty Investors:3.38%, 10/15/2022. . . . . . . . 722,000 734,8663.50%, 4/15/2023 . . . . . . . . 783,000 798,683

Welltower, Inc.:3.63%, 3/15/2024 . . . . . . . . 2,018,000 2,099,668


46


3.75%, 3/15/2023 . . . . . . . . $ 1,280,000 $ 1,332,3263.95%, 9/1/2023 . . . . . . . . . 728,000 767,2684.00%, 6/1/2025 . . . . . . . . . 1,109,000 1,174,1984.13%, 3/15/2029 . . . . . . . . 150,000 158,9524.25%, 4/1/2026 . . . . . . . . . 595,000 633,8544.25%, 4/15/2028 . . . . . . . . 742,000 793,5174.50%, 1/15/2024 . . . . . . . . 1,152,000 1,236,6494.95%, 1/15/2021 . . . . . . . . 420,000 433,1215.25%, 1/15/2022 . . . . . . . . 549,000 583,592

Weyerhaeuser Co.:3.25%, 3/15/2023 . . . . . . . . 787,000 800,3244.63%, 9/15/2023 . . . . . . . . 561,000 602,4134.70%, 3/15/2021 . . . . . . . . 577,000 594,8646.95%, 10/1/2027 . . . . . . . . 277,000 348,375

WP Carey, Inc.:3.85%, 7/15/2029 . . . . . . . . 1,067,000 1,081,7144.00%, 2/1/2025 . . . . . . . . . 510,000 526,8454.25%, 10/1/2026 . . . . . . . . 300,000 313,3804.60%, 4/1/2024 . . . . . . . . . 931,000 987,391

211,839,673

RETAIL — 2.8%Advance Auto Parts, Inc.:

4.50%, 1/15/2022 . . . . . . . . 370,000 386,1254.50%, 12/1/2023 . . . . . . . . 639,000 685,283

AutoNation, Inc.:3.35%, 1/15/2021 . . . . . . . . 577,000 582,0263.50%, 11/15/2024. . . . . . . . 510,000 509,7203.80%, 11/15/2027. . . . . . . . 327,000 321,0264.50%, 10/1/2025 . . . . . . . . 1,888,000 1,960,386

AutoZone, Inc.:2.88%, 1/15/2023 . . . . . . . . 370,000 374,5923.13%, 7/15/2023 . . . . . . . . 475,000 486,8473.13%, 4/18/2024 . . . . . . . . 913,000 935,0853.13%, 4/21/2026 . . . . . . . . 645,000 650,4953.25%, 4/15/2025 . . . . . . . . 259,000 264,8073.70%, 4/15/2022 . . . . . . . . 885,000 915,0633.75%, 6/1/2027 . . . . . . . . . 302,000 315,9193.75%, 4/18/2029 . . . . . . . . 857,000 891,6494.00%, 11/15/2020. . . . . . . . 526,000 535,110

Best Buy Co., Inc.:4.45%, 10/1/2028 . . . . . . . . 739,000 780,2585.50%, 3/15/2021 . . . . . . . . 579,000 603,353

Costco Wholesale Corp.:2.15%, 5/18/2021 . . . . . . . . 1,918,000 1,921,8942.25%, 2/15/2022 . . . . . . . . 605,000 607,4502.30%, 5/18/2022 . . . . . . . . 915,000 920,4812.75%, 5/18/2024 . . . . . . . . 1,246,000 1,279,1193.00%, 5/18/2027 . . . . . . . . 886,000 917,311

Darden Restaurants, Inc.3.85%, 5/1/2027 (a) . . . . . . . 605,000 624,439

Dollar General Corp.:3.25%, 4/15/2023 . . . . . . . . 1,487,000 1,527,1793.88%, 4/15/2027 . . . . . . . . 705,000 732,1924.13%, 5/1/2028 (a) . . . . . . . 456,000 485,0704.15%, 11/1/2025 . . . . . . . . 535,000 577,602


Dollar Tree, Inc.:3.70%, 5/15/2023 . . . . . . . . $ 2,287,000 $ 2,368,7374.00%, 5/15/2025 . . . . . . . . 1,426,000 1,482,6694.20%, 5/15/2028 . . . . . . . . 774,000 801,051

Family Dollar Stores, Inc.5.00%, 2/1/2021 . . . . . . . . . 72,000 74,403

Home Depot, Inc.:2.00%, 4/1/2021 . . . . . . . . . 1,418,000 1,417,2912.13%, 9/15/2026 . . . . . . . . 889,000 870,2332.63%, 6/1/2022 . . . . . . . . . 829,000 843,1342.70%, 4/1/2023 . . . . . . . . . 1,214,000 1,239,9432.80%, 9/14/2027 . . . . . . . . 1,696,000 1,723,2212.95%, 6/15/2029 . . . . . . . . 1,314,000 1,350,3193.00%, 4/1/2026 . . . . . . . . . 904,000 934,7903.25%, 3/1/2022 . . . . . . . . . 809,000 834,9613.35%, 9/15/2025 . . . . . . . . 2,641,000 2,797,6913.75%, 2/15/2024 . . . . . . . . 1,405,000 1,501,8753.90%, 12/6/2028 . . . . . . . . 1,563,000 1,722,3633.95%, 9/15/2020 . . . . . . . . 174,000 177,1414.40%, 4/1/2021 . . . . . . . . . 659,000 681,571

Kohl’s Corp.:3.25%, 2/1/2023 . . . . . . . . . 410,000 411,7964.25%, 7/17/2025 (a) . . . . . . 884,000 918,025

Lowe’s Cos., Inc.:2.50%, 4/15/2026 . . . . . . . . 2,115,000 2,075,9363.10%, 5/3/2027 . . . . . . . . . 1,528,000 1,549,4383.12%, 4/15/2022 . . . . . . . . 976,000 994,3393.13%, 9/15/2024 . . . . . . . . 435,000 447,1673.38%, 9/15/2025 . . . . . . . . 1,176,000 1,222,6283.65%, 4/5/2029 . . . . . . . . . 1,988,000 2,075,6113.75%, 4/15/2021 . . . . . . . . 1,871,000 1,911,0963.80%, 11/15/2021. . . . . . . . 549,000 565,5413.88%, 9/15/2023 . . . . . . . . 325,000 343,379

Macy’s Retail Holdings, Inc.:2.88%, 2/15/2023 (a) . . . . . . 1,166,000 1,145,9803.45%, 1/15/2021 . . . . . . . . 377,000 379,9973.63%, 6/1/2024 (a) . . . . . . . 574,000 564,6273.88%, 1/15/2022 . . . . . . . . 874,000 887,6694.38%, 9/1/2023 (a) . . . . . . . 1,141,000 1,166,832


1/15/2022. . . . . . . . . . . . 1,700,000 1,720,808Series MTN, 2.75%,

12/9/2020. . . . . . . . . . . . 2,120,000 2,132,953Series MTN, 3.25%,


5/26/2025. . . . . . . . . . . . 743,000 777,133Series MTN, 3.50%,


5/20/2021. . . . . . . . . . . . 608,000 623,516Series MTN, 3.70%,

1/30/2026. . . . . . . . . . . . 1,971,000 2,094,818


47


Series MTN, 3.80%, 4/1/2028(a) . . . . . . . . . . . . . . . . $ 1,250,000 $ 1,343,412

Nordstrom, Inc.:4.00%, 10/15/2021. . . . . . . . 705,000 724,4374.00%, 3/15/2027 . . . . . . . . 736,000 752,6856.95%, 3/15/2028 (a) . . . . . . 937,000 1,096,477

O’Reilly Automotive, Inc.:3.55%, 3/15/2026 . . . . . . . . 361,000 371,7653.60%, 9/1/2027 . . . . . . . . . 511,000 525,5893.80%, 9/1/2022 . . . . . . . . . 331,000 343,7373.85%, 6/15/2023 . . . . . . . . 375,000 392,0853.90%, 6/1/2029 . . . . . . . . . 978,000 1,025,6974.35%, 6/1/2028 . . . . . . . . . 610,000 660,8374.63%, 9/15/2021 . . . . . . . . 423,000 441,2364.88%, 1/14/2021 . . . . . . . . 402,000 414,812

QVC, Inc.:4.38%, 3/15/2023 . . . . . . . . 553,000 560,8084.45%, 2/15/2025 . . . . . . . . 1,575,000 1,594,2464.85%, 4/1/2024 . . . . . . . . . 934,000 965,4105.13%, 7/2/2022 . . . . . . . . . 1,103,000 1,147,274

Starbucks Corp.:2.10%, 2/4/2021 . . . . . . . . . 1,495,000 1,489,8122.20%, 11/22/2020. . . . . . . . 1,157,000 1,155,3692.45%, 6/15/2026 . . . . . . . . 889,000 879,5322.70%, 6/15/2022 . . . . . . . . 414,000 418,9433.10%, 3/1/2023 . . . . . . . . . 1,405,000 1,441,8813.50%, 3/1/2028 . . . . . . . . . 555,000 582,2673.55%, 8/15/2029 . . . . . . . . 662,000 692,8493.80%, 8/15/2025 . . . . . . . . 1,478,000 1,577,4103.85%, 10/1/2023 . . . . . . . . 1,185,000 1,252,2494.00%, 11/15/2028 (a) . . . . . 1,072,000 1,168,116

Tapestry, Inc.:3.00%, 7/15/2022 . . . . . . . . 482,000 482,4684.13%, 7/15/2027 . . . . . . . . 490,000 493,4404.25%, 4/1/2025 . . . . . . . . . 850,000 891,012

Target Corp.:2.50%, 4/15/2026 . . . . . . . . 828,000 834,2682.90%, 1/15/2022 . . . . . . . . 1,195,000 1,221,3143.38%, 4/15/2029 . . . . . . . . 2,300,000 2,440,5993.50%, 7/1/2024 . . . . . . . . . 1,041,000 1,107,718

TJX Cos., Inc.:2.25%, 9/15/2026 . . . . . . . . 808,000 793,0042.50%, 5/15/2023 . . . . . . . . 544,000 550,6312.75%, 6/15/2021 . . . . . . . . 1,423,000 1,436,860

Walgreen Co.3.10%, 9/15/2022 (a) . . . . . . 2,117,000 2,153,624

Walgreens Boots Alliance, Inc.:3.30%, 11/18/2021. . . . . . . . 1,303,000 1,328,4743.45%, 6/1/2026 . . . . . . . . . 2,495,000 2,521,8713.80%, 11/18/2024. . . . . . . . 2,163,000 2,250,061

Walmart, Inc.:1.90%, 12/15/2020. . . . . . . . 1,947,000 1,943,5152.35%, 12/15/2022. . . . . . . . 2,148,000 2,168,7712.55%, 4/11/2023 . . . . . . . . 2,202,000 2,232,4102.65%, 12/15/2024. . . . . . . . 2,473,000 2,528,593


2.85%, 7/8/2024 . . . . . . . . . $ 1,525,000 $ 1,574,5623.05%, 7/8/2026 . . . . . . . . . 1,010,000 1,054,8843.13%, 6/23/2021 . . . . . . . . 1,647,000 1,682,7563.25%, 10/25/2020. . . . . . . . 75,000 76,1843.30%, 4/22/2024 (a) . . . . . . 1,644,000 1,727,7123.40%, 6/26/2023 . . . . . . . . 3,505,000 3,680,7063.55%, 6/26/2025 . . . . . . . . 2,057,000 2,196,1153.63%, 7/8/2020 . . . . . . . . . 19,000 19,3023.70%, 6/26/2028 . . . . . . . . 2,998,000 3,270,7585.88%, 4/5/2027 . . . . . . . . . 595,000 733,552

134,765,371

SAVINGS & LOANS — 0.0%(f)

People’s United Financial, Inc.3.65%, 12/6/2022 . . . . . . . . 422,000 434,411

SEMICONDUCTORS — 2.1%Altera Corp.

4.10%, 11/15/2023. . . . . . . . 543,000 585,045Analog Devices, Inc.:

2.50%, 12/5/2021 . . . . . . . . 3,796,000 3,811,7152.88%, 6/1/2023 . . . . . . . . . 452,000 457,0852.95%, 1/12/2021 . . . . . . . . 601,000 606,2653.13%, 12/5/2023 . . . . . . . . 1,010,000 1,033,5133.50%, 12/5/2026 . . . . . . . . 1,122,000 1,148,9623.90%, 12/15/2025. . . . . . . . 957,000 1,011,262

Applied Materials, Inc.:2.63%, 10/1/2020 . . . . . . . . 800,000 803,9443.30%, 4/1/2027 . . . . . . . . . 1,136,000 1,183,7923.90%, 10/1/2025 . . . . . . . . 1,407,000 1,508,2904.30%, 6/15/2021 . . . . . . . . 936,000 974,863

Broadcom Corp./BroadcomCayman Finance, Ltd.:2.20%, 1/15/2021 . . . . . . . . 983,000 976,1092.65%, 1/15/2023 . . . . . . . . 951,000 938,1903.00%, 1/15/2022 . . . . . . . . 3,399,000 3,409,0613.13%, 1/15/2025 . . . . . . . . 1,095,000 1,069,3553.50%, 1/15/2028 . . . . . . . . 1,508,000 1,427,7593.63%, 1/15/2024 . . . . . . . . 3,268,000 3,297,3793.88%, 1/15/2027 . . . . . . . . 8,365,000 8,195,107

Broadcom, Inc.:3.13%, 4/15/2021 (e) . . . . . . 2,547,000 2,562,9953.13%, 10/15/2022 (e) . . . . . 1,455,000 1,463,1193.63%, 10/15/2024 (e) . . . . . 2,001,000 2,011,4454.25%, 4/15/2026 (e) . . . . . . 2,898,000 2,940,8324.75%, 4/15/2029 (e) . . . . . . 4,331,000 4,442,307

Intel Corp.:1.70%, 5/19/2021 . . . . . . . . 881,000 874,6662.35%, 5/11/2022 . . . . . . . . 1,013,000 1,020,4352.60%, 5/19/2026 . . . . . . . . 1,135,000 1,142,5362.70%, 12/15/2022. . . . . . . . 2,055,000 2,091,6202.88%, 5/11/2024 . . . . . . . . 3,426,000 3,527,4783.10%, 7/29/2022 . . . . . . . . 383,000 394,4443.15%, 5/11/2027 . . . . . . . . 875,000 910,6213.30%, 10/1/2021 . . . . . . . . 2,019,000 2,075,2293.70%, 7/29/2025 . . . . . . . . 2,892,000 3,102,248


48


KLA-Tencor Corp.:4.10%, 3/15/2029 . . . . . . . . $ 1,414,000 $ 1,488,9144.13%, 11/1/2021 . . . . . . . . 593,000 613,8914.65%, 11/1/2024 . . . . . . . . 1,168,000 1,278,902

Lam Research Corp.:2.80%, 6/15/2021 . . . . . . . . 884,000 890,8333.75%, 3/15/2026 . . . . . . . . 2,235,000 2,351,0413.80%, 3/15/2025 . . . . . . . . 97,000 102,5184.00%, 3/15/2029 . . . . . . . . 849,000 904,728

Marvell Technology Group, Ltd.:4.20%, 6/22/2023 . . . . . . . . 474,000 491,7324.88%, 6/22/2028 . . . . . . . . 586,000 622,191

Maxim Integrated Products, Inc.:3.38%, 3/15/2023 . . . . . . . . 270,000 274,8743.45%, 6/15/2027 . . . . . . . . 892,000 894,016

Micron Technology, Inc.:4.64%, 2/6/2024 . . . . . . . . . 1,144,000 1,193,0784.98%, 2/6/2026 . . . . . . . . . 1,308,000 1,376,9325.33%, 2/6/2029 (a) . . . . . . . 416,000 441,1435.50%, 2/1/2025 . . . . . . . . . 552,000 567,815

NVIDIA Corp.:2.20%, 9/16/2021 . . . . . . . . 1,062,000 1,058,3893.20%, 9/16/2026 . . . . . . . . 1,050,000 1,074,581

NXP B.V./NXP Funding LLC:4.88%, 3/1/2024 (e) . . . . . . . 999,000 1,071,6075.35%, 3/1/2026 (e) . . . . . . . 959,000 1,061,3835.55%, 12/1/2028 (e) . . . . . . 1,230,000 1,384,377

NXP B.V./NXPFunding LLC/NXP USA, Inc.:3.88%, 6/18/2026 (e) . . . . . . 1,192,000 1,225,7464.30%, 6/18/2029 (e) . . . . . . 1,742,000 1,798,876

QUALCOMM, Inc.:2.60%, 1/30/2023 . . . . . . . . 1,467,000 1,472,6482.90%, 5/20/2024 . . . . . . . . 1,880,000 1,908,3883.00%, 5/20/2022 . . . . . . . . 3,946,000 4,019,2383.25%, 5/20/2027 . . . . . . . . 2,222,000 2,264,3513.45%, 5/20/2025 . . . . . . . . 2,081,000 2,164,344

Semiconductor ManufacturingInternational Corp.4.13%, 10/7/2019 (e) . . . . . . 250,000 250,633

Texas Instruments, Inc.:1.85%, 5/15/2022 . . . . . . . . 729,000 724,9402.25%, 5/1/2023 . . . . . . . . . 597,000 598,3972.63%, 5/15/2024 . . . . . . . . 398,000 404,6152.75%, 3/12/2021 . . . . . . . . 308,000 311,1512.90%, 11/3/2027 . . . . . . . . 680,000 698,040

Xilinx, Inc.:2.95%, 6/1/2024 . . . . . . . . . 1,071,000 1,086,5403.00%, 3/15/2021 . . . . . . . . 894,000 901,340

99,969,863

SHIPBUILDING — 0.0% (f)Huntington Ingalls Industries,

Inc.3.48%, 12/1/2027 (a) . . . . . . 866,000 880,869


SOFTWARE — 2.4%Activision Blizzard, Inc.:

2.30%, 9/15/2021 . . . . . . . . $ 562,000 $ 561,0562.60%, 6/15/2022 . . . . . . . . 955,000 961,8863.40%, 9/15/2026 . . . . . . . . 1,419,000 1,445,0243.40%, 6/15/2027 . . . . . . . . 953,000 963,388

Adobe, Inc.3.25%, 2/1/2025 . . . . . . . . . 854,000 890,987

Autodesk, Inc.:3.50%, 6/15/2027 . . . . . . . . 1,424,000 1,439,9773.60%, 12/15/2022. . . . . . . . 202,000 207,6284.38%, 6/15/2025 . . . . . . . . 747,000 793,725

Broadridge Financial Solutions,Inc.:3.40%, 6/27/2026 . . . . . . . . 482,000 490,0453.95%, 9/1/2020 . . . . . . . . . 553,000 562,362

CA, Inc.:3.60%, 8/1/2020 . . . . . . . . . 142,000 143,0693.60%, 8/15/2022 . . . . . . . . 778,000 786,9244.70%, 3/15/2027 . . . . . . . . 577,000 587,288

Cadence Design Systems, Inc.4.38%, 10/15/2024. . . . . . . . 369,000 392,550

Citrix Systems, Inc.4.50%, 12/1/2027 . . . . . . . . 629,000 650,864

Electronic Arts, Inc.:3.70%, 3/1/2021 . . . . . . . . . 1,291,000 1,315,1034.80%, 3/1/2026 . . . . . . . . . 371,000 412,956

Fidelity National InformationServices, Inc.:2.25%, 8/15/2021 . . . . . . . . 1,159,000 1,155,8823.00%, 8/15/2026 . . . . . . . . 1,813,000 1,835,5543.50%, 4/15/2023 . . . . . . . . 831,000 861,4233.63%, 10/15/2020. . . . . . . . 1,046,000 1,061,3453.75%, 5/21/2029 . . . . . . . . 590,000 625,9253.88%, 6/5/2024 . . . . . . . . . 499,000 527,4284.50%, 10/15/2022. . . . . . . . 599,000 636,2525.00%, 10/15/2025. . . . . . . . 932,000 1,049,534Series 10Y, 4.25%, 5/15/2028 . 606,000 663,176

Fiserv, Inc.:2.75%, 7/1/2024 . . . . . . . . . 2,984,000 3,013,8103.20%, 7/1/2026 . . . . . . . . . 625,000 640,1193.50%, 10/1/2022 . . . . . . . . 934,000 965,4573.50%, 7/1/2029 . . . . . . . . . 1,887,000 1,943,2333.80%, 10/1/2023 . . . . . . . . 1,086,000 1,142,4833.85%, 6/1/2025 . . . . . . . . . 1,066,000 1,128,3504.20%, 10/1/2028 . . . . . . . . 1,423,000 1,538,9034.75%, 6/15/2021 . . . . . . . . 500,000 522,175

Microsoft Corp.:1.55%, 8/8/2021 . . . . . . . . . 2,948,000 2,922,9122.00%, 11/3/2020 . . . . . . . . 1,980,000 1,979,6832.00%, 8/8/2023 . . . . . . . . . 2,748,000 2,744,3732.13%, 11/15/2022. . . . . . . . 270,000 272,0142.38%, 2/12/2022 . . . . . . . . 1,832,000 1,851,1442.38%, 5/1/2023 . . . . . . . . . 1,346,000 1,363,4982.40%, 2/6/2022 . . . . . . . . . 2,165,000 2,188,1012.40%, 8/8/2026 . . . . . . . . . 3,866,000 3,886,490


49


2.65%, 11/3/2022 . . . . . . . . $ 187,000 $ 191,1082.70%, 2/12/2025 . . . . . . . . 2,404,000 2,472,1772.88%, 2/6/2024 . . . . . . . . . 2,784,000 2,883,7233.00%, 10/1/2020 . . . . . . . . 743,000 752,0653.13%, 11/3/2025 . . . . . . . . 5,051,000 5,317,0873.30%, 2/6/2027 . . . . . . . . . 5,321,000 5,652,4453.63%, 12/15/2023. . . . . . . . 2,102,000 2,237,2014.00%, 2/8/2021 . . . . . . . . . 505,000 521,109

Oracle Corp.:1.90%, 9/15/2021 . . . . . . . . 5,290,000 5,262,1752.40%, 9/15/2023 . . . . . . . . 3,197,000 3,219,6352.50%, 5/15/2022 . . . . . . . . 2,580,000 2,605,9812.50%, 10/15/2022. . . . . . . . 3,261,000 3,294,9472.63%, 2/15/2023 . . . . . . . . 1,907,000 1,935,6242.65%, 7/15/2026 . . . . . . . . 4,045,000 4,060,9372.80%, 7/8/2021 . . . . . . . . . 2,272,000 2,302,5362.95%, 11/15/2024. . . . . . . . 2,659,000 2,739,1422.95%, 5/15/2025 . . . . . . . . 3,002,000 3,089,6583.25%, 11/15/2027. . . . . . . . 3,376,000 3,530,9923.40%, 7/8/2024 . . . . . . . . . 2,298,000 2,408,0513.63%, 7/15/2023 . . . . . . . . 852,000 898,5623.88%, 7/15/2020 . . . . . . . . 863,000 877,783

salesforce.com, Inc.:3.25%, 4/11/2023 . . . . . . . . 1,607,000 1,666,2663.70%, 4/11/2028 . . . . . . . . 1,846,000 1,988,880

VMware, Inc.:2.30%, 8/21/2020 . . . . . . . . 4,000 3,9892.95%, 8/21/2022 . . . . . . . . 1,719,000 1,735,6233.90%, 8/21/2027 . . . . . . . . 1,708,000 1,727,386

112,499,178


America Movil SAB de CV:3.13%, 7/16/2022 . . . . . . . . 2,075,000 2,115,4833.63%, 4/22/2029 . . . . . . . . 1,475,000 1,532,820

AT&T, Inc.:2.63%, 12/1/2022 (a) . . . . . . 1,088,000 1,095,5622.80%, 2/17/2021 . . . . . . . . 2,072,000 2,084,9712.95%, 7/15/2026 . . . . . . . . 1,092,000 1,083,6033.00%, 2/15/2022 . . . . . . . . 1,396,000 1,418,2803.00%, 6/30/2022 . . . . . . . . 2,790,000 2,838,5743.20%, 3/1/2022 . . . . . . . . . 1,874,000 1,913,1293.40%, 6/15/2022 . . . . . . . . 579,000 594,1413.40%, 5/15/2025 . . . . . . . . 5,909,000 6,070,9073.55%, 6/1/2024 . . . . . . . . . 1,013,000 1,052,4363.60%, 2/17/2023 (a) . . . . . . 2,255,000 2,340,9163.60%, 7/15/2025 . . . . . . . . 2,011,000 2,088,7453.80%, 3/15/2022 . . . . . . . . 2,094,000 2,170,5783.80%, 3/1/2024 . . . . . . . . . 1,053,000 1,107,8613.80%, 2/15/2027 . . . . . . . . 1,814,000 1,883,8393.88%, 8/15/2021 . . . . . . . . 1,663,000 1,714,4203.88%, 1/15/2026 . . . . . . . . 672,000 702,5693.90%, 3/11/2024 (a) . . . . . . 1,173,000 1,237,8903.95%, 1/15/2025 . . . . . . . . 1,291,000 1,363,6834.00%, 1/15/2022 . . . . . . . . 541,000 561,158


4.05%, 12/15/2023. . . . . . . . $ 530,000 $ 561,8694.10%, 2/15/2028 . . . . . . . . 1,831,000 1,938,3334.13%, 2/17/2026 . . . . . . . . 2,450,000 2,611,6754.25%, 3/1/2027 . . . . . . . . . 2,626,000 2,813,0244.35%, 3/1/2029 . . . . . . . . . 3,760,000 4,046,5124.45%, 5/15/2021 . . . . . . . . 1,322,000 1,371,5094.45%, 4/1/2024 . . . . . . . . . 1,854,000 1,996,9994.60%, 2/15/2021 . . . . . . . . 807,000 831,3237.13%, 3/15/2026 . . . . . . . . 151,000 185,078

British TelecommunicationsPLC:4.50%, 12/4/2023 . . . . . . . . 960,000 1,026,5185.13%, 12/4/2028 . . . . . . . . 890,000 996,319

Cisco Systems, Inc.:1.85%, 9/20/2021 . . . . . . . . 2,161,000 2,148,1422.20%, 2/28/2021 . . . . . . . . 2,311,000 2,313,4502.20%, 9/20/2023 (a) . . . . . . 1,341,000 1,344,8892.50%, 9/20/2026 . . . . . . . . 1,216,000 1,225,2292.60%, 2/28/2023 (a) . . . . . . 1,077,000 1,095,0292.90%, 3/4/2021 . . . . . . . . . 228,000 230,8072.95%, 2/28/2026 . . . . . . . . 1,113,000 1,148,6383.00%, 6/15/2022 . . . . . . . . 3,292,000 3,383,3203.50%, 6/15/2025 . . . . . . . . 753,000 804,6333.63%, 3/4/2024 (a) . . . . . . . 1,442,000 1,537,951

Corning, Inc.:2.90%, 5/15/2022 . . . . . . . . 670,000 680,3784.25%, 8/15/2020 . . . . . . . . 230,000 234,701

Juniper Networks, Inc.:4.35%, 6/15/2025 . . . . . . . . 311,000 328,8734.50%, 3/15/2024 . . . . . . . . 1,046,000 1,114,4924.60%, 3/15/2021 . . . . . . . . 215,000 222,194

Motorola Solutions, Inc.:3.50%, 3/1/2023 . . . . . . . . . 651,000 663,0373.75%, 5/15/2022 . . . . . . . . 383,000 393,5484.00%, 9/1/2024 . . . . . . . . . 885,000 921,5424.60%, 2/23/2028 . . . . . . . . 839,000 879,7254.60%, 5/23/2029 (a) . . . . . . 1,176,000 1,236,588

Orange SA4.13%, 9/14/2021 . . . . . . . . 3,291,000 3,421,916

Rogers Communications, Inc.:2.90%, 11/15/2026. . . . . . . . 615,000 617,2203.00%, 3/15/2023 . . . . . . . . 507,000 516,7853.63%, 12/15/2025. . . . . . . . 660,000 696,4524.10%, 10/1/2023 . . . . . . . . 1,685,000 1,791,458

Telefonica Emisiones SA:4.10%, 3/8/2027 . . . . . . . . . 1,937,000 2,057,6754.57%, 4/27/2023 . . . . . . . . 820,000 883,878

Telefonica Emisiones SAU5.46%, 2/16/2021 . . . . . . . . 1,254,000 1,313,640

TELUS Corp.:2.80%, 2/16/2027 . . . . . . . . 322,000 316,4783.70%, 9/15/2027 . . . . . . . . 721,000 749,069

Verizon Communications, Inc.:2.45%, 11/1/2022 . . . . . . . . 1,169,000 1,178,2352.63%, 8/15/2026 . . . . . . . . 2,885,000 2,867,055


50


2.95%, 3/15/2022 . . . . . . . . $ 1,132,000 $ 1,155,1613.13%, 3/16/2022 . . . . . . . . 1,948,000 1,995,6683.38%, 2/15/2025 . . . . . . . . 3,279,000 3,422,9813.45%, 3/15/2021 . . . . . . . . 757,000 772,2233.50%, 11/1/2024 . . . . . . . . 2,350,000 2,470,1083.88%, 2/8/2029 . . . . . . . . . 1,425,000 1,528,2844.13%, 3/16/2027 . . . . . . . . 4,482,000 4,876,1474.15%, 3/15/2024 . . . . . . . . 400,000 430,8004.33%, 9/21/2028 . . . . . . . . 4,549,000 5,038,2454.60%, 4/1/2021 . . . . . . . . . 2,235,000 2,327,4175.15%, 9/15/2023 . . . . . . . . 3,664,000 4,094,850

Vodafone Group PLC:3.75%, 1/16/2024 . . . . . . . . 2,201,000 2,301,0794.13%, 5/30/2025 (a) . . . . . . 3,538,000 3,767,2274.38%, 5/30/2028 . . . . . . . . 2,113,000 2,284,090

130,132,031

TEXTILES — 0.0% (f)Cintas Corp. No. 2:

3.25%, 6/1/2022 . . . . . . . . . 165,000 169,3433.70%, 4/1/2027 . . . . . . . . . 1,318,000 1,404,105

Mohawk Industries, Inc.3.85%, 2/1/2023 . . . . . . . . . 233,000 242,348

1,815,796

TOYS/GAMES/HOBBIES —0.0% (f)

Hasbro, Inc.:3.15%, 5/15/2021 . . . . . . . . 377,000 381,5773.50%, 9/15/2027 . . . . . . . . 666,000 675,224

1,056,801

TRANSPORTATION — 1.5%BNSF Funding Trust I

3 Month USD LIBOR +2.35%, 6.61%, 12/15/2055 (c). 412,000 452,570

Burlington Northern SantaFe LLC:3.00%, 3/15/2023 . . . . . . . . 392,000 401,6043.00%, 4/1/2025 . . . . . . . . . 547,000 563,8583.05%, 3/15/2022 . . . . . . . . 1,074,000 1,096,5973.05%, 9/1/2022 . . . . . . . . . 740,000 757,6713.25%, 6/15/2027 (a) . . . . . . 466,000 490,2093.40%, 9/1/2024 . . . . . . . . . 506,000 533,3443.45%, 9/15/2021 . . . . . . . . 756,000 774,2123.65%, 9/1/2025 . . . . . . . . . 474,000 505,5213.75%, 4/1/2024 . . . . . . . . . 832,000 884,3663.85%, 9/1/2023 . . . . . . . . . 1,253,000 1,327,5287.00%, 12/15/2025. . . . . . . . 64,000 80,714

Canadian National Railway Co.:2.75%, 3/1/2026 . . . . . . . . . 517,000 523,4372.85%, 12/15/2021. . . . . . . . 674,000 682,2362.95%, 11/21/2024. . . . . . . . 330,000 338,9736.90%, 7/15/2028 . . . . . . . . 941,000 1,241,744

Canadian Pacific Railway Co.:2.90%, 2/1/2025 . . . . . . . . . 1,199,000 1,230,6904.00%, 6/1/2028 . . . . . . . . . 605,000 660,224


4.45%, 3/15/2023 . . . . . . . . $ 199,000 $ 211,2314.50%, 1/15/2022 . . . . . . . . 60,000 62,888

CH Robinson Worldwide, Inc.4.20%, 4/15/2028 (a) . . . . . . 689,000 736,851

CSX Corp.:2.60%, 11/1/2026 . . . . . . . . 695,000 687,9673.25%, 6/1/2027 . . . . . . . . . 1,454,000 1,499,9033.35%, 11/1/2025 . . . . . . . . 987,000 1,035,0573.40%, 8/1/2024 . . . . . . . . . 447,000 467,7853.70%, 10/30/2020. . . . . . . . 508,000 515,8493.70%, 11/1/2023 . . . . . . . . 669,000 703,3203.80%, 3/1/2028 . . . . . . . . . 1,555,000 1,669,3704.25%, 6/1/2021 . . . . . . . . . 407,000 419,8864.25%, 3/15/2029 . . . . . . . . 949,000 1,055,867

FedEx Corp.:2.63%, 8/1/2022 . . . . . . . . . 647,000 652,0533.20%, 2/1/2025 . . . . . . . . . 695,000 717,1843.25%, 4/1/2026 . . . . . . . . . 407,000 420,5163.30%, 3/15/2027 . . . . . . . . 908,000 931,0453.40%, 1/14/2022 . . . . . . . . 947,000 971,0443.40%, 2/15/2028 (a) . . . . . . 804,000 828,7874.00%, 1/15/2024 . . . . . . . . 374,000 400,0834.20%, 10/17/2028 (a) . . . . . 482,000 527,679

JB Hunt Transport Services, Inc.:3.30%, 8/15/2022 . . . . . . . . 354,000 361,3423.88%, 3/1/2026 . . . . . . . . . 1,204,000 1,260,130

Kansas City Southern3.00%, 5/15/2023 . . . . . . . . 3,417,000 3,481,479

Kirby Corp.4.20%, 3/1/2028 . . . . . . . . . 537,000 556,182

Norfolk Southern Corp.:2.90%, 2/15/2023 . . . . . . . . 959,000 978,6502.90%, 6/15/2026 (a) . . . . . . 1,056,000 1,070,9003.00%, 4/1/2022 . . . . . . . . . 387,000 394,0823.15%, 6/1/2027 . . . . . . . . . 565,000 580,4193.25%, 12/1/2021 . . . . . . . . 574,000 584,9923.65%, 8/1/2025 . . . . . . . . . 630,000 665,6393.80%, 8/1/2028 (a) . . . . . . . 1,007,000 1,085,6673.85%, 1/15/2024 . . . . . . . . 220,000 232,518

Ryder System, Inc.:Series MTN, 2.25%, 9/1/2021. 362,000 360,947Series MTN, 2.50%, 9/1/2022. 595,000 595,631Series MTN, 2.80%, 3/1/2022. 490,000 494,253Series MTN, 2.88%, 9/1/2020. 214,000 215,111Series MTN, 2.88%, 6/1/2022. 460,000 465,502Series MTN, 3.40%, 3/1/2023. 400,000 410,796Series MTN, 3.45%,



12/1/2023. . . . . . . . . . . . 515,000 539,869Union Pacific Corp.:

2.75%, 4/15/2023 . . . . . . . . 463,000 468,991


51


2.75%, 3/1/2026 . . . . . . . . . $ 783,000 $ 789,7342.95%, 3/1/2022 . . . . . . . . . 678,000 690,5292.95%, 1/15/2023 . . . . . . . . 1,008,000 1,025,9833.00%, 4/15/2027 . . . . . . . . 549,000 560,6833.15%, 3/1/2024 . . . . . . . . . 400,000 412,6123.20%, 6/8/2021 . . . . . . . . . 802,000 816,9253.25%, 1/15/2025 . . . . . . . . 453,000 469,9923.25%, 8/15/2025 . . . . . . . . 621,000 646,2193.50%, 6/8/2023 . . . . . . . . . 1,074,000 1,119,1833.65%, 2/15/2024 . . . . . . . . 436,000 458,0093.70%, 3/1/2029 . . . . . . . . . 1,606,000 1,725,7913.75%, 3/15/2024 . . . . . . . . 1,083,000 1,142,6303.75%, 7/15/2025 . . . . . . . . 861,000 917,4393.95%, 9/10/2028 . . . . . . . . 2,691,000 2,941,9094.00%, 2/1/2021 . . . . . . . . . 202,000 206,8804.16%, 7/15/2022 . . . . . . . . 1,543,000 1,620,628

United Parcel Service, Inc.:2.05%, 4/1/2021 . . . . . . . . . 713,000 711,6742.35%, 5/16/2022 . . . . . . . . 1,440,000 1,448,4822.40%, 11/15/2026. . . . . . . . 581,000 574,9582.45%, 10/1/2022 . . . . . . . . 906,000 915,7582.50%, 4/1/2023 . . . . . . . . . 814,000 821,8632.80%, 11/15/2024. . . . . . . . 656,000 668,8513.05%, 11/15/2027. . . . . . . . 641,000 662,3073.13%, 1/15/2021 . . . . . . . . 946,000 959,8873.40%, 3/15/2029 . . . . . . . . 2,664,000 2,812,891

69,644,871


GATX Corp.:3.25%, 3/30/2025 . . . . . . . . 200,000 200,6363.25%, 9/15/2026 . . . . . . . . 350,000 348,9153.50%, 3/15/2028 . . . . . . . . 1,369,000 1,374,6403.85%, 3/30/2027 . . . . . . . . 493,000 508,0324.35%, 2/15/2024 . . . . . . . . 731,000 776,1474.85%, 6/1/2021 . . . . . . . . . 175,000 181,891

3,390,261

WATER — 0.1%American Water Capital Corp.:

2.95%, 9/1/2027 . . . . . . . . . 613,000 614,6003.40%, 3/1/2025 . . . . . . . . . 460,000 478,4693.45%, 6/1/2029 . . . . . . . . . 725,000 754,1673.75%, 9/1/2028 . . . . . . . . . 565,000 602,3923.85%, 3/1/2024 . . . . . . . . . 452,000 476,557

Aqua America, Inc.3.57%, 5/1/2029 . . . . . . . . . 848,000 882,208

United Utilities PLC6.88%, 8/15/2028 (a) . . . . . . 543,000 664,560

4,472,953




U.S. Government MoneyMarket Fund, Class G Shares2.35% (g) (h) . . . . . . . . . . . 3,726,093 $ 3,726,093

State Street Navigator SecuritiesLending Portfolio III (i) (j) . . . 21,334,763 21,334,763

TOTAL SHORT-TERM INVESTMENTS(Cost $25,060,856). . . . . . . . . . . . . . . . . . . . 25,060,856



NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 4,786,802,761


(b) When-issued security.(c) Variable Rate Security - Interest rate shown is rate in effect at


(d) Step-up bond - Coupon rate increases in increments to maturity.Rate shown as of June 30, 2019. Maturity date shown is the finalmaturity.

(e) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 2.0% ofnet assets as of June 30, 2019, are considered liquid and may beresold in transactions exempt from registration, normally toqualified institutional buyers.

(f) Amount is less than 0.05% of net assets.(g) The Fund invested in certain money market funds managed by





BKNT = Bank NotesGMTN = Global Medium Term NoteISDA = International Swaps and Derivatives AssociationLIBOR = London Interbank Offered RateMTN = Medium Term Note


52



Quoted Prices







Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund,Class G Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . 14,998,714 $14,998,714 $425,451,091 $436,723,712 $— $— 3,726,093 $ 3,726,093 $166,433

State Street Navigator Securities Lending Government MoneyMarket Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . 18,583,198 18,583,198 105,393,423 123,976,621 — — — — 85,603

State Street Navigator Securities Lending Portfolio III . . . . . . . . — — 47,846,801 26,512,038 — — 21,334,763 21,334,763 19,085

Total. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $33,581,912 $578,691,315 $587,212,371 $— $— $25,060,856 $271,121


53 ARSPIB


CORPORATE BONDS & NOTES— 98.6%

ADVERTISING — 0.0% (a)Interpublic Group of Cos., Inc.

5.40%, 10/1/2048 . . . . . . . . . . . $ 110,000 $ 121,999


Boeing Co.:3.38%, 6/15/2046 . . . . . . . . . . . 25,000 23,9183.50%, 3/1/2039. . . . . . . . . . . . 425,000 427,7753.55%, 3/1/2038. . . . . . . . . . . . 15,000 15,1503.60%, 5/1/2034. . . . . . . . . . . . 225,000 235,7443.63%, 3/1/2048. . . . . . . . . . . . 55,000 55,0443.65%, 3/1/2047. . . . . . . . . . . . 86,000 86,1483.83%, 3/1/2059. . . . . . . . . . . . 100,000 101,3393.85%, 11/1/2048 . . . . . . . . . . . 125,000 130,0143.90%, 5/1/2049. . . . . . . . . . . . 200,000 209,1845.88%, 2/15/2040 . . . . . . . . . . . 125,000 164,0016.13%, 2/15/2033 . . . . . . . . . . . 164,000 215,4576.63%, 2/15/2038 . . . . . . . . . . . 231,000 322,700

General Dynamics Corp.3.60%, 11/15/2042 . . . . . . . . . . 95,000 100,470

Harris Corp.:4.85%, 4/27/2035 . . . . . . . . . . . 100,000 111,7445.05%, 4/27/2045 . . . . . . . . . . . 115,000 134,7596.15%, 12/15/2040 . . . . . . . . . . 93,000 120,118

Lockheed Martin Corp.:3.60%, 3/1/2035. . . . . . . . . . . . 56,000 58,0533.80%, 3/1/2045. . . . . . . . . . . . 647,000 687,6644.07%, 12/15/2042 . . . . . . . . . . 479,000 527,6814.09%, 9/15/2052 . . . . . . . . . . . 397,000 441,0004.50%, 5/15/2036 . . . . . . . . . . . 275,000 315,6944.70%, 5/15/2046 . . . . . . . . . . . 773,000 937,3485.72%, 6/1/2040. . . . . . . . . . . . 26,000 33,925Series B, 6.15%, 9/1/2036. . . . . . 230,000 309,336

Northrop Grumman Corp.:3.85%, 4/15/2045 . . . . . . . . . . . 474,000 488,3244.03%, 10/15/2047 . . . . . . . . . . 396,000 422,3024.75%, 6/1/2043. . . . . . . . . . . . 531,000 614,4735.05%, 11/15/2040 . . . . . . . . . . 126,000 148,717

Northrop Grumman Systems Corp.7.75%, 2/15/2031 . . . . . . . . . . . 58,000 82,843

Raytheon Co.:4.20%, 12/15/2044 . . . . . . . . . . 82,000 90,8504.70%, 12/15/2041 . . . . . . . . . . 132,000 155,9614.88%, 10/15/2040 . . . . . . . . . . 318,000 376,432

Rockwell Collins, Inc.:4.35%, 4/15/2047 . . . . . . . . . . . 320,000 350,9124.80%, 12/15/2043 . . . . . . . . . . 180,000 206,876

United Technologies Corp.:3.75%, 11/1/2046 . . . . . . . . . . . 525,000 534,0404.15%, 5/15/2045 . . . . . . . . . . . 285,000 306,4754.45%, 11/16/2038 . . . . . . . . . . 76,000 85,2284.50%, 6/1/2042. . . . . . . . . . . . 936,000 1,055,4714.63%, 11/16/2048 . . . . . . . . . . 609,000 709,357


5.40%, 5/1/2035. . . . . . . . . . . . $ 216,000 $ 262,1445.70%, 4/15/2040 . . . . . . . . . . . 513,000 654,6556.05%, 6/1/2036. . . . . . . . . . . . 298,000 384,1466.13%, 7/15/2038 . . . . . . . . . . . 137,000 181,5637.50%, 9/15/2029 . . . . . . . . . . . 566,000 779,557

13,654,592


3.88%, 9/16/2046 . . . . . . . . . . . 266,000 236,3014.25%, 8/9/2042. . . . . . . . . . . . 333,000 308,9714.50%, 5/2/2043. . . . . . . . . . . . 236,000 225,6685.38%, 1/31/2044 . . . . . . . . . . . 847,000 908,6625.80%, 2/14/2039 . . . . . . . . . . . 515,000 577,2435.95%, 2/14/2049 . . . . . . . . . . . 1,010,000 1,148,4316.20%, 2/14/2059 . . . . . . . . . . . 175,000 200,571

Archer-Daniels-Midland Co.:3.75%, 9/15/2047 . . . . . . . . . . . 249,000 257,5234.02%, 4/16/2043 . . . . . . . . . . . 86,000 91,8344.50%, 3/15/2049 . . . . . . . . . . . 415,000 483,7614.54%, 3/26/2042 . . . . . . . . . . . 245,000 279,6905.38%, 9/15/2035 . . . . . . . . . . . 155,000 190,958

BAT Capital Corp.:4.39%, 8/15/2037 . . . . . . . . . . . 1,126,000 1,069,8694.54%, 8/15/2047 . . . . . . . . . . . 230,000 213,859

Philip Morris International, Inc.:3.38%, 8/15/2029 . . . . . . . . . . . 500,000 514,8853.88%, 8/21/2042 . . . . . . . . . . . 274,000 271,1974.13%, 3/4/2043. . . . . . . . . . . . 478,000 488,0914.25%, 11/10/2044 . . . . . . . . . . 174,000 182,0074.38%, 11/15/2041 . . . . . . . . . . 409,000 431,8794.50%, 3/20/2042 . . . . . . . . . . . 435,000 465,5024.88%, 11/15/2043 . . . . . . . . . . 430,000 487,4916.38%, 5/16/2038 . . . . . . . . . . . 82,000 108,554

Reynolds American, Inc.:5.70%, 8/15/2035 . . . . . . . . . . . 309,000 339,7805.85%, 8/15/2045 . . . . . . . . . . . 936,000 1,007,0426.15%, 9/15/2043 . . . . . . . . . . . 226,000 249,8387.25%, 6/15/2037 . . . . . . . . . . . 195,000 242,691

10,982,298


Through TrustSeries A, Class A, 3.70%,4/1/2028. . . . . . . . . . . . . . . . . 3,008 3,108

American Airlines 2015-2 PassThrough TrustSeries AA, Class AA, 3.60%,3/22/2029 . . . . . . . . . . . . . . . . 1,716 1,779


SPDR PORTFOLIO LONG TERM CORPORATE BOND ETFSCHEDULE OF INVESTMENTSJune 30, 2019

1


American Airlines 2016-2 PassThrough TrustSeries AA, Class AA, 3.20%,12/15/2029 . . . . . . . . . . . . . . . $ 32,449 $ 32,696




United Airlines 2014-1 Pass ThroughTrustSeries A, Class A, 4.00%,10/11/2027 . . . . . . . . . . . . . . . 56,812 59,719

United Airlines 2014-2 Pass ThroughTrustSeries A, Class A, 3.75%,3/3/2028. . . . . . . . . . . . . . . . . 22,440 23,298

United Airlines 2018-1 Pass ThroughTrustSeries AA, Class AA, 3.50%,9/1/2031. . . . . . . . . . . . . . . . . 112,998 115,556

United Airlines 2019-1 Pass ThroughTrustSeries AA, Class AA, 4.15%,2/25/2033 . . . . . . . . . . . . . . . . 160,000 170,855

US Airways 2013-1 Pass ThroughTrustClass A, 3.95%, 5/15/2027 . . . . . 6,186 6,425

882,933

APPAREL — 0.1%NIKE, Inc.:

3.38%, 11/1/2046 . . . . . . . . . . . 364,000 359,7273.63%, 5/1/2043. . . . . . . . . . . . 181,000 187,6483.88%, 11/1/2045 . . . . . . . . . . . 248,000 266,927

VF Corp.6.45%, 11/1/2037 . . . . . . . . . . . 51,000 69,057

883,359


Daimler Finance NorthAmerica LLC8.50%, 1/18/2031 . . . . . . . . . . . 320,000 476,182

Ford Motor Co.:4.75%, 1/15/2043 . . . . . . . . . . . 101,000 87,7865.29%, 12/8/2046 . . . . . . . . . . . 255,000 237,1326.63%, 10/1/2028 . . . . . . . . . . . 69,000 77,8147.40%, 11/1/2046 . . . . . . . . . . . 273,000 308,5887.45%, 7/16/2031 . . . . . . . . . . . 1,382,000 1,634,740

General Motors Co.:


5.00%, 4/1/2035. . . . . . . . . . . . $ 582,000 $ 571,6115.15%, 4/1/2038. . . . . . . . . . . . 329,000 325,6255.20%, 4/1/2045. . . . . . . . . . . . 111,000 106,2455.40%, 4/1/2048. . . . . . . . . . . . 437,000 425,9485.95%, 4/1/2049. . . . . . . . . . . . 219,000 229,9636.25%, 10/2/2043 . . . . . . . . . . . 151,000 159,8996.60%, 4/1/2036. . . . . . . . . . . . 651,000 719,3036.75%, 4/1/2046. . . . . . . . . . . . 609,000 679,145

6,039,981

AUTO PARTS & EQUIPMENT —0.1%

Aptiv PLC5.40%, 3/15/2049 . . . . . . . . . . . 100,000 105,369

BorgWarner, Inc.4.38%, 3/15/2045 . . . . . . . . . . . 139,000 136,915

Lear Corp.5.25%, 5/15/2049 . . . . . . . . . . . 355,000 350,779

593,063


6.11%, 1/29/2037 . . . . . . . . . . . 571,000 727,6827.75%, 5/14/2038 . . . . . . . . . . . 832,000 1,232,0673 Month USD LIBOR + 1.19%,

3.95%, 1/23/2049 (b) . . . . . . . 175,000 185,1593 Month USD LIBOR + 1.81%,

4.24%, 4/24/2038 (b) . . . . . . . 286,000 311,402Series L, 4.75%, 4/21/2045 . . . . . 118,000 134,875Series MTN, 4.88%, 4/1/2044 . . . 130,000 155,450Series MTN, 5.00%, 1/21/2044 . . 184,000 223,680Series MTN, 5.88%, 2/7/2042 . . . 250,000 333,057Series MTN, 3 Month USD

LIBOR + 1.32%, 4.08%,4/23/2040 (b) . . . . . . . . . . . . 1,550,000 1,650,750

Series MTN, 3 Month USDLIBOR + 1.52%, 4.33%,3/15/2050 (b) . . . . . . . . . . . . 1,109,000 1,235,415

Series MTN, 3 Month USDLIBOR + 1.99%, 4.44%,1/20/2048 (b) . . . . . . . . . . . . 930,000 1,052,695

Bank of America NASeries BKNT, 6.00%, 10/15/2036 . 355,000 468,635

Bank of New York Mellon Corp.Series MTN, 3.30%, 8/23/2029 . . 189,000 195,857

Barclays PLC:4.95%, 1/10/2047 . . . . . . . . . . . 457,000 478,3195.25%, 8/17/2045 . . . . . . . . . . . 291,000 316,201

Citigroup, Inc.:4.65%, 7/30/2045 . . . . . . . . . . . 984,000 1,130,8824.65%, 7/23/2048 . . . . . . . . . . . 1,055,000 1,228,5264.75%, 5/18/2046 . . . . . . . . . . . 781,000 883,5455.30%, 5/6/2044. . . . . . . . . . . . 191,000 229,0825.88%, 2/22/2033 . . . . . . . . . . . 81,000 97,6805.88%, 1/30/2042 . . . . . . . . . . . 50,000 65,7906.00%, 10/31/2033 . . . . . . . . . . 432,000 530,7596.13%, 8/25/2036 . . . . . . . . . . . 698,000 864,850


2


6.63%, 6/15/2032 . . . . . . . . . . . $ 325,000 $ 419,3386.68%, 9/13/2043 . . . . . . . . . . . 290,000 405,5718.13%, 7/15/2039 . . . . . . . . . . . 171,000 273,3423 Month USD LIBOR + 1.17%,

3.88%, 1/24/2039 (b) . . . . . . . 182,000 189,5463 Month USD LIBOR + 1.84%,

4.28%, 4/24/2048 (b) . . . . . . . 20,000 22,301Cooperatieve Rabobank UA:

5.25%, 8/4/2045. . . . . . . . . . . . 535,000 645,6225.75%, 12/1/2043 . . . . . . . . . . . 151,000 192,795Series MTN, 5.25%, 5/24/2041 . . 434,000 557,911

Credit Suisse Group FundingGuernsey, Ltd.4.88%, 5/15/2045 . . . . . . . . . . . 650,000 760,058

Fifth Third Bancorp8.25%, 3/1/2038. . . . . . . . . . . . 257,000 379,286

First Republic Bank:Series BKNT, 4.38%, 8/1/2046 . . 287,000 296,850Series BKNT, 4.63%, 2/13/2047. . 100,000 107,050

Goldman Sachs Capital I6.35%, 2/15/2034 . . . . . . . . . . . 250,000 312,287

Goldman Sachs Group, Inc.:4.75%, 10/21/2045 . . . . . . . . . . 451,000 518,2585.15%, 5/22/2045 . . . . . . . . . . . 313,000 357,5966.13%, 2/15/2033 . . . . . . . . . . . 2,000 2,5856.25%, 2/1/2041. . . . . . . . . . . . 297,000 397,0336.45%, 5/1/2036. . . . . . . . . . . . 243,000 305,9496.75%, 10/1/2037 . . . . . . . . . . . 2,118,000 2,771,8053 Month USD LIBOR + 1.37%,

4.02%, 10/31/2038 (b) . . . . . . 1,511,000 1,555,7103 Month USD LIBOR + 1.43%,

4.41%, 4/23/2039 (b) . . . . . . . 774,000 834,767Series MTN, 4.80%, 7/8/2044 . . . 1,589,000 1,827,604

HSBC Bank USA NA:Series BKNT, 5.63%, 8/15/2035. . 95,000 114,476Series BKNT, 5.88%, 11/1/2034. . 684,000 860,103Series BKNT, 7.00%, 1/15/2039. . 377,000 530,443

HSBC Holdings PLC:5.25%, 3/14/2044 . . . . . . . . . . . 454,000 528,6926.50%, 5/2/2036. . . . . . . . . . . . 598,000 774,4166.50%, 9/15/2037 . . . . . . . . . . . 1,013,000 1,320,5876.80%, 6/1/2038. . . . . . . . . . . . 449,000 605,5357.63%, 5/17/2032 . . . . . . . . . . . 71,000 97,742

HSBC USA, Inc.7.20%, 7/15/2097 . . . . . . . . . . . 87,000 121,509

JPMorgan Chase & Co.:4.85%, 2/1/2044. . . . . . . . . . . . 764,000 912,1014.95%, 6/1/2045. . . . . . . . . . . . 183,000 216,5405.40%, 1/6/2042. . . . . . . . . . . . 300,000 380,8325.50%, 10/15/2040 . . . . . . . . . . 336,000 428,2025.60%, 7/15/2041 . . . . . . . . . . . 433,000 562,1345.63%, 8/16/2043 . . . . . . . . . . . 138,000 175,8266.40%, 5/15/2038 . . . . . . . . . . . 1,103,000 1,519,7358.75%, 9/1/2030. . . . . . . . . . . . 25,000 35,5413 Month USD LIBOR + 1.22%,

3.90%, 1/23/2049 (b) . . . . . . . 684,000 718,207


3 Month USD LIBOR + 1.36%,3.88%, 7/24/2038 (b) . . . . . . . $ 715,000 $ 748,390

3 Month USD LIBOR + 1.38%,3.96%, 11/15/2048 (b) . . . . . . 1,589,000 1,679,684

3 Month USD LIBOR + 1.46%,4.03%, 7/24/2048 (b) . . . . . . . 430,000 459,137

3 Month USD LIBOR + 1.58%,4.26%, 2/22/2048 (b) . . . . . . . 817,000 902,287

Lloyds Banking Group PLC:4.34%, 1/9/2048 (c) . . . . . . . . . 487,000 474,4605.30%, 12/1/2045 . . . . . . . . . . . 255,000 286,005

Mitsubishi UFJ Financial Group,Inc.:4.15%, 3/7/2039. . . . . . . . . . . . 175,000 191,6274.29%, 7/26/2038 . . . . . . . . . . . 95,000 105,697

Morgan Stanley:4.30%, 1/27/2045 . . . . . . . . . . . 781,000 854,9294.38%, 1/22/2047 . . . . . . . . . . . 1,147,000 1,276,2106.38%, 7/24/2042 . . . . . . . . . . . 243,000 338,6357.25%, 4/1/2032. . . . . . . . . . . . 160,000 225,6593 Month USD LIBOR + 1.43%,

4.46%, 4/22/2039 (b) . . . . . . . 711,000 787,3763 Month USD LIBOR + 1.46%,

3.97%, 7/22/2038 (b) . . . . . . . 450,000 468,846Regions Financial Corp.

7.38%, 12/10/2037 . . . . . . . . . . 189,000 258,561Wachovia Corp.:

5.50%, 8/1/2035. . . . . . . . . . . . 290,000 348,0937.57%, 8/1/2026 (d) . . . . . . . . . 38,000 47,558

Wells Fargo & Co.:3.90%, 5/1/2045. . . . . . . . . . . . 203,000 217,8785.38%, 2/7/2035. . . . . . . . . . . . 270,000 333,1725.38%, 11/2/2043 . . . . . . . . . . . 900,000 1,091,9615.61%, 1/15/2044 . . . . . . . . . . . 934,000 1,165,305Series GMTN, 4.90%,

11/17/2045 . . . . . . . . . . . . . 580,000 671,501Series MTN, 4.40%, 6/14/2046 . . 637,000 685,565Series MTN, 4.65%, 11/4/2044 . . 1,292,000 1,437,415Series MTN, 4.75%, 12/7/2046 . . 987,000 1,123,739

Wells Fargo Bank NA:5.95%, 8/26/2036 . . . . . . . . . . . 209,000 265,725Series BKNT, 5.85%, 2/1/2037 . . 210,000 268,355Series BKNT, 6.60%, 1/15/2038. . 184,000 255,416

Wells Fargo Capital X5.95%, 12/1/2086 . . . . . . . . . . . 336,000 400,079

54,137,508


LLC/Anheuser-Busch InBevWorldwide, Inc.:4.70%, 2/1/2036. . . . . . . . . . . . 1,690,000 1,855,3334.90%, 2/1/2046. . . . . . . . . . . . 3,658,000 4,070,513

Anheuser-Busch InBev Finance,Inc.:4.00%, 1/17/2043 . . . . . . . . . . . 18,000 17,7714.63%, 2/1/2044. . . . . . . . . . . . 70,000 74,767


3


4.70%, 2/1/2036 (c) . . . . . . . . . $ 173,000 $ 189,4594.90%, 2/1/2046. . . . . . . . . . . . 222,000 245,052

Anheuser-Busch InBev Worldwide,Inc.:3.75%, 7/15/2042 . . . . . . . . . . . 27,000 25,7264.38%, 4/15/2038 . . . . . . . . . . . 820,000 867,0354.44%, 10/6/2048 . . . . . . . . . . . 880,000 920,3664.60%, 4/15/2048 . . . . . . . . . . . 1,073,000 1,149,3984.75%, 4/15/2058 . . . . . . . . . . . 227,000 242,2914.90%, 1/23/2031 . . . . . . . . . . . 147,000 170,2734.95%, 1/15/2042 . . . . . . . . . . . 979,000 1,087,7185.45%, 1/23/2039 . . . . . . . . . . . 158,000 187,6835.55%, 1/23/2049 . . . . . . . . . . . 1,289,000 1,576,0225.80%, 1/23/2059 . . . . . . . . . . . 570,000 714,3585.88%, 6/15/2035 . . . . . . . . . . . 230,000 277,3628.00%, 11/15/2039 . . . . . . . . . . 317,000 467,9818.20%, 1/15/2039 . . . . . . . . . . . 294,000 446,427

Brown-Forman Corp.4.00%, 4/15/2038 . . . . . . . . . . . 279,000 301,353

Coca-Cola Femsa SAB de CV5.25%, 11/26/2043 . . . . . . . . . . 116,000 138,929

Constellation Brands, Inc.:4.50%, 5/9/2047. . . . . . . . . . . . 386,000 403,3785.25%, 11/15/2048 (c) . . . . . . . . 180,000 209,185

Diageo Capital PLC:3.88%, 4/29/2043 . . . . . . . . . . . 176,000 189,2395.88%, 9/30/2036 . . . . . . . . . . . 216,000 283,230

Diageo Investment Corp.:4.25%, 5/11/2042 . . . . . . . . . . . 563,000 630,7917.45%, 4/15/2035 . . . . . . . . . . . 183,000 266,722

Fomento Economico Mexicano SABde CV4.38%, 5/10/2043 . . . . . . . . . . . 223,000 241,765

Keurig Dr Pepper, Inc.:4.42%, 12/15/2046 . . . . . . . . . . 280,000 278,2144.50%, 11/15/2045 . . . . . . . . . . 200,000 202,1964.99%, 5/25/2038 . . . . . . . . . . . 110,000 121,1495.09%, 5/25/2048 (c) . . . . . . . . . 105,000 117,080

Molson Coors Brewing Co.:4.20%, 7/15/2046 . . . . . . . . . . . 532,000 511,6565.00%, 5/1/2042. . . . . . . . . . . . 863,000 911,345

PepsiCo, Inc.:3.45%, 10/6/2046 . . . . . . . . . . . 218,000 224,0713.60%, 8/13/2042 . . . . . . . . . . . 232,000 242,5634.00%, 3/5/2042. . . . . . . . . . . . 397,000 435,9304.00%, 5/2/2047 (c) . . . . . . . . . 582,000 655,0884.25%, 10/22/2044 . . . . . . . . . . 100,000 114,5464.45%, 4/14/2046 . . . . . . . . . . . 426,000 508,7934.60%, 7/17/2045 . . . . . . . . . . . 482,000 579,325

22,152,083


4.40%, 5/1/2045. . . . . . . . . . . . 220,000 233,6294.66%, 6/15/2051 . . . . . . . . . . . 1,638,000 1,789,6954.95%, 10/1/2041 . . . . . . . . . . . 69,000 77,776


5.15%, 11/15/2041 . . . . . . . . . . $ 281,000 $ 322,7575.65%, 6/15/2042 . . . . . . . . . . . 371,000 448,4835.75%, 3/15/2040 . . . . . . . . . . . 275,000 333,8316.38%, 6/1/2037. . . . . . . . . . . . 651,000 831,1326.40%, 2/1/2039. . . . . . . . . . . . 51,000 65,9106.90%, 6/1/2038. . . . . . . . . . . . 81,000 107,271

Baxalta, Inc.5.25%, 6/23/2045 . . . . . . . . . . . 182,000 220,973

Biogen, Inc.5.20%, 9/15/2045 . . . . . . . . . . . 621,000 695,731

Celgene Corp.:4.35%, 11/15/2047 . . . . . . . . . . 841,000 928,3554.55%, 2/20/2048 . . . . . . . . . . . 377,000 430,1684.63%, 5/15/2044 . . . . . . . . . . . 404,000 459,5665.00%, 8/15/2045 . . . . . . . . . . . 614,000 726,8415.25%, 8/15/2043 . . . . . . . . . . . 55,000 64,650

Genentech, Inc.5.25%, 7/15/2035 . . . . . . . . . . . 153,000 186,434

Gilead Sciences, Inc.:4.00%, 9/1/2036. . . . . . . . . . . . 192,000 202,3624.15%, 3/1/2047. . . . . . . . . . . . 486,000 510,1744.50%, 2/1/2045. . . . . . . . . . . . 976,000 1,068,9054.60%, 9/1/2035. . . . . . . . . . . . 386,000 433,2004.75%, 3/1/2046. . . . . . . . . . . . 564,000 641,6184.80%, 4/1/2044. . . . . . . . . . . . 469,000 532,3345.65%, 12/1/2041 . . . . . . . . . . . 74,000 92,392

11,404,187


Johnson Controls International PLC:4.50%, 2/15/2047 . . . . . . . . . . . 489,000 496,8244.63%, 7/2/2044. . . . . . . . . . . . 35,000 36,0284.95%, 7/2/2064 (d) . . . . . . . . . 53,000 52,5816.00%, 1/15/2036 . . . . . . . . . . . 61,000 71,998

Martin Marietta Materials, Inc.4.25%, 12/15/2047 . . . . . . . . . . 400,000 373,456

Owens Corning:4.30%, 7/15/2047 . . . . . . . . . . . 297,000 252,3794.40%, 1/30/2048 . . . . . . . . . . . 150,000 128,4457.00%, 12/1/2036 . . . . . . . . . . . 51,000 60,485

Vulcan Materials Co.:4.50%, 6/15/2047 . . . . . . . . . . . 25,000 24,3334.70%, 3/1/2048. . . . . . . . . . . . 48,000 47,755

1,544,284

CHEMICALS — 1.8%Albemarle Corp.

5.45%, 12/1/2044 . . . . . . . . . . . 362,000 384,712Dow Chemical Co

5.55%, 11/30/2048 (e) . . . . . . . . 55,000 65,307Dow Chemical Co.:

4.25%, 10/1/2034 . . . . . . . . . . . 260,000 271,7654.38%, 11/15/2042 . . . . . . . . . . 586,000 595,3354.63%, 10/1/2044 . . . . . . . . . . . 72,000 74,5394.80%, 5/15/2049 (e) . . . . . . . . . 185,000 199,310


4


7.38%, 11/1/2029 . . . . . . . . . . . $ 595,000 $ 783,7529.40%, 5/15/2039 . . . . . . . . . . . 513,000 813,613

DowDuPont, Inc.:5.32%, 11/15/2038 . . . . . . . . . . 950,000 1,116,2025.42%, 11/15/2048 . . . . . . . . . . 287,000 349,084

Eastman Chemical Co.:4.65%, 10/15/2044 . . . . . . . . . . 207,000 214,5434.80%, 9/1/2042. . . . . . . . . . . . 208,000 220,210

International Flavors & Fragrances,Inc.:4.38%, 6/1/2047. . . . . . . . . . . . 302,000 306,7445.00%, 9/26/2048 . . . . . . . . . . . 159,000 176,436

Lubrizol Corp.6.50%, 10/1/2034 . . . . . . . . . . . 146,000 201,343

LYB International Finance B.V.:4.88%, 3/15/2044 . . . . . . . . . . . 240,000 255,5695.25%, 7/15/2043 . . . . . . . . . . . 249,000 277,874

LyondellBasell Industries NV4.63%, 2/26/2055 . . . . . . . . . . . 361,000 363,249

Methanex Corp.5.65%, 12/1/2044 . . . . . . . . . . . 221,000 211,101

Mosaic Co.:4.88%, 11/15/2041 . . . . . . . . . . 120,000 119,0835.45%, 11/15/2033 . . . . . . . . . . 97,000 110,0435.63%, 11/15/2043 . . . . . . . . . . 312,000 343,509

Nutrien, Ltd.:4.13%, 3/15/2035 . . . . . . . . . . . 50,000 49,4354.90%, 6/1/2043. . . . . . . . . . . . 290,000 316,3325.00%, 4/1/2049. . . . . . . . . . . . 240,000 271,7865.25%, 1/15/2045 . . . . . . . . . . . 198,000 223,9385.63%, 12/1/2040 . . . . . . . . . . . 275,000 319,0586.13%, 1/15/2041 . . . . . . . . . . . 287,000 349,1647.13%, 5/23/2036 . . . . . . . . . . . 15,000 19,508

Praxair, Inc.3.55%, 11/7/2042 . . . . . . . . . . . 262,000 267,298

Rohm & Haas Co.7.85%, 7/15/2029 . . . . . . . . . . . 510,000 677,724

RPM International, Inc.:4.25%, 1/15/2048 . . . . . . . . . . . 330,000 303,4255.25%, 6/1/2045. . . . . . . . . . . . 162,000 170,186

Sherwin-Williams Co.:4.00%, 12/15/2042 . . . . . . . . . . 480,000 465,3464.55%, 8/1/2045. . . . . . . . . . . . 486,000 508,497

Westlake Chemical Corp.:4.38%, 11/15/2047 (c) . . . . . . . . 105,000 99,1755.00%, 8/15/2046 . . . . . . . . . . . 159,000 163,401

11,657,596

COMMERCIAL SERVICES —1.1%

American UniversitySeries 2019, 3.67%, 4/1/2049 . . . 145,000 150,300

Boston UniversitySeries CC, 4.06%, 10/1/2048. . . . 25,000 27,659

California Institute of Technology:4.32%, 8/1/2045. . . . . . . . . . . . 60,000 71,363


4.70%, 11/1/2111 . . . . . . . . . . . $ 84,000 $ 101,092Cleveland Clinic Foundation

4.86%, 1/1/2114. . . . . . . . . . . . 280,000 333,922Ecolab, Inc.:

3.95%, 12/1/2047 . . . . . . . . . . . 65,000 70,0155.50%, 12/8/2041 . . . . . . . . . . . 199,000 254,145

George Washington University:4.87%, 9/15/2045 . . . . . . . . . . . 81,000 99,692Series 2014, 4.30%, 9/15/2044. . . 340,000 386,978Series 2018, 4.13%, 9/15/2048. . . 91,000 102,049

Georgetown University:Series A, 5.22%, 10/1/2118 . . . . . 75,000 92,842Series B, 4.32%, 4/1/2049. . . . . . 100,000 115,941

Johns Hopkins UniversitySeries 2013, 4.08%, 7/1/2053 . . . 61,000 67,421

Massachusetts Institute ofTechnology:3.89%, 7/1/2116. . . . . . . . . . . . 107,000 113,4084.68%, 7/1/2114. . . . . . . . . . . . 461,000 580,5475.60%, 7/1/2111. . . . . . . . . . . . 241,000 362,657

Moody’s Corp.:4.25%, 2/1/2029. . . . . . . . . . . . 100,000 109,5044.88%, 12/17/2048 . . . . . . . . . . 160,000 186,333

Northwestern UniversitySeries 2017, 3.66%, 12/1/2057. . . 452,000 485,019

President & Fellows of HarvardCollege4.88%, 10/15/2040 . . . . . . . . . . 117,000 145,163

President and Fellows of HarvardCollege3.30%, 7/15/2056 . . . . . . . . . . . 309,000 304,180

Princeton University5.70%, 3/1/2039. . . . . . . . . . . . 302,000 411,970

S&P Global, Inc.6.55%, 11/15/2037 . . . . . . . . . . 247,000 335,853

University of Chicago4.00%, 10/1/2053 . . . . . . . . . . . 60,000 64,441

University of Notre Dame du Lac:Series 2015, 3.44%, 2/15/2045. . . 53,000 54,187Series 2017, 3.39%, 2/15/2048. . . 271,000 274,889

University of Pennsylvania4.67%, 9/1/2112. . . . . . . . . . . . 14,000 16,783

University of Southern California:3.03%, 10/1/2039 . . . . . . . . . . . 654,000 639,782Series 2017, 3.84%, 10/1/2047. . . 42,000 45,959

Verisk Analytics, Inc.5.50%, 6/15/2045 . . . . . . . . . . . 176,000 206,580

Western Union Co.6.20%, 11/17/2036 . . . . . . . . . . 254,000 274,566

William Marsh Rice University3.57%, 5/15/2045 . . . . . . . . . . . 257,000 267,164

6,752,404


3.45%, 2/9/2045. . . . . . . . . . . . 923,000 922,7233.75%, 9/12/2047 . . . . . . . . . . . 774,000 810,332


5


3.75%, 11/13/2047 . . . . . . . . . . $ 203,000 $ 213,0403.85%, 5/4/2043. . . . . . . . . . . . 1,167,000 1,241,4553.85%, 8/4/2046. . . . . . . . . . . . 377,000 400,8874.25%, 2/9/2047. . . . . . . . . . . . 638,000 715,6454.38%, 5/13/2045 . . . . . . . . . . . 1,245,000 1,418,7274.45%, 5/6/2044. . . . . . . . . . . . 652,000 748,1504.50%, 2/23/2036 . . . . . . . . . . . 278,000 325,3104.65%, 2/23/2046 . . . . . . . . . . . 1,167,000 1,384,681

Dell International LLC/EMC Corp.:5.30%, 10/1/2029 (e) . . . . . . . . . 810,000 853,0438.10%, 7/15/2036 (e) . . . . . . . . . 255,000 311,0728.35%, 7/15/2046 (e) . . . . . . . . . 581,000 733,327

Hewlett Packard Enterprise Co.:6.20%, 10/15/2035 . . . . . . . . . . 170,000 190,5436.35%, 10/15/2045 . . . . . . . . . . 582,000 644,425

HP, Inc.6.00%, 9/15/2041 . . . . . . . . . . . 335,000 369,207

International Business MachinesCorp.:4.00%, 6/20/2042 . . . . . . . . . . . 385,000 397,6164.15%, 5/15/2039 . . . . . . . . . . . 500,000 533,9604.25%, 5/15/2049 . . . . . . . . . . . 729,000 782,8374.70%, 2/19/2046 . . . . . . . . . . . 620,000 708,2385.60%, 11/30/2039 . . . . . . . . . . 182,000 230,2665.88%, 11/29/2032 . . . . . . . . . . 154,000 198,5896.22%, 8/1/2027. . . . . . . . . . . . 30,000 37,1136.50%, 1/15/2028 . . . . . . . . . . . 30,000 38,0427.13%, 12/1/2096 . . . . . . . . . . . 200,000 282,664

14,491,892

COSMETICS/PERSONAL CARE— 0.3%

Colgate-Palmolive Co.:Series MTN, 3.70%, 8/1/2047 . . . 180,000 193,005Series MTN, 4.00%, 8/15/2045 . . 168,000 188,168

Estee Lauder Cos., Inc.:4.15%, 3/15/2047 . . . . . . . . . . . 19,000 21,2834.38%, 6/15/2045 . . . . . . . . . . . 350,000 398,9626.00%, 5/15/2037 . . . . . . . . . . . 180,000 237,402

Procter & Gamble Co.:3.50%, 10/25/2047 . . . . . . . . . . 54,000 57,5955.50%, 2/1/2034. . . . . . . . . . . . 77,000 102,2785.55%, 3/5/2037. . . . . . . . . . . . 265,000 354,7905.80%, 8/15/2034 . . . . . . . . . . . 76,000 104,156

Unilever Capital Corp.5.90%, 11/15/2032 . . . . . . . . . . 234,000 313,878

1,971,517

DISTRIBUTION &WHOLESALE — 0.1%

WW Grainger, Inc.:3.75%, 5/15/2046 . . . . . . . . . . . 350,000 343,2104.20%, 5/15/2047 . . . . . . . . . . . 30,000 31,7294.60%, 6/15/2045 . . . . . . . . . . . 489,000 541,465

916,404



American Express Co.4.05%, 12/3/2042 . . . . . . . . . . . $ 248,000 $ 271,431

Brookfield Finance, Inc.4.70%, 9/20/2047 . . . . . . . . . . . 552,000 575,615

CME Group, Inc.5.30%, 9/15/2043 . . . . . . . . . . . 317,000 405,957

Credit Suisse USA, Inc.7.13%, 7/15/2032 . . . . . . . . . . . 134,000 190,683

GE Capital International FundingCo.4.42%, 11/15/2035 . . . . . . . . . . 2,017,000 1,996,326

Intercontinental Exchange, Inc.4.25%, 9/21/2048 . . . . . . . . . . . 425,000 477,058

Invesco Finance PLC5.38%, 11/30/2043 . . . . . . . . . . 94,000 106,232

Jefferies Group LLC:6.25%, 1/15/2036 . . . . . . . . . . . 82,000 87,5916.50%, 1/20/2043 . . . . . . . . . . . 75,000 80,772

Jefferies Group LLC/Jefferies GroupCapital Finance, Inc.4.15%, 1/23/2030 . . . . . . . . . . . 621,000 599,066

Legg Mason, Inc.5.63%, 1/15/2044 . . . . . . . . . . . 503,000 546,746

Mastercard, Inc.:2.95%, 6/1/2029. . . . . . . . . . . . 9,000 9,2823.65%, 6/1/2049. . . . . . . . . . . . 650,000 687,2713.80%, 11/21/2046 . . . . . . . . . . 212,000 228,5533.95%, 2/26/2048 . . . . . . . . . . . 50,000 55,568

National Rural Utilities CooperativeFinance Corp.:4.02%, 11/1/2032 . . . . . . . . . . . 177,000 195,7714.30%, 3/15/2049 . . . . . . . . . . . 80,000 90,2574.40%, 11/1/2048 . . . . . . . . . . . 350,000 399,385Series MTNC, 8.00%, 3/1/2032 . . 81,000 117,748

Raymond James Financial, Inc.4.95%, 7/15/2046 . . . . . . . . . . . 371,000 416,755

Visa, Inc.:3.65%, 9/15/2047 . . . . . . . . . . . 337,000 363,4314.15%, 12/14/2035 . . . . . . . . . . 477,000 547,0334.30%, 12/14/2045 . . . . . . . . . . 1,085,000 1,277,099

9,725,630

ELECTRIC — 10.5%AEP Texas, Inc.

Series G, 4.15%, 5/1/2049 . . . . . 100,000 107,005AEP Transmission Co. LLC:

3.75%, 12/1/2047 . . . . . . . . . . . 59,000 60,2023.80%, 6/15/2049 . . . . . . . . . . . 200,000 206,5904.25%, 9/15/2048 . . . . . . . . . . . 30,000 33,181

Alabama Power Co.:3.75%, 3/1/2045. . . . . . . . . . . . 186,000 190,7583.85%, 12/1/2042 . . . . . . . . . . . 85,000 88,0734.15%, 8/15/2044 . . . . . . . . . . . 390,000 421,8864.30%, 1/2/2046. . . . . . . . . . . . 60,000 66,9236.00%, 3/1/2039. . . . . . . . . . . . 3,000 3,966


6


6.13%, 5/15/2038 . . . . . . . . . . . $ 229,000 $ 304,231Series A, 4.30%, 7/15/2048 . . . . . 30,000 33,638Series B, 3.70%, 12/1/2047 . . . . . 550,000 560,593

Ameren Illinois Co.:3.70%, 12/1/2047 . . . . . . . . . . . 610,000 629,1114.15%, 3/15/2046 . . . . . . . . . . . 77,000 84,6874.50%, 3/15/2049 . . . . . . . . . . . 40,000 46,601

Appalachian Power Co.:4.40%, 5/15/2044 . . . . . . . . . . . 275,000 299,0904.45%, 6/1/2045. . . . . . . . . . . . 700,000 769,2027.00%, 4/1/2038. . . . . . . . . . . . 136,000 187,534

Arizona Public Service Co.:3.75%, 5/15/2046 . . . . . . . . . . . 36,000 36,0414.20%, 8/15/2048 . . . . . . . . . . . 80,000 86,0464.25%, 3/1/2049. . . . . . . . . . . . 100,000 108,7814.35%, 11/15/2045 . . . . . . . . . . 142,000 155,5814.50%, 4/1/2042. . . . . . . . . . . . 203,000 224,9045.05%, 9/1/2041. . . . . . . . . . . . 64,000 74,963

Avangrid, Inc.3.80%, 6/1/2029. . . . . . . . . . . . 6,000 6,278

Avista Corp.4.35%, 6/1/2048. . . . . . . . . . . . 160,000 176,939

Baltimore Gas & Electric Co.:3.50%, 8/15/2046 . . . . . . . . . . . 419,000 412,8534.25%, 9/15/2048 . . . . . . . . . . . 100,000 110,8516.35%, 10/1/2036 . . . . . . . . . . . 155,000 208,190

Berkshire Hathaway Energy Co.:4.45%, 1/15/2049 . . . . . . . . . . . 55,000 62,1164.50%, 2/1/2045. . . . . . . . . . . . 129,000 144,9915.15%, 11/15/2043 . . . . . . . . . . 96,000 117,3045.95%, 5/15/2037 . . . . . . . . . . . 70,000 91,3796.13%, 4/1/2036. . . . . . . . . . . . 422,000 564,244

Black Hills Corp.:4.20%, 9/15/2046 . . . . . . . . . . . 137,000 139,3034.35%, 5/1/2033. . . . . . . . . . . . 100,000 110,572

CenterPoint Energy HoustonElectric LLC:Series AC, 4.25%, 2/1/2049 . . . . 155,000 176,128Series K2, 6.95%, 3/15/2033 . . . . 400,000 567,276

Cleco Corporate Holdings LLC4.97%, 5/1/2046. . . . . . . . . . . . 110,000 117,354

Cleveland Electric Illuminating Co.5.95%, 12/15/2036 . . . . . . . . . . 130,000 158,174

CMS Energy Corp.4.88%, 3/1/2044. . . . . . . . . . . . 330,000 383,160

Commonwealth Edison Co.:3.65%, 6/15/2046 . . . . . . . . . . . 94,000 95,7283.70%, 3/1/2045. . . . . . . . . . . . 455,000 464,5963.80%, 10/1/2042 . . . . . . . . . . . 206,000 212,6154.00%, 3/1/2049. . . . . . . . . . . . 210,000 226,6664.35%, 11/15/2045 . . . . . . . . . . 170,000 191,6094.60%, 8/15/2043 . . . . . . . . . . . 69,000 79,4064.70%, 1/15/2044 . . . . . . . . . . . 264,000 309,8525.90%, 3/15/2036 . . . . . . . . . . . 50,000 64,3816.45%, 1/15/2038 . . . . . . . . . . . 173,000 238,965Series 123, 3.75%, 8/15/2047 . . . 214,000 221,807


Connecticut Light & Power Co.:4.00%, 4/1/2048. . . . . . . . . . . . $ 80,000 $ 87,6384.30%, 4/15/2044 . . . . . . . . . . . 236,000 265,040

Consolidated Edison Co. of NewYork, Inc.:3.85%, 6/15/2046 . . . . . . . . . . . 455,000 468,6593.95%, 3/1/2043. . . . . . . . . . . . 500,000 519,1854.45%, 3/15/2044 . . . . . . . . . . . 572,000 634,7664.63%, 12/1/2054 . . . . . . . . . . . 274,000 306,8915.70%, 6/15/2040 . . . . . . . . . . . 430,000 544,290Series 05-A, 5.30%, 3/1/2035 . . . 134,000 160,068Series 06-A, 5.85%, 3/15/2036 . . 194,000 246,000Series 09-C, 5.50%, 12/1/2039. . . 1,000 1,262Series 12-A, 4.20%, 3/15/2042 . . 313,000 336,437Series A, 4.13%, 5/15/2049 . . . . . 200,000 215,630Series C, 4.00%, 11/15/2057 . . . . 65,000 66,290Series C, 4.30%, 12/1/2056 . . . . . 167,000 179,806Series E, 4.65%, 12/1/2048 . . . . . 150,000 174,903

Consumers Energy Co.:3.75%, 2/15/2050 . . . . . . . . . . . 250,000 263,4803.95%, 5/15/2043 . . . . . . . . . . . 51,000 54,3003.95%, 7/15/2047 . . . . . . . . . . . 52,000 56,5934.05%, 5/15/2048 . . . . . . . . . . . 250,000 278,1874.35%, 4/15/2049 . . . . . . . . . . . 75,000 86,793

Dayton Power & Light Co.3.95%, 6/15/2049 (e) . . . . . . . . . 125,000 129,243

Delmarva Power & Light Co.4.15%, 5/15/2045 . . . . . . . . . . . 183,000 196,139

Dominion Energy, Inc.:4.70%, 12/1/2044 . . . . . . . . . . . 490,000 550,9227.00%, 6/15/2038 . . . . . . . . . . . 362,000 488,211Series A, 4.60%, 3/15/2049 . . . . . 210,000 232,850Series B, 5.95%, 6/15/2035 . . . . . 150,000 183,970Series C, 4.05%, 9/15/2042 . . . . . 594,000 602,393Series E, 6.30%, 3/15/2033 . . . . . 25,000 32,208Series F, 5.25%, 8/1/2033 . . . . . . 350,000 411,712

DTE Electric Co.:3.70%, 3/15/2045 . . . . . . . . . . . 76,000 78,8113.70%, 6/1/2046. . . . . . . . . . . . 107,000 110,9413.95%, 3/1/2049. . . . . . . . . . . . 258,000 280,6784.30%, 7/1/2044. . . . . . . . . . . . 159,000 179,012Series A, 4.05%, 5/15/2048 . . . . . 415,000 458,264

DTE Energy Co.6.38%, 4/15/2033 . . . . . . . . . . . 36,000 46,682

Duke Energy Carolinas LLC:3.70%, 12/1/2047 . . . . . . . . . . . 330,000 336,6263.75%, 6/1/2045. . . . . . . . . . . . 363,000 374,1993.88%, 3/15/2046 . . . . . . . . . . . 171,000 180,0034.00%, 9/30/2042 . . . . . . . . . . . 183,000 195,5195.30%, 2/15/2040 . . . . . . . . . . . 350,000 435,9286.00%, 1/15/2038 . . . . . . . . . . . 150,000 198,6166.05%, 4/15/2038 . . . . . . . . . . . 98,000 131,0226.10%, 6/1/2037. . . . . . . . . . . . 190,000 250,2196.45%, 10/15/2032 . . . . . . . . . . 70,000 93,731

Duke Energy Corp.:


7


3.75%, 9/1/2046. . . . . . . . . . . . $ 747,000 $ 730,3493.95%, 8/15/2047 . . . . . . . . . . . 252,000 255,1654.20%, 6/15/2049 . . . . . . . . . . . 155,000 163,4514.80%, 12/15/2045 . . . . . . . . . . 236,000 265,906

Duke Energy Florida LLC:3.40%, 10/1/2046 . . . . . . . . . . . 243,000 236,0213.85%, 11/15/2042 . . . . . . . . . . 250,000 260,4974.20%, 7/15/2048 . . . . . . . . . . . 55,000 60,6315.65%, 4/1/2040. . . . . . . . . . . . 66,000 85,2396.35%, 9/15/2037 . . . . . . . . . . . 86,000 117,6946.40%, 6/15/2038 . . . . . . . . . . . 201,000 281,044

Duke Energy Florida ProjectFinance LLCSeries 2026, 2.54%, 9/1/2031 . . . 50,000 49,403

Duke Energy Indiana LLC:3.75%, 5/15/2046 . . . . . . . . . . . 372,000 379,7416.12%, 10/15/2035 . . . . . . . . . . 217,000 283,9666.35%, 8/15/2038 . . . . . . . . . . . 119,000 164,0506.45%, 4/1/2039. . . . . . . . . . . . 118,000 165,113Series WWW, 4.90%, 7/15/2043. . 116,000 136,479

Duke Energy Ohio, Inc.3.70%, 6/15/2046 . . . . . . . . . . . 14,000 14,307

Duke Energy Progress LLC:3.60%, 9/15/2047 . . . . . . . . . . . 189,000 188,8003.70%, 10/15/2046 . . . . . . . . . . 190,000 193,4714.10%, 5/15/2042 . . . . . . . . . . . 143,000 153,8284.10%, 3/15/2043 . . . . . . . . . . . 75,000 80,4334.15%, 12/1/2044 . . . . . . . . . . . 163,000 176,5194.20%, 8/15/2045 . . . . . . . . . . . 25,000 27,3914.38%, 3/30/2044 . . . . . . . . . . . 63,000 70,5326.30%, 4/1/2038. . . . . . . . . . . . 145,000 198,089

El Paso Electric Co.:5.00%, 12/1/2044 . . . . . . . . . . . 37,000 40,2796.00%, 5/15/2035 . . . . . . . . . . . 59,000 71,780

Emera US Finance L.P.4.75%, 6/15/2046 . . . . . . . . . . . 310,000 334,478

Entergy Arkansas LLC4.20%, 4/1/2049. . . . . . . . . . . . 300,000 330,318

Entergy Louisiana LLC:4.00%, 3/15/2033 . . . . . . . . . . . 60,000 66,0834.20%, 9/1/2048. . . . . . . . . . . . 50,000 55,2734.20%, 4/1/2050. . . . . . . . . . . . 250,000 277,405

Entergy Mississippi LLC3.85%, 6/1/2049. . . . . . . . . . . . 200,000 209,312

Entergy Texas, Inc.4.50%, 3/30/2039 . . . . . . . . . . . 330,000 366,336

Exelon Corp.:4.45%, 4/15/2046 . . . . . . . . . . . 25,000 26,7574.95%, 6/15/2035 . . . . . . . . . . . 90,000 100,4545.10%, 6/15/2045 . . . . . . . . . . . 112,000 130,8485.63%, 6/15/2035 . . . . . . . . . . . 187,000 225,589

Exelon Generation Co. LLC:5.60%, 6/15/2042 . . . . . . . . . . . 922,000 1,026,7675.75%, 10/1/2041 . . . . . . . . . . . 230,000 251,9216.25%, 10/1/2039 . . . . . . . . . . . 6,000 7,131

FirstEnergy Corp.:


Series C, 4.85%, 7/15/2047 . . . . . $ 379,000 $ 427,262Series C, 7.38%, 11/15/2031 . . . . 715,000 978,792

Florida Power & Light Co.:3.70%, 12/1/2047 . . . . . . . . . . . 310,000 323,0663.80%, 12/15/2042 . . . . . . . . . . 90,000 95,5283.95%, 3/1/2048. . . . . . . . . . . . 10,000 10,8863.99%, 3/1/2049. . . . . . . . . . . . 200,000 219,1524.05%, 6/1/2042. . . . . . . . . . . . 716,000 781,2494.13%, 6/1/2048. . . . . . . . . . . . 418,000 467,8634.95%, 6/1/2035. . . . . . . . . . . . 195,000 230,9055.25%, 2/1/2041. . . . . . . . . . . . 101,000 125,5095.63%, 4/1/2034. . . . . . . . . . . . 140,000 179,1135.65%, 2/1/2037. . . . . . . . . . . . 100,000 128,7855.69%, 3/1/2040. . . . . . . . . . . . 169,000 218,2945.95%, 2/1/2038. . . . . . . . . . . . 85,000 114,710

Georgia Power Co.:4.30%, 3/15/2042 . . . . . . . . . . . 620,000 656,047Series 10-C, 4.75%, 9/1/2040 . . . 95,000 104,001

Iberdrola International B.V.6.75%, 7/15/2036 . . . . . . . . . . . 36,000 47,529

Indiana Michigan Power Co.:6.05%, 3/15/2037 . . . . . . . . . . . 67,000 85,676Series K, 4.55%, 3/15/2046. . . . . 112,000 126,234Series L, 3.75%, 7/1/2047. . . . . . 122,000 123,233

Interstate Power & Light Co.:3.70%, 9/15/2046 . . . . . . . . . . . 150,000 145,2676.25%, 7/15/2039 . . . . . . . . . . . 150,000 194,860

ITC Holdings Corp.5.30%, 7/1/2043. . . . . . . . . . . . 50,000 60,054

Jersey Central Power & Light Co.6.15%, 6/1/2037. . . . . . . . . . . . 71,000 86,800

John Sevier Combined CycleGeneration LLC4.63%, 1/15/2042 . . . . . . . . . . . 129,262 151,959

Kansas City Power & Light Co.:4.20%, 6/15/2047 . . . . . . . . . . . 114,000 125,5365.30%, 10/1/2041 . . . . . . . . . . . 150,000 180,615Series 2019, 4.13%, 4/1/2049 . . . 100,000 109,163Series B, 6.05%, 11/15/2035 . . . . 30,000 37,836

Kentucky Utilities Co.:4.38%, 10/1/2045 . . . . . . . . . . . 80,000 90,1485.13%, 11/1/2040 . . . . . . . . . . . 26,000 31,721

Louisville Gas & Electric Co.4.25%, 4/1/2049. . . . . . . . . . . . 50,000 56,062

MidAmerican Energy Co.:3.65%, 8/1/2048. . . . . . . . . . . . 181,000 186,5153.95%, 8/1/2047. . . . . . . . . . . . 130,000 140,6984.25%, 5/1/2046. . . . . . . . . . . . 400,000 449,7564.25%, 7/15/2049 . . . . . . . . . . . 54,000 61,3204.40%, 10/15/2044 . . . . . . . . . . 309,000 351,2934.80%, 9/15/2043 . . . . . . . . . . . 541,000 646,9716.75%, 12/30/2031 . . . . . . . . . . 37,000 50,437Series MTN, 5.75%, 11/1/2035 . . 216,000 274,465Series MTN, 5.80%, 10/15/2036 . 75,000 95,937

Mississippi Power Co.Series 12-A, 4.25%, 3/15/2042 . . 287,000 291,865


8


National Grid USA5.80%, 4/1/2035. . . . . . . . . . . . $ 82,000 $ 96,448

Nevada Power Co.:Series CC, 3.70%, 5/1/2029 . . . . 360,000 385,110Series N, 6.65%, 4/1/2036 . . . . . 129,000 175,802Series R, 6.75%, 7/1/2037 . . . . . 259,000 357,534

Northern States Power Co.:3.60%, 5/15/2046 . . . . . . . . . . . 401,000 409,0204.00%, 8/15/2045 . . . . . . . . . . . 173,000 184,9774.13%, 5/15/2044 . . . . . . . . . . . 470,000 515,9245.35%, 11/1/2039 . . . . . . . . . . . 6,000 7,5296.20%, 7/1/2037. . . . . . . . . . . . 84,000 114,5846.25%, 6/1/2036. . . . . . . . . . . . 39,000 52,311

NorthWestern Corp.4.18%, 11/15/2044 . . . . . . . . . . 111,000 118,844

NSTAR Electric Co.5.50%, 3/15/2040 . . . . . . . . . . . 122,000 153,356

Oglethorpe Power Corp.:5.05%, 10/1/2048 . . . . . . . . . . . 110,000 127,5005.38%, 11/1/2040 . . . . . . . . . . . 319,000 376,5865.95%, 11/1/2039 . . . . . . . . . . . 125,000 154,166

Ohio Edison Co.6.88%, 7/15/2036 . . . . . . . . . . . 15,000 20,059

Ohio Power Co.4.00%, 6/1/2049. . . . . . . . . . . . 90,000 96,512

Oklahoma Gas & Electric Co.:3.30%, 3/15/2030 . . . . . . . . . . . 300,000 304,9834.15%, 4/1/2047. . . . . . . . . . . . 157,000 165,203

Oncor Electric Delivery Co. LLC:3.75%, 4/1/2045. . . . . . . . . . . . 191,000 200,0193.80%, 9/30/2047 . . . . . . . . . . . 179,000 189,4553.80%, 6/1/2049 (e) . . . . . . . . . 75,000 79,2294.10%, 11/15/2048 . . . . . . . . . . 50,000 55,7934.55%, 12/1/2041 . . . . . . . . . . . 36,000 41,5235.25%, 9/30/2040 . . . . . . . . . . . 59,000 73,5685.30%, 6/1/2042. . . . . . . . . . . . 324,000 409,7567.00%, 5/1/2032. . . . . . . . . . . . 75,000 105,1227.25%, 1/15/2033 . . . . . . . . . . . 112,000 162,0127.50%, 9/1/2038. . . . . . . . . . . . 132,000 204,629

PacifiCorp:3.50%, 6/15/2029 . . . . . . . . . . . 335,000 358,0114.13%, 1/15/2049 . . . . . . . . . . . 400,000 440,0844.15%, 2/15/2050 . . . . . . . . . . . 595,000 658,2315.25%, 6/15/2035 . . . . . . . . . . . 50,000 60,2196.00%, 1/15/2039 . . . . . . . . . . . 50,000 66,5996.10%, 8/1/2036. . . . . . . . . . . . 147,000 192,8796.35%, 7/15/2038 . . . . . . . . . . . 195,000 265,834

PECO Energy Co.:4.15%, 10/1/2044 . . . . . . . . . . . 151,000 164,8205.95%, 10/1/2036 . . . . . . . . . . . 38,000 49,215

Potomac Electric Power Co.6.50%, 11/15/2037 . . . . . . . . . . 335,000 459,379

PPL Capital Funding, Inc.:4.00%, 9/15/2047 . . . . . . . . . . . 10,000 9,6494.70%, 6/1/2043. . . . . . . . . . . . 213,000 227,2605.00%, 3/15/2044 . . . . . . . . . . . 350,000 390,757


PPL Electric Utilities Corp.:3.95%, 6/1/2047. . . . . . . . . . . . $ 265,000 $ 283,9534.13%, 6/15/2044 . . . . . . . . . . . 210,000 229,5594.15%, 10/1/2045 . . . . . . . . . . . 20,000 21,9994.15%, 6/15/2048 . . . . . . . . . . . 135,000 149,3524.75%, 7/15/2043 . . . . . . . . . . . 513,000 604,3146.25%, 5/15/2039 . . . . . . . . . . . 150,000 201,349

Progress Energy, Inc.:6.00%, 12/1/2039 . . . . . . . . . . . 420,000 524,6057.00%, 10/30/2031 . . . . . . . . . . 190,000 256,4057.75%, 3/1/2031. . . . . . . . . . . . 63,000 88,200

Public Service Co. of Colorado:3.80%, 6/15/2047 . . . . . . . . . . . 202,000 210,9694.05%, 9/15/2049 . . . . . . . . . . . 100,000 109,6834.10%, 6/15/2048 . . . . . . . . . . . 65,000 71,715Series 17, 6.25%, 9/1/2037 . . . . . 51,000 68,988

Public Service Co. of NewHampshire3.60%, 7/1/2049. . . . . . . . . . . . 350,000 357,343

Public Service Electric & Gas Co.:Series MTN, 3.60%, 12/1/2047 . . 55,000 56,291Series MTN, 3.65%, 9/1/2042 . . . 315,000 324,053Series MTN, 3.80%, 1/1/2043 . . . 66,000 69,376Series MTN, 3.85%, 5/1/2049 . . . 125,000 133,889Series MTN, 3.95%, 5/1/2042 . . . 117,000 125,366Series MTN, 4.05%, 5/1/2048 . . . 50,000 54,942Series MTN, 4.15%, 11/1/2045 . . 156,000 166,942Series MTN, 5.50%, 3/1/2040 . . . 240,000 305,779

Puget Sound Energy, Inc.:4.22%, 6/15/2048 . . . . . . . . . . . 151,000 168,3244.30%, 5/20/2045 . . . . . . . . . . . 93,000 103,1045.64%, 4/15/2041 . . . . . . . . . . . 42,000 52,8845.76%, 10/1/2039 . . . . . . . . . . . 100,000 129,5685.80%, 3/15/2040 . . . . . . . . . . . 34,000 43,8906.27%, 3/15/2037 . . . . . . . . . . . 480,000 630,734

San Diego Gas & Electric Co.:4.15%, 5/15/2048 . . . . . . . . . . . 159,000 165,8504.50%, 8/15/2040 . . . . . . . . . . . 219,000 235,5726.00%, 6/1/2039. . . . . . . . . . . . 47,000 57,587Series RRR, 3.75%, 6/1/2047 . . . 155,000 150,454Series TTT, 4.10%, 6/15/2049 . . . 150,000 154,914

Sempra Energy:3.80%, 2/1/2038. . . . . . . . . . . . 167,000 161,3794.00%, 2/1/2048. . . . . . . . . . . . 473,000 462,4956.00%, 10/15/2039 . . . . . . . . . . 88,000 106,272

South Carolina Electric & Gas Co.:4.35%, 2/1/2042. . . . . . . . . . . . 579,000 629,3274.60%, 6/15/2043 . . . . . . . . . . . 102,000 115,5175.10%, 6/1/2065. . . . . . . . . . . . 96,000 120,2825.45%, 2/1/2041. . . . . . . . . . . . 104,000 128,0286.05%, 1/15/2038 . . . . . . . . . . . 190,000 246,7746.63%, 2/1/2032. . . . . . . . . . . . 50,000 65,611

Southaven Combined CycleGeneration LLC3.85%, 8/15/2033 . . . . . . . . . . . 715 752


9


Southern California Edison Co.:4.00%, 4/1/2047. . . . . . . . . . . . $ 150,000 $ 149,3554.05%, 3/15/2042 . . . . . . . . . . . 190,000 187,2264.50%, 9/1/2040. . . . . . . . . . . . 331,000 348,9074.65%, 10/1/2043 . . . . . . . . . . . 850,000 911,3365.50%, 3/15/2040 . . . . . . . . . . . 122,000 140,9996.00%, 1/15/2034 . . . . . . . . . . . 101,000 120,7526.05%, 3/15/2039 . . . . . . . . . . . 278,000 338,1846.65%, 4/1/2029. . . . . . . . . . . . 284,000 325,197Series 04-G, 5.75%, 4/1/2035 . . . 64,000 74,163Series 05-B, 5.55%, 1/15/2036. . . 55,000 61,115Series 05-E, 5.35%, 7/15/2035. . . 100,000 112,047Series 06-E, 5.55%, 1/15/2037. . . 317,000 363,488Series 08-A, 5.95%, 2/1/2038 . . . 139,000 166,243Series 13-A, 3.90%, 3/15/2043 . . 455,000 443,229Series B, 4.88%, 3/1/2049. . . . . . 55,000 61,834Series C, 3.60%, 2/1/2045 . . . . . 172,000 159,922

Southern Co.:4.25%, 7/1/2036. . . . . . . . . . . . 144,000 149,0344.40%, 7/1/2046. . . . . . . . . . . . 728,000 768,513

Southern Power Co.:5.15%, 9/15/2041 . . . . . . . . . . . 15,000 16,4225.25%, 7/15/2043 . . . . . . . . . . . 300,000 332,274Series F, 4.95%, 12/15/2046 . . . . 296,000 317,646

Southwestern Electric Power Co.:6.20%, 3/15/2040 . . . . . . . . . . . 215,000 276,922Series J, 3.90%, 4/1/2045 . . . . . . 447,000 444,685Series L, 3.85%, 2/1/2048. . . . . . 250,000 246,627

Southwestern Public Service Co.:3.70%, 8/15/2047 . . . . . . . . . . . 337,000 340,4073.75%, 6/15/2049 . . . . . . . . . . . 100,000 102,0704.50%, 8/15/2041 . . . . . . . . . . . 31,000 34,610Series 6, 4.40%, 11/15/2048 . . . . 100,000 112,747

Tampa Electric Co.:4.30%, 6/15/2048 . . . . . . . . . . . 100,000 108,8954.35%, 5/15/2044 . . . . . . . . . . . 382,000 410,776

Toledo Edison Co.6.15%, 5/15/2037 . . . . . . . . . . . 17,000 21,652

Tucson Electric Power Co.4.85%, 12/1/2048 . . . . . . . . . . . 116,000 135,545

Union Electric Co.:3.65%, 4/15/2045 . . . . . . . . . . . 72,000 73,5953.90%, 9/15/2042 . . . . . . . . . . . 165,000 173,5375.30%, 8/1/2037. . . . . . . . . . . . 95,000 116,0458.45%, 3/15/2039 . . . . . . . . . . . 54,000 85,784

Virginia Electric & Power Co.:4.00%, 1/15/2043 . . . . . . . . . . . 90,000 93,8244.45%, 2/15/2044 . . . . . . . . . . . 150,000 167,8968.88%, 11/15/2038 . . . . . . . . . . 153,000 250,567Series A, 6.00%, 5/15/2037 . . . . . 167,000 214,137Series B, 4.20%, 5/15/2045 . . . . . 250,000 269,945Series B, 6.00%, 1/15/2036 . . . . . 112,000 142,089Series C, 4.00%, 11/15/2046 . . . . 189,000 199,539Series D, 4.65%, 8/15/2043 . . . . . 50,000 57,360

Westar Energy, Inc.:


4.10%, 4/1/2043. . . . . . . . . . . . $ 117,000 $ 125,4854.13%, 3/1/2042. . . . . . . . . . . . 255,000 274,7324.25%, 12/1/2045 . . . . . . . . . . . 60,000 65,582

Wisconsin Electric Power Co.:4.30%, 10/15/2048 . . . . . . . . . . 270,000 301,3015.70%, 12/1/2036 . . . . . . . . . . . 94,000 121,353

Wisconsin Power & Light Co.:3.00%, 7/1/2029. . . . . . . . . . . . 200,000 203,6286.38%, 8/15/2037 . . . . . . . . . . . 87,000 118,799

Wisconsin Public Service Corp.4.75%, 11/1/2044 . . . . . . . . . . . 77,000 90,935

Xcel Energy, Inc.6.50%, 7/1/2036. . . . . . . . . . . . 305,000 400,227

67,432,466

ELECTRICAL COMPONENTS& EQUIPMENT — 0.0% (a)

Emerson Electric Co.:5.25%, 11/15/2039 . . . . . . . . . . 34,000 42,0026.13%, 4/15/2039 . . . . . . . . . . . 62,000 82,562

124,564

ELECTRONICS — 0.3%Amphenol Corp.

4.35%, 6/1/2029 (c) . . . . . . . . . 250,000 270,683Corning, Inc.:

4.38%, 11/15/2057 . . . . . . . . . . 191,000 186,2674.70%, 3/15/2037 . . . . . . . . . . . 165,000 179,5414.75%, 3/15/2042 . . . . . . . . . . . 180,000 197,1865.75%, 8/15/2040 . . . . . . . . . . . 94,000 112,1175.85%, 11/15/2068 . . . . . . . . . . 100,000 118,756

Fortive Corp.4.30%, 6/15/2046 . . . . . . . . . . . 107,000 108,307

Honeywell International, Inc.:3.81%, 11/21/2047 . . . . . . . . . . 319,000 341,1645.70%, 3/15/2037 . . . . . . . . . . . 111,000 143,499Series 30, 5.38%, 3/1/2041 . . . . . 145,000 186,596

Tyco Electronics Group SA7.13%, 10/1/2037 . . . . . . . . . . . 147,000 199,417

2,043,533

ENVIRONMENTAL CONTROL— 0.2%

Republic Services, Inc.:5.70%, 5/15/2041 . . . . . . . . . . . 160,000 203,5026.20%, 3/1/2040. . . . . . . . . . . . 100,000 132,967

Waste Management, Inc.:3.45%, 6/15/2029 . . . . . . . . . . . 19,000 20,0213.90%, 3/1/2035. . . . . . . . . . . . 78,000 82,5234.00%, 7/15/2039 . . . . . . . . . . . 210,000 225,6984.10%, 3/1/2045. . . . . . . . . . . . 224,000 241,8754.15%, 7/15/2049 . . . . . . . . . . . 475,000 519,517

1,426,103


3.80%, 8/2/2042. . . . . . . . . . . . 250,000 218,085


10


4.80%, 3/15/2048 (c) . . . . . . . . . $ 137,000 $ 139,041Conagra Brands, Inc.:

5.30%, 11/1/2038 . . . . . . . . . . . 89,000 96,4505.40%, 11/1/2048 . . . . . . . . . . . 255,000 279,8507.00%, 10/1/2028 . . . . . . . . . . . 174,000 215,5708.25%, 9/15/2030 . . . . . . . . . . . 68,000 92,249

General Mills, Inc.:4.15%, 2/15/2043 . . . . . . . . . . . 130,000 128,1704.55%, 4/17/2038 (c) . . . . . . . . . 175,000 186,1674.70%, 4/17/2048 (c) . . . . . . . . . 150,000 161,5645.40%, 6/15/2040 . . . . . . . . . . . 196,000 226,476

Hershey Co.3.38%, 8/15/2046 . . . . . . . . . . . 183,000 182,499

JM Smucker Co.:4.25%, 3/15/2035 . . . . . . . . . . . 142,000 145,8524.38%, 3/15/2045 . . . . . . . . . . . 309,000 312,986

Kellogg Co.:4.50%, 4/1/2046. . . . . . . . . . . . 171,000 170,207Series B, 7.45%, 4/1/2031. . . . . . 149,000 201,189

Koninklijke Ahold Delhaize NV5.70%, 10/1/2040 . . . . . . . . . . . 264,000 302,180

Kraft Heinz Foods Co.:4.38%, 6/1/2046. . . . . . . . . . . . 844,000 799,6735.00%, 7/15/2035 (c) . . . . . . . . . 337,000 354,8245.00%, 6/4/2042. . . . . . . . . . . . 838,000 862,5285.20%, 7/15/2045 . . . . . . . . . . . 624,000 653,0916.50%, 2/9/2040. . . . . . . . . . . . 123,000 143,7186.75%, 3/15/2032 . . . . . . . . . . . 50,000 60,5146.88%, 1/26/2039 . . . . . . . . . . . 268,000 323,664

Kroger Co.:3.88%, 10/15/2046 . . . . . . . . . . 33,000 29,5414.65%, 1/15/2048 . . . . . . . . . . . 325,000 326,6415.00%, 4/15/2042 . . . . . . . . . . . 110,000 114,3925.15%, 8/1/2043. . . . . . . . . . . . 400,000 423,8725.40%, 7/15/2040 . . . . . . . . . . . 250,000 270,4975.40%, 1/15/2049 . . . . . . . . . . . 530,000 588,8516.90%, 4/15/2038 . . . . . . . . . . . 108,000 135,935

Mondelez International, Inc.4.63%, 5/7/2048. . . . . . . . . . . . 240,000 259,320

Sysco Corp.:4.45%, 3/15/2048 . . . . . . . . . . . 200,000 218,4724.85%, 10/1/2045 . . . . . . . . . . . 310,000 351,763

Tyson Foods, Inc.:4.55%, 6/2/2047. . . . . . . . . . . . 270,000 282,0855.10%, 9/28/2048 . . . . . . . . . . . 464,000 523,8375.15%, 8/15/2044 . . . . . . . . . . . 234,000 261,762

10,043,515

FOREST PRODUCTS & PAPER— 0.5%

Celulosa Arauco y Constitucion SA5.50%, 11/2/2047 (c) . . . . . . . . . 115,000 123,193

Georgia-Pacific LLC:7.75%, 11/15/2029 . . . . . . . . . . 243,000 343,5538.88%, 5/15/2031 . . . . . . . . . . . 73,000 113,257

International Paper Co.:


4.35%, 8/15/2048 . . . . . . . . . . . $ 733,000 $ 718,0404.40%, 8/15/2047 . . . . . . . . . . . 645,000 629,8494.80%, 6/15/2044 . . . . . . . . . . . 169,000 173,8065.00%, 9/15/2035 . . . . . . . . . . . 195,000 214,3835.15%, 5/15/2046 . . . . . . . . . . . 140,000 149,8486.00%, 11/15/2041 . . . . . . . . . . 100,000 117,2427.30%, 11/15/2039 . . . . . . . . . . 142,000 184,739

Suzano Austria GmbH6.00%, 1/15/2029 (e) . . . . . . . . . 200,000 218,462

2,986,372

GAS — 0.9%Atmos Energy Corp.:

4.13%, 10/15/2044 . . . . . . . . . . 95,000 104,0294.13%, 3/15/2049 . . . . . . . . . . . 295,000 325,4174.15%, 1/15/2043 . . . . . . . . . . . 116,000 125,8485.50%, 6/15/2041 . . . . . . . . . . . 258,000 326,107

CenterPoint Energy ResourcesCorp.:4.10%, 9/1/2047. . . . . . . . . . . . 326,000 334,1475.85%, 1/15/2041 . . . . . . . . . . . 98,000 121,4706.63%, 11/1/2037 . . . . . . . . . . . 51,000 66,931

Dominion Energy GasHoldings LLC4.80%, 11/1/2043 . . . . . . . . . . . 153,000 174,325

NiSource, Inc.:3.95%, 3/30/2048 . . . . . . . . . . . 105,000 105,3394.38%, 5/15/2047 . . . . . . . . . . . 441,000 472,2494.80%, 2/15/2044 . . . . . . . . . . . 527,000 587,6585.25%, 2/15/2043 . . . . . . . . . . . 160,000 186,0995.65%, 2/1/2045. . . . . . . . . . . . 167,000 203,6655.95%, 6/15/2041 . . . . . . . . . . . 111,000 136,255

ONE Gas, Inc.:4.50%, 11/1/2048 . . . . . . . . . . . 204,000 233,2394.66%, 2/1/2044. . . . . . . . . . . . 109,000 125,555

Piedmont Natural Gas Co., Inc.:3.50%, 6/1/2029. . . . . . . . . . . . 11,000 11,4663.64%, 11/1/2046 . . . . . . . . . . . 295,000 281,203

Southern California Gas Co.:3.75%, 9/15/2042 . . . . . . . . . . . 455,000 455,7735.13%, 11/15/2040 . . . . . . . . . . 100,000 117,025Series VV, 4.30%, 1/15/2049 . . . . 71,000 78,033Series WW, 3.95%, 2/15/2050 . . . 125,000 129,843

Southern Co. Gas Capital Corp.:4.40%, 6/1/2043. . . . . . . . . . . . 43,000 45,4234.40%, 5/30/2047 . . . . . . . . . . . 331,000 349,9805.88%, 3/15/2041 . . . . . . . . . . . 165,000 200,963

Southwest Gas Corp.:3.80%, 9/29/2046 . . . . . . . . . . . 112,000 109,9254.15%, 6/1/2049. . . . . . . . . . . . 55,000 57,581

Washington Gas Light Co.Series K, 3.80%, 9/15/2046. . . . . 102,000 102,147

5,567,695


11


HAND & MACHINE TOOLS —0.1%

Snap-on, Inc.4.10%, 3/1/2048. . . . . . . . . . . . $ 56,000 $ 60,730

Stanley Black & Decker, Inc.:4.85%, 11/15/2048 . . . . . . . . . . 100,000 117,5615.20%, 9/1/2040. . . . . . . . . . . . 181,000 216,364

394,655

HEALTH CARE PRODUCTS —1.3%

Abbott Laboratories:4.75%, 11/30/2036 . . . . . . . . . . 300,000 354,9454.75%, 4/15/2043 . . . . . . . . . . . 174,000 204,0414.90%, 11/30/2046 . . . . . . . . . . 1,359,000 1,676,1235.30%, 5/27/2040 . . . . . . . . . . . 206,000 255,6656.00%, 4/1/2039. . . . . . . . . . . . 187,000 247,9306.15%, 11/30/2037 . . . . . . . . . . 160,000 213,544

Baxter International, Inc.3.50%, 8/15/2046 . . . . . . . . . . . 86,000 80,318

Becton Dickinson and Co.:4.67%, 6/6/2047. . . . . . . . . . . . 162,000 181,7534.69%, 12/15/2044 . . . . . . . . . . 247,000 273,834

Boston Scientific Corp.:4.55%, 3/1/2039. . . . . . . . . . . . 285,000 316,6954.70%, 3/1/2049. . . . . . . . . . . . 345,000 393,8287.00%, 11/15/2035 . . . . . . . . . . 235,000 314,0337.38%, 1/15/2040 . . . . . . . . . . . 130,000 188,794

Danaher Corp.4.38%, 9/15/2045 . . . . . . . . . . . 127,000 141,013

Koninklijke Philips NV:5.00%, 3/15/2042 . . . . . . . . . . . 210,000 244,9366.88%, 3/11/2038 . . . . . . . . . . . 413,000 570,935

Medtronic, Inc.:4.00%, 4/1/2043. . . . . . . . . . . . 87,000 93,5554.38%, 3/15/2035 . . . . . . . . . . . 393,000 451,1914.63%, 3/15/2045 . . . . . . . . . . . 1,179,000 1,425,588

Stryker Corp.:4.10%, 4/1/2043. . . . . . . . . . . . 40,000 41,7124.38%, 5/15/2044 . . . . . . . . . . . 146,000 157,9184.63%, 3/15/2046 . . . . . . . . . . . 247,000 283,393

Thermo Fisher Scientific, Inc.:4.10%, 8/15/2047 . . . . . . . . . . . 130,000 139,2885.30%, 2/1/2044. . . . . . . . . . . . 130,000 158,814

Zimmer Biomet Holdings, Inc.4.45%, 8/15/2045 (c) . . . . . . . . . 217,000 218,875

8,628,721

HEALTH CARE SERVICES —3.5%

Advocate Health & Hospitals Corp.4.27%, 8/15/2048 . . . . . . . . . . . 30,000 33,836

Aetna, Inc.:3.88%, 8/15/2047 . . . . . . . . . . . 60,000 54,2904.13%, 11/15/2042 . . . . . . . . . . 263,000 247,1734.50%, 5/15/2042 . . . . . . . . . . . 138,000 137,0854.75%, 3/15/2044 . . . . . . . . . . . 200,000 204,522


6.63%, 6/15/2036 . . . . . . . . . . . $ 443,000 $ 551,2696.75%, 12/15/2037 . . . . . . . . . . 193,000 242,138

AHS Hospital Corp.5.02%, 7/1/2045. . . . . . . . . . . . 132,000 161,639

Allina Health SystemSeries 2019, 3.89%, 4/15/2049. . . 100,000 105,995

Anthem, Inc.:4.38%, 12/1/2047 . . . . . . . . . . . 166,000 176,3684.63%, 5/15/2042 . . . . . . . . . . . 669,000 728,1534.65%, 1/15/2043 . . . . . . . . . . . 360,000 391,8784.65%, 8/15/2044 . . . . . . . . . . . 393,000 428,6335.10%, 1/15/2044 . . . . . . . . . . . 170,000 195,9085.85%, 1/15/2036 . . . . . . . . . . . 2,000 2,4075.95%, 12/15/2034 . . . . . . . . . . 154,000 189,3526.38%, 6/15/2037 . . . . . . . . . . . 200,000 253,788

Ascension Health:3.95%, 11/15/2046 . . . . . . . . . . 215,000 232,2544.85%, 11/15/2053 . . . . . . . . . . 101,000 123,773

Baylor Scott & White Holdings:3.97%, 11/15/2046 . . . . . . . . . . 87,000 92,0484.19%, 11/15/2045 . . . . . . . . . . 291,000 319,888

Children’s Hospital Corp.Series 2017, 4.12%, 1/1/2047 . . . 327,000 359,069

Children’s Hospital Medical Center4.27%, 5/15/2044 . . . . . . . . . . . 205,000 228,971

Cigna Corp.:4.80%, 8/15/2038 (e) . . . . . . . . . 599,000 644,9914.90%, 12/15/2048 (e) . . . . . . . . 890,000 971,933

Cigna Holding Co.3.88%, 10/15/2047 . . . . . . . . . . 538,000 501,244

City of HopeSeries 2018, 4.38%, 8/15/2048. . . 150,000 165,798

CommonSpirit Health4.35%, 11/1/2042 . . . . . . . . . . . 141,000 141,718

Dartmouth-Hitchcock HealthSeries B, 4.18%, 8/1/2048. . . . . . 100,000 107,803

Dignity Health5.27%, 11/1/2064 . . . . . . . . . . . 146,000 164,393

Duke University Health System, Inc.Series 2017, 3.92%, 6/1/2047 . . . 62,000 67,892

Hackensack Meridian Health, Inc.:4.21%, 7/1/2048. . . . . . . . . . . . 170,000 188,0544.50%, 7/1/2057. . . . . . . . . . . . 137,000 159,713

HCA, Inc.:5.13%, 6/15/2039 . . . . . . . . . . . 125,000 130,2245.25%, 6/15/2049 . . . . . . . . . . . 875,000 912,3805.50%, 6/15/2047 . . . . . . . . . . . 770,000 825,471

Humana, Inc.:4.63%, 12/1/2042 . . . . . . . . . . . 171,000 178,8934.80%, 3/15/2047 . . . . . . . . . . . 70,000 76,4564.95%, 10/1/2044 . . . . . . . . . . . 299,000 331,140

Indiana University Health, Inc.3.97%, 11/1/2048 . . . . . . . . . . . 170,000 183,598

Johns Hopkins Health System Corp.3.84%, 5/15/2046 . . . . . . . . . . . 91,000 96,895

Kaiser Foundation Hospitals:


12


4.15%, 5/1/2047. . . . . . . . . . . . $ 284,000 $ 316,4844.88%, 4/1/2042. . . . . . . . . . . . 274,000 331,241

Laboratory Corp. of AmericaHoldings4.70%, 2/1/2045. . . . . . . . . . . . 259,000 267,677

Mayo Clinic:3.77%, 11/15/2043 . . . . . . . . . . 190,000 196,422Series 2013, 4.00%, 11/15/2047 . . 51,000 54,413

McLaren Health Care Corp.Series A, 4.39%, 5/15/2048 . . . . . 65,000 72,881

Memorial Sloan-Kettering CancerCenter:4.13%, 7/1/2052. . . . . . . . . . . . 12,000 13,364Series 2015, 4.20%, 7/1/2055 . . . 222,000 253,675

Montefiore Obligated GroupSeries 18-C, 5.25%, 11/1/2048. . . 85,000 94,233

Mount Sinai Hospitals Group, Inc.Series 2017, 3.98%, 7/1/2048 . . . 50,000 50,788

New York and Presbyterian Hospital:4.02%, 8/1/2045. . . . . . . . . . . . 21,000 23,2444.06%, 8/1/2056. . . . . . . . . . . . 279,000 293,968

Northwell Healthcare, Inc.:3.98%, 11/1/2046 . . . . . . . . . . . 229,000 233,7134.26%, 11/1/2047 . . . . . . . . . . . 137,000 145,909

NYU Langone Hospitals:4.37%, 7/1/2047. . . . . . . . . . . . 37,000 40,9264.78%, 7/1/2044. . . . . . . . . . . . 326,000 373,661

Orlando Health Obligated Group4.09%, 10/1/2048 . . . . . . . . . . . 65,000 69,006

Partners Healthcare System, Inc.:Series 2015, 4.12%, 7/1/2055 . . . 113,000 121,013Series 2017, 3.77%, 7/1/2048 . . . 40,000 40,110

PeaceHealth Obligated GroupSeries 2018, 4.79%, 11/15/2048 . . 100,000 120,112

Providence St. Joseph HealthObligated Group:Series A, 3.93%, 10/1/2048 . . . . . 185,000 191,836Series I, 3.74%, 10/1/2047 . . . . . 195,000 198,533

Quest Diagnostics, Inc.:4.20%, 6/30/2029 . . . . . . . . . . . 450,000 483,3274.70%, 3/30/2045 . . . . . . . . . . . 81,000 84,581

RWJ Barnabas Health, Inc.3.95%, 7/1/2046. . . . . . . . . . . . 262,000 271,626

Stanford Health CareSeries 2018, 3.80%, 11/15/2048 . . 145,000 155,552

Sutter HealthSeries 2018, 4.09%, 8/15/2048. . . 50,000 53,927

Texas Health Resources4.33%, 11/15/2055 . . . . . . . . . . 43,000 48,051

Toledo Hospital:5.75%, 11/15/2038 . . . . . . . . . . 100,000 115,3276.02%, 11/15/2048 (c) . . . . . . . . 110,000 128,040

Trinity Health Corp.4.13%, 12/1/2045 . . . . . . . . . . . 265,000 287,793

UnitedHealth Group, Inc.:3.75%, 10/15/2047 . . . . . . . . . . 218,000 223,422


3.95%, 10/15/2042 . . . . . . . . . . $ 321,000 $ 336,7004.20%, 1/15/2047 . . . . . . . . . . . 529,000 578,9804.25%, 3/15/2043 . . . . . . . . . . . 111,000 121,8284.25%, 4/15/2047 . . . . . . . . . . . 815,000 898,3014.25%, 6/15/2048 . . . . . . . . . . . 388,000 430,3084.38%, 3/15/2042 . . . . . . . . . . . 300,000 332,6824.45%, 12/15/2048 . . . . . . . . . . 101,000 116,0584.63%, 11/15/2041 . . . . . . . . . . 315,000 357,8814.75%, 7/15/2045 . . . . . . . . . . . 374,000 443,2055.70%, 10/15/2040 . . . . . . . . . . 601,000 759,7425.80%, 3/15/2036 . . . . . . . . . . . 146,000 188,1825.95%, 2/15/2041 . . . . . . . . . . . 139,000 182,3046.50%, 6/15/2037 . . . . . . . . . . . 142,000 196,0696.63%, 11/15/2037 . . . . . . . . . . 201,000 281,7486.88%, 2/15/2038 . . . . . . . . . . . 73,000 105,497

Willis-Knighton Medical CenterSeries 2018, 4.81%, 9/1/2048 . . . 190,000 223,461

22,216,834

HOME FURNISHINGS — 0.1%Whirlpool Corp.

4.50%, 6/1/2046. . . . . . . . . . . . 351,000 333,959


Church & Dwight Co., Inc.3.95%, 8/1/2047. . . . . . . . . . . . 102,000 102,823

Kimberly-Clark Corp.:3.20%, 7/30/2046 . . . . . . . . . . . 505,000 485,6383.90%, 5/4/2047. . . . . . . . . . . . 261,000 281,3195.30%, 3/1/2041. . . . . . . . . . . . 284,000 362,6406.63%, 8/1/2037. . . . . . . . . . . . 1,000 1,429

1,233,849

HOUSEWARES — 0.0% (a)Newell Brands, Inc.:

5.38%, 4/1/2036. . . . . . . . . . . . 119,000 117,5525.50%, 4/1/2046. . . . . . . . . . . . 159,000 153,621

271,173

INSURANCE — 4.0%ACE Capital Trust II

9.70%, 4/1/2030. . . . . . . . . . . . 240,000 340,812Aflac, Inc.:

4.00%, 10/15/2046 . . . . . . . . . . 29,000 30,2854.75%, 1/15/2049 . . . . . . . . . . . 180,000 211,588

Alleghany Corp.4.90%, 9/15/2044 . . . . . . . . . . . 173,000 188,492

Allstate Corp.:3.85%, 8/10/2049 . . . . . . . . . . . 250,000 264,2104.20%, 12/15/2046 . . . . . . . . . . 202,000 225,1824.50%, 6/15/2043 . . . . . . . . . . . 266,000 304,0035.55%, 5/9/2035. . . . . . . . . . . . 124,000 155,2225.95%, 4/1/2036. . . . . . . . . . . . 23,000 29,9393 Month USD LIBOR + 2.12%,

6.50%, 5/15/2067 (b) . . . . . . . 148,000 168,283American Financial Group, Inc.

4.50%, 6/15/2047 . . . . . . . . . . . 172,000 174,210


13


American International Group, Inc.:3.88%, 1/15/2035 . . . . . . . . . . . $ 348,000 $ 347,5654.38%, 1/15/2055 . . . . . . . . . . . 574,000 578,8334.50%, 7/16/2044 . . . . . . . . . . . 18,000 18,9954.70%, 7/10/2035 . . . . . . . . . . . 439,000 478,4794.75%, 4/1/2048. . . . . . . . . . . . 448,000 492,9034.80%, 7/10/2045 . . . . . . . . . . . 323,000 355,2846.25%, 5/1/2036. . . . . . . . . . . . 341,000 422,5093 Month USD LIBOR + 4.20%,

8.18%, 5/15/2068 (b) . . . . . . . 151,000 194,838Aon Corp.

6.25%, 9/30/2040 . . . . . . . . . . . 12,000 15,320Aon PLC:

4.45%, 5/24/2043 . . . . . . . . . . . 51,000 52,2184.60%, 6/14/2044 . . . . . . . . . . . 120,000 131,2914.75%, 5/15/2045 . . . . . . . . . . . 200,000 223,240

Arch Capital Group US, Inc.5.14%, 11/1/2043 . . . . . . . . . . . 147,000 175,243

Arch Capital Group, Ltd.7.35%, 5/1/2034. . . . . . . . . . . . 330,000 465,818

Assurant, Inc.6.75%, 2/15/2034 . . . . . . . . . . . 196,000 235,866

AXA Equitable Holdings, Inc.5.00%, 4/20/2048 . . . . . . . . . . . 205,000 211,345

AXA SA8.60%, 12/15/2030 . . . . . . . . . . 123,000 175,389

Berkshire Hathaway Finance Corp.:4.20%, 8/15/2048 . . . . . . . . . . . 1,459,000 1,629,1924.25%, 1/15/2049 . . . . . . . . . . . 338,000 379,9974.40%, 5/15/2042 . . . . . . . . . . . 297,000 337,6835.75%, 1/15/2040 . . . . . . . . . . . 1,000 1,313

Berkshire Hathaway, Inc.4.50%, 2/11/2043 . . . . . . . . . . . 229,000 265,629

Brighthouse Financial, Inc.4.70%, 6/22/2047 . . . . . . . . . . . 518,000 432,789

Chubb Corp.:6.00%, 5/11/2037 . . . . . . . . . . . 202,000 270,755Series 1, 6.50%, 5/15/2038 . . . . . 161,000 228,742

Chubb INA Holdings, Inc.:4.15%, 3/13/2043 . . . . . . . . . . . 165,000 184,7294.35%, 11/3/2045 . . . . . . . . . . . 409,000 476,3666.70%, 5/15/2036 . . . . . . . . . . . 60,000 84,784

Cincinnati Financial Corp.6.13%, 11/1/2034 . . . . . . . . . . . 151,000 191,939

Enstar Group, Ltd.4.95%, 6/1/2029. . . . . . . . . . . . 9,000 9,118

Everest Reinsurance Holdings, Inc.4.87%, 6/1/2044. . . . . . . . . . . . 51,000 54,657

Hartford Financial Services Group,Inc.:4.30%, 4/15/2043 . . . . . . . . . . . 144,000 152,1714.40%, 3/15/2048 . . . . . . . . . . . 110,000 119,8565.95%, 10/15/2036 . . . . . . . . . . 191,000 238,1526.10%, 10/1/2041 . . . . . . . . . . . 119,000 151,511

Lincoln National Corp.:6.15%, 4/7/2036. . . . . . . . . . . . 59,000 73,228


6.30%, 10/9/2037 . . . . . . . . . . . $ 109,000 $ 138,5487.00%, 6/15/2040 . . . . . . . . . . . 292,000 403,124

Loews Corp.:4.13%, 5/15/2043 . . . . . . . . . . . 146,000 151,2146.00%, 2/1/2035. . . . . . . . . . . . 23,000 28,885

Manulife Financial Corp.5.38%, 3/4/2046. . . . . . . . . . . . 260,000 318,497

Markel Corp.:4.30%, 11/1/2047 . . . . . . . . . . . 120,000 117,0405.00%, 4/5/2046. . . . . . . . . . . . 167,000 179,1145.00%, 5/20/2049 . . . . . . . . . . . 155,000 168,065

Marsh & McLennan Cos., Inc.:4.20%, 3/1/2048. . . . . . . . . . . . 76,000 80,7604.35%, 1/30/2047 . . . . . . . . . . . 32,000 34,6604.38%, 3/15/2029 . . . . . . . . . . . 150,000 165,5484.75%, 3/15/2039 . . . . . . . . . . . 85,000 97,3394.90%, 3/15/2049 . . . . . . . . . . . 205,000 242,9895.88%, 8/1/2033. . . . . . . . . . . . 294,000 368,138

MetLife, Inc.:4.05%, 3/1/2045. . . . . . . . . . . . 167,000 179,0794.13%, 8/13/2042 . . . . . . . . . . . 329,000 354,6824.60%, 5/13/2046 . . . . . . . . . . . 146,000 168,7374.88%, 11/13/2043 . . . . . . . . . . 571,000 677,4175.70%, 6/15/2035 . . . . . . . . . . . 288,000 368,3295.88%, 2/6/2041. . . . . . . . . . . . 431,000 565,5326.38%, 6/15/2034 . . . . . . . . . . . 273,000 374,2726.40%, 12/15/2066 . . . . . . . . . . 379,000 433,4436.50%, 12/15/2032 . . . . . . . . . . 88,000 119,77110.75%, 8/1/2069 . . . . . . . . . . . 151,000 239,6374.72%, 12/15/2044 . . . . . . . . . . 274,000 319,594

Nationwide Financial Services, Inc.Series JR, 6.75%, 5/15/2087 . . . . 116,000 128,906

Principal Financial Group, Inc.:4.30%, 11/15/2046 . . . . . . . . . . 37,000 39,1204.35%, 5/15/2043 . . . . . . . . . . . 120,000 128,1494.63%, 9/15/2042 . . . . . . . . . . . 50,000 54,8626.05%, 10/15/2036 . . . . . . . . . . 141,000 178,254

Progressive Corp3.70%, 1/26/2045 . . . . . . . . . . . 10,000 10,293

Progressive Corp.:4.13%, 4/15/2047 . . . . . . . . . . . 574,000 635,9064.20%, 3/15/2048 . . . . . . . . . . . 148,000 166,4604.35%, 4/25/2044 . . . . . . . . . . . 249,000 282,6526.25%, 12/1/2032 . . . . . . . . . . . 99,000 131,541

Prudential Financial, Inc.:3.91%, 12/7/2047 . . . . . . . . . . . 499,000 519,2493.94%, 12/7/2049 . . . . . . . . . . . 585,000 613,144Series B, 5.75%, 7/15/2033 . . . . . 100,000 124,412Series MTN, 4.35%, 2/25/2050 . . 200,000 223,596Series MTN, 4.42%, 3/27/2048 . . 385,000 431,547Series MTN, 4.60%, 5/15/2044 . . 53,000 60,545Series MTN, 6.63%, 12/1/2037 . . 57,000 78,593Series MTN, 6.63%, 6/21/2040 . . 201,000 279,362

Selective Insurance Group, Inc.5.38%, 3/1/2049. . . . . . . . . . . . 200,000 223,364


14


Transatlantic Holdings, Inc.8.00%, 11/30/2039 . . . . . . . . . . $ 23,000 $ 32,725

Travelers Cos., Inc.:3.75%, 5/15/2046 . . . . . . . . . . . 393,000 414,9924.00%, 5/30/2047 . . . . . . . . . . . 299,000 325,1664.10%, 3/4/2049. . . . . . . . . . . . 220,000 245,2934.30%, 8/25/2045 . . . . . . . . . . . 20,000 22,7324.60%, 8/1/2043. . . . . . . . . . . . 110,000 129,2435.35%, 11/1/2040 . . . . . . . . . . . 130,000 165,9156.75%, 6/20/2036 . . . . . . . . . . . 159,000 224,564Series MTN, 6.25%, 6/15/2037 . . 297,000 406,240

Travelers Property Casualty Corp.6.38%, 3/15/2033 . . . . . . . . . . . 34,000 46,633

Unum Group5.75%, 8/15/2042 . . . . . . . . . . . 195,000 224,857

Voya Financial, Inc.5.70%, 7/15/2043 . . . . . . . . . . . 202,000 248,698

Willis North America, Inc.5.05%, 9/15/2048 . . . . . . . . . . . 100,000 110,386

WR Berkley Corp.4.75%, 8/1/2044. . . . . . . . . . . . 42,000 45,752

XLIT, Ltd.:5.25%, 12/15/2043 . . . . . . . . . . 10,000 12,2915.50%, 3/31/2045 . . . . . . . . . . . 372,000 442,412

25,652,241


4.00%, 12/6/2037 . . . . . . . . . . . 250,000 255,6554.20%, 12/6/2047 . . . . . . . . . . . 432,000 452,6024.40%, 12/6/2057 . . . . . . . . . . . 530,000 565,8974.50%, 11/28/2034 . . . . . . . . . . 189,000 207,165

Amazon.com, Inc.:3.88%, 8/22/2037 . . . . . . . . . . . 981,000 1,081,3464.05%, 8/22/2047 . . . . . . . . . . . 1,203,000 1,360,3404.25%, 8/22/2057 . . . . . . . . . . . 565,000 653,2024.80%, 12/5/2034 . . . . . . . . . . . 811,000 995,7384.95%, 12/5/2044 . . . . . . . . . . . 353,000 444,604

eBay, Inc.4.00%, 7/15/2042 . . . . . . . . . . . 143,000 132,877

6,149,426


6.75%, 3/1/2041. . . . . . . . . . . . 502,000 582,8227.00%, 10/15/2039 . . . . . . . . . . 271,000 321,490

Nucor Corp.:4.40%, 5/1/2048. . . . . . . . . . . . 380,000 411,4265.20%, 8/1/2043. . . . . . . . . . . . 367,000 432,9026.40%, 12/1/2037 . . . . . . . . . . . 31,000 40,972

Vale Overseas, Ltd.:6.88%, 11/21/2036 . . . . . . . . . . 468,000 562,0036.88%, 11/10/2039 . . . . . . . . . . 313,000 377,1568.25%, 1/17/2034 . . . . . . . . . . . 224,000 292,342


Vale SA5.63%, 9/11/2042 (c) . . . . . . . . . $ 123,000 $ 131,970

3,153,083

LEISURE TIME — 0.0% (a)Harley-Davidson, Inc.

4.63%, 7/28/2045 . . . . . . . . . . . 98,000 98,514

MACHINERY, CONSTRUCTION& MINING — 0.3%

ABB Finance USA, Inc.4.38%, 5/8/2042. . . . . . . . . . . . 186,000 212,444

Caterpillar, Inc.:3.80%, 8/15/2042 (c) . . . . . . . . . 594,000 632,4674.30%, 5/15/2044 . . . . . . . . . . . 119,000 135,1134.75%, 5/15/2064 . . . . . . . . . . . 179,000 211,5395.20%, 5/27/2041 . . . . . . . . . . . 204,000 258,0235.30%, 9/15/2035 . . . . . . . . . . . 150,000 183,2436.05%, 8/15/2036 . . . . . . . . . . . 137,000 181,248

1,814,077

MACHINERY-DIVERSIFIED —0.2%

Cummins, Inc.4.88%, 10/1/2043 . . . . . . . . . . . 181,000 215,254

Deere & Co.:3.90%, 6/9/2042 (c) . . . . . . . . . 362,000 398,0485.38%, 10/16/2029 . . . . . . . . . . 230,000 282,3967.13%, 3/3/2031. . . . . . . . . . . . 146,000 203,650

Dover Corp.:5.38%, 10/15/2035 . . . . . . . . . . 57,000 67,3385.38%, 3/1/2041. . . . . . . . . . . . 111,000 131,641

Rockwell Automation, Inc.4.20%, 3/1/2049. . . . . . . . . . . . 120,000 135,512

Xylem, Inc.4.38%, 11/1/2046 . . . . . . . . . . . 157,000 163,724

1,597,563


6.15%, 3/1/2037. . . . . . . . . . . . 100,000 131,4206.15%, 2/15/2041 . . . . . . . . . . . 250,000 338,6006.40%, 12/15/2035 . . . . . . . . . . 122,000 160,6536.90%, 8/15/2039 . . . . . . . . . . . 8,000 11,487

CBS Corp.:4.20%, 6/1/2029 (c) . . . . . . . . . 550,000 582,2084.60%, 1/15/2045 . . . . . . . . . . . 134,000 138,5354.85%, 7/1/2042. . . . . . . . . . . . 144,000 153,6194.90%, 8/15/2044 . . . . . . . . . . . 154,000 163,8815.50%, 5/15/2033 . . . . . . . . . . . 121,000 139,7605.90%, 10/15/2040 (c) . . . . . . . . 165,000 195,1957.88%, 7/30/2030 . . . . . . . . . . . 165,000 225,616

Charter CommunicationsOperating LLC/CharterCommunications OperatingCapital:5.13%, 7/1/2049 (f) . . . . . . . . . . 500,000 512,0355.38%, 4/1/2038. . . . . . . . . . . . 81,000 86,960


15


5.38%, 5/1/2047. . . . . . . . . . . . $ 1,416,000 $ 1,490,9915.75%, 4/1/2048. . . . . . . . . . . . 398,000 439,8906.38%, 10/23/2035 . . . . . . . . . . 799,000 936,3806.48%, 10/23/2045 . . . . . . . . . . 996,000 1,184,4136.83%, 10/23/2055 . . . . . . . . . . 196,000 232,866

Comcast Corp.:3.20%, 7/15/2036 . . . . . . . . . . . 532,000 516,7793.40%, 7/15/2046 . . . . . . . . . . . 362,000 346,3913.90%, 3/1/2038. . . . . . . . . . . . 115,000 121,1033.97%, 11/1/2047 . . . . . . . . . . . 534,000 559,4184.00%, 8/15/2047 . . . . . . . . . . . 502,000 528,3154.00%, 3/1/2048. . . . . . . . . . . . 259,000 272,5904.00%, 11/1/2049 . . . . . . . . . . . 807,000 849,2794.05%, 11/1/2052 . . . . . . . . . . . 808,000 855,6644.20%, 8/15/2034 . . . . . . . . . . . 44,000 48,8054.25%, 10/15/2030 . . . . . . . . . . 337,000 375,8704.25%, 1/15/2033 . . . . . . . . . . . 450,000 503,0954.40%, 8/15/2035 . . . . . . . . . . . 281,000 312,8374.50%, 1/15/2043 . . . . . . . . . . . 144,000 160,8494.60%, 10/15/2038 . . . . . . . . . . 210,000 240,4004.60%, 8/15/2045 . . . . . . . . . . . 792,000 897,8274.65%, 7/15/2042 . . . . . . . . . . . 367,000 422,3884.70%, 10/15/2048 . . . . . . . . . . 835,000 978,9714.75%, 3/1/2044. . . . . . . . . . . . 628,000 728,3614.95%, 10/15/2058 . . . . . . . . . . 714,000 868,1315.65%, 6/15/2035 . . . . . . . . . . . 275,000 343,6376.40%, 5/15/2038 . . . . . . . . . . . 471,000 637,6496.45%, 3/15/2037 . . . . . . . . . . . 314,000 423,5456.50%, 11/15/2035 . . . . . . . . . . 498,000 673,9186.55%, 7/1/2039. . . . . . . . . . . . 435,000 595,6026.95%, 8/15/2037 . . . . . . . . . . . 123,000 174,5527.05%, 3/15/2033 . . . . . . . . . . . 562,000 786,586

Discovery Communications LLC:4.88%, 4/1/2043. . . . . . . . . . . . 235,000 236,7084.95%, 5/15/2042 . . . . . . . . . . . 320,000 323,6745.00%, 9/20/2037 . . . . . . . . . . . 122,000 127,4615.20%, 9/20/2047 . . . . . . . . . . . 657,000 693,5295.30%, 5/15/2049 . . . . . . . . . . . 85,000 91,2946.35%, 6/1/2040. . . . . . . . . . . . 642,000 757,265

Fox Corp.:5.48%, 1/25/2039 (e) . . . . . . . . . 375,000 442,0805.58%, 1/25/2049 (e) . . . . . . . . . 444,000 540,219

Grupo Televisa SAB:5.00%, 5/13/2045 (c) . . . . . . . . . 157,000 158,5705.25%, 5/24/2049 . . . . . . . . . . . 500,000 516,8156.13%, 1/31/2046 (c) . . . . . . . . . 308,000 358,6946.63%, 1/15/2040 . . . . . . . . . . . 107,000 128,6418.50%, 3/11/2032 . . . . . . . . . . . 2,000 2,647

NBCUniversal Media LLC:4.45%, 1/15/2043 . . . . . . . . . . . 522,000 575,6675.95%, 4/1/2041. . . . . . . . . . . . 329,000 433,4256.40%, 4/30/2040 . . . . . . . . . . . 450,000 610,087

Thomson Reuters Corp.:5.50%, 8/15/2035 . . . . . . . . . . . 190,000 209,7525.65%, 11/23/2043 . . . . . . . . . . 100,000 115,033


5.85%, 4/15/2040 . . . . . . . . . . . $ 136,000 $ 158,454Time Warner Cable LLC:

4.50%, 9/15/2042 . . . . . . . . . . . 451,000 419,2055.50%, 9/1/2041. . . . . . . . . . . . 297,000 311,3425.88%, 11/15/2040 . . . . . . . . . . 275,000 298,3756.55%, 5/1/2037. . . . . . . . . . . . 523,000 600,7446.75%, 6/15/2039 . . . . . . . . . . . 852,000 995,1027.30%, 7/1/2038. . . . . . . . . . . . 436,000 532,548

Time Warner Entertainment Co. L.P.8.38%, 7/15/2033 . . . . . . . . . . . 288,000 388,823

TWDC Enterprises 18 Corp.:4.38%, 8/16/2041 . . . . . . . . . . . 175,000 201,049Series B, 7.00%, 3/1/2032. . . . . . 123,000 178,029Series MTN, 3.00%, 7/30/2046

(c) . . . . . . . . . . . . . . . . . . . 143,000 134,489Series MTN, 3.70%, 12/1/2042 . . 107,000 113,165

Viacom, Inc.:4.38%, 3/15/2043 . . . . . . . . . . . 215,000 210,3475.25%, 4/1/2044. . . . . . . . . . . . 233,000 254,3505.85%, 9/1/2043. . . . . . . . . . . . 440,000 518,0656.88%, 4/30/2036 . . . . . . . . . . . 276,000 348,591

Walt Disney Co.:4.75%, 9/15/2044 (e) . . . . . . . . . 245,000 298,4814.75%, 11/15/2046 (e) . . . . . . . . 39,000 48,0724.95%, 10/15/2045 (e) . . . . . . . . 72,000 90,4515.40%, 10/1/2043 (e) . . . . . . . . . 256,000 333,4506.15%, 3/1/2037 (e) . . . . . . . . . 468,000 635,5636.15%, 2/15/2041 (e) . . . . . . . . . 712,000 988,4346.20%, 12/15/2034 (e) . . . . . . . . 296,000 400,4556.40%, 12/15/2035 (e) . . . . . . . . 100,000 137,0286.55%, 3/15/2033 (e) . . . . . . . . . 94,000 129,0186.65%, 11/15/2037 (e) . . . . . . . . 346,000 497,0846.90%, 8/15/2039 (e) . . . . . . . . . 159,000 236,7817.75%, 12/1/2045 (e) . . . . . . . . . 236,000 392,6667.85%, 3/1/2039 (e) . . . . . . . . . 132,000 207,2008.15%, 10/17/2036 (e) . . . . . . . . 87,000 135,628Series E, 4.13%, 12/1/2041 . . . . . 167,000 185,525Series GMTN, 4.13%, 6/1/2044

(c) . . . . . . . . . . . . . . . . . . . 4,000 4,546Warner Media LLC:

4.85%, 7/15/2045 . . . . . . . . . . . 300,000 295,1704.90%, 6/15/2042 . . . . . . . . . . . 150,000 154,1045.35%, 12/15/2043 . . . . . . . . . . 18,000 19,0196.10%, 7/15/2040 . . . . . . . . . . . 60,000 70,9326.20%, 3/15/2040 . . . . . . . . . . . 72,000 85,325

37,676,242


Precision Castparts Corp.:3.90%, 1/15/2043 . . . . . . . . . . . 35,000 36,8504.38%, 6/15/2045 . . . . . . . . . . . 184,000 209,005

Valmont Industries, Inc.5.25%, 10/1/2054 . . . . . . . . . . . 156,000 155,518

401,373


16


MINING — 1.3%Barrick Gold Corp.:

5.25%, 4/1/2042. . . . . . . . . . . . $ 211,000 $ 248,2966.45%, 10/15/2035 . . . . . . . . . . 495,000 608,380

Barrick North AmericaFinance LLC:5.70%, 5/30/2041 . . . . . . . . . . . 150,000 182,3055.75%, 5/1/2043. . . . . . . . . . . . 274,000 341,916

Barrick PD Australia Finance Pty,Ltd.5.95%, 10/15/2039 . . . . . . . . . . 217,000 266,693

BHP Billiton Finance USA, Ltd.:4.13%, 2/24/2042 (c) . . . . . . . . . 164,000 181,1045.00%, 9/30/2043 . . . . . . . . . . . 783,000 975,195

Newmont Goldcorp Corp.5.45%, 6/9/2044 (e) . . . . . . . . . 553,000 666,724

Newmont Mining Corp.:4.88%, 3/15/2042 . . . . . . . . . . . 10,000 11,1795.88%, 4/1/2035. . . . . . . . . . . . 408,000 493,2486.25%, 10/1/2039 . . . . . . . . . . . 156,000 200,042

Rio Tinto Alcan, Inc.:5.75%, 6/1/2035. . . . . . . . . . . . 118,000 147,4866.13%, 12/15/2033 . . . . . . . . . . 75,000 100,3497.25%, 3/15/2031 . . . . . . . . . . . 51,000 70,875

Rio Tinto Finance USA PLC:4.13%, 8/21/2042 (c) . . . . . . . . . 482,000 538,4714.75%, 3/22/2042 . . . . . . . . . . . 525,000 622,881

Rio Tinto Finance USA, Ltd.5.20%, 11/2/2040 . . . . . . . . . . . 387,000 482,883

Southern Copper Corp.:5.25%, 11/8/2042 . . . . . . . . . . . 343,000 377,1735.88%, 4/23/2045 . . . . . . . . . . . 408,000 483,9666.75%, 4/16/2040 . . . . . . . . . . . 136,000 171,2627.50%, 7/27/2035 . . . . . . . . . . . 330,000 433,498

Teck Resources, Ltd.:6.00%, 8/15/2040 . . . . . . . . . . . 438,000 475,2616.13%, 10/1/2035 . . . . . . . . . . . 185,000 210,6766.25%, 7/15/2041 . . . . . . . . . . . 190,000 213,218

8,503,081


3M Co.:Series MTN, 3.63%, 10/15/2047 . 200,000 200,494Series MTN, 3.88%, 6/15/2044 . . 148,000 153,733Series MTN, 4.00%, 9/14/2048 . . 332,000 359,148Series MTN, 5.70%, 3/15/2037 . . 333,000 433,756

Crane Co.4.20%, 3/15/2048 . . . . . . . . . . . 93,000 91,472

Eaton Corp.:3.92%, 9/15/2047 . . . . . . . . . . . 157,000 159,1294.00%, 11/2/2032 . . . . . . . . . . . 81,000 89,6724.15%, 11/2/2042 . . . . . . . . . . . 189,000 200,153

General Electric Co.:4.13%, 10/9/2042 . . . . . . . . . . . 1,326,000 1,222,3734.50%, 3/11/2044 . . . . . . . . . . . 793,000 772,509


Series GMTN, 6.15%, 8/7/2037 . . $ 509,000 $ 592,257Series GMTN, 6.88%, 1/10/2039 . 504,000 631,764Series MTN, 5.88%, 1/14/2038 . . 1,303,000 1,479,270Series MTNA, 6.75%, 3/15/2032 . 1,769,000 2,179,461

Illinois Tool Works, Inc.:3.90%, 9/1/2042. . . . . . . . . . . . 292,000 321,5474.88%, 9/15/2041 . . . . . . . . . . . 130,000 157,513

Ingersoll-Rand Global Holding Co.,Ltd.:4.30%, 2/21/2048 . . . . . . . . . . . 50,000 51,9745.75%, 6/15/2043 . . . . . . . . . . . 81,000 99,956

Ingersoll-Rand Luxembourg FinanceSA4.50%, 3/21/2049 . . . . . . . . . . . 250,000 268,917

Parker-Hannifin Corp.:4.00%, 6/14/2049 . . . . . . . . . . . 185,000 196,3634.10%, 3/1/2047. . . . . . . . . . . . 155,000 165,357Series MTN, 4.45%, 11/21/2044 . 137,000 151,921Series MTN, 6.25%, 5/15/2038 . . 207,000 274,886

Textron, Inc.3.90%, 9/17/2029 . . . . . . . . . . . 150,000 156,711

10,410,336

OIL & GAS — 5.0%Anadarko Finance Co.

Series B, 7.50%, 5/1/2031. . . . . . 167,000 220,861Anadarko Petroleum Corp.:

4.50%, 7/15/2044 . . . . . . . . . . . 214,000 218,0236.20%, 3/15/2040 . . . . . . . . . . . 438,000 526,3496.45%, 9/15/2036 . . . . . . . . . . . 502,000 617,4856.60%, 3/15/2046 . . . . . . . . . . . 423,000 550,619

Apache Corp.:4.25%, 1/15/2030 . . . . . . . . . . . 350,000 361,3934.25%, 1/15/2044 . . . . . . . . . . . 445,000 404,1624.75%, 4/15/2043 . . . . . . . . . . . 178,000 173,2925.10%, 9/1/2040. . . . . . . . . . . . 435,000 437,3715.35%, 7/1/2049. . . . . . . . . . . . 300,000 319,167

Burlington Resources LLC:5.95%, 10/15/2036 . . . . . . . . . . 259,000 337,8247.20%, 8/15/2031 . . . . . . . . . . . 68,000 95,224

Canadian Natural Resources, Ltd.:6.25%, 3/15/2038 . . . . . . . . . . . 279,000 344,2536.50%, 2/15/2037 . . . . . . . . . . . 265,000 331,9206.75%, 2/1/2039. . . . . . . . . . . . 142,000 183,9677.20%, 1/15/2032 . . . . . . . . . . . 163,000 215,739Series GMTN, 4.95%, 6/1/2047 . . 370,000 423,169

Cenovus Energy, Inc.:5.25%, 6/15/2037 . . . . . . . . . . . 108,000 112,8995.40%, 6/15/2047 (c) . . . . . . . . . 573,000 616,9036.75%, 11/15/2039 . . . . . . . . . . 582,500 690,402

Concho Resources, Inc.:4.85%, 8/15/2048 . . . . . . . . . . . 155,000 174,3804.88%, 10/1/2047 . . . . . . . . . . . 204,000 230,012

Conoco Funding Co.7.25%, 10/15/2031 . . . . . . . . . . 240,000 337,918


17


ConocoPhillips5.90%, 5/15/2038 . . . . . . . . . . . $ 185,000 $ 243,416

ConocoPhillips Co.:4.30%, 11/15/2044 . . . . . . . . . . 195,000 218,4255.90%, 10/15/2032 . . . . . . . . . . 55,000 71,5736.50%, 2/1/2039. . . . . . . . . . . . 818,000 1,147,327

ConocoPhillips Holding Co.6.95%, 4/15/2029 . . . . . . . . . . . 310,000 417,238

Continental Resources, Inc.4.90%, 6/1/2044 (c) . . . . . . . . . 200,000 211,178

Devon Energy Corp.:4.75%, 5/15/2042 . . . . . . . . . . . 347,000 380,7875.00%, 6/15/2045 . . . . . . . . . . . 481,000 551,9475.60%, 7/15/2041 . . . . . . . . . . . 367,000 439,3837.95%, 4/15/2032 . . . . . . . . . . . 40,000 56,891

Encana Corp.:6.50%, 8/15/2034 . . . . . . . . . . . 149,000 183,6626.50%, 2/1/2038. . . . . . . . . . . . 156,000 190,5656.63%, 8/15/2037 . . . . . . . . . . . 183,000 224,9807.20%, 11/1/2031 . . . . . . . . . . . 76,000 96,8138.13%, 9/15/2030 . . . . . . . . . . . 270,000 358,379

EOG Resources, Inc.3.90%, 4/1/2035. . . . . . . . . . . . 163,000 171,610

Exxon Mobil Corp.:3.57%, 3/6/2045. . . . . . . . . . . . 242,000 254,0234.11%, 3/1/2046. . . . . . . . . . . . 633,000 728,222

Hess Corp.:5.60%, 2/15/2041 . . . . . . . . . . . 37,000 39,8635.80%, 4/1/2047. . . . . . . . . . . . 412,000 459,4176.00%, 1/15/2040 . . . . . . . . . . . 625,000 690,2447.13%, 3/15/2033 . . . . . . . . . . . 37,000 45,3247.30%, 8/15/2031 . . . . . . . . . . . 60,000 73,9687.88%, 10/1/2029 . . . . . . . . . . . 141,000 177,051

Husky Energy, Inc.6.80%, 9/15/2037 . . . . . . . . . . . 495,000 627,799

Kerr-McGee Corp.7.88%, 9/15/2031 . . . . . . . . . . . 505,000 691,567

Marathon Oil Corp.:5.20%, 6/1/2045. . . . . . . . . . . . 201,000 223,8606.60%, 10/1/2037 . . . . . . . . . . . 119,000 146,8476.80%, 3/15/2032 . . . . . . . . . . . 526,000 657,137

Marathon Petroleum Corp.:4.50%, 4/1/2048. . . . . . . . . . . . 158,000 158,5724.75%, 9/15/2044 . . . . . . . . . . . 104,000 108,0886.50%, 3/1/2041. . . . . . . . . . . . 622,000 774,415

Noble Energy, Inc.:4.95%, 8/15/2047 . . . . . . . . . . . 137,000 145,5525.05%, 11/15/2044 . . . . . . . . . . 472,000 501,7225.25%, 11/15/2043 . . . . . . . . . . 195,000 210,0366.00%, 3/1/2041. . . . . . . . . . . . 402,000 461,480

Occidental Petroleum Corp.:4.10%, 2/15/2047 . . . . . . . . . . . 68,000 67,3814.20%, 3/15/2048 . . . . . . . . . . . 120,000 121,1744.40%, 4/15/2046 . . . . . . . . . . . 1,056,000 1,087,9124.63%, 6/15/2045 . . . . . . . . . . . 324,000 344,059

Petro-Canada:


5.35%, 7/15/2033 . . . . . . . . . . . $ 51,000 $ 60,8635.95%, 5/15/2035 . . . . . . . . . . . 184,000 228,1566.80%, 5/15/2038 . . . . . . . . . . . 126,000 172,261

Phillips 66:4.65%, 11/15/2034 . . . . . . . . . . 444,000 494,3544.88%, 11/15/2044 . . . . . . . . . . 516,000 576,0065.88%, 5/1/2042. . . . . . . . . . . . 469,000 578,929

Shell International Finance B.V.:3.63%, 8/21/2042 . . . . . . . . . . . 179,000 183,9083.75%, 9/12/2046 . . . . . . . . . . . 178,000 188,4664.00%, 5/10/2046 . . . . . . . . . . . 880,000 966,1964.13%, 5/11/2035 . . . . . . . . . . . 487,000 540,2634.38%, 5/11/2045 . . . . . . . . . . . 1,057,000 1,215,2124.55%, 8/12/2043 . . . . . . . . . . . 428,000 500,3795.50%, 3/25/2040 . . . . . . . . . . . 309,000 400,2486.38%, 12/15/2038 . . . . . . . . . . 998,000 1,407,180

Suncor Energy, Inc.:4.00%, 11/15/2047 . . . . . . . . . . 561,000 580,9775.95%, 12/1/2034 . . . . . . . . . . . 93,000 119,6136.50%, 6/15/2038 . . . . . . . . . . . 378,000 505,1596.85%, 6/1/2039. . . . . . . . . . . . 216,000 299,7957.15%, 2/1/2032. . . . . . . . . . . . 130,000 174,702

Valero Energy Corp.:4.90%, 3/15/2045 . . . . . . . . . . . 235,000 258,6396.63%, 6/15/2037 . . . . . . . . . . . 456,000 576,2937.50%, 4/15/2032 . . . . . . . . . . . 183,000 248,74810.50%, 3/15/2039 . . . . . . . . . . 51,000 86,112

32,045,678

OIL & GAS SERVICES — 0.6%Baker Hughes a GE Co. LLC

5.13%, 9/15/2040 . . . . . . . . . . . 508,000 558,739Baker Hughes a GE Co. LLC/Baker

Hughes Co-Obligor, Inc.4.08%, 12/15/2047 . . . . . . . . . . 241,000 232,712

Halliburton Co.:4.50%, 11/15/2041 . . . . . . . . . . 65,000 65,4844.75%, 8/1/2043. . . . . . . . . . . . 530,000 557,7465.00%, 11/15/2045 . . . . . . . . . . 968,000 1,054,7336.70%, 9/15/2038 . . . . . . . . . . . 362,000 464,6997.45%, 9/15/2039 . . . . . . . . . . . 228,000 314,740

National Oilwell Varco, Inc.3.95%, 12/1/2042 . . . . . . . . . . . 632,000 547,856

3,796,709

PACKAGING & CONTAINERS— 0.1%

Sonoco Products Co.5.75%, 11/1/2040 . . . . . . . . . . . 89,000 102,582

WestRock MWV LLC7.95%, 2/15/2031 . . . . . . . . . . . 172,000 231,371

WRKCo, Inc.4.20%, 6/1/2032. . . . . . . . . . . . 100,000 103,149

437,102

PHARMACEUTICALS — 6.4%AbbVie, Inc.:


18


4.30%, 5/14/2036 . . . . . . . . . . . $ 322,000 $ 323,1274.40%, 11/6/2042 . . . . . . . . . . . 121,000 119,2124.45%, 5/14/2046 . . . . . . . . . . . 411,000 403,1754.50%, 5/14/2035 . . . . . . . . . . . 681,000 699,1624.70%, 5/14/2045 . . . . . . . . . . . 1,336,000 1,361,6114.88%, 11/14/2048 . . . . . . . . . . 969,000 1,018,458

Allergan Finance LLC4.63%, 10/1/2042 . . . . . . . . . . . 637,000 632,598

Allergan Funding SCS:4.55%, 3/15/2035 . . . . . . . . . . . 493,000 504,3004.75%, 3/15/2045 (c) . . . . . . . . . 320,000 329,2864.85%, 6/15/2044 . . . . . . . . . . . 225,000 233,323

AmerisourceBergen Corp.:4.25%, 3/1/2045. . . . . . . . . . . . 100,000 96,2494.30%, 12/15/2047 . . . . . . . . . . 172,000 166,823

AstraZeneca PLC:4.00%, 9/18/2042 . . . . . . . . . . . 159,000 166,6164.38%, 11/16/2045 . . . . . . . . . . 57,000 63,4464.38%, 8/17/2048 . . . . . . . . . . . 675,000 756,4526.45%, 9/15/2037 . . . . . . . . . . . 891,000 1,205,069

Bristol-Myers Squibb Co.:3.25%, 8/1/2042. . . . . . . . . . . . 125,000 116,7273.40%, 7/26/2029 (e) . . . . . . . . . 1,754,000 1,837,4384.13%, 6/15/2039 (e) . . . . . . . . . 280,000 301,7814.25%, 10/26/2049 (e) . . . . . . . . 1,520,000 1,679,6614.50%, 3/1/2044. . . . . . . . . . . . 95,000 108,255

Cardinal Health, Inc.4.90%, 9/15/2045 . . . . . . . . . . . 533,000 520,069

CVS Health Corp.:4.78%, 3/25/2038 . . . . . . . . . . . 1,329,000 1,385,9884.88%, 7/20/2035 . . . . . . . . . . . 166,000 176,6115.05%, 3/25/2048 . . . . . . . . . . . 2,895,000 3,087,1415.13%, 7/20/2045 . . . . . . . . . . . 1,179,000 1,257,1915.30%, 12/5/2043 . . . . . . . . . . . 151,000 165,0646.13%, 9/15/2039 . . . . . . . . . . . 516,000 605,815

Eli Lilly & Co.:3.70%, 3/1/2045. . . . . . . . . . . . 140,000 145,4843.88%, 3/15/2039 . . . . . . . . . . . 150,000 162,8073.95%, 5/15/2047 . . . . . . . . . . . 293,000 316,3813.95%, 3/15/2049 . . . . . . . . . . . 570,000 616,9624.15%, 3/15/2059 . . . . . . . . . . . 400,000 438,5445.55%, 3/15/2037 . . . . . . . . . . . 303,000 382,656

Express Scripts Holding Co.:4.80%, 7/15/2046 . . . . . . . . . . . 647,000 684,7076.13%, 11/15/2041 . . . . . . . . . . 136,000 167,147

GlaxoSmithKline Capital PLC3.38%, 6/1/2029. . . . . . . . . . . . 575,000 607,827

GlaxoSmithKline Capital, Inc.:4.20%, 3/18/2043 . . . . . . . . . . . 337,000 376,8645.38%, 4/15/2034 . . . . . . . . . . . 51,000 64,7636.38%, 5/15/2038 . . . . . . . . . . . 733,000 1,023,077

Johnson & Johnson:3.40%, 1/15/2038 . . . . . . . . . . . 460,000 477,9543.50%, 1/15/2048 . . . . . . . . . . . 107,000 112,1933.55%, 3/1/2036. . . . . . . . . . . . 487,000 514,189


3.63%, 3/3/2037. . . . . . . . . . . . $ 522,000 $ 558,6393.70%, 3/1/2046. . . . . . . . . . . . 157,000 169,9843.75%, 3/3/2047. . . . . . . . . . . . 513,000 558,1444.38%, 12/5/2033 . . . . . . . . . . . 65,000 76,2254.50%, 9/1/2040. . . . . . . . . . . . 567,000 672,8254.50%, 12/5/2043 . . . . . . . . . . . 319,000 382,7014.85%, 5/15/2041 . . . . . . . . . . . 298,000 362,7614.95%, 5/15/2033 . . . . . . . . . . . 186,000 231,2935.85%, 7/15/2038 . . . . . . . . . . . 224,000 303,7515.95%, 8/15/2037 . . . . . . . . . . . 25,000 34,6516.95%, 9/1/2029. . . . . . . . . . . . 73,000 100,832

McKesson Corp.4.88%, 3/15/2044 . . . . . . . . . . . 150,000 159,853

Mead Johnson Nutrition Co.:4.60%, 6/1/2044. . . . . . . . . . . . 141,000 162,5325.90%, 11/1/2039 . . . . . . . . . . . 181,000 237,054

Merck & Co., Inc.:3.60%, 9/15/2042 . . . . . . . . . . . 793,000 819,8913.70%, 2/10/2045 . . . . . . . . . . . 304,000 320,5193.90%, 3/7/2039. . . . . . . . . . . . 330,000 360,2414.00%, 3/7/2049. . . . . . . . . . . . 180,000 199,9464.15%, 5/18/2043 . . . . . . . . . . . 518,000 583,2686.55%, 9/15/2037 . . . . . . . . . . . 15,000 21,180

Merck Sharp & Dohme Corp.5.75%, 11/15/2036 . . . . . . . . . . 177,000 229,831

Mylan NV5.25%, 6/15/2046 . . . . . . . . . . . 374,000 349,720

Mylan, Inc.5.40%, 11/29/2043 . . . . . . . . . . 410,000 383,186

Novartis Capital Corp.:3.70%, 9/21/2042 . . . . . . . . . . . 369,000 388,4724.00%, 11/20/2045 . . . . . . . . . . 456,000 504,2084.40%, 5/6/2044. . . . . . . . . . . . 448,000 523,519

Perrigo Finance Unlimited Co.4.90%, 12/15/2044 . . . . . . . . . . 152,000 135,038

Pfizer, Inc.:3.90%, 3/15/2039 . . . . . . . . . . . 320,000 344,5604.00%, 12/15/2036 . . . . . . . . . . 235,000 255,8754.00%, 3/15/2049 . . . . . . . . . . . 286,000 311,1884.10%, 9/15/2038 . . . . . . . . . . . 169,000 186,2654.13%, 12/15/2046 . . . . . . . . . . 357,000 394,2534.20%, 9/15/2048 . . . . . . . . . . . 872,000 977,7394.30%, 6/15/2043 . . . . . . . . . . . 81,000 91,0664.40%, 5/15/2044 . . . . . . . . . . . 269,000 307,3035.60%, 9/15/2040 . . . . . . . . . . . 390,000 507,5037.20%, 3/15/2039 . . . . . . . . . . . 700,000 1,064,441

Wyeth LLC:5.95%, 4/1/2037. . . . . . . . . . . . 606,000 803,6296.00%, 2/15/2036 . . . . . . . . . . . 96,000 125,8106.50%, 2/1/2034. . . . . . . . . . . . 227,000 317,371

Zoetis, Inc.:3.95%, 9/12/2047 . . . . . . . . . . . 71,000 72,6604.70%, 2/1/2043. . . . . . . . . . . . 748,000 842,816

40,844,946


19



Logistics Finance Corp.5.20%, 12/1/2047 . . . . . . . . . . . $ 121,000 $ 129,390

Buckeye Partners L.P.5.85%, 11/15/2043 . . . . . . . . . . 100,000 83,750

Columbia Pipeline Group, Inc.5.80%, 6/1/2045 (c) . . . . . . . . . 125,000 146,793

Enable Midstream Partners L.P.5.00%, 5/15/2044 . . . . . . . . . . . 113,000 105,073

Enbridge Energy Partners L.P.:5.50%, 9/15/2040 . . . . . . . . . . . 420,000 489,9477.38%, 10/15/2045 . . . . . . . . . . 111,000 162,192Series B, 7.50%, 4/15/2038 . . . . . 159,000 221,260

Enbridge, Inc.:4.50%, 6/10/2044 . . . . . . . . . . . 376,000 398,7295.50%, 12/1/2046 . . . . . . . . . . . 131,000 163,874

Energy Transfer Operating L.P.:5.15%, 3/15/2045 . . . . . . . . . . . 244,000 248,8485.30%, 4/15/2047 . . . . . . . . . . . 665,000 694,5995.95%, 10/1/2043 . . . . . . . . . . . 123,000 136,6366.05%, 6/1/2041. . . . . . . . . . . . 195,000 218,1826.25%, 4/15/2049 . . . . . . . . . . . 383,000 453,4266.50%, 2/1/2042. . . . . . . . . . . . 300,000 353,1846.63%, 10/15/2036 . . . . . . . . . . 209,000 245,6387.50%, 7/1/2038. . . . . . . . . . . . 59,000 75,361Series 30Y, 6.00%, 6/15/2048 . . . 515,000 588,501

Energy Transfer Partners L.P.Series 20Y, 5.80%, 6/15/2038 . . . 150,000 167,489

Enterprise Products Operating LLC:4.20%, 1/31/2050 (f) . . . . . . . . . 235,000 242,4544.25%, 2/15/2048 . . . . . . . . . . . 265,000 273,7854.45%, 2/15/2043 . . . . . . . . . . . 718,000 753,2394.80%, 2/1/2049. . . . . . . . . . . . 278,000 309,8144.85%, 8/15/2042 . . . . . . . . . . . 448,000 494,1894.85%, 3/15/2044 . . . . . . . . . . . 238,000 264,3184.95%, 10/15/2054 . . . . . . . . . . 490,000 544,6455.10%, 2/15/2045 . . . . . . . . . . . 607,000 693,4005.70%, 2/15/2042 . . . . . . . . . . . 216,000 261,4445.95%, 2/1/2041. . . . . . . . . . . . 97,000 120,1676.13%, 10/15/2039 . . . . . . . . . . 284,000 354,9946.45%, 9/1/2040. . . . . . . . . . . . 205,000 265,717Series D, 6.88%, 3/1/2033 . . . . . 32,000 42,659Series H, 6.65%, 10/15/2034 . . . . 211,000 278,938

EQM Midstream Partners L.P.Series 30Y, 6.50%, 7/15/2048 . . . 90,000 94,801

Kinder Morgan Energy Partners L.P.:5.00%, 3/1/2043. . . . . . . . . . . . 250,000 264,0805.40%, 9/1/2044. . . . . . . . . . . . 154,000 171,9865.50%, 3/1/2044. . . . . . . . . . . . 93,000 104,8195.63%, 9/1/2041. . . . . . . . . . . . 376,000 423,0235.80%, 3/15/2035 . . . . . . . . . . . 357,000 410,7366.38%, 3/1/2041. . . . . . . . . . . . 401,000 487,3596.55%, 9/15/2040 . . . . . . . . . . . 34,000 41,7507.30%, 8/15/2033 . . . . . . . . . . . 80,000 105,3257.40%, 3/15/2031 . . . . . . . . . . . 159,000 203,234


7.50%, 11/15/2040 . . . . . . . . . . $ 372,000 $ 499,083Series MTN, 6.95%, 1/15/2038 . . 255,000 326,517

Kinder Morgan, Inc.:5.05%, 2/15/2046 . . . . . . . . . . . 263,000 286,4705.20%, 3/1/2048. . . . . . . . . . . . 100,000 112,7775.30%, 12/1/2034 . . . . . . . . . . . 410,000 463,6285.55%, 6/1/2045. . . . . . . . . . . . 748,000 864,860Series GMTN, 7.75%, 1/15/2032 . 200,000 274,468Series GMTN, 7.80%, 8/1/2031 . . 160,000 213,819

Magellan Midstream Partners L.P.:4.20%, 12/1/2042 . . . . . . . . . . . 51,000 49,8444.20%, 10/3/2047 . . . . . . . . . . . 182,000 184,2064.25%, 9/15/2046 . . . . . . . . . . . 52,000 52,3684.85%, 2/1/2049. . . . . . . . . . . . 150,000 170,3175.15%, 10/15/2043 . . . . . . . . . . 370,000 419,717

MPLX L.P.:4.50%, 4/15/2038 . . . . . . . . . . . 168,000 169,6884.70%, 4/15/2048 . . . . . . . . . . . 429,000 436,6494.90%, 4/15/2058 . . . . . . . . . . . 210,000 212,3905.20%, 3/1/2047. . . . . . . . . . . . 437,000 469,1465.50%, 2/15/2049 . . . . . . . . . . . 900,000 1,019,277

ONEOK Partners L.P.:6.13%, 2/1/2041. . . . . . . . . . . . 219,000 256,0796.20%, 9/15/2043 . . . . . . . . . . . 123,000 146,0406.65%, 10/1/2036 . . . . . . . . . . . 73,000 89,0726.85%, 10/15/2037 . . . . . . . . . . 176,000 218,006

ONEOK, Inc.:4.95%, 7/13/2047 . . . . . . . . . . . 373,000 394,5895.20%, 7/15/2048 . . . . . . . . . . . 403,000 443,8526.00%, 6/15/2035 . . . . . . . . . . . 191,000 216,730

Phillips 66 Partners L.P.:4.68%, 2/15/2045 . . . . . . . . . . . 236,000 243,2054.90%, 10/1/2046 . . . . . . . . . . . 47,000 50,094

Plains All American PipelineL.P./PAA Finance Corp.:4.30%, 1/31/2043 . . . . . . . . . . . 250,000 226,1604.70%, 6/15/2044 . . . . . . . . . . . 423,000 407,0994.90%, 2/15/2045 . . . . . . . . . . . 151,000 151,4145.15%, 6/1/2042. . . . . . . . . . . . 213,000 212,810

Spectra Energy Partners L.P.:4.50%, 3/15/2045 . . . . . . . . . . . 219,000 231,7245.95%, 9/25/2043 . . . . . . . . . . . 71,000 88,279

Sunoco Logistics PartnersOperations L.P.:5.30%, 4/1/2044. . . . . . . . . . . . 137,000 141,3995.35%, 5/15/2045 . . . . . . . . . . . 470,000 490,8215.40%, 10/1/2047 . . . . . . . . . . . 828,000 879,6676.10%, 2/15/2042 . . . . . . . . . . . 483,000 535,0386.85%, 2/15/2040 . . . . . . . . . . . 81,000 96,321

Tennessee Gas Pipeline Co. LLC7.63%, 4/1/2037. . . . . . . . . . . . 237,000 310,188

Texas Eastern Transmission L.P.7.00%, 7/15/2032 . . . . . . . . . . . 151,000 197,150

TransCanada PipeLines, Ltd.:4.63%, 3/1/2034. . . . . . . . . . . . 353,000 390,559


20


4.88%, 5/15/2048 . . . . . . . . . . . $ 370,000 $ 414,7515.00%, 10/16/2043 . . . . . . . . . . 608,000 676,8805.10%, 3/15/2049 . . . . . . . . . . . 207,000 239,4995.60%, 3/31/2034 . . . . . . . . . . . 134,000 159,8595.85%, 3/15/2036 . . . . . . . . . . . 32,000 38,4176.10%, 6/1/2040. . . . . . . . . . . . 104,000 129,7906.20%, 10/15/2037 . . . . . . . . . . 1,026,000 1,280,5927.25%, 8/15/2038 . . . . . . . . . . . 122,000 169,0367.63%, 1/15/2039 . . . . . . . . . . . 273,000 390,917

Transcontinental Gas Pipe Line Co.LLC:4.45%, 8/1/2042. . . . . . . . . . . . 74,000 76,2814.60%, 3/15/2048 . . . . . . . . . . . 146,000 154,4585.40%, 8/15/2041 . . . . . . . . . . . 379,000 435,350

Western Gas Partners L.P.5.45%, 4/1/2044. . . . . . . . . . . . 217,000 204,138

Western Midstream Operating L.P.:5.30%, 3/1/2048. . . . . . . . . . . . 155,000 143,8465.50%, 8/15/2048 . . . . . . . . . . . 160,000 151,712

Williams Cos., Inc.:4.85%, 3/1/2048. . . . . . . . . . . . 97,000 103,7894.90%, 1/15/2045 . . . . . . . . . . . 319,000 334,4085.10%, 9/15/2045 . . . . . . . . . . . 253,000 274,2755.40%, 3/4/2044. . . . . . . . . . . . 290,000 322,1175.75%, 6/24/2044 . . . . . . . . . . . 386,000 450,2386.30%, 4/15/2040 . . . . . . . . . . . 447,000 541,076Series A, 7.50%, 1/15/2031 . . . . . 19,000 24,546

31,647,243

REAL ESTATE INVESTMENTTRUSTS — 1.0%

Alexandria Real Estate Equities,Inc.:4.50%, 7/30/2029 . . . . . . . . . . . 50,000 55,1594.85%, 4/15/2049 . . . . . . . . . . . 260,000 293,517

American Tower Corp.3.80%, 8/15/2029 . . . . . . . . . . . 250,000 258,977

AvalonBay Communities, Inc.:3.30%, 6/1/2029. . . . . . . . . . . . 6,000 6,240Series MTN, 4.15%, 7/1/2047 . . . 183,000 200,186Series MTN, 4.35%, 4/15/2048 . . 200,000 224,536

Camden Property Trust3.15%, 7/1/2029. . . . . . . . . . . . 225,000 229,165

Crown Castle International Corp.:4.75%, 5/15/2047 . . . . . . . . . . . 90,000 96,6895.20%, 2/15/2049 . . . . . . . . . . . 100,000 114,727

Digital Realty Trust L.P.3.60%, 7/1/2029. . . . . . . . . . . . 155,000 157,348

ERP Operating L.P.:3.00%, 7/1/2029. . . . . . . . . . . . 250,000 253,7654.00%, 8/1/2047. . . . . . . . . . . . 37,000 39,9094.50%, 7/1/2044. . . . . . . . . . . . 165,000 186,9614.50%, 6/1/2045. . . . . . . . . . . . 142,000 161,569

Essex Portfolio L.P.4.50%, 3/15/2048 . . . . . . . . . . . 100,000 107,433


Federal Realty Investment Trust4.50%, 12/1/2044 . . . . . . . . . . . $ 179,000 $ 198,379

HCP, Inc.6.75%, 2/1/2041. . . . . . . . . . . . 90,000 120,261

Kilroy Realty L.P.4.25%, 8/15/2029 . . . . . . . . . . . 309,000 328,662

Kimco Realty Corp.:4.13%, 12/1/2046 . . . . . . . . . . . 337,000 332,9394.25%, 4/1/2045. . . . . . . . . . . . 25,000 25,1814.45%, 9/1/2047. . . . . . . . . . . . 187,000 195,508

Life Storage L.P.4.00%, 6/15/2029 . . . . . . . . . . . 9,000 9,231

National Retail Properties, Inc.4.80%, 10/15/2048 . . . . . . . . . . 60,000 67,706

Prologis L.P.4.38%, 9/15/2048 . . . . . . . . . . . 50,000 57,343

Realty Income Corp.4.65%, 3/15/2047 . . . . . . . . . . . 127,000 147,519

Regency Centers L.P.:4.40%, 2/1/2047. . . . . . . . . . . . 52,000 55,7944.65%, 3/15/2049 . . . . . . . . . . . 175,000 194,806

Simon Property Group L.P.:4.25%, 10/1/2044 . . . . . . . . . . . 48,000 52,8034.25%, 11/30/2046 . . . . . . . . . . 174,000 191,2714.75%, 3/15/2042 . . . . . . . . . . . 165,000 190,9536.75%, 2/1/2040. . . . . . . . . . . . 215,000 304,659

UDR, Inc.Series MTN, 3.20%, 1/15/2030(f) . . . . . . . . . . . . . . . . . . . . . 100,000 99,797

Ventas Realty L.P.:4.38%, 2/1/2045. . . . . . . . . . . . 61,000 61,9464.88%, 4/15/2049 . . . . . . . . . . . 123,000 135,3215.70%, 9/30/2043 . . . . . . . . . . . 51,000 61,243

Welltower, Inc.:4.95%, 9/1/2048. . . . . . . . . . . . 120,000 133,7816.50%, 3/15/2041 . . . . . . . . . . . 156,000 198,969

Weyerhaeuser Co.:4.00%, 11/15/2029 . . . . . . . . . . 400,000 425,2607.38%, 3/15/2032 . . . . . . . . . . . 185,000 258,537

6,234,050

RETAIL — 3.6%Darden Restaurants, Inc.

4.55%, 2/15/2048 . . . . . . . . . . . 259,000 259,715Home Depot, Inc.:

3.50%, 9/15/2056 . . . . . . . . . . . 407,000 401,6933.90%, 6/15/2047 . . . . . . . . . . . 384,000 415,2654.20%, 4/1/2043. . . . . . . . . . . . 244,000 271,3574.25%, 4/1/2046. . . . . . . . . . . . 60,000 67,5374.40%, 3/15/2045 . . . . . . . . . . . 424,000 486,7604.50%, 12/6/2048 . . . . . . . . . . . 805,000 949,4814.88%, 2/15/2044 . . . . . . . . . . . 239,000 290,4615.40%, 9/15/2040 . . . . . . . . . . . 154,000 196,3325.88%, 12/16/2036 . . . . . . . . . . 1,462,000 1,943,2175.95%, 4/1/2041. . . . . . . . . . . . 638,000 864,433


21


Kohl’s Corp.5.55%, 7/17/2045 . . . . . . . . . . . $ 140,000 $ 140,456

Lowe’s Cos., Inc.:3.70%, 4/15/2046 . . . . . . . . . . . 339,000 319,3894.05%, 5/3/2047. . . . . . . . . . . . 464,000 461,8754.25%, 9/15/2044 . . . . . . . . . . . 245,000 248,9274.38%, 9/15/2045 . . . . . . . . . . . 485,000 504,4734.55%, 4/5/2049. . . . . . . . . . . . 326,000 351,4674.65%, 4/15/2042 . . . . . . . . . . . 122,000 130,8785.50%, 10/15/2035 . . . . . . . . . . 224,000 258,427

Macy’s Retail Holdings, Inc.4.50%, 12/15/2034 . . . . . . . . . . 150,000 138,089

McDonald’s Corp.:Series MTN, 3.63%, 5/1/2043 . . . 518,000 501,424Series MTN, 3.70%, 2/15/2042 . . 458,000 447,773Series MTN, 4.45%, 3/1/2047 . . . 140,000 152,750Series MTN, 4.45%, 9/1/2048 . . . 110,000 120,937Series MTN, 4.60%, 5/26/2045 . . 253,000 279,661Series MTN, 4.70%, 12/9/2035 . . 194,000 220,502Series MTN, 4.88%, 12/9/2045 . . 542,000 625,278Series MTN, 5.70%, 2/1/2039 . . . 250,000 309,395Series MTN, 6.30%, 10/15/2037 . 83,000 108,610Series MTN, 6.30%, 3/1/2038 . . . 197,000 259,453

Nordstrom, Inc.5.00%, 1/15/2044 . . . . . . . . . . . 101,000 94,153

O’Reilly Automotive, Inc.3.90%, 6/1/2029. . . . . . . . . . . . 206,000 216,047

QVC, Inc.5.45%, 8/15/2034 . . . . . . . . . . . 124,000 121,830

Starbucks Corp.:3.55%, 8/15/2029 . . . . . . . . . . . 1,101,000 1,152,3073.75%, 12/1/2047 . . . . . . . . . . . 265,000 260,2414.30%, 6/15/2045 . . . . . . . . . . . 142,000 149,4384.45%, 8/15/2049 . . . . . . . . . . . 500,000 547,5504.50%, 11/15/2048 . . . . . . . . . . 45,000 49,375

Target Corp.:3.63%, 4/15/2046 . . . . . . . . . . . 448,000 459,5493.90%, 11/15/2047 . . . . . . . . . . 398,000 428,2724.00%, 7/1/2042. . . . . . . . . . . . 768,000 834,4176.50%, 10/15/2037 . . . . . . . . . . 135,000 192,376

Walgreen Co.4.40%, 9/15/2042 . . . . . . . . . . . 90,000 85,635

Walgreens Boots Alliance, Inc.:4.50%, 11/18/2034 . . . . . . . . . . 165,000 169,5114.65%, 6/1/2046. . . . . . . . . . . . 164,000 162,1994.80%, 11/18/2044 . . . . . . . . . . 518,000 520,103

Walmart, Inc.:3.25%, 7/8/2029. . . . . . . . . . . . 300,000 316,5873.63%, 12/15/2047 . . . . . . . . . . 533,000 569,5483.95%, 6/28/2038 . . . . . . . . . . . 509,000 567,3674.00%, 4/11/2043 . . . . . . . . . . . 1,004,000 1,111,1374.05%, 6/29/2048 . . . . . . . . . . . 210,000 240,4294.30%, 4/22/2044 . . . . . . . . . . . 418,000 483,7054.88%, 7/8/2040. . . . . . . . . . . . 300,000 371,0135.00%, 10/25/2040 . . . . . . . . . . 650,000 815,7045.25%, 9/1/2035. . . . . . . . . . . . 60,000 76,249


5.63%, 4/1/2040. . . . . . . . . . . . $ 172,000 $ 230,5085.63%, 4/15/2041 . . . . . . . . . . . 87,000 117,5226.20%, 4/15/2038 . . . . . . . . . . . 366,000 516,3536.50%, 8/15/2037 . . . . . . . . . . . 337,000 487,5957.55%, 2/15/2030 . . . . . . . . . . . 15,000 21,542

23,094,277

SEMICONDUCTORS — 1.0%Analog Devices, Inc.

5.30%, 12/15/2045 . . . . . . . . . . 203,000 234,394Applied Materials, Inc.:

4.35%, 4/1/2047 (c) . . . . . . . . . 419,000 467,4705.10%, 10/1/2035 . . . . . . . . . . . 51,000 61,5935.85%, 6/15/2041 . . . . . . . . . . . 224,000 288,978

Intel Corp.:3.73%, 12/8/2047 . . . . . . . . . . . 360,000 373,8314.00%, 12/15/2032 . . . . . . . . . . 274,000 308,7574.10%, 5/19/2046 . . . . . . . . . . . 375,000 409,7514.10%, 5/11/2047 . . . . . . . . . . . 668,000 730,7124.80%, 10/1/2041 . . . . . . . . . . . 600,000 708,4384.90%, 7/29/2045 . . . . . . . . . . . 96,000 116,426

KLA-Tencor Corp.5.00%, 3/15/2049 . . . . . . . . . . . 110,000 122,917

Lam Research Corp.4.88%, 3/15/2049 . . . . . . . . . . . 355,000 391,441

QUALCOMM, Inc.:4.30%, 5/20/2047 . . . . . . . . . . . 363,000 381,5854.65%, 5/20/2035 . . . . . . . . . . . 288,000 320,2564.80%, 5/20/2045 . . . . . . . . . . . 518,000 580,989

Texas Instruments, Inc.:3.88%, 3/15/2039 . . . . . . . . . . . 245,000 266,5624.15%, 5/15/2048 . . . . . . . . . . . 601,000 681,997

6,446,097

SOFTWARE — 3.3%Activision Blizzard, Inc.

4.50%, 6/15/2047 . . . . . . . . . . . 97,000 101,044Fidelity National Information

Services, Inc.:4.50%, 8/15/2046 . . . . . . . . . . . 225,000 239,465Series 30Y, 4.75%, 5/15/2048 . . . 100,000 111,647

Fiserv, Inc.4.40%, 7/1/2049. . . . . . . . . . . . 200,000 210,844

Microsoft Corp.:3.45%, 8/8/2036. . . . . . . . . . . . 412,000 435,4063.50%, 2/12/2035 . . . . . . . . . . . 398,000 424,2283.50%, 11/15/2042 . . . . . . . . . . 104,000 108,3003.70%, 8/8/2046. . . . . . . . . . . . 1,474,000 1,594,0873.75%, 5/1/2043. . . . . . . . . . . . 140,000 152,1973.75%, 2/12/2045 . . . . . . . . . . . 555,000 603,4513.95%, 8/8/2056. . . . . . . . . . . . 627,000 697,9204.00%, 2/12/2055 . . . . . . . . . . . 515,000 577,8514.10%, 2/6/2037. . . . . . . . . . . . 844,000 963,3164.20%, 11/3/2035 . . . . . . . . . . . 446,000 512,6904.45%, 11/3/2045 . . . . . . . . . . . 1,720,000 2,069,7454.50%, 10/1/2040 . . . . . . . . . . . 492,000 588,880


22


4.50%, 2/6/2057. . . . . . . . . . . . $ 751,000 $ 917,0164.75%, 11/3/2055 . . . . . . . . . . . 424,000 540,2864.88%, 12/15/2043 . . . . . . . . . . 98,000 122,9905.20%, 6/1/2039. . . . . . . . . . . . 299,000 387,5885.30%, 2/8/2041. . . . . . . . . . . . 595,000 777,433Series 30Y, 4.25%, 2/6/2047 . . . . 803,000 946,817

Oracle Corp.:3.25%, 5/15/2030 . . . . . . . . . . . 705,000 739,9963.80%, 11/15/2037 . . . . . . . . . . 386,000 407,8283.85%, 7/15/2036 . . . . . . . . . . . 576,000 612,9963.90%, 5/15/2035 . . . . . . . . . . . 81,000 87,7194.00%, 7/15/2046 . . . . . . . . . . . 1,118,000 1,199,2904.00%, 11/15/2047 . . . . . . . . . . 216,000 232,2114.13%, 5/15/2045 . . . . . . . . . . . 859,000 930,9934.30%, 7/8/2034. . . . . . . . . . . . 735,000 835,8644.38%, 5/15/2055 . . . . . . . . . . . 738,000 826,9814.50%, 7/8/2044. . . . . . . . . . . . 189,000 214,6215.38%, 7/15/2040 . . . . . . . . . . . 870,000 1,103,0036.13%, 7/8/2039. . . . . . . . . . . . 275,000 376,1236.50%, 4/15/2038 . . . . . . . . . . . 228,000 318,961

20,969,787

TELECOMMUNICATIONS —8.7%

America Movil SAB de CV:4.38%, 7/16/2042 (c) . . . . . . . . . 853,000 914,4164.38%, 4/22/2049 . . . . . . . . . . . 330,000 355,9056.13%, 11/15/2037 . . . . . . . . . . 145,000 186,3796.13%, 3/30/2040 . . . . . . . . . . . 576,000 751,5136.38%, 3/1/2035. . . . . . . . . . . . 202,000 263,828

AT&T, Inc.:4.30%, 2/15/2030 . . . . . . . . . . . 614,000 656,0774.30%, 12/15/2042 . . . . . . . . . . 951,000 939,9214.35%, 3/1/2029. . . . . . . . . . . . 15,000 16,1434.35%, 6/15/2045 . . . . . . . . . . . 596,000 595,5774.50%, 5/15/2035 . . . . . . . . . . . 907,000 950,6454.50%, 3/9/2048. . . . . . . . . . . . 1,332,000 1,359,6394.55%, 3/9/2049. . . . . . . . . . . . 620,000 633,5414.65%, 6/1/2044. . . . . . . . . . . . 382,000 394,2324.75%, 5/15/2046 . . . . . . . . . . . 1,279,000 1,345,7644.80%, 6/15/2044 . . . . . . . . . . . 1,042,000 1,098,0704.85%, 3/1/2039. . . . . . . . . . . . 491,000 528,1594.90%, 8/15/2037 . . . . . . . . . . . 536,000 578,8594.90%, 6/15/2042 . . . . . . . . . . . 273,000 289,5985.15%, 3/15/2042 . . . . . . . . . . . 436,000 479,2825.15%, 11/15/2046 . . . . . . . . . . 338,000 373,6015.15%, 2/15/2050 . . . . . . . . . . . 755,000 834,6305.25%, 3/1/2037. . . . . . . . . . . . 950,000 1,065,9005.35%, 9/1/2040. . . . . . . . . . . . 543,000 612,8195.38%, 10/15/2041 . . . . . . . . . . 101,000 112,0735.45%, 3/1/2047. . . . . . . . . . . . 807,000 927,6385.55%, 8/15/2041 . . . . . . . . . . . 236,000 273,0405.65%, 2/15/2047 . . . . . . . . . . . 550,000 646,2065.70%, 3/1/2057. . . . . . . . . . . . 997,000 1,176,7496.00%, 8/15/2040 . . . . . . . . . . . 253,000 300,8306.10%, 7/15/2040 . . . . . . . . . . . 173,000 207,071


6.15%, 9/15/2034 . . . . . . . . . . . $ 499,000 $ 602,6576.20%, 3/15/2040 . . . . . . . . . . . 100,000 120,7516.25%, 3/29/2041 . . . . . . . . . . . 120,000 146,9236.30%, 1/15/2038 . . . . . . . . . . . 187,000 231,0936.35%, 3/15/2040 . . . . . . . . . . . 317,000 390,4656.38%, 3/1/2041. . . . . . . . . . . . 260,000 324,1006.50%, 9/1/2037. . . . . . . . . . . . 485,000 605,115

Bell Canada, Inc.:4.30%, 7/29/2049 . . . . . . . . . . . 110,000 118,6844.46%, 4/1/2048. . . . . . . . . . . . 322,000 353,656

British Telecommunications PLC9.63%, 12/15/2030 . . . . . . . . . . 773,000 1,165,259

Cisco Systems, Inc.:5.50%, 1/15/2040 . . . . . . . . . . . 796,000 1,048,2605.90%, 2/15/2039 . . . . . . . . . . . 883,000 1,204,491

Deutsche Telekom InternationalFinance B.V.:8.75%, 6/15/2030 . . . . . . . . . . . 1,089,000 1,563,6849.25%, 6/1/2032. . . . . . . . . . . . 86,000 132,177

Juniper Networks, Inc.5.95%, 3/15/2041 . . . . . . . . . . . 266,000 289,344

Koninklijke KPN NV8.38%, 10/1/2030 . . . . . . . . . . . 331,000 435,093

Motorola Solutions, Inc.5.50%, 9/1/2044. . . . . . . . . . . . 133,000 134,744

Orange SA:5.38%, 1/13/2042 . . . . . . . . . . . 183,000 221,8205.50%, 2/6/2044. . . . . . . . . . . . 140,000 173,5759.00%, 3/1/2031. . . . . . . . . . . . 753,000 1,145,652

Rogers Communications, Inc.:4.30%, 2/15/2048 . . . . . . . . . . . 122,000 130,3224.35%, 5/1/2049. . . . . . . . . . . . 385,000 415,8124.50%, 3/15/2043 . . . . . . . . . . . 375,000 405,4505.00%, 3/15/2044 . . . . . . . . . . . 352,000 408,2045.45%, 10/1/2043 . . . . . . . . . . . 75,000 91,0877.50%, 8/15/2038 . . . . . . . . . . . 225,000 324,067

Telefonica Emisiones SA:4.67%, 3/6/2038. . . . . . . . . . . . 605,000 629,6964.90%, 3/6/2048. . . . . . . . . . . . 558,000 589,6945.21%, 3/8/2047. . . . . . . . . . . . 665,000 731,1675.52%, 3/1/2049. . . . . . . . . . . . 365,000 421,0137.05%, 6/20/2036 . . . . . . . . . . . 622,000 814,428

Telefonica Europe B.V.8.25%, 9/15/2030 . . . . . . . . . . . 366,000 512,923

TELUS Corp.:4.30%, 6/15/2049 . . . . . . . . . . . 200,000 212,4104.60%, 11/16/2048 . . . . . . . . . . 200,000 221,904

Verizon Communications, Inc.:3.85%, 11/1/2042 . . . . . . . . . . . 619,000 630,3834.02%, 12/3/2029 (e) . . . . . . . . . 1,532,000 1,661,2094.13%, 8/15/2046 . . . . . . . . . . . 993,000 1,042,8784.27%, 1/15/2036 . . . . . . . . . . . 472,000 511,3084.40%, 11/1/2034 . . . . . . . . . . . 379,000 420,6714.50%, 8/10/2033 . . . . . . . . . . . 1,359,000 1,531,2264.52%, 9/15/2048 . . . . . . . . . . . 1,152,000 1,289,9064.67%, 3/15/2055 . . . . . . . . . . . 1,199,000 1,358,839


23


4.75%, 11/1/2041 . . . . . . . . . . . $ 512,000 $ 582,7694.81%, 3/15/2039 . . . . . . . . . . . 627,000 720,3544.86%, 8/21/2046 . . . . . . . . . . . 1,790,000 2,083,6675.01%, 4/15/2049 . . . . . . . . . . . 950,000 1,130,2155.01%, 8/21/2054 . . . . . . . . . . . 42,000 49,9995.25%, 3/16/2037 . . . . . . . . . . . 1,100,000 1,318,7905.50%, 3/16/2047 . . . . . . . . . . . 658,000 831,8575.85%, 9/15/2035 . . . . . . . . . . . 700,000 879,4316.40%, 9/15/2033 . . . . . . . . . . . 4,000 5,2326.40%, 2/15/2038 . . . . . . . . . . . 200,000 262,6546.55%, 9/15/2043 . . . . . . . . . . . 388,000 539,584

Vodafone Group PLC:4.38%, 2/19/2043 . . . . . . . . . . . 464,000 460,8684.88%, 6/19/2049 . . . . . . . . . . . 350,000 369,5935.00%, 5/30/2038 . . . . . . . . . . . 300,000 325,4675.13%, 6/19/2059 . . . . . . . . . . . 350,000 378,2595.25%, 5/30/2048 . . . . . . . . . . . 855,000 941,8856.15%, 2/27/2037 . . . . . . . . . . . 545,000 658,4206.25%, 11/30/2032 . . . . . . . . . . 221,000 273,0927.88%, 2/15/2030 . . . . . . . . . . . 164,000 221,815

55,664,196


Hasbro, Inc.:5.10%, 5/15/2044 . . . . . . . . . . . 51,000 52,6556.35%, 3/15/2040 . . . . . . . . . . . 127,000 150,825

203,480

TRANSPORTATION — 3.5%Burlington Northern Santa Fe LLC:

3.90%, 8/1/2046. . . . . . . . . . . . 657,000 703,8704.05%, 6/15/2048 . . . . . . . . . . . 373,000 411,8554.13%, 6/15/2047 . . . . . . . . . . . 1,000 1,1114.15%, 4/1/2045. . . . . . . . . . . . 83,000 92,1964.15%, 12/15/2048 (c) . . . . . . . . 80,000 89,8584.40%, 3/15/2042 . . . . . . . . . . . 384,000 433,8054.45%, 3/15/2043 . . . . . . . . . . . 743,000 848,5364.55%, 9/1/2044. . . . . . . . . . . . 261,000 302,4184.70%, 9/1/2045. . . . . . . . . . . . 90,000 106,6894.90%, 4/1/2044. . . . . . . . . . . . 399,000 483,6084.95%, 9/15/2041 . . . . . . . . . . . 150,000 180,9615.05%, 3/1/2041. . . . . . . . . . . . 450,000 543,7395.15%, 9/1/2043. . . . . . . . . . . . 206,000 255,4615.40%, 6/1/2041. . . . . . . . . . . . 411,000 517,2485.75%, 5/1/2040. . . . . . . . . . . . 160,000 209,4776.15%, 5/1/2037. . . . . . . . . . . . 89,000 119,1436.20%, 8/15/2036 . . . . . . . . . . . 132,000 176,768

Canadian National Railway Co.:3.20%, 8/2/2046. . . . . . . . . . . . 225,000 220,1423.65%, 2/3/2048. . . . . . . . . . . . 265,000 279,5914.45%, 1/20/2049 . . . . . . . . . . . 200,000 239,4266.20%, 6/1/2036. . . . . . . . . . . . 235,000 319,1146.25%, 8/1/2034. . . . . . . . . . . . 111,000 153,6676.38%, 11/15/2037 . . . . . . . . . . 10,000 14,009

Canadian Pacific Railway Co.:


4.80%, 9/15/2035 . . . . . . . . . . . $ 89,000 $ 101,7765.75%, 3/15/2033 . . . . . . . . . . . 30,000 37,2095.75%, 1/15/2042 . . . . . . . . . . . 61,000 76,9975.95%, 5/15/2037 . . . . . . . . . . . 9,000 11,5056.13%, 9/15/2115 . . . . . . . . . . . 645,000 879,1677.13%, 10/15/2031 . . . . . . . . . . 156,000 215,793

CSX Corp.:4.10%, 3/15/2044 . . . . . . . . . . . 175,000 183,6334.25%, 11/1/2066 . . . . . . . . . . . 138,000 139,4534.30%, 3/1/2048. . . . . . . . . . . . 289,000 313,1584.40%, 3/1/2043. . . . . . . . . . . . 149,000 161,6494.50%, 3/15/2049 . . . . . . . . . . . 105,000 117,7864.50%, 8/1/2054. . . . . . . . . . . . 112,000 123,1204.65%, 3/1/2068. . . . . . . . . . . . 100,000 107,1674.75%, 5/30/2042 . . . . . . . . . . . 227,000 257,5954.75%, 11/15/2048 . . . . . . . . . . 180,000 209,1915.50%, 4/15/2041 . . . . . . . . . . . 163,000 197,8856.00%, 10/1/2036 . . . . . . . . . . . 164,000 205,4176.15%, 5/1/2037. . . . . . . . . . . . 167,000 213,8086.22%, 4/30/2040 . . . . . . . . . . . 815,000 1,063,942

FedEx Corp.:3.88%, 8/1/2042. . . . . . . . . . . . 284,000 268,7323.90%, 2/1/2035. . . . . . . . . . . . 127,000 127,6524.05%, 2/15/2048 . . . . . . . . . . . 295,000 284,6904.10%, 2/1/2045. . . . . . . . . . . . 147,000 141,4644.40%, 1/15/2047 . . . . . . . . . . . 423,000 423,7154.55%, 4/1/2046. . . . . . . . . . . . 437,000 447,7944.75%, 11/15/2045 . . . . . . . . . . 830,000 873,8414.90%, 1/15/2034 . . . . . . . . . . . 122,000 142,1765.10%, 1/15/2044 . . . . . . . . . . . 169,000 186,282

Kansas City Southern:4.70%, 5/1/2048. . . . . . . . . . . . 150,000 167,8524.95%, 8/15/2045 . . . . . . . . . . . 310,000 351,751

Norfolk Southern Corp.:3.94%, 11/1/2047 . . . . . . . . . . . 68,000 70,6943.95%, 10/1/2042 . . . . . . . . . . . 137,000 140,7884.05%, 8/15/2052 . . . . . . . . . . . 177,000 185,1354.10%, 5/15/2049 . . . . . . . . . . . 325,000 346,3074.15%, 2/28/2048 (c) . . . . . . . . . 50,000 53,6914.45%, 6/15/2045 . . . . . . . . . . . 185,000 205,5524.65%, 1/15/2046 . . . . . . . . . . . 455,000 519,6464.84%, 10/1/2041 . . . . . . . . . . . 190,000 220,2315.10%, 8/1/2118. . . . . . . . . . . . 330,000 374,147

Union Pacific Corp.:3.35%, 8/15/2046 . . . . . . . . . . . 300,000 282,2883.38%, 2/1/2035. . . . . . . . . . . . 46,000 45,4033.60%, 9/15/2037 . . . . . . . . . . . 78,000 78,8823.80%, 10/1/2051 . . . . . . . . . . . 397,000 399,1084.00%, 4/15/2047 . . . . . . . . . . . 99,000 103,7154.05%, 11/15/2045 . . . . . . . . . . 279,000 291,6474.05%, 3/1/2046. . . . . . . . . . . . 243,000 253,9064.10%, 9/15/2067 . . . . . . . . . . . 52,000 51,9744.15%, 1/15/2045 . . . . . . . . . . . 505,000 532,7404.25%, 4/15/2043 . . . . . . . . . . . 165,000 175,2184.30%, 6/15/2042 . . . . . . . . . . . 34,000 36,475


24


4.30%, 3/1/2049. . . . . . . . . . . . $ 97,000 $ 107,2794.38%, 9/10/2038 . . . . . . . . . . . 115,000 126,4724.38%, 11/15/2065 . . . . . . . . . . 479,000 503,0514.50%, 9/10/2048 . . . . . . . . . . . 320,000 363,2034.75%, 9/15/2041 (c) . . . . . . . . . 200,000 225,4664.80%, 9/10/2058 . . . . . . . . . . . 300,000 348,5734.82%, 2/1/2044. . . . . . . . . . . . 37,000 42,6946.63%, 2/1/2029. . . . . . . . . . . . 25,000 32,001

United Parcel Service, Inc.:3.40%, 11/15/2046 . . . . . . . . . . 420,000 399,7013.63%, 10/1/2042 . . . . . . . . . . . 100,000 99,5914.25%, 3/15/2049 . . . . . . . . . . . 150,000 164,5324.88%, 11/15/2040 . . . . . . . . . . 506,000 593,1436.20%, 1/15/2038 . . . . . . . . . . . 375,000 511,031

22,619,176


GATX Corp.5.20%, 3/15/2044 . . . . . . . . . . . 116,000 130,573

WATER — 0.4%American Water Capital Corp.:

3.45%, 6/1/2029. . . . . . . . . . . . 6,000 6,2413.75%, 9/1/2047. . . . . . . . . . . . 68,000 68,8134.00%, 12/1/2046 . . . . . . . . . . . 312,000 321,4544.15%, 6/1/2049. . . . . . . . . . . . 600,000 648,1864.20%, 9/1/2048. . . . . . . . . . . . 210,000 226,9624.30%, 12/1/2042 . . . . . . . . . . . 228,000 246,9704.30%, 9/1/2045. . . . . . . . . . . . 400,000 434,0966.59%, 10/15/2037 . . . . . . . . . . 10,000 13,643

Aqua America, Inc.4.28%, 5/1/2049. . . . . . . . . . . . 200,000 215,430

Veolia Environnement SA6.75%, 6/1/2038. . . . . . . . . . . . 191,000 249,404

2,431,199

TOTAL CORPORATE BONDS &NOTES(Cost $600,741,657) . . . . . . . . . 632,635,618

Shares


U.S. Government Money MarketFund, Class G Shares 2.35%(g) (h) . . . . . . . . . . . . . . . . . . 1,399,343 1,399,343


State Street Navigator SecuritiesLending Portfolio III (i) (j) . . . . . 1,304,620 $ 1,304,620

TOTAL SHORT-TERM INVESTMENTS(Cost $2,703,963). . . . . . . . . . . . . . . . . . . . . . 2,703,963

TOTAL INVESTMENTS — 99.0%(Cost $603,445,620) . . . . . . . . . . . . . . . . . . . . 635,339,581

OTHER ASSETS IN EXCESS OF LIABILITIES— 1.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,667,758

NET ASSETS — 100.0% . . . . . . . . . . . . . . . . . . $ 642,007,339

(a) Amount is less than 0.05% of net assets.(b) Variable Rate Security - Interest rate shown is rate in effect at


(c) All or a portion of the shares of the security are on loan atJune 30, 2019.

(d) Step-up bond - Coupon rate increases in increments to maturity.Rate shown as of June 30, 2019. Maturity date shown is the finalmaturity.

(e) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 2.5% ofnet assets as of June 30, 2019, are considered liquid and may beresold in transactions exempt from registration, normally toqualified institutional buyers.

(f) When-issued security.(g) The Fund invested in certain money market funds managed by





BKNT = Bank NotesGMTN = Global Medium Term NoteLIBOR = London Interbank Offered RateMTN = Medium Term Note


25



Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $632,635,618 $— $632,635,618

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,703,963 — — 2,703,963

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,703,963 $632,635,618 $— $635,339,581

Affiliate Table


at6/30/18

Value at6/30/18

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at6/30/19

Value at6/30/19

DividendIncome

State Street Institutional U.S. Government Money Market Fund, Class GShares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,469 $106,469 $47,300,361 $46,007,487 $— $— 1,399,343 $1,399,343 $21,134

State Street Navigator Securities Lending Government Money MarketPortfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581,483 581,483 9,021,286 9,602,769 — — — — 4,242

State Street Navigator Securities Lending Portfolio III . . . . . . . . . . . . — — 4,335,680 3,031,060 — — 1,304,620 1,304,620 1,164

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $687,952 $60,657,327 $58,641,316 $— $— $2,703,963 $26,540


26 ARSPLB

Annual Report - SSGA · 6/30/2019 · grade bond market. The Fund’s benchmark is the Bloomberg...

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Transcript of Annual Report - SSGA · 6/30/2019 · grade bond market. The Fund’s benchmark is the Bloomberg...