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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Dow Inc | NYSE:DOW | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.30 | 0.53% | 57.34 | 57.37 | 56.72 | 57.26 | 3,862,635 | 00:23:19 |
Page | |||||
FINANCIAL STATEMENTS | |||||
2021 | 2020 | |||||||||||||||||||
Allocated Participant Directed | Unallocated Non-participant Directed | Total | Allocated Participant Directed | Unallocated Non-participant Directed | Total | |||||||||||||||
Assets | ||||||||||||||||||||
Investments - at fair value (Notes 3 and 4) | $ | 10,327,727,838 | $ | 28,772,751 | $ | 10,356,500,589 | $ | 9,191,738,777 | $ | 95,712,891 | $ | 9,287,451,668 | ||||||||
Fully benefit-responsive investment contracts - at contract value | 1,857,512,151 | — | 1,857,512,151 | 2,029,622,679 | — | 2,029,622,679 | ||||||||||||||
Receivables - interest, dividends and other | 3,055,166,328 | 2 | 3,055,166,330 | 8,248,882 | 576,719 | 8,825,601 | ||||||||||||||
Receivables - participant notes | 90,504,920 | — | 90,504,920 | 98,356,901 | — | 98,356,901 | ||||||||||||||
Total Assets | $ | 15,330,911,237 | $ | 28,772,753 | $ | 15,359,683,990 | $ | 11,327,967,239 | $ | 96,289,610 | $ | 11,424,256,849 | ||||||||
Liabilities | ||||||||||||||||||||
LESOP loan payable (Note 5) | $ | — | $ | 2,777,671 | $ | 2,777,671 | $ | — | $ | 8,963,940 | $ | 8,963,940 | ||||||||
Other payables | 3,566,776,355 | 134,181 | 3,566,910,536 | 5,509,244 | 433,020 | 5,942,264 | ||||||||||||||
Total Liabilities | $ | 3,566,776,355 | $ | 2,911,852 | $ | 3,569,688,207 | $ | 5,509,244 | $ | 9,396,960 | $ | 14,906,204 | ||||||||
Net Assets Available For Benefits | $ | 11,764,134,882 | $ | 25,860,901 | $ | 11,789,995,783 | $ | 11,322,457,995 | $ | 86,892,650 | $ | 11,409,350,645 |
Allocated Participant Directed | Unallocated Non- Participant Directed | Total | |||||||||
Additions | |||||||||||
Investment income | |||||||||||
Net realized/unrealized gain on investments | $ | 1,276,556,952 | $ | 6,882,653 | $ | 1,283,439,605 | |||||
Interest and dividends | 177,904,539 | 3,005,394 | 180,909,933 | ||||||||
Total investment gain | $ | 1,454,461,491 | $ | 9,888,047 | $ | 1,464,349,538 | |||||
Employer contributions | $ | 4,847,389 | $ | 2,724,746 | $ | 7,572,135 | |||||
Employee contributions | 229,915,816 | — | 229,915,816 | ||||||||
Interest on participant notes receivable | 4,043,759 | — | 4,043,759 | ||||||||
Allocation of 1,214,376 shares of common stock of Dow Inc., at market | 73,362,804 | — | 73,362,804 | ||||||||
Total additions | $ | 1,766,631,259 | $ | 12,612,793 | $ | 1,779,244,052 | |||||
Deductions | |||||||||||
Distributions and withdrawals | $ | 1,319,297,531 | $ | — | $ | 1,319,297,531 | |||||
Administrative expenses | 1,728,856 | — | 1,728,856 | ||||||||
Interest expense | — | 281,738 | 281,738 | ||||||||
Allocation of 1,214,376 shares of common stock of Dow Inc., at market | — | 73,362,804 | 73,362,804 | ||||||||
Total deductions | $ | 1,321,026,387 | $ | 73,644,542 | $ | 1,394,670,929 | |||||
Net increase (decrease) | $ | 445,604,872 | $ | (61,031,749) | $ | 384,573,123 | |||||
Transfers out | (3,927,985) | — | (3,927,985) | ||||||||
Net Assets Available for Benefits | |||||||||||
Beginning of year | 11,322,457,995 | 86,892,650 | 11,409,350,645 | ||||||||
End of year | $ | 11,764,134,882 | $ | 25,860,901 | $ | 11,789,995,783 |
2021 | 2020 | |||||||||||||
Allocated | Unallocated | Allocated | Unallocated | |||||||||||
Number of Shares | 4,020,030 | 507,277 | 4,402,962 | 1,721,653 | ||||||||||
Cost | $ | 17,106,378 | $ | 15,005,867 | $ | 19,195,037 | $ | 48,578,984 | ||||||
Fair Value | $ | 228,016,102 | $ | 28,772,751 | $ | 244,364,391 | $ | 95,551,742 |
Assets Measured at Fair Value on a Recurring Basis | December 31, 2021 | December 31, 2020 | ||||||||||||
Total | Level 1 | Total | Level 1 | |||||||||||
Dow Inc. common stock: | ||||||||||||||
Allocated participant directed | $ | 588,947,129 | $ | 588,947,129 | $ | 582,601,371 | $ | 582,601,371 | ||||||
Unallocated non-participant directed | 28,772,751 | 28,772,751 | 95,551,742 | 95,551,742 | ||||||||||
Common stock 1 | — | — | 733,214,184 | 733,214,184 | ||||||||||
Mutual funds 1 | 1,152,757,615 | 1,152,757,615 | 1,686,751,549 | 1,686,751,549 | ||||||||||
Temporary investments - Money market funds: | ||||||||||||||
Allocated participant directed 1 | 611,239,265 | 611,239,265 | 64,485,031 | 64,485,031 | ||||||||||
Unallocated non-participant directed | — | — | 161,149 | 161,149 | ||||||||||
Total categorized assets at fair value | $ | 2,381,716,760 | $ | 2,381,716,760 | $ | 3,162,765,026 | $ | 3,162,765,026 | ||||||
Fair value measured at net asset value per share: 2 | ||||||||||||||
Common/collective trusts 1 | 7,974,783,829 | 6,124,686,642 | ||||||||||||
Total assets at fair value | $ | 10,356,500,589 | $ | 9,287,451,668 |
Reconciliation of Net Assets Available for Benefits per the Financial Statements to Form 5500 at December 31, | 2021 | 2020 | ||||||
Net assets available for benefits per the financial statements | $ | 11,789,995,783 | $ | 11,409,350,645 | ||||
Adjustment from contract value to fair value for fully benefit-responsive Synthetic GICs | 34,977,075 | 92,988,189 | ||||||
Net assets available for benefits per Form 5500 | $ | 11,824,972,858 | $ | 11,502,338,834 |
Reconciliation of Net Increase in Net Assets Available for Benefits per the Financial Statements to Form 5500 for 2021 | |||||
Net increase in net assets available for benefits per the financial statements | $ | 384,573,123 | |||
Adjustment from contract value to fair value for fully benefit-responsive Synthetic GICs | (58,011,114) | ||||
Net income per Form 5500 | $ | 326,562,009 |
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN | ||||||||||||||
PLAN SPONSOR: THE DOW CHEMICAL COMPANY | ||||||||||||||
EMPLOYER IDENTIFICATION NO. 38-1285128 | ||||||||||||||
PLAN NO. 002 | ||||||||||||||
SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR) | ||||||||||||||
INCLUDING APPENDICES A - C | ||||||||||||||
AS OF DECEMBER 31, 2021 | ||||||||||||||
(c) | ||||||||||||||
Description of Investment | ||||||||||||||
(b) | Including Maturity Date, | (d) | (e) | |||||||||||
Identity of Issuer, Borrower, | Rate of Interest, Collateral, | Cost or Contract | Current | |||||||||||
(a) | Lessor, or Similar Party | Par, or Maturity Value | Value | Value | ||||||||||
* | Dow Inc. | |||||||||||||
Dow Stock | Dow Stock | ** | $ | 360,931,027 | ||||||||||
LESOP | Allocated LESOP - Dow Stock | ** | 228,016,102 | |||||||||||
LESOP | Unallocated LESOP - Dow Stock | $ | 15,005,867 | 28,772,751 | ||||||||||
PIM Total Return Inst | Mutual Fund | ** | 166,600,529 | |||||||||||
NB Genesis R6 | Mutual Fund | ** | 287,214,113 | |||||||||||
TRP High Yield Inst | Mutual Fund | ** | 121,800,949 | |||||||||||
BTC LifePath RET T | Common/Collective Trust | ** | 408,308,962 | |||||||||||
BTC LifePath 2025 T | Common/Collective Trust | ** | 455,033,624 | |||||||||||
BTC LifePath 2030 T | Common/Collective Trust | ** | 468,418,417 | |||||||||||
BTC LifePath 2035 T | Common/Collective Trust | ** | 355,221,433 | |||||||||||
BTC LifePath 2040 T | Common/Collective Trust | ** | 295,783,423 | |||||||||||
BTC LifePath 2045 T | Common/Collective Trust | ** | 261,544,818 | |||||||||||
BTC LifePath 2050 T | Common/Collective Trust | ** | 225,135,324 | |||||||||||
BTC LifePath 2055 T | Common/Collective Trust | ** | 197,536,006 | |||||||||||
BTC LifePath 2060 T | Common/Collective Trust | ** | 38,692,404 | |||||||||||
BTC LifePath 2065 T | Common/Collective Trust | ** | 232,892 | |||||||||||
SS EMRG MKTS IDX II | Common/Collective Trust | ** | 106,111,393 | |||||||||||
SS GACEQ EXUS IDX II | Common/Collective Trust | ** | 188,187,169 | |||||||||||
INV GOVT Liquidty TR | Common/Collective Trust | ** | 115,942,696 | |||||||||||
BR Midcap GR EQ UA | Common/Collective Trust | ** | 558,703,909 | |||||||||||
MKS Convertible | Common/Collective Trust | ** | 35,895,939 | |||||||||||
MFS US REIT Fund | Common/Collective Trust | ** | 92,151,129 | |||||||||||
BR Equity Index | Common/Collective Trust | ** | 2,071,219,791 | |||||||||||
BR Extended EQ MKT | Common/Collective Trust | ** | 497,419,825 | |||||||||||
BR US Debt Index NL | Common/Collective Trust | ** | 180,172,809 | |||||||||||
Vang Global Equity | Mutual Fund | ** | 260,100,006 | |||||||||||
Vang Dev Mkt IDX IP | Mutual Fund | ** | 157,453,716 | |||||||||||
Vang LT Treasury ADM | Mutual Fund | ** | 61,562,724 | |||||||||||
PIM Com Real Ret I | Mutual Fund | ** | 21,839,646 | |||||||||||
PIM Real Return Inst | Mutual Fund | ** | 76,185,932 | |||||||||||
Small Cap: | ||||||||||||||
BTC Russell 2000 Index Fund | Common/Collective Trust | ** | 351,806,377 | |||||||||||
Forward | $ | 8,673,995,835 | ||||||||||||
* | Represents a party-in-interest to the Plan | |||||||||||||
** | Cost information not required |
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN | ||||||||||||||
PLAN SPONSOR: THE DOW CHEMICAL COMPANY | ||||||||||||||
EMPLOYER IDENTIFICATION NO. 38-1285128 | ||||||||||||||
PLAN NO. 002 | ||||||||||||||
SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR) | ||||||||||||||
INCLUDING APPENDICES A - C | ||||||||||||||
AS OF DECEMBER 31, 2021 | ||||||||||||||
(c) | ||||||||||||||
Description of Investment | ||||||||||||||
(b) | Including Maturity Date, | (d) | (e) | |||||||||||
Identity of Issuer, Borrower, | Rate of Interest, Collateral, | Cost or Contract | Current | |||||||||||
(a) | Lessor, or Similar Party | Par, or Maturity Value | Value | Value | ||||||||||
Forward | $ | 8,673,995,835 | ||||||||||||
* | Fidelity Contrafund Pool CL 3 | Common/Collective Trust | ** | 1,071,265,489 | ||||||||||
* | Interest Bearing Cash | Temporary Investments | ** | 525,375,385 | ||||||||||
* | Non-Interest Bearing Cash | Temporary Investments | ** | 15 | ||||||||||
* | Fidelity Short Term Investment Fund | Temporary Investments | ** | 85,863,865 | ||||||||||
* | Participant Notes Receivable | Interest recorded at prime rate (3.25% - 8.5%) and maturities up to 120 months | ** | 90,504,920 | ||||||||||
Total | $ | 10,447,005,509 | ||||||||||||
* | Represents a party-in-interest to the Plan | (continued) | ||||||||||||
** | Cost information not required |
(c) | |||||||||||||||||
(b) | Face Value | (e) | |||||||||||||||
Identity of Issue, Borrower, | or Number | (d) | Current | ||||||||||||||
(a) | Lessor or Similar Party | of Shares | Cost | Value | |||||||||||||
ADVENTIST HEALTH SYSTEM/WEST | 2.433% 09/01/2024 DD 10/31/19 | 700,000 | $ | 700,000 | $ | 710,062 | |||||||||||
AERCAP IRELAND CAPITAL DAC / A | 3.300% 01/30/2032 DD 10/29/21 | 600,000 | 597,744 | 612,480 | |||||||||||||
ALEXANDRIA REAL ESTATE EQUITIE | 1.875% 02/01/2033 DD 08/05/20 | 700,000 | 698,684 | 658,651 | |||||||||||||
AMEREN CORP | 1.750% 03/15/2028 DD 03/05/21 | 1,000,000 | 999,080 | 967,110 | |||||||||||||
AMERICAN TOWER CORP | 2.750% 01/15/2027 DD 10/03/19 | 700,000 | 698,866 | 721,910 | |||||||||||||
AMERICAN TOWER CORP | 3.000% 06/15/2023 DD 12/08/17 | 900,000 | 925,875 | 925,452 | |||||||||||||
ANDREW W MELLON FOUNDATION/THE | 0.947% 08/01/2027 DD 07/29/20 | 700,000 | 700,000 | 679,504 | |||||||||||||
AT&T INC | 4.300% 02/15/2030 DD 08/15/18 | 1,549,000 | 1,557,163 | 1,745,010 | |||||||||||||
AVOLON HOLDINGS FUNDING L 144A | 2.125% 02/21/2026 DD 01/21/21 | 400,000 | 396,064 | 392,796 | |||||||||||||
BANCO SANTANDER SA | 1.849% 03/25/2026 DD 03/25/21 | 600,000 | 600,000 | 597,012 | |||||||||||||
BANK 2017-BNK7 BNK7 ASB | 3.265% 09/15/2060 DD 09/01/17 | 1,000,000 | 1,029,960 | 1,046,280 | |||||||||||||
BANK 2021-BNK38 BN38 ASB | 2.506% 12/15/2064 DD 12/01/21 | 500,000 | 514,982 | 513,010 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 02/13/2026 DD 02/13/20 | 100,000 | 100,150 | 101,327 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/21/2028 DD 07/21/17 | 2,800,000 | 2,982,196 | 3,015,600 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 12/20/2028 DD 12/20/17 | 800,000 | 805,326 | 854,744 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 04/29/2031 DD 04/29/20 | 500,000 | 518,465 | 505,605 | |||||||||||||
BANNER HEALTH | 1.897% 01/01/2031 DD 10/29/20 | 400,000 | 400,000 | 389,792 | |||||||||||||
BARCLAYS PLC | VAR RT 06/24/2031 DD 06/24/20 | 2,100,000 | 2,164,785 | 2,093,175 | |||||||||||||
BAT CAPITAL CORP | 2.259% 03/25/2028 DD 09/25/20 | 500,000 | 500,000 | 487,620 | |||||||||||||
BEAR STEARNS ALT-A TRUS 11 2A2 | VAR RT 11/25/2034 DD 09/01/04 | 42,982 | 42,364 | 44,342 | |||||||||||||
BNP PARIBAS SA 144A | VAR RT 09/30/2028 DD 09/30/20 | 700,000 | 689,192 | 683,816 | |||||||||||||
BROADCOM INC 144A | 3.419% 04/15/2033 DD 03/31/21 | 400,000 | 425,500 | 419,812 | |||||||||||||
BROADCOM INC 144A | 3.469% 04/15/2034 DD 03/31/21 | 300,000 | 317,523 | 314,208 | |||||||||||||
BROOKFIELD FINANCE I UK PLC | 2.340% 01/30/2032 DD 07/26/21 | 700,000 | 700,000 | 683,655 | |||||||||||||
CALIFORNIA ST UNIV REVENUE | 1.690% 11/01/2029 DD 09/17/20 | 600,000 | 600,000 | 584,898 | |||||||||||||
CGMS COMMERCIAL MORTGAG B1 AAB | 3.243% 08/15/2050 DD 08/01/17 | 2,300,000 | 2,360,131 | 2,413,022 | |||||||||||||
CITIGROUP COMMERCIAL GC11 AAB | 2.690% 04/10/2046 DD 04/01/13 | 88,093 | 87,876 | 88,891 | |||||||||||||
CITIGROUP COMMERCIAL GC29 AAB | 2.984% 04/10/2048 DD 04/01/15 | 441,688 | 451,298 | 452,377 | |||||||||||||
CITIGROUP COMMERCIAL MO B2 AAB | 3.962% 03/10/2051 DD 03/01/18 | 700,000 | 720,960 | 755,601 | |||||||||||||
CITIGROUP COMMERCIAL MO P8 AAB | 3.268% 09/15/2050 DD 09/01/17 | 1,100,000 | 1,132,985 | 1,151,480 | |||||||||||||
CITIGROUP INC | 3.400% 05/01/2026 DD 05/02/16 | 2,850,000 | 2,879,145 | 3,057,566 | |||||||||||||
CITIGROUP INC | VAR RT 11/05/2030 DD 11/05/19 | 750,000 | 817,110 | 779,588 | |||||||||||||
COBB-MARIETTA COLISEUM & EXHIB | 2.700% 01/01/2022 DD 09/09/15 | 650,000 | 650,000 | 650,000 | |||||||||||||
COMM 2013-CCRE11 MORT CR11 ASB | 3.660% 08/10/2050 DD 10/01/13 | 226,438 | 236,557 | 231,379 | |||||||||||||
COMM 2013-CCRE9 MORTGAG CR9 A4 | VAR RT 07/10/2045 DD 07/01/13 | 600,000 | 633,609 | 622,590 | |||||||||||||
COMM 2014-CCRE19 MORT CR19 ASB | 3.499% 08/10/2047 DD 08/01/14 | 441,847 | 455,091 | 455,138 | |||||||||||||
COMM 2015-DC1 MORTGAGE DC1 ASB | 3.142% 02/10/2048 DD 03/01/15 | 213,412 | 219,812 | 218,000 | |||||||||||||
COMM 2016-COR1 MORTGA COR1 ASB | 2.972% 10/10/2049 DD 10/01/16 | 483,632 | 489,092 | 500,753 | |||||||||||||
COMM 2016-CR28 MORTGAG CR28 A4 | 3.762% 02/10/2049 DD 02/01/16 | 1,000,000 | 1,091,367 | 1,071,050 |
COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2037 DD 02/01/22 | — | 1,797 | 1,797 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2037 DD 01/01/22 | — | (2,227) | (2,227) | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2052 DD 01/01/22 | — | 86 | 86 | |||||||||||||
COOPERATIEVE RABOBANK UA 144A | VAR RT 06/24/2026 DD 06/24/20 | 500,000 | 500,000 | 493,035 | |||||||||||||
CREDIT AGRICOLE SA/LONDON 144A | 3.250% 10/04/2024 DD 10/04/17 | 900,000 | 926,010 | 941,697 | |||||||||||||
CREDIT SUISSE GROUP AG 144A | VAR RT 06/05/2026 DD 06/05/20 | 1,000,000 | 1,000,000 | 1,006,020 | |||||||||||||
CREDIT SUISSE GROUP AG 144A | VAR RT 05/14/2032 DD 05/14/21 | 1,000,000 | 1,043,500 | 1,018,690 | |||||||||||||
CSAIL 2015-C1 COMMERCIA C1 ASB | 3.351% 04/15/2050 DD 03/01/15 | 245,327 | 252,686 | 252,346 | |||||||||||||
CSAIL 2015-C4 COMMERCIA C4 ASB | 3.617% 11/15/2048 DD 11/01/15 | 760,481 | 817,547 | 790,786 | |||||||||||||
DELL INTERNATIONAL LLC / EMC C | 5.450% 06/15/2023 DD 06/15/21 | 108,000 | 117,873 | 113,938 | |||||||||||||
DELL INTERNATIONAL LLC / EMC C | 6.020% 06/15/2026 DD 06/15/21 | 300,000 | 360,438 | 346,929 | |||||||||||||
DEUTSCHE BANK AG/NEW YORK NY | VAR RT 09/18/2031 DD 09/18/20 | 200,000 | 214,716 | 210,710 | |||||||||||||
DEUTSCHE BANK AG/NEW YORK NY | VAR RT 05/28/2032 DD 05/28/21 | 400,000 | 404,916 | 403,508 | |||||||||||||
DLLAD 2021-1 LLC 1A A3 144A | 0.640% 09/21/2026 DD 07/28/21 | 1,000,000 | 999,938 | 982,180 | |||||||||||||
DTE ELECTRIC CO | 1.900% 04/01/2028 DD 03/29/21 | 1,000,000 | 999,150 | 990,890 | |||||||||||||
DTE ENERGY CO | 1.050% 06/01/2025 DD 08/06/20 | 900,000 | 898,911 | 882,171 | |||||||||||||
ECMC GROUP STUDENT 1A A1B 144A | VAR RT 11/25/2070 DD 09/22/21 | 1,728,705 | 1,728,705 | 1,727,945 | |||||||||||||
ECMC GROUP STUDENT L 2A A 144A | VAR RT 05/25/2067 DD 08/10/17 | 590,277 | 590,277 | 598,217 | |||||||||||||
EQUITABLE FINANCIAL LIFE 144A | 1.300% 07/12/2026 DD 07/12/21 | 1,000,000 | 998,070 | 979,150 | |||||||||||||
ESC LEHMAN BRTH HLD | 0.000% 05/02/2018 DD 04/24/08 | 1,800,000 | 926,071 | 9,900 | |||||||||||||
ESC LEHMAN BRTH HLD ESCROW | 0.000% 11/24/2013 DD 01/22/08 | 900,000 | 475,078 | 4,950 | |||||||||||||
EXPEDIA GROUP INC 144A | 6.250% 05/01/2025 DD 05/05/20 | 242,000 | 280,841 | 273,119 | |||||||||||||
FEDERAL HOME LN BK CONS BD | 3.375% 12/08/2023 DD 12/09/13 | 1,300,000 | 1,326,620 | 1,365,949 | |||||||||||||
FHLMC POOL #1G-1744 | VAR RT 08/01/2035 DD 09/01/05 | 36,175 | 36,715 | 37,774 | |||||||||||||
FHLMC POOL #78-0605 | VAR RT 06/01/2033 DD 06/01/03 | 156,435 | 158,425 | 167,566 | |||||||||||||
FHLMC POOL #84-6183 | VAR RT 01/01/2024 DD 10/01/95 | 2,058 | 2,265 | 2,360 | |||||||||||||
FHLMC POOL #G0-8835 | 3.500% 08/01/2048 DD 08/01/18 | 87,683 | 86,902 | 92,655 | |||||||||||||
FHLMC POOL #G0-8836 | 4.000% 08/01/2048 DD 08/01/18 | 134,950 | 137,923 | 143,524 | |||||||||||||
FHLMC POOL #G0-8841 | 3.500% 09/01/2048 DD 09/01/18 | 1,012,755 | 1,003,735 | 1,068,548 | |||||||||||||
FHLMC MULTICLASS MTG 3225 HF | VAR RT 10/15/2036 DD 10/15/06 | 223,774 | 224,823 | 227,350 | |||||||||||||
FHLMC MULTICLASS MTG 3843 FE | VAR RT 04/15/2041 DD 04/15/11 | 233,568 | 234,152 | 237,672 | |||||||||||||
FHLMC MULTICLASS MTG 3843 FG | VAR RT 04/15/2041 DD 04/15/11 | 233,568 | 234,152 | 237,672 | |||||||||||||
FHLMC MULTICLASS MTG 4559 AF | VAR RT 03/15/2042 DD 03/01/16 | 610,171 | 634,622 | 643,641 | |||||||||||||
FHLMC MULTICLASS MTG 4736 CD | 3.000% 08/15/2046 DD 11/01/17 | 304,265 | 299,558 | 315,900 | |||||||||||||
FHLMC MULTICLASS MTG 4989 FA | VAR RT 08/15/2040 DD 06/01/20 | 125,890 | 133,165 | 134,343 | |||||||||||||
FHLMC MULTICLASS MTG 4989 FB | VAR RT 10/15/2040 DD 06/01/20 | 64,025 | 66,806 | 67,401 | |||||||||||||
FHLMC MULTICLASS MTG K065 A1 | 2.864% 10/25/2026 DD 07/01/17 | 578,000 | 589,528 | 602,125 | |||||||||||||
FHLMC MULTICLASS MTG W5FX AFX | VAR RT 04/25/2028 DD 06/01/18 | 2,400,000 | 2,342,856 | 2,610,816 | |||||||||||||
FNMA POOL #0072163 | VAR RT 02/01/2028 DD 02/01/89 | 1,216 | 1,206 | 1,225 | |||||||||||||
FNMA POOL #0323919 | VAR RT 08/01/2029 DD 08/01/99 | 5,526 | 5,305 | 5,572 | |||||||||||||
FNMA POOL #0361373 | VAR RT 07/01/2026 DD 09/01/96 | 6,338 | 6,499 | 6,344 | |||||||||||||
FNMA POOL #0FM1796 | 3.500% 10/01/2034 DD 10/01/19 | 1,000,620 | 1,042,365 | 1,057,385 | |||||||||||||
FNMA POOL #0FM1843 | 3.500% 11/01/2034 DD 10/01/19 | 839,993 | 875,496 | 888,679 | |||||||||||||
FNMA POOL #0MA2705 | 3.000% 08/01/2046 DD 07/01/16 | 243,180 | 253,192 | 254,857 | |||||||||||||
FNMA POOL #0MA3897 | 3.000% 01/01/2035 DD 12/01/19 | 301,392 | 310,069 | 316,546 | |||||||||||||
FNMA GTD REMIC P/T 15-79 FE | VAR RT 11/25/2045 DD 10/25/15 | 366,847 | 364,726 | 368,318 | |||||||||||||
FNMA GTD REMIC P/T 16-11 CF | VAR RT 03/25/2046 DD 02/25/16 | 415,506 | 414,208 | 418,386 | |||||||||||||
FNMA GTD REMIC P/T 18-M12 FA | VAR RT 08/25/2025 DD 09/01/18 | 150,808 | 150,559 | 150,735 | |||||||||||||
FS KKR CAPITAL CORP | 1.650% 10/12/2024 DD 10/12/21 | 500,000 | 499,230 | 490,630 |
GA GLOBAL FUNDING TRUST 144A | 1.625% 01/15/2026 DD 01/15/21 | 550,000 | 551,898 | 545,738 | |||||||||||||
GE CAPITAL INTERNATIONAL FUNDI | 4.418% 11/15/2035 DD 05/15/16 | 1,000,000 | 1,208,525 | 1,195,120 | |||||||||||||
GLP CAPITAL LP / GLP FINANCING | 5.300% 01/15/2029 DD 09/26/18 | 300,000 | 340,593 | 340,560 | |||||||||||||
GNMA POOL #0434944 | 8.500% 11/15/2030 DD 11/01/00 | 2,141 | 2,222 | 2,199 | |||||||||||||
GNMA POOL #0434985 | 8.500% 12/15/2030 DD 12/01/00 | 1,721 | 1,783 | 1,728 | |||||||||||||
GNMA POOL #0498147 | 8.500% 12/15/2029 DD 12/01/99 | 206 | 214 | 207 | |||||||||||||
GNMA POOL #0511172 | 8.500% 01/15/2030 DD 01/01/00 | 415 | 431 | 417 | |||||||||||||
GNMA POOL #0520979 | 8.500% 09/15/2030 DD 09/01/00 | 2,807 | 2,913 | 3,173 | |||||||||||||
GNMA POOL #0521829 | 8.500% 05/15/2030 DD 05/01/00 | 2,394 | 2,482 | 2,436 | |||||||||||||
GNMA POOL #0531197 | 8.500% 06/15/2030 DD 06/01/00 | 6,444 | 6,679 | 6,470 | |||||||||||||
GNMA POOL #0698036 | 6.000% 01/15/2039 DD 01/01/09 | 10,895 | 11,870 | 12,556 | |||||||||||||
GNMA POOL #0782190 | 6.000% 10/15/2037 DD 10/01/07 | 1,952 | 2,127 | 2,265 | |||||||||||||
GNMA POOL #0782449 | 6.000% 09/15/2038 DD 10/01/08 | 15,484 | 16,871 | 17,796 | |||||||||||||
GNMA II POOL #0003001 | 8.500% 11/20/2030 DD 11/01/00 | 4,268 | 4,409 | 4,881 | |||||||||||||
GNMA II POOL #0008089 | VAR RT 12/20/2022 DD 12/01/92 | 3,600 | 3,661 | 3,612 | |||||||||||||
GNMA II POOL #0008913 | VAR RT 07/20/2026 DD 07/01/96 | 4,061 | 4,015 | 4,142 | |||||||||||||
GNMA II POOL #0080022 | VAR RT 12/20/2026 DD 12/01/96 | 5,113 | 5,135 | 5,235 | |||||||||||||
GNMA II POOL #0080354 | VAR RT 12/20/2029 DD 12/01/99 | 12,340 | 12,627 | 12,774 | |||||||||||||
GOLDEN ST TOBACCO SECURITIZATI | 1.600% 06/01/2026 DD 10/07/21 | 400,000 | 400,000 | 397,516 | |||||||||||||
GOLDEN ST TOBACCO SECURITIZATI | 2.086% 06/01/2028 DD 10/07/21 | 400,000 | 400,000 | 400,700 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 3.800% 03/15/2030 DD 03/19/20 | 2,000,000 | 2,329,900 | 2,203,720 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 06/05/2028 DD 06/05/17 | 100,000 | 96,959 | 107,754 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 03/09/2027 DD 03/08/21 | 400,000 | 400,000 | 392,060 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 09/10/2027 DD 06/10/21 | 200,000 | 200,000 | 196,064 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 07/21/2032 DD 07/21/21 | 700,000 | 700,000 | 690,025 | |||||||||||||
GS MORTGAGE SECURITIES GC39 A3 | 3.307% 05/10/2052 DD 05/01/19 | 500,000 | 515,566 | 532,655 | |||||||||||||
HAWAII ST | 0.852% 10/01/2025 DD 10/29/20 | 700,000 | 700,000 | 688,268 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 03/13/2028 DD 03/13/17 | 700,000 | 797,377 | 757,127 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 06/19/2029 DD 06/19/18 | 1,500,000 | 1,522,230 | 1,681,680 | |||||||||||||
HYUNDAI CAPITAL AMERICA 144A | 2.850% 11/01/2022 DD 10/31/19 | 600,000 | 599,934 | 610,362 | |||||||||||||
IMPERIAL BRANDS FINANCE P 144A | 3.750% 07/21/2022 DD 07/21/15 | 1,000,000 | 1,059,420 | 1,011,040 | |||||||||||||
JP MORGAN MORTGAGE TRUS A2 4A1 | VAR RT 05/25/2034 DD 04/01/04 | 19,450 | 19,344 | 19,902 | |||||||||||||
JPMBB COMMERCIAL MORTG C17 ASB | 3.705% 01/15/2047 DD 12/01/13 | 247,334 | 258,900 | 253,678 | |||||||||||||
JPMBB COMMERCIAL MORTG C21 ASB | 3.428% 08/15/2047 DD 07/01/14 | 578,021 | 595,360 | 593,494 | |||||||||||||
JPMBB COMMERCIAL MORTG C24 ASB | 3.368% 11/15/2047 DD 10/01/14 | 551,654 | 568,201 | 568,325 | |||||||||||||
JPMDB COMMERCIAL MORTGA C4 ASB | 2.994% 12/15/2049 DD 11/01/16 | 886,171 | 912,756 | 917,754 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 10/15/2030 DD 09/12/19 | 3,100,000 | 3,338,939 | 3,188,257 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 06/01/2029 DD 06/01/21 | 750,000 | 765,330 | 744,518 | |||||||||||||
KANSAS ST DEV FIN AUTH REVENUE | 1.519% 05/01/2028 DD 08/26/21 | 600,000 | 600,000 | 587,484 | |||||||||||||
KINDER MORGAN ENERGY PARTNERS | 3.500% 09/01/2023 DD 02/28/13 | 1,500,000 | 1,480,858 | 1,550,925 | |||||||||||||
KINDER MORGAN ENERGY PARTNERS | 4.300% 05/01/2024 DD 05/02/14 | 500,000 | 516,530 | 530,565 | |||||||||||||
KOREA DEVELOPMENT BANK/THE | VAR RT 02/18/2023 DD 02/18/20 | 800,000 | 800,000 | 801,344 | |||||||||||||
LEHMAN BRTH HLD (RICI) ESCROW | 0.000% 12/28/2017 DD 12/21/07 | 2,000,000 | 1,998,520 | — | |||||||||||||
LELAND STANFORD JUNIOR UNIVERS | 1.289% 06/01/2027 DD 06/04/20 | 400,000 | 400,000 | 394,168 | |||||||||||||
LLOYDS BANKING GROUP PLC | 4.550% 08/16/2028 DD 08/16/18 | 900,000 | 1,079,190 | 1,024,416 | |||||||||||||
LOS ANGELES CNTY CA REDEV REFU | 2.000% 09/01/2023 DD 08/25/16 | 800,000 | 792,424 | 815,320 | |||||||||||||
MASTR ADJUSTABLE RATE M 15 1A1 | VAR RT 12/25/2034 DD 11/01/04 | 3,311 | 3,326 | 3,292 | |||||||||||||
MERRILL LYNCH MORTGAGE A1 2A1 | VAR RT 02/25/2034 DD 02/01/04 | 55,057 | 55,285 | 56,743 | |||||||||||||
MIAMI-DADE CNTY FL AVIATION RE | 3.285% 10/01/2023 DD 08/30/18 | 800,000 | 800,000 | 831,304 |
MIAMI-DADE CNTY FL SPL OBLIG | 2.036% 10/01/2029 DD 01/07/21 | 500,000 | 500,000 | 495,000 | |||||||||||||
MICHIGAN ST BLDG AUTH REVENUE | 1.116% 10/15/2026 DD 09/17/20 | 700,000 | 700,000 | 681,576 | |||||||||||||
MITSUBISHI CORP 144A | 1.125% 07/15/2026 DD 07/15/21 | 600,000 | 596,754 | 585,288 | |||||||||||||
MITSUBISHI UFJ FINANCIAL GROUP | 2.048% 07/17/2030 DD 07/17/20 | 1,000,000 | 1,000,000 | 972,300 | |||||||||||||
MONONGAHELA POWER CO 144A | 3.550% 05/15/2027 DD 05/16/17 | 600,000 | 649,074 | 642,084 | |||||||||||||
MORGAN STANLEY | 3.625% 01/20/2027 DD 01/20/17 | 100,000 | 109,382 | 108,482 | |||||||||||||
MORGAN STANLEY | 4.000% 07/23/2025 DD 07/23/15 | 2,000,000 | 2,131,000 | 2,168,440 | |||||||||||||
MORGAN STANLEY | VAR RT 02/13/2032 DD 11/13/20 | 1,000,000 | 970,290 | 947,630 | |||||||||||||
MORGAN STANLEY BANK OF C13 ASB | 3.557% 11/15/2046 DD 12/01/13 | 166,697 | 173,190 | 170,102 | |||||||||||||
MORGAN STANLEY BANK OF C16 A4 | 3.600% 06/15/2047 DD 06/01/14 | 863,144 | 918,305 | 890,696 | |||||||||||||
MORGAN STANLEY CAPITAL HR2 ASB | 3.509% 12/15/2050 DD 12/01/17 | 700,000 | 720,984 | 742,672 | |||||||||||||
MUNI ELEC AUTH OF GA | 0.593% 01/01/2023 DD 10/07/21 | 775,000 | 775,000 | 772,512 | |||||||||||||
NARRAGANSETT ELECTRIC CO/ 144A | 3.395% 04/09/2030 DD 04/09/20 | 1,250,000 | 1,250,000 | 1,332,750 | |||||||||||||
NATWEST GROUP PLC | VAR RT 06/14/2027 DD 06/14/21 | 1,100,000 | 1,100,000 | 1,085,524 | |||||||||||||
NAVIENT STUDENT LOAN 5A A 144A | VAR RT 06/25/2065 DD 08/11/16 | 443,630 | 443,630 | 453,541 | |||||||||||||
NEW JERSEY ST TURNPIKE AUTH TU | 1.283% 01/01/2027 DD 02/04/21 | 1,000,000 | 1,000,000 | 971,760 | |||||||||||||
NEW YORK CITY NY TRANSITIONAL | 3.480% 08/01/2026 DD 09/25/18 | 1,000,000 | 1,000,000 | 1,081,320 | |||||||||||||
NEW YORK LIFE GLOBAL FUND 144A | 1.200% 08/07/2030 DD 08/07/20 | 500,000 | 499,155 | 467,060 | |||||||||||||
NEW YORK ST URBAN DEV CORP REV | 2.100% 03/15/2022 DD 03/23/17 | 430,000 | 429,798 | 431,617 | |||||||||||||
NEW YORK ST URBAN DEV CORP SAL | 2.150% 03/15/2025 DD 10/30/19 | 700,000 | 693,924 | 720,125 | |||||||||||||
NISSAN MOTOR ACCEPTANCE C 144A | VAR RT 01/13/2022 DD 01/13/17 | 600,000 | 599,490 | 600,054 | |||||||||||||
NISSAN MOTOR ACCEPTANCE C 144A | 2.450% 09/15/2028 DD 09/16/21 | 200,000 | 199,924 | 194,552 | |||||||||||||
OLYMPUS CORP 144A | 2.143% 12/08/2026 DD 12/08/21 | 500,000 | 500,000 | 503,285 | |||||||||||||
ORACLE CORP | 2.300% 03/25/2028 DD 03/24/21 | 900,000 | 897,687 | 897,822 | |||||||||||||
OREGON ST DEPT OF TRANSPRTN HI | 1.530% 11/15/2030 DD 09/17/20 | 1,300,000 | 1,300,000 | 1,257,750 | |||||||||||||
PACIFIC GAS AND ELECTRIC CO | 2.500% 02/01/2031 DD 06/19/20 | 600,000 | 599,376 | 571,842 | |||||||||||||
PACIFIC GAS AND ELECTRIC CO | 3.000% 06/15/2028 DD 06/03/21 | 500,000 | 497,545 | 502,115 | |||||||||||||
PACIFIC LIFE GLOBAL FUNDI 144A | 1.375% 04/14/2026 DD 04/14/21 | 800,000 | 799,576 | 796,288 | |||||||||||||
PROTECTIVE LIFE GLOBAL FU 144A | 1.737% 09/21/2030 DD 09/21/20 | 600,000 | 600,000 | 571,194 | |||||||||||||
PUBLIC SERVICE ELECTRIC AND GA | 1.900% 08/15/2031 DD 08/19/21 | 650,000 | 648,414 | 633,230 | |||||||||||||
PUGET ENERGY INC | 2.379% 06/15/2028 DD 06/14/21 | 1,200,000 | 1,200,000 | 1,182,132 | |||||||||||||
RYDER SYSTEM INC | 2.875% 06/01/2022 DD 05/22/19 | 700,000 | 699,594 | 705,369 | |||||||||||||
SABINE PASS LIQUEFACTION LLC | 5.750% 05/15/2024 DD 11/15/14 | 1,000,000 | 1,117,630 | 1,087,720 | |||||||||||||
SAN JOSE CA REDEV AGY SUCCESSO | 3.125% 08/01/2028 DD 12/21/17 | 800,000 | 754,056 | 849,464 | |||||||||||||
SANDS CHINA LTD | VAR RT 08/08/2028 DD 08/09/18 | 400,000 | 461,304 | 430,928 | |||||||||||||
SANTANDER UK GROUP HOLDINGS PL | VAR RT 08/21/2026 DD 08/21/20 | 1,000,000 | 1,000,000 | 984,110 | |||||||||||||
SANTANDER UK GROUP HOLDINGS PL | VAR RT 06/14/2027 DD 06/14/21 | 200,000 | 200,000 | 195,924 | |||||||||||||
SBA TOWER TRUST 144A | 2.836% 01/15/2050 DD 09/13/19 | 800,000 | 800,000 | 820,920 | |||||||||||||
SEATTLE CHILDREN'S HOSPITAL | 1.208% 10/01/2027 DD 02/11/21 | 600,000 | 591,198 | 579,096 | |||||||||||||
SLM STUDENT LOAN T 10 A7B 144A | VAR RT 10/25/2029 DD 04/25/18 | 446,293 | 446,293 | 447,565 | |||||||||||||
SLM STUDENT LOAN T 3A A6B 144A | VAR RT 10/25/2064 DD 04/25/14 | 811,712 | 802,073 | 805,592 | |||||||||||||
SLM STUDENT LOAN TRUST 20 4 A3 | VAR RT 01/25/2027 DD 05/19/05 | 125,500 | 124,833 | 125,217 | |||||||||||||
SMBC AVIATION CAPITAL FIN 144A | 3.550% 04/15/2024 DD 04/15/19 | 900,000 | 901,386 | 939,447 | |||||||||||||
SMBC AVIATION CAPITAL FIN 144A | 4.125% 07/15/2023 DD 07/30/18 | 500,000 | 498,965 | 520,950 | |||||||||||||
SOCIETE GENERALE SA 144A | 2.625% 01/22/2025 DD 01/22/20 | 800,000 | 798,400 | 820,472 | |||||||||||||
SOCIETE GENERALE SA 144A | VAR RT 12/14/2026 DD 12/14/20 | 700,000 | 700,000 | 682,101 | |||||||||||||
SOUTHERN CALIFORNIA EDISON CO | 1.200% 02/01/2026 DD 10/01/20 | 900,000 | 898,290 | 881,937 | |||||||||||||
SPIRIT REALTY LP | 2.100% 03/15/2028 DD 03/03/21 | 600,000 | 596,184 | 584,460 | |||||||||||||
SUTTER HEALTH | 1.321% 08/15/2025 DD 10/29/20 | 500,000 | 500,000 | 495,690 |
TEXAS ST TRANSPRTN COMMISSIONS | 4.000% 10/01/2033 DD 07/01/20 | 600,000 | 743,928 | 717,180 | |||||||||||||
THORNBURG MORTGAGE SECUR 4 2A1 | VAR RT 09/25/2037 DD 08/01/07 | 25,696 | 25,686 | 25,932 | |||||||||||||
U S TREASURY NOTE | 0.250% 05/31/2025 DD 05/31/20 | 5,700,000 | 5,664,598 | 5,546,385 | |||||||||||||
U S TREASURY NOTE | 0.250% 10/31/2025 DD 10/31/20 | 13,000,000 | 12,911,641 | 12,569,830 | |||||||||||||
U S TREASURY NOTE | 0.375% 11/30/2025 DD 11/30/20 | 12,000,000 | 11,999,531 | 11,642,760 | |||||||||||||
U S TREASURY NOTE | 1.375% 01/31/2025 DD 01/31/20 | 1,800,000 | 1,835,508 | 1,821,024 | |||||||||||||
U S TREASURY NOTE | 1.500% 11/30/2024 DD 11/30/19 | 9,100,000 | 9,047,746 | 9,245,418 | |||||||||||||
U S TREASURY NOTE | 2.000% 04/30/2024 DD 04/30/17 | 4,100,000 | 4,063,164 | 4,211,971 | |||||||||||||
U S TREASURY NOTE | 2.125% 03/31/2024 DD 03/31/17 | 1,800,000 | 1,787,133 | 1,852,884 | |||||||||||||
U S TREASURY NOTE | 0.625% 12/31/2027 DD 12/31/20 | 7,000,000 | 6,988,233 | 6,703,340 | |||||||||||||
U S TREASURY NOTE | 0.375% 12/31/2025 DD 12/31/20 | 2,400,000 | 2,393,063 | 2,327,352 | |||||||||||||
U S TREASURY NOTE | 0.125% 01/15/2024 DD 01/15/21 | 3,000,000 | 2,993,778 | 2,962,620 | |||||||||||||
U S TREASURY NOTE | 0.375% 01/31/2026 DD 01/31/21 | 5,300,000 | 5,278,290 | 5,129,817 | |||||||||||||
U S TREASURY NOTE | 0.750% 01/31/2028 DD 01/31/21 | 8,900,000 | 8,867,320 | 8,577,731 | |||||||||||||
U S TREASURY NOTE | 1.125% 02/29/2028 DD 02/28/21 | 4,000,000 | 3,990,854 | 3,945,160 | |||||||||||||
U S TREASURY NOTE | 0.500% 02/28/2026 DD 02/28/21 | 3,600,000 | 3,551,820 | 3,499,452 | |||||||||||||
U S TREASURY NOTE | 0.750% 03/31/2026 DD 03/31/21 | 7,500,000 | 7,439,187 | 7,361,400 | |||||||||||||
U S TREASURY NOTE | 0.375% 08/15/2024 DD 08/15/21 | 7,500,000 | 7,484,180 | 7,402,725 | |||||||||||||
U S TREASURY NOTE | 0.875% 09/30/2026 DD 09/30/21 | 5,000,000 | 4,931,096 | 4,913,850 | |||||||||||||
U S TREASURY NOTE | 1.250% 11/30/2026 DD 11/30/21 | 1,500,000 | 1,501,289 | 1,500,000 | |||||||||||||
UBS COMMERCIAL MORTGAGE C4 ASB | 3.366% 10/15/2050 DD 10/01/17 | 500,000 | 514,982 | 525,010 | |||||||||||||
UBS COMMERCIAL MORTGAGE C7 ASB | 3.586% 12/15/2050 DD 12/01/17 | 800,000 | 823,995 | 849,480 | |||||||||||||
UBS GROUP AG 144A | VAR RT 08/13/2030 DD 08/13/19 | 1,100,000 | 1,226,082 | 1,150,831 | |||||||||||||
UBS-BARCLAYS COMMERCIAL C5 AAB | 2.687% 03/10/2046 DD 02/01/13 | 121,471 | 120,883 | 122,715 | |||||||||||||
UNITED STATES INTERNATIONAL DE | 3.790% 06/15/2034 DD 03/17/14 | 872,075 | 872,483 | 1,008,522 | |||||||||||||
UNIV OF CALIFORNIA CA REVENUES | 2.719% 05/15/2024 DD 09/28/17 | 700,000 | 700,000 | 727,328 | |||||||||||||
UNIV OF CALIFORNIA CA REVENUES | 1.897% 05/15/2030 DD 03/10/21 | 500,000 | 500,000 | 495,960 | |||||||||||||
US ULTRA BOND FUTURE (CBT) | EXP MAR 22 | (7) | — | (3,883) | |||||||||||||
UTAH ST | 3.539% 07/01/2025 DD 09/30/10 | 1,350,000 | 1,450,802 | 1,411,074 | |||||||||||||
VERIZON COMMUNICATIONS INC | 2.550% 03/21/2031 DD 03/22/21 | 2,100,000 | 2,183,643 | 2,121,042 | |||||||||||||
WELLS FARGO & CO | VAR RT 06/17/2027 DD 06/17/19 | 1,600,000 | 1,656,176 | 1,687,648 | |||||||||||||
WELLS FARGO & CO | VAR RT 10/30/2030 DD 10/31/19 | 800,000 | 854,464 | 832,472 | |||||||||||||
WELLS FARGO COMMERCIAL C30 ASB | 3.412% 09/15/2058 DD 08/01/15 | 568,347 | 608,442 | 587,767 | |||||||||||||
WELLS FARGO COMMERCIAL C35 ASB | 2.788% 07/15/2048 DD 07/01/16 | 539,219 | 555,378 | 554,053 | |||||||||||||
WEYERHAEUSER CO | 4.000% 04/15/2030 DD 03/30/20 | 300,000 | 295,410 | 334,878 | |||||||||||||
WISCONSIN ELECTRIC POWER CO | 2.050% 12/15/2024 DD 12/10/19 | 900,000 | 899,829 | 921,105 | |||||||||||||
WISCONSIN ST GEN FUND ANNUAL | 1.899% 05/01/2022 DD 08/16/16 | 800,000 | 800,000 | 804,128 | |||||||||||||
WYANDOTTE CNTY/KANSAS CITY KS | 1.562% 09/01/2026 DD 09/15/20 | 1,000,000 | 1,000,000 | 1,004,180 | |||||||||||||
YALE UNIVERSITY | 0.873% 04/15/2025 DD 06/09/20 | 1,100,000 | 1,100,000 | 1,089,242 | |||||||||||||
INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 1,729,818 | 1,729,818 | ||||||||||||||
TOTAL UNDERLYING ASSETS | $ | 241,396,873 | $ | 236,968,999 | |||||||||||||
PACIFIC LIFE INS G-27523.01.0001 - 58.2% of MARKET VALUE | $ | 137,939,654 | |||||||||||||||
IGT INVESCO SHORT-TERM BOND FUND | 171,572,649 | ||||||||||||||||
FAIR VALUE PACIFIC LIFE INS - G-27523.01.0001 | 309,512,303 | ||||||||||||||||
PACIFIC LIFE INS G-27523.01.0001 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (4,449,409) | ||||||||||||||||
PACIFIC LIFE INS G-27523.01.0001 - CONTRACT VALUE | $ | 305,062,894 | |||||||||||||||
VOYA RETIREMENT & ANNUITY 60031 - 41.8% of MARKET VALUE | $ | 99,029,345 | |||||||||||||||
IGT INVESCO SHORT-TERM BOND FUND | 236,380,036 | ||||||||||||||||
FAIR VALUE VOYA RETIREMENT & ANNUITY 60031 | 335,409,381 | ||||||||||||||||
VOYA RETIREMENT & ANNUITY 60031 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (3,913,549) | ||||||||||||||||
VOYA RETIREMENT & ANNUITY 60031 - CONTRACT VALUE | $ | 331,495,832 |
(c) | |||||||||||||||||
(b) | Face Value | (e) | |||||||||||||||
Identity of Issue, Borrower, | or Number | (d) | Current | ||||||||||||||
(a) | Lessor or Similar Party | of Shares | Cost | Value | |||||||||||||
3M CO | 2.650% 04/15/2025 DD 03/27/20 | 210,000 | $ | 209,818 | $ | 219,257 | |||||||||||
ABBVIE INC | 4.250% 11/14/2028 DD 09/18/18 | 565,000 | 560,169 | 639,411 | |||||||||||||
ABBVIE INC | 2.950% 11/21/2026 DD 05/21/20 | 470,000 | 476,431 | 495,540 | |||||||||||||
ABBVIE INC | 3.200% 11/21/2029 DD 05/21/20 | 385,000 | 423,959 | 412,023 | |||||||||||||
AERCAP IRELAND CAPITAL DAC / A | 1.650% 10/29/2024 DD 10/29/21 | 965,000 | 963,823 | 963,466 | |||||||||||||
ALLY AUTO RECEIVABLES TRU 4 A3 | 1.840% 06/17/2024 DD 12/11/19 | 82,651 | 84,243 | 83,121 | |||||||||||||
ALTRIA GROUP INC | 2.350% 05/06/2025 DD 05/06/20 | 520,000 | 519,782 | 532,428 | |||||||||||||
AMAZON.COM INC | 1.650% 05/12/2028 DD 05/12/21 | 1,000,000 | 999,410 | 1,002,230 | |||||||||||||
AMERICAN ELECTRIC POWER CO INC | 1.000% 11/01/2025 DD 11/20/20 | 245,000 | 244,434 | 239,674 | |||||||||||||
AMERICAN HONDA FINANCE CORP | 2.000% 03/24/2028 DD 03/24/21 | 390,000 | 389,341 | 394,181 | |||||||||||||
AMERICAN INTERNATIONAL GROUP I | 3.900% 04/01/2026 DD 03/22/16 | 435,000 | 434,783 | 471,688 | |||||||||||||
AMERICAN TOWER CORP | 1.875% 10/15/2030 DD 09/28/20 | 1,175,000 | 1,169,760 | 1,111,574 | |||||||||||||
AMGEN INC | 2.200% 02/21/2027 DD 02/21/20 | 765,000 | 782,220 | 783,521 | |||||||||||||
ANHEUSER-BUSCH COS LLC / ANHEU | 3.650% 02/01/2026 DD 02/01/19 | 915,000 | 931,527 | 982,856 | |||||||||||||
ANTHEM INC | 2.375% 01/15/2025 DD 09/09/19 | 285,000 | 292,983 | 293,966 | |||||||||||||
AON CORP | 2.200% 11/15/2022 DD 11/15/19 | 935,000 | 934,813 | 947,062 | |||||||||||||
APPLE INC | 2.750% 01/13/2025 DD 11/13/17 | 185,000 | 188,552 | 193,340 | |||||||||||||
APPLE INC | 1.400% 08/05/2028 DD 08/05/21 | 930,000 | 927,898 | 911,186 | |||||||||||||
AT&T INC | 4.350% 03/01/2029 DD 02/19/19 | 410,000 | 453,366 | 460,926 | |||||||||||||
AT&T INC | 1.650% 02/01/2028 DD 08/04/20 | 430,000 | 429,458 | 421,241 | |||||||||||||
AVALONBAY COMMUNITIES INC | 2.450% 01/15/2031 DD 05/22/20 | 845,000 | 846,607 | 867,012 | |||||||||||||
BANK OF AMERICA CORP | 4.000% 01/22/2025 DD 01/22/15 | 105,000 | 104,471 | 112,174 | |||||||||||||
BANK OF AMERICA CORP | 4.450% 03/03/2026 DD 03/03/16 | 1,120,000 | 1,156,962 | 1,233,691 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 10/01/2025 DD 09/18/17 | 275,000 | 275,095 | 286,195 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 12/20/2028 DD 12/20/17 | 1,020,000 | 1,116,316 | 1,089,799 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 1,070,000 | 1,125,090 | 1,114,897 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/23/2030 DD 07/23/19 | 260,000 | 260,000 | 274,446 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 10/24/2026 DD 10/21/20 | 155,000 | 154,710 | 151,981 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 06/14/2029 DD 06/14/21 | 530,000 | 526,758 | 526,725 | |||||||||||||
BAT CAPITAL CORP | 2.259% 03/25/2028 DD 09/25/20 | 1,290,000 | 1,290,000 | 1,258,060 | |||||||||||||
BERKSHIRE HATHAWAY ENERGY CO | 3.700% 07/15/2030 DD 01/15/21 | 1,235,000 | 1,267,297 | 1,365,255 | |||||||||||||
BIOGEN INC | 3.625% 09/15/2022 DD 09/15/15 | 295,000 | 294,764 | 301,316 | |||||||||||||
BMW US CAPITAL LLC 144A | 3.800% 04/06/2023 DD 04/09/20 | 525,000 | 524,459 | 544,409 | |||||||||||||
BOEING CO/THE | 2.700% 02/01/2027 DD 07/31/19 | 545,000 | 544,185 | 554,483 | |||||||||||||
BOEING CO/THE | 4.508% 05/01/2023 DD 05/04/20 | 635,000 | 635,000 | 663,283 | |||||||||||||
BOSTON GAS CO 144A | 3.001% 08/01/2029 DD 07/29/19 | 390,000 | 390,000 | 397,890 | |||||||||||||
BOSTON PROPERTIES LP | 3.400% 06/21/2029 DD 06/21/19 | 565,000 | 563,955 | 600,216 | |||||||||||||
BP CAPITAL MARKETS AMERICA INC | 3.194% 04/06/2025 DD 04/06/20 | 825,000 | 825,000 | 869,847 | |||||||||||||
BRAZOS EDUCATION LOAN AU 2 A1A | 2.060% 01/25/2072 DD 11/23/21 | 395,000 | 394,975 | 395,332 | |||||||||||||
BRISTOL-MYERS SQUIBB CO | 3.200% 06/15/2026 DD 06/15/20 | 440,000 | 438,803 | 473,370 | |||||||||||||
CAMDEN PROPERTY TRUST | 2.800% 05/15/2030 DD 04/20/20 | 315,000 | 314,776 | 327,912 |
CARRIER GLOBAL CORP | 2.242% 02/15/2025 DD 08/15/20 | 425,000 | 425,000 | 435,362 | |||||||||||||
CDC MORTGAGE CAPITAL TR HE1 M1 | VAR RT 08/25/2033 DD 03/28/03 | 1,262 | 1,254 | 1,269 | |||||||||||||
CDC MORTGAGE CAPITAL TR HE2 M1 | VAR RT 10/25/2033 DD 05/29/03 | 977 | 977 | 977 | |||||||||||||
CDC MORTGAGE CAPITAL TR HE3 M1 | VAR RT 03/25/2033 DD 11/27/02 | 398 | 399 | 426 | |||||||||||||
CHEVRON CORP | 1.995% 05/11/2027 DD 05/11/20 | 380,000 | 380,000 | 385,936 | |||||||||||||
CITIBANK CREDIT CARD ISS A6 A6 | VAR RT 05/14/2029 DD 05/22/17 | 1,620,000 | 1,616,966 | 1,645,969 | |||||||||||||
CITIGROUP INC | 3.400% 05/01/2026 DD 05/02/16 | 1,200,000 | 1,190,107 | 1,287,396 | |||||||||||||
CITIGROUP INC | VAR RT 03/31/2031 DD 03/31/20 | 890,000 | 890,000 | 1,017,412 | |||||||||||||
COMCAST CORP | 3.950% 10/15/2025 DD 10/05/18 | 65,000 | 73,243 | 70,994 | |||||||||||||
COMCAST CORP | 3.300% 04/01/2027 DD 03/27/20 | 900,000 | 897,597 | 967,941 | |||||||||||||
COMCAST CORP | 1.500% 02/15/2031 DD 08/25/20 | 1,300,000 | 1,295,619 | 1,228,552 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2052 DD 01/01/22 | — | 15,829 | 15,829 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.500% 02/01/2052 DD 02/01/22 | — | (106,842) | (106,842) | |||||||||||||
COUNTRYWIDE ASSET-BACKED 5 MV1 | VAR RT 03/25/2033 DD 12/30/02 | 935 | 947 | 936 | |||||||||||||
CREDIT SUISSE GROUP AG 144A | VAR RT 06/12/2024 DD 06/12/18 | 660,000 | 660,000 | 686,770 | |||||||||||||
CVS HEALTH CORP | 4.300% 03/25/2028 DD 03/09/18 | 439,000 | 514,214 | 493,001 | |||||||||||||
CVS HEALTH CORP | 4.780% 03/25/2038 DD 03/09/18 | 205,000 | 201,355 | 250,549 | |||||||||||||
CVS HEALTH CORP | 3.750% 04/01/2030 DD 03/31/20 | 410,000 | 409,086 | 449,934 | |||||||||||||
DAIMLER FINANCE NORTH AME 144A | 2.700% 06/14/2024 DD 08/15/19 | 470,000 | 469,187 | 485,853 | |||||||||||||
DAIMLER FINANCE NORTH AME 144A | 0.750% 03/01/2024 DD 03/02/21 | 885,000 | 883,407 | 876,902 | |||||||||||||
DTE ENERGY CO | VAR RT 10/01/2024 DD 07/01/19 | 655,000 | 654,784 | 674,290 | |||||||||||||
DUKE ENERGY CORP | 0.900% 09/15/2025 DD 09/11/20 | 960,000 | 959,530 | 933,322 | |||||||||||||
DUKE ENERGY FLORIDA LLC | 3.200% 01/15/2027 DD 01/06/17 | 350,000 | 349,790 | 372,568 | |||||||||||||
DUPONT DE NEMOURS INC | 4.493% 11/15/2025 DD 11/28/18 | 1,235,000 | 1,409,543 | 1,365,231 | |||||||||||||
EMERSON ELECTRIC CO | 2.000% 12/21/2028 DD 12/21/21 | 1,160,000 | 1,157,436 | 1,158,921 | |||||||||||||
EQUINIX INC | 1.550% 03/15/2028 DD 10/07/20 | 610,000 | 609,445 | 587,223 | |||||||||||||
EQUINOR ASA | 2.875% 04/06/2025 DD 04/06/20 | 1,725,000 | 1,736,921 | 1,800,952 | |||||||||||||
EQUINOR ASA | 3.000% 04/06/2027 DD 04/06/20 | 645,000 | 654,724 | 680,810 | |||||||||||||
EQUINOR ASA | 3.700% 03/01/2024 DD 11/08/13 | 315,000 | 329,625 | 332,268 | |||||||||||||
ERP OPERATING LP | 3.000% 07/01/2029 DD 06/26/19 | 520,000 | 517,816 | 551,028 | |||||||||||||
EXELON CORP | 3.950% 06/15/2025 DD 12/15/15 | 890,000 | 899,273 | 951,214 | |||||||||||||
EXXON MOBIL CORP | 2.992% 03/19/2025 DD 03/19/20 | 2,075,000 | 2,102,450 | 2,181,510 | |||||||||||||
FEDERAL HOME LN MTG CORP STRIP | 0.000% 07/15/2031 DD 02/20/02 | 215,000 | 184,304 | 180,684 | |||||||||||||
FHLMC POOL #QA-0326 | 5.000% 06/01/2049 DD 06/01/19 | 69,219 | 74,000 | 75,453 | |||||||||||||
FHLMC POOL #QA-1120 | 4.000% 07/01/2049 DD 07/01/19 | 113,533 | 118,784 | 120,766 | |||||||||||||
FHLMC POOL #ZN-6298 | 4.000% 05/01/2049 DD 05/01/19 | 33,616 | 34,955 | 35,820 | |||||||||||||
FIRSTKEY HOMES 202 SFR1 A 144A | 1.538% 08/17/2038 DD 07/15/21 | 739,339 | 739,335 | 721,432 | |||||||||||||
FIRSTKEY HOMES 202 SFR2 A 144A | 1.266% 10/19/2037 DD 10/20/20 | 1,715,107 | 1,717,720 | 1,672,247 | |||||||||||||
FLORIDA POWER & LIGHT CO | 2.850% 04/01/2025 DD 03/27/20 | 485,000 | 484,505 | 506,650 | |||||||||||||
FNMA POOL #0BL0760 | 3.790% 12/01/2025 DD 12/01/18 | 235,000 | 251,698 | 246,494 | |||||||||||||
FNMA POOL #0BM5680 | 5.000% 03/01/2049 DD 03/01/19 | 45,133 | 48,153 | 49,290 | |||||||||||||
FOX CORP | 3.500% 04/08/2030 DD 04/07/20 | 225,000 | 230,868 | 242,379 | |||||||||||||
GENERAL DYNAMICS CORP | 3.500% 04/01/2027 DD 03/25/20 | 980,000 | 987,074 | 1,067,543 | |||||||||||||
GILEAD SCIENCES INC | 3.250% 09/01/2022 DD 09/14/15 | 280,000 | 279,605 | 283,774 | |||||||||||||
GNMA II POOL #0891616 | VAR RT 06/20/2058 DD 07/01/08 | 165,432 | 168,678 | 168,155 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 09/10/2027 DD 06/10/21 | 1,700,000 | 1,700,000 | 1,666,544 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 10/21/2032 DD 10/21/21 | 845,000 | 845,000 | 851,295 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 3.750% 02/25/2026 DD 02/25/16 | 1,105,000 | 1,086,091 | 1,190,560 | |||||||||||||
GUARDIAN LIFE GLOBAL FUND 144A | 1.100% 06/23/2025 DD 06/23/20 | 380,000 | 379,650 | 376,534 |
GUARDIAN LIFE GLOBAL FUND 144A | 0.875% 12/10/2025 DD 12/10/20 | 1,115,000 | 1,114,242 | 1,086,356 | |||||||||||||
HOME EQUITY ASSET TRUST 2 5 M1 | VAR RT 12/25/2033 DD 08/28/03 | 33 | 33 | 33 | |||||||||||||
HSBC HOLDINGS PLC | 4.300% 03/08/2026 DD 03/08/16 | 445,000 | 446,902 | 487,854 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 06/19/2029 DD 06/19/18 | 625,000 | 625,000 | 700,700 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 11/07/2025 DD 11/07/19 | 200,000 | 209,434 | 205,182 | |||||||||||||
HSBC HOLDINGS PLC | 4.950% 03/31/2030 DD 03/31/20 | 255,000 | 254,681 | 299,503 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 04/18/2026 DD 08/18/20 | 1,300,000 | 1,300,000 | 1,289,769 | |||||||||||||
INTERCONTINENTAL EXCHANGE INC | 2.100% 06/15/2030 DD 05/26/20 | 1,440,000 | 1,429,776 | 1,424,774 | |||||||||||||
INTERNATIONAL FLAVORS & F 144A | 1.832% 10/15/2027 DD 09/16/20 | 1,070,000 | 1,069,989 | 1,051,222 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 10/15/2030 DD 09/12/19 | 245,000 | 264,279 | 251,975 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 05/13/2031 DD 05/13/20 | 455,000 | 455,000 | 471,576 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 04/22/2027 DD 04/22/21 | 815,000 | 815,000 | 805,831 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 09/22/2027 DD 09/22/21 | 1,200,000 | 1,200,000 | 1,176,972 | |||||||||||||
KEURIG DR PEPPER INC | 4.417% 05/25/2025 DD 05/25/19 | 250,000 | 250,000 | 272,100 | |||||||||||||
KIMBERLY-CLARK CORP | 3.100% 03/26/2030 DD 03/26/20 | 215,000 | 214,834 | 231,888 | |||||||||||||
KINDER MORGAN INC | 4.300% 06/01/2025 DD 11/26/14 | 415,000 | 424,418 | 448,640 | |||||||||||||
LONG BEACH MORTGAGE LOAN 3 M1 | VAR RT 07/25/2033 DD 06/05/03 | 20,331 | 20,331 | 20,319 | |||||||||||||
LOWE'S COS INC | 4.500% 04/15/2030 DD 03/26/20 | 900,000 | 915,071 | 1,045,710 | |||||||||||||
LOWE'S COS INC | 1.300% 04/15/2028 DD 10/22/20 | 825,000 | 824,474 | 791,299 | |||||||||||||
MASTERCARD INC | 3.300% 03/26/2027 DD 03/26/20 | 285,000 | 284,205 | 308,171 | |||||||||||||
MCDONALD'S CORP | 2.625% 09/01/2029 DD 08/12/19 | 615,000 | 610,474 | 634,975 | |||||||||||||
MCDONALD'S CORP | 3.500% 07/01/2027 DD 03/27/20 | 1,105,000 | 1,124,810 | 1,199,091 | |||||||||||||
MCDONALD'S CORP | 3.600% 07/01/2030 DD 03/27/20 | 225,000 | 263,045 | 248,884 | |||||||||||||
MONDELEZ INTERNATIONAL INC | 2.750% 04/13/2030 DD 04/13/20 | 405,000 | 412,242 | 417,766 | |||||||||||||
MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 775,000 | 775,000 | 798,793 | |||||||||||||
MORGAN STANLEY | 4.000% 07/23/2025 DD 07/23/15 | 365,000 | 364,701 | 395,740 | |||||||||||||
MORGAN STANLEY | VAR RT 04/01/2031 DD 03/31/20 | 2,230,000 | 2,230,000 | 2,432,417 | |||||||||||||
MORGAN STANLEY ABS CAPI NC7 M1 | VAR RT 06/25/2033 DD 07/30/03 | 1,260 | 1,260 | 1,259 | |||||||||||||
NAVIENT PRIVATE ED BA A2A 144A | 3.610% 12/15/2059 DD 05/24/18 | 306,528 | 321,854 | 316,352 | |||||||||||||
NAVIENT PRIVATE ED DA A2A 144A | 4.000% 12/15/2059 DD 10/25/18 | 207,141 | 218,242 | 214,853 | |||||||||||||
NAVIENT PRIVATE EDU CA A2 144A | 3.130% 02/15/2068 DD 05/16/19 | 541,326 | 557,058 | 551,762 | |||||||||||||
NAVIENT PRIVATE EDUC DA A 144A | 1.690% 05/15/2069 DD 06/11/20 | 184,881 | 187,509 | 185,004 | |||||||||||||
NAVIENT PRIVATE EDUC FA A 144A | 1.220% 07/15/2069 DD 07/30/20 | 757,364 | 761,282 | 755,531 | |||||||||||||
NAVIENT PRIVATE EDUC GA A 144A | 1.170% 09/16/2069 DD 09/16/20 | 439,566 | 440,346 | 437,504 | |||||||||||||
NAVIENT PRIVATE EDUC GA A 144A | 1.580% 04/15/2070 DD 11/23/21 | 780,000 | 778,823 | 777,231 | |||||||||||||
NAVIENT PRIVATE EDUCA A A 144A | 0.840% 05/15/2069 DD 01/28/21 | 113,669 | 113,653 | 112,244 | |||||||||||||
NAVIENT STUDENT LO 1A A1A 144A | 1.310% 12/26/2069 DD 02/18/21 | 434,319 | 434,190 | 421,876 | |||||||||||||
NAVIENT STUDENT LO BA A2A 144A | 3.390% 12/15/2059 DD 03/21/19 | 302,955 | 318,387 | 312,093 | |||||||||||||
NEW YORK LIFE GLOBAL FUND 144A | 2.900% 01/17/2024 DD 01/17/17 | 1,570,000 | 1,568,618 | 1,627,289 | |||||||||||||
NORTHWESTERN MUTUAL GLOBA 144A | 0.800% 01/14/2026 DD 01/14/21 | 620,000 | 618,909 | 602,429 | |||||||||||||
NVIDIA CORP | 2.850% 04/01/2030 DD 03/31/20 | 690,000 | 687,440 | 733,601 | |||||||||||||
ORACLE CORP | 2.950% 11/15/2024 DD 11/09/17 | 1,340,000 | 1,387,132 | 1,393,908 | |||||||||||||
OTIS WORLDWIDE CORP | 2.056% 04/05/2025 DD 02/27/20 | 550,000 | 552,516 | 559,372 | |||||||||||||
PACIFIC LIFE GLOBAL FUNDI 144A | 1.200% 06/24/2025 DD 06/24/20 | 665,000 | 663,524 | 657,013 | |||||||||||||
PARKER-HANNIFIN CORP | 2.700% 06/14/2024 DD 06/14/19 | 300,000 | 299,862 | 309,999 | |||||||||||||
PAYPAL HOLDINGS INC | 1.650% 06/01/2025 DD 05/18/20 | 1,285,000 | 1,284,743 | 1,301,255 | |||||||||||||
PFIZER INC | 2.625% 04/01/2030 DD 03/27/20 | 295,000 | 293,968 | 311,148 | |||||||||||||
PHILIP MORRIS INTERNATIONAL IN | 2.875% 05/01/2024 DD 05/01/19 | 1,185,000 | 1,178,447 | 1,232,187 | |||||||||||||
PHILLIPS 66 | 1.300% 02/15/2026 DD 11/18/20 | 330,000 | 329,868 | 322,994 |
PRIVATE EXPORT FUNDING CO 144A | 0.550% 07/30/2024 DD 01/15/21 | 695,000 | 693,846 | 686,146 | |||||||||||||
PUBLIC SERVICE ENTERPRISE GROU | 2.650% 11/15/2022 DD 11/06/17 | 775,000 | 774,016 | 785,959 | |||||||||||||
PUBLIC SERVICE ENTERPRISE GROU | 1.600% 08/15/2030 DD 08/14/20 | 880,000 | 878,381 | 816,605 | |||||||||||||
RECKITT BENCKISER TREASUR 144A | 2.750% 06/26/2024 DD 06/26/17 | 1,500,000 | 1,498,380 | 1,550,205 | |||||||||||||
REPUBLIC SERVICES INC | 1.450% 02/15/2031 DD 08/20/20 | 1,115,000 | 1,109,615 | 1,038,043 | |||||||||||||
RESOLUTION FDG CORP PRIN STRIP | 0.000% 04/15/2030 DD 04/15/90 | 925,000 | 813,433 | 800,532 | |||||||||||||
RESOLUTION FDG CORP STRIP | 0.000% 01/15/2030 DD 01/15/90 | 660,000 | 579,821 | 576,008 | |||||||||||||
ROPER TECHNOLOGIES INC | 1.000% 09/15/2025 DD 09/01/20 | 345,000 | 344,545 | 337,231 | |||||||||||||
SANTANDER DRIVE AUTO RECE 2 A2 | 0.280% 04/15/2024 DD 05/26/21 | 273,082 | 273,077 | 273,033 | |||||||||||||
SCHLUMBERGER FINANCE CANADA LT | 1.400% 09/17/2025 DD 09/18/20 | 310,000 | 309,628 | 308,996 | |||||||||||||
SIEMENS FINANCIERINGSMAAT 144A | 1.200% 03/11/2026 DD 03/11/21 | 935,000 | 934,046 | 920,208 | |||||||||||||
SOUTHERN CALIFORNIA EDISON CO | 0.700% 08/01/2023 DD 08/10/21 | 485,000 | 485,000 | 482,042 | |||||||||||||
SOUTHERN CO/THE | 2.950% 07/01/2023 DD 05/24/16 | 1,165,000 | 1,164,010 | 1,193,170 | |||||||||||||
SOUTHERN CO/THE | 1.750% 03/15/2028 DD 02/26/21 | 580,000 | 578,620 | 565,036 | |||||||||||||
SOUTHWESTERN ELECTRIC POWER CO | 1.650% 03/15/2026 DD 03/10/21 | 290,000 | 289,971 | 287,782 | |||||||||||||
T-MOBILE USA INC 144A | 2.400% 03/15/2029 DD 12/06/21 | 445,000 | 444,706 | 449,708 | |||||||||||||
TRANSCANADA PIPELINES LTD | 4.625% 03/01/2034 DD 02/28/14 | 305,000 | 303,621 | 358,528 | |||||||||||||
TSMC ARIZONA CORP | 1.750% 10/25/2026 DD 10/25/21 | 840,000 | 839,798 | 840,882 | |||||||||||||
TSMC GLOBAL LTD 144A | 1.375% 09/28/2030 DD 09/28/20 | 1,575,000 | 1,560,557 | 1,462,514 | |||||||||||||
U S TREASURY BOND | 2.000% 08/15/2051 DD 08/15/21 | 540,000 | 559,684 | 552,992 | |||||||||||||
U S TREASURY BOND | 1.750% 08/15/2041 DD 08/15/21 | 11,090,000 | 10,841,959 | 10,786,799 | |||||||||||||
U S TREASURY BOND | 2.000% 11/15/2041 DD 11/15/21 | 175,000 | 179,047 | 177,571 | |||||||||||||
U S TREASURY NOTE | 1.000% 12/15/2024 DD 12/15/21 | 25,655,000 | 25,697,717 | 25,689,121 | |||||||||||||
U S TREASURY NOTE | 1.375% 10/31/2028 DD 10/31/21 | 6,940,000 | 6,908,657 | 6,918,347 | |||||||||||||
U S TREASURY NOTE | 1.375% 12/31/2028 DD 12/31/21 | 71,825,000 | 64,615,038 | 64,650,596 | |||||||||||||
U S TREASURY NOTE | 1.250% 12/31/2026 DD 12/31/21 | 36,105,000 | 36,081,703 | 36,090,919 | |||||||||||||
U S TREASURY NOTE | 0.750% 12/31/2023 DD 12/31/21 | 32,495,000 | 32,508,320 | 32,506,373 | |||||||||||||
UNION PACIFIC CORP | 2.891% 04/06/2036 DD 04/06/21 | 400,000 | 402,416 | 419,844 | |||||||||||||
UNITED PARCEL SERVICE INC | 3.900% 04/01/2025 DD 03/24/20 | 905,000 | 904,050 | 977,002 | |||||||||||||
US 10YR ULTRA FUTURE (CBT) | EXP MAR 22 | (111) | — | (222,969) | |||||||||||||
US 2YR TREAS NTS FUT (CBT) | EXP MAR 22 | 22 | — | (9,969) | |||||||||||||
US LONG BOND FUTURE (CBT) | EXP MAR 22 | (62) | — | (12,594) | |||||||||||||
US ULTRA BOND FUTURE (CBT) | EXP MAR 22 | (25) | — | (47,164) | |||||||||||||
USAA CAPITAL CORP 144A | 2.125% 05/01/2030 DD 04/21/20 | 250,000 | 249,280 | 250,210 | |||||||||||||
VERIZON COMMUNICATIONS IN 144A | 2.355% 03/15/2032 DD 09/20/21 | 319,000 | 320,219 | 314,706 | |||||||||||||
VERIZON COMMUNICATIONS INC | 4.500% 08/10/2033 DD 08/10/17 | 690,000 | 688,054 | 812,234 | |||||||||||||
VERIZON COMMUNICATIONS INC | 1.750% 01/20/2031 DD 11/20/20 | 2,135,000 | 2,125,286 | 2,022,998 | |||||||||||||
VERIZON COMMUNICATIONS INC | 2.100% 03/22/2028 DD 03/22/21 | 400,000 | 399,820 | 401,084 | |||||||||||||
VIATRIS INC | 2.300% 06/22/2027 DD 06/22/21 | 305,000 | 312,764 | 306,979 | |||||||||||||
VIATRIS INC | 2.700% 06/22/2030 DD 06/22/21 | 190,000 | 198,349 | 190,866 | |||||||||||||
VOLKSWAGEN GROUP OF AMERI 144A | 2.900% 05/13/2022 DD 05/13/20 | 1,065,000 | 1,064,425 | 1,073,690 | |||||||||||||
VOLKSWAGEN GROUP OF AMERI 144A | 0.875% 11/22/2023 DD 11/24/20 | 865,000 | 863,703 | 859,326 | |||||||||||||
WALMART INC | 1.500% 09/22/2028 DD 09/22/21 | 270,000 | 269,714 | 268,572 | |||||||||||||
WALT DISNEY CO/THE | 3.350% 03/24/2025 DD 03/23/20 | 1,315,000 | 1,342,623 | 1,399,134 | |||||||||||||
WEC ENERGY GROUP INC | 0.800% 03/15/2024 DD 03/19/21 | 630,000 | 629,742 | 623,650 | |||||||||||||
WELLS FARGO & CO | VAR RT 06/17/2027 DD 06/17/19 | 790,000 | 790,000 | 833,276 | |||||||||||||
WELLS FARGO & CO | VAR RT 10/30/2025 DD 10/31/19 | 1,640,000 | 1,640,000 | 1,680,377 | |||||||||||||
WELLS FARGO & CO | VAR RT 04/04/2031 DD 03/30/20 | 1,080,000 | 1,080,000 | 1,255,867 | |||||||||||||
WELLS FARGO & CO | VAR RT 04/30/2026 DD 04/30/20 | 720,000 | 720,000 | 733,025 |
WESTLAKE AUTOMOBIL 2A A2A 144A | 0.320% 04/15/2025 DD 06/16/21 | 312,491 | 311,564 | 311,648 | |||||||||||||
WISCONSIN ELECTRIC POWER CO | 1.700% 06/15/2028 DD 06/15/21 | 300,000 | 299,940 | 294,114 | |||||||||||||
ABBVIE INC | 3.450% 03/15/2022 DD 09/15/20 | 1,150,000 | 1,196,035 | 1,151,058 | |||||||||||||
AETNA INC | 2.800% 06/15/2023 DD 06/09/16 | 110,000 | 111,114 | 112,716 | |||||||||||||
AETNA INC | 3.500% 11/15/2024 DD 11/10/14 | 625,000 | 650,867 | 659,344 | |||||||||||||
AMEREN CORP | 2.500% 09/15/2024 DD 09/16/19 | 265,000 | 282,151 | 272,184 | |||||||||||||
AMERICAN HONDA FINANCE CORP | 0.750% 08/09/2024 DD 09/09/21 | 740,000 | 739,512 | 731,808 | |||||||||||||
ANTHEM INC | 1.500% 03/15/2026 DD 03/17/21 | 250,000 | 249,343 | 249,843 | |||||||||||||
BAE SYSTEMS HOLDINGS INC 144A | 3.850% 12/15/2025 DD 12/10/15 | 150,000 | 165,425 | 160,845 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 01/20/2028 DD 01/20/17 | 1,025,000 | 1,167,270 | 1,110,618 | |||||||||||||
BANK OF AMERICA CORP | 4.250% 10/22/2026 DD 10/22/14 | 305,000 | 342,814 | 336,738 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 12/06/2025 DD 12/06/21 | 800,000 | 800,000 | 801,912 | |||||||||||||
BANK OF MONTREAL | VAR RT 01/22/2027 DD 01/22/21 | 70,000 | 69,776 | 67,759 | |||||||||||||
BANK OF MONTREAL | 1.250% 09/15/2026 DD 09/15/21 | 415,000 | 414,299 | 406,368 | |||||||||||||
BARCLAYS PLC | VAR RT 11/24/2027 DD 11/24/21 | 1,260,000 | 1,260,508 | 1,262,911 | |||||||||||||
BAXTER INTERNATIONAL INC 144A | 0.868% 12/01/2023 DD 12/01/21 | 1,025,000 | 1,025,000 | 1,020,982 | |||||||||||||
BAXTER INTERNATIONAL INC 144A | 1.915% 02/01/2027 DD 12/01/21 | 500,000 | 499,990 | 502,145 | |||||||||||||
BAXTER INTERNATIONAL INC 144A | 2.272% 12/01/2028 DD 12/01/21 | 205,000 | 205,000 | 206,669 | |||||||||||||
BAYER US FINANCE II LLC 144A | 3.875% 12/15/2023 DD 06/25/18 | 1,205,000 | 1,201,072 | 1,259,394 | |||||||||||||
BLACK HILLS CORP | 3.950% 01/15/2026 DD 01/13/16 | 415,000 | 454,906 | 444,942 | |||||||||||||
BOEING CO/THE | 1.433% 02/04/2024 DD 02/04/21 | 1,195,000 | 1,197,271 | 1,193,375 | |||||||||||||
BOSTON SCIENTIFIC CORP | 3.450% 03/01/2024 DD 02/25/19 | 370,000 | 369,778 | 386,976 | |||||||||||||
CANADIAN IMPERIAL BANK OF COMM | 1.000% 10/18/2024 DD 10/18/21 | 695,000 | 694,854 | 689,002 | |||||||||||||
CANADIAN NATURAL RESOURCES LTD | 2.950% 01/15/2023 DD 05/30/17 | 425,000 | 424,375 | 433,118 | |||||||||||||
CANADIAN PACIFIC RAILWAY CO | 2.900% 02/01/2025 DD 02/02/15 | 1,150,000 | 1,215,478 | 1,196,495 | |||||||||||||
CAPITAL ONE FINANCIAL CORP | VAR RT 11/02/2027 DD 11/02/21 | 590,000 | 590,000 | 587,339 | |||||||||||||
CENTERPOINT ENERGY HOUSTON ELE | 2.400% 09/01/2026 DD 08/11/16 | 500,000 | 515,195 | 515,175 | |||||||||||||
CENTERPOINT ENERGY HOUSTON ELE | 3.000% 02/01/2027 DD 01/12/17 | 400,000 | 422,012 | 421,144 | |||||||||||||
CHEVRON USA INC | 8.000% 04/01/2027 DD 10/01/20 | 205,000 | 267,925 | 268,618 | |||||||||||||
CIGNA CORP | 0.613% 03/15/2024 DD 03/03/21 | 595,000 | 595,000 | 590,145 | |||||||||||||
CITIGROUP INC | VAR RT 04/08/2026 DD 04/08/20 | 1,350,000 | 1,441,868 | 1,415,826 | |||||||||||||
COCA-COLA EUROPACIFIC PAR 144A | 0.500% 05/05/2023 DD 05/05/21 | 345,000 | 344,679 | 342,171 | |||||||||||||
COCA-COLA EUROPACIFIC PAR 144A | 0.800% 05/03/2024 DD 05/05/21 | 345,000 | 344,859 | 339,359 | |||||||||||||
COMMONSPIRIT HEALTH | 2.950% 11/01/2022 DD 10/31/12 | 370,000 | 375,550 | 376,938 | |||||||||||||
CONSTELLATION BRANDS INC | 4.250% 05/01/2023 DD 05/14/13 | 580,000 | 613,052 | 604,459 | |||||||||||||
CREDIT SUISSE GROUP AG 144A | VAR RT 06/05/2026 DD 06/05/20 | 315,000 | 315,000 | 316,896 | |||||||||||||
DAIMLER TRUCKS FINANCE NO 144A | 1.125% 12/14/2023 DD 12/14/21 | 350,000 | 349,209 | 350,140 | |||||||||||||
DELL INTERNATIONAL LLC / EMC C | 4.000% 07/15/2024 DD 01/15/21 | 590,000 | 587,398 | 626,167 | |||||||||||||
DELTA AIR LINES INC / SKY 144A | 4.500% 10/20/2025 DD 09/23/20 | 345,000 | 347,417 | 362,709 | |||||||||||||
DTE ENERGY CO | VAR RT 10/01/2024 DD 07/01/19 | 835,000 | 834,724 | 859,591 | |||||||||||||
EAST OHIO GAS CO/THE 144A | 1.300% 06/15/2025 DD 06/16/20 | 360,000 | 359,636 | 355,212 | |||||||||||||
EATON CORP | 8.100% 08/15/2022 DD 08/12/92 | 360,000 | 400,428 | 375,829 | |||||||||||||
ENERGY TRANSFER LP | 5.950% 12/01/2025 DD 11/17/15 | 265,000 | 302,312 | 301,785 | |||||||||||||
ENERGY TRANSFER LP | 4.750% 01/15/2026 DD 06/23/15 | 185,000 | 208,845 | 202,261 | |||||||||||||
ENERGY TRANSFER LP / REGENCY E | 4.500% 11/01/2023 DD 11/01/13 | 70,000 | 69,428 | 73,333 | |||||||||||||
ENTERGY CORP | 0.900% 09/15/2025 DD 08/26/20 | 300,000 | 298,818 | 290,697 | |||||||||||||
EVERSOURCE ENERGY | 2.800% 05/01/2023 DD 05/13/13 | 650,000 | 660,758 | 661,375 | |||||||||||||
FEDERAL HOME LN MTG CORP | 0.375% 09/23/2025 DD 09/25/20 | 1,195,000 | 1,191,403 | 1,162,914 | |||||||||||||
FHLMC POOL #ZS-2253 | 5.500% 08/01/2038 DD 09/01/18 | 49,908 | 59,203 | 57,117 |
FIFTH THIRD BANCORP | VAR RT 11/01/2027 DD 11/01/21 | 355,000 | 355,000 | 350,847 | |||||||||||||
FOMENTO ECONOMICO MEXICANO SAB | 2.875% 05/10/2023 DD 05/10/13 | 610,000 | 610,138 | 622,395 | |||||||||||||
GENERAL ELECTRIC CO | 3.375% 03/11/2024 DD 03/11/14 | 500,000 | 521,150 | 520,805 | |||||||||||||
GENERAL ELECTRIC CO | VAR RT 05/05/2026 DD 05/05/06 | 260,000 | 255,986 | 255,486 | |||||||||||||
GENERAL MILLS INC | 6.410% 10/15/2022 DD 10/05/20 | 440,000 | 484,185 | 459,738 | |||||||||||||
GENERAL MOTORS CO | 4.875% 10/02/2023 DD 04/02/14 | 105,000 | 112,880 | 111,552 | |||||||||||||
GENERAL MOTORS CO | 5.400% 10/02/2023 DD 05/12/20 | 250,000 | 249,740 | 267,618 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 3.950% 04/13/2024 DD 04/13/17 | 235,000 | 240,461 | 247,314 | |||||||||||||
GLOBAL PAYMENTS INC | 1.500% 11/15/2024 DD 11/22/21 | 700,000 | 699,510 | 700,252 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 07/24/2023 DD 07/24/17 | 1,310,000 | 1,321,599 | 1,324,790 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 05/01/2029 DD 04/23/18 | 105,000 | 117,474 | 116,726 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 0.481% 01/27/2023 DD 01/27/21 | 770,000 | 770,000 | 768,090 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 09/10/2027 DD 06/10/21 | 595,000 | 595,000 | 583,290 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 03/13/2023 DD 03/13/17 | 875,000 | 875,000 | 879,139 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 09/12/2026 DD 09/12/18 | 175,000 | 196,912 | 189,018 | |||||||||||||
HUMANA INC | 0.650% 08/03/2023 DD 08/03/21 | 270,000 | 269,819 | 268,623 | |||||||||||||
HYUNDAI CAPITAL AMERICA 144A | 1.000% 09/17/2024 DD 09/17/21 | 525,000 | 524,055 | 516,038 | |||||||||||||
ITC HOLDINGS CORP | 3.650% 06/15/2024 DD 06/04/14 | 265,000 | 277,842 | 277,895 | |||||||||||||
ITC HOLDINGS CORP | 4.050% 07/01/2023 DD 07/03/13 | 150,000 | 157,518 | 155,339 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 06/01/2025 DD 06/01/21 | 730,000 | 727,121 | 721,612 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 06/23/2025 DD 06/23/21 | 595,000 | 595,184 | 589,324 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 08/09/2025 DD 08/10/21 | 740,000 | 740,000 | 728,426 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 12/10/2025 DD 12/10/21 | 1,370,000 | 1,370,000 | 1,372,137 | |||||||||||||
KIMBERLY-CLARK DE MEXICO 144A | 3.250% 03/12/2025 DD 03/12/15 | 520,000 | 553,129 | 543,457 | |||||||||||||
L3HARRIS TECHNOLOGIES INC | 3.950% 05/28/2024 DD 11/28/19 | 375,000 | 413,505 | 396,720 | |||||||||||||
LEIDOS INC | 2.950% 05/15/2023 DD 05/15/21 | 595,000 | 592,608 | 609,221 | |||||||||||||
LINCOLN NATIONAL CORP | 4.000% 09/01/2023 DD 08/16/13 | 1,000,000 | 1,034,310 | 1,048,400 | |||||||||||||
LOWE'S COS INC | 4.000% 04/15/2025 DD 03/26/20 | 300,000 | 332,280 | 324,555 | |||||||||||||
LSEGA FINANCING PLC 144A | 1.375% 04/06/2026 DD 04/06/21 | 615,000 | 614,379 | 603,094 | |||||||||||||
MARTIN MARIETTA MATERIALS INC | 0.650% 07/15/2023 DD 07/02/21 | 355,000 | 354,957 | 353,754 | |||||||||||||
MITSUBISHI UFJ FINANCIAL GROUP | VAR RT 07/19/2025 DD 07/20/21 | 515,000 | 515,000 | 508,784 | |||||||||||||
MITSUBISHI UFJ FINANCIAL GROUP | VAR RT 07/20/2027 DD 07/20/21 | 195,000 | 195,000 | 191,638 | |||||||||||||
MIZUHO FINANCIAL GROUP INC | VAR RT 07/09/2027 DD 07/09/21 | 200,000 | 200,000 | 196,872 | |||||||||||||
MONDELEZ INTERNATIONAL INC | 1.500% 05/04/2025 DD 05/04/20 | 500,000 | 500,815 | 500,670 | |||||||||||||
MONONGAHELA POWER CO 144A | 4.100% 04/15/2024 DD 11/27/13 | 960,000 | 1,003,835 | 1,010,064 | |||||||||||||
MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 1,145,000 | 1,183,861 | 1,180,152 | |||||||||||||
MORGAN STANLEY | VAR RT 04/28/2026 DD 04/28/20 | 215,000 | 223,523 | 219,311 | |||||||||||||
MORGAN STANLEY | VAR RT 01/25/2024 DD 01/25/21 | 150,000 | 150,000 | 149,495 | |||||||||||||
MORGAN STANLEY | 3.750% 02/25/2023 DD 02/25/13 | 220,000 | 229,755 | 227,559 | |||||||||||||
MORGAN STANLEY | VAR RT 10/21/2025 DD 10/19/21 | 1,045,000 | 1,045,000 | 1,036,974 | |||||||||||||
MPLX LP | 1.750% 03/01/2026 DD 08/18/20 | 565,000 | 563,785 | 559,610 | |||||||||||||
NASDAQ INC | 0.445% 12/21/2022 DD 12/21/20 | 700,000 | 700,000 | 698,992 | |||||||||||||
NATIONAL RURAL UTILITIES COOPE | 2.300% 09/15/2022 DD 08/30/17 | 450,000 | 451,548 | 454,829 | |||||||||||||
NATWEST MARKETS PLC 144A | 0.800% 08/12/2024 DD 05/12/21 | 420,000 | 419,223 | 413,141 | |||||||||||||
NATWEST MARKETS PLC 144A | 1.600% 09/29/2026 DD 09/29/21 | 315,000 | 314,924 | 310,026 | |||||||||||||
NORTHROP GRUMMAN CORP | 2.930% 01/15/2025 DD 10/13/17 | 400,000 | 432,400 | 416,828 | |||||||||||||
NVIDIA CORP | 0.584% 06/14/2024 DD 06/16/21 | 705,000 | 705,000 | 698,620 | |||||||||||||
OFFICE PROPERTIES INCOME TRUST | 2.400% 02/01/2027 DD 08/13/21 | 130,000 | 129,848 | 125,917 | |||||||||||||
OGE ENERGY CORP | 0.703% 05/26/2023 DD 05/27/21 | 230,000 | 230,000 | 228,958 |
OKLAHOMA GAS AND ELECTRIC CO | 0.553% 05/26/2023 DD 05/27/21 | 225,000 | 225,000 | 223,533 | |||||||||||||
ONCOR ELECTRIC DELIVERY CO LLC | 0.550% 10/01/2025 DD 04/01/21 | 500,000 | 481,580 | 481,535 | |||||||||||||
ORACLE CORP | 1.650% 03/25/2026 DD 03/24/21 | 855,000 | 854,590 | 848,733 | |||||||||||||
PACIFIC BELL TELEPHONE CO | 7.125% 03/15/2026 DD 03/15/93 | 600,000 | 750,384 | 720,222 | |||||||||||||
PANASONIC CORP 144A | 2.536% 07/19/2022 DD 07/19/19 | 215,000 | 215,000 | 216,705 | |||||||||||||
PINNACLE WEST CAPITAL CORP | 1.300% 06/15/2025 DD 06/17/20 | 990,000 | 1,004,276 | 974,180 | |||||||||||||
PRINCIPAL LIFE GLOBAL FUN 144A | 1.250% 06/23/2025 DD 06/23/20 | 75,000 | 74,514 | 74,140 | |||||||||||||
PUBLIC SERVICE ELECTRIC AND GA | 3.000% 05/15/2027 DD 05/05/17 | 500,000 | 528,950 | 529,075 | |||||||||||||
PUBLIC SERVICE ENTERPRISE GROU | 0.841% 11/08/2023 DD 11/08/21 | 585,000 | 585,000 | 582,836 | |||||||||||||
RALPH LAUREN CORP | 1.700% 06/15/2022 DD 06/03/20 | 400,000 | 402,244 | 402,436 | |||||||||||||
RAYTHEON TECHNOLOGIES CORP | 3.700% 12/15/2023 DD 06/15/20 | 600,000 | 660,954 | 628,782 | |||||||||||||
RAYTHEON TECHNOLOGIES CORP | 7.200% 08/15/2027 DD 08/15/20 | 209,000 | 278,056 | 261,014 | |||||||||||||
RENESAS ELECTRONICS CORP 144A | 1.543% 11/26/2024 DD 11/26/21 | 635,000 | 635,000 | 630,650 | |||||||||||||
ROCHE HOLDINGS INC 144A | 1.930% 12/13/2028 DD 12/13/21 | 475,000 | 475,000 | 477,228 | |||||||||||||
ROPER TECHNOLOGIES INC | 2.350% 09/15/2024 DD 08/26/19 | 580,000 | 578,927 | 594,807 | |||||||||||||
ROYAL BANK OF CANADA | 0.650% 07/29/2024 DD 07/29/21 | 580,000 | 579,623 | 571,909 | |||||||||||||
ROYALTY PHARMA PLC | 0.750% 09/02/2023 DD 03/02/21 | 365,000 | 362,525 | 362,737 | |||||||||||||
SAN DIEGO GAS & ELECTRIC CO | 1.914% 02/01/2022 DD 03/12/15 | 40,719 | 40,719 | 40,749 | |||||||||||||
SIEMENS FINANCIERINGSMAAT 144A | 3.400% 03/16/2027 DD 03/16/17 | 350,000 | 377,566 | 377,437 | |||||||||||||
SOUTHERN CALIFORNIA EDISON CO | 1.845% 02/01/2022 DD 01/16/15 | 49,643 | 49,643 | 49,681 | |||||||||||||
SOUTHERN CALIFORNIA GAS CO | 3.200% 06/15/2025 DD 06/18/15 | 345,000 | 348,616 | 361,739 | |||||||||||||
SOUTHERN NATURAL GAS CO L 144A | 0.625% 04/28/2023 DD 04/29/21 | 200,000 | 199,968 | 198,846 | |||||||||||||
SOUTHWESTERN PUBLIC SERVICE CO | 3.300% 06/15/2024 DD 06/09/14 | 300,000 | 312,468 | 312,240 | |||||||||||||
STATE STREET CORP | VAR RT 11/18/2027 DD 11/18/21 | 155,000 | 155,000 | 155,315 | |||||||||||||
SUMITOMO MITSUI FINANCIAL GROU | 1.474% 07/08/2025 DD 07/08/20 | 1,000,000 | 1,000,000 | 995,210 | |||||||||||||
SUNCOR ENERGY INC | 2.800% 05/15/2023 DD 05/13/20 | 615,000 | 614,403 | 629,219 | |||||||||||||
THERMO FISHER SCIENTIFIC INC | 0.797% 10/18/2023 DD 10/22/21 | 635,000 | 635,000 | 632,854 | |||||||||||||
TIME WARNER ENTERTAINMENT CO L | 8.375% 03/15/2023 DD 09/15/93 | 80,000 | 90,834 | 86,754 | |||||||||||||
TORONTO-DOMINION BANK/THE | 1.250% 09/10/2026 DD 09/10/21 | (67,000) | 65,763 | 66,026 | |||||||||||||
TRITON CONTAINER INTERNAT 144A | 1.150% 06/07/2024 DD 06/07/21 | 345,000 | 344,634 | 340,146 | |||||||||||||
TSMC ARIZONA CORP | 1.750% 10/25/2026 DD 10/25/21 | 460,000 | 459,269 | 460,483 | |||||||||||||
U S TREASURY NOTE | 1.500% 09/30/2024 DD 09/30/19 | 115,000 | 115,800 | 116,842 | |||||||||||||
U S TREASURY NOTE | 1.500% 11/30/2024 DD 11/30/19 | 1,420,000 | 1,474,415 | 1,442,692 | |||||||||||||
U S TREASURY NOTE | 1.750% 05/15/2023 DD 05/15/13 | 1,780,000 | 1,726,595 | 1,809,406 | |||||||||||||
U S TREASURY NOTE | 1.750% 06/30/2024 DD 06/30/19 | 8,990,000 | 9,060,394 | 9,187,690 | |||||||||||||
U S TREASURY NOTE | 2.125% 03/31/2024 DD 03/31/17 | 2,480,000 | 2,557,791 | 2,552,862 | |||||||||||||
U S TREASURY NOTE | 2.125% 11/30/2024 DD 11/30/17 | 560,000 | 571,138 | 578,833 | |||||||||||||
U S TREASURY NOTE | 2.250% 11/15/2024 DD 11/15/14 | 600,000 | 573,906 | 622,194 | |||||||||||||
U S TREASURY NOTE | 2.750% 04/30/2023 DD 04/30/18 | 5,805,000 | 5,948,308 | 5,974,854 | |||||||||||||
U S TREASURY NOTE | 2.750% 05/31/2023 DD 05/31/18 | 4,545,000 | 4,726,906 | 4,685,441 | |||||||||||||
U S TREASURY NOTE | 2.750% 07/31/2023 DD 07/31/18 | 3,040,000 | 3,076,974 | 3,142,235 | |||||||||||||
U S TREASURY NOTE | 2.750% 08/31/2023 DD 08/31/18 | 2,020,000 | 2,102,694 | 2,089,448 | |||||||||||||
U S TREASURY NOTE | 2.375% 02/29/2024 DD 02/28/19 | 480,000 | 514,001 | 496,349 | |||||||||||||
U S TREASURY NOTE | 2.250% 04/30/2024 DD 04/30/19 | 2,280,000 | 2,403,263 | 2,354,989 | |||||||||||||
U S TREASURY NOTE | 1.500% 10/31/2024 DD 10/31/19 | 1,155,000 | 1,214,961 | 1,173,365 | |||||||||||||
U S TREASURY NOTE | 0.500% 03/15/2023 DD 03/15/20 | 1,700,000 | 1,714,742 | 1,700,663 | |||||||||||||
U S TREASURY NOTE | 0.375% 04/30/2025 DD 04/30/20 | 2,115,000 | 2,132,515 | 2,068,745 | |||||||||||||
U S TREASURY NOTE | 0.125% 05/15/2023 DD 05/15/20 | 55,000 | 55,015 | 54,687 | |||||||||||||
U S TREASURY NOTE | 0.250% 06/15/2023 DD 06/15/20 | 1,475,000 | 1,479,264 | 1,468,200 |
U S TREASURY NOTE | 0.250% 06/30/2025 DD 06/30/20 | 4,385,000 | 4,360,733 | 4,261,694 | |||||||||||||
U S TREASURY NOTE | 0.125% 07/15/2023 DD 07/15/20 | 1,055,000 | 1,053,725 | 1,047,457 | |||||||||||||
U S TREASURY NOTE | 0.250% 07/31/2025 DD 07/31/20 | 8,060,000 | 8,046,687 | 7,821,021 | |||||||||||||
U S TREASURY NOTE | 0.125% 08/15/2023 DD 08/15/20 | 4,845,000 | 4,839,809 | 4,805,804 | |||||||||||||
U S TREASURY NOTE | 0.125% 08/31/2022 DD 08/31/20 | (605,000) | 604,504 | 604,767 | |||||||||||||
U S TREASURY NOTE | 0.250% 08/31/2025 DD 08/31/20 | 1,225,000 | 1,207,442 | 1,187,148 | |||||||||||||
U S TREASURY NOTE | 0.125% 09/15/2023 DD 09/15/20 | 5,005,000 | 5,001,182 | 4,959,655 | |||||||||||||
U S TREASURY NOTE | 0.125% 11/30/2022 DD 11/30/20 | 825,000 | 825,161 | 823,127 | |||||||||||||
U S TREASURY NOTE | 0.250% 05/31/2025 DD 05/31/20 | 8,990,000 | 8,849,395 | 8,747,720 | |||||||||||||
U S TREASURY NOTE | 0.500% 08/31/2027 DD 08/31/20 | 960,000 | 919,886 | 916,723 | |||||||||||||
U S TREASURY NOTE | 0.500% 10/31/2027 DD 10/31/20 | 20,000 | 19,182 | 19,048 | |||||||||||||
U S TREASURY NOTE | 0.125% 12/31/2022 DD 12/31/20 | (1,695,000) | 2,358,969 | 2,357,966 | |||||||||||||
U S TREASURY NOTE | 0.125% 01/15/2024 DD 01/15/21 | 1,055,000 | 1,052,955 | 1,041,855 | |||||||||||||
U S TREASURY NOTE | 0.375% 01/31/2026 DD 01/31/21 | 7,460,000 | 7,324,827 | 7,220,459 | |||||||||||||
U S TREASURY NOTE | 0.250% 03/15/2024 DD 03/15/21 | 2,140,000 | 2,132,142 | 2,114,748 | |||||||||||||
U S TREASURY NOTE | 0.750% 03/31/2026 DD 03/31/21 | 2,155,000 | 2,147,127 | 2,115,176 | |||||||||||||
U S TREASURY NOTE | 0.125% 03/31/2023 DD 03/31/21 | 3,795,000 | 3,793,298 | 3,777,657 | |||||||||||||
U S TREASURY NOTE | 0.375% 04/15/2024 DD 04/15/21 | 2,345,000 | 2,349,763 | 2,321,925 | |||||||||||||
U S TREASURY NOTE | 0.125% 04/30/2023 DD 04/30/21 | 2,375,000 | 2,373,637 | 2,362,389 | |||||||||||||
U S TREASURY NOTE | 0.250% 05/15/2024 DD 05/15/21 | 2,890,000 | 2,878,410 | 2,851,158 | |||||||||||||
U S TREASURY NOTE | 0.875% 06/30/2026 DD 06/30/21 | 7,735,000 | 7,700,802 | 7,616,577 | |||||||||||||
U S TREASURY NOTE | 0.125% 06/30/2023 DD 06/30/21 | 1,055,000 | 1,052,566 | 1,047,910 | |||||||||||||
U S TREASURY NOTE | 0.625% 07/31/2026 DD 07/31/21 | 4,975,000 | 1,118,064 | 1,088,587 | |||||||||||||
U S TREASURY NOTE | 0.125% 08/31/2023 DD 08/31/21 | 1,390,000 | 1,387,392 | 1,377,893 | |||||||||||||
U S TREASURY NOTE | 0.875% 09/30/2026 DD 09/30/21 | 3,770,000 | 3,729,808 | 3,705,043 | |||||||||||||
U S TREASURY NOTE | 0.375% 10/31/2023 DD 10/31/21 | 3,330,000 | — | (1,509) | |||||||||||||
U S TREASURY NOTE | 0.750% 11/15/2024 DD 11/15/21 | 2,850,000 | — | (1,976) | |||||||||||||
U S TREASURY NOTE | 1.250% 11/30/2026 DD 11/30/21 | 6,910,000 | 6,804,486 | 6,789,991 | |||||||||||||
U S TREASURY NOTE | 1.500% 11/30/2028 DD 11/30/21 | 1,140,000 | 1,145,377 | 1,145,518 | |||||||||||||
U S TREASURY NOTE | 0.500% 11/30/2023 DD 11/30/21 | 3,095,000 | 3,093,290 | 3,083,518 | |||||||||||||
U S TREASURY NOTE | 1.000% 12/15/2024 DD 12/15/21 | 1,170,000 | 1,173,108 | 1,171,556 | |||||||||||||
UBS AG/LONDON 144A | 0.700% 08/09/2024 DD 08/09/21 | 605,000 | 604,752 | 598,097 | |||||||||||||
UNITED AIRLINES 2015-1 CLASS A | 3.450% 06/01/2029 DD 11/17/15 | 135,801 | 132,066 | 142,367 | |||||||||||||
UNIVERSAL HEALTH SERVICES 144A | 1.650% 09/01/2026 DD 08/24/21 | 350,000 | 349,563 | 343,732 | |||||||||||||
VF CORP | 2.050% 04/23/2022 DD 04/23/20 | 210,000 | 209,962 | 211,067 | |||||||||||||
WELLS FARGO & CO | 3.000% 10/23/2026 DD 10/25/16 | 625,000 | 670,793 | 657,006 | |||||||||||||
WESTLAKE CHEMICAL CORP | 0.875% 08/15/2024 DD 08/19/21 | 400,000 | 399,412 | 394,016 | |||||||||||||
INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 8,816,650 | 8,816,650 | ||||||||||||||
TOTAL UNDERLYING ASSETS | $ | 498,518,741 | $ | 499,181,556 | |||||||||||||
TRANSAMERICA MDA01078TR - 63.3% of MARKET VALUE | $ | 316,211,221 | |||||||||||||||
TRANSAMERICA MDA01078TR - ADJ MARKET TO CONTRACT VALUE | (10,195,450) | ||||||||||||||||
TRANSAMERICA MDA01078TR - CONTRACT VALUE | $ | 306,015,771 | |||||||||||||||
PRUDENTIAL GA-62233 - 36.7% of MARKET VALUE | $ | 182,970,335 | |||||||||||||||
IGT INVESCO SHORT-TERM BOND FUND | 151,129,204 | ||||||||||||||||
FAIR VALUE PRUDENTIAL GA-62233 | 334,099,539 | ||||||||||||||||
PRUDENTIAL GA-62233 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (11,045,346) | ||||||||||||||||
PRUDENTIAL GA-62233 - CONTRACT VALUE | $ | 323,054,193 |
(c) | |||||||||||||||||
(b) | Face Value | (e) | |||||||||||||||
Identity of Issue, Borrower, | or Number | (d) | Current | ||||||||||||||
(a) | Lessor or Similar Party | of Shares | Cost | Value | |||||||||||||
7-ELEVEN INC 144A | 0.950% 02/10/2026 DD 02/10/21 | 295,000 | $ | 294,288 | $ | 285,791 | |||||||||||
ADOBE INC | 1.900% 02/01/2025 DD 02/03/20 | 560,000 | 558,807 | 573,597 | |||||||||||||
ALLY FINANCIAL INC | 1.450% 10/02/2023 DD 09/18/20 | 500,000 | 496,870 | 501,580 | |||||||||||||
AMAZON.COM INC | 2.500% 11/29/2022 DD 11/29/12 | 360,000 | 364,111 | 365,382 | |||||||||||||
AMAZON.COM INC | 0.450% 05/12/2024 DD 05/12/21 | 370,000 | 369,460 | 366,441 | |||||||||||||
AMERICAN HONDA FINANCE CORP | 1.200% 07/08/2025 DD 07/08/20 | 490,000 | 489,882 | 488,300 | |||||||||||||
ANALOG DEVICES INC | 2.950% 04/01/2025 DD 04/08/20 | 615,000 | 655,602 | 646,076 | |||||||||||||
APPLE INC | 0.750% 05/11/2023 DD 05/11/20 | 395,000 | 393,926 | 396,110 | |||||||||||||
APPLE INC | 0.700% 02/08/2026 DD 02/08/21 | 380,000 | 379,145 | 372,438 | |||||||||||||
ATHENE GLOBAL FUNDING 144A | 1.000% 04/16/2024 DD 04/16/21 | 440,000 | 439,380 | 436,308 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 265,000 | 278,995 | 276,119 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 10/24/2026 DD 10/21/20 | 550,000 | 546,282 | 539,286 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 05/19/2024 DD 05/19/20 | 490,000 | 490,000 | 493,592 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 04/22/2025 DD 04/22/21 | 430,000 | 430,000 | 426,633 | |||||||||||||
BANK OF MONTREAL | 1.850% 05/01/2025 DD 04/27/20 | 330,000 | 329,749 | 335,016 | |||||||||||||
BANK OF MONTREAL | 1.250% 09/15/2026 DD 09/15/21 | 595,000 | 593,994 | 582,624 | |||||||||||||
* | BANK OF NEW YORK MELLON CORP/T | 1.850% 01/27/2023 DD 01/28/20 | 440,000 | 439,692 | 446,094 | ||||||||||||
* | BANK OF NEW YORK MELLON CORP/T | 0.750% 01/28/2026 DD 01/28/21 | 520,000 | 518,882 | 505,326 | ||||||||||||
BANK OF NOVA SCOTIA/THE | 1.300% 06/11/2025 DD 06/11/20 | 420,000 | 419,068 | 417,749 | |||||||||||||
BARCLAYS BANK PLC | 1.700% 05/12/2022 DD 05/12/20 | 385,000 | 384,684 | 386,305 | |||||||||||||
BERKSHIRE HATHAWAY ENERGY CO | 2.800% 01/15/2023 DD 01/05/18 | 850,000 | 833,612 | 865,657 | |||||||||||||
BMW US CAPITAL LLC 144A | 0.750% 08/12/2024 DD 08/12/21 | 320,000 | 319,971 | 316,512 | |||||||||||||
BOOKING HOLDINGS INC | 2.750% 03/15/2023 DD 08/15/17 | 450,000 | 456,741 | 459,689 | |||||||||||||
BPCE SA | 4.000% 04/15/2024 DD 04/15/14 | 510,000 | 543,418 | 542,966 | |||||||||||||
BX TRUST 2021-LBA LBA AV 144A | VAR RT 02/15/2036 DD 02/16/21 | 280,000 | 280,000 | 278,930 | |||||||||||||
BXHPP TRUST 2021-F FILM A 144A | VAR RT 08/15/2036 DD 08/26/21 | 105,000 | 105,000 | 104,448 | |||||||||||||
CANADIAN IMPERIAL BANK OF COMM | 2.250% 01/28/2025 DD 01/28/20 | 440,000 | 439,960 | 449,680 | |||||||||||||
CANADIAN IMPERIAL BANK OF COMM | 1.250% 06/22/2026 DD 06/22/21 | 630,000 | 629,118 | 614,370 | |||||||||||||
CARMAX AUTO OWNER TRUST 2 1 A4 | 0.530% 10/15/2026 DD 01/27/21 | 560,000 | 557,719 | 550,015 | |||||||||||||
CARMAX AUTO OWNER TRUST 2 2 A3 | 1.700% 11/15/2024 DD 04/29/20 | 284,727 | 284,696 | 286,549 | |||||||||||||
CARMAX AUTO OWNER TRUST 2 2 A3 | 0.520% 02/17/2026 DD 04/21/21 | 630,000 | 629,864 | 626,396 | |||||||||||||
CARMAX AUTO OWNER TRUST 2 3 A3 | 2.180% 08/15/2024 DD 07/30/19 | 347,781 | 348,542 | 351,554 | |||||||||||||
CARMAX AUTO OWNER TRUST 2 3 A4 | 0.770% 03/16/2026 DD 07/22/20 | 395,000 | 394,863 | 393,606 | |||||||||||||
CATERPILLAR FINANCIAL SERVICES | 2.150% 11/08/2024 DD 11/08/19 | 500,000 | 501,110 | 514,610 | |||||||||||||
CHARLES SCHWAB CORP/THE | 4.200% 03/24/2025 DD 03/24/20 | 540,000 | 619,650 | 587,320 | |||||||||||||
CHEVRON CORP | 3.191% 06/24/2023 DD 06/24/13 | 210,000 | 217,484 | 216,237 | |||||||||||||
CITIGROUP COMMERCIAL M GC17 A4 | 4.131% 11/10/2046 DD 12/01/13 | 500,000 | 533,008 | 523,490 | |||||||||||||
CITIGROUP COMMERCIAL M GC36 A5 | 3.616% 02/10/2049 DD 02/01/16 | 460,000 | 505,030 | 490,516 | |||||||||||||
CITIGROUP COMMERCIAL MOR P1 A5 | 3.717% 09/15/2048 DD 08/01/15 | 575,000 | 630,434 | 613,732 | |||||||||||||
CITIGROUP INC | 3.300% 04/27/2025 DD 04/27/15 | 575,000 | 633,874 | 610,943 | |||||||||||||
CITIGROUP INC | VAR RT 05/15/2024 DD 05/14/20 | 185,000 | 185,000 | 187,066 | |||||||||||||
CITIGROUP INC | VAR RT 10/30/2024 DD 10/30/20 | 455,000 | 455,000 | 452,115 | |||||||||||||
CITIGROUP INC | VAR RT 11/03/2025 DD 11/03/21 | 235,000 | 235,000 | 234,420 |
COMM 2013-CCRE8 MORTGAG CR8 A4 | 3.334% 06/10/2046 DD 06/01/13 | 36,772 | 36,850 | 37,431 | |||||||||||||
COMM 2014-CCRE15 MORTG CR15 AM | VAR RT 02/10/2047 DD 02/01/14 | 470,000 | 506,296 | 495,140 | |||||||||||||
COMM 2014-CCRE20 MORTG CR20 A3 | 3.326% 11/10/2047 DD 10/01/14 | 520,413 | 556,293 | 535,641 | |||||||||||||
CONNECTICUT LIGHT AND POWER CO | 2.500% 01/15/2023 DD 01/15/13 | 1,050,000 | 1,022,343 | 1,064,732 | |||||||||||||
CREDIT SUISSE AG/NEW YORK NY | 2.800% 04/08/2022 DD 04/09/20 | 260,000 | 259,990 | 261,576 | |||||||||||||
CREDIT SUISSE GROUP AG 144A | VAR RT 09/11/2025 DD 09/11/19 | 250,000 | 250,000 | 255,343 | |||||||||||||
CUMMINS INC | 0.750% 09/01/2025 DD 08/24/20 | 570,000 | 568,963 | 559,124 | |||||||||||||
DEERE & CO | 2.750% 04/15/2025 DD 03/30/20 | 505,000 | 549,420 | 527,750 | |||||||||||||
DELL INTERNATIONAL LLC / EMC C | 4.000% 07/15/2024 DD 01/15/21 | 320,000 | 318,589 | 339,616 | |||||||||||||
DEUTSCHE BANK AG/NEW YORK NY | 0.898% 05/28/2024 DD 05/28/21 | 480,000 | 480,000 | 475,901 | |||||||||||||
DEUTSCHE BANK AG/NEW YORK NY | 0.962% 11/08/2023 DD 11/08/21 | 605,000 | 605,000 | 603,990 | |||||||||||||
DR HORTON INC | 1.300% 10/15/2026 DD 08/05/21 | 810,000 | 809,344 | 791,419 | |||||||||||||
DUKE ENERGY CORP | 0.900% 09/15/2025 DD 09/11/20 | 590,000 | 589,711 | 573,604 | |||||||||||||
ENTERGY LOUISIANA LLC | 0.950% 10/01/2024 DD 10/01/21 | 655,000 | 654,018 | 647,933 | |||||||||||||
EQUINIX INC | 1.250% 07/15/2025 DD 06/22/20 | 390,000 | 389,103 | 382,652 | |||||||||||||
EQUITABLE FINANCIAL LIFE 144A | 0.800% 08/12/2024 DD 08/12/21 | 550,000 | 550,339 | 541,497 | |||||||||||||
EXTENDED STAY AMERI ESH A 144A | VAR RT 07/15/2038 DD 07/08/21 | 308,396 | 308,396 | 308,803 | |||||||||||||
FHLMC POOL #QB-5146 | 2.000% 11/01/2050 DD 10/01/20 | 65,062 | 67,491 | 64,952 | |||||||||||||
FHLMC POOL #SD-0625 | 2.500% 05/01/2051 DD 05/01/21 | 166,374 | 172,366 | 170,086 | |||||||||||||
FHLMC MULTICLASS MTG 4993 D | 2.000% 09/25/2047 DD 06/01/20 | 310,000 | 321,007 | 312,378 | |||||||||||||
FHLMC MULTICLASS MTG 5073 DG | 1.500% 08/25/2038 DD 01/01/21 | 299,599 | 304,093 | 301,172 | |||||||||||||
FHLMC MULTICLASS MTG K729 A2 | 3.136% 10/25/2024 DD 12/01/17 | 820,000 | 892,455 | 858,155 | |||||||||||||
FIDELITY NATIONAL INFORMATION | 1.150% 03/01/2026 DD 03/02/21 | 390,000 | 389,415 | 380,090 | |||||||||||||
FIRST HORIZON CORP | 3.550% 05/26/2023 DD 05/26/20 | 295,000 | 294,900 | 303,986 | |||||||||||||
FNMA POOL #0AM8098 | 2.680% 05/01/2025 DD 05/01/15 | 310,000 | 335,720 | 322,195 | |||||||||||||
FNMA POOL #0BR4087 | 2.000% 03/01/2051 DD 02/01/21 | 374,134 | 387,229 | 373,869 | |||||||||||||
FNMA POOL #0BU2801 | 2.000% 11/01/2051 DD 11/01/21 | 349,357 | 350,067 | 349,137 | |||||||||||||
FNMA POOL #0FM4959 | 2.000% 12/01/2050 DD 11/01/20 | 72,583 | 75,487 | 72,461 | |||||||||||||
FNMA POOL #0FM7685 | 3.000% 06/01/2051 DD 06/01/21 | 163,158 | 172,080 | 170,057 | |||||||||||||
FNMA POOL #0FM8360 | 2.500% 08/01/2051 DD 08/01/21 | 235,976 | 246,567 | 241,715 | |||||||||||||
FNMA POOL #0MA4331 | 1.500% 04/01/2031 DD 04/01/21 | 1,765,917 | 1,795,578 | 1,786,542 | |||||||||||||
FNMA POOL #0MA4334 | 2.500% 05/01/2041 DD 04/01/21 | 112,708 | 117,436 | 116,422 | |||||||||||||
FNMA POOL #0MA4448 | 1.500% 09/01/2031 DD 09/01/21 | 716,480 | 731,146 | 724,863 | |||||||||||||
FNMA POOL #0MA4476 | 1.500% 10/01/2031 DD 10/01/21 | 480,365 | 490,122 | 485,654 | |||||||||||||
FNMA GTD REMIC P/T 20-10 LP | 3.500% 03/25/2050 DD 02/01/20 | 122,934 | 129,234 | 128,919 | |||||||||||||
FNMA GTD REMIC P/T 20-63 B | 1.250% 09/25/2050 DD 08/01/20 | 97,183 | 97,912 | 95,611 | |||||||||||||
FNMA GTD REMIC P/T 21-12 GC | 3.500% 07/25/2050 DD 02/01/21 | 300,137 | 325,274 | 318,674 | |||||||||||||
FORD CREDIT FLOORPLAN MAST 4 A | 2.440% 09/15/2026 DD 09/20/19 | 105,000 | 96,567 | 108,368 | |||||||||||||
FORTINET INC | 1.000% 03/15/2026 DD 03/05/21 | 225,000 | 223,792 | 218,061 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 1.050% 03/08/2024 DD 04/09/21 | 455,000 | 454,791 | 452,711 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 1.200% 10/15/2024 DD 10/15/21 | 305,000 | 304,875 | 302,822 | |||||||||||||
GNMA GTD REMIC P/T 21-105 DB | 1.000% 06/20/2051 DD 06/01/21 | 307,736 | 296,052 | 292,731 | |||||||||||||
GNMA GTD REMIC P/T 21-78 LA | 1.000% 05/20/2051 DD 05/01/21 | (226,277) | 218,734 | 218,734 | |||||||||||||
GNMA GTD REMIC P/T 21-91 MF | 1.000% 05/20/2051 DD 05/01/21 | (262,839) | 253,968 | 254,056 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 05/15/2026 DD 05/17/18 | 320,000 | 320,000 | 325,824 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 10/21/2027 DD 10/21/21 | 500,000 | 500,000 | 498,100 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 0.481% 01/27/2023 DD 01/27/21 | 250,000 | 250,000 | 249,380 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 1.217% 12/06/2023 DD 12/06/21 | 675,000 | 675,000 | 676,546 | |||||||||||||
GREAT-WEST LIFECO US FINA 144A | 0.904% 08/12/2025 DD 08/12/20 | 635,000 | 635,000 | 617,188 |
GS MORTGAGE SECURI BOCA A 144A | VAR RT 06/15/2038 DD 06/26/19 | 350,000 | 350,000 | 349,783 | |||||||||||||
GS MORTGAGE SECURITIES GS3 A4 | 2.850% 10/10/2049 DD 09/01/16 | 400,000 | 427,531 | 416,520 | |||||||||||||
HEALTH CARE SERVICE CORP 144A | 1.500% 06/01/2025 DD 06/01/20 | 495,000 | 493,837 | 494,094 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 11/22/2024 DD 11/22/21 | 320,000 | 320,000 | 319,088 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 05/24/2025 DD 05/24/21 | 300,000 | 300,082 | 296,430 | |||||||||||||
HUNTINGTON NATIONAL BANK/THE | 1.800% 02/03/2023 DD 02/04/20 | 525,000 | 524,559 | 530,303 | |||||||||||||
HYUNDAI CAPITAL AMERICA 144A | 1.650% 09/17/2026 DD 09/17/21 | 595,000 | 594,744 | 583,505 | |||||||||||||
INFOR INC 144A | 1.450% 07/15/2023 DD 06/05/20 | 300,000 | 299,907 | 300,939 | |||||||||||||
INTUIT INC | 0.650% 07/15/2023 DD 06/29/20 | 495,000 | 494,881 | 493,500 | |||||||||||||
JPMBB COMMERCIAL MORTGA C21 A5 | 3.775% 08/15/2047 DD 07/01/14 | 1,000,000 | 1,072,578 | 1,052,920 | |||||||||||||
JPMBB COMMERCIAL MORTGA C26 A3 | 3.231% 01/15/2048 DD 12/01/14 | 309,658 | 322,383 | 318,741 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 06/01/2024 DD 05/27/20 | 350,000 | 350,000 | 352,688 | |||||||||||||
KINDER MORGAN ENERGY PARTNERS | 4.150% 02/01/2024 DD 08/05/13 | 295,000 | 311,665 | 310,375 | |||||||||||||
LLOYDS BANKING GROUP PLC | 4.050% 08/16/2023 DD 08/16/18 | 360,000 | 359,903 | 377,212 | |||||||||||||
MACQUARIE BANK LTD 144A | 2.300% 01/22/2025 DD 01/22/20 | 355,000 | 374,845 | 363,836 | |||||||||||||
MACQUARIE GROUP LTD 144A | VAR RT 10/14/2025 DD 10/14/21 | 140,000 | 140,000 | 138,800 | |||||||||||||
MARATHON PETROLEUM CORP | 4.700% 05/01/2025 DD 04/27/20 | 210,000 | 209,591 | 229,186 | |||||||||||||
MERCEDES-BENZ AUTO RECEIV 1 A4 | 0.730% 12/15/2027 DD 09/22/21 | 505,000 | 504,833 | 495,678 | |||||||||||||
MERCK & CO INC | 0.750% 02/24/2026 DD 06/24/20 | 445,000 | 442,762 | 436,403 | |||||||||||||
METROPOLITAN LIFE GLOBAL 144A | 1.950% 01/13/2023 DD 01/13/20 | 450,000 | 449,807 | 455,801 | |||||||||||||
MITSUBISHI UFJ FINANCIAL GROUP | 2.193% 02/25/2025 DD 02/25/20 | 525,000 | 549,392 | 535,610 | |||||||||||||
MITSUBISHI UFJ FINANCIAL GROUP | VAR RT 07/19/2025 DD 07/20/21 | 515,000 | 515,000 | 508,784 | |||||||||||||
MORGAN STANLEY | VAR RT 10/21/2025 DD 10/19/21 | 410,000 | 410,000 | 406,851 | |||||||||||||
MORGAN STANLEY BANK OF C28 A4 | 3.544% 01/15/2049 DD 02/01/16 | 460,000 | 502,586 | 488,736 | |||||||||||||
MORGAN STANLEY CAPITAL UBS8 A4 | 3.809% 12/15/2048 DD 12/01/15 | 265,000 | 293,280 | 283,669 | |||||||||||||
NATIONAL SECURITIES CLEAR 144A | 1.200% 04/23/2023 DD 04/23/20 | 415,000 | 414,610 | 417,859 | |||||||||||||
NATIONAL SECURITIES CLEAR 144A | 0.750% 12/07/2025 DD 12/07/20 | 250,000 | 249,193 | 243,440 | |||||||||||||
NESTLE HOLDINGS INC 144A | 0.375% 01/15/2024 DD 09/15/20 | 630,000 | 628,482 | 622,472 | |||||||||||||
NORDEA BANK ABP 144A | 1.000% 06/09/2023 DD 06/09/20 | 365,000 | 364,624 | 366,179 | |||||||||||||
NORDEA BANK ABP 144A | 0.750% 08/28/2025 DD 08/28/20 | 250,000 | 248,670 | 243,755 | |||||||||||||
NORTHWESTERN MUTUAL GLOBA 144A | 0.800% 01/14/2026 DD 01/14/21 | 475,000 | 474,164 | 461,539 | |||||||||||||
NXP BV / NXP FUNDING LLC 144A | 2.700% 05/01/2025 DD 05/01/20 | 175,000 | 174,853 | 180,842 | |||||||||||||
ORACLE CORP | 2.500% 04/01/2025 DD 04/01/20 | 570,000 | 606,902 | 583,589 | |||||||||||||
PHILIP MORRIS INTERNATIONAL IN | 1.125% 05/01/2023 DD 05/01/20 | 295,000 | 294,012 | 296,301 | |||||||||||||
PINNACLE WEST CAPITAL CORP | 1.300% 06/15/2025 DD 06/17/20 | 565,000 | 566,895 | 555,971 | |||||||||||||
PNC BANK NA | 2.625% 02/17/2022 DD 02/17/17 | 600,000 | 604,362 | 601,062 | |||||||||||||
PROTECTIVE LIFE GLOBAL FU 144A | 0.473% 01/12/2024 DD 01/12/21 | 410,000 | 410,000 | 404,568 | |||||||||||||
PSNH FUNDING LLC 3 1 A1 | 3.094% 02/01/2026 DD 05/08/18 | 144,138 | 144,134 | 147,545 | |||||||||||||
PUBLIC SERVICE ELECTRIC AND GA | 0.950% 03/15/2026 DD 03/04/21 | 590,000 | 588,702 | 577,994 | |||||||||||||
PUBLIC SERVICE ENTERPRISE GROU | 0.841% 11/08/2023 DD 11/08/21 | 210,000 | 210,000 | 209,223 | |||||||||||||
RALPH LAUREN CORP | 1.700% 06/15/2022 DD 06/03/20 | 165,000 | 164,802 | 166,005 | |||||||||||||
RELIANCE STANDARD LIFE GL 144A | 2.500% 10/30/2024 DD 10/30/19 | 410,000 | 409,311 | 421,755 | |||||||||||||
RELIANCE STANDARD LIFE GL 144A | 1.512% 09/28/2026 DD 09/28/21 | 265,000 | 265,000 | 260,368 | |||||||||||||
REPUBLIC SERVICES INC | 0.875% 11/15/2025 DD 11/24/20 | 515,000 | 514,475 | 500,760 | |||||||||||||
SALESFORCE.COM INC | 3.250% 04/11/2023 DD 04/11/18 | 325,000 | 324,805 | 335,251 | |||||||||||||
SILGAN HOLDINGS INC 144A | 1.400% 04/01/2026 DD 02/10/21 | 330,000 | 329,819 | 321,935 | |||||||||||||
SOCIETE GENERALE SA 144A | 3.875% 03/28/2024 DD 03/28/19 | 415,000 | 442,647 | 436,696 | |||||||||||||
SPRINT SPECTRUM CO LLC / 144A | 4.738% 09/20/2029 DD 03/21/18 | 85,313 | 93,204 | 89,254 | |||||||||||||
STANDARD CHARTERED PLC 144A | VAR RT 11/23/2025 DD 11/23/21 | 350,000 | 350,000 | 349,650 |
SUMITOMO MITSUI FINANCIAL GROU | 1.402% 09/17/2026 DD 09/17/21 | 620,000 | 620,000 | 605,517 | |||||||||||||
SWEDBANK AB 144A | 0.600% 09/25/2023 DD 09/25/20 | 505,000 | 504,939 | 502,061 | |||||||||||||
SYNCHRONY CREDIT CARD MAST 2 A | 3.470% 05/15/2026 DD 06/01/18 | 295,000 | 313,921 | 305,632 | |||||||||||||
TORONTO-DOMINION BANK/THE | 0.550% 03/04/2024 DD 03/04/21 | 500,000 | 499,555 | 494,650 | |||||||||||||
TORONTO-DOMINION BANK/THE | 1.250% 09/10/2026 DD 09/10/21 | 620,000 | 618,741 | 609,485 | |||||||||||||
TRANSCANADA PIPELINES LTD | 1.000% 10/12/2024 DD 10/12/21 | 620,000 | 619,820 | 614,668 | |||||||||||||
TRUIST FINANCIAL CORP | 2.750% 04/01/2022 DD 03/21/17 | 815,000 | 806,043 | 818,293 | |||||||||||||
U S TREASURY NOTE | 0.125% 02/28/2023 DD 02/28/21 | 5,375,000 | 5,367,529 | 5,352,963 | |||||||||||||
U S TREASURY NOTE | 0.125% 04/30/2023 DD 04/30/21 | 1,600,000 | 1,595,578 | 1,591,504 | |||||||||||||
U S TREASURY NOTE | 0.625% 10/15/2024 DD 10/15/21 | 21,795,000 | 21,770,929 | 21,623,037 | |||||||||||||
U S TREASURY NOTE | 0.375% 10/31/2023 DD 10/31/21 | 6,600,000 | 6,580,108 | 6,561,852 | |||||||||||||
U S TREASURY NOTE | 1.375% 10/31/2028 DD 10/31/21 | 8,175,000 | 8,132,286 | 8,149,494 | |||||||||||||
U S TREASURY NOTE | 1.125% 10/31/2026 DD 10/31/21 | 7,340,000 | 7,322,704 | 7,295,813 | |||||||||||||
UNILEVER CAPITAL CORP | 0.375% 09/14/2023 DD 09/14/20 | 280,000 | 279,642 | 278,256 | |||||||||||||
UNITED AIRLINES 2020-1 CLASS A | 5.875% 04/15/2029 DD 10/28/20 | 447,133 | 496,877 | 489,879 | |||||||||||||
US BANK NA/CINCINNATI OH | 2.050% 01/21/2025 DD 01/21/20 | 640,000 | 638,637 | 654,797 | |||||||||||||
USAA CAPITAL CORP 144A | 1.500% 05/01/2023 DD 04/21/20 | 310,000 | 309,616 | 313,081 | |||||||||||||
VALERO ENERGY CORP | 3.400% 09/15/2026 DD 09/12/16 | 625,000 | 673,587 | 667,113 | |||||||||||||
VERIZON COMMUNICATIONS INC | 1.450% 03/20/2026 DD 03/22/21 | 505,000 | 504,005 | 502,707 | |||||||||||||
VERIZON MASTER TRUST 1 A | 0.500% 05/20/2027 DD 05/25/21 | 255,000 | 254,981 | 251,708 | |||||||||||||
VERIZON OWNER TRUST 2020 A A1A | 1.850% 07/22/2024 DD 01/29/20 | 425,000 | 424,950 | 428,183 | |||||||||||||
VERIZON OWNER TRUST 2020-C C A | 0.410% 04/21/2025 DD 11/02/20 | 645,000 | 644,895 | 642,052 | |||||||||||||
VOLKSWAGEN AUTO LEASE TRU A A3 | 1.990% 11/21/2022 DD 10/04/19 | 92,160 | 92,158 | 92,337 | |||||||||||||
WALT DISNEY CO/THE | 1.750% 01/13/2026 DD 05/13/20 | 400,000 | 398,964 | 404,372 | |||||||||||||
WELLS FARGO & CO | VAR RT 06/02/2024 DD 06/02/20 | 285,000 | 285,000 | 287,437 | |||||||||||||
WILLIS NORTH AMERICA INC | 3.600% 05/15/2024 DD 05/16/17 | 529,000 | 578,181 | 554,143 | |||||||||||||
WORLD FINANCIAL NETWORK CR C A | 2.210% 07/15/2026 DD 09/18/19 | 600,000 | 605,439 | 607,014 | |||||||||||||
WORLD OMNI AUTO RECEIVABL D A4 | 3.440% 12/16/2024 DD 10/17/18 | 485,000 | 492,351 | 495,578 | |||||||||||||
WORLD OMNI AUTOMOBILE LEA B A3 | 2.030% 11/15/2022 DD 08/21/19 | 48,707 | 48,193 | 48,765 | |||||||||||||
ABBVIE INC | 2.300% 11/21/2022 DD 05/21/20 | 535,000 | 534,476 | 542,517 | |||||||||||||
ABBVIE INC | 2.600% 11/21/2024 DD 05/21/20 | 255,000 | 254,773 | 264,662 | |||||||||||||
ABN AMRO BANK NV 144A | VAR RT 06/16/2027 DD 06/16/21 | 300,000 | 300,000 | 294,231 | |||||||||||||
AMEREN CORP | 1.950% 03/15/2027 DD 11/18/21 | 225,000 | 224,957 | 225,785 | |||||||||||||
AMERICAN EXPRESS CO | 4.200% 11/06/2025 DD 11/06/18 | 90,000 | 89,800 | 99,013 | |||||||||||||
AMERICAN INTERNATIONAL GROUP I | 2.500% 06/30/2025 DD 05/11/20 | 350,000 | 349,622 | 361,039 | |||||||||||||
AMERICAN TOWER CORP | 2.400% 03/15/2025 DD 01/10/20 | 115,000 | 114,891 | 118,127 | |||||||||||||
AMERICAN TOWER CORP | 1.500% 01/31/2028 DD 11/20/20 | 355,000 | 354,897 | 339,913 | |||||||||||||
AMERICAN TOWER CORP | 1.450% 09/15/2026 DD 09/27/21 | 15,000 | 14,922 | 14,685 | |||||||||||||
AMERICAN TRANSMISSION SYS 144A | 2.650% 01/15/2032 DD 12/01/21 | 105,000 | 104,710 | 106,099 | |||||||||||||
AMGEN INC | 2.200% 02/21/2027 DD 02/21/20 | 100,000 | 99,787 | 102,421 | |||||||||||||
AMGEN INC | 2.450% 02/21/2030 DD 02/21/20 | 140,000 | 139,951 | 142,626 | |||||||||||||
ANTHEM INC | 2.375% 01/15/2025 DD 09/09/19 | 85,000 | 87,381 | 87,674 | |||||||||||||
ANTHEM INC | 3.125% 05/15/2022 DD 05/07/12 | 155,000 | 156,273 | 156,463 | |||||||||||||
ANTHEM INC | 1.500% 03/15/2026 DD 03/17/21 | 155,000 | 154,592 | 154,902 | |||||||||||||
APPLE INC | 1.200% 02/08/2028 DD 02/08/21 | 635,000 | 633,470 | 617,328 | |||||||||||||
APPLE INC | 1.400% 08/05/2028 DD 08/05/21 | 245,000 | 240,132 | 240,044 | |||||||||||||
ARCHER-DANIELS-MIDLAND CO | 3.250% 03/27/2030 DD 03/27/20 | 80,000 | 79,378 | 87,042 | |||||||||||||
ARI FLEET LEASE TRUS B A3 144A | 3.430% 08/16/2027 DD 09/27/18 | 138,000 | 137,979 | 139,325 | |||||||||||||
ASTRAZENECA FINANCE LLC | 1.750% 05/28/2028 DD 05/28/21 | 375,000 | 374,363 | 373,099 |
AT&T INC | 4.350% 03/01/2029 DD 02/19/19 | 30,000 | 29,852 | 33,726 | |||||||||||||
AT&T INC | 2.750% 06/01/2031 DD 05/28/20 | 100,000 | 106,493 | 102,139 | |||||||||||||
AT&T INC | 1.650% 02/01/2028 DD 08/04/20 | 10,000 | 9,987 | 9,796 | |||||||||||||
AT&T INC | 1.700% 03/25/2026 DD 03/23/21 | 405,000 | 404,324 | 403,125 | |||||||||||||
AT&T INC | 2.550% 12/01/2033 DD 06/01/21 | 218,000 | 214,920 | 213,514 | |||||||||||||
AUTOZONE INC | 3.625% 04/15/2025 DD 03/30/20 | 160,000 | 159,859 | 170,686 | |||||||||||||
BACARDI LTD 144A | 2.750% 07/15/2026 DD 07/14/16 | 120,000 | 126,638 | 123,418 | |||||||||||||
BACARDI LTD 144A | 4.450% 05/15/2025 DD 04/30/18 | 155,000 | 174,282 | 168,034 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 01/20/2028 DD 01/20/17 | 185,000 | 182,073 | 200,453 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 04/24/2028 DD 04/24/17 | 170,000 | 170,000 | 184,606 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 325,000 | 325,000 | 338,637 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 12/20/2023 DD 12/20/17 | 53,000 | 53,010 | 54,099 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 02/13/2031 DD 02/13/20 | 80,000 | 80,000 | 80,285 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 06/19/2026 DD 06/19/20 | 225,000 | 225,000 | 222,710 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/23/2031 DD 07/23/20 | 120,000 | 120,000 | 114,973 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 10/24/2026 DD 10/21/20 | 270,000 | 270,000 | 264,740 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 03/11/2032 DD 03/11/21 | 225,000 | 228,868 | 228,098 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 03/11/2027 DD 03/11/21 | 310,000 | 310,000 | 307,988 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 07/22/2027 DD 04/22/21 | 300,000 | 298,816 | 297,987 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 04/22/2032 DD 04/22/21 | 35,000 | 35,292 | 35,559 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 06/14/2029 DD 06/14/21 | 160,000 | 160,000 | 159,011 | |||||||||||||
BANK OF AMERICA CORP | VAR RT 10/20/2032 DD 10/20/21 | 100,000 | 100,000 | 100,600 | |||||||||||||
* | BANK OF NEW YORK MELLON CORP/T | 1.950% 08/23/2022 DD 08/23/19 | 65,000 | 64,979 | 65,634 | ||||||||||||
* | BANK OF NEW YORK MELLON CORP/T | 2.100% 10/24/2024 DD 10/24/19 | 235,000 | 234,589 | 241,094 | ||||||||||||
BAT CAPITAL CORP | 2.789% 09/06/2024 DD 09/06/19 | 325,000 | 325,000 | 334,896 | |||||||||||||
BAT CAPITAL CORP | 3.222% 08/15/2024 DD 08/15/18 | 15,000 | 15,000 | 15,593 | |||||||||||||
BAT CAPITAL CORP | 3.557% 08/15/2027 DD 08/15/18 | 95,000 | 101,156 | 99,701 | |||||||||||||
BAXTER INTERNATIONAL INC 144A | 1.915% 02/01/2027 DD 12/01/21 | 550,000 | 549,989 | 552,360 | |||||||||||||
BECTON DICKINSON AND CO | 3.363% 06/06/2024 DD 06/06/17 | 34,000 | 32,662 | 35,602 | |||||||||||||
BENCHMARK 2019-B11 MORT B11 A2 | 3.410% 05/15/2052 DD 06/01/19 | 400,000 | 412,000 | 414,820 | |||||||||||||
BLACKROCK INC | 1.900% 01/28/2031 DD 05/06/20 | 265,000 | 264,290 | 261,438 | |||||||||||||
BNP PARIBAS SA 144A | VAR RT 06/09/2026 DD 06/09/20 | 200,000 | 200,000 | 201,948 | |||||||||||||
BOC AVIATION USA CORP 144A | 1.625% 04/29/2024 DD 04/29/21 | 200,000 | 199,400 | 199,720 | |||||||||||||
BOEING CO/THE | 2.750% 02/01/2026 DD 11/02/20 | 285,000 | 294,519 | 293,291 | |||||||||||||
BOSTON SCIENTIFIC CORP | 3.750% 03/01/2026 DD 02/25/19 | 315,000 | 343,469 | 338,559 | |||||||||||||
BOSTON SCIENTIFIC CORP | 1.900% 06/01/2025 DD 05/18/20 | 80,000 | 79,962 | 80,930 | |||||||||||||
BP CAPITAL MARKETS AMERICA INC | 3.633% 04/06/2030 DD 04/06/20 | 65,000 | 65,000 | 71,851 | |||||||||||||
BPCE SA 144A | VAR RT 10/19/2027 DD 10/19/21 | 300,000 | 298,521 | 297,084 | |||||||||||||
BRIGHTHOUSE FINANCIAL GLO 144A | 1.550% 05/24/2026 DD 05/24/21 | 85,000 | 84,809 | 83,886 | |||||||||||||
BRIGHTHOUSE FINANCIAL GLO 144A | 2.000% 06/28/2028 DD 06/28/21 | 55,000 | 54,936 | 54,131 | |||||||||||||
BRIGHTHOUSE FINANCIAL GLO 144A | 1.200% 12/15/2023 DD 12/15/21 | 225,000 | 224,890 | 224,964 | |||||||||||||
BRISTOL-MYERS SQUIBB CO | 1.125% 11/13/2027 DD 11/13/20 | 235,000 | 234,859 | 229,868 | |||||||||||||
BROADCOM INC | 4.110% 09/15/2028 DD 05/21/20 | 212,000 | 211,232 | 232,598 | |||||||||||||
BROADCOM INC 144A | 2.450% 02/15/2031 DD 01/19/21 | 35,000 | 34,719 | 34,355 | |||||||||||||
BROADCOM INC 144A | 3.419% 04/15/2033 DD 03/31/21 | 408,000 | 409,818 | 428,208 | |||||||||||||
BROADCOM INC 144A | 3.469% 04/15/2034 DD 03/31/21 | 5,000 | 5,000 | 5,237 | |||||||||||||
BROADCOM INC 144A | 3.137% 11/15/2035 DD 09/30/21 | 243,000 | 241,467 | 244,820 | |||||||||||||
CANADIAN PACIFIC RAILWAY CO | 1.750% 12/02/2026 DD 12/02/21 | 215,000 | 214,682 | 216,094 | |||||||||||||
CAPITAL ONE FINANCIAL CORP | VAR RT 11/02/2027 DD 11/02/21 | 375,000 | 375,000 | 373,309 |
CARMAX AUTO OWNER TRUST 2 4 A3 | 3.360% 09/15/2023 DD 10/24/18 | 50,446 | 50,445 | 50,802 | |||||||||||||
CARRIER GLOBAL CORP | 2.242% 02/15/2025 DD 08/15/20 | 130,000 | 130,000 | 133,169 | |||||||||||||
CD 2016-CD1 MORTGAGE T CD1 ASB | 2.622% 08/10/2049 DD 08/01/16 | 137,573 | 145,892 | 141,047 | |||||||||||||
CDW LLC / CDW FINANCE CORP | 2.670% 12/01/2026 DD 12/01/21 | 205,000 | 205,000 | 209,965 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 4.464% 07/23/2022 DD 07/23/16 | 10,000 | 10,032 | 10,148 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 4.908% 07/23/2025 DD 07/23/16 | 300,000 | 310,330 | 330,153 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 3.750% 02/15/2028 DD 07/06/17 | 25,000 | 24,966 | 26,802 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 4.200% 03/15/2028 DD 09/18/17 | 110,000 | 115,808 | 120,491 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 5.050% 03/30/2029 DD 01/17/19 | 5,000 | 5,410 | 5,729 | |||||||||||||
CHARTER COMMUNICATIONS OPERATI | 2.300% 02/01/2032 DD 12/04/20 | 245,000 | 244,476 | 232,848 | |||||||||||||
CIGNA CORP | 3.050% 10/15/2027 DD 04/15/20 | 165,000 | 165,267 | 175,294 | |||||||||||||
CIGNA CORP | 0.613% 03/15/2024 DD 03/03/21 | 100,000 | 100,000 | 99,184 | |||||||||||||
CITIGROUP COMMERCIAL MOR P1 A5 | 3.717% 09/15/2048 DD 08/01/15 | 264,000 | 285,594 | 281,783 | |||||||||||||
CITIGROUP INC | 4.450% 09/29/2027 DD 09/29/15 | 155,000 | 155,886 | 172,932 | |||||||||||||
CITIGROUP INC | VAR RT 04/24/2025 DD 04/24/19 | 495,000 | 501,481 | 516,948 | |||||||||||||
CITIGROUP INC | VAR RT 05/01/2025 DD 05/04/21 | 205,000 | 205,236 | 203,422 | |||||||||||||
CITIGROUP INC | VAR RT 06/09/2027 DD 06/09/21 | 455,000 | 451,285 | 447,206 | |||||||||||||
CITIGROUP INC | VAR RT 11/03/2025 DD 11/03/21 | 105,000 | 105,000 | 104,741 | |||||||||||||
CITIGROUP INC | VAR RT 11/03/2032 DD 11/03/21 | 145,000 | 145,000 | 145,001 | |||||||||||||
CLECO CORPORATE HOLDINGS LLC | 3.375% 09/15/2029 DD 03/15/20 | 45,000 | 44,973 | 45,808 | |||||||||||||
CNH EQUIPMENT TRUST 2018- B A4 | 3.370% 05/15/2024 DD 09/26/18 | 265,000 | 264,979 | 269,635 | |||||||||||||
COCA-COLA CO/THE | 2.000% 03/05/2031 DD 03/05/21 | 255,000 | 254,013 | 254,439 | |||||||||||||
COCA-COLA CO/THE | 2.250% 01/05/2032 DD 05/05/21 | 275,000 | 274,772 | 279,829 | |||||||||||||
COMCAST CORP | 3.150% 03/01/2026 DD 02/23/16 | 220,000 | 230,564 | 234,670 | |||||||||||||
COMCAST CORP | 3.375% 08/15/2025 DD 05/27/15 | 95,000 | 91,228 | 101,574 | |||||||||||||
COMCAST CORP | 3.950% 10/15/2025 DD 10/05/18 | 180,000 | 179,779 | 196,600 | |||||||||||||
COMM 2013-LC6 MORTGAGE LC6 A4 | 2.941% 01/10/2046 DD 01/01/13 | 227,516 | 232,297 | 230,316 | |||||||||||||
COMM 2015-CCRE26 MORTG CR26 A4 | 3.630% 10/10/2048 DD 10/01/15 | 453,000 | 466,201 | 482,798 | |||||||||||||
COMM 2015-LC19 MORTGAG LC19 A4 | 3.183% 02/10/2048 DD 02/01/15 | 320,000 | 317,900 | 334,246 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2037 DD 01/01/22 | 2,200,000 | — | 779 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2052 DD 01/01/22 | 16,350,000 | (2,844) | 7,011 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2052 DD 02/01/22 | 8,050,000 | — | 7,863 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2052 DD 01/01/22 | 14,000,000 | — | (4,802) | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2052 DD 01/01/22 | 1,600,000 | — | 604 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 3.500% 01/01/2052 DD 01/01/22 | 3,600,000 | — | 4,260 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2037 DD 01/01/22 | — | 949 | 949 | |||||||||||||
COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2037 DD 01/01/22 | — | (176) | (176) | |||||||||||||
COMMIT TO PUR GNMA II JUMBOS | 2.000% 01/20/2052 DD 01/01/22 | 6,000,000 | — | (3,168) | |||||||||||||
COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2052 DD 01/01/22 | 3,800,000 | — | 634 | |||||||||||||
COMMONSPIRIT HEALTH | 2.760% 10/01/2024 DD 08/21/19 | 65,000 | 65,000 | 67,050 | |||||||||||||
CONAGRA BRANDS INC | 1.375% 11/01/2027 DD 10/16/20 | 150,000 | 148,719 | 143,358 | |||||||||||||
CONSTELLATION BRANDS INC | 3.600% 02/15/2028 DD 02/07/18 | 44,000 | 44,062 | 47,542 | |||||||||||||
CONSTELLATION BRANDS INC | 4.650% 11/15/2028 DD 10/29/18 | 15,000 | 15,846 | 17,257 | |||||||||||||
CONSTELLATION BRANDS INC | 3.150% 08/01/2029 DD 07/29/19 | 98,000 | 93,511 | 103,455 | |||||||||||||
CONSTELLATION BRANDS INC | 2.250% 08/01/2031 DD 07/26/21 | 110,000 | 109,511 | 107,637 | |||||||||||||
COX COMMUNICATIONS INC 144A | 3.150% 08/15/2024 DD 08/07/17 | 2,000 | 1,971 | 2,085 | |||||||||||||
COX COMMUNICATIONS INC 144A | 2.600% 06/15/2031 DD 06/02/21 | 105,000 | 104,595 | 105,001 | |||||||||||||
CROWN CASTLE INTERNATIONAL COR | 3.200% 09/01/2024 DD 08/01/17 | 50,000 | 48,825 | 52,198 | |||||||||||||
CSAIL 2015-C1 COMMERCIAL C1 A4 | 3.505% 04/15/2050 DD 03/01/15 | 372,000 | 396,747 | 390,775 |
CSAIL 2015-C3 COMMERCIAL C3 A3 | 3.447% 08/15/2048 DD 08/01/15 | 259,005 | 268,000 | 269,265 | |||||||||||||
CVS HEALTH CORP | 2.625% 08/15/2024 DD 08/15/19 | 75,000 | 74,614 | 77,672 | |||||||||||||
CVS HEALTH CORP | 2.875% 06/01/2026 DD 05/25/16 | 125,000 | 117,375 | 130,615 | |||||||||||||
CVS HEALTH CORP | 3.750% 04/01/2030 DD 03/31/20 | 65,000 | 65,469 | 71,331 | |||||||||||||
DANSKE BANK A/S 144A | 5.375% 01/12/2024 DD 01/16/19 | 200,000 | 199,596 | 215,326 | |||||||||||||
DELL EQUIPMENT FINAN 2 A3 144A | 0.570% 10/23/2023 DD 09/23/20 | 135,000 | 134,990 | 134,877 | |||||||||||||
DEUTSCHE BANK AG/NEW YORK NY | 0.898% 05/28/2024 DD 05/28/21 | 150,000 | 150,000 | 148,719 | |||||||||||||
DISCOVERY COMMUNICATIONS LLC | 3.800% 03/13/2024 DD 03/13/17 | 113,000 | 114,809 | 118,545 | |||||||||||||
DISCOVERY COMMUNICATIONS LLC | 3.950% 03/20/2028 DD 09/21/17 | 150,000 | 166,101 | 163,139 | |||||||||||||
DUKE ENERGY CAROLINAS LLC | 3.350% 05/15/2022 DD 11/08/18 | 90,000 | 89,794 | 90,958 | |||||||||||||
DUKE ENERGY CAROLINAS LLC | 2.550% 04/15/2031 DD 04/01/21 | 185,000 | 184,787 | 190,130 | |||||||||||||
DUKE ENERGY CORP | 3.750% 04/15/2024 DD 04/04/14 | 200,000 | 199,882 | 210,060 | |||||||||||||
DUKE ENERGY CORP | 2.550% 06/15/2031 DD 06/10/21 | 260,000 | 259,657 | 260,601 | |||||||||||||
ENEL FINANCE INTERNATIONA 144A | 1.375% 07/12/2026 DD 07/12/21 | 200,000 | 199,020 | 194,876 | |||||||||||||
ENERGY TRANSFER LP | 5.250% 04/15/2029 DD 01/15/19 | 90,000 | 89,810 | 103,171 | |||||||||||||
ENERGY TRANSFER LP | 3.750% 05/15/2030 DD 01/22/20 | 80,000 | 79,874 | 84,854 | |||||||||||||
EQUIFAX INC | 2.600% 12/15/2025 DD 04/27/20 | 159,000 | 160,345 | 164,619 | |||||||||||||
EQUINIX INC | 1.450% 05/15/2026 DD 05/17/21 | 305,000 | 304,561 | 299,114 | |||||||||||||
EQUINOR ASA | 3.125% 04/06/2030 DD 04/06/20 | 210,000 | 208,341 | 225,828 | |||||||||||||
EQUINOR ASA | 1.750% 01/22/2026 DD 05/22/20 | 95,000 | 94,619 | 95,623 | |||||||||||||
EQUITABLE FINANCIAL LIFE 144A | 1.300% 07/12/2026 DD 07/12/21 | 160,000 | 159,691 | 156,664 | |||||||||||||
EQUITABLE FINANCIAL LIFE 144A | 1.800% 03/08/2028 DD 03/08/21 | 360,000 | 359,035 | 354,301 | |||||||||||||
EVERGY INC | 2.450% 09/15/2024 DD 09/09/19 | 55,000 | 54,904 | 56,426 | |||||||||||||
EVERGY INC | 2.900% 09/15/2029 DD 09/09/19 | 115,000 | 114,846 | 117,821 | |||||||||||||
EXELON CORP | 4.050% 04/15/2030 DD 04/01/20 | 90,000 | 89,815 | 100,091 | |||||||||||||
EXXON MOBIL CORP | 3.482% 03/19/2030 DD 03/19/20 | 65,000 | 65,000 | 71,251 | |||||||||||||
FHLMC POOL #A4-1215 | 5.000% 11/01/2035 DD 12/01/05 | 61,411 | 58,979 | 69,507 | |||||||||||||
FHLMC POOL #A4-1297 | 5.000% 12/01/2035 DD 12/01/05 | 24,898 | 23,912 | 27,491 | |||||||||||||
FHLMC POOL #A4-1833 | 5.000% 01/01/2036 DD 01/01/06 | 2,409 | 2,313 | 2,625 | |||||||||||||
FHLMC POOL #A4-7715 | 5.000% 11/01/2035 DD 11/01/05 | 322 | 309 | 350 | |||||||||||||
FHLMC POOL #A7-0631 | 5.000% 12/01/2037 DD 12/01/07 | 21,329 | 20,456 | 23,271 | |||||||||||||
FHLMC POOL #A7-7292 | 5.000% 04/01/2038 DD 05/01/08 | 60,683 | 59,924 | 68,836 | |||||||||||||
FHLMC POOL #A9-6129 | 4.000% 01/01/2041 DD 12/01/10 | 806,018 | 832,529 | 882,816 | |||||||||||||
FHLMC POOL #G0-1940 | 5.000% 10/01/2035 DD 10/01/05 | 15,228 | 14,303 | 17,225 | |||||||||||||
FHLMC POOL #G0-4214 | 5.500% 05/01/2038 DD 04/01/08 | 51,286 | 51,638 | 58,781 | |||||||||||||
FHLMC POOL #G0-8741 | 3.000% 01/01/2047 DD 12/01/16 | 2,660,834 | 2,734,007 | 2,790,283 | |||||||||||||
FHLMC POOL #G0-8796 | 3.500% 12/01/2047 DD 12/01/17 | 149,305 | 147,853 | 158,354 | |||||||||||||
FHLMC POOL #G0-8804 | 3.500% 03/01/2048 DD 02/01/18 | 466,277 | 461,741 | 493,540 | |||||||||||||
FHLMC POOL #G0-8816 | 3.500% 05/01/2048 DD 05/01/18 | 161,475 | 159,614 | 170,501 | |||||||||||||
FHLMC POOL #Q4-6279 | 3.500% 02/01/2047 DD 02/01/17 | 112,157 | 110,773 | 119,454 | |||||||||||||
FHLMC POOL #Q5-3034 | 3.500% 12/01/2047 DD 12/01/17 | 85,772 | 84,783 | 90,880 | |||||||||||||
FHLMC POOL #Q5-5617 | 3.500% 04/01/2048 DD 04/01/18 | 126,986 | 125,523 | 134,868 | |||||||||||||
FHLMC POOL #Q5-6545 | 3.500% 06/01/2048 DD 06/01/18 | 434,897 | 430,667 | 462,904 | |||||||||||||
FHLMC POOL #RA-5615 | 2.000% 08/01/2051 DD 07/01/21 | 1,433,875 | 1,467,313 | 1,434,133 | |||||||||||||
FHLMC POOL #SD-8036 | 3.000% 12/01/2049 DD 12/01/19 | 2,020,816 | 2,048,089 | 2,095,141 | |||||||||||||
FHLMC POOL #SD-8160 | 2.000% 07/01/2051 DD 07/01/21 | 1,430,468 | 1,458,687 | 1,428,051 | |||||||||||||
FHLMC MULTICLASS MTG 3883 PB | 3.000% 05/15/2041 DD 06/01/11 | 51,111 | 50,907 | 53,480 | |||||||||||||
FHLMC MULTICLASS MTG 4216 KQ | 1.700% 10/15/2039 DD 06/01/13 | 72,480 | 72,078 | 73,049 | |||||||||||||
FHLMC MULTICLASS MTG 4961 JB | 2.500% 12/15/2042 DD 02/01/20 | 132,124 | 136,893 | 136,062 |
FIFTH THIRD BANCORP | 2.375% 01/28/2025 DD 10/28/19 | 130,000 | 129,964 | 133,505 | |||||||||||||
FIFTH THIRD BANCORP | VAR RT 11/01/2027 DD 11/01/21 | 375,000 | 375,000 | 370,613 | |||||||||||||
FISERV INC | 2.750% 07/01/2024 DD 06/24/19 | 280,000 | 279,530 | 289,666 | |||||||||||||
FISERV INC | 3.800% 10/01/2023 DD 09/25/18 | 235,000 | 234,892 | 245,678 | |||||||||||||
FNMA POOL #0256315 | 5.500% 07/01/2036 DD 06/01/06 | 23,592 | 23,130 | 26,885 | |||||||||||||
FNMA POOL #0725206 | 5.500% 02/01/2034 DD 02/01/04 | 46,925 | 53,460 | 52,220 | |||||||||||||
FNMA POOL #0725222 | 5.500% 02/01/2034 DD 02/01/04 | 76,326 | 86,921 | 85,459 | |||||||||||||
FNMA POOL #0725314 | 5.000% 04/01/2034 DD 03/01/04 | 20,095 | 19,087 | 22,646 | |||||||||||||
FNMA POOL #0727187 | 5.500% 08/01/2033 DD 08/01/03 | 5,350 | 5,385 | 6,022 | |||||||||||||
FNMA POOL #0733655 | 5.500% 09/01/2033 DD 08/01/03 | 16,063 | 16,168 | 18,167 | |||||||||||||
FNMA POOL #0734847 | 5.500% 08/01/2033 DD 08/01/03 | 25,552 | 25,720 | 28,877 | |||||||||||||
FNMA POOL #0735383 | 5.000% 04/01/2035 DD 03/01/05 | 186,971 | 209,367 | 210,955 | |||||||||||||
FNMA POOL #0820263 | 5.000% 07/01/2035 DD 07/01/05 | 7,509 | 7,386 | 8,485 | |||||||||||||
FNMA POOL #0825951 | 5.000% 07/01/2035 DD 06/01/05 | 9,878 | 9,716 | 10,800 | |||||||||||||
FNMA POOL #0826955 | 5.000% 06/01/2035 DD 06/01/05 | 940 | 924 | 1,055 | |||||||||||||
FNMA POOL #0828523 | 5.000% 07/01/2035 DD 07/01/05 | 15,265 | 15,014 | 17,252 | |||||||||||||
FNMA POOL #0828547 | 5.000% 08/01/2035 DD 08/01/05 | 1,372 | 1,303 | 1,545 | |||||||||||||
FNMA POOL #0828678 | 5.000% 07/01/2035 DD 07/01/05 | 8,727 | 8,583 | 9,622 | |||||||||||||
FNMA POOL #0828712 | 5.000% 07/01/2035 DD 07/01/05 | 10,002 | 9,838 | 11,171 | |||||||||||||
FNMA POOL #0830996 | 5.000% 08/01/2035 DD 07/01/05 | 9,477 | 9,322 | 10,349 | |||||||||||||
FNMA POOL #0832013 | 5.000% 09/01/2035 DD 08/01/05 | 18,511 | 18,208 | 20,688 | |||||||||||||
FNMA POOL #0832878 | 5.000% 09/01/2035 DD 08/01/05 | 24,111 | 23,316 | 27,245 | |||||||||||||
FNMA POOL #0838778 | 5.000% 10/01/2035 DD 10/01/05 | 6,732 | 6,395 | 7,606 | |||||||||||||
FNMA POOL #0840377 | 5.000% 11/01/2035 DD 11/01/05 | 3,824 | 3,632 | 4,227 | |||||||||||||
FNMA POOL #0843360 | 5.000% 11/01/2035 DD 11/01/05 | 6,243 | 5,932 | 6,801 | |||||||||||||
FNMA POOL #0844018 | 5.000% 11/01/2035 DD 10/01/05 | 23,355 | 22,185 | 26,388 | |||||||||||||
FNMA POOL #0867065 | 5.000% 02/01/2036 DD 02/01/06 | 6,106 | 5,796 | 6,901 | |||||||||||||
FNMA POOL #0882022 | 5.500% 05/01/2036 DD 05/01/06 | 982 | 963 | 1,107 | |||||||||||||
FNMA POOL #0888023 | 5.500% 06/01/2036 DD 11/01/06 | 165,079 | 164,692 | 186,370 | |||||||||||||
FNMA POOL #0888120 | 5.000% 10/01/2035 DD 12/01/06 | 50,940 | 49,257 | 57,557 | |||||||||||||
FNMA POOL #0888635 | 5.500% 09/01/2036 DD 08/01/07 | 41,846 | 47,661 | 47,302 | |||||||||||||
FNMA POOL #0893289 | 5.500% 08/01/2036 DD 08/01/06 | 10,101 | 9,913 | 11,198 | |||||||||||||
FNMA POOL #0893363 | 5.000% 06/01/2036 DD 08/01/06 | 1,714 | 1,628 | 1,918 | |||||||||||||
FNMA POOL #0900979 | 5.500% 09/01/2036 DD 09/01/06 | 5,952 | 5,842 | 6,599 | |||||||||||||
FNMA POOL #0961876 | 5.000% 03/01/2038 DD 02/01/08 | 51,076 | 49,875 | 55,787 | |||||||||||||
FNMA POOL #0AT2016 | 3.000% 04/01/2043 DD 04/01/13 | 384,652 | 388,258 | 407,327 | |||||||||||||
FNMA POOL #0BJ8622 | 3.500% 05/01/2048 DD 04/01/18 | 24,338 | 24,125 | 25,706 | |||||||||||||
FNMA POOL #0BK5010 | 3.500% 06/01/2048 DD 06/01/18 | 43,275 | 42,896 | 45,547 | |||||||||||||
FNMA POOL #0BN5279 | 4.000% 02/01/2049 DD 02/01/19 | 543,377 | 554,245 | 577,648 | |||||||||||||
FNMA POOL #0CA1191 | 3.500% 11/01/2047 DD 01/01/18 | 46,414 | 46,023 | 49,241 | |||||||||||||
FNMA POOL #0MA4398 | 2.000% 08/01/2051 DD 07/01/21 | 1,429,533 | 1,457,733 | 1,427,117 | |||||||||||||
FNMA GTD REMIC P/T 12-128 PD | 1.500% 06/25/2042 DD 10/01/12 | 139,648 | 138,039 | 140,822 | |||||||||||||
FNMA GTD REMIC P/T 12-18 GA | 2.000% 12/25/2041 DD 02/01/12 | 61,035 | 57,687 | 61,940 | |||||||||||||
FNMA GTD REMIC P/T 12-21 PQ | 2.000% 09/25/2041 DD 02/01/12 | 35,163 | 33,289 | 35,663 | |||||||||||||
FNMA GTD REMIC P/T 12-52 PA | 3.500% 05/25/2042 DD 04/01/12 | 48,519 | 49,147 | 51,270 | |||||||||||||
FNMA GTD REMIC P/T 12-75 KC | 2.500% 12/25/2041 DD 06/01/12 | 56,304 | 54,624 | 57,330 | |||||||||||||
FNMA GTD REMIC P/T 13-43 XP | 1.500% 08/25/2041 DD 04/01/13 | 100,429 | 99,162 | 101,331 | |||||||||||||
FNMA GTD REMIC P/T 13-77 BP | 1.700% 06/25/2043 DD 06/01/13 | 67,282 | 66,882 | 67,858 | |||||||||||||
FNMA GTD REMIC P/T 15-48 QB | 3.000% 02/25/2043 DD 06/01/15 | 90,284 | 91,050 | 92,996 |
FNMA GTD REMIC P/T 16-11 GA | 2.500% 03/25/2046 DD 02/01/16 | 78,892 | 76,476 | 81,511 | |||||||||||||
FNMA GTD REMIC P/T 17-34 JK | 3.000% 05/25/2047 DD 04/01/17 | 41,346 | 40,041 | 42,219 | |||||||||||||
FNMA GTD REMIC P/T 18-23 LA | 3.500% 04/25/2048 DD 03/01/18 | 104,463 | 105,483 | 109,692 | |||||||||||||
FNMA GTD REMIC P/T 18-38 PC | 3.500% 03/25/2045 DD 05/01/18 | 17,963 | 18,003 | 18,099 | |||||||||||||
FNMA GTD REMIC P/T 18-77 PA | 3.500% 02/25/2048 DD 09/01/18 | 32,206 | 32,065 | 33,285 | |||||||||||||
FNMA GTD REMIC P/T 18-80 GD | 3.500% 12/25/2047 DD 09/01/18 | 101,713 | 100,684 | 104,561 | |||||||||||||
FNMA GTD REMIC P/T 19-6 GJ | 3.000% 02/25/2049 DD 02/01/19 | 85,635 | 87,709 | 88,989 | |||||||||||||
GENERAL MILLS INC | 4.000% 04/17/2025 DD 04/17/18 | 130,000 | 141,886 | 139,642 | |||||||||||||
GENERAL MOTORS CO | 5.000% 10/01/2028 DD 09/10/18 | 75,000 | 74,974 | 86,066 | |||||||||||||
GENERAL MOTORS CO | 6.125% 10/01/2025 DD 05/12/20 | 60,000 | 59,939 | 68,954 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 4.300% 07/13/2025 DD 07/13/15 | 45,000 | 44,164 | 48,526 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 1.250% 01/08/2026 DD 01/08/21 | 80,000 | 79,846 | 78,312 | |||||||||||||
GENERAL MOTORS FINANCIAL CO IN | 1.500% 06/10/2026 DD 06/10/21 | 235,000 | 234,572 | 231,336 | |||||||||||||
GEORGIA POWER CO | 3.250% 03/30/2027 DD 03/03/17 | 122,000 | 125,065 | 128,609 | |||||||||||||
GILEAD SCIENCES INC | 1.200% 10/01/2027 DD 09/30/20 | 125,000 | 124,891 | 120,904 | |||||||||||||
GLAXOSMITHKLINE CAPITAL INC | 3.375% 05/15/2023 DD 05/15/18 | 220,000 | 218,968 | 227,836 | |||||||||||||
GLOBAL PAYMENTS INC | 2.650% 02/15/2025 DD 08/14/19 | 70,000 | 69,983 | 71,965 | |||||||||||||
GLOBAL PAYMENTS INC | 2.900% 05/15/2030 DD 05/15/20 | 145,000 | 144,526 | 147,778 | |||||||||||||
GLOBAL PAYMENTS INC | 1.200% 03/01/2026 DD 02/26/21 | 610,000 | 609,439 | 592,420 | |||||||||||||
GLP CAPITAL LP / GLP FINANCING | 5.300% 01/15/2029 DD 09/26/18 | 60,000 | 60,025 | 68,112 | |||||||||||||
GLP CAPITAL LP / GLP FINANCING | 3.250% 01/15/2032 DD 12/13/21 | 90,000 | 89,438 | 90,485 | |||||||||||||
GM FINANCIAL CONSUMER AUT 3 A4 | 0.580% 01/16/2026 DD 08/19/20 | 95,000 | 94,999 | 94,041 | |||||||||||||
GNMA POOL #0345910 | 6.000% 12/15/2023 DD 12/01/93 | 458 | 477 | 503 | |||||||||||||
GNMA POOL #0427239 | 6.000% 01/15/2028 DD 01/01/98 | 408 | 425 | 448 | |||||||||||||
GNMA POOL #0465541 | 6.000% 07/15/2028 DD 07/01/98 | 538 | 561 | 592 | |||||||||||||
GNMA POOL #0486703 | 6.000% 11/15/2028 DD 11/01/98 | 373 | 388 | 419 | |||||||||||||
GNMA POOL #0491289 | 6.000% 11/15/2028 DD 11/01/98 | 7,030 | 7,349 | 7,733 | |||||||||||||
GNMA POOL #0596613 | 6.000% 10/15/2032 DD 10/01/02 | 255 | 263 | 281 | |||||||||||||
GNMA POOL #0601319 | 6.000% 02/15/2033 DD 02/01/03 | 4,212 | 4,403 | 4,635 | |||||||||||||
GNMA POOL #0739896 | 4.000% 01/15/2041 DD 01/01/11 | 47,266 | 51,045 | 50,966 | |||||||||||||
GNMA POOL #0767263 | 4.000% 08/15/2041 DD 08/01/11 | 237,150 | 256,113 | 256,910 | |||||||||||||
GNMA POOL #0770410 | 4.000% 06/15/2041 DD 06/01/11 | 14,626 | 15,810 | 15,875 | |||||||||||||
GNMA POOL #0778693 | 4.000% 12/15/2041 DD 12/01/11 | 42,951 | 46,427 | 46,752 | |||||||||||||
GNMA POOL #0781856 | 6.000% 08/15/2034 DD 01/01/05 | 76,359 | 79,002 | 88,614 | |||||||||||||
GNMA POOL #0782071 | 7.000% 05/15/2033 DD 03/01/06 | 20,799 | 21,702 | 23,642 | |||||||||||||
GNMA GTD REMIC P/T 13-37 LG | 2.000% 01/20/2042 DD 03/01/13 | 75,270 | 70,236 | 76,339 | |||||||||||||
GNMA GTD REMIC P/T 15-151 BA | 1.700% 10/20/2045 DD 10/01/15 | 43,308 | 43,054 | 43,698 | |||||||||||||
GNMA GTD REMIC P/T 15-56 LB | 1.500% 04/16/2040 DD 04/01/15 | 83,331 | 82,563 | 83,774 | |||||||||||||
GNMA II POOL #0MA4652 | 3.500% 08/20/2047 DD 08/01/17 | 661,924 | 689,331 | 695,258 | |||||||||||||
GNMA II POOL #0MA4961 | 3.000% 01/20/2048 DD 01/01/18 | 108,461 | 104,737 | 113,018 | |||||||||||||
GNMA II POOL #0MA5018 | 3.000% 02/20/2048 DD 02/01/18 | 1,077,308 | 1,040,317 | 1,119,290 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 3.500% 11/16/2026 DD 11/16/16 | 230,000 | 212,920 | 245,228 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 3.750% 02/25/2026 DD 02/25/16 | 185,000 | 193,221 | 199,325 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 4.000% 03/03/2024 DD 03/03/14 | 80,000 | 79,758 | 84,829 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | 5.750% 01/24/2022 DD 01/24/12 | 130,000 | 138,318 | 130,391 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 07/24/2023 DD 07/24/17 | 295,000 | 293,151 | 298,331 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 04/22/2032 DD 04/22/21 | 365,000 | 365,000 | 368,037 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 01/27/2032 DD 01/27/21 | 65,000 | 65,000 | 62,391 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 02/12/2026 DD 02/12/21 | 55,000 | 55,000 | 53,944 |
GOLDMAN SACHS GROUP INC/THE | VAR RT 07/21/2032 DD 07/21/21 | 180,000 | 180,000 | 177,435 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 10/21/2024 DD 10/21/21 | 125,000 | 125,000 | 124,476 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 10/21/2027 DD 10/21/21 | 300,000 | 299,469 | 298,860 | |||||||||||||
GOLDMAN SACHS GROUP INC/THE | VAR RT 10/21/2032 DD 10/21/21 | 25,000 | 25,000 | 25,186 | |||||||||||||
HCA INC | 2.375% 07/15/2031 DD 06/30/21 | 75,000 | 74,541 | 73,921 | |||||||||||||
HOME DEPOT INC/THE | 2.500% 04/15/2027 DD 03/30/20 | 40,000 | 39,805 | 41,740 | |||||||||||||
HORMEL FOODS CORP | 0.650% 06/03/2024 DD 06/03/21 | 125,000 | 124,978 | 124,051 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 05/24/2027 DD 11/24/20 | 200,000 | 200,000 | 195,696 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 06/19/2029 DD 06/19/18 | 510,000 | 601,086 | 571,771 | |||||||||||||
HSBC HOLDINGS PLC | VAR RT 11/22/2024 DD 11/22/21 | 300,000 | 300,000 | 299,145 | |||||||||||||
IHS MARKIT LTD 144A | 4.750% 02/15/2025 DD 02/09/17 | 170,000 | 185,793 | 185,088 | |||||||||||||
INTERNATIONAL BUSINESS MACHINE | 3.000% 05/15/2024 DD 05/15/19 | 195,000 | 194,255 | 203,736 | |||||||||||||
ITC HOLDINGS CORP 144A | 2.950% 05/14/2030 DD 05/14/20 | 110,000 | 109,773 | 112,427 | |||||||||||||
JBS FINANCE LUXEMBOURG SA 144A | 2.500% 01/15/2027 DD 11/23/21 | 200,000 | 197,894 | 197,752 | |||||||||||||
JOHN DEERE CAPITAL CORP | 3.450% 06/07/2023 DD 06/07/18 | 85,000 | 84,953 | 88,108 | |||||||||||||
JOHN DEERE CAPITAL CORP | 0.700% 07/05/2023 DD 06/04/20 | 175,000 | 174,857 | 174,958 | |||||||||||||
JPMBB COMMERCIAL MORTGA C32 A5 | 3.598% 11/15/2048 DD 10/01/15 | 322,000 | 351,219 | 339,588 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 01/23/2029 DD 01/23/18 | 255,000 | 255,000 | 273,373 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 01/29/2027 DD 01/29/19 | 440,000 | 440,000 | 475,649 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 05/06/2030 DD 05/06/19 | 45,000 | 45,000 | 49,223 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 07/23/2024 DD 07/23/18 | 345,000 | 345,000 | 359,583 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 03/24/2031 DD 03/24/20 | 210,000 | 210,000 | 243,247 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 02/16/2025 DD 02/16/21 | 75,000 | 75,000 | 73,927 | |||||||||||||
JPMORGAN CHASE & CO | VAR RT 09/22/2027 DD 09/22/21 | 560,000 | 553,940 | 549,254 | |||||||||||||
KELLOGG CO | 3.250% 04/01/2026 DD 03/07/16 | 25,000 | 26,558 | 26,486 | |||||||||||||
KYNDRYL HOLDINGS INC 144A | 2.700% 10/15/2028 DD 10/15/21 | 190,000 | 189,844 | 184,042 | |||||||||||||
L3HARRIS TECHNOLOGIES INC | 4.400% 06/15/2028 DD 12/15/19 | 94,000 | 106,666 | 105,586 | |||||||||||||
LAS VEGAS SANDS CORP | 3.200% 08/08/2024 DD 07/31/19 | 80,000 | 79,937 | 81,463 | |||||||||||||
LENNOX INTERNATIONAL INC | 1.350% 08/01/2025 DD 07/30/20 | 120,000 | 119,890 | 118,508 | |||||||||||||
LOWE'S COS INC | 1.300% 04/15/2028 DD 10/22/20 | 90,000 | 89,936 | 86,324 | |||||||||||||
LYB INTERNATIONAL FINANCE III | 1.250% 10/01/2025 DD 10/08/20 | 84,000 | 83,734 | 82,617 | |||||||||||||
MACQUARIE GROUP LTD 144A | VAR RT 09/23/2027 DD 06/23/21 | 185,000 | 185,000 | 181,378 | |||||||||||||
MARSH & MCLENNAN COS INC | 3.875% 03/15/2024 DD 01/15/19 | 105,000 | 105,096 | 111,069 | |||||||||||||
MARSH & MCLENNAN COS INC | 4.050% 10/15/2023 DD 09/27/13 | 140,000 | 139,448 | 146,559 | |||||||||||||
MARSH & MCLENNAN COS INC | 4.375% 03/15/2029 DD 01/15/19 | 35,000 | 35,055 | 39,930 | |||||||||||||
MARVELL TECHNOLOGY INC | 1.650% 04/15/2026 DD 04/12/21 | 150,000 | 149,706 | 148,308 | |||||||||||||
MARVELL TECHNOLOGY INC | 2.450% 04/15/2028 DD 04/12/21 | 100,000 | 99,981 | 101,503 | |||||||||||||
MCDONALD'S CORP | 1.450% 09/01/2025 DD 03/05/20 | 160,000 | 159,706 | 161,499 | |||||||||||||
MERCK & CO INC | 1.900% 12/10/2028 DD 12/10/21 | 95,000 | 94,833 | 95,474 | |||||||||||||
MICROCHIP TECHNOLOGY INC | 2.670% 09/01/2023 DD 05/29/20 | 170,000 | 170,000 | 173,638 | |||||||||||||
MMAF EQUIPMENT FINA BA A3 144A | 0.490% 08/14/2025 DD 09/23/20 | 100,000 | 99,999 | 98,992 | |||||||||||||
MORGAN STANLEY | 2.750% 05/19/2022 DD 05/19/17 | 200,000 | 199,582 | 201,790 | |||||||||||||
MORGAN STANLEY | 3.125% 07/27/2026 DD 07/25/16 | 570,000 | 566,836 | 604,154 | |||||||||||||
MORGAN STANLEY | 4.875% 11/01/2022 DD 10/23/12 | 20,000 | 20,161 | 20,675 | |||||||||||||
MORGAN STANLEY | VAR RT 04/24/2024 DD 04/24/18 | 135,000 | 135,000 | 139,674 | |||||||||||||
MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 290,000 | 290,000 | 298,903 | |||||||||||||
MORGAN STANLEY | VAR RT 02/13/2032 DD 11/13/20 | 100,000 | 100,000 | 94,763 | |||||||||||||
MORGAN STANLEY | VAR RT 04/28/2032 DD 01/25/21 | 270,000 | 270,000 | 258,290 | |||||||||||||
MORGAN STANLEY | VAR RT 07/20/2027 DD 07/20/21 | 300,000 | 294,999 | 295,443 |
MORGAN STANLEY | VAR RT 10/21/2025 DD 10/19/21 | 95,000 | 95,000 | 94,270 | |||||||||||||
MORGAN STANLEY | VAR RT 10/20/2032 DD 10/19/21 | 30,000 | 30,000 | 30,006 | |||||||||||||
MORGAN STANLEY | VAR RT 05/04/2027 DD 04/22/21 | 270,000 | 270,000 | 267,262 | |||||||||||||
MORGAN STANLEY BANK OF A C8 A4 | 3.134% 12/15/2048 DD 02/01/13 | 230,000 | 235,094 | 233,494 | |||||||||||||
MORGAN STANLEY BANK OF C14 A5 | 4.064% 02/15/2047 DD 02/01/14 | 25,000 | 26,743 | 26,188 | |||||||||||||
MORGAN STANLEY CAPITA UB11 ASB | 2.606% 08/15/2049 DD 08/01/16 | 364,287 | 385,532 | 373,904 | |||||||||||||
MPLX LP | 4.125% 03/01/2027 DD 02/10/17 | 15,000 | 14,051 | 16,421 | |||||||||||||
MPLX LP | 1.750% 03/01/2026 DD 08/18/20 | 125,000 | 124,731 | 123,808 | |||||||||||||
NATIONAL RURAL UTILITIES COOPE | 3.700% 03/15/2029 DD 01/31/19 | 45,000 | 44,900 | 49,559 | |||||||||||||
NATWEST GROUP PLC | VAR RT 06/14/2027 DD 06/14/21 | 200,000 | 200,000 | 197,368 | |||||||||||||
NESTLE HOLDINGS INC 144A | 3.350% 09/24/2023 DD 09/24/18 | 175,000 | 174,969 | 182,194 | |||||||||||||
NISOURCE INC | 0.950% 08/15/2025 DD 08/18/20 | 220,000 | 219,454 | 214,240 | |||||||||||||
NISOURCE INC | 3.490% 05/15/2027 DD 05/22/17 | 180,000 | 182,439 | 193,338 | |||||||||||||
NVIDIA CORP | 2.850% 04/01/2030 DD 03/31/20 | 145,000 | 144,462 | 154,163 | |||||||||||||
NXP BV / NXP FUNDING LLC 144A | 4.875% 03/01/2024 DD 12/06/18 | 265,000 | 267,241 | 284,711 | |||||||||||||
NXP BV / NXP FUNDING LLC 144A | 5.350% 03/01/2026 DD 12/06/18 | 89,000 | 98,645 | 100,600 | |||||||||||||
NXP BV / NXP FUNDING LLC 144A | 2.700% 05/01/2025 DD 05/01/20 | 395,000 | 394,668 | 408,185 | |||||||||||||
ONCOR ELECTRIC DELIVERY C 144A | 2.750% 05/15/2030 DD 11/15/21 | 195,000 | 204,163 | 202,792 | |||||||||||||
ONEOK INC | 3.400% 09/01/2029 DD 08/15/19 | 30,000 | 29,893 | 31,105 | |||||||||||||
ORACLE CORP | 2.500% 04/01/2025 DD 04/01/20 | 90,000 | 89,967 | 92,146 | |||||||||||||
ORACLE CORP | 2.950% 04/01/2030 DD 04/01/20 | 85,000 | 84,912 | 86,050 | |||||||||||||
ORACLE CORP | 2.300% 03/25/2028 DD 03/24/21 | 490,000 | 488,741 | 488,814 | |||||||||||||
ORACLE CORP | 2.875% 03/25/2031 DD 03/24/21 | 225,000 | 224,651 | 226,683 | |||||||||||||
OTIS WORLDWIDE CORP | 2.056% 04/05/2025 DD 02/27/20 | 295,000 | 295,527 | 300,027 | |||||||||||||
PACIFIC GAS AND ELECTRIC CO | 2.100% 08/01/2027 DD 06/19/20 | 400,000 | 399,256 | 386,444 | |||||||||||||
PACIFIC GAS AND ELECTRIC CO | 1.700% 11/15/2023 DD 11/15/21 | 220,000 | 219,729 | 220,524 | |||||||||||||
PACIFICORP | 3.500% 06/15/2029 DD 03/01/19 | 190,000 | 189,649 | 205,525 | |||||||||||||
PACIFICORP | 2.700% 09/15/2030 DD 04/08/20 | 10,000 | 9,982 | 10,306 | |||||||||||||
PARAMOUNT GLOBAL | 4.950% 01/15/2031 DD 04/01/20 | 25,000 | 24,509 | 29,811 | |||||||||||||
PARAMOUNT GLOBAL | 4.200% 05/19/2032 DD 05/19/20 | 25,000 | 24,349 | 28,232 | |||||||||||||
PENSKE TRUCK LEASING CO L 144A | 3.900% 02/01/2024 DD 05/10/18 | 35,000 | 34,929 | 36,773 | |||||||||||||
PENSKE TRUCK LEASING CO L 144A | 4.875% 07/11/2022 DD 07/13/12 | 155,000 | 159,446 | 158,365 | |||||||||||||
PFIZER INC | 1.700% 05/28/2030 DD 05/28/20 | 45,000 | 44,860 | 44,132 | |||||||||||||
PFIZER INC | 1.750% 08/18/2031 DD 08/18/21 | 210,000 | 209,292 | 205,309 | |||||||||||||
PNC FINANCIAL SERVICES GROUP I | 2.200% 11/01/2024 DD 11/01/19 | 175,000 | 174,942 | 179,743 | |||||||||||||
PNC FINANCIAL SERVICES GROUP I | 3.450% 04/23/2029 DD 04/22/19 | 170,000 | 169,728 | 185,264 | |||||||||||||
PUGET ENERGY INC | 4.100% 06/15/2030 DD 05/19/20 | 110,000 | 109,816 | 119,019 | |||||||||||||
QORVO INC 144A | 1.750% 12/15/2024 DD 12/14/21 | 180,000 | 179,665 | 180,115 | |||||||||||||
RAYTHEON TECHNOLOGIES CORP | 3.650% 08/16/2023 DD 08/16/18 | 4,000 | 4,000 | 4,159 | |||||||||||||
RAYTHEON TECHNOLOGIES CORP | 3.950% 08/16/2025 DD 08/16/18 | 40,000 | 39,932 | 43,386 | |||||||||||||
REALTY INCOME CORP | 3.400% 01/15/2028 DD 07/15/21 | 40,000 | 44,076 | 43,171 | |||||||||||||
REALTY INCOME CORP | 2.200% 06/15/2028 DD 06/15/21 | 20,000 | 20,630 | 20,204 | |||||||||||||
ROYALTY PHARMA PLC | 2.200% 09/02/2030 DD 03/02/21 | 335,000 | 335,314 | 324,608 | |||||||||||||
ROYALTY PHARMA PLC | 2.150% 09/02/2031 DD 07/26/21 | 265,000 | 260,397 | 250,632 | |||||||||||||
SABINE PASS LIQUEFACTION LLC | 5.750% 05/15/2024 DD 11/15/14 | 170,000 | 188,753 | 184,912 | |||||||||||||
SABINE PASS LIQUEFACTION LLC | 4.500% 05/15/2030 DD 11/15/20 | 10,000 | 9,974 | 11,291 | |||||||||||||
SALESFORCE.COM INC | 1.500% 07/15/2028 DD 07/12/21 | 105,000 | 104,458 | 103,807 | |||||||||||||
SANTANDER CONSUMER BA A4 144A | 0.540% 04/15/2025 DD 08/26/20 | 110,000 | 109,985 | 109,907 | |||||||||||||
SANTANDER DRIVE AUTO RECE 4 A3 | 0.480% 07/15/2024 DD 11/24/20 | 68,473 | 68,463 | 68,488 |
SANTANDER HOLDINGS USA INC | 3.700% 03/28/2022 DD 09/28/17 | 265,000 | 268,747 | 266,134 | |||||||||||||
SEMPRA ENERGY | 3.400% 02/01/2028 DD 01/12/18 | 115,000 | 119,184 | 122,508 | |||||||||||||
SHERWIN-WILLIAMS CO/THE | 2.750% 06/01/2022 DD 05/16/17 | 6,000 | 5,996 | 6,041 | |||||||||||||
SIEMENS FINANCIERINGSMAAT 144A | 1.200% 03/11/2026 DD 03/11/21 | 300,000 | 299,694 | 295,254 | |||||||||||||
SKYWORKS SOLUTIONS INC | 1.800% 06/01/2026 DD 05/26/21 | 35,000 | 34,983 | 34,658 | |||||||||||||
SOCIETE GENERALE SA 144A | VAR RT 06/09/2027 DD 06/09/21 | 260,000 | 260,000 | 254,548 | |||||||||||||
SOUTHERN CALIFORNIA EDISON CO | 2.250% 06/01/2030 DD 03/09/20 | 125,000 | 125,404 | 123,481 | |||||||||||||
SOUTHERN CALIFORNIA GAS CO | 2.600% 06/15/2026 DD 06/03/16 | 130,000 | 129,748 | 135,047 | |||||||||||||
SOUTHERN CO/THE | 2.950% 07/01/2023 DD 05/24/16 | 195,000 | 198,992 | 199,715 | |||||||||||||
SOUTHERN CO/THE | 3.250% 07/01/2026 DD 05/24/16 | 175,000 | 164,176 | 185,218 | |||||||||||||
SOUTHERN CO/THE | 3.700% 04/30/2030 DD 04/03/20 | 165,000 | 172,865 | 179,619 | |||||||||||||
STARBUCKS CORP | 3.800% 08/15/2025 DD 08/10/18 | 70,000 | 69,325 | 75,552 | |||||||||||||
STARBUCKS CORP | 2.250% 03/12/2030 DD 03/12/20 | 250,000 | 248,535 | 248,495 | |||||||||||||
STATE STREET CORP | VAR RT 11/01/2025 DD 11/01/19 | 200,000 | 200,000 | 206,174 | |||||||||||||
STATE STREET CORP | VAR RT 12/03/2024 DD 12/03/18 | 65,000 | 65,000 | 68,439 | |||||||||||||
TAKEDA PHARMACEUTICAL CO LTD | 2.050% 03/31/2030 DD 07/09/20 | 200,000 | 199,608 | 196,066 | |||||||||||||
TD SYNNEX CORP 144A | 1.250% 08/09/2024 DD 08/09/21 | 380,000 | 379,734 | 375,771 | |||||||||||||
TELEDYNE TECHNOLOGIES INC | 0.950% 04/01/2024 DD 03/22/21 | 400,000 | 399,536 | 396,016 | |||||||||||||
TEXAS EASTERN TRANSMISSIO 144A | 3.500% 01/15/2028 DD 01/09/18 | 60,000 | 59,689 | 64,133 | |||||||||||||
T-MOBILE USA INC | 3.500% 04/15/2025 DD 04/15/21 | 130,000 | 130,978 | 137,787 | |||||||||||||
T-MOBILE USA INC | 3.750% 04/15/2027 DD 04/15/21 | 160,000 | 159,931 | 173,371 | |||||||||||||
T-MOBILE USA INC | 3.875% 04/15/2030 DD 04/15/21 | 75,000 | 74,459 | 82,135 | |||||||||||||
T-MOBILE USA INC | 1.500% 02/15/2026 DD 02/15/21 | 295,000 | 294,504 | 291,554 | |||||||||||||
T-MOBILE USA INC | 2.050% 02/15/2028 DD 02/15/21 | 40,000 | 41,064 | 39,737 | |||||||||||||
T-MOBILE USA INC 144A | 2.400% 03/15/2029 DD 12/06/21 | 15,000 | 14,990 | 15,159 | |||||||||||||
TOYOTA AUTO RECEIVABLES 2 D A4 | 3.300% 02/15/2024 DD 11/07/18 | 175,000 | 174,964 | 177,986 | |||||||||||||
TRANSCANADA PIPELINES LTD | 4.100% 04/15/2030 DD 04/06/20 | 30,000 | 30,150 | 33,496 | |||||||||||||
TRANSCANADA PIPELINES LTD | 1.000% 10/12/2024 DD 10/12/21 | 165,000 | 164,952 | 163,581 | |||||||||||||
TRUIST BANK | 1.500% 03/10/2025 DD 03/09/20 | 250,000 | 249,485 | 251,543 | |||||||||||||
TRUIST FINANCIAL CORP | 2.500% 08/01/2024 DD 07/29/19 | 275,000 | 274,769 | 283,907 | |||||||||||||
TRUIST FINANCIAL CORP | VAR RT 06/07/2029 DD 06/07/21 | 65,000 | 65,000 | 64,060 | |||||||||||||
TYSON FOODS INC | 4.000% 03/01/2026 DD 02/19/19 | 140,000 | 151,868 | 151,889 | |||||||||||||
U S TREASURY BOND | 6.875% 08/15/2025 DD 08/15/95 | 5,000 | 6,603 | 6,029 | |||||||||||||
U S TREASURY NOTE | 1.625% 08/31/2022 DD 08/31/17 | 16,385,000 | 16,536,933 | 16,532,793 | |||||||||||||
U S TREASURY NOTE | 2.625% 12/31/2023 DD 12/31/18 | 1,885,000 | 2,039,040 | 1,955,461 | |||||||||||||
U S TREASURY NOTE | 0.500% 03/15/2023 DD 03/15/20 | 741,000 | 745,776 | 741,289 | |||||||||||||
U S TREASURY NOTE | 0.125% 05/15/2023 DD 05/15/20 | 6,600,000 | 6,590,977 | 6,562,380 | |||||||||||||
U S TREASURY NOTE | 0.125% 10/15/2023 DD 10/15/20 | 7,100,000 | 7,088,352 | 7,029,852 | |||||||||||||
U S TREASURY NOTE | 0.375% 04/15/2024 DD 04/15/21 | 6,570,000 | 6,578,726 | 6,505,351 | |||||||||||||
U S TREASURY NOTE | 0.375% 07/15/2024 DD 07/15/21 | 6,955,000 | 6,934,971 | 6,870,497 | |||||||||||||
U S TREASURY NOTE | 0.750% 08/31/2026 DD 08/31/21 | 5,245,000 | 5,210,457 | 5,130,659 | |||||||||||||
UBS COMMERCIAL MORTGAG C12 ASB | 4.195% 08/15/2051 DD 08/01/18 | 200,000 | 223,078 | 218,376 | |||||||||||||
UNICREDIT SPA 144A | VAR RT 06/03/2027 DD 06/03/21 | 200,000 | 200,000 | 194,962 | |||||||||||||
UNION PACIFIC CORP | 3.150% 03/01/2024 DD 02/19/19 | 55,000 | 54,954 | 57,338 | |||||||||||||
UNION PACIFIC CORP | 3.750% 07/15/2025 DD 06/08/18 | 145,000 | 144,994 | 156,697 | |||||||||||||
UNION PACIFIC CORP | 2.375% 05/20/2031 DD 05/20/21 | 35,000 | 35,000 | 35,716 | |||||||||||||
UNITEDHEALTH GROUP INC | 2.375% 08/15/2024 DD 07/25/19 | 135,000 | 134,966 | 139,818 | |||||||||||||
UNITEDHEALTH GROUP INC | 1.250% 01/15/2026 DD 05/18/20 | 40,000 | 39,845 | 39,868 | |||||||||||||
US BANCORP | 3.375% 02/05/2024 DD 02/04/19 | 65,000 | 64,982 | 68,148 |
VALERO ENERGY CORP | 2.850% 04/15/2025 DD 04/16/20 | 40,000 | 39,970 | 41,436 | |||||||||||||
VALERO ENERGY PARTNERS LP | 4.500% 03/15/2028 DD 03/29/18 | 45,000 | 44,847 | 49,653 | |||||||||||||
VERIZON COMMUNICATIONS IN 144A | 2.355% 03/15/2032 DD 09/20/21 | 95,000 | 95,363 | 93,721 | |||||||||||||
VERIZON COMMUNICATIONS INC | 4.016% 12/03/2029 DD 06/03/19 | 152,000 | 156,913 | 170,564 | |||||||||||||
VERIZON COMMUNICATIONS INC | 4.125% 03/16/2027 DD 03/16/17 | 80,000 | 80,649 | 88,924 | |||||||||||||
VERIZON COMMUNICATIONS INC | 2.100% 03/22/2028 DD 03/22/21 | 75,000 | 74,966 | 75,203 | |||||||||||||
VERIZON COMMUNICATIONS INC | 2.550% 03/21/2031 DD 03/22/21 | 215,000 | 214,116 | 217,154 | |||||||||||||
VIRGINIA ELECTRIC AND POWER CO | 2.750% 03/15/2023 DD 03/14/13 | 340,000 | 339,912 | 345,838 | |||||||||||||
WASTE MANAGEMENT INC | 2.000% 06/01/2029 DD 05/12/21 | 60,000 | 59,995 | 59,995 | |||||||||||||
WELLS FARGO & CO | 3.000% 04/22/2026 DD 04/22/16 | 240,000 | 238,923 | 252,233 | |||||||||||||
WELLS FARGO & CO | 3.750% 01/24/2024 DD 01/24/19 | 175,000 | 179,241 | 183,894 | |||||||||||||
WELLS FARGO & CO | 4.125% 08/15/2023 DD 08/15/13 | 110,000 | 109,370 | 115,391 | |||||||||||||
WELLS FARGO & CO | VAR RT 10/30/2025 DD 10/31/19 | 75,000 | 75,000 | 76,847 | |||||||||||||
WELLTOWER INC | 2.700% 02/15/2027 DD 12/16/19 | 80,000 | 79,914 | 83,395 | |||||||||||||
WELLTOWER INC | 4.000% 06/01/2025 DD 05/26/15 | 170,000 | 182,092 | 183,160 | |||||||||||||
WESTINGHOUSE AIR BRAKE TECHNOL | 3.200% 06/15/2025 DD 06/29/20 | 40,000 | 39,957 | 41,647 | |||||||||||||
WFRBS COMMERCIAL MORTG LC14 A5 | 4.045% 03/15/2047 DD 02/01/14 | 85,000 | 90,814 | 89,042 | |||||||||||||
WILLIAMS COS INC/THE | 3.900% 01/15/2025 DD 06/27/14 | 90,000 | 89,856 | 95,669 | |||||||||||||
WILLIS NORTH AMERICA INC | 2.950% 09/15/2029 DD 09/10/19 | 50,000 | 49,910 | 51,232 | |||||||||||||
WILLIS NORTH AMERICA INC | 3.600% 05/15/2024 DD 05/16/17 | 110,000 | 110,160 | 115,228 | |||||||||||||
WILLIS NORTH AMERICA INC | 4.500% 09/15/2028 DD 09/10/18 | 155,000 | 170,988 | 173,385 | |||||||||||||
XCEL ENERGY INC | 1.750% 03/15/2027 DD 11/03/21 | 375,000 | 374,164 | 371,865 | |||||||||||||
INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 20,412,236 | 20,412,236 | ||||||||||||||
TOTAL UNDERLYING ASSETS | $ | 264,882,556 | $ | 265,073,360 | |||||||||||||
MET TOWER LIFE 38025 - 70.0% of MARKET VALUE | $ | 185,556,328 | |||||||||||||||
IGT INVESCO SHORT-TERM BOND FUND | 132,861,356 | ||||||||||||||||
FAIR VALUE MET TOWER LIFE 38025 | 318,417,684 | ||||||||||||||||
MET TOWER LIFE 38025 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (3,569,660) | ||||||||||||||||
MET TOWER LIFE 38025 - CONTRACT VALUE | $ | 314,848,024 | |||||||||||||||
RGA RGA00036 - 30.0% of MARKET VALUE | $ | 79,517,032 | |||||||||||||||
IGT INVESCO SHORT-TERM BOND FUND | 199,322,066 | ||||||||||||||||
FAIR VALUE RGA RGA00036 | 278,839,098 | ||||||||||||||||
RGA RGA00036 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (1,803,661) | ||||||||||||||||
RGA RGA00036 - CONTRACT VALUE | $ | 277,035,437 |
EXHIBIT NO. | DESCRIPTION | |||||||
23.1 * | ||||||||
DATE: June 17, 2022 | BY: /s/ BRYAN JENDRETZKE | |||||||
Bryan Jendretzke Global Benefits Director and Plan Administrator |
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